1

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

251.2%

COMMON

STOCKS

-

178.2%

Australia

-

5.7%

ANZ

Group

Holdings

Ltd.

(2)(a)

36,476

562,100

Aristocrat

Leisure

Ltd.

(2)(a)

22,017

550,480

Atlas

Arteria

Ltd.

(2)(a)

39,149

165,286

Aurizon

Holdings

Ltd.

(2)(a)

93,119

209,738

BHP

Group

Ltd.

(2)(a)

33,248

1,051,101

BlueScope

Steel

Ltd.

(2)(a)

44,894

607,657

Brambles

Ltd.

(2)(a)

24,982

225,244

Coles

Group

Ltd.

(2)(a)

14,457

174,679

Glencore

plc

(2)(a)

55,896

321,638

Harvey

Norman

Holdings

Ltd.

(2)(a)

92,160

221,800

Incitec

Pivot

Ltd.

(2)(a)

72,868

153,549

JB

Hi-Fi

Ltd.

(2)(a)

20,281

578,806

Northern

Star

Resources

Ltd.

(2)(a)

36,105

296,067

Origin

Energy

Ltd.

(2)(a)

81,166

452,021

Pilbara

Minerals

Ltd.

(2)(a)

121,723

323,832

Pro

Medicus

Ltd.

(2)(a)

3,912

168,723

Qantas

Airways

Ltd.

(2)*(a)

75,325

336,210

Qube

Holdings

Ltd.

(2)(a)

138,992

268,390

Rio

Tinto

plc

(2)(a)

2,402

163,043

Sonic

Healthcare

Ltd.

(2)(a)

3,652

85,614

South32

Ltd.

(2)(a)

173,717

509,118

Suncorp

Group

Ltd.

(2)(a)

7,193

58,444

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

19,457

Telstra

Group

Ltd.

(2)(a)

138,564

392,330

Treasury

Wine

Estates

Ltd.

(2)(a)

16,297

143,068

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2)(a)

1,332

26,995

Westpac

Banking

Corp.

(2)(a)

27,016

393,342

Whitehaven

Coal

Ltd.

(2)(a)

95,660

430,652

Worley

Ltd.

(2)(a)

23,287

225,553

9,114,937

—

Austria

-

0.1%

ams-OSRAM

AG

(2)*(a)

10,253

79,899

Belgium

-

1.3%

Ageas

SA/NV

(2)(a)

12,551

542,935

Elia

Group

SA/NV

(2)(a)

782

103,268

Etablissements

Franz

Colruyt

NV

(2)(a)

8,249

241,745

Proximus

SADP

(2)(a)

55,858

540,161

Solvay

SA

(2)(a)

5,084

581,439

2,009,548

—

Brazil

-

0.5%

Yara

International

ASA

(2)

17,442

758,040

Canada

-

7.7%

Alimentation

Couche-Tard,

Inc.

(a)

4,410

221,724

ARC

Resources

Ltd.

(a)

23,441

265,890

Atco

Ltd.,

Class

I

(a)

8,942

286,620

Bank

of

Montreal

(a)

2,144

190,969

Bank

of

Nova

Scotia

(The)

(a)

12,934

651,438

Canadian

National

Railway

Co.

(a)

799

94,278

Canadian

Natural

Resources

Ltd.

(a)

1,800

99,609

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

2,752

359,134

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.7%

(continued)

Canadian

Utilities

Ltd.,

Class

A

(a)

3,879

108,090

Capital

Power

Corp.

(a)

10,885

335,369

Cenovus

Energy,

Inc.

(a)

14,037

244,907

CGI,

Inc.

*(a)

2,207

212,698

CI

Financial

Corp.

(a)

20,150

190,542

Empire

Co.

Ltd.,

Class

A

(a)

14,089

377,687

Enerplus

Corp.

(a)

16,048

231,310

Fairfax

Financial

Holdings

Ltd.

(a)

547

363,788

Finning

International,

Inc.

(a)

2,826

70,446

Fortis,

Inc.

(a)

5,537

235,369

George

Weston

Ltd.

(a)

1,282

169,890

Hydro

One

Ltd.

(a)(b)

9,504

270,599

iA

Financial

Corp.,

Inc.

(a)

2,619

165,996

IGM

Financial,

Inc.

(a)

2,796

83,559

Imperial

Oil

Ltd.

(a)

9,485

482,356

Keyera

Corp.

(a)

2,274

49,787

Loblaw

Cos.

Ltd.

(a)

1,903

173,431

Magna

International,

Inc.

(a)

4,350

232,998

Manulife

Financial

Corp.

(a)

30,879

566,630

MEG

Energy

Corp.

*(a)

16,065

258,062

National

Bank

of

Canada

(a)

2,094

149,779

Northland

Power,

Inc.

(a)

8,546

214,235

Nutrien

Ltd.

(a)

5,822

429,962

Onex

Corp.

(a)

2,394

111,915

Open

Text

Corp.

(a)

12,022

463,712

Quebecor,

Inc.,

Class

B

(a)

8,412

207,950

Saputo,

Inc.

(a)

11,239

290,809

Stantec,

Inc.

(a)

2,643

154,512

Sun

Life

Financial,

Inc.

(a)

7,406

345,997

Suncor

Energy,

Inc.

(a)

14,266

442,916

Teck

Resources

Ltd.,

Class

B

(a)

14,270

521,070

TFI

International,

Inc.

(a)

3,445

411,080

TMX

Group

Ltd.

(a)

1,368

138,166

Toromont

Industries

Ltd.

(a)

459

37,674

Tourmaline

Oil

Corp.

(a)

14,446

601,998

West

Fraser

Timber

Co.

Ltd.

(a)

6,533

465,987

Whitecap

Resources,

Inc.

(a)

42,938

332,003

12,312,941

—

Chile

-

0.2%

Lundin

Mining

Corp.

38,777

263,391

China

-

0.8%

NXP

Semiconductors

NV

1,076

200,647

Wilmar

International

Ltd.

(2)

92,000

291,466

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

871,600

788,378

1,280,491

—

Denmark

-

2.1%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

177

321,735

Carlsberg

A/S,

Class

B

(2)(a)

6,828

1,059,480

Danske

Bank

A/S

(2)*(a)

24,110

485,064

Genmab

A/S

(2)*(a)

238

89,965

ISS

A/S

(2)*(a)

22,367

456,489

Jyske

Bank

A/S

(Registered)

(2)*(a)

1,778

124,598

Pandora

A/S

(2)(a)

5,936

569,786

ROCKWOOL

A/S,

Class

B

(2)(a)

835

204,757

2

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

2.1%

(continued)

Royal

Unibrew

A/S

(2)(a)

641

55,877

3,367,751

—

Finland

-

1.1%

Elisa

OYJ

(2)(a)

2,776

167,425

Fortum

OYJ

(2)*(a)

13,003

199,187

Kesko

OYJ,

Class

B

(2)(a)

9,653

207,456

Kojamo

OYJ

(2)(a)

5,181

60,974

Kone

OYJ,

Class

B

(2)(a)

3,338

174,090

Metso

Outotec

OYJ

(2)(a)

21,519

234,974

Nokia

OYJ

(2)(a)

79,418

389,853

Orion

OYJ,

Class

B

(2)(a)

833

37,233

Stora

Enso

OYJ,

Class

R

(2)(a)

17,743

230,834

Wartsila

OYJ

Abp

(2)(a)

12,833

121,109

1,823,135

—

France

-

6.0%

Air

France-KLM

(2)*(a)

23,366

43,058

Amundi

SA

(2)(a)(b)

2,294

144,543

Arkema

SA

(2)(a)

1,747

172,493

Atos

SE

(2)*(a)

44,362

550,324

AXA

SA

(2)(a)

17,873

545,441

BNP

Paribas

SA

(2)(a)

18,409

1,099,341

Bouygues

SA

(2)(a)

6,366

214,700

Carrefour

SA

(2)(a)

19,246

389,108

Casino

Guichard

Perrachon

SA

(2)*

4,050

28,667

Cie

de

Saint-Gobain

(2)(a)

12,587

715,490

Credit

Agricole

SA

(2)(a)

74,477

840,190

Dassault

Aviation

SA

(2)(a)

1,443

285,469

Eiffage

SA

(2)(a)

4,988

539,781

Engie

SA

(2)(a)

25,165

398,229

Eutelsat

Communications

SA

(2)(a)

5,430

36,237

Ipsen

SA

(2)(a)

320

35,236

Orange

SA

(2)(a)

32,120

381,591

Publicis

Groupe

SA

(2)(a)

658

51,363

Renault

SA

(2)*(a)

3,818

155,607

Rexel

SA

(2)(a)

27,363

650,548

Rubis

SCA

(2)(a)

7,554

202,132

Societe

Generale

SA

(2)(a)

32,692

736,595

Sodexo

SA

(2)(a)

382

37,310

TotalEnergies

SE

(2)(a)

16,332

962,996

Ubisoft

Entertainment

SA

(2)*(a)

9,095

242,411

Veolia

Environnement

SA

(2)(a)

3,314

102,261

9,561,121

—

Germany

-

7.6%

Allianz

SE

(Registered)

(2)(a)

3,049

703,819

Aurubis

AG

(2)(a)

4,147

384,189

BASF

SE

(2)(a)

11,070

581,160

Bayer

AG

(Registered)

(2)(a)

3,378

215,792

Bayerische

Motoren

Werke

AG

(2)

(a)

2,672

292,848

Brenntag

SE

(2)(a)

4,914

369,809

Commerzbank

AG

(2)*(a)

55,619

585,570

Covestro

AG

(2)(a)(b)

12,239

506,858

Daimler

Truck

Holding

AG

(2)*(a)

1,200

40,499

Deutsche

Bank

AG

(Registered)

(2)(a)

141,154

1,435,422

Deutsche

Lufthansa

AG

(Registered)

(2)*(a)

24,257

269,799

INVESTMENTS

SHARES

VALUE

($)

Germany

-

7.6%

(continued)

Deutsche

Post

AG

(Registered)

(2)

(a)

9,521

445,922

E.ON

SE

(2)(a)

51,811

646,328

Evonik

Industries

AG

(2)(a)

13,544

284,954

Freenet

AG

(2)(a)

6,649

172,771

Hannover

Rueck

SE

(2)(a)

890

174,067

HeidelbergCement

AG

(2)(a)

8,983

655,914

HelloFresh

SE

(2)*(a)

5,619

133,998

HUGO

BOSS

AG

(2)(a)

10,282

739,384

K+S

AG

(Registered)

(2)(a)

20,753

441,932

KION

Group

AG

(2)(a)

2,523

97,827

Knorr-Bremse

AG

(2)(a)

795

52,956

LANXESS

AG

(2)(a)

1,028

42,295

LEG

Immobilien

SE

(2)(a)

8,460

464,928

Mercedes-Benz

Group

AG

(2)(a)

2,408

185,182

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)(a)

2,887

1,009,399

ProSiebenSat.1

Media

SE

(2)(a)

32,319

329,211

Telefonica

Deutschland

Holding

AG

(2)(a)

58,618

180,441

thyssenkrupp

AG

(2)(a)

68,411

492,669

TUI

AG

(2)*(a)(c)

15,068

116,117

12,052,060

—

Guatemala

-

0.1%

Millicom

International

Cellular

SA,

SDR

(2)*

12,140

230,359

Hong

Kong

-

0.1%

New

World

Development

Co.

Ltd.

(2)(a)

10,000

26,806

WH

Group

Ltd.

(2)(b)

145,000

86,441

113,247

—

Italy

-

3.6%

A2A

SpA

(2)(a)

166,642

265,930

Assicurazioni

Generali

SpA

(2)(a)

42,928

855,324

Azimut

Holding

SpA

(2)(a)

4,636

98,922

Banco

BPM

SpA

(2)(a)

89,651

350,208

Buzzi

Unicem

SpA

(2)(a)

5,902

143,250

Coca-Cola

HBC

AG

(2)(a)

3,657

100,111

Enel

SpA

(2)(a)

71,308

434,904

Intesa

Sanpaolo

SpA

(2)(a)

78,396

201,199

Italgas

SpA

(2)(a)

9,245

56,388

Leonardo

SpA

(2)(a)

125,432

1,471,012

Pirelli

&

C

SpA

(2)(a)(b)

23,706

118,759

Poste

Italiane

SpA

(2)(a)(b)

22,706

231,546

Prysmian

SpA

(2)(a)

9,265

389,044

UniCredit

SpA

(2)(a)

36,706

691,830

Unipol

Gruppo

SpA

(2)(a)

74,606

383,000

5,791,427

—

Japan

-

26.7%

AGC,

Inc.

(2)(a)

15,000

559,214

Air

Water,

Inc.

(2)(a)

10,700

134,459

Aisin

Corp.

(2)(a)

8,700

239,794

Alfresa

Holdings

Corp.

(2)(a)

4,000

51,251

Allegro

MicroSystems,

Inc.

*(a)(c)

1,379

66,178

Amada

Co.

Ltd.

(2)(a)

49,400

463,048

Asahi

Group

Holdings

Ltd.

(2)(a)

9,000

334,962

3

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.7%

(continued)

Brother

Industries

Ltd.

(2)(a)

7,700

116,008

Chiba

Bank

Ltd.

(The)

(2)(a)

8,400

54,216

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

33,500

353,405

CyberAgent,

Inc.

(2)(a)

20,000

169,456

Dai

Nippon

Printing

Co.

Ltd.

(2)(a)

10,400

291,184

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

20,500

376,861

Daito

Trust

Construction

Co.

Ltd.

(2)(a)

3,000

298,890

Daiwa

House

Industry

Co.

Ltd.

(2)

(a)

11,200

263,886

Daiwa

Securities

Group,

Inc.

(2)(a)

19,700

92,484

Dentsu

Group,

Inc.

(2)(a)

5,100

179,766

Ebara

Corp.

(2)(a)

7,000

325,951

ENEOS

Holdings,

Inc.

(2)(a)

26,200

91,923

Fuji

Electric

Co.

Ltd.

(2)(a)

13,000

513,375

Fujitsu

Ltd.

(2)(a)

3,300

445,930

Fukuoka

Financial

Group,

Inc.

(2)

(a)

5,700

109,673

Hakuhodo

DY

Holdings,

Inc.

(2)(a)

33,600

380,938

Hamamatsu

Photonics

KK

(2)(a)

1,800

97,095

Haseko

Corp.

(2)(a)

12,300

142,971

Hirose

Electric

Co.

Ltd.

(2)(a)

700

91,579

Hitachi

Construction

Machinery

Co.

Ltd.

(2)(a)

11,700

272,695

Hitachi

Ltd.

(2)(a)

4,100

225,339

Honda

Motor

Co.

Ltd.

(2)(a)

8,900

235,415

Ibiden

Co.

Ltd.

(2)(a)

11,900

477,230

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

6,700

146,682

IHI

Corp.

(2)(a)

12,100

303,942

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

18,500

302,043

Inpex

Corp.

(2)(a)

44,100

466,689

Isuzu

Motors

Ltd.

(2)(a)

8,200

97,998

Ito

En

Ltd.

(2)(a)

1,900

62,172

ITOCHU

Corp.

(2)(a)

16,600

540,603

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

54,100

439,074

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

29,700

462,900

Japan

Tobacco,

Inc.

(2)(a)

6,700

141,528

JFE

Holdings,

Inc.

(2)(a)

9,700

123,117

Kajima

Corp.

(2)(a)

19,200

231,695

Kao

Corp.

(2)(a)

7,500

291,940

Kawasaki

Heavy

Industries

Ltd.

(2)

(a)

16,500

361,212

Kawasaki

Kisen

Kaisha

Ltd.

(2)(a)

8,800

201,835

Kirin

Holdings

Co.

Ltd.

(2)(a)

12,300

194,596

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)(a)

1,000

61,159

Koito

Manufacturing

Co.

Ltd.

(2)(a)

4,100

77,721

Komatsu

Ltd.

(2)(a)

4,200

104,266

Konami

Group

Corp.

(2)(a)

5,100

234,078

Kuraray

Co.

Ltd.

(2)(a)

11,300

103,934

Kyocera

Corp.

(2)(a)

3,600

187,797

Lawson,

Inc.

(2)(a)

4,300

182,053

Lion

Corp.

(2)(a)

34,000

367,398

Lixil

Corp.

(2)(a)

7,800

128,746

Marubeni

Corp.

(2)(a)

56,800

772,463

Mazda

Motor

Corp.

(2)(a)

48,100

443,674

Medipal

Holdings

Corp.

(2)(a)

19,700

268,480

MEIJI

Holdings

Co.

Ltd.

(2)(a)

10,800

256,859

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.7%

(continued)

MINEBEA

MITSUMI,

Inc.

(2)(a)

13,200

252,074

MISUMI

Group,

Inc.

(2)(a)

5,500

138,206

Mitsubishi

Chemical

Group

Corp.

(2)(a)

20,800

123,707

Mitsubishi

Corp.

(2)(a)

17,700

636,075

Mitsubishi

Electric

Corp.

(2)(a)

57,800

690,717

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

22,000

327,356

Mitsubishi

HC

Capital,

Inc.

(2)(a)

82,100

423,944

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

6,800

250,519

Mitsubishi

Motors

Corp.

(2)*(a)

155,000

610,824

Mitsui

&

Co.

Ltd.

(2)(a)

18,700

582,876

Mitsui

Chemicals,

Inc.

(2)(a)

15,000

387,309

Mizuho

Financial

Group,

Inc.

(2)(a)

21,780

308,570

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

18,200

564,034

Murata

Manufacturing

Co.

Ltd.

(2)

(a)

6,300

383,955

NGK

Insulators

Ltd.

(2)(a)

17,600

233,385

NH

Foods

Ltd.

(2)(a)

8,200

237,194

Nikon

Corp.

(2)(a)

13,800

141,674

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)(a)

3,700

223,259

Nippon

Steel

Corp.

(2)(a)

26,100

615,477

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

2,600

77,695

Nippon

Yusen

KK

(2)(a)

12,000

280,300

Niterra

Co.

Ltd.

(2)(a)

8,500

175,890

Nitto

Denko

Corp.

(2)(a)

3,300

213,580

NOF

Corp.

(2)(a)

1,100

51,403

Nomura

Holdings,

Inc.

(2)(a)

63,300

244,042

Nomura

Real

Estate

Holdings,

Inc.

(2)(a)

6,600

146,148

NSK

Ltd.

(2)(a)

48,800

279,138

NTT

Data

Corp.

(2)(a)

20,300

266,875

Obayashi

Corp.

(2)(a)

28,300

216,564

Oji

Holdings

Corp.

(2)(a)

75,600

299,327

Ono

Pharmaceutical

Co.

Ltd.

(2)(a)

4,900

102,107

ORIX

Corp.

(2)(a)

20,200

333,058

Osaka

Gas

Co.

Ltd.

(2)(a)

33,600

551,974

Otsuka

Corp.

(2)(a)

3,800

134,956

Otsuka

Holdings

Co.

Ltd.

(2)(a)

15,100

479,419

Panasonic

Holdings

Corp.

(2)(a)

54,600

488,513

Persol

Holdings

Co.

Ltd.

(2)(a)

11,500

231,552

Pola

Orbis

Holdings,

Inc.

(2)(a)

20,400

265,888

Ricoh

Co.

Ltd.

(2)(a)

13,000

97,515

Rohm

Co.

Ltd.

(2)(a)

4,400

366,725

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

9,200

192,535

Ryohin

Keikaku

Co.

Ltd.

(2)(a)

36,700

418,203

Santen

Pharmaceutical

Co.

Ltd.

(2)(a)

36,200

309,302

SCREEN

Holdings

Co.

Ltd.

(2)(a)

8,000

709,632

SCSK

Corp.

(2)(a)

6,700

98,101

Secom

Co.

Ltd.

(2)(a)

1,400

86,279

Sega

Sammy

Holdings,

Inc.

(2)(a)

14,800

281,314

Seiko

Epson

Corp.

(2)(a)

16,800

240,039

Sekisui

Chemical

Co.

Ltd.

(2)(a)

11,000

156,227

Shimamura

Co.

Ltd.

(2)(a)

2,900

295,164

4

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

26.7%

(continued)

Shimizu

Corp.

(2)(a)

13,400

75,941

Shin-Etsu

Chemical

Co.

Ltd.

(2)(a)

19,000

616,760

Shinko

Electric

Industries

Co.

Ltd.

(2)(a)

10,000

311,071

Sohgo

Security

Services

Co.

Ltd.

(2)(a)

7,400

199,306

Sojitz

Corp.

(2)(a)

28,120

587,589

Sompo

Holdings,

Inc.

(2)(a)

10,700

423,989

Square

Enix

Holdings

Co.

Ltd.

(2)

(a)

3,800

182,612

Stanley

Electric

Co.

Ltd.

(2)(a)

5,600

124,490

Subaru

Corp.

(2)(a)

24,800

395,898

Sugi

Holdings

Co.

Ltd.

(2)(a)

3,200

137,549

SUMCO

Corp.

(2)(a)

40,400

607,775

Sumitomo

Chemical

Co.

Ltd.

(2)(a)

7,700

25,926

Sumitomo

Corp.

(2)(a)

24,800

439,341

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

13,300

264,210

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

19,200

470,828

Sumitomo

Metal

Mining

Co.

Ltd.

(2)(a)

5,000

191,320

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

11,300

452,199

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

5,600

192,394

Sumitomo

Pharma

Co.

Ltd.

(2)(a)

16,900

103,557

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

12,000

446,982

Taisei

Corp.

(2)(a)

7,800

241,323

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

(2)(a)

3,600

150,106

Taiyo

Yuden

Co.

Ltd.

(2)(a)

3,700

124,759

TDK

Corp.

(2)(a)

10,500

376,910

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

231,900

828,396

Tokyo

Gas

Co.

Ltd.

(2)(a)

46,900

881,401

Tokyu

Fudosan

Holdings

Corp.

(2)

(a)

19,600

94,138

TOPPAN,

Inc.

(2)(a)

32,000

644,875

Tosoh

Corp.

(2)(a)

27,600

375,070

Toyo

Suisan

Kaisha

Ltd.

(2)(a)

3,900

162,985

Toyota

Boshoku

Corp.

(2)(a)

14,200

229,761

Toyota

Industries

Corp.

(2)(a)

6,800

378,835

Toyota

Tsusho

Corp.

(2)(a)

17,000

724,833

Tsuruha

Holdings,

Inc.

(2)(a)

3,400

227,405

Yamada

Holdings

Co.

Ltd.

(2)*(a)

42,600

146,469

Yamaha

Motor

Co.

Ltd.

(2)(a)

8,200

214,601

Yokogawa

Electric

Corp.

(2)(a)

9,600

156,322

ZOZO,

Inc.

(2)(a)

5,300

121,221

42,561,597

—

Luxembourg

-

1.0%

Aperam

SA

(2)

7,930

295,820

ArcelorMittal

SA

(2)

40,510

1,227,303

SES

SA,

ADR

(2)

11,565

75,924

1,599,047

—

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

3.3%

Aalberts

NV

(2)(a)

2,567

121,256

ABN

AMRO

Bank

NV,

CVA

(2)(a)(b)

38,692

613,557

Aegon

NV

(2)(a)

33,863

145,379

ASR

Nederland

NV

(2)(a)

16,622

661,388

Heineken

NV

(2)(a)

2,543

273,248

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

31,319

1,070,018

Koninklijke

Philips

NV

(2)(a)

16,959

311,484

NN

Group

NV

(2)(a)

4,257

154,571

OCI

NV

(2)(a)

2,646

89,699

Randstad

NV

(2)(a)

12,252

727,336

Shell

plc

(2)(a)

36,385

1,036,922

5,204,858

—

Nigeria

-

0.1%

Airtel

Africa

plc

(2)(b)

145,384

190,729

Norway

-

0.9%

Equinor

ASA

(2)(a)

26,336

748,690

Norsk

Hydro

ASA

(2)(a)

84,607

631,458

Salmar

ASA

(2)(a)

1,370

59,677

1,439,825

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

*(a)(c)

2,379

219,701

Singapore

-

1.0%

Genting

Singapore

Ltd.

(2)

397,700

335,661

Oversea-Chinese

Banking

Corp.

Ltd.

(2)

41,700

388,719

Singapore

Airlines

Ltd.

(2)

103,300

445,582

STMicroelectronics

NV

(2)

3,460

184,362

UOL

Group

Ltd.

(2)

8,000

41,770

Venture

Corp.

Ltd.

(2)

10,400

138,418

1,534,512

—

South

Africa

-

0.1%

Anglo

American

plc

(2)

3,949

131,350

Spain

-

3.0%

Acciona

SA

(2)(a)

777

155,897

Acerinox

SA

(2)(a)

43,757

450,313

Banco

Bilbao

Vizcaya

Argentaria

SA

(2)(a)

101,184

723,401

Banco

de

Sabadell

SA

(2)(a)

608,753

654,678

Banco

Santander

SA

(2)(a)

242,200

902,554

Mapfre

SA

(2)(a)

166,745

336,052

Red

Electrica

Corp.

SA

(2)(a)

13,319

234,365

Repsol

SA

(2)(a)

88,807

1,365,663

4,822,923

—

Sweden

-

2.9%

Axfood

AB

(2)(a)

4,649

113,531

Billerud

AB

(2)(a)

27,009

277,604

Boliden

AB

(2)(a)

8,154

320,323

Castellum

AB

(2)(a)

3,392

39,462

Elekta

AB,

Class

B

(2)(a)

14,928

114,080

Embracer

Group

AB

(2)*(a)

46,133

216,241

Essity

AB,

Class

B

(2)(a)

6,102

174,297

Fastighets

AB

Balder,

Class

B

(2)*(a)

17,268

70,947

Getinge

AB,

Class

B

(2)(a)

10,709

261,174

5

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

2.9%

(continued)

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)(a)

30,336

433,730

Securitas

AB,

Class

B

(2)(a)

50,245

446,962

Skanska

AB,

Class

B

(2)(a)

23,430

358,870

SKF

AB,

Class

B

(2)(a)

11,817

232,758

SSAB

AB,

Class

B

(2)(a)

109,436

782,265

Swedbank

AB,

Class

A

(2)(a)

5,778

95,017

Swedish

Orphan

Biovitrum

AB

(2)*(a)

5,598

130,437

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)(a)

11,291

66,186

Trelleborg

AB,

Class

B

(2)(a)

5,398

153,636

Volvo

AB,

Class

B

(2)(a)

2,025

41,728

Volvo

Car

AB,

Class

B

(2)*(a)

76,845

336,172

4,665,420

—

Switzerland

-

4.2%

Adecco

Group

AG

(Registered)

(2)

(a)

10,715

390,294

Baloise

Holding

AG

(Registered)

(2)(a)

1,204

187,483

Barry

Callebaut

AG

(Registered)

(2)(a)

121

256,371

BKW

AG

(2)(a)

504

79,243

Cie

Financiere

Richemont

SA

(Registered)

(2)(a)

3,308

530,458

DKSH

Holding

AG

(2)(a)

3,035

244,683

Dufry

AG

(Registered)

(2)*(a)

3,646

162,606

Flughafen

Zurich

AG

(Registered)

(2)*(a)

1,152

211,065

Geberit

AG

(Registered)

(2)(a)

489

273,081

Georg

Fischer

AG

(Registered)

(2)

(a)

2,801

218,003

Kuehne

+

Nagel

International

AG

(Registered)

(2)(a)

700

208,485

Novartis

AG

(Registered)

(2)(a)

12,178

1,118,165

SGS

SA

(Registered)

(2)(a)

138

304,393

Swatch

Group

AG

(The)

(2)(a)

2,523

868,898

Swiss

Life

Holding

AG

(Registered)

(2)(a)

774

477,641

Swisscom

AG

(Registered)

(2)(a)

967

617,112

UBS

Group

AG

(Registered)

(2)(a)

28,440

601,813

6,749,794

—

United

Kingdom

-

5.4%

abrdn

plc

(2)(a)

26,721

67,253

ASOS

plc

(2)*

20,823

211,460

Aviva

plc

(2)(a)

57,839

288,914

Barclays

plc

(2)

730,695

1,315,183

Barratt

Developments

plc

(2)(a)

75,377

433,778

BP

plc

(2)(a)

76,843

485,688

British

American

Tobacco

plc

(2)(a)

5,824

204,157

BT

Group

plc

(2)

301,722

543,501

Burberry

Group

plc

(2)(a)

4,144

132,690

Centrica

plc

(2)

167,927

219,923

DCC

plc

(2)(a)

479

27,922

Direct

Line

Insurance

Group

plc

(2)

13,556

23,028

DS

Smith

plc

(2)(a)

114,384

445,334

Entain

plc

(2)(a)

5,505

85,493

Hays

plc

(2)

20,235

28,003

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

5.4%

(continued)

Howden

Joinery

Group

plc

(2)(a)

13,817

119,303

Imperial

Brands

plc

(2)(a)

22,147

509,285

Inchcape

plc

(2)(a)

9,906

94,956

InterContinental

Hotels

Group

plc

(2)(a)

1,329

87,004

International

Distributions

Services

plc

(2)(a)

112,874

312,564

Investec

plc

(2)(a)

17,718

98,326

JD

Sports

Fashion

plc

(2)(a)

111,596

245,759

Just

Eat

Takeaway.com

NV

(2)*(a)

(b)

16,405

313,057

Kingfisher

plc

(2)(a)

70,690

228,506

Liberty

Global

plc,

Class

C

*(a)

1,320

26,902

Lloyds

Banking

Group

plc

(2)

451,671

265,559

Man

Group

plc

(2)(a)

43,239

125,965

Marks

&

Spencer

Group

plc

(2)*(a)

203,375

419,560

NatWest

Group

plc

(2)(a)

22,728

74,162

Pearson

plc

(2)(a)

7,680

80,371

Standard

Chartered

plc

(2)(a)

48,975

371,185

Subsea

7

SA

(2)(a)

25,795

306,203

Taylor

Wimpey

plc

(2)

24,374

35,858

Tesco

plc

(2)(a)

48,581

159,270

Travis

Perkins

plc

(2)(a)

3,864

45,746

Vodafone

Group

plc

(2)

234,065

258,197

8,690,065

—

United

States

-

92.6%

3M

Co.

(a)

6,844

719,373

A

O

Smith

Corp.

(a)

3,097

214,158

Abbott

Laboratories

(a)

5,751

582,346

AbbVie,

Inc.

(a)

4,527

721,468

Accenture

plc,

Class

A

(a)

470

134,331

ACI

Worldwide,

Inc.

*(a)

9,246

249,457

Acuity

Brands,

Inc.

(a)(c)

2,828

516,760

Adient

plc

*(a)

3,458

141,640

Adobe,

Inc.

*(a)

1,834

706,769

ADT,

Inc.

(a)

25,404

183,671

Advance

Auto

Parts,

Inc.

(a)

1,425

173,294

AECOM

(a)

966

81,453

AGCO

Corp.

(a)

4,772

645,174

Agilent

Technologies,

Inc.

(a)

970

134,190

Air

Lease

Corp.

(a)

1,110

43,701

Akamai

Technologies,

Inc.

*(a)(c)

4,048

316,958

Alaska

Air

Group,

Inc.

*(a)(c)

5,914

248,151

ALLETE,

Inc.

(a)

517

33,279

Allison

Transmission

Holdings,

Inc.

(a)(c)

13,958

631,460

Ally

Financial,

Inc.

(a)

1,182

30,129

Alphabet,

Inc.,

Class

A

*(a)

2,629

272,706

Altice

USA,

Inc.,

Class

A

*(a)(c)

72,706

248,655

Altria

Group,

Inc.

(a)

16,919

754,926

Amdocs

Ltd.

(a)

3,800

364,914

Ameren

Corp.

(a)

2,319

200,338

American

Electric

Power

Co.,

Inc.

(a)

2,236

203,454

American

International

Group,

Inc.

(a)(c)

23,271

1,171,927

Ameriprise

Financial,

Inc.

(a)

729

223,439

AmerisourceBergen

Corp.

(a)

456

73,010

Amgen,

Inc.

(a)

2,188

528,949

6

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Amkor

Technology,

Inc.

(a)(c)

24,541

638,557

Analog

Devices,

Inc.

(a)

1,054

207,870

ANSYS,

Inc.

*(a)

759

252,595

APA

Corp.

(a)

6,535

235,652

Apple,

Inc.

(a)

850

140,165

Applied

Materials,

Inc.

(a)(c)

2,104

258,434

AppLovin

Corp.,

Class

A

*(a)(c)

22,811

359,273

Aramark

(a)(c)

3,515

125,837

Arch

Capital

Group

Ltd.

*(a)

2,000

135,740

Archer-Daniels-Midland

Co.

(a)(c)

11,667

929,393

Arrow

Electronics,

Inc.

*(a)

6,636

828,637

ASGN,

Inc.

*(a)(c)

309

25,545

Associated

Banc-Corp.

(a)

7,113

127,892

Assurant,

Inc.

(a)

238

28,577

Assured

Guaranty

Ltd.

(a)

722

36,295

AT&T,

Inc.

(a)(c)

54,197

1,043,292

Autodesk,

Inc.

*(a)

960

199,834

AutoNation,

Inc.

*(a)(c)

5,200

698,672

Avangrid,

Inc.

(a)(c)

8,615

343,566

Avantor,

Inc.

*(a)(c)

11,936

252,327

Avient

Corp.

(a)

5,317

218,848

Avis

Budget

Group,

Inc.

*(a)

256

49,869

Avnet,

Inc.

(a)(c)

10,580

478,216

Axis

Capital

Holdings

Ltd.

(a)

1,152

62,807

Bank

of

New

York

Mellon

Corp.

(The)

(a)

8,992

408,596

Bath

&

Body

Works,

Inc.

(a)(c)

3,371

123,311

Belden,

Inc.

(a)

2,222

192,803

Berry

Global

Group,

Inc.

(a)(c)

6,198

365,062

Best

Buy

Co.,

Inc.

(a)(c)

7,679

601,035

Biogen,

Inc.

*(a)(c)

2,047

569,127

Bio-Techne

Corp.

(a)(c)

1,648

122,265

Black

Hills

Corp.

(a)

3,891

245,522

Blackbaud,

Inc.

*(a)

975

67,568

Booking

Holdings,

Inc.

*(a)

234

620,664

Booz

Allen

Hamilton

Holding

Corp.

(a)

2,497

231,447

BorgWarner,

Inc.

(a)

6,370

312,831

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(a)

842

276,765

Brighthouse

Financial,

Inc.

*(a)

4,586

202,288

Bristol-Myers

Squibb

Co.

(a)

6,724

466,040

Broadcom,

Inc.

(a)

245

157,177

BRP,

Inc.

(a)

1,266

99,069

Bruker

Corp.

(a)

2,534

199,781

Brunswick

Corp.

(a)(c)

5,201

426,482

Builders

FirstSource,

Inc.

*(a)

12,792

1,135,674

Bunge

Ltd.

(a)

1,779

169,930

BWX

Technologies,

Inc.

(a)

2,121

133,708

CACI

International,

Inc.,

Class

A

*(a)

1,159

343,389

Cadence

Design

Systems,

Inc.

*(a)

(c)

1,531

321,648

Calix,

Inc.

*(a)(c)

484

25,938

Capital

One

Financial

Corp.

(a)(c)

1,874

180,204

Capri

Holdings

Ltd.

*(a)

9,588

450,636

Cardinal

Health,

Inc.

(a)(c)

4,215

318,233

Carlisle

Cos.,

Inc.

(a)

401

90,654

Carter's,

Inc.

(a)

2,796

201,088

Casey's

General

Stores,

Inc.

(a)

802

173,601

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Caterpillar,

Inc.

(a)

573

131,125

Cathay

General

Bancorp

(a)

1,339

46,222

Celanese

Corp.

(a)

1,981

215,711

Centene

Corp.

*(a)

7,454

471,167

CF

Industries

Holdings,

Inc.

(a)

2,118

153,534

ChampionX

Corp.

(a)(c)

14,470

392,571

Charles

River

Laboratories

International,

Inc.

*(a)(c)

1,163

234,717

Chemours

Co.

(The)

(a)

12,280

367,663

Chevron

Corp.

(a)

1,548

252,572

Choice

Hotels

International,

Inc.

(a)

1,460

171,097

Cigna

Group

(The)

(a)

1,777

454,077

Cintas

Corp.

(a)

626

289,638

Cirrus

Logic,

Inc.

*(a)

4,365

477,444

Cisco

Systems,

Inc.

(a)(c)

16,795

877,959

Citigroup,

Inc.

(a)(c)

16,512

774,248

Citizens

Financial

Group,

Inc.

(a)(c)

925

28,092

Clean

Harbors,

Inc.

*(a)(c)

1,463

208,565

Cleveland-Cliffs,

Inc.

*(a)(c)

4,174

76,509

CNA

Financial

Corp.

(a)

822

32,083

CNO

Financial

Group,

Inc.

(a)

5,285

117,274

Coca-Cola

Co.

(The)

(a)

6,813

422,610

Coca-Cola

Consolidated,

Inc.

(a)

543

290,548

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

10,639

648,234

Colgate-Palmolive

Co.

(a)

2,014

151,352

Columbia

Sportswear

Co.

(a)(c)

1,933

174,434

Comcast

Corp.,

Class

A

(a)

8,055

305,365

Commercial

Metals

Co.

(a)(c)

9,745

476,531

CommVault

Systems,

Inc.

*(a)

3,651

207,158

Computershare

Ltd.

(2)(a)

7,095

103,056

Concentrix

Corp.

(a)

842

102,345

ConocoPhillips

(a)

1,685

167,169

Consolidated

Edison,

Inc.

(a)(c)

5,061

484,186

Cooper

Cos.,

Inc.

(The)

(a)

355

132,543

Copart,

Inc.

*(a)(c)

5,231

393,424

Corning,

Inc.

(a)(c)

5,283

186,384

Coterra

Energy,

Inc.

(a)(c)

2,473

60,687

Cracker

Barrel

Old

Country

Store,

Inc.

(a)(c)

2,557

290,475

Crane

Holdings

Co.

(a)(c)

3,416

387,716

Cummins,

Inc.

(a)(c)

1,725

412,068

Curtiss-Wright

Corp.

(a)

1,632

287,656

CVS

Health

Corp.

(a)(c)

4,758

353,567

Dana,

Inc.

(a)

25,358

381,638

Danaher

Corp.

(a)

1,354

341,262

Darden

Restaurants,

Inc.

(a)(c)

1,828

283,632

Darling

Ingredients,

Inc.

*(a)

474

27,682

Deckers

Outdoor

Corp.

*(a)

473

212,637

Dell

Technologies,

Inc.,

Class

C

(a)

8,453

339,895

DENTSPLY

SIRONA,

Inc.

(a)(c)

7,278

285,880

Dick's

Sporting

Goods,

Inc.

(a)(c)

3,176

450,643

DISH

Network

Corp.,

Class

A

*(a)

(c)

31,447

293,401

DocuSign,

Inc.

*(a)(c)

3,036

176,999

Dolby

Laboratories,

Inc.,

Class

A

(a)(c)

4,898

418,387

Domino's

Pizza,

Inc.

(a)

143

47,171

Donaldson

Co.,

Inc.

(a)(c)

3,583

234,113

Dover

Corp.

(a)

1,158

175,947

7

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Dow,

Inc.

(a)(c)

8,286

454,239

Dropbox,

Inc.,

Class

A

*(a)

20,848

450,734

DXC

Technology

Co.

*(a)(c)

23,613

603,548

Eagle

Materials,

Inc.

(a)(c)

2,840

416,770

Eastman

Chemical

Co.

(a)

3,641

307,082

eBay,

Inc.

(a)(c)

11,271

500,094

Electronic

Arts,

Inc.

(a)(c)

2,545

306,545

Elevance

Health,

Inc.

(a)

623

286,462

EMCOR

Group,

Inc.

(a)(c)

2,781

452,163

Encompass

Health

Corp.

(a)

848

45,877

Energizer

Holdings,

Inc.

(a)

854

29,634

EnerSys

(a)(c)

2,983

259,163

Enhabit,

Inc.

*

4,242

59,006

Enovis

Corp.

*(a)

8,694

465,042

Envista

Holdings

Corp.

*(a)(c)

3,261

133,310

EPAM

Systems,

Inc.

*(a)

439

131,261

Equitable

Holdings,

Inc.

(a)

10,269

260,730

Euronet

Worldwide,

Inc.

*(a)(c)

1,861

208,246

Evercore,

Inc.,

Class

A

(a)

4,014

463,135

Everest

Re

Group

Ltd.

(a)

758

271,379

Evergy,

Inc.

(a)

2,755

168,386

Exelixis,

Inc.

*(a)

26,713

518,499

Expedia

Group,

Inc.

*(a)

7,323

710,551

Expeditors

International

of

Washington,

Inc.

(a)(c)

2,837

312,410

Exxon

Mobil

Corp.

(a)

4,442

487,110

F5,

Inc.

*(a)

2,409

350,967

Fair

Isaac

Corp.

*(a)

541

380,155

Federated

Hermes,

Inc.,

Class

B

(a)

5,966

239,475

Ferguson

plc

(a)

1,110

148,463

Fidelity

National

Financial,

Inc.

(a)

11,318

395,338

First

American

Financial

Corp.

(a)

6,914

384,833

Fiserv,

Inc.

*(a)(c)

1,431

161,746

FleetCor

Technologies,

Inc.

*(a)

778

164,041

Flowers

Foods,

Inc.

(a)(c)

5,885

161,308

Fluor

Corp.

*(a)(c)

853

26,366

FNB

Corp.

(a)(c)

10,949

127,008

Foot

Locker,

Inc.

(a)(c)

5,675

225,241

Fortinet,

Inc.

*(a)

3,872

257,333

Fortive

Corp.

(a)(c)

2,870

195,648

Fortune

Brands

Innovations,

Inc.

(a)(c)

2,258

132,612

Fox

Corp.,

Class

A

(a)(c)

2,713

92,378

Franklin

Resources,

Inc.

(a)(c)

11,349

305,742

Fulton

Financial

Corp.

(a)

2,749

37,991

Gap,

Inc.

(The)

(a)

18,049

181,212

Gartner,

Inc.

*(a)

1,372

446,956

Gates

Industrial

Corp.

plc

*(a)

16,503

229,227

GE

HealthCare

Technologies,

Inc.

*(a)(c)

3,434

281,691

Gen

Digital,

Inc.

(a)

1,665

28,571

Generac

Holdings,

Inc.

*(a)(c)

1,646

177,784

General

Dynamics

Corp.

(a)(c)

3,253

742,367

General

Motors

Co.

(a)

9,117

334,412

Genuine

Parts

Co.

(a)

4,658

779,330

Gilead

Sciences,

Inc.

(a)(c)

13,787

1,143,907

Global

Payments,

Inc.

(a)

954

100,399

GLOBALFOUNDRIES,

Inc.

*(a)

907

65,467

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Globus

Medical,

Inc.,

Class

A

*(a)

(c)

3,898

220,783

GoDaddy,

Inc.,

Class

A

*(a)

1,603

124,585

Goldman

Sachs

Group,

Inc.

(The)

(a)

779

254,819

Goodyear

Tire

&

Rubber

Co.

(The)

*(a)

39,476

435,026

Graco,

Inc.

(a)(c)

1,942

141,785

Graham

Holdings

Co.,

Class

B

(a)

513

305,666

Grand

Canyon

Education,

Inc.

*(a)

(c)

3,075

350,243

Graphic

Packaging

Holding

Co.

(a)

3,423

87,252

Greif,

Inc.,

Class

A

(a)(c)

4,862

308,105

GSK

plc

(2)(a)

11,904

210,336

H&R

Block,

Inc.

(a)(c)

18,417

649,199

Haemonetics

Corp.

*(a)

2,856

236,334

Halliburton

Co.

(a)(c)

9,802

310,135

Hartford

Financial

Services

Group,

Inc.

(The)

(a)(c)

4,552

317,229

Hawaiian

Electric

Industries,

Inc.

(a)

6,764

259,738

HCA

Healthcare,

Inc.

(a)

1,076

283,720

HEICO

Corp.

(a)

436

74,573

Henry

Schein,

Inc.

*(a)(c)

2,548

207,764

Hertz

Global

Holdings,

Inc.

*(a)(c)

1,806

29,420

Hewlett

Packard

Enterprise

Co.

(a)

(c)

38,990

621,111

Hexcel

Corp.

(a)

3,341

228,023

HF

Sinclair

Corp.

(a)(c)

9,553

462,174

Holcim

AG

(2)(a)

10,335

666,518

Hologic,

Inc.

*(a)(c)

8,573

691,841

Howmet

Aerospace,

Inc.

(a)

8,256

349,807

HP,

Inc.

(a)

14,832

435,319

Hubbell,

Inc.

(a)(c)

1,223

297,568

Humana,

Inc.

(a)

666

323,316

Huntington

Ingalls

Industries,

Inc.

(a)(c)

2,387

494,157

Huntsman

Corp.

(a)

18,711

511,933

IDACORP,

Inc.

(a)

356

38,565

Incyte

Corp.

*(a)

4,269

308,521

Informatica,

Inc.,

Class

A

*(a)

3,138

51,463

Ingevity

Corp.

*(a)

688

49,206

Ingredion,

Inc.

(a)(c)

1,755

178,536

Insperity,

Inc.

(a)

2,291

278,471

Integra

LifeSciences

Holdings

Corp.

*(a)(c)

4,900

281,309

Intel

Corp.

(a)

17,276

564,407

International

Business

Machines

Corp.

(a)(c)

2,440

319,860

International

Paper

Co.

(a)

14,031

505,958

Intuit,

Inc.

(a)

422

188,140

Invesco

Ltd.

(a)(c)

15,684

257,218

IPG

Photonics

Corp.

*(a)

495

61,038

IQVIA

Holdings,

Inc.

*(a)(c)

1,111

220,967

ITT,

Inc.

(a)(c)

2,813

242,762

Jabil,

Inc.

(a)

7,953

701,136

Janus

Henderson

Group

plc

(a)

5,488

146,200

Jazz

Pharmaceuticals

plc

*(a)(c)

1,247

182,474

JB

Hunt

Transport

Services,

Inc.

(a)(c)

1,364

239,327

Jefferies

Financial

Group,

Inc.

(a)

9,918

314,797

8

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Johnson

&

Johnson

(a)

373

57,815

Jones

Lang

LaSalle,

Inc.

*(a)

1,924

279,923

Juniper

Networks,

Inc.

(a)

1,579

54,349

KB

Home

(a)(c)

11,509

462,432

Kennametal,

Inc.

(a)(c)

12,322

339,841

Kimberly-Clark

Corp.

(a)

3,993

535,940

KLA

Corp.

(a)

377

150,487

Knight-Swift

Transportation

Holdings,

Inc.

(a)

9,488

536,831

Kroger

Co.

(The)

(a)(c)

13,355

659,336

Kyndryl

Holdings,

Inc.

*(a)

40,904

603,743

L3Harris

Technologies,

Inc.

(a)

1,185

232,544

Laboratory

Corp.

of

America

Holdings

(a)

882

202,348

Lam

Research

Corp.

(a)

403

213,638

Landstar

System,

Inc.

(a)

3,691

661,649

Lantheus

Holdings,

Inc.

*(a)(c)

4,128

340,808

Leidos

Holdings,

Inc.

(a)

448

41,243

Lennar

Corp.,

Class

A

(a)

4,440

466,688

Light

&

Wonder,

Inc.

*(a)(c)

4,422

265,541

Lincoln

Electric

Holdings,

Inc.

(a)(c)

1,054

178,231

Lithia

Motors,

Inc.,

Class

A

(a)

147

33,653

Littelfuse,

Inc.

(a)

248

66,486

LivaNova

plc

*(a)

954

41,575

LKQ

Corp.

(a)

17,884

1,015,096

Lockheed

Martin

Corp.

(a)

982

464,221

Loews

Corp.

(a)

3,025

175,511

Louisiana-Pacific

Corp.

(a)

1,648

89,338

Lowe's

Cos.,

Inc.

(a)

427

85,387

Lumentum

Holdings,

Inc.

(a)(c)

885

47,799

LyondellBasell

Industries

NV,

Class

A

(a)

6,378

598,830

Macy's,

Inc.

(a)(c)

30,692

536,803

Manhattan

Associates,

Inc.

*(a)(c)

1,480

229,178

ManpowerGroup,

Inc.

(a)

8,029

662,633

Marathon

Oil

Corp.

(a)

10,273

246,141

Marathon

Petroleum

Corp.

(a)

3,658

493,208

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

*(a)(c)

7,500

105,075

Marriott

Vacations

Worldwide

Corp.

(a)(c)

3,482

469,583

Masco

Corp.

(a)(c)

1,322

65,730

MasTec,

Inc.

*(a)(c)

1,676

158,281

Masterbrand,

Inc.

*(a)

14,687

118,083

Mastercard,

Inc.,

Class

A

(a)

933

339,062

Matador

Resources

Co.

(a)(c)

3,889

185,311

Maximus,

Inc.

(a)(c)

5,485

431,670

McKesson

Corp.

(a)

368

131,026

Medpace

Holdings,

Inc.

*(a)

978

183,913

Medtronic

plc

(a)

7,267

585,866

Merck

&

Co.,

Inc.

(a)

6,384

679,194

Meta

Platforms,

Inc.,

Class

A

*(a)

4,210

892,267

Mettler-Toledo

International,

Inc.

*(a)

185

283,089

MGIC

Investment

Corp.

(a)(c)

2,889

38,770

MGM

Resorts

International

(a)(c)

5,045

224,099

Microchip

Technology,

Inc.

(a)(c)

4,509

377,764

Micron

Technology,

Inc.

(a)(c)

6,859

413,872

Moderna,

Inc.

*(a)(c)

2,448

375,964

Mohawk

Industries,

Inc.

*(a)(c)

2,240

224,493

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Molina

Healthcare,

Inc.

*(a)

693

185,371

Molson

Coors

Beverage

Co.,

Class

B

(a)(c)

9,023

466,309

Mosaic

Co.

(The)

(a)

10,369

475,730

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)

1,566

131,544

Murphy

Oil

Corp.

(a)

3,753

138,786

Murphy

USA,

Inc.

(a)

2,685

692,864

National

Fuel

Gas

Co.

(a)(c)

457

26,387

Navient

Corp.

(a)

13,015

208,110

NCR

Corp.

*(a)(c)

19,285

454,933

Nexstar

Media

Group,

Inc.

(a)

814

140,545

NiSource,

Inc.

(a)

5,133

143,519

Nordson

Corp.

(a)

123

27,338

Nordstrom,

Inc.

(a)(c)

9,636

156,778

NorthWestern

Corp.

(a)(c)

2,923

169,125

NRG

Energy,

Inc.

(a)

18,650

639,509

Nu

Skin

Enterprises,

Inc.,

Class

A

(a)(c)

8,715

342,587

Nucor

Corp.

(a)

1,669

257,810

nVent

Electric

plc

(a)

5,559

238,703

NVR,

Inc.

*(a)

13

72,438

Occidental

Petroleum

Corp.

(a)

1,390

86,778

OGE

Energy

Corp.

(a)(c)

5,794

218,202

Olaplex

Holdings,

Inc.

*

30,858

131,764

Old

Republic

International

Corp.

(a)

17,356

433,379

Olin

Corp.

(a)

7,998

443,889

ON

Semiconductor

Corp.

*(a)(c)

4,130

339,982

ONE

Gas,

Inc.

(a)

3,539

280,395

OneMain

Holdings,

Inc.

(a)(c)

2,564

95,073

Organon

&

Co.

(a)

1,469

34,551

Oshkosh

Corp.

(a)

3,511

292,045

Ovintiv,

Inc.

(a)(c)

7,448

268,724

Owens

Corning

(a)

6,759

647,512

PACCAR,

Inc.

(a)(c)

6,797

497,540

Packaging

Corp.

of

America

(a)(c)

2,219

308,064

Patterson

Cos.,

Inc.

(a)

1,260

33,730

Paychex,

Inc.

(a)

231

26,470

PBF

Energy,

Inc.,

Class

A

(a)(c)

10,192

441,925

PDC

Energy,

Inc.

(a)(c)

3,853

247,286

Penn

Entertainment,

Inc.

*(a)(c)

2,551

75,663

Penske

Automotive

Group,

Inc.

(a)

4,263

604,536

Pentair

plc

(a)

3,106

171,669

PepsiCo,

Inc.

(a)(c)

2,715

494,945

Performance

Food

Group

Co.

*(a)

(c)

3,014

181,865

Petco

Health

&

Wellness

Co.,

Inc.

*(a)

6,544

58,896

Pfizer,

Inc.

(a)(c)

10,743

438,314

Philip

Morris

International,

Inc.

(a)

3,560

346,210

Phillips

66

(a)(c)

3,390

343,678

Pilgrim's

Pride

Corp.

*(a)

14,197

329,086

Pinnacle

West

Capital

Corp.

(a)

5,680

450,083

Playtika

Holding

Corp.

*(a)

40,423

455,163

Polaris,

Inc.

(a)(c)

3,848

425,704

Pool

Corp.

(a)

773

264,706

Popular,

Inc.

5,592

321,037

Portland

General

Electric

Co.

(a)

1,401

68,495

Post

Holdings,

Inc.

*(a)

1,508

135,524

Power

Integrations,

Inc.

(a)

1,687

142,788

9

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Premier,

Inc.,

Class

A

(a)(c)

787

25,475

Principal

Financial

Group,

Inc.

(a)

(c)

6,717

499,207

Procter

&

Gamble

Co.

(The)

(a)

2,310

343,474

PTC,

Inc.

*(a)

743

95,275

PulteGroup,

Inc.

(a)

9,908

577,438

PVH

Corp.

(a)

8,511

758,841

QIAGEN

NV

(2)*(a)

6,207

282,707

Qorvo,

Inc.

*(a)

2,423

246,104

QUALCOMM,

Inc.

(a)

1,669

212,931

Qualys,

Inc.

*(a)

1,735

225,585

Quest

Diagnostics,

Inc.

(a)(c)

1,112

157,326

QuidelOrtho

Corp.

*(a)(c)

4,770

424,959

Ralph

Lauren

Corp.

(a)(c)

2,631

306,959

Raytheon

Technologies

Corp.

(a)(c)

2,455

240,418

Regal

Rexnord

Corp.

(a)(c)

2,696

379,408

Regeneron

Pharmaceuticals,

Inc.

*(a)

687

564,487

Reinsurance

Group

of

America,

Inc.

(a)

1,471

195,290

Reliance

Steel

&

Aluminum

Co.

(a)

1,161

298,075

Reynolds

Consumer

Products,

Inc.

(a)(c)

2,635

72,463

RingCentral,

Inc.,

Class

A

*(a)

6,088

186,719

Robert

Half

International,

Inc.

(a)

4,237

341,375

Roche

Holding

AG

(2)(a)

597

170,588

Roper

Technologies,

Inc.

(a)

689

303,635

RXO,

Inc.

*(a)(c)

5,545

108,904

Ryder

System,

Inc.

(a)

4,658

415,680

Salesforce,

Inc.

*(a)

1,796

358,805

Schneider

National,

Inc.,

Class

B

(a)

24,852

664,791

Science

Applications

International

Corp.

(a)(c)

1,605

172,473

Seagate

Technology

Holdings

plc

(a)

656

43,375

SEI

Investments

Co.

(a)

4,061

233,711

Semtech

Corp.

*(a)

1,250

30,175

Sensata

Technologies

Holding

plc

(a)(c)

3,882

194,178

Signify

NV

(2)(a)(b)

20,257

675,471

Silgan

Holdings,

Inc.

(a)(c)

5,212

279,728

Sinch

AB

(2)*(a)(b)

176,733

478,053

Six

Flags

Entertainment

Corp.

*(a)

9,177

245,118

Skechers

USA,

Inc.,

Class

A

*(a)

6,016

285,880

Skyworks

Solutions,

Inc.

(a)

3,331

392,991

Snap-on,

Inc.

(a)

1,717

423,910

Sotera

Health

Co.

*(a)

6,777

121,376

Southwest

Airlines

Co.

(a)

8,387

272,913

Southwestern

Energy

Co.

*(a)(c)

49,580

247,900

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(a)(c)

2,769

95,614

Sprouts

Farmers

Market,

Inc.

*(a)

(c)

9,195

322,101

SS&C

Technologies

Holdings,

Inc.

(a)(c)

1,661

93,797

State

Street

Corp.

(a)

5,109

386,700

Steel

Dynamics,

Inc.

(a)(c)

5,396

610,072

Stellantis

NV

(2)(a)

51,327

933,447

STERIS

plc

(a)(c)

1,129

215,955

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Stifel

Financial

Corp.

(a)

5,115

302,245

Super

Micro

Computer,

Inc.

*(a)

1,303

138,835

Swiss

Re

AG

(2)(a)

2,443

250,978

Synaptics,

Inc.

*(a)

3,769

418,924

Synchrony

Financial

(a)

17,252

501,688

Syneos

Health,

Inc.

*(a)

17,367

618,613

Synopsys,

Inc.

*(a)(c)

1,051

405,949

Synovus

Financial

Corp.

(a)

2,625

80,929

T.

Rowe

Price

Group,

Inc.

(a)(c)

806

90,997

Tapestry,

Inc.

(a)(c)

8,719

375,876

Taylor

Morrison

Home

Corp.,

Class

A

*(a)

18,187

695,835

TD

SYNNEX

Corp.

(a)(c)

6,096

590,032

Teleflex,

Inc.

(a)

866

219,366

Tenaris

SA

(2)(a)

49,277

698,216

Tenet

Healthcare

Corp.

*(a)

6,174

366,859

Teradata

Corp.

*(a)(c)

16,142

650,200

Teradyne,

Inc.

(a)

2,111

226,954

Terex

Corp.

(a)

10,810

522,988

Tetra

Tech,

Inc.

(a)

1,297

190,542

Texas

Instruments,

Inc.

(a)

421

78,310

Texas

Roadhouse,

Inc.

(a)(c)

4,320

466,819

Textron,

Inc.

(a)(c)

13,862

979,073

Thermo

Fisher

Scientific,

Inc.

(a)

413

238,041

Thor

Industries,

Inc.

(a)(c)

2,931

233,425

Timken

Co.

(The)

(a)(c)

5,068

414,157

Toll

Brothers,

Inc.

(a)

10,659

639,860

Travel

+

Leisure

Co.

(a)

12,687

497,330

Travelers

Cos.,

Inc.

(The)

(a)

1,569

268,942

TripAdvisor,

Inc.

*(a)

24,462

485,815

Tyson

Foods,

Inc.,

Class

A

(a)

5,969

354,081

UGI

Corp.

(a)(c)

5,104

177,415

U-Haul

Holding

Co.

(a)(c)

1,721

89,234

U-Haul

Holding

Co.

(a)

252

15,032

Ulta

Beauty,

Inc.

*(a)

273

148,968

United

Airlines

Holdings,

Inc.

*(a)

4,642

205,409

United

Rentals,

Inc.

(a)

1,328

525,569

United

States

Steel

Corp.

(a)(c)

20,053

523,383

United

Therapeutics

Corp.

*(a)

3,280

734,589

Univar

Solutions,

Inc.

*(a)(c)

7,972

279,259

Universal

Display

Corp.

(a)

1,007

156,216

Universal

Health

Services,

Inc.,

Class

B

(a)

3,772

479,421

Unum

Group

(a)

14,629

578,723

US

Foods

Holding

Corp.

*(a)

7,080

261,535

Vail

Resorts,

Inc.

(a)

967

225,969

Valero

Energy

Corp.

(a)

4,181

583,668

Veeva

Systems,

Inc.,

Class

A

*(a)

1,053

193,531

VeriSign,

Inc.

*(a)

705

148,988

Verizon

Communications,

Inc.

(a)(c)

9,391

365,216

Vertex

Pharmaceuticals,

Inc.

*(a)

1,274

401,399

Vertiv

Holdings

Co.

(a)

8,307

118,873

Viasat,

Inc.

(a)(c)

7,325

247,878

Viatris,

Inc.

(a)(c)

52,894

508,840

Victoria's

Secret

&

Co.

*(a)(c)

5,148

175,804

Vishay

Intertechnology,

Inc.

(a)(c)

25,089

567,513

Vistra

Corp.

(a)

6,961

167,064

Vontier

Corp.

(a)

3,778

103,291

Voya

Financial,

Inc.

(a)

1,595

113,979

10

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

92.6%

(continued)

Walgreens

Boots

Alliance,

Inc.

(a)

(c)

7,168

247,869

Walmart,

Inc.

(a)

5,397

795,788

Washington

Federal,

Inc.

(a)(c)

1,654

49,818

Waters

Corp.

*(a)

619

191,661

Watts

Water

Technologies,

Inc.,

Class

A

(a)

1,075

180,944

Werner

Enterprises,

Inc.

(a)

10,366

471,549

WESCO

International,

Inc.

(a)(c)

1,816

280,645

Western

Union

Co.

(The)

(a)

43,570

485,806

Westlake

Corp.

(a)(c)

4,093

474,706

Westrock

Co.

(a)

9,712

295,925

WEX,

Inc.

*(a)

353

64,913

Williams-Sonoma,

Inc.

(a)

3,158

384,202

WillScot

Mobile

Mini

Holdings

Corp.

*(a)

1,494

70,039

Wintrust

Financial

Corp.

(a)

880

64,196

Woodward,

Inc.

(a)

2,206

214,798

Wyndham

Hotels

&

Resorts,

Inc.

(a)

2,029

137,668

XPO,

Inc.

*(a)

4,771

152,195

YETI

Holdings,

Inc.

*(a)(c)

1,329

53,160

Ziff

Davis,

Inc.

*(a)(c)

2,656

207,301

Zimmer

Biomet

Holdings,

Inc.

(a)(c)

1,817

234,756

Zoom

Video

Communications,

Inc.,

Class

A

*(a)(c)

4,908

362,407

147,745,013

—

TOTAL

COMMON

STOCKS

(Cost

$228,634,579)

284,313,181

PREFERRED

STOCKS

-

0.1%

Germany

-

0.1%

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

(Cost

$71,317)

1,188

92,942

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(d)

Germany

-

0.0%

(d)

TUI

AG,

expiring

4/17/2023

*(a)(c)

(Cost

$–)

40,181

53,037

SHARES

SHORT-TERM

INVESTMENTS

-

72.9%

INVESTMENT

COMPANIES

-

53.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(e)(f)

3,877,267

3,877,267

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

4.80%

(e)(f)

141,312

141,312

Limited

Purpose

Cash

Investment

Fund,

4.73%

(e)

82,003,043

81,970,241

TOTAL

INVESTMENT

COMPANIES

(Cost

$85,976,989)

85,988,820

—

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

19.0%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(2)(g)

$

1,474,000

1,473,433

4.11%,

4/13/2023

(2)(g)(h)

19,310,000

19,285,226

4.33%,

4/20/2023

(2)(g)

474,000

472,960

4.49%,

4/27/2023

(2)(g)

555,000

553,298

4.59%,

5/11/2023

(2)(g)

1,127,000

1,121,469

4.54%,

5/18/2023

(2)(g)

220,000

218,713

4.66%,

6/1/2023

(2)(g)

230,000

228,290

4.74%,

6/15/2023

(2)(g)

158,000

156,513

4.66%,

6/22/2023

(2)(g)

637,000

630,490

4.75%,

7/6/2023

(2)(g)

546,000

539,381

4.82%,

7/13/2023

(2)(g)

1,383,000

1,364,850

4.80%,

7/20/2023

(2)(g)

262,000

258,359

4.79%,

8/3/2023

(2)(g)

355,000

349,334

5.07%,

8/31/2023

(2)(g)

191,000

187,276

5.10%,

9/7/2023

(2)(g)

878,000

860,080

4.81%,

9/14/2023

(2)(g)

1,519,000

1,486,423

4.73%,

9/21/2023

(2)(g)

741,000

724,530

4.76%,

9/28/2023

(2)(g)

431,000

420,977

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$30,327,147)

30,331,602

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$116,304,136)

116,320,422

TOTAL

LONG

POSITIONS

(Cost

$345,010,032)

400,779,582

SHARES

SHORT

POSITIONS

-

(162.8)%

COMMON

STOCKS

-

(162.2)%

Australia

-

(4.1)%

Allkem

Ltd.

(2)

(12,520)

(100,299)

ALS

Ltd.

(2)

(3,366)

(27,951)

Alumina

Ltd.

(2)

(228,311)

(223,799)

Ampol

Ltd.

(2)

(7,804)

(159,107)

APA

Group

(2)

(46,310)

(314,594)

Cleanaway

Waste

Management

Ltd.

(2)

(50,585)

(80,946)

Cochlear

Ltd.

(2)

(743)

(118,286)

Commonwealth

Bank

of

Australia

(2)

(6,208)

(409,886)

Domino's

Pizza

Enterprises

Ltd.

(2)

(828)

(27,795)

Endeavour

Group

Ltd.

(2)

(49,352)

(224,221)

Evolution

Mining

Ltd.

(2)

(80,004)

(166,107)

Fortescue

Metals

Group

Ltd.

(2)

(8,647)

(129,978)

IDP

Education

Ltd.

(2)

(28,215)

(519,959)

IGO

Ltd.

(2)

(41,664)

(357,274)

Insurance

Australia

Group

Ltd.

(2)

(92,315)

(290,579)

Lendlease

Corp.

Ltd.

(2)

(12,068)

(58,730)

Lynas

Rare

Earths

Ltd.

(2)

(78,359)

(333,567)

Macquarie

Group

Ltd.

(2)

(1,647)

(195,004)

Medibank

Pvt

Ltd.

(2)

(11,966)

(27,003)

Mineral

Resources

Ltd.

(2)

(2,278)

(123,142)

National

Australia

Bank

Ltd.

(2)

(13,913)

(259,246)

Newcrest

Mining

Ltd.

(2)

(5,635)

(100,587)

NEXTDC

Ltd.

(2)

(32,788)

(232,034)

QBE

Insurance

Group

Ltd.

(2)

(28,759)

(281,566)

Ramsay

Health

Care

Ltd.

(2)

(13,560)

(605,903)

REA

Group

Ltd.

(2)

(2,608)

(243,179)

11

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Australia

-

(4.1)%

(continued)

Reece

Ltd.

(2)

(7,845)

(91,942)

Santos

Ltd.

(2)

(13,555)

(62,386)

SEEK

Ltd.

(2)

(10,858)

(175,521)

Seven

Group

Holdings

Ltd.

(2)

(6,124)

(95,129)

Transurban

Group

(2)

(7,294)

(69,646)

WiseTech

Global

Ltd.

(2)

(587)

(25,860)

Woodside

Energy

Group

Ltd.

(2)

(11,214)

(250,523)

Woolworths

Group

Ltd.

(2)

(8,428)

(214,263)

(6,596,012)

—

Belgium

-

(0.8)%

Anheuser-Busch

InBev

SA/NV

(2)

(5,898)

(393,161)

D'ieteren

Group

(2)

(1,844)

(358,809)

Galapagos

NV

(2)

(1,901)

(73,084)

KBC

Group

NV

(2)

(2,049)

(140,788)

UCB

SA

(2)

(3,965)

(354,377)

(1,320,219)

—

Brazil

-

(0.4)%

MercadoLibre,

Inc.

(362)

(477,138)

Wheaton

Precious

Metals

Corp.

(4,853)

(233,727)

(710,865)

—

Canada

-

(7.6)%

Agnico

Eagle

Mines

Ltd.

(7,908)

(403,153)

Air

Canada

(20,260)

(287,073)

Alamos

Gold,

Inc.,

Class

A

(11,254)

(137,396)

Algonquin

Power

&

Utilities

Corp.

(55,716)

(467,495)

AltaGas

Ltd.

(2,526)

(42,109)

Aritzia,

Inc.

(12,773)

(409,889)

Ballard

Power

Systems,

Inc.

(15,627)

(87,183)

Barrick

Gold

Corp.

(19,544)

(362,826)

BlackBerry

Ltd.

(42,730)

(196,024)

Boralex,

Inc.,

Class

A

(1,645)

(50,086)

Brookfield

Corp.

(9,680)

(315,361)

CAE,

Inc.

(6,133)

(138,679)

Cameco

Corp.

(14,938)

(391,162)

Canadian

Pacific

Railway

Ltd.

(2,116)

(162,939)

CCL

Industries,

Inc.,

Class

B

(4,207)

(208,996)

Colliers

International

Group,

Inc.

(2,931)

(309,322)

Constellation

Software,

Inc.

(181)

(340,292)

Descartes

Systems

Group,

Inc.

(The)

(1,047)

(84,504)

Dollarama,

Inc.

(5,467)

(326,726)

Element

Fleet

Management

Corp.

(18,402)

(241,684)

Emera,

Inc.

(9,702)

(398,561)

Enbridge,

Inc.

(14,464)

(551,483)

FirstService

Corp.

(1,208)

(170,210)

Franco-Nevada

Corp.

(2,840)

(414,243)

GFL

Environmental,

Inc.

(6,143)

(211,812)

Gildan

Activewear,

Inc.

(918)

(30,498)

Innergex

Renewable

Energy,

Inc.

(13,007)

(141,282)

Intact

Financial

Corp.

(2,301)

(329,308)

Kinaxis,

Inc.

(1,625)

(223,111)

Kinross

Gold

Corp.

(11,742)

(55,256)

Lightspeed

Commerce,

Inc.

(1,691)

(25,712)

Lumine

Group,

Inc.

(i)

(225)

(2,449)

Metro,

Inc.

(4,717)

(259,461)

Nuvei

Corp.

(b)

(1,126)

(49,056)

Pan

American

Silver

Corp.

(13,309)

(242,841)

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(7.6)%

(continued)

Pembina

Pipeline

Corp.

(2,172)

(70,359)

PrairieSky

Royalty

Ltd.

(10,890)

(172,435)

Restaurant

Brands

International,

Inc.

(2,871)

(192,738)

Ritchie

Bros

Auctioneers,

Inc.

(2,689)

(151,292)

Rogers

Communications,

Inc.,

Class

B

(9,435)

(437,298)

Royal

Bank

of

Canada

(3,961)

(378,808)

Shopify,

Inc.,

Class

A

(19,896)

(953,949)

SNC-Lavalin

Group,

Inc.

(10,189)

(250,447)

SSR

Mining,

Inc.

(7,538)

(114,004)

TC

Energy

Corp.

(7,954)

(309,391)

Thomson

Reuters

Corp.

(3,180)

(413,741)

WSP

Global,

Inc.

(3,877)

(507,840)

Yamana

Gold,

Inc.

(8,722)

(50,854)

(12,071,338)

—

Chile

-

(0.3)%

Antofagasta

plc

(2)

(25,289)

(495,348)

China

-

(0.3)%

Prosus

NV

(2)

(5,681)

(444,845)

Denmark

-

(2.2)%

Ambu

A/S,

Class

B

(2)

(7,603)

(114,327)

Coloplast

A/S,

Class

B

(2)

(2,697)

(355,107)

Demant

A/S

(2)

(1,987)

(69,757)

DSV

A/S

(2)

(2,848)

(552,220)

Novo

Nordisk

A/S,

Class

B

(2)

(744)

(118,163)

Novozymes

A/S,

Class

B

(2)

(6,523)

(333,998)

Orsted

A/S

(2)(b)

(7,132)

(608,131)

Tryg

A/S

(2)

(19,360)

(423,318)

Vestas

Wind

Systems

A/S

(2)

(30,615)

(892,257)

(3,467,278)

—

Faroe

Islands

-

(0.0)%

(d)

Bakkafrost

P/F

(2)

(828)

(53,455)

Finland

-

(1.0)%

Huhtamaki

OYJ

(2)

(2,643)

(98,187)

Neste

OYJ

(2)

(8,002)

(395,330)

Nokian

Renkaat

OYJ

(2)

(19,991)

(191,251)

Nordea

Bank

Abp

(2)

(10,979)

(117,237)

Sampo

OYJ,

Class

A

(2)

(6,015)

(283,819)

UPM-Kymmene

OYJ

(2)

(15,351)

(515,609)

(1,601,433)

—

France

-

(5.9)%

Accor

SA

(2)

(5,054)

(164,311)

Aeroports

de

Paris

(2)

(379)

(54,107)

Air

Liquide

SA

(2)

(3,759)

(629,214)

Airbus

SE

(2)

(4,625)

(617,750)

BioMerieux

(2)

(1,878)

(197,972)

Bollore

SE

(2)

(30,917)

(191,118)

Bureau

Veritas

SA

(2)

(7,479)

(214,890)

Capgemini

SE

(2)

(1,053)

(195,685)

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

(11,027)

(337,076)

Dassault

Systemes

SE

(2)

(24,918)

(1,027,895)

Edenred

(2)

(12,458)

(737,324)

EssilorLuxottica

SA

(2)

(1,199)

(216,207)

Faurecia

SE

(2)

(11,738)

(255,108)

12

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

(5.9)%

(continued)

Gaztransport

Et

Technigaz

SA

(2)

(379)

(38,782)

Getlink

SE

(2)

(8,181)

(134,738)

Hermes

International

(2)

(110)

(222,778)

Kering

SA

(2)

(140)

(91,340)

Legrand

SA

(2)

(492)

(44,955)

L'Oreal

SA

(2)

(1,280)

(571,959)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2)

(894)

(820,611)

Pernod

Ricard

SA

(2)

(1,743)

(394,669)

Remy

Cointreau

SA

(2)

(209)

(38,055)

Safran

SA

(2)

(1,213)

(179,568)

Sartorius

Stedim

Biotech

(2)

(2,310)

(708,697)

SEB

SA

(2)

(1,247)

(141,889)

SOITEC

(2)

(1,067)

(171,225)

Teleperformance

(2)

(431)

(104,144)

Thales

SA

(2)

(1,521)

(224,875)

Valeo

(2)

(7,409)

(152,031)

Worldline

SA

(2)(b)

(12,032)

(511,342)

(9,390,315)

—

Germany

-

(5.6)%

adidas

AG

(2)

(4,308)

(763,690)

Aroundtown

SA

(2)

(19,958)

(28,531)

Carl

Zeiss

Meditec

AG

(2)

(2,523)

(351,433)

Continental

AG

(2)

(3,038)

(227,636)

CTS

Eventim

AG

&

Co.

KGaA

(2)

(4,881)

(305,140)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)

(4,136)

(208,495)

Infineon

Technologies

AG

(2)

(10,164)

(417,387)

Merck

KGaA

(2)

(4,145)

(772,773)

MTU

Aero

Engines

AG

(2)

(515)

(128,874)

Nemetschek

SE

(2)

(4,159)

(287,099)

Puma

SE

(2)

(4,058)

(251,565)

Rational

AG

(2)

(121)

(81,334)

Rheinmetall

AG

(2)

(836)

(247,665)

RWE

AG

(2)

(32,258)

(1,388,010)

SAP

SE

(2)

(5,067)

(639,813)

Siemens

AG

(Registered)

(2)

(1,078)

(174,640)

Siemens

Healthineers

AG

(2)(b)

(15,871)

(914,995)

Symrise

AG

(2)

(7,065)

(768,841)

TeamViewer

SE

(2)(b)

(5,705)

(97,187)

United

Internet

AG

(Registered)

(2)

(2,660)

(45,853)

VERBIO

Vereinigte

BioEnergie

AG

(2)

(1,741)

(81,787)

Vonovia

SE

(2)

(17,661)

(332,642)

Zalando

SE

(2)(b)

(10,112)

(423,799)

(8,939,189)

—

Hong

Kong

-

(0.4)%

Prudential

plc

(2)

(46,873)

(641,768)

Italy

-

(3.1)%

Amplifon

SpA

(2)

(6,675)

(231,359)

Brunello

Cucinelli

SpA

(2)

(683)

(67,765)

Davide

Campari-Milano

NV

(2)

(30,661)

(374,121)

DiaSorin

SpA

(2)

(880)

(92,736)

ERG

SpA

(2)

(8,068)

(244,808)

Ferrari

NV

(2)

(1,993)

(540,071)

FinecoBank

Banca

Fineco

SpA

(2)

(3,135)

(48,032)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

(3.1)%

(continued)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(26,313)

(345,709)

Interpump

Group

SpA

(2)

(4,499)

(252,296)

Moncler

SpA

(2)

(9,522)

(657,699)

Nexi

SpA

(2)(b)

(81,682)

(663,840)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(2)

(9,529)

(403,071)

Snam

SpA

(2)

(21,120)

(111,979)

Telecom

Italia

SpA

(2)

(1,140,163)

(376,008)

Terna

-

Rete

Elettrica

Nazionale

(2)

(72,595)

(595,815)

(5,005,309)

—

Japan

-

(24.9)%

ABC-Mart,

Inc.

(2)

(1,300)

(71,940)

Advantest

Corp.

(2)

(4,600)

(426,449)

Aeon

Co.

Ltd.

(2)

(23,900)

(463,679)

Ajinomoto

Co.,

Inc.

(2)

(4,400)

(153,067)

ANA

Holdings,

Inc.

(2)

(6,000)

(130,410)

Asahi

Intecc

Co.

Ltd.

(2)

(11,900)

(210,252)

Asics

Corp.

(2)

(15,300)

(435,812)

Astellas

Pharma,

Inc.

(2)

(5,700)

(80,982)

Azbil

Corp.

(2)

(2,500)

(68,474)

Bandai

Namco

Holdings,

Inc.

(2)

(7,800)

(168,161)

Bank

of

Kyoto

Ltd.

(The)

(2)

(2,800)

(132,439)

BayCurrent

Consulting,

Inc.

(2)

(3,300)

(137,010)

Bridgestone

Corp.

(2)

(6,800)

(276,234)

Calbee,

Inc.

(2)

(6,800)

(142,000)

Canon,

Inc.

(2)

(8,600)

(191,521)

Capcom

Co.

Ltd.

(2)

(6,800)

(243,376)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(5,900)

(145,687)

Concordia

Financial

Group

Ltd.

(2)

(34,900)

(128,640)

Cosmos

Pharmaceutical

Corp.

(2)

(2,600)

(234,131)

Daifuku

Co.

Ltd.

(2)

(9,900)

(183,815)

Daiichi

Sankyo

Co.

Ltd.

(2)

(15,300)

(558,108)

Daikin

Industries

Ltd.

(2)

(6,200)

(1,112,321)

Denso

Corp.

(2)

(14,300)

(807,199)

Disco

Corp.

(2)

(3,600)

(418,794)

East

Japan

Railway

Co.

(2)

(9,600)

(531,279)

Eisai

Co.

Ltd.

(2)

(8,900)

(505,516)

FANUC

Corp.

(2)

(29,500)

(1,065,310)

Fast

Retailing

Co.

Ltd.

(2)

(600)

(131,348)

FUJIFILM

Holdings

Corp.

(2)

(5,400)

(274,120)

GMO

Payment

Gateway,

Inc.

(2)

(2,000)

(173,155)

Harmonic

Drive

Systems,

Inc.

(2)

(11,400)

(380,171)

Hikari

Tsushin,

Inc.

(2)

(1,200)

(168,632)

Hoshizaki

Corp.

(2)

(5,700)

(210,583)

Hoya

Corp.

(2)

(4,200)

(464,152)

Hulic

Co.

Ltd.

(2)

(15,200)

(125,024)

Itochu

Techno-Solutions

Corp.

(2)

(2,500)

(61,600)

Japan

Airlines

Co.

Ltd.

(2)

(27,300)

(532,298)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(10,200)

(509,519)

JSR

Corp.

(2)

(32,300)

(764,098)

Kadokawa

Corp.

(2)

(12,800)

(273,381)

Kakaku.com,

Inc.

(2)

(6,900)

(94,718)

Kansai

Paint

Co.

Ltd.

(2)

(12,000)

(162,631)

KDDI

Corp.

(2)

(5,400)

(166,524)

Keio

Corp.

(2)

(8,800)

(309,010)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(8,100)

(249,499)

Keyence

Corp.

(2)

(800)

(392,087)

Kikkoman

Corp.

(2)

(5,700)

(291,005)

13

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(24.9)%

(continued)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(9,300)

(299,589)

Kobe

Bussan

Co.

Ltd.

(2)

(19,100)

(533,314)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(4,400)

(79,523)

Kose

Corp.

(2)

(2,300)

(273,374)

Kubota

Corp.

(2)

(28,600)

(433,614)

Kurita

Water

Industries

Ltd.

(2)

(2,800)

(128,260)

Kyowa

Kirin

Co.

Ltd.

(2)

(6,300)

(137,539)

Kyushu

Railway

Co.

(2)

(2,500)

(55,624)

Lasertec

Corp.

(2)

(3,900)

(692,950)

M3,

Inc.

(2)

(24,600)

(619,159)

Makita

Corp.

(2)

(13,000)

(323,763)

Marui

Group

Co.

Ltd.

(2)

(17,100)

(261,748)

MatsukiyoCocokara

&

Co.

(2)

(5,600)

(296,641)

Mercari,

Inc.

(2)

(14,800)

(260,869)

Mitsubishi

Estate

Co.

Ltd.

(2)

(27,000)

(321,156)

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

(96,500)

(618,437)

Mitsui

Fudosan

Co.

Ltd.

(2)

(9,900)

(185,966)

Mitsui

OSK

Lines

Ltd.

(2)

(16,500)

(413,781)

Miura

Co.

Ltd.

(2)

(1,000)

(25,647)

MonotaRO

Co.

Ltd.

(2)

(29,900)

(376,609)

Nabtesco

Corp.

(2)

(1,400)

(34,435)

Nagoya

Railroad

Co.

Ltd.

(2)

(6,700)

(103,418)

Nexon

Co.

Ltd.

(2)

(1,500)

(35,818)

NIDEC

Corp.

(2)

(19,000)

(988,779)

Nihon

M&A

Center

Holdings,

Inc.

(2)

(16,100)

(120,675)

Nintendo

Co.

Ltd.

(2)

(7,000)

(271,891)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(29,800)

(280,212)

Nippon

Sanso

Holdings

Corp.

(2)

(4,900)

(88,526)

Nippon

Shinyaku

Co.

Ltd.

(2)

(2,000)

(88,250)

Nissan

Chemical

Corp.

(2)

(1,900)

(86,292)

Nissan

Motor

Co.

Ltd.

(2)

(90,500)

(342,505)

Nisshin

Seifun

Group,

Inc.

(2)

(2,200)

(25,746)

Nissin

Foods

Holdings

Co.

Ltd.

(2)

(400)

(36,576)

Nitori

Holdings

Co.

Ltd.

(2)

(1,600)

(193,219)

Nomura

Research

Institute

Ltd.

(2)

(17,500)

(409,285)

Obic

Co.

Ltd.

(2)

(2,900)

(459,341)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(26,200)

(340,870)

Olympus

Corp.

(2)

(11,200)

(196,703)

Omron

Corp.

(2)

(1,300)

(76,085)

Oriental

Land

Co.

Ltd.

(2)

(16,000)

(547,828)

Pan

Pacific

International

Holdings

Corp.

(2)

(6,600)

(127,685)

Rakuten

Group,

Inc.

(2)

(140,100)

(653,398)

Recruit

Holdings

Co.

Ltd.

(2)

(6,200)

(170,556)

Resona

Holdings,

Inc.

(2)

(91,800)

(442,856)

Resonac

Holdings

Corp.

(2)

(10,800)

(178,316)

Rinnai

Corp.

(2)

(4,800)

(117,557)

Sekisui

House

Ltd.

(2)

(21,900)

(446,349)

Seven

&

i

Holdings

Co.

Ltd.

(2)

(3,700)

(167,144)

SG

Holdings

Co.

Ltd.

(2)

(25,100)

(372,187)

Sharp

Corp.

(2)

(21,400)

(151,308)

SHIFT,

Inc.

(2)

(300)

(53,659)

Shimadzu

Corp.

(2)

(900)

(28,253)

Shimano,

Inc.

(2)

(1,400)

(242,740)

Shionogi

&

Co.

Ltd.

(2)

(1,900)

(85,700)

Shiseido

Co.

Ltd.

(2)

(6,000)

(281,300)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(24.9)%

(continued)

Shizuoka

Financial

Group,

Inc.

(2)

(6,600)

(47,394)

SMC

Corp.

(2)

(700)

(371,082)

SoftBank

Corp.

(2)

(61,700)

(712,253)

SoftBank

Group

Corp.

(2)

(22,800)

(896,348)

Sony

Group

Corp.

(2)

(11,800)

(1,074,784)

Suzuki

Motor

Corp.

(2)

(2,600)

(94,685)

Sysmex

Corp.

(2)

(3,100)

(203,458)

T&D

Holdings,

Inc.

(2)

(12,700)

(157,402)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(7,000)

(229,905)

Terumo

Corp.

(2)

(8,900)

(240,703)

TIS,

Inc.

(2)

(1,000)

(26,446)

Tobu

Railway

Co.

Ltd.

(2)

(10,900)

(260,954)

Toho

Co.

Ltd.

(2)

(1,200)

(46,007)

Tokio

Marine

Holdings,

Inc.

(2)

(8,700)

(167,431)

Tokyo

Century

Corp.

(2)

(1,100)

(36,723)

Tokyo

Electron

Ltd.

(2)

(4,800)

(586,397)

Tokyu

Corp.

(2)

(24,400)

(324,816)

Toshiba

Corp.

(2)

(16,300)

(547,347)

TOTO

Ltd.

(2)

(4,400)

(147,416)

Toyota

Motor

Corp.

(2)

(88,200)

(1,255,564)

Trend

Micro,

Inc.

(2)

(800)

(39,248)

Unicharm

Corp.

(2)

(7,500)

(308,293)

USS

Co.

Ltd.

(2)

(17,900)

(310,558)

Welcia

Holdings

Co.

Ltd.

(2)

(14,000)

(299,720)

West

Japan

Railway

Co.

(2)

(11,900)

(490,180)

Yakult

Honsha

Co.

Ltd.

(2)

(1,800)

(130,789)

Yamaha

Corp.

(2)

(18,800)

(726,131)

Yamato

Holdings

Co.

Ltd.

(2)

(4,900)

(84,110)

Yaskawa

Electric

Corp.

(2)

(6,600)

(289,475)

Z

Holdings

Corp.

(2)

(85,900)

(243,565)

(39,688,370)

—

Luxembourg

-

(0.0)%

(d)

Eurofins

Scientific

SE

(2)

(1,028)

(68,835)

Netherlands

-

(2.7)%

Adyen

NV

(2)(b)

(298)

(474,842)

Akzo

Nobel

NV

(2)

(3,721)

(291,037)

Argenx

SE

(2)

(1,716)

(637,246)

ASM

International

NV

(2)

(644)

(261,400)

ASML

Holding

NV

(2)

(1,084)

(738,690)

BE

Semiconductor

Industries

NV

(2)

(387)

(33,826)

EXOR

NV

(2)

(1,108)

(91,365)

IMCD

NV

(2)

(1,981)

(323,925)

JDE

Peet's

NV

(1,149)

(33,420)

Koninklijke

KPN

NV

(2)

(65,699)

(232,152)

Koninklijke

Vopak

NV

(2)

(4,807)

(169,716)

SBM

Offshore

NV

(2)

(9,367)

(139,076)

Universal

Music

Group

NV

(2)

(27,143)

(687,390)

Wolters

Kluwer

NV

(2)

(1,735)

(219,020)

(4,333,105)

—

New

Zealand

-

(0.1)%

Xero

Ltd.

(2)

(3,039)

(184,320)

Norway

-

(0.6)%

DNB

Bank

ASA

(2)

(9,212)

(164,856)

Gjensidige

Forsikring

ASA

(2)

(15,252)

(249,405)

Kongsberg

Gruppen

ASA

(2)

(4,899)

(198,031)

Mowi

ASA

(2)

(8,628)

(159,583)

14

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Norway

-

(0.6)%

(continued)

Schibsted

ASA,

Class

A

(2)

(5,665)

(96,163)

Telenor

ASA

(2)

(2,222)

(26,053)

TOMRA

Systems

ASA

(2)

(2,665)

(44,992)

(939,083)

—

Singapore

-

(1.6)%

City

Developments

Ltd.

(2)

(7,800)

(43,282)

DBS

Group

Holdings

Ltd.

(2)

(20,100)

(499,722)

Grab

Holdings

Ltd.,

Class

A

(92,048)

(277,064)

Keppel

Corp.

Ltd.

(2)

(34,300)

(145,525)

Sea

Ltd.,

ADR

(2,137)

(184,957)

Singapore

Technologies

Engineering

Ltd.

(2)

(172,200)

(474,042)

Singapore

Telecommunications

Ltd.

(2)

(467,400)

(866,033)

(2,490,625)

—

South

Korea

-

(0.3)%

Delivery

Hero

SE

(2)(b)

(14,120)

(481,703)

Spain

-

(3.0)%

Aena

SME

SA

(2)(b)

(411)

(66,462)

Amadeus

IT

Group

SA

(2)

(10,744)

(720,746)

Bankinter

SA

(2)

(30,226)

(171,696)

CaixaBank

SA

(2)

(6,686)

(26,088)

Cellnex

Telecom

SA

(2)(b)

(19,493)

(758,037)

Corp.

ACCIONA

Energias

Renovables

SA

(2)

(1,466)

(56,854)

Endesa

SA

(2)

(4,465)

(96,979)

Ferrovial

SA

(2)

(36,963)

(1,088,464)

Fluidra

SA

(2)

(13,057)

(230,111)

Grifols

SA

(2)

(43,465)

(430,228)

Iberdrola

SA

(2)

(30,857)

(384,411)

Industria

de

Diseno

Textil

SA

(2)

(4,459)

(149,801)

Naturgy

Energy

Group

SA

(2)

(16,286)

(490,266)

Telefonica

SA

(2)

(16,740)

(72,096)

(4,742,239)

—

Sweden

-

(3.0)%

Atlas

Copco

AB,

Class

A

(2)

(25,773)

(326,501)

Beijer

Ref

AB

(2)

(17,567)

(308,257)

Epiroc

AB,

Class

A

(2)

(17,631)

(349,976)

EQT

AB

(2)

(39,285)

(802,490)

Evolution

AB

(2)(b)

(628)

(84,138)

Hexagon

AB,

Class

B

(2)

(49,424)

(568,841)

Holmen

AB,

Class

B

(2)

(5,627)

(216,934)

Husqvarna

AB,

Class

B

(2)

(9,465)

(82,154)

Indutrade

AB

(2)

(3,181)

(67,695)

Lifco

AB,

Class

B

(2)

(7,454)

(160,728)

Nibe

Industrier

AB,

Class

B

(2)

(31,755)

(361,979)

Saab

AB,

Class

B

(2)

(451)

(27,399)

Sagax

AB,

Class

B

(2)

(9,092)

(209,574)

Svenska

Cellulosa

AB

SCA,

Class

B

(2)

(54,148)

(713,158)

Svenska

Handelsbanken

AB,

Class

A

(2)

(13,425)

(116,272)

Tele2

AB,

Class

B

(2)

(23,213)

(231,041)

Telia

Co.

AB

(2)

(68,670)

(174,371)

(4,801,508)

—

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

(4.1)%

ABB

Ltd.

(Registered)

(2)

(9,390)

(323,030)

Bachem

Holding

AG,

Class

B

(2)

(1,661)

(167,034)

Banque

Cantonale

Vaudoise

(Registered)

(2)

(2,508)

(236,670)

Belimo

Holding

AG

(Registered)

(2)

(53)

(25,616)

Chocoladefabriken

Lindt

&

Spruengli

AG

(2)

(12)

(141,728)

Clariant

AG

(Registered)

(2)

(10,368)

(171,998)

Credit

Suisse

Group

AG

(Registered)

(2)

(115,643)

(103,850)

EMS-Chemie

Holding

AG

(Registered)

(2)

(170)

(140,527)

Galenica

AG

(2)(b)

(388)

(32,824)

Givaudan

SA

(Registered)

(2)

(200)

(650,958)

Julius

Baer

Group

Ltd.

(2)

(643)

(43,922)

Logitech

International

SA

(Registered)

(2)

(9,878)

(576,545)

Lonza

Group

AG

(Registered)

(2)

(447)

(269,094)

Partners

Group

Holding

AG

(2)

(407)

(383,281)

PSP

Swiss

Property

AG

(Registered)

(2)

(2,373)

(270,046)

Schindler

Holding

AG

(2)

(212)

(46,975)

SIG

Group

AG

(2)

(26,615)

(685,688)

Sika

AG

(Registered)

(2)

(2,042)

(572,772)

Sonova

Holding

AG

(Registered)

(2)

(510)

(150,444)

Straumann

Holding

AG

(Registered)

(2)

(3,375)

(506,198)

Swiss

Prime

Site

AG

(Registered)

(2)

(3,223)

(268,017)

Temenos

AG

(Registered)

(2)

(2,551)

(177,514)

VAT

Group

AG

(2)(b)

(595)

(214,964)

Zurich

Insurance

Group

AG

(2)

(739)

(354,128)

(6,513,823)

—

United

Kingdom

-

(5.6)%

Admiral

Group

plc

(2)

(11,136)

(279,635)

Ashtead

Group

plc

(2)

(4,634)

(284,550)

AstraZeneca

plc

(2)

(5,260)

(728,797)

Beazley

plc

(2)

(7,202)

(53,255)

Bellway

plc

(2)

(1,016)

(27,674)

Berkeley

Group

Holdings

plc

(2)

(2,061)

(106,776)

boohoo

Group

plc

(2)

(33,227)

(24,427)

CNH

Industrial

NV

(2)

(29,639)

(453,512)

Compass

Group

plc

(2)

(3,047)

(76,576)

ConvaTec

Group

plc

(2)(b)

(61,850)

(174,777)

Croda

International

plc

(2)

(7,189)

(577,805)

Dechra

Pharmaceuticals

plc

(2)

(2,441)

(79,917)

Diageo

plc

(2)

(6,928)

(309,194)

easyJet

plc

(2)

(33,223)

(212,328)

Halma

plc

(2)

(11,104)

(306,543)

Hargreaves

Lansdown

plc

(2)

(9,060)

(89,753)

Hiscox

Ltd.

