1

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

172.3%

COMMON

STOCKS

-

96.0%

Australia

-

1.6%

Ampol

Ltd.

(2)(a)

1,919

43,596

Aurizon

Holdings

Ltd.

(2)(a)

5,734

15,761

BlueScope

Steel

Ltd.

(2)(a)

24,357

378,753

Fortescue

Metals

Group

Ltd.

(2)(a)

15,871

243,967

Harvey

Norman

Holdings

Ltd.

(2)(a)

43,993

175,313

JB

Hi-Fi

Ltd.

(2)(a)

8,356

337,750

Pro

Medicus

Ltd.

(2)(a)

1,163

42,132

Qube

Holdings

Ltd.

(2)(a)

7,629

17,778

Santos

Ltd.

(2)(a)

3,284

19,040

Sonic

Healthcare

Ltd.

(2)(a)

1,696

44,778

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

116,264

Treasury

Wine

Estates

Ltd.

(2)(a)

15,638

135,082

Woodside

Petroleum

Ltd.

(2)(a)

6,462

155,291

Worley

Ltd.

(2)(a)

30,900

298,506

2,024,011

—

Belgium

-

0.7%

Ageas

SA/NV

(2)(a)

10,765

544,206

KBC

Group

NV

(2)(a)

1,752

125,705

Solvay

SA

(2)(a)

2,386

235,154

905,065

—

Brazil

-

0.3%

Yara

International

ASA

(2)

8,404

420,272

Canada

-

4.7%

Atco

Ltd.,

Class

I

(a)

2,069

71,049

Bank

of

Montreal

(a)

525

61,779

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

2,752

415,524

CGI,

Inc.

*(a)

1,526

121,565

CI

Financial

Corp.

(a)

6,799

108,010

Cogeco

Communications,

Inc.

(a)

1,072

88,734

Empire

Co.

Ltd.,

Class

A

(a)

6,628

235,080

Fairfax

Financial

Holdings

Ltd.

(a)

131

71,468

Finning

International,

Inc.

(a)

648

19,510

Hydro

One

Ltd.

(a)(b)

4,360

117,462

iA

Financial

Corp.,

Inc.

(a)

2,412

146,651

IGM

Financial,

Inc.

(a)

1,918

67,766

Imperial

Oil

Ltd.

(a)

5,930

286,978

Intact

Financial

Corp.

(a)

291

42,998

Keyera

Corp.

(a)

2,274

57,644

Kinross

Gold

Corp.

(a)

17,149

100,687

Loblaw

Cos.

Ltd.

(a)

352

31,586

Magna

International,

Inc.

(a)

4,423

283,958

Manulife

Financial

Corp.

(a)

21,828

465,492

Metro,

Inc.

(a)

788

45,358

National

Bank

of

Canada

(a)

1,664

127,554

Northland

Power,

Inc.

(a)

3,357

111,600

Quebecor,

Inc.,

Class

B

(a)

8,435

201,066

Ritchie

Bros

Auctioneers,

Inc.

(a)

897

52,981

SSR

Mining,

Inc.

(a)

1,605

34,895

Stantec

,

Inc.

(a)

2,643

132,578

Suncor

Energy,

Inc.

(a)

9,012

293,396

Teck

Resources

Ltd.,

Class

B

(a)

14,186

572,819

TFI

International,

Inc.

(a)

3,445

366,917

Thomson

Reuters

Corp.

(a)

1,651

179,251

TMX

Group

Ltd.

(a)

1,368

140,701

INVESTMENTS

SHARES

VALUE

($)

Canada

-

4.7%

(continued)

Toromont

Industries

Ltd.

(a)

476

45,123

Tourmaline

Oil

Corp.

(a)

16,168

744,931

West

Fraser

Timber

Co.

Ltd.

(a)

3,534

290,771

6,133,882

—

China

-

0.4%

Wilmar

International

Ltd.

(2)

44,000

152,382

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

286,600

321,859

474,241

—

Denmark

-

1.3%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

249

748,236

Carlsberg

A/S,

Class

B

(2)(a)

288

35,355

Danske

Bank

A/S

(2)(a)

10,972

182,520

Genmab

A/S

(2)*(a)

88

31,781

H

Lundbeck

A/S

(2)(a)

1,475

33,986

Jyske

Bank

A/S

(Registered)

(2)*(a)

3,371

183,229

Pandora

A/S

(2)(a)

4,091

389,727

ROCKWOOL

International

A/S,

Class

B

(2)(a)

102

33,671

1,638,505

—

Finland

-

0.4%

Kesko

OYJ,

Class

B

(2)(a)

8,792

242,748

UPM-

Kymmene

OYJ

(2)(a)

1,583

51,693

Valmet

OYJ

(2)(a)

5,750

178,471

472,912

—

France

-

2.7%

Arkema

SA

(2)(a)

713

85,232

Atos

SE

(2)(a)

3,255

88,883

BNP

Paribas

SA

(2)(a)

1,820

104,003

Bouygues

SA

(2)(a)

9,048

315,812

Carrefour

SA

(2)(a)

23,338

507,883

Casino

Guichard

Perrachon

SA

(2)*(a)

649

11,949

Cie

de

Saint-Gobain

(2)(a)

8,901

529,613

Cie

Generale

des

Etablissements

Michelin

SCA

(2)(a)

262

35,505

CNP

Assurances

(2)(a)

2,234

53,782

Credit

Agricole

SA

(2)(a)

7,874

94,083

Eutelsat

Communications

SA

(2)(a)

4,982

54,119

Orange

SA

(2)(a)

38,855

460,094

Publicis

Groupe

SA

(2)(a)

974

59,116

Rexel

SA

(2)*(a)

9,730

207,714

Rubis

SCA

(2)(a)

1,304

38,328

Sanofi

(2)(a)

186

19,017

SCOR

SE

(2)(a)

1,737

55,854

Sodexo

SA

(2)(a)

154

12,532

TotalEnergies

SE

(2)(a)

14,996

758,791

3,492,310

—

Germany

-

3.4%

Allianz

SE

(Registered)

(2)(a)

3,671

876,666

Aurubis

AG

(2)(a)

1,441

171,539

BASF

SE

(2)(a)

3,224

183,963

Bayerische

Motoren

Werke

AG

(2)

(a)

2,338

202,044

2

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

3.4%

(continued)

Brenntag

SE

(2)(a)

2,086

168,197

Continental

AG

(2)*(a)

3,156

226,242

Covestro

AG

(2)(a)(b)

5,048

254,194

Deutsche

Bank

AG

(Registered)

(2)*(a)

31,998

402,989

Deutsche

Post

AG

(Registered)

(2)

(a)

9,813

468,589

Freenet

AG

(2)(a)

1,628

43,567

Hannover

Rueck

SE

(2)(a)

203

34,485

HeidelbergCement

AG

(2)(a)

5,512

312,388

HOCHTIEF

AG

(2)(a)

824

55,507

METRO

AG

(2)(a)

6,208

55,024

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)(a)

1,588

424,535

ProSiebenSat.1

Media

SE

(2)(a)

22,667

288,726

Rheinmetall

AG

(2)(a)

1,214

256,601

Software

AG

(2)(a)

715

24,719

4,449,975

—

Italy

-

2.0%

A2A

SpA

(2)(a)

25,236

43,224

Assicurazioni

Generali

SpA

(2)(a)

32,006

732,045

Banco

BPM

SpA

(2)(a)

51,404

151,419

Eni

SpA

(2)(a)

15,055

219,550

Hera

SpA

(2)(a)

35,283

129,988

Italgas

SpA

(2)(a)

9,298

59,651

Leonardo

SpA

(2)*(a)

66,806

663,863

Poste

Italiane

SpA

(2)(a)(b)

19,741

223,875

Terna

-

Rete

Elettrica

Nazionale

(2)(a)

5,586

47,969

Unipol

Gruppo

SpA

(2)(a)

45,903

251,777

2,523,361

—

Japan

-

16.0%

AEON

Financial

Service

Co.

Ltd.

(2)(a)

5,500

54,505

AGC,

Inc.

(2)(a)

13,100

523,416

Aisin

Corp.

(2)(a)

3,800

129,875

Allegro

MicroSystems

,

Inc.

*(a)

1,507

42,799

Asahi

Kasei

Corp.

(2)(a)

1,900

16,434

Astellas

Pharma,

Inc.

(2)(a)

2,000

31,250

Bandai

Namco

Holdings,

Inc.

(2)(a)

1,400

106,161

Bridgestone

Corp.

(2)(a)

3,200

124,211

Brother

Industries

Ltd.

(2)(a)

10,800

196,403

Chiba

Bank

Ltd.

(The)

(2)(a)

19,800

116,418

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

18,100

187,332

Chugoku

Electric

Power

Co.,

Inc.

(The)

(2)(a)

1,500

10,431

Concordia

Financial

Group

Ltd.

(2)

(a)

7,000

26,052

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

600

12,192

Daiwa

Securities

Group,

Inc.

(2)(a)

35,800

202,510

DeNA

Co.

Ltd.

(2)(a)

5,200

78,994

Electric

Power

Development

Co.

Ltd.

(2)(a)

13,500

192,808

ENEOS

Holdings,

Inc.

(2)(a)

145,800

545,106

Fujitsu

Ltd.

(2)(a)

1,300

194,773

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.0%

(continued)

Fukuoka

Financial

Group,

Inc.

(2)

(a)

13,100

252,777

Haseko

Corp.

(2)(a)

12,300

141,276

Hitachi

Ltd.

(2)(a)

4,800

240,212

Honda

Motor

Co.

Ltd.

(2)(a)

8,300

235,270

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

10,500

289,438

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

7,200

124,135

Inpex

Corp.

(2)(a)

47,600

559,649

Isuzu

Motors

Ltd.

(2)(a)

12,000

155,016

ITOCHU

Corp.

(2)(a)

16,600

561,511

Japan

Post

Bank

Co.

Ltd.

(2)(a)

18,400

147,766

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

85,100

624,995

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

19,900

346,562

JFE

Holdings,

Inc.

(2)(a)

27,800

389,039

Kajima

Corp.

(2)(a)

25,700

312,685

Kamigumi

Co.

Ltd.

(2)(a)

1,800

32,311

Kaneka

Corp.

(2)(a)

1,400

40,440

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)(a)

14,400

135,636

KDDI

Corp.

(2)(a)

7,200

236,064

Kinden

Corp.

(2)(a)

3,200

41,243

Komatsu

Ltd.

(2)(a)

1,300

31,233

Konami

Holdings

Corp.

(2)(a)

600

37,845

Kuraray

Co.

Ltd.

(2)(a)

9,800

84,358

Kyushu

Electric

Power

Co.,

Inc.

(2)

(a)

21,600

144,621

Mabuchi

Motor

Co.

Ltd.

(2)(a)

3,500

108,955

Marubeni

Corp.

(2)(a)

64,400

747,826

Mazda

Motor

Corp.

(2)(a)

21,500

158,038

Medipal

Holdings

Corp.

(2)(a)

5,100

83,916

Mitsubishi

Corp.

(2)(a)

2,000

75,053

Mitsubishi

Electric

Corp.

(2)(a)

12,900

147,948

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

8,200

138,810

Mitsubishi

HC

Capital,

Inc.

(2)(a)

56,100

260,670

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

5,300

173,979

Mitsubishi

Materials

Corp.

(2)(a)

2,400

41,990

Mitsui

&

Co.

Ltd.

(2)(a)

9,900

268,738

Mitsui

Chemicals,

Inc.

(2)(a)

11,300

284,077

Mizuho

Financial

Group,

Inc.

(2)(a)

26,380

336,487

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

19,400

629,878

NGK

Insulators

Ltd.

(2)(a)

1,100

15,692

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)(a)

3,000

206,102

Nippon

Steel

Corp.

(2)(a)

28,700

506,402

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

23,400

679,861

Nippon

Yusen

KK

(2)(a)

4,000

349,898

Nomura

Holdings,

Inc.

(2)(a)

87,300

367,163

NS

Solutions

Corp.

(2)(a)

1,200

35,961

Obayashi

Corp.

(2)(a)

38,600

283,314

Oji

Holdings

Corp.

(2)(a)

41,100

203,905

ORIX

Corp.

(2)(a)

3,800

75,744

Osaka

Gas

Co.

Ltd.

(2)(a)

15,700

269,038

Resona

Holdings,

Inc.

(2)(a)

171,000

728,347

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

600

18,112

3

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.0%

(continued)

Sankyu,

Inc.

(2)(a)

1,400

45,632

Secom

Co.

Ltd.

(2)(a)

200

14,468

Sega

Sammy

Holdings,

Inc.

(2)(a)

3,200

55,182

Seino

Holdings

Co.

Ltd.

(2)(a)

2,700

24,564

Sekisui

Chemical

Co.

Ltd.

(2)(a)

4,400

63,047

Shimamura

Co.

Ltd.

(2)(a)

300

26,664

Shinsei

Bank

Ltd.

(2)(a)

9,700

176,921

Shizuoka

Bank

Ltd.

(The)

(2)(a)

11,700

82,117

Sojitz

Corp.

(2)(a)

25,120

413,130

Sompo

Holdings,

Inc.

(2)(a)

12,500

549,256

Subaru

Corp.

(2)(a)

10,900

173,125

Sumitomo

Corp.

(2)(a)

23,200

401,793

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

700

12,334

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

4,300

98,538

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

12,300

388,537

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

8,700

283,138

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

1,400

53,361

T&D

Holdings,

Inc.

(2)(a)

19,100

259,339

Taiheiyo

Cement

Corp.

(2)(a)

4,400

72,505

Taisei

Corp.

(2)(a)

6,200

178,988

TBS

Holdings,

Inc.

(2)(a)

1,300

18,945

Teijin

Ltd.

(2)(a)

13,500

150,219

Tokio

Marine

Holdings,

Inc.

(2)(a)

1,700

98,929

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

267,300

882,353

TOPPAN,

Inc.

(2)(a)

10,000

176,399

Tosoh

Corp.

(2)(a)

18,700

276,377

Toyota

Boshoku

Corp.

(2)(a)

7,700

125,208

Toyota

Tsusho

Corp.

(2)(a)

7,900

324,231

Yokohama

Rubber

Co.

Ltd.

(The)

(2)(a)

5,000

68,800

20,645,756

—

Luxembourg

-

0.7%

APERAM

SA

(2)

3,108

137,364

ArcelorMittal

SA

(2)

16,088

515,365

Eurofins

Scientific

SE

(2)

2,382

235,634

888,363

—

Netherlands

-

2.0%

Aegon

NV

(2)(a)

33,114

175,542

ASR

Nederland

NV

(2)(a)

9,454

441,369

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

19,645

631,892

Koninklijke

Vopak

NV

(2)(a)

589

19,057

NN

Group

NV

(2)(a)

13,613

689,889

Randstad

NV

(2)(a)

4,158

250,124

SBM

Offshore

NV

(2)(a)

972

15,409

Shell

plc

(2)(a)

919

25,189

Signify

NV

(2)(a)(b)

6,829

317,667

2,566,138

—

INVESTMENTS

SHARES

VALUE

($)

Norway

-

0.2%

Leroy

Seafood

Group

ASA

(2)(a)

7,310

67,053

Salmar

ASA

(2)(a)

1,755

138,731

205,784

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

*

909

76,029

Singapore

-

0.3%

DBS

Group

Holdings

Ltd.

(2)

500

13,101

Genting

Singapore

Ltd.

(2)

93,800

56,063

Oversea-Chinese

Banking

Corp.

Ltd.

(2)

8,900

80,740

SATS

Ltd.

(2)*

10,200

32,510

United

Overseas

Bank

Ltd.

(2)

3,300

77,213

Venture

Corp.

Ltd.

(2)

13,400

172,686

432,313

—

Spain

-

2.0%

Acciona

SA

(2)(a)

809

154,628

Acerinox

SA

(2)(a)

2,640

28,917

Banco

de

Sabadell

SA

(2)(a)

165,067

134,886

Banco

Santander

SA

(2)(a)

92,256

313,664

CaixaBank

SA

(2)(a)

30,528

103,547

Enagas

SA

(2)(a)

4,915

109,144

Endesa

SA

(2)(a)

7,799

170,047

Iberdrola

SA

(2)(a)

13,023

142,341

Mapfre

SA

(2)(a)

73,590

153,921

Repsol

SA

(2)(a)

65,949

863,880

Telefonica

SA

(2)(a)

93,214

451,739

2,626,714

—

Sweden

-

1.7%

Axfood

AB

(2)(a)

4,649

151,400

BillerudKorsnas

AB

(2)(a)

3,990

59,128

Boliden

AB

(2)(a)

1,895

95,594

Electrolux

AB,

Series

B

(2)(a)

1,063

16,086

Getinge

AB,

Class

B

(2)(a)

10,830

431,455

Holmen

AB,

Class

B

(2)(a)

450

25,118

Husqvarna

AB,

Class

B

(2)(a)

1,720

17,943

Securitas

AB,

Class

B

(2)(a)

12,070

136,166

Skanska

AB,

Class

B

(2)(a)

5,534

123,808

SKF

AB,

Class

B

(2)(a)

10,093

164,576

SSAB

AB,

Class

A

(2)*(a)

49,963

347,160

Svenska

Handelsbanken

AB,

Class

A

(2)(a)

46,709

429,510

Trelleborg

AB,

Class

B

(2)(a)

2,490

57,649

Volvo

AB,

Class

B

(2)(a)

8,773

163,663

2,219,256

—

Switzerland

-

2.0%

Baloise

Holding

AG

(Registered)

(2)(a)

1,681

300,221

BKW

AG

(2)(a)

157

19,665

Bucher

Industries

AG

(Registered)

(2)(a)

136

54,972

Credit

Suisse

Group

AG

(Registered)

(2)(a)

100,349

789,959

DKSH

Holding

AG

(2)(a)

887

74,705

dormakaba

Holding

AG

(2)(a)

31

15,900

Geberit

AG

(Registered)

(2)(a)

57

35,138

4

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

2.0%

(continued)

Helvetia

Holding

AG

(Registered)

(2)(a)

1,025

133,816

Roche

Holding

AG

(2)(a)

597

236,210

Sulzer

AG

(Registered)

(2)(a)

900

74,759

Swiss

Life

Holding

AG

(Registered)

(2)(a)

433

277,469

Swisscom

AG

(Registered)

(2)(a)

745

447,601

UBS

Group

AG

(Registered)

(2)(a)

9,133

178,471

2,638,886

—

United

Kingdom

-

3.3%

Ashmore

Group

plc

(2)(a)

5,458

16,577

ASOS

plc

(2)*(a)

2,377

50,009

Aviva

plc

(2)(a)

103,352

611,526

BP

plc

(2)(a)

76,844

376,719

Britvic

plc

(2)(a)

5,019

53,207

BT

Group

plc

(2)(a)

162,438

387,304

Centrica

plc

(2)*

228,264

238,776

DCC

plc

(2)(a)

284

21,991

Direct

Line

Insurance

Group

plc

(2)(a)

29,718

107,085

DS

Smith

plc

(2)(a)

31,521

132,568

Howden

Joinery

Group

plc

(2)(a)

13,817

138,516

Investec

plc

(2)(a)

17,694

117,055

Kingfisher

plc

(2)(a)

24,750

82,607

Liberty

Global

plc,

Class

C

*(a)

11,995

310,790

M&G

plc

(2)(a)

101,689

293,000

Man

Group

plc

(2)(a)

16,121

49,195

Marks

&

Spencer

Group

plc

(2)*(a)

102,526

206,934

National

Grid

plc

(2)(a)

12,232

187,984

Royal

Mail

plc

(2)(a)

87,614

376,447

Spectris

plc

(2)(a)

709

24,045

Subsea

7

SA

(2)(a)

10,238

95,119

Tate

&

Lyle

plc

(2)(a)

5,102

48,908

Tesco

plc

(2)(a)

95,248

344,827

4,271,189

—

United

States

-

50.2%

A

O

Smith

Corp.

(a)

244

15,589

AbbVie,

Inc.

(a)(c)

2,861

463,797

ABIOMED,

Inc.

*(a)

50

16,562

Accenture

plc,

Class

A

(a)

74

24,955

ACI

Worldwide,

Inc.

*(a)

342

10,770

Acuity

Brands,

Inc.

(a)(c)

1,165

220,535

AGCO

Corp.

(a)

589

86,012

Agilent

Technologies,

Inc.

(a)

775

102,556

Air

Lease

Corp.

(a)

1,110

49,562

Akamai

Technologies,

Inc.

*(a)(c)

1,368

163,326

Alaska

Air

Group,

Inc.

*(a)

13,746

797,405

Albertsons

Cos.,

Inc.,

Class

A

(a)

1,048

34,846

Alliance

Data

Systems

Corp.

(a)

13,322

748,030

Allison

Transmission

Holdings,

Inc.

(a)

12,931

507,671

Allstate

Corp.

(The)

(a)(c)

2,295

317,880

Altice

USA,

Inc.,

Class

A

*(a)

1,651

20,604

Amdocs

Ltd.

(a)

3,899

320,537

AMERCO

(a)

40

23,878

Ameriprise

Financial,

Inc.

(a)

646

194,033

Amgen,

Inc.

(a)

1,421

343,626

Amkor

Technology,

Inc.

(a)

17,245

374,561

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

ANSYS,

Inc.

*(a)

553

175,660

Anthem,

Inc.

(a)

694

340,907

APA

Corp.

(a)(c)

10,661

440,619

Applied

Materials,

Inc.

(a)(c)

1,028

135,490

Aramark

(a)(c)

2,191

82,382

Archer-Daniels-Midland

Co.

(a)

835

75,367

Arrow

Electronics,

Inc.

*(a)

6,282

745,234

Associated

Banc-Corp.

(a)(c)

7,113

161,892

Assured

Guaranty

Ltd.

(a)

722

45,963

AutoNation,

Inc.

*(a)(c)

8,136

810,182

AutoZone,

Inc.

*(a)

81

165,611

Avient

Corp.

(a)(c)

3,212

154,176

Avnet,

Inc.

(a)

1,008

40,915

Bank

of

New

York

Mellon

Corp.

(The)

(a)(c)

1,432

71,070

Baxter

International,

Inc.

(a)

258

20,005

Belden,

Inc.

(a)

822

45,539

Berry

Global

Group,

Inc.

*(a)(c)

3,537

205,005

Best

Buy

Co.,

Inc.

(a)

5,117

465,135

Biogen,

Inc.

*(a)

2,654

558,932

Bio-Rad

Laboratories,

Inc.,

Class

A

*(a)

509

286,684

Bio-

Techne

Corp.

(a)

442

191,404

BJ's

Wholesale

Club

Holdings,

Inc.

*(a)

3,093

209,118

Blackbaud

,

Inc.

*(a)(c)

1,469

87,949

Booking

Holdings,

Inc.

*(a)

9

21,136

Booz

Allen

Hamilton

Holding

Corp.

(a)

2,614

229,614

BorgWarner,

Inc.

(a)(c)

3,172

123,391

Boyd

Gaming

Corp.

(a)

4,091

269,106

Brighthouse

Financial,

Inc.

*(a)

2,482

128,220

Bristol-Myers

Squibb

Co.

(a)

3,690

269,481

Broadcom,

Inc.

(a)

147

92,563

BRP,

Inc.

(a)

2,970

243,178

Brunswick

Corp.

(a)(c)

9,023

729,870

CACI

International,

Inc.,

Class

A

*(a)

1,125

338,918

Cadence

Design

Systems,

Inc.

*(a)

1,605

263,958

Callaway

Golf

Co.

*(a)(c)

2,467

57,777

Carlisle

Cos.,

Inc.

(a)

467

114,845

Carter's,

Inc.

(a)(c)

1,129

103,857

Casey's

General

Stores,

Inc.

(a)

802

158,932

Cathay

General

Bancorp

(a)

1,339

59,920

CDK

Global,

Inc.

(a)(c)

1,735

84,460

CDW

Corp.

(a)

1,379

246,689

Cerence

,

Inc.

*(a)(c)

3,333

120,321

Certara

,

Inc.

*(a)(c)

3,374

72,474

CH

Robinson

Worldwide,

Inc.

(a)

990

106,633

Charles

River

Laboratories

International,

Inc.

*(a)

1,640

465,711

Chemed

Corp.

(a)

243

123,092

Chemours

Co.

(The)

(a)(c)

3,551

111,785

Chevron

Corp.

(a)(c)

1,566

254,992

Chipotle

Mexican

Grill,

Inc.

*(a)

34

53,789

Ciena

Corp.

*(a)

2,162

131,082

Cigna

Corp.

(a)

322

77,154

Cirrus

Logic,

Inc.

*(a)

3,272

277,433

Citizens

Financial

Group,

Inc.

(a)

925

41,930

Citrix

Systems,

Inc.

(a)

532

53,679

5

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

CNO

Financial

Group,

Inc.

(a)

634

15,907

CNX

Resources

Corp.

*(a)(c)

2,993

62,015

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

1,239

111,101

Colgate-Palmolive

Co.

(a)

170

12,891

Columbia

Sportswear

Co.

(a)

1,799

162,863

Commercial

Metals

Co.

(a)(c)

11,408

474,801

Concentrix

Corp.

(a)

234

38,975

ConocoPhillips

(a)

3,173

317,300

Cooper

Cos.,

Inc.

(The)

(a)

236

98,551

Coterra

Energy,

Inc.

(a)

680

18,340

Cracker

Barrel

Old

Country

Store,

Inc.

(a)(c)

3,303

392,165

Cummins,

Inc.

(a)(c)

1,776

364,275

Curtiss-Wright

Corp.

(a)(c)

1,120

168,179

CVS

Health

Corp.

(a)(c)

1,195

120,946

Dana,

Inc.

(a)(c)

5,821

102,275

Darling

Ingredients,

Inc.

*(a)

178

14,308

Deckers

Outdoor

Corp.

*(a)(c)

1,549

424,070

Dick's

Sporting

Goods,

Inc.

(c)

4,256

425,685

DISH

Network

Corp.,

Class

A

*(a)

(c)

9,454

299,219

DXC

Technology

Co.

*(a)

6,794

221,688

Eagle

Materials,

Inc.

(a)

283

36,326

East

West

Bancorp,

Inc.

(a)

358

28,289

Eastman

Chemical

Co.

(a)

1,465

164,168

Eaton

Corp.

plc

(a)

1,489

225,971

eBay,

Inc.

(a)(c)

4,376

250,570

Electronic

Arts,

Inc.

(a)

2,545

321,968

EMCOR

Group,

Inc.

(a)

1,373

154,641

Emerson

Electric

Co.

(a)

794

77,852

EnerSys

(a)

161

12,006

EOG

Resources,

Inc.

(a)

5,646

673,173

EPAM

Systems,

Inc.

*(a)

359

106,483

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(a)

745

202,878

Everest

Re

Group

Ltd.

(a)

636

191,678

Expeditors

International

of

Washington,

Inc.

(a)

3,076

317,320

F5,

Inc.

*(a)

602

125,788

Fair

Isaac

Corp.

*(a)

541

252,355

Federated

Hermes,

Inc.

(a)(c)

5,966

203,202

First

American

Financial

Corp.

(a)

202

13,094

First

Hawaiian,

Inc.

(a)(c)

922

25,715

Flowers

Foods,

Inc.

(a)

1,638

42,113

Flowserve

Corp.

(a)

1,828

65,625

FNB

Corp.

(a)(c)

10,949

136,315

Foot

Locker,

Inc.

(a)

4,653

138,008

Fortinet,

Inc.

*(a)

819

279,885

Fortune

Brands

Home

&

Security,

Inc.

(a)

1,222

90,770

Frontdoor

,

Inc.

*(a)

1,809

53,999

Fulton

Financial

Corp.

(a)

2,749

45,688

Gates

Industrial

Corp.

plc

*(a)

3,303

49,743

General

Dynamics

Corp.

(a)

595

143,502

General

Mills,

Inc.

(a)

1,302

88,171

General

Motors

Co.

*(a)

3,227

141,149

Globus

Medical,

Inc.,

Class

A

*(a)

2,412

177,957

GoHealth

,

Inc.,

Class

A

*(c)

53,917

63,622

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

Goodyear

Tire

&

Rubber

Co.

(The)

*(a)

8,726

124,695

Graham

Holdings

Co.,

Class

B

(a)

311

190,167

Grand

Canyon

Education,

Inc.

*(a)

(c)

1,943

188,685

Greif,

Inc.,

Class

A

(a)(c)

2,109

137,212

H&R

Block,

Inc.

(a)(c)

5,130

133,585

Halliburton

Co.

(a)

5,763

218,245

Hanesbrands,

Inc.

(a)

1,597

23,779

Harley-Davidson,

Inc.

(a)(c)

8,547

336,752

Hartford

Financial

Services

Group,

Inc.

(The)

(a)(c)

1,737

124,734

Hasbro,

Inc.

(a)

915

74,957

HCA

Healthcare,

Inc.

(a)

513

128,568

Helen

of

Troy

Ltd.

*(a)

438

85,778

Henry

Schein,

Inc.

*(a)

207

18,048

Hexcel

Corp.

(a)(c)

2,416

143,680

HF

Sinclair

Corp.

*(a)

7,059

281,301

Hologic

,

Inc.

*(a)

580

44,556

Horizon

Therapeutics

plc

*(a)

1,545

162,549

Howmet

Aerospace,

Inc.

(a)

7,692

276,450

HP,

Inc.

(a)

14,984

543,919

Hubbell,

Inc.

(a)(c)

576

105,852

Humana,

Inc.

(a)

224

97,478

Huntsman

Corp.

(a)(c)

2,896

108,629

IAC/InterActiveCorp

*(a)

649

65,082

Ingredion,

Inc.

(a)

1,330

115,910

Intel

Corp.

(a)

3,408

168,900

Interpublic

Group

of

Cos.,

Inc.

(The)

(c)

2,347

83,201

Intuit,

Inc.

(a)

63

30,293

Invesco

Ltd.

(a)

9,950

229,447

IQVIA

Holdings,

Inc.

*(a)(c)

1,121

259,186

ITT,

Inc.

(a)(c)

2,012

151,323

J

M

Smucker

Co.

(The)

(a)(c)

1,367

185,105

Jabil,

Inc.

(a)(c)

6,559

404,887

Jack

in

the

Box,

Inc.

(a)

2,869

267,993

JetBlue

Airways

Corp.

*(a)(c)

8,712

130,244

Johnson

Controls

International

plc

(a)

682

44,719

Juniper

Networks,

Inc.

(a)(c)

3,281

121,922

KB

Home

(a)

5,162

167,146

KBR,

Inc.

(a)(c)

1,336

73,119

Keysight

Technologies,

Inc.

*(a)

870

137,434

KLA

Corp.

(a)

481

176,075

Knight-Swift

Transportation

Holdings,

Inc.

(a)(c)

1,529

77,153

Kroger

Co.

(The)

(a)(c)

10,691

613,343

L3Harris

Technologies,

Inc.

(a)

100

24,847

Laboratory

Corp.

of

America

Holdings

*(a)

652

171,906

Lear

Corp.

(a)

605

86,267

Lithia

Motors,

Inc.

(a)

1,573

472,089

Lowe's

Cos.,

Inc.

(a)

878

177,523

Lumentum

Holdings,

Inc.

*(a)

187

18,251

LyondellBasell

Industries

NV,

Class

A

(a)

2,966

304,964

M&T

Bank

Corp.

(a)

424

71,868

Manhattan

Associates,

Inc.

*(a)

1,480

205,291

ManpowerGroup

,

Inc.

(a)

5,114

480,307

6

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

Marathon

Oil

Corp.

(a)

4,694

117,866

Marriott

Vacations

Worldwide

Corp.

(a)

1,209

190,659

Masimo

Corp.

*(a)

293

42,643

MasTec

,

Inc.

*(a)(c)

2,112

183,955

Match

Group,

Inc.

*(a)

1,011

109,936

Mattel,

Inc.

*(a)(c)

28,341

629,454

Maximus,

Inc.

(a)(c)

1,980

148,401

McDonald's

Corp.

(a)

339

83,828

MDU

Resources

Group,

Inc.

(a)(c)

8,283

220,742

Medpace

Holdings,

Inc.

*(a)

87

14,232

Medtronic

plc

(a)

882

97,858

Merck

&

Co.,

Inc.

(a)(c)

4,753

389,984

Meta

Platforms,

Inc.,

Class

A

*(a)

3,978

884,548

Micron

Technology,

Inc.

(a)(c)

4,413

343,729

Microsoft

Corp.

(a)

337

103,900

MillerKnoll

,

Inc.

(a)(c)

5,319

183,825

Minerals

Technologies,

Inc.

(a)

1,346

89,038

MKS

Instruments,

Inc.

(a)(c)

2,988

448,200

Moderna

,

Inc.

*(a)(c)

4,786

824,435

Mohawk

Industries,

Inc.

*(a)(c)

2,006

249,145

Molina

Healthcare,

Inc.

*(a)

761

253,862

Molson

Coors

Beverage

Co.,

Class

B

(a)(c)

3,510

187,364

MSA

Safety,

Inc.

(a)(c)

202

26,805

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)(c)

588

50,103

Murphy

Oil

Corp.

(a)

2,481

100,208

Murphy

USA,

Inc.

(a)

2,685

536,893

Navient

Corp.

(c)

22,900

390,216

NCR

Corp.

*(a)(c)

14,913

599,353

Nielsen

Holdings

plc

(a)

1,136

30,945

Nordson

Corp.

(a)

68

15,441

NortonLifeLock

,

Inc.

(a)

3,279

86,959

Nu

Skin

Enterprises,

Inc.,

Class

A

(a)(c)

5,129

245,577

Old

Republic

International

Corp.

(a)(c)

3,133

81,051

Olin

Corp.

(a)

1,832

95,777

Omnicom

Group,

Inc.

(a)

1,032

87,596

Oracle

Corp.

(a)

1,653

136,753

O'Reilly

Automotive,

Inc.

*(a)

79

54,112

Organon

&

Co.

(a)(c)

15,139

528,805

Oshkosh

Corp.

(a)(c)

1,130

113,735

Owens

Corning

(a)(c)

8,520

779,580

PACCAR,

Inc.

(a)

534

47,029

Packaging

Corp.

of

America

(a)(c)

1,964

306,600

Papa

John's

International,

Inc.

(a)

(c)

1,671

175,923

Paysafe

Ltd.

*

22,175

75,173

Penske

Automotive

Group,

Inc.

(a)

(c)

4,634

434,298

PerkinElmer,

Inc.

(a)

315

54,955

Pfizer,

Inc.

(a)

4,091

211,791

Pinterest,

Inc.,

Class

A

*(a)

453

11,148

Polaris,

Inc.

(a)(c)

2,128

224,121

Popular,

Inc.

5,592

457,090

Procter

&

Gamble

Co.

(The)

(a)

204

31,171

PulteGroup,

Inc.

(a)

2,953

123,731

PVH

Corp.

(a)

325

24,898

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

Qorvo

,

Inc.

*(a)(c)

4,341

538,718

QUALCOMM,

Inc.

(a)

474

72,437

Quanta

Services,

Inc.

(a)

3,380

444,842

Quest

Diagnostics,

Inc.

(a)

368

50,364

Quidel

Corp.

*(a)

6,126

688,930

Qurate

Retail,

Inc.,

Series

A

65,732

312,884

Ralph

Lauren

Corp.

(a)

895

101,529

Regal

Rexnord

Corp.

(a)

2,970

441,877

Regeneron

Pharmaceuticals,

Inc.

*(a)

390

272,384

Regions

Financial

Corp.

(a)

604

13,445

Reliance

Steel

&

Aluminum

Co.

(a)

1,225

224,604

Reynolds

Consumer

Products,

Inc.

(a)

805

23,619

Ryder

System,

Inc.

(a)

3,007

238,545

Saia,

Inc.

*(a)

714

174,087

Schneider

National,

Inc.,

Class

B

(a)(c)

4,903

125,027

Science

Applications

International

Corp.

(a)

673

62,030

Semtech

Corp.

*(a)

177

12,273

Silgan

Holdings,

Inc.

(a)(c)

5,212

240,951

Simpson

Manufacturing

Co.,

Inc.

(a)

446

48,632

Skechers

USA,

Inc.,

Class

A

*(a)

4,402

179,426

Skillz

,

Inc.

*(c)

28,440

85,320

Skyworks

Solutions,

Inc.

(a)

1,729

230,441

Snap-on,

Inc.

(a)

1,153

236,918

Sonoco

Products

Co.

(a)

566

35,409

Sprouts

Farmers

Market,

Inc.

*(a)

(c)

11,095

354,818

SS&C

Technologies

Holdings,

Inc.

(a)

611

45,837

Steel

Dynamics,

Inc.

(a)

10,200

850,985

STERIS

plc

(a)(c)

1,247

301,487

Stifel

Financial

Corp.

(a)

2,087

141,707

Stryker

Corp.

(a)

159

42,509

Swiss

Re

AG

(2)(a)

4,125

392,675

Synaptics

,

Inc.

*(a)

1,595

318,203

Syneos

Health,

Inc.

*(a)

974

78,845

Synopsys,

Inc.

*(a)

1,051

350,267

Synovus

Financial

Corp.

(a)

2,718

133,182

Tapestry,

Inc.

(a)

2,307

85,705

Target

Corp.

(a)

2,355

499,778

Taylor

Morrison

Home

Corp.

*(a)

722

19,653

TD

SYNNEX

Corp.

(a)

3,730

384,973

TEGNA,

Inc.

(a)

14,975

335,440

Teladoc

Health,

Inc.

*(a)

177

12,767

Teradata

Corp.

*(a)(c)

14,282

703,960

Teradyne,

Inc.

(a)(c)

1,698

200,755

Terex

Corp.

(a)(c)

6,857

244,521

Texas

Roadhouse,

Inc.

(a)

2,299

192,495

Textron,

Inc.

(a)

4,567

339,693

Thermo

Fisher

Scientific,

Inc.

(a)

590

348,484

Timken

Co.

(The)

(a)(c)

2,191

132,994

Toll

Brothers,

Inc.

(a)

10,034

471,799

Tractor

Supply

Co.

(a)

79

18,436

Travel

+

Leisure

Co.

(a)

4,866

281,936

Tri

Pointe

Homes,

Inc.

*(a)

28,624

574,770

Tyson

Foods,

Inc.,

Class

A

(a)

2,353

210,899

7

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.2%

(continued)

United

Rentals,

Inc.

*(a)

361

128,231

United

States

Steel

Corp.

(a)(c)

12,362

466,542

United

Therapeutics

Corp.

*(a)

3,280

588,465

Universal

Display

Corp.

(a)

596

99,502

Universal

Health

Services,

Inc.,

Class

B

(a)(c)

1,160

168,142

Unum

Group

(a)

16,840

530,628

Urban

Outfitters,

Inc.

*(a)

4,357

109,404

US

Foods

Holding

Corp.

*(a)

1,219

45,871

Valero

Energy

Corp.

(a)

209

21,222

Veeva

Systems,

Inc.,

Class

A

*(a)

893

189,727

VeriSign,

Inc.

*(a)

605

134,588

Vertex

Pharmaceuticals,

Inc.

*(a)

173

45,148

Vertiv

Holdings

Co.

(a)

852

11,928

Virtu

Financial,

Inc.,

Class

A

(a)

713

26,538

Vishay

Intertechnology

,

Inc.

(a)(c)

3,681

72,148

VMware,

Inc.,

Class

A

(a)

253

28,809

Vontier

Corp.

(a)

12,075

306,584

Werner

Enterprises,

Inc.

(a)(c)

2,812

115,292

Western

Digital

Corp.

*(a)

9,636

478,427

Western

Union

Co.

(The)

(a)(c)

11,844

221,957

Westlake

Corp.

(a)

511

63,057

Westrock

Co.

(a)

4,326

203,452

Whirlpool

Corp.

(a)

373

64,447

Williams-Sonoma,

Inc.

(a)(c)

2,174

315,230

Wintrust

Financial

Corp.

(a)

880

81,778

World

Fuel

Services

Corp.

(a)

3,914

105,835

World

Wrestling

Entertainment,

Inc.,

Class

A

(a)

959

59,880

Worthington

Industries,

Inc.

(a)(c)

1,423

73,156

Xerox

Holdings

Corp.

(a)(c)

10,774

217,312

XPO

Logistics,

Inc.

*(a)

3,944

287,123

Yelp,

Inc.

*(a)

12,981

442,782

YETI

Holdings,

Inc.

*(a)

2,375

142,453

Zebra

Technologies

Corp.,

Class

A

*(a)

176

72,811

Ziff

Davis,

Inc.

*(a)(c)

4,472

432,800

Zimmer

Biomet

Holdings,

Inc.

(a)

125

15,988

Zimvie

,

Inc.

*

12

274

Zoetis,

Inc.

(a)

759

143,140

64,959,333

—

TOTAL

COMMON

STOCKS

(Cost

$92,359,794)

124,064,295

PREFERRED

STOCKS

-

0.1%

United

States

-

0.1%

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$125,034)

1,728

148,625

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

76.2%

INVESTMENT

COMPANIES

-

59.3%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(d)(e)

994,605

994,605

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

0.14%

(d)

30,006

30,006

Limited

Purpose

Cash

Investment

Fund,

0.18%

(d)

75,755,403

75,717,525

TOTAL

INVESTMENT

COMPANIES

(Cost

$76,746,934)

76,742,136

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

16.9%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(2)(f)

$

2,532,000

2,531,939

0.06%,

4/14/2022

(2)(f)

117,000

116,994

0.06%,

4/28/2022

(2)(f)

276,000

275,978

0.07%,

5/5/2022

(2)(f)

181,000

180,975

0.07%,

5/19/2022

(2)(f)

2,369,000

2,368,213

0.07%,

5/26/2022

(2)(f)(g)

179,000

178,921

0.22%,

7/7/2022

(2)(f)(g)

9,166,000

9,151,798

0.28%,

7/14/2022

(2)(f)

992,000

990,259

0.38%,

7/28/2022

(2)(f)

428,000

426,941

0.49%,

8/4/2022

(2)(f)

313,000

312,133

0.71%,

8/25/2022

(2)(f)

978,000

974,444

0.67%,

9/1/2022

(2)(f)

885,000

881,572

0.70%,

9/8/2022

(2)(f)

326,000

324,672

0.82%,

9/15/2022

(2)(f)

999,000

994,683

0.87%,

9/22/2022

(2)(f)

1,284,000

1,278,115

1.06%,

9/29/2022

(2)(f)

884,000

879,525

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$21,881,228)

21,867,162

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$98,628,162)

98,609,298

TOTAL

LONG

POSITIONS

(Cost

$191,112,990)

222,822,218

SHARES

SHORT

POSITIONS

-

(89.6)%

COMMON

STOCKS

-

(89.6)%

Australia

-

(1.5)%

Alumina

Ltd.

(2)

(11,404)

(17,121)

APA

Group

(2)

(24,023)

(190,931)

Atlas

Arteria

Ltd.

(2)

(20,949)

(101,956)

Domino's

Pizza

Enterprises

Ltd.

(2)

(380)

(24,736)

IDP

Education

Ltd.

(2)

(7,538)

(176,420)

Insurance

Australia

Group

Ltd.

(2)

(78,147)

(255,758)

Mineral

Resources

Ltd.

(2)

(3,422)

(134,896)

Northern

Star

Resources

Ltd.

(2)

(43,940)

(354,495)

Pilbara

Minerals

Ltd.

(2)*

(108,395)

(256,087)

QBE

Insurance

Group

Ltd.

(2)

(37,612)

(322,535)

Seven

Group

Holdings

Ltd.

(2)

(4,733)

(74,730)

Suncorp

Group

Ltd.

(2)

(1,807)

(14,979)

Transurban

Group

(2)

(7,294)

(73,698)

(1,998,342)

—

8

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Austria

-

0.0%

(h)

ams

-OSRAM

AG

(2)*

(2,258)

(34,563)

Belgium

-

(0.4)%

Anheuser-Busch

InBev

SA/NV

(2)

(6,227)

(372,300)

Galapagos

NV

(2)*

(1,757)

(109,166)

(481,466)

—

Brazil

-

(0.4)%

MercadoLibre

,

Inc.

*

(362)

(430,591)

Wheaton

Precious

Metals

Corp.

(1,392)

(66,196)

(496,787)

—

Canada

-

(2.7)%

Air

Canada

*

(17,522)

(339,886)

Algonquin

Power

&

Utilities

Corp.

(752)

(11,664)

AltaGas

Ltd.

(2,517)

(56,374)

Ballard

Power

Systems,

Inc.

*

(30,762)

(358,027)

Barrick

Gold

Corp.

(11,823)

(289,960)

BlackBerry

Ltd.

*

(25,823)

(191,480)

Boralex

,

Inc.,

Class

A

(3,733)

(120,994)

CAE,

Inc.

*

(4,470)

(116,349)

Canada

Goose

Holdings,

Inc.

*

(3,293)

(86,530)

Canopy

Growth

Corp.

*

(38,746)

(293,814)

Element

Fleet

Management

Corp.

(2,401)

(23,239)

GFL

Environmental,

Inc.

(477)

(15,514)

Innergex

Renewable

Energy,

Inc.

(8,775)

(139,541)

Kinaxis

,

Inc.

*

(121)

(15,837)

Lightspeed

Commerce,

Inc.

*

(6,459)

(197,002)

Nuvei

Corp.

*(b)

(170)

(12,782)

Restaurant

Brands

International,

Inc.

(2,702)

(157,864)

Shopify,

Inc.,

Class

A

*

(1,306)

(883,241)

SNC-Lavalin

Group,

Inc.

(6,584)

(158,524)

Yamana

Gold,

Inc.

(7,636)

(42,634)

(3,511,256)

—

Chile

-

0.0%

(h)

Antofagasta

plc

(2)

(2,242)

(48,716)

China

-

(0.2)%

Prosus

NV

(2)*

(4,143)

(223,423)

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)*

(2,830)

(71,845)

Denmark

-

(1.4)%

Ambu

A/S,

Class

B

(2)

(7,603)

(111,925)

Coloplast

A/S,

Class

B

(2)

(512)

(77,537)

Demant

A/S

(2)*

(1,987)

(89,922)

GN

Store

Nord

A/S

(2)

(292)

(14,313)

Novo

Nordisk

A/S,

Class

B

(2)

(3,213)

(356,374)

Orsted

A/S

(2)*(b)

(4,573)

(572,409)

Tryg

A/S

(2)

(656)

(15,950)

Vestas

Wind

Systems

A/S

(2)

(19,533)

(572,996)

(1,811,426)

—

Faroe

Islands

-

0.0%

(h)

Bakkafrost

P/F

(2)

(456)

(30,585)

INVESTMENTS

SHARES

VALUE

($)

Finland

-

(0.1)%

Neste

OYJ

(2)

(1,515)

(69,074)

Orion

OYJ,

Class

B

(2)

(893)

(40,557)

(109,631)

—

France

-

(3.6)%

Accor

SA

(2)*

(3,298)

(106,259)

Adevinta

ASA

(2)*

(14,570)

(133,012)

Airbus

SE

(2)*

(2,096)

(252,921)

BioMerieux

(2)

(1,032)

(110,146)

Cie

Plastic

Omnium

SA

(2)

(1,073)

(19,481)

Dassault

Systemes

SE

(2)

(10,353)

(508,629)

Edenred

(2)

(6,194)

(306,261)

EssilorLuxottica

SA

(2)

(265)

(48,466)

Getlink

SE

(2)

(4,549)

(81,926)

Hermes

International

(2)

(622)

(880,346)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2)

(1,037)

(740,210)

Orpea

SA

(2)

(1,925)

(83,533)

Safran

SA

(2)

(746)

(87,831)

Sartorius

Stedim

Biotech

(2)

(849)

(347,593)

SOITEC

(2)*

(896)

(168,076)

Ubisoft

Entertainment

SA

(2)*

(638)

(28,036)

Valeo

(2)

(7,408)

(136,833)

Worldline

SA

(2)*(b)

(15,517)

(673,441)

(4,713,000)

—

Germany

-

(3.0)%

Carl

Zeiss

Meditec

AG

(2)

(1,280)

(206,179)

Commerzbank

AG

(2)*

(8,702)

(66,126)

CompuGroup

Medical

SE

&

Co.

KgaA

(2)

(284)

(17,305)

HelloFresh

SE

(2)*

(1,721)

(77,245)

Merck

KGaA

(2)

(3,041)

(635,067)

MTU

Aero

Engines

AG

(2)

(374)

(86,499)

Nemetschek

SE

(2)

(2,153)

(206,761)

Puma

SE

(2)

(3,277)

(278,682)

Rational

AG

(2)

(47)

(32,370)

SAP

SE

(2)

(2,852)

(316,082)

Sartorius

AG

(Preference)

(2)

(1,100)

(485,478)

Siemens

Healthineers

AG

(2)(b)

(7,995)

(495,457)

TeamViewer

AG

(2)*(b)

(5,705)

(84,248)

Telefonica

Deutschland

Holding

AG

(2)

(49,224)

(133,879)

thyssenkrupp

AG

(2)*

(8,951)

(76,508)

United

Internet

AG

(Registered)

(2)

(2,660)

(91,286)

Volkswagen

AG

(Preference)

(2)

(99)

(17,013)

Zalando

SE

(2)*(b)

(10,548)

(534,089)

(3,840,274)

—

Italy

-

(1.8)%

Amplifon

SpA

(2)

(6,675)

(297,070)

Brembo

SpA

(2)

(3,436)

(38,252)

Davide

Campari-Milano

NV

(2)

(6,439)

(74,686)

DiaSorin

SpA

(2)

(106)

(16,556)

Enel

SpA

(2)

(8,408)

(56,138)

Ferrari

NV

(2)

(2,069)

(450,752)

FinecoBank

Banca

Fineco

SpA

(2)

(3,135)

(47,558)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(1,147)

(12,840)

Interpump

Group

SpA

(2)

(1,713)

(85,838)

9

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

(1.8)%

(continued)

Moncler

SpA

(2)

(11,918)

(661,234)

Nexi

SpA

(2)*(b)

(47,047)

(542,909)

(2,283,833)

—

Japan

-

(14.5)%

Advantest

Corp.

(2)

(4,700)

(366,947)

Aeon

Co.

Ltd.

(2)

(6,100)

(130,067)

Ajinomoto

Co.,

Inc.

(2)

(2,300)

(65,280)

ANA

Holdings,

Inc.

(2)*

(6,000)

(125,419)

Asahi

Intecc

Co.

Ltd.

(2)

(13,100)

(255,563)

Asics

Corp.

(2)

(9,000)

(173,671)

Azbil

Corp.

(2)

(1,000)

(33,190)

BayCurrent

Consulting,

Inc.

(2)

(1,200)

(434,374)

Benefit

One,

Inc.

(2)

(1,200)

(25,185)

Capcom

Co.

Ltd.

(2)

(3,700)

(89,704)

Casio

Computer

Co.

Ltd.

(2)

(3,200)

(36,632)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(4,200)

(140,147)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(2)

(3,400)

(40,066)

Cosmos

Pharmaceutical

Corp.

(2)

(1,500)

(181,798)

CyberAgent

,

Inc.

(2)

(13,500)

(167,057)

Daifuku

Co.

Ltd.

(2)

(800)

(57,081)

Daiichi

Sankyo

Co.

Ltd.

(2)

(9,200)

(200,900)

Daikin

Industries

Ltd.

(2)

(800)

(145,283)

East

Japan

Railway

Co.

(2)

(5,800)

(335,690)

Eisai

Co.

Ltd.

(2)

(6,100)

(282,604)

Fancl

Corp.

(2)

(3,400)

(75,735)

FANUC

Corp.

(2)

(100)

(17,551)

Fast

Retailing

Co.

Ltd.

(2)

(600)

(307,594)

Food

&

Life

Cos.

Ltd.

(2)

(2,600)

(72,519)

Freee

KK

(2)*

(900)

(31,947)

FUJIFILM

Holdings

Corp.

(2)

(400)

(24,416)

GMO

internet,

Inc.

(2)

(400)

(9,082)

GMO

Payment

Gateway,

Inc.

(2)

(1,100)

(112,064)

Harmonic

Drive

Systems,

Inc.

(2)

(4,700)

(161,410)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(500)

(14,888)

Hoya

Corp.

(2)

(4,300)

(490,019)

Ibiden

Co.

Ltd.

(2)

(1,400)

(68,253)

Isetan

Mitsukoshi

Holdings

Ltd.

(2)

(3,900)

(30,693)

Japan

Airlines

Co.

Ltd.

(2)*

(12,300)

(229,313)

Japan

Airport

Terminal

Co.

Ltd.

(2)*

(6,400)

(291,506)

JCR

Pharmaceuticals

Co.

Ltd.

(2)

(1,100)

(20,231)

JSR

Corp.

(2)

(1,300)

(38,282)

Justsystems

Corp.

(2)

(600)

(28,262)

Kakaku.com,

Inc.

(2)

(4,900)

(109,431)

Kansai

Paint

Co.

Ltd.

(2)

(900)

(14,449)

Kawasaki

Heavy

Industries

Ltd.

(2)

(4,600)

(83,343)

Keihan

Holdings

Co.

Ltd.

(2)

(1,500)

(36,772)

Keikyu

Corp.

(2)

(1,100)

(11,253)

Keio

Corp.

(2)

(3,000)

(116,942)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(3,800)

(105,563)

Keyence

Corp.

(2)

(500)

(231,851)

Kikkoman

Corp.

(2)

(3,400)

(225,204)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(6,200)

(177,474)

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

(800)

(64,098)

Kobe

Bussan

Co.

Ltd.

(2)

(19,100)

(587,797)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(1,650)

(54,108)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(14.5)%

(continued)

Koito

Manufacturing

Co.

Ltd.

(2)

(900)

(36,423)

Kose

Corp.

(2)

(2,500)

(261,564)

Lasertec

Corp.

(2)

(2,500)

(415,910)

M3,

Inc.

(2)

(23,300)

(841,502)

Marui

Group

Co.

Ltd.

(2)

(4,800)

(87,826)

Mercari

,

Inc.

(2)*

(6,400)

(165,210)

Mitsubishi

Motors

Corp.

(2)*

(86,800)

(233,121)

Miura

Co.

Ltd.

(2)

(600)

(14,784)

MonotaRO

Co.

Ltd.

(2)

(22,300)

(478,610)

Nagoya

Railroad

Co.

Ltd.

(2)

(1,000)

(17,696)

Nexon

Co.

Ltd.

(2)

(1,500)

(35,886)

Nidec

Corp.

(2)

(1,300)

(102,678)

Nihon

M&A

Center

Holdings,

Inc.

(2)

(7,400)

(103,511)

Nikon

Corp.

(2)

(1,300)

(13,881)

Nintendo

Co.

Ltd.

(2)

(700)

(353,333)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(29,800)

(261,088)

Nippon

Sanso

Holdings

Corp.

(2)

(2,200)

(41,830)

Nisshin

Seifun

Group,

Inc.

(2)

(900)

(12,556)

Nomura

Research

Institute

Ltd.

(2)

(3,100)

(101,145)

NTT

Data

Corp.

(2)

(2,900)

(56,992)

Obic

Co.

Ltd.

(2)

(900)

(134,799)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(9,400)

(155,803)

Olympus

Corp.

(2)

(12,800)

(242,593)

Omron

Corp.

(2)

(200)

(13,310)

Oracle

Corp.

Japan

(2)

(200)

(13,859)

Oriental

Land

Co.

Ltd.

(2)

(100)

(19,141)

Pan

Pacific

International

Holdings

Corp.

(2)

(5,200)

(83,203)

Park24

Co.

Ltd.

(2)*

(11,700)

(191,457)

PeptiDream

,

Inc.

(2)*

(6,300)

(111,958)

Persol

Holdings

Co.

Ltd.

(2)

(1,700)

(38,091)

Pola

Orbis

Holdings,

Inc.

(2)

(7,900)

(102,866)

Rakus

Co.

Ltd.

(2)

(25,500)

(342,269)

Rakuten

Group,

Inc.

(2)

(36,300)

(285,417)

Recruit

Holdings

Co.

Ltd.

(2)

(700)

(30,413)

Renesas

Electronics

Corp.

(2)*

(2,900)

(33,602)

Ryohin

Keikaku

Co.

Ltd.

(2)

(14,200)

(164,709)

SG

Holdings

Co.

Ltd.

(2)

(4,700)

(88,505)

Sharp

Corp.

(2)

(19,800)

(184,822)

Shimadzu

Corp.

(2)

(400)

(13,758)

Shinko

Electric

Industries

Co.

Ltd.

(2)

(6,100)

(286,946)

Shiseido

Co.

Ltd.

(2)

(6,000)

(303,051)

Showa

Denko

KK

(2)

(11,100)

(219,165)

SoftBank

Corp.

(2)

(54,400)

(634,473)

SoftBank

Group

Corp.

(2)

(9,800)

(438,155)

Sony

Group

Corp.

(2)

(5,000)

(514,379)

SUMCO

Corp.

(2)

(10,000)

(163,649)

Sundrug

Co.

Ltd.

(2)

(1,000)

(24,355)

Sysmex

Corp.

(2)

(3,100)

(224,525)

Takara

Bio,

Inc.

(2)

(1,600)

(29,270)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(2,900)

(82,627)

Terumo

Corp.

(2)

(4,400)

(133,137)

THK

Co.

Ltd.

(2)

(3,700)

(81,421)

TIS,

Inc.

(2)

(1,400)

(32,764)

Tobu

Railway

Co.

Ltd.

(2)

(600)

(14,589)

Toho

Gas

Co.

Ltd.

(2)

(500)

(11,129)

Tokyo

Century

Corp.

(2)

(1,300)

(47,659)

10

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(14.5)%

(continued)

Tokyo

Electron

Ltd.

(2)

(1,300)

(667,629)

TOTO

Ltd.

(2)

(3,200)

(128,514)

Toyota

Industries

Corp.

(2)

(200)

(13,795)

Toyota

Motor

Corp.

(2)

(4,500)

(81,171)

Tsuruha

Holdings,

Inc.

(2)

(200)

(12,700)

Unicharm

Corp.

(2)

(10,800)

(387,999)

USS

Co.

Ltd.

(2)

(2,100)

(35,288)

Welcia

Holdings

Co.

Ltd.

(2)

(4,600)

(113,184)

West

Japan

Railway

Co.

(2)

(5,200)

(215,466)

Yakult

Honsha

Co.

Ltd.

(2)

(6,700)

(357,404)

Yamato

Holdings

Co.

Ltd.

(2)

(3,200)

(59,777)

Yaskawa

Electric

Corp.

(2)

(3,200)

(124,720)

Yokogawa

Electric

Corp.

(2)

(7,100)

(120,973)

Z

Holdings

Corp.

(2)

(61,300)

(265,006)

(18,839,749)

—

Netherlands

-

(1.8)%

Adyen

NV

(2)*(b)

(411)

(814,065)

Argenx

SE

(2)*

(1,607)

(502,784)

ASM

International

NV

(2)

(847)

(308,420)

ASML

Holding

NV

(2)

(363)

(242,565)

Heineken

NV

(2)

(519)

(49,632)

IMCD

NV

(2)

(515)

(87,855)

Koninklijke

DSM

NV

(2)

(1,271)

(227,374)

OCI

NV

(2)*

(1,889)

(66,690)

(2,299,385)

—

New

Zealand

-

0.0%

(h)

Xero

Ltd.

(2)*

(190)

(14,400)

Norway

-

(0.1)%

Mowi

ASA

(2)

(1,377)

(37,091)

Schibsted

ASA,

Class

A

(2)

(2,176)

(53,633)

TOMRA

Systems

ASA

(2)

(934)

(47,647)

(138,371)

—

Saudi

Arabia

-

(0.6)%

Delivery

Hero

SE

(2)*(b)

(16,564)

(721,923)

Singapore

-

(0.6)%

City

Developments

Ltd.

(2)

(7,800)

(45,090)

Singapore

Telecommunications

Ltd.

(2)

(345,700)

(671,262)

(716,352)

—

Spain

-

(2.0)%

Aena

SME

SA

(2)*(b)

(370)

(61,679)

Amadeus

IT

Group

SA

(2)*

(8,861)

(576,125)

Cellnex

Telecom

SA

(2)(b)

(18,813)

(905,364)

Ferrovial

SA

(2)

(12,347)

(328,367)

Fluidra

SA

(2)

(6,690)

(193,572)

Industria

de

Diseno

Textil

SA

(2)

(5,460)

(119,055)

Siemens

Gamesa

Renewable

Energy

SA

(2)*

(19,549)

(342,875)

(2,527,037)

—

Sweden

-

(1.6)%

Beijer

Ref

AB

(2)

(3,669)

(66,451)

Embracer

Group

AB

(2)*

(37,037)

(309,153)

Epiroc

AB,

Class

A

(2)

(3,482)

(74,476)

EQT

AB

(2)

(11,233)

(438,069)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

(1.6)%

(continued)

Evolution

AB

(2)(b)

(3,484)

(354,442)

Lifco

AB,

Class

B

(2)

(3,035)

(77,045)

Nibe

Industrier

AB,

Class

B

(2)

(22,303)

(247,219)

Saab

AB,

Class

B

(2)

(3,139)

(113,380)

Sinch

AB

(2)*(b)

(31,079)

(210,792)

Sweco

AB,

Class

B

(2)

(4,574)

(66,500)

Swedish

Match

AB

(2)

(23,197)

(174,442)

(2,131,969)

—

Switzerland

-

(2.4)%

Bachem

Holding

AG

(Registered),

Class

B

(2)

(164)

(90,256)

Clariant

AG

(Registered)

(2)*

(7,593)

(131,762)

Dufry

AG

(Registered)

(2)*

(10,126)

(426,079)

Idorsia

Ltd.

(2)*

(11,284)

(225,414)

Lonza

Group

AG

(Registered)

(2)

(113)

(81,880)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(4,550)

(36,259)

Partners

Group

Holding

AG

(2)

(167)

(206,780)

SIG

Combibloc

Group

AG

(2)*

(1,350)

(34,033)

Sika

AG

(Registered)

(2)

(2,042)

(675,604)

Sonova

Holding

AG

(Registered)

(2)

(561)

(234,351)

Straumann

Holding

AG

(Registered)

(2)

(345)

(550,857)

Temenos

AG

(Registered)

(2)

(2,633)

(253,268)

VAT

Group

AG

(2)(b)

(453)

(172,475)

(3,119,018)

—

Taiwan

-

(0.1)%

Sea

Ltd.,

ADR

*

(1,460)

(174,893)

United

Kingdom

-

(2.3)%

Associated

British

Foods

plc

(2)

(677)

(14,707)

AVEVA

Group

plc

(2)

(4,154)

(132,681)

Beazley

plc

(2)

(7,203)

(39,606)

Bellway

plc

(2)

(961)

(30,549)

boohoo

Group

plc

(2)*

(112,247)

(130,037)

British

American

Tobacco

plc

(2)

(5,627)

(236,318)

ConvaTec

Group

plc

(2)(b)

(4,958)

(14,003)

Croda

International

plc

(2)

(3,970)

(408,401)

Dechra

Pharmaceuticals

plc

(2)

(2,441)

(129,598)

easyJet

plc

(2)*

(12,721)

(92,287)

Halma

plc

(2)

(801)

(26,206)

Hargreaves

Lansdown

plc

(2)

(9,060)

(119,418)

Hiscox

Ltd.

(2)

(9,572)

(123,438)

JD

Sports

Fashion

plc

(2)

(47,867)

(92,236)

Legal

&

General

Group

plc

(2)

(12,859)

(45,590)

Ocado

Group

plc

(2)*

(12,643)

(193,054)

Prudential

plc

(2)

(10,473)

(154,616)

Quilter

plc

(2)(b)

(8,238)

(15,380)

Reckitt

Benckiser

Group

plc

(2)

(1,889)

(144,104)

Rolls-Royce

Holdings

plc

(2)*

(449,440)

(591,013)

Standard

Chartered

plc

(2)

(9,193)

(61,023)

Weir

Group

plc

(The)

(2)

(2,130)

(45,454)

WH

Smith

plc

(2)*

(2,620)

(48,936)

Whitbread

plc

(2)*

(602)

(22,415)

(2,911,070)

—

11

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(48.4)%

10X

Genomics,

Inc.,

Class

A

*

(4,603)

(350,150)

Adaptive

Biotechnologies

Corp.

*

(9,759)

(135,455)

ADT,

Inc.

(2,783)

(21,123)

Advanced

Micro

Devices,

Inc.

*

(1,706)

(186,534)

AES

Corp.

(The)

(506)

(13,019)

Airbnb,

Inc.,

Class

A

*

(1,614)

(277,221)

Albemarle

Corp.

(601)

(132,911)

Alcoa

Corp.

(1,862)

(167,636)

Alnylam

Pharmaceuticals,

Inc.

*

(1,648)

(269,102)

Alteryx

,

Inc.,

Class

A

*

(1,403)

(100,357)

Altria

Group,

Inc.

(1,373)

(71,739)

Amazon.com,

Inc.

*

(206)

(671,550)

AMC

Entertainment

Holdings,

Inc.,

Class

A

*

(52,034)

(1,282,118)

Amedisys

,

Inc.

*

(119)

(20,503)

American

Airlines

Group,

Inc.

*

(49,168)

(897,316)

American

Express

Co.

(4,453)

(832,711)

American

Water

Works

Co.,

Inc.

(2,320)

(384,030)

Amphenol

Corp.,

Class

A

(1,688)

(127,191)

Aon

plc,

Class

A

(3,004)

(978,193)

Aptiv

plc

*

(3,494)

(418,267)

Arrowhead

Pharmaceuticals,

Inc.

*

(2,574)

(118,378)

Asana,

Inc.,

Class

A

*

(2,832)

(113,195)

Atmos

Energy

Corp.

(8,065)

(963,687)

Avalara,

Inc.

*

(310)

(30,848)

Avis

Budget

Group,

Inc.

*

(2,933)

(772,259)

Axalta

Coating

Systems

Ltd.

*

(463)

(11,381)

Axon

Enterprise,

Inc.

*

(560)

(77,129)

Baker

Hughes

Co.

(6,879)

(250,464)

Ball

Corp.

(9,346)

(841,140)

Bank

OZK

(606)

(25,876)

Bausch

Health

Cos.,

Inc.

*

(2,041)

(46,627)

Beyond

Meat,

Inc.

*

(14,196)

(685,809)

Bill.com

Holdings,

Inc.

*

(3,212)

(728,449)

BioMarin

Pharmaceutical,

Inc.

*

(653)

(50,346)

Block,

Inc.

*

(1,055)

(143,058)

Boeing

Co.

(The)

*

(3,500)

(670,250)

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

(427)

(165,877)

Bright

Horizons

Family

Solutions,

Inc.

*

(2,168)

(287,672)

Brink's

Co.

(The)

(1,739)

(118,252)

Cadence

Bank

(734)

(21,477)

Caesars

Entertainment,

Inc.

*

(840)

(64,982)

Carnival

Corp.

*

(39,842)

(805,605)

Carvana

Co.

*

(2,313)

(275,918)

Catalent

,

Inc.

*

(657)

(72,861)

CenterPoint

Energy,

Inc.

(23,789)

(728,895)

ChargePoint

Holdings,

Inc.

*

(2,757)

(54,809)

Charter

Communications,

Inc.,

Class

A

*

(334)

(182,204)

Chegg

,

Inc.

*

(12,030)

(436,448)

Cheniere

Energy,

Inc.

(7,406)

(1,026,842)

Chewy,

Inc.,

Class

A

*

(4,056)

(165,404)

Clarivate

plc

*

(10,619)

(177,974)

Cloudflare

,

Inc.,

Class

A

*

(1,561)

(186,852)

CME

Group,

Inc.

(3,177)

(755,681)

CommScope

Holding

Co.,

Inc.

*

(6,413)

(50,534)

Compass

Minerals

International,

Inc.

(1,167)

(73,276)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(48.4)%

(continued)

Copart

,

Inc.

*

(183)

(22,961)

Corning,

Inc.

(347)

(12,808)

CoStar

Group,

Inc.

*

(180)

(11,990)

Costco

Wholesale

Corp.

(1,496)

(861,472)

Coupa

Software,

Inc.

*

(1,735)

(176,328)

Crocs,

Inc.

*

(1,281)

(97,868)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(2,266)

(514,563)

Danaher

Corp.

(2,266)

(664,686)

Datadog

,

Inc.,

Class

A

*

(1,200)

(181,764)

Delta

Air

Lines,

Inc.

*

(2,531)

(100,152)

Dexcom

,

Inc.

*

(751)

(384,212)

Discovery,

Inc.,

Class

A

*

(7,556)

(188,296)

DocuSign,

Inc.

*

(304)

(32,564)

Dollar

General

Corp.

(4,465)

(994,043)

Dollar

Tree,

Inc.

*

(6,131)

(981,880)

Dominion

Energy,

Inc.

(937)

(79,617)

DoorDash

,

Inc.,

Class

A

*

(1,454)

(170,394)

DraftKings

,

Inc.,

Class

A

*

(13,227)

(257,530)

Duke

Energy

Corp.

(672)

(75,036)

Dun

&

Bradstreet

Holdings,

Inc.

*

(17,793)

(311,733)

Edison

International

(7,920)

(555,192)

Elanco

Animal

Health,

Inc.

*

(2,338)

(60,998)

Elastic

NV

*

(478)

(42,518)

Eli

Lilly

&

Co.

(1,888)

(540,667)

Encompass

Health

Corp.

(240)

(17,066)

Energizer

Holdings,

Inc.

(951)

(29,253)

Enphase

Energy,

Inc.

*

(2,060)

(415,667)

Erie

Indemnity

Co.,

Class

A

(394)

(69,395)

Essential

Utilities,

Inc.

(2,876)

(147,050)

Etsy,

Inc.

*

(887)

(110,236)

Everbridge

,

Inc.

*

(276)

(12,045)

Eversource

Energy

(2,302)

(203,013)

Exact

Sciences

Corp.

*

(3,875)

(270,940)

Exelixis

,

Inc.

*

(2,452)

(55,587)

Exxon

Mobil

Corp.

(2,577)

(212,834)

Fastly

,

Inc.,

Class

A

*

(8,923)

(155,082)

First

Citizens

BancShares

,

Inc.,

Class

A

(18)

(11,981)

First

Financial

Bankshares

,

Inc.

(307)

(13,545)

First

Republic

Bank

(451)

(73,107)

FirstEnergy

Corp.

(4,240)

(194,446)

Five9,

Inc.

*

(1,588)

(175,315)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(374)

(30,294)

Fluor

Corp.

*

(3,227)

(92,583)

Fox

Factory

Holding

Corp.

*

(606)

(59,358)

Freshpet

,

Inc.

*

(2,772)

(284,518)

GameStop

Corp.,

Class

A

*

(8,241)

(1,372,786)

General

Electric

Co.

(4,227)

(386,771)

Grocery

Outlet

Holding

Corp.

*

(6,640)

(217,659)

Guardant

Health,

Inc.

*

(8,953)

(593,047)

HealthEquity

,

Inc.

*

(4,001)

(269,827)

Hershey

Co.

(The)

(1,440)

(311,947)

Hess

Corp.

(5,686)

(608,629)

Home

Depot,

Inc.

(The)

(63)

(18,858)

Howard

Hughes

Corp.

(The)

*

(2,042)

(211,572)

Incyte

Corp.

*

(177)

(14,057)

Insulet

Corp.

*

(965)

(257,066)

12

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(48.4)%

(continued)

International

Flavors

&

Fragrances,

Inc.

(1,631)

(214,199)

Intuitive

Surgical,

Inc.

*

(728)

(219,623)

Ionis

Pharmaceuticals,

Inc.

*

(10,478)

(388,105)

Iovance

Biotherapeutics

,

Inc.

*

(33,309)

(554,595)

Iridium

Communications,

Inc.

*

(7,555)

(304,618)

Kirby

Corp.

*

(1,713)

(123,661)

Kraft

Heinz

Co.

(The)

(399)

(15,717)

Lamb

Weston

Holdings,

Inc.

(780)

(46,730)

Las

Vegas

Sands

Corp.

*

(793)

(30,824)

Lemonade,

Inc.

*

(3,434)

(90,555)

LendingTree

,

Inc.

*

(2,461)

(294,508)

LHC

Group,

Inc.

*

(100)

(16,860)

Liberty

Broadband

Corp.,

Class

C

*

(346)

(46,821)

Lululemon

Athletica

,

Inc.

*

(1,462)

(533,966)

Lyft,

Inc.,

Class

A

*

(21,878)

(840,115)

Madison

Square

Garden

Sports

Corp.

*

(1,175)

(210,748)

Marathon

Petroleum

Corp.

(2,920)

(249,660)

MarketAxess

Holdings,

Inc.

(138)

(46,948)

Marsh

&

McLennan

Cos.,

Inc.

(864)

(147,243)

Mercury

Systems,

Inc.

*

(509)

(32,805)

Mirati

Therapeutics,

Inc.

*

(2,891)

(237,698)

MongoDB,

Inc.

*

(553)

(245,305)

MSCI,

Inc.

(59)

(29,670)

Natera

,

Inc.

*

(5,680)

(231,062)

Nektar

Therapeutics

*

(28,595)

(154,127)

Netflix,

Inc.

*

(879)

(329,265)

New

Fortress

Energy,

Inc.

(10,938)

(466,068)

New

Relic,

Inc.

*

(496)

(33,172)

Newell

Brands,

Inc.

(7,565)

(161,967)

Newmont

Corp.

(11,278)

(896,037)

News

Corp.,

Class

A

(590)

(13,069)

NextEra

Energy,

Inc.

(10,997)

(931,556)

NIKE,

Inc.,

Class

B

(6,489)

(873,160)

Nordstrom,

Inc.

(4,972)

(134,791)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(41,806)

(914,715)

NOV,

Inc.

(17,145)

(336,213)

Novocure

Ltd.

*

(2,733)

(226,429)

Nucor

Corp.

(1,779)

(264,448)

Nutanix

,

Inc.,

Class

A

*

(6,212)

(166,606)

NVIDIA

Corp.

(1,543)

(421,023)

Oak

Street

Health,

Inc.

*

(2,857)

(76,796)

Okta

,

Inc.

*

(1,052)

(158,810)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(1,973)

(84,760)

ONE

Gas,

Inc.

(659)

(58,150)

ONEOK,

Inc.

(2,381)

(168,170)

PacWest

Bancorp

(5,555)

(239,587)

Palantir

Technologies,

Inc.,

Class

A

*

(6,940)

(95,286)

Paramount

Global,

Class

B

(4,496)

(169,994)

Peloton

Interactive,

Inc.,

Class

A

*

(30,018)

(793,076)

Penumbra,

Inc.

*

(183)

(40,650)

Plug

Power,

Inc.

*

(41,321)

(1,182,194)

Primerica,

Inc.

(98)

(13,408)

Progressive

Corp.

(The)

(7,549)

(860,511)

Progyny

,

Inc.

*

(4,273)

(219,632)

QuantumScape

Corp.

*

(10,795)

(215,792)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(48.4)%

(continued)

Repligen

Corp.

*

(1,233)

(231,915)

RingCentral,

Inc.,

Class

A

*

(611)

(71,615)

Rocket

Cos.,

Inc.,

Class

A

(78,368)

(871,452)

Roku,

Inc.

*

(1,719)

(215,339)

Royal

Caribbean

Cruises

Ltd.

*

(4,470)

(374,497)

Royal

Gold,

Inc.

(1,533)

(216,582)

Sabre

Corp.

*

(33,712)

(385,328)

Sage

Therapeutics,

Inc.

*

(4,639)

(153,551)

Sailpoint

Technologies

Holdings,

Inc.

*

(1,169)

(59,829)

Schlumberger

NV

(16,586)

(685,168)

Seagen

,

Inc.

*

(1,645)

(236,962)

Sherwin-Williams

Co.

(The)

(536)

(133,796)

Shift4

Payments,

Inc.,

Class

A

*

(625)

(38,706)

Signature

Bank

(1,669)

(489,835)

Sirius

XM

Holdings,

Inc.

(32,709)

(216,534)

SiTime

Corp.

*

(82)

(20,321)

Six

Flags

Entertainment

Corp.

*

(5,982)

(260,217)

Smartsheet

,

Inc.,

Class

A

*

(394)

(21,583)

Snap,

Inc.,

Class

A

*

(12,139)

(436,883)

Snowflake,

Inc.,

Class

A

*

(483)

(110,670)

SoFi

Technologies,

Inc.

*

(7,681)

(72,585)

SolarEdge

Technologies,

Inc.

*

(792)

(255,317)

Spire,

Inc.

(543)

(38,966)

Splunk

,

Inc.

*

(645)

(95,853)

STAAR

Surgical

Co.

*

(1,156)

(92,376)

Sunrun

,

Inc.

*

(14,768)

(448,504)

SVB

Financial

Group

*

(114)

(63,777)

Tandem

Diabetes

Care,

Inc.

*

(407)

(47,330)

Tempur

Sealy

International,

Inc.

(1,006)

(28,088)

Tenaris

SA

(2)

(11,864)

(178,210)

Tesla,

Inc.

*

(583)

(628,241)

Texas

Capital

Bancshares,

Inc.

*

(672)

(38,512)

T-Mobile

US,

Inc.

*

(4,169)

(535,091)

Trade

Desk,

Inc.

(The),

Class

A

*

(1,381)

(95,634)

Trimble,

Inc.

*

(641)

(46,242)

TripAdvisor,

Inc.

*

(4,417)

(119,789)

Twilio

,

Inc.,

Class

A

*

(1,778)

(293,032)

Twitter,

Inc.

*

(6,706)

(259,455)

Uber

Technologies,

Inc.

*

(22,287)

(795,200)

Ultragenyx

Pharmaceutical,

Inc.

*

(5,559)

(403,695)

United

Airlines

Holdings,

Inc.

*

(7,152)

(331,567)

Unity

Software,

Inc.

*

(663)

(65,776)

Upstart

Holdings,

Inc.

*

(5,602)

(611,122)

Vimeo,

Inc.

*

(9,024)

(107,205)

Virgin

Galactic

Holdings,

Inc.

*

(31,957)

(315,735)

Vroom,

Inc.

*

(36,682)

(97,574)

Walmart,

Inc.

(3,369)

(501,711)

Walt

Disney

Co.

(The)

*

(557)

(76,398)

Wayfair,

Inc.,

Class

A

*

(1,444)

(159,966)

WEC

Energy

Group,

Inc.

(642)

(64,078)

West

Pharmaceutical

Services,

Inc.

(268)

(110,070)

Westinghouse

Air

Brake

Technologies

Corp.

(909)

(87,419)

Williams

Cos.,

Inc.

(The)

(29,041)

(970,260)

Willis

Towers

Watson

plc

(432)

(102,047)

Wolfspeed

,

Inc.

*

(770)

(87,672)

Wynn

Resorts

Ltd.

*

(3,540)

(282,280)

Xcel

Energy,

Inc.

(662)

(47,777)

Zendesk

,

Inc.

*

(134)

(16,119)

13

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(48.4)%

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

*

(111)

(13,013)

ZoomInfo

Technologies,

Inc.

*

(1,397)

(83,457)

Zscaler

,

Inc.

*

(855)

(206,294)

(62,688,109)

—

TOTAL

COMMON

STOCKS

(Proceeds

$(146,214,724))

(115,937,423)

NO.

OF

WARRANTS

WARRANTS

-

0.0%

(h)

Canada

-

0.0%

(h)

Cenovus

Energy,

Inc.,

expiring

1/1/2026

*

(Proceeds

$–)

(674)

(7,817)

TOTAL

SHORT

POSITIONS

(Proceeds

$(146,214,724))

(115,945,240)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

82.7%

(Cost

$44,898,266)

106,876,978

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

17.3%

(

i

)

22,456,938

NET

ASSETS

-

100.0%

129,333,916

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,425,549)

(1.9)

%

Consumer

Discretionary

(4,575,740)

(3.5)

Consumer

Staples

(1,523,149)

(1.2)

Energy

3,048,991

2.4

Financials

12,761,152

9.9

Health

Care

(5,352,646)

(4.1)

Industrials

5,890,493

4.5

Information

Technology

(1,991,629)

(1.5)

Materials

4,872,035

3.8

Real

Estate

(256,661)

(0.2)

Utilities

(2,179,617)

(1.7)

Short-Term

Investments

98,609,298

76.2

Total

Investments

In

Securities

At

Value

106,876,978

82.7

Other

Assets

in

Excess

of

Liabilities

(

i

)

22,456,938

17.3

Net

Assets

$

129,333,916

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$101,341,861.

In

addition,

$5,541,754

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$(5,285,100),

which

represents

approximately

(4.09)%

of

net

assets

of

the

fund.

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$19,458,386.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Represents

less

than

0.05%

of

net

assets.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

14

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

effective

interest

rat

e

swap

contracts

outstanding

as

of

March

31,

2022:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

TONAR

Annual

0.50%

Annual

9/23/2032

JPY

1,622,100,000

$

373,345

$

(92,155)

$

281,190

Receive

1D

SOFR

Annual

0.50%

Annual

6/17/2024

USD

800,000

31,935

(902)

31,033

Receive

1D

SOFR

Annual

2.00%

Annual

9/21/2032

USD

3,000,000

61,524

(14,569)

46,955

Receive

1D

SOFR

Annual

1.50%

Annual

9/21/2032

USD

200,000

4,049

8,008

12,057

Receive

1D

SONIA

Annual

2.00%

Annual

9/23/2024

GBP

8,600,000

56,484

(5,367)

51,117

Receive

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

2,000,000

12,894

205,673

218,567

Receive

1D

SONIA

Annual

0.75%

Annual

9/21/2032

GBP

1,000,000

79,007

30,116

109,123

Receive

1D

TONAR

Annual

0.00%

Annual

9/24/2024

JPY

6,432,800,000

6,348

46,110

52,458

Receive

1D

TONAR

Annual

0.00%

Annual

9/23/2032

JPY

339,900,000

73,713

5,589

79,302

Receive

3M

BA

Qtrly

2.00%

Semi

9/19/2024

CAD

2,500,000

13,417

28,360

41,777

Receive

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

900,000

18,444

56,230

74,674

Receive

6M

BBR

Semi

2.50%

Semi

6/10/2032

AUD

1,000,000

(18,052)

59,921

41,869

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

3,000,000

2,481

220,392

222,873

Receive

6M

BBR

Semi

2.50%

Semi

9/09/2032

AUD

13,300,000

133,745

481,293

615,038

Receive

6M

BBR

Semi

3.00%

Semi

9/09/2032

AUD

800,000

14,533

(3,282)

11,251

Receive

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

2,900,000

75,799

301,961

377,760

Receive

6M

EURIBOR

Semi

1.00%

Annual

9/21/2032

EUR

500,000

19,900

(4,869)

15,031

Receive

6M

EURIBOR

Semi

0.25%

Annual

9/21/2032

EUR

9,700,000

652,098

406,780

1,058,878

1,611,664

1,729,289

3,340,953

Pay

1D

SOFR

Annual

1.00%

Annual

9/23/2024

USD

800,000

(12,261)

(13,449)

(25,710)

Pay

1D

SOFR

Annual

2.00%

Annual

9/23/2024

USD

13,500,000

(180,944)

10,097

(170,847)

Pay

1D

SOFR

Annual

1.25%

Annual

6/15/2032

USD

200,000

(17,932)

1,743

(16,189)

Pay

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

8,600,000

(210,873)

(149,524)

(360,397)

Pay

1D

SONIA

Annual

1.00%

Annual

9/23/2024

GBP

5,100,000

(129,970)

(29,663)

(159,633)

Pay

1D

SONIA

Annual

1.50%

Annual

9/21/2032

GBP

1,900,000

(50,696)

12,275

(38,421)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

4,000,000

(68,302)

(36,190)

(104,492)

Pay

3M

BA

Qtrly

2.25%

Semi

9/20/2032

CAD

600,000

(18,947)

(11,237)

(30,184)

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

18,800,000

(16,443)

(261,395)

(277,838)

Pay

3M

BBR

Qtrly

2.00%

Qtrly

9/12/2024

AUD

60,600,000

(120,397)

(645,718)

(766,115)

Pay

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

10,600,000

(193,155)

(89,391)

(282,546)

Pay

6M

EURIBOR

Semi

0.50%

Annual

9/23/2024

EUR

2,300,000

(28,500)

6,372

(22,128)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/23/2024

EUR

46,800,000

(794,020)

(430,021)

(1,224,041)

(1,842,440)

(1,636,101)

(3,478,541)

$

(230,776)

$

93,188

$

(137,588)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2022

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

0.29%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.69%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.23%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

1.26%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.71%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.37%

15

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

53,000

$

3

DTOP

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/15/2022

ZAR

265,920

1,248

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

04/13/2022

BRL

3,611,370

17,855

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/09/2022

KRW

548,550,000

11,989

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

(40,700)

301

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/14/2022

USD

48,250

1,114

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(167,250)

957

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

167,250

2,433

Natural

Gas

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/27/2022

USD

56,420

5,205

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

80,913

1,731

Sugar

No.

11

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/18/2022

USD

21,829

1,960

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

9,988,220

546,683

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/20/2022

TWD

38,794,800

43,621

WIG20

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/17/2022

PLN

519,600

7,732

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.78%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/15/2022

EUR

1,425,998

143,718

16

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/15/2022

MXN

5,418,607

$

15,792

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.34%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/15/2022

EUR

68,543

3,615

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.58%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/15/2022

CHF

3,299,063

260,383

1,066,340

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(53,000)

(1,450)

Cocoa

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(53,740)

(53)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(1,099,500)

(1,208)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(4,512,600)

(1,459)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/28/2022

HKD

(2,632,350)

(2,186)

KC

HRW

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2022

USD

51,488

(4,763)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

40,700

(11)

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/14/2022

USD

(48,250)

(2,469)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(219,400)

(6,171)

17

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

54,850

$

(377)

Sugar

No.

11

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/18/2022

USD

(21,829)

(2,206)

Tel

Aviv

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2022

ILS

(1,617,024)

(4,491)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

(50,300)

(11,605)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

50,300

(6,400)

MSCI

China

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

BANA

06/15/2022

HKD

(1,510,215)

(4,869)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.32%)

Monthly

BANA

06/15/2022

EUR

(124,689)

(12,150)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(0.00%)

Monthly

BANA

06/15/2022

SGD

(10,917)

(650)

(62,518)

$

1,003,822

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

34

4/2022

USD

$

3,560,140

$

20,434

CAC

40

10

Euro

Index

25

4/2022

EUR

1,841,215

35,229

IBEX

35

Index

33

4/2022

EUR

3,072,329

85,399

LME

Aluminum

Base

Metal

1

4/2022

USD

87,028

13,776

LME

Aluminum

Base

Metal

1

4/2022

USD

87,045

12,988

LME

Aluminum

Base

Metal

1

4/2022

USD

87,098

10,187

18

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

4/2022

USD

$

87,139

$

9,198

LME

Aluminum

Base

Metal

1

4/2022

USD

87,157

9,017

LME

Aluminum

Base

Metal

3

4/2022

USD

261,271

30,185

LME

Copper

Base

Metal

1

4/2022

USD

259,275

10,645

LME

Copper

Base

Metal

1

4/2022

USD

259,238

19,735

LME

Copper

Base

Metal

1

4/2022

USD

259,266

13,263

LME

Copper

Base

Metal

2

4/2022

USD

518,625

22,544

LME

Copper

Base

Metal

2

4/2022

USD

518,531

21,813

LME

Copper

Base

Metal

2

4/2022

USD

518,511

26,006

LME

Copper

Base

Metal

3

4/2022

USD

777,863

30,881

LME

Copper

Base

Metal

3

4/2022

USD

777,593

65,578

LME

Copper

Base

Metal

3

4/2022

USD

777,755

53,247

LME

Copper

Base

Metal

4

4/2022

USD

1,036,984

70,048

LME

Nickel

Base

Metal

1

4/2022

USD

192,666

57,873

LME

Nickel

Base

Metal

1

4/2022

USD

192,662

61,109

LME

Nickel

Base

Metal

2

4/2022

USD

385,353

112,294

LME

Zinc

Base

Metal

1

4/2022

USD

105,238

15,347

LME

Zinc

Base

Metal

1

4/2022

USD

105,313

14,660

LME

Zinc

Base

Metal

1

4/2022

USD

105,213

14,841

LME

Zinc

Base

Metal

1

4/2022

USD

105,813

16,562

LME

Zinc

Base

Metal

1

4/2022

USD

105,179

14,576

LME

Zinc

Base

Metal

1

4/2022

USD

105,556

17,328

Natural

Gas

32

4/2022

USD

1,805,440

272,748

NY

Harbor

ULSD

2

4/2022

USD

282,316

7,609

OMXS30

Index

83

4/2022

SEK

1,840,541

(53,844)

RBOB

Gasoline

2

4/2022

USD

264,676

(6,345)

SGX

FTSE

Taiwan

Index

37

4/2022

USD

2,285,120

11,158

WTI

Crude

Oil

21

4/2022

USD

2,105,880

(205,238)

Copper

2

5/2022

USD

237,550

1,899

Corn

25

5/2022

USD

935,938

(1,143)

Cotton

No.

2

4

5/2022

USD

271,380

24,175

LME

Aluminum

Base

Metal

1

5/2022

USD

87,091

7,588

LME

Aluminum

Base

Metal

1

5/2022

USD

87,109

2,206

LME

Aluminum

Base

Metal

1

5/2022

USD

87,106

9,603

LME

Aluminum

Base

Metal

1

5/2022

USD

87,178

5,699

LME

Aluminum

Base

Metal

1

5/2022

USD

87,109

4,950

LME

Aluminum

Base

Metal

1

5/2022

USD

87,111

7,908

LME

Copper

Base

Metal

1

5/2022

USD

259,298

11,321

LME

Copper

Base

Metal

2

5/2022

USD

518,625

27,120

LME

Copper

Base

Metal

2

5/2022

USD

518,617

24,611

LME

Copper

Base

Metal

2

5/2022

USD

518,575

27,320

LME

Copper

Base

Metal

4

5/2022

USD

1,037,141

15,879

LME

Nickel

Base

Metal

1

5/2022

USD

192,643

57,550

LME

Nickel

Base

Metal

1

5/2022

USD

192,603

52,704

LME

Zinc

Base

Metal

1

5/2022

USD

105,080

15,328

LME

Zinc

Base

Metal

1

5/2022

USD

105,134

15,131

LME

Zinc

Base

Metal

1

5/2022

USD

105,161

15,045

Low

Sulphur

Gasoil

3

5/2022

USD

302,400

5,704

Soybean

Meal

4

5/2022

USD

187,000

(6,778)

Soybean

Oil

2

5/2022

USD

83,928

(6,168)

3

Month

Euro

Euribor

16

6/2022

EUR

4,440,488

(309)

ASX

90

Day

Bank

Accepted

Bill

35

6/2022

AUD

26,150,522

(11,923)

Australia

10

Year

Bond

161

6/2022

AUD

15,311,546

(548,547)

Canada

10

Year

Bond

24

6/2022

CAD

2,503,188

(87,058)

FTSE

100

Index

12

6/2022

GBP

1,180,078

56,568

FTSE/JSE

Top

40

Index

3

6/2022

ZAR

141,415

7,356

19

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

FTSE/MIB

Index

39

6/2022

EUR

$

5,264,832

$

268,760

Japan

10

Year

Bond

73

6/2022

JPY

89,891,819

(423,082)

KOSPI

200

Index

22

6/2022

KRW

1,659,461

24,363

LME

Aluminum

Base

Metal

1

6/2022

USD

87,274

2,481

LME

Aluminum

Base

Metal

1

6/2022

USD

87,178

(9,867)

LME

Aluminum

Base

Metal

1

6/2022

USD

87,218

2,103

LME

Aluminum

Base

Metal

1

6/2022

USD

87,125

1,747

LME

Aluminum

Base

Metal

2

6/2022

USD

174,381

(6,275)

LME

Aluminum

Base

Metal

7

6/2022

USD

611,013

15,801

LME

Copper

Base

Metal

1

6/2022

USD

259,375

(1,471)

LME

Copper

Base

Metal

1

6/2022

USD

259,433

9,930

LME

Copper

Base

Metal

1

6/2022

USD

259,375

1,929

LME

Copper

Base

Metal

2

6/2022

USD

518,875

860

LME

Copper

Base

Metal

2

6/2022

USD

518,825

11,820

LME

Copper

Base

Metal

2

6/2022

USD

518,775

15,270

LME

Copper

Base

Metal

8

6/2022

USD

2,075,000

(10,121)

LME

Nickel

Base

Metal

1

6/2022

USD

192,588

15,106

LME

Nickel

Base

Metal

1

6/2022

USD

192,597

(786)

LME

Nickel

Base

Metal

2

6/2022

USD

385,056

(151,165)

LME

Nickel

Base

Metal

4

6/2022

USD

770,400

180,900

LME

Zinc

Base

Metal

1

6/2022

USD

104,823

5,421

LME

Zinc

Base

Metal

1

6/2022

USD

104,713

5,148

SET50

Index

132

6/2022

THB

807,245

6,666

SPI

200

Index

46

6/2022

AUD

6,436,016

328,945

TOPIX

Index

59

6/2022

JPY

9,433,506

732,657

U.S.

Treasury

10

Year

Note

69

6/2022

USD

8,469,750

(28,660)

3

Month

Euro

Euribor

44

9/2022

EUR

12,179,702

(17,148)

3

Month

SOFR

15

9/2022

USD

3,699,938

1,388

ASX

90

Day

Bank

Accepted

Bill

163

9/2022

AUD

121,532,385

(215,757)

3

Month

Euro

Euribor

42

12/2022

EUR

11,584,263

(35,841)

3

Month

SARON

1

12/2022

CHF

271,874

(51)

3

Month

SOFR

30

12/2022

USD

7,350,000

(2,842)

ASX

90

Day

Bank

Accepted

Bill

168

12/2022

AUD

125,085,203

(277,916)

3

Month

Euro

Euribor

34

3/2023

EUR

9,337,773

(30,053)

3

Month

SOFR

37

3/2023

USD

9,026,150

(7,221)

ASX

90

Day

Bank

Accepted

Bill

136

3/2023

AUD

101,108,134

(158,623)

3

Month

SOFR

35

6/2023

USD

8,508,938

(9,775)

889,231

Short

Contracts

Amsterdam

Exchange

Index

(4)

4/2022

EUR

(640,749)

(27,941)

FTSE

Bursa

Malaysia

KLCI

Index

(5)

4/2022

MYR

(94,090)

298

Hang

Seng

Index

(39)

4/2022

HKD

(5,474,130)

(75,638)

HSCEI

(9)

4/2022

HKD

(432,059)

(1,041)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,098)

(9,826)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,028)

(12,906)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,139)

(9,495)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,157)

(9,315)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,045)

(12,923)

LME

Aluminum

Base

Metal

(3)

4/2022

USD

(261,271)

(32,528)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,266)

(13,530)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,238)

(20,563)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,275)

(10,403)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,511)

(20,848)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,625)

(22,655)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,531)

(20,798)

LME

Copper

Base

Metal

(3)

4/2022

USD

(777,863)

(33,008)

20

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(3)

4/2022

USD

$

(777,755)

$

(57,926)

LME

Copper

Base

Metal

(3)

4/2022

USD

(777,593)

(62,707)

LME

Copper

Base

Metal

(4)

4/2022

USD

(1,036,984)

(74,091)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,662)

(60,694)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,666)

(56,649)

LME

Nickel

Base

Metal

(2)

4/2022

USD

(385,353)

(114,466)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,179)

(14,044)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,813)

(17,490)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,313)

(14,406)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,213)

(15,065)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,556)

(17,032)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,238)

(15,782)

MSCI

Singapore

Index

(69)

4/2022

SGD

(1,704,700)

(16,373)

SGX

FTSE

China

A50

Index

(8)

4/2022

USD

(109,992)

(2,826)

SGX

NIFTY

50

Index

(16)

4/2022

USD

(561,168)

(5,069)

Sugar

No.

11

(3)

4/2022

USD

(65,486)

(902)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,109)

(5,062)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,111)

(7,303)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,109)

(1,507)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,091)

(7,956)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,106)

(9,317)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,178)

(5,385)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,298)

(11,524)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,575)

(25,554)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,625)

(29,041)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,617)

(25,875)

LME

Copper

Base

Metal

(4)

5/2022

USD

(1,037,141)

(19,702)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,643)

(56,855)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,603)

(53,093)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,161)

(14,995)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,134)

(14,653)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,080)

(15,237)

Silver

(10)

5/2022

USD

(1,256,650)

(41,838)

Soybean

(44)

5/2022

USD

(3,560,150)

(49,580)

Wheat

(1)

5/2022

USD

(50,300)

(1,528)

100

oz

Gold

(47)

6/2022

USD

(9,183,800)

(48,734)

3

Month

Canadian

Bankers

Acceptance

(5)

6/2022

CAD

(981,382)

690

Australia

3

Year

Bond

(35)

6/2022

AUD

(2,876,435)

49,355

DAX

Index

(26)

6/2022

EUR

(10,378,229)

(241,033)

DJIA

CBOT

E-Mini

Index

(1)

6/2022

USD

(173,090)

(8,886)

EURO

STOXX

50

Index

(154)

6/2022

EUR

(6,512,958)

(266,472)

Euro-

Bobl

(10)

6/2022

EUR

(1,426,288)

39,729

Euro-BTP

(6)

6/2022

EUR

(919,427)

39,134

Euro-Bund

(81)

6/2022

EUR

(14,216,928)

115,860

Euro-

Buxl

(1)

6/2022

EUR

(205,453)

11,534

Euro-OAT

(4)

6/2022

EUR

(669,989)

29,680

Euro-Schatz

(27)

6/2022

EUR

(3,308,711)

15,808

Lean

Hogs

(1)

6/2022

USD

(48,250)

(459)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,178)

13,319

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,218)

128

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,125)

(1,012)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,274)

(2,276)

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,381)

2,671

LME

Aluminum

Base

Metal

(6)

6/2022

USD

(523,725)

(6,674)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(2,878)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,433)

(11,037)

21

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

6/2022

USD

$

(259,375)

$

1,872

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,825)

(12,396)

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,775)

(14,912)

LME

Copper

Base

Metal

(8)

6/2022

USD

(2,075,000)

13,040

LME

Copper

Base

Metal

(23)

6/2022

USD

(5,967,063)

(147,640)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,597)

(5,568)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,588)

(20,680)

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,056)

148,351

LME

Nickel

Base

Metal

(4)

6/2022

USD

(770,400)

134,816

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,823)

(5,151)

Long

Gilt

(229)

6/2022

GBP

(36,532,291)

228,946

MSCI

EAFE

E-Mini

Index

(2)

6/2022

USD

(214,440)

(11,685)

MSCI

Emerging

Markets

E-Mini

Index

(5)

6/2022

USD

(281,375)

(20,359)

Nikkei

225

Index

(1)

6/2022

JPY

(228,602)

(27,156)

Russell

2000

E-Mini

Index

(2)

6/2022

USD

(206,640)

(5,941)

S&P

500

E-Mini

Index

(40)

6/2022

USD

(9,061,500)

(553,449)

S&P

Midcap

400

E-Mini

Index

(1)

6/2022

USD

(268,920)

(11,191)

U.S.

Treasury

2

Year

Note

(30)

6/2022

USD

(6,353,438)

81,638

U.S.

Treasury

5

Year

Note

(19)

6/2022

USD

(2,176,094)

55,177

U.S.

Treasury

Long

Bond

(4)

6/2022

USD

(600,875)

11,999

U.S.

