1

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.4%

Aerospace

&

Defense

-

1.1%

Curtiss-Wright

Corp.

5,650

504,432

Howmet

Aerospace,

Inc.

95,226

1,509,332

Huntington

Ingalls

Industries,

Inc.

27,433

4,786,784

Lockheed

Martin

Corp.

906

330,618

Northrop

Grumman

Corp.

7,791

2,395,265

Raytheon

Technologies

Corp.

35,134

2,164,957

11,691,388

Automobiles

-

0.7%

General

Motors

Co.

69,899

1,768,445

Tesla,

Inc.

*

5,313

5,737,030

7,505,475

Banks

-

1.6%

Citizens

Financial

Group,

Inc.

99,097

2,501,208

Fifth

Third

Bancorp

41,306

796,380

First

Citizens

BancShares,

Inc.,

Class

A

3,515

1,423,645

JPMorgan

Chase

&

Co.

61,683

5,801,903

Popular,

Inc.

158,886

5,905,793

16,428,929

Beverages

-

1.4%

Coca-Cola

Co.

(The)

21,459

958,788

Monster

Beverage

Corp.

*

18,991

1,316,456

PepsiCo,

Inc.

94,700

12,525,022

14,800,266

Biotechnology

-

5.1%

AbbVie,

Inc.

143,874

14,125,549

Alexion

Pharmaceuticals,

Inc.

*

51,761

5,809,655

Amgen,

Inc.

27,122

6,396,995

Biogen,

Inc.

*

42,053

11,251,280

Exelixis,

Inc.

*

324,406

7,701,399

Gilead

Sciences,

Inc.

52,445

4,035,118

United

Therapeutics

Corp.

*

26,440

3,199,240

52,519,236

Building

Products

-

0.1%

Owens

Corning

18,591

1,036,634

Capital

Markets

-

1.7%

Ameriprise

Financial,

Inc.

68,358

10,256,434

Goldman

Sachs

Group,

Inc.

(The)

2,890

571,122

LPL

Financial

Holdings,

Inc.

8,078

633,315

Morgan

Stanley

(a)

87,246

4,213,982

MSCI,

Inc.

2,368

790,486

State

Street

Corp.

14,703

934,376

17,399,715

Chemicals

-

0.7%

DuPont

de

Nemours,

Inc.

32,826

1,744,045

Huntsman

Corp.

52,085

935,968

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

0.7%

(continued)

LyondellBasell

Industries

NV,

Class

A

61,329

4,030,542

6,710,555

Commercial

Services

&

Supplies

-

1.1%

Cintas

Corp.

4,797

1,277,729

Copart,

Inc.

*

21,047

1,752,584

KAR

Auction

Services,

Inc.

43,832

603,128

Waste

Management,

Inc.

68,006

7,202,515

10,835,956

Consumer

Finance

-

0.1%

OneMain

Holdings,

Inc.

24,309

596,543

SLM

Corp.

122,240

859,347

1,455,890

Distributors

-

0.1%

LKQ

Corp.

*

30,523

799,703

Diversified

Consumer

Services

-

0.1%

Graham

Holdings

Co.,

Class

B

3,238

1,109,565

Diversified

Financial

Services

-

1.2%

Berkshire

Hathaway,

Inc.,

Class

B

*

67,597

12,066,740

Diversified

Telecommunication

Services

-

0.1%

AT&T,

Inc.

26,024

786,706

Verizon

Communications,

Inc.

9,642

531,563

1,318,269

Electric

Utilities

-

1.2%

Duke

Energy

Corp.

6,554

523,599

Exelon

Corp.

208,382

7,562,183

Pinnacle

West

Capital

Corp.

64,674

4,739,957

12,825,739

Electronic

Equipment,

Instruments

&

Components

-

1.9%

Avnet,

Inc.

31,739

885,042

CDW

Corp.

17,982

2,089,149

Jabil,

Inc.

238,690

7,657,175

SYNNEX

Corp.

77,549

9,288,044

19,919,410

Entertainment

-

1.1%

Cinemark

Holdings,

Inc.

119,840

1,384,152

Electronic

Arts,

Inc.

*

47,747

6,304,991

Walt

Disney

Co.

(The)

31,057

3,463,166

11,152,309

Equity

Real

Estate

Investment

Trusts

(REITs)

-

1.7%

American

Tower

Corp.

9,964

2,576,093

Apple

Hospitality

REIT,

Inc.

31,129

300,706

Brixmor

Property

Group,

Inc.

211,302

2,708,892

Gaming

and

Leisure

Properties,

Inc.

866

29,964

Medical

Properties

Trust,

Inc.

87,402

1,643,158

Outfront

Media,

Inc.

73,791

1,045,618

2

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

1.7%

(continued)

SBA

Communications

Corp.

24,156

7,196,555

Service

Properties

Trust

116,111

823,227

Simon

Property

Group,

Inc.

12,824

876,905

17,201,118

Food

&

Staples

Retailing

-

2.0%

Costco

Wholesale

Corp.

13,321

4,039,060

Kroger

Co.

(The)

129,815

4,394,238

Walgreens

Boots

Alliance,

Inc.

25,861

1,096,248

Walmart,

Inc.

89,449

10,714,201

20,243,747

Food

Products

-

2.1%

Flowers

Foods,

Inc.

17,814

398,321

General

Mills,

Inc.

64,908

4,001,578

Ingredion,

Inc.

5,161

428,363

J

M

Smucker

Co.

(The)

28,546

3,020,452

Pilgrim's

Pride

Corp.

*

264,853

4,473,367

Tyson

Foods,

Inc.,

Class

A

147,791

8,824,601

21,146,682

Health

Care

Equipment

&

Supplies

-

2.0%

Baxter

International,

Inc.

34,166

2,941,693

Danaher

Corp.

47,334

8,370,071

Edwards

Lifesciences

Corp.

*

11,178

772,512

Medtronic

plc

88,396

8,105,913

20,190,189

Health

Care

Providers

&

Services

-

4.0%

AmerisourceBergen

Corp.

22,417

2,258,961

Anthem,

Inc.

30,203

7,942,785

CVS

Health

Corp.

105,572

6,859,013

DaVita,

Inc.

*

60,409

4,780,768

Humana,

Inc.

32,397

12,561,936

McKesson

Corp.

2,814

431,724

Molina

Healthcare,

Inc.

*

29,008

5,162,844

Universal

Health

Services,

Inc.,

Class

B

12,065

1,120,718

41,118,749

Health

Care

Technology

-

0.1%

Veeva

Systems,

Inc.,

Class

A

*

4,713

1,104,821

Hotels,

Restaurants

&

Leisure

-

1.7%

Aramark

69,875

1,577,079

Carnival

Corp.

(a)

326,386

5,359,258

Darden

Restaurants,

Inc.

19,606

1,485,546

Domino's

Pizza,

Inc.

7,354

2,716,862

International

Game

Technology

plc

110,489

983,352

McDonald's

Corp.

12,453

2,297,205

Wyndham

Destinations,

Inc.

88,049

2,481,221

Yum!

Brands,

Inc.

3,157

274,375

17,174,898

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

1.3%

Lennar

Corp.,

Class

A

44,904

2,766,984

NVR,

Inc.

*

626

2,039,978

PulteGroup,

Inc.

158,422

5,391,101

Whirlpool

Corp.

23,708

3,070,897

13,268,960

Household

Products

-

3.9%

Clorox

Co.

(The)

52,812

11,585,368

Kimberly-Clark

Corp.

63,620

8,992,687

Procter

&

Gamble

Co.

(The)

159,778

19,104,656

39,682,711

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Energy

Corp.

45,975

856,055

Industrial

Conglomerates

-

0.2%

Carlisle

Cos.,

Inc.

17,094

2,045,639

Insurance

-

3.1%

Allstate

Corp.

(The)

126,373

12,256,917

Assurant,

Inc.

23,344

2,411,202

Assured

Guaranty

Ltd.

26,537

647,768

Athene

Holding

Ltd.,

Class

A

*

57,203

1,784,162

Everest

Re

Group

Ltd.

34,299

7,072,454

First

American

Financial

Corp.

93,165

4,473,783

Old

Republic

International

Corp.

80,007

1,304,914

Progressive

Corp.

(The)

18,793

1,505,507

31,456,707

Interactive

Media

&

Services

-

7.5%

Alphabet,

Inc.,

Class

A

*

19,311

27,383,963

Alphabet,

Inc.,

Class

C

*

11,331

16,017,615

Facebook,

Inc.,

Class

A

*

139,469

31,669,226

Match

Group,

Inc.

*

9,433

1,009,803

Twitter,

Inc.

*

38,137

1,136,101

77,216,708

Internet

&

Direct

Marketing

Retail

-

3.0%

Amazon.com,

Inc.

*

10,409

28,716,557

Booking

Holdings,

Inc.

*

175

278,660

eBay,

Inc.

16,283

854,043

Qurate

Retail,

Inc.,

Series

A

*

64,213

610,024

30,459,284

IT

Services

-

5.1%

Accenture

plc,

Class

A

16,917

3,632,418

Akamai

Technologies,

Inc.

*

100,805

10,795,207

Alliance

Data

Systems

Corp.

67,328

3,037,839

Amdocs

Ltd.

26,270

1,599,318

Booz

Allen

Hamilton

Holding

Corp.

(a)

54,881

4,269,193

CACI

International,

Inc.,

Class

A

*

19,257

4,176,458

Cognizant

Technology

Solutions

Corp.,

Class

A

70,491

4,005,299

DXC

Technology

Co.

13,629

224,879

3

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

5.1%

(continued)

International

Business

Machines

Corp.

65,474

7,907,295

Leidos

Holdings,

Inc.

28,042

2,626,694

VeriSign,

Inc.

*

23,064

4,770,327

Visa,

Inc.,

Class

A

26,881

5,192,603

52,237,530

Life

Sciences

Tools

&

Services

-

1.6%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

1,671

754,440

Charles

River

Laboratories

International,

Inc.

*

51,468

8,973,446

PRA

Health

Sciences,

Inc.

*

7,115

692,218

Thermo

Fisher

Scientific,

Inc.

16,533

5,990,567

16,410,671

Machinery

-

1.1%

Cummins,

Inc.

19,425

3,365,575

Oshkosh

Corp.

117,080

8,385,270

11,750,845

Media

-

1.1%

AMC

Networks,

Inc.,

Class

A

*

77,316

1,808,422

Comcast

Corp.,

Class

A

176,855

6,893,808

Discovery,

Inc.,

Class

A

*(a)

93,542

1,973,736

Interpublic

Group

of

Cos.,

Inc.

(The)

16,401

281,441

Omnicom

Group,

Inc.

6,337

346,000

11,303,407

Multiline

Retail

-

1.9%

Dollar

General

Corp.

22,985

4,378,873

Nordstrom,

Inc.

(a)

34,037

527,233

Target

Corp.

118,083

14,161,694

19,067,800

Multi-Utilities

-

0.1%

Consolidated

Edison,

Inc.

15,515

1,115,994

Oil,

Gas

&

Consumable

Fuels

-

0.3%

HollyFrontier

Corp.

72,344

2,112,445

PBF

Energy,

Inc.,

Class

A

25,048

256,492

Pioneer

Natural

Resources

Co.

10,426

1,018,620

3,387,557

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

9,763

1,842,083

Nu

Skin

Enterprises,

Inc.,

Class

A

10,808

413,190

2,255,273

Pharmaceuticals

-

5.8%

Bristol-Myers

Squibb

Co.

112,687

6,625,996

Eli

Lilly

and

Co.

4,214

691,854

Horizon

Therapeutics

plc

*

83,269

4,628,091

Jazz

Pharmaceuticals

plc

*

50,128

5,531,123

Johnson

&

Johnson

122,504

17,227,737

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

5.8%

(continued)

Merck

&

Co.,

Inc.

182,581

14,118,989

Mylan

NV

*

219,823

3,534,754

Pfizer,

Inc.

225,241

7,365,381

59,723,925

Professional

Services

-

0.9%

ManpowerGroup,

Inc.

81,384

5,595,150

Robert

Half

International,

Inc.

70,168

3,706,975

9,302,125

Road

&

Rail

-

0.2%

AMERCO

1,585

478,971

Uber

Technologies,

Inc.

*

40,135

1,247,396

1,726,367

Semiconductors

&

Semiconductor

Equipment

-

4.8%

Applied

Materials,

Inc.

104,833

6,337,155

Intel

Corp.

259,710

15,538,449

Lam

Research

Corp.

21,258

6,876,113

Micron

Technology,

Inc.

*

109,138

5,622,790

Qorvo,

Inc.

*

30,809

3,405,319

QUALCOMM,

Inc.

17,268

1,575,014

Skyworks

Solutions,

Inc.

29,492

3,770,847

Teradyne,

Inc.

46,845

3,958,871

Texas

Instruments,

Inc.

14,365

1,823,924

48,908,482

Software

-

9.6%

Adobe,

Inc.

*

13,221

5,755,234

ANSYS,

Inc.

*

3,850

1,123,160

Cadence

Design

Systems,

Inc.

*

54,502

5,230,012

Cerence,

Inc.

*(a)

37,290

1,522,924

Intuit,

Inc.

10,213

3,024,988

Manhattan

Associates,

Inc.

*

13,903

1,309,663

Microsoft

Corp.

304,784

62,026,592

NortonLifeLock,

Inc.

188,986

3,747,592

Oracle

Corp.

210,608

11,640,304

SS&C

Technologies

Holdings,

Inc.

11,151

629,808

Trade

Desk,

Inc.

(The),

Class

A

*

2,682

1,090,233

VMware,

Inc.,

Class

A

*(a)

6,694

1,036,633

98,137,143

Specialty

Retail

-

3.8%

AutoNation,

Inc.

*

97,501

3,664,088

Best

Buy

Co.,

Inc.

81,706

7,130,483

Burlington

Stores,

Inc.

*

6,937

1,366,103

Foot

Locker,

Inc.

103,197

3,009,224

Gap,

Inc.

(The)

305,096

3,850,311

Home

Depot,

Inc.

(The)

16,715

4,187,275

Lowe's

Cos.,

Inc.

10,735

1,450,513

Penske

Automotive

Group,

Inc.

18,374

711,258

Ross

Stores,

Inc.

37,038

3,157,119

TJX

Cos.,

Inc.

(The)

80,062

4,047,935

4

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

3.8%

(continued)

Williams-Sonoma,

Inc.

79,170

6,492,732

39,067,041

Technology

Hardware,

Storage

&

Peripherals

-

5.5%

Apple,

Inc.

143,857

52,479,034

HP,

Inc.

73,935

1,288,687

Xerox

Holdings

Corp.

182,977

2,797,718

56,565,439

Textiles,

Apparel

&

Luxury

Goods

-

1.5%

Carter's,

Inc.

21,080

1,701,156

Hanesbrands,

Inc.

(a)

139,201

1,571,579

Lululemon

Athletica,

Inc.

*

13,031

4,065,802

PVH

Corp.

45,759

2,198,720

Ralph

Lauren

Corp.

6,451

467,827

Skechers

USA,

Inc.,

Class

A

*

172,434

5,410,979

15,416,063

Thrifts

&

Mortgage

Finance

-

0.0%

(b)

MGIC

Investment

Corp.

51,692

423,357

Tobacco

-

0.7%

Altria

Group,

Inc.

65,947

2,588,420

Philip

Morris

International,

Inc.

65,615

4,596,987

7,185,407

Trading

Companies

&

Distributors

-

0.1%

Air

Lease

Corp.

44,479

1,302,790

Transportation

Infrastructure

-

0.0%

(b)

Macquarie

Infrastructure

Corp.

14,016

430,151

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.

*

12,754

1,328,329

TOTAL

COMMON

STOCKS

(Cost

$764,138,149)

989,787,743

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(b)

Wireless

Telecommunication

Services

-

0.0%

(b)

T-Mobile

US,

Inc.,

expiring

7/27/2020

*

(Cost

$13,363)

2,784

468

SHARES

SHORT-TERM

INVESTMENTS

-

3.3%

INVESTMENT

COMPANIES

-

3.3%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$33,377,615)

33,377,615

33,384,291

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

1.0%

Investment

Companies

-

1.0%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(d)

2,688,063

2,688,063

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)

7,995,868

7,997,467

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$10,683,931)

10,685,530

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.7%

(Cost

$808,213,058)

1,033,858,032

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.7)%

(e)

(7,325,477)

NET

ASSETS

-

100.0%

1,026,532,555

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

102,319,490

10.0

%

Consumer

Discretionary

143,868,788

14.0

Consumer

Staples

105,314,086

10.3

Energy

3,387,556

0.3

Financials

79,231,339

7.7

Health

Care

191,067,592

18.6

Industrials

50,121,896

4.9

Information

Technology

275,768,004

26.9

Materials

6,710,555

0.6

Real

Estate

17,201,118

1.7

Utilities

14,797,787

1.4

Short-Term

Investments

33,384,291

3.3

Securities

Lending

Collateral

10,685,530

1.0

Total

Investments

In

Securities

At

Value

1,033,858,032

100.7

Liabilities

in

Excess

of

Other

Assets

(e

)

(7,325,477)

(0.7)

Net

Assets

$

1,026,532,555

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$10,411,280.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

5

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

205

9/2020

USD

$

31,674,550

$

680,938

$

680,938

6

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.5%

Aerospace

&

Defense

-

1.7%

AAR

Corp.

15,272

315,672

Aerojet

Rocketdyne

Holdings,

Inc.

*

7,701

305,268

Astronics

Corp.

*

24,536

259,100

Axon

Enterprise,

Inc.

*

1,780

174,672

Maxar

Technologies,

Inc.

(a)

23,679

425,275

Mercury

Systems,

Inc.

*

8,276

650,990

Moog,

Inc.,

Class

A

2,348

124,397

Vectrus

,

Inc.

*

54,179

2,661,814

4,917,188

Air

Freight

&

Logistics

-

0.3%

Hub

Group,

Inc.,

Class

A

*

15,385

736,326

Airlines

-

0.1%

Allegiant

Travel

Co.

(a)

2,163

236,221

Auto

Components

-

0.3%

LCI

Industries

8,003

920,185

Automobiles

-

0.2%

Winnebago

Industries,

Inc.

8,506

566,670

Banks

-

5.2%

1st

Source

Corp.

6,388

227,285

BancFirst

Corp.

6,436

261,109

Bancorp,

Inc.

(The)

*

53,515

524,447

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

10,871

265,144

Cathay

General

Bancorp

28,764

756,493

Columbia

Banking

System,

Inc.

22,810

646,549

Customers

Bancorp,

Inc.

*

20,341

244,499

Dime

Community

Bancshares,

Inc.

5,000

68,650

First

Bancorp/PR

89,681

501,317

First

Interstate

BancSystem

,

Inc.,

Class

A

24,588

761,244

First

Merchants

Corp.

8,567

236,192

Fulton

Financial

Corp.

27,451

289,059

Great

Southern

Bancorp,

Inc.

16,303

657,989

Great

Western

Bancorp,

Inc.

36,961

508,583

Hancock

Whitney

Corp.

6,984

148,061

Heartland

Financial

USA,

Inc.

24,058

804,500

Hilltop

Holdings,

Inc.

67,906

1,252,866

Home

BancShares

,

Inc.

48,795

750,467

Hope

Bancorp,

Inc.

15,684

144,606

IBERIABANK

Corp.

7,251

330,211

International

Bancshares

Corp.

51,878

1,661,134

Midland

States

Bancorp,

Inc.

6,609

98,805

MidWestOne

Financial

Group,

Inc.

8,182

163,640

NBT

Bancorp,

Inc.

16,165

497,235

OFG

Bancorp

58,463

781,650

Old

National

Bancorp

17,437

239,933

Pacific

Premier

Bancorp,

Inc.

9,911

214,870

Preferred

Bank

6,179

264,770

ServisFirst

Bancshares,

Inc.

4,842

173,150

South

State

Corp.

13,830

659,138

Stock

Yards

Bancorp,

Inc.

6,968

280,114

INVESTMENTS

SHARES

VALUE

($)

Banks

-

5.2%

(continued)

United

Community

Banks,

Inc.

19,510

392,541

14,806,251

Beverages

-

0.5%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

1,245

668,129

Coca-Cola

Consolidated,

Inc.

2,661

609,875

1,278,004

Biotechnology

-

9.5%

ACADIA

Pharmaceuticals,

Inc.

*

16,373

793,599

Acceleron

Pharma,

Inc.

*

1,874

178,536

Adverum

Biotechnologies,

Inc.

*

14,678

306,477

Affimed

NV

(Germany)

*

71,308

329,086

Akebia

Therapeutics,

Inc.

*

6,403

86,953

Amicus

Therapeutics,

Inc.

*

61,340

925,007

Anika

Therapeutics,

Inc.

*

34,737

1,310,627

Ardelyx

,

Inc.

*

10,249

70,923

Arena

Pharmaceuticals,

Inc.

*

7,409

466,397

Arrowhead

Pharmaceuticals,

Inc.

*

38,990

1,683,978

BioSpecifics

Technologies

Corp.

*

29,993

1,837,971

Blueprint

Medicines

Corp.

*

5,248

409,344

Bridgebio

Pharma,

Inc.

*(a)

12,219

398,462

Catalyst

Pharmaceuticals,

Inc.

*

203,160

938,599

ChemoCentryx

,

Inc.

*

6,322

363,768

Coherus

Biosciences,

Inc.

*

8,800

157,168

Constellation

Pharmaceuticals,

Inc.

*

4,792

144,000

Dicerna

Pharmaceuticals,

Inc.

*

10,916

277,266

Eagle

Pharmaceuticals,

Inc.

*

23,655

1,134,967

Emergent

BioSolutions

,

Inc.

*

20,796

1,644,548

Enanta

Pharmaceuticals,

Inc.

*

7,983

400,826

Epizyme

,

Inc.

*

33,071

531,120

Fate

Therapeutics,

Inc.

*

4,401

150,998

Flexion

Therapeutics,

Inc.

*(a)

8,673

114,050

Global

Blood

Therapeutics,

Inc.

*

7,533

475,558

Halozyme

Therapeutics,

Inc.

*

20,783

557,192

ImmunoGen

,

Inc.

*

30,431

139,983

Immunomedics

,

Inc.

*

12,004

425,422

Inovio

Pharmaceuticals,

Inc.

*(a)

6,971

187,869

Insmed

,

Inc.

*(a)

15,152

417,286

Intercept

Pharmaceuticals,

Inc.

*

6,817

326,603

Invitae

Corp.

*(a)

5,198

157,447

Iovance

Biotherapeutics

,

Inc.

*

14,781

405,738

Ironwood

Pharmaceuticals,

Inc.

*

17,609

181,725

Jounce

Therapeutics,

Inc.

*

88,637

611,595

Karyopharm

Therapeutics,

Inc.

*

19,533

369,955

Kodiak

Sciences,

Inc.

*(a)

3,409

184,495

Lexicon

Pharmaceuticals,

Inc.

*(a)

118,563

236,533

Ligand

Pharmaceuticals,

Inc.

*(a)

11,640

1,301,934

Mirati

Therapeutics,

Inc.

*

2,123

242,383

Momenta

Pharmaceuticals,

Inc.

*

12,033

400,338

Myriad

Genetics,

Inc.

*

34,620

392,591

Natera

,

Inc.

*

22,501

1,121,900

PDL

BioPharma

,

Inc.

*

264,116

768,578

7

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

9.5%

(continued)

Pfenex

,

Inc.

*

15,257

127,396

Principia

Biopharma,

Inc.

*

8,854

529,381

PTC

Therapeutics,

Inc.

*

6,425

326,005

Sorrento

Therapeutics,

Inc.

*(a)

15,446

97,001

TG

Therapeutics,

Inc.

*

14,316

278,876

Ultragenyx

Pharmaceutical,

Inc.

*

1,320

103,250

Veracyte

,

Inc.

*

34,686

898,367

Vericel

Corp.

*

25,748

355,837

Voyager

Therapeutics,

Inc.

*

8,634

108,961

XBiotech

,

Inc.

*(a)

5,431

74,459

Xencor

,

Inc.

*

17,985

582,534

27,041,862

Building

Products

-

2.7%

American

Woodmark

Corp.

*

7,433

562,306

Builders

FirstSource

,

Inc.

*

116,912

2,420,078

Griffon

Corp.

16,551

306,525

Patrick

Industries,

Inc.

17,495

1,071,569

UFP

Industries,

Inc.

67,353

3,334,647

7,695,125

Capital

Markets

-

2.1%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

58,272

1,893,840

Cohen

&

Steers,

Inc.

(a)

14,247

969,508

INTL.

FCStone

,

Inc.

*

3,655

201,025

Stifel

Financial

Corp.

32,188

1,526,677

Virtus

Investment

Partners,

Inc.

4,163

484,115

Waddell

&

Reed

Financial,

Inc.,

Class

A

66,043

1,024,327

6,099,492

Chemicals

-

0.7%

Koppers

Holdings,

Inc.

*

34,119

642,802

Stepan

Co.

13,740

1,334,154

Tredegar

Corp.

6,811

104,889

2,081,845

Commercial

Services

&

Supplies

-

2.5%

ABM

Industries,

Inc.

18,241

662,148

ACCO

Brands

Corp.

112,549

799,098

Advanced

Disposal

Services,

Inc.

*

9,373

282,783

Ennis,

Inc.

52,305

948,813

Herman

Miller,

Inc.

54,265

1,281,197

Kimball

International,

Inc.,

Class

B

60,793

702,767

Knoll,

Inc.

9,976

121,607

McGrath

RentCorp

2,041

110,234

RR

Donnelley

&

Sons

Co.

65,152

77,531

Steelcase,

Inc.,

Class

A

116,246

1,401,927

UniFirst

Corp.

3,702

662,473

7,050,578

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

1.0%

Acacia

Communications,

Inc.

*

5,650

379,623

Comtech

Telecommunications

Corp.

34,464

582,097

Digi

International,

Inc.

*

13,383

155,912

Lumentum

Holdings,

Inc.

*

19,865

1,617,607

2,735,239

Construction

&

Engineering

-

2.3%

Arcosa

,

Inc.

33,737

1,423,701

EMCOR

Group,

Inc.

19,579

1,294,955

Great

Lakes

Dredge

&

Dock

Corp.

*

174,053

1,611,731

MasTec

,

Inc.

*

18,859

846,203

MYR

Group,

Inc.

*

41,049

1,309,874

Sterling

Construction

Co.,

Inc.

*

12,761

133,608

6,620,072

Construction

Materials

-

0.2%

Summit

Materials,

Inc.,

Class

A

*

30,932

497,387

US

Concrete,

Inc.

*

5,720

141,856

639,243

Distributors

-

0.1%

Core-Mark

Holding

Co.,

Inc.

6,192

154,521

Diversified

Consumer

Services

-

1.3%

American

Public

Education,

Inc.

*

41,316

1,222,953

Chegg

,

Inc.

*

10,111

680,066

Collectors

Universe,

Inc.

32,695

1,120,785

Laureate

Education,

Inc.,

Class

A

*

22,583

225,040

Perdoceo

Education

Corp.

*

17,579

280,033

Select

Interior

Concepts,

Inc.,

Class

A

*

58,666

205,331

WW

International,

Inc.

*

4,156

105,479

3,839,687

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.

*

10,309

423,700

Diversified

Telecommunication

Services

-

0.5%

Cogent

Communications

Holdings,

Inc.

13,303

1,029,120

Consolidated

Communications

Holdings,

Inc.

*

71,169

481,814

1,510,934

Electric

Utilities

-

0.5%

El

Paso

Electric

Co.

5,444

364,748

Portland

General

Electric

Co.

28,067

1,173,481

1,538,229

Electrical

Equipment

-

1.3%

Atkore

International

Group,

Inc.

*

68,591

1,875,964

Encore

Wire

Corp.

22,209

1,084,244

Generac

Holdings,

Inc.

*

4,424

539,418

Powell

Industries,

Inc.

3,895

106,684

3,606,310

8

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

3.0%

Benchmark

Electronics,

Inc.

18,988

410,141

Coda

Octopus

Group,

Inc.

*(a)

18,947

97,577

ePlus

,

Inc.

*

9,151

646,793

Fabrinet

(Thailand)

*

13,059

815,143

Fitbit,

Inc.,

Class

A

*(a)

36,420

235,273

Insight

Enterprises,

Inc.

*(a)

32,044

1,576,565

Methode

Electronics,

Inc.

44,190

1,381,379

PC

Connection,

Inc.

27,686

1,283,523

Sanmina

Corp.

*

81,635

2,044,140

Vishay

Intertechnology

,

Inc.

9,044

138,102

8,628,636

Energy

Equipment

&

Services

-

0.1%

Nabors

Industries

Ltd.

(a)

5,218

193,170

ProPetro

Holding

Corp.

*

32,447

166,778

359,948

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.6%

Acadia

Realty

Trust

7,538

97,843

Agree

Realty

Corp.

2,000

131,420

American

Assets

Trust,

Inc.

4,706

131,015

American

Finance

Trust,

Inc.

22,423

177,926

Ashford

Hospitality

Trust,

Inc.

156,003

112,728

Bluerock

Residential

Growth

REIT,

Inc.

33,088

267,351

Braemar

Hotels

&

Resorts,

Inc.

87,896

251,383

CBL

&

Associates

Properties,

Inc.

*(a)

449,839

122,626

CoreCivic

,

Inc.

17,642

165,129

DiamondRock

Hospitality

Co.

31,162

172,326

EastGroup

Properties,

Inc.

4,452

528,052

Essential

Properties

Realty

Trust,

Inc.

6,796

100,853

First

Industrial

Realty

Trust,

Inc.

52,249

2,008,452

GEO

Group,

Inc.

(The)

15,393

182,099

Healthcare

Realty

Trust,

Inc.

11,656

341,404

Independence

Realty

Trust,

Inc.

31,738

364,670

iStar

,

Inc.

18,713

230,544

Kite

Realty

Group

Trust

23,517

271,386

Lexington

Realty

Trust

124,181

1,310,110

Mack-Cali

Realty

Corp.

12,875

196,859

National

Health

Investors,

Inc.

3,508

213,006

National

Storage

Affiliates

Trust

4,666

133,728

New

Senior

Investment

Group,

Inc.

50,559

183,024

NexPoint

Residential

Trust,

Inc.

5,538

195,768

Office

Properties

Income

Trust

15,731

408,534

Pennsylvania

REIT

(a)

116,378

158,274

Physicians

Realty

Trust

14,062

246,366

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

51,281

851,777

PS

Business

Parks,

Inc.

826

109,362

QTS

Realty

Trust,

Inc.,

Class

A

4,172

267,383

Retail

Opportunity

Investments

Corp.

9,939

112,609

RPT

Realty

50,693

352,823

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.6%

(continued)

Ryman

Hospitality

Properties,

Inc.

6,169

213,447

Sabra

Health

Care

REIT,

Inc.

38,539

556,118

Sunstone

Hotel

Investors,

Inc.

9,176

74,784

Uniti

Group,

Inc.

47,881

447,687

Universal

Health

Realty

Income

Trust

6,622

526,383

Urban

Edge

Properties

39,485

468,687

Washington

Prime

Group,

Inc.

(a)

449,159

377,653

Xenia

Hotels

&

Resorts,

Inc.

16,406

153,068

13,214,657

Food

&

Staples

Retailing

-

1.1%

BJ's

Wholesale

Club

Holdings,

Inc.

*

2,215

82,553

Ingles

Markets,

Inc.,

Class

A

39,185

1,687,698

Performance

Food

Group

Co.

*

6,052

176,356

Rite

Aid

Corp.

*(a)

38,570

658,004

United

Natural

Foods,

Inc.

*

11,572

210,726

Weis

Markets,

Inc.

3,619

181,384

2,996,721

Food

Products

-

1.2%

Darling

Ingredients,

Inc.

*

4,529

111,504

Fresh

Del

Monte

Produce,

Inc.

36,071

888,068

John

B

Sanfilippo

&

Son,

Inc.

28,202

2,406,477

3,406,049

Health

Care

Equipment

&

Supplies

-

3.8%

Globus

Medical,

Inc.,

Class

A

*

19,533

931,919

Haemonetics

Corp.

*

5,401

483,714

Integer

Holdings

Corp.

*

9,625

703,106

IntriCon

Corp.

*

9,305

125,804

Invacare

Corp.

94,267

600,481

Lantheus

Holdings,

Inc.

*

67,555

966,036

LeMaitre

Vascular,

Inc.

6,732

177,725

Neogen

Corp.

*

2,837

220,151

Nevro

Corp.

*

4,822

576,084

Novocure

Ltd.

*

14,562

863,527

NuVasive

,

Inc.

*

1,795

99,910

Quidel

Corp.

*(a)

13,824

3,092,982

Tandem

Diabetes

Care,

Inc.

*

2,339

231,374

Wright

Medical

Group

NV

*

35,274

1,048,343

Zynex

,

Inc.

*(a)

30,707

763,683

10,884,839

Health

Care

Providers

&

Services

-

4.7%

Amedisys

,

Inc.

*

14,385

2,855,998

AMN

Healthcare

Services,

Inc.

*

10,388

469,953

Community

Health

Systems,

Inc.

*

53,300

160,433

CorVel

Corp.

*

21,701

1,538,384

Ensign

Group,

Inc.

(The)

12,647

529,277

Joint

Corp.

(The)

*

34,998

534,419

LHC

Group,

Inc.

*

2,175

379,146

Magellan

Health,

Inc.

*

21,413

1,562,721

National

Research

Corp.

17,291

1,006,509

9

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

4.7%

(continued)

Owens

&

Minor,

Inc.

83,164

633,710

Patterson

Cos.,

Inc.

50,731

1,116,082

Select

Medical

Holdings

Corp.

*

43,668

643,229

Tenet

Healthcare

Corp.

*

37,806

684,667

Triple-S

Management

Corp.,

Class

B

*(a)

69,266

1,317,439

13,431,967

Health

Care

Technology

-

2.0%

Inovalon

Holdings,

Inc.,

Class

A

*

7,273

140,078

Livongo

Health,

Inc.

*(a)

8,378

629,942

NextGen

Healthcare,

Inc.

*

23,779

261,093

Omnicell

,

Inc.

*

23,585

1,665,573

Simulations

Plus,

Inc.

5,461

326,677

Teladoc

Health,

Inc.

*

14,479

2,763,172

5,786,535

Hotels,

Restaurants

&

Leisure

-

1.5%

Biglari

Holdings,

Inc.,

Class

B

*

4,408

304,064

Boyd

Gaming

Corp.

7,724

161,432

Brinker

International,

Inc.

10,941

262,584

Cheesecake

Factory,

Inc.

(The)

(a)

9,057

207,586

Churchill

Downs,

Inc.

1,636

217,833

Dave

&

Buster's

Entertainment,

Inc.

(a)

26,679

355,631

Dine

Brands

Global,

Inc.

4,234

178,251

Eldorado

Resorts,

Inc.

*(a)

9,845

394,391

Everi

Holdings,

Inc.

*

30,664

158,226

Marriott

Vacations

Worldwide

Corp.

5,236

430,452

Papa

John's

International,

Inc.

1,655

131,424

Penn

National

Gaming,

Inc.

*

14,831

452,939

Texas

Roadhouse,

Inc.

6,502

341,810

Wingstop

,

Inc.

4,657

647,183

4,243,806

Household

Durables

-

3.4%

Beazer

Homes

USA,

Inc.

*

8,151

82,081

Hooker

Furniture

Corp.

6,636

129,070

Installed

Building

Products,

Inc.

*

1,821

125,248

KB

Home

7,678

235,561

La-Z-Boy,

Inc.

30,329

820,703

M/I

Homes,

Inc.

*

42,560

1,465,766

MDC

Holdings,

Inc.

28,993

1,035,050

Meritage

Homes

Corp.

*

34,471

2,623,933

Taylor

Morrison

Home

Corp.

*

46,614

899,184

TopBuild

Corp.

*

14,680

1,670,144

Universal

Electronics,

Inc.

*

12,081

565,632

9,652,372

Household

Products

-

0.2%

WD-40

Co.

2,726

540,566

INVESTMENTS

SHARES

VALUE

($)

Independent

Power

and

Renewable

Electricity

Producers

-

0.2%

Clearway

Energy,

Inc.,

Class

C

11,394

262,746

Ormat

Technologies,

Inc.

5,415

343,798

606,544

Insurance

-

3.3%

eHealth,

Inc.

*

10,491

1,030,636

Employers

Holdings,

Inc.

74,088

2,233,753

Fidelity

National

Financial,

Inc.

1,985

60,860

Genworth

Financial,

Inc.,

Class

A

*

69,098

159,616

Hallmark

Financial

Services,

Inc.

*(a)

113,256

395,264

Heritage

Insurance

Holdings,

Inc.

30,039

393,211

Kinsale

Capital

Group,

Inc.

7,474

1,160,040

National

General

Holdings

Corp.

64,179

1,386,908

National

Western

Life

Group,

Inc.,

Class

A

4,442

902,570

Selective

Insurance

Group,

Inc.

10,776

568,326

Stewart

Information

Services

Corp.

5,720

185,957

Universal

Insurance

Holdings,

Inc.

57,495

1,020,536

9,497,677

Internet

&

Direct

Marketing

Retail

-

0.8%

1-800-Flowers.com,

Inc.,

Class

A

*

48,353

968,027

PetMed

Express,

Inc.

5,660

201,723

Rubicon

Project,

Inc.

(The)

*

15,176

101,224

Stamps.com,

Inc.

*

5,415

994,681

2,265,655

IT

Services

-

2.8%

Cardtronics

plc,

Class

A

*

18,887

452,910

CSG

Systems

International,

Inc.

6,565

271,725

EVERTEC,

Inc.

8,366

235,085

Hackett

Group,

Inc.

(The)

15,882

215,042

KBR,

Inc.

80,175

1,807,946

MAXIMUS,

Inc.

14,214

1,001,376

NIC,

Inc.

8,554

196,400

Perficient

,

Inc.

*

12,894

461,347

Perspecta

,

Inc.

39,892

926,691

Science

Applications

International

Corp.

3,926

304,972

Sykes

Enterprises,

Inc.

*

59,198

1,637,417

TTEC

Holdings,

Inc.

7,701

358,559

Unisys

Corp.

*

8,049

87,815

7,957,285

Leisure

Products

-

1.7%

Acushnet

Holdings

Corp.

31,445

1,093,971

Johnson

Outdoors,

Inc.,

Class

A

18,547

1,688,148

Malibu

Boats,

Inc.,

Class

A

*

17,718

920,450

MasterCraft

Boat

Holdings,

Inc.

*

15,852

301,981

Vista

Outdoor,

Inc.

*

22,713

328,203

YETI

Holdings,

Inc.

*

13,823

590,657

4,923,410

10

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

3.1%

Medpace

Holdings,

Inc.

*

31,616

2,940,920

NeoGenomics

,

Inc.

*

41,983

1,300,633

Repligen

Corp.

*

19,087

2,359,344

Syneos

Health,

Inc.

*

38,015

2,214,374

8,815,271

Machinery

-

1.6%

Columbus

McKinnon

Corp.

19,705

659,132

Commercial

Vehicle

Group,

Inc.

*

161,960

468,064

Federal

Signal

Corp.

2,937

87,317

Meritor,

Inc.

*

62,347

1,234,471

Miller

Industries,

Inc.

12,079

359,592

Mueller

Industries,

Inc.

48,240

1,282,219

Wabash

National

Corp.

39,218

416,495

4,507,290

Marine

-

0.0%

(b)

Costamare

,

Inc.

(Monaco)

(a)

21,980

122,209

Media

-

0.1%

Cumulus

Media,

Inc.,

Class

A

*(a)

56,138

221,745

Metals

&

Mining

-

1.4%

Commercial

Metals

Co.

102,769

2,096,488

Ryerson

Holding

Corp.

*

57,962

326,326

Schnitzer

Steel

Industries,

Inc.,

Class

A

14,713

259,537

Warrior

Met

Coal,

Inc.

80,033

1,231,708

3,914,059

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.6%

Apollo

Commercial

Real

Estate

Finance,

Inc.

37,071

363,666

Blackstone

Mortgage

Trust,

Inc.,

Class

A

21,249

511,888

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

15,728

447,619

PennyMac

Mortgage

Investment

Trust

24,184

423,946

1,747,119

Multi-Utilities

-

0.0%

(b)

NorthWestern

Corp.

2,221

121,089

Oil,

Gas

&

Consumable

Fuels

-

0.3%

CONSOL

Energy,

Inc.

*

13,617

69,038

Penn

Virginia

Corp.

*

9,884

94,195

Renewable

Energy

Group,

Inc.

*

5,823

144,294

Teekay

Corp.

*(a)

41,291

99,099

Teekay

Tankers

Ltd.,

Class

A

*(a)

19,026

243,913

World

Fuel

Services

Corp.

5,891

151,752

802,291

Paper

&

Forest

Products

-

1.1%

Boise

Cascade

Co.

65,943

2,480,116

Schweitzer-Mauduit

International,

Inc.

5,853

195,549

INVESTMENTS

SHARES

VALUE

($)

Paper

&

Forest

Products

-

1.1%

(continued)

Verso

Corp.,

Class

A

47,775

571,389

3,247,054

Personal

Products

-

0.1%

Edgewell

Personal

Care

Co.

*

6,056

188,705

Lifevantage

Corp.

*

6,998

94,613

283,318

Pharmaceuticals

-

1.2%

Arvinas

,

Inc.

*(a)

2,065

69,260

Assertio

Holdings,

Inc.

*

103,823

88,976

Axsome

Therapeutics,

Inc.

*

1,077

88,616

Collegium

Pharmaceutical,

Inc.

*

3,702

64,785

Corcept

Therapeutics,

Inc.

*

86,538

1,455,569

Endo

International

plc

*

32,311

110,827

Evofem

Biosciences,

Inc.

*

30,616

86,643

Innoviva

,

Inc.

*

22,124

309,294

Kala

Pharmaceuticals,

Inc.

*

9,944

104,511

Lannett

Co.,

Inc.

*

71,504

519,119

Mallinckrodt

plc

*(a)

23,944

64,170

Osmotica

Pharmaceuticals

plc

*

18,733

126,073

Reata

Pharmaceuticals,

Inc.,

Class

A

*

1,313

204,854

3,292,697

Professional

Services

-

2.5%

Barrett

Business

Services,

Inc.

16,335

867,879

FTI

Consulting,

Inc.

*

11,304

1,294,873

Heidrick

&

Struggles

International,

Inc.

33,037

714,260

ICF

International,

Inc.

2,383

154,490

Kelly

Services,

Inc.,

Class

A

96,462

1,525,547

Kforce

,

Inc.

(a)

63,231

1,849,507

Resources

Connection,

Inc.

10,952

131,095

TrueBlue

,

Inc.

*

33,764

515,576

7,053,227

Real

Estate

Management

&

Development

-

0.1%

Redfin

Corp.

*

5,824

244,084

Road

&

Rail

-

0.4%

ArcBest

Corp.

37,999

1,007,353

Avis

Budget

Group,

Inc.

*(a)

9,341

213,816

1,221,169

Semiconductors

&

Semiconductor

Equipment

-

6.0%

Amkor

Technology,

Inc.

*

218,951

2,695,287

Cirrus

Logic,

Inc.

*

31,557

1,949,591

Diodes,

Inc.

*

31,494

1,596,746

Enphase

Energy,

Inc.

*

13,647

649,188

FormFactor

,

Inc.

*

60,523

1,775,139

Ichor

Holdings

Ltd.

*

26,980

717,128

Lattice

Semiconductor

Corp.

*

53,653

1,523,209

NeoPhotonics

Corp.

*

19,543

173,542

Onto

Innovation,

Inc.

*

13,137

447,183

Photronics

,

Inc.

*

119,079

1,325,349

11

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

6.0%

(continued)

Power

Integrations,

Inc.

12,137

1,433,744

SMART

Global

Holdings,

Inc.

*

30,471

828,202

Synaptics

,

Inc.

*

15,157

911,239

Ultra

Clean

Holdings,

Inc.

*

52,046

1,177,801

17,203,348

Software

-

2.9%

Appfolio

,

Inc.,

Class

A

*

2,253

366,586

Avaya

Holdings

Corp.

*

41,879

517,624

Box,

Inc.,

Class

A

*

5,222

108,409

Cloudera,

Inc.

*

13,478

171,440

Digital

Turbine,

Inc.

*(a)

205,744

2,586,202

Ebix

,

Inc.

9,977

223,086

Everbridge

,

Inc.

*

3,157

436,803

Five9,

Inc.

*

3,325

367,978

Intelligent

Systems

Corp.

*

19,961

680,271

J2

Global,

Inc.

*

11,927

753,906

Mitek

Systems,

Inc.

*

5,648

54,277

Progress

Software

Corp.

27,590

1,069,112

Q2

Holdings,

Inc.

*

1,074

92,138

SecureWorks

Corp.,

Class

A

*(a)

12,159

138,977

SPS

Commerce,

Inc.

*

2,663

200,045

Telenav

,

Inc.

*

24,104

132,331

Xperi

Holding

Corp.

8,228

121,445

Zix

Corp.

*

19,484

134,440

8,155,070

Specialty

Retail

-

2.5%

Asbury

Automotive

Group,

Inc.

*

7,691

594,745

Ascena

Retail

Group,

Inc.

*(a)

93,647

136,725

Cato

Corp.

(The),

Class

A

33,820

276,648

Citi

Trends,

Inc.

27,047

546,890

Group

1

Automotive,

Inc.

17,171

1,132,771

Hibbett

Sports,

Inc.

*(a)

41,439

867,733

Lithia

Motors,

Inc.,

Class

A

6,718

1,016,635

Office

Depot,

Inc.

110,110

258,758

RH

*

602

149,838

Shoe

Carnival,

Inc.

14,502

424,473

Signet

Jewelers

Ltd.

(a)

19,575

201,035

Sleep

Number

Corp.

*

3,820

159,065

Sonic

Automotive,

Inc.,

Class

A

23,811

759,809

Zumiez

,

Inc.

*

24,066

658,927

7,184,052

Technology

Hardware,

Storage

&

Peripherals

-

0.1%

Avid

Technology,

Inc.

*

53,921

392,006

Textiles,

Apparel

&

Luxury

Goods

-

0.0%

(b)

Oxford

Industries,

Inc.

2,475

108,925

Thrifts

&

Mortgage

Finance

-

2.6%

Essent

Group

Ltd.

31,757

1,151,826

Flagstar

Bancorp,

Inc.

38,572

1,135,174

HomeStreet

,

Inc.

4,290

105,577

Meta

Financial

Group,

Inc.

9,939

180,592

Mr

Cooper

Group,

Inc.

*

11,145

138,644

INVESTMENTS

SHARES

VALUE

($)

Thrifts

&

Mortgage

Finance

-

2.6%

(continued)

PennyMac

Financial

Services,

Inc.

32,742

1,368,288

Radian

Group,

Inc.

112,293

1,741,665

Walker

&

Dunlop,

Inc.

28,446

1,445,341

7,267,107

Tobacco

-

0.4%

Turning

Point

Brands,

Inc.

39,198

976,422

Vector

Group

Ltd.

17,971

180,788

1,157,210

Trading

Companies

&

Distributors

-

1.5%

BMC

Stock

Holdings,

Inc.

*

51,288

1,289,380

CAI

International,

Inc.

*

27,069

450,970

GMS,

Inc.

*

79,467

1,954,093

H&E

Equipment

Services,

Inc.

8,433

155,842

Veritiv

Corp.

*

28,503

483,411

WESCO

International,

Inc.

*

1,038

36,444

4,370,140

Water

Utilities

-

0.3%

American

States

Water

Co.

6,978

548,680

Consolidated

Water

Co.

Ltd.

11,477

165,613

714,293

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

8,023

395,454

TOTAL

COMMON

STOCKS

(Cost

$247,643,194)

275,434,576

PREFERRED

STOCKS

-

0.1%

Diversified

Telecommunication

Services

-

0.0%

(b)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039

(c)

2,727

71,475

Trading

Companies

&

Distributors

-

0.1%

WESCO

International,

Inc.,

Series

A,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

10.33%),

10.63%,

6/22/2025

(c)(d)

2,752

72,983

TOTAL

PREFERRED

STOCKS

(Cost

$97,964)

144,458

SHORT-TERM

INVESTMENTS

-

3.2%

INVESTMENT

COMPANIES

-

3.2%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(e)

(Cost

$9,168,549)

9,168,901

9,170,735

12

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

3.8%

Investment

Companies

-

3.8%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(e)(f)

2,713,611

2,713,611

Limited

Purpose

Cash

Investment

Fund

0.34%

(e)(f)

8,071,863

8,073,477

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$10,785,474)

10,787,088

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.6%

(Cost

$267,695,181)

295,536,857

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.6)%

(g)

(10,153,235)

NET

ASSETS

-

100.0%

285,383,622

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,199,608

0.8

%

Consumer

Discretionary

33,859,283

11.9

Consumer

Staples

9,661,868

3.4

Energy

1,162,238

0.4

Financials

39,841,346

13.9

Health

Care

69,253,172

24.3

Industrials

48,208,838

16.9

Information

Technology

45,071,584

15.8

Materials

9,882,201

3.5

Real

Estate

13,458,741

4.7

Utilities

2,980,155

1.0

Short-Term

Investments

9,170,735

3.2

Securities

Lending

Collateral

10,787,088

3.8

Total

Investments

In

Securities

At

Value

295,536,857

103.6

Liabilities

in

Excess

of

Other

Assets

(g

)

(10,153,235)

(3.6)

Net

Assets

$

285,383,622

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$9,809,704.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

June

30,

2020.

The

maturity

date

reflects

the

next

call

date.

(d)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

June

30,

2020.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

107

9/2020

USD

$

7,691,160

$

310,104

$

310,104

13

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.0%

Australia

-

6.8%

Aristocrat

Leisure

Ltd.

19,335

346,222

Aurizon

Holdings

Ltd.

213,773

727,443

BHP

Group

Ltd.

43,604

1,085,648

BHP

Group

plc

70,978

1,452,428

BlueScope

Steel

Ltd.

306,309

2,523,328

Crown

Resorts

Ltd.

49,503

333,475

CSL

Ltd.

11,041

2,195,933

Dexus,

REIT

104,929

673,468

Fortescue

Metals

Group

Ltd.

305,245

2,967,494

Goodman

Group,

REIT

41,832

431,632

GPT

Group

(The),

REIT

196,673

571,358

REA

Group

Ltd.

2,632

198,330

Rio

Tinto

Ltd.

5,989

410,088

Rio

Tinto

plc

19,982

1,124,518

Scentre

Group,

REIT

235,569

357,627

South32

Ltd.

47,685

67,509

Tabcorp

Holdings

Ltd.

39,844

93,978

15,560,479

—

Belgium

-

1.5%

Ageas

SA/NV

13,707

485,773

Galapagos

NV

*

12,506

2,468,406

Proximus

SADP

24,171

492,535

3,446,714

—

Canada

-

7.9%

Bank

of

Montreal

(1)

2,424

129,021

Bank

of

Nova

Scotia

(The)

(1)

4,734

195,902

Canadian

Imperial

Bank

of

Commerce

(1)

14,509

969,760

Canadian

Pacific

Railway

Ltd.

(1)

6,206

1,578,562

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

8,734

756,827

CCL

Industries,

Inc.,

Class

B

(1)

7,415

239,666

CGI,

Inc.

(1)*

33,834

2,131,572

CI

Financial

Corp.

(1)

61,239

779,020

Constellation

Software,

Inc.

(1)

575

649,243

Great-West

Lifeco,

Inc.

(1)

3,723

65,268

iA

Financial

Corp.,

Inc.

(1)

22,028

737,620

IGM

Financial,

Inc.

(1)

3,599

87,457

Imperial

Oil

Ltd.

(1)

23,936

385,064

Magna

International,

Inc.

(1)

54,910

2,445,387

Manulife

Financial

Corp.

(1)

33,694

458,403

National

Bank

of

Canada

(1)

2,789

126,384

Open

Text

Corp.

(1)

18,830

799,609

Power

Corp.

of

Canada

(1)

5,259

92,505

Royal

Bank

of

Canada

(1)

22,462

1,523,994

Shopify,

Inc.,

Class

A

(1)*

1,196

1,136,244

Teck

Resources

Ltd.,

Class

B

(1)

31,060

325,334

Toronto-Dominion

Bank

(The)

(1)

54,033

2,411,505

WSP

Global,

Inc.

(1)

1,221

74,882

18,099,229

—

INVESTMENTS

SHARES

VALUE

($)

China

-

0.9%

BOC

Hong

Kong

Holdings

Ltd.

146,000

467,477

Wilmar

International

Ltd.

103,600

306,425

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,031,800

1,367,795

2,141,697

—

Denmark

-

3.0%

Coloplast

A/S,

Class

B

2,242

349,456

DSV

Panalpina

A/S

3,360

412,726

Genmab

A/S

*

2,328

784,986

Novo

Nordisk

A/S,

Class

B

54,351

3,540,844

Pandora

A/S

32,826

1,792,775

6,880,787

—

Finland

-

1.6%

Fortum

OYJ

6,811

129,941

Kone

OYJ,

Class

B

4,733

326,432

Neste

OYJ

24,001

942,666

Nokia

OYJ

82,749

361,602

Orion

OYJ,

Class

B

37,639

1,825,281

3,585,922

—

France

-

8.3%

Atos

SE

*

4,969

426,008

AXA

SA

34,080

717,143

BNP

Paribas

SA

*

13,247

529,271

Carrefour

SA

18,487

286,698

Cie

de

Saint-Gobain

*

31,746

1,145,427

CNP

Assurances

*

17,493

202,892

Electricite

de

France

SA

178,952

1,663,730

Eutelsat

Communications

SA

15,854

146,655

Faurecia

SE

*

4,747

186,503

Ingenico

Group

SA

*

755

121,309

Ipsen

SA

1,747

148,201

L'Oreal

SA

4,920

1,587,914

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,740

1,209,697

Natixis

SA

*

128,213

338,167

Orange

SA

135,986

1,626,117

Peugeot

SA

*

182,663

2,995,515

Publicis

Groupe

SA

3,524

114,477

Sanofi

32,154

3,279,215

Schneider

Electric

SE

5,724

636,719

Sodexo

SA

2,274

154,195

TOTAL

SA

40,794

1,572,953

19,088,806

—

Germany

-

7.8%

Allianz

SE

(Registered)

12,881

2,632,136

Bayer

AG

(Registered)

51,558

3,821,663

Commerzbank

AG

*

20,093

89,552

Delivery

Hero

SE

*(a)

13,700

1,407,912

Deutsche

Boerse

AG

3,492

631,971

Deutsche

Post

AG

(Registered)

15,376

564,605

Deutsche

Wohnen

SE

5,340

239,956

Fresenius

SE

&

Co.

KGaA

9,490

471,680

HOCHTIEF

AG

2,837

252,435

Infineon

Technologies

AG

79,691

1,867,335

KION

Group

AG

2,975

183,170

Nemetschek

SE

3,414

234,584

14

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

7.8%

(continued)

SAP

SE

22,858

3,195,309

Siemens

Healthineers

AG

(a)

6,125

294,417

TUI

AG

45,248

214,422

Volkswagen

AG

(Preference)

974

148,048

Vonovia

SE

7,526

460,012

Zalando

SE

*(a)

17,375

1,232,592

17,941,799

—

Hong

Kong

-

3.3%

ASM

Pacific

Technology

Ltd.

12,600

133,157

CK

Asset

Holdings

Ltd.

134,500

806,569

CLP

Holdings

Ltd.

117,000

1,149,085

Hong

Kong

Exchanges

&

Clearing

Ltd.

19,000

809,243

Kerry

Properties

Ltd.

114,000

296,130

Link,

REIT

26,000

213,464

New

World

Development

Co.

Ltd.

59,750

283,698

PCCW

Ltd.

269,000

153,804

Power

Assets

Holdings

Ltd.

61,000

333,308

Sun

Hung

Kai

Properties

Ltd.

13,000

166,078

Swire

Pacific

Ltd.,

Class

A

15,500

82,379

WH

Group

Ltd.

(a)

2,935,500

2,536,844

Yue

Yuen

Industrial

Holdings

Ltd.

472,000

719,455

7,683,214

—

Italy

-

2.5%

Assicurazioni

Generali

SpA

45,648

693,406

DiaSorin

SpA

4,112

789,692

Enel

SpA

253,853

2,195,434

Leonardo

SpA

222,464

1,483,022

Prysmian

SpA

14,911

345,910

Telecom

Italia

SpA

495,335

195,329

5,702,793

—

Japan

-

20.7%

Acom

Co.

Ltd.

10,000

38,268

Advantest

Corp.

12,600

719,088

Amada

Co.

Ltd.

56,000

458,520

Aozora

Bank

Ltd.

11,900

207,502

Bandai

Namco

Holdings,

Inc.

18,900

994,860

Bridgestone

Corp.

2,100

67,778

Credit

Saison

Co.

Ltd.

800

9,192

Daiwa

House

Industry

Co.

Ltd.

15,100

356,585

Fujitsu

Ltd.

25,000

2,927,083

Fukuoka

Financial

Group,

Inc.

63,000

996,088

Hitachi

Ltd.

72,200

2,294,865

ITOCHU

Corp.

91,900

1,988,516

Japan

Post

Insurance

Co.

Ltd.

14,200

187,105

Japan

Tobacco,

Inc.

27,100

503,322

JGC

Holdings

Corp.

22,600

238,315

Kamigumi

Co.

Ltd.

14,700

289,097

KDDI

Corp.

38,600

1,151,714

Konami

Holdings

Corp.

13,400

447,143

Kyocera

Corp.

14,400

786,018

M3,

Inc.

6,700

284,624

Mitsubishi

Electric

Corp.

65,800

859,432

Mitsubishi

Estate

Co.

Ltd.

17,800

265,252

Mitsubishi

UFJ

Financial

Group,

Inc.

263,800

1,038,192

Mitsui

Fudosan

Co.

Ltd.

13,800

245,153

INVESTMENTS

SHARES

VALUE

($)

Japan

-

20.7%

(continued)

Mizuho

Financial

Group,

Inc.

140,300

172,575

MS&AD

Insurance

Group

Holdings,

Inc.

57,200

1,575,214

Nexon

Co.

Ltd.

73,400

1,655,642

Nippon

Express

Co.

Ltd.

31,700

1,643,756

Nippon

Telegraph

&

Telephone

Corp.

98,700

2,299,656

Nitto

Denko

Corp.

1,300

73,697

Nomura

Holdings,

Inc.

369,400

1,659,931

Nomura

Real

Estate

Holdings,

Inc.

8,000

148,939

NTT

DOCOMO,

Inc.

23,600

626,533

Obayashi

Corp.

28,800

270,762

ORIX

Corp.

19,700

244,620

Resona

Holdings,

Inc.

703,600

2,407,644

Rohm

Co.

Ltd.

8,400

558,528

Sekisui

House

Ltd.

77,900

1,487,280

Shimizu

Corp.

37,000

304,809

Shinsei

Bank

Ltd.

129,100

1,561,492

Sompo

Holdings,

Inc.

7,300

251,305

Square

Enix

Holdings

Co.

Ltd.

27,500

1,393,264

Subaru

Corp.

14,600

305,719

SUMCO

Corp.

72,300

1,111,550

Sumitomo

Heavy

Industries

Ltd.

36,900

807,042

Sumitomo

Mitsui

Financial

Group,

Inc.

73,300

2,068,658

Sumitomo

Mitsui

Trust

Holdings,

Inc.

21,900

617,150

T&D

Holdings,

Inc.

11,300

97,058

Teijin

Ltd.

22,500

358,237

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

325,600

1,001,607

Tokyo

Electron

Ltd.

7,400

1,825,904

Toppan

Printing

Co.

Ltd.

41,800

698,851

Tosoh

Corp.

58,300

800,862

Toyoda

Gosei

Co.

Ltd.

7,100

148,344

Toyota

Motor

Corp.

2,000

125,768

Yamaha

Corp.

17,100

806,523

Z

Holdings

Corp.

322,000

1,580,287

48,042,919

—

Macau

-

0.3%

SJM

Holdings

Ltd.

621,000

696,225

Netherlands

-

5.9%

ASML

Holding

NV

9,426

3,448,156

ING

Groep

NV

70,771

493,338

Just

Eat

Takeaway.com

NV

*(a)

631

65,955

Koninklijke

Ahold

Delhaize

NV

102,986

2,806,788

Koninklijke

Philips

NV

*

34,418

1,607,938

NN

Group

NV

2,712

91,144

Randstad

NV

*

18,487

826,647

Royal

Dutch

Shell

plc,

Class

A

77,634

1,243,018

Royal

Dutch

Shell

plc,

Class

B

64,849

983,130

Wolters

Kluwer

NV

24,702

1,930,812

13,496,926

—

Russia

-

0.2%

Evraz

plc

99,320

351,899

15

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

0.6%

CapitaLand

Commercial

Trust,

REIT

146,000

178,684

Genting

Singapore

Ltd.

722,300

397,390

Venture

Corp.

Ltd.

78,300

915,069

1,491,143

—

South

Africa

-

0.0%

(b)

Anglo

American

plc

4,524

104,293

Spain

-

1.8%

Enagas

SA

17,196

420,675

Endesa

SA

16,528

409,998

Grifols

SA

37,347

1,135,649

Iberdrola

SA

136,157

1,589,591

Mapfre

SA

221,295

395,164

Naturgy

Energy

Group

SA

8,647

161,430

Repsol

SA

10,748

94,969

4,207,476

—

Sweden

-

3.2%

Assa

Abloy

AB,

Class

B

3,523

72,107

Essity

AB,

Class

B

*

71,960

2,333,044

Evolution

Gaming

Group

AB

(a)

3,108

184,602

Hennes

&

Mauritz

AB,

Class

B

160,860

2,347,960

ICA

Gruppen

AB

19,849

943,513

Investor

AB,

Class

B

8,330

441,889

Skanska

AB,

Class

B

*

33,164

677,052

Telefonaktiebolaget

LM

Ericsson,

Class

B

46,204

428,291

7,428,458

—

Switzerland

-

9.2%

Adecco

Group

AG

(Registered)

2,229

105,065

Coca-Cola

HBC

AG

8,735

218,664

Geberit

AG

(Registered)

662

332,149

LafargeHolcim

Ltd.

(Registered)

*

7,867

346,589

Lonza

Group

AG

(Registered)

1,319

698,671

Nestle

SA

(Registered)

39,160

4,341,694

Novartis

AG

(Registered)

57,602

5,018,348

Roche

Holding

AG

17,340

6,007,435

SGS

SA

(Registered)

30

73,489

Sonova

Holding

AG

(Registered)

*

10,132

2,028,176

STMicroelectronics

NV

20,542

559,940

Swatch

Group

AG

(The)

845

169,601

Swiss

Life

Holding

AG

(Registered)

502

186,753

UBS

Group

AG

(Registered)

31,673

365,794

Vifor

Pharma

AG

417

63,087

Zurich

Insurance

Group

AG

1,822

645,590

21,161,045

—

United

Kingdom

-

8.9%

3i

Group

plc

23,824

245,316

Admiral

Group

plc

10,749

304,830

AstraZeneca

plc

13,556

1,410,832

Auto

Trader

Group

plc

(a)

13,636

88,781

Aviva

plc

803,803

2,724,390

BAE

Systems

plc

141,647

846,973

Barclays

plc

890,692

1,256,587

Barratt

Developments

plc

84,344

518,390

Berkeley

Group

Holdings

plc

1,443

74,315

BP

plc

38,452

147,311

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

8.9%

(continued)

British

American

Tobacco

plc

38,753

1,486,287

BT

Group

plc

1,071,316

1,515,109

CK

Hutchison

Holdings

Ltd.

75,000

485,669

Compass

Group

plc

8,067

110,989

Direct

Line

Insurance

Group

plc

177,762

596,046

Experian

plc

2,856

100,242

Fiat

Chrysler

Automobiles

NV

*

16,766

169,640

GlaxoSmithKline

plc

71,821

1,450,762

GVC

Holdings

plc

96,693

886,279

Imperial

Brands

plc

14,676

279,382

ITV

plc

229,019

211,666

Kingfisher

plc

52,609

144,737

London

Stock

Exchange

Group

plc

5,501

572,078

Micro

Focus

International

plc

117,266

625,620

Next

plc

10,859

657,458

Ocado

Group

plc

*

24,800

623,233

Persimmon

plc

30,711

869,169

RELX

plc

5,553

128,528

Sage

Group

plc

(The)

8,747

72,608

Smith

&

Nephew

plc

5,293

98,628

Taylor

Wimpey

plc

581,588

1,026,508

Unilever

plc

5,969

321,974

Vodafone

Group

plc

150,440

239,164

Wm

Morrison

Supermarkets

plc

87,155

205,314

20,494,815

—

United

States

-

0.6%

Bausch

Health

Cos.,

Inc.

(1)*

60,211

1,101,680

Carnival

plc

15,028

183,829

1,285,509

—

TOTAL

COMMON

STOCKS

(Cost

$204,347,930)

218,892,148

SHORT-TERM

INVESTMENTS

-

5.8%

INVESTMENT

COMPANIES

-

5.8%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(c)

(Cost

$13,358,307)

13,358,562

13,361,234

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.8%

(Cost

$217,706,237)

232,253,382

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.8)%

(d)

(1,745,849)

NET

ASSETS

-

100.0%

230,507,533

16

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

14,136,205

6.1

%

Consumer

Discretionary

27,099,559

11.8

Consumer

Staples

18,157,860

7.9

Energy

5,369,110

2.3

Financials

36,624,780

15.9

Health

Care

40,875,606

17.7

Industrials

22,236,965

9.7

Information

Technology

27,328,691

11.9

Materials

12,231,587

5.3

Real

Estate

5,776,986

2.5

Utilities

9,054,799

3.9

Short-Term

Investments

13,361,234

5.8

Total

Investments

In

Securities

At

Value

232,253,382

100.8

Liabilities

in

Excess

of

Other

Assets

(d

)

(1,745,849)

(0.8)

Net

Assets

$

230,507,533

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$5,811,103,

which

represents

approximately

2.52%

of

net

assets

of

the

fund.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

100

9/2020

USD

$

8,892,000

$

92,520

$

92,520

17

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.1%

Brazil

-

5.5%

B2W

Cia

Digital

(1)*

3,000

59,056

B3

SA

-

Brasil

Bolsa

Balcao

(1)

30,100

304,924

Banco

Bradesco

SA

(Preference)

(1)

115,600

440,029

Banco

do

Brasil

SA

(1)*

62,700

370,682

CCR

SA

(1)

123,400

329,030

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo

(1)*

68,800

729,990

Cia

Energetica

de

Minas

Gerais

(Preference)

(1)*

53,500

108,415

Cosan

SA

(1)

31,700

413,410

Hapvida

Participacoes

e

Investimentos

SA

(1)(a)

47,700

545,321

IRB

Brasil

Resseguros

S/A

(1)

59,300

119,950

Itau

Unibanco

Holding

SA

(Preference)

(1)

135,400

633,664

Itausa

SA

(Preference)

(1)

86,695

152,885

Lojas

Americanas

SA

(Preference)

(1)*

134,400

795,313

Lojas

Renner

SA

(1)*

55,000

422,758

Notre

Dame

Intermedica

Participacoes

SA

(1)

57,500

719,107

Petrobras

Distribuidora

SA

(1)*

468,600

1,856,959

Petroleo

Brasileiro

SA

(Preference)

(1)

104,700

414,903

Sul

America

SA

(1)*

25,997

215,458

TIM

Participacoes

SA,

ADR

(1)*

134,697

1,742,979

Ultrapar

Participacoes

SA

(1)

155,100

524,216

WEG

SA

(1)

29,200

271,752

11,170,801

—

Chile

-

1.1%

Banco

de

Chile,

ADR

(1)

8,364

147,625

Banco

de

Credito

e

Inversiones

SA

(1)

3,404

115,626

Banco

Santander

Chile,

ADR

(1)

3,453

56,629

Cencosud

SA

(1)

585,437

819,640

Cia

Cervecerias

Unidas

SA,

ADR

(1)

5,278

75,581

Enel

Americas

SA,

ADR

(1)

125,188

940,162

Enel

Chile

SA,

ADR

(1)

45,844

172,832

2,328,095

—

China

-

37.7%

58.com,

Inc.,

ADR

(1)*

4,817

259,829

Agricultural

Bank

of

China

Ltd.,

Class

A

*

1,060,471

507,909

Alibaba

Group

Holding

Ltd.,

ADR

(1)*

59,366

12,805,245

Alibaba

Health

Information

Technology

Ltd.