(2)

(12,589)

(172,254)

Informa

plc

(2)

(42,659)

(365,650)

Intermediate

Capital

Group

plc

(2)

(5,548)

(83,741)

ITV

plc

(2)

(38,779)

(39,829)

Legal

&

General

Group

plc

(2)

(10,769)

(31,850)

M&G

plc

(2)

(72,252)

(177,092)

National

Grid

plc

(2)

(52,632)

(711,953)

Ocado

Group

plc

(2)

(12,643)

(83,714)

15

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(5.6)%

(continued)

Reckitt

Benckiser

Group

plc

(2)

(10,065)

(765,721)

RELX

plc

(2)

(8,055)

(260,877)

Rolls-Royce

Holdings

plc

(2)

(177,081)

(326,159)

Sage

Group

plc

(The)

(2)

(8,488)

(81,455)

Spectris

plc

(2)

(4,232)

(192,012)

Spirax-Sarco

Engineering

plc

(2)

(2,658)

(390,255)

SSE

plc

(2)

(3,191)

(71,204)

St

James's

Place

plc

(2)

(19,398)

(291,076)

Tate

&

Lyle

plc

(2)

(4,588)

(44,435)

Unilever

plc

(2)

(2,358)

(122,189)

United

Utilities

Group

plc

(2)

(9,599)

(125,627)

Weir

Group

plc

(The)

(2)

(4,834)

(110,899)

WH

Smith

plc

(2)

(2,620)

(48,497)

WPP

plc

(2)

(49,820)

(591,907)

(8,873,915)

—

United

States

-

(84.4)%

10X

Genomics,

Inc.,

Class

A

(10,545)

(588,306)

Acadia

Healthcare

Co.,

Inc.

(4,996)

(360,961)

Advanced

Drainage

Systems,

Inc.

(2,146)

(180,715)

Advanced

Micro

Devices,

Inc.

(3,633)

(356,070)

AES

Corp.

(The)

(4,264)

(102,677)

Affirm

Holdings,

Inc.

(13,200)

(148,764)

Aflac,

Inc.

(2,940)

(189,689)

agilon

health,

Inc.

(11,321)

(268,874)

Air

Products

and

Chemicals,

Inc.

(1,351)

(388,021)

Airbnb,

Inc.,

Class

A

(2,593)

(322,569)

Albemarle

Corp.

(669)

(147,876)

Alcoa

Corp.

(11,133)

(473,820)

Align

Technology,

Inc.

(431)

(144,014)

Allegion

plc

(1,191)

(127,115)

Alliant

Energy

Corp.

(7,616)

(406,694)

Allstate

Corp.

(The)

(2,109)

(233,698)

Alnylam

Pharmaceuticals,

Inc.

(1,748)

(350,159)

Alteryx,

Inc.,

Class

A

(6,607)

(388,756)

Amazon.com,

Inc.

(8,085)

(835,100)

Amcor

plc

(29,508)

(335,801)

Amedisys,

Inc.

(1,300)

(95,615)

American

Airlines

Group,

Inc.

(35,978)

(530,676)

American

Express

Co.

(4,799)

(791,595)

American

Financial

Group,

Inc.

(712)

(86,508)

American

Water

Works

Co.,

Inc.

(4,503)

(659,644)

AMETEK,

Inc.

(1,300)

(188,929)

Amphenol

Corp.,

Class

A

(1,688)

(137,943)

Aon

plc,

Class

A

(1,957)

(617,023)

AptarGroup,

Inc.

(2,148)

(253,872)

Aptiv

plc

(5,668)

(635,893)

Arista

Networks,

Inc.

(153)

(25,683)

Armstrong

World

Industries,

Inc.

(2,643)

(188,287)

Arrowhead

Pharmaceuticals,

Inc.

(6,814)

(173,076)

Arthur

J

Gallagher

&

Co.

(1,961)

(375,159)

Ashland,

Inc.

(2,802)

(287,793)

Atlassian

Corp.,

Class

A

(438)

(74,972)

Atmos

Energy

Corp.

(2,490)

(279,776)

Automatic

Data

Processing,

Inc.

(1,646)

(366,449)

AutoZone,

Inc.

(93)

(228,608)

Avery

Dennison

Corp.

(1,902)

(340,325)

Axalta

Coating

Systems

Ltd.

(3,642)

(110,316)

Axon

Enterprise,

Inc.

(213)

(47,893)

AZEK

Co.,

Inc.

(The)

(14,400)

(338,976)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

Azenta,

Inc.

(10,189)

(454,633)

Baker

Hughes

Co.

(7,682)

(221,703)

Ball

Corp.

(10,374)

(571,711)

Bank

of

America

Corp.

(11,744)

(335,878)

Bank

of

Hawaii

Corp.

(3,232)

(168,323)

Baxter

International,

Inc.

(5,979)

(242,508)

BellRing

Brands,

Inc.

(1,047)

(35,598)

Bentley

Systems,

Inc.,

Class

B

(1,525)

(65,560)

BILL

Holdings,

Inc.

(3,212)

(260,622)

BioMarin

Pharmaceutical,

Inc.

(2,025)

(196,911)

Bio-Rad

Laboratories,

Inc.,

Class

A

(478)

(228,972)

BJ's

Wholesale

Club

Holdings,

Inc.

(5,028)

(382,480)

BlackRock,

Inc.

(781)

(522,583)

Block,

Inc.,

Class

A

(4,426)

(303,845)

Boeing

Co.

(The)

(3,926)

(834,000)

BOK

Financial

Corp.

(1,081)

(91,247)

Boston

Scientific

Corp.

(7,445)

(372,473)

Bright

Horizons

Family

Solutions,

Inc.

(2,739)

(210,876)

Brink's

Co.

(The)

(1,739)

(116,165)

Broadridge

Financial

Solutions,

Inc.

(1,676)

(245,651)

Brookfield

Renewable

Corp.

(1,579)

(55,215)

Brown

&

Brown,

Inc.

(5,550)

(318,681)

Burlington

Stores,

Inc.

(939)

(189,772)

Cable

One,

Inc.

(467)

(327,834)

Cabot

Corp.

(1,233)

(94,497)

Cadence

Bank

(4,082)

(84,742)

Caesars

Entertainment,

Inc.

(4,091)

(199,682)

CarMax,

Inc.

(2,028)

(130,360)

Carnival

Corp.

(34,774)

(352,956)

Carvana

Co.

(5,427)

(53,130)

Catalent,

Inc.

(2,666)

(175,183)

Cboe

Global

Markets,

Inc.

(3,735)

(501,386)

Celsius

Holdings,

Inc.

(1,979)

(183,928)

CenterPoint

Energy,

Inc.

(2,715)

(79,984)

Ceridian

HCM

Holding,

Inc.

(3,206)

(234,743)

CH

Robinson

Worldwide,

Inc.

(2,438)

(242,264)

Charles

Schwab

Corp.

(The)

(10,969)

(574,556)

Chart

Industries,

Inc.

(1,660)

(208,164)

Charter

Communications,

Inc.,

Class

A

(1,281)

(458,098)

Chemed

Corp.

(674)

(362,444)

Cheniere

Energy,

Inc.

(4,152)

(654,355)

Chewy,

Inc.,

Class

A

(3,752)

(140,250)

Chipotle

Mexican

Grill,

Inc.

(157)

(268,202)

Chubb

Ltd.

(1,184)

(229,909)

Church

&

Dwight

Co.,

Inc.

(1,309)

(115,729)

Churchill

Downs,

Inc.

(280)

(71,974)

Ciena

Corp.

(5,004)

(262,810)

Cincinnati

Financial

Corp.

(4,400)

(493,152)

Clarivate

plc

(26,646)

(250,206)

Clorox

Co.

(The)

(557)

(88,140)

Cloudflare,

Inc.,

Class

A

(4,839)

(298,373)

CME

Group,

Inc.

(4,088)

(782,934)

CMS

Energy

Corp.

(4,179)

(256,507)

CNX

Resources

Corp.

(43,530)

(697,351)

Cognex

Corp.

(1,444)

(71,550)

Coherent

Corp.

(7,550)

(287,504)

Coinbase

Global,

Inc.,

Class

A

(372)

(25,136)

Comerica,

Inc.

(1,198)

(52,017)

16

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

Commerce

Bancshares,

Inc.

(8,676)

(506,245)

Confluent,

Inc.,

Class

A

(14,575)

(350,820)

Constellation

Brands,

Inc.,

Class

A

(1,577)

(356,229)

Constellation

Energy

Corp.

(3,801)

(298,379)

Core

&

Main,

Inc.,

Class

A

(5,211)

(120,374)

Corteva,

Inc.

(11,569)

(697,726)

CoStar

Group,

Inc.

(5,663)

(389,898)

Costco

Wholesale

Corp.

(1,464)

(727,418)

Crocs,

Inc.

(1,281)

(161,970)

Crowdstrike

Holdings,

Inc.,

Class

A

(1,894)

(259,970)

Crown

Holdings,

Inc.

(5,610)

(464,003)

CSL

Ltd.

(2)

(4,571)

(885,267)

CSX

Corp.

(8,159)

(244,280)

Cullen/Frost

Bankers,

Inc.

(4,238)

(446,431)

Datadog,

Inc.,

Class

A

(2,794)

(203,012)

DaVita,

Inc.

(1,346)

(109,174)

Deere

&

Co.

(1,107)

(457,058)

Definitive

Healthcare

Corp.

(25,574)

(264,179)

Delta

Air

Lines,

Inc.

(9,143)

(319,274)

Devon

Energy

Corp.

(2,220)

(112,354)

Dexcom,

Inc.

(3,794)

(440,787)

Dollar

General

Corp.

(2,985)

(628,223)

Dollar

Tree,

Inc.

(3,486)

(500,415)

Dominion

Energy,

Inc.

(10,742)

(600,585)

DoorDash,

Inc.,

Class

A

(4,193)

(266,507)

DoubleVerify

Holdings,

Inc.

(2,762)

(83,274)

DR

Horton,

Inc.

(1,468)

(143,409)

DraftKings,

Inc.,

Class

A

(31,362)

(607,168)

Driven

Brands

Holdings,

Inc.

(2,732)

(82,807)

DT

Midstream,

Inc.

(3,700)

(182,669)

DTE

Energy

Co.

(1,494)

(163,653)

Duke

Energy

Corp.

(5,214)

(502,995)

Dun

&

Bradstreet

Holdings,

Inc.

(17,793)

(208,890)

DuPont

de

Nemours,

Inc.

(6,987)

(501,457)

Dycom

Industries,

Inc.

(260)

(24,349)

Dynatrace,

Inc.

(1,100)

(46,530)

East

West

Bancorp,

Inc.

(1,482)

(82,251)

Eaton

Corp.

plc

(2,053)

(351,761)

Ecolab,

Inc.

(1,896)

(313,845)

Edison

International

(7,703)

(543,755)

Elastic

NV

(3,860)

(223,494)

Element

Solutions,

Inc.

(2,760)

(53,296)

Eli

Lilly

&

Co.

(2,371)

(814,249)

Emerson

Electric

Co.

(5,855)

(510,205)

Enphase

Energy,

Inc.

(1,533)

(322,359)

Entegris,

Inc.

(2,749)

(225,445)

Envestnet,

Inc.

(8,729)

(512,130)

EOG

Resources,

Inc.

(1,148)

(131,595)

EQT

Corp.

(7,073)

(225,699)

Equifax,

Inc.

(2,285)

(463,489)

Equitrans

Midstream

Corp.

(20,610)

(119,126)

Erie

Indemnity

Co.,

Class

A

(856)

(198,301)

Essent

Group

Ltd.

(4,053)

(162,323)

Essential

Utilities,

Inc.

(3,019)

(131,779)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(1,026)

(252,868)

Etsy,

Inc.

(887)

(98,750)

Eversource

Energy

(3,130)

(244,954)

Exact

Sciences

Corp.

(2,570)

(174,272)

Exelon

Corp.

(6,798)

(284,768)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

ExlService

Holdings,

Inc.

(602)

(97,422)

Experian

plc

(2)

(3,214)

(105,830)

FactSet

Research

Systems,

Inc.

(943)

(391,430)

Fastenal

Co.

(8,471)

(456,926)

Fidelity

National

Information

Services,

Inc.

(2,982)

(162,012)

Fifth

Third

Bancorp

(6,797)

(181,072)

First

Citizens

BancShares,

Inc.,

Class

A

(398)

(387,294)

First

Financial

Bankshares,

Inc.

(16,577)

(528,806)

First

Hawaiian,

Inc.

(7,863)

(162,214)

First

Republic

Bank

(4,440)

(62,116)

First

Solar,

Inc.

(891)

(193,793)

FirstEnergy

Corp.

(7,138)

(285,948)

Five

Below,

Inc.

(888)

(182,901)

Five9,

Inc.

(4,367)

(315,690)

Floor

&

Decor

Holdings,

Inc.,

Class

A

(2,048)

(201,155)

FMC

Corp.

(2,211)

(270,029)

Ford

Motor

Co.

(29,327)

(369,520)

Fox

Factory

Holding

Corp.

(1,162)

(141,032)

Freeport-McMoRan,

Inc.

(13,718)

(561,203)

Freshpet,

Inc.

(8,872)

(587,238)

Frontier

Communications

Parent,

Inc.

(15,514)

(353,254)

FTI

Consulting,

Inc.

(916)

(180,773)

Garmin

Ltd.

(1,851)

(186,803)

GATX

Corp.

(2,008)

(220,920)

General

Electric

Co.

(4,385)

(419,206)

General

Mills,

Inc.

(2,315)

(197,840)

Gentex

Corp.

(14,052)

(393,878)

Glacier

Bancorp,

Inc.

(12,113)

(508,867)

Globant

SA

(179)

(29,358)

Globe

Life,

Inc.

(3,700)

(407,074)

Grocery

Outlet

Holding

Corp.

(15,189)

(429,241)

Guardant

Health,

Inc.

(5,488)

(128,639)

Guidewire

Software,

Inc.

(3,453)

(283,319)

GXO

Logistics,

Inc.

(5,006)

(252,603)

Hancock

Whitney

Corp.

(1,020)

(37,128)

Hanesbrands,

Inc.

(50,624)

(266,282)

Harley-Davidson,

Inc.

(8,079)

(306,760)

Hasbro,

Inc.

(1,604)

(86,119)

Hayward

Holdings,

Inc.

(11,302)

(132,459)

HealthEquity,

Inc.

(11,898)

(698,532)

Helen

of

Troy

Ltd.

(2,033)

(193,481)

Hershey

Co.

(The)

(338)

(85,991)

Hess

Corp.

(8,699)

(1,151,225)

Hilton

Worldwide

Holdings,

Inc.

(1,891)

(266,385)

Home

BancShares,

Inc.

(14,315)

(310,779)

Home

Depot,

Inc.

(The)

(365)

(107,719)

Honeywell

International,

Inc.

(1,762)

(336,753)

Hormel

Foods

Corp.

(7,586)

(302,530)

Howard

Hughes

Corp.

(The)

(2,662)

(212,960)

HubSpot,

Inc.

(205)

(87,894)

Huntington

Bancshares,

Inc.

(7,307)

(81,838)

Hyatt

Hotels

Corp.,

Class

A

(1,352)

(151,140)

IAC,

Inc.

(5,158)

(266,153)

ICU

Medical,

Inc.

(1,888)

(311,444)

IDEX

Corp.

(678)

(156,638)

IDEXX

Laboratories,

Inc.

(429)

(214,534)

17

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

Illumina,

Inc.

(2,252)

(523,703)

Inari

Medical,

Inc.

(3,440)

(212,386)

Ingersoll

Rand,

Inc.

(1,564)

(90,994)

Insulet

Corp.

(943)

(300,779)

Intercontinental

Exchange,

Inc.

(6,515)

(679,449)

International

Bancshares

Corp.

(1,152)

(49,329)

International

Flavors

&

Fragrances,

Inc.

(5,565)

(511,757)

Interpublic

Group

of

Cos.,

Inc.

(The)

(5,330)

(198,489)

Intuitive

Surgical,

Inc.

(1,257)

(321,126)

Ionis

Pharmaceuticals,

Inc.

(9,778)

(349,466)

Iridium

Communications,

Inc.

(5,213)

(322,841)

Jack

Henry

&

Associates,

Inc.

(733)

(110,478)

Jacobs

Solutions,

Inc.

(687)

(80,729)

James

Hardie

Industries

plc,

CHESS

(2)

(47,052)

(1,012,735)

Jamf

Holding

Corp.

(3,744)

(72,708)

JetBlue

Airways

Corp.

(5,064)

(36,866)

John

Wiley

&

Sons,

Inc.,

Class

A

(924)

(35,823)

Johnson

Controls

International

plc

(3,814)

(229,679)

JPMorgan

Chase

&

Co.

(4,104)

(534,792)

KBR,

Inc.

(2,111)

(116,211)

Kellogg

Co.

(4,268)

(285,785)

Kemper

Corp.

(2,205)

(120,525)

Keurig

Dr

Pepper,

Inc.

(4,609)

(162,606)

KeyCorp

(4,916)

(61,548)

Keysight

Technologies,

Inc.

(935)

(150,984)

Kinder

Morgan,

Inc.

(25,056)

(438,731)

Kinsale

Capital

Group,

Inc.

(960)

(288,144)

Kirby

Corp.

(2,015)

(140,446)

Kohl's

Corp.

(5,586)

(131,494)

Kraft

Heinz

Co.

(The)

(5,161)

(199,576)

Lamb

Weston

Holdings,

Inc.

(1,111)

(116,122)

Las

Vegas

Sands

Corp.

(2,049)

(117,715)

Leggett

&

Platt,

Inc.

(6,065)

(193,352)

Lennox

International,

Inc.

(718)

(180,419)

Leslie's,

Inc.

(27,035)

(297,655)

Liberty

Broadband

Corp.,

Class

C

(6,605)

(539,629)

Liberty

Media

Corp-Liberty

SiriusXM,

Class

C

(5,098)

(142,693)

Lincoln

National

Corp.

(6,156)

(138,325)

Linde

plc

(688)

(244,543)

Live

Nation

Entertainment,

Inc.

(1,179)

(82,530)

LPL

Financial

Holdings,

Inc.

(717)

(145,121)

Lululemon

Athletica,

Inc.

(1,462)

(532,446)

Lyft,

Inc.,

Class

A

(45,514)

(421,915)

M&T

Bank

Corp.

(1,440)

(172,181)

MACOM

Technology

Solutions

Holdings,

Inc.

(3,298)

(233,630)

Madison

Square

Garden

Sports

Corp.,

Class

A

(1,935)

(377,035)

Markel

Corp.

(347)

(443,261)

MarketAxess

Holdings,

Inc.

(364)

(142,430)

Marriott

International,

Inc.,

Class

A

(1,335)

(221,663)

Marsh

&

McLennan

Cos.,

Inc.

(2,647)

(440,858)

Martin

Marietta

Materials,

Inc.

(991)

(351,864)

Masimo

Corp.

(1,542)

(284,561)

Match

Group,

Inc.

(6,203)

(238,133)

McCormick

&

Co.,

Inc.

(Non-Voting)

(4,440)

(369,452)

McDonald's

Corp.

(1,716)

(479,811)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

MDU

Resources

Group,

Inc.

(6,093)

(185,715)

Mercury

Systems,

Inc.

(3,578)

(182,907)

Microsoft

Corp.

(977)

(281,669)

Middleby

Corp.

(The)

(304)

(44,569)

Mirati

Therapeutics,

Inc.

(4,306)

(160,097)

MKS

Instruments,

Inc.

(812)

(71,959)

Mondelez

International,

Inc.,

Class

A

(4,778)

(333,122)

MongoDB,

Inc.

(1,579)

(368,096)

Monolithic

Power

Systems,

Inc.

(51)

(25,528)

Monster

Beverage

Corp.

(2,430)

(131,244)

Moody's

Corp.

(1,483)

(453,828)

Morgan

Stanley

(6,691)

(587,470)

Morningstar,

Inc.

(518)

(105,170)

Motorola

Solutions,

Inc.

(1,181)

(337,920)

MP

Materials

Corp.

(11,114)

(313,304)

MSA

Safety,

Inc.

(705)

(94,118)

MSCI,

Inc.

(944)

(528,347)

Nasdaq,

Inc.

(9,361)

(511,766)

Natera,

Inc.

(5,659)

(314,188)

nCino,

Inc.

(8,419)

(208,623)

Neogen

Corp.

(17,693)

(327,674)

Nestle

SA

(Registered)

(2)

(9,605)

(1,171,142)

NetApp,

Inc.

(2,724)

(173,927)

Netflix,

Inc.

(1,426)

(492,654)

Neurocrine

Biosciences,

Inc.

(796)

(80,571)

New

Fortress

Energy,

Inc.

(2,621)

(77,136)

New

Jersey

Resources

Corp.

(1,608)

(85,546)

New

Relic,

Inc.

(990)

(74,537)

New

York

Times

Co.

(The),

Class

A

(5,733)

(222,899)

Newell

Brands,

Inc.

(46,895)

(583,374)

NewMarket

Corp.

(430)

(156,941)

Newmont

Corp.

(14,355)

(703,682)

News

Corp.,

Class

A

(11,981)

(206,912)

NextEra

Energy,

Inc.

(15,435)

(1,189,729)

NIKE,

Inc.,

Class

B

(6,362)

(780,236)

Norfolk

Southern

Corp.

(581)

(123,172)

Northrop

Grumman

Corp.

(975)

(450,177)

Norwegian

Cruise

Line

Holdings

Ltd.

(19,114)

(257,083)

NOV,

Inc.

(14,700)

(272,097)

Novanta,

Inc.

(1,354)

(215,408)

Novocure

Ltd.

(3,888)

(233,824)

Nutanix,

Inc.,

Class

A

(5,370)

(139,566)

NVIDIA

Corp.

(1,950)

(541,652)

Okta,

Inc.

(2,759)

(237,936)

Old

Dominion

Freight

Line,

Inc.

(513)

(174,851)

Old

National

Bancorp

(10,021)

(144,503)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(10,239)

(593,248)

Omnicell,

Inc.

(444)

(26,049)

Omnicom

Group,

Inc.

(1,572)

(148,302)

ONEOK,

Inc.

(2,381)

(151,289)

Opendoor

Technologies,

Inc.

(15,221)

(26,789)

Option

Care

Health,

Inc.

(5,792)

(184,012)

Oracle

Corp.

(3,405)

(316,393)

O'Reilly

Automotive,

Inc.

(55)

(46,694)

Ormat

Technologies,

Inc.

(704)

(59,678)

PacWest

Bancorp

(5,061)

(49,244)

Palantir

Technologies,

Inc.,

Class

A

(22,662)

(191,494)

Palo

Alto

Networks,

Inc.

(597)

(119,245)

18

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

Papa

John's

International,

Inc.

(869)

(65,114)

Paramount

Global,

Class

B

(4,699)

(104,835)

Parker-Hannifin

Corp.

(549)

(184,524)

Paycom

Software,

Inc.

(106)

(32,225)

Paycor

HCM,

Inc.

(3,415)

(90,566)

Paylocity

Holding

Corp.

(474)

(94,222)

PayPal

Holdings,

Inc.

(2,758)

(209,443)

Pegasystems,

Inc.

(638)

(30,930)

Peloton

Interactive,

Inc.,

Class

A

(48,849)

(553,948)

Penumbra,

Inc.

(1,480)

(412,461)

Perrigo

Co.

plc

(8,961)

(321,431)

PG&E

Corp.

(2,975)

(48,106)

Pinnacle

Financial

Partners,

Inc.

(2,113)

(116,553)

Pinterest,

Inc.,

Class

A

(15,694)

(427,975)

Planet

Fitness,

Inc.,

Class

A

(3,490)

(271,068)

Plug

Power,

Inc.

(22,060)

(258,543)

PNC

Financial

Services

Group,

Inc.

(The)

(1,894)

(240,727)

PPG

Industries,

Inc.

(1,004)

(134,114)

Primerica,

Inc.

(1,875)

(322,950)

Procore

Technologies,

Inc.

(1,234)

(77,285)

Progressive

Corp.

(The)

(6,368)

(911,006)

Progyny,

Inc.

(1,534)

(49,272)

Prosperity

Bancshares,

Inc.

(3,149)

(193,726)

Prudential

Financial,

Inc.

(2,923)

(241,849)

Public

Service

Enterprise

Group,

Inc.

(7,497)

(468,188)

Pure

Storage,

Inc.,

Class

A

(2,398)

(61,173)

Quanta

Services,

Inc.

(237)

(39,494)

R1

RCM,

Inc.

(23,360)

(350,400)

Range

Resources

Corp.

(8,214)

(217,425)

Raymond

James

Financial,

Inc.

(1,938)

(180,757)

Regions

Financial

Corp.

(5,977)

(110,933)

RenaissanceRe

Holdings

Ltd.

(709)

(142,041)

Repligen

Corp.

(2,130)

(358,607)

Republic

Services,

Inc.

(3,726)

(503,830)

ResMed,

Inc.

(2,430)

(532,146)

RH

(917)

(223,335)

Rivian

Automotive,

Inc.,

Class

A

(3,628)

(56,161)

RLI

Corp.

(1,203)

(159,891)

Robinhood

Markets,

Inc.,

Class

A

(10,764)

(104,518)

ROBLOX

Corp.,

Class

A

(5,190)

(233,446)

Rockwell

Automation,

Inc.

(769)

(225,663)

Roku,

Inc.

(4,903)

(322,715)

Rollins,

Inc.

(2,497)

(93,712)

Ross

Stores,

Inc.

(1,457)

(154,631)

Royal

Caribbean

Cruises

Ltd.

(2,713)

(177,159)

Royal

Gold,

Inc.

(5,745)

(745,184)

Royalty

Pharma

plc,

Class

A

(6,055)

(218,162)

RPM

International,

Inc.

(3,018)

(263,290)

Ryan

Specialty

Holdings,

Inc.,

Class

A

(6,821)

(274,477)

S&P

Global,

Inc.

(1,147)

(395,451)

Saia,

Inc.

(441)

(119,987)

Schlumberger

NV

(13,447)

(660,248)

Schneider

Electric

SE

(2)

(1,455)

(243,165)

Scotts

Miracle-Gro

Co.

(The)

(2,255)

(157,264)

Sealed

Air

Corp.

(3,431)

(157,517)

Selective

Insurance

Group,

Inc.

(3,223)

(307,249)

Sempra

Energy

(1,850)

(279,646)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

Sensient

Technologies

Corp.

(2,445)

(187,189)

SentinelOne,

Inc.,

Class

A

(18,015)

(294,725)

Service

Corp.

International

(3,515)

(241,762)

ServiceNow,

Inc.

(57)

(26,489)

Sherwin-Williams

Co.

(The)

(1,978)

(444,595)

Shift4

Payments,

Inc.,

Class

A

(1,004)

(76,103)

Shockwave

Medical,

Inc.

(522)

(113,185)

SiteOne

Landscape

Supply,

Inc.

(372)

(50,916)

SiTime

Corp.

(598)

(85,054)

Smartsheet,

Inc.,

Class

A

(1,231)

(58,842)

Snap,

Inc.,

Class

A

(72,379)

(811,369)

Snowflake,

Inc.,

Class

A

(1,432)

(220,943)

SoFi

Technologies,

Inc.

(72,079)

(437,520)

SolarEdge

Technologies,

Inc.

(1,430)

(434,649)

Sonoco

Products

Co.

(5,318)

(324,398)

Southern

Co.

(The)

(9,416)

(655,165)

Southwest

Gas

Holdings,

Inc.

(7,328)

(457,634)

Spire,

Inc.

(2,665)

(186,923)

Splunk,

Inc.

(871)

(83,511)

STAAR

Surgical

Co.

(1,510)

(96,565)

Stanley

Black

&

Decker,

Inc.

(1,129)

(90,975)

Starbucks

Corp.

(3,057)

(318,325)

Stericycle,

Inc.

(1,734)

(75,620)

Stryker

Corp.

(1,161)

(331,431)

SunPower

Corp.

(6,073)

(84,050)

Sunrun,

Inc.

(9,494)

(191,304)

Sysco

Corp.

(4,395)

(339,426)

Take-Two

Interactive

Software,

Inc.

(3,448)

(411,346)

Tandem

Diabetes

Care,

Inc.

(6,726)

(273,143)

Targa

Resources

Corp.

(2,369)

(172,819)

Target

Corp.

(2,716)

(449,851)

Teladoc

Health,

Inc.

(4,090)

(105,931)

Teledyne

Technologies,

Inc.

(397)

(177,602)

Tempur

Sealy

International,

Inc.

(6,350)

(250,762)

Tesla,

Inc.

(3,475)

(720,924)

Texas

Capital

Bancshares,

Inc.

(3,376)

(165,289)

TJX

Cos.,

Inc.

(The)

(3,451)

(270,420)

T-Mobile

US,

Inc.

(5,964)

(863,826)

Toast,

Inc.,

Class

A

(16,609)

(294,810)

TopBuild

Corp.

(1,355)

(282,030)

Topgolf

Callaway

Brands

Corp.

(12,259)

(265,040)

Toro

Co.

(The)

(587)

(65,251)

Tractor

Supply

Co.

(108)

(25,384)

Trade

Desk,

Inc.

(The),

Class

A

(7,031)

(428,258)

Tradeweb

Markets,

Inc.,

Class

A

(2,947)

(232,872)

Trane

Technologies

plc

(1,174)

(215,993)

TransUnion

(4,233)

(263,039)

Trex

Co.,

Inc.

(4,858)

(236,439)

Trimble,

Inc.

(2,774)

(145,413)

Truist

Financial

Corp.

(4,814)

(164,157)

Twilio,

Inc.,

Class

A

(2,178)

(145,120)

Uber

Technologies,

Inc.

(29,111)

(922,819)

Ubiquiti,

Inc.

(100)

(27,169)

UiPath,

Inc.,

Class

A

(6,588)

(115,685)

Ultragenyx

Pharmaceutical,

Inc.

(7,484)

(300,108)

UMB

Financial

Corp.

(1,933)

(111,573)

Under

Armour,

Inc.,

Class

A

(17,872)

(169,605)

Union

Pacific

Corp.

(3,120)

(627,931)

United

Bankshares,

Inc.

(5,216)

(183,603)

United

Parcel

Service,

Inc.,

Class

B

(1,663)

(322,605)

19

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(84.4)%

(continued)

UnitedHealth

Group,

Inc.

(1,208)

(570,889)

Unity

Software,

Inc.

(11,668)

(378,510)

US

Bancorp

(7,519)

(271,060)

Valley

National

Bancorp

(5,093)

(47,059)

Valvoline,

Inc.

(8,710)

(304,327)

Verisk

Analytics,

Inc.

(1,472)

(282,418)

VF

Corp.

(10,425)

(238,837)

Virtu

Financial,

Inc.,

Class

A

(3,832)

(72,425)

Visa,

Inc.,

Class

A

(977)

(220,274)

Visteon

Corp.

(1,658)

(260,024)

Vulcan

Materials

Co.

(1,279)

(219,425)

W

R

Berkley

Corp.

(2,724)

(169,596)

Walt

Disney

Co.

(The)

(6,002)

(600,980)

Warner

Bros

Discovery,

Inc.

(5,004)

(75,560)

Waste

Connections,

Inc.

(4,041)

(561,982)

Waste

Management,

Inc.

(1,847)

(301,375)

Wayfair,

Inc.,

Class

A

(6,302)

(216,411)

Webster

Financial

Corp.

(4,113)

(162,134)

WEC

Energy

Group,

Inc.

(3,435)

(325,604)

Wells

Fargo

&

Co.

(8,434)

(315,263)

Wendy's

Co.

(The)

(1,415)

(30,819)

West

Pharmaceutical

Services,

Inc.

(856)

(296,578)

Western

Digital

Corp.

(7,172)

(270,169)

Westinghouse

Air

Brake

Technologies

Corp.

(909)

(91,864)

Whirlpool

Corp.

(1,733)

(228,791)

White

Mountains

Insurance

Group

Ltd.

(324)

(446,307)

Williams

Cos.,

Inc.

(The)

(16,044)

(479,074)

Willis

Towers

Watson

plc

(763)

(177,306)

Wingstop,

Inc.

(469)

(86,099)

Wolfspeed,

Inc.

(5,668)

(368,137)

Workday,

Inc.,

Class

A

(598)

(123,511)

World

Wrestling

Entertainment,

Inc.,

Class

A

(1,472)

(134,335)

WW

Grainger,

Inc.

(205)

(141,206)

Wynn

Resorts

Ltd.

(3,047)

(340,990)

Xcel

Energy,

Inc.

(1,821)

(122,808)

Xerox

Holdings

Corp.

(6,014)

(92,616)

Zebra

Technologies

Corp.,

Class

A

(1,016)

(323,088)

Zillow

Group,

Inc.,

Class

C

(5,841)

(259,749)

Zoetis,

Inc.

(2,485)

(413,603)

ZoomInfo

Technologies,

Inc.,

Class

A

(16,175)

(399,684)

Zscaler,

Inc.

(1,534)

(179,217)

(134,721,946)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(10,761)

(247,388)

TOTAL

COMMON

STOCKS

(Proceeds

$(287,659,990))

(258,824,234)

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

(0.6)%

Germany

-

(0.6)%

FUCHS

PETROLUB

SE

(Preference)

(2)

(1,128)

(45,994)

Sartorius

AG

(Preference)

(2)

(1,734)

(730,805)

Volkswagen

AG

(Preference)

(2)

(1,419)

(193,654)

TOTAL

PREFERRED

STOCKS

(Proceeds

$(1,002,630))

(970,453)

NO.

OF

WARRANTS

WARRANTS

-

(0.0)%

(d)

Canada

-

(0.0)%

(d)

Cenovus

Energy,

Inc.,

expiring

1/1/2026

(Proceeds

$–)

(674)

(8,533)

TOTAL

SHORT

POSITIONS

(Proceeds

$(288,662,620))

(259,803,220)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.4%

(Cost

$56,347,412)

140,976,362

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.6%

(j)

18,601,335

NET

ASSETS

-

100.0%

159,577,697

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(7,542,470)

(4.7)

%

Consumer

Discretionary

2,301,854

1.4

Consumer

Staples

4,376,037

2.7

Energy

6,888,220

4.4

Financials

3,939,012

2.5

Health

Care

(3,355,288)

(2.1)

Industrials

11,462,136

7.2

Information

Technology

6,876,493

4.3

Materials

3,887,816

2.4

Real

Estate

(1,034,127)

(0.6)

Utilities

(3,143,743)

(2.0)

Investment

Companies

85,988,820

53.9

U.S.

Treasury

Obligations

30,331,602

19.0

Total

Investments

In

Securities

At

Value

140,976,362

88.4

Other

Assets

in

Excess

of

Liabilities

(j)

18,601,335

11.6

Net

Assets

$

159,577,697

100.0%

20

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

$271,158,244,

which

is

inclusive

of

rehypothecated

amounts disclosed

below.

In

addition,

$6,726,615

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,

2023

amounted

to

$(2,272,193),

which

represents

(1.42)%

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

$46,437,359.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(i)

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.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$(2,449),

which

represents

(0.00)%

of

net

assets

of

the

Fund.

(j)

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.

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

3,200,000

$

(10,067)

$

11,318

$

1,251

Pay

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

5,400,000

148,721

35,274

183,995

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

276,200,000

7,971

5,206

13,177

Pay

1D

TONAR

Annual

1.00%

Annual

6/21/2033

JPY

470,000,000

40,452

81,939

122,391

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

508,500,000

141,942

(20,477)

121,465

Pay

3M

BA

Qtrly

3.50%

Semi

6/20/2033

CAD

3,300,000

45,574

(470)

45,104

Pay

3M

BA

Qtrly

3.25%

Semi

9/19/2033

CAD

3,100,000

(83,521)

83,941

420

Pay

3M

BA

Qtrly

3.75%

Semi

9/19/2033

CAD

1,800,000

53,961

2,543

56,504

Pay

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

8,700,000

(23,401)

95,684

72,283

Pay

6M

BBR

Semi

4.50%

Semi

9/08/2033

AUD

200,000

6,783

12

6,795

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

11,800,000

34,480

39,980

74,460

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

7,200,000

192,381

15,395

207,776

Pay

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

53,000,000

18,660

45,888

64,548

Receive

1D

SOFR

Annual

3.25%

Annual

6/23/2025

USD

300,000

2,551

856

3,407

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

8,500,000

124,037

(109,001)

15,036

Receive

1D

SONIA

Annual

4.00%

Annual

6/23/2025

GBP

10,500,000

(45,197)

97,580

52,383

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

1,700,000

22,197

(2,242)

19,955

Receive

1D

TONAR

Annual

0.00%

Annual

6/23/2025

JPY

3,064,300,000

95,081

(24,439)

70,642

Receive

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

340,000,000

6,989

2,404

9,393

Receive

3M

BA

Qtrly

3.75%

Semi

6/19/2025

CAD

14,300,000

7,942

43,653

51,595

Receive

3M

BA

Qtrly

3.50%

Semi

9/18/2025

CAD

26,800,000

313,562

(210,755)

102,807

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

3,600,000

6,706

4,410

11,116

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/23/2025

EUR

39,300,000

317,298

403,792

721,090

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

18,900,000

286,797

(69,601)

217,196

1,711,899

532,890

2,244,789

Pay

1D

SARON

Annual

1.50%

Annual

6/23/2025

CHF

8,700,000

8,322

(96,202)

(87,880)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

43,700,000

(320,988)

(129,855)

(450,843)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

2,000,000

(95,550)

79,994

(15,556)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

7,200,000

(30,653)

14,088

(16,565)

Pay

1D

SONIA

Annual

3.25%

Annual

6/21/2033

GBP

2,400,000

(57,786)

19,756

(38,030)

Pay

1D

TONAR

Annual

0.50%

Annual

6/21/2033

JPY

540,200,000

(82,591)

24,864

(57,727)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2033

EUR

8,800,000

(344,990)

(22,865)

(367,855)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

61,000,000

(30,274)

(4,450)

(34,724)

21

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

20,100,000

$

(332,524)

$

(9,863)

$

(342,387)

Receive

1D

TONAR

Annual

0.50%

Annual

6/23/2025

JPY

1,780,000,000

(68,845)

(24,290)

(93,135)

Receive

3M

BA

Qtrly

4.25%

Semi

9/18/2025

CAD

11,700,000

(85,633)

8,905

(76,728)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/11/2025

NZD

22,900,000

(128,441)

112,506

(15,935)

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

23,500,000

(83,351)

21,015

(62,336)

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

47,500,000

(68,589)

(23,216)

(91,805)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

269,800,000

(104,794)

19,586

(85,208)

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

38,700,000

(444,326)

98,371

(345,955)

(2,271,013)

88,344

(2,182,669)

$

(559,114)

$

621,234

$

62,120

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2023

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

4.87%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.18%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.03%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.72%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

5.03%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.36%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.79%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.34%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

3.96%

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

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

06/15/2023

ZAR

786,000

$

726

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

989,640

46,467

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/19/2023

TWD

34,900,800

16,063

22

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(0.00%)

Monthly

BANA

06/21/2023

MXN

(2,595,472)

$

147

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.89%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

CHF

1,151,357

26,147

89,550

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/21/2023

EUR

(8,775,980)

(439,711)

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(151,310)

(3,628)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

(1,024,050)

(1,432)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

(3,506,000)

(14,096)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

04/12/2023

BRL

3,880,864

(6,907)

KOSPI

200

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/08/2023

KRW

(323,700,000)

(1,521)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

USD

(34,835)

(630)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/16/2023

PLN

(852,000)

(1,306)

Tel

Aviv

Stock

Exchange

35

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

ILS

1,609,344

(13,213)

23

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

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

(-0.20%)

Monthly

BANA

06/21/2023

HKD

(1,432,868)

$

(5,515)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.74%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

EUR

2,854,508

(102,683)

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

(-0.22%)

Monthly

BANA

06/21/2023

EUR

(2,015,756)

(71,117)

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

(-0.20%)

Monthly

BANA

06/21/2023

SGD

(1,483,815)

(18,929)

MSCI

South

Africa

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

JIBAR

plus

or

minus

a

specified

spread

(-0.60%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

ZAR

4,072,323

(927)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.39%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

EUR

775,240

(17,290)

(698,905)

$

(609,355)

24

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

131

4/2023

USD

$

10,465,590

$

855,339

FTSE

Bursa

Malaysia

KLCI

Index

12

4/2023

MYR

193,836

733

IBEX

35

Index

41

4/2023

EUR

4,087,710

133,369

LME

Aluminum

Base

Metal

1

4/2023

USD

59,569

(5,192)

LME

Aluminum

Base

Metal

1

4/2023

USD

59,505

(4,219)

LME

Aluminum

Base

Metal

1

4/2023

USD

59,644

(6,384)

LME

Aluminum

Base

Metal

1

4/2023

USD

59,613

(6,340)

LME

Aluminum

Base

Metal

2

4/2023

USD

118,975

(3,181)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,311

(10,383)

LME

Copper

Base

Metal

1

4/2023

USD

224,869

(7,598)

LME

Copper

Base

Metal

2

4/2023

USD

449,925

(23,005)

LME

Copper

Base

Metal

2

4/2023

USD

450,225

(5,614)

LME

Copper

Base

Metal

2

4/2023

USD

449,725

(12,377)

LME

Copper

Base

Metal

9

4/2023

USD

2,026,238

23,987

LME

Nickel

Base

Metal

1

4/2023

USD

142,127

(31,485)

LME

Zinc

Base

Metal

1

4/2023

USD

73,681

(1,557)

RBOB

Gasoline

45

4/2023

USD

5,067,090

123,057

SGX

FTSE

China

A50

Index

8

4/2023

USD

106,448

1,515

SGX

FTSE

Taiwan

Index

80

4/2023

USD

4,441,600

39,595

Cocoa

3

5/2023

USD

87,990

1,681

Cocoa

3

5/2023

GBP

79,900

5,541

Copper

3

5/2023

USD

307,088

1,003

Corn

68

5/2023

USD

2,245,700

(55,205)

LME

Aluminum

Base

Metal

1

5/2023

USD

59,713

(4,909)

LME

Aluminum

Base

Metal

1

5/2023

USD

59,733

(3,320)

LME

Aluminum

Base

Metal

1

5/2023

USD

59,838

84

LME

Aluminum

Base

Metal

1

5/2023

USD

59,831

(834)

LME

Aluminum

Base

Metal

1

5/2023

USD

59,800

(1,156)

LME

Aluminum

Base

Metal

5

5/2023

USD

298,875

(13,915)

LME

Copper

Base

Metal

1

5/2023

USD

225,113

(165)

LME

Copper

Base

Metal

1

5/2023

USD

224,863

1,195

LME

Copper

Base

Metal

1

5/2023

USD

224,913

426

LME

Copper

Base

Metal

2

5/2023

USD

449,625

3,612

LME

Copper

Base

Metal

8

5/2023

USD

1,798,740

(11,723)

LME

Nickel

Base

Metal

1

5/2023

USD

142,566

(13,437)

LME

Zinc

Base

Metal

1

5/2023

USD

73,350

(9,765)

LME

Zinc

Base

Metal

1

5/2023

USD

73,327

(5,889)

LME

Zinc

Base

Metal

1

5/2023

USD

73,279

(2,274)

Soybean

8

5/2023

USD

602,200

(11,688)

Soybean

Meal

3

5/2023

USD

139,800

(2,674)

Australia

10

Year

Bond

86

6/2023

AUD

7,094,710

13,436

Euro

STOXX

50

Index

188

6/2023

EUR

8,687,582

351,856

Euro-Bund

66

6/2023

EUR

9,742,345

987

FTSE

100

Index

42

6/2023

GBP

3,957,858

29,880

FTSE/JSE

Top

40

Index

12

6/2023

ZAR

480,094

9,961

FTSE/MIB

Index

97

6/2023

EUR

14,020,590

406,336

Japan

10

Year

Bond

23

6/2023

JPY

25,613,105

367,310

LME

Aluminum

Base

Metal

1

6/2023

USD

60,255

2,602

LME

Aluminum

Base

Metal

1

6/2023

USD

60,210

2,052

LME

Aluminum

Base

Metal

1

6/2023

USD

60,231

2,741

LME

Aluminum

Base

Metal

2

6/2023

USD

120,441

4,788

LME

Aluminum

Base

Metal

3

6/2023

USD

180,788

5,289

LME

Copper

Base

Metal

1

6/2023

USD

224,838

11,288

25

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

6/2023

USD

$

224,792

$

1,050

LME

Copper

Base

Metal

4

6/2023

USD

899,475

16,855

LME

Copper

Base

Metal

15

6/2023

USD

3,372,188

13,782

LME

Nickel

Base

Metal

1

6/2023

USD

142,838

5,495

LME

Nickel

Base

Metal

1

6/2023

USD

142,974

(12,069)

LME

Zinc

Base

Metal

1

6/2023

USD

73,085

1,331

LME

Zinc

Base

Metal

1

6/2023

USD

73,137

8

LME

Zinc

Base

Metal

2

6/2023

USD

146,304

787

Long

Gilt

53

6/2023

GBP

6,793,719

(71,886)

SET50

Index

180

6/2023

THB

1,019,412

6,941

TOPIX

Index

155

6/2023

JPY

23,388,627

(196,004)

Cocoa

2

7/2023

GBP

53,366

741

1,912,405

Short

Contracts

CAC

40

10

Euro

Index

(86)

4/2023

EUR

(6,840,202)

(297,987)

Hang

Seng

Index

(5)

4/2023

HKD

(652,269)

(9,261)

HSCEI

(18)

4/2023

HKD

(803,934)

(22,799)

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,644)

6,293

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,613)

6,256

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,505)

4,043

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,569)

5,917

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(118,975)

2,970

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,311)

10,672

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,869)

8,379

LME

Copper

Base

Metal

(2)

4/2023

USD

(449,925)

21,320

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,225)

3,520

LME

Copper

Base

Metal

(2)

4/2023

USD

(449,725)

13,470

LME

Copper

Base

Metal

(9)

4/2023

USD

(2,026,238)

(19,526)

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,127)

33,520

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,681)

2,016

MSCI

Singapore

Index

(41)

4/2023

SGD

(943,511)

(8,630)

Natural

Gas

(98)

4/2023

USD

(2,171,680)

300,362

NY

Harbor

ULSD

(27)

4/2023

USD

(2,971,760)

(8,196)

OMXS30

Index

(112)

4/2023

SEK

(2,392,099)

(109,613)

SGX

NIFTY

50

Index

(59)

4/2023

USD

(2,055,265)

(39,539)

Sugar

No.

11

(1)

4/2023

USD

(24,920)

(2,815)

WTI

Crude

Oil

(104)

4/2023

USD

(7,869,680)

174,308

Coffee

'C'

(4)

5/2023

USD

(255,750)

6,953

Cotton

No.

2

(12)

5/2023

USD

(496,680)

(15,525)

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,713)

4,904

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,831)

676

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,733)

3,392

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,800)

860

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,838)

(173)

LME

Aluminum

Base

Metal

(5)

5/2023

USD

(298,875)

13,387

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,113)

14

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,863)

(828)

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,913)

(390)

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,625)

(4,943)

LME

Copper

Base

Metal

(8)

5/2023

USD

(1,798,740)

12,689

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,566)

12,046

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,279)

2,599

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,327)

5,548

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,350)

8,769

Low

Sulphur

Gasoil

(10)

5/2023

USD

(751,750)

(7,379)

Silver

(13)

5/2023

USD

(1,570,140)

(154,566)

26

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Soybean

Oil

(6)

5/2023

USD

$

(199,764)

$

3,965

Wheat

(32)

5/2023

USD

(1,107,600)

83,254

100

oz

Gold

(6)

6/2023

USD

(1,191,720)

(1,951)

Australia

3

Year

Bond

(5)

6/2023

AUD

(364,292)

(4,778)

Canada

10

Year

Bond

(115)

6/2023

CAD

(10,722,272)

122,529

DAX

Index

(26)

6/2023

EUR

(11,135,700)

(392,185)

DJIA

CBOT

E-Mini

Index

(7)

6/2023

USD

(1,171,100)

(35,644)

Euro-Bobl

(16)

6/2023

EUR

(2,048,230)

(37,508)

Euro-BTP

(11)

6/2023

EUR

(1,381,198)

(47,136)

Euro-Buxl

(5)

6/2023

EUR

(767,934)

(26,401)

Euro-OAT

(9)

6/2023

EUR

(1,274,038)

(37,622)

Euro-Schatz

(35)

6/2023

EUR

(4,013,436)

(36,233)

KOSPI

200

Index

(34)

6/2023

KRW

(2,113,492)

(71,687)

Lean

Hogs

(7)

6/2023

USD

(256,550)

26,661

Live

Cattle

(2)

6/2023

USD

(129,700)

(2,969)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,255)

(2,305)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,210)

(2,463)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,231)

(3,210)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,441)

(2,947)

LME

Aluminum

Base

Metal

(15)

6/2023

USD

(903,938)

(8,296)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,838)

(10,340)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,792)

81

LME

Copper

Base

Metal

(4)

6/2023

USD

(899,475)

(12,786)

LME

Copper

Base

Metal

(8)

6/2023

USD

(1,798,500)

(2,916)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,838)

(4,255)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,948)

7,950

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,085)

(947)

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,137)

(415)

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,304)

(22)

LME

Zinc

Base

Metal

(7)

6/2023

USD

(511,831)

9,682

MEX

BOLSA

Index

(20)

6/2023

MXN

(602,997)

(14,112)

MSCI

EAFE

E-Mini

Index

(7)

6/2023

USD

(733,775)

(30,853)

MSCI

Emerging

Markets

E-Mini

Index

(9)

6/2023

USD

(447,975)

(16,200)

NASDAQ

100

E-Mini

Index

(2)

6/2023

USD

(532,070)

(33,629)

Nikkei

225

Index

(1)

6/2023

JPY

(211,184)

(8,285)

Russell

2000

E-Mini

Index

(7)

6/2023

USD

(634,725)

(7,248)

S&P

500

E-Mini

Index

(105)

6/2023

USD

(21,723,188)

(930,043)

S&P

Midcap

400

E-Mini

Index

(2)

6/2023

USD

(505,940)

(14,583)

S&P/TSX

60

Index

(33)

6/2023

CAD

(5,905,083)

(94,788)

SPI

200

Index

(1)

6/2023

AUD

(120,171)

(3,125)

U.S.

Treasury

10

Year

Note

(222)

6/2023

USD

(25,543,875)

(106,346)

U.S.

Treasury

2

Year

Note

(7)

6/2023

USD

(1,446,211)

(17,017)

U.S.

Treasury

5

Year

Note

(12)

6/2023

USD

(1,315,781)

(29,116)

U.S.

Treasury

Long

Bond

(4)

6/2023

USD

(525,375)

(18,426)

U.S.

Treasury

Ultra

Bond

(2)

6/2023

USD

(283,313)

(15,041)

3

Month

Canadian

Bankers

Acceptance

(6)

9/2023

CAD

(1,058,269)

(2,737)

3

Month

Euro

Euribor

(3)

9/2023

EUR

(783,971)

(357)

90-Day

Australian

Bank

Bill

(4)

9/2023

AUD

(2,650,598)

(3,451)

90-Day

New

Zealand

Bill

(2)

9/2023

NZD

(1,234,317)

(519)

3

Month

Canadian

Bankers

Acceptance

(6)

12/2023

CAD

(1,060,655)

(829)

3

Month

Euro

Euribor

(2)

12/2023

EUR

(523,081)

(1,154)

3

Month

SOFR

(1)

12/2023

USD

(238,513)

1,246

3

Month

SONIA

(3)

12/2023

GBP

(882,918)

(269)

90-Day

Australian

Bank

Bill

(4)

12/2023

AUD

(2,651,052)

(5,425)

90-Day

New

Zealand

Bill

(2)

12/2023

NZD

(1,234,648)

(776)

3

Month

Canadian

Bankers

Acceptance

(8)

3/2024

CAD

(1,418,646)

(3,226)

27

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euro

Euribor

(4)

3/2024

EUR

$

(1,047,844)

$

1,310

3

Month

SARON

(1)

3/2024

CHF

(267,228)

90

3

Month

SOFR

(1)

3/2024

USD

(239,313)

(2,465)

3

Month

SONIA

(3)

3/2024

GBP

(884,121)

(1,154)

90-Day

Australian

Bank

Bill

(5)

3/2024

AUD

(3,314,382)

(5,223)

90-Day

New

Zealand

Bill

(2)

3/2024

NZD

(1,235,099)

(1,538)

3

Month

Canadian

Bankers

Acceptance

(9)

6/2024

CAD

(1,601,221)

(12,234)

3

Month

Euro

Euribor

(4)

6/2024

EUR

(1,049,633)

(342)

3

Month

SARON

(1)

6/2024

CHF

(267,364)

195

3

Month

SOFR

(1)

6/2024

USD

(240,338)

(1,296)

3

Month

SONIA

(3)

6/2024

GBP

(886,203)

(2,428)

90-Day

Australian

Bank

Bill

(5)

6/2024

AUD

(3,314,706)

(4,595)

3

Month

Euro

Euribor

(4)

9/2024

EUR

(1,051,043)

1,724

3

Month

SARON

(1)

9/2024

CHF

(267,720)

58

3

Month

SOFR

(1)

9/2024

USD

(241,225)

(1,004)

3

Month

SONIA

(2)

9/2024

GBP

(592,221)

(1,336)

3

Month

Euro

Euribor

(5)

12/2024

EUR

(1,315,295)

1,841

3

Month

SOFR

(1)

12/2024

USD

(241,925)

(982)

3

Month

SONIA

(3)

12/2024

GBP

(889,672)

(1,933)

3

Month

Euro

Euribor

(5)

3/2025

EUR

(1,316,244)

(5,341)

3

Month

SOFR

(1)

3/2025

USD

(242,325)

(892)

3

Month

SONIA

(2)

3/2025

GBP

(593,639)

(1,646)

3

Month

SOFR

(1)

6/2025

USD

(242,538)

(347)

3

Month

SONIA

(3)

6/2025

GBP

(890,921)

(2,700)

(1,926,728)

$

(14,323)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

10,519,603

USD

1,972,862

CITI

**

6/21/2023

$

72,470

BRL

10,519,595

USD

1,972,850

JPMC

**

6/21/2023

72,480

CAD

3,866,000

USD

2,837,720

CITI

6/21/2023

26,528

CAD

3,866,000

USD

2,837,706

JPMC

6/21/2023

26,542

CHF

2,480,504

USD

2,692,164

CITI

6/21/2023

42,302

CHF

2,480,496

USD

2,692,141

JPMC

6/21/2023

42,316

CNY

5,806,273

USD

849,191

CITI

**

6/21/2023

1,082

CNY

5,806,268

USD

849,186

JPMC

**

6/21/2023

1,087

COP

200,865,500

USD

40,457

CITI

**

6/21/2023

1,987

COP

200,865,500

USD

40,456

JPMC

**

6/21/2023

1,987

CZK

4,500,000

USD

201,784

CITI

6/21/2023

5,328

CZK

4,500,000

USD

201,783

JPMC

6/21/2023

5,330

DKK

1,072,500

USD

155,417

CITI

6/21/2023

1,543

DKK

1,072,500

USD

155,416

JPMC

6/21/2023

1,544

EUR

29,047,505

USD

31,130,551

CITI

6/21/2023

513,341

EUR

29,047,495

USD

31,130,385

JPMC

6/21/2023

513,498

GBP

8,343,003

USD

10,145,738

CITI

6/21/2023

162,288

GBP

8,342,997

USD

10,145,680

JPMC

6/21/2023

162,339

HUF

159,427,001

USD

426,813

CITI

6/21/2023

17,046

HUF

159,426,999

USD

426,811

JPMC

6/21/2023

17,047

ILS

1,652,250

USD

453,657

CITI

6/21/2023

7,264

28

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

1,652,250

USD

453,654

JPMC

6/21/2023

$

7,266

INR

112,731,504

USD

1,353,784

CITI

**

6/21/2023

12,988

INR

112,731,496

USD

1,353,777

JPMC

**

6/21/2023

12,995

JPY

370,000,000

USD

2,805,864

CITI

6/21/2023

13,555

JPY

370,000,000

USD

2,805,850

JPMC

6/21/2023

13,570

KRW

386,971,439

USD

296,633

CITI

**

6/21/2023

967

KRW

386,971,436

USD

296,657

JPMC

**

6/21/2023

942

MXN

49,005,504

USD

2,607,421

CITI

6/21/2023

70,260

MXN

49,005,496

USD

2,607,408

JPMC

6/21/2023

70,273

NZD

4,596,000

USD

2,837,341

CITI

6/21/2023

36,457

NZD

4,596,000

USD

2,837,327

JPMC

6/21/2023

36,472

PHP

5,000,000

USD

91,980

CITI

**

6/21/2023

47

PHP

5,000,000

USD

91,979

JPMC

**

6/21/2023

48

PLN

1,640,001

USD

367,850

CITI

6/21/2023

10,230

PLN

1,639,999

USD

367,848

JPMC

6/21/2023

10,231

SEK

52,077,500

USD

4,992,598

CITI

6/21/2023

45,810

SEK

52,077,500

USD

4,992,573

JPMC

6/21/2023

45,833

SGD

2,978,500

USD

2,228,075

CITI

6/21/2023

15,812

SGD

2,978,500

USD

2,228,064

JPMC

6/21/2023

15,822

TWD

2,026,875

USD

66,885

CITI

**

6/21/2023

58

TWD

2,702,500

USD

89,181

JPMC

**

6/21/2023

77

USD

3,800,504

AUD

5,633,500

CITI

6/21/2023

23,810

USD

3,800,523

AUD

5,633,500

JPMC

6/21/2023

23,830

USD

631,787

CHF

572,500

CITI

6/21/2023

673

USD

631,790

CHF

572,500

JPMC

6/21/2023

676

USD

47,381

CNY

322,904

CITI

**

6/21/2023

95

USD

47,382

CNY

322,906

JPMC

**

6/21/2023

95

USD

54,990

HKD

429,500

CITI

6/21/2023

74

USD

54,990

HKD

429,500

JPMC

6/21/2023

75

USD

442,518

ILS

1,563,499

CITI

6/21/2023

6,357

USD

442,521

ILS

1,563,500

JPMC

6/21/2023

6,359

USD

76,241

JPY

10,000,000

CITI

6/21/2023

40

USD

76,241

JPY

10,000,000

JPMC

6/21/2023

41

USD

3,203,929

KRW

4,148,156,566

CITI

**

6/21/2023

13,797

USD

3,203,945

KRW

4,148,156,558

JPMC

**

6/21/2023

13,812

USD

643,295

NOK

6,648,501

CITI

6/21/2023

5,991

USD

643,298

NOK

6,648,499

JPMC

6/21/2023

5,995

USD

550,325

SEK

5,676,250

CITI

6/21/2023

1,158

USD

550,328

SEK

5,676,250

JPMC

6/21/2023

1,160

USD

739,224

TWD

22,265,503

CITI

**

6/21/2023

3,843

USD

739,227

TWD

22,265,497

JPMC

**

6/21/2023

3,847

ZAR

25,859,003

USD

1,404,234

CITI

6/21/2023

38,043

ZAR

25,858,997

USD

1,404,226

JPMC

6/21/2023

38,051

USD

8,771

CLP

7,021,938

CITI

**

6/22/2023

17

USD

8,771

CLP

7,021,937

JPMC

**

6/22/2023

17

Total

unrealized

appreciation

2,302,918

AUD

22,641,509

USD

15,514,092

CITI

6/21/2023

(335,244)

AUD

22,641,491

USD

15,514,002

JPMC

6/21/2023

(335,168)

CHF

2,241,500

USD

2,478,239

CITI

6/21/2023

(7,247)

CHF

2,241,500

USD

2,478,227

JPMC

6/21/2023

(7,236)

CNY

1,303,778

USD

191,779

CITI

**

6/21/2023

(853)

CNY

1,303,778

USD

191,778

JPMC

**

6/21/2023

(852)

EUR

211,000

USD

230,325

CITI

6/21/2023

(465)

EUR

211,000

USD

230,324

JPMC

6/21/2023

(464)

GBP

354,500

USD

438,442

CITI

6/21/2023

(447)

GBP

354,500

USD

438,440

JPMC

6/21/2023

(445)

ILS

464,250

USD

131,492

CITI

6/21/2023

(1,983)

ILS

464,250

USD

131,492

JPMC

6/21/2023

(1,983)

29

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

INR

25,000,000

USD

303,367

CITI

**

6/21/2023

$

(264)

INR

25,000,000

USD

303,366

JPMC

**

6/21/2023

(262)

JPY

813,873,500

USD

6,236,410

CITI

6/21/2023

(34,652)

JPY

813,873,500

USD

6,236,379

JPMC

6/21/2023

(34,620)

KRW

1,311,619,061

USD

1,015,919

CITI

**

6/21/2023

(7,222)

KRW

1,311,619,060

USD

1,015,923

JPMC

**

6/21/2023

(7,225)

NOK

53,026,503

USD

5,144,566

CITI

6/21/2023

(61,620)

NOK

53,026,497

USD

5,144,540

JPMC

6/21/2023

(61,593)

NZD

138,500

USD

86,843

CITI

6/21/2023

(242)

NZD

138,500

USD

86,843

JPMC

6/21/2023

(241)

PLN

276,500

USD

63,984

CITI

6/21/2023

(240)

PLN

276,500

USD

63,983

JPMC

6/21/2023

(240)

SEK

17,488,500

USD

1,699,433

CITI

6/21/2023

(7,451)

SEK

17,488,500

USD

1,699,425

JPMC

6/21/2023

(7,443)

SGD

1,070,500

USD

807,937

CITI

6/21/2023

(1,463)

SGD

1,070,500

USD

807,933

JPMC

6/21/2023

(1,459)

TWD

12,283,125

USD

409,381

CITI

**

6/21/2023

(3,696)

TWD

11,607,500

USD

387,071

JPMC

**

6/21/2023

(3,702)

USD

4,961,557

AUD

7,446,005

CITI

6/21/2023

(30,238)

USD

4,961,575

AUD

7,445,995

JPMC

6/21/2023

(30,214)

USD

1,751,786

BRL

9,342,500

CITI

**

6/21/2023

(64,681)

USD

1,751,794

BRL

9,342,500

JPMC

**

6/21/2023

(64,672)

USD

10,210,518

CAD

13,928,500

CITI

6/21/2023

(108,852)

USD

10,210,569

CAD

13,928,500

JPMC

6/21/2023

(108,801)

USD

20,121,236

CHF

18,532,008

CITI

6/21/2023

(308,134)

USD

20,121,319

CHF

18,531,992

JPMC

6/21/2023

(308,032)

USD

278,697

CNY

1,914,370

CITI

**

6/21/2023

(1,644)

USD

278,699

CNY

1,914,375

JPMC

**

6/21/2023

(1,642)

USD

72,244

COP

350,000,000

CITI

**

6/21/2023

(1,713)

USD

72,244

COP

350,000,000

JPMC

**

6/21/2023

(1,713)

USD

722,793

CZK

16,149,005

CITI

6/21/2023

(20,466)

USD

722,794

CZK

16,148,995

JPMC

6/21/2023

(20,465)

USD

21,959

DKK

152,500

CITI

6/21/2023

(359)

USD

21,959

DKK

152,500

JPMC

6/21/2023

(359)

USD

9,103,192

EUR

8,481,500

CITI

6/21/2023

(136,420)

USD

9,103,238

EUR

8,481,500

JPMC

6/21/2023

(136,374)

USD

12,045,155

GBP

9,966,007

CITI

6/21/2023

(268,141)

USD

12,045,199

GBP

9,965,993

JPMC

6/21/2023

(268,081)

USD

751,238

HUF

280,330,503

CITI

6/21/2023

(29,225)

USD

751,242

HUF

280,330,497

JPMC

6/21/2023

(29,222)

USD

33,107

IDR

505,151,000

CITI

**

6/21/2023

(641)

USD

33,109

IDR

505,150,993

JPMC

**

6/21/2023

(640)

USD

1,287,526

ILS

4,690,502

CITI

6/21/2023

(20,958)

USD

1,287,532

ILS

4,690,499

JPMC

6/21/2023

(20,952)

USD

959,111

INR

79,879,003

CITI

**

6/21/2023

(9,352)

USD

959,116

INR

79,878,997

JPMC

**

6/21/2023

(9,348)

USD

16,275,100

JPY

2,171,085,508

CITI

6/21/2023

(268,684)

USD

16,275,181

JPY

2,171,085,500

JPMC

6/21/2023

(268,603)

USD

1,720,311

KRW

2,248,893,940

CITI

**

6/21/2023

(9,196)

USD

1,720,320

KRW

2,248,893,936

JPMC

**

6/21/2023

(9,187)

USD

499,976

MXN

9,500,000

CITI

6/21/2023

(19,108)

USD

499,979

MXN

9,500,000

JPMC

6/21/2023

(19,105)

USD

2,192,616

NOK

23,140,502

CITI

6/21/2023

(25,556)

USD

2,192,627

NOK

23,140,498

JPMC

6/21/2023

(25,546)

USD

6,328,470

NZD

10,218,500

CITI

6/21/2023

(60,981)

USD

6,328,501

NZD

10,218,500

JPMC

6/21/2023

(60,949)

USD

147,986

PHP

8,176,503

CITI

**

6/21/2023

(2,505)

USD

147,987

PHP

8,176,497

JPMC

**

6/21/2023

(2,505)

30

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

**

Non-deliverable

forward.

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

278,548

PLN

1,259,000

CITI

6/21/2023

$

(11,697)

USD

278,550

PLN

1,259,000

JPMC

6/21/2023

(11,696)

USD

552,968

SEK

5,734,250

CITI

6/21/2023

(1,811)

USD

552,970

SEK

5,734,250

JPMC

6/21/2023

(1,808)

USD

1,083,717

SGD

1,451,500

CITI

6/21/2023

(9,787)

USD

1,083,722

SGD

1,451,500

JPMC

6/21/2023

(9,782)

USD

65,886

TWD

2,000,000

CITI

**

6/21/2023

(169)

USD

65,887

TWD

2,000,000

JPMC

**

6/21/2023

(169)

USD

1,867,662

ZAR

34,447,502

CITI

6/21/2023

(53,635)

USD

1,867,671

ZAR

34,447,498

JPMC

6/21/2023

(53,626)

USD

59,997

CLP

49,153,566

CITI

**

6/22/2023

(1,284)

USD

59,997

CLP

49,153,559

JPMC

**

6/22/2023

(1,284)

Total

unrealized

depreciation

(3,856,034)

Net

unrealized

depreciation

$

(1,553,116)

31

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

106.9%

COMMON

STOCKS

-

15.8%

Aerospace

&

Defense

-

0.7%

Maxar

Technologies,

Inc.

235,987

12,049,496

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

*

120,629

1,063,948

Biotechnology

-

1.5%

Exelixis,

Inc.

*

2,965

57,551

Horizon

Therapeutics

plc

*

231,127

25,225,201

25,282,752

Capital

Markets

-

8.5%

Accretion

Acquisition

Corp.

*(a)

202,180

2,084,476

Achari

Ventures

Holdings

Corp.

I

*(a)

21,454

225,267

Acri

Capital

Acquisition

Corp.

*(a)

54,996

576,358

Acropolis

Infrastructure

Acquisition

Corp.,

Class

A

*(a)(b)

20,312

205,761

Aetherium

Acquisition

Corp.,

Class

A

*(a)(b)

175,712

1,830,919

Alset

Capital

Acquisition

Corp.,

Class

A

(2)*(a)

122,496

1,254,359

AltC

Acquisition

Corp.,

Class

A

*(a)

305,297

3,098,765

AltEnergy

Acquisition

Corp.,

Class

A

(2)*(a)

122,926

1,274,743

American

Acquisition

Opportunity,

Inc.,

Class

A

(2)*(a)

74,925

760,489

Apeiron

Capital

Investment

Corp.,

Class

A

(2)*(a)(b)

24,551

252,384

Aquaron

Acquisition

Corp.

*(a)

35,605

362,815

Armada

Acquisition

Corp.

I

(2)*(a)

92,750

935,848

Artemis

Strategic

Investment

Corp.,

Class

A

*(a)

204,800

2,117,632

Athena

Consumer

Acquisition

Corp.,

Class

A

(2)*(a)

75,566

780,975

Ault

Disruptive

Technologies

Corp.

(2)*(a)

73,140

765,776

Avalon

Acquisition,

Inc.,

Class

A

*(a)

229,849

2,397,325

AxonPrime

Infrastructure

Acquisition

Corp.,

Class

A

*(a)(b)

234,165

2,435,316

Banner

Acquisition

Corp.

*(a)

40,407

413,768

Bannix

Acquisition

Corp.

*(a)

26,277

272,755

Banyan

Acquisition

Corp.,

Class

A

*(a)

114,706

1,192,942

Beard

Energy

Transition

Acquisition

Corp.,

Class

A

*(a)

149,518

1,549,754

Bellevue

Life

Sciences

Acquisition

Corp.

*(a)

25,053

253,035

Berenson

Acquisition

Corp.

I,

Class

A

*(a)

110,400

1,109,520

Better

World

Acquisition

Corp.

*(a)

35,583

381,984

Bite

Acquisition

Corp.

*(a)

18,753

191,656

Blockchain

Moon

Acquisition

Corp.

*(a)

70,938

752,652

Broad

Capital

Acquisition

Corp.

(2)*(a)

69,739

737,839

BurTech

Acquisition

Corp.,

Class

A

(2)*(a)

116,029

1,180,015

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

8.5%

(continued)

byNordic

Acquisition

Corp.

(Sweden)

*(a)

138,414

1,438,121

C5

Acquisition

Corp.,

Class

A

*(a)

309,299

3,229,082

Cetus

Capital

Acquisition

Corp.

(Taiwan)

*(a)

99,130

1,002,204

CF

Acquisition

Corp.

VII,

Class

A

(2)*(a)

146,292

1,512,659

Churchill

Capital

Corp.

VI,

Class

A

*(a)

67,203

679,422

Churchill

Capital

Corp.

VII,

Class

A

*(a)

408,312

4,140,284

CIIG

Capital

Partners

II,

Inc.,

Class

A

*(a)

161,558

1,680,203

Clean

Earth

Acquisitions

Corp.,

Class

A

(2)*(a)

195,348

2,000,364

Concord

Acquisition

Corp.

II,

Class

A

*(a)

76,866

779,421

Concord

Acquisition

Corp.

III,

Class

A

(2)*(a)

228,022

2,362,308

Conyers

Park

III

Acquisition

Corp.,

Class

A

(2)*(a)

484,500

4,898,295

Crixus

BH3

Acquisition

Co.,

Class

A

*(a)

84,579

870,318

DA32

Life

Science

Tech

Acquisition

Corp.,

Class

A

*(a)

133,050

1,346,466

Data

Knights

Acquisition

Corp.,

Class

A

(United

Kingdom)

*(a)

50,667

541,630

Deep

Medicine

Acquisition

Corp.,

Class

A

(2)*(a)

51,423

545,084

Digital

Health

Acquisition

Corp.

*(a)

48,428

543,362

Digital

Transformation

Opportunities

Corp.,

Class

A

(2)*(a)

32,013

326,533

Direct

Selling

Acquisition

Corp.,

Class

A

*(a)

102,582

1,077,111

dMY

Squared

Technology

Group,

Inc.,

Class

A

(2)*(a)

12,280

125,870

dMY

Technology

Group,

Inc.

VI

*(a)

82,182

839,908

DUET

Acquisition

Corp.,

Class

A

*(a)

73,788

763,706

EF

Hutton

Acquisition

Corp.

I

*(a)

34,096

347,438

Everest

Consolidator

Acquisition

Corp.

(2)*(a)

131,016

1,362,566

ExcelFin

Acquisition

Corp.,

Class

A

*(a)

186,114

1,933,724

Feutune

Light

Acquisition

Corp.,

Class

A

*(a)

94,079

979,362

FG

Merger

Corp.

*(a)

98,184

1,021,114

Financial

Strategies

Acquisition

Corp.

*(a)

18,686

200,875

Fintech

Ecosystem

Development

Corp.,

Class

A

*(a)

10,730

112,933

First

Light

Acquisition

Group,

Inc.,

Class

A

*(a)

40,464

415,565

Focus

Impact

Acquisition

Corp.,

Class

A

(2)*(a)

101,950

1,057,221

Fortune

Rise

Acquisition

Corp.

*(a)

98,648

1,051,588

FTAC

Emerald

Acquisition

Corp.,

Class

A

*(a)

353,584

3,613,628

FTAC

Zeus

Acquisition

Corp.,

Class

A

*(a)

320,427

3,297,194

32

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

8.5%

(continued)

FutureTech

II

Acquisition

Corp.,

Class

A

(2)*(a)

38,964

407,174

Gardiner

Healthcare

Acquisitions

Corp.

*(a)

19,575

204,755

Genesis

Unicorn

Capital

Corp.,

Class

A

*(a)

67,549

709,264

GigCapital5,

Inc.

*(a)

123,100

1,297,486

Global

Blockchain

Acquisition

Corp.

(2)*(a)

161,196

1,655,483

Global

Star

Acquisition,

Inc.,

Class

A

*(a)

50,064

515,159

Globalink

Investment,

Inc.

(2)*(a)

74,843

776,870

Goldenstone

Acquisition

Ltd.

*(a)

32,200

334,075

GSR

II

Meteora

Acquisition

Corp.,

Class

A

*(a)

244,186

2,524,883

Hawks

Acquisition

Corp.,

Class

A

*(a)

91,460

930,148

HNR

Acquisition

Corp.

*(a)

49,014

511,706

Home

Plate

Acquisition

Corp.,

Class

A

*(a)

41,016

415,082

Inception

Growth

Acquisition

Ltd.

*(a)

140,846

1,435,221

Industrial

Tech

Acquisitions

II,

Inc.,

Class

A

*(a)

126,008

1,311,743

Insight

Acquisition

Corp.,

Class

A

*(a)

50,340

514,475

Integral

Acquisition

Corp.

1,

Class

A

(2)*(a)

107,616

1,104,140

Jaws

Hurricane

Acquisition

Corp.,

Class

A

*(a)

169,809

1,725,259

Juniper

II

Corp.,

Class

A

(2)*(a)

153,552

1,592,334

Jupiter

Acquisition

Corp.,

Class

A

*(a)

236,154

2,396,963

JUPITER

WELLNESS

ACQUISITION

Corp.,

Class

A

*(a)

149,929

1,581,751

Khosla

Ventures

Acquisition

Co.

III,

Class

A

*(a)

184,081

1,868,422

LAVA

Medtech

Acquisition

Corp.,

Class

A

*(a)

63,464

661,930

Learn

CW

Investment

Corp.,

Class

A

(2)*(a)

26,704

274,250

LF

Capital

Acquisition

Corp.

II

*(a)

130,138

1,366,449

Live

Oak

Crestview

Climate

Acquisition

Corp.,

Class

A

*(a)

164,130

1,657,713

Logistics

Innovation

Technologies

Corp.,

Class

A

*(a)

78,523

797,008

Mercato

Partners

Acquisition

Corp.,

Class

A

(2)*(a)

54,767

570,672

Metal

Sky

Star

Acquisition

Corp.

(2)*(a)

17,504

182,567

Minority

Equality

Opportunities

Acquisition,

Inc.,

Class

A

(2)*(a)

40,202

432,574

Mobiv

Acquisition

Corp.,

Class

A

*(a)

101,917

1,064,013

Monterey

Bio

Acquisition

Corp.

(2)*(a)

8,700

92,481

Monterey

Capital

Acquisition

Corp.,

Class

A

*(a)

71,394

732,502

Murphy

Canyon

Acquisition

Corp.,

Class

A

*(a)

29,168

306,847

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

8.5%

(continued)

New

Providence

Acquisition

Corp.

II,

Class

A

*(a)

145,550

1,508,626

NewHold

Investment

Corp.

II,

Class

A

(2)*(a)

134,732

1,368,877

Northern

Star

Investment

Corp.

IV,

Class

A

*(a)

111,304

1,120,831

NorthView

Acquisition

Corp.

(2)*(a)

22,823

235,990

Nubia

Brand

International

Corp.,

Class

A

*(a)

284,300

3,007,894

OPY

Acquisition

Corp.

I,

Class

A

*(a)

41,286

416,576

Panacea

Acquisition

Corp.

II,

Class

A

*(a)

100,000

1,020,000

Papaya

Growth

Opportunity

Corp.

I,

Class

A

*(a)

21,403

222,805

Parabellum

Acquisition

Corp.,

Class

A

*(a)

16,186

165,906

Phoenix

Biotech

Acquisition

Corp.,

Class

A

(2)*(a)

46,808

499,909

PHP

Ventures

Acquisition

Corp.,

Class

A

(Malaysia)

(2)*(a)

29,400

311,934

Pivotal

Investment

Corp.

III,

Class

A

(2)*(a)

48,926

480,453

Plutonian

Acquisition

Corp.

*(a)

15,166

155,300

Pono

Capital

Two,

Inc.,

Class

A

(2)*(a)

92,094

959,619

Post

Holdings

Partnering

Corp.,

Class

A

*(a)

93,000

941,160

Prime

Number

Acquisition

I

Corp.,

Class

A

*(a)

35,700

369,495

PROOF

Acquisition

Corp.

I,

Class

A

*(a)

150,864

1,573,512

Qomolangma

Acquisition

Corp.

(2)*(a)

23,684

243,235

Redwoods

Acquisition

Corp.

*(a)

74,885

773,562

RF

Acquisition

Corp.,

Class

A

(Singapore)

*(a)

128,573

1,324,302

ROC

Energy

Acquisition

Corp.

(2)*(a)

149,375

1,557,981

Roth

CH

Acquisition

V

Co.

*(a)

28,286

291,912

Sagaliam

Acquisition

Corp.,

Class

A

(2)*(a)

31,501

331,391

Schultze

Special

Purpose

Acquisition

Corp.

II,

Class

A

*(a)

63,730

665,341

Seaport

Global

Acquisition

II

Corp.,

Class

A

*(a)

73,418

748,864

ShoulderUp

Technology

Acquisition

Corp.,

Class

A

(2)*(a)

299,987

3,107,865

Signal

Hill

Acquisition

Corp.,

Class

A

*(a)

194,198

2,017,717

Sizzle

Acquisition

Corp.

(2)*(a)

60,872

635,504

SportsMap

Tech

Acquisition

Corp.

*(a)

176,600

1,836,640

Springwater

Special

Situations

Corp.

(2)*(a)

40,212

408,152

TG

Venture

Acquisition

Corp.

(2)*(a)

273,650

2,832,278

TLG

Acquisition

One

Corp.,

Class

A

*(a)

159,106

1,654,702

33

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

8.5%

(continued)

Trajectory

Alpha

Acquisition

Corp.,

Class

A

(2)*(a)

109,920

1,121,184

Viscogliosi

Brothers

Acquisition

Corp.

*(a)

52,960

552,373

Vision

Sensing

Acquisition

Corp.,

Class

A

(2)*(a)

51,216

537,768

VMG

Consumer

Acquisition

Corp.,

Class

A

*(a)

236,497

2,452,474

Welsbach

Technology

Metals

Acquisition

Corp.

(2)*(a)

9,289

96,420

Western

Acquisition

Ventures

Corp.

(2)*(a)

7,855

80,200

Yotta

Acquisition

Corp.

*(a)

156,021

1,605,456

146,676,294

Chemicals

-

1.0%

Chr

Hansen

Holding

A/S

(Denmark)

(2)

233,569

17,767,701

Distributors

-

0.5%

Uni-Select,

Inc.

(Canada)

*

248,621

8,572,504

Financial

Services

-

0.7%

Home

Capital

Group,

Inc.

(Canada)

362,924

11,090,463

Hotels,

Restaurants

&

Leisure

-

0.4%

Booking

Holdings,

Inc.

*(b)

2,794

7,410,834

Papa

John's

International,

Inc.

394

29,522

7,440,356

Interactive

Media

&

Services

-

0.0%

(c)

Bumble,

Inc.,

Class

A

*

1,980

38,709

Media

-

1.6%

Paramount

Global,

Class

B

107,063

2,388,576

Shaw

Communications,

Inc.,

Class

B

(Canada)

867,039

25,943,807

28,332,383

Metals

&

Mining

-

0.0%

(c)

Sabina

Gold

&

Silver

Corp.

(Canada)

*

398,253

604,083

Real

Estate

Management

&

Development

-

0.1%

Zillow

Group,

Inc.,

Class

A

*

42,000

1,835,400

Specialty

Retail

-

0.7%

TravelCenters

of

America,

Inc.

*

148,062

12,807,363

TOTAL

COMMON

STOCKS

(Cost

$266,666,543)

273,561,452

PREFERRED

STOCKS

-

0.0%

(c)

Entertainment

-

0.0%

(c)

AMC

Entertainment

Holdings,

Inc.,

*(d)

(Cost

$637,789)

283,200

416,304

CLOSED

END

FUNDS

-

4.4%

abrdn

Emerging

Markets

Equity

(b)

2,886

15,469

abrdn

Global

Dynamic

Dividend

Fund

(b)

15,626

145,791

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.4%

(continued)

abrdn

Global

Infrastructure

In

4,451

79,940

abrdn

Total

Dynamic

Dividend

Fund

110,166

890,141

Adams

Diversified

Equity

Fund,

Inc.

74,963

1,165,675

Adams

Natural

Resources

Fund,

Inc.

(b)

32,233

662,710

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

(b)

72,295

791,630

Allspring

Income

Opportunities

15,027

95,121

Apollo

Senior

Floating

Rate

Fund,

Inc.

(b)

24,543

309,978

Apollo

Tactical

Income

Fund,

Inc.

(b)

11,353

137,598

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

(b)

30,566

365,875

Bancroft

Fund

Ltd.

9,351

158,873

Barings

Global

Short

Duration

High

Yield

Fund

17,505

225,814

BlackRock

California

Municipal

Income

Trust

42,086

492,406

BlackRock

Corporate

High

Yield

Fund,

Inc.

12,202

106,401

BlackRock

Credit

Allocation

Income

Trust

(b)

51,768

532,693

BlackRock

Debt

Strategies

Fund,

Inc.

60,542

575,754

BlackRock

Energy

and

Resources

Trust

(b)

27,937

339,714

BlackRock

Enhanced

Global

Dividend

Trust

(b)

62,875

624,349

BlackRock

Enhanced

International

Dividend

Trust

(b)

108,117

583,832

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

(b)

44,527

520,966

BlackRock

Floating

Rate

Income

Trust

(b)

31,791

356,377

Blackrock

Health

Sciences

Trust

II

18,632

311,341

BlackRock

Innovation

&

Growth

Trust

186,894

1,500,759

Blackrock

Investment

Quality

Municipal

Trust,

Inc.

(The)

5,307

64,055

BlackRock

MuniAssets

Fund,

Inc.

(b)

1,785

18,796

BlackRock

Municipal

2030

Target

Term

Trust

4,347

94,417

BlackRock

Municipal

Income

Fund,

Inc.

(b)

108,825

1,271,076

BlackRock

Municipal

Income

Quality

Trust

(b)

36,286

415,112

BlackRock

Municipal

Income

Trust

(b)

104,867

1,070,692

BlackRock

Municipal

Income

Trust

II

(b)

100,795

1,081,530

BlackRock

MuniHoldings

California

Quality

Fund,

Inc.

(b)

133,332

1,474,652

BlackRock

MuniHoldings

Fund,

Inc.

(b)

77,898

938,671

BlackRock

MuniHoldings

New

Jersey

Quality

Fund,

Inc.

(b)

65,678

752,013

34

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.4%

(continued)

BlackRock

MuniHoldings

New

York

Quality

Fund,

Inc.

(b)

62,350

663,404

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

(b)

35,030

351,701

BlackRock

MuniVest

Fund

II,

Inc.

(b)

42,718

459,218

BlackRock

MuniVest

Fund,

Inc.

(b)

106,169

734,689

BlackRock

MuniYield

Fund,

Inc.

(b)

87,802

943,872

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

(b)

37,109

415,250

BlackRock

MuniYield

New

York

Quality

Fund,

Inc.

(b)

77,138

782,951

BlackRock

MuniYield

Pennsylvania

Quality

Fund

(b)

24,530

287,982

BlackRock

MuniYield

Quality

Fund

II,

Inc.

(b)

19,999

207,390

BlackRock

MuniYield

Quality

Fund

III,

Inc.

(b)

84,118

953,898

BlackRock

MuniYield

Quality

Fund,

Inc.

(b)

76,421

904,825

BlackRock

New

York

Municipal

Income

Trust

(b)

67,544

702,458

BlackRock

Resources

&

Commodities

Strategy

Trust

84,201

803,278

BlackRock

Science

&

Technology

Trust

II

29,499

551,336

Blackstone

Long-Short

Credit

Income

Fund

(b)

38,612

421,257

Blackstone

Senior

Floating

Rate

2027

Term

Fund

27,363

346,826

Blackstone

Strategic

Credit

2027

Term

Fund

65,604

698,683

BNY

Mellon

Municipal

Income,

Inc.

70,954

460,491

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

104,129

625,815

BNY

Mellon

Strategic

Municipals,

Inc.

78,814

491,799

Calamos

Global

Dynamic

Income

Fund

4,503

26,928

Calamos

Long

11,152

172,187

CBRE

Global

Real

Estate

Income

Fund

51,201

271,877

Central

Securities

Corp.

1,344

46,749

Clough

Global

Equity

Fund

38,832

235,322

Clough

Global

Opportunities

Fund

51,331

251,009

Cohen

&

Steers

Ltd.

Duration

Preferred

and

Income

Fund,

Inc.

9,850

175,724

Delaware

Investments

National

Municipal

Income

Fund

5,987

63,881

DoubleLine

Yield

Opportunities

Fund

2,845

39,802

DWS

Municipal

Income

Trust

45,572

405,591

DWS

Strategic

Municipal

Income

Trust

98

831

Eaton

Vance

California

Municipal

Bond

Fund

80,375

724,982

Eaton

Vance

Floating-Rate

Income

Trust

39,758

457,615

Eaton

Vance

Municipal

Bond

Fund

105,863

1,100,975

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.4%

(continued)

Eaton

Vance

Municipal

Income

Trust

60,205

609,877

Eaton

Vance

New

York

Municipal

Bond

Fund

38,814

377,272

Eaton

Vance

Senior

Floating-Rate

Trust

43,045

487,700

Eaton

Vance

Senior

Income

Trust

5,991

32,052

Ellsworth

Growth

and

Income

Fund

Ltd.

43,752

354,829

Federated

Hermes

Premier

Municipal

Income

Fund

43,058

465,888

First

Trust

Energy

Income

and

Growth

Fund

17,300

224,554

First

Trust

High

Income

Long

13,254

150,433

First

Trust

High

Yield

Opportunities

2027

Term

Fund

18,620

259,935

First

Trust

Senior

Floating

Rate

Income

Fund

II

63,323

630,064

Flaherty

&

Crumrine

Preferred

and

Income

Opportunity

Fund,

Inc.

309

2,549

Flaherty

&

Crumrine

Total

Return

Fund,

Inc.

1,592

23,402

Franklin

Ltd.

Duration

Income

Trust

117,073

723,511

Gabelli

Dividend

&

Income

Trust

(The)

42,247

878,315

Gabelli

Global

Small

and

Mid

Cap

Value

Trust

(The)

265

3,086

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

18,175

183,386

GDL

Fund

(The)

13,102

102,788

General

American

Investors

Co.,

Inc.

2,718

105,757

Highland

Global

Allocation

Fund

1,219

11,020

Highland

Income

Fund

86,017

756,089

Insight

Select

Income

Fund

17,206

273,231

Invesco

Advantage

Municipal

Income

Trust

II

70,192

625,411

Invesco

California

Value

Municipal

Income

Trust

89,756

912,819

Invesco

Municipal

Opportunity

Trust

94,140

923,513

Invesco

Municipal

Trust

85,940

852,525

Invesco

Pennsylvania

Value

Municipal

Income

Trust

36,870

370,175

Invesco

Quality

Municipal

Income

Trust

85,275

851,044

Invesco

Trust

for

Investment

Grade

Municipals

83,016

825,179

Invesco

Trust

for

Investment

Grade

New

York

Municipals

23,001

240,590

Invesco

Value

Municipal

Income

Trust

37,580

458,476

John

Hancock

Income

Securities

Trust

1,208

13,191

KKR

Income

Opportunities

Fund

82,627

907,244

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

55

849

LMP

Capital

and

Income

Fund,

Inc.

12,176

148,669

MFS

Municipal

Income

Trust

77,111

411,773

35

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.4%

(continued)

Neuberger

Berman

Municipal

Fund,

Inc.

44,261

484,658

New

America

High

Income

Fund,

Inc.

(The)

31,110

211,859

New

Germany

Fund,

Inc.

(The)

5,051

45,914

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

175,148

2,063,243

Nuveen

AMT-Free

Municipal

Value

Fund

8,571

118,023

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

212,531

2,363,345

Nuveen

Arizona

Quality

Municipal

Income

Fund

1,054

11,910

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

33,883

394,398

Nuveen

California

Quality

Municipal

Income

Fund

149,357

1,644,421

Nuveen

Credit

Strategies

Income

Fund

113,935

582,208

Nuveen

Floating

Rate

Income

Opportunity

Fund

39,052

313,197

Nuveen

Georgia

Quality

Municipal

Income

Fund

8,624

87,706

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

5,237

55,722

Nuveen

Multi-Asset

Income

Fund

6,274

72,402

Nuveen

Municipal

Credit

Income

Fund

183,523

2,193,100

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

46,874

548,895

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

88,409

934,483

Nuveen

New

York

Quality

Municipal

Income

Fund

57,792

638,024

Nuveen

Ohio

Quality

Municipal

Income

Fund

27,598

350,771

Nuveen

Pennsylvania

Quality

Municipal

Income

Fund

55,909

639,040

Nuveen

Preferred

&

Income

Opportunities

Fund

100,494

661,251

Nuveen

Preferred

&

Income

Securities

Fund

187,973

1,214,306

Nuveen

Quality

Municipal

Income

Fund

190,599

2,197,606

Nuveen

Real

Asset

Income

and

Growth

Fund

33,989

399,031

Nuveen

Short

Duration

Credit

Opportunities

Fund

12,575

147,505

Nuveen

Virginia

Quality

Municipal

Income

Fund

167

1,904

PGIM

Global

High

Yield

Fund,

Inc.

39,676

435,246

PGIM

High

Yield

Bond

Fund,

Inc.

29,376

358,387

PIMCO

California

Municipal

Income

Fund

II

471

2,920

Pioneer

Diversified

High

Income

Fund,

Inc.

115

1,164

Pioneer

Floating

Rate

Fund,

Inc.

47,440

412,728

Pioneer

High

Income

Fund,

Inc.

80,718

535,160

Pioneer

Municipal

High

Income

Advantage

Fund,

Inc.

69,478

571,804

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.4%

(continued)

Pioneer

Municipal

High

Income

Fund

Trust

71,438

635,084

Royce

Global

Value

Trust,

Inc.

1,365

12,285

Royce

Value

Trust,

Inc.

19,886

269,853

Saba

Capital

Income

&

Opportunities

Fund

28,059

228,681

Source

Capital,

Inc.

1,131

42,740

SRH

Total

Return

Fund,

Inc.

(b)

18,390

225,829

Swiss

Helvetia

Fund,

Inc.

(The)

2,275

18,041

Tekla

Healthcare

Investors

56,438

996,131

Tekla

Healthcare

Opportunities

Fund

51,849

972,687

Tekla

Life

Sciences

Investors

52,036

724,861

Templeton

Emerging

Markets

Fund

7,603

88,955

Tri-Continental

Corp.

1,522

40,409

Virtus

Dividend

Interest

&

Premium

Strategy

Fund

79,352

933,180

Virtus

Equity

&

Convertible

Income

Fund

14,825

291,311

Virtus

Total

Return

Fund,

Inc.

15,031

97,326

Voya

Emerging

Markets

High

Dividend

Equity

Fund

20,154

108,227

Voya

Global

Advantage

and

Premium

Opportunity

Fund

18,966

161,970

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

49,904

254,510

Voya

Infrastructure

Industrials

and

Materials

Fund

22,336

215,542

Western

Asset

Global

High

Income

Fund,

Inc.

15,881

110,532

Western

Asset

Intermediate

Muni

Fund,

Inc.

19,673

155,550

Western

Asset

Investment

Grade

Income

Fund,

Inc.

697

8,322

Western

Asset

Managed

Municipals

Fund,

Inc.

72,997

750,409

Western

Asset

Municipal

High

Income

Fund,

Inc.

27,630

184,292

Western

Asset

Municipal

Partners

Fund,

Inc.

8,973

108,573

Western

Asset

Premier

Bond

Fund

17,007

173,471

TOTAL

CLOSED

END

FUNDS

(Cost

$76,892,980)

76,649,115

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.3%

Diversified

REITs

-

0.3%

iStar,

Inc.