Treasury

Ultra

Bond

(4)

6/2022

USD

(708,250)

25,866

Cocoa

(1)

7/2022

GBP

(23,593)

(38)

Cocoa

(4)

7/2022

USD

(107,480)

(441)

Platinum

(1)

7/2022

USD

(49,790)

1,107

3

Month

Canadian

Bankers

Acceptance

(42)

9/2022

CAD

(8,186,078)

7,630

3

Month

SONIA

(32)

9/2022

GBP

(10,362,597)

48,656

3

Month

Canadian

Bankers

Acceptance

(41)

12/2022

CAD

(7,959,605)

4,418

3

Month

SONIA

(143)

12/2022

GBP

(46,080,083)

353,867

3

Month

Canadian

Bankers

Acceptance

(32)

3/2023

CAD

(6,197,976)

3,442

3

Month

SONIA

(147)

3/2023

GBP

(47,250,759)

400,704

3

Month

Euro

Euribor

(4)

6/2023

EUR

(1,094,911)

7,186

3

Month

SONIA

(122)

6/2023

GBP

(39,136,786)

188,943

3

Month

Euro

Euribor

(4)

9/2023

EUR

(1,092,698)

12,914

3

Month

SOFR

(8)

9/2023

USD

(1,942,000)

18,318

3

Month

SONIA

(6)

9/2023

GBP

(1,922,691)

19,215

3

Month

Euro

Euribor

(5)

12/2023

EUR

(1,365,043)

15,829

3

Month

SOFR

(9)

12/2023

USD

(2,184,863)

19,329

3

Month

SONIA

(7)

12/2023

GBP

(2,243,140)

21,476

3

Month

Euro

Euribor

(6)

3/2024

EUR

(1,637,803)

14,749

3

Month

SOFR

(10)

3/2024

USD

(2,429,750)

19,665

3

Month

SONIA

(6)

3/2024

GBP

(1,923,972)

18,678

3

Month

SOFR

(10)

6/2024

USD

(2,432,375)

22,075

3

Month

SONIA

(4)

6/2024

GBP

(1,284,356)

8,980

(473,921)

$

415,310

22

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

12,018,502

USD

8,757,666

CITI

6/15/2022

$

247,154

AUD

12,018,498

USD

8,757,675

JPMC

6/15/2022

247,140

BRL

22,523,504

USD

4,296,102

CITI

**

6/15/2022

335,705

BRL

22,523,496

USD

4,296,106

JPMC

**

6/15/2022

335,701

CAD

4,921,003

USD

3,874,230

CITI

6/15/2022

61,372

CAD

4,920,997

USD

3,874,230

JPMC

6/15/2022

61,370

CHF

2,000

USD

2,157

CITI

6/15/2022

14

CHF

2,000

USD

2,157

JPMC

6/15/2022

14

CLP

123,141,500

USD

150,983

CITI

**

6/15/2022

3,574

CLP

123,141,500

USD

150,984

JPMC

**

6/15/2022

3,574

CNY

3,850,828

USD

601,961

CITI

**

6/15/2022

1,424

CNY

3,850,828

USD

601,962

JPMC

**

6/15/2022

1,423

COP

122,707,506

USD

31,317

CITI

**

6/15/2022

870

COP

122,707,494

USD

31,317

JPMC

**

6/15/2022

870

EUR

6,238,000

USD

6,892,194

CITI

6/15/2022

28,140

EUR

6,238,000

USD

6,892,202

JPMC

6/15/2022

28,131

HUF

11,093,500

USD

32,264

CITI

6/15/2022

797

HUF

11,093,500

USD

32,264

JPMC

6/15/2022

797

IDR

332,851,000

USD

23,123

CITI

**

6/15/2022

27

IDR

332,851,000

USD

23,123

JPMC

**

6/15/2022

27

ILS

2,294,000

USD

711,000

CITI

6/15/2022

9,488

ILS

2,294,000

USD

711,000

JPMC

6/15/2022

9,488

INR

74,166,752

USD

964,133

CITI

**

6/15/2022

3,309

INR

74,166,750

USD

964,134

JPMC

**

6/15/2022

3,309

JPY

47,272,500

USD

387,869

CITI

6/15/2022

1,196

JPY

47,272,500

USD

387,869

JPMC

6/15/2022

1,195

KRW

1,741,027,000

USD

1,418,019

CITI

**

6/15/2022

14,143

KRW

1,741,027,000

USD

1,418,021

JPMC

**

6/15/2022

14,143

MXN

20,568,501

USD

990,300

CITI

6/15/2022

30,223

MXN

20,568,499

USD

990,302

JPMC

6/15/2022

30,222

NOK

54,146,000

USD

6,063,640

CITI

6/15/2022

83,678

NOK

54,146,000

USD

6,063,647

JPMC

6/15/2022

83,670

NZD

7,397,000

USD

4,975,008

CITI

6/15/2022

144,987

NZD

7,397,000

USD

4,975,014

JPMC

6/15/2022

144,979

PHP

5,902,000

USD

111,830

CITI

**

6/15/2022

1,513

PHP

5,902,000

USD

111,830

JPMC

**

6/15/2022

1,513

PLN

5,844,321

USD

1,340,926

CITI

6/15/2022

39,865

PLN

5,844,317

USD

1,340,927

JPMC

6/15/2022

39,861

SEK

44,512,505

USD

4,633,610

CITI

6/15/2022

109,440

SEK

44,512,498

USD

4,633,615

JPMC

6/15/2022

109,432

SGD

575,500

USD

423,839

CITI

6/15/2022

768

SGD

575,500

USD

423,839

JPMC

6/15/2022

768

TWD

1,543,500

USD

53,888

CITI

**

6/15/2022

193

TWD

1,543,500

USD

53,888

JPMC

**

6/15/2022

193

USD

78,561

BRL

380,500

CITI

**

6/15/2022

313

USD

78,560

BRL

380,500

JPMC

**

6/15/2022

313

USD

133,811

CAD

167,000

CITI

6/15/2022

252

USD

133,811

CAD

167,000

JPMC

6/15/2022

252

USD

2,592,449

CHF

2,379,000

CITI

6/15/2022

9,756

USD

2,592,446

CHF

2,379,000

JPMC

6/15/2022

9,753

USD

428,031

CNY

2,724,000

CITI

**

6/15/2022

1,208

USD

428,031

CNY

2,724,000

JPMC

**

6/15/2022

1,208

USD

3,834

DKK

25,500

CITI

6/15/2022

31

USD

3,834

DKK

25,500

JPMC

6/15/2022

31

USD

13,924,599

EUR

12,373,008

CITI

6/15/2022

198,189

23

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

13,924,564

EUR

12,372,992

JPMC

6/15/2022

$

198,172

USD

15,693,188

GBP

11,742,503

CITI

6/15/2022

272,087

USD

15,693,160

GBP

11,742,497

JPMC

6/15/2022

272,067

USD

61,435

HUF

20,477,000

CITI

6/15/2022

410

USD

61,435

HUF

20,477,000

JPMC

6/15/2022

409

USD

1,185,629

INR

90,376,252

CITI

**

6/15/2022

6,750

USD

1,185,628

INR

90,376,248

JPMC

**

6/15/2022

6,748

USD

15,188,860

JPY

1,763,745,506

CITI

6/15/2022

672,765

USD

15,188,841

JPY

1,763,745,502

JPMC

6/15/2022

672,746

USD

5,770,278

KRW

6,925,237,005

CITI

**

6/15/2022

73,599

USD

5,770,271

KRW

6,925,236,995

JPMC

**

6/15/2022

73,592

USD

1,757,369

NOK

15,308,500

CITI

6/15/2022

19,361

USD

1,757,366

NOK

15,308,500

JPMC

6/15/2022

19,358

USD

439,332

PHP

22,756,127

CITI

**

6/15/2022

2,320

USD

439,332

PHP

22,756,122

JPMC

**

6/15/2022

2,320

USD

766,528

PLN

3,157,750

CITI

6/15/2022

20,473

USD

766,527

PLN

3,157,750

JPMC

6/15/2022

20,473

USD

576,269

SEK

5,355,501

CITI

6/15/2022

5,610

USD

576,268

SEK

5,355,499

JPMC

6/15/2022

5,610

USD

674,696

SGD

913,001

CITI

6/15/2022

1,078

USD

674,694

SGD

912,999

JPMC

6/15/2022

1,076

USD

830,264

TWD

23,118,503

CITI

**

6/15/2022

20,239

USD

830,263

TWD

23,118,497

JPMC

**

6/15/2022

20,238

USD

123,976

ZAR

1,825,500

CITI

6/15/2022

221

USD

123,976

ZAR

1,825,500

JPMC

6/15/2022

220

ZAR

48,243,509

USD

3,123,985

CITI

6/15/2022

146,578

ZAR

48,243,491

USD

3,123,988

JPMC

6/15/2022

146,575

Total

unrealized

appreciation

5,138,101

AUD

1,157,500

USD

870,210

CITI

6/15/2022

(2,957)

AUD

1,157,500

USD

870,211

JPMC

6/15/2022

(2,958)

CHF

2,019,000

USD

2,194,690

CITI

6/15/2022

(2,821)

CHF

2,019,000

USD

2,194,693

JPMC

6/15/2022

(2,823)

CNY

13,848,298

USD

2,174,857

CITI

**

6/15/2022

(4,972)

CNY

13,848,296

USD

2,174,860

JPMC

**

6/15/2022

(4,974)

COP

80,179,500

USD

21,085

CITI

**

6/15/2022

(54)

COP

80,179,500

USD

21,085

JPMC

**

6/15/2022

(54)

DKK

1,836,500

USD

280,401

CITI

6/15/2022

(6,515)

DKK

1,836,500

USD

280,402

JPMC

6/15/2022

(6,515)

EUR

4,245,503

USD

4,807,268

CITI

6/15/2022

(97,377)

EUR

4,245,497

USD

4,807,267

JPMC

6/15/2022

(97,382)

GBP

6,197,500

USD

8,342,114

CITI

6/15/2022

(203,113)

GBP

6,197,500

USD

8,342,124

JPMC

6/15/2022

(203,124)

HUF

698,433,004

USD

2,143,998

CITI

6/15/2022

(62,558)

HUF

698,432,996

USD

2,144,000

JPMC

6/15/2022

(62,560)

ILS

22,500

USD

7,080

CITI

6/15/2022

(13)

ILS

22,500

USD

7,080

JPMC

6/15/2022

(13)

INR

46,193,750

USD

605,521

CITI

**

6/15/2022

(2,964)

INR

46,193,748

USD

605,521

JPMC

**

6/15/2022

(2,964)

JPY

1,875,861,501

USD

16,259,006

CITI

6/15/2022

(820,163)

JPY

1,875,861,499

USD

16,259,026

JPMC

6/15/2022

(820,188)

KRW

1,501,166,500

USD

1,244,875

CITI

**

6/15/2022

(10,019)

KRW

1,501,166,500

USD

1,244,876

JPMC

**

6/15/2022

(10,021)

NOK

80,000

USD

9,120

CITI

6/15/2022

(37)

NOK

80,000

USD

9,120

JPMC

6/15/2022

(37)

PHP

981,000

USD

18,936

CITI

**

6/15/2022

(97)

PHP

981,000

USD

18,936

JPMC

**

6/15/2022

(97)

PLN

6,221,681

USD

1,522,440

CITI

6/15/2022

(52,497)

PLN

6,221,681

USD

1,522,442

JPMC

6/15/2022

(52,498)

24

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

**

Non-deliverable

forward.

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

44,886,000

USD

4,807,421

CITI

6/15/2022

$

(24,573)

SEK

44,885,997

USD

4,807,426

JPMC

6/15/2022

(24,578)

SGD

432,000

USD

320,694

CITI

6/15/2022

(1,961)

SGD

432,000

USD

320,694

JPMC

6/15/2022

(1,961)

TWD

15,400,001

USD

547,350

CITI

**

6/15/2022

(7,766)

TWD

15,399,999

USD

547,354

JPMC

**

6/15/2022

(7,771)

USD

5,313,939

AUD

7,359,502

CITI

6/15/2022

(200,142)

USD

5,313,929

AUD

7,359,498

JPMC

6/15/2022

(200,148)

USD

1,737,317

BRL

8,984,003

CITI

**

6/15/2022

(110,183)

USD

1,737,313

BRL

8,983,997

JPMC

**

6/15/2022

(110,185)

USD

6,086,381

CAD

7,733,506

CITI

6/15/2022

(98,541)

USD

6,086,364

CAD

7,733,494

JPMC

6/15/2022

(98,548)

USD

1,109,488

CHF

1,039,500

CITI

6/15/2022

(19,015)

USD

1,109,487

CHF

1,039,500

JPMC

6/15/2022

(19,017)

USD

106,824

CLP

86,884,000

CITI

**

6/15/2022

(2,225)

USD

106,823

CLP

86,884,000

JPMC

**

6/15/2022

(2,225)

USD

1,585,059

CNY

10,162,000

CITI

**

6/15/2022

(7,223)

USD

1,585,057

CNY

10,162,000

JPMC

**

6/15/2022

(7,225)

USD

169,543

DKK

1,140,000

CITI

6/15/2022

(472)

USD

169,543

DKK

1,140,000

JPMC

6/15/2022

(472)

USD

2,233,572

EUR

2,031,000

CITI

6/15/2022

(19,585)

USD

2,233,569

EUR

2,031,000

JPMC

6/15/2022

(19,589)

USD

3,420,696

GBP

2,611,500

CITI

6/15/2022

(8,914)

USD

3,420,691

GBP

2,611,500

JPMC

6/15/2022

(8,918)

USD

798,686

HUF

283,322,500

CITI

6/15/2022

(45,659)

USD

798,685

HUF

283,322,500

JPMC

6/15/2022

(45,660)

USD

26,934

IDR

388,326,500

CITI

**

6/15/2022

(73)

USD

26,934

IDR

388,326,500

JPMC

**

6/15/2022

(73)

USD

3,063,010

ILS

9,886,502

CITI

6/15/2022

(42,087)

USD

3,063,005

ILS

9,886,498

JPMC

6/15/2022

(42,091)

USD

824,163

INR

63,349,251

CITI

**

6/15/2022

(2,173)

USD

824,162

INR

63,349,249

JPMC

**

6/15/2022

(2,174)

USD

543,750

JPY

67,173,000

CITI

6/15/2022

(9,101)

USD

543,750

JPY

67,173,000

JPMC

6/15/2022

(9,102)

USD

140,894

KRW

174,344,000

CITI

**

6/15/2022

(2,521)

USD

140,894

KRW

174,344,000

JPMC

**

6/15/2022

(2,521)

USD

1,645,642

MXN

34,232,000

CITI

6/15/2022

(52,807)

USD

1,645,640

MXN

34,232,000

JPMC

6/15/2022

(52,809)

USD

126,922

NOK

1,131,500

CITI

6/15/2022

(1,540)

USD

126,922

NOK

1,131,500

JPMC

6/15/2022

(1,540)

USD

3,268,063

NZD

4,869,500

CITI

6/15/2022

(102,466)

USD

3,268,059

NZD

4,869,500

JPMC

6/15/2022

(102,470)

USD

62,140

PHP

3,250,876

CITI

**

6/15/2022

(290)

USD

62,140

PHP

3,250,875

JPMC

**

6/15/2022

(290)

USD

2,001,837

PLN

8,837,250

CITI

6/15/2022

(86,066)

USD

2,001,834

PLN

8,837,250

JPMC

6/15/2022

(86,069)

USD

3,788,277

SEK

36,544,500

CITI

6/15/2022

(105,738)

USD

3,788,272

SEK

36,544,500

JPMC

6/15/2022

(105,744)

USD

467,448

SGD

636,500

CITI

6/15/2022

(2,167)

USD

467,447

SGD

636,500

JPMC

6/15/2022

(2,167)

USD

1,344,960

ZAR

20,736,500

CITI

6/15/2022

(60,826)

USD

1,344,959

ZAR

20,736,500

JPMC

6/15/2022

(60,827)

ZAR

443,500

USD

30,359

CITI

6/15/2022

(293)

ZAR

443,500

USD

30,359

JPMC

6/15/2022

(293)

Total

unrealized

depreciation

(4,561,239)

Net

unrealized

appreciation

$

576,862

25

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

101.9%

COMMON

STOCKS

-

20.1%

Airlines

-

0.0%

(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)

*(b)

26,358

189,778

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

*

120,629

2,042,249

Biotechnology

-

0.1%

Ascendis

Pharma

A/S,

ADR

(Denmark)

*(b)

10,971

1,287,557

Precigen

,

Inc.

*(b)

17,632

37,203

1,324,760

Capital

Markets

-

14.1%

Accretion

Acquisition

Corp.

*

202,180

1,985,408

Aesther

Healthcare

Acquisition

Corp.,

Class

A

(2)*

40,504

407,875

Alpha

Healthcare

Acquisition

Corp.

III,

Class

A

*(b)

208,000

2,025,920

AltC

Acquisition

Corp.,

Class

A

*(b)

131,250

1,281,000

AltEnergy

Acquisition

Corp.,

Class

A

*

122,926

1,218,197

AMCI

Acquisition

Corp.

II,

Class

A

*(b)

139,000

1,356,640

American

Acquisition

Opportunity,

Inc.,

Class

A

*

74,925

769,480

Anzu

Special

Acquisition

Corp.

I,

Class

A

(2)*(b)

206,667

2,019,137

Apeiron

Capital

Investment

Corp.,

Class

A

*

108,048

1,078,319

Arbor

Rapha

Capital

Bioholdings

Corp.

I

*

143,034

1,431,770

Arena

Fortify

Acquisition

Corp.,

Class

A

*

54,024

539,700

Argus

Capital

Corp.,

Class

A

*

61,482

613,590

Armada

Acquisition

Corp.

I

*

128,332

1,260,220

Arogo

Capital

Acquisition

Corp.,

Class

A

*

96,774

961,934

Artemis

Strategic

Investment

Corp.,

Class

A

*(b)

204,800

2,043,904

Astrea

Acquisition

Corp.,

Class

A

*

80,569

787,159

Athena

Consumer

Acquisition

Corp.,

Class

A

*

128,926

1,286,682

Athena

Technology

Acquisition

Corp.

II,

Class

A

(2)*

638,232

6,235,527

Athlon

Acquisition

Corp.,

Class

A

*(b)

82,666

810,127

Ault

Disruptive

Technologies

Corp.

*

73,140

729,206

Aurora

Acquisition

Corp.,

Class

A

(United

Kingdom)

*

37,500

369,750

Avalon

Acquisition,

Inc.,

Class

A

*(b)

106,268

1,058,429

AxonPrime

Infrastructure

Acquisition

Corp.,

Class

A

*

234,165

2,255,009

Banner

Acquisition

Corp.

*

40,392

397,861

Bannix

Acquisition

Corp.

*

26,277

259,880

Beard

Energy

Transition

Acquisition

Corp.,

Class

A

(2)*

149,510

1,477,159

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

14.1%

(continued)

Belong

Acquisition

Corp.,

Class

A

*

128,000

1,252,480

Berenson

Acquisition

Corp.

I,

Class

A

*

30,784

300,144

Better

World

Acquisition

Corp.

*

35,583

365,437

Bite

Acquisition

Corp.

*

83,200

814,528

Blockchain

Moon

Acquisition

Corp.

*

44,844

442,162

BOA

Acquisition

Corp.,

Class

A

*

81,963

811,434

Broad

Capital

Acquisition

Corp.

(2)*

69,739

689,021

BurTech

Acquisition

Corp.,

Class

A

*

447,209

4,427,369

Canna-Global

Acquisition

Corp.,

Class

A

*

188,580

1,882,028

Cascadia

Acquisition

Corp.,

Class

A

(2)*

120,606

1,175,909

CENAQ

Energy

Corp.,

Class

A

*

140,000

1,402,100

CF

Acquisition

Corp.

VII,

Class

A

(2)*

146,292

1,442,439

CIIG

Capital

Partners

II,

Inc.,

Class

A

*

141,768

1,400,668

Clarim

Acquisition

Corp.,

Class

A

*

100,000

979,000

Conyers

Park

III

Acquisition

Corp.,

Class

A

*

484,500

4,723,875

Crixus

BH3

Acquisition

Co.,

Class

A

(2)*

84,579

830,566

D

&

Z

Media

Acquisition

Corp.,

Class

A

*

82,359

806,295

Data

Knights

Acquisition

Corp.,

Class

A

(United

Kingdom)

(2)*

50,667

515,283

Deep

Medicine

Acquisition

Corp.,

Class

A

(2)*

152,927

1,518,565

DHB

Capital

Corp.,

Class

A

*

147,999

1,444,470

Digital

Health

Acquisition

Corp.

*

71,745

718,885

Digital

Transformation

Opportunities

Corp.,

Class

A

*

82,932

809,416

DILA

Capital

Acquisition

Corp.,

Class

A

(2)*

61,667

603,103

Direct

Selling

Acquisition

Corp.,

Class

A

*

102,582

1,025,820

dMY

Technology

Group,

Inc.

VI

*

82,182

811,136

DTRT

Health

Acquisition

Corp.,

Class

A

*

120,816

1,211,785

Dynamics

Special

Purpose

Corp.,

Class

A

*

100,000

987,500

Edify

Acquisition

Corp.,

Class

A

(2)*

83,100

814,380

Empowerment

&

Inclusion

Capital

I

Corp.,

Class

A

*

36,572

358,771

EQ

Health

Acquisition

Corp.,

Class

A

*

87,656

859,029

Everest

Consolidator

Acquisition

Corp.

(2)*

131,016

1,302,299

Evo

Acquisition

Corp.,

Class

A

*

19,320

188,950

ExcelFin

Acquisition

Corp.,

Class

A

*

134,786

1,343,816

Financial

Strategies

Acquisition

Corp.

*

131,193

1,298,811

Fintech

Ecosystem

Development

Corp.,

Class

A

*

10,730

106,656

26

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

14.1%

(continued)

First

Light

Acquisition

Group,

Inc.,

Class

A

*

40,464

400,189

First

Reserve

Sustainable

Growth

Corp.,

Class

A

*

77,513

755,752

Flame

Acquisition

Corp.,

Class

A

*

100,000

975,000

Focus

Impact

Acquisition

Corp.,

Class

A

(2)*

101,950

1,009,305

Fortune

Rise

Acquisition

Corp.

*

98,648

991,412

FoxWayne

Enterprises

Acquisition

Corp.,

Class

A

(2)*

34,500

347,070

Future

Health

ESG

Corp.

*

91,822

905,365

Gaming

&

Hospitality

Acquisition

Corp.,

Class

A

(2)*

24,621

240,301

Gardiner

Healthcare

Acquisitions

Corp.

(2)*

52,651

520,718

GigCapital5,

Inc.

*

123,100

1,226,076

Gladstone

Acquisition

Corp.,

Class

A

*

139,000

1,395,560

Glass

Houses

Acquisition

Corp.

*

137,666

1,343,620

Glenfarne

Merger

Corp.,

Class

A

*

164,664

1,607,121

Globalink

Investment,

Inc.

(2)*

74,843

740,197

Goal

Acquisitions

Corp.

*

84,630

825,989

Goldman

Sachs

Group,

Inc.

(The)

22,551

7,444,174

Gores

Holdings

VII,

Inc.,

Class

A

*

83,328

815,781

Group

Nine

Acquisition

Corp.,

Class

A

*

82,812

811,558

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

Class

A

*

82,749

810,940

Hawks

Acquisition

Corp.,

Class

A

*

74,351

723,435

Home

Plate

Acquisition

Corp.,

Class

A

*

41,016

398,676

Hudson

Executive

Investment

Corp.

II

*

83,100

813,549

HumanCo

Acquisition

Corp.,

Class

A

*

36,572

358,954

Ignyte

Acquisition

Corp.

(2)*

35,000

344,400

Inception

Growth

Acquisition

Ltd.

(2)*

112,518

1,107,177

Industrial

Human

Capital,

Inc.

*

89,858

900,377

Insight

Acquisition

Corp.,

Class

A

*

50,340

493,332

Integral

Acquisition

Corp.

1,

Class

A

*

107,616

1,065,398

Integrated

Rail

and

Resources

Acquisition

Corp.,

Class

A

(2)*

108,438

1,075,705

Intelligent

Medicine

Acquisition

Corp.,

Class

A

*

125,570

1,255,072

InterPrivate

II

Acquisition

Corp.,

Class

A

*

82,500

806,025

InterPrivate

III

Financial

Partners,

Inc.,

Class

A

*

82,500

815,100

InterPrivate

IV

InfraTech

Partners,

Inc.,

Class

A

*

83,000

809,250

Jackson

Acquisition

Co.,

Class

A

*

367,922

3,635,069

Jaws

Hurricane

Acquisition

Corp.,

Class

A

*

137,000

1,338,490

JOFF

Fintech

Acquisition

Corp.,

Class

A

*

83,181

812,678

Juniper

II

Corp.,

Class

A

*

107,616

1,070,779

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

14.1%

(continued)

Jupiter

Acquisition

Corp.,

Class

A

(2)*

210,000

2,020,200

JUPITER

WELLNESS

ACQUISITION

Corp.,

Class

A

*

149,929

1,485,796

Larkspur

Health

Acquisition

Corp.,

Class

A

(2)*

52,524

519,462

LAVA

Medtech

Acquisition

Corp.,

Class

A

(2)*

63,464

631,467

Learn

CW

Investment

Corp.,

Class

A

*

26,704

263,302

Legato

Merger

Corp.

II

*

154,414

1,531,787

LF

Capital

Acquisition

Corp.

II

(2)*

108,792

1,082,480

Lionheart

III

Corp.,

Class

A

*

89,680

891,419

Live

Oak

Crestview

Climate

Acquisition

Corp.,

Class

A

*

164,130

1,592,061

Live

Oak

Mobility

Acquisition

Corp.,

Class

A

*

88,800

871,128

LMF

Acquisition

Opportunities,

Inc.,

Class

A

*

27,333

276,610

Lux

Health

Tech

Acquisition

Corp.,

Class

A

*

36,573

360,610

Mana

Capital

Acquisition

Corp.

(2)*

39,048

386,185

Maxpro

Capital

Acquisition

Corp.,

Class

A

(Taiwan)

(2)*

9,347

93,470

McLaren

Technology

Acquisition

Corp.,

Class

A

(2)*

179,362

1,782,858

MDH

Acquisition

Corp.,

Class

A

*

84,000

820,680

Mercato

Partners

Acquisition

Corp.,

Class

A

(2)*

143,490

1,421,986

Minority

Equality

Opportunities

Acquisition,

Inc.,

Class

A

*

40,202

403,226

Monterey

Bio

Acquisition

Corp.

(2)*

8,700

86,652

Monument

Circle

Acquisition

Corp.,

Class

A

*

82,750

809,295

Mount

Rainier

Acquisition

Corp.

*

84,937

847,671

Music

Acquisition

Corp.

(The),

Class

A

*

46,650

454,838

New

Providence

Acquisition

Corp.

II,

Class

A

*

125,577

1,246,980

Newbury

Street

Acquisition

Corp.

*

100,000

975,000

NewHold

Investment

Corp.

II,

Class

A

*

134,732

1,321,721

Northern

Lights

Acquisition

Corp.,

Class

A

*

91,332

924,280

Northern

Star

Investment

Corp.

III,

Class

A

*

82,662

809,261

Northern

Star

Investment

Corp.

IV,

Class

A

*

82,662

806,781

NorthView

Acquisition

Corp.

(2)*

154,598

1,519,698

OCA

Acquisition

Corp.,

Class

A

*

111,538

1,120,957

OmniLit

Acquisition

Corp.,

Class

A

(2)*

80,992

805,870

OPY

Acquisition

Corp.

I,

Class

A

(2)*

82,572

809,206

Oyster

Enterprises

Acquisition

Corp.,

Class

A

*

83,000

812,570

Pacifico

Acquisition

Corp.

(2)*

20,252

201,710

Panacea

Acquisition

Corp.

II,

Class

A

*

100,000

978,000

27

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

14.1%

(continued)

Parabellum

Acquisition

Corp.,

Class

A

*

32,371

318,045

Parsec

Capital

Acquisitions

Corp.,

Class

A

*

12,741

127,537

Periphas

Capital

Partnering

Corp.,

Class

A

*

76,164

1,868,303

Phoenix

Biotech

Acquisition

Corp.,

Class

A

*

212,345

2,123,450

PHP

Ventures

Acquisition

Corp.,

Class

A

(Malaysia)

*

29,400

293,412

Pono

Capital

Corp.,

Class

A

*

119,700

1,202,985

Power

&

Digital

Infrastructure

Acquisition

II

Corp.,

Class

A

(2)*

319,116

3,117,763

Priveterra

Acquisition

Corp.,

Class

A

(2)*

93,300

911,541

PROOF

Acquisition

Corp.

I,

Class

A

*

150,864

1,493,554

PWP

Forward

Acquisition

Corp.

I,

Class

A

(2)*

161,665

1,577,850

Revolution

Healthcare

Acquisition

Corp.,

Class

A

*

82,530

809,619

ROC

Energy

Acquisition

Corp.

*

149,375

1,480,306

Rosecliff

Acquisition

Corp.

I,

Class

A

*

82,665

806,810

Roth

CH

Acquisition

V

Co.

*

28,286

278,900

Schultze

Special

Purpose

Acquisition

Corp.

II,

Class

A

(2)*

63,730

625,191

Science

Strategic

Acquisition

Corp.

Alpha,

Class

A

*

82,482

809,149

SCP

&

CO

Healthcare

Acquisition

Co.,

Class

A

(2)*

83,124

812,122

Seaport

Calibre

Materials

Acquisition

Corp.

(2)*

45,366

449,577

Seaport

Global

Acquisition

II

Corp.,

Class

A

*

81,696

809,607

ShoulderUp

Technology

Acquisition

Corp.,

Class

A

*

217,740

2,149,094

Sierra

Lake

Acquisition

Corp.,

Class

A

*

81,011

797,958

Silver

Spike

Acquisition

Corp.

II,

Class

A

*

80,000

783,200

Sizzle

Acquisition

Corp.

(2)*

71,744

713,853

Social

Leverage

Acquisition

Corp.

I,

Class

A

*

82,664

809,281

Software

Acquisition

Group,

Inc.

III,

Class

A

*

185,000

1,845,375

Southport

Acquisition

Corp.

*

365,972

3,634,102

Spindletop

Health

Acquisition

Corp.,

Class

A

(2)*

125,552

1,250,498

SportsMap

Tech

Acquisition

Corp.

*

85,818

851,315

SportsTek

Acquisition

Corp.,

Class

A

(2)*

100,000

975,000

Springwater

Special

Situations

Corp.

*

40,212

396,088

TCW

Special

Purpose

Acquisition

Corp.,

Class

A

*

410,439

4,001,780

TG

Venture

Acquisition

Corp.

(2)*

215,235

2,126,522

TLG

Acquisition

One

Corp.,

Class

A

*

83,181

814,342

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

14.1%

(continued)

Trajectory

Alpha

Acquisition

Corp.,

Class

A

*

109,920

1,072,819

Twelve

Seas

Investment

Co.

II,

Class

A

*

98,799

965,266

Velocity

Acquisition

Corp.,

Class

A

*

82,623

805,574

Vision

Sensing

Acquisition

Corp.,

Class

A

(2)*

51,216

511,136

VMG

Consumer

Acquisition

Corp.,

Class

A

*

180,786

1,791,589

Warrior

Technologies

Acquisition

Co.,

Class

A

*

82,832

819,209

Welsbach

Technology

Metals

Acquisition

Corp.

(2)*

9,289

91,590

Z-Work

Acquisition

Corp.,

Class

A

*

82,665

807,637

194,207,773

Chemicals

-

0.4%

Ferro

Corp.

*

251,619

5,470,197

Containers

&

Packaging

-

0.6%

Intertape

Polymer

Group,

Inc.

(Canada)

245,680

7,797,930

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

Intersect

ENT,

Inc.

*

25,900

725,459

Hotels,

Restaurants

&

Leisure

-

0.4%

Booking

Holdings,

Inc.

*(b)

2,399

5,633,931

Golden

Nugget

Online

Gaming,

Inc.

*

64,615

459,413

6,093,344

Leisure

Products

-

0.2%

Accell

Group

NV

(Netherlands)

(2)*

33,774

2,138,886

Life

Sciences

Tools

&

Services

-

0.0%

(a)

Illumina,

Inc.

*(b)

1,694

591,884

Media

-

1.9%

Paramount

Global,

Class

B

107,063

4,048,052

Shaw

Communications,

Inc.,

Class

B

(Canada)

704,629

21,869,060

25,917,112

Metals

&

Mining

-

0.1%

Newcrest

Mining

Ltd.

(Australia)

72,599

1,466,500

Pharmaceuticals

-

0.8%

Vifor

Pharma

AG

(Switzerland)

*

58,885

10,498,678

Professional

Services

-

0.2%

Intertrust

NV

(Netherlands)

(2)*(c)

103,027

2,239,036

Software

-

1.1%

Vonage

Holdings

Corp.

*

746,812

15,152,815

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited

(acquired

3/18/2010,

Cost

$1,793,400)

(3)*(d)(e)

1

1,257,402

TOTAL

COMMON

STOCKS

(Cost

$277,586,742)

277,113,803

28

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

0.7%

Adams

Diversified

Equity

Fund,

Inc.

(b)

13,838

255,173

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

(b)

2,009

25,293

Allspring

Multi-Sector

Income

14,131

147,104

Bancroft

Fund

Ltd.

2,903

66,130

Barings

Global

Short

Duration

High

Yield

Fund

1,262

19,561

BlackRock

Core

Bond

Trust

16,159

210,067

BlackRock

Credit

Allocation

Income

Trust

56,515

709,828

BlackRock

Energy

and

Resources

Trust

15,300

177,480

BlackRock

Enhanced

Global

Dividend

Trust

1,281

14,488

BlackRock

Enhanced

International

Dividend

Trust

1,644

9,453

BlackRock

Municipal

Income

Quality

Trust

1,369

18,112

BlackRock

Municipal

Income

Trust

II

17,549

216,204

BlackRock

MuniHoldings

Fund,

Inc.

17,403

247,645

BlackRock

MuniHoldings

Investment

Quality

Fund

18,814

230,660

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

1,114

13,468

BlackRock

MuniVest

Fund

II,

Inc.

51

658

BlackRock

MuniVest

Fund,

Inc.

3,144

25,655

BlackRock

MuniYield

California

Quality

Fund,

Inc.

2,561

33,652

BlackRock

MuniYield

Fund,

Inc.

36,871

465,681

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

1,669

21,380

BlackRock

MuniYield

Pennsylvania

Quality

Fund

506

6,603

BlackRock

MuniYield

Quality

Fund

II,

Inc.

1,930

23,449

BlackRock

MuniYield

Quality

Fund

III,

Inc.

6,142

77,082

BlackRock

MuniYield

Quality

Fund,

Inc.

16,391

226,032

BlackRock

New

York

Municipal

Income

Trust

11,794

143,651

BNY

Mellon

Municipal

Bond

Infrastructure

Fund,

Inc.

1,970

24,448

BNY

Mellon

Municipal

Income,

Inc.

16,801

127,520

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

7,438

52,587

BNY

Mellon

Strategic

Municipals,

Inc.

35,055

252,045

Cohen

&

Steers

Ltd.

Duration

Preferred

and

Income

Fund,

Inc.

1,594

36,534

Cohen

&

Steers

Select

Preferred

and

Income

Fund,

Inc.

4,135

95,436

Delaware

Enhanced

Global

Dividend

&

Income

Fund

2,647

23,902

Delaware

Ivy

High

Income

Opportunities

Fund

401

5,081

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

0.7%

(continued)

DoubleLine

Income

Solutions

Fund

70,732

1,027,029

Eaton

Vance

California

Municipal

Bond

Fund

21,621

217,075

Eaton

Vance

Municipal

Bond

Fund

30,889

355,224

Eaton

Vance

Municipal

Income

Trust

1,165

13,794

Eaton

Vance

New

York

Municipal

Bond

Fund

7,635

80,015

Ellsworth

Growth

and

Income

Fund

Ltd.

9,397

99,514

Federated

Hermes

Premier

Municipal

Income

Fund

4,490

57,068

Franklin

Ltd.

Duration

Income

Trust

25,493

193,237

GAMCO

Natural

Resources

Gold

&

Income

Trust

393

2,197

General

American

Investors

Co.,

Inc.

151

6,413

Insight

Select

Income

Fund

4,771

85,258

Invesco

California

Value

Municipal

Income

Trust

14,065

155,840

Invesco

Municipal

Opportunity

Trust

31,882

365,049

Invesco

Municipal

Trust

19,272

221,821

Invesco

Pennsylvania

Value

Municipal

Income

Trust

541

6,319

Invesco

Quality

Municipal

Income

Trust

10,859

123,032

Invesco

Trust

for

Investment

Grade

Municipals

11,860

137,813

Invesco

Value

Municipal

Income

Trust

873

12,170

John

Hancock

Income

Securities

Trust

175

2,389

KKR

Income

Opportunities

Fund

2,503

36,118

Macquarie

Global

Infrastructure

Total

Return

Fund,

Inc.

274

7,047

MFS

Multimarket

Income

Trust

5,297

28,127

New

America

High

Income

Fund,

Inc.

(The)

827

6,707

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

7,139

105,586

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

7,016

92,190

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

19,324

262,033

Nuveen

California

Municipal

Value

Fund

8,662

79,344

Nuveen

California

Quality

Municipal

Income

Fund

21,227

278,498

Nuveen

Enhanced

Municipal

Value

Fund

8,535

111,126

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

1,299

16,523

Nuveen

Municipal

Credit

Income

Fund

5,088

74,336

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

2,955

35,874

Nuveen

New

York

Quality

Municipal

Income

Fund

9,396

118,108

29

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

0.7%

(continued)

Nuveen

Ohio

Quality

Municipal

Income

Fund

214

2,968

Nuveen

Preferred

&

Income

Opportunities

Fund

36,483

313,024

Nuveen

Preferred

&

Income

Securities

Fund

51,577

433,247

Nuveen

Quality

Municipal

Income

Fund

6,811

90,995

Pioneer

High

Income

Fund,

Inc.

4,406

35,777

Pioneer

Municipal

High

Income

Advantage

Fund,

Inc.

347

3,411

Pioneer

Municipal

High

Income

Fund

Trust

8,403

88,231

Putnam

Managed

Municipal

Income

Trust

2,562

18,113

Royce

Global

Value

Trust,

Inc.

366

4,158

Templeton

Emerging

Markets

Fund

733

10,079

Tri-Continental

Corp.

3,642

112,319

Voya

Emerging

Markets

High

Income

Dividend

Equity

Fund

2,432

16,294

Western

Asset

Global

Corporate

Defined

Opportunity

Fund,

Inc.

948

14,087

Western

Asset

Global

High

Income

Fund,

Inc.

9,023

76,425

Western

Asset

Investment

Grade

Income

Fund,

Inc.

510

6,951

Western

Asset

Managed

Municipals

Fund,

Inc.

5,434

63,143

Western

Asset

Municipal

High

Income

Fund,

Inc.

1,510

10,630

Western

Asset

Municipal

Partners

Fund,

Inc.

130

1,751

Western

Asset

Premier

Bond

Fund

3,298

39,576

TOTAL

CLOSED

END

FUNDS

(Cost

$9,730,305)

9,756,115

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

(a)

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(3)(d)(f)

$

2,375,000

71,250

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(d)(f)

2,833,436

148,529

Forest

Oil

Corp.

7.50%,

9/15/2020

(3)(d)(f)

10,750,000

–

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2022

(3)(d)(g)

4,455,054

–

148,529

TOTAL

CORPORATE

BONDS

(Cost

$3,920,727)

219,779

CONVERTIBLE

BONDS

-

15.9%

Aerospace

&

Defense

-

0.3%

Virgin

Galactic

Holdings,

Inc.

2.50%,

2/1/2027

(2)(b)(c)

4,067,000

3,886,019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Airlines

-

0.1%

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024

(2)(b)(c)

$

1,025,000

836,656

Automobiles

-

0.2%

Arrival

SA

(Luxembourg)

3.50%,

12/1/2026

(2)(b)(c)

4,567,000

2,938,823

Biotechnology

-

1.2%

Avid

SPV

LLC

1.25%,

3/15/2026

(2)(b)(c)

2,300,000

2,795,390

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

2,075,000

1,876,165

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024

(2)(b)

1,400,000

1,598,100

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(b)

2,550,000

1,982,372

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026

(2)(b)(c)

7,850,000

7,887,680

16,139,707

Chemicals

-

0.2%

Danimer

Scientific,

Inc.

3.25%,

12/15/2026

(2)(b)(c)

3,494,000

2,856,345

Communications

Equipment

-

0.8%

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)

2,925,000

4,018,950

Lumentum

Holdings,

Inc.

0.50%,

6/15/2028

(2)(b)(c)

7,806,000

7,634,268

11,653,218

Consumer

Finance

-

0.7%

EZCORP,

Inc.

2.88%,

7/1/2024

(2)(b)

2,250,000

2,171,250

2.38%,

5/1/2025

(2)(b)

1,025,000

905,075

LendingTree

,

Inc.

0.50%,

7/15/2025

(2)(b)

7,500,000

6,140,625

9,216,950

Diversified

Telecommunication

Services

-

0.1%

Bandwidth,

Inc.

0.25%,

3/1/2026

(2)(b)

1,875,000

1,428,750

Electrical

Equipment

-

0.7%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(b)(c)

12,850,000

9,746,725

Energy

Equipment

&

Services

-

0.1%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023

(2)(b)

1,125,000

1,153,625

Entertainment

-

0.5%

Sea

Ltd.

(Taiwan)

0.25%,

9/15/2026

(2)(b)

8,250,000

6,584,325

Health

Care

Equipment

&

Supplies

-

0.6%

Alphatec

Holdings,

Inc.

0.75%,

8/1/2026

(2)(b)(c)

2,389,000

2,278,509

Novocure

Ltd.

0.00%,

11/1/2025

(2)(b)

1,925,000

1,746,937

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)

3,100,000

3,909,875

7,935,321

30

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Health

Care

Providers

&

Services

-

0.6%

Anthem,

Inc.

2.75%,

10/15/2042

(2)(b)

$

1,279,000

8,925,246

Hotels,

Restaurants

&

Leisure

-

1.6%

DraftKings

,

Inc.

0.00%,

3/15/2028

(2)(b)

8,800,000

6,322,800

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(b)

2,875,000

2,844,813

NCL

Corp.

Ltd.

1.13%,

2/15/2027

(2)(b)(c)

12,113,000

11,131,847

2.50%,

2/15/2027

(2)(b)(c)

1,585,000

1,512,882

21,812,342

Household

Durables

-

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(b)(c)

1,225,000

1,426,817

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Sunnova

Energy

International,

Inc.

0.25%,

12/1/2026

(2)(b)(c)

8,175,000

7,320,713

Interactive

Media

&

Services

-

1.3%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(b)

7,400,000

6,486,100

Snap,

Inc.

0.00%,

5/1/2027

(2)(b)(c)

1,175,000

1,001,100

0.13%,

3/1/2028

(2)(b)(c)

11,097,000

11,024,869

18,512,069

Internet

&

Direct

Marketing

Retail

-

1.7%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(b)(c)

5,725,000

5,086,662

Farfetch

Ltd.

(United

Kingdom)

3.75%,

5/1/2027

(2)(b)

4,175,000

5,412,888

Groupon,

Inc.

1.13%,

3/15/2026

(2)(b)(c)

4,250,000

3,348,018

Porch

Group,

Inc.

0.75%,

9/15/2026

(2)(b)(c)

3,400,000

2,252,500

Xometry

,

Inc.

1.00%,

2/1/2027

(2)(b)(c)

8,897,000

8,074,027

24,174,095

IT

Services

-

0.7%

Fastly

,

Inc.

0.00%,

3/15/2026

(2)(b)

2,975,000

2,220,838

Limelight

Networks,

Inc.

3.50%,

8/1/2025

(2)(b)

725,000

752,941

Repay

Holdings

Corp.

0.00%,

2/1/2026

(2)(b)(c)

8,300,000

6,905,600

9,879,379

Machinery

-

0.5%

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(b)(c)

5,710,000

6,593,234

Media

-

1.1%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(b)

3,100,000

2,771,400

DISH

Network

Corp.

3.38%,

8/15/2026

(2)(b)

3,925,000

3,530,537

TechTarget

,

Inc.

0.00%,

12/15/2026

(2)(b)(c)

9,825,000

8,867,063

15,169,000

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Metals

&

Mining

-

0.1%

Ivanhoe

Mines

Ltd.

(Canada)

2.50%,

4/15/2026

(2)(b)(c)

$

575,000

818,225

Oil,

Gas

&

Consumable

Fuels

-

0.2%

Scorpio

Tankers,

Inc.

(Monaco)

3.00%,

5/15/2025

(2)(b)(c)

2,100,000

2,249,121

Pharmaceuticals

-

0.1%

Innoviva

,

Inc.

2.13%,

3/15/2028

(2)(b)(c)

1,091,000

1,088,818

Tilray

Brands,

Inc.

(Canada)

5.00%,

10/1/2023

(2)(b)

400,000

380,000

1,468,818

Real

Estate

Management

&

Development

-

0.5%

Opendoor

Technologies,

Inc.

0.25%,

8/15/2026

(2)(b)(c)

4,975,000

3,870,550

Realogy

Group

LLC

0.25%,

6/15/2026

(2)(b)(c)

425,000

387,281

Redfin

Corp.

0.50%,

4/1/2027

(2)(b)(c)

4,535,000

3,031,648

7,289,479

Software

-

0.8%

Avalara,

Inc.

0.25%,

8/1/2026

(2)(b)(c)

4,400,000

3,753,200

Five9,

Inc.

0.50%,

6/1/2025

(2)(b)

2,025,000

2,194,088

Marathon

Digital

Holdings,

Inc.

1.00%,

12/1/2026

(2)(b)(c)

6,855,000

4,836,202

Veritone

,

Inc.

1.75%,

11/15/2026

(2)(b)(c)

1,091,000

931,721

11,715,211

Technology

Hardware,

Storage

&

Peripherals

-

0.6%

3D

Systems

Corp.

0.00%,

11/15/2026

(2)(b)(c)

9,900,000

8,306,100

TOTAL

CONVERTIBLE

BONDS

(Cost

$232,881,084)

220,036,313

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(a)

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(d)

146,272

124,403

Tobira

Therapeutics,

Inc.,

CVR

(3)*(d)

11,880

150,236

274,639

Capital

Markets

-

0.0%

(a)

Accretion

Acquisition

Corp.,

expiring

3/1/2028

*

202,180

32,349

Bannix

Acquisition

Corp.,

expiring

8/30/2026

(2)*

26,277

5,253

Benessere

Capital

Acquisition

Corp.,

expiring

12/23/2025

*

55,000

12,210

Blockchain

Moon

Acquisition

Corp.,

expiring

10/21/2026

(2)*

44,844

8,274

Breeze

Holdings

Acquisition

Corp.,

expiring

5/23/2022

*

55,000

7,700

Broad

Capital

Acquisition

Corp.,

expiring

1/13/2027

*

69,739

11,332

31

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.0%

(a)

(continued)

Deep

Medicine

Acquisition

Corp.,

expiring

9/30/2028

*

152,927

27,496

Edoc

Acquisition

Corp.,

expiring

11/30/2027

(2)*

55,000

19,800

Financial

Strategies

Acquisition

Corp.,

expiring

1/7/2023

*

131,193

20,991

Fintech

Ecosystem

Development

Corp.,

expiring

1/4/2026

*

10,730

1,746

Globalink

Investment,

Inc.,

expiring

12/9/2026

*

74,843

12,050

Inception

Growth

Acquisition

Ltd.

(2)*

112,518

16,878

JUPITER

WELLNESS

ACQUISITION

Corp.,

expiring

5/26/2022

*

149,929

30,346

Mana

Capital

Acquisition

Corp.,

expiring

1/6/2024

*

39,048

7,810

NorthView

Acquisition

Corp.,

expiring

8/2/2027

(2)*

154,598

21,798

Pacifico

Acquisition

Corp.,

expiring

7/25/2026

(2)*

20,252

3,252

PHP

Ventures

Acquisition

Corp.,

expiring

8/11/2026

(2)*

29,400

5,421

ROC

Energy

Acquisition

Corp.,

expiring

11/30/2028

*

149,375

28,844

Welsbach

Technology

Metals

Acquisition

Corp.,

expiring

3/31/2023

*

9,289

1,486

275,036

TOTAL

RIGHTS

(Cost

$–)

549,675

NO.

OF

WARRANTS

WARRANTS

-

0.9%

Aerospace

&

Defense

-

0.0%

(a)

Archer

Aviation,

Inc.,

expiring

9/16/2026

*(b)

86,853

79,036

Auto

Components

-

0.0%

(a)

REE

Automotive

Ltd.,

expiring

7/22/2026

(Israel)

*

62,898

19,341

Solid

Power,

Inc.,

expiring

12/8/2026

*

26,575

63,249

82,590

Biotechnology

-

0.1%

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

512,134

269,382

Celularity

,

Inc.,

expiring

7/16/2026

*

26,615

36,463

DermTech

,

Inc.,

expiring

8/29/2024

*

232,877

173,493

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

*

219,259

39,467

EQRx

,

Inc.,

expiring

12/20/2026

*

6,712

5,437

Gelesis

Holdings,

Inc.,

expiring

1/13/2027

*

91,023

20,480

544,722

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

74,200

37,486

7GC

&

Co.

Holdings,

Inc.,

expiring

12/31/2026

(2)*

67,750

16,260

Accelerate

Acquisition

Corp.,

expiring

12/31/2027

*

156,666

60,363

Accretion

Acquisition

Corp.,

expiring

2/19/2023

*

101,090

17,286

Acropolis

Infrastructure

Acquisition

Corp.,

expiring

3/31/2026

*(b)

140,333

66,700

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

*(b)

41,250

18,563

Advanced

Merger

Partners,

Inc.,

expiring

6/30/2026

*(b)

13,733

8,366

Aequi

Acquisition

Corp.,

expiring

11/30/2027

(2)*

107,000

20,812

Aesther

Healthcare

Acquisition

Corp.,

expiring

1/19/2023

*

20,252

4,962

AF

Acquisition

Corp.,

expiring

3/31/2028

*

126,194

31,422

Alpha

Healthcare

Acquisition

Corp.

III,

expiring

4/12/2027

(2)*(b)

52,000

36,920

AltEnergy

Acquisition

Corp.,

expiring

2/6/2023

*

61,463

12,391

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*(b)

96,300

16,159

AMCI

Acquisition

Corp.

II,

expiring

12/31/2028

*(b)

69,500

40,004

American

Acquisition

Opportunity,

Inc.,

expiring

5/28/2026

*(b)

58,500

8,775

Anzu

Special

Acquisition

Corp.

I,

expiring

12/31/2027

*(b)

68,889

16,533

Apeiron

Capital

Investment

Corp.,

expiring

6/24/2023

(2)*

54,024

9,184

Arbor

Rapha

Capital

Bioholdings

Corp.

I,

expiring

3/14/2023

*

47,678

9,059

Archimedes

Tech

SPAC

Partners

Co.,

expiring

12/31/2027

*

33,000

23,123

Arena

Fortify

Acquisition

Corp.,

expiring

12/31/2028

*

27,012

6,753

Argus

Capital

Corp.,

expiring

7/22/2023

*

30,741

13,286

Armada

Acquisition

Corp.

I,

expiring

1/2/2023

*

64,166

19,474

Arogo

Capital

Acquisition

Corp.,

expiring

3/23/2023

(2)*

96,774

15,426

Arrowroot

Acquisition

Corp.,

expiring

3/2/2026

*(b)

41,500

10,375

Artemis

Strategic

Investment

Corp.,

expiring

2/12/2023

*

102,400

35,451

Astrea

Acquisition

Corp.,

expiring

1/13/2026

(2)*(b)

41,333

7,031

32

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Athena

Consumer

Acquisition

Corp.,

expiring

7/20/2023

*

64,463

19,332

Athena

Technology

Acquisition

Corp.

II,

expiring

6/10/2023

(2)*

319,116

66,248

Athlon

Acquisition

Corp.,

expiring

3/5/2026

*(b)

41,333

10,329

Atlantic

Avenue

Acquisition

Corp.,

expiring

10/6/2027

*(b)

146,000

31,711

Atlantic

Coastal

Acquisition

Corp.,

expiring

12/31/2027

*(b)

228,472

42,884

Atlas

Crest

Investment

Corp.

II,

expiring

2/28/2026

*(b)

20,616

6,803

Ault

Disruptive

Technologies

Corp.,

expiring

6/20/2023

*

54,855

9,161

Aurora

Acquisition

Corp.,

expiring

12/31/2028

(United

Kingdom)

*

9,375

4,296

Authentic

Equity

Acquisition

Corp.,

expiring

12/31/2027

*(b)

41,266

12,632

Avalon

Acquisition,

Inc.,

expiring

2/26/2023

*

79,701

18,331

AxonPrime

Infrastructure

Acquisition

Corp.,

expiring

7/8/2023

*

78,055

35,125

B

Riley

Principal

150

Merger

Corp.,

expiring

3/1/2028

*

27,777

25,002

B

Riley

Principal

250

Merger

Corp.,

expiring

12/31/2027

*

117,289

58,656

Banner

Acquisition

Corp.,

expiring

1/15/2023

*

20,196

8,478

Bannix

Acquisition

Corp.,

expiring

2/19/2023

*

26,277

6,175

Beard

Energy

Transition

Acquisition

Corp.,

expiring

12/31/2027

(2)*

74,755

23,922

Belong

Acquisition

Corp.,

expiring

12/31/2027

*

64,000

19,194

Benessere

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

41,250

21,302

Berenson

Acquisition

Corp.

I,

expiring

8/1/2026

*

15,392

4,156

Better

World

Acquisition

Corp.,

expiring

11/15/2027

*

49,500

7,925

Big

Sky

Growth

Partners,

Inc.,

expiring

2/26/2023

*

83,121

36,482

Bilander

Acquisition

Corp.,

expiring

12/31/2027

*

60,416

30,208

Bite

Acquisition

Corp.,

expiring

12/31/2027

*

41,600

14,560

Black

Mountain

Acquisition

Corp.,

expiring

10/15/2027

*

183,774

49,619

Blockchain

Moon

Acquisition

Corp.,

expiring

3/23/2024

(2)*

44,844

9,861

BOA

Acquisition

Corp.,

expiring

2/22/2028

*

27,321

7,377

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*

55,000

11,550

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Bright

Lights

Acquisition

Corp.,

expiring

12/31/2027

*

32,000

17,920

Broadscale

Acquisition

Corp.,

expiring

2/2/2026

*

20,666

12,300

Build

Acquisition

Corp.,

expiring

4/29/2023

*

135,000

36,917

BurTech

Acquisition

Corp.,

expiring

8/19/2023

*

447,209

63,056

Canna-Global

Acquisition

Corp.,

expiring

2/9/2023

*

188,580

26,665

Carney

Technology

Acquisition

Corp.

II,

expiring

11/30/2027

*

163,143

57,100

Cascade

Acquisition

Corp.,

expiring

11/30/2027

*

103,250

18,172

Cascadia

Acquisition

Corp.,

expiring

2/5/2023

*

60,303

22,312

CC

Neuberger

Principal

Holdings

II,

expiring

7/29/2025

*

127,050

127,050

CENAQ

Energy

Corp.,

expiring

12/31/2027

*

105,000

19,845

CF

Acquisition

Corp.

IV,

expiring

12/14/2025

*

78,500

31,400

CF

Acquisition

Corp.

VI,

expiring

2/18/2028

*

27,750

94,350

CF

Acquisition

Corp.

VII,

expiring

3/15/2026

*

48,764

29,254

CF

Acquisition

Corp.

VIII,

expiring

12/31/2027

*

48,500

16,005

CHP

Merger

Corp.,

expiring

11/22/2024

*

125,000

21,575

Churchill

Capital

Corp.

V,

expiring

10/29/2027

*

10,350

6,313

Churchill

Capital

Corp.

VI,

expiring

12/31/2027

*

16,600

10,455

Churchill

Capital

Corp.

VII,

expiring

2/29/2028

*

16,600

9,960

CIIG

Capital

Partners

II,

Inc.,

expiring

2/28/2028

*

70,884

26,936

Clarim

Acquisition

Corp.,

expiring

12/31/2027

*

59,111

13,596

Class

Acceleration

Corp.,

expiring

3/31/2028

*

41,666

7,712

Climate

Real

Impact

Solutions

II

Acquisition

Corp.,

expiring

12/31/2027

*

16,647

7,658

Colicity

,

Inc.,

expiring

12/31/2027

*

22,909

8,935

Colombier

Acquisition

Corp.,

expiring

12/31/2028

*

78,300

21,928

Compute

Health

Acquisition

Corp.,

expiring

12/31/2027

*

23,100

11,203

Concord

Acquisition

Corp.,

expiring

11/28/2025

*

190,333

226,496

Concord

Acquisition

Corp.

II,

expiring

12/31/2028

(2)*

95,464

56,887

Concord

Acquisition

Corp.

III,

expiring

12/31/2028

*

215,234

83,705

33

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Conx

Corp.,

expiring

10/30/2027

*

92,500

38,850

Conyers

Park

III

Acquisition

Corp.,

expiring

8/12/2028

*

161,500

82,526

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*

110,400

26,054

Crixus

BH3

Acquisition

Co.,

expiring

11/23/2026

*

42,289

16,408

Crucible

Acquisition

Corp.,

expiring

12/26/2025

*

26,565

9,284

D

&

Z

Media

Acquisition

Corp.,

expiring

12/31/2027

*

27,453

8,236

Data

Knights

Acquisition

Corp.,

expiring

12/31/2028

*

50,667

9,120

Delwinds

Insurance

Acquisition

Corp.,

expiring

8/1/2027

*

47,500

14,250

DHB

Capital

Corp.,

expiring

3/15/2028

*

49,333

16,280

DiamondHead

Holdings

Corp.,

expiring

1/28/2028

*

20,700

7,038

Digital

Health

Acquisition

Corp.,

expiring

10/14/2023

*

71,745

12,111

Digital

Transformation

Opportunities

Corp.,

expiring

3/31/2028

*

20,733

8,225

DILA

Capital

Acquisition

Corp.,

expiring

12/31/2028

*

61,667

20,350

Direct

Selling

Acquisition

Corp.,

expiring

11/23/2023

*

51,291

12,823

dMY

Technology

Group,

Inc.

VI,

expiring

6/25/2023

*

41,091

28,357

DPCM

Capital,

Inc.,

expiring

10/14/2027

*

127,866

85,734

DTRT

Health

Acquisition

Corp.,

expiring

11/12/2022

*

60,408

12,686

Dune

Acquisition

Corp.,

expiring

10/29/2027

*

22,884

5,037

E.Merge

Technology

Acquisition

Corp.,

expiring

7/30/2025

*

121,666

20,683

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*

219,000

50,370

Edify

Acquisition

Corp.,

expiring

12/31/2027

*

41,550

7,882

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

6,485

EdtechX

Holdings

Acquisition

Corp.

II,

expiring

6/15/2027

*

40,875

5,465

EG

Acquisition

Corp.,

expiring

5/28/2028

*

155,666

35,803

Empowerment

&

Inclusion

Capital

I

Corp.,

expiring

12/31/2027

*

58,119

11,043

Epiphany

Technology

Acquisition

Corp.,

expiring

12/31/2027

*

65,416

22,196

EQ

Health

Acquisition

Corp.,

expiring

2/2/2028

*

43,828

15,064

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Equity

Distribution

Acquisition

Corp.,

expiring

9/9/2025

*

94,933

38,429

Everest

Consolidator

Acquisition

Corp.,

expiring

7/19/2023

*

65,508

13,102

Evo

Acquisition

Corp.,

expiring

12/31/2027

*

9,660

1,642

ExcelFin

Acquisition

Corp.,

expiring

7/5/2023

*

67,393

22,907

Executive

Network

Partnering

Corp.,

expiring

9/25/2028

*

95,000

29,792

Fast

Acquisition

Corp.,

expiring

8/25/2027

*

44,033

66,049

FAST

Acquisition

Corp.

II,

expiring

3/16/2026

*

24,250

8,015

Figure

Acquisition

Corp.

I,

expiring

12/31/2027

*

29,700

20,965

Financial

Strategies

Acquisition

Corp.,

expiring

3/31/2028

*

131,193

22,277

FinServ

Acquisition

Corp.

II,

expiring

2/17/2026

*

20,791

6,653

Fintech

Acquisition

Corp.

V,

expiring

10/31/2025

*

33,727

31,646

FinTech

Acquisition

Corp.

VI,

expiring

12/31/2027

(2)*

37,676

18,838

Fintech

Ecosystem

Development

Corp.,

expiring

12/31/2028

*

5,365

1,019

First

Light

Acquisition

Group,

Inc.,

expiring

10/7/2023

*

20,232

7,281

First

Reserve

Sustainable

Growth

Corp.,

expiring

12/31/2027

*

20,625

6,371

Flame

Acquisition

Corp.,

expiring

12/31/2028

*

65,866

19,101

Focus

Impact

Acquisition

Corp.,

expiring

4/23/2023

*

50,975

14,018

Forest

Road

Acquisition

Corp.

II,

expiring

1/15/2026

*

16,622

7,267

Fortistar

Sustainable

Solutions

Corp.,

expiring

12/31/2027

(2)*

22,283

6,921

Fortress

Value

Acquisition

Corp.

III,

expiring

12/31/2027

*

15,939

7,013

Fortress

Value

Acquisition

Corp.

IV,

expiring

3/18/2028

*

36,166

19,168

Fortune

Rise

Acquisition

Corp.,

expiring

11/26/2023

*

49,324

11,966

Forum

Merger

IV

Corp.,

expiring

12/31/2027

*

117,500

53,756

FoxWayne

Enterprises

Acquisition

Corp.,

expiring

12/31/2026

*

34,500

2,412

FTAC

Parnassus

Acquisition

Corp.,

expiring

3/10/2026

*

44,034

16,530

FTAC

Zeus

Acquisition

Corp.,

expiring

12/31/2027

*

127,515

46,849

34

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Fusion

Acquisition

Corp.

II,

expiring

12/31/2027

*

27,666

5,569

Future

Health

ESG

Corp.,

expiring

2/19/2023

*

45,911

18,061

G&P

Acquisition

Corp.,

expiring

3/5/2027

*

161,666

26,303

Gaming

&

Hospitality

Acquisition

Corp.,

expiring

2/4/2028

(2)*

8,207

2,216

Gardiner

Healthcare

Acquisitions

Corp.,

expiring

7/11/2024

*

52,651

10,393

GigCapital5,

Inc.,

expiring

12/31/2028

*

123,100

27,759

GigInternational1,

Inc.,

expiring

12/31/2028

*

149,500

53,730

Gladstone

Acquisition

Corp.,

expiring

12/31/2027

*

69,500

22,935

Glass

Houses

Acquisition

Corp.,

expiring

12/31/2027

*

68,833

23,389

Glenfarne

Merger

Corp.,

expiring

12/31/2027

*

54,888

17,399

Global

Consumer

Acquisition

Corp.,

expiring

12/31/2027

*

106,500

26,412

Globalink

Investment,

Inc.,

expiring

8/19/2023

*

74,843

8,233

GO

Acquisition

Corp.,

expiring

8/31/2027

*

189,866

34,176

Goal

Acquisitions

Corp.,

expiring

2/11/2026

*

84,630

25,389

Golden

Arrow

Merger

Corp.,

expiring

7/31/2026

(2)*

131,733

32,248

Golden

Falcon

Acquisition

Corp.,

expiring

11/4/2026

*

64,925

17,536

Good

Works

II

Acquisition

Corp.,

expiring

2/1/2028

*

126,000

28,993

Gores

Holdings

VII,

Inc.,

expiring

12/31/2027

(2)*

10,416

8,482

Gores

Holdings

VIII,

Inc.,

expiring

12/31/2027

*

10,416

13,645

Gores

Technology

Partners

II,

Inc.,

expiring

12/31/2027

*

16,613

12,407

Gores

Technology

Partners,

Inc.,

expiring

12/31/2027

(2)*

16,560

12,917

Graf

Acquisition

Corp.

IV,

expiring

5/31/2028

(2)*

73,000

44,289

Group

Nine

Acquisition

Corp.,

expiring

1/14/2026

(2)*

27,604

7,729

GX

Acquisition

Corp.

II,

expiring

12/31/2028

*

137,666

38,546

Hamilton

Lane

Alliance

Holdings

I,

Inc.,

expiring

1/8/2026

*

27,583

7,447

Hawks

Acquisition

Corp.,

expiring

1/29/2023

*

37,175

8,848

Haymaker

Acquisition

Corp.

III,

expiring

2/12/2027

*

20,786

11,432

Health

Assurance

Acquisition

Corp.,

expiring

11/12/2025

*

95,166

48,535

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Healthcare

Services

Acquisition

Corp.,

expiring

12/31/2027

*

55,650

19,472

Healthwell

Acquisition

Corp.

I,

expiring

8/5/2028

(2)*

139,600

46,068

Hennessy

Capital

Investment

Corp.

V,

expiring

1/11/2026

*

20,630

8,262

Hennessy

Capital

Investment

Corp.

VI,

expiring

12/31/2027

(3)*(d)

232,490

111,618

Home

Plate

Acquisition

Corp.,

expiring

3/3/2023

(2)*

20,508

6,561

Hudson

Executive

Investment

Corp.

II,

expiring

1/31/2027

*

20,775

7,768

Hudson

Executive

Investment

Corp.

III,

expiring

12/31/2028

*

41,333

16,331

HumanCo

Acquisition

Corp.,

expiring

12/31/2027

*

33,563

10,740

IG

Acquisition

Corp.,

expiring

10/5/2027

*

182,500

58,400

Ignyte

Acquisition

Corp.,

expiring

12/31/2027

(2)*

17,500

6,389

Inception

Growth

Acquisition

Ltd.,

expiring

5/8/2023

*

56,259

12,771

Industrial

Human

Capital,

Inc.,

expiring

12/31/2028

*

89,858

16,174

Insight

Acquisition

Corp.,

expiring

2/11/2023

*

25,170

8,306

INSU

Acquisition

Corp.

III,

expiring

12/31/2026

*

24,733

4,947

Integral

Acquisition

Corp.

1,

expiring

12/14/2028

*

53,808

21,518

Integrated

Rail

and

Resources

Acquisition

Corp.,

expiring

5/21/2023

*

54,219

17,778

Intelligent

Medicine

Acquisition

Corp.,

expiring

1/13/2023

*

62,785

17,454

InterPrivate

II

Acquisition

Corp.,

expiring

12/31/2028

*

16,500

9,075

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

*

16,500

11,057

InterPrivate

IV

InfraTech

Partners,

Inc.,

expiring

12/31/2027

*

16,600

8,300

Isleworth

Healthcare

Acquisition

Corp.,

expiring

8/2/2027

*

64,666

10,741

Jackson

Acquisition

Co.,

expiring

12/31/2028

(2)*

183,961

36,792

Jaws

Hurricane

Acquisition

Corp.,

expiring

2/23/2023

*

34,250

25,687

JOFF

Fintech

Acquisition

Corp.,

expiring

12/31/2027

*

27,727

7,234

Juniper

II

Corp.,

expiring

12/31/2028

*

53,808

21,900

Jupiter

Acquisition

Corp.,

expiring

8/25/2022

*

105,000

34,629

35

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Kadem

Sustainable

Impact

Corp.,

expiring

3/16/2026

*

151,547

26,127

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

*

112,062

15,677

KINS

Technology

Group,

Inc.,

expiring

12/31/2025

*

78,500

10,990

KKR

Acquisition

Holdings

I

Corp.,

expiring

12/31/2027

*

31,000

20,460

KL

Acquisition

Corp.,

expiring

1/12/2028

(2)*

26,355

6,120

KludeIn

I

Acquisition

Corp.,

expiring

7/8/2027

*

28,833

4,322

Landcadia

Holdings

IV,

Inc.,

expiring

12/31/2028

*

84,500

40,568

Larkspur

Health

Acquisition

Corp.,

expiring

5/17/2023

*

39,393

6,780

LAVA

Medtech

Acquisition

Corp.,

expiring

4/1/2023

*

31,732

11,103

Learn

CW

Investment

Corp.,

expiring

12/31/2028

*

13,352

4,139

Lefteris

Acquisition

Corp.,

expiring

10/23/2025

*

185,333

47,445

Legato

Merger

Corp.

II,

expiring

2/5/2023

*

77,207

28,320

LF

Capital

Acquisition

Corp.

II,

expiring

1/7/2026

*

54,396

10,335

Liberty

Media

Acquisition

Corp.,

expiring

12/31/2027

*

5,355

3,588

LightJump

Acquisition

Corp.,

expiring

12/31/2027

*

27,000

7,290

Lionheart

Acquisition

Corp.

II,

expiring

2/14/2026

*

299,040

121,620

Lionheart

III

Corp.,

expiring

3/19/2023

*

44,840

13,004

Live

Oak

Crestview

Climate

Acquisition

Corp.,

expiring

3/12/2026

*

54,710

28,449

Live

Oak

Mobility

Acquisition

Corp.,

expiring

3/4/2028

*

17,760

7,980

LMF

Acquisition

Opportunities,

Inc.,

expiring

1/31/2027

*

27,333

5,655

Logistics

Innovation

Technologies

Corp.,

expiring

6/15/2028

*

81,857

29,477

Longview

Acquisition

Corp.

II,

expiring

5/10/2026

*

37,000

15,529

Lux

Health

Tech

Acquisition

Corp.,

expiring

11/30/2027

*

166,856

70,063

M3-Brigade

Acquisition

II

Corp.,

expiring

12/31/2027

(2)*

413,333

139,087

M3-Brigade

Acquisition

III

Corp.,

expiring

5/11/2023

*

149,671

37,238

Mana

Capital

Acquisition

Corp.,

expiring

12/1/2026

*

19,524

3,905

Maquia

Capital

Acquisition

Corp.,

expiring

12/31/2027

*

113,500

22,416

Marblegate

Acquisition

Corp.,

expiring

12/9/2022

*

573,387

177,750

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Mason

Industrial

Technology,

Inc.,

expiring

12/31/2027

*

50,518

16,666

Maxpro

Capital

Acquisition

Corp.,

expiring

1/22/2023

*

9,347

2,056

McLaren

Technology

Acquisition

Corp.,

expiring

3/3/2023

(2)*

89,681

18,833

MDH

Acquisition

Corp.,

expiring

2/2/2028

*

42,000

6,640

MedTech

Acquisition

Corp.,

expiring

12/18/2025

*

45,166

11,436

Mercato

Partners

Acquisition

Corp.,

expiring

12/28/2026

*

71,745

22,958

Minority

Equality

Opportunities

Acquisition,

Inc.,

expiring

4/29/2023

*

40,202

7,634

Mission

Advancement

Corp.,

expiring

12/31/2028

*

37,000

8,458

Monterey

Bio

Acquisition

Corp.,

expiring

6/7/2023

*

8,700

1,887

Monument

Circle

Acquisition

Corp.,

expiring

12/31/2027

*

41,375

9,185

Mount

Rainier

Acquisition

Corp.,

expiring

12/4/2022

*

84,937

20,385

Mudrick

Capital

Acquisition

Corp.

II,

expiring

9/10/2027

*

119,007

49,983

Music

Acquisition

Corp.

(The),

expiring

2/5/2028

*

23,325

5,183

Nabors

Energy

Transition

Corp.,

expiring

6/8/2023

*

127,094

48,283

New

Providence

Acquisition

Corp.

II,

expiring

12/31/2027

*

41,859

13,784

Newbury

Street

Acquisition

Corp.,

expiring

12/31/2027

*

88,000

23,461

NewHold

Investment

Corp.

II,

expiring

10/21/2023

*

67,366

18,068

NightDragon

Acquisition

Corp.,

expiring

12/31/2027

*

16,666

8,000

North

Mountain

Merger

Corp.,

expiring

9/16/2025

*

77,010

20,793

Northern

Genesis

Acquisition

Corp.

III,

expiring

12/31/2027

(2)*

57,500

27,600

Northern

Lights

Acquisition

Corp.,

expiring

12/2/2022

*

45,666

10,047

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

*

16,500

6,991

Northern

Star

Investment

Corp.

III,

expiring

2/25/2028

*

13,777

6,060

Northern

Star

Investment

Corp.

IV,

expiring

12/31/2027

*

13,777

6,405

NorthView

Acquisition

Corp.,

expiring

10/21/2023

*

77,299

14,679

OCA

Acquisition

Corp.,

expiring

12/31/2027

*

55,769

8,923

OceanTech

Acquisitions

I

Corp.,

expiring

5/10/2026

*

104,000

14,550

36

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Omnichannel

Acquisition

Corp.,

expiring

12/30/2027

*

285,500

51,990

OmniLit

Acquisition

Corp.,

expiring

11/8/2026

*

40,496

9,557

One

Equity

Partners

Open

Water

I

Corp.,

expiring

12/31/2027

*

27,441

9,056

OPY

Acquisition

Corp.

I,

expiring

4/8/2023

*

41,286

16,514

Orion

Acquisition

Corp.,

expiring

2/19/2026

*

20,833

6,458

Osiris

Acquisition

Corp.,

expiring

5/1/2028

*

254,000

60,935

OTR

Acquisition

Corp.,

expiring

12/31/2025

*

54,347

11,413

Oyster

Enterprises

Acquisition

Corp.,

expiring

12/31/2027

*

41,500

9,840

Parabellum

Acquisition

Corp.,

expiring

3/26/2023

*

24,278

5,586

Parsec

Capital

Acquisitions

Corp.,

expiring

1/8/2023

*

12,741

2,918

Periphas

Capital

Partnering

Corp.,

expiring

12/10/2028

*

19,041

14,113

Pershing

Square

Tontine

Holdings

Ltd.,

expiring

7/24/2025

*

22,500

21,150

Phoenix

Biotech

Acquisition

Corp.,

expiring

9/1/2026

*

106,172

23,092

PHP

Ventures

Acquisition

Corp.,

expiring

12/4/2023

*

14,700

3,043

Pine

Island

Acquisition

Corp.,

expiring

10/29/2027

*

190,333

91,607

Pine

Technology

Acquisition

Corp.,

expiring

3/31/2028

*

213,333

47,829

Pivotal

Investment

Corp.

III,

expiring

12/31/2027

*

16,566

7,649

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

(2)*

146,000

37,960

Pono

Capital

Corp.,

expiring

12/16/2022

*

89,775

21,348

Population

Health

Investment

Co.,

Inc.,

expiring

10/1/2025

*

38,400

9,819

Post

Holdings

Partnering

Corp.,

expiring

2/9/2023

*

64,630

36,361

Power

&

Digital

Infrastructure

Acquisition

II

Corp.,

expiring

12/14/2024

*

159,558

63,823

Priveterra

Acquisition

Corp.,

expiring

12/31/2027

(2)*

31,100

9,330

Progress

Acquisition

Corp.,

expiring

12/31/2027

*

41,500

10,130

PROOF

Acquisition

Corp.

I,

expiring

12/3/2023

(2)*

75,432

21,121

Property

Solutions

Acquisition

Corp.

II,

expiring

3/1/2026

*

74,100

20,377

PropTech

Investment

Corp.

II,

expiring

12/31/2027

(2)*

57,659

14,997

PWP

Forward

Acquisition

Corp.

I,

expiring

3/9/2026

*

32,333

10,993

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Recharge

Acquisition

Corp.,

expiring

10/5/2027

*

139,000

33,332

Revolution

Healthcare

Acquisition

Corp.,

expiring

12/31/2028

*

16,506

7,426

Rosecliff

Acquisition

Corp.

I,

expiring

12/31/2027

*

27,555

5,098

Roth

Ch

Acquisition

IV

Co.,

expiring

1/9/2023

*

49,182

13,284

Roth

CH

Acquisition

V

Co.,

expiring

5/24/2023

*

14,143

5,656

RXR

Acquisition

Corp.,

expiring

3/8/2026

*

18,500

8,325

Sandbridge

X2

Corp.,

expiring

12/31/2027

(2)*

27,500

12,658

Schultze

Special

Purpose

Acquisition

Corp.

II,

expiring

3/25/2028

*

31,865

11,150

Science

Strategic

Acquisition

Corp.

Alpha,

expiring

12/31/2027

*

27,494

6,060

SCP

&

CO

Healthcare

Acquisition

Co.,

expiring

1/27/2028

(2)*

41,562

8,317

Seaport

Calibre

Materials

Acquisition

Corp.,

expiring

1/19/2023

*

22,683

5,970

Seaport

Global

Acquisition

II

Corp.,

expiring

11/1/2023

*

40,848

13,443

Senior

Connect

Acquisition

Corp.

I,

expiring

12/31/2027

*

78,500

14,130

Shelter

Acquisition

Corp.

I,

expiring

12/31/2027

*

98,333

34,417

ShoulderUp

Technology

Acquisition

Corp.,

expiring

7/26/2023

*

108,870

37,016

Sierra

Lake

Acquisition

Corp.,

expiring

3/31/2028

*

40,505

9,891

Silver

Spike

Acquisition

Corp.

II,

expiring

2/26/2026

*

20,000

6,200

Simon

Property

Group

Acquisition

Holdings,

Inc.,

expiring

2/4/2026

*

16,600

7,799

Sizzle

Acquisition

Corp.,

expiring

3/12/2026

(3)*(d)

35,872

5,740

Social

Leverage

Acquisition

Corp.

I,

expiring

12/31/2027

*

20,666

8,266

Software

Acquisition

Group,

Inc.

III,

expiring

12/31/2027

*

92,500

22,422

Southport

Acquisition

Corp.,

expiring

5/24/2023

(2)*

182,986

49,772

Spindletop

Health

Acquisition

Corp.,

expiring

12/31/2028

(2)*

62,776

14,062

SportsMap

Tech

Acquisition

Corp.,

expiring

9/1/2027

*

64,363

15,962

SportsTek

Acquisition

Corp.,

expiring

12/31/2027

*

68,700

12,435

37

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Springwater

Special

Situations

Corp.,

expiring

4/12/2026

*

20,106

8,038

Stratim

Cloud

Acquisition

Corp.,

expiring

3/5/2026

*

148,000

29,837

Sustainable

Development

Acquisition

I

Corp.,

expiring

12/31/2028

*

41,836

12,530

Tailwind

Acquisition

Corp.,

expiring

9/7/2027

*

313,280

53,258

Tastemaker

Acquisition

Corp.,

expiring

12/31/2025

*

72,083

16,168

TCW

Special

Purpose

Acquisition

Corp.,

expiring

12/31/2028

*

136,813

44,122

Tech

and

Energy

Transition

Corp.,

expiring

12/31/2027

*

123,333

34,533

TG

Venture

Acquisition

Corp.,

expiring

8/13/2023

*

215,235

44,661

Thunder

Bridge

Capital

Partners

III,

Inc.,

expiring

2/15/2028

*

16,818

8,967

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

3/12/2023

*

64,400

42,375

Tishman

Speyer

Innovation

Corp.

II,

expiring

12/31/2027

*

16,633

6,321

TLG

Acquisition

One

Corp.,

expiring

1/25/2028

*

27,727

5,493

Trajectory

Alpha

Acquisition

Corp.,

expiring

12/31/2027

(3)*(d)

54,960

16,983

Tribe

Capital

Growth

Corp.

I,

expiring

3/5/2026

*

63,888

32,583

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025

*

95,000

47,500

Twelve

Seas

Investment

Co.

II,

expiring

3/2/2028

*

32,933

8,233

USHG

Acquisition

Corp.,

expiring

12/31/2028

*

27,533

31,043

VectoIQ

Acquisition

Corp.

II,

expiring

12/31/2027

*

31,400

14,309

Velocity

Acquisition

Corp.,

expiring

2/26/2027

*

27,541

9,119

Vision

Sensing

Acquisition

Corp.,

expiring

3/24/2023

*

38,412

8,063

VMG

Consumer

Acquisition

Corp.,

expiring

7/3/2023

*

90,393

33,445

VPC

Impact

Acquisition

Holdings

II,

expiring

12/31/2027

*

26,666

8,426

Warburg

Pincus

Capital

Corp.

I-B,

expiring

3/9/2026

*

12,000

5,400

Warrior

Technologies

Acquisition

Co.,

expiring

3/31/2028

*

41,416

10,354

Williams

Rowland

Acquisition

Corp.,

expiring

12/25/2022

*

115,833

30,117

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.6%

(continued)

Zanite

Acquisition

Corp.,

expiring

10/8/2025

*

128,400

82,189

Z-Work

Acquisition

Corp.,

expiring

1/4/2026

*

27,555

7,263

7,472,080

Consumer

Finance

-

0.0%

(a)

Katapult

Holdings,

Inc.,

expiring

12/31/2026

*

37,503

12,376

Moneylion

,

Inc.,

expiring

9/22/2026

*

171,982

66,024

78,400

Diversified

Consumer

Services

-

0.1%

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)

*

181,241

543,723

Electrical

Equipment

-

0.0%

(a)

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

118,304

128,951

Fusion

Fuel

Green

plc,

expiring

12/10/2025

(Ireland)

*

21,154

51,616

Heliogen

,

Inc.,

expiring

3/31/2028

*

3,638

4,475

185,042

Electronic

Equipment,

Instruments

&

Components

-

0.0%

(a)

Arbe

Robotics

Ltd.,

expiring

10/7/2026

(Israel)

*

29,931

27,731

Cepton

,

Inc.,

expiring

2/10/2027

*

11,281

5,528

Evolv

Technologies

Holdings,

Inc.,

expiring

7/16/2026

*

2,557

965

Innoviz

Technologies

Ltd.,

expiring

4/5/2026

(Israel)

*

136,681

139,414

Velodyne

Lidar,

Inc.,

expiring

9/29/2025

*

130,162

134,718

308,356

Energy

Equipment

&

Services

-

0.0%

(a)

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

(3)*(d)

320,120

352,132

Entertainment

-

0.0%

(a)

Anghami

,

Inc.,

expiring

2/3/2027

*

5,476

3,257

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

Alpha

Tau

Medical

Ltd.,

expiring

3/7/2027

(Israel)

*

4,004

2,442

Health

Care

Providers

&

Services

-

0.0%

(a)

DocGo

,

Inc.,

expiring

10/2/2027

*

75,364

159,772

P3

Health

Partners,

Inc.,

expiring

11/19/2026

*

2,247

3,595

163,367

38

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.0%

(a)

Codere

Online

Luxembourg

SA,

expiring

12/30/2026

(Luxembourg)

*

16,207

9,076

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

135,100

33,842

Super

Group

SGHC

Ltd.,

expiring

10/30/2025

(Guernsey)

*

44,891

129,062

171,980

Household

Durables

-

0.0%

(a)

Landsea

Homes

Corp.,

expiring

1/7/2026

*

188,018

43,244

Household

Products

-

0.0%

(a)

Greenrose

Holding

Co.,

Inc.

(The),

expiring

8/11/2026

*

53,175

12,762

Insurance

-

0.0%

(a)

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

*

194,273

141,800

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

*

144,500

11,558

153,358

Interactive

Media

&

Services

-

0.0%

(a)

Leafly

Holdings,

Inc.,

expiring

11/7/2026

*

53,513

69,567

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

BARK,

Inc.,

expiring

8/29/2025

*

201,430

130,285

IT

Services

-

0.1%

American

Virtual

Cloud

Technologies,

Inc.,

expiring

4/7/2025

*(b)

178,863

23,252

Exela

Technologies,

Inc.,

expiring

7/12/2022

*

23,653

592

Verra

Mobility

Corp.,

expiring

10/17/2023

*

106,433

638,598

662,442

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

272,289

24,234

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

86,647

32,839

Falcon

Minerals

Corp.,

expiring

8/23/2023

*

403,883

138,774

NextDecade

Corp.,

expiring

7/24/2022

*

531,200

100,716

NextDecade

Corp.,

expiring

7/24/2022

*

546,520

103,620

375,949

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Pharmaceuticals

-

0.0%

(a)

4d

pharma

plc,

expiring

3/9/2026

(United

Kingdom)

*

63,026

22,633

Reviva

Pharmaceuticals

Holdings,

Inc.,

expiring

12/25/2025

*

102,990

25,747

48,380

Professional

Services

-

0.0%

(a)

Otonomo

Technologies

Ltd.,

expiring

8/13/2026

(Israel)

*

259,191

41,471

Real

Estate

Management

&

Development

-

0.0%

(a)

Doma

Holdings,

Inc.,

expiring

7/28/2026

*

59,900

20,863

Offerpad

Solutions,

Inc.,

expiring

9/1/2026

*

85,054

68,894

89,757

Software

-

0.0%

(a)

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024

(2)*

153,681

31,197

NextNav

,

Inc.,

expiring

10/31/2027

*

88,505

168,160

Rimini

Street,

Inc.,

expiring

10/10/2022

*

360,440

39,612

238,969

Specialty

Retail

-

0.0%

(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

*

57,999

1,757

LXRandCo

,

Inc.,

expiring

6/9/2022

(Canada)

(3)*(d)

776,000

3,104

4,861

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(a)

CompoSecure

,

Inc.,

expiring

10/31/2025

*

162,826

257,265

Trading

Companies

&

Distributors

-

0.0%

(a)

Custom

Truck

One

Source,

Inc.,

expiring

1/1/2025

*

6,160

13,552

Transportation

Infrastructure

-

0.0%

(a)

Sky

Harbour

Group

Corp.,

expiring

10/21/2025

*

64,264

97,039

Wireless

Telecommunication

Services

-

0.0%

(a)

Starry

Group

Holdings,

Inc.,

expiring

9/26/2025

*

89,630

78,874

TOTAL

WARRANTS

(Cost

$2,419,839)

12,329,136

39

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

SECURITIES

IN

LITIGATION

-

0.0%

(a)

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

DEMC

Ltd.,

Class

A

(acquired

1/24/2014

-

10/29/2015,

Cost

$129,686)

(3)*(d)(e)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

3/10/2016

-

12/18/2018,

Cost

$369,930)

(3)*(d)(e)

368,190,309

–

DEMC

Ltd.,

Class

A-3

(acquired

8/6/2019

-

7/16/2021,

Cost

$293,744)

(3)*(d)(e)

292,030,544,028

–

DEMC

Ltd.,

Class

A-4

(acquired

1/31/2022,

Cost

$4,032)

(3)*(d)(e)

40,321,771,424,070

–

DEMC

Ltd.,

Class

B

(acquired

1/27/2014,

Cost

$11)

(3)*(d)(e)

10,488

–

DEMC

Ltd.,

Class

B-2

(acquired

4/12/2017,

Cost

$–)

(3)*(d)(e)

513,897,326

514

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(d)(e)

489,352,292,604

–

DEMC

Ltd.,

Class

B-4

(acquired

1/31/2022,

Cost

$–)

(3)*(d)(e)

40,321,771,424,070

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$797,403)

514

UNITS

-

6.1%

Capital

Markets

-

6.1%

Achari

Ventures

Holdings

Corp.

I

(2)*

42,909

431,235

Ackrell

Spac

Partners

I

Co.

(2)*

73,575

759,294

Aetherium

Acquisition

Corp.

(2)*

175,712

1,748,334

Alpine

Acquisition

Corp.

(2)*

30,206

305,383

Alset

Capital

Acquisition

Corp.

*

122,497

1,243,345

Archimedes

Tech

SPAC

Partners

Co.

*

132,000

1,310,760

Atlantic

Coastal

Acquisition

Corp.

II

*

413,263

4,128,497

Banyan

Acquisition

Corp.

*

334,459

3,347,935

byNordic

Acquisition

Corp.

(Sweden)

*

138,415

1,379,998

C5

Acquisition

Corp.

*

263,385

2,660,189

CF

Acquisition

Corp.

VII

*

1

10

Clean

Earth

Acquisitions

Corp.

*

195,349

1,961,304

DUET

Acquisition

Corp.

*

73,788

739,356

Empowerment

&

Inclusion

Capital

I

Corp.

*

1

10

FG

Merger

Corp.

*

98,185

986,759

FTAC

Emerald

Acquisition

Corp.

*

237,726

2,372,506

FutureTech

II

Acquisition

Corp.

*

38,964

390,419

Genesis

Unicorn

Capital

Corp.

*

67,549

676,841

Goldenstone

Acquisition

Ltd.

*

32,200

321,356

Gores

Holdings

IX,

Inc.

*

1,656,295

16,645,765

Gores

Technology

Partners

II,

Inc.

(2)*

43,958

432,986

GSR

II

Meteora

Acquisition

Corp.

(2)*

244,186

2,461,395

Heartland

Media

Acquisition

Corp.

*

400,846

3,992,426

HNR

Acquisition

Corp.

(2)*

49,014

491,120

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

Capital

Markets

-

6.1%

(continued)

HumanCo

Acquisition

Corp.

*

1

10

Industrial

Tech

Acquisitions

II,

Inc.

(2)*

126,008

1,262,600

Kimbell

Tiger

Acquisition

Corp.

*

371,545

3,763,751

KnightSwan

Acquisition

Corp.

*

334,038

3,343,720

Larkspur

Health

Acquisition

Corp.

(2)*

2

20

Metal

Sky

Star

Acquisition

Corp.

103,342

1,033,420

Murphy

Canyon

Acquisition

Corp.

*

97,859

988,376

Nubia

Brand

International

Corp.

*

284,300

2,843,000

Papaya

Growth

Opportunity

Corp.

I

*

413,288

4,137,013

PowerUp

Acquisition

Corp.

*

452,925

4,551,896

Redwoods

Acquisition

Corp.

*

74,885

751,097

Relativity

Acquisition

Corp.

*

89,748

903,762

RF

Acquisition

Corp.

(Singapore)

*

114,573

1,149,167

Riverview

Acquisition

Corp.

*

210,000

2,100,000

Sagaliam

Acquisition

Corp.

*

70,003

704,230

Sanaby

Health

Acquisition

Corp.

I

*

64,385

648,357

Signal

Hill

Acquisition

Corp.

*

89,861

900,407

Viscogliosi

Brothers

Acquisition

Corp.

(2)*

52,960

526,422

Western

Acquisition

Ventures

Corp.

(2)*

67,539

675,390

Zimmer

Energy

Transition

Acquisition

Corp.

(2)*

482,000

4,728,420

TOTAL

UNITS

(Cost

$83,678,035)

83,798,281

SHARES

SHORT-TERM

INVESTMENTS

-

58.2%

INVESTMENT

COMPANIES

-

33.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(h)(

i

)

29,090,975

29,090,975

Limited

Purpose

Cash

Investment

Fund,

0.18%

(h)(j)

439,284,626

439,064,983

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.17%

(h)

1,680

1,680

TOTAL

INVESTMENT

COMPANIES

(Cost

$468,149,531)

468,157,638

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

24.3%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(2)(k)

$

34,717,000

34,716,161

0.06%,

5/5/2022

(2)(k)

9,381,000

9,379,693

0.07%,

5/12/2022

(2)(b)(k)(l)

40,000,000

39,991,276

0.07%,

5/19/2022

(2)(k)(l)

26,657,000

26,648,144

0.28%,

7/14/2022

(2)(k)(l)

46,101,000

46,020,093

0.38%,

7/28/2022

(2)(k)(l)

12,272,000

12,241,630

0.53%,

8/4/2022

(2)(k)(l)

34,509,000

34,413,421

0.77%,

8/18/2022

(2)(k)(l)

11,143,000

11,106,716

0.87%,

9/22/2022

(2)(k)(l)

60,809,000

60,530,275

40

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

24.3%

(continued)

1.06%,

9/29/2022

(2)(k)

$

60,715,000

60,407,653

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$335,573,655)

335,455,062

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$803,723,186)

803,612,700

TOTAL

LONG

POSITIONS

(Cost

$1,414,737,321)

1,407,416,316

SHARES

SHORT

POSITIONS

-

(6.7)%

COMMON

STOCKS

-

(5.9)%

Aerospace

&

Defense

-

(0.1)%

Virgin

Galactic

Holdings,

Inc.

*

(188,996)

(1,867,281)

Automobiles

-

0.0%

(a)

Arrival

SA

(Luxembourg)

*

(106,336)

(396,633)

Biotechnology

-

(0.4)%

Avid

Bioservices

,

Inc.

*

(71,235)

(1,451,057)

Inovio

Pharmaceuticals,

Inc.

*

(142,076)

(510,053)

Ironwood

Pharmaceuticals,

Inc.

*

(59,273)

(745,654)

PTC

Therapeutics,

Inc.

*

(79,129)

(2,952,303)

(5,659,067)

Capital

Markets

-

(0.6)%

Goldman

Sachs

Group,

Inc.

(The)

(22,551)

(7,444,085)

Penson

Worldwide,

Inc.

(3)*(d)

(212,307)

–

(7,444,085)

Chemicals

-

(0.1)%

Danimer

Scientific,

Inc.

*

(139,219)

(815,823)

Communications

Equipment

-

(0.4)%

Infinera

Corp.

*

(272,647)

(2,363,850)

Lumentum

Holdings,

Inc.

*

(24,897)

(2,429,947)

(4,793,797)

Consumer

Finance

-

(0.1)%

EZCORP,

Inc.,

Class

A

*

(70,330)

(424,793)

LendingTree

,

Inc.

*

(1,609)

(192,549)

(617,342)

Diversified

Telecommunication

Services

-

0.0%

(a)

Bandwidth,

Inc.,

Class

A

*

(5,369)

(173,902)

Electrical

Equipment

-

(0.2)%

Array

Technologies,

Inc.

*

(271,396)

(3,058,633)

Energy

Equipment

&

Services

-

0.0%

(a)

Helix

Energy

Solutions

Group,

Inc.

*

(19,297)

(92,240)

Entertainment

-

0.0%

(a)

Sea

Ltd.,

ADR

(Taiwan)

*

(2,648)

(317,204)

Health

Care

Equipment

&

Supplies

-

(0.2)%

Alphatec

Holdings,

Inc.

*

(67,126)

(771,949)

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(d)

(35,303)

–

Novocure

Ltd.

*

(4,434)

(367,357)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

(0.2)%

(continued)

Varex

Imaging

Corp.

*

(92,753)

(1,974,711)

(3,114,017)

Health

Care

Providers

&

Services

-

(0.7)%

Anthem,

Inc.

(18,211)

(8,945,607)

Hotels,

Restaurants

&

Leisure

-

(0.5)%

DraftKings

,

Inc.,

Class

A

*

(46,119)

(897,937)

MakeMyTrip

Ltd.

(India)

*

(35,697)

(957,751)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(237,213)

(5,190,220)

(7,045,908)

Household

Durables

-

(0.1)%

GoPro,

Inc.,

Class

A

*

(79,344)

(676,804)

Independent

Power

and

Renewable

Electricity

Producers

-

(0.2)%

Sunnova

Energy

International,

Inc.

*

(137,849)

(3,178,798)

Interactive

Media

&

Services

-

(0.4)%

Eventbrite,

Inc.,

Class

A

*

(111,523)

(1,647,195)

Snap,

Inc.,

Class

A

*

(114,587)

(4,123,986)

(5,771,181)

Internet

&

Direct

Marketing

Retail

-

(0.5)%

Etsy,

Inc.

*

(10,863)

(1,350,054)

Farfetch

Ltd.,

Class

A

(United

Kingdom)

*

(162,811)

(2,461,702)

Groupon,

Inc.

*

(12,353)

(237,548)

Porch

Group,

Inc.

*

(28,151)

(195,509)

Xometry

,

Inc.,

Class

A

*

(78,482)

(2,884,213)

(7,129,026)

IT

Services

-

0.0%

(a)

Fastly

,

Inc.,

Class

A

*

(2,341)

(40,687)

Limelight

Networks,

Inc.

*

(37,629)

(196,423)

(237,110)

Machinery

-

(0.2)%

Greenbrier

Cos.,

Inc.

(The)

(59,863)

(3,083,543)

Media

-

(0.6)%

Cable

One,

Inc.

(527)

(771,655)

DISH

Network

Corp.,

Class

A

*

(20,022)

(633,696)

Paramount

Global,

Class

A

(104,295)

(4,214,561)

TechTarget

,

Inc.

*

(36,478)

(2,964,932)

(8,584,844)

Metals

&

Mining

-

0.0%

(a)

Ivanhoe

Mines

Ltd.,

Class

A

(Canada)

*

(54,750)

(510,647)

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Scorpio

Tankers,

Inc.

(Monaco)

(13,938)

(297,994)

Pharmaceuticals

-

0.0%

(a)

Innoviva

,

Inc.

*

(27,055)

(523,514)

41

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$238,384,005.

In

addition,

$18,728,582

of

cash

collateral

was

pledged.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$146,917,649,

which

represents

approximately

10.64%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

March

31,

2022

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$2,241,911,

which

represents

approximately

0.16%

of

net

assets

of

the

fund.

(e)

Restricted

securities. 

Securities

acquired

through

a

private

placement

transaction

exempt

from

registration

under

the

Securities

Act

of 1933

and/

or may

be

subject

to

legal

or

contractual

restrictions

on

resale

(excluding

144A

securities). 

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$1,257,916

which

represents

approximately

0.09%

of

net

assets

of

the

fund.

(f)

Defaulted

security.

(g)

Payment

in-kind

security.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(j)

For

the

period

ended

March

31,

2022,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

INVESTMENTS

SHARES

VALUE

($)

Real

Estate

Management

&

Development

-

(0.1)%

Opendoor

Technologies,

Inc.

*

(109,354)

(945,912)

Realogy

Holdings

Corp.

*

(8,647)

(135,585)

Redfin

Corp.

*

(8,289)

(149,534)

(1,231,031)

Software

-

(0.3)%

Avalara,

Inc.

*

(5,481)

(545,414)

Five9,

Inc.

*

(8,011)

(884,415)

Marathon

Digital

Holdings,

Inc.

*

(32,401)

(905,608)

NortonLifeLock

,

Inc.

(30,765)

(815,888)

Veritone

,

Inc.

*

(10,415)

(190,386)

(3,341,711)

Technology

Hardware,

Storage

&

Peripherals

-

(0.2)%

3D

Systems

Corp.

*

(116,571)

(1,944,404)

TOTAL

COMMON

STOCKS

(Proceeds

$(86,878,926))

(80,852,146)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(0.8)%

Hotels,

Restaurants

&

Leisure

-

(0.6)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

$

(6,200,000)

(8,946,600)

Life

Sciences

Tools

&

Services

-

(0.2)%

Illumina,

Inc.

0.00%,

8/15/2023

(2)

(2,350,000)

(2,568,550)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(9,649,974))

(11,515,150)

TOTAL

SHORT

POSITIONS

(Proceeds

$(96,528,900))

(92,367,296)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.2%

(Cost

$1,318,208,421)

1,315,049,020

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.8%

(m)

66,300,007

NET

ASSETS

-

100.0%

1,381,349,027

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

54,173,226

3.9

%

Consumer

Discretionary

35,366,019

2.6

Consumer

Staples

12,762

0.0

(a)

Energy

3,889,123

0.3

Financials

298,963,050

21.6

Health

Care

27,833,181

2.0

Industrials

15,898,130

1.2

Information

Technology

47,856,733

3.5

Materials

17,082,727

1.2

Real

Estate

6,148,205

0.4

Utilities

4,213,164

0.3

Short-Term

Investments

803,612,700

58.2

Total

Investments

In

Securities

At

Value

1,315,049,020

95.2

Other

Assets

in

Excess

of

Liabilities

(m)

66,300,007

4.8

Net

Assets

$

1,381,349,027

100.0%

42

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

(k)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(l)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(m)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

Affiliate

Value

At

12/31/2021

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2022

Shares

Held

At

3/31/2022

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

31.8%

INVESTMENT

COMPANIES

-

31.8%

Limited

Purpose

Cash

Investment

Fund,

0.18%

(a)

(Cost

$439,056,876)

$382,197,517

$452,032,162

$(395,123,323)

$(49,445)

$8,072

$439,064,983

439,284,626

$51,153

$84

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2022:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

38.V1

5.00

%

Quarterly

6/20/2027

3.73

%

USD

58,350,000

$

(2,714,837)

$

(591,366)

$

(3,306,203)

$

(2,714,837)

$

(591,366)

$

(3,306,203)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

38

6/2022

USD

$

8,608,425

$

537,565

537,565

Short

Contracts

S&P

500

E-Mini

Index

(56)

6/2022

USD

(12,686,100)

(725,314)

S&P

500

E-Mini

Index

(105)

6/2022

USD

(23,786,438)

1,133

U.S.

Treasury

10

Year

Note

(53)

6/2022

USD

(6,505,750)

103,377

U.S.

Treasury

5

Year

Note

(940)

6/2022

USD

(107,659,375)

2,402,195

1,781,391

$

2,318,956

43

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

3,062,964

USD

2,412,417

CITI

6/15/2022

$

37,208

CAD

3,062,957

USD

2,412,415

JPMC

6/15/2022

37,205

USD

67,422

CAD

84,159

CITI

6/15/2022

115

USD

1,769,736

EUR

1,569,761

CITI

6/15/2022

28,269

USD

1,509,724

EUR

1,335,839

JPMC

6/15/2022

27,767

Total

unrealized

appreciation

130,564

USD

21,783,705

CAD

27,689,236

CITI

6/15/2022

(360,941)

USD

13,252,639

CAD

16,850,045

JPMC

6/15/2022

(223,294)

USD

948,513

EUR

861,300

CITI

6/15/2022

(6,998)

USD

33,766

EUR

30,508

JPMC

6/15/2022

(79)

Total

unrealized

depreciation

(591,312)

Net

unrealized

depreciation

$

(460,748)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-32

months

maturity

ranging

from

01/25/2023

-

07/11/2024

$269,957

$(3,374)

$(13,737)

$(17,111)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/16/2027

$1,388,937

$(9,921)

$4,279

$(5,642)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

07/03/2023

$229,944

$4,359

$(43)

$4,316

44

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.02%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43

months

maturity

06/25/2025

$412,172,808

$(28,515,804)

$12,556,729

$(15,959,075)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Canada

Canadian

Solar,

Inc.,

2.50%,

10/1/2025

3,450,000

4,114,125

189,988

(1.2)

Hong

Kong

Seaspan

Corp.,

3.75%,

12/15/2025

5,725,000

7,170,696

172,531

(1.1)

United

States

1Life

Healthcare,

Inc.,

3.00%,

6/15/2025

6,925,000

6,037,344

(1,513,266)

9.5

Alteryx

,

Inc.,

1.00%,

8/1/2026

3,610,000

3,162,377

(615,473)

3.9

American

Airlines

Group,

Inc.,

6.50%,

7/1/2025

12,675,000

17,544,231

(810,044)

5.1

Artivion

,

Inc.,

4.25%,

7/1/2025

2,950,000

3,467,921

388,026

(2.4)

Atlas

Air

Worldwide

Holdings,

Inc.,

2.25%,

6/1/2022

4,050,000

4,659,442

133,409

(0.8)

Bandwidth,

Inc.,

0.50%,

4/1/2028

9,255,000

6,089,790

(2,090,029)

13.1

Blackline,

Inc.,

0.00%,

3/15/2026

9,550,000

8,069,750

(978,875)

6.1

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

6,154,650

(1,075,125)

6.7

Ceridian

HCM

Holding,

Inc.,

0.25%,

3/15/2026

7,523,000

6,560,925

(825,616)

5.2

Chegg

,

Inc.,

0.00%,

9/1/2026

12,745,000

10,412,665

(4,014,279)

25.2

CNX

Resources

Corp.,

2.25%,

5/1/2026

14,080,000

24,511,666

6,574,816

(41.2)

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

7,594,095

(1,229,755)

7.7

Dropbox,

Inc.,

0.00%,

3/1/2028

5,500,000

5,182,100

(958,650)

6.0

Dropbox,

Inc.,

0.00%,

3/1/2026

5,450,000

5,084,850

(778,260)

4.9

Evolent

Health,

Inc.,

3.50%,

12/1/2024

3,300,000

6,059,244

1,289,526

(8.1)

Evolent

Health,

Inc.,

1.50%,

10/15/2025

4,514,000

5,349,189

594,335

(3.7)

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

10,419,893

(856,063)

5.4

GEO

Corrections

Holdings,

Inc.,

6.50%,

2/23/2026

8,500,000

8,440,292

121,323

(0.8)

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

6,992,098

(710,898)

4.5

Inotiv

,

Inc.,

3.25%,

10/15/2027

4,750,000

4,582,830

(937,468)

5.9

Ionis

Pharmaceuticals,

Inc.,

0.00%,

4/1/2026

9,400,000

8,742,933

(231,247)

1.4

Ironwood

Pharmaceuticals,

Inc.,

1.50%,

6/15/2026

5,400,000

6,387,710

(128,875)

0.8

MACOM

Technology

Solutions

Holdings,

Inc.,

0.25%,

3/15/2026

11,950,000

12,138,099

(348,743)

2.2

Magnite

,

Inc.,

0.25%,

3/15/2026

7,450,000

5,887,204

(593,938)

3.7

MannKind

Corp.,

2.50%,

3/1/2026

3,125,000

3,083,297

(586,994)

3.7

Oak

Street

Health,

Inc.,

0.00%,

3/15/2026

10,250,000

8,097,500

(1,885,283)

11.8

Opendoor

Technologies,

Inc.,

0.25%,

8/15/2026

6,750,000

5,253,598

(399,184)

2.5

PetIQ

,

Inc.,

4.00%,

6/1/2026

2,975,000

3,577,948

(686,780)

4.3

PROS

Holdings,

Inc.,

2.25%,

9/15/2027

5,425,000

5,737,151

(1,069,661)

6.7

Redfin

Corp.,

0.00%,

10/15/2025

8,050,000

5,931,844

(2,234,881)

14.0

RingCentral,

Inc.,

0.00%,

3/15/2026

4,475,000

3,660,550

(671,698)

4.2

Splunk

,

Inc.,

1.13%,

6/15/2027

5,725,000

5,486,308

(815,054)

5.1

45

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Spotify

USA,

Inc.,

0.00%,

3/15/2026

9,000,000

7,669,179

(610,821)

3.8

Stride,

Inc.,

1.13%,

9/1/2027

10,600,000

10,525,246

703,126

(4.4)

Twitter,

Inc.,

0.00%,

3/15/2026

9,475,000

7,954,262

(762,738)

4.8

Vonage

Holdings

Corp.,

1.75%,

6/1/2024

11,600,000

15,304,081

(245,489)

1.5

Wayfair,

Inc.,

0.63%,

10/1/2025

13,000,000

10,713,625

(3,102,545)

19.4

WisdomTree

Investments,

Inc.,

4.25%,

6/15/2023

4,400,000

5,070,970

724,395

(4.5)

SHARES

Short

Positions

Common

Stocks

Canada

Atlas

Corp.

(268,580)

(3,942,754)

(10,540)

0.1

United

States

American

Airlines

Group,

Inc.

(528,009)

(9,636,164)

(565,495)

3.5

CNX

Resources

Corp.

(855,315)

(17,722,127)

(5,074,170)

31.8

Evolent

Health,

Inc.

(230,542)

(7,446,507)

(1,218,379)

7.6

Exact

Sciences

Corp.

(64,235)

(4,491,311)

314,637

(2.0)

GEO

Group,

Inc.

(The)

(539,023)

(3,562,942)

425,419

(2.7)

Green

Plains,

Inc.

(122,200)

(3,789,422)

411,079

(2.6)

Ironwood

Pharmaceuticals,

Inc.

(250,395)

(3,149,969)

(26,100)

0.2

MACOM

Technology

Solutions

Holdings,

Inc.

(74,648)

(4,469,176)

474,374

(3.0)

Stride,

Inc.

(109,874)

(3,991,722)

(312,201)

2.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-60

months

maturity

ranging

from

11/12/2026

-

02/17/2027

$17,231,468

$454,657

$18,586

$473,243

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Crown

Resorts

Ltd.

1,254,642

11,947,595

324,987

68.7

Link

Administration

Holdings

Ltd.

991,146

3,816,837

68,396

14.5

46

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Newcrest

Mining

Ltd.

(72,599)

(1,467,036)

61,274

12.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

54-56

months

maturity

ranging

from

08/05/2026

-

09/30/2026

$22,845,728

$(296,126)

$(6,673)

$(302,799)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Kingdom

Brewin

Dolphin

Holdings

plc

21,429

143,781

(342)

0.1

Meggitt

plc

1,380,487

13,737,879

63,867

(21.1)

Ultra

Electronics

Holdings

plc

105,880

4,600,359

179,451

(59.3)

United

States

Avast

plc

586,894

4,363,709

(539,102)

178.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

09/06/2024

-

03/31/2027

$34,133,442

$(2,379,947)

$1,823,480

$(556,467)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

47

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Splunk

,

Inc.

416

61,822

2,292

(0.4)

PRINCIPAL

Convertible

Bonds

United

States

Akamai

Technologies,

Inc.,

0.38%,

9/1/2027

8,025,000

9,228,536

240,980

(43.3)

DISH

Network

Corp.,

3.38%,

8/15/2026

3,975,000

3,592,189

(123,936)

22.3

LivePerson

,

Inc.,

0.00%,

12/15/2026

3,655,000

2,896,869

(865,870)

155.6

Tabula

Rasa

HealthCare,

Inc.,

1.75%,

2/15/2026

9,050,000

6,712,679

(2,486,476)

446.8

Wayfair,

Inc.,

1.00%,

8/15/2026

3,575,000

3,818,969

675,253

(121.3)

SHARES

Short

Positions

Common

Stocks

United

States

Akamai

Technologies,

Inc.