*

130,000

382,289

A-Living

Services

Co.

Ltd.,

Class

H

(a)

275,750

1,401,409

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

35,588

267,820

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

283,500

1,921,038

Autohome

,

Inc.,

ADR

(1)

2,981

225,066

BAIC

Motor

Corp.

Ltd.,

Class

H

(a)

380,500

166,518

INVESTMENTS

SHARES

VALUE

($)

China

-

37.7%

(continued)

Baidu,

Inc.,

ADR

(1)*

9,888

1,185,472

Bank

of

China

Ltd.,

Class

A

*

1,038,900

512,279

Bank

of

China

Ltd.,

Class

H

*

1,221,000

452,299

Bank

of

Communications

Co.

Ltd.,

Class

A

302,824

220,051

Bank

of

Ningbo

Co.

Ltd.,

Class

A

36,564

136,319

Bank

of

Shanghai

Co.

Ltd.,

Class

A

54,300

63,916

BOE

Technology

Group

Co.

Ltd.,

Class

A

*

327,200

217,690

BYD

Co.

Ltd.,

Class

A

23,619

241,735

BYD

Electronic

International

Co.

Ltd.

463,000

1,069,624

China

CITIC

Bank

Corp.

Ltd.,

Class

H

461,000

202,014

China

Construction

Bank

Corp.,

Class

H

2,033,000

1,653,608

China

Everbright

Bank

Co.

Ltd.,

Class

A

179,100

90,882

China

Everbright

Bank

Co.

Ltd.,

Class

H

242,000

91,378

China

Everbright

International

Ltd.

1,053,000

558,693

China

Evergrande

Group

432,000

1,124,127

China

Hongqiao

Group

Ltd.

536,500

238,891

China

Lesso

Group

Holdings

Ltd.

124,000

162,760

China

Medical

System

Holdings

Ltd.

521,000

616,140

China

Merchants

Bank

Co.

Ltd.,

Class

A

61,800

296,011

China

Merchants

Securities

Co.

Ltd.,

Class

A

66,200

206,186

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

106,267

85,396

China

Mobile

Ltd.

516,675

3,488,620

China

National

Building

Material

Co.

Ltd.,

Class

H

1,576,000

1,690,424

China

Overseas

Land

&

Investment

Ltd.

380,000

1,160,306

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

21,900

84,843

China

Petroleum

&

Chemical

Corp.,

Class

A

155,300

86,212

China

Resources

Land

Ltd.

290,000

1,108,437

China

Tourism

Group

Duty

Free

Corp.

Ltd.,

Class

A

*

14,000

306,978

China

United

Network

Communications

Ltd.,

Class

A

130,700

89,902

China

Vanke

Co.

Ltd.,

Class

H

214,000

683,015

China

Yangtze

Power

Co.

Ltd.,

Class

A

48,600

130,559

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

346,000

136,835

CITIC

Securities

Co.

Ltd.,

Class

A

68,900

235,909

CNOOC

Ltd.,

ADR

(1)

6,835

771,261

Country

Garden

Holdings

Co.

Ltd.

1,201,000

1,489,601

Country

Garden

Services

Holdings

Co.

Ltd.

401,000

1,872,011

CSPC

Pharmaceutical

Group

Ltd.

103,200

195,449

Daqin

Railway

Co.

Ltd.,

Class

A

*

82,500

82,285

Far

East

Horizon

Ltd.

65,000

55,489

18

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

China

-

37.7%

(continued)

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

12,720

224,160

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

21,700

174,370

Greentown

Service

Group

Co.

Ltd.

(b)

540,000

640,066

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

63,990

156,782

Haier

Electronics

Group

Co.

Ltd.

604,000

1,838,876

Haier

Smart

Home

Co.

Ltd.,

Class

A

57,300

143,983

Haitong

Securities

Co.

Ltd.,

Class

A

82,600

147,551

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

61,800

267,149

Huatai

Securities

Co.

Ltd.,

Class

A

60,500

161,496

Huazhu

Group

Ltd.,

ADR

(1)

7,502

262,945

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

117,000

82,551

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

693,000

418,966

Industrial

Bank

Co.

Ltd.,

Class

A

*

63,643

142,543

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

31,500

139,157

JD.com,

Inc.,

ADR

(1)*

26,784

1,611,861

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

32,085

419,525

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

7,664

114,446

Jiangxi

Copper

Co.

Ltd.,

Class

H

145,000

147,739

Kweichow

Moutai

Co.

Ltd.,

Class

A

3,700

768,745

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

62,333

455,964

Luzhou

Laojiao

Co.

Ltd.,

Class

A

13,400

173,473

Momo

,

Inc.,

ADR

(1)

6,789

118,672

NetEase

,

Inc.,

ADR

(1)

2,868

1,231,462

New

China

Life

Insurance

Co.

Ltd.,

Class

A

16,700

105,043

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR

(1)*

5,557

723,688

PetroChina

Co.

Ltd.,

Class

A

90,400

53,731

Pinduoduo

,

Inc.,

ADR

(1)*

7,744

664,745

Ping

An

Bank

Co.

Ltd.,

Class

A

85,620

155,609

Ping

An

Healthcare

and

Technology

Co.

Ltd.

*(a)

99,800

1,530,087

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

34,800

352,383

SAIC

Motor

Corp.

Ltd.,

Class

A

55,300

133,508

Semiconductor

Manufacturing

International

Corp.

*

470,000

1,648,738

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

356,000

794,894

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

*

85,907

128,834

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

*

163,075

116,876

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

730,000

175,775

Sinopharm

Group

Co.

Ltd.,

Class

H

20,800

53,476

Sinotrans

Ltd.,

Class

H

268,000

54,512

Sinotruk

Hong

Kong

Ltd.

600,500

1,567,155

Suning.com

Co.

Ltd.,

Class

A

75,300

93,745

INVESTMENTS

SHARES

VALUE

($)

China

-

37.7%

(continued)

TAL

Education

Group,

ADR

(1)*

13,200

902,616

Tencent

Holdings

Ltd.

159,600

10,226,834

Trip.com

Group

Ltd.,

ADR

(1)*

20,700

536,544

Vipshop

Holdings

Ltd.,

ADR

(1)*

24,408

485,963

Weichai

Power

Co.

Ltd.,

Class

H

138,000

260,010

Wuliangye

Yibin

Co.

Ltd.,

Class

A

15,905

386,631

Yanzhou

Coal

Mining

Co.

Ltd.,

Class

H

348,000

262,089

Yonghui

Superstores

Co.

Ltd.,

Class

A

89,546

119,101

Yum

China

Holdings,

Inc.

(1)

12,915

620,824

Zhongsheng

Group

Holdings

Ltd.

345,000

1,929,491

ZTE

Corp.,

Class

H

384,200

1,185,826

ZTO

Express

Cayman,

Inc.,

ADR

(1)

13,959

512,435

76,654,375

—

Hong

Kong

-

0.1%

Kingboard

Laminates

Holdings

Ltd.

115,000

116,219

Nine

Dragons

Paper

Holdings

Ltd.

115,000

105,144

221,363

—

Hungary

-

0.0%

(c)

MOL

Hungarian

Oil

&

Gas

plc

*

13,166

77,839

India

-

7.8%

Ambuja

Cements

Ltd.

109,058

279,596

Aurobindo

Pharma

Ltd.

194,370

1,986,332

Axis

Bank

Ltd.,

GDR

(b)

4,149

109,928

Cipla

Ltd.

102,997

873,472

Coal

India

Ltd.

36,466

64,419

Colgate-Palmolive

India

Ltd.

13,138

245,077

Dabur

India

Ltd.

32,712

202,043

Divi's

Laboratories

Ltd.

19,773

597,217

Dr

Reddy's

Laboratories

Ltd.,

ADR

(1)

21,087

1,117,822

GAIL

India

Ltd.

587,237

799,472

Godrej

Consumer

Products

Ltd.

8,849

81,080

Hindalco

Industries

Ltd.

612,726

1,199,886

Hindustan

Unilever

Ltd.

42,930

1,241,140

Infosys

Ltd.,

ADR

(1)

25,228

243,702

Larsen

&

Toubro

Ltd.,

GDR

(b)

4,874

60,407

Motherson

Sumi

Systems

Ltd.

134,355

169,062

NTPC

Ltd.

112,636

143,301

Oil

&

Natural

Gas

Corp.

Ltd.

133,383

144,832

Piramal

Enterprises

Ltd.

54,143

974,487

Reliance

Industries

Ltd.,

GDR

(a)

42,362

1,958,049

Sun

Pharmaceutical

Industries

Ltd.

112,322

705,104

Tata

Consultancy

Services

Ltd.

12,088

332,753

Wipro

Ltd.,

ADR

(1)

203,601

673,919

Zee

Entertainment

Enterprises

Ltd.

778,072

1,767,578

15,970,678

—

Indonesia

-

1.2%

Adaro

Energy

Tbk

.

PT

9,975,500

701,807

Bank

Central

Asia

Tbk

.

PT

53,800

107,643

Indah

Kiat

Pulp

&

Paper

Corp.

Tbk

.

PT

304,000

128,249

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

*

223,500

146,682

Indofood

Sukses

Makmur

Tbk

.

PT

*

2,383,500

1,094,505

19

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Indonesia

-

1.2%

(continued)

United

Tractors

Tbk

.

PT

236,500

275,195

2,454,081

—

Malaysia

-

2.6%

Hartalega

Holdings

Bhd.

473,900

1,445,538

Hong

Leong

Bank

Bhd.

51,000

168,374

Malayan

Banking

Bhd.

475,500

835,501

MISC

Bhd.

292,200

523,465

RHB

Bank

Bhd.

56,900

63,779

Sime

Darby

Bhd.

1,018,900

513,721

Telekom

Malaysia

Bhd.

150,800

146,484

Tenaga

Nasional

Bhd.

103,700

281,972

Top

Glove

Corp.

Bhd.

356,400

1,345,027

5,323,861

—

Mexico

-

1.2%

Alfa

SAB

de

CV,

Class

A

(1)

1,015,193

571,983

Alsea

SAB

de

CV

(1)*

116,700

114,799

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

40,124

509,174

Grupo

Financiero

Inbursa

SAB

de

CV,

Class

O

(1)*

128,600

89,241

Grupo

Televisa

SAB,

ADR

(1)*

138,117

723,733

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A

(1)

190,100

296,756

Megacable

Holdings

SAB

de

CV

(1)

24,400

71,413

2,377,099

—

Philippines

-

0.3%

Ayala

Land,

Inc.

183,900

125,428

BDO

Unibank

,

Inc.

49,780

98,230

International

Container

Terminal

Services,

Inc.

85,870

176,698

JG

Summit

Holdings,

Inc.

61,720

80,561

Metro

Pacific

Investments

Corp.

1,164,000

87,019

PLDT,

Inc.

3,485

86,774

654,710

—

Poland

-

1.5%

CD

Projekt

SA

*

17,973

1,811,203

Cyfrowy

Polsat

SA

*

17,791

118,873

Grupa

Lotos

SA

12,565

191,530

Polski

Koncern

Naftowy

ORLEN

SA

51,851

823,992

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

75,189

86,696

3,032,294

—

Russia

-

2.8%

Gazprom

PJSC,

ADR

204,794

1,105,875

LUKOIL

PJSC,

ADR

14,706

1,093,159

MMC

Norilsk

Nickel

PJSC,

ADR

(1)

23,567

620,519

MMC

Norilsk

Nickel

PJSC,

ADR

19,646

513,518

Novatek

PJSC,

GDR

(b)

3,867

548,118

Novolipetsk

Steel

PJSC,

GDR

(b)

6,469

128,757

PhosAgro

PJSC,

GDR

(b)

6,831

84,363

Polyus

PJSC,

GDR

(b)

4,167

350,646

Rosneft

Oil

Co.

PJSC,

GDR

(b)

68,272

343,115

Severstal

PAO,

GDR

(b)

18,825

227,812

Surgutneftegas

PJSC,

ADR

52,979

285,526

INVESTMENTS

SHARES

VALUE

($)

Russia

-

2.8%

(continued)

Tatneft

PJSC,

ADR

10,259

477,768

5,779,176

—

Saudi

Arabia

-

2.7%

Al

Rajhi

Bank

113,443

1,715,308

Alinma

Bank

*

33,628

130,653

Arab

National

Bank

48,864

248,807

Bank

AlBilad

15,547

92,077

Bank

Al-

Jazira

47,877

144,568

Banque

Saudi

Fransi

23,323

178,179

Etihad

Etisalat

Co.

*

45,821

325,738

Jarir

Marketing

Co.

1,921

75,304

National

Commercial

Bank

49,223

490,874

Riyad

Bank

68,128

307,183

Samba

Financial

Group

50,670

364,342

Saudi

Arabian

Oil

Co.

(a)

40,395

350,660

Saudi

Basic

Industries

Corp.

31,840

749,851

Saudi

British

Bank

(The)

14,119

86,036

Saudi

Industrial

Investment

Group

28,838

155,946

5,415,526

—

South

Africa

-

3.3%

Aspen

Pharmacare

Holdings

Ltd.

*

51,189

425,190

FirstRand

Ltd.

25,760

56,648

Foschini

Group

Ltd.

(The)

88,823

330,151

Gold

Fields

Ltd.,

ADR

(1)

21,692

203,905

Investec

Ltd.

121,727

243,176

Kumba

Iron

Ore

Ltd.

70,254

1,878,651

Momentum

Metropolitan

Holdings

99,456

101,212

Mr

Price

Group

Ltd.

18,530

153,226

MultiChoice

Group

*

23,860

145,909

Naspers

Ltd.,

Class

N

1,453

267,033

Ninety

One

Ltd.

*

44,152

111,803

Pick

n

Pay

Stores

Ltd.

39,128

115,159

Remgro

Ltd.

28,077

162,102

RMB

Holdings

Ltd.

19,636

1,861

Sasol

Ltd.

*

129,500

994,404

Shoprite

Holdings

Ltd.

15,734

96,681

Sibanye

Stillwater

Ltd.

*

280,457

608,948

Telkom

SA

SOC

Ltd.

531,920

912,407

6,808,466

—

South

Korea

-

11.7%

BGF

retail

Co.

Ltd.

3,108

360,273

BNK

Financial

Group,

Inc.

67,134

281,993

CJ

Corp.

2,831

204,552

Daelim

Industrial

Co.

Ltd.

18,869

1,297,968

DB

Insurance

Co.

Ltd.

7,369

264,294

Doosan

Bobcat,

Inc.

44,213

983,398

E-MART,

Inc.

2,824

249,699

GS

Retail

Co.

Ltd.

6,856

209,500

Hana

Financial

Group,

Inc.

18,341

417,118

Hanwha

Corp.

38,218

713,740

Hyundai

Department

Store

Co.

Ltd.

6,390

300,676

Hyundai

Glovis

Co.

Ltd.

5,472

465,219

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

36,502

700,711

Hyundai

Mobis

Co.

Ltd.

5,791

929,567

Industrial

Bank

of

Korea

14,036

95,377

KB

Financial

Group,

Inc.

8,562

242,387

20

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

South

Korea

-

11.7%

(continued)

Kia

Motors

Corp.

45,532

1,230,392

KMW

Co.

Ltd.

*

6,680

356,790

Korea

Investment

Holdings

Co.

Ltd.

16,029

600,946

Korea

Zinc

Co.

Ltd.

1,698

475,772

Kumho

Petrochemical

Co.

Ltd.

6,760

422,765

LG

Electronics,

Inc.

38,699

2,050,880

LG

Innotek

Co.

Ltd.

9,444

1,385,004

Meritz

Securities

Co.

Ltd.

75,430

191,828

NCSoft

Corp.

1,679

1,249,054

POSCO

857

124,828

Posco

International

Corp.

48,294

563,518

S-1

Corp.

5,924

424,511

Samsung

Card

Co.

Ltd.

2,527

57,754

Samsung

Electronics

Co.

Ltd.

155,835

6,898,445

Shinhan

Financial

Group

Co.

Ltd.

3,430

82,890

23,831,849

—

Taiwan

-

12.3%

Accton

Technology

Corp.

69,000

535,827

Asia

Cement

Corp.

123,000

182,421

Asustek

Computer,

Inc.

8,000

58,779

Catcher

Technology

Co.

Ltd.

86,000

651,723

China

Life

Insurance

Co.

Ltd.

1,201,981

892,989

CTBC

Financial

Holding

Co.

Ltd.

1,219,559

845,201

E.Sun

Financial

Holding

Co.

Ltd.

1,001,770

948,885

Eva

Airways

Corp.

1,215,996

464,662

First

Financial

Holding

Co.

Ltd.

1,712,084

1,319,924

Foxconn

Technology

Co.

Ltd.

29,000

55,843

Hon

Hai

Precision

Industry

Co.

Ltd.

79,000

231,956

MediaTek

,

Inc.

7,000

138,394

Mega

Financial

Holding

Co.

Ltd.

137,000

144,007

Nanya

Technology

Corp.

38,000

79,283

Novatek

Microelectronics

Corp.

76,000

590,651

Pegatron

Corp.

63,000

137,412

Pou

Chen

Corp.

700,000

686,695

Powertech

Technology,

Inc.

124,000

452,637

Shin

Kong

Financial

Holding

Co.

Ltd.

1,838,376

538,541

SinoPac

Financial

Holdings

Co.

Ltd.

832,000

307,531

Taishin

Financial

Holding

Co.

Ltd.

145,053

65,949

Taiwan

Business

Bank

3,711,142

1,364,664

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

295,713

208,749

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

159,777

9,070,539

Uni

-President

Enterprises

Corp.

266,000

644,467

United

Microelectronics

Corp.

4,210,000

2,276,098

Zhen

Ding

Technology

Holding

Ltd.

468,000

2,053,811

24,947,638

—

Thailand

-

2.6%

Advanced

Info

Service

PCL,

NVDR

81,500

490,489

Bangkok

Bank

PCL,

NVDR

261,500

912,157

Charoen

Pokphand

Foods

PCL,

NVDR

1,029,600

1,061,865

Indorama

Ventures

PCL,

NVDR

256,900

232,572

Kasikornbank

PCL,

NVDR

99,400

301,560

Krung

Thai

Bank

PCL,

NVDR

2,942,100

983,427

PTT

Exploration

&

Production

PCL,

NVDR

100,100

300,919

INVESTMENTS

SHARES

VALUE

($)

Thailand

-

2.6%

(continued)

Ratch

Group

PCL,

NVDR

34,500

69,896

Siam

Commercial

Bank

PCL

(The),

NVDR

246,300

580,515

Thai

Union

Group

PCL,

NVDR

657,600

276,815

TMB

Bank

PCL,

NVDR

2,986,900

102,132

5,312,347

—

Turkey

-

0.3%

Turk

Hava

Yollari

AO

*

47,306

86,109

Turkcell

Iletisim

Hizmetleri

A/S

87,400

208,371

Turkiye

Garanti

Bankasi

A/S

*

75,039

92,523

Turkiye

Is

Bankasi

A/S,

Class

C

*

339,742

277,487

664,490

—

United

States

-

0.4%

JBS

SA

(1)

192,800

749,843

TOTAL

COMMON

STOCKS

(Cost

$159,431,790)

193,774,531

SHORT-TERM

INVESTMENTS

-

3.7%

INVESTMENT

COMPANIES

-

3.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

(Cost

$7,535,398)

7,535,398

7,536,905

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.8%

(Cost

$166,967,188)

201,311,436

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.2%

(e)

2,547,156

NET

ASSETS

-

100.0%

203,858,592

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

27,136,034

13.3

%

Consumer

Discretionary

33,085,508

16.2

Consumer

Staples

9,892,521

4.9

Energy

11,355,319

5.6

Financials

28,373,511

13.9

Health

Care

14,726,477

7.2

Industrials

14,842,632

7.3

Information

Technology

31,184,777

15.3

Materials

14,110,240

6.9

Real

Estate

5,690,913

2.8

Utilities

3,376,599

1.7

Short-Term

Investments

7,536,905

3.7

Total

Investments

In

Securities

At

Value

201,311,436

98.8

Other

Assets

in

Excess

of

Liabilities

(e

)

2,547,156

1.2

Net

Assets

$

203,858,592

100.0%

21

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$5,952,044,

which

represents

approximately

2.92%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$2,493,212

or

1.22%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

152

9/2020

USD

$

7,491,320

$

39,492

$

39,492

22

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.7%

Aerospace

&

Defense

-

1.1%

Howmet

Aerospace,

Inc.

40,076

635,205

Huntington

Ingalls

Industries,

Inc.

4,182

729,717

Northrop

Grumman

Corp.

939

288,686

Raytheon

Technologies

Corp.

7,240

446,129

Teledyne

Technologies,

Inc.

*

2,603

809,403

2,909,140

Automobiles

-

0.7%

General

Motors

Co.

16,827

425,723

Tesla,

Inc.

*

1,347

1,454,504

1,880,227

Banks

-

1.3%

Citizens

Financial

Group,

Inc.

12,559

316,989

Fifth

Third

Bancorp

7,329

141,303

JPMorgan

Chase

&

Co.

12,555

1,180,924

Popular,

Inc.

47,960

1,782,673

3,421,889

Beverages

-

1.2%

Monster

Beverage

Corp.

*

5,113

354,433

PepsiCo,

Inc.

22,197

2,935,775

3,290,208

Biotechnology

-

4.7%

AbbVie,

Inc.

35,714

3,506,400

Alexion

Pharmaceuticals,

Inc.

*

16,508

1,852,858

Amgen,

Inc.

1,612

380,206

Biogen,

Inc.

*

10,151

2,715,900

Exelixis

,

Inc.

*

87,013

2,065,689

Gilead

Sciences,

Inc.

13,507

1,039,229

United

Therapeutics

Corp.

*

6,679

808,159

12,368,441

Building

Products

-

0.2%

Owens

Corning

4,339

241,942

Trane

Technologies

plc

1,767

157,228

399,170

Capital

Markets

-

1.8%

Ameriprise

Financial,

Inc.

14,646

2,197,486

Goldman

Sachs

Group,

Inc.

(The)

599

118,374

Morgan

Stanley

28,511

1,377,081

MSCI,

Inc.

1,680

560,818

S&P

Global,

Inc.

807

265,890

State

Street

Corp.

4,751

301,926

4,821,575

Chemicals

-

0.8%

Celanese

Corp.

1,083

93,507

DuPont

de

Nemours,

Inc.

7,917

420,630

Huntsman

Corp.

18,634

334,853

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

0.8%

(continued)

LyondellBasell

Industries

NV,

Class

A

19,778

1,299,810

2,148,800

Commercial

Services

&

Supplies

-

1.1%

Cintas

Corp.

1,315

350,263

Copart

,

Inc.

*

5,905

491,709

Republic

Services,

Inc.

1,912

156,880

Waste

Management,

Inc.

18,416

1,950,439

2,949,291

Communications

Equipment

-

0.0%

(a)

Cisco

Systems,

Inc.

1,704

79,475

Consumer

Finance

-

0.1%

SLM

Corp.

42,448

298,409

Distributors

-

0.0%

(a)

LKQ

Corp.

*

2,069

54,208

Diversified

Consumer

Services

-

0.0%

(a)

Graham

Holdings

Co.,

Class

B

206

70,590

Diversified

Financial

Services

-

1.2%

Berkshire

Hathaway,

Inc.,

Class

B

*

17,095

3,051,628

Diversified

Telecommunication

Services

-

0.1%

Verizon

Communications,

Inc.

4,786

263,852

Electric

Utilities

-

2.4%

Duke

Energy

Corp.

30,378

2,426,898

Exelon

Corp.

59,375

2,154,719

NextEra

Energy,

Inc.

5,554

1,333,904

Pinnacle

West

Capital

Corp.

7,181

526,296

6,441,817

Electrical

Equipment

-

0.0%

(a)

Eaton

Corp.

plc

1,268

110,925

Electronic

Equipment,

Instruments

&

Components

-

1.8%

Avnet,

Inc.

8,704

242,711

CDW

Corp.

9,165

1,064,790

Jabil,

Inc.

49,097

1,575,032

SYNNEX

Corp.

16,667

1,996,206

4,878,739

Entertainment

-

1.1%

Cinemark

Holdings,

Inc.

34,914

403,257

Electronic

Arts,

Inc.

*

10,460

1,381,243

Netflix,

Inc.

*

397

180,651

Walt

Disney

Co.

(The)

7,175

800,084

2,765,235

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.0%

American

Tower

Corp.

1,403

362,732

Apple

Hospitality

REIT,

Inc.

12,605

121,764

Brixmor

Property

Group,

Inc.

53,805

689,780

EPR

Properties

17,206

570,035

Gaming

and

Leisure

Properties,

Inc.

4,229

146,323

23

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.0%

(continued)

Outfront

Media,

Inc.

32,638

462,480

Retail

Properties

of

America,

Inc.,

Class

A

33,783

247,291

SBA

Communications

Corp.

1,905

567,538

Service

Properties

Trust

9,264

65,682

Simon

Property

Group,

Inc.

22,544

1,541,559

Ventas,

Inc.

7,482

273,991

Weingarten

Realty

Investors

16,674

315,639

5,364,814

Food

&

Staples

Retailing

-

2.2%

Costco

Wholesale

Corp.

4,785

1,450,860

Kroger

Co.

(The)

41,732

1,412,628

Walgreens

Boots

Alliance,

Inc.

7,211

305,674

Walmart,

Inc.

21,471

2,571,797

5,740,959

Food

Products

-

1.4%

General

Mills,

Inc.

18,984

1,170,363

Ingredion,

Inc.

4,252

352,916

J

M

Smucker

Co.

(The)

1,902

201,251

Pilgrim's

Pride

Corp.

*

41,917

707,978

Tyson

Foods,

Inc.,

Class

A

23,176

1,383,839

3,816,347

Health

Care

Equipment

&

Supplies

-

2.0%

Abbott

Laboratories

6,000

548,580

Align

Technology,

Inc.

*

475

130,359

Baxter

International,

Inc.

15,913

1,370,110

Danaher

Corp.

9,429

1,667,330

Edwards

Lifesciences

Corp.

*

2,847

196,756

Medtronic

plc

16,000

1,467,200

5,380,335

Health

Care

Providers

&

Services

-

4.3%

AmerisourceBergen

Corp.

4,674

470,999

Anthem,

Inc.

7,414

1,949,734

CVS

Health

Corp.

27,318

1,774,850

DaVita,

Inc.

*

16,452

1,302,011

Humana,

Inc.

7,975

3,092,306

McKesson

Corp.

1,420

217,856

Molina

Healthcare,

Inc.

*

2,721

484,284

UnitedHealth

Group,

Inc.

5,781

1,705,106

Universal

Health

Services,

Inc.,

Class

B

3,875

359,949

11,357,095

Health

Care

Technology

-

0.1%

Veeva

Systems,

Inc.,

Class

A

*

1,192

279,429

Hotels,

Restaurants

&

Leisure

-

1.9%

Aramark

19,910

449,369

Carnival

Corp.

(b)

72,732

1,194,259

Darden

Restaurants,

Inc.

5,959

451,513

Domino's

Pizza,

Inc.

2,695

995,641

International

Game

Technology

plc

32,730

291,297

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

1.9%

(continued)

McDonald's

Corp.

4,066

750,055

Starbucks

Corp.

4,013

295,317

Wyndham

Destinations,

Inc.

17,761

500,505

Yum!

Brands,

Inc.

1,586

137,839

5,065,795

Household

Durables

-

1.2%

Lennar

Corp.,

Class

A

13,624

839,511

NVR,

Inc.

*

95

309,581

PulteGroup,

Inc.

52,740

1,794,742

Whirlpool

Corp.

812

105,179

3,049,013

Household

Products

-

4.1%

Clorox

Co.

(The)

13,097

2,873,089

Colgate-Palmolive

Co.

6,609

484,175

Kimberly-Clark

Corp.

16,285

2,301,885

Procter

&

Gamble

Co.

(The)

43,507

5,202,132

10,861,281

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Energy

Corp.

7,299

135,907

Industrial

Conglomerates

-

0.2%

Carlisle

Cos.,

Inc.

3,837

459,174

Insurance

-

2.8%

Allstate

Corp.

(The)

31,321

3,037,824

Assurant,

Inc.

9,056

935,394

Assured

Guaranty

Ltd.

26,181

639,078

Athene

Holding

Ltd.,

Class

A

*

2,993

93,352

Everest

Re

Group

Ltd.

7,749

1,597,844

First

American

Financial

Corp.

15,471

742,917

Old

Republic

International

Corp.

10,603

172,935

Progressive

Corp.

(The)

1,969

157,737

7,377,081

Interactive

Media

&

Services

-

7.0%

Alphabet,

Inc.,

Class

A

*

4,645

6,586,842

Alphabet,

Inc.,

Class

C

*

2,691

3,804,025

Facebook,

Inc.,

Class

A

*

32,477

7,374,552

Match

Group,

Inc.

*

2,938

314,513

Twitter,

Inc.

*

10,336

307,909

18,387,841

Internet

&

Direct

Marketing

Retail

-

3.0%

Amazon.com,

Inc.

*

2,753

7,595,031

eBay,

Inc.

4,358

228,577

Qurate

Retail,

Inc.,

Series

A

*

23,827

226,357

8,049,965

IT

Services

-

5.0%

Accenture

plc,

Class

A

7,680

1,649,050

Akamai

Technologies,

Inc.

*

18,868

2,020,574

Alliance

Data

Systems

Corp.

18,005

812,386

Amdocs

Ltd.

8,610

524,177

24

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

5.0%

(continued)

Booz

Allen

Hamilton

Holding

Corp.

13,714

1,066,812

CACI

International,

Inc.,

Class

A

*

5,521

1,197,394

Cognizant

Technology

Solutions

Corp.,

Class

A

3,956

224,780

DXC

Technology

Co.

10,730

177,045

EPAM

Systems,

Inc.

*

358

90,220

International

Business

Machines

Corp.

16,543

1,997,898

Leidos

Holdings,

Inc.

7,527

705,054

Mastercard

,

Inc.,

Class

A

527

155,834

VeriSign,

Inc.

*

3,517

727,421

Visa,

Inc.,

Class

A

9,221

1,781,220

13,129,865

Life

Sciences

Tools

&

Services

-

1.7%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

529

238,838

Charles

River

Laboratories

International,

Inc.

*

9,480

1,652,838

PRA

Health

Sciences,

Inc.

*

2,265

220,362

Thermo

Fisher

Scientific,

Inc.

6,662

2,413,909

4,525,947

Machinery

-

0.8%

Cummins,

Inc.

4,612

799,075

Oshkosh

Corp.

13,691

980,550

Timken

Co.

(The)

7,382

335,807

2,115,432

Media

-

0.9%

Comcast

Corp.,

Class

A

45,860

1,787,623

Discovery,

Inc.,

Class

A

*

11,500

242,650

Interpublic

Group

of

Cos.,

Inc.

(The)

4,709

80,806

Omnicom

Group,

Inc.

2,745

149,877

2,260,956

Multiline

Retail

-

1.5%

Dollar

General

Corp.

3,307

630,017

Target

Corp.

26,955

3,232,713

3,862,730

Multi-Utilities

-

0.5%

Ameren

Corp.

10,948

770,301

Public

Service

Enterprise

Group,

Inc.

10,287

505,709

1,276,010

Oil,

Gas

&

Consumable

Fuels

-

0.3%

HollyFrontier

Corp.

22,043

643,656

PBF

Energy,

Inc.,

Class

A

6,335

64,870

Pioneer

Natural

Resources

Co.

794

77,574

786,100

INVESTMENTS

SHARES

VALUE

($)

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

2,294

432,832

Nu

Skin

Enterprises,

Inc.,

Class

A

1,653

63,194

496,026

Pharmaceuticals

-

5.3%

Bristol-Myers

Squibb

Co.

29,840

1,754,592

Eli

Lilly

and

Co.

931

152,852

Horizon

Therapeutics

plc

*

30,936

1,719,423

Jazz

Pharmaceuticals

plc

*

13,147

1,450,640

Johnson

&

Johnson

24,955

3,509,422

Merck

&

Co.,

Inc.

38,414

2,970,555

Mylan

NV

*

72,869

1,171,733

Pfizer,

Inc.

39,565

1,293,775

14,022,992

Professional

Services

-

0.9%

ManpowerGroup

,

Inc.

23,694

1,628,962

Robert

Half

International,

Inc.

13,865

732,488

2,361,450

Road

&

Rail

-

0.2%

AMERCO

272

82,196

Uber

Technologies,

Inc.

*

10,526

327,148

409,344

Semiconductors

&

Semiconductor

Equipment

-

5.5%

Applied

Materials,

Inc.

31,625

1,911,731

Intel

Corp.

70,038

4,190,373

Lam

Research

Corp.

6,256

2,023,566

Micron

Technology,

Inc.

*

28,770

1,482,230

Qorvo

,

Inc.

*

9,475

1,047,272

QUALCOMM,

Inc.

6,103

556,655

Skyworks

Solutions,

Inc.

12,624

1,614,105

Teradyne,

Inc.

12,294

1,038,966

Texas

Instruments,

Inc.

6,235

791,658

14,656,556

Software

-

9.4%

Adobe,

Inc.

*

5,281

2,298,872

Cadence

Design

Systems,

Inc.

*

10,974

1,053,065

Cerence

,

Inc.

*

15,144

618,481

Fortinet,

Inc.

*

1,583

217,298

Intuit,

Inc.

2,223

658,430

Manhattan

Associates,

Inc.

*

4,944

465,725

Microsoft

Corp.

77,412

15,754,116

NortonLifeLock

,

Inc.

58,920

1,168,384

Oracle

Corp.

38,463

2,125,850

SS&C

Technologies

Holdings,

Inc.

5,225

295,108

Trade

Desk,

Inc.

(The),

Class

A

*

446

181,299

24,836,628

25

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

3.4%

AutoNation,

Inc.

*

21,224

797,598

AutoZone,

Inc.

*

155

174,859

Best

Buy

Co.,

Inc.

19,758

1,724,281

Burlington

Stores,

Inc.

*

1,068

210,321

Foot

Locker,

Inc.

14,219

414,626

Gap,

Inc.

(The)

80,567

1,016,755

Home

Depot,

Inc.

(The)

4,366

1,093,727

Lowe's

Cos.,

Inc.

2,890

390,497

Penske

Automotive

Group,

Inc.

4,641

179,653

Ross

Stores,

Inc.

3,944

336,186

TJX

Cos.,

Inc.

(The)

18,841

952,601

Williams-Sonoma,

Inc.

21,665

1,776,747

9,067,851

Technology

Hardware,

Storage

&

Peripherals

-

5.4%

Apple,

Inc.

37,711

13,756,973

HP,

Inc.

16,240

283,063

Xerox

Holdings

Corp.

21,212

324,331

14,364,367

Textiles,

Apparel

&

Luxury

Goods

-

0.9%

Hanesbrands,

Inc.

39,548

446,497

Lululemon

Athletica,

Inc.

*

3,796

1,184,390

PVH

Corp.

12,837

616,818

Ralph

Lauren

Corp.

1,912

138,658

2,386,363

Thrifts

&

Mortgage

Finance

-

0.0%

(a)

MGIC

Investment

Corp.

3,714

30,418

Tobacco

-

0.6%

Altria

Group,

Inc.

18,086

709,876

Philip

Morris

International,

Inc.

13,990

980,139

1,690,015

Trading

Companies

&

Distributors

-

0.2%

Air

Lease

Corp.

15,553

455,547

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.

*

3,345

348,382

TOTAL

COMMON

STOCKS

(Cost

$188,389,688)

250,611,634

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(a)

Wireless

Telecommunication

Services

-

0.0%

(a)

T-Mobile

US,

Inc.,

expiring

7/27/2020

*

(Cost

$3,504)

730

122

SHARES

SHORT-TERM

INVESTMENTS

-

4.7%

INVESTMENT

COMPANIES

-

4.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$12,441,087)

12,441,114

12,443,602

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.4%

Investment

Companies

-

0.4%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(d)

284,554

284,554

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)

846,430

846,600

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,130,985)

1,131,154

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.8%

(Cost

$201,965,264)

264,186,512

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.2%

(e)

601,014

NET

ASSETS

-

100.0%

264,787,526

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

24,026,389

9.1

%

Consumer

Discretionary

33,486,741

12.6

Consumer

Staples

25,894,836

9.8

Energy

786,100

0.3

Financials

19,001,001

7.2

Health

Care

47,934,238

18.1

Industrials

12,169,473

4.6

Information

Technology

71,945,630

27.2

Materials

2,148,800

0.8

Real

Estate

5,364,814

2.0

Utilities

7,853,734

3.0

Short-Term

Investments

12,443,602

4.7

Securities

Lending

Collateral

1,131,154

0.4

Total

Investments

In

Securities

At

Value

264,186,512

99.8

Other

Assets

in

Excess

of

Liabilities

(e)

601,014

0.2

Net

Assets

$

264,787,526

100.0%

26

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$1,098,385.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

68

9/2020

USD

$

10,506,680

$

225,880

$

225,880

27

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

98.0%

Aerospace

&

Defense

-

1.4%

AAR

Corp.

1,212

25,052

Aerojet

Rocketdyne

Holdings,

Inc.

*

392

15,539

Maxar

Technologies,

Inc.

621

11,153

Mercury

Systems,

Inc.

*

400

31,464

Moog,

Inc.,

Class

A

996

52,768

Vectrus

,

Inc.

*

2,308

113,392

249,368

Airlines

-

0.1%

Allegiant

Travel

Co.

100

10,921

Auto

Components

-

1.0%

Cooper

Tire

&

Rubber

Co.

441

12,175

Dana,

Inc.

2,786

33,962

LCI

Industries

1,090

125,328

171,465

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

192

12,791

Banks

-

5.5%

Ameris

Bancorp

560

13,210

BancFirst

Corp.

657

26,655

Bancorp,

Inc.

(The)

*

3,119

30,566

BancorpSouth

Bank

439

9,983

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

1,221

29,780

Cathay

General

Bancorp

1,328

34,926

City

Holding

Co.

216

14,077

Customers

Bancorp,

Inc.

*

632

7,597

Enterprise

Financial

Services

Corp.

446

13,880

First

Bancorp/PR

5,252

29,359

First

Financial

Bancorp

483

6,709

First

Interstate

BancSystem

,

Inc.,

Class

A

1,069

33,096

First

Merchants

Corp.

935

25,778

First

Midwest

Bancorp,

Inc.

601

8,023

Fulton

Financial

Corp.

4,415

46,490

Great

Southern

Bancorp,

Inc.

953

38,463

Great

Western

Bancorp,

Inc.

2,297

31,607

Hancock

Whitney

Corp.

2,497

52,936

Heartland

Financial

USA,

Inc.

503

16,820

Hilltop

Holdings,

Inc.

4,191

77,324

Home

BancShares

,

Inc.

696

10,705

Hope

Bancorp,

Inc.

3,014

27,789

IBERIABANK

Corp.

856

38,982

International

Bancshares

Corp.

3,095

99,102

NBT

Bancorp,

Inc.

785

24,147

OFG

Bancorp

1,811

24,213

Old

National

Bancorp

1,547

21,287

Preferred

Bank

505

21,639

Simmons

First

National

Corp.,

Class

A

1,216

20,806

South

State

Corp.

731

34,839

Trustmark

Corp.

1,383

33,911

INVESTMENTS

SHARES

VALUE

($)

Banks

-

5.5%

(continued)

United

Bankshares

,

Inc.

887

24,534

United

Community

Banks,

Inc.

1,141

22,957

Valley

National

Bancorp

1,035

8,094

960,284

Beverages

-

0.3%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

94

50,445

Biotechnology

-

9.4%

Abeona

Therapeutics,

Inc.

*

2,002

5,836

ACADIA

Pharmaceuticals,

Inc.

*

1,070

51,863

Adverum

Biotechnologies,

Inc.

*

1,034

21,590

Affimed

NV

(Germany)

*

8,155

37,635

Akebia

Therapeutics,

Inc.

*

432

5,867

Amicus

Therapeutics,

Inc.

*

1,954

29,466

Anika

Therapeutics,

Inc.

*

1,725

65,084

Ardelyx

,

Inc.

*

624

4,318

Arena

Pharmaceuticals,

Inc.

*

730

45,953

Arrowhead

Pharmaceuticals,

Inc.

*

2,659

114,842

BioSpecifics

Technologies

Corp.

*

1,418

86,895

Blueprint

Medicines

Corp.

*

303

23,634

Bridgebio

Pharma,

Inc.

*(a)

785

25,599

Catalyst

Pharmaceuticals,

Inc.

*

13,542

62,564

ChemoCentryx

,

Inc.

*

457

26,296

Constellation

Pharmaceuticals,

Inc.

*

357

10,728

Dicerna

Pharmaceuticals,

Inc.

*

417

10,592

Eagle

Pharmaceuticals,

Inc.

*

1,611

77,296

Emergent

BioSolutions

,

Inc.

*

1,601

126,607

Enanta

Pharmaceuticals,

Inc.

*

516

25,908

Epizyme

,

Inc.

*

2,268

36,424

Fate

Therapeutics,

Inc.

*

632

21,684

FibroGen

,

Inc.

*

593

24,034

Global

Blood

Therapeutics,

Inc.

*

681

42,991

Halozyme

Therapeutics,

Inc.

*

1,617

43,352

ImmunoGen

,

Inc.

*

1,708

7,857

Immunomedics

,

Inc.

*

631

22,363

Inovio

Pharmaceuticals,

Inc.

*(a)

414

11,157

Insmed

,

Inc.

*

1,004

27,650

Intercept

Pharmaceuticals,

Inc.

*

320

15,331

Iovance

Biotherapeutics

,

Inc.

*

732

20,093

Ironwood

Pharmaceuticals,

Inc.

*

1,382

14,262

Jounce

Therapeutics,

Inc.

*

6,750

46,575

Karyopharm

Therapeutics,

Inc.

*

1,181

22,368

Kodiak

Sciences,

Inc.

*(a)

116

6,278

Lexicon

Pharmaceuticals,

Inc.

*(a)

9,834

19,619

Ligand

Pharmaceuticals,

Inc.

*(a)

565

63,195

Mirati

Therapeutics,

Inc.

*

81

9,248

Momenta

Pharmaceuticals,

Inc.

*

658

21,892

Myriad

Genetics,

Inc.

*

2,199

24,937

Natera

,

Inc.

*

1,235

61,577

PDL

BioPharma

,

Inc.

*

9,724

28,297

Pfenex

,

Inc.

*

720

6,012

Principia

Biopharma,

Inc.

*

706

42,212

PTC

Therapeutics,

Inc.

*

255

12,939

28

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

9.4%

(continued)

TG

Therapeutics,

Inc.

*

819

15,954

Veracyte

,

Inc.

*

2,599

67,314

Vericel

Corp.

*

2,008

27,751

Xencor

,

Inc.

*

638

20,665

1,642,604

Building

Products

-

2.6%

American

Woodmark

Corp.

*

344

26,024

Builders

FirstSource

,

Inc.

*

6,998

144,859

Griffon

Corp.

1,495

27,687

Patrick

Industries,

Inc.

1,174

71,907

UFP

Industries,

Inc.

3,791

187,692

458,169

Capital

Markets

-

2.5%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

3,553

115,472

Cowen,

Inc.,

Class

A

555

8,997

Federated

Hermes,

Inc.,

Class

B

337

7,987

Oppenheimer

Holdings,

Inc.,

Class

A

4,012

87,421

Stifel

Financial

Corp.

1,502

71,240

Virtus

Investment

Partners,

Inc.

373

43,376

Waddell

&

Reed

Financial,

Inc.,

Class

A

6,102

94,642

429,135

Chemicals

-

0.2%

Koppers

Holdings,

Inc.

*

1,522

28,674

Commercial

Services

&

Supplies

-

2.7%

ABM

Industries,

Inc.

1,259

45,702

ACCO

Brands

Corp.

3,579

25,411

Advanced

Disposal

Services,

Inc.

*

863

26,037

Brady

Corp.,

Class

A

1,049

49,114

Ennis,

Inc.

4,365

79,181

Herman

Miller,

Inc.

2,724

64,314

HNI

Corp.

931

28,461

Kimball

International,

Inc.,

Class

B

2,747

31,755

Knoll,

Inc.

1,855

22,612

Steelcase,

Inc.,

Class

A

5,600

67,536

Tetra

Tech,

Inc.

213

16,853

UniFirst

Corp.

111

19,863

476,839

Communications

Equipment

-

0.9%

Acacia

Communications,

Inc.

*

447

30,034

Comtech

Telecommunications

Corp.

3,306

55,838

Digi

International,

Inc.

*

472

5,499

Lumentum

Holdings,

Inc.

*

706

57,490

NetScout

Systems,

Inc.

*

527

13,470

162,331

INVESTMENTS

SHARES

VALUE

($)

Construction

&

Engineering

-

2.7%

Arcosa

,

Inc.

1,712

72,247

EMCOR

Group,

Inc.

2,018

133,471

Great

Lakes

Dredge

&

Dock

Corp.

*

7,436

68,857

MasTec

,

Inc.

*

2,326

104,368

MYR

Group,

Inc.

*

1,885

60,150

Sterling

Construction

Co.,

Inc.

*

1,075

11,255

Tutor

Perini

Corp.

*

1,379

16,796

467,144

Construction

Materials

-

0.1%

Summit

Materials,

Inc.,

Class

A

*

1,368

21,997

US

Concrete,

Inc.

*

110

2,728

24,725

Distributors

-

0.0%

(b)

Core-Mark

Holding

Co.,

Inc.

182

4,542

Diversified

Consumer

Services

-

0.9%

American

Public

Education,

Inc.

*

2,409

71,306

Chegg

,

Inc.

*

257

17,286

Collectors

Universe,

Inc.

1,767

60,573

Select

Interior

Concepts,

Inc.,

Class

A

*

2,618

9,163

158,328

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.

*

761

31,277

Diversified

Telecommunication

Services

-

0.3%

Cogent

Communications

Holdings,

Inc.

229

17,716

Consolidated

Communications

Holdings,

Inc.

*

4,259

28,833

46,549

Electric

Utilities

-

0.6%

El

Paso

Electric

Co.

386

25,862

Portland

General

Electric

Co.

1,820

76,094

101,956

Electrical

Equipment

-

2.3%

Atkore

International

Group,

Inc.

*

3,690

100,921

Encore

Wire

Corp.

1,691

82,555

EnerSys

337

21,696

Generac

Holdings,

Inc.

*

1,533

186,919

Powell

Industries,

Inc.

326

8,929

401,020

Electronic

Equipment,

Instruments

&

Components

-

3.4%

Belden,

Inc.

349

11,360

Benchmark

Electronics,

Inc.

2,296

49,593

Fabrinet

(Thailand)

*

1,546

96,501

Fitbit,

Inc.,

Class

A

*

2,500

16,150

Insight

Enterprises,

Inc.

*

1,874

92,201

Methode

Electronics,

Inc.

2,260

70,648

PC

Connection,

Inc.

1,891

87,667

29

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

3.4%

(continued)

Sanmina

Corp.

*

4,655

116,561

Vishay

Intertechnology

,

Inc.

3,166

48,345

589,026

Energy

Equipment

&

Services

-

0.2%

Nabors

Industries

Ltd.

165

6,108

ProPetro

Holding

Corp.

*

4,767

24,503

30,611

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.8%

American

Finance

Trust,

Inc.

2,084

16,537

Bluerock

Residential

Growth

REIT,

Inc.

1,637

13,227

Braemar

Hotels

&

Resorts,

Inc.

3,372

9,644

CatchMark

Timber

Trust,

Inc.,

Class

A

1,105

9,779

City

Office

REIT,

Inc.

641

6,448

CoreCivic

,

Inc.

1,834

17,166

DiamondRock

Hospitality

Co.

4,346

24,033

EastGroup

Properties,

Inc.

272

32,262

First

Industrial

Realty

Trust,

Inc.

2,028

77,956

Four

Corners

Property

Trust,

Inc.

656

16,006

GEO

Group,

Inc.

(The)

1,491

17,639

Global

Net

Lease,

Inc.

353

5,906

Independence

Realty

Trust,

Inc.

3,032

34,838

iStar

,

Inc.

519

6,394

Lexington

Realty

Trust

5,578

58,848

LTC

Properties,

Inc.

246

9,267

Mack-Cali

Realty

Corp.

1,073

16,406

Monmouth

Real

Estate

Investment

Corp.

1,998

28,951

National

Health

Investors,

Inc.

350

21,252

New

Senior

Investment

Group,

Inc.

3,218

11,649

NexPoint

Residential

Trust,

Inc.

937

33,123

Office

Properties

Income

Trust

1,362

35,371

Pennsylvania

REIT

(a)

16,600

22,576

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

1,705

28,320

PotlatchDeltic

Corp.

195

7,416

PS

Business

Parks,

Inc.

107

14,167

QTS

Realty

Trust,

Inc.,

Class

A

251

16,087

Retail

Value,

Inc.

504

6,229

Ryman

Hospitality

Properties,

Inc.

295

10,207

Sabra

Health

Care

REIT,

Inc.

1,016

14,661

Safehold

,

Inc.

150

8,623

Sunstone

Hotel

Investors,

Inc.

4,193

34,173

Uniti

Group,

Inc.

5,602

52,379

Universal

Health

Realty

Income

Trust

348

27,663

Urban

Edge

Properties

2,302

27,325

Urstadt

Biddle

Properties,

Inc.,

Class

A

852

10,122

Washington

Prime

Group,

Inc.

(a)

39,428

33,151

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.8%

(continued)

Xenia

Hotels

&

Resorts,

Inc.

2,619

24,435

840,236

Food

&

Staples

Retailing

-

0.7%

Ingles

Markets,

Inc.,

Class

A

2,118

91,222

Rite

Aid

Corp.

*(a)

2,291

39,085

130,307

Food

Products

-

0.8%

Fresh

Del

Monte

Produce,

Inc.

1,933

47,590

John

B

Sanfilippo

&

Son,

Inc.

1,126

96,082

143,672

Gas

Utilities

-

0.2%

ONE

Gas,

Inc.

402

30,974

Health

Care

Equipment

&

Supplies

-

4.0%

Globus

Medical,

Inc.,

Class

A

*

2,573

122,758

Haemonetics

Corp.

*

821

73,529

Integer

Holdings

Corp.

*

930

67,936

Invacare

Corp.

4,823

30,723

Lantheus

Holdings,

Inc.

*

2,548

36,436

Nevro

Corp.

*

166

19,832

Novocure

Ltd.

*

646

38,308

NuVasive

,

Inc.

*

225

12,523

Quidel

Corp.

*

781

174,741

Tandem

Diabetes

Care,

Inc.

*

340

33,633

Wright

Medical

Group

NV

*

1,586

47,136

Zynex

,

Inc.

*

2,066

51,381

708,936

Health

Care

Providers

&

Services

-

5.0%

Addus

HomeCare

Corp.

*

86

7,960

Amedisys

,

Inc.

*

997

197,944

AMN

Healthcare

Services,

Inc.

*

1,707

77,225

Community

Health

Systems,

Inc.

*

1,749

5,265

CorVel

Corp.

*

1,323

93,787

Ensign

Group,

Inc.

(The)

2,375

99,394

Joint

Corp.

(The)

*

2,147

32,785

LHC

Group,

Inc.

*

119

20,744

Magellan

Health,

Inc.

*

732

53,421

National

Research

Corp.

770

44,822

Owens

&

Minor,

Inc.

5,176

39,441

Patterson

Cos.,

Inc.

3,313

72,886

Select

Medical

Holdings

Corp.

*

1,362

20,062

Tenet

Healthcare

Corp.

*

2,368

42,884

Triple-S

Management

Corp.,

Class

B

*

3,930

74,749

883,369

Health

Care

Technology

-

1.3%

Livongo

Health,

Inc.

*

539

40,527

NextGen

Healthcare,

Inc.

*

719

7,895

Omnicell

,

Inc.

*

757

53,459

30

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Technology

-

1.3%

(continued)

Teladoc

Health,

Inc.

*

676

129,008

230,889

Hotels,

Restaurants

&

Leisure

-

1.1%

Biglari

Holdings,

Inc.,

Class

B

*

202

13,934

Boyd

Gaming

Corp.

358

7,482

Brinker

International,

Inc.

1,203

28,872

Cracker

Barrel

Old

Country

Store,

Inc.

195

21,627

Dave

&

Buster's

Entertainment,

Inc.

(a)

1,125

14,996

Eldorado

Resorts,

Inc.

*(a)

159

6,370

Everi

Holdings,

Inc.

*

4,719

24,350

Marriott

Vacations

Worldwide

Corp.

157

12,907

Penn

National

Gaming,

Inc.

*

461

14,079

Texas

Roadhouse,

Inc.

196

10,304

Wingstop

,

Inc.

212

29,462

184,383

Household

Durables

-

3.1%

Installed

Building

Products,

Inc.

*

697

47,940

KB

Home

570

17,488

La-Z-Boy,

Inc.

329

8,903

M/I

Homes,

Inc.

*

2,132

73,426

MDC

Holdings,

Inc.

1,539

54,942

Meritage

Homes

Corp.

*

2,203

167,692

Taylor

Morrison

Home

Corp.

*

3,564

68,750

TopBuild

Corp.

*

433

49,262

TRI

Pointe

Group,

Inc.

*

2,231

32,773

Universal

Electronics,

Inc.

*

545

25,517

546,693

Household

Products

-

0.1%

WD-40

Co.

128

25,382

Independent

Power

and

Renewable

Electricity

Producers

-

0.3%

Clearway

Energy,

Inc.,

Class

C

817

18,840

Ormat

Technologies,

Inc.

496

31,491

50,331

Insurance

-

3.2%

eHealth,

Inc.

*

729

71,617

Employers

Holdings,

Inc.

3,538

106,671

Fidelity

National

Financial,

Inc.

139

4,262

Genworth

Financial,

Inc.,

Class

A

*

7,815

18,053

Hallmark

Financial

Services,

Inc.

*

8,526

29,756

Heritage

Insurance

Holdings,

Inc.

1,556

20,368

Kinsale

Capital

Group,

Inc.

593

92,039

National

General

Holdings

Corp.

3,807

82,269

National

Western

Life

Group,

Inc.,

Class

A

88

17,881

Selective

Insurance

Group,

Inc.

1,308

68,984

Stewart

Information

Services

Corp.

895

29,096

Universal

Insurance

Holdings,

Inc.

1,296

23,004

564,000

INVESTMENTS

SHARES

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

0.5%

1-800-Flowers.com,

Inc.,

Class

A

*

1,136

22,744

Rubicon

Project,

Inc.

(The)

*

921

6,143

Stamps.com,

Inc.

*

277

50,882

79,769

IT

Services

-

2.4%

Cardtronics

plc,

Class

A

*

2,101

50,382

EVERTEC,

Inc.

1,377

38,694

Hackett

Group,

Inc.

(The)

970

13,134

KBR,

Inc.

3,684

83,074

MAXIMUS,

Inc.

991

69,816

Perspecta

,

Inc.

2,308

53,615

Science

Applications

International

Corp.

110

8,545

Sykes

Enterprises,

Inc.

*

2,897

80,131

TTEC

Holdings,

Inc.

308

14,340

Unisys

Corp.

*

1,569

17,118

428,849

Leisure

Products

-

2.0%

Acushnet

Holdings

Corp.

2,335

81,235

Johnson

Outdoors,

Inc.,

Class

A

1,369

124,606

Malibu

Boats,

Inc.,

Class

A

*

1,033

53,664

MasterCraft

Boat

Holdings,

Inc.

*

894

17,031

Vista

Outdoor,

Inc.

*

953

13,771

YETI

Holdings,

Inc.

*

1,603

68,496

358,803

Life

Sciences

Tools

&

Services

-

3.3%

Medpace

Holdings,

Inc.

*

1,987

184,831

NeoGenomics

,

Inc.

*

2,236

69,271

Repligen

Corp.

*

1,497

185,044

Syneos

Health,

Inc.

*

2,342

136,422

575,568

Machinery

-

1.3%

Columbus

McKinnon

Corp.

438

14,651

Commercial

Vehicle

Group,

Inc.

*

9,415

27,209

Kennametal,

Inc.

558

16,020

Meritor,

Inc.

*

3,666

72,587

Miller

Industries,

Inc.

384

11,432

Mueller

Industries,

Inc.

2,028

53,904

Rexnord

Corp.

422

12,301

Wabash

National

Corp.

1,354

14,380

222,484

Media

-

0.4%

Cumulus

Media,

Inc.,

Class

A

*

5,426

21,433

TEGNA,

Inc.

3,950

44,003

65,436

Metals

&

Mining

-

1.8%

Commercial

Metals

Co.

5,305

108,222

Ryerson

Holding

Corp.

*

18,564

104,515

31

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

1.8%

(continued)

Schnitzer

Steel

Industries,

Inc.,

Class

A

1,831

32,299

Warrior

Met

Coal,

Inc.

2,134

32,842

Worthington

Industries,

Inc.

778

29,020

306,898

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.6%

Apollo

Commercial

Real

Estate

Finance,

Inc.

2,545

24,966

Blackstone

Mortgage

Trust,

Inc.,

Class

A

1,590

38,303

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

701

19,951

PennyMac

Mortgage

Investment

Trust

1,075

18,845

102,065

Oil,

Gas

&

Consumable

Fuels

-

0.4%

Penn

Virginia

Corp.

*

625

5,956

Teekay

Corp.

*

1,580

3,792

Teekay

Tankers

Ltd.,

Class

A

*(a)

1,534

19,666

World

Fuel

Services

Corp.

1,432

36,888

66,302

Paper

&

Forest

Products

-

1.2%

Boise

Cascade

Co.

4,429

166,575

Schweitzer-Mauduit

International,

Inc.

309

10,324

Verso

Corp.,

Class

A

2,939

35,150

212,049

Personal

Products

-

0.2%

Inter

Parfums

,

Inc.

175

8,426

Lifevantage

Corp.

*

517

6,990

USANA

Health

Sciences,

Inc.

*

391

28,711

44,127

Pharmaceuticals

-

0.9%

AMAG

Pharmaceuticals,

Inc.

*(a)

1,122

8,583

Corcept

Therapeutics,

Inc.

*

4,014

67,516

Endo

International

plc

*

1,689

5,793

Evofem

Biosciences,

Inc.

*

1,127

3,190

Kala

Pharmaceuticals,

Inc.

*

457

4,803

Lannett

Co.,

Inc.

*

4,818

34,979

Osmotica

Pharmaceuticals

plc

*

1,051

7,073

Reata

Pharmaceuticals,

Inc.,

Class

A

*

59

9,205

Supernus

Pharmaceuticals,

Inc.

*

691

16,411

157,553

Professional

Services

-

2.7%

Barrett

Business

Services,

Inc.

563

29,912

CBIZ,

Inc.

*

595

14,262

FTI

Consulting,

Inc.

*

1,268

145,249

Heidrick

&

Struggles

International,

Inc.

1,759

38,030

INVESTMENTS

SHARES

VALUE

($)

Professional

Services

-

2.7%

(continued)

ICF

International,

Inc.

253

16,402

Kelly

Services,

Inc.,

Class

A

3,650

57,725

Kforce

,

Inc.

4,835

141,424

Resources

Connection,

Inc.

653

7,816

TrueBlue

,

Inc.

*

1,391

21,241

472,061

Real

Estate

Management

&

Development

-

0.0%

(b)

Newmark

Group,

Inc.,

Class

A

1,830

8,894

Road

&

Rail

-

0.4%

ArcBest

Corp.

2,092

55,459

Avis

Budget

Group,

Inc.

*

408

9,339

64,798

Semiconductors

&

Semiconductor

Equipment

-

5.9%

Amkor

Technology,

Inc.

*

10,736

132,160

Cabot

Microelectronics

Corp.

698

97,399

Cirrus

Logic,

Inc.

*

1,939

119,791

Diodes,

Inc.

*

2,437

123,556

Enphase

Energy,

Inc.

*(a)

874

41,576

FormFactor

,

Inc.

*

4,004

117,437

Ichor

Holdings

Ltd.

*

2,462

65,440

Lattice

Semiconductor

Corp.

*

3,674

104,305

Onto

Innovation,

Inc.

*

552

18,790

Photronics

,

Inc.

*

6,993

77,832

Power

Integrations,

Inc.

467

55,167

SMART

Global

Holdings,

Inc.

*

1,948

52,947

Ultra

Clean

Holdings,

Inc.

*

1,239

28,039

1,034,439

Software

-

3.9%

ACI

Worldwide,

Inc.

*

1,433

38,677

Appfolio

,

Inc.,

Class

A

*

195

31,728

Avaya

Holdings

Corp.

*

1,114

13,769

Digital

Turbine,

Inc.

*

11,567

145,397

Everbridge

,

Inc.

*

71

9,824

Intelligent

Systems

Corp.

*

1,155

39,362

J2

Global,

Inc.

*

2,180

137,798

Mitek

Systems,

Inc.

*

385

3,700

Progress

Software

Corp.

842

32,627

Qualys

,

Inc.

*

786

81,760

SPS

Commerce,

Inc.

*

1,234

92,698

Verint

Systems,

Inc.

*

850

38,403

Xperi

Holding

Corp.

677

9,993

675,736

Specialty

Retail

-

2.1%

Aaron's,

Inc.

209

9,489

Asbury

Automotive

Group,

Inc.

*

328

25,364

Cato

Corp.

(The),

Class

A

1,188

9,718

Citi

Trends,

Inc.

460

9,301

Genesco,

Inc.

*

899

19,472

Group

1

Automotive,

Inc.

783

51,655

Hibbett

Sports,

Inc.

*

2,539

53,167

32

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

2.1%

(continued)

Lithia

Motors,

Inc.,

Class

A

260

39,346

Office

Depot,

Inc.

6,186

14,537

Shoe

Carnival,

Inc.

987

28,889

Sleep

Number

Corp.

*

581

24,193

Sonic

Automotive,

Inc.,

Class

A

1,007

32,133

Zumiez

,

Inc.

*

1,984

54,322

371,586

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(b)

Avid

Technology,

Inc.

*

1,064

7,735

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Deckers

Outdoor

Corp.

*

311

61,077

Oxford

Industries,

Inc.

216

9,506

Rocky

Brands,

Inc.

3,285

67,540

Steven

Madden

Ltd.

3,273

80,810

218,933

Thrifts

&

Mortgage

Finance

-

2.8%

Axos

Financial,

Inc.

*

457

10,090

Essent

Group

Ltd.

1,773

64,307

Flagstar

Bancorp,

Inc.

3,362

98,944

HomeStreet

,

Inc.

849

20,894

Meta

Financial

Group,

Inc.

835

15,172

PennyMac

Financial

Services,

Inc.

1,842

76,977

Radian

Group,

Inc.

6,224

96,534

Walker

&

Dunlop,

Inc.

1,411

71,693

Washington

Federal,

Inc.

1,196

32,101

486,712

Tobacco

-

0.3%

Turning

Point

Brands,

Inc.

2,045

50,941

Trading

Companies

&

Distributors

-

1.6%

BMC

Stock

Holdings,

Inc.

*

3,112

78,236

CAI

International,

Inc.

*

1,398

23,291

GMS,

Inc.

*

4,607

113,286

H&E

Equipment

Services,

Inc.

1,207

22,305

Veritiv

Corp.

*

2,220

37,651

WESCO

International,

Inc.

*

93

3,265

278,034

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

336

16,561

TOTAL

COMMON

STOCKS

(Cost

$15,741,024)

17,153,709

PREFERRED

STOCKS

-

0.1%

Diversified

Telecommunication

Services

-

0.0%

(b)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039

(c)

105

2,752

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

0.1%

WESCO

International,

Inc.,

Series

A,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

10.33%),

10.63%,

6/22/2025

(c)(d)

247

6,551

TOTAL

PREFERRED

STOCKS

(Cost

$7,461)

9,303

SHORT-TERM

INVESTMENTS

-

1.7%

INVESTMENT

COMPANIES

-

1.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(e)

(Cost

$306,215)

306,215

306,276

SECURITIES

LENDING

COLLATERAL

-

1.5%

Investment

Companies

-

1.5%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(e)(f)

64,224

64,224

Limited

Purpose

Cash

Investment

Fund

0.34%

(e)(f)

191,040

191,078

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$255,264)

255,302

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

101.3%

(Cost

$16,309,964)

17,724,590

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(1.3)%

(g)

(227,470)

NET

ASSETS

-

100.0%

17,497,120

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

131,298

0.8

%

Consumer

Discretionary

2,107,293

12.0

Consumer

Staples

444,874

2.5

Energy

96,913

0.6

Financials

2,573,473

14.7

Health

Care

4,198,919

24.0

Industrials

3,107,389

17.8

Information

Technology

2,898,115

16.6

Materials

572,347

3.3

Real

Estate

849,130

4.8

Utilities

183,261

1.0

Short-Term

Investments

306,276

1.7

Securities

Lending

Collateral

255,302

1.5

Total

Investments

In

Securities

At

Value

17,724,590

101.3

Liabilities

in

Excess

of

Other

Assets

(g

)

(227,470)

(1.3)

Net

Assets

$

17,497,120

100.0%

33

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$238,381.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

June

30,

2020.

The

maturity

date

reflects

the

next

call

date.

(d)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

June

30,

2020.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

2

9/2020

USD

$

143,760

$

5,796

$

5,796

34

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.8%

Australia

-

7.1%

Aurizon

Holdings

Ltd.

195,881

666,559

BHP

Group

Ltd.

31,889

793,969

BHP

Group

plc

52,610

1,076,562

BlueScope

Steel

Ltd.

225,073

1,854,118

Crown

Resorts

Ltd.

51,304

345,608

CSL

Ltd.

12,397

2,465,626

Dexus

,

REIT

33,527

215,187

Fortescue

Metals

Group

Ltd.

246,529

2,396,674

Goodman

Group,

REIT

30,886

318,689

GPT

Group

(The),

REIT

35,606

103,440

REA

Group

Ltd.