4.75%,

10/1/2024

(2)

$

2,331,000

2,351,396

4.25%,

8/1/2025

(2)

2,364,000

2,375,798

4,727,194

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(c)

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(3)(e)(f)

2,375,000

190,000

Media

-

0.0%

(c)

iHeartCommunications,

Inc.

6.38%,

5/1/2026

(2)

423

373

36

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(c)

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(e)(f)

$

2,833,436

144,340

TOTAL

CORPORATE

BONDS

(Cost

$5,587,707)

5,061,907

CONVERTIBLE

BONDS

-

23.5%

Aerospace

&

Defense

-

0.1%

Virgin

Galactic

Holdings,

Inc.

2.50%,

2/1/2027

(2)(b)(g)

4,067,000

1,911,490

Automobile

Components

-

0.5%

LCI

Industries

1.13%,

5/15/2026

(2)(b)

6,925,000

6,291,362

Luminar

Technologies,

Inc.

1.25%,

12/15/2026

(2)(b)(g)

3,325,000

2,159,311

8,450,673

Automobiles

-

0.5%

Ford

Motor

Co.

0.00%,

3/15/2026

(2)(b)

8,750,000

8,741,250

Biotechnology

-

1.5%

Cytokinetics,

Inc.

3.50%,

7/1/2027

(2)(b)(g)

10,840,000

10,579,840

Exact

Sciences

Corp.

2.00%,

3/1/2030

(2)(b)(g)

11,975,000

13,166,513

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

2,075,000

1,662,014

25,408,367

Broadline

Retail

-

0.9%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(b)

17,025,000

14,051,120

Groupon,

Inc.

1.13%,

3/15/2026

(2)(b)

4,250,000

1,657,554

15,708,674

Capital

Markets

-

0.1%

WisdomTree,

Inc.

5.75%,

8/15/2028

(2)(b)(g)

1,425,000

1,410,038

Communications

Equipment

-

1.4%

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)

2,925,000

3,569,035

3.75%,

8/1/2028

(2)(b)(g)

7,575,000

10,226,250

Lumentum

Holdings,

Inc.

0.50%,

6/15/2028

(2)(b)

14,356,000

10,930,402

24,725,687

Consumer

Finance

-

1.0%

EZCORP,

Inc.

2.38%,

5/1/2025

(2)(b)

1,540,000

1,399,583

3.75%,

12/15/2029

(2)(b)(g)

9,850,000

9,674,283

LendingTree,

Inc.

0.50%,

7/15/2025

(2)(b)

7,500,000

5,593,500

16,667,366

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Diversified

Consumer

Services

-

0.7%

2U,

Inc.

2.25%,

5/1/2025

(2)(b)

$

3,425,000

2,676,637

Chegg,

Inc.

0.00%,

9/1/2026

(2)(b)

12,745,000

10,004,703

12,681,340

Diversified

Telecommunication

Services

-

0.1%

Bandwidth,

Inc.

0.25%,

3/1/2026

(2)(b)

1,875,000

1,445,181

Electric

Utilities

-

0.2%

Southern

Co.

(The)

3.88%,

12/15/2025

(2)(b)(g)

3,926,000

3,970,096

Electrical

Equipment

-

0.8%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(b)

12,850,000

14,157,724

Energy

Equipment

&

Services

-

0.9%

Helix

Energy

Solutions

Group,

Inc.

6.75%,

2/15/2026

(2)(b)

3,250,000

4,444,222

Nabors

Industries,

Inc.

1.75%,

6/15/2029

(2)(b)(g)

12,646,000

10,951,436

15,395,658

Entertainment

-

0.5%

Live

Nation

Entertainment,

Inc.

3.13%,

1/15/2029

(2)(b)(g)

1,668,000

1,635,474

Sea

Ltd.

(Singapore)

0.25%,

9/15/2026

(2)(b)

8,250,000

6,463,875

8,099,349

Financial

Services

-

1.3%

Repay

Holdings

Corp.

0.00%,

2/1/2026

(2)(b)(g)

8,300,000

6,254,050

Shift4

Payments,

Inc.

0.50%,

8/1/2027

(2)(b)

16,600,000

15,662,100

21,916,150

Food

Products

-

0.1%

Freshpet,

Inc.

3.00%,

4/1/2028

(2)(b)(g)

1,548,000

1,797,228

Ground

Transportation

-

0.5%

Lyft,

Inc.

1.50%,

5/15/2025

(2)(b)

9,150,000

8,033,067

Health

Care

Equipment

&

Supplies

-

0.8%

Cutera,

Inc.

2.25%,

6/1/2028

(2)(b)(g)

10,581,000

7,764,833

4.00%,

6/1/2029

(2)(b)(g)

1,033,000

755,565

Lantheus

Holdings,

Inc.

2.63%,

12/15/2027

(2)(b)(g)

1,940,000

2,513,372

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)

3,100,000

3,418,293

14,452,063

Health

Care

Providers

&

Services

-

0.4%

Guardant

Health,

Inc.

0.00%,

11/15/2027

(2)(b)

11,200,000

7,507,692

Health

Care

Technology

-

0.0%

(c)

Teladoc

Health,

Inc.

1.25%,

6/1/2027

(2)(b)

1,300,000

1,002,681

37

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

2.9%

Airbnb,

Inc.

0.00%,

3/15/2026

(2)(b)

$

13,725,000

12,002,512

Carnival

Corp.

5.75%,

12/1/2027

(2)(b)(g)

13,245,000

14,297,978

DraftKings

Holdings,

Inc.

0.00%,

3/15/2028

(2)(b)

13,750,000

9,515,000

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(b)

6,075,000

5,768,212

NCL

Corp.

Ltd.

1.13%,

2/15/2027

(2)(b)

12,113,000

8,614,246

50,197,948

Household

Durables

-

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(b)

1,225,000

1,103,613

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Sunnova

Energy

International,

Inc.

0.25%,

12/1/2026

(2)(b)

3,450,000

2,444,325

2.63%,

2/15/2028

(2)(b)(g)

8,137,000

5,862,871

8,307,196

Interactive

Media

&

Services

-

0.9%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(b)

7,400,000

5,712,800

Snap,

Inc.

0.00%,

5/1/2027

(2)(b)

1,175,000

855,988

0.13%,

3/1/2028

(2)(b)

12,872,000

9,029,708

15,598,496

IT

Services

-

0.4%

DigitalOcean

Holdings,

Inc.

0.00%,

12/1/2026

(2)(b)

280,000

219,873

Shopify,

Inc.

(Canada)

0.13%,

11/1/2025

(2)(b)

7,675,000

6,746,325

6,966,198

Life

Sciences

Tools

&

Services

-

0.1%

CryoPort,

Inc.

0.75%,

12/1/2026

(2)(b)(g)

3,083,000

2,402,501

Machinery

-

1.0%

3D

Systems

Corp.

0.00%,

11/15/2026

(2)(b)

9,900,000

7,406,438

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(b)

11,535,000

9,787,447

17,193,885

Media

-

0.7%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(b)

7,514,000

5,492,734

Liberty

Broadband

Corp.

3.13%,

3/31/2053

(2)(b)(g)

7,516,000

7,346,890

12,839,624

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Northern

Oil

and

Gas,

Inc.

3.63%,

4/15/2029

(2)(b)(g)

1,422,000

1,517,977

Passenger

Airlines

-

0.6%

JetBlue

Airways

Corp.

0.50%,

4/1/2026

(2)(b)

12,675,000

9,721,725

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Pharmaceuticals

-

0.6%

Innoviva,

Inc.

2.13%,

3/15/2028

(2)(b)

$

13,373,000

10,468,287

Professional

Services

-

0.2%

Upwork,

Inc.

0.25%,

8/15/2026

(2)(b)

4,225,000

3,309,852

Real

Estate

Management

&

Development

-

0.2%

Redfin

Corp.

0.50%,

4/1/2027

(2)(b)

4,535,000

2,782,193

Semiconductors

&

Semiconductor

Equipment

-

0.4%

ON

Semiconductor

Corp.

0.50%,

3/1/2029

(2)(b)(g)

4,708,000

4,894,474

Semtech

Corp.

1.63%,

11/1/2027

(2)(b)(g)

1,928,000

1,760,264

SMART

Global

Holdings,

Inc.

2.00%,

2/1/2029

(2)(b)

1,000,000

1,024,500

7,679,238

Software

-

1.5%

8x8,

Inc.

0.50%,

2/1/2024

(2)(b)

2,450,000

2,203,258

4.00%,

2/1/2028

(2)(b)

9,050,000

7,930,062

Confluent,

Inc.

0.00%,

1/15/2027

(2)(b)

5,825,000

4,601,046

Envestnet,

Inc.

2.63%,

12/1/2027

(2)(b)(g)

1,230,000

1,284,735

Marathon

Digital

Holdings,

Inc.

1.00%,

12/1/2026

(2)(b)

6,855,000

2,592,217

Porch

Group,

Inc.

0.75%,

9/15/2026

(2)(b)(g)

3,400,000

1,827,500

Unity

Software,

Inc.

0.00%,

11/15/2026

(2)(b)

6,825,000

5,285,963

Veritone,

Inc.

1.75%,

11/15/2026

(2)(b)

1,091,000

740,668

26,465,449

Specialty

Retail

-

0.7%

Farfetch

Ltd.

(United

Kingdom)

3.75%,

5/1/2027

(2)(b)

8,525,000

6,636,713

Wayfair,

Inc.

3.25%,

9/15/2027

(2)(b)(g)

6,483,000

5,504,067

12,140,780

Trading

Companies

&

Distributors

-

0.3%

Xometry,

Inc.

1.00%,

2/1/2027

(2)(b)

8,800,000

5,853,760

TOTAL

CONVERTIBLE

BONDS

(Cost

$457,868,490)

408,030,496

NO.

OF

RIGHTS

RIGHTS

-

0.1%

Biotechnology

-

0.0%

(c)

Ambit

Biosciences

Corp.,

CVR

(3)*(e)

146,272

145,115

Tobira

Therapeutics,

Inc.,

CVR

(3)*(e)

11,880

146,573

291,688

38

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.1%

Accretion

Acquisition

Corp.,

expiring

3/1/2028

*(a)

202,180

19,005

Alset

Capital

Acquisition

Corp.,

expiring

2/3/2025

*(a)

122,496

28,174

Aquaron

Acquisition

Corp.,

expiring

7/15/2026

*(a)(b)

35,605

11,468

Bannix

Acquisition

Corp.,

expiring

8/30/2026

*(a)

26,277

3,676

Bellevue

Life

Sciences

Acquisition

Corp.

(2)*(a)

25,053

3,758

Blockchain

Moon

Acquisition

Corp.,

expiring

10/21/2026

*(a)

44,844

2,354

Breeze

Holdings

Acquisition

Corp.

*(a)

55,000

7,695

Broad

Capital

Acquisition

Corp.,

expiring

1/13/2027

(2)*(a)

69,739

10,391

Clean

Earth

Acquisitions

Corp.,

expiring

8/28/2028

*(a)

195,348

29,224

Deep

Medicine

Acquisition

Corp.,

expiring

9/30/2028

*(a)

152,927

21,440

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*(a)

55,000

10,593

EF

Hutton

Acquisition

Corp.

I,

expiring

9/13/2027

*(a)

34,096

6,768

Feutune

Light

Acquisition

Corp.

(2)*(a)

94,079

15,053

Financial

Strategies

Acquisition

Corp.

*(a)

131,193

13,802

Fintech

Ecosystem

Development

Corp.,

expiring

1/4/2026

(2)*(a)

10,730

1,074

Global

Blockchain

Acquisition

Corp.

*(a)

161,196

12,896

Global

Star

Acquisition,

Inc.,

expiring

6/21/2024

*(a)

50,064

7,179

Globalink

Investment,

Inc.,

expiring

12/9/2026

(2)*(a)

74,843

6,736

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

(3)*(a)(e)

32,200

4,025

GSR

II

Meteora

Acquisition

Corp.

*(a)

15,261

12,972

Inception

Growth

Acquisition

Ltd.

*(a)

112,518

11,117

JUPITER

WELLNESS

ACQUISITION

Corp.

*(a)

149,929

59,972

Metal

Sky

Star

Acquisition

Corp.,

expiring

12/31/2023

(2)*(a)

103,342

16,535

Monterey

Capital

Acquisition

Corp.,

expiring

5/13/2027

*(a)

71,394

12,494

NorthView

Acquisition

Corp.,

expiring

8/2/2027

*(a)

154,598

26,282

PHP

Ventures

Acquisition

Corp.,

expiring

8/11/2026

(2)*(a)

29,400

4,807

Plutonian

Acquisition

Corp.,

expiring

11/14/2027

(2)*(a)

15,166

3,033

Prime

Number

Acquisition

I

Corp.

*(a)

35,700

5,994

Qomolangma

Acquisition

Corp.,

expiring

1/18/2028

*(a)

23,684

3,789

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

(2)*(a)

74,885

7,488

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

RF

Acquisition

Corp.,

expiring

3/29/2024

*(a)

114,573

17,186

ROC

Energy

Acquisition

Corp.,

expiring

11/30/2028

(2)*(a)

149,375

52,281

Sagaliam

Acquisition

Corp.,

expiring

5/31/2028

(2)*(a)

70,003

5,789

Springwater

Special

Situations

Corp.,

expiring

9/6/2023

(2)*(a)

40,212

32,652

Welsbach

Technology

Metals

Acquisition

Corp.

(2)*(a)

9,289

1,626

Yotta

Acquisition

Corp.,

expiring

12/31/2023

*(a)

68,693

10,304

499,632

TOTAL

RIGHTS

(Cost

$–)

791,320

NO.

OF

WARRANTS

WARRANTS

-

0.2%

Aerospace

&

Defense

-

0.0%

(c)

AERWINS

Technology,

Inc.,

expiring

6/16/2026

*(b)

69,310

3,965

Eve

Holding,

Inc.,

expiring

10/8/2025

*

78,085

31,546

35,511

Biotechnology

-

0.0%

(c)

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

367,218

7,271

4d

pharma

plc,

expiring

3/22/2026

(United

Kingdom)

(2)*

10,533

10

Cardio

Diagnostics

Holdings,

Inc.,

expiring

12/1/2026

*

6,949

2,223

DermTech,

Inc.,

expiring

8/29/2024

(2)*

103,462

19,658

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

*

160,198

3,524

Ocean

Biomedical,

Inc.,

expiring

7/19/2026

*

11,789

3,300

Peak

Bio,

Inc.,

expiring

12/31/2027

(2)*

5,961

1

ZyVersa

Therapeutics,

Inc.,

expiring

12/20/2026

(3)*(e)

38,655

–

35,987

Broadline

Retail

-

0.0%

(c)

Nogin,

Inc.,

expiring

8/26/2027

*

61,930

1,753

Capital

Markets

-

0.1%

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

*(a)

74,200

2,048

7GC

&

Co.

Holdings,

Inc.,

expiring

12/31/2026

(2)*(a)

67,750

6,775

Accretion

Acquisition

Corp.,

expiring

3/1/2028

(2)*(a)(b)

101,090

3,538

Achari

Ventures

Holdings

Corp.

I,

expiring

10/15/2026

*(a)(b)

42,909

1,828

Acri

Capital

Acquisition

Corp.,

expiring

2/1/2029

(3)*(a)(b)(e)

27,498

1,925

39

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Acropolis

Infrastructure

Acquisition

Corp.,

expiring

3/31/2026

(2)*(a)(b)

140,333

23,997

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

*(a)(b)

41,250

3,300

Aequi

Acquisition

Corp.,

expiring

11/30/2027

*(a)(b)

107,000

10,700

Aetherium

Acquisition

Corp.,

expiring

1/21/2028

(2)*(a)

175,712

5,377

Alpha

Healthcare

Acquisition

Corp.

III,

expiring

4/12/2027

*(a)

52,000

8,476

Alpine

Acquisition

Corp.,

expiring

5/1/2026

*(a)

15,103

15

Alset

Capital

Acquisition

Corp.,

expiring

2/2/2027

(2)*(a)

61,248

2,805

AltEnergy

Acquisition

Corp.,

expiring

11/2/2028

*(a)(b)

61,463

4,923

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*(a)(b)

96,300

4,931

American

Acquisition

Opportunity,

Inc.,

expiring

5/28/2026

(2)*(a)

58,500

1,755

Anzu

Special

Acquisition

Corp.

I,

expiring

12/31/2027

(2)*(a)(b)

68,889

2,590

Apeiron

Capital

Investment

Corp.,

expiring

6/24/2023

(2)*(a)(b)

54,024

2,701

Armada

Acquisition

Corp.

I,

expiring

8/13/2026

(2)*(a)

64,166

7,052

Arogo

Capital

Acquisition

Corp.,

expiring

3/23/2028

*(a)

96,774

5,806

Arrowroot

Acquisition

Corp.,

expiring

3/2/2026

*(a)(b)

41,500

4,984

Artemis

Strategic

Investment

Corp.,

expiring

12/31/2027

*(a)

102,400

6,144

Athena

Consumer

Acquisition

Corp.,

expiring

7/31/2028

(2)*(a)

64,463

4,738

Athena

Technology

Acquisition

Corp.

II,

expiring

10/17/2028

*(a)(b)

319,116

28,752

Atlantic

Coastal

Acquisition

Corp.,

expiring

12/31/2027

*(a)(b)

228,472

9,619

Atlantic

Coastal

Acquisition

Corp.

II,

expiring

6/2/2028

(2)*(a)(b)

206,631

14,423

Ault

Disruptive

Technologies

Corp.,

expiring

6/20/2028

(3)*(a)(b)(e)

54,855

2,743

Aurora

Acquisition

Corp.,

expiring

12/31/2028

(United

Kingdom)

(2)*(a)(b)

9,375

543

Avalon

Acquisition,

Inc.,

expiring

12/31/2026

*(a)

79,701

7,173

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

AxonPrime

Infrastructure

Acquisition

Corp.,

expiring

7/8/2023

(2)*(a)

78,055

12,395

B

Riley

Principal

250

Merger

Corp.,

expiring

12/31/2027

*(a)

117,289

7,776

Banner

Acquisition

Corp.,

expiring

1/15/2028

(2)*(a)

20,196

808

Bannix

Acquisition

Corp.,

expiring

7/31/2026

(2)*(a)

26,277

660

Banyan

Acquisition

Corp.,

expiring

9/30/2028

(2)*(a)

167,229

7,559

Beard

Energy

Transition

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

74,755

2,990

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

2/10/2028

*(a)

25,053

1,754

Belong

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

64,000

2,560

Berenson

Acquisition

Corp.

I,

expiring

8/1/2026

*(a)

15,392

46

Better

World

Acquisition

Corp.,

expiring

11/15/2027

*(a)

49,500

5,460

Bilander

Acquisition

Corp.,

expiring

12/31/2027

*(a)

60,416

7,854

Bite

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

41,600

3,848

Black

Mountain

Acquisition

Corp.,

expiring

10/15/2027

*(a)

183,774

12,368

Blockchain

Moon

Acquisition

Corp.,

expiring

10/14/2026

*(a)

44,844

843

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*(a)

55,000

3,443

Build

Acquisition

Corp.,

expiring

4/29/2023

(3)*(a)(e)

135,000

1,350

BurTech

Acquisition

Corp.,

expiring

12/18/2026

(2)*(a)

447,209

20,706

byNordic

Acquisition

Corp.,

expiring

2/9/2027

*(a)

69,207

2,851

C5

Acquisition

Corp.,

expiring

5/19/2028

*(a)

131,692

5,268

Canna-Global

Acquisition

Corp.,

expiring

2/9/2028

*(a)

188,580

5,601

Cascadia

Acquisition

Corp.,

expiring

9/30/2028

(2)*(a)

60,303

6,079

CF

Acquisition

Corp.

IV,

expiring

12/14/2025

*(a)

78,500

7,850

CF

Acquisition

Corp.

VII,

expiring

3/15/2026

*(a)

48,764

4,881

CF

Acquisition

Corp.

VIII,

expiring

12/31/2027

*(a)

48,500

2,668

Churchill

Capital

Corp.

V,

expiring

10/29/2027

*(a)

10,350

1,934

Churchill

Capital

Corp.

VI,

expiring

12/31/2027

*(a)

16,600

1,826

40

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Churchill

Capital

Corp.

VII,

expiring

2/29/2028

*(a)

16,600

2,033

CIIG

Capital

Partners

II,

Inc.,

expiring

2/28/2028

*(a)

70,884

8,861

Clean

Earth

Acquisitions

Corp.,

expiring

2/24/2028

(2)*(a)

97,674

5,870

Colombier

Acquisition

Corp.,

expiring

12/31/2028

*(a)

78,300

16,936

Compute

Health

Acquisition

Corp.,

expiring

12/31/2027

*(a)

23,100

9,240

Concord

Acquisition

Corp.

II,

expiring

12/31/2028

(2)*(a)

95,464

6,682

Concord

Acquisition

Corp.

III,

expiring

12/31/2028

(2)*(a)

215,234

23,633

Conx

Corp.,

expiring

10/30/2027

*(a)

92,500

16,715

Conyers

Park

III

Acquisition

Corp.,

expiring

8/12/2028

*(a)

161,500

32,300

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*(a)

110,400

9,395

Crixus

BH3

Acquisition

Co.,

expiring

11/23/2026

(2)*(a)

42,289

5,498

Data

Knights

Acquisition

Corp.,

expiring

12/31/2028

*(a)

50,667

1,322

Digital

Health

Acquisition

Corp.,

expiring

10/14/2023

*(a)

71,745

6,457

Digital

Transformation

Opportunities

Corp.,

expiring

3/31/2028

(2)*(a)

20,733

2,030

Direct

Selling

Acquisition

Corp.,

expiring

9/30/2028

*(a)

51,291

4,103

dMY

Squared

Technology

Group,

Inc.,

expiring

11/21/2027

*(a)

6,140

1,903

dMY

Technology

Group,

Inc.

VI,

expiring

6/25/2023

*(a)

41,091

3,271

DUET

Acquisition

Corp.,

expiring

7/19/2028

*(a)

73,788

2,583

Dune

Acquisition

Corp.,

expiring

10/29/2027

*(a)

22,884

1,375

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*(a)

219,000

28,470

Edify

Acquisition

Corp.,

expiring

12/31/2027

*(a)

41,550

1,251

Edoc

Acquisition

Corp.,

expiring

11/30/2027

(2)*(a)

55,000

962

EdtechX

Holdings

Acquisition

Corp.

II,

expiring

6/15/2027

(2)*(a)

40,875

1,144

EF

Hutton

Acquisition

Corp.

I,

expiring

12/8/2027

(2)*(a)

34,096

1,705

EG

Acquisition

Corp.,

expiring

5/28/2028

*(a)

155,666

27,242

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Everest

Consolidator

Acquisition

Corp.,

expiring

7/19/2028

(2)*(a)

65,508

5,241

Evo

Acquisition

Corp.,

expiring

12/31/2027

*(a)

9,660

1,594

ExcelFin

Acquisition

Corp.,

expiring

7/5/2023

(2)*(a)

67,393

3,969

FAST

Acquisition

Corp.

II,

expiring

3/16/2026

(2)*(a)

24,250

11,034

Feutune

Light

Acquisition

Corp.,

expiring

6/1/2029

*(a)

94,079

6,209

FG

Merger

Corp.,

expiring

6/17/2027

(2)*(a)

73,638

5,155

Financial

Strategies

Acquisition

Corp.,

expiring

3/31/2028

*(a)

131,193

4,592

FinServ

Acquisition

Corp.

II,

expiring

2/17/2026

*(a)

20,791

769

Fintech

Ecosystem

Development

Corp.,

expiring

12/31/2028

(2)*(a)

5,365

188

First

Light

Acquisition

Group,

Inc.,

expiring

10/7/2023

(2)*(a)

20,232

830

Flame

Acquisition

Corp.,

expiring

12/31/2028

*(a)

65,866

37,544

Focus

Impact

Acquisition

Corp.,

expiring

10/28/2026

(2)*(a)

50,975

2,549

Forest

Road

Acquisition

Corp.

II,

expiring

1/15/2026

*(a)

16,622

3,299

Fortune

Rise

Acquisition

Corp.,

expiring

12/6/2027

(2)*(a)

49,324

2,550

Forum

Merger

IV

Corp.,

expiring

12/31/2027

*(a)

117,500

14,687

FTAC

Emerald

Acquisition

Corp.,

expiring

8/22/2028

*(a)

118,863

12,504

Fusion

Acquisition

Corp.

II,

expiring

12/31/2027

*(a)

27,666

315

Future

Health

ESG

Corp.,

expiring

9/9/2026

(2)*(a)

45,911

2,755

FutureTech

II

Acquisition

Corp.,

expiring

2/16/2027

*(a)

38,964

986

Gardiner

Healthcare

Acquisitions

Corp.,

expiring

7/30/2028

*(a)

52,651

5,039

Genesis

Unicorn

Capital

Corp.,

expiring

6/30/2026

*(a)

67,549

6,417

GigCapital5,

Inc.,

expiring

12/31/2028

*(a)

123,100

3,090

Global

Blockchain

Acquisition

Corp.,

expiring

5/10/2027

*(a)

161,196

5,239

Global

Star

Acquisition,

Inc.,

expiring

11/10/2027

(2)*(a)

50,064

2,503

Global

Systems

Dynamics,

Inc.,

expiring

12/31/2027

*(a)

69,500

4,281

Globalink

Investment,

Inc.,

expiring

12/3/2026

*(a)

74,843

748

41

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Goal

Acquisitions

Corp.,

expiring

2/11/2026

(2)*(a)

84,630

3,986

Golden

Arrow

Merger

Corp.,

expiring

7/31/2026

(2)*(a)

131,733

6,613

Golden

Falcon

Acquisition

Corp.,

expiring

11/4/2026

*(a)

64,925

15,582

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

(2)*(a)

32,200

985

Gores

Holdings

IX,

Inc.,

expiring

1/14/2029

*(a)

552,098

126,983

Graf

Acquisition

Corp.

IV,

expiring

5/31/2028

*(a)

73,000

10,227

GSR

II

Meteora

Acquisition

Corp.,

expiring

7/22/2023

*(a)

244,186

10,134

Hawks

Acquisition

Corp.,

expiring

10/13/2028

*(a)

37,175

1,859

Healthwell

Acquisition

Corp.

I,

expiring

8/5/2028

*(a)

139,600

16,850

Heartland

Media

Acquisition

Corp.,

expiring

10/21/2027

(2)*(a)

200,423

17,056

Hennessy

Capital

Investment

Corp.

VI,

expiring

12/31/2027

*(a)

232,490

37,222

HNR

Acquisition

Corp.,

expiring

7/29/2028

(2)*(a)

49,014

8,332

Home

Plate

Acquisition

Corp.,

expiring

9/30/2026

*(a)

20,508

6,501

Inception

Growth

Acquisition

Ltd.,

expiring

10/15/2026

(2)*(a)

56,259

1,412

Industrial

Tech

Acquisitions

II,

Inc.,

expiring

12/31/2028

*(a)

63,004

3,528

Insight

Acquisition

Corp.,

expiring

8/26/2026

(3)*(a)(e)

25,170

632

Integral

Acquisition

Corp.

1,

expiring

12/14/2028

(2)*(a)

53,808

1,808

Integrated

Rail

and

Resources

Acquisition

Corp.,

expiring

5/21/2023

(2)*(a)

54,219

16,260

Intelligent

Medicine

Acquisition

Corp.,

expiring

11/5/2026

*(a)

62,785

2,888

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

*(a)

16,500

1,568

InterPrivate

IV

InfraTech

Partners,

Inc.,

expiring

12/31/2027

(2)*(a)

16,600

1,494

Iris

Acquisition

Corp.,

expiring

3/5/2026

*(a)

63,888

5,482

Jackson

Acquisition

Co.,

expiring

12/31/2028

(2)*(a)

183,961

1,656

Jaws

Hurricane

Acquisition

Corp.,

expiring

6/11/2026

(2)*(a)

34,250

5,312

Juniper

II

Corp.,

expiring

12/31/2028

(2)*(a)

53,808

5,381

Jupiter

Acquisition

Corp.,

expiring

8/17/2028

*(a)

105,000

9,408

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Kimbell

Tiger

Acquisition

Corp.,

expiring

9/15/2028

(3)*(a)(e)

185,772

20,435

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

*(a)

112,062

3,586

KnightSwan

Acquisition

Corp.,

expiring

7/21/2028

(2)*(a)

167,019

23,383

Landcadia

Holdings

IV,

Inc.,

expiring

3/29/2028

(2)*(a)

84,500

13,909

LAVA

Medtech

Acquisition

Corp.,

expiring

10/27/2026

(2)*(a)

31,732

2,380

Learn

CW

Investment

Corp.,

expiring

12/31/2028

*(a)

13,352

304

LF

Capital

Acquisition

Corp.

II,

expiring

1/7/2026

*(a)

54,396

8,105

Live

Oak

Crestview

Climate

Acquisition

Corp.,

expiring

3/12/2026

*(a)

54,710

19,143

Logistics

Innovation

Technologies

Corp.,

expiring

6/15/2028

(2)*(a)

81,857

9,012

M3-Brigade

Acquisition

II

Corp.,

expiring

12/31/2027

(2)*(a)

413,333

45,467

M3-Brigade

Acquisition

III

Corp.,

expiring

5/11/2023

(3)*(a)(e)

149,671

53,882

Maquia

Capital

Acquisition

Corp.,

expiring

12/31/2027

*(a)

113,500

2,122

Marblegate

Acquisition

Corp.,

expiring

8/31/2028

*(a)

573,387

85,951

MedTech

Acquisition

Corp.,

expiring

12/18/2025

(2)*(a)

45,166

2,773

Mercato

Partners

Acquisition

Corp.,

expiring

12/28/2026

*(a)

71,745

7,174

Metal

Sky

Star

Acquisition

Corp.,

expiring

4/1/2027

(2)*(a)

103,342

4,134

Minority

Equality

Opportunities

Acquisition,

Inc.,

expiring

4/29/2023

*(a)

40,202

2,010

Mobiv

Acquisition

Corp.,

expiring

9/23/2027

(2)*(a)

101,917

5,605

Monterey

Bio

Acquisition

Corp.,

expiring

6/7/2023

(2)*(a)

8,700

261

Monterey

Capital

Acquisition

Corp.,

expiring

5/11/2027

(3)*(a)(e)

71,394

5,176

Murphy

Canyon

Acquisition

Corp.,

expiring

2/3/2027

(2)*(a)

97,859

8,807

Nabors

Energy

Transition

Corp.,

expiring

11/17/2026

(2)*(a)

127,094

26,308

42

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

New

Providence

Acquisition

Corp.

II,

expiring

12/31/2027

(2)*(a)

41,859

1,394

Newbury

Street

Acquisition

Corp.,

expiring

12/31/2027

*(a)

88,000

3,960

NewHold

Investment

Corp.

II,

expiring

10/21/2023

(3)*(a)(e)

67,366

9,660

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

*(a)

16,500

412

Northern

Star

Investment

Corp.

III,

expiring

2/25/2028

(3)*(a)(e)

13,777

689

Northern

Star

Investment

Corp.

IV,

expiring

12/31/2027

(2)*(a)

13,777

496

NorthView

Acquisition

Corp.,

expiring

8/2/2027

*(a)

77,299

6,184

Nubia

Brand

International

Corp.,

expiring

11/16/2026

*(a)

142,150

34,102

OCA

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

55,769

4,406

OceanTech

Acquisitions

I

Corp.,

expiring

5/10/2026

*(a)

104,000

6,614

OmniLit

Acquisition

Corp.,

expiring

11/8/2026

(2)*(a)

40,496

1,980

OPY

Acquisition

Corp.

I,

expiring

4/8/2023

(2)*(a)

41,286

6,197

Osiris

Acquisition

Corp.,

expiring

5/1/2028

*(a)

254,000

30,556

Papaya

Growth

Opportunity

Corp.

I,

expiring

12/31/2028

*(a)

206,644

8,245

Phoenix

Biotech

Acquisition

Corp.,

expiring

9/1/2026

*(a)

106,172

5,309

PHP

Ventures

Acquisition

Corp.,

expiring

12/4/2023

(2)*(a)

14,700

1,436

Pivotal

Investment

Corp.

III,

expiring

12/31/2027

(3)*(a)(e)

16,566

828

Plutonian

Acquisition

Corp.,

expiring

10/26/2027

*(a)

15,166

848

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

*(a)

146,000

7,300

Pono

Capital

Two,

Inc.,

expiring

9/23/2027

*(a)

92,094

5,526

Post

Holdings

Partnering

Corp.,

expiring

4/12/2026

*(a)

64,630

9,695

Power

&

Digital

Infrastructure

Acquisition

II

Corp.,

expiring

12/14/2028

*(a)

159,558

19,163

PowerUp

Acquisition

Corp.,

expiring

2/18/2027

*(a)

226,462

9,466

Prime

Number

Acquisition

I

Corp.,

expiring

7/1/2027

*(a)

17,850

759

Priveterra

Acquisition

Corp.,

expiring

12/31/2027

*(a)

31,100

1,710

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Progress

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

41,500

2,282

PROOF

Acquisition

Corp.

I,

expiring

12/3/2028

(3)*(a)(e)

75,432

5,823

Qomolangma

Acquisition

Corp.,

expiring

11/23/2027

*(a)

23,684

711

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

(2)*(a)

74,885

5,512

Relativity

Acquisition

Corp.,

expiring

2/11/2027

(3)*(a)(e)

89,748

4,227

RF

Acquisition

Corp.,

expiring

5/1/2028

*(a)

114,573

3,437

Rosecliff

Acquisition

Corp.

I,

expiring

12/31/2027

*(a)

27,555

2,483

Roth

Ch

Acquisition

IV

Co.,

expiring

7/1/2026

*(a)

49,182

13,476

Roth

CH

Acquisition

V

Co.,

expiring

12/10/2026

(2)*(a)

14,143

764

Schultze

Special

Purpose

Acquisition

Corp.

II,

expiring

3/25/2028

*(a)

31,865

2,549

Seaport

Global

Acquisition

II

Corp.,

expiring

11/17/2026

(2)*(a)

40,848

2,455

Senior

Connect

Acquisition

Corp.

I,

expiring

12/31/2027

*(a)

78,500

3,069

ShoulderUp

Technology

Acquisition

Corp.,

expiring

7/26/2023

*(a)

108,870

2,983

Signal

Hill

Acquisition

Corp.,

expiring

2/11/2027

(2)*(a)

44,930

2,687

Sizzle

Acquisition

Corp.,

expiring

3/12/2026

*(a)

35,872

12,196

Social

Leverage

Acquisition

Corp.

I,

expiring

2/17/2028

(2)*(a)

20,666

2,211

Southport

Acquisition

Corp.,

expiring

5/24/2028

*(a)

182,986

8,436

SportsMap

Tech

Acquisition

Corp.,

expiring

9/1/2027

(3)*(a)(e)

64,363

2,896

Springwater

Special

Situations

Corp.,

expiring

4/12/2026

(2)*(a)

20,106

802

Stratim

Cloud

Acquisition

Corp.,

expiring

3/5/2026

*(a)

148,000

29,585

Sustainable

Development

Acquisition

I

Corp.,

expiring

12/31/2028

(2)*(a)

41,836

4,108

Tastemaker

Acquisition

Corp.,

expiring

12/31/2025

(2)*(a)

72,083

10,812

TG

Venture

Acquisition

Corp.,

expiring

8/13/2023

(2)*(a)

215,235

9,686

Thunder

Bridge

Capital

Partners

III,

Inc.,

expiring

2/15/2028

*(a)

16,818

2,020

43

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

4/30/2028

*(a)

64,400

11,592

TLG

Acquisition

One

Corp.,

expiring

1/25/2028

(2)*(a)

27,727

1,941

Trajectory

Alpha

Acquisition

Corp.,

expiring

12/31/2027

(2)*(a)

54,960

5,392

Twelve

Seas

Investment

Co.

II,

expiring

3/2/2028

*(a)

32,933

1,637

Viscogliosi

Brothers

Acquisition

Corp.,

expiring

3/18/2027

*(a)

26,480

1,854

Vision

Sensing

Acquisition

Corp.,

expiring

11/1/2026

(2)*(a)

38,412

2,093

VMG

Consumer

Acquisition

Corp.,

expiring

7/3/2023

*(a)

90,393

4,059

Western

Acquisition

Ventures

Corp.,

expiring

1/12/2027

(2)*(a)

67,539

6,011

Williams

Rowland

Acquisition

Corp.,

expiring

12/11/2026

(3)*(a)(e)

115,833

5,212

Yotta

Acquisition

Corp.,

expiring

3/15/2027

(2)*(a)

68,693

4,980

Zimmer

Energy

Transition

Acquisition

Corp.,

expiring

5/14/2023

*(a)

160,666

26,960

1,729,069

Commercial

Services

&

Supplies

-

0.0%

(c)

LanzaTech

Global,

Inc.,

expiring

1/1/2028

*

65,717

19,183

Near

Intelligence,

Inc.,

expiring

7/8/2027

*

27,848

3,726

22,909

Construction

&

Engineering

-

0.0%

(c)

Southland

Holdings,

Inc.,

expiring

9/1/2026

*

64,496

50,949

Consumer

Finance

-

0.0%

(c)

Moneylion,

Inc.,

expiring

9/22/2026

*

72,272

4,300

Electrical

Equipment

-

0.0%

(c)

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

76,940

55,397

Fusion

Fuel

Green

plc,

expiring

12/10/2025

(Ireland)

*

3,505

1,150

56,547

Electronic

Equipment,

Instruments

&

Components

-

0.0%

(c)

Innoviz

Technologies

Ltd.,

expiring

4/5/2026

(Israel)

*

34,211

49,264

Ouster,

Inc.,

expiring

9/29/2025

*

82,142

22,178

71,442

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Financial

Services

-

0.0%

(c)

SHF

Holdings,

Inc.,

expiring

9/28/2027

*

27,910

768

Food

Products

-

0.0%

(c)

Moolec

Science

SA,

expiring

9/27/2027

(Luxembourg)

*

8,087

907

Ground

Transportation

-

0.0%

(c)

Getaround,

Inc.,

expiring

3/9/2026

*

10,902

512

Hotels,

Restaurants

&

Leisure

-

0.0%

(c)

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

105,881

6,353

Selina

Hospitality

plc,

expiring

10/25/2027

(United

Kingdom)

(2)*

17,236

1,723

8,076

Household

Durables

-

0.0%

(c)

Landsea

Homes

Corp.,

expiring

1/7/2026

*

178,270

25,207

Insurance

-

0.1%

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

*

186,066

102,336

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

*

109,500

1,621

103,957

Interactive

Media

&

Services

-

0.0%

(c)

Leafly

Holdings,

Inc.,

expiring

11/7/2026

*

32,077

1,123

IT

Services

-

0.0%

(c)

Hub

Cyber

Security

Ltd.,

expiring

2/27/2028

(Israel)

*

61,566

7,696

Machinery

-

0.0%

(c)

Nuburu,

Inc.,

expiring

9/7/2027

*

304,458

15,588

Metals

&

Mining

-

0.0%

(c)

NioCorp

Developments

Ltd.,

expiring

3/17/2028

(Canada)

*

135,821

90,117

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(c)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

255,656

2,557

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(c)

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

75,805

7,012

Granite

Ridge

Resources,

Inc.,

expiring

9/25/2028

*

73,991

47,354

Sitio

Royalties

Corp.,

expiring

8/23/2023

*

320,047

12,482

Verde

Clean

Fuels,

Inc.,

expiring

12/31/2027

*

100,101

19,239

86,087

44

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Pharmaceuticals

-

0.0%

(c)

Apollomics,

Inc.,

expiring

12/8/2027

*

2,080

220

Real

Estate

Management

&

Development

-

0.0%

(c)

Doma

Holdings,

Inc.,

expiring

7/28/2026

*

29,587

565

Offerpad

Solutions,

Inc.,

expiring

9/1/2026

*

2,405

96

661

Software

-

0.0%

(c)

CXApp,

Inc.,

expiring

12/15/2025

*

73,011

3,227

FOXO

Technologies,

Inc.,

expiring

8/1/2027

*

7,416

238

NextNav,

Inc.,

expiring

10/28/2026

*

42,551

24,173

SMX

Security

Matters

plc,

expiring

3/7/2028

(Ireland)

*

35,170

1,759

29,397

Specialty

Retail

-

0.0%

(c)

BARK,

Inc.,

expiring

8/29/2025

*

138,933

33,344

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

(2)*

22,818

456

33,800

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(c)

CompoSecure,

Inc.,

expiring

10/31/2025

*

47,208

56,177

TOTAL

WARRANTS

(Cost

$588,277)

2,471,317

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%

Health

Care

Equipment

&

Supplies

-

0.0%

DEMC

Ltd.,

Class

A

(acquired

1/24/2014

-

10/29/2015,

Cost

$129,686)

(3)*(e)(h)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

2/8/2023,

Cost

$–)

(3)*(e)(h)

368,190,309

–

DEMC

Ltd.,

Class

A-3

(acquired

2/8/2023,

Cost

$–)

(3)*(e)(h)

292,030,544,028

–

DEMC

Ltd.,

Class

A-4

(acquired

2/8/2023,

Cost

$–)

(3)*(e)(h)

40,321,771,424,070

–

DEMC

Ltd.,

Class

B

(acquired

1/27/2014,

Cost

$11)

(3)*(e)(h)

10,488

–

DEMC

Ltd.,

Class

B-2

(acquired

4/12/2017,

Cost

$–)

(3)*(e)(h)

513,897,326

–

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(e)(h)

489,352,292,604

–

DEMC

Ltd.,

Class

B-4

(acquired

1/31/2022,

Cost

$–)

(3)*(e)(h)

40,321,771,424,070

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$129,697)

–

INVESTMENTS

NO.

OF

UNITS

VALUE

($)

UNITS

-

0.2%

Capital

Markets

-

0.2%

Cetus

Capital

Acquisition

Corp.

(Taiwan)

*(a)

27,102

280,777

Four

Leaf

Acquisition

Corp.

*(a)

111,000

1,137,750

SilverBox

Corp.

III

(2)*(a)

107,215

1,074,294

Trailblazer

Merger

Corp.

I

*(a)

149,105

1,504,469

TOTAL

UNITS

(Cost

$3,977,437)

3,997,290

SHARES

SHORT-TERM

INVESTMENTS

-

62.3%

INVESTMENT

COMPANIES

-

30.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(i)(j)

16,052,215

16,052,214

Limited

Purpose

Cash

Investment

Fund,

4.73%

(i)(k)

517,653,153

517,446,092

TOTAL

INVESTMENT

COMPANIES

(Cost

$533,342,985)

533,498,306

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

31.5%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(2)(l)

$

30,000,000

29,988,456

4.11%,

4/13/2023

(2)(l)(m)

83,372,000

83,265,040

4.68%,

6/8/2023

(2)(b)(l)(m)

13,205,000

13,094,637

4.74%,

6/15/2023

(2)(l)(m)

7,161,000

7,093,605

4.66%,

6/22/2023

(2)(l)(m)

11,213,000

11,098,409

4.71%,

6/29/2023

(2)(l)

15,288,000

15,116,940

4.75%,

7/6/2023

(2)(l)(m)

37,439,000

36,985,162

4.82%,

7/13/2023

(2)(l)(m)

53,199,000

52,500,833

4.85%,

8/10/2023

(2)(l)(m)

37,259,000

36,632,832

4.96%,

8/17/2023

(2)(b)(l)(m)

100,000,000

98,227,278

5.04%,

8/24/2023

(2)(l)(m)

131,390,000

128,940,936

5.07%,

8/31/2023

(2)(l)(m)

5,995,000

5,878,118

5.10%,

9/7/2023

(2)(l)(m)

28,786,000

28,198,478

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$546,671,566)

547,020,724

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,080,014,551)

1,080,519,030

NO.

OF

CONTRACTS

PURCHASED

OPTIONS

-

0.1%

Put

Option

-

0.1%

Exchange

Traded

Entertainment

-

0.1%

AMC

Entertainment

Holdings,

Inc.

Exercise

Price

USD

10.00

Notional

Amount

USD

709,416

Expiration

Date

4/21/2023

1,416

809,952

AMC

Entertainment

Holdings,

Inc.

Exercise

Price

USD

10.00

45

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

NO.

OF

CONTRACTS

VALUE

($)

Put

Option

-

0.1%

(continued)

Notional

Amount

USD

709,416

Expiration

Date

6/16/2023

1,416

985,536

1,795,488

TOTAL

PURCHASED

OPTIONS

(Cost

$1,959,645)

1,795,488

TOTAL

LONG

POSITIONS

(Cost

$1,894,323,116)

1,853,293,719

SHARES

SHORT

POSITIONS

-

(8.2)%

COMMON

STOCKS

-

(7.7)%

Aerospace

&

Defense

-

(0.0)%

(c)

Virgin

Galactic

Holdings,

Inc.

(161,715)

(654,946)

Automobile

Components

-

(0.1)%

LCI

Industries

(17,287)

(1,899,322)

Luminar

Technologies,

Inc.

(65,720)

(426,523)

(2,325,845)

Automobiles

-

(0.2)%

Ford

Motor

Co.

(309,152)

(3,895,315)

Biotechnology

-

(0.7)%

Cytokinetics,

Inc.

(144,636)

(5,089,741)

Exact

Sciences

Corp.

(107,641)

(7,299,136)

(12,388,877)

Broadline

Retail

-

(0.2)%

Etsy,

Inc.

(31,789)

(3,539,069)

Capital

Markets

-

(0.0)%

(c)

Penson

Worldwide,

Inc.

(3)

(e)

(212,307)

–

WisdomTree,

Inc.

(76,211)

(446,596)

(446,596)

Chemicals

-

(1.1)%

Novozymes

A/S,

Class

B

(Denmark)

(2)

(357,970)

(18,329,205)

Communications

Equipment

-

(0.7)%

Infinera

Corp.

(1,134,617)

(8,804,628)

Lumentum

Holdings,

Inc.

(42,274)

(2,283,219)

(11,087,847)

Consumer

Finance

-

(0.3)%

EZCORP,

Inc.,

Class

A

(654,331)

(5,627,247)

Diversified

Consumer

Services

-

(0.0)%

(c)

2U,

Inc.

(9,311)

(63,781)

Chegg,

Inc.

(9,101)

(148,346)

(212,127)

Diversified

Telecommunication

Services

-

(0.0)%

(c)

Bandwidth,

Inc.,

Class

A

(1,186)

(18,027)

Electric

Utilities

-

(0.1)%

Southern

Co.

(The)

(14,624)

(1,017,538)

Electrical

Equipment

-

(0.5)%

Array

Technologies,

Inc.

(395,170)

(8,646,320)

INVESTMENTS

SHARES

VALUE

($)

Energy

Equipment

&

Services

-

(0.4)%

Helix

Energy

Solutions

Group,

Inc.

(314,608)

(2,435,066)

Nabors

Industries

Ltd.

(39,991)

(4,875,303)

(7,310,369)

Entertainment

-

(0.1)%

Live

Nation

Entertainment,

Inc.

(8,578)

(600,460)

Sea

Ltd.,

ADR

(Singapore)

(2,491)

(215,596)

(816,056)

Financial

Services

-

(0.4)%

Repay

Holdings

Corp.

(9,488)

(62,336)

Shift4

Payments,

Inc.,

Class

A

(76,646)

(5,809,767)

(5,872,103)

Ground

Transportation

-

(0.0)%

(c)

Lyft,

Inc.,

Class

A

(24,642)

(228,431)

Health

Care

Equipment

&

Supplies

-

(0.3)%

Cutera,

Inc.

(110,231)

(2,603,656)

Lantheus

Holdings,

Inc.

(17,711)

(1,462,220)

Varex

Imaging

Corp.

(81,728)

(1,486,633)

(5,552,509)

Health

Care

Providers

&

Services

-

(0.0)%

(c)

Guardant

Health,

Inc.

(15,378)

(360,460)

Health

Care

Technology

-

(0.0)%

(c)

Teladoc

Health,

Inc.

(361)

(9,350)

Hotels,

Restaurants

&

Leisure

-

(0.8)%

Airbnb,

Inc.,

Class

A

(11,638)

(1,447,767)

Carnival

Corp.

(725,529)

(7,364,119)

DraftKings,

Inc.,

Class

A

(44,998)

(871,161)

MakeMyTrip

Ltd.

(India)

(55,008)

(1,346,046)

Norwegian

Cruise

Line

Holdings

Ltd.

(159,028)

(2,138,927)

(13,168,020)

Household

Durables

-

(0.0)%

(c)

GoPro,

Inc.,

Class

A

(49,338)

(248,170)

Independent

Power

and

Renewable

Electricity

Producers

-

(0.2)%

Sunnova

Energy

International,

Inc.

(214,920)

(3,357,050)

Interactive

Media

&

Services

-

(0.1)%

Eventbrite,

Inc.,

Class

A

(65,054)

(558,164)

Snap,

Inc.,

Class

A

(54,377)

(609,566)

(1,167,730)

IT

Services

-

(0.0)%

(c)

DigitalOcean

Holdings,

Inc.

(348)

(13,631)

Shopify,

Inc.,

Class

A

(Canada)

(10,235)

(490,666)

(504,297)

Life

Sciences

Tools

&

Services

-

(0.0)%

(c)

CryoPort,

Inc.

(4,277)

(102,648)

46

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

(0.2)%

3D

Systems

Corp.

(78,597)

(842,560)

Greenbrier

Cos.,

Inc.

(The)

(96,776)

(3,113,284)

(3,955,844)

Media

-

(0.3)%

Cable

One,

Inc.

(381)

(267,462)

Charter

Communications,

Inc.,

Class

A

(6,251)

(2,235,420)

Paramount

Global,

Class

A

(104,295)

(2,694,983)

(5,197,865)

Metals

&

Mining

-

(0.0)%

(c)

B2Gold

Corp.

(Canada)

(154,003)

(608,491)

Oil,

Gas

&

Consumable

Fuels

-

(0.1)%

Northern

Oil

and

Gas,

Inc.

(21,939)

(665,849)

Passenger

Airlines

-

(0.0)%

(c)

JetBlue

Airways

Corp.

(64,326)

(468,293)

Pharmaceuticals

-

(0.1)%

Innoviva,

Inc.

(186,079)

(2,093,389)

Professional

Services

-

(0.0)%

(c)

Upwork,

Inc.

(3,682)

(41,680)

Real

Estate

Management

&

Development

-

(0.1)%

Redfin

Corp.

(4,191)

(37,971)

Zillow

Group,

Inc.,

Class

C

(41,177)

(1,831,141)

(1,869,112)

Semiconductors

&

Semiconductor

Equipment

-

(0.2)%

ON

Semiconductor

Corp.

(31,729)

(2,611,931)

Semtech

Corp.

(30,132)

(727,386)

SMART

Global

Holdings,

Inc.

(34,294)

(591,229)

(3,930,546)

Software

-

(0.3)%

8x8,

Inc.

(760,799)

(3,172,532)

Confluent,

Inc.,

Class

A

(12,849)

(309,275)

Envestnet,

Inc.

(10,719)

(628,884)

Unity

Software,

Inc.

(1,485)

(48,173)

Veritone,

Inc.

(5,408)

(31,529)

(4,190,393)

Specialty

Retail

-

(0.2)%

Farfetch

Ltd.,

Class

A

(United

Kingdom)

(164,163)

(806,040)

Wayfair,

Inc.,

Class

A

(50,999)

(1,751,306)

(2,557,346)

Trading

Companies

&

Distributors

-

(0.0)%

(c)

Xometry,

Inc.,

Class

A

(34,636)

(518,501)

TOTAL

COMMON

STOCKS

(Proceeds

$(152,961,975))

(132,983,461)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

CONVERTIBLE

BONDS

-

(0.5)%

Hotels,

Restaurants

&

Leisure

-

(0.5)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

(Proceeds

$(7,042,010))

$

(6,200,000)

(9,283,888)

TOTAL

SHORT

POSITIONS

(Proceeds

$(160,003,985))

(142,267,349)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.7%

(Cost

$1,734,319,131)

1,711,026,370

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.3%

(n)

22,854,166

NET

ASSETS

-

100.0%

1,733,880,536

47

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

*

Non-income

producing

security.

(a)

Special

Purpose

Acquisition

Company.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$443,689,463;

additional

securities

sold

but

not

yet

settled

totaling

$3,839,887

were

also

segregated.

In

addition,

$16,146,968

of

cash

collateral

was

pledged.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

March

31,

2023.

The

maturity

date

reflects

the

next

call

date.

(e)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

March

31,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$745,531,

which

represents

0.04%

of

net

assets

of

the

Fund.

(f)

Defaulted

security.

(g)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$131,469,036,

which

represents

7.58%

of

net

assets

of

the

Fund.

(h)

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,

2023

amounted

to

$0,

which

represents

0.00%

of

net

assets

of

the

Fund.

(i)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(k)

For

the

period

ended

March

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(l)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(m)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(n)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

59,571,864

3.4

%

Consumer

Discretionary

102,683,557

5.9

Consumer

Staples

1,798,135

0.1

Energy

9,167,846

0.5

Financials

269,864,999

15.5

Health

Care

66,345,004

3.8

Industrials

57,899,001

3.4

Information

Technology

46,288,201

2.7

Materials

(475,795)

0.0

(c)

Options

Purchased

1,795,488

0.1

Real

Estate

7,476,336

0.5

Utilities

8,092,704

0.5

Investment

Companies

533,498,306

30.8

U.S.

Treasury

Obligations

547,020,724

31.5

Total

Investments

In

Securities

At

Value

1,711,026,370

98.7

Other

Assets

in

Excess

of

Liabilities

(n)

22,854,166

1.3

Net

Assets

$

1,733,880,536

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2023

Shares

Held

At

3/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

29.8%

INVESTMENT

COMPANIES

-

29.8%

Limited

Purpose

Cash

Investment

Fund,

4.73%

(a)

(Cost

$517,290,771)

$519,255,218

$507,869,239

$(509,675,255)

$2,943

$(6,053)

$517,446,092

517,653,153

$5,676,481

$–

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

48

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

Written

Call

Option

Contracts

(Premium

Style)

as

of

March

31,

2023:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AMC

Entertainment

Holdings,

Inc.

JPMS

1,416

USD

(709,416)

USD

10.00

4/21/2023

$

(14,160)

AMC

Entertainment

Holdings,

Inc.

JPMS

1,416

USD

(709,416)

USD

10.00

6/16/2023

(66,552)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($167,571))

$

(80,712)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2023:

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

40.V1

5.00

%

Quarterly

6/20/2028

4.63

%

USD

116,125,000

$

(169,481)

$

(1,767,843)

$

(1,937,324)

$

(169,481)

$

(1,767,843)

$

(1,937,324)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(128)

6/2023

USD

$

(26,481,600)

$

(112,786)

U.S.

Treasury

10

Year

Note

(449)

6/2023

USD

(51,663,063)

(1,385,128)

U.S.

Treasury

2

Year

Note

(396)

6/2023

USD

(81,814,219)

(794,581)

U.S.

Treasury

5

Year

Note

(1,263)

6/2023

USD

(138,485,976)

(2,444,864)

$

(4,737,359)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

27,226,264

CAD

37,105,311

CITI

6/21/2023

$

(264,378)

USD

18,767,073

CAD

25,541,869

JPMC

6/21/2023

(156,428)

Total

unrealized

depreciation

(420,806)

Net

unrealized

depreciation

$

(420,806)

49

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

AOISR

plus

or

minus

a

specified

spread

(0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/30/2028

$7,281,509

$72,184

$(512)

$71,672

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%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

52-55

months

maturity

ranging

from

06/23/2027

-

08/31/2027

$5,078,483

$(361,338)

$(17,483)

$(378,821)

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

(-0.07%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

09/06/2024

-

10/15/2026

$9,527,649

$(4,417,552)

$264,551

$(4,153,001)

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

(-0.09%

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

$166,583,749

$(28,652,018)

$(3,996,610)

$(32,648,628)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

50

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Hong

Kong

Seaspan

Corp.,

3.75%,

12/15/2025

5,725,000

7,191,306

193,141

(0.6)

United

States

American

Airlines

Group,

Inc.,

6.50%,

7/1/2025

15,500,000

18,160,733

(3,701,564)

11.3

Artivion,

Inc.,

4.25%,

7/1/2025

1,950,000

1,774,620

(261,242)

0.8

Bandwidth,

Inc.,

0.50%,

4/1/2028

9,255,000

5,946,338

(2,233,482)

6.8

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

5,562,450

(1,667,325)

5.1

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

5,342,215

(3,481,635)

10.7

Dropbox,

Inc.,

0.00%,

3/1/2028

5,500,000

4,776,233

(1,364,517)

4.2

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

10,409,055

(866,901)

2.7

Exact

Sciences

Corp.,

0.38%,

3/15/2027

2,650,000

2,466,230

(392,525)

1.2

Granite

Point

Mortgage

Trust,

Inc.,

6.38%,

10/1/2023

1,900,000

1,849,592

376,324

(1.2)

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

6,801,577

(901,418)

2.8

Inotiv,

Inc.,

3.25%,

10/15/2027

4,750,000

2,094,975

(3,425,323)

10.5

Ironwood

Pharmaceuticals,

Inc.,

1.50%,

6/15/2026

3,400,000

3,422,034

(681,001)

2.1

Magnite,

Inc.,

0.25%,

3/15/2026

1,118,000

893,332

(79,275)

0.2

Okta,

Inc.,

0.38%,

6/15/2026

7,570,000

6,450,415

(50,466)

0.2

Opendoor

Technologies,

Inc.,

0.25%,

8/15/2026

7,417,000

3,727,194

(1,530,758)

4.7

PetIQ,

Inc.,

4.00%,

6/1/2026

2,975,000

2,617,395

(1,647,333)

5.0

Redfin

Corp.,

0.00%,

10/15/2025

8,050,000

5,750,759

(2,415,966)

7.4

Splunk,

Inc.,

1.13%,

6/15/2027

3,273,000

2,807,602

(22,946)

0.1

Spotify

USA,

Inc.,

0.00%,

3/15/2026

9,000,000

7,533,000

(747,000)

2.3

Stride,

Inc.,

1.13%,

9/1/2027

15,750,000

15,619,781

664,884

(2.0)

Wayfair,

Inc.,

0.63%,

10/1/2025

13,000,000

9,501,624

(4,314,546)

13.2

WisdomTree,

Inc.,

4.25%,

6/15/2023

4,400,000

4,681,570

334,995

(1.0)

SHARES

Short

Positions

Common

Stocks

United

States

American

Airlines

Group,

Inc.

(496,000)

(7,316,000)

68,322

(0.2)

Artivion,

Inc.

(28,328)

(371,097)

(984)

0.0

Bandwidth,

Inc.

(3,469)

(52,729)

21,518

(0.1)

Cable

One,

Inc.

(89)

(62,478)

(2,844)

0.0

Coherus

Biosciences,

Inc.

(114,620)

(784,001)

151,030

(0.5)

Dropbox,

Inc.

(76,177)

(1,646,947)

41,568

(0.1)

Exact

Sciences

Corp.

(67,416)

(4,571,479)

(819,962)

2.5

Green

Plains,

Inc.

(131,002)

(4,059,752)

229,862

(0.7)

Inotiv,

Inc.

(8,912)

(38,589)

16,496

(0.1)

Ironwood

Pharmaceuticals,

Inc.

(138,962)

(1,461,880)

97,088

(0.3)

Magnite,

Inc.

(840)

(7,778)

931

(0.0)

Okta,

Inc.

(8,654)

(746,321)

(70,287)

0.2

Opendoor

Technologies,

Inc.

(40,732)

(71,688)

(2,511)

0.0

PetIQ,

Inc.

(31,107)

(355,864)

(2,495)

0.0

Redfin

Corp.

(4,264)

(38,632)

(2,536)

0.0

Splunk,

Inc.

(3,260)

(312,569)

2,606

(0.0)

Spotify

Technology

SA

(1,845)

(246,529)

(26,531)

0.1

Stride,

Inc.

(183,652)

(7,208,341)

47,365

(0.1)

WisdomTree,

Inc.

(283,449)

(1,661,011)

(183,779)

0.6

WisdomTree,

Inc.

(32,429)

(190,034)

(996)

0.0

51

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(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

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/26/2026

-

07/30/2027

$156,328,627

$6,593,792

$(5,239,127)

$1,354,665

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acropolis

Infrastructure

Acquisition

Corp.

420,999

4,264,720

193,660

14.3

Alpha

Healthcare

Acquisition

Corp.

III

358,249

3,636,227

157,630

11.6

Athena

Technology

Acquisition

Corp.

II

638,232

6,541,878

268,057

19.8

Atlantic

Coastal

Acquisition

Corp.

II

413,262

4,293,792

161,172

11.9

Banyan

Acquisition

Corp.

334,458

3,478,363

137,128

10.1

Bilander

Acquisition

Corp.

241,664

2,438,390

113,582

8.4

Black

Mountain

Acquisition

Corp.

245,032

2,545,882

115,165

8.5

Build

Acquisition

Corp.

305,000

3,111,000

164,700

12.2

Churchill

Capital

Corp.

VI

1,073,397

10,852,044

295,184

21.8

Churchill

Capital

Corp.

VII

1,136,651

11,525,641

375,095

27.7

Concord

Acquisition

Corp.

II

286,392

2,904,015

143,196

10.6

Concord

Acquisition

Corp.

III

430,468

4,459,648

189,406

14.0

Conyers

Park

III

Acquisition

Corp.

196,419

1,985,796

41,248

3.0

Edoc

Acquisition

Corp.

22,000

237,160

17,160

1.3

EG

Acquisition

Corp.

366,998

3,736,040

165,149

12.2

FTAC

Zeus

Acquisition

Corp.

255,030

2,624,259

130,065

9.6

Gores

Holdings

IX,

Inc.

1,656,294

16,695,444

753,614

55.6

Graf

Acquisition

Corp.

IV

365,000

3,697,450

135,050

10.0

Healthwell

Acquisition

Corp.

I

279,200

2,832,484

152,164

11.2

Heartland

Media

Acquisition

Corp.

400,846

4,172,807

180,381

13.3

Hennessy

Capital

Investment

Corp.

VI

697,470

7,239,739

544,027

40.2

Jackson

Acquisition

Co.

449,953

4,630,016

170,982

12.6

Khosla

Ventures

Acquisition

Co.

III

250,500

2,542,575

68,585

5.1

Kimbell

Tiger

Acquisition

Corp.

371,544

3,912,358

167,195

12.3

KnightSwan

Acquisition

Corp.

334,038

3,477,336

145,307

10.7

Logistics

Innovation

Technologies

Corp.

245,571

2,492,546

122,785

9.1

M3-Brigade

Acquisition

III

Corp.

449,013

4,633,814

184,095

13.6

Nabors

Energy

Transition

Corp.

254,188

2,668,974

139,803

10.3

Newbury

Street

Acquisition

Corp.

76,000

779,000

45,600

3.4

Panacea

Acquisition

Corp.

II

71,600

730,320

3,580

0.3

Papaya

Growth

Opportunity

Corp.

I

413,288

4,302,328

181,847

13.4

Power

&

Digital

Infrastructure

Acquisition

II

Corp.

604,151

6,192,548

241,660

17.8

PowerUp

Acquisition

Corp.

452,924

4,746,644

212,874

15.7

Southport

Acquisition

Corp.

365,972

3,806,109

164,687

12.2

Thunder

Bridge

Capital

Partners

IV,

Inc.

322,000

3,258,640

128,800

9.5

Zimmer

Energy

Transition

Acquisition

Corp.

481,998

4,882,640

183,159

13.5

52

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

(Continued)

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

(-0.29%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

10/23/2025

-

03/16/2028

$658,013,817

$(31,517,275)

$(12,637)

$(31,529,912)

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

Belgium

Euronav

NV

80,709

1,355,104

437,620

(1.4)

Canada

Yamana

Gold,

Inc.

4,300,026

25,155,152

3,509,089

(11.1)

Israel

Tower

Semiconductor

Ltd.

388,644

16,505,711

(1,385,777)

4.4

Taiwan

Silicon

Motion

Technology

Corp.,

ADR

281,100

18,417,672

(5,931,349)

18.8

United

States

Activision

Blizzard,

Inc.

415,851

35,592,687

2,556,696

(8.1)

Aerojet

Rocketdyne

Holdings,

Inc.

464,596

26,096,357

184,404

(0.6)

Albertsons

Cos.,

Inc.

1,266,133

26,310,244

(1,135,049)

3.6

Argo

Group

International

Holdings

Ltd.

280,882

8,227,034

52,543

(0.2)

Black

Knight,

Inc.

368,337

21,201,478

(3,585,924)

11.4

Broadmark

Realty

Capital,

Inc.

165,545

778,062

(40,405)

0.1

Cardiovascular

Systems,

Inc.

397,737

7,899,057

53,973

(0.2)

Cvent

Holding

Corp.

564,805

4,721,770

11,177

(0.0)

Diversey

Holdings

Ltd.

963,948

7,798,339

(3,761)

0.0

Evoqua

Water

Technologies

Corp.

596,590

29,662,455

982,258

(3.1)

First

Horizon

Corp.

1,453,147

25,836,954

(7,714,384)

24.5

Focus

Financial

Partners,

Inc.

313,320

16,251,908

142,528

(0.5)

ForgeRock,

Inc.

526,873

10,853,584

(1,010,478)

3.2

iRobot

Corp.

355,622

15,519,344

(5,153,416)

16.3

Lakeland

Bancorp,

Inc.

183,863

2,875,617

(357,447)

1.1

Momentive

Global,

Inc.

1,506,465

14,040,254

88,716

(0.3)

MoneyGram

International,

Inc.

1,214,200

12,651,964

(325,040)

1.0

NuVasive,

Inc.

510,338

21,082,063

(379,301)

1.2

Oak

Street

Health,

Inc.

826,505

31,969,213

2,739,994

(8.7)

PNM

Resources,

Inc.

510,065

24,829,964

120,138

(0.4)

Provention

Bio,

Inc.

453,356

10,925,880

83,588

(0.3)

Qualtrics

International,

Inc.

535,777

9,552,904

94,674

(0.3)

Radius

Global

Infrastructure,

Inc.

1,110,693

16,293,866

145,810

(0.5)

Ranger

Oil

Corp.

72,553

2,963,065

(142,731)

0.5

Seagen,

Inc.

72,089

14,595,860

231,393

(0.7)

Spirit

Airlines,

Inc.

1,028,469

17,658,813

(4,664,754)

14.8

Sumo

Logic,

Inc.

997,095

11,945,198

149,984

(0.5)

TEGNA,

Inc.

773,602

13,081,610

(4,361,070)

13.8

Univar

Solutions,

Inc.

426,894

14,954,097

118,146

(0.4)

53

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

VMware,

Inc.

259,994

32,460,251

1,441,350

(4.6)

Short

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

(161,681)

(8,240,881)

(968,324)

3.1

Baytex

Energy

Corp.

(543,422)

(2,037,832)

129,518

(0.4)

Pan

American

Silver

Corp.

(687,144)

(12,506,021)

(2,909,899)

9.2

Norway

Frontline

plc

(117,027)

(1,937,967)

(993,145)

3.1

United

States

Broadcom,

Inc.

(33,296)

(21,360,716)

(4,040,514)

12.8

Globus

Medical,

Inc.

(383,012)

(21,693,800)

321,046

(1.0)

Intercontinental

Exchange,

Inc.

(25,121)

(2,619,869)

(209,485)

0.7

MaxLinear,

Inc.

(109,088)

(3,840,988)

399,377

(1.3)

Provident

Financial

Services,

Inc.

(153,030)

(2,935,115)

351,384

(1.1)

Ready

Capital

Corp.

(78,150)

(794,786)

61,979

(0.2)

Xylem,

Inc.

(286,364)

(29,982,311)

(612,407)

1.9

54

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

(a)

For

the

period

ended

March

31,

2023,

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,

2023.

(c)

Represents

less

than

0.05%

of

net

assets.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

70.9%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

2,596,747

30,641,610

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

6,012,786

53,634,049

AQR

Macro

Opportunities

Fund,

Class

R6

(a)

2,890,718

30,641,609

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

3,958,864

30,641,609

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

7,141,684

53,634,049

TOTAL

ALTERNATIVE

FUNDS

(Cost

$198,607,946)

199,192,926

ASSET

ALLOCATION

FUNDS

-

27.1%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$76,745,021)

8,260,596

75,997,482

TOTAL

INVESTMENT

COMPANIES

(Cost

$275,352,967)

275,190,408

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

2.0%

INVESTMENT

COMPANIES

-

2.0%

Limited

Purpose

Cash

Investment

Fund,

4.73%

(b)

(Cost

$5,711,112)

5,714,190

5,711,904

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.0%

(Cost

$281,064,079)

280,902,312

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

0.0%

(c)

(4,699)

NET

ASSETS

-

100.0%

280,897,613

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

53,634,049

19.1

%

Global

Flex

Allocation

75,997,482

27.1

Global

Macro

30,641,609

10.9

Multi-Strategy

53,634,049

19.1

Relative

Value

Arbitrage

30,641,610

10.9

Systematic

Trend

30,641,609

10.9

Investment

Companies

5,711,904

2.0

Total

Investments

In

Securities

At

Value

280,902,312

100.0

Liabilities

in

Excess

of

Other

Assets

(4,699)

0.0(

c

)

Net

Assets

$

280,897,613

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2023

Shares

Held

At

3/31/2023

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

70.9%

AQR

Diversified

Arbitrage

Fund

$

24,491,514

$

11,390,701

$

(5,533,925)

$

(27,288)

$

320,608

$

30,641,610

2,596,747

$

–

$

–

AQR

Equity

Market

Neutral

Fund

36,767,279

18,418,042

(1,917,292)

(42,142)

408,162

53,634,049

6,012,786

–

–

AQR

Macro

Opportunities

Fund

24,511,520

11,762,993

(4,849,929)

(252,058)

(530,917)

30,641,609

2,890,718

–

–

AQR

Managed

Futures

Strategy

HV

Fund

24,511,520

12,240,326

(3,938,960)

(607,171)

(1,564,106)

30,641,609

3,958,864

–

–

AQR

Style

Premia

Alternative

Fund

36,767,279

18,947,933

(1,741,919)

(346,130)

6,886

53,634,049

7,141,684

–

–

(1,274,789)

(1,359,367)

199,192,926

–

–

ASSET

ALLOCATION

FUNDS

-

27.1%

AQR

Multi-Asset

Fund

37,710,030

38,188,621

(1,633,068)

(192,182)

1,924,081

75,997,482

8,260,596

–

–

TOTAL

$(1,466,971)

$564,714

$275,190,408

$–

$–

All

securities

are

Level

1

with

respect

to

ASC

820.

55

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

March

31,

2023

(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.

56

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

104.1%

COMMON

STOCKS

-

5.0%

Italy

-

3.6%

A2A

SpA

52,601

83,941

Assicurazioni

Generali

SpA

(a)

25,843

514,912

Azimut

Holding

SpA

(a)

3,301

70,436

Banco

BPM

SpA

(a)

174,575

681,951

Buzzi

Unicem

SpA

(a)

23,235

563,947

Enel

SpA

(a)

45,914

280,027

Leonardo

SpA

(a)

88,809

1,041,514

Pirelli

&

C

SpA

(a)(b)

139,475

698,723

Poste

Italiane

SpA

(a)(b)

39,608

403,906

Prysmian

SpA

(a)

25,100

1,053,968

Snam

SpA

(a)

46,048

244,148

UniCredit

SpA

(a)

55,397

1,044,115

Unipol

Gruppo

SpA

(a)

182,684

937,832

7,619,420

—

United

States

-

1.4%

Stellantis

NV

(a)

123,287

2,242,132

Tenaris

SA

(a)

46,113

653,384

2,895,516

—

TOTAL

COMMON

STOCKS

(Cost

$8,299,391)

10,514,936

SHORT-TERM

INVESTMENTS

-

99.1%

INVESTMENT

COMPANIES

-

53.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(c)(d)

6,056,235

6,056,235

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(c)

106,870,809

106,828,060

TOTAL

INVESTMENT

COMPANIES

(Cost

$112,854,921)

112,884,295

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

45.6%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(e)

$

3,645,000

3,643,597

4.11%,

4/13/2023

(e)

4,316,000

4,310,463

4.33%,

4/20/2023

(e)

6,952,000

6,936,743

4.49%,

4/27/2023

(e)(f)

9,936,000

9,905,530

4.54%,

5/18/2023

(e)(f)

22,116,000

21,986,620

4.68%,

6/8/2023

(e)(f)

3,092,000

3,066,158

4.71%,

6/29/2023

(e)(f)

7,569,000

7,484,309

4.82%,

7/13/2023

(e)(f)

1,503,000

1,483,275

4.80%,

7/20/2023

(e)(f)

1,982,000

1,954,455

4.79%,

8/3/2023

(e)(f)

326,000

320,797

4.85%,

8/10/2023

(e)(f)

246,000

241,866

4.96%,

8/17/2023

(e)(f)

1,885,000

1,851,584

5.04%,

8/24/2023

(e)(f)

10,655,000

10,456,395

5.07%,

8/31/2023

(e)(f)

5,931,000

5,815,366

5.10%,

9/7/2023

(e)(f)

2,263,000

2,216,812

4.81%,

9/14/2023

(e)(f)

9,136,000

8,940,066

4.73%,

9/21/2023

(e)(f)

4,444,000

4,345,224

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

45.6%

(continued)

4.76%,

9/28/2023

(e)

$

1,215,000

1,186,744

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$96,113,913)

96,146,004

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$208,968,834)

209,030,299

TOTAL

LONG

POSITIONS

(Cost

$217,268,225)

219,545,235

SHARES

SHORT

POSITIONS

-

(4.4)%

COMMON

STOCKS

-

(4.4)%

Italy

-

(4.3)%

Amplifon

SpA

(1,636)

(56,705)

Banca

Generali

SpA

(10,531)

(335,258)

Davide

Campari-Milano

NV

(50,233)

(612,935)

DiaSorin

SpA

(2,738)

(288,536)

ERG

SpA

(2,141)

(64,965)

Ferrari

NV

(6,156)

(1,668,176)

FinecoBank

Banca

Fineco

SpA

(72,726)

(1,114,243)

Hera

SpA

(48,429)

(136,895)

Infrastrutture

Wireless

Italiane

SpA

(b)

(75,028)

(985,742)

Interpump

Group

SpA

(3,631)

(203,620)

Intesa

Sanpaolo

SpA

(187,627)

(481,534)

Italgas

SpA

(26,391)

(160,968)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(27,680)

(278,154)

Moncler

SpA

(10,754)

(742,795)

Nexi

SpA

(b)

(58,175)

(472,796)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(9,591)

(405,693)

Reply

SpA

(980)

(123,062)

Telecom

Italia

SpA

(1,147,131)

(378,306)

Terna

-

Rete

Elettrica

Nazionale

(50,047)

(410,755)

(8,921,138)

—

United

Kingdom

-

(0.1)%

CNH

Industrial

NV

(17,578)

(268,964)

TOTAL

COMMON

STOCKS

(Proceeds

$(8,973,739))

(9,190,102)

TOTAL

SHORT

POSITIONS

(Proceeds

$(8,973,739))

(9,190,102)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.7%

(Cost

$208,294,486)

210,355,133

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.3%

(g)

640,191

NET

ASSETS

-

100.0%

210,995,324

57

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

SECT

OR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(1,364,049)

(0.6)

%

Consumer

Discretionary

529,884

0.2

Consumer

Staples

(612,935)

(0.3)

Energy

653,384

0.3

Financials

971,167

0.5

Health

Care

(750,934)

(0.4)

Industrials

1,622,897

0.8

Information

Technology

(123,062)

(0.1)

Materials

563,947

0.3

Utilities

(165,465)

(0.1)

Investment

Companies

112,884,295

53.5

U.S.

Treasury

Obligations

96,146,004

45.6

Total

Investments

In

Securities

At

Value

210,355,133

99.7

Other

Assets

in

Excess

of

Liabilities

(g)

640,191

0.3

Net

Assets

$

210,995,324

100.0%

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$9,003,660;

additional

securities

sold

but

not

yet

settled

totaling

$917,151

were

also

segregated.

(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,

2023

amounted

to

$(355,909),

which

represents

(0.17)%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

58

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

503

USD

546

CITI

6/21/2023

$

10

CHF

497

USD

539

JPMC

6/21/2023

9

EUR

137,500

USD

147,251

CITI

6/21/2023

2,539

EUR

137,500

USD

147,250

JPMC

6/21/2023

2,540

SEK

250

USD

24

CITI

6/21/2023

–

SEK

250

USD

24

JPMC

6/21/2023

–

SGD

680,500

USD

507,929

CITI

6/21/2023

4,732

SGD

680,500

USD

507,927

JPMC

6/21/2023

4,736

USD

25,592

HKD

200,000

CITI

6/21/2023

20

USD

25,592

HKD

200,000

JPMC

6/21/2023

20

USD

146

NOK

1,502

CITI

6/21/2023

2

USD

145

NOK

1,498

JPMC

6/21/2023

2

Total

unrealized

appreciation

14,610

EUR

553,000

USD

604,620

CITI

6/21/2023

(2,191)

EUR

553,000

USD

604,617

JPMC

6/21/2023

(2,188)

SEK

250

USD

24

CITI

6/21/2023

–

SEK

250

USD

24

JPMC

6/21/2023

–

USD

108

CAD

147

CITI

6/21/2023

(1)

USD

108

CAD

147

JPMC

6/21/2023

(1)

USD

288

DKK

2,000

CITI

6/21/2023

(5)

USD

288

DKK

2,000

JPMC

6/21/2023

(5)

USD

1,194,237

EUR

1,115,005

CITI

6/21/2023

(20,431)

USD

1,194,233

EUR

1,114,995

JPMC

6/21/2023

(20,425)

Total

unrealized

depreciation

(45,247)

Net

unrealized

depreciation

$

(30,637)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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%

to

0.00%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-54

months

maturity

08/09/2027

$1,489,351

$(61,406)

$(201)

$(61,607)

59

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(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

(-11.90%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25-61

months

maturity

ranging

from

04/23/2025

-

04/04/2028

$24,402,161

$200,505

$36,306

$236,811

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

28,430

221,547

3,948

1.7

Switzerland

ABB

Ltd.

(Registered)

23,260

800,180

43,442

18.3

Adecco

Group

AG

(Registered)

8,705

317,080

19,381

8.2

Alcon,

Inc.

4,154

294,882

7,162

3.0

Baloise

Holding

AG

(Registered)

1,494

232,640

12,365

5.2

Barry

Callebaut

AG

(Registered)

268

567,830

21,256

9.0

Chocoladefabriken

Lindt

&

Spruengli

AG

1

11,811

71

0.0

Clariant

AG

(Registered)

38,420

637,363

30,168

12.7

DKSH

Holding

AG

6,641

535,399

5,903

2.5

Galenica

AG

3,760

318,088

21,739

9.2

Georg

Fischer

AG

(Registered)

7,137

555,475

40,954

17.3

Helvetia

Holding

AG

(Registered)

3,800

529,676

53,716

22.7

Julius

Baer

Group

Ltd.

3,018

206,155

24,405

10.3

Kuehne

+

Nagel

International

AG

(Registered)

325

96,796

7,674

3.2

Novartis

AG

(Registered)

20,944

1,923,047

167,450

70.7

Sonova

Holding

AG

(Registered)

3,357

990,277

85,489

36.1

Stadler

Rail

AG

3,084

120,588

7,265

3.1

Swatch

Group

AG

(The)

2,449

843,413

42,393

17.9

Temenos

AG

(Registered)

1,885

131,170

10,029

4.2

UBS

Group

AG

(Registered)

45,360

959,854

111,600

47.1

United

States

Holcim

AG

10,901

703,020

35,211

14.9

Roche

Holding

AG

3,953

1,129,541

(625)

(0.3)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(6,733)

(677,085)

(22,145)

(9.4)

Belimo

Holding

AG

(Registered)

(492)

(237,797)

(1,737)

(0.7)

BKW

AG

(2,002)

(314,771)

(20,691)

(8.7)

Cie

Financiere

Richemont

SA

(Registered)

(1,730)

(277,416)

(25,182)

(10.6)

Dufry

AG

(Registered)

(1,673)

(74,613)

(1,349)

(0.6)

EMS-Chemie

Holding

AG

(Registered)

(619)

(511,684)

(23,898)

(10.1)

Flughafen

Zurich

AG

(Registered)

(597)

(109,380)

(3,349)

(1.4)

Geberit

AG

(Registered)

(991)

(553,421)

(12,620)

(5.3)

60

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Givaudan

SA

(Registered)

(208)

(676,996)

(14,315)

(6.0)

Idorsia

Ltd.

(2,837)

(31,188)

4,997

2.1

Logitech

International

SA

(Registered)

(13,652)

(796,820)

(62,108)

(26.2)

Lonza

Group

AG

(Registered)

(308)

(185,416)

(5,790)

(2.4)

Partners

Group

Holding

AG

(726)

(683,691)

(88,259)

(37.3)

Schindler

Holding

AG

(1,697)

(376,018)

17,003

7.2

SGS

SA

(Registered)

(49)

(108,082)

4,276

1.8

SIG

Group

AG

(55,660)

(1,433,979)

(40,844)

(17.2)

Sika

AG

(Registered)

(3,381)

(948,355)

(8,644)

(3.7)

Straumann

Holding

AG

(Registered)

(6,461)

(969,051)

(72,582)

(30.6)

Swiss

Life

Holding

AG

(Registered)

(376)

(232,032)

(12,502)

(5.3)

Swisscom

AG

(Registered)

(228)

(145,503)

(522)

(0.2)

Tecan

Group

AG

(Registered)

(953)

(417,452)

(12,899)

(5.4)

VAT

Group

AG

(2,290)

(827,340)

(80,984)

(34.2)

Zurich

Insurance

Group

AG

(714)

(342,148)

(28,829)

(12.2)

United

States

Nestle

SA

(Registered)

(8,925)

(1,088,230)

(21,659)

(9.1)

Swiss

Re

AG

(2,510)

(257,861)

(15,859)

(6.7)

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

(-1.90%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25-62

months

maturity

ranging

from

04/24/2025

-

04/04/2028

$9,242,261

$(236,985)

$278,301

$41,316

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

620

1,126,980

(276,084)

(668.2)

Carlsberg

A/S

4,161

645,650

33,252

80.5

Demant

A/S

423

14,850

1,241

3.0

Genmab

A/S

1,367

516,733

16,447

39.8

GN

Store

Nord

A/S

2,457

55,093

2,246

5.4

ISS

A/S

49,824

1,016,861

72,047

174.4

Novo

Nordisk

A/S

754

119,751

742

1.8

Pandora

A/S

9,089

872,437

100,527

243.3

ROCKWOOL

A/S

1,232

302,108

14,718

35.6

61

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(14,331)

(215,497)

2,826

6.8

Coloplast

A/S

(3,167)

(416,990)

(30,921)

(74.8)

DSV

A/S

(1,630)

(316,053)

(15,419)

(37.3)

Novozymes

A/S

(24,386)

(1,248,641)

(46,975)

(113.7)

Orsted

A/S

(2,860)

(243,866)

(11,631)

(28.2)

Royal

Unibrew

A/S

(3,068)

(267,442)

(19,835)

(48.0)

Tryg

A/S

(31,673)

(692,549)

(23,065)

(55.8)

Vestas

Wind

Systems

A/S

(40,171)

(1,170,760)

(57,101)

(138.2)

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

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.

25-62

months

maturity

ranging

from

04/23/2025

-

04/04/2028

$36,366,028

$97,613

$18,305

$115,918

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

5,959

257,776

12,534

10.8

Proximus

SADP

114,861

1,110,735

85,464

73.7

Solvay

SA

3,364

384,728

32,525

28.1

Finland

Metso

Outotec

OYJ

45,824

500,370

44,358

38.3

Nokia

OYJ

166,000

814,875

46,791

40.4

Stora

Enso

OYJ

40,621

528,474

30,450

26.3

Wartsila

OYJ

Abp

26,335

248,531

21,705

18.7

Luxembourg

ArcelorMittal

SA

44,503

1,348,276

141,688

122.2

Netherlands

Aalberts

NV

9,761

461,074

17,529

15.1

Aegon

NV

59,797

256,718

3,609

3.1

ASML

Holding

NV

370

252,136

9,639

8.3

ASR

Nederland

NV

13,469

535,930

7,573

6.5

Heineken

NV

3,964

425,935

16,932

14.6

Koninklijke

Ahold

Delhaize

NV

32,007

1,093,523

40,403

34.9

NN

Group

NV

21,599

784,258

(4,666)

(4.0)

OCI

NV

22,904

776,443

45,171

39.0

Randstad

NV

4,724

280,439

(5,332)

(4.6)

Wolters

Kluwer

NV

3,017

380,856

9,691

8.4

62

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acerinox

SA

81,538

839,125

43,109

37.2

ACS

Actividades

de

Construccion

y

Servicios

SA

19,307

614,923

25,296

21.8

Banco

de

Sabadell

SA

1,049,625

1,128,810

10,299

8.9

Banco

Santander

SA

231,644

863,217

74,770

64.5

Industria

de

Diseno

Textil

SA

14,644

491,968

36,830

31.8

Mapfre

SA

345,579

696,468

21,255

18.3

Red

Electrica

Corp.

SA

46,948

826,112

40,746

35.2

Repsol

SA

160,595

2,469,610

120,991

104.4

United

States

Signify

NV

23,964

799,082

45,751

39.5

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(2,489)

(484,315)

(28,779)

(24.8)

UCB

SA

(5,152)

(460,466)

(22,307)

(19.2)

China

Prosus

NV

(5,806)

(454,633)

(45,732)

(39.5)

Finland

Elisa

OYJ

(3,942)

(237,748)

(3,387)

(2.9)

Huhtamaki

OYJ

(7,966)

(295,935)

(22,679)

(19.6)

Neste

OYJ

(9,055)

(447,352)

(31,646)

(27.3)

Nokian

Renkaat

OYJ

(31,699)

(303,260)

(31,678)

(27.3)

Valmet

OYJ

(16,186)

(525,459)

(9,380)

(8.1)

Netherlands

Adyen

NV

(728)

(1,160,016)

(66,489)

(57.4)

Akzo

Nobel

NV

(8,210)

(642,142)

(48,975)

(42.2)

Argenx

SE

(1,361)

(505,415)

(6,220)

(5.4)

ASM

International

NV

(1,736)

(704,644)

(96,534)

(83.3)

Koninklijke

KPN

NV

(135,311)

(478,131)

(7,080)

(6.1)

Koninklijke

Philips

NV

(53,168)

(976,531)

(84,914)

(73.3)

Universal

Music

Group

NV

(28,123)

(712,208)

(60,283)

(52.0)

Spain

Acciona

SA

(4,684)

(939,796)

(40,671)

(35.1)

Aena

SME

SA

(1,579)

(255,338)

(11,488)

(9.9)

CaixaBank

SA

(206,301)

(804,977)

(19,673)

(17.0)

Cellnex

Telecom

SA

(41,586)

(1,617,182)

(79,271)

(68.4)

Ferrovial

SA

(25,622)

(754,501)

(17,866)

(15.4)

Fluidra

SA

(17,756)

(312,925)

(3,474)

(3.0)

Grifols

SA

(53,002)

(524,627)

(18,797)

(16.2)

Iberdrola

SA

(58,855)

(733,204)

(36,200)

(31.2)

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

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.

25-62

months

maturity

ranging

from

04/24/2025

-

04/04/2028

$5,773,288

$92,920

$(5,331)

$87,589

63

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

20,662

897,983

21,143

24.1

Norway

Equinor

ASA

52,943

1,505,086

37,369

42.7

Leroy

Seafood

Group

ASA

65,371

338,511

33,440

38.2

Mowi

ASA

9,645

178,394

13,747

15.7

Norsk

Hydro

ASA

86,917

648,698

56,788

64.8

Telenor

ASA

1,961

22,993

(15)

(0.0)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(5,598)

(361,404)

(13,787)

(15.7)

Norway

Gjensidige

Forsikring

ASA

(11,077)

(181,134)

3,830

4.4

Kongsberg

Gruppen

ASA

(6,488)

(262,263)

(9,307)

(10.6)

Orkla

ASA

(8,168)

(57,932)

(1,621)

(1.9)

Salmar

ASA

(12,715)

(553,862)

(43,067)

(49.2)

Schibsted

ASA

(11,020)

(187,063)

21,167

24.2

TOMRA

Systems

ASA

(17,209)

(290,530)

(27,902)

(31.9)

United

Kingdom

Subsea

7

SA

(24,214)

(287,435)

1,135

1.3

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

(-4.70%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25-61

months

maturity

ranging

from

04/23/2025

-

03/21/2028

$18,627,099

$(101,141)

$20,169

$(80,972)

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

17,546

187,361

(2,757)

3.4

Guatemala

Millicom

International

Cellular

SA

34,170

648,384

21,545

(26.6)

64

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

Assa

Abloy

AB

31,718

759,725

835

(1.0)

Axfood

AB

6,797

165,986

11,415

(14.1)

Billerud

AB

59,469

611,234

9,369

(11.6)

Boliden

AB

14,670

576,299

32,083

(39.6)

Elekta

AB

76,914

587,780

6,793

(8.4)

Embracer

Group

AB

14,357

67,047

610

(0.8)

Evolution

AB

2,614

350,220

33,890

(41.9)

Getinge

AB

5,419

132,160

13,014

(16.1)

H

&

M

Hennes

&

Mauritz

AB

66,078

944,753

163,455

(201.9)

Saab

AB

3,094

187,964

14,409

(17.8)

Sandvik

AB

17,306

367,334

33,019

(40.8)

Skanska

AB

37,670

576,979

(44,557)

55.0

SSAB

AB

61,134

436,994

42,354

(52.3)

Svenska

Handelsbanken

AB

48,786

422,529

(23,074)

28.5

Swedish

Orphan

Biovitrum

AB

6,074

141,528

(681)

0.8

Tele2

AB

13,166

131,042

4,393

(5.4)

Telefonaktiebolaget

LM

Ericsson

231,017

1,354,181

113,029

(139.6)

Trelleborg

AB

12,035

342,535

54,552

(67.4)

Volvo

AB

18,683

384,994

31,747

(39.2)

Volvo

Car

AB

32,688

143,000

2,664

(3.3)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(9,961)

(355,679)

(34,362)

42.4

Atlas

Copco

AB

(26,013)

(329,542)

(27,481)

33.9

Beijer

Ref

AB

(36,703)

(644,046)

(56,317)

69.6

Electrolux

AB

(34,731)

(422,135)

(37,313)

46.1

Embracer

Group

AB

(63,755)

(298,842)

23,772

(29.4)

Epiroc

AB

(33,809)

(671,109)

(58,059)

71.7

EQT

AB

(53,201)

(1,086,757)

(74,356)

91.8

Essity

AB

(8,783)

(250,877)

(4,725)

5.8

Hexagon

AB

(52,101)

(599,652)

(35,923)

44.4

Hexpol

AB

(17,476)

(216,475)

(28,396)

35.1

Holmen

AB

(10,026)

(386,525)

(1,957)

2.4

Husqvarna

AB

(50,791)

(440,856)

(37,307)

46.1

Indutrade

AB

(21,684)

(461,457)

(39,435)

48.7

Lifco

AB

(12,308)

(265,393)

(26,443)

32.7

Nibe

Industrier

AB

(77,709)

(885,814)

(105,655)

130.5

Securitas

AB

(35,529)

(316,053)

(31,999)

39.5

Skandinaviska

Enskilda

Banken

AB

(7,602)

(83,913)

(1,997)

2.5

SKF

AB

(22,302)

(439,281)

(35,206)

43.5

Svenska

Cellulosa

AB

SCA

(44,241)

(582,678)

(11,662)

14.4

Swedbank

AB

(1,622)

(26,673)

683

(0.8)

Telia

Co.

AB

(115,030)

(292,092)

456

(0.6)

United

States

Sinch

AB

(18,936)

(51,221)

4,434

(5.5)

65

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(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

(-0.25%

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

02/26/2024

-

04/25/2024

$31,718,413

$67,507

$(817,854)

$(750,347)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

43,095

610,632

23,896

(3.2)

Alimentation

Couche-Tard,

Inc.

7,552

379,695

14,140

(1.9)

ARC

Resources

Ltd.

69,010

782,777

8,064

(1.1)

Atco

Ltd.

22,434

719,083

23,638

(3.2)

Bank

of

Montreal

6,225

554,469

14,877

(2.0)

Bank

of

Nova

Scotia

(The)

20,210

1,017,902

23,477

(3.1)

Canadian

Imperial

Bank

of

Commerce

11,220

475,781

8,468

(1.1)

Capital

Power

Corp.

13,895

428,108

(320)

0.0

Empire

Co.

Ltd.

22,115

592,842

27,110

(3.6)

Fairfax

Financial

Holdings

Ltd.

695

462,217

(2,110)

0.3

Finning

International,

Inc.

21,165

527,598

19,559

(2.6)

George

Weston

Ltd.

3,300

437,314

21,065

(2.8)

iA

Financial

Corp.,

Inc.

4,977

315,449

11,453

(1.5)

Imperial

Oil

Ltd.

15,977

812,504

46,459

(6.2)

Manulife

Financial

Corp.

35,971

660,067

12,775

(1.7)

Nutrien

Ltd.

11,282

833,190

6,428

(0.9)

Open

Text

Corp.

16,026

618,154

13,044

(1.7)

Sun

Life

Financial,

Inc.