(45,375)

(5,417,321)

(283,407)

50.9

DISH

Network

Corp.

(19,982)

(632,430)

(6,236)

1.1

LivePerson

,

Inc.

(12,246)

(299,047)

(2,828)

0.5

Tabula

Rasa

HealthCare,

Inc.

(1,786)

(10,287)

323

(0.1)

Wayfair,

Inc.

(13,209)

(1,463,293)

469,958

(84.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.10%

to

0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

10/16/2025

-

03/12/2027

$204,200,709

$685,086

$(1,341,375)

$(656,289)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Accelerate

Acquisition

Corp.

232,414

2,268,361

30,214

(4.6)

Acropolis

Infrastructure

Acquisition

Corp.

420,999

4,087,900

16,840

(2.6)

Aequi

Acquisition

Corp.

321,000

3,155,430

(4,050)

0.6

AF

Acquisition

Corp.

278,582

2,716,174

36,216

(5.5)

Altitude

Acquisition

Corp.

192,600

1,916,370

(71,262)

10.9

Atlantic

Coastal

Acquisition

Corp.

404,654

3,953,470

56,652

(8.6)

Big

Sky

Growth

Partners,

Inc.

332,484

3,231,744

4,987

(0.8)

Bilander

Acquisition

Corp.

241,664

2,336,891

12,083

(1.8)

Black

Mountain

Acquisition

Corp.

245,032

2,433,168

2,450

(0.4)

48

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Build

Acquisition

Corp.

305,000

2,970,700

24,400

(3.7)

Cascade

Acquisition

Corp.

206,500

2,081,520

33,040

(5.0)

Concord

Acquisition

Corp.

II

286,392

2,772,275

11,456

(1.7)

Concord

Acquisition

Corp.

III

430,468

4,270,243

–

0.0

Conyers

Park

III

Acquisition

Corp.

196,419

1,915,085

(29,463)

4.5

Corner

Growth

Acquisition

Corp.

181,200

1,779,384

(23,556)

3.6

DPCM

Capital,

Inc.

214,298

2,119,407

(64,289)

9.8

East

Resources

Acquisition

Co.

338,000

3,352,960

60,840

(9.3)

EG

Acquisition

Corp.

366,998

3,574,561

3,670

(0.6)

Epiphany

Technology

Acquisition

Corp.

196,248

1,927,155

23,550

(3.6)

Forum

Merger

IV

Corp.

233,634

2,282,604

9,345

(1.4)

FTAC

Zeus

Acquisition

Corp.

255,030

2,512,046

17,852

(2.7)

GigInternational1,

Inc.

299,000

2,987,010

56,810

(8.7)

GO

Acquisition

Corp.

219,598

2,174,020

(65,879)

10.0

Golden

Arrow

Merger

Corp.

382,886

3,740,796

7,658

(1.2)

Graf

Acquisition

Corp.

IV

365,000

3,540,500

(21,900)

3.3

GX

Acquisition

Corp.

II

412,998

4,022,601

33,040

(5.0)

Healthwell

Acquisition

Corp.

I

279,200

2,694,280

13,960

(2.1)

Hennessy

Capital

Investment

Corp.

VI

697,470

6,765,459

69,747

(10.6)

IG

Acquisition

Corp.

265,000

2,612,900

5,300

(0.8)

IRON

SPARK

I,

Inc.

289,000

2,887,110

17,340

(2.6)

Kadem

Sustainable

Impact

Corp.

303,094

2,952,136

36,371

(5.5)

Khosla

Ventures

Acquisition

Co.

III

250,500

2,447,385

(26,605)

4.1

Landcadia

Holdings

IV,

Inc.

329,046

3,231,232

39,485

(6.0)

Lionheart

Acquisition

Corp.

II

241,860

2,454,879

106,418

(16.2)

Logistics

Innovation

Technologies

Corp.

245,571

2,396,773

27,013

(4.1)

M3-Brigade

Acquisition

II

Corp.

1,225,099

11,969,217

49,004

(7.5)

M3-Brigade

Acquisition

III

Corp.

449,013

4,472,169

22,451

(3.4)

Marblegate

Acquisition

Corp.

1,146,775

11,295,734

17,202

(2.6)

Nabors

Energy

Transition

Corp.

254,188

2,531,712

2,542

(0.4)

Omnichannel

Acquisition

Corp.

371,000

3,698,870

14,840

(2.3)

Osiris

Acquisition

Corp.

408,000

3,965,760

36,720

(5.6)

Pine

Island

Acquisition

Corp.

185,620

1,824,645

(102,091)

15.6

Pine

Technology

Acquisition

Corp.

639,999

6,271,990

92,800

(14.1)

PMV

Consumer

Acquisition

Corp.

200,000

1,976,000

(8,000)

1.2

Property

Solutions

Acquisition

Corp.

II

296,400

2,898,792

24,640

(3.8)

Stratim

Cloud

Acquisition

Corp.

444,000

4,333,440

53,280

(8.1)

Tech

and

Energy

Transition

Corp.

367,499

3,588,628

27,562

(4.2)

Thunder

Bridge

Capital

Partners

IV,

Inc.

322,000

3,181,360

51,520

(7.9)

Tribe

Capital

Growth

Corp.

I

255,552

2,489,076

2,555

(0.4)

Williams

Rowland

Acquisition

Corp.

231,666

2,309,710

2,317

(0.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.12%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

10/23/2025

-

03/31/2027

$857,363,652

$5,606,853

$917,493

$6,524,346

49

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

51job,

Inc.,

ADR

113,347

6,636,467

(1,071,423)

(16.4)

Atotech

Ltd.

458,352

10,060,826

(1,216,332)

(18.6)

Israel

Tower

Semiconductor

Ltd.

324,366

15,699,314

459,650

7.0

Sweden

Veoneer

,

Inc.

421,855

15,587,542

875,922

13.4

United

States

Activision

Blizzard,

Inc.

328,126

26,286,174

(121,898)

(1.9)

Alleghany

Corp.

9,473

8,023,631

26,988

0.4

American

National

Group,

Inc.

34,952

6,609,074

(1,521)

(0.0)

Anaplan,

Inc.

274,222

17,838,141

98,640

1.5

Bottomline

Technologies

DE,

Inc.

334,032

18,932,934

129,376

2.0

Cerner

Corp.

369,199

34,542,258

562,079

8.6

Change

Healthcare,

Inc.

802,252

17,489,094

(480,181)

(7.4)

Citrix

Systems,

Inc.

197,961

19,974,265

(215,250)

(3.3)

CMC

Materials,

Inc.

147,057

27,264,368

(217,817)

(3.3)

Coherent,

Inc.

69,946

19,120,439

2,979,000

45.7

Cornerstone

Building

Brands,

Inc.

518,978

12,621,545

56,893

0.9

First

Horizon

Corp.

1,396,884

32,812,805

(115,599)

(1.8)

Flagstar

Bancorp,

Inc.

336,516

14,268,278

(1,339,951)

(20.5)

GCP

Applied

Technologies,

Inc.

206,427

6,485,936

24,578

0.4

Healthcare

Trust

of

America,

Inc.

604,607

18,948,383

352,129

5.4

Houghton

Mifflin

Harcourt

Co.

746,230

15,678,292

101,424

1.6

Investors

Bancorp,

Inc.

1,616,981

24,141,526

604,411

9.3

LHC

Group,

Inc.

44,231

7,457,347

69,589

1.1

Mandiant

Corp.

1,340,329

29,902,740

483,180

7.4

Meritor,

Inc.

375,670

13,362,582

(3,005)

(0.0)

MGM

Growth

Properties

LLC

312,825

12,106,328

(155,455)

(2.4)

Mimecast

Ltd.

229,328

18,245,336

87,992

1.3

MoneyGram

International,

Inc.

1,240,687

13,101,655

(157,436)

(2.4)

NeoPhotonics

Corp.

448,941

6,828,393

(100,467)

(1.5)

Ortho

Clinical

Diagnostics

Holdings

plc

701,362

13,087,415

79,625

1.2

People's

United

Financial,

Inc.

1,429,217

28,570,048

1,497,114

22.9

PNM

Resources,

Inc.

351,382

16,750,380

(349,068)

(5.4)

Rogers

Corp.

57,781

15,699,098

93,170

1.4

Sanderson

Farms,

Inc.

114,042

21,381,735

(134,243)

(2.1)

South

Jersey

Industries,

Inc.

337,312

11,654,130

241,413

3.7

SPX

FLOW,

Inc.

123,590

10,655,930

90,864

1.4

TEGNA,

Inc.

796,600

17,843,840

(155,279)

(2.4)

Tenneco,

Inc.

509,434

9,332,831

(469,723)

(7.2)

Umpqua

Holdings

Corp.

446,632

8,423,480

(282,612)

(4.3)

US

Ecology,

Inc.

146,318

7,005,706

118,948

1.8

Welbilt

,

Inc.

1,053,024

25,009,320

1,423,695

21.8

Zynga,

Inc.

2,719,978

25,132,597

657,493

10.1

50

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Citizens

Financial

Group,

Inc.

(480,244)

(21,769,461)

(120,329)

(1.8)

Columbia

Banking

System,

Inc.

(266,103)

(8,587,144)

260,000

4.0

Entegris

,

Inc.

(66,264)

(8,697,813)

65,335

1.0

Healthcare

Realty

Trust,

Inc.

(604,607)

(16,614,600)

(194,987)

(3.0)

M&T

Bank

Corp.

(168,647)

(28,585,666)

(975,870)

(15.0)

New

York

Community

Bancorp,

Inc.

(1,351,145)

(14,484,274)

1,767,553

27.1

Quidel

Corp.

(73,994)

(8,321,365)

10,804

0.2

Take-Two

Interactive

Software,

Inc.

(69,861)

(10,740,430)

126,265

1.9

VICI

Properties,

Inc.

(427,079)

(12,154,668)

307,559

4.7

51

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

(a)

For

the

period

ended

March

31,

2022,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(c)

Represents

less

than

0.05%

of

net

assets.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

74.0%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

801,128

9,613,530

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

1,522,240

12,497,590

AQR

Macro

Opportunities

Fund,

Class

R6

(a)

641,544

6,409,020

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

821,669

6,409,020

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

1,590,024

12,497,590

TOTAL

ALTERNATIVE

FUNDS

(Cost

$44,715,961)

47,426,750

ASSET

ALLOCATION

FUNDS

-

24.0%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$14,417,796)

1,477,584

15,381,649

TOTAL

INVESTMENT

COMPANIES

(Cost

$59,133,757)

62,808,399

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

2.0%

INVESTMENT

COMPANIES

-

2.0%

Limited

Purpose

Cash

Investment

Fund,

0.18%

(b)

(Cost

$1,269,531)

1,269,968

1,269,333

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.0%

(Cost

$60,403,288)

64,077,732

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.0%

(c)

9,314

NET

ASSETS

-

100.0%

64,087,046

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

12,497,590

19.5

%

Global

Flex

Allocation

15,381,649

24.0

Global

Macro

6,409,020

10.0

Multi-Strategy

12,497,590

19.5

Relative

Value

Arbitrage

9,613,530

15.0

Systematic

Trend

6,409,020

10.0

Short-Term

Investments

1,269,333

2.0

Total

Investments

In

Securities

At

Value

64,077,732

100.0

Other

Assets

in

Excess

of

Liabilities

9,314

0.0(

c

)

Net

Assets

$

64,087,046

100.0%

Affiliate

Value

At

12/31/2021

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2022

Shares

Held

At

3/31/2022

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

74.0%

AQR

Diversified

Arbitrage

Fund

$

5,060,167

$

4,569,165

$

(3,936)

$

(145)

$

(11,721)

$

9,613,530

801,128

$

–

$

–

AQR

Equity

Market

Neutral

Fund

5,060,167

6,962,224

(5,117)

(214)

480,530

12,497,590

1,522,240

–

–

AQR

Macro

Opportunities

Fund

3,719,726

2,888,822

(701,534)

(5,983)

507,989

6,409,020

641,544

–

–

AQR

Managed

Futures

Strategy

HV

Fund

3,719,726

2,888,822

(1,514,497)

9,375

1,305,594

6,409,020

821,669

–

–

AQR

Style

Premia

Alternative

Fund

4,389,946

7,824,958

(5,117)

(203)

288,006

12,497,590

1,590,024

–

–

2,830

2,570,398

47,426,750

–

–

ASSET

ALLOCATION

FUNDS

-

24.0%

AQR

Multi-Asset

Fund

10,891,089

7,358,379

(2,769,369)

(82,011)

(16,439)

15,381,649

1,477,584

–

–

TOTAL

$(79,181)

$2,553,959

$62,808,399

$–

$–

All

securities

are

Level

1

with

respect

to

ASC

820.

52

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

the

annual/semi-annual

reports

for

the

AQR

Funds

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

is

filed

with

the

Securities

and

Exchange

Commission.

53

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

102.1%

COMMON

STOCKS

-

5.2%

Italy

-

4.7%

Atlantia

SpA

*(a)

7,279

151,349

Azimut

Holding

SpA

(a)

9,325

216,187

Banco

BPM

SpA

68,186

200,853

Buzzi

Unicem

SpA

28,306

523,807

Davide

Campari-Milano

NV

12,568

145,777

Enel

SpA

(a)

3,333

22,254

Eni

SpA

(a)

40,377

588,827

Hera

SpA

79,645

293,424

Italgas

SpA

53,981

346,313

Leonardo

SpA

*(a)

50,074

497,594

Mediobanca

Banca

di

Credito

Finanziario

SpA

(a)

20,776

209,952

Pirelli

&

C

SpA

(b)

49,587

269,059

Poste

Italiane

SpA

(b)

30,965

351,162

Prysmian

SpA

(a)

5,246

178,029

Recordati

Industria

Chimica

e

Farmaceutica

SpA

2,551

127,906

Salvatore

Ferragamo

SpA

*

671

12,638

UniCredit

SpA

51,557

556,184

Unipol

Gruppo

SpA

78,729

431,827

5,123,142

—

Spain

-

0.0%

(c)

Enagas

SA

(a)

988

21,940

United

States

-

0.5%

Stellantis

NV

36,945

598,120

TOTAL

COMMON

STOCKS

(Cost

$5,666,024)

5,743,202

SHORT-TERM

INVESTMENTS

-

96.9%

INVESTMENT

COMPANIES

-

50.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(d)(e)

3,341,907

3,341,907

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(d)

53,086,530

53,059,986

TOTAL

INVESTMENT

COMPANIES

(Cost

$56,400,739)

56,401,893

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.1%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(f)

$

2,173,000

2,172,947

0.06%,

4/28/2022

(f)

2,063,000

2,062,836

0.07%,

5/12/2022

(f)

443,000

442,903

0.07%,

5/19/2022

(f)(g)

4,141,000

4,139,624

0.13%,

6/16/2022

(f)(g)

117,000

116,898

0.16%,

6/23/2022

(f)(g)

1,767,000

1,765,101

0.37%,

7/21/2022

(f)(g)

2,709,000

2,703,487

0.38%,

7/28/2022

(f)(g)

617,000

615,473

0.49%,

8/4/2022

(f)(g)

2,551,000

2,543,935

0.71%,

8/25/2022

(f)(g)

14,893,000

14,838,851

0.82%,

9/15/2022

(f)(g)

12,625,000

12,570,446

0.87%,

9/22/2022

(f)(g)

2,629,000

2,616,950

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

46.1%

(continued)

1.06%,

9/29/2022

(f)

$

4,674,000

4,650,340

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$51,266,034)

51,239,791

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$107,666,773)

107,641,684

TOTAL

LONG

POSITIONS

(Cost

$113,332,797)

113,384,886

SHARES

SHORT

POSITIONS

-

(5.1)%

COMMON

STOCKS

-

(5.1)%

Italy

-

(4.6)%

A2A

SpA

(46,905)

(80,338)

Amplifon

SpA

(2,639)

(117,448)

Assicurazioni

Generali

SpA

(18,708)

(427,892)

Banca

Generali

SpA

(11,684)

(432,309)

Brembo

SpA

(8,897)

(99,047)

DiaSorin

SpA

(1,231)

(192,274)

Ferrari

NV

(2,253)

(490,838)

FinecoBank

Banca

Fineco

SpA

(46,035)

(698,355)

Infrastrutture

Wireless

Italiane

SpA

(b)

(25,932)

(290,289)

Interpump

Group

SpA

(3,209)

(160,802)

Intesa

Sanpaolo

SpA

(310,190)

(709,953)

Moncler

SpA

(1,062)

(58,922)

Nexi

SpA

*(b)

(46,627)

(538,062)

Reply

SpA

(54)

(8,872)

Snam

SpA

(58,900)

(339,650)

Terna

-

Rete

Elettrica

Nazionale

(57,363)

(492,592)

(5,137,643)

—

United

Kingdom

-

(0.4)%

CNH

Industrial

NV

(25,133)

(395,864)

United

States

-

(0.1)%

Tenaris

SA

(10,438)

(156,790)

TOTAL

COMMON

STOCKS

(Proceeds

$(6,035,639))

(5,690,297)

TOTAL

SHORT

POSITIONS

(Proceeds

$(6,035,639))

(5,690,297)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.0%

(Cost

$107,297,158)

107,694,589

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.0%

(h)

3,336,725

NET

ASSETS

-

100.0%

111,031,314

54

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(290,289)

(0.2)

%

Consumer

Discretionary

231,012

0.2

Consumer

Staples

145,777

0.1

Energy

432,037

0.4

Financials

(302,345)

(0.3)

Health

Care

(181,817)

(0.2)

Industrials

270,306

0.3

Information

Technology

(546,934)

(0.5)

Materials

523,807

0.5

Utilities

(228,649)

(0.2)

Short-Term

Investments

107,641,684

96.9

Total

Investments

In

Securities

At

Value

107,694,589

97.0

Other

Assets

in

Excess

of

Liabilities

(h

)

3,336,725

3.0

Net

Assets

$

111,031,314

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$1,810,655.

In

addition,

$4,479,081

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$(208,130),

which

represents

approximately

(0.19)%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

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

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

17

6/2022

USD

$

3,851,138

$

240,917

$

240,917

55

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

150,500

USD

165,882

CITI

6/15/2022

$

1,081

EUR

150,500

USD

165,882

JPMC

6/15/2022

1,080

SEK

252

USD

26

CITI

6/15/2022

–

SEK

249

USD

26

JPMC

6/15/2022

–

USD

305

DKK

2,000

CITI

6/15/2022

7

USD

305

DKK

2,000

JPMC

6/15/2022

7

USD

352,796

EUR

310,502

CITI

6/15/2022

8,331

USD

352,791

EUR

310,498

JPMC

6/15/2022

8,330

USD

25,628

HKD

200,000

CITI

6/15/2022

69

USD

25,628

HKD

200,000

JPMC

6/15/2022

69

Total

unrealized

appreciation

18,974

CHF

500

USD

545

CITI

6/15/2022

(3)

CHF

500

USD

545

JPMC

6/15/2022

(3)

EUR

119,502

USD

135,043

CITI

6/15/2022

(2,468)

EUR

119,498

USD

135,038

JPMC

6/15/2022

(2,468)

SEK

251

USD

27

CITI

6/15/2022

–

SEK

248

USD

27

JPMC

6/15/2022

–

SGD

193,500

USD

143,336

CITI

6/15/2022

(571)

SGD

193,500

USD

143,336

JPMC

6/15/2022

(571)

USD

118

CAD

150

CITI

6/15/2022

(2)

USD

113

CAD

144

JPMC

6/15/2022

(2)

USD

552

EUR

500

CITI

6/15/2022

(2)

USD

552

EUR

500

JPMC

6/15/2022

(2)

USD

168

NOK

1,501

CITI

6/15/2022

(2)

USD

168

NOK

1,499

JPMC

6/15/2022

(2)

Total

unrealized

depreciation

(6,096)

Net

unrealized

appreciation

$

12,878

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60

months

maturity

02/25/2027

$145,871

$10,782

$350

$11,132

56

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.95%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/23/2025

-

03/30/2027

$13,672,392

$(109,471)

$(2,974)

$(112,445)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

7,881

357,494

(7,689)

6.8

Baloise

Holding

AG

(Registered)

1,263

225,568

7,623

(6.8)

Barry

Callebaut

AG

(Registered)

196

459,513

6,358

(5.7)

Belimo

Holding

AG

(Registered)

272

144,057

5,740

(5.1)

BKW

AG

1,250

156,565

4,199

(3.7)

Bucher

Industries

AG

(Registered)

691

279,309

(3,812)

3.4

Chocoladefabriken

Lindt

&

Spruengli

AG

2

23,804

1,143

(1.0)

Clariant

AG

(Registered)

3,397

58,948

(341)

0.3

DKSH

Holding

AG

3,489

293,851

(5,994)

5.3

dormakaba

Holding

AG

437

224,145

(10,549)

9.4

Galenica

AG

5,271

405,795

16,431

(14.6)

Geberit

AG

(Registered)

420

258,912

(9,157)

8.1

Georg

Fischer

AG

(Registered)

89

106,343

(3,666)

3.3

Helvetia

Holding

AG

(Registered)

126

16,450

207

(0.2)

Julius

Baer

Group

Ltd.

6,823

395,014

7,917

(7.0)

Kuehne

+

Nagel

International

AG

(Registered)

1,153

327,370

(30,413)

27.0

Lonza

Group

AG

(Registered)

415

300,711

2,860

(2.5)

Novartis

AG

(Registered)

7,645

671,166

4,190

(3.7)

OC

Oerlikon

Corp.

AG

(Registered)

20,556

163,810

(3,844)

3.4

Partners

Group

Holding

AG

139

172,110

(7,578)

6.7

Schindler

Holding

AG

928

198,843

(9,937)

8.8

Stadler

Rail

AG

362

14,048

(126)

0.1

Straumann

Holding

AG

(Registered)

67

106,978

4,651

(4.1)

Swatch

Group

AG

(The)

887

251,486

4,550

(4.0)

Swiss

Life

Holding

AG

(Registered)

164

105,092

1,628

(1.4)

Swisscom

AG

(Registered)

36

21,629

(51)

0.0

Tecan

Group

AG

(Registered)

262

103,579

8,490

(7.6)

Temenos

AG

(Registered)

5,651

543,568

(5,514)

4.9

UBS

Group

AG

(Registered)

10,280

200,885

10,806

(9.6)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(15,176)

(232,299)

(11,176)

9.9

57

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

ABB

Ltd.

(Registered)

(2,843)

(92,229)

8,664

(7.7)

Alcon,

Inc.

(2,156)

(170,811)

(3,528)

3.1

Bachem

Holding

AG

(Registered)

(758)

(417,160)

46,047

(41.0)

Cie

Financiere

Richemont

SA

(1,341)

(169,978)

(1,106)

1.0

Dufry

AG

(Registered)

(15,267)

(642,401)

(23,306)

20.7

EMS-Chemie

Holding

AG

(Registered)

(295)

(286,682)

(6,880)

6.1

Flughafen

Zurich

AG

(Registered)

(1,670)

(299,743)

(7,034)

6.3

Givaudan

SA

(Registered)

(241)

(996,038)

(6,062)

5.4

Holcim

Ltd.

(3,299)

(160,453)

4,990

(4.4)

Idorsia

Ltd.

(22,253)

(444,536)

(29,471)

26.2

Logitech

International

SA

(Registered)

(2,757)

(204,934)

(1,458)

1.3

Nestle

SA

(Registered)

(5,693)

(740,196)

(7,529)

6.7

Roche

Holding

AG

(672)

(265,885)

(4,224)

3.8

SGS

SA

(Registered)

(46)

(127,887)

4,852

(4.3)

SIG

Combibloc

Group

AG

(28,002)

(705,927)

(36,323)

32.3

Sika

AG

(Registered)

(1,510)

(499,589)

7,472

(6.6)

Sonova

Holding

AG

(Registered)

(645)

(269,441)

(22,354)

19.9

VAT

Group

AG

(224)

(85,286)

(2,383)

2.1

Zurich

Insurance

Group

AG

(218)

(107,670)

(3,587)

3.2

United

States

Swiss

Re

AG

(1,592)

(151,549)

(3,652)

3.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/24/2025

-

03/17/2027

$5,464,561

$(7,448)

$(4,625)

$(12,073)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

245

736,216

(88,836)

735.8

Carlsberg

A/S

3,116

382,525

4,104

(34.0)

Demant

A/S

4,303

194,732

9,261

(76.7)

Genmab

A/S

1,102

397,991

4,145

(34.3)

H

Lundbeck

A/S

6,965

160,481

(6,193)

51.3

ISS

A/S

19,277

342,582

7,339

(60.8)

Novo

Nordisk

A/S

700

77,641

1,255

(10.4)

Pandora

A/S

3,546

337,807

2,081

(17.2)

Royal

Unibrew

A/S

959

89,595

(3,711)

30.7

58

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(10,766)

(158,488)

5,693

(47.2)

Chr

Hansen

Holding

A/S

(424)

(31,133)

(53)

0.4

Coloplast

A/S

(160)

(24,230)

(644)

5.3

DSV

A/S

(278)

(53,280)

1,670

(13.8)

GN

Store

Nord

A/S

(2,162)

(105,973)

780

(6.5)

Novozymes

A/S

(6,663)

(456,843)

(19,303)

159.9

Orsted

A/S

(2,788)

(348,978)

(9,564)

79.2

ROCKWOOL

International

A/S

(895)

(295,448)

28,557

(236.5)

SimCorp

A/S

(2,549)

(186,920)

20,809

(172.4)

Tryg

A/S

(13,613)

(330,996)

(11,986)

99.3

Vestas

Wind

Systems

A/S

(25,659)

(752,702)

47,148

(390.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-4.55%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/23/2025

-

03/30/2027

$20,823,112

$110,251

$(23,521)

$86,730

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

7,550

381,677

4,045

4.7

Etablissements

Franz

Colruyt

NV

6,055

250,643

6,647

7.7

Proximus

SADP

17,655

328,761

(7,131)

(8.2)

Umicore

SA

6,027

260,531

8,569

9.9

Finland

Nokia

OYJ

50,035

275,544

8,304

9.6

Nokian

Renkaat

OYJ

30,451

494,214

(110,321)

(127.2)

Wartsila

OYJ

Abp

14,860

135,685

(34,213)

(39.4)

Luxembourg

ArcelorMittal

SA

15,979

511,873

386

0.4

Netherlands

Aegon

NV

57,287

303,686

29,084

33.5

ASML

Holding

NV

458

306,046

7,690

8.9

ASR

Nederland

NV

10,935

510,511

10,862

12.5

Koninklijke

Ahold

Delhaize

NV

17,798

572,482

7,189

8.3

NN

Group

NV

13,698

694,198

25,887

29.8

OCI

NV

10,656

376,205

41,542

47.9

59

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acerinox

SA

44,191

484,036

(12,666)

(14.6)

Banco

de

Sabadell

SA

571,022

466,614

(5,036)

(5.8)

Banco

Santander

SA

120,913

411,096

(9,030)

(10.4)

Enagas

SA

9,824

218,155

771

0.9

Endesa

SA

26,434

576,357

33,129

38.2

Industria

de

Diseno

Textil

SA

14,519

316,587

(21,443)

(24.7)

Mapfre

SA

137,576

287,755

5,555

6.4

Red

Electrica

Corp.

SA

14,325

294,107

17,737

20.5

Repsol

SA

65,359

856,151

25,143

29.0

Telefonica

SA

163,347

791,622

34,439

39.7

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(5,490)

(328,237)

(425)

(0.5)

Elia

Group

SA/NV

(2,119)

(323,298)

(15,510)

(17.9)

China

Prosus

NV

(10,837)

(584,416)

28,828

33.2

Finland

Huhtamaki

OYJ

(7,404)

(257,573)

(1,497)

(1.7)

Kone

OYJ

(3,468)

(181,481)

12,626

14.6

Orion

OYJ

(6,334)

(287,670)

4,998

5.8

UPM-Kymmene

OYJ

(10,169)

(332,069)

5,709

6.6

Luxembourg

APERAM

SA

(4,674)

(206,576)

18,158

20.9

Netherlands

Adyen

NV

(146)

(289,181)

1,887

2.2

Argenx

SE

(1,766)

(552,531)

(22,540)

(26.0)

ASM

International

NV

(841)

(306,235)

(12,352)

(14.2)

BE

Semiconductor

Industries

NV

(2,032)

(173,214)

(3,358)

(3.9)

Heineken

NV

(2,986)

(285,551)

(2,030)

(2.3)

IMCD

NV

(1,336)

(227,912)

(2,890)

(3.3)

Koninklijke

Vopak

NV

(4,113)

(133,074)

(3,852)

(4.4)

SBM

Offshore

NV

(9,483)

(150,330)

(1,502)

(1.7)

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(14,074)

(379,427)

4,283

4.9

Aena

SME

SA

(3,058)

(509,770)

(30,624)

(35.3)

Amadeus

IT

Group

SA

(9,216)

(599,207)

(33,703)

(38.9)

Banco

Bilbao

Vizcaya

Argentaria

SA

(68,162)

(389,200)

9,814

11.3

Bankinter

SA

(42,813)

(250,849)

2,638

3.0

CaixaBank

SA

(183,547)

(622,570)

28,806

33.2

Cellnex

Telecom

SA

(18,350)

(883,083)

(8,134)

(9.4)

Ferrovial

SA

(15,991)

(425,278)

30,172

34.8

Naturgy

Energy

Group

SA

(12,349)

(369,970)

(36,371)

(41.9)

Siemens

Gamesa

Renewable

Energy

SA

(19,452)

(341,173)

48,154

55.5

60

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/24/2025

-

03/31/2027

$3,137,660

$67,889

$720

$68,609

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

5,589

279,498

2,183

3.2

Norway

Equinor

ASA

9,926

370,604

35,343

51.5

Leroy

Seafood

Group

ASA

21,252

194,939

10,248

14.9

Mowi

ASA

5,625

151,515

8,104

11.8

Norsk

Hydro

ASA

34,464

334,848

4,697

6.8

Orkla

ASA

29,802

264,776

835

1.2

Telenor

ASA

12,535

179,871

(8,398)

(12.2)

TOMRA

Systems

ASA

170

8,672

16

0.0

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(3,374)

(226,306)

(4,842)

(7.1)

France

Adevinta

ASA

(32,447)

(296,215)

58,943

85.9

Norway

Gjensidige

Forsikring

ASA

(4,003)

(99,263)

1,219

1.8

Salmar

ASA

(6,675)

(527,653)

(33,502)

(48.8)

Schibsted

ASA

(1,347)

(33,200)

5,243

7.6

United

Kingdom

Subsea

7

SA

(18,330)

(170,300)

(12,200)

(17.8)

61

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/23/2025

-

03/17/2027

$11,326,355

$18,952

$19,302

$38,254

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Atlas

Copco

AB

659

34,206

(2,090)

(5.5)

BillerudKorsnas

AB

25,279

374,609

19,117

50.0

Boliden

AB

3,440

173,532

11,069

28.9

Electrolux

AB

5,943

89,932

(8,173)

(21.4)

Elekta

AB

14,009

110,333

(4,678)

(12.2)

Getinge

AB

7,576

301,820

3,600

9.4

H

&

M

Hennes

&

Mauritz

AB

22,594

303,384

(30,425)

(79.5)

Husqvarna

AB

6,826

71,207

(8,018)

(21.0)

Indutrade

AB

2,735

68,783

4,408

11.5

Lifco

AB

476

12,084

(20)

(0.1)

Nibe

Industrier

AB

665

7,371

195

0.5

Saab

AB

9,672

349,349

(10,792)

(28.2)

Securitas

AB

42,233

476,444

(35,066)

(91.7)

Skanska

AB

11,826

264,574

(25,625)

(67.0)

SKF

AB

12,624

205,846

(16,610)

(43.4)

SSAB

AB

65,702

437,481

36,494

95.4

SSAB

AB

41,664

289,495

3,511

9.2

Svenska

Handelsbanken

AB

42,135

387,450

(32,651)

(85.4)

Swedbank

AB

10,102

150,880

(11,411)

(29.8)

Swedish

Match

AB

12,970

97,535

388

1.0

Swedish

Orphan

Biovitrum

AB

5,873

139,036

12,950

33.9

Telefonaktiebolaget

LM

Ericsson

69,632

634,734

9,800

25.6

Telia

Co.

AB

130,411

522,911

5,617

14.7

Trelleborg

AB

12,866

297,879

40,513

105.9

Volvo

AB

3,906

72,868

(3,706)

(9.7)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(2,213)

(56,181)

(1,473)

(3.9)

Finland

Nordea

Bank

Abp

(32,095)

(330,321)

27,562

72.0

Sweden

AAK

AB

(10,633)

(197,059)

(4,007)

(10.5)

Alfa

Laval

AB

(7,168)

(246,561)

(3,162)

(8.3)

Assa

Abloy

AB

(9,698)

(260,678)

13,001

34.0

62

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Axfood

AB

(577)

(18,791)

(2,167)

(5.7)

Beijer

Ref

AB

(18,558)

(336,113)

(13,316)

(34.8)

Embracer

Group

AB

(33,239)

(277,451)

(13,216)

(34.5)

Epiroc

AB

(17,283)

(369,664)

19,260

50.3

EQT

AB

(12,157)

(474,102)

(33,467)

(87.5)

Essity

AB

(11,094)

(261,808)

10,223

26.7

Evolution

AB

(553)

(56,259)

4,601

12.0

Hexagon

AB

(52,246)

(732,008)

765

2.0

Hexpol

AB

(5,625)

(54,904)

4,546

11.9

Holmen

AB

(10,260)

(572,698)

5,802

15.2

Sandvik

AB

(12,029)

(255,530)

21,041

55.0

Sinch

AB

(18,561)

(125,889)

28,973

75.7

Skandinaviska

Enskilda

Banken

AB

(15,222)

(164,563)

9,154

23.9

Svenska

Cellulosa

AB

SCA

(13,078)

(253,944)

(5,152)

(13.5)

Sweco

AB

(15,179)

(220,682)

5,253

13.7

Tele2

AB

(12,398)

(187,406)

(13,666)

(35.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-2.24%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

04/25/2022

-

04/25/2023

$20,256,902

$(94,212)

$(275,738)

$(369,950)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

15,430

206,614

(9,125)

2.5

Atco

Ltd.

11,915

409,160

6,299

(1.7)

Canadian

Tire

Corp.

Ltd.

2,214

334,292

4,172

(1.1)

Capital

Power

Corp.

8,891

289,527

1,412

(0.4)

CGI,

Inc.

2,711

215,965

(1,478)

0.4

Empire

Co.

Ltd.

6,631

235,187

6,417

(1.7)

Fairfax

Financial

Holdings

Ltd.

1,184

645,941

29,406

(7.9)

Finning

International,

Inc.

11,276

339,502

(4,057)

1.1

iA

Financial

Corp.,

Inc.

3,197

194,380

1,049

(0.3)

Imperial

Oil

Ltd.

8,277

400,559

10,539

(2.8)

Kinross

Gold

Corp.

50,736

297,886

7,744

(2.1)

Loblaw

Cos.

Ltd.

3,661

328,513

7,930

(2.1)

Magna

International,

Inc.

4,208

270,155

3,519

(1.0)

Manulife

Financial

Corp.

22,245

474,384

5,693

(1.5)

Onex

Corp.

4,391

294,267

(1,115)

0.3

Quebecor,

Inc.

9,917

236,393

4,367

(1.2)

63

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

SNC-Lavalin

Group,

Inc.

11,208

269,856

2,057

(0.6)

Suncor

Energy,

Inc.

15,817

514,940

(21,590)

5.8

Toromont

Industries

Ltd.

2,639

250,168

8,297

(2.2)

West

Fraser

Timber

Co.

Ltd.

3,279

269,790

(13,057)

3.5

Whitecap

Resources,

Inc.

26,475

218,975

(10,579)

2.9

Chile

Lundin

Mining

Corp.

24,891

252,265

(5,973)

1.6

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(6,991)

(332,452)

3,945

(1.1)

Canada

Agnico

Eagle

Mines

Ltd.

(3,641)

(222,802)

2,313

(0.6)

Air

Canada

(16,961)

(329,004)

(6,098)

1.6

Algonquin

Power

&

Utilities

Corp.

(19,886)

(308,435)

(2,379)

0.6

Ballard

Power

Systems,

Inc.

(50,013)

(582,081)

4,822

(1.3)

BCE,

Inc.

(7,839)

(434,542)

(8,651)

2.3

Boralex,

Inc.

(9,105)

(295,112)

(22,219)

6.0

Brookfield

Asset

Management,

Inc.

(7,978)

(451,054)

1,167

(0.3)

CAE,

Inc.

(14,373)

(374,113)

(9,427)

2.5

Cameco

Corp.

(9,606)

(279,770)

(4,397)

1.2

Canadian

Pacific

Railway

Ltd.

(4,090)

(337,564)

453

(0.1)

Dollarama,

Inc.

(5,281)

(299,502)

(14,258)

3.9

Element

Fleet

Management

Corp.

(23,248)

(225,014)

(184)

0.0

Emera,

Inc.

(5,139)

(254,740)

(6,004)

1.6

Fortis,

Inc.

(3,930)

(194,370)

(4,717)

1.3

Franco-Nevada

Corp.

(1,930)

(307,126)

(3,049)

0.8

GFL

Environmental,

Inc.

(6,818)

(221,749)

(11,046)

3.0

Innergex

Renewable

Energy,

Inc.

(18,137)

(288,416)

(5,522)

1.5

Lightspeed

Commerce,

Inc.

(6,428)

(196,056)

(10,023)

2.7

Metro,

Inc.

(5,199)

(299,260)

(6,818)

1.8

Restaurant

Brands

International,

Inc.

(3,507)

(204,896)

(4,716)

1.3

Rogers

Communications,

Inc.

(6,719)

(380,304)

(14,357)

3.9

Royal

Bank

of

Canada

(2,803)

(308,607)

8,162

(2.2)

Saputo,

Inc.

(9,716)

(230,125)

(2,330)

0.6

Shopify,

Inc.

(327)

(221,148)

346

(0.1)

TC

Energy

Corp.

(4,041)

(227,917)

6,018

(1.6)

United

States

Brookfield

Renewable

Corp.

(6,440)

(281,265)

(15,661)

4.2

Zambia

First

Quantum

Minerals

Ltd.

(5,954)

(206,127)

(3,723)

1.0

64

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.50%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

08/25/2023

-

03/25/2024

$2,803,474

$26,113

$23,263

$49,376

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

560,316

629,249

25,609

51.9

Singapore

Genting

Singapore

Ltd.

427,319

255,404

(3,152)

(6.4)

Oversea-Chinese

Banking

Corp.

Ltd.

37,100

336,566

(1,508)

(3.1)

Singapore

Technologies

Engineering

Ltd.

100,294

303,796

(3,306)

(6.7)

Short

Positions

Common

Stocks

China

Wilmar

International

Ltd.

(45,900)

(158,962)

4,278

8.7

Singapore

City

Developments

Ltd.

(38,638)

(223,355)

(2,125)

(4.3)

DBS

Group

Holdings

Ltd.

(15,735)

(412,292)

1,055

2.1

Keppel

Corp.

Ltd.

(29,300)

(138,157)

2,361

4.8

Singapore

Telecommunications

Ltd.

(87,100)

(169,126)

1,175

2.4

United

Overseas

Bank

Ltd.

(2,700)

(63,175)

877

1.8

UOL

Group

Ltd.

(21,900)

(113,392)

849

1.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-0.68%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-24

months

maturity

07/20/2023

$11,537,984

$15,762

$41,944

$57,706

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

65

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

16,756

166,386

4,269

7.4

Ampol

Ltd.

6,304

143,213

3,249

5.6

Aristocrat

Leisure

Ltd.

7,566

205,356

(9,158)

(15.9)

Aurizon

Holdings

Ltd.

168,520

463,202

11,541

20.0

Australia

&

New

Zealand

Banking

Group

Ltd.

5,722

117,250

(638)

(1.1)

BlueScope

Steel

Ltd.

44,399

690,409

29,922

51.9

Brambles

Ltd.

31,014

228,872

1,016

1.8

Coles

Group

Ltd.

12,880

172,147

797

1.4

Harvey

Norman

Holdings

Ltd.

40,799

162,585

(4,684)

(8.1)

Incitec

Pivot

Ltd.

150,372

425,661

10,311

17.9

JB

Hi-Fi

Ltd.

11,580

468,066

37,597

65.2

Magellan

Financial

Group

Ltd.

12,883

152,407

4,946

8.6

Origin

Energy

Ltd.

28,186

131,198

9,057

15.7

QBE

Insurance

Group

Ltd.

18,082

155,059

7,054

12.2

Qube

Holdings

Ltd.

25,035

58,340

1,945

3.4

Ramsay

Health

Care

Ltd.

1,405

68,045

944

1.6

Sonic

Healthcare

Ltd.

15,889

419,505

6,675

11.6

South32

Ltd.

105,657

401,632

25,885

44.9

Suncorp

Group

Ltd.

34,244

283,872

(326)

(0.6)

Telstra

Corp.

Ltd.

173,063

511,308

(184)

(0.3)

Treasury

Wine

Estates

Ltd.

8,969

77,475

(2,787)

(4.8)

Short

Positions

Common

Stocks

Australia

APA

Group

(41,337)

(328,540)

(15,890)

(27.5)

Cochlear

Ltd.

(2,003)

(334,423)

1,996

3.5

Commonwealth

Bank

of

Australia

(2,456)

(193,416)

1,676

2.9

CSL

Ltd.

(1,219)

(243,364)

3,420

5.9

Domino's

Pizza

Enterprises

Ltd.

(3,001)

(195,347)

(6,707)

(11.6)

Evolution

Mining

Ltd.

(77,485)

(255,740)

2,241

3.9

IDP

Education

Ltd.

(13,471)

(315,276)

(11,080)

(19.2)

IGO

Ltd.

(8,866)

(92,678)

(13,716)

(23.8)

Insurance

Australia

Group

Ltd.

(73,286)

(239,849)

11,373

19.7

Lendlease

Corp.

Ltd.

(14,588)

(121,605)

(4,431)

(7.7)

Lynas

Rare

Earths

Ltd.

(30,108)

(240,034)

(21,343)

(37.0)

Macquarie

Group

Ltd.

(1,831)

(276,910)

(14,355)

(24.9)

National

Australia

Bank

Ltd.

(6,296)

(151,575)

(4,879)

(8.5)

Newcrest

Mining

Ltd.

(3,034)

(61,309)

(1,920)

(3.3)

NEXTDC

Ltd.

(14,213)

(122,446)

(7,181)

(12.4)

Northern

Star

Resources

Ltd.

(16,198)

(130,681)

(3,438)

(6.0)

Orica

Ltd.

(10,229)

(121,704)

(4,446)

(7.7)

OZ

Minerals

Ltd.

(11,807)

(235,466)

(13,086)

(22.7)

Pilbara

Minerals

Ltd.

(77,185)

(182,352)

(26,309)

(45.6)

Pro

Medicus

Ltd.

(7,300)

(264,456)

(12,839)

(22.2)

Qantas

Airways

Ltd.

(71,164)

(275,164)

(1,523)

(2.6)

REA

Group

Ltd.

(1,278)

(128,119)

7,432

12.9

Reece

Ltd.

(9,437)

(132,869)

5,604

9.7

SEEK

Ltd.

(11,182)

(246,256)

10,551

18.3

Transurban

Group

(7,431)

(75,082)

(1,633)

(2.8)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(12,338)

(263,161)

(24,540)

(42.5)

Westpac

Banking

Corp.

(4,112)

(74,290)

(1,293)

(2.2)

WiseTech

Global

Ltd.

(2,665)

(100,307)

544

0.9

66

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

New

Zealand

Xero

Ltd.

(791)

(59,948)

(877)

(1.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

17-24

months

maturity

08/21/2023

$29,669,177

$(351,871)

$13,624

$(338,247)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Amundi

SA

5,121

350,178

(6,942)

2.1

Atos

SE

20,714

565,627

(76,072)

22.5

Bouygues

SA

15,536

542,270

(24,103)

7.1

Capgemini

SE

1,208

268,059

13,076

(3.9)

Cie

de

Saint-Gobain

8,571

509,978

(39,896)

11.8

Eiffage

SA

2,747

281,931

(1,769)

0.5

Eutelsat

Communications

SA

28,759

312,406

7,153

(2.1)

Ipsen

SA

2,883

360,879

20,630

(6.1)

La

Francaise

des

Jeux

SAEM

9,310

369,352

(7,699)

2.3

Orange

SA

54,972

650,940

1,231

(0.4)

Publicis

Groupe

SA

4,646

281,983

(15,076)

4.5

Renault

SA

9,740

254,604

2,410

(0.7)

Rubis

SCA

10,635

312,593

(3,285)

1.0

Sodexo

SA

4,984

405,578

(3,012)

0.9

Vinci

SA

2,521

257,577

(2,760)

0.8

Germany

Bayerische

Motoren

Werke

AG

4,004

346,016

6,331

(1.9)

Covestro

AG

7,784

391,966

(16,351)

4.8

Deutsche

Bank

AG

(Registered)

51,887

653,475

27,672

(8.2)

Deutsche

Post

AG

(Registered)

10,918

521,355

(39,465)

11.7

GEA

Group

AG

7,841

321,382

(16,842)

5.0

Henkel

AG

&

Co.

KGaA

4,685

313,575

(21,310)

6.3

ProSiebenSat.1

Media

SE

35,597

453,424

(34,871)

10.3

Uniper

SE

10,059

259,866

(18,253)

5.4

Luxembourg

Eurofins

Scientific

SE

3,480

344,251

(3,944)

1.2

Singapore

STMicroelectronics

NV

11,254

489,144

19,595

(5.8)

67

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Accor

SA

(11,364)

(366,140)

(10,397)

3.1

Aeroports

de

Paris

(3,658)

(547,011)

(32,704)

9.7

Air

Liquide

SA

(4,602)

(805,092)

(28,421)

8.4

Alstom

SA

(18,470)

(432,177)

(3,609)

1.1

Cie

Generale

des

Etablissements

Michelin

SCA

(2,236)

(303,013)

(608)

0.2

EssilorLuxottica

SA

(2,268)

(414,796)

(1,431)

0.4

L'Oreal

SA

(1,501)

(599,567)

(481)

0.1

Pernod

Ricard

SA

(1,424)

(312,869)

(17,158)

5.1

Remy

Cointreau

SA

(1,520)

(313,465)

(11,988)

3.5

Safran

SA

(3,805)

(447,984)

1,687

(0.5)

SOITEC

(1,524)

(285,879)

(14,854)

4.4

Valeo

(14,114)

(260,699)

(14,050)

4.2

Germany

adidas

AG

(1,470)

(342,548)

2,516

(0.7)

Allianz

SE

(Registered)

(1,738)

(415,049)

(4,941)

1.5

Carl

Zeiss

Meditec

AG

(1,608)

(259,012)

10,478

(3.1)

CTS

Eventim

AG

&

Co.

KGaA

(4,337)

(294,558)

(14,220)

4.2

Deutsche

Telekom

AG

(Registered)

(27,490)

(511,977)

2,497

(0.7)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(6,654)

(445,890)

4,807

(1.4)

Hannover

Rueck

SE

(3,030)

(514,731)

(11,517)

3.4

LANXESS

AG

(9,242)

(405,707)

22,908

(6.8)

Rational

AG

(383)

(263,781)

22,102

(6.5)

RWE

AG

(7,821)

(340,546)

(17,198)

5.1

Siemens

AG

(Registered)

(2,571)

(356,000)

26,650

(7.9)

Saudi

Arabia

Delivery

Hero

SE

(12,223)

(532,725)

33,078

(9.8)

United

States

Schneider

Electric

SE

(5,403)

(907,112)

6,822

(2.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-4.50%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-24

months

maturity

07/19/2023

$24,348,798

$(547,375)

$92,572

$(454,803)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

8,662

692,497

55,959

(12.3)

68

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

Coca-Cola

HBC

AG

10,893

227,184

(18,770)

4.1

Netherlands

Shell

plc

12,837

351,846

20,558

(4.5)

South

Africa

Anglo

American

plc

4,187

217,566

16,679

(3.7)

United

Kingdom

Barclays

plc

136,680

264,951

(43,274)

9.5

Barratt

Developments

plc

42,957

292,443

(23,949)

5.3

BP

plc

79,363

389,068

5,507

(1.2)

British

American

Tobacco

plc

6,475

271,932

6,259

(1.4)

Centrica

plc

382,171

399,771

6,248

(1.4)

DCC

plc

5,619

435,102

1,098

(0.2)

Direct

Line

Insurance

Group

plc

78,126

281,517

(6,403)

1.4

Howden

Joinery

Group

plc

32,564

326,455

(19,581)

4.3

Imperial

Brands

plc

19,354

407,687

3,786

(0.8)

Inchcape

plc

25,529

223,383

(15,087)

3.3

Intertek

Group

plc

3,439

234,601

2,281

(0.5)

Johnson

Matthey

plc

10,430

255,083

(4,507)

1.0

Kingfisher

plc

112,661

376,023

(43,209)

9.5

Lloyds

Banking

Group

plc

552,639

336,539

(11,859)

2.6

M&G

plc

85,319

245,832

3,346

(0.7)

Man

Group

plc

81,474

248,629

9,616

(2.1)

Marks

&

Spencer

Group

plc

118,838

239,858

(14,243)

3.1

Persimmon

plc

9,067

254,251

(16,932)

3.7

Royal

Mail

plc

141,007

605,858

(67,482)

14.8

Sage

Group

plc

(The)

28,706

263,024

1,236

(0.3)

Smith

&

Nephew

plc

14,054

223,527

(8,667)

1.9

Spectris

plc

9,935

336,942

(12,412)

2.7

Unilever

plc

6,175

280,362

1,318

(0.3)

United

States

GlaxoSmithKline

plc

20,722

448,361

7,974

(1.8)

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(6,990)

(234,408)

3,918

(0.9)

AstraZeneca

plc

(8,552)

(1,134,107)

(60,041)

13.2

AVEVA

Group

plc

(20,567)

(656,923)

34,929

(7.7)

B&M

European

Value

Retail

SA

(36,954)

(258,541)

17,117

(3.8)

BT

Group

plc

(167,395)

(399,122)

(3,696)

0.8

Compass

Group

plc

(14,967)

(322,091)

11,477

(2.5)

Croda

International

plc

(3,164)

(325,486)

(17,511)

3.9

Experian

plc

(9,728)

(374,777)

13,383

(2.9)

Halma

plc

(8,757)

(286,504)

1,123

(0.2)

Hargreaves

Lansdown

plc

(18,655)

(245,888)

13,406

(2.9)

HSBC

Holdings

plc

(49,807)

(340,210)

(12,748)

2.8

Informa

plc

(67,437)

(528,370)

877

(0.2)

Ocado

Group

plc

(36,133)

(551,738)

(27,135)

6.0

Prudential

plc

(29,540)

(436,107)

(20,499)

4.5

Reckitt

Benckiser

Group

plc

(3,409)

(260,059)

311

(0.1)

Rentokil

Initial

plc

(53,587)

(369,133)

(11,748)

2.6

Rolls-Royce

Holdings

plc

(207,758)

(273,201)

(16,452)

3.6

Severn

Trent

plc

(15,972)

(643,740)

(28,929)

6.4

St

James's

Place

plc

(13,228)

(249,393)

3,988

(0.9)

Standard

Chartered

plc

(38,361)

(254,641)

(2,210)

0.5

United

Utilities

Group

plc

(21,133)

(311,194)

(12,439)

2.7

69

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Weir

Group

plc

(The)

(9,747)

(208,000)

29,411

(6.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-1.50%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-24

months

maturity

07/20/2023

$7,506,086

$34,447

$(1,725)

$32,722

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

18,500

69,612

2,021

6.2

SITC

International

Holdings

Co.

Ltd.

3,000

10,490

(973)

(3.0)

Hong

Kong

ASM

Pacific

Technology

Ltd.

28,200

283,902

(10,216)

(31.2)

Bank

of

East

Asia

Ltd.

(The)

36,200

56,564

276

0.8

CK

Asset

Holdings

Ltd.

29,728

203,204

10,241

31.3

CLP

Holdings

Ltd.

20,000

194,598

300

0.9

HKT

Trust

&

HKT

Ltd.

55,000

75,414

146

0.4

Hong

Kong

&

China

Gas

Co.

Ltd.

6,000

7,248

(1,501)

(4.6)

Kerry

Properties

Ltd.

28,000

78,879

418

1.3

Man

Wah

Holdings

Ltd.

142,400

154,038

(6,714)

(20.5)

New

World

Development

Co.

Ltd.

37,250

151,129

6,340

19.4

Sino

Land

Co.

Ltd.

98,000

126,362

260

0.8

Sun

Hung

Kai

Properties

Ltd.

53,500

636,515

417

1.3

Swire

Pacific

Ltd.

9,500

57,771

2,714

8.3

WH

Group

Ltd.

674,500

423,556

14,784

45.2

Xinyi

Glass

Holdings

Ltd.

61,000

146,258

(8,555)

(26.1)

Macau

Sands

China

Ltd.

22,800

54,241

1,910

5.8

United

Kingdom

CK

Hutchison

Holdings

Ltd.

118,000

862,864

34,407

105.1

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(170,700)

(450,758)

20,599

63.0

Chow

Tai

Fook

Jewellery

Group

Ltd.

(69,400)

(125,344)

3,121

9.5

ESR

Cayman

Ltd.

(116,200)

(360,091)

10,028

30.6

70

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

AIA

Group

Ltd.

(35,000)

(365,466)

(8,702)

(26.6)

Hang

Lung

Properties

Ltd.

(60,000)

(120,935)

(3,288)

(10.0)

Hang

Seng

Bank

Ltd.

(11,900)

(228,870)

(8,147)

(24.9)

Henderson

Land

Development

Co.

Ltd.

(19,000)

(78,869)

1,780

5.4

MTR

Corp.

Ltd.

(76,000)

(409,280)

(10,534)

(32.2)

Power

Assets

Holdings

Ltd.

(27,500)

(179,219)

(2,111)

(6.4)

Swire

Properties

Ltd.

(26,200)

(64,745)

1,881

5.7

Techtronic

Industries

Co.

Ltd.

(35,000)

(560,752)

31,280

95.6

Wharf

Real

Estate

Investment

Co.

Ltd.

(104,000)

(513,995)

(17,320)

(52.9)

Macau

Galaxy

Entertainment

Group

Ltd.

(40,000)

(236,695)

(16,634)

(50.8)

SJM

Holdings

Ltd.

(227,000)

(111,459)

(7,726)

(23.6)

Wynn

Macau

Ltd.

(147,600)

(106,963)

(6,055)

(18.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-18.00%

to

0.28%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-24

months

maturity

07/20/2023

$89,237,641

$(440,282)

$180,988

$(259,294)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

15,900

635,291

347

(0.1)

Aisin

Corp.

16,200

553,678

25,458

(9.8)

Iida

Group

Holdings

Co.

Ltd.

30,800

531,021

(20,478)

7.9

Japan

Post

Insurance

Co.

Ltd.

47,200

821,996

1,593

(0.6)

Japan

Tobacco,

Inc.

51,400

877,788

19,668

(7.6)

Kuraray

Co.

Ltd.

60,600

521,644

4,866

(1.9)

Mazda

Motor

Corp.

107,300

788,719

18,746

(7.2)

Mitsubishi

Electric

Corp.

64,200

736,300

8,481

(3.3)

Mitsubishi

HC

Capital,

Inc.

123,200

572,451

(2,941)

1.1

Mizuho

Financial

Group,

Inc.

119,130

1,519,547

(43,346)

16.7

Nabtesco

Corp.

23,300

615,180

16,857

(6.5)

NGK

Insulators

Ltd.

40,300

574,882

9,998

(3.9)

NIPPON

EXPRESS

HOLDINGS,

Inc.

11,300

776,319

(7,735)

3.0

Nitto

Denko

Corp.

7,200

516,154

22,225

(8.6)

Otsuka

Holdings

Co.

Ltd.

16,400

566,584

11,116

(4.3)

Rohm

Co.

Ltd.

7,700

597,828

26,747

(10.3)

Shimamura

Co.

Ltd.

8,100

719,919

(2,088)

0.8

Subaru

Corp.

34,600

549,552

19,239

(7.4)

Sumitomo

Heavy

Industries

Ltd.

22,800

522,483

(6,123)

2.4

71

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Taisei

Corp.

20,675

596,869

(20,455)

7.9

Tokyo

Electric

Power

Co.

Holdings,

Inc.

197,800

652,935

56,791

(21.9)

Yamada

Holdings

Co.

Ltd.

190,700

592,864

(28,872)

11.1

Yamato

Holdings

Co.

Ltd.

29,700

554,801

(882)

0.3

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(26,000)

(554,385)

16,473

(6.4)

Daiichi

Sankyo

Co.

Ltd.

(26,800)

(585,232)

(61,010)

23.5

Daikin

Industries

Ltd.

(3,800)

(690,095)

1,262

(0.5)

Denso

Corp.

(12,400)

(791,121)

(16,331)

6.3

East

Japan

Railway

Co.

(9,100)

(526,685)

(14,867)

5.7

Harmonic

Drive

Systems,

Inc.

(18,800)

(645,639)

(403)

0.2

Honda

Motor

Co.

Ltd.

(19,500)

(552,744)

(14,252)

5.5

ITOCHU

Corp.

(19,600)

(662,989)

(22,890)

8.8

JSR

Corp.

(21,300)

(627,241)

(24,877)

9.6

KDDI

Corp.

(16,900)

(554,094)

(3,345)

1.3

Kikkoman

Corp.

(9,800)

(649,116)

41,022

(15.8)

Kobe

Bussan

Co.

Ltd.

(17,100)

(526,248)

6,532

(2.5)

Lasertec

Corp.

(4,300)

(715,366)

(41,217)

15.9

Mitsubishi

Corp.

(17,500)

(656,718)

(45,971)

17.7

Mitsubishi

UFJ

Financial

Group,

Inc.

(142,500)

(880,812)

7,641

(2.9)

MonotaRO

Co.

Ltd.

(30,200)

(648,163)

(8,100)

3.1

Nexon

Co.

Ltd.

(24,100)

(576,562)

(16,736)

6.5

Nidec

Corp.

(10,500)

(829,322)

(2,767)

1.1

Nippon

Paint

Holdings

Co.

Ltd.

(78,400)

(686,889)

868

(0.3)

Nitori

Holdings

Co.

Ltd.

(5,000)

(629,064)

55,884

(21.6)

Oriental

Land

Co.

Ltd.

(4,200)

(803,902)

(8,721)

3.4

Rakuten

Group,

Inc.

(78,100)

(614,079)

(191)

0.1

Seven

&

i

Holdings

Co.

Ltd.

(13,400)

(638,875)

(27,025)

10.4

Sony

Group

Corp.

(6,800)

(699,555)

(14,426)

5.6

Tokio

Marine

Holdings,

Inc.

(12,800)

(744,874)

(13,599)

5.2

Toyota

Motor

Corp.

(81,600)

(1,471,901)

(106,977)

41.3

Yaskawa

Electric

Corp.

(23,600)

(919,809)

(11,351)

4.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-26.68%

to

1.00%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-23

months

maturity

ranging

from

07/20/2022

-

02/16/2024

$255,800,584

$(2,276,130)

$(486,789)

$(2,762,919)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

72

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alphabet,

Inc.

216

600,772

20,451

(0.7)

Arrow

Electronics,

Inc.

5,233

620,791

(41,602)

1.5

Booking

Holdings,

Inc.

253

594,158

46,850

(1.7)

Citigroup,

Inc.

15,668

836,671

(60,949)

2.2

Coca-Cola

Co.

(The)

15,777

978,174

29,794

(1.1)

Global

Payments,

Inc.

4,519

618,380

15,410

(0.6)

International

Paper

Co.

19,378

894,295

22,866

(0.8)

JPMorgan

Chase

&

Co.

4,247

578,951

(16,266)

0.6

KLA

Corp.

1,626

595,214

21,870

(0.8)

Kraft

Heinz

Co.

(The)

19,806

780,158

32,482

(1.2)

Live

Nation

Entertainment,

Inc.

4,992

587,259

31,336

(1.1)

Lockheed

Martin

Corp.

1,404

619,726

17,985

(0.7)

LyondellBasell

Industries

NV

6,100

627,202

(8,479)

0.3

Macy's,

Inc.

25,563

622,715

(76,433)

2.8

ManpowerGroup,

Inc.

7,274

683,174

(25,230)

0.9

Medtronic

plc

7,469

828,686

9,037

(0.3)

Meta

Platforms,

Inc.

3,294

732,454

40,487

(1.5)

Owens

Corning

7,806

714,249

(43,245)

1.6

Pfizer,

Inc.

18,770

971,723

(46,362)

1.7

SS&C

Technologies

Holdings,

Inc.

8,531

639,996

(29,176)

1.1

Texas

Roadhouse,

Inc.

13,541

1,133,788

18,537

(0.7)

Tyson

Foods,

Inc.

7,586

679,933

7,859

(0.3)

Ulta

Beauty,

Inc.

1,815

722,769

15,679

(0.6)

Walmart,

Inc.

12,210

1,818,313

47,741

(1.7)

Wells

Fargo

&

Co.

13,526

655,470

(40,849)

1.5

Short

Positions

Common

Stocks

United

States

Amgen,

Inc.

(2,439)

(589,799)

(14,477)

0.5

Amphenol

Corp.

(7,796)

(587,429)

4,444

(0.2)

Atmos

Energy

Corp.

(5,426)

(648,353)

(27,239)

1.0

Church

&

Dwight

Co.,

Inc.

(9,114)

(905,749)

(19,139)

0.7

Clarivate

plc

(35,079)

(587,924)

(35,781)

1.3

Commerce

Bancshares,

Inc.

(8,768)

(627,701)

4,559

(0.2)

First

Financial

Bankshares,

Inc.

(19,346)

(853,546)

38,305

(1.4)

GameStop

Corp.

(5,067)

(844,061)

(399,686)

14.5

Grocery

Outlet

Holding

Corp.

(22,342)

(732,371)

(44,461)

1.6

Hormel

Foods

Corp.

(22,897)

(1,180,111)

(42,130)

1.5

Illinois

Tool

Works,

Inc.

(3,943)

(825,664)

7,807

(0.3)

Insulet

Corp.

(2,682)

(714,458)

(48,598)

1.8

M&T

Bank

Corp.

(4,364)

(739,698)

41,898

(1.5)

McCormick

&

Co.,

Inc.

(Non-Voting)

(8,832)

(881,434)

(25,701)

0.9

NVIDIA

Corp.

(2,634)

(718,713)

(66,377)

2.4

Progressive

Corp.

(The)

(5,580)

(636,064)

(24,943)

0.9

Realty

Income

Corp.

(11,532)

(799,168)

(32,405)

1.2

Scotts

Miracle-Gro

Co.

(The)

(5,150)

(633,244)

35,896

(1.3)

STERIS

plc

(2,792)

(675,022)

(27,250)

1.0

Sysco

Corp.

(8,069)

(658,834)

(15,331)

0.6

TopBuild

Corp.

(3,460)

(627,609)

157,187

(5.7)

Webster

Financial

Corp.

(10,505)

(589,541)

16,388

(0.6)

Welltower,

Inc.

(8,225)

(790,752)

(33,969)

1.2

Williams

Cos.,

Inc.

(The)

(19,475)

(650,660)

(36,613)

1.3

73

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Wingstop,

Inc.

(6,120)

(718,182)

12,363

(0.4)

74

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

7

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

94.1%

INVESTMENT

COMPANIES

-

33.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(a)(b)

1,178,066

1,178,066

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(a)

126,385,945

126,322,753

TOTAL

INVESTMENT

COMPANIES

(Cost

$127,494,283)

127,500,819

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

60.9%

U.S.

Treasury

Bills

0.05%,

4/7/2022

(c)

$

1,487,000

1,486,964

0.06%,

4/21/2022

(c)(d)

4,319,000

4,318,706

0.06%,

4/28/2022

(c)(d)

37,047,000

37,044,048

0.09%,

6/2/2022

(c)(d)

12,028,000

12,021,237

0.11%,

6/9/2022

(c)(d)

25,916,000

25,897,373

0.13%,

6/16/2022

(c)

1,199,000

1,197,950

0.16%,

6/23/2022

(c)(d)

6,247,000

6,240,285

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

60.9%

(continued)

0.21%,

6/30/2022

(c)(d)

$

7,150,000

7,140,861

0.28%,

7/14/2022

(c)

15,982,000

15,953,952

0.37%,

7/21/2022

(c)(d)

30,202,000

30,140,539

0.52%,

8/4/2022

(c)(d)

42,732,000

42,613,645

0.77%,

8/18/2022

(c)(d)

2,368,000

2,360,289

0.71%,

8/25/2022

(c)(d)

19,922,000

19,849,567

0.67%,

9/1/2022

(c)(d)

5,398,000

5,377,089

0.70%,

9/8/2022

(c)(d)

3,054,000

3,041,560

0.82%,

9/15/2022

(c)(d)

12,583,000

12,528,627

0.87%,

9/22/2022

(c)(d)

6,980,000

6,948,006

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$234,308,712)

234,160,698

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$361,802,995)

361,661,517

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.1%

(Cost

$361,802,995)

361,661,517

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.9%

(e)

22,746,634

NET

ASSETS

-

100.0%

384,408,151

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2022

HKD

1,099,500

$

1,528

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/28/2022

HKD

4,398,000

7,009

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/17/2022

CHF

1,564,420

75,481

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/17/2022

CHF

2,647,480

134,592

75

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.13%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

AUD

2,754,472

$

128,379

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.77%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

CAD

1,783,758

26,996

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.80%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

EUR

957,356

59,391

MSCI

Germany

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

EUR

791,569

29,969

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

HKD

5,714,131

35,884

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.55%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

EUR

636,664

51,836

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(-0.61%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

JPY

1,014,146,383

835,751

76

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

EUR

1,663,893

$

135,371

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SORA

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

SGD

472,572

25,695

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

EUR

1,137,424

43,012

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-1.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

SEK

8,817,326

28,173

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

CHF

1,785,127

109,421

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

GBP

834,528

57,758

1,786,246

$

1,786,246

77

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

8

4/2022

EUR

$

1,281,498

$

92,419

CAC

40

10

Euro

Index

40

4/2022

EUR

2,945,944

125,515

IBEX

35

Index

10

4/2022

EUR

931,009

25,513

OMXS30

Index

37

4/2022

SEK

820,482

6,274

DAX

Index

3

6/2022

EUR

1,197,488

27,002

FTSE

100

Index

38

6/2022

GBP

3,736,914

225,572

S&P

500

E-Mini

Index

477

6/2022

USD

108,058,387

6,749,797

S&P/TSX

60

Index

21

6/2022

CAD

4,424,925

87,942

SPI

200

Index

10

6/2022

AUD

1,399,134

74,641

7,414,675

Short

Contracts

Hang

Seng

Index

(3)

4/2022

HKD

(421,087)

(5,211)

MSCI

Singapore

Index

(1)

4/2022

SGD

(24,706)

(493)

TOPIX

Index

(3)

6/2022

JPY

(479,670)

4,162

(1,542)

$

7,413,133

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,856,001

USD

2,072,020

CITI

6/15/2022

$

67,829

AUD

2,855,999

USD

2,072,021

JPMC

6/15/2022

67,826

CAD

4,429,708

USD

3,487,494

CITI

6/15/2022

55,193

CAD

4,429,702

USD

3,487,494

JPMC

6/15/2022

55,189

ILS

617,502

USD

191,668

CITI

6/15/2022

2,273

ILS

617,498

USD

191,667

JPMC

6/15/2022

2,272

NOK

1,565,759

USD

175,342

CITI

6/15/2022

2,423

NOK

1,565,756

USD

175,342

JPMC

6/15/2022

2,423

NZD

88,500

USD

59,189

CITI

6/15/2022

2,069

NZD

88,499

USD

59,188

JPMC

6/15/2022

2,069

SEK

4,294,001

USD

445,763

CITI

6/15/2022

11,786

SEK

4,294,001

USD

445,764

JPMC

6/15/2022

11,786

USD

213,293

CHF

194,500

CITI

6/15/2022

2,140

USD

213,293

CHF

194,500

JPMC

6/15/2022

2,139

USD

30,866

DKK

204,000

CITI

6/15/2022

442

USD

30,865

DKK

204,000

JPMC

6/15/2022

442

USD

287,217

EUR

255,000

CITI

6/15/2022

4,324

USD

287,216

EUR

255,000

JPMC

6/15/2022

4,324

USD

120,087

GBP

89,500

CITI

6/15/2022

2,550

USD

120,087

GBP

89,500

JPMC

6/15/2022

2,549

USD

173,496

HKD

1,355,000

CITI

6/15/2022

333

USD

173,495

HKD

1,355,000

JPMC

6/15/2022

332

USD

9,626

SEK

89,809

CITI

6/15/2022

56

USD

9,626

SEK

89,810

JPMC

6/15/2022

56

Total

unrealized

appreciation

302,825

CHF

2,739,291

USD

2,987,823

CITI

6/15/2022

(13,990)

CHF

2,739,291

USD

2,987,827

JPMC

6/15/2022

(13,993)

DKK

4,984,221

USD

761,004

CITI

6/15/2022

(17,680)

DKK

4,984,222

USD

761,005

JPMC

6/15/2022

(17,681)

78

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

8,045,946

USD

9,099,576

CITI

6/15/2022

$

(173,536)

EUR

8,045,934

USD

9,099,574

JPMC

6/15/2022

(173,548)

GBP

3,204,003

USD

4,301,641

CITI

6/15/2022

(93,915)

GBP

3,203,998

USD

4,301,640

JPMC

6/15/2022

(93,919)

HKD

7,070,000

USD

906,122

CITI

6/15/2022

(2,607)

HKD

7,070,000

USD

906,123

JPMC

6/15/2022

(2,608)

JPY

703,251,503

USD

6,116,024

CITI

6/15/2022

(328,079)

JPY

703,251,498

USD

6,116,032

JPMC

6/15/2022

(328,087)

NOK

130,000

USD

14,793

CITI

6/15/2022

(34)

NOK

130,000

USD

14,793

JPMC

6/15/2022

(34)

SEK

4,839,500

USD

518,860

CITI

6/15/2022

(3,185)

SEK

4,839,499

USD

518,861

JPMC

6/15/2022

(3,185)

SGD

812,359

USD

602,021

CITI

6/15/2022

(2,656)

SGD

812,356

USD

602,019

JPMC

6/15/2022

(2,657)

USD

80,784

AUD

111,000

CITI

6/15/2022

(2,383)

USD

80,783

AUD

111,000

JPMC

6/15/2022

(2,383)

USD

3,155

CAD

4,000

CITI

6/15/2022

(44)

USD

3,155

CAD

4,000

JPMC

6/15/2022

(44)

USD

6,073

NZD

9,000

CITI

6/15/2022

(157)

USD

6,073

NZD

9,000

JPMC

6/15/2022

(157)

USD

31,466

SEK

299,312

CITI

6/15/2022

(427)

USD

31,466

SEK

299,308

JPMC

6/15/2022

(427)

USD

19,905

SGD

27,000

CITI

6/15/2022

(16)

USD

19,904

SGD

27,000

JPMC

6/15/2022

(16)

Total

unrealized

depreciation

(1,277,448)

Net

unrealized

depreciation

$

(974,623)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.41%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

09/26/2022

-

05/25/2023

$112,744,886

$(504,967)

$2,614,404

$2,109,437

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Crocs,

Inc.

26,993

2,062,265

(44,269)

(2.1)

Dow,

Inc.

25,666

1,635,438

(25,153)

(1.2)

DuPont

de

Nemours,

Inc.

19,032

1,400,375

(66,802)

(3.2)

79

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

International

Paper

Co.

68,010

3,138,662

(11,562)

(0.5)

Lennar

Corp.

21,616

1,754,571

(34,802)

(1.6)

LyondellBasell

Industries

NV

22,476

2,310,982

(109,458)

(5.2)

Mattel,

Inc.

79,729

1,770,781

(55,810)

(2.6)

Mohawk

Industries,

Inc.

9,262

1,150,340

(67,798)

(3.2)

NIKE,

Inc.

12,858

1,730,172

11,058

0.5

Olin

Corp.

34,705

1,814,377

(2,429)

(0.1)

PulteGroup,

Inc.

33,737

1,413,580

(64,100)

(3.0)

Ralph

Lauren

Corp.

15,424

1,749,699

(61,696)

(2.9)

Toll

Brothers,

Inc.

36,108

1,697,798

(75,466)

(3.6)

Tri

Pointe

Homes,

Inc.

83,098

1,668,608

(73,957)

(3.5)

United

States

Steel

Corp.

28,559

1,077,817

(20,277)

(1.0)

Verizon

Communications,

Inc.

20,766

1,057,820

(7,060)

(0.3)

Walgreens

Boots

Alliance,

Inc.

23,708

1,061,407

(55,714)

(2.6)

Walmart,

Inc.

42,800

6,373,776

234,116

11.1

Westlake

Corp.

11,159

1,377,021

(42,404)

(2.0)

Westrock

Co.

35,801

1,683,721

(33,295)

(1.6)

Short

Positions

Common

Stocks

United

States

Air

Products

and

Chemicals,

Inc.

(4,511)

(1,127,344)

(15,112)

(0.7)

Albemarle

Corp.

(5,246)

(1,160,153)

(18,728)

(0.9)

Amcor

plc

(92,217)

(1,044,819)

922

0.0

AptarGroup,

Inc.

(9,353)

(1,098,978)

(2,432)

(0.1)

Ashland

Global

Holdings,

Inc.

(11,453)

(1,127,090)

1,031

0.0

Ball

Corp.

(18,251)

(1,642,590)

77,202

3.7

Cabot

Corp.

(20,142)

(1,377,914)

36,860

1.7

Costco

Wholesale

Corp.

(2,428)

(1,398,164)

(48,900)

(2.3)

Crown

Holdings,

Inc.

(12,262)

(1,533,854)

56,160

2.7

Ecolab,

Inc.

(6,302)

(1,112,681)

6,491

0.3

FMC

Corp.

(7,392)

(972,565)

36,812

1.7

Graphic

Packaging

Holding

Co.

(87,673)

(1,756,967)

10,521

0.5

Grocery

Outlet

Holding

Corp.

(74,949)

(2,456,828)

8,244

0.4

Hanesbrands,

Inc.

(62,389)

(928,972)

21,212

1.0

Helen

of

Troy

Ltd.

(7,667)

(1,501,505)

(5,060)

(0.2)

International

Flavors

&

Fragrances,

Inc.

(10,176)

(1,336,414)

(18,622)

(0.9)

Leggett

&

Platt,

Inc.

(28,487)

(991,348)

33,330

1.6

Lululemon

Athletica,

Inc.

(3,428)

(1,252,008)

(146,811)

(7.0)

Peloton

Interactive,

Inc.

(50,852)

(1,343,510)

101,704

4.8

Performance

Food

Group

Co.

(22,895)

(1,165,584)

23,811

1.1

RPM

International,

Inc.

(17,900)

(1,457,776)

(16,468)

(0.8)

Scotts

Miracle-Gro

Co.

(The)

(17,810)

(2,189,918)

43,278

2.1

Sherwin-Williams

Co.

(The)

(5,369)

(1,340,210)

(23,677)

(1.1)

Skechers

USA,

Inc.

(29,513)

(1,202,950)

(10,625)

(0.5)

Sprouts

Farmers

Market,

Inc.

(63,431)

(2,028,523)

55,185

2.6

Sysco

Corp.

(28,216)

(2,303,836)

(20,880)

(1.0)

T-Mobile

US,

Inc.

(7,946)

(1,019,869)

(32,261)

(1.5)

TopBuild

Corp.

(11,936)

(2,165,071)

114,586

5.4

Vulcan

Materials

Co.

(6,808)

(1,250,630)

6,876

0.3

Worthington

Industries,

Inc.

(19,781)

(1,016,941)

21,561

1.0

80

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.10%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$45,529,341

$45,778

$(155,580)

$(109,802)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

55,929

555,370

14,248

(13.0)

Ampol

Ltd.

24,995

567,832

12,882

(11.7)

Aristocrat

Leisure

Ltd.

27,211

738,561

(32,936)

30.0

Aurizon

Holdings

Ltd.

624,008

1,715,177

42,743

(38.9)

Australia

&

New

Zealand

Banking

Group

Ltd.

32,676

669,564

(3,643)

3.3

BlueScope

Steel

Ltd.

163,341

2,539,969

110,081

(100.3)

Brambles

Ltd.

106,422

785,356

3,488

(3.2)

Coles

Group

Ltd.

69,327

926,586

4,287

(3.9)

Harvey

Norman

Holdings

Ltd.

203,232

809,884

(23,334)

21.3

Incitec

Pivot

Ltd.

482,896

1,366,943

33,111

(30.2)

JB

Hi-Fi

Ltd.

44,085

1,781,924

143,133

(130.4)

Magellan

Financial

Group

Ltd.

46,643

551,789

18,172

(16.6)

Origin

Energy

Ltd.

103,868

483,477

33,375

(30.4)

QBE

Insurance

Group

Ltd.

77,584

665,307

30,671

(27.9)

Ramsay

Health

Care

Ltd.

5,608

271,599

3,767

(3.4)

Sonic

Healthcare

Ltd.

56,487

1,491,383

23,731

(21.6)

South32

Ltd.

388,716

1,477,618

95,232

(86.7)

Suncorp

Group

Ltd.

130,030

1,077,909

(1,238)

1.1

Tabcorp

Holdings

Ltd.

93,690

373,271

22,115

(20.1)

Telstra

Corp.

Ltd.

641,780

1,896,113

(417)

0.4

Woodside

Petroleum

Ltd.

20,527

493,293

23,875

(21.7)

Short

Positions

Common

Stocks

Australia

APA

Group

(145,371)

(1,155,386)

(55,880)

50.9

Cleanaway

Waste

Management

Ltd.

(102,666)

(235,489)

(11,166)

10.2

Cochlear

Ltd.

(6,363)

(1,062,373)

6,340

(5.8)

Commonwealth

Bank

of

Australia

(12,194)

(960,306)

8,320

(7.6)

CSL

Ltd.

(5,042)

(1,006,598)

14,147

(12.9)

Domino's

Pizza

Enterprises

Ltd.

(10,566)

(687,782)

(23,099)

21.0

Evolution

Mining

Ltd.

(283,781)

(936,622)

8,207

(7.5)

IDP

Education

Ltd.

(47,333)

(1,107,786)

(38,932)

35.5

IGO

Ltd.

(39,276)

(410,562)

(60,762)

55.3

Insurance

Australia

Group

Ltd.

(279,770)

(915,627)

43,417

(39.5)

Lendlease

Corp.

Ltd.

(53,788)

(448,373)

(16,839)

15.3

Lynas

Rare

Earths

Ltd.

(112,594)

(897,650)

(79,816)

72.7

81

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Macquarie

Group

Ltd.

(8,895)

(1,345,228)

(69,735)

63.5

National

Australia

Bank

Ltd.

(34,118)

(821,387)

(26,437)

24.1

NEXTDC

Ltd.

(39,873)

(343,510)

(20,146)

18.3

Northern

Star

Resources

Ltd.

(70,784)

(571,064)

(15,024)

13.7

Orica

Ltd.

(66,728)

(793,926)

(29,005)

26.4

OZ

Minerals

Ltd.

(37,476)

(747,381)

(42,106)

38.3

Pilbara

Minerals

Ltd.

(298,562)

(705,362)

(101,769)

92.7

Pro

Medicus

Ltd.

(23,160)

(839,013)

(40,733)

37.1

Qantas

Airways

Ltd.

(240,016)

(928,050)

(5,136)

4.7

REA

Group

Ltd.

(6,275)

(629,065)

36,490

(33.2)

Reece

Ltd.

(35,598)

(501,204)

21,140

(19.3)

SEEK

Ltd.

(36,870)

(811,972)

34,790

(31.7)

Transurban

Group

(113,105)

(1,142,808)

(24,001)

21.9

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(36,376)

(775,874)

(72,350)

65.9

WiseTech

Global

Ltd.

(11,914)

(448,428)

2,432

(2.2)

Woolworths

Group

Ltd.

(11,832)

(328,513)

(6,922)

6.3

New

Zealand

Xero

Ltd.

(3,913)

(296,557)

(4,336)

3.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.75%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$94,772,020

$(2,047,271)

$(683,743)

$(2,731,014)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

34,748

2,777,983

224,483

(8.2)

Netherlands

Shell

plc

40,258

1,103,420

64,471

(2.4)

South

Africa

Anglo

American

plc

14,720

764,886

58,636

(2.1)

United

Kingdom

abrdn

plc

332,755

931,746

20,921

(0.8)

Barclays

plc

636,612

1,234,057

(201,557)

7.4

Barratt

Developments

plc

142,698

971,461

(79,555)

2.9

BP

plc

256,160

1,255,794

17,775

(0.7)

British

American

Tobacco

plc

27,126

1,139,217

26,221

(1.0)

Centrica

plc

1,369,508

1,432,578

22,390

(0.8)

DCC

plc

22,100

1,711,292

4,138

(0.2)

Direct

Line

Insurance

Group

plc

232,979

839,510

(19,095)

0.7

82

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Howden

Joinery

Group

plc

90,914

911,416

(54,408)

2.0

Imperial

Brands

plc

78,264

1,648,611

15,310

(0.6)

Inchcape

plc

91,721

802,575

(54,203)

2.0

Kingfisher

plc

418,402

1,396,478

(161,181)

5.9

Lloyds

Banking

Group

plc

1,889,271

1,150,505

(40,543)

1.5

M&G

plc

406,840

1,172,241

15,957

(0.6)

Man

Group

plc

344,719

1,051,955

40,686

(1.5)

Marks

&

Spencer

Group

plc

424,977

857,757

(50,935)

1.9

Persimmon

plc

32,979

924,777

(61,585)

2.3

Royal

Mail

plc

506,461

2,176,085

(242,193)

8.9

Sage

Group

plc

(The)

143,138

1,311,529

6,163

(0.2)

Spectris

plc

35,158

1,192,370

(43,520)

1.6

SSE

plc

41,876

956,827

32,124

(1.2)

Unilever

plc

36,799

1,670,777

7,852

(0.3)

Vodafone

Group

plc

605,707

993,230

(9,149)

0.3

United

States

GlaxoSmithKline

plc

78,962

1,708,497

30,383

(1.1)

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(48,837)

(882,733)

(26,853)

1.0

Admiral

Group

plc

(28,931)

(970,195)

16,216

(0.6)

AstraZeneca

plc

(32,668)

(4,332,203)

(229,353)

8.4

AVEVA

Group

plc

(59,207)

(1,891,110)

100,553

(3.7)

B&M

European

Value

Retail

SA

(162,336)

(1,135,752)

75,196

(2.8)

BT

Group

plc

(679,104)

(1,619,194)

(14,994)

0.5

Compass

Group

plc

(47,941)

(1,031,695)

36,761

(1.3)

Croda

International

plc

(14,744)

(1,516,741)

(81,599)

3.0

Dechra

Pharmaceuticals

plc

(14,614)

(775,888)

34,501

(1.3)

Experian

plc

(32,840)

(1,265,182)

45,180

(1.7)

Halma

plc

(39,306)

(1,285,979)

5,042

(0.2)

Hargreaves

Lansdown

plc

(77,124)

(1,016,558)

55,423

(2.0)

Informa

plc

(270,332)

(2,118,056)

3,514

(0.1)

Ocado

Group

plc

(184,455)

(2,816,560)

(138,522)

5.1

Prudential

plc

(115,500)

(1,705,158)

(80,149)

2.9

Reckitt

Benckiser

Group

plc

(16,418)

(1,252,463)

1,499

(0.1)

Rentokil

Initial

plc

(223,750)

(1,541,297)

(49,053)

1.8

Rolls-Royce

Holdings

plc

(778,375)

(1,023,561)

(61,640)

2.3

Severn

Trent

plc

(65,916)

(2,656,696)

(119,387)

4.4

St

James's

Place

plc

(54,846)

(1,034,034)

16,535

(0.6)

Standard

Chartered

plc

(138,747)

(921,004)

(7,994)

0.3

United

Utilities

Group

plc

(126,585)

(1,864,030)

(74,510)

2.7

Whitbread

plc

(22,946)

(854,363)

(11,435)

0.4

83

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.15%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$25,237,664

$49,873

$(2,907)

$46,966

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

159,000

598,283

16,765

35.7

SITC

International

Holdings

Co.

Ltd.

31,000

108,398

(10,010)

(21.3)

Hong

Kong

ASM

Pacific

Technology

Ltd.

85,400

859,760

(31,544)

(67.2)

Bank

of

East

Asia

Ltd.

(The)

141,800

221,568

1,080

2.3

CK

Asset

Holdings

Ltd.

83,497

570,738

27,505

58.6

CLP

Holdings

Ltd.

74,000

720,012

1,112

2.4

Henderson

Land

Development

Co.

Ltd.

2,000

8,302

(187)

(0.4)

HKT

Trust

&

HKT

Ltd.

242,000

331,820

644

1.4

Hong

Kong

&

China

Gas

Co.

Ltd.

67,955

82,084

(16,999)

(36.2)

Kerry

Properties

Ltd.

96,000

270,441

1,433

3.1

Man

Wah

Holdings

Ltd.

547,600

592,356

(26,045)

(55.5)

New

World

Development

Co.

Ltd.

135,250

548,729

23,021

49.0

Sino

Land

Co.

Ltd.

392,000

505,449

1,039

2.2

Sun

Hung

Kai

Properties

Ltd.

150,500

1,790,571

687

1.5

Swire

Pacific

Ltd.

47,000

285,813

13,426

28.6

WH

Group

Ltd.

1,748,500

1,097,980

37,603

80.1

Xinyi

Glass

Holdings

Ltd.

206,000

493,919

(28,891)

(61.5)

Macau

Sands

China

Ltd.

79,200

188,415

6,635

14.1

United

Kingdom

CK

Hutchison

Holdings

Ltd.

400,500

2,928,620

116,779

248.6

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(635,200)

(1,677,337)

77,422

164.8

Chow

Tai

Fook

Jewellery

Group

Ltd.

(161,600)

(291,868)

7,267

15.5

ESR

Cayman

Ltd.

(375,800)

(1,164,564)

32,431

69.1

Hong

Kong

AIA

Group

Ltd.

(105,000)

(1,096,398)

(26,106)

(55.6)

Hang

Lung

Properties

Ltd.

(269,000)

(542,190)

(14,742)

(31.4)

Hang

Seng

Bank

Ltd.

(41,900)

(805,852)

(28,686)

(61.1)

MTR

Corp.

Ltd.

(279,026)

(1,502,629)

(38,673)

(82.3)

Power

Assets

Holdings

Ltd.

(51,000)

(332,370)

(3,914)

(8.3)

Swire

Properties

Ltd.

(65,000)

(160,628)

4,666

9.9

84

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Techtronic

Industries

Co.

Ltd.

(114,500)

(1,834,459)

102,329

217.9

Wharf

Real

Estate

Investment

Co.

Ltd.

(308,000)

(1,522,217)

(50,341)

(107.2)

Macau

Galaxy

Entertainment

Group

Ltd.

(141,000)

(834,351)

(58,635)

(124.8)

SJM

Holdings

Ltd.

(1,102,000)

(541,092)

(37,505)

(79.9)

Wynn

Macau

Ltd.

(1,005,200)

(728,451)

(49,693)

(105.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-0.25%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/10/2026

$320,980,138

$(1,421,771)

$1,054,368

$(367,403)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

54,700

2,185,559

1,186

(0.3)

Aisin

Corp.

61,800

2,112,178

97,117

(26.4)

Hino

Motors

Ltd.

316,200

1,848,452

(22,998)

6.3

Iida

Group

Holdings

Co.

Ltd.

115,300

1,987,881

(76,656)

20.9

Japan

Post

Insurance

Co.

Ltd.

167,700

2,920,523

5,661

(1.5)

Japan

Tobacco,

Inc.

173,800

2,968,084

66,559

(18.1)

Mazda

Motor

Corp.

372,700

2,739,567

65,114

(17.7)

Mitsubishi

Electric

Corp.

251,400

2,883,270

33,212

(9.0)

Mitsubishi

HC

Capital,

Inc.

412,000

1,914,365

(10,387)

2.8

Mizuho

Financial

Group,

Inc.

439,000

5,599,608

(159,733)

43.5

Nabtesco

Corp.

79,900

2,109,564

57,389

(15.6)

NIPPON

EXPRESS

HOLDINGS,

Inc.

38,600

2,651,850

(26,422)

7.2

Otsuka

Holdings

Co.

Ltd.

52,400

1,810,304

35,515

(9.7)

Rohm

Co.

Ltd.

26,400

2,049,696

91,703

(25.0)

Shimamura

Co.

Ltd.

30,700

2,728,581

(7,742)

2.1

Subaru

Corp.

124,000

1,969,491

68,950

(18.8)

Sumitomo

Heavy

Industries

Ltd.

79,100

1,812,648

(21,223)

5.8

Taisei

Corp.

73,900

2,133,427

(73,223)

19.9

Tokyo

Electric

Power

Co.

Holdings,

Inc.

697,800

2,303,428

200,348

(54.5)

Yamada

Holdings

Co.

Ltd.

668,200

2,077,357

(101,166)

27.5

Yamato

Holdings

Co.

Ltd.

107,300

2,004,382

(4,053)

1.1

85

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(94,600)

(2,017,109)

59,938

(16.3)

Daiichi

Sankyo

Co.

Ltd.

(91,900)

(2,006,820)

(209,209)

56.9

Daikin

Industries

Ltd.

(13,300)

(2,415,332)

4,418

(1.2)

Denso

Corp.

(49,400)

(3,151,726)

(65,062)

17.7

East

Japan

Railway

Co.

(34,100)

(1,973,624)

(55,709)

15.2

Fast

Retailing

Co.

Ltd.

(3,500)

(1,794,300)

(73,021)

19.9

Harmonic

Drive

Systems,

Inc.

(61,300)

(2,105,196)

(1,150)

0.3

Honda

Motor

Co.

Ltd.

(71,900)

(2,038,066)

(52,550)

14.3

ITOCHU

Corp.

(74,200)

(2,509,886)

(86,654)

23.6

JSR

Corp.

(75,000)

(2,208,594)

(87,596)

23.8

KDDI

Corp.

(64,400)

(2,111,460)

(12,746)

3.5

Kikkoman

Corp.

(37,300)

(2,470,616)

156,134

(42.5)

Kobe

Bussan

Co.

Ltd.

(69,200)

(2,129,610)

26,433

(7.2)

Lasertec

Corp.

(15,600)

(2,595,280)

(149,531)

40.7

Mitsubishi

Corp.

(68,600)

(2,574,335)

(180,208)

49.0

Mitsubishi

UFJ

Financial

Group,

Inc.

(532,000)

(3,288,367)

27,903

(7.6)

MonotaRO

Co.

Ltd.

(106,000)

(2,275,008)

(28,432)

7.7

Nexon

Co.

Ltd.

(86,800)

(2,076,580)

(60,278)

16.4

Nidec

Corp.

(38,600)

(3,048,747)

(10,172)

2.8

Nippon

Paint

Holdings

Co.

Ltd.

(314,400)

(2,754,565)

3,480

(0.9)

Nitori

Holdings

Co.

Ltd.

(17,700)

(2,226,886)

197,828

(53.8)

Oriental

Land

Co.

Ltd.

(16,100)

(3,081,626)

(33,430)

9.1

Rakuten

Group,

Inc.

(291,700)

(2,293,557)

(712)

0.2

Seven

&

i

Holdings

Co.

Ltd.

(44,800)

(2,135,939)

(90,353)

24.6

Shinsei

Bank

Ltd.

(99,800)

(1,820,278)

63,248

(17.2)

Sony

Group

Corp.

(25,100)

(2,582,180)

(53,251)

14.5

Tokio

Marine

Holdings,

Inc.

(47,000)

(2,735,083)

(49,936)

13.6

Toyota

Motor

Corp.

(299,000)

(5,393,363)

(391,986)

106.7

Yaskawa

Electric

Corp.

(83,300)

(3,246,614)

(40,066)

10.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

01/13/2025

-

03/30/2027

$63,621,054

$(798,579)

$90,823

$(707,756)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

86

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Amundi

SA

16,887

1,154,747

55,184

(7.8)

Arkema

SA

6,409

766,133

(6,465)

0.9

Atos

SE

75,626

2,065,083

(93,723)

13.2

Bouygues

SA

50,686

1,769,148

(3,270)

0.5

Capgemini

SE

3,751

832,359

82,075

(11.6)

Carrefour

SA

45,603

992,416

105,560

(14.9)

Casino

Guichard

Perrachon

SA

21,047

387,500

45,832

(6.5)

Cie

de

Saint-Gobain

29,830

1,774,897

(38,423)

5.4

Eiffage

SA

11,184

1,147,839

41,919

(5.9)

Electricite

de

France

SA

54,590

512,392

13,606

(1.9)

Eutelsat

Communications

SA

90,283

980,735

60,039

(8.5)

Ipsen

SA

12,796

1,601,737

169,258

(23.9)

Kering

SA

937

591,554

(10,377)

1.5

La

Francaise

des

Jeux

SAEM

30,813

1,222,433

18,947

(2.7)

Orange

SA

195,757

2,318,017

48,725

(6.9)

Publicis

Groupe

SA

23,119

1,403,177

21,548

(3.0)

Renault

SA

32,825

858,048

(1,878)

0.3

Rexel

SA

41,888

894,218

62,818

(8.9)

Rubis

SCA

44,742

1,315,096

(13,580)

1.9

SEB

SA

4,229

589,780

25,093

(3.5)

Sodexo

SA

20,228

1,646,072

69,950

(9.9)

Thales

SA

4,203

526,365

11,100

(1.6)

Veolia

Environnement

SA

17,180

550,851

15,293

(2.2)

Vinci

SA

7,483

764,558

12,648

(1.8)

Vivendi

SE

62,218

812,848

37,879

(5.4)

Luxembourg

Eurofins

Scientific

SE

12,081

1,195,086

61,429

(8.7)

SES

SA

69,054

630,617

73,550

(10.4)

Singapore

STMicroelectronics

NV

39,899

1,734,170

147,534

(20.8)

Short

Positions

Common

Stocks

France

Accor

SA

(42,018)

(1,353,790)

(97,642)

13.8

Aeroports

de

Paris

(13,320)

(1,991,849)

(208,772)

29.5

Air

Liquide

SA

(17,928)

(3,136,395)

(226,663)

32.0

Alstom

SA

(64,630)

(1,512,270)

(33,842)

4.8

Danone

SA

(17,084)

(943,771)

22,190

(3.1)

Dassault

Aviation

SA

(3,909)

(617,298)

(58,338)

8.2

Edenred

(9,833)

(486,191)

(43,280)

6.1

Engie

SA

(59,898)

(787,479)

(42,151)

6.0

EssilorLuxottica

SA

(8,333)

(1,524,028)

(88,272)

12.5

Faurecia

SE

(23,875)

(620,959)

68,240

(9.6)

Getlink

SE

(69,715)

(1,255,543)

(141,830)

20.0

L'Oreal

SA

(5,749)

(2,296,411)

(51,681)

7.3

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(624)

(445,411)

(29,446)

4.2

Pernod

Ricard

SA

(5,789)

(1,271,908)

(88,152)

12.5

Remy

Cointreau

SA

(7,663)

(1,580,318)

(116,823)

16.5

Safran

SA

(14,101)

(1,660,189)

(30,335)

4.3

Sartorius

Stedim

Biotech

(1,072)

(438,893)

(58,179)

8.2

SCOR

SE

(16,646)

(535,260)

(50,432)

7.1

SOITEC

(8,254)

(1,548,323)

(240,986)

34.0

Ubisoft

Entertainment

SA

(11,768)

(517,119)

9,918

(1.4)

87

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Valeo

(51,590)

(952,917)

(124,202)

17.5

United

States

Schneider

Electric

SE

(20,396)

(3,424,292)

(142,152)

20.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.27%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

01/13/2025

-

04/01/2027

$558,665,210

$(4,390,675)

$(1,454,847)

$(5,845,522)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alphabet,

Inc.

769

2,138,858

98,197

(1.7)

Booking

Holdings,

Inc.

889

2,087,772

265,086

(4.5)

Capital

One

Financial

Corp.

15,390

2,020,553

(12,125)

0.2

Citigroup,

Inc.

55,781

2,978,705

(142,242)

2.4

Coca-Cola

Co.

(The)

46,383

2,875,746

141,004

(2.4)

Cracker

Barrel

Old

Country

Store,

Inc.

16,147

1,917,133

38,494

(0.7)

DocuSign,

Inc.

17,552

1,880,170

348,781

(6.0)

Global

Payments,

Inc.

17,520

2,397,437

153,654

(2.6)

JPMorgan

Chase

&

Co.

15,999

2,180,984

55,983

(1.0)

KLA

Corp.

5,891

2,156,459

177,918

(3.0)

Kraft

Heinz

Co.

(The)

63,878

2,516,154

77,292

(1.3)

Live

Nation

Entertainment,

Inc.

18,210

2,142,224

135,430

(2.3)

Macy's,

Inc.

92,559

2,254,737

16,851

(0.3)

ManpowerGroup,

Inc.

27,097

2,544,950

77,792

(1.3)

Meta

Platforms,

Inc.

11,985

2,664,985

252,646

(4.3)

Schneider

National,

Inc.

75,645

1,928,948

(13,616)

0.2

Simon

Property

Group,

Inc.

15,714

2,067,334

13,495

(0.2)

SS&C

Technologies

Holdings,

Inc.

28,996

2,175,280

(5,651)

0.1

Texas

Roadhouse,

Inc.

48,402

4,052,699

262,467

(4.5)

Tyson

Foods,

Inc.

26,108

2,340,060

(25,523)

0.4

Ulta

Beauty,

Inc.

6,605

2,630,243

156,103

(2.7)

Urban

Outfitters,

Inc.

79,001

1,983,715

(70,056)

1.2

VMware,

Inc.

18,402

2,095,436

(11,258)

0.2

Wells

Fargo

&

Co.

44,169

2,140,430

(42,377)

0.7

88

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

American

Express

Co.

(10,365)

(1,938,255)

(176,217)

3.0

Aon

plc

(5,817)

(1,894,190)

(201,443)

3.4

Atmos

Energy

Corp.

(19,086)

(2,280,586)

(135,637)

2.3

Church

&

Dwight

Co.,

Inc.

(30,094)

(2,990,742)

(69,818)

1.2

Clarivate

plc

(126,049)

(2,112,581)

(465,015)

8.0

DISH

Network

Corp.

(62,652)

(1,982,936)

(61,970)

1.1

Dominion

Energy,

Inc.

(22,284)

(1,893,471)

(86,263)

1.5

Domino's

Pizza,

Inc.

(4,797)

(1,952,427)

(50,448)

0.9

First

Financial

Bankshares,

Inc.

(68,092)

(3,004,219)

123,498

(2.1)

GameStop

Corp.

(18,907)

(3,149,528)

(1,610,799)

27.6

Hormel

Foods

Corp.

(86,700)

(4,468,518)

(147,770)

2.5

IAC/InterActiveCorp

(19,662)

(1,971,705)

51,738

(0.9)

M&T

Bank

Corp.

(15,989)

(2,710,136)

69,855

(1.2)

McCormick

&

Co.,

Inc.

(Non-Voting)

(33,071)

(3,300,486)

(59,263)

1.0

NextEra

Energy,

Inc.

(25,471)

(2,157,648)

(111,818)

1.9

NVIDIA

Corp.

(9,662)

(2,636,373)

(415,818)

7.1

Progressive

Corp.

(The)

(18,940)

(2,158,971)

(182,139)

3.1

Prologis,

Inc.

(11,741)

(1,895,937)

(128,763)

2.2

Realty

Income

Corp.

(41,440)

(2,871,792)

(170,974)

2.9

Signature

Bank

(6,474)

(1,900,054)

84,187

(1.4)

SVB

Financial

Group

(3,488)

(1,951,362)

(75,347)

1.3

Tesla,

Inc.

(1,784)

(1,922,438)

(399,768)

6.8

Truist

Financial

Corp.

(34,160)

(1,936,872)

62,171

(1.1)

Webster

Financial

Corp.

(34,600)

(1,941,752)

(45,011)

0.8

Welltower,

Inc.

(29,644)

(2,849,974)

(218,002)

3.7

Wingstop,

Inc.

(22,068)

(2,589,680)

140,155

(2.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.57%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-62

months

maturity

ranging

from

01/21/2025

-

03/29/2027

$68,775,021

$(87,939)

$18,897

$(69,042)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

63,085

844,733

79,290

(114.8)

Atco

Ltd.

37,700

1,294,613

17,012

(24.6)

Canadian

Tire

Corp.

Ltd.

7,253

1,095,130

(12,751)

18.5

89

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Capital

Power

Corp.

22,078

718,950

(13,567)

19.7

CI

Financial

Corp.

45,260

719,005

(22,340)

32.4

Empire

Co.

Ltd.

24,559

871,052

16,528

(23.9)

Fairfax

Financial

Holdings

Ltd.

3,897

2,126,042

210,109

(304.3)

Finning

International,

Inc.

47,640

1,434,364

(43,612)

63.2

Imperial

Oil

Ltd.

29,006

1,403,722

132,541

(192.0)

Kinross

Gold

Corp.

184,390

1,082,608

22,327

(32.3)

Loblaw

Cos.

Ltd.

10,860

974,503

(15,761)

22.8

Magna

International,

Inc.

16,842

1,081,261

38,244

(55.4)

Manulife

Financial

Corp.

83,899

1,789,183

59,623

(86.4)

Onex

Corp.

16,645

1,115,481

(24,146)

35.0

Open

Text

Corp.

16,735

709,613

(14,590)

21.1

Quebecor,

Inc.

34,778

829,008

20,891

(30.3)

SNC-Lavalin

Group,

Inc.

37,214

896,006

(19,220)

27.8

Suncor

Energy,

Inc.

58,011

1,888,612

62,818

(91.0)

Toromont

Industries

Ltd.

7,374

699,030

9,372

(13.6)

Tourmaline

Oil

Corp.

18,251

840,905

89,075

(129.0)

West

Fraser

Timber

Co.

Ltd.

10,818

890,085

(171,457)

248.3

Whitecap

Resources,

Inc.

93,749

775,399

44,446

(64.4)

Chile

Lundin

Mining

Corp.

87,356

885,334

22,800

(33.0)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(26,411)

(1,255,956)

17,746

(25.7)

Canada

Air

Canada

(58,504)

(1,134,841)

(51,315)

74.3

Algonquin

Power

&

Utilities

Corp.

(68,508)

(1,062,569)

(17,508)

25.4

Ballard

Power

Systems,

Inc.

(175,147)

(2,038,466)

881

(1.3)

BCE,

Inc.

(23,556)

(1,305,788)

(21,543)

31.2

Boralex,

Inc.

(29,508)

(956,417)

(36,750)

53.2

Brookfield

Asset

Management,

Inc.

(27,899)

(1,577,332)

(14,873)

21.5

CAE,

Inc.

(46,613)

(1,213,284)

(73,028)

105.8

Cameco

Corp.

(26,057)

(758,897)

(44,910)

65.0

Canadian

Pacific

Railway

Ltd.

(14,481)

(1,195,176)

(26,444)

38.3

Canopy

Growth

Corp.

(83,630)

(634,174)

(62,145)

90.0

Dollarama,

Inc.

(18,754)

(1,063,599)

(6,434)

9.3

Element

Fleet

Management

Corp.

(73,384)

(710,272)

35,539

(51.5)

Emera,

Inc.

(23,987)

(1,189,037)

(35,865)

51.9

Franco-Nevada

Corp.

(7,692)

(1,224,050)

(8,618)

12.5

Innergex

Renewable

Energy,

Inc.

(57,376)

(912,398)

(8,836)

12.8

Keyera

Corp.

(27,255)

(690,886)

(34,614)

50.1

Lightspeed

Commerce,

Inc.

(23,641)

(721,059)

(59,846)

86.7

Metro,

Inc.