7,131

537,346

Rio

Tinto

Ltd.

3,006

205,832

Rio

Tinto

plc

24,340

1,369,771

Scentre

Group,

REIT

118,649

180,126

Tabcorp

Holdings

Ltd.

31,341

73,923

Vicinity

Centres

,

REIT

73,435

73,604

WiseTech

Global

Ltd.

42,885

580,147

13,257,181

—

Belgium

-

1.4%

Ageas

SA/NV

10,091

357,623

Galapagos

NV

*

10,158

2,004,963

Groupe

Bruxelles

Lambert

SA

1,467

122,876

Proximus

SADP

5,910

120,429

UCB

SA

538

62,433

2,668,324

—

Canada

-

8.3%

Atco

Ltd.,

Class

I

(1)

2,114

62,707

Bank

of

Montreal

(1)

11,188

595,496

Bank

of

Nova

Scotia

(The)

(1)

15,059

623,169

Canadian

Apartment

Properties,

REIT

(1)

3,482

124,625

Canadian

Imperial

Bank

of

Commerce

(1)

9,268

619,460

Canadian

Pacific

Railway

Ltd.

(1)

3,586

912,137

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

5,937

514,458

CCL

Industries,

Inc.,

Class

B

(1)

2,455

79,350

Cenovus

Energy,

Inc.

(1)

41,175

192,591

CGI,

Inc.

(1)*

27,520

1,733,785

CI

Financial

Corp.

(1)

47,813

608,228

Constellation

Software,

Inc.

(1)

113

127,590

Fairfax

Financial

Holdings

Ltd.

(1)

1,918

592,565

Great-West

Lifeco

,

Inc.

(1)

2,283

40,023

iA

Financial

Corp.,

Inc.

(1)

17,182

575,349

IGM

Financial,

Inc.

(1)

3,247

78,903

Imperial

Oil

Ltd.

(1)

20,710

333,166

Magna

International,

Inc.

(1)

41,888

1,865,461

Manulife

Financial

Corp.

(1)

43,582

592,928

National

Bank

of

Canada

(1)

2,075

94,029

Open

Text

Corp.

(1)

25,971

1,102,849

Royal

Bank

of

Canada

(1)

24,443

1,658,401

Shopify,

Inc.,

Class

A

(1)*

627

595,673

Teck

Resources

Ltd.,

Class

B

(1)

22,728

238,061

Thomson

Reuters

Corp.

(1)

1,382

93,898

Toronto-Dominion

Bank

(The)

(1)

30,353

1,354,661

15,409,563

—

INVESTMENTS

SHARES

VALUE

($)

China

-

0.7%

BOC

Hong

Kong

Holdings

Ltd.

132,500

424,251

Wilmar

International

Ltd.

98,600

291,636

Yangzijiang

Shipbuilding

Holdings

Ltd.

827,900

557,337

1,273,224

—

Denmark

-

2.9%

Coloplast

A/S,

Class

B

6,818

1,062,708

DSV

Panalpina

A/S

2,578

316,669

Genmab

A/S

*

792

267,057

Novo

Nordisk

A/S,

Class

B

37,844

2,465,450

Pandora

A/S

25,115

1,371,643

5,483,527

—

Finland

-

1.8%

Kone

OYJ,

Class

B

2,317

159,802

Neste

OYJ

41,603

1,634,003

Nokia

OYJ

42,143

184,159

Orion

OYJ,

Class

B

24,312

1,178,996

Wartsila

OYJ

Abp

19,463

161,447

3,318,407

—

France

-

8.4%

Atos

SE

*

2,383

204,302

AXA

SA

14,456

304,197

BioMerieux

929

127,584

BNP

Paribas

SA

*

8,899

355,551

Cie

de

Saint-Gobain

*

27,401

988,655

CNP

Assurances

*

20,365

236,202

Dassault

Aviation

SA

*

59

54,132

Electricite

de

France

SA

139,350

1,295,548

Engie

SA

*

28,418

352,438

Eutelsat

Communications

SA

34,922

323,040

Faurecia

SE

*

1,567

61,565

Gecina

SA,

REIT

483

59,654

Ipsen

SA

1,278

108,415

L'Oreal

SA

7,631

2,462,881

LVMH

Moet

Hennessy

Louis

Vuitton

SE

468

206,620

Natixis

SA

*

179,778

474,171

Orange

SA

43,163

516,142

Peugeot

SA

*

129,487

2,123,475

Publicis

Groupe

SA

5,984

194,390

Sanofi

24,503

2,498,931

Schneider

Electric

SE

10,626

1,182,002

Societe

Generale

SA

*

3,527

58,970

TOTAL

SA

32,305

1,245,630

Unibail

-

Rodamco

-Westfield,

REIT

(a)

4,856

273,717

15,708,212

—

Germany

-

7.4%

Allianz

SE

(Registered)

6,784

1,386,259

Bayer

AG

(Registered)

41,640

3,086,505

Beiersdorf

AG

1,217

138,390

Commerzbank

AG

*

12,839

57,222

Delivery

Hero

SE

*(b)

6,789

697,687

Deutsche

Boerse

AG

2,105

380,956

Deutsche

Post

AG

(Registered)

12,317

452,279

Deutsche

Wohnen

SE

4,001

179,787

35

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

7.4%

(continued)

Fresenius

SE

&

Co.

KGaA

2,780

138,174

Hannover

Rueck

SE

1,252

216,376

HOCHTIEF

AG

2,076

184,721

Infineon

Technologies

AG

57,307

1,342,829

KION

Group

AG

1,225

75,423

Nemetschek

SE

2,498

171,643

SAP

SE

12,715

1,777,424

Siemens

Healthineers

AG

(b)

6,357

305,569

TUI

AG

13,363

63,325

Volkswagen

AG

(Preference)

3,472

527,745

Vonovia

SE

3,353

204,946

Zalando

SE

*(b)

32,967

2,338,697

13,725,957

—

Hong

Kong

-

3.3%

CK

Asset

Holdings

Ltd.

122,000

731,609

CLP

Holdings

Ltd.

78,000

766,057

Hong

Kong

Exchanges

&

Clearing

Ltd.

13,300

566,470

Kerry

Properties

Ltd.

113,000

293,532

Link,

REIT

13,000

106,732

PCCW

Ltd.

30,000

17,153

Power

Assets

Holdings

Ltd.

88,500

483,570

Sun

Hung

Kai

Properties

Ltd.

19,500

249,117

Swire

Pacific

Ltd.,

Class

A

12,500

66,435

WH

Group

Ltd.

(b)

2,324,000

2,008,388

Yue

Yuen

Industrial

Holdings

Ltd.

567,000

864,261

6,153,324

—

Italy

-

2.5%

Assicurazioni

Generali

SpA

19,889

302,119

DiaSorin

SpA

3,009

577,865

Enel

SpA

236,180

2,042,590

Leonardo

SpA

178,483

1,189,830

Poste

Italiane

SpA

(b)

12,991

113,480

Prysmian

SpA

9,250

214,585

Telecom

Italia

SpA

596,063

235,049

4,675,518

—

Japan

-

20.9%

Acom

Co.

Ltd.

16,500

63,142

Advantest

Corp.

15,700

896,007

Amada

Co.

Ltd.

47,400

388,105

Bandai

Namco

Holdings,

Inc.

4,900

257,927

Brother

Industries

Ltd.

5,000

90,335

Chubu

Electric

Power

Co.,

Inc.

5,000

62,710

Dai-ichi

Life

Holdings,

Inc.

29,300

350,721

Daiwa

House

Industry

Co.

Ltd.

4,400

103,906

Fujitsu

Ltd.

20,200

2,365,083

Fukuoka

Financial

Group,

Inc.

46,300

732,045

Hitachi

Ltd.

64,600

2,053,300

ITOCHU

Corp.

92,700

2,005,826

Japan

Post

Insurance

Co.

Ltd.

4,400

57,976

Japan

Real

Estate

Investment

Corp.,

REIT

15

76,982

Japan

Tobacco,

Inc.

7,900

146,725

JGC

Holdings

Corp.

7,800

82,250

Kamigumi

Co.

Ltd.

9,800

192,732

KDDI

Corp.

23,600

704,157

Konami

Holdings

Corp.

11,600

387,079

INVESTMENTS

SHARES

VALUE

($)

Japan

-

20.9%

(continued)

Kyocera

Corp.

19,800

1,080,775

M3,

Inc.

5,700

242,142

Mitsubishi

Electric

Corp.

77,400

1,010,942

Mitsubishi

Estate

Co.

Ltd.

9,000

134,116

Mitsubishi

UFJ

Financial

Group,

Inc.

180,700

711,149

Mitsui

Chemicals,

Inc.

4,200

87,848

Mitsui

Fudosan

Co.

Ltd.

7,000

124,353

MS&AD

Insurance

Group

Holdings,

Inc.

75,100

2,068,157

Nexon

Co.

Ltd.

26,400

595,490

Nippon

Express

Co.

Ltd.

11,700

606,686

Nippon

Telegraph

&

Telephone

Corp.

93,200

2,171,509

Nomura

Holdings,

Inc.

254,500

1,143,618

Nomura

Real

Estate

Holdings,

Inc.

2,700

50,267

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

65

77,850

NTT

DOCOMO,

Inc.

16,700

443,352

Obayashi

Corp.

47,400

445,629

Olympus

Corp.

5,700

109,739

ORIX

Corp.

15,900

197,434

Resona

Holdings,

Inc.

622,100

2,128,760

Rohm

Co.

Ltd.

8,800

585,124

Sekisui

House

Ltd.

76,900

1,468,187

Shimizu

Corp.

32,100

264,443

Shinsei

Bank

Ltd.

96,000

1,161,140

Sompo

Holdings,

Inc.

5,500

189,340

Square

Enix

Holdings

Co.

Ltd.

23,200

1,175,408

Subaru

Corp.

23,600

494,176

SUMCO

Corp.

76,100

1,169,972

Sumitomo

Dainippon

Pharma

Co.

Ltd.

4,300

59,588

Sumitomo

Heavy

Industries

Ltd.

8,600

188,091

Sumitomo

Mitsui

Financial

Group,

Inc.

50,900

1,436,490

Sumitomo

Mitsui

Trust

Holdings,

Inc.

23,000

648,148

TDK

Corp.

2,900

288,699

Teijin

Ltd.

28,300

450,582

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

89,500

275,319

Tokyo

Electron

Ltd.

7,500

1,850,578

Toppan

Printing

Co.

Ltd.

27,300

456,427

Tosoh

Corp.

35,100

482,166

Toyota

Motor

Corp.

1,200

75,461

Yamaha

Corp.

7,100

334,872

Z

Holdings

Corp.

243,600

1,195,522

38,696,557

—

Macau

-

0.0%

(c)

SJM

Holdings

Ltd.

50,000

56,057

Netherlands

-

5.7%

ASML

Holding

NV

6,469

2,366,446

ING

Groep

NV

38,548

268,715

Koninklijke

Ahold

Delhaize

NV

95,336

2,598,294

Koninklijke

Philips

NV

*

21,628

1,010,416

NN

Group

NV

10,822

363,703

Randstad

NV

*

13,117

586,527

36

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

5.7%

(continued)

Royal

Dutch

Shell

plc,

Class

A

56,397

902,987

Royal

Dutch

Shell

plc,

Class

B

41,664

631,638

Wolters

Kluwer

NV

24,569

1,920,416

10,649,142

—

Russia

-

0.2%

Evraz

plc

105,582

374,086

Singapore

-

1.1%

Ascendas

,

REIT

40,900

93,841

CapitaLand

Commercial

Trust,

REIT

70,800

86,649

Genting

Singapore

Ltd.

563,000

309,747

Venture

Corp.

Ltd.

126,800

1,481,875

1,972,112

—

South

Africa

-

0.2%

Anglo

American

plc

19,895

458,644

Spain

-

1.8%

Enagas

SA

18,029

441,053

Endesa

SA

20,549

509,744

Grifols

SA

34,804

1,058,321

Iberdrola

SA

59,144

690,488

Mapfre

SA

64,832

115,770

Naturgy

Energy

Group

SA

16,333

304,920

Red

Electrica

Corp.

SA

9,567

178,994

Repsol

SA

7,958

70,317

3,369,607

—

Sweden

-

3.3%

Atlas

Copco

AB,

Class

A

1,316

56,042

Essity

AB,

Class

B

*

44,813

1,452,901

Evolution

Gaming

Group

AB

(b)

1,209

71,809

Hennes

&

Mauritz

AB,

Class

B

152,972

2,232,826

ICA

Gruppen

AB

25,987

1,235,280

Investor

AB,

Class

B

2,740

145,351

Skanska

AB,

Class

B

*

23,967

489,293

SKF

AB,

Class

B

5,546

103,674

Swedish

Match

AB

1,210

85,372

Telefonaktiebolaget

LM

Ericsson,

Class

B

21,784

201,928

Volvo

AB,

Class

B

*

4,352

68,478

6,142,954

—

Switzerland

-

8.9%

Coca-Cola

HBC

AG

6,248

156,407

Credit

Suisse

Group

AG

(Registered)

9,409

97,899

Geberit

AG

(Registered)

765

383,828

LafargeHolcim

Ltd.

(Registered)

*

6,354

279,932

Lonza

Group

AG

(Registered)

814

431,174

Nestle

SA

(Registered)

23,630

2,619,873

Novartis

AG

(Registered)

49,999

4,355,966

Roche

Holding

AG

14,740

5,106,667

SGS

SA

(Registered)

205

502,177

Sonova

Holding

AG

(Registered)

*

6,144

1,229,877

STMicroelectronics

NV

4,743

129,286

Swatch

Group

AG

(The)

319

64,027

UBS

Group

AG

(Registered)

29,546

341,229

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

8.9%

(continued)

Zurich

Insurance

Group

AG

2,633

932,952

16,631,294

—

United

Kingdom

-

8.8%

3i

Group

plc

6,980

71,873

Admiral

Group

plc

8,308

235,606

AstraZeneca

plc

10,116

1,052,817

Auto

Trader

Group

plc

(b)

51,444

334,939

Aviva

plc

663,303

2,248,184

BAE

Systems

plc

101,694

608,075

Barclays

plc

581,913

820,962

Barratt

Developments

plc

66,145

406,536

Berkeley

Group

Holdings

plc

2,934

151,102

British

American

Tobacco

plc

31,716

1,216,398

BT

Group

plc

661,122

934,992

CK

Hutchison

Holdings

Ltd.

102,000

660,510

Compass

Group

plc

21,364

293,936

Direct

Line

Insurance

Group

plc

82,290

275,923

Fiat

Chrysler

Automobiles

NV

*

12,865

130,169

GlaxoSmithKline

plc

39,386

795,585

GVC

Holdings

plc

87,945

806,095

Imperial

Brands

plc

10,124

192,727

ITV

plc

167,575

154,878

Legal

&

General

Group

plc

32,811

89,451

Lloyds

Banking

Group

plc

492,834

190,116

London

Stock

Exchange

Group

plc

3,501

364,087

M&G

plc

38,482

79,906

Micro

Focus

International

plc

111,097

592,708

Next

plc

12,563

760,626

Ocado

Group

plc

*

8,887

223,333

Persimmon

plc

19,342

547,409

RELX

plc

3,860

89,343

Smith

&

Nephew

plc

36,040

671,556

Taylor

Wimpey

plc

365,616

645,315

Vodafone

Group

plc

147,859

235,060

Wm

Morrison

Supermarkets

plc

194,013

457,043

16,337,260

—

United

States

-

0.1%

Carnival

plc

16,041

196,221

TOTAL

COMMON

STOCKS

(Cost

$159,582,564)

176,557,171

SHORT-TERM

INVESTMENTS

-

2.7%

INVESTMENT

COMPANIES

-

2.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

(Cost

$5,112,728)

5,112,763

5,113,785

37

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.0%

(c)

Investment

Companies

-

0.0%

(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(d)(e)

4,623

4,623

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(d)(e)

13,750

13,753

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$18,373)

18,376

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.5%

(Cost

$164,713,665)

181,689,332

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.5%

(f)

4,666,856

NET

ASSETS

-

100.0%

186,356,188

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

10,275,934

5.5

%

Consumer

Discretionary

20,580,297

11.0

Consumer

Staples

15,062,315

8.1

Energy

5,010,333

2.7

Financials

30,319,783

16.3

Health

Care

32,474,126

17.4

Industrials

18,318,970

9.8

Information

Technology

22,972,517

12.3

Materials

10,147,595

5.5

Real

Estate

3,929,165

2.1

Utilities

7,466,136

4.1

Short-Term

Investments

5,113,785

2.7

Securities

Lending

Collateral

18,376

0.0(

c

)

Total

Investments

In

Securities

At

Value

181,689,332

97.5

Other

Assets

in

Excess

of

Liabilities

(f)

4,666,856

2.5

Net

Assets

$

186,356,188

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$16,792.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$5,870,569,

which

represents

approximately

3.15%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

83

9/2020

USD

$

7,380,360

$

62,087

$

62,087

38

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.0%

Australia

-

0.1%

AngloGold

Ashanti

Ltd.,

ADR

(1)

8,461

249,515

Brazil

-

5.1%

Banco

Bradesco

SA

(Preference)

(1)

242,500

923,071

Banco

do

Brasil

SA

(1)*

142,700

843,641

CCR

SA

(1)

162,600

433,552

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo

(1)*

103,800

1,101,352

Cia

Energetica

de

Minas

Gerais

(Preference)

(1)*

55,000

111,454

IRB

Brasil

Resseguros

S/A

(1)

99,100

200,456

Itau

Unibanco

Holding

SA

(Preference)

(1)

197,500

924,289

Itausa

SA

(Preference)

(1)

387,700

683,703

Lojas

Americanas

SA

(Preference)

(1)*

209,400

1,239,126

Lojas

Renner

SA

(1)*

18,800

144,506

Notre

Dame

Intermedica

Participacoes

SA

(1)

105,500

1,319,405

Petrobras

Distribuidora

SA

(1)*

715,800

2,836,559

Petroleo

Brasileiro

SA

(Preference)

(1)

272,000

1,077,876

Sul

America

SA

(1)*

62,785

520,351

TIM

Participacoes

SA,

ADR

(1)*

219,993

2,846,709

Ultrapar

Participacoes

SA

(1)

219,500

741,879

15,947,929

—

Chile

-

1.2%

Banco

de

Chile,

ADR

(1)

5,510

97,252

Banco

de

Credito

e

Inversiones

SA

(1)

4,027

136,788

Cencosud

SA

(1)

1,122,279

1,571,244

Cia

Cervecerias

Unidas

SA,

ADR

(1)

20,795

297,784

Enel

Americas

SA,

ADR

(1)

182,449

1,370,192

Enel

Chile

SA,

ADR

(1)

43,195

162,845

Falabella

SA

(1)

62,824

198,859

3,834,964

—

China

-

39.1%

58.com,

Inc.,

ADR

(1)*

5,066

273,260

Agricultural

Bank

of

China

Ltd.,

Class

A

*

900,500

431,291

Alibaba

Group

Holding

Ltd.,

ADR

(1)*

95,494

20,598,055

Alibaba

Health

Information

Technology

Ltd.

*

100,000

294,068

A-Living

Services

Co.

Ltd.,

Class

H

(a)

440,500

2,238,697

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

48,323

363,658

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

429,000

2,906,968

Autohome

,

Inc.,

ADR

(1)

3,195

241,223

BAIC

Motor

Corp.

Ltd.,

Class

H

(a)

1,077,500

471,546

Baidu,

Inc.,

ADR

(1)*

16,725

2,005,160

Bank

of

Beijing

Co.

Ltd.,

Class

A

203,478

141,291

Bank

of

China

Ltd.,

Class

A

*

803,600

396,253

INVESTMENTS

SHARES

VALUE

($)

China

-

39.1%

(continued)

Bank

of

China

Ltd.,

Class

H

*

795,000

294,494

Bank

of

Communications

Co.

Ltd.,

Class

A

216,500

157,322

Bank

of

Ningbo

Co.

Ltd.,

Class

A

54,000

201,325

Bank

of

Shanghai

Co.

Ltd.,

Class

A

131,211

154,448

Baoshan

Iron

&

Steel

Co.

Ltd.,

Class

A

326,022

211,161

BOE

Technology

Group

Co.

Ltd.,

Class

A

*

571,800

380,425

BYD

Co.

Ltd.,

Class

A

31,300

320,349

BYD

Electronic

International

Co.

Ltd.

968,000

2,236,277

China

CITIC

Bank

Corp.

Ltd.,

Class

H

345,000

151,182

China

Construction

Bank

Corp.,

Class

H

3,587,000

2,917,605

China

Everbright

Bank

Co.

Ltd.,

Class

A

322,100

163,445

China

Everbright

Bank

Co.

Ltd.,

Class

H

270,000

101,951

China

Everbright

International

Ltd.

1,552,000

823,449

China

Evergrande

Group

786,000

2,045,287

China

Hongqiao

Group

Ltd.

875,000

389,618

China

Lesso

Group

Holdings

Ltd.

211,000

276,955

China

Medical

System

Holdings

Ltd.

858,000

1,014,680

China

Merchants

Bank

Co.

Ltd.,

Class

A

93,558

448,126

China

Merchants

Securities

Co.

Ltd.,

Class

A

81,600

254,151

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

199,255

160,120

China

Minsheng

Banking

Corp.

Ltd.,

Class

H

*

233,000

160,388

China

Mobile

Ltd.

820,500

5,540,065

China

National

Building

Material

Co.

Ltd.,

Class

H

2,560,000

2,745,866

China

Overseas

Land

&

Investment

Ltd.

400,000

1,221,375

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

37,500

145,279

China

Petroleum

&

Chemical

Corp.,

Class

A

219,600

121,907

China

Railway

Construction

Corp.

Ltd.,

Class

A

115,000

136,864

China

Resources

Land

Ltd.

302,000

1,154,303

China

Shipbuilding

Industry

Co.

Ltd.,

Class

A

237,500

134,877

China

State

Construction

Engineering

Corp.

Ltd.,

Class

A

293,300

198,591

China

Tourism

Group

Duty

Free

Corp.

Ltd.,

Class

A

*

38,492

844,015

China

United

Network

Communications

Ltd.,

Class

A

202,100

139,014

China

Vanke

Co.

Ltd.,

Class

H

373,700

1,192,722

China

Yangtze

Power

Co.

Ltd.,

Class

A

66,950

179,854

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

284,000

112,315

CITIC

Ltd.

375,000

354,107

39

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

China

-

39.1%

(continued)

CITIC

Securities

Co.

Ltd.,

Class

A

99,100

339,312

CNOOC

Ltd.,

ADR

(1)

11,283

1,273,174

Country

Garden

Holdings

Co.

Ltd.

1,935,000

2,399,981

Country

Garden

Services

Holdings

Co.

Ltd.

646,000

3,015,758

CSPC

Pharmaceutical

Group

Ltd.

189,600

359,081

Daqin

Railway

Co.

Ltd.,

Class

A

*

122,100

121,781

Far

East

Horizon

Ltd.

529,000

451,596

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

20,160

355,273

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

28,730

230,859

Greentown

Service

Group

Co.

Ltd.

(b)

824,000

976,693

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

94,200

230,799

Haier

Electronics

Group

Co.

Ltd.

866,000

2,636,534

Haier

Smart

Home

Co.

Ltd.,

Class

A

67,300

169,111

Haitong

Securities

Co.

Ltd.,

Class

A

117,600

210,072

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

87,175

376,840

Hua

Hong

Semiconductor

Ltd.

*(a)

42,000

147,238

Huatai

Securities

Co.

Ltd.,

Class

A

88,600

236,504

Huaxia

Bank

Co.

Ltd.,

Class

A

165,100

143,252

Huazhu

Group

Ltd.,

ADR

(1)

8,063

282,608

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

201,700

142,312

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

906,000

547,739

Industrial

Bank

Co.

Ltd.,

Class

A

*

122,390

274,120

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

47,300

208,956

JD.com,

Inc.,

ADR

(1)*

40,735

2,451,432

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

73,249

957,761

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

11,900

177,702

Jiangxi

Copper

Co.

Ltd.,

Class

H

363,000

369,857

Kweichow

Moutai

Co.

Ltd.,

Class

A

5,500

1,142,730

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

101,007

738,863

Luzhou

Laojiao

Co.

Ltd.,

Class

A

17,500

226,551

Momo

,

Inc.,

ADR

(1)

7,296

127,534

NARI

Technology

Co.

Ltd.,

Class

A

49,900

143,868

NetEase

,

Inc.,

ADR

(1)

4,286

1,840,323

New

China

Life

Insurance

Co.

Ltd.,

Class

A

21,800

137,122

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR

(1)*

8,807

1,146,936

PetroChina

Co.

Ltd.,

Class

A

225,000

133,733

Pinduoduo

,

Inc.,

ADR

(1)*

11,590

994,886

Ping

An

Bank

Co.

Ltd.,

Class

A

121,485

220,791

Ping

An

Healthcare

and

Technology

Co.

Ltd.

*(a)

111,800

1,714,066

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

51,900

525,536

SAIC

Motor

Corp.

Ltd.,

Class

A

83,200

200,866

Sany

Heavy

Industry

Co.

Ltd.,

Class

A

98,400

262,592

INVESTMENTS

SHARES

VALUE

($)

China

-

39.1%

(continued)

Semiconductor

Manufacturing

International

Corp.

*

618,500

2,169,669

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

580,000

1,295,053

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

*

140,963

211,401

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

*

204,000

146,206

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

984,000

236,934

Sinotruk

Hong

Kong

Ltd.

925,500

2,415,325

Suning.com

Co.

Ltd.,

Class

A

107,400

133,708

TAL

Education

Group,

ADR

(1)*

17,856

1,220,993

Tencent

Holdings

Ltd.

269,400

17,262,589

Trip.com

Group

Ltd.,

ADR

(1)*

22,693

588,203

Vipshop

Holdings

Ltd.,

ADR

(1)*

27,558

548,680

Weichai

Power

Co.

Ltd.,

Class

H

586,000

1,104,100

Wuliangye

Yibin

Co.

Ltd.,

Class

A

22,800

554,241

Yanzhou

Coal

Mining

Co.

Ltd.,

Class

H

592,000

445,852

Yonghui

Superstores

Co.

Ltd.,

Class

A

135,227

179,860

Yum

China

Holdings,

Inc.

(1)

20,707

995,385

Zhongsheng

Group

Holdings

Ltd.

548,000

3,064,815

ZTE

Corp.,

Class

H

748,600

2,310,541

ZTO

Express

Cayman,

Inc.,

ADR

(1)

20,269

744,075

121,715,754

—

Hong

Kong

-

0.1%

Kingboard

Laminates

Holdings

Ltd.

299,000

302,167

Nine

Dragons

Paper

Holdings

Ltd.

123,000

112,459

414,626

—

Hungary

-

0.0%

(c)

MOL

Hungarian

Oil

&

Gas

plc

*

23,811

140,774

India

-

6.9%

Ambuja

Cements

Ltd.

205,822

527,673

Aurobindo

Pharma

Ltd.

261,399

2,671,323

Axis

Bank

Ltd.,

GDR

(b)

9,982

264,474

Bharat

Petroleum

Corp.

Ltd.

54,814

271,801

Cipla

Ltd.

49,210

417,328

Colgate-Palmolive

India

Ltd.

9,190

171,431

Dabur

India

Ltd.

49,242

304,140

Divi's

Laboratories

Ltd.

26,635

804,475

Dr

Reddy's

Laboratories

Ltd.,

ADR

(1)

22,890

1,213,399

GAIL

India

Ltd.

750,721

1,022,042

Hindalco

Industries

Ltd.

1,331,092

2,606,644

Hindustan

Unilever

Ltd.

37,121

1,073,197

Infosys

Ltd.,

ADR

(1)

9,707

93,770

Larsen

&

Toubro

Ltd.,

GDR

(b)

8,161

101,146

Motherson

Sumi

Systems

Ltd.

552,617

695,370

NTPC

Ltd.

288,198

366,660

Oil

&

Natural

Gas

Corp.

Ltd.

180,590

196,091

Piramal

Enterprises

Ltd.

82,717

1,488,773

Reliance

Industries

Ltd.,

GDR

(a)

42,521

1,965,397

State

Bank

of

India,

GDR

*(b)

4,864

114,196

Sun

Pharmaceutical

Industries

Ltd.

29,841

187,328

Tata

Consultancy

Services

Ltd.

45,337

1,248,015

40

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

India

-

6.9%

(continued)

Tech

Mahindra

Ltd.

21,002

151,112

Wipro

Ltd.,

ADR

(1)

268,460

888,603

Zee

Entertainment

Enterprises

Ltd.

1,233,378

2,801,914

21,646,302

—

Indonesia

-

1.2%

Adaro

Energy

Tbk

.

PT

15,836,800

1,114,167

Bank

Central

Asia

Tbk

.

PT

138,000

276,111

Barito

Pacific

Tbk

.

PT

*

1,629,200

133,316

Indah

Kiat

Pulp

&

Paper

Corp.

Tbk

.

PT

475,600

200,643

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

*

343,800

225,634

Indofood

Sukses

Makmur

Tbk

.

PT

*

2,564,300

1,177,528

Telekomunikasi

Indonesia

Persero

Tbk

.

PT

399,400

85,556

United

Tractors

Tbk

.

PT

536,000

623,698

3,836,653

—

Malaysia

-

1.8%

Genting

Bhd.

139,000

133,880

Genting

Malaysia

Bhd.

154,600

91,948

Hartalega

Holdings

Bhd.

462,200

1,409,849

Hong

Leong

Bank

Bhd.

38,100

125,786

Malayan

Banking

Bhd.

1,338,600

2,352,054

MISC

Bhd.

286,100

512,537

Public

Bank

Bhd.

31,300

120,861

RHB

Bank

Bhd.

409,000

458,448

Sime

Darby

Bhd.

566,000

285,372

Telekom

Malaysia

Bhd.

164,500

159,792

5,650,527

—

Mexico

-

0.7%

Alsea

SAB

de

CV

(1)*

179,100

176,182

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

73,131

928,032

Grupo

Televisa

SAB,

ADR

(1)*

176,836

926,621

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A

(1)

140,700

219,640

2,250,475

—

Philippines

-

0.2%

International

Container

Terminal

Services,

Inc.

104,200

214,418

JG

Summit

Holdings,

Inc.

91,990

120,071

PLDT,

Inc.

5,935

147,776

482,265

—

Poland

-

1.4%

CD

Projekt

SA

*

23,696

2,387,929

Cyfrowy

Polsat

SA

*

68,854

460,058

Grupa

Lotos

SA

15,750

240,080

PGE

Polska

Grupa

Energetyczna

SA

*

100,531

175,784

Polski

Koncern

Naftowy

ORLEN

SA

65,403

1,039,354

4,303,205

—

INVESTMENTS

SHARES

VALUE

($)

Qatar

-

0.4%

Industries

Qatar

QSC

29,520

62,574

Qatar

Islamic

Bank

SAQ

27,416

118,850

Qatar

National

Bank

QPSC

241,970

1,160,188

1,341,612

—

Russia

-

2.7%

Gazprom

PJSC,

ADR

327,090

1,766,263

LUKOIL

PJSC,

ADR

24,117

1,792,716

MMC

Norilsk

Nickel

PJSC,

ADR

(1)

34,197

900,407

MMC

Norilsk

Nickel

PJSC,

ADR

19,737

515,897

Novatek

PJSC,

GDR

(b)

5,992

849,321

Novolipetsk

Steel

PJSC,

GDR

(b)

10,509

209,169

Polyus

PJSC,

GDR

(b)

3,814

320,942

Rosneft

Oil

Co.

PJSC,

GDR

(b)

78,075

392,383

Severstal

PAO,

GDR

(b)

32,200

389,671

Surgutneftegas

PJSC,

ADR

101,167

545,231

Tatneft

PJSC,

ADR

17,879

832,637

8,514,637

—

Saudi

Arabia

-

3.5%

Advanced

Petrochemical

Co.

8,644

123,249

Al

Rajhi

Bank

212,576

3,214,242

Alinma

Bank

*

134,358

522,013

Almarai

Co.

JSC

13,044

180,796

Arab

National

Bank

82,369

419,409

Bank

AlBilad

29,266

173,327

Bank

Al-

Jazira

185,775

560,961

Banque

Saudi

Fransi

35,239

269,213

Etihad

Etisalat

Co.

*

93,455

664,365

Jarir

Marketing

Co.

6,399

250,842

National

Commercial

Bank

82,771

825,430

Riyad

Bank

141,090

636,162

Samba

Financial

Group

108,244

778,326

Saudi

Arabian

Fertilizer

Co.

8,494

169,160

Saudi

Arabian

Oil

Co.

(a)

37,521

325,712

Saudi

Basic

Industries

Corp.

47,654

1,122,281

Saudi

British

Bank

(The)

53,432

325,595

Saudi

Industrial

Investment

Group

43,595

235,747

10,796,830

—

South

Africa

-

3.0%

Anglo

American

Platinum

Ltd.

2,978

216,732

Aspen

Pharmacare

Holdings

Ltd.

*

59,907

497,604

FirstRand

Ltd.

29,461

64,787

Foschini

Group

Ltd.

(The)

103,377

384,248

Gold

Fields

Ltd.,

ADR

(1)

76,450

718,630

Investec

Ltd.

130,180

260,062

Kumba

Iron

Ore

Ltd.

83,764

2,239,920

Momentum

Metropolitan

Holdings

142,171

144,681

Mr

Price

Group

Ltd.

23,648

195,547

MultiChoice

Group

*

49,770

304,354

Naspers

Ltd.,

Class

N

2,224

408,728

Ninety

One

Ltd.

*

42,401

107,369

Pick

n

Pay

Stores

Ltd.

30,126

88,665

Remgro

Ltd.

32,110

185,386

RMB

Holdings

Ltd.

22,457

2,129

Sasol

Ltd.

*

197,260

1,514,719

Sibanye

Stillwater

Ltd.

*

528,294

1,147,070

41

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

South

Africa

-

3.0%

(continued)

Telkom

SA

SOC

Ltd.

524,771

900,144

9,380,775

—

South

Korea

-

11.0%

BGF

retail

Co.

Ltd.

3,945

457,296

BNK

Financial

Group,

Inc.

60,535

254,274

Cheil

Worldwide,

Inc.

10,726

148,042

CJ

Corp.

2,770

200,144

Daelim

Industrial

Co.

Ltd.

23,913

1,644,936

DB

Insurance

Co.

Ltd.

5,488

196,831

Doosan

Bobcat,

Inc.

47,672

1,060,335

E-MART,

Inc.

7,756

685,788

Hana

Financial

Group,

Inc.

24,309

552,844

Hanwha

Corp.

32,994

616,179

Hyundai

Department

Store

Co.

Ltd.

13,196

620,926

Hyundai

Glovis

Co.

Ltd.

8,737

742,804

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

45,360

870,753

Hyundai

Mobis

Co.

Ltd.

8,155

1,309,034

Kia

Motors

Corp.

86,156

2,328,157

Korea

Investment

Holdings

Co.

Ltd.

25,497

955,912

Korea

Zinc

Co.

Ltd.

3,506

982,366

Kumho

Petrochemical

Co.

Ltd.

2,902

181,489

LG

Electronics,

Inc.

60,988

3,232,102

LG

Innotek

Co.

Ltd.

6,019

882,713

LG

Uplus

Corp.

12,221

124,889

Lotte

Shopping

Co.

Ltd.

1,391

92,966

Meritz

Securities

Co.

Ltd.

154,513

392,945

NCSoft

Corp.

718

534,140

Pearl

Abyss

Corp.

*

1,228

223,421

POSCO

6,797

990,028

Posco

International

Corp.

58,230

679,456

S-1

Corp.

9,321

667,939

Samsung

Electronics

Co.

Ltd.

267,540

11,843,361

Samsung

Securities

Co.

Ltd.

5,567

123,072

Shinsegae

,

Inc.

1,396

258,503

Woori

Financial

Group,

Inc.

53,866

397,049

34,250,694

—

Taiwan

-

13.0%

Accton

Technology

Corp.

109,000

846,451

Asia

Cement

Corp.

400,000

593,239

Asustek

Computer,

Inc.

39,000

286,548

Catcher

Technology

Co.

Ltd.

165,000

1,250,399

Cathay

Financial

Holding

Co.

Ltd.

232,000

330,017

China

Life

Insurance

Co.

Ltd.

1,864,995

1,385,563

CTBC

Financial

Holding

Co.

Ltd.

938,480

650,403

E.Sun

Financial

Holding

Co.

Ltd.

768,740

728,157

Eva

Airways

Corp.

1,429,630

546,297

First

Financial

Holding

Co.

Ltd.

1,223,094

942,939

Fubon

Financial

Holding

Co.

Ltd.

249,000

371,761

Hua

Nan

Financial

Holdings

Co.

Ltd.

158,527

107,896

Mega

Financial

Holding

Co.

Ltd.

722,000

758,929

Nanya

Technology

Corp.

63,000

131,443

Novatek

Microelectronics

Corp.

42,000

326,412

Pegatron

Corp.

121,000

263,918

Pou

Chen

Corp.

902,000

884,855

Powertech

Technology,

Inc.

247,000

901,623

Realtek

Semiconductor

Corp.

*

135,000

1,375,991

INVESTMENTS

SHARES

VALUE

($)

Taiwan

-

13.0%

(continued)

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

119,943

186,020

Shin

Kong

Financial

Holding

Co.

Ltd.

1,502,549

440,162

SinoPac

Financial

Holdings

Co.

Ltd.

349,000

129,001

Taishin

Financial

Holding

Co.

Ltd.

1,172,037

532,874

Taiwan

Business

Bank

3,619,838

1,331,090

Taiwan

Cement

Corp.

320,614

466,504

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

297,153

209,766

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

275,612

15,646,492

Uni

-President

Enterprises

Corp.

542,000

1,313,161

United

Microelectronics

Corp.

6,749,000

3,648,784

Yuanta

Financial

Holding

Co.

Ltd.

1,144,000

680,827

Zhen

Ding

Technology

Holding

Ltd.

714,000

3,133,378

40,400,900

—

Thailand

-

2.6%

Advanced

Info

Service

PCL,

NVDR

151,000

908,758

Bangkok

Bank

PCL,

NVDR

325,200

1,134,354

Charoen

Pokphand

Foods

PCL,

NVDR

1,610,700

1,661,178

Indorama

Ventures

PCL,

NVDR

805,100

728,859

Kasikornbank

PCL,

NVDR

38,700

117,408

Krung

Thai

Bank

PCL,

NVDR

4,072,600

1,361,309

Osotspa

PCL,

NVDR

75,300

93,132

PTT

Exploration

&

Production

PCL,

NVDR

86,100

258,832

PTT

Global

Chemical

PCL,

NVDR

367,800

555,559

Ratch

Group

PCL,

NVDR

124,100

251,422

Siam

Commercial

Bank

PCL

(The),

NVDR

118,700

279,769

Thai

Union

Group

PCL,

NVDR

1,430,796

602,289

7,952,869

—

Turkey

-

0.2%

Turk

Hava

Yollari

AO

*

285,215

519,163

Turkcell

Iletisim

Hizmetleri

A/S

82,323

196,267

715,430

—

United

Arab

Emirates

-

0.3%

Abu

Dhabi

Commercial

Bank

PJSC

96,468

130,718

Emirates

Telecommunications

Group

Co.

PJSC

57,006

256,892

First

Abu

Dhabi

Bank

PJSC

163,896

508,399

896,009

—

United

States

-

0.5%

JBS

SA

(1)

432,400

1,681,701

TOTAL

COMMON

STOCKS

(Cost

$243,503,886)

296,404,446

42

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.4%

INVESTMENT

COMPANIES

-

1.4%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

(Cost

$4,333,434)

4,333,434

4,334,301

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.4%

(Cost

$247,837,320)

300,738,747

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.6%

(e)

11,115,532

NET

ASSETS

-

100.0%

311,854,279

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

42,434,830

13.6

%

Consumer

Discretionary

52,381,319

16.8

Consumer

Staples

14,649,917

4.7

Energy

16,148,879

5.2

Financials

44,078,399

14.1

Health

Care

15,644,192

5.0

Industrials

21,354,655

6.9

Information

Technology

51,581,035

16.5

Materials

25,375,947

8.1

Real

Estate

8,013,668

2.6

Utilities

4,741,605

1.5

Short-Term

Investments

4,334,301

1.4

Total

Investments

In

Securities

At

Value

300,738,747

96.4

Other

Assets

in

Excess

of

Liabilities

(e

)

11,115,532

3.6

Net

Assets

$

311,854,279

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$6,862,656,

which

represents

approximately

2.20%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$3,617,995

or

1.16%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

267

9/2020

USD

$

13,159,095

$

56,555

$

56,555

43

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

98.6%

Aerospace

&

Defense

-

1.4%

Howmet

Aerospace,

Inc.

43,650

691,852

L3Harris

Technologies,

Inc.

10,666

1,809,700

Lockheed

Martin

Corp.

10,998

4,013,390

Northrop

Grumman

Corp.

7,049

2,167,145

Teledyne

Technologies,

Inc.

*

3,130

973,274

TransDigm

Group,

Inc.

2,734

1,208,565

10,863,926

Air

Freight

&

Logistics

-

0.1%

Expeditors

International

of

Washington,

Inc.

7,296

554,788

XPO

Logistics,

Inc.

*

8,144

629,124

1,183,912

Auto

Components

-

0.1%

Gentex

Corp.

26,000

670,020

Automobiles

-

1.2%

Tesla,

Inc.

*

8,618

9,305,803

Thor

Industries,

Inc.

2,618

278,895

9,584,698

Banks

-

0.8%

Commerce

Bancshares,

Inc.

15,240

906,323

JPMorgan

Chase

&

Co.

56,991

5,360,573

6,266,896

Beverages

-

1.7%

Brown-Forman

Corp.,

Class

B

15,992

1,018,051

Coca-Cola

Co.

(The)

124,137

5,546,441

Monster

Beverage

Corp.

*

9,223

639,338

PepsiCo,

Inc.

47,388

6,267,537

13,471,367

Biotechnology

-

3.4%

AbbVie,

Inc.

62,384

6,124,861

Alnylam

Pharmaceuticals,

Inc.

*

9,522

1,410,303

Amgen,

Inc.

21,864

5,156,843

Biogen,

Inc.

*

6,907

1,847,968

BioMarin

Pharmaceutical,

Inc.

*

3,632

447,971

Gilead

Sciences,

Inc.

26,348

2,027,215

Incyte

Corp.

*

7,338

762,932

Neurocrine

Biosciences,

Inc.

*

4,827

588,894

Regeneron

Pharmaceuticals,

Inc.

*

3,478

2,169,055

Sarepta

Therapeutics,

Inc.

*

1,856

297,591

Seattle

Genetics,

Inc.

*

12,439

2,113,635

United

Therapeutics

Corp.

*

1,856

224,576

Vertex

Pharmaceuticals,

Inc.

*

12,962

3,762,998

26,934,842

Building

Products

-

0.5%

Allegion

plc

5,355

547,388

Fortune

Brands

Home

&

Security,

Inc.

7,338

469,119

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

0.5%

(continued)

Masco

Corp.

16,147

810,741

Owens

Corning

7,017

391,268

Trane

Technologies

plc

18,684

1,662,502

3,881,018

Capital

Markets

-

3.0%

Ameriprise

Financial,

Inc.

3,221

483,279

BlackRock,

Inc.

2,947

1,603,433

CME

Group,

Inc.

2,914

473,642

FactSet

Research

Systems,

Inc.

2,228

731,831

Intercontinental

Exchange,

Inc.

23,384

2,141,974

LPL

Financial

Holdings,

Inc.

9,629

754,914

MarketAxess

Holdings,

Inc.

5,048

2,528,644

Moody's

Corp.

9,727

2,672,299

Morgan

Stanley

46,543

2,248,027

Morningstar,

Inc.

5,442

767,159

MSCI,

Inc.

6,775

2,261,630

Nasdaq,

Inc.

14,311

1,709,735

S&P

Global,

Inc.

12,981

4,276,980

T.

Rowe

Price

Group,

Inc.

3,438

424,593

Virtu

Financial,

Inc.,

Class

A

14,200

335,120

23,413,260

Chemicals

-

1.9%

Air

Products

and

Chemicals,

Inc.

16,508

3,986,022

Ecolab,

Inc.

4,524

900,050

FMC

Corp.

7,791

776,139

Linde

plc

(United

Kingdom)

28,295

6,001,653

NewMarket

Corp.

1,083

433,720

Scotts

Miracle-

Gro

Co.

(The)

2,756

370,599

Sherwin-Williams

Co.

(The)

4,251

2,456,440

14,924,623

Commercial

Services

&

Supplies

-

1.0%

Cintas

Corp.

7,920

2,109,571

Copart

,

Inc.

*

22,545

1,877,322

Republic

Services,

Inc.

19,166

1,572,570

Rollins,

Inc.

9,842

417,203

Waste

Management,

Inc.

14,983

1,586,850

7,563,516

Communications

Equipment

-

0.3%

Ciena

Corp.

*

7,110

385,078

Motorola

Solutions,

Inc.

12,280

1,720,796

Ubiquiti,

Inc.

2,957

516,174

2,622,048

Construction

&

Engineering

-

0.2%

Jacobs

Engineering

Group,

Inc.

11,132

943,994

Quanta

Services,

Inc.

9,010

353,462

1,297,456

Construction

Materials

-

0.1%

Martin

Marietta

Materials,

Inc.

5,041

1,041,319

44

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Consumer

Finance

-

0.1%

OneMain

Holdings,

Inc.

15,488

380,076

Santander

Consumer

USA

Holdings,

Inc.

(a)

27,419

504,784

SLM

Corp.

35,013

246,141

1,131,001

Containers

&

Packaging

-

0.5%

Avery

Dennison

Corp.

10,046

1,146,148

Ball

Corp.

23,867

1,658,518

Crown

Holdings,

Inc.

*

10,062

655,338

Packaging

Corp.

of

America

5,028

501,794

3,961,798

Diversified

Consumer

Services

-

0.0%

(b)

Service

Corp.

International

11,226

436,579

Diversified

Financial

Services

-

0.3%

Berkshire

Hathaway,

Inc.,

Class

B

*

12,644

2,257,080

Diversified

Telecommunication

Services

-

0.9%

AT&T,

Inc.

214,132

6,473,210

GCI

Liberty,

Inc.,

Class

A

*

3,576

254,325

Verizon

Communications,

Inc.

10,888

600,256

7,327,791

Electric

Utilities

-

2.0%

Alliant

Energy

Corp.

5,218

249,629

American

Electric

Power

Co.,

Inc.

12,354

983,873

Entergy

Corp.

17,534

1,644,865

Eversource

Energy

23,290

1,939,358

FirstEnergy

Corp.

22,137

858,473

NextEra

Energy,

Inc.

21,746

5,222,737

NRG

Energy,

Inc.

6,931

225,673

Southern

Co.

(The)

58,492

3,032,810

Xcel

Energy,

Inc.

27,920

1,745,000

15,902,418

Electrical

Equipment

-

0.2%

AMETEK,

Inc.

7,316

653,831

Eaton

Corp.

plc

7,517

657,587

1,311,418

Electronic

Equipment,

Instruments

&

Components

-

0.7%

Amphenol

Corp.,

Class

A

4,687

449,061

CDW

Corp.

15,278

1,774,998

Dolby

Laboratories,

Inc.,

Class

A

9,601

632,418

Jabil,

Inc.

10,745

344,699

Keysight

Technologies,

Inc.

*

13,342

1,344,607

SYNNEX

Corp.

4,432

530,821

Zebra

Technologies

Corp.,

Class

A

*

3,165

810,082

5,886,686

Entertainment

-

1.0%

Activision

Blizzard,

Inc.

30,573

2,320,491

Electronic

Arts,

Inc.

*

1,967

259,742

INVESTMENTS

SHARES

VALUE

($)

Entertainment

-

1.0%

(continued)

Netflix,

Inc.

*

3,610

1,642,694

Roku,

Inc.

*

11,719

1,365,615

Spotify

Technology

SA

*

3,073

793,418

Take-Two

Interactive

Software,

Inc.

*

2,747

383,399

Zynga,

Inc.,

Class

A

*

102,499

977,841

7,743,200

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.5%

Alexandria

Real

Estate

Equities,

Inc.

5,690

923,202

American

Homes

4

Rent,

Class

A

20,868

561,349

American

Tower

Corp.

18,833

4,869,084

Americold

Realty

Trust

9,010

327,063

Camden

Property

Trust

5,220

476,168

CoreSite

Realty

Corp.

4,925

596,220

Crown

Castle

International

Corp.

7,872

1,317,379

CyrusOne

,

Inc.

15,572

1,132,863

Duke

Realty

Corp.

14,674

519,313

Equinix

,

Inc.

3,640

2,556,372

Equity

LifeStyle

Properties,

Inc.

30,564

1,909,639

Healthpeak

Properties,

Inc.

35,559

980,006

Iron

Mountain,

Inc.

(a)

13,553

353,733

Life

Storage,

Inc.

7,121

676,139

Medical

Properties

Trust,

Inc.

44,470

836,036

Mid-America

Apartment

Communities,

Inc.

6,421

736,296

Omega

Healthcare

Investors,

Inc.

19,035

565,911

Prologis,

Inc.

32,281

3,012,786

SBA

Communications

Corp.

7,421

2,210,864

Spirit

Realty

Capital,

Inc.

12,829

447,219

STORE

Capital

Corp.

26,813

638,418

Sun

Communities,

Inc.

12,779

1,733,855

WP

Carey,

Inc.

8,635

584,158

27,964,073

Food

&

Staples

Retailing

-

2.4%

Casey's

General

Stores,

Inc.

4,019

600,921

Costco

Wholesale

Corp.

21,770

6,600,882

Kroger

Co.

(The)

34,731

1,175,644

Sprouts

Farmers

Market,

Inc.

*

9,020

230,822

Walmart,

Inc.

86,172

10,321,682

18,929,951

Food

Products

-

1.2%

Campbell

Soup

Co.

19,885

986,893

Conagra

Brands,

Inc.

30,349

1,067,374

General

Mills,

Inc.

19,920

1,228,068

Hain

Celestial

Group,

Inc.

(The)

*

8,242

259,705

Hershey

Co.

(The)

15,126

1,960,632

Kellogg

Co.

5,241

346,220

Lamb

Weston

Holdings,

Inc.

6,587

421,107

Mondelez

International,

Inc.,

Class

A

55,736

2,849,782

9,119,781

45

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Gas

Utilities

-

0.1%

Atmos

Energy

Corp.

5,458

543,508

Health

Care

Equipment

&

Supplies

-

4.3%

Abbott

Laboratories

26,952

2,464,221

Baxter

International,

Inc.

11,603

999,018

Becton

Dickinson

and

Co.

935

223,718

Boston

Scientific

Corp.

*

16,476

578,472

Cooper

Cos.,

Inc.

(The)

1,471

417,234

Danaher

Corp.

35,984

6,363,051

DexCom

,

Inc.

*

6,893

2,794,422

Edwards

Lifesciences

Corp.

*

39,510

2,730,536

Hologic

,

Inc.

*

8,007

456,399

IDEXX

Laboratories,

Inc.

*

4,363

1,440,488

Insulet

Corp.

*

8,253

1,603,228

Intuitive

Surgical,

Inc.

*

1,227

699,181

Masimo

Corp.

*

4,014

915,152

Medtronic

plc

48,660

4,462,122

Penumbra,

Inc.

*

3,374

603,339

ResMed

,

Inc.

10,915

2,095,680

STERIS

plc

3,115

477,966

Stryker

Corp.

4,815

867,615

Teleflex,

Inc.

5,357

1,949,841

West

Pharmaceutical

Services,

Inc.

3,070

697,412

Zimmer

Biomet

Holdings,

Inc.

5,362

640,008

33,479,103

Health

Care

Providers

&

Services

-

2.9%

AmerisourceBergen

Corp.

4,580

461,527

Anthem,

Inc.

987

259,561

Cardinal

Health,

Inc.

8,553

446,381

Centene

Corp.

*

12,103

769,146

Chemed

Corp.

1,649

743,814

Cigna

Corp.

8,251

1,548,300

CVS

Health

Corp.

43,408

2,820,218

DaVita,

Inc.

*

10,377

821,236

Encompass

Health

Corp.

5,001

309,712

Humana,

Inc.

6,911

2,679,740

Laboratory

Corp.

of

America

Holdings

*

1,300

215,943

McKesson

Corp.

6,081

932,947

Molina

Healthcare,

Inc.

*

2,619

466,130

Quest

Diagnostics,

Inc.

6,882

784,273

UnitedHealth

Group,

Inc.

30,286

8,932,856

Universal

Health

Services,

Inc.,

Class

B

3,522

327,158

22,518,942

Health

Care

Technology

-

0.3%

Cerner

Corp.

5,168

354,266

Veeva

Systems,

Inc.,

Class

A

*

7,911

1,854,497

2,208,763

Hotels,

Restaurants

&

Leisure

-

0.7%

Aramark

14,075

317,673

Chipotle

Mexican

Grill,

Inc.

*

1,529

1,609,058

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.7%

(continued)

Domino's

Pizza,

Inc.

1,642

606,620

Hilton

Worldwide

Holdings,

Inc.

10,666

783,418

Starbucks

Corp.

22,014

1,620,010

Wendy's

Co.

(The)

11,719

255,240

5,192,019

Household

Durables

-

0.9%

DR

Horton,

Inc.

28,751

1,594,243

Garmin

Ltd.

12,318

1,201,005

Lennar

Corp.,

Class

A

16,538

1,019,072

NVR,

Inc.

*

416

1,355,640

PulteGroup,

Inc.

31,033

1,056,053

Tempur

Sealy

International,

Inc.

*

9,495

683,165

6,909,178

Household

Products

-

1.8%

Colgate-Palmolive

Co.

4,104

300,659

Kimberly-Clark

Corp.

10,267

1,451,241

Procter

&

Gamble

Co.

(The)

103,320

12,353,972

14,105,872

Industrial

Conglomerates

-

0.3%

Carlisle

Cos.,

Inc.

3,057

365,831

General

Electric

Co.

156,761

1,070,678

Roper

Technologies,

Inc.

2,052

796,709

2,233,218

Insurance

-

2.2%

Allstate

Corp.

(The)

8,850

858,361

Aon

plc,

Class

A

13,580

2,615,508

Arch

Capital

Group

Ltd.

*

27,319

782,689

Arthur

J

Gallagher

&

Co.

7,306

712,262

Assurant,

Inc.

6,148

635,027

Chubb

Ltd.

10,344

1,309,757

Cincinnati

Financial

Corp.

19,136

1,225,278

Fidelity

National

Financial,

Inc.

22,711

696,319

Globe

Life,

Inc.

8,659

642,758

Hanover

Insurance

Group,

Inc.

(The)

10,263

1,039,950

Markel

Corp.

*

611

564,057

Marsh

&

McLennan

Cos.,

Inc.

23,563

2,529,959

Progressive

Corp.

(The)

18,242

1,461,367

RenaissanceRe

Holdings

Ltd.

5,603

958,281

W

R

Berkley

Corp.

20,989

1,202,460

17,234,033

Interactive

Media

&

Services

-

3.9%

Alphabet,

Inc.,

Class

A

*

13,246

18,783,490

Facebook,

Inc.,

Class

A

*

34,609

7,858,666

IAC/

interactivecorp

*

1,525

493,185

Match

Group,

Inc.

*

22,931

2,454,764

Zillow

Group,

Inc.,

Class

C

*(a)

18,043

1,039,457

30,629,562

46

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

3.5%

Amazon.com,

Inc.

*

9,748

26,892,977

eBay,

Inc.

6,812

357,290

27,250,267

IT

Services

-

7.4%

Accenture

plc,

Class

A

18,822

4,041,460

Akamai

Technologies,

Inc.

*

9,606

1,028,707

Amdocs

Ltd.

12,968

789,492

Black

Knight,

Inc.

*

6,963

505,235

Booz

Allen

Hamilton

Holding

Corp.

14,749

1,147,325

CACI

International,

Inc.,

Class

A

*

1,048

227,290

EPAM

Systems,

Inc.

*

5,901

1,487,111

Fidelity

National

Information

Services,

Inc.

30,117

4,038,389

Fiserv,

Inc.

*

36,294

3,543,020

FleetCor

Technologies,

Inc.

*

3,865

972,164

Genpact

Ltd.

25,779

941,449

Global

Payments,

Inc.

18,004

3,053,839

Jack

Henry

&

Associates,

Inc.

5,574

1,025,783

Leidos

Holdings,

Inc.

9,242

865,698

Mastercard

,

Inc.,

Class

A

38,263

11,314,369

MongoDB,

Inc.

*

6,886

1,558,577

Okta

,

Inc.

*

10,049

2,012,111

PayPal

Holdings,

Inc.

*

17,653

3,075,682

Square,

Inc.,

Class

A

*

2,733

286,801

Switch,

Inc.,

Class

A

24,014

427,930

Twilio

,

Inc.,

Class

A

*

2,146

470,875

VeriSign,

Inc.

*

2,486

514,179

Visa,

Inc.,

Class

A

73,679

14,232,572

Western

Union

Co.

(The)

17,403

376,253

57,936,311

Life

Sciences

Tools

&

Services

-

1.6%

Agilent

Technologies,

Inc.

4,263

376,721

Bio-Rad

Laboratories,

Inc.,

Class

A

*

4,869

2,198,305

Bio-

Techne

Corp.

2,644

698,201

Bruker

Corp.

19,991

813,234

Charles

River

Laboratories

International,

Inc.

*

5,176

902,436

IQVIA

Holdings,

Inc.

*

4,015

569,648

Mettler

-Toledo

International,

Inc.

*

719

579,190

PerkinElmer,

Inc.

7,350

720,962

PRA

Health

Sciences,

Inc.

*

4,114

400,251

Thermo

Fisher

Scientific,

Inc.

14,574

5,280,743

12,539,691

Machinery

-

0.7%

Cummins,

Inc.

2,965

513,716

Deere

&

Co.

2,145

337,087

Dover

Corp.

6,449

622,715

Illinois

Tool

Works,

Inc.

7,995

1,397,926

Ingersoll

Rand,

Inc.

*

30,526

858,391

Nordson

Corp.

4,167

790,522

PACCAR,

Inc.

7,323

548,127

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

0.7%

(continued)

Toro

Co.

(The)

10,869

721,049

5,789,533

Media

-

1.1%

Altice

USA,

Inc.,

Class

A

*

15,830

356,808

Cable

One,

Inc.

1,054

1,870,692

Charter

Communications,

Inc.,

Class

A

*

11,588

5,910,344

Liberty

Broadband

Corp.,

Class

C

*

6,124

759,131

8,896,975

Metals

&

Mining

-

0.5%

Newmont

Corp.

38,814

2,396,376

Reliance

Steel

&

Aluminum

Co.

6,974

662,042

Royal

Gold,

Inc.

7,028

873,721

3,932,139

Multiline

Retail

-

0.9%

Dollar

General

Corp.

18,353

3,496,430

Target

Corp.

29,769

3,570,196

7,066,626

Multi-Utilities

-

0.5%

CMS

Energy

Corp.

6,335

370,091

Dominion

Energy,

Inc.

5,647

458,423

MDU

Resources

Group,

Inc.

15,343

340,308

Sempra

Energy

7,766

910,408

WEC

Energy

Group,

Inc.

22,177

1,943,814

4,023,044

Personal

Products

-

0.5%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

19,788

3,733,600

Pharmaceuticals

-

3.0%

Bristol-Myers

Squibb

Co.

104,728

6,158,006

Catalent

,

Inc.

*

11,606

850,720

Eli

Lilly

and

Co.

14,981

2,459,581

Horizon

Therapeutics

plc

*

26,930

1,496,769

Johnson

&

Johnson

43,589

6,129,921

Merck

&

Co.,

Inc.

25,868

2,000,372

Zoetis,

Inc.

31,369

4,298,808

23,394,177

Professional

Services

-

1.0%

CoreLogic

,

Inc.

9,738

654,588

CoStar

Group,

Inc.

*

3,542

2,517,193

IHS

Markit

Ltd.

10,077

760,814

TransUnion

21,521

1,873,188

Verisk

Analytics,

Inc.

11,041

1,879,178

7,684,961

Real

Estate

Management

&

Development

-

0.0%

(b)

CBRE

Group,

Inc.,

Class

A

*

5,955

269,285

47

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Road

&

Rail

-

0.5%

JB

Hunt

Transport

Services,

Inc.

4,281

515,176

Kansas

City

Southern

3,673

548,342

Knight-Swift

Transportation

Holdings,

Inc.

5,427

226,360

Old

Dominion

Freight

Line,

Inc.

9,814

1,664,356

Union

Pacific

Corp.

4,958

838,249

3,792,483

Semiconductors

&

Semiconductor

Equipment

-

6.2%

Advanced

Micro

Devices,

Inc.

*

56,349

2,964,521

Analog

Devices,

Inc.

3,856

472,900

Applied

Materials,

Inc.

54,319

3,283,584

Broadcom,

Inc.

1,018

321,291

Entegris

,

Inc.

9,800

578,690

Intel

Corp.

129,280

7,734,822

KLA

Corp.

11,766

2,288,252

Lam

Research

Corp.

9,980

3,228,131

Marvell

Technology

Group

Ltd.

46,864

1,643,052

Maxim

Integrated

Products,

Inc.

7,088

429,604

Micron

Technology,

Inc.

*

59,100

3,044,832

Monolithic

Power

Systems,

Inc.

3,941

934,017

NVIDIA

Corp.

28,032

10,649,637

Qorvo

,

Inc.

*

8,350

922,925

QUALCOMM,

Inc.

55,557

5,067,354

Skyworks

Solutions,

Inc.

6,962

890,161

Teradyne,

Inc.

20,819

1,759,414

Texas

Instruments,

Inc.

15,618

1,983,017

Universal

Display

Corp.

3,575

534,891

48,731,095

Software

-

13.1%

Adobe,

Inc.

*

19,697

8,574,301

Alteryx,

Inc.,

Class

A

*

10,262

1,685,841

ANSYS,

Inc.

*

5,600

1,633,688

Atlassian

Corp.

plc,

Class

A

*

10,150

1,829,741

Autodesk,

Inc.

*

3,289

786,696

Avalara,

Inc.

*

15,051

2,003,138

Cadence

Design

Systems,

Inc.

*

19,394

1,861,048

Ceridian

HCM

Holding,

Inc.

*

7,631

604,909

Coupa

Software,

Inc.

*

10,558

2,924,988

DocuSign,

Inc.

*

15,637

2,692,848

Fair

Isaac

Corp.

*

2,575

1,076,453

Fortinet,

Inc.

*

10,774

1,478,947

Intuit,

Inc.

3,266

967,357

Manhattan

Associates,

Inc.

*

3,777

355,793

Microsoft

Corp.

272,229

55,401,324

NortonLifeLock

,

Inc.

34,513

684,393

Nuance

Communications,

Inc.

*

26,590

672,860

Oracle

Corp.

13,640

753,883

Paycom

Software,

Inc.

*

5,873

1,819,044

Paylocity

Holding

Corp.

*

6,023

878,695

Pegasystems

,

Inc.

2,796

282,871

RealPage

,

Inc.

*

6,574

427,376

RingCentral,

Inc.,

Class

A

*

8,682

2,474,457

INVESTMENTS

SHARES

VALUE

($)

Software

-

13.1%

(continued)

salesforce.com,

Inc.

*

6,570

1,230,758

ServiceNow

,

Inc.

*

10,495

4,251,105

Smartsheet

,

Inc.,

Class

A

*

11,909

606,406

Splunk

,

Inc.

*

2,413

479,463

SS&C

Technologies

Holdings,

Inc.

6,012

339,558

Synopsys,

Inc.

*

12,192

2,377,440

Trade

Desk,

Inc.

(The),

Class

A

*

3,934

1,599,171

Tyler

Technologies,

Inc.

*

823

285,482

103,040,034

Specialty

Retail

-

2.5%

AutoNation,

Inc.

*

5,413

203,421

AutoZone,

Inc.

*

812

916,033

Best

Buy

Co.,

Inc.

9,385

819,029

Burlington

Stores,

Inc.

*

6,149

1,210,923

CarMax,

Inc.

*

7,332

656,581

Carvana

Co.

*

12,950

1,556,590

Dick's

Sporting

Goods,

Inc.

12,079

498,380

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

13,979

805,889

Home

Depot,

Inc.

(The)

35,301

8,843,253

Lowe's

Cos.,

Inc.

4,391

593,312

O'Reilly

Automotive,

Inc.

*

1,030

434,320

Ross

Stores,

Inc.

2,447

208,582

TJX

Cos.,

Inc.

(The)

30,427

1,538,389

Tractor

Supply

Co.

4,465

588,442

Williams-Sonoma,

Inc.

8,598

705,122

19,578,266

Technology

Hardware,

Storage

&

Peripherals

-

7.4%

Apple,

Inc.

158,631

57,868,589

Western

Digital

Corp.

7,565

333,995

58,202,584

Textiles,

Apparel

&

Luxury

Goods

-

0.9%

Lululemon

Athletica,

Inc.

*

9,777

3,050,522

NIKE,

Inc.,

Class

B

39,962

3,918,274

Skechers

USA,

Inc.,

Class

A

*

13,675

429,121

7,397,917

Thrifts

&

Mortgage

Finance

-

0.1%

TFS

Financial

Corp.

41,075

587,783

Tobacco

-

0.2%

Philip

Morris

International,

Inc.

21,497

1,506,080

Trading

Companies

&

Distributors

-

0.3%

Fastenal

Co.

31,130

1,333,609

Watsco

,

Inc.

3,619

643,096

WW

Grainger,

Inc.

1,054

331,125

2,307,830

48

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Water

Utilities

-

0.3%

American

Water

Works

Co.,

Inc.

15,464

1,989,598

Essential

Utilities,

Inc.

15,473

653,580

2,643,178

Wireless

Telecommunication

Services

-

0.5%

T-Mobile

US,

Inc.

*

36,175

3,767,626

United

States

Cellular

Corp.

*

8,028

247,825

4,015,451

TOTAL

COMMON

STOCKS

(Cost

$552,836,681)

775,064,185

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(b)

Wireless

Telecommunication

Services

-

0.0%

(b)

T-Mobile

US,

Inc.,

expiring

7/27/2020

*

(Cost

$37,901)

7,896

1,326

SHARES

SHORT-TERM

INVESTMENTS

-

1.4%

INVESTMENT

COMPANIES

-

1.4%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$11,269,857)

11,269,973

11,272,227

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(d)

289,779

289,779

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)

861,972

862,145

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,151,751)

1,151,924

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.2%

(Cost

$565,296,190)

787,489,662

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.2)%

(e)

(1,525,580)

NET

ASSETS

-

100.0%

785,964,082

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

58,614,304

7.5

%

Consumer

Discretionary

84,085,571

10.7

Consumer

Staples

60,866,651

7.8

Financials

50,890,054

6.5

Health

Care

121,075,518

15.4

Industrials

47,909,270

6.1

Information

Technology

276,418,758

35.2

Materials

23,859,880

3.0

Real

Estate

28,233,358

3.5

Utilities

23,112,147

2.9

Short-Term

Investments

11,272,227

1.4

Securities

Lending

Collateral

1,151,924

0.2

Total

Investments

In

Securities

At

Value

787,489,662

100.2

Liabilities

in

Excess

of

Other

Assets

(e

)

(1,525,580)

(0.2)

Net

Assets

$

785,964,082

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$1,126,045.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

48

9/2020

USD

$

7,416,480

$

159,446

$

159,446

49

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.9%

Aerospace

&

Defense

-

1.5%

Aerojet

Rocketdyne

Holdings,

Inc.