6,017

281,105

4,630

(0.6)

Suncor

Energy,

Inc.

25,132

780,273

24,918

(3.3)

Teck

Resources

Ltd.

8,315

303,622

6,334

(0.8)

Tourmaline

Oil

Corp.

10,357

431,599

7,970

(1.1)

West

Fraser

Timber

Co.

Ltd.

10,643

759,146

(8,684)

1.2

Whitecap

Resources,

Inc.

47,804

369,628

2,830

(0.4)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(12,352)

(594,888)

(8,408)

1.1

Canada

Agnico

Eagle

Mines

Ltd.

(5,470)

(278,863)

5,909

(0.8)

Algonquin

Power

&

Utilities

Corp.

(78,933)

(662,301)

(18,696)

2.5

BCE,

Inc.

(8,316)

(372,512)

985

(0.1)

Brookfield

Corp.

(11,902)

(387,751)

(27,451)

3.7

Brookfield

Infrastructure

Corp.

(7,476)

(344,565)

(10,897)

1.5

Cameco

Corp.

(23,373)

(612,039)

(30,438)

4.1

Canadian

Pacific

Railway

Ltd.

(10,470)

(806,225)

(4,338)

0.6

66

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Constellation

Software,

Inc.

(315)

(592,221)

(23,543)

3.1

Dollarama,

Inc.

(5,246)

(313,518)

(10,325)

1.4

Element

Fleet

Management

Corp.

(41,772)

(548,615)

(4,018)

0.5

Emera,

Inc.

(8,429)

(346,266)

(374)

0.0

Enbridge,

Inc.

(15,907)

(606,502)

(14,712)

2.0

Fortis,

Inc.

(12,062)

(512,735)

(6,247)

0.8

Franco-Nevada

Corp.

(3,205)

(467,482)

(1,432)

0.2

GFL

Environmental,

Inc.

(12,181)

(420,003)

(20,550)

2.7

Intact

Financial

Corp.

(3,160)

(452,244)

(3,320)

0.4

Metro,

Inc.

(6,396)

(351,815)

(11,263)

1.5

Pan

American

Silver

Corp.

(33,696)

(614,830)

781

(0.1)

Rogers

Communications,

Inc.

(14,848)

(688,183)

659

(0.1)

Royal

Bank

of

Canada

(6,464)

(618,181)

(7,079)

0.9

Shopify,

Inc.

(7,289)

(349,484)

(17,366)

2.3

TC

Energy

Corp.

(9,031)

(351,284)

(791)

0.1

Thomson

Reuters

Corp.

(3,540)

(460,580)

(4,008)

0.5

TMX

Group

Ltd.

(3,090)

(312,087)

(4,870)

0.6

WSP

Global,

Inc.

(3,075)

(402,787)

(17,315)

2.3

United

States

Brookfield

Renewable

Corp.

(9,224)

(322,550)

(21,226)

2.8

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

SORA

plus

or

minus

a

specified

spread

(-0.32%

to

0.26%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

01/27/2025

$4,525,717

$17,514

$(58,229)

$(40,715)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

72,400

229,371

877

(2.2)

Yangzijiang

Shipbuilding

Holdings

Ltd.

652,216

589,941

(7,973)

19.6

Singapore

City

Developments

Ltd.

103,962

576,880

14,417

(35.4)

Genting

Singapore

Ltd.

214,919

181,393

3,747

(9.2)

Jardine

Cycle

&

Carriage

Ltd.

5,200

122,455

8,251

(20.3)

Oversea-Chinese

Banking

Corp.

Ltd.

32,900

306,687

(119)

0.3

Singapore

Airlines

Ltd.

146,600

632,355

1,138

(2.8)

Singapore

Telecommunications

Ltd.

86,600

160,459

3,615

(8.9)

67

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(28,435)

(706,944)

7,991

(19.6)

Keppel

Corp.

Ltd.

(53,500)

(226,986)

(7,049)

17.3

Singapore

Technologies

Engineering

Ltd.

(199,600)

(549,470)

(4,540)

11.2

United

Overseas

Bank

Ltd.

(9,400)

(210,833)

(2,603)

6.4

Venture

Corp.

Ltd.

(2,400)

(31,943)

(238)

0.6

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

(-1.25%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/20/2023

$21,819,525

$46,514

$14,742

$61,256

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

Australia

Ampol

Ltd.

6,681

136,212

684

1.1

ANZ

Group

Holdings

Ltd.

35,557

547,938

5,788

9.4

Aristocrat

Leisure

Ltd.

9,582

239,574

17,253

28.2

Aurizon

Holdings

Ltd.

259,650

584,826

10,332

16.9

BHP

Group

Ltd.

31,235

987,461

81,520

133.1

BlueScope

Steel

Ltd.

80,264

1,086,403

27,303

44.6

Cochlear

Ltd.

1,598

254,402

9,842

16.1

Coles

Group

Ltd.

18,570

224,375

3,422

5.6

Harvey

Norman

Holdings

Ltd.

112,170

269,958

(12,717)

(20.8)

Incitec

Pivot

Ltd.

371,199

782,200

(18,717)

(30.6)

JB

Hi-Fi

Ltd.

29,944

854,582

9,101

14.9

New

Hope

Corp.

Ltd.

55,604

211,418

18,513

30.2

Origin

Energy

Ltd.

52,571

292,772

8,130

13.3

Pilbara

Minerals

Ltd.

160,211

426,226

33,194

54.2

Qantas

Airways

Ltd.

232,136

1,036,128

31,882

52.0

Qube

Holdings

Ltd.

141,182

272,619

(11,444)

(18.7)

Sonic

Healthcare

Ltd.

28,961

678,932

23,437

38.3

South32

Ltd.

264,414

774,926

41,424

67.6

Suncorp

Group

Ltd.

30,674

249,230

106

0.2

Telstra

Group

Ltd.

141,026

399,301

10,914

17.8

Westpac

Banking

Corp.

19,712

286,999

7,130

11.6

Whitehaven

Coal

Ltd.

162,990

733,766

5,975

9.8

United

States

Computershare

Ltd.

14,524

210,964

5,045

8.2

68

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(367,403)

(360,142)

(6,491)

(10.6)

APA

Group

(21,237)

(144,268)

956

1.6

carsales.com

Ltd.

(14,050)

(209,978)

(8,525)

(13.9)

Cleanaway

Waste

Management

Ltd.

(166,884)

(267,048)

2,912

4.8

Commonwealth

Bank

of

Australia

(13,318)

(879,328)

(20,690)

(33.8)

Domino's

Pizza

Enterprises

Ltd.

(9,306)

(312,396)

(30,914)

(50.5)

Endeavour

Group

Ltd.

(29,982)

(136,217)

(2,941)

(4.8)

IDP

Education

Ltd.

(38,257)

(705,018)

(5,841)

(9.5)

IGO

Ltd.

(24,832)

(212,938)

(10,431)

(17.0)

Insurance

Australia

Group

Ltd.

(48,929)

(154,013)

(620)

(1.0)

Lynas

Rare

Earths

Ltd.

(85,061)

(362,097)

12,032

19.6

Macquarie

Group

Ltd.

(2,577)

(305,116)

(2,301)

(3.8)

Medibank

Pvt

Ltd.

(73,594)

(166,077)

(4,721)

(7.7)

Mineral

Resources

Ltd.

(9,019)

(487,539)

(3,370)

(5.5)

Newcrest

Mining

Ltd.

(7,865)

(140,393)

(13,113)

(21.4)

Northern

Star

Resources

Ltd.

(26,184)

(214,713)

(24,109)

(39.4)

Pro

Medicus

Ltd.

(8,263)

(356,379)

653

1.1

REA

Group

Ltd.

(5,251)

(489,621)

(36,923)

(60.3)

Reece

Ltd.

(28,248)

(331,062)

(26,678)

(43.6)

Transurban

Group

(52,121)

(497,672)

(3,985)

(6.5)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(11,009)

(223,117)

(16,256)

(26.5)

Wesfarmers

Ltd.

(10,262)

(346,840)

(10,101)

(16.5)

WiseTech

Global

Ltd.

(5,038)

(221,942)

(7,086)

(11.6)

Woodside

Energy

Group

Ltd.

(10,132)

(226,350)

(10,029)

(16.4)

Worley

Ltd.

(17,473)

(169,240)

(6,423)

(10.5)

United

States

CSL

Ltd.

(2,141)

(414,648)

(3,536)

(5.8)

James

Hardie

Industries

plc

(23,530)

(506,454)

(31,921)

(52.1)

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

(-1.13%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-24

months

maturity

08/21/2023

$61,054,873

$(43,638)

$(39,758)

$(83,396)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

69

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

545,428

1,005,093

61,328

(73.5)

Bouygues

SA

16,748

564,845

(1,302)

1.6

Cie

de

Saint-Gobain

25,612

1,455,878

36,236

(43.5)

Dassault

Aviation

SA

4,148

820,600

32,445

(38.9)

Eiffage

SA

12,812

1,386,463

(219)

0.3

Ipsen

SA

5,695

627,088

(13,513)

16.2

Rexel

SA

43,202

1,027,116

10,833

(13.0)

Rubis

SCA

18,091

484,083

6,380

(7.6)

Sodexo

SA

10,204

996,631

63,357

(76.0)

Thales

SA

7,273

1,075,290

69,625

(83.5)

TotalEnergies

SE

11,660

687,517

15,547

(18.6)

Germany

BASF

SE

16,519

867,226

62,580

(75.0)

Bayer

AG

(Registered)

15,354

980,838

51,523

(61.8)

Bayerische

Motoren

Werke

AG

9,557

1,047,434

63,391

(76.0)

Brenntag

SE

8,131

611,908

28,585

(34.3)

Deutsche

Bank

AG

(Registered)

161,313

1,640,424

7,497

(9.0)

Deutsche

Lufthansa

AG

(Registered)

105,017

1,168,052

84,803

(101.7)

GEA

Group

AG

16,316

744,296

3,930

(4.7)

HeidelbergCement

AG

8,613

628,897

69,383

(83.2)

HUGO

BOSS

AG

7,654

550,403

82,074

(98.4)

TeamViewer

SE

36,856

627,857

31,300

(37.5)

thyssenkrupp

AG

229,746

1,654,540

95,299

(114.3)

Singapore

STMicroelectronics

NV

24,202

1,289,572

97,430

(116.8)

United

States

Sanofi

10,398

1,127,962

115,320

(138.3)

Short

Positions

Common

Stocks

France

Air

Liquide

SA

(9,200)

(1,539,976)

(71,104)

85.3

Airbus

SE

(5,127)

(684,801)

(35,564)

42.6

Alstom

SA

(44,394)

(1,208,685)

(44,987)

53.9

Cie

Generale

des

Etablissements

Michelin

SCA

(35,428)

(1,082,973)

(39,441)

47.3

EssilorLuxottica

SA

(4,424)

(797,749)

(31,296)

37.5

Hermes

International

(272)

(550,870)

(40,548)

48.6

Kering

SA

(790)

(515,418)

(46,688)

56.0

L'Oreal

SA

(2,705)

(1,208,710)

(93,219)

111.8

Remy

Cointreau

SA

(3,242)

(590,314)

(9,831)

11.8

Sartorius

Stedim

Biotech

(3,504)

(1,075,011)

71,856

(86.2)

SEB

SA

(4,257)

(484,379)

(18,515)

22.2

Germany

adidas

AG

(13,390)

(2,373,679)

(325,572)

390.4

Carl

Zeiss

Meditec

AG

(3,744)

(521,508)

39,432

(47.3)

Covestro

AG

(12,987)

(537,835)

(15,321)

18.4

Deutsche

Telekom

AG

(Registered)

(28,842)

(698,908)

(27,032)

32.4

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(10,241)

(516,247)

(13,277)

15.9

Fresenius

Medical

Care

AG

&

Co.

KGaA

(13,233)

(561,665)

(29,473)

35.3

Rheinmetall

AG

(2,178)

(645,233)

(85,193)

102.2

Siemens

AG

(Registered)

(3,669)

(594,392)

(47,833)

57.4

Siemens

Healthineers

AG

(15,675)

(903,695)

(36,039)

43.2

Symrise

AG

(6,789)

(738,806)

(27,891)

33.4

Zalando

SE

(14,486)

(607,116)

(70,931)

85.1

70

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Luxembourg

Eurofins

Scientific

SE

(13,534)

(906,233)

(5,786)

6.9

South

Korea

Delivery

Hero

SE

(21,127)

(720,746)

(16,882)

20.2

United

States

Schneider

Electric

SE

(3,811)

(636,909)

(33,156)

39.8

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(2,877)

(1,212,530)

6,184

(7.4)

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

SONIA

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/19/2023

$45,549,908

$(85,628)

$83,595

$(2,033)

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

81,176

467,105

33,854

(1,665.2)

Netherlands

Shell

plc

68,173

1,942,835

80,901

(3,979.4)

Nigeria

Airtel

Africa

plc

342,605

449,462

(5,102)

250.9

United

Kingdom

Barclays

plc

956,957

1,722,432

74,585

(3,668.7)

Barratt

Developments

plc

264,895

1,524,414

110,788

(5,449.5)

BP

plc

190,821

1,206,089

76,302

(3,753.2)

British

American

Tobacco

plc

35,450

1,242,679

(40,121)

1,973.5

BT

Group

plc

276,087

497,324

28,173

(1,385.8)

Burberry

Group

plc

10,625

340,211

42,416

(2,086.4)

Centrica

plc

1,263,197

1,654,327

77,348

(3,804.6)

DCC

plc

9,018

525,671

48,050

(2,363.5)

DS

Smith

plc

214,114

833,614

34,032

(1,674.0)

Howden

Joinery

Group

plc

74,684

644,861

28,506

(1,402.1)

Imperial

Brands

plc

32,201

740,484

(8,099)

398.4

Inchcape

plc

56,923

545,648

(38,479)

1,892.7

InterContinental

Hotels

Group

plc

8,437

552,334

6,478

(318.6)

JD

Sports

Fashion

plc

284,030

625,498

56,832

(2,795.5)

Legal

&

General

Group

plc

312,343

923,788

46,982

(2,311.0)

Man

Group

plc

144,721

421,605

20,445

(1,005.6)

71

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Marks

&

Spencer

Group

plc

469,019

967,579

147,976

(7,278.7)

Pearson

plc

48,695

509,590

6,442

(316.9)

Reckitt

Benckiser

Group

plc

9,442

718,324

41,596

(2,046.0)

Smiths

Group

plc

31,123

660,081

16,993

(835.8)

Taylor

Wimpey

plc

561,148

825,546

35,607

(1,751.4)

Travis

Perkins

plc

37,745

446,869

8,730

(429.4)

Vodafone

Group

plc

545,724

601,987

(6,389)

314.2

United

States

GSK

plc

81,489

1,439,856

29,453

(1,448.8)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(69,354)

(1,358,470)

(123,055)

6,052.9

Hong

Kong

Prudential

plc

(54,106)

(740,800)

(68,008)

3,345.2

United

Kingdom

abrdn

plc

(223,069)

(561,436)

(9,125)

448.8

Admiral

Group

plc

(23,814)

(597,992)

(35,570)

1,749.6

Ashtead

Group

plc

(5,596)

(343,622)

(7,711)

379.3

AstraZeneca

plc

(5,948)

(824,121)

(30,649)

1,507.6

B&M

European

Value

Retail

SA

(96,806)

(576,749)

(29,806)

1,466.1

Berkeley

Group

Holdings

plc

(9,934)

(514,660)

(25,702)

1,264.3

ConvaTec

Group

plc

(126,569)

(357,661)

(1,047)

51.5

Croda

International

plc

(7,320)

(588,334)

(15,003)

738.0

Diageo

plc

(16,963)

(757,053)

(29,890)

1,470.2

Halma

plc

(16,425)

(453,437)

(34,624)

1,703.1

NatWest

Group

plc

(111,429)

(363,596)

(8,952)

440.4

Next

plc

(5,321)

(432,490)

(711)

35.0

Pennon

Group

plc

(53,307)

(575,981)

(9,792)

481.6

RELX

plc

(10,599)

(343,269)

(12,473)

613.5

Rentokil

Initial

plc

(148,982)

(1,088,842)

(83,910)

4,127.4

Severn

Trent

plc

(24,134)

(857,311)

(19,833)

975.5

Spirax-Sarco

Engineering

plc

(3,707)

(544,272)

(36,674)

1,803.9

SSE

plc

(28,316)

(631,839)

(38,717)

1,904.4

St

James's

Place

plc

(26,224)

(393,504)

(24,391)

1,199.7

United

Utilities

Group

plc

(60,667)

(793,977)

(11,658)

573.4

United

States

Experian

plc

(15,530)

(511,368)

(4,261)

209.6

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

(-0.63%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/20/2023

$12,701,400

$(179,990)

$11,739

$(168,251)

72

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

174,000

541,707

(18,027)

10.7

SITC

International

Holdings

Co.

Ltd.

243,000

522,246

(10,604)

6.3

Hong

Kong

ASMPT

Ltd.

44,100

437,383

7,613

(4.5)

CK

Asset

Holdings

Ltd.

45,728

277,234

532

(0.3)

CLP

Holdings

Ltd.

21,000

151,749

(1,807)

1.1

Henderson

Land

Development

Co.

Ltd.

122,000

422,095

(4,522)

2.7

HKT

Trust

&

HKT

Ltd.

55,000

73,011

(276)

0.2

Man

Wah

Holdings

Ltd.

588,800

485,173

(43,954)

26.1

New

World

Development

Co.

Ltd.

308,000

825,626

(17,952)

10.7

Sino

Land

Co.

Ltd.

132,000

178,506

4,971

(3.0)

Sun

Hung

Kai

Properties

Ltd.

29,000

406,279

15,051

(8.9)

Swire

Pacific

Ltd.

21,500

165,227

(613)

0.4

Swire

Properties

Ltd.

15,000

38,606

102

(0.1)

WH

Group

Ltd.

1,001,500

597,041

20,374

(12.1)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

240,500

1,487,889

(7,332)

4.4

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(193,100)

(587,667)

(8,336)

5.0

ESR

Group

Ltd.

(232,800)

(417,476)

(40,840)

24.3

Xinyi

Glass

Holdings

Ltd.

(39,000)

(69,767)

390

(0.2)

Hong

Kong

AIA

Group

Ltd.

(98,400)

(1,031,956)

(42,303)

25.1

Hang

Lung

Properties

Ltd.

(46,000)

(86,076)

2,527

(1.5)

Hang

Seng

Bank

Ltd.

(17,700)

(251,611)

13,328

(7.9)

Hong

Kong

&

China

Gas

Co.

Ltd.

(446,000)

(392,664)

16,565

(9.8)

MTR

Corp.

Ltd.

(72,018)

(347,580)

4,717

(2.8)

Power

Assets

Holdings

Ltd.

(14,000)

(75,108)

957

(0.6)

Techtronic

Industries

Co.

Ltd.

(96,000)

(1,040,171)

10,835

(6.4)

Wharf

Real

Estate

Investment

Co.

Ltd.

(212,000)

(1,220,563)

(74,128)

44.1

Macau

Galaxy

Entertainment

Group

Ltd.

(44,000)

(294,323)

(4,816)

2.9

Sands

China

Ltd.

(59,200)

(205,660)

(1,118)

0.7

Wynn

Macau

Ltd.

(72,000)

(71,006)

(1,324)

0.8

73

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(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

MUTSC

plus

or

minus

a

specified

spread

(-8.81%

to

0.28%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/20/2023

$180,340,806

$(30,007)

$567,581

$537,574

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

Dai-ichi

Life

Holdings,

Inc.

62,500

1,148,968

37,512

7.0

Dentsu

Group,

Inc.

34,000

1,198,442

34,901

6.5

Fukuoka

Financial

Group,

Inc.

62,500

1,202,558

(8,633)

(1.6)

Honda

Motor

Co.

Ltd.

61,800

1,634,682

70,773

13.2

IHI

Corp.

44,800

1,125,340

68,928

12.8

Inpex

Corp.

103,000

1,090,000

38,493

7.2

Japan

Post

Bank

Co.

Ltd.

143,000

1,167,947

(37,792)

(7.0)

Japan

Post

Insurance

Co.

Ltd.

69,100

1,076,982

(21,990)

(4.1)

Japan

Tobacco,

Inc.

89,600

1,892,670

48,149

9.0

JFE

Holdings,

Inc.

110,900

1,407,591

62,843

11.7

KDDI

Corp.

40,000

1,233,511

9,485

1.8

Mazda

Motor

Corp.

174,400

1,608,665

107,103

19.9

Mitsubishi

Corp.

40,000

1,437,458

40,207

7.5

Mitsubishi

Motors

Corp.

564,600

2,224,974

183,867

34.2

Mizuho

Financial

Group,

Inc.

186,930

2,648,344

17,738

3.3

Nippon

Steel

Corp.

63,300

1,492,708

61,993

11.5

Ono

Pharmaceutical

Co.

Ltd.

55,800

1,162,771

(21,314)

(4.0)

SCREEN

Holdings

Co.

Ltd.

12,600

1,117,672

58,617

10.9

Shimamura

Co.

Ltd.

14,100

1,435,109

9,998

1.9

Shin-Etsu

Chemical

Co.

Ltd.

37,500

1,217,289

78,803

14.7

Subaru

Corp.

142,100

2,268,429

92,239

17.2

Suntory

Beverage

&

Food

Ltd.

30,700

1,143,528

24,231

4.5

TOPPAN,

Inc.

53,300

1,074,120

44,449

8.3

Toyo

Suisan

Kaisha

Ltd.

29,800

1,245,373

(2,513)

(0.5)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(78,700)

(1,526,843)

(17,451)

(3.2)

Ajinomoto

Co.,

Inc.

(48,700)

(1,694,169)

(47,301)

(8.8)

Capcom

Co.

Ltd.

(34,200)

(1,224,039)

(34,026)

(6.3)

Chiba

Bank

Ltd.

(The)

(200,000)

(1,290,853)

(4,436)

(0.8)

Daiichi

Sankyo

Co.

Ltd.

(48,800)

(1,780,109)

(97,148)

(18.1)

Daikin

Industries

Ltd.

(8,100)

(1,453,193)

(74,165)

(13.8)

Denso

Corp.

(34,000)

(1,919,213)

(107,502)

(20.0)

Eisai

Co.

Ltd.

(20,600)

(1,170,071)

(4,750)

(0.9)

74

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

JSR

Corp.

(79,900)

(1,890,136)

(30,667)

(5.7)

Kansai

Electric

Power

Co.,

Inc.

(The)

(144,300)

(1,405,327)

(24,003)

(4.5)

Keyence

Corp.

(2,200)

(1,078,239)

(75,626)

(14.1)

Kobe

Bussan

Co.

Ltd.

(48,300)

(1,348,641)

(51,789)

(9.6)

Kubota

Corp.

(93,400)

(1,416,068)

(58,418)

(10.9)

Kurita

Water

Industries

Ltd.

(26,500)

(1,213,886)

(32,339)

(6.0)

Makita

Corp.

(64,300)

(1,601,383)

(6,364)

(1.2)

Mitsubishi

UFJ

Financial

Group,

Inc.

(305,400)

(1,957,207)

(23,027)

(4.3)

NIDEC

Corp.

(28,100)

(1,462,352)

(93,055)

(17.3)

Nippon

Paint

Holdings

Co.

Ltd.

(117,600)

(1,105,804)

(27,897)

(5.2)

Rakuten

Group,

Inc.

(228,000)

(1,063,345)

15,051

2.8

SoftBank

Group

Corp.

(29,600)

(1,163,680)

(72,191)

(13.4)

Tokio

Marine

Holdings,

Inc.

(56,100)

(1,079,642)

13,032

2.4

Toyota

Motor

Corp.

(219,200)

(3,120,402)

(164,764)

(30.6)

Unicharm

Corp.

(29,000)

(1,192,067)

(26,170)

(4.9)

Yamaha

Corp.

(28,100)

(1,085,333)

(49,227)

(9.2)

Yaskawa

Electric

Corp.

(44,400)

(1,947,380)

(98,146)

(18.3)

Z

Holdings

Corp.

(455,300)

(1,290,981)

13,109

2.4

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

(-13.93%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-12

months

maturity

07/19/2023

$450,332,898

$1,450,995

$303,004

$1,753,999

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Adobe,

Inc.

3,491

1,345,327

95,060

5.4

AGCO

Corp.

9,543

1,290,214

154,597

8.8

Allison

Transmission

Holdings,

Inc.

36,830

1,666,189

122,714

7.0

Alphabet,

Inc.

11,845

1,228,682

24,993

1.4

Amazon.com,

Inc.

15,782

1,630,123

70,880

4.0

American

International

Group,

Inc.

45,500

2,291,380

138,890

7.9

Analog

Devices,

Inc.

6,033

1,189,828

68,595

3.9

Booking

Holdings,

Inc.

686

1,819,553

145,130

8.3

Cardinal

Health,

Inc.

16,144

1,218,872

90,391

5.2

Cigna

Group

(The)

6,100

1,558,733

(75,561)

(4.3)

Cisco

Systems,

Inc.

28,801

1,505,572

60,050

3.4

Citigroup,

Inc.

27,961

1,311,091

73,817

4.2

CVS

Health

Corp.

23,989

1,782,623

(1,492)

(0.1)

Dick's

Sporting

Goods,

Inc.

10,255

1,455,082

(23,881)

(1.4)

75

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

General

Motors

Co.

51,834

1,901,271

171,052

9.8

Huntington

Ingalls

Industries,

Inc.

5,694

1,178,772

40,811

2.3

Intel

Corp.

40,506

1,323,331

115,847

6.6

Kroger

Co.

(The)

24,317

1,200,530

62,981

3.6

McDonald's

Corp.

6,695

1,871,989

78,831

4.5

Meta

Platforms,

Inc.

6,699

1,419,786

109,395

6.2

NRG

Energy,

Inc.

37,833

1,297,294

106,311

6.1

Owens

Corning

15,022

1,439,108

86,261

4.9

Republic

Services,

Inc.

9,231

1,248,216

41,447

2.4

Skechers

USA,

Inc.

31,324

1,488,516

96,478

5.5

TD

SYNNEX

Corp.

12,913

1,249,849

66,586

3.8

Texas

Roadhouse,

Inc.

11,634

1,257,170

31,877

1.8

Toll

Brothers,

Inc.

23,497

1,410,525

55,453

3.2

Tyson

Foods,

Inc.

22,491

1,334,166

17,543

1.0

Unum

Group

29,164

1,153,728

78,352

4.5

Walmart,

Inc.

17,436

2,570,938

136,020

7.8

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(7,867)

(1,253,764)

(35,830)

(2.0)

agilon

health,

Inc.

(58,338)

(1,385,528)

167,993

9.6

Avery

Dennison

Corp.

(6,869)

(1,229,070)

(83,615)

(4.8)

Ball

Corp.

(26,664)

(1,469,453)

(89,969)

(5.1)

Constellation

Brands,

Inc.

(5,316)

(1,200,831)

(79,687)

(4.5)

Dollar

Tree,

Inc.

(9,211)

(1,322,239)

(57,197)

(3.3)

Eli

Lilly

&

Co.

(4,282)

(1,470,524)

(60,976)

(3.5)

Envestnet,

Inc.

(25,175)

(1,477,017)

(146,770)

(8.4)

Equifax,

Inc.

(5,906)

(1,197,973)

(11,517)

(0.7)

Foot

Locker,

Inc.

(35,387)

(1,404,510)

84,144

4.8

GameStop

Corp.

(73,013)

(1,680,759)

(468,742)

(26.7)

General

Electric

Co.

(17,541)

(1,676,920)

(85,932)

(4.9)

Hanesbrands,

Inc.

(336,743)

(1,771,268)

(56,096)

(3.2)

Home

Depot,

Inc.

(The)

(5,682)

(1,676,872)

(38,240)

(2.2)

McCormick

&

Co.,

Inc.

(Non-Voting)

(16,744)

(1,393,268)

(177,319)

(10.1)

Novanta,

Inc.

(7,703)

(1,225,470)

(83,038)

(4.7)

NVIDIA

Corp.

(4,380)

(1,216,633)

(89,878)

(5.1)

Philip

Morris

International,

Inc.

(12,181)

(1,184,602)

(29,965)

(1.7)

Quanta

Services,

Inc.

(10,317)

(1,719,225)

(119,058)

(6.8)

Welltower,

Inc.

(20,452)

(1,466,204)

(58,374)

(3.3)

76

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2022

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

91.9%

INVESTMENT

COMPANIES

-

29.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(a)(b)

1,911,455

1,911,455

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

179,975,106

179,903,116

TOTAL

INVESTMENT

COMPANIES

(Cost

$181,753,107)

181,814,571

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

62.1%

U.S.

Treasury

Bills

4.49%,

4/27/2023

(c)

$

27,653,000

27,568,197

4.54%,

5/4/2023

(c)

15,568,000

15,506,082

4.59%,

5/11/2023

(c)

15,108,000

15,033,856

4.63%,

5/25/2023

(c)

66,732,000

66,287,158

4.66%,

6/1/2023

(c)(d)

60,327,000

59,878,381

4.68%,

6/8/2023

(c)(d)

34,074,000

33,789,219

4.74%,

6/15/2023

(c)(d)

18,631,000

18,455,656

4.66%,

6/22/2023

(c)(d)

940,000

930,394

4.71%,

6/29/2023

(c)(d)

31,562,000

31,208,847

4.80%,

7/20/2023

(c)(d)

17,360,000

17,118,739

4.80%,

7/27/2023

(c)(d)

11,825,000

11,648,830

4.79%,

8/3/2023

(c)(d)

31,683,000

31,177,286

4.85%,

8/10/2023

(c)(d)

2,488,000

2,446,187

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

62.1%

(continued)

4.96%,

8/17/2023

(c)(d)

$

515,000

505,870

5.04%,

8/24/2023

(c)(d)

8,419,000

8,262,073

5.07%,

8/31/2023

(c)(d)

12,347,000

12,106,276

5.10%,

9/7/2023

(c)(d)

118,000

115,592

4.81%,

9/14/2023

(c)(d)

26,926,000

26,348,534

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$378,287,519)

378,387,177

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$560,040,626)

560,201,748

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.9%

(Cost

$560,040,626)

560,201,748

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.1%

(e)

49,592,944

NET

ASSETS

-

100.0%

609,794,692

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

181,814,571

29.8

U.S.

Treasury

Obligations

378,387,177

62.1

Total

Investments

In

Securities

At

Value

$

560,201,748

91.9

Other

Assets

in

Excess

of

Liabilities

(e)

49,592,944

8.1

Net

Assets

$

609,794,692

100.0%

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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,

2023

:

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

04/27/2023

HKD

4,096,200

$

9,797

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/27/2023

HKD

4,096,200

7,963

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/16/2023

CHF

1,869,320

100,338

77

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/16/2023

CHF

3,738,640

$

205,469

MSCI

Germany

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.90%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

EUR

1,266,650

14,586

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.85%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

EUR

1,602,487

16,056

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.01%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

EUR

2,216,447

68,573

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SORA

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

SGD

463,911

13,924

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.65%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

CHF

1,817,695

53,699

490,405

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(907,860)

(31,762)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

AUD

3,631,698

(25,920)

78

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.80%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

CAD

2,572,095

$

(7,432)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

HKD

3,688,588

(1,447)

MSCI

Italy

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

06/21/2023

EUR

692,343

(7,854)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

JPY

1,194,540,843

(103,746)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

EUR

1,600,998

(23,829)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-1.71%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

SEK

14,480,174

(8,822)

79

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

GBP

1,592,463

$

(48,827)

(259,639)

$

230,766

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

65

4/2023

EUR

$

5,169,920

$

189,425

Hang

Seng

Index

4

4/2023

HKD

521,816

10,093

IBEX

35

Index

10

4/2023

EUR

997,003

32,529

MSCI

Singapore

Index

30

4/2023

SGD

690,374

7,926

OMXS30

Index

33

4/2023

SEK

704,815

24,452

DAX

Index

11

6/2023

EUR

4,711,258

155,278

FTSE

100

Index

83

6/2023

GBP

7,821,480

125,549

FTSE/MIB

Index

9

6/2023

EUR

1,300,879

35,479

S&P

500

E-Mini

Index

779

6/2023

USD

161,165,363

6,661,134

S&P/TSX

60

Index

32

6/2023

CAD

5,726,141

88,209

SPI

200

Index

25

6/2023

AUD

3,004,265

58,758

TOPIX

Index

25

6/2023

JPY

3,772,359

(14,709)

$

7,374,123

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

7,423,705

USD

5,456,381

CITI

6/21/2023

$

43,706

CAD

7,423,705

USD

5,456,353

JPMC

6/21/2023

43,733

CHF

4,107,798

USD

4,453,848

CITI

6/21/2023

74,518

CHF

4,107,784

USD

4,453,811

JPMC

6/21/2023

74,539

DKK

9,596,722

USD

1,381,766

CITI

6/21/2023

22,714

DKK

9,596,721

USD

1,381,759

JPMC

6/21/2023

22,721

EUR

14,458,447

USD

15,479,247

CITI

6/21/2023

271,555

EUR

14,458,433

USD

15,479,154

JPMC

6/21/2023

271,634

GBP

5,784,003

USD

6,975,366

CITI

6/21/2023

170,940

GBP

5,783,998

USD

6,975,325

JPMC

6/21/2023

170,975

ILS

742,127

USD

203,451

CITI

6/21/2023

3,577

ILS

742,123

USD

203,449

JPMC

6/21/2023

3,577

JPY

1,314,797,504

USD

9,834,685

CITI

6/21/2023

184,141

JPY

1,314,797,497

USD

9,834,636

JPMC

6/21/2023

184,193

NZD

115,000

USD

70,863

CITI

6/21/2023

1,044

NZD

114,999

USD

70,862

JPMC

6/21/2023

1,045

SEK

8,795,501

USD

848,893

CITI

6/21/2023

2,056

80

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

SEK

8,795,500

USD

848,889

JPMC

6/21/2023

$

2,061

SGD

2,931,360

USD

2,187,875

CITI

6/21/2023

20,498

SGD

2,931,355

USD

2,187,860

JPMC

6/21/2023

20,508

USD

41,892

AUD

62,000

CITI

6/21/2023

327

USD

41,892

AUD

62,000

JPMC

6/21/2023

328

USD

42,226

HKD

330,000

CITI

6/21/2023

33

USD

42,227

HKD

330,000

JPMC

6/21/2023

33

USD

8,710

SEK

89,810

CITI

6/21/2023

20

USD

8,710

SEK

89,809

JPMC

6/21/2023

20

Total

unrealized

appreciation

1,590,496

AUD

5,242,003

USD

3,593,323

CITI

6/21/2023

(79,089)

AUD

5,241,997

USD

3,593,301

JPMC

6/21/2023

(79,071)

HKD

9,832,000

USD

1,257,956

CITI

6/21/2023

(852)

HKD

9,832,000

USD

1,257,949

JPMC

6/21/2023

(845)

ILS

247,376

USD

69,746

CITI

6/21/2023

(737)

ILS

247,374

USD

69,746

JPMC

6/21/2023

(737)

NOK

2,897,263

USD

281,041

CITI

6/21/2023

(3,317)

NOK

2,897,252

USD

281,038

JPMC

6/21/2023

(3,317)

SEK

7,295,500

USD

707,277

CITI

6/21/2023

(1,450)

SEK

7,295,500

USD

707,274

JPMC

6/21/2023

(1,447)

USD

222,263

EUR

207,000

CITI

6/21/2023

(3,240)

USD

222,264

EUR

207,000

JPMC

6/21/2023

(3,239)

USD

205,391

GBP

170,500

CITI

6/21/2023

(5,267)

USD

205,392

GBP

170,500

JPMC

6/21/2023

(5,266)

USD

37,336

JPY

5,000,000

CITI

6/21/2023

(765)

USD

37,336

JPY

5,000,000

JPMC

6/21/2023

(764)

USD

8,680

SEK

89,810

CITI

6/21/2023

(8)

USD

8,680

SEK

89,810

JPMC

6/21/2023

(8)

Total

unrealized

depreciation

(189,419)

Net

unrealized

appreciation

$

1,401,077

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

(-2.92%

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

02/26/2024

-

03/25/2024

$102,425,312

$504,662

$267,483

$772,145

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

81

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

United

States

Ashland,

Inc.

14,215

1,460,023

57,571

7.5

AT&T,

Inc.

58,964

1,135,057

22,406

2.9

Berry

Global

Group,

Inc.

24,067

1,417,546

50,541

6.5

BJ's

Wholesale

Club

Holdings,

Inc.

20,227

1,538,668

18,407

2.4

CF

Industries

Holdings,

Inc.

31,072

2,252,409

81,719

10.6

Chemours

Co.

(The)

30,152

902,751

23,519

3.0

Dow,

Inc.

21,007

1,151,604

59,240

7.7

Eagle

Materials,

Inc.

12,995

1,907,016

81,219

10.5

Eastman

Chemical

Co.

32,880

2,773,099

121,985

15.8

Huntsman

Corp.

33,580

918,749

15,111

2.0

International

Paper

Co.

53,089

1,914,389

82,819

10.7

KB

Home

39,094

1,570,797

3,518

0.5

Kroger

Co.

(The)

78,747

3,887,739

58,273

7.5

LyondellBasell

Industries

NV

19,945

1,872,636

126,850

16.4

Mattel,

Inc.

69,097

1,272,076

102,264

13.2

Mosaic

Co.

(The)

59,366

2,723,712

154,352

20.0

PulteGroup,

Inc.

26,327

1,534,338

45,546

5.9

PVH

Corp.

18,040

1,608,446

280,342

36.3

Reliance

Steel

&

Aluminum

Co.

3,518

903,211

1,970

0.3

Skechers

USA,

Inc.

78,099

3,711,264

222,582

28.8

Taylor

Morrison

Home

Corp.

43,693

1,671,694

63,792

8.3

Toll

Brothers,

Inc.

59,313

3,560,559

91,342

11.8

United

States

Steel

Corp.

66,236

1,728,760

39,742

5.1

Walmart,

Inc.

5,232

771,458

17,161

2.2

Westrock

Co.

101,778

3,101,176

166,916

21.6

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(3,789)

(1,346,762)

(31,600)

(4.1)

United

States

Air

Products

and

Chemicals,

Inc.

(5,809)

(1,668,403)

(98,869)

(12.8)

AptarGroup,

Inc.

(12,802)

(1,513,068)

(53,896)

(7.0)

Avery

Dennison

Corp.

(11,489)

(2,055,727)

(79,044)

(10.2)

Ball

Corp.

(65,897)

(3,631,584)

(162,107)

(21.0)

Carter's,

Inc.

(13,125)

(943,950)

(29,794)

(3.9)

Costco

Wholesale

Corp.

(1,559)

(774,620)

(5,690)

(0.7)

Crown

Holdings,

Inc.

(11,765)

(973,083)

(50,942)

(6.6)

DR

Horton,

Inc.

(32,989)

(3,222,695)

(79,174)

(10.3)

DuPont

de

Nemours,

Inc.

(38,578)

(2,768,743)

(109,176)

(14.1)

Ecolab,

Inc.

(5,607)

(928,127)

(29,829)

(3.9)

Freeport-McMoRan,

Inc.

(29,065)

(1,189,049)

(85,160)

(11.0)

Frontier

Communications

Parent,

Inc.

(54,510)

(1,241,193)

(70,863)

(9.2)

Grocery

Outlet

Holding

Corp.

(49,087)

(1,387,199)

(3,436)

(0.4)

Hanesbrands,

Inc.

(379,812)

(1,997,811)

(94,953)

(12.3)

International

Flavors

&

Fragrances,

Inc.

(9,051)

(832,330)

(21,179)

(2.7)

Iridium

Communications,

Inc.

(15,571)

(964,312)

(15,415)

(2.0)

MP

Materials

Corp.

(33,956)

(957,220)

(56,367)

(7.3)

Polaris,

Inc.

(8,799)

(973,433)

(26,221)

(3.4)

Royal

Gold,

Inc.

(15,384)

(1,995,459)

(57,382)

(7.4)

RPM

International,

Inc.

(15,011)

(1,309,560)

(49,236)

(6.4)

Scotts

Miracle-Gro

Co.

(The)

(12,563)

(876,144)

(18,719)

(2.4)

Tempur

Sealy

International,

Inc.

(33,009)

(1,303,525)

(27,397)

(3.5)

Topgolf

Callaway

Brands

Corp.

(55,452)

(1,198,872)

(53,234)

(6.9)

82

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Valvoline,

Inc.

(69,611)

(2,432,208)

(83,533)

(10.8)

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

BBR

plus

or

minus

a

specified

spread

(-0.23%

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

$71,507,453

$157,217

$71,717

$228,934

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

Ampol

Ltd.

22,174

452,082

2,368

1.0

ANZ

Group

Holdings

Ltd.

121,139

1,866,767

19,581

8.6

Aristocrat

Leisure

Ltd.

39,087

977,273

70,380

30.7

Aurizon

Holdings

Ltd.

879,854

1,981,751

35,012

15.3

BHP

Group

Ltd.

92,909

2,937,218

242,482

105.9

BlueScope

Steel

Ltd.

250,076

3,384,872

85,068

37.2

Cochlear

Ltd.

5,810

924,954

35,783

15.6

Coles

Group

Ltd.

83,331

1,006,862

15,355

6.7

Harvey

Norman

Holdings

Ltd.

408,681

983,567

(46,332)

(20.2)

Incitec

Pivot

Ltd.

1,086,604

2,289,720

(54,565)

(23.8)

JB

Hi-Fi

Ltd.

99,539

2,840,778

30,254

13.2

New

Hope

Corp.

Ltd.

155,820

592,460

51,880

22.7

Origin

Energy

Ltd.

170,277

948,287

26,332

11.5

Pilbara

Minerals

Ltd.

446,259

1,187,229

92,461

40.4

Qantas

Airways

Ltd.

667,741

2,980,431

90,490

39.5

Qube

Holdings

Ltd.

412,118

795,791

(33,405)

(14.6)

Sonic

Healthcare

Ltd.

101,950

2,390,010

82,503

36.0

South32

Ltd.

828,770

2,428,901

129,837

56.7

Suncorp

Group

Ltd.

106,282

863,555

368

0.2

Telstra

Group

Ltd.

563,703

1,596,070

43,624

19.1

Westpac

Banking

Corp.

63,917

930,606

23,121

10.1

Whitehaven

Coal

Ltd.

471,353

2,121,988

17,238

7.5

United

States

Computershare

Ltd.

43,017

624,831

14,943

6.5

83

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Australia

Alumina

Ltd.

(1,166,566)

(1,143,510)

(20,592)

(9.0)

APA

Group

(86,882)

(590,208)

3,912

1.7

carsales.com

Ltd.

(65,557)

(979,752)

(39,779)

(17.4)

Cleanaway

Waste

Management

Ltd.

(571,715)

(914,858)

9,976

4.4

Commonwealth

Bank

of

Australia

(42,878)

(2,831,042)

(66,611)

(29.1)

Domino's

Pizza

Enterprises

Ltd.

(15,328)

(514,550)

(50,918)

(22.2)

Endeavour

Group

Ltd.

(134,177)

(609,606)

(13,163)

(5.7)

Fortescue

Metals

Group

Ltd.

(29,074)

(437,028)

(20,705)

(9.0)

IDP

Education

Ltd.

(121,725)

(2,243,206)

(18,584)

(8.1)

IGO

Ltd.

(87,577)

(750,985)

(36,786)

(16.1)

Insurance

Australia

Group

Ltd.

(170,790)

(537,595)

(2,163)

(0.9)

Lynas

Rare

Earths

Ltd.

(253,845)

(1,080,596)

35,693

15.6

Macquarie

Group

Ltd.

(8,178)

(968,273)

(7,302)

(3.2)

Medibank

Pvt

Ltd.

(240,311)

(542,303)

(15,417)

(6.7)

Mineral

Resources

Ltd.

(27,217)

(1,471,267)

(10,134)

(4.4)

NEXTDC

Ltd.

(66,006)

(467,110)

(16,628)

(7.3)

Northern

Star

Resources

Ltd.

(79,120)

(648,797)

(72,813)

(31.8)

Pro

Medicus

Ltd.

(23,153)

(998,578)

1,831

0.8

REA

Group

Ltd.

(18,553)

(1,729,945)

(130,300)

(56.9)

Reece

Ltd.

(92,758)

(1,087,108)

(87,602)

(38.3)

Transurban

Group

(183,414)

(1,751,308)

(14,023)

(6.1)

Wesfarmers

Ltd.

(47,080)

(1,591,234)

(46,341)

(20.2)

WiseTech

Global

Ltd.

(13,474)

(593,579)

(18,952)

(8.3)

Woodside

Energy

Group

Ltd.

(37,922)

(847,183)

(37,538)

(16.4)

Worley

Ltd.

(76,044)

(736,546)

(27,954)

(12.2)

United

States

CSL

Ltd.

(8,908)

(1,725,216)

(14,711)

(6.4)

James

Hardie

Industries

plc

(66,996)

(1,442,005)

(89,831)

(39.2)

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

(-0.02%

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

$139,763,626

$(552,079)

$264,091

$(287,988)

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

224,598

1,292,386

93,668

(32.5)

84

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

(%)

Netherlands

Shell

plc

199,542

5,686,668

236,796

(82.2)

Nigeria

Airtel

Africa

plc

1,024,319

1,343,799

(15,318)

5.3

United

Kingdom

Barclays

plc

2,862,519

5,152,263

219,138

(76.1)

Barratt

Developments

plc

764,261

4,398,158

319,638

(111.0)

BP

plc

538,749

3,405,177

215,425

(74.8)

British

American

Tobacco

plc

101,110

3,544,352

(109,927)

38.2

BT

Group

plc

756,880

1,363,390

77,236

(26.8)

Centrica

plc

3,435,082

4,498,704

210,337

(73.0)

DCC

plc

24,927

1,453,028

133,350

(46.3)

DS

Smith

plc

638,562

2,486,127

101,179

(35.1)

Howden

Joinery

Group

plc

230,726

1,992,209

89,983

(31.2)

Imperial

Brands

plc

125,900

2,895,156

(31,665)

11.0

Inchcape

plc

170,529

1,634,644

(118,865)

41.3

InterContinental

Hotels

Group

plc

28,773

1,883,644

22,320

(7.8)

Intertek

Group

plc

21,895

1,096,605

22,700

(7.9)

JD

Sports

Fashion

plc

863,094

1,900,727

172,698

(60.0)

Legal

&

General

Group

plc

969,181

2,866,458

143,652

(49.9)

Man

Group

plc

470,455

1,370,541

64,920

(22.5)

Marks

&

Spencer

Group

plc

1,394,100

2,876,008

440,336

(152.9)

Pearson

plc

143,059

1,497,102

18,892

(6.6)

Reckitt

Benckiser

Group

plc

21,388

1,627,146

94,222

(32.7)

Smiths

Group

plc

94,184

1,997,528

51,423

(17.9)

Taylor

Wimpey

plc

1,544,400

2,272,080

93,087

(32.3)

Travis

Perkins

plc

112,509

1,332,011

23,927

(8.3)

Vodafone

Group

plc

1,668,592

1,840,620

(19,534)

6.8

United

States

GSK

plc

230,747

4,077,144

84,065

(29.2)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(197,032)

(3,859,361)

(349,593)

121.4

Hong

Kong

Prudential

plc

(163,047)

(2,232,380)

(204,942)

71.2

United

Kingdom

abrdn

plc

(542,012)

(1,364,175)

(20,633)

7.2

Admiral

Group

plc

(75,017)

(1,883,747)

(112,051)

38.9

AstraZeneca

plc

(19,853)

(2,750,720)

(102,299)

35.5

B&M

European

Value

Retail

SA

(331,739)

(1,976,428)

(102,140)

35.5

Berkeley

Group

Holdings

plc

(45,104)

(2,336,746)

(116,699)

40.5

ConvaTec

Group

plc

(435,333)

(1,230,171)

(3,602)

1.3

Croda

International

plc

(21,539)

(1,731,165)

(45,568)

15.8

Diageo

plc

(54,252)

(2,421,249)

(95,596)

33.2

Halma

plc

(55,115)

(1,521,533)

(116,182)

40.3

NatWest

Group

plc

(357,723)

(1,167,261)

(28,740)

10.0

Next

plc

(16,742)

(1,360,788)

(2,238)

0.8

Ocado

Group

plc

(184,455)

(1,221,351)

(274,542)

95.3

Pennon

Group

plc

(151,407)

(1,635,950)

(27,811)

9.7

Rentokil

Initial

plc

(469,928)

(3,434,491)

(264,674)

91.9

Schroders

plc

(204,728)

(1,167,453)

(53,697)

18.6

Severn

Trent

plc

(77,000)

(2,735,267)

(63,277)

22.0

Spirax-Sarco

Engineering

plc

(10,622)

(1,559,552)

(97,987)

34.0

SSE

plc

(96,709)

(2,157,950)

(132,233)

45.9

St

James's

Place

plc

(81,148)

(1,217,664)

(68,523)

23.8

United

Utilities

Group

plc

(187,813)

(2,457,996)

(35,549)

12.3

85

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Experian

plc

(52,333)

(1,723,207)

(14,357)

5.0

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

(-0.03%

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

$37,380,323

$(538,532)

$57,241

$(481,291)

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.

448,000

1,394,739

(45,345)

9.4

SITC

International

Holdings

Co.

Ltd.

678,000

1,457,130

(29,185)

6.1

Hong

Kong

ASMPT

Ltd.

127,100

1,260,576

21,943

(4.6)

CK

Asset

Holdings

Ltd.

176,497

1,070,043

2,054

(0.4)

CLP

Holdings

Ltd.

69,000

498,603

(5,938)

1.2

Henderson

Land

Development

Co.

Ltd.

345,000

1,193,629

(12,787)

2.7

HKT

Trust

&

HKT

Ltd.

242,000

321,250

(1,215)

0.3

Man

Wah

Holdings

Ltd.

1,736,800

1,431,129

(132,847)

27.6

New

World

Development

Co.

Ltd.

884,000

2,369,652

(51,525)

10.7

Sino

Land

Co.

Ltd.

522,000

705,912

19,656

(4.1)

Sun

Hung

Kai

Properties

Ltd.

79,500

1,113,764

41,260

(8.6)

Swire

Pacific

Ltd.

65,000

499,524

(1,852)

0.4

WH

Group

Ltd.

2,861,000

1,705,576

58,203

(12.1)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

674,000

4,169,801

(20,491)

4.3

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(584,600)

(1,779,130)

(25,307)

5.3

ESR

Group

Ltd.

(659,200)

(1,182,133)

(115,643)

24.0

Xinyi

Glass

Holdings

Ltd.

(81,000)

(144,901)

1,810

(0.4)

Hong

Kong

AIA

Group

Ltd.

(267,200)

(2,802,222)

(114,871)

23.9

Hang

Lung

Properties

Ltd.

(75,000)

(140,341)

4,120

(0.9)

Hang

Seng

Bank

Ltd.

(54,300)

(771,892)

40,889

(8.5)

Hong

Kong

&

China

Gas

Co.

Ltd.

(1,061,045)

(934,158)

38,469

(8.0)

MTR

Corp.

Ltd.

(179,639)

(866,990)

11,742

(2.4)

Power

Assets

Holdings

Ltd.

(112,500)

(603,543)

7,691

(1.6)

86

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Swire

Properties

Ltd.

(31,400)

(80,814)

(213)

0.0

Techtronic

Industries

Co.

Ltd.

(282,000)

(3,055,502)

31,570

(6.6)

Wharf

Real

Estate

Investment

Co.

Ltd.

(681,000)

(3,920,769)

(238,117)

49.5

Macau

Galaxy

Entertainment

Group

Ltd.

(193,000)

(1,291,009)

(21,126)

4.4

Sands

China

Ltd.

(177,200)

(615,591)

(1,477)

0.3

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

(-0.15%

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

$532,829,155

$(168,581)

$1,798,640

$1,630,059

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

Dai-ichi

Life

Holdings,

Inc.

173,700

3,193,211

102,016

6.3

Dentsu

Group,

Inc.

97,600

3,440,234

99,101

6.1

Fukuoka

Financial

Group,

Inc.

184,600

3,551,876

(26,510)

(1.6)

Honda

Motor

Co.

Ltd.

180,500

4,774,435

206,708

12.7

IHI

Corp.

131,900

3,313,221

201,207

12.3

Inpex

Corp.

288,400

3,052,000

104,002

6.4

Japan

Post

Bank

Co.

Ltd.

395,300

3,228,596

(106,672)

(6.5)

Japan

Tobacco,

Inc.

251,900

5,321,022

129,394

7.9

JFE

Holdings,

Inc.

314,900

3,996,849

178,442

10.9

KDDI

Corp.

115,000

3,546,344

27,222

1.7

Mazda

Motor

Corp.

512,200

4,724,530

315,232

19.3

Mitsubishi

Corp.

122,500

4,402,216

123,134

7.6

Mitsubishi

HC

Capital,

Inc.

633,700

3,272,267

(11,375)

(0.7)

Mitsubishi

Motors

Corp.

1,618,200

6,376,998

526,980

32.3

Mizuho

Financial

Group,

Inc.

552,600

7,828,999

52,436

3.2

Nippon

Steel

Corp.

187,300

4,416,814

183,431

11.3

Ono

Pharmaceutical

Co.

Ltd.

158,500

3,302,853

(59,784)

(3.7)

SCREEN

Holdings

Co.

Ltd.

37,600

3,335,276

174,922

10.7

Shimamura

Co.

Ltd.

41,100

4,183,191

28,842

1.8

Shin-Etsu

Chemical

Co.

Ltd.

114,000

3,700,559

239,562

14.7

Subaru

Corp.

411,600

6,570,622

267,116

16.4

Suntory

Beverage

&

Food

Ltd.

88,000

3,277,864

68,918

4.2

TOPPAN,

Inc.

156,700

3,157,871

130,679

8.0

Toyo

Suisan

Kaisha

Ltd.

87,300

3,648,357

(7,288)

(0.4)

87

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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.

(235,300)

(4,565,009)

(52,176)

(3.2)

Ajinomoto

Co.,

Inc.

(138,600)

(4,821,599)

(134,617)

(8.3)

Asahi

Intecc

Co.

Ltd.

(173,900)

(3,072,510)

(66,669)

(4.1)

Capcom

Co.

Ltd.

(103,100)

(3,690,011)

(102,574)

(6.3)

Chiba

Bank

Ltd.

(The)

(590,100)

(3,808,663)

(13,190)

(0.8)

Daiichi

Sankyo

Co.

Ltd.

(141,100)

(5,146,996)

(280,892)

(17.2)

Daikin

Industries

Ltd.

(24,300)

(4,359,579)

(222,494)

(13.6)

Denso

Corp.

(97,500)

(5,503,626)

(308,277)

(18.9)

Eisai

Co.

Ltd.

(58,900)

(3,345,496)

(13,795)

(0.8)

JSR

Corp.

(230,000)

(5,440,943)

(88,279)

(5.4)

Kansai

Electric

Power

Co.,

Inc.

(The)

(409,200)

(3,985,169)

(68,067)

(4.2)

Kobe

Bussan

Co.

Ltd.

(145,600)

(4,065,469)

(156,118)

(9.6)

Kubota

Corp.

(281,000)

(4,260,335)

(175,755)

(10.8)

Kurita

Water

Industries

Ltd.

(74,600)

(3,417,204)

(91,036)

(5.6)

Makita

Corp.

(182,600)

(4,547,630)

(18,876)

(1.2)

Mitsubishi

UFJ

Financial

Group,

Inc.

(886,400)

(5,680,644)

(66,833)

(4.1)

NIDEC

Corp.

(81,600)

(4,246,547)

(267,620)

(16.4)

Nippon

Paint

Holdings

Co.

Ltd.

(366,600)

(3,447,176)

(86,964)

(5.3)

Rakuten

Group,

Inc.

(680,800)

(3,175,112)

44,940

2.8

SoftBank

Group

Corp.

(84,400)

(3,318,061)

(201,373)

(12.4)

Tokyu

Corp.

(230,700)

(3,071,110)

(119,927)

(7.4)

Toyota

Motor

Corp.

(637,600)

(9,076,497)

(480,391)

(29.5)

Unicharm

Corp.

(87,300)

(3,588,532)

(78,779)

(4.8)

Yamaha

Corp.

(87,700)

(3,387,322)

(154,096)

(9.5)

Yaskawa

Electric

Corp.

(131,300)

(5,758,807)

(290,240)

(17.8)

Z

Holdings

Corp.

(1,270,700)

(3,603,009)

36,564

2.2

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

ESTR

plus

or

minus

a

specified

spread

(-0.08%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-59

months

maturity

ranging

from

01/13/2025

-

01/03/2028

$79,398,494

$(1,053,152)

$(38,098)

$(1,091,250)

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

Air

France-KLM

958,191

1,765,717

(127,629)

11.7

Amundi

SA

7,546

475,467

(30,282)

2.8

Arkema

SA

7,203

711,201

(46,060)

4.2

88

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Atos

SE

16,431

203,832

(67,291)

6.2

BioMerieux

1,106

116,590

315

(0.0)

Bouygues

SA

48,315

1,629,477

(73,446)

6.7

Capgemini

SE

5,662

1,052,201

(51,543)

4.7

Cie

de

Saint-Gobain

77,923

4,429,424

(335,108)

30.7

Dassault

Aviation

SA

10,990

2,174,154

38,331

(3.5)

Eiffage

SA

36,787

3,980,941

(232,024)

21.3

Electricite

de

France

SA

151,597

1,954,828

6,606

(0.6)

Engie

SA

33,551

530,935

17,891

(1.6)

Ipsen

SA

17,988

1,980,695

(157,380)

14.4

La

Francaise

des

Jeux

SAEM

32,449

1,352,398

40,832

(3.7)

Orange

SA

121,833

1,447,397

15,131

(1.4)

Publicis

Groupe

SA

13,622

1,063,331

(57,058)

5.2

Rexel

SA

134,445

3,196,393

(415,211)

38.0

Rubis

SCA

41,659

1,114,720

(73,041)

6.7

Safran

SA

3,086

456,841

1,949

(0.2)

Sodexo

SA

11,877

1,160,034

48,953

(4.5)

Thales

SA

11,661

1,724,042

61,047

(5.6)

TotalEnergies

SE

39,499

2,329,008

(176,080)

16.1

Luxembourg

SES

SA

122,562

804,616

(82,217)

7.5

Singapore

STMicroelectronics

NV

72,754

3,876,602

165,065

(15.1)

United

States

Sanofi

25,849

2,804,067

284,439

(26.1)

Short

Positions

Common

Stocks

France

Accor

SA

(22,153)

(720,218)

30,561

(2.8)

Aeroports

de

Paris

(10,287)

(1,468,591)

86,033

(7.9)

Air

Liquide

SA

(32,331)

(5,411,845)

(140,478)

12.9

Airbus

SE

(11,070)

(1,478,593)

16,082

(1.5)

Alstom

SA

(97,069)

(2,642,831)

292,134

(26.8)

Bollore

SE

(185,131)

(1,144,414)

(89,344)

8.2

Bureau

Veritas

SA

(15,160)

(435,584)

4,706

(0.4)

Cie

Generale

des

Etablissements

Michelin

SCA

(107,227)

(3,277,746)

142,275

(13.0)

EssilorLuxottica

SA

(13,608)

(2,453,834)

(65,272)

6.0

Faurecia

SE

(17,512)

(380,598)

62,860

(5.8)

Hermes

International

(564)

(1,142,245)

(85,300)

7.8

Kering

SA

(281)

(183,332)

(6,885)

0.6

Legrand

SA

(3,657)

(334,149)

20,493

(1.9)

L'Oreal

SA

(8,311)

(3,713,710)

(326,069)

29.9

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(1,250)

(1,147,386)

(55,836)

5.1

Pernod

Ricard

SA

(5,893)

(1,334,358)

(47,858)

4.4

Remy

Cointreau

SA

(7,347)

(1,337,766)

(7,937)

0.7

Sartorius

Stedim

Biotech

(8,652)

(2,654,393)

259,996

(23.8)

SEB

SA

(4,896)

(557,087)

2,556

(0.2)

SOITEC

(7,309)

(1,172,899)

(1,742)

0.2

Valeo

(13,286)

(272,626)

33,702

(3.1)

Veolia

Environnement

SA

(11,469)

(353,901)

(3,892)

0.4

Worldline

SA

(17,336)

(736,755)

29,006

(2.7)

Luxembourg

Eurofins

Scientific

SE

(6,878)

(460,549)

(317)

0.0

United

States

Schneider

Electric

SE

(12,192)

(2,037,575)

46,248

(4.2)

89

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

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

(-2.23%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-61

months

maturity

ranging

from

01/13/2025

-

04/04/2028

$755,175,673

$(7,075,581)

$(727,576)

$(7,803,157)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Adobe,

Inc.

9,188

3,540,780

419,470

(5.4)

Alphabet,

Inc.

34,554

3,584,286

394,261

(5.1)

Amazon.com,

Inc.

45,146

4,663,130

406,247

(5.2)

American

International

Group,

Inc.

128,111

6,451,670

(380,004)

4.9

Analog

Devices,

Inc.

16,712

3,295,941

212,419

(2.7)

Booking

Holdings,

Inc.

1,854

4,917,568

309,676

(4.0)

Citigroup,

Inc.

80,229

3,761,938

(137,192)

1.8

Coca-Cola

Co.

(The)

62,178

3,856,901

146,860

(1.9)

Dick's

Sporting

Goods,

Inc.

28,919

4,103,317

(164,241)

2.1

Gap,

Inc.

(The)

310,058

3,112,982

(181,539)

2.3

General

Motors

Co.

149,915

5,498,882

46,028

(0.6)

Healthpeak

Properties,

Inc.

136,075

2,989,568

70,983

(0.9)

Intel

Corp.

116,951

3,820,789

728,604

(9.3)

KLA

Corp.

7,743

3,090,773

133,724

(1.7)

ManpowerGroup,

Inc.

40,323

3,327,857

5,822

(0.1)

McDonald's

Corp.

17,767

4,967,831

263,398

(3.4)

Meta

Platforms,

Inc.

18,892

4,003,970

571,482

(7.3)

NRG

Energy,

Inc.

108,082

3,706,132

138,345

(1.8)

Republic

Services,

Inc.

22,564

3,051,104

137,705

(1.8)

Salesforce,

Inc.

15,016

2,999,896

284,077

(3.6)

Stifel

Financial

Corp.

46,396

2,741,540

(81,333)

1.0

Synchrony

Financial

96,769

2,814,043

(341,463)

4.4

Texas

Roadhouse,

Inc.

32,147

3,473,805

163,542

(2.1)

Tyson

Foods,

Inc.

69,189

4,104,291

116,238

(1.5)

Ulta

Beauty,

Inc.

5,271

2,876,227

131,095

(1.7)

Unum

Group

82,391

3,259,388

(142,478)

1.8

Short

Positions

Common

Stocks

United

States

Atmos

Energy

Corp.

(27,704)

(3,112,821)

(33,736)

0.4

Churchill

Downs,

Inc.

(10,661)

(2,740,410)

(124,563)

1.6

Commerce

Bancshares,

Inc.

(47,849)

(2,791,989)

156,466

(2.0)

Dollar

Tree,

Inc.

(24,354)

(3,496,017)

(96,745)

1.2

Envestnet,

Inc.

(70,415)

(4,131,248)

(79,748)

1.0

Equifax,

Inc.

(16,959)

(3,439,964)

(94,682)

1.2

90

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Foot

Locker,

Inc.

(100,190)

(3,976,541)

329,405

(4.2)

Freshpet,

Inc.

(46,754)

(3,094,647)

(299,226)

3.8

GameStop

Corp.

(216,026)

(4,972,919)

(1,261,087)

16.2

Home

Depot,

Inc.

(The)

(16,410)

(4,842,919)

(114,834)

1.5

Hormel

Foods

Corp.

(69,601)

(2,775,688)

(22,609)

0.3

JPMorgan

Chase

&

Co.

(22,220)

(2,895,488)

(29,199)

0.4

McCormick

&

Co.,

Inc.

(Non-Voting)

(52,090)

(4,334,409)

(583,247)

7.5

Morgan

Stanley

(47,727)

(4,190,431)

97,731

(1.3)

NVIDIA

Corp.

(12,402)

(3,444,904)

(538,372)

6.9

Philip

Morris

International,

Inc.

(29,578)

(2,876,460)

15,796

(0.2)

Progressive

Corp.

(The)

(21,501)

(3,075,933)

(33,959)

0.4

Realty

Income

Corp.

(46,082)

(2,917,912)

1,617

(0.0)

Regions

Financial

Corp.

(152,396)

(2,828,470)

320,032

(4.1)

RH

(11,905)

(2,899,463)

143,207

(1.8)

Saia,

Inc.

(10,775)

(2,931,662)

75,821

(1.0)

United

Parcel

Service,

Inc.

(15,140)

(2,937,009)

(150,965)

1.9

Welltower,

Inc.

(58,168)

(4,170,064)

968

(0.0)

World

Wrestling

Entertainment,

Inc.

(34,207)

(3,121,731)

(347,970)

4.5

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

CDOR

plus

or

minus

a

specified

spread

(-0.95%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-62

months

maturity

ranging

from

01/21/2025

-

04/04/2028

$89,664,649

$675,633

$28,428

$704,061

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

123,482

1,749,671

94,383

13.4

Alimentation

Couche-Tard,

Inc.

19,457

978,249

91,525

13.0

ARC

Resources

Ltd.

191,091

2,167,536

57,472

8.2

Atco

Ltd.

66,691

2,137,665

61,267

8.7

Bank

of

Montreal

16,628

1,481,079

40,724

5.8

Bank

of

Nova

Scotia

(The)

52,337

2,636,019

87,519

12.4

Canadian

Imperial

Bank

of

Commerce

31,629

1,341,219

6,787

1.0

Canadian

Tire

Corp.

Ltd.

5,988

781,431

54,098

7.7

Capital

Power

Corp.

40,130

1,236,414

22,479

3.2

Empire

Co.

Ltd.

66,330

1,778,125

99,333

14.1

Fairfax

Financial

Holdings

Ltd.

1,853

1,232,358

20,635

2.9

Finning

International,

Inc.

61,992

1,545,328

26,837

3.8

George

Weston

Ltd.

11,642

1,542,791

121,632

17.3

iA

Financial

Corp.,

Inc.

16,219

1,027,983

52,563

7.5

91

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Imperial

Oil

Ltd.

42,845

2,178,866

227,297

32.3

Loblaw

Cos.

Ltd.

13,267

1,209,098

68,206

9.7

Manulife

Financial

Corp.

102,879

1,887,828

56,330

8.0

Nutrien

Ltd.

32,126

2,372,546

(713)

(0.1)

Open

Text

Corp.

44,742

1,725,786

50,982

7.2

Suncor

Energy,

Inc.

68,044

2,112,561

119,507

17.0

Teck

Resources

Ltd.

26,190

956,327

34,266

4.9

Toromont

Industries

Ltd.

12,400

1,017,782

28,993

4.1

Tourmaline

Oil

Corp.

26,981

1,124,358

49,310

7.0

West

Fraser

Timber

Co.

Ltd.

30,954

2,207,892

(99,861)

(14.2)

Whitecap

Resources,

Inc.

147,759

1,142,495

101,677

14.4

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(32,596)

(1,569,866)

(70,667)

(10.0)

Canada

Agnico

Eagle

Mines

Ltd.

(16,375)

(834,804)

11,026

1.6

Algonquin

Power

&

Utilities

Corp.

(210,731)

(1,768,176)

(56,909)

(8.1)

Brookfield

Corp.

(32,644)

(1,063,496)

(113,925)

(16.2)

Brookfield

Infrastructure

Corp.

(16,523)

(761,537)

(17,972)

(2.6)

Cameco

Corp.

(64,814)

(1,697,201)

(54,671)

(7.8)

Canadian

Pacific

Railway

Ltd.

(32,446)

(2,498,450)

49,695

7.1

Constellation

Software,

Inc.

(730)

(1,372,449)

(121,380)

(17.2)

Dollarama,

Inc.

(14,211)

(849,295)

(29,863)

(4.2)

Element

Fleet

Management

Corp.

(121,653)

(1,597,736)

57,609

8.2

Enbridge,

Inc.

(47,687)

(1,818,210)

(47,281)

(6.7)

Fortis,

Inc.

(28,628)

(1,216,928)

9,744

1.4

Franco-Nevada

Corp.

(8,932)

(1,302,823)

(201)

(0.0)

GFL

Environmental,

Inc.

(32,188)

(1,109,849)

(36,916)

(5.2)

Intact

Financial

Corp.

(7,846)

(1,122,881)

(23,338)

(3.3)

Metro,

Inc.

(17,057)

(938,230)

(55,405)

(7.9)

Pan

American

Silver

Corp.

(81,014)

(1,478,213)

(27,754)

(3.9)

Rogers

Communications,

Inc.

(41,328)

(1,915,491)

(35,472)

(5.0)

Royal

Bank

of

Canada

(17,176)

(1,642,618)

(25,291)

(3.6)

Shopify,

Inc.

(21,028)

(1,008,224)

(53,523)

(7.6)

TC

Energy

Corp.

(21,975)

(854,773)

(25,040)

(3.6)

Thomson

Reuters

Corp.

(9,594)

(1,248,249)

(36,204)

(5.1)

TMX

Group

Ltd.

(8,357)

(844,048)

(9,894)

(1.4)

WSP

Global,

Inc.

(8,321)

(1,089,949)

(29,307)

(4.2)

United

States

Brookfield

Renewable

Corp.

(33,941)

(1,186,868)

(108,993)

(15.5)

92

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

(-1.80%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-62

months

maturity

ranging

from

01/21/2025

-

04/04/2028

$80,870,323

$345,588

$247,157

$592,745

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

Air

France-KLM

636,125

1,172,226

44,200

7.5

AXA

SA

42,146

1,286,194

99,175

16.7

Dassault

Systemes

SE

16,041

661,708

7,340

1.2

Engie

SA

33,286

526,741

41,864

7.1

Getlink

SE

35,650

587,142

(3,022)

(0.5)

Renault

SA

13,457

548,456

32,335

5.5

Safran

SA

4,435

656,543

39,066

6.6

Sodexo

SA

17,307

1,690,386

101,224

17.1

Thales

SA

10,124

1,496,802

96,918

16.4

Italy

A2A

SpA

332,428

530,493

16,717

2.8

Assicurazioni

Generali

SpA

76,127

1,516,801

86,174

14.5

Banco

BPM

SpA

503,394

1,966,433

38,205

6.4

Buzzi

Unicem

SpA

69,917

1,696,986

106,936

18.0

Enel

SpA

133,380

813,478

48,710

8.2

Leonardo

SpA

264,633

3,103,502

108,715

18.3

Pirelli

&

C

SpA

415,527

2,081,652

93,502

15.8

Poste

Italiane

SpA

118,435

1,207,750

49,149

8.3

Prysmian

SpA

71,326

2,995,030

231,969

39.1

Snam

SpA

186,578

989,244

44,298

7.5

UniCredit

SpA

162,300

3,059,009

260,733

44.0

Unipol

Gruppo

SpA

526,267

2,701,661

145,331

24.5

United

States

Sanofi

6,247

677,667

69,283

11.7

Stellantis

NV

365,011

6,638,192

416,944

70.3

Tenaris

SA

131,162

1,858,460

(20,217)

(3.4)

Short

Positions

Common

Stocks

France

Alstom

SA

(35,712)

(972,306)

(17,676)

(3.0)

Carrefour

SA

(24,534)

(496,018)

(35,582)

(6.0)

Faurecia

SE

(32,566)

(707,774)

(44,329)

(7.5)

Kering

SA

(1,907)

(1,244,181)

(112,700)

(19.0)

Remy

Cointreau

SA

(2,451)

(446,286)

(7,432)

(1.3)

SEB

SA

(4,493)

(511,232)

(13,620)

(2.3)

93

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Ubisoft

Entertainment

SA

(36,462)

(971,828)

(32,949)

(5.6)

Valeo

(43,499)

(892,590)

(71,987)

(12.1)

Italy

Amplifon

SpA

(15,100)

(523,374)

(34,880)

(5.9)

Banca

Generali

SpA

(23,043)

(733,581)

(34,107)

(5.8)

Davide

Campari-Milano

NV

(135,798)

(1,656,985)

(53,286)

(9.0)

DiaSorin

SpA

(8,816)

(929,048)

81,545

13.8

Ferrari

NV

(17,347)

(4,700,756)

(148,053)

(25.0)

FinecoBank

Banca

Fineco

SpA

(226,707)

(3,473,402)

(337,410)

(56.9)

Hera

SpA

(172,032)

(486,285)

(39,827)

(6.7)

Infrastrutture

Wireless

Italiane

SpA

(214,466)

(2,817,724)

(230,186)

(38.8)

Interpump

Group

SpA

(11,323)

(634,973)

(35,474)

(6.0)

Intesa

Sanpaolo

SpA

(512,875)

(1,316,265)

(86,901)

(14.7)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(91,076)

(915,216)

(41,071)

(6.9)

Moncler

SpA

(30,562)

(2,110,964)

(136,215)

(23.0)

Nexi

SpA

(174,287)

(1,416,455)

(81,809)

(13.8)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(26,971)

(1,140,856)

(21,164)

(3.6)

Telecom

Italia

SpA

(4,775,965)

(1,575,040)

(108,714)

(18.3)

Terna

-

Rete

Elettrica

Nazionale

(128,661)

(1,055,971)

(48,543)

(8.2)

Luxembourg

Eurofins

Scientific

SE

(29,848)

(1,998,614)

(12,394)

(2.1)

United

Kingdom

CNH

Industrial

NV

(33,972)

(519,812)

(39,936)

(6.7)

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

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-59

months

maturity

ranging

from

01/21/2025

-

01/20/2028

$12,267,901

$(63,340)

$(10,476)

$(73,816)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

177,300

561,706

6,145

(8.3)

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,913,600

1,730,885

(23,393)

31.7

Singapore

City

Developments

Ltd.

251,000

1,392,788

31,035

(42.0)

Genting

Singapore

Ltd.

578,300

488,089

27,465

(37.2)

Jardine

Cycle

&

Carriage

Ltd.

12,300

289,653

31,642

(42.9)

Oversea-Chinese

Banking

Corp.

Ltd.

107,200

999,296

11,614

(15.7)

Singapore

Airlines

Ltd.

387,400

1,671,039

3,004

(4.1)

94

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

(%)

Singapore

(continued)

Singapore

Telecommunications

Ltd.

231,300

428,569

7,419

(10.1)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(74,800)

(1,859,658)

(30,127)

40.8

Keppel

Corp.

Ltd.

(122,200)

(518,461)

(22,135)

30.0

Singapore

Technologies

Engineering

Ltd.

(470,400)

(1,294,944)

(62,730)

85.0

Venture

Corp.

Ltd.

(77,600)

(1,032,813)

(43,279)

58.6

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

OBFR

plus

or

minus

a

specified

spread

(-6.57%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-63

months

maturity

ranging

from

01/22/2025

-

04/04/2028

$443,336,400

$2,442,414

$(5,254,901)

$(2,812,487)

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

3M

Co.

27,107

2,849,217

56,654

(2.0)

AGCO

Corp.

26,742

3,615,518

433,220

(15.4)

Allison

Transmission

Holdings,

Inc.

105,615

4,778,023

348,831

(12.4)

Arrow

Electronics,

Inc.

22,162

2,767,369

183,280

(6.5)

Builders

FirstSource,

Inc.

31,888

2,831,017

277,107

(9.9)

Cardinal

Health,

Inc.

47,974

3,622,037

271,827

(9.7)

Centene

Corp.

42,860

2,709,181

28,288

(1.0)

Cigna

Group

(The)

18,218

4,655,246

(214,023)

7.6

Cisco

Systems,

Inc.

86,651

4,529,681

180,667

(6.4)

CVS

Health

Corp.

69,275

5,147,825

(4,308)

0.2

Deckers

Outdoor

Corp.

5,125

2,303,944

179,610

(6.4)

EMCOR

Group,

Inc.

21,695

3,527,390

47,512

(1.7)

F5,

Inc.

15,936

2,321,716

76,956

(2.7)

General

Dynamics

Corp.

14,126

3,223,694

142,108

(5.1)

Hewlett

Packard

Enterprise

Co.

182,636

2,909,391

334,224

(11.9)

Huntington

Ingalls

Industries,

Inc.

16,164

3,346,271

110,563

(3.9)

Marathon

Oil

Corp.

97,196

2,328,816

268,261

(9.5)

Marathon

Petroleum

Corp.

20,076

2,706,847

224,249

(8.0)

McKesson

Corp.

6,470

2,303,644

91,431

(3.3)

Owens

Corning

43,325

4,150,535

249,474

(8.9)

PACCAR,

Inc.

41,354

3,027,113

186,507

(6.6)

Syneos

Health,

Inc.

79,493

2,831,541

175,680

(6.2)

95

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

TD

SYNNEX

Corp.

36,364

3,519,672

181,156

(6.4)

Textron,

Inc.

45,085

3,184,354

200,177

(7.1)

Valero

Energy

Corp.

20,663

2,884,555

273,371

(9.7)

Vishay

Intertechnology,

Inc.

135,119

3,056,392

218,893

(7.8)

Vontier

Corp.

96,892

2,649,027

203,473

(7.2)

Walmart,

Inc.

42,095

6,206,908

310,293

(11.0)

WESCO

International,

Inc.

15,094

2,332,627

230,669

(8.2)

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(22,906)

(3,650,529)

(101,320)

3.6

agilon

health,

Inc.

(168,013)

(3,990,309)

490,274

(17.4)

Axon

Enterprise,

Inc.

(9,967)

(2,241,080)

(116,913)

4.2

Catalent,

Inc.

(36,157)

(2,375,876)

50,620

(1.8)

CNX

Resources

Corp.

(152,215)

(2,438,484)

(166,196)

5.9

Eli

Lilly

&

Co.

(12,295)

(4,222,349)

(164,762)

5.9

General

Electric

Co.

(49,872)

(4,767,763)

(233,845)

8.3

Hanesbrands,

Inc.

(545,077)

(2,867,105)

(90,366)

3.2

Hess

Corp.

(24,568)

(3,251,329)

(344,198)

12.2

Honeywell

International,

Inc.

(18,266)

(3,490,998)

(118,364)

4.2

ICU

Medical,

Inc.

(17,486)

(2,884,491)

(129,758)

4.6

Mercury

Systems,

Inc.

(41,734)

(2,133,442)

(204,914)

7.3

Novanta,

Inc.

(22,554)

(3,588,116)

(243,132)

8.6

Penumbra,

Inc.

(10,174)

(2,835,392)

(159,630)

5.7

Plug

Power,

Inc.

(204,677)

(2,398,814)

(101,526)

3.6

Quanta

Services,

Inc.

(29,796)

(4,965,205)

(343,846)

12.2

Repligen

Corp.

(13,937)

(2,346,433)

25,923

(0.9)

Seagate

Technology

Holdings

plc

(32,878)

(2,173,893)

(153,686)

5.5

Stryker

Corp.

(7,485)

(2,136,743)

(82,560)

2.9

Teledyne

Technologies,

Inc.

(6,024)

(2,694,897)

(235,538)

8.4

Zoetis,

Inc.

(13,310)

(2,215,316)

(26,221)

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

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-64

months

maturity

05/12/2023

$61,213,698

$392,997

$184,923

$577,920

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

96

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Austria

ams-OSRAM

AG

101,001

787,071

13,990

2.4

Switzerland

ABB

Ltd.

(Registered)

59,193

2,036,330

116,819

20.2

Adecco

Group

AG

(Registered)

17,741

646,217

39,500

6.8

Alcon,

Inc.

8,424

597,999

13,439

2.3

Baloise

Holding

AG

(Registered)

2,339

364,221

19,359

3.3

Barry

Callebaut

AG

(Registered)

904

1,915,367

71,699

12.4

Chocoladefabriken

Lindt

&

Spruengli

AG

20

236,213

9,006

1.6

Clariant

AG

(Registered)

89,544

1,485,477

70,154

12.1

DKSH

Holding

AG

19,699

1,588,139

17,515

3.0

Galenica

AG

9,387

794,120

54,050

9.4

Georg

Fischer

AG

(Registered)

16,117

1,254,391

86,085

14.9

Helvetia

Holding

AG

(Registered)

8,011

1,116,641

113,242

19.6

Julius

Baer

Group

Ltd.

4,615

315,243

37,319

6.5

Kuehne

+

Nagel

International

AG

(Registered)

429

127,771

10,130

1.8

Novartis

AG

(Registered)

51,560

4,734,164

400,657

69.3

Sonova

Holding

AG

(Registered)

8,948

2,639,560

227,869

39.4

Stadler

Rail

AG

6,462

252,671

15,223

2.6

Swatch

Group

AG

(The)

5,987

2,061,868

100,907

17.5

Temenos

AG

(Registered)

6,540

455,093

34,795

6.0

UBS

Group

AG

(Registered)

117,137

2,478,713

288,195

49.9

United

States

Holcim

AG

22,119

1,426,484

66,419

11.5

Roche

Holding

AG

9,331

2,666,264

(1,581)

(0.3)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(19,397)

(1,950,604)

(63,798)

(11.0)

Belimo

Holding

AG

(Registered)

(1,443)

(697,441)

(4,837)

(0.8)

BKW

AG

(4,483)

(704,855)

(46,333)

(8.0)

Cie

Financiere

Richemont

SA

(Registered)

(4,424)

(709,416)

(64,395)

(11.1)

Dufry

AG

(Registered)

(7,578)

(337,967)

(6,519)

(1.1)

EMS-Chemie

Holding

AG

(Registered)

(1,697)

(1,402,790)

(65,518)

(11.3)

Flughafen

Zurich

AG

(Registered)

(680)

(124,587)

(3,815)

(0.7)

Geberit

AG

(Registered)

(2,028)

(1,132,531)

(25,825)

(4.5)

Givaudan

SA

(Registered)

(489)

(1,591,592)

(33,655)

(5.8)

Logitech

International

SA

(Registered)

(37,469)

(2,186,936)

(170,462)

(29.5)

Lonza

Group

AG

(Registered)

(712)

(428,624)

(13,384)

(2.3)

Partners

Group

Holding

AG

(1,824)

(1,717,702)

(221,741)

(38.4)

Schindler

Holding

AG

(3,470)

(768,875)

34,768

6.0

SGS

SA

(Registered)

(218)

(480,853)

19,025

3.3

SIG

Group

AG

(159,114)

(4,099,284)

(116,166)

(20.1)

Sika

AG

(Registered)

(8,698)

(2,439,749)

(22,239)

(3.8)

Straumann

Holding

AG

(Registered)

(16,911)

(2,536,391)

(189,977)

(32.9)

Swiss

Life

Holding

AG

(Registered)

(665)

(410,376)

(22,111)

(3.8)

Swisscom

AG

(Registered)

(710)

(453,102)

(1,626)

(0.3)

Tecan

Group

AG

(Registered)

(2,791)

(1,222,569)

(37,778)

(6.5)

VAT

Group

AG

(6,813)

(2,461,426)

(222,783)

(38.5)

Zurich

Insurance

Group

AG

(1,519)

(727,903)

(61,333)

(10.6)

United

States

Nestle

SA

(Registered)

(18,278)

(2,228,647)

(44,356)

(7.7)

Swiss

Re

AG

(4,083)

(419,461)

(26,936)

(4.7)

97

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

(-2.13%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-25

months

maturity

02/21/2024

$26,247,428

$(655,283)

$783,057

$127,774

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

1,751

3,182,810

(789,713)

(618.1)

Carlsberg

A/S

10,256

1,591,392

81,960

64.1

Demant

A/S

5,866

205,934

17,214

13.5

Genmab

A/S

4,075

1,540,372

49,030

38.4

H

Lundbeck

A/S

18,950

87,687

2,721

2.1

H

Lundbeck

A/S

4,581

19,419

1,427

1.1

ISS

A/S

143,531

2,929,332

207,628

162.5

Novo

Nordisk

A/S

1,031

163,745

862

0.7

Pandora

A/S

27,119

2,603,105

299,943

234.7

ROCKWOOL

A/S

3,010

738,105

35,243

27.6

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(60,793)

(914,153)

11,988

9.4

Coloplast

A/S

(9,279)

(1,221,741)

(90,596)

(70.9)

DSV

A/S

(4,169)

(808,359)

(33,569)

(26.3)

GN

Store

Nord

A/S

(78)

(1,749)

(70)

(0.1)

Novozymes

A/S

(67,525)

(3,457,495)

(130,075)

(101.8)

Orsted

A/S

(7,671)

(654,091)

(31,196)

(24.4)

Royal

Unibrew

A/S

(10,511)

(916,259)

(67,954)

(53.2)

SimCorp

A/S

(410)

(31,012)

(1,360)

(1.1)

Tryg

A/S

(88,146)

(1,927,364)

(64,189)

(50.2)

Vestas

Wind

Systems

A/S

(111,627)

(3,253,304)

(154,577)

(121.0)

98

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

(-0.68%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-73

months

maturity

12/18/2023

$176,984,315

$119,122

$1,544

$120,666

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

316,715

3,062,715

234,050

194.0

Finland

Nokia

OYJ

441,608

2,167,803

121,715

100.9

Stora

Enso

OYJ

113,608

1,478,026

84,788

70.3

Germany

BASF

SE

43,460

2,281,593

164,642

136.4

Bayer

AG

(Registered)

44,056

2,814,368

147,837

122.5

Bayerische

Motoren

Werke

AG

26,348

2,887,706

165,390

137.1

Brenntag

SE

23,442

1,764,156

82,043

68.0

Deutsche

Bank

AG

(Registered)

473,131

4,811,364

21,990

18.2

Deutsche

Lufthansa

AG

(Registered)

295,858

3,290,682

237,169

196.6

GEA

Group

AG

46,149

2,105,205

11,090

9.2

HeidelbergCement

AG

23,997

1,752,194

193,312

160.2

HUGO

BOSS

AG

24,264

1,744,837

260,184

215.6

TeamViewer

SE

106,701

1,817,695

90,615

75.1

thyssenkrupp

AG

652,768

4,700,976

269,515

223.4

Luxembourg

ArcelorMittal

SA

123,694

3,747,469

393,816

326.4

Netherlands

Koninklijke

Ahold

Delhaize

NV

73,261

2,502,972

82,063

68.0

NN

Group

NV

53,798

1,953,402

(11,622)

(9.6)

OCI

NV

62,674

2,124,640

123,605

102.4

Spain

Acerinox

SA

217,947

2,242,939

115,226

95.5

ACS

Actividades

de

Construccion

y

Servicios

SA

47,513

1,513,276

62,252

51.6

Banco

de

Sabadell

SA

2,977,988

3,202,652

29,220

24.2

Banco

Santander

SA

622,907

2,321,251

201,061

166.6

Industria

de

Diseno

Textil

SA

44,021

1,478,895

112,077

92.9

Mapfre

SA

985,023

1,985,183

60,739

50.3

Red

Electrica

Corp.

SA

117,218

2,062,604

101,641

84.2

Repsol

SA

448,386

6,895,224

337,811

280.0

United

States

Signify

NV

62,953

2,099,173

118,262

98.0

99

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Finland

Valmet

OYJ

(47,000)

(1,525,799)

(27,236)

(22.6)

Germany

adidas

AG

(37,287)

(6,609,961)

(906,621)

(751.3)

Covestro

AG

(34,590)

(1,432,487)

(37,784)

(31.3)

Deutsche

Telekom

AG

(Registered)

(87,315)

(2,115,843)

(81,835)

(67.8)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(37,015)

(1,571,074)

(79,283)

(65.7)

Rheinmetall

AG

(6,414)

(1,900,150)

(250,886)

(207.9)

Siemens

AG

(Registered)

(10,124)

(1,640,128)

(131,986)

(109.4)

Siemens

Healthineers

AG

(47,069)

(2,713,623)

(108,218)

(89.7)

Symrise

AG

(17,570)

(1,912,037)

(70,410)

(58.4)

Zalando

SE

(41,142)

(1,724,283)

(195,878)

(162.3)

Netherlands

Adyen

NV

(2,044)

(3,256,968)

(181,141)

(150.1)

Akzo

Nobel

NV

(18,739)

(1,465,664)

(111,783)

(92.6)

ASM

International

NV

(4,572)

(1,855,779)

(254,237)

(210.7)

Koninklijke

Philips

NV

(150,572)

(2,765,540)

(234,026)

(193.9)

Universal

Music

Group

NV

(77,062)

(1,951,576)

(165,187)

(136.9)

South

Korea

Delivery

Hero

SE

(59,128)

(2,017,147)

(47,248)

(39.2)

Spain

Acciona

SA

(13,981)

(2,805,141)

(121,398)

(100.6)

CaixaBank

SA

(586,162)

(2,287,178)

(55,896)

(46.3)

Cellnex

Telecom

SA

(131,748)

(5,123,371)

(251,139)

(208.1)

Ferrovial

SA

(75,712)

(2,229,522)

(52,795)

(43.8)

Grifols

SA

(159,668)

(1,580,434)

(56,627)

(46.9)

Iberdrola

SA

(163,694)

(2,039,268)

(100,683)

(83.4)

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(8,264)

(3,482,915)

17,763

14.7

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.

12-25

months

maturity

02/21/2024

$16,159,774

$257,885

$(9,756)

$248,129

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

100

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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

Brazil

Yara

International

ASA

51,417

2,234,614

52,268

21.1

Norway

Equinor

ASA

136,255

3,873,515

96,173

38.8

Leroy

Seafood

Group

ASA

198,142

1,026,039

101,359

40.8

Mowi

ASA

21,127

390,765

27,050

10.9

Norsk

Hydro

ASA

251,638

1,878,080

164,410

66.3

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(16,128)

(1,041,215)

(39,999)

(16.1)

Norway

Gjensidige

Forsikring

ASA

(28,734)

(469,866)

9,461

3.8

Kongsberg

Gruppen

ASA

(19,987)

(807,930)

(28,670)

(11.6)

Orkla

ASA

(14,509)

(102,905)

(2,879)

(1.2)

Salmar

ASA

(40,980)

(1,785,079)

(138,803)

(55.9)

Schibsted

ASA

(41,777)

(709,160)

95,472

38.5

Telenor

ASA

(6,556)

(76,870)

(1,321)

(0.5)

TOMRA

Systems

ASA

(49,675)

(838,634)

(80,542)

(32.5)

United

Kingdom

Subsea

7

SA

(77,932)

(925,102)

3,906

1.6

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

(-4.00%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-25

months

maturity

02/21/2024

$49,363,594

$(384,049)

$107,873

$(276,176)

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

85,922

917,500

(15,000)

5.4

Guatemala

Millicom

International

Cellular

SA

96,793

1,836,671

61,029

(22.1)

Sweden

Assa

Abloy

AB

78,779

1,886,953

1,402

(0.5)

Axfood

AB

17,680

431,755

27,697

(10.0)

Billerud

AB

124,462

1,279,244

17,701

(6.4)

101

AQR

Funds

|

N-PORT

Part

F

|

March

2023

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)

Boliden

AB

41,448

1,628,252

96,070

(34.8)

Elekta

AB

222,517

1,700,483

19,654

(7.1)

Evolution

AB

7,241

970,138

93,879

(34.0)

Getinge

AB

13,250

323,145

31,821

(11.5)

H

&

M

Hennes

&

Mauritz

AB

169,790

2,427,579

420,004

(152.1)

Saab

AB

10,577

642,564

49,257

(17.8)

Sandvik

AB

34,765

737,915

66,330

(24.0)

Skanska

AB

105,154

1,610,610

(123,177)

44.6

SSAB

AB

184,484

1,318,718

127,810

(46.3)

Svenska

Handelsbanken

AB

126,861

1,098,726

(52,122)

18.9

Swedish

Orphan

Biovitrum

AB

16,548

385,578

(1,855)

0.7

Tele2

AB

11,049

109,971

3,686

(1.3)

Telefonaktiebolaget

LM

Ericsson

623,279

3,653,553

303,840

(110.0)

Trelleborg

AB

22,629

644,057

99,598

(36.1)

Volvo

AB

35,079

722,861

59,608

(21.6)

Volvo

Car

AB

65,498

286,533

5,148

(1.9)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(25,965)

(927,135)

(89,571)

32.4

Atlas

Copco

AB

(63,586)

(805,529)

(67,175)

24.3

Beijer

Ref

AB

(116,281)

(2,040,442)

(177,914)

64.4

Electrolux

AB

(102,219)

(1,242,411)

(109,818)

39.8

Embracer

Group

AB

(188,939)

(885,623)

70,449

(25.5)

Epiroc

AB

(81,617)

(1,620,099)

(140,157)

50.7

EQT

AB

(146,264)

(2,987,792)

(199,358)

72.2

Essity

AB

(15,049)

(429,858)

404

(0.1)

Hexagon

AB

(148,239)

(1,706,143)

(102,208)

37.0

Hexpol

AB

(25,668)

(317,949)

(41,707)

15.1

Holmen

AB

(30,805)

(1,187,603)

(5,999)

2.2

Husqvarna

AB

(133,305)

(1,157,060)

(94,682)

34.3

Indutrade

AB

(66,027)

(1,405,120)

(120,078)

43.5

Lifco

AB

(35,511)

(765,710)

(76,292)

27.6

Nibe

Industrier

AB

(226,633)

(2,583,417)

(308,135)

111.6

Securitas

AB

(110,697)

(984,721)

(99,700)

36.1

Skandinaviska

Enskilda

Banken

AB

(14,994)

(165,508)

(2,394)

0.9

SKF

AB

(65,787)

(1,295,801)

(103,837)

37.6

Svenska

Cellulosa

AB

SCA

(100,694)

(1,326,194)

(25,865)

9.4

Swedbank

AB

(879)

(14,455)

370

(0.1)

Telia

Co.