(13,923)

(801,423)

(17,447)

25.3

Restaurant

Brands

International,

Inc.

(13,713)

(801,182)

–

0.0

Rogers

Communications,

Inc.

(22,962)

(1,299,677)

(51,105)

74.0

Royal

Bank

of

Canada

(6,240)

(687,016)

20,479

(29.7)

Saputo,

Inc.

(36,218)

(857,829)

29,835

(43.2)

Shopify,

Inc.

(1,174)

(793,970)

(15,401)

22.3

TC

Energy

Corp.

(13,703)

(772,866)

(17,522)

25.4

United

States

Brookfield

Renewable

Corp.

(19,363)

(845,674)

678

(1.0)

Zambia

First

Quantum

Minerals

Ltd.

(21,445)

(742,423)

(46,052)

66.7

90

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

01/21/2025

-

03/17/2027

$39,210,261

$(412,221)

$(657,176)

$(1,069,397)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Italy

A2A

SpA

107,797

184,632

5,172

(0.5)

Atlantia

SpA

30,501

634,194

42,717

(4.0)

Azimut

Holding

SpA

28,467

659,967

(10,062)

0.9

Banco

BPM

SpA

254,580

749,906

(21,026)

2.0

Buzzi

Unicem

SpA

103,000

1,906,032

(129,044)

12.1

Davide

Campari-Milano

NV

44,549

516,727

31,877

(3.0)

Enel

SpA

24,399

162,906

8,507

(0.8)

Eni

SpA

136,123

1,985,113

9,136

(0.9)

Hera

SpA

307,534

1,133,002

(12,760)

1.2

Italgas

SpA

194,193

1,245,838

52,089

(4.9)

Leonardo

SpA

173,146

1,720,582

31,845

(3.0)

Mediobanca

Banca

di

Credito

Finanziario

SpA

39,054

394,660

2,018

(0.2)

Pirelli

&

C

SpA

153,052

830,461

11,859

(1.1)

Poste

Italiane

SpA

93,623

1,061,742

13,922

(1.3)

Prysmian

SpA

27,557

935,180

276

(0.0)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

4,017

201,410

(1,457)

0.1

UniCredit

SpA

183,489

1,979,434

3,024

(0.3)

Unipol

Gruppo

SpA

284,111

1,558,342

100,453

(9.4)

United

States

Stellantis

NV

134,876

2,183,573

(11,905)

1.1

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(15,100)

(672,024)

(44,065)

4.1

Assicurazioni

Generali

SpA

(60,213)

(1,377,201)

(137,108)

12.8

Banca

Generali

SpA

(23,043)

(852,594)

(11,323)

1.1

Brembo

SpA

(15,791)

(175,795)

(1,245)

0.1

DiaSorin

SpA

(4,287)

(669,600)

(17,345)

1.6

Ferrari

NV

(8,944)

(1,948,537)

(85,260)

8.0

FinecoBank

Banca

Fineco

SpA

(134,806)

(2,045,019)

43,500

(4.1)

Infrastrutture

Wireless

Italiane

SpA

(157,387)

(1,761,829)

(85,219)

8.0

Interpump

Group

SpA

(10,369)

(519,587)

12,258

(1.1)

Intesa

Sanpaolo

SpA

(1,116,759)

(2,556,000)

3,492

(0.3)

Moncler

SpA

(3,009)

(166,945)

466

(0.0)

Nexi

SpA

(171,790)

(1,982,408)

38,840

(3.6)

91

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Reply

SpA

(248)

(40,745)

1,580

(0.1)

Salvatore

Ferragamo

SpA

(2,883)

(54,301)

(1,569)

0.1

Snam

SpA

(167,209)

(964,219)

(52,842)

4.9

Terna

-

Rete

Elettrica

Nazionale

(174,133)

(1,495,329)

(148,206)

13.9

United

Kingdom

CNH

Industrial

NV

(87,285)

(1,374,807)

(12,512)

1.2

United

States

Tenaris

SA

(33,927)

(509,620)

(42,304)

4.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.00%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

01/21/2025

-

03/17/2027

$8,548,482

$174,348

$(7,655)

$166,693

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,158,800

2,424,388

267,491

160.5

Singapore

Genting

Singapore

Ltd.

1,026,600

613,587

30,258

18.2

Oversea-Chinese

Banking

Corp.

Ltd.

70,800

642,287

7,141

4.3

Singapore

Technologies

Engineering

Ltd.

301,700

913,864

16,753

10.1

United

Overseas

Bank

Ltd.

22,100

517,096

(6,352)

(3.8)

Short

Positions

Common

Stocks

China

Wilmar

International

Ltd.

(64,300)

(222,685)

(3,962)

(2.4)

Singapore

City

Developments

Ltd.

(144,100)

(833,002)

(52,527)

(31.5)

DBS

Group

Holdings

Ltd.

(22,437)

(587,899)

(13,048)

(7.8)

Keppel

Corp.

Ltd.

(50,800)

(239,534)

(7,526)

(4.5)

SATS

Ltd.

(48,100)

(153,306)

(12,021)

(7.2)

Singapore

Airlines

Ltd.

(119,600)

(482,010)

(23,074)

(13.8)

Singapore

Telecommunications

Ltd.

(294,000)

(570,874)

(13,360)

(8.0)

Venture

Corp.

Ltd.

(27,000)

(347,950)

(15,425)

(9.3)

92

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.32%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-62

months

maturity

ranging

from

01/22/2025

-

03/29/2027

$249,904,964

$(3,454,394)

$(92,194)

$(3,546,588)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

14,436

1,708,645

(40,998)

1.2

Allison

Transmission

Holdings,

Inc.

41,566

1,631,881

(11,638)

0.3

APA

Corp.

36,263

1,498,750

68,900

(1.9)

Arrow

Electronics,

Inc.

18,269

2,167,251

(145,239)

4.1

Bio-Rad

Laboratories,

Inc.

2,774

1,562,400

(31,904)

0.9

Bristol-Myers

Squibb

Co.

21,653

1,581,319

54,349

(1.5)

Cisco

Systems,

Inc.

27,688

1,543,883

(11,352)

0.3

CVS

Health

Corp.

16,329

1,652,658

(120,018)

3.4

Dell

Technologies,

Inc.

36,643

1,839,112

(11,726)

0.3

EMCOR

Group,

Inc.

13,279

1,495,614

(67,325)

1.9

Emerson

Electric

Co.

19,090

1,871,774

48,870

(1.4)

EOG

Resources,

Inc.

15,104

1,800,850

20,541

(0.6)

Exxon

Mobil

Corp.

21,814

1,801,618

69,534

(2.0)

Flowserve

Corp.

43,638

1,566,604

81,603

(2.3)

General

Dynamics

Corp.

7,759

1,871,316

82,789

(2.3)

Goldman

Sachs

Group,

Inc.

(The)

5,063

1,671,296

(66,680)

1.9

Incyte

Corp.

25,135

1,996,222

127,434

(3.6)

IQVIA

Holdings,

Inc.

8,207

1,897,540

65,980

(1.9)

Jabil,

Inc.

34,477

2,128,265

(13,101)

0.4

Johnson

&

Johnson

8,973

1,590,285

3,858

(0.1)

Lockheed

Martin

Corp.

4,787

2,112,982

61,321

(1.7)

Medtronic

plc

27,276

3,026,272

33,004

(0.9)

Merck

&

Co.,

Inc.

21,676

1,778,516

67,412

(1.9)

Molina

Healthcare,

Inc.

5,166

1,723,326

(19,734)

0.6

Owens

Corning

29,002

2,653,683

(160,671)

4.5

Pfizer,

Inc.

64,757

3,352,470

(159,950)

4.5

Textron,

Inc.

21,400

1,591,732

(16,050)

0.5

Univar

Solutions,

Inc.

51,586

1,657,974

(45,396)

1.3

Vishay

Intertechnology,

Inc.

102,250

2,004,100

(25,563)

0.7

Vontier

Corp.

59,048

1,499,229

83,258

(2.3)

Western

Digital

Corp.

35,996

1,787,201

28,437

(0.8)

93

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Advanced

Drainage

Systems,

Inc.

(13,169)

(1,564,609)

30,289

(0.9)

Amgen,

Inc.

(8,467)

(2,047,490)

(50,427)

1.4

Amphenol

Corp.

(30,663)

(2,310,457)

17,478

(0.5)

Carrier

Global

Corp.

(33,964)

(1,557,929)

42,455

(1.2)

Deere

&

Co.

(4,018)

(1,669,318)

(37,408)

1.1

Eli

Lilly

&

Co.

(6,505)

(1,862,837)

(5,594)

0.2

Exact

Sciences

Corp.

(28,056)

(1,961,676)

(161,322)

4.5

II-VI,

Inc.

(25,896)

(1,877,201)

(81,054)

2.3

Illinois

Tool

Works,

Inc.

(13,444)

(2,815,174)

26,619

(0.8)

Insulet

Corp.

(9,504)

(2,531,771)

(172,212)

4.9

Jazz

Pharmaceuticals

plc

(12,714)

(1,979,188)

22,885

(0.6)

Mercury

Systems,

Inc.

(24,900)

(1,604,805)

(3,984)

0.1

New

Fortress

Energy,

Inc.

(44,881)

(1,912,379)

(517,477)

14.6

PerkinElmer,

Inc.

(9,281)

(1,619,163)

36,196

(1.0)

Progyny,

Inc.

(36,788)

(1,890,903)

(101,903)

2.9

Rockwell

Automation,

Inc.

(5,484)

(1,535,685)

(49,521)

1.4

STERIS

plc

(9,888)

(2,390,622)

(96,507)

2.7

Teledyne

Technologies,

Inc.

(3,847)

(1,818,208)

(152,803)

4.3

Williams

Cos.,

Inc.

(The)

(71,929)

(2,403,148)

(135,227)

3.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-52

months

maturity

05/12/2022

$43,415,916

$(363,862)

$(6,027)

$(369,889)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

31,437

1,426,031

(30,670)

8.3

Baloise

Holding

AG

(Registered)

4,698

839,047

28,357

(7.7)

Barry

Callebaut

AG

(Registered)

573

1,343,371

18,587

(5.0)

Belimo

Holding

AG

(Registered)

778

412,044

16,296

(4.4)

BKW

AG

4,388

549,607

14,739

(4.0)

Bucher

Industries

AG

(Registered)

2,217

896,132

(12,141)

3.3

Credit

Suisse

Group

AG

(Registered)

5,364

42,226

(1,178)

0.3

DKSH

Holding

AG

11,268

949,015

(19,357)

5.2

dormakaba

Holding

AG

1,518

778,608

(36,642)

9.9

Galenica

AG

16,524

1,272,121

51,420

(13.9)

94

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Geberit

AG

(Registered)

914

563,441

(18,984)

5.1

Georg

Fischer

AG

(Registered)

153

182,815

(6,302)

1.7

Julius

Baer

Group

Ltd.

19,861

1,149,843

23,046

(6.2)

Kuehne

+

Nagel

International

AG

(Registered)

3,233

917,943

(85,278)

23.1

Lonza

Group

AG

(Registered)

1,118

810,107

9,187

(2.5)

Novartis

AG

(Registered)

28,621

2,512,682

15,687

(4.2)

OC

Oerlikon

Corp.

AG

(Registered)

76,447

609,202

(14,294)

3.9

Partners

Group

Holding

AG

483

598,052

(26,112)

7.1

Schindler

Holding

AG

1,727

370,044

(17,880)

4.8

Stadler

Rail

AG

1,298

50,372

(300)

0.1

Straumann

Holding

AG

(Registered)

169

269,840

11,952

(3.2)

Swatch

Group

AG

(The)

2,721

771,469

13,958

(3.8)

Swiss

Life

Holding

AG

(Registered)

789

505,596

7,830

(2.1)

Tecan

Group

AG

(Registered)

949

375,178

30,751

(8.3)

Temenos

AG

(Registered)

19,962

1,920,140

(19,705)

5.3

UBS

Group

AG

(Registered)

35,473

693,189

37,288

(10.1)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(51,257)

(784,591)

(37,748)

10.2

Switzerland

ABB

Ltd.

(Registered)

(11,020)

(357,497)

33,549

(9.1)

Alcon,

Inc.

(4,907)

(388,762)

(8,030)

2.2

Bachem

Holding

AG

(Registered)

(2,317)

(1,275,144)

140,753

(38.1)

Chocoladefabriken

Lindt

&

Spruengli

AG

(38)

(452,273)

(21,717)

5.9

Cie

Financiere

Richemont

SA

(3,341)

(423,488)

(2,755)

0.7

Clariant

AG

(Registered)

(4,219)

(73,212)

423

(0.1)

Dufry

AG

(Registered)

(54,290)

(2,284,401)

(82,876)

22.4

EMS-Chemie

Holding

AG

(Registered)

(921)

(895,032)

(21,481)

5.8

Flughafen

Zurich

AG

(Registered)

(5,624)

(1,009,434)

(23,689)

6.4

Givaudan

SA

(Registered)

(806)

(3,331,147)

(20,275)

5.5

Helvetia

Holding

AG

(Registered)

(515)

(67,234)

(770)

0.2

Holcim

Ltd.

(7,757)

(377,275)

11,042

(3.0)

Idorsia

Ltd.

(84,045)

(1,678,921)

(111,305)

30.1

Logitech

International

SA

(Registered)

(8,822)

(655,758)

(4,666)

1.3

Nestle

SA

(Registered)

(17,453)

(2,269,216)

(23,083)

6.2

Roche

Holding

AG

(1,302)

(515,152)

(8,184)

2.2

SIG

Combibloc

Group

AG

(79,513)

(2,004,512)

(103,140)

27.9

Sika

AG

(Registered)

(5,252)

(1,737,644)

25,988

(7.0)

Sonova

Holding

AG

(Registered)

(1,700)

(710,155)

(58,918)

15.9

Sulzer

AG

(Registered)

(325)

(26,996)

200

(0.1)

VAT

Group

AG

(739)

(281,366)

(7,862)

2.1

Zurich

Insurance

Group

AG

(1,162)

(573,912)

(19,119)

5.2

United

States

Swiss

Re

AG

(4,541)

(432,276)

(10,460)

2.8

95

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.66%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

02/21/2024

$19,581,866

$214,248

$(1,154,704)

$(940,456)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

870

2,614,318

(46,810)

5.0

Carlsberg

A/S

10,142

1,245,047

35,322

(3.8)

Demant

A/S

11,029

499,117

76,818

(8.2)

DSV

A/S

716

137,225

10,164

(1.1)

Genmab

A/S

3,328

1,201,918

102,235

(10.9)

H

Lundbeck

A/S

35,883

826,781

(22,097)

2.3

ISS

A/S

62,387

1,108,714

48,541

(5.2)

Novo

Nordisk

A/S

3,166

351,161

14,732

(1.6)

Pandora

A/S

12,039

1,146,888

110,907

(11.8)

Royal

Unibrew

A/S

3,056

285,509

2,388

(0.3)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(55,173)

(812,210)

49,254

(5.2)

Chr

Hansen

Holding

A/S

(13,993)

(1,027,464)

(38,130)

4.1

Coloplast

A/S

(663)

(100,404)

(9,087)

1.0

GN

Store

Nord

A/S

(5,521)

(270,619)

(13,474)

1.4

Novozymes

A/S

(21,475)

(1,472,416)

(186,303)

19.8

Orsted

A/S

(10,059)

(1,259,100)

16,556

(1.8)

ROCKWOOL

International

A/S

(2,734)

(902,520)

2,015

(0.2)

SimCorp

A/S

(8,696)

(637,682)

41,681

(4.4)

Tryg

A/S

(41,350)

(1,005,413)

(130,077)

13.8

Vestas

Wind

Systems

A/S

(91,269)

(2,677,360)

149,613

(15.9)

96

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-61

months

maturity

12/16/2022

$117,663,064

$65,486

$12,948

$78,434

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

25,976

1,313,172

13,917

17.7

Proximus

SADP

62,295

1,160,019

(25,163)

(32.1)

Finland

Nokian

Renkaat

OYJ

101,723

1,650,944

(382,169)

(487.3)

Germany

Bayerische

Motoren

Werke

AG

14,487

1,251,932

22,905

29.2

Brenntag

SE

12,453

1,004,104

(4,542)

(5.8)

Covestro

AG

30,947

1,558,349

(65,008)

(82.9)

Deutsche

Bank

AG

(Registered)

190,268

2,396,272

101,474

129.4

Deutsche

Post

AG

(Registered)

38,763

1,851,006

(140,115)

(178.6)

Henkel

AG

&

Co.

KGaA

16,612

1,111,871

(75,560)

(96.3)

ProSiebenSat.1

Media

SE

121,947

1,553,325

(119,460)

(152.3)

Luxembourg

ArcelorMittal

SA

56,392

1,806,468

1,363

1.7

Netherlands

ASR

Nederland

NV

38,899

1,816,036

38,639

49.3

Koninklijke

Ahold

Delhaize

NV

67,754

2,179,342

27,369

34.9

NN

Group

NV

46,999

2,381,852

88,822

113.2

OCI

NV

37,053

1,308,137

144,449

184.2

Spain

Acerinox

SA

150,821

1,651,984

(43,228)

(55.1)

Banco

de

Sabadell

SA

1,675,386

1,369,053

(14,777)

(18.8)

Banco

Santander

SA

425,395

1,446,313

(31,771)

(40.5)

Endesa

SA

86,715

1,890,702

108,677

138.6

Mapfre

SA

503,700

1,053,543

20,411

26.0

Repsol

SA

227,866

2,984,863

87,657

111.8

Telefonica

SA

510,499

2,474,011

107,630

137.2

Short

Positions

Common

Stocks

Belgium

Elia

Group

SA/NV

(6,527)

(995,831)

(47,774)

(60.9)

China

Prosus

NV

(36,884)

(1,989,075)

98,118

125.1

97

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Finland

Orion

OYJ

(24,555)

(1,115,210)

19,376

24.7

UPM-Kymmene

OYJ

(32,913)

(1,074,775)

18,478

23.6

Germany

adidas

AG

(4,394)

(1,023,916)

5,862

7.5

Allianz

SE

(Registered)

(5,743)

(1,371,475)

(16,949)

(21.6)

Carl

Zeiss

Meditec

AG

(6,738)

(1,085,338)

43,907

56.0

CTS

Eventim

AG

&

Co.

KGaA

(16,714)

(1,135,171)

(54,800)

(69.9)

Deutsche

Telekom

AG

(Registered)

(91,816)

(1,709,993)

8,339

10.6

Fresenius

Medical

Care

AG

&

Co.

KGaA

(24,540)

(1,644,446)

17,728

22.6

Hannover

Rueck

SE

(9,452)

(1,605,690)

(35,927)

(45.8)

LANXESS

AG

(27,727)

(1,217,164)

68,727

87.6

RWE

AG

(25,210)

(1,097,707)

(55,464)

(70.7)

Siemens

AG

(Registered)

(9,499)

(1,315,301)

98,464

125.5

Netherlands

Adyen

NV

(499)

(988,367)

6,451

8.2

Argenx

SE

(7,005)

(2,191,663)

(89,407)

(114.0)

IMCD

NV

(7,283)

(1,242,425)

(15,757)

(20.1)

Saudi

Arabia

Delivery

Hero

SE

(43,174)

(1,881,688)

116,838

149.0

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(49,084)

(1,323,278)

14,938

19.0

Aena

SME

SA

(8,648)

(1,441,624)

(86,605)

(110.4)

Amadeus

IT

Group

SA

(30,659)

(1,993,390)

(112,120)

(142.9)

Banco

Bilbao

Vizcaya

Argentaria

SA

(220,399)

(1,258,463)

31,734

40.5

Bankinter

SA

(188,436)

(1,104,081)

11,613

14.8

CaixaBank

SA

(574,730)

(1,949,417)

90,199

115.0

Cellnex

Telecom

SA

(63,695)

(3,065,284)

(28,234)

(36.0)

Ferrovial

SA

(55,389)

(1,473,063)

104,507

133.2

Naturgy

Energy

Group

SA

(35,737)

(1,070,662)

(105,255)

(134.2)

Siemens

Gamesa

Renewable

Energy

SA

(65,501)

(1,148,838)

162,148

206.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/21/2024

$11,251,386

$210,975

$156,439

$367,414

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

23,494

1,174,901

9,175

2.5

98

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Norway

Equinor

ASA

33,971

1,268,364

120,958

32.9

Leroy

Seafood

Group

ASA

75,857

695,815

36,577

10.0

Norsk

Hydro

ASA

97,467

946,978

9,035

2.5

Orkla

ASA

130,383

1,158,387

3,654

1.0

Telenor

ASA

33,486

480,508

(21,591)

(5.9)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(13,475)

(903,814)

(19,339)

(5.3)

France

Adevinta

ASA

(114,329)

(1,043,731)

207,091

56.4

Norway

Gjensidige

Forsikring

ASA

(21,574)

(534,975)

6,570

1.8

Mowi

ASA

(9,983)

(268,901)

(14,383)

(3.9)

Salmar

ASA

(23,316)

(1,843,110)

(117,024)

(31.9)

Schibsted

ASA

(9,752)

(240,362)

37,961

10.3

TOMRA

Systems

ASA

(462)

(23,568)

(198)

(0.1)

United

Kingdom

Subsea

7

SA

(71,896)

(667,972)

(47,511)

(12.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

02/21/2024

$37,159,023

$(480,947)

$514,237

$33,290

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

4,293

108,986

6,524

19.6

Sweden

BillerudKorsnas

AB

65,792

974,970

73,094

219.6

Boliden

AB

11,276

568,820

43,588

130.9

Electrolux

AB

28,395

429,688

(27,655)

(83.1)

Elekta

AB

50,960

401,354

(3,293)

(9.9)

Getinge

AB

35,957

1,432,490

155,021

465.7

H

&

M

Hennes

&

Mauritz

AB

80,176

1,076,575

(139,901)

(420.2)

Husqvarna

AB

27,237

284,129

(25,196)

(75.7)

Saab

AB

34,701

1,253,389

25,783

77.4

Securitas

AB

121,547

1,371,211

(69,290)

(208.1)

99

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Skanska

AB

36,742

821,999

(32,001)

(96.1)

SKF

AB

48,305

787,659

(44,058)

(132.3)

SSAB

AB

223,958

1,491,239

183,861

552.3

SSAB

AB

99,247

689,601

44,418

133.4

Svenska

Handelsbanken

AB

128,438

1,181,044

(18,763)

(56.4)

Swedbank

AB

20,943

312,797

(4,204)

(12.6)

Swedish

Match

AB

28,242

212,381

(894)

(2.7)

Swedish

Orphan

Biovitrum

AB

13,995

331,313

39,332

118.1

Telefonaktiebolaget

LM

Ericsson

221,047

2,014,964

94,922

285.1

Telia

Co.

AB

339,977

1,363,210

85,964

258.2

Trelleborg

AB

45,520

1,053,897

172,653

518.6

Volvo

AB

7,146

133,311

3,473

10.4

Short

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

(98,908)

(1,017,960)

56,790

170.6

Sweden

AAK

AB

(30,643)

(567,899)

(42,463)

(127.6)

Alfa

Laval

AB

(22,339)

(768,405)

(32,583)

(97.9)

Assa

Abloy

AB

(37,241)

(1,001,023)

(39,901)

(119.9)

Atlas

Copco

AB

(2,194)

(113,882)

(890)

(2.7)

Axfood

AB

(4,201)

(136,810)

(22,244)

(66.8)

Beijer

Ref

AB

(65,555)

(1,187,298)

(158,449)

(476.0)

Embracer

Group

AB

(177,075)

(1,478,072)

(135,860)

(408.1)

Epiroc

AB

(54,197)

(1,159,212)

(6,957)

(20.9)

EQT

AB

(43,265)

(1,687,262)

(411,219)

(1235.3)

Essity

AB

(64,195)

(1,514,940)

57,118

171.6

Evolution

AB

(1,823)

(185,462)

(897)

(2.7)

Hexagon

AB

(176,693)

(2,475,610)

(166,247)

(499.4)

Hexpol

AB

(23,054)

(225,025)

3,010

9.0

Holmen

AB

(21,486)

(1,199,317)

(91,675)

(275.4)

Indutrade

AB

(1,100)

(27,664)

(4,215)

(12.7)

Lifco

AB

(4,977)

(126,344)

(10,679)

(32.1)

Nibe

Industrier

AB

(1,490)

(16,516)

(1,800)

(5.4)

Sandvik

AB

(33,868)

(719,452)

30,102

90.4

Sinch

AB

(99,112)

(672,224)

95,544

287.0

Skandinaviska

Enskilda

Banken

AB

(53,894)

(582,640)

(5,944)

(17.9)

Svenska

Cellulosa

AB

SCA

(33,944)

(659,114)

(53,214)

(159.8)

Sweco

AB

(46,191)

(671,555)

(24,273)

(72.9)

Tele2

AB

(44,345)

(670,310)

(77,379)

(232.4)

100

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

14.5%

Auto

Components

-

1.6%

Aisin

Corp.

(Japan)

2,700

92,280

Bridgestone

Corp.

(Japan)

3,900

151,382

Denso

Corp.

(Japan)

2,500

159,500

Koito

Manufacturing

Co.

Ltd.

(Japan)

1,900

76,892

Stanley

Electric

Co.

Ltd.

(Japan)

3,700

69,957

Sumitomo

Electric

Industries

Ltd.

(Japan)

8,500

101,042

651,053

Automobiles

-

3.9%

Honda

Motor

Co.

Ltd.

(Japan)

8,400

238,105

Isuzu

Motors

Ltd.

(Japan)

8,600

111,095

Mazda

Motor

Corp.

(Japan)

12,200

89,677

Nissan

Motor

Co.

Ltd.

(Japan)

*

24,500

108,861

Subaru

Corp.

(Japan)

6,700

106,416

Suzuki

Motor

Corp.

(Japan)

3,300

113,092

Toyota

Motor

Corp.

(Japan)

38,100

687,248

Yamaha

Motor

Co.

Ltd.

(Japan)

4,500

100,862

1,555,356

Banks

-

5.0%

Chiba

Bank

Ltd.

(The)

(Japan)

20,900

122,886

Concordia

Financial

Group

Ltd.

(Japan)

33,700

125,420

Japan

Post

Bank

Co.

Ltd.

(Japan)

14,800

118,856

Mitsubishi

UFJ

Financial

Group,

Inc.

(Japan)

87,700

542,086

Mizuho

Financial

Group,

Inc.

(Japan)

22,200

283,169

Resona

Holdings,

Inc.

(Japan)

38,400

163,559

Shizuoka

Bank

Ltd.

(The)

(Japan)

17,200

120,718

Sumitomo

Mitsui

Financial

Group,

Inc.

(Japan)

10,400

328,519

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(Japan)

5,000

162,723

1,967,936

Household

Durables

-

4.0%

DR

Horton,

Inc.

(1)

2,926

218,016

Garmin

Ltd.

(1)

1,501

178,034

Leggett

&

Platt,

Inc.

(1)

2,637

91,768

Lennar

Corp.,

Class

A

(1)

2,390

193,996

Mohawk

Industries,

Inc.

(1)*

835

103,707

Newell

Brands,

Inc.

(1)

5,283

113,109

NVR,

Inc.

(1)*

33

147,420

PulteGroup,

Inc.

(1)

3,024

126,706

Tempur

Sealy

International,

Inc.

(1)

3,332

93,029

Toll

Brothers,

Inc.

(1)

2,023

95,121

TopBuild

Corp.

(1)*

532

96,499

Whirlpool

Corp.

(1)

725

125,266

1,582,671

TOTAL

COMMON

STOCKS

(Cost

$6,466,611)

5,757,016

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

SHORT-TERM

INVESTMENTS

-

100.8%

REPURCHASE

AGREEMENTS

(a)

-

29.8%

JPMS,

0.24%,

dated

3/23/2022,

due

4/14/2022,

repurchase

price

$1,682,122,

collateralized

by

U.S.

Treasury

Notes,

0.13%,

due

7/15/2031

$

1,681,875

1,681,875

JPMS,

0.26%,

dated

3/14/2022,

due

4/14/2022,

repurchase

price

$3,550,295,

collateralized

by

U.S.

Treasury

Notes,

0.13%,

due

7/15/2031

3,549,500

3,549,500

JPMS,

0.26%,

dated

3/9/2022,

due

4/14/2022,

repurchase

price

$461,120,

collateralized

by

U.S.

Treasury

Notes,

0.13%,

due

7/15/2031

461,000

461,000

JPMS,

0.23%,

dated

3/8/2022,

due

4/14/2022,

repurchase

price

$854,077,

collateralized

by

U.S.

Treasury

Notes,

1.25%,

due

8/15/2031

853,875

853,875

JPMS,

0.24%,

dated

3/7/2022,

due

4/14/2022,

repurchase

price

$5,253,831,

collateralized

by

U.S.

Treasury

Notes,

1.25%,

due

8/15/2031

5,252,500

5,252,500

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$11,798,750)

11,798,750

SHARES

INVESTMENT

COMPANIES

-

40.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(b)(c)

625,892

625,892

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(b)

15,498,860

15,491,112

TOTAL

INVESTMENT

COMPANIES

(Cost

$16,116,571)

16,117,004

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

30.4%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(d)

$

540,000

539,987

0.06%,

4/28/2022

(d)

1,399,000

1,398,888

0.07%,

5/12/2022

(d)

1,883,000

1,882,589

0.06%,

5/19/2022

(d)

796,000

795,736

0.21%,

6/30/2022

(d)

194,000

193,752

0.22%,

7/7/2022

(d)(e)

2,484,000

2,480,151

0.28%,

7/14/2022

(d)(e)

644,000

642,870

0.82%,

9/15/2022

(d)

1,709,000

1,701,615

0.87%,

9/22/2022

(d)

622,000

619,149

101

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

30.4%

(continued)

1.06%,

9/29/2022

(d)

$

1,790,000

1,780,939

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$12,040,072)

12,035,676

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$39,955,393)

39,951,430

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

115.3%

(Cost

$46,422,004)

45,708,446

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(15.3)%

(f)

(6,061,173)

NET

ASSETS

-

100.0%

39,647,273

SECTOR

VALUE

%

OF

NET

ASSETS

Consumer

Discretionary

$

3,789,080

9.5

%

Financials

1,967,936

5.0

Short-Term

Investments

39,951,430

100.8

Total

Investments

In

Securities

At

Value

45,708,446

115.3

Liabilities

in

Excess

of

Other

Assets

(f)

(6,061,173)

(15.3)

Net

Assets

$

39,647,273

100.0%

*

Non-income

producing

security.

(a)

On

March

31,

2022,

securities

valued

at

$11,164,050

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(b)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Reverse

repurchase

agreements

at

March

31,

2022:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

JPMS

3/9/2022

0.27%

4/14/2022

USD

$

471,875

JPMS

3/8/2022

0.29%

4/14/2022

USD

812,875

JPMS

3/7/2022

0.30%

4/14/2022

USD

4,988,000

JPMS

3/23/2022

0.32%

4/14/2022

USD

1,726,625

JPMS

3/14/2022

0.34%

4/14/2022

USD

3,710,000

$

11,709,375

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

March

31,

2022

was

$6,502,245

at

a

net

weighted

average

interest

rate

of

0.191%.

102

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2022:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

37.V1

5.00

%

Quarterly

6/20/2027

3.39

%

EUR

1,701,000

$

(113,973)

$

(26,105)

$

(140,078)

Markit

CDX

North

America

High

Yield

Index

Series

38.V1

5.00

Quarterly

6/20/2027

3.73

USD

2,193,000

(123,417)

(614)

(124,031)

$

(237,390)

$

(26,719)

$

(264,109)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2022:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1M

TIIE

Monthly

9.00%

Monthly

9/18/2024

MXN

5,200,000

$

(548)

$

1,213

$

665

Pay

3M

BBR

Qtrly

3.50%

Semi

9/15/2032

NZD

1,200,000

1,730

–

1,730

Pay

6M

NIBOR

Semi

3.00%

Annual

9/15/2027

NOK

7,100,000

2,469

–

2,469

Receive

1D

SARON

Annual

0.00%

Annual

9/23/2024

CHF

4,600,000

31,435

8,782

40,217

Receive

1D

SARON

Annual

0.50%

Annual

9/21/2032

CHF

200,000

2,382

7,114

9,496

Receive

1D

SOFR

Annual

0.50%

Annual

6/17/2024

USD

30,300,000

653,505

522,233

1,175,738

Receive

1D

SOFR

Annual

2.00%

Annual

9/23/2024

USD

19,000,000

151,113

88,605

239,718

Receive

1D

SOFR

Annual

1.00%

Annual

9/23/2024

USD

15,100,000

264,476

220,796

485,272

Receive

1D

SOFR

Annual

1.25%

Annual

9/21/2027

USD

3,500,000

79,094

99,759

178,853

Receive

1D

SOFR

Annual

1.75%

Annual

9/21/2027

USD

2,900,000

61,811

14,586

76,397

Receive

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

31,800,000

–

1,332,632

1,332,632

Receive

1D

SONIA

Annual

2.00%

Annual

9/23/2024

GBP

8,700,000

54,237

1,036

55,273

Receive

1D

SONIA

Annual

1.00%

Annual

9/23/2024

GBP

24,800,000

572,169

204,083

776,252

Receive

1D

TONAR

Annual

0.00%

Annual

9/24/2024

JPY

2,670,000,000

23,959

(2,577)

21,382

Receive

1D

TONAR

Annual

0.00%

Annual

6/15/2027

JPY

287,300,000

2,954

7,117

10,071

Receive

1M

TIIE

Monthly

7.50%

Monthly

6/12/2024

MXN

9,200,000

4,026

6,487

10,513

Receive

1M

TIIE

Monthly

8.00%

Monthly

9/18/2024

MXN

55,500,000

10,247

32,248

42,495

Receive

1M

TIIE

Monthly

8.50%

Monthly

9/18/2024

MXN

25,300,000

7,067

1,001

8,068

Receive

3M

BA

Qtrly

2.00%

Semi

9/19/2024

CAD

6,400,000

124,633

532

125,165

Receive

3M

BA

Qtrly

1.50%

Semi

6/14/2027

CAD

6,100,000

–

312,660

312,660

Receive

3M

BBR

Qtrly

3.00%

Semi

6/12/2024

NZD

7,900,000

–

52,903

52,903

Receive

3M

BBR

Qtrly

2.50%

Semi

6/12/2024

NZD

2,500,000

–

33,315

33,315

Receive

3M

BBR

Qtrly

3.00%

Semi

9/11/2024

NZD

6,800,000

15,118

43,064

58,182

Receive

3M

BBR

Qtrly

3.50%

Semi

9/11/2024

NZD

5,200,000

12,740

–

12,740

Receive

3M

CD_KSDA

Qtrly

2.50%

Qtrly

9/19/2024

KRW

76,000,000

(47)

518

471

Receive

3M

STIBOR

Qtrly

0.50%

Annual

6/19/2024

SEK

30,200,000

–

69,788

69,788

Receive

3M

STIBOR

Qtrly

1.00%

Annual

6/16/2032

SEK

1,200,000

–

11,131

11,131

Receive

3M

STIBOR

Qtrly

1.50%

Annual

6/16/2032

SEK

5,400,000

(3,094)

26,880

23,786

Receive

3M

STIBOR

Qtrly

1.50%

Annual

9/15/2032

SEK

32,800,000

60,933

99,223

160,156

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

5,500,000

19,554

389,046

408,600

Receive

6M

BBR

Semi

2.50%

Semi

9/09/2032

AUD

2,400,000

26,586

84,398

110,984

Receive

6M

BUBOR

Semi

5.00%

Annual

6/19/2024

HUF

391,200,000

–

52,174

52,174

Receive

6M

BUBOR

Semi

5.50%

Annual

9/18/2024

HUF

37,500,000

999

2,762

3,761

Receive

6M

BUBOR

Semi

7.00%

Annual

9/18/2024

HUF

165,500,000

2,620

888

3,508

Receive

6M

BUBOR

Semi

6.50%

Annual

9/18/2024

HUF

72,700,000

2,062

1,396

3,458

Receive

6M

EURIBOR

Semi

0.25%

Annual

6/15/2027

EUR

6,400,000

–

451,078

451,078

Receive

6M

EURIBOR

Semi

0.00%

Annual

9/21/2027

EUR

2,900,000

111,772

66,964

178,736

Receive

6M

EURIBOR

Semi

0.75%

Annual

9/21/2027

EUR

2,400,000

23,876

26,578

50,454

103

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6M

EURIBOR

Semi

0.25%

Annual

9/21/2032

EUR

500,000

$

40,221

$

14,360

$

54,581

Receive

6M

EURIBOR

Semi

1.00%

Annual

9/21/2032

EUR

1,200,000

41,849

481

42,330

Receive

6M

NIBOR

Semi

2.00%

Annual

6/19/2024

NOK

20,000,000

17,701

12,437

30,138

Receive

6M

NIBOR

Semi

2.50%

Annual

9/18/2024

NOK

4,900,000

2,149

3,875

6,024

Receive

6M

NIBOR

Semi

2.00%

Annual

6/16/2032

NOK

4,400,000

–

33,760

33,760

Receive

6M

NIBOR

Semi

2.50%

Annual

9/15/2032

NOK

600,000

1,771

6

1,777

Receive

6M

PRIBOR

Semi

4.00%

Annual

9/18/2024

CZK

7,500,000

1,315

5,637

6,952

Receive

6M

PRIBOR

Semi

4.50%

Annual

9/18/2024

CZK

25,500,000

3,418

9,477

12,895

Receive

6M

WIBOR

Semi

4.50%

Annual

6/19/2024

PLN

4,500,000

–

25,758

25,758

Receive

6M

WIBOR

Semi

4.50%

Annual

9/18/2024

PLN

2,500,000

5,691

8,608

14,299

2,433,993

4,384,812

6,818,805

Pay

1D

SARON

Annual

0.50%

Annual

6/17/2024

CHF

11,400,000

(62,089)

(107,061)

(169,150)

Pay

1D

SARON

Annual

0.50%

Annual

9/21/2027

CHF

800,000

7,790

(15,888)

(8,098)

Pay

1D

SARON

Annual

1.00%

Annual

9/21/2032

CHF

500,000

(2,386)

–

(2,386)

Pay

1D

SOFR

Annual

1.25%

Annual

6/15/2032

USD

700,000

(40,759)

(16,080)

(56,839)

Pay

1D

SOFR

Annual

2.00%

Annual

9/21/2032

USD

2,700,000

(36,599)

(3,473)

(40,072)

Pay

1D

SOFR

Annual

1.50%

Annual

9/21/2032

USD

2,300,000

(67,055)

(71,600)

(138,655)

Pay

1D

SOFR

Annual

1.50%

Annual

6/17/2052

USD

300,000

(26,447)

(7,003)

(33,450)

Pay

1D

SOFR

Annual

1.50%

Annual

9/23/2052

USD

800,000

(54,247)

(35,213)

(89,460)

Pay

1D

SOFR

Annual

1.75%

Annual

9/23/2052

USD

300,000

(26,387)

9,475

(16,912)

Pay

1D

SONIA

Annual

0.50%

Annual

6/15/2027

GBP

1,400,000

(26,539)

(95,420)

(121,959)

Pay

1D

SONIA

Annual

1.00%

Annual

9/21/2027

GBP

6,600,000

(272,211)

(99,638)

(371,849)

Pay

1D

SONIA

Annual

1.75%

Annual

9/21/2027

GBP

3,700,000

(39,177)

(3,779)

(42,956)

Pay

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

2,000,000

(33,478)

(185,090)

(218,568)

Pay

1D

SONIA

Annual

0.75%

Annual

9/21/2032

GBP

1,000,000

(89,334)

(19,790)

(109,124)

Pay

1D

SONIA

Annual

1.50%

Annual

9/21/2032

GBP

1,200,000

(27,017)

4,340

(22,677)

Pay

1D

TONAR

Annual

0.00%

Annual

6/17/2024

JPY

1,678,900,000

(4,242)

(5,390)

(9,632)

Pay

1D

TONAR

Annual

0.00%

Annual

6/15/2032

JPY

88,700,000

(10,405)

(6,846)

(17,251)

Pay

1D

TONAR

Annual

0.00%

Annual

9/23/2032

JPY

417,400,000

(92,561)

(4,823)

(97,384)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

4,700,000

(64,433)

(58,346)

(122,779)

Pay

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

2,200,000

(33,072)

(149,467)

(182,539)

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

20,300,000

–

(300,006)

(300,006)

Pay

3M

BBR

Qtrly

2.00%

Qtrly

9/12/2024

AUD

11,800,000

759

(149,937)

(149,178)

Pay

3M

BBR

Qtrly

3.00%

Semi

6/16/2027

NZD

500,000

–

(7,597)

(7,597)

Pay

3M

BBR

Qtrly

3.00%

Semi

6/16/2032

NZD

300,000

–

(7,550)

(7,550)

Pay

3M

BBR

Qtrly

3.00%

Semi

9/15/2032

NZD

1,300,000

(6,554)

(27,680)

(34,234)

Pay

3M

HIBOR

Qtrly

1.50%

Qtrly

6/19/2024

HKD

4,300,000

–

(9,810)

(9,810)

Pay

3M

HIBOR

Qtrly

2.00%

Qtrly

9/19/2024

HKD

7,100,000

(2,606)

(8,239)

(10,845)

Pay

3M

JIBAR

Qtrly

6.00%

Qtrly

6/19/2024

ZAR

38,000,000

(253)

(15,140)

(15,393)

Pay

3M

JIBAR

Qtrly

6.50%

Qtrly

9/18/2024

ZAR

1,900,000

162

(446)

(284)

Pay

3M

JIBAR

Qtrly

6.00%

Qtrly

9/18/2024

ZAR

200,000

(49)

(104)

(153)

Pay

3M

STIBOR

Qtrly

1.00%

Annual

9/18/2024

SEK

125,600,000

(31,215)

(196,577)

(227,792)

Pay

3M

STIBOR

Qtrly

1.50%

Annual

9/18/2024

SEK

82,100,000

(14,089)

(49,549)

(63,638)

Pay

3M

STIBOR

Qtrly

1.00%

Annual

6/16/2027

SEK

25,000,000

(31,256)

(83,378)

(114,634)

Pay

3M

STIBOR

Qtrly

1.50%

Annual

9/15/2027

SEK

11,500,000

10,137

(39,053)

(28,916)

Pay

6M

BBR

Semi

3.00%

Semi

9/09/2027

AUD

600,000

(554)

(3,638)

(4,192)

Pay

6M

BBR

Semi

2.50%

Semi

9/09/2027

AUD

1,200,000

(6,732)

(22,427)

(29,159)

Pay

6M

BBR

Semi

3.00%

Semi

9/09/2032

AUD

300,000

(3,966)

–

(3,966)

Pay

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

25,600,000

(314,142)

(368,234)

(682,376)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/23/2024

EUR

14,500,000

(247,485)

(131,758)

(379,243)

Pay

6M

EURIBOR

Semi

0.50%

Annual

9/23/2024

EUR

13,700,000

(142,623)

13,771

(128,852)

Pay

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

1,700,000

(8,411)

(213,035)

(221,446)

Pay

6M

NIBOR

Semi

2.00%

Annual

6/16/2027

NOK

16,600,000

–

(77,251)

(77,251)

Pay

6M

NIBOR

Semi

2.50%

Annual

9/15/2027

NOK

14,100,000

1,326

(34,581)

(33,255)

Receive

1D

TONAR

Annual

0.50%

Annual

9/23/2032

JPY

159,400,000

(35,679)

8,047

(27,632)

Receive

3M

BA

Qtrly

2.25%

Semi

9/20/2032

CAD

200,000

2,712

(7,286)

(4,574)

Receive

3M

BBR

Qtrly

3.00%

Qtrly

9/12/2024

AUD

1,100,000

(3,041)

–

(3,041)

104

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6M

NIBOR

Semi

3.00%

Annual

9/18/2024

NOK

103,700,000

$

(9,886)

$

(14,220)

$

(24,106)

(1,844,093)

(2,616,770)

(4,460,863)

$

589,900

$

1,768,042

$

2,357,942

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2022

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

0.29%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.69%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

-0.70%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

6.72%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.23%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

1.26%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

0.55%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

4.37%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

1.51%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

0.06%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.71%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

6.80%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.37%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

1.62%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

5.31%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

4.95%

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

DTOP

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/15/2022

ZAR

531,840

$

2,275

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

1,504,200

602

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/09/2022

KRW

182,850,000

1,833

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(278,750)

4,719

105

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

278,750

$

3,378

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

1,262,250

37,534

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/20/2022

TWD

7,053,600

8,532

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/20/2022

TWD

7,053,600

9,787

Tel

Aviv

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2022

ILS

606,384

1,160

WIG20

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/17/2022

PLN

303,100

1,192

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-1.84%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/15/2022

SEK

843,572

4,553

75,565

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/13/2022

BRL

(2,407,580)

(27,319)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(274,250)

(7,133)

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

(1,294,600)

(26,124)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

(514,250)

(8,382)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

(1,444,080)

(66,202)

MSCI

Brazil

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

CDI

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

GSIN

06/15/2022

BRL

(642,168)

(6,470)

106

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.25%)

Monthly

JPMC

06/15/2022

USD

(145,565)

$

(2,615)

(144,245)

$

(68,680)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

4

4/2022

EUR

$

640,749

$

13,678

Brent

Crude

Oil

27

4/2022

USD

2,827,170

(45,015)

CAC

40

10

Euro

Index

14

4/2022

EUR

1,031,080

35,269

FTSE

Bursa

Malaysia

KLCI

Index

3

4/2022

MYR

56,454

(280)

IBEX

35

Index

2

4/2022

EUR

186,202

109

LME

Aluminum

Base

Metal

1

4/2022

USD

87,028

13,761

LME

Aluminum

Base

Metal

1

4/2022

USD

87,015

16,195

LME

Aluminum

Base

Metal

1

4/2022

USD

87,084

11,184

LME

Aluminum

Base

Metal

1

4/2022

USD

87,032

13,537

LME

Aluminum

Base

Metal

2

4/2022

USD

174,181

20,112

LME

Aluminum

Base

Metal

2

4/2022

USD

174,077

24,222

LME

Aluminum

Base

Metal

2

4/2022

USD

174,197

20,382

LME

Aluminum

Base

Metal

3

4/2022

USD

261,392

33,096

LME

Aluminum

Base

Metal

3

4/2022

USD

261,083

42,737

LME

Aluminum

Base

Metal

5

4/2022

USD

435,258

64,369

LME

Copper

Base

Metal

1

4/2022

USD

259,265

10,326

LME

Copper

Base

Metal

1

4/2022

USD

259,238

19,735

LME

Copper

Base

Metal

1

4/2022

USD

259,325

16,285

LME

Copper

Base

Metal

1

4/2022

USD

259,188

17,810

LME

Copper

Base

Metal

5

4/2022

USD

1,296,375

51,987

LME

Lead

Base

Metal

1

4/2022

USD

60,550

1,247

LME

Nickel

Base

Metal

1

4/2022

USD

192,666

59,022

LME

Nickel

Base

Metal

1

4/2022

USD

192,677

58,495

LME

Nickel

Base

Metal

1

4/2022

USD

192,657

58,536

LME

Nickel

Base

Metal

1

4/2022

USD

192,690

50,367

LME

Nickel

Base

Metal

1

4/2022

USD

192,686

56,508

LME

Zinc

Base

Metal

1

4/2022

USD

105,213

14,841

LME

Zinc

Base

Metal

1

4/2022

USD

105,188

14,435

LME

Zinc

Base

Metal

2

4/2022

USD

210,625

34,808

LME

Zinc

Base

Metal

2

4/2022

USD

210,575

32,259

LME

Zinc

Base

Metal

2

4/2022

USD

210,575

28,271

LME

Zinc

Base

Metal

2

4/2022

USD

210,582

34,426

LME

Zinc

Base

Metal

6

4/2022

USD

631,071

87,453

LME

Zinc

Base

Metal

6

4/2022

USD

631,763

95,107

Natural

Gas

2

4/2022

USD

112,840

5,531

OMXS30

Index

12

4/2022

SEK

266,102

(2,936)

Sugar

No.

11

7

4/2022

USD

152,802

2,242

107

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Corn

38

5/2022

USD

$

1,422,625

$

110,812

Cotton

No.

2

2

5/2022

USD

135,690

12,087

LME

Aluminum

Base

Metal

1

5/2022

USD

87,084

531

LME

Aluminum

Base

Metal

1

5/2022

USD

87,178

5,699

LME

Aluminum

Base

Metal

1

5/2022

USD

87,081

5,078

LME

Aluminum

Base

Metal

2

5/2022

USD

174,418

22,390

LME

Aluminum

Base

Metal

2

5/2022

USD

174,218

9,900

LME

Aluminum

Base

Metal

4

5/2022

USD

348,561

28,038

LME

Aluminum

Base

Metal

5

5/2022

USD

435,456

37,679

LME

Aluminum

Base

Metal

5

5/2022

USD

435,554

39,764

LME

Copper

Base

Metal

1

5/2022

USD

259,346

7,843

LME

Copper

Base

Metal

1

5/2022

USD

259,263

9,560

LME

Copper

Base

Metal

1

5/2022

USD

259,363

9,635

LME

Copper

Base

Metal

1

5/2022

USD

259,288

10,454

LME

Copper

Base

Metal

1

5/2022

USD

259,275

13,796

LME

Copper

Base

Metal

2

5/2022

USD

518,632

27,163

LME

Copper

Base

Metal

3

5/2022

USD

777,886

30,427

LME

Lead

Base

Metal

1

5/2022

USD

60,565

2,924

LME

Lead

Base

Metal

1

5/2022

USD

60,594

3,726

LME

Nickel

Base

Metal

1

5/2022

USD

192,617

53,909

LME

Nickel

Base

Metal

1

5/2022

USD

192,610

51,438

LME

Nickel

Base

Metal

1

5/2022

USD

192,503

44,750

LME

Zinc

Base

Metal

1

5/2022

USD

105,089

14,836

LME

Zinc

Base

Metal

1

5/2022

USD

105,107

13,117

LME

Zinc

Base

Metal

1

5/2022

USD

104,866

13,326

LME

Zinc

Base

Metal

1

5/2022

USD

105,152

14,718

LME

Zinc

Base

Metal

2

5/2022

USD

210,250

30,537

LME

Zinc

Base

Metal

2

5/2022

USD

210,232

25,676

LME

Zinc

Base

Metal

3

5/2022

USD

315,482

45,148

Low

Sulphur

Gasoil

5

5/2022

USD

504,000

17,757

Silver

1

5/2022

USD

125,665

2,716

Soybean

Meal

8

5/2022

USD

374,000

(15,453)

Soybean

Oil

1

5/2022

USD

41,964

(1,900)

Australia

10

Year

Bond

70

6/2022

AUD

6,657,194

(207,847)

EURO

STOXX

50

Index

78

6/2022

EUR

3,298,771

161,408

Euro-Bund

48

6/2022

EUR

8,424,846

46,879

FTSE

100

Index

12

6/2022

GBP

1,180,078

17,590

FTSE/JSE

Top

40

Index

8

6/2022

ZAR

377,107

23,816

FTSE/MIB

Index

7

6/2022

EUR

944,970

39,175

KOSPI

200

Index

4

6/2022

KRW

301,720

2,911

LME

Aluminum

Base

Metal

1

6/2022

USD

87,274

2,481

LME

Aluminum

Base

Metal

1

6/2022

USD

87,125

1,747

LME

Aluminum

Base

Metal

2

6/2022

USD

174,356

(19,734)

LME

Aluminum

Base

Metal

2

6/2022

USD

174,515

(6,993)

LME

Aluminum

Base

Metal

3

6/2022

USD

261,496

(21,378)

LME

Aluminum

Base

Metal

3

6/2022

USD

261,825

(8,201)

LME

Aluminum

Base

Metal

3

6/2022

USD

261,825

(3,158)

LME

Aluminum

Base

Metal

4

6/2022

USD

348,761

(5,527)

LME

Aluminum

Base

Metal

16

6/2022

USD

1,396,600

(40,889)

LME

Copper

Base

Metal

1

6/2022

USD

259,325

10,322

LME

Copper

Base

Metal

1

6/2022

USD

259,375

3,122

LME

Copper

Base

Metal

1

6/2022

USD

259,375

(2,378)

LME

Copper

Base

Metal

1

6/2022

USD

259,413

6,863

LME

Copper

Base

Metal

1

6/2022

USD

259,413

(1,416)

LME

Copper

Base

Metal

1

6/2022

USD

259,394

(8,859)

LME

Copper

Base

Metal

1

6/2022

USD

259,375

1,998

108

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

6/2022

USD

$

259,375

$

5,128

LME

Copper

Base

Metal

1

6/2022

USD

259,375

886

LME

Copper

Base

Metal

2

6/2022

USD

518,725

2,468

LME

Copper

Base

Metal

3

6/2022

USD

778,298

29,790

LME

Copper

Base

Metal

8

6/2022

USD

2,075,500

45,803

LME

Lead

Base

Metal

1

6/2022

USD

60,388

1,560

LME

Lead

Base

Metal

1

6/2022

USD

60,425

3,398

LME

Lead

Base

Metal

1

6/2022

USD

60,444

2,816

LME

Lead

Base

Metal

1

6/2022

USD

60,575

3,322

LME

Lead

Base

Metal

1

6/2022

USD

60,582

(2,367)

LME

Lead

Base

Metal

1

6/2022

USD

60,394

1,112

LME

Lead

Base

Metal

1

6/2022

USD

60,494

3,966

LME

Lead

Base

Metal

2

6/2022

USD

121,142

(38)

LME

Lead

Base

Metal

3

6/2022

USD

181,219

6,086

LME

Lead

Base

Metal

9

6/2022

USD

545,063

19,230

LME

Nickel

Base

Metal

1

6/2022

USD

192,597

(786)

LME

Nickel

Base

Metal

2

6/2022

USD

385,176

30,691

LME

Nickel

Base

Metal

4

6/2022

USD

770,112

(323,065)

LME

Nickel

Base

Metal

8

6/2022

USD

1,540,800

357,558

LME

Zinc

Base

Metal

1

6/2022

USD

104,823

5,421

LME

Zinc

Base

Metal

1

6/2022

USD

104,738

9,610

LME

Zinc

Base

Metal

1

6/2022

USD

104,400

3,169

LME

Zinc

Base

Metal

3

6/2022

USD

313,013

9,179

LME

Zinc

Base

Metal

3

6/2022

USD

313,013

466

LME

Zinc

Base

Metal

3

6/2022

USD

313,800

27,515

LME

Zinc

Base

Metal

4

6/2022

USD

419,179

7,931

LME

Zinc

Base

Metal

12

6/2022

USD

1,256,550

46,783

MEX

BOLSA

Index

1

6/2022

MXN

28,521

1,230

Nikkei

225

Index

1

6/2022

JPY

228,602

22,170

S&P

Midcap

400

E-Mini

Index

25

6/2022

USD

6,723,000

312,841

SPI

200

Index

18

6/2022

AUD

2,518,441

128,153

U.S.

Treasury

Ultra

Bond

16

6/2022

USD

2,833,000

(85,881)

Brent

Crude

Oil

9

10/2022

USD

859,590

68,035

2,444,304

Short

Contracts

Hang

Seng

Index

(6)

4/2022

HKD

(842,174)

(9,188)

HSCEI

(2)

4/2022

HKD

(96,013)

(455)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,015)

(16,518)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,028)

(12,906)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,032)

(13,535)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,084)

(11,287)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,197)

(19,652)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,077)

(25,632)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,181)

(21,685)

LME

Aluminum

Base

Metal

(3)

4/2022

USD

(261,392)

(33,262)

LME

Aluminum

Base

Metal

(3)

4/2022

USD

(261,083)

(44,341)

LME

Aluminum

Base

Metal

(5)

4/2022

USD

(435,258)

(64,210)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,188)

(17,614)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,265)

(10,024)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,238)

(20,431)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,325)

(14,574)

LME

Copper

Base

Metal

(5)

4/2022

USD

(1,296,375)

(64,165)

LME

Lead

Base

Metal

(1)

4/2022

USD

(60,550)

(1,270)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,666)

(56,649)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,690)

(51,081)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,686)

(59,129)

109

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

4/2022

USD

$

(192,677)

$

(57,950)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,657)

(58,290)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,188)

(14,349)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,213)

(15,038)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,575)

(32,716)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,582)

(34,062)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,575)

(27,706)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,625)

(34,637)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(631,763)

(94,780)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(631,071)

(88,437)

MSCI

Singapore

Index

(15)

4/2022

SGD

(370,587)

(2,732)

RBOB

Gasoline

(1)

4/2022

USD

(132,338)

5,546

SGX

FTSE

China

A50

Index

(2)

4/2022

USD

(27,498)

(544)

SGX

FTSE

Taiwan

Index

(4)

4/2022

USD

(247,040)

(1,773)

SGX

NIFTY

50

Index

(49)

4/2022

USD

(1,718,577)

(8,923)

WTI

Crude

Oil

(20)

4/2022

USD

(2,005,600)

200,711

Coffee

'C'

(3)

5/2022

USD

(254,700)

(7,874)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,081)

(5,352)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,178)

(5,385)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,084)

(1,423)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,418)

(23,803)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,218)

(10,124)

LME

Aluminum

Base

Metal

(4)

5/2022

USD

(348,561)

(27,063)

LME

Aluminum

Base

Metal

(5)

5/2022

USD

(435,456)

(39,782)

LME

Aluminum

Base

Metal

(5)

5/2022

USD

(435,554)

(36,516)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,275)

(15,014)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,363)

(9,669)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,346)

(9,318)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,288)

(10,954)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,263)

(10,947)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,632)

(27,856)

LME

Copper

Base

Metal

(3)

5/2022

USD

(777,886)

(29,394)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,594)

(3,828)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,565)

(2,917)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,610)

(52,513)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,503)

(44,696)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,617)

(55,220)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,107)

(13,550)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(104,866)

(13,481)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,089)

(15,146)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,152)

(14,660)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,250)

(28,889)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,232)

(24,728)

LME

Zinc

Base

Metal

(3)

5/2022

USD

(315,482)

(45,124)

Soybean

(23)

5/2022

USD

(1,860,988)

77,785

Wheat

(10)

5/2022

USD

(503,000)

15,002

100

oz

Gold

(2)

6/2022

USD

(390,800)

(4,986)

Australia

3

Year

Bond

(6)

6/2022

AUD

(493,103)

7,732

Canada

10

Year

Bond

(27)

6/2022

CAD

(2,816,086)

143,668

DAX

Index

(7)

6/2022

EUR

(2,794,139)

(63,405)

DJIA

CBOT

E-Mini

Index

(4)

6/2022

USD

(692,360)

(33,573)

Euro-

Bobl

(5)

6/2022

EUR

(713,144)

21,620

Euro-BTP

(5)

6/2022

EUR

(766,189)

(3,306)

Euro-

Buxl

(4)

6/2022

EUR

(821,811)

52,582

Euro-OAT

(2)

6/2022

EUR

(334,995)

11,939

Euro-Schatz

(6)

6/2022

EUR

(735,269)

1,671

110

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Lean

Hogs

(2)

6/2022

USD

$

(96,500)

$

(5,273)

Live

Cattle

(8)

6/2022

USD

(438,800)

(11,742)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,274)

(2,276)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,125)

(1,012)

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,515)

7,430

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,356)

26,639

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,825)

2,892

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,825)

3,666

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,496)

20,572

LME

Aluminum

Base

Metal

(4)

6/2022

USD

(348,761)

1,977

LME

Aluminum

Base

Metal

(9)

6/2022

USD

(785,588)

(7,956)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,413)

(7,665)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(2,313)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

2,782

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(1,655)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,325)

(9,891)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(3,128)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,413)

(2,790)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(5,003)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,394)

8,054

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,725)

(2,487)

LME

Copper

Base

Metal

(3)

6/2022

USD

(778,298)

(33,111)

LME

Copper

Base

Metal

(14)

6/2022

USD

(3,632,125)

(99,468)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,444)

(3,771)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,394)

(1,096)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,388)

(1,503)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,494)

(4,046)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,425)

(3,953)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,575)

(3,771)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,582)

2,215

LME

Lead

Base

Metal

(2)

6/2022

USD

(121,142)

236

LME

Lead

Base

Metal

(3)

6/2022

USD

(181,219)

(5,793)

LME

Lead

Base

Metal

(6)

6/2022

USD

(363,375)

(11,157)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,597)

(5,568)

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,176)

(41,361)

LME

Nickel

Base

Metal

(4)

6/2022

USD

(770,112)

333,052

LME

Nickel

Base

Metal

(7)

6/2022

USD

(1,348,200)

288,664

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,823)

(5,151)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,400)

(5,403)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,738)

(9,812)

LME

Zinc

Base

Metal

(3)

6/2022

USD

(313,013)

(8,224)

LME

Zinc

Base

Metal

(3)

6/2022

USD

(313,013)

(3,946)

LME

Zinc

Base

Metal

(3)

6/2022

USD

(313,800)

(27,234)

LME

Zinc

Base

Metal

(4)

6/2022

USD

(419,179)

(4,166)

LME

Zinc

Base

Metal

(8)

6/2022

USD

(837,700)

(77,110)

Long

Gilt

(71)

6/2022

GBP

(11,326,605)

70,777

MSCI

Emerging

Markets

E-Mini

Index

(4)

6/2022

USD

(225,100)

(12,412)

Russell

2000

E-Mini

Index

(22)

6/2022

USD

(2,273,040)

(68,585)

S&P

500

E-Mini

Index

(63)

6/2022

USD

(14,271,862)

(584,947)

S&P/TSX

60

Index

(2)

6/2022

CAD

(421,421)

3,681

TOPIX

Index

(11)

6/2022

JPY

(1,758,789)

(190,184)

U.S.

Treasury

10

Year

Note

(37)

6/2022

USD

(4,541,750)

72,913

U.S.

Treasury

2

Year

Note

(12)

6/2022

USD

(2,541,375)

38,942

U.S.

Treasury

5

Year

Note

(166)

6/2022

USD

(19,012,187)

432,471

U.S.

Treasury

Long

Bond

(1)

6/2022

USD

(150,219)

5,747

Cocoa

(3)

7/2022

USD

(80,610)

(822)

111

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Platinum

(3)

2/2023

JPY

$

(46,981)

$

1,431

(1,143,429)

$

1,300,875

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,486,340

USD

1,089,082

CITI

6/15/2022

$

24,553

AUD

1,486,337

USD

1,089,081

JPMC

6/15/2022

24,552

BRL

13,798,210

USD

2,654,551

CITI

**

6/15/2022

182,958

BRL

13,798,201

USD

2,654,552

JPMC

**

6/15/2022

182,955

CAD

2,799,371

USD

2,202,250

CITI

6/15/2022

36,565

CAD

2,799,358

USD

2,202,242

JPMC

6/15/2022

36,563

CHF

44,000

USD

47,727

CITI

6/15/2022

41

CHF

44,000

USD

47,727

JPMC

6/15/2022

41

CLP

2,196,761,853

USD

2,700,497

CITI

**

6/15/2022

56,678

CLP

2,196,761,847

USD

2,700,501

JPMC

**

6/15/2022

56,675

CNY

384,102

USD

60,169

CITI

**

6/15/2022

16

CNY

384,100

USD

60,169

JPMC

**

6/15/2022

15

COP

2,832,413,343

USD

714,190

CITI

**

6/15/2022

28,783

COP

2,832,413,337

USD

714,191

JPMC

**

6/15/2022

28,783

CZK

24,026,649

USD

1,064,359

CITI

6/15/2022

14,996

CZK

24,026,648

USD

1,064,361

JPMC

6/15/2022

14,994

EUR

449,000

USD

493,429

CITI

6/15/2022

4,684

EUR

449,000

USD

493,429

JPMC

6/15/2022

4,683

HUF

81,716,500

USD

238,860

CITI

6/15/2022

4,668

HUF

81,716,500

USD

238,860

JPMC

6/15/2022

4,668

IDR

2,018,950,500

USD

140,254

CITI

**

6/15/2022

162

IDR

2,018,950,500

USD

140,254

JPMC

**

6/15/2022

162

ILS

1,640,000

USD

503,369

CITI

6/15/2022

11,713

ILS

1,640,000

USD

503,370

JPMC

6/15/2022

11,712

INR

66,958,684

USD

870,620

CITI

**

6/15/2022

2,799

INR

66,958,684

USD

870,621

JPMC

**

6/15/2022

2,797

KRW

456,542,500

USD

372,542

CITI

**

6/15/2022

3,009

KRW

456,542,500

USD

372,542

JPMC

**

6/15/2022

3,008

MXN

47,098,006

USD

2,264,616

CITI

6/15/2022

72,191

MXN

47,098,004

USD

2,264,618

JPMC

6/15/2022

72,188

NOK

9,094,868

USD

1,014,928

CITI

6/15/2022

17,633

NOK

9,094,867

USD

1,014,929

JPMC

6/15/2022

17,632

NZD

297,601

USD

199,895

CITI

6/15/2022

6,096

NZD

297,600

USD

199,894

JPMC

6/15/2022

6,096

PHP

11,231,502

USD

212,136

CITI

**

6/15/2022

3,556

PHP

11,231,498

USD

212,136

JPMC

**

6/15/2022

3,556

PLN

3,327,264

USD

768,122

CITI

6/15/2022

17,982

PLN

3,327,258

USD

768,122

JPMC

6/15/2022

17,981

RUB

38,152,250

USD

390,824

CITI

**

6/15/2022

105,059

RUB

38,152,250

USD

390,825

JPMC

**

6/15/2022

105,058

SEK

16,563,839

USD

1,732,378

CITI

6/15/2022

32,589

SEK

16,563,835

USD

1,732,380

JPMC

6/15/2022

32,588

SGD

32,500

USD

23,950

CITI

6/15/2022

28

SGD

32,500

USD

23,950

JPMC

6/15/2022

29

112

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

THB

79,500

USD

2,385

CITI

6/15/2022

$

9

THB

79,500

USD

2,385

JPMC

6/15/2022

9

USD

114,160

AUD

152,109

CITI

6/15/2022

192

USD

114,159

AUD

152,109

JPMC

6/15/2022

192

USD

1,996,904

CHF

1,832,489

CITI

6/15/2022

7,514

USD

1,996,903

CHF

1,832,490

JPMC

6/15/2022

7,513

USD

279,551

CLP

220,677,500

CITI

**

6/15/2022

2,577

USD

279,551

CLP

220,677,500

JPMC

**

6/15/2022

2,577

USD

84,072

CNY

535,000

CITI

**

6/15/2022

244

USD

84,072

CNY

535,000

JPMC

**

6/15/2022

244

USD

2,152,768

EUR

1,913,304

CITI

6/15/2022

30,180

USD

2,152,762

EUR

1,913,301

JPMC

6/15/2022

30,178

USD

1,275,292

GBP

962,270

CITI

6/15/2022

11,570

USD

1,275,286

GBP

962,267

JPMC

6/15/2022

11,568

USD

337,480

HUF

111,607,507

CITI

6/15/2022

4,871

USD

337,479

HUF

111,607,493

JPMC

6/15/2022

4,871

USD

23,435

ILS

74,500

CITI

6/15/2022

36

USD

23,435

ILS

74,500

JPMC

6/15/2022

36

USD

1,378,113

INR

105,018,001

CITI

**

6/15/2022

8,244

USD

1,378,111

INR

105,017,998

JPMC

**

6/15/2022

8,243

USD

4,323,159

JPY

501,202,504

CITI

6/15/2022

198,129

USD

4,323,153

JPY

501,202,496

JPMC

6/15/2022

198,122

USD

2,435,302

KRW

2,923,536,009

CITI

**

6/15/2022

30,410

USD

2,435,299

KRW

2,923,535,991

JPMC

**

6/15/2022

30,407

USD

114,085

NOK

988,635

CITI

6/15/2022

1,844

USD

114,085

NOK

988,635

JPMC

6/15/2022

1,843

USD

329,791

PHP

17,082,190

CITI

**

6/15/2022

1,742

USD

329,790

PHP

17,082,184

JPMC

**

6/15/2022

1,742

USD

374,344

PLN

1,559,500

CITI

6/15/2022

5,894

USD

374,343

PLN

1,559,498

JPMC

6/15/2022

5,893

USD

218,561

SEK

2,032,000

CITI

6/15/2022

2,040

USD

218,561

SEK

2,032,000

JPMC

6/15/2022

2,040

USD

4,392

THB

144,000

CITI

6/15/2022

57

USD

4,392

THB

144,000

JPMC

6/15/2022

57

USD

1,411,774

TWD

39,328,502

CITI

**

6/15/2022

33,784

USD

1,411,773

TWD

39,328,498

JPMC

**

6/15/2022

33,782

ZAR

20,826,745

USD

1,364,461

CITI

6/15/2022

47,444

ZAR

20,826,737

USD

1,364,462

JPMC

6/15/2022

47,442

Total

unrealized

appreciation

2,027,035

AUD

527,500

USD

396,875

CITI

6/15/2022

(1,647)

AUD

527,500

USD

396,876

JPMC

6/15/2022

(1,648)

BRL

79,500

USD

16,440

CITI

**

6/15/2022

(92)

BRL

79,500

USD

16,440

JPMC

**

6/15/2022

(92)

CAD

299,000

USD

239,307

CITI

6/15/2022

(179)

CAD

299,000

USD

239,307

JPMC

6/15/2022

(180)

CHF

191,500

USD

208,037

CITI

6/15/2022

(141)

CHF

191,500

USD

208,038

JPMC

6/15/2022

(142)

CNY

2,962,213

USD

465,251

CITI

**

6/15/2022

(1,103)

CNY

2,962,210

USD

465,251

JPMC

**

6/15/2022

(1,103)

COP

1,192,238,500

USD

313,542

CITI

**

6/15/2022

(805)

COP

1,192,238,500

USD

313,543

JPMC

**

6/15/2022

(806)

EUR

2,213,880

USD

2,476,436

CITI

6/15/2022

(20,393)

EUR

2,213,878

USD

2,476,436

JPMC

6/15/2022

(20,396)

GBP

1,308,894

USD

1,757,312

CITI

6/15/2022

(38,378)

GBP

1,308,892

USD

1,757,312

JPMC

6/15/2022

(38,380)

HUF

951,059,683

USD

2,918,046

CITI

6/15/2022

(83,738)

HUF

951,059,661

USD

2,918,050

JPMC

6/15/2022

(83,742)

IDR

519,519,500

USD

36,135

CITI

**

6/15/2022

(3)

113

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

IDR

519,519,500

USD

36,135

JPMC

**

6/15/2022

$

(4)

INR

71,281,184

USD

931,157

CITI

**

6/15/2022

(1,357)

INR

71,281,184

USD

931,158

JPMC

**

6/15/2022

(1,357)

JPY

318,893,669

USD

2,766,440

CITI

6/15/2022

(141,861)

JPY

318,893,663

USD

2,766,444

JPMC

6/15/2022

(141,864)

KRW

862,801,546

USD

715,994

CITI

**

6/15/2022

(6,256)

KRW

862,801,534

USD

715,995

JPMC

**

6/15/2022

(6,256)

NZD

481,500

USD

334,339

CITI

6/15/2022

(1,058)

NZD

481,500

USD

334,339

JPMC

6/15/2022

(1,059)

PHP

17,464,502

USD

337,337

CITI

**

6/15/2022

(1,947)

PHP

17,464,498

USD

337,337

JPMC

**

6/15/2022

(1,947)

PLN

3,030,740

USD

746,035

CITI

6/15/2022

(29,987)

PLN

3,030,738

USD

746,035

JPMC

6/15/2022

(29,988)

SEK

14,137,968

USD

1,519,292

CITI

6/15/2022

(12,814)

SEK

14,137,963

USD

1,519,293

JPMC

6/15/2022

(12,817)

SGD

921,128

USD

682,331

CITI

6/15/2022

(2,716)

SGD

921,126

USD

682,330

JPMC

6/15/2022

(2,717)

THB

2,584,003

USD

79,596

CITI

6/15/2022

(1,801)

THB

2,583,997

USD

79,596

JPMC

6/15/2022

(1,801)

TWD

1,326,528

USD

47,648

CITI

**

6/15/2022

(1,169)

TWD

1,326,528

USD

47,648

JPMC

**

6/15/2022

(1,170)

USD

112,525

AUD

156,407

CITI

6/15/2022

(4,662)

USD

112,525

AUD

156,407

JPMC

6/15/2022

(4,662)

USD

764,258

BRL

3,889,000

CITI

**

6/15/2022

(35,489)

USD

764,257

BRL

3,889,000

JPMC

**

6/15/2022

(35,490)

USD

734,672

CAD

934,366

CITI

6/15/2022

(12,593)

USD

734,671

CAD

934,365

JPMC

6/15/2022

(12,594)

USD

88,991

CHF

82,500

CITI

6/15/2022

(572)

USD

88,991

CHF

82,500

JPMC

6/15/2022

(573)

USD

1,036,468

CLP

842,915,004

CITI

**

6/15/2022

(21,483)

USD

1,036,467

CLP

842,914,996

JPMC

**

6/15/2022

(21,484)

USD

269,867

CNY

1,729,500

CITI

**

6/15/2022

(1,128)

USD

269,867

CNY

1,729,500

JPMC

**

6/15/2022

(1,129)

USD

74,933

COP

287,739,500

CITI

**

6/15/2022

(545)

USD

74,933

COP

287,739,500

JPMC

**

6/15/2022

(545)

USD

2,699,719

CZK

61,164,001

CITI

6/15/2022

(47,967)

USD

2,699,715

CZK

61,163,999

JPMC

6/15/2022

(47,971)

USD

4,561,751

EUR

4,152,668

CITI

6/15/2022

(45,149)

USD

4,561,745

EUR

4,152,668

JPMC

6/15/2022

(45,155)

USD

818,035

GBP

626,427

CITI

6/15/2022

(4,635)

USD

818,036

GBP

626,429

JPMC

6/15/2022

(4,635)

USD

645,244

HUF

225,882,500

CITI

6/15/2022

(27,921)

USD

645,243

HUF

225,882,500

JPMC

6/15/2022

(27,923)

USD

281,602

IDR

4,059,997,500

CITI

**

6/15/2022

(767)

USD

281,601

IDR

4,059,997,500

JPMC

**

6/15/2022

(767)

USD

1,525,095

ILS

4,917,985

CITI

6/15/2022

(19,518)

USD

1,525,092

ILS

4,917,981

JPMC

6/15/2022

(19,519)

USD

2,258,392

INR

174,232,501

CITI

**

6/15/2022

(14,318)

USD

2,258,389

INR

174,232,500

JPMC

**

6/15/2022

(14,322)

USD

1,526,934

JPY

186,669,500

CITI

6/15/2022

(9,406)

USD

1,526,932

JPY

186,669,500

JPMC

6/15/2022

(9,407)

USD

233,849

KRW

286,877,500

CITI

**

6/15/2022

(2,136)

USD

233,848

KRW

286,877,500

JPMC

**

6/15/2022

(2,136)

USD

2,298,586

MXN

47,663,421

CITI

6/15/2022

(66,274)

USD

2,298,583

MXN

47,663,420

JPMC

6/15/2022

(66,277)

USD

113,395

NOK

1,017,268

CITI

6/15/2022

(2,098)

USD

113,395

NOK

1,017,268

JPMC

6/15/2022

(2,098)

USD

1,167,919

NZD

1,739,107

CITI

6/15/2022

(35,842)

114

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,167,917

NZD

1,739,107

JPMC

6/15/2022

$

(35,843)

USD

58,754

PHP

3,080,314

CITI

**

6/15/2022

(401)

USD

58,754

PHP

3,080,312

JPMC

**

6/15/2022

(401)

USD

952,552

PLN

4,216,005

CITI

6/15/2022

(43,527)

USD

952,549

PLN

4,215,997

JPMC

6/15/2022

(43,528)

USD

487,061

RUB

38,152,250

CITI

**

6/15/2022

(8,822)

USD

487,061

RUB

38,152,250

JPMC

**

6/15/2022

(8,823)

USD

1,237,258

SEK

11,999,503

CITI

6/15/2022

(41,354)

USD

1,237,256

SEK

11,999,497

JPMC

6/15/2022

(41,356)

USD

15,100

SGD

20,500

CITI

6/15/2022

(25)

USD

15,100

SGD

20,500

JPMC

6/15/2022

(25)

USD

1,326

THB

44,500

CITI

6/15/2022

(14)

USD

1,326

THB

44,500

JPMC

6/15/2022

(14)

USD

343,609

ZAR

5,302,500

CITI

6/15/2022

(15,862)

USD

343,609

ZAR

5,302,500

JPMC

6/15/2022

(15,863)

ZAR

264,000

USD

18,020

CITI

6/15/2022

(123)

ZAR

264,000

USD

18,020

JPMC

6/15/2022

(123)

Total

unrealized

depreciation

(1,620,208)

Net

unrealized

appreciation

$

406,827

**

Non-deliverable

forward.

115

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

94.0%

INVESTMENT

COMPANIES

-

18.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(a)(b)

10,061,254

10,061,254

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(a)

211,955,472

211,849,494

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.17%

(1)(a)

1,407,144

1,407,144

TOTAL

INVESTMENT

COMPANIES

(Cost

$223,313,132)

223,317,892

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

75.4%

U.S.

Treasury

Bills

0.07%,

5/19/2022

(c)(d)

$

13,934,000

13,929,371

0.10%,

6/9/2022

(c)

110,000

109,921

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

75.4%

(continued)

0.37%,

7/21/2022

(c)

$

35,201,000

35,129,366

0.38%,

7/28/2022

(c)

69,559,000

69,386,861

0.49%,

8/4/2022

(c)(d)

112,580,000

112,268,190

0.77%,

8/18/2022

(c)(d)

19,817,000

19,752,472

0.70%,

9/8/2022

(c)(d)

181,613,000

180,873,230

0.82%,

9/15/2022

(c)(d)

242,107,000

241,060,824

0.87%,

9/22/2022

(c)(d)

114,014,000

113,491,404

1.06%,

9/29/2022

(c)

122,069,000

121,451,071

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$908,016,960)

907,452,710

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,131,330,092)

1,130,770,602

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.0%

(Cost

$1,131,330,092)

1,130,770,602

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

6.0%

(e)

72,168,607

NET

ASSETS

-

100.0%

1,202,939,209

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

212,000

$

1,828

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

949,830

89,243

KC

HRW

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2022

USD

102,975

13,650

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

(40,700)

301

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/14/2022

USD

48,250

1,114

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(7,860,750)

87,591

116

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

7,860,750

$

91,901

285,628

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(212,000)

(5,800)

Cocoa

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(214,960)

(2,069)

Cotton

No.

2

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

(949,830)

(45,360)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(63,771,000)

(112,088)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/28/2022

HKD

(19,178,550)

(15,923)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/13/2022

BRL

(31,900,435)

(199,564)

KC

HRW

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2022

USD

(102,975)

(21,425)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/14/2022

USD

40,700

(11)

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/14/2022

USD

(337,750)

(4,219)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(8,611,450)

(224,755)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

1,316,400

(9,048)

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

(41,964)

(2,634)

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

41,964

(3,558)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

(12,515,360)

(675,645)

TAIEX

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/20/2022

TWD

(7,053,600)

(5,958)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

(50,300)

(11,605)

117

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

50,300

$

(14,415)

(1,354,077)

$

(1,068,449)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

1

4/2022

EUR

$

160,187

$

(1,906)

Brent

Crude

Oil

99

4/2022

USD

10,366,290

12,340

LME

Aluminum

Base

Metal

5

4/2022

USD

435,733

48,138

LME

Aluminum

Base

Metal

8

4/2022

USD

696,222

110,207

LME

Aluminum

Base

Metal

9

4/2022

USD

783,464

115,476

LME

Aluminum

Base

Metal

10

4/2022

USD

870,278

142,403

LME

Aluminum

Base

Metal

11

4/2022

USD

958,524

109,708

LME

Aluminum

Base

Metal

11

4/2022

USD

957,352

147,015

LME

Aluminum

Base

Metal

15

4/2022

USD

1,307,509

162,483

LME

Aluminum

Base

Metal

16

4/2022

USD

1,394,088

164,683

LME

Aluminum

Base

Metal

17

4/2022

USD

1,479,765

220,793

LME

Aluminum

Base

Metal

17

4/2022

USD

1,481,669

165,318

LME

Aluminum

Base

Metal

26

4/2022

USD

2,264,178

326,611

LME

Aluminum

Base

Metal

30

4/2022

USD

2,612,948

305,618

LME

Aluminum

Base

Metal

46

4/2022

USD

4,006,152

462,844

LME

Copper

Base

Metal

1

4/2022

USD

259,252

17,173

LME

Copper

Base

Metal

1

4/2022

USD

259,288

10,535

LME

Copper

Base

Metal

2

4/2022

USD

518,376

35,745

LME

Copper

Base

Metal

2

4/2022

USD

518,560

23,204

LME

Copper

Base

Metal

2

4/2022

USD

518,550

21,290

LME

Copper

Base

Metal

2

4/2022

USD

518,492

36,561

LME

Copper

Base

Metal

3

4/2022

USD

777,796

31,170

LME

Copper

Base

Metal

3

4/2022

USD

777,713

59,205

LME

Copper

Base

Metal

4

4/2022

USD

1,036,829

76,618

LME

Copper

Base

Metal

5

4/2022

USD

1,295,988

109,712

LME

Copper

Base

Metal

6

4/2022

USD

1,555,875

70,259

LME

Lead

Base

Metal

3

4/2022

USD

181,781

4,361

LME

Lead

Base

Metal

4

4/2022

USD

242,191

7,680

LME

Lead

Base

Metal

5

4/2022

USD

303,024

9,261

LME

Lead

Base

Metal

5

4/2022

USD

302,750

6,237

LME

Lead

Base

Metal

7

4/2022

USD

423,850

11,182

LME

Lead

Base

Metal

9

4/2022

USD

545,738

33,571

LME

Nickel

Base

Metal

1

4/2022

USD

192,666

57,873

LME

Nickel

Base

Metal

1

4/2022

USD

192,654

67,161

LME

Nickel

Base

Metal

1

4/2022

USD

192,670

56,864

LME

Nickel

Base

Metal

2

4/2022

USD

385,212

142,008

LME

Nickel

Base

Metal

2

4/2022

USD

385,327

113,425

LME

Nickel

Base

Metal

3

4/2022

USD

577,674

201,769

LME

Nickel

Base

Metal

5

4/2022

USD

963,450

252,222

LME

Nickel

Base

Metal

9

4/2022

USD

1,734,210

451,683

LME

Nickel

Base

Metal

9

4/2022

USD

1,733,958

549,981

118

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

10

4/2022

USD

$

1,926,860

$

608,884

LME

Nickel

Base

Metal

13

4/2022

USD

2,504,797

741,627

LME

Zinc

Base

Metal

1

4/2022

USD

105,310

16,999

LME

Zinc

Base

Metal

1

4/2022

USD

105,291

17,463

LME

Zinc

Base

Metal

4

4/2022

USD

421,175

61,963

LME

Zinc

Base

Metal

5

4/2022

USD

527,781

86,642

LME

Zinc

Base

Metal

6

4/2022

USD

632,850

94,035

LME

Zinc

Base

Metal

6

4/2022

USD

631,275

89,045

LME

Zinc

Base

Metal

6

4/2022

USD

634,875

99,370

LME

Zinc

Base

Metal

6

4/2022

USD

631,725

82,557

LME

Zinc

Base

Metal

7

4/2022

USD

737,188

118,526

LME

Zinc

Base

Metal

8

4/2022

USD

841,428

116,604

LME

Zinc

Base

Metal

9

4/2022

USD

947,138

138,555

LME

Zinc

Base

Metal

11

4/2022

USD

1,157,063

158,780

LME

Zinc

Base

Metal

11

4/2022

USD

1,156,867

161,002

LME

Zinc

Base

Metal

13

4/2022

USD

1,369,063

190,574

Natural

Gas

5

4/2022

EUR

518,135

(201,682)

Natural

Gas

5

4/2022

GBP

609,463

108,846

Natural

Gas

89

4/2022

USD

5,021,380

734,004

NY

Harbor

ULSD

95

4/2022

USD

13,409,991

56,273

RBOB

Gasoline

76

4/2022

USD

10,057,673

(263,431)

WTI

Crude

Oil

112

4/2022

USD

11,231,360

(1,780,433)

Canola

347

5/2022

CAD

6,275,228

562,148

Copper

96

5/2022

USD

11,402,400

228,939

Corn

263

5/2022

USD

9,846,063

65,063

Cotton

No.

2

154

5/2022

USD

10,448,130

1,032,042

Ethanol

45

5/2022

USD

4,592,700

(99,616)

FCOJ-A

66

5/2022

USD

1,504,305

119,412

KC

HRW

Wheat

44

5/2022

USD

2,265,450

255,932

LME

Aluminum

Base

Metal

2

5/2022

USD

174,281

15,625

LME

Aluminum

Base

Metal

4

5/2022

USD

348,636

25,609

LME

Aluminum

Base

Metal

7

5/2022

USD

610,223

73,915

LME

Aluminum

Base

Metal

10

5/2022

USD

870,813

50,783

LME

Aluminum

Base

Metal

13

5/2022

USD

1,132,186

97,992

LME

Aluminum

Base

Metal

15

5/2022

USD

1,306,073

104,674

LME

Aluminum

Base

Metal

18

5/2022

USD

1,567,814

70,172

LME

Aluminum

Base

Metal

20

5/2022

USD

1,743,555

113,980

LME

Aluminum

Base

Metal

20

5/2022

USD

1,741,680

10,621

LME

Aluminum

Base

Metal

23

5/2022

USD

2,003,438

220,870

LME

Aluminum

Base

Metal

25

5/2022

USD

2,180,225

278,238

LME

Aluminum

Base

Metal

30

5/2022

USD

2,613,323

238,359

LME

Aluminum

Base

Metal

34

5/2022

USD

2,961,706

75,006

LME

Aluminum

Base

Metal

34

5/2022

USD

2,961,706

168,306

LME

Copper

Base

Metal

1

5/2022

USD

259,308

12,927

LME

Copper

Base

Metal

1

5/2022

USD

259,356

11,530

LME

Copper

Base

Metal

1

5/2022

USD

259,298

11,321

LME

Copper

Base

Metal

1

5/2022

USD

259,363

9,635

LME

Copper

Base

Metal

1

5/2022

USD

259,288

10,454

LME

Copper

Base

Metal

3

5/2022

USD

777,947

41,889

LME

Copper

Base

Metal

4

5/2022

USD

1,037,050

38,789

LME

Copper

Base

Metal

4

5/2022

USD

1,037,181

40,570

LME

Copper

Base

Metal

5

5/2022

USD

1,296,563

80,463

LME

Copper

Base

Metal

5

5/2022

USD

1,296,500

71,487

LME

Copper

Base

Metal

6

5/2022

USD

1,555,712

23,819

LME

Copper

Base

Metal

6

5/2022

USD

1,556,076

47,060

LME

Lead

Base

Metal

3

5/2022

USD

181,760

11,298

119

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

4

5/2022

USD

$

241,900

$

5,191

LME

Lead

Base

Metal

7

5/2022

USD

423,901

15,809

LME

Lead

Base

Metal

8

5/2022

USD

483,868

13,447

LME

Lead

Base

Metal

9

5/2022

USD

545,672

41,244

LME

Lead

Base

Metal

12

5/2022

USD

726,864

43,084

LME

Lead

Base

Metal

12

5/2022

USD

726,600

22,622

LME

Lead

Base

Metal

19

5/2022

USD

1,149,381

36,466

LME

Lead

Base

Metal

28

5/2022

USD

1,695,806

72,792

LME

Nickel

Base

Metal

2

5/2022

USD

385,220

102,350

LME

Nickel

Base

Metal

2

5/2022

USD

385,207

105,409

LME

Nickel

Base

Metal

7

5/2022

USD

1,348,363

376,883

LME

Nickel

Base

Metal

15

5/2022

USD

2,889,650

844,205

LME

Zinc

Base

Metal

2

5/2022

USD

210,179

29,673

LME

Zinc

Base

Metal

2

5/2022

USD

209,847

29,091

LME

Zinc

Base

Metal

4

5/2022

USD

420,607

58,870

LME

Zinc

Base

Metal

11

5/2022

USD

1,153,999

155,722

LME

Zinc

Base

Metal

16

5/2022

USD

1,681,284

244,469

LME

Zinc

Base

Metal

17

5/2022

USD

1,787,278

257,228

LME

Zinc

Base

Metal

28

5/2022

USD

2,944,501

422,081

Low

Sulphur

Gasoil

118

5/2022

USD

11,894,400

(130,677)

Lumber

4

5/2022

USD

424,732

(89,808)

Milk

5

5/2022

USD

236,800

(3,508)

Milling

Wheat

No.

2

169

5/2022

EUR

3,454,017

654,711

Mont

Belvieu

60

5/2022

USD

3,449,250

311,504

Natural

Gas

50

5/2022

USD

3,442,698

228,648

Rough

Rice

34

5/2022

USD

1,088,680

29,756

SGX

Iron

Ore

133

5/2022

USD

2,123,212

123,753

Silver

12

5/2022

USD

1,507,980

(96,953)

Soybean

146

5/2022

USD

11,813,225

(212,746)

Soybean

Meal

148

5/2022

USD

6,919,000

(271,360)

Soybean

Oil

77

5/2022

USD

3,231,228

(233,582)

Wheat

41

5/2022

ZAR

927,323

9,443

100

oz

Gold

86

6/2022

USD

16,804,400

30,877

Crude

Palm

Oil

89

6/2022

MYR

3,018,877

(187,481)

FTSE/JSE

Top

40

Index

2

6/2022

ZAR

94,277

138

LME

Aluminum

Base

Metal

1

6/2022

USD

87,275

(603)

LME

Aluminum

Base

Metal

3

6/2022

USD

261,750

(2,934)

LME

Aluminum

Base

Metal

5

6/2022

USD

436,250

8,571

LME

Aluminum

Base

Metal

6

6/2022

USD

523,650

(17,095)

LME

Aluminum

Base

Metal

10

6/2022

USD

872,573

(38,457)

LME

Aluminum

Base

Metal

17

6/2022

USD

1,482,022

(167,741)

LME

Aluminum

Base

Metal

17

6/2022

USD

1,481,121

29,696

LME

Aluminum

Base

Metal

20

6/2022

USD

1,745,470

49,628

LME

Aluminum

Base

Metal

24

6/2022

USD

2,091,966

(134,242)

LME

Aluminum

Base

Metal

28

6/2022

USD

2,442,104

58,871

LME

Aluminum

Base

Metal

65

6/2022

USD

5,667,366

(203,951)

LME

Aluminum

Base

Metal

225

6/2022

USD

19,639,688

540,738

LME

Copper

Base

Metal

1

6/2022

USD

259,433

10,173

LME

Copper

Base

Metal

1

6/2022

USD

259,413

6,863

LME

Copper

Base

Metal

2

6/2022

USD

518,650

20,645

LME

Copper

Base

Metal

2

6/2022

USD

518,750

3,995

LME

Copper

Base

Metal

4

6/2022

USD

1,037,500

12,615

LME

Copper

Base

Metal

5

6/2022

USD

1,296,875

1,549

LME

Copper

Base

Metal

5

6/2022

USD

1,296,969

(48,794)

LME

Copper

Base

Metal

9

6/2022

USD

2,334,375

27,297

LME

Copper

Base

Metal

10

6/2022

USD

2,593,625

12,279

120

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

15

6/2022

USD

$

3,890,625

$

(854)

LME

Copper

Base

Metal

17

6/2022

USD

4,409,375

77,576

LME

Copper

Base

Metal

18

6/2022

USD

4,669,425

24,328

LME

Copper

Base

Metal

65

6/2022

USD

16,863,438

335,949

LME

Lead

Base

Metal

1

6/2022

USD

60,416

2,609

LME

Lead

Base

Metal

1

6/2022

USD

60,425

3,398

LME

Lead

Base

Metal

1

6/2022

USD

60,400

478

LME

Lead

Base

Metal

2

6/2022

USD

121,167

(89)

LME

Lead

Base

Metal

4

6/2022

USD

242,300

13,289

LME

Lead

Base

Metal

4

6/2022

USD

242,284

173

LME

Lead

Base

Metal

7

6/2022

USD

423,042

28,223

LME

Lead

Base

Metal

7

6/2022

USD

424,074

(13,794)

LME

Lead

Base

Metal

8

6/2022

USD

483,150

8,887

LME

Lead

Base

Metal

8

6/2022

USD

483,100

11,750

LME

Lead

Base

Metal

10

6/2022

USD

604,063

19,642

LME

Lead

Base

Metal

18

6/2022

USD

1,087,988

67,003

LME

Lead

Base

Metal

25

6/2022

USD

1,512,344

100,403

LME

Lead

Base

Metal

160

6/2022

USD

9,690,000

315,269

LME

Nickel

Base

Metal

1

6/2022

USD

192,516

44,963

LME

Nickel

Base

Metal

2

6/2022

USD

385,052

54,446

LME

Nickel

Base

Metal

3

6/2022

USD

577,926

(9,423)

LME

Nickel

Base

Metal

8

6/2022

USD

1,540,776

(246,494)

LME

Nickel

Base

Metal

15

6/2022

USD

2,888,955

(16,289)

LME

Nickel

Base

Metal

28

6/2022

USD

5,392,464

429,681

LME

Nickel

Base

Metal

52

6/2022

USD

10,011,456

(4,275,641)

LME

Nickel

Base

Metal

124

6/2022

USD

23,882,400

5,570,471

LME

Zinc

Base

Metal

1

6/2022

USD

104,600

9,347

LME

Zinc

Base

Metal

1

6/2022

USD

104,500

6,997

LME

Zinc

Base

Metal

2

6/2022

USD

208,675

6,119

LME

Zinc

Base

Metal

2

6/2022

USD

208,900

13,799

LME

Zinc

Base

Metal

2

6/2022

USD

208,675

3,219

LME

Zinc

Base

Metal

4

6/2022

USD

418,950

38,438

LME

Zinc

Base

Metal

4

6/2022

USD

418,200

37,738

LME

Zinc

Base

Metal

6

6/2022

USD

628,769

11,896

LME

Zinc

Base

Metal

6

6/2022

USD

626,400

19,014

LME

Zinc

Base

Metal

7

6/2022

USD

733,663

5,755

LME

Zinc

Base

Metal

7

6/2022

USD

733,863

81,885

LME

Zinc

Base

Metal

14

6/2022

USD

1,466,724

101,858

LME

Zinc

Base

Metal

15

6/2022

USD

1,565,625

35,283

LME

Zinc

Base

Metal

23

6/2022

USD

2,410,935

124,687

LME

Zinc

Base

Metal

79

6/2022

USD

8,272,288

496,898

Milk

9

6/2022

USD

440,460

8,857

S&P/TSX

60

Index

29

6/2022

CAD

6,110,611

1,678

SPI

200

Index

59

6/2022

AUD

8,254,890

198,264

Rapeseed

93

7/2022

EUR

4,045,805

78,305

Robusta

Coffee

104

7/2022

USD

2,238,080

24,628

White

Maize

124

7/2022

ZAR

3,317,981

140,431

White

Sugar

267

7/2022

USD

7,084,845

(13,817)

Yellow

Maize

133

7/2022

ZAR

3,699,880

200,362

WTI

Crude

Oil

84

8/2022

JPY

2,498,472

(14,797)

3

Month

SARON

21

12/2022

CHF

5,709,350

(1,628)

ECX

Emission

17

12/2022

EUR

1,438,302

(99,304)

French

Base

Electricity

1

12/2022

EUR

1,986,604

848,496

Italian

Base

Electricity

1

12/2022

EUR

1,886,401

500,398

Phelix

De

Base

Electricity

1

12/2022

EUR

1,785,811

675,298

3

Month

SARON

12

3/2023

CHF

3,249,337

(3,464)

121

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

SARON

3

6/2023

CHF

$

809,615

$

(570)

19,794,474

Short

Contracts

CAC

40

10

Euro

Index

(5)

4/2022

EUR

(368,243)

(6,072)

IBEX

35

Index

(12)

4/2022

EUR

(1,117,211)

7,944

LME

Aluminum

Base

Metal

(5)

4/2022

USD

(435,733)

(48,247)

LME

Aluminum

Base

Metal

(8)

4/2022

USD

(696,222)

(103,246)

LME

Aluminum

Base

Metal

(9)

4/2022

USD

(783,464)

(115,578)

LME

Aluminum

Base

Metal

(10)

4/2022

USD

(870,278)

(147,802)

LME

Aluminum

Base

Metal

(11)

4/2022

USD

(958,524)

(104,450)

LME

Aluminum

Base

Metal

(11)

4/2022

USD

(957,352)

(149,759)

LME

Aluminum

Base

Metal

(15)

4/2022

USD

(1,307,509)

(154,991)

LME

Aluminum

Base

Metal

(16)

4/2022

USD

(1,394,088)

(165,764)

LME

Aluminum

Base

Metal

(17)

4/2022

USD

(1,481,669)

(158,350)

LME

Aluminum

Base

Metal

(17)

4/2022

USD

(1,479,765)

(219,690)

LME

Aluminum

Base

Metal

(26)

4/2022

USD

(2,264,178)

(323,991)

LME

Aluminum

Base

Metal

(30)

4/2022

USD

(2,612,948)

(294,786)

LME

Aluminum

Base

Metal

(46)

4/2022

USD

(4,006,152)

(498,764)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,288)

(10,750)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,252)

(18,229)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,550)

(20,805)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,560)

(21,916)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,492)

(33,760)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,376)

(36,105)

LME

Copper

Base

Metal

(3)

4/2022

USD

(777,796)

(30,072)

LME

Copper

Base

Metal

(3)

4/2022

USD

(777,713)

(61,185)

LME

Copper

Base

Metal

(4)

4/2022

USD

(1,036,829)

(76,936)

LME

Copper

Base

Metal

(5)

4/2022

USD

(1,295,988)

(104,549)

LME

Copper

Base

Metal

(6)

4/2022

USD

(1,555,875)

(65,042)

LME

Lead

Base

Metal

(3)

4/2022

USD

(181,781)

(4,780)

LME

Lead

Base

Metal

(4)

4/2022

USD

(242,191)

(7,402)

LME

Lead

Base

Metal

(5)

4/2022

USD

(302,750)

(6,256)

LME

Lead

Base

Metal

(5)

4/2022

USD

(303,024)

(10,696)

LME

Lead

Base

Metal

(7)

4/2022

USD

(423,850)

(11,001)

LME

Lead

Base

Metal

(9)

4/2022

USD

(545,738)

(36,523)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,666)

(56,649)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,670)

(57,373)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,654)

(67,636)

LME

Nickel

Base

Metal

(2)

4/2022

USD

(385,212)

(141,600)

LME

Nickel

Base

Metal

(2)

4/2022

USD

(385,327)

(114,770)

LME

Nickel

Base

Metal

(3)

4/2022

USD

(577,674)

(202,383)

LME

Nickel

Base

Metal

(5)

4/2022

USD

(963,450)

(257,205)

LME

Nickel

Base

Metal

(9)

4/2022

USD

(1,733,958)

(546,248)

LME

Nickel

Base

Metal

(9)

4/2022

USD

(1,734,210)

(438,364)

LME

Nickel

Base

Metal

(10)

4/2022

USD

(1,926,860)

(612,884)

LME

Nickel

Base

Metal

(13)

4/2022

USD

(2,504,797)

(747,614)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,291)

(17,011)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,310)

(16,987)

LME

Zinc

Base

Metal

(4)

4/2022

USD

(421,175)

(65,717)

LME

Zinc

Base

Metal

(5)

4/2022

USD

(527,781)

(85,160)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(631,725)

(85,007)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(632,850)

(100,151)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(634,875)

(104,943)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(631,275)

(90,244)

LME

Zinc

Base

Metal

(7)

4/2022

USD

(737,188)

(123,259)

LME

Zinc

Base

Metal

(8)

4/2022

USD

(841,428)

(117,995)

122

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(9)

4/2022

USD

$

(947,138)

$

(139,555)

LME

Zinc

Base

Metal

(11)

4/2022

USD

(1,157,063)

(157,860)

LME

Zinc

Base

Metal

(11)

4/2022

USD

(1,156,867)

(160,472)

LME

Zinc

Base

Metal

(13)

4/2022

USD

(1,369,063)

(187,283)

MSCI

Singapore

Index

(133)

4/2022

SGD

(3,285,871)

(49,454)

OMXS30

Index

(123)

4/2022

SEK

(2,727,548)

44,114

SGX

FTSE

China

A50

Index

(296)

4/2022

USD

(4,069,704)

(107,243)

SGX

FTSE

Taiwan

Index

(95)

4/2022

USD

(5,867,200)

(31,159)

SGX

NIFTY

50

Index

(2)

4/2022

USD

(70,146)

(636)

Sugar

No.