*

14,875

589,645

AeroVironment

,

Inc.

*

813

64,739

Axon

Enterprise,

Inc.

*

10,070

988,169

Maxar

Technologies,

Inc.

(a)

21,965

394,492

Mercury

Systems,

Inc.

*

9,453

743,573

Park

Aerospace

Corp.

6,608

73,613

Vectrus

,

Inc.

*

4,424

217,351

3,071,582

Air

Freight

&

Logistics

-

0.2%

Forward

Air

Corp.

2,309

115,034

Hub

Group,

Inc.,

Class

A

*

5,388

257,870

Radiant

Logistics,

Inc.

*

5,499

21,611

394,515

Airlines

-

0.1%

Allegiant

Travel

Co.

(a)

2,096

228,904

Auto

Components

-

0.6%

Adient

plc

*

13,727

225,397

Gentherm

,

Inc.

*

3,681

143,191

LCI

Industries

5,360

616,293

Standard

Motor

Products,

Inc.

2,573

106,008

Visteon

Corp.

*

2,974

203,719

1,294,608

Automobiles

-

0.3%

Winnebago

Industries,

Inc.

8,594

572,532

Banks

-

2.6%

Bancorp,

Inc.

(The)

*

13,272

130,066

Camden

National

Corp.

3,937

135,984

City

Holding

Co.

1,741

113,461

Columbia

Banking

System,

Inc.

2,045

57,966

Community

Bank

System,

Inc.

8,462

482,503

CVB

Financial

Corp.

13,498

252,953

Dime

Community

Bancshares,

Inc.

3,489

47,904

First

Financial

Bankshares

,

Inc.

21,680

626,335

First

Financial

Corp.

1,578

58,134

First

Foundation,

Inc.

10,500

171,570

German

American

Bancorp,

Inc.

4,845

150,680

Glacier

Bancorp,

Inc.

9,301

328,232

Great

Southern

Bancorp,

Inc.

817

32,974

Hilltop

Holdings,

Inc.

14,870

274,351

Independent

Bank

Corp.

3,213

215,560

Lakeland

Financial

Corp.

4,049

188,643

NBT

Bancorp,

Inc.

5,548

170,656

Nicolet

Bankshares

,

Inc.

*

1,727

94,640

Old

National

Bancorp

16,384

225,444

Park

National

Corp.

792

55,741

QCR

Holdings,

Inc.

3,458

107,820

ServisFirst

Bancshares,

Inc.

7,083

253,288

South

State

Corp.

3,193

152,178

Southside

Bancshares,

Inc.

3,946

109,383

Stock

Yards

Bancorp,

Inc.

5,577

224,195

INVESTMENTS

SHARES

VALUE

($)

Banks

-

2.6%

(continued)

Tompkins

Financial

Corp.

1,707

110,562

Triumph

Bancorp,

Inc.

*

3,556

86,304

Trustmark

Corp.

3,944

96,707

United

Community

Banks,

Inc.

6,335

127,460

Valley

National

Bancorp

8,863

69,309

Westamerica

Bancorp

4,980

285,952

5,436,955

Beverages

-

0.8%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(a)

2,329

1,249,858

Celsius

Holdings,

Inc.

*

27,231

320,509

National

Beverage

Corp.

*

2,297

140,163

1,710,530

Biotechnology

-

12.2%

ACADIA

Pharmaceuticals,

Inc.

*

25,173

1,220,135

Acceleron

Pharma,

Inc.

*

9,123

869,148

Adverum

Biotechnologies,

Inc.

*

23,648

493,770

Agenus,

Inc.

*(a)

49,451

194,342

Akebia

Therapeutics,

Inc.

*

21,297

289,213

Allakos

,

Inc.

*(a)

9,383

674,262

Anavex

Life

Sciences

Corp.

*(a)

32,188

158,365

Anika

Therapeutics,

Inc.

*

4,265

160,918

Apellis

Pharmaceuticals,

Inc.

*

15,319

500,319

Arcus

Biosciences,

Inc.

*

13,219

327,038

Ardelyx

,

Inc.

*(a)

38,453

266,095

Arrowhead

Pharmaceuticals,

Inc.

*(a)

17,934

774,569

Assembly

Biosciences,

Inc.

*

6,047

141,016

Athersys

,

Inc.

*(a)

52,267

144,257

Avid

Bioservices

,

Inc.

*(a)

25,915

170,132

Avrobio

,

Inc.

*

3,704

64,635

BioCryst

Pharmaceuticals,

Inc.

*

13,464

64,156

BioSpecifics

Technologies

Corp.

*

1,801

110,365

Bioxcel

Therapeutics,

Inc.

*

7,547

400,066

Catalyst

Pharmaceuticals,

Inc.

*

24,887

114,978

CEL-SCI

Corp.

*(a)

16,064

239,675

ChemoCentryx

,

Inc.

*

12,335

709,756

Coherus

Biosciences,

Inc.

*

13,973

249,558

Constellation

Pharmaceuticals,

Inc.

*

9,055

272,103

CTI

BioPharma

Corp.

*

14,661

17,007

Cue

Biopharma,

Inc.

*

10,746

263,384

Cytokinetics,

Inc.

*(a)

18,357

432,674

Deciphera

Pharmaceuticals,

Inc.

*

11,343

677,404

Denali

Therapeutics,

Inc.

*

3,325

80,399

Dicerna

Pharmaceuticals,

Inc.

*

16,264

413,106

Eagle

Pharmaceuticals,

Inc.

*

1,318

63,238

Editas

Medicine,

Inc.

*

5,912

174,877

Eidos

Therapeutics,

Inc.

*(a)

9,337

445,095

Emergent

BioSolutions

,

Inc.

*

7,028

555,774

Epizyme

,

Inc.

*

21,788

349,915

Fate

Therapeutics,

Inc.

*

15,338

526,247

G1

Therapeutics,

Inc.

*

4,485

108,806

50

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

12.2%

(continued)

Global

Blood

Therapeutics,

Inc.

*(a)

9,398

593,296

Halozyme

Therapeutics,

Inc.

*

21,957

588,667

ImmunoGen

,

Inc.

*

52,746

242,632

Immunomedics

,

Inc.

*

24,113

854,565

Inovio

Pharmaceuticals,

Inc.

*(a)

35,986

969,823

Intellia

Therapeutics,

Inc.

*(a)

2,867

60,264

Intercept

Pharmaceuticals,

Inc.

*

2,154

103,198

Iovance

Biotherapeutics

,

Inc.

*

23,532

645,953

Ironwood

Pharmaceuticals,

Inc.

*

10,172

104,975

Jounce

Therapeutics,

Inc.

*

14,917

102,927

Kadmon

Holdings,

Inc.

*

49,839

255,176

Karyopharm

Therapeutics,

Inc.

*

16,081

304,574

Kiniksa

Pharmaceuticals

Ltd.,

Class

A

*

9,679

246,621

Krystal

Biotech,

Inc.

*

5,441

225,366

MacroGenics

,

Inc.

*

3,044

84,988

Madrigal

Pharmaceuticals,

Inc.

*(a)

511

57,871

Mersana

Therapeutics,

Inc.

*

25,314

592,348

Mirati

Therapeutics,

Inc.

*

6,959

794,509

Momenta

Pharmaceuticals,

Inc.

*

21,548

716,902

Natera

,

Inc.

*

15,848

790,181

Neubase

Therapeutics,

Inc.

*

380

3,336

Novavax

,

Inc.

*(a)

20,334

1,694,839

PDL

BioPharma

,

Inc.

*

34,242

99,644

Pfenex

,

Inc.

*

21,139

176,511

Protagonist

Therapeutics,

Inc.

*

3,904

68,945

PTC

Therapeutics,

Inc.

*

11,555

586,301

Replimune

Group,

Inc.

*

2,874

71,419

Sangamo

Therapeutics,

Inc.

*

5,379

48,196

Sorrento

Therapeutics,

Inc.

*(a)

19,767

124,137

Syndax

Pharmaceuticals,

Inc.

*

15,618

231,459

Syros

Pharmaceuticals,

Inc.

*

10,466

111,568

TG

Therapeutics,

Inc.

*

30,306

590,361

Translate

Bio,

Inc.

*

9,448

169,308

VBI

Vaccines,

Inc.

*

25,603

79,369

Veracyte

,

Inc.

*

4,374

113,287

XBiotech

,

Inc.

*(a)

13,747

188,471

25,408,784

Building

Products

-

2.7%

AAON,

Inc.

(a)

10,484

569,176

Advanced

Drainage

Systems,

Inc.

15,553

768,318

Builders

FirstSource

,

Inc.

*

26,387

546,211

CSW

Industrials,

Inc.

4,351

300,698

Gibraltar

Industries,

Inc.

*

6,592

316,482

Griffon

Corp.

10,726

198,645

Masonite

International

Corp.

*

3,606

280,475

Patrick

Industries,

Inc.

2,961

181,361

Simpson

Manufacturing

Co.,

Inc.

7,030

593,051

Trex

Co.,

Inc.

*

9,810

1,275,987

UFP

Industries,

Inc.

12,965

641,897

5,672,301

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

1.9%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

12,956

421,070

B

Riley

Financial,

Inc.

9,128

198,625

Cohen

&

Steers,

Inc.

11,365

773,388

Focus

Financial

Partners,

Inc.,

Class

A

*

2,099

69,372

Hamilton

Lane,

Inc.,

Class

A

10,616

715,200

Houlihan

Lokey

,

Inc.

11,729

652,601

INTL.

FCStone

,

Inc.

*

4,013

220,715

Moelis

&

Co.,

Class

A

5,618

175,057

Oppenheimer

Holdings,

Inc.,

Class

A

5,134

111,870

PJT

Partners,

Inc.,

Class

A

6,882

353,322

Stifel

Financial

Corp.

4,111

194,985

Virtus

Investment

Partners,

Inc.

1,172

136,292

4,022,497

Chemicals

-

0.8%

American

Vanguard

Corp.

8,397

115,543

Balchem

Corp.

2,839

269,308

Chase

Corp.

998

102,295

FutureFuel

Corp.

4,432

52,962

Hawkins,

Inc.

2,852

121,438

Innospec

,

Inc.

4,485

346,466

PolyOne

Corp.

2,578

67,621

Stepan

Co.

4,145

402,479

Tredegar

Corp.

5,667

87,272

1,565,384

Commercial

Services

&

Supplies

-

2.0%

ABM

Industries,

Inc.

3,325

120,697

Brady

Corp.,

Class

A

13,305

622,940

Casella

Waste

Systems,

Inc.,

Class

A

*

10,160

529,539

Cimpress

plc

(Ireland)

*

3,018

230,394

Ennis,

Inc.

8,343

151,342

Kimball

International,

Inc.,

Class

B

817

9,445

McGrath

RentCorp

6,667

360,085

MSA

Safety,

Inc.

6,109

699,114

SP

Plus

Corp.

*

4,630

95,887

Tetra

Tech,

Inc.

9,897

783,051

UniFirst

Corp.

2,603

465,807

4,068,301

Communications

Equipment

-

1.3%

Calix,

Inc.

*

15,269

227,508

Comtech

Telecommunications

Corp.

3,485

58,862

Digi

International,

Inc.

*

7,467

86,990

Harmonic,

Inc.

*

46,168

219,298

Infinera

Corp.

*(a)

42,080

249,114

Inseego

Corp.

*(a)

24,178

280,465

Lumentum

Holdings,

Inc.

*(a)

11,899

968,935

NetScout

Systems,

Inc.

*

4,750

121,410

51

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

1.3%

(continued)

Viavi

Solutions,

Inc.

*

41,293

526,073

2,738,655

Construction

&

Engineering

-

0.8%

Aegion

Corp.

*

6,788

107,726

Ameresco

,

Inc.,

Class

A

*

10,910

303,080

Construction

Partners,

Inc.,

Class

A

*

13,798

245,052

EMCOR

Group,

Inc.

5,724

378,585

Great

Lakes

Dredge

&

Dock

Corp.

*

17,584

162,828

MasTec

,

Inc.

*

1,379

61,876

MYR

Group,

Inc.

*

2,587

82,551

Northwest

Pipe

Co.

*

3,871

97,046

WillScot

Corp.

*

15,568

191,331

1,630,075

Construction

Materials

-

0.4%

Forterra

,

Inc.

*

28,340

316,274

Summit

Materials,

Inc.,

Class

A

*

26,157

420,605

736,879

Consumer

Finance

-

0.3%

Encore

Capital

Group,

Inc.

*

6,877

235,056

Nelnet,

Inc.,

Class

A

3,709

177,068

PRA

Group,

Inc.

*

7,976

308,352

720,476

Containers

&

Packaging

-

0.1%

Greif,

Inc.,

Class

A

3,017

103,815

UFP

Technologies,

Inc.

*

2,211

97,417

201,232

Diversified

Consumer

Services

-

1.3%

Carriage

Services,

Inc.

4,901

88,806

Chegg

,

Inc.

*

17,353

1,167,163

Collectors

Universe,

Inc.

6,586

225,768

Laureate

Education,

Inc.,

Class

A

*

17,077

170,172

Perdoceo

Education

Corp.

*(a)

7,614

121,291

Strategic

Education,

Inc.

3,675

564,664

WW

International,

Inc.

*

11,812

299,789

2,637,653

Diversified

Financial

Services

-

0.3%

Cannae

Holdings,

Inc.

*

17,462

717,688

Diversified

Telecommunication

Services

-

1.0%

Anterix

,

Inc.

*

4,179

189,476

ATN

International,

Inc.

1,620

98,123

Bandwidth,

Inc.,

Class

A

*

2,795

354,965

Cogent

Communications

Holdings,

Inc.

8,741

676,204

Consolidated

Communications

Holdings,

Inc.

*

15,997

108,300

Iridium

Communications,

Inc.

*

23,577

599,799

INVESTMENTS

SHARES

VALUE

($)

Diversified

Telecommunication

Services

-

1.0%

(continued)

Ooma

,

Inc.

*(a)

7,459

122,924

2,149,791

Electric

Utilities

-

0.6%

Genie

Energy

Ltd.,

Class

B

1,109

8,162

MGE

Energy,

Inc.

5,640

363,837

PNM

Resources,

Inc.

8,594

330,353

Portland

General

Electric

Co.

10,806

451,799

1,154,151

Electrical

Equipment

-

1.7%

Allied

Motion

Technologies,

Inc.

3,486

123,056

Atkore

International

Group,

Inc.

*

13,668

373,820

Encore

Wire

Corp.

1,626

79,381

Generac

Holdings,

Inc.

*

10,702

1,304,895

Plug

Power,

Inc.

*(a)

66,682

547,459

Powell

Industries,

Inc.

2,728

74,720

Sunrun

,

Inc.

*

8,063

159,002

Vicor

Corp.

*

7,994

575,168

Vivint

Solar,

Inc.

*(a)

19,643

194,466

3,431,967

Electronic

Equipment,

Instruments

&

Components

-

1.6%

Badger

Meter,

Inc.

4,150

261,118

Benchmark

Electronics,

Inc.

5,163

111,521

Fabrinet

(Thailand)

*

2,494

155,675

FARO

Technologies,

Inc.

*

3,065

164,284

II-VI,

Inc.

*(a)

4,581

216,315

Insight

Enterprises,

Inc.

*

2,863

140,860

Itron

,

Inc.

*

8,012

530,795

Knowles

Corp.

*

13,517

206,269

Methode

Electronics,

Inc.

5,020

156,925

nLight

,

Inc.

*

2,508

55,828

Novanta

,

Inc.

*

3,524

376,257

PC

Connection,

Inc.

5,818

269,723

Plexus

Corp.

*

3,476

245,267

Sanmina

Corp.

*

5,382

134,765

TTM

Technologies,

Inc.

*

11,913

141,288

Vishay

Intertechnology

,

Inc.

5,473

83,573

3,250,463

Entertainment

-

0.1%

Eros

International

plc

(India)

*(a)

17,282

54,611

Glu

Mobile,

Inc.

*

7,547

69,961

124,572

Equity

Real

Estate

Investment

Trusts

(REITs)

-

5.5%

Agree

Realty

Corp.

8,173

537,048

Community

Healthcare

Trust,

Inc.

7,091

290,022

Easterly

Government

Properties,

Inc.

11,071

255,962

EastGroup

Properties,

Inc.

7,282

863,718

Essential

Properties

Realty

Trust,

Inc.

10,425

154,707

Farmland

Partners,

Inc.

8,811

60,355

52

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

5.5%

(continued)

First

Industrial

Realty

Trust,

Inc.

23,970

921,407

Getty

Realty

Corp.

6,705

199,004

Global

Medical

REIT,

Inc.

5,056

57,284

Global

Net

Lease,

Inc.

13,759

230,188

Healthcare

Realty

Trust,

Inc.

9,104

266,656

Independence

Realty

Trust,

Inc.

24,185

277,886

Industrial

Logistics

Properties

Trust

4,199

86,289

Innovative

Industrial

Properties,

Inc.

2,833

249,361

Investors

Real

Estate

Trust

3,628

255,738

iStar

,

Inc.

16,293

200,730

Lexington

Realty

Trust

56,826

599,514

Monmouth

Real

Estate

Investment

Corp.

9,260

134,177

National

Storage

Affiliates

Trust

16,655

477,332

NexPoint

Residential

Trust,

Inc.

4,610

162,964

Office

Properties

Income

Trust

7,373

191,477

Physicians

Realty

Trust

14,009

245,438

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

21,461

356,467

PotlatchDeltic

Corp.

9,182

349,191

QTS

Realty

Trust,

Inc.,

Class

A

11,843

759,018

Rexford

Industrial

Realty,

Inc.

22,244

921,569

Safehold

,

Inc.

9,699

557,596

STAG

Industrial,

Inc.

16,731

490,553

Terreno

Realty

Corp.

14,403

758,174

UMH

Properties,

Inc.

9,125

117,986

Universal

Health

Realty

Income

Trust

3,825

304,049

Washington

REIT

3,917

86,957

11,418,817

Food

&

Staples

Retailing

-

1.1%

BJ's

Wholesale

Club

Holdings,

Inc.

*

24,266

904,394

Ingles

Markets,

Inc.,

Class

A

5,612

241,709

Natural

Grocers

by

Vitamin

Cottage,

Inc.

4,394

65,383

PriceSmart

,

Inc.

4,151

250,430

Rite

Aid

Corp.

*(a)

16,269

277,549

SpartanNash

Co.

7,186

152,702

United

Natural

Foods,

Inc.

*

5,289

96,313

Weis

Markets,

Inc.

5,134

257,316

2,245,796

Food

Products

-

1.8%

B&G

Foods,

Inc.

8,104

197,576

Cal-Maine

Foods,

Inc.

*

3,830

170,358

Darling

Ingredients,

Inc.

*

27,352

673,406

Fresh

Del

Monte

Produce,

Inc.

8,599

211,707

Freshpet

,

Inc.

*

8,694

727,340

Hostess

Brands,

Inc.

*

15,381

187,956

J

&

J

Snack

Foods

Corp.

2,196

279,177

John

B

Sanfilippo

&

Son,

Inc.

2,627

224,162

Lancaster

Colony

Corp.

3,324

515,187

Landec

Corp.

*(a)

5,369

42,737

Sanderson

Farms,

Inc.

2,008

232,707

INVESTMENTS

SHARES

VALUE

($)

Food

Products

-

1.8%

(continued)

Seneca

Foods

Corp.,

Class

A

*

2,254

76,208

Tootsie

Roll

Industries,

Inc.

8,455

289,753

3,828,274

Gas

Utilities

-

0.2%

Chesapeake

Utilities

Corp.

1,415

118,860

Northwest

Natural

Holding

Co.

1,485

82,848

Southwest

Gas

Holdings,

Inc.

1,319

91,077

Spire,

Inc.

1,318

86,606

379,391

Health

Care

Equipment

&

Supplies

-

4.9%

Alphatec

Holdings,

Inc.

*

35,006

164,528

Antares

Pharma,

Inc.

*

29,464

81,026

Apyx

Medical

Corp.

*

17,904

99,367

AtriCure

,

Inc.

*

7,974

358,431

Cardiovascular

Systems,

Inc.

*

4,247

133,993

Conformis

,

Inc.

*

36,604

30,015

CryoPort

,

Inc.

*(a)

14,193

429,338

Cutera

,

Inc.

*

4,240

51,601

CytoSorbents

Corp.

*

6,498

64,330

GenMark

Diagnostics,

Inc.

*

7,067

103,956

Globus

Medical,

Inc.,

Class

A

*

15,392

734,352

Haemonetics

Corp.

*

7,751

694,180

Heska

Corp.

*

1,537

143,202

Integer

Holdings

Corp.

*

4,009

292,858

Invacare

Corp.

16,892

107,602

iRadimed

Corp.

*

3,028

70,280

iRhythm

Technologies,

Inc.

*

4,474

518,492

Meridian

Bioscience,

Inc.

*

3,656

85,148

Mesa

Laboratories,

Inc.

306

66,341

Natus

Medical,

Inc.

*

4,033

88,000

Neogen

Corp.

*

5,777

448,295

Nevro

Corp.

*

6,358

759,590

Novocure

Ltd.

*

15,738

933,263

NuVasive

,

Inc.

*

8,565

476,728

OraSure

Technologies,

Inc.

*

8,810

102,460

OrthoPediatrics

Corp.

*

2,648

115,877

Quidel

Corp.

*(a)

6,853

1,533,290

STAAR

Surgical

Co.

*

7,313

450,042

Tandem

Diabetes

Care,

Inc.

*

6,677

660,489

Zynex

,

Inc.

*(a)

14,541

361,635

10,158,709

Health

Care

Providers

&

Services

-

2.4%

Addus

HomeCare

Corp.

*

3,970

367,463

Amedisys

,

Inc.

*

4,975

987,736

AMN

Healthcare

Services,

Inc.

*

5,763

260,718

Catasys

,

Inc.

*(a)

6,196

153,289

Community

Health

Systems,

Inc.

*

47,940

144,299

Cross

Country

Healthcare,

Inc.

*

15,493

95,437

Hanger,

Inc.

*

5,057

83,744

Joint

Corp.

(The)

*

8,005

122,236

LHC

Group,

Inc.

*

5,798

1,010,707

Magellan

Health,

Inc.

*

816

59,552

53

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

2.4%

(continued)

MedCath

Corp.

(3)*(b)

10,300

–

National

HealthCare

Corp.

1,781

112,987

National

Research

Corp.

5,727

333,369

Owens

&

Minor,

Inc.

27,944

212,933

Patterson

Cos.,

Inc.

4,926

108,372

Providence

Service

Corp.

(The)

*

1,392

109,843

R1

RCM,

Inc.

*

26,891

299,835

RadNet

,

Inc.

*

12,077

191,662

Select

Medical

Holdings

Corp.

*

17,364

255,772

Tenet

Healthcare

Corp.

*

4,928

89,246

4,999,200

Health

Care

Technology

-

1.8%

HealthStream

,

Inc.

*

3,591

79,469

Inovalon

Holdings,

Inc.,

Class

A

*(a)

37,474

721,749

Inspire

Medical

Systems,

Inc.

*

6,171

537,000

Simulations

Plus,

Inc.

5,449

325,959

Tabula

Rasa

HealthCare,

Inc.

*(a)

1,574

86,145

Teladoc

Health,

Inc.

*

10,847

2,070,042

3,820,364

Hotels,

Restaurants

&

Leisure

-

1.4%

Churchill

Downs,

Inc.

7,224

961,876

El

Pollo

Loco

Holdings,

Inc.

*(a)

8,082

119,290

Marriott

Vacations

Worldwide

Corp.

691

56,807

Papa

John's

International,

Inc.

6,539

519,262

Penn

National

Gaming,

Inc.

*(a)

8,465

258,521

Texas

Roadhouse,

Inc.

5,134

269,894

Wingstop

,

Inc.

4,975

691,376

2,877,026

Household

Durables

-

2.8%

Cavco

Industries,

Inc.

*

1,397

269,411

Helen

of

Troy

Ltd.

*

4,221

795,912

Installed

Building

Products,

Inc.

*

6,295

432,970

KB

Home

17,285

530,304

LGI

Homes,

Inc.

*(a)

2,958

260,393

M/I

Homes,

Inc.

*

8,434

290,467

MDC

Holdings,

Inc.

8,583

306,413

Meritage

Homes

Corp.

*

9,901

753,664

Purple

Innovation,

Inc.

*

23,759

427,662

Sonos

,

Inc.

*

17,201

251,651

Taylor

Morrison

Home

Corp.

*

13,721

264,678

TopBuild

Corp.

*

6,802

773,864

TRI

Pointe

Group,

Inc.

*

14,403

211,580

Universal

Electronics,

Inc.

*

4,653

217,853

5,786,822

Household

Products

-

0.3%

Central

Garden

&

Pet

Co.,

Class

A

*

5,270

178,073

WD-40

Co.

1,967

390,056

568,129

INVESTMENTS

SHARES

VALUE

($)

Independent

Power

and

Renewable

Electricity

Producers

-

1.1%

Clearway

Energy,

Inc.,

Class

C

36,392

839,199

Ormat

Technologies,

Inc.

(a)

10,242

650,265

TerraForm

Power,

Inc.,

Class

A

46,913

865,076

2,354,540

Insurance

-

1.7%

Ambac

Financial

Group,

Inc.

*

5,697

81,581

AMERISAFE,

Inc.

3,113

190,391

CNO

Financial

Group,

Inc.

3,692

57,484

eHealth,

Inc.

*

4,525

444,536

Enstar

Group

Ltd.

*

1,086

165,908

FBL

Financial

Group,

Inc.,

Class

A

268

9,619

Goosehead

Insurance,

Inc.,

Class

A

*

8,641

649,458

HCI

Group,

Inc.

1,716

79,245

Heritage

Insurance

Holdings,

Inc.

8,281

108,398

Horace

Mann

Educators

Corp.

3,234

118,785

Kinsale

Capital

Group,

Inc.

4,907

761,615

RLI

Corp.

8,001

656,882

Safety

Insurance

Group,

Inc.

1,026

78,243

Trupanion

,

Inc.

*(a)

2,366

101,005

3,503,150

Interactive

Media

&

Services

-

0.2%

EverQuote

,

Inc.,

Class

A

*

8,170

475,167

Internet

&

Direct

Marketing

Retail

-

0.5%

1-800-Flowers.com,

Inc.,

Class

A

*

2,726

54,575

PetMed

Express,

Inc.

5,321

189,640

Rubicon

Project,

Inc.

(The)

*

33,077

220,624

Stamps.com,

Inc.

*

3,128

574,582

1,039,421

IT

Services

-

2.7%

Cardtronics

plc,

Class

A

*

5,551

133,113

CSG

Systems

International,

Inc.

8,453

349,870

EVERTEC,

Inc.

10,569

296,989

ExlService

Holdings,

Inc.

*

3,616

229,254

Hackett

Group,

Inc.

(The)

6,253

84,666

I3

Verticals,

Inc.,

Class

A

*

3,692

111,683

KBR,

Inc.

28,091

633,452

Limelight

Networks,

Inc.

*

43,676

321,455

ManTech

International

Corp.,

Class

A

7,994

547,509

MAXIMUS,

Inc.

2,176

153,299

NIC,

Inc.

15,733

361,230

Perficient

,

Inc.

*

10,198

364,884

Perspecta

,

Inc.

30,796

715,391

Science

Applications

International

Corp.

9,970

774,470

Sykes

Enterprises,

Inc.

*

2,025

56,011

TTEC

Holdings,

Inc.

12,078

562,352

5,695,628

54

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Leisure

Products

-

0.4%

Acushnet

Holdings

Corp.

13,251

461,002

Malibu

Boats,

Inc.,

Class

A

*

1,876

97,458

Sturm

Ruger

&

Co.,

Inc.

1,771

134,596

Vista

Outdoor,

Inc.

*

12,155

175,640

868,696

Life

Sciences

Tools

&

Services

-

1.9%

Luminex

Corp.

4,789

155,786

Medpace

Holdings,

Inc.

*

7,170

666,953

NanoString

Technologies,

Inc.

*

9,719

285,253

NeoGenomics

,

Inc.

*

19,700

610,306

Quanterix

Corp.

*(a)

3,818

104,575

Repligen

Corp.

*

8,487

1,049,078

Syneos

Health,

Inc.

*

17,396

1,013,317

3,885,268

Machinery

-

3.0%

Alamo

Group,

Inc.

2,710

278,154

Astec

Industries,

Inc.

3,107

143,885

Columbus

McKinnon

Corp.

3,124

104,498

Douglas

Dynamics,

Inc.

3,701

129,979

Energy

Recovery,

Inc.

*(a)

13,179

100,095

ESCO

Technologies,

Inc.

7,019

593,316

Evoqua

Water

Technologies

Corp.

*

26,346

490,036

Federal

Signal

Corp.

17,304

514,448

Franklin

Electric

Co.,

Inc.

7,977

418,952

Helios

Technologies,

Inc.

2,328

86,718

Kadant

,

Inc.

1,365

136,036

Lindsay

Corp.

1,783

164,411

Meritor,

Inc.

*

3,997

79,141

Mueller

Industries,

Inc.

5,922

157,407

Mueller

Water

Products,

Inc.,

Class

A

9,694

91,414

Omega

Flex,

Inc.

1,548

163,778

Proto

Labs,

Inc.

*

826

92,900

RBC

Bearings,

Inc.

*

2,383

319,417

Rexnord

Corp.

18,862

549,827

Shyft

Group,

Inc.

(The)

11,262

189,652

SPX

Corp.

*

9,549

392,941

SPX

FLOW,

Inc.

*

5,493

205,658

Tennant

Co.

3,308

215,053

Watts

Water

Technologies,

Inc.,

Class

A

6,652

538,812

6,156,528

Marine

-

0.1%

Costamare

,

Inc.

(Monaco)

(a)

32,670

181,645

Media

-

0.5%

Cardlytics,

Inc.

*(a)

7,970

557,741

TechTarget

,

Inc.

*

8,135

244,294

TEGNA,

Inc.

19,456

216,740

Tribune

Publishing

Co.

10,081

100,709

1,119,484

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

0.7%

Coeur

Mining,

Inc.

*

34,942

177,505

Commercial

Metals

Co.

18,390

375,156

Compass

Minerals

International,

Inc.

1,886

91,942

Gold

Resource

Corp.

15,551

63,915

Hecla

Mining

Co.

50,702

165,796

Novagold

Resources,

Inc.

(Canada)

*

55,145

506,231

1,380,545

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

16,083

457,722

Multiline

Retail

-

0.0%

(c)

Big

Lots,

Inc.

2,167

91,014

Multi-Utilities

-

0.5%

Avista

Corp.

8,790

319,868

Black

Hills

Corp.

4,835

273,951

NorthWestern

Corp.

5,815

317,034

Unitil

Corp.

4,831

216,525

1,127,378

Oil,

Gas

&

Consumable

Fuels

-

0.8%

CNX

Resources

Corp.

*(a)

24,680

213,482

DHT

Holdings,

Inc.

(a)

41,074

210,710

Dorian

LPG

Ltd.

*

19,760

152,942

International

Seaways,

Inc.

8,508

139,021

Nordic

American

Tankers

Ltd.

51,044

207,239

Overseas

Shipholding

Group,

Inc.,

Class

A

*

40,815

75,916

Renewable

Energy

Group,

Inc.

*(a)

7,755

192,169

Scorpio

Tankers,

Inc.

(Monaco)

10,008

128,202

SFL

Corp.

Ltd.

(Norway)

16,112

149,680

Teekay

Corp.

*(a)

29,817

71,561

Teekay

Tankers

Ltd.,

Class

A

*(a)

13,772

176,557

1,717,479

Paper

&

Forest

Products

-

0.6%

Boise

Cascade

Co.

10,075

378,921

Clearwater

Paper

Corp.

*

5,366

193,874

Louisiana-Pacific

Corp.

13,385

343,325

P

H

Glatfelter

Co.

9,467

151,945

Schweitzer-Mauduit

International,

Inc.

3,978

132,905

1,200,970

Personal

Products

-

0.3%

Edgewell

Personal

Care

Co.

*

2,853

88,900

elf

Beauty,

Inc.

*

16,301

310,860

Lifevantage

Corp.

*

6,054

81,850

USANA

Health

Sciences,

Inc.

*

1,984

145,685

627,295

55

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

2.5%

Axsome

Therapeutics,

Inc.

*

7,207

592,992

BioDelivery

Sciences

International,

Inc.

*

37,790

164,764

Collegium

Pharmaceutical,

Inc.

*

9,983

174,702

Corcept

Therapeutics,

Inc.

*

21,695

364,910

Intra-Cellular

Therapies,

Inc.

*

14,956

383,921

Kala

Pharmaceuticals,

Inc.

*

9,170

96,377

Lannett

Co.,

Inc.

*

13,208

95,890

MyoKardia

,

Inc.

*

10,927

1,055,767

Ocular

Therapeutix

,

Inc.

*(a)

17,206

143,326

Odonate

Therapeutics,

Inc.

*

8,093

342,658

Omeros

Corp.

*(a)

3,937

57,953

Pacira

BioSciences

,

Inc.

*

4,494

235,800

Paratek

Pharmaceuticals,

Inc.

*(a)

12,277

64,086

Prestige

Consumer

Healthcare,

Inc.

*

9,656

362,679

Reata

Pharmaceuticals,

Inc.,

Class

A

*

5,066

790,397

Recro

Pharma,

Inc.

*

17,538

79,798

Revance

Therapeutics,

Inc.

*

12,022

293,577

5,299,597

Professional

Services

-

1.4%

ASGN,

Inc.

*

1,260

84,017

CBIZ,

Inc.

*

11,492

275,463

CRA

International,

Inc.

2,110

83,345

Exponent,

Inc.

10,996

889,906

Franklin

Covey

Co.

*

3,607

77,190

FTI

Consulting,

Inc.

*

6,021

689,705

Huron

Consulting

Group,

Inc.

*

6,817

301,652

ICF

International,

Inc.

3,460

224,312

Kforce

,

Inc.

4,151

121,417

TriNet

Group,

Inc.

*

1,256

76,541

2,823,548

Real

Estate

Management

&

Development

-

0.6%

eXp

World

Holdings,

Inc.

*

5,095

86,870

Redfin

Corp.

*

20,905

876,128

St

Joe

Co.

(The)

*

9,676

187,908

1,150,906

Road

&

Rail

-

0.7%

Heartland

Express,

Inc.

(a)

9,171

190,940

Marten

Transport

Ltd.

7,549

189,933

Saia,

Inc.

*

5,874

653,071

Universal

Logistics

Holdings,

Inc.

546

9,490

Werner

Enterprises,

Inc.

11,455

498,636

1,542,070

Semiconductors

&

Semiconductor

Equipment

-

6.1%

Advanced

Energy

Industries,

Inc.

*

6,811

461,718

Alpha

&

Omega

Semiconductor

Ltd.

*

10,047

109,311

Ambarella

,

Inc.

*

8,075

369,835

Amkor

Technology,

Inc.

*

55,758

686,381

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

6.1%

(continued)

Axcelis

Technologies,

Inc.

*

3,701

103,073

Brooks

Automation,

Inc.

13,692

605,734

Cabot

Microelectronics

Corp.

4,592

640,768

CEVA,

Inc.

*

2,986

111,736

Cirrus

Logic,

Inc.

*

11,388

703,551

Diodes,

Inc.

*

11,551

585,636

Enphase

Energy,

Inc.

*

20,888

993,642

FormFactor

,

Inc.

*

22,937

672,742

Ichor

Holdings

Ltd.

*

5,523

146,801

Impinj

,

Inc.

*(a)

6,623

181,934

Inphi

Corp.

*

8,925

1,048,687

Lattice

Semiconductor

Corp.

*

29,839

847,129

MACOM

Technology

Solutions

Holdings,

Inc.

*

17,013

584,397

NeoPhotonics

Corp.

*

16,513

146,635

PDF

Solutions,

Inc.

*

17,437

341,068

Photronics

,

Inc.

*

22,755

253,263

Power

Integrations,

Inc.

6,604

780,131

Rambus,

Inc.

*

16,788

255,178

Semtech

Corp.

*

1,440

75,197

Silicon

Laboratories,

Inc.

*

6,346

636,313

SMART

Global

Holdings,

Inc.

*

6,089

165,499

SunPower

Corp.

*(a)

30,897

236,671

Synaptics

,

Inc.

*

7,939

477,293

Ultra

Clean

Holdings,

Inc.

*

12,554

284,097

Veeco

Instruments,

Inc.

*

17,613

237,599

12,742,019

Software

-

4.8%

Agilysys

,

Inc.

*

8,869

159,110

American

Software,

Inc.,

Class

A

6,007

94,670

Appfolio

,

Inc.,

Class

A

*

6,144

999,690

Appian

Corp.

*(a)

13,023

667,429

Avaya

Holdings

Corp.

*

4,608

56,955

Blackline,

Inc.

*

11,595

961,341

Bottomline

Technologies

DE,

Inc.

*

1,138

57,776

Box,

Inc.,

Class

A

*

6,088

126,387

ChannelAdvisor

Corp.

*

4,396

69,633

Cloudera,

Inc.

*

14,739

187,480

Digital

Turbine,

Inc.

*

41,614

523,088

eGain

Corp.

*

10,249

113,866

Envestnet

,

Inc.

*

2,621

192,748

Everbridge

,

Inc.

*

5,508

762,087

Five9,

Inc.

*

10,228

1,131,933

Intelligent

Systems

Corp.

*

4,577

155,984

J2

Global,

Inc.

*

2,031

128,380

LivePerson

,

Inc.

*

4,928

204,167

Model

N,

Inc.

*

12,433

432,171

OneSpan

,

Inc.

*

6,267

175,037

Progress

Software

Corp.

4,540

175,925

Q2

Holdings,

Inc.

*

9,018

773,654

QAD,

Inc.,

Class

A

1,341

55,357

Qualys

,

Inc.

*

4,695

488,374

Sailpoint

Technologies

Holdings,

Inc.

*

3,120

82,586

56

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Software

-

4.8%

(continued)

SecureWorks

Corp.,

Class

A

*

5,527

63,174

SPS

Commerce,

Inc.

*

6,879

516,750

Telenav

,

Inc.

*

3,789

20,802

Tenable

Holdings,

Inc.

*

2,802

83,528

Varonis

Systems,

Inc.

*

4,741

419,484

9,879,566

Specialty

Retail

-

2.6%

America's

Car-Mart,

Inc.

*

1,973

173,367

Asbury

Automotive

Group,

Inc.

*

3,134

242,352

Buckle,

Inc.

(The)

11,341

177,827

Camping

World

Holdings,

Inc.,

Class

A

5,431

147,506

Cato

Corp.

(The),

Class

A

9,487

77,604

Group

1

Automotive,

Inc.

2,843

187,553

Hibbett

Sports,

Inc.

*

6,366

133,304

Lithia

Motors,

Inc.,

Class

A

5,226

790,851

Murphy

USA,

Inc.

*

5,201

585,581

National

Vision

Holdings,

Inc.

*

13,425

409,731

Office

Depot,

Inc.

59,634

140,140

Rent-A-Center,

Inc.

7,900

219,778

RH

*(a)

4,492

1,118,059

Sleep

Number

Corp.

*

2,178

90,692

Sonic

Automotive,

Inc.,

Class

A

14,301

456,345

Sportsman's

Warehouse

Holdings,

Inc.

*

20,074

286,054

Zumiez

,

Inc.

*

8,680

237,658

5,474,402

Technology

Hardware,

Storage

&

Peripherals

-

0.1%

Avid

Technology,

Inc.

*

14,210

103,307

Textiles,

Apparel

&

Luxury

Goods

-

0.7%

Crocs,

Inc.

*

5,210

191,832

Deckers

Outdoor

Corp.

*

5,037

989,216

Rocky

Brands,

Inc.

3,394

69,781

Steven

Madden

Ltd.

12,066

297,910

1,548,739

Thrifts

&

Mortgage

Finance

-

1.3%

Capitol

Federal

Financial,

Inc.

27,781

305,869

Columbia

Financial,

Inc.

*

9,735

135,852

Federal

Agricultural

Mortgage

Corp.,

Class

C

1,861

119,123

HomeStreet

,

Inc.

2,415

59,433

Meta

Financial

Group,

Inc.

9,017

163,839

Mr

Cooper

Group,

Inc.

*

18,919

235,352

Northfield

Bancorp,

Inc.

9,328

107,459

PennyMac

Financial

Services,

Inc.

18,108

756,733

Walker

&

Dunlop,

Inc.

4,004

203,443

Washington

Federal,

Inc.

11,163

299,615

Waterstone

Financial,

Inc.

21,385

317,139

2,703,857

INVESTMENTS

SHARES

VALUE

($)

Tobacco

-

0.2%

Turning

Point

Brands,

Inc.

9,284

231,264

Vector

Group

Ltd.

26,863

270,242

501,506

Trading

Companies

&

Distributors

-

1.4%

Applied

Industrial

Technologies,

Inc.

2,135

133,203

BMC

Stock

Holdings,

Inc.

*

18,700

470,118

Foundation

Building

Materials,

Inc.

*

15,162

236,679

GATX

Corp.

2,835

172,878

GMS,

Inc.

*

12,755

313,645

Lawson

Products,

Inc.

*

4,656

150,203

Rush

Enterprises,

Inc.,

Class

A

3,415

141,586

SiteOne

Landscape

Supply,

Inc.

*

8,079

920,764

Systemax,

Inc.

4,200

86,268

Triton

International

Ltd.

10,151

306,966

2,932,310

Water

Utilities

-

0.7%

American

States

Water

Co.

7,478

587,995

Cadiz,

Inc.

*

8,618

87,559

California

Water

Service

Group

5,002

238,595

Middlesex

Water

Co.

3,287

220,821

SJW

Group

4,701

291,979

York

Water

Co.

(The)

2,159

103,546

1,530,495

Wireless

Telecommunication

Services

-

0.2%

Shenandoah

Telecommunications

Co.

6,850

337,637

TOTAL

COMMON

STOCKS

(Cost

$158,439,967)

199,474,912

SHORT-TERM

INVESTMENTS

-

3.9%

INVESTMENT

COMPANIES

-

3.9%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(d)

(Cost

$8,155,513)

8,155,513

8,157,144

57

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

5.1%

Investment

Companies

-

5.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(d)(e)

2,639,877

2,639,877

Limited

Purpose

Cash

Investment

Fund

0.34%

(d)(e)

7,852,534

7,854,105

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$10,492,411)

10,493,982

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

104.9%

(Cost

$177,087,891)

218,126,038

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(4.9)%

(f)

(10,143,852)

NET

ASSETS

-

100.0%

207,982,186

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,206,650

2.0

%

Consumer

Discretionary

22,190,912

10.7

Consumer

Staples

9,481,530

4.6

Energy

1,717,479

0.8

Financials

17,562,345

8.4

Health

Care

53,571,923

25.8

Industrials

32,133,746

15.5

Information

Technology

34,409,638

16.5

Materials

5,085,010

2.4

Real

Estate

12,569,723

6.1

Utilities

6,545,956

3.1

Short-Term

Investments

8,157,144

3.9

Securities

Lending

Collateral

10,493,982

5.1

Total

Investments

In

Securities

At

Value

218,126,038

104.9

Liabilities

in

Excess

of

Other

Assets

(f

)

(10,143,852)

(4.9)

Net

Assets

$

207,982,186

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$10,217,582.

(b)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(3)

Level

3

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

96

9/2020

USD

$

6,900,480

$

278,229

$

278,229

58

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.2%

Australia

-

5.5%

Aristocrat

Leisure

Ltd.

33,347

597,128

ASX

Ltd.

10,855

645,203

Aurizon

Holdings

Ltd.

118,500

403,241

AusNet

Services

141,964

164,022

Coca-Cola

Amatil

Ltd.

54,718

329,592

Cochlear

Ltd.

3,707

486,688

Coles

Group

Ltd.

84,229

1,001,261

Commonwealth

Bank

of

Australia

49,272

2,379,560

CSL

Ltd.

24,677

4,907,984

Fortescue

Metals

Group

Ltd.

194,959

1,895,328

Goodman

Group,

REIT

164,784

1,700,279

Macquarie

Group

Ltd.

5,649

468,823

Magellan

Financial

Group

Ltd.

18,152

741,247

Medibank

Pvt

Ltd.

92,539

191,857

Mirvac

Group,

REIT

276,150

417,153

Newcrest

Mining

Ltd.

9,980

221,297

Orica

Ltd.

17,801

205,862

QBE

Insurance

Group

Ltd.

57,498

354,826

Ramsay

Health

Care

Ltd.

6,612

305,358

REA

Group

Ltd.

6,482

488,441

SEEK

Ltd.

16,978

259,744

Sonic

Healthcare

Ltd.

24,979

527,477

Telstra

Corp.

Ltd.

447,741

971,880

Wesfarmers

Ltd.

57,366

1,783,635

Woolworths

Group

Ltd.

57,825

1,490,542

22,938,428

—

Austria

-

0.1%

ANDRITZ

AG

6,457

235,428

Belgium

-

0.4%

Galapagos

NV

*

3,871

764,050

UCB

SA

6,526

757,319

Umicore

SA

5,558

262,360

1,783,729

—

Brazil

-

0.3%

Wheaton

Precious

Metals

Corp.

(1)

31,326

1,377,781

Canada

-

10.5%

Agnico

Eagle

Mines

Ltd.

(1)

18,424

1,179,728

Air

Canada

(1)*

21,858

272,903

Algonquin

Power

&

Utilities

Corp.

(1)

63,874

825,714

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

33,225

1,041,830

Atco

Ltd.,

Class

I

(1)

5,940

176,196

Barrick

Gold

Corp.

(1)

115,713

3,113,579

BCE,

Inc.

(1)

38,226

1,594,252

Brookfield

Asset

Management,

Inc.,

Class

A

(1)

86,652

2,851,805

CAE,

Inc.

(1)

27,978

453,798

Canadian

Apartment

Properties,

REIT

(1)

16,366

585,757

Canadian

National

Railway

Co.

(1)

6,478

573,124

Canadian

Pacific

Railway

Ltd.

(1)

6,968

1,772,385

Canadian

Utilities

Ltd.,

Class

A

(1)

15,720

391,379

Constellation

Software,

Inc.

(1)

1,480

1,671,094

Dollarama,

Inc.

(1)

15,285

508,449

Emera,

Inc.

(1)

28,840

1,134,821

INVESTMENTS

SHARES

VALUE

($)

Canada

-

10.5%

(continued)

Empire

Co.

Ltd.,

Class

A

(1)

18,071

432,740

Enbridge,

Inc.

(1)

65,971

2,005,954

Fortis,

Inc.

(1)

33,993

1,292,766

Franco-Nevada

Corp.

(1)

14,345

2,003,925

George

Weston

Ltd.

(1)

5,572

408,173

Hydro

One

Ltd.

(1)(a)

48,020

903,028

iA

Financial

Corp.,

Inc.

(1)

6,988

233,997

Intact

Financial

Corp.

(1)

11,818

1,124,782

International

Petroleum

Corp.

*(b)

14,226

26,087

Kinross

Gold

Corp.

(1)*

110,662

798,827

Loblaw

Cos.

Ltd.

(1)

12,029

585,767

Metro,

Inc.

(1)

19,087

787,325

National

Bank

of

Canada

(1)

11,414

517,228

Open

Text

Corp.

(1)

8,179

347,318

Quebecor,

Inc.,

Class

B

(1)

5,379

115,576

RioCan

,

REIT

(1)

14,872

168,263

Shopify,

Inc.,

Class

A

(1)*

8,353

7,935,657

Sun

Life

Financial,

Inc.

(1)

20,983

771,097

TC

Energy

Corp.

(1)

50,067

2,138,985

Thomson

Reuters

Corp.

(1)

34,857

2,368,304

WSP

Global,

Inc.

(1)

10,798

662,229

43,774,842

—

China

-

0.1%

Wilmar

International

Ltd.

103,200

305,242

Denmark

-

3.7%

Carlsberg

A/S,

Class

B

5,906

783,184

Coloplast

A/S,

Class

B

9,455

1,473,732

DSV

Panalpina

A/S

13,398

1,645,743

Genmab

A/S

*

4,285

1,444,873

Novo

Nordisk

A/S,

Class

B

88,334

5,754,759

Novozymes

A/S,

Class

B

6,183

358,465

Orsted

A/S

(a)

21,514

2,486,778

Vestas

Wind

Systems

A/S

12,683

1,298,775

15,246,309

—

Finland

-

1.3%

Elisa

OYJ

13,130

798,981

Kone

OYJ,

Class

B

28,836

1,988,803

Neste

OYJ

22,018

864,781

Orion

OYJ,

Class

B

9,201

446,197

UPM-

Kymmene

OYJ

39,779

1,152,187

5,250,949

—

France

-

6.7%

Air

Liquide

SA

9,615

1,390,203

BNP

Paribas

SA

*

4,372

174,679

Bouygues

SA

*

5,122

175,452

Credit

Agricole

SA

*

24,445

232,122

Danone

SA

2,756

191,303

Dassault

Systemes

SE

11,319

1,964,899

Edenred

14,443

633,443

EssilorLuxottica

SA

*

12,880

1,656,477

Faurecia

SE

*

4,781

187,839

Hermes

International

2,446

2,053,681

Iliad

SA

659

128,643

Kering

SA

1,090

595,924

Legrand

SA

2,988

227,036

L'Oreal

SA

5,953

1,921,311

59

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

6.7%

(continued)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

10,671

4,711,196

Safran

SA

*

13,243

1,332,131

Sanofi

42,879

4,373,002

Sartorius

Stedim

Biotech

1,282

325,035

Schneider

Electric

SE

14,518

1,614,935

Teleperformance

*

1,125

286,517

Ubisoft

Entertainment

SA

*

3,711

307,310

Veolia

Environnement

SA

28,559

644,896

Vinci

SA

20,644

1,914,180

Vivendi

SA

30,525

788,757

27,830,971

—

Germany

-

5.2%

Bayer

AG

(Registered)

41,121

3,048,035

Beiersdorf

AG

1,131

128,611

Carl

Zeiss

Meditec

AG

6,836

665,637

Delivery

Hero

SE

*(a)

15,138

1,555,691

Deutsche

Bank

AG

(Registered)

*

13,797

131,625

Deutsche

Boerse

AG

9,343

1,690,866

Deutsche

Post

AG

(Registered)

18,691

686,331

E.ON

SE

48,409

546,425

GEA

Group

AG

6,902

219,058

Hannover

Rueck

SE

7,005

1,210,633

KION

Group

AG

3,488

214,756

Merck

KGaA

4,971

578,863

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

5,277

1,374,105

Puma

SE

*

11,218

869,787

RWE

AG

38,686

1,354,284

SAP

SE

25,684

3,590,355

Siemens

Healthineers

AG

(a)

2,207

106,086

Symrise

AG

8,607

1,005,699

Volkswagen

AG

1,373

221,681

Vonovia

SE

27,619

1,688,158

Zalando

SE

*(a)

13,494

957,272

21,843,958

—

Hong

Kong

-

1.4%

AIA

Group

Ltd.

305,800

2,861,557

ASM

Pacific

Technology

Ltd.

17,700

187,053

CLP

Holdings

Ltd.

14,000

137,497

Hang

Lung

Properties

Ltd.

73,000

173,541

Hong

Kong

Exchanges

&

Clearing

Ltd.

12,700

540,915

MTR

Corp.

Ltd.

25,500

132,619

PCCW

Ltd.

323,000

184,680

Power

Assets

Holdings

Ltd.

27,500

150,262

Sino

Land

Co.

Ltd.

102,000

129,050

Techtronic

Industries

Co.

Ltd.

100,500

994,403

WH

Group

Ltd.

(a)

264,000

228,147

Wheelock

&

Co.

Ltd.

24,000

200,534

5,920,258

—

Italy

-

2.0%

Enel

SpA

461,535

3,991,561

Ferrari

NV

7,670

1,313,836

Intesa

Sanpaolo

SpA

*

489,098

939,895

Poste

Italiane

SpA

(a)

28,392

248,011

INVESTMENTS

SHARES

VALUE

($)

Italy

-

2.0%

(continued)

Prysmian

SpA

9,142

212,079

Recordati

SpA

9,093

455,002

Terna

Rete

Elettrica

Nazionale

SpA

154,257

1,063,996

8,224,380

—

Japan

-

27.4%

Acom

Co.

Ltd.

28,400

108,682

Advantest

Corp.

22,100

1,261,258

Aeon

Co.

Ltd.

18,300

425,741

Ajinomoto

Co.,

Inc.

23,200

385,003

Asahi

Intecc

Co.

Ltd.

26,200

747,757

Astellas

Pharma,

Inc.

85,700

1,431,152

Bandai

Namco

Holdings,

Inc.

18,000

947,485

Benesse

Holdings,

Inc.

7,700

206,511

Casio

Computer

Co.

Ltd.

22,400

390,781

Chubu

Electric

Power

Co.,

Inc.

20,900

262,127

Chugai

Pharmaceutical

Co.

Ltd.

54,600

2,923,283

Chugoku

Electric

Power

Co.,

Inc.

(The)

26,000

346,633

Daifuku

Co.

Ltd.

7,500

657,241

Daiichi

Sankyo

Co.

Ltd.

40,800

3,337,097

Daikin

Industries

Ltd.

12,200

1,973,960

Daiwa

House

REIT

Investment

Corp.,

REIT

107

251,728

Disco

Corp.

3,400

829,221

Eisai

Co.

Ltd.

10,200

810,379

Fast

Retailing

Co.

Ltd.

2,300

1,321,975

FUJIFILM

Holdings

Corp.

12,100

517,901

Fujitsu

Ltd.

14,700

1,721,125

GMO

Payment

Gateway,

Inc.

4,000

418,374

Hamamatsu

Photonics

KK

9,300

404,966

Hikari

Tsushin,

Inc.

4,100

937,458

Hirose

Electric

Co.

Ltd.

1,800

197,655

Hitachi

Ltd.

51,600

1,640,097

Hitachi

Metals

Ltd.

14,700

176,192

Honda

Motor

Co.

Ltd.

17,700

453,008

Hoshizaki

Corp.

3,300

282,845

Hoya

Corp.

24,500

2,346,095

Hulic

Co.

Ltd.

19,900

187,876

ITOCHU

Corp.

82,300

1,780,793

Itochu

Techno-Solutions

Corp.

18,300

688,205

Japan

Airport

Terminal

Co.

Ltd.

4,900

209,093

Japan

Prime

Realty

Investment

Corp.,

REIT

123

360,835

Japan

Real

Estate

Investment

Corp.,

REIT

154

790,345

JSR

Corp.

7,100

137,739

Kakaku.com,

Inc.

18,700

476,368

Kansai

Paint

Co.

Ltd.

15,500

327,542

Kao

Corp.

4,900

388,853

KDDI

Corp.

89,400

2,667,441

Keihan

Holdings

Co.

Ltd.

10,300

459,990

Keyence

Corp.

8,360

3,503,354

Kikkoman

Corp.

4,700

226,999

Kintetsu

Group

Holdings

Co.

Ltd.

6,100

273,704

Kobayashi

Pharmaceutical

Co.

Ltd.

2,900

254,981

Kurita

Water

Industries

Ltd.

6,600

183,600

Kyocera

Corp.

15,500

846,061

Kyowa

Kirin

Co.

Ltd.

13,000

342,221

Kyushu

Railway

Co.

6,500

168,894

60

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

27.4%

(continued)

Lawson,

Inc.

3,000

150,902

LINE

Corp.

*

8,200

412,700

Lion

Corp.

9,500

228,491

LIXIL

Group

Corp.

18,100

254,201

M3,

Inc.

41,500

1,762,967

McDonald's

Holdings

Co.

Japan

Ltd.

6,700

362,119

Medipal

Holdings

Corp.

8,800

169,845

MINEBEA

MITSUMI,

Inc.

15,100

275,237

Mitsubishi

Electric

Corp.

47,500

620,410

Mitsubishi

Estate

Co.

Ltd.

25,600

381,487

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.

26,600

126,931

Mitsui

&

Co.

Ltd.

70,100

1,038,645

MonotaRO

Co.

Ltd.

5,500

220,981

MS&AD

Insurance

Group

Holdings,

Inc.

23,000

633,390

Murata

Manufacturing

Co.

Ltd.

30,700

1,809,719

Nabtesco

Corp.

6,900

213,536

Nagoya

Railroad

Co.

Ltd.

3,900

109,923

Nexon

Co.

Ltd.

10,700

241,354

NGK

Insulators

Ltd.

8,000

110,845

Nintendo

Co.

Ltd.

6,500

2,905,948

Nippon

Building

Fund,

Inc.,

REIT

153

871,361

Nippon

Express

Co.

Ltd.

3,900

202,229

Nippon

Paint

Holdings

Co.

Ltd.

17,800

1,298,276

Nippon

Prologis

REIT,

Inc.,

REIT

172

522,645

Nippon

Shinyaku

Co.

Ltd.

1,400

114,272

Nippon

Telegraph

&

Telephone

Corp.

153,100

3,567,145

Nissan

Chemical

Corp.

8,300

427,025

Nissin

Foods

Holdings

Co.

Ltd.

4,700

416,419

Nitori

Holdings

Co.

Ltd.

4,200

823,490

Nitto

Denko

Corp.

2,200

124,718

Nomura

Holdings,

Inc.

193,100

867,712

Nomura

Real

Estate

Holdings,

Inc.

8,600

160,110

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

277

331,762

Nomura

Research

Institute

Ltd.

47,000

1,283,699

NTT

DOCOMO,

Inc.

98,100

2,604,361

Obic

Co.

Ltd.

9,300

1,639,023

Odakyu

Electric

Railway

Co.

Ltd.

9,000

221,020

Olympus

Corp.

95,600

1,840,539

Omron

Corp.

13,400

897,508

Ono

Pharmaceutical

Co.

Ltd.

17,300

504,927

Oracle

Corp.

Japan

4,100

486,312

Oriental

Land

Co.

Ltd.

11,200

1,480,037

ORIX

Corp.

48,100

597,270

Osaka

Gas

Co.

Ltd.

7,600

150,229

Otsuka

Corp.

2,900

153,165

Otsuka

Holdings

Co.

Ltd.

8,500

370,447

Pan

Pacific

International

Holdings

Corp.

30,600

673,711

Panasonic

Corp.

69,900

612,957

Recruit

Holdings

Co.

Ltd.

61,300

2,108,119

Renesas

Electronics

Corp.

*

72,900

374,735

Santen

Pharmaceutical

Co.

Ltd.

21,700

399,485

Secom

Co.

Ltd.

5,100

447,488

Sega

Sammy

Holdings,

Inc.

19,100

228,956

Sekisui

Chemical

Co.

Ltd.

14,500

207,752

INVESTMENTS

SHARES

VALUE

($)

Japan

-

27.4%

(continued)

Sekisui

House

Ltd.

38,800

740,776

Seven

&

i

Holdings

Co.

Ltd.

22,100

722,969

Seven

Bank

Ltd.

51,300

140,605

SG

Holdings

Co.

Ltd.

14,500

473,188

Sharp

Corp.

18,900

202,694

Shimadzu

Corp.

14,000

373,761

Shimano,

Inc.

1,700

326,891

Shimizu

Corp.

35,600

293,276

Shin-Etsu

Chemical

Co.

Ltd.

21,800

2,558,481

Shinsei

Bank

Ltd.

13,400

162,076

Shionogi

&

Co.

Ltd.

3,300

207,020

SMC

Corp.

3,500

1,798,724

Softbank

Corp.

61,400

782,619

SoftBank

Group

Corp.

2,600

131,112

Sohgo

Security

Services

Co.

Ltd.

2,300

107,395

Sony

Corp.

61,800

4,266,064

Square

Enix

Holdings

Co.

Ltd.

7,900

400,247

Stanley

Electric

Co.

Ltd.

5,600

135,563

Subaru

Corp.

9,300

194,739

SUMCO

Corp.

18,800

289,034

Sundrug

Co.

Ltd.

4,600

152,240

Sysmex

Corp.

8,500

652,474

Taiyo

Nippon

Sanso

Corp.

28,700

479,946

Takeda

Pharmaceutical

Co.

Ltd.

18,500

664,667

TDK

Corp.

8,200

816,322

Teijin

Ltd.

7,100

113,044

Terumo

Corp.

31,200

1,187,559

Tobu

Railway

Co.

Ltd.

9,700

320,482

Toho

Gas

Co.

Ltd.

10,900

544,810

Tokio

Marine

Holdings,

Inc.

21,100

923,611

Tokyo

Electron

Ltd.

10,300

2,541,461

Tokyu

Corp.

16,300

229,477

Toyo

Suisan

Kaisha

Ltd.

2,200

122,923

Toyoda

Gosei

Co.

Ltd.

7,500

156,702

Toyota

Motor

Corp.

103,000

6,477,060

Trend

Micro,

Inc.

3,100

173,242

Tsuruha

Holdings,

Inc.

3,400

469,585

Unicharm

Corp.

9,200

377,315

Welcia

Holdings

Co.

Ltd.

6,800

549,352

Yamada

Denki

Co.

Ltd.

23,600

117,066

Yamazaki

Baking

Co.

Ltd.

6,500

111,652

Yaskawa

Electric

Corp.

6,600

229,436

Z

Holdings

Corp.

250,900

1,231,348

113,976,167

—

Luxembourg

-

0.1%

Eurofins

Scientific

SE

*

745

469,898

Macau

-

0.0%

(c)

Galaxy

Entertainment

Group

Ltd.

17,000

116,616

Netherlands

-

4.0%

Adyen

NV

*(a)

885

1,289,443

Akzo

Nobel

NV

2,635

236,730

Altice

Europe

NV

*

76,081

294,246

ASML

Holding

NV

22,243

8,136,783

Just

Eat

Takeaway.com

NV

*(a)

5,276

551,474

Koninklijke

DSM

NV

13,395

1,859,467

Koninklijke

Philips

NV

*

37,885

1,769,909

Koninklijke

Vopak

NV

2,607

137,995

Randstad

NV

*

4,730

211,502

61

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

4.0%

(continued)

Wolters

Kluwer

NV

25,073

1,959,811

16,447,360

—

Norway

-

0.2%

Gjensidige

Forsikring

ASA

*

12,009

221,880

Orkla

ASA

28,389

249,244

Schibsted

ASA,

Class

B

*

11,928

281,747

752,871

—

Portugal

-

0.1%

Jeronimo

Martins

SGPS

SA

*

22,837

399,647

Singapore

-

0.3%

Ascendas

,

REIT

181,000

415,288

Mapletree

Commercial

Trust,

REIT

93,600

130,966

Singapore

Exchange

Ltd.

58,300

350,830

Singapore

Technologies

Engineering

Ltd.

74,000

176,619

UOL

Group

Ltd.

27,100

133,243

Venture

Corp.

Ltd.

16,500

192,831

1,399,777

—

Spain

-

1.8%

Cellnex

Telecom

SA

(a)

22,973

1,403,139

Endesa

SA

19,574

485,558

Ferrovial

SA

43,348

1,158,692

Grifols

SA

22,845

694,672

Iberdrola

SA

305,494

3,566,546

7,308,607

—

Sweden

-

2.8%

Assa

Abloy

AB,

Class

B

37,227

761,943

Atlas

Copco

AB,

Class

A

63,231

2,692,721

Epiroc

AB,

Class

A

34,140

427,788

Essity

AB,

Class

B

*

15,710

509,340

Hennes

&

Mauritz

AB,

Class

B

70,944

1,035,520

Hexagon

AB,

Class

B

*

2,470

145,052

ICA

Gruppen

AB

10,660

506,718

Industrivarden

AB,

Class

C

*

9,805

223,495

Investor

AB,

Class

B

25,163

1,334,844

L

E

Lundbergforetagen

AB,

Class

B

*

6,752

307,781

Sandvik

AB

*

34,976

658,450

Skanska

AB,

Class

B

*

24,666

503,563

SKF

AB,

Class

B

22,483

420,287

Swedish

Match

AB

10,259

723,830

Tele2

AB,

Class

B

44,473

592,018

Volvo

AB,

Class

B

*

59,057

929,256

11,772,606

—

Switzerland

-

13.7%

ABB

Ltd.

(Registered)

46,651

1,058,182

Barry

Callebaut

AG

(Registered)

284

542,110

Chocoladefabriken

Lindt

&

Spruengli

AG

98

809,416

EMS-

Chemie

Holding

AG

(Registered)

754

585,785

Geberit

AG

(Registered)

2,660

1,334,618

Givaudan

SA

(Registered)

468

1,749,370

Kuehne

+

Nagel

International

AG

(Registered)

*

2,686

447,403

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

13.7%

(continued)

Lonza

Group

AG

(Registered)

3,787

2,005,965

Nestle

SA

(Registered)

128,422

14,238,226

Novartis

AG

(Registered)

110,423

9,620,170

Partners

Group

Holding

AG

1,444

1,315,040

Roche

Holding

AG

36,449

12,627,738

SGS

SA

(Registered)

122

298,857

Sika

AG

(Registered)

9,247

1,782,567

Sonova

Holding

AG

(Registered)

*

3,953

791,293

STMicroelectronics

NV

36,968

1,007,685

Straumann

Holding

AG

(Registered)

997

861,893

Swiss

Life

Holding

AG

(Registered)

1,799

669,262

Swiss

Prime

Site

AG

(Registered)

6,533

606,036

Swisscom

AG

(Registered)

1,823

955,983

Vifor

Pharma

AG

4,773

722,093

Zurich

Insurance

Group

AG

8,168

2,894,172

56,923,864

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(d)

13,256

—

United

Kingdom

-

7.5%

Admiral

Group

plc

13,052

370,141

Ashtead

Group

plc

29,553

996,913

AstraZeneca

plc

69,845

7,269,077

BAE

Systems

plc

117,483

702,485

Barratt

Developments

plc

64,340

395,442

Berkeley

Group

Holdings

plc

5,281

271,973

British

American

Tobacco

plc

96,877

3,715,507

Bunzl

plc

10,364

277,995

Croda

International

plc

4,518

293,448

Direct

Line

Insurance

Group

plc

116,965

392,190

Experian

plc

35,906

1,260,259

GlaxoSmithKline

plc

156,161

3,154,404

Halma

plc

8,532

243,078

Intertek

Group

plc

14,454

973,492

JD

Sports

Fashion

plc

40,506

311,761

London

Stock

Exchange

Group

plc

9,897

1,029,240

Melrose

Industries

plc

100,247

141,302

National

Grid

plc

141,616

1,727,771

Next

plc

3,026

183,209

Ocado

Group

plc

*

4,388

110,272

Persimmon

plc

15,236

431,202

Reckitt

Benckiser

Group

plc

4,680

430,553

RELX

plc

61,000

1,411,892

Rentokil

Initial

plc

62,488

395,122

Severn

Trent

plc

3,954

121,007

Smith

&

Nephew

plc

45,553

848,818

Spirax-Sarco

Engineering

plc

980

120,648

SSE

plc

23,902

404,735

Taylor

Wimpey

plc

151,984

268,253

Tesco

plc

488,434

1,373,801

Unilever

plc

22,505

1,213,944

United

Utilities

Group

plc

35,450

398,342

Vodafone

Group

plc

114,341

181,775

31,420,051

—

62

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

0.1%

Ferguson

plc

7,344

600,494

TOTAL

COMMON

STOCKS

(Cost

$323,234,948)

396,320,233

SHORT-TERM

INVESTMENTS

-

3.9%

INVESTMENT

COMPANIES

-

3.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(e)

15

15

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(e)

16,175,346

16,178,581

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$16,175,214)

16,178,596

SECURITIES

LENDING

COLLATERAL

-

0.0%

(c)

Investment

Companies

-

0.0%

(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(e)(f)

3,725

3,725

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(e)(f)

11,081

11,083

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$14,806)

14,808

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.1%

(Cost

$339,424,968)

412,513,637

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.9%

(g)

3,726,405

NET

ASSETS

-

100.0%

416,240,042

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

24,767,815

5.9

%

Consumer

Discretionary

41,952,115

10.1

Consumer

Staples

39,330,787

9.4

Energy

5,173,802

1.2

Financials

32,353,985

7.8

Health

Care

87,068,214

20.9

Industrials

54,869,251

13.2

Information

Technology

50,210,890

12.1

Materials

27,115,573

6.5

Real

Estate

10,206,419

2.5

Utilities

23,271,382

5.6

Short-Term

Investments

16,178,596

3.9

Securities

Lending

Collateral

14,808

0.0(c)

Total

Investments

In

Securities

At

Value

412,513,637

99.1

Other

Assets

in

Excess

of

Liabilities

(g

)

3,726,405

0.9

Net

Assets

$

416,240,042

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$9,729,069,

which

represents

approximately

2.34%

of

net

assets

of

the

fund.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$13,814.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

(3)

Level

3

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

182

9/2020

USD

$

16,183,440

$

174,874

$

174,874

63

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.7%

Aerospace

&

Defense

-

2.0%

BWX

Technologies,

Inc.