AB

(281,853)

(715,699)

1,091

(0.4)

United

States

Sinch

AB

(68,955)

(186,519)

16,147

(5.8)

102

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

5.0%

Automobile

Components

-

0.7%

Aisin

Corp.

(Japan)

3,700

101,981

Bridgestone

Corp.

(Japan)

5,600

227,487

Denso

Corp.

(Japan)

3,600

203,211

Koito

Manufacturing

Co.

Ltd.

(Japan)

5,300

100,468

Stanley

Electric

Co.

Ltd.

(Japan)

5,300

117,821

Sumitomo

Electric

Industries

Ltd.

(Japan)

12,400

159,302

910,270

Automobiles

-

1.5%

Honda

Motor

Co.

Ltd.

(Japan)

12,200

322,704

Isuzu

Motors

Ltd.

(Japan)

12,500

149,387

Mazda

Motor

Corp.

(Japan)

17,800

164,187

Nissan

Motor

Co.

Ltd.

(Japan)

36,000

136,245

Subaru

Corp.

(Japan)

9,600

153,251

Suzuki

Motor

Corp.

(Japan)

4,600

167,520

Toyota

Motor

Corp.

(Japan)

56,100

798,607

Yamaha

Motor

Co.

Ltd.

(Japan)

6,400

167,493

2,059,394

Oil,

Gas

&

Consumable

Fuels

-

2.8%

Antero

Resources

Corp.

(1)*

2,321

53,592

APA

Corp.

(1)

2,126

76,664

Cheniere

Energy,

Inc.

(1)

775

122,140

Chesapeake

Energy

Corp.

(1)

838

63,722

Chevron

Corp.

(1)

2,865

467,453

ConocoPhillips

(1)

2,197

217,964

Coterra

Energy,

Inc.

(1)

3,055

74,970

Devon

Energy

Corp.

(1)

1,856

93,932

Diamondback

Energy,

Inc.

(1)

741

100,161

DT

Midstream,

Inc.

(1)

1,365

67,390

EOG

Resources,

Inc.

(1)

1,245

142,714

EQT

Corp.

(1)

2,229

71,127

Exxon

Mobil

Corp.

(1)

5,932

650,503

Hess

Corp.

(1)

913

120,826

HF

Sinclair

Corp.

(1)

1,475

71,361

Kinder

Morgan,

Inc.

(1)

6,263

109,665

Marathon

Oil

Corp.

(1)

3,613

86,567

Marathon

Petroleum

Corp.

(1)

1,436

193,616

New

Fortress

Energy,

Inc.

(1)

1,553

45,705

Occidental

Petroleum

Corp.

(1)

1,991

124,298

ONEOK,

Inc.

(1)

1,720

109,289

Ovintiv,

Inc.

(1)

1,770

63,862

PDC

Energy,

Inc.

(1)

1,121

71,946

Phillips

66

(1)

1,365

138,384

Pioneer

Natural

Resources

Co.

(1)

542

110,698

Range

Resources

Corp.

(1)

2,702

71,522

Southwestern

Energy

Co.

(1)*

11,217

56,085

Targa

Resources

Corp.

(1)

1,393

101,619

Valero

Energy

Corp.

(1)

1,075

150,070

INVESTMENTS

SHARES

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

2.8%

(continued)

Williams

Cos.,

Inc.

(The)

(1)

3,452

103,077

3,930,922

TOTAL

COMMON

STOCKS

(Cost

$6,909,106)

6,900,586

SHORT-TERM

INVESTMENTS

-

78.9%

INVESTMENT

COMPANIES

-

44.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(a)(b)

6,173,577

6,173,577

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

55,615,902

55,593,656

TOTAL

INVESTMENT

COMPANIES

(Cost

$61,752,245)

61,767,233

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

34.0%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(c)

$

4,230,000

4,228,372

4.33%,

4/20/2023

(c)

919,000

916,983

4.49%,

4/27/2023

(c)

3,435,000

3,424,466

4.54%,

5/4/2023

(c)

804,000

800,802

4.59%,

5/11/2023

(c)

3,824,000

3,805,233

4.63%,

5/25/2023

(c)

2,754,000

2,735,642

4.66%,

6/1/2023

(c)

486,000

482,386

4.68%,

6/8/2023

(c)

253,000

250,886

4.74%,

6/15/2023

(c)

804,000

796,433

4.66%,

6/22/2023

(c)

1,772,000

1,753,891

4.71%,

6/29/2023

(c)

7,492,000

7,408,171

4.75%,

7/6/2023

(c)

3,710,000

3,665,027

4.82%,

7/13/2023

(c)(d)

4,001,000

3,948,492

4.80%,

7/20/2023

(c)

269,000

265,262

5.04%,

8/24/2023

(c)

459,000

450,444

5.07%,

8/31/2023

(c)

325,000

318,664

5.10%,

9/7/2023

(c)(d)

1,657,000

1,623,181

4.81%,

9/14/2023

(c)(d)

1,464,000

1,432,602

4.73%,

9/21/2023

(c)

1,738,000

1,699,370

4.76%,

9/28/2023

(c)

6,838,000

6,678,974

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$46,675,358)

46,685,281

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$108,427,603)

108,452,514

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

83.9%

(Cost

$115,336,709)

115,353,100

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

16.1%

(e)

22,165,162

NET

ASSETS

-

100.0%

137,518,262

103

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Consumer

Discretionary

$

2,969,664

2.2

%

Energy

3,930,922

2.8

Investment

Companies

61,767,233

44.9

U.S.

Treasury

Obligations

46,685,281

34.0

Total

Investments

In

Securities

At

Value

115,353,100

83.9

Other

Assets

in

Excess

of

Liabilities

(e)

22,165,162

16.1

Net

Assets

$

137,518,262

100.0%

*

Non-income

producing

security.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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.

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2023:

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

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.30

%

USD

100,000

$

7,038

$

(1,314)

$

5,724

iTraxx

Europe

Main

Index

Series

39.V1

1.00

Quarterly

6/20/2028

0.84

EUR

39,553,000

(186,646)

(144,436)

(331,082)

Markit

CDX

North

America

Investment

Grade

Index

Series

40.V1

1.00

Quarterly

6/20/2028

0.75

USD

39,836,000

(317,538)

(151,408)

(468,946)

$

(497,146)

$

(297,158)

$

(794,304)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

March

31,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.36

%

EUR

8,387,000

$

99,951

$

152,000

$

251,951

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.63

USD

5,509,000

(19,624)

111,452

91,828

$

80,327

$

263,452

$

343,779

104

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

3,700,000

$

33,505

$

(32,058)

$

1,447

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

11,500,000

64,482

(14,710)

49,772

Pay

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

3,800,000

56,695

3,535

60,230

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

10,800,000

143,444

151,420

294,864

Pay

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

1,000,000

(6,578)

9,683

3,105

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

4,682,500,000

152,686

68,282

220,968

Pay

1D

TONAR

Annual

0.50%

Annual

6/21/2028

JPY

1,600,000

(60)

170

110

Pay

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

100,000

(22)

68

46

Pay

3M

BA

Qtrly

3.50%

Semi

6/20/2033

CAD

2,400,000

(5,234)

38,037

32,803

Pay

3M

BA

Qtrly

3.25%

Semi

9/19/2033

CAD

6,400,000

(181,392)

182,259

867

Pay

3M

BA

Qtrly

3.75%

Semi

9/19/2033

CAD

800,000

25,711

(598)

25,113

Pay

3M

BBR

Qtrly

3.50%

Qtrly

6/12/2025

AUD

3,900,000

(20,913)

26,158

5,245

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2028

NZD

10,300,000

134,664

(96,984)

37,680

Pay

3M

BBR

Qtrly

4.50%

Semi

9/13/2028

NZD

500,000

(3,434)

6,284

2,850

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

5,800,000

85,910

(9,351)

76,559

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/18/2025

KRW

3,499,300,000

(5,653)

15,789

10,136

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

9/17/2025

KRW

1,499,200,000

(1,216)

7,183

5,967

Pay

3M

HIBOR

Qtrly

4.50%

Qtrly

9/17/2025

HKD

81,400,000

(40,192)

203,209

163,017

Pay

3M

JIBAR

Qtrly

8.00%

Qtrly

6/18/2025

ZAR

300,000

4

40

44

Pay

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

104,400,000

(4,167)

25,518

21,351

Pay

3M

STIBOR

Qtrly

3.00%

Annual

6/21/2028

SEK

24,000,000

30,982

(29,989)

993

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

45,100,000

(46,779)

61,315

14,536

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

49,400,000

87,732

(14,968)

72,764

Pay

6M

BBR

Semi

4.00%

Semi

9/07/2028

AUD

13,100,000

199,125

(29,151)

169,974

Pay

6M

BBR

Semi

4.50%

Semi

6/09/2033

AUD

1,700,000

19,198

40,478

59,676

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

14,000,000

26,788

61,554

88,342

Pay

6M

BBR

Semi

4.50%

Semi

9/08/2033

AUD

8,700,000

(6,173)

301,740

295,567

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

3,200,000

33,649

45,570

79,219

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

19,000,000

499,579

34,605

534,184

Pay

6M

NIBOR

Semi

3.50%

Annual

6/18/2025

NOK

400,000

76

(52)

24

Pay

6M

NIBOR

Semi

3.50%

Annual

6/21/2028

NOK

500,000

647

75

722

Pay

6M

NIBOR

Semi

3.50%

Annual

9/20/2028

NOK

60,000,000

14,124

86,150

100,274

Receive

1D

SARON

Annual

1.00%

Annual

6/23/2025

CHF

900,000

20,133

(1,358)

18,775

Receive

1D

SARON

Annual

1.50%

Annual

6/21/2033

CHF

9,200,000

151,349

248,257

399,606

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

8,400,000

49,142

(34,283)

14,859

Receive

1D

SONIA

Annual

4.00%

Annual

6/23/2025

GBP

2,100,000

(14,083)

24,559

10,476

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

23,500,000

46,380

224,761

271,141

Receive

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

2,000,000,000

54,345

73

54,418

Receive

1M

TIIE

Monthly

9.00%

Monthly

9/17/2025

MXN

32,000,000

7,803

(7,178)

625

Receive

3M

BA

Qtrly

3.50%

Semi

9/18/2025

CAD

30,700,000

229,189

(111,422)

117,767

Receive

3M

BA

Qtrly

3.00%

Semi

9/18/2028

CAD

100,000

2,320

(1,716)

604

Receive

3M

BBR

Qtrly

4.50%

Semi

6/11/2025

NZD

19,600,000

60,307

39,805

100,112

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

8,100,000

15,935

9,075

25,010

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/18/2025

SEK

66,600,000

41,320

13,828

55,148

Receive

3M

STIBOR

Qtrly

2.50%

Annual

6/15/2033

SEK

7,000,000

(618)

20,875

20,257

Receive

6M

BUBOR

Semi

10.00%

Annual

6/18/2025

HUF

500,000,000

(1,098)

43,146

42,048

Receive

6M

BUBOR

Semi

9.50%

Annual

6/18/2025

HUF

360,500,000

7,260

31,462

38,722

Receive

6M

BUBOR

Semi

9.50%

Annual

9/17/2025

HUF

810,000,000

3,362

37,245

40,607

Receive

6M

BUBOR

Semi

10.50%

Annual

9/17/2025

HUF

580,000,000

(10,735)

13,297

2,562

Receive

6M

BUBOR

Semi

10.00%

Annual

9/17/2025

HUF

730,000,000

(4,438)

24,349

19,911

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/23/2025

EUR

26,600,000

204,185

283,881

488,066

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

71,600,000

1,200,236

(380,472)

819,764

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2028

EUR

300,000

11,965

(4,887)

7,078

Receive

6M

NIBOR

Semi

3.00%

Annual

6/18/2025

NOK

15,000,000

7,037

5,550

12,587

105

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

9/17/2025

NOK

18,000,000

$

(2,424)

$

12,670

$

10,246

Receive

6M

NIBOR

Semi

3.00%

Annual

6/15/2033

NOK

6,000,000

(469)

4,682

4,213

Receive

6M

PRIBOR

Semi

5.00%

Annual

9/17/2025

CZK

23,000,000

5,072

2,055

7,127

3,370,663

1,639,515

5,010,178

Pay

1D

SARON

Annual

1.50%

Annual

6/23/2025

CHF

49,800,000

(56,590)

(446,448)

(503,038)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

39,700,000

(336,462)

(73,114)

(409,576)

Pay

1D

SARON

Annual

1.50%

Annual

6/21/2028

CHF

800,000

(10,075)

(7,042)

(17,117)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

1,600,000

(78,470)

66,025

(12,445)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

94,100,000

(676,145)

454,377

(221,768)

Pay

1D

SONIA

Annual

3.25%

Annual

6/21/2033

GBP

600,000

(6,062)

(3,445)

(9,507)

Pay

1D

TONAR

Annual

0.00%

Annual

6/23/2025

JPY

145,600,000

(2,861)

(496)

(3,357)

Pay

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

300,000

16

(3,460)

(3,444)

Pay

1D

TONAR

Annual

0.50%

Annual

6/21/2033

JPY

6,400,000

(1,811)

1,128

(683)

Pay

1M

TIIE

Monthly

9.00%

Monthly

6/18/2025

MXN

500,000

90

(371)

(281)

Pay

3M

BA

Qtrly

3.75%

Semi

6/19/2025

CAD

11,200,000

(35,061)

(5,349)

(40,410)

Pay

3M

BBR

Qtrly

4.00%

Semi

6/15/2033

NZD

5,800,000

(106,686)

27,936

(78,750)

Pay

3M

HIBOR

Qtrly

3.50%

Qtrly

9/17/2025

HKD

5,400,000

877

(3,031)

(2,154)

Pay

6M

BBR

Semi

3.50%

Semi

9/07/2028

AUD

13,000,000

(61,598)

34,298

(27,300)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2033

EUR

5,600,000

(257,155)

23,065

(234,090)

Pay

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

12,500,000

(814,513)

313,761

(500,752)

Pay

6M

NIBOR

Semi

3.00%

Annual

6/21/2028

NOK

22,000,000

(6,574)

(9,427)

(16,001)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

36,000,000

(11,999)

(3,998)

(15,997)

Pay

6M

PRIBOR

Semi

5.00%

Annual

6/18/2025

CZK

200,000

(86)

(45)

(131)

Receive

1D

SARON

Annual

2.00%

Annual

6/21/2033

CHF

2,300,000

(96,886)

82,334

(14,552)

Receive

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

7,900,000

(56,131)

11,957

(44,174)

Receive

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

3,100,000

(101,426)

(6,232)

(107,658)

Receive

1D

TONAR

Annual

0.50%

Annual

6/23/2025

JPY

3,400,000

(130)

(48)

(178)

Receive

1D

TONAR

Annual

1.00%

Annual

6/21/2033

JPY

3,200,000

(870)

37

(833)

Receive

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

146,400,000

(36,132)

1,216

(34,916)

Receive

3M

BA

Qtrly

4.25%

Semi

9/18/2025

CAD

7,900,000

(59,975)

8,167

(51,808)

Receive

3M

BA

Qtrly

3.50%

Semi

6/19/2028

CAD

9,500,000

(86,165)

17,708

(68,457)

Receive

3M

BA

Qtrly

3.75%

Semi

9/18/2028

CAD

100,000

(2,121)

222

(1,899)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/11/2025

NZD

28,700,000

(128,925)

108,953

(19,972)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/12/2025

AUD

3,800,000

(25,859)

(3,674)

(29,533)

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

66,600,000

(195,656)

18,994

(176,662)

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

102,200,000

(184,940)

(12,585)

(197,525)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

61,100,000

(463,997)

(43,642)

(507,639)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/15/2033

NZD

1,000,000

(20,399)

8,850

(11,549)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

620,900,000

(265,962)

69,870

(196,092)

Receive

6M

BUBOR

Semi

11.00%

Annual

9/17/2025

HUF

292,700,000

(15,278)

9,881

(5,397)

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

106,100,000

(1,333,172)

367,952

(965,220)

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

82,000,000

(111,491)

11,624

(99,867)

Receive

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

130,100,000

100,528

(142,723)

(42,195)

Receive

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

18,500,000

(60,855)

(5,854)

(66,709)

Receive

6M

PRIBOR

Semi

5.50%

Annual

9/17/2025

CZK

40,000,000

9,608

(14,143)

(4,535)

Receive

6M

WIBOR

Semi

6.00%

Annual

9/17/2025

PLN

11,300,000

5,232

(13,567)

(8,335)

Receive

6M

WIBOR

Semi

6.50%

Annual

9/17/2025

PLN

15,500,000

(10,654)

(32,337)

(42,991)

(5,602,821)

807,324

(4,795,497)

$

(2,232,158)

$

2,446,839

$

214,681

106

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

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,

2023

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

4.87%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.18%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.03%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.52%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.72%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

5.03%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

3.71%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

7.96%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.59%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.36%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.79%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

16.00%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.34%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

3.96%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.20%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

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

GSIN

06/15/2023

ZAR

262,000

$

269

DTOP

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/15/2023

ZAR

393,000

294

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

1,024,050

4,447

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/27/2023

HKD

19,283,000

70,716

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

37,163,600

117,454

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/08/2023

KRW

80,925,000

475

107

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

China

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/21/2023

HKD

924,620

$

3,556

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(0.10%)

Monthly

GSIN

06/21/2023

MXN

(2,513,257)

149

197,360

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(7,414,190)

(381,062)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/12/2023

BRL

37,787,360

(236,563)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

USD

(522,525)

(9,449)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

(11,215,920)

(555,301)

TAIEX

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/19/2023

TWD

(250,651,200)

(116,518)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/16/2023

PLN

(1,029,500)

(1,911)

Tel

Aviv

Stock

Exchange

35

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

ILS

2,503,424

(20,553)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/21/2023

AUD

199,290

(2,511)

108

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.38%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/21/2023

EUR

4,180,432

$

(151,195)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(-0.65%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/21/2023

JPY

193,941,256

(32,215)

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

(-0.20%)

Monthly

GSIN

06/21/2023

SGD

(1,163,884)

(14,848)

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SARON

plus

or

minus

a

specified

spread

(-1.34%)

Monthly

GSIN

06/21/2023

CHF

(89,896)

(2,064)

(1,524,190)

$

(1,326,830)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

68

4/2023

USD

$

5,432,520

$

451,453

Hang

Seng

Index

32

4/2023

HKD

4,174,525

73,860

HSCEI

26

4/2023

HKD

1,161,238

31,961

LME

Aluminum

Base

Metal

1

4/2023

USD

59,575

(5,555)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,009

(8,438)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,095

(10,812)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,225

(12,680)

LME

Aluminum

Base

Metal

3

4/2023

USD

178,869

(20,130)

LME

Aluminum

Base

Metal

4

4/2023

USD

237,975

(11,366)

LME

Aluminum

Base

Metal

10

4/2023

USD

596,438

(63,892)

LME

Aluminum

Base

Metal

10

4/2023

USD

595,580

(68,225)

LME

Aluminum

Base

Metal

13

4/2023

USD

775,518

(78,556)

LME

Aluminum

Base

Metal

20

4/2023

USD

1,189,750

(12,449)

LME

Copper

Base

Metal

1

4/2023

USD

224,913

(9,153)

109

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

4/2023

USD

$

225,075

$

15,797

LME

Copper

Base

Metal

1

4/2023

USD

224,869

(7,597)

LME

Copper

Base

Metal

2

4/2023

USD

450,075

(5,195)

LME

Copper

Base

Metal

2

4/2023

USD

450,225

(5,614)

LME

Copper

Base

Metal

3

4/2023

USD

674,971

(25,788)

LME

Copper

Base

Metal

5

4/2023

USD

1,125,099

(28,920)

LME

Copper

Base

Metal

11

4/2023

USD

2,476,513

54,101

LME

Lead

Base

Metal

2

4/2023

USD

105,607

(3,799)

LME

Lead

Base

Metal

3

4/2023

USD

157,931

(6,327)

LME

Lead

Base

Metal

3

4/2023

USD

157,931

(6,777)

LME

Lead

Base

Metal

4

4/2023

USD

210,775

(2,736)

LME

Lead

Base

Metal

7

4/2023

USD

368,506

1,919

LME

Lead

Base

Metal

10

4/2023

USD

528,938

(32,005)

LME

Nickel

Base

Metal

1

4/2023

USD

142,107

(26,856)

LME

Nickel

Base

Metal

1

4/2023

USD

142,256

(36,029)

LME

Nickel

Base

Metal

1

4/2023

USD

142,243

(34,247)

LME

Nickel

Base

Metal

2

4/2023

USD

284,042

(36,119)

LME

Nickel

Base

Metal

3

4/2023

USD

426,587

(83,133)

LME

Nickel

Base

Metal

6

4/2023

USD

852,039

(154,330)

LME

Zinc

Base

Metal

1

4/2023

USD

73,498

(10,360)

LME

Zinc

Base

Metal

1

4/2023

USD

73,421

(12,632)

LME

Zinc

Base

Metal

2

4/2023

USD

147,329

(11,451)

LME

Zinc

Base

Metal

2

4/2023

USD

146,889

(24,567)

LME

Zinc

Base

Metal

4

4/2023

USD

293,542

(54,995)

LME

Zinc

Base

Metal

4

4/2023

USD

293,494

(49,518)

LME

Zinc

Base

Metal

8

4/2023

USD

589,650

(46,270)

RBOB

Gasoline

84

4/2023

USD

9,458,568

287,890

SGX

FTSE

China

A50

Index

9

4/2023

USD

119,754

1,707

SGX

FTSE

Taiwan

Index

115

4/2023

USD

6,384,800

49,520

Cocoa

3

5/2023

GBP

79,900

1,011

Cocoa

9

5/2023

USD

263,970

12,892

Coffee

'C'

4

5/2023

USD

255,750

(4,412)

Copper

4

5/2023

USD

409,450

1,354

Corn

52

5/2023

USD

1,717,300

74,296

Feeder

Cattle

14

5/2023

USD

1,436,750

21,464

LME

Aluminum

Base

Metal

6

5/2023

USD

359,675

3,407

LME

Aluminum

Base

Metal

6

5/2023

USD

359,850

6,882

LME

Aluminum

Base

Metal

7

5/2023

USD

418,483

(18,163)

LME

Aluminum

Base

Metal

9

5/2023

USD

539,251

(6,623)

LME

Aluminum

Base

Metal

9

5/2023

USD

539,381

1,355

LME

Aluminum

Base

Metal

10

5/2023

USD

598,000

(11,371)

LME

Aluminum

Base

Metal

10

5/2023

USD

598,438

1,846

LME

Aluminum

Base

Metal

11

5/2023

USD

658,213

1,305

LME

Aluminum

Base

Metal

11

5/2023

USD

657,066

(36,517)

LME

Aluminum

Base

Metal

13

5/2023

USD

776,263

(62,168)

LME

Aluminum

Base

Metal

14

5/2023

USD

835,814

(82,515)

LME

Aluminum

Base

Metal

22

5/2023

USD

1,316,288

(9,015)

LME

Aluminum

Base

Metal

34

5/2023

USD

2,032,350

(98,100)

LME

Copper

Base

Metal

1

5/2023

USD

225,063

1,782

LME

Copper

Base

Metal

1

5/2023

USD

224,848

6,220

LME

Copper

Base

Metal

2

5/2023

USD

449,670

(5,769)

LME

Copper

Base

Metal

2

5/2023

USD

450,263

(2,713)

LME

Copper

Base

Metal

2

5/2023

USD

450,238

5,209

LME

Copper

Base

Metal

2

5/2023

USD

450,275

(6,908)

LME

Copper

Base

Metal

2

5/2023

USD

449,925

4,703

LME

Copper

Base

Metal

2

5/2023

USD

449,625

3,612

110

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

3

5/2023

USD

$

674,588

$

3,584

LME

Copper

Base

Metal

5

5/2023

USD

1,125,563

2,853

LME

Copper

Base

Metal

5

5/2023

USD

1,124,213

(7,327)

LME

Copper

Base

Metal

7

5/2023

USD

1,574,388

12,356

LME

Lead

Base

Metal

1

5/2023

USD

52,638

244

LME

Lead

Base

Metal

2

5/2023

USD

105,288

(718)

LME

Lead

Base

Metal

2

5/2023

USD

105,320

(1,587)

LME

Lead

Base

Metal

2

5/2023

USD

105,288

282

LME

Lead

Base

Metal

3

5/2023

USD

157,907

661

LME

Lead

Base

Metal

3

5/2023

USD

157,931

(2,352)

LME

Lead

Base

Metal

3

5/2023

USD

158,015

3,390

LME

Lead

Base

Metal

4

5/2023

USD

210,525

4,852

LME

Lead

Base

Metal

4

5/2023

USD

210,575

(1,303)

LME

Lead

Base

Metal

5

5/2023

USD

263,416

439

LME

Nickel

Base

Metal

1

5/2023

USD

142,346

(23,649)

LME

Nickel

Base

Metal

1

5/2023

USD

142,487

(14,002)

LME

Nickel

Base

Metal

1

5/2023

USD

142,566

(13,437)

LME

Nickel

Base

Metal

1

5/2023

USD

142,307

(33,415)

LME

Nickel

Base

Metal

1

5/2023

USD

142,554

(15,549)

LME

Nickel

Base

Metal

1

5/2023

USD

142,474

(17,489)

LME

Nickel

Base

Metal

2

5/2023

USD

284,794

(43,381)

LME

Nickel

Base

Metal

2

5/2023

USD

284,640

(67,551)

LME

Zinc

Base

Metal

1

5/2023

USD

73,244

(1,509)

LME

Zinc

Base

Metal

1

5/2023

USD

73,203

(1,358)

LME

Zinc

Base

Metal

1

5/2023

USD

73,279

(2,274)

LME

Zinc

Base

Metal

2

5/2023

USD

146,700

(19,531)

LME

Zinc

Base

Metal

3

5/2023

USD

220,085

(28,549)

LME

Zinc

Base

Metal

3

5/2023

USD

219,944

(14,000)

Soybean

Meal

164

5/2023

USD

7,642,400

(208,047)

Australia

10

Year

Bond

53

6/2023

AUD

4,372,321

650

Euro

STOXX

50

Index

217

6/2023

EUR

10,027,688

414,431

Euro-Bund

143

6/2023

EUR

21,108,415

(76,935)

FTSE

100

Index

252

6/2023

GBP

23,747,145

268,642

FTSE/JSE

Top

40

Index

18

6/2023

ZAR

720,142

14,942

FTSE/MIB

Index

146

6/2023

EUR

21,103,155

591,294

Japan

10

Year

Bond

18

6/2023

JPY

20,045,039

137,187

KOSPI

200

Index

112

6/2023

KRW

6,962,092

191,907

LME

Aluminum

Base

Metal

1

6/2023

USD

60,299

1,746

LME

Aluminum

Base

Metal

1

6/2023

USD

60,210

2,052

LME

Aluminum

Base

Metal

2

6/2023

USD

120,313

5,246

LME

Aluminum

Base

Metal

2

6/2023

USD

120,510

5,204

LME

Aluminum

Base

Metal

3

6/2023

USD

180,597

5,688

LME

Aluminum

Base

Metal

3

6/2023

USD

180,662

7,181

LME

Aluminum

Base

Metal

7

6/2023

USD

420,847

3,726

LME

Aluminum

Base

Metal

7

6/2023

USD

420,929

7,559

LME

Aluminum

Base

Metal

8

6/2023

USD

482,600

4,663

LME

Aluminum

Base

Metal

10

6/2023

USD

601,445

21,416

LME

Aluminum

Base

Metal

17

6/2023

USD

1,024,144

59,094

LME

Aluminum

Base

Metal

19

6/2023

USD

1,141,411

(7,195)

LME

Aluminum

Base

Metal

28

6/2023

USD

1,688,820

10,994

LME

Aluminum

Base

Metal

33

6/2023

USD

1,987,631

90,046

LME

Aluminum

Base

Metal

42

6/2023

USD

2,531,025

35,361

LME

Copper

Base

Metal

1

6/2023

USD

224,821

(318)

LME

Copper

Base

Metal

1

6/2023

USD

224,869

4,214

LME

Copper

Base

Metal

1

6/2023

USD

224,825

8,446

LME

Copper

Base

Metal

1

6/2023

USD

224,871

4,656

111

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

2

6/2023

USD

$

449,650

$

(3,165)

LME

Copper

Base

Metal

2

6/2023

USD

449,700

6,458

LME

Copper

Base

Metal

3

6/2023

USD

674,438

7,110

LME

Copper

Base

Metal

3

6/2023

USD

674,550

27,179

LME

Copper

Base

Metal

3

6/2023

USD

674,621

11,067

LME

Copper

Base

Metal

7

6/2023

USD

1,573,600

24,623

LME

Copper

Base

Metal

7

6/2023

USD

1,573,542

8,925

LME

Copper

Base

Metal

15

6/2023

USD

3,372,656

(221)

LME

Copper

Base

Metal

18

6/2023

USD

4,047,075

195,668

LME

Copper

Base

Metal

75

6/2023

USD

16,860,938

286,797

LME

Lead

Base

Metal

1

6/2023

USD

52,788

451

LME

Lead

Base

Metal

1

6/2023

USD

52,775

675

LME

Lead

Base

Metal

2

6/2023

USD

105,575

976

LME

Lead

Base

Metal

2

6/2023

USD

105,350

(155)

LME

Lead

Base

Metal

5

6/2023

USD

263,938

(2,141)

LME

Lead

Base

Metal

9

6/2023

USD

474,975

9,539

LME

Lead

Base

Metal

15

6/2023

USD

791,344

(6,715)

LME

Lead

Base

Metal

45

6/2023

USD

2,371,219

(5,870)

LME

Nickel

Base

Metal

1

6/2023

USD

142,870

4,027

LME

Nickel

Base

Metal

1

6/2023

USD

142,974

2,271

LME

Nickel

Base

Metal

1

6/2023

USD

143,013

(519)

LME

Nickel

Base

Metal

1

6/2023

USD

142,950

4,857

LME

Nickel

Base

Metal

1

6/2023

USD

142,974

7,059

LME

Nickel

Base

Metal

2

6/2023

USD

285,372

(9,928)

LME

Nickel

Base

Metal

4

6/2023

USD

571,896

29,292

LME

Nickel

Base

Metal

10

6/2023

USD

1,429,740

(106,092)

LME

Zinc

Base

Metal

1

6/2023

USD

73,142

476

LME

Zinc

Base

Metal

1

6/2023

USD

73,063

(1,390)

LME

Zinc

Base

Metal

2

6/2023

USD

146,213

2,707

LME

Zinc

Base

Metal

2

6/2023

USD

146,304

787

LME

Zinc

Base

Metal

3

6/2023

USD

219,509

(4,918)

LME

Zinc

Base

Metal

3

6/2023

USD

219,441

(1,043)

LME

Zinc

Base

Metal

4

6/2023

USD

292,665

(3,652)

LME

Zinc

Base

Metal

5

6/2023

USD

365,423

6,583

LME

Zinc

Base

Metal

5

6/2023

USD

365,495

4,229

LME

Zinc

Base

Metal

16

6/2023

USD

1,170,184

13,187

LME

Zinc

Base

Metal

19

6/2023

USD

1,388,325

(156)

LME

Zinc

Base

Metal

25

6/2023

USD

1,829,519

(93,591)

LME

Zinc

Base

Metal

59

6/2023

USD

4,314,006

(185,351)

Long

Gilt

36

6/2023

GBP

4,614,602

(54,636)

Nikkei

225

Index

20

6/2023

JPY

4,223,687

(7,987)

S&P

Midcap

400

E-Mini

Index

280

6/2023

USD

70,831,601

1,877,045

S&P/TSX

60

Index

6

6/2023

CAD

1,073,652

16,781

SET50

Index

258

6/2023

THB

1,461,157

9,947

SPI

200

Index

12

6/2023

AUD

1,442,047

26,357

TOPIX

Index

86

6/2023

JPY

12,976,916

(3,220)

Cocoa

7

7/2023

USD

202,580

1,919

3,184,523

Short

Contracts

CAC

40

10

Euro

Index

(11)

4/2023

EUR

(874,910)

(39,380)

FTSE

Bursa

Malaysia

KLCI

Index

(1)

4/2023

MYR

(16,153)

(73)

IBEX

35

Index

(13)

4/2023

EUR

(1,296,103)

(28,806)

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,575)

5,697

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,095)

10,800

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,009)

8,085

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,225)

12,512

112

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(3)

4/2023

USD

$

(178,869)

$

19,242

LME

Aluminum

Base

Metal

(4)

4/2023

USD

(237,975)

9,438

LME

Aluminum

Base

Metal

(10)

4/2023

USD

(595,580)

65,141

LME

Aluminum

Base

Metal

(10)

4/2023

USD

(596,438)

62,933

LME

Aluminum

Base

Metal

(13)

4/2023

USD

(775,518)

73,679

LME

Aluminum

Base

Metal

(20)

4/2023

USD

(1,189,750)

7,294

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,869)

8,379

LME

Copper

Base

Metal

(1)

4/2023

USD

(225,075)

(15,636)

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,913)

8,263

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,225)

3,520

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,075)

4,307

LME

Copper

Base

Metal

(3)

4/2023

USD

(674,971)

28,334

LME

Copper

Base

Metal

(5)

4/2023

USD

(1,125,099)

28,501

LME

Copper

Base

Metal

(11)

4/2023

USD

(2,476,513)

(51,181)

LME

Lead

Base

Metal

(2)

4/2023

USD

(105,607)

4,156

LME

Lead

Base

Metal

(3)

4/2023

USD

(157,931)

6,369

LME

Lead

Base

Metal

(3)

4/2023

USD

(157,931)

5,043

LME

Lead

Base

Metal

(4)

4/2023

USD

(210,775)

1,827

LME

Lead

Base

Metal

(7)

4/2023

USD

(368,506)

(4,204)

LME

Lead

Base

Metal

(10)

4/2023

USD

(528,938)

32,196

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,243)

33,554

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,256)

34,261

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,107)

23,854

LME

Nickel

Base

Metal

(2)

4/2023

USD

(284,042)

35,152

LME

Nickel

Base

Metal

(3)

4/2023

USD

(426,587)

82,504

LME

Nickel

Base

Metal

(6)

4/2023

USD

(852,039)

161,403

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,421)

12,047

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,498)

11,150

LME

Zinc

Base

Metal

(2)

4/2023

USD

(147,329)

12,883

LME

Zinc

Base

Metal

(2)

4/2023

USD

(146,889)

24,371

LME

Zinc

Base

Metal

(4)

4/2023

USD

(293,542)

53,691

LME

Zinc

Base

Metal

(4)

4/2023

USD

(293,494)

49,084

LME

Zinc

Base

Metal

(8)

4/2023

USD

(589,650)

46,022

MSCI

Singapore

Index

(196)

4/2023

SGD

(4,510,445)

(50,349)

Natural

Gas

(32)

4/2023

USD

(709,120)

62,628

NY

Harbor

ULSD

(52)

4/2023

USD

(5,723,390)

32,793

OMXS30

Index

(189)

4/2023

SEK

(4,036,668)

(195,650)

SGX

NIFTY

50

Index

(172)

4/2023

USD

(5,991,620)

(107,836)

Sugar

No.

11

(2)

4/2023

USD

(49,840)

(5,247)

WTI

Crude

Oil

(91)

4/2023

USD

(6,885,970)

(146,835)

Cotton

No.

2

(30)

5/2023

USD

(1,241,700)

(5,878)

KC

HRW

Wheat

(2)

5/2023

USD

(87,775)

(5,274)

LME

Aluminum

Base

Metal

(6)

5/2023

USD

(359,675)

(7,107)

LME

Aluminum

Base

Metal

(6)

5/2023

USD

(359,850)

(6,003)

LME

Aluminum

Base

Metal

(7)

5/2023

USD

(418,483)

12,964

LME

Aluminum

Base

Metal

(9)

5/2023

USD

(539,251)

6,936

LME

Aluminum

Base

Metal

(9)

5/2023

USD

(539,381)

(285)

LME

Aluminum

Base

Metal

(10)

5/2023

USD

(598,000)

8,598

LME

Aluminum

Base

Metal

(10)

5/2023

USD

(598,438)

(2,575)

LME

Aluminum

Base

Metal

(11)

5/2023

USD

(657,066)

37,315

LME

Aluminum

Base

Metal

(11)

5/2023

USD

(658,213)

(1,899)

LME

Aluminum

Base

Metal

(13)

5/2023

USD

(776,263)

63,751

LME

Aluminum

Base

Metal

(14)

5/2023

USD

(835,814)

81,335

LME

Aluminum

Base

Metal

(22)

5/2023

USD

(1,316,288)

8,620

LME

Aluminum

Base

Metal

(34)

5/2023

USD

(2,032,350)

91,056

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,063)

(1,003)

113

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

5/2023

USD

$

(224,848)

$

(6,868)

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,670)

3,575

LME

Copper

Base

Metal

(2)

5/2023

USD

(450,275)

6,220

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,925)

(5,430)

LME

Copper

Base

Metal

(2)

5/2023

USD

(450,238)

(5,018)

LME

Copper

Base

Metal

(2)

5/2023

USD

(450,263)

1,657

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,625)

(4,943)

LME

Copper

Base

Metal

(3)

5/2023

USD

(674,588)

(2,483)

LME

Copper

Base

Metal

(5)

5/2023

USD

(1,125,563)

(4,170)

LME

Copper

Base

Metal

(5)

5/2023

USD

(1,124,213)

7,999

LME

Copper

Base

Metal

(7)

5/2023

USD

(1,574,388)

(9,576)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,638)

(431)

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,288)

991

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,288)

(136)

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,320)

1,175

LME

Lead

Base

Metal

(3)

5/2023

USD

(158,015)

(3,523)

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,931)

2,672

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,907)

(497)

LME

Lead

Base

Metal

(4)

5/2023

USD

(210,575)

2,914

LME

Lead

Base

Metal

(4)

5/2023

USD

(210,525)

(4,236)

LME

Lead

Base

Metal

(5)

5/2023

USD

(263,416)

(154)

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,487)

14,707

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,474)

17,939

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,566)

12,046

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,346)

23,815

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,307)

29,530

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,554)

15,689

LME

Nickel

Base

Metal

(2)

5/2023

USD

(284,794)

44,870

LME

Nickel

Base

Metal

(2)

5/2023

USD

(284,640)

72,954

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,244)

2,247

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,203)

2,295

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,279)

2,599

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,700)

17,537

LME

Zinc

Base

Metal

(3)

5/2023

USD

(220,085)

30,306

LME

Zinc

Base

Metal

(3)

5/2023

USD

(219,944)

14,263

Low

Sulphur

Gasoil

(21)

5/2023

USD

(1,578,675)

(15,497)

Silver

(11)

5/2023

USD

(1,328,580)

(166,140)

Soybean

(113)

5/2023

USD

(8,506,075)

43,916

Soybean

Oil

(15)

5/2023

USD

(499,410)

(11,686)

Wheat

(94)

5/2023

USD

(3,253,575)

229,661

Australia

3

Year

Bond

(1)

6/2023

AUD

(72,858)

147

Canada

10

Year

Bond

(63)

6/2023

CAD

(5,873,940)

81,105

DAX

Index

(44)

6/2023

EUR

(18,845,031)

(603,380)

DJIA

CBOT

E-Mini

Index

(42)

6/2023

USD

(7,026,600)

(204,970)

Euro-Bobl

(12)

6/2023

EUR

(1,536,173)

(34,369)

Euro-BTP

(126)

6/2023

EUR

(15,820,990)

22,866

Euro-Buxl

(27)

6/2023

EUR

(4,146,846)

(267,168)

Euro-OAT

(7)

6/2023

EUR

(990,918)

(33,939)

Euro-Schatz

(966)

6/2023

EUR

(110,770,840)

201,933

Lean

Hogs

(22)

6/2023

USD

(806,300)

39,127

Live

Cattle

(10)

6/2023

USD

(648,500)

(16,686)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,210)

(2,463)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,299)

(1,675)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,313)

(5,468)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,510)

(4,610)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

(180,662)

(4,420)

114

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

$

(180,597)

$

(7,108)

LME

Aluminum

Base

Metal

(7)

6/2023

USD

(420,847)

(4,664)

LME

Aluminum

Base

Metal

(7)

6/2023

USD

(420,929)

(8,242)

LME

Aluminum

Base

Metal

(8)

6/2023

USD

(482,600)

(5,374)

LME

Aluminum

Base

Metal

(10)

6/2023

USD

(601,445)

(17,761)

LME

Aluminum

Base

Metal

(17)

6/2023

USD

(1,024,144)

(54,347)

LME

Aluminum

Base

Metal

(19)

6/2023

USD

(1,141,411)

4,047

LME

Aluminum

Base

Metal

(28)

6/2023

USD

(1,688,820)

(18,003)

LME

Aluminum

Base

Metal

(33)

6/2023

USD

(1,987,631)

(105,768)

LME

Aluminum

Base

Metal

(313)

6/2023

USD

(18,862,163)

(229,397)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,825)

(10,858)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,869)

(2,371)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,871)

(5,124)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,821)

(1,423)

LME

Copper

Base

Metal

(2)

6/2023

USD

(449,700)

(7,325)

LME

Copper

Base

Metal

(2)

6/2023

USD

(449,650)

2,694

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,550)

(18,059)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,438)

(12,195)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,621)

(9,154)

LME

Copper

Base

Metal

(7)

6/2023

USD

(1,573,600)

(29,868)

LME

Copper

Base

Metal

(7)

6/2023

USD

(1,573,542)

(486)

LME

Copper

Base

Metal

(15)

6/2023

USD

(3,372,656)

429

LME

Copper

Base

Metal

(17)

6/2023

USD

(3,821,813)

(8,008)

LME

Copper

Base

Metal

(18)

6/2023

USD

(4,047,075)

(178,154)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,775)

(1,153)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,788)

(765)

LME

Lead

Base

Metal

(2)

6/2023

USD

(105,575)

(830)

LME

Lead

Base

Metal

(2)

6/2023

USD

(105,350)

271

LME

Lead

Base

Metal

(5)

6/2023

USD

(263,938)

2,924

LME

Lead

Base

Metal

(9)

6/2023

USD

(474,975)

(9,162)

LME

Lead

Base

Metal

(14)

6/2023

USD

(737,713)

(8,688)

LME

Lead

Base

Metal

(15)

6/2023

USD

(791,344)

8,667

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,974)

(1,581)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(143,013)

294

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,974)

(7,019)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,950)

(5,281)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,870)

(4,352)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,372)

6,222

LME

Nickel

Base

Metal

(4)

6/2023

USD

(571,896)

(31,761)

LME

Nickel

Base

Metal

(12)

6/2023

USD

(1,715,688)

(32,709)

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,142)

(1,365)

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,063)

1,172

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,213)

(2,978)

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,304)

(22)

LME

Zinc

Base

Metal

(3)

6/2023

USD

(219,509)

6,607

LME

Zinc

Base

Metal

(3)

6/2023

USD

(219,441)

279

LME

Zinc

Base

Metal

(4)

6/2023

USD

(292,665)

1,023

LME

Zinc

Base

Metal

(5)

6/2023

USD

(365,423)

(4,737)

LME

Zinc

Base

Metal

(5)

6/2023

USD

(365,495)

(4,375)

LME

Zinc

Base

Metal

(16)

6/2023

USD

(1,170,184)

(20,008)

LME

Zinc

Base

Metal

(19)

6/2023

USD

(1,388,325)

20,108

LME

Zinc

Base

Metal

(25)

6/2023

USD

(1,829,519)

86,033

LME

Zinc

Base

Metal

(54)

6/2023

USD

(3,948,413)

(25,718)

MEX

BOLSA

Index

(3)

6/2023

MXN

(90,450)

(3,137)

MSCI

EAFE

E-Mini

Index

(8)

6/2023

USD

(838,600)

(34,578)

MSCI

Emerging

Markets

E-Mini

Index

(10)

6/2023

USD

(497,750)

(18,512)

115

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

NASDAQ

100

E-Mini

Index

(8)

6/2023

USD

$

(2,128,280)

$

(98,611)

Russell

2000

E-Mini

Index

(327)

6/2023

USD

(29,650,725)

(347,092)

S&P

500

E-Mini

Index

(501)

6/2023

USD

(103,650,637)

(4,326,089)

U.S.

Treasury

10

Year

Note

(32)

6/2023

USD

(3,682,000)

(11,442)

U.S.

Treasury

2

Year

Note

(325)

6/2023

USD

(67,145,508)

(62,552)

U.S.

Treasury

5

Year

Note

(9)

6/2023

USD

(986,836)

(21,837)

U.S.

Treasury

Long

Bond

(3)

6/2023

USD

(394,031)

(17,143)

U.S.

Treasury

Ultra

Bond

(2)

6/2023

USD

(283,313)

(12,711)

Platinum

(1)

7/2023

USD

(50,155)

(1,064)

Platinum

(8)

2/2024

JPY

(125,536)

(2,042)

(5,468,947)

$

(2,284,424)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

276,500

USD

182,870

CITI

6/21/2023

$

2,496

AUD

276,500

USD

182,869

JPMC

6/21/2023

2,497

BRL

15,551,651

USD

2,917,460

CITI

**

6/21/2023

106,254

BRL

15,551,649

USD

2,917,445

JPMC

**

6/21/2023

106,269

CAD

15,844,697

USD

11,706,184

CITI

6/21/2023

32,861

CAD

15,844,696

USD

11,706,125

JPMC

6/21/2023

32,919

CHF

3,583,000

USD

3,911,806

CITI

6/21/2023

38,032

CHF

3,583,000

USD

3,911,786

JPMC

6/21/2023

38,051

CNY

7,191,689

USD

1,049,621

CITI

**

6/21/2023

3,532

CNY

7,191,696

USD

1,049,617

JPMC

**

6/21/2023

3,536

COP

12,436,272,500

USD

2,507,192

CITI

**

6/21/2023

120,667

COP

12,436,272,500

USD

2,507,180

JPMC

**

6/21/2023

120,679

CZK

140,000,001

USD

6,269,774

CITI

6/21/2023

173,735

CZK

139,999,999

USD

6,269,743

JPMC

6/21/2023

173,767

EUR

34,363,385

USD

36,792,918

CITI

6/21/2023

642,010

EUR

34,363,373

USD

36,792,722

JPMC

6/21/2023

642,195

GBP

7,822,396

USD

9,477,953

CITI

6/21/2023

186,849

GBP

7,822,390

USD

9,477,898

JPMC

6/21/2023

186,896

HUF

6,105,139,514

USD

16,449,537

CITI

6/21/2023

547,684

HUF

6,105,139,503

USD

16,449,455

JPMC

6/21/2023

547,766

IDR

105,091,938,002

USD

6,888,802

CITI

**

6/21/2023

132,180

IDR

105,091,937,998

USD

6,888,767

JPMC

**

6/21/2023

132,215

ILS

10,532,500

USD

2,913,411

CITI

6/21/2023

24,787

ILS

10,532,500

USD

2,913,396

JPMC

6/21/2023

24,801

INR

513,838,507

USD

6,161,321

CITI

**

6/21/2023

68,525

INR

513,838,493

USD

6,161,290

JPMC

**

6/21/2023

68,556

JPY

2,437,872,967

USD

18,288,548

CITI

6/21/2023

288,171

JPY

2,437,872,960

USD

18,288,457

JPMC

6/21/2023

288,262

KRW

1,930,262,814

USD

1,476,287

CITI

**

6/21/2023

8,177

KRW

1,930,262,814

USD

1,476,320

JPMC

**

6/21/2023

8,146

MXN

194,190,501

USD

10,349,350

CITI

6/21/2023

261,301

MXN

194,190,499

USD

10,349,298

JPMC

6/21/2023

261,353

NOK

29,500,000

USD

2,780,421

CITI

6/21/2023

47,352

NOK

29,500,000

USD

2,780,408

JPMC

6/21/2023

47,366

NZD

16,792,600

USD

10,463,315

CITI

6/21/2023

36,806

116

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

16,792,601

USD

10,463,263

JPMC

6/21/2023

$

36,858

PLN

26,228,000

USD

5,894,942

CITI

6/21/2023

151,571

PLN

26,228,000

USD

5,894,913

JPMC

6/21/2023

151,600

SEK

220,730,502

USD

20,953,957

CITI

6/21/2023

401,332

SEK

220,730,501

USD

20,953,852

JPMC

6/21/2023

401,437

SGD

4,163,500

USD

3,120,884

CITI

6/21/2023

15,736

SGD

4,163,500

USD

3,120,868

JPMC

6/21/2023

15,751

THB

3,500,000

USD

101,587

CITI

6/21/2023

1,594

THB

3,500,000

USD

101,586

JPMC

6/21/2023

1,594

TWD

6,000,000

USD

197,861

CITI

**

6/21/2023

306

TWD

6,000,000

USD

197,860

JPMC

**

6/21/2023

307

USD

6,633,227

AUD

9,832,002

CITI

6/21/2023

41,861

USD

6,633,258

AUD

9,831,998

JPMC

6/21/2023

41,894

USD

452,486

CHF

410,000

CITI

6/21/2023

509

USD

452,488

CHF

410,000

JPMC

6/21/2023

512

USD

11,291

CNY

76,980

CITI

**

6/21/2023

18

USD

11,291

CNY

76,979

JPMC

**

6/21/2023

18

USD

84,686

COP

400,000,000

CITI

**

6/21/2023

163

USD

84,686

COP

400,000,000

JPMC

**

6/21/2023

164

USD

1,651,778

ILS

5,831,875

CITI

6/21/2023

24,891

USD

1,651,786

ILS

5,831,874

JPMC

6/21/2023

24,899

USD

914,891

JPY

120,000,000

CITI

6/21/2023

484

USD

914,895

JPY

120,000,000

JPMC

6/21/2023

489

USD

8,777,217

KRW

11,360,117,503

CITI

**

6/21/2023

40,742

USD

8,777,261

KRW

11,360,117,496

JPMC

**

6/21/2023

40,786

USD

356,008

MXN

6,500,000

CITI

6/21/2023

845

USD

356,009

MXN

6,500,000

JPMC

6/21/2023

847

USD

1,832,434

NOK

19,000,000

CITI

6/21/2023

11,156

USD

1,832,444

NOK

19,000,000

JPMC

6/21/2023

11,166

USD

92,072

PHP

5,000,000

CITI

**

6/21/2023

45

USD

92,073

PHP

5,000,000

JPMC

**

6/21/2023

46

USD

2,005,379

PLN

8,676,000

CITI

6/21/2023

5,244

USD

2,005,389

PLN

8,676,000

JPMC

6/21/2023

5,254

USD

2,752,085

SEK

28,381,000

CITI

6/21/2023

6,273

USD

2,752,099

SEK

28,381,000

JPMC

6/21/2023

6,287

USD

103,627

THB

3,500,000

CITI

6/21/2023

446

USD

103,627

THB

3,500,000

JPMC

6/21/2023

447

USD

5,207,596

TWD

156,492,503

CITI

**

6/21/2023

38,989

USD

5,207,621

TWD

156,492,497

JPMC

**

6/21/2023

39,015

ZAR

83,207,001

USD

4,516,197

CITI

6/21/2023

124,645

ZAR

83,206,999

USD

4,516,174

JPMC

6/21/2023

124,667

CLP

9,267,129,659

USD

11,297,282

CITI

**

6/22/2023

256,290

CLP

9,267,129,656

USD

11,297,225

JPMC

**

6/22/2023

256,346

USD

22,979

CLP

18,395,812

CITI

**

6/22/2023

44

USD

22,979

CLP

18,395,812

JPMC

**

6/22/2023

44

Total

unrealized

appreciation

7,690,305

AUD

51,472,214

USD

35,284,485

CITI

6/21/2023

(777,554)

AUD

51,472,196

USD

35,284,296

JPMC

6/21/2023

(777,377)

CHF

2,476,500

USD

2,737,953

CITI

6/21/2023

(7,902)

CHF

2,476,500

USD

2,737,939

JPMC

6/21/2023

(7,888)

CNY

4,417,394

USD

649,354

CITI

**

6/21/2023

(2,469)

CNY

4,417,395

USD

649,351

JPMC

**

6/21/2023

(2,465)

EUR

9,146,504

USD

9,996,686

CITI

6/21/2023

(32,629)

EUR

9,146,496

USD

9,996,628

JPMC

6/21/2023

(32,580)

GBP

405,500

USD

501,519

CITI

6/21/2023

(512)

GBP

405,500

USD

501,516

JPMC

6/21/2023

(509)

ILS

2,157,000

USD

608,429

CITI

6/21/2023

(6,703)

ILS

2,157,000

USD

608,426

JPMC

6/21/2023

(6,699)

117

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

INR

15,000,000

USD

181,987

CITI

**

6/21/2023

$

(125)

INR

15,000,000

USD

181,986

JPMC

**

6/21/2023

(124)

JPY

896,970,005

USD

6,869,786

CITI

6/21/2023

(34,829)

JPY

896,969,995

USD

6,869,752

JPMC

6/21/2023

(34,794)

KRW

7,367,104,690

USD

5,686,481

CITI

**

6/21/2023

(20,824)

KRW

7,367,104,682

USD

5,686,425

JPMC

**

6/21/2023

(20,769)

NOK

216,026,373

USD

20,936,701

CITI

6/21/2023

(229,119)

NOK

216,026,362

USD

20,936,595

JPMC

6/21/2023

(229,015)

NZD

2,629,500

USD

1,646,002

CITI

6/21/2023

(1,822)

NZD

2,629,500

USD

1,645,994

JPMC

6/21/2023

(1,813)

SEK

21,730,502

USD

2,112,437

CITI

6/21/2023

(10,049)

SEK

21,730,500

USD

2,112,426

JPMC

6/21/2023

(10,038)

SGD

2,940,500

USD

2,219,345

CITI

6/21/2023

(4,087)

SGD

2,940,500

USD

2,219,334

JPMC

6/21/2023

(4,076)

TWD

116,000,000

USD

3,858,995

CITI

**

6/21/2023

(27,768)

TWD

116,000,000

USD

3,858,976

JPMC

**

6/21/2023

(27,749)

USD

5,631,270

AUD

8,434,500

CITI

6/21/2023

(23,212)

USD

5,631,298

AUD

8,434,500

JPMC

6/21/2023

(23,184)

USD

12,432,137

BRL

66,329,001

CITI

**

6/21/2023

(464,240)

USD

12,432,199

BRL

66,328,999

JPMC

**

6/21/2023

(464,178)

USD

21,998,521

CAD

29,939,595

CITI

6/21/2023

(183,174)

USD

21,998,631

CAD

29,939,594

JPMC

6/21/2023

(183,064)

USD

21,125,318

CHF

19,469,493

CITI

6/21/2023

(337,518)

USD

21,125,416

CHF

19,469,486

JPMC

6/21/2023

(337,413)

USD

4,166,657

CNY

28,535,778

CITI

**

6/21/2023

(12,132)

USD

4,166,676

CNY

28,535,767

JPMC

**

6/21/2023

(12,111)

USD

969,306

COP

4,850,000,001

CITI

**

6/21/2023

(55,527)

USD

969,311

COP

4,849,999,999

JPMC

**

6/21/2023

(55,523)

USD

15,753,294

CZK

350,761,309

CITI

6/21/2023

(390,520)

USD

15,753,339

CZK

350,761,299

JPMC

6/21/2023

(390,475)

USD

23,196,983

EUR

21,594,007

CITI

6/21/2023

(327,188)

USD

23,197,084

EUR

21,593,993

JPMC

6/21/2023

(327,071)

USD

9,221,385

GBP

7,635,002

CITI

6/21/2023

(211,886)

USD

9,221,427

GBP

7,634,998

JPMC

6/21/2023

(211,839)

USD

8,481,856

HUF

3,150,000,001

CITI

6/21/2023

(288,008)

USD

8,481,899

HUF

3,149,999,999

JPMC

6/21/2023

(287,966)

USD

3,321,363

IDR

50,500,000,000

CITI

**

6/21/2023

(52,441)

USD

3,321,380

IDR

50,500,000,000

JPMC

**

6/21/2023

(52,424)

USD

4,098,557

ILS

14,946,128

CITI

6/21/2023

(70,887)

USD

4,098,576

ILS

14,946,123

JPMC

6/21/2023

(70,866)

USD

2,469,492

INR

205,000,003

CITI

**

6/21/2023

(15,955)

USD

2,469,505

INR

204,999,997

JPMC

**

6/21/2023

(15,942)

USD

17,394,888

JPY

2,308,767,858

CITI

6/21/2023

(198,043)

USD

17,394,974

JPY

2,308,767,838

JPMC

6/21/2023

(197,957)

USD

4,645,257

KRW

6,076,070,503

CITI

**

6/21/2023

(27,533)

USD

4,645,281

KRW

6,076,070,498

JPMC

**

6/21/2023

(27,510)

USD

7,326,586

MXN

138,164,457

CITI

6/21/2023

(222,779)

USD

7,326,622

MXN

138,164,450

JPMC

6/21/2023

(222,742)

USD

20,683,299

NOK

218,500,000

CITI

6/21/2023

(261,396)

USD

20,683,402

NOK

218,500,000

JPMC

6/21/2023

(261,293)

USD

31,869,693

NZD

51,472,319

CITI

6/21/2023

(315,053)

USD

31,869,852

NZD

51,472,318

JPMC

6/21/2023

(314,893)

USD

2,443,991

PHP

134,591,503

CITI

**

6/21/2023

(33,214)

USD

2,444,003

PHP

134,591,497

JPMC

**

6/21/2023

(33,202)

USD

5,353,608

PLN

24,086,000

CITI

6/21/2023

(199,095)

USD

5,353,635

PLN

24,086,000

JPMC

6/21/2023

(199,069)

USD

17,095,978

SEK

177,881,000

CITI

6/21/2023

(113,697)

USD

17,096,064

SEK

177,881,000

JPMC

6/21/2023

(113,611)

118

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,544,472

SGD

2,071,500

CITI

6/21/2023

$

(16,116)

USD

1,544,480

SGD

2,071,500

JPMC

6/21/2023

(16,108)

USD

2,991,668

ZAR

55,000,000

CITI

6/21/2023

(75,938)

USD

2,991,683

ZAR

55,000,000

JPMC

6/21/2023

(75,923)

CLP

900,000,000

USD

1,129,769

CITI

**

6/22/2023

(7,715)

CLP

900,000,000

USD

1,129,763

JPMC

**

6/22/2023

(7,709)

USD

3,840,913

CLP

3,128,770,691

CITI

**

6/22/2023

(59,807)

USD

3,840,932

CLP

3,128,770,685

JPMC

**

6/22/2023

(59,787)

Total

unrealized

depreciation

(10,237,222)

Net

unrealized

depreciation

$

(2,546,917)

**

Non-deliverable

forward.

119

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

March

31,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

95.1%

INVESTMENT

COMPANIES

-

21.7%

BlackRock

Liquidity

Funds

Treasury

Trust

Fund

Portfolio,

4.49%

(1)(a)

24,261,402

24,261,402

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(a)(b)

22,316,651

22,316,651

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)(c)

266,161,025

266,054,559

TOTAL

INVESTMENT

COMPANIES

(Cost

$312,560,077)

312,632,612

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

73.4%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(d)(e)

$

150,575,000

150,517,060

4.33%,

4/20/2023

(d)

122,205,000

121,936,803

4.49%,

4/27/2023

(d)(e)

174,781,000

174,245,004

4.54%,

5/4/2023

(d)

5,643,000

5,620,556

4.59%,

5/11/2023

(d)(e)

60,402,000

60,105,569

4.63%,

5/25/2023

(d)

3,434,000

3,411,109

4.66%,

6/22/2023

(d)

12,561,000

12,432,634

4.71%,

6/29/2023

(d)(e)

8,813,000

8,714,390

4.75%,

7/6/2023

(d)(e)

9,888,000

9,768,137

4.80%,

7/20/2023

(d)

16,164,000

15,939,361

4.80%,

7/27/2023

(d)

2,353,000

2,317,945

4.79%,

8/3/2023

(d)

117,757,000

115,877,402

4.85%,

8/10/2023

(d)

679,000

667,589

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

73.4%

(continued)

4.96%,

8/17/2023

(d)

$

3,108,000

3,052,904

5.04%,

8/24/2023

(d)

6,041,000

5,928,398

5.07%,

8/31/2023

(d)

16,236,000

15,919,454

5.10%,

9/7/2023

(d)(e)

100,523,000

98,471,325

4.81%,

9/14/2023

(d)(e)

99,457,000

97,324,003

4.73%,

9/21/2023

(d)(e)

49,164,000

48,071,240

4.76%,

9/28/2023

(d)(e)

109,822,000

107,267,959

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,057,297,703)

1,057,588,842

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,369,857,780)

1,370,221,454

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.1%

(Cost

$1,369,857,780)

1,370,221,454

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.9%

(f)

70,392,424

NET

ASSETS

-

100.0%

1,440,613,878

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

312,632,612

21.7

U.S.

Treasury

Obligations

1,057,588,842

73.4

Total

Investments

In

Securities

At

Value

$

1,370,221,454

95.1

Other

Assets

in

Excess

of

Liabilities

(f)

70,392,424

4.9

Net

Assets

$

1,440,613,878

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2023

Shares

Held

At

3/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

18.5%

INVESTMENT

COMPANIES

-

18.5%

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

(Cost

$265,982,024)

$304,515,851

$552,397,007

$(590,852,496)

$(5,322)

$(481)

$266,054,559

266,161,025

$2,872,563

$–

(1)

Level

1

security.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

120

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2023:

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

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.30

%

USD

330,000

$

23,008

$

(4,224)

$

18,784

iTraxx

Europe

Main

Index

Series

39.V1

1.00

Quarterly

6/20/2028

0.84

EUR

1,257,000

(4,387)

(6,135)

(10,522)

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.63

USD

1,740,000

7,860

(37,047)

(29,187)

Markit

CDX

North

America

Investment

Grade

Index

Series

40.V1

1.00

Quarterly

6/20/2028

0.75

USD

7,927,000

(64,616)

(28,746)

(93,362)

$

(38,135)

$

(76,152)

$

(114,287)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

March

31,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.36

%

EUR

468,000

$

5,151

$

8,908

$

14,059

$

5,151

$

8,908

$

14,059

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

50,800,000

$

893,396

$

(673,533)

$

219,863

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

35,600,000

816,585

135,022

951,607

Pay

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

700,000

17,562

6,290

23,852

Pay

1D

TONAR

Annual

0.50%

Annual

6/23/2025

JPY

2,470,000,000

100,771

28,467

129,238

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

7,122,500,000

312,323

27,485

339,808

Pay

1D

TONAR

Annual

1.00%

Annual

6/21/2033

JPY

540,000,000

29,844

110,776

140,620

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

1,496,000,000

232,083

125,265

357,348

Pay

3M

BA

Qtrly

3.50%

Semi

6/19/2028

CAD

129,000,000

1,302,037

(372,464)

929,573

Pay

3M

BA

Qtrly

3.75%

Semi

9/18/2028

CAD

100,000

2,233

(335)

1,898

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2028

NZD

46,100,000

291,875

(123,227)

168,648

Pay

3M

BBR

Qtrly

4.50%

Semi

9/13/2028

NZD

1,400,000

10,673

(2,691)

7,982

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

31,800,000

122,132

297,621

419,753

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/18/2025

KRW

40,200,000

231

(115)

116

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

9/17/2025

KRW

700,000,000

4,732

(1,946)

2,786

Pay

3M

STIBOR

Qtrly

3.00%

Annual

6/21/2028

SEK

426,800,000

449,043

(431,385)

17,658

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

14,900,000

8,065

(3,262)

4,803

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

210,600,000

(156,293)

466,495

310,202

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

28,200,000

66,139

111,807

177,946

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

13,600,000

215,882

(36,435)

179,447

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

3,000,000

81,013

6,522

87,535

Pay

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

300,000

(250)

348

98

Pay

6M

NIBOR

Semi

3.50%

Annual

6/21/2028

NOK

461,300,000

591,823

74,258

666,081

121

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

117,300,000

$

135,474

$

287,502

$

422,976

Receive

1D

SARON

Annual

1.00%

Annual

6/23/2025

CHF

4,300,000

20,978

68,728

89,706

Receive

1D

SARON

Annual

1.50%

Annual

6/23/2025

CHF

37,500,000

(187,677)

566,471

378,794

Receive

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

22,200,000

170,120

58,912

229,032

Receive

1D

SARON

Annual

1.50%

Annual

6/21/2033

CHF

7,900,000

52,902

290,237

343,139

Receive

1D

SOFR

Annual

3.25%

Annual

6/23/2025

USD

33,800,000

309,569

74,346

383,915

Receive

1D

SOFR

Annual

3.75%

Annual

6/23/2025

USD

39,100,000

(78,273)

151,818

73,545

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

110,800,000

1,979,207

(1,783,211)

195,996

Receive

1D

SOFR

Annual

3.00%

Annual

6/21/2033

USD

3,800,000

90,629

(44,111)

46,518

Receive

1D

SONIA

Annual

4.00%

Annual

6/23/2025

GBP

112,700,000

(245,692)

807,934

562,242

Receive

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

57,600,000

60,471

72,050

132,521

Receive

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

51,700,000

(7,510)

412,368

404,858

Receive

1D

TONAR

Annual

0.00%

Annual

6/23/2025

JPY

4,694,000,000

146,498

(38,287)

108,211

Receive

1M

TIIE

Monthly

9.00%

Monthly

6/18/2025

MXN

702,400,000

(98,394)

492,794

394,400

Receive

1M

TIIE

Monthly

8.50%

Monthly

6/18/2025

MXN

337,000,000

79,780

274,448

354,228

Receive

3M

BA

Qtrly

3.75%

Semi

6/19/2025

CAD

310,400,000

166,162

953,773

1,119,935

Receive

3M

BA

Qtrly

3.50%

Semi

9/18/2025

CAD

1,400,000

13,823

(8,452)

5,371

Receive

3M

BA

Qtrly

3.00%

Semi

9/18/2028

CAD

600,000

13,509

(9,890)

3,619

Receive

3M

BBR

Qtrly

4.50%

Semi

6/11/2025

NZD

200,000

651

371

1,022

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

7,500,000

21,214

1,944

23,158

Receive

3M

BBR

Qtrly

4.00%

Semi

6/15/2033

NZD

200,000

3,654

(939)

2,715

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/18/2025

SEK

545,100,000

85,896

365,472

451,368

Receive

3M

STIBOR

Qtrly

2.50%

Annual

6/15/2033

SEK

96,700,000

50,934

228,904

279,838

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/23/2025

EUR

363,400,000

2,621,291

4,046,499

6,667,790

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

119,800,000

2,231,480

(854,753)

1,376,727

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

27,700,000

1,576,826

(463,044)

1,113,782

Receive

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

12,000,000

1,986

4,844

6,830

Receive

6M

NIBOR

Semi

3.00%

Annual

6/15/2033

NOK

129,800,000

112,928

(21,774)

91,154

Receive

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

2,000,000

168

721

889

14,720,503

5,680,638

20,401,141

Pay

1D

SARON

Annual

1.50%

Annual

6/21/2028

CHF

30,500,000

146,262

(798,843)

(652,581)

Pay

1D

SOFR

Annual

3.25%

Annual

6/21/2028

USD

22,800,000

87,670

(101,457)

(13,787)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2028

USD

43,600,000

(1,421,042)

1,117,490

(303,552)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

8,900,000

(381,791)

312,567

(69,224)

Pay

1D

SONIA

Annual

3.25%

Annual

6/21/2033

GBP

26,300,000

(510,790)

94,044

(416,746)

Pay

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

39,200,000

(815,794)

355,655

(460,139)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

540,000,000

(15,436)

518

(14,918)

Pay

1D

TONAR

Annual

0.50%

Annual

6/21/2033

JPY

1,121,900,000

(194,191)

74,301

(119,890)

Pay

3M

CD_KSDA

Qtrly

3.00%

Qtrly

9/17/2025

KRW

1,900,000,000

(3,546)

(2,774)

(6,320)

Pay

3M

HIBOR

Qtrly

3.50%

Qtrly

9/17/2025

HKD

76,800,000

63,551

(94,181)

(30,630)

Pay

6M

BBR

Semi

3.50%

Semi

9/07/2028

AUD

66,000,000

(313,650)

175,045

(138,605)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2028

EUR

116,200,000

(946,867)

(2,046,534)

(2,993,401)

Pay

6M

EURIBOR

Semi

2.50%

Annual

9/20/2028

EUR

99,900,000

(3,583,758)

1,226,831

(2,356,927)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2033

EUR

16,900,000

(650,426)

(56,022)

(706,448)

Pay

6M

WIBOR

Semi

5.50%

Annual

9/17/2025

PLN

15,600,000

(8,964)

(11,290)

(20,254)

Receive

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

106,300,000

(256,103)

214,548

(41,555)

Receive

1D

SARON

Annual

2.00%

Annual

6/21/2033

CHF

300,000

(3,306)

1,407

(1,899)

Receive

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

700,000

(14,241)

10,327

(3,914)

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

89,000,000

(1,482,795)

(33,248)

(1,516,043)

Receive

1D

TONAR

Annual

0.50%

Annual

6/21/2028

JPY

2,296,200,000

16,459

(173,296)

(156,837)

Receive

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

5,850,300,000

(106,153)

(219,227)

(325,380)

Receive

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

200,000

50

(140)

(90)

Receive

1M

TIIE

Monthly

9.00%

Monthly

9/17/2025

MXN

203,000,000

(2,125)

(2,010)

(4,135)

Receive

3M

BA

Qtrly

4.25%

Semi

9/18/2025

CAD

8,200,000

(65,561)

11,786

(53,775)

Receive

3M

BA

Qtrly

3.50%

Semi

6/20/2033

CAD

1,900,000

(39,008)

13,039

(25,969)

Receive

3M

BA

Qtrly

3.75%

Semi

9/19/2033

CAD

400,000

(14,027)

1,470

(12,557)

Receive

3M

BA

Qtrly

3.25%

Semi

9/19/2033

CAD

400,000

12,137

(12,191)

(54)

122

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

3M

BBR

Qtrly

5.00%

Semi

6/11/2025

NZD

58,200,000

$

(162,088)

$

121,588

$

(40,500)

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

154,700,000

47,033

(457,388)

(410,355)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

6,500,000

(46,968)

(7,037)

(54,005)

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

277,300,000

(454,332)

(81,614)

(535,946)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/15/2033

NZD

12,200,000

(211,647)

70,757

(140,890)

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

6/18/2025

ZAR

200,000

(7)

(23)

(30)

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

124,700,000

11,265

(36,767)

(25,502)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

6/18/2025

SEK

18,000,000

(10,012)

8,577

(1,435)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

1,152,200,000

535,801

(899,688)

(363,887)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/15/2033

SEK

14,000,000

(7,668)

(9,440)

(17,108)

Receive

6M

BBR

Semi

4.00%

Semi

6/08/2028

AUD

200,000

(2,113)

(567)

(2,680)

Receive

6M

BBR

Semi

4.00%

Semi

9/07/2028

AUD

200,000

(1,207)

(1,388)

(2,595)

Receive

6M

BBR

Semi

4.00%

Semi

6/09/2033

AUD

600,000

(2,935)

(1,381)

(4,316)

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

51,200,000

(598,349)

140,652

(457,697)

Receive

6M

NIBOR

Semi

3.50%

Annual

6/18/2025

NOK

650,200,000

155,724

(195,073)

(39,349)

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

559,000,000

(129,596)

(551,208)

(680,804)

Receive

6M

PRIBOR

Semi

5.50%

Annual

9/17/2025

CZK

104,200,000

(13,357)

1,542

(11,815)

(11,393,901)

(1,840,643)

(13,234,544)

$

3,326,602

$

3,839,995

$

7,166,597

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,

2023

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

4.87%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.18%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.03%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.52%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.72%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

5.03%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

3.71%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

7.96%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.59%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.36%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.79%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.34%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

3.96%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.20%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

123

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/12/2023

BRL

(109,787,600)

$

1,053,693

1,053,693

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/21/2023

EUR

(11,196,940)

(515,311)

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/21/2023

EUR

(4,387,990)

(115,731)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

(50,178,450)

(165,874)

KOSPI

200

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/08/2023

KRW

(80,925,000)

(336)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

(40,465,280)

(2,141,502)

TAIEX

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/19/2023

TWD

(63,456,000)

(64,596)

(3,003,350)

$

(1,949,657)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

4/2023

USD

$

59,558

$

(6,823)

LME

Aluminum

Base

Metal

4

4/2023

USD

237,700

8,820

LME

Aluminum

Base

Metal

17

4/2023

USD

1,011,577

(71,731)

LME

Aluminum

Base

Metal

17

4/2023

USD

1,013,413

(107,788)

LME

Aluminum

Base

Metal

21

4/2023

USD

1,252,519

(134,168)

LME

Aluminum

Base

Metal

27

4/2023

USD

1,606,331

(76,723)

LME

Aluminum

Base

Metal

36

4/2023

USD

2,144,700

(200,006)

LME

Aluminum

Base

Metal

37

4/2023

USD

2,207,244

(190,548)

LME

Aluminum

Base

Metal

52

4/2023

USD

3,093,350

(77,031)

LME

Copper

Base

Metal

2

4/2023

USD

450,040

(11,568)

LME

Copper

Base

Metal

3

4/2023

USD

674,606

(22,793)

LME

Copper

Base

Metal

5

4/2023

USD

1,125,688

25,893

LME

Copper

Base

Metal

6

4/2023

USD

1,350,675

(16,842)

LME

Copper

Base

Metal

8

4/2023

USD

1,800,600

126,379

LME

Copper

Base

Metal

9

4/2023

USD

2,024,912

(77,365)

LME

Copper

Base

Metal

10

4/2023

USD

2,249,625

(107,951)

124

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

3

4/2023

USD

$

157,931

$

1,617

LME

Lead

Base

Metal

4

4/2023

USD

210,775

(2,736)

LME

Nickel

Base

Metal

1

4/2023

USD

142,127

(31,485)

LME

Nickel

Base

Metal

2

4/2023

USD

284,013

(49,161)

LME

Nickel

Base

Metal

4

4/2023

USD

568,083

(72,238)

LME

Nickel

Base

Metal

6

4/2023

USD

853,457

(205,480)

LME

Nickel

Base

Metal

7

4/2023

USD

995,790

(250,433)

LME

Nickel

Base

Metal

8

4/2023

USD

1,136,282

(187,964)

LME

Nickel

Base

Metal

9

4/2023

USD

1,277,283

(268,802)

LME

Nickel

Base

Metal

11

4/2023

USD

1,563,177

(274,625)

LME

Nickel

Base

Metal

14

4/2023

USD

1,990,740

(389,497)

LME

Zinc

Base

Metal

2

4/2023

USD

147,413

(10,778)

LME

Zinc

Base

Metal

3

4/2023

USD

220,121

(34,638)

LME

Zinc

Base

Metal

25

4/2023

USD

1,842,031

(38,935)

Natural

Gas

6

4/2023

USD

132,960

(1,848)

RBOB

Gasoline

45

4/2023

USD

5,067,090

58,281

SGX

FTSE

China

A50

Index

250

4/2023

USD

3,326,500

52,128

Cocoa

42

5/2023

USD

1,231,860

17,456

Cocoa

114

5/2023

GBP

3,036,210

210,244

Copper

113

5/2023

USD

11,566,963

44,046

Ethanol

10

5/2023

USD

1,006,950

90,914

FCOJ-A

25

5/2023

USD

1,010,625

158,546

LME

Aluminum

Base

Metal

26

5/2023

USD

1,558,213

3,986

LME

Aluminum

Base

Metal

29

5/2023

USD

1,735,469

5,346

LME

Aluminum

Base

Metal

30

5/2023

USD

1,795,125

3,587

LME

Aluminum

Base

Metal

38

5/2023

USD

2,272,400

(43,169)

LME

Aluminum

Base

Metal

38

5/2023

USD

2,269,864

(126,149)

LME

Aluminum

Base

Metal

38

5/2023

USD

2,269,075

(181,596)

LME

Aluminum

Base

Metal

159

5/2023

USD

9,504,225

(451,620)

LME

Copper

Base

Metal

1

5/2023

USD

225,119

3,041

LME

Copper

Base

Metal

8

5/2023

USD

1,798,900

9,558

LME

Copper

Base

Metal

8

5/2023

USD

1,801,050

(6,971)

LME

Copper

Base

Metal

8

5/2023

USD

1,798,740

(11,723)

LME

Copper

Base

Metal

20

5/2023

USD

4,502,250

13,080

LME

Lead

Base

Metal

2

5/2023

USD

105,263

2,057

LME

Lead

Base

Metal

3

5/2023

USD

157,900

5,042

LME

Lead

Base

Metal

3

5/2023

USD

157,931

423

LME

Lead

Base

Metal

5

5/2023

USD

263,219

(1,794)

LME

Lead

Base

Metal

15

5/2023

USD

789,563

5,773

LME

Lead

Base

Metal

21

5/2023

USD

1,105,519

(10,974)

LME

Nickel

Base

Metal

2

5/2023

USD

285,000

(26,946)

LME

Nickel

Base

Metal

4

5/2023

USD

569,280

(135,103)

LME

Nickel

Base

Metal

6

5/2023

USD

854,614

(118,159)

LME

Nickel

Base

Metal

8

5/2023

USD

1,139,897

(112,014)

LME

Nickel

Base

Metal

14

5/2023

USD

1,995,924

(188,118)

LME

Zinc

Base

Metal

5

5/2023

USD

366,219

(7,546)

LME

Zinc

Base

Metal

7

5/2023

USD

513,286

(41,223)

LME

Zinc

Base

Metal

14

5/2023

USD

1,025,910

(31,832)

LME

Zinc

Base

Metal

24

5/2023

USD

1,759,548

(106,965)

LME

Zinc

Base

Metal

43

5/2023

USD

3,154,050

(419,914)

Milk

6

5/2023

USD

229,200

(9,432)

Milk

15

5/2023

USD

554,100

(3,199)

Soybean

Meal

122

5/2023

USD

5,685,200

(91,580)

100

oz

Gold

5

6/2023

USD

993,100

(4,890)

Japan

10

Year

Bond

37

6/2023

JPY

41,203,690

(207,821)

LME

Aluminum

Base

Metal

5

6/2023

USD

301,274

13,009

125

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

8

6/2023

USD

$

482,100

$

28,276

LME

Aluminum

Base

Metal

12

6/2023

USD

721,734

25,699

LME

Aluminum

Base

Metal

13

6/2023

USD

781,726

14,037

LME

Aluminum

Base

Metal

21

6/2023

USD

1,266,274

36,662

LME

Aluminum

Base

Metal

24

6/2023

USD

1,445,034

49,259

LME

Aluminum

Base

Metal

25

6/2023

USD

1,505,781

63,283

LME

Aluminum

Base

Metal

29

6/2023

USD

1,747,069

100,833

LME

Aluminum

Base

Metal

43

6/2023

USD

2,585,203

22,851

LME

Aluminum

Base

Metal

74

6/2023

USD

4,456,317

177,141

LME

Aluminum

Base

Metal

98

6/2023

USD

5,905,725

164,226

LME

Copper

Base

Metal

1

6/2023

USD

224,813

2,370

LME

Copper

Base

Metal

3

6/2023

USD

674,621

11,067

LME

Copper

Base

Metal

3

6/2023

USD

674,618

13,449

LME

Copper

Base

Metal

6

6/2023

USD

1,349,100

54,359

LME

Copper

Base

Metal

7

6/2023

USD

1,573,775

59,124

LME

Copper

Base

Metal

15

6/2023

USD

3,372,750

48,437

LME

Copper

Base

Metal

16

6/2023

USD

3,596,800

56,281

LME

Copper

Base

Metal

22

6/2023

USD

4,946,425

205,715

LME

Copper

Base

Metal

24

6/2023

USD

5,396,850

101,133

LME

Copper

Base

Metal

30

6/2023

USD

6,743,753

35,907

LME

Copper

Base

Metal

148

6/2023

USD

33,272,250

577,573

LME

Lead

Base

Metal

6

6/2023

USD

315,938

(1,778)

LME

Lead

Base

Metal

7

6/2023

USD

369,425

6,982

LME

Lead

Base

Metal

11

6/2023

USD

579,906

6,502

LME

Lead

Base

Metal

11

6/2023

USD

579,219

(3,260)

LME

Lead

Base

Metal

13

6/2023

USD

684,775

(1,009)

LME

Lead

Base

Metal

18

6/2023

USD

948,150

(13,547)

LME

Nickel

Base

Metal

1

6/2023

USD

142,870

4,027

LME

Nickel

Base

Metal

2

6/2023

USD

285,948

14,646

LME

Nickel

Base

Metal

4

6/2023

USD

571,544

8,852

LME

Nickel

Base

Metal

5

6/2023

USD

714,870

11,355

LME

Nickel

Base

Metal

10

6/2023

USD

1,428,380

54,950

LME

Nickel

Base

Metal

11

6/2023

USD

1,570,206

(37,586)

LME

Nickel

Base

Metal

12

6/2023

USD

1,715,400

58,285

LME

Nickel

Base

Metal

19

6/2023

USD

2,711,946

(81,950)

LME

Nickel

Base

Metal

35

6/2023

USD

5,004,090

(487,753)

LME

Zinc

Base

Metal

6

6/2023

USD

439,019

(13,812)

LME

Zinc

Base

Metal

9

6/2023

USD

658,496

(2,355)

LME

Zinc

Base

Metal

12

6/2023

USD

877,764

(3,746)

LME

Zinc

Base

Metal

18

6/2023

USD

1,316,552

8,573

LME

Zinc

Base

Metal

26

6/2023

USD

1,901,549

8,847

LME

Zinc

Base

Metal

36

6/2023

USD

2,631,042

47,486

LME

Zinc

Base

Metal

37

6/2023

USD

2,706,624

7,125

Cocoa

27

7/2023

USD

781,380

5,764

Cocoa

75

7/2023

GBP

2,001,208

27,529

White

Sugar

126

7/2023

USD

3,900,960

58,839

WTI

Crude

Oil

7

8/2023

JPY

161,853

(8,178)

(2,876,999)

Short

Contracts

Brent

Crude

Oil

(252)

4/2023

USD

(20,132,280)

(1,517,011)

CAC

40

10

Euro

Index

(165)

4/2023

EUR

(13,123,643)

(571,319)

CBOE

Volatility

Index

(5)

4/2023

USD

(103,821)

3,437

EURO

STOXX

50

Volatility

Index

(26)

4/2023

EUR

(58,509)

(3,103)

Hang

Seng

Index

(43)

4/2023

HKD

(5,609,517)

(104,896)

HSCEI

(23)

4/2023

HKD

(1,027,249)

(31,058)

IBEX

35

Index

(74)

4/2023

EUR

(7,377,819)

(164,526)

126

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(1)

4/2023

USD

$

(59,558)

$

6,439

LME

Aluminum

Base

Metal

(4)

4/2023

USD

(237,700)

(7,712)

LME

Aluminum

Base

Metal

(17)

4/2023

USD

(1,013,413)

106,351

LME

Aluminum

Base

Metal

(17)

4/2023

USD

(1,011,577)

68,723

LME

Aluminum

Base

Metal

(21)

4/2023

USD

(1,252,519)

132,159

LME

Aluminum

Base

Metal

(27)

4/2023

USD

(1,606,331)

63,708

LME

Aluminum

Base

Metal

(36)

4/2023

USD

(2,144,700)

205,094

LME

Aluminum

Base

Metal

(37)

4/2023

USD

(2,207,244)

197,108

LME

Aluminum

Base

Metal

(52)

4/2023

USD

(3,093,350)

70,345

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,040)

11,593

LME

Copper

Base

Metal

(3)

4/2023

USD

(674,606)

25,086

LME

Copper

Base

Metal

(5)

4/2023

USD

(1,125,688)

(26,832)

LME

Copper

Base

Metal

(6)

4/2023

USD

(1,350,675)

10,559

LME

Copper

Base

Metal

(8)

4/2023

USD

(1,800,600)

(125,091)

LME

Copper

Base

Metal

(9)

4/2023

USD

(2,024,912)

85,377

LME

Copper

Base

Metal

(10)

4/2023

USD

(2,249,625)

114,395

LME

Lead

Base

Metal

(3)

4/2023

USD

(157,931)

(2,188)

LME

Lead

Base

Metal

(4)

4/2023

USD

(210,775)

1,827

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,127)

33,520

LME

Nickel

Base

Metal

(2)

4/2023

USD

(284,013)

50,721

LME

Nickel

Base

Metal

(4)

4/2023

USD

(568,083)

70,305

LME

Nickel

Base

Metal

(6)

4/2023

USD

(853,457)

201,325

LME

Nickel

Base

Metal

(7)

4/2023

USD

(995,790)

240,548

LME

Nickel

Base

Metal

(8)

4/2023

USD

(1,136,282)

181,635

LME

Nickel

Base

Metal

(9)

4/2023

USD

(1,277,283)

289,558

LME

Nickel

Base

Metal

(11)

4/2023

USD

(1,563,177)

296,275

LME

Nickel

Base

Metal

(14)

4/2023

USD

(1,990,740)

381,258

LME

Zinc

Base

Metal

(2)

4/2023

USD

(147,413)

10,982

LME

Zinc

Base

Metal

(3)

4/2023

USD

(220,121)

34,573

LME

Zinc

Base

Metal

(25)

4/2023

USD

(1,842,031)

50,395

MSCI

Singapore

Index

(563)

4/2023

SGD

(12,956,023)

(145,956)

Natural

Gas

(30)

4/2023

EUR

(1,158,090)

(152,914)

Natural

Gas

(45)

4/2023

GBP

(2,031,145)

(217,498)

NY

Harbor

ULSD

(86)

4/2023

USD

(9,465,607)

(148,815)

OMXS30

Index

(416)

4/2023

SEK

(8,884,941)

(420,218)

SGX

FTSE

Taiwan

Index

(165)

4/2023

USD

(9,160,800)

(75,163)

SGX

NIFTY

50

Index

(227)

4/2023

USD

(7,907,545)

(145,241)

Sugar

No.

11

(45)

4/2023

USD

(1,121,400)

(123,332)

WTI

Crude

Oil

(357)

4/2023

USD

(27,014,190)

520,572

Canola

(562)

5/2023

CAD

(6,386,383)

132,345

CBOE

Volatility

Index

(5)

5/2023

USD

(110,643)

(2,362)

Coffee

'C'

(108)

5/2023

USD

(6,905,250)

179,154

Corn

(774)

5/2023

USD

(25,561,350)

615,710

Cotton

No.

2

(408)

5/2023

USD

(16,887,120)

(592,690)

EURO

STOXX

50

Volatility

Index

(36)

5/2023

EUR

(83,940)

(4,639)

Feeder

Cattle

(57)

5/2023

USD

(5,849,625)

(119,613)

KC

HRW

Wheat

(13)

5/2023

USD

(570,538)

(3,606)

LME

Aluminum

Base

Metal

(26)

5/2023

USD

(1,558,213)

(823)

LME

Aluminum

Base

Metal

(29)

5/2023

USD

(1,735,469)

(7,468)

LME

Aluminum

Base

Metal

(30)

5/2023

USD

(1,795,125)

(5,179)

LME

Aluminum

Base

Metal

(38)

5/2023

USD

(2,272,400)

32,674

LME

Aluminum

Base

Metal

(38)

5/2023

USD

(2,269,075)

186,350

LME

Aluminum

Base

Metal

(38)

5/2023

USD

(2,269,864)

128,906

LME

Aluminum

Base

Metal

(159)

5/2023

USD

(9,504,225)

421,094

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,119)

(1,534)

LME

Copper

Base

Metal

(8)

5/2023

USD

(1,798,900)

(6,621)

127

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(8)

5/2023

USD

$

(1,798,740)

$

12,689

LME

Copper

Base

Metal

(8)

5/2023

USD

(1,801,050)

13,445

LME

Copper

Base

Metal

(20)

5/2023

USD

(4,502,250)

(25,080)

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,263)

(2,485)

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,931)

(204)

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,900)

(4,498)

LME

Lead

Base

Metal

(5)

5/2023

USD

(263,219)

2,478

LME

Lead

Base

Metal

(15)

5/2023

USD

(789,563)

(4,332)

LME

Lead

Base

Metal

(21)

5/2023

USD

(1,105,519)

4,764

LME

Nickel

Base

Metal

(2)

5/2023

USD

(285,000)

26,144

LME

Nickel

Base

Metal

(4)

5/2023

USD

(569,280)

145,908

LME

Nickel

Base

Metal

(6)

5/2023

USD

(854,614)

115,047

LME

Nickel

Base

Metal

(8)

5/2023

USD

(1,139,897)

117,656

LME

Nickel

Base

Metal

(14)

5/2023

USD

(1,995,924)

168,644

LME

Zinc

Base

Metal

(5)

5/2023

USD

(366,219)

11,233

LME

Zinc

Base

Metal

(7)

5/2023

USD

(513,286)

38,836

LME

Zinc

Base

Metal

(14)

5/2023

USD

(1,025,910)

36,392

LME

Zinc

Base

Metal

(24)

5/2023

USD

(1,759,548)

109,653

LME

Zinc

Base

Metal

(43)

5/2023

USD

(3,154,050)

377,048

Low

Sulphur

Gasoil

(66)

5/2023

USD

(4,961,550)

(79,469)

Milling

Wheat

No.