11

(115)

4/2022

USD

(2,510,312)

(34,581)

Coffee

'C'

(4)

5/2022

USD

(339,600)

(15,751)

Feeder

Cattle

(64)

5/2022

USD

(5,329,600)

(53,724)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,281)

(14,476)

LME

Aluminum

Base

Metal

(4)

5/2022

USD

(348,636)

(22,505)

LME

Aluminum

Base

Metal

(7)

5/2022

USD

(610,223)

(73,362)

LME

Aluminum

Base

Metal

(10)

5/2022

USD

(870,813)

(53,521)

LME

Aluminum

Base

Metal

(13)

5/2022

USD

(1,132,186)

(103,434)

LME

Aluminum

Base

Metal

(15)

5/2022

USD

(1,306,073)

(112,992)

LME

Aluminum

Base

Metal

(18)

5/2022

USD

(1,567,814)

(68,467)

LME

Aluminum

Base

Metal

(20)

5/2022

USD

(1,741,680)

(28,460)

LME

Aluminum

Base

Metal

(20)

5/2022

USD

(1,743,555)

(107,709)

LME

Aluminum

Base

Metal

(23)

5/2022

USD

(2,003,438)

(214,287)

LME

Aluminum

Base

Metal

(25)

5/2022

USD

(2,180,225)

(287,247)

LME

Aluminum

Base

Metal

(30)

5/2022

USD

(2,613,323)

(219,098)

LME

Aluminum

Base

Metal

(34)

5/2022

USD

(2,961,706)

(172,106)

LME

Aluminum

Base

Metal

(34)

5/2022

USD

(2,961,706)

(51,234)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,356)

(11,029)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,308)

(12,361)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,288)

(10,954)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,298)

(11,524)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,363)

(9,669)

LME

Copper

Base

Metal

(3)

5/2022

USD

(777,947)

(40,963)

LME

Copper

Base

Metal

(4)

5/2022

USD

(1,037,050)

(43,787)

LME

Copper

Base

Metal

(4)

5/2022

USD

(1,037,181)

(39,192)

LME

Copper

Base

Metal

(5)

5/2022

USD

(1,296,500)

(71,066)

LME

Copper

Base

Metal

(5)

5/2022

USD

(1,296,563)

(78,317)

LME

Copper

Base

Metal

(6)

5/2022

USD

(1,555,712)

(29,552)

LME

Copper

Base

Metal

(6)

5/2022

USD

(1,556,076)

(55,905)

LME

Lead

Base

Metal

(3)

5/2022

USD

(181,760)

(10,767)

LME

Lead

Base

Metal

(4)

5/2022

USD

(241,900)

(5,761)

LME

Lead

Base

Metal

(7)

5/2022

USD

(423,901)

(16,169)

LME

Lead

Base

Metal

(8)

5/2022

USD

(483,868)

(3,648)

LME

Lead

Base

Metal

(9)

5/2022

USD

(545,672)

(42,051)

LME

Lead

Base

Metal

(12)

5/2022

USD

(726,600)

(21,332)

LME

Lead

Base

Metal

(12)

5/2022

USD

(726,864)

(43,196)

LME

Lead

Base

Metal

(19)

5/2022

USD

(1,149,381)

(32,944)

LME

Lead

Base

Metal

(28)

5/2022

USD

(1,695,806)

(73,130)

LME

Nickel

Base

Metal

(2)

5/2022

USD

(385,207)

(106,186)

LME

Nickel

Base

Metal

(2)

5/2022

USD

(385,220)

(103,634)

LME

Nickel

Base

Metal

(7)

5/2022

USD

(1,348,363)

(370,089)

LME

Nickel

Base

Metal

(15)

5/2022

USD

(2,889,650)

(846,111)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,179)

(30,292)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(209,847)

(30,459)

LME

Zinc

Base

Metal

(4)

5/2022

USD

(420,607)

(58,639)

LME

Zinc

Base

Metal

(11)

5/2022

USD

(1,153,999)

(155,230)

LME

Zinc

Base

Metal

(16)

5/2022

USD

(1,681,284)

(243,350)

123

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(17)

5/2022

USD

$

(1,787,278)

$

(249,096)

LME

Zinc

Base

Metal

(28)

5/2022

USD

(2,944,501)

(420,959)

Wheat

(27)

5/2022

USD

(1,358,100)

(41,264)

Australia

10

Year

Bond

(410)

6/2022

AUD

(38,992,136)

1,346,053

Australia

3

Year

Bond

(1,354)

6/2022

AUD

(111,276,954)

1,663,720

Canada

10

Year

Bond

(569)

6/2022

CAD

(59,346,406)

2,198,478

DAX

Index

(6)

6/2022

EUR

(2,394,976)

(29,248)

DJIA

CBOT

E-Mini

Index

(34)

6/2022

USD

(5,885,060)

(275,156)

EURO

STOXX

50

Index

(12)

6/2022

EUR

(507,503)

3,823

Euro-

Bobl

(372)

6/2022

EUR

(53,057,918)

1,169,120

Euro-BTP

(242)

6/2022

EUR

(37,083,536)

1,431,110

Euro-Bund

(158)

6/2022

EUR

(27,731,785)

600,257

Euro-

Buxl

(47)

6/2022

EUR

(9,656,279)

294,336

Euro-OAT

(174)

6/2022

EUR

(29,144,532)

1,407,044

Euro-Schatz

(1,057)

6/2022

EUR

(129,529,900)

560,193

FTSE

100

Index

(42)

6/2022

GBP

(4,130,273)

(211,640)

FTSE/MIB

Index

(22)

6/2022

EUR

(2,969,905)

(156,038)

Japan

10

Year

Bond

(96)

6/2022

JPY

(118,213,898)

299,320

KOSPI

200

Index

(144)

6/2022

KRW

(10,861,928)

(433,209)

Lean

Hogs

(18)

6/2022

USD

(868,500)

(9,780)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,275)

449

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,750)

3,279

LME

Aluminum

Base

Metal

(5)

6/2022

USD

(436,250)

(8,515)

LME

Aluminum

Base

Metal

(6)

6/2022

USD

(523,650)

5,814

LME

Aluminum

Base

Metal

(10)

6/2022

USD

(872,573)

36,292

LME

Aluminum

Base

Metal

(17)

6/2022

USD

(1,481,121)

(17,211)

LME

Aluminum

Base

Metal

(17)

6/2022

USD

(1,482,022)

226,428

LME

Aluminum

Base

Metal

(20)

6/2022

USD

(1,745,470)

(45,529)

LME

Aluminum

Base

Metal

(24)

6/2022

USD

(2,091,966)

122,001

LME

Aluminum

Base

Metal

(28)

6/2022

USD

(2,442,104)

3,590

LME

Aluminum

Base

Metal

(65)

6/2022

USD

(5,667,366)

86,802

LME

Aluminum

Base

Metal

(193)

6/2022

USD

(16,846,488)

(4,544)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,433)

(9,760)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,413)

(7,665)

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,750)

(4,625)

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,650)

(19,781)

LME

Copper

Base

Metal

(4)

6/2022

USD

(1,037,500)

(12,811)

LME

Copper

Base

Metal

(5)

6/2022

USD

(1,296,875)

(2,524)

LME

Copper

Base

Metal

(5)

6/2022

USD

(1,296,969)

40,272

LME

Copper

Base

Metal

(9)

6/2022

USD

(2,334,375)

(23,108)

LME

Copper

Base

Metal

(10)

6/2022

USD

(2,593,625)

(12,433)

LME

Copper

Base

Metal

(15)

6/2022

USD

(3,890,625)

(3,665)

LME

Copper

Base

Metal

(17)

6/2022

USD

(4,409,375)

(78,670)

LME

Copper

Base

Metal

(18)

6/2022

USD

(4,669,425)

(45,906)

LME

Copper

Base

Metal

(52)

6/2022

USD

(13,490,750)

(129,835)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,400)

(590)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,425)

(3,953)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,416)

(2,843)

LME

Lead

Base

Metal

(2)

6/2022

USD

(121,167)

(1,782)

LME

Lead

Base

Metal

(4)

6/2022

USD

(242,284)

(592)

LME

Lead

Base

Metal

(4)

6/2022

USD

(242,300)

(15,082)

LME

Lead

Base

Metal

(7)

6/2022

USD

(424,074)

16,839

LME

Lead

Base

Metal

(7)

6/2022

USD

(423,042)

(27,752)

LME

Lead

Base

Metal

(8)

6/2022

USD

(483,150)

(8,771)

LME

Lead

Base

Metal

(8)

6/2022

USD

(483,100)

(12,121)

LME

Lead

Base

Metal

(10)

6/2022

USD

(604,063)

(20,326)

124

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(18)

6/2022

USD

$

(1,087,988)

$

(67,867)

LME

Lead

Base

Metal

(25)

6/2022

USD

(1,512,344)

(99,998)

LME

Lead

Base

Metal

(75)

6/2022

USD

(4,542,188)

(213,987)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,516)

(45,279)

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,052)

(40,646)

LME

Nickel

Base

Metal

(3)

6/2022

USD

(577,926)

9,979

LME

Nickel

Base

Metal

(8)

6/2022

USD

(1,540,776)

239,709

LME

Nickel

Base

Metal

(15)

6/2022

USD

(2,888,955)

(83,513)

LME

Nickel

Base

Metal

(28)

6/2022

USD

(5,392,464)

(579,048)

LME

Nickel

Base

Metal

(52)

6/2022

USD

(10,011,456)

4,341,318

LME

Nickel

Base

Metal

(108)

6/2022

USD

(20,800,800)

4,006,876

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,600)

(9,206)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,500)

(7,509)

LME

Zinc

Base

Metal

(2)

6/2022

USD

(208,900)

(14,856)

LME

Zinc

Base

Metal

(2)

6/2022

USD

(208,675)

(5,483)

LME

Zinc

Base

Metal

(2)

6/2022

USD

(208,675)

(3,574)

LME

Zinc

Base

Metal

(4)

6/2022

USD

(418,200)

(35,802)

LME

Zinc

Base

Metal

(4)

6/2022

USD

(418,950)

(39,248)

LME

Zinc

Base

Metal

(6)

6/2022

USD

(628,769)

(6,236)

LME

Zinc

Base

Metal

(6)

6/2022

USD

(626,400)

(32,418)

LME

Zinc

Base

Metal

(7)

6/2022

USD

(733,863)

(85,071)

LME

Zinc

Base

Metal

(7)

6/2022

USD

(733,663)

616

LME

Zinc

Base

Metal

(14)

6/2022

USD

(1,466,724)

(94,670)

LME

Zinc

Base

Metal

(15)

6/2022

USD

(1,565,625)

(36,382)

LME

Zinc

Base

Metal

(23)

6/2022

USD

(2,410,935)

(118,478)

LME

Zinc

Base

Metal

(42)

6/2022

USD

(4,397,925)

(392,800)

Long

Gilt

(234)

6/2022

GBP

(37,329,939)

258,081

MSCI

EAFE

E-Mini

Index

(73)

6/2022

USD

(7,827,060)

(426,518)

MSCI

Emerging

Markets

E-Mini

Index

(188)

6/2022

USD

(10,579,700)

(765,508)

NASDAQ

100

E-Mini

Index

(12)

6/2022

USD

(3,568,500)

(301,239)

Nikkei

225

Index

(38)

6/2022

JPY

(8,686,874)

(771,591)

Palladium

(1)

6/2022

USD

(225,560)

(8,333)

Russell

2000

E-Mini

Index

(83)

6/2022

USD

(8,575,560)

(254,500)

S&P

500

E-Mini

Index

(33)

6/2022

USD

(7,475,738)

(352,539)

S&P

Midcap

400

E-Mini

Index

(20)

6/2022

USD

(5,378,400)

(127,287)

TOPIX

Index

(33)

6/2022

JPY

(5,276,368)

(503,707)

U.S.

Treasury

10

Year

Note

(474)

6/2022

USD

(58,183,500)

1,515,531

U.S.

Treasury

2

Year

Note

(1,179)

6/2022

USD

(249,690,094)

3,208,271

U.S.

Treasury

5

Year

Note

(729)

6/2022

USD

(83,493,281)

2,022,795

U.S.

Treasury

Long

Bond

(172)

6/2022

USD

(25,837,625)

439,237

U.S.

Treasury

Ultra

Bond

(139)

6/2022

USD

(24,611,688)

719,660

Cocoa

(36)

7/2022

GBP

(849,354)

(3,124)

Cocoa

(215)

7/2022

USD

(5,777,050)

(49,068)

Platinum

(29)

7/2022

USD

(1,443,910)

32,091

Rubber

(29)

8/2022

JPY

(306,699)

(8,154)

3

Month

Canadian

Bankers

Acceptance

(306)

9/2022

CAD

(59,641,423)

404,702

3

Month

Euro

Euribor

(255)

9/2022

EUR

(70,586,909)

64,731

ASX

90

Day

Bank

Accepted

Bill

(176)

9/2022

AUD

(131,225,153)

129,471

3

Month

Canadian

Bankers

Acceptance

(141)

12/2022

CAD

(27,373,275)

202,702

3

Month

Euro

Euribor

(70)

12/2022

EUR

(19,307,105)

27,215

3

Month

Euro

Euribor

(166)

12/2022

EUR

(45,785,420)

350,573

3

Month

SOFR

(310)

12/2022

USD

(75,950,000)

411,038

3

Month

SONIA

(131)

12/2022

GBP

(42,213,223)

199,613

ASX

90

Day

Bank

Accepted

Bill

(120)

12/2022

AUD

(89,346,575)

123,370

3

Month

Euro

Euribor

(15)

3/2023

EUR

(4,119,606)

9,376

3

Month

Euro

Euribor

(184)

3/2023

EUR

(50,533,832)

594,121

125

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SOFR

(325)

3/2023

USD

$

(79,283,750)

$

568,853

3

Month

SONIA

(121)

3/2023

GBP

(38,893,482)

297,422

3

Month

Euro

Euribor

(165)

6/2023

EUR

(45,165,076)

674,434

3

Month

SOFR

(304)

6/2023

USD

(73,906,200)

642,852

3

Month

SONIA

(106)

6/2023

GBP

(34,004,093)

291,644

3

Month

Euro

Euribor

(160)

9/2023

EUR

(43,707,938)

735,795

3

Month

SOFR

(309)

9/2023

USD

(75,009,750)

662,409

3

Month

SONIA

(214)

9/2023

GBP

(68,575,978)

671,201

3

Month

Euro

Euribor

(188)

12/2023

EUR

(51,325,630)

571,487

3

Month

SOFR

(351)

12/2023

USD

(85,209,638)

716,023

3

Month

SONIA

(3)

12/2023

GBP

(961,345)

13,270

3

Month

SONIA

(268)

12/2023

GBP

(85,880,197)

844,049

3

Month

Euro

Euribor

(244)

3/2024

EUR

(66,603,994)

538,777

3

Month

SOFR

(390)

3/2024

USD

(94,760,250)

710,002

3

Month

SONIA

(32)

3/2024

GBP

(10,261,183)

135,157

3

Month

SONIA

(190)

3/2024

GBP

(60,925,773)

522,415

3

Month

SOFR

(389)

6/2024

USD

(94,619,388)

839,237

3

Month

SONIA

(173)

6/2024

GBP

(55,548,380)

392,188

20,604,526

$

40,399,000

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

65,556,000

USD

48,398,945

CITI

6/15/2022

$

718,652

AUD

65,556,000

USD

48,399,005

JPMC

6/15/2022

718,592

BRL

19,696,500

USD

3,901,367

CITI

**

6/15/2022

149,086

BRL

19,696,500

USD

3,901,372

JPMC

**

6/15/2022

149,081

CAD

108,449,481

USD

85,328,306

CITI

6/15/2022

1,404,871

CAD

108,449,478

USD

85,328,410

JPMC

6/15/2022

1,404,764

CHF

272,500

USD

292,680

CITI

6/15/2022

3,152

CHF

272,500

USD

292,680

JPMC

6/15/2022

3,151

CLP

4,310,243,006

USD

5,268,304

CITI

**

6/15/2022

141,521

CLP

4,310,242,994

USD

5,268,311

JPMC

**

6/15/2022

141,514

COP

4,811,105,691

USD

1,230,432

CITI

**

6/15/2022

31,574

COP

4,811,105,685

USD

1,230,433

JPMC

**

6/15/2022

31,572

EUR

58,123,000

USD

64,170,062

CITI

6/15/2022

310,629

EUR

58,123,000

USD

64,170,142

JPMC

6/15/2022

310,549

IDR

11,250,337,500

USD

781,548

CITI

**

6/15/2022

902

IDR

11,250,337,500

USD

781,549

JPMC

**

6/15/2022

901

ILS

1,722,503

USD

534,326

CITI

6/15/2022

6,668

ILS

1,722,497

USD

534,325

JPMC

6/15/2022

6,668

INR

1,565,746,500

USD

20,253,854

CITI

**

6/15/2022

169,942

INR

1,565,746,500

USD

20,253,879

JPMC

**

6/15/2022

169,916

JPY

4,374,408,000

USD

35,861,686

CITI

6/15/2022

140,855

JPY

4,374,408,000

USD

35,861,731

JPMC

6/15/2022

140,810

KRW

19,646,767,000

USD

16,078,312

CITI

**

6/15/2022

83,060

KRW

19,646,767,000

USD

16,078,332

JPMC

**

6/15/2022

83,040

MXN

668,260,624

USD

32,182,090

CITI

6/15/2022

974,215

MXN

668,260,624

USD

32,182,131

JPMC

6/15/2022

974,175

NOK

428,840,502

USD

48,028,799

CITI

6/15/2022

658,430

126

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NOK

428,840,502

USD

48,028,859

JPMC

6/15/2022

$

658,370

NZD

83,842,000

USD

57,054,687

CITI

6/15/2022

978,364

NZD

83,842,000

USD

57,054,758

JPMC

6/15/2022

978,293

PHP

135,133,500

USD

2,552,915

CITI

**

6/15/2022

42,207

PHP

135,133,500

USD

2,552,918

JPMC

**

6/15/2022

42,204

PLN

132,768,698

USD

30,285,605

CITI

6/15/2022

1,082,533

PLN

132,768,693

USD

30,285,642

JPMC

6/15/2022

1,082,494

SEK

273,449,565

USD

28,728,903

CITI

6/15/2022

408,640

SEK

273,449,560

USD

28,728,938

JPMC

6/15/2022

408,603

SGD

15,839,500

USD

11,650,166

CITI

6/15/2022

36,328

SGD

15,839,500

USD

11,650,181

JPMC

6/15/2022

36,314

TWD

46,933,500

USD

1,638,746

CITI

**

6/15/2022

5,708

TWD

46,933,500

USD

1,638,748

JPMC

**

6/15/2022

5,706

USD

5,547,341

CAD

6,921,000

CITI

6/15/2022

12,227

USD

5,547,334

CAD

6,921,000

JPMC

6/15/2022

12,220

USD

215,320,213

EUR

190,395,963

CITI

6/15/2022

4,098,093

USD

215,319,933

EUR

190,395,953

JPMC

6/15/2022

4,097,823

USD

52,710,901

GBP

39,841,000

CITI

6/15/2022

388,832

USD

52,710,836

GBP

39,841,000

JPMC

6/15/2022

388,766

USD

487,985

HUF

162,754,000

CITI

6/15/2022

2,952

USD

487,985

HUF

162,754,000

JPMC

6/15/2022

2,952

USD

32,254,236

INR

2,458,016,927

CITI

**

6/15/2022

191,551

USD

32,254,196

INR

2,458,016,925

JPMC

**

6/15/2022

191,511

USD

330,507,238

JPY

38,216,306,724

CITI

6/15/2022

15,976,868

USD

330,506,825

JPY

38,216,306,716

JPMC

6/15/2022

15,976,455

USD

35,104,883

KRW

42,131,352,583

CITI

**

6/15/2022

447,758

USD

35,104,839

KRW

42,131,352,577

JPMC

**

6/15/2022

447,715

USD

674,184

NOK

5,920,500

CITI

6/15/2022

2,016

USD

674,183

NOK

5,920,500

JPMC

6/15/2022

2,015

USD

14,701,280

PHP

761,483,273

CITI

**

6/15/2022

77,650

USD

14,701,262

PHP

761,483,268

JPMC

**

6/15/2022

77,632

USD

1,955,170

PLN

8,117,000

CITI

6/15/2022

37,435

USD

1,955,168

PLN

8,117,000

JPMC

6/15/2022

37,433

USD

17,587,607

SEK

163,252,500

CITI

6/15/2022

192,163

USD

17,587,585

SEK

163,252,500

JPMC

6/15/2022

192,141

USD

5,062,293

SGD

6,850,500

CITI

6/15/2022

7,946

USD

5,062,286

SGD

6,850,500

JPMC

6/15/2022

7,939

USD

27,076,413

TWD

752,786,526

CITI

**

6/15/2022

700,309

USD

27,076,379

TWD

752,786,523

JPMC

**

6/15/2022

700,275

ZAR

679,483,554

USD

43,977,069

CITI

6/15/2022

2,087,041

ZAR

679,483,550

USD

43,977,124

JPMC

6/15/2022

2,086,986

Total

unrealized

appreciation

63,138,758

AUD

13,265,000

USD

9,974,926

CITI

6/15/2022

(36,173)

AUD

13,265,000

USD

9,974,939

JPMC

6/15/2022

(36,185)

CHF

6,297,500

USD

6,868,201

CITI

6/15/2022

(31,501)

CHF

6,297,500

USD

6,868,210

JPMC

6/15/2022

(31,509)

COP

2,736,337,000

USD

719,611

CITI

**

6/15/2022

(1,840)

COP

2,736,337,000

USD

719,612

JPMC

**

6/15/2022

(1,840)

EUR

63,379,000

USD

71,200,566

CITI

6/15/2022

(888,955)

EUR

63,379,000

USD

71,200,655

JPMC

6/15/2022

(889,045)

GBP

59,708,992

USD

80,079,691

CITI

6/15/2022

(1,665,543)

GBP

59,708,992

USD

80,079,791

JPMC

6/15/2022

(1,665,643)

HUF

12,365,385,642

USD

37,958,343

CITI

6/15/2022

(1,107,540)

HUF

12,365,385,640

USD

37,958,390

JPMC

6/15/2022

(1,107,587)

INR

217,920,000

USD

2,856,105

CITI

**

6/15/2022

(13,529)

INR

217,920,000

USD

2,856,109

JPMC

**

6/15/2022

(13,532)

JPY

11,241,347,500

USD

97,974,111

CITI

6/15/2022

(5,454,831)

JPY

11,241,347,500

USD

97,974,234

JPMC

6/15/2022

(5,454,953)

127

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

4,908,284,500

USD

4,060,833

CITI

**

6/15/2022

$

(23,293)

KRW

4,908,284,500

USD

4,060,838

JPMC

**

6/15/2022

(23,298)

PLN

212,853,317

USD

52,085,038

CITI

6/15/2022

(1,795,985)

PLN

212,853,308

USD

52,085,101

JPMC

6/15/2022

(1,796,049)

SEK

136,316,062

USD

14,612,178

CITI

6/15/2022

(86,958)

SEK

136,316,062

USD

14,612,196

JPMC

6/15/2022

(86,976)

SGD

12,394,000

USD

9,194,464

CITI

6/15/2022

(50,084)

SGD

12,394,000

USD

9,194,476

JPMC

6/15/2022

(50,096)

TWD

283,527,000

USD

9,987,683

CITI

**

6/15/2022

(53,475)

TWD

283,527,000

USD

9,987,696

JPMC

**

6/15/2022

(53,487)

USD

30,944,892

AUD

42,717,956

CITI

6/15/2022

(1,061,383)

USD

30,944,853

AUD

42,717,956

JPMC

6/15/2022

(1,061,421)

USD

7,778,734

BRL

40,835,999

CITI

**

6/15/2022

(618,914)

USD

7,778,723

BRL

40,835,993

JPMC

**

6/15/2022

(618,924)

USD

23,221,021

CAD

29,373,000

CITI

6/15/2022

(270,227)

USD

23,220,992

CAD

29,373,000

JPMC

6/15/2022

(270,256)

USD

3,625,410

CLP

2,948,696,334

CITI

**

6/15/2022

(75,525)

USD

3,625,406

CLP

2,948,696,322

JPMC

**

6/15/2022

(75,529)

USD

71,968,951

EUR

65,839,000

CITI

6/15/2022

(1,071,744)

USD

71,968,861

EUR

65,839,000

JPMC

6/15/2022

(1,071,833)

USD

3,800,002

GBP

2,903,500

CITI

6/15/2022

(13,083)

USD

3,799,998

GBP

2,903,500

JPMC

6/15/2022

(13,088)

USD

29,129,130

HUF

10,528,121,500

CITI

6/15/2022

(2,246,335)

USD

29,129,094

HUF

10,528,121,500

JPMC

6/15/2022

(2,246,372)

USD

921,436

IDR

13,284,815,644

CITI

**

6/15/2022

(2,510)

USD

921,435

IDR

13,284,815,644

JPMC

**

6/15/2022

(2,511)

USD

7,924,216

ILS

25,923,002

CITI

6/15/2022

(217,536)

USD

7,924,205

ILS

25,922,998

JPMC

6/15/2022

(217,546)

USD

24,465,010

INR

1,876,466,927

CITI

**

6/15/2022

(11,863)

USD

24,464,979

INR

1,876,466,925

JPMC

**

6/15/2022

(11,894)

USD

7,164,541

KRW

8,845,215,500

CITI

**

6/15/2022

(111,507)

USD

7,164,532

KRW

8,845,215,500

JPMC

**

6/15/2022

(111,516)

USD

16,856,128

MXN

356,107,000

CITI

6/15/2022

(812,417)

USD

16,856,107

MXN

356,107,000

JPMC

6/15/2022

(812,438)

USD

50,946,206

NZD

76,137,531

CITI

6/15/2022

(1,754,030)

USD

50,946,143

NZD

76,137,531

JPMC

6/15/2022

(1,754,094)

USD

2,079,383

PHP

108,783,326

CITI

**

6/15/2022

(9,707)

USD

2,079,380

PHP

108,783,325

JPMC

**

6/15/2022

(9,710)

USD

73,319,050

PLN

330,765,000

CITI

6/15/2022

(4,827,998)

USD

73,318,959

PLN

330,765,000

JPMC

6/15/2022

(4,828,091)

USD

21,438,793

SEK

211,864,502

CITI

6/15/2022

(1,136,526)

USD

21,438,765

SEK

211,864,498

JPMC

6/15/2022

(1,136,552)

USD

17,631,106

SGD

24,026,000

CITI

6/15/2022

(95,445)

USD

17,631,084

SGD

24,026,000

JPMC

6/15/2022

(95,467)

USD

1,697,595

ZAR

25,542,500

CITI

6/15/2022

(34,003)

USD

1,697,593

ZAR

25,542,500

JPMC

6/15/2022

(34,005)

Total

unrealized

depreciation

(51,161,907)

Net

unrealized

appreciation

$

11,976,851

**

Non-deliverable

forward.

128

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$6,342,503

$(7,239)

$210,470

$203,231

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.55%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

03/18/2024

$3,874,691

$55,194

$60,010

$115,204

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.30%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/24/2026

-

03/26/2027

$133,969,375

$(645,076)

$218,539

$(426,537)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

53,700

1,036,240

135,288

(31.7)

Disco

Corp.

2,800

782,985

104,341

(24.5)

Hoya

Corp.

6,900

786,309

25,642

(6.0)

Inpex

Corp.

113,600

1,335,634

103,307

(24.2)

Japan

Post

Insurance

Co.

Ltd.

56,700

987,440

84,575

(19.8)

Japan

Tobacco,

Inc.

76,000

1,297,896

27,420

(6.4)

Kyushu

Electric

Power

Co.,

Inc.

153,600

1,028,415

(20,010)

4.7

129

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

MISUMI

Group,

Inc.

37,600

1,119,383

65,969

(15.5)

Mitsubishi

Electric

Corp.

109,900

1,260,427

113,931

(26.7)

Nabtesco

Corp.

38,900

1,027,059

104,752

(24.6)

Nagoya

Railroad

Co.

Ltd.

63,300

1,120,125

81,644

(19.1)

Olympus

Corp.

42,300

801,695

71,969

(16.9)

Recruit

Holdings

Co.

Ltd.

38,300

1,664,022

113,194

(26.5)

Shimadzu

Corp.

24,000

825,468

67,056

(15.7)

Shimamura

Co.

Ltd.

8,800

782,134

46,562

(10.9)

Sumitomo

Corp.

51,900

898,838

94,873

(22.2)

Takeda

Pharmaceutical

Co.

Ltd.

28,500

812,028

43,882

(10.3)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

239,800

791,577

132,035

(31.0)

Yamada

Holdings

Co.

Ltd.

242,300

753,283

10,840

(2.5)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(50,300)

(1,072,522)

(348)

0.1

Astellas

Pharma,

Inc.

(48,200)

(753,120)

(42,600)

10.0

Bridgestone

Corp.

(23,400)

(908,289)

(80,148)

18.8

Central

Japan

Railway

Co.

(10,200)

(1,330,013)

(98,761)

23.2

Concordia

Financial

Group

Ltd.

(250,600)

(932,647)

(46,335)

10.9

Daiwa

Securities

Group,

Inc.

(154,100)

(871,699)

(43,478)

10.2

Denso

Corp.

(12,200)

(778,361)

(116,032)

27.2

East

Japan

Railway

Co.

(26,100)

(1,510,603)

(148,973)

34.9

Honda

Motor

Co.

Ltd.

(44,500)

(1,261,390)

(98,398)

23.1

Isuzu

Motors

Ltd.

(73,100)

(944,307)

(38,188)

9.0

ITOCHU

Corp.

(24,300)

(821,971)

(64,435)

15.1

Japan

Airlines

Co.

Ltd.

(47,100)

(878,100)

(159,003)

37.3

KDDI

Corp.

(31,200)

(1,022,943)

1,623

(0.4)

Kobe

Bussan

Co.

Ltd.

(29,200)

(898,622)

8,975

(2.1)

Lasertec

Corp.

(12,400)

(2,062,915)

(294,391)

69.0

M3,

Inc.

(22,200)

(801,775)

(30,415)

7.1

Mitsubishi

Corp.

(22,800)

(855,610)

(104,709)

24.5

MonotaRO

Co.

Ltd.

(47,500)

(1,019,461)

(102,870)

24.1

Nidec

Corp.

(12,000)

(947,797)

(86,407)

20.3

Nippon

Paint

Holdings

Co.

Ltd.

(111,100)

(973,385)

(122,571)

28.7

Nitori

Holdings

Co.

Ltd.

(6,900)

(868,108)

49,460

(11.6)

Oriental

Land

Co.

Ltd.

(13,600)

(2,603,113)

(245,639)

57.6

Rakuten

Group,

Inc.

(145,400)

(1,143,240)

(68,223)

16.0

Seven

&

i

Holdings

Co.

Ltd.

(55,100)

(2,627,014)

(150,656)

35.3

SMC

Corp.

(1,700)

(950,290)

(85,144)

20.0

SoftBank

Corp.

(105,900)

(1,235,124)

29,855

(7.0)

Sony

Group

Corp.

(9,900)

(1,018,470)

(133,089)

31.2

Tokyo

Electron

Ltd.

(2,900)

(1,489,327)

(262,232)

61.5

Toyota

Motor

Corp.

(122,200)

(2,204,244)

(290,960)

68.2

Yaskawa

Electric

Corp.

(25,900)

(1,009,451)

(103,401)

24.2

Z

Holdings

Corp.

(176,800)

(764,323)

(40,576)

9.5

130

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.33%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/26/2027

$654,378,011

$(2,460,745)

$(747,338)

$(3,208,083)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

17,298

2,047,391

(1,935)

0.1

Alphabet,

Inc.

602

1,674,373

33,336

(1.0)

Apple,

Inc.

9,882

1,725,496

82,135

(2.6)

Autodesk,

Inc.

8,758

1,877,277

96,910

(3.0)

Boeing

Co.

(The)

10,627

2,035,070

127,000

(4.0)

Coca-Cola

Co.

(The)

27,607

1,711,634

83,925

(2.6)

DuPont

de

Nemours,

Inc.

24,014

1,766,950

18,941

(0.6)

Emerson

Electric

Co.

17,092

1,675,871

62,557

(1.9)

Gartner,

Inc.

6,560

1,951,338

93,546

(2.9)

General

Dynamics

Corp.

7,194

1,735,049

31,438

(1.0)

Gilead

Sciences,

Inc.

28,350

1,685,408

28,713

(0.9)

Halliburton

Co.

47,864

1,812,610

145,028

(4.5)

International

Paper

Co.

39,026

1,801,050

155,323

(4.8)

IQVIA

Holdings,

Inc.

10,074

2,329,210

116,052

(3.6)

Johnson

&

Johnson

15,430

2,734,659

121,434

(3.8)

JPMorgan

Chase

&

Co.

18,490

2,520,557

37,096

(1.2)

KLA

Corp.

5,388

1,972,331

129,409

(4.0)

McDonald's

Corp.

11,446

2,830,367

169,500

(5.3)

Meta

Platforms,

Inc.

7,385

1,642,129

175,251

(5.5)

Microchip

Technology,

Inc.

23,376

1,756,473

80,726

(2.5)

Microsoft

Corp.

9,739

3,002,631

147,462

(4.6)

OGE

Energy

Corp.

39,067

1,593,152

77,743

(2.4)

Pfizer,

Inc.

63,114

3,267,412

147,863

(4.6)

SS&C

Technologies

Holdings,

Inc.

26,156

1,962,223

(7,933)

0.2

UnitedHealth

Group,

Inc.

5,209

2,656,434

65,599

(2.0)

Verizon

Communications,

Inc.

36,150

1,841,481

(65,019)

2.0

Short

Positions

Common

Stocks

United

States

American

Express

Co.

(13,672)

(2,556,664)

(165,594)

5.2

Amgen,

Inc.

(6,700)

(1,620,194)

(73,353)

2.3

Atmos

Energy

Corp.

(13,886)

(1,659,238)

(97,353)

3.0

Avangrid

,

Inc.

(35,554)

(1,661,794)

(55,464)

1.7

BorgWarner,

Inc.

(45,297)

(1,762,053)

(58,707)

1.8

CarMax,

Inc.

(16,576)

(1,599,252)

82,869

(2.6)

131

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Dollar

General

Corp.

(8,749)

(1,947,790)

(134,822)

4.2

Hewlett

Packard

Enterprise

Co.

(132,137)

(2,208,009)

(20,620)

0.6

Hormel

Foods

Corp.

(52,567)

(2,709,303)

(85,684)

2.7

Illinois

Tool

Works,

Inc.

(13,727)

(2,874,434)

(12,387)

0.4

Insulet

Corp.

(6,946)

(1,850,345)

(129,799)

4.0

Jazz

Pharmaceuticals

plc

(12,412)

(1,932,176)

(20,232)

0.6

M&T

Bank

Corp.

(11,851)

(2,008,744)

90,609

(2.8)

McCormick

&

Co.,

Inc.

(Non-Voting)

(17,226)

(1,719,155)

(28,871)

0.9

MillerKnoll

,

Inc.

(59,653)

(2,061,608)

29,289

(0.9)

Norwegian

Cruise

Line

Holdings

Ltd.

(76,465)

(1,673,054)

(320,118)

10.0

PepsiCo,

Inc.

(9,900)

(1,657,062)

(98,802)

3.1

Performance

Food

Group

Co.

(34,131)

(1,737,609)

(81,393)

2.5

Progressive

Corp.

(The)

(14,271)

(1,626,751)

(136,047)

4.2

Royal

Caribbean

Cruises

Ltd.

(19,153)

(1,604,638)

(301,085)

9.4

Stanley

Black

&

Decker,

Inc.

(12,606)

(1,762,193)

92,245

(2.9)

STERIS

plc

(9,642)

(2,331,146)

(130,254)

4.1

Sysco

Corp.

(23,191)

(1,893,545)

(48,078)

1.5

T-Mobile

US,

Inc.

(17,931)

(2,301,444)

(96,779)

3.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

03/25/2024

$44,556,655

$(215,762)

$34,604

$(181,158)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

102,182

1,014,659

(6,025)

3.3

Ampol

Ltd.

43,343

984,659

14,633

(8.1)

Aristocrat

Leisure

Ltd.

41,309

1,121,209

(10,654)

5.9

Aurizon

Holdings

Ltd.

394,424

1,084,132

6,816

(3.8)

Australia

&

New

Zealand

Banking

Group

Ltd.

14,617

299,517

(2,476)

1.4

BHP

Group

Ltd.

25,241

972,977

33,034

(18.2)

BlueScope

Steel

Ltd.

73,911

1,149,323

(37,574)

20.7

Brambles

Ltd.

67,273

496,451

8,686

(4.8)

Coles

Group

Ltd.

68,906

920,960

(429)

0.2

Incitec

Pivot

Ltd.

336,036

951,224

(19,497)

10.8

JB

Hi-Fi

Ltd.

42,978

1,737,179

(24,381)

13.5

Medibank

Pvt

Ltd.

118,884

273,139

943

(0.5)

Mineral

Resources

Ltd.

18,602

733,296

55,624

(30.7)

Origin

Energy

Ltd.

147,236

685,343

(17,598)

9.7

QBE

Insurance

Group

Ltd.

58,148

498,637

2,648

(1.5)

132

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

REA

Group

Ltd.

4,233

424,356

(6,800)

3.8

Santos

Ltd.

45,125

261,626

(6,482)

3.6

Sonic

Healthcare

Ltd.

39,001

1,029,714

3,940

(2.2)

South32

Ltd.

372,461

1,415,829

(5,692)

3.1

Suncorp

Group

Ltd.

55,307

458,478

(3,388)

1.9

Telstra

Corp.

Ltd.

627,333

1,853,430

22,682

(12.5)

Woodside

Petroleum

Ltd.

15,431

370,829

(17,059)

9.4

Worley

Ltd.

43,381

419,077

2,569

(1.4)

United

States

James

Hardie

Industries

plc

18,669

560,035

(42,247)

23.3

Short

Positions

Common

Stocks

Australia

APA

Group

(171,965)

(1,366,751)

(33,748)

18.6

Atlas

Arteria

Ltd.

(121,567)

(591,652)

14,232

(7.9)

carsales.com

Ltd.

(31,076)

(481,097)

(4,440)

2.5

Cochlear

Ltd.

(9,443)

(1,576,613)

(1,920)

1.1

Commonwealth

Bank

of

Australia

(4,045)

(318,553)

2,045

(1.1)

Computershare

Ltd.

(26,696)

(490,648)

(5,458)

3.0

CSL

Ltd.

(6,928)

(1,383,123)

(10,418)

5.8

Evolution

Mining

Ltd.

(356,897)

(1,177,942)

34,582

(19.1)

IDP

Education

Ltd.

(46,600)

(1,090,631)

(19,925)

11.0

Insurance

Australia

Group

Ltd.

(128,702)

(421,214)

9,302

(5.1)

Lendlease

Corp.

Ltd.

(129,141)

(1,076,510)

(28,092)

15.5

National

Australia

Bank

Ltd.

(44,041)

(1,060,282)

(16,958)

9.4

Newcrest

Mining

Ltd.

(46,939)

(948,515)

(3,727)

2.1

NEXTDC

Ltd.

(113,390)

(976,865)

(38,650)

21.3

Northern

Star

Resources

Ltd.

(129,357)

(1,043,613)

(169)

0.1

Orica

Ltd.

(84,728)

(1,008,090)

(655)

0.4

Pro

Medicus

Ltd.

(20,786)

(753,010)

(35,803)

19.8

Qantas

Airways

Ltd.

(113,593)

(439,221)

(4,897)

2.7

Reece

Ltd.

(18,914)

(266,301)

6,670

(3.7)

SEEK

Ltd.

(41,167)

(906,603)

21,816

(12.0)

Seven

Group

Holdings

Ltd.

(47,543)

(750,662)

6,018

(3.3)

Transurban

Group

(114,096)

(1,152,821)

(25,873)

14.3

Wesfarmers

Ltd.

(20,113)

(754,732)

3,301

(1.8)

Westpac

Banking

Corp.

(53,422)

(965,153)

(15,814)

8.7

Woolworths

Group

Ltd.

(41,156)

(1,142,689)

(26,060)

14.4

New

Zealand

Xero

Ltd.

(6,751)

(511,643)

15,757

(8.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-2.24%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-25

months

maturity

ranging

from

11/25/2022

-

03/25/2024

$71,499,182

$(268,483)

$(356,824)

$(625,307)

133

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

53,777

720,095

(31,804)

5.1

Bank

of

Montreal

5,492

646,265

(8,973)

1.4

Canadian

Natural

Resources

Ltd.

25,735

1,593,526

(40,071)

6.4

Canadian

Tire

Corp.

Ltd.

4,447

671,452

8,379

(1.3)

CI

Financial

Corp.

45,432

721,737

(19,970)

3.2

Empire

Co.

Ltd.

31,738

1,125,675

30,713

(4.9)

Enbridge,

Inc.

19,190

883,402

(3,672)

0.6

Fairfax

Financial

Holdings

Ltd.

3,341

1,822,711

82,977

(13.3)

Finning

International,

Inc.

34,219

1,030,279

(12,312)

2.0

iA

Financial

Corp.,

Inc.

13,090

795,881

4,294

(0.7)

Imperial

Oil

Ltd.

31,273

1,513,432

39,821

(6.4)

Intact

Financial

Corp.

4,126

609,651

(725)

0.1

Loblaw

Cos.

Ltd.

10,089

905,319

21,854

(3.5)

Magna

International,

Inc.

12,675

813,739

10,600

(1.7)

National

Bank

of

Canada

21,866

1,676,134

(27,957)

4.5

Nutrien

Ltd.

6,501

671,967

(30,671)

4.9

Onex

Corp.

10,401

697,033

(2,641)

0.4

Pembina

Pipeline

Corp.

25,004

939,438

(8,764)

1.4

SNC-Lavalin

Group,

Inc.

27,690

666,695

5,082

(0.8)

Stantec

,

Inc.

17,177

861,632

(3,990)

0.6

Suncor

Energy,

Inc.

53,326

1,736,086

(72,789)

11.6

TFI

International,

Inc.

6,958

741,077

9,540

(1.5)

Thomson

Reuters

Corp.

7,785

845,225

23,028

(3.7)

Toromont

Industries

Ltd.

7,372

698,841

23,178

(3.7)

Toronto-Dominion

Bank

(The)

13,340

1,058,429

(27,965)

4.5

Tourmaline

Oil

Corp.

28,732

1,323,812

(3,652)

0.6

Whitecap

Resources,

Inc.

80,734

667,752

(32,261)

5.2

Chile

Lundin

Mining

Corp.

79,212

802,796

(19,007)

3.0

Short

Positions

Common

Stocks

Canada

Air

Canada

(74,017)

(1,435,758)

(26,610)

4.3

Algonquin

Power

&

Utilities

Corp.

(172,356)

(2,673,265)

(20,619)

3.3

Ballard

Power

Systems,

Inc.

(140,933)

(1,640,263)

13,589

(2.2)

Barrick

Gold

Corp.

(36,216)

(888,199)

(2,064)

0.3

BCE,

Inc.

(43,505)

(2,411,628)

(48,010)

7.7

CAE,

Inc.

(71,587)

(1,863,329)

(46,951)

7.5

Canadian

Imperial

Bank

of

Commerce

(13,812)

(1,676,576)

67,723

(10.8)

Canadian

Pacific

Railway

Ltd.

(24,512)

(2,023,076)

2,716

(0.4)

Canadian

Utilities

Ltd.

(36,583)

(1,121,354)

(26,350)

4.2

Emera

,

Inc.

(30,829)

(1,528,195)

(36,018)

5.8

Fortis,

Inc.

(19,282)

(953,650)

(23,144)

3.7

Keyera

Corp.

(24,460)

(620,036)

(17,647)

2.8

Kinaxis

,

Inc.

(4,967)

(650,082)

2,803

(0.4)

Lightspeed

Commerce,

Inc.

(20,854)

(636,054)

(32,518)

5.2

Northland

Power,

Inc.

(19,444)

(646,397)

(9,503)

1.5

Restaurant

Brands

International,

Inc.

(16,132)

(942,512)

(21,695)

3.5

Ritchie

Bros

Auctioneers,

Inc.

(12,481)

(737,189)

(4,068)

0.7

Rogers

Communications,

Inc.

(27,694)

(1,567,514)

(59,178)

9.5

134

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Royal

Bank

of

Canada

(11,487)

(1,264,705)

33,449

(5.3)

Shopify,

Inc.

(1,825)

(1,234,238)

1,931

(0.3)

SSR

Mining,

Inc.

(34,121)

(741,838)

7,844

(1.3)

TC

Energy

Corp.

(27,588)

(1,555,997)

41,084

(6.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.65%

to

0.30%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$33,326,674

$(332,718)

$356,062

$23,344

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

19,512

632,983

(38,022)

(162.9)

Adecco

Group

AG

(Registered)

13,514

613,016

(20,578)

(88.2)

Baloise

Holding

AG

(Registered)

3,696

660,093

11,616

49.8

Barry

Callebaut

AG

(Registered)

186

436,068

10,820

46.4

Belimo

Holding

AG

(Registered)

741

392,448

9,822

42.1

BKW

AG

4,305

539,211

8,012

34.3

Bucher

Industries

AG

(Registered)

928

375,106

(5,847)

(25.0)

Credit

Suisse

Group

AG

(Registered)

19,916

156,781

(6,125)

(26.2)

DKSH

Holding

AG

5,494

462,716

(3,557)

(15.2)

dormakaba

Holding

AG

342

175,418

1,590

6.8

Geberit

AG

(Registered)

1,785

1,100,375

16,640

71.3

Georg

Fischer

AG

(Registered)

219

261,676

(4,309)

(18.5)

Julius

Baer

Group

Ltd.

6,177

357,614

7,050

30.2

Kuehne

+

Nagel

International

AG

(Registered)

8,174

2,320,837

(94,536)

(405.0)

Lonza

Group

AG

(Registered)

2,091

1,515,147

33,510

143.5

Novartis

AG

(Registered)

11,373

998,453

4,991

21.4

OC

Oerlikon

Corp.

AG

(Registered)

14,860

118,419

(782)

(3.4)

Partners

Group

Holding

AG

453

560,906

9,085

38.9

Schindler

Holding

AG

1,662

356,117

(8,136)

(34.9)

SGS

SA

(Registered)

33

91,745

(3,053)

(13.1)

Swatch

Group

AG

(The)

261

74,000

2,713

11.6

Swiss

Life

Holding

AG

(Registered)

191

122,394

587

2.5

Swisscom

AG

(Registered)

1,170

702,943

(9,457)

(40.5)

Tecan

Group

AG

(Registered)

690

272,785

10,370

44.4

135

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Temenos

AG

(Registered)

13,672

1,315,106

(83,159)

(356.2)

UBS

Group

AG

(Registered)

33,014

645,137

5,498

23.6

United

States

Swiss

Re

AG

4,824

459,216

4,822

20.7

Short

Positions

Common

Stocks

Austria

ams

-OSRAM

AG

(76,080)

(1,164,557)

6,117

26.2

Switzerland

Alcon,

Inc.

(7,659)

(606,791)

(21,239)

(91.0)

Bachem

Holding

AG

(Registered)

(1,135)

(624,639)

(18,070)

(77.4)

Banque

Cantonale

Vaudoise

(Registered)

(6,277)

(543,079)

(9,113)

(39.0)

Cie

Financiere

Richemont

SA

(2,773)

(351,491)

(7,346)

(31.5)

Dufry

AG

(Registered)

(51,283)

(2,157,873)

(16,670)

(71.4)

Flughafen

Zurich

AG

(Registered)

(6,365)

(1,142,434)

21,746

93.2

Givaudan

SA

(Registered)

(528)

(2,182,190)

(14,395)

(61.7)

Helvetia

Holding

AG

(Registered)

(957)

(124,938)

483

2.1

Holcim

Ltd.

(10,656)

(518,273)

(3,750)

(16.1)

Idorsia

Ltd.

(68,596)

(1,370,305)

(56,119)

(240.4)

Logitech

International

SA

(Registered)

(5,762)

(428,302)

15,791

67.6

Nestle

SA

(Registered)

(17,170)

(2,232,420)

(17,179)

(73.6)

Roche

Holding

AG

(1,856)

(734,348)

18,235

78.1

SIG

Combibloc

Group

AG

(51,029)

(1,286,434)

(24,585)

(105.3)

Sika

AG

(Registered)

(3,187)

(1,054,431)

(16,350)

(70.0)

Sonova

Holding

AG

(Registered)

(1,378)

(575,643)

(43,918)

(188.1)

Straumann

Holding

AG

(Registered)

(71)

(113,365)

(4,684)

(20.1)

Sulzer

AG

(Registered)

(3,683)

(305,931)

1,456

6.2

VAT

Group

AG

(243)

(92,520)

(2,693)

(11.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$12,235,823

$(123,757)

$(66,099)

$(189,856)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

1,063

3,194,276

(36,815)

19.4

Carlsberg

A/S

4,922

604,232

31,003

(16.3)

136

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

Danske

Bank

A/S

27,250

453,306

(4,482)

2.4

DSV

A/S

1,128

216,188

(2,035)

1.1

Genmab

A/S

262

94,622

2,123

(1.1)

ISS

A/S

25,376

450,971

17,509

(9.2)

Jyske

Bank

A/S

(Registered)

1,501

81,586

(378)

0.2

Novo

Nordisk

A/S

3,205

355,486

13,464

(7.1)

Pandora

A/S

2,585

246,258

4,172

(2.2)

Royal

Unibrew

A/S

1,868

174,519

(381)

0.2

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(4,486)

(66,039)

(2,745)

1.4

Chr

Hansen

Holding

A/S

(6,463)

(474,559)

(15,312)

8.1

Coloplast

A/S

(799)

(120,999)

(6,363)

3.4

Demant

A/S

(5,866)

(265,465)

(18,524)

9.8

GN

Store

Nord

A/S

(5,057)

(247,876)

(16,045)

8.5

Novozymes

A/S

(9,782)

(670,695)

(35,512)

18.7

Orsted

A/S

(1,922)

(240,580)

(15,926)

8.4

ROCKWOOL

International

A/S

(2,549)

(841,450)

35,506

(18.7)

SimCorp

A/S

(10,599)

(777,230)

3,790

(2.0)

Tryg

A/S

(30,107)

(732,042)

(9,934)

5.2

Vestas

Wind

Systems

A/S

(65,705)

(1,927,444)

(66,872)

35.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-10.00%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$154,340,904

$(825,449)

$714,987

$(110,462)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

20,509

1,036,797

(4,224)

3.8

Finland

Nokian

Renkaat

OYJ

67,979

1,103,285

(38,829)

35.2

France

Cie

de

Saint-Gobain

25,620

1,524,400

(31,128)

28.2

Hermes

International

824

1,166,246

50,469

(45.7)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,315

1,652,445

48,926

(44.3)

Orange

SA

178,449

2,113,068

(19,061)

17.3

137

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Renault

SA

42,237

1,104,078

29,439

(26.7)

Rexel

SA

51,359

1,096,403

25,801

(23.4)

TotalEnergies

SE

24,871

1,258,462

(50,916)

46.1

Germany

Bayerische

Motoren

Werke

AG

18,861

1,629,922

4,357

(3.9)

Deutsche

Bank

AG

(Registered)

78,355

986,818

(23,950)

21.7

Deutsche

Post

AG

(Registered)

28,411

1,356,679

(34,595)

31.3

Italy

Buzzi

Unicem

SpA

60,377

1,117,286

49,742

(45.0)

Davide

Campari-Milano

NV

89,023

1,032,584

22,600

(20.5)

Eni

SpA

130,786

1,907,282

(40,317)

36.5

Luxembourg

ArcelorMittal

SA

40,308

1,291,231

(100,780)

91.2

Eurofins

Scientific

SE

10,959

1,084,095

13,495

(12.2)

Netherlands

ASML

Holding

NV

2,760

1,844,292

(50,101)

45.4

ASR

Nederland

NV

32,071

1,497,264

18,603

(16.8)

Koninklijke

Ahold

Delhaize

NV

49,145

1,580,774

27,287

(24.7)

OCI

NV

31,546

1,113,715

(68,084)

61.6

Spain

Acerinox

SA

97,855

1,071,833

(45,337)

41.0

Repsol

SA

180,344

2,362,362

(63,809)

57.8

Short

Positions

Common

Stocks

China

Prosus

NV

(49,119)

(2,648,882)

(35,133)

31.8

Finland

Orion

OYJ

(24,669)

(1,120,388)

(25,332)

22.9

UPM-

Kymmene

OYJ

(31,479)

(1,027,948)

54,816

(49.6)

France

Accor

SA

(30,647)

(987,424)

(27,250)

24.7

Aeroports

de

Paris

(8,022)

(1,199,595)

23,782

(21.5)

Air

Liquide

SA

(6,004)

(1,050,363)

(2,204)

2.0

Alstom

SA

(75,032)

(1,755,666)

(6,765)

6.1

Edenred

(20,757)

(1,026,326)

3,093

(2.8)

L'Oreal

SA

(4,440)

(1,773,537)

(57,439)

52.0

Safran

SA

(10,210)

(1,202,080)

(22,173)

20.1

Germany

Allianz

SE

(Registered)

(5,280)

(1,260,907)

(14,802)

13.4

Deutsche

Telekom

AG

(Registered)

(82,887)

(1,543,698)

8,548

(7.7)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(39,695)

(2,659,995)

(19,583)

17.7

Hannover

Rueck

SE

(7,039)

(1,195,774)

(22,215)

20.1

Siemens

AG

(Registered)

(12,588)

(1,743,027)

45,343

(41.0)

Italy

Intesa

Sanpaolo

SpA

(509,167)

(1,165,364)

(20,155)

18.2

Nexi

SpA

(138,086)

(1,593,474)

68,115

(61.7)

Netherlands

ABN

AMRO

Bank

NV

(104,519)

(1,334,690)

13,959

(12.6)

Argenx

SE

(4,371)

(1,367,560)

(43,326)

39.2

Saudi

Arabia

Delivery

Hero

SE

(36,364)

(1,584,882)

(86,238)

78.1

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(41,996)

(1,132,189)

11,824

(10.7)

Aena

SME

SA

(9,695)

(1,616,160)

(40,182)

36.4

Amadeus

IT

Group

SA

(31,141)

(2,024,729)

(74,533)

67.5

CaixaBank

SA

(293,446)

(995,335)

(12,381)

11.2

138

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

(continued)

Ferrovial

SA

(55,452)

(1,474,738)

35,080

(31.8)

United

Kingdom

CNH

Industrial

NV

(88,353)

(1,391,629)

80,124

(72.5)

United

States

Schneider

Electric

SE

(14,076)

(2,363,225)

(91,125)

82.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-2.00%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$51,325,877

$(1,348,591)

$1,610,682

$262,091

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

229,205

1,491,370

(31,974)

(12.2)

Rio

Tinto

plc

33,639

2,689,322

71,031

27.1

Chile

Antofagasta

plc

32,764

711,927

(34,772)

(13.3)

Netherlands

Shell

plc

65,256

1,788,583

(20,425)

(7.8)

South

Africa

Anglo

American

plc

21,465

1,115,373

(6,483)

(2.5)

United

Kingdom

Ashtead

Group

plc

13,609

856,883

(61,976)

(23.6)

Barclays

plc

401,304

777,918

(103,853)

(39.6)

BP

plc

257,744

1,263,560

(62,514)

(23.9)

British

American

Tobacco

plc

23,395

982,525

(31,595)

(12.1)

DCC

plc

4,582

354,803

4,707

1.8

Diageo

plc

20,639

1,046,905

11,961

4.6

DS

Smith

plc

118,631

498,928

(947)

(0.4)

Howden

Joinery

Group

plc

66,535

667,016

(11,641)

(4.4)

Inchcape

plc

49,550

433,571

(16,581)

(6.3)

Johnson

Matthey

plc

19,062

466,194

7,171

2.7

Lloyds

Banking

Group

plc

581,040

353,835

(18,289)

(7.0)

M&G

plc

234,992

677,090

(14,419)

(5.5)

Man

Group

plc

333,399

1,017,411

37,063

14.1

National

Grid

plc

36,140

555,407

20,515

7.8

NatWest

Group

plc

199,576

563,670

(14,464)

(5.5)

Rotork

plc

122,945

523,503

(12,085)

(4.6)

Royal

Mail

plc

108,444

465,946

(47,021)

(17.9)

Spectris

plc

19,875

674,053

(2,519)

(1.0)

139

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Spirax-Sarco

Engineering

plc

3,805

622,044

9,178

3.5

SSE

plc

31,733

725,069

26,773

10.2

Travis

Perkins

plc

32,292

520,733

(20,616)

(7.9)

Unilever

plc

29,087

1,320,631

26,470

10.1

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(24,456)

(442,044)

(5,700)

(2.2)

ASOS

plc

(40,229)

(846,363)

(24,855)

(9.5)

AstraZeneca

plc

(27,630)

(3,664,098)

(91,242)

(34.8)

AVEVA

Group

plc

(42,493)

(1,357,254)

(14,543)

(5.5)

BAE

Systems

plc

(72,473)

(680,627)

38,048

14.5

Berkeley

Group

Holdings

plc

(9,709)

(473,571)

16,090

6.1

boohoo

Group

plc

(703,444)

(814,932)

(24,020)

(9.2)

BT

Group

plc

(397,074)

(946,748)

22,467

8.6

Compass

Group

plc

(24,783)

(533,333)

5,189

2.0

Croda

International

plc

(5,610)

(577,110)

(29,147)

(11.1)

easyJet

plc

(81,095)

(588,318)

(38,021)

(14.5)

Informa

plc

(94,438)

(739,924)

(2,943)

(1.1)

Investec

plc

(55,728)

(368,671)

(11,676)

(4.5)

JD

Sports

Fashion

plc

(204,200)

(393,476)

9,519

3.6

Ocado

Group

plc

(143,588)

(2,192,536)

(160,516)

(61.2)

Prudential

plc

(47,891)

(707,028)

(36,555)

(13.9)

Reckitt

Benckiser

Group

plc

(10,500)

(801,003)

(49,138)

(18.7)

Rentokil

Initial

plc

(72,260)

(497,762)

1,926

0.7

Severn

Trent

plc

(39,227)

(1,581,016)

(68,512)

(26.1)

Taylor

Wimpey

plc

(457,502)

(779,088)

16,409

6.3

Tesco

plc

(123,721)

(447,908)

286

0.1

United

Utilities

Group

plc

(35,566)

(523,728)

(25,869)

(9.9)

Whitbread

plc

(22,439)

(835,486)

(20,294)

(7.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-16.00%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

09/18/2023

-

03/25/2024

$14,018,689

$(84,015)

$(129,376)

$(213,391)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

140

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

378,500

1,424,214

39,911

(18.7)

SITC

International

Holdings

Co.

Ltd.

209,000

730,812

(6,897)

3.2

Hong

Kong

ASM

Pacific

Technology

Ltd.

122,100

1,229,235

(34,108)

16.0

CLP

Holdings

Ltd.

26,000

252,977

(440)

0.2

HKT

Trust

&

HKT

Ltd.

134,000

183,735

(2,384)

1.1

Hong

Kong

&

China

Gas

Co.

Ltd.

436,000

526,653

(14,364)

6.7

Kerry

Properties

Ltd.

30,000

84,513

2,941

(1.4)

New

World

Development

Co.

Ltd.

16,000

64,914

(1,366)

0.6

Swire

Properties

Ltd.

136,400

337,072

(17,288)

8.1

Xinyi

Glass

Holdings

Ltd.

118,000

282,925

(6,297)

3.0

Macau

Sands

China

Ltd.

58,400

138,932

5,787

(2.7)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

107,000

782,428

(13,242)

6.2

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(419,400)

(1,107,486)

(20,644)

9.7

Chow

Tai

Fook

Jewellery

Group

Ltd.

(371,600)

(671,151)

(16,533)

7.7

ESR

Cayman

Ltd.

(199,600)

(618,539)

7,017

(3.3)

Hong

Kong

Hang

Lung

Properties

Ltd.

(165,000)

(332,570)

(183)

0.1

Henderson

Land

Development

Co.

Ltd.

(91,000)

(377,743)

12,592

(5.9)

Man

Wah

Holdings

Ltd.

(66,000)

(71,394)

52

(0.0)

MTR

Corp.

Ltd.

(222,000)

(1,195,529)

(3,815)

1.8

Power

Assets

Holdings

Ltd.

(12,500)

(81,463)

319

(0.1)

Techtronic

Industries

Co.

Ltd.

(109,500)

(1,754,351)

(2,861)

1.3

Wharf

Real

Estate

Investment

Co.

Ltd.

(135,000)

(667,205)

596

(0.3)

Macau

Galaxy

Entertainment

Group

Ltd.

(95,000)

(562,152)

(3,077)

1.4

SJM

Holdings

Ltd.

(329,000)

(161,542)

1,416

(0.7)

Wynn

Macau

Ltd.

(523,200)

(379,154)

(11,147)

5.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2024

$24,060,240

$(305,605)

$754,707

$449,102

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

141

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

14,620

150,469

(1,229)

(0.3)

Sweden

Atlas

Copco

AB

3,814

197,969

855

0.2

Axfood

AB

19,506

635,235

13,916

3.1

BillerudKorsnas

AB

52,349

775,758

(10,722)

(2.4)

Boliden

AB

10,677

538,604

(18,440)

(4.1)

Electrolux

AB

7,848

118,760

(2,444)

(0.5)

Elekta

AB

11,818

93,077

(1,301)

(0.3)

Getinge

AB

26,699

1,063,661

47,894

10.7

H

&

M

Hennes

&

Mauritz

AB

52,671

707,247

(81,956)

(18.2)

Hexpol

AB

16,704

163,044

1,337

0.3

Husqvarna

AB

18,832

196,450

2,810

0.6

Indutrade

AB

18,004

452,786

28,068

6.2

Saab

AB

25,640

926,108

(70,337)

(15.7)

Securitas

AB

79,338

895,038

(18,050)

(4.0)

Skanska

AB

8,379

187,457

(7,866)

(1.8)

SKF

AB

3,809

62,109

1,758

0.4

SSAB

AB

138,340

921,146

(66,977)

(14.9)

SSAB

AB

20,408

141,802

(20,042)

(4.5)

Svenska

Cellulosa

AB

SCA

16,538

321,130

2,019

0.4

Svenska

Handelsbanken

AB

41,950

385,749

(9,437)

(2.1)

Swedbank

AB

26,658

398,154

(40,787)

(9.1)

Swedish

Match

AB

29,271

220,119

(5,359)

(1.2)

Tele2

AB

24,122

364,623

19,966

4.4

Telefonaktiebolaget

LM

Ericsson

139,397

1,270,679

(11,867)

(2.6)

Telia

Co.

AB

227,689

912,967

15,195

3.4

Trelleborg

AB

11,188

259,029

2,888

0.6

Volvo

AB

29,841

556,694

(6,095)

(1.4)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(12,315)

(312,640)

(12,202)

(2.7)

Sweden

AAK

AB

(17,785)

(329,605)

(15,839)

(3.5)

Alfa

Laval

AB

(8,505)

(292,550)

(18,512)

(4.1)

Assa

Abloy

AB

(17,525)

(471,065)

(3,231)

(0.7)

Beijer

Ref

AB

(32,656)

(591,448)

(28,191)

(6.3)

Embracer

Group

AB

(155,708)

(1,299,718)

14,606

3.3

Epiroc

AB

(31,134)

(665,921)

(25,981)

(5.8)

EQT

AB

(28,207)

(1,100,025)

(87,518)

(19.5)

Essity

AB

(64,354)

(1,518,692)

(59,907)

(13.3)

Evolution

AB

(1,148)

(116,791)

10,640

2.4

Hexagon

AB

(113,296)

(1,587,368)

1,984

0.4

Holmen

AB

(10,108)

(564,214)

10,097

2.2

Lifco

AB

(5,459)

(138,580)

(7,805)

(1.7)

Nibe

Industrier

AB

(25,990)

(288,088)

(24,107)

(5.4)

Sandvik

AB

(30,879)

(655,957)

10,096

2.2

Sinch

AB

(114,286)

(775,141)

169,396

37.7

Skandinaviska

Enskilda

Banken

AB

(26,351)

(284,877)

4,024

0.9

Sweco

AB

(10,434)

(151,696)

(6,952)

(1.5)

142

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

95.4%

INVESTMENT

COMPANIES

-

25.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(a)(b)

6,924,757

6,924,757

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(a)

14,765,856

14,758,473

TOTAL

INVESTMENT

COMPANIES

(Cost

$21,682,503)

21,683,230

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

69.7%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(c)

$

947,000

946,977

0.05%,

4/14/2022

(c)

59,000

58,997

0.06%,

4/21/2022

(c)

643,000

642,956

0.06%,

4/28/2022

(c)

842,000

841,933

0.06%,

5/5/2022

(c)

955,000

954,867

0.16%,

6/23/2022

(c)(d)

326,000

325,650

0.22%,

7/7/2022

(c)

473,000

472,267

0.28%,

7/14/2022

(c)(d)

2,955,000

2,949,814

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

69.7%

(continued)

0.37%,

7/21/2022

(c)

$

1,081,000

1,078,800

0.38%,

7/28/2022

(c)(d)

4,006,000

3,996,086

0.50%,

8/4/2022

(c)(d)

5,698,000

5,682,218

0.77%,

8/18/2022

(c)

4,449,000

4,434,513

0.71%,

8/25/2022

(c)(d)

1,885,000

1,878,147

0.67%,

9/1/2022

(c)

14,016,000

13,961,704

0.70%,

9/8/2022

(c)(d)

3,381,000

3,367,228

0.82%,

9/15/2022

(c)(d)

4,918,000

4,896,749

0.87%,

9/22/2022

(c)

6,065,000

6,037,200

1.06%,

9/29/2022

(c)

6,412,000

6,379,542

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$58,944,515)

58,905,648

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$80,627,018)

80,588,878

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.4%

(Cost

$80,627,018)

80,588,878

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.6%

(e)

3,854,135

NET

ASSETS

-

100.0%

84,443,013

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(724,750)

$

7,847

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

724,750

9,189

17,036

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(26,500)

(725)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

26,500

(3)

Cocoa

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(26,870)

(14)

143

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(6,597,000)

$

(10,949)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(1,880,250)

(608)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/13/2022

BRL

(3,611,370)

(34,410)

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/14/2022

USD

(48,250)

(581)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(877,600)

(23,099)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

109,700

(754)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

(1,323,740)

(69,020)

(140,163)

$

(123,127)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

11

4/2022

USD

$

1,151,810

$

8,684

LME

Aluminum

Base

Metal

1

4/2022

USD

87,032

13,172

LME

Aluminum

Base

Metal

1

4/2022

USD

87,052

12,998

LME

Aluminum

Base

Metal

1

4/2022

USD

87,045

12,988

LME

Aluminum

Base

Metal

1

4/2022

USD

87,028

13,776

LME

Aluminum

Base

Metal

1

4/2022

USD

87,167

10,832

LME

Aluminum

Base

Metal

1

4/2022

USD

87,028

14,240

LME

Aluminum

Base

Metal

1

4/2022

USD

87,131

10,222

LME

Aluminum

Base

Metal

2

4/2022

USD

174,197

20,375

LME

Aluminum

Base

Metal

2

4/2022

USD

174,168

25,124

LME

Aluminum

Base

Metal

2

4/2022

USD

174,277

19,947

LME

Aluminum

Base

Metal

2

4/2022

USD

174,314

19,449

LME

Aluminum

Base

Metal

5

4/2022

USD

435,451

50,309

LME

Copper

Base

Metal

1

4/2022

USD

259,198

21,570

LME

Lead

Base

Metal

1

4/2022

USD

60,594

1,454

LME

Lead

Base

Metal

1

4/2022

USD

60,638

3,730

LME

Nickel

Base

Metal

1

4/2022

USD

192,670

56,864

LME

Nickel

Base

Metal

1

4/2022

USD

192,662

61,109

LME

Nickel

Base

Metal

1

4/2022

USD

192,690

50,444

LME

Nickel

Base

Metal

1

4/2022

USD

192,690

50,187

LME

Nickel

Base

Metal

1

4/2022

USD

192,686

60,888

144

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

1

4/2022

USD

$

192,650

$

58,337

LME

Zinc

Base

Metal

1

4/2022

USD

105,188

14,435

LME

Zinc

Base

Metal

1

4/2022

USD

105,556

17,328

LME

Zinc

Base

Metal

1

4/2022

USD

105,170

14,637

LME

Zinc

Base

Metal

1

4/2022

USD

105,813

16,562

LME

Zinc

Base

Metal

1

4/2022

USD

105,179

14,576

LME

Zinc

Base

Metal

1

4/2022

USD

105,313

14,660

LME

Zinc

Base

Metal

1

4/2022

USD

105,294

15,491

LME

Zinc

Base

Metal

2

4/2022

USD

210,625

33,771

Natural

Gas

10

4/2022

USD

564,200

78,611

NY

Harbor

ULSD

10

4/2022

USD

1,411,578

(4,910)

RBOB

Gasoline

8

4/2022

USD

1,058,702

(27,931)

WTI

Crude

Oil

12

4/2022

USD

1,203,360

(189,719)

Canola

37

5/2022

CAD

669,117

56,773

Copper

10

5/2022

USD

1,187,750

25,113

Corn

28

5/2022

USD

1,048,250

4,357

Cotton

No.

2

17

5/2022

USD

1,153,365

118,867

Ethanol

5

5/2022

USD

510,300

(4,208)

FCOJ-A

7

5/2022

USD

159,548

12,782

KC

HRW

Wheat

5

5/2022

USD

257,438

10,885

LME

Aluminum

Base

Metal

1

5/2022

USD

87,091

7,588

LME

Aluminum

Base

Metal

1

5/2022

USD

87,072

7,003

LME

Aluminum

Base

Metal

1

5/2022

USD

87,081

5,078

LME

Aluminum

Base

Metal

2

5/2022

USD

174,202

7,797

LME

Aluminum

Base

Metal

2

5/2022

USD

174,212

19,206

LME

Aluminum

Base

Metal

2

5/2022

USD

174,168

1,062

LME

Aluminum

Base

Metal

2

5/2022

USD

174,356

11,398

LME

Aluminum

Base

Metal

3

5/2022

USD

261,627

34,190

LME

Aluminum

Base

Metal

3

5/2022

USD

261,332

23,873

LME

Aluminum

Base

Metal

4

5/2022

USD

348,436

19,801

LME

Aluminum

Base

Metal

4

5/2022

USD

348,436

8,824

LME

Copper

Base

Metal

1

5/2022

USD

259,295

10,142

LME

Copper

Base

Metal

1

5/2022

USD

259,313

18,335

LME

Copper

Base

Metal

1

5/2022

USD

259,288

11,085

LME

Copper

Base

Metal

1

5/2022

USD

259,346

7,843

LME

Lead

Base

Metal

1

5/2022

USD

60,550

1,885

LME

Lead

Base

Metal

1

5/2022

USD

60,572

3,590

LME

Lead

Base

Metal

1

5/2022

USD

60,557

2,258

LME

Lead

Base

Metal

1

5/2022

USD

60,630

4,560

LME

Lead

Base

Metal

1

5/2022

USD

60,484

1,681

LME

Lead

Base

Metal

1

5/2022

USD

60,475

1,298

LME

Lead

Base

Metal

1

5/2022

USD

60,587

3,766

LME

Lead

Base

Metal

2

5/2022

USD

121,129

5,370

LME

Lead

Base

Metal

2

5/2022

USD

120,988

3,839

LME

Nickel

Base

Metal

1

5/2022

USD

192,643

55,510

LME

Nickel

Base

Metal

1

5/2022

USD

192,497

46,709

LME

Nickel

Base

Metal

1

5/2022

USD

192,610

51,175

LME

Zinc

Base

Metal

1

5/2022

USD

105,152

14,718

LME

Zinc

Base

Metal

1

5/2022

USD

105,134

15,131

LME

Zinc

Base

Metal

1

5/2022

USD

104,909

14,157

LME

Zinc

Base

Metal

2

5/2022

USD

210,322

30,103

LME

Zinc

Base

Metal

2

5/2022

USD

210,161

30,656

Low

Sulphur

Gasoil

13

5/2022

USD

1,310,400

(38,176)

Milk

1

5/2022

USD

47,360

(1,255)

Milling

Wheat

No.

2

18

5/2022

EUR

367,883

63,581

Mont

Belvieu

10

5/2022

USD

574,875

36,881

145

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Natural

Gas

10

5/2022

USD

$

688,540

$

28,620

Rough

Rice

4

5/2022

USD

128,080

3,439

SGX

Iron

Ore

14

5/2022

USD

223,496

12,833

Silver

1

5/2022

USD

125,665

(8,469)

Soybean

16

5/2022

USD

1,294,600

(26,654)

Soybean

Meal

16

5/2022

USD

748,000

(29,661)

Soybean

Oil

8

5/2022

USD

335,712

(24,161)

Wheat

4

5/2022

ZAR

90,470

2,933

100

oz

Gold

9

6/2022

USD

1,758,600

1,036

Crude

Palm

Oil

10

6/2022

MYR

339,200

(21,430)

LME

Aluminum

Base

Metal

1

6/2022

USD

87,257

(2,546)

LME

Aluminum

Base

Metal

1

6/2022

USD

87,275

(603)

LME

Aluminum

Base

Metal

2

6/2022

USD

174,547

4,963

LME

Aluminum

Base

Metal

2

6/2022

USD

174,356

(19,734)

LME

Aluminum

Base

Metal

2

6/2022

USD

174,250

3,494

LME

Aluminum

Base

Metal

2

6/2022

USD

174,436

4,205

LME

Aluminum

Base

Metal

3

6/2022

USD

261,496

(14,750)

LME

Aluminum

Base

Metal

7

6/2022

USD

610,332

(21,964)

LME

Aluminum

Base

Metal

23

6/2022

USD

2,007,613

48,500

LME

Copper

Base

Metal

1

6/2022

USD

259,363

1,228

LME

Copper

Base

Metal

1

6/2022

USD

259,375

886

LME

Copper

Base

Metal

2

6/2022

USD

518,750

7,057

LME

Copper

Base

Metal

2

6/2022

USD

518,825

3,570

LME

Copper

Base

Metal

5

6/2022

USD

1,297,188

31,508

LME

Lead

Base

Metal

1

6/2022

USD

60,406

2,004

LME

Lead

Base

Metal

1

6/2022

USD

60,583

(44)

LME

Lead

Base

Metal

1

6/2022

USD

60,571

6

LME

Lead

Base

Metal

1

6/2022

USD

60,394

1,111

LME

Lead

Base

Metal

1

6/2022

USD

60,388

1,469

LME

Lead

Base

Metal

2

6/2022

USD

120,888

7,295

LME

Lead

Base

Metal

2

6/2022

USD

120,988

8,032

LME

Lead

Base

Metal

16

6/2022

USD

969,000

30,733

LME

Nickel

Base

Metal

1

6/2022

USD

192,642

(3,141)

LME

Nickel

Base

Metal

2

6/2022

USD

385,194

(2,472)

LME

Nickel

Base

Metal

3

6/2022

USD

577,764

46,277

LME

Nickel

Base

Metal

5

6/2022

USD

962,640

(439,734)

LME

Nickel

Base

Metal

12

6/2022

USD

2,311,200

543,714

LME

Zinc

Base

Metal

1

6/2022

USD

104,795

1,983

LME

Zinc

Base

Metal

1

6/2022

USD

104,838

11,698

LME

Zinc

Base

Metal

1

6/2022

USD

104,550

10,422

LME

Zinc

Base

Metal

1

6/2022

USD

104,809

822

LME

Zinc

Base

Metal

1

6/2022

USD

104,400

3,169

LME

Zinc

Base

Metal

1

6/2022

USD

104,375

2,288

LME

Zinc

Base

Metal

2

6/2022

USD

209,532

14,551

LME

Zinc

Base

Metal

2

6/2022

USD

209,647

10,842

LME

Zinc

Base

Metal

8

6/2022

USD

837,700

46,051

Milk

1

6/2022

USD

48,940

436

S&P/TSX

60

Index

3

6/2022

CAD

632,132

1,229

SPI

200

Index

6

6/2022

AUD

839,480

22,210

Rapeseed

10

7/2022

EUR

435,033

8,695

Robusta

Coffee

11

7/2022

USD

236,720

2,524

White

Maize

13

7/2022

ZAR

347,853

14,493

White

Sugar

29

7/2022

USD

769,515

(1,402)

Yellow

Maize

14

7/2022

ZAR

389,461

17,402

WTI

Crude

Oil

9

8/2022

JPY

267,693

(3,097)

3

Month

SARON

2

12/2022

CHF

543,748

(409)

146

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

ECX

Emission

2

12/2022

EUR

$

169,212

$

(7,015)

3

Month

SARON

1

3/2023

CHF

270,778

(377)

1,695,506

Short

Contracts

CAC

40

10

Euro

Index

(1)

4/2022

EUR

(73,649)

(1,215)

IBEX

35

Index

(1)

4/2022

EUR

(93,101)

662

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,028)

(14,780)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,052)

(12,842)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,028)

(12,906)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,032)

(13,710)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,045)

(12,923)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,167)

(10,333)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,131)

(10,283)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,314)

(18,629)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,168)

(24,922)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,197)

(19,652)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,277)

(18,991)

LME

Aluminum

Base

Metal

(5)

4/2022

USD

(435,451)

(54,214)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,198)

(20,910)

LME

Lead

Base

Metal

(1)

4/2022

USD

(60,638)

(4,058)

LME

Lead

Base

Metal

(1)

4/2022

USD

(60,594)

(1,593)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,690)

(48,707)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,650)

(58,454)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,670)

(57,373)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,686)

(61,288)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,690)

(51,441)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,662)

(60,694)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,179)

(14,749)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,813)

(17,490)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,556)

(17,032)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,188)

(14,351)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,313)

(14,406)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,294)

(16,649)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,170)

(14,588)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,625)

(35,173)

MSCI

Singapore

Index

(14)

4/2022

SGD

(345,881)

(4,965)

OMXS30

Index

(13)

4/2022

SEK

(288,277)

4,673

SGX

FTSE

China

A50

Index

(32)

4/2022

USD

(439,968)

(11,709)

SGX

FTSE

Taiwan

Index

(11)

4/2022

USD

(679,360)

(3,624)

Sugar

No.

11

(12)

4/2022

USD

(261,946)

(3,608)

Feeder

Cattle

(7)

5/2022

USD

(582,925)

(4,947)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,072)

(7,574)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,091)

(7,956)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,081)

(5,352)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,168)

(2,846)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,202)

(7,607)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,212)

(18,634)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,356)

(10,771)

LME

Aluminum

Base

Metal

(3)

5/2022

USD

(261,627)

(34,541)

LME

Aluminum

Base

Metal

(3)

5/2022

USD

(261,332)

(21,910)

LME

Aluminum

Base

Metal

(4)

5/2022

USD

(348,436)

(20,248)

LME

Aluminum

Base

Metal

(4)

5/2022

USD

(348,436)

(6,028)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,346)

(9,318)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,288)

(10,954)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,313)

(18,521)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,295)

(9,798)

147

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(1)

5/2022

USD

$

(60,475)

$

(1,440)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,550)

(1,778)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,484)

(82)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,572)

(3,600)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,557)

(2,310)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,630)

(4,578)

LME

Lead

Base

Metal

(1)

5/2022

USD

(60,587)

(3,589)

LME

Lead

Base

Metal

(2)

5/2022

USD

(121,129)

(5,384)

LME

Lead

Base

Metal

(2)

5/2022

USD

(120,988)

(3,468)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,643)

(56,260)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,610)

(51,817)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,497)

(47,480)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(104,909)

(14,112)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,152)

(14,660)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,134)

(14,653)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,322)

(30,117)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,161)

(30,475)

Wheat

(3)

5/2022

USD

(150,900)

(4,585)

Australia

10

Year

Bond

(44)

6/2022

AUD

(4,184,522)

145,623

Australia

3

Year

Bond

(146)

6/2022

AUD

(11,998,844)

183,519

Canada

10

Year

Bond

(61)

6/2022

CAD

(6,362,269)

235,689

DAX

Index

(1)

6/2022

EUR

(399,163)

(4,777)

DJIA

CBOT

E-Mini

Index

(4)

6/2022

USD

(692,360)

(28,133)

EURO

STOXX

50

Index

(1)

6/2022

EUR

(42,292)

353

Euro-Bobl

(40)

6/2022

EUR

(5,705,153)

120,366

Euro-BTP

(26)

6/2022

EUR

(3,984,182)

153,756

Euro-Bund

(17)

6/2022

EUR

(2,983,800)

60,672

Euro-Buxl

(5)

6/2022

EUR

(1,027,264)

26,322

Euro-OAT

(19)

6/2022

EUR

(3,182,449)

157,080

Euro-Schatz

(114)

6/2022

EUR

(13,970,112)

54,631

FTSE

100

Index

(4)

6/2022

GBP

(393,359)

(15,943)

FTSE/MIB

Index

(2)

6/2022

EUR

(269,991)

(9,683)

Japan

10

Year

Bond

(10)

6/2022

JPY

(12,313,948)

28,796

KOSPI

200

Index

(16)

6/2022

KRW

(1,206,881)

(48,233)

Lean

Hogs

(2)

6/2022

USD

(96,500)

(1,171)

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,275)

449

LME

Aluminum

Base

Metal

(1)

6/2022

USD

(87,257)

2,636

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,436)

256

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,250)

(2,025)

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,356)

26,639

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,547)

(4,553)

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,496)

13,558

LME

Aluminum

Base

Metal

(7)

6/2022

USD

(610,332)

9,348

LME

Aluminum

Base

Metal

(20)

6/2022

USD

(1,745,750)

(2,726)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,363)

(1,371)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(1,655)

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,750)

(7,880)

LME

Copper

Base

Metal

(2)

6/2022

USD

(518,825)

(5,101)

LME

Copper

Base

Metal

(4)

6/2022

USD

(1,037,750)

(16,123)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,583)

(891)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,394)

(1,096)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,388)

(1,515)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,406)

(2,059)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,571)

(144)

LME

Lead

Base

Metal

(2)

6/2022

USD

(120,888)

(7,474)

LME

Lead

Base

Metal

(2)

6/2022

USD

(120,988)

(8,000)

148

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(7)

6/2022

USD

$

(423,938)

$

(17,446)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,642)

3,326

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,194)

(11,135)

LME

Nickel

Base

Metal

(3)

6/2022

USD

(577,764)

(62,041)

LME

Nickel

Base

Metal

(5)

6/2022

USD

(962,640)

436,902

LME

Nickel

Base

Metal

(11)

6/2022

USD

(2,118,600)

393,868

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,795)

(1,048)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,400)

(5,403)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,375)

(2,378)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,838)

(12,153)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,809)

88

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,550)

(9,411)

LME

Zinc

Base

Metal

(2)

6/2022

USD

(209,647)

(10,302)

LME

Zinc

Base

Metal

(2)

6/2022

USD

(209,532)

(13,524)

LME

Zinc

Base

Metal

(4)

6/2022

USD

(418,850)

(39,255)

Long

Gilt

(25)

6/2022

GBP

(3,988,241)

27,573

MSCI

EAFE

E-Mini

Index

(8)

6/2022

USD

(857,760)

(46,742)

MSCI

Emerging

Markets

E-Mini

Index

(20)

6/2022

USD

(1,125,500)

(81,437)

NASDAQ

100

E-Mini

Index

(1)

6/2022

USD

(297,375)

(24,653)

Nikkei

225

Index

(4)

6/2022

JPY

(914,408)

(79,789)

Russell

2000

E-Mini

Index

(9)

6/2022

USD

(929,880)

(29,386)

S&P

500

E-Mini

Index

(4)

6/2022

USD

(906,150)

(35,878)

S&P

Midcap

400

E-Mini

Index

(2)

6/2022

USD

(537,840)

(4,699)

TOPIX

Index

(4)

6/2022

JPY

(639,560)

(49,706)

U.S.

Treasury

10

Year

Note

(51)

6/2022

USD

(6,260,250)

158,294

U.S.

Treasury

2

Year

Note

(127)

6/2022

USD

(26,896,218)

338,677

U.S.

Treasury

5

Year

Note

(79)

6/2022

USD

(9,047,969)

215,849

U.S.

Treasury

Long

Bond

(19)

6/2022

USD

(2,854,156)

47,401

U.S.

Treasury

Ultra

Bond

(15)

6/2022

USD

(2,655,938)

67,107

Cocoa

(4)

7/2022

GBP

(94,373)

(371)

Cocoa

(23)

7/2022

USD

(618,010)

(4,634)

Platinum

(3)

7/2022

USD

(149,370)

3,320

Rubber

(3)

8/2022

JPY

(31,727)

(512)

3

Month

Canadian

Bankers

Acceptance

(33)

9/2022

CAD

(6,431,918)

40,890

3

Month

Euro

Euribor

(27)

9/2022

EUR

(7,473,908)

7,088

ASX

90

Day

Bank

Accepted

Bill

(19)

9/2022

AUD

(14,166,351)

13,709

3

Month

Canadian

Bankers

Acceptance

(15)

12/2022

CAD

(2,912,051)

20,976

3

Month

Euro

Euribor

(25)

12/2022

EUR

(6,895,395)

19,251

3

Month

SOFR

(33)

12/2022

USD

(8,085,000)

41,868

3

Month

SONIA

(14)

12/2022

GBP

(4,511,337)

17,889

ASX

90

Day

Bank

Accepted

Bill

(13)

12/2022

AUD

(9,679,212)

13,019

3

Month

Euro

Euribor

(21)

3/2023

EUR

(5,767,448)

30,747

3

Month

SOFR

(35)

3/2023

USD

(8,538,250)

59,137

3

Month

SONIA

(13)

3/2023

GBP

(4,178,639)

33,513

3

Month

Euro

Euribor

(18)

6/2023

EUR

(4,927,099)

40,557

3

Month

SOFR

(33)

6/2023

USD

(8,022,713)

66,836

3

Month

SONIA

(11)

6/2023

GBP

(3,528,727)

31,495

3

Month

Euro

Euribor

(17)

9/2023

EUR

(4,643,968)

49,505

3

Month

SOFR

(33)

9/2023

USD

(8,010,750)

68,006

3

Month

SONIA

(23)

9/2023

GBP

(7,370,315)

69,681

3

Month

Euro

Euribor

(20)

12/2023

EUR

(5,460,173)

59,446

3

Month

SOFR

(38)

12/2023

USD

(9,224,975)

74,163

3

Month

SONIA

(29)

12/2023

GBP

(9,293,006)

86,774

3

Month

Euro

Euribor

(26)

3/2024

EUR

(7,097,147)

59,840

3

Month

SOFR

(42)

3/2024

USD

(10,204,950)

74,484

3

Month

SONIA

(24)

3/2024

GBP

(7,695,887)

64,526

149

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SOFR

(42)

6/2024

USD

$

(10,215,975)

$

88,846

3

Month

SONIA

(19)

6/2024

GBP

(6,100,689)

37,108

2,128,676

$

3,824,182

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

6,361,000

USD

4,658,113

CITI

6/15/2022

$

107,843

AUD

6,361,000

USD

4,658,119

JPMC

6/15/2022

107,837

BRL

2,073,500

USD

410,707

CITI

**

6/15/2022

15,695

BRL

2,073,500

USD

410,707

JPMC

**

6/15/2022

15,694

CAD

10,852,000

USD

8,540,558

CITI

6/15/2022

138,400

CAD

10,852,000

USD

8,540,569

JPMC

6/15/2022

138,389

CHF

123,000

USD

132,109

CITI

6/15/2022

1,423

CHF

123,000

USD

132,109

JPMC

6/15/2022

1,423

CLP

414,849,507

USD

507,217

CITI

**

6/15/2022

13,464

CLP

414,849,493

USD

507,218

JPMC

**

6/15/2022

13,463

COP

598,013,996

USD

152,969

CITI

**

6/15/2022

3,896

COP

598,013,996

USD

152,969

JPMC

**

6/15/2022

3,896

EUR

8,350,000

USD

9,237,052

CITI

6/15/2022

26,300

EUR

8,350,000

USD

9,237,063

JPMC

6/15/2022

26,287

GBP

100,500

USD

131,272

CITI

6/15/2022

712

GBP

100,500

USD

131,272

JPMC

6/15/2022

712

IDR

998,583,500

USD

69,370

CITI

**

6/15/2022

80

IDR

998,583,500

USD

69,371

JPMC

**

6/15/2022

80

ILS

153,002

USD

47,462

CITI

6/15/2022

592

ILS

152,998

USD

47,461

JPMC

6/15/2022

592

INR

80,927,500

USD

1,049,303

CITI

**

6/15/2022

6,325

INR

80,927,500

USD

1,049,304

JPMC

**

6/15/2022

6,325

JPY

431,817,000

USD

3,542,301

CITI

6/15/2022

11,668

JPY

431,817,000

USD

3,542,306

JPMC

6/15/2022

11,663

KRW

2,026,822,500

USD

1,658,613

CITI

**

6/15/2022

8,645

KRW

2,026,822,500

USD

1,658,615

JPMC

**

6/15/2022

8,643

MXN

60,682,505

USD

2,922,348

CITI

6/15/2022

88,465

MXN

60,682,503

USD

2,922,351

JPMC

6/15/2022

88,462

NOK

44,929,000

USD

5,030,882

CITI

6/15/2022

70,008

NOK

44,929,000

USD

5,030,889

JPMC

6/15/2022

70,002

NZD

7,841,500

USD

5,317,411

CITI

6/15/2022

110,253

NZD

7,841,500

USD

5,317,417

JPMC

6/15/2022

110,246

PHP

3,102,500

USD

58,588

CITI

**

6/15/2022

993

PHP

3,102,500

USD

58,588

JPMC

**

6/15/2022

993

PLN

12,144,338

USD

2,770,221

CITI

6/15/2022

99,019

PLN

12,144,337

USD

2,770,224

JPMC

6/15/2022

99,016

SEK

27,615,500

USD

2,903,797

CITI

6/15/2022

38,785

SEK

27,615,501

USD

2,903,801

JPMC

6/15/2022

38,782

SGD

1,682,000

USD

1,238,783

CITI

6/15/2022

2,208

SGD

1,682,000

USD

1,238,785

JPMC

6/15/2022

2,206

TWD

4,803,000

USD

167,703

CITI

**

6/15/2022

584

TWD

4,803,000

USD

167,703

JPMC

**

6/15/2022

584

USD

616,572

CAD

769,500

CITI

6/15/2022

1,160

150

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

616,572

CAD

769,500

JPMC

6/15/2022

$

1,159

USD

22,758,090

EUR

20,146,504

CITI

6/15/2022

407,892

USD

22,758,056

EUR

20,146,499

JPMC

6/15/2022

407,865

USD

3,852,401

GBP

2,898,500

CITI

6/15/2022

45,883

USD

3,852,396

GBP

2,898,500

JPMC

6/15/2022

45,878

USD

46,345

HUF

15,457,000

CITI

6/15/2022

280

USD

46,345

HUF

15,457,000

JPMC

6/15/2022

280

USD

3,003,005

INR

228,851,744

CITI

**

6/15/2022

17,834

USD

3,003,002

INR

228,851,740

JPMC

**

6/15/2022

17,830

USD

33,910,497

JPY

3,923,370,576

CITI

6/15/2022

1,620,113

USD

33,910,454

JPY

3,923,370,572

JPMC

6/15/2022

1,620,071

USD

3,213,006

KRW

3,856,110,127

CITI

**

6/15/2022

40,981

USD

3,213,002

KRW

3,856,110,120

JPMC

**

6/15/2022

40,977

USD

1,339,898

PHP

69,402,816

CITI

**

6/15/2022

7,077

USD

1,339,897

PHP

69,402,808

JPMC

**

6/15/2022

7,075

USD

1,670,466

SEK

15,521,000

CITI

6/15/2022

16,619

USD

1,670,464

SEK

15,521,000

JPMC

6/15/2022

16,616

USD

447,294

SGD

606,000

CITI

6/15/2022

183

USD

447,294

SGD

606,000

JPMC

6/15/2022

183

USD

2,734,790

TWD

76,133,504

CITI

**

6/15/2022

67,228

USD

2,734,786

TWD

76,133,496

JPMC

**

6/15/2022

67,224

ZAR

69,550,502

USD

4,512,175

CITI

6/15/2022

202,850

ZAR

69,550,498

USD

4,512,181

JPMC

6/15/2022

202,844

Total

unrealized

appreciation

6,346,755

AUD

1,444,500

USD

1,086,114

CITI

6/15/2022

(3,828)

AUD

1,444,500

USD

1,086,116

JPMC

6/15/2022

(3,829)

CHF

576,001

USD

628,200

CITI

6/15/2022

(2,881)

CHF

575,999

USD

628,199

JPMC

6/15/2022

(2,882)

COP

311,095,500

USD

81,810

CITI

**

6/15/2022

(206)

COP

311,095,500

USD

81,810

JPMC

**

6/15/2022

(206)

EUR

6,492,000

USD

7,290,942

CITI

6/15/2022

(88,825)

EUR

6,492,000

USD

7,290,951

JPMC

6/15/2022

(88,833)

GBP

5,799,002

USD

7,781,757

CITI

6/15/2022

(166,090)

GBP

5,798,996

USD

7,781,759

JPMC

6/15/2022

(166,100)

HUF

1,130,910,984

USD

3,471,587

CITI

6/15/2022

(101,293)

HUF

1,130,910,984

USD

3,471,591

JPMC

6/15/2022

(101,297)

INR

74,669,000

USD

975,998

CITI

**

6/15/2022

(2,006)

INR

74,669,000

USD

975,999

JPMC

**

6/15/2022

(2,008)

JPY

1,054,304,500

USD

9,181,374

CITI

6/15/2022

(504,168)

JPY

1,054,304,500

USD

9,181,385

JPMC

6/15/2022

(504,179)

KRW

473,162,500

USD

391,026

CITI

**

6/15/2022

(1,804)

KRW

473,162,500

USD

391,027

JPMC

**

6/15/2022

(1,805)

NOK

51,000

USD

5,804

CITI

6/15/2022

(14)

NOK

51,000

USD

5,804

JPMC

6/15/2022

(14)

PHP

1,005,500

USD

19,409

CITI

**

6/15/2022

(99)

PHP

1,005,500

USD

19,409

JPMC

**

6/15/2022

(100)

PLN

19,469,663

USD

4,764,211

CITI

6/15/2022

(164,278)

PLN

19,469,663

USD

4,764,217

JPMC

6/15/2022

(164,285)

SEK

12,941,500

USD

1,386,512

CITI

6/15/2022

(7,524)

SEK

12,941,499

USD

1,386,514

JPMC

6/15/2022

(7,527)

SGD

1,327,500

USD

984,953

CITI

6/15/2022

(5,515)

SGD

1,327,500

USD

984,955

JPMC

6/15/2022

(5,515)

TWD

25,853,500

USD

910,087

CITI

**

6/15/2022

(4,233)

TWD

25,853,500

USD

910,088

JPMC

**

6/15/2022

(4,234)

USD

2,850,184

AUD

3,932,001

CITI

6/15/2022

(95,854)

USD

2,850,179

AUD

3,931,999

JPMC

6/15/2022

(95,857)

USD

711,375

BRL

3,734,502

CITI

**

6/15/2022

(56,600)

USD

711,373

BRL

3,734,498

JPMC

**

6/15/2022

(56,601)

151

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,814,274

CAD

2,304,000

CITI

6/15/2022

$

(28,365)

USD

1,814,272

CAD

2,304,000

JPMC

6/15/2022

(28,367)

USD

332,002

CLP

270,031,039

CITI

**

6/15/2022

(6,916)

USD

332,002

CLP

270,031,025

JPMC

**

6/15/2022

(6,917)

USD

10,124,705

EUR

9,228,500

CITI

6/15/2022

(113,239)

USD

10,124,692

EUR

9,228,500

JPMC

6/15/2022

(113,253)

USD

1,538,209

GBP

1,173,000

CITI

6/15/2022

(2,260)

USD

1,538,207

GBP

1,173,000

JPMC

6/15/2022

(2,262)

USD

2,681,445

HUF

954,125,500

CITI

6/15/2022

(162,000)

USD

2,681,441

HUF

954,125,500

JPMC

6/15/2022

(162,003)

USD

84,263

IDR

1,214,861,344

CITI

**

6/15/2022

(230)

USD

84,263

IDR

1,214,861,344

JPMC

**

6/15/2022

(230)

USD

838,871

ILS

2,727,002

CITI

6/15/2022

(17,611)

USD

838,869

ILS

2,726,998

JPMC

6/15/2022

(17,612)

USD

2,623,153

INR

201,605,744

CITI

**

6/15/2022

(6,618)

USD

2,623,149

INR

201,605,740

JPMC

**

6/15/2022

(6,621)

USD

1,183,416

KRW

1,459,821,000

CITI

**

6/15/2022

(17,427)

USD

1,183,415

KRW

1,459,821,000

JPMC

**

6/15/2022

(17,429)

USD

1,300,983

MXN

27,481,500

CITI

6/15/2022

(62,534)

USD

1,300,982

MXN

27,481,500

JPMC

6/15/2022

(62,536)

USD

4,675,938

NZD

6,988,000

CITI

6/15/2022

(160,958)

USD

4,675,932

NZD

6,988,000

JPMC

6/15/2022

(160,963)

USD

189,518

PHP

9,914,688

CITI

**

6/15/2022

(885)

USD

189,518

PHP

9,914,688

JPMC

**

6/15/2022

(885)

USD

6,911,515

PLN

30,835,000

CITI

6/15/2022

(373,610)

USD

6,911,506

PLN

30,835,000

JPMC

6/15/2022

(373,619)

USD

2,172,544

SEK

21,250,500

CITI

6/15/2022

(91,812)

USD

2,172,542

SEK

21,250,500

JPMC

6/15/2022

(91,814)

USD

1,851,446

SGD

2,520,500

CITI

6/15/2022

(8,196)

USD

1,851,444

SGD

2,520,500

JPMC

6/15/2022

(8,199)

Total

unrealized

depreciation

(4,515,861)

Net

unrealized

appreciation

$

1,830,894

**

Non-deliverable

forward.

152

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/31/2027

$659,055

$31,226

$(907)

$30,319

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.08%

to

0.04%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-60

months

maturity

ranging

from

09/21/2026

-

02/25/2027

$495,414

$292

$(2,382)

$(2,090)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/30/2027

$3,746,467

$(15,774)

$6,334

$(9,440)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

7,816

77,612

4,277

(45.3)

Alumina

Ltd.

13,649

20,492

497

(5.3)

Ampol

Ltd.

4,025

91,439

5,930

(62.8)

Aristocrat

Leisure

Ltd.

3,634

98,634

1,219

(12.9)

Aurizon

Holdings

Ltd.

27,095

74,475

3,852

(40.8)

BHP

Group

Ltd.

2,285

88,081

10,769

(114.1)

BlueScope

Steel

Ltd.

6,616

102,879

8,239

(87.3)

153

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Brambles

Ltd.

3,581

26,427

503

(5.3)

Coles

Group

Ltd.

3,848

51,430

1,553

(16.5)

Incitec

Pivot

Ltd.

32,229

91,231

4,341

(46.0)

JB

Hi-Fi

Ltd.

4,009

162,045

12,962

(137.3)

Macquarie

Group

Ltd.

131

19,812

508

(5.4)

Mineral

Resources

Ltd.

1,534

60,471

6,436

(68.2)

Origin

Energy

Ltd.

11,297

52,584

3,105

(32.9)

QBE

Insurance

Group

Ltd.

3,261

27,964

2,636

(27.9)

Sonic

Healthcare

Ltd.

2,921

77,121

3,566

(37.8)

South32

Ltd.

35,737

135,846

5,966

(63.2)

Suncorp

Group

Ltd.

2,348

19,464

1,403

(14.9)

Telstra

Corp.

Ltd.

50,136

148,125

1,031

(10.9)

Woodside

Petroleum

Ltd.

955

22,950

(742)

7.9

Worley

Ltd.

6,352

61,363

1,658

(17.6)

United

States

James

Hardie

Industries

plc

1,887

56,606

(6,290)

66.6

Short

Positions

Common

Stocks

Australia

APA

Group

(13,885)

(110,356)

(7,853)

83.2

Atlas

Arteria

Ltd.

(7,400)

(36,015)

(501)

5.3

carsales.com

Ltd.

(2,218)

(34,338)

(1,176)

12.5

Cochlear

Ltd.

(878)

(146,592)

(4,533)

48.0

Computershare

Ltd.

(1,887)

(34,681)

(5,154)

54.6

CSL

Ltd.

(661)

(131,964)

(4,660)

49.4

Evolution

Mining

Ltd.

(35,416)

(116,891)

1,979

(21.0)

IDP

Education

Ltd.

(4,752)

(111,216)

(9,091)

96.3

Insurance

Australia

Group

Ltd.

(13,320)

(43,594)

591

(6.3)

Lendlease

Corp.

Ltd.

(11,503)

(95,888)

(5,096)

54.0

National

Australia

Bank

Ltd.

(3,377)

(81,301)

(7,928)

84.0

Newcrest

Mining

Ltd.

(5,342)

(107,948)

(2,208)

23.4

NEXTDC

Ltd.

(9,760)

(84,083)

(3,966)

42.0

Northern

Star

Resources

Ltd.

(11,145)

(89,914)

1,274

(13.5)

Orica

Ltd.

(7,518)

(89,449)

(9,034)

95.7

Pro

Medicus

Ltd.

(1,894)

(68,614)

(4,285)

45.4

Qantas

Airways

Ltd.

(8,843)

(34,193)

(3,286)

34.8

Reece

Ltd.

(1,382)

(19,458)

421

(4.5)

SEEK

Ltd.

(3,315)

(73,005)

(4,931)

52.2

Seven

Group

Holdings

Ltd.

(4,984)

(78,693)

2,704

(28.6)

Transurban

Group

(10,667)

(107,779)

(5,281)

55.9

Treasury

Wine

Estates

Ltd.

(4,262)

(36,815)

(232)

2.5

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2,078)

(44,322)

(5,306)

56.2

Wesfarmers

Ltd.

(1,056)

(39,626)

(957)

10.1

Westpac

Banking

Corp.

(2,488)

(44,950)

(3,972)

42.1

WiseTech

Global

Ltd.

(472)

(17,766)

(707)

7.5

Woolworths

Group

Ltd.

(4,205)

(116,751)

(2,043)

21.6

New

Zealand

Xero

Ltd.

(584)

(44,260)

(1,842)

19.5

154

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.57%

to

0.02%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/29/2027

$7,648,833

$23,505

$(879)

$22,626

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

5,905

79,070

6,537

28.9

Canadian

Natural

Resources

Ltd.

2,839

175,792

7,164

31.7

CI

Financial

Corp.

4,513

71,694

(1,178)

(5.2)

Empire

Co.

Ltd.

2,807

99,558

979

4.3

Enbridge,

Inc.

2,242

103,209

1,879

8.3

Fairfax

Financial

Holdings

Ltd.

342

186,581

24,834

109.8

Finning

International,

Inc.

3,291

99,087

2,426

10.7

Imperial

Oil

Ltd.

3,533

170,977

10,394

45.9

Intact

Financial

Corp.

514

75,948

(713)

(3.1)

Loblaw

Cos.

Ltd.

1,088

97,630

(322)

(1.4)

Magna

International,

Inc.

1,303

83,653

4,160

18.4

National

Bank

of

Canada

2,296

175,999

(4,698)

(20.8)

Nutrien

Ltd.

753

77,833

4,453

19.7

Pembina

Pipeline

Corp.

3,214

120,755

2,863

12.7

SNC-Lavalin

Group,

Inc.

3,619

87,135

(1,523)

(6.7)

Stantec,

Inc.

1,495

74,992

(1,632)

(7.2)

Suncor

Energy,

Inc.

6,028

196,248

4,280

18.9

TFI

International,

Inc.

668

71,147

5,706

25.2

Thomson

Reuters

Corp.

771

83,708

1,082

4.8

Toromont

Industries

Ltd.

863

81,809

2,046

9.0

Toronto-Dominion

Bank

(The)

1,925

152,734

1,068

4.7

Tourmaline

Oil

Corp.

3,032

139,698

16,754

74.0

Whitecap

Resources,

Inc.

10,443

86,374

8,226

36.4

Chile

Lundin

Mining

Corp.

7,758

78,626

(1,206)

(5.3)

Short

Positions

Common

Stocks

Canada

Air

Canada

(7,648)

(148,353)

(19,849)

(87.7)

Algonquin

Power

&

Utilities

Corp.

(14,880)

(230,791)

(2,100)

(9.3)

Ballard

Power

Systems,

Inc.

(15,012)

(174,719)

2,744

12.1

Bank

of

Nova

Scotia

(The)

(1,304)

(93,460)

2,297

10.2

Barrick

Gold

Corp.

(3,023)

(74,139)

1,185

5.2

BCE,

Inc.

(3,483)

(193,074)

(334)

(1.5)

Boralex,

Inc.

(2,133)

(69,135)

(1,223)

(5.4)

155

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

CAE,

Inc.

(6,553)

(170,567)

3,165

14.0

Canadian

Imperial

Bank

of

Commerce

(1,247)

(151,368)

7,569

33.5

Canadian

Pacific

Railway

Ltd.

(2,622)

(216,404)

(9,055)

(40.0)

Canadian

Utilities

Ltd.

(3,312)

(101,520)

(5,925)

(26.2)

Constellation

Software,

Inc.

(40)

(68,376)

(2,261)

(10.0)

Emera,

Inc.

(3,111)

(154,212)

(3,729)

(16.5)

Fortis,

Inc.

(2,290)

(113,259)

(3,378)

(14.9)

GFL

Environmental,

Inc.

(2,185)

(71,065)

(6,776)

(29.9)

Keyera

Corp.

(2,947)

(74,703)

(3,769)

(16.7)

Lightspeed

Commerce,

Inc.

(2,373)

(72,377)

(15,756)

(69.6)

Northland

Power,

Inc.

(2,123)

(70,577)

97

0.4

Pan

American

Silver

Corp.

(2,591)

(70,715)

671

3.0

Restaurant

Brands

International,

Inc.

(1,632)

(95,350)

479

2.1

Ritchie

Bros

Auctioneers,

Inc.

(1,495)

(88,302)

(5)

(0.0)

Rogers

Communications,

Inc.

(2,701)

(152,880)

(5,560)

(24.6)

Royal

Bank

of

Canada

(956)

(105,254)

135

0.6

Shopify,

Inc.

(198)

(133,906)

(14,965)

(66.1)

SSR

Mining,

Inc.

(3,251)

(70,681)

1,090

4.8

TC

Energy

Corp.

(3,321)

(187,308)

2,121

9.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.07%

to

0.03%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/30/2027

$3,919,153

$(52,060)

$4,959

$(47,101)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

3,038

98,555

(4,436)

9.4

Adecco

Group

AG

(Registered)

1,484

67,317

1,231

(2.6)

Baloise

Holding

AG

(Registered)

341

60,901

5,988

(12.7)

Barry

Callebaut

AG

(Registered)

24

56,267

1,826

(3.9)

Belimo

Holding

AG

(Registered)

77

40,781

3,470

(7.4)

BKW

AG

406

50,852

(536)

1.1

Bucher

Industries

AG

(Registered)

114

46,080

119

(0.3)

Chocoladefabriken

Lindt

&

Spruengli

AG

1

11,902

(181)

0.4

Credit

Suisse

Group

AG

(Registered)

2,594

20,420

423

(0.9)

DKSH

Holding

AG

601

50,618

845

(1.8)

dormakaba

Holding

AG

36

18,465

235

(0.5)

EMS-Chemie

Holding

AG

(Registered)

8

7,774

450

(1.0)

Geberit

AG

(Registered)

191

117,743

3,576

(7.6)

156

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Georg

Fischer

AG

(Registered)

22

26,287

1,087

(2.3)

Julius

Baer

Group

Ltd.