1,737

98,384

General

Dynamics

Corp.

3,745

559,728

Huntington

Ingalls

Industries,

Inc.

1,500

261,735

L3Harris

Technologies,

Inc.

1,066

180,868

Lockheed

Martin

Corp.

5,283

1,927,872

Northrop

Grumman

Corp.

5,286

1,625,128

Teledyne

Technologies,

Inc.

*

513

159,517

TransDigm

Group,

Inc.

205

90,620

4,903,852

Air

Freight

&

Logistics

-

0.1%

XPO

Logistics,

Inc.

*

2,271

175,435

Airlines

-

0.1%

Delta

Air

Lines,

Inc.

2,656

74,501

Southwest

Airlines

Co.

6,380

218,068

292,569

Auto

Components

-

0.1%

Gentex

Corp.

12,779

329,315

Automobiles

-

1.2%

Tesla,

Inc.

*

2,541

2,743,797

Thor

Industries,

Inc.

1,387

147,757

2,891,554

Banks

-

0.6%

Bank

of

America

Corp.

2,741

65,099

Fifth

Third

Bancorp

4,544

87,608

First

Republic

Bank

4,040

428,200

Huntington

Bancshares,

Inc.

10,400

93,964

JPMorgan

Chase

&

Co.

5,767

542,444

SVB

Financial

Group

*

700

150,871

1,368,186

Beverages

-

1.8%

Coca-Cola

Co.

(The)

34,949

1,561,521

Constellation

Brands,

Inc.,

Class

A

4,147

725,518

Monster

Beverage

Corp.

*

4,800

332,736

PepsiCo,

Inc.

14,326

1,894,757

4,514,532

Biotechnology

-

3.0%

AbbVie,

Inc.

16,125

1,583,153

Alnylam

Pharmaceuticals,

Inc.

*

2,081

308,217

Amgen,

Inc.

6,724

1,585,923

Biogen,

Inc.

*

1,797

480,787

Exact

Sciences

Corp.

*

2,044

177,705

Gilead

Sciences,

Inc.

6,545

503,572

Incyte

Corp.

*

2,919

303,488

Neurocrine

Biosciences,

Inc.

*

810

98,820

Regeneron

Pharmaceuticals,

Inc.

*

986

614,919

Seattle

Genetics,

Inc.

*

3,374

573,310

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

3.0%

(continued)

Vertex

Pharmaceuticals,

Inc.

*

3,593

1,043,084

7,272,978

Building

Products

-

0.5%

A

O

Smith

Corp.

4,045

190,600

Armstrong

World

Industries,

Inc.

5,036

392,607

Fortune

Brands

Home

&

Security,

Inc.

1,893

121,020

Lennox

International,

Inc.

462

107,641

Masco

Corp.

3,043

152,789

Trane

Technologies

plc

3,592

319,616

1,284,273

Capital

Markets

-

2.3%

Ameriprise

Financial,

Inc.

835

125,284

BlackRock,

Inc.

365

198,593

Cboe

Global

Markets,

Inc.

1,552

144,771

CME

Group,

Inc.

4,535

737,119

Intercontinental

Exchange,

Inc.

4,335

397,086

LPL

Financial

Holdings,

Inc.

9,563

749,739

MarketAxess

Holdings,

Inc.

437

218,902

Moody's

Corp.

2,295

630,505

Morgan

Stanley

13,359

645,240

Morningstar,

Inc.

824

116,159

MSCI,

Inc.

1,404

468,683

Northern

Trust

Corp.

2,636

209,140

S&P

Global,

Inc.

3,044

1,002,937

5,644,158

Chemicals

-

1.1%

Air

Products

and

Chemicals,

Inc.

1,700

410,482

Ecolab,

Inc.

2,560

509,312

FMC

Corp.

1,056

105,199

Linde

plc

(United

Kingdom)

1,465

310,741

PPG

Industries,

Inc.

2,626

278,513

Scotts

Miracle-

Gro

Co.

(The)

3,000

403,410

Sherwin-Williams

Co.

(The)

961

555,314

2,572,971

Commercial

Services

&

Supplies

-

0.6%

Cintas

Corp.

848

225,873

Copart

,

Inc.

*

2,139

178,115

Republic

Services,

Inc.

6,393

524,546

Waste

Management,

Inc.

4,021

425,864

1,354,398

Communications

Equipment

-

0.7%

Arista

Networks,

Inc.

*

1,206

253,296

Cisco

Systems,

Inc.

18,696

871,982

F5

Networks,

Inc.

*

1,094

152,591

Motorola

Solutions,

Inc.

762

106,779

Ubiquiti,

Inc.

2,046

357,150

1,741,798

64

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Construction

&

Engineering

-

0.2%

AECOM

*

2,693

101,203

Jacobs

Engineering

Group,

Inc.

3,480

295,104

396,307

Construction

Materials

-

0.1%

Martin

Marietta

Materials,

Inc.

692

142,947

Vulcan

Materials

Co.

1,445

167,403

310,350

Consumer

Finance

-

0.5%

American

Express

Co.

1,516

144,323

Capital

One

Financial

Corp.

3,365

210,616

Credit

Acceptance

Corp.

*

610

255,596

OneMain

Holdings,

Inc.

11,245

275,952

Santander

Consumer

USA

Holdings,

Inc.

(a)

18,692

344,120

1,230,607

Containers

&

Packaging

-

0.1%

Ball

Corp.

3,413

237,169

Crown

Holdings,

Inc.

*

1,708

111,242

348,411

Distributors

-

0.1%

Pool

Corp.

759

206,349

Diversified

Consumer

Services

-

0.1%

Bright

Horizons

Family

Solutions,

Inc.

*

1,180

138,296

Diversified

Financial

Services

-

0.1%

Berkshire

Hathaway,

Inc.,

Class

B

*

612

109,248

Jefferies

Financial

Group,

Inc.

5,954

92,585

201,833

Diversified

Telecommunication

Services

-

0.8%

AT&T,

Inc.

61,914

1,871,660

GCI

Liberty,

Inc.,

Class

A

*

1,007

71,618

1,943,278

Electric

Utilities

-

2.5%

Alliant

Energy

Corp.

12,926

618,380

American

Electric

Power

Co.,

Inc.

4,227

336,638

Entergy

Corp.

5,163

484,341

Eversource

Energy

9,302

774,578

FirstEnergy

Corp.

12,490

484,362

Hawaiian

Electric

Industries,

Inc.

4,645

167,499

NextEra

Energy,

Inc.

8,783

2,109,413

Southern

Co.

(The)

9,499

492,523

Xcel

Energy,

Inc.

9,910

619,375

6,087,109

Electrical

Equipment

-

0.1%

Eaton

Corp.

plc

2,334

204,178

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

0.4%

Cognex

Corp.

2,862

170,918

Corning,

Inc.

11,812

305,931

Dolby

Laboratories,

Inc.,

Class

A

1,816

119,620

Keysight

Technologies,

Inc.

*

1,638

165,078

SYNNEX

Corp.

1,195

143,125

Zebra

Technologies

Corp.,

Class

A

*

696

178,141

1,082,813

Entertainment

-

1.2%

Activision

Blizzard,

Inc.

10,763

816,912

Electronic

Arts,

Inc.

*

6,096

804,977

Netflix,

Inc.

*

1,751

796,775

Roku,

Inc.

*

3,959

461,342

Take-Two

Interactive

Software,

Inc.

*

733

102,305

2,982,311

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.7%

American

Tower

Corp.

8,242

2,130,887

AvalonBay

Communities,

Inc.

1,848

285,775

Camden

Property

Trust

763

69,601

Crown

Castle

International

Corp.

4,065

680,278

CyrusOne

,

Inc.

1,564

113,781

Digital

Realty

Trust,

Inc.

4,081

579,951

Duke

Realty

Corp.

3,458

122,379

Equinix

,

Inc.

459

322,356

Equity

LifeStyle

Properties,

Inc.

18,448

1,152,631

Equity

Residential

1,251

73,584

Essex

Property

Trust,

Inc.

1,667

382,026

Extra

Space

Storage,

Inc.

4,813

444,577

Healthpeak

Properties,

Inc.

4,928

135,816

Life

Storage,

Inc.

1,153

109,477

Medical

Properties

Trust,

Inc.

9,440

177,472

Mid-America

Apartment

Communities,

Inc.

4,260

488,494

Omega

Healthcare

Investors,

Inc.

3,525

104,798

Outfront

Media,

Inc.

5,368

76,064

Realty

Income

Corp.

1,500

89,250

SBA

Communications

Corp.

296

88,184

Spirit

Realty

Capital,

Inc.

3,187

111,099

Sun

Communities,

Inc.

7,293

989,514

UDR,

Inc.

2,100

78,498

WP

Carey,

Inc.

1,569

106,143

8,912,635

Food

&

Staples

Retailing

-

2.2%

Casey's

General

Stores,

Inc.

2,884

431,216

Costco

Wholesale

Corp.

5,782

1,753,160

Kroger

Co.

(The)

2,400

81,240

Sysco

Corp.

2,572

140,585

Walmart,

Inc.

24,705

2,959,165

5,365,366

65

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Food

Products

-

0.9%

Campbell

Soup

Co.

4,343

215,543

Conagra

Brands,

Inc.

8,173

287,444

General

Mills,

Inc.

2,972

183,224

Hershey

Co.

(The)

4,860

629,953

Mondelez

International,

Inc.,

Class

A

8,827

451,324

Post

Holdings,

Inc.

*

1,066

93,403

Tyson

Foods,

Inc.,

Class

A

5,543

330,973

2,191,864

Gas

Utilities

-

0.0%

(b)

Atmos

Energy

Corp.

1,177

117,206

Health

Care

Equipment

&

Supplies

-

4.0%

Abbott

Laboratories

10,679

976,381

Align

Technology,

Inc.

*

2,008

551,075

Baxter

International,

Inc.

4,579

394,252

Becton

Dickinson

and

Co.

1,281

306,505

Boston

Scientific

Corp.

*

17,375

610,036

Danaher

Corp.

5,248

928,004

Dentsply

Sirona,

Inc.

1,490

65,649

DexCom

,

Inc.

*

2,521

1,022,013

Edwards

Lifesciences

Corp.

*

9,810

677,969

IDEXX

Laboratories,

Inc.

*

2,339

772,244

Insulet

Corp.

*

2,487

483,125

Intuitive

Surgical,

Inc.

*

1,449

825,684

Masimo

Corp.

*

1,142

260,365

Medtronic

plc

7,205

660,698

ResMed

,

Inc.

1,105

212,160

STERIS

plc

836

128,276

Stryker

Corp.

2,501

450,655

Teleflex,

Inc.

1,073

390,551

9,715,642

Health

Care

Providers

&

Services

-

2.8%

AmerisourceBergen

Corp.

1,061

106,917

Anthem,

Inc.

3,564

937,261

Centene

Corp.

*

4,641

294,936

Chemed

Corp.

1,112

501,590

Cigna

Corp.

1,736

325,760

CVS

Health

Corp.

5,550

360,584

DaVita,

Inc.

*

1,017

80,485

HCA

Healthcare,

Inc.

2,023

196,352

Humana,

Inc.

1,257

487,402

UnitedHealth

Group,

Inc.

11,735

3,461,238

6,752,525

Health

Care

Technology

-

0.3%

Veeva

Systems,

Inc.,

Class

A

*

3,215

753,660

Hotels,

Restaurants

&

Leisure

-

0.8%

Chipotle

Mexican

Grill,

Inc.

*

653

687,191

Domino's

Pizza,

Inc.

406

149,993

McDonald's

Corp.

1,705

314,522

Starbucks

Corp.

9,912

729,424

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.8%

(continued)

Wendy's

Co.

(The)

3,394

73,921

1,955,051

Household

Durables

-

0.6%

DR

Horton,

Inc.

5,586

309,744

Garmin

Ltd.

3,240

315,900

Lennar

Corp.,

Class

A

1,525

93,970

NVR,

Inc.

*

115

374,756

PulteGroup,

Inc.

5,569

189,513

Tempur

Sealy

International,

Inc.

*

3,508

252,401

1,536,284

Household

Products

-

1.7%

Church

&

Dwight

Co.,

Inc.

1,169

90,364

Procter

&

Gamble

Co.

(The)

33,244

3,974,985

4,065,349

Industrial

Conglomerates

-

0.6%

3M

Co.

3,200

499,168

Carlisle

Cos.,

Inc.

1,426

170,649

Honeywell

International,

Inc.

5,345

772,834

Roper

Technologies,

Inc.

290

112,595

1,555,246

Insurance

-

1.4%

Alleghany

Corp.

148

72,393

American

Financial

Group,

Inc.

1,717

108,961

Aon

plc,

Class

A

3,090

595,134

Arch

Capital

Group

Ltd.

*

8,904

255,100

Brown

&

Brown,

Inc.

3,148

128,312

Chubb

Ltd.

4,120

521,674

Cincinnati

Financial

Corp.

1,160

74,275

Everest

Re

Group

Ltd.

999

205,994

First

American

Financial

Corp.

1,474

70,781

Hartford

Financial

Services

Group,

Inc.

(The)

3,282

126,521

Markel

Corp.

*

231

213,252

Progressive

Corp.

(The)

7,933

635,513

RenaissanceRe

Holdings

Ltd.

513

87,738

Travelers

Cos.,

Inc.

(The)

2,836

323,446

3,419,094

Interactive

Media

&

Services

-

3.6%

Alphabet,

Inc.,

Class

A

*

3,283

4,655,458

Facebook,

Inc.,

Class

A

*

11,924

2,707,583

IAC/

interactivecorp

*

1,557

503,534

Match

Group,

Inc.

*

7,349

786,711

Zillow

Group,

Inc.,

Class

C

*

3,704

213,387

8,866,673

Internet

&

Direct

Marketing

Retail

-

3.2%

Amazon.com,

Inc.

*

2,671

7,368,808

Booking

Holdings,

Inc.

*

128

203,819

66

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

3.2%

(continued)

eBay,

Inc.

5,946

311,868

7,884,495

IT

Services

-

7.9%

Accenture

plc,

Class

A

7,038

1,511,199

Akamai

Technologies,

Inc.

*

1,027

109,981

Automatic

Data

Processing,

Inc.

3,961

589,753

Booz

Allen

Hamilton

Holding

Corp.

4,479

348,421

CACI

International,

Inc.,

Class

A

*

494

107,139

Cognizant

Technology

Solutions

Corp.,

Class

A

4,878

277,168

EPAM

Systems,

Inc.

*

1,173

295,608

Fidelity

National

Information

Services,

Inc.

3,848

515,978

Fiserv,

Inc.

*

7,112

694,274

FleetCor

Technologies,

Inc.

*

1,395

350,884

Genpact

Ltd.

2,911

106,310

Global

Payments,

Inc.

3,991

676,953

GoDaddy

,

Inc.,

Class

A

*

1,956

143,434

Jack

Henry

&

Associates,

Inc.

1,350

248,441

Leidos

Holdings,

Inc.

822

76,997

Mastercard

,

Inc.,

Class

A

12,975

3,836,708

MongoDB,

Inc.

*

963

217,965

Okta

,

Inc.

*

5,414

1,084,045

PayPal

Holdings,

Inc.

*

10,020

1,745,785

Square,

Inc.,

Class

A

*

4,317

453,026

Switch,

Inc.,

Class

A

3,550

63,261

Twilio

,

Inc.,

Class

A

*

1,838

403,294

VeriSign,

Inc.

*

939

194,213

Visa,

Inc.,

Class

A

25,958

5,014,307

Western

Union

Co.

(The)

5,645

122,045

19,187,189

Leisure

Products

-

0.1%

Brunswick

Corp.

1,969

126,036

Life

Sciences

Tools

&

Services

-

1.2%

Bruker

Corp.

2,646

107,639

Illumina,

Inc.

*

1,395

516,638

IQVIA

Holdings,

Inc.

*

2,083

295,536

Thermo

Fisher

Scientific,

Inc.

5,346

1,937,070

2,856,883

Machinery

-

1.4%

Caterpillar,

Inc.

4,750

600,875

Colfax

Corp.

*

3,550

99,045

Deere

&

Co.

2,753

432,634

Dover

Corp.

2,076

200,459

Fortive

Corp.

2,886

195,267

Illinois

Tool

Works,

Inc.

3,505

612,849

Ingersoll

Rand,

Inc.

*

8,065

226,788

ITT,

Inc.

1,677

98,507

Nordson

Corp.

909

172,446

Parker-Hannifin

Corp.

1,500

274,905

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

1.4%

(continued)

Xylem,

Inc.

6,645

431,659

3,345,434

Media

-

1.6%

Altice

USA,

Inc.,

Class

A

*

4,637

104,518

Cable

One,

Inc.

655

1,162,527

Charter

Communications,

Inc.,

Class

A

*

3,818

1,947,333

Comcast

Corp.,

Class

A

16,044

625,395

Liberty

Broadband

Corp.,

Class

C

*

872

108,093

3,947,866

Metals

&

Mining

-

0.3%

Newmont

Corp.

7,682

474,287

Reliance

Steel

&

Aluminum

Co.

1,182

112,207

Royal

Gold,

Inc.

1,081

134,390

720,884

Multiline

Retail

-

0.8%

Dollar

General

Corp.

3,921

746,990

Dollar

Tree,

Inc.

*

1,759

163,024

Target

Corp.

8,014

961,119

1,871,133

Multi-Utilities

-

0.9%

Ameren

Corp.

4,264

300,015

CMS

Energy

Corp.

9,992

583,733

Consolidated

Edison,

Inc.

1,980

142,421

DTE

Energy

Co.

2,869

308,417

Sempra

Energy

1,182

138,566

WEC

Energy

Group,

Inc.

8,243

722,499

2,195,651

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(b)

Valero

Energy

Corp.

1,350

79,407

Personal

Products

-

0.4%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

5,466

1,031,325

Pharmaceuticals

-

2.5%

Bristol-Myers

Squibb

Co.

22,646

1,331,585

Catalent

,

Inc.

*

1,121

82,169

Eli

Lilly

and

Co.

7,307

1,199,663

Horizon

Therapeutics

plc

*

10,745

597,207

Johnson

&

Johnson

9,701

1,364,252

Merck

&

Co.,

Inc.

2,736

211,575

Zoetis,

Inc.

9,446

1,294,480

6,080,931

Professional

Services

-

0.5%

CoStar

Group,

Inc.

*

838

595,541

Equifax,

Inc.

651

111,894

TransUnion

3,347

291,323

Verisk

Analytics,

Inc.

906

154,201

1,152,959

67

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Road

&

Rail

-

0.8%

CSX

Corp.

10,461

729,550

Norfolk

Southern

Corp.

2,500

438,925

Old

Dominion

Freight

Line,

Inc.

2,934

497,577

Union

Pacific

Corp.

2,312

390,890

2,056,942

Semiconductors

&

Semiconductor

Equipment

-

5.8%

Advanced

Micro

Devices,

Inc.

*

19,403

1,020,792

Analog

Devices,

Inc.

949

116,385

Applied

Materials,

Inc.

15,014

907,596

Broadcom,

Inc.

2,199

694,026

Entegris

,

Inc.

9,379

553,830

Intel

Corp.

22,750

1,361,133

KLA

Corp.

3,897

757,889

Lam

Research

Corp.

3,239

1,047,687

Marvell

Technology

Group

Ltd.

4,900

171,794

Microchip

Technology,

Inc.

1,024

107,837

Micron

Technology,

Inc.

*

14,403

742,043

NVIDIA

Corp.

7,373

2,801,076

Qorvo

,

Inc.

*

1,206

133,299

QUALCOMM,

Inc.

9,738

888,203

Skyworks

Solutions,

Inc.

3,805

486,507

Teradyne,

Inc.

4,922

415,958

Texas

Instruments,

Inc.

12,751

1,618,995

Universal

Display

Corp.

675

100,994

Xilinx,

Inc.

2,784

273,918

14,199,962

Software

-

14.4%

Adobe,

Inc.

*

10,044

4,372,254

Alteryx,

Inc.,

Class

A

*

3,266

536,538

ANSYS,

Inc.

*

2,671

779,211

Atlassian

Corp.

plc,

Class

A

*

5,509

993,107

Autodesk,

Inc.

*

2,283

546,071

Avalara,

Inc.

*

3,182

423,492

Coupa

Software,

Inc.

*

3,192

884,312

DocuSign,

Inc.

*

2,279

392,467

Fair

Isaac

Corp.

*

332

138,789

Fortinet,

Inc.

*

1,306

179,275

Guidewire

Software,

Inc.

*

2,220

246,087

Intuit,

Inc.

3,380

1,001,122

Microsoft

Corp.

87,008

17,706,998

NortonLifeLock

,

Inc.

5,285

104,801

Palo

Alto

Networks,

Inc.

*

1,095

251,489

Paycom

Software,

Inc.

*

2,422

750,166

Paylocity

Holding

Corp.

*

1,109

161,792

RingCentral,

Inc.,

Class

A

*

3,782

1,077,908

salesforce.com,

Inc.

*

6,108

1,144,212

ServiceNow

,

Inc.

*

4,455

1,804,542

Smartsheet

,

Inc.,

Class

A

*

1,825

92,929

Splunk

,

Inc.

*

1,580

313,946

SS&C

Technologies

Holdings,

Inc.

2,522

142,443

Trade

Desk,

Inc.

(The),

Class

A

*

532

216,258

VMware,

Inc.,

Class

A

*(a)

2,320

359,275

INVESTMENTS

SHARES

VALUE

($)

Software

-

14.4%

(continued)

Zendesk

,

Inc.

*

3,319

293,831

Zscaler

,

Inc.

*

2,599

284,590

35,197,905

Specialty

Retail

-

2.5%

AutoNation,

Inc.

*

2,006

75,385

AutoZone,

Inc.

*

172

194,037

Best

Buy

Co.,

Inc.

2,009

175,325

Burlington

Stores,

Inc.

*

2,806

552,586

CarMax,

Inc.

*

1,221

109,341

Carvana

Co.

*

3,618

434,884

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

3,977

229,274

Home

Depot,

Inc.

(The)

7,266

1,820,206

Lowe's

Cos.,

Inc.

5,244

708,569

O'Reilly

Automotive,

Inc.

*

1,264

532,991

Ross

Stores,

Inc.

6,852

584,064

TJX

Cos.,

Inc.

(The)

6,890

348,358

Ulta

Beauty,

Inc.

*

1,053

214,201

5,979,221

Technology

Hardware,

Storage

&

Peripherals

-

7.2%

Apple,

Inc.

48,061

17,532,653

NetApp,

Inc.

1,738

77,115

17,609,768

Textiles,

Apparel

&

Luxury

Goods

-

0.5%

Lululemon

Athletica,

Inc.

*

1,508

470,511

NIKE,

Inc.,

Class

B

8,122

796,362

1,266,873

Tobacco

-

0.0%

(b)

Philip

Morris

International,

Inc.

990

69,359

Trading

Companies

&

Distributors

-

0.0%

(b)

Air

Lease

Corp.

3,456

101,226

Water

Utilities

-

0.4%

American

Water

Works

Co.,

Inc.

6,713

863,695

Wireless

Telecommunication

Services

-

0.4%

T-Mobile

US,

Inc.

*

8,471

882,255

TOTAL

COMMON

STOCKS

(Cost

$137,692,927)

233,391,855

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(b)

Wireless

Telecommunication

Services

-

0.0%

(b)

T-Mobile

US,

Inc.,

expiring

7/27/2020

*

(Cost

$8,875)

1,849

310

SHARES

SHORT-TERM

INVESTMENTS

-

4.0%

INVESTMENT

COMPANIES

-

4.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$9,671,100)

9,671,642

9,673,576

68

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(d)

162,688

162,688

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)

483,930

484,028

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$646,619)

646,716

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.9%

(Cost

$148,019,521)

243,712,457

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.1%

(e)

140,466

NET

ASSETS

-

100.0%

243,852,923

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

18,622,692

7.6

%

Consumer

Discretionary

24,184,608

9.9

Consumer

Staples

17,237,796

7.1

Energy

79,407

0.0

(b)

Financials

11,863,877

4.9

Health

Care

33,432,620

13.7

Industrials

16,822,820

6.9

Information

Technology

89,019,434

36.5

Materials

3,952,616

1.6

Real

Estate

8,912,635

3.7

Utilities

9,263,660

3.8

Short-Term

Investments

9,673,576

4.0

Securities

Lending

Collateral

646,716

0.2

Total

Investments

In

Securities

At

Value

243,712,457

99.9

Other

Assets

in

Excess

of

Liabilities

(e)

140,466

0.1

Net

Assets

$

243,852,923

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$632,362.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

56

9/2020

USD

$

8,652,560

$

186,012

$

186,012

69

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.8%

Aerospace

&

Defense

-

1.6%

AAR

Corp.

932

19,264

Aerojet

Rocketdyne

Holdings,

Inc.

*

3,496

138,582

AeroVironment

,

Inc.

*

255

20,306

Axon

Enterprise,

Inc.

*

1,679

164,760

Ducommun,

Inc.

*

714

24,897

Kratos

Defense

&

Security

Solutions,

Inc.

*

2,173

33,964

Maxar

Technologies,

Inc.

3,803

68,302

Mercury

Systems,

Inc.

*

2,103

165,422

Moog,

Inc.,

Class

A

301

15,947

Vectrus

,

Inc.

*

1,101

54,092

705,536

Air

Freight

&

Logistics

-

0.1%

Air

Transport

Services

Group,

Inc.

*

995

22,158

Forward

Air

Corp.

274

13,651

Hub

Group,

Inc.,

Class

A

*

266

12,731

48,540

Airlines

-

0.1%

Allegiant

Travel

Co.

286

31,234

Auto

Components

-

0.5%

Adient

plc

*

696

11,428

Cooper

Tire

&

Rubber

Co.

1,594

44,010

Gentherm

,

Inc.

*

1,871

72,782

LCI

Industries

562

64,619

Standard

Motor

Products,

Inc.

1,077

44,373

237,212

Automobiles

-

0.2%

Winnebago

Industries,

Inc.

1,387

92,402

Banks

-

2.6%

Allegiance

Bancshares,

Inc.

1,709

43,391

Amerant

Bancorp,

Inc.

*

1,143

17,191

Banner

Corp.

366

13,908

Carter

Bank

&

Trust

2,383

19,231

Central

Pacific

Financial

Corp.

835

13,385

City

Holding

Co.

492

32,064

Community

Bank

System,

Inc.

700

39,914

CVB

Financial

Corp.

700

13,118

Enterprise

Financial

Services

Corp.

616

19,170

First

Bancorp/PR

5,496

30,723

First

Financial

Bankshares

,

Inc.

2,155

62,258

First

Interstate

BancSystem

,

Inc.,

Class

A

1,291

39,969

Glacier

Bancorp,

Inc.

700

24,703

Great

Southern

Bancorp,

Inc.

460

18,566

Great

Western

Bancorp,

Inc.

996

13,705

Independent

Bank

Corp.

530

35,558

Independent

Bank

Corp./MI

4,596

68,250

Lakeland

Financial

Corp.

1,783

83,070

National

Bank

Holdings

Corp.,

Class

A

947

25,569

INVESTMENTS

SHARES

VALUE

($)

Banks

-

2.6%

(continued)

OFG

Bancorp

3,458

46,233

Old

Second

Bancorp,

Inc.

3,326

25,876

Peoples

Bancorp,

Inc.

732

15,577

Preferred

Bank

592

25,367

QCR

Holdings,

Inc.

517

16,120

Republic

Bancorp,

Inc.,

Class

A

560

18,318

S&T

Bancorp,

Inc.

617

14,469

Seacoast

Banking

Corp.

of

Florida

*

1,369

27,928

ServisFirst

Bancshares,

Inc.

4,062

145,257

Southside

Bancshares,

Inc.

813

22,536

TriCo

Bancshares

718

21,863

TriState

Capital

Holdings,

Inc.

*

1,369

21,507

Triumph

Bancorp,

Inc.

*

1,588

38,541

Trustmark

Corp.

538

13,192

United

Bankshares

,

Inc.

812

22,460

United

Community

Banks,

Inc.

800

16,096

Veritex

Holdings,

Inc.

1,029

18,213

Westamerica

Bancorp

610

35,026

1,158,322

Beverages

-

0.8%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

581

311,794

Celsius

Holdings,

Inc.

*

2,089

24,587

Coca-Cola

Consolidated,

Inc.

141

32,316

368,697

Biotechnology

-

12.0%

ACADIA

Pharmaceuticals,

Inc.

*

6,466

313,407

Acceleron

Pharma,

Inc.

*

1,629

155,195

Adverum

Biotechnologies,

Inc.

*

5,990

125,071

Agenus,

Inc.

*

6,496

25,529

Akebia

Therapeutics,

Inc.

*

2,543

34,534

Allakos

,

Inc.

*

2,084

149,756

Anavex

Life

Sciences

Corp.

*(a)

3,827

18,829

Anika

Therapeutics,

Inc.

*

485

18,299

Apellis

Pharmaceuticals,

Inc.

*

3,685

120,352

Arcus

Biosciences,

Inc.

*

2,839

70,237

Ardelyx

,

Inc.

*

6,150

42,558

Arena

Pharmaceuticals,

Inc.

*

711

44,757

Arrowhead

Pharmaceuticals,

Inc.

*

4,287

185,155

Athersys

,

Inc.

*(a)

6,127

16,910

Avid

Bioservices

,

Inc.

*

1,371

9,001

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

251

18,351

BioSpecifics

Technologies

Corp.

*

538

32,969

Bioxcel

Therapeutics,

Inc.

*

1,953

103,528

Catalyst

Pharmaceuticals,

Inc.

*

7,593

35,080

CEL-SCI

Corp.

*(a)

4,173

62,261

ChemoCentryx

,

Inc.

*

3,344

192,414

Coherus

Biosciences,

Inc.

*

3,853

68,815

Constellation

Pharmaceuticals,

Inc.

*

2,313

69,506

CTI

BioPharma

Corp.

*

704

817

Cue

Biopharma,

Inc.

*

2,182

53,481

70

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

12.0%

(continued)

Cytokinetics,

Inc.

*(a)

2,533

59,703

Deciphera

Pharmaceuticals,

Inc.

*

2,565

153,182

Denali

Therapeutics,

Inc.

*

866

20,940

Dicerna

Pharmaceuticals,

Inc.

*

4,223

107,264

Eidos

Therapeutics,

Inc.

*

2,126

101,346

Emergent

BioSolutions

,

Inc.

*

915

72,358

Enanta

Pharmaceuticals,

Inc.

*

279

14,009

Epizyme

,

Inc.

*

5,051

81,119

Esperion

Therapeutics,

Inc.

*(a)

624

32,017

Fate

Therapeutics,

Inc.

*

3,831

131,442

Global

Blood

Therapeutics,

Inc.

*

2,612

164,895

Halozyme

Therapeutics,

Inc.

*

3,040

81,502

ImmunoGen

,

Inc.

*

8,415

38,709

Immunomedics

,

Inc.

*

4,722

167,348

Inovio

Pharmaceuticals,

Inc.

*(a)

7,923

213,525

Iovance

Biotherapeutics

,

Inc.

*

6,009

164,947

Kadmon

Holdings,

Inc.

*

7,776

39,813

Karyopharm

Therapeutics,

Inc.

*

4,620

87,503

Kiniksa

Pharmaceuticals

Ltd.,

Class

A

*

1,444

36,793

Krystal

Biotech,

Inc.

*

1,386

57,408

Kura

Oncology,

Inc.

*

1,831

29,845

MeiraGTx

Holdings

plc

*

1,258

15,750

Mersana

Therapeutics,

Inc.

*

3,396

79,466

Mirati

Therapeutics,

Inc.

*

1,737

198,313

Momenta

Pharmaceuticals,

Inc.

*

5,285

175,832

Natera

,

Inc.

*

4,336

216,193

Novavax

,

Inc.

*(a)

2,151

179,286

PDL

BioPharma

,

Inc.

*

10,892

31,696

Pfenex

,

Inc.

*

4,213

35,178

Protagonist

Therapeutics,

Inc.

*

1,331

23,505

PTC

Therapeutics,

Inc.

*

2,436

123,603

Radius

Health,

Inc.

*

1,393

18,987

Retrophin

,

Inc.

*

1,256

25,635

Scholar

Rock

Holding

Corp.

*

728

13,257

Sorrento

Therapeutics,

Inc.

*(a)

2,376

14,921

Syndax

Pharmaceuticals,

Inc.

*

3,146

46,624

Syros

Pharmaceuticals,

Inc.

*

1,230

13,112

TG

Therapeutics,

Inc.

*

6,296

122,646

Translate

Bio,

Inc.

*

1,741

31,199

Veracyte

,

Inc.

*

1,940

50,246

Voyager

Therapeutics,

Inc.

*

1,203

15,182

XBiotech

,

Inc.

*(a)

3,855

52,852

Xencor

,

Inc.

*

548

17,750

ZIOPHARM

Oncology,

Inc.

*(a)

7,436

24,390

5,348,103

Building

Products

-

2.6%

AAON,

Inc.

2,440

132,468

Advanced

Drainage

Systems,

Inc.

2,580

127,452

American

Woodmark

Corp.

*

528

39,943

Builders

FirstSource

,

Inc.

*

7,061

146,163

CSW

Industrials,

Inc.

564

38,978

Gibraltar

Industries,

Inc.

*

1,568

75,280

Griffon

Corp.

1,905

35,281

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

2.6%

(continued)

JELD-WEN

Holding,

Inc.

*

1,178

18,977

Masonite

International

Corp.

*

309

24,034

PGT

Innovations,

Inc.

*

1,534

24,053

Simpson

Manufacturing

Co.,

Inc.

1,148

96,845

Trex

Co.,

Inc.

*

2,038

265,083

UFP

Industries,

Inc.

2,865

141,846

1,166,403

Capital

Markets

-

1.8%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

1,294

42,055

Cohen

&

Steers,

Inc.

1,764

120,040

Federated

Hermes,

Inc.,

Class

B

2,795

66,242

Hamilton

Lane,

Inc.,

Class

A

3,054

205,748

Houlihan

Lokey

,

Inc.

2,591

144,163

Oppenheimer

Holdings,

Inc.,

Class

A

1,046

22,792

Piper

Sandler

Cos.

500

29,580

PJT

Partners,

Inc.,

Class

A

1,345

69,052

Stifel

Financial

Corp.

1,278

60,616

Virtus

Investment

Partners,

Inc.

230

26,747

787,035

Chemicals

-

0.7%

Amyris

,

Inc.

*(a)

4,849

20,705

Balchem

Corp.

436

41,359

Chase

Corp.

298

30,545

Hawkins,

Inc.

436

18,565

Innospec

,

Inc.

790

61,027

Koppers

Holdings,

Inc.

*

1,068

20,121

Minerals

Technologies,

Inc.

500

23,465

Sensient

Technologies

Corp.

523

27,280

Stepan

Co.

710

68,941

312,008

Commercial

Services

&

Supplies

-

2.1%

ABM

Industries,

Inc.

1,774

64,396

Brady

Corp.,

Class

A

2,355

110,261

Brink's

Co.

(The)

291

13,243

Casella

Waste

Systems,

Inc.,

Class

A

*

2,339

121,909

Cimpress

plc

(Ireland)

*

372

28,398

Covanta

Holding

Corp.

1,356

13,004

Ennis,

Inc.

1,346

24,416

Heritage-Crystal

Clean,

Inc.

*

1,063

18,560

Herman

Miller,

Inc.

1,095

25,853

HNI

Corp.

664

20,299

Kimball

International,

Inc.,

Class

B

1,371

15,849

Knoll,

Inc.

1,549

18,882

McGrath

RentCorp

1,811

97,812

MSA

Safety,

Inc.

1,049

120,048

SP

Plus

Corp.

*

660

13,669

Steelcase,

Inc.,

Class

A

4,240

51,134

Tetra

Tech,

Inc.

2,189

173,194

71

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Commercial

Services

&

Supplies

-

2.1%

(continued)

UniFirst

Corp.

167

29,885

960,812

Communications

Equipment

-

1.4%

ADTRAN,

Inc.

2,026

22,144

Calix,

Inc.

*

1,218

18,148

Comtech

Telecommunications

Corp.

1,871

31,601

Harmonic,

Inc.

*

7,195

34,176

Infinera

Corp.

*

6,078

35,982

Inseego

Corp.

*(a)

6,741

78,196

InterDigital

,

Inc.

582

32,959

Lumentum

Holdings,

Inc.

*

2,621

213,428

Viavi

Solutions,

Inc.

*

11,171

142,318

608,952

Construction

&

Engineering

-

0.8%

Ameresco

,

Inc.,

Class

A

*

2,545

70,700

Argan

,

Inc.

593

28,096

Comfort

Systems

USA,

Inc.

445

18,134

Construction

Partners,

Inc.,

Class

A

*

991

17,600

EMCOR

Group,

Inc.

943

62,370

Great

Lakes

Dredge

&

Dock

Corp.

*

7,351

68,070

MasTec

,

Inc.

*

1,019

45,723

Sterling

Construction

Co.,

Inc.

*

2,836

29,693

WillScot

Corp.

*

1,871

22,995

363,381

Construction

Materials

-

0.3%

Forterra

,

Inc.

*

4,733

52,820

Summit

Materials,

Inc.,

Class

A

*

5,677

91,286

144,106

Consumer

Finance

-

0.2%

Encore

Capital

Group,

Inc.

*

864

29,532

Enova

International,

Inc.

*

1,107

16,461

EZCORP,

Inc.,

Class

A

*

3,335

21,010

FirstCash

,

Inc.

215

14,508

Nelnet,

Inc.,

Class

A

400

19,096

100,607

Containers

&

Packaging

-

0.1%

UFP

Technologies,

Inc.

*

667

29,388

Diversified

Consumer

Services

-

1.1%

Chegg

,

Inc.

*

2,749

184,898

Collectors

Universe,

Inc.

815

27,938

Laureate

Education,

Inc.,

Class

A

*

5,021

50,034

Perdoceo

Education

Corp.

*

3,243

51,661

Strategic

Education,

Inc.

800

122,920

WW

International,

Inc.

*

2,061

52,308

489,759

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.

*

2,596

106,696

INVESTMENTS

SHARES

VALUE

($)

Diversified

Telecommunication

Services

-

0.8%

Anterix

,

Inc.

*

581

26,343

Bandwidth,

Inc.,

Class

A

*

266

33,782

Cogent

Communications

Holdings,

Inc.

1,983

153,405

Iridium

Communications,

Inc.

*

4,969

126,411

Vonage

Holdings

Corp.

*

2,700

27,162

367,103

Electric

Utilities

-

0.8%

Genie

Energy

Ltd.,

Class

B

3,602

26,511

MGE

Energy,

Inc.

1,465

94,507

Otter

Tail

Corp.

1,027

39,837

PNM

Resources,

Inc.

2,312

88,873

Portland

General

Electric

Co.

2,144

89,641

339,369

Electrical

Equipment

-

1.9%

Atkore

International

Group,

Inc.

*

2,357

64,464

AZZ,

Inc.

516

17,709

Encore

Wire

Corp.

563

27,485

Generac

Holdings,

Inc.

*

2,841

346,403

Plug

Power,

Inc.

*(a)

19,051

156,409

Sunrun

,

Inc.

*

3,004

59,239

Thermon

Group

Holdings,

Inc.

*

1,079

15,721

Vicor

Corp.

*

1,206

86,772

Vivint

Solar,

Inc.

*(a)

5,787

57,291

831,493

Electronic

Equipment,

Instruments

&

Components

-

1.6%

Badger

Meter,

Inc.

1,423

89,535

ePlus

,

Inc.

*

518

36,612

Fabrinet

(Thailand)

*

791

49,374

Insight

Enterprises,

Inc.

*

1,312

64,550

Itron

,

Inc.

*

548

36,305

Knowles

Corp.

*

3,513

53,608

Methode

Electronics,

Inc.

887

27,728

Napco

Security

Technologies,

Inc.

*

955

22,338

Novanta

,

Inc.

*

638

68,119

OSI

Systems,

Inc.

*

900

67,176

PAR

Technology

Corp.

*

487

14,576

PC

Connection,

Inc.

468

21,697

Plexus

Corp.

*

600

42,336

Rogers

Corp.

*

159

19,812

Sanmina

Corp.

*

1,383

34,630

TTM

Technologies,

Inc.

*

2,264

26,851

Vishay

Intertechnology

,

Inc.

1,024

15,637

Vishay

Precision

Group,

Inc.

*

778

19,123

710,007

Energy

Equipment

&

Services

-

0.1%

Cactus,

Inc.,

Class

A

669

13,801

DMC

Global,

Inc.

478

13,193

26,994

72

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Entertainment

-

0.0%

(b)

Liberty

Media

Corp.-Liberty

Braves,

Class

C

*

1,059

20,905

Equity

Real

Estate

Investment

Trusts

(REITs)

-

6.0%

Agree

Realty

Corp.

2,030

133,391

Alexander

&

Baldwin,

Inc.

1,199

14,616

Alexander's,

Inc.

73

17,586

American

Assets

Trust,

Inc.

3,028

84,300

Bluerock

Residential

Growth

REIT,

Inc.

2,296

18,552

CareTrust

REIT,

Inc.

1,045

17,932

Easterly

Government

Properties,

Inc.

1,349

31,189

EastGroup

Properties,

Inc.

1,556

184,557

Essential

Properties

Realty

Trust,

Inc.

2,297

34,087

First

Industrial

Realty

Trust,

Inc.

3,813

146,572

Four

Corners

Property

Trust,

Inc.

1,074

26,206

Getty

Realty

Corp.

1,662

49,328

Gladstone

Commercial

Corp.

2,751

51,581

Global

Net

Lease,

Inc.

3,220

53,871

Healthcare

Realty

Trust,

Inc.

1,859

54,450

Independence

Realty

Trust,

Inc.

5,020

57,680

Industrial

Logistics

Properties

Trust

1,293

26,571

Innovative

Industrial

Properties,

Inc.

563

49,555

Investors

Real

Estate

Trust

655

46,171

Lexington

Realty

Trust

6,850

72,268

LTC

Properties,

Inc.

1,324

49,875

Monmouth

Real

Estate

Investment

Corp.

2,025

29,342

National

Health

Investors,

Inc.

737

44,751

National

Storage

Affiliates

Trust

4,108

117,735

NexPoint

Residential

Trust,

Inc.

1,444

51,045

One

Liberty

Properties,

Inc.

932

16,422

Physicians

Realty

Trust

3,560

62,371

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

2,404

39,930

PS

Business

Parks,

Inc.

1,179

156,100

QTS

Realty

Trust,

Inc.,

Class

A

1,761

112,863

Rexford

Industrial

Realty,

Inc.

5,763

238,761

Sabra

Health

Care

REIT,

Inc.

3,499

50,491

Safehold

,

Inc.

2,158

124,063

Saul

Centers,

Inc.

490

15,812

STAG

Industrial,

Inc.

3,787

111,035

Terreno

Realty

Corp.

3,861

203,243

UMH

Properties,

Inc.

1,668

21,567

Universal

Health

Realty

Income

Trust

733

58,266

2,674,135

Food

&

Staples

Retailing

-

0.6%

BJ's

Wholesale

Club

Holdings,

Inc.

*

3,018

112,481

Ingles

Markets,

Inc.,

Class

A

733

31,570

Performance

Food

Group

Co.

*

1,364

39,747

PriceSmart

,

Inc.

294

17,737

Rite

Aid

Corp.

*(a)

2,576

43,946

INVESTMENTS

SHARES

VALUE

($)

Food

&

Staples

Retailing

-

0.6%

(continued)

SpartanNash

Co.

651

13,834

Weis

Markets,

Inc.

480

24,058

283,373

Food

Products

-

1.6%

Cal-Maine

Foods,

Inc.

*

309

13,744

Darling

Ingredients,

Inc.

*

3,728

91,783

Fresh

Del

Monte

Produce,

Inc.

1,003

24,694

Freshpet

,

Inc.

*

2,265

189,490

J

&

J

Snack

Foods

Corp.

494

62,802

John

B

Sanfilippo

&

Son,

Inc.

879

75,005

Lancaster

Colony

Corp.

523

81,060

Sanderson

Farms,

Inc.

773

89,583

Simply

Good

Foods

Co.

(The)

*

2,118

39,353

Tootsie

Roll

Industries,

Inc.

1,384

47,430

714,944

Gas

Utilities

-

0.3%

Chesapeake

Utilities

Corp.

446

37,464

Northwest

Natural

Holding

Co.

255

14,226

ONE

Gas,

Inc.

1,373

105,790

157,480

Health

Care

Equipment

&

Supplies

-

5.1%

Alphatec

Holdings,

Inc.

*

6,627

31,147

Antares

Pharma,

Inc.

*

16,954

46,624

Apyx

Medical

Corp.

*

4,000

22,200

AtriCure

,

Inc.

*

1,653

74,302

Cardiovascular

Systems,

Inc.

*

1,509

47,609

CONMED

Corp.

507

36,499

CryoPort

,

Inc.

*(a)

4,081

123,450

GenMark

Diagnostics,

Inc.

*

1,535

22,580

Globus

Medical,

Inc.,

Class

A

*

1,606

76,622

Haemonetics

Corp.

*

1,231

110,248

Heska

Corp.

*

669

62,331

Integer

Holdings

Corp.

*

969

70,785

Invacare

Corp.

3,554

22,639

iRhythm

Technologies,

Inc.

*

855

99,086

LeMaitre

Vascular,

Inc.

1,341

35,402

Mesa

Laboratories,

Inc.

247

53,550

Natus

Medical,

Inc.

*

787

17,172

Neogen

Corp.

*

398

30,885

Nevro

Corp.

*

1,590

189,957

Novocure

Ltd.

*

3,564

211,345

NuVasive

,

Inc.

*

1,071

59,612

OraSure

Technologies,

Inc.

*

1,000

11,630

OrthoPediatrics

Corp.

*

618

27,044

Quidel

Corp.

*

1,981

443,229

STAAR

Surgical

Co.

*

765

47,078

Tactile

Systems

Technology,

Inc.

*

372

15,412

Tandem

Diabetes

Care,

Inc.

*

2,049

202,687

Zynex

,

Inc.

*

3,073

76,426

2,267,551

73

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

2.5%

Addus

HomeCare

Corp.

*

1,402

129,769

Amedisys

,

Inc.

*

1,044

207,276

AMN

Healthcare

Services,

Inc.

*

710

32,120

BioTelemetry

,

Inc.

*

876

39,586

Catasys

,

Inc.

*(a)

1,248

30,876

Community

Health

Systems,

Inc.

*

5,438

16,368

CorVel

Corp.

*

634

44,944

Ensign

Group,

Inc.

(The)

456

19,084

Hanger,

Inc.

*

1,594

26,397

Joint

Corp.

(The)

*

1,379

21,057

LHC

Group,

Inc.

*

1,203

209,707

National

HealthCare

Corp.

476

30,197

National

Research

Corp.

400

23,284

Owens

&

Minor,

Inc.

4,717

35,944

Providence

Service

Corp.

(The)

*

400

31,564

R1

RCM,

Inc.

*

8,977

100,094

RadNet

,

Inc.

*

2,195

34,835

Select

Medical

Holdings

Corp.

*

2,988

44,013

Tenet

Healthcare

Corp.

*

1,368

24,774

Triple-S

Management

Corp.,

Class

B

*

1,082

20,580

US

Physical

Therapy,

Inc.

240

19,445

1,141,914

Health

Care

Technology

-

1.9%

Inovalon

Holdings,

Inc.,

Class

A

*

6,258

120,529

Inspire

Medical

Systems,

Inc.

*

1,262

109,819

Omnicell

,

Inc.

*

1,073

75,775

Tabula

Rasa

HealthCare,

Inc.

*

205

11,220

Teladoc

Health,

Inc.

*

2,669

509,352

Vocera

Communications,

Inc.

*

809

17,151

843,846

Hotels,

Restaurants

&

Leisure

-

1.4%

Churchill

Downs,

Inc.

1,156

153,921

Denny's

Corp.

*

1,282

12,948

Everi

Holdings,

Inc.

*

3,324

17,152

Marriott

Vacations

Worldwide

Corp.

289

23,759

Papa

John's

International,

Inc.

1,284

101,963

Penn

National

Gaming,

Inc.

*

1,771

54,086

SeaWorld

Entertainment,

Inc.

*

1,282

18,986

Shake

Shack,

Inc.,

Class

A

*(a)

337

17,854

Wingstop

,

Inc.

1,547

214,987

615,656

Household

Durables

-

2.8%

Beazer

Homes

USA,

Inc.

*

1,292

13,010

Cavco

Industries,

Inc.

*

132

25,456

GoPro,

Inc.,

Class

A

*

4,659

22,177

Helen

of

Troy

Ltd.

*

1,276

240,603

Installed

Building

Products,

Inc.

*

1,104

75,933

KB

Home

3,612

110,816

La-Z-Boy,

Inc.

1,058

28,629

LGI

Homes,

Inc.

*

450

39,614

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

2.8%

(continued)

M/I

Homes,

Inc.

*

2,076

71,497

MDC

Holdings,

Inc.

2,730

97,461

Meritage

Homes

Corp.

*

2,834

215,724

Purple

Innovation,

Inc.

*

3,220

57,960

Taylor

Morrison

Home

Corp.

*

2,630

50,733

TopBuild

Corp.

*

1,380

157,003

TRI

Pointe

Group,

Inc.

*

2,759

40,530

Universal

Electronics,

Inc.

*

465

21,771

1,268,917

Household

Products

-

0.3%

Central

Garden

&

Pet

Co.,

Class

A

*

1,540

52,036

WD-40

Co.

323

64,051

116,087

Independent

Power

and

Renewable

Electricity

Producers

-

0.8%

Clearway

Energy,

Inc.,

Class

C

5,624

129,690

Ormat

Technologies,

Inc.

774

49,141

TerraForm

Power,

Inc.,

Class

A

9,070

167,251

346,082

Insurance

-

2.3%

AMERISAFE,

Inc.

1,251

76,511

Argo

Group

International

Holdings

Ltd.

747

26,018

eHealth,

Inc.

*

1,114

109,439

Enstar

Group

Ltd.

*

571

87,232

Goosehead

Insurance,

Inc.,

Class

A

*

2,138

160,692

James

River

Group

Holdings

Ltd.

2,244

100,980

Kinsale

Capital

Group,

Inc.

577

89,556

MBIA,

Inc.

*

2,965

21,496

National

General

Holdings

Corp.

2,294

49,573

RLI

Corp.

1,873

153,773

Selective

Insurance

Group,

Inc.

606

31,961

Trupanion

,

Inc.

*(a)

796

33,981

United

Fire

Group,

Inc.

1,284

35,580

United

Insurance

Holdings

Corp.

1,698

13,279

Universal

Insurance

Holdings,

Inc.

1,100

19,525

1,009,596

Interactive

Media

&

Services

-

0.3%

EverQuote

,

Inc.,

Class

A

*

1,849

107,538

QuinStreet

,

Inc.

*

2,174

22,740

130,278

Internet

&

Direct

Marketing

Retail

-

0.5%

1-800-Flowers.com,

Inc.,

Class

A

*

1,586

31,752

PetMed

Express,

Inc.

487

17,357

Rubicon

Project,

Inc.

(The)

*

7,766

51,799

Stamps.com,

Inc.

*

597

109,663

210,571

74

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

2.5%

Cardtronics

plc,

Class

A

*

1,340

32,133

CSG

Systems

International,

Inc.

1,655

68,500

EVERTEC,

Inc.

4,430

124,483

Evo

Payments,

Inc.,

Class

A

*

2,154

49,176

ExlService

Holdings,

Inc.

*

374

23,712

I3

Verticals,

Inc.,

Class

A

*

852

25,773

KBR,

Inc.

5,375

121,206

Limelight

Networks,

Inc.

*

8,249

60,713

LiveRamp

Holdings,

Inc.

*

334

14,185

ManTech

International

Corp.,

Class

A

1,140

78,079

MAXIMUS,

Inc.

807

56,853

NIC,

Inc.

2,428

55,747

Paysign

,

Inc.

*

2,673

25,955

Perficient

,

Inc.

*

2,002

71,632

Perspecta

,

Inc.

4,037

93,779

Science

Applications

International

Corp.

1,082

84,050

TTEC

Holdings,

Inc.

1,579

73,518

Tucows

,

Inc.,

Class

A

*(a)

633

36,284

Virtusa

Corp.

*

933

30,294

1,126,072

Leisure

Products

-

0.2%

Acushnet

Holdings

Corp.

1,562

54,342

Clarus

Corp.

2,074

24,017

Vista

Outdoor,

Inc.

*

1,331

19,233

97,592

Life

Sciences

Tools

&

Services

-

2.1%

Codexis

,

Inc.

*

1,043

11,890

Luminex

Corp.

575

18,705

Medpace

Holdings,

Inc.

*

1,799

167,343

NanoString

Technologies,

Inc.

*(a)

2,478

72,729

NeoGenomics

,

Inc.

*

4,795

148,549

Quanterix

Corp.

*

692

18,954

Repligen

Corp.

*

2,352

290,731

Syneos

Health,

Inc.

*

3,383

197,060

925,961

Machinery

-

2.8%

Alamo

Group,

Inc.

289

29,663

Albany

International

Corp.,

Class

A

689

40,451

Columbus

McKinnon

Corp.

620

20,739

Douglas

Dynamics,

Inc.

715

25,111

ESCO

Technologies,

Inc.

1,106

93,490

Evoqua

Water

Technologies

Corp.

*

6,237

116,008

Federal

Signal

Corp.

2,750

81,758

Franklin

Electric

Co.,

Inc.

777

40,808

John

Bean

Technologies

Corp.

457

39,311

Kadant

,

Inc.

620

61,789

Luxfer

Holdings

plc

(United

Kingdom)

1,438

20,348

Meritor,

Inc.

*

1,948

38,570

Miller

Industries,

Inc.

867

25,811

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

2.8%

(continued)

Mueller

Industries,

Inc.

1,733

46,063

Mueller

Water

Products,

Inc.,

Class

A

2,882

27,177

Proto

Labs,

Inc.

*

165

18,558

RBC

Bearings,

Inc.

*

562

75,331

Rexnord

Corp.

1,801

52,499

Shyft

Group,

Inc.

(The)

4,035

67,949

SPX

Corp.

*

2,755

113,368

SPX

FLOW,

Inc.

*

1,387

51,929

Standex

International

Corp.

358

20,603

Tennant

Co.

272

17,683

TriMas

Corp.

*

882

21,124

Watts

Water

Technologies,

Inc.,

Class

A

1,153

93,393

1,239,534

Marine

-

0.2%

Costamare

,

Inc.

(Monaco)

7,439

41,361

Matson,

Inc.

1,047

30,468

71,829

Media

-

0.5%

Cardlytics,

Inc.

*(a)

1,637

114,557

Gray

Television,

Inc.

*

861

12,011

TechTarget

,

Inc.

*

1,420

42,642

TEGNA,

Inc.

5,019

55,912

225,122

Metals

&

Mining

-

0.9%

Carpenter

Technology

Corp.

845

20,516

Coeur

Mining,

Inc.

*

6,148

31,232

Commercial

Metals

Co.

2,024

41,290

Compass

Minerals

International,

Inc.

899

43,826

Hecla

Mining

Co.

4,528

14,806

Kaiser

Aluminum

Corp.

258

18,994

Materion

Corp.

537

33,020

Novagold

Resources,

Inc.

(Canada)

*

17,660

162,119

Worthington

Industries,

Inc.

749

27,938

393,741

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.1%

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

1,906

54,245

Multi-Utilities

-

0.4%

Black

Hills

Corp.

1,528

86,576

NorthWestern

Corp.

1,382

75,347

Unitil

Corp.

960

43,027

204,950

Oil,

Gas

&

Consumable

Fuels

-

0.8%

CNX

Resources

Corp.

*(a)

1,747

15,112

CVR

Energy,

Inc.

605

12,166

DHT

Holdings,

Inc.

10,352

53,106

75

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

0.8%

(continued)

Dorian

LPG

Ltd.

*

2,410

18,653

International

Seaways,

Inc.

1,759

28,742

Nordic

American

Tankers

Ltd.

13,619

55,293

Par

Pacific

Holdings,

Inc.

*

1,797

16,155

REX

American

Resources

Corp.

*

300

20,811

Scorpio

Tankers,

Inc.

(Monaco)

1,047

13,412

Teekay

Tankers

Ltd.,

Class

A

*(a)

3,463

44,396

World

Fuel

Services

Corp.

2,510

64,658

342,504

Paper

&

Forest

Products

-

0.4%

Boise

Cascade

Co.

1,122

42,198

Clearwater

Paper

Corp.

*

428

15,464

Louisiana-Pacific

Corp.

2,637

67,639

P

H

Glatfelter

Co.

1,708

27,413

Schweitzer-Mauduit

International,

Inc.

950

31,740

Verso

Corp.,

Class

A

1,275

15,249

199,703

Personal

Products

-

0.2%

elf

Beauty,

Inc.

*

1,894

36,119

Inter

Parfums

,

Inc.

462

22,245

Lifevantage

Corp.

*

1,804

24,390

USANA

Health

Sciences,

Inc.

*

207

15,200

97,954

Pharmaceuticals

-

2.6%

Amphastar

Pharmaceuticals,

Inc.

*

1,947

43,730

ANI

Pharmaceuticals,

Inc.

*

633

20,471

Axsome

Therapeutics,

Inc.

*

1,745

143,579

BioDelivery

Sciences

International,

Inc.

*

10,694

46,626

Cara

Therapeutics,

Inc.

*

1,783

30,489

Chiasma,

Inc.

*

5,756

30,967

Collegium

Pharmaceutical,

Inc.

*

1,239

21,682

Corcept

Therapeutics,

Inc.

*

2,446

41,142

Evofem

Biosciences,

Inc.

*

1,262

3,571

Intra-Cellular

Therapies,

Inc.

*

2,493

63,995

Kala

Pharmaceuticals,

Inc.

*

1,241

13,043

Lannett

Co.,

Inc.

*

3,207

23,283

MyoKardia

,

Inc.

*

1,939

187,346

Ocular

Therapeutix

,

Inc.

*

2,099

17,485

Odonate

Therapeutics,

Inc.

*

1,337

56,609

Pacira

BioSciences

,

Inc.

*

1,072

56,248

Prestige

Consumer

Healthcare,

Inc.

*

1,510

56,716

Reata

Pharmaceuticals,

Inc.,

Class

A

*

1,225

191,124

Recro

Pharma,

Inc.

*

3,330

15,152

Revance

Therapeutics,

Inc.

*

1,281

31,282

Tricida

,

Inc.

*

1,261

34,652

Zogenix

,

Inc.

*

449

12,127

Zynerba

Pharmaceuticals,

Inc.

*(a)

3,111

10,484

1,151,803

INVESTMENTS

SHARES

VALUE

($)

Professional

Services

-

1.6%

ASGN,

Inc.

*

637

42,475

Exponent,

Inc.

1,968

159,270

Forrester

Research,

Inc.

*

656

21,019

Franklin

Covey

Co.

*

808

17,291

FTI

Consulting,

Inc.

*

1,729

198,057

Huron

Consulting

Group,

Inc.

*

1,381

61,110

ICF

International,

Inc.

770

49,919

Kelly

Services,

Inc.,

Class

A

1,064

16,827

Kforce

,

Inc.

1,548

45,279

Korn

Ferry

851

26,151

TriNet

Group,

Inc.

*

497

30,287

Willdan

Group,

Inc.

*

1,512

37,815

705,500

Real

Estate

Management

&

Development

-

0.5%

Kennedy-Wilson

Holdings,

Inc.

2,967

45,158

Marcus

&

Millichap,

Inc.

*

662

19,105

Newmark

Group,

Inc.,

Class

A

4,283

20,816

Redfin

Corp.

*

3,108

130,256

215,335

Road

&

Rail

-

0.7%

ArcBest

Corp.

1,360

36,053

Heartland

Express,

Inc.

1,079

22,465

Marten

Transport

Ltd.

1,333

33,538

Saia,

Inc.

*

905

100,618

Universal

Logistics

Holdings,

Inc.

2,681

46,596

Werner

Enterprises,

Inc.

1,490

64,860

304,130

Semiconductors

&

Semiconductor

Equipment

-

5.8%

Advanced

Energy

Industries,

Inc.

*

802

54,368

Ambarella

,

Inc.

*

1,920

87,936

Amkor

Technology,

Inc.

*

10,043

123,629

Brooks

Automation,

Inc.

2,292

101,398

Cabot

Microelectronics

Corp.

1,099

153,354

Cirrus

Logic,

Inc.

*

2,974

183,734

Diodes,

Inc.

*

2,487

126,091

DSP

Group,

Inc.

*

1,520

24,138

Enphase

Energy,

Inc.

*

5,155

245,223

FormFactor

,

Inc.

*

4,616

135,387

Ichor

Holdings

Ltd.

*

846

22,487

Impinj

,

Inc.

*

1,697

46,617

Inphi

Corp.

*

2,729

320,658

Lattice

Semiconductor

Corp.

*

7,857

223,060

MACOM

Technology

Solutions

Holdings,

Inc.

*

3,163

108,649

MaxLinear

,

Inc.

*

874

18,756

NeoPhotonics

Corp.

*

1,461

12,974

PDF

Solutions,

Inc.

*

2,796

54,690

Photronics

,

Inc.

*

4,200

46,746

Power

Integrations,

Inc.

864

102,064

Rambus,

Inc.

*

3,205

48,716

Semtech

Corp.

*

369

19,269

76

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

5.8%

(continued)

Silicon

Laboratories,

Inc.

*

940

94,254

SunPower

Corp.

*(a)

7,399

56,676

Synaptics

,

Inc.

*

1,305

78,457

Ultra

Clean

Holdings,

Inc.

*

2,496

56,484

Veeco

Instruments,

Inc.

*

3,007

40,564

2,586,379

Software

-

5.2%

8x8,

Inc.

*

855

13,680

ACI

Worldwide,

Inc.

*

1,821

49,149

Agilysys

,

Inc.

*

1,107

19,860

Alarm.com

Holdings,

Inc.

*

401

25,989

Appfolio

,

Inc.,

Class

A

*

1,611

262,126

Appian

Corp.

*(a)

2,382

122,078

Blackline,

Inc.

*

1,619

134,231

Bottomline

Technologies

DE,

Inc.

*

698

35,437

Cornerstone

OnDemand

,

Inc.

*

368

14,190

Digimarc

Corp.

*(a)

1,169

18,692

Digital

Turbine,

Inc.

*

10,258

128,943

Envestnet

,

Inc.

*

1,229

90,381

Everbridge

,

Inc.

*

1,572

217,502

Five9,

Inc.

*

2,966

328,247

Intelligent

Systems

Corp.

*

1,127

38,408

J2

Global,

Inc.

*

562

35,524

LivePerson

,

Inc.

*

596

24,692

MicroStrategy

,

Inc.,

Class

A

*

200

23,658

MobileIron

,

Inc.

*

5,450

26,868

Model

N,

Inc.

*

924

32,118

Progress

Software

Corp.

930

36,038

PROS

Holdings,

Inc.

*

1,161

51,583

Q2

Holdings,

Inc.

*

1,945

166,862

Qualys

,

Inc.

*

641

66,677

Rapid7,

Inc.

*

910

46,428

Rosetta

Stone,

Inc.

*

817

13,775

SPS

Commerce,

Inc.

*

1,643

123,422

Telenav

,

Inc.

*

3,840

21,082

Upland

Software,

Inc.

*

616

21,412

Varonis

Systems,

Inc.

*

621

54,946

Verint

Systems,

Inc.

*

773

34,924

VirnetX

Holding

Corp.

80

520

Workiva

,

Inc.

*

325

17,384

Yext

,

Inc.

*

1,138

18,902

Zix

Corp.

*

3,091

21,328

2,337,056

Specialty

Retail

-

2.2%

Aaron's,

Inc.

464

21,066

America's

Car-Mart,

Inc.

*

413

36,290

Asbury

Automotive

Group,

Inc.

*

536

41,449

Boot

Barn

Holdings,

Inc.

*

935

20,159

Buckle,

Inc.

(The)

1,148

18,001

Group

1

Automotive,

Inc.

684

45,123

Hibbett

Sports,

Inc.

*

1,254

26,259

Lithia

Motors,

Inc.,

Class

A

1,236

187,044

Murphy

USA,

Inc.

*

967

108,874

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

2.2%

(continued)

National

Vision

Holdings,

Inc.

*

1,313

40,073

Rent-A-Center,

Inc.

2,899

80,650

RH

*

737

183,439

Shoe

Carnival,

Inc.

643

18,821

Sleep

Number

Corp.

*

855

35,602

Sonic

Automotive,

Inc.,

Class

A

2,021

64,490

Sportsman's

Warehouse

Holdings,

Inc.

*

2,932

41,781

Zumiez

,

Inc.

*

1,446

39,591

1,008,712

Technology

Hardware,

Storage

&

Peripherals

-

0.1%

Avid

Technology,

Inc.