2

(859)

5/2023

EUR

(12,122,256)

521,263

Mont

Belvieu

Propane

(160)

5/2023

USD

(5,292,000)

(277,745)

Natural

Gas

(60)

5/2023

USD

(2,346,750)

(99,886)

Rough

Rice

(22)

5/2023

USD

(766,260)

24,873

SGX

Iron

Ore

(49)

5/2023

USD

(614,068)

(31,369)

Silver

(35)

5/2023

USD

(4,227,300)

(466,122)

Soybean

(441)

5/2023

USD

(33,196,275)

(758,050)

Soybean

Oil

(203)

5/2023

USD

(6,758,682)

96,621

Wheat

(110)

5/2023

ZAR

(2,036,591)

(14,798)

Wheat

(1,110)

5/2023

USD

(38,419,875)

3,138,058

Australia

10

Year

Bond

(98)

6/2023

AUD

(8,084,669)

(73,595)

Australia

3

Year

Bond

(217)

6/2023

AUD

(15,810,272)

(128,396)

Canada

10

Year

Bond

(278)

6/2023

CAD

(25,919,926)

(946,721)

CBOE

Volatility

Index

(7)

6/2023

USD

(160,707)

(7,036)

Crude

Palm

Oil

(245)

6/2023

MYR

(5,220,652)

(47,900)

DAX

Index

(54)

6/2023

EUR

(23,127,993)

(772,214)

DJIA

CBOT

E-Mini

Index

(261)

6/2023

USD

(43,665,300)

(1,333,753)

Euro

STOXX

50

Index

(161)

6/2023

EUR

(7,439,898)

(172,336)

EURO

STOXX

50

Volatility

Index

(59)

6/2023

EUR

(140,448)

4,267

Euro-Bobl

(544)

6/2023

EUR

(69,639,823)

(1,415,870)

Euro-BTP

(392)

6/2023

EUR

(49,220,857)

(1,834,902)

Euro-Bund

(289)

6/2023

EUR

(42,659,664)

(1,098,209)

Euro-Buxl

(162)

6/2023

EUR

(24,881,076)

(1,151,567)

Euro-OAT

(327)

6/2023

EUR

(46,290,050)

(1,377,138)

Euro-Schatz

(1,213)

6/2023

EUR

(139,094,233)

(1,246,139)

FTSE

100

Index

(291)

6/2023

GBP

(27,422,299)

(471,406)

FTSE/JSE

Top

40

Index

(30)

6/2023

ZAR

(1,200,236)

(39,040)

FTSE/MIB

Index

(25)

6/2023

EUR

(3,613,554)

(83,639)

KOSPI

200

Index

(201)

6/2023

KRW

(12,494,469)

(170,510)

Lean

Hogs

(265)

6/2023

USD

(9,712,250)

968,829

Live

Cattle

(75)

6/2023

USD

(4,863,750)

(89,126)

LME

Aluminum

Base

Metal

(5)

6/2023

USD

(301,274)

(11,525)

LME

Aluminum

Base

Metal

(8)

6/2023

USD

(482,100)

(25,756)

LME

Aluminum

Base

Metal

(12)

6/2023

USD

(721,734)

(21,314)

LME

Aluminum

Base

Metal

(13)

6/2023

USD

(781,726)

(15,306)

LME

Aluminum

Base

Metal

(21)

6/2023

USD

(1,266,274)

(35,171)

128

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(24)

6/2023

USD

$

(1,445,034)

$

(59,105)

LME

Aluminum

Base

Metal

(25)

6/2023

USD

(1,505,781)

(76,702)

LME

Aluminum

Base

Metal

(29)

6/2023

USD

(1,747,069)

(92,710)

LME

Aluminum

Base

Metal

(43)

6/2023

USD

(2,585,203)

(28,649)

LME

Aluminum

Base

Metal

(74)

6/2023

USD

(4,456,317)

(109,035)

LME

Aluminum

Base

Metal

(532)

6/2023

USD

(32,059,650)

(341,391)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,813)

(4,565)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,621)

(8,779)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,618)

(18,375)

LME

Copper

Base

Metal

(6)

6/2023

USD

(1,349,100)

(35,892)

LME

Copper

Base

Metal

(7)

6/2023

USD

(1,573,775)

(73,683)

LME

Copper

Base

Metal

(15)

6/2023

USD

(3,372,750)

(60,359)

LME

Copper

Base

Metal

(16)

6/2023

USD

(3,596,800)

(68,042)

LME

Copper

Base

Metal

(22)

6/2023

USD

(4,946,425)

(186,552)

LME

Copper

Base

Metal

(24)

6/2023

USD

(5,396,850)

(79,263)

LME

Copper

Base

Metal

(30)

6/2023

USD

(6,743,753)

(731)

LME

Copper

Base

Metal

(86)

6/2023

USD

(19,333,875)

(28,227)

LME

Lead

Base

Metal

(6)

6/2023

USD

(315,938)

1,536

LME

Lead

Base

Metal

(7)

6/2023

USD

(369,425)

(6,380)

LME

Lead

Base

Metal

(11)

6/2023

USD

(579,906)

(4,271)

LME

Lead

Base

Metal

(11)

6/2023

USD

(579,219)

2,854

LME

Lead

Base

Metal

(13)

6/2023

USD

(684,775)

1,758

LME

Lead

Base

Metal

(18)

6/2023

USD

(948,150)

13,301

LME

Lead

Base

Metal

(151)

6/2023

USD

(7,956,756)

(45,333)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,870)

(4,352)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,948)

(15,881)

LME

Nickel

Base

Metal

(4)

6/2023

USD

(571,544)

(9,887)

LME

Nickel

Base

Metal

(5)

6/2023

USD

(714,870)

(7,904)

LME

Nickel

Base

Metal

(10)

6/2023

USD

(1,428,380)

(42,554)

LME

Nickel

Base

Metal

(11)

6/2023

USD

(1,570,206)

19,372

LME

Nickel

Base

Metal

(12)

6/2023

USD

(1,715,400)

(63,371)

LME

Nickel

Base

Metal

(19)

6/2023

USD

(2,711,946)

73,670

LME

Nickel

Base

Metal

(85)

6/2023

USD

(12,152,790)

149,308

LME

Zinc

Base

Metal

(6)

6/2023

USD

(439,019)

8,727

LME

Zinc

Base

Metal

(9)

6/2023

USD

(658,496)

7,974

LME

Zinc

Base

Metal

(12)

6/2023

USD

(877,764)

1,118

LME

Zinc

Base

Metal

(18)

6/2023

USD

(1,316,552)

(24,563)

LME

Zinc

Base

Metal

(26)

6/2023

USD

(1,901,549)

(19,703)

LME

Zinc

Base

Metal

(36)

6/2023

USD

(2,631,042)

(34,109)

LME

Zinc

Base

Metal

(37)

6/2023

USD

(2,706,624)

(406)

LME

Zinc

Base

Metal

(241)

6/2023

USD

(17,621,619)

263,446

Long

Gilt

(102)

6/2023

GBP

(13,074,704)

(465,834)

MSCI

EAFE

E-Mini

Index

(255)

6/2023

USD

(26,730,375)

(1,039,605)

MSCI

Emerging

Markets

E-Mini

Index

(334)

6/2023

USD

(16,624,850)

(623,055)

NASDAQ

100

E-Mini

Index

(74)

6/2023

USD

(19,686,590)

(1,385,596)

Nikkei

225

Index

(50)

6/2023

JPY

(10,559,217)

(404,899)

Palladium

(6)

6/2023

USD

(880,800)

29,803

Russell

2000

E-Mini

Index

(260)

6/2023

USD

(23,575,500)

(197,129)

S&P

500

E-Mini

Index

(126)

6/2023

USD

(26,067,825)

(992,169)

S&P

Midcap

400

E-Mini

Index

(70)

6/2023

USD

(17,707,900)

(447,663)

S&P/TSX

60

Index

(132)

6/2023

CAD

(23,620,333)

(437,454)

SPI

200

Index

(244)

6/2023

AUD

(29,321,626)

(626,412)

TOPIX

Index

(2)

6/2023

JPY

(301,789)

(12,054)

U.S.

Treasury

10

Year

Note

(208)

6/2023

USD

(23,933,000)

(718,200)

U.S.

Treasury

2

Year

Note

(246)

6/2023

USD

(50,823,984)

(598,062)

U.S.

Treasury

5

Year

Note

(430)

6/2023

USD

(47,148,828)

(1,063,986)

129

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

U.S.

Treasury

Long

Bond

(140)

6/2023

USD

$

(18,388,125)

$

(728,801)

U.S.

Treasury

Ultra

Bond

(83)

6/2023

USD

(11,757,469)

(591,935)

CBOE

Volatility

Index

(11)

7/2023

USD

(259,535)

(12,574)

Platinum

(11)

7/2023

USD

(551,705)

(11,703)

Rapeseed

(354)

7/2023

EUR

(9,031,553)

(37,629)

Robusta

Coffee

(27)

7/2023

USD

(586,710)

(8,535)

White

Maize

(269)

7/2023

ZAR

(5,739,573)

404,308

Yellow

Maize

(278)

7/2023

ZAR

(6,256,366)

398,338

CBOE

Volatility

Index

(11)

8/2023

USD

(260,689)

(16,881)

Rubber

(99)

8/2023

JPY

(776,193)

30,083

3

Month

Canadian

Bankers

Acceptance

(194)

9/2023

CAD

(34,217,351)

(106,374)

3

Month

Euro

Euribor

(94)

9/2023

EUR

(24,564,440)

894,519

90-Day

Australian

Bank

Bill

(137)

9/2023

AUD

(90,782,988)

(105,905)

90-Day

New

Zealand

Bill

(74)

9/2023

NZD

(45,669,735)

(8,611)

3

Month

Canadian

Bankers

Acceptance

(200)

12/2023

CAD

(35,355,161)

(15,127)

3

Month

Euro

Euribor

(84)

12/2023

EUR

(21,969,421)

9,967

3

Month

SARON

(16)

12/2023

CHF

(4,277,611)

3,711

3

Month

SOFR

(30)

12/2023

USD

(7,155,375)

(18,425)

3

Month

SONIA

(97)

12/2023

GBP

(28,547,694)

29,433

90-Day

Australian

Bank

Bill

(151)

12/2023

AUD

(100,077,205)

(164,934)

90-Day

New

Zealand

Bill

(69)

12/2023

NZD

(42,595,345)

(14,426)

ECX

Emission

(2)

12/2023

EUR

(199,396)

(16,024)

Phelix

DE

Base

Year

Power

(1)

12/2023

EUR

(1,458,373)

(158,089)

3

Month

Canadian

Bankers

Acceptance

(282)

3/2024

CAD

(50,007,270)

(112,654)

3

Month

Euro

Euribor

(125)

3/2024

EUR

(32,745,122)

13,924

3

Month

SARON

(22)

3/2024

CHF

(5,879,010)

7,966

3

Month

SOFR

(36)

3/2024

USD

(8,615,250)

(45,778)

3

Month

SONIA

(97)

3/2024

GBP

(28,586,583)

330,246

90-Day

Australian

Bank

Bill

(161)

3/2024

AUD

(106,723,098)

(137,819)

90-Day

New

Zealand

Bill

(76)

3/2024

NZD

(46,933,749)

(48,059)

3

Month

Canadian

Bankers

Acceptance

(309)

6/2024

CAD

(54,975,250)

(409,065)

3

Month

Euro

Euribor

(157)

6/2024

EUR

(41,198,108)

17,951

3

Month

SARON

(29)

6/2024

CHF

(7,753,566)

12,981

3

Month

SOFR

(35)

6/2024

USD

(8,411,813)

(30,037)

3

Month

SONIA

(96)

6/2024

GBP

(28,358,490)

(63,549)

90-Day

Australian

Bank

Bill

(155)

6/2024

AUD

(102,755,890)

(140,981)

3

Month

Euro

Euribor

(156)

9/2024

EUR

(40,990,684)

55,005

3

Month

SARON

(18)

9/2024

CHF

(4,818,952)

6,198

3

Month

SOFR

(37)

9/2024

USD

(8,925,325)

(39,545)

3

Month

SONIA

(84)

9/2024

GBP

(24,873,262)

(68,396)

3

Month

Euro

Euribor

(167)

12/2024

EUR

(43,930,858)

61,207

3

Month

SOFR

(41)

12/2024

USD

(9,918,925)

(34,002)

3

Month

SONIA

(92)

12/2024

GBP

(27,283,284)

(61,239)

3

Month

Euro

Euribor

(192)

3/2025

EUR

(50,543,773)

(170,630)

3

Month

SOFR

(30)

3/2025

USD

(7,269,750)

(24,871)

3

Month

SONIA

(87)

3/2025

GBP

(25,823,303)

(61,773)

3

Month

SOFR

(28)

6/2025

USD

(6,791,050)

(30,733)

3

Month

SONIA

(88)

6/2025

GBP

(26,133,693)

(67,756)

(19,243,114)

$

(22,120,113)

130

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

COP

9,108,711,192

USD

1,834,602

CITI

**

6/21/2023

$

90,123

COP

9,108,711,184

USD

1,834,593

JPMC

**

6/21/2023

90,132

CZK

175,000,000

USD

7,829,146

CITI

6/21/2023

225,241

CZK

175,000,000

USD

7,829,107

JPMC

6/21/2023

225,280

EUR

396,442,046

USD

425,189,227

CITI

6/21/2023

6,688,474

EUR

396,442,038

USD

425,187,092

JPMC

6/21/2023

6,690,600

GBP

27,490,000

USD

33,640,690

CITI

6/21/2023

324,019

GBP

27,490,000

USD

33,640,522

JPMC

6/21/2023

324,187

ILS

3,121,500

USD

855,745

CITI

6/21/2023

15,044

ILS

3,121,500

USD

855,740

JPMC

6/21/2023

15,049

INR

980,000,000

USD

11,812,668

CITI

**

6/21/2023

68,982

INR

980,000,000

USD

11,812,609

JPMC

**

6/21/2023

69,040

JPY

6,525,000,000

USD

49,285,128

CITI

6/21/2023

435,711

JPY

6,525,000,000

USD

49,284,882

JPMC

6/21/2023

435,957

KRW

1,475,842,659

USD

1,126,133

CITI

**

6/21/2023

8,862

KRW

1,475,842,657

USD

1,127,024

JPMC

**

6/21/2023

7,970

MXN

230,056,126

USD

12,240,528

CITI

6/21/2023

329,836

MXN

230,056,122

USD

12,240,466

JPMC

6/21/2023

329,897

PHP

130,000,000

USD

2,377,300

CITI

**

6/21/2023

15,397

PHP

130,000,000

USD

2,377,288

JPMC

**

6/21/2023

15,409

SEK

99,500,000

USD

9,553,656

CITI

6/21/2023

72,794

SEK

99,500,000

USD

9,553,609

JPMC

6/21/2023

72,842

SGD

92,472,500

USD

69,134,820

CITI

6/21/2023

530,367

SGD

92,472,500

USD

69,134,475

JPMC

6/21/2023

530,713

TWD

45,940,998

USD

1,515,694

CITI

**

6/21/2023

1,637

TWD

91,881,994

USD

3,032,069

JPMC

**

6/21/2023

2,594

USD

69,721,200

AUD

102,904,502

CITI

6/21/2023

734,105

USD

69,721,546

AUD

102,904,498

JPMC

6/21/2023

734,455

USD

9,272,355

KRW

12,000,000,003

CITI

**

6/21/2023

43,780

USD

9,272,401

KRW

11,999,999,997

JPMC

**

6/21/2023

43,826

USD

5,210,207

NOK

54,000,000

CITI

6/21/2023

33,944

USD

5,210,233

NOK

54,000,000

JPMC

6/21/2023

33,970

USD

13,444,685

SEK

138,687,688

CITI

6/21/2023

26,893

USD

13,444,752

SEK

138,687,687

JPMC

6/21/2023

26,960

USD

10,323,875

TWD

312,000,000

CITI

**

6/21/2023

19,194

USD

10,323,927

TWD

312,000,000

JPMC

**

6/21/2023

19,246

ZAR

9,000,000

USD

487,075

CITI

6/21/2023

14,897

ZAR

9,000,000

USD

487,073

JPMC

6/21/2023

14,899

USD

357,919

CLP

286,533,604

CITI

**

6/22/2023

690

USD

357,921

CLP

286,533,603

JPMC

**

6/22/2023

692

Total

unrealized

appreciation

19,363,708

AUD

114,483,046

USD

78,566,207

CITI

6/21/2023

(1,816,865)

AUD

114,483,042

USD

78,565,811

JPMC

6/21/2023

(1,816,472)

EUR

5,099,000

USD

5,572,960

CITI

6/21/2023

(18,190)

EUR

5,099,000

USD

5,572,932

JPMC

6/21/2023

(18,162)

ILS

1,040,500

USD

293,364

CITI

6/21/2023

(3,101)

ILS

1,040,500

USD

293,362

JPMC

6/21/2023

(3,100)

INR

785,000,000

USD

9,525,590

CITI

**

6/21/2023

(8,146)

INR

785,000,000

USD

9,525,542

JPMC

**

6/21/2023

(8,098)

JPY

7,925,000,000

USD

60,614,780

CITI

6/21/2023

(225,868)

JPY

7,925,000,000

USD

60,614,477

JPMC

6/21/2023

(225,564)

KRW

2,459,737,761

USD

1,901,073

CITI

**

6/21/2023

(9,417)

KRW

2,459,737,760

USD

1,901,418

JPMC

**

6/21/2023

(9,762)

NOK

192,710,503

USD

18,693,323

CITI

6/21/2023

(220,724)

NOK

192,710,501

USD

18,693,229

JPMC

6/21/2023

(220,631)

131

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

13,648,000

USD

10,300,480

CITI

6/21/2023

$

(18,608)

SGD

13,648,000

USD

10,300,429

JPMC

6/21/2023

(18,556)

TWD

345,586,980

USD

11,505,135

CITI

**

6/21/2023

(91,150)

TWD

299,645,979

USD

9,987,297

JPMC

**

6/21/2023

(90,643)

USD

52,219,870

AUD

78,427,000

CITI

6/21/2023

(357,528)

USD

52,220,132

AUD

78,427,000

JPMC

6/21/2023

(357,268)

USD

1,067,280

BRL

5,684,154

CITI

**

6/21/2023

(37,893)

USD

1,067,285

BRL

5,684,152

JPMC

**

6/21/2023

(37,887)

USD

102,778,702

CAD

140,508,021

CITI

6/21/2023

(1,321,107)

USD

102,779,215

CAD

140,508,020

JPMC

6/21/2023

(1,320,593)

USD

42,378,808

CHF

39,061,003

CITI

6/21/2023

(681,374)

USD

42,379,013

CHF

39,060,997

JPMC

6/21/2023

(681,162)

USD

2,501,850

COP

12,100,000,004

CITI

**

6/21/2023

(54,953)

USD

2,501,862

COP

12,099,999,996

JPMC

**

6/21/2023

(54,940)

USD

26,678,581

CZK

596,066,504

CITI

6/21/2023

(755,422)

USD

26,678,626

CZK

596,066,496

JPMC

6/21/2023

(755,376)

USD

17,882,927

EUR

16,623,000

CITI

6/21/2023

(225,906)

USD

17,883,017

EUR

16,623,000

JPMC

6/21/2023

(225,817)

USD

46,120,039

GBP

38,218,510

CITI

6/21/2023

(1,100,062)

USD

46,120,264

GBP

38,218,506

JPMC

6/21/2023

(1,099,831)

USD

8,222,568

HUF

3,074,584,861

CITI

6/21/2023

(337,334)

USD

8,222,609

HUF

3,074,584,857

JPMC

6/21/2023

(337,293)

USD

393,232

IDR

6,000,451,648

CITI

**

6/21/2023

(7,646)

USD

393,197

IDR

6,000,451,640

JPMC

**

6/21/2023

(7,681)

USD

35,408,841

INR

2,949,408,856

CITI

**

6/21/2023

(350,181)

USD

35,409,018

INR

2,949,408,848

JPMC

**

6/21/2023

(350,004)

USD

169,655,713

JPY

22,653,239,723

CITI

6/21/2023

(2,963,152)

USD

169,656,561

JPY

22,653,239,717

JPMC

6/21/2023

(2,962,304)

USD

1,334,871

KRW

1,750,000,000

CITI

**

6/21/2023

(10,964)

USD

1,334,877

KRW

1,750,000,000

JPMC

**

6/21/2023

(10,957)

USD

40,491,478

NOK

428,500,001

CITI

6/21/2023

(583,130)

USD

40,491,680

NOK

428,499,999

JPMC

6/21/2023

(582,928)

USD

60,417,205

NZD

97,753,532

CITI

6/21/2023

(706,377)

USD

60,417,506

NZD

97,753,530

JPMC

6/21/2023

(706,075)

USD

4,719,354

PHP

260,753,100

CITI

**

6/21/2023

(79,901)

USD

4,719,378

PHP

260,753,092

JPMC

**

6/21/2023

(79,877)

USD

8,446,018

PLN

38,206,992

CITI

6/21/2023

(362,091)

USD

8,446,061

PLN

38,206,992

JPMC

6/21/2023

(362,048)

USD

22,485,231

SEK

234,187,688

CITI

6/21/2023

(172,017)

USD

22,485,343

SEK

234,187,688

JPMC

6/21/2023

(171,904)

USD

17,672,990

SGD

23,632,500

CITI

6/21/2023

(130,817)

USD

17,673,078

SGD

23,632,500

JPMC

6/21/2023

(130,729)

USD

1,844,818

TWD

56,000,002

CITI

**

6/21/2023

(4,740)

USD

1,844,827

TWD

55,999,998

JPMC

**

6/21/2023

(4,731)

USD

54,405,894

ZAR

1,002,852,448

CITI

6/21/2023

(1,527,855)

USD

54,392,189

ZAR

1,002,852,448

JPMC

6/21/2023

(1,541,560)

USD

2,448,199

CLP

2,005,735,227

CITI

**

6/22/2023

(52,403)

USD

2,448,212

CLP

2,005,735,222

JPMC

**

6/22/2023

(52,391)

Total

unrealized

depreciation

(28,479,266)

Net

unrealized

depreciation

$

(9,115,558)

**

Non-deliverable

forward.

132

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$10,103,607

$139,510

$(436,600)

$(297,090)

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

01/27/2025

-

03/10/2025

$6,744,880

$(16,542)

$(60,458)

$(77,000)

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

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/24/2026

-

03/29/2028

$154,419,256

$(824,478)

$37,606

$(786,872)

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.

100,500

942,032

(47,262)

6.0

Bank

of

Kyoto

Ltd.

(The)

19,800

936,530

(95,412)

12.1

Hirose

Electric

Co.

Ltd.

7,200

941,952

4,365

(0.6)

IHI

Corp.

48,700

1,223,305

(84,287)

10.7

Japan

Tobacco,

Inc.

62,700

1,324,446

4,571

(0.6)

KDDI

Corp.

43,000

1,326,024

1,238

(0.2)

Kyushu

Electric

Power

Co.,

Inc.

190,200

1,086,916

8,244

(1.0)

133

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Lawson,

Inc.

24,600

1,041,511

5,819

(0.7)

Marubeni

Corp.

83,500

1,135,576

(73,138)

9.3

MISUMI

Group,

Inc.

53,600

1,346,877

(15,578)

2.0

Mitsubishi

Corp.

50,500

1,814,791

(123,055)

15.6

Mitsubishi

Motors

Corp.

499,900

1,970,004

(179,820)

22.9

Nitto

Denko

Corp.

14,500

938,459

(21,473)

2.7

Ono

Pharmaceutical

Co.

Ltd.

61,600

1,283,633

(35,010)

4.4

Osaka

Gas

Co.

Ltd.

84,800

1,393,078

(42,662)

5.4

Recruit

Holdings

Co.

Ltd.

57,700

1,587,272

(1,081)

0.1

SCREEN

Holdings

Co.

Ltd.

15,300

1,357,173

34,304

(4.4)

Shin-Etsu

Chemical

Co.

Ltd.

33,500

1,087,445

49,456

(6.3)

Subaru

Corp.

63,600

1,015,286

(86,907)

11.0

Sumitomo

Corp.

69,200

1,225,902

(64,285)

8.2

Tokyo

Electric

Power

Co.

Holdings,

Inc.

256,100

914,845

12,154

(1.5)

Tokyo

Gas

Co.

Ltd.

80,600

1,514,733

(78,752)

10.0

Toyo

Suisan

Kaisha

Ltd.

27,300

1,140,895

(45,480)

5.8

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(80,800)

(1,567,585)

40,808

(5.2)

Ajinomoto

Co.,

Inc.

(28,800)

(1,001,891)

(25,803)

3.3

ANA

Holdings,

Inc.

(54,900)

(1,193,247)

(10,483)

1.3

Asahi

Intecc

Co.

Ltd.

(63,700)

(1,125,468)

20,197

(2.6)

Asahi

Kasei

Corp.

(143,100)

(1,002,289)

58,230

(7.4)

BayCurrent

Consulting,

Inc.

(26,500)

(1,100,230)

57,367

(7.3)

Bridgestone

Corp.

(29,200)

(1,186,183)

(8,506)

1.1

Daiichi

Sankyo

Co.

Ltd.

(44,000)

(1,605,016)

(113,440)

14.4

Daikin

Industries

Ltd.

(7,200)

(1,291,727)

8,909

(1.1)

Fast

Retailing

Co.

Ltd.

(5,200)

(1,138,345)

6,614

(0.8)

Isuzu

Motors

Ltd.

(90,400)

(1,080,369)

81,843

(10.4)

ITOCHU

Corp.

(38,400)

(1,250,552)

9,252

(1.2)

JSR

Corp.

(59,700)

(1,412,280)

49,027

(6.2)

Kobe

Bussan

Co.

Ltd.

(46,100)

(1,287,212)

(21,654)

2.8

Kose

Corp.

(15,700)

(1,866,075)

17,570

(2.2)

Kubota

Corp.

(63,700)

(965,777)

58,509

(7.4)

MatsukiyoCocokara

&

Co.

(35,400)

(1,875,196)

(22,212)

2.8

Nintendo

Co.

Ltd.

(53,600)

(2,081,910)

28,180

(3.6)

Nippon

Paint

Holdings

Co.

Ltd.

(101,000)

(949,713)

(31,566)

4.0

Sekisui

House

Ltd.

(120,700)

(2,460,016)

19,436

(2.5)

Seven

&

i

Holdings

Co.

Ltd.

(36,800)

(1,662,408)

163,803

(20.8)

Sharp

Corp.

(132,800)

(938,959)

11,220

(1.4)

Sony

Group

Corp.

(18,900)

(1,721,476)

(9,764)

1.2

Sumitomo

Electric

Industries

Ltd.

(87,200)

(1,120,251)

20,524

(2.6)

Unicharm

Corp.

(31,700)

(1,303,052)

(77,072)

9.8

Yaskawa

Electric

Corp.

(35,900)

(1,574,571)

(36,096)

4.6

Z

Holdings

Corp.

(444,600)

(1,260,642)

3,090

(0.4)

134

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-2.23%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/29/2028

$888,030,906

$(8,434,247)

$(1,884,331)

$(10,318,578)

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

Accenture

plc

20,167

5,763,930

334,737

(3.2)

Adobe,

Inc.

14,658

5,648,753

238,407

(2.3)

Alphabet,

Inc.

51,957

5,389,500

125,409

(1.2)

American

International

Group,

Inc.

62,086

3,126,651

(337,748)

3.3

Apple,

Inc.

29,337

4,837,671

169,381

(1.6)

Automatic

Data

Processing,

Inc.

13,880

3,090,104

106,533

(1.0)

Cardinal

Health,

Inc.

33,593

2,536,272

141,427

(1.4)

Centene

Corp.

41,238

2,606,654

(96,085)

0.9

Cigna

Group

(The)

20,886

5,337,000

(230,035)

2.2

CVS

Health

Corp.

58,544

4,350,405

(69,767)

0.7

Danaher

Corp.

22,161

5,585,458

85,324

(0.8)

Deere

&

Co.

6,384

2,635,826

(54,519)

0.5

Discover

Financial

Services

26,481

2,617,382

(18,673)

0.2

Fiserv,

Inc.

22,578

2,551,991

(33,017)

0.3

General

Motors

Co.

87,636

3,214,488

(62,339)

0.6

Global

Payments,

Inc.

30,000

3,157,200

12,242

(0.1)

Intel

Corp.

134,353

4,389,313

837,019

(8.1)

Johnson

&

Johnson

29,822

4,622,410

55,284

(0.5)

Mastercard,

Inc.

15,517

5,639,033

123,701

(1.2)

Meta

Platforms,

Inc.

23,696

5,022,130

202,102

(2.0)

Microsoft

Corp.

19,545

5,634,824

260,331

(2.5)

PayPal

Holdings,

Inc.

58,479

4,440,895

25,627

(0.2)

PNC

Financial

Services

Group,

Inc.

(The)

20,310

2,581,401

(218,739)

2.1

Regeneron

Pharmaceuticals,

Inc.

3,046

2,502,807

74,331

(0.7)

Roper

Technologies,

Inc.

6,588

2,903,266

84,058

(0.8)

Salesforce,

Inc.

14,846

2,965,934

255,390

(2.5)

Thermo

Fisher

Scientific,

Inc.

7,949

4,581,565

105,215

(1.0)

UnitedHealth

Group,

Inc.

11,455

5,413,518

(104,166)

1.0

Veeva

Systems,

Inc.

14,928

2,743,617

90,984

(0.9)

Visa,

Inc.

23,681

5,339,118

78,104

(0.8)

Waters

Corp.

8,608

2,665,295

43,422

(0.4)

135

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Affirm

Holdings,

Inc.

(296,540)

(3,342,006)

(183,357)

1.8

agilon

health,

Inc.

(112,875)

(2,680,781)

(9,030)

0.1

Alcoa

Corp.

(88,716)

(3,775,753)

(93,925)

0.9

Atmos

Energy

Corp.

(23,516)

(2,642,258)

(43,034)

0.4

Baker

Hughes

Co.

(179,533)

(5,181,322)

(231,303)

2.2

Carnival

Corp.

(461,405)

(4,683,261)

(454,916)

4.4

Coinbase

Global,

Inc.

(36,378)

(2,458,061)

(228,934)

2.2

DuPont

de

Nemours,

Inc.

(36,280)

(2,603,816)

(34,466)

0.3

Eli

Lilly

&

Co.

(7,955)

(2,731,906)

(211,364)

2.0

EQT

Corp.

(101,347)

(3,233,983)

(145,134)

1.4

Halliburton

Co.

(99,200)

(3,138,688)

(143,577)

1.4

Hanesbrands,

Inc.

(577,521)

(3,037,760)

(58,439)

0.6

Honeywell

International,

Inc.

(16,364)

(3,127,488)

28,801

(0.3)

Norwegian

Cruise

Line

Holdings

Ltd.

(322,313)

(4,335,110)

(216,345)

2.1

NVIDIA

Corp.

(8,837)

(2,454,653)

(383,614)

3.7

Rivian

Automotive,

Inc.

(239,128)

(3,701,701)

(480,503)

4.7

Schlumberger

NV

(95,767)

(4,702,160)

(272,130)

2.6

United

Parcel

Service,

Inc.

(12,679)

(2,459,599)

(140,864)

1.4

Wayfair,

Inc.

(72,978)

(2,506,065)

(75,899)

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

BBR

plus

or

minus

a

specified

spread

(-1.05%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

03/10/2025

$60,336,753

$329,110

$(693,809)

$(364,699)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

172,530

1,382,156

212,733

(58.3)

ALS

Ltd.

81,857

679,745

52,685

(14.4)

ANZ

Group

Holdings

Ltd.

56,465

870,133

23,157

(6.3)

Aristocrat

Leisure

Ltd.

73,532

1,838,484

38,030

(10.4)

Aurizon

Holdings

Ltd.

480,873

1,083,101

(16,223)

4.4

BHP

Group

Ltd.

48,234

1,524,866

120,726

(33.1)

BlueScope

Steel

Ltd.

121,990

1,651,180

58,622

(16.1)

Brambles

Ltd.

71,162

641,614

(557)

0.2

Incitec

Pivot

Ltd.

855,592

1,802,925

(32,939)

9.0

JB

Hi-Fi

Ltd.

48,521

1,384,757

29,346

(8.0)

Medibank

Pvt

Ltd.

210,930

476,000

17,762

(4.9)

136

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

New

Hope

Corp.

Ltd.

166,303

632,318

29,802

(8.2)

Origin

Energy

Ltd.

510,837

2,844,896

55,094

(15.1)

Pilbara

Minerals

Ltd.

547,039

1,455,344

197,445

(54.1)

Qantas

Airways

Ltd.

690,432

3,081,712

81,836

(22.4)

Qube

Holdings

Ltd.

336,634

650,033

(34,037)

9.3

Sonic

Healthcare

Ltd.

46,944

1,100,507

15,710

(4.3)

South32

Ltd.

606,610

1,777,810

107,198

(29.4)

Suncorp

Group

Ltd.

117,538

955,011

20,835

(5.7)

Telstra

Group

Ltd.

255,355

723,013

4,399

(1.2)

Whitehaven

Coal

Ltd.

277,730

1,250,315

65,877

(18.1)

United

States

Computershare

Ltd.

36,094

524,273

18,329

(5.0)

Short

Positions

Common

Stocks

Australia

APA

Group

(111,614)

(758,218)

(9,150)

2.5

carsales.com

Ltd.

(82,389)

(1,231,307)

(23,007)

6.3

Commonwealth

Bank

of

Australia

(30,518)

(2,014,966)

(75,562)

20.7

Domino's

Pizza

Enterprises

Ltd.

(36,559)

(1,227,259)

(26,626)

7.3

Endeavour

Group

Ltd.

(226,479)

(1,028,961)

18,657

(5.1)

Fortescue

Metals

Group

Ltd.

(27,734)

(416,886)

(40,177)

11.0

IDP

Education

Ltd.

(85,769)

(1,580,592)

(50,967)

14.0

Insurance

Australia

Group

Ltd.

(193,821)

(610,089)

(18,002)

4.9

Lendlease

Corp.

Ltd.

(152,822)

(743,726)

7,105

(1.9)

Macquarie

Group

Ltd.

(4,293)

(508,290)

(29,057)

8.0

Mineral

Resources

Ltd.

(14,716)

(795,502)

(43,863)

12.0

National

Australia

Bank

Ltd.

(20,133)

(375,146)

(6,264)

1.7

Newcrest

Mining

Ltd.

(45,382)

(810,087)

(5,283)

1.4

NEXTDC

Ltd.

(158,127)

(1,119,031)

(51,461)

14.1

Pro

Medicus

Ltd.

(18,544)

(799,794)

8,036

(2.2)

QBE

Insurance

Group

Ltd.

(69,902)

(684,377)

(23,204)

6.4

REA

Group

Ltd.

(19,940)

(1,859,274)

(100,126)

27.5

Reece

Ltd.

(48,834)

(572,326)

(39,264)

10.8

Seven

Group

Holdings

Ltd.

(38,305)

(595,019)

1,321

(0.4)

Transurban

Group

(139,035)

(1,327,560)

(15,277)

4.2

Wesfarmers

Ltd.

(67,135)

(2,269,063)

(53,516)

14.7

Westpac

Banking

Corp.

(22,043)

(320,937)

(8,121)

2.2

WiseTech

Global

Ltd.

(18,849)

(830,368)

(29,284)

8.0

Woodside

Energy

Group

Ltd.

(46,800)

(1,045,519)

(61,029)

16.7

Woolworths

Group

Ltd.

(55,493)

(1,410,782)

(17,891)

4.9

Worley

Ltd.

(44,549)

(431,492)

(25,905)

7.1

United

States

CSL

Ltd.

(17,580)

(3,404,726)

(9,291)

2.5

James

Hardie

Industries

plc

(16,403)

(353,054)

(5,038)

1.4

137

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-0.23%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

01/27/2025

-

04/25/2025

$86,486,635

$426,369

$(1,941,559)

$(1,515,190)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

115,289

1,633,581

63,978

(4.2)

Alimentation

Couche-Tard,

Inc.

69,601

3,499,362

132,868

(8.8)

ARC

Resources

Ltd.

173,439

1,967,310

20,533

(1.4)

Atco

Ltd.

25,407

814,378

27,447

(1.8)

Bank

of

Nova

Scotia

(The)

41,467

2,088,538

48,171

(3.2)

Brookfield

Corp.

49,074

1,598,763

114,016

(7.5)

Canadian

Tire

Corp.

Ltd.

6,032

787,173

25,931

(1.7)

Cenovus

Energy,

Inc.

48,759

850,712

49,787

(3.3)

Empire

Co.

Ltd.

37,749

1,011,947

47,204

(3.1)

Fairfax

Financial

Holdings

Ltd.

2,218

1,475,105

(4,825)

0.3

Finning

International,

Inc.

49,801

1,241,432

46,429

(3.1)

George

Weston

Ltd.

6,307

835,800

40,460

(2.7)

iA

Financial

Corp.,

Inc.

12,552

795,564

28,884

(1.9)

Imperial

Oil

Ltd.

27,878

1,417,725

81,066

(5.4)

MEG

Energy

Corp.

78,218

1,256,465

81,025

(5.3)

Metro,

Inc.

12,538

689,660

22,080

(1.5)

National

Bank

of

Canada

14,991

1,072,275

30,725

(2.0)

Nutrien

Ltd.

44,544

3,289,631

25,378

(1.7)

Onex

Corp.

14,971

699,865

12,628

(0.8)

Open

Text

Corp.

45,770

1,765,438

37,253

(2.5)

Pembina

Pipeline

Corp.

29,969

970,805

30,157

(2.0)

Sun

Life

Financial,

Inc.

23,040

1,076,393

17,730

(1.2)

TC

Energy

Corp.

16,668

648,344

1,603

(0.1)

Toromont

Industries

Ltd.

8,763

719,260

26,260

(1.7)

Tourmaline

Oil

Corp.

38,686

1,612,131

29,769

(2.0)

West

Fraser

Timber

Co.

Ltd.

11,896

848,520

(10,034)

0.7

Whitecap

Resources,

Inc.

184,449

1,426,187

10,918

(0.7)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(40,036)

(1,928,186)

(27,254)

1.8

Canada

Agnico

Eagle

Mines

Ltd.

(22,711)

(1,157,816)

24,534

(1.6)

Algonquin

Power

&

Utilities

Corp.

(116,688)

(979,091)

(30,219)

2.0

Barrick

Gold

Corp.

(116,424)

(2,161,360)

14,645

(1.0)

138

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

BCE,

Inc.

(48,995)

(2,194,715)

5,800

(0.4)

CAE,

Inc.

(30,908)

(698,889)

(33,847)

2.2

Cameco

Corp.

(25,254)

(661,294)

(32,887)

2.2

Canadian

Imperial

Bank

of

Commerce

(59,645)

(2,529,230)

(45,015)

3.0

Canadian

Pacific

Railway

Ltd.

(51,333)

(3,952,812)

(21,270)

1.4

Constellation

Software,

Inc.

(336)

(631,702)

(25,112)

1.7

Emera,

Inc.

(22,140)

(909,517)

(983)

0.1

Fortis,

Inc.

(40,906)

(1,738,846)

(21,187)

1.4

Franco-Nevada

Corp.

(6,891)

(1,005,122)

(3,212)

0.2

GFL

Environmental,

Inc.

(26,183)

(902,795)

(44,171)

2.9

Intact

Financial

Corp.

(5,223)

(747,490)

(5,488)

0.4

Kinross

Gold

Corp.

(224,019)

(1,054,207)

(58,015)

3.8

Manulife

Financial

Corp.

(98,541)

(1,808,226)

(34,998)

2.3

Pan

American

Silver

Corp.

(100,254)

(1,829,274)

2,225

(0.1)

Rogers

Communications,

Inc.

(79,908)

(3,703,616)

3,548

(0.2)

Royal

Bank

of

Canada

(37,775)

(3,612,592)

(41,367)

2.7

Shopify,

Inc.

(27,565)

(1,321,652)

(65,675)

4.3

United

States

BRP,

Inc.

(12,862)

(1,006,500)

(19,700)

1.3

Zambia

First

Quantum

Minerals

Ltd.

(51,257)

(1,178,361)

(80,782)

5.3

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

SARON

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

03/25/2025

$34,877,060

$(10,218)

$22,245

$12,027

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

14,561

113,470

9,389

78.1

Switzerland

ABB

Ltd.

(Registered)

64,121

2,205,860

143,364

1,192.0

Baloise

Holding

AG

(Registered)

4,131

643,264

17,485

145.4

Barry

Callebaut

AG

(Registered)

533

1,129,304

18,390

152.9

Chocoladefabriken

Lindt

&

Spruengli

AG

26

307,077

8,700

72.3

Clariant

AG

(Registered)

21,558

357,633

13,393

111.4

DKSH

Holding

AG

8,011

645,849

17,192

142.9

Galenica

AG

2,590

219,108

7,368

61.3

Georg

Fischer

AG

(Registered)

6,679

519,829

34,024

282.9

Helvetia

Holding

AG

(Registered)

6,509

907,280

38,654

321.4

139

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Julius

Baer

Group

Ltd.

1,765

120,564

3,586

29.8

Novartis

AG

(Registered)

11,441

1,050,496

22,000

182.9

SGS

SA

(Registered)

194

427,915

(6,753)

(56.2)

Sonova

Holding

AG

(Registered)

2,486

733,342

44,560

370.5

Swatch

Group

AG

(The)

1,905

656,064

21,238

176.6

Swiss

Life

Holding

AG

(Registered)

1,728

1,066,360

55,189

458.9

Swisscom

AG

(Registered)

1,137

725,602

(8,083)

(67.2)

Temenos

AG

(Registered)

15,578

1,084,012

77,091

641.0

UBS

Group

AG

(Registered)

39,808

842,369

83,365

693.2

United

States

Holcim

AG

10,848

699,602

25,685

213.6

Swiss

Re

AG

12,065

1,239,480

28,431

236.4

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

(21,845)

(795,705)

(44,339)

(368.7)

Bachem

Holding

AG

(8,928)

(897,819)

(36,195)

(301.0)

Banque

Cantonale

Vaudoise

(Registered)

(4,919)

(464,187)

(2,636)

(21.9)

Belimo

Holding

AG

(Registered)

(363)

(175,448)

(881)

(7.3)

BKW

AG

(2,143)

(336,941)

(6,924)

(57.6)

Cie

Financiere

Richemont

SA

(Registered)

(2,561)

(410,672)

(15,585)

(129.6)

EMS-Chemie

Holding

AG

(Registered)

(295)

(243,856)

(8,649)

(71.9)

Flughafen

Zurich

AG

(Registered)

(1,866)

(341,881)

(12,917)

(107.4)

Geberit

AG

(Registered)

(3,052)

(1,704,381)

(71,555)

(595.0)

Givaudan

SA

(Registered)

(342)

(1,113,138)

(23,912)

(198.8)

Logitech

International

SA

(Registered)

(22,511)

(1,313,890)

(116,190)

(966.1)

Lonza

Group

AG

(Registered)

(1,367)

(822,934)

(19,124)

(159.0)

Partners

Group

Holding

AG

(1,045)

(984,100)

(43,663)

(363.0)

Schindler

Holding

AG

(5,296)

(1,173,476)

(23,342)

(194.1)

SIG

Group

AG

(79,669)

(2,052,527)

(34,136)

(283.8)

Sika

AG

(Registered)

(4,313)

(1,209,777)

(32,240)

(268.1)

Straumann

Holding

AG

(Registered)

(9,820)

(1,472,849)

(89,925)

(747.7)

Tecan

Group

AG

(Registered)

(2,279)

(998,293)

(12,914)

(107.4)

VAT

Group

AG

(1,528)

(552,041)

(30,990)

(257.7)

United

States

Nestle

SA

(Registered)

(17,376)

(2,118,665)

(38,369)

(319.0)

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

CIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

03/25/2025

$17,332,599

$(695,751)

$98,411

$(597,340)

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

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

1,453

2,641,132

(637,417)

106.7

Carlsberg

A/S

5,331

827,195

18,933

(3.2)

Danske

Bank

A/S

46,177

929,025

5,734

(1.0)

DSV

A/S

4,135

801,766

21,941

(3.7)

ISS

A/S

56,581

1,154,765

75,753

(12.7)

Jyske

Bank

A/S

(Registered)

9,217

645,904

11,387

(1.9)

Novo

Nordisk

A/S

5,624

893,211

19,649

(3.3)

Pandora

A/S

12,456

1,195,629

83,006

(13.9)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(22,769)

(342,381)

(17,154)

2.9

Coloplast

A/S

(16,703)

(2,199,239)

(96,942)

16.2

Demant

A/S

(20,079)

(704,902)

(43,139)

7.2

Novozymes

A/S

(35,854)

(1,835,839)

(5,912)

1.0

Orsted

A/S

(5,078)

(432,991)

(17,990)

3.0

ROCKWOOL

A/S

(3,369)

(826,138)

(32,607)

5.5

Royal

Unibrew

A/S

(4,548)

(396,456)

(11,527)

1.9

Tryg

A/S

(14,484)

(316,701)

(6,120)

1.0

Vestas

Wind

Systems

A/S

(40,808)

(1,189,325)

(63,346)

10.6

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

ESTR

plus

or

minus

a

specified

spread

(-1.10%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

03/25/2025

$232,008,062

$(120,842)

$(6,230,065)

$(6,350,907)

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

Air

France-KLM

1,052,560

1,939,616

174,285

(2.7)

Cie

de

Saint-Gobain

58,263

3,311,879

136,139

(2.1)

Eiffage

SA

15,004

1,623,673

56,044

(0.9)

Getlink

SE

107,444

1,769,563

68,909

(1.1)

Renault

SA

55,290

2,253,408

65,095

(1.0)

Rexel

SA

89,796

2,134,876

114,162

(1.8)

Vinci

SA

12,858

1,474,072

49,223

(0.8)

141

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Bayerische

Motoren

Werke

AG

24,944

2,733,829

65,172

(1.0)

Commerzbank

AG

244,584

2,575,040

131,544

(2.1)

Deutsche

Bank

AG

(Registered)

229,954

2,338,448

77,772

(1.2)

Deutsche

Lufthansa

AG

(Registered)

282,906

3,146,624

235,289

(3.7)

HeidelbergCement

AG

24,183

1,765,775

93,576

(1.5)

thyssenkrupp

AG

283,017

2,038,176

110,030

(1.7)

Italy

Banco

BPM

SpA

466,105

1,820,769

82,892

(1.3)

Leonardo

SpA

331,981

3,893,331

(58,036)

0.9

Prysmian

SpA

58,106

2,439,912

136,049

(2.1)

UniCredit

SpA

91,668

1,727,746

94,375

(1.5)

Luxembourg

ArcelorMittal

SA

72,539

2,197,662

138,513

(2.2)

Singapore

STMicroelectronics

NV

28,981

1,544,215

103,311

(1.6)

Spain

Banco

de

Sabadell

SA

1,829,997

1,968,055

19,940

(0.3)

Industria

de

Diseno

Textil

SA

77,589

2,606,620

108,346

(1.7)

Repsol

SA

298,653

4,592,649

77,634

(1.2)

United

States

Sanofi

14,294

1,550,595

24,594

(0.4)

Stellantis

NV

173,107

3,148,172

101,241

(1.6)

Tenaris

SA

150,549

2,133,159

19,623

(0.3)

Short

Positions

Common

Stocks

Belgium

UCB

SA

(23,168)

(2,070,668)

(54,582)

0.9

Finland

Kone

OYJ

(32,121)

(1,675,240)

(62,021)

1.0

UPM-Kymmene

OYJ

(43,191)

(1,450,699)

(11,755)

0.2

France

Air

Liquide

SA

(21,586)

(3,613,253)

(105,028)

1.7

Alstom

SA

(56,120)

(1,527,940)

(66,032)

1.0

Cie

Generale

des

Etablissements

Michelin

SCA

(80,350)

(2,456,162)

(78,559)

1.2

EssilorLuxottica

SA

(14,889)

(2,684,828)

(59,306)

0.9

Kering

SA

(3,078)

(2,008,174)

(94,446)

1.5

L'Oreal

SA

(11,390)

(5,089,539)

(140,527)

2.2

Germany

adidas

AG

(15,810)

(2,802,679)

(385,100)

6.1

Deutsche

Telekom

AG

(Registered)

(149,034)

(3,611,436)

(83,111)

1.3

Fresenius

Medical

Care

AG

&

Co.

KGaA

(70,386)

(2,987,480)

(49,400)

0.8

Rheinmetall

AG

(5,456)

(1,616,342)

(9,276)

0.1

Siemens

AG

(Registered)

(30,574)

(4,953,108)

(256,016)

4.0

Siemens

Healthineers

AG

(31,498)

(1,815,923)

(51,923)

0.8

Zalando

SE

(37,536)

(1,573,154)

(163,036)

2.6

Italy

Enel

SpA

(241,597)

(1,473,488)

(41,855)

0.7

Luxembourg

Eurofins

Scientific

SE

(29,440)

(1,971,294)

7,584

(0.1)

Netherlands

Adyen

NV

(1,492)

(2,377,396)

(66,786)

1.1

Portugal

EDP

-

Energias

de

Portugal

SA

(426,927)

(2,326,289)

(102,952)

1.6

Spain

Cellnex

Telecom

SA

(47,021)

(1,828,536)

(74,843)

1.2

Iberdrola

SA

(324,363)

(4,040,852)

(106,285)

1.7

142

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Schneider

Electric

SE

(22,857)

(3,819,952)

(226,127)

3.6

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference)

(32,981)

(2,580,236)

(107,243)

1.7

Sartorius

AG

(Preference)

(4,785)

(2,016,668)

85,530

(1.3)

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

(-0.23%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

03/25/2025

$76,821,652

$124,682

$(2,017,782)

$(1,893,100)

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

316,182

1,819,381

65,751

(3.5)

Netherlands

Shell

plc

147,174

4,194,253

141,064

(7.5)

United

Kingdom

Associated

British

Foods

plc

35,725

857,325

(2,708)

0.1

Auto

Trader

Group

plc

126,941

968,268

38,410

(2.0)

Aviva

plc

257,700

1,287,247

(24,721)

1.3

Barclays

plc

651,305

1,172,287

71,561

(3.8)

Barratt

Developments

plc

149,118

858,142

31,830

(1.7)

BP

plc

369,944

2,338,240

72,855

(3.8)

British

American

Tobacco

plc

41,448

1,452,936

(22,428)

1.2

Centrica

plc

1,207,255

1,581,064

41,903

(2.2)

DS

Smith

plc

362,390

1,410,900

36,239

(1.9)

Harbour

Energy

plc

240,633

815,467

54,950

(2.9)

Howden

Joinery

Group

plc

75,876

655,153

22,600

(1.2)

Inchcape

plc

69,497

666,179

53,199

(2.8)

InterContinental

Hotels

Group

plc

33,331

2,182,037

66,150

(3.5)

Lloyds

Banking

Group

plc

2,133,553

1,254,419

35,300

(1.9)

M&G

plc

252,779

619,570

57,812

(3.1)

Man

Group

plc

331,301

965,154

(24,291)

1.3

Melrose

Industries

plc

313,212

645,077

23,008

(1.2)

Pearson

plc

115,397

1,207,621

32,349

(1.7)

Reckitt

Benckiser

Group

plc

20,526

1,561,567

7,879

(0.4)

RELX

plc

30,341

982,652

14,747

(0.8)

Rightmove

plc

93,248

649,067

15,017

(0.8)

Standard

Chartered

plc

169,759

1,286,615

46,042

(2.4)

143

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Tesco

plc

353,598

1,159,247

62,644

(3.3)

Vodafone

Group

plc

843,768

930,759

3,341

(0.2)

United

States

GSK

plc

70,958

1,253,780

7,649

(0.4)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(17,466)

(1,185,557)

(58,267)

3.1

Chile

Antofagasta

plc

(108,183)

(2,119,033)

(90,523)

4.8

Hong

Kong

Prudential

plc

(70,656)

(967,396)

(72,686)

3.8

Italy

Coca-Cola

HBC

AG

(31,279)

(856,269)

(4,681)

0.2

Jordan

Hikma

Pharmaceuticals

plc

(29,573)

(612,970)

(8,111)

0.4

United

Kingdom

abrdn

plc

(502,799)

(1,265,481)

3,556

(0.2)

B&M

European

Value

Retail

SA

(139,116)

(828,822)

(30,133)

1.6

Bellway

plc

(24,249)

(660,507)

(50,270)

2.7

ConvaTec

Group

plc

(235,959)

(666,777)

(25,821)

1.4

Informa

plc

(77,670)

(665,746)

(25,710)

1.4

ITV

plc

(1,052,709)

(1,081,222)

(37,130)

2.0

J

Sainsbury

plc

(264,887)

(911,526)

(57,690)

3.0

Kingfisher

plc

(532,470)

(1,721,214)

(44,920)

2.4

Ocado

Group

plc

(95,998)

(635,642)

(100,251)

5.3

Pennon

Group

plc

(93,060)

(1,005,511)

(38,331)

2.0

Persimmon

plc

(64,604)

(1,003,153)

(39,236)

2.1

Rentokil

Initial

plc

(298,658)

(2,182,756)

(67,999)

3.6

Rolls-Royce

Holdings

plc

(1,389,465)

(2,559,204)

(85,153)

4.5

Schroders

plc

(129,358)

(737,659)

(34,567)

1.8

Severn

Trent

plc

(45,235)

(1,606,881)

(40,521)

2.1

Smith

&

Nephew

plc

(62,021)

(862,126)

10,078

(0.5)

United

Utilities

Group

plc

(58,386)

(764,125)

(18,306)

1.0

Weir

Group

plc

(The)

(42,738)

(980,472)

(53,363)

2.8

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

HIBOR

plus

or

minus

a

specified

spread

(-1.25%

to

0.23%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

03/27/2025

$15,550,516

$(80,863)

$(137,527)

$(218,390)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

144

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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.

351,000

1,092,753

(13,917)

6.4

SITC

International

Holdings

Co.

Ltd.

352,000

756,504

9,448

(4.3)

Hong

Kong

ASMPT

Ltd.

91,200

904,520

4,127

(1.9)

CLP

Holdings

Ltd.

17,000

122,844

1,569

(0.7)

HKT

Trust

&

HKT

Ltd.

134,000

177,882

1,375

(0.6)

Man

Wah

Holdings

Ltd.

88,000

72,512

(1,252)

0.6

New

World

Development

Co.

Ltd.

158,000

423,535

(152)

0.1

Swire

Pacific

Ltd.

18,000

138,330

1,207

(0.6)

Swire

Properties

Ltd.

136,400

351,053

3,533

(1.6)

WH

Group

Ltd.

1,592,000

949,066

40,499

(18.5)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

153,000

946,557

284

(0.1)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(197,000)

(599,536)

4,020

(1.8)

ESR

Group

Ltd.

(243,000)

(435,768)

90

(0.0)

Xinyi

Glass

Holdings

Ltd.

(154,000)

(275,490)

(9,469)

4.3

Hong

Kong

AIA

Group

Ltd.

(26,200)

(274,769)

(5,923)

2.7

Hang

Lung

Properties

Ltd.

(119,000)

(222,674)

776

(0.4)

Henderson

Land

Development

Co.

Ltd.

(78,000)

(269,864)

(2,574)

1.2

Hong

Kong

&

China

Gas

Co.

Ltd.

(898,000)

(790,611)

(6,996)

3.2

MTR

Corp.

Ltd.

(214,518)

(1,035,326)

(2,347)

1.1

Power

Assets

Holdings

Ltd.

(19,500)

(104,614)

(1,027)

0.5

Techtronic

Industries

Co.

Ltd.

(210,500)

(2,280,791)

(22,915)

10.5

Wharf

Real

Estate

Investment

Co.

Ltd.

(135,000)

(777,245)

(17,968)

8.2

Macau

Galaxy

Entertainment

Group

Ltd.

(203,000)

(1,357,901)

(18,342)

8.4

Sands

China

Ltd.

(284,400)

(988,003)

(31,537)

14.4

Wynn

Macau

Ltd.

(205,200)

(202,368)

(13,372)

6.1

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

(-1.25%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

03/25/2025

$30,493,869

$(155,223)

$(230,149)

$(385,372)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

145

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

53,824

574,749

28,367

(7.4)

Sweden

Assa

Abloy

AB

13,104

313,873

12,755

(3.3)

Axfood

AB

45,551

1,112,380

58,198

(15.1)

Billerud

AB

66,266

681,094

24,117

(6.3)

Boliden

AB

23,980

942,035

35,652

(9.3)

Elekta

AB

14,431

110,282

2,609

(0.7)

Evolution

AB

8,483

1,136,539

49,499

(12.8)

Getinge

AB

6,763

164,938

6,338

(1.6)

Hexpol

AB

20,701

256,422

13,890

(3.6)

Saab

AB

16,597

1,008,286

7,892

(2.0)

Sandvik

AB

18,542

393,569

31,089

(8.1)

Skandinaviska

Enskilda

Banken

AB

39,444

435,394

21,534

(5.6)

Skanska

AB

43,166

661,160

(5,108)

1.3

SSAB

AB

279,428

1,997,391

181,741

(47.2)

Telefonaktiebolaget

LM

Ericsson

192,971

1,131,162

65,629

(17.0)

Trelleborg

AB

33,201

944,953

101,733

(26.4)

Volvo

AB

53,652

1,105,588

70,697

(18.3)

Short

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

(8,922)

(169,297)

(8,634)

2.2

Sweden

Alfa

Laval

AB

(28,330)

(1,011,582)

(64,156)

16.6

Atlas

Copco

AB

(81,507)

(1,032,559)

(64,747)

16.8

Beijer

Ref

AB

(53,385)

(936,774)

(28,936)

7.5

Electrolux

AB

(56,937)

(692,035)

(44,164)

11.5

Epiroc

AB

(33,102)

(657,075)

(43,449)

11.3

EQT

AB

(35,683)

(728,910)

(42,686)

11.1

Essity

AB

(48,888)

(1,396,432)

(5,957)

1.5

H

&

M

Hennes

&

Mauritz

AB

(9,188)

(131,366)

(23,348)

6.1

Hexagon

AB

(241,927)

(2,784,436)

(141,164)

36.6

Holmen

AB

(7,357)

(283,629)

3,024

(0.8)

Husqvarna

AB

(53,193)

(461,704)

(35,504)

9.2

Lifco

AB

(6,343)

(136,772)

(8,372)

2.2

Nibe

Industrier

AB

(118,793)

(1,354,136)

(89,979)

23.3

Securitas

AB

(166,340)

(1,479,701)

(97,568)

25.3

SKF

AB

(76,989)

(1,516,446)

(95,944)

24.9

Svenska

Cellulosa

AB

SCA

(40,642)

(535,277)

(4,296)

1.1

Svenska

Handelsbanken

AB

(85,244)

(738,287)

(47,235)

12.3

Swedish

Orphan

Biovitrum

AB

(11,559)

(269,331)

2,743

(0.7)

Tele2

AB

(9,062)

(90,195)

(2,901)

0.8

Telia

Co.

AB

(294,736)

(748,412)

(2,982)

0.8

United

States

Sinch

AB

(136,675)

(369,698)

(15,600)

4.0

146

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

93.4%

INVESTMENT

COMPANIES

-

28.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(a)(b)

16,682,517

16,682,517

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

24,764,743

24,754,838

TOTAL

INVESTMENT

COMPANIES

(Cost

$41,429,039)

41,437,355

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

65.2%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(c)

$

4,636,000

4,634,216

4.33%,

4/20/2023

(c)

18,950,000

18,908,412

4.49%,

4/27/2023

(c)(d)

5,817,000

5,799,161

4.54%,

5/4/2023

(c)

1,133,000

1,128,494

4.59%,

5/11/2023

(c)(d)

2,497,000

2,484,746

4.63%,

5/25/2023

(c)

807,000

801,620

4.66%,

6/22/2023

(c)(d)

3,141,000

3,108,901

4.71%,

6/29/2023

(c)(d)

12,968,000

12,822,899

4.75%,

7/6/2023

(c)(d)

1,588,000

1,568,750

4.83%,

7/13/2023

(c)

757,000

747,065

4.79%,

8/3/2023

(c)

133,000

130,877

4.85%,

8/10/2023

(c)(d)

7,326,000

7,202,880

4.96%,

8/17/2023

(c)

2,879,000

2,827,963

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

65.2%

(continued)

5.04%,

8/24/2023

(c)

$

6,414,000

6,294,445

5.07%,

8/31/2023

(c)

8,621,000

8,452,920

5.10%,

9/7/2023

(c)(d)

12,835,000

12,573,038

4.81%,

9/14/2023

(c)(d)

3,374,000

3,301,640

4.76%,

9/28/2023

(c)(d)

3,077,000

3,005,441

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$95,742,430)

95,793,468

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$137,171,469)

137,230,823

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

93.4%

(Cost

$137,171,469)

137,230,823

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

6.6%

(e)

9,622,228

NET

ASSETS

-

100.0%

146,853,051

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

41,437,355

28.2

U.S.

Treasury

Obligations

95,793,468

65.2

Total

Investments

In

Securities

At

Value

$

137,230,823

93.4

Other

Assets

in

Excess

of

Liabilities

(e)

9,622,228

6.6

Net

Assets

$

146,853,051

100.0%

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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.

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2023:

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

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.30

%

USD

102,000

$

7,178

$

(1,339)

$

5,839

iTraxx

Europe

Main

Index

Series

39.V1

1.00

Quarterly

6/20/2028

0.84

EUR

172,000

(388)

(1,052)

(1,440)

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.63

USD

254,000

1,143

(5,460)

(4,317)

147

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

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

Investment

Grade

Index

Series

40.V1

1.00

%

Quarterly

6/20/2028

0.75

%

USD

1,269,000

$

(10,251)

$

(4,686)

$

(14,937)

$

(2,318)

$

(12,537)

$

(14,855)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

March

31,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.36

%

EUR

85,000

$

849

$

1,705

$

2,554

$

849

$

1,705

$

2,554

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

8,600,000

$

78,800

$

(41,579)

$

37,221

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

5,500,000

126,283

20,735

147,018

Pay

1D

TONAR

Annual

0.50%

Annual

6/23/2025

JPY

500,000,000

20,072

6,090

26,162

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

1,070,700,000

48,497

2,585

51,082

Pay

1D

TONAR

Annual

1.00%

Annual

6/21/2033

JPY

260,000,000

13,522

54,184

67,706

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

224,200,000

35,851

17,703

53,554

Pay

3M

BA

Qtrly

3.50%

Semi

6/19/2028

CAD

16,700,000

151,071

(30,731)

120,340

Pay

3M

BA

Qtrly

3.50%

Semi

6/20/2033

CAD

700,000

3,405

6,163

9,568

Pay

3M

BBR

Qtrly

4.50%

Semi

6/14/2028

NZD

7,300,000

45,347

(18,642)

26,705

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

4,800,000

13,463

49,896

63,359

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

9/17/2025

KRW

100,000,000

676

(278)

398

Pay

3M

STIBOR

Qtrly

3.00%

Annual

6/21/2028

SEK

68,600,000

78,181

(75,343)

2,838

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

2,000,000

1,083

(438)

645

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

31,600,000

(32,399)

78,944

46,545

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

4,400,000

11,072

16,693

27,765

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

500,000

9,007

(2,409)

6,598

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

700,000

20,930

232

21,162

Pay

6M

NIBOR

Semi

3.50%

Annual

6/21/2028

NOK

76,800,000

97,853

13,040

110,893

Pay

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

18,500,000

21,318

45,392

66,710

Receive

1D

SARON

Annual

1.50%

Annual

6/23/2025

CHF

4,500,000

(16,555)

62,010

45,455

Receive

1D

SARON

Annual

1.00%

Annual

6/23/2025

CHF

700,000

3,392

11,211

14,603

Receive

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

11,200,000

78,751

36,797

115,548

Receive

1D

SARON

Annual

1.50%

Annual

6/21/2033

CHF

700,000

5,966

24,439

30,405

Receive

1D

SOFR

Annual

3.75%

Annual

6/23/2025

USD

16,400,000

(10,754)

41,602

30,848

Receive

1D

SOFR

Annual

3.25%

Annual

6/23/2025

USD

2,700,000

23,728

6,940

30,668

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

8,700,000

154,074

(138,685)

15,389

Receive

1D

SOFR

Annual

3.00%

Annual

6/21/2033

USD

1,700,000

37,306

(16,495)

20,811

Receive

1D

SONIA

Annual

4.00%

Annual

6/23/2025

GBP

17,500,000

(51,685)

138,989

87,304

Receive

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

8,300,000

8,442

10,654

19,096

Receive

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

7,900,000

(1,021)

62,885

61,864

Receive

1D

TONAR

Annual

0.00%

Annual

6/23/2025

JPY

763,400,000

23,979

(6,381)

17,598

Receive

1M

TIIE

Monthly

9.00%

Monthly

6/18/2025

MXN

64,400,000

(24,616)

60,776

36,160

Receive

1M

TIIE

Monthly

8.50%

Monthly

6/18/2025

MXN

53,000,000

12,547

43,163

55,710

Receive

1M

TIIE

Monthly

9.00%

Monthly

9/17/2025

MXN

71,000,000

(6,125)

6,327

202

148

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

3M

BA

Qtrly

3.75%

Semi

6/19/2025

CAD

43,800,000

$

4,052

$

153,980

$

158,032

Receive

3M

BA

Qtrly

3.50%

Semi

9/18/2025

CAD

5,600,000

65,468

(43,986)

21,482

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

500,000

1,415

128

1,543

Receive

3M

JIBAR

Qtrly

7.50%

Qtrly

9/17/2025

ZAR

5,000,000

285

1,163

1,448

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/18/2025

SEK

79,700,000

12,483

53,512

65,995

Receive

3M

STIBOR

Qtrly

2.50%

Annual

6/15/2033

SEK

16,800,000

8,992

39,625

48,617

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/23/2025

EUR

74,300,000

532,081

831,202

1,363,283

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

1,500,000

28,348

(11,110)

17,238

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/21/2033

EUR

1,800,000

69,610

5,633

75,243

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

200,000

10,256

(2,214)

8,042

Receive

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

4,000,000

1,208

1,069

2,277

Receive

6M

NIBOR

Semi

3.00%

Annual

6/15/2033

NOK

20,400,000

17,894

(3,567)

14,327

Receive

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

2,000,000

926

(37)

889

Receive

6M

PRIBOR

Semi

5.00%

Annual

6/18/2025

CZK

400,000

(75)

337

262

1,734,404

1,512,204

3,246,608

Pay

1D

SARON

Annual

1.50%

Annual

6/21/2028

CHF

3,800,000

(79,639)

(1,666)

(81,305)

Pay

1D

SOFR

Annual

3.25%

Annual

6/21/2028

USD

10,000,000

(94,268)

88,222

(6,046)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

2,600,000

(106,856)

86,633

(20,223)

Pay

1D

SONIA

Annual

3.25%

Annual

6/21/2033

GBP

3,900,000

(76,429)

14,630

(61,799)

Pay

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

6,000,000

(159,385)

88,955

(70,430)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

150,000,000

(4,286)

142

(4,144)

Pay

1D

TONAR

Annual

0.50%

Annual

6/21/2033

JPY

2,300,000

(810)

564

(246)

Pay

3M

BA

Qtrly

3.00%

Semi

9/18/2028

CAD

3,900,000

(87,189)

63,663

(23,526)

Pay

3M

CD_KSDA

Qtrly

3.00%

Qtrly

9/17/2025

KRW

300,000,000

(560)

(438)

(998)

Pay

3M

HIBOR

Qtrly

3.50%

Qtrly

9/17/2025

HKD

11,700,000

9,642

(14,309)

(4,667)

Pay

6M

BBR

Semi

3.50%

Semi

9/07/2028

AUD

10,000,000

(47,429)

26,428

(21,001)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2028

EUR

34,600,000

(586,053)

(305,269)

(891,322)

Pay

6M

WIBOR

Semi

5.50%

Annual

9/17/2025

PLN

2,400,000

(1,377)

(1,739)

(3,116)

Receive

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

9,500,000

4,613

(8,326)

(3,713)

Receive

1D

SARON

Annual

2.00%

Annual

6/21/2033

CHF

300,000

1,618

(3,516)

(1,898)

Receive

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

400,000

(8,729)

6,493

(2,236)

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

13,600,000

(227,314)

(4,351)

(231,665)

Receive

1D

TONAR

Annual

0.50%

Annual

6/21/2028

JPY

419,700,000

(2,611)

(26,056)

(28,667)

Receive

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

900,200,000

(15,058)

(35,009)

(50,067)

Receive

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

400,000

99

(283)

(184)

Receive

3M

BA

Qtrly

4.25%

Semi

9/18/2025

CAD

1,200,000

(8,959)

1,090

(7,869)

Receive

3M

BA

Qtrly

3.75%

Semi

9/18/2028

CAD

100,000

(2,561)

662

(1,899)

Receive

3M

BA

Qtrly

3.25%

Semi

9/19/2033

CAD

1,200,000

33,910

(34,073)

(163)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/11/2025

NZD

10,700,000

(29,800)

22,354

(7,446)

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

22,300,000

10,030

(69,183)

(59,153)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

1,000,000

(7,662)

(646)

(8,308)

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

42,200,000

(70,597)

(10,963)

(81,560)

Receive

3M

BBR

Qtrly

4.50%

Semi

6/15/2033

NZD

2,000,000

(34,697)

11,600

(23,097)

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

6/18/2025

KRW

20,400,000

23

(82)

(59)

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

18,300,000

1,653

(5,396)

(3,743)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

6/18/2025

SEK

2,000,000

(1,683)

1,523

(160)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

184,300,000

99,389

(157,594)

(58,205)

Receive

3M

STIBOR

Qtrly

3.00%

Annual

6/15/2033

SEK

1,000,000

957

(2,179)

(1,222)

Receive

6M

BBR

Semi

4.00%

Semi

9/07/2028

AUD

100,000

937

(2,234)

(1,297)

Receive

6M

BBR

Semi

4.00%

Semi

6/09/2033

AUD

100,000

102

(822)

(720)

Receive

6M

BUBOR

Semi

12.00%

Annual

6/18/2025

HUF

80,000,000

540

(1,272)

(732)

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

5,700,000

(67,013)

16,059

(50,954)

Receive

6M

NIBOR

Semi

3.50%

Annual

6/18/2025

NOK

99,000,000

18,827

(24,818)

(5,991)

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

86,000,000

(20,147)

(84,592)

(104,739)

Receive

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

8,300,000

7,498

(10,190)

(2,692)

149

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

PRIBOR

Semi

5.50%

Annual

9/17/2025

CZK

14,900,000

$

(1,910)

$

220

$

(1,690)

(1,553,184)

(375,768)

(1,928,952)

$

181,220

$

1,136,436

$

1,317,656

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,

2023

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

4.87%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.18%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.03%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.52%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.72%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

5.03%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

3.71%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

7.96%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.59%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.36%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.79%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

16.00%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.34%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

3.96%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.20%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/12/2023

BRL

(16,851,120)

$

201,326

201,326

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(2,269,650)

(101,816)

Hang

Seng

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

(6,144,300)

(18,356)

150

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

(6,267,720)

$

(327,569)

TAIEX

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/19/2023

TWD

(9,518,400)

(10,475)

(458,216)

$

(256,890)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

2

4/2023

USD

$

119,267

$

(13,039)

LME

Aluminum

Base

Metal

2

4/2023

USD

118,850

4,410

LME

Aluminum

Base

Metal

3

4/2023

USD

178,674

(20,468)

LME

Aluminum

Base

Metal

3

4/2023

USD

178,514

(12,658)

LME

Aluminum

Base

Metal

3

4/2023

USD

178,931

(19,163)

LME

Aluminum

Base

Metal

3

4/2023

USD

178,869

(20,131)

LME

Aluminum

Base

Metal

3

4/2023

USD

178,838

(19,021)

LME

Aluminum

Base

Metal

4

4/2023

USD

238,300

(22,223)

LME

Aluminum

Base

Metal

5

4/2023

USD

297,469

(14,208)

LME

Aluminum

Base

Metal

6

4/2023

USD

357,932

(31,053)

LME

Aluminum

Base

Metal

9

4/2023

USD

535,388

(12,932)

LME

Copper

Base

Metal

1

4/2023

USD

225,113

(2,807)

LME

Copper

Base

Metal

1

4/2023

USD

225,075

15,797

LME

Copper

Base

Metal

2

4/2023

USD

450,275

10,104

LME

Copper

Base

Metal

2

4/2023

USD

449,925

(21,590)

LME

Copper

Base

Metal

3

4/2023

USD

674,882

(24,663)

LME

Lead

Base

Metal

1

4/2023

USD

52,694

(684)

LME

Lead

Base

Metal

1

4/2023

USD

52,981

(3,227)

LME

Lead

Base

Metal

1

4/2023

USD

52,644

910

LME

Lead

Base

Metal

2

4/2023

USD

105,738

(1,093)

LME

Nickel

Base

Metal

1

4/2023

USD

142,213

(29,810)

LME

Nickel

Base

Metal

1

4/2023

USD

141,920

(29,867)

LME

Nickel

Base

Metal

1

4/2023

USD

142,107

(24,966)

LME

Nickel

Base

Metal

1

4/2023

USD

142,021

(18,060)

LME

Nickel

Base

Metal

2

4/2023

USD

284,070

(46,991)

LME

Nickel

Base

Metal

3

4/2023

USD

426,587

(83,133)

LME

Zinc

Base

Metal

1

4/2023

USD

73,374

(11,129)

LME

Zinc

Base

Metal

1

4/2023

USD

73,706

(5,594)

LME

Zinc

Base

Metal

3

4/2023

USD

221,044

(4,672)

Natural

Gas

2

4/2023

USD

44,320

(616)

RBOB

Gasoline

10

4/2023

USD

1,126,020

12,951

SGX

FTSE

China

A50

Index

38

4/2023

USD

505,628

7,233

Cocoa

7

5/2023

USD

205,310

3,044

Cocoa

18

5/2023

GBP

479,402

33,150

Copper

17

5/2023

USD

1,740,163

7,187

FCOJ-A

4

5/2023

USD

161,700

25,520

LME

Aluminum

Base

Metal

3

5/2023

USD

179,794

485

LME

Aluminum

Base

Metal

3

5/2023

USD

179,531

547

151

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

4

5/2023

USD

$

239,350

$

488

LME

Aluminum

Base

Metal

4

5/2023

USD

238,804

(23,620)

LME

Aluminum

Base

Metal

4

5/2023

USD

239,325

(3,137)

LME

Aluminum

Base

Metal

5

5/2023

USD

298,563

(23,996)

LME

Aluminum

Base

Metal

5

5/2023

USD

298,666

(16,599)

LME

Aluminum

Base

Metal

6

5/2023

USD

358,800

(6,842)

LME

Aluminum

Base

Metal

23

5/2023

USD

1,374,825

(65,098)

LME

Copper

Base

Metal

1

5/2023

USD

225,131

(871)

LME

Copper

Base

Metal

2

5/2023

USD

449,825

852

LME

Copper

Base

Metal

3

5/2023

USD

675,338

1,325

LME

Lead

Base

Metal

1

5/2023

USD

52,660

(794)

LME

Lead

Base

Metal

1

5/2023

USD

52,633

1,681

LME

Lead

Base

Metal

2

5/2023

USD

105,275

770

LME

Lead

Base

Metal

4

5/2023

USD

210,575

(1,423)

LME

Nickel

Base

Metal

1

5/2023

USD

142,307

(33,415)

LME

Nickel

Base

Metal

1

5/2023

USD

142,436

(19,693)

LME

Nickel

Base

Metal

1

5/2023

USD

142,500

(13,473)

LME

Nickel

Base

Metal

1

5/2023

USD

142,474

(17,489)

LME

Nickel

Base

Metal

2

5/2023

USD

285,132

(26,874)

LME

Zinc

Base

Metal

1

5/2023

USD

73,327

(5,889)

LME

Zinc

Base

Metal

2

5/2023

USD

146,488

(3,018)

LME

Zinc

Base

Metal

2

5/2023

USD

146,559

(4,547)

LME

Zinc

Base

Metal

3

5/2023

USD

219,944

(12,993)

LME

Zinc

Base

Metal

3

5/2023

USD

220,050

(29,296)

LME

Zinc

Base

Metal

4

5/2023

USD

293,447

(38,065)

Milk

1

5/2023

USD

38,200

(1,477)

Milk

2

5/2023

USD

73,880

(357)

Soybean

Meal

18

5/2023

USD

838,800

(14,208)

100

oz

Gold

1

6/2023

USD

198,620

(2,383)

Japan

10

Year

Bond

6

6/2023

JPY

6,681,680

(29,629)

LME

Aluminum

Base

Metal

1

6/2023

USD

60,263

3,535

LME

Aluminum

Base

Metal

2

6/2023

USD

120,266

2,160

LME

Aluminum

Base

Metal

2

6/2023

USD

120,463

5,007

LME

Aluminum

Base

Metal

2

6/2023

USD

120,289

4,283

LME

Aluminum

Base

Metal

3

6/2023

USD

180,896

5,237

LME

Aluminum

Base

Metal

4

6/2023

USD

240,839

8,210

LME

Aluminum

Base

Metal

5

6/2023

USD

300,605

2,665

LME

Aluminum

Base

Metal

5

6/2023

USD

301,219

17,379

LME

Aluminum

Base

Metal

13

6/2023

USD

782,867

31,119

LME

Aluminum

Base

Metal

17

6/2023

USD

1,024,463

28,327

LME

Copper

Base

Metal

1

6/2023

USD

224,850

9,060

LME

Copper

Base

Metal

1

6/2023

USD

224,874

3,689

LME

Copper

Base

Metal

1

6/2023

USD

224,813

2,370

LME

Copper

Base

Metal

1

6/2023

USD

224,825

8,446

LME

Copper

Base

Metal

3

6/2023

USD

674,400

10,553

LME

Copper

Base

Metal

3

6/2023

USD

674,513

28,850

LME

Copper

Base

Metal

3

6/2023

USD

674,550

9,687

LME

Copper

Base

Metal

4

6/2023

USD

899,167

4,830

LME

Copper

Base

Metal

4

6/2023

USD

899,475

16,855

LME

Copper

Base

Metal

23

6/2023

USD

5,170,688

96,547

LME

Lead

Base

Metal

1

6/2023

USD

52,694

(815)

LME

Lead

Base

Metal

1

6/2023

USD

52,656

(296)

LME

Lead

Base

Metal

1

6/2023

USD

52,775

997

LME

Lead

Base

Metal

2

6/2023

USD

105,350

(155)

LME

Lead

Base

Metal

2

6/2023

USD

105,313

(593)

LME

Lead

Base

Metal

3

6/2023

USD

158,156

1,773

152

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

3

6/2023

USD

$

158,025

$

(2,258)

LME

Nickel

Base

Metal

1

6/2023

USD

142,950

4,857

LME

Nickel

Base

Metal

1

6/2023

USD

142,886

2,213

LME

Nickel

Base

Metal

1

6/2023

USD

142,974

2,271

LME

Nickel

Base

Metal

2

6/2023

USD

285,492

(6,834)

LME

Nickel

Base

Metal

2

6/2023

USD

285,676

10,990

LME

Nickel

Base

Metal

3

6/2023

USD

428,202

(12,627)

LME

Nickel

Base

Metal

6

6/2023

USD

857,844

(83,872)

LME

Zinc

Base

Metal

1

6/2023

USD

73,166

(262)

LME

Zinc

Base

Metal

1

6/2023

USD

73,099

546

LME

Zinc

Base

Metal

1

6/2023

USD

73,170

(2,302)

LME

Zinc

Base

Metal

2

6/2023

USD

146,294

(562)

LME

Zinc

Base

Metal

2

6/2023

USD

146,273

(8)

LME

Zinc

Base

Metal

3

6/2023

USD

219,425

1,429

LME

Zinc

Base

Metal

5

6/2023

USD

365,423

6,583

LME

Zinc

Base

Metal

6

6/2023

USD

438,912

1,009

Cocoa

4

7/2023

USD

115,760

873

Cocoa

11

7/2023

GBP

293,510

3,810

Platinum

6

7/2023

USD

300,930

6,233

White

Sugar

19

7/2023

USD

588,240

8,726

WTI

Crude

Oil

1

8/2023

JPY

23,122

(1,168)

(523,163)

Short

Contracts

Brent

Crude

Oil

(39)

4/2023

USD

(3,115,710)

(225,952)

CAC

40

10

Euro

Index

(26)

4/2023

EUR

(2,067,968)

(90,052)

CBOE

Volatility

Index

(1)

4/2023

USD

(20,764)

2,170

EURO

STOXX

50

Volatility

Index

(4)

4/2023

EUR

(9,001)

(161)

Hang

Seng

Index

(8)

4/2023

HKD

(1,043,631)

(19,840)

HSCEI

(4)

4/2023

HKD

(178,652)

(4,125)

IBEX

35

Index

(11)

4/2023

EUR

(1,096,703)

(23,626)

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,267)

13,090

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(118,850)

(3,856)

LME

Aluminum

Base

Metal

(3)

4/2023

USD

(178,674)

19,505

LME

Aluminum

Base

Metal

(3)

4/2023

USD

(178,514)

12,128

LME

Aluminum

Base

Metal

(3)

4/2023

USD

(178,931)

18,880

LME

Aluminum

Base

Metal

(3)

4/2023

USD

(178,869)

20,085

LME

Aluminum

Base

Metal

(3)

4/2023

USD

(178,838)

18,768

LME

Aluminum

Base

Metal

(4)

4/2023

USD

(238,300)

22,788

LME

Aluminum

Base

Metal

(5)

4/2023

USD

(297,469)

11,798

LME

Aluminum

Base

Metal

(6)

4/2023

USD

(357,932)

32,017

LME

Aluminum

Base

Metal

(9)

4/2023

USD

(535,388)

11,765

LME

Copper

Base

Metal

(1)

4/2023

USD

(225,113)

1,760

LME

Copper

Base

Metal

(1)

4/2023

USD

(225,075)

(15,636)

LME

Copper

Base

Metal

(2)

4/2023

USD

(449,925)

22,879

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,275)

(10,570)

LME

Copper

Base

Metal

(3)

4/2023

USD

(674,882)

25,572

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,644)

(910)

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,981)

3,591

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,694)

457

LME

Lead

Base

Metal

(2)

4/2023

USD

(105,738)

1,479

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,107)

26,934

LME

Nickel

Base

Metal

(1)

4/2023

USD

(141,920)

32,173

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,021)

17,576

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,213)

31,184

LME

Nickel

Base

Metal

(2)

4/2023

USD

(284,070)

45,409

LME

Nickel

Base

Metal

(3)

4/2023

USD

(426,587)

82,503

153

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

4/2023

USD

$

(73,374)

$

11,151

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,706)

4,941

LME

Zinc

Base

Metal

(3)

4/2023

USD

(221,044)

6,047

MSCI

Singapore

Index

(87)

4/2023

SGD

(2,002,085)

(22,545)

Natural

Gas

(5)

4/2023

EUR

(193,015)

(26,724)

Natural

Gas

(5)

4/2023

GBP

(225,683)

(24,167)

NY

Harbor

ULSD

(14)

4/2023

USD

(1,540,913)

(16,201)

OMXS30

Index

(64)

4/2023

SEK

(1,366,914)

(63,192)

SGX

FTSE

Taiwan

Index

(25)

4/2023

USD

(1,388,000)

(11,585)

SGX

NIFTY

50

Index

(35)

4/2023

USD

(1,219,225)

(22,365)

Sugar

No.

11

(5)

4/2023

USD

(124,600)

(13,704)

WTI

Crude

Oil

(55)

4/2023

USD

(4,161,850)

96,630

Canola

(86)

5/2023

CAD

(977,276)

24,747

CBOE

Volatility

Index

(1)

5/2023

USD

(22,129)

370

Coffee

'C'

(28)

5/2023

USD

(1,790,250)

46,680

Corn

(118)

5/2023

USD

(3,896,950)

93,867

Cotton

No.

2

(63)

5/2023

USD

(2,607,570)

(70,959)

EURO

STOXX

50

Volatility

Index

(6)

5/2023

EUR

(13,990)

(904)

Feeder

Cattle

(9)

5/2023

USD

(923,625)

(15,192)

KC

HRW

Wheat

(2)

5/2023

USD

(87,775)

(555)

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,794)

(95)

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,531)

(773)

LME

Aluminum

Base

Metal

(4)

5/2023

USD

(239,325)

2,705

LME

Aluminum

Base

Metal

(4)

5/2023

USD

(239,350)

(691)

LME

Aluminum

Base

Metal

(4)

5/2023

USD

(238,804)

23,239

LME

Aluminum

Base

Metal

(5)

5/2023

USD

(298,563)

24,520

LME

Aluminum

Base

Metal

(5)

5/2023

USD

(298,666)

16,961

LME

Aluminum

Base

Metal

(6)

5/2023

USD

(358,800)

5,159

LME

Aluminum

Base

Metal

(23)

5/2023

USD

(1,374,825)

60,654

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,131)

1,681

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,825)

(872)

LME

Copper

Base

Metal

(3)

5/2023

USD

(675,338)

(2,775)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,633)

(1,499)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,660)

762

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,275)

(578)

LME

Lead

Base

Metal

(4)

5/2023

USD

(210,575)

368

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,436)

19,175

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,474)

17,939

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,307)

29,530

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,500)

13,072

LME

Nickel

Base

Metal

(2)

5/2023

USD

(285,132)

24,092

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,327)

5,548

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,488)

4,493

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,559)

5,199

LME

Zinc

Base

Metal

(3)

5/2023

USD

(220,050)

26,306

LME

Zinc

Base

Metal

(3)

5/2023

USD

(219,944)

13,373

LME

Zinc

Base

Metal

(4)

5/2023

USD

(293,447)

40,407

Low

Sulphur

Gasoil

(10)

5/2023

USD

(751,750)

(14,648)

Milling

Wheat

No.

2

(132)

5/2023

EUR

(1,862,791)

88,670

Mont

Belvieu

Propane

(20)

5/2023

USD

(661,500)

(66,475)

Rough

Rice

(3)

5/2023

USD

(104,490)

3,139

SGX

Iron

Ore

(1)

5/2023

USD

(12,532)

(921)

Silver

(6)

5/2023

USD

(724,680)

(74,502)

Soybean

(67)

5/2023

USD

(5,043,425)

(113,549)

Soybean

Oil

(31)

5/2023

USD

(1,032,114)

18,703

Wheat

(17)

5/2023

ZAR

(314,746)

(958)

154

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Wheat

(171)

5/2023

USD

$

(5,918,738)

$

488,094

Australia

10

Year

Bond

(15)

6/2023

AUD

(1,237,449)

(11,265)

Australia

3

Year

Bond

(34)

6/2023

AUD

(2,477,185)

(14,052)

Canada

10

Year

Bond

(42)

6/2023

CAD

(3,915,960)

(138,627)

CBOE

Volatility

Index

(1)

6/2023

USD

(22,958)

(1,170)

Crude

Palm

Oil

(38)

6/2023

MYR

(809,734)

(7,863)

DAX

Index

(8)

6/2023

EUR

(3,426,369)

(118,146)

DJIA

CBOT

E-Mini

Index

(41)

6/2023

USD

(6,859,300)

(206,206)

Euro

STOXX

50

Index

(15)

6/2023

EUR

(693,158)

(21,023)

EURO

STOXX

50

Volatility

Index

(9)

6/2023

EUR

(21,424)

633

Euro-Bobl

(83)

6/2023

EUR

(10,625,194)

(216,133)

Euro-BTP

(60)

6/2023

EUR

(7,533,805)

(280,715)

Euro-Bund

(44)

6/2023

EUR

(6,494,897)

(166,202)

Euro-Buxl

(25)

6/2023

EUR

(3,839,672)

(182,459)

Euro-OAT

(50)

6/2023

EUR

(7,077,989)

(204,585)

Euro-Schatz

(186)

6/2023

EUR

(21,328,546)

(194,797)

FTSE

100

Index

(41)

6/2023

GBP

(3,863,623)

(69,934)

FTSE/JSE

Top

40

Index

(5)

6/2023

ZAR

(200,039)

(6,304)

FTSE/MIB

Index

(4)

6/2023

EUR

(578,169)

(17,432)

KOSPI

200

Index

(31)

6/2023

KRW

(1,927,008)

(20,153)

Lean

Hogs

(42)

6/2023

USD

(1,539,300)

154,677

Live

Cattle

(12)

6/2023

USD

(778,200)

(14,396)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,263)

(3,219)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,266)

(2,355)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,289)

(3,552)

LME

Aluminum

Base

Metal

(2)

6/2023

USD

(120,463)

(6,097)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

(180,896)

(5,024)

LME

Aluminum

Base

Metal

(4)

6/2023

USD

(240,839)

(9,851)

LME

Aluminum

Base

Metal

(5)

6/2023

USD

(300,605)

(3,331)

LME

Aluminum

Base

Metal

(5)

6/2023

USD

(301,219)

(15,984)

LME

Aluminum

Base

Metal

(13)

6/2023

USD

(782,867)

(19,155)

LME

Aluminum

Base

Metal

(83)

6/2023

USD

(5,001,788)

(44,126)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,874)

(2,801)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,813)

(4,565)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,850)

(5,869)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,825)

(10,858)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,550)

(11,685)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,400)

(12,858)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,513)

(26,108)

LME

Copper

Base

Metal

(4)

6/2023

USD

(899,167)

(203)

LME

Copper

Base

Metal

(4)

6/2023

USD

(899,475)

(13,211)

LME

Copper

Base

Metal

(13)

6/2023

USD

(2,922,563)

(1,573)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,775)

(911)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,656)

256

LME

Lead

Base

Metal

(2)

6/2023

USD

(105,350)

271

LME

Lead

Base

Metal

(2)

6/2023

USD

(105,313)

519

LME

Lead

Base

Metal

(3)

6/2023

USD

(158,025)

2,217

LME

Lead

Base

Metal

(3)

6/2023

USD

(158,156)

(1,165)

LME

Lead

Base

Metal

(25)

6/2023

USD

(1,317,344)

(7,773)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,974)

(1,581)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,886)

(2,472)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,950)

(5,281)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,492)

3,522

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,676)

(8,511)

LME

Nickel

Base

Metal

(3)

6/2023

USD

(428,202)

11,632

LME

Nickel

Base

Metal

(14)

6/2023

USD

(2,001,636)

32,795

155

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

6/2023

USD

$

(73,166)

$

886

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,170)

1,454

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,099)

(847)

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,273)

(830)

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,294)

186

LME

Zinc

Base

Metal

(3)

6/2023

USD

(219,425)

(4,094)

LME

Zinc

Base

Metal

(5)

6/2023

USD

(365,423)

(4,737)

LME

Zinc

Base

Metal

(6)

6/2023

USD

(438,912)

(66)

LME

Zinc

Base

Metal

(37)

6/2023

USD

(2,705,394)

46,501

Long

Gilt

(16)

6/2023

GBP

(2,050,934)

(73,626)

MSCI

EAFE

E-Mini

Index

(38)

6/2023

USD

(3,983,350)

(160,219)

MSCI

Emerging

Markets

E-Mini

Index

(51)

6/2023

USD

(2,538,525)

(93,793)

NASDAQ

100

E-Mini

Index

(11)

6/2023

USD

(2,926,385)

(211,560)

Nikkei

225

Index

(8)

6/2023

JPY

(1,689,475)

(64,184)

Palladium

(1)

6/2023

USD

(146,800)

4,967

Russell

2000

E-Mini

Index

(40)

6/2023

USD

(3,627,000)

(25,980)

S&P

500

E-Mini

Index

(19)

6/2023

USD

(3,930,863)

(150,628)

S&P

Midcap

400

E-Mini

Index

(11)

6/2023

USD

(2,782,670)

(73,727)

S&P/TSX

60

Index

(20)

6/2023

CAD

(3,578,838)

(61,584)

SPI

200

Index

(37)

6/2023

AUD

(4,446,312)

(91,062)

U.S.

Treasury

10

Year

Note

(32)

6/2023

USD

(3,682,000)

(111,616)

U.S.

Treasury

2

Year

Note

(38)

6/2023

USD

(7,850,859)

(92,384)

U.S.

Treasury

5

Year

Note

(66)

6/2023

USD

(7,236,797)

(164,858)

U.S.

Treasury

Long

Bond

(21)

6/2023

USD

(2,758,219)

(110,095)

U.S.