940

54,421

1,601

(3.4)

Kuehne

+

Nagel

International

AG

(Registered)

786

223,168

(2,890)

6.1

Lonza

Group

AG

(Registered)

265

192,020

9,431

(20.0)

Novartis

AG

(Registered)

1,043

91,567

6,098

(12.9)

OC

Oerlikon

Corp.

AG

(Registered)

1,961

15,627

385

(0.8)

Partners

Group

Holding

AG

55

68,101

564

(1.2)

Schindler

Holding

AG

179

38,354

(1,789)

3.8

SGS

SA

(Registered)

7

19,461

454

(1.0)

Swatch

Group

AG

(The)

68

19,280

638

(1.4)

Swiss

Life

Holding

AG

(Registered)

25

16,020

1,715

(3.6)

Swisscom

AG

(Registered)

159

95,528

391

(0.8)

Tecan

Group

AG

(Registered)

58

22,930

(239)

0.5

Temenos

AG

(Registered)

1,530

147,170

3,333

(7.1)

UBS

Group

AG

(Registered)

3,777

73,808

9,554

(20.3)

United

States

Swiss

Re

AG

562

53,499

4,136

(8.8)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(7,688)

(117,680)

(8,077)

17.1

Switzerland

Alcon,

Inc.

(1,064)

(84,296)

(4,087)

8.7

Bachem

Holding

AG

(Registered)

(137)

(75,397)

5,647

(12.0)

Banque

Cantonale

Vaudoise

(Registered)

(577)

(49,921)

(3,864)

8.2

Cie

Financiere

Richemont

SA

(351)

(44,491)

(1,336)

2.8

Dufry

AG

(Registered)

(5,494)

(231,175)

(9,572)

20.3

Flughafen

Zurich

AG

(Registered)

(558)

(100,154)

(6,578)

14.0

Givaudan

SA

(Registered)

(68)

(281,040)

(13,601)

28.9

Helvetia

Holding

AG

(Registered)

(295)

(38,513)

(4,197)

8.9

Holcim

Ltd.

(1,490)

(72,469)

(188)

0.4

Idorsia

Ltd.

(7,381)

(147,446)

(8,814)

18.7

Logitech

International

SA

(Registered)

(811)

(60,283)

(755)

1.6

Nestle

SA

(Registered)

(1,929)

(250,806)

(10,077)

21.4

Roche

Holding

AG

(240)

(94,959)

(2,969)

6.3

SIG

Combibloc

Group

AG

(5,217)

(131,520)

(9,765)

20.7

Sika

AG

(Registered)

(421)

(139,289)

(7,516)

16.0

Sonova

Holding

AG

(Registered)

(216)

(90,231)

(10,496)

22.3

Straumann

Holding

AG

(Registered)

(8)

(12,774)

(1,163)

2.5

Sulzer

AG

(Registered)

(371)

(30,817)

(2,321)

4.9

Vifor

Pharma

AG

(342)

(60,976)

190

(0.4)

157

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/31/2027

$1,427,660

$4,441

$24,492

$28,933

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

113

339,561

(11,596)

(40.1)

Carlsberg

A/S

816

100,173

95

0.3

Danske

Bank

A/S

3,175

52,816

(1,786)

(6.2)

DSV

A/S

248

47,531

3,313

11.5

Genmab

A/S

40

14,446

336

1.2

H

Lundbeck

A/S

358

8,249

(284)

(1.0)

ISS

A/S

3,452

61,347

1,519

5.2

Jyske

Bank

A/S

(Registered)

230

12,502

865

3.0

Novo

Nordisk

A/S

512

56,789

959

3.3

Pandora

A/S

261

24,864

1,602

5.5

Royal

Unibrew

A/S

400

37,370

21

0.1

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(544)

(8,008)

887

3.1

Chr

Hansen

Holding

A/S

(569)

(41,780)

(2,169)

(7.5)

Demant

A/S

(994)

(44,983)

(6,066)

(21.0)

GN

Store

Nord

A/S

(766)

(37,547)

255

0.9

Novozymes

A/S

(829)

(56,840)

(6,893)

(23.8)

Orsted

A/S

(201)

(25,159)

1,324

4.6

ROCKWOOL

International

A/S

(300)

(99,033)

3,126

10.8

SimCorp

A/S

(1,175)

(86,163)

7,808

27.0

Tryg

A/S

(2,815)

(68,446)

(9,139)

(31.6)

Vestas

Wind

Systems

A/S

(6,956)

(204,053)

20,264

70.0

158

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.10%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/30/2027

$17,440,792

$30,212

$14,012

$44,224

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nokian

Renkaat

OYJ

7,872

127,761

(17,949)

(40.6)

France

Atos

SE

4,042

110,373

(8,042)

(18.2)

Cie

de

Saint-Gobain

2,187

130,127

(2,807)

(6.3)

Hermes

International

85

120,305

7,413

16.8

LVMH

Moet

Hennessy

Louis

Vuitton

SE

286

204,147

12,781

28.9

Orange

SA

19,380

229,484

3,551

8.0

Renault

SA

4,742

123,956

(1,590)

(3.6)

Sanofi

1,081

110,521

(2,110)

(4.8)

TotalEnergies

SE

2,602

131,660

(2,287)

(5.2)

Vinci

SA

1,113

113,718

391

0.9

Germany

Bayerische

Motoren

Werke

AG

2,298

198,588

3,156

7.1

Deutsche

Bank

AG

(Registered)

9,168

115,464

10,597

24.0

Deutsche

Post

AG

(Registered)

2,908

138,862

(5,052)

(11.4)

Merck

KGaA

575

120,080

6,029

13.6

Uniper

SE

4,410

113,929

1,001

2.3

Italy

Buzzi

Unicem

SpA

6,637

122,819

(3,552)

(8.0)

Eni

SpA

13,688

199,615

1,069

2.4

Luxembourg

ArcelorMittal

SA

4,288

137,362

3,845

8.7

Eurofins

Scientific

SE

1,296

128,204

6,871

15.5

Netherlands

ASML

Holding

NV

294

196,457

15,202

34.4

ASR

Nederland

NV

3,270

152,663

10,909

24.7

Koninklijke

Ahold

Delhaize

NV

5,509

177,200

6,205

14.0

OCI

NV

3,463

122,259

16,294

36.8

Spain

Acerinox

SA

10,678

116,959

1,547

3.5

Repsol

SA

18,818

246,501

5,297

12.0

159

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Prosus

NV

(5,411)

(291,804)

24,330

55.0

Finland

UPM-Kymmene

OYJ

(3,885)

(126,865)

(4,764)

(10.8)

France

Air

Liquide

SA

(982)

(171,795)

(9,459)

(21.4)

Alstom

SA

(6,951)

(162,646)

(3,640)

(8.2)

L'Oreal

SA

(593)

(236,871)

(2,381)

(5.4)

Safran

SA

(1,092)

(128,567)

(2,349)

(5.3)

Germany

Allianz

SE

(Registered)

(762)

(181,972)

(1,244)

(2.8)

Deutsche

Telekom

AG

(Registered)

(12,304)

(229,151)

(4,888)

(11.1)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(4,343)

(291,028)

(13,403)

(30.3)

Hannover

Rueck

SE

(684)

(116,197)

(1,354)

(3.1)

Siemens

AG

(Registered)

(1,360)

(188,316)

3,918

8.9

Italy

Intesa

Sanpaolo

SpA

(58,348)

(133,545)

1,194

2.7

Nexi

SpA

(14,724)

(169,911)

2,016

4.6

Netherlands

ABN

AMRO

Bank

NV

(11,380)

(145,321)

(2,991)

(6.8)

Argenx

SE

(397)

(124,210)

(13,375)

(30.2)

Portugal

EDP

-

Energias

de

Portugal

SA

(28,795)

(141,726)

(4,028)

(9.1)

Saudi

Arabia

Delivery

Hero

SE

(3,916)

(170,674)

18,264

41.3

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

(5,485)

(147,873)

(9,950)

(22.5)

Aena

SME

SA

(806)

(134,360)

(14,547)

(32.9)

Amadeus

IT

Group

SA

(3,153)

(205,002)

(17,260)

(39.0)

CaixaBank

SA

(37,969)

(128,786)

5,040

11.4

Cellnex

Telecom

SA

(2,502)

(120,407)

(5,589)

(12.6)

Ferrovial

SA

(5,190)

(138,027)

826

1.9

United

Kingdom

CNH

Industrial

NV

(10,148)

(159,839)

(6,450)

(14.6)

United

States

Schneider

Electric

SE

(1,698)

(285,078)

(4,878)

(11.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/18/2027

$5,521,506

$(15,177)

$29,435

$14,258

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

160

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

19,615

127,629

6,626

46.5

Rio

Tinto

plc

3,284

262,545

12,070

84.7

Chile

Antofagasta

plc

3,222

70,011

6,627

46.5

Netherlands

Shell

plc

7,095

194,465

7,766

54.5

South

Africa

Anglo

American

plc

2,078

107,978

5,599

39.3

United

Kingdom

Ashtead

Group

plc

645

40,612

(963)

(6.8)

Aviva

plc

8,174

48,365

4,346

30.5

Barclays

plc

45,779

88,742

(8,583)

(60.2)

BP

plc

26,043

127,673

2,320

16.3

British

American

Tobacco

plc

2,592

108,857

4,426

31.0

Diageo

plc

2,358

119,609

7,924

55.6

DS

Smith

plc

10,362

43,580

504

3.5

Howden

Joinery

Group

plc

6,053

60,682

(593)

(4.2)

Inchcape

plc

5,161

45,160

(2,228)

(15.6)

Johnson

Matthey

plc

2,504

61,240

(429)

(3.0)

Lloyds

Banking

Group

plc

76,475

46,571

(5,799)

(40.7)

M&G

plc

20,483

59,018

218

1.5

Man

Group

plc

30,184

92,110

13,529

94.9

National

Grid

plc

5,034

77,364

2,687

18.8

NatWest

Group

plc

25,410

71,766

(555)

(3.9)

Rotork

plc

10,272

43,738

2,291

16.1

Royal

Mail

plc

13,099

56,282

(3,623)

(25.4)

Spectris

plc

1,748

59,283

(1,391)

(9.8)

Spirax-Sarco

Engineering

plc

336

54,930

4,910

34.4

SSE

plc

2,954

67,496

2,310

16.2

Travis

Perkins

plc

3,132

50,506

(2,158)

(15.1)

Unilever

plc

2,505

113,734

717

5.0

Vodafone

Group

plc

39,768

65,211

1,702

11.9

United

States

GlaxoSmithKline

plc

2,467

53,378

2,995

21.0

Short

Positions

Common

Stocks

United

Kingdom

ASOS

plc

(4,621)

(97,220)

7,637

53.6

AstraZeneca

plc

(2,951)

(391,341)

(37,718)

(264.5)

AVEVA

Group

plc

(4,826)

(154,146)

9,025

63.3

BAE

Systems

plc

(7,634)

(71,694)

744

5.2

boohoo

Group

plc

(71,405)

(82,722)

(8,652)

(60.7)

BT

Group

plc

(39,828)

(94,962)

(5,451)

(38.2)

Compass

Group

plc

(3,533)

(76,030)

(366)

(2.6)

Croda

International

plc

(1,032)

(106,164)

(9,419)

(66.1)

Dechra

Pharmaceuticals

plc

(799)

(42,421)

(190)

(1.3)

easyJet

plc

(10,035)

(72,801)

(5,065)

(35.5)

Informa

plc

(12,032)

(94,271)

(2,360)

(16.6)

Investec

plc

(8,455)

(55,934)

(6,332)

(44.4)

Ocado

Group

plc

(15,073)

(230,159)

5,025

35.2

Prudential

plc

(4,252)

(62,773)

(483)

(3.4)

Reckitt

Benckiser

Group

plc

(1,312)

(100,087)

998

7.0

Rentokil

Initial

plc

(7,063)

(48,653)

(4,988)

(35.0)

161

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Severn

Trent

plc

(3,362)

(135,503)

(7,755)

(54.4)

Taylor

Wimpey

plc

(44,793)

(76,279)

2,542

17.8

United

Utilities

Group

plc

(2,943)

(43,337)

(1,690)

(11.9)

Weir

Group

plc

(The)

(2,174)

(46,393)

6,560

46.0

Whitbread

plc

(2,325)

(86,568)

(5,337)

(37.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.13%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/18/2027

$1,285,536

$(18,099)

$(2,536)

$(20,635)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

29,500

111,002

10,468

(50.7)

SITC

International

Holdings

Co.

Ltd.

30,000

104,901

(10,544)

51.1

Hong

Kong

ASM

Pacific

Technology

Ltd.

12,000

120,809

5,081

(24.6)

CLP

Holdings

Ltd.

1,500

14,595

(236)

1.1

HKT

Trust

&

HKT

Ltd.

9,000

12,340

323

(1.6)

Hong

Kong

&

China

Gas

Co.

Ltd.

33,000

39,861

(8,084)

39.2

Kerry

Properties

Ltd.

2,500

7,043

326

(1.6)

New

World

Development

Co.

Ltd.

2,000

8,114

507

(2.5)

Sun

Hung

Kai

Properties

Ltd.

1,500

17,846

896

(4.3)

Swire

Properties

Ltd.

10,200

25,206

79

(0.4)

Xinyi

Glass

Holdings

Ltd.

6,000

14,386

250

(1.2)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

8,500

62,155

4,770

(23.1)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(32,600)

(86,085)

6,926

(33.6)

Chow

Tai

Fook

Jewellery

Group

Ltd.

(35,600)

(64,298)

811

(3.9)

ESR

Cayman

Ltd.

(18,200)

(56,400)

(3,472)

16.8

Hong

Kong

Hang

Lung

Properties

Ltd.

(11,000)

(22,171)

154

(0.7)

Henderson

Land

Development

Co.

Ltd.

(6,000)

(24,906)

(859)

4.2

Man

Wah

Holdings

Ltd.

(9,600)

(10,385)

(1,321)

6.4

MTR

Corp.

Ltd.

(21,000)

(113,091)

(5,865)

28.4

162

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Power

Assets

Holdings

Ltd.

(1,500)

(9,776)

(96)

0.5

Techtronic

Industries

Co.

Ltd.

(12,000)

(192,258)

(1,878)

9.1

WH

Group

Ltd.

(55,500)

(34,852)

1,066

(5.2)

Wharf

Real

Estate

Investment

Co.

Ltd.

(10,000)

(49,423)

(6,541)

31.7

Macau

Galaxy

Entertainment

Group

Ltd.

(9,000)

(53,256)

(6,341)

30.7

SJM

Holdings

Ltd.

(17,000)

(8,347)

(1,718)

8.3

Wynn

Macau

Ltd.

(30,400)

(22,030)

(2,801)

13.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.05%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

55-61

months

maturity

ranging

from

09/21/2026

-

03/18/2027

$2,691,567

$13,962

$10,979

$24,941

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

974

10,024

(1,209)

(4.8)

Sweden

Axfood

AB

1,845

60,085

11,120

44.6

BillerudKorsnas

AB

5,879

87,121

6,250

25.1

Boliden

AB

1,472

74,255

6,641

26.6

Electrolux

AB

679

10,275

(969)

(3.9)

Elekta

AB

1,373

10,814

(357)

(1.4)

Getinge

AB

2,854

113,700

9,882

39.6

H

&

M

Hennes

&

Mauritz

AB

6,956

93,403

(14,715)

(59.0)

Hexpol

AB

2,845

27,769

(1,222)

(4.9)

Husqvarna

AB

2,293

23,920

(2,735)

(11.0)

Indutrade

AB

1,674

42,100

6,407

25.7

Lifco

AB

1,060

26,909

1,953

7.8

Saab

AB

2,697

97,415

8,158

32.7

Securitas

AB

8,689

98,023

(6,743)

(27.0)

Skanska

AB

888

19,867

(667)

(2.7)

SKF

AB

378

6,164

(393)

(1.6)

SSAB

AB

15,362

102,289

9,614

38.5

Svenska

Cellulosa

AB

SCA

2,016

39,146

4,888

19.6

Svenska

Handelsbanken

AB

4,435

40,782

(756)

(3.0)

Swedbank

AB

3,142

46,928

(728)

(2.9)

Swedish

Match

AB

4,168

31,344

339

1.4

Tele2

AB

2,397

36,233

4,051

16.2

Telefonaktiebolaget

LM

Ericsson

14,630

133,360

4,884

19.6

163

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Telia

Co.

AB

28,111

112,717

5,066

20.3

Trelleborg

AB

1,771

41,003

5,204

20.9

Volvo

AB

4,236

79,024

(137)

(0.6)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(1,709)

(43,386)

(2,252)

(9.0)

Sweden

AAK

AB

(2,664)

(49,371)

(2,686)

(10.8)

Alfa

Laval

AB

(1,366)

(46,987)

(590)

(2.4)

Assa

Abloy

AB

(3,059)

(82,225)

1,879

7.5

Atlas

Copco

AB

(332)

(17,233)

(379)

(1.5)

Beijer

Ref

AB

(3,093)

(56,019)

(7,121)

(28.6)

Embracer

Group

AB

(12,492)

(104,273)

(5,704)

(22.9)

Epiroc

AB

(3,204)

(68,530)

(1,668)

(6.7)

EQT

AB

(2,827)

(110,248)

(24,153)

(96.8)

Essity

AB

(5,558)

(131,163)

3,849

15.4

Evolution

AB

(150)

(15,260)

278

1.1

Hexagon

AB

(13,092)

(183,429)

(10,585)

(42.4)

Holmen

AB

(1,468)

(81,942)

(4,464)

(17.9)

Nibe

Industrier

AB

(3,841)

(42,576)

(2,307)

(9.2)

Sandvik

AB

(3,654)

(77,621)

2,674

10.7

Sinch

AB

(9,740)

(66,061)

13,700

54.9

Skandinaviska

Enskilda

Banken

AB

(3,699)

(39,989)

74

0.3

Sweco

AB

(728)

(10,584)

(409)

(1.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-13

months

maturity

ranging

from

10/19/2022

-

05/02/2023

$15,053,722

$(22,380)

$25,707

$3,327

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Asics

Corp.

6,000

115,781

6,145

184.7

Dai-ichi

Life

Holdings,

Inc.

4,200

85,347

(623)

(18.7)

Disco

Corp.

300

83,891

6,317

189.9

Hoya

Corp.

900

102,562

505

15.2

Inpex

Corp.

11,800

138,737

11,101

333.7

164

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Japan

Post

Insurance

Co.

Ltd.

5,300

92,300

179

5.4

Japan

Tobacco,

Inc.

8,800

150,283

3,437

103.3

Kyushu

Electric

Power

Co.,

Inc.

13,300

89,049

(5,773)

(173.5)

MISUMI

Group,

Inc.

4,000

119,083

(2,940)

(88.4)

Mitsubishi

Electric

Corp.

12,100

138,773

1,599

48.0

Mitsui

&

Co.

Ltd.

3,300

89,579

5,436

163.4

Murata

Manufacturing

Co.

Ltd.

1,400

92,222

2,084

62.6

Nabtesco

Corp.

4,600

121,452

3,556

106.9

Olympus

Corp.

5,100

96,658

4,894

147.1

Recruit

Holdings

Co.

Ltd.

4,300

186,822

899

27.0

Shimadzu

Corp.

2,800

96,305

4,761

143.1

Sumitomo

Corp.

5,600

96,984

4,147

124.6

Takeda

Pharmaceutical

Co.

Ltd.

3,000

85,477

(1,229)

(36.9)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

25,600

84,505

7,350

220.9

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(5,200)

(110,877)

3,295

99.0

Bridgestone

Corp.

(3,200)

(124,211)

(6,398)

(192.3)

Central

Japan

Railway

Co.

(1,000)

(130,393)

2,902

87.2

Concordia

Financial

Group

Ltd.

(25,600)

(95,274)

3,652

109.8

East

Japan

Railway

Co.

(2,200)

(127,331)

(3,594)

(108.0)

Fast

Retailing

Co.

Ltd.

(200)

(102,531)

(4,173)

(125.4)

Honda

Motor

Co.

Ltd.

(6,000)

(170,075)

(4,385)

(131.8)

Isuzu

Motors

Ltd.

(9,000)

(116,262)

2,840

85.4

ITOCHU

Corp.

(5,400)

(182,660)

(6,306)

(189.6)

Japan

Airlines

Co.

Ltd.

(6,300)

(117,453)

(889)

(26.7)

KDDI

Corp.

(4,100)

(134,425)

(811)

(24.4)

Kobe

Bussan

Co.

Ltd.

(2,900)

(89,247)

1,108

33.3

Kubota

Corp.

(4,700)

(88,098)

(4,167)

(125.2)

Lasertec

Corp.

(1,400)

(232,910)

(13,419)

(403.4)

Mercari,

Inc.

(3,300)

(85,186)

(1,994)

(59.9)

MonotaRO

Co.

Ltd.

(5,200)

(111,604)

(1,395)

(41.9)

Nidec

Corp.

(1,100)

(86,881)

(290)

(8.7)

Nippon

Paint

Holdings

Co.

Ltd.

(12,000)

(105,136)

133

4.0

Nitori

Holdings

Co.

Ltd.

(800)

(100,650)

8,941

268.8

Oriental

Land

Co.

Ltd.

(1,500)

(287,108)

(3,115)

(93.6)

Rakuten

Group,

Inc.

(16,700)

(131,308)

(41)

(1.2)

Sekisui

House

Ltd.

(4,900)

(94,782)

1,098

33.0

Seven

&

i

Holdings

Co.

Ltd.

(6,200)

(295,599)

(12,504)

(375.8)

SMC

Corp.

(200)

(111,799)

(1,380)

(41.5)

SoftBank

Corp.

(13,400)

(156,286)

8,758

263.2

Sony

Group

Corp.

(1,100)

(113,163)

(2,334)

(70.1)

Sumitomo

Mitsui

Financial

Group,

Inc.

(3,100)

(97,924)

9,451

284.1

Tokyo

Electron

Ltd.

(300)

(154,068)

(11,545)

(347.0)

Toyota

Motor

Corp.

(14,700)

(265,159)

(19,272)

(579.2)

Yaskawa

Electric

Corp.

(2,300)

(89,642)

(1,106)

(33.3)

Z

Holdings

Corp.

(19,800)

(85,597)

357

10.7

165

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-7.45%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-13

months

maturity

ranging

from

10/19/2022

-

04/26/2023

$68,544,077

$(439,315)

$(92,624)

$(531,939)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Abbott

Laboratories

1,934

228,908

(5,137)

1.0

Alphabet,

Inc.

65

180,788

3,473

(0.7)

Apple,

Inc.

1,093

190,849

11,440

(2.2)

Autodesk,

Inc.

947

202,989

2,557

(0.5)

Boeing

Co.

(The)

1,155

221,182

1,513

(0.3)

Bristol-Myers

Squibb

Co.

2,374

173,373

5,959

(1.1)

DuPont

de

Nemours,

Inc.

2,626

193,221

(5,856)

1.1

Emerson

Electric

Co.

2,274

222,966

5,821

(1.1)

EOG

Resources,

Inc.

1,441

171,810

1,960

(0.4)

Gartner,

Inc.

705

209,709

5,192

(1.0)

Gilead

Sciences,

Inc.

3,050

181,322

763

(0.1)

Halliburton

Co.

4,958

187,759

9,817

(1.8)

International

Paper

Co.

4,128

190,507

4,871

(0.9)

IQVIA

Holdings,

Inc.

1,099

254,100

8,759

(1.6)

Johnson

&

Johnson

1,536

272,225

660

(0.1)

KLA

Corp.

582

213,047

7,828

(1.5)

McDonald's

Corp.

1,306

322,948

12,749

(2.4)

Medtronic

plc

1,511

167,645

1,828

(0.3)

Meta

Platforms,

Inc.

784

174,330

11,384

(2.1)

Microchip

Technology,

Inc.

2,518

189,203

(705)

0.1

Microsoft

Corp.

1,058

326,192

11,660

(2.2)

Pfizer,

Inc.

6,551

339,145

(16,181)

3.0

SS&C

Technologies

Holdings,

Inc.

2,671

200,378

(9,135)

1.7

UnitedHealth

Group,

Inc.

575

293,233

1,769

(0.3)

Verizon

Communications,

Inc.

4,117

209,720

(5,846)

1.1

Short

Positions

Common

Stocks

Taiwan

Sea

Ltd.,

ADR

(1,430)

(171,300)

(7,951)

1.5

United

States

American

Express

Co.

(1,455)

(272,085)

(44)

0.0

Amgen,

Inc.

(847)

(204,822)

(5,048)

0.9

Atmos

Energy

Corp.

(1,555)

(185,807)

(7,806)

1.5

BorgWarner,

Inc.

(4,712)

(183,297)

(2,629)

0.5

CarMax,

Inc.

(1,834)

(176,944)

12,497

(2.3)

166

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Caterpillar,

Inc.

(778)

(173,354)

(871)

0.2

Dollar

General

Corp.

(821)

(182,779)

(566)

0.1

General

Mills,

Inc.

(3,033)

(205,395)

(13,649)

2.6

Hewlett

Packard

Enterprise

Co.

(14,923)

(249,363)

740

(0.1)

Hormel

Foods

Corp.

(4,736)

(244,093)

(8,714)

1.6

Illinois

Tool

Works,

Inc.

(1,526)

(319,544)

3,021

(0.6)

Insulet

Corp.

(738)

(196,596)

(13,373)

2.5

Jazz

Pharmaceuticals

plc

(1,182)

(184,002)

2,275

(0.4)

McCormick

&

Co.,

Inc.

(Non-Voting)

(1,942)

(193,812)

(5,651)

1.1

MillerKnoll,

Inc.

(6,348)

(219,387)

2,610

(0.5)

Norwegian

Cruise

Line

Holdings

Ltd.

(8,234)

(180,160)

(18,126)

3.4

PepsiCo,

Inc.

(1,155)

(193,324)

(7,438)

1.4

Performance

Food

Group

Co.

(3,645)

(185,567)

2,129

(0.4)

Progressive

Corp.

(The)

(1,556)

(177,368)

(6,955)

1.3

Stanley

Black

&

Decker,

Inc.

(1,427)

(199,480)

11,532

(2.2)

STERIS

plc

(1,043)

(252,166)

(10,180)

1.9

Sysco

Corp.

(2,434)

(198,736)

(4,625)

0.9

T-Mobile

US,

Inc.

(2,054)

(263,631)

1,232

(0.2)

Visa,

Inc.

(770)

(170,763)

(6,406)

1.2

167

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

128.0%

COMMON

STOCKS

-

55.0%

Australia

-

1.3%

Ampol

Ltd.

(2)

1,485

33,736

Aristocrat

Leisure

Ltd.

(2)(a)

3,313

89,921

Aurizon

Holdings

Ltd.

(2)

75,327

207,048

Australia

&

New

Zealand

Banking

Group

Ltd.

(2)

2,347

48,092

BHP

Group

Ltd.

(2)(a)

4,720

181,944

BlueScope

Steel

Ltd.

(2)

17,250

268,240

Boral

Ltd.

(2)

2,490

6,422

Brambles

Ltd.

(2)(a)

1,554

11,468

carsales.com

Ltd.

(2)

760

11,766

CSL

Ltd.

(2)(a)

173

34,538

Harvey

Norman

Holdings

Ltd.

(2)

24,069

95,915

Incitec

Pivot

Ltd.

(2)

39,147

110,814

JB

Hi-Fi

Ltd.

(2)

5,729

231,568

Magellan

Financial

Group

Ltd.

(2)

3,981

47,095

Origin

Energy

Ltd.

(2)

1,384

6,442

QBE

Insurance

Group

Ltd.

(2)

2,690

23,068

Rio

Tinto

plc

(2)(a)

2,435

194,670

Sonic

Healthcare

Ltd.

(2)

2,862

75,563

South32

Ltd.

(2)

38,696

147,094

Suncorp

Group

Ltd.

(2)

4,894

40,570

Telstra

Corp.

Ltd.

(2)

5,813

17,174

Woodside

Petroleum

Ltd.

(2)

1,828

43,929

Worley

Ltd.

(2)

1,061

10,250

1,937,327

—

Austria

-

0.0%

(b)

Mondi

plc

(2)

332

6,453

Belgium

-

0.2%

Ageas

SA/NV

(2)

1,598

80,784

Etablissements

Franz

Colruyt

NV

(2)

858

35,516

Proximus

SADP

(2)

6,952

129,456

Umicore

SA

(2)

1,014

43,833

289,589

—

Brazil

-

0.1%

Yara

International

ASA

(2)

3,907

195,383

Canada

-

2.9%

Agnico

Eagle

Mines

Ltd.

(a)

314

19,214

AltaGas

Ltd.

395

8,847

Bank

of

Montreal

(a)

53

6,237

Bank

of

Nova

Scotia

(The)

(a)

489

35,047

Barrick

Gold

Corp.

(a)

5,936

145,581

Canadian

National

Railway

Co.

(a)

534

71,633

Canadian

Natural

Resources

Ltd.

3,075

190,406

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

1,109

167,448

Cenovus

Energy,

Inc.

1,336

22,271

CGI,

Inc.

*

1,459

116,228

Empire

Co.

Ltd.,

Class

A

357

12,662

Enbridge,

Inc.

(a)

616

28,357

Fairfax

Financial

Holdings

Ltd.

496

270,597

Gildan

Activewear,

Inc.

1,324

49,660

IGM

Financial,

Inc.

839

29,643

Imperial

Oil

Ltd.

5,085

246,084

INVESTMENTS

SHARES

VALUE

($)

Canada

-

2.9%

(continued)

Intact

Financial

Corp.

85

12,559

Kinross

Gold

Corp.

48,704

285,956

Loblaw

Cos.

Ltd.

964

86,503

Magna

International,

Inc.

1,815

116,524

Manulife

Financial

Corp.

14,699

313,463

National

Bank

of

Canada

149

11,422

Nutrien

Ltd.

(a)

65

6,719

Nuvei

Corp.

*(c)

138

10,376

Onex

Corp.

5,835

391,038

Open

Text

Corp.

1,705

72,297

Parkland

Corp.

2,113

62,487

Pembina

Pipeline

Corp.

481

18,072

Quebecor,

Inc.,

Class

B

3,676

87,625

Ritchie

Bros

Auctioneers,

Inc.

(a)

1,598

94,386

Shaw

Communications,

Inc.,

Class

B

964

29,919

Shopify,

Inc.,

Class

A

*(a)

82

55,456

Suncor

Energy,

Inc.

16,453

535,644

TC

Energy

Corp.

152

8,573

Teck

Resources

Ltd.,

Class

B

2,334

94,245

TFI

International,

Inc.

(a)

437

46,544

Thomson

Reuters

Corp.

(a)

525

57,000

Toromont

Industries

Ltd.

1,601

151,769

Toronto-Dominion

Bank

(The)

(a)

555

44,035

Tourmaline

Oil

Corp.

872

40,177

West

Fraser

Timber

Co.

Ltd.

1,303

107,208

4,159,912

—

Chile

-

0.0%

(b)

Lundin

Mining

Corp.

2,630

26,654

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

(2)

2,000

7,526

NXP

Semiconductors

NV

343

63,482

SITC

International

Holdings

Co.

Ltd.

(2)

29,000

101,405

172,413

—

Denmark

-

0.4%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

120

360,596

Genmab

A/S

(2)*

218

78,731

H

Lundbeck

A/S

(2)

375

8,640

ISS

A/S

(2)*

3,710

65,933

Novo

Nordisk

A/S,

Class

B

(2)(a)

521

57,787

Pandora

A/S

(2)

451

42,964

614,651

—

Finland

-

0.2%

Huhtamaki

OYJ

(2)

626

21,777

Neste

OYJ

(2)

1,858

84,712

Nokia

OYJ

(2)*

10,568

58,198

Nokian

Renkaat

OYJ

(2)

5,926

96,179

260,866

—

France

-

1.4%

Airbus

SE

(2)*(a)

537

64,799

Atos

SE

(2)

4,169

113,841

AXA

SA

(2)

1,278

37,413

BioMerieux

(2)

103

10,993

BNP

Paribas

SA

(2)

836

47,773

168

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

1.4%

(continued)

Bouygues

SA

(2)

1,573

54,904

Carrefour

SA

(2)

11,675

254,072

Casino

Guichard

Perrachon

SA

(2)*

604

11,120

Cie

de

Saint-Gobain

(2)(a)

3,460

205,871

CNP

Assurances

(2)

875

21,065

Eiffage

SA

(2)

152

15,600

Electricite

de

France

SA

(2)

3,532

33,152

Eutelsat

Communications

SA

(2)

6,108

66,351

Ipsen

SA

(2)

1,024

128,179

La

Francaise

des

Jeux

SAEM

(2)(c)

767

30,429

Orange

SA

(2)

12,469

147,649

Publicis

Groupe

SA

(2)

1,843

111,858

Renault

SA

(2)*

692

18,089

Rexel

SA

(2)*

6,810

145,379

Rubis

SCA

(2)

2,075

60,990

Sanofi

(2)(a)

836

85,472

SEB

SA

(2)(a)

994

138,624

Societe

BIC

SA

(2)

546

27,586

Sodexo

SA

(2)

322

26,203

Thales

SA

(2)(a)

122

15,279

TotalEnergies

SE

(2)(a)

2,730

138,137

2,010,828

—

Germany

-

1.3%

Allianz

SE

(Registered)

(2)(a)

415

99,105

Aurubis

AG

(2)

1,392

165,706

BASF

SE

(2)(a)

1,883

107,445

Bayer

AG

(Registered)

(2)

502

34,336

Bayerische

Motoren

Werke

AG

(2)

1,077

93,072

Brenntag

SE

(2)

472

38,058

Covestro

AG

(2)(c)

1,294

65,160

Deutsche

Bank

AG

(Registered)

(2)*

18,575

233,937

Deutsche

Post

AG

(Registered)

(2)

(a)

4,412

210,681

Freenet

AG

(2)

926

24,781

GEA

Group

AG

(2)

1,433

58,735

HelloFresh

SE

(2)*

618

27,738

HOCHTIEF

AG

(2)

978

65,881

METRO

AG

(2)

8,552

75,799

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)

324

86,618

ProSiebenSat.1

Media

SE

(2)

8,038

102,386

Rheinmetall

AG

(2)

288

60,874

SAP

SE

(2)(a)

1,733

192,065

Uniper

SE

(2)

575

14,855

Volkswagen

AG

(Preference)

(2)(a)

306

52,587

1,809,819

—

Hong

Kong

-

0.3%

CK

Asset

Holdings

Ltd.

(2)

1,915

13,090

CLP

Holdings

Ltd.

(2)

2,500

24,325

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

800

37,499

Sun

Hung

Kai

Properties

Ltd.

(2)

17,000

202,257

Swire

Pacific

Ltd.,

Class

A

(2)

10,000

60,811

WH

Group

Ltd.

(2)(c)

74,500

46,783

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

0.3%

(continued)

Xinyi

Glass

Holdings

Ltd.

(2)

32,000

76,725

461,490

—

Italy

-

0.6%

Banco

BPM

SpA

(2)

4,531

13,347

Buzzi

Unicem

SpA

(2)

7,283

134,773

Enel

SpA

(2)(a)

1,952

13,033

Eni

SpA

(2)

19,480

284,080

Italgas

SpA

(2)

1,537

9,861

Leonardo

SpA

(2)*

8,615

85,609

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)

9,042

91,374

Poste

Italiane

SpA

(2)(c)

687

7,791

Prysmian

SpA

(2)

445

15,102

Telecom

Italia

SpA

(2)

9,170

3,367

UniCredit

SpA

(2)

8,440

91,049

Unipol

Gruppo

SpA

(2)

22,837

125,260

874,646

—

Japan

-

3.3%

Advantest

Corp.

(2)

200

15,615

AGC,

Inc.

(2)

600

23,973

Aisin

Corp.

(2)

800

27,342

Alfresa

Holdings

Corp.

(2)

1,500

20,792

Amada

Co.

Ltd.

(2)

2,400

21,100

Asics

Corp.

(2)

1,300

25,086

BIPROGY,

Inc.

(2)

1,300

32,982

Brother

Industries

Ltd.

(2)

3,500

63,649

Chugai

Pharmaceutical

Co.

Ltd.

(2)

400

13,347

COMSYS

Holdings

Corp.

(2)

400

8,710

CyberAgent,

Inc.

(2)

3,700

45,786

Dai-ichi

Life

Holdings,

Inc.

(2)

4,200

85,347

Dentsu

Group,

Inc.

(2)

300

12,260

Eisai

Co.

Ltd.

(2)

200

9,266

ENEOS

Holdings,

Inc.

(2)

14,900

55,707

Food

&

Life

Cos.

Ltd.

(2)

1,300

36,260

Fujitsu

Ltd.

(2)(a)

200

29,965

Fukuoka

Financial

Group,

Inc.

(2)

700

13,507

Haseko

Corp.

(2)

2,200

25,269

Hino

Motors

Ltd.

(2)

1,100

6,430

Hirose

Electric

Co.

Ltd.

(2)

100

14,495

Hitachi

Transport

System

Ltd.

(2)

900

49,377

Honda

Motor

Co.

Ltd.

(2)

1,100

31,180

Idemitsu

Kosan

Co.

Ltd.

(2)

300

8,270

Iida

Group

Holdings

Co.

Ltd.

(2)

3,700

63,791

Inpex

Corp.

(2)

11,300

132,858

Japan

Post

Holdings

Co.

Ltd.

(2)

6,200

45,534

Japan

Post

Insurance

Co.

Ltd.

(2)

7,800

135,839

Japan

Tobacco,

Inc.

(2)

2,300

39,278

JFE

Holdings,

Inc.

(2)

4,000

55,977

JTEKT

Corp.

(2)

3,000

23,471

Kajima

Corp.

(2)

10,800

131,401

Kamigumi

Co.

Ltd.

(2)

5,500

98,728

Kawasaki

Kisen

Kaisha

Ltd.

(2)

1,000

65,091

Kinden

Corp.

(2)

3,000

38,665

Kuraray

Co.

Ltd.

(2)

2,100

18,077

Marubeni

Corp.

(2)

9,600

111,477

Mazda

Motor

Corp.

(2)

16,400

120,550

McDonald's

Holdings

Co.

Japan

Ltd.

(2)

200

8,317

169

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

3.3%

(continued)

Mitsubishi

Electric

Corp.

(2)(a)

3,500

40,141

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

1,100

18,621

Mitsubishi

HC

Capital,

Inc.

(2)

4,700

21,839

Mitsui

Chemicals,

Inc.

(2)

1,900

47,765

Mitsui

OSK

Lines

Ltd.

(2)(a)

1,200

33,335

Miura

Co.

Ltd.

(2)

300

7,392

Mizuho

Financial

Group,

Inc.

(2)

21,100

269,139

Nabtesco

Corp.

(2)

1,700

44,884

NGK

Insulators

Ltd.

(2)

800

11,412

NGK

Spark

Plug

Co.

Ltd.

(2)

4,500

72,454

Nikon

Corp.

(2)

1,800

19,220

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)

1,500

103,051

Nippon

Steel

Corp.

(2)

10,200

179,976

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

3,700

107,499

Nippon

Yusen

KK

(2)(a)

700

61,232

Nitto

Denko

Corp.

(2)

1,100

78,857

NOF

Corp.

(2)

200

8,172

Nomura

Holdings,

Inc.

(2)

10,100

42,478

Obayashi

Corp.

(2)

20,000

146,796

Ono

Pharmaceutical

Co.

Ltd.

(2)

1,000

25,065

ORIX

Corp.

(2)

500

9,966

Panasonic

Holdings

Corp.

(2)(a)

1,000

9,712

Recruit

Holdings

Co.

Ltd.

(2)(a)

1,300

56,481

Renesas

Electronics

Corp.

(2)*

5,300

61,411

Resona

Holdings,

Inc.

(2)

19,100

81,353

Rohm

Co.

Ltd.

(2)

100

7,764

Rohto

Pharmaceutical

Co.

Ltd.

(2)

1,200

36,224

SCREEN

Holdings

Co.

Ltd.

(2)

1,100

109,643

Shimamura

Co.

Ltd.

(2)

1,300

115,543

Shimizu

Corp.

(2)

7,700

46,209

SoftBank

Group

Corp.

(2)(a)

1,500

67,064

Sojitz

Corp.

(2)

6,580

108,216

Sompo

Holdings,

Inc.

(2)

300

13,182

Subaru

Corp.

(2)

3,300

52,414

Sumitomo

Forestry

Co.

Ltd.

(2)

800

14,096

Sumitomo

Heavy

Industries

Ltd.

(2)

900

20,624

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)

600

18,953

Sumitomo

Pharma

Co.

Ltd.

(2)

1,800

17,758

Suzuken

Co.

Ltd.

(2)

700

20,735

Taisei

Corp.

(2)

4,900

141,460

Tokyo

Century

Corp.

(2)

200

7,332

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*

60,900

201,031

Tosoh

Corp.

(2)

1,900

28,081

Toyo

Suisan

Kaisha

Ltd.

(2)

200

7,156

Toyota

Boshoku

Corp.

(2)

3,800

61,791

Toyota

Tsusho

Corp.

(2)

600

24,625

Yamada

Holdings

Co.

Ltd.

(2)

21,300

66,219

Yamaha

Motor

Co.

Ltd.

(2)

1,200

26,896

Yamato

Holdings

Co.

Ltd.

(2)(a)

3,500

65,381

Yamazaki

Baking

Co.

Ltd.

(2)

1,100

13,529

4,614,946

—

INVESTMENTS

SHARES

VALUE

($)

Luxembourg

-

0.1%

ArcelorMittal

SA

(2)

4,238

135,761

Eurofins

Scientific

SE

(2)

216

21,367

SES

SA,

Receipts

(2)

5,436

49,643

206,771

—

Macau

-

0.0%

(b)

Sands

China

Ltd.

(2)*

10,400

24,741

Netherlands

-

1.1%

Aegon

NV

(2)

11,558

61,270

ASML

Holding

NV

(2)

407

271,967

ASR

Nederland

NV

(2)

2,447

114,240

ING

Groep

NV

(2)

5,135

53,614

Koninklijke

Ahold

Delhaize

NV

(2)

12,314

396,087

Koninklijke

KPN

NV

(2)

8,880

30,813

Koninklijke

Vopak

NV

(2)

259

8,380

NN

Group

NV

(2)

3,489

176,818

OCI

NV

(2)*

1,105

39,011

Shell

plc

(2)

12,016

329,344

Signify

NV

(2)(c)

1,263

58,751

1,540,295

—

New

Zealand

-

0.0%

(b)

Xero

Ltd.

(2)*

120

9,095

Norway

-

0.1%

Equinor

ASA

(2)

4,929

184,032

Norsk

Hydro

ASA

(2)

2,014

19,568

203,600

—

Panama

-

0.0%

(b)

Copa

Holdings

SA,

Class

A

*

677

56,624

Russia

-

0.0%

(b)

Evraz

plc

(3)(d)

27,473

9,600

Raspadskaya

OJSC

(3)(d)

11,691

—

9,600

—

Singapore

-

0.2%

Singapore

Technologies

Engineering

Ltd.

(2)

24,700

74,818

STMicroelectronics

NV

(2)

4,556

198,021

272,839

—

South

Africa

-

0.0%

(b)

Anglo

American

plc

(2)

256

13,302

Spain

-

0.9%

Acerinox

SA

(2)

4,069

44,569

Banco

de

Sabadell

SA

(2)

81,650

66,721

Banco

Santander

SA

(2)

43,024

146,279

Enagas

SA

(2)

6,935

154,001

Endesa

SA

(2)

5,492

119,746

Fluidra

SA

(2)

1,282

37,094

Iberdrola

SA

(2)

4,164

45,512

Industria

de

Diseno

Textil

SA

(2)(a)

443

9,660

Mapfre

SA

(2)

52,038

108,843

Repsol

SA

(2)

26,772

350,691

Telefonica

SA

(2)

39,236

190,147

1,273,263

—

170

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

0.8%

Electrolux

AB,

Series

B

(2)

5,623

85,090

Evolution

AB

(2)(a)(c)

549

55,852

Getinge

AB,

Class

B

(2)

1,449

57,727

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)(a)

3,522

47,292

Husqvarna

AB,

Class

B

(2)

7,630

79,594

Saab

AB,

Class

B

(2)

2,642

95,428

Securitas

AB,

Class

B

(2)(a)

2,221

25,056

Skanska

AB,

Class

B

(2)

652

14,587

SKF

AB,

Class

B

(2)

1,558

25,405

SSAB

AB,

Class

B

(2)*

15,567

103,654

Svenska

Handelsbanken

AB,

Class

A

(2)

25,945

238,575

Swedish

Orphan

Biovitrum

AB

(2)*

1,523

36,055

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

19,782

180,324

Telia

Co.

AB

(2)

9,152

36,697

Trelleborg

AB,

Class

B

(2)

762

17,642

1,098,978

—

Switzerland

-

1.2%

Adecco

Group

AG

(Registered)

(2)

(a)

1,784

80,925

BKW

AG

(2)

497

62,250

DKSH

Holding

AG

(2)

839

70,662

dormakaba

Holding

AG

(2)

36

18,465

Galenica

AG

(2)(c)

1,397

107,550

Holcim

Ltd.

(2)*(a)

2,655

129,131

Nestle

SA

(Registered)

(2)(a)

140

18,203

Novartis

AG

(Registered)

(2)

4,770

418,765

OC

Oerlikon

Corp.

AG

(Registered)

(2)

1,426

11,364

Roche

Holding

AG

(2)

746

295,164

Swatch

Group

AG

(The)

(2)(a)

38

10,774

Swiss

Life

Holding

AG

(Registered)

(2)

108

69,207

Temenos

AG

(Registered)

(2)

1,561

150,152

UBS

Group

AG

(Registered)

(2)

10,332

201,901

Zurich

Insurance

Group

AG

(2)

75

37,043

1,681,556

—

Taiwan

-

0.0%

(b)

Sea

Ltd.,

ADR

*

90

10,781

United

Kingdom

-

1.7%

abrdn

plc

(2)

9,167

25,668

Aviva

plc

(2)

45,571

269,641

BAE

Systems

plc

(2)(a)

15,568

146,206

Barclays

plc

(2)

23,080

44,740

BP

plc

(2)

45,677

223,926

British

American

Tobacco

plc

(2)(a)

1,625

68,245

Bunzl

plc

(2)

1,003

38,897

CK

Hutchison

Holdings

Ltd.

(2)(a)

34,500

252,278

DCC

plc

(2)

2,233

172,910

Direct

Line

Insurance

Group

plc

(2)

4,135

14,900

Dunelm

Group

plc

(2)

1,588

22,628

Entain

plc

(2)*(a)

357

7,647

HSBC

Holdings

plc

(2)

5,324

36,366

IMI

plc

(2)

973

17,323

Imperial

Brands

plc

(2)

1,843

38,822

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

1.7%

(continued)

Inchcape

plc

(2)

12,432

108,782

InterContinental

Hotels

Group

plc

(2)(a)

695

47,006

JD

Sports

Fashion

plc

(2)(a)

12,133

23,379

Kingfisher

plc

(2)

31,443

104,946

Liberty

Global

plc,

Class

C

*

244

6,322

Linde

plc

(a)

171

54,623

Lloyds

Banking

Group

plc

(2)

87,680

53,394

M&G

plc

(2)

44,663

128,689

Man

Group

plc

(2)

30,187

92,120

Marks

&

Spencer

Group

plc

(2)*

3,636

7,339

Royal

Mail

plc

(2)

34,505

148,256

Sage

Group

plc

(The)

(2)

15,194

139,218

Standard

Chartered

plc

(2)

1,906

12,652

Tate

&

Lyle

plc

(2)

9,073

86,975

Vodafone

Group

plc

(2)

72,216

118,419

2,512,317

—

United

States

-

36.8%

3M

Co.

(a)

41

6,104

A

O

Smith

Corp.

1,039

66,382

Abbott

Laboratories

(a)

2,370

280,513

AbbVie,

Inc.

(a)

1,655

268,292

ABIOMED,

Inc.

*

32

10,600

Acadia

Healthcare

Co.,

Inc.

*

96

6,291

Accenture

plc,

Class

A

(a)

599

202,001

ACI

Worldwide,

Inc.

*

2,636

83,008

Activision

Blizzard,

Inc.

705

56,478

Acuity

Brands,

Inc.

179

33,885

Adaptive

Biotechnologies

Corp.

*

2,032

28,204

Adobe,

Inc.

*(a)

504

229,632

Advanced

Micro

Devices,

Inc.

*(a)

2,158

235,956

AECOM

301

23,120

AES

Corp.

(The)

2,692

69,265

AGCO

Corp.

696

101,637

Air

Lease

Corp.

262

11,698

Alaska

Air

Group,

Inc.

*(a)

2,146

124,489

Align

Technology,

Inc.

*

58

25,288

Alleghany

Corp.

*

48

40,656

Allegion

plc

1,360

149,301

ALLETE,

Inc.

149

9,980

Alliance

Data

Systems

Corp.

247

13,869

Allison

Transmission

Holdings,

Inc.

1,994

78,284

Allstate

Corp.

(The)

2,086

288,932

Ally

Financial,

Inc.

3,078

133,831

Alphabet,

Inc.,

Class

A

*(a)

349

970,690

Alphabet,

Inc.,

Class

C

*(a)

305

851,861

Altice

USA,

Inc.,

Class

A

*

6,857

85,575

Altria

Group,

Inc.

(a)

475

24,819

Amazon.com,

Inc.

*(a)

467

1,522,396

Amdocs

Ltd.

2,111

173,545

American

Electric

Power

Co.,

Inc.

895

89,294

American

International

Group,

Inc.

1,764

110,726

American

Tower

Corp.,

REIT

(a)

324

81,395

American

Water

Works

Co.,

Inc.

(a)

74

12,249

AmerisourceBergen

Corp.

172

26,610

Amkor

Technology,

Inc.

8,273

179,690

Anaplan,

Inc.

*

937

60,952

Anthem,

Inc.

(a)

473

232,347

APA

Corp.

4,230

174,826

171

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Apple,

Inc.

(a)

16,957

2,960,861

Applied

Materials,

Inc.

1,352

178,194

Arch

Capital

Group

Ltd.

*

1,142

55,296

Archer-Daniels-Midland

Co.

459

41,429

Arista

Networks,

Inc.

*

369

51,284

Armstrong

World

Industries,

Inc.

333

29,973

Arrow

Electronics,

Inc.

*

1,676

198,824

Arrowhead

Pharmaceuticals,

Inc.

*

138

6,347

Associated

Banc-Corp.

5,613

127,752

AT&T,

Inc.

(a)

7,170

169,427

Autodesk,

Inc.

*

613

131,397

Automatic

Data

Processing,

Inc.

(a)

42

9,557

AutoNation,

Inc.

*

1,832

182,431

AutoZone,

Inc.

*(a)

35

71,560

Avnet,

Inc.

1,015

41,199

Axis

Capital

Holdings

Ltd.

1,096

66,275

Axon

Enterprise,

Inc.

*

198

27,271

Baker

Hughes

Co.

1,682

61,242

Bank

of

America

Corp.

(a)

5,253

216,529

Bank

of

New

York

Mellon

Corp.

(The)

1,382

68,589

Bath

&

Body

Works,

Inc.

(a)

1,075

51,385

Bausch

Health

Cos.,

Inc.

*

657

15,009

Berkshire

Hathaway,

Inc.,

Class

B

*(a)

1,383

488,075

Best

Buy

Co.,

Inc.

(a)

571

51,904

Biogen,

Inc.

*

533

112,250

Bio-Rad

Laboratories,

Inc.,

Class

A

*

140

78,852

BJ's

Wholesale

Club

Holdings,

Inc.

*

383

25,895

BlackRock,

Inc.

(a)

91

69,539

Block,

Inc.

*(a)

432

58,579

Boeing

Co.

(The)

*(a)

743

142,285

BOK

Financial

Corp.

884

83,052

Booking

Holdings,

Inc.

*(a)

105

246,587

Booz

Allen

Hamilton

Holding

Corp.

(a)

650

57,096

Bristol-Myers

Squibb

Co.

(a)

3,015

220,185

Broadcom,

Inc.

410

258,169

Brunswick

Corp.

1,310

105,966

Builders

FirstSource,

Inc.

*

465

30,011

CACI

International,

Inc.,

Class

A

*(a)

204

61,457

Cadence

Design

Systems,

Inc.

*

347

57,068

Capital

One

Financial

Corp.

1,815

238,291

Cardinal

Health,

Inc.

1,758

99,679

Caterpillar,

Inc.

(a)

193

43,004

Cathay

General

Bancorp

1,416

63,366

Cboe

Global

Markets,

Inc.

385

44,052

CDW

Corp.

149

26,655

CF

Industries

Holdings,

Inc.

590

60,805

ChampionX

Corp.

*

2,465

60,343

Change

Healthcare,

Inc.

*

326

7,107

Chemours

Co.

(The)

1,858

58,490

Cheniere

Energy,

Inc.

670

92,896

Chevron

Corp.

(a)

2,125

346,014

Chubb

Ltd.

(a)

858

183,526

Cigna

Corp.

791

189,532

Cintas

Corp.

(a)

100

42,539

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Cisco

Systems,

Inc.

5,384

300,212

Citigroup,

Inc.

(a)

3,962

211,571

Citizens

Financial

Group,

Inc.

125

5,666

Clean

Harbors,

Inc.

*(a)

506

56,490

Cleveland-Cliffs,

Inc.

*

1,238

39,876

CMC

Materials,

Inc.

86

15,944

CMS

Energy

Corp.

784

54,833

Coca-Cola

Co.

(The)

(a)

4,731

293,322

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

255

22,866

Colgate-Palmolive

Co.

700

53,081

Columbia

Sportswear

Co.

964

87,271

Comcast

Corp.,

Class

A

(a)

6,048

283,167

Comerica,

Inc.

809

73,158

Commercial

Metals

Co.

204

8,490

CommScope

Holding

Co.,

Inc.

*

3,049

24,026

CommVault

Systems,

Inc.

*

411

27,270

ConocoPhillips

(a)

1,140

114,000

Constellation

Brands,

Inc.,

Class

A

98

22,571

Copart,

Inc.

*(a)

74

9,285

Corning,

Inc.

308

11,368

Corteva,

Inc.

(a)

475

27,303

Costco

Wholesale

Corp.

(a)

212

122,080

Coterra

Energy,

Inc.

2,328

62,786

Coty,

Inc.,

Class

A

*

1,669

15,004

Cracker

Barrel

Old

Country

Store,

Inc.

594

70,526

Crane

Co.

75

8,121

Crocs,

Inc.

*

1,589

121,400

Crown

Castle

International

Corp.,

REIT

(a)

311

57,411

Cummins,

Inc.

(a)

435

89,223

CVS

Health

Corp.

(a)

1,717

173,778

Danaher

Corp.

(a)

618

181,278

Darling

Ingredients,

Inc.

*

1,174

94,366

Deckers

Outdoor

Corp.

*

104

28,472

Deere

&

Co.

(a)

69

28,667

Dell

Technologies,

Inc.,

Class

C

*

3,066

153,883

Delta

Air

Lines,

Inc.

*(a)

376

14,878

DENTSPLY

SIRONA,

Inc.

1,105

54,388

Devon

Energy

Corp.

958

56,647

Digital

Realty

Trust,

Inc.,

REIT

191

27,084

Digital

Turbine,

Inc.

*

681

29,835

Discover

Financial

Services

173

19,063

DocuSign,

Inc.

*

1,543

165,286

Dolby

Laboratories,

Inc.,

Class

A

772

60,386

Dominion

Energy,

Inc.

(a)

162

13,765

Donaldson

Co.,

Inc.

2,181

113,259

Dow,

Inc.

(a)

1,090

69,455

DR

Horton,

Inc.

(a)

805

59,981

Dropbox,

Inc.,

Class

A

*

2,862

66,542

Duke

Energy

Corp.

(a)

1,081

120,704

DuPont

de

Nemours,

Inc.

(a)

1,207

88,811

Dycom

Industries,

Inc.

*

685

65,253

Dynatrace,

Inc.

*

813

38,292

Eaton

Corp.

plc

(a)

396

60,097

Ecolab,

Inc.

(a)

122

21,540

Elastic

NV

*

355

31,577

Eli

Lilly

&

Co.

(a)

22

6,300

EMCOR

Group,

Inc.

714

80,418

172

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Emerson

Electric

Co.

(a)

1,913

187,570

Encompass

Health

Corp.

930

66,132

EOG

Resources,

Inc.

2,423

288,894

EPAM

Systems,

Inc.

*

392

116,271

EQT

Corp.

729

25,085

Equifax,

Inc.

(a)

170

40,307

Equinix,

Inc.,

REIT

61

45,239

Equitrans

Midstream

Corp.

5,473

46,192

Everbridge,

Inc.

*

734

32,032

Evercore,

Inc.,

Class

A

409

45,530

Everest

Re

Group

Ltd.

128

38,577

Expedia

Group,

Inc.

*(a)

537

105,075

Exxon

Mobil

Corp.

(a)

6,117

505,203

FactSet

Research

Systems,

Inc.

30

13,025

Fidelity

National

Financial,

Inc.

1,533

74,872

Fidelity

National

Information

Services,

Inc.

490

49,206

First

American

Financial

Corp.

2,128

137,937

First

Republic

Bank

148

23,991

FirstEnergy

Corp.

645

29,580

FleetCor

Technologies,

Inc.

*

106

26,400

Flowserve

Corp.

1,931

69,323

FNB

Corp.

4,104

51,095

Foot

Locker,

Inc.

659

19,546

Ford

Motor

Co.

14,750

249,423

Fortinet,

Inc.

*

81

27,681

Freeport-McMoRan,

Inc.

(a)

1,215

60,434

Frontdoor,

Inc.

*

1,392

41,551

Fulton

Financial

Corp.

10,575

175,757

Gartner,

Inc.

*

615

182,938

General

Dynamics

Corp.

(a)

375

90,443

General

Electric

Co.

(a)

1,129

103,304

General

Motors

Co.

*

3,771

164,944

Genuine

Parts

Co.

(a)

994

125,264

Gilead

Sciences,

Inc.

2,131

126,688

GlaxoSmithKline

plc

(2)(a)

2,260

48,900

Global

Payments,

Inc.

1,832

250,691

GoDaddy,

Inc.,

Class

A

*

1,269

106,215

Goldman

Sachs

Group,

Inc.

(The)

925

305,343

Goodyear

Tire

&

Rubber

Co.

(The)

*

3,709

53,002

Graham

Holdings

Co.,

Class

B

43

26,293

Grand

Canyon

Education,

Inc.

*

475

46,127

Halliburton

Co.

3,110

117,776

Hancock

Whitney

Corp.

219

11,421

Hartford

Financial

Services

Group,

Inc.

(The)

652

46,820

HCA

Healthcare,

Inc.

(a)

460

115,285

Henry

Schein,

Inc.

*

129

11,248

HF

Sinclair

Corp.

*

1,172

46,704

Hologic,

Inc.

*

2,486

190,975

Home

Depot,

Inc.

(The)

(a)

592

177,203

HP,

Inc.

834

30,274

HubSpot,

Inc.

*

73

34,671

Huntington

Ingalls

Industries,

Inc.

429

85,560

IAA,

Inc.

*

755

28,879

ICU

Medical,

Inc.

*

80

17,811

IDEXX

Laboratories,

Inc.

*

43

23,524

Incyte

Corp.

*

1,997

158,602

Intel

Corp.

(a)

5,449

270,052

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Intercontinental

Exchange,

Inc.

(a)

464

61,304

International

Bancshares

Corp.

3,558

150,183

International

Business

Machines

Corp.

(a)

717

93,224

International

Paper

Co.

1,558

71,902

Intuit,

Inc.

(a)

186

89,436

Intuitive

Surgical,

Inc.

*

200

60,336

Invesco

Ltd.

3,564

82,186

IQVIA

Holdings,

Inc.

*

321

74,218

Jabil,

Inc.

1,857

114,633

Jack

in

the

Box,

Inc.

508

47,452

Janus

Henderson

Group

plc

1,570

54,981

Jefferies

Financial

Group,

Inc.

2,793

91,750

JetBlue

Airways

Corp.

*

777

11,616

Johnson

&

Johnson

(a)

2,572

455,836

Johnson

Controls

International

plc

(a)

1,202

78,815

JPMorgan

Chase

&

Co.

3,430

467,578

Keurig

Dr

Pepper,

Inc.

415

15,729

Kinder

Morgan,

Inc.

6,768

127,983

KLA

Corp.

579

211,949

Knight-Swift

Transportation

Holdings,

Inc.

(a)

1,227

61,914

Kraft

Heinz

Co.

(The)

4,430

174,498

L3Harris

Technologies,

Inc.

(a)

218

54,166

Laboratory

Corp.

of

America

Holdings

*

231

60,905

Lam

Research

Corp.

317

170,422

Lattice

Semiconductor

Corp.

*

206

12,556

Lennar

Corp.,

Class

A

(a)

2,504

203,250

Lennox

International,

Inc.

680

175,345

Lithia

Motors,

Inc.

314

94,238

Live

Nation

Entertainment,

Inc.

*

771

90,700

Lockheed

Martin

Corp.

(a)

524

231,294

Louisiana-Pacific

Corp.

1,479

91,875

Lumen

Technologies,

Inc.

907

10,222

LyondellBasell

Industries

NV,

Class

A

(a)

1,697

174,486

Macy's,

Inc.

5,614

136,757

Manhattan

Associates,

Inc.

*

395

54,790

ManpowerGroup,

Inc.

1,410

132,427

Marathon

Oil

Corp.

5,782

145,186

Marathon

Petroleum

Corp.

1,110

94,905

Markel

Corp.

*

194

286,197

Marriott

International,

Inc.,

Class

A

*(a)

92

16,169

Marriott

Vacations

Worldwide

Corp.

182

28,701

Masco

Corp.

326

16,626

Masimo

Corp.

*

589

85,723

Mastercard,

Inc.,

Class

A

(a)

1,016

363,098

Mattel,

Inc.

*

4,924

109,362

Maximus,

Inc.

251

18,812

McDonald's

Corp.

(a)

635

157,023

McKesson

Corp.

200

61,226

Medpace

Holdings,

Inc.

*

343

56,111

Medtronic

plc

2,798

310,438

Merck

&

Co.,

Inc.

3,765

308,918

Meta

Platforms,

Inc.,

Class

A

*

3,814

848,080

MetLife,

Inc.

1,048

73,653

MGM

Resorts

International

(a)

683

28,645

173

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Microchip

Technology,

Inc.

1,787

134,275

Micron

Technology,

Inc.

(a)

1,568

122,132

Microsoft

Corp.

(a)

7,840

2,417,149

Minerals

Technologies,

Inc.

259

17,133

MKS

Instruments,

Inc.

147

22,050

Moderna,

Inc.

*

1,218

209,813

Mohawk

Industries,

Inc.

*

582

72,284

Molina

Healthcare,

Inc.

*

357

119,092

Mondelez

International,

Inc.,

Class

A

(a)

746

46,834

Monster

Beverage

Corp.

*

754

60,245

Morgan

Stanley

(a)

610

53,314

Mosaic

Co.

(The)

2,513

167,115

Motorola

Solutions,

Inc.

76

18,407

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

98

8,351

National

Instruments

Corp.

1,253

50,859

Navient

Corp.

524

8,929

Nektar

Therapeutics

*

1,222

6,587

Netflix,

Inc.

*

609

228,125

Newell

Brands,

Inc.

(a)

1,638

35,070

NewMarket

Corp.

259

84,014

Newmont

Corp.

(a)

206

16,367

Nexstar

Media

Group,

Inc.,

Class

A

287

54,094

NIKE,

Inc.,

Class

B

(a)

672

90,424

Nordson

Corp.

454

103,094

NRG

Energy,

Inc.

3,056

117,228

Nucor

Corp.

(a)

441

65,555

Nutanix,

Inc.,

Class

A

*

1,109

29,743

nVent

Electric

plc

3,582

124,582

NVIDIA

Corp.

1,962

535,350

NVR,

Inc.

*(a)

9

40,205

Occidental

Petroleum

Corp.

1,575

89,366

OGE

Energy

Corp.

1,050

42,819

Old

Republic

International

Corp.

5,308

137,318

Olin

Corp.

3,980

208,074

Omnicom

Group,

Inc.

834

70,790

ON

Semiconductor

Corp.

*

2,629

164,602

OneMain

Holdings,

Inc.

2,819

133,649

Option

Care

Health,

Inc.

*

665

18,992

Oracle

Corp.

(a)

3,029

250,589

O'Reilly

Automotive,

Inc.

*(a)

166

113,703

Organon

&

Co.

828

28,922

Otis

Worldwide

Corp.

(a)

828

63,715

Owens

Corning

1,779

162,779

PACCAR,

Inc.

(a)

1,243

109,471

PacWest

Bancorp

1,369

59,045

Paramount

Global,

Class

B

511

19,321

Paycom

Software,

Inc.

*

115

39,834

PayPal

Holdings,

Inc.

*(a)

889

102,813

Penn

National

Gaming,

Inc.

*

150

6,363

Penske

Automotive

Group,

Inc.

1,049

98,312

People's

United

Financial,

Inc.

2,475

49,475

PepsiCo,

Inc.

(a)

515

86,201

Pfizer,

Inc.

(a)

10,886

563,567

Philip

Morris

International,

Inc.

(a)

989

92,907

Phillips

66

461

39,826

Pinnacle

West

Capital

Corp.

83

6,482

Pinterest,

Inc.,

Class

A

*

2,300

56,603

Pioneer

Natural

Resources

Co.

246

61,507

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Popular,

Inc.

2,229

182,198

Procter

&

Gamble

Co.

(The)

(a)

1,835

280,388

Prologis,

Inc.,

REIT

(a)

514

83,001

Prosperity

Bancshares,

Inc.

1,880

130,434

Prudential

Financial,

Inc.

316

37,342

Public

Storage,

REIT

111

43,321

PulteGroup,

Inc.

(a)

3,123

130,854

Pure

Storage,

Inc.,

Class

A

*

1,310

46,256

PVH

Corp.

597

45,736

Qorvo,

Inc.

*

838

103,996

QUALCOMM,

Inc.

(a)

1,605

245,276

Quidel

Corp.

*

568

63,877

Qurate

Retail,

Inc.,

Series

A

12,044

57,329

Raytheon

Technologies

Corp.

(a)

980

97,089

Regeneron

Pharmaceuticals,

Inc.

*

269

187,875

Reinsurance

Group

of

America,

Inc.

105

11,493

Reliance

Steel

&

Aluminum

Co.

843

154,564

Republic

Services,

Inc.

(a)

182

24,115

Ross

Stores,

Inc.

(a)

1,472

133,157

Ryder

System,

Inc.

(a)

964

76,474

S&P

Global,

Inc.

(a)

87

35,686

Saia,

Inc.

*

140

34,135

salesforce.com,

Inc.

*(a)

1,175

249,476

Sanderson

Farms,

Inc.

67

12,562

Schlumberger

NV

1,131

46,722

Schneider

National,

Inc.,

Class

B

6,681

170,366

Science

Applications

International

Corp.

566

52,168

Seagate

Technology

Holdings

plc

368

33,083

Sealed

Air

Corp.

199

13,325

SEI

Investments

Co.

659

39,678

Sempra

Energy

903

151,812

Sensata

Technologies

Holding

plc

*

125

6,356

Sensient

Technologies

Corp.

428

35,931

ServiceNow,

Inc.

*(a)

227

126,414

Simon

Property

Group,

Inc.,

REIT

376

49,467

SiTime

Corp.

*

33

8,178

Six

Flags

Entertainment

Corp.

*

2,863

124,541

Skyworks

Solutions,

Inc.

535

71,305

SLM

Corp.

5,950

109,242

Smartsheet,

Inc.,

Class

A

*

719

39,387

Snap-on,

Inc.

216

44,384

SolarWinds

Corp.

4,338

57,739

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

414

20,240

SS&C

Technologies

Holdings,

Inc.

3,099

232,487

STAAR

Surgical

Co.

*

151

12,066

Stanley

Black

&

Decker,

Inc.

125

17,474

Starbucks

Corp.

(a)

1,920

174,662

State

Street

Corp.

853

74,313

Steel

Dynamics,

Inc.

1,226

102,285

Stellantis

NV

(2)

8,396

135,927

Stifel

Financial

Corp.

538

36,530

Swiss

Re

AG

(2)

1,091

103,857

Synchrony

Financial

163

5,674

Syneos

Health,

Inc.

*

925

74,879

Synopsys,

Inc.

*

358

119,311

Tapestry,

Inc.

(a)

400

14,860

Targa

Resources

Corp.

864

65,206

Target

Corp.

(a)

236

50,084

174

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Taylor

Morrison

Home

Corp.

*

1,010

27,492

Teleflex,

Inc.

47

16,677

Tenet

Healthcare

Corp.

*

1,353

116,304

Teradata

Corp.

*

594

29,278

Terex

Corp.

1,294

46,144

Tesla,

Inc.

*(a)

861

927,813

Texas

Capital

Bancshares,

Inc.

*

464

26,592

Texas

Instruments,

Inc.

(a)

279

51,191

Texas

Roadhouse,

Inc.

2,520

211,000

Textron,

Inc.

1,286

95,653

Thermo

Fisher

Scientific,

Inc.

(a)

222

131,124

T-Mobile

US,

Inc.

*(a)

202

25,927

Toll

Brothers,

Inc.

2,618

123,098

Trade

Desk,

Inc.

(The),

Class

A

*

149

10,318

Travel

+

Leisure

Co.

1,613

93,457

Tri

Pointe

Homes,

Inc.

*

8,005

160,740

Tyson

Foods,

Inc.,

Class

A

2,289

205,163

Ulta

Beauty,

Inc.

*(a)

380

151,324

UMB

Financial

Corp.

2,058

199,955

Umpqua

Holdings

Corp.

6,966

131,379

United

Parcel

Service,

Inc.,

Class

B

(a)

174

37,316

United

Rentals,

Inc.

*(a)

139

49,374

United

States

Steel

Corp.

3,730

140,770

United

Therapeutics

Corp.

*

59

10,585

UnitedHealth

Group,

Inc.

(a)

798

406,956

Univar

Solutions,

Inc.

*

4,048

130,103

Universal

Display

Corp.

617

103,008

Urban

Outfitters,

Inc.

*

3,683

92,480

US

Bancorp

(a)

1,090

57,934

Vail

Resorts,

Inc.

(a)

192

49,972

Valero

Energy

Corp.

207

21,019

Veeva

Systems,

Inc.,

Class

A

*

42

8,923

VeriSign,

Inc.

*

393

87,427

Verizon

Communications,

Inc.

(a)

1,666

84,866

Vertex

Pharmaceuticals,

Inc.

*

192

50,106

Vertiv

Holdings

Co.

528

7,392

Viatris,

Inc.

2,494

27,135

Vicor

Corp.

*

773

54,535

Virtu

Financial,

Inc.,

Class

A

4,201

156,361

Visa,

Inc.,

Class

A

(a)

1,617

358,602

Vishay

Intertechnology,

Inc.

4,803

94,139

VMware,

Inc.,

Class

A

(a)

1,384

157,596

Vontier

Corp.

1,800

45,702

W

R

Berkley

Corp.

1,161

77,311

Walgreens

Boots

Alliance,

Inc.

798

35,726

Walmart,

Inc.

(a)

4,113

612,507

Walt

Disney

Co.

(The)

*(a)

875

120,015

WEC

Energy

Group,

Inc.

345

34,434

Wells

Fargo

&

Co.

7,365

356,908

Wendy's

Co.

(The)

1,395

30,648

Western

Digital

Corp.

*

3,582

177,846

Western

Union

Co.

(The)

2,772

51,947

Westlake

Corp.

1,461

180,287

Westrock

Co.

485

22,810

WEX,

Inc.

*

361

64,420

Whirlpool

Corp.

(a)

43

7,430

Williams-Sonoma,

Inc.

(a)

110

15,950

Workday,

Inc.,

Class

A

*

539

129,069

XPO

Logistics,

Inc.

*(a)

1,021

74,329

INVESTMENTS

SHARES

VALUE

($)

United

States

-

36.8%

(continued)

Yelp,

Inc.

*

496

16,919

YETI

Holdings,

Inc.

*

333

19,973

Yum!

Brands,

Inc.

(a)

561

66,495

Zebra

Technologies

Corp.,

Class

A

*

240

99,288

Zions

Bancorp

NA

1,040

68,182

Zoetis,

Inc.

(a)

207

39,038

Zoom

Video

Communications,

Inc.,

Class

A

*

650

76,200

Zscaler,

Inc.

*

65

15,683

52,969,208

—

TOTAL

COMMON

STOCKS

(Cost

$67,682,731)

79,317,947

PREFERRED

STOCKS

-

0.0%

(b)

United

States

-

0.0%

(b)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$16,834)

302

25,975

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

10.4%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(2)(e)(f)(g)

EUR

1,998,000

3,042,476

France

Government

Bond

3.40%,

7/25/2029

(2)(e)(f)(g)

400,000

845,107

French

Republic

0.10%,

3/1/2026

(2)(e)(f)(g)

500,000

649,451

1.85%,

7/25/2027

(2)(e)(f)(g)

1,000,000

1,621,806

0.10%,

3/1/2028

(2)(e)(f)(g)

700,000

939,913

0.10%,

3/1/2029

(2)(e)(f)(g)

700,000

950,007

0.70%,

7/25/2030

(2)(e)(f)(g)

1,400,000

2,111,461

0.10%,

7/25/2031

(2)(e)(f)(g)

600,000

824,914

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(2)(e)(f)(g)

GBP

300,000

550,415

0.13%,

3/22/2029

(2)(e)(f)(g)

300,000

654,610

0.13%,

8/10/2031

(2)(e)(f)(g)

200,000

372,428

1.25%,

11/22/2032

(2)(e)(f)(g)

400,000

1,141,716

0.75%,

3/22/2034

(2)(e)(f)(g)

500,000

1,310,567

Cost:

$15,084,125

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$15,084,125)

15,014,871

U.S.

TREASURY

OBLIGATIONS

-

10.8%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

1/15/2030

(2)

$

2,900,000

3,344,878

0.13%,

7/15/2030

(2)

3,300,000

3,837,322

0.13%,

1/15/2031

(2)(e)

3,500,000

4,000,340

0.13%,

7/15/2031

(2)(e)

3,800,000

4,239,227

0.13%,

1/15/2032

(2)(e)

200,000

215,718

Cost:

$15,937,450

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$15,937,450)

15,637,485

175

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

SHORT-TERM

INVESTMENTS

-

51.8%

REPURCHASE

AGREEMENTS

-

2.8%

BANA,

0.69%,

dated

3/25/2022,

due

4/20/2022,

repurchase

price

GBP

140,933,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

0.13%,

due

8/10/2031

(2)

GBP

140,863

185,045

BANA,

0.69%,

dated

3/25/2022,

due

4/20/2022,

repurchase

price

GBP

417,757,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

0.13%,

due

8/10/2028

(2)

417,549

548,513

BANA,

0.69%,

dated

3/25/2022,

due

4/20/2022,

repurchase

price

GBP

649,734,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

1.25%,

due

11/22/2032

(2)

649,410

853,097

BANA,

0.69%,

dated

3/25/2022,

due

4/20/2022,

repurchase

price

GBP

284,174,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

0.13%,

due

3/22/2026

(2)

284,032

373,119

BANA,

0.75%,

dated

3/15/2022,

due

4/20/2022,

repurchase

price

GBP

220,075,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

1.25%,

due

11/22/2032

(2)

219,910

288,885

BNPP,

0.23%,

dated

3/28/2022,

due

4/14/2022,

repurchase

price

$223,274,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

7/15/2031

(2)

$

223,250

223,250

BNPP,

0.23%,

dated

3/22/2022,

due

4/14/2022,

repurchase

price

$112,016,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

7/15/2031

(2)

112,000

112,000

BNPP,

0.25%,

dated

3/17/2022,

due

4/14/2022,

repurchase

price

$113,772,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

7/15/2031

(2)

113,750

113,750

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

REPURCHASE

AGREEMENTS

-

2.8%

(continued)

BNPP,

0.25%,

dated

3/16/2022,

due

4/14/2022,

repurchase

price

$112,773,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

7/15/2031

(2)

$

112,750

112,750

BNPP,

0.26%,

dated

3/15/2022,

due

4/14/2022,

repurchase

price

$114,275,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

7/15/2031

(2)

114,250

114,250

CITI,

0.25%,

dated

3/23/2022,

due

4/14/2022,

repurchase

price

$115,018,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2031

(2)

115,000

115,000

CITI,

0.25%,

dated

3/15/2022,

due

4/14/2022,

repurchase

price

$351,448,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2031

(2)

351,375

351,375

JPMS,

(0.01)%,

dated

3/23/2022,

due

4/14/2022,

repurchase

price

$108,499,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2032

(2)

108,500

108,500

JPMS,

0.25%,

dated

3/10/2022,

due

4/14/2022,

repurchase

price

$222,054,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2032

(2)

222,000

222,000

JPMS,

0.23%,

dated

3/8/2022,

due

4/14/2022,

repurchase

price

$338,705,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2032

(2)

338,625

338,625

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$4,066,214)

4,060,159

—

176

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

20.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(h)(i)

1,415,332

1,415,332

Limited

Purpose

Cash

Investment

Fund,

0.18%

(h)

28,111,966

28,097,910

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.17%

(h)

25,371

25,371

TOTAL

INVESTMENT

COMPANIES

(Cost

$29,538,307)

29,538,613

—

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

28.5%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(2)(j)

$

1,652,000

1,651,960

0.06%,

4/28/2022

(2)(j)

2,540,000

2,539,798

0.07%,

5/12/2022

(2)(j)

3,100,000

3,099,324

0.07%,

5/19/2022

(2)(j)

7,861,000

7,858,388

0.07%,

5/26/2022

(2)(j)

1,198,000

1,197,474

0.11%,

6/9/2022

(2)(j)

2,266,000

2,264,371

0.13%,

6/16/2022

(2)(j)

1,393,000

1,391,780

0.28%,

7/14/2022

(2)(j)

2,862,000

2,856,977

0.37%,

7/21/2022

(2)(j)

578,000

576,824

0.38%,

7/28/2022

(2)(j)

431,000

429,933

0.49%,

8/4/2022

(2)(j)

755,000

752,909

0.70%,

9/8/2022

(2)(j)

3,000,000

2,987,780

0.82%,

9/15/2022

(2)(j)

6,503,000

6,474,900

0.87%,

9/22/2022

(2)(j)

623,000

620,144

1.06%,

9/29/2022

(2)(j)

6,550,000

6,516,843

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$41,234,010)

41,219,405

—

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$74,838,531)

74,818,177

TOTAL

LONG

POSITIONS

(Cost

$173,559,671)

184,814,455

SHARES

SHORT

POSITIONS

-

(13.0)%

COMMON

STOCKS

-

(13.0)%

Australia

-

(0.3)%

Cochlear

Ltd.

(2)

(184)

(30,721)

Crown

Resorts

Ltd.

(2)*

(3,576)

(34,053)

Domino's

Pizza

Enterprises

Ltd.

(2)

(278)

(18,096)

Evolution

Mining

Ltd.

(2)

(19,406)

(64,050)

IDP

Education

Ltd.

(2)

(3,632)

(85,003)

IGO

Ltd.

(2)

(1,094)

(11,436)

Insurance

Australia

Group

Ltd.

(2)

(1,828)

(5,983)

Lynas

Rare

Earths

Ltd.

(2)*

(4,150)

(33,086)

Northern

Star

Resources

Ltd.

(2)

(5,631)

(45,429)

OZ

Minerals

Ltd.

(2)

(4,967)

(99,056)

Pro

Medicus

Ltd.

(2)

(534)

(19,345)

Qantas

Airways

Ltd.

(2)*

(2,919)

(11,287)

Santos

Ltd.

(2)

(2,939)

(17,040)

WiseTech

Global

Ltd.

(2)

(558)

(21,002)

(495,587)

—

Austria

-

(0.1)%

ams-OSRAM

AG

(2)*

(5,440)

(83,270)

INVESTMENTS

SHARES

VALUE

($)

Belgium

-

0.0%

(b)

Elia

Group

SA/NV

(2)

(81)

(12,358)

Galapagos

NV

(2)*

(591)

(36,720)

(49,078)

—

Brazil

-

(0.1)%

Wheaton

Precious

Metals

Corp.

(2,425)

(115,319)

Canada

-

(1.0)%

Air

Canada

*

(8,813)

(170,952)

Algonquin

Power

&

Utilities

Corp.

(2,133)

(33,083)

Ballard

Power

Systems,

Inc.

*

(18,659)

(217,164)

BlackBerry

Ltd.

*

(11,806)

(87,543)

Brookfield

Asset

Management,

Inc.,

Class

A

(2,100)

(118,728)

CAE,

Inc.

*

(585)

(15,227)

Cameco

Corp.

(4,193)

(122,119)

Canopy

Growth

Corp.

*

(3,459)

(26,230)

Constellation

Software,

Inc.

(55)

(94,017)

Dollarama,

Inc.

(1,519)

(86,147)

Franco-Nevada

Corp.

(609)

(96,912)

Keyera

Corp.

(3,635)

(92,143)

Lightspeed

Commerce,

Inc.

*

(2,590)

(78,996)

Pan

American

Silver

Corp.

(1,939)

(52,921)

Restaurant

Brands

International,

Inc.

(2,701)

(157,806)

(1,449,988)

—

China

-

(0.1)%

Prosus

NV

(2)*

(1,523)

(82,132)

Denmark

-

(0.2)%

Ambu

A/S,

Class

B

(2)

(3,500)

(51,524)

Vestas

Wind

Systems

A/S

(2)

(6,153)

(180,497)

(232,021)

—

Faroe

Islands

-

0.0%

(b)

Bakkafrost

P/F

(2)

(980)

(65,732)

France

-

(0.6)%

Accor

SA

(2)*

(345)

(11,116)

Adevinta

ASA

(2)*

(11,966)

(109,240)

Aeroports

de

Paris

(2)*

(1,150)

(171,968)

Alstom

SA

(2)

(5,572)

(130,378)

Faurecia

SE

(2)

(1,143)

(29,728)

Hermes

International

(2)

(69)

(97,659)

Remy

Cointreau

SA

(2)

(42)

(8,662)

Safran

SA

(2)

(456)

(53,687)

SOITEC

(2)*

(557)

(104,485)

Valeo

(2)

(4,199)

(77,560)

(794,483)

—

Germany

-

(0.4)%

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(1,923)

(130,604)

Deutsche

Lufthansa

AG

(Registered)

(2)*

(8,744)

(70,516)

Evotec

SE

(2)*

(2,600)

(78,241)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)*

(657)

(36,420)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(2)

(1,065)

(71,367)

HUGO

BOSS

AG

(2)

(1,062)

(61,269)

MTU

Aero

Engines

AG

(2)

(184)

(42,556)

177

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

(0.4)%

(continued)

Rational

AG

(2)

(53)

(36,502)

TeamViewer

AG

(2)*(c)

(888)

(13,113)

thyssenkrupp

AG

(2)*

(701)

(5,992)

Zalando

SE

(2)*(c)

(507)

(25,672)

(572,252)

—

Italy

-

(0.2)%

Brembo

SpA

(2)

(590)

(6,568)

DiaSorin

SpA

(2)

(263)

(41,079)

Intesa

Sanpaolo

SpA

(2)

(23,710)

(54,267)

Moncler

SpA

(2)

(545)

(30,238)

Nexi

SpA

(2)*(c)

(10,183)

(117,508)

(249,660)

—

Japan

-

(0.8)%

Aeon

Co.

Ltd.

(2)

(900)

(19,190)

ANA

Holdings,

Inc.

(2)*

(900)

(18,813)

Asahi

Intecc

Co.

Ltd.

(2)

(400)

(7,803)

Azbil

Corp.

(2)

(400)

(13,276)

BayCurrent

Consulting,

Inc.

(2)

(100)

(36,198)

Benefit

One,

Inc.

(2)

(2,000)

(41,975)

Central

Japan

Railway

Co.

(2)

(600)

(78,236)

Cosmos

Pharmaceutical

Corp.

(2)

(100)

(12,120)

East

Japan

Railway

Co.

(2)

(900)

(52,090)

Fancl

Corp.

(2)

(300)

(6,683)

Harmonic

Drive

Systems,

Inc.

(2)

(1,500)

(51,514)

Japan

Airlines

Co.

Ltd.

(2)*

(4,500)

(83,895)

Japan

Airport

Terminal

Co.

Ltd.

(2)*

(300)

(13,664)

JSR

Corp.

(2)

(400)

(11,779)

Keio

Corp.

(2)

(1,000)

(38,981)

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

(200)

(16,025)

Kobe

Bussan

Co.

Ltd.

(2)

(200)

(6,155)

Lasertec

Corp.

(2)

(700)

(116,454)

Mercari,

Inc.

(2)*

(1,000)

(25,814)

MonotaRO

Co.

Ltd.

(2)

(3,300)

(70,826)

Nexon

Co.

Ltd.

(2)

(3,000)

(71,771)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(10,500)

(91,994)

Obic

Co.

Ltd.

(2)

(200)

(29,955)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(3,600)

(59,669)

Olympus

Corp.

(2)

(1,700)

(32,219)

Rakuten

Group,

Inc.

(2)

(8,800)

(69,192)

Sysmex

Corp.

(2)

(100)

(7,243)

Toho

Gas

Co.

Ltd.

(2)

(600)

(13,355)

West

Japan

Railway

Co.

(2)

(900)

(37,292)

Yaskawa

Electric

Corp.

(2)

(1,500)

(58,462)

(1,192,643)

—

Netherlands

-

(0.1)%

Adyen

NV

(2)*(c)

(18)

(35,653)

Argenx

SE

(2)*

(438)

(137,037)

ASM

International

NV

(2)

(59)

(21,484)

BE

Semiconductor

Industries

NV

(2)

(205)

(17,475)

(211,649)

—

Norway

-

0.0%

(b)

Salmar

ASA

(2)

(416)

(32,884)

INVESTMENTS

SHARES

VALUE

($)

Saudi

Arabia

-

(0.1)%

Delivery

Hero

SE

(2)*(c)

(2,756)

(120,117)

Spain

-

(0.3)%

ACS

Actividades

de

Construccion

y

Servicios

SA

(2)

(1,737)

(46,829)

Amadeus

IT

Group

SA

(2)*

(2,932)

(190,633)

Cellnex

Telecom

SA

(2)(c)

(3,150)

(151,592)

Siemens

Gamesa

Renewable

Energy

SA

(2)*

(4,985)

(87,433)

(476,487)

—

Sweden

-

(0.3)%

Beijer

Ref

AB

(2)

(2,591)

(46,927)

Embracer

Group

AB

(2)*

(13,264)

(110,717)

Epiroc

AB,

Class

A

(2)

(492)

(10,523)

EQT

AB

(2)

(2,501)

(97,535)

Hexagon

AB,

Class

B

(2)

(7,432)

(104,128)

Sinch

AB

(2)*(c)

(10,586)

(71,799)

(441,629)

—

Switzerland

-

(0.4)%

Bachem

Holding

AG

(Registered),

Class

B

(2)

(85)

(46,779)

Dufry

AG

(Registered)

(2)*

(5,136)

(216,111)

Flughafen

Zurich

AG

(Registered)

(2)*

(330)

(59,231)

Givaudan

SA

(Registered)

(2)

(11)

(45,462)

Idorsia

Ltd.

(2)*

(6,983)

(139,496)

SIG

Combibloc

Group

AG

(2)*

(1,558)

(39,277)

Sika

AG

(Registered)

(2)

(87)

(28,784)

(575,140)

—

United

Kingdom

-

(0.6)%

ASOS

plc

(2)*

(418)

(8,794)

AVEVA

Group

plc

(2)

(3,423)

(109,334)

boohoo

Group

plc

(2)*

(10,065)

(11,660)

BT

Group

plc

(2)

(33,778)

(80,537)

easyJet

plc

(2)*

(5,902)

(42,817)

Hiscox

Ltd.

(2)

(5,699)

(73,493)

Informa

plc

(2)*

(5,413)

(42,411)

Just

Eat

Takeaway.com

NV

(2)*(c)

(420)

(14,086)

Ocado

Group

plc

(2)*

(11,278)

(172,212)

Prudential

plc

(2)

(4,988)

(73,639)

Rolls-Royce

Holdings

plc

(2)*

(69,214)

(91,016)

St

James's

Place

plc

(2)

(2,357)

(44,437)

WH

Smith

plc

(2)*

(2,299)

(42,940)

(807,376)

—

United

States

-

(7.3)%

10X

Genomics,

Inc.,

Class

A

*

(1,202)

(91,436)

Advanced

Drainage

Systems,

Inc.

(294)

(34,930)

Alcoa

Corp.

(1,103)

(99,303)

AMC

Entertainment

Holdings,

Inc.,

Class

A

*

(6,797)

(167,478)

American

Airlines

Group,

Inc.

*

(6,861)

(125,213)

Aon

plc,

Class

A

(21)

(6,838)

Asana,

Inc.,

Class

A

*

(990)

(39,570)

Aspen

Technology,

Inc.

*

(246)

(40,681)

Assured

Guaranty

Ltd.

(188)

(11,968)

Avalara,

Inc.

*

(195)

(19,404)

Avis

Budget

Group,

Inc.

*

(100)

(26,330)

178

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.3)%

(continued)

AZEK

Co.,

Inc.

(The)

*

(307)

(7,626)

Azenta,

Inc.

(718)

(59,508)

Bentley

Systems,

Inc.,

Class

B

(1,701)

(75,150)

Bill.com

Holdings,

Inc.

*

(715)

(162,155)

BorgWarner,

Inc.

(1,308)

(50,881)

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

(86)

(33,408)

Bright

Horizons

Family

Solutions,

Inc.

*

(872)

(115,706)

Brookfield

Renewable

Corp.

(1,939)

(84,685)

C3.ai,

Inc.,

Class

A

*

(4,533)

(102,899)

Cable

One,

Inc.

(31)

(45,391)

Cabot

Corp.

(510)

(34,889)

Caesars

Entertainment,

Inc.

*

(519)

(40,150)

Capri

Holdings

Ltd.

*

(968)

(49,746)

CarMax,

Inc.

*

(827)

(79,789)

Carnival

Corp.

*

(2,094)

(42,341)

Carvana

Co.

*

(289)

(34,475)

Cerence,

Inc.

*

(1,024)

(36,966)

Ceridian

HCM

Holding,

Inc.

*

(802)

(54,825)

Certara,

Inc.

*

(684)

(14,692)

CH

Robinson

Worldwide,

Inc.

(408)

(43,946)

ChargePoint

Holdings,

Inc.

*

(5,242)

(104,211)

Chegg,

Inc.

*

(181)

(6,567)

Chewy,

Inc.,

Class

A

*

(135)

(5,505)

Clarivate

plc

*

(8,508)

(142,594)

Cloudflare,

Inc.,

Class

A

*

(198)

(23,701)

CNX

Resources

Corp.

*

(4,483)

(92,888)

Commerce

Bancshares,

Inc.

(665)

(47,607)

Compass

Minerals

International,

Inc.

(396)

(24,865)

Coupa

Software,

Inc.

*

(577)

(58,641)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(144)

(32,700)

Datadog,

Inc.,

Class

A

*

(152)

(23,023)

Dick's

Sporting

Goods,

Inc.

(436)

(43,609)

DISH

Network

Corp.,

Class

A

*

(808)

(25,573)

Dollar

General

Corp.

(470)

(104,636)

DoorDash,

Inc.,

Class

A

*

(387)

(45,353)

DraftKings,

Inc.,

Class

A

*

(721)

(14,038)

DT

Midstream,

Inc.

(199)

(10,798)

Duck

Creek

Technologies,

Inc.

*

(1,471)

(32,539)

Dun

&

Bradstreet

Holdings,

Inc.

*

(2,288)

(40,086)

Entegris,

Inc.

(329)

(43,185)

Envestnet,

Inc.

*

(740)

(55,086)

Envista

Holdings

Corp.

*

(202)

(9,839)

Erie

Indemnity

Co.,

Class

A

(50)

(8,807)

Etsy,

Inc.

*

(220)

(27,342)

Exact

Sciences

Corp.

*

(2,190)

(153,125)

Fastly,

Inc.,

Class

A

*

(1,356)

(23,567)

First

Citizens

BancShares,

Inc.,

Class

A

(85)

(56,576)

First

Financial

Bankshares,

Inc.

(4,327)

(190,907)

First

Solar,

Inc.

*

(170)

(14,236)

Five9,

Inc.

*

(1,135)

(125,304)

Fluor

Corp.

*

(2,338)

(67,077)

Fox

Factory

Holding

Corp.

*

(174)

(17,043)

Freshpet,

Inc.

*

(823)

(84,473)

FTI

Consulting,

Inc.

*

(438)

(68,862)

GameStop

Corp.,

Class

A

*

(1,638)

(272,859)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.3)%

(continued)

Generac

Holdings,

Inc.

*

(71)

(21,105)

Glacier

Bancorp,

Inc.

(448)

(22,525)

Graphic

Packaging

Holding

Co.

(1,959)

(39,258)

Grocery

Outlet

Holding

Corp.

*

(5,258)

(172,357)

Guardant

Health,

Inc.

*

(1,221)

(80,879)

Guidewire

Software,

Inc.

*

(299)

(28,291)

H&R

Block,

Inc.

(1,712)

(44,580)

Hasbro,

Inc.

(153)

(12,534)

HealthEquity,

Inc.

*

(1,688)

(113,839)

HEICO

Corp.

(84)

(12,897)

Helen

of

Troy

Ltd.

*

(453)

(88,716)

Horizon

Therapeutics

plc

*

(171)

(17,991)

Hormel

Foods

Corp.

(389)

(20,049)

IAC/InterActiveCorp

*

(698)

(69,995)

II-VI,

Inc.

*

(2,239)

(162,305)

Insulet

Corp.

*

(483)

(128,666)

Ionis

Pharmaceuticals,

Inc.

*

(1,923)

(71,228)

Iovance

Biotherapeutics,

Inc.

*

(3,289)

(54,762)

Jamf

Holding

Corp.

*

(3,224)

(112,227)

Jazz

Pharmaceuticals

plc

*

(898)

(139,792)

KBR,

Inc.

(151)

(8,264)

Kirby

Corp.

*

(290)

(20,935)

Las

Vegas

Sands

Corp.

*

(227)

(8,823)

Leggett

&

Platt,

Inc.

(855)

(29,754)

Leslie's,

Inc.

*

(2,084)

(40,346)

LivaNova

plc

*

(234)

(19,148)

LiveRamp

Holdings,

Inc.

*

(173)

(6,468)

Lululemon

Athletica,

Inc.

*

(132)

(48,210)

Lyft,

Inc.,

Class

A

*

(307)

(11,789)

M&T

Bank

Corp.

(155)

(26,273)

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

*

(765)

(26,982)

Marvell

Technology,

Inc.

(266)

(19,075)

Match

Group,

Inc.

*

(668)

(72,638)

McCormick

&

Co.,

Inc.

(Non-Voting)

(443)

(44,211)

Mercury

Systems,

Inc.

*

(1,510)

(97,320)

Middleby

Corp.

(The)

*

(128)

(20,984)

MillerKnoll,

Inc.

(5,183)

(179,124)

Mirati

Therapeutics,

Inc.

*

(1,228)

(100,966)

MSA

Safety,

Inc.

(127)

(16,853)

Natera,

Inc.

*

(1,291)

(52,518)

nCino,

Inc.

*

(2,485)

(101,835)

New

Relic,

Inc.

*

(1,147)

(76,711)

New

York

Times

Co.

(The),

Class

A

(266)

(12,193)

Nordstrom,

Inc.

(1,590)

(43,105)

NortonLifeLock,

Inc.

(2,453)

(65,054)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(5,413)

(118,436)

NOV,

Inc.

(642)

(12,590)

Oak

Street

Health,

Inc.

*

(403)

(10,833)

Okta,

Inc.

*

(61)

(9,209)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(846)

(36,344)

Oshkosh

Corp.

(134)

(13,487)

Palantir

Technologies,

Inc.,

Class

A

*

(699)

(9,597)

Palo

Alto

Networks,

Inc.

*

(224)

(139,442)

Papa

John's

International,

Inc.

(111)

(11,686)

Peloton

Interactive,

Inc.,

Class

A

*

(5,197)

(137,305)

Penumbra,

Inc.

*

(114)

(25,323)

179

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.3)%

(continued)

PerkinElmer,

Inc.

(567)

(98,919)

PG&E

Corp.

*

(552)

(6,591)

Plug

Power,

Inc.

*

(4,485)

(128,316)

Pool

Corp.

(147)

(62,159)

Progyny,

Inc.

*

(2,635)

(135,439)

QuantumScape

Corp.

*

(5,355)

(107,046)

R1

RCM,

Inc.

*

(2,449)

(65,535)

Regal

Rexnord

Corp.

(626)

(93,136)

Repligen

Corp.

*

(96)

(18,057)

RH

*

(98)

(31,957)

RingCentral,

Inc.,

Class

A

*

(252)

(29,537)

Rocket

Cos.,

Inc.,

Class

A

(569)

(6,327)

Rockwell

Automation,

Inc.

(119)

(33,324)

Royal

Caribbean

Cruises

Ltd.

*

(1,936)

(162,198)

RPM

International,

Inc.

(488)

(39,743)

Sabre

Corp.

*

(9,852)

(112,608)

Sailpoint

Technologies

Holdings,

Inc.

*

(3,515)

(179,898)

Scotts

Miracle-Gro

Co.

(The)

(1,026)

(126,157)

Shift4

Payments,

Inc.,

Class

A

*

(1,716)

(106,272)

Signature

Bank

(314)

(92,156)

Silicon

Laboratories,

Inc.

*

(373)

(56,025)

SiteOne

Landscape

Supply,

Inc.

*

(202)

(32,661)

Skillz,

Inc.

*

(9,170)

(27,510)

Snap,

Inc.,

Class

A

*

(366)

(13,172)

SolarEdge

Technologies,

Inc.

*

(242)

(78,014)

Sotera

Health

Co.

*

(1,088)

(23,566)

Splunk,

Inc.

*

(464)

(68,955)

Sprouts

Farmers

Market,

Inc.

*

(2,587)

(82,732)

STERIS

plc

(389)

(94,049)

Sunrun,

Inc.

*

(311)

(9,445)

Switch,

Inc.,

Class

A

(2,185)

(67,342)

Sysco

Corp.

(405)

(33,068)

TD

SYNNEX

Corp.

(275)

(28,383)

Teledyne

Technologies,

Inc.

*

(25)

(11,816)

Thor

Industries,

Inc.

(1,085)

(85,390)

TopBuild

Corp.

*

(820)

(148,740)

Trex

Co.,

Inc.

*

(759)

(49,585)

Trinity

Industries,

Inc.

(2,705)

(92,944)

Twitter,

Inc.

*

(941)

(36,407)

Ultragenyx

Pharmaceutical,

Inc.

*

(1,509)

(109,584)

United

Airlines

Holdings,

Inc.

*

(1,082)

(50,162)

Unity

Software,

Inc.

*

(680)

(67,463)

VF

Corp.

(425)

(24,166)

Viasat,

Inc.

*

(607)

(29,622)

Virgin

Galactic

Holdings,

Inc.

*

(754)

(7,450)

Visteon

Corp.

*

(296)

(32,302)

Vroom,

Inc.

*

(9,924)

(26,398)

Wayfair,

Inc.,

Class

A

*

(49)

(5,428)

Webster

Financial

Corp.

(1,436)

(80,588)

White

Mountains

Insurance

Group

Ltd.

(56)

(63,629)

Wingstop,

Inc.

(1,142)

(134,014)

Wolfspeed,

Inc.

*

(1,063)

(121,033)

World

Wrestling

Entertainment,

Inc.,

Class

A

(397)

(24,789)

Worthington

Industries,

Inc.

(705)

(36,244)

Wynn

Resorts

Ltd.

*

(383)

(30,540)

(10,536,019)

—

INVESTMENTS

SHARES

VALUE

($)

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(4,139)

(143,292)

TOTAL

COMMON

STOCKS

(Proceeds

$(21,268,793))

(18,726,758)

TOTAL

SHORT

POSITIONS

(Proceeds

$(21,268,793))

(18,726,758)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

115.0%

(Cost

$152,290,878)

166,087,697

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(15.0)%

(k)

(21,727,773)

NET

ASSETS

-

100.0%

144,359,924

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,258,606

2.9

%

Consumer

Discretionary

6,621,877

4.6

Consumer

Staples

2,767,418

1.9

Energy

5,382,874

3.7

Financials

10,931,214

7.6

Foreign

Government

Securities

15,014,871

10.4

Health

Care

5,523,109

3.8

Industrials

6,024,586

4.2

Information

Technology

13,071,503

9.1

Materials

4,016,484

2.8

Real

Estate

663,075

0.5

U.S.

Treasury

Obligations

15,637,485

10.8

Utilities

1,356,418

0.9

Short-Term

Investments

74,818,177

51.8

Total

Investments

In

Securities

At

Value

166,087,697

115.0

Liabilities

in

Excess

of

Other

Assets

(k

)

(21,727,773)

(15.0)

Net

Assets

$

144,359,924

100.0%

180

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$20,534,421.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$(166,848),

which

represents

approximately

(0.12)%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

March

31,

2022

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$9,600,

which

represents

approximately

0.01%

of

net

assets

of

the

fund.

(e)

On

March

31,

2022,

securities

valued

at

$23,470,156

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(f)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2022,

the

value

of

these

securities

amounted

to

$15,014,871

or

10.40%

of

net

assets.

(g)

Inflation

protected

security.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

Reverse

repurchase

agreements

at

March

31,

2022:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BANA

3/25/2022

0.79%

4/20/2022

GBP

$

259,392

BANA

3/25/2022

0.79%

4/20/2022

GBP

518,784

BANA

3/25/2022

0.79%

4/20/2022

GBP

216,944

BANA

3/25/2022

0.79%

4/20/2022

GBP

518,785

BANA

3/21/2022

0.84%

4/20/2022

GBP

218,984

BANA

3/11/2022

0.85%

4/20/2022

GBP

567,745

BANA

3/11/2022

0.85%

4/20/2022

GBP

219,989

BANA

3/11/2022

0.85%

4/20/2022

GBP

373,342

BANA

3/11/2022

0.85%

4/20/2022

GBP

1,109,275

BANA

3/11/2022

0.85%

4/20/2022

GBP

2,328,986

BNPP

3/29/2022

(0.64)%

4/20/2022

EUR

148,408

BNPP

3/14/2022

(0.63)%

4/20/2022

EUR

213,856

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

818,576

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

645,458

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

1,822,047

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

938,434

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

1,640,325

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

941,385

BNPP

3/11/2022

(0.61)%

4/20/2022

EUR

634,416

BNPP

3/24/2022

(0.61)%

4/20/2022

EUR

149,468

BNPP

3/7/2022

0.32%

4/14/2022

USD

4,480,125

BNPP

3/7/2022

0.32%

4/14/2022

USD

575,625

CITI

3/7/2022

0.32%

4/14/2022

USD

699,750

CITI

3/7/2022

0.32%

4/14/2022

USD

3,852,750

JPMS

3/11/2022

(0.65)%

4/20/2022

EUR

3,045,268

JPMS

3/31/2022

0.29%

4/14/2022

USD

216,250

JPMS

3/7/2022

0.33%

4/14/2022

USD

674,250

$

27,828,617

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

March

31,

2022

was

$25,110,419

at

a

net

weighted

average

interest

rate

of

(0.132)%.