*

4,022

29,240

Textiles,

Apparel

&

Luxury

Goods

-

0.8%

Crocs,

Inc.

*

2,271

83,618

Deckers

Outdoor

Corp.

*

1,224

240,381

Rocky

Brands,

Inc.

1,617

33,246

Steven

Madden

Ltd.

856

21,135

378,380

Thrifts

&

Mortgage

Finance

-

1.2%

Axos

Financial,

Inc.

*

775

17,112

Capitol

Federal

Financial,

Inc.

5,049

55,589

Essent

Group

Ltd.

565

20,493

Federal

Agricultural

Mortgage

Corp.,

Class

C

480

30,725

HomeStreet

,

Inc.

997

24,536

Kearny

Financial

Corp.

1,887

15,436

Meta

Financial

Group,

Inc.

1,602

29,108

Mr

Cooper

Group,

Inc.

*

1,143

14,219

NMI

Holdings,

Inc.,

Class

A

*

765

12,301

Northwest

Bancshares,

Inc.

5,901

60,338

PennyMac

Financial

Services,

Inc.

3,026

126,456

Premier

Financial

Corp.

1,450

25,621

Radian

Group,

Inc.

3,637

56,410

Walker

&

Dunlop,

Inc.

365

18,546

Waterstone

Financial,

Inc.

2,000

29,660

536,550

Tobacco

-

0.1%

Turning

Point

Brands,

Inc.

470

11,707

Vector

Group

Ltd.

3,479

34,999

46,706

Trading

Companies

&

Distributors

-

1.2%

BMC

Stock

Holdings,

Inc.

*

2,515

63,227

CAI

International,

Inc.

*

1,309

21,808

DXP

Enterprises,

Inc.

*

955

19,014

Foundation

Building

Materials,

Inc.

*

3,338

52,106

GATX

Corp.

641

39,088

GMS,

Inc.

*

2,406

59,163

H&E

Equipment

Services,

Inc.

1,160

21,437

Herc

Holdings,

Inc.

*

660

20,282

Lawson

Products,

Inc.

*

643

20,743

77

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

1.2%

(continued)

NOW,

Inc.

*

3,130

27,012

Rush

Enterprises,

Inc.,

Class

A

649

26,908

SiteOne

Landscape

Supply,

Inc.

*

1,045

119,099

Triton

International

Ltd.

1,310

39,614

529,501

Water

Utilities

-

0.8%

American

States

Water

Co.

2,499

196,496

Cadiz,

Inc.

*

2,241

22,769

California

Water

Service

Group

716

34,153

Middlesex

Water

Co.

1,269

85,252

SJW

Group

509

31,614

370,284

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

794

39,136

TOTAL

COMMON

STOCKS

(Cost

$32,879,446)

42,353,413

SHORT-TERM

INVESTMENTS

-

4.7%

INVESTMENT

COMPANIES

-

4.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$2,123,493)

2,123,494

2,123,919

SECURITIES

LENDING

COLLATERAL

-

3.4%

Investment

Companies

-

3.4%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(d)

383,441

383,441

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)

1,140,579

1,140,807

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,524,020)

1,524,248

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

102.9%

(Cost

$36,526,959)

46,001,580

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(2.9)%

(e)

(1,308,287)

NET

ASSETS

-

100.0%

44,693,293

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

782,544

1.8

%

Consumer

Discretionary

4,399,201

9.8

Consumer

Staples

1,627,762

3.6

Energy

369,498

0.8

Financials

3,753,051

8.4

Health

Care

11,679,178

26.1

Industrials

6,957,892

15.6

Information

Technology

7,397,706

16.6

Materials

1,078,946

2.4

Real

Estate

2,889,470

6.5

Utilities

1,418,165

3.2

Short-Term

Investments

2,123,919

4.7

Securities

Lending

Collateral

1,524,248

3.4

Total

Investments

In

Securities

At

Value

46,001,580

102.9

Liabilities

in

Excess

of

Other

Assets

(e)

(1,308,287)

(2.9)

Net

Assets

$

44,693,293

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$1,477,680.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

24

9/2020

USD

$

1,725,120

$

51,583

$

51,583

78

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.0%

Australia

-

6.0%

AGL

Energy

Ltd.

10,943

129,457

Aristocrat

Leisure

Ltd.

13,152

235,506

ASX

Ltd.

900

53,494

BHP

Group

plc

7,337

150,138

Brambles

Ltd.

6,432

48,770

CIMIC

Group

Ltd.

2,383

40,045

Cochlear

Ltd.

985

129,320

Coles

Group

Ltd.

17,900

212,784

Commonwealth

Bank

of

Australia

10,107

488,111

Computershare

Ltd.

9,146

84,687

CSL

Ltd.

7,771

1,545,567

Dexus

,

REIT

21,643

138,912

Fortescue

Metals

Group

Ltd.

23,391

227,400

Goodman

Group,

REIT

52,739

544,173

GPT

Group

(The),

REIT

13,683

39,751

Insurance

Australia

Group

Ltd.

27,300

109,565

Macquarie

Group

Ltd.

1,022

84,818

Magellan

Financial

Group

Ltd.

1,295

52,882

Mirvac

Group,

REIT

27,018

40,813

National

Australia

Bank

Ltd.

3,562

45,139

Newcrest

Mining

Ltd.

5,669

125,705

QBE

Insurance

Group

Ltd.

6,506

40,149

Ramsay

Health

Care

Ltd.

1,987

91,764

REA

Group

Ltd.

1,574

118,606

Rio

Tinto

plc

6,275

353,135

Sonic

Healthcare

Ltd.

2,086

44,050

Telstra

Corp.

Ltd.

95,481

207,254

Treasury

Wine

Estates

Ltd.

17,956

130,646

Wesfarmers

Ltd.

14,974

465,575

Woolworths

Group

Ltd.

8,449

217,788

6,196,004

—

Austria

-

0.1%

ANDRITZ

AG

2,003

73,031

Belgium

-

0.5%

Ageas

SA/NV

2,838

100,578

Colruyt

SA

670

36,823

UCB

SA

2,857

331,544

Umicore

SA

1,786

84,307

553,252

—

Brazil

-

0.1%

Wheaton

Precious

Metals

Corp.

(1)

2,009

88,360

Canada

-

9.6%

Agnico

Eagle

Mines

Ltd.

(1)

3,916

250,750

Algonquin

Power

&

Utilities

Corp.

(1)

19,288

249,340

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

951

29,820

AltaGas

Ltd.

(1)

8,068

93,005

Atco

Ltd.,

Class

I

(1)

1,833

54,372

Barrick

Gold

Corp.

(1)

31,514

847,972

BCE,

Inc.

(1)

12,414

517,738

Brookfield

Asset

Management,

Inc.,

Class

A

(1)

3,251

106,994

CAE,

Inc.

(1)

5,614

91,058

Canadian

Apartment

Properties,

REIT

(1)

4,157

148,784

INVESTMENTS

SHARES

VALUE

($)

Canada

-

9.6%

(continued)

Canadian

National

Railway

Co.

(1)

810

71,663

Canadian

Pacific

Railway

Ltd.

(1)

1,503

382,304

Canadian

Utilities

Ltd.,

Class

A

(1)

1,915

47,678

CI

Financial

Corp.

(1)

4,241

53,950

Constellation

Software,

Inc.

(1)

275

310,507

Cronos

Group,

Inc.

(1)*(a)

6,386

38,478

Dollarama,

Inc.

(1)

1,538

51,161

Emera,

Inc.

(1)

5,057

198,987

Empire

Co.

Ltd.,

Class

A

(1)

4,461

106,826

Enbridge,

Inc.

(1)

16,650

506,270

Fortis,

Inc.

(1)

4,958

188,554

Franco-Nevada

Corp.

(1)

4,831

674,867

George

Weston

Ltd.

(1)

2,615

191,560

Hydro

One

Ltd.

(1)(b)

15,635

294,020

iA

Financial

Corp.,

Inc.

(1)

2,847

95,333

IGM

Financial,

Inc.

(1)

2,139

51,978

Intact

Financial

Corp.

(1)

2,254

214,525

International

Petroleum

Corp.

*(a)

3,493

6,405

Kinross

Gold

Corp.

(1)*

15,167

109,485

Loblaw

Cos.

Ltd.

(1)

6,649

323,781

Manulife

Financial

Corp.

(1)

14,916

202,931

Metro,

Inc.

(1)

9,027

372,357

Parkland

Corp.

(1)

1,513

37,569

Quebecor,

Inc.,

Class

B

(1)

3,297

70,841

Shopify,

Inc.,

Class

A

(1)*

2,335

2,218,335

SmartCentres

,

REIT

(1)

2,582

39,768

Thomson

Reuters

Corp.

(1)

7,887

535,870

WSP

Global,

Inc.

(1)

2,550

156,388

9,942,224

—

Chile

-

0.0%

(c)

Antofagasta

plc

3,557

41,170

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

19,000

60,836

Denmark

-

4.4%

Carlsberg

A/S,

Class

B

874

115,900

Chr

Hansen

Holding

A/S

1,138

117,380

Coloplast

A/S,

Class

B

2,912

453,888

Demant

A/S

*

3,240

85,864

DSV

Panalpina

A/S

3,495

429,308

Genmab

A/S

*

834

281,219

Novo

Nordisk

A/S,

Class

B

23,526

1,532,665

Novozymes

A/S,

Class

B

780

45,221

Orsted

A/S

(b)

8,357

965,975

Tryg

A/S

9,825

285,459

Vestas

Wind

Systems

A/S

2,318

237,370

4,550,249

—

Finland

-

1.6%

Elisa

OYJ

2,172

132,170

Fortum

OYJ

17,149

327,171

Kone

OYJ,

Class

B

6,973

480,925

Neste

OYJ

5,025

197,362

Nokian

Renkaat

OYJ

1,449

31,851

Orion

OYJ,

Class

B

549

26,623

Sampo

OYJ,

Class

A

3,563

122,816

UPM-

Kymmene

OYJ

9,592

277,829

79

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Finland

-

1.6%

(continued)

Wartsila

OYJ

Abp

4,467

37,054

1,633,801

—

France

-

4.3%

Airbus

SE

*

4,072

291,774

AXA

SA

6,712

141,240

BNP

Paribas

SA

*

8,449

337,571

Capgemini

SE

1,863

214,993

Credit

Agricole

SA

*

26,078

247,629

Dassault

Systemes

SE

2,145

372,357

Electricite

de

France

SA

7,138

66,363

EssilorLuxottica

SA

*

892

114,719

Hermes

International

304

255,241

Iliad

SA

513

100,143

Kering

SA

176

96,223

L'Oreal

SA

548

176,865

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,345

1,035,306

Orange

SA

18,570

222,060

Peugeot

SA

*

2,366

38,800

Safran

SA

*

2,841

285,780

Sanofi

2,885

294,226

TOTAL

SA

5,099

196,609

4,487,899

—

Germany

-

6.2%

adidas

AG

*

918

242,032

Aroundtown

SA

*

5,752

32,969

Bayer

AG

(Registered)

3,556

263,583

Beiersdorf

AG

1,334

151,695

Brenntag

AG

1,127

59,754

Carl

Zeiss

Meditec

AG

1,384

134,763

Delivery

Hero

SE

*(b)

3,955

406,445

Deutsche

Boerse

AG

2,889

522,842

Deutsche

Post

AG

(Registered)

5,342

196,158

Deutsche

Wohnen

SE

3,880

174,350

E.ON

SE

13,802

155,793

Fraport

AG

Frankfurt

Airport

Services

Worldwide

*

833

36,490

Hannover

Rueck

SE

3,192

551,655

KION

Group

AG

902

55,536

Merck

KGaA

2,205

256,768

MTU

Aero

Engines

AG

413

71,904

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

1,116

290,601

Puma

SE

*

4,135

320,607

RWE

AG

8,885

311,038

SAP

SE

8,450

1,181,220

Symrise

AG

1,711

199,925

Volkswagen

AG

514

82,989

Vonovia

SE

9,526

582,258

Wirecard

AG

*

531

3,940

Zalando

SE

*(b)

1,634

115,917

6,401,232

—

Hong

Kong

-

1.8%

AIA

Group

Ltd.

53,800

503,440

CK

Asset

Holdings

Ltd.

7,500

44,976

CLP

Holdings

Ltd.

17,000

166,962

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

1.8%

(continued)

Hang

Seng

Bank

Ltd.

3,300

55,580

Henderson

Land

Development

Co.

Ltd.

16,157

61,618

Hong

Kong

&

China

Gas

Co.

Ltd.

94,185

146,379

Hong

Kong

Exchanges

&

Clearing

Ltd.

3,000

127,775

Link,

REIT

7,000

57,471

MTR

Corp.

Ltd.

16,500

85,812

New

World

Development

Co.

Ltd.

12,750

60,538

PCCW

Ltd.

75,000

42,882

Power

Assets

Holdings

Ltd.

7,000

38,248

Sino

Land

Co.

Ltd.

28,000

35,426

Sun

Hung

Kai

Properties

Ltd.

6,000

76,651

Swire

Properties

Ltd.

14,400

36,766

Techtronic

Industries

Co.

Ltd.

20,500

202,839

WH

Group

Ltd.

(b)

47,000

40,617

Wharf

Real

Estate

Investment

Co.

Ltd.

9,000

43,205

Wheelock

&

Co.

Ltd.

9,000

75,200

1,902,385

—

Italy

-

1.9%

Assicurazioni

Generali

SpA

2,727

41,424

Enel

SpA

102,597

887,305

Ferrari

NV

2,809

481,169

Intesa

Sanpaolo

SpA

*

55,823

107,275

Leonardo

SpA

5,584

37,225

Moncler

SpA

*

3,288

126,435

Poste

Italiane

SpA

(b)

5,728

50,035

Recordati

SpA

1,120

56,043

Terna

Rete

Elettrica

Nazionale

SpA

23,336

160,961

1,947,872

—

Japan

-

26.6%

Advantest

Corp.

8,600

490,806

Aeon

Co.

Ltd.

3,200

74,446

Ajinomoto

Co.,

Inc.

1,700

28,211

Alfresa

Holdings

Corp.

3,100

64,980

ANA

Holdings,

Inc.

*

6,300

143,974

Asahi

Group

Holdings

Ltd.

3,400

119,416

Asahi

Intecc

Co.

Ltd.

2,300

65,643

Astellas

Pharma,

Inc.

21,800

364,050

Bandai

Namco

Holdings,

Inc.

2,500

131,595

Bank

of

Kyoto

Ltd.

(The)

1,000

35,530

Benesse

Holdings,

Inc.

2,100

56,321

Bridgestone

Corp.

2,100

67,778

Canon,

Inc.

3,500

69,818

Casio

Computer

Co.

Ltd.

3,200

55,826

Chugai

Pharmaceutical

Co.

Ltd.

19,200

1,027,968

Chugoku

Electric

Power

Co.,

Inc.

(The)

9,000

119,988

CyberAgent

,

Inc.

1,500

73,731

Daicel

Corp.

5,700

44,177

Daifuku

Co.

Ltd.

1,100

96,395

Daiichi

Sankyo

Co.

Ltd.

11,100

907,887

Daikin

Industries

Ltd.

2,300

372,140

Daito

Trust

Construction

Co.

Ltd.

700

64,513

Daiwa

House

Industry

Co.

Ltd.

2,900

68,483

Disco

Corp.

1,000

243,889

Eisai

Co.

Ltd.

1,900

150,953

80

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.6%

(continued)

FamilyMart

Co.

Ltd.

2,000

34,336

Fast

Retailing

Co.

Ltd.

900

517,295

FUJIFILM

Holdings

Corp.

2,000

85,603

Fujitsu

Ltd.

3,000

351,250

GMO

Payment

Gateway,

Inc.

1,100

115,053

Hikari

Tsushin,

Inc.

500

114,324

Hitachi

Ltd.

7,300

232,029

Hoya

Corp.

7,100

679,889

Iida

Group

Holdings

Co.

Ltd.

2,400

36,884

ITOCHU

Corp.

11,400

246,671

Itochu

Techno-Solutions

Corp.

1,200

45,128

Japan

Prime

Realty

Investment

Corp.,

REIT

28

82,141

Japan

Real

Estate

Investment

Corp.,

REIT

41

210,417

Japan

Retail

Fund

Investment

Corp.,

REIT

46

57,536

Kakaku.com,

Inc.

3,100

78,970

Kansai

Paint

Co.

Ltd.

2,200

46,490

Kao

Corp.

2,600

206,330

KDDI

Corp.

19,000

566,906

Keihan

Holdings

Co.

Ltd.

2,600

116,114

Keio

Corp.

1,000

57,230

Keisei

Electric

Railway

Co.

Ltd.

2,700

84,619

Keyence

Corp.

1,800

754,311

Kikkoman

Corp.

3,800

183,531

Kirin

Holdings

Co.

Ltd.

5,500

115,939

Kobayashi

Pharmaceutical

Co.

Ltd.

800

70,340

Konami

Holdings

Corp.

2,600

86,759

Kose

Corp.

600

72,628

Kyocera

Corp.

1,300

70,960

Kyowa

Kirin

Co.

Ltd.

3,200

84,239

LINE

Corp.

*

900

45,296

Lion

Corp.

4,900

117,853

M3,

Inc.

11,600

492,781

Marui

Group

Co.

Ltd.

7,000

126,625

McDonald's

Holdings

Co.

Japan

Ltd.

3,000

162,143

MEIJI

Holdings

Co.

Ltd.

1,100

87,534

Mitsubishi

Corp.

4,100

86,640

Mitsubishi

Electric

Corp.

3,100

40,490

Mitsui

&

Co.

Ltd.

5,500

81,491

MonotaRO

Co.

Ltd.

2,400

96,428

Murata

Manufacturing

Co.

Ltd.

6,400

377,270

Nexon

Co.

Ltd.

4,600

103,760

Nintendo

Co.

Ltd.

1,500

670,603

Nippon

Building

Fund,

Inc.,

REIT

52

296,149

Nippon

Express

Co.

Ltd.

1,000

51,853

Nippon

Paint

Holdings

Co.

Ltd.

3,500

255,279

Nippon

Prologis

REIT,

Inc.,

REIT

20

60,773

Nippon

Telegraph

&

Telephone

Corp.

30,900

719,953

Nissan

Chemical

Corp.

1,200

61,739

Nisshin

Seifun

Group,

Inc.

5,000

74,658

Nissin

Foods

Holdings

Co.

Ltd.

1,300

115,180

Nitori

Holdings

Co.

Ltd.

1,500

294,104

Nomura

Holdings,

Inc.

11,100

49,879

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

36

43,117

Nomura

Research

Institute

Ltd.

10,350

282,687

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.6%

(continued)

NTT

Data

Corp.

12,500

139,755

NTT

DOCOMO,

Inc.

21,700

576,092

Obayashi

Corp.

5,200

48,888

Obic

Co.

Ltd.

2,600

458,221

Olympus

Corp.

20,100

386,975

Omron

Corp.

1,400

93,770

Ono

Pharmaceutical

Co.

Ltd.

4,200

122,583

Oracle

Corp.

Japan

1,300

154,196

Oriental

Land

Co.

Ltd.

4,100

541,799

Otsuka

Corp.

1,000

52,816

Otsuka

Holdings

Co.

Ltd.

1,800

78,448

Pan

Pacific

International

Holdings

Corp.

6,100

134,302

Park24

Co.

Ltd.

2,900

49,721

PeptiDream

,

Inc.

*

1,200

55,291

Rakuten

,

Inc.

5,800

51,231

Recruit

Holdings

Co.

Ltd.

16,700

574,316

Renesas

Electronics

Corp.

*

13,300

68,367

Santen

Pharmaceutical

Co.

Ltd.

5,900

108,616

Secom

Co.

Ltd.

900

78,968

Seven

&

i

Holdings

Co.

Ltd.

2,600

85,055

SG

Holdings

Co.

Ltd.

2,300

75,057

Sharp

Corp.

4,300

46,116

Shimadzu

Corp.

4,600

122,807

Shimano,

Inc.

1,100

211,518

Shimizu

Corp.

6,600

54,371

Shin-Etsu

Chemical

Co.

Ltd.

4,300

504,655

Shionogi

&

Co.

Ltd.

3,900

244,660

Shiseido

Co.

Ltd.

3,800

242,138

SMC

Corp.

700

359,745

Softbank

Corp.

28,300

360,718

SoftBank

Group

Corp.

1,700

85,727

Sohgo

Security

Services

Co.

Ltd.

2,000

93,387

Sony

Corp.

14,500

1,000,938

Stanley

Electric

Co.

Ltd.

1,500

36,311

Sumitomo

Dainippon

Pharma

Co.

Ltd.

3,700

51,273

Sumitomo

Realty

&

Development

Co.

Ltd.

3,000

82,808

Suzuken

Co.

Ltd.

1,100

41,096

Suzuki

Motor

Corp.

1,500

51,219

Sysmex

Corp.

1,300

99,790

Taisei

Corp.

1,900

69,248

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

500

30,684

Taiyo

Nippon

Sanso

Corp.

2,700

45,152

Takeda

Pharmaceutical

Co.

Ltd.

3,900

140,119

TDK

Corp.

1,900

189,148

Terumo

Corp.

12,200

464,366

Toho

Gas

Co.

Ltd.

2,200

109,962

Tokio

Marine

Holdings,

Inc.

5,100

223,242

Tokyo

Electron

Ltd.

2,800

690,883

Toyota

Motor

Corp.

23,500

1,477,776

Trend

Micro,

Inc.

3,300

184,419

Tsuruha

Holdings,

Inc.

500

69,057

Unicharm

Corp.

4,400

180,455

United

Urban

Investment

Corp.,

REIT

49

52,775

USS

Co.

Ltd.

4,900

78,549

Welcia

Holdings

Co.

Ltd.

700

56,551

81

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.6%

(continued)

West

Japan

Railway

Co.

1,000

56,089

Yakult

Honsha

Co.

Ltd.

1,500

88,251

Yamaha

Corp.

5,500

259,408

Yokogawa

Electric

Corp.

2,900

45,439

Z

Holdings

Corp.

50,800

249,312

27,521,354

—

Macau

-

0.1%

SJM

Holdings

Ltd.

47,000

52,693

Netherlands

-

5.1%

Adyen

NV

*(b)

210

305,970

Akzo

Nobel

NV

1,506

135,300

ASML

Holding

NV

5,486

2,006,850

Koninklijke

Ahold

Delhaize

NV

6,040

164,615

Koninklijke

DSM

NV

3,420

474,758

Koninklijke

Philips

NV

*

14,980

699,835

NN

Group

NV

1,693

56,898

Randstad

NV

*

1,036

46,325

Royal

Dutch

Shell

plc,

Class

A

18,930

303,093

Royal

Dutch

Shell

plc,

Class

B

16,610

251,812

Wolters

Kluwer

NV

10,278

803,372

5,248,828

—

Norway

-

0.2%

Mowi

ASA

8,559

163,149

Singapore

-

0.2%

Ascendas

,

REIT

24,300

55,755

CapitaLand

Mall

Trust,

REIT

29,500

41,858

DBS

Group

Holdings

Ltd.

2,300

34,608

United

Overseas

Bank

Ltd.

3,400

49,680

UOL

Group

Ltd.

9,700

47,692

229,593

—

South

Africa

-

0.2%

Anglo

American

plc

9,105

209,899

Spain

-

2.0%

Aena

SME

SA

*(b)

481

64,330

Amadeus

IT

Group

SA

1,518

79,698

Cellnex

Telecom

SA

(b)

3,126

190,929

Endesa

SA

9,654

239,480

Ferrovial

SA

8,734

233,460

Grifols

SA

3,042

92,501

Iberdrola

SA

91,101

1,063,576

Naturgy

Energy

Group

SA

5,792

108,130

Red

Electrica

Corp.

SA

2,524

47,223

2,119,327

—

Sweden

-

2.8%

Assa

Abloy

AB,

Class

B

13,823

282,922

Atlas

Copco

AB,

Class

A

16,353

696,401

Epiroc

AB,

Class

A

5,919

74,167

Essity

AB,

Class

B

*

3,342

108,352

Hennes

&

Mauritz

AB,

Class

B

18,550

270,761

Hexagon

AB,

Class

B

*

1,754

103,005

ICA

Gruppen

AB

1,355

64,409

Investor

AB,

Class

B

2,787

147,845

Sandvik

AB

*

11,906

224,139

Skanska

AB,

Class

B

*

2,417

49,344

SKF

AB,

Class

B

3,177

59,389

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

2.8%

(continued)

Swedish

Match

AB

6,005

423,687

Tele2

AB,

Class

B

8,627

114,841

Telia

Co.

AB

17,137

64,113

Volvo

AB,

Class

B

*

12,673

199,408

2,882,783

—

Switzerland

-

14.9%

ABB

Ltd.

(Registered)

9,777

221,771

Alcon,

Inc.

*

2,426

139,396

Baloise

Holding

AG

(Registered)

623

93,855

Barry

Callebaut

AG

(Registered)

80

152,707

Chocoladefabriken

Lindt

&

Spruengli

AG

18

148,668

Cie

Financiere

Richemont

SA

(Registered)

551

35,540

Coca-Cola

HBC

AG

2,201

55,098

EMS-

Chemie

Holding

AG

(Registered)

381

296,000

Geberit

AG

(Registered)

787

394,866

Givaudan

SA

(Registered)

140

523,316

Kuehne

+

Nagel

International

AG

(Registered)

*

329

54,801

Lonza

Group

AG

(Registered)

1,635

866,056

Nestle

SA

(Registered)

34,186

3,790,222

Novartis

AG

(Registered)

28,897

2,517,537

Partners

Group

Holding

AG

711

647,503

Roche

Holding

AG

9,817

3,401,095

Schindler

Holding

AG

229

54,195

SGS

SA

(Registered)

15

36,745

Sika

AG

(Registered)

2,589

499,088

Sonova

Holding

AG

(Registered)

*

903

180,758

STMicroelectronics

NV

10,182

277,544

Straumann

Holding

AG

(Registered)

361

312,080

Swiss

Life

Holding

AG

(Registered)

239

88,912

Swiss

Re

AG

452

35,046

Swisscom

AG

(Registered)

281

147,357

Temenos

AG

(Registered)

235

36,525

Vifor

Pharma

AG

561

84,872

Zurich

Insurance

Group

AG

856

303,307

15,394,860

—

United

Kingdom

-

7.3%

3i

Group

plc

5,219

53,740

Admiral

Group

plc

1,746

49,515

Ashtead

Group

plc

4,765

160,738

Associated

British

Foods

plc

1,417

33,504

AstraZeneca

plc

14,546

1,513,866

Auto

Trader

Group

plc

(b)

29,518

192,184

BAE

Systems

plc

37,113

221,916

Barratt

Developments

plc

7,602

46,723

BP

plc

71,390

273,498

British

American

Tobacco

plc

18,876

723,948

Bunzl

plc

6,811

182,692

CK

Hutchison

Holdings

Ltd.

4,500

29,140

Compass

Group

plc

27,316

375,826

Diageo

plc

1,887

62,719

Direct

Line

Insurance

Group

plc

42,210

141,532

Experian

plc

5,258

184,550

GlaxoSmithKline

plc

17,591

355,333

82

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

7.3%

(continued)

HSBC

Holdings

plc

119,863

557,074

Intertek

Group

plc

3,758

253,105

Legal

&

General

Group

plc

45,149

123,087

M&G

plc

20,491

42,548

Persimmon

plc

12,600

356,600

Prudential

plc

20,491

308,760

Reckitt

Benckiser

Group

plc

5,607

515,835

Sage

Group

plc

(The)

32,325

268,328

Smith

&

Nephew

plc

3,009

56,069

Taylor

Wimpey

plc

76,759

135,480

Vodafone

Group

plc

172,430

274,122

Whitbread

plc

1,309

36,014

7,528,446

—

United

States

-

0.0%

(c)

Bausch

Health

Cos.,

Inc.

(1)*

1,769

32,367

TOTAL

COMMON

STOCKS

(Cost

$82,072,138)

99,261,614

SHORT-TERM

INVESTMENTS

-

3.0%

INVESTMENT

COMPANIES

-

3.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

(Cost

$3,112,585)

3,112,585

3,113,208

SECURITIES

LENDING

COLLATERAL

-

0.0%

(c)

Investment

Companies

-

0.0%

(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(d)(e)

2,056

2,056

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(d)(e)

6,115

6,116

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$8,171)

8,172

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.0%

(Cost

$85,192,894)

102,382,994

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.0%

(f)

1,077,578

NET

ASSETS

-

100.0%

103,460,572

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

6,013,068

5.8

%

Consumer

Discretionary

10,861,675

10.5

Consumer

Staples

10,536,284

10.2

Energy

1,772,620

1.7

Financials

8,189,184

7.9

Health

Care

21,480,421

20.8

Industrials

11,368,667

11.0

Information

Technology

12,782,587

12.3

Materials

6,689,494

6.5

Real

Estate

3,397,647

3.3

Utilities

6,169,967

6.0

Short-Term

Investments

3,113,208

3.0

Securities

Lending

Collateral

8,172

0.0(

c

)

Total

Investments

In

Securities

At

Value

102,382,994

99.0

Other

Assets

in

Excess

of

Liabilities

(f)

1,077,578

1.0

Net

Assets

$

103,460,572

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$38,439.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$2,626,422,

which

represents

approximately

2.54%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$35,739

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

37

9/2020

USD

$

3,290,040

$

27,112

$

27,112

83

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.3%

Aerospace

&

Defense

-

0.4%

Curtiss-Wright

Corp.

19,992

1,784,886

General

Dynamics

Corp.

15,365

2,296,453

Lockheed

Martin

Corp.

20,121

7,342,555

Northrop

Grumman

Corp.

13,118

4,032,998

Teledyne

Technologies,

Inc.

*

18,754

5,831,556

21,288,448

Air

Freight

&

Logistics

-

1.2%

CH

Robinson

Worldwide,

Inc.

(a)

460,472

36,404,916

Expeditors

International

of

Washington,

Inc.

454,124

34,531,589

70,936,505

Automobiles

-

0.0%

(b)

Tesla,

Inc.

*

1,907

2,059,198

Banks

-

3.1%

Bank

of

Hawaii

Corp.

32,752

2,011,300

Commerce

Bancshares,

Inc.

47,444

2,821,495

Cullen/Frost

Bankers,

Inc.

37,595

2,808,723

East

West

Bancorp,

Inc.

393,720

14,268,413

First

Citizens

BancShares

,

Inc.,

Class

A

7,127

2,886,578

First

Hawaiian,

Inc.

94,612

1,631,111

JPMorgan

Chase

&

Co.

543,220

51,095,273

M&T

Bank

Corp.

87,667

9,114,738

PNC

Financial

Services

Group,

Inc.

(The)

206,490

21,724,813

Popular,

Inc.

60,655

2,254,546

Prosperity

Bancshares,

Inc.

45,838

2,721,860

SVB

Financial

Group

*

180,349

38,870,620

US

Bancorp

621,018

22,865,883

Western

Alliance

Bancorp

116,498

4,411,779

179,487,132

Beverages

-

3.1%

Brown-Forman

Corp.,

Class

B

28,757

1,830,671

Coca-Cola

Co.

(The)

1,268,460

56,674,793

Constellation

Brands,

Inc.,

Class

A

18,000

3,149,100

Monster

Beverage

Corp.

*

526,090

36,468,559

PepsiCo,

Inc.

633,129

83,737,641

181,860,764

Biotechnology

-

2.4%

AbbVie,

Inc.

79,242

7,779,979

Alnylam

Pharmaceuticals,

Inc.

*

50,444

7,471,261

Amgen,

Inc.

145,172

34,240,268

Biogen,

Inc.

*

224,002

59,931,735

Exelixis

,

Inc.

*

115,844

2,750,136

Regeneron

Pharmaceuticals,

Inc.

*

25,745

16,055,869

Seattle

Genetics,

Inc.

*

40,179

6,827,216

Vertex

Pharmaceuticals,

Inc.

*

11,076

3,215,474

138,271,938

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

3.5%

Ameriprise

Financial,

Inc.

48,086

7,214,823

BlackRock,

Inc.

90,932

49,475,192

CME

Group,

Inc.

201,830

32,805,448

Intercontinental

Exchange,

Inc.

287,999

26,380,708

MSCI,

Inc.

6,578

2,195,868

Northern

Trust

Corp.

178,482

14,160,762

S&P

Global,

Inc.

104,478

34,423,411

SEI

Investments

Co.

71,226

3,916,006

State

Street

Corp.

181,443

11,530,703

T.

Rowe

Price

Group,

Inc.

190,058

23,472,163

205,575,084

Chemicals

-

3.4%

Air

Products

and

Chemicals,

Inc.

114,815

27,723,230

Eastman

Chemical

Co.

55,035

3,832,637

Ecolab,

Inc.

367,287

73,071,749

Linde

plc

(United

Kingdom)

203,600

43,185,596

NewMarket

Corp.

5,746

2,301,158

PPG

Industries,

Inc.

129,561

13,741,240

Sherwin-Williams

Co.

(The)

56,210

32,480,948

196,336,558

Commercial

Services

&

Supplies

-

1.2%

Cintas

Corp.

77,776

20,716,415

Copart

,

Inc.

*

38,099

3,172,504

Republic

Services,

Inc.

153,863

12,624,459

Rollins,

Inc.

120,451

5,105,918

Waste

Management,

Inc.

252,734

26,767,058

68,386,354

Communications

Equipment

-

0.7%

Cisco

Systems,

Inc.

810,588

37,805,824

Ubiquiti,

Inc.

13,074

2,282,198

40,088,022

Consumer

Finance

-

0.9%

American

Express

Co.

285,699

27,198,545

Credit

Acceptance

Corp.

*(a)

54,093

22,665,508

49,864,053

Containers

&

Packaging

-

0.0%

(b)

AptarGroup,

Inc.

20,164

2,257,965

Distributors

-

0.1%

Pool

Corp.

21,125

5,743,254

Diversified

Consumer

Services

-

0.0%

(b)

Bright

Horizons

Family

Solutions,

Inc.

*

18,637

2,184,256

Diversified

Telecommunication

Services

-

1.8%

AT&T,

Inc.

695,594

21,027,807

Verizon

Communications,

Inc.

1,470,040

81,043,305

102,071,112

84

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Electric

Utilities

-

3.5%

Alliant

Energy

Corp.

134,337

6,426,682

American

Electric

Power

Co.,

Inc.

58,682

4,673,434

Duke

Energy

Corp.

(a)

452,102

36,118,429

Edison

International

35,518

1,928,983

Evergy

,

Inc.

42,240

2,504,410

Eversource

Energy

20,643

1,718,943

Exelon

Corp.

541,618

19,655,317

FirstEnergy

Corp.

61,105

2,369,652

IDACORP,

Inc.

33,947

2,965,949

NextEra

Energy,

Inc.

327,000

78,535,590

OGE

Energy

Corp.

80,354

2,439,547

Pinnacle

West

Capital

Corp.

157,557

11,547,353

PPL

Corp.

450,030

11,628,775

Xcel

Energy,

Inc.

318,018

19,876,125

202,389,189

Electrical

Equipment

-

0.4%

Eaton

Corp.

plc

30,731

2,688,348

Emerson

Electric

Co.

124,580

7,727,697

Hubbell,

Inc.

16,554

2,075,210

Rockwell

Automation,

Inc.

59,943

12,767,859

25,259,114

Electronic

Equipment,

Instruments

&

Components

-

0.5%

Amphenol

Corp.,

Class

A

72,890

6,983,591

Cognex

Corp.

229,392

13,699,290

Dolby

Laboratories,

Inc.,

Class

A

44,313

2,918,897

Keysight

Technologies,

Inc.

*

18,650

1,879,547

Littelfuse

,

Inc.

17,477

2,982,101

National

Instruments

Corp.

44,104

1,707,266

30,170,692

Entertainment

-

0.8%

Electronic

Arts,

Inc.

*

33,731

4,454,179

Netflix,

Inc.

*

76,755

34,926,595

Spotify

Technology

SA

*

11,489

2,966,345

Walt

Disney

Co.

(The)

62,822

7,005,281

49,352,400

Equity

Real

Estate

Investment

Trusts

(REITs)

-

1.7%

American

Tower

Corp.

150,620

38,941,295

AvalonBay

Communities,

Inc.

75,768

11,716,763

Equinix

,

Inc.

12,722

8,934,661

Equity

Residential

75,057

4,414,853

Essex

Property

Trust,

Inc.

39,429

9,035,944

Public

Storage

124,708

23,930,218

96,973,734

Food

&

Staples

Retailing

-

3.7%

Casey's

General

Stores,

Inc.

136,127

20,353,709

Costco

Wholesale

Corp.

276,910

83,961,881

Kroger

Co.

(The)

361,736

12,244,763

Sprouts

Farmers

Market,

Inc.

*

108,610

2,779,330

Sysco

Corp.

269,709

14,742,294

INVESTMENTS

SHARES

VALUE

($)

Food

&

Staples

Retailing

-

3.7%

(continued)

Walmart,

Inc.

700,906

83,954,521

218,036,498

Food

Products

-

4.1%

Archer-Daniels-Midland

Co.

49,290

1,966,671

Campbell

Soup

Co.

196,117

9,733,287

Flowers

Foods,

Inc.

385,973

8,630,356

General

Mills,

Inc.

225,450

13,898,992

Hershey

Co.

(The)

307,759

39,891,722

Hormel

Foods

Corp.

1,335,436

64,461,496

Ingredion,

Inc.

102,968

8,546,344

J

M

Smucker

Co.

(The)

103,223

10,922,026

Kellogg

Co.

121,883

8,051,591

Lamb

Weston

Holdings,

Inc.

200,108

12,792,904

McCormick

&

Co.,

Inc.

(Non-Voting)

112,509

20,185,240

Mondelez

International,

Inc.,

Class

A

672,635

34,391,827

Pilgrim's

Pride

Corp.

*

123,145

2,079,919

Post

Holdings,

Inc.

*

30,157

2,642,356

238,194,731

Gas

Utilities

-

0.3%

Atmos

Energy

Corp.

170,754

17,003,683

UGI

Corp.

79,711

2,534,810

19,538,493

Health

Care

Equipment

&

Supplies

-

4.0%

Abbott

Laboratories

163,950

14,989,948

ABIOMED,

Inc.

*

79,132

19,115,126

Align

Technology,

Inc.

*(a)

29,932

8,214,538

Baxter

International,

Inc.

19,782

1,703,230

Becton

Dickinson

and

Co.

37,706

9,021,915

Cooper

Cos.,

Inc.

(The)

33,784

9,582,494

Danaher

Corp.

181,447

32,085,273

Edwards

Lifesciences

Corp.

*

582,509

40,257,197

Intuitive

Surgical,

Inc.

*

79,607

45,362,457

Masimo

Corp.

*

40,742

9,288,768

Medtronic

plc

112,448

10,311,482

ResMed

,

Inc.

43,011

8,258,112

Stryker

Corp.

70,579

12,717,630

Varian

Medical

Systems,

Inc.

*

46,830

5,737,612

West

Pharmaceutical

Services,

Inc.

34,960

7,941,863

234,587,645

Health

Care

Providers

&

Services

-

1.2%

Anthem,

Inc.

10,042

2,640,845

Chemed

Corp.

16,974

7,656,462

Guardant

Health,

Inc.

*

34,894

2,830,950

Henry

Schein,

Inc.

*

285,618

16,677,235

Premier,

Inc.,

Class

A

*

90,938

3,117,355

UnitedHealth

Group,

Inc.

116,052

34,229,538

67,152,385

85

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.1%

Choice

Hotels

International,

Inc.

31,382

2,476,040

Domino's

Pizza,

Inc.

7,702

2,845,427

5,321,467

Household

Durables

-

0.1%

Garmin

Ltd.

75,680

7,378,800

Household

Products

-

3.9%

Church

&

Dwight

Co.,

Inc.

156,831

12,123,036

Clorox

Co.

(The)

294,491

64,602,491

Colgate-Palmolive

Co.

704,754

51,630,278

Kimberly-Clark

Corp.

86,980

12,294,623

Procter

&

Gamble

Co.

(The)

711,134

85,030,292

225,680,720

Industrial

Conglomerates

-

1.3%

3M

Co.

243,853

38,038,630

Honeywell

International,

Inc.

239,160

34,580,144

Roper

Technologies,

Inc.

7,700

2,989,602

75,608,376

Insurance

-

5.1%

Aflac,

Inc.

98,321

3,542,506

Alleghany

Corp.

10,909

5,336,028

Allstate

Corp.

(The)

330,859

32,090,014

Aon

plc,

Class

A

143,187

27,577,816

Arthur

J

Gallagher

&

Co.

96,160

9,374,638

Assurant,

Inc.

58,831

6,076,654

Brown

&

Brown,

Inc.

75,396

3,073,141

Chubb

Ltd.

396,417

50,194,321

Cincinnati

Financial

Corp.

58,110

3,720,783

CNA

Financial

Corp.

58,101

1,867,947

Erie

Indemnity

Co.,

Class

A

46,385

8,901,281

Everest

Re

Group

Ltd.

98,020

20,211,724

Fidelity

National

Financial,

Inc.

186,213

5,709,291

First

American

Financial

Corp.

54,220

2,603,644

Globe

Life,

Inc.

37,452

2,780,062

Hanover

Insurance

Group,

Inc.

(The)

36,851

3,734,112

Markel

Corp.

*

7,882

7,276,426

Marsh

&

McLennan

Cos.,

Inc.

218,003

23,406,982

Mercury

General

Corp.

44,402

1,809,382

Old

Republic

International

Corp.

126,961

2,070,734

Progressive

Corp.

(The)

403,005

32,284,731

RenaissanceRe

Holdings

Ltd.

54,650

9,346,790

Travelers

Cos.,

Inc.

(The)

262,544

29,943,143

W

R

Berkley

Corp.

92,964

5,325,908

White

Mountains

Insurance

Group

Ltd.

1,957

1,737,757

299,995,815

Interactive

Media

&

Services

-

2.6%

Alphabet,

Inc.,

Class

A

*

57,979

82,217,121

Facebook,

Inc.,

Class

A

*

304,307

69,098,990

151,316,111

INVESTMENTS

SHARES

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

2.2%

Amazon.com,

Inc.

*

31,954

88,155,334

Booking

Holdings,

Inc.

*

26,270

41,830,772

129,986,106

IT

Services

-

6.7%

Accenture

plc,

Class

A

333,799

71,673,321

Akamai

Technologies,

Inc.

*(a)

171,868

18,405,344

Amdocs

Ltd.

67,589

4,114,818

Automatic

Data

Processing,

Inc.

188,326

28,039,858

Broadridge

Financial

Solutions,

Inc.

21,332

2,691,885

Cognizant

Technology

Solutions

Corp.,

Class

A

95,575

5,430,572

EPAM

Systems,

Inc.

*

31,704

7,989,725

Fiserv,

Inc.

*

54,002

5,271,675

Global

Payments,

Inc.

12,177

2,065,463

International

Business

Machines

Corp.

60,464

7,302,237

Jack

Henry

&

Associates,

Inc.

42,360

7,795,511

Mastercard

,

Inc.,

Class

A

268,247

79,320,638

Paychex,

Inc.

182,425

13,818,694

PayPal

Holdings,

Inc.

*

211,413

36,834,487

VeriSign,

Inc.

*

94,527

19,551,019

Visa,

Inc.,

Class

A

(a)

415,534

80,268,703

390,573,950

Life

Sciences

Tools

&

Services

-

1.8%

Agilent

Technologies,

Inc.

138,944

12,278,481

Bio-

Techne

Corp.

24,584

6,491,897

Charles

River

Laboratories

International,

Inc.

*

15,818

2,757,868

Illumina,

Inc.

*

70,976

26,285,962

Mettler

-Toledo

International,

Inc.

*

24,856

20,022,751

Thermo

Fisher

Scientific,

Inc.

97,578

35,356,413

Waters

Corp.

*

18,651

3,364,640

106,558,012

Machinery

-

2.1%

Caterpillar,

Inc.

177,137

22,407,830

Cummins,

Inc.

80,173

13,890,774

Donaldson

Co.,

Inc.

48,042

2,234,914

Dover

Corp.

41,412

3,998,743

Fortive

Corp.

27,067

1,831,353

IDEX

Corp.

29,273

4,626,305

Illinois

Tool

Works,

Inc.

362,775

63,431,209

Lincoln

Electric

Holdings,

Inc.

27,050

2,278,692

Parker-Hannifin

Corp.

16,550

3,033,118

Toro

Co.

(The)

31,020

2,057,867

119,790,805

Media

-

0.3%

Cable

One,

Inc.

3,494

6,201,326

Comcast

Corp.,

Class

A

76,265

2,972,810

John

Wiley

&

Sons,

Inc.,

Class

A

60,320

2,352,480

86

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Media

-

0.3%

(continued)

Omnicom

Group,

Inc.

154,641

8,443,398

19,970,014

Metals

&

Mining

-

0.7%

Newmont

Corp.

570,909

35,247,922

Royal

Gold,

Inc.

37,933

4,715,830

39,963,752

Multiline

Retail

-

1.2%

Dollar

General

Corp.

36,221

6,900,463

Target

Corp.

526,119

63,097,451

69,997,914

Multi-Utilities

-

3.2%

Ameren

Corp.

246,515

17,344,795

CMS

Energy

Corp.

44,983

2,627,907

Consolidated

Edison,

Inc.

323,685

23,282,662

Dominion

Energy,

Inc.

(a)

552,196

44,827,271

DTE

Energy

Co.

153,520

16,503,400

MDU

Resources

Group,

Inc.

109,166

2,421,302

Public

Service

Enterprise

Group,

Inc.

616,886

30,326,116

Sempra

Energy

256,367

30,053,903

WEC

Energy

Group,

Inc.

244,301

21,412,983

188,800,339

Personal

Products

-

0.7%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

217,929

41,118,844

Pharmaceuticals

-

4.5%

Bristol-Myers

Squibb

Co.

301,945

17,754,366

Eli

Lilly

and

Co.

280,018

45,973,355

Jazz

Pharmaceuticals

plc

*

16,320

1,800,749

Johnson

&

Johnson

576,871

81,125,369

Merck

&

Co.,

Inc.

851,987

65,884,155

Pfizer,

Inc.

548,616

17,939,743

Zoetis,

Inc.

218,092

29,887,327

260,365,064

Professional

Services

-

0.6%

CoStar

Group,

Inc.

*

22,785

16,192,616

Robert

Half

International,

Inc.

112,127

5,923,669

Verisk

Analytics,

Inc.

75,313

12,818,273

34,934,558

Road

&

Rail

-

1.4%

JB

Hunt

Transport

Services,

Inc.

91,560

11,018,330

Landstar

System,

Inc.

131,841

14,807,063

Old

Dominion

Freight

Line,

Inc.

304,928

51,712,740

Union

Pacific

Corp.

36,731

6,210,110

83,748,243

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

2.4%

Analog

Devices,

Inc.

25,044

3,071,396

Broadcom,

Inc.

32,808

10,354,533

Intel

Corp.

269,110

16,100,851

Lam

Research

Corp.

19,572

6,330,759

Maxim

Integrated

Products,

Inc.

43,630

2,644,414

Monolithic

Power

Systems,

Inc.

15,625

3,703,125

NVIDIA

Corp.

69,559

26,426,160

Skyworks

Solutions,

Inc.

165,027

21,100,352

Texas

Instruments,

Inc.

324,575

41,211,288

Universal

Display

Corp.

(a)

17,383

2,600,845

Xilinx,

Inc.

74,195

7,300,046

140,843,769

Software

-

4.6%

Adobe,

Inc.

*

124,061

54,004,994

ANSYS,

Inc.

*

46,957

13,698,765

Cadence

Design

Systems,

Inc.

*

142,727

13,696,083

Intuit,

Inc.

224,689

66,550,635

Manhattan

Associates,

Inc.

*

33,515

3,157,113

Microsoft

Corp.

430,351

87,580,732

Oracle

Corp.

61,492

3,398,663

Pegasystems

,

Inc.

21,345

2,159,474

salesforce.com,

Inc.

*

19,828

3,714,379

Synopsys,

Inc.

*

16,359

3,190,005

Zscaler

,

Inc.

*

155,054

16,978,413

268,129,256

Specialty

Retail

-

2.9%

AutoZone,

Inc.

*

4,108

4,634,317

Best

Buy

Co.,

Inc.

200,446

17,492,922

Home

Depot,

Inc.

(The)

321,146

80,450,284

Lowe's

Cos.,

Inc.

211,466

28,573,286

Ross

Stores,

Inc.

255,105

21,745,150

Ulta

Beauty,

Inc.

*

14,971

3,045,401

Williams-Sonoma,

Inc.

150,153

12,314,048

168,255,408

Technology

Hardware,

Storage

&

Peripherals

-

1.0%

Apple,

Inc.

154,403

56,326,214

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Lululemon

Athletica,

Inc.

*

90,544

28,250,633

NIKE,

Inc.,

Class

B

428,411

42,005,699

VF

Corp.

27,454

1,673,047

71,929,379

Thrifts

&

Mortgage

Finance

-

0.0%

(b)

TFS

Financial

Corp.

38,745

554,441

Tobacco

-

0.9%

Altria

Group,

Inc.

620,232

24,344,106

Philip

Morris

International,

Inc.

428,735

30,037,174

54,381,280

87

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$11,486,256.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

0.2%

Fastenal

Co.

80,827

3,462,629

WW

Grainger,

Inc.

17,520

5,504,083

8,966,712

Water

Utilities

-

0.2%

American

Water

Works

Co.,

Inc.

58,709

7,553,500

Essential

Utilities,

Inc.

85,894

3,628,163

11,181,663

Wireless

Telecommunication

Services

-

1.4%

T-Mobile

US,

Inc.

*

798,420

83,155,443

TOTAL

COMMON

STOCKS

(Cost

$4,740,580,246)

5,562,897,979

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(b)

Wireless

Telecommunication

Services

-

0.0%

(b)

T-Mobile

US,

Inc.,

expiring

7/27/2020

*

(Cost

$836,477)

174,266

29,277

SHARES

SHORT-TERM

INVESTMENTS

-

5.0%

INVESTMENT

COMPANIES

-

5.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)(d)

(Cost

$292,066,690)

292,069,289

292,127,703

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(c)(e)

2,949,858

2,949,858

Limited

Purpose

Cash

Investment

Fund

0.34%

(c)(d)(e)

8,774,602

8,776,357

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$11,724,460)

11,726,215

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.5%

(Cost

$5,045,207,873)

5,866,781,174

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.5)%

(f)

(31,213,352)

NET

ASSETS

-

100.0%

5,835,567,822

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

405,894,357

7.0

%

Consumer

Discretionary

462,855,782

7.9

Consumer

Staples

959,272,838

16.4

Financials

735,476,524

12.6

Health

Care

806,935,044

13.8

Industrials

508,919,115

8.7

Information

Technology

926,131,903

15.9

Materials

238,558,275

4.1

Real

Estate

96,973,734

1.7

Utilities

421,909,684

7.2

Short-Term

Investments

292,127,703

5.0

Securities

Lending

Collateral

11,726,215

0.2

Total

Investments

In

Securities

At

Value

5,866,781,174

100.5

Liabilities

in

Excess

of

Other

Assets

(f)

(31,213,352)

(0.5)

Net

Assets

$

5,835,567,822

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

88

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

Affiliate

Value

At

9/30/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

5.0%

INVESTMENT

COMPANIES

-

5.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(a)

(Cost

$292,066,690)

$183,525,144

$2,549,940,384

$(2,441,379,000)

$(2,824)

$43,999

$292,127,703

292,069,289

$2,220,061

$–

SECURITIES

LENDING

COLLATERAL

-

0.2%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(a)(b)

(Cost

$8,774,602)

$39,755,381

$108,851,314

$(139,831,525)

$3,407

$(2,220)

$8,776,357

8,774,602

$–

$–

TOTAL

$583

$41,779

$300,904,060

$2,220,061

$–

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(b)

Securities

Lending

income

from

affiliated

issuers

amounted

to

$106,094

for

period

ended

June

30,

2020.

All

securities

are

Level

1

with

respect

to

ASC

820.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

1,710

9/2020

USD

$

264,212,100

$

5,312,072

$

5,312,072

89

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

97.4%

Australia

-

7.7%

AGL

Energy

Ltd.

194,584

2,301,961

Aristocrat

Leisure

Ltd.

13,769

246,555

AusNet

Services

89,317

103,195

BlueScope

Steel

Ltd.

25,125

206,976

Brambles

Ltd.

34,862

264,337

Coca-Cola

Amatil

Ltd.

67,390

405,921

Cochlear

Ltd.

9,344

1,226,765

Crown

Resorts

Ltd.

45,154

304,179

CSL

Ltd.

4,055

806,495

Fortescue

Metals

Group

Ltd.

54,510

529,929

Insurance

Australia

Group

Ltd.

21,701

87,094

REA

Group

Ltd.

8,600

648,040

Sonic

Healthcare

Ltd.

29,156

615,682

Tabcorp

Holdings

Ltd.

56,785

133,936

Telstra

Corp.

Ltd.

1,077,451

2,338,747

Treasury

Wine

Estates

Ltd.

8,719

63,438

Washington

H

Soul

Pattinson

&

Co.

Ltd.

29,031

394,323

Wesfarmers

Ltd.

35,699

1,109,960

Woolworths

Group

Ltd.

104,805

2,701,535

14,489,068

—

Austria

-

0.4%

Erste

Group

Bank

AG

27,958

660,305

Belgium

-

1.7%

Ageas

SA/NV

9,294

329,377

Colruyt

SA

25,380

1,394,872

Groupe

Bruxelles

Lambert

SA

7,339

614,715

KBC

Group

NV

8,606

494,425

Proximus

SADP

9,515

193,888

UCB

SA

1,727

200,412

3,227,689

—

Brazil

-

0.2%

Wheaton

Precious

Metals

Corp.

(1)

7,531

331,229

Canada

-

7.1%

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

30,946

970,368

Atco

Ltd.,

Class

I

(1)

2,517

74,661

Bank

of

Montreal

(1)

1,972

104,962

Bank

of

Nova

Scotia

(The)

(1)

5,419

224,248

BCE,

Inc.

(1)

44,461

1,854,288

Canadian

Imperial

Bank

of

Commerce

(1)

4,856

324,568

Canadian

National

Railway

Co.

(1)

8,138

719,988

Canadian

Pacific

Railway

Ltd.

(1)

2,523

641,752

Canadian

Utilities

Ltd.,

Class

A

(1)

22,858

569,093

CI

Financial

Corp.

(1)

37,802

480,878

Empire

Co.

Ltd.,

Class

A

(1)

24,252

580,755

Fortis,

Inc.

(1)

2,381

90,550

George

Weston

Ltd.

(1)

1,315

96,329

Hydro

One

Ltd.

(1)(a)

101,830

1,914,938

Imperial

Oil

Ltd.

(1)

23,177

372,853

Intact

Financial

Corp.

(1)

12,148

1,156,190

Loblaw

Cos.

Ltd.

(1)

11,024

536,827

Magna

International,

Inc.

(1)

15,184

676,211

Manulife

Financial

Corp.

(1)

21,213

288,601

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.1%

(continued)

Rogers

Communications,

Inc.,

Class

B

(1)

10,711

430,381

Royal

Bank

of

Canada

(1)

6,459

438,228

Saputo,

Inc.

(1)

2,285

54,483

Shaw

Communications,

Inc.,

Class

B

(1)

26,354

429,786

Sun

Life

Financial,

Inc.

(1)

4,802

176,467

Thomson

Reuters

Corp.

(1)

1,104

75,010

Toronto-Dominion

Bank

(The)

(1)

2,713

121,082

13,403,497

—

China

-

0.7%

BOC

Hong

Kong

Holdings

Ltd.

93,000

297,776

Budweiser

Brewing

Co.

APAC

Ltd.

(a)

20,400

59,720

Wilmar

International

Ltd.

290,100

858,049

Yangzijiang

Shipbuilding

Holdings

Ltd.

256,700

172,809

1,388,354

—

Denmark

-

4.0%

Carlsberg

A/S,

Class

B

1,027

136,189

Coloplast

A/S,

Class

B

12,676

1,975,782

Danske

Bank

A/S

*

75,624

1,010,976

DSV

Panalpina

A/S

2,231

274,045

Novo

Nordisk

A/S,

Class

B

33,152

2,159,777

Novozymes

A/S,

Class

B

14,044

814,214

Orsted

A/S

(a)

8,613

995,567

Pandora

A/S

2,282

124,630

7,491,180

—

Finland

-

2.1%

Elisa

OYJ

11,296

687,380

Fortum

OYJ

8,088

154,304

Kone

OYJ,

Class

B

14,784

1,019,643

Neste

OYJ

21,566

847,028

Nokia

OYJ

134,477

587,647

Orion

OYJ,

Class

B

8,805

426,993

Sampo

OYJ,

Class

A

4,052

139,672

3,862,667

—

France

-

5.8%

Aeroports

de

Paris

488

50,381

Air

Liquide

SA

5,946

859,713

AXA

SA

19,381

407,833

Bouygues

SA

*

6,902

236,425

Danone

SA

7,356

510,603

Dassault

Aviation

SA

*

103

94,502

Dassault

Systemes

SE

4,025

698,712

Electricite

de

France

SA

59,061

549,095

Engie

SA

*

88,296

1,095,041

Hermes

International

1,908

1,601,972

L'Oreal

SA

8,322

2,685,899

Natixis

SA

*

22,284

58,775

Pernod

Ricard

SA

849

133,689

Peugeot

SA

*

13,817

226,587

Sanofi

3,618

368,981

Sodexo

SA

766

51,941

Suez

SA

46,718

549,105

90

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

5.8%

(continued)

Worldline

SA

*(a)

8,446

736,402

10,915,656

—

Germany

-

4.3%

adidas

AG

*

883

232,805

Allianz

SE

(Registered)

5,129

1,048,072

BASF

SE

5,772

324,209

Beiersdorf

AG

6,840

777,806

Carl

Zeiss

Meditec

AG

969

94,354

Commerzbank

AG

*

78,416

349,489

Evonik

Industries

AG

4,769

121,467

FUCHS

PETROLUB

SE

(Preference)

7,686

308,930

Hannover

Rueck

SE

1,051

181,638

HeidelbergCement

AG

1,717

91,914

Henkel

AG

&

Co.

KGaA

(Preference)

9,820

916,144

Infineon

Technologies

AG

7,378

172,883

KION

Group

AG

1,830

112,673

METRO

AG

9,281

88,078

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

331

86,191

SAP

SE

6,278

877,599

Siemens

Healthineers

AG

(a)

12,718

611,331

Telefonica

Deutschland

Holding

AG

363,114

1,070,891

Uniper

SE

12,847

414,561

Volkswagen

AG

(Preference)

1,420

215,840

8,096,875

—

Hong

Kong

-

3.8%

CLP

Holdings

Ltd.

144,000

1,414,259

Hang

Seng

Bank

Ltd.

15,900

267,792

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(b)

1,379,500

1,432,872

Hong

Kong

&

China

Gas

Co.

Ltd.

769,036

1,195,212

MTR

Corp.

Ltd.

149,500

777,512

Power

Assets

Holdings

Ltd.

363,500

1,986,187

7,073,834

—

Italy

-

0.7%

Assicurazioni

Generali

SpA

21,820

331,452

DiaSorin

SpA

667

128,094

Enel

SpA

84,730

732,783

Leonardo

SpA

18,720

124,794

1,317,123

—

Japan

-

33.6%

ABC-Mart,

Inc.

17,800

1,044,209

Ajinomoto

Co.,

Inc.

4,500

74,677

Amada

Co.

Ltd.

22,000

180,133

Asahi

Group

Holdings

Ltd.

7,100

249,368

Asahi

Kasei

Corp.

17,500

143,251

Astellas

Pharma,

Inc.

91,100

1,521,330

Bandai

Namco

Holdings,

Inc.

15,500

815,890

Bridgestone

Corp.

23,400

755,246

Calbee

,

Inc.

67,900

1,876,732

Canon,

Inc.

26,100

520,644

Casio

Computer

Co.

Ltd.

8,400

146,543

Central

Japan

Railway

Co.

1,000

154,658

INVESTMENTS

SHARES

VALUE

($)

Japan

-

33.6%

(continued)

Chiba

Bank

Ltd.

(The)

21,300

100,701

Chugai

Pharmaceutical

Co.

Ltd.

23,400

1,252,836

Chugoku

Electric

Power

Co.,

Inc.

(The)

11,900

158,651

Daicel

Corp.

23,100

179,033

East

Japan

Railway

Co.

4,000

277,181

Eisai

Co.

Ltd.

10,600

842,159

Fast

Retailing

Co.

Ltd.

1,800

1,034,590

FUJIFILM

Holdings

Corp.

20,000

856,034

Fujitsu

Ltd.

900

105,375

Hakuhodo

DY

Holdings,

Inc.

16,400

195,733

Hamamatsu

Photonics

KK

10,300

448,511

Hisamitsu

Pharmaceutical

Co.,

Inc.

7,400

400,013

Hoshizaki

Corp.

4,600

394,269

Hoya

Corp.

21,100

2,020,515

ITOCHU

Corp.

22,500

486,851

Japan

Post

Bank

Co.

Ltd.

91,800

682,737

Japan

Post

Holdings

Co.

Ltd.

34,100

243,361

Japan

Tobacco,

Inc.

50,200

932,352

JGC

Holdings

Corp.

19,900

209,844

Kakaku.com,

Inc.

7,400

188,509

Kamigumi

Co.

Ltd.

27,000

530,995

Kansai

Paint

Co.

Ltd.

7,500

158,488

Kao

Corp.

15,900

1,261,789

KDDI

Corp.

80,800

2,410,841

Keyence

Corp.

1,300

544,780

Kikkoman

Corp.

2,500

120,744

Kirin

Holdings

Co.

Ltd.

24,500

516,454

Kose

Corp.

1,800

217,885

Kubota

Corp.

8,500

127,149

Kyocera

Corp.

6,000

327,507

Kyushu

Railway

Co.

24,600

639,200

Lawson,

Inc.

7,100

357,134

Lion

Corp.

2,900

69,750

Makita

Corp.

3,500

127,276

Maruichi

Steel

Tube

Ltd.

3,400

84,746

McDonald's

Holdings

Co.

Japan

Ltd.

(c)

12,900

697,213

Medipal

Holdings

Corp.

33,900

654,291

MEIJI

Holdings

Co.

Ltd.

4,700

374,008

Mitsubishi

Chemical

Holdings

Corp.

13,900

81,060

Mitsubishi

Corp.

19,800

418,408

Mitsubishi

Electric

Corp.

6,100

79,674

Mitsubishi

Heavy

Industries

Ltd.

3,900

92,079

Mitsubishi

UFJ

Financial

Group,

Inc.

49,700

195,596

Mitsui

&

Co.

Ltd.

28,300

419,310

Mizuho

Financial

Group,

Inc.

1,143,400

1,406,433

Murata

Manufacturing

Co.

Ltd.

1,500

88,423

Nexon

Co.

Ltd.

61,500

1,387,220

NH

Foods

Ltd.

2,100

84,505

Nintendo

Co.

Ltd.

2,300

1,028,258

Nippon

Paint

Holdings

Co.

Ltd.

1,100

80,231

Nippon

Telegraph

&

Telephone

Corp.

72,200

1,682,220

Nissan

Motor

Co.

Ltd.

18,200

67,494

Nisshin

Seifun

Group,

Inc.

15,000

223,974

Nissin

Foods

Holdings

Co.

Ltd.

7,700

682,219

Nitori

Holdings

Co.

Ltd.

2,100

411,745

Nitto

Denko

Corp.

12,800

725,634

91

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

33.6%

(continued)

Nomura

Research

Institute

Ltd.

20,761

567,040

Obic

Co.

Ltd.

500

88,119

Omron

Corp.

12,600

843,926

Ono

Pharmaceutical

Co.

Ltd.

5,800

169,282

Oracle

Corp.

Japan

7,300

865,873

Osaka

Gas

Co.

Ltd.

75,500

1,492,406

Otsuka

Corp.

11,800

623,225

Otsuka

Holdings

Co.

Ltd.

4,800

209,193

PeptiDream

,

Inc.

*

1,800

82,936

Pola

Orbis

Holdings,

Inc.

6,700

116,972

Recruit

Holdings

Co.

Ltd.

23,300

801,292

Renesas

Electronics

Corp.

*

110,800

569,557

Resona

Holdings,

Inc.

24,100

82,468

Rinnai

Corp.

12,100

1,013,292

Ryohin

Keikaku

Co.

Ltd.

4,000

56,894

Secom

Co.

Ltd.

9,300

816,007

Sekisui

Chemical

Co.

Ltd.

20,500

293,719

Sekisui

House

Ltd.

5,600

106,916

Seven

&

i

Holdings

Co.

Ltd.

54,500

1,782,887

Shimamura

Co.

Ltd.

2,200

149,011

Shin-Etsu

Chemical

Co.

Ltd.

600

70,417

Shionogi

&

Co.

Ltd.

16,400

1,028,828

Shizuoka

Bank

Ltd.

(The)

76,700

493,413

SMC

Corp.

500

256,961

Softbank

Corp.

148,800

1,896,640

Square

Enix

Holdings

Co.

Ltd.

2,000

101,328

Stanley

Electric

Co.

Ltd.

11,100

268,704

Sumitomo

Dainippon

Pharma

Co.

Ltd.

13,100

181,535

Sumitomo

Mitsui

Financial

Group,

Inc.

8,300

234,241

Sundrug

Co.

Ltd.

33,700

1,115,326

Suntory

Beverage

&

Food

Ltd.

38,600

1,506,104

Suzuken

Co.

Ltd.

1,800

67,247

Suzuki

Motor

Corp.

5,000

170,731

Sysmex

Corp.

11,500

882,759

T&D

Holdings,

Inc.

45,500

390,809

TIS,

Inc.

40,700

861,725

Toho

Gas

Co.

Ltd.

18,800

939,672

Tohoku

Electric

Power

Co.,

Inc.

5,900

56,048

Tokio

Marine

Holdings,

Inc.

6,400

280,147

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

22,200

68,291

Tokyo

Gas

Co.

Ltd.

33,400

799,750

Toray

Industries,

Inc.

16,200

76,464

Toyo

Suisan

Kaisha

Ltd.

37,000

2,067,334

Toyota

Motor

Corp.

3,800

238,960

Unicharm

Corp.

3,600

147,645

USS

Co.

Ltd.

26,800

429,614

Welcia

Holdings

Co.

Ltd.

1,100

88,866

West

Japan

Railway

Co.

1,000

56,089

Yamada

Denki

Co.

Ltd.

84,200

417,666

62,790,998

—

Macau

-

0.6%

Galaxy

Entertainment

Group

Ltd.

88,000

603,658

Sands

China

Ltd.

118,400

466,406

1,070,064

—

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

1.6%

Adyen

NV

*(a)

138

201,066

Akzo

Nobel

NV

3,675

330,164

ASML

Holding

NV

2,274

831,859

Koninklijke

Ahold

Delhaize

NV

41,543

1,132,216

Randstad

NV

*

9,935

444,244

2,939,549

—

Norway

-

1.5%

Gjensidige

Forsikring

ASA

*

32,786

605,760

Mowi

ASA

30,849

588,033

Orkla

ASA

66,777

586,275

Telenor

ASA

58,817

858,780

Yara

International

ASA

2,554

89,038

2,727,886

—

Portugal

-

0.0%

(d)

Galp

Energia

SGPS

SA

5,491

63,696

Singapore

-

2.9%

DBS

Group

Holdings

Ltd.