Treasury

Ultra

Bond

(13)

6/2023

USD

(1,841,531)

(87,232)

CBOE

Volatility

Index

(2)

7/2023

USD

(47,188)

(3,086)

Rapeseed

(54)

7/2023

EUR

(1,377,695)

(5,566)

Robusta

Coffee

(4)

7/2023

USD

(86,920)

(1,264)

White

Maize

(41)

7/2023

ZAR

(874,805)

62,678

Yellow

Maize

(44)

7/2023

ZAR

(990,216)

62,781

CBOE

Volatility

Index

(2)

8/2023

USD

(47,398)

(3,069)

Rubber

(15)

8/2023

JPY

(117,605)

5,600

3

Month

Canadian

Bankers

Acceptance

(30)

9/2023

CAD

(5,291,343)

(17,014)

3

Month

Euro

Euribor

(14)

9/2023

EUR

(3,658,534)

(12,688)

90-Day

Australian

Bank

Bill

(21)

9/2023

AUD

(13,915,640)

(16,674)

90-Day

New

Zealand

Bill

(11)

9/2023

NZD

(6,788,744)

(1,365)

3

Month

Canadian

Bankers

Acceptance

(31)

12/2023

CAD

(5,480,050)

(2,950)

3

Month

Euro

Euribor

(13)

12/2023

EUR

(3,400,030)

(105)

3

Month

SARON

(2)

12/2023

CHF

(534,701)

1,015

3

Month

SOFR

(5)

12/2023

USD

(1,192,563)

(3,184)

3

Month

SONIA

(15)

12/2023

GBP

(4,414,592)

(2,065)

90-Day

Australian

Bank

Bill

(24)

12/2023

AUD

(15,906,311)

(26,522)

90-Day

New

Zealand

Bill

(10)

12/2023

NZD

(6,173,238)

(1,950)

ECX

Emission

(1)

12/2023

EUR

(99,698)

(10,719)

3

Month

Canadian

Bankers

Acceptance

(44)

3/2024

CAD

(7,802,553)

(16,710)

3

Month

Euro

Euribor

(19)

3/2024

EUR

(4,977,259)

1,564

3

Month

SARON

(3)

3/2024

CHF

(801,683)

1,651

3

Month

SOFR

(6)

3/2024

USD

(1,435,875)

(11,238)

3

Month

SONIA

(15)

3/2024

GBP

(4,420,606)

(4,190)

90-Day

Australian

Bank

Bill

(26)

3/2024

AUD

(17,234,785)

(23,495)

90-Day

New

Zealand

Bill

(12)

3/2024

NZD

(7,410,592)

(6,506)

3

Month

Canadian

Bankers

Acceptance

(48)

6/2024

CAD

(8,539,845)

(64,438)

3

Month

Euro

Euribor

(24)

6/2024

EUR

(6,297,800)

1,509

3

Month

SARON

(4)

6/2024

CHF

(1,069,457)

2,684

3

Month

SOFR

(5)

6/2024

USD

(1,201,688)

(11,167)

3

Month

SONIA

(15)

6/2024

GBP

(4,431,014)

(8,700)

156

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

90-Day

Australian

Bank

Bill

(25)

6/2024

AUD

$

(16,573,530)

$

(23,269)

3

Month

Euro

Euribor

(24)

9/2024

EUR

(6,306,259)

8,353

3

Month

SARON

(3)

9/2024

CHF

(803,159)

254

3

Month

SOFR

(6)

9/2024

USD

(1,447,350)

(8,860)

3

Month

SONIA

(13)

9/2024

GBP

(3,849,433)

(10,530)

3

Month

Euro

Euribor

(25)

12/2024

EUR

(6,576,476)

7,831

3

Month

SOFR

(6)

12/2024

USD

(1,451,550)

(4,939)

3

Month

SONIA

(14)

12/2024

GBP

(4,151,804)

(9,241)

3

Month

Euro

Euribor

(29)

3/2025

EUR

(7,634,216)

(28,540)

3

Month

SOFR

(5)

3/2025

USD

(1,211,625)

(3,294)

3

Month

SONIA

(13)

3/2025

GBP

(3,858,655)

(9,057)

3

Month

SOFR

(4)

6/2025

USD

(970,150)

(6,187)

3

Month

SONIA

(14)

6/2025

GBP

(4,157,633)

(10,897)

(2,926,170)

$

(3,449,333)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

1,733,448

USD

325,004

CITI

**

6/21/2023

$

12,032

BRL

1,733,442

USD

325,001

JPMC

**

6/21/2023

12,033

COP

1,015,203,000

USD

204,474

CITI

**

6/21/2023

10,045

COP

1,015,202,992

USD

204,473

JPMC

**

6/21/2023

10,046

CZK

40,500,000

USD

1,819,337

CITI

6/21/2023

44,678

CZK

40,500,000

USD

1,819,328

JPMC

6/21/2023

44,688

EUR

62,373,503

USD

66,891,342

CITI

6/21/2023

1,057,367

EUR

62,373,494

USD

66,890,998

JPMC

6/21/2023

1,057,701

GBP

4,291,000

USD

5,250,457

CITI

6/21/2023

51,201

GBP

4,291,000

USD

5,250,430

JPMC

6/21/2023

51,227

HUF

115,000,000

USD

308,435

CITI

6/21/2023

11,735

HUF

115,000,000

USD

308,433

JPMC

6/21/2023

11,736

ILS

448,876

USD

123,057

CITI

6/21/2023

2,163

ILS

448,875

USD

123,056

JPMC

6/21/2023

2,164

INR

195,000,000

USD

2,351,952

CITI

**

6/21/2023

12,254

INR

195,000,000

USD

2,351,940

JPMC

**

6/21/2023

12,266

JPY

1,035,000,000

USD

7,826,581

CITI

6/21/2023

60,172

JPY

1,035,000,000

USD

7,826,542

JPMC

6/21/2023

60,211

KRW

234,386,955

USD

178,898

CITI

**

6/21/2023

1,356

KRW

234,386,952

USD

178,912

JPMC

**

6/21/2023

1,343

MXN

34,761,006

USD

1,849,519

CITI

6/21/2023

49,838

MXN

34,761,002

USD

1,849,509

JPMC

6/21/2023

49,847

PHP

20,000,000

USD

365,574

CITI

**

6/21/2023

2,533

PHP

20,000,000

USD

365,572

JPMC

**

6/21/2023

2,535

SEK

16,000,000

USD

1,536,863

CITI

6/21/2023

11,109

SEK

16,000,000

USD

1,536,856

JPMC

6/21/2023

11,116

SGD

14,443,001

USD

10,796,249

CITI

6/21/2023

84,547

SGD

14,442,999

USD

10,796,193

JPMC

6/21/2023

84,600

TWD

11,621,159

USD

383,488

CITI

**

6/21/2023

333

TWD

15,494,875

USD

511,323

JPMC

**

6/21/2023

439

USD

13,298,576

AUD

19,619,004

CITI

6/21/2023

146,012

USD

13,298,637

AUD

19,618,996

JPMC

6/21/2023

146,079

157

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,621,917

KRW

2,100,000,005

CITI

**

6/21/2023

$

6,916

USD

1,621,925

KRW

2,099,999,995

JPMC

**

6/21/2023

6,924

USD

481,346

NOK

5,000,000

CITI

6/21/2023

2,063

USD

481,349

NOK

5,000,000

JPMC

6/21/2023

2,065

USD

2,088,724

SEK

21,547,250

CITI

6/21/2023

4,066

USD

2,088,734

SEK

21,547,250

JPMC

6/21/2023

4,076

USD

1,819,788

TWD

55,000,000

CITI

**

6/21/2023

3,257

USD

1,819,797

TWD

55,000,000

JPMC

**

6/21/2023

3,266

ZAR

10,500,000

USD

568,255

CITI

6/21/2023

17,379

ZAR

10,500,000

USD

568,252

JPMC

6/21/2023

17,382

USD

42,435

CLP

33,971,754

CITI

**

6/22/2023

82

USD

42,436

CLP

33,971,753

JPMC

**

6/22/2023

82

Total

unrealized

appreciation

3,182,964

AUD

19,306,504

USD

13,249,462

CITI

6/21/2023

(306,397)

AUD

19,306,496

USD

13,249,390

JPMC

6/21/2023

(306,331)

EUR

838,500

USD

917,364

CITI

6/21/2023

(3,916)

EUR

838,500

USD

917,360

JPMC

6/21/2023

(3,911)

ILS

149,625

USD

42,186

CITI

6/21/2023

(446)

ILS

149,624

USD

42,186

JPMC

6/21/2023

(446)

INR

125,000,000

USD

1,516,788

CITI

**

6/21/2023

(1,272)

INR

125,000,000

USD

1,516,781

JPMC

**

6/21/2023

(1,264)

JPY

1,315,000,000

USD

10,055,504

CITI

6/21/2023

(35,135)

JPY

1,315,000,000

USD

10,055,454

JPMC

6/21/2023

(35,085)

KRW

390,644,923

USD

301,925

CITI

**

6/21/2023

(1,500)

KRW

390,644,920

USD

301,917

JPMC

**

6/21/2023

(1,493)

NOK

27,873,501

USD

2,703,788

CITI

6/21/2023

(31,925)

NOK

27,873,499

USD

2,703,774

JPMC

6/21/2023

(31,912)

NZD

937,000

USD

587,525

CITI

6/21/2023

(1,636)

NZD

937,000

USD

587,523

JPMC

6/21/2023

(1,633)

SGD

2,112,000

USD

1,593,978

CITI

6/21/2023

(2,880)

SGD

2,112,000

USD

1,593,970

JPMC

6/21/2023

(2,871)

TWD

54,358,344

USD

1,810,907

CITI

**

6/21/2023

(15,569)

TWD

50,484,622

USD

1,683,005

JPMC

**

6/21/2023

(15,608)

USD

6,627,598

AUD

9,966,500

CITI

6/21/2023

(53,936)

USD

6,627,631

AUD

9,966,500

JPMC

6/21/2023

(53,904)

USD

358,361

BRL

1,906,503

CITI

**

6/21/2023

(12,321)

USD

358,362

BRL

1,906,497

JPMC

**

6/21/2023

(12,319)

USD

15,780,605

CAD

21,570,500

CITI

6/21/2023

(200,582)

USD

15,780,684

CAD

21,570,500

JPMC

6/21/2023

(200,503)

USD

6,895,664

CHF

6,356,004

CITI

6/21/2023

(111,087)

USD

6,895,690

CHF

6,355,996

JPMC

6/21/2023

(111,052)

USD

332,201

COP

1,600,000,004

CITI

**

6/21/2023

(5,889)

USD

332,203

COP

1,599,999,996

JPMC

**

6/21/2023

(5,887)

USD

4,691,550

CZK

104,821,000

CITI

6/21/2023

(132,844)

USD

4,691,558

CZK

104,821,000

JPMC

6/21/2023

(132,836)

USD

4,567,206

EUR

4,246,500

CITI

6/21/2023

(58,864)

USD

4,567,228

EUR

4,246,500

JPMC

6/21/2023

(58,842)

USD

7,164,046

GBP

5,938,504

CITI

6/21/2023

(173,151)

USD

7,164,075

GBP

5,938,498

JPMC

6/21/2023

(173,115)

USD

1,546,192

HUF

578,152,517

CITI

6/21/2023

(63,433)

USD

1,546,200

HUF

578,152,515

JPMC

6/21/2023

(63,426)

USD

274,322

IDR

4,185,649,848

CITI

**

6/21/2023

(5,313)

USD

274,245

IDR

4,185,649,839

JPMC

**

6/21/2023

(5,390)

USD

6,037,052

INR

502,908,988

CITI

**

6/21/2023

(60,283)

USD

6,037,082

INR

502,908,980

JPMC

**

6/21/2023

(60,253)

USD

27,011,415

JPY

3,606,356,577

CITI

6/21/2023

(469,210)

USD

27,011,550

JPY

3,606,356,571

JPMC

6/21/2023

(469,075)

USD

6,388,591

NOK

67,500,001

CITI

6/21/2023

(81,739)

158

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

6,388,622

NOK

67,499,999

JPMC

6/21/2023

$

(81,707)

USD

9,921,001

NZD

16,031,500

CITI

6/21/2023

(103,217)

USD

9,921,051

NZD

16,031,500

JPMC

6/21/2023

(103,167)

USD

735,414

PHP

40,633,005

CITI

**

6/21/2023

(12,451)

USD

735,418

PHP

40,632,995

JPMC

**

6/21/2023

(12,447)

USD

1,414,538

PLN

6,397,500

CITI

6/21/2023

(60,319)

USD

1,414,545

PLN

6,397,499

JPMC

6/21/2023

(60,312)

USD

3,464,473

SEK

36,047,250

CITI

6/21/2023

(23,036)

USD

3,464,490

SEK

36,047,250

JPMC

6/21/2023

(23,018)

USD

2,725,101

SGD

3,645,000

CITI

6/21/2023

(20,900)

USD

2,725,115

SGD

3,645,000

JPMC

6/21/2023

(20,887)

USD

280,017

TWD

8,500,003

CITI

**

6/21/2023

(719)

USD

280,018

TWD

8,499,997

JPMC

**

6/21/2023

(718)

USD

8,866,133

ZAR

163,330,000

CITI

6/21/2023

(243,541)

USD

8,863,782

ZAR

163,330,000

JPMC

6/21/2023

(245,892)

USD

290,261

CLP

237,802,282

CITI

**

6/22/2023

(6,213)

USD

290,263

CLP

237,802,275

JPMC

**

6/22/2023

(6,212)

Total

unrealized

depreciation

(4,601,240)

Net

unrealized

depreciation

$

(1,418,276)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

SORA

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-59

months

maturity

ranging

from

09/21/2026

-

12/29/2027

$1,016,711

$(33,660)

$(7,038)

$(40,698)

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

(-0.08%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$7,928,487

$(152,075)

$(12,574)

$(164,649)

159

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

Australia

Allkem

Ltd.

27,610

221,187

(8,589)

5.2

ALS

Ltd.

10,697

88,829

4,168

(2.5)

ANZ

Group

Holdings

Ltd.

6,044

93,139

(5,804)

3.5

Aristocrat

Leisure

Ltd.

9,456

236,424

(2,505)

1.5

Aurizon

Holdings

Ltd.

52,445

118,125

334

(0.2)

BHP

Group

Ltd.

5,657

178,840

2,664

(1.6)

BlueScope

Steel

Ltd.

18,598

251,731

(2,500)

1.5

Harvey

Norman

Holdings

Ltd.

17,621

42,408

(2,940)

1.8

IGO

Ltd.

5,325

45,663

(3,494)

2.1

Incitec

Pivot

Ltd.

121,207

255,410

(25,732)

15.6

JB

Hi-Fi

Ltd.

8,406

239,902

(5,536)

3.4

Medibank

Pvt

Ltd.

16,961

38,275

295

(0.2)

Orica

Ltd.

7,358

76,011

(3,520)

2.1

Origin

Energy

Ltd.

75,643

421,262

9,169

(5.6)

Pilbara

Minerals

Ltd.

77,892

207,224

(15,622)

9.5

Qantas

Airways

Ltd.

108,999

486,512

(8,939)

5.4

Qube

Holdings

Ltd.

38,236

73,833

(7,189)

4.4

Sonic

Healthcare

Ltd.

3,545

83,105

3,129

(1.9)

South32

Ltd.

80,374

235,554

(5,138)

3.1

Suncorp

Group

Ltd.

11,261

91,497

(6,209)

3.8

Whitehaven

Coal

Ltd.

41,717

187,806

(19,106)

11.6

New

Zealand

Xero

Ltd.

761

46,156

1,900

(1.2)

United

States

Computershare

Ltd.

2,594

37,678

(6,017)

3.7

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(58,499)

(57,343)

1,899

(1.2)

carsales.com

Ltd.

(10,968)

(163,917)

2,069

(1.3)

Coles

Group

Ltd.

(7,601)

(91,840)

(1,705)

1.0

Commonwealth

Bank

of

Australia

(4,487)

(296,256)

(162)

0.1

Domino's

Pizza

Enterprises

Ltd.

(5,706)

(191,546)

(8,390)

5.1

Endeavour

Group

Ltd.

(36,846)

(167,402)

(2,630)

1.6

Fortescue

Metals

Group

Ltd.

(3,017)

(45,350)

(761)

0.5

IDP

Education

Ltd.

(14,188)

(261,463)

7,597

(4.6)

Insurance

Australia

Group

Ltd.

(13,669)

(43,026)

1,746

(1.1)

Lendlease

Corp.

Ltd.

(18,458)

(89,828)

(376)

0.2

Mineral

Resources

Ltd.

(1,910)

(103,249)

10,394

(6.3)

National

Australia

Bank

Ltd.

(2,074)

(38,646)

2,793

(1.7)

Newcrest

Mining

Ltd.

(6,444)

(115,028)

(14,793)

9.0

NEXTDC

Ltd.

(21,374)

(151,259)

(3,527)

2.1

Pro

Medicus

Ltd.

(2,945)

(127,016)

(4,000)

2.4

QBE

Insurance

Group

Ltd.

(10,718)

(104,935)

4,681

(2.8)

REA

Group

Ltd.

(2,628)

(245,044)

(29,533)

17.9

Reece

Ltd.

(8,053)

(94,380)

(6,313)

3.8

Seven

Group

Holdings

Ltd.

(5,771)

(89,645)

5,252

(3.2)

Transurban

Group

(12,544)

(119,775)

(1,211)

0.7

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(6,724)

(136,274)

(5,749)

3.5

Wesfarmers

Ltd.

(8,676)

(293,236)

(1,522)

0.9

160

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

WiseTech

Global

Ltd.

(3,356)

(147,844)

(2,993)

1.8

Woodside

Energy

Group

Ltd.

(5,154)

(115,141)

6,474

(3.9)

Woolworths

Group

Ltd.

(4,470)

(113,639)

(2,577)

1.6

United

States

CSL

Ltd.

(2,312)

(447,766)

1,189

(0.7)

James

Hardie

Industries

plc

(3,309)

(71,222)

(1,414)

0.9

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

CORRA

plus

or

minus

a

specified

spread

(-0.08%

to

0.02%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/29/2028

$14,476,021

$(320,209)

$(6,267)

$(326,476)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

20,260

287,073

(13,791)

4.2

Alimentation

Couche-Tard,

Inc.

11,337

569,996

28,185

(8.6)

AltaGas

Ltd.

6,669

111,175

(6,908)

2.1

ARC

Resources

Ltd.

28,389

322,015

(6,722)

2.1

Atco

Ltd.

4,101

131,450

5,158

(1.6)

Bank

of

Nova

Scotia

(The)

8,118

408,873

4,625

(1.4)

Brookfield

Corp.

8,350

272,031

2,410

(0.7)

Canadian

Tire

Corp.

Ltd.

1,192

155,555

6,200

(1.9)

Cenovus

Energy,

Inc.

8,516

148,581

(13,295)

4.1

Empire

Co.

Ltd.

5,785

155,080

2,868

(0.9)

Fairfax

Financial

Holdings

Ltd.

405

269,350

(5,352)

1.6

Finning

International,

Inc.

8,457

210,815

(7,446)

2.3

George

Weston

Ltd.

890

117,942

7,935

(2.4)

Imperial

Oil

Ltd.

4,911

249,747

(5,087)

1.6

MEG

Energy

Corp.

14,511

233,099

(11,166)

3.4

Metro,

Inc.

1,863

102,475

6,437

(2.0)

National

Bank

of

Canada

3,194

228,460

(13,613)

4.2

Nutrien

Ltd.

7,370

544,284

(49,951)

15.3

Onex

Corp.

2,093

97,844

(16,989)

5.2

Open

Text

Corp.

9,065

349,655

22,268

(6.8)

Pembina

Pipeline

Corp.

5,009

162,260

(8,450)

2.6

Sun

Life

Financial,

Inc.

4,964

231,910

(8,411)

2.6

Toromont

Industries

Ltd.

1,204

98,823

(107)

0.0

Tourmaline

Oil

Corp.

6,497

270,744

(9,807)

3.0

West

Fraser

Timber

Co.

Ltd.

2,507

178,820

(12,298)

3.8

161

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Whitecap

Resources,

Inc.

29,172

225,562

(2,158)

0.7

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(6,131)

(295,277)

(50,309)

15.4

Canada

Agnico

Eagle

Mines

Ltd.

(4,162)

(212,180)

(20,725)

6.3

Algonquin

Power

&

Utilities

Corp.

(22,133)

(185,711)

(14,575)

4.5

Bank

of

Montreal

(2,678)

(238,533)

9,987

(3.1)

Barrick

Gold

Corp.

(10,456)

(194,111)

(27,620)

8.5

BCE,

Inc.

(4,901)

(219,539)

(1,813)

0.6

CAE,

Inc.

(4,464)

(100,940)

(628)

0.2

Cameco

Corp.

(4,357)

(114,091)

3,030

(0.9)

Canadian

Imperial

Bank

of

Commerce

(11,110)

(471,117)

12,413

(3.8)

Canadian

Pacific

Railway

Ltd.

(9,099)

(700,653)

(11,715)

3.6

Constellation

Software,

Inc.

(63)

(118,444)

(9,365)

2.9

Emera,

Inc.

(3,731)

(153,271)

(4,748)

1.5

Fortis,

Inc.

(7,252)

(308,270)

(19,425)

5.9

Franco-Nevada

Corp.

(970)

(141,484)

(12,058)

3.7

GFL

Environmental,

Inc.

(4,256)

(146,748)

(4,629)

1.4

Intact

Financial

Corp.

(1,103)

(157,856)

(735)

0.2

Kinross

Gold

Corp.

(32,387)

(152,409)

(39,061)

12.0

Manulife

Financial

Corp.

(17,404)

(319,363)

21,119

(6.5)

Pan

American

Silver

Corp.

(15,117)

(275,831)

(39,002)

11.9

Rogers

Communications,

Inc.

(13,729)

(636,319)

(15,542)

4.8

Royal

Bank

of

Canada

(6,202)

(593,125)

28,176

(8.6)

Shopify,

Inc.

(4,470)

(214,322)

(17,629)

5.4

Teck

Resources

Ltd.

(5,088)

(185,788)

11,294

(3.5)

United

States

BRP,

Inc.

(2,252)

(176,228)

11,647

(3.6)

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

SARON

plus

or

minus

a

specified

spread

(-0.70%

to

0.03%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$5,686,844

$(73,216)

$57,237

$(15,979)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

162

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

3,993

31,116

(987)

6.2

Switzerland

ABB

Ltd.

(Registered)

11,952

411,167

(9,592)

60.0

Alcon,

Inc.

330

23,426

905

(5.7)

Baloise

Holding

AG

(Registered)

675

105,109

(3,561)

22.3

Barry

Callebaut

AG

(Registered)

73

154,670

6,827

(42.7)

Chocoladefabriken

Lindt

&

Spruengli

AG

5

59,053

3,859

(24.2)

Clariant

AG

(Registered)

4,303

71,384

463

(2.9)

DKSH

Holding

AG

1,419

114,400

(5,019)

31.4

Galenica

AG

370

31,301

2,852

(17.8)

Georg

Fischer

AG

(Registered)

1,049

81,644

3,108

(19.5)

Helvetia

Holding

AG

(Registered)

749

104,402

1,337

(8.4)

Julius

Baer

Group

Ltd.

622

42,488

81

(0.5)

Novartis

AG

(Registered)

2,406

220,915

22,350

(139.9)

SGS

SA

(Registered)

40

88,230

(2,791)

17.5

Sonova

Holding

AG

(Registered)

528

155,754

13,850

(86.7)

Swatch

Group

AG

(The)

381

131,213

(7,495)

46.9

Swiss

Life

Holding

AG

(Registered)

261

161,065

(7,239)

45.3

Swisscom

AG

(Registered)

227

144,865

(473)

3.0

Temenos

AG

(Registered)

2,588

180,089

(25,435)

159.2

UBS

Group

AG

(Registered)

7,727

163,510

(6,156)

38.5

United

States

Holcim

AG

2,085

134,464

334

(2.1)

Swiss

Re

AG

1,989

204,337

(9,313)

58.3

Short

Positions

Common

Stocks

Switzerland

Adecco

Group

AG

(Registered)

(3,670)

(133,680)

2,739

(17.1)

Bachem

Holding

AG

(1,382)

(138,977)

(165)

1.0

Banque

Cantonale

Vaudoise

(Registered)

(160)

(15,099)

(427)

2.7

Belimo

Holding

AG

(Registered)

(138)

(66,699)

(410)

2.6

BKW

AG

(532)

(83,646)

(8,522)

53.3

Cie

Financiere

Richemont

SA

(Registered)

(644)

(103,269)

(752)

4.7

EMS-Chemie

Holding

AG

(Registered)

(20)

(16,533)

(1,078)

6.7

Flughafen

Zurich

AG

(Registered)

(138)

(25,284)

689

(4.3)

Geberit

AG

(Registered)

(538)

(300,445)

(3,147)

19.7

Givaudan

SA

(Registered)

(62)

(201,797)

(12,534)

78.4

Kuehne

+

Nagel

International

AG

(Registered)

(63)

(18,764)

(1,556)

9.7

Logitech

International

SA

(Registered)

(1,936)

(112,998)

(5,888)

36.8

Lonza

Group

AG

(Registered)

(239)

(143,878)

(2,717)

17.0

Partners

Group

Holding

AG

(190)

(178,927)

1,531

(9.6)

Schindler

Holding

AG

(911)

(201,857)

12,314

(77.1)

SIG

Group

AG

(12,743)

(328,300)

(7,410)

46.4

Sika

AG

(Registered)

(716)

(200,835)

2,708

(16.9)

Straumann

Holding

AG

(Registered)

(1,593)

(238,926)

(13,369)

83.7

Tecan

Group

AG

(Registered)

(368)

(161,199)

(637)

4.0

VAT

Group

AG

(310)

(111,998)

(14,148)

88.5

Zurich

Insurance

Group

AG

(186)

(89,131)

1,658

(10.4)

163

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-0.14%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$2,792,090

$(213,521)

$97,583

$(115,938)

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

197

358,089

(102,016)

88.0

Carlsberg

A/S

1,312

203,579

8,670

(7.5)

Danske

Bank

A/S

10,577

212,796

(38,258)

33.0

DSV

A/S

702

136,116

3,776

(3.3)

Genmab

A/S

53

20,034

692

(0.6)

ISS

A/S

9,231

188,396

(12,770)

11.0

Jyske

Bank

A/S

(Registered)

1,715

120,183

(21,624)

18.7

Pandora

A/S

2,411

231,428

(2,254)

1.9

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(1,690)

(25,413)

1,699

(1.5)

Coloplast

A/S

(2,560)

(337,068)

(32,821)

28.3

Demant

A/S

(3,305)

(116,027)

(10,853)

9.4

Novozymes

A/S

(6,912)

(353,916)

(9,692)

8.4

Orsted

A/S

(548)

(46,727)

731

(0.6)

ROCKWOOL

A/S

(606)

(148,602)

(6,615)

5.7

Royal

Unibrew

A/S

(723)

(63,025)

(3,348)

2.9

Tryg

A/S

(1,828)

(39,970)

638

(0.6)

Vestas

Wind

Systems

A/S

(6,544)

(190,721)

10,524

(9.1)

164

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-0.08%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$38,896,451

$(1,129,684)

$(43,071)

$(1,172,755)

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

Air

France-KLM

166,095

306,073

(22,124)

1.9

Cie

de

Saint-Gobain

9,530

541,720

(40,984)

3.5

Eiffage

SA

3,065

331,682

(19,332)

1.6

Getlink

SE

17,903

294,856

(70)

0.0

Renault

SA

9,137

372,389

(35,964)

3.1

Rexel

SA

15,302

363,801

(47,258)

4.0

Vinci

SA

2,421

277,549

(7,431)

0.6

Germany

Bayerische

Motoren

Werke

AG

4,060

444,971

6,733

(0.6)

Commerzbank

AG

39,987

420,993

(87,039)

7.4

Deutsche

Bank

AG

(Registered)

37,808

384,477

(87,629)

7.5

Deutsche

Lufthansa

AG

(Registered)

46,757

520,055

(24,041)

2.1

HeidelbergCement

AG

4,219

308,060

9,462

(0.8)

thyssenkrupp

AG

44,084

317,475

(25,985)

2.2

Italy

Leonardo

SpA

53,600

628,598

5,453

(0.5)

Prysmian

SpA

9,921

416,590

(10,770)

0.9

UniCredit

SpA

14,202

267,677

(28,350)

2.4

Luxembourg

ArcelorMittal

SA

11,996

363,434

(19,180)

1.6

Singapore

STMicroelectronics

NV

5,291

281,924

12,004

(1.0)

Spain

Acerinox

SA

22,869

235,350

(17,749)

1.5

Banco

de

Sabadell

SA

311,223

334,702

(104,919)

8.9

Banco

Santander

SA

66,594

248,161

(24,004)

2.0

Industria

de

Diseno

Textil

SA

12,716

427,197

22,859

(1.9)

Repsol

SA

48,780

750,133

(47,628)

4.1

United

States

Sanofi

2,944

319,361

32,395

(2.8)

Stellantis

NV

28,410

516,672

(13,333)

1.1

Tenaris

SA

24,786

351,198

(72,706)

6.2

165

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Belgium

UCB

SA

(4,262)

(380,921)

(7,360)

0.6

Finland

Valmet

OYJ

(7,341)

(238,317)

11,669

(1.0)

France

Air

Liquide

SA

(3,802)

(636,412)

(16,520)

1.4

Cie

Generale

des

Etablissements

Michelin

SCA

(13,464)

(411,571)

17,865

(1.5)

EssilorLuxottica

SA

(2,648)

(477,495)

(12,701)

1.1

Kering

SA

(499)

(325,562)

(12,227)

1.0

L'Oreal

SA

(1,841)

(822,637)

(72,229)

6.2

Germany

adidas

AG

(2,510)

(444,954)

(31,577)

2.7

Deutsche

Telekom

AG

(Registered)

(27,132)

(657,471)

(22,781)

1.9

Fresenius

Medical

Care

AG

&

Co.

KGaA

(11,338)

(481,233)

(33,779)

2.9

Rheinmetall

AG

(843)

(249,739)

(14,781)

1.3

Siemens

AG

(Registered)

(4,968)

(804,835)

9,584

(0.8)

Siemens

Healthineers

AG

(4,682)

(269,927)

(10,257)

0.9

Zalando

SE

(6,051)

(253,601)

(12,633)

1.1

Luxembourg

Eurofins

Scientific

SE

(4,931)

(330,178)

(227)

0.0

Netherlands

Adyen

NV

(242)

(385,610)

(25,372)

2.2

Portugal

EDP

-

Energias

de

Portugal

SA

(71,447)

(389,309)

(21,336)

1.8

Spain

Acciona

SA

(1,388)

(278,488)

(13,557)

1.2

Cellnex

Telecom

SA

(7,192)

(279,680)

(4,896)

0.4

Ferrovial

SA

(8,936)

(263,142)

(3,421)

0.3

Iberdrola

SA

(56,609)

(705,224)

(48,018)

4.1

United

States

Schneider

Electric

SE

(3,714)

(620,698)

14,088

(1.2)

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference)

(5,889)

(460,720)

(26,174)

2.2

Sartorius

AG

(Preference)

(793)

(334,215)

14,605

(1.2)

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

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.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$13,725,908

$(358,090)

$16,199

$(341,891)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

166

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

51,758

297,827

(4,433)

1.3

Netherlands

Shell

plc

24,024

684,650

(77,884)

22.8

United

Kingdom

Associated

British

Foods

plc

7,541

180,968

(11,316)

3.3

Auto

Trader

Group

plc

19,391

147,909

6,920

(2.0)

Aviva

plc

52,156

260,526

(36,980)

10.8

Barclays

plc

82,908

149,227

(17,912)

5.2

Barratt

Developments

plc

27,274

156,956

7,706

(2.3)

BP

plc

57,206

361,572

(31,499)

9.2

British

American

Tobacco

plc

7,034

246,573

(25,239)

7.4

Centrica

plc

221,330

289,862

(99)

0.0

Compass

Group

plc

4,959

124,627

7,418

(2.2)

Diageo

plc

2,594

115,769

2,539

(0.7)

DS

Smith

plc

65,094

253,432

(8,988)

2.6

Harbour

Energy

plc

38,952

132,002

(6,385)

1.9

Howden

Joinery

Group

plc

14,728

127,169

(2,336)

0.7

Imperial

Brands

plc

4,952

113,875

(7,965)

2.3

InterContinental

Hotels

Group

plc

6,404

419,242

(28,528)

8.3

Lloyds

Banking

Group

plc

425,639

250,254

(19,946)

5.8

Marks

&

Spencer

Group

plc

56,265

116,074

4,777

(1.4)

National

Grid

plc

8,793

118,943

5,754

(1.7)

Pearson

plc

20,539

214,939

(4,833)

1.4

Reckitt

Benckiser

Group

plc

4,450

338,545

19,494

(5.7)

RELX

plc

6,231

201,803

3,874

(1.1)

Standard

Chartered

plc

34,461

261,182

(68,279)

20.0

Tesco

plc

70,668

231,680

2,582

(0.8)

Vodafone

Group

plc

157,550

173,793

(18,034)

5.3

United

States

GSK

plc

13,821

244,208

3,434

(1.0)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(2,949)

(200,172)

6,824

(2.0)

Chile

Antofagasta

plc

(17,037)

(333,712)

(5,954)

1.7

Hong

Kong

Prudential

plc

(11,955)

(163,684)

25,013

(7.3)

Italy

Coca-Cola

HBC

AG

(5,987)

(163,895)

(3,259)

1.0

Jordan

Hikma

Pharmaceuticals

plc

(7,118)

(147,537)

9,551

(2.8)

United

Kingdom

abrdn

plc

(92,190)

(232,030)

24,534

(7.2)

B&M

European

Value

Retail

SA

(26,418)

(157,393)

6,596

(1.9)

Bellway

plc

(4,353)

(118,569)

(3,815)

1.1

ConvaTec

Group

plc

(41,598)

(117,548)

(3,731)

1.1

ITV

plc

(139,421)

(143,197)

7,294

(2.1)

J

Sainsbury

plc

(64,259)

(221,127)

(12,964)

3.8

Kingfisher

plc

(93,312)

(301,632)

31,956

(9.3)

Pennon

Group

plc

(13,545)

(146,353)

(2,739)

0.8

Persimmon

plc

(11,422)

(177,358)

(315)

0.1

Rentokil

Initial

plc

(67,923)

(496,418)

(50,657)

14.8

167

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Rolls-Royce

Holdings

plc

(131,725)

(242,619)

(2,144)

0.6

Schroders

plc

(28,341)

(161,613)

5,887

(1.7)

Severn

Trent

plc

(5,324)

(189,124)

(7,068)

2.1

Smith

&

Nephew

plc

(10,499)

(145,942)

11,873

(3.5)

SSE

plc

(6,880)

(153,519)

(7,031)

2.1

Unilever

plc

(2,320)

(120,220)

(2,537)

0.7

United

Utilities

Group

plc

(10,617)

(138,950)

(3,198)

0.9

Weir

Group

plc

(The)

(5,278)

(121,085)

4,869

(1.4)

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

(-0.04%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$1,778,250

$(4,201)

$(2,567)

$(6,768)

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.

26,000

80,945

(10,139)

149.8

SITC

International

Holdings

Co.

Ltd.

46,000

98,861

(2,985)

44.1

Hong

Kong

ASMPT

Ltd.

14,100

139,844

9,619

(142.1)

HKT

Trust

&

HKT

Ltd.

14,000

18,585

(249)

3.7

Man

Wah

Holdings

Ltd.

20,400

16,810

(3,487)

51.5

New

World

Development

Co.

Ltd.

20,000

53,612

(2,949)

43.6

Sun

Hung

Kai

Properties

Ltd.

1,500

21,014

950

(14.0)

Swire

Pacific

Ltd.

2,000

15,370

(783)

11.6

Swire

Properties

Ltd.

10,200

26,252

(1,035)

15.3

WH

Group

Ltd.

218,500

130,258

2,497

(36.9)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

16,000

98,986

132

(1.9)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(14,800)

(45,041)

(546)

8.1

ESR

Group

Ltd.

(30,600)

(54,874)

(6,148)

90.8

Xinyi

Glass

Holdings

Ltd.

(33,000)

(59,034)

1,166

(17.2)

Hong

Kong

Hang

Lung

Properties

Ltd.

(8,000)

(14,970)

949

(14.0)

Henderson

Land

Development

Co.

Ltd.

(4,000)

(13,839)

479

(7.1)

168

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Hong

Kong

&

China

Gas

Co.

Ltd.

(178,000)

(156,713)

5,097

(75.3)

MTR

Corp.

Ltd.

(18,500)

(89,286)

5,689

(84.1)

Power

Assets

Holdings

Ltd.

(4,000)

(21,459)

146

(2.2)

Techtronic

Industries

Co.

Ltd.

(33,000)

(357,559)

(2,752)

40.7

Wharf

Real

Estate

Investment

Co.

Ltd.

(10,000)

(57,574)

(1,395)

20.6

Macau

Galaxy

Entertainment

Group

Ltd.

(31,000)

(207,364)

1,543

(22.8)

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.

43-60

months

maturity

ranging

from

09/21/2026

-

02/16/2028

$1,805,605

$(61,339)

$525

$(60,814)

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

5,394

234,426

(19,153)

31.5

Norway

Equinor

ASA

8,822

250,796

(12,690)

20.9

Gjensidige

Forsikring

ASA

2,073

33,898

(2,731)

4.5

Leroy

Seafood

Group

ASA

8,799

45,564

4,131

(6.8)

Norsk

Hydro

ASA

28,187

210,371

1,186

(2.0)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(1,030)

(66,496)

106

(0.2)

Norway

DNB

Bank

ASA

(1,774)

(31,747)

2,785

(4.6)

Kongsberg

Gruppen

ASA

(3,230)

(130,565)

(191)

0.3

Mowi

ASA

(6,865)

(126,975)

(14,458)

23.8

Orkla

ASA

(25,779)

(182,838)

(9,448)

15.5

Salmar

ASA

(5,856)

(255,086)

(25,987)

42.7

Schibsted

ASA

(1,896)

(32,184)

6,388

(10.5)

Telenor

ASA

(11,364)

(133,245)

(1,314)

2.2

United

Kingdom

Subsea

7

SA

(6,016)

(71,414)

10,037

(16.5)

169

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

STIBOR

plus

or

minus

a

specified

spread

(-0.08%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

09/21/2026

-

03/13/2028

$5,020,846

$(59,961)

$(24,146)

$(84,107)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

9,405

100,429

(20,615)

24.5

Sweden

Assa

Abloy

AB

2,048

49,055

(2,604)

3.1

Axfood

AB

7,435

181,567

3,625

(4.3)

Billerud

AB

10,955

112,598

(10,790)

12.8

Boliden

AB

4,060

159,494

(3,724)

4.4

Elekta

AB

6,254

47,793

(3,244)

3.9

Evolution

AB

1,445

193,599

19,096

(22.7)

Hexpol

AB

3,795

47,009

3,643

(4.3)

Saab

AB

2,634

160,018

1,202

(1.4)

Sandvik

AB

1,441

30,586

611

(0.7)

Skandinaviska

Enskilda

Banken

AB

4,191

46,261

(5,667)

6.7

Skanska

AB

7,984

122,288

(21,330)

25.4

SSAB

AB

45,455

324,919

(8,800)

10.5

Swedbank

AB

1,084

17,826

(4,232)

5.0

Telefonaktiebolaget

LM

Ericsson

34,189

200,410

1,251

(1.5)

Trelleborg

AB

6,378

181,528

16,962

(20.2)

Volvo

AB

10,288

212,001

(1,510)

1.8

Short

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

(1,032)

(19,582)

891

(1.1)

Sweden

Alfa

Laval

AB

(4,878)

(174,179)

(8,086)

9.6

Atlas

Copco

AB

(16,106)

(204,036)

(10,808)

12.9

Beijer

Ref

AB

(8,224)

(144,311)

(19,433)

23.1

Electrolux

AB

(9,012)

(109,536)

(495)

0.6

Epiroc

AB

(5,544)

(110,049)

(5,888)

7.0

EQT

AB

(6,349)

(129,693)

14,304

(17.0)

Essity

AB

(8,578)

(245,021)

(14,104)

16.8

Hexagon

AB

(32,905)

(378,717)

(7,153)

8.5

Holmen

AB

(1,771)

(68,276)

4,141

(4.9)

Husqvarna

AB

(13,291)

(115,363)

2,833

(3.4)

Nibe

Industrier

AB

(19,517)

(222,477)

(10,458)

12.4

Securitas

AB

(24,848)

(221,039)

(5,382)

6.4

170

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

SKF

AB

(11,646)

(229,390)

4,899

(5.8)

Svenska

Cellulosa

AB

SCA

(7,603)

(100,136)

5,643

(6.7)

Svenska

Handelsbanken

AB

(13,133)

(113,743)

23,294

(27.7)

Swedish

Orphan

Biovitrum

AB

(2,104)

(49,024)

13

(0.0)

Tele2

AB

(6,850)

(68,179)

(3,130)

3.7

Telia

Co.

AB

(51,477)

(130,714)

5,084

(6.0)

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

MUTSC

plus

or

minus

a

specified

spread

(-2.75%

to

0.30%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

04/19/2023

-

05/02/2024

$26,169,708

$46,209

$(11,909)

$34,300

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.

18,200

170,597

3,504

10.2

Hirose

Electric

Co.

Ltd.

1,300

170,075

1,278

3.7

Hitachi

Ltd.

3,200

175,874

10,903

31.8

IHI

Corp.

8,700

218,537

13,446

39.2

Japan

Tobacco,

Inc.

10,700

226,022

6,623

19.3

Kyushu

Electric

Power

Co.,

Inc.

28,500

162,866

4,670

13.6

Lawson,

Inc.

4,600

194,754

4,553

13.3

Marubeni

Corp.

13,900

189,036

8,449

24.6

MISUMI

Group,

Inc.

9,700

243,745

7,409

21.6

Mitsubishi

Corp.

8,700

312,647

8,745

25.5

Mitsubishi

Motors

Corp.

83,800

330,239

27,290

79.6

Nitto

Denko

Corp.

2,400

155,331

2,230

6.5

Ono

Pharmaceutical

Co.

Ltd.

7,500

156,286

(3,006)

(8.8)

Osaka

Gas

Co.

Ltd.

14,400

236,560

(4,642)

(13.5)

Recruit

Holdings

Co.

Ltd.

9,700

266,838

12,603

36.7

SCREEN

Holdings

Co.

Ltd.

2,800

248,372

13,026

38.0

Shin-Etsu

Chemical

Co.

Ltd.

5,000

162,305

10,507

30.6

Subaru

Corp.

10,400

166,022

6,937

20.2

Sumitomo

Corp.

11,500

203,727

9,541

27.8

Tokyo

Electric

Power

Co.

Holdings,

Inc.

43,700

156,106

5,365

15.6

Tokyo

Gas

Co.

Ltd.

13,400

251,829

(175)

(0.5)

Toyo

Suisan

Kaisha

Ltd.

4,500

188,060

(379)

(1.1)

171

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(12,500)

(242,510)

(2,772)

(8.1)

Ajinomoto

Co.,

Inc.

(4,900)

(170,461)

(4,759)

(13.9)

Asahi

Intecc

Co.

Ltd.

(9,800)

(173,149)

(3,757)

(11.0)

Asahi

Kasei

Corp.

(25,300)

(177,204)

(1,424)

(4.2)

Bridgestone

Corp.

(5,000)

(203,114)

(12,340)

(36.0)

Canon,

Inc.

(8,800)

(195,975)

(4,764)

(13.9)

Capcom

Co.

Ltd.

(4,500)

(161,058)

(4,477)

(13.1)

Daiichi

Sankyo

Co.

Ltd.

(7,200)

(262,639)

(14,333)

(41.8)

Daikin

Industries

Ltd.

(1,300)

(233,229)

(11,903)

(34.7)

Fast

Retailing

Co.

Ltd.

(800)

(175,130)

(6,514)

(19.0)

Isuzu

Motors

Ltd.

(15,300)

(182,850)

(3,433)

(10.0)

ITOCHU

Corp.

(6,300)

(205,169)

(9,538)

(27.8)

JSR

Corp.

(10,900)

(257,853)

(4,184)

(12.2)

Kobe

Bussan

Co.

Ltd.

(8,600)

(240,131)

(9,221)

(26.9)

Kose

Corp.

(2,600)

(309,032)

(16,281)

(47.5)

Kubota

Corp.

(11,100)

(168,291)

(6,943)

(20.2)

MatsukiyoCocokara

&

Co.

(6,200)

(328,424)

(19,767)

(57.6)

Nintendo

Co.

Ltd.

(4,300)

(167,019)

(427)

(1.2)

Nippon

Paint

Holdings

Co.

Ltd.

(17,200)

(161,733)

(4,080)

(11.9)

NTT

Data

Corp.

(12,500)

(164,332)

(4,192)

(12.2)

Sekisui

House

Ltd.

(22,800)

(464,692)

(3,627)

(10.6)

Seven

&

i

Holdings

Co.

Ltd.

(6,100)

(275,562)

(3,767)

(11.0)

Sony

Group

Corp.

(3,300)

(300,575)

(11,522)

(33.6)

Sumitomo

Electric

Industries

Ltd.

(15,900)

(204,266)

(13,861)

(40.4)

Unicharm

Corp.

(5,500)

(226,082)

(4,963)

(14.5)

West

Japan

Railway

Co.

(4,400)

(181,243)

(3,155)

(9.2)

Yaskawa

Electric

Corp.

(7,000)

(307,019)

(15,474)

(45.1)

Z

Holdings

Corp.

(74,300)

(210,674)

2,139

6.2

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

OBFR

plus

or

minus

a

specified

spread

(-15.32%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

04/19/2023

-

05/01/2024

$129,825,639

$131,634

$(137,182)

$(5,548)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Accenture

plc

3,084

881,438

61,221

(1,103.5)

172

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Adobe,

Inc.

2,134

822,380

29,155

(525.5)

Alphabet,

Inc.

7,945

824,135

7,112

(128.2)

Altria

Group,

Inc.

9,288

414,431

(6,502)

117.2

American

International

Group,

Inc.

9,929

500,024

30,978

(558.4)

Apple,

Inc.

2,734

450,837

16,091

(290.0)

Arrow

Electronics,

Inc.

3,131

390,968

25,893

(466.7)

Cardinal

Health,

Inc.

5,347

403,698

31,440

(566.7)

Centene

Corp.

6,718

424,645

4,434

(79.9)

Cigna

Group

(The)

3,194

816,163

(32,423)

584.4

CVS

Health

Corp.

6,598

490,297

538

(9.7)

Danaher

Corp.

3,367

848,619

12,760

(230.0)

Deere

&

Co.

1,038

428,569

28,420

(512.3)

General

Motors

Co.

12,691

465,506

41,880

(754.9)

Global

Payments,

Inc.

4,701

494,733

31,450

(566.9)

Intel

Corp.

21,922

716,192

62,697

(1,130.1)

Johnson

&

Johnson

3,955

613,025

6,877

(124.0)

KLA

Corp.

944

376,816

10,780

(194.3)

M&T

Bank

Corp.

3,255

389,200

(9,537)

171.9

Mastercard,

Inc.

2,264

822,760

18,463

(332.8)

Meta

Platforms,

Inc.

2,977

630,945

25,788

(464.8)

Microsoft

Corp.

2,989

861,729

32,004

(576.9)

NRG

Energy,

Inc.

10,498

359,976

29,499

(531.7)

PayPal

Holdings,

Inc.

7,721

586,333

22,656

(408.4)

PNC

Financial

Services

Group,

Inc.

(The)

3,446

437,987

11,647

(209.9)

Roper

Technologies,

Inc.

823

362,688

10,133

(182.6)

Thermo

Fisher

Scientific,

Inc.

984

567,148

13,078

(235.7)

UnitedHealth

Group,

Inc.

1,662

785,445

(13,830)

249.3

Veeva

Systems,

Inc.

2,124

390,370

12,949

(233.4)

Visa,

Inc.

3,191

719,443

10,463

(188.6)

Short

Positions

Common

Stocks

United

States

Affirm

Holdings,

Inc.

(46,595)

(525,126)

(63,231)

1,139.7

agilon

health,

Inc.

(18,379)

(436,501)

54,218

(977.3)

Alcoa

Corp.

(13,653)

(581,072)

(36,244)

653.3

Atmos

Energy

Corp.

(3,795)

(426,406)

8,842

(159.4)

Baker

Hughes

Co.

(27,597)

(796,449)

(45,975)

828.7

Carnival

Corp.

(68,864)

(698,970)

(83,844)

1,511.2

DuPont

de

Nemours,

Inc.

(5,708)

(409,663)

(24,088)

434.2

EQT

Corp.

(14,844)

(473,672)

(28,052)

505.6

Five

Below,

Inc.

(1,760)

(362,507)

(22,123)

398.8

Halliburton

Co.

(15,025)

(475,391)

(21,615)

389.6

Hanesbrands,

Inc.

(90,096)

(473,905)

(20,538)

370.2

Honeywell

International,

Inc.

(2,561)

(489,458)

(16,595)

299.1

Norwegian

Cruise

Line

Holdings

Ltd.

(47,070)

(633,092)

(50,271)

906.1

NVIDIA

Corp.

(1,461)

(405,822)

(29,980)

540.4

Quanta

Services,

Inc.

(2,277)

(379,439)

(26,277)

473.6

Schlumberger

NV

(13,660)

(670,706)

(38,520)

694.3

Waste

Connections,

Inc.

(2,665)

(370,622)

(12,552)

226.2

Wayfair,

Inc.

(11,885)

(408,131)

(12,854)

231.7

Wolfspeed,

Inc.

(5,662)

(367,747)

(17,313)

312.1

WW

Grainger,

Inc.

(551)

(379,534)

(13,946)

251.4

173

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

108.7%

COMMON

STOCKS

-

54.5%

Australia

-

1.7%

BHP

Group

Ltd.

(2)(a)

19,897

629,022

BlueScope

Steel

Ltd.

(2)

46,775

633,117

Harvey

Norman

Holdings

Ltd.

(2)(a)

21,713

52,256

Incitec

Pivot

Ltd.

(2)

245,893

518,152

JB

Hi-Fi

Ltd.

(2)(a)

14,476

413,136

Pilbara

Minerals

Ltd.

(2)

61,810

164,440

Qantas

Airways

Ltd.

(2)*

19,638

87,653

Sonic

Healthcare

Ltd.

(2)

6,158

144,362

South32

Ltd.

(2)

134,654

394,635

Whitehaven

Coal

Ltd.

(2)

82,773

372,636

3,409,409

—

Austria

-

0.0%

(b)

ams-OSRAM

AG

(2)*

8,915

69,472

Belgium

-

0.1%

Ageas

SA/NV

(2)

623

26,950

Proximus

SADP

(2)(a)

23,564

227,870

254,820

—

Brazil

-

0.1%

Yara

International

ASA

(2)

4,711

204,743

Canada

-

2.0%

Air

Canada

14,117

200,030

ARC

Resources

Ltd.

46,677

529,455

Bank

of

Nova

Scotia

(The)

3,583

180,462

Empire

Co.

Ltd.,

Class

A

7,388

198,052

Imperial

Oil

Ltd.

8,031

408,413

Manulife

Financial

Corp.

(a)

2,750

50,462

Nutrien

Ltd.

(a)

8,316

614,148

Parkland

Corp.

2,246

53,844

Ritchie

Bros

Auctioneers,

Inc.

(a)

4,584

257,911

Shaw

Communications,

Inc.,

Class

B

964

28,845

Suncor

Energy,

Inc.

19,719

612,215

Tourmaline

Oil

Corp.

4,390

182,941

West

Fraser

Timber

Co.

Ltd.

9,126

650,942

3,967,720

—

China

-

0.2%

BOC

Hong

Kong

Holdings

Ltd.

(2)

10,500

32,689

NXP

Semiconductors

NV

354

66,012

SITC

International

Holdings

Co.

Ltd.

(2)

123,000

264,347

363,048

—

Denmark

-

0.6%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

535

972,475

ISS

A/S

(2)*(a)

9,014

183,967

1,156,442

—

Finland

-

0.1%

Nokia

OYJ

(2)

28,493

139,869

INVESTMENTS

SHARES

VALUE

($)

France

-

1.2%

Air

France-KLM

(2)*

60,317

111,150

BNP

Paribas

SA

(2)

836

49,924

Bouygues

SA

(2)(a)

546

18,414

Cie

de

Saint-Gobain

(2)(a)

12,648

718,957

Dassault

Aviation

SA

(2)

952

188,334

Eiffage

SA

(2)

152

16,449

Electricite

de

France

SA

(2)(a)

3,342

43,095

Ipsen

SA

(2)

441

48,559

Renault

SA

(2)*

8,639

352,093

Rexel

SA

(2)

12,461

296,257

Rubis

SCA

(2)

5,920

158,409

TotalEnergies

SE

(2)

7,313

431,202

2,432,843

—

Germany

-

1.8%

BASF

SE

(2)(a)

2,102

110,352

Bayer

AG

(Registered)

(2)(a)

6,597

421,427

Bayerische

Motoren

Werke

AG

(2)

5,027

550,953

Deutsche

Bank

AG

(Registered)

(2)

102,078

1,038,052

Deutsche

Lufthansa

AG

(Registered)

(2)*

17,524

194,911

Deutsche

Post

AG

(Registered)

(2)

(a)

2,190

102,570

HeidelbergCement

AG

(2)

1,499

109,453

HelloFresh

SE

(2)*

1,208

28,808

Mercedes-Benz

Group

AG

(2)(a)

792

60,907

ProSiebenSat.1

Media

SE

(2)

7,758

79,025

Rational

AG

(2)

34

22,854

TeamViewer

SE

(2)(c)

5,317

90,577

thyssenkrupp

AG

(2)

98,626

710,265

3,520,154

—

Guatemala

-

0.1%

Millicom

International

Cellular

SA,

SDR

(2)*

10,266

194,800

Hong

Kong

-

0.2%

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)(a)

800

35,460

New

World

Development

Co.

Ltd.

(2)

70,000

187,642

WH

Group

Ltd.

(2)(c)

136,500

81,374

304,476

—

Italy

-

1.0%

Banco

BPM

SpA

(2)

77,669

303,402

Buzzi

Unicem

SpA

(2)

331

8,034

Eni

SpA

(2)

3,058

42,648

Leonardo

SpA

(2)

37,219

436,488

UniCredit

SpA

(2)

33,220

626,127

Unipol

Gruppo

SpA

(2)

97,682

501,463

1,918,162

—

Japan

-

3.8%

Bank

of

Kyoto

Ltd.

(The)

(2)

800

37,840

Dai-ichi

Life

Holdings,

Inc.

(2)

12,600

231,632

ENEOS

Holdings,

Inc.

(2)

43,900

154,024

Fuji

Electric

Co.

Ltd.

(2)

600

23,694

Hitachi

Construction

Machinery

Co.

Ltd.

(2)

900

20,977

Idemitsu

Kosan

Co.

Ltd.

(2)

14,300

313,067

174

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

3.8%

(continued)

IHI

Corp.

(2)

1,300

32,655

Iida

Group

Holdings

Co.

Ltd.

(2)

5,800

94,695

Inpex

Corp.

(2)

53,100

561,931

Japan

Post

Insurance

Co.

Ltd.

(2)

32,000

498,747

JFE

Holdings,

Inc.

(2)

64,500

818,661

Kawasaki

Kisen

Kaisha

Ltd.

(2)

6,000

137,615

Kuraray

Co.

Ltd.

(2)

4,900

45,069

Marubeni

Corp.

(2)(a)

1,100

14,960

Mazda

Motor

Corp.

(2)

55,200

509,165

Mitsubishi

Corp.

(2)(a)

12,300

442,018

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

2,200

32,736

Mitsubishi

Motors

Corp.

(2)*

173,800

684,910

Mitsui

Chemicals,

Inc.

(2)

2,800

72,298

Mitsui

OSK

Lines

Ltd.

(2)

2,900

72,725

Mizuho

Financial

Group,

Inc.

(2)

34,200

484,531

MS&AD

Insurance

Group

Holdings,

Inc.

(2)

5,900

182,846

Nippon

Shinyaku

Co.

Ltd.

(2)

300

13,238

Nippon

Steel

Corp.

(2)(a)

38,700

912,603

Nippon

Yusen

KK

(2)

11,100

259,278

Obayashi

Corp.

(2)

2,200

16,835

Ryohin

Keikaku

Co.

Ltd.

(2)(a)

17,800

202,834

Shimamura

Co.

Ltd.

(2)(a)

600

61,068

Sojitz

Corp.

(2)

4,880

101,971

Subaru

Corp.

(2)

8,900

142,076

Sumitomo

Heavy

Industries

Ltd.

(2)

1,100

26,975

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)

600

20,614

THK

Co.

Ltd.

(2)

1,900

44,041

Tokyo

Gas

Co.

Ltd.

(2)

2,700

50,742

Tosoh

Corp.

(2)

6,700

91,050

Toyota

Tsusho

Corp.

(2)

2,100

89,538

Yamada

Holdings

Co.

Ltd.

(2)*(a)

4,500

15,472

7,515,131

—

Luxembourg

-

0.5%

Aperam

SA

(2)

448

16,712

ArcelorMittal

SA

(2)

32,613

988,053

1,004,765

—

Netherlands

-

1.1%

ING

Groep

NV

(2)

5,135

60,980

NN

Group

NV

(2)

19,710

715,669

OCI

NV

(2)

5,316

180,212

Shell

plc

(2)

42,029

1,197,767

2,154,628

—

New

Zealand

-

0.0%

(b)

Xero

Ltd.

(2)

577

34,996

Nigeria

-

0.0%

(b)

Airtel

Africa

plc

(2)(c)

6,158

8,079

Norway

-

0.3%

Equinor

ASA

(2)

17,814

506,424

Norsk

Hydro

ASA

(2)

5,081

37,922

544,346

—

Russia

-

0.0%

Evraz

plc

(3)*(d)

27,473

–

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

0.2%

City

Developments

Ltd.

(2)

4,000

22,196

Sea

Ltd.,

ADR

1,068

92,435

STMicroelectronics

NV

(2)

6,501

346,398

461,029

—

Spain

-

1.0%

Acerinox

SA

(2)

15,944

164,083

Banco

de

Sabadell

SA

(2)

302,539

325,363

Banco

Santander

SA

(2)

75,826

282,564

Mapfre

SA

(2)

42,909

86,477

Repsol

SA

(2)

69,959

1,075,821

1,934,308

—

Sweden

-

0.1%

Billerud

AB

(2)

7,074

72,708

Skanska

AB,

Class

B

(2)

4,980

76,277

SSAB

AB,

Class

B

(2)

1,146

8,192

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

18,814

110,284

267,461

—

Switzerland

-

1.0%

ABB

Ltd.

(Registered)

(2)(a)

570

19,609

Adecco

Group

AG

(Registered)

(2)

(a)

290

10,563

Baloise

Holding

AG

(Registered)

(2)

1,341

208,816

Clariant

AG

(Registered)

(2)

10,826

179,596

DKSH

Holding

AG

(2)(a)

409

32,974

Dufry

AG

(Registered)

(2)*(a)

3,299

147,130

Georg

Fischer

AG

(Registered)

(2)

751

58,451

Helvetia

Holding

AG

(Registered)

(2)

189

26,344

Novartis

AG

(Registered)

(2)(a)

11,056

1,015,146

Temenos

AG

(Registered)

(2)

2,195

152,741

UBS

Group

AG

(Registered)

(2)

6,146

130,054

1,981,424

—

United

Kingdom

-

2.0%

Aviva

plc

(2)

1,773

8,856

Barclays

plc

(2)

481,071

865,882

BP

plc

(2)

54,955

347,344

British

American

Tobacco

plc

(2)(a)

1,625

56,963

Centrica

plc

(2)

158,393

207,437

CK

Hutchison

Holdings

Ltd.

(2)

47,500

293,866

DCC

plc

(2)

2,233

130,165

Direct

Line

Insurance

Group

plc

(2)

53,957

91,660

Harbour

Energy

plc

(2)

91,514

310,126

HSBC

Holdings

plc

(2)(a)

10,813

73,491

InterContinental

Hotels

Group

plc

(2)

695

45,499

International

Distributions

Services

plc

(2)

24,740

68,509

Legal

&

General

Group

plc

(2)

38,150

112,833

Liberty

Global

plc,

Class

C

*(a)

40,096

817,156

Lloyds

Banking

Group

plc

(2)

87,680

51,551

Marks

&

Spencer

Group

plc

(2)*

149,995

309,438

Standard

Chartered

plc

(2)

1,906

14,446

Travis

Perkins

plc

(2)

1,756

20,790

175

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

2.0%

(continued)

Vodafone

Group

plc

(2)(a)

41,751

46,055

3,872,067

—

United

States

-

35.4%

3M

Co.

(a)

4,069

427,693

Accenture

plc,

Class

A

(a)

56

16,005

ACI

Worldwide,

Inc.

*

540

14,569

Activision

Blizzard,

Inc.

705

60,341

Adobe,

Inc.

*(a)

3,205

1,235,111

Advance

Auto

Parts,

Inc.

(a)

1,551

188,617

Advanced

Micro

Devices,

Inc.

(a)(e)

1,082

106,047

AGCO

Corp.

646

87,339

Akamai

Technologies,

Inc.

*(a)(e)

2,991

234,195

Align

Technology,

Inc.

*

331

110,600

Allison

Transmission

Holdings,

Inc.

25,833

1,168,685

Ally

Financial,

Inc.

6,547

166,883

Alphabet,

Inc.,

Class

A

*(a)

17,139

1,777,828

Alphabet,

Inc.,

Class

C

*(a)

7,855

816,920

Altice

USA,

Inc.,

Class

A

*(a)(e)

223,784

765,341

Altria

Group,

Inc.

(a)

11,354

506,615

Amazon.com,

Inc.

(a)

14,949

1,544,082

Amedisys,

Inc.

665

48,911

American

Airlines

Group,

Inc.

(a)(e)

2,755

40,636

American

International

Group,

Inc.

29,977

1,509,642

American

Tower

Corp.,

REIT

(a)

324

66,206

Analog

Devices,

Inc.

(a)

1,444

284,786

APA

Corp.

6,271

226,132

Apple,

Inc.

(a)

20,986

3,460,591

Applied

Materials,

Inc.

(a)(e)

2,083

255,855

AppLovin

Corp.,

Class

A

*(a)(e)

16,636

262,017

Arrow

Electronics,

Inc.

*

2,181

272,341

Associated

Banc-Corp.

1,918

34,486

Assurant,

Inc.

270

32,419

Autodesk,

Inc.

*(a)

590

122,814

AutoNation,

Inc.

*

2,687

361,025

Avnet,

Inc.

3,615

163,398

Axis

Capital

Holdings

Ltd.

1,096

59,754

Bank

of

America

Corp.

(a)(e)

8,304

237,494

Bank

of

New

York

Mellon

Corp.

(The)

(a)

2,208

100,332

Bath

&

Body

Works,

Inc.

(a)

1,692

61,893

Baxter

International,

Inc.

3,092

125,412

Berkshire

Hathaway,

Inc.,

Class

B

*(a)

1,954

603,337

Best

Buy

Co.,

Inc.

(a)(e)

933

73,026

Biogen,

Inc.

*(a)(e)

1,126

313,062

Blackbaud,

Inc.

*

141

9,771

Booking

Holdings,

Inc.

*(a)

269

713,498

Bristol-Myers

Squibb

Co.

(a)

2,921

202,455

Broadcom,

Inc.

(a)

351

225,181

Brunswick

Corp.

(a)(e)

121

9,922

Builders

FirstSource,

Inc.

*(a)

1,794

159,271

BWX

Technologies,

Inc.

1,047

66,003

Cable

One,

Inc.

15

10,530

Capital

One

Financial

Corp.

(a)(e)

3,299

317,232

Capri

Holdings

Ltd.

*

2,471

116,137

Cardinal

Health,

Inc.

(a)(e)

4,950

373,725

Centene

Corp.

*(a)

6,221

393,229

CF

Industries

Holdings,

Inc.

10,067

729,757

Chesapeake

Energy

Corp.

(a)(e)

1,936

147,213

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.4%

(continued)

Chevron

Corp.

1,259

205,418

Cigna

Group

(The)

(a)

5,199

1,328,500

Cisco

Systems,

Inc.

(a)

14,635

765,045

Citigroup,

Inc.

(a)

27,215

1,276,111

Cleveland-Cliffs,

Inc.

*(a)(e)

3,534

64,778

CNA

Financial

Corp.

1,122

43,792

CNO

Financial

Group,

Inc.

5,388

119,560

Coca-Cola

Consolidated,

Inc.

592

316,767

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

3,366

205,090

Comcast

Corp.,

Class

A

(a)

12,006

455,147

Comerica,

Inc.

4,145

179,976

Coterra

Energy,

Inc.

(a)(e)

9,954

244,271

Crowdstrike

Holdings,

Inc.,

Class

A

(a)

85

11,667

Crown

Castle,

Inc.,

REIT

311

41,624

CVS

Health

Corp.

(a)(e)

21,273

1,580,797

Dell

Technologies,

Inc.,

Class

C

2,320

93,287

Delta

Air

Lines,

Inc.

18,591

649,198

Dick's

Sporting

Goods,

Inc.

567

80,452

Digital

Realty

Trust,

Inc.,

REIT

191

18,777

Discover

Financial

Services

(a)

584

57,723

DISH

Network

Corp.,

Class

A

*(a)

(e)

2,681

25,014

DocuSign,

Inc.

*

2,720

158,576

Dominion

Energy,

Inc.

(a)

1,171

65,471

Domino's

Pizza,

Inc.

621

204,849

Dropbox,

Inc.,

Class

A

*

14,414

311,631

DXC

Technology

Co.

*

10,361

264,827

Eastman

Chemical

Co.

1,400

118,076

Elanco

Animal

Health,

Inc.

*

6,570

61,758

EOG

Resources,

Inc.

380

43,559

Equinix,

Inc.,

REIT

61

43,983

Exelixis,

Inc.

*

3,409

66,169

Expedia

Group,

Inc.

*

5,895

571,992

Exxon

Mobil

Corp.

3,907

428,442

FedEx

Corp.

(a)

127

29,018

Fidelity

National

Information

Services,

Inc.

6,911

375,475

FleetCor

Technologies,

Inc.

*

139

29,308

Gap,

Inc.

(The)

19,459

195,368

Gates

Industrial

Corp.

plc

*

17,367

241,228

General

Dynamics

Corp.

(a)(e)

1,450

330,905

General

Motors

Co.

39,463

1,447,503

Gilead

Sciences,

Inc.

(a)(e)

423

35,096

Global

Payments,

Inc.

3,022

318,035

Goodyear

Tire

&

Rubber

Co.

(The)

*

30,565

336,826

Grand

Canyon

Education,

Inc.

*

539

61,392

Hasbro,

Inc.

(a)

8,420

452,070

Hewlett

Packard

Enterprise

Co.

15,807

251,806

Holcim

AG

(2)(a)

417

26,893

Horizon

Therapeutics

plc

*

257

28,049

Humana,

Inc.

(a)

219

106,316

Huntington

Ingalls

Industries,

Inc.

(a)(e)

448

92,745

Incyte

Corp.

*

1,254

90,627

Intel

Corp.

35,379

1,155,832

Invesco

Ltd.

(a)(e)

942

15,449

IPG

Photonics

Corp.

*

769

94,825

176

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.4%

(continued)

Johnson

&

Johnson

(a)

1,801

279,155

KB

Home

(a)(e)

9,315

374,277

KLA

Corp.

208

83,027

Kroger

Co.

(The)

(a)

6,801

335,765

L3Harris

Technologies,

Inc.

(a)

452

88,700

Laboratory

Corp.

of

America

Holdings

570

130,769

Lam

Research

Corp.

290

153,735

Lennar

Corp.,

Class

A

(a)

262

27,539

Lincoln

National

Corp.

2,016

45,300

LyondellBasell

Industries

NV,

Class

A

(a)

1,227

115,203

Macy's,

Inc.

(a)(e)

22,938

401,186

ManpowerGroup,

Inc.

2,918

240,823

Marathon

Oil

Corp.

14,458

346,414

Marathon

Petroleum

Corp.

3,419

460,984

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

*

1,766

24,742

Marriott

International,

Inc.,

Class

A

(a)

1,466

243,415

Marvell

Technology,

Inc.

(a)(e)

1,738

75,255

Mattel,

Inc.

*

1,494

27,505

Medtronic

plc

(a)

4,170

336,185

Meta

Platforms,

Inc.,

Class

A

*(a)

5,993

1,270,156

MGIC

Investment

Corp.

8,868

119,009

Microchip

Technology,

Inc.

(a)(e)

4,464

373,994

Microsoft

Corp.

(a)

11,795

3,400,498

Moderna,

Inc.

*

518

79,554

Mosaic

Co.

(The)

9,181

421,224

Murphy

Oil

Corp.

3,760

139,045

Navient

Corp.

33,270

531,987

NCR

Corp.

*

3,945

93,063

Netflix,

Inc.

2,573

888,920

New

Relic,

Inc.

146

10,992

NRG

Energy,

Inc.

21,493

736,995

Occidental

Petroleum

Corp.

341

21,289

Ovintiv,

Inc.

(a)(e)

3,091

111,523

Owens

Corning

4,374

419,029

PACCAR,

Inc.

(a)

905

66,246

Patterson

Cos.,

Inc.

4,763

127,506

PayPal

Holdings,

Inc.

(a)

6,970

529,302

PBF

Energy,

Inc.,

Class

A

7,590

329,102

PDC

Energy,

Inc.

(a)(e)

5,094

326,933

Petco

Health

&

Wellness

Co.,

Inc.

*

6,085

54,765

Pfizer,

Inc.

(a)(e)

21,673

884,258

Phillips

66

2,034

206,207

Pioneer

Natural

Resources

Co.

246

50,243

Playtika

Holding

Corp.

*

22,812

256,863

Popular,

Inc.

4,630

265,808

Premier,

Inc.,

Class

A

(a)(e)

1,654

53,540

Prologis,

Inc.,

REIT

(a)

1,198

149,474

Public

Storage,

REIT

111

33,538

PulteGroup,

Inc.

(a)

3,431

199,959

PVH

Corp.

1,066

95,045

Qorvo,

Inc.

*

838

85,116

QUALCOMM,

Inc.

6,201

791,124

QuidelOrtho

Corp.

*(a)(e)

1,403

124,993

Reinsurance

Group

of

America,

Inc.

799

106,075

RingCentral,

Inc.,

Class

A

*

7,696

236,036

Ryder

System,

Inc.

348

31,056

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.4%

(continued)

Salesforce,

Inc.

*(a)

4,438

886,624

Schneider

National,

Inc.,

Class

B

5,719

152,983

ServiceNow,

Inc.

(a)

222

103,168

Signify

NV

(2)(c)

5,880

196,069

Simon

Property

Group,

Inc.,

REIT

376

42,101

Six

Flags

Entertainment

Corp.

*

1,671

44,632

Skechers

USA,

Inc.,

Class

A

*(a)

3,042

144,556

Skyworks

Solutions,

Inc.

1,668

196,791

SLM

Corp.

2,094

25,945

Southwest

Airlines

Co.

6,028

196,151

Southwestern

Energy

Co.

*

30,818

154,090

SS&C

Technologies

Holdings,

Inc.

(a)(e)

2,295

129,599

Stellantis

NV

(2)

64,721

1,177,034

Stifel

Financial

Corp.

962

56,845

Swiss

Re

AG

(2)

1,566

160,881

Synaptics,

Inc.

*

3,237

359,793

Synchrony

Financial

21,423

622,981

Syneos

Health,

Inc.

*

16,092

573,197

Taylor

Morrison

Home

Corp.,

Class

A

*

9,867

377,511

TD

SYNNEX

Corp.

2,766

267,721

Tenet

Healthcare

Corp.

*

1,170

69,521

Teradata

Corp.

*(a)(e)

5,887

237,128

Terex

Corp.

1,500

72,570

Tesla,

Inc.

3,993

828,388

Textron,

Inc.

5,704

402,874

Toll

Brothers,

Inc.

(a)

15,449

927,403

Travel

+

Leisure

Co.

6,996

274,243

TripAdvisor,

Inc.

*

11,332

225,054

Tyson

Foods,

Inc.,

Class

A

(a)

9,624

570,896

United

Airlines

Holdings,

Inc.

*

7,756

343,203

United

States

Steel

Corp.

17,518

457,220

Universal

Health

Services,

Inc.,

Class

B

397

50,459

Unum

Group

10,597

419,217

Valero

Energy

Corp.

2,504

349,558

Veeva

Systems,

Inc.,

Class

A

*(a)

1,699

312,259

Verizon

Communications,

Inc.

(a)(e)

7,843

305,014

VF

Corp.

(a)

3,933

90,105

Viatris,

Inc.

47,089

452,996

Vicor

Corp.

*

582

27,319

Victoria's

Secret

&

Co.

*(a)(e)

2,512

85,785

Virtu

Financial,

Inc.,

Class

A

24,757

467,907

Vishay

Intertechnology,

Inc.

(a)(e)

8,555

193,514

VMware,

Inc.,

Class

A

*(a)

248

30,963

Vontier

Corp.

15,726

429,949

Wells

Fargo

&

Co.

(a)

1,319

49,304

Western

Digital

Corp.

2,042

76,922

Western

Union

Co.

(The)

59,227

660,381

Westrock

Co.

7,522

229,195

Williams-Sonoma,

Inc.

(a)

2,235

271,910

Workday,

Inc.,

Class

A

(a)

718

148,296

Xerox

Holdings

Corp.

15,326

236,020

XPO,

Inc.

*

734

23,415

177

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.4%

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

*(a)(e)

1,601

118,218

69,949,781

—

TOTAL

COMMON

STOCKS

(Cost

$99,240,287)

107,663,973

PREFERRED

STOCKS

-

0.1%

Germany

-

0.1%

Volkswagen

AG

(Preference)

(2)(a)

(Cost

$253,607)

1,842

251,382

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

5.5%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(2)(f)(g)

EUR

3,145,506

3,553,730

French

Republic

1.85%,

7/25/2027

(2)(f)(g)

1,160,168

1,362,207

0.70%,

7/25/2030

(2)(f)(g)

840,434

951,194

0.10%,

7/25/2031

(2)(f)(g)

457,132

492,339

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(2)(f)(g)

GBP

774,192

977,281

0.13%,

3/22/2029

(2)(f)(g)

455,268

574,028

0.13%,

8/10/2031

(2)(f)(g)

490,868

629,501

1.25%,

11/22/2032

(2)(f)(g)

829,680

1,174,761

0.75%,

3/22/2034

(2)(f)(g)

775,745

1,049,503

Cost:

$10,259,749

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$10,259,749)

10,764,544

U.S.

TREASURY

OBLIGATIONS

-

11.4%

U.S.

Treasury

Inflation

Linked

Notes

1.63%,

10/15/2027

(2)

$

1,413,902

1,441,407

0.50%,

1/15/2028

(2)

1,212,860

1,170,440

0.75%,

7/15/2028

(2)

1,311,013

1,285,446

0.25%,

7/15/2029

(2)

1,286,538

1,218,919

0.13%,

1/15/2030

(2)

1,744,200

1,625,325

0.13%,

7/15/2030

(2)

1,750,275

1,628,405

0.13%,

1/15/2031

(2)

1,608,964

1,486,909

0.13%,

7/15/2031

(2)

4,130,014

3,803,364

0.13%,

1/15/2032

(2)

4,532,850

4,139,989

0.63%,

7/15/2032

(2)

4,118,680

3,933,742

1.13%,

1/15/2033

(2)

703,038

701,198

Cost:

$22,267,304

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$22,267,304)

22,435,144

SHARES

SHORT-TERM

INVESTMENTS

-

37.2%

INVESTMENT

COMPANIES

-

16.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(h)(i)

2,847,129

2,847,129

Limited

Purpose

Cash

Investment

Fund,

4.73%

(h)

30,253,152

30,241,050

TOTAL

INVESTMENT

COMPANIES

(Cost

$33,082,722)

33,088,179

—

—

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

20.4%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(2)(j)

$

2,571,000

2,570,011

4.33%,

4/20/2023

(2)(j)

7,254,000

7,238,080

4.54%,

5/4/2023

(2)(j)

1,181,000

1,176,303

4.59%,

5/11/2023

(2)(j)

2,999,000

2,984,282

4.63%,

5/25/2023

(2)(j)

3,576,000

3,552,162

4.66%,

6/1/2023

(2)(j)

1,317,000

1,307,206

4.68%,

6/8/2023

(2)(j)

2,497,000

2,476,131

4.74%,

6/15/2023

(2)(j)

1,930,000

1,911,836

4.71%,

6/29/2023

(2)(j)

370,000

365,860

4.82%,

7/13/2023

(2)(j)

2,763,000

2,726,739

4.80%,

7/20/2023

(2)(j)

603,000

594,620

4.80%,

7/27/2023

(2)(j)

1,514,000

1,491,444

4.79%,

8/3/2023

(2)(j)

1,664,000

1,637,440

4.96%,

8/17/2023

(2)(j)(k)

10,377,000

10,193,045

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$40,211,576)

40,225,159

—

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$73,294,298)

73,313,338

TOTAL

LONG

POSITIONS

(Cost

$205,315,245)

214,428,381

SHARES

SHORT

POSITIONS

-

(12.8)%

COMMON

STOCKS

-

(12.8)%

Australia

-

(0.4)%

Cleanaway

Waste

Management

Ltd.

(2)

(42,777)

(68,452)

Endeavour

Group

Ltd.

(2)

(24,059)

(109,307)

IDP

Education

Ltd.

(2)

(10,067)

(185,519)

Lynas

Rare

Earths

Ltd.

(2)

(3,175)

(13,516)

Mineral

Resources

Ltd.

(2)

(4,257)

(230,121)

OZ

Minerals

Ltd.

(2)

(1,554)

(29,266)

REA

Group

Ltd.

(2)

(392)

(36,551)

Reece

Ltd.

(2)

(756)

(8,860)

WiseTech

Global

Ltd.

(2)

(686)

(30,221)

Worley

Ltd.

(2)

(13,791)

(133,577)

(845,390)

—

Belgium

-

(0.0)%

(b)

UCB

SA

(2)

(211)

(18,858)

Brazil

-

(0.0)%

(b)

Wheaton

Precious

Metals

Corp.

(791)

(38,096)

Canada

-

(0.9)%

Cameco

Corp.

(25,964)

(679,886)

Canadian

Pacific

Railway

Ltd.

(2,798)

(215,455)

Constellation

Software,

Inc.

(225)

(423,015)

Dollarama,

Inc.

(940)

(56,177)

Element

Fleet

Management

Corp.

(2,571)

(33,766)

Nuvei

Corp.

(c)

(234)

(10,195)

Pan

American

Silver

Corp.

(14,017)

(255,760)

WSP

Global,

Inc.

(122)

(15,981)

(1,690,235)

—

Chile

-

(0.1)%

Antofagasta

plc

(2)

(11,881)

(232,719)

178

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

(0.3)%

Coloplast

A/S,

Class

B

(2)

(74)

(9,743)

Novo

Nordisk

A/S,

Class

B

(2)

(975)

(154,851)

Novozymes

A/S,

Class

B

(2)

(4,460)

(228,366)

Vestas

Wind

Systems

A/S

(2)

(10,014)

(291,853)

(684,813)

—

Faroe

Islands

-

(0.0)%

(b)

Bakkafrost

P/F

(2)

(980)

(63,268)

France

-

(0.2)%

Hermes

International

(2)

(133)

(269,359)

Sartorius

Stedim

Biotech

(2)

(64)

(19,635)

SEB

SA

(2)

(127)

(14,451)

SOITEC

(2)

(53)

(8,505)

(311,950)

—

Germany

-

(0.3)%

adidas

AG

(2)

(1,970)

(349,226)

Rheinmetall

AG

(2)

(858)

(254,183)

Zalando

SE

(2)(c)

(315)

(13,202)

(616,611)

—

Italy

-

(0.9)%

Banca

Generali

SpA

(2)

(577)

(18,369)

DiaSorin

SpA

(2)

(983)

(103,591)

Ferrari

NV

(2)

(3,062)

(829,751)

Infrastrutture

Wireless

Italiane

SpA

(2)(c)

(16,582)

(217,860)

Moncler

SpA

(2)

(282)

(19,478)

Nexi

SpA

(2)(c)

(38,402)

(312,099)

Reply

SpA

(2)

(591)

(74,214)

Telecom

Italia

SpA

(2)

(429,739)

(141,721)

(1,717,083)

—

Japan

-

(1.3)%

Ajinomoto

Co.,

Inc.

(2)

(4,300)

(149,588)

Azbil

Corp.

(2)

(700)

(19,173)

BayCurrent

Consulting,

Inc.

(2)

(5,000)

(207,591)

Capcom

Co.

Ltd.

(2)

(13,400)

(479,593)

Disco

Corp.

(2)

(1,500)

(174,498)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(500)

(24,976)

JSR

Corp.

(2)

(3,200)

(75,700)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(4,000)

(72,294)

Kurita

Water

Industries

Ltd.

(2)

(400)

(18,323)

Lasertec

Corp.

(2)

(1,500)

(266,519)

Nexon

Co.

Ltd.

(2)

(6,800)

(162,376)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(4,500)

(42,314)

Obic

Co.

Ltd.

(2)

(1,800)

(285,108)

Rakuten

Group,

Inc.

(2)

(5,800)

(27,050)

Sysmex

Corp.

(2)

(900)

(59,068)

TIS,

Inc.

(2)

(3,000)

(79,337)

Toyota

Motor

Corp.

(2)

(1,300)

(18,506)

Unicharm

Corp.

(2)

(3,100)

(127,428)

Yaskawa

Electric

Corp.

(2)

(200)

(8,772)

Z

Holdings

Corp.

(2)

(104,800)

(297,155)

(2,595,369)

—

Netherlands

-

(0.2)%

Adyen

NV

(2)(c)

(6)

(9,561)

Argenx

SE

(2)

(830)

(308,224)

Koninklijke

Philips

NV

(2)

(3,624)

(66,562)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

(0.2)%

(continued)

Wolters

Kluwer

NV

(2)

(136)

(17,168)

(401,515)

—

Norway

-

(0.1)%

Kongsberg

Gruppen

ASA

(2)

(1,812)

(73,246)

Salmar

ASA

(2)

(682)

(29,708)

Schibsted

ASA,

Class

A

(2)

(6,964)

(118,213)

(221,167)

—

South

Korea

-

(0.1)%

Delivery

Hero

SE

(2)(c)

(6,033)

(205,815)

Spain

-

(0.3)%

Acciona

SA

(2)

(663)

(133,024)

Cellnex

Telecom

SA

(2)(c)

(9,853)

(383,160)

Grifols

SA

(2)

(1,252)

(12,393)

(528,577)

—

Sweden

-

(0.1)%

Beijer

Ref

AB

(2)

(1,753)

(30,761)

Nibe

Industrier

AB,

Class

B

(2)

(6,755)

(77,001)

(107,762)

—

Switzerland

-

(0.4)%

Bachem

Holding

AG,

Class

B

(2)

(5,387)

(541,729)

SIG

Group

AG

(2)

(6,839)

(176,194)

(717,923)

—

United

Kingdom

-

(0.1)%

ConvaTec

Group

plc

(2)(c)

(19,418)

(54,872)

Ocado

Group

plc

(2)

(17,969)

(118,980)

Rentokil

Initial

plc

(2)

(7,697)

(56,254)

(230,106)

—

United

States

-

(7.1)%

10X

Genomics,

Inc.,

Class

A

(1,781)

(99,362)

Affirm

Holdings,

Inc.

(38,012)

(428,395)

agilon

health,

Inc.

(32,785)

(778,643)

Alcoa

Corp.

(1,237)

(52,647)

Alnylam

Pharmaceuticals,

Inc.

(1,111)

(222,556)

Arrowhead

Pharmaceuticals,

Inc.

(6,646)

(168,808)

Aspen

Technology,

Inc.

(103)

(23,574)

Axon

Enterprise,

Inc.

(513)

(115,348)

Azenta,

Inc.

(7,459)

(332,821)

Ball

Corp.

(5,146)

(283,596)

Bentley

Systems,

Inc.,

Class

B

(3,587)

(154,205)

BILL

Holdings,

Inc.

(732)

(59,394)

Brookfield

Renewable

Corp.

(609)

(21,296)

Carnival

Corp.

(10,031)

(101,815)

Celsius

Holdings,

Inc.

(2,501)

(232,443)

Chart

Industries,

Inc.

(836)

(104,834)

Clarivate

plc

(4,471)

(41,983)

Cloudflare,

Inc.,

Class

A

(3,597)

(221,791)

Confluent,

Inc.,

Class

A

(12,234)

(294,472)

CoStar

Group,

Inc.

(120)

(8,262)

Definitive

Healthcare

Corp.

(4,545)

(46,950)

DoorDash,

Inc.,

Class

A

(2,490)

(158,264)

DoubleVerify

Holdings,

Inc.

(2,392)

(72,119)

Enphase

Energy,

Inc.

(164)

(34,486)

Entegris,

Inc.

(1,867)

(153,113)

Envestnet,

Inc.

(6,959)

(408,285)

179

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(7.1)%

(continued)

Equifax,

Inc.

(325)

(65,923)

Etsy,

Inc.

(1,353)

(150,629)

First

Solar,

Inc.

(604)

(131,370)

Five

Below,

Inc.

(874)

(180,018)

Fox

Factory

Holding

Corp.

(651)

(79,012)

Freshpet,

Inc.

(5,200)

(344,188)

Frontier

Communications

Parent,

Inc.

(3,787)

(86,230)

FTI

Consulting,

Inc.

(311)

(61,376)

GameStop

Corp.,

Class

A

(11,074)

(254,923)

General

Electric

Co.

(8,217)

(785,544)

Hanesbrands,

Inc.

(92,942)

(488,875)

Hess

Corp.

(195)

(25,806)

ICU

Medical,

Inc.

(1,412)

(232,924)

Insulet

Corp.

(676)

(215,617)

Iridium

Communications,

Inc.

(1,102)

(68,247)

James

Hardie

Industries

plc,

CHESS

(2)

(1,036)

(22,299)

Kinsale

Capital

Group,

Inc.

(227)

(68,134)

Kohl's

Corp.

(8,047)

(189,426)

MasTec,

Inc.

(208)

(19,644)

Mirati

Therapeutics,

Inc.

(2,670)

(99,271)

MP

Materials

Corp.

(2,858)

(80,567)

Natera,

Inc.

(3,299)

(183,160)

nCino,

Inc.

(5,635)

(139,635)

Novanta,

Inc.

(1,478)

(235,135)

Novocure

Ltd.

(6,047)

(363,667)

Palantir

Technologies,

Inc.,

Class

A

(12,528)

(105,862)

Paycor

HCM,

Inc.

(1,719)

(45,588)

Peloton

Interactive,

Inc.,

Class

A

(12,244)

(138,847)

Penumbra,

Inc.

(1,218)

(339,444)

Pinterest,

Inc.,

Class

A

(8,040)

(219,251)

Plug

Power,

Inc.

(39,597)

(464,077)

Procore

Technologies,

Inc.

(404)

(25,303)

Quanta

Services,

Inc.

(3,453)

(575,407)

R1

RCM,

Inc.

(5,933)

(88,995)

Repligen

Corp.

(1,166)

(196,308)

Rivian

Automotive,

Inc.,

Class

A

(3,561)

(55,124)

ROBLOX

Corp.,

Class

A

(8,828)

(397,083)

Royal

Gold,

Inc.

(1,779)

(230,754)

Saia,

Inc.

(928)

(252,490)

SentinelOne,

Inc.,

Class

A

(7,067)

(115,616)

Shift4

Payments,

Inc.,

Class

A

(112)

(8,490)

SolarEdge

Technologies,

Inc.

(56)

(17,021)

Sunrun,

Inc.

(430)

(8,665)

Take-Two

Interactive

Software,

Inc.

(104)

(12,407)

Teladoc

Health,

Inc.

(5,349)

(138,539)

Toast,

Inc.,

Class

A

(8,984)

(159,466)

Trade

Desk,

Inc.

(The),

Class

A

(4,793)

(291,942)

Unity

Software,

Inc.

(4,325)

(140,303)

Valvoline,

Inc.

(3,432)

(119,914)

Viasat,

Inc.

(2,075)

(70,218)

Wayfair,

Inc.,

Class

A

(541)

(18,578)

Wolfspeed,

Inc.

(4,357)

(282,987)

World

Wrestling

Entertainment,

Inc.,

Class

A

(1,700)

(155,142)

(13,864,903)

—

INVESTMENTS

SHARES

VALUE

($)

Zambia

-

(0.0)%

(b)

First

Quantum

Minerals

Ltd.

(2,840)

(65,290)

TOTAL

COMMON

STOCKS

(Proceeds

$(25,306,565))

(25,157,450)

PREFERRED

STOCKS

-

(0.0)%

(b)

Germany

-

(0.0)%

(b)

Sartorius

AG

(Preference)

(2)

(Cost

$(108,187))

(224)

(94,406)

TOTAL

SHORT

POSITIONS

(Proceeds

$(25,414,752))

(25,251,856)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.9%

(Cost

$179,900,493)

189,176,525

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.1%

(l)

8,050,713

NET

ASSETS

-

100.0%

197,227,238

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

5,212,169

2.6

%

Consumer

Discretionary

11,843,436

6.0

Consumer

Staples

1,229,769

0.6

Energy

10,051,015

5.1

Financials

15,845,660

8.0

Foreign

Government

Securities

10,764,544

5.4

Health

Care

5,055,575

2.6

Industrials

7,877,581

4.0

Information

Technology

15,482,499

7.9

Materials

8,352,425

4.2

Real

Estate

605,542

0.3

Utilities

1,107,828

0.6

Investment

Companies

33,088,179

16.8

U.S.

Treasury

Obligations

62,660,303

31.8

Total

Investments

In

Securities

At

Value

189,176,525

95.9

Other

Assets

in

Excess

of

Liabilities

(

l)

8,050,713

4.1

Net

Assets

$

197,227,238

100.0%

180

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

$25,540,154,

which

is

inclusive

of

rehypothecated

amounts disclosed

below;

additional

securities

sold

but

not

yet

settled

totaling

$1,769,931

were

also

segregated.

(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,

2023

amounted

to

$(830,665),

which

represents

(0.42)%

of

net

assets

of

the

Fund.

(d)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

March

31,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$0,

which

represents

0.00%

of

net

assets

of

the

Fund.

(e)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$5,976,492;

additional

securities

sold

but

not

yet

settled

totaling

$997,569

were

also

rehypothecated.

(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.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$10,764,544,

which

represents

5.46%

of

net

assets

of

the

Fund.

(g)

Inflation

protected

security.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-2.25%)

Monthly

BANA

06/21/2023

SEK

(2,607,435)

$

3,600

3,600

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/21/2023

EUR

(4,236,680)

(212,275)

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(151,310)

(4,398)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

(11,325,880)

(587,787)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.74%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

EUR

768,009

(27,627)

181

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SARON

plus

or

minus

a

specified

spread

(-1.04%)

Monthly

BANA

06/21/2023

CHF

(632,728)

$

(14,421)

(846,508)

$

(842,908)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

18

4/2023

USD

$

1,438,020

$

113,684

Hang

Seng

Index

18

4/2023

HKD

2,348,170

48,303

LME

Aluminum

Base

Metal

1

4/2023

USD

59,633

(6,636)

LME

Aluminum

Base

Metal

1

4/2023

USD

59,505

(4,219)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,225

(12,681)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,150

(11,111)

LME

Aluminum

Base

Metal

2

4/2023

USD

119,116

(13,645)

LME

Aluminum

Base

Metal

5

4/2023

USD

297,438

(3,660)

LME

Aluminum

Base

Metal

8

4/2023

USD

477,242

(41,341)

LME

Copper

Base

Metal

1

4/2023

USD

224,863

(6,188)

LME

Copper

Base

Metal

1

4/2023

USD

224,913

(9,153)

LME

Copper

Base

Metal

1

4/2023

USD

225,113

(2,807)

LME

Copper

Base

Metal

1

4/2023

USD

224,961

(8,221)

LME

Copper

Base

Metal

2

4/2023

USD

449,738

(15,195)

LME

Copper

Base

Metal

3

4/2023

USD

675,059

(12,080)

LME

Copper

Base

Metal

3

4/2023

USD

675,413

16,501

LME

Lead

Base

Metal

1

4/2023

USD

52,803

(1,899)

LME

Lead

Base

Metal

1

4/2023

USD

52,756

(1,271)

LME

Lead

Base

Metal

2

4/2023

USD

105,288

1,820

LME

Lead

Base

Metal

2

4/2023

USD

105,288

(2,843)

LME

Lead

Base

Metal

4

4/2023

USD

211,575

(12,300)

LME

Nickel

Base

Metal

1

4/2023

USD

142,196

(28,484)

LME

Nickel

Base

Metal

1

4/2023

USD

142,007

(24,262)

LME

Zinc

Base

Metal

1

4/2023

USD

73,498

(10,505)

LME

Zinc

Base

Metal

1

4/2023

USD

73,456

(10,747)

LME

Zinc

Base

Metal

1

4/2023

USD

73,665

(6,451)

LME

Zinc

Base

Metal

2

4/2023

USD

146,747

(24,639)

LME

Zinc

Base

Metal

2

4/2023

USD

147,413

(11,693)

RBOB

Gasoline

15

4/2023

USD

1,689,030

28,834

Sugar

No.

11

82

4/2023

USD

2,043,440

215,188

Brent

Crude

Oil

20

5/2023

USD

1,594,600

(29,339)

Cocoa

3

5/2023

USD

87,990

7,473

Coffee

'C'

3

5/2023

USD

191,813

(4,643)

Corn

2

5/2023

USD

66,050

3,204

Feeder

Cattle

9

5/2023

USD

923,625

11,648

KC

HRW

Wheat

5

5/2023

USD

219,438

(2,274)

LME

Aluminum

Base

Metal

1

5/2023

USD

59,917

(761)

182

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

5/2023

USD

$

119,892

$

1,136

LME

Aluminum

Base

Metal

2

5/2023

USD

119,567

(5,189)

LME

Aluminum

Base

Metal

3

5/2023

USD

179,794

435

LME

Aluminum

Base

Metal

3

5/2023

USD

179,138

(14,452)

LME

Aluminum

Base

Metal

3

5/2023

USD

179,531

547

LME

Aluminum

Base

Metal

3

5/2023

USD

179,200

(9,959)

LME

Aluminum

Base

Metal

3

5/2023

USD

179,103

(17,637)

LME

Aluminum

Base

Metal

4

5/2023

USD

239,350

588

LME

Aluminum

Base

Metal

5

5/2023

USD

299,000

(5,307)

LME

Aluminum

Base

Metal

6

5/2023

USD

358,988

(2,468)

LME

Aluminum

Base

Metal

8

5/2023

USD

478,200

(22,046)

LME

Copper

Base

Metal

1

5/2023

USD

224,847

4,244

LME

Copper

Base

Metal

1

5/2023

USD

224,863

1,195

LME

Copper

Base

Metal

1

5/2023

USD

225,131

(1,357)

LME

Copper

Base

Metal

1

5/2023

USD

225,138

(3,454)

LME

Copper

Base

Metal

1

5/2023

USD

224,835

(2,884)

LME

Copper

Base

Metal

2

5/2023

USD

449,825

3,977

LME

Copper

Base

Metal

2

5/2023

USD

450,225

133

LME

Copper

Base

Metal

2

5/2023

USD

449,685

(2,931)

LME

Lead

Base

Metal

1

5/2023

USD

52,636

220

LME

Lead

Base

Metal

1

5/2023

USD

52,631

1,213

LME

Lead

Base

Metal

1

5/2023

USD

52,644

(784)

LME

Lead

Base

Metal

1

5/2023

USD

52,666

650

LME

Lead

Base

Metal

1

5/2023

USD

52,644

(359)

LME

Lead

Base

Metal

1

5/2023

USD

52,660

(793)

LME

Lead

Base

Metal

1

5/2023

USD

52,642

(361)

LME

Lead

Base

Metal

2

5/2023

USD

105,344

2,260

LME

Lead

Base

Metal

3

5/2023

USD

157,931

(836)

LME

Nickel

Base

Metal

1

5/2023

USD

142,307

(33,415)

LME

Nickel

Base

Metal

1

5/2023

USD

142,397

(23,241)

LME

Nickel

Base

Metal

1

5/2023

USD

142,554

(15,549)

LME

Zinc

Base

Metal

2

5/2023

USD

146,559

(5,284)

Natural

Gas

7

5/2023

USD

172,550

(24,260)

NY

Harbor

ULSD

6

5/2023

USD

646,884

(11,876)

RBOB

Gasoline

10

5/2023

USD

1,103,760

11,026

Silver

5

5/2023

USD

603,900

33,528

Soybean

31

5/2023

USD

2,333,525

(33,082)

Soybean

Meal

13

5/2023

USD

605,800

(18,909)

Soybean

Oil

8

5/2023

USD

266,352

(24,579)

WTI

Crude

Oil

15

5/2023

USD

1,137,000

8,917

100

oz

Gold

25

6/2023

USD

4,965,500

217,925

Australia

10

Year

Bond

123

6/2023

AUD

10,147,085

38,496

Australia

3

Year

Bond

46

6/2023

AUD

3,351,486

18,676

Euro

STOXX

50

Index

106

6/2023

EUR

4,898,318

193,702

Euro-Bobl

22

6/2023

EUR

2,816,316

44,978

Euro-BTP

17

6/2023

EUR

2,134,578

58,381

Euro-Bund

112

6/2023

EUR

16,532,465

(923)

Euro-Buxl

6

6/2023

EUR

921,521

34,346

Euro-OAT

25

6/2023

EUR

3,538,995

75,376

Euro-Schatz

46

6/2023

EUR

5,274,802

16,764

FTSE

100

Index

29

6/2023

GBP

2,732,806

22,025

FTSE/MIB

Index

70

6/2023

EUR

10,117,951

308,666

Japan

10

Year

Bond

32

6/2023

JPY

35,635,625

508,889

Live

Cattle

23

6/2023

USD

1,491,550

42,361

LME

Aluminum

Base

Metal

1

6/2023

USD

60,199

1,896

LME

Aluminum

Base

Metal

1

6/2023

USD

60,121

543

183

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

6/2023

USD

$

60,325

$

583

LME

Aluminum

Base

Metal

3

6/2023

USD

180,945

1,712

LME

Aluminum

Base

Metal

4

6/2023

USD

240,975

13,913

LME

Aluminum

Base

Metal

6

6/2023

USD

361,388

16,182

LME

Aluminum

Base

Metal

18

6/2023

USD

1,084,725

(39,091)

LME

Copper

Base

Metal

1

6/2023

USD

224,850

9,060

LME

Copper

Base

Metal

1

6/2023

USD

224,825

8,446

LME

Copper

Base

Metal

1

6/2023

USD

224,874

3,689

LME

Copper

Base

Metal

1

6/2023

USD

224,821

(318)

LME

Copper

Base

Metal

2

6/2023

USD

449,700

6,458

LME

Copper

Base

Metal

2

6/2023

USD

449,584

2,730

LME

Copper

Base

Metal

3

6/2023

USD

674,400

10,553

LME

Copper

Base

Metal

7

6/2023

USD

1,573,863

74,004

LME

Copper

Base

Metal

33

6/2023

USD

7,418,813

76,386

LME

Lead

Base

Metal

1

6/2023

USD

52,788

451

LME

Lead

Base

Metal

12

6/2023

USD

632,325

(4,567)

LME

Nickel

Base

Metal

1

6/2023

USD

142,974

7,323

LME

Nickel

Base

Metal

1

6/2023

USD

142,870

4,027

LME

Nickel

Base

Metal

5

6/2023

USD

714,870

(81,555)

LME

Zinc

Base

Metal

1

6/2023

USD

73,099

546

LME

Zinc

Base

Metal

1

6/2023

USD

73,085

1,307

LME

Zinc

Base

Metal

1

6/2023

USD

73,106

1,353

LME

Zinc

Base

Metal

3

6/2023

USD

219,410

2,976

LME

Zinc

Base

Metal

21

6/2023

USD

1,535,494

(102,902)

Long

Gilt

78

6/2023

GBP

9,998,303

(66,896)

Low

Sulphur

Gasoil

11

6/2023

USD

813,725

(47,693)

Sugar

No.