181

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

(1,198,000)

$

6,513

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/22/2022

USD

1,198,000

237,913

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/24/2022

USD

1,172,800

13,373

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/14/2022

USD

67,845

10,600

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2022

USD

(446,000)

2,581

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

54,850

1,704

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/03/2022

USD

219,400

2,509

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2022

USD

(140,250)

3,080

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

(93,500)

2,346

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

93,500

12,717

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2022

USD

140,250

17,800

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/22/2022

USD

(209,820)

9,163

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/22/2022

USD

629,460

39,624

359,923

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(55,750)

(1,423)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

55,750

(1,033)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2022

USD

446,000

(11,271)

182

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/03/2022

USD

(219,400)

$

(683)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(54,850)

(1,645)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/24/2022

USD

91,880

(2,515)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/24/2022

USD

137,820

(3,250)

Soybean

Oil

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/24/2022

USD

82,368

(1,241)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

(2,166,120)

(100,408)

(123,469)

$

236,454

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

5

4/2022

EUR

$

800,936

$

7,749

LME

Aluminum

Base

Metal

1

4/2022

USD

87,052

12,874

LME

Aluminum

Base

Metal

1

4/2022

USD

87,147

9,644

LME

Aluminum

Base

Metal

1

4/2022

USD

87,028

13,136

LME

Aluminum

Base

Metal

2

4/2022

USD

174,090

25,759

LME

Aluminum

Base

Metal

2

4/2022

USD

174,181

21,166

LME

Aluminum

Base

Metal

2

4/2022

USD

174,197

19,646

LME

Aluminum

Base

Metal

2

4/2022

USD

174,031

32,543

LME

Aluminum

Base

Metal

2

4/2022

USD

174,077

24,105

LME

Aluminum

Base

Metal

3

4/2022

USD

261,083

43,017

LME

Aluminum

Base

Metal

3

4/2022

USD

261,096

40,368

LME

Aluminum

Base

Metal

4

4/2022

USD

348,335

44,721

LME

Copper

Base

Metal

1

4/2022

USD

259,275

10,397

LME

Copper

Base

Metal

1

4/2022

USD

259,325

15,322

LME

Copper

Base

Metal

1

4/2022

USD

259,188

17,935

LME

Copper

Base

Metal

1

4/2022

USD

259,313

11,760

LME

Copper

Base

Metal

1

4/2022

USD

259,207

18,780

LME

Copper

Base

Metal

1

4/2022

USD

259,238

19,235

LME

Copper

Base

Metal

1

4/2022

USD

259,256

12,553

LME

Nickel

Base

Metal

1

4/2022

USD

192,650

59,117

LME

Zinc

Base

Metal

1

4/2022

USD

105,170

14,342

Natural

Gas

4

4/2022

USD

225,680

37,383

NY

Harbor

ULSD

2

4/2022

USD

282,316

10,226

Brent

Crude

Oil

43

5/2022

USD

4,417,390

(159,063)

Cotton

No.

2

8

5/2022

USD

542,760

86,032

183

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

5/2022

USD

$

87,072

$

6,944

LME

Aluminum

Base

Metal

2

5/2022

USD

174,218

10,078

LME

Aluminum

Base

Metal

2

5/2022

USD

174,163

10,907

LME

Aluminum

Base

Metal

3

5/2022

USD

261,332

23,948

LME

Aluminum

Base

Metal

4

5/2022

USD

348,365

29,153

LME

Aluminum

Base

Metal

7

5/2022

USD

609,982

54,424

LME

Copper

Base

Metal

1

5/2022

USD

259,263

9,835

LME

Copper

Base

Metal

1

5/2022

USD

259,275

15,997

LME

Copper

Base

Metal

1

5/2022

USD

259,285

5,191

LME

Copper

Base

Metal

1

5/2022

USD

259,295

9,471

LME

Copper

Base

Metal

1

5/2022

USD

259,346

11,305

LME

Copper

Base

Metal

3

5/2022

USD

777,947

41,093

LME

Zinc

Base

Metal

1

5/2022

USD

104,909

14,157

LME

Zinc

Base

Metal

1

5/2022

USD

105,152

14,699

LME

Zinc

Base

Metal

1

5/2022

USD

105,107

13,204

LME

Zinc

Base

Metal

1

5/2022

USD

105,116

12,863

LME

Zinc

Base

Metal

2

5/2022

USD

210,322

29,966

LME

Zinc

Base

Metal

2

5/2022

USD

210,250

28,694

Natural

Gas

8

5/2022

USD

456,080

14,098

NY

Harbor

ULSD

3

5/2022

USD

403,313

(12,101)

RBOB

Gasoline

8

5/2022

USD

1,040,861

(15,259)

Silver

6

5/2022

USD

753,990

(2,012)

Soybean

Oil

1

5/2022

USD

41,964

(1,829)

100

oz

Gold

6

6/2022

USD

1,172,400

(1,015)

Australia

10

Year

Bond

94

6/2022

AUD

8,939,661

(320,030)

Australia

3

Year

Bond

31

6/2022

AUD

2,547,700

(41,125)

Canada

10

Year

Bond

51

6/2022

CAD

5,319,274

(167,222)

EURO

STOXX

50

Index

7

6/2022

EUR

296,044

8,236

Euro-Bobl

118

6/2022

EUR

16,830,200

(285,809)

Euro-BTP

20

6/2022

EUR

3,064,755

(117,184)

Euro-Bund

52

6/2022

EUR

9,126,917

(323,676)

Euro-Buxl

5

6/2022

EUR

1,027,264

(75,641)

Euro-OAT

24

6/2022

EUR

4,019,936

(169,004)

Euro-Schatz

7

6/2022

EUR

857,814

(9,393)

FTSE

100

Index

2

6/2022

GBP

196,680

(785)

FTSE/MIB

Index

7

6/2022

EUR

944,970

39,175

Japan

10

Year

Bond

21

6/2022

JPY

25,859,290

(104,533)

Lean

Hogs

5

6/2022

USD

241,250

12,582

Live

Cattle

3

6/2022

USD

164,550

(847)

LME

Aluminum

Base

Metal

2

6/2022

USD

174,436

3,683

LME

Aluminum

Base

Metal

2

6/2022

USD

174,356

(27,775)

LME

Aluminum

Base

Metal

3

6/2022

USD

261,821

7,403

LME

Aluminum

Base

Metal

3

6/2022

USD

261,825

(3,209)

LME

Aluminum

Base

Metal

30

6/2022

USD

2,618,625

259,670

LME

Copper

Base

Metal

1

6/2022

USD

259,394

(10,359)

LME

Copper

Base

Metal

1

6/2022

USD

259,375

(2,822)

LME

Copper

Base

Metal

4

6/2022

USD

1,037,500

2,489

LME

Copper

Base

Metal

16

6/2022

USD

4,151,000

199,917

LME

Lead

Base

Metal

1

6/2022

USD

60,444

3,479

LME

Lead

Base

Metal

4

6/2022

USD

242,250

12,514

LME

Nickel

Base

Metal

1

6/2022

USD

192,588

15,106

LME

Nickel

Base

Metal

1

6/2022

USD

192,597

(786)

LME

Nickel

Base

Metal

2

6/2022

USD

385,056

(192,379)

LME

Nickel

Base

Metal

2

6/2022

USD

385,194

(61,617)

LME

Nickel

Base

Metal

8

6/2022

USD

1,540,800

506,932

LME

Zinc

Base

Metal

1

6/2022

USD

104,823

4,683

184

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

6/2022

USD

$

104,809

$

(194)

LME

Zinc

Base

Metal

1

6/2022

USD

104,600

9,175

LME

Zinc

Base

Metal

16

6/2022

USD

1,675,400

260,328

Low

Sulphur

Gasoil

12

6/2022

USD

1,154,700

(45)

SPI

200

Index

11

6/2022

AUD

1,539,047

77,828

Sugar

No.

11

66

6/2022

USD

1,428,134

14,253

TOPIX

Index

7

6/2022

JPY

1,119,230

38,763

U.S.

Treasury

10

Year

Note

183

6/2022

USD

22,463,250

(533,733)

U.S.

Treasury

2

Year

Note

137

6/2022

USD

29,014,030

(380,068)

U.S.

Treasury

5

Year

Note

345

6/2022

USD

39,513,280

(874,569)

U.S.

Treasury

Long

Bond

36

6/2022

USD

5,407,875

(144,065)

U.S.

Treasury

Ultra

Bond

13

6/2022

USD

2,301,813

(83,940)

Coffee

'C'

1

7/2022

USD

84,919

4,581

Corn

44

7/2022

USD

1,612,600

18,570

KC

HRW

Wheat

2

7/2022

USD

102,975

(5,127)

Silver

2

7/2022

USD

252,020

650

Soybean

Meal

17

7/2022

USD

780,980

(19,612)

Feeder

Cattle

1

8/2022

USD

88,788

(1,554)

(1,684,528)

Short

Contracts

CAC

40

10

Euro

Index

(7)

4/2022

EUR

(515,540)

(9,052)

Hang

Seng

Index

(8)

4/2022

HKD

(1,122,898)

(14,567)

IBEX

35

Index

(4)

4/2022

EUR

(372,404)

(9,287)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,052)

(12,929)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,028)

(13,156)

LME

Aluminum

Base

Metal

(1)

4/2022

USD

(87,147)

(9,582)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,077)

(25,608)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,197)

(19,552)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,090)

(25,696)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,031)

(33,036)

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,181)

(21,686)

LME

Aluminum

Base

Metal

(3)

4/2022

USD

(261,096)

(40,580)

LME

Aluminum

Base

Metal

(3)

4/2022

USD

(261,083)

(44,341)

LME

Aluminum

Base

Metal

(4)

4/2022

USD

(348,335)

(44,647)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,188)

(18,246)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,313)

(11,221)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,325)

(14,789)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,275)

(10,241)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,256)

(11,177)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,207)

(19,103)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,238)

(19,909)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,650)

(58,163)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,170)

(14,823)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,072)

(7,724)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,218)

(10,124)

LME

Aluminum

Base

Metal

(2)

5/2022

USD

(174,163)

(10,048)

LME

Aluminum

Base

Metal

(3)

5/2022

USD

(261,332)

(22,604)

LME

Aluminum

Base

Metal

(4)

5/2022

USD

(348,365)

(31,466)

LME

Aluminum

Base

Metal

(7)

5/2022

USD

(609,982)

(50,652)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,275)

(15,003)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,285)

(4,663)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,295)

(9,548)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,346)

(10,599)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,263)

(10,871)

LME

Copper

Base

Metal

(3)

5/2022

USD

(777,947)

(41,905)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,107)

(13,551)

185

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

5/2022

USD

$

(105,152)

$

(14,595)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(104,909)

(14,007)

LME

Zinc

Base

Metal

(1)

5/2022

USD

(105,116)

(12,297)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,250)

(29,468)

LME

Zinc

Base

Metal

(2)

5/2022

USD

(210,322)

(29,790)

WTI

Crude

Oil

(18)

5/2022

USD

(1,773,360)

44,035

DAX

Index

(9)

6/2022

EUR

(3,592,464)

(93,139)

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,436)

(3,942)

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,356)

26,639

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,825)

2,127

LME

Aluminum

Base

Metal

(3)

6/2022

USD

(261,821)

(6,829)

LME

Aluminum

Base

Metal

(21)

6/2022

USD

(1,833,038)

(140,546)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

2,985

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,394)

5,755

LME

Copper

Base

Metal

(4)

6/2022

USD

(1,037,500)

3,360

LME

Copper

Base

Metal

(12)

6/2022

USD

(3,113,250)

(95,874)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,444)

(3,647)

LME

Lead

Base

Metal

(1)

6/2022

USD

(60,563)

(3,590)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,597)

(5,568)

LME

Nickel

Base

Metal

(1)

6/2022

USD

(192,588)

(20,680)

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,056)

192,368

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,194)

59,927

LME

Nickel

Base

Metal

(6)

6/2022

USD

(1,155,600)

237,610

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,809)

(886)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,600)

(9,078)

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,823)

(4,228)

LME

Zinc

Base

Metal

(11)

6/2022

USD

(1,151,838)

(132,269)

Long

Gilt

(123)

6/2022

GBP

(19,622,148)

182,496

S&P

500

E-Mini

Index

(46)

6/2022

USD

(10,420,725)

(630,211)

S&P

Midcap

400

E-Mini

Index

(2)

6/2022

USD

(537,840)

(26,274)

S&P/TSX

60

Index

(6)

6/2022

CAD

(1,264,264)

(28,207)

Cocoa

(5)

7/2022

USD

(134,350)

(6,165)

Cotton

No.

2

(1)

7/2022

USD

(66,035)

(1,095)

Soybean

(3)

7/2022

USD

(239,700)

10,147

Soybean

Oil

(1)

7/2022

USD

(41,184)

1,039

Wheat

(1)

7/2022

USD

(50,100)

2,204

(1,281,842)

$

(2,966,370)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

6,193,002

USD

4,505,507

CITI

6/15/2022

$

134,577

AUD

6,192,998

USD

4,505,510

JPMC

6/15/2022

134,571

BRL

10,757,000

USD

2,048,819

CITI

**

6/15/2022

163,286

BRL

10,757,000

USD

2,048,822

JPMC

**

6/15/2022

163,283

CAD

2,506,500

USD

1,967,575

CITI

6/15/2022

37,014

CAD

2,506,500

USD

1,967,578

JPMC

6/15/2022

37,012

CHF

91,500

USD

98,802

CITI

6/15/2022

532

CHF

91,500

USD

98,803

JPMC

6/15/2022

532

CLP

618,231,000

USD

759,737

CITI

**

6/15/2022

16,210

186

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CLP

618,231,000

USD

759,738

JPMC

**

6/15/2022

$

16,209

CNY

1,722,375

USD

269,701

CITI

**

6/15/2022

177

CNY

1,722,374

USD

269,702

JPMC

**

6/15/2022

178

CZK

15,423,500

USD

680,359

CITI

6/15/2022

12,514

CZK

15,423,500

USD

680,360

JPMC

6/15/2022

12,514

DKK

213,500

USD

31,592

CITI

6/15/2022

249

DKK

213,500

USD

31,592

JPMC

6/15/2022

249

EUR

2,052,500

USD

2,263,107

CITI

6/15/2022

13,902

EUR

2,052,500

USD

2,263,110

JPMC

6/15/2022

13,899

GBP

150,500

USD

197,205

CITI

6/15/2022

442

GBP

150,500

USD

197,205

JPMC

6/15/2022

443

HUF

9,911,500

USD

28,759

CITI

6/15/2022

779

HUF

9,911,500

USD

28,759

JPMC

6/15/2022

779

INR

109,614,251

USD

1,428,366

CITI

**

6/15/2022

1,455

INR

109,614,250

USD

1,428,368

JPMC

**

6/15/2022

1,454

MXN

82,531,001

USD

3,973,716

CITI

6/15/2022

121,128

MXN

82,530,999

USD

3,973,721

JPMC

6/15/2022

121,123

NOK

11,296,000

USD

1,257,104

CITI

6/15/2022

25,356

NOK

11,296,000

USD

1,257,106

JPMC

6/15/2022

25,355

NZD

200,000

USD

137,633

CITI

6/15/2022

801

NZD

200,000

USD

137,634

JPMC

6/15/2022

801

PLN

2,700,805

USD

617,932

CITI

6/15/2022

20,165

PLN

2,700,801

USD

617,932

JPMC

6/15/2022

20,164

RUB

17,405,500

USD

222,310

CITI

**

6/15/2022

3,917

RUB

17,405,499

USD

222,311

JPMC

**

6/15/2022

3,917

SEK

32,332,000

USD

3,387,210

CITI

6/15/2022

57,941

SEK

32,332,000

USD

3,387,214

JPMC

6/15/2022

57,937

USD

20,125

BRL

97,500

CITI

**

6/15/2022

75

USD

20,125

BRL

97,500

JPMC

**

6/15/2022

75

USD

2,021,067

CHF

1,854,000

CITI

6/15/2022

8,325

USD

2,021,064

CHF

1,854,000

JPMC

6/15/2022

8,322

USD

198,397

CNY

1,262,000

CITI

**

6/15/2022

654

USD

198,396

CNY

1,262,000

JPMC

**

6/15/2022

653

USD

26,039

CZK

577,000

CITI

6/15/2022

118

USD

26,039

CZK

577,000

JPMC

6/15/2022

118

USD

75

DKK

500

CITI

6/15/2022

–

USD

75

DKK

500

JPMC

6/15/2022

–

USD

14,256,113

EUR

12,618,246

CITI

6/15/2022

257,639

USD

14,230,419

EUR

12,595,228

JPMC

6/15/2022

257,483

USD

6,576,595

GBP

4,935,809

CITI

6/15/2022

94,536

USD

6,569,963

GBP

4,930,800

JPMC

6/15/2022

94,481

USD

613,961

HKD

4,792,000

CITI

6/15/2022

1,564

USD

613,961

HKD

4,792,000

JPMC

6/15/2022

1,564

USD

176,194

HUF

58,940,500

CITI

6/15/2022

542

USD

176,194

HUF

58,940,500

JPMC

6/15/2022

542

USD

219,488

INR

16,801,500

CITI

**

6/15/2022

327

USD

219,487

INR

16,801,500

JPMC

**

6/15/2022

326

USD

4,138,896

JPY

481,006,500

CITI

6/15/2022

180,086

USD

4,138,891

JPY

481,006,500

JPMC

6/15/2022

180,080

USD

345,899

KRW

417,418,000

CITI

**

6/15/2022

2,533

USD

345,899

KRW

417,418,000

JPMC

**

6/15/2022

2,532

USD

212,114

NOK

1,854,000

CITI

6/15/2022

1,625

USD

212,114

NOK

1,854,000

JPMC

6/15/2022

1,625

USD

125,723

PLN

531,000

CITI

6/15/2022

268

USD

125,723

PLN

531,000

JPMC

6/15/2022

268

USD

487,368

SEK

4,530,000

CITI

6/15/2022

4,671

USD

487,367

SEK

4,529,998

JPMC

6/15/2022

4,672

USD

162,916

SGD

219,501

CITI

6/15/2022

966

187

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

162,914

SGD

219,499

JPMC

6/15/2022

$

966

ZAR

44,796,505

USD

2,897,935

CITI

6/15/2022

138,947

ZAR

44,796,497

USD

2,897,938

JPMC

6/15/2022

138,943

Total

unrealized

appreciation

2,606,391

AUD

701,500

USD

527,455

CITI

6/15/2022

(1,858)

AUD

701,500

USD

527,455

JPMC

6/15/2022

(1,859)

CNY

11,359,128

USD

1,783,861

CITI

**

6/15/2022

(4,001)

CNY

11,359,123

USD

1,783,862

JPMC

**

6/15/2022

(4,004)

DKK

549,000

USD

83,787

CITI

6/15/2022

(1,912)

DKK

549,000

USD

83,787

JPMC

6/15/2022

(1,912)

EUR

2,210,859

USD

2,478,835

CITI

6/15/2022

(26,144)

EUR

2,210,857

USD

2,478,836

JPMC

6/15/2022

(26,147)

GBP

2,101,000

USD

2,841,087

CITI

6/15/2022

(81,902)

GBP

2,100,000

USD

2,839,757

JPMC

6/15/2022

(81,886)

HUF

308,656,502

USD

947,491

CITI

6/15/2022

(27,646)

HUF

308,656,498

USD

947,492

JPMC

6/15/2022

(27,647)

INR

105,367,250

USD

1,382,728

CITI

**

6/15/2022

(8,304)

INR

105,367,249

USD

1,382,730

JPMC

**

6/15/2022

(8,306)

JPY

518,700,000

USD

4,493,467

CITI

6/15/2022

(224,428)

JPY

518,700,000

USD

4,493,472

JPMC

6/15/2022

(224,433)

KRW

2,046,361,503

USD

1,706,046

CITI

**

6/15/2022

(22,715)

KRW

2,046,361,496

USD

1,706,048

JPMC

**

6/15/2022

(22,718)

MXN

47,000

USD

2,334

CITI

6/15/2022

(2)

MXN

47,000

USD

2,334

JPMC

6/15/2022

(2)

NOK

69,000

USD

7,859

CITI

6/15/2022

(25)

NOK

69,000

USD

7,859

JPMC

6/15/2022

(26)

NZD

150,000

USD

104,171

CITI

6/15/2022

(345)

NZD

150,000

USD

104,171

JPMC

6/15/2022

(345)

PLN

4,410,698

USD

1,083,567

CITI

6/15/2022

(41,489)

PLN

4,410,696

USD

1,083,568

JPMC

6/15/2022

(41,490)

SEK

18,775,000

USD

2,012,297

CITI

6/15/2022

(11,718)

SEK

18,775,000

USD

2,012,299

JPMC

6/15/2022

(11,721)

USD

1,631,187

AUD

2,252,000

CITI

6/15/2022

(56,115)

USD

1,631,185

AUD

2,252,000

JPMC

6/15/2022

(56,118)

USD

214,104

BRL

1,121,003

CITI

**

6/15/2022

(16,423)

USD

214,103

BRL

1,120,997

JPMC

**

6/15/2022

(16,423)

USD

2,082,623

CAD

2,650,501

CITI

6/15/2022

(37,132)

USD

2,082,619

CAD

2,650,499

JPMC

6/15/2022

(37,135)

USD

37,984

CHF

35,000

CITI

6/15/2022

(13)

USD

37,984

CHF

35,000

JPMC

6/15/2022

(13)

USD

21,819

CLP

17,914,000

CITI

**

6/15/2022

(665)

USD

21,819

CLP

17,914,000

JPMC

**

6/15/2022

(665)

USD

7,614

CNY

49,000

CITI

**

6/15/2022

(63)

USD

7,614

CNY

49,000

JPMC

**

6/15/2022

(63)

USD

107,927

CZK

2,432,500

CITI

6/15/2022

(1,349)

USD

107,927

CZK

2,432,500

JPMC

6/15/2022

(1,349)

USD

62,815

DKK

427,500

CITI

6/15/2022

(940)

USD

62,815

DKK

427,500

JPMC

6/15/2022

(940)

USD

2,752,846

EUR

2,511,500

CITI

6/15/2022

(33,369)

USD

2,735,289

EUR

2,495,500

JPMC

6/15/2022

(33,178)

USD

1,570,455

GBP

1,202,000

CITI

6/15/2022

(8,099)

USD

1,567,829

GBP

1,200,000

JPMC

6/15/2022

(8,097)

USD

147,263

HUF

50,620,500

CITI

6/15/2022

(3,593)

USD

147,263

HUF

50,620,500

JPMC

6/15/2022

(3,594)

USD

19,555

INR

1,505,500

CITI

**

6/15/2022

(83)

USD

19,555

INR

1,505,500

JPMC

**

6/15/2022

(82)

USD

2,694,427

JPY

330,300,000

CITI

6/15/2022

(24,031)

USD

2,694,423

JPY

330,300,000

JPMC

6/15/2022

(24,034)

188

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

117,363

KRW

144,384,000

CITI

**

6/15/2022

$

(1,408)

USD

117,362

KRW

144,384,000

JPMC

**

6/15/2022

(1,408)

USD

503,524

MXN

10,670,000

CITI

6/15/2022

(25,876)

USD

503,524

MXN

10,670,000

JPMC

6/15/2022

(25,877)

USD

923,198

NOK

8,228,501

CITI

6/15/2022

(11,002)

USD

923,197

NOK

8,228,499

JPMC

6/15/2022

(11,003)

USD

2,641,698

NZD

3,950,000

CITI

6/15/2022

(92,380)

USD

2,641,695

NZD

3,950,000

JPMC

6/15/2022

(92,383)

USD

1,062,367

PLN

4,670,500

CITI

6/15/2022

(41,093)

USD

1,062,366

PLN

4,670,500

JPMC

6/15/2022

(41,094)

USD

147,504

RUB

17,405,500

CITI

**

6/15/2022

(78,724)

USD

147,503

RUB

17,405,499

JPMC

**

6/15/2022

(78,724)

USD

2,604,047

SEK

25,062,001

CITI

6/15/2022

(66,446)

USD

2,604,043

SEK

25,062,001

JPMC

6/15/2022

(66,450)

USD

41,156

SGD

56,000

CITI

6/15/2022

(161)

USD

41,156

SGD

56,000

JPMC

6/15/2022

(161)

USD

289,141

ZAR

4,467,500

CITI

6/15/2022

(13,724)

USD

289,140

ZAR

4,467,500

JPMC

6/15/2022

(13,724)

Total

unrealized

depreciation

(1,930,189)

Net

unrealized

appreciation

$

676,202

**

Non-deliverable

forward.

189

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

90.7%

INVESTMENT

COMPANIES

-

48.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(a)(b)

178

178

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(a)

255,678,596

255,550,756

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.17%

(1)(a)

964

964

TOTAL

INVESTMENT

COMPANIES

(Cost

$255,549,756)

255,551,898

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

42.0%

U.S.

Treasury

Bills

0.05%,

4/7/2022

(c)

$

2,697,000

2,696,935

0.05%,

4/14/2022

(c)

964,000

963,951

0.06%,

4/21/2022

(c)

7,466,000

7,465,492

0.06%,

4/28/2022

(c)

4,099,000

4,098,673

0.07%,

5/5/2022

(c)

1,271,000

1,270,823

0.06%,

5/19/2022

(c)

2,826,000

2,825,061

0.07%,

5/26/2022

(c)

8,384,000

8,380,317

0.09%,

6/2/2022

(c)

5,415,000

5,411,955

0.10%,

6/9/2022

(c)

1,703,000

1,701,776

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

42.0%

(continued)

0.13%,

6/16/2022

(c)

$

9,785,000

9,776,427

0.16%,

6/23/2022

(c)

4,882,000

4,876,752

0.21%,

6/30/2022

(c)

12,495,000

12,479,030

0.22%,

7/7/2022

(c)

1,007,000

1,005,440

0.28%,

7/14/2022

(c)

1,917,000

1,913,636

0.37%,

7/21/2022

(c)

8,106,000

8,089,504

0.38%,

7/28/2022

(c)

5,619,000

5,605,095

0.51%,

8/4/2022

(c)

16,126,000

16,081,336

0.77%,

8/18/2022

(c)

12,045,000

12,005,779

0.71%,

8/25/2022

(c)

7,400,000

7,373,095

0.67%,

9/1/2022

(c)

15,821,000

15,759,711

0.70%,

9/8/2022

(c)

27,252,000

27,140,994

0.82%,

9/15/2022

(c)

41,942,000

41,760,763

1.06%,

9/29/2022

(c)

21,633,000

21,523,491

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$220,333,428)

220,206,036

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$475,883,184)

475,757,934

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.7%

(Cost

$475,883,184)

475,757,934

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.3%

(d)

48,979,019

NET

ASSETS

-

100.0%

524,736,953

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/22/2022

USD

74,875

$

8,209

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/14/2022

USD

135,690

22,235

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

(501,750)

10,071

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/01/2022

USD

501,750

2,913

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

(1,916,750)

21,997

190

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/22/2022

USD

1,916,750

$

239,809

Soybean

Meal

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/24/2022

USD

(1,607,900)

19,677

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/22/2022

USD

100,600

7,609

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/24/2022

USD

(50,100)

2,050

334,570

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/22/2022

USD

(74,875)

(6,979)

Corn

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/24/2022

USD

(36,650)

(1,050)

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/24/2022

USD

36,650

(44)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/03/2022

USD

(1,810,050)

(20,666)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/24/2022

USD

1,607,900

(33,944)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/22/2022

USD

(100,600)

(4,632)

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/24/2022

USD

50,100

(6,431)

(73,746)

$

260,824

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

2

4/2022

USD

$

174,293

$

19,287

LME

Aluminum

Base

Metal

5

4/2022

USD

435,258

64,369

LME

Aluminum

Base

Metal

22

4/2022

USD

1,914,611

313,406

LME

Aluminum

Base

Metal

24

4/2022

USD

2,088,666

330,262

LME

Aluminum

Base

Metal

31

4/2022

USD

2,698,395

402,769

LME

Aluminum

Base

Metal

31

4/2022

USD

2,700,046

315,916

191

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

34

4/2022

USD

$

2,959,088

$

449,683

LME

Aluminum

Base

Metal

46

4/2022

USD

4,008,003

500,942

LME

Aluminum

Base

Metal

46

4/2022

USD

4,006,152

462,569

LME

Aluminum

Base

Metal

46

4/2022

USD

4,002,702

744,953

LME

Aluminum

Base

Metal

47

4/2022

USD

4,092,936

525,640

LME

Aluminum

Base

Metal

60

4/2022

USD

5,222,310

726,664

LME

Copper

Base

Metal

1

4/2022

USD

259,238

19,235

LME

Copper

Base

Metal

1

4/2022

USD

259,265

10,326

LME

Copper

Base

Metal

2

4/2022

USD

518,588

28,310

LME

Copper

Base

Metal

2

4/2022

USD

518,625

23,520

LME

Copper

Base

Metal

5

4/2022

USD

1,296,036

93,898

LME

Copper

Base

Metal

8

4/2022

USD

2,074,238

83,817

LME

Copper

Base

Metal

8

4/2022

USD

2,074,300

84,279

LME

Copper

Base

Metal

8

4/2022

USD

2,073,968

147,847

LME

Copper

Base

Metal

16

4/2022

USD

4,147,160

350,205

LME

Copper

Base

Metal

17

4/2022

USD

4,407,344

213,399

LME

Copper

Base

Metal

20

4/2022

USD

5,183,755

357,577

LME

Copper

Base

Metal

25

4/2022

USD

6,483,125

383,059

LME

Lead

Base

Metal

2

4/2022

USD

121,100

2,645

LME

Lead

Base

Metal

2

4/2022

USD

121,039

5,270

LME

Lead

Base

Metal

2

4/2022

USD

121,067

3,187

LME

Lead

Base

Metal

3

4/2022

USD

181,608

3,625

LME

Lead

Base

Metal

6

4/2022

USD

363,104

19,789

LME

Lead

Base

Metal

13

4/2022

USD

786,877

42,430

LME

Lead

Base

Metal

14

4/2022

USD

847,438

34,001

LME

Lead

Base

Metal

20

4/2022

USD

1,211,000

28,447

LME

Nickel

Base

Metal

1

4/2022

USD

192,657

58,536

LME

Nickel

Base

Metal

1

4/2022

USD

192,658

59,481

LME

Nickel

Base

Metal

1

4/2022

USD

192,662

61,096

LME

Nickel

Base

Metal

1

4/2022

USD

192,606

70,736

LME

Nickel

Base

Metal

2

4/2022

USD

385,380

99,954

LME

Nickel

Base

Metal

2

4/2022

USD

385,332

118,045

LME

Nickel

Base

Metal

3

4/2022

USD

577,950

174,958

LME

Nickel

Base

Metal

7

4/2022

USD

1,348,644

401,458

LME

Nickel

Base

Metal

10

4/2022

USD

1,926,700

568,876

LME

Nickel

Base

Metal

17

4/2022

USD

3,275,662

960,632

LME

Nickel

Base

Metal

18

4/2022

USD

3,468,180

1,043,464

LME

Zinc

Base

Metal

1

4/2022

USD

105,291

16,614

LME

Zinc

Base

Metal

1

4/2022

USD

105,288

13,901

LME

Zinc

Base

Metal

2

4/2022

USD

211,113

34,657

LME

Zinc

Base

Metal

2

4/2022

USD

210,340

28,684

LME

Zinc

Base

Metal

3

4/2022

USD

315,863

48,935

LME

Zinc

Base

Metal

5

4/2022

USD

526,563

86,856

LME

Zinc

Base

Metal

6

4/2022

USD

631,071

87,453

LME

Zinc

Base

Metal

7

4/2022

USD

736,488

102,354

LME

Zinc

Base

Metal

13

4/2022

USD

1,368,088

196,424

LME

Zinc

Base

Metal

20

4/2022

USD

2,103,750

295,691

Natural

Gas

26

4/2022

USD

1,466,920

230,326

NY

Harbor

ULSD

38

4/2022

USD

5,363,996

194,302

Brent

Crude

Oil

513

5/2022

USD

52,700,490

(1,258,160)

Cotton

No.

2

152

5/2022

USD

10,312,440

1,485,710

LME

Aluminum

Base

Metal

1

5/2022

USD

87,084

531

LME

Aluminum

Base

Metal

1

5/2022

USD

87,175

10,222

LME

Aluminum

Base

Metal

12

5/2022

USD

1,046,133

68,388

LME

Aluminum

Base

Metal

16

5/2022

USD

1,393,300

87,253

LME

Aluminum

Base

Metal

25

5/2022

USD

2,177,519

93,070

192

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

38

5/2022

USD

$

3,310,142

$

63,755

LME

Aluminum

Base

Metal

42

5/2022

USD

3,662,778

489,884

LME

Aluminum

Base

Metal

79

5/2022

USD

6,881,749

630,641

LME

Aluminum

Base

Metal

83

5/2022

USD

7,228,574

604,929

LME

Aluminum

Base

Metal

87

5/2022

USD

7,578,483

432,268

LME

Aluminum

Base

Metal

107

5/2022

USD

9,324,007

755,908

LME

Copper

Base

Metal

1

5/2022

USD

259,298

11,321

LME

Copper

Base

Metal

1

5/2022

USD

259,275

13,796

LME

Copper

Base

Metal

1

5/2022

USD

259,300

13,772

LME

Copper

Base

Metal

2

5/2022

USD

518,713

24,007

LME

Copper

Base

Metal

3

5/2022

USD

777,925

38,781

LME

Copper

Base

Metal

6

5/2022

USD

1,555,712

23,819

LME

Copper

Base

Metal

7

5/2022

USD

1,815,538

67,619

LME

Copper

Base

Metal

9

5/2022

USD

2,333,588

122,939

LME

Copper

Base

Metal

19

5/2022

USD

4,926,463

198,428

LME

Copper

Base

Metal

21

5/2022

USD

5,445,563

314,993

LME

Copper

Base

Metal

33

5/2022

USD

8,557,420

448,189

LME

Copper

Base

Metal

39

5/2022

USD

10,112,515

395,556

LME

Copper

Base

Metal

46

5/2022

USD

11,926,075

462,144

LME

Copper

Base

Metal

47

5/2022

USD

12,189,262

429,167

LME

Lead

Base

Metal

2

5/2022

USD

121,202

11,122

LME

Lead

Base

Metal

2

5/2022

USD

121,173

7,532

LME

Lead

Base

Metal

6

5/2022

USD

362,963

11,386

LME

Lead

Base

Metal

7

5/2022

USD

423,325

9,223

LME

Lead

Base

Metal

9

5/2022

USD

545,672

47,731

LME

Lead

Base

Metal

13

5/2022

USD

786,286

21,851

LME

Lead

Base

Metal

23

5/2022

USD

1,392,984

65,582

LME

Lead

Base

Metal

25

5/2022

USD

1,514,844

93,149

LME

Nickel

Base

Metal

1

5/2022

USD

192,637

55,129

LME

Nickel

Base

Metal

1

5/2022

USD

192,590

51,677

LME

Nickel

Base

Metal

4

5/2022

USD

769,989

190,378

LME

Nickel

Base

Metal

4

5/2022

USD

770,333

206,711

LME

Nickel

Base

Metal

6

5/2022

USD

1,155,740

316,571

LME

Nickel

Base

Metal

6

5/2022

USD

1,154,952

274,982

LME

Nickel

Base

Metal

11

5/2022

USD

2,118,783

592,994

LME

Nickel

Base

Metal

15

5/2022

USD

2,889,650

844,907

LME

Nickel

Base

Metal

21

5/2022

USD

4,044,810

1,080,198

LME

Nickel

Base

Metal

28

5/2022

USD

5,389,850

1,144,642

LME

Zinc

Base

Metal

8

5/2022

USD

839,158

116,134

LME

Zinc

Base

Metal

13

5/2022

USD

1,366,043

194,767

LME

Zinc

Base

Metal

14

5/2022

USD

1,472,125

205,783

LME

Zinc

Base

Metal

16

5/2022

USD

1,682,144

236,897

LME

Zinc

Base

Metal

17

5/2022

USD

1,786,823

224,473

LME

Zinc

Base

Metal

19

5/2022

USD

1,993,542

281,786

LME

Zinc

Base

Metal

21

5/2022

USD

2,206,874

308,412

LME

Zinc

Base

Metal

35

5/2022

USD

3,679,375

511,922

LME

Zinc

Base

Metal

41

5/2022

USD

4,311,591

613,857

LME

Zinc

Base

Metal

46

5/2022

USD

4,835,336

591,700

LME

Zinc

Base

Metal

51

5/2022

USD

5,350,359

721,017

Natural

Gas

140

5/2022

USD

7,981,400

384,137

NY

Harbor

ULSD

31

5/2022

USD

4,167,572

(50,819)

RBOB

Gasoline

47

5/2022

USD

6,115,057

(255,298)

Silver

206

5/2022

USD

25,886,990

(62,933)

Soybean

Oil

253

5/2022

USD

10,616,892

(737,931)

100

oz

Gold

470

6/2022

USD

91,838,000

504,708

Lean

Hogs

43

6/2022

USD

2,074,750

113,371

193

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Live

Cattle

268

6/2022

USD

$

14,699,800

$

110,450

LME

Aluminum

Base

Metal

2

6/2022

USD

174,500

(2,748)

LME

Aluminum

Base

Metal

4

6/2022

USD

349,014

(5,723)

LME

Aluminum

Base

Metal

6

6/2022

USD

523,308

14,256

LME

Aluminum

Base

Metal

11

6/2022

USD

959,750

40,668

LME

Aluminum

Base

Metal

18

6/2022

USD

1,568,246

31,442

LME

Aluminum

Base

Metal

22

6/2022

USD

1,920,050

(24,552)

LME

Aluminum

Base

Metal

22

6/2022

USD

1,917,911

(278,422)

LME

Aluminum

Base

Metal

42

6/2022

USD

3,664,500

145,551

LME

Aluminum

Base

Metal

61

6/2022

USD

5,322,692

(247,838)

LME

Aluminum

Base

Metal

83

6/2022

USD

7,243,701

205,093

LME

Aluminum

Base

Metal

115

6/2022

USD

10,036,625

(326,619)

LME

Aluminum

Base

Metal

137

6/2022

USD

11,945,064

(189,312)

LME

Aluminum

Base

Metal

148

6/2022

USD

12,900,457

(1,028,170)

LME

Aluminum

Base

Metal

1,058

6/2022

USD

92,350,175

7,176,543

LME

Copper

Base

Metal

1

6/2022

USD

259,375

3,154

LME

Copper

Base

Metal

1

6/2022

USD

259,375

310

LME

Copper

Base

Metal

3

6/2022

USD

777,975

30,967

LME

Copper

Base

Metal

4

6/2022

USD

1,037,500

7,990

LME

Copper

Base

Metal

9

6/2022

USD

2,334,375

7,509

LME

Copper

Base

Metal

11

6/2022

USD

2,853,331

(106,448)

LME

Copper

Base

Metal

21

6/2022

USD

5,447,138

155,080

LME

Copper

Base

Metal

23

6/2022

USD

5,966,488

31,852

LME

Copper

Base

Metal

24

6/2022

USD

6,225,000

65,959

LME

Copper

Base

Metal

38

6/2022

USD

9,856,250

(3,634)

LME

Copper

Base

Metal

51

6/2022

USD

13,231,058

538,642

LME

Copper

Base

Metal

55

6/2022

USD

14,264,938

67,861

LME

Copper

Base

Metal

65

6/2022

USD

16,859,375

(6,596)

LME

Copper

Base

Metal

400

6/2022

USD

103,775,000

4,115,571

LME

Lead

Base

Metal

3

6/2022

USD

181,200

1,434

LME

Lead

Base

Metal

4

6/2022

USD

242,328

(7,882)

LME

Lead

Base

Metal

5

6/2022

USD

302,883

(9,519)

LME

Lead

Base

Metal

13

6/2022

USD

785,119

14,459

LME

Lead

Base

Metal

20

6/2022

USD

1,211,500

73,930

LME

Lead

Base

Metal

22

6/2022

USD

1,329,559

86,596

LME

Lead

Base

Metal

29

6/2022

USD

1,751,238

45,236

LME

Lead

Base

Metal

40

6/2022

USD

2,423,330

(1,775)

LME

Lead

Base

Metal

43

6/2022

USD

2,598,275

146,100

LME

Lead

Base

Metal

48

6/2022

USD

2,907,408

4,626

LME

Lead

Base

Metal

49

6/2022

USD

2,959,906

99,452

LME

Lead

Base

Metal

50

6/2022

USD

3,024,688

198,285

LME

Lead

Base

Metal

65

6/2022

USD

3,928,844

232,404

LME

Lead

Base

Metal

421

6/2022

USD

25,496,813

1,282,429

LME

Nickel

Base

Metal

2

6/2022

USD

385,032

89,926

LME

Nickel

Base

Metal

5

6/2022

USD

963,210

(15,907)

LME

Nickel

Base

Metal

9

6/2022

USD

1,733,373

(277,306)

LME

Nickel

Base

Metal

17

6/2022

USD

3,272,942

485,832

LME

Nickel

Base

Metal

28

6/2022

USD

5,392,716

(31,007)

LME

Nickel

Base

Metal

48

6/2022

USD

9,241,344

(4,162,112)

LME

Nickel

Base

Metal

54

6/2022

USD

10,399,752

828,670

LME

Nickel

Base

Metal

243

6/2022

USD

46,801,800

13,334,420

LME

Zinc

Base

Metal

1

6/2022

USD

104,338

1,610

LME

Zinc

Base

Metal

3

6/2022

USD

313,200

9,507

LME

Zinc

Base

Metal

3

6/2022

USD

313,013

2,991

LME

Zinc

Base

Metal

9

6/2022

USD

943,281

287

LME

Zinc

Base

Metal

10

6/2022

USD

1,047,660

72,756

194

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

29

6/2022

USD

$

3,039,874

$

159,920

LME

Zinc

Base

Metal

31

6/2022

USD

3,234,463

94,846

LME

Zinc

Base

Metal

34

6/2022

USD

3,561,075

332,522

LME

Zinc

Base

Metal

39

6/2022

USD

4,077,450

351,036

LME

Zinc

Base

Metal

45

6/2022

USD

4,696,875

114,336

LME

Zinc

Base

Metal

61

6/2022

USD

6,380,600

559,477

LME

Zinc

Base

Metal

65

6/2022

USD

6,811,659

128,875

LME

Zinc

Base

Metal

535

6/2022

USD

56,021,188

6,555,435

Low

Sulphur

Gasoil

165

6/2022

USD

15,877,125

318,756

Sugar

No.

11

1,748

6/2022

USD

37,823,923

459,689

Coffee

'C'

114

7/2022

USD

9,680,738

297,021

Corn

1,379

7/2022

USD

50,540,350

723,907

Silver

54

7/2022

USD

6,804,540

6,589

Soybean

85

7/2022

USD

6,791,500

(209,639)

Soybean

Meal

510

7/2022

USD

23,429,400

(628,773)

Soybean

Oil

90

7/2022

USD

3,706,560

(95,973)

Wheat

149

7/2022

USD

7,464,900

(455,642)

Feeder

Cattle

168

8/2022

USD

14,916,300

(133,115)

58,314,982

Short

Contracts

LME

Aluminum

Base

Metal

(2)

4/2022

USD

(174,293)

(19,638)

LME

Aluminum

Base

Metal

(5)

4/2022

USD

(435,258)

(64,647)

LME

Aluminum

Base

Metal

(22)

4/2022

USD

(1,914,611)

(325,164)

LME

Aluminum

Base

Metal

(24)

4/2022

USD

(2,088,666)

(315,737)

LME

Aluminum

Base

Metal

(31)

4/2022

USD

(2,698,395)

(398,287)

LME

Aluminum

Base

Metal

(31)

4/2022

USD

(2,700,046)

(303,062)

LME

Aluminum

Base

Metal

(34)

4/2022

USD

(2,959,088)

(458,388)

LME

Aluminum

Base

Metal

(46)

4/2022

USD

(4,008,003)

(499,133)

LME

Aluminum

Base

Metal

(46)

4/2022

USD

(4,006,152)

(498,787)

LME

Aluminum

Base

Metal

(46)

4/2022

USD

(4,002,702)

(759,837)

LME

Aluminum

Base

Metal

(47)

4/2022

USD

(4,092,936)

(524,600)

LME

Aluminum

Base

Metal

(60)

4/2022

USD

(5,222,310)

(768,237)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,265)

(10,912)

LME

Copper

Base

Metal

(1)

4/2022

USD

(259,238)

(20,431)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,625)

(23,281)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,588)

(25,093)

LME

Copper

Base

Metal

(5)

4/2022

USD

(1,296,036)

(96,349)

LME

Copper

Base

Metal

(8)

4/2022

USD

(2,074,238)

(90,538)

LME

Copper

Base

Metal

(8)

4/2022

USD

(2,074,300)

(82,678)

LME

Copper

Base

Metal

(8)

4/2022

USD

(2,073,968)

(145,593)

LME

Copper

Base

Metal

(16)

4/2022

USD

(4,147,160)

(334,435)

LME

Copper

Base

Metal

(17)

4/2022

USD

(4,407,344)

(177,080)

LME

Copper

Base

Metal

(20)

4/2022

USD

(5,183,755)

(352,279)

LME

Copper

Base

Metal

(25)

4/2022

USD

(6,483,125)

(364,347)

LME

Lead

Base

Metal

(2)

4/2022

USD

(121,067)

(3,437)

LME

Lead

Base

Metal

(2)

4/2022

USD

(121,039)

(5,094)

LME

Lead

Base

Metal

(2)

4/2022

USD

(121,100)

(2,540)

LME

Lead

Base

Metal

(3)

4/2022

USD

(181,608)

(3,914)

LME

Lead

Base

Metal

(6)

4/2022

USD

(363,104)

(22,732)

LME

Lead

Base

Metal

(13)

4/2022

USD

(786,877)

(44,214)

LME

Lead

Base

Metal

(14)

4/2022

USD

(847,438)

(31,874)

LME

Lead

Base

Metal

(20)

4/2022

USD

(1,211,000)

(31,281)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,658)

(60,211)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,662)

(61,115)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,606)

(71,049)

LME

Nickel

Base

Metal

(1)

4/2022

USD

(192,657)

(58,320)

195

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(2)

4/2022

USD

$

(385,380)

$

(97,332)

LME

Nickel

Base

Metal

(2)

4/2022

USD

(385,332)

(112,338)

LME

Nickel

Base

Metal

(3)

4/2022

USD

(577,950)

(174,489)

LME

Nickel

Base

Metal

(7)

4/2022

USD

(1,348,644)

(397,028)

LME

Nickel

Base

Metal

(10)

4/2022

USD

(1,926,700)

(568,330)

LME

Nickel

Base

Metal

(17)

4/2022

USD

(3,275,662)

(1,003,152)

LME

Nickel

Base

Metal

(18)

4/2022

USD

(3,468,180)

(1,035,922)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,288)

(13,815)

LME

Zinc

Base

Metal

(1)

4/2022

USD

(105,291)

(17,469)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(211,113)

(33,806)

LME

Zinc

Base

Metal

(2)

4/2022

USD

(210,340)

(29,173)

LME

Zinc

Base

Metal

(3)

4/2022

USD

(315,863)

(48,909)

LME

Zinc

Base

Metal

(5)

4/2022

USD

(526,563)

(86,352)

LME

Zinc

Base

Metal

(6)

4/2022

USD

(631,071)

(88,446)

LME

Zinc

Base

Metal

(7)

4/2022

USD

(736,488)

(105,266)

LME

Zinc

Base

Metal

(13)

4/2022

USD

(1,368,088)

(201,901)

LME

Zinc

Base

Metal

(20)

4/2022

USD

(2,103,750)

(286,980)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,084)

(1,423)

LME

Aluminum

Base

Metal

(1)

5/2022

USD

(87,175)

(10,480)

LME

Aluminum

Base

Metal

(12)

5/2022

USD

(1,046,133)

(64,268)

LME

Aluminum

Base

Metal

(16)

5/2022

USD

(1,393,300)

(85,634)

LME

Aluminum

Base

Metal

(25)

5/2022

USD

(2,177,519)

(98,441)

LME

Aluminum

Base

Metal

(38)

5/2022

USD

(3,310,142)

(66,763)

LME

Aluminum

Base

Metal

(42)

5/2022

USD

(3,662,778)

(510,663)

LME

Aluminum

Base

Metal

(79)

5/2022

USD

(6,881,749)

(576,958)

LME

Aluminum

Base

Metal

(83)

5/2022

USD

(7,228,574)

(660,385)

LME

Aluminum

Base

Metal

(87)

5/2022

USD

(7,578,483)

(440,390)

LME

Aluminum

Base

Metal

(107)

5/2022

USD

(9,324,007)

(715,935)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,298)

(11,524)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,275)

(15,003)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,300)

(14,213)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,713)

(22,058)

LME

Copper

Base

Metal

(3)

5/2022

USD

(777,925)

(36,933)

LME

Copper

Base

Metal

(6)

5/2022

USD

(1,555,712)

(27,977)

LME

Copper

Base

Metal

(7)

5/2022

USD

(1,815,538)

(67,684)

LME

Copper

Base

Metal

(9)

5/2022

USD

(2,333,588)

(115,793)

LME

Copper

Base

Metal

(19)

5/2022

USD

(4,926,463)

(209,504)

LME

Copper

Base

Metal

(21)

5/2022

USD

(5,445,563)

(296,769)

LME

Copper

Base

Metal

(33)

5/2022

USD

(8,557,420)

(460,957)

LME

Copper

Base

Metal

(39)

5/2022

USD

(10,112,515)

(372,367)

LME

Copper

Base

Metal

(46)

5/2022

USD

(11,926,075)

(483,184)

LME

Copper

Base

Metal

(47)

5/2022

USD

(12,189,262)

(438,045)

LME

Lead

Base

Metal

(2)

5/2022

USD

(121,202)

(11,233)

LME

Lead

Base

Metal

(2)

5/2022

USD

(121,173)

(8,003)

LME

Lead

Base

Metal

(6)

5/2022

USD

(362,963)

(10,403)

LME

Lead

Base

Metal

(7)

5/2022

USD

(423,325)

(10,081)

LME

Lead

Base

Metal

(9)

5/2022

USD

(545,672)

(43,496)

LME

Lead

Base

Metal

(13)

5/2022

USD

(786,286)

(11,173)

LME

Lead

Base

Metal

(23)

5/2022

USD

(1,392,984)

(62,169)

LME

Lead

Base

Metal

(25)

5/2022

USD

(1,514,844)

(94,910)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,590)

(51,413)

LME

Nickel

Base

Metal

(1)

5/2022

USD

(192,637)

(55,780)

LME

Nickel

Base

Metal

(4)

5/2022

USD

(770,333)

(206,465)

LME

Nickel

Base

Metal

(4)

5/2022

USD

(769,989)

(189,861)

LME

Nickel

Base

Metal

(6)

5/2022

USD

(1,155,740)

(323,078)

LME

Nickel

Base

Metal

(6)

5/2022

USD

(1,154,952)

(274,050)

196

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(11)

5/2022

USD

$

(2,118,783)

$

(605,436)

LME

Nickel

Base

Metal

(15)

5/2022

USD

(2,889,650)

(848,749)

LME

Nickel

Base

Metal

(21)

5/2022

USD

(4,044,810)

(1,085,132)

LME

Nickel

Base

Metal

(28)

5/2022

USD

(5,389,850)

(1,150,453)

LME

Zinc

Base

Metal

(8)

5/2022

USD

(839,158)

(115,646)

LME

Zinc

Base

Metal

(13)

5/2022

USD

(1,366,043)

(190,844)

LME

Zinc

Base

Metal

(14)

5/2022

USD

(1,472,125)

(205,236)

LME

Zinc

Base

Metal

(16)

5/2022

USD

(1,682,144)

(234,443)

LME

Zinc

Base

Metal

(17)

5/2022

USD

(1,786,823)

(230,348)

LME

Zinc

Base

Metal

(19)

5/2022

USD

(1,993,542)

(283,201)

LME

Zinc

Base

Metal

(21)

5/2022

USD

(2,206,874)

(318,064)

LME

Zinc

Base

Metal

(35)

5/2022

USD

(3,679,375)

(506,825)

LME

Zinc

Base

Metal

(41)

5/2022

USD

(4,311,591)

(615,107)

LME

Zinc

Base

Metal

(46)

5/2022

USD

(4,835,336)

(568,750)

LME

Zinc

Base

Metal

(51)

5/2022

USD

(5,350,359)

(722,328)

WTI

Crude

Oil

(165)

5/2022

USD

(16,255,800)

464,508

LME

Aluminum

Base

Metal

(2)

6/2022

USD

(174,500)

2,294

LME

Aluminum

Base

Metal

(4)

6/2022

USD

(349,014)

5,574

LME

Aluminum

Base

Metal

(6)

6/2022

USD

(523,308)

(5,451)

LME

Aluminum

Base

Metal

(11)

6/2022

USD

(959,750)

(39,112)

LME

Aluminum

Base

Metal

(18)

6/2022

USD

(1,568,246)

(18,223)

LME

Aluminum

Base

Metal

(22)

6/2022

USD

(1,920,050)

25,338

LME

Aluminum

Base

Metal

(22)

6/2022

USD

(1,917,911)

229,483

LME

Aluminum

Base

Metal

(42)

6/2022

USD

(3,664,500)

(138,159)

LME

Aluminum

Base

Metal

(61)

6/2022

USD

(5,322,692)

215,226

LME

Aluminum

Base

Metal

(83)

6/2022

USD

(7,243,701)

(188,945)

LME

Aluminum

Base

Metal

(115)

6/2022

USD

(10,036,625)

110,869

LME

Aluminum

Base

Metal

(137)

6/2022

USD

(11,945,064)

66,032

LME

Aluminum

Base

Metal

(148)

6/2022

USD

(12,900,457)

1,035,522

LME

Aluminum

Base

Metal

(650)

6/2022

USD

(56,736,875)

(1,750,957)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(505)

LME

Copper

Base

Metal

(1)

6/2022

USD

(259,375)

(3,203)

LME

Copper

Base

Metal

(3)

6/2022

USD

(777,975)

(29,672)

LME

Copper

Base

Metal

(4)

6/2022

USD

(1,037,500)

(9,251)

LME

Copper

Base

Metal

(9)

6/2022

USD

(2,334,375)

(16,336)

LME

Copper

Base

Metal

(11)

6/2022

USD

(2,853,331)

63,308

LME

Copper

Base

Metal

(21)

6/2022

USD

(5,447,138)

(160,443)

LME

Copper

Base

Metal

(23)

6/2022

USD

(5,966,488)

(58,658)

LME

Copper

Base

Metal

(24)

6/2022

USD

(6,225,000)

(59,774)

LME

Copper

Base

Metal

(38)

6/2022

USD

(9,856,250)

5,229

LME

Copper

Base

Metal

(51)

6/2022

USD

(13,231,058)

(522,025)

LME

Copper

Base

Metal

(55)

6/2022

USD

(14,264,938)

(68,507)

LME

Copper

Base

Metal

(65)

6/2022

USD

(16,859,375)

72,926

LME

Copper

Base

Metal

(323)

6/2022

USD

(83,798,313)

(2,110,860)

LME

Lead

Base

Metal

(3)

6/2022

USD

(181,200)

(1,770)

LME

Lead

Base

Metal

(4)

6/2022

USD

(242,328)

9,622

LME

Lead

Base

Metal

(5)

6/2022

USD

(302,883)

9,393

LME

Lead

Base

Metal

(13)

6/2022

USD

(785,119)

(14,253)

LME

Lead

Base

Metal

(20)

6/2022

USD

(1,211,500)

(74,053)

LME

Lead

Base

Metal

(22)

6/2022

USD

(1,329,559)

(89,367)

LME

Lead

Base

Metal

(29)

6/2022

USD

(1,751,238)

(43,579)

LME

Lead

Base

Metal

(40)

6/2022

USD

(2,423,330)

(35,648)

LME

Lead

Base

Metal

(43)

6/2022

USD

(2,598,275)

(169,963)

LME

Lead

Base

Metal

(48)

6/2022

USD

(2,907,408)

(6,309)

LME

Lead

Base

Metal

(49)

6/2022

USD

(2,959,906)

(94,894)

LME

Lead

Base

Metal

(50)

6/2022

USD

(3,024,688)

(202,319)

197

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(65)

6/2022

USD

$

(3,928,844)

$

(240,879)

LME

Lead

Base

Metal

(240)

6/2022

USD

(14,535,000)

(463,814)

LME

Nickel

Base

Metal

(2)

6/2022

USD

(385,032)

(90,558)

LME

Nickel

Base

Metal

(5)

6/2022

USD

(963,210)

15,759

LME

Nickel

Base

Metal

(9)

6/2022

USD

(1,733,373)

269,673

LME

Nickel

Base

Metal

(17)

6/2022

USD

(3,272,942)

(452,076)

LME

Nickel

Base

Metal

(28)

6/2022

USD

(5,392,716)

(155,891)

LME

Nickel

Base

Metal

(48)

6/2022

USD

(9,241,344)

4,172,830

LME

Nickel

Base

Metal

(54)

6/2022

USD

(10,399,752)

(1,116,736)

LME

Nickel

Base

Metal

(153)

6/2022

USD

(29,467,800)

3,079,907

LME

Zinc

Base

Metal

(1)

6/2022

USD

(104,338)

(1,815)

LME

Zinc

Base

Metal

(3)

6/2022

USD

(313,013)

(3,946)

LME

Zinc

Base

Metal

(3)

6/2022

USD

(313,200)

(16,209)

LME

Zinc

Base

Metal

(9)

6/2022

USD

(943,281)

(6,028)

LME

Zinc

Base

Metal

(10)

6/2022

USD

(1,047,660)

(67,621)

LME

Zinc

Base

Metal

(29)

6/2022

USD

(3,039,874)

(150,687)

LME

Zinc

Base

Metal

(31)

6/2022

USD

(3,234,463)

(84,983)

LME

Zinc

Base

Metal

(34)

6/2022

USD

(3,561,075)

(326,075)

LME

Zinc

Base

Metal

(39)

6/2022

USD

(4,077,450)

(359,244)

LME

Zinc

Base

Metal

(45)

6/2022

USD

(4,696,875)

(105,165)

LME

Zinc

Base

Metal

(61)

6/2022

USD

(6,380,600)

(553,755)

LME

Zinc

Base

Metal

(65)

6/2022

USD

(6,811,659)

(67,576)

LME

Zinc

Base

Metal

(399)

6/2022

USD

(41,780,288)

(4,520,566)

Cocoa

(22)

7/2022

USD

(591,140)

(16,516)

Cotton

No.

2

(7)

7/2022

USD

(462,245)

9,982

Platinum

(66)

2/2023

JPY

(1,033,588)

21,808

(31,018,143)

$

27,296,839

198

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

94.3%

COMMON

STOCKS

-

5.0%

Italy

-

4.6%

A2A

SpA

(a)

2,223,238

3,807,898

Assicurazioni

Generali

SpA

(a)

194,563

4,450,076

Azimut

Holding

SpA

(a)

30,575

708,838

Banco

BPM

SpA

(a)

182,199

536,696

Buzzi

Unicem

SpA

(a)

220,176

4,074,393

Eni

SpA

(a)

308,738

4,502,396

Hera

SpA

(a)

794,889

2,928,493

Italgas

SpA

(a)

140,730

902,848

Leonardo

SpA

*(a)

562,185

5,586,532

Mediobanca

Banca

di

Credito

Finanziario

SpA

(a)

39,108

395,206

Pirelli

&

C

SpA

(a)(b)

152,871

829,479

Prysmian

SpA

(a)

49,424

1,677,263

Saipem

SpA

*(a)

362,719

457,208

Unipol

Gruppo

SpA

(a)

806,152

4,421,724

35,279,050

—

United

States

-

0.4%

Stellantis

NV

(a)

205,177

3,321,710

Tenaris

SA

3,958

59,453

3,381,163

—

TOTAL

COMMON

STOCKS

(Cost

$34,796,884)

38,660,213

SHORT-TERM

INVESTMENTS

-

89.3%

INVESTMENT

COMPANIES

-

36.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.17%

(1)(c)(d)

23,511,810

23,511,810

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(c)(e)

258,349,795

258,220,620

TOTAL

INVESTMENT

COMPANIES

(Cost

$281,728,703)

281,732,430

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.8%

U.S.

Treasury

Bills

0.06%,

4/7/2022

(f)(g)

$

42,682,000

42,680,968

0.06%,

4/14/2022

(f)(g)

39,298,000

39,295,995

0.06%,

4/28/2022

(f)(g)

36,476,000

36,473,093

0.07%,

5/12/2022

(f)(g)

20,916,000

20,911,438

0.07%,

5/19/2022

(f)

5,674,000

5,672,115

0.11%,

6/9/2022

(f)(g)

27,072,000

27,052,542

0.13%,

6/16/2022

(f)(g)

6,797,000

6,791,045

0.22%,

7/7/2022

(f)(g)

38,491,000

38,431,361

0.28%,

7/14/2022

(f)(g)

38,610,000

38,542,239

0.49%,

8/4/2022

(f)(g)

16,508,000

16,462,278

0.71%,

8/25/2022

(f)

1,947,000

1,939,921

0.67%,

9/1/2022

(f)(g)

12,857,000

12,807,194

0.70%,

9/8/2022

(f)(g)

49,872,000

49,668,855

0.82%,

9/15/2022

(f)(g)

53,349,000

53,118,472

0.87%,

9/22/2022

(f)(g)

15,372,000

15,301,541

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

52.8%

(continued)

1.06%,

9/29/2022

(f)

$

1,670,000

1,661,546

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$407,024,048)

406,810,603

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$688,752,751)

688,543,033

TOTAL

LONG

POSITIONS

(Cost

$723,549,635)

727,203,246

SHARES

SHORT

POSITIONS

-

(5.3)%

COMMON

STOCKS

-

(5.3)%

Canada

-

(0.2)%

SNC-Lavalin

Group,

Inc.

(1)

(76,793)

(1,848,954)

Italy

-

(5.0)%

Amplifon

SpA

(57,441)

(2,556,404)

Atlantia

SpA

*

(109,189)

(2,270,319)

Banca

Generali

SpA

(29,313)

(1,084,585)

Brembo

SpA

(93,321)

(1,038,905)

Davide

Campari-Milano

NV

(510,139)

(5,917,139)

DiaSorin

SpA

(1,320)

(206,175)

Enel

SpA

(65,129)

(434,850)

Ferrari

NV

(13,822)

(3,011,257)

FinecoBank

Banca

Fineco

SpA

(47,953)

(727,451)

Infrastrutture

Wireless

Italiane

SpA

(b)

(237,695)

(2,660,817)

Interpump

Group

SpA

(26,282)

(1,316,982)

Intesa

Sanpaolo

SpA

(163,922)

(375,179)

Moncler

SpA

(58,868)

(3,266,109)

Nexi

SpA

*(b)

(285,860)

(3,298,744)

Poste

Italiane

SpA

(b)

(25,205)

(285,840)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(47,060)

(2,359,559)

Reply

SpA

(718)

(117,964)

Salvatore

Ferragamo

SpA

*

(29,918)

(563,501)

Snam

SpA

(531,665)

(3,065,874)

Terna

-

Rete

Elettrica

Nazionale

(319,449)

(2,743,198)

UniCredit

SpA

(36,006)

(388,424)

(37,689,276)

—

Portugal

-

0.0%

(h)

Banco

Espirito

Santo

SA

(Registered)

(3)*(

i

)

(216,618)

(2)

United

Kingdom

-

(0.1)%

CNH

Industrial

NV

(65,465)

(1,031,125)

TOTAL

COMMON

STOCKS

(Proceeds

$(43,120,969))

(40,569,357)

TOTAL

SHORT

POSITIONS

(Proceeds

$(43,120,969))

(40,569,357)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

89.0%

(Cost

$680,428,666)

686,633,889

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.0%

(j)

84,881,274

NET

ASSETS

-

100.0%

771,515,163

199

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$38,277,595.

In

addition,

$4,781,071

of

cash

collateral

was

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$(5,415,922),

which

represents

approximately

(0.70)%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

March

31,

2022,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Represents

less

than

0.05%

of

net

assets.

(i)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

March

31,

2022

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2022

amounted

to

$(2),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,660,817)

(0.3)

%

Consumer

Discretionary

(3,728,583)

(0.5)

Consumer

Staples

(5,917,138)

(0.8)

Energy

5,019,058

0.6

Financials

7,651,059

1.0

Health

Care

(5,122,139)

(0.7)

Industrials

796,414

0.1

Information

Technology

(3,416,708)

(0.4)

Materials

4,074,393

0.5

Utilities

1,395,317

0.2

Short-Term

Investments

688,543,033

89.3

Total

Investments

In

Securities

At

Value

686,633,889

89.0

Other

Assets

in

Excess

of

Liabilities

(j)

84,881,274

11.0

Net

Assets

$

771,515,163

100.0%

Affiliate

Value

At

12/31/2021

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2022

Shares

Held

At

3/31/2022

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

33.5%

INVESTMENT

COMPANIES

-

33.5%

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)^(a)

(Cost

$258,216,893)

$255,575,499

$521,119,595

$(518,447,788)

$(30,400)

$3,714

$258,220,620

258,349,795

$31,764

$–

^    No

longer

affiliated

as

of

March

31,

2022.

(1)

Level

1

security.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

(3)

Level

3

security.

200

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2022:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

TONAR

Annual

0.50%

Annual

9/23/2032

JPY

21,281,500,000

$

4,965,053

$

(1,275,916)

$

3,689,137

Receive

1D

SOFR

Annual

1.00%

Annual

9/23/2024

USD

15,800,000

335,506

172,262

507,768

Receive

1D

SOFR

Annual

1.25%

Annual

6/15/2032

USD

27,100,000

1,134,954

1,058,574

2,193,528

Receive

1D

SONIA

Annual

2.00%

Annual

9/23/2024

GBP

89,000,000

583,940

(54,942)

528,998

Receive

1D

SONIA

Annual

0.75%

Annual

6/15/2032

GBP

12,900,000

83,764

1,325,994

1,409,758

Receive

1D

SONIA

Annual

0.75%

Annual

9/21/2032

GBP

15,500,000

1,224,623

466,791

1,691,414

Receive

1D

TONAR

Annual

0.00%

Annual

9/24/2024

JPY

54,693,100,000

101,473

344,540

446,013

Receive

1D

TONAR

Annual

0.00%

Annual

9/23/2032

JPY

10,662,600,000

2,385,833

101,883

2,487,716

Receive

3M

BA

Qtrly

2.00%

Semi

9/19/2024

CAD

12,500,000

69,015

139,872

208,887

Receive

3M

BA

Qtrly

1.75%

Semi

6/14/2032

CAD

7,000,000

192,448

388,355

580,803

Receive

6M

BBR

Semi

2.50%

Semi

6/10/2032

AUD

6,500,000

(117,342)

389,487

272,145

Receive

6M

BBR

Semi

2.00%

Semi

6/10/2032

AUD

30,000,000

44,631

2,184,095

2,228,726

Receive

6M

BBR

Semi

2.50%

Semi

9/09/2032

AUD

108,400,000

1,078,437

3,934,349

5,012,786

Receive

6M

BBR

Semi

3.00%

Semi

9/09/2032

AUD

6,400,000

116,264

(26,255)

90,009

Receive

6M

EURIBOR

Semi

0.00%

Annual

6/15/2032

EUR

33,100,000

1,162,206

3,149,474

4,311,680

Receive

6M

EURIBOR

Semi

0.25%

Annual

9/21/2032

EUR

96,200,000

6,456,322

4,045,128

10,501,450

19,817,127

16,343,691

36,160,818

Pay

1D

SOFR

Annual

0.50%

Annual

6/17/2024

USD

123,700,000

(2,901,057)

(1,897,425)

(4,798,482)

Pay

1D

SOFR

Annual

1.50%

Annual

9/21/2032

USD

3,400,000

(157,643)

(47,326)

(204,969)

Pay

1D

SONIA

Annual

0.50%

Annual

6/17/2024

GBP

56,600,000

(1,432,421)

(939,495)

(2,371,916)

Pay

1D

SONIA

Annual

1.00%

Annual

9/23/2024

GBP

73,900,000

(1,883,287)

(429,821)

(2,313,108)

Pay

1D

SONIA

Annual

1.50%

Annual

9/21/2032

GBP

19,200,000

(505,718)

117,460

(388,258)

Pay

3M

BA

Qtrly

1.25%

Semi

6/13/2024

CAD

33,600,000

(573,740)

(303,999)

(877,739)

Pay

3M

BA

Qtrly

2.25%

Semi

9/20/2032

CAD

1,900,000

(60,000)

(35,583)

(95,583)

Pay

3M

BBR

Qtrly

1.50%

Qtrly

6/13/2024

AUD

171,900,000

(88,647)

(2,451,799)

(2,540,446)

Pay

3M

BBR

Qtrly

2.00%

Qtrly

9/12/2024

AUD

491,900,000

(904,056)

(5,314,636)

(6,218,692)

Pay

6M

EURIBOR

Semi

0.50%

Annual

6/17/2024

EUR

115,500,000

(1,573,012)

(1,505,672)

(3,078,684)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/23/2024

EUR

474,000,000

(7,803,501)

(4,593,834)

(12,397,335)

(17,883,082)

(17,402,130)

(35,285,212)

$

1,934,045

$

(1,058,439)

$

875,606

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2022

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

0.29%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

0.69%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.02%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.23%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

1.26%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.71%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

-0.37%

201

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2022

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/13/2022

BRL

22,872,010

$

181,184

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/09/2022

KRW

7,496,850,000

141,971

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/17/2022

CHF

93,504,180

5,191,777

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/20/2022

TWD

243,349,200

270,472

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/20/2022

TWD

327,992,400

403,441

WIG20

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/17/2022

PLN

2,165,000

27,011

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

OBFR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/15/2022

USD

2,084,550

14,119

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/15/2022

EUR

12,084,841

1,212,440

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/15/2022

MXN

60,253,057

175,599

MSCI

Poland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

WIBOR

plus

or

minus

a

specified

spread

(0.80%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/15/2022

PLN

1,270,380

23,906

202

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/15/2022

EUR

1,192,274

$

62,539

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/15/2022

CHF

19,705,408

1,546,937

9,251,396

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

HKD

(71,073,450)

(22,975)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/28/2022

USD

(1,999,161)

(13,607)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2022

USD

(596,241)

(4,318)

Tel

Aviv

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2022

ILS

(9,297,888)

(25,826)

MSCI

Daily

TR

Net

Israel

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/15/2022

USD

(254,734)

(18,347)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

CITI

06/15/2022

EUR

(3,027,674)

(294,554)

(379,627)

$

8,871,769

203

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

289

4/2022

USD

$

30,261,190

$

380,665

CAC

40

10

Euro

Index

239

4/2022

EUR

17,602,014

591,633

IBEX

35

Index

205

4/2022

EUR

19,085,683

553,967

LME

Copper

Base

Metal

2

4/2022

USD

518,376

35,745

LME

Copper

Base

Metal

4

4/2022

USD

1,037,063

53,053

LME

Copper

Base

Metal

6

4/2022

USD

1,555,875

65,006

LME

Copper

Base

Metal

13

4/2022

USD

3,370,088

256,553

LME

Copper

Base

Metal

14

4/2022

USD

3,629,714

152,689

LME

Copper

Base

Metal

20

4/2022

USD

5,185,110

260,057

LME

Copper

Base

Metal

23

4/2022

USD

5,961,543

503,676

LME

Copper

Base

Metal

25

4/2022

USD

6,482,188

257,344

LME

Copper

Base

Metal

29

4/2022

USD

7,518,294

514,717

LME

Copper

Base

Metal

33

4/2022

USD

8,555,118

585,959

Natural

Gas

275

4/2022

USD

15,515,500

2,087,581

OMXS30

Index

818

4/2022

SEK

18,139,305

(502,150)

SGX

FTSE

Taiwan

Index

151

4/2022

USD

9,325,760

46,216

WTI

Crude

Oil

160

4/2022

USD

16,044,800

(1,528,016)

Corn

206

5/2022

USD

7,712,125

(21,230)

LME

Copper

Base

Metal

1

5/2022

USD

259,263

9,835

LME

Copper

Base

Metal

2

5/2022

USD

518,575

27,320

LME

Copper

Base

Metal

5

5/2022

USD

1,296,730

39,217

LME

Copper

Base

Metal

5

5/2022

USD

1,296,491

56,603

LME

Copper

Base

Metal

8

5/2022

USD

2,074,300

86,154

LME

Copper

Base

Metal

15

5/2022

USD

3,889,500

214,461

LME

Copper

Base

Metal

24

5/2022

USD

6,223,500

363,637

LME

Copper

Base

Metal

34

5/2022

USD

8,815,699

134,974

3

Month

Euro

Euribor

119

6/2022

EUR

33,026,126

(35,965)

ASX

90

Day

Bank

Accepted

Bill

95

6/2022

AUD

70,979,988

(85,699)

ASX

90

Day

Bank

Accepted

Bill

210

6/2022

AUD

156,903,132

(71,325)

Australia

10

Year

Bond

1,464

6/2022

AUD

139,230,458

(4,880,917)

Canada

10

Year

Bond

329

6/2022

CAD

34,314,530

(1,442,251)

FTSE

100

Index

78

6/2022

GBP

7,670,507

463,017

FTSE/JSE

Top

40

Index

44

6/2022

ZAR

2,074,090

146,211

FTSE/MIB

Index

333

6/2022

EUR

44,953,564

2,389,930

Japan

10

Year

Bond

657

6/2022

JPY

809,026,368

(3,418,955)

KOSPI

200

Index

185

6/2022

KRW

13,954,560

255,232

LME

Copper

Base

Metal

10

6/2022

USD

2,593,750

(14,714)

LME

Copper

Base

Metal

10

6/2022

USD

2,593,750

19,290

LME

Copper

Base

Metal

16

6/2022

USD

4,150,200

122,158

LME

Copper

Base

Metal

17

6/2022

USD

4,410,353

168,808

LME

Copper

Base

Metal

20

6/2022

USD

5,188,750

8,597

LME

Copper

Base

Metal

21

6/2022

USD

5,447,663

124,107

LME

Copper

Base

Metal

75

6/2022

USD

19,453,125

(96,372)

MEX

BOLSA

Index

3

6/2022

MXN

85,564

3,691

SET50

Index

1,140

6/2022

THB

6,971,657

73,787

SPI

200

Index

404

6/2022

AUD

56,525,011

3,013,390

TOPIX

Index

509

6/2022

JPY

81,383,974

6,180,420

U.S.

Treasury

10

Year

Note

582

6/2022

USD

71,440,500

(231,751)

3

Month

Euro

Euribor

561

9/2022

EUR

155,291,199

(292,119)

3

Month

SOFR

114

9/2022

USD

28,119,525

3,134

ASX

90

Day

Bank

Accepted

Bill

57

9/2022

AUD

42,499,055

(130,746)

ASX

90

Day

Bank

Accepted

Bill

1,511

9/2022

AUD

1,126,597,766

(1,630,845)

3

Month

Euro

Euribor

503

12/2022

EUR

138,735,338

(510,913)

204

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

SOFR

289

12/2022

USD

$

70,805,000

$

(41,965)

ASX

90

Day

Bank

Accepted

Bill

1,595

12/2022

AUD

1,187,564,889

(2,162,367)

3

Month

Euro

Euribor

350

3/2023

EUR

96,124,137

(311,820)

3

Month

SOFR

351

3/2023

USD

85,626,450

(88,046)

ASX

90

Day

Bank

Accepted

Bill

1,272

3/2023

AUD

945,658,432

(1,282,405)

3

Month

SOFR

341

6/2023

USD

82,901,363

(113,632)

1,354,631

Short

Contracts

Amsterdam

Exchange

Index

(33)

4/2022

EUR

(5,286,178)

(214,104)

FTSE

Bursa

Malaysia

KLCI

Index

(17)

4/2022

MYR

(319,906)

837

Hang

Seng

Index

(323)

4/2022

HKD

(45,337,023)

(650,736)

HSCEI

(75)

4/2022

HKD

(3,600,494)

(9,774)

LME

Copper

Base

Metal

(2)

4/2022

USD

(518,376)

(36,857)

LME

Copper

Base

Metal

(4)

4/2022

USD

(1,037,063)

(54,121)

LME

Copper

Base

Metal

(6)

4/2022

USD

(1,555,875)

(70,891)

LME

Copper

Base

Metal

(13)

4/2022

USD

(3,370,088)

(267,318)

LME

Copper

Base

Metal

(14)

4/2022

USD

(3,629,714)

(145,588)

LME

Copper

Base

Metal

(20)

4/2022

USD

(5,185,110)

(208,483)

LME

Copper

Base

Metal

(23)

4/2022

USD

(5,961,543)

(480,669)

LME

Copper

Base

Metal

(25)

4/2022

USD

(6,482,188)

(275,066)

LME

Copper

Base

Metal

(29)

4/2022

USD

(7,518,294)

(559,954)

LME

Copper

Base

Metal

(33)

4/2022

USD

(8,555,118)

(609,054)

MSCI

Singapore

Index

(549)

4/2022

SGD

(13,563,482)

(210,729)

SGX

NIFTY

50

Index

(25)

4/2022

USD

(876,825)

(4,818)

LME

Copper

Base

Metal

(1)

5/2022

USD

(259,263)

(10,947)

LME

Copper

Base

Metal

(2)

5/2022

USD

(518,575)

(25,554)

LME

Copper

Base

Metal

(5)

5/2022

USD

(1,296,491)

(57,620)

LME

Copper

Base

Metal

(5)

5/2022

USD

(1,296,730)

(46,588)

LME

Copper

Base

Metal

(8)

5/2022

USD

(2,074,300)

(87,632)

LME

Copper

Base

Metal

(15)

5/2022

USD

(3,889,500)

(213,198)

LME

Copper

Base

Metal

(24)

5/2022

USD

(6,223,500)

(379,086)

LME

Copper

Base

Metal

(34)

5/2022

USD

(8,815,699)

(167,463)

Silver

(130)

5/2022

USD

(16,336,450)

(876,158)

Soybean

(383)

5/2022

USD

(30,989,488)

(673,839)

100

oz

Gold

(430)

6/2022

USD

(84,022,000)

(414,233)

3

Month

Canadian

Bankers

Acceptance

(57)

6/2022

CAD

(11,187,757)

7,871

DAX

Index

(209)

6/2022

EUR

(83,424,995)

(2,231,481)

EURO

STOXX

50

Index

(1,295)

6/2022

EUR

(54,768,059)

(2,534,754)

Euro-Bund

(623)

6/2022

EUR

(109,347,480)

101,171

LME

Copper

Base

Metal

(10)

6/2022

USD

(2,593,750)

(28,776)

LME

Copper

Base

Metal

(10)

6/2022

USD

(2,593,750)

18,724

LME

Copper

Base

Metal

(16)

6/2022

USD

(4,150,200)

(119,298)

LME

Copper

Base

Metal

(17)

6/2022

USD

(4,410,353)

(187,627)

LME

Copper

Base

Metal

(21)

6/2022

USD

(5,447,663)

(130,160)

LME

Copper

Base

Metal

(75)

6/2022

USD

(19,453,125)

134,927

LME

Copper

Base

Metal

(221)

6/2022

USD

(57,335,688)

(1,387,514)

Long

Gilt

(1,875)

6/2022

GBP

(299,118,105)

1,944,609

S&P

500

E-Mini

Index

(346)

6/2022

USD

(78,381,975)

(5,070,222)

3

Month

Canadian

Bankers

Acceptance

(374)

9/2022

CAD

(72,895,073)

56,395

3

Month

SONIA

(39)

9/2022

GBP

(12,629,415)

(1,539)

3

Month

SONIA

(227)

9/2022

GBP

(73,509,670)

496,797

3

Month

Canadian

Bankers

Acceptance

(396)

12/2022

CAD

(76,878,135)

37,501

3

Month

SONIA

(179)

12/2022

GBP

(57,680,664)

123,342

3

Month

SONIA

(1,047)

12/2022

GBP

(337,383,547)

3,361,240

3

Month

Canadian

Bankers

Acceptance

(295)

3/2023

CAD

(57,137,593)

31,729

3

Month

SONIA

(628)

3/2023

GBP

(201,860,385)

2,359,694

205

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SONIA

(636)

3/2023

GBP

$

(204,431,855)

$

1,222,614

3

Month

SONIA

(1,062)

6/2023

GBP

(340,682,516)

1,687,830

(6,856,570)

$

(5,501,939)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

94,695,495

USD

69,002,359

CITI

6/15/2022

$

1,947,898

AUD

94,695,494

USD

69,002,444

JPMC

6/15/2022

1,947,815

BRL

200,053,487

USD

38,120,989

CITI

**

6/15/2022

3,018,664

BRL

200,053,479

USD

38,121,035

JPMC

**

6/15/2022

3,018,615

CAD

29,753,179

USD

23,394,525

CITI

6/15/2022

400,774

CAD

29,753,171

USD

23,394,548

JPMC

6/15/2022

400,744

CLP

570,000

USD

706

CITI

**

6/15/2022

10

CLP

570,000

USD

706

JPMC

**

6/15/2022

10

CNY

30,627,032

USD

4,788,473

CITI

**

6/15/2022

10,471

CNY

30,627,030

USD

4,788,479

JPMC

**

6/15/2022

10,464

EUR

52,302,000

USD

57,799,029

CITI

6/15/2022

223,942

EUR

52,302,000

USD

57,799,102

JPMC

6/15/2022

223,868

HUF

737,667,000

USD

2,092,411

CITI

6/15/2022

105,953

HUF

737,667,000

USD

2,092,413

JPMC

6/15/2022

105,952

ILS

24,550,502

USD

7,605,458

CITI

6/15/2022

105,227

ILS

24,550,498

USD

7,605,467

JPMC

6/15/2022

105,218

INR

279,562,173

USD

3,645,271

CITI

**

6/15/2022

1,373

INR

279,562,173

USD

3,645,275

JPMC

**

6/15/2022

1,369

KRW

12,541,995,500

USD

10,217,337

CITI

**

6/15/2022

99,670

KRW

12,541,995,500

USD

10,217,350

JPMC

**

6/15/2022

99,657

MXN

81,604,171

USD

3,929,642

CITI

6/15/2022

119,217

MXN

81,604,170

USD

3,929,647

JPMC

6/15/2022

119,211

NOK

458,526,804

USD

51,323,861

CITI

6/15/2022

733,722

NOK

458,526,798

USD

51,323,925

JPMC

6/15/2022

733,656

NZD

54,469,930

USD

36,719,161

CITI

6/15/2022

983,377

NZD

54,469,927

USD

36,719,205

JPMC

6/15/2022

983,332

PLN

35,643,502

USD

8,077,366

CITI

6/15/2022

343,823

PLN

35,643,498

USD

8,077,376

JPMC

6/15/2022

343,811

SEK

427,834,047

USD

44,729,056

CITI

6/15/2022

858,994

SEK

427,834,046

USD

44,729,112

JPMC

6/15/2022

858,938

SGD

3,810,000

USD

2,806,667

CITI

6/15/2022

4,377

SGD

3,810,000

USD

2,806,671

JPMC

6/15/2022

4,374

TWD

345,000

USD

12,042

CITI

**

6/15/2022

46

TWD

345,000

USD

12,042

JPMC

**

6/15/2022

46

USD

1,036,855

BRL

5,022,000

CITI

**

6/15/2022

4,115

USD

1,036,854

BRL

5,022,000

JPMC

**

6/15/2022

4,114

USD

169,127

CAD

210,500

CITI

6/15/2022

779

USD

169,127

CAD

210,500

JPMC

6/15/2022

778

USD

284,465

CHF

261,044

CITI

6/15/2022

1,071

USD

284,465

CHF

261,044

JPMC

6/15/2022

1,070

USD

2,233,469

CNY

14,213,000

CITI

**

6/15/2022

6,436

USD

2,233,466

CNY

14,213,000

JPMC

**

6/15/2022

6,435

USD

822,113

DKK

5,386,212

CITI

6/15/2022

18,838

206

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

822,112

DKK

5,386,211

JPMC

6/15/2022

$

18,837

USD

122,822,207

EUR

109,450,693

CITI

6/15/2022

1,399,425

USD

122,822,038

EUR

109,450,679

JPMC

6/15/2022

1,399,272

USD

121,058,551

GBP

90,916,376

CITI

6/15/2022

1,660,620

USD

121,058,399

GBP

90,916,375

JPMC

6/15/2022

1,660,469

USD

342,535

HUF

114,130,000

CITI

6/15/2022

2,409

USD

342,535

HUF

114,130,000

JPMC

6/15/2022

2,409

USD

2,565,683

INR

195,787,500

CITI

**

6/15/2022

11,806

USD

2,565,680

INR

195,787,500

JPMC

**

6/15/2022

11,803

USD

31,022,048

JPY

3,689,389,000

CITI

6/15/2022

657,396

USD

31,022,009

JPY

3,689,389,000

JPMC

6/15/2022

657,356

USD

43,132,720

KRW

51,778,809,984

CITI

**

6/15/2022

539,626

USD

43,132,666

KRW

51,778,809,976

JPMC

**

6/15/2022

539,572

USD

14,447,171

NOK

125,465,000

CITI

6/15/2022

202,847

USD

14,447,153

NOK

125,465,000

JPMC

6/15/2022

202,828

USD

5,405,578

PLN

22,228,499

CITI

6/15/2022

153,839

USD

5,405,570

PLN

22,228,496

JPMC

6/15/2022

153,832

USD

1,218

SEK

11,364

CITI

6/15/2022

7

USD

1,218

SEK

11,361

JPMC

6/15/2022

7

USD

2,762,686

SGD

3,722,250

CITI

6/15/2022

16,384

USD

2,762,682

SGD

3,722,249

JPMC

6/15/2022

16,381

USD

3,314,328

TWD

93,242,508

CITI

**

6/15/2022

47,301

USD

3,314,324

TWD

93,242,492

JPMC

**

6/15/2022

47,297

USD

571,595

ZAR

8,416,500

CITI

6/15/2022

1,017

USD

571,594

ZAR

8,416,500

JPMC

6/15/2022

1,016

ZAR

268,963,511

USD

17,455,852

CITI

6/15/2022

777,945

ZAR

268,963,489

USD

17,455,873

JPMC

6/15/2022

777,920

Total

unrealized

appreciation

28,917,875

AUD

14,765,000

USD

11,089,866

CITI

6/15/2022

(27,243)

AUD

14,765,000

USD

11,089,880

JPMC

6/15/2022

(27,257)

CHF

18,137,879

USD

19,806,524

CITI

6/15/2022

(115,656)

CHF

18,137,878

USD

19,806,548

JPMC

6/15/2022

(115,680)

CNY

105,059,224

USD

16,499,980

CITI

**

6/15/2022

(38,270)

CNY

105,059,214

USD

16,499,999

JPMC

**

6/15/2022

(38,290)

EUR

34,281,507

USD

38,915,465

CITI

6/15/2022

(884,130)

EUR

34,281,493

USD

38,915,498

JPMC

6/15/2022

(884,178)

GBP

35,445,000

USD

47,839,010

CITI

6/15/2022

(1,290,085)

GBP

35,445,000

USD

47,839,070

JPMC

6/15/2022

(1,290,145)

HUF

2,290,635,000

USD

7,031,621

CITI

6/15/2022

(205,167)

HUF

2,290,635,000

USD

7,031,630

JPMC

6/15/2022

(205,175)

INR

279,562,172

USD

3,668,678

CITI

**

6/15/2022

(22,034)

INR

279,562,172

USD

3,668,683

JPMC

**

6/15/2022

(22,038)

JPY

9,455,978,680

USD

82,236,751

CITI

6/15/2022

(4,411,532)

JPY

9,455,978,676

USD

82,236,854

JPMC

6/15/2022

(4,411,633)

KRW

4,854,773,000

USD

4,010,798

CITI

**

6/15/2022

(17,277)

KRW

4,854,773,000

USD

4,010,803

JPMC

**

6/15/2022

(17,281)

SEK

297,483,547

USD

31,884,162

CITI

6/15/2022

(185,669)

SEK

297,483,545

USD

31,884,202

JPMC

6/15/2022

(185,708)

SGD

2,001,500

USD

1,482,622

CITI

6/15/2022

(5,901)

SGD

2,001,500

USD

1,482,624

JPMC

6/15/2022

(5,903)

TWD

82,961,160

USD

2,977,870

CITI

**

6/15/2022

(71,078)

TWD

82,961,156

USD

2,978,059

JPMC

**

6/15/2022

(71,268)

USD

40,292,637

AUD

55,764,500

CITI

6/15/2022

(1,488,713)

USD

40,292,587

AUD

55,764,500

JPMC

6/15/2022

(1,488,764)

USD

12,401,035

BRL

63,940,503

CITI

**

6/15/2022

(747,899)

USD

12,401,018

BRL

63,940,497

JPMC

**

6/15/2022

(747,915)

USD

37,784,683

CAD

47,932,000

CITI

6/15/2022

(549,246)

USD

37,784,636

CAD

47,932,000

JPMC

6/15/2022

(549,292)

207

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

19,739,075

CHF

18,436,001

CITI

6/15/2022

$

(275,442)

USD

19,739,048

CHF

18,435,999

JPMC

6/15/2022

(275,466)

USD

795,792

CLP

643,675,503

CITI

**

6/15/2022

(12,091)

USD

795,791

CLP

643,675,497

JPMC

**

6/15/2022

(12,092)

USD

12,594,241

CNY

80,666,000

CITI

**

6/15/2022

(45,298)

USD

12,594,226

CNY

80,666,000

JPMC

**

6/15/2022

(45,315)

USD

353,225

EUR

319,500

CITI

6/15/2022

(1,223)

USD

353,225

EUR

319,500

JPMC

6/15/2022

(1,224)

USD

25,196,900

GBP

19,244,000

CITI

6/15/2022

(75,706)

USD

25,196,868

GBP

19,244,000

JPMC

6/15/2022

(75,738)

USD

981,188

HUF

339,846,500

CITI

6/15/2022

(31,608)

USD

981,187

HUF

339,846,500

JPMC

6/15/2022

(31,609)

USD

25,851,321

ILS

83,384,047

CITI

6/15/2022

(337,475)

USD

25,851,288

ILS

83,384,044

JPMC

6/15/2022

(337,507)

USD

907,712

INR

70,310,500

CITI

**

6/15/2022

(9,427)

USD

907,711

INR

70,310,500

JPMC

**

6/15/2022

(9,428)

USD

16,679,371

JPY

2,043,672,000

CITI

6/15/2022

(140,593)

USD

16,679,351

JPY

2,043,672,000

JPMC

6/15/2022

(140,613)

USD

10,386,120

MXN

215,635,000

CITI

6/15/2022

(312,790)

USD

10,386,107

MXN

215,635,000

JPMC

6/15/2022

(312,803)

USD

20,067,420

NZD

29,875,501

CITI

6/15/2022

(611,553)

USD

20,067,394

NZD

29,875,499

JPMC

6/15/2022

(611,578)

USD

4,284,098

PLN

18,629,001

CITI

6/15/2022

(117,219)

USD

4,284,092

PLN

18,629,000

JPMC

6/15/2022

(117,225)

USD

33,544,896

SEK

323,088,364

CITI

6/15/2022

(881,931)

USD

33,544,854

SEK

323,088,364

JPMC

6/15/2022

(881,972)

USD

10,796,888

ZAR

167,444,505

CITI

6/15/2022

(554,649)

USD

10,796,873

ZAR

167,444,495

JPMC

6/15/2022

(554,662)

ZAR

1,917,000

USD

131,226

CITI

6/15/2022

(1,267)

ZAR

1,917,000

USD

131,226

JPMC

6/15/2022

(1,267)

Total

unrealized

depreciation

(26,937,198)

Net

unrealized

appreciation

$

1,980,677

**

Non-deliverable

forward.

208

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.50%

to

0.50%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-58

months

maturity

ranging

from

04/17/2026

-

12/18/2026

$3,952,208

$39,901

$828

$40,729

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-1.35%

to

0.70%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-60

months

maturity

ranging

from

04/17/2026

-

02/25/2027

$6,927,875

$(360,812)

$(13,273)

$(374,085)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-3.50%

to

0.70%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/17/2026

-

02/26/2027

$5,444,340

$57,980

$(13,685)

$44,295

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.50%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

57

months

maturity

11/09/2026

$178,291

$(1,943)

$101

$(1,842)

209

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-9.34%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

09/26/2022

-

05/25/2023

$573,434,109

$(7,479,645)

$(12,745,206)

$(20,224,851)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acuity

Brands,

Inc.

17,469

3,306,882

(102,368)

0.5

Alphabet,

Inc.

1,031

2,867,572

(53,725)

0.3

Amdocs

Ltd.

41,016

3,371,925

12,715

(0.1)

Amkor

Technology,

Inc.

122,558

2,661,960

(270,853)

1.3

APA

Corp.

67,919

2,807,092

(13,584)

0.1

AutoNation,

Inc.

31,405

3,127,310

(392,563)

1.9

Builders

FirstSource

,

Inc.

65,351

4,217,754

(224,039)

1.1

Cognizant

Technology

Solutions

Corp.

29,873

2,678,712

(54,966)

0.3

Emerson

Electric

Co.

26,690

2,616,954

(12,277)

0.1

Huntington

Ingalls

Industries,

Inc.

16,541

3,298,937

(108,013)

0.5

LKQ

Corp.

85,766

3,894,634

(33,449)

0.2

Macy's,

Inc.

123,402

3,006,073

(225,826)

1.1

Meta

Platforms,

Inc.

19,244

4,279,096

10,392

(0.1)

Micron

Technology,

Inc.

43,359

3,377,233

(9,105)

0.0

Molina

Healthcare,

Inc.

8,006

2,670,722

(52,199)

0.3

Owens

Corning

51,182

4,683,153

(116,695)

0.6

PDC

Energy,

Inc.

42,285

3,073,274

(109,205)

0.5

Quidel

Corp.

31,242

3,513,475

101,849

(0.5)

Teradata

Corp.

60,325

2,973,419

(64,548)

0.3

Textron,

Inc.

57,415

4,270,528

(47,769)

0.2

Yelp,

Inc.

114,737

3,913,679

(75,726)

0.4

Ziff

Davis,

Inc.

44,956

4,350,842

(91,261)

0.5

Short

Positions

Common

Stocks

Brazil

MercadoLibre

,

Inc.

(2,344)

(2,788,141)

(54,264)

0.3

Taiwan

Sea

Ltd.,

ADR

(50,368)

(6,033,583)

(184,851)

0.9

United

States

Advanced

Drainage

Systems,

Inc.

(29,039)

(3,450,124)

51,980

(0.3)

Bill.com

Holdings,

Inc.

(12,128)

(2,750,509)

(87,564)

0.4

Boeing

Co.

(The)

(18,814)

(3,602,881)

(47,976)

0.2

Carvana

Co.

(23,367)

(2,787,449)

215,677

(1.1)

Cheniere

Energy,

Inc.

(29,824)

(4,135,098)

317,626

(1.6)

CNX

Resources

Corp.

(144,896)

(3,002,245)

134,753

(0.7)

210

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Dexcom

,

Inc.

(5,522)

(2,825,055)

(169,139)

0.8

EQT

Corp.

(85,958)

(2,957,815)

(6,877)

0.0

Fastly

,

Inc.

(152,046)

(2,642,559)

(106,432)

0.5

General

Electric

Co.

(35,329)

(3,232,604)

89,029

(0.4)

Guardant

Health,

Inc.

(59,315)

(3,929,026)

(414,019)

2.0

HealthEquity

,

Inc.

(43,162)

(2,910,845)

(134,234)

0.7

Hess

Corp.

(55,741)

(5,966,517)

113,712

(0.6)

Honeywell

International,

Inc.

(18,314)

(3,563,538)

58,788

(0.3)

Insulet

Corp.

(15,262)

(4,065,644)

(220,536)

1.1

New

Fortress

Energy,

Inc.

(123,301)

(5,253,856)

(552,388)

2.7

NOV,

Inc.

(153,317)

(3,006,546)

52,128

(0.3)

Oak

Street

Health,

Inc.

(139,946)

(3,761,748)

(194,525)

1.0

Plug

Power,

Inc.

(133,362)

(3,815,487)

(88,019)

0.4

Progyny

,

Inc.

(52,950)

(2,721,630)

(80,484)

0.4

R1

RCM,

Inc.

(125,267)

(3,352,145)

(170,363)

0.8

Roper

Technologies,

Inc.

(5,525)

(2,609,071)

(35,194)

0.2

Sailpoint

Technologies

Holdings,

Inc.

(49,571)

(2,537,044)

(95,176)

0.5

Snap,

Inc.

(75,016)

(2,699,826)

(44,259)

0.2

Williams

Cos.,

Inc.

(The)

(93,347)

(3,118,723)

43,873

(0.2)

Wolfspeed

,

Inc.

(29,926)

(3,407,374)

(34,714)

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

01/13/2025

-

04/01/2027

$81,507,502

$(56,109)

$207,774

$151,665

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

103,585

596,812

28,934

19.1

Aristocrat

Leisure

Ltd.

60,663

1,646,516

45,401

29.9

Atlas

Arteria

Ltd.

406,270

1,977,268

27,500

18.1

Aurizon

Holdings

Ltd.

1,383,053

3,801,522

196,619

129.6

BlueScope

Steel

Ltd.

158,352

2,462,389

197,208

130.0

Brambles

Ltd.

330,993

2,442,610

46,473

30.6

carsales.com

Ltd.

34,580

535,344

18,334

12.1

Cleanaway

Waste

Management

Ltd.

426,605

978,520

90,118

59.4

Computershare

Ltd.

20,165

370,614

55,075

36.3

Domino's

Pizza

Enterprises

Ltd.

10,967

713,884

55,883

36.8

Fortescue

Metals

Group

Ltd.

90,431

1,390,091

117,666

77.6

Harvey

Norman

Holdings

Ltd.

452,022

1,801,317

13,583

9.0

211

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Incitec

Pivot

Ltd.

498,989

1,412,498

81,340

53.6

JB

Hi-Fi

Ltd.

97,207

3,929,125

317,229

209.2

Magellan

Financial

Group

Ltd.

134,483

1,590,940

51,091

33.7

Qube

Holdings

Ltd.

1,367,312

3,186,325

164,535

108.5

Sonic

Healthcare

Ltd.

25,428

671,356

41,167

27.1

South32

Ltd.

387,636

1,473,513

44,221

29.2

Tabcorp

Holdings

Ltd.

776,930

3,095,371

188,983

124.6

Telstra

Corp.

Ltd.

529,460

1,564,268

8,676

5.7

Treasury

Wine

Estates

Ltd.

91,217

787,936

9,363

6.2

Worley

Ltd.

195,811

1,891,607

49,790

32.8

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(831,979)

(1,249,089)

(22,775)

(15.0)

APA

Group

(634,324)

(5,041,508)

(358,778)

(236.6)

Boral

Ltd.

(219,644)

(566,458)

(30,302)

(20.0)

Cochlear

Ltd.

(7,415)

(1,238,016)

(45,901)

(30.3)

CSL

Ltd.

(3,821)

(762,834)

(26,939)

(17.8)

Evolution

Mining

Ltd.

(336,023)

(1,109,047)

22,113

14.6

IDP

Education

Ltd.

(169,926)

(3,976,963)

(337,906)

(222.8)

IGO

Ltd.

(107,261)

(1,121,226)

(74,932)

(49.4)

Insurance

Australia

Group

Ltd.

(632,815)

(2,071,068)

(48,244)

(31.8)

Lynas

Rare

Earths

Ltd.

(209,950)

(1,673,816)

(119,471)

(78.8)

Medibank

Pvt

Ltd.

(1,186,866)

(2,726,857)

(13,279)

(8.8)

NEXTDC

Ltd.

(83,514)

(719,481)

(33,935)

(22.4)

Northern

Star

Resources

Ltd.

(112,163)

(904,897)

12,818

8.5

Origin

Energy

Ltd.

(82,854)

(385,662)

3,821

2.5

Pilbara

Minerals

Ltd.

(1,027,631)

(2,427,810)

(247,304)

(163.1)

Qantas

Airways

Ltd.

(427,969)

(1,654,793)

(153,794)

(101.4)

QBE

Insurance

Group

Ltd.

(157,443)

(1,350,124)

(127,273)

(83.9)

Ramsay

Health

Care

Ltd.

(10,427)

(504,985)

(33,928)

(22.4)

REA

Group

Ltd.

(9,847)

(987,156)

(39,552)

(26.1)

Reece

Ltd.

(106,313)

(1,496,839)

(9,396)

(6.2)

Santos

Ltd.

(106,956)

(620,110)

1,781

1.2

SEEK

Ltd.

(71,260)

(1,569,329)

(105,991)

(69.9)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(30,489)

(650,309)

(78,897)

(52.0)

Wesfarmers

Ltd.

(26,767)

(1,004,421)

(14,911)

(9.8)

WiseTech

Global

Ltd.

(11,239)

(423,022)

(16,833)

(11.1)

Woolworths

Group

Ltd.

(28,300)

(785,745)

(27,304)

(18.0)

New

Zealand

Xero

Ltd.

(23,689)

(1,795,334)

(74,711)

(49.3)

United

States

James

Hardie

Industries

plc

(37,459)

(1,123,699)

70,148

46.3

212

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-1.03%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

01/13/2025

-

03/24/2027

$173,500,302

$2,365,532

$(45,943)

$2,319,589

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Agricultural

Bank

of

China

Ltd.

3,210,000

1,227,129

75,760

3.3

Bank

of

China

Ltd.

3,317,000

1,323,668

100,039

4.3

Bank

of

Communications

Co.

Ltd.

2,010,000

1,438,993

133,107

5.7

BOC

Hong

Kong

Holdings

Ltd.

519,500

1,954,767

184,340

7.9

China

Cinda

Asset

Management

Co.

Ltd.

6,821,000

1,162,070

4,158

0.2

China

CITIC

Bank

Corp.

Ltd.

4,345,000

2,192,585

223,760

9.6

China

Coal

Energy

Co.

Ltd.

3,025,000

2,274,552

248,266

10.7

China

Hongqiao

Group

Ltd.

1,845,500

2,424,522

55,055

2.4

China

Medical

System

Holdings

Ltd.

925,000

1,442,627

(42,441)

(1.8)

China

Minsheng

Banking

Corp.

Ltd.

3,562,000

1,336,119

26,697

1.2

China

National

Building

Material

Co.

Ltd.

1,184,000

1,456,372

49,536

2.1

China

Taiping

Insurance

Holdings

Co.

Ltd.

1,189,600

1,442,954

109,969

4.7

CSPC

Pharmaceutical

Group

Ltd.

1,104,000

1,265,014

56,146

2.4

Kingboard

Holdings

Ltd.

240,000

1,157,554

140,647

6.1

New

China

Life

Insurance

Co.

Ltd.

809,700

2,245,827

49,690

2.1

People's

Insurance

Co.

Group

of

China

Ltd.

(The)

4,132,000

1,348,164

103,506

4.5

PICC

Property

&

Casualty

Co.

Ltd.

1,134,000

1,154,747

73,582

3.2

Sinopharm

Group

Co.

Ltd.

634,800

1,441,030

(15,839)

(0.7)

Topsports

International

Holdings

Ltd.

1,421,000

1,181,050

(66,709)

(2.9)

Zoomlion

Heavy

Industry

Science

and

Technology

Co.

Ltd.

1,842,600

1,163,305

114,598

4.9

Hong

Kong

ASM

Pacific

Technology

Ltd.

150,800

1,518,170

57,676

2.5

CK

Asset

Holdings

Ltd.

381,872

2,610,260

187,752

8.1

Sun

Hung

Kai

Properties

Ltd.

158,500

1,885,751

82,118

3.5

Swire

Pacific

Ltd.

237,500

1,444,266

142,232

6.1

WH

Group

Ltd.

8,192,500

5,144,524

(127,440)

(5.5)

Xinyi

Glass

Holdings

Ltd.

726,000

1,740,705

20,026

0.9

United

Kingdom

CK

Hutchison

Holdings

Ltd.

1,051,000

7,685,343

582,227

25.1

213

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(886,600)

(2,341,195)

188,375

8.1

BYD

Co.

Ltd.

(49,000)

(1,362,949)

(167,741)

(7.2)

China

Merchants

Bank

Co.

Ltd.

(325,000)

(2,529,939)

(95,066)

(4.1)

CITIC

Securities

Co.

Ltd.

(645,500)

(1,479,552)

(31,156)

(1.3)

ESR

Cayman

Ltd.

(749,800)

(2,323,550)

(129,608)

(5.6)

Ganfeng

Lithium

Co.

Ltd.

(148,600)

(2,090,634)

(124,004)

(5.3)

Haidilao

International

Holding

Ltd.

(767,000)

(1,475,750)

(85,954)

(3.7)

Li

Ning

Co.

Ltd.

(143,000)

(1,214,264)

(87,767)

(3.8)

Meituan

(90,700)

(1,718,215)

562

0.0

Microport

Scientific

Corp.