64,400

969,016

Genting

Singapore

Ltd.

1,095,500

602,714

Oversea-Chinese

Banking

Corp.

Ltd.

271,600

1,770,232

Singapore

Airlines

Ltd.

29,900

80,707

Singapore

Telecommunications

Ltd.

640,700

1,139,740

United

Overseas

Bank

Ltd.

55,000

803,653

5,366,062

—

Spain

-

1.6%

Endesa

SA

12,814

317,867

Iberdrola

SA

72,838

850,361

Industria

de

Diseno

Textil

SA

23,273

617,513

Mapfre

SA

116,563

208,145

Red

Electrica

Corp.

SA

54,683

1,023,095

3,016,981

—

Sweden

-

3.5%

Atlas

Copco

AB,

Class

A

8,423

358,697

Essity

AB,

Class

B

*

42,489

1,377,552

Hennes

&

Mauritz

AB,

Class

B

41,002

598,477

ICA

Gruppen

AB

8,002

380,372

Investor

AB,

Class

B

5,796

307,466

L

E

Lundbergforetagen

AB,

Class

B

*

7,867

358,607

Securitas

AB,

Class

B

*

32,184

435,199

Skandinaviska

Enskilda

Banken

AB,

Class

A

*

18,683

162,179

Skanska

AB,

Class

B

*

34,046

695,058

Swedish

Match

AB

10,408

734,343

Tele2

AB,

Class

B

22,824

303,830

Telia

Co.

AB

131,737

492,855

Volvo

AB,

Class

B

*

28,812

453,354

6,657,989

—

Switzerland

-

6.6%

Alcon,

Inc.

*

2,131

122,446

Chocoladefabriken

Lindt

&

Spruengli

AG

35

289,077

Coca-Cola

HBC

AG

16,132

403,834

Credit

Suisse

Group

AG

(Registered)

39,015

405,946

92

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

6.6%

(continued)

EMS-

Chemie

Holding

AG

(Registered)

590

458,373

Geberit

AG

(Registered)

400

200,694

Kuehne

+

Nagel

International

AG

(Registered)

*

4,123

686,762

LafargeHolcim

Ltd.

(Registered)

*

4,636

204,244

Nestle

SA

(Registered)

18,834

2,088,137

Novartis

AG

(Registered)

10,651

927,926

Partners

Group

Holding

AG

250

227,673

Roche

Holding

AG

6,405

2,219,010

Schindler

Holding

AG

2,064

488,464

SGS

SA

(Registered)

469

1,148,884

Sika

AG

(Registered)

1,361

262,363

Sonova

Holding

AG

(Registered)

*

4,394

879,570

Swatch

Group

AG

(The)

414

83,095

Swiss

Life

Holding

AG

(Registered)

1,252

465,768

Swisscom

AG

(Registered)

721

378,093

UBS

Group

AG

(Registered)

24,188

279,349

Zurich

Insurance

Group

AG

603

213,661

12,433,369

—

United

Kingdom

-

6.9%

Admiral

Group

plc

18,946

537,289

Associated

British

Foods

plc

26,410

624,443

AstraZeneca

plc

6,746

702,086

Aviva

plc

105,018

355,945

Barclays

plc

362,575

511,520

Barratt

Developments

plc

47,208

290,147

Berkeley

Group

Holdings

plc

3,408

175,513

British

American

Tobacco

plc

7,976

305,902

Burberry

Group

plc

5,146

101,685

Diageo

plc

41,987

1,395,536

Direct

Line

Insurance

Group

plc

351,389

1,178,227

GlaxoSmithKline

plc

17,766

358,868

HSBC

Holdings

plc

79,354

368,805

Imperial

Brands

plc

2,846

54,178

ITV

plc

238,419

220,354

J

Sainsbury

plc

169,635

439,008

Kingfisher

plc

97,639

268,623

Legal

&

General

Group

plc

137,036

373,594

Mondi

plc

24,674

461,527

National

Grid

plc

71,175

868,363

Next

plc

4,760

288,194

Persimmon

plc

19,831

561,248

Reckitt

Benckiser

Group

plc

4,657

428,437

Sage

Group

plc

(The)

16,178

134,293

Smith

&

Nephew

plc

27,031

503,686

Taylor

Wimpey

plc

597,974

1,055,429

Tesco

plc

141,477

397,927

12,960,827

—

United

States

-

0.1%

Ferguson

plc

3,146

257,238

TOTAL

COMMON

STOCKS

(Cost

$164,187,205)

182,542,136

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.7%

INVESTMENT

COMPANIES

-

1.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(e)

(Cost

$3,263,754)

3,263,754

3,264,406

SECURITIES

LENDING

COLLATERAL

-

0.3%

Investment

Companies

-

0.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(e)(f)

157,056

157,056

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(e)(f)

467,177

467,271

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$624,233)

624,327

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.4%

(Cost

$168,075,192)

186,430,869

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.6%

(g)

1,121,281

NET

ASSETS

-

100.0%

187,552,150

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

19,937,803

10.6

%

Consumer

Discretionary

18,755,755

10.0

Consumer

Staples

38,062,702

20.3

Energy

1,677,900

0.9

Financials

23,893,547

12.8

Health

Care

23,641,181

12.6

Industrials

15,880,549

8.5

Information

Technology

11,551,198

6.2

Materials

6,993,615

3.7

Utilities

22,147,886

11.8

Short-Term

Investments

3,264,406

1.7

Securities

Lending

Collateral

624,327

0.3

Total

Investments

In

Securities

At

Value

186,430,869

99.4

Other

Assets

in

Excess

of

Liabilities

(g

)

1,121,281

0.6

Net

Assets

$

187,552,150

100.0%

93

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$4,519,024,

which

represents

approximately

2.41%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$1,432,872

or

0.76%

of

net

assets.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$594,042.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

34

9/2020

USD

$

3,023,280

$

(48,351)

$

(48,351)

94

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

97.7%

Brazil

-

0.5%

Atacadao

SA

(1)*

9,700

35,229

Telefonica

Brasil

SA,

ADR

(1)

1,476

13,077

48,306

—

China

-

30.5%

Agricultural

Bank

of

China

Ltd.,

Class

H

*

166,000

67,188

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

25,500

172,791

Bank

of

Beijing

Co.

Ltd.,

Class

A

6,117

4,248

Bank

of

China

Ltd.,

Class

H

*

168,000

62,233

Bank

of

Communications

Co.

Ltd.,

Class

H

*

9,000

5,573

Beijing

Capital

International

Airport

Co.

Ltd.,

Class

H

10,000

6,258

Beijing

Enterprises

Holdings

Ltd.

8,000

26,865

China

CITIC

Bank

Corp.

Ltd.,

Class

H

17,000

7,450

China

Conch

Venture

Holdings

Ltd.

3,000

12,733

China

Construction

Bank

Corp.,

Class

H

174,000

141,528

China

Everbright

Bank

Co.

Ltd.,

Class

H

29,000

10,950

China

Galaxy

Securities

Co.

Ltd.,

Class

H

*

21,000

11,432

China

Gas

Holdings

Ltd.

1,800

5,576

China

Longyuan

Power

Group

Corp.

Ltd.,

Class

H

6,000

3,383

China

Medical

System

Holdings

Ltd.

8,000

9,461

China

Mengniu

Dairy

Co.

Ltd.

*

25,000

95,865

China

Merchants

Bank

Co.

Ltd.,

Class

H

11,000

50,976

China

Minsheng

Banking

Corp.

Ltd.,

Class

H

*

29,500

20,307

China

Mobile

Ltd.

12,000

81,025

China

Railway

Signal

&

Communication

Corp.

Ltd.,

Class

H

(a)

55,000

23,752

China

Resources

Beer

Holdings

Co.

Ltd.

8,000

44,656

China

Resources

Cement

Holdings

Ltd.

4,000

4,933

China

Resources

Gas

Group

Ltd.

26,000

127,213

China

Shenhua

Energy

Co.

Ltd.,

Class

H

11,500

17,848

China

Telecom

Corp.

Ltd.,

Class

H

168,000

47,191

China

Traditional

Chinese

Medicine

Holdings

Co.

Ltd.

132,000

63,856

China

United

Network

Communications

Ltd.,

Class

A

64,800

44,573

China

Yangtze

Power

Co.

Ltd.,

Class

A

8,229

22,106

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

193,000

76,327

CSPC

Pharmaceutical

Group

Ltd.

43,200

81,816

Dali

Foods

Group

Co.

Ltd.

(a)

149,000

90,811

ENN

Energy

Holdings

Ltd.

3,700

41,812

INVESTMENTS

SHARES

VALUE

($)

China

-

30.5%

(continued)

Fuyao

Glass

Industry

Group

Co.

Ltd.,

Class

H

*(a)

2,000

4,789

GF

Securities

Co.

Ltd.,

Class

H

34,400

37,049

Guangdong

Investment

Ltd.

94,000

162,139

Haier

Electronics

Group

Co.

Ltd.

1,000

3,045

Hansoh

Pharmaceutical

Group

Co.

Ltd.

*(a)

30,000

141,881

Hengan

International

Group

Co.

Ltd.

1,000

7,871

Huatai

Securities

Co.

Ltd.,

Class

H

(a)

3,600

5,763

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

215,000

129,981

Jiangsu

Expressway

Co.

Ltd.,

Class

H

46,000

54,065

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

5,160

67,469

Kingdee

International

Software

Group

Co.

Ltd.

*

31,000

72,536

Kweichow

Moutai

Co.

Ltd.,

Class

A

749

155,618

Luzhou

Laojiao

Co.

Ltd.,

Class

A

6,100

78,969

Postal

Savings

Bank

of

China

Co.

Ltd.,

Class

H

(a)

89,000

51,284

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

32,000

71,451

Shanghai

Fosun

Pharmaceutical

Group

Co.

Ltd.,

Class

H

1,500

5,029

Shanghai

Pharmaceuticals

Holding

Co.

Ltd.,

Class

H

36,700

61,679

Shenzhen

International

Holdings

Ltd.

4,500

7,203

Sinotruk

Hong

Kong

Ltd.

2,000

5,220

Tencent

Holdings

Ltd.

1,800

115,340

Tsingtao

Brewery

Co.

Ltd.,

Class

H

4,000

29,853

Uni

-President

China

Holdings

Ltd.

58,000

58,018

Want

Want

China

Holdings

Ltd.

7,000

5,317

Wuliangye

Yibin

Co.

Ltd.,

Class

A

4,200

102,097

Yihai

International

Holding

Ltd.

*

5,000

51,525

2,967,927

—

Hong

Kong

-

0.1%

Sino

Biopharmaceutical

Ltd.

3,000

5,654

India

-

8.7%

Ambuja

Cements

Ltd.

39,969

102,470

Asian

Paints

Ltd.

1,335

29,847

Cipla

Ltd.

565

4,792

Colgate-Palmolive

India

Ltd.

2,746

51,224

Dabur

India

Ltd.

10,278

63,481

Divi's

Laboratories

Ltd.

517

15,615

Dr

Reddy's

Laboratories

Ltd.

1,057

55,365

HDFC

Asset

Management

Co.

Ltd.

(a)

1,409

46,382

Hindustan

Unilever

Ltd.

5,052

146,056

Infosys

Ltd.,

ADR

(1)

3,819

36,892

ITC

Ltd.

*

37,624

97,149

Nestle

India

Ltd.

192

43,595

Pidilite

Industries

Ltd.

1,018

18,499

Shree

Cement

Ltd.

162

49,529

Tata

Consultancy

Services

Ltd.

2,477

68,186

95

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

India

-

8.7%

(continued)

United

Spirits

Ltd.

*

2,043

16,027

845,109

—

Indonesia

-

0.6%

Hanjaya

Mandala

Sampoerna

Tbk

.

PT

535,400

62,161

Malaysia

-

6.6%

DiGi.Com

Bhd.

12,400

12,511

Hartalega

Holdings

Bhd.

25,600

78,088

Hong

Leong

Bank

Bhd.

1,400

4,622

IHH

Healthcare

Bhd.

12,200

15,727

Malayan

Banking

Bhd.

42,000

73,798

MISC

Bhd.

7,300

13,078

Nestle

Malaysia

Bhd.

4,900

160,154

Petronas

Gas

Bhd.

27,100

107,265

PPB

Group

Bhd.

24,900

103,633

Telekom

Malaysia

Bhd.

9,600

9,325

Tenaga

Nasional

Bhd.

18,200

49,488

Westports

Holdings

Bhd.

17,200

15,266

642,955

—

Mexico

-

2.4%

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

4,322

54,846

Arca

Continental

SAB

de

CV

(1)

14,700

64,436

Promotora

y

Operadora

de

Infraestructura

SAB

de

CV

(1)*

2,440

17,576

Wal-Mart

de

Mexico

SAB

de

CV

(1)

39,500

94,778

231,636

—

Poland

-

2.8%

CD

Projekt

SA

*

250

25,193

Cyfrowy

Polsat

SA

*

19,364

129,384

Dino

Polska

SA

*(a)

872

44,418

Orange

Polska

SA

*

13,850

21,904

Polski

Koncern

Naftowy

ORLEN

SA

2,271

36,090

Powszechny

Zaklad

Ubezpieczen

SA

1,655

12,180

269,169

—

Russia

-

2.5%

Mobile

TeleSystems

PJSC,

ADR

(1)

3,689

33,902

Novolipetsk

Steel

PJSC,

GDR

(b)

855

17,018

PhosAgro

PJSC,

GDR

(b)

10,145

125,290

Severstal

PAO,

GDR

(b)

5,294

64,066

240,276

—

Saudi

Arabia

-

6.2%

Advanced

Petrochemical

Co.

6,903

98,425

Al

Rajhi

Bank

9,262

140,046

Arab

National

Bank

3,880

19,756

Banque

Saudi

Fransi

393

3,002

Bupa

Arabia

for

Cooperative

Insurance

Co.

980

28,543

Jarir

Marketing

Co.

1,687

66,131

National

Commercial

Bank

3,275

32,660

Riyad

Bank

2,005

9,040

Saudi

Arabian

Fertilizer

Co.

1,148

22,863

Saudi

Cement

Co.

2,780

39,343

INVESTMENTS

SHARES

VALUE

($)

Saudi

Arabia

-

6.2%

(continued)

Saudi

Telecom

Co.

5,381

142,559

602,368

—

South

Africa

-

1.3%

Clicks

Group

Ltd.

3,333

40,465

Kumba

Iron

Ore

Ltd.

2,189

58,536

SPAR

Group

Ltd.

(The)

488

4,828

Vodacom

Group

Ltd.

2,661

18,881

122,710

—

South

Korea

-

11.8%

Amorepacific

Corp.

636

88,962

BGF

retail

Co.

Ltd.

617

71,521

Celltrion

,

Inc.

*

68

17,404

CJ

Logistics

Corp.

*

25

3,295

Kia

Motors

Corp.

527

14,241

Korea

Zinc

Co.

Ltd.

40

11,208

KT&G

Corp.

1,500

97,960

LG

Household

&

Health

Care

Ltd.

56

62,765

LG

Uplus

Corp.

6,578

67,222

NAVER

Corp.

262

58,946

NCSoft

Corp.

158

117,540

Netmarble

Corp.

*(a)

484

40,567

Orion

Corp.

627

70,193

Pearl

Abyss

Corp.

*

261

47,486

POSCO

294

42,823

S-1

Corp.

98

7,023

Samsung

Biologics

Co.

Ltd.

*(a)

61

39,574

Samsung

Electronics

Co.

Ltd.

3,191

141,257

Samsung

SDS

Co.

Ltd.

216

30,553

SK

Telecom

Co.

Ltd.

310

54,597

Yuhan

Corp.

1,380

58,465

1,143,602

—

Taiwan

-

17.0%

Advantech

Co.

Ltd.

7,998

80,490

Asustek

Computer,

Inc.

6,000

44,084

Cathay

Financial

Holding

Co.

Ltd.

94,000

133,714

Chang

Hwa

Commercial

Bank

Ltd.

120,212

79,092

Chicony

Electronics

Co.

Ltd.

21,000

60,870

China

Steel

Corp.

58,000

40,846

Chunghwa

Telecom

Co.

Ltd.

37,600

149,326

CTBC

Financial

Holding

Co.

Ltd.

30,000

20,791

Far

EasTone

Telecommunications

Co.

Ltd.

9,000

20,779

First

Financial

Holding

Co.

Ltd.

55,197

42,554

Hon

Hai

Precision

Industry

Co.

Ltd.

12,000

35,234

Hua

Nan

Financial

Holdings

Co.

Ltd.

84,582

57,568

Lite-On

Technology

Corp.

8,000

12,597

Mega

Financial

Holding

Co.

Ltd.

136,000

142,956

Micro-Star

International

Co.

Ltd.

2,000

7,322

Novatek

Microelectronics

Corp.

6,000

46,630

President

Chain

Store

Corp.

13,000

130,776

SinoPac

Financial

Holdings

Co.

Ltd.

53,000

19,590

Standard

Foods

Corp.

42,000

89,904

Synnex

Technology

International

Corp.

61,000

86,423

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

170,481

120,346

96

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Taiwan

-

17.0%

(continued)

Taiwan

Mobile

Co.

Ltd.

27,000

101,255

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

2,240

127,165

1,650,312

—

Thailand

-

3.8%

Advanced

Info

Service

PCL,

NVDR

8,100

48,748

Airports

of

Thailand

PCL,

NVDR

44,200

87,015

Bangkok

Dusit

Medical

Services

PCL,

NVDR

150,400

109,615

CP

ALL

PCL,

NVDR

*

3,300

7,273

Intouch

Holdings

PCL,

NVDR

61,700

112,903

Kasikornbank

PCL,

NVDR

900

2,730

368,284

—

Turkey

-

2.9%

Akbank

T.A.S.

*

68,870

61,240

Anadolu

Efes

Biracilik

ve

Malt

Sanayii

A/S

9,967

31,003

Aselsan

Elektronik

Sanayi

ve

Ticaret

A/S

713

3,366

BIM

Birlesik

Magazalar

A/S

12,434

123,278

Eregli

Demir

ve

Celik

Fabrikalari

TAS

18,183

22,778

Haci

Omer

Sabanci

Holding

A/S

10,694

14,400

Turkcell

Iletisim

Hizmetleri

A/S

5,497

13,105

Turkiye

Garanti

Bankasi

A/S

*

13,304

16,404

285,574

—

TOTAL

COMMON

STOCKS

(Cost

$8,361,128)

9,486,043

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

(c)

India

-

0.0%

(c)

Britannia

Industries

Ltd.

8.00%,

8/28/2022

(Cost

$65)

INR

4,670

65

SHARES

SHORT-TERM

INVESTMENTS

-

0.2%

INVESTMENT

COMPANIES

-

0.2%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

(Cost

$22,672)

22,672

22,676

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.9%

(Cost

$8,383,865)

9,508,784

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.1%

(e)

202,600

NET

ASSETS

-

100.0%

9,711,384

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,582,185

16.3

%

Consumer

Discretionary

88,205

0.9

Consumer

Staples

2,521,933

26.0

Energy

53,937

0.5

Financials

1,763,703

18.2

Health

Care

902,943

9.3

Industrials

232,098

2.4

Information

Technology

873,992

9.0

Materials

921,265

9.5

Utilities

545,847

5.6

Short-Term

Investments

22,676

0.2

Total

Investments

In

Securities

At

Value

9,508,784

97.9

Other

Assets

in

Excess

of

Liabilities

(e

)

202,600

2.1

Net

Assets

$

9,711,384

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$489,221,

which

represents

approximately

5.04%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$206,374

or

2.13%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

97

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

3

9/2020

USD

$

147,855

$

159

$

159

98

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

87.2%

Australia

-

2.1%

ASX

Ltd.

891

52,960

Aurizon

Holdings

Ltd.

25,191

85,722

BHP

Group

Ltd.

14,837

369,410

BHP

Group

plc

28,467

582,522

BlueScope

Steel

Ltd.

64,731

533,244

CIMIC

Group

Ltd.

7,876

132,353

Dexus,

REIT

14,068

90,293

Fortescue

Metals

Group

Ltd.

223,924

2,176,916

Glencore

plc

*

67,528

143,848

Goodman

Group,

REIT

25,367

261,743

GPT

Group

(The),

REIT

42,925

124,702

Lendlease

Group

2,927

25,299

Mirvac

Group,

REIT

95,677

144,530

Origin

Energy

Ltd.

20,378

82,923

Rio

Tinto

plc

10,235

575,991

Scentre

Group,

REIT

90,560

137,483

South32

Ltd.

269,903

382,108

Stockland,

REIT

49,658

115,147

Vicinity

Centres,

REIT

97,628

97,853

6,115,047

—

Belgium

-

0.3%

Ageas

SA/NV

20,093

712,090

Galapagos

NV

*

814

160,666

872,756

—

Canada

-

2.3%

Agnico

Eagle

Mines

Ltd.

(1)

4,942

316,447

Barrick

Gold

Corp.

(1)

27,154

730,654

Canadian

Natural

Resources

Ltd.

(1)

10,411

180,597

Cenovus

Energy,

Inc.

(1)

46,583

217,886

CGI,

Inc.

(1)*

7,276

458,394

Constellation

Software,

Inc.

(1)

723

816,352

Cronos

Group,

Inc.

(1)*(a)

13,577

81,806

Great-West

Lifeco,

Inc.

(1)

1,345

23,579

Kinross

Gold

Corp.

(1)*

168,913

1,219,320

Magna

International,

Inc.

(1)

5,706

254,114

Manulife

Financial

Corp.

(1)

36,649

498,606

Onex

Corp.

(1)

4,821

217,790

Open

Text

Corp.

(1)

3,423

145,356

Power

Corp.

of

Canada

(1)

7,139

125,574

RioCan,

REIT

(1)

11,451

129,558

Shopify,

Inc.,

Class

A

(1)*

488

463,618

Teck

Resources

Ltd.,

Class

B

(1)

83,744

877,165

Yamana

Gold,

Inc.

(1)

29,100

158,189

6,915,005

—

Chile

-

0.0%

(b)

Antofagasta

plc

9,912

114,725

China

-

0.3%

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,408,700

948,328

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

0.8%

Danske

Bank

A/S

*

5,712

76,361

H

Lundbeck

A/S

4,781

180,647

Pandora

A/S

36,745

2,006,809

2,263,817

—

Finland

-

0.5%

Kone

OYJ,

Class

B

7,387

509,478

Nokia

OYJ

47,491

207,529

Orion

OYJ,

Class

B

5,811

281,801

UPM-Kymmene

OYJ

7,558

218,915

Wartsila

OYJ

Abp

24,006

199,131

1,416,854

—

France

-

2.5%

Atos

SE

*

3,341

286,434

BNP

Paribas

SA

*

9,012

360,066

Bouygues

SA

*

3,988

136,607

Capgemini

SE

1,616

186,489

Cie

de

Saint-Gobain

*

30,204

1,089,790

CNP

Assurances

*

18,729

217,227

Electricite

de

France

SA

66,969

622,616

Engie

SA

*

52,220

647,629

Orange

SA

12,014

143,663

Peugeot

SA

*

145,987

2,394,061

Publicis

Groupe

SA

3,716

120,714

Sanofi

4,518

460,767

Schneider

Electric

SE

5,617

624,817

Societe

Generale

SA

*

5,908

98,780

Unibail-Rodamco-Westfield,

REIT

(a)

2,005

113,015

7,502,675

—

Germany

-

2.2%

Allianz

SE

(Registered)

3,109

635,301

Bayer

AG

(Registered)

37,732

2,796,831

Commerzbank

AG

*

19,998

89,128

Deutsche

Post

AG

(Registered)

12,647

464,396

Fresenius

Medical

Care

AG

&

Co.

KGaA

5,785

497,683

Fresenius

SE

&

Co.

KGaA

1,365

67,844

HeidelbergCement

AG

5,655

302,722

HOCHTIEF

AG

8,051

716,374

KION

Group

AG

4,332

266,721

Porsche

Automobil

Holding

SE

(Preference)

*

865

50,100

Volkswagen

AG

(Preference)

2,915

443,080

Wirecard

AG

*

1,834

13,608

6,343,788

—

Hong

Kong

-

1.4%

CK

Asset

Holdings

Ltd.

220,500

1,322,294

CK

Infrastructure

Holdings

Ltd.

2,749

14,210

CLP

Holdings

Ltd.

8,500

83,481

Henderson

Land

Development

Co.

Ltd.

46,000

175,430

Hong

Kong

Exchanges

&

Clearing

Ltd.

5,269

224,416

Kerry

Properties

Ltd.

140,500

364,967

Link,

REIT

18,329

150,484

New

World

Development

Co.

Ltd.

75,750

359,667

99

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

1.4%

(continued)

PCCW

Ltd.

19,406

11,096

Power

Assets

Holdings

Ltd.

21,500

117,477

Sun

Hung

Kai

Properties

Ltd.

13,500

172,466

WH

Group

Ltd.

(c)

1,190,000

1,028,391

Wheelock

&

Co.

Ltd.

17,000

142,045

4,166,424

—

Italy

-

1.1%

Assicurazioni

Generali

SpA

51,317

779,519

Enel

SpA

8,805

76,150

Intesa

Sanpaolo

SpA

*

711,412

1,367,114

Poste

Italiane

SpA

(c)

34,381

300,326

UniCredit

SpA

*

69,352

640,065

3,163,174

—

Japan

-

6.2%

Aeon

Mall

Co.

Ltd.

700

9,302

Alfresa

Holdings

Corp.

4,700

98,518

Astellas

Pharma,

Inc.

71,800

1,199,029

Dai-ichi

Life

Holdings,

Inc.

6,200

74,214

Daito

Trust

Construction

Co.

Ltd.

486

44,790

Daiwa

House

Industry

Co.

Ltd.

2,451

57,880

ENEOS

Holdings,

Inc.

45,600

162,544

FUJIFILM

Holdings

Corp.

2,500

107,004

Fujitsu

Ltd.

7,411

867,705

Hitachi

Ltd.

18,700

594,376

Hoya

Corp.

1,900

181,942

Hulic

Co.

Ltd.

1,500

14,162

ITOCHU

Corp.

9,000

194,740

Japan

Airlines

Co.

Ltd.

11,200

202,110

Japan

Post

Insurance

Co.

Ltd.

5,900

77,741

Japan

Real

Estate

Investment

Corp.,

REIT

30

153,963

Japan

Retail

Fund

Investment

Corp.,

REIT

64

80,050

Kajima

Corp.

20,200

241,529

Kamigumi

Co.

Ltd.

11,600

228,131

KDDI

Corp.

2,600

77,577

Marubeni

Corp.

106,400

483,311

Mitsubishi

Corp.

11,000

232,449

Mitsubishi

Estate

Co.

Ltd.

5,764

85,894

Mitsubishi

UFJ

Financial

Group,

Inc.

26,700

105,079

Mitsui

Fudosan

Co.

Ltd.

4,598

81,682

MS&AD

Insurance

Group

Holdings,

Inc.

12,300

338,726

Nexon

Co.

Ltd.

7,200

162,406

Nikon

Corp.

40,000

335,933

Nintendo

Co.

Ltd.

2,800

1,251,792

Nippon

Building

Fund,

Inc.,

REIT

21

119,599

Nippon

Express

Co.

Ltd.

3,300

171,117

Nippon

Telegraph

&

Telephone

Corp.

33,092

771,025

Nitto

Denko

Corp.

1,400

79,366

Nomura

Holdings,

Inc.

31,900

143,345

Nomura

Real

Estate

Holdings,

Inc.

1,000

18,617

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

117

140,131

Nomura

Research

Institute

Ltd.

5,000

136,564

NTT

DOCOMO,

Inc.

5,300

140,705

INVESTMENTS

SHARES

VALUE

($)

Japan

-

6.2%

(continued)

Obayashi

Corp.

31,500

296,146

ORIX

Corp.

53,600

665,565

Otsuka

Corp.

3,600

190,136

Panasonic

Corp.

12,000

105,229

Resona

Holdings,

Inc.

229,600

785,667

Ricoh

Co.

Ltd.

15,700

112,657

Rohm

Co.

Ltd.

2,600

172,878

Ryohin

Keikaku

Co.

Ltd.

9,500

135,124

Sekisui

House

Ltd.

4,100

78,278

Shimizu

Corp.

22,200

182,886

Shinsei

Bank

Ltd.

49,100

593,875

Shionogi

&

Co.

Ltd.

11,200

702,614

Sompo

Holdings,

Inc.

3,800

130,816

Sony

Corp.

12,500

862,877

Square

Enix

Holdings

Co.

Ltd.

1,800

91,195

SUMCO

Corp.

15,000

230,612

Sumitomo

Corp.

45,000

517,565

Sumitomo

Dainippon

Pharma

Co.

Ltd.

8,300

115,018

Sumitomo

Electric

Industries

Ltd.

12,700

146,503

Sumitomo

Heavy

Industries

Ltd.

14,600

319,318

Sumitomo

Mitsui

Trust

Holdings,

Inc.

6,100

171,900

Sumitomo

Realty

&

Development

Co.

Ltd.

2,624

72,429

Suzuken

Co.

Ltd.

3,900

145,703

Taiheiyo

Cement

Corp.

12,000

278,810

Taisei

Corp.

9,800

357,172

Tokyo

Electron

Ltd.

3,400

838,929

Tokyu

Fudosan

Holdings

Corp.

2,900

13,643

Toshiba

Corp.

10,400

333,630

Tosoh

Corp.

9,100

125,006

18,237,229

—

Malta

-

0.0%

(b)

BGP

Holdings

plc

(3)*(d)(e)

96,388

131

Netherlands

-

1.7%

ASML

Holding

NV

1,009

369,106

ING

Groep

NV

19,668

137,104

Koninklijke

Ahold

Delhaize

NV

121,529

3,312,160

Koninklijke

Philips

NV

*

4,275

199,719

NN

Group

NV

8,860

297,765

Randstad

NV

*

4,662

208,461

Royal

Dutch

Shell

plc,

Class

A

6,917

110,750

Royal

Dutch

Shell

plc,

Class

B

22,741

344,760

4,979,825

—

Russia

-

0.1%

Evraz

plc

81,765

289,700

Singapore

-

0.0%

(b)

Singapore

Exchange

Ltd.

4,067

24,474

South

Africa

-

0.2%

Anglo

American

plc

30,503

703,192

Spain

-

1.1%

Banco

Bilbao

Vizcaya

Argentaria

SA

125,062

430,584

Enagas

SA

37,750

923,499

Endesa

SA

40,767

1,011,277

100

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Spain

-

1.1%

(continued)

Naturgy

Energy

Group

SA

21,173

395,277

Red

Electrica

Corp.

SA

9,526

178,227

Repsol

SA

17,873

157,926

3,096,790

—

Sweden

-

0.4%

Investor

AB,

Class

B

2,204

116,918

Kinnevik

AB,

Class

B

(a)

1,380

36,428

Skanska

AB,

Class

B

*

7,160

146,173

Swedbank

AB,

Class

A

*

22,420

287,893

Telefonaktiebolaget

LM

Ericsson,

Class

B

42,548

394,400

Volvo

AB,

Class

B

*

15,961

251,145

1,232,957

—

Switzerland

-

3.4%

Adecco

Group

AG

(Registered)

16,761

790,040

Credit

Suisse

Group

AG

(Registered)

56,917

592,214

Geberit

AG

(Registered)

271

135,970

LafargeHolcim

Ltd.

(Registered)

*

14,227

626,785

Nestle

SA

(Registered)

6,821

756,249

Novartis

AG

(Registered)

20,570

1,792,080

Roche

Holding

AG

11,765

4,075,978

Sonova

Holding

AG

(Registered)

*

4,159

832,529

STMicroelectronics

NV

4,822

131,440

Swatch

Group

AG

(The)

577

115,811

Swiss

Life

Holding

AG

(Registered)

306

113,838

9,962,934

—

United

Kingdom

-

3.5%

3i

Group

plc

9,545

98,285

Aviva

plc

545,538

1,849,033

BAE

Systems

plc

89,326

534,121

Barclays

plc

381,890

538,770

Barratt

Developments

plc

71,904

441,932

Berkeley

Group

Holdings

plc

9,208

474,214

BT

Group

plc

1,067,359

1,509,513

Centrica

plc

401,992

191,007

CK

Hutchison

Holdings

Ltd.

223,000

1,444,056

Compass

Group

plc

17,391

239,273

Direct

Line

Insurance

Group

plc

73,889

247,754

Fiat

Chrysler

Automobiles

NV

*

7,049

71,323

GlaxoSmithKline

plc

6,378

128,834

GVC

Holdings

plc

8,480

77,727

Kingfisher

plc

103,776

285,507

M&G

plc

158,963

330,078

Meggitt

plc

58,094

211,599

Micro

Focus

International

plc

9,567

51,040

Persimmon

plc

30,548

864,556

Sage

Group

plc

(The)

21,348

177,208

Smith

&

Nephew

plc

8,614

160,510

Taylor

Wimpey

plc

216,081

381,385

10,307,725

—

United

States

-

57.1%

AbbVie,

Inc.

(1)

29,834

2,929,102

Accenture

plc,

Class

A

(1)

676

145,151

Adobe,

Inc.

(1)*

2,843

1,237,586

Advanced

Micro

Devices,

Inc.

(1)*

1,468

77,231

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.1%

(continued)

Akamai

Technologies,

Inc.

(1)*

4,569

489,294

Alexion

Pharmaceuticals,

Inc.

(1)*

20,042

2,249,514

Allstate

Corp.

(The)

(1)

23,580

2,287,024

Alphabet,

Inc.,

Class

A

(1)*

1,340

1,900,187

Alphabet,

Inc.,

Class

C

(1)*

2,006

2,835,702

Altria

Group,

Inc.

(1)

32,302

1,267,854

Amazon.com,

Inc.

(1)*

2,926

8,072,308

American

International

Group,

Inc.

(1)

16,833

524,853

American

Tower

Corp.,

REIT

(1)

4,396

1,136,542

AmerisourceBergen

Corp.

(1)

15,272

1,538,959

Anthem,

Inc.

(1)

3,691

970,659

Apple,

Inc.

(1)

27,146

9,902,862

Applied

Materials,

Inc.

(1)

39,626

2,395,392

Arrow

Electronics,

Inc.

(1)*

37,814

2,597,444

Autodesk,

Inc.

(1)*

2,712

648,683

AutoZone,

Inc.

(1)*

577

650,925

AvalonBay

Communities,

Inc.,

REIT

(1)

811

125,413

Bank

of

New

York

Mellon

Corp.

(The)

(1)

41,278

1,595,395

Berkshire

Hathaway,

Inc.,

Class

B

(1)*

7,962

1,421,297

Best

Buy

Co.,

Inc.

(1)

23,409

2,042,903

Biogen,

Inc.

(1)*

11,301

3,023,583

Booz

Allen

Hamilton

Holding

Corp.

(1)

2,468

191,986

Boston

Properties,

Inc.,

REIT

(1)

1,475

133,311

Bristol-Myers

Squibb

Co.

(1)

9,640

566,832

Broadcom,

Inc.

(1)

1,973

622,699

Cadence

Design

Systems,

Inc.

(1)*

3,333

319,835

Cardinal

Health,

Inc.

(1)

30,987

1,617,212

Carnival

Corp.

(1)

10,369

170,259

CDK

Global,

Inc.

(1)

12,544

519,572

Cisco

Systems,

Inc.

(1)

46,430

2,165,495

Citigroup,

Inc.

(1)

5,504

281,254

Cognizant

Technology

Solutions

Corp.,

Class

A

(1)

17,593

999,634

Colgate-Palmolive

Co.

(1)

2,176

159,414

Crown

Castle

International

Corp.,

REIT

(1)

1,970

329,680

CVS

Health

Corp.

(1)

15,579

1,012,168

Darden

Restaurants,

Inc.

(1)

11,609

879,614

DaVita,

Inc.

(1)*

1,203

95,205

Digital

Realty

Trust,

Inc.,

REIT

(1)

849

120,651

Dollar

General

Corp.

(1)

1,152

219,468

Domino's

Pizza,

Inc.

(1)

3,662

1,352,889

DR

Horton,

Inc.

(1)

4,496

249,303

DuPont

de

Nemours,

Inc.

(1)

4,864

258,424

Eaton

Corp.

plc

(1)

988

86,430

eBay,

Inc.

(1)

16,962

889,657

Edwards

Lifesciences

Corp.

(1)*

3,400

234,974

Electronic

Arts,

Inc.

(1)*

10,130

1,337,667

Eli

Lilly

and

Co.

(1)

3,006

493,525

EOG

Resources,

Inc.

(1)

3,808

192,913

Equinix,

Inc.,

REIT

(1)

222

155,911

Equity

Residential,

REIT

(1)

2,048

120,463

Essex

Property

Trust,

Inc.,

REIT

(1)

720

165,002

Everest

Re

Group

Ltd.

(1)

1,257

259,193

Facebook,

Inc.,

Class

A

(1)*

23,831

5,411,306

101

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.1%

(continued)

Fidelity

National

Financial,

Inc.

(1)

13,928

427,032

Fortinet,

Inc.

(1)*

2,840

389,847

Garmin

Ltd.

(1)

5,093

496,568

Gartner,

Inc.

(1)*

1,322

160,398

General

Dynamics

Corp.

(1)

791

118,223

General

Electric

Co.

(1)

160,345

1,095,156

Gilead

Sciences,

Inc.

(1)

24,674

1,898,418

Hartford

Financial

Services

Group,

Inc.

(The)

(1)

2,000

77,100

HD

Supply

Holdings,

Inc.

(1)*

7,920

274,428

HollyFrontier

Corp.

(1)

3,331

97,265

Hologic,

Inc.

(1)*

3,186

181,602

Home

Depot,

Inc.

(The)

(1)

9,601

2,405,147

Howmet

Aerospace,

Inc.

(1)

10,857

172,083

HP,

Inc.

(1)

122,521

2,135,541

Humana,

Inc.

(1)

4,442

1,722,386

Huntington

Ingalls

Industries,

Inc.

(1)

2,436

425,058

Ingredion,

Inc.

(1)

2,842

235,886

Intel

Corp.

(1)

74,583

4,462,302

International

Business

Machines

Corp.

(1)

11,403

1,377,140

International

Paper

Co.

(1)

19,139

673,884

Intuit,

Inc.

(1)

4,081

1,208,751

Jazz

Pharmaceuticals

plc

(1)*

12,426

1,371,085

Johnson

&

Johnson

(1)

18,312

2,575,217

Johnson

Controls

International

plc

(1)

36,669

1,251,880

Kimberly-Clark

Corp.

(1)

4,511

637,630

Kinder

Morgan,

Inc.

(1)

40,050

607,559

Kroger

Co.

(The)

(1)

25,688

869,539

Lam

Research

Corp.

(1)

2,924

945,797

LKQ

Corp.

(1)*

17,725

464,395

Lockheed

Martin

Corp.

(1)

2,072

756,114

Lowe's

Cos.,

Inc.

(1)

16,002

2,162,190

Mastercard,

Inc.,

Class

A

(1)

7,952

2,351,406

Maxim

Integrated

Products,

Inc.

(1)

6,103

369,903

McDonald's

Corp.

(1)

6,441

1,188,171

McKesson

Corp.

(1)

14,470

2,219,987

Medtronic

plc

(1)

1,319

120,952

Merck

&

Co.,

Inc.

(1)

33,179

2,565,732

MetLife,

Inc.

(1)

16,064

586,657

Micron

Technology,

Inc.

(1)*

46,686

2,405,263

Microsoft

Corp.

(1)

48,593

9,889,162

Mondelez

International,

Inc.,

Class

A

(1)

3,440

175,887

Mylan

NV

(1)*

103,340

1,661,707

NetApp,

Inc.

(1)

1,857

82,395

Newmont

Corp.

(1)

34,798

2,148,429

Northrop

Grumman

Corp.

(1)

3,753

1,153,822

NortonLifeLock,

Inc.

(1)

69,481

1,377,808

NRG

Energy,

Inc.

(1)

31,622

1,029,612

NVIDIA

Corp.

(1)

1,686

640,528

Omnicom

Group,

Inc.

(1)

4,584

250,286

Oracle

Corp.

(1)

32,981

1,822,860

PayPal

Holdings,

Inc.

(1)*

1,348

234,862

People's

United

Financial,

Inc.

(1)

48,672

563,135

PepsiCo,

Inc.

(1)

583

77,108

Pfizer,

Inc.

(1)

59,876

1,957,945

Philip

Morris

International,

Inc.

(1)

14,480

1,014,469

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.1%

(continued)

Procter

&

Gamble

Co.

(The)

(1)

26,791

3,203,400

Prologis,

Inc.,

REIT

(1)

2,980

278,123

Public

Storage,

REIT

(1)

2,484

476,655

PulteGroup,

Inc.

(1)

23,146

787,658

Qorvo,

Inc.

(1)*

12,869

1,422,411

QUALCOMM,

Inc.

(1)

19,283

1,758,802

Raytheon

Technologies

Corp.

(1)

4,620

284,684

Regeneron

Pharmaceuticals,

Inc.

(1)*

866

540,081

Seagate

Technology

plc

(1)

27,157

1,314,670

Simon

Property

Group,

Inc.,

REIT

(1)

1,723

117,819

Skyworks

Solutions,

Inc.

(1)

10,371

1,326,036

Southwest

Airlines

Co.

(1)

18,855

644,464

SS&C

Technologies

Holdings,

Inc.

(1)

13,767

777,560

State

Street

Corp.

(1)

10,041

638,106

Steel

Dynamics,

Inc.

(1)

24,394

636,439

Synchrony

Financial

(1)

3,370

74,679

Synopsys,

Inc.

(1)*

732

142,740

Target

Corp.

(1)

10,437

1,251,709

Texas

Instruments,

Inc.

(1)

4,293

545,082

Travelers

Cos.,

Inc.

(The)

(1)

1,767

201,526

Tyson

Foods,

Inc.,

Class

A

(1)

16,626

992,738

UnitedHealth

Group,

Inc.

(1)

4,482

1,321,966

Universal

Health

Services,

Inc.,

Class

B

(1)

11,153

1,036,002

VeriSign,

Inc.

(1)*

2,633

544,583

Verizon

Communications,

Inc.

(1)

2,144

118,199

Vertex

Pharmaceuticals,

Inc.

(1)*

2,844

825,642

ViacomCBS,

Inc.

(1)

3,997

93,210

Walgreens

Boots

Alliance,

Inc.

(1)

22,663

960,685

Walmart,

Inc.

(1)

6,298

754,374

Wells

Fargo

&

Co.

(1)

68,456

1,752,474

Welltower,

Inc.,

REIT

(1)

3,001

155,302

Western

Union

Co.

(The)

(1)

4,142

89,550

Westrock

Co.

(1)

7,571

213,956

Whirlpool

Corp.

(1)

2,225

288,204

Yum!

Brands,

Inc.

(1)

16,394

1,424,803

168,235,848

—

TOTAL

COMMON

STOCKS

(Cost

$219,903,514)

256,893,398

SHORT-TERM

INVESTMENTS

-

10.0%

INVESTMENT

COMPANIES

-

10.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(f)(g)

3,305,442

3,305,442

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(f)

26,129,104

26,134,329

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$29,433,192)

29,439,771

102

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(f)(h)

42,659

42,659

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(f)(h)

126,893

126,919

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$169,552)

169,578

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.3%

(Cost

$249,506,258)

286,502,747

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.7%

(i)

7,936,308

NET

ASSETS

-

100.0%

294,439,055

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

16,226,243

5.5

%

Consumer

Discretionary

34,760,006

11.8

Consumer

Staples

15,445,782

5.2

Energy

2,155,123

0.7

Financials

25,296,824

8.6

Health

Care

48,890,974

16.6

Industrials

18,917,727

6.4

Information

Technology

67,040,098

22.8

Materials

14,736,170

5.0

Real

Estate

8,133,989

2.8

Utilities

5,290,462

1.8

Short-Term

Investments

29,439,771

10.0

Securities

Lending

Collateral

169,578

0.1

Total

Investments

In

Securities

At

Value

286,502,747

97.3

Other

Assets

in

Excess

of

Liabilities

(i

)

7,936,308

2.7

Net

Assets

$

294,439,055

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$158,899.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$1,328,717,

which

represents

approximately

0.45%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$131,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Restricted

Security.

(f)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(i)

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.

(3)

Level

3

security.

Total

return

swap

contracts

outstanding

as

of

June

30,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

CHF

1,501,200

$

7,188

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

JPMC

09/16/2020

EUR

(133,068)

4,331

103

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

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

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

908,927

$

22,275

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

157,847

–

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

282,392

6,166

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

390,883

349

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SOR

plus

or

minus

a

specified

spread

(0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

SGD

4,983

–

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

JPMC

09/16/2020

EUR

(196,956)

–

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

JPMC

09/16/2020

EUR

(694,000)

1,811

42,120

104

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

13,335,850

$

(22,809)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.65%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

CAD

2,073,472

(30,022)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

632,701

(23,713)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

JPY

414,818,386

(119,264)

(195,808)

$

(153,688)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

45

7/2020

EUR

$

5,657,890

$

(24,359)

Hang

Seng

Index

17

7/2020

HKD

2,659,177

(36,534)

MSCI

Singapore

Index

2

7/2020

SGD

42,458

(418)

OMXS30

Index

160

7/2020

SEK

2,861,068

12,697

DAX

Index

29

9/2020

EUR

10,039,582

33,810

FTSE/MIB

Index

98

9/2020

EUR

10,618,884

(112,425)

S&P

500

E-Mini

Index

6

9/2020

USD

927,060

6,415

TOPIX

Index

61

9/2020

JPY

8,804,677

(184,816)

(305,630)

Short

Contracts

CAC

40

10

Euro

Index

(26)

7/2020

EUR

(1,435,282)

1,920

IBEX

35

Index

(7)

7/2020

EUR

(567,015)

1,222

FTSE

100

Index

(99)

9/2020

GBP

(7,541,194)

63,564

SPI

200

Index

(67)

9/2020

AUD

(6,810,666)

(11,374)

55,332

$

(250,298)

105

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

11,172,626

USD

7,477,898

CITG

9/16/2020

$

234,350

AUD

11,172,623

USD

7,477,906

JPMC

9/16/2020

234,340

CHF

3,330,500

USD

3,466,926

CITG

9/16/2020

56,422

CHF

3,330,500

USD

3,466,930

JPMC

9/16/2020

56,418

DKK

989,500

USD

149,007

CITG

9/16/2020

436

DKK

989,500

USD

149,007

JPMC

9/16/2020

435

EUR

1,429,252

USD

1,602,284

CITG

9/16/2020

6,239

EUR

1,429,248

USD

1,602,281

JPMC

9/16/2020

6,238

GBP

330,000

USD

405,631

CITG

9/16/2020

3,458

GBP

330,000

USD

405,631

JPMC

9/16/2020

3,457

HKD

1,778,500

USD

229,001

CITG

9/16/2020

360

HKD

1,778,500

USD

229,001

JPMC

9/16/2020

360

ILS

1,021,500

USD

291,978

CITG

9/16/2020

3,530

ILS

1,021,499

USD

291,978

JPMC

9/16/2020

3,530

JPY

991,774,000

USD

9,137,464

CITG

9/16/2020

57,345

JPY

991,774,000

USD

9,137,475

JPMC

9/16/2020

57,333

NZD

12,844,000

USD

7,941,989

CITG

9/16/2020

345,647

NZD

12,844,001

USD

7,941,999

JPMC

9/16/2020

345,637

SEK

2,499,000

USD

267,627

CITG

9/16/2020

813

SEK

2,499,000

USD

267,628

JPMC

9/16/2020

813

SGD

20,500

USD

14,678

CITG

9/16/2020

35

SGD

20,500

USD

14,678

JPMC

9/16/2020

35

USD

10,700

AUD

15,500

CITG

9/16/2020

1

USD

10,700

AUD

15,500

JPMC

9/16/2020

1

USD

7,816,339

CAD

10,528,440

CITG

9/16/2020

59,942

USD

7,816,330

CAD

10,528,440

JPMC

9/16/2020

59,933

USD

2,991,829

CHF

2,820,000

CITG

9/16/2020

8,540

USD

2,991,825

CHF

2,820,000

JPMC

9/16/2020

8,537

USD

47,026

DKK

310,500

CITG

9/16/2020

131

USD

47,026

DKK

310,500

JPMC

9/16/2020

131

USD

4,536,483

EUR

3,996,004

CITG

9/16/2020

39,258

USD

4,536,469

EUR

3,995,996

JPMC

9/16/2020

39,252

USD

8,236,775

GBP

6,549,003

CITG

9/16/2020

118,224

USD

8,236,761

GBP

6,549,000

JPMC

9/16/2020

118,215

USD

158,382

HKD

1,228,000

CITG

9/16/2020

15

USD

158,382

HKD

1,228,000

JPMC

9/16/2020

15

USD

7,982

ILS

27,500

CITG

9/16/2020

26

USD

7,982

ILS

27,500

JPMC

9/16/2020

26

USD

7,164,368

JPY

767,326,500

CITG

9/16/2020

50,429

USD

7,164,359

JPY

767,326,500

JPMC

9/16/2020

50,420

USD

3,665,503

NOK

34,891,250

CITG

9/16/2020

39,486

USD

3,665,498

NOK

34,891,250

JPMC

9/16/2020

39,482

USD

1,129

SEK

10,500

CITG

9/16/2020

1

USD

1,129

SEK

10,500

JPMC

9/16/2020

1

USD

70,085

SGD

97,500

CITG

9/16/2020

107

USD

70,085

SGD

97,500

JPMC

9/16/2020

107

Total

unrealized

appreciation

2,049,511

AUD

5,790,376

USD

4,030,423

CITG

9/16/2020

(33,438)

AUD

5,790,375

USD

4,030,428

JPMC

9/16/2020

(33,444)

CAD

4,472,500

USD

3,301,533

CITG

9/16/2020

(6,602)

CAD

4,472,500

USD

3,301,537

JPMC

9/16/2020

(6,606)

DKK

4,322,000

USD

660,872

CITG

9/16/2020

(8,129)

DKK

4,322,000

USD

660,872

JPMC

9/16/2020

(8,130)

EUR

1,562,252

USD

1,772,143

CITG

9/16/2020

(13,938)

EUR

1,562,248

USD

1,772,141

JPMC

9/16/2020

(13,940)

106

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

GBP

217,000

USD

274,756

CITG

9/16/2020

$

(5,749)

GBP

217,000

USD

274,756

JPMC

9/16/2020

(5,749)

HKD

464,000

USD

59,840

CITG

9/16/2020

(1)

HKD

464,000

USD

59,840

JPMC

9/16/2020

(1)

ILS

20,000

USD

5,848

CITG

9/16/2020

(62)

ILS

20,000

USD

5,848

JPMC

9/16/2020

(62)

JPY

1,898,629,000

USD

17,663,616

CITG

9/16/2020

(61,291)

JPY

1,898,629,000

USD

17,663,638

JPMC

9/16/2020

(61,312)

NOK

4,858,500

USD

507,961

CITG

9/16/2020

(3,049)

NOK

4,858,500

USD

507,961

JPMC

9/16/2020

(3,049)

SEK

15,254,500

USD

1,644,692

CITG

9/16/2020

(6,070)

SEK

15,254,500

USD

1,644,694

JPMC

9/16/2020

(6,073)

SGD

215,500

USD

155,056

CITG

9/16/2020

(385)

SGD

215,500

USD

155,056

JPMC

9/16/2020

(385)

USD

61,358

AUD

89,500

CITG

9/16/2020

(422)

USD

61,358

AUD

89,500

JPMC

9/16/2020

(422)

USD

5,936,787

CAD

8,155,064

CITG

9/16/2020

(71,122)

USD

5,936,775

CAD

8,155,058

JPMC

9/16/2020

(71,130)

USD

1,583

CHF

1,500

CITG

9/16/2020

(4)

USD

1,583

CHF

1,500

JPMC

9/16/2020

(4)

USD

768,976

DKK

5,176,500

CITG

9/16/2020

(12,821)

USD

768,975

DKK

5,176,500

JPMC

9/16/2020

(12,822)

USD

31,476

EUR

28,000

CITG

9/16/2020

(36)

USD

31,476

EUR

28,000

JPMC

9/16/2020

(36)

USD

1,214,787

GBP

987,500

CITG

9/16/2020

(9,379)

USD

1,214,785

GBP

987,500

JPMC

9/16/2020

(9,381)

USD

1,339,196

HKD

10,400,500

CITG

9/16/2020

(2,087)

USD

1,339,194

HKD

10,400,500

JPMC

9/16/2020

(2,088)

USD

1,061,812

JPY

114,535,000

CITG

9/16/2020

(50)

USD

1,061,811

JPY

114,535,000

JPMC

9/16/2020

(51)

USD

3,536,134

NOK

34,891,250

CITG

9/16/2020

(89,882)

USD

3,536,129

NOK

34,891,249

JPMC

9/16/2020

(89,887)

USD

1,748,351

NZD

2,767,500

CITG

9/16/2020

(37,387)

USD

1,748,349

NZD

2,767,500

JPMC

9/16/2020

(37,390)

USD

2,166,665

SEK

20,773,500

CITG

9/16/2020

(64,800)

USD

2,166,663

SEK

20,773,501

JPMC

9/16/2020

(64,803)

USD

72,146

SGD

102,000

CITG

9/16/2020

(1,063)

USD

72,146

SGD

102,000

JPMC

9/16/2020

(1,063)

Total

unrealized

depreciation

(855,595)

Net

unrealized

appreciation

$

1,193,916

107

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

87.0%

Australia

-

7.3%

Ampol

Ltd.

3,858

78,612

ASX

Ltd.

2,307

137,124

Aurizon

Holdings

Ltd.

215,188

732,258

BHP

Group

Ltd.

36,050

897,569

BHP

Group

plc

65,825

1,346,982

BlueScope

Steel

Ltd.

166,275

1,369,750

CIMIC

Group

Ltd.

24,062

404,352

Coles

Group

Ltd.

61,515

731,251

CSL

Ltd.

2,629

522,879

Dexus

,

REIT

23,093

148,218

Fortescue

Metals

Group

Ltd.

179,968

1,749,591

Glencore

plc

*

127,069

270,683

Goodman

Group,

REIT

47,543

490,560

GPT

Group

(The),

REIT

55,477

161,167

Lendlease

Group

11,993

103,658

Mirvac

Group,

REIT

104,753

158,240

Newcrest

Mining

Ltd.

13,288

294,649

Origin

Energy

Ltd.

106,425

433,069

Rio

Tinto

Ltd.

4,666

319,498

Rio

Tinto

plc

25,787

1,451,204

Scentre

Group,

REIT

104,047

157,958

South32

Ltd.

607,389

859,896

Stockland,

REIT

62,453

144,816

Vicinity

Centres

,

REIT

94,695

94,913

13,058,897

—

Belgium

-

1.2%

Ageas

SA/NV

11,271

399,441

Galapagos

NV

*

630

124,348

Groupe

Bruxelles

Lambert

SA

1,290

108,051

KBC

Group

NV

4,115

236,412

Solvay

SA

2,956

237,148

UCB

SA

9,474

1,099,424

2,204,824

—

China

-

0.5%

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,380,100

929,075

Denmark

-

2.3%

Carlsberg

A/S,

Class

B

883

117,093

Danske

Bank

A/S

*

8,372

111,921

Novo

Nordisk

A/S,

Class

B

37,628

2,451,379

Pandora

A/S

24,603

1,343,680

4,024,073

—

Finland

-

1.3%

Kone

OYJ,

Class

B

4,121

284,223

Nokia

OYJ

101,628

444,101

Orion

OYJ,

Class

B

16,785

813,978

Stora

Enso

OYJ,

Class

R

28,515

341,306

UPM-

Kymmene

OYJ

3,304

95,699

Wartsila

OYJ

Abp

45,799

379,906

2,359,213

—

France

-

8.5%

Alstom

SA

1,064

49,583

Atos

SE

*

17,184

1,473,239

BNP

Paribas

SA

*

13,788

550,886

INVESTMENTS

SHARES

VALUE

($)

France

-

8.5%

(continued)

Bouygues

SA

*

11,583

396,770

Capgemini

SE

5,647

651,672

Carrefour

SA

21,685

336,292

Cie

de

Saint-Gobain

*

33,204

1,198,033

CNP

Assurances

*

5,445

63,154

Credit

Agricole

SA

*

15,971

151,656

Danone

SA

1,648

114,393

Dassault

Aviation

SA

*

65

59,637

Engie

SA

*

50,567

627,129

Hermes

International

347

291,344

Ingenico

Group

SA

*

807

129,664

Ipsen

SA

2,480

210,382

L'Oreal

SA

1,760

568,034

Orange

SA

87,533

1,046,717

Peugeot

SA

*

134,750

2,209,784

Publicis

Groupe

SA

9,375

304,547

Sanofi

20,038

2,043,569

Schneider

Electric

SE

8,194

911,474

Societe

Generale

SA

*

11,494

192,176

Thales

SA

1,264

102,302

TOTAL

SA

33,447

1,289,664

Unibail

-

Rodamco

-Westfield,

REIT

(a)

3,742

210,925

15,183,026

—

Germany

-

7.7%

Allianz

SE

(Registered)

2,002

409,094

Bayer

AG

(Registered)

37,317

2,766,070

Brenntag

AG

7,913

419,548

Delivery

Hero

SE

*(b)

5,413

556,279

Deutsche

Boerse

AG

2,294

415,161

Deutsche

Post

AG

(Registered)

8,649

317,590

Deutsche

Wohnen

SE

4,982

223,869

Fresenius

Medical

Care

AG

&

Co.

KGaA

25,284

2,175,179

Fresenius

SE

&

Co.

KGaA

6,125

304,430

GEA

Group

AG

5,778

183,384

HeidelbergCement

AG

4,550

243,570

HOCHTIEF

AG

9,482

843,703

Infineon

Technologies

AG

45,767

1,072,421

KION

Group

AG

11,931

734,590

Knorr-

Bremse

AG

*

680

69,010

Porsche

Automobil

Holding

SE

(Preference)

*

1,931

111,841

SAP

SE

12,548

1,754,079

Siemens

AG

(Registered)

2,284

269,369

Uniper

SE

4,322

139,467

Volkswagen

AG

(Preference)

682

103,664

Vonovia

SE

7,064

431,773

Wirecard

AG

*

10,433

77,414

Zalando

SE

*(b)

1,146

81,298

13,702,803

—

Hong

Kong

-

3.1%

CK

Asset

Holdings

Ltd.

232,000

1,391,256

CK

Infrastructure

Holdings

Ltd.

17,827

92,152

CLP

Holdings

Ltd.

8,500

83,481

Hong

Kong

Exchanges

&

Clearing

Ltd.

14,854

632,658

Kerry

Properties

Ltd.

435,500

1,131,269

108

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

3.1%

(continued)

Link,

REIT

50,382

413,645

PCCW

Ltd.

64,000

36,593

Sun

Hung

Kai

Properties

Ltd.

20,500

261,892

WH

Group

Ltd.

(b)

1,496,000

1,292,835

Yue

Yuen

Industrial

Holdings

Ltd.

101,500

154,713

5,490,494

—

Italy

-

1.7%

Assicurazioni

Generali

SpA

38,291

581,651

Enel

SpA

72,678

628,552

Intesa

Sanpaolo

SpA

*

555,248

1,067,014

Leonardo

SpA

12,302

82,009

Poste

Italiane

SpA

(b)

45,911

401,044

Prysmian

SpA

9,977

231,450

UniCredit

SpA

*

11,050

101,983

3,093,703

—

Japan

-

21.6%

Alfresa

Holdings

Corp.

18,800

394,074

Astellas

Pharma,

Inc.

105,100

1,755,124

Bridgestone

Corp.

2,100

67,778

Brother

Industries

Ltd.

55,300

999,111

Calbee

,

Inc.

8,200

226,645

Daito

Trust

Construction

Co.

Ltd.

787

72,531

Daiwa

House

Industry

Co.

Ltd.

8,395

198,247

Electric

Power

Development

Co.

Ltd.

4,000

75,826

ENEOS

Holdings,

Inc.

61,300

218,508

FUJIFILM

Holdings

Corp.

12,200

522,181

Fujitsu

Ltd.

17,700

2,072,374

Fukuoka

Financial

Group,

Inc.

3,000

47,433

Hitachi

Ltd.

58,600

1,862,591

Hoya

Corp.

5,700

545,826

Hulic

Co.

Ltd.

8,000

75,528

Idemitsu

Kosan

Co.

Ltd.

3,400

72,563

Isuzu

Motors

Ltd.

5,900

53,615

ITOCHU

Corp.

17,000

367,843

Japan

Post

Insurance

Co.

Ltd.

23,400

308,327

Japan

Real

Estate

Investment

Corp.,

REIT

26

133,435

Japan

Retail

Fund

Investment

Corp.,

REIT

73

91,307

Japan

Tobacco,

Inc.

4,700

87,292

JGC

Holdings

Corp.

38,700

408,089

Kajima

Corp.

4,200

50,219

Kamigumi

Co.

Ltd.

18,200

357,930

KDDI

Corp.

2,900

86,528

Koito

Manufacturing

Co.

Ltd.

16,300

659,491

Konami

Holdings

Corp.

1,800

60,064

Lion

Corp.

20,900

502,679

Marubeni

Corp.

158,700

720,879

Mebuki

Financial

Group,

Inc.

164,000

382,031

Medipal

Holdings

Corp.

3,600

69,482

Mitsubishi

Corp.

28,900

610,707

Mitsubishi

Estate

Co.

Ltd.

22,820

340,059

Mitsubishi

Gas

Chemical

Co.,

Inc.

30,000

456,283

Mitsui

&

Co.

Ltd.

5,800

85,936

Mitsui

Fudosan

Co.

Ltd.

18,105

321,630

MS&AD

Insurance

Group

Holdings,

Inc.

21,100

581,067

INVESTMENTS

SHARES

VALUE

($)

Japan

-

21.6%

(continued)

Nexon

Co.

Ltd.

12,000

270,677

Nikon

Corp.

89,600

752,490

Nintendo

Co.

Ltd.

4,700

2,101,223

Nippon

Building

Fund,

Inc.,

REIT

35

199,331

Nippon

Express

Co.

Ltd.

2,500

129,634

Nitto

Denko

Corp.

6,700

379,824

Nomura

Real

Estate

Holdings,

Inc.

3,900

72,608

NTT

DOCOMO,

Inc.

19,200

509,722

Obayashi

Corp.

100,200

942,027

Olympus

Corp.

3,200

61,608

ORIX

Corp.

62,000

769,870

Otsuka

Corp.

7,100

374,991

Panasonic

Corp.

23,600

206,950

Pola

Orbis

Holdings,

Inc.

18,600

324,729

Resona

Holdings,

Inc.

321,000

1,098,428

Ricoh

Co.

Ltd.

6,200

44,489

Rohm

Co.

Ltd.

20,100

1,336,477

Ryohin

Keikaku

Co.

Ltd.

3,300

46,938

Sankyo

Co.

Ltd.

800

19,364

Sekisui

House

Ltd.

19,400

370,388

Shimamura

Co.

Ltd.

6,200

419,939

Shimizu

Corp.

75,300

620,328

Shinsei

Bank

Ltd.

87,500

1,058,331

Shionogi

&

Co.

Ltd.

33,900

2,126,661

Sony

Corp.

10,200

704,108

Square

Enix

Holdings

Co.

Ltd.

6,600

334,383

SUMCO

Corp.

67,200

1,033,142

Sumitomo

Corp.

44,000

506,063

Sumitomo

Dainippon

Pharma

Co.

Ltd.

9,700

134,419

Sumitomo

Electric

Industries

Ltd.

4,100

47,296

Sumitomo

Heavy

Industries

Ltd.

24,900

544,590

Sumitomo

Mitsui

Trust

Holdings,

Inc.

7,500

211,353

Sumitomo

Realty

&

Development

Co.

Ltd.

5,661

156,259

Suzuken

Co.

Ltd.

7,600

283,934

Sysmex

Corp.

4,700

360,780

Taiheiyo

Cement

Corp.

20,300

471,653

Taisei

Corp.

25,200

918,442

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

1,400

85,914

Teijin

Ltd.

9,000

143,295

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

27,700

85,210

Tokyo

Electron

Ltd.

5,800

1,431,114

Tokyu

Fudosan

Holdings

Corp.

12,883

60,608

Toshiba

Corp.

14,500

465,157

Tosoh

Corp.

5,900

81,048

Toyoda

Gosei

Co.

Ltd.

6,800

142,076

Yamaha

Motor

Co.

Ltd.

5,300

83,475

Yokohama

Rubber

Co.

Ltd.

(The)

5,500

77,770

38,540,349

—

Malta

-

0.0%

(c)

BGP

Holdings

plc

(3)*(d)(e)

143,427

195

109

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

4.9%

Adyen

NV

*(b)

38

55,365

ASML

Holding

NV

7,270

2,659,463

ING

Groep

NV

56,425

393,334

Koninklijke

Ahold

Delhaize

NV

83,451

2,274,379

Koninklijke

Philips

NV

*

37,744

1,763,322

Randstad

NV

*

1,760

78,698

Royal

Dutch

Shell

plc,

Class

A

4,344

69,553

Royal

Dutch

Shell

plc,

Class

B

47,958

727,057

Wolters

Kluwer

NV

9,788

765,071

8,786,242

—

Russia

-

0.2%

Evraz

plc

111,391

394,668

Singapore

-

0.5%

Ascendas

,

REIT

81,637

187,309

CapitaLand

Commercial

Trust,

REIT

92,500

113,207

CapitaLand

Mall

Trust,

REIT

38,494

54,620

Genting

Singapore

Ltd.

113,500

62,445

Singapore

Exchange

Ltd.

25,572

153,884

Venture

Corp.

Ltd.

26,100

305,023

876,488

—

South

Africa

-

0.5%

Anglo

American

plc

39,618

913,322

Spain

-

2.6%

Banco

Bilbao

Vizcaya

Argentaria

SA

16,754

57,683

Enagas

SA

43,602

1,066,660

Endesa

SA

67,550

1,675,662

Iberdrola

SA

52,564

613,668

Industria

de

Diseno

Textil

SA

1,690

44,842

Mapfre

SA

76,657

136,886

Naturgy

Energy

Group

SA

46,789

873,500

Red

Electrica

Corp.

SA

11,534

215,796

4,684,697

—

Sweden

-

3.2%

Atlas

Copco

AB,

Class

B

6,481

240,821

Essity

AB,

Class

B

*

6,985

226,463

Hennes

&

Mauritz

AB,

Class

B

35,986

525,262

Investor

AB,

Class

B

5,840

309,800

Sandvik

AB

*

34,812

655,362

SKF

AB,

Class

B

11,190

209,181

Swedbank

AB,

Class

A

*

62,740

805,637

Swedish

Match

AB

13,185

930,276

Telefonaktiebolaget

LM

Ericsson,

Class

B

201,012

1,863,293

5,766,095

—

Switzerland

-

10.4%

Adecco

Group

AG

(Registered)

37,512

1,768,151

Coca-Cola

HBC

AG

26,699

668,359

Credit

Suisse

Group

AG

(Registered)

32,791

341,186

LafargeHolcim

Ltd.

(Registered)

*

19,122

842,440

Nestle

SA

(Registered)

34,940

3,873,819

Novartis

AG

(Registered)

37,367

3,255,453

Roche

Holding

AG

13,761

4,767,492

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

10.4%

(continued)

Sonova

Holding

AG

(Registered)

*

9,656

1,932,893

STMicroelectronics

NV

26,215

714,576

Swatch

Group

AG

(The)

388

77,876

UBS

Group

AG

(Registered)

29,183

337,036

18,579,281

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(d)

5,443

—

United

Kingdom

-

9.5%

3i

Group

plc

24,852

255,901

Aviva

plc

617,415

2,092,653

BAE

Systems

plc

145,250

868,517

Barclays

plc

114,137

161,024

Barratt

Developments

plc

31,754

195,164

Berkeley

Group

Holdings

plc

16,628

856,345

BP

plc

33,374

127,857

British

American

Tobacco

plc

28,213

1,082,048

BT

Group

plc

1,445,287

2,043,998

CK

Hutchison

Holdings

Ltd.

201,000

1,301,593

Compass

Group

plc

34,914

480,363

Direct

Line

Insurance

Group

plc

22,077

74,025

Fiat

Chrysler

Automobiles

NV

*

21,792

220,494

GlaxoSmithKline

plc

24,501

494,913

GVC

Holdings

plc

50,458

462,493

Kingfisher

plc

293,873

808,500

London

Stock

Exchange

Group

plc

3,740

388,942

M&G

plc

443,807

921,541

Micro

Focus

International

plc

48,252

257,427

Persimmon

plc

35,646

1,008,837

RELX

plc

31,899

738,327

RSA

Insurance

Group

plc

31,992

162,021

Sage

Group

plc

(The)

68,657

569,917

Smith

&

Nephew

plc

4,300

80,125

Taylor

Wimpey

plc

377,438

666,181

Unilever

NV

12,201

650,530

16,969,736

—

TOTAL

COMMON

STOCKS

(Cost

$147,989,242)

155,557,181

SHORT-TERM

INVESTMENTS

-

10.5%

INVESTMENT

COMPANIES

-

10.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(f)(g)

2,404,047

2,404,047

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(f)

16,277,893

16,281,148

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$18,681,940)

18,685,195

110

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.06%

(1)(f)(h)

52,055

52,055

Limited

Purpose

Cash

Investment

Fund

0.34%

(1)(f)(h)

154,842

154,873

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$206,897)

206,928

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.6%

(Cost

$166,878,079)

174,449,304

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.4%

(

i

)

4,237,849

NET

ASSETS

-

100.0%

178,687,153

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

6,794,453

3.8

%

Consumer

Discretionary

13,913,085

7.8

Consumer

Staples

14,007,120

7.8

Energy

3,016,883

1.7

Financials

16,608,010

9.3

Health

Care

30,623,659

17.1

Industrials

21,951,831

12.3

Information

Technology

21,704,123

12.1

Materials

1

3,160,073

7.4

Real

Estate

7,600,841

4.2

Utilities

6,177,103

3.5

Short-Term

Investments

18,685,195

10.5

Securities

Lending

Collateral

206,928

0.1

Total

Investments

In

Securities

At

Value

174,449,304

97.6

Other

Assets

in

Excess

of

Liabilities

(

i

)

4,237,849

2.4

Net

Assets

$

178,687,153

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

June

30,

2020.

The

total

value

of

securities

on

loan

at

June

30,

2020

was

$189,091.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$2,386,821,

which

represents

approximately

1.34%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$195,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Restricted

Security.

(f)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(i)

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.

(3)

Level

3

security.

111

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

683,508

$

16,751

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

JPMC

09/16/2020

EUR

(317,318)

–

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Monthly

JPMC

09/16/2020

SEK

(2,855,649)

11,785

28,536

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

07/30/2020

HKD

20,609,950

(37,981)

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

CHF

(1,501,200)

(21)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

1,222,801

(45,829)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SOR

plus

or

minus

a

specified

spread

(0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

SGD

321,430

(12,823)

(96,654)

$

(68,118)

112

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

32

7/2020

EUR

$

4,023,388

$

(22,430)

Hang

Seng

Index

15

7/2020

HKD

2,346,332

(26,006)

DAX

Index

23

9/2020

EUR

7,962,427

(20,231)

FTSE/MIB

Index

92

9/2020

EUR

9,968,748

(100,038)

TOPIX

Index

85

9/2020

JPY

12,268,812

(374,770)

(543,475)

Short

Contracts

CAC

40

10

Euro

Index

(1)

7/2020

EUR

(55,203)

779

IBEX

35

Index

(14)

7/2020

EUR

(1,134,029)

12,761

OMXS30

Index

(107)

7/2020

SEK

(1,913,339)

(3,827)

FTSE

100

Index

(30)

9/2020

GBP

(2,285,210)

19,191

SPI

200

Index

(91)

9/2020

AUD

(9,250,307)

(55,510)

(26,606)

$

(570,081)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

7,518,788

USD

5,067,961

CITG

9/16/2020

$

122,114

AUD

7,518,786

USD

5,067,966

JPMC

9/16/2020

122,106

CHF

547,600

USD

569,982

CITG

9/16/2020

9,325

CHF

547,600

USD

569,983

JPMC

9/16/2020

9,325

DKK

5,835,000

USD

872,923

CITG

9/16/2020

8,326

DKK

5,835,000

USD

872,925

JPMC

9/16/2020

8,325

EUR

31,500

USD

35,313

CITG

9/16/2020

139

EUR

31,500

USD

35,313

JPMC

9/16/2020

139

GBP

133,000

USD

164,114

CITG

9/16/2020

761

GBP

133,000

USD

164,115

JPMC

9/16/2020

760

HKD

1,005,000

USD

129,370

CITG

9/16/2020

239

HKD

1,005,000

USD

129,370

JPMC

9/16/2020

238

ILS

2,018,500

USD

576,935

CITG

9/16/2020

6,995

ILS

2,018,500

USD

576,935

JPMC

9/16/2020

6,994

JPY

725,475,700

USD

6,683,991

CITG

9/16/2020

41,946

JPY

725,475,700

USD

6,683,999

JPMC

9/16/2020

41,939

NZD

7,295,500

USD

4,511,116

CITG

9/16/2020

196,327

NZD

7,295,500

USD

4,511,122

JPMC

9/16/2020

196,325

SEK

4,500

USD

478

CITG

9/16/2020

5

SEK

4,500

USD

478

JPMC

9/16/2020

5

SGD

141,575

USD

100,004

CITG

9/16/2020

1,608

SGD

141,575

USD

100,004

JPMC

9/16/2020

1,608

USD

441,144

CHF

416,500

CITG

9/16/2020

527

USD

441,144

CHF

416,500

JPMC

9/16/2020

527

USD

46,457

DKK

305,000

CITG

9/16/2020

393

USD

46,456

DKK

305,000

JPMC

9/16/2020

393

USD

2,781,445

EUR

2,454,400

CITG

9/16/2020

19,187

USD

2,781,441

EUR

2,454,400

JPMC

9/16/2020

19,184

USD

7,471,772

GBP

5,943,262

CITG

9/16/2020

104,136

USD

7,471,765

GBP

5,943,264

JPMC

9/16/2020

104,127

113

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

7,825

ILS

27,000

CITG

9/16/2020

$

14

USD

7,825

ILS

27,000

JPMC

9/16/2020

14

USD

4,013,185

JPY

429,837,500

CITG

9/16/2020

28,130

USD

4,013,180

JPY

429,837,500

JPMC

9/16/2020

28,125

USD

11,935

SEK

109,500

CITG

9/16/2020

173

USD

11,935

SEK

109,500

JPMC

9/16/2020

173

USD

52,811

SGD

73,500

CITG

9/16/2020

59

USD

52,811

SGD

73,500

JPMC

9/16/2020

59

Total

unrealized

appreciation

1,080,770

AUD

5,310,264

USD

3,700,548

CITG

9/16/2020

(34,975)

AUD

5,310,262

USD

3,700,551

JPMC

9/16/2020

(34,980)

DKK

315,000

USD

47,894

CITG

9/16/2020

(321)

DKK

315,000

USD

47,894

JPMC

9/16/2020

(321)

EUR

2,583,500

USD

2,926,797

CITG

9/16/2020

(19,246)

EUR

2,583,500

USD

2,926,800

JPMC

9/16/2020

(19,250)

GBP

1,345,500

USD

1,689,226

CITG

9/16/2020

(21,260)

GBP

1,345,500

USD

1,689,228

JPMC

9/16/2020

(21,262)

HKD

2,245,000

USD

289,553

CITG

9/16/2020

(30)

HKD

2,245,000

USD

289,554

JPMC

9/16/2020

(31)

ILS

35,000

USD

10,233

CITG

9/16/2020

(108)

ILS

35,000

USD

10,233

JPMC

9/16/2020

(108)

JPY

1,607,946,200

USD

14,968,822

CITG

9/16/2020

(61,436)

JPY

1,607,946,200

USD

14,968,841

JPMC

9/16/2020

(61,455)

SEK

738,500

USD

79,605

CITG

9/16/2020

(276)

SEK

738,500

USD

79,605

JPMC

9/16/2020

(277)

SGD

134,575

USD

96,669

CITG

9/16/2020

(81)

SGD

134,575

USD

96,669

JPMC

9/16/2020

(81)

USD

1,008,782

AUD

1,468,500

CITG

9/16/2020

(4,895)

USD

1,008,781

AUD

1,468,500

JPMC

9/16/2020

(4,896)

USD

3,264,646

CHF

3,117,500

CITG

9/16/2020

(33,368)

USD

3,264,642

CHF

3,117,500

JPMC

9/16/2020

(33,372)

USD

757,466

DKK

5,098,500

CITG

9/16/2020

(12,551)

USD

757,465

DKK

5,098,500

JPMC

9/16/2020

(12,552)

USD

1,897,959

EUR

1,698,400

CITG

9/16/2020

(13,472)

USD

1,897,956

EUR

1,698,400

JPMC

9/16/2020

(13,475)

USD

2,454,414

GBP

1,993,086

CITG

9/16/2020

(16,339)

USD

2,454,413

GBP

1,993,088

JPMC

9/16/2020

(16,342)

USD

685,357

HKD

5,323,000

CITG

9/16/2020

(1,115)

USD

685,356

HKD

5,323,000

JPMC

9/16/2020

(1,116)

USD

11,538

ILS

40,000

CITG

9/16/2020

(34)

USD

11,538

ILS

40,000

JPMC

9/16/2020

(34)

USD

1,582,266

JPY

170,675,000

CITG

9/16/2020

(74)

USD

1,582,264

JPY

170,675,000

JPMC

9/16/2020

(76)

USD

1,221,708

NZD

1,946,000

CITG

9/16/2020

(33,955)

USD

1,221,707

NZD

1,946,000

JPMC

9/16/2020

(33,956)

USD

2,613,647

SEK

24,987,000

CITG

9/16/2020

(70,428)

USD

2,613,644

SEK

24,987,000

JPMC

9/16/2020

(70,431)

USD

34,969

SGD

49,000

CITG

9/16/2020

(201)

USD

34,969

SGD

49,000

JPMC

9/16/2020

(201)

Total

unrealized

depreciation

(648,381)

Net

unrealized

appreciation

$

432,389

114

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

LONG

POSITIONS

-

126.8%

CORPORATE

BONDS

-

26.9%

Aerospace

&

Defense

-

0.1%

Hexcel

Corp.

3.95%,

2/15/2027

$

140,000

150,213

Automobiles

-

0.3%

General

Motors

Co.

5.20%,

4/1/2045

350,000

339,003

Banks

-

2.0%

Bangko

Sentral

ng

Pilipinas

Bond

(Philippines)

Series

A,

8.60%,

6/15/2027

60,000

81,300

Bank

of

Montreal

(Canada)

(USD

Swap

Semi

5

Year

+

1.43%),

3.80%,

12/15/2032

(a)

200,000

215,262

Canadian

Imperial

Bank

of

Commerce

(Canada)

3.10%,

4/2/2024

200,000

214,526

Citizens

Financial

Group,

Inc.

4.30%,

12/3/2025

100,000

111,892

JPMorgan

Chase

&

Co.

2.95%,

10/1/2026

390,000

428,339

KeyCorp

2.55%,

10/1/2029

100,000

103,512

National

Bank

of

Canada

(Canada)

2.10%,

2/1/2023

430,000

441,997

SVB

Financial

Group

3.50%,

1/29/2025

390,000

412,298

Truist

Financial

Corp.

3.75%,

12/6/2023

100,000

109,521

Vnesheconombank

(Russia)

6.80%,

11/22/2025

(b)

140,000

166,768

2,285,415

Biotechnology

-

0.3%

AbbVie,

Inc.

4.45%,

5/14/2046

100,000

122,023

Biogen,

Inc.

5.20%,

9/15/2045

190,000

249,119

371,142

Building

Products

-

0.4%

Fortune

Brands

Home

&

Security,

Inc.

3.25%,

9/15/2029

420,000

447,784

Capital

Markets

-

2.0%

Ares

Capital

Corp.

3.50%,

2/10/2023

700,000

703,578

Goldman

Sachs

Group,

Inc.

(The)

6.75%,

10/1/2037

260,000

378,524

KKR

Group

Finance

Co.

III

LLC

5.13%,

6/1/2044

(b)

190,000

228,508

Morgan

Stanley

3.63%,

1/20/2027

440,000

496,778

Northern

Trust

Corp.

3.15%,

5/3/2029

410,000

466,767

2,274,155

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Chemicals

-

1.4%

Air

Products

and

Chemicals,

Inc.

2.05%,

5/15/2030

$

200,000

209,921

Celanese

US

Holdings

LLC

3.50%,

5/8/2024

100,000

105,559

Ecolab,

Inc.

4.80%,

3/24/2030

390,000

494,200

RPM

International,

Inc.

3.75%,

3/15/2027

800,000

845,462

1,655,142

Commercial

Services

&

Supplies

-

0.2%

Waste

Connections,

Inc.

2.60%,

2/1/2030

180,000

189,928

Construction

Materials

-

0.1%

Vulcan

Materials

Co.

4.50%,

6/15/2047

105,000

117,206

Consumer

Finance

-

1.5%

American

Express

Co.

2.50%,

8/1/2022

810,000

838,870

Capital

One

Financial

Corp.

3.90%,

1/29/2024

530,000

576,366

Synchrony

Financial

3.95%,

12/1/2027

300,000

313,580

1,728,816

Diversified

Financial

Services

-

0.9%

GE

Capital

International

Funding

Co.

Unlimited

Co.

4.42%,

11/15/2035

400,000

406,702

Petronas

Capital

Ltd.

(Malaysia)

7.88%,

5/22/2022

(b)

240,000

268,890

Voya

Financial,

Inc.

4.80%,

6/15/2046

330,000

393,168

1,068,760

Diversified

Telecommunication

Services

-

0.4%

AT&T,

Inc.

4.50%,

3/9/2048

100,000

118,208

Level

3

Financing,

Inc.

3.88%,

11/15/2029

(b)

370,000

390,098

508,306

Electric

Utilities

-

1.7%

DPL,

Inc.

7.25%,

10/15/2021

596,000

633,250

Emera

US

Finance

LP

(Canada)

4.75%,

6/15/2046

100,000

118,569

FirstEnergy

Corp.

Series

B,

3.90%,

7/15/2027

430,000

486,447

Instituto

Costarricense

de

Electricidad

(Costa

Rica)

6.95%,

11/10/2021

(b)

200,000

198,002

NRG

Energy,

Inc.

3.75%,

6/15/2024

(b)

400,000

424,158

Oklahoma

Gas

and

Electric

Co.

3.25%,

4/1/2030

160,000

175,785

2,036,211

Electronic

Equipment,

Instruments

&

Components

-

0.4%

Keysight

Technologies,

Inc.

4.60%,

4/6/2027

400,000

470,798

115

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.5%

Crown

Castle

International

Corp.

3.65%,

9/1/2027

$

160,000

178,805

Equinix

,

Inc.

5.38%,

5/15/2027

400,000

436,400

615,205

Food

&

Staples

Retailing

-

1.0%

Alimentation

Couche-Tard,

Inc.

(Canada)

2.70%,

7/26/2022

(b)

788,000

806,646

Walmart,

Inc.

4.05%,

6/29/2048

270,000

355,279

1,161,925

Food

Products

-

0.4%

J

M

Smucker

Co.

(The)

4.25%,

3/15/2035

200,000

235,823

Smithfield

Foods,

Inc.

4.25%,

2/1/2027

(b)

230,000

234,860

470,683

Gas

Utilities

-

0.3%

National

Fuel

Gas

Co.

4.75%,

9/1/2028

298,000

302,470

Health

Care

Equipment

&

Supplies

-

0.6%

Edwards

Lifesciences

Corp.

4.30%,

6/15/2028

620,000

739,168

Health

Care

Providers

&

Services

-

1.3%

Anthem,

Inc.

4.63%,

5/15/2042

340,000

423,169

HCA,

Inc.

5.00%,

3/15/2024

360,000

400,141

Humana,

Inc.

4.95%,

10/1/2044

350,000

459,693

Montefiore

Obligated

Group

4.29%,

9/1/2050

200,000

198,063

1,481,066

Hotels,

Restaurants

&

Leisure

-

0.5%

Darden

Restaurants,

Inc.

4.55%,

2/15/2048

140,000

133,406

Las

Vegas

Sands

Corp.

3.50%,

8/18/2026

430,000

428,782

562,188

Household

Durables

-

0.2%

DR

Horton,

Inc.

2.50%,

10/15/2024

220,000

229,780

Industrial

Conglomerates

-

0.8%

Carlisle

Cos.,

Inc.

2.75%,

3/1/2030

100,000

102,927

Roper

Technologies,

Inc.

3.80%,

12/15/2026

770,000

879,483

982,410

Insurance

-

0.3%

Aon

plc

4.75%,

5/15/2045

300,000

375,371

Internet

&

Direct

Marketing

Retail

-

0.5%

Amazon.com,

Inc.

4.05%,

8/22/2047

450,000

585,399

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Life

Sciences

Tools

&

Services

-

0.2%

PerkinElmer,

Inc.

3.30%,

9/15/2029

$

200,000

214,362

Media

-

0.4%

Charter

Communications

Operating

LLC

4.91%,

7/23/2025

400,000

458,433

Metals

&

Mining

-

0.5%

Barrick

North

America

Finance

LLC

(Canada)

5.75%,

5/1/2043

100,000

141,271

Corp.

Nacional

del

Cobre

de

Chile

(Chile)

6.15%,

10/24/2036

(b)

110,000

140,652

Kinross

Gold

Corp.

(Canada)

5.95%,

3/15/2024

130,000

146,131

Teck

Resources

Ltd.

(Canada)

6.25%,

7/15/2041

100,000

109,338

537,392

Multi-Utilities

-

0.4%

Sempra

Energy

3.40%,

2/1/2028

440,000

481,370

Oil,

Gas

&

Consumable

Fuels

-

1.3%

Devon

Energy

Corp.

5.00%,

6/15/2045

190,000

168,953

HollyFrontier

Corp.

5.88%,

4/1/2026

520,000

570,655

KazTransGas

JSC

(Kazakhstan)

4.38%,

9/26/2027

(b)

200,000

214,060

ONEOK,

Inc.

4.95%,

7/13/2047

320,000

313,196

Petroleos

Mexicanos

(Mexico)

4.50%,

1/23/2026

20,000

17,450

6.50%,

3/13/2027

70,000

63,176

6.63%,

6/15/2035

130,000

105,781

6.63%,

6/15/2038

10,000

7,782

6.35%,

2/12/2048

10,000

7,427

Western

Midstream

Operating

LP

5.30%,

3/1/2048

100,000

81,125

1,549,605

Pharmaceuticals

-

0.2%

Zoetis,

Inc.

4.70%,

2/1/2043

200,000

263,671

Professional

Services

-

1.4%

IHS

Markit

Ltd.

4.75%,

2/15/2025

(b)

670,000

750,400

Verisk

Analytics,

Inc.

4.00%,

6/15/2025

730,000

825,373

1,575,773

Road

&

Rail

-

0.4%

Kansas

City

Southern

2.88%,

11/15/2029

450,000

474,974

Semiconductors

&

Semiconductor

Equipment

-

0.9%

Broadcom

Corp.

3.88%,

1/15/2027

430,000

464,665

Micron

Technology,

Inc.

5.33%,

2/6/2029

390,000

466,600

116

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

0.9%

(continued)

NVIDIA

Corp.

3.20%,

9/16/2026

$

97,000

109,874

1,041,139

Software

-

1.1%

Adobe,

Inc.

2.30%,

2/1/2030

450,000

485,996

Citrix

Systems,

Inc.

4.50%,

12/1/2027

720,000

826,086

1,312,082

Specialty

Retail

-

0.5%

Best

Buy

Co.,

Inc.

4.45%,

10/1/2028

550,000

638,133

Technology

Hardware,

Storage

&

Peripherals

-

0.9%

Seagate

HDD

Cayman

4.09%,

6/1/2029

(b)

460,000

482,200

Xerox

Corp.

4.12%,

3/15/2023

(c)

600,000

599,100

1,081,300

Trading

Companies

&

Distributors

-

0.1%

WW

Grainger,

Inc.

4.60%,

6/15/2045

62,000

78,139

Water

Utilities

-

0.1%

American

Water

Capital

Corp.

3.75%,

9/1/2047

100,000

116,155

Wireless

Telecommunication

Services

-

0.4%

Sprint

Spectrum

Co.

LLC

4.74%,

3/20/2025

(b)

400,000

434,088

TOTAL

CORPORATE

BONDS

(Cost

$29,624,483)

31,405,160

MORTGAGE-BACKED

SECURITIES

-

32.4%

UMBS,

15

Year,

Single

Family

TBA,

2.50%,

7/25/2035

1,800,000

1,884,516

TBA,

3.00%,

7/25/2035

1,800,000

1,891,969

UMBS,

30

Year,

Single

Family

TBA,

2.50%,

7/25/2050

2,600,000

2,710,500

TBA,

3.00%,

7/25/2050

9,750,000

10,268,730

TBA,

3.50%,

7/25/2050

9,800,000

10,307,227

TBA,

4.00%,

7/25/2050

6,200,000

6,570,184

TBA,

4.50%,

7/25/2050

3,900,000

4,190,367

TOTAL

MORTGAGE-BACKED

SECURITIES

(Cost

$37,835,816)

37,823,493

FOREIGN

GOVERNMENT

SECURITIES

-

20.2%

Arab

Republic

of

Egypt

8.50%,

1/31/2047

(d)

200,000

195,000

Buoni

Poliennali

del

Tesoro

4.75%,

9/1/2028

(d)

EUR

10,000

14,445

6.00%,

5/1/2031

(d)

950,000

1,562,348

4.00%,

2/1/2037

(d)

330,000

486,839

Commonwealth

of

Australia

2.75%,

11/21/2027

(d)

AUD

2,120,000

1,683,153

2.25%,

5/21/2028

(d)

6,370,000

4,911,640

2.75%,

11/21/2028

(d)

210,000

168,265

3.25%,

4/21/2029

(d)

1,530,000

1,275,324

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

20.2%

(continued)

Dominican

Republic

Government

Bond

6.88%,

1/29/2026

(b)

$

100,000

104,800

7.45%,

4/30/2044

(b)

100,000

102,750

Export-Import

Bank

of

India

4.00%,

1/14/2023

(d)

200,000

208,807

Federal

Republic

of

Nigeria

7.88%,

2/16/2032

(b)

200,000

188,048

Federative

Republic

of

Brazil

8.25%,

1/20/2034

20,000

25,925

7.13%,

1/20/2037

140,000

168,140

Hungary

Government

Bond

5.75%,

11/22/2023

20,000

22,720

7.63%,

3/29/2041

20,000

33,446

Japan

Government

Bond

0.10%,

6/20/2028

JPY

184,150,000

1,727,591

0.10%,

9/20/2028

127,150,000

1,192,248

0.10%,

12/20/2028

68,800,000

644,589

0.10%,

3/20/2029

34,050,000

318,734

0.10%,

6/20/2029

236,800,000

2,214,922

2.10%,

3/20/2030

124,750,000

1,387,426

0.60%,

12/20/2036

4,500,000

43,556

2.50%,

3/20/2038

157,400,000

1,991,833

2.40%,

9/20/2038

4,250,000

53,345

2.30%,

3/20/2039

3,500,000

43,532

2.30%,

3/20/2040

13,700,000

171,971

Kingdom

of

Saudi

Arabia

2.90%,

10/22/2025

(b)

$

200,000

212,080

Oriental

Republic

of

Uruguay

7.63%,

3/21/2036

100,000

151,501

Republic

of

Colombia

8.13%,

5/21/2024

130,000

156,325

7.38%,

9/18/2037

130,000

178,100

Republic

of

El

Salvador

6.38%,

1/18/2027

(b)

10,000

8,575

8.25%,

4/10/2032

(b)

40,000

36,500

Republic

of

Honduras

6.25%,

1/19/2027

(b)

150,000

159,675

Republic

of

Indonesia

2.95%,

1/11/2023

200,000

205,698

Republic

of

Kenya

7.00%,

5/22/2027

(b)

200,000

197,000

Republic

of

Peru

8.75%,

11/21/2033

110,000

183,426

Republic

of

Philippines

9.50%,

2/2/2030

100,000

162,588

Republic

of

Poland

3.25%,

4/6/2026

20,000

22,406

Republic

of

Turkey

6.88%,

3/17/2036

80,000

77,769

Romania

Government

Bond

6.75%,

2/7/2022

(b)

180,000

193,446

4.38%,

8/22/2023

(b)

30,000

31,872

Russian

Federation

5.25%,

6/23/2047

(b)

200,000

264,000

State

of

Qatar

9.75%,

6/15/2030

(b)

20,000

33,126

Sultanate

of

Oman

Government

Bond

6.75%,

1/17/2048

(d)

200,000

172,500

117

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

20.2%

(continued)

Ukraine

Government

Bond

7.75%,

9/1/2027

(b)

$

150,000

155,625

United

Mexican

States

6.05%,

1/11/2040

30,000

36,579

4.75%,

3/8/2044

50,000

53,000

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$23,273,744)

23,633,188

U.S.

TREASURY

OBLIGATIONS

-

37.6%

U.S.

Treasury

Bonds

3.13%,

2/15/2043

500,000

677,930

2.88%,

5/15/2043

4,160,000

5,434,488

3.63%,

8/15/2043

330,000

482,006

3.75%,

11/15/2043

3,140,000

4,673,080

2.75%,

8/15/2047

3,640,000

4,756,030

U.S.

Treasury

Notes

1.63%,

12/31/2021

6,950,000

7,100,674

1.75%,

2/28/2022

1,520,000

1,559,603

1.63%,

12/15/2022

13,890,000

14,385,916

2.00%,

8/15/2025

1,840,000

1,997,406

1.63%,

2/15/2026

10,000

10,698

2.25%,

11/15/2027

10,000

11,263

2.75%,

2/15/2028

430,000

501,588

2.88%,

8/15/2028

1,930,000

2,285,693

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$41,109,434)

43,876,375

SHARES

SHORT-TERM

INVESTMENTS

-

9.7%

INVESTMENT

COMPANIES

-

9.7%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(e)

(Cost

$11,335,105)

11,335,536

11,337,803

TOTAL

INVESTMENTS

BEFORE

TBA

SALE

COMMITMENTS

(Cost

$143,178,582)

148,076,019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

TBA

SALE

COMMITMENTS

-

(0.8)%

MORTGAGE-BACKED

SECURITIES

-

(0.8)%

UMBS,

15

Year,

Single

Family

TBA,

3.00%,

7/25/2035

$

(50,000)

(52,555)

UMBS,

30

Year,

Single

Family

TBA,

3.00%,

7/25/2050

(50,000)

(52,660)

TBA,

3.50%,

7/25/2050

(300,000)

(315,527)

TBA,

4.00%,

7/25/2050

(300,000)

(317,912)

TBA,

4.50%,

7/25/2050

(150,000)

(161,168)

TOTAL

TBA

SALE

COMMITMENTS

(Proceeds

$(899,867))

(899,822)

TOTAL

INVESTMENTS

NET

OF

TBA

SALE

COMMITMENTS

-

126.0%

(Cost

$142,278,715)

147,176,197

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(26.0)%

(f)

(30,425,636)

NET

ASSETS

-

100.0%

116,750,561

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,400,828

1.2

%

Consumer

Discretionary

2,354,502

2.0

Consumer

Staples

1,632,608

1.4

Energy

1,549,605

1.3

Financials

7,732,517

6.6

Foreign

Government

Securities

23,633,188

20.2

Health

Care

3,069,409

2.6

Industrials

3,899,222

3.4

Information

Technology

3,905,320

3.4

Materials

2,309,740

2.0

Mortgage-Backed

Securities

36,923,671

31.6

Real

Estate

615,205

0.5

U.S.

Treasury

Obligations

43,876,375

37.6

Utilities

2,936,204

2.5

Short-Term

Investments

11,337,803

9.7

Total

Investments

In

Securities

At

Value

147,176,197

126.0

Liabilities

in

Excess

of

Other

Assets

(f)

(30,425,636)

(26.0)

Net

Assets

$

116,750,561

100.0%

(a)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

June

30,

2020.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$6,426,827,

which

represents

approximately

5.50%

of

net

assets

of

the

fund.

(c)

Step

bond.

Coupon

rate

is

a

fixed

rate

for

an

initial

period

that

either

resets

at

a

specific

date

or

may

reset

in

the

future

contingent

upon

a

rating

change

made

by

a

rating

agency.

The

interest

rate

shown

was

the

current

rate

as

of

June

30,

2020.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$10,678,321

or

9.15%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

118

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

June

30,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Federative

Republic

of

Brazil,

4.25%,

1/7/2025

1.00

%

Quarterly

6/20/2025

2.36

%

USD

400,000

$

30,091

$

(83)

$

30,008

Markit

CDX

Emerging

Markets

Index

Series

33.V2

1.00

Quarterly

6/20/2025

2.00

USD

5,910,000

615,923

(353,089)

262,834

Republic

of

Chile,

3.88%,

8/5/2020

1.00

Quarterly

6/20/2025

0.86

USD

1,000,000

5,832

(2,365)

3,467

651,846

(355,537)

296,309

Republic

of

Philippines,  

10.62%,

3/16/2025

1.00

%

Quarterly

6/20/2025

0.62

%

USD

2,200,000

$

(35,335)

$

(569)

$

(35,904)

(35,335)

(569)

(35,904)

$

616,511

$

(356,106)

$

260,405

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

June

30,

2020

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

%

Quarterly

6/20/2025

0.76

%

USD

21,640,000

$

(2,863)

$

255,114

$

252,252

Penerbangan

Malaysia

Bhd.,  

5.63%,

3/15/2016

1.00

Quarterly

6/20/2025

0.73

USD

1,900,000

22,477

2,038

24,515

People's

Republic

of

China,  

7.50%,

10/28/2027

1.00

Quarterly

6/20/2025

0.49

USD

2,000,000

49,016

527

49,543

Republic

of

Colombia,  

10.38%,

1/28/2033

1.00

Quarterly

6/20/2025

1.60

USD

800,000

6,438

21,240

27,678

Republic

of

Korea,  

2.75%,

1/19/2027

1.00

Quarterly

6/20/2025

0.27

USD

1,200,000

43,351

324

43,675

United

Mexican

States,  

4.15%,

3/28/2027

1.00

Quarterly

6/20/2025

1.57

USD

800,000

–

32,947

32,947

118,419

312,190

430,610

Markit

CDX

North

America

High

Yield

Index

Series

34.V6

5.00

%

Quarterly

6/20/2025

5.17

%

USD

1,370,000

$

(78,442)

$

70,548

$

(7,894)

Republic

of

Indonesia,

3.70%,

1/8/2022

1.00

Quarterly

6/20/2025

1.32

USD

1,100,000

(65,323)

49,229

(16,095)

Republic

of

Italy,

6.88%,

9/27/2023

1.00

Quarterly

6/20/2025

1.63

USD

300,000

(9,524)

70

(9,454)

Russian

Federation,

12.75%,

6/24/2028

1.00

Quarterly

6/20/2025

1.11

USD

500,000

(36,694)

34,316

(2,378)

(189,983)

154,163

(35,821)

$

(71,564)

$

466,353

$

394,789

119

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

June

30,

2020:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3

Month

BA

Quarterly

0.75%

Semi-Annually

9/14/2022

CAD

12,600,000

$

16,900

$

17,419

$

34,319

Pay

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

4,600,000

41,087

3,468

44,555

Pay

3

Month

BA

Quarterly

1.00%

Semi-Annually

9/15/2025

CAD

12,500,000

75,904

23,898

99,802

Pay

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/15/2025

CAD

5,700,000

92,380

(395)

91,985

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

9/08/2022

AUD

8,300,000

7,071

27,557

34,628

Pay

3

Month

BBR

Quarterly

0.50%

Semi-Annually

9/14/2022

NZD

200,000

(259)

1,016

757

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

3,300,000

10,665

2,202

12,867

Pay

3

Month

BBR

Quarterly

1.00%

Semi-Annually

12/11/2030

NZD

900,000

9,186

3,098

12,284

Pay

3

Month

CD_KSDA

Quarterly

1.00%

Quarterly

12/21/2022

KRW

2,483,100,000

7,504

(89)

7,415

Pay

3

Month

JIBAR

Quarterly

5.00%

Quarterly

9/21/2022

ZAR

9,900,000

3,044

9,953

12,997

Pay

3

Month

JIBAR

Quarterly

6.00%

Quarterly

9/21/2022

ZAR

6,800,000

(153)

16,613

16,460

Pay

3

Month

JIBAR

Quarterly

4.50%

Quarterly

12/21/2022

ZAR

30,100,000

396

17,748

18,144

Pay

3

Month

LIBOR

Quarterly

0.50%

Semi-Annually

9/16/2022

USD

4,100,000

21,500

2,594

24,094

Pay

3

Month

LIBOR

Quarterly

1.50%

Semi-Annually

9/16/2022

USD

2,000,000

45,777

5,971

51,748

Pay

3

Month

LIBOR

Quarterly

0.50%

Semi-Annually

9/16/2025

USD

9,800,000

(22,556)

101,523

78,967

Pay

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2025

USD

9,600,000

229,756

75,041

304,797

Pay

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

200,000

5,644

751

6,395

Pay

3

Month

STIBOR

Quarterly

0.50%

Annually

9/18/2030

SEK

25,900,000

24,296

30,438

54,734

Pay

6

Month

BBR

Semi-Annually

0.50%

Semi-Annually

9/11/2025

AUD

1,600,000

(8,372)

10,794

2,422

Pay

6

Month

BBR

Semi-Annually

0.50%

Semi-Annually

12/11/2025

AUD

9,300,000

(22,744)

24,484

1,740

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2022

EUR

1,300,000

2,964

1,386

4,350

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2030

EUR

200,000

8,233

1,203

9,436

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2030

EUR

11,600,000

355,184

192,092

547,276

Pay

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

50,000,000

358,298

362,429

720,727

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

789,100,000

4,068

41

4,109

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

13,500,000

83,685

31,775

115,460

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

1,854,700,000

16,304

(5,237)

11,067

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CHF

2,700,000

5,658

1,663

7,321

Pay

6

Month

LIBOR

Semi-Annually

1.00%

Semi-Annually

9/16/2025

GBP

16,900,000

404,508

392,077

796,585

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

9/17/2025

CHF

3,500,000

(8,211)

11,801

3,590

Pay

6

Month

NIBOR

Semi-Annually

1.50%

Annually

9/21/2022

NOK

8,200,000

(1,639)

19,110

17,471

120

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

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

NIBOR

Semi-Annually

0.50%

Annually

9/21/2022

NOK

24,900,000

$

(4,160)

$

5,121

$

961

Pay

6

Month

NIBOR

Semi-Annually

1.00%

Annually

9/17/2025

NOK

12,900,000

(7,503)

29,062

21,559

Pay

6

Month

PRIBOR

Semi-Annually

0.50%

Annually

9/21/2022

CZK

55,300,000

1,552

5,371

6,923

Pay

6

Month

PRIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CZK

47,100,000

3,135

2,524

5,659

Pay

6

Month

SIBOR

Semi-Annually

1.00%

Semi-Annually

9/21/2022

SGD

3,600,000

41

35,475

35,516

Pay

6

Month

SIBOR

Semi-Annually

0.50%

Semi-Annually

9/21/2022

SGD

1,600,000

1,557

2,659

4,216

Pay

6

Month

SIBOR

Semi-Annually

0.50%

Semi-Annually

12/21/2022

SGD

5,400,000

9,572

2,792

12,364

Pay

6

Month

WIBOR

Semi-Annually

0.50%

Annually

12/21/2022

PLN

6,300,000

4,912

830

5,742

Receive

3

Month

BBR

Quarterly

0.00%

Quarterly

12/08/2022

AUD

2,900,000

9,028

(418)

8,610

Receive

3

Month

BBR

Quarterly

0.00%

Semi-Annually

12/14/2022

NZD

4,900,000

12,916

(808)

12,108

Receive

6

Month

BUBOR

Semi-Annually

0.50%

Annually

9/21/2022

HUF

857,300,000

28,534

(23,228)

5,306

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

13,400,000

39,881

(12,016)

27,865

Receive

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/21/2022

NOK

29,100,000

502

(492)

10

1,866,045

1,429,296

3,295,341

Pay

3

Month

BBR

Quarterly

0.50%

Semi-Annually

12/11/2030

NZD

100,000

(945)

(850)

(1,795)

Pay

3

Month

STIBOR

Quarterly

0.00%

Annually

9/17/2025

SEK

29,100,000

(25,850)

13,798

(12,052)

Pay

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

4,500,000

(15,960)

6,603

(9,357)

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

900,000

(19,078)

8,254

(10,824)

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

2,600,000

(40,774)

9,502

(31,272)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

159,300,000

(9,522)

73

(9,449)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

266,800,000

(904)

(14,921)

(15,825)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

374,800,000

(23,861)

(1,062)

(24,923)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

263,000,000

(8,911)

(8,578)

(17,489)

Pay

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/21/2022

NOK

25,700,000

(2,593)

2,585

(8)

Pay

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/17/2025

NOK

24,200,000

(25,341)

(266)

(25,607)

Receive

1

Month

TIIE

Monthly

5.50%

Monthly

9/15/2022

MXN

12,600,000

(2,542)

(9,686)

(12,228)

Receive

1

Month

TIIE

Monthly

7.00%

Monthly

9/15/2022

MXN

17,400,000

(3,836)

(34,831)

(38,667)

Receive

1

Month

TIIE

Monthly

5.00%

Monthly

9/15/2022

MXN

12,700,000

(4,902)

(2,125)

(7,027)

Receive

1

Month

TIIE

Monthly

6.00%

Monthly

9/15/2022

MXN

11,500,000

(2,243)

(13,717)

(15,960)

Receive

1

Month

TIIE

Monthly

4.50%

Monthly

12/14/2022

MXN

11,500,000

421

(1,750)

(1,329)

Receive

3

Month

BA

Quarterly

0.75%

Semi-Annually

9/14/2022

CAD

15,500,000

(33,017)

(9,201)

(42,218)

Receive

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

7,200,000

(65,523)

(4,216)

(69,739)

Receive

3

Month

BA

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

3,100,000

(196,433)

(17,765)

(214,198)

Receive

3

Month

BA

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

2,500,000

(147,184)

(25,556)

(172,740)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

1,400,000

(42,935)

(782)

(43,717)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

900,000

(26,297)

(1,806)

(28,103)

121

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

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

3

Month

BBR

Quarterly

0.50%

Quarterly

9/08/2022

AUD

2,000,000

$

(7,839)

$

(506)

$

(8,345)

Receive

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

8,600,000

(25,498)

(8,034)

(33,532)

Receive

3

Month

BBR

Quarterly

1.00%

Semi-Annually

9/10/2025

NZD

200,000

(1,386)

(2,667)

(4,053)

Receive

3

Month

HIBOR

Quarterly

1.00%

Quarterly

12/21/2022

HKD

19,600,000

(10,494)

(4,394)

(14,888)

Receive

3

Month

LIBOR

Quarterly

0.50%

Semi-Annually

9/16/2022

USD

12,400,000

(49,944)

(22,926)

(72,870)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

11,900,000

(106,518)

(23,797)

(130,315)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

900,000

(8,761)

(1,094)

(9,855)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

9/16/2030

USD

2,400,000

(17,293)

(5,415)

(22,708)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

9/16/2030

USD

900,000

(6,868)

(1,648)

(8,516)

Receive

3

Month

LIBOR

Quarterly

1.75%

Semi-Annually

9/16/2030

USD

400,000

(40,434)

(2,853)

(43,287)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

2,600,000

(35,737)

(47,397)

(83,134)

Receive

3

Month

STIBOR

Quarterly

0.00%

Annually

9/21/2022

SEK

36,000,000

3,415

(4,940)

(1,525)

Receive

3

Month

STIBOR

Quarterly

0.00%

Annually

9/21/2022

SEK

126,100,000

19,322

(24,663)

(5,341)

Receive

3

Month

STIBOR

Quarterly

0.50%

Annually

9/18/2030

SEK

7,300,000

(10,271)

(5,156)

(15,427)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

9/12/2030

AUD

400,000

(2,747)

30

(2,717)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

9/12/2030

AUD

1,800,000

(6,034)

(6,192)

(12,226)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

2,400,000

4,787

(15,340)

(10,553)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

600,000

119

(2,757)

(2,638)

Receive

6

Month

BUBOR

Semi-Annually

1.00%

Annually

9/21/2022

HUF

985,900,000

(7,177)

(18,283)

(25,460)

Receive

6

Month

BUBOR

Semi-Annually

1.00%

Annually

12/21/2022

HUF

319,000,000

(5,852)

(2,588)

(8,440)

Receive

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2022

EUR

59,100,000

(83,217)

(114,525)

(197,742)

Receive

6

Month

EURIBOR

Semi-Annually

0.00%

Annually

9/16/2025

EUR

1,100,000

(18,851)

(3,002)

(21,853)

Receive

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2025

EUR

3,500,000

(1,616)

(16,665)

(18,281)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

21,400,000

(162,747)

(145,724)

(308,471)

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

9/21/2022

CHF

4,400,000

(13,102)

627

(12,475)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

1,322,000,000

(4,722)

(2,162)

(6,884)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

1,304,300,000

(8,282)

499

(7,783)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/17/2025

JPY

632,400,000

(46,148)

38,512

(7,636)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/17/2025

JPY

1,487,400,000

(19,356)

2,832

(16,524)

Receive

6

Month

LIBOR

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

4,200,000

(228,640)

(97,085)

(325,725)

122

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

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

LIBOR

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

9,900,000

$

(597,244)

$

(170,537)

$

(767,781)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

9/18/2030

CHF

900,000

(20,355)

(8,334)

(28,689)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

2,700,000

(106,598)

(16,899)

(123,497)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

12/18/2030

CHF

500,000

(10,866)

(3,978)

(14,844)

Receive

6

Month

NIBOR

Semi-Annually

0.50%

Annually

9/21/2022

NOK

16,200,000

3,623

(4,248)

(625)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

9/18/2030

NOK

3,300,000

(568)

(2,191)

(2,759)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

9/18/2030

NOK

7,000,000

(18,063)

12,209

(5,854)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

12/18/2030

NOK

6,200,000

(3,192)

(620)

(3,812)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

12/18/2030

NOK

5,200,000

(1,812)

(1,385)

(3,197)

(2,355,196)

(839,593)

(3,194,789)

$

(489,151)

$

589,703

$

100,552

(a)

Floating

rate

indices

at

June

30,

2020

were

as

follows:

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

5.28%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.10%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.56%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

0.78%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

3.91%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

0.79%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.30%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

0.06%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.16%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

0.74%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.31)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.37%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.48%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

0.37%

6

Month

Singapore

Interbank

Offered

Rate

(''SIBOR''):

0.72%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

0.18%

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Japan

10

Year

Bond

3

9/2020

JPY

$

4,221,811

$

(2,224)

U.S.

Treasury

10

Year

Note

61

9/2020

USD

8,489,484

22,457

U.S.

Treasury

2

Year

Note

117

9/2020

USD

25,836,891

7,125

27,358

Short

Contracts

Canada

10

Year

Bond

(6)

9/2020

CAD

(679,817)

(428)

Euro-Bund

(50)

9/2020

EUR

(9,916,011)

(53,721)

Euro-OAT

(41)

9/2020

EUR

(7,722,546)

(84,539)

Long

Gilt

(59)

9/2020

GBP

(10,062,434)

(12,534)

U.S.

Treasury

Ultra

Bond

(2)

9/2020

USD

(436,313)

(1,128)

(152,350)

$

(124,992)

123

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,801,372

USD

1,883,618

CITI

9/16/2020

$

50,115

AUD

1,111,378

USD

743,272

JPMC

9/16/2020

23,890

BRL

100,624

USD

18,429

CITI

**

9/16/2020

13

BRL

100,626

USD

18,430

JPMC

**

9/16/2020

13

CAD

1,100,000

USD

808,782

CITI

9/16/2020

1,598

CHF

331,500

USD

344,888

CITI

9/16/2020

5,807

CHF

331,500

USD

344,889

JPMC

9/16/2020

5,807

COP

25,000,000

USD

6,591

CITI

**

9/16/2020

19

COP

25,000,000

USD

6,591

JPMC

**

9/16/2020

18

CZK

300,000

USD

12,542

CITI

9/16/2020

111

CZK

300,000

USD

12,542

JPMC

9/16/2020

111

EUR

595,613

USD

663,939

CITI

9/16/2020

6,382

EUR

295,611

USD

330,631

JPMC

9/16/2020

2,059

HUF

7,056,750

USD

22,204

CITI

9/16/2020

175

HUF

7,056,750

USD

22,204

JPMC

9/16/2020

175

INR

12,520,500

USD

163,793

CITI

**

9/16/2020

572

INR

12,520,500

USD

163,793

JPMC

**

9/16/2020

572

JPY

96,861,000

USD

892,405

CITI

9/16/2020

5,601

JPY

96,861,000

USD

892,406

JPMC

9/16/2020

5,599

KRW

249,030,500

USD

203,750

CITI

**

9/16/2020

3,953

KRW

249,030,500

USD

203,750

JPMC

**

9/16/2020

3,952

NZD

1,414,000

USD

874,336

CITI

9/16/2020

38,052

NZD

1,414,000

USD

874,337

JPMC

9/16/2020

38,051

PHP

4,500,000

USD

88,942

CITI

**

9/16/2020

1,144

PHP

4,500,000

USD

88,942

JPMC

**

9/16/2020

1,144

PLN

236,741

USD

59,194

CITI

9/16/2020

659

PLN

236,755

USD

59,198

JPMC

9/16/2020

659

SEK

659,500

USD

70,723

CITI

9/16/2020

120

SEK

659,500

USD

70,723

JPMC

9/16/2020

120

SGD

162,500

USD

114,918

CITI

9/16/2020

1,712

SGD

162,500

USD

114,918

JPMC

9/16/2020

1,712

TWD

7,650,000

USD

258,495

CITI

**

9/16/2020

4,447

TWD

7,650,000

USD

258,495

JPMC

**

9/16/2020

4,447

USD

2,480,861

AUD

3,576,066

CITI

9/16/2020

12,372

USD

855,848

AUD

1,233,066

JPMC

9/16/2020

4,687

USD

451,316

BRL

2,367,748

CITI

**

9/16/2020

17,359

USD

451,316

BRL

2,367,752

JPMC

**

9/16/2020

17,358

USD

1,127,991

CAD

1,519,380

CITI

9/16/2020

8,650

USD

1,127,985

CAD

1,519,373

JPMC

9/16/2020

8,649

USD

291,459

CHF

275,000

CITI

9/16/2020

535

USD

291,458

CHF

275,000

JPMC

9/16/2020

535

USD

192,460

CLP

155,000,000

CITI

**

9/16/2020

3,537

USD

192,459

CLP

155,000,000

JPMC

**

9/16/2020

3,536

USD

25,430

COP

95,000,000

CITI

**

9/16/2020

313

USD

25,430

COP

95,000,000

JPMC

**

9/16/2020

313

USD

1,947,662

EUR

1,714,387

CITI

9/16/2020

18,238

USD

914,945

EUR

807,389

JPMC

9/16/2020

6,285

USD

799,556

GBP

636,123

CITI

9/16/2020

10,979

USD

799,560

GBP

636,127

JPMC

9/16/2020

10,978

USD

144,970

HUF

45,363,500

CITI

9/16/2020

1,107

USD

119,515

HUF

37,337,000

JPMC

9/16/2020

1,107

USD

26,069

IDR

375,000,000

CITI

**

9/16/2020

631

USD

26,069

IDR

375,000,000

JPMC

**

9/16/2020

631

USD

3,771,852

JPY

404,657,974

CITI

9/16/2020

20,239

USD

2,845,387

JPY

305,488,974

JPMC

9/16/2020

13,176

124

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

407,010

NOK

3,874,250

CITI

9/16/2020

$

4,384

USD

407,009

NOK

3,874,250

JPMC

9/16/2020

4,384

USD

140,796

PLN

552,501

CITI

9/16/2020

1,109

USD

140,795

PLN

552,499

JPMC

9/16/2020

1,109

USD

7,174

RUB

500,000

CITI

**

9/16/2020

210

USD

7,174

RUB

500,000

JPMC

**

9/16/2020

210

USD

72,311

ZAR

1,245,000

CITI

9/16/2020

1,135

USD

72,310

ZAR

1,245,000

JPMC

9/16/2020

1,135

ZAR

1,527,250

USD

86,719

CITI

9/16/2020

592

ZAR

1,527,250

USD

86,720

JPMC

9/16/2020

592

USD

472,039

MXN

10,504,496

CITI

9/17/2020

19,724

USD

472,038

MXN

10,504,504

JPMC

9/17/2020

19,723

Total

unrealized

appreciation

424,331

AUD

482,624

USD

335,757

CITI

9/16/2020

(2,611)

AUD

482,626

USD

335,759

JPMC

9/16/2020

(2,611)

BRL

1,659,874

USD

323,449

CITI

**

9/16/2020

(19,229)

BRL

1,659,876

USD

323,450

JPMC

**

9/16/2020

(19,230)

CAD

2,455,500

USD

1,811,366

CITI

9/16/2020

(2,377)

CAD

498,500

USD

367,960

JPMC

9/16/2020

(711)

CLP

50,000,000

USD

61,916

CITI

**

9/16/2020

(973)

CLP

50,000,000

USD

61,916

JPMC

**

9/16/2020

(973)

COP

60,000,000

USD

15,944

CITI

**

9/16/2020

(80)

COP

60,000,000

USD

15,944

JPMC

**

9/16/2020

(80)

CZK

450,000

USD

19,084

CITI

9/16/2020

(106)

CZK

450,000

USD

19,084

JPMC

9/16/2020

(106)

EUR

456,112

USD

515,065

CITI

9/16/2020

(1,742)

EUR

456,112

USD

515,066

JPMC

9/16/2020

(1,743)

HUF

15,556,750

USD

50,018

CITI

9/16/2020

(682)

HUF

15,556,750

USD

50,018

JPMC

9/16/2020

(682)

ILS

160,000

USD

46,757

CITI

9/16/2020

(471)

ILS

160,000

USD

46,757

JPMC

9/16/2020

(471)

INR

11,520,500

USD

151,476

CITI

**

9/16/2020

(239)

INR

11,520,500

USD

151,476

JPMC

**

9/16/2020

(240)

JPY

166,086,500

USD

1,544,596

CITI

9/16/2020

(4,796)

JPY

166,086,500

USD

1,544,598

JPMC

9/16/2020

(4,797)

KRW

55,180,000

USD

46,232

CITI

**

9/16/2020

(210)

KRW

55,180,000

USD

46,232

JPMC

**

9/16/2020

(210)

NOK

924,500

USD

96,584

CITI

9/16/2020

(507)

NOK

924,500

USD

96,584

JPMC

9/16/2020

(507)

PLN

145,752

USD

37,182

CITI

9/16/2020

(332)

PLN

145,752

USD

37,182

JPMC

9/16/2020

(332)

RUB

12,000,000

USD

170,315

CITI

**

9/16/2020

(3,183)

RUB

12,000,000

USD

170,315

JPMC

**

9/16/2020

(3,184)

SEK

1,189,000

USD

128,315

CITI

9/16/2020

(594)

SEK

1,189,000

USD

128,315

JPMC

9/16/2020

(594)

SGD

117,500

USD

84,393

CITI

9/16/2020

(60)

SGD

117,500

USD

84,393

JPMC

9/16/2020

(60)

TWD

1,150,000

USD

39,549

CITI

**

9/16/2020

(22)

TWD

1,150,000

USD

39,550

JPMC

**

9/16/2020

(22)

USD

3,135,015

AUD

4,694,196

CITI

9/16/2020

(105,298)

USD

2,450,894

AUD

3,699,198

JPMC

9/16/2020

(102,591)

USD

168,450

BRL

921,750

CITI

**

9/16/2020

(487)

USD

168,450

BRL

921,750

JPMC

**

9/16/2020

(487)

USD

2,334,434

CAD

3,212,128

CITI

9/16/2020

(31,970)

USD

737,203

CAD

1,013,119

JPMC

9/16/2020

(9,171)

USD

235,998

CZK

5,700,000

CITI

9/16/2020

(4,400)

USD

235,997

CZK

5,700,000

JPMC

9/16/2020

(4,400)

USD

1,365,676

EUR

1,217,890

CITI

9/16/2020

(4,975)

125

AQR

Funds

|

N-PORT

Part

F

|

June

2020

See

notes

to

Schedule

of

Investments.

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

448,663

EUR

400,886

JPMC

9/16/2020

$

(2,507)

USD

137,530

GBP

111,874

CITI

9/16/2020

(1,156)

USD

137,532

GBP

111,876

JPMC

9/16/2020

(1,156)

USD

98,381

HUF

31,250,000

CITI

9/16/2020

(723)

USD

123,836

HUF

39,276,500

JPMC

9/16/2020

(723)

USD

24,859

IDR

375,000,000

CITI

**

9/16/2020

(578)

USD

24,859

IDR

375,000,000

JPMC

**

9/16/2020

(578)

USD

301,488

ILS

1,055,000

CITI

9/16/2020

(3,712)

USD

301,487

ILS

1,055,000

JPMC

9/16/2020

(3,713)

USD

46,473

INR

3,541,000

CITI

**

9/16/2020

(12)

USD

46,473

INR

3,541,000

JPMC

**

9/16/2020

(12)

USD

2,488,324

JPY

269,882,475

CITI

9/16/2020

(13,776)

USD

2,488,321

JPY

269,882,474

JPMC

9/16/2020

(13,779)

USD

189,442

KRW

230,898,000

CITI

**

9/16/2020

(3,136)

USD

189,442

KRW

230,898,000

JPMC

**

9/16/2020

(3,137)

USD

392,645

NOK

3,874,250

CITI

9/16/2020

(9,980)

USD

392,644

NOK

3,874,250

JPMC

9/16/2020

(9,981)

USD

274,906

NZD

436,000

CITI

9/16/2020

(6,425)

USD

274,906

NZD

436,000

JPMC

9/16/2020

(6,425)

USD

56,603

PLN

224,992

CITI

9/16/2020

(278)

USD

56,607

PLN

225,008

JPMC

9/16/2020

(278)

USD

303,647

SEK

2,911,500

CITI

9/16/2020

(9,103)

USD

303,646

SEK

2,911,500

JPMC

9/16/2020

(9,104)

USD

155,072

SGD

220,000

CITI

9/16/2020

(2,828)

USD

155,071

SGD

220,000

JPMC

9/16/2020

(2,828)

USD

21,242

ZAR

374,000

CITI

9/16/2020

(139)

USD

21,242

ZAR

374,000

JPMC

9/16/2020

(139)

ZAR

1,327,250

USD

77,044

CITI

9/16/2020

(1,167)

ZAR

1,327,250

USD

77,045

JPMC

9/16/2020

(1,167)

MXN

11,704,496

USD

523,454

CITI

9/17/2020

(19,468)

MXN

11,704,504

USD

523,455

JPMC

9/17/2020

(19,468)

USD

58,949

MXN

1,378,500

CITI

9/17/2020

(409)

USD

58,949

MXN

1,378,500

JPMC

9/17/2020

(409)

Total

unrealized

depreciation

(486,840)

Net

unrealized

depreciation

$

(62,509)

**

Non-deliverable

forward.

126

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

2020

(Unaudited)

See

notes

to

Schedule

of

Investments.

Abbreviations

ADR

-

American

Depositary

Receipt

GDR

-

Global

Depositary

Receipt

NVDR

-

Non-Voting

Depositary

Receipt

OYJ

-

Public

Traded

Company

PJSC

-

Public

Joint

Stock

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

TBA

-

To

Be

Announced;

Security

is

subject

to

delayed

delivery.

UMBS

-

Uniform

Mortgage-Backed

Securities

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

1

Month

London

Interbank

Offered

Rate

(“LIBOR”):

0.16%

3

Month

London

Interbank

Offered

Rate

(“L

IBOR”)

-

USD:

0.30%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

-0.63%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.29%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

-0.02%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.52%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.51%

Singapore

Swap

Offered

Rate

(“SOR”):

0.10%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.04%

127

Notes

to

Schedules

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

2020

(Unaudited)

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

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

989,787,743

$

–

$

–

$

989,787,743

Rights

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

468

–

–

468

Securities

Lending

Collateral

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

10,685,530

–

–

10,685,530

Short-Term

Investments

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

33,384,291

–

–

33,384,291

Futures

Contracts*

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

680,938

–

–

680,938

Total

Assets

$

1,034,538,970

$

–

$

–

$

1,034,538,970

AQR

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

275,434,576

$

–

$

–

$

275,434,576

Preferred

Stocks

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

144,458

–

–

144,458

Securities

Lending

Collateral

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

10,787,088

–

–

10,787,088

Short-Term

Investments

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

9,170,735

–

–

9,170,735

Futures

Contracts*

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

310,104

–

–

310,104

Total

Assets

$

295,846,961

$

–

$

–

$

295,846,961

AQR

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

19,200,909

$

199,691,239

$

–

$

218,892,148

Short-Term

Investments

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

13,361,234

–

–

13,361,234

Futures

Contracts*

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

92,520

–

–

92,520

Total

Assets

$

32,654,663

$

199,691,239

$

–

$

232,345,902

128

Notes

to

Schedules

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

2020

(Unaudited)

AQR

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

51,474,872

$

142,299,659

$

–

$

193,774,531

Short-Term

Investments

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

7,536,905

–

–

7,536,905

Futures

Contracts*

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

39,492

–

–

39,492

Total

Assets

$

59,051,269

$

142,299,659

$

–

$

201,350,928

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

250,611,634

$

–

$

–

$

250,611,634

Rights

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

122

–

–

122

Securities

Lending

Collateral

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

1,131,154

–

–

1,131,154

Short-Term

Investments

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

12,443,602

–

–

12,443,602

Futures

Contracts*

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

225,880

–

–

225,880

Total

Assets

$

264,412,392

$

–

$

–

$

264,412,392

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

17,153,709

$

–

$

–

$

17,153,709

Preferred

Stocks

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

9,303

–

–

9,303

Securities

Lending

Collateral

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

255,302

–

–

255,302

Short-Term

Investments

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

306,276

–

–

306,276

Futures

Contracts*

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

5,796

–

–

5,796

Total

Assets

$

17,730,386

$

–

$

–

$

17,730,386

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

15,409,563

$

161,147,608

$

–

$

176,557,171

Securities

Lending

Collateral

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

18,376

–

–

18,376

Short-Term

Investments

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

5,113,785

–

–

5,113,785

Futures

Contracts*

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

62,087

–

–

62,087

Total

Assets

$

20,603,811

$

161,147,608

$

–

$

181,751,419

AQR

TM

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

78,757,812

$

217,646,634

$

–

$

296,404,446

Short-Term

Investments

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

4,334,301

–

–

4,334,301

Futures

Contracts*

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

56,555

–

–

56,555

Total

Assets

$

83,148,668

$

217,646,634

$

–

$

300,795,302

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

775,064,185

$

–

$

–

$

775,064,185

Rights

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

1,326

–

–

1,326

Securities

Lending

Collateral

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

1,151,924

–

–

1,151,924

Short-Term

Investments

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

11,272,227

–

–

11,272,227

Futures

Contracts*

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

159,446

–

–

159,446

Total

Assets

$

787,649,108

$

–

$

–

$

787,649,108

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

199,474,912

$

–

$

–

(a)

$

199,474,912

Securities

Lending

Collateral

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

10,493,982

–

–

10,493,982

Short-Term

Investments

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

8,157,144

–

–

8,157,144

Futures

Contracts*

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

278,229

–

–

278,229

Total

Assets

$

218,404,267

$

–

$

–

(a)

$

218,404,267

129

Notes

to

Schedules

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

2020

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

45,126,536

$

351,193,697

$

–

(a)

$

396,320,233

Securities

Lending

Collateral

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

14,808

–

–

14,808

Short-Term

Investments

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

16,178,596

–

–

16,178,596

Futures

Contracts*

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

174,874

–

–

174,874

Total

Assets

$

61,494,814

$

351,193,697

$

–

(a)

$

412,688,511

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

233,391,855

$

–

$

–

$

233,391,855

Rights

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

310

–

–

310

Securities

Lending

Collateral

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

646,716

–

–

646,716

Short-Term

Investments

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

9,673,576

–

–

9,673,576

Futures

Contracts*

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

186,012

–

–

186,012

Total

Assets

$

243,898,469

$

–

$

–

$

243,898,469

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

42,353,413

$

–

$

–

$

42,353,413

Securities

Lending

Collateral

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

1,524,248

–

–

1,524,248

Short-Term

Investments

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

2,123,919

–

–

2,123,919

Futures

Contracts*

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

51,583

–

–

51,583

Total

Assets

$

46,053,163

$

–

$

–

$

46,053,163

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

10,056,546

$

89,205,068

$

–

$

99,261,614

Securities

Lending

Collateral

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

8,172

–

–

8,172

Short-Term

Investments

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

3,113,208

–

–

3,113,208

Futures

Contracts*

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

27,112

–

–

27,112

Total

Assets

$

13,205,038

$

89,205,068

$

–

$

102,410,106

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

5,562,897,979

$

–

$

–

$

5,562,897,979

Rights

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

29,277

–

–

29,277

Securities

Lending

Collateral

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

11,726,215

–

–

11,726,215

Short-Term

Investments

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

292,127,703

–

–

292,127,703

Futures

Contracts*

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

5,312,072

–

–

5,312,072

Total

Assets

$

5,872,093,246

$

–

$

–

$

5,872,093,246

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

13,734,726

$

168,807,410

$

–

$

182,542,136

Securities

Lending

Collateral

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

624,327

–

–

624,327

Short-Term

Investments

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

3,264,406

–

–

3,264,406

Total

Assets

$

17,623,459

$

168,807,410

$

–

$

186,430,869

LIABILITIES

Futures

Contracts*

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

$

(48,351)

$

–

$

–

$

(48,351)

Total

Liabilities

$

(48,351)

$

–

$

–

$

(48,351)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

477,901

$

9,008,142

$

–

$

9,486,043

Corporate

Bonds

†

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

–

65

–

65

Short-Term

Investments

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

22,676

–

–

22,676

Futures

Contracts*

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

159

–

–

159

Total

Assets

$

500,736

$

9,008,207

$

–

$

9,508,943

130

Notes

to

Schedules

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

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. 

AQR

GLOBAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

175,150,853

$

81,742,414

$

131

$

256,893,398

Securities

Lending

Collateral

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

169,578

–

–

169,578

Short-Term

Investments

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

29,439,771

–

–

29,439,771

Futures

Contracts*

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

119,628

–

–

119,628

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,049,511

–

2,049,511

Total

Return

Swaps

Contracts*

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

–

42,120

–

42,120

Total

Assets

$

204,879,830

$

83,834,045

$

131

$

288,714,006

LIABILITIES

Futures

Contracts*

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

$

(369,926)

$

–

$

–

$

(369,926)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(855,595)

–

(855,595)

Total

Return

Swaps

Contracts*

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

–

(195,808)

–

(195,808)

Total

Liabilities

$

(369,926)

$

(1,051,403)

$

–

$

(1,421,329)

AQR

INTERNATIONAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

155,556,986

$

195

$

155,557,181

Securities

Lending

Collateral

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

206,928

–

–

206,928

Short-Term

Investments

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

18,685,195

–

–

18,685,195

Futures

Contracts*

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

32,731

–

–

32,731

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,080,770

–

1,080,770

Total

Return

Swaps

Contracts*

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

–

28,536

–

28,536

Total

Assets

$

18,924,854

$

156,666,292

$

195

$

175,591,341

LIABILITIES

Futures

Contracts*

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

$

(602,812)

$

–

$

–

$

(602,812)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(648,381)

–

(648,381)

Total

Return

Swaps

Contracts*

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

–

(96,654)

–

(96,654)

Total

Liabilities

$

(602,812)

$

(745,035)

$

–

$

(1,347,847)

AQR

CORE

PLUS

BOND

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Corporate

Bonds

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

$

–

$

31,405,160

$

–

$

31,405,160

Foreign

Government

Securities

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

–

23,633,188

–

23,633,188

Mortgage-Backed

Securities

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

–

37,823,493

–

37,823,493

U.S.

Treasury

Obligations

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

–

43,876,375

–

43,876,375

Short-Term

Investments

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

11,337,803

–

–

11,337,803

Futures

Contracts*

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

29,582

–

–

29,582

Forward

Foreign

Currency

Exchange

Contracts*

........

–

424,331

–

424,331

Interest

Rate

Swap

Contracts*

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

–

3,295,341

–

3,295,341

Credit

Default

Swap

Contracts*

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

–

726,919

–

726,919

Total

Assets

$

11,367,385

$

141,184,807

$

–

$

152,552,192

LIABILITIES

TBA

Sale

Commitments

(Sold

Short)

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

$

–

$

(899,822)

$

–

$

(899,822)

Futures

Contracts*

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

(154,574)

–

–

(154,574)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(486,840)

–

(486,840)

Interest

Rate

Swap

Contracts*

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

–

(3,194,789)

–

(3,194,789)

Credit

Default

Swap

Contracts*

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

–

(71,725)

–

(71,725)

Total

Liabilities

$

(154,574)

$

(4,653,176)

$

–

$

(4,807,750)

*

Derivative

instruments,

including

futures,

forward

foreign

currency

exchange

and

total

return

swap

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

contracts

are

reported

at

market

value.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

131

Notes

to

Schedules

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

June

2020

June

30,

2020

(Unaudited)

During

the

period

ended

June

30,

2020,

there

were

no

transfers

to

or

from

level

3

for

any

of

the

Funds.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

that

are

considered

quantitatively

insignificant

in

the

aggregate

for

the

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund.

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

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.