(571,137)

(1,270,662)

(31,625)

(1.4)

Postal

Savings

Bank

of

China

Co.

Ltd.

(1,459,000)

(1,174,856)

(18,362)

(0.8)

Shenzhou

International

Group

Holdings

Ltd.

(102,900)

(1,358,488)

17,035

0.7

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(681,200)

(2,280,184)

(259,668)

(11.2)

Zijin

Mining

Group

Co.

Ltd.

(828,000)

(1,255,632)

(23,417)

(1.0)

Hong

Kong

AIA

Group

Ltd.

(480,400)

(5,016,282)

(629,278)

(27.1)

Hong

Kong

&

China

Gas

Co.

Ltd.

(4,103,716)

(4,956,962)

1,005,342

43.3

Man

Wah

Holdings

Ltd.

(1,322,800)

(1,430,913)

(17,998)

(0.8)

MTR

Corp.

Ltd.

(217,695)

(1,172,346)

(60,802)

(2.6)

Power

Assets

Holdings

Ltd.

(193,000)

(1,257,790)

(12,378)

(0.5)

Techtronic

Industries

Co.

Ltd.

(112,500)

(1,802,416)

9,612

0.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(663,000)

(3,276,720)

(433,648)

(18.7)

Macau

Galaxy

Entertainment

Group

Ltd.

(212,000)

(1,254,485)

(149,367)

(6.4)

Sands

China

Ltd.

(485,600)

(1,155,233)

8,615

0.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.30%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

01/14/2025

-

04/01/2027

$500,490,645

$(2,165,593)

$1,606,290

$(559,303)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

137,500

5,493,865

714,488

(127.7)

Dai

Nippon

Printing

Co.

Ltd.

121,500

2,848,588

63,181

(11.3)

ENEOS

Holdings,

Inc.

928,200

3,470,285

127,268

(22.8)

Idemitsu

Kosan

Co.

Ltd.

106,600

2,938,485

15,739

(2.8)

214

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Iida

Group

Holdings

Co.

Ltd.

204,400

3,524,049

83,584

(14.9)

Japan

Post

Insurance

Co.

Ltd.

171,200

2,981,476

291,986

(52.2)

Kajima

Corp.

243,400

2,961,379

31,296

(5.6)

Lion

Corp.

249,300

2,778,489

(104,206)

18.6

Marubeni

Corp.

258,400

3,000,595

330,525

(59.1)

Mazda

Motor

Corp.

397,200

2,919,657

560,709

(100.3)

Mitsubishi

Electric

Corp.

392,900

4,506,113

407,311

(72.8)

Mitsubishi

HC

Capital,

Inc.

701,400

3,259,067

262,612

(47.0)

NIPPON

EXPRESS

HOLDINGS,

Inc.

67,000

4,602,953

394,008

(70.4)

Nippon

Telegraph

&

Telephone

Corp.

104,000

3,021,606

144,393

(25.8)

Obayashi

Corp.

438,400

3,217,740

101,109

(18.1)

Osaka

Gas

Co.

Ltd.

324,200

5,555,550

(186,636)

33.4

Otsuka

Holdings

Co.

Ltd.

81,400

2,812,190

222,813

(39.8)

Shimamura

Co.

Ltd.

37,100

3,297,406

196,300

(35.1)

Sojitz

Corp.

185,900

3,057,358

145,925

(26.1)

Sumitomo

Heavy

Industries

Ltd.

139,100

3,187,603

192,629

(34.4)

Suntory

Beverage

&

Food

Ltd.

111,100

4,234,595

156,380

(28.0)

Taisei

Corp.

121,600

3,510,484

(8,741)

1.6

Tokyo

Electric

Power

Co.

Holdings,

Inc.

1,478,400

4,880,178

859,615

(153.7)

Tokyo

Gas

Co.

Ltd.

166,300

3,044,489

(103,789)

18.6

TOPPAN,

Inc.

266,200

4,695,754

143,695

(25.7)

Tosoh

Corp.

207,500

3,066,748

360,495

(64.5)

Toyota

Tsusho

Corp.

72,000

2,955,019

417,639

(74.7)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(171,500)

(3,656,809)

(1,188)

0.2

Daiichi

Sankyo

Co.

Ltd.

(177,300)

(3,871,700)

(383,710)

68.6

Daikin

Industries

Ltd.

(23,800)

(4,322,174)

(357,467)

63.9

East

Japan

Railway

Co.

(49,300)

(2,853,362)

(281,394)

50.3

Harmonic

Drive

Systems,

Inc.

(87,700)

(3,011,838)

112,522

(20.1)

Japan

Airport

Terminal

Co.

Ltd.

(120,500)

(5,488,509)

(552,801)

98.8

Kakaku.com,

Inc.

(138,000)

(3,081,921)

(451,182)

80.7

Keyence

Corp.

(7,500)

(3,477,770)

(234,574)

41.9

Kobe

Bussan

Co.

Ltd.

(135,800)

(4,179,206)

41,739

(7.5)

Lasertec

Corp.

(23,800)

(3,959,465)

(568,250)

101.6

M3,

Inc.

(163,900)

(5,919,411)

(224,551)

40.1

Marui

Group

Co.

Ltd.

(162,000)

(2,964,141)

(292,335)

52.3

Mercari

,

Inc.

(116,800)

(3,015,079)

(127,673)

22.8

MonotaRO

Co.

Ltd.

(212,900)

(4,569,331)

(527,648)

94.3

Nidec

Corp.

(45,200)

(3,570,035)

(325,467)

58.2

Odakyu

Electric

Railway

Co.

Ltd.

(183,900)

(3,048,095)

(174,254)

31.2

Oriental

Land

Co.

Ltd.

(33,200)

(6,354,658)

(655,790)

117.3

Seven

&

i

Holdings

Co.

Ltd.

(58,200)

(2,774,813)

(177,051)

31.7

SoftBank

Corp.

(255,600)

(2,981,092)

23,682

(4.2)

Sony

Group

Corp.

(45,000)

(4,629,407)

(604,951)

108.2

Unicharm

Corp.

(157,100)

(5,643,955)

(545,599)

97.5

West

Japan

Railway

Co.

(70,000)

(2,900,508)

(249,105)

44.5

Yaskawa

Electric

Corp.

(72,000)

(2,806,197)

(287,448)

51.4

215

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.27%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

01/13/2025

-

04/01/2027

$854,596,577

$(5,901,420)

$(2,022,661)

$(7,924,081)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Kingdom

Liberty

Global

plc

169,077

4,380,785

158,932

(2.0)

United

States

Alaska

Air

Group,

Inc.

66,862

3,878,665

627,166

(7.9)

Archer-Daniels-Midland

Co.

50,941

4,597,935

431,980

(5.5)

Arrow

Electronics,

Inc.

34,587

4,103,056

15,218

(0.2)

Bio-Rad

Laboratories,

Inc.

8,219

4,629,187

73,642

(0.9)

Brighthouse

Financial,

Inc.

66,529

3,436,888

326,657

(4.1)

Cracker

Barrel

Old

Country

Store,

Inc.

30,526

3,624,352

90,526

(1.1)

Essential

Utilities,

Inc.

77,175

3,945,958

331,081

(4.2)

Greif,

Inc.

53,456

3,477,847

368,312

(4.6)

International

Paper

Co.

98,416

4,541,898

391,696

(4.9)

Jabil,

Inc.

66,738

4,119,737

405,100

(5.1)

Knight-Swift

Transportation

Holdings,

Inc.

64,441

3,251,693

(96,662)

1.2

ManpowerGroup

,

Inc.

41,762

3,922,287

145,332

(1.8)

Molson

Coors

Beverage

Co.

100,625

5,371,362

90,563

(1.1)

National

Fuel

Gas

Co.

53,339

3,664,389

138,681

(1.8)

Nu

Skin

Enterprises,

Inc.

87,488

4,188,925

(1,447)

0.0

Organon

&

Co.

107,696

3,761,821

(164,775)

2.1

Pfizer,

Inc.

101,038

5,230,737

305,135

(3.9)

Regeneron

Pharmaceuticals,

Inc.

5,278

3,686,261

395,797

(5.0)

Ryder

System,

Inc.

40,533

3,215,483

(11,349)

0.1

Schneider

National,

Inc.

148,596

3,789,198

(26,747)

0.3

Texas

Roadhouse,

Inc.

41,856

3,504,603

231,045

(2.9)

Tyson

Foods,

Inc.

39,047

3,499,783

(39,437)

0.5

UGI

Corp.

131,888

4,776,983

195,194

(2.5)

Vishay

Intertechnology

,

Inc.

165,433

3,242,487

172,050

(2.2)

Werner

Enterprises,

Inc.

100,308

4,112,628

(197,607)

2.5

Westrock

Co.

102,027

4,798,330

463,203

(5.8)

216

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

10X

Genomics,

Inc.

(57,723)

(4,390,989)

(322,672)

4.1

American

Airlines

Group,

Inc.

(237,231)

(4,329,466)

(937,062)

11.8

Aptiv

plc

(28,455)

(3,406,348)

(429,671)

5.4

Atmos

Energy

Corp.

(30,574)

(3,653,287)

(223,496)

2.8

Ball

Corp.

(65,269)

(5,874,210)

(234,316)

3.0

Black

Hills

Corp.

(44,673)

(3,440,714)

(298,862)

3.8

Cable

One,

Inc.

(2,436)

(3,566,889)

(3,094)

0.0

CenterPoint

Energy,

Inc.

(132,803)

(4,069,084)

(300,135)

3.8

Crown

Holdings,

Inc.

(28,914)

(3,616,852)

(182,447)

2.3

Dominion

Energy,

Inc.

(50,548)

(4,295,064)

(200,676)

2.5

Freshpet

,

Inc.

(34,087)

(3,498,690)

682

(0.0)

Iridium

Communications,

Inc.

(92,171)

(3,716,335)

(9,217)

0.1

Liberty

Broadband

Corp.

(30,630)

(4,144,852)

64,017

(0.8)

Lyft,

Inc.

(92,676)

(3,558,758)

(55,606)

0.7

Madison

Square

Garden

Sports

Corp.

(21,620)

(3,877,763)

(227,010)

2.9

NextEra

Energy,

Inc.

(40,075)

(3,394,753)

(175,929)

2.2

Norwegian

Cruise

Line

Holdings

Ltd.

(172,775)

(3,780,317)

(789,582)

10.0

ONE

Gas,

Inc.

(48,386)

(4,269,581)

(212,898)

2.7

QuantumScape

Corp.

(200,253)

(4,003,057)

(797,007)

10.1

Royal

Caribbean

Cruises

Ltd.

(46,405)

(3,887,811)

(729,487)

9.2

Tesla,

Inc.

(4,122)

(4,441,867)

(901,193)

11.4

Uber

Technologies,

Inc.

(120,252)

(4,290,591)

(502,653)

6.3

Visteon

Corp.

(29,475)

(3,216,607)

(57,399)

0.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.10%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-60

months

maturity

ranging

from

04/20/2026

-

02/11/2027

$18,404,069

$(440,810)

$44,690

$(396,120)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Luxembourg

Reinet

Investments

SCA

34,886

782,497

108,701

(27.4)

South

Africa

Absa

Group

Ltd.

17,849

231,437

27,485

(6.9)

African

Rainbow

Minerals

Ltd.

39,662

776,683

38,415

(9.7)

Aspen

Pharmacare

Holdings

Ltd.

82,157

1,116,773

83,116

(21.0)

Exxaro

Resources

Ltd.

83,252

1,258,752

94,916

(24.0)

217

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Africa

(continued)

Impala

Platinum

Holdings

Ltd.

60,762

935,267

(123,498)

31.2

Kumba

Iron

Ore

Ltd.

18,809

835,505

63,313

(16.0)

Mr

Price

Group

Ltd.

2,351

34,712

2,746

(0.7)

MTN

Group

Ltd.

2,981

38,572

(624)

0.2

MultiChoice

Group

135,213

1,218,930

95,289

(24.1)

Pepkor

Holdings

Ltd.

59,072

93,788

12,211

(3.1)

Shoprite

Holdings

Ltd.

67,973

1,097,125

13,290

(3.4)

Sibanye

Stillwater

Ltd.

328,119

1,319,358

(186,914)

47.2

SPAR

Group

Ltd.

(The)

17,171

199,424

14,601

(3.7)

Standard

Bank

Group

Ltd.

1,012

12,573

1,680

(0.4)

Tiger

Brands

Ltd.

4,996

55,353

3,031

(0.8)

Woolworths

Holdings

Ltd.

30,890

121,694

4,263

(1.1)

Short

Positions

Common

Stocks

South

Africa

Anglo

American

Platinum

Ltd.

(18)

(2,472)

221

(0.1)

Bidvest

Group

Ltd.

(The)

(32,196)

(492,882)

(16,613)

4.2

Capitec

Bank

Holdings

Ltd.

(12,084)

(1,924,501)

(252,507)

63.7

Clicks

Group

Ltd.

(32,115)

(679,223)

(22,704)

5.7

Discovery

Ltd.

(143,922)

(1,792,792)

(280,570)

70.8

FirstRand

Ltd.

(92,662)

(489,085)

(75,734)

19.1

Naspers

Ltd.

(4,204)

(474,809)

44,524

(11.2)

Nedbank

Group

Ltd.

(15,001)

(238,287)

(15,079)

3.8

Northam

Platinum

Holdings

Ltd.

(29,658)

(442,622)

61,285

(15.5)

Old

Mutual

Ltd.

(200,085)

(188,279)

(14,762)

3.7

Rand

Merchant

Investment

Holdings

Ltd.

(19,836)

(70,846)

(7,856)

2.0

Sanlam

Ltd.

(140,372)

(691,055)

(105,689)

26.7

Sasol

Ltd.

(28,281)

(683,723)

(1,888)

0.5

Vodacom

Group

Ltd.

(9,594)

(105,050)

(5,459)

1.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-2.07%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

02/25/2025

-

03/22/2027

$160,817,421

$(1,290,408)

$53,274

$(1,237,134)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

218

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

ARC

Resources

Ltd.

280,279

3,753,046

335,815

(27.1)

Atco

Ltd.

70,500

2,420,961

31,813

(2.6)

Bank

of

Montreal

19,199

2,259,221

(71,189)

5.8

Bank

of

Nova

Scotia

(The)

34,878

2,499,755

(86,507)

7.0

Canadian

Imperial

Bank

of

Commerce

19,781

2,401,125

(164,377)

13.3

Canadian

Natural

Resources

Ltd.

30,037

1,859,908

(6,630)

0.5

Canadian

Tire

Corp.

Ltd.

19,031

2,873,488

(33,457)

2.7

Capital

Power

Corp.

80,304

2,615,027

(47,989)

3.9

CI

Financial

Corp.

114,363

1,816,781

(58,102)

4.7

Empire

Co.

Ltd.

52,756

1,871,136

35,505

(2.9)

Fairfax

Financial

Holdings

Ltd.

6,003

3,274,988

323,655

(26.2)

Finning

International,

Inc.

63,680

1,917,302

(57,634)

4.7

Imperial

Oil

Ltd.

49,453

2,393,238

231,936

(18.7)

Magna

International,

Inc.

29,966

1,923,826

68,045

(5.5)

Manulife

Financial

Corp.

110,826

2,363,413

78,759

(6.4)

National

Bank

of

Canada

25,996

1,992,718

(86,000)

7.0

Nutrien

Ltd.

16,475

1,702,915

68,029

(5.5)

Onex

Corp.

32,770

2,196,113

(47,538)

3.8

Suncor

Energy,

Inc.

74,082

2,411,820

80,221

(6.5)

TFI

International,

Inc.

21,764

2,318,023

24,349

(2.0)

Tourmaline

Oil

Corp.

67,811

3,124,356

330,955

(26.8)

West

Fraser

Timber

Co.

Ltd.

63,300

5,208,205

(977,565)

79.0

Whitecap

Resources,

Inc.

205,942

1,703,348

19,423

(1.6)

Chile

Lundin

Mining

Corp.

201,993

2,047,155

52,720

(4.3)

United

States

BRP,

Inc.

20,178

1,652,138

218,102

(17.6)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(34,666)

(1,648,517)

23,292

(1.9)

Canada

Agnico

Eagle

Mines

Ltd.

(36,604)

(2,239,896)

18,286

(1.5)

Air

Canada

(150,695)

(2,923,132)

(132,178)

10.7

Algonquin

Power

&

Utilities

Corp.

(351,342)

(5,449,363)

(89,789)

7.3

Ballard

Power

Systems,

Inc.

(300,631)

(3,498,925)

1,513

(0.1)

BCE,

Inc.

(30,037)

(1,665,051)

(27,471)

2.2

Boralex

,

Inc.

(70,610)

(2,288,619)

(87,938)

7.1

Brookfield

Asset

Management,

Inc.

(28,425)

(1,607,070)

(15,153)

1.2

CAE,

Inc.

(95,434)

(2,484,040)

(149,514)

12.1

Cameco

Corp.

(116,747)

(3,400,199)

(201,215)

16.3

Canadian

Utilities

Ltd.

(51,038)

(1,564,433)

(61,209)

4.9

Dollarama

,

Inc.

(26,555)

(1,506,019)

(9,110)

0.7

Element

Fleet

Management

Corp.

(179,053)

(1,733,025)

86,714

(7.0)

Emera

,

Inc.

(43,533)

(2,157,933)

(65,089)

5.3

Enbridge,

Inc.

(48,323)

(2,224,524)

(41,780)

3.4

Franco-Nevada

Corp.

(11,484)

(1,827,482)

(12,867)

1.0

GFL

Environmental,

Inc.

(99,461)

(3,234,879)

(229,587)

18.6

Innergex

Renewable

Energy,

Inc.

(152,055)

(2,417,993)

(23,416)

1.9

Pembina

Pipeline

Corp.

(59,770)

(2,245,648)

(59,931)

4.8

Ritchie

Bros

Auctioneers,

Inc.

(28,349)

(1,674,431)

46,947

(3.8)

Rogers

Communications,

Inc.

(49,654)

(2,810,476)

(110,513)

8.9

Shopify,

Inc.

(4,042)

(2,733,584)

(53,024)

4.3

219

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

TC

Energy

Corp.

(39,152)

(2,208,221)

(50,064)

4.0

WSP

Global,

Inc.

(25,661)

(3,405,525)

67,918

(5.5)

United

States

Brookfield

Renewable

Corp.

(61,818)

(2,699,886)

(2,141)

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-2.05%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

01/22/2025

-

03/22/2027

$171,985,183

$(3,592,828)

$(3,554,150)

$(7,146,978)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

34,772

2,779,902

224,638

(3.1)

Italy

Coca-Cola

HBC

AG

215,440

4,493,200

(340,108)

4.8

Netherlands

Shell

plc

99,181

2,718,424

149,740

(2.1)

South

Africa

Anglo

American

plc

51,824

2,692,898

206,438

(2.9)

United

Kingdom

ASOS

plc

69,901

1,470,621

(98,292)

1.4

Aviva

plc

243,484

1,440,674

78,674

(1.1)

BAE

Systems

plc

258,858

2,431,053

(27,893)

0.4

BP

plc

597,660

2,929,958

41,472

(0.6)

British

American

Tobacco

plc

65,426

2,747,710

58,995

(0.8)

Britvic

plc

134,333

1,424,085

3,397

(0.0)

BT

Group

plc

1,447,731

3,451,840

27,504

(0.4)

Centrica

plc

4,214,504

4,408,593

68,902

(1.0)

DCC

plc

51,315

3,973,528

8,336

(0.1)

DS

Smith

plc

833,027

3,503,475

(177,231)

2.5

Imperial

Brands

plc

96,754

2,038,098

17,822

(0.2)

Inchcape

plc

212,479

1,859,230

(124,989)

1.7

Kingfisher

plc

831,066

2,773,805

(341,144)

4.8

Lloyds

Banking

Group

plc

2,440,396

1,486,122

(52,369)

0.7

Marks

&

Spencer

Group

plc

849,962

1,715,530

(100,945)

1.4

Melrose

Industries

plc

897,283

1,455,519

(106,678)

1.5

Persimmon

plc

50,011

1,402,377

(93,391)

1.3

Royal

Mail

plc

1,004,749

4,317,054

(481,865)

6.7

Tate

&

Lyle

plc

168,257

1,612,932

5,433

(0.1)

Travis

Perkins

plc

158,826

2,561,192

(249,664)

3.5

220

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Vodafone

Group

plc

1,754,528

2,877,050

(32,414)

0.5

Short

Positions

Common

Stocks

United

Kingdom

AstraZeneca

plc

(24,258)

(3,216,927)

(170,309)

2.4

AVEVA

Group

plc

(39,534)

(1,262,742)

64,359

(0.9)

Croda

International

plc

(19,820)

(2,038,918)

(109,692)

1.5

Dechra

Pharmaceuticals

plc

(28,981)

(1,538,662)

68,418

(1.0)

Diageo

plc

(58,570)

(2,970,939)

(130,306)

1.8

Electrocomponents

plc

(109,955)

(1,552,924)

(75,429)

1.1

Experian

plc

(47,853)

(1,843,567)

65,834

(0.9)

Halma

plc

(83,068)

(2,717,745)

10,655

(0.1)

Hargreaves

Lansdown

plc

(150,764)

(1,987,193)

108,342

(1.5)

Informa

plc

(453,395)

(3,552,358)

5,893

(0.1)

InterContinental

Hotels

Group

plc

(26,147)

(1,768,443)

16,925

(0.2)

National

Grid

plc

(294,747)

(4,529,736)

(119,853)

1.7

Ocado

Group

plc

(136,917)

(2,090,672)

(102,822)

1.4

Prudential

plc

(336,193)

(4,963,309)

(229,892)

3.2

Reckitt

Benckiser

Group

plc

(79,745)

(6,083,424)

7,282

(0.1)

RELX

plc

(66,487)

(2,068,926)

(67,889)

0.9

Rentokil

Initial

plc

(554,267)

(3,818,057)

(121,514)

1.7

Rolls-Royce

Holdings

plc

(2,652,951)

(3,488,624)

(208,578)

2.9

Severn

Trent

plc

(38,028)

(1,532,691)

(68,877)

1.0

Smiths

Group

plc

(67,243)

(1,273,984)

37,328

(0.5)

Spirax-Sarco

Engineering

plc

(8,874)

(1,450,728)

49,881

(0.7)

St

James's

Place

plc

(87,216)

(1,644,318)

26,295

(0.4)

Weir

Group

plc

(The)

(85,240)

(1,819,013)

256,065

(3.6)

Whitbread

plc

(47,054)

(1,751,992)

(23,448)

0.3

United

States

Ferguson

plc

(12,476)

(1,690,247)

105,364

(1.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-1.00%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-58

months

maturity

ranging

from

02/25/2025

-

12/14/2026

$22,658,595

$508,863

$(7,988)

$500,875

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

221

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

351,000

1,215,592

21,628

4.3

Yangzijiang

Shipbuilding

Holdings

Ltd.

4,606,700

5,173,442

577,028

115.2

Singapore

DBS

Group

Holdings

Ltd.

43,700

1,145,037

25,413

5.1

Genting

Singapore

Ltd.

3,812,600

2,278,746

112,372

22.4

Oversea-Chinese

Banking

Corp.

Ltd.

131,600

1,193,856

15,007

3.0

Singapore

Airlines

Ltd.

167,700

675,862

32,354

6.5

United

Overseas

Bank

Ltd.

54,400

1,272,851

(15,636)

(3.1)

Venture

Corp.

Ltd.

102,100

1,315,768

58,328

11.6

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(471,700)

(2,726,766)

(171,942)

(34.3)

Keppel

Corp.

Ltd.

(236,600)

(1,115,627)

(35,052)

(7.0)

SATS

Ltd.

(62,700)

(199,840)

(15,670)

(3.1)

Singapore

Technologies

Engineering

Ltd.

(351,900)

(1,065,923)

(19,541)

(3.9)

Singapore

Telecommunications

Ltd.

(1,626,700)

(3,158,644)

(73,922)

(14.8)

UOL

Group

Ltd.

(23,300)

(120,641)

(1,504)

(0.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-3.85%

to

0.45%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

ranging

from

04/18/2022

-

03/22/2024

$78,363,030

$(581,590)

$714,056

$132,466

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Korea

CJ

Corp.

9,496

656,851

5,474

4.1

CJ

ENM

Co.

Ltd.

12,791

1,376,905

(3,211)

(2.4)

DB

Insurance

Co.

Ltd.

12,358

711,593

27,150

20.5

Doosan

Bobcat,

Inc.

21,051

669,006

(19,308)

(14.6)

E-MART,

Inc.

16,726

1,931,725

24,103

18.2

Hana

Financial

Group,

Inc.

30,683

1,220,360

(22,065)

(16.7)

Hankook

Tire

&

Technology

Co.

Ltd.

44,855

1,238,443

(16,577)

(12.5)

HMM

Co.

Ltd.

56,751

1,351,898

(54,363)

(41.0)

Hyundai

Engineering

&

Construction

Co.

Ltd.

25,663

1,004,685

(1,831)

(1.4)

222

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

(continued)

Hyundai

Glovis

Co.

Ltd.

6,721

1,059,769

31,283

23.6

Hyundai

Mobis

Co.

Ltd.

5,676

1,000,398

20,051

15.1

Industrial

Bank

of

Korea

115,013

1,022,054

(6,575)

(5.0)

Kia

Corp.

31,698

1,919,890

57,673

43.5

Korea

Investment

Holdings

Co.

Ltd.

12,808

822,836

20,990

15.8

Korea

Zinc

Co.

Ltd.

1,742

838,514

(7,651)

(5.8)

Kumho

Petrochemical

Co.

Ltd.

16,324

2,068,829

(20,643)

(15.6)

LG

Corp.

14,214

892,613

27,236

20.6

LG

Display

Co.

Ltd.

59,070

995,751

(260)

(0.2)

LG

Electronics,

Inc.

12,335

1,213,312

(6,271)

(4.7)

Lotte

Chemical

Corp.

7,834

1,344,554

62,189

46.9

Lotte

Shopping

Co.

Ltd.

11,838

929,641

6,884

5.2

NH

Investment

&

Securities

Co.

Ltd.

96,960

906,629

3,658

2.8

POSCO

Holdings,

Inc.

9,025

2,164,860

(52,976)

(40.0)

Samsung

Life

Insurance

Co.

Ltd.

28,510

1,543,918

56,135

42.4

Samsung

SDS

Co.

Ltd.

6,721

762,501

42,837

32.3

Samsung

Securities

Co.

Ltd.

21,158

726,570

2,641

2.0

Shinhan

Financial

Group

Co.

Ltd.

24,460

830,875

26,079

19.7

SK

Telecom

Co.

Ltd.

28,103

1,314,047

(308)

(0.2)

Woori

Financial

Group,

Inc.

248,004

3,108,409

35,703

27.0

Short

Positions

Common

Stocks

South

Korea

Alteogen

,

Inc.

(23,356)

(1,078,771)

11,655

8.8

Celltrion

Healthcare

Co.

Ltd.

(30,952)

(1,648,748)

(41,024)

(31.0)

Ecopro

BM

Co.

Ltd.

(3,481)

(1,124,947)

(25,022)

(18.9)

HYBE

Co.

Ltd.

(4,161)

(1,051,585)

(23,925)

(18.1)

Hyundai

Motor

Co.

(9,881)

(1,457,852)

(47,150)

(35.6)

Iljin

Materials

Co.

Ltd.

(19,548)

(1,540,567)

(108,250)

(81.7)

Kakao

Corp.

(15,585)

(1,354,626)

(11,918)

(9.0)

KB

Financial

Group,

Inc.

(16,314)

(817,558)

(2,360)

(1.8)

Korea

Aerospace

Industries

Ltd.

(24,614)

(854,032)

22,479

17.0

L&F

Co.

Ltd.

(12,788)

(2,353,285)

(249,495)

(188.3)

LG

Chem

Ltd.

(4,222)

(1,844,873)

(22,701)

(17.1)

LG

Household

&

Health

Care

Ltd.

(1,429)

(1,008,034)

8,535

6.4

NAVER

Corp.

(4,052)

(1,126,168)

(19,037)

(14.4)

Pearl

Abyss

Corp.

(13,078)

(1,063,339)

66,601

50.3

POSCO

Chemical

Co.

Ltd.

(31,256)

(3,072,888)

(59,489)

(44.9)

Samsung

Biologics

Co.

Ltd.

(2,035)

(1,382,736)

(15,216)

(11.5)

Samsung

Heavy

Industries

Co.

Ltd.

(311,272)

(1,449,405)

3,836

2.9

Samsung

SDI

Co.

Ltd.

(3,130)

(1,523,339)

(133,940)

(101.1)

SK

Innovation

Co.

Ltd.

(13,752)

(2,412,472)

(124,372)

(93.9)

SK,

Inc.

(6,793)

(1,346,157)

(8,458)

(6.4)

SKC

Co.

Ltd.

(14,711)

(1,849,727)

(99,495)

(75.1)

223

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-52

months

maturity

05/18/2022

$70,630,748

$(377,281)

$(125,578)

$(502,859)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

-OSRAM

AG

104,933

1,606,210

77,016

(15.3)

Switzerland

Adecco

Group

AG

(Registered)

89,295

4,050,561

(87,116)

17.3

Baloise

Holding

AG

(Registered)

5,390

962,636

32,534

(6.5)

BKW

AG

14,065

1,761,674

46,331

(9.2)

Bucher

Industries

AG

(Registered)

2,158

872,284

(11,766)

2.3

Cie

Financiere

Richemont

SA

6,865

870,172

(3,144)

0.6

Credit

Suisse

Group

AG

(Registered)

105,723

832,264

(23,222)

4.6

DKSH

Holding

AG

16,887

1,422,259

(28,889)

5.7

dormakaba

Holding

AG

1,787

916,583

(43,135)

8.6

Flughafen

Zurich

AG

(Registered)

8,971

1,610,177

35,083

(7.0)

Georg

Fischer

AG

(Registered)

449

536,495

(18,495)

3.7

Helvetia

Holding

AG

(Registered)

8,029

1,048,201

13,173

(2.6)

Holcim

Ltd.

3,632

176,649

(6,127)

1.2

Julius

Baer

Group

Ltd.

10,445

604,708

12,120

(2.4)

Kuehne

+

Nagel

International

AG

(Registered)

6,345

1,801,531

(180,065)

35.8

Novartis

AG

(Registered)

17,563

1,541,883

9,626

(1.9)

OC

Oerlikon

Corp.

AG

(Registered)

44,227

352,443

(8,269)

1.6

Roche

Holding

AG

3,325

1,315,576

6,887

(1.4)

SGS

SA

(Registered)

179

497,646

(18,879)

3.8

Sonova

Holding

AG

(Registered)

1,488

621,595

51,571

(10.3)

Sulzer

AG

(Registered)

8,836

733,969

(5,432)

1.1

Swatch

Group

AG

(The)

11,211

3,178,587

57,509

(11.4)

Swiss

Life

Holding

AG

(Registered)

244

156,357

2,421

(0.5)

Swisscom

AG

(Registered)

3,730

2,241,008

(5,311)

1.1

Tecan

Group

AG

(Registered)

4,361

1,724,079

139,972

(27.8)

UBS

Group

AG

(Registered)

88,702

1,733,353

93,241

(18.5)

Zurich

Insurance

Group

AG

910

449,449

14,973

(3.0)

224

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

Alcon,

Inc.

(6,215)

(492,389)

(10,171)

2.0

Bachem

Holding

AG

(Registered)

(4,375)

(2,407,749)

265,772

(52.9)

Banque

Cantonale

Vaudoise

(Registered)

(11,252)

(973,511)

(53,779)

10.7

Barry

Callebaut

AG

(Registered)

(280)

(656,447)

(9,083)

1.8

Belimo

Holding

AG

(Registered)

(3,544)

(1,876,973)

(76,768)

15.3

Chocoladefabriken

Lindt

&

Spruengli

AG

(174)

(2,070,934)

(99,441)

19.8

Clariant

AG

(Registered)

(28,817)

(500,062)

8,632

(1.7)

Dufry

AG

(Registered)

(77,322)

(3,253,535)

(118,934)

23.7

EMS-

Chemie

Holding

AG

(Registered)

(1,705)

(1,656,927)

(39,766)

7.9

Geberit

AG

(Registered)

(2,602)

(1,604,020)

56,732

(11.3)

Givaudan

SA

(Registered)

(563)

(2,326,843)

(14,162)

2.8

Idorsia

Ltd.

(142,031)

(2,837,276)

(177,915)

35.4

Logitech

International

SA

(Registered)

(32,994)

(2,452,514)

(17,450)

3.5

Lonza

Group

AG

(Registered)

(1,961)

(1,420,948)

(12,888)

2.6

Nestle

SA

(Registered)

(11,065)

(1,438,657)

(14,634)

2.9

Partners

Group

Holding

AG

(1,032)

(1,277,825)

60,309

(12.0)

Schindler

Holding

AG

(2,945)

(631,026)

32,132

(6.4)

SIG

Combibloc

Group

AG

(206,822)

(5,213,956)

(268,279)

53.4

Sika

AG

(Registered)

(4,348)

(1,438,553)

21,515

(4.3)

Straumann

Holding

AG

(Registered)

(282)

(450,266)

(19,817)

3.9

Temenos

AG

(Registered)

(3,223)

(310,020)

2,454

(0.5)

VAT

Group

AG

(3,799)

(1,446,428)

(40,417)

8.0

United

States

Swiss

Re

AG

(1,920)

(182,772)

(4,678)

0.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.66%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

02/21/2024

$39,404,447

$(1,451,179)

$(1,895,799)

$(3,346,978)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

2,168

6,514,761

(963,233)

28.8

Carlsberg

A/S

23,735

2,913,744

190,921

(5.7)

Demant

A/S

5,980

270,624

37,565

(1.1)

GN

Store

Nord

A/S

4,313

211,408

7,299

(0.2)

H

Lundbeck

A/S

68,357

1,575,016

(40,774)

1.2

225

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

ISS

A/S

152,718

2,714,037

100,590

(3.0)

Jyske

Bank

A/S

(Registered)

3,843

208,885

16,911

(0.5)

Novo

Nordisk

A/S

7,223

801,147

12,908

(0.4)

Pandora

A/S

11,723

1,116,784

88,028

(2.6)

ROCKWOOL

International

A/S

1,668

550,623

(7,137)

0.2

Royal

Unibrew

A/S

5,522

515,896

12,263

(0.4)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(45,872)

(675,289)

(36,797)

1.1

Chr

Hansen

Holding

A/S

(26,973)

(1,980,546)

(100,343)

3.0

Coloplast

A/S

(1,885)

(285,462)

(24,557)

0.7

Danske

Bank

A/S

(17,744)

(295,173)

(2,885)

0.1

DSV

A/S

(13,978)

(2,678,962)

(30,248)

0.9

Genmab

A/S

(5,063)

(1,828,518)

(134,422)

4.0

Novozymes

A/S

(26,658)

(1,827,784)

(225,327)

6.7

Orsted

A/S

(41,255)

(5,163,951)

(77,151)

2.3

SimCorp

A/S

(6,349)

(465,576)

24,715

(0.7)

Tryg

A/S

(142,678)

(3,469,172)

(301,534)

9.0

Vestas

Wind

Systems

A/S

(113,895)

(3,341,089)

2,029

(0.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-61

months

maturity

11/11/2022

$352,475,906

$(3,413,330)

$618,074

$(2,795,256)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Proximus

SADP

184,622

3,437,917

(74,574)

2.7

Finland

Nokia

OYJ

562,527

3,097,849

93,364

(3.3)

France

AXA

SA

81,785

2,394,201

77,392

(2.8)

Bouygues

SA

121,639

4,245,697

(188,715)

6.8

Carrefour

SA

119,435

2,599,153

210,741

(7.5)

Cie

de

Saint-Gobain

88,666

5,275,662

(412,722)

14.8

Electricite

de

France

SA

560,231

5,258,438

(507,929)

18.2

Engie

SA

344,775

4,532,758

(70,782)

2.5

226

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Orange

SA

318,307

3,769,169

8,347

(0.3)

Rexel

SA

138,463

2,955,884

(66,597)

2.4

Rubis

SCA

99,899

2,936,319

(28,322)

1.0

TotalEnergies

SE

77,039

3,898,139

(23,138)

0.8

Germany

Covestro

AG

49,833

2,509,361

(104,681)

3.7

Deutsche

Bank

AG

(Registered)

217,191

2,735,346

115,826

(4.1)

Deutsche

Post

AG

(Registered)

53,148

2,537,917

(192,111)

6.9

ProSiebenSat.1

Media

SE

300,690

3,830,101

(270,603)

9.7

Netherlands

Aegon

NV

454,626

2,410,033

243,598

(8.7)

ASR

Nederland

NV

108,423

5,061,828

107,699

(3.9)

Koninklijke

Ahold

Delhaize

NV

146,513

4,712,666

59,184

(2.1)

NN

Group

NV

66,215

3,355,695

125,138

(4.5)

Randstad

NV

47,697

2,869,209

(230,306)

8.2

Signify

NV

87,757

4,082,227

(242,471)

8.7

Spain

Acerinox

SA

284,545

3,116,699

(79,412)

2.8

Mapfre

SA

1,327,235

2,776,055

52,547

(1.9)

Repsol

SA

470,940

6,168,938

181,164

(6.5)

Telefonica

SA

760,633

3,686,225

160,366

(5.7)

Short

Positions

Common

Stocks

China

Prosus

NV

(59,209)

(3,193,014)

157,507

(5.6)

Finland

Elisa

OYJ

(65,660)

(3,959,741)

(170,198)

6.1

France

Accor

SA

(80,387)

(2,590,011)

(73,544)

2.6

Aeroports

de

Paris

(19,322)

(2,889,377)

(172,744)

6.2

Airbus

SE

(20,247)

(2,443,175)

(40,911)

1.5

Alstom

SA

(109,090)

(2,552,585)

(21,317)

0.8

Dassault

Systemes

SE

(55,991)

(2,750,762)

(2,407)

0.1

Getlink

SE

(148,449)

(2,673,516)

(47,191)

1.7

Pernod

Ricard

SA

(17,514)

(3,848,021)

(211,030)

7.5

Remy

Cointreau

SA

(15,363)

(3,168,267)

(115,965)

4.1

Safran

SA

(35,693)

(4,202,334)

15,828

(0.6)

Sartorius

Stedim

Biotech

(15,029)

(6,153,093)

(255,270)

9.1

Germany

Deutsche

Lufthansa

AG

(Registered)

(400,843)

(3,232,591)

(111,965)

4.0

MTU

Aero

Engines

AG

(12,542)

(2,900,714)

60,234

(2.2)

RWE

AG

(89,762)

(3,908,464)

(198,715)

7.1

Sartorius

AG

(5,784)

(2,552,734)

(46,863)

1.7

Netherlands

Argenx

SE

(12,183)

(3,811,711)

(155,496)

5.6

IMCD

NV

(14,501)

(2,473,761)

(31,373)

1.1

Spain

Aena

SME

SA

(14,967)

(2,495,004)

(149,887)

5.4

Amadeus

IT

Group

SA

(67,722)

(4,403,156)

(247,659)

8.9

Cellnex

Telecom

SA

(166,343)

(8,005,158)

(73,735)

2.6

Ferrovial

SA

(246,747)

(6,562,203)

465,559

(16.7)

Naturgy

Energy

Group

SA

(128,752)

(3,857,342)

(379,210)

13.6

Siemens

Gamesa

Renewable

Energy

SA

(202,867)

(3,558,134)

428,103

(15.3)

227

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

02/21/2024

$20,803,776

$941,267

$921,845

$1,863,112

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

59,637

2,982,359

86,697

4.7

Norway

Equinor

ASA

103,516

3,864,942

525,389

28.2

Leroy

Seafood

Group

ASA

31,925

292,839

22,986

1.2

Norsk

Hydro

ASA

229,230

2,227,171

227,791

12.2

Orkla

ASA

35,793

318,003

2,394

0.1

United

Kingdom

Subsea

7

SA

143,775

1,335,786

140,591

7.5

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(12,488)

(837,613)

(30,772)

(1.7)

France

Adevinta

ASA

(38,408)

(350,634)

23,393

1.3

Norway

Gjensidige

Forsikring

ASA

(34,221)

(848,585)

(8,358)

(0.4)

Mowi

ASA

(18,347)

(494,193)

(28,741)

(1.5)

Salmar

ASA

(15,362)

(1,214,353)

(76,049)

(4.1)

Schibsted

ASA

(101,392)

(2,499,059)

237,752

12.8

Telenor

ASA

(23,116)

(331,704)

11,787

0.6

TOMRA

Systems

ASA

(62,856)

(3,206,535)

(193,593)

(10.4)

228

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-24

months

maturity

02/21/2024

$68,911,388

$(2,289,130)

$(1,178,253)

$(3,467,383)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

51,372

1,304,179

88,211

(2.5)

Finland

Nordea

Bank

Abp

7,436

76,531

(6,480)

0.2

Sweden

Axfood

AB

1,292

42,075

3,849

(0.1)

BillerudKorsnas

AB

167,380

2,480,400

187,310

(5.4)

Boliden

AB

42,197

2,128,637

224,522

(6.5)

Electrolux

AB

139,519

2,111,272

(272,719)

7.9

Elekta

AB

123,468

972,417

9

(0.0)

Essity

AB

144,575

3,411,830

(124,009)

3.6

Getinge

AB

50,271

2,002,745

143,764

(4.1)

H

&

M

Hennes

&

Mauritz

AB

81,041

1,088,190

(139,341)

4.0

Husqvarna

AB

71,792

748,915

(90,051)

2.6

Saab

AB

76,053

2,747,009

(147,938)

4.3

Securitas

AB

375,952

4,241,236

(248,261)

7.2

Skanska

AB

16,956

379,343

(29,177)

0.8

SKF

AB

76,308

1,244,275

(83,383)

2.4

SSAB

AB

281,048

1,871,376

148,323

(4.3)

SSAB

AB

139,467

969,064

42,568

(1.2)

Svenska

Handelsbanken

AB

41,153

378,420

(24,371)

0.7

Swedbank

AB

31,152

465,275

(13,879)

0.4

Swedish

Orphan

Biovitrum

AB

25,692

608,224

76,845

(2.2)

Telefonaktiebolaget

LM

Ericsson

270,857

2,469,009

68,535

(2.0)

Telia

Co.

AB

462,954

1,856,312

55,837

(1.6)

Trelleborg

AB

35,986

833,162

129,580

(3.7)

Volvo

AB

28,809

537,442

4,248

(0.1)

Short

Positions

Common

Stocks

Sweden

AAK

AB

(38,846)

(719,924)

(42,490)

1.2

Alfa

Laval

AB

(20,368)

(700,607)

(24,778)

0.7

Assa

Abloy

AB

(65,826)

(1,769,376)

(27,820)

0.8

Atlas

Copco

AB

(18,488)

(959,638)

12,336

(0.4)

Beijer

Ref

AB

(98,605)

(1,785,882)

(207,958)

6.0

Embracer

Group

AB

(38,688)

(322,935)

(28,492)

0.8

229

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Epiroc

AB

(57,123)

(1,221,796)

40,601

(1.2)

EQT

AB

(97,781)

(3,813,294)

(766,682)

22.1

Evolution

AB

(8,295)

(843,886)

7,694

(0.2)

Hexagon

AB

(134,614)

(1,886,050)

(113,134)

3.3

Holmen

AB

(42,917)

(2,395,564)

(55,052)

1.6

Indutrade

AB

(28,549)

(717,984)

(100,295)

2.9

Lifco

AB

(108,078)

(2,743,625)

(244,531)

7.1

Nibe

Industrier

AB

(385,825)

(4,276,699)

(380,061)

11.0

Sandvik

AB

(5,418)

(115,094)

7,175

(0.2)

Sinch

AB

(15,555)

(105,501)

21,688

(0.6)

Svenska

Cellulosa

AB

SCA

(169,081)

(3,283,161)

(133,961)

3.9

Sweco

AB

(71,972)

(1,046,376)

(27,078)

0.8

Swedish

Match

AB

(422,519)

(3,177,357)

(44,065)

1.3

Tele2

AB

(136,235)

(2,059,301)

(176,219)

5.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-6.25%

to

0.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-24

months

maturity

ranging

from

04/19/2023

-

04/20/2023

$58,498,088

$(1,358,012)

$(51,910)

$(1,409,922)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Banco

do

Brasil

SA

260,500

1,898,604

151,040

(10.7)

Braskem

SA

120,200

1,118,421

12,721

(0.9)

Cia

Siderurgica

Nacional

SA

143,400

784,008

49,485

(3.5)

Petroleo

Brasileiro

SA

227,900

1,601,171

240,631

(17.1)

TIM

SA

505,600

1,464,430

111,172

(7.9)

Via

S/A

1,078,100

944,262

207,220

(14.7)

Vibra

Energia

SA

155,100

761,647

73,127

(5.2)

Taiwan

ASE

Technology

Holding

Co.

Ltd.

197,000

702,003

(21,559)

1.5

AU

Optronics

Corp.

2,572,000

1,754,249

(185,296)

13.1

Catcher

Technology

Co.

Ltd.

281,000

1,409,732

(56,161)

4.0

Cathay

Financial

Holding

Co.

Ltd.

287,000

640,624

(2,055)

0.1

Compal

Electronics,

Inc.

427,000

397,764

(8,356)

0.6

Evergreen

Marine

Corp.

Taiwan

Ltd.

70,000

325,371

(38,552)

2.7

Far

EasTone

Telecommunications

Co.

Ltd.

141,000

361,280

(6,491)

0.5

Formosa

Chemicals

&

Fibre

Corp.

139,000

381,509

(15,085)

1.1

Formosa

Plastics

Corp.

104,000

384,650

(10,259)

0.7

Hon

Hai

Precision

Industry

Co.

Ltd.

131,000

481,010

(2,472)

0.2

230

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Taiwan

(continued)

Innolux

Corp.

3,637,000

2,106,416

(171,801)

12.2

Nanya

Technology

Corp.

794,000

1,894,070

(196,691)

14.0

Novatek

Microelectronics

Corp.

48,000

705,778

(88,569)

6.3

Pegatron

Corp.

731,000

1,840,703

(50,394)

3.6

Pou

Chen

Corp.

818,000

895,508

(10,182)

0.7

Winbond

Electronics

Corp.

626,000

670,508

(104,793)

7.4

Yang

Ming

Marine

Transport

Corp.

225,000

964,609

(97,346)

6.9

United

States

JBS

SA

266,600

2,084,733

127,942

(9.1)

Short

Positions

Common

Stocks

Brazil

B3

SA

-

Brasil

Bolsa

Balcao

(393,000)

(1,296,779)

(212,256)

15.1

Banco

BTG

Pactual

SA

(228,300)

(1,248,660)

(109,169)

7.7

Banco

Inter

SA

(462,400)

(2,058,974)

(364,316)

25.8

Cosan

SA

(249,200)

(1,237,874)

(151,910)

10.8

Equatorial

Energia

SA

(64,206)

(366,945)

(32,458)

2.3

Localiza

Rent

a

Car

SA

(61,000)

(782,832)

(121,592)

8.6

Natura

&

Co.

Holding

SA

(115,900)

(634,145)

(62,359)

4.4

Rumo

SA

(202,700)

(789,760)

(122,532)

8.7

Suzano

SA

(119,000)

(1,378,446)

76,662

(5.4)

WEG

SA

(127,700)

(935,277)

(96,096)

6.8

China

Silergy

Corp.

(4,000)

(469,003)

(20,442)

1.4

Taiwan

Advantech

Co.

Ltd.

(113,000)

(1,447,939)

73,889

(5.2)

ASMedia

Technology,

Inc.

(20,000)

(1,336,236)

(26,750)

1.9

Chailease

Holding

Co.

Ltd.

(157,600)

(1,382,361)

(34,487)

2.4

China

Development

Financial

Holding

Corp.

(1,368,000)

(907,963)

(2,620)

0.2

China

Steel

Corp.

(490,000)

(660,638)

14,925

(1.1)

E.Sun

Financial

Holding

Co.

Ltd.

(2,184,318)

(2,506,080)

(110,757)

7.9

Formosa

Petrochemical

Corp.

(188,000)

(617,038)

23,440

(1.7)

Hotai

Motor

Co.

Ltd.

(16,000)

(331,694)

(2,371)

0.2

Mega

Financial

Holding

Co.

Ltd.

(552,000)

(824,249)

(39,691)

2.8

Oneness

Biotech

Co.

Ltd.

(108,000)

(805,622)

40,178

(2.8)

Quanta

Computer,

Inc.

(111,000)

(339,932)

24,037

(1.7)

Unimicron

Technology

Corp.

(89,000)

(758,587)

(46,373)

3.3

Win

Semiconductors

Corp.

(91,000)

(837,436)

120,066

(8.5)

Wiwynn

Corp.

(52,000)

(1,834,373)

29,427

(2.1)

231

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

78.0%

INVESTMENT

COMPANIES

-

31.1%

Limited

Purpose

Cash

Investment

Fund,

0.18%

(1)(a)

(Cost

$3,474,986)

3,476,813

3,475,074

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.9%

U.S.

Treasury

Bills

0.21%,

6/30/2022

(b)

$

4,397,000

4,391,380

0.37%,

7/21/2022

(b)

212,000

211,569

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

46.9%

(continued)

0.77%,

8/18/2022

(b)

$

482,000

480,431

1.06%,

9/29/2022

(b)

171,000

170,134

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$5,257,117)

5,253,514

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$8,732,103)

8,728,588

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

78.0%

(Cost

$8,732,103)

8,728,588

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

22.0%

(c)

2,459,858

NET

ASSETS

-

100.0%

11,188,446

(a)

Represents

7-day

effective

yield

as

of

March

31,

2022.

(b)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(c)

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.

Futures

contracts

outstanding

as

of

March

31,

2022:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

1

6/2022

USD

$

226,538

$

14,146

$

14,146

232

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2022:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

79,000

USD

57,361

CITI

6/15/2022

$

1,829

AUD

79,000

USD

57,361

JPMC

6/15/2022

1,829

CAD

123,504

USD

97,243

CITI

6/15/2022

1,530

CAD

123,496

USD

97,237

JPMC

6/15/2022

1,530

ILS

18,000

USD

5,586

CITI

6/15/2022

67

ILS

18,000

USD

5,586

JPMC

6/15/2022

67

NOK

48,000

USD

5,374

CITI

6/15/2022

76

NOK

48,000

USD

5,374

JPMC

6/15/2022

76

NZD

2,500

USD

1,669

CITI

6/15/2022

62

NZD

2,500

USD

1,669

JPMC

6/15/2022

62

SEK

136,751

USD

14,196

CITI

6/15/2022

375

SEK

136,749

USD

14,196

JPMC

6/15/2022

375

SGD

500

USD

369

CITI

6/15/2022

–

SGD

500

USD

369

JPMC

6/15/2022

–

USD

548

CHF

500

CITI

6/15/2022

6

USD

548

CHF

500

JPMC

6/15/2022

5

USD

9,011

EUR

8,000

CITI

6/15/2022

136

USD

9,011

EUR

8,000

JPMC

6/15/2022

136

USD

1,342

GBP

1,000

CITI

6/15/2022

28

USD

1,342

GBP

1,000

JPMC

6/15/2022

28

Total

unrealized

appreciation

8,217

CHF

74,000

USD

80,706

CITI

6/15/2022

(370)

CHF

74,000

USD

80,706

JPMC

6/15/2022

(370)

DKK

134,500

USD

20,522

CITI

6/15/2022

(463)

DKK

134,500

USD

20,522

JPMC

6/15/2022

(463)

EUR

231,005

USD

261,046

CITI

6/15/2022

(4,773)

EUR

230,995

USD

261,035

JPMC

6/15/2022

(4,773)

GBP

90,502

USD

121,312

CITI

6/15/2022

(2,459)

GBP

90,498

USD

121,307

JPMC

6/15/2022

(2,459)

HKD

176,500

USD

22,616

CITI

6/15/2022

(60)

HKD

176,500

USD

22,616

JPMC

6/15/2022

(60)

JPY

20,268,000

USD

176,254

CITI

6/15/2022

(9,443)

JPY

20,268,000

USD

176,254

JPMC

6/15/2022

(9,443)

NOK

2,000

USD

228

CITI

6/15/2022

(1)

NOK

2,000

USD

228

JPMC

6/15/2022

(1)

SEK

136,752

USD

14,657

CITI

6/15/2022

(85)

SEK

136,748

USD

14,657

JPMC

6/15/2022

(85)

SGD

86,500

USD

64,075

CITI

6/15/2022

(255)

SGD

86,500

USD

64,075

JPMC

6/15/2022

(255)

USD

1,639

SEK

15,500

CITI

6/15/2022

(13)

USD

1,639

SEK

15,500

JPMC

6/15/2022

(13)

USD

33,523

SGD

45,500

CITI

6/15/2022

(47)

USD

33,523

SGD

45,500

JPMC

6/15/2022

(47)

Total

unrealized

depreciation

(35,938)

Net

unrealized

depreciation

$

(27,721)

233

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2022

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.63%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

12/18/2026

-

03/26/2027

$9,664,092

$11,560

$24,611

$36,171

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Amada

Co.

Ltd.

6,800

59,783

7,881

21

.8

Fujitsu

Ltd.

500

74,913

9,441

26

.1

Japan

Post

Holdings

Co.

Ltd.

8,000

58,754

230

0

.6

Japan

Post

Insurance

Co.

Ltd.

3,400

59,212

5,439

15

.0

Kyocera

Corp.

1,100

61,555

6,831

18

.9

Mazda

Motor

Corp.

14,100

103,643

18,802

52

.0

Mitsubishi

Electric

Corp.

6,800

77,988

6,987

19

.3

Mizuho

Financial

Group,

Inc.

12,800

163,269

9,850

27

.2

NGK

Insulators

Ltd.

4,800

68,472

7,343

20

.3

Nikon

Corp.

5,400

57,661

9,580

26

.5

NIPPON

EXPRESS

HOLDINGS,

Inc.

1,300

89,311

7,645

21

.1

Nippon

Telegraph

&

Telephone

Corp.

3,000

87,162

4,165

11

.5

Nitto

Denko

Corp.

1,500

107,532

15,206

42

.0

Resona

Holdings,

Inc.

20,400

86,891

6,479

17

.9

Rohm

Co.

Ltd.

1,100

85,404

10,996

30

.4

SCREEN

Holdings

Co.

Ltd.

600

59,805

10,266

28

.4

Shimamura

Co.

Ltd.

1,000

88,879

3,995

11

.0

Sompo

Holdings,

Inc.

1,900

83,487

10,690

29

.6

Sumitomo

Heavy

Industries

Ltd.

2,700

61,873

3,586

9

.9

Taisei

Corp.

2,600

75,060

(187)

(0

.5)

Takeda

Pharmaceutical

Co.

Ltd.

2,600

74,080

4,003

11

.1

Yamada

Holdings

Co.

Ltd.

22,900

71,193

752

2

.1

Yamaha

Motor

Co.

Ltd.

2,800

62,758

10,697

29

.6

Yamato

Holdings

Co.

Ltd.

3,100

57,909

2,524

7

.0

Yamazaki

Baking

Co.

Ltd.

4,600

56,575

1,135

3

.1

234

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Asahi

Intecc

Co.

Ltd.

(3,800)

(74,133)

(2,458)

(6

.8)

Benefit

One,

Inc.

(2,800)

(58,764)

(5,080)

(14

.0)

Cosmos

Pharmaceutical

Corp.

(500)

(60,599)

6,367

17

.6

Daiichi

Sankyo

Co.

Ltd.

(2,600)

(56,776)

(5,627)

(15

.6)

Denso

Corp.

(1,400)

(89,320)

(13,315)

(36

.8)

Japan

Airlines

Co.

Ltd.

(3,900)

(72,709)

(13,166)

(36

.4)

JSR

Corp.

(2,200)

(64,785)

(7,820)

(21

.6)

Kansai

Electric

Power

Co.,

Inc.

(The)

(6,800)

(64,050)

(1,736)

(4

.8)

Kikkoman

Corp.

(900)

(59,613)

(1,807)

(5

.0)

Kobayashi

Pharmaceutical

Co.

Ltd.

(700)

(56,086)

(581)

(1

.6)

Kobe

Bussan

Co.

Ltd.

(2,000)

(61,549)

615

1

.7

Koei

Tecmo

Holdings

Co.

Ltd.

(1,800)

(59,027)

(2,486)

(6

.9)

Lasertec

Corp.

(500)

(83,182)

(11,855)

(32

.8)

MonotaRO

Co.

Ltd.

(3,700)

(79,411)

(9,170)

(25

.4)

Nexon

Co.

Ltd.

(2,700)

(64,594)

(5,339)

(14

.8)

Nidec

Corp.

(1,500)

(118,475)

(10,801)

(29

.9)

Nippon

Paint

Holdings

Co.

Ltd.

(8,400)

(73,595)

(9,352)

(25

.9)

Obic

Co.

Ltd.

(500)

(74,888)

(3,952)

(10

.9)

Oriental

Land

Co.

Ltd.

(500)

(95,703)

(9,876)

(27

.3)

Seven

&

i

Holdings

Co.

Ltd.

(1,300)

(61,980)

(4,083)

(11

.3)

Shimano,

Inc.

(400)

(91,603)

(9,290)

(25

.7)

SMC

Corp.

(200)

(111,799)

(10,535)

(29

.1)

Sumitomo

Electric

Industries

Ltd.

(5,600)

(66,569)

(7,613)

(21

.0)

Toyota

Motor

Corp.

(6,400)

(115,443)

(18,729)

(51

.8)

Yaskawa

Electric

Corp.

(1,800)

(70,155)

(7,186)

(19

.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.27%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

12/18/2026

-

04/01/2027

$29,901,756

$37,534

$(13,149)

$24,385

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

235

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Adobe,

Inc.

246

112,083

7,079

29

.0

Allstate

Corp.

(The)

528

73,133

8,496

34

.8

Alphabet,

Inc.

58

161,318

6,696

27

.5

Alphabet,

Inc.

30

83,790

3,699

15

.2

Amazon.com,

Inc.

52

169,517

24,591

100

.8

Apple,

Inc.

1,288

224,898

15,148

62

.1

Archer-Daniels-Midland

Co.

1,056

95,315

8,955

36

.7

Booking

Holdings,

Inc.

36

84,544

10,867

44

.6

Cisco

Systems,

Inc.

1,640

91,446

(134)

(0

.5)

Citigroup,

Inc.

2,131

113,795

(5,434)

(22

.3)

Coca-Cola

Co.

(The)

2,695

167,090

8,193

33

.6

Comcast

Corp.

1,549

72,524

1,084

4

.4

Comerica,

Inc.

823

74,424

1,662

6

.8

Crown

Castle

International

Corp.

466

86,024

4,958

20

.3

CVS

Health

Corp.

838

84,814

(2,257)

(9

.3)

Dell

Technologies,

Inc.

1,477

74,131

(2,613)

(10

.7)

Dow,

Inc.

1,212

77,229

4,871

20

.0

Gilead

Sciences,

Inc.

1,333

79,247

1,118

4

.6

Global

Payments,

Inc.

528

72,252

4,615

18

.9

Intel

Corp.

1,537

76,174

2,966

12

.2

International

Paper

Co.

1,948

89,900

7,753

31

.8

Johnson

&

Johnson

508

90,033

3,998

16

.4

JPMorgan

Chase

&

Co.

856

116,690

2,936

12

.0

Kraft

Heinz

Co.

(The)

1,993

78,504

2,412

9

.9

ManpowerGroup,

Inc.

900

84,528

2,824

11

.6

Merck

&

Co.,

Inc.

980

80,409

4,175

17

.1

Microsoft

Corp.

862

265,763

17,112

70

.2

Oracle

Corp.

929

76,856

6,159

25

.3

Owens

Corning

955

87,382

2,358

9

.7

Tyson

Foods,

Inc.

1,057

94,739

(750)

(3

.1)

Ulta

Beauty,

Inc.

210

83,626

4,811

19

.7

Walmart,

Inc.

1,179

175,577

11,139

45

.7

Wells

Fargo

&

Co.

1,823

88,343

(1,665)

(6

.8)

Short

Positions

Common

Stocks

United

States

Amphenol

Corp.

(1,192)

(89,817)

(524)

(2

.2)

Aon

plc

(233)

(75,872)

(8,027)

(32

.9)

Costco

Wholesale

Corp.

(135)

(77,740)

(6,500)

(26

.7)

DISH

Network

Corp.

(2,510)

(79,442)

(2,323)

(9

.5)

First

Financial

Bankshares,

Inc.

(2,126)

(93,799)

3,826

15

.7

GameStop

Corp.

(533)

(88,787)

(45,409)

(186

.2)

Grocery

Outlet

Holding

Corp.

(3,083)

(101,061)

(11,376)

(46

.7)

236

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Hormel

Foods

Corp.

(1,555)

(80,145)

(2,535)

(10

.4)

IAC/InterActiveCorp

(768)

(77,015)

1,742

7

.1

M&T

Bank

Corp.

(522)

(88,479)

2,120

8

.7

Progressive

Corp.

(The)

(762)

(86,860)

(7,536)

(30

.9)

Realty

Income

Corp.

(1,379)

(95,565)

(5,692)

(23

.3)

RPM

International,

Inc.

(937)

(76,309)

(1,831)

(7

.5)

Signature

Bank

(249)

(73,079)

2,879

11

.8

Skechers

USA,

Inc.

(1,984)

(80,868)

(5,095)

(20

.9)

Vistra

Corp.

(3,976)

(92,442)

(2,028)

(8

.3)

Waste

Management,

Inc.

(482)

(76,397)

(4,107)

(16

.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-2.00%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

12/18/2023

-

03/25/2024

$1,375,633

$(3,280)

$15,462

$12,182

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

ALS

Ltd.

2,552

25,341

(150)

(1

.2)

Ampol

Ltd.

1,202

27,307

406

3

.3

Aristocrat

Leisure

Ltd.

1,570

42,613

(405)

(3

.3)

Atlas

Arteria

Ltd.

1,810

8,809

(212)

(1

.7)

Australia

&

New

Zealand

Banking

Group

Ltd.

2,155

44,158

(365)

(3

.0)

BlueScope

Steel

Ltd.

5,321

82,742

(2,705)

(22

.2)

Brambles

Ltd.

8,827

65,140

1,140

9

.4

Coles

Group

Ltd.

2,026

27,078

(13)

(0

.1)

Computershare

Ltd.

769

14,134

157

1

.3

Fortescue

Metals

Group

Ltd.

817

12,559

780

6

.4

Harvey

Norman

Holdings

Ltd.

4,844

19,303

(921)

(7

.6)

Incitec

Pivot

Ltd.

15,461

43,766

(897)

(7

.4)

JB

Hi-Fi

Ltd.

1,312

53,031

(744)

(6

.1)

Magellan

Financial

Group

Ltd.

1,078

12,753

1,305

10

.7

Mineral

Resources

Ltd.

241

9,500

721

5

.9

Newcrest

Mining

Ltd.

871

17,601

69

0

.6

237

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

QBE

Insurance

Group

Ltd.

4,684

40,167

213

1

.8

Ramsay

Health

Care

Ltd.

675

32,691

629

5

.2

Sonic

Healthcare

Ltd.

2,138

56,448

216

1

.8

Suncorp

Group

Ltd.

4,590

38,050

(281)

(2

.3)

Tabcorp

Holdings

Ltd.

3,977

15,845

848

7

.0

Telstra

Corp.

Ltd.

20,233

59,778

732

6

.0

Treasury

Wine

Estates

Ltd.

1,327

11,463

(85)

(0

.7)

Wesfarmers

Ltd.

190

7,130

(31)

(0

.3)

Westpac

Banking

Corp.

1,409

25,456

417

3

.4

Worley

Ltd.

1,361

13,148

81

0

.7

Short

Positions

Common

Stocks

Australia

APA

Group

(838)

(6,660)

(164)

(1

.4)

Cleanaway

Waste

Management

Ltd.

(12,105)

(27,766)

(503)

(4

.1)

Commonwealth

Bank

of

Australia

(202)

(15,908)

102

0

.8

CSL

Ltd.

(206)

(41,126)

(310)

(2

.5)

Domino's

Pizza

Enterprises

Ltd.

(702)

(45,696)

(1,470)

(12

.1)

Evolution

Mining

Ltd.

(5,366)

(17,711)

520

4

.3

IDP

Education

Ltd.

(975)

(22,819)

(417)

(3

.4)

Insurance

Australia

Group

Ltd.

(6,443)

(21,087)

466

3

.8

Lendlease

Corp.

Ltd.

(2,499)

(20,831)

(544)

(4

.5)

Lynas

Rare

Earths

Ltd.

(2,749)

(21,916)

(649)

(5

.3)

Macquarie

Group

Ltd.

(225)

(34,028)

(718)

(5

.9)

NEXTDC

Ltd.

(944)

(8,133)

(322)

(2

.6)

Northern

Star

Resources

Ltd.

(2,603)

(21,000)

(3)

(0

.0)

OZ

Minerals

Ltd.

(570)

(11,367)

102

0

.8

Pilbara

Minerals

Ltd.

(7,270)

(17,176)

287

2

.4

Pro

Medicus

Ltd.

(955)

(34,597)

(1,645)

(13

.5)

Qantas

Airways

Ltd.

(10,276)

(39,733)

(443)

(3

.6)

REA

Group

Ltd.

(307)

(30,777)

493

4

.0

Reece

Ltd.

(1,490)

(20,979)

525

4

.3

SEEK

Ltd.

(914)

(20,129)

484

4

.0

Transurban

Group

(811)

(8,194)

(184)

(1

.5)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(389)

(8,297)

(266)

(2

.2)

WiseTech

Global

Ltd.

(234)

(8,807)

190

1

.6

Woolworths

Group

Ltd.

(381)

(10,578)

(241)

(2

.0)

238

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-2.24%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

01/25/2023

-

04/25/2023

$2,282,893

$(22,653)

$(19,089)

$(41,742)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Canada

Atco

Ltd.

919

31,558

486

(1

.2)

Bank

of

Montreal

388

45,657

(634)

1

.5

Bank

of

Nova

Scotia

(The)

1,299

93,101

(2,556)

6

.1

Canadian

Imperial

Bank

of

Commerce

267

32,410

(1,309)

3

.1

Canadian

National

Railway

Co.

281

37,694

(456)

1

.1

Canadian

Tire

Corp.

Ltd.

284

42,881

610

(1

.5)

CGI,

Inc.

421

33,538

(229)

0

.5

Cogeco

Communications,

Inc.

243

20,114

172

(0

.4)

Descartes

Systems

Group,

Inc.

(The)

264

19,329

(70)

0

.2

Enbridge,

Inc.

831

38,255

(159)

0

.4

Finning

International,

Inc.

1,865

56,152

(671)

1

.6

George

Weston

Ltd.

493

60,711

504

(1

.2)

Gildan

Activewear,

Inc.

535

20,067

(438)

1

.0

Kinross

Gold

Corp.

11,527

67,678

1,759

(4

.2)

Loblaw

Cos.

Ltd.

475

42,623

851

(2

.0)

Magna

International,

Inc.

562

36,081

902

(2

.2)

National

Bank

of

Canada

625

47,909

(862)

2

.1

Nutrien

Ltd.

380

39,278

(1,793)

4

.3

Onex

Corp.

334

22,383

(24)

0

.1

Open

Text

Corp.

651

27,604

(178)

0

.4

Parkland

Corp.

1,786

52,816

2,331

(5

.6)

Pembina

Pipeline

Corp.

678

25,473

(143)

0

.3

SNC-Lavalin

Group,

Inc.

1,356

32,649

147

(0

.4)

Stantec,

Inc.

368

18,460

(85)

0

.2

Toromont

Industries

Ltd.

409

38,772

1,286

(3

.1)

Toronto-Dominion

Bank

(The)

613

48,637

(1,032)

2

.5

West

Fraser

Timber

Co.

Ltd.

449

36,943

(2,431)

5

.8

Chile

Lundin

Mining

Corp.

4,719

47,826

(1,132)

2

.7

239

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(583)

(27,724)

329

(0

.8)

Canada

Air

Canada

(2,460)

(47,718)

(884)

2

.1

Algonquin

Power

&

Utilities

Corp.

(2,888)

(44,793)

(346)

0

.8

Ballard

Power

Systems,

Inc.

(4,365)

(50,802)

421

(1

.0)

BCE,

Inc.

(1,668)

(92,463)

(1,841)

4

.4

Boralex,

Inc.

(1,057)

(34,260)

(2,579)

6

.2

Brookfield

Asset

Management,

Inc.

(574)

(32,452)

34

(0

.1)

CAE,

Inc.

(872)

(22,697)

(572)

1

.4

Canadian

Pacific

Railway

Ltd.

(614)

(50,676)

68

(0

.2)

CCL

Industries,

Inc.

(637)

(28,738)

(107)

0

.3

Constellation

Software,

Inc.

(29)

(49,572)

(1,084)

2

.6

Dollarama,

Inc.

(470)

(26,655)

(1,269)

3

.0

Element

Fleet

Management

Corp.

(2,257)

(21,845)

(18)

0

.0

Emera,

Inc.

(582)

(28,850)

(680)

1

.6

Franco-Nevada

Corp.

(272)

(43,284)

(430)

1

.0

GFL

Environmental,

Inc.

(1,238)

(40,265)

(2,351)

5

.6

Innergex

Renewable

Energy,

Inc.

(1,127)

(17,922)

(343)

0

.8

Pan

American

Silver

Corp.

(812)

(22,162)

719

(1

.7)

Restaurant

Brands

International,

Inc.

(778)

(45,455)

(1,046)

2

.5

United

States

Brookfield

Renewable

Corp.

(1,054)

(46,033)

(2,563)

6

.1

BRP,

Inc.

(393)

(32,178)

(1,736)

4

.2

Zambia

First

Quantum

Minerals

Ltd.

(615)

(21,291)

(385)

0

.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.65%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$1,441,774

$(12,371)

$17,985

$5,614

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

240

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

582

18,880

(1,134)

(20

.2)

Adecco

Group

AG

(Registered)

1,171

53,118

(1,783)

(31

.8)

Baloise

Holding

AG

(Registered)

95

16,967

299

5

.3

Barry

Callebaut

AG

(Registered)

15

35,167

873

15

.5

Belimo

Holding

AG

(Registered)

33

17,477

437

7

.8

BKW

AG

34

4,259

63

1

.1

Bucher

Industries

AG

(Registered)

58

23,444

(365)

(6

.5)

Clariant

AG

(Registered)

228

3,956

(82)

(1

.5)

Credit

Suisse

Group

AG

(Registered)

382

3,007

(117)

(2

.1)

DKSH

Holding

AG

288

24,256

(186)

(3

.3)

dormakaba

Holding

AG

36

18,465

167

3

.0

Galenica

AG

419

32,257

110

2

.0

Geberit

AG

(Registered)

60

36,987

559

10

.0

Georg

Fischer

AG

(Registered)

12

14,338

(236)

(4

.2)

Julius

Baer

Group

Ltd.

462

26,747

527

9

.4

Kuehne

+

Nagel

International

AG

(Registered)

183

51,959

(2,116)

(37

.7)

Lonza

Group

AG

(Registered)

74

53,621

1,186

21

.1

Novartis

AG

(Registered)

1,196

104,999

525

9

.3

OC

Oerlikon

Corp.

AG

(Registered)

2,728

21,739

(144)

(2

.6)

Roche

Holding

AG

9

3,561

(88)

(1

.6)

SGS

SA

(Registered)

3

8,340

(278)

(4

.9)

Straumann

Holding

AG

(Registered)

2

3,193

132

2

.4

Swiss

Life

Holding

AG

(Registered)

56

35,885

172

3

.1

Swisscom

AG

(Registered)

57

34,246

(461)

(8

.2)

Tecan

Group

AG

(Registered)

35

13,837

526

9

.4

Temenos

AG

(Registered)

547

52,616

(3,327)

(59

.3)

UBS

Group

AG

(Registered)

2,060

40,255

343

6

.1

United

States

Swiss

Re

AG

141

13,422

141

2

.5

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(1,793)

(27,445)

144

2

.6

Switzerland

Alcon,

Inc.

(113)

(8,953)

(313)

(5

.6)

Bachem

Holding

AG

(Registered)

(93)

(51,182)

(1,481)

(26

.4)

Chocoladefabriken

Lindt

&

Spruengli

AG

(4)

(47,608)

1,062

18

.9

Cie

Financiere

Richemont

SA

(61)

(7,732)

(162)

(2

.9)

Dufry

AG

(Registered)

(1,484)

(62,443)

(482)

(8

.6)

EMS-Chemie

Holding

AG

(Registered)

(57)

(55,393)

(322)

(5

.7)

Flughafen

Zurich

AG

(Registered)

(207)

(37,154)

707

12

.6

Givaudan

SA

(Registered)

(10)

(41,329)

(273)

(4

.9)

Helvetia

Holding

AG

(Registered)

(33)

(4,308)

17

0

.3

241

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Holcim

Ltd.

(671)

(32,635)

(236)

(4

.2)

Idorsia

Ltd.

(2,026)

(40,472)

(1,657)

(29

.5)

Logitech

International

SA

(Registered)

(37)

(2,750)

101

1

.8

Nestle

SA

(Registered)

(230)

(29,904)

(230)

(4

.1)

Partners

Group

Holding

AG

(8)

(9,906)

(160)

(2

.9)

Schindler

Holding

AG

(47)

(10,071)

230

4

.1

SIG

Combibloc

Group

AG

(2,350)

(59,243)

(1,132)

(20

.2)

Sika

AG

(Registered)

(214)

(70,803)

(1,098)

(19

.6)

Sonova

Holding

AG

(Registered)

(17)

(7,102)

(542)

(9

.7)

Sulzer

AG

(Registered)

(26)

(2,160)

10

0

.2

Swatch

Group

AG

(The)

(173)

(49,050)

(1,798)

(32

.0)

VAT

Group

AG

(45)

(17,133)

(499)

(8

.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$587,161

$2,823

$(9,522)

$(6,699)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

29

87,144

(1,004)

15

.0

Carlsberg

A/S

411

50,455

2,589

(38

.6)

Demant

A/S

99

4,480

313

(4

.7)

Genmab

A/S

171

61,757

1,386

(20

.7)

GN

Store

Nord

A/S

185

9,068

587

(8

.8)

H

Lundbeck

A/S

878

20,230

361

(5

.4)

ISS

A/S

1,766

31,385

1,218

(18

.2)

Novo

Nordisk

A/S

447

49,580

1,878

(28

.0)

Pandora

A/S

393

37,439

634

(9

.5)

Royal

Unibrew

A/S

55

5,138

(11)

0

.2

242

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Chr

Hansen

Holding

A/S

(26)

(1,909)

(62)

0

.9

Coloplast

A/S

(117)

(17,718)

(932)

13

.9

DSV

A/S

(125)

(23,957)

225

(3

.4)

Novozymes

A/S

(455)

(31,197)

(1,652)

24

.7

Orsted

A/S

(156)

(19,527)

(1,293)

19

.3

ROCKWOOL

International

A/S

(92)

(30,370)

1,281

(19

.1)

SimCorp

A/S

(120)

(8,800)

43

(0

.6)

Tryg

A/S

(1,222)

(29,713)

(403)

6

.0

Vestas

Wind

Systems

A/S

(2,294)

(67,294)

(2,335)

34

.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.00%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$6,577,164

$(38,508)

$15,196

$(23,312)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Finland

Nokian

Renkaat

OYJ

2,754

44,697

(1,573)

6

.7

France

Atos

SE

2,507

68,457

(4,092)

17

.6

Bouygues

SA

1,623

56,649

(1,876)

8

.0

Cie

de

Saint-Gobain

1,001

59,560

(1,216)

5

.2

Eiffage

SA

569

58,398

319

(1

.4)

Orange

SA

8,631

102,202

(922)

4

.0

Publicis

Groupe

SA

875

53,107

(1,608)

6

.9

Vivendi

SE

3,865

50,494

(410)

1

.8

Germany

Deutsche

Bank

AG

(Registered)

5,682

71,560

(1,737)

7

.4

Deutsche

Post

AG

(Registered)

1,409

67,282

(1,716)

7

.4

Merck

KGaA

312

65,156

3,004

(12

.9)

ProSiebenSat.1

Media

SE

4,115

52,416

(1,509)

6

.5

SAP

SE

528

58,517

(404)

1

.7

243

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

Pirelli

&

C

SpA

8,846

47,998

1,029

(4

.4)

Poste

Italiane

SpA

3,847

43,627

(681)

2

.9

UniCredit

SpA

5,538

59,743

1,508

(6

.5)

Unipol

Gruppo

SpA

7,989

43,819

433

(1

.9)

Netherlands

ASML

Holding

NV

101

67,490

(1,833)

7

.9

ASR

Nederland

NV

1,254

58,544

727

(3

.1)

Koninklijke

Ahold

Delhaize

NV

2,744

88,262

1,524

(6

.5)

Koninklijke

KPN

NV

13,630

47,296

14

(0

.1)

NN

Group

NV

1,352

68,518

2,065

(8

.9)

Singapore

STMicroelectronics

NV

1,491

64,805

(1,494)

6

.4

Spain

Banco

de

Sabadell

SA

63,546

51,927

386

(1

.7)

Banco

Santander

SA

17,416

59,213

296

(1

.3)

Endesa

SA

2,366

51,587

3,369

(14

.5)

Iberdrola

SA

4,326

47,283

1,637

(7

.0)

Red

Electrica

Corp.

SA

2,973

61,039

3,059

(13

.1)

Telefonica

SA

16,235

78,679

2,537

(10

.9)

Short

Positions

Common

Stocks

Finland

Fortum

OYJ

(2,525)

(46,150)

214

(0

.9)

France

Aeroports

de

Paris

(367)

(54,881)

1,088

(4

.7)

Air

Liquide

SA

(372)

(65,079)

(137)

0

.6

L'Oreal

SA

(113)

(45,137)

(1,462)

6

.3

Safran

SA

(537)

(63,224)

(1,166)

5

.0

SOITEC

(373)

(69,969)

772

(3

.3)

Germany

Deutsche

Telekom

AG

(Registered)

(3,950)

(73,565)

407

(1

.7)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(1,110)

(74,382)

(548)

2

.3

Hannover

Rueck

SE

(328)

(55,720)

(1,035)

4

.4

RWE

AG

(1,600)

(69,668)

(3,378)

14

.5

Siemens

Healthineers

AG

(1,098)

(68,044)

(2,632)

11

.3

Italy

Banca

Generali

SpA

(1,423)

(52,651)

(554)

2

.4

Ferrari

NV

(320)

(69,715)

(1,704)

7

.3

FinecoBank

Banca

Fineco

SpA

(4,631)

(70,253)

659

(2

.8)

Intesa

Sanpaolo

SpA

(22,089)

(50,557)

(874)

3

.8

Netherlands

IMCD

NV

(320)

(54,590)

(458)

2

.0

Saudi

Arabia

Delivery

Hero

SE

(1,280)

(55,787)

(3,036)

13

.0

244

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Aena

SME

SA

(268)

(44,676)

(1,111)

4

.8

Amadeus

IT

Group

SA

(899)

(58,451)

(2,152)

9

.2

Cellnex

Telecom

SA

(1,559)

(75,026)

(104)

0

.4

Ferrovial

SA

(2,318)

(61,647)

1,466

(6

.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-3.25%

to

0.23%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$2,495,944

$(25,356)

$(16,312)

$(41,668)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

1,431

114,404

3,022

(7

.3)

Italy

Coca-Cola

HBC

AG

988

20,606

(164)

0

.4

United

Kingdom

abrdn

plc

9,137

25,584

1,154

(2

.8)

Associated

British

Foods

plc

895

19,442

(600)

1

.4

Aviva

plc

3,292

19,478

543

(1

.3)

BAE

Systems

plc

5,209

48,920

(2,735)

6

.6

Barclays

plc

21,376

41,437

(5,532)

13

.3

Barratt

Developments

plc

3,901

26,557

439

(1

.1)

Bellway

plc

720

22,888

(1,607)

3

.9

Berkeley

Group

Holdings

plc

641

31,266

(1,062)

2

.5

DCC

plc

743

57,534

763

(1

.8)

Diageo

plc

1,594

80,855

924

(2

.2)

Direct

Line

Insurance

Group

plc

6,348

22,874

57

(0

.1)

Entain

plc

1,068

22,878

(496)

1

.2

Howden

Joinery

Group

plc

5,475

54,887

(958)

2

.3

Inchcape

plc

2,836

24,816

(949)

2

.3

InterContinental

Hotels

Group

plc

452

30,571

(273)

0

.7

Intertek

Group

plc

574

39,157

756

(1

.8)

J

Sainsbury

plc

9,127

30,208

(941)

2

.3

Kingfisher

plc

15,284

51,013

(2,059)

4

.9

Lloyds

Banking

Group

plc

88,624

53,969

(2,790)

6

.7

Man

Group

plc

6,567

20,040

730

(1

.8)

245

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Marks

&

Spencer

Group

plc

21,374

43,140

(459)

1

.1

Persimmon

plc

961

26,948

485

(1

.2)

Royal

Mail

plc

14,805

63,612

(6,419)

15

.4

Sage

Group

plc

(The)

4,995

45,768

489

(1

.2)

Spectris

plc

838

28,420

(106)

0

.3

Unilever

plc

1,511

68,604

1,375

(3

.3)

Vodafone

Group

plc

12,933

21,207

(85)

0

.2

WPP

plc

1,567

20,509

(891)

2

.1

United

States

GlaxoSmithKline

plc

4,317

93,407

1,329

(3

.2)

Short

Positions

Common

Stocks

United

Kingdom

Abcam

plc

(1,345)

(24,311)

(313)

0

.8

Admiral

Group

plc

(1,020)

(34,206)

(235)

0

.6

AstraZeneca

plc

(774)

(102,642)

(2,556)

6

.1

AVEVA

Group

plc

(1,586)

(50,658)

(543)

1

.3

B&M

European

Value

Retail

SA

(6,901)

(48,281)

2,446

(5

.9)

BT

Group

plc

(12,955)

(30,889)

733

(1

.8)

Compass

Group

plc

(2,230)

(47,990)

467

(1

.1)

easyJet

plc

(2,677)

(19,421)

(1,255)

3

.0

Experian

plc

(802)

(30,898)

344

(0

.8)

Halma

plc

(2,473)

(80,909)

(726)

1

.7

Hargreaves

Lansdown

plc

(3,872)

(51,036)

1,638

(3

.9)

HSBC

Holdings

plc

(3,341)

(22,821)

(138)

0

.3

Informa

plc

(3,218)

(25,213)

(100)

0

.2

JD

Sports

Fashion

plc

(10,671)

(20,562)

497

(1

.2)

Ocado

Group

plc

(2,991)

(45,671)

(3,344)

8

.0

Prudential

plc

(2,601)

(38,399)

(1,985)

4

.8

Reckitt

Benckiser

Group

plc

(335)

(25,556)

(1,568)

3

.8

Rolls-Royce

Holdings

plc

(19,909)

(26,180)

2,619

(6

.3)

Severn

Trent

plc

(1,517)

(61,142)

(2,650)

6

.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

12/18/2023

-

03/25/2024

$605,666

$873

$(685)

$188

246

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

12,000

45,153

1,265

673

.1

Hong

Kong

AIA

Group

Ltd.

2,000

20,884

408

216

.8

ASM

Pacific

Technology

Ltd.

2,500

25,169

(698)

(371

.5)

Bank

of

East

Asia

Ltd.

(The)

1,800

2,813

92

48

.9

CK

Asset

Holdings

Ltd.

2,000

13,671

37

19

.7

Hang

Seng

Bank

Ltd.

2,100

40,389

(92)

(48

.9)

Hong

Kong

Exchanges

&

Clearing

Ltd.

100

4,687

(82)

(43

.6)

Kerry

Properties

Ltd.

2,000

5,634

196

104

.3

Man

Wah

Holdings

Ltd.

13,600

14,712

(11)

(5

.7)

MTR

Corp.

Ltd.

500

2,693

9

4

.6

New

World

Development

Co.

Ltd.

2,000

8,114

(171)

(90

.8)

Sino

Land

Co.

Ltd.

6,000

7,736

(368)

(195

.5)

Sun

Hung

Kai

Properties

Ltd.

5,000

59,487

(1,630)

(867

.0)

Swire

Properties

Ltd.

1,400

3,460

(177)

(94

.4)

WH

Group

Ltd.

57,000

35,793

1,668

887

.0

Macau

Sands

China

Ltd.

8,400

19,983

832

442

.8

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(13,500)

(35,649)

(665)

(353

.5)

Chow

Tai

Fook

Jewellery

Group

Ltd.

(8,600)

(15,533)

(383)

(203

.5)

ESR

Cayman

Ltd.

(7,600)

(23,552)

267

142

.1

SITC

International

Holdings

Co.

Ltd.

(2,000)

(6,993)

66

35

.1

Hong

Kong

Hang

Lung

Properties

Ltd.

(3,000)

(6,047)

(3)

(1

.8)

Henderson

Land

Development

Co.

Ltd.

(5,000)

(20,755)

692

368

.0

Power

Assets

Holdings

Ltd.

(1,000)

(6,517)

26

13

.6

Techtronic

Industries

Co.

Ltd.

(4,500)

(72,097)

(118)

(62

.6)

Wharf

Real

Estate

Investment

Co.

Ltd.

(10,000)

(49,423)

44

23

.5

Xinyi

Glass

Holdings

Ltd.

(1,000)

(2,398)

53

28

.4

Macau

Galaxy

Entertainment

Group

Ltd.

(7,000)

(41,422)

(227)

(120

.6)

SJM

Holdings

Ltd.

(15,000)

(7,365)

65

34

.3

Wynn

Macau

Ltd.

(10,400)

(7,537)

(222)

(117

.9)

247

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$372,666

$(3,726)

$(28)

$(3,754)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

776

38,807

(553)

14

.7

Norway

Leroy

Seafood

Group

ASA

1,870

17,153

70

(1

.9)

Mowi

ASA

711

19,151

(610)

16

.3

Norsk

Hydro

ASA

6,253

60,753

(3,269)

87

.1

Orkla

ASA

5,617

49,904

(405)

10

.8

Telenor

ASA

3,639

52,218

(687)

18

.3

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(184)

(12,342)

(52)

1

.4

France

Adevinta

ASA

(3,464)

(31,624)

1,906

(50

.8)

Norway

Gjensidige

Forsikring

ASA

(348)

(8,629)

41

(1

.1)

Salmar

ASA

(800)

(63,239)

(365)

9

.7

Schibsted

ASA

(284)

(7,000)

222

(5

.9)

TOMRA

Systems

ASA

(110)

(5,612)

(270)

7

.2

United

Kingdom

Subsea

7

SA

(671)

(6,234)

246

(6

.5)

248

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

12/27/2023

-

03/25/2024

$1,164,835

$(21,556)

$7,543

$(14,013)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

Sweden

Assa

Abloy

AB

95

2,554

18

(0

.1)

Axfood

AB

291

9,477

208

(1

.5)

BillerudKorsnas

AB

1,673

24,792

(343)

2

.4

Boliden

AB

786

39,650

(1,358)

9

.7

Electrolux

AB

1,440

21,791

(448)

3

.2

Elekta

AB

663

5,222

(73)

0

.5

Getinge

AB

620

24,700

1,112

(7

.9)

H

&

M

Hennes

&

Mauritz

AB

3,500

46,997

(5,446)

38

.9

Husqvarna

AB

1,561

16,284

233

(1

.7)

Indutrade

AB

87

2,188

136

(1

.0)

Nibe

Industrier

AB

56

621

52

(0

.4)

Saab

AB

1,165

42,079

(3,196)

22

.8

Securitas

AB

2,567

28,959

(584)

4

.2

Skanska

AB

1,751

39,174

(1,644)

11

.7

SKF

AB

1,845

30,084

851

(6

.1)

SSAB

AB

6,515

43,381

(3,154)

22

.5

SSAB

AB

1,174

8,157

(1,153)

8

.2

Svenska

Handelsbanken

AB

5,134

47,209

(1,155)

8

.2

Swedbank

AB

964

14,398

(1,475)

10

.5

Telefonaktiebolaget

LM

Ericsson

8,912

81,238

(759)

5

.4

Telia

Co.

AB

26,497

106,245

1,768

(12

.6)

Volvo

AB

1,610

30,035

(329)

2

.3

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(809)

(20,538)

(802)

5

.7

Finland

Nordea

Bank

Abp

(379)

(3,901)

32

(0

.2)

249

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

AAK

AB

(852)

(15,790)

(759)

5

.4

Alfa

Laval

AB

(78)

(2,683)

(170)

1

.2

Atlas

Copco

AB

(48)

(2,491)

(11)

0

.1

Beijer

Ref

AB

(1,662)

(30,101)

(1,435)

10

.2

Embracer

Group

AB

(8,317)

(69,423)

780

(5

.6)

Epiroc

AB

(1,317)

(28,169)

(1,099)

7

.8

EQT

AB

(1,042)

(40,636)

(3,233)

23

.1

Essity

AB

(588)

(13,876)

(547)

3

.9

Evolution

AB

(62)

(6,308)

575

(4

.1)

Hexagon

AB

(6,890)

(96,534)

121

(0

.9)

Hexpol

AB

(1,689)

(16,486)

(135)

1

.0

Holmen

AB

(439)

(24,504)

439

(3

.1)

Lifco

AB

(1,512)

(38,383)

(2,162)

15

.4

Sandvik

AB

(149)

(3,165)

49

(0

.3)

Sinch

AB

(3,126)

(21,202)

4,633

(33

.1)

Skandinaviska

Enskilda

Banken

AB

(768)

(8,303)

117

(0

.8)

Svenska

Cellulosa

AB

SCA

(447)

(8,680)

(55)

0

.4

Sweco

AB

(1,259)

(18,304)

(839)

6

.0

Swedish

Match

AB

(1,561)

(11,739)

286

(2

.0)

Tele2

AB

(602)

(9,100)

(498)

3

.6

Trelleborg

AB

(401)

(9,284)

(104)

0

.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

12/18/2023

-

03/25/2024

$299,593

$1,564

$10,929

$12,493

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

Long

Positions

Common

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

63,200

70,975

2,888

23

.1

Singapore

Genting

Singapore

Ltd.

25,500

15,241

(188)

(1

.5)

Oversea-Chinese

Banking

Corp.

Ltd.

6,600

59,874

(268)

(2

.1)

Singapore

Technologies

Engineering

Ltd.

13,400

40,589

(442)

(3

.5)

Singapore

Telecommunications

Ltd.

8,400

16,311

(113)

(0

.9)

250

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

(continued)

United

Overseas

Bank

Ltd.

2,100

49,136

(682)

(5

.5)

Venture

Corp.

Ltd.

200

2,577

(26)

(0

.2)

Short

Positions

Common

Stocks

China

Wilmar

International

Ltd.

(3,200)

(11,082)

298

2

.4

Singapore

City

Developments

Ltd.

(800)

(4,625)

(44)

(0

.4)

DBS

Group

Holdings

Ltd.

(600)

(15,721)

40

0

.3

UOL

Group

Ltd.

(2,600)

(13,462)

101

0

.8

251

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

March

31,

2022

(Unaudited)

Abbreviations

ADR

-

American

Depositary

Receipt

CVR

-

Contingent

Value

Rights

OJSC

-

Open

Joint

Stock

Company

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BNPP

-

BNP

Paribas

SA

CITI

-

Citibank

NA

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MPFS

-

Merrill

Lynch,

Pierce,

Fenner

&

Smith,

Inc.

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

252

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

See

notes

to

Schedule

of

Investments.

March

31,

2022

(Unaudited)

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.08%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.01%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.09%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

(“MUTSC”)

:

-0.02%

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”):

11.65%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.96%

Canadian

Dollar

Offered

Rate

(“CDOR”):

0.96%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

0.42%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.34%

Denmark

Tomorrow/Next

:

1.01%

Euro

Short-Term

Rate

("ESTR"):

-0.59%

Federal

Funds

Floating

Rate:

0.33%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

0.31%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

0.04%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

4.26%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

6.72%

Norway

Interbank

Offered

Rate

("NIBOR"):

1.05%

Norwegian

Overnight

Weighted

Average

("NOWA"):

0.75%

Overnight

Bank

Funding

Rate

("OBFR"):

0.32%

Rand

Overnight

Deposit

Rate:

4.06%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.09%

Singapore

Overnight

Rate

Average

(“SORA”):

0.61%

Sterling

Overnight

Index

Average

(“SONIA”):

0.69%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.70%

Tokyo

Overnight

Average

Rate

(“TONAR”):  -0.02%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

4.02%

253

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

The

Consolidated

Schedules

of

Investments

of AQR

Alternative

Risk

Premia

Fund,

AQR

Macro

Opportunities

Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

and

AQR

Style

Premia

Alternative

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.,

AQR

Macro

Opportunities

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

and

 AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

Subsequent

references

to

the

Funds

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

into

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

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.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

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.

254

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

71,130,158

$

52,934,137

$

–

$

124,064,295

Preferred

Stocks

†

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

148,625

–

–

148,625

Short-Term

Investments

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

76,742,136

21,867,162

–

98,609,298

Futures

Contracts*

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

5,430,330

–

–

5,430,330

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,138,101

–

5,138,101

Interest

Rate

Swap

Contracts*

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

–

3,340,953

–

3,340,953

Total

Return

Swaps

Contracts*

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

–

1,066,340

–

1,066,340

Total

Assets

$

153,451,249

$

84,346,693

$

–

$

237,797,942

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(66,692,835)

$

(49,244,588)

$

–

$

(115,937,423)

Warrants

(Sold

Short)

†

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

(7,817)

–

–

(7,817)

Futures

Contracts*

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

(5,015,020)

–

–

(5,015,020)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,561,239)

–

(4,561,239)

Interest

Rate

Swap

Contracts*

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

–

(3,478,541)

–

(3,478,541)

Total

Return

Swaps

Contracts*

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

–

(62,518)

–

(62,518)

Total

Liabilities

$

(71,715,672)

$

(57,346,886)

$

–

$

(129,062,558)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

222,538,456

$

53,317,945

$

1,257,402

$

277,113,803

Corporate

Bonds

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

–

–

219,779

219,779

Convertible

Bonds

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

–

220,036,313

–

220,036,313

Closed

End

Funds

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

9,756,115

–

–

9,756,115

Rights

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

194,360

80,676

274,639

549,675

Securities

in

Litigation

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

–

–

514

514

Warrants

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

10,956,504

883,055

489,577

12,329,136

Units

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

69,975,682

13,822,599

–

83,798,281

Short-Term

Investments

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

468,157,638

335,455,062

–

803,612,700

Futures

Contracts*

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

3,044,270

–

–

3,044,270

Forward

Foreign

Currency

Exchange

Contracts*

........

–

130,564

–

130,564

Total

Return

Basket

Swaps

Contracts*

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

–

7,001,905

–

7,001,905

Total

Assets

$

784,623,025

$

630,728,119

$

2,241,911

$

1,417,593,055

LIABILITIES

Common

Stocks

(Sold

Short)

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

$

(80,852,146)

$

–

$

–

(a)

$

(80,852,146)

Convertible

Bonds

(Sold

Short)

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

–

(11,515,150)

–

(11,515,150)

Futures

Contracts*

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

(725,314)

–

–

(725,314)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(591,312)

–

(591,312)

Credit

Default

Swap

Contracts*

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

–

(3,306,203)

–

(3,306,203)

Total

Return

Basket

Swaps

Contracts*

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

–

(17,497,383)

–

(17,497,383)

Total

Liabilities

$

(81,577,460)

$

(32,910,048)

$

–

(a)

$

(114,487,508)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

62,808,399

$

–

$

–

$

62,808,399

Short-Term

Investments

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

1,269,333

–

–

1,269,333

Total

Assets

$

64,077,732

$

–

$

–

$

64,077,732

255

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

5,743,202

$

–

$

5,743,202

Short-Term

Investments

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

56,401,893

51,239,791

–

107,641,684

Futures

Contracts*

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

240,917

–

–

240,917

Forward

Foreign

Currency

Exchange

Contracts*

........

–

18,974

–

18,974

Total

Return

Basket

Swaps

Contracts*

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

–

344,529

–

344,529

Total

Assets

$

56,642,810

$

57,346,496

$

–

$

113,989,306

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(5,690,297)

$

–

$

(5,690,297)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(6,096)

–

(6,096)

Total

Return

Basket

Swaps

Contracts*

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

–

(4,309,731)

–

(4,309,731)

Total

Liabilities

$

–

$

(10,006,124)

$

–

$

(10,006,124)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

127,500,819

$

234,160,698

$

–

$

361,661,517

Futures

Contracts*

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

7,418,837

–

–

7,418,837

Forward

Foreign

Currency

Exchange

Contracts*

........

–

302,825

–

302,825

Total

Return

Basket

Swaps

Contracts*

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

–

2,802,234

–

2,802,234

Total

Return

Swaps

Contracts*

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

–

1,786,246

–

1,786,246

Total

Assets

$

134,919,656

$

239,052,003

$

–

$

373,971,659

LIABILITIES

Futures

Contracts*

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

$

(5,704)

$

–

$

–

$

(5,704)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,277,448)

–

(1,277,448)

Total

Return

Basket

Swaps

Contracts*

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

–

(15,756,869)

–

(15,756,869)

Total

Liabilities

$

(5,704)

$

(17,034,317)

$

–

$

(17,040,021)

AQR

MACRO

OPPORTUNITIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

1,582,671

$

4,174,345

$

–

$

5,757,016

Short-Term

Investments

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

16,117,004

23,834,426

–

39,951,430

Futures

Contracts*

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

5,110,802

–

–

5,110,802

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,027,035

–

2,027,035

Interest

Rate

Swap

Contracts*

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

–

6,818,805

–

6,818,805

Total

Return

Swaps

Contracts*

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

–

75,565

–

75,565

Total

Assets

$

22,810,477

$

36,930,176

$

–

$

59,740,653

LIABILITIES

Reverse

Repurchase

Agreements

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

$

–

$

(11,709,375)

$

–

$

(11,709,375)

Futures

Contracts*

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

(3,809,927)

–

–

(3,809,927)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,620,208)

–

(1,620,208)

Interest

Rate

Swap

Contracts*

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

–

(4,460,863)

–

(4,460,863)

Credit

Default

Swap

Contracts*

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

–

(264,109)

–

(264,109)

Total

Return

Swaps

Contracts*

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

–

(144,245)

–

(144,245)

Total

Liabilities

$

(3,809,927)

$

(18,198,800)

$

–

$

(22,008,727)

256

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

223,317,892

$

907,452,710

$

–

$

1,130,770,602

Futures

Contracts*

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

69,383,207

–

–

69,383,207

Forward

Foreign

Currency

Exchange

Contracts*

........

–

63,138,758

–

63,138,758

Total

Return

Basket

Swaps

Contracts*

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

–

1,052,972

–

1,052,972

Total

Return

Swaps

Contracts*

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

–

285,628

–

285,628

Total

Assets

$

292,701,099

$

971,930,068

$

–

$

1,264,631,167

LIABILITIES

Futures

Contracts*

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

$

(28,984,207)

$

–

$

–

$

(28,984,207)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(51,161,907)

–

(51,161,907)

Total

Return

Basket

Swaps

Contracts*

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

–

(4,954,794)

–

(4,954,794)

Total

Return

Swaps

Contracts*

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

–

(1,354,077)

–

(1,354,077)

Total

Liabilities

$

(28,984,207)

$

(57,470,778)

$

–

$

(86,454,985)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

21,683,230

$

58,905,648

$

–

$

80,588,878

Futures

Contracts*

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

6,676,155

–

–

6,676,155

Forward

Foreign

Currency

Exchange

Contracts*

........

–

6,346,755

–

6,346,755

Total

Return

Basket

Swaps

Contracts*

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

–

168,628

–

168,628

Total

Return

Swaps

Contracts*

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

–

17,036

–

17,036

Total

Assets

$

28,359,385

$

65,438,067

$

–

$

93,797,452

LIABILITIES

Futures

Contracts*

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

$

(2,851,973)

$

–

$

–

$

(2,851,973)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,515,861)

–

(4,515,861)

Total

Return

Basket

Swaps

Contracts*

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

–

(611,205)

–

(611,205)

Total

Return

Swaps

Contracts*

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

–

(140,163)

–

(140,163)

Total

Liabilities

$

(2,851,973)

$

(5,267,229)

$

–

$

(8,119,202)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

57,058,922

$

22,249,425

$

9,600

$

79,317,947

Preferred

Stocks

†

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

25,975

–

–

25,975

Foreign

Government

Securities

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

–

15,014,871

–

15,014,871

U.S.

Treasury

Obligations

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

–

15,637,485

–

15,637,485

Short-Term

Investments

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

29,538,613

45,279,564

–

74,818,177

Futures

Contracts*

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

3,234,546

–

–

3,234,546

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,606,391

–

2,606,391

Total

Return

Swaps

Contracts*

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

–

359,923

–

359,923

Total

Assets

$

89,858,056

$

101,147,659

$

9,600

$

191,015,315

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(12,244,618)

$

(6,482,140)

$

–

$

(18,726,758)

Reverse

Repurchase

Agreements

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

–

(27,828,617)

–

(27,828,617)

Futures

Contracts*

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

(6,200,916)

–

–

(6,200,916)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,930,189)

–

(1,930,189)

Total

Return

Swaps

Contracts*

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

–

(123,469)

–

(123,469)

Total

Liabilities

$

(18,445,534)

$

(36,364,415)

$

–

$

(54,809,949)

257

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price.

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

255,551,898

$

220,206,036

$

–

$

475,757,934

Futures

Contracts*

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

78,814,118

–

–

78,814,118

Total

Return

Swaps

Contracts*

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

–

334,570

–

334,570

Total

Assets

$

334,366,016

$

220,540,606

$

–

$

554,906,622

LIABILITIES

Futures

Contracts*

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

$

(51,517,279)

$

–

$

–

$

(51,517,279)

Total

Return

Swaps

Contracts*

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

–

(73,746)

–

(73,746)

Total

Liabilities

$

(51,517,279)

$

(73,746)

$

–

$

(51,591,025)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

38,660,213

$

–

$

38,660,213

Short-Term

Investments

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

281,732,430

406,810,603

–

688,543,033

Futures

Contracts*

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

31,834,115

–

–

31,834,115

Forward

Foreign

Currency

Exchange

Contracts*

........

–

28,917,875

–

28,917,875

Interest

Rate

Swap

Contracts*

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

–

36,160,818

–

36,160,818

Total

Return

Basket

Swaps

Contracts*

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

–

5,052,731

–

5,052,731

Total

Return

Swaps

Contracts*

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

–

9,251,396

–

9,251,396

Total

Assets

$

313,566,545

$

524,853,636

$

–

$

838,420,181

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(1,848,954)

$

(38,720,401)

$

(2)

$

(40,569,357)

Futures

Contracts*

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

(37,336,054)

–

–

(37,336,054)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(26,937,198)

–

(26,937,198)

Interest

Rate

Swap

Contracts*

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

–

(35,285,212)

–

(35,285,212)

Total

Return

Basket

Swaps

Contracts*

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

–

(49,386,792)

–

(49,386,792)

Total

Return

Swaps

Contracts*

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

–

(379,627)

–

(379,627)

Total

Liabilities

$

(39,185,008)

$

(150,709,230)

$

(2)

$

(189,894,240)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

3,475,074

$

5,253,514

$

–

$

8,728,588

Futures

Contracts*

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

14,146

–

–

14,146

Forward

Foreign

Currency

Exchange

Contracts*

........

–

8,217

–

8,217

Total

Return

Basket

Swaps

Contracts*

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

–

91,033

–

91,033

Total

Assets

$

3,489,220

$

5,352,764

$

–

$

8,841,984

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(35,938)

$

–

$

(35,938)

Total

Return

Basket

Swaps

Contracts*

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

–

(131,188)

–

(131,188)

Total

Liabilities

$

–

$

(167,126)

$

–

$

(167,126)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap

and

forward

foreign

currency

exchange

contracts

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

are

reported

at

market

value.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

258

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2022

March

31,

2022

(Unaudited)

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments of

AQR

Diversified

Arbitrage

Fund,

AQR

Multi-Asset

Fund and

AQR

Style

Premia

Alternative

Fund

which

are

considered

quantitatively

insignificant

for

additional

disclosure.

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. 

Subsequent

Events

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events.