11

1

6/2023

USD

24,450

1,702

TOPIX

Index

98

6/2023

JPY

14,787,648

(106,763)

U.S.

Treasury

10

Year

Note

153

6/2023

USD

17,604,563

43,019

U.S.

Treasury

2

Year

Note

25

6/2023

USD

5,165,039

27,562

U.S.

Treasury

5

Year

Note

131

6/2023

USD

14,363,945

227,231

U.S.

Treasury

Long

Bond

69

6/2023

USD

9,062,719

276,464

U.S.

Treasury

Ultra

Bond

41

6/2023

USD

5,807,906

184,058

Cocoa

7

7/2023

USD

202,580

11,352

Coffee

'C'

7

7/2023

USD

445,463

(17,055)

Corn

57

7/2023

USD

1,812,600

62,077

Cotton

No.

2

3

7/2023

USD

124,650

2,109

Soybean

Meal

30

7/2023

USD

1,383,900

35,945

Soybean

Oil

3

7/2023

USD

100,116

1,986

Wheat

4

7/2023

USD

140,900

3,071

2,150,200

Short

Contracts

CAC

40

10

Euro

Index

(16)

4/2023

EUR

(1,272,596)

(54,482)

IBEX

35

Index

(3)

4/2023

EUR

(299,101)

(5,391)

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,633)

6,526

LME

Aluminum

Base

Metal

(1)

4/2023

USD

(59,505)

4,043

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,225)

12,512

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,150)

10,869

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,116)

13,066

LME

Aluminum

Base

Metal

(5)

4/2023

USD

(297,438)

2,148

LME

Aluminum

Base

Metal

(8)

4/2023

USD

(477,242)

42,690

LME

Copper

Base

Metal

(1)

4/2023

USD

(225,113)

1,760

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,863)

6,847

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,913)

8,263

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,961)

8,537

LME

Copper

Base

Metal

(2)

4/2023

USD

(449,738)

16,057

184

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(3)

4/2023

USD

$

(675,059)

$

9,733

LME

Copper

Base

Metal

(3)

4/2023

USD

(675,413)

(15,855)

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,756)

1,272

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,803)

2,078

LME

Lead

Base

Metal

(2)

4/2023

USD

(105,288)

(1,820)

LME

Lead

Base

Metal

(2)

4/2023

USD

(105,288)

2,579

LME

Lead

Base

Metal

(4)

4/2023

USD

(211,575)

12,051

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,196)

25,621

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,007)

26,590

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,665)

5,895

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,498)

11,150

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,456)

10,746

LME

Zinc

Base

Metal

(2)

4/2023

USD

(147,413)

11,558

LME

Zinc

Base

Metal

(2)

4/2023

USD

(146,747)

24,370

Natural

Gas

(9)

4/2023

USD

(199,440)

10,040

NY

Harbor

ULSD

(7)

4/2023

USD

(770,456)

(10,165)

OMXS30

Index

(150)

4/2023

SEK

(3,203,705)

(147,572)

WTI

Crude

Oil

(20)

4/2023

USD

(1,513,400)

4,093

Cotton

No.

2

(6)

5/2023

USD

(248,340)

(6,976)

LME

Aluminum

Base

Metal

(1)

5/2023

USD

(59,917)

771

LME

Aluminum

Base

Metal

(2)

5/2023

USD

(119,567)

3,704

LME

Aluminum

Base

Metal

(2)

5/2023

USD

(119,892)

(2,368)

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,200)

10,177

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,531)

(773)

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,794)

(95)

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,103)

17,429

LME

Aluminum

Base

Metal

(3)

5/2023

USD

(179,138)

14,712

LME

Aluminum

Base

Metal

(4)

5/2023

USD

(239,350)

(691)

LME

Aluminum

Base

Metal

(5)

5/2023

USD

(299,000)

4,299

LME

Aluminum

Base

Metal

(6)

5/2023

USD

(358,988)

2,351

LME

Aluminum

Base

Metal

(8)

5/2023

USD

(478,200)

20,957

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,138)

3,110

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,835)

1,912

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,863)

(828)

LME

Copper

Base

Metal

(1)

5/2023

USD

(225,131)

829

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,847)

(2,598)

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,825)

(3,147)

LME

Copper

Base

Metal

(2)

5/2023

USD

(449,685)

3,160

LME

Copper

Base

Metal

(2)

5/2023

USD

(450,225)

1,424

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,666)

(306)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,631)

(1,059)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,660)

412

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,644)

891

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,644)

496

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,642)

181

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,636)

(166)

LME

Lead

Base

Metal

(2)

5/2023

USD

(105,344)

(2,324)

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,931)

1,055

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,307)

29,530

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,554)

15,705

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,397)

24,670

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,559)

4,536

Low

Sulphur

Gasoil

(2)

5/2023

USD

(150,350)

(1,476)

Wheat

(2)

5/2023

USD

(69,225)

223

Canada

10

Year

Bond

(11)

6/2023

CAD

(1,025,609)

18,208

DAX

Index

(13)

6/2023

EUR

(5,567,850)

(192,073)

185

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Lean

Hogs

(3)

6/2023

USD

$

(109,950)

$

25

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,325)

(672)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,121)

(666)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,199)

(2,369)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

(180,945)

(1,186)

LME

Aluminum

Base

Metal

(4)

6/2023

USD

(240,975)

(12,788)

LME

Aluminum

Base

Metal

(6)

6/2023

USD

(361,388)

(19,099)

LME

Aluminum

Base

Metal

(70)

6/2023

USD

(4,218,375)

(37,783)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,825)

(10,278)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,850)

(5,869)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,821)

(1,123)

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,874)

(3,176)

LME

Copper

Base

Metal

(2)

6/2023

USD

(449,584)

161

LME

Copper

Base

Metal

(2)

6/2023

USD

(449,700)

(7,983)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,400)

(12,858)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,438)

(2,180)

LME

Copper

Base

Metal

(7)

6/2023

USD

(1,573,863)

(67,624)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,694)

115

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,788)

(765)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,974)

(7,940)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,870)

(4,352)

LME

Nickel

Base

Metal

(3)

6/2023

USD

(428,922)

4,131

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,106)

(1,489)

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,099)

(847)

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,085)

(947)

LME

Zinc

Base

Metal

(3)

6/2023

USD

(219,410)

(4,216)

LME

Zinc

Base

Metal

(6)

6/2023

USD

(438,713)

(6,287)

Russell

2000

E-Mini

Index

(23)

6/2023

USD

(2,085,525)

(18,936)

S&P

500

E-Mini

Index

(138)

6/2023

USD

(28,550,475)

(1,250,346)

S&P

Midcap

400

E-Mini

Index

(6)

6/2023

USD

(1,517,820)

(40,296)

S&P/TSX

60

Index

(10)

6/2023

CAD

(1,789,419)

(35,907)

SPI

200

Index

(4)

6/2023

AUD

(480,682)

(11,435)

KC

HRW

Wheat

(1)

7/2023

USD

(43,088)

(3,042)

Soybean

(9)

7/2023

USD

(663,975)

(14,974)

Platinum

(1)

2/2024

JPY

(15,692)

(280)

(1,561,610)

$

588,590

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

843,500

USD

561,703

CITI

6/21/2023

$

3,779

AUD

843,500

USD

561,700

JPMC

6/21/2023

3,782

BRL

11,345,498

USD

2,128,032

CITI

**

6/21/2023

77,879

BRL

11,345,488

USD

2,128,019

JPMC

**

6/21/2023

77,889

CAD

1,597,000

USD

1,173,323

CITI

6/21/2023

9,865

CAD

1,597,000

USD

1,173,317

JPMC

6/21/2023

9,871

CHF

313,000

USD

343,185

CITI

6/21/2023

1,861

CHF

313,000

USD

343,183

JPMC

6/21/2023

1,863

CNY

29,908,001

USD

4,376,480

CITI

**

6/21/2023

3,258

CNY

29,907,999

USD

4,376,458

JPMC

**

6/21/2023

3,279

186

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

COP

2,300,000,001

USD

463,247

CITI

**

6/21/2023

$

22,757

COP

2,299,999,999

USD

463,245

JPMC

**

6/21/2023

22,759

CZK

20,785,006

USD

932,023

CITI

6/21/2023

24,608

CZK

20,784,994

USD

932,018

JPMC

6/21/2023

24,613

DKK

583,000

USD

83,426

CITI

6/21/2023

1,896

DKK

583,000

USD

83,425

JPMC

6/21/2023

1,897

EUR

13,603,861

USD

14,580,515

CITI

6/21/2023

239,317

EUR

11,574,855

USD

12,406,540

JPMC

6/21/2023

202,924

GBP

5,137,500

USD

6,208,733

CITI

6/21/2023

138,800

GBP

5,137,500

USD

6,208,702

JPMC

6/21/2023

138,831

HUF

533,009,000

USD

1,429,815

CITI

6/21/2023

54,127

HUF

533,009,000

USD

1,429,808

JPMC

6/21/2023

54,134

IDR

13,000,000,000

USD

852,448

CITI

**

6/21/2023

16,056

IDR

13,000,000,000

USD

852,443

JPMC

**

6/21/2023

16,061

ILS

1,628,500

USD

450,848

CITI

6/21/2023

3,447

ILS

1,628,500

USD

450,846

JPMC

6/21/2023

3,448

INR

294,923,504

USD

3,539,932

CITI

**

6/21/2023

35,759

INR

294,923,496

USD

3,539,915

JPMC

**

6/21/2023

35,777

JPY

309,719,000

USD

2,328,645

CITI

6/21/2023

31,429

JPY

309,719,000

USD

2,328,633

JPMC

6/21/2023

31,441

KRW

2,152,730,939

USD

1,643,806

CITI

**

6/21/2023

11,748

KRW

2,152,730,937

USD

1,644,802

JPMC

**

6/21/2023

10,751

MXN

86,056,502

USD

4,582,667

CITI

6/21/2023

119,496

MXN

86,056,498

USD

4,582,644

JPMC

6/21/2023

119,519

NZD

34,500

USD

21,447

CITI

6/21/2023

125

NZD

34,500

USD

21,447

JPMC

6/21/2023

126

PHP

5,000,000

USD

91,980

CITI

**

6/21/2023

47

PHP

5,000,000

USD

91,979

JPMC

**

6/21/2023

48

PLN

7,955,000

USD

1,773,860

CITI

6/21/2023

60,058

PLN

7,955,000

USD

1,773,851

JPMC

6/21/2023

60,067

SEK

43,540,250

USD

4,162,507

CITI

6/21/2023

49,935

SEK

43,540,250

USD

4,162,486

JPMC

6/21/2023

49,956

SGD

453,500

USD

340,325

CITI

6/21/2023

1,324

SGD

453,500

USD

340,323

JPMC

6/21/2023

1,326

USD

2,416,629

AUD

3,550,503

CITI

6/21/2023

36,375

USD

2,416,637

AUD

3,550,497

JPMC

6/21/2023

36,386

USD

440,919

CHF

399,500

CITI

6/21/2023

518

USD

440,921

CHF

399,500

JPMC

6/21/2023

519

USD

37,253

CNY

254,000

CITI

**

6/21/2023

57

USD

37,253

CNY

254,000

JPMC

**

6/21/2023

57

USD

142,157

DKK

967,500

CITI

6/21/2023

563

USD

142,158

DKK

967,500

JPMC

6/21/2023

564

USD

620,506

EUR

567,000

CITI

6/21/2023

2,825

USD

190,306

EUR

174,000

JPMC

6/21/2023

753

USD

65,760

GBP

53,000

CITI

6/21/2023

277

USD

65,761

GBP

53,000

JPMC

6/21/2023

278

USD

717,507

HKD

5,607,500

CITI

6/21/2023

541

USD

717,511

HKD

5,607,500

JPMC

6/21/2023

544

USD

284,956

ILS

1,006,376

CITI

6/21/2023

4,212

USD

284,957

ILS

1,006,374

JPMC

6/21/2023

4,214

USD

856,716

JPY

112,380,000

CITI

6/21/2023

374

USD

856,720

JPY

112,380,000

JPMC

6/21/2023

379

USD

1,714,017

KRW

2,218,750,000

CITI

**

6/21/2023

7,691

USD

1,714,025

KRW

2,218,750,000

JPMC

**

6/21/2023

7,700

USD

987,096

NOK

10,256,003

CITI

6/21/2023

3,990

USD

987,100

NOK

10,255,997

JPMC

6/21/2023

3,995

USD

56,082

PLN

242,500

CITI

6/21/2023

177

USD

56,082

PLN

242,500

JPMC

6/21/2023

177

187

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,359,502

SEK

14,017,250

CITI

6/21/2023

$

3,358

USD

1,359,509

SEK

14,017,250

JPMC

6/21/2023

3,365

USD

46,384

SGD

61,500

CITI

6/21/2023

52

USD

46,384

SGD

61,500

JPMC

6/21/2023

52

USD

648,961

TWD

19,500,000

CITI

**

6/21/2023

4,918

USD

648,964

TWD

19,500,000

JPMC

**

6/21/2023

4,921

ZAR

46,365,504

USD

2,516,613

CITI

6/21/2023

69,407

ZAR

46,365,498

USD

2,516,600

JPMC

6/21/2023

69,420

CLP

1,116,481,504

USD

1,368,494

CITI

**

6/22/2023

23,452

CLP

1,116,481,496

USD

1,368,487

JPMC

**

6/22/2023

23,460

Total

unrealized

appreciation

2,093,504

AUD

10,851,004

USD

7,445,495

CITI

6/21/2023

(170,991)

AUD

10,850,996

USD

7,445,452

JPMC

6/21/2023

(170,953)

CHF

914,000

USD

1,009,476

CITI

6/21/2023

(1,898)

CHF

914,000

USD

1,009,471

JPMC

6/21/2023

(1,893)

CNY

699,500

USD

102,804

CITI

**

6/21/2023

(370)

CNY

699,500

USD

102,804

JPMC

**

6/21/2023

(369)

EUR

466,000

USD

508,040

CITI

6/21/2023

(387)

EUR

466,000

USD

508,037

JPMC

6/21/2023

(384)

ILS

34,000

USD

9,635

CITI

6/21/2023

(151)

ILS

34,000

USD

9,635

JPMC

6/21/2023

(150)

INR

50,000,000

USD

606,653

CITI

**

6/21/2023

(447)

INR

50,000,000

USD

606,650

JPMC

**

6/21/2023

(444)

JPY

365,000,003

USD

2,799,629

CITI

6/21/2023

(18,309)

JPY

364,999,997

USD

2,799,615

JPMC

6/21/2023

(18,296)

KRW

4,054,551,561

USD

3,134,039

CITI

**

6/21/2023

(15,894)

KRW

4,054,551,560

USD

3,134,420

JPMC

**

6/21/2023

(16,274)

NOK

44,944,002

USD

4,359,987

CITI

6/21/2023

(51,802)

NOK

44,943,998

USD

4,359,965

JPMC

6/21/2023

(51,781)

NZD

306,500

USD

191,916

CITI

6/21/2023

(267)

NZD

306,500

USD

191,915

JPMC

6/21/2023

(266)

SEK

15,925,250

USD

1,547,727

CITI

6/21/2023

(6,986)

SEK

15,925,250

USD

1,547,719

JPMC

6/21/2023

(6,978)

SGD

207,500

USD

156,630

CITI

6/21/2023

(307)

SGD

207,500

USD

156,629

JPMC

6/21/2023

(307)

TWD

7,500,000

USD

249,758

CITI

**

6/21/2023

(2,049)

TWD

7,500,000

USD

249,756

JPMC

**

6/21/2023

(2,048)

USD

551,386

AUD

830,500

CITI

6/21/2023

(5,381)

USD

551,388

AUD

830,500

JPMC

6/21/2023

(5,377)

USD

1,038,992

BRL

5,527,502

CITI

**

6/21/2023

(35,722)

USD

1,038,997

BRL

5,527,498

JPMC

**

6/21/2023

(35,717)

USD

5,654,228

CAD

7,691,001

CITI

6/21/2023

(43,893)

USD

5,654,255

CAD

7,690,999

JPMC

6/21/2023

(43,865)

USD

10,186,404

CHF

9,380,005

CITI

6/21/2023

(153,953)

USD

10,186,445

CHF

9,379,995

JPMC

6/21/2023

(153,901)

USD

547,939

CNY

3,765,000

CITI

**

6/21/2023

(3,408)

USD

547,942

CNY

3,765,000

JPMC

**

6/21/2023

(3,406)

USD

161,170

COP

800,000,000

CITI

**

6/21/2023

(7,875)

USD

161,171

COP

800,000,000

JPMC

**

6/21/2023

(7,874)

USD

829,341

CZK

18,500,000

CITI

6/21/2023

(22,123)

USD

829,343

CZK

18,500,000

JPMC

6/21/2023

(22,121)

USD

107,390

DKK

745,500

CITI

6/21/2023

(1,713)

USD

107,391

DKK

745,500

JPMC

6/21/2023

(1,713)

USD

25,327,527

EUR

23,641,246

CITI

6/21/2023

(426,873)

USD

23,555,311

EUR

21,992,228

JPMC

6/21/2023

(402,674)

USD

10,859,969

GBP

8,972,309

CITI

6/21/2023

(225,584)

USD

9,990,680

GBP

8,260,300

JPMC

6/21/2023

(215,165)

USD

212,157

HUF

80,000,000

CITI

6/21/2023

(10,569)

188

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

212,158

HUF

80,000,000

JPMC

6/21/2023

$

(10,568)

USD

690,806

ILS

2,516,628

CITI

6/21/2023

(11,245)

USD

690,807

ILS

2,516,622

JPMC

6/21/2023

(11,242)

USD

60,422

INR

5,000,000

CITI

**

6/21/2023

(198)

USD

60,423

INR

5,000,000

JPMC

**

6/21/2023

(198)

USD

5,929,020

JPY

788,551,005

CITI

6/21/2023

(79,780)

USD

5,929,049

JPY

788,550,995

JPMC

6/21/2023

(79,751)

USD

712,237

KRW

931,250,000

CITI

**

6/21/2023

(3,939)

USD

712,241

KRW

931,250,000

JPMC

**

6/21/2023

(3,935)

USD

341,049

MXN

6,500,000

CITI

6/21/2023

(14,114)

USD

341,051

MXN

6,500,000

JPMC

6/21/2023

(14,112)

USD

1,948,834

NOK

20,500,000

CITI

6/21/2023

(16,230)

USD

1,948,844

NOK

20,500,000

JPMC

6/21/2023

(16,220)

USD

5,452,146

NZD

8,819,500

CITI

6/21/2023

(62,533)

USD

5,452,174

NZD

8,819,500

JPMC

6/21/2023

(62,506)

USD

636,201

PHP

35,000,000

CITI

**

6/21/2023

(7,987)

USD

636,204

PHP

35,000,000

JPMC

**

6/21/2023

(7,984)

USD

780,978

PLN

3,502,500

CITI

6/21/2023

(26,476)

USD

780,982

PLN

3,502,500

JPMC

6/21/2023

(26,472)

USD

1,284,764

SEK

13,294,250

CITI

6/21/2023

(1,432)

USD

1,284,770

SEK

13,294,250

JPMC

6/21/2023

(1,425)

USD

444,222

SGD

595,500

CITI

6/21/2023

(4,405)

USD

444,224

SGD

595,500

JPMC

6/21/2023

(4,403)

USD

650,430

ZAR

12,000,000

CITI

6/21/2023

(18,866)

USD

650,433

ZAR

12,000,000

JPMC

6/21/2023

(18,863)

CLP

100,000,000

USD

125,265

CITI

**

6/22/2023

(592)

CLP

100,000,000

USD

125,264

JPMC

**

6/22/2023

(592)

USD

426,285

CLP

350,000,002

CITI

**

6/22/2023

(10,070)

USD

426,287

CLP

349,999,998

JPMC

**

6/22/2023

(10,067)

Total

unrealized

depreciation

(2,895,113)

Net

unrealized

depreciation

$

(801,609)

**

Non-deliverable

forward.

189

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

89.1%

INVESTMENT

COMPANIES

-

47.6%

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

(Cost

$221,963,684)

222,125,619

222,036,769

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

41.5%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(b)

$

3,973,000

3,971,471

4.33%,

4/20/2023

(b)

22,602,000

22,552,396

4.49%,

4/27/2023

(b)

5,356,000

5,339,575

4.54%,

5/4/2023

(b)

12,912,000

12,860,646

4.63%,

5/25/2023

(b)

24,646,000

24,481,707

4.66%,

6/1/2023

(b)

13,135,000

13,037,322

4.68%,

6/8/2023

(b)

16,446,000

16,308,549

4.66%,

6/22/2023

(b)

2,011,000

1,990,449

4.75%,

7/6/2023

(b)

9,172,000

9,060,816

4.80%,

7/20/2023

(b)

4,529,000

4,466,058

4.80%,

7/27/2023

(b)

3,525,000

3,472,484

4.79%,

8/3/2023

(b)

1,174,000

1,155,261

4.96%,

8/17/2023

(b)

6,443,000

6,328,784

5.07%,

8/31/2023

(b)

16,153,000

15,838,073

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

41.5%

(continued)

5.10%,

9/7/2023

(b)

$

23,589,000

23,107,548

4.81%,

9/14/2023

(b)

30,601,000

29,944,718

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$193,825,348)

193,915,857

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$415,789,032)

415,952,626

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

89.1%

(Cost

$415,789,032)

415,952,626

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

10.9%

(c)

51,069,460

NET

ASSETS

-

100.0%

467,022,086

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

222,036,769

47.6

U.S.

Treasury

Obligations

193,915,857

41.5

Total

Investments

In

Securities

At

Value

$

415,952,626

89.1

Other

Assets

in

Excess

of

Liabilities

(c)

51,069,460

10.9

Net

Assets

$

467,022,086

100.0%

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(b)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(c)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

2

4/2023

USD

$

118,850

$

4,410

LME

Aluminum

Base

Metal

2

4/2023

USD

119,138

(10,384)

LME

Aluminum

Base

Metal

4

4/2023

USD

238,018

(16,878)

LME

Aluminum

Base

Metal

5

4/2023

USD

297,736

(27,032)

LME

Aluminum

Base

Metal

9

4/2023

USD

536,175

(50,002)

LME

Aluminum

Base

Metal

18

4/2023

USD

1,070,888

(51,148)

LME

Aluminum

Base

Metal

19

4/2023

USD

1,132,638

(120,969)

LME

Aluminum

Base

Metal

38

4/2023

USD

2,265,674

(242,438)

LME

Aluminum

Base

Metal

43

4/2023

USD

2,564,681

(274,521)

LME

Aluminum

Base

Metal

49

4/2023

USD

2,918,342

(334,305)

LME

Aluminum

Base

Metal

69

4/2023

USD

4,104,638

(25,390)

LME

Aluminum

Base

Metal

99

4/2023

USD

5,905,870

(507,822)

LME

Copper

Base

Metal

1

4/2023

USD

224,863

(6,188)

LME

Copper

Base

Metal

2

4/2023

USD

449,863

(15,115)

LME

Copper

Base

Metal

2

4/2023

USD

450,150

31,595

LME

Copper

Base

Metal

3

4/2023

USD

674,738

(26,220)

LME

Copper

Base

Metal

4

4/2023

USD

900,450

(11,228)

LME

Copper

Base

Metal

4

4/2023

USD

899,850

(43,161)

190

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

5

4/2023

USD

$

1,125,438

$

(20,076)

LME

Copper

Base

Metal

5

4/2023

USD

1,124,344

(37,988)

LME

Copper

Base

Metal

5

4/2023

USD

1,125,188

(12,987)

LME

Copper

Base

Metal

17

4/2023

USD

3,824,834

(146,133)

LME

Copper

Base

Metal

32

4/2023

USD

7,200,632

(153,453)

LME

Copper

Base

Metal

49

4/2023

USD

11,031,738

238,449

LME

Lead

Base

Metal

1

4/2023

USD

52,863

(1,766)

LME

Lead

Base

Metal

5

4/2023

USD

263,219

(11,794)

LME

Lead

Base

Metal

7

4/2023

USD

370,081

(5,238)

LME

Lead

Base

Metal

15

4/2023

USD

792,049

(26,616)

LME

Lead

Base

Metal

16

4/2023

USD

842,300

895

LME

Lead

Base

Metal

16

4/2023

USD

843,100

(15,942)

LME

Lead

Base

Metal

21

4/2023

USD

1,105,519

(16,724)

LME

Lead

Base

Metal

21

4/2023

USD

1,105,519

(31,536)

LME

Lead

Base

Metal

30

4/2023

USD

1,586,813

(112,473)

LME

Nickel

Base

Metal

1

4/2023

USD

142,107

(27,066)

LME

Nickel

Base

Metal

1

4/2023

USD

141,920

(29,867)

LME

Nickel

Base

Metal

1

4/2023

USD

142,243

(34,247)

LME

Nickel

Base

Metal

6

4/2023

USD

852,211

(140,973)

LME

Nickel

Base

Metal

6

4/2023

USD

853,534

(215,290)

LME

Nickel

Base

Metal

7

4/2023

USD

994,146

(126,417)

LME

Nickel

Base

Metal

8

4/2023

USD

1,137,703

(254,419)

LME

Nickel

Base

Metal

10

4/2023

USD

1,421,957

(280,199)

LME

Nickel

Base

Metal

22

4/2023

USD

3,124,143

(561,311)

LME

Zinc

Base

Metal

1

4/2023

USD

73,623

(8,911)

LME

Zinc

Base

Metal

2

4/2023

USD

146,842

(24,864)

LME

Zinc

Base

Metal

9

4/2023

USD

663,131

(14,017)

LME

Zinc

Base

Metal

12

4/2023

USD

881,334

(147,701)

LME

Zinc

Base

Metal

14

4/2023

USD

1,028,972

(151,619)

LME

Zinc

Base

Metal

16

4/2023

USD

1,174,168

(225,879)

LME

Zinc

Base

Metal

16

4/2023

USD

1,173,976

(193,271)

LME

Zinc

Base

Metal

17

4/2023

USD

1,252,297

(100,529)

LME

Zinc

Base

Metal

30

4/2023

USD

2,211,188

(169,976)

Natural

Gas

25

4/2023

EUR

965,075

59,458

Sugar

No.

11

1,186

4/2023

USD

29,555,120

3,135,351

Brent

Crude

Oil

431

5/2023

USD

34,363,630

(50,576)

Feeder

Cattle

72

5/2023

USD

7,389,000

295,166

LME

Aluminum

Base

Metal

10

5/2023

USD

599,750

11,471

LME

Aluminum

Base

Metal

23

5/2023

USD

1,378,752

13,059

LME

Aluminum

Base

Metal

25

5/2023

USD

1,494,581

(56,743)

LME

Aluminum

Base

Metal

31

5/2023

USD

1,850,731

(172,110)

LME

Aluminum

Base

Metal

38

5/2023

USD

2,272,400

(29,562)

LME

Aluminum

Base

Metal

40

5/2023

USD

2,393,750

7,370

LME

Aluminum

Base

Metal

40

5/2023

USD

2,397,250

6,132

LME

Aluminum

Base

Metal

42

5/2023

USD

2,507,925

(210,649)

LME

Aluminum

Base

Metal

45

5/2023

USD

2,696,254

(32,816)

LME

Aluminum

Base

Metal

47

5/2023

USD

2,807,463

(156,026)

LME

Aluminum

Base

Metal

48

5/2023

USD

2,872,200

12,458

LME

Aluminum

Base

Metal

80

5/2023

USD

4,786,500

(21,961)

LME

Aluminum

Base

Metal

105

5/2023

USD

6,276,375

(293,172)

LME

Copper

Base

Metal

1

5/2023

USD

224,850

2,722

LME

Copper

Base

Metal

4

5/2023

USD

899,388

16,977

LME

Copper

Base

Metal

4

5/2023

USD

900,250

7,126

LME

Copper

Base

Metal

5

5/2023

USD

1,124,240

31,102

LME

Copper

Base

Metal

5

5/2023

USD

1,125,594

13,022

LME

Copper

Base

Metal

6

5/2023

USD

1,349,775

14,110

191

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

7

5/2023

USD

$

1,573,845

$

(20,223)

LME

Copper

Base

Metal

9

5/2023

USD

2,026,013

9,239

LME

Copper

Base

Metal

12

5/2023

USD

2,701,575

(16,279)

LME

Copper

Base

Metal

14

5/2023

USD

3,148,075

16,726

LME

Copper

Base

Metal

15

5/2023

USD

3,372,638

(21,980)

LME

Copper

Base

Metal

18

5/2023

USD

4,052,475

(62,169)

LME

Copper

Base

Metal

32

5/2023

USD

7,197,200

60,503

LME

Lead

Base

Metal

1

5/2023

USD

52,666

413

LME

Lead

Base

Metal

3

5/2023

USD

157,900

4,667

LME

Lead

Base

Metal

7

5/2023

USD

368,463

1,707

LME

Lead

Base

Metal

9

5/2023

USD

473,794

(3,567)

LME

Lead

Base

Metal

9

5/2023

USD

473,794

(6,380)

LME

Lead

Base

Metal

9

5/2023

USD

473,940

(7,142)

LME

Lead

Base

Metal

9

5/2023

USD

473,794

370

LME

Lead

Base

Metal

13

5/2023

USD

684,882

1,139

LME

Lead

Base

Metal

13

5/2023

USD

684,733

14,588

LME

Lead

Base

Metal

18

5/2023

USD

948,713

9,015

LME

Lead

Base

Metal

18

5/2023

USD

947,363

21,832

LME

Lead

Base

Metal

19

5/2023

USD

1,000,075

10,700

LME

Lead

Base

Metal

21

5/2023

USD

1,105,519

(1,471)

LME

Nickel

Base

Metal

1

5/2023

USD

142,474

(17,969)

LME

Nickel

Base

Metal

1

5/2023

USD

142,602

(5,001)

LME

Nickel

Base

Metal

2

5/2023

USD

284,820

(58,386)

LME

Nickel

Base

Metal

2

5/2023

USD

285,156

(18,450)

LME

Nickel

Base

Metal

3

5/2023

USD

427,037

(70,946)

LME

Nickel

Base

Metal

3

5/2023

USD

427,461

(40,187)

LME

Nickel

Base

Metal

4

5/2023

USD

569,229

(133,659)

LME

Nickel

Base

Metal

4

5/2023

USD

570,264

(53,748)

LME

Nickel

Base

Metal

5

5/2023

USD

712,770

(77,745)

LME

Nickel

Base

Metal

6

5/2023

USD

853,920

(202,655)

LME

Nickel

Base

Metal

7

5/2023

USD

998,550

(63,441)

LME

Nickel

Base

Metal

12

5/2023

USD

1,708,766

(268,600)

LME

Zinc

Base

Metal

1

5/2023

USD

73,327

(6,224)

LME

Zinc

Base

Metal

1

5/2023

USD

73,256

(1,897)

LME

Zinc

Base

Metal

2

5/2023

USD

146,488

(4,318)

LME

Zinc

Base

Metal

2

5/2023

USD

146,724

(19,805)

LME

Zinc

Base

Metal

4

5/2023

USD

293,069

(14,455)

LME

Zinc

Base

Metal

4

5/2023

USD

293,400

(38,212)

LME

Zinc

Base

Metal

4

5/2023

USD

292,825

(13,187)

LME

Zinc

Base

Metal

5

5/2023

USD

366,396

(11,369)

LME

Zinc

Base

Metal

6

5/2023

USD

439,295

(19,723)

LME

Zinc

Base

Metal

10

5/2023

USD

733,145

(47,510)

LME

Zinc

Base

Metal

10

5/2023

USD

731,918

(17,040)

Milling

Wheat

No.

2

352

5/2023

EUR

4,967,444

(35,080)

Natural

Gas

469

5/2023

USD

11,560,850

(1,242,775)

RBOB

Gasoline

311

5/2023

USD

34,326,936

609,719

SGX

Iron

Ore

510

5/2023

USD

6,391,320

244,870

Silver

226

5/2023

USD

27,296,280

2,358,704

Soybean

655

5/2023

USD

49,305,125

(733,524)

Soybean

Oil

303

5/2023

USD

10,088,082

(707,212)

100

oz

Gold

611

6/2023

USD

121,356,819

7,275,438

Lean

Hogs

33

6/2023

USD

1,209,450

(108,719)

Live

Cattle

285

6/2023

USD

18,482,250

541,865

LME

Aluminum

Base

Metal

1

6/2023

USD

60,121

543

LME

Aluminum

Base

Metal

3

6/2023

USD

180,469

7,868

LME

Aluminum

Base

Metal

3

6/2023

USD

180,975

1,748

192

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

6

6/2023

USD

$

360,867

$

12,849

LME

Aluminum

Base

Metal

6

6/2023

USD

360,797

5,666

LME

Aluminum

Base

Metal

6

6/2023

USD

361,529

15,611

LME

Aluminum

Base

Metal

6

6/2023

USD

361,194

11,376

LME

Aluminum

Base

Metal

8

6/2023

USD

482,390

13,966

LME

Aluminum

Base

Metal

12

6/2023

USD

722,646

28,726

LME

Aluminum

Base

Metal

22

6/2023

USD

1,324,615

45,154

LME

Aluminum

Base

Metal

30

6/2023

USD

1,809,450

17,124

LME

Aluminum

Base

Metal

46

6/2023

USD

2,771,213

159,927

LME

Aluminum

Base

Metal

115

6/2023

USD

6,926,594

315,179

LME

Aluminum

Base

Metal

490

6/2023

USD

29,528,625

(868,081)

LME

Copper

Base

Metal

1

6/2023

USD

224,875

2,872

LME

Copper

Base

Metal

2

6/2023

USD

449,745

8,966

LME

Copper

Base

Metal

5

6/2023

USD

1,124,125

42,231

LME

Copper

Base

Metal

6

6/2023

USD

1,349,100

19,375

LME

Copper

Base

Metal

7

6/2023

USD

1,574,081

29,497

LME

Copper

Base

Metal

8

6/2023

USD

1,798,500

18,960

LME

Copper

Base

Metal

11

6/2023

USD

2,473,584

51,221

LME

Copper

Base

Metal

14

6/2023

USD

3,147,491

(4,448)

LME

Copper

Base

Metal

15

6/2023

USD

3,372,750

135,897

LME

Copper

Base

Metal

19

6/2023

USD

4,271,043

23,099

LME

Copper

Base

Metal

21

6/2023

USD

4,722,349

77,467

LME

Copper

Base

Metal

23

6/2023

USD

5,170,400

80,904

LME

Copper

Base

Metal

70

6/2023

USD

15,738,625

740,035

LME

Copper

Base

Metal

569

6/2023

USD

127,918,312

900,972

LME

Lead

Base

Metal

1

6/2023

USD

52,788

488

LME

Lead

Base

Metal

1

6/2023

USD

52,775

1,066

LME

Lead

Base

Metal

1

6/2023

USD

52,788

(615)

LME

Lead

Base

Metal

2

6/2023

USD

105,350

(155)

LME

Lead

Base

Metal

4

6/2023

USD

211,150

1,803

LME

Lead

Base

Metal

5

6/2023

USD

263,281

(732)

LME

Lead

Base

Metal

9

6/2023

USD

474,975

6,073

LME

Lead

Base

Metal

16

6/2023

USD

844,400

16,520

LME

Lead

Base

Metal

383

6/2023

USD

20,181,706

(677,876)

LME

Nickel

Base

Metal

1

6/2023

USD

142,774

5,521

LME

Nickel

Base

Metal

1

6/2023

USD

143,028

1,688

LME

Nickel

Base

Metal

1

6/2023

USD

143,013

(519)

LME

Nickel

Base

Metal

2

6/2023

USD

285,468

(8,598)

LME

Nickel

Base

Metal

2

6/2023

USD

285,676

10,990

LME

Nickel

Base

Metal

2

6/2023

USD

285,708

7,212

LME

Nickel

Base

Metal

3

6/2023

USD

428,850

14,571

LME

Nickel

Base

Metal

3

6/2023

USD

428,658

6,639

LME

Nickel

Base

Metal

4

6/2023

USD

570,984

(6,618)

LME

Nickel

Base

Metal

4

6/2023

USD

571,896

9,084

LME

Nickel

Base

Metal

5

6/2023

USD

714,870

35,295

LME

Nickel

Base

Metal

7

6/2023

USD

1,000,090

28,189

LME

Nickel

Base

Metal

8

6/2023

USD

1,143,792

58,584

LME

Nickel

Base

Metal

93

6/2023

USD

13,296,582

(2,311,199)

LME

Zinc

Base

Metal

1

6/2023

USD

73,063

(1,390)

LME

Zinc

Base

Metal

1

6/2023

USD

73,174

(2,954)

LME

Zinc

Base

Metal

2

6/2023

USD

146,333

(523)

LME

Zinc

Base

Metal

3

6/2023

USD

219,488

104

LME

Zinc

Base

Metal

4

6/2023

USD

292,679

(6,558)

LME

Zinc

Base

Metal

4

6/2023

USD

292,425

5,413

LME

Zinc

Base

Metal

6

6/2023

USD

438,507

7,914

LME

Zinc

Base

Metal

12

6/2023

USD

877,701

5,716

193

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

16

6/2023

USD

$

1,170,432

$

3,592

LME

Zinc

Base

Metal

16

6/2023

USD

1,170,352

(5,295)

LME

Zinc

Base

Metal

18

6/2023

USD

1,315,782

16,579

LME

Zinc

Base

Metal

51

6/2023

USD

3,729,962

42,511

LME

Zinc

Base

Metal

471

6/2023

USD

34,438,931

(2,982,926)

Low

Sulphur

Gasoil

113

6/2023

USD

8,359,175

(333,907)

Sugar

No.

11

94

6/2023

USD

2,298,262

161,257

Cocoa

168

7/2023

USD

4,861,920

316,540

Coffee

'C'

343

7/2023

USD

21,827,663

(896,844)

Corn

1,106

7/2023

USD

35,170,800

1,153,654

Soybean

Meal

572

7/2023

USD

26,386,360

661,453

Soybean

Oil

76

7/2023

USD

2,536,272

50,315

Wheat

48

7/2023

USD

1,690,800

30,899

Feeder

Cattle

111

8/2023

USD

12,319,613

226,039

ECX

Emission

197

12/2023

EUR

19,640,523

(851,690)

Phelix

DE

Base

Year

Power

4

12/2023

EUR

5,833,493

154,689

Platinum

62

2/2024

JPY

972,902

17,720

1,690,045

Short

Contracts

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(118,850)

(3,856)

LME

Aluminum

Base

Metal

(2)

4/2023

USD

(119,138)

11,407

LME

Aluminum

Base

Metal

(4)

4/2023

USD

(238,018)

16,870

LME

Aluminum

Base

Metal

(5)

4/2023

USD

(297,736)

27,374

LME

Aluminum

Base

Metal

(9)

4/2023

USD

(536,175)

46,548

LME

Aluminum

Base

Metal

(18)

4/2023

USD

(1,070,888)

43,259

LME

Aluminum

Base

Metal

(19)

4/2023

USD

(1,132,638)

117,946

LME

Aluminum

Base

Metal

(38)

4/2023

USD

(2,265,674)

243,733

LME

Aluminum

Base

Metal

(43)

4/2023

USD

(2,564,681)

270,611

LME

Aluminum

Base

Metal

(49)

4/2023

USD

(2,918,342)

327,764

LME

Aluminum

Base

Metal

(69)

4/2023

USD

(4,104,638)

(14,216)

LME

Aluminum

Base

Metal

(99)

4/2023

USD

(5,905,870)

528,614

LME

Copper

Base

Metal

(1)

4/2023

USD

(224,863)

6,847

LME

Copper

Base

Metal

(2)

4/2023

USD

(449,863)

15,632

LME

Copper

Base

Metal

(2)

4/2023

USD

(450,150)

(31,273)

LME

Copper

Base

Metal

(3)

4/2023

USD

(674,738)

24,789

LME

Copper

Base

Metal

(4)

4/2023

USD

(900,450)

9,539

LME

Copper

Base

Metal

(4)

4/2023

USD

(899,850)

45,758

LME

Copper

Base

Metal

(5)

4/2023

USD

(1,124,344)

38,393

LME

Copper

Base

Metal

(5)

4/2023

USD

(1,125,438)

18,821

LME

Copper

Base

Metal

(5)

4/2023

USD

(1,125,188)

9,924

LME

Copper

Base

Metal

(17)

4/2023

USD

(3,824,834)

159,496

LME

Copper

Base

Metal

(32)

4/2023

USD

(7,200,632)

127,784

LME

Copper

Base

Metal

(49)

4/2023

USD

(11,031,738)

(227,562)

LME

Lead

Base

Metal

(1)

4/2023

USD

(52,863)

1,635

LME

Lead

Base

Metal

(5)

4/2023

USD

(263,219)

10,614

LME

Lead

Base

Metal

(7)

4/2023

USD

(370,081)

5,275

LME

Lead

Base

Metal

(15)

4/2023

USD

(792,049)

31,167

LME

Lead

Base

Metal

(16)

4/2023

USD

(843,100)

7,307

LME

Lead

Base

Metal

(16)

4/2023

USD

(842,300)

(8,604)

LME

Lead

Base

Metal

(21)

4/2023

USD

(1,105,519)

23,023

LME

Lead

Base

Metal

(21)

4/2023

USD

(1,105,519)

26,690

LME

Lead

Base

Metal

(30)

4/2023

USD

(1,586,813)

111,709

LME

Nickel

Base

Metal

(1)

4/2023

USD

(141,920)

32,173

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,243)

36,374

LME

Nickel

Base

Metal

(1)

4/2023

USD

(142,107)

23,854

LME

Nickel

Base

Metal

(6)

4/2023

USD

(853,534)

207,848

194

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(6)

4/2023

USD

$

(852,211)

$

134,171

LME

Nickel

Base

Metal

(7)

4/2023

USD

(994,146)

127,233

LME

Nickel

Base

Metal

(8)

4/2023

USD

(1,137,703)

248,035

LME

Nickel

Base

Metal

(10)

4/2023

USD

(1,421,957)

275,413

LME

Nickel

Base

Metal

(22)

4/2023

USD

(3,124,143)

576,597

LME

Zinc

Base

Metal

(1)

4/2023

USD

(73,623)

8,874

LME

Zinc

Base

Metal

(2)

4/2023

USD

(146,842)

25,003

LME

Zinc

Base

Metal

(9)

4/2023

USD

(663,131)

18,142

LME

Zinc

Base

Metal

(12)

4/2023

USD

(881,334)

146,226

LME

Zinc

Base

Metal

(14)

4/2023

USD

(1,028,972)

156,095

LME

Zinc

Base

Metal

(16)

4/2023

USD

(1,174,168)

214,763

LME

Zinc

Base

Metal

(16)

4/2023

USD

(1,173,976)

196,342

LME

Zinc

Base

Metal

(17)

4/2023

USD

(1,252,297)

109,502

LME

Zinc

Base

Metal

(30)

4/2023

USD

(2,211,188)

173,521

LME

Aluminum

Base

Metal

(10)

5/2023

USD

(599,750)

(10,005)

LME

Aluminum

Base

Metal

(23)

5/2023

USD

(1,378,752)

(27,252)

LME

Aluminum

Base

Metal

(25)

5/2023

USD

(1,494,581)

46,299

LME

Aluminum

Base

Metal

(31)

5/2023

USD

(1,850,731)

180,099

LME

Aluminum

Base

Metal

(38)

5/2023

USD

(2,272,400)

32,674

LME

Aluminum

Base

Metal

(40)

5/2023

USD

(2,393,750)

(10,301)

LME

Aluminum

Base

Metal

(40)

5/2023

USD

(2,397,250)

(1,266)

LME

Aluminum

Base

Metal

(42)

5/2023

USD

(2,507,925)

205,966

LME

Aluminum

Base

Metal

(45)

5/2023

USD

(2,696,254)

34,700

LME

Aluminum

Base

Metal

(47)

5/2023

USD

(2,807,463)

159,436

LME

Aluminum

Base

Metal

(48)

5/2023

USD

(2,872,200)

(8,287)

LME

Aluminum

Base

Metal

(80)

5/2023

USD

(4,786,500)

24,904

LME

Aluminum

Base

Metal

(105)

5/2023

USD

(6,276,375)

290,595

LME

Copper

Base

Metal

(1)

5/2023

USD

(224,850)

(2,516)

LME

Copper

Base

Metal

(4)

5/2023

USD

(900,250)

(2,761)

LME

Copper

Base

Metal

(4)

5/2023

USD

(899,388)

(10,391)

LME

Copper

Base

Metal

(5)

5/2023

USD

(1,125,594)

(15,232)

LME

Copper

Base

Metal

(5)

5/2023

USD

(1,124,240)

(29,002)

LME

Copper

Base

Metal

(6)

5/2023

USD

(1,349,775)

(17,191)

LME

Copper

Base

Metal

(7)

5/2023

USD

(1,573,845)

12,887

LME

Copper

Base

Metal

(9)

5/2023

USD

(2,026,013)

(11,145)

LME

Copper

Base

Metal

(12)

5/2023

USD

(2,701,575)

10,393

LME

Copper

Base

Metal

(14)

5/2023

USD

(3,148,075)

(20,862)

LME

Copper

Base

Metal

(15)

5/2023

USD

(3,372,638)

23,848

LME

Copper

Base

Metal

(18)

5/2023

USD

(4,052,475)

60,253

LME

Copper

Base

Metal

(32)

5/2023

USD

(7,197,200)

(58,184)

LME

Lead

Base

Metal

(1)

5/2023

USD

(52,666)

(619)

LME

Lead

Base

Metal

(3)

5/2023

USD

(157,900)

(4,498)

LME

Lead

Base

Metal

(7)

5/2023

USD

(368,463)

(2,731)

LME

Lead

Base

Metal

(9)

5/2023

USD

(473,940)

5,461

LME

Lead

Base

Metal

(9)

5/2023

USD

(473,794)

(612)

LME

Lead

Base

Metal

(9)

5/2023

USD

(473,794)

8,017

LME

Lead

Base

Metal

(9)

5/2023

USD

(473,794)

4,460

LME

Lead

Base

Metal

(13)

5/2023

USD

(684,882)

(541)

LME

Lead

Base

Metal

(13)

5/2023

USD

(684,733)

(15,142)

LME

Lead

Base

Metal

(18)

5/2023

USD

(947,363)

(18,160)

LME

Lead

Base

Metal

(18)

5/2023

USD

(948,713)

(10,060)

LME

Lead

Base

Metal

(19)

5/2023

USD

(1,000,075)

(9,826)

LME

Lead

Base

Metal

(21)

5/2023

USD

(1,105,519)

7,826

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,602)

6,495

LME

Nickel

Base

Metal

(1)

5/2023

USD

(142,474)

17,939

LME

Nickel

Base

Metal

(2)

5/2023

USD

(285,156)

15,198

195

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(2)

5/2023

USD

$

(284,820)

$

51,483

LME

Nickel

Base

Metal

(3)

5/2023

USD

(427,037)

75,064

LME

Nickel

Base

Metal

(3)

5/2023

USD

(427,461)

44,121

LME

Nickel

Base

Metal

(4)

5/2023

USD

(570,264)

48,184

LME

Nickel

Base

Metal

(4)

5/2023

USD

(569,229)

118,600

LME

Nickel

Base

Metal

(5)

5/2023

USD

(712,770)

78,443

LME

Nickel

Base

Metal

(6)

5/2023

USD

(853,920)

215,262

LME

Nickel

Base

Metal

(7)

5/2023

USD

(998,550)

47,002

LME

Nickel

Base

Metal

(12)

5/2023

USD

(1,708,766)

274,079

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,327)

5,883

LME

Zinc

Base

Metal

(1)

5/2023

USD

(73,256)

2,107

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,488)

4,493

LME

Zinc

Base

Metal

(2)

5/2023

USD

(146,724)

19,171

LME

Zinc

Base

Metal

(4)

5/2023

USD

(293,069)

14,069

LME

Zinc

Base

Metal

(4)

5/2023

USD

(293,400)

35,074

LME

Zinc

Base

Metal

(4)

5/2023

USD

(292,825)

12,074

LME

Zinc

Base

Metal

(5)

5/2023

USD

(366,396)

12,997

LME

Zinc

Base

Metal

(6)

5/2023

USD

(439,295)

21,393

LME

Zinc

Base

Metal

(10)

5/2023

USD

(733,145)

49,921

LME

Zinc

Base

Metal

(10)

5/2023

USD

(731,918)

8,803

NY

Harbor

ULSD

(8)

5/2023

USD

(862,512)

(40,414)

WTI

Crude

Oil

(104)

5/2023

USD

(7,883,200)

(124,698)

LME

Aluminum

Base

Metal

(1)

6/2023

USD

(60,121)

(666)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

(180,975)

(2,015)

LME

Aluminum

Base

Metal

(3)

6/2023

USD

(180,469)

(8,203)

LME

Aluminum

Base

Metal

(6)

6/2023

USD

(360,867)

(10,657)

LME

Aluminum

Base

Metal

(6)

6/2023

USD

(360,797)

(6,664)

LME

Aluminum

Base

Metal

(6)

6/2023

USD

(361,529)

(13,830)

LME

Aluminum

Base

Metal

(6)

6/2023

USD

(361,194)

(14,215)

LME

Aluminum

Base

Metal

(8)

6/2023

USD

(482,390)

(13,398)

LME

Aluminum

Base

Metal

(12)

6/2023

USD

(722,646)

(17,681)

LME

Aluminum

Base

Metal

(22)

6/2023

USD

(1,324,615)

(54,179)

LME

Aluminum

Base

Metal

(30)

6/2023

USD

(1,809,450)

(11,864)

LME

Aluminum

Base

Metal

(46)

6/2023

USD

(2,771,213)

(147,057)

LME

Aluminum

Base

Metal

(115)

6/2023

USD

(6,926,594)

(367,745)

LME

Aluminum

Base

Metal

(1,022)

6/2023

USD

(61,588,275)

1,351,295

LME

Copper

Base

Metal

(1)

6/2023

USD

(224,875)

(2,691)

LME

Copper

Base

Metal

(2)

6/2023

USD

(449,745)

(12,250)

LME

Copper

Base

Metal

(5)

6/2023

USD

(1,124,125)

(53,128)

LME

Copper

Base

Metal

(6)

6/2023

USD

(1,349,100)

(24,028)

LME

Copper

Base

Metal

(7)

6/2023

USD

(1,574,081)

(22,600)

LME

Copper

Base

Metal

(8)

6/2023

USD

(1,798,500)

(29,021)

LME

Copper

Base

Metal

(11)

6/2023

USD

(2,473,584)

(56,363)

LME

Copper

Base

Metal

(14)

6/2023

USD

(3,147,491)

(17,827)

LME

Copper

Base

Metal

(15)

6/2023

USD

(3,372,750)

(89,617)

LME

Copper

Base

Metal

(19)

6/2023

USD

(4,271,043)

(568)

LME

Copper

Base

Metal

(21)

6/2023

USD

(4,722,349)

(62,579)

LME

Copper

Base

Metal

(23)

6/2023

USD

(5,170,400)

(98,010)

LME

Copper

Base

Metal

(70)

6/2023

USD

(15,738,625)

(673,359)

LME

Copper

Base

Metal

(76)

6/2023

USD

(17,085,750)

(194,837)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,775)

(1,128)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,788)

(415)

LME

Lead

Base

Metal

(1)

6/2023

USD

(52,788)

559

LME

Lead

Base

Metal

(2)

6/2023

USD

(105,350)

271

LME

Lead

Base

Metal

(4)

6/2023

USD

(211,150)

(3,061)

LME

Lead

Base

Metal

(5)

6/2023

USD

(263,281)

2,458

196

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(9)

6/2023

USD

$

(474,975)

$

(10,374)

LME

Lead

Base

Metal

(16)

6/2023

USD

(844,400)

(15,541)

LME

Lead

Base

Metal

(179)

6/2023

USD

(9,432,181)

92,388

LME

Nickel

Base

Metal

(1)

6/2023

USD

(143,028)

(621)

LME

Nickel

Base

Metal

(1)

6/2023

USD

(143,013)

294

LME

Nickel

Base

Metal

(1)

6/2023

USD

(142,774)

(4,657)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,468)

7,755

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,708)

(4,854)

LME

Nickel

Base

Metal

(2)

6/2023

USD

(285,676)

(8,511)

LME

Nickel

Base

Metal

(3)

6/2023

USD

(428,850)

(15,843)

LME

Nickel

Base

Metal

(3)

6/2023

USD

(428,658)

(7,415)

LME

Nickel

Base

Metal

(4)

6/2023

USD

(571,896)

(6,323)

LME

Nickel

Base

Metal

(4)

6/2023

USD

(570,984)

15,324

LME

Nickel

Base

Metal

(5)

6/2023

USD

(714,870)

(35,095)

LME

Nickel

Base

Metal

(7)

6/2023

USD

(1,000,090)

(30,464)

LME

Nickel

Base

Metal

(8)

6/2023

USD

(1,143,792)

(63,522)

LME

Nickel

Base

Metal

(69)

6/2023

USD

(9,865,206)

268,469

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,063)

1,172

LME

Zinc

Base

Metal

(1)

6/2023

USD

(73,174)

2,433

LME

Zinc

Base

Metal

(2)

6/2023

USD

(146,333)

1,772

LME

Zinc

Base

Metal

(3)

6/2023

USD

(219,488)

91

LME

Zinc

Base

Metal

(4)

6/2023

USD

(292,425)

(5,956)

LME

Zinc

Base

Metal

(4)

6/2023

USD

(292,679)

8,809

LME

Zinc

Base

Metal

(6)

6/2023

USD

(438,507)

(5,685)

LME

Zinc

Base

Metal

(12)

6/2023

USD

(877,701)

(16,375)

LME

Zinc

Base

Metal

(16)

6/2023

USD

(1,170,352)

1,490

LME

Zinc

Base

Metal

(16)

6/2023

USD

(1,170,432)

(176)

LME

Zinc

Base

Metal

(18)

6/2023

USD

(1,315,782)

(15,873)

LME

Zinc

Base

Metal

(51)

6/2023

USD

(3,729,962)

(64,239)

LME

Zinc

Base

Metal

(264)

6/2023

USD

(19,303,350)

1,047,716

Cotton

No.

2

(13)

7/2023

USD

(540,150)

754

Soybean

(84)

7/2023

USD

(6,197,100)

(46,156)

7,002,875

$

8,692,920

197

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

96.2%

COMMON

STOCKS

-

5.3%

Italy

-

4.2%

A2A

SpA

(a)

2,312,571

3,690,431

Assicurazioni

Generali

SpA

(a)

207,248

4,129,336

Azimut

Holding

SpA

(a)

69,886

1,491,208

Banco

BPM

SpA

(a)

380,759

1,487,378

Buzzi

Unicem

SpA

(a)

94,296

2,288,700

Hera

SpA

(a)

154,389

436,414

Intesa

Sanpaolo

SpA

(a)

27,777

71,288

Leonardo

SpA

(a)

748,925

8,783,070

Mediobanca

Banca

di

Credito

Finanziario

SpA

(a)

2,484

24,962

Pirelli

&

C

SpA

(a)(b)

373,556

1,871,391

Poste

Italiane

SpA

(a)(b)

185,437

1,891,009

Prysmian

SpA

(a)

97,087

4,076,753

UniCredit

SpA

(a)

116,298

2,191,969

Unipol

Gruppo

SpA

(a)

520,065

2,669,822

35,103,731

—

United

States

-

1.1%

Stellantis

NV

(a)

233,611

4,248,515

Tenaris

SA

(a)

379,079

5,371,245

9,619,760

—

TOTAL

COMMON

STOCKS

(Cost

$37,037,634)

44,723,491

SHORT-TERM

INVESTMENTS

-

90.9%

INVESTMENT

COMPANIES

-

38.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(c)(d)

26,663,021

26,663,021

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(c)(e)

300,296,785

300,176,667

TOTAL

INVESTMENT

COMPANIES

(Cost

$326,767,617)

326,839,688

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.1%

U.S.

Treasury

Bills

3.93%,

4/6/2023

(f)

$

32,498,000

32,485,495

4.11%,

4/13/2023

(f)

27,211,000

27,176,090

4.33%,

4/20/2023

(f)

3,340,000

3,332,670

4.49%,

4/27/2023

(f)(g)

51,935,000

51,775,733

4.54%,

5/4/2023

(f)

3,282,000

3,268,947

4.59%,

5/11/2023

(f)(g)

55,786,000

55,512,224

4.54%,

5/18/2023

(f)(g)

17,591,000

17,488,093

4.66%,

6/1/2023

(f)(g)

10,099,000

10,023,899

4.68%,

6/8/2023

(f)(g)

2,135,000

2,117,156

4.74%,

6/15/2023

(f)(g)

21,350,000

21,149,066

4.75%,

7/6/2023

(f)(g)

26,217,000

25,899,195

4.82%,

7/13/2023

(f)(g)

39,453,000

38,935,231

4.79%,

8/3/2023

(f)(g)

478,000

470,370

4.85%,

8/10/2023

(f)(g)

19,597,000

19,267,656

4.96%,

8/17/2023

(f)(g)

24,010,000

23,584,369

5.04%,

8/24/2023

(f)(g)

17,367,000

17,043,285

5.07%,

8/31/2023

(f)(g)

4,275,000

4,191,652

5.10%,

9/7/2023

(f)

4,286,000

4,198,523

4.81%,

9/14/2023

(f)(g)

48,627,000

47,584,126

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

52.1%

(continued)

4.73%,

9/21/2023

(f)(g)

$

35,196,000

34,413,704

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$439,802,570)

439,917,484

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$766,570,187)

766,757,172

TOTAL

LONG

POSITIONS

(Cost

$803,607,821)

811,480,663

SHARES

SHORT

POSITIONS

-

(4.6)%

COMMON

STOCKS

-

(4.6)%

Italy

-

(4.5)%

Amplifon

SpA

(94,676)

(3,281,521)

Banca

Generali

SpA

(29,313)

(933,188)

Davide

Campari-Milano

NV

(395,876)

(4,830,417)

DiaSorin

SpA

(12,838)

(1,352,894)

Enel

SpA

(226,362)

(1,380,571)

ERG

SpA

(17,944)

(544,476)

Ferrari

NV

(10,403)

(2,819,044)

FinecoBank

Banca

Fineco

SpA

(109,962)

(1,684,740)

Infrastrutture

Wireless

Italiane

SpA

(b)

(179,228)

(2,354,755)

Interpump

Group

SpA

(34,299)

(1,923,425)

Italgas

SpA

(53,716)

(327,632)

Moncler

SpA

(45,751)

(3,160,091)

Nexi

SpA

(b)

(362,279)

(2,944,293)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(54,303)

(2,296,983)

Reply

SpA

(6,233)

(782,697)

Snam

SpA

(308,010)

(1,633,081)

Telecom

Italia

SpA

(6,983,215)

(2,302,958)

Terna

-

Rete

Elettrica

Nazionale

(381,752)

(3,133,187)

(37,685,953)

—

Portugal

-

(0.0)%

(h)

Banco

Espirito

Santo

SA

(Registered)

(3)(i)

(216,618)

(2)

United

Kingdom

-

(0.1)%

CNH

Industrial

NV

(57,199)

(875,212)

TOTAL

COMMON

STOCKS

(Proceeds

$(40,005,619))

(38,561,167)

TOTAL

SHORT

POSITIONS

(Proceeds

$(40,005,619))

(38,561,167)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.6%

(Cost

$763,602,202)

772,919,496

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.4%

(j)

70,353,950

NET

ASSETS

-

100.0%

843,273,446

198

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$42,283,232.

In

addition,

$573,651

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,

2023

amounted

to

$(1,536,648),

which

represents

(0.18)%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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,

2023,

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,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2023

amounted

to

$(2),

which

represents

(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

$

(4,657,713)

(0.5)

%

Consumer

Discretionary

140,770

0.0

(

h

)

Consumer

Staples

(4,830,416)

(0.6)

Energy

5,371,246

0.6

Financials

8,394,749

0.9

Health

Care

(6,931,398)

(0.8)

Industrials

10,061,186

1.2

Information

Technology

(782,697)

(0.1)

Materials

2,288,699

0.3

Utilities

(2,892,102)

(0.3)

Investment

Companies

326,839,688

38.8

U.S.

Treasury

Obligations

439,917,484

52.1

Total

Investments

In

Securities

At

Value

772,919,496

91.6

Other

Assets

in

Excess

of

Liabilities

(j)

70,353,950

8.4

Net

Assets

$

843,273,446

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2023

Shares

Held

At

3/31/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

35.6%

INVESTMENT

COMPANIES

-

35.6%

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

(Cost

$300,104,596)

$279,889,708

$371,696,662

$(351,410,702)

$(5,113)

$6,112

$300,176,667

300,296,785

$3,714,527

$–

(1)

Level

1

security

.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

(3)

Level

3

security.

199

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2023:

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

SOFR

Annual

3.50%

Annual

9/20/2033

USD

40,000,000

$

1,061,746

$

301,183

$

1,362,929

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

9,586,700,000

284,355

173,017

457,372

Pay

1D

TONAR

Annual

1.00%

Annual

6/21/2033

JPY

7,610,000,000

529,221

1,452,479

1,981,700

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

3,627,200,000

966,726

(100,303)

866,423

Pay

3M

BA

Qtrly

3.50%

Semi

6/20/2033

CAD

19,700,000

400,621

(131,363)

269,258

Pay

3M

BA

Qtrly

3.25%

Semi

9/19/2033

CAD

12,700,000

(336,660)

338,381

1,721

Pay

3M

BA

Qtrly

3.75%

Semi

9/19/2033

CAD

30,500,000

916,039

41,387

957,426

Pay

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

33,900,000

(91,183)

372,836

281,653

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

93,000,000

293,678

293,164

586,842

Pay

6M

BBR

Semi

4.50%

Semi

9/08/2033

AUD

1,900,000

41,741

22,809

64,550

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

55,500,000

1,509,245

92,363

1,601,608

Pay

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

97,900,000

(63,427)

95,179

31,752

Pay

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

296,000,000

125,805

234,692

360,497

Receive

1D

SOFR

Annual

3.25%

Annual

6/23/2025

USD

12,100,000

102,905

34,532

137,437

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

63,300,000

919,999

(808,026)

111,973

Receive

1D

SONIA

Annual

4.00%

Annual

6/23/2025

GBP

79,800,000

(535,137)

933,246

398,109

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

12,300,000

169,279

(24,898)

144,381

Receive

1D

TONAR

Annual

0.00%

Annual

6/23/2025

JPY

14,361,000,000

427,864

(96,796)

331,068

Receive

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

5,270,000,000

106,919

38,669

145,588

Receive

1D

TONAR

Annual

0.50%

Annual

6/21/2033

JPY

1,300,000

124

15

139

Receive

3M

BA

Qtrly

3.75%

Semi

6/19/2025

CAD

69,500,000

(13,905)

264,663

250,758

Receive

3M

BA

Qtrly

3.50%

Semi

9/18/2025

CAD

193,700,000

2,259,756

(1,516,706)

743,050

Receive

3M

BBR

Qtrly

4.50%

Semi

6/11/2025

NZD

56,700,000

129,235

160,373

289,608

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

26,000,000

48,434

31,845

80,279

Receive

6M

EURIBOR

Semi

2.50%

Annual

6/23/2025

EUR

310,100,000

2,592,002

3,097,822

5,689,824

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

149,400,000

2,316,315

(599,429)

1,716,886

14,161,697

4,701,134

18,862,831

Pay

1D

SARON

Annual

1.50%

Annual

6/23/2025

CHF

59,900,000

28,124

(633,185)

(605,061)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

354,200,000

(2,389,594)

(1,264,607)

(3,654,201)

Pay

1D

SOFR

Annual

3.00%

Annual

6/21/2033

USD

2,000,000

(68,200)

43,716

(24,484)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

15,200,000

(727,670)

609,444

(118,226)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

57,300,000

(173,626)

41,796

(131,830)

Pay

1D

SONIA

Annual

3.25%

Annual

6/21/2033

GBP

18,300,000

(487,396)

197,416

(289,980)

Pay

6M

EURIBOR

Semi

2.50%

Annual

6/21/2033

EUR

69,100,000

(2,581,435)

(307,059)

(2,888,494)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

566,000,000

(280,917)

(41,274)

(322,191)

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

149,900,000

(2,405,407)

(148,019)

(2,553,426)

Receive

1D

TONAR

Annual

0.50%

Annual

6/23/2025

JPY

22,510,000,000

(843,673)

(334,112)

(1,177,785)

Receive

3M

BA

Qtrly

4.25%

Semi

9/18/2025

CAD

153,500,000

(1,070,570)

63,929

(1,006,641)

Receive

3M

BBR

Qtrly

5.00%

Semi

6/11/2025

NZD

93,300,000

(233,549)

168,624

(64,925)

Receive

3M

BBR

Qtrly

4.00%

Qtrly

6/12/2025

AUD

300,000

(2,234)

(98)

(2,332)

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

231,500,000

(689,583)

75,509

(614,074)

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

335,900,000

(527,413)

(121,792)

(649,205)

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

1,945,900,000

(812,922)

198,370

(614,552)

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

297,800,000

(3,418,729)

756,574

(2,662,155)

(16,684,794)

(694,768)

(17,379,562)

$

(2,523,097)

$

4,006,366

$

1,483,269

200

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2023

were

as

follows:

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

4.87%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.18%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.03%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.72%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

5.03%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.36%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

3.79%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.34%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

3.96%

Total

return

swap

contracts

outstanding

as

of

March

31,

2023

:

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

06/15/2023

ZAR

1,048,000

$

877

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/16/2023

CHF

16,054,160

821,027

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/19/2023

TWD

307,761,600

230,982

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

(0.35%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/21/2023

USD

1,775,934

30,608

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(0.45%)

Monthly

CITI

06/21/2023

MXN

(58,696,629)

4,043

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

CITI

06/21/2023

PLN

(35,873,623)

504,590

201

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/21/2023

CHF

8,197,804

$

182,407

1,774,534

Amsterdam

Exchange

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/21/2023

EUR

(63,852,820)

(3,319,666)

Canada

10

Year

Bond

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

06/21/2023

CAD

(378,480)

(10,892)

HSCEI

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

HKD

(37,514,200)

(142,321)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/12/2023

BRL

56,681,040

(524,825)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/27/2023

USD

(139,340)

(2,520)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/16/2023

PLN

(6,248,000)

(9,402)

Tel

Aviv

Stock

Exchange

35

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR01

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/21/2023

ILS

10,907,776

(89,554)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.22%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/21/2023

EUR

8,214,022

(297,793)

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

(-0.17%)

Monthly

CITI

06/21/2023

EUR

(15,947,317)

(554,720)

202

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

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

(-0.20%)

Monthly

CITI

06/21/2023

SGD

(10,612,861)

$

(135,195)

MSCI

South

Africa

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

JIBAR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/21/2023

ZAR

61,593,145

(15,473)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.39%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/21/2023

EUR

8,510,420

(189,802)

(5,292,163)

$

(3,517,629)

Futures

contracts

outstanding

as

of

March

31,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

1,132

4/2023

USD

$

90,435,480

$

7,414,951

FTSE

Bursa

Malaysia

KLCI

Index

65

4/2023

MYR

1,049,943

9,604

IBEX

35

Index

288

4/2023

EUR

28,713,673

936,834

LME

Copper

Base

Metal

13

4/2023

USD

2,924,513

(149,536)

LME

Copper

Base

Metal

18

4/2023

USD

4,047,638

(136,758)

LME

Copper

Base

Metal

24

4/2023

USD

5,402,700

(67,368)

LME

Copper

Base

Metal

69

4/2023

USD

15,534,488

196,922

RBOB

Gasoline

362

4/2023

USD

40,761,924

979,650

SGX

FTSE

Taiwan

Index

613

4/2023

USD

34,033,760

297,909

Corn

706

5/2023

USD

23,315,650

(570,851)

LME

Copper

Base

Metal

4

5/2023

USD

899,450

4,779

LME

Copper

Base

Metal

5

5/2023

USD

1,124,813

11,759

LME

Copper

Base

Metal

16

5/2023

USD

3,597,000

28,893

LME

Copper

Base

Metal

32

5/2023

USD

7,194,960

(46,891)

LME

Copper

Base

Metal

40

5/2023

USD

8,993,400

(115,558)

Soybean

173

5/2023

USD

13,022,575

(250,371)

Australia

10

Year

Bond

688

6/2023

AUD

56,757,677

116,459

Euro

STOXX

50

Index

1,473

6/2023

EUR

68,068,133

3,509,770

Euro-Bund

574

6/2023

EUR

84,728,883

(43,822)

FTSE

100

Index

376

6/2023

GBP

35,432,249

299,455

FTSE/JSE

Top

40

Index

87

6/2023

ZAR

3,480,684

72,218

203

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

FTSE/MIB

Index

815

6/2023

EUR

$

117,801,860

$

3,429,696

Japan

10

Year

Bond

171

6/2023

JPY

190,427,868

3,119,649

LME

Copper

Base

Metal

3

6/2023

USD

674,550

9,687

LME

Copper

Base

Metal

20

6/2023

USD

4,497,375

84,277

LME

Copper

Base

Metal

95

6/2023

USD

21,357,188

(56,525)

Long

Gilt

432

6/2023

GBP

55,375,218

(651,055)

SET50

Index

1,656

6/2023

THB

9,378,592

61,832

SPI

200

Index

68

6/2023

AUD

8,171,601

125,018

TOPIX

Index

1,148

6/2023

JPY

173,226,737

(1,518,733)

17,101,894

Short

Contracts

CAC

40

10

Euro

Index

(585)

4/2023

EUR

(46,529,280)

(2,010,674)

Hang

Seng

Index

(22)

4/2023

HKD

(2,869,986)

(82,742)

HSCEI

(125)

4/2023

HKD

(5,582,874)

(142,660)

LME

Copper

Base

Metal

(13)

4/2023

USD

(2,924,513)

138,453

LME

Copper

Base

Metal

(18)

4/2023

USD

(4,047,638)

150,590

LME

Copper

Base

Metal

(24)

4/2023

USD

(5,402,700)

42,237

LME

Copper

Base

Metal

(69)

4/2023

USD

(15,534,488)

(167,324)

MSCI

Singapore

Index

(165)

4/2023

SGD

(3,797,058)

(33,676)

Natural

Gas

(816)

4/2023

USD

(18,082,560)

2,598,941

NY

Harbor

ULSD

(198)

4/2023

USD

(21,792,910)

24,906

OMXS30

Index

(1,243)

4/2023

SEK

(26,548,032)

(1,210,253)

SGX

NIFTY

50

Index

(366)

4/2023

USD

(12,749,610)

(228,700)

WTI

Crude

Oil

(770)

4/2023

USD

(58,265,900)

1,218,724

LME

Copper

Base

Metal

(4)

5/2023

USD

(899,450)

(3,311)

LME

Copper

Base

Metal

(5)

5/2023

USD

(1,124,813)

(13,576)

LME

Copper

Base

Metal

(16)

5/2023

USD

(3,597,000)

(39,542)

LME

Copper

Base

Metal

(32)

5/2023

USD

(7,194,960)

50,881

LME

Copper

Base

Metal

(40)

5/2023

USD

(8,993,400)

73,995

Low

Sulphur

Gasoil

(64)

5/2023

USD

(4,811,200)

(47,227)

Silver

(96)

5/2023

USD

(11,594,880)

(1,130,062)

100

oz

Gold

(47)

6/2023

USD

(9,335,140)

(341)

Canada

10

Year

Bond

(833)

6/2023

CAD

(77,666,541)

925,896

DAX

Index

(171)

6/2023

EUR

(73,238,644)

(2,348,331)

KOSPI

200

Index

(214)

6/2023

KRW

(13,302,569)

(464,285)

LME

Copper

Base

Metal

(3)

6/2023

USD

(674,550)

(11,685)

LME

Copper

Base

Metal

(20)

6/2023

USD

(4,497,375)

(66,053)

LME

Copper

Base

Metal

(53)

6/2023

USD

(11,915,063)

(14,563)

MEX

BOLSA

Index

(59)

6/2023

MXN

(1,778,840)

(38,313)

S&P

500

E-Mini

Index

(723)

6/2023

USD

(149,579,663)

(6,397,918)

S&P/TSX

60

Index

(211)

6/2023

CAD

(37,756,744)

(597,863)

U.S.

Treasury

10

Year

Note

(1,680)

6/2023

USD

(193,304,999)

(553,199)

(10,377,675)

$

6,724,219

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

92,237,896

USD

17,300,334

CITI

**

6/21/2023

$

633,521

BRL

92,237,894

USD

17,300,247

JPMC

**

6/21/2023

633,607

CAD

31,599,176

USD

23,221,214

CITI

6/21/2023

190,033

204

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

31,599,174

USD

23,221,097

JPMC

6/21/2023

$

190,150

CHF

23,632,500

USD

25,675,471

CITI

6/21/2023

376,594

CHF

23,632,500

USD

25,675,343

JPMC

6/21/2023

376,722

CNY

44,872,649

USD

6,562,852

CITI

**

6/21/2023

8,312

CNY

44,872,646

USD

6,562,818

JPMC

**

6/21/2023

8,348

EUR

146,511,147

USD

156,759,979

CITI

6/21/2023

2,846,950

EUR

146,511,140

USD

156,759,187

JPMC

6/21/2023

2,847,734

GBP

69,854,000

USD

84,702,971

CITI

6/21/2023

1,603,714

GBP

69,854,000

USD

84,702,548

JPMC

6/21/2023

1,604,134

HUF

1,215,924,501

USD

3,256,948

CITI

6/21/2023

128,288

HUF

1,215,924,499

USD

3,256,931

JPMC

6/21/2023

128,305

ILS

13,288,500

USD

3,656,882

CITI

6/21/2023

50,143

ILS

13,288,500

USD

3,656,863

JPMC

6/21/2023

50,160

INR

797,244,848

USD

9,570,011

CITI

**

6/21/2023

95,891

INR

797,244,842

USD

9,569,963

JPMC

**

6/21/2023

95,939

JPY

1,838,585,209

USD

13,963,125

CITI

6/21/2023

46,988

JPY

1,838,585,205

USD

13,963,055

JPMC

6/21/2023

47,061

KRW

2,616,674,500

USD

2,006,813

CITI

**

6/21/2023

5,535

KRW

2,616,674,500

USD

2,006,803

JPMC

**

6/21/2023

5,545

MXN

374,297,174

USD

19,912,840

CITI

6/21/2023

538,916

MXN

374,297,167

USD

19,912,740

JPMC

6/21/2023

539,016

NZD

41,624,429

USD

25,701,747

CITI

6/21/2023

325,286

NZD

41,624,428

USD

25,701,618

JPMC

6/21/2023

325,412

PLN

14,170,503

USD

3,153,171

CITI

6/21/2023

113,648

PLN

14,170,501

USD

3,153,154

JPMC

6/21/2023

113,664

SEK

444,056,047

USD

42,376,647

CITI

6/21/2023

584,997

SEK

444,056,046

USD

42,376,435

JPMC

6/21/2023

585,210

SGD

6,438,001

USD

4,815,683

CITI

6/21/2023

34,455

SGD

6,437,999

USD

4,815,658

JPMC

6/21/2023

34,481

TWD

8,482,500

USD

278,564

CITI

**

6/21/2023

1,595

TWD

8,482,500

USD

278,562

JPMC

**

6/21/2023

1,596

USD

8,226,887

AUD

12,196,000

CITI

6/21/2023

50,698

USD

8,226,928

AUD

12,196,000

JPMC

6/21/2023

50,740

USD

3,019,536

CHF

2,737,000

CITI

6/21/2023

2,314

USD

3,019,551

CHF

2,737,000

JPMC

6/21/2023

2,329

USD

407,169

CNY

2,775,887

CITI

**

6/21/2023

668

USD

407,171

CNY

2,775,886

JPMC

**

6/21/2023

670

USD

1,103,063

EUR

1,008,000

CITI

6/21/2023

4,964

USD

1,103,069

EUR

1,008,000

JPMC

6/21/2023

4,970

USD

3,776,943

ILS

13,344,636

CITI

6/21/2023

54,259

USD

3,776,962

ILS

13,344,636

JPMC

6/21/2023

54,278

USD

419,325

JPY

55,000,000

CITI

6/21/2023

222

USD

419,327

JPY

55,000,000

JPMC

6/21/2023

224

USD

28,378,961

KRW

36,745,171,241

CITI

**

6/21/2023

120,161

USD

28,379,103

KRW

36,745,171,230

JPMC

**

6/21/2023

120,303

USD

1,061,251

NOK

11,000,000

CITI

6/21/2023

6,827

USD

1,061,257

NOK

11,000,000

JPMC

6/21/2023

6,832

USD

1,102

SEK

11,364

CITI

6/21/2023

3

USD

1,102

SEK

11,362

JPMC

6/21/2023

3

USD

4,358,164

TWD

130,942,351

CITI

**

6/21/2023

33,424

USD

4,358,186

TWD

130,942,333

JPMC

**

6/21/2023

33,446

USD

3,208

ZAR

57,500

CITI

6/21/2023

1

USD

3,208

ZAR

57,500

JPMC

6/21/2023

1

ZAR

230,356,502

USD

12,516,741

CITI

6/21/2023

331,313

ZAR

230,356,498

USD

12,516,678

JPMC

6/21/2023

331,377

CLP

14,786,000

USD

17,956

CITI

**

6/22/2023

478

CLP

14,786,000

USD

17,956

JPMC

**

6/22/2023

478

USD

236,681

CLP

189,516,188

CITI

**

6/22/2023

407

205

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

236,683

CLP

189,516,187

JPMC

**

6/22/2023

$

408

Total

unrealized

appreciation

16,383,748

AUD

172,235,496

USD

117,973,461

CITI

6/21/2023

(2,506,917)

AUD

172,235,493

USD

117,972,869

JPMC

6/21/2023

(2,506,334)

CHF

21,166,500

USD

23,409,058

CITI

6/21/2023

(75,470)

CHF

21,166,500

USD

23,408,940

JPMC

6/21/2023

(75,352)

CNY

8,669,388

USD

1,274,604

CITI

**

6/21/2023

(5,056)

CNY

8,669,387

USD

1,274,598

JPMC

**

6/21/2023

(5,049)

ILS

4,778,000

USD

1,351,294

CITI

6/21/2023

(18,401)

ILS

4,778,000

USD

1,351,287

JPMC

6/21/2023

(18,394)

JPY

4,410,000,000

USD

33,796,708

CITI

6/21/2023

(192,279)

JPY

4,410,000,000

USD

33,796,539

JPMC

6/21/2023

(192,109)

KRW

14,547,390,001

USD

11,258,173

CITI

**

6/21/2023

(70,532)

KRW

14,547,389,999

USD

11,258,117

JPMC

**

6/21/2023

(70,477)

NOK

425,051,301

USD

41,246,905

CITI

6/21/2023

(502,878)

NOK

425,051,301

USD

41,246,698

JPMC

6/21/2023

(502,673)

PLN

1,964,500

USD

454,596

CITI

6/21/2023

(1,706)

PLN

1,964,500

USD

454,593

JPMC

6/21/2023

(1,704)

SEK

146,056,046

USD

14,185,204

CITI

6/21/2023

(54,538)

SEK

146,056,046

USD

14,185,134

JPMC

6/21/2023

(54,466)

SGD

5,759,002

USD

4,347,932

CITI

6/21/2023

(9,324)

SGD

5,758,998

USD

4,347,908

JPMC

6/21/2023

(9,302)

TWD

39,972,000

USD

1,331,185

CITI

**

6/21/2023

(10,998)

TWD

39,972,000

USD

1,331,179

JPMC

**

6/21/2023

(10,992)

USD

42,734,412

AUD

64,026,500

CITI

6/21/2023

(188,902)

USD

42,734,626

AUD

64,026,500

JPMC

6/21/2023

(188,689)

USD

16,761,062

BRL

89,371,501

CITI

**

6/21/2023

(615,479)

USD

16,761,146

BRL

89,371,499

JPMC

**

6/21/2023

(615,395)

USD

59,912,290

CAD

81,617,001

CITI

6/21/2023

(556,245)

USD

59,912,588

CAD

81,616,999

JPMC

6/21/2023

(555,945)

USD

168,737,117

CHF

155,368,669

CITI

6/21/2023

(2,538,648)

USD

168,737,953

CHF

155,368,662

JPMC

6/21/2023

(2,537,804)

USD

2,287,217

CNY

15,711,046

CITI

**

6/21/2023

(13,514)

USD

2,287,227

CNY

15,711,039

JPMC

**

6/21/2023

(13,503)

USD

775,455

DKK

5,386,212

CITI

6/21/2023

(12,817)

USD

775,458

DKK

5,386,211

JPMC

6/21/2023

(12,813)

USD

41,942,803

EUR

39,078,831

CITI

6/21/2023

(629,058)

USD

41,943,010

EUR

39,078,828

JPMC

6/21/2023

(628,849)

USD

89,659,630

GBP

74,235,378

CITI

6/21/2023

(2,060,377)

USD

89,660,072

GBP

74,235,373

JPMC

6/21/2023

(2,059,929)

USD

4,246,396

HUF

1,585,000,001

CITI

6/21/2023

(166,377)

USD

4,246,417

HUF

1,584,999,999

JPMC

6/21/2023

(166,356)

USD

249,197

IDR

3,800,570,502

CITI

**

6/21/2023

(4,711)

USD

249,179

IDR

3,800,570,498

JPMC

**

6/21/2023

(4,730)

USD

10,989,169

ILS

40,033,911

CITI

6/21/2023

(178,883)

USD

10,989,223

ILS

40,033,908

JPMC

6/21/2023

(178,829)

USD

83,885,581

JPY

11,179,407,531

CITI

6/21/2023

(1,302,086)

USD

83,886,000

JPY

11,179,407,527

JPMC

6/21/2023

(1,301,667)

USD

15,942,652

KRW

20,842,178,246

CITI

**

6/21/2023

(85,984)

USD

15,942,732

KRW

20,842,178,243

JPMC

**

6/21/2023

(85,904)

USD

4,384,742

MXN

83,216,500

CITI

6/21/2023

(162,243)

USD

4,384,764

MXN

83,216,500

JPMC

6/21/2023

(162,221)

USD

8,676,923

NOK

91,000,000

CITI

6/21/2023

(46,039)

USD

8,676,967

NOK

91,000,000

JPMC

6/21/2023

(45,995)

USD

39,927,617

NZD

64,464,000

CITI

6/21/2023

(380,600)

USD

39,927,817

NZD

64,464,000

JPMC

6/21/2023

(380,401)

USD

1,098

SEK

11,364

CITI

6/21/2023

(1)

USD

1,098

SEK

11,363

JPMC

6/21/2023

(1)

206

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

5,437,680

SGD

7,290,251

CITI

6/21/2023

$

(54,512)

USD

5,437,705

SGD

7,290,248

JPMC

6/21/2023

(54,485)

USD

1,550

TWD

47,000

CITI

**

6/21/2023

(3)

USD

1,550

TWD

47,000

JPMC

**

6/21/2023

(3)

USD

3,560,320

ZAR

65,339,500

CITI

6/21/2023

(83,968)

USD

3,560,338

ZAR

65,339,500

JPMC

6/21/2023

(83,950)

CLP

3,812,500

USD

4,797

CITI

**

6/22/2023

(43)

CLP

3,812,500

USD

4,797

JPMC

**

6/22/2023

(43)

USD

1,296,855

CLP

1,062,733,316

CITI

**

6/22/2023

(28,082)

USD

1,296,862

CLP

1,062,733,309

JPMC

**

6/22/2023

(28,076)

Total

unrealized

depreciation

(25,109,111)

Net

unrealized

depreciation

$

(8,725,363)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

TIIE

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

58

months

maturity

12/09/2027

$2,857

$(264)

$12

$(252)

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

(-0.63%

to

0.50%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-60

months

maturity

ranging

from

04/17/2026

-

03/03/2028

$3,944,947

$48,769

$1,022

$49,791

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

(-1.70%

to

0.70%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-51

months

maturity

ranging

from

04/17/2026

-

06/03/2027

$7,251,009

$117,090

$18,078

$135,168

207

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-6.50%

to

0.75%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-60

months

maturity

ranging

from

04/17/2026

-

02/22/2028

$3,754,055

$115,254

$3,442

$118,696

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

(-23.31%

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

02/26/2024

-

05/28/2024

$642,187,512

$561,278

$(10,266,015)

$(9,704,737)

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.

23,683

4,327,595

237,540

(2.4)

Adobe,

Inc.

8,878

3,421,315

108,489

(1.1)

AGCO

Corp.

21,143

2,858,534

140,812

(1.5)

Allison

Transmission

Holdings,

Inc.

65,570

2,966,387

115,133

(1.2)

Alphabet,

Inc.

30,989

3,214,489

39,356

(0.4)

Amkor

Technology,

Inc.

134,361

3,496,073

42,996

(0.4)

AutoNation,

Inc.

23,570

3,166,865

163,576

(1.7)

Builders

FirstSource,

Inc.

68,225

6,057,016

228,554

(2.4)

Cirrus

Logic,

Inc.

31,510

3,446,564

105,142

(1.1)

Cognizant

Technology

Solutions

Corp.

44,641

2,719,976

85,711

(0.9)

CVS

Health

Corp.

53,708

3,991,041

39,744

(0.4)

EMCOR

Group,

Inc.

18,990

3,087,584

64,946

(0.7)

General

Dynamics

Corp.

21,243

4,847,865

67,553

(0.7)

Genuine

Parts

Co.

28,116

4,704,088

220,171

(2.3)

Huntington

Ingalls

Industries,

Inc.

21,718

4,496,060

42,826

(0.4)

LKQ

Corp.

96,104

5,454,863

229,689

(2.4)

Lockheed

Martin

Corp.

7,818

3,695,803

(5,160)

0.1

Macy's,

Inc.

242,837

4,247,219

89,344

(0.9)

Meta

Platforms,

Inc.

18,219

3,861,335

165,793

(1.7)

Nordstrom,

Inc.

175,753

2,859,501

150,552

(1.6)

Ovintiv,

Inc.

73,547

2,653,576

77,224

(0.8)

208

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Owens

Corning

52,981

5,075,580

244,242

(2.5)

PACCAR,

Inc.

39,139

2,864,975

88,454

(0.9)

PBF

Energy,

Inc.

61,727

2,676,483

50,923

(0.5)

Playtika

Holding

Corp.

290,486

3,270,872

104,575

(1.1)

Southwestern

Energy

Co.

591,761

2,958,805

88,764

(0.9)

Teradata

Corp.

73,647

2,966,501

89,849

(0.9)

Terex

Corp.

56,323

2,724,907

111,688

(1.2)

Textron,

Inc.

89,926

6,351,473

166,493

(1.7)

TripAdvisor,

Inc.

194,239

3,857,587

255,849

(2.6)

Valero

Energy

Corp.

19,140

2,671,944

147,761

(1.5)

Short

Positions

Common

Stocks

Singapore

Sea

Ltd.,

ADR

(37,777)

(3,269,599)

(125,042)

1.3

United

States

agilon

health,

Inc.

(120,193)

(2,854,584)

576,925

(5.9)

Amazon.com,

Inc.

(41,417)

(4,277,962)

(230,981)

2.4

Baker

Hughes

Co.

(101,665)

(2,934,052)

(150,238)

1.5

Boeing

Co.

(The)

(20,432)

(4,340,370)

(242,324)

2.5

Cheniere

Energy,

Inc.

(19,410)

(3,059,016)

(172,749)

1.8

CNX

Resources

Corp.

(290,876)

(4,659,834)

(43,765)

0.5

General

Electric

Co.

(44,098)

(4,215,769)

(100,984)

1.0

Guidewire

Software,

Inc.

(33,811)

(2,774,193)

(188,327)

1.9

HealthEquity,

Inc.

(50,911)

(2,988,985)

(51,929)

0.5

Hess

Corp.

(55,514)

(7,346,723)

(302,357)

3.1

Honeywell

International,

Inc.

(14,098)

(2,694,410)

(44,127)

0.5

Penumbra,

Inc.

(12,061)

(3,361,280)

(18,453)

0.2

Plug

Power,

Inc.

(265,412)

(3,110,629)

(268,659)

2.8

R1

RCM,

Inc.

(212,349)

(3,185,235)

(93,434)

1.0

Schlumberger

NV

(73,128)

(3,590,585)

(149,477)

1.5

Snap,

Inc.

(290,402)

(3,255,406)

153,913

(1.6)

Trade

Desk,

Inc.

(The)

(50,771)

(3,092,462)

(51,279)

0.5

Williams

Cos.,

Inc.

(The)

(89,911)

(2,684,742)

(83,799)

0.9

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

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.

23-61

months

maturity

ranging

from

01/13/2025

-

03/30/2028

$82,714,254

$(756,160)

$378,464

$(377,696)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

209

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

72,013

1,800,506

(19,076)

5.1

Atlas

Arteria

Ltd.

172,169

726,895

(44,184)

11.7

Aurizon

Holdings

Ltd.

1,279,601

2,882,126

8,152

(2.2)

BHP

Group

Ltd.

128,400

4,059,228

60,456

(16.0)

BlueScope

Steel

Ltd.

197,087

2,667,646

(26,495)

7.0

Brambles

Ltd.

228,519

2,060,384

5,850

(1.5)

Goodman

Group

110,372

1,400,603

(46,187)

12.2

Harvey

Norman

Holdings

Ltd.

506,376

1,218,688

(82,656)

21.9

Incitec

Pivot

Ltd.

930,110

1,959,951

(194,901)

51.6

JB

Hi-Fi

Ltd.

159,731

4,558,618

(105,191)

27.9

Northern

Star

Resources

Ltd.

62,578

513,150

79,370

(21.0)

Pilbara

Minerals

Ltd.

1,011,836

2,691,891

(130,520)

34.6

Qantas

Airways

Ltd.

330,466

1,475,020

(19,069)

5.0

Qube

Holdings

Ltd.

1,004,841

1,940,326

(188,919)

50.0

Sonic

Healthcare

Ltd.

31,002

726,779

26,783

(7.1)

South32

Ltd.

612,666

1,795,559

(39,165)

10.4

Tabcorp

Holdings

Ltd.

734,251

489,559

(1,251)

0.3

Telstra

Group

Ltd.

398,981

1,129,675

22,231

(5.9)

Whitehaven

Coal

Ltd.

736,901

3,317,460

(329,035)

87.1

Worley

Ltd.

69,375

671,952

(52,406)

13.9

United

States

Computershare

Ltd.

52,494

762,486

(106,640)

28.2

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(981,341)

(961,946)

31,860

(8.4)

APA

Group

(374,152)

(2,541,695)

49,361

(13.1)

Charter

Hall

Group

(70,807)

(525,997)

42,865

(11.3)

Cochlear

Ltd.

(3,976)

(632,981)

(18,295)

4.8

Endeavour

Group

Ltd.

(191,416)

(869,659)

(13,660)

3.6

Evolution

Mining

Ltd.

(512,546)

(1,064,167)

(125,412)

33.2

GPT

Group

(The)

(276,439)

(789,995)

71,106

(18.8)

IDP

Education

Ltd.

(191,486)

(3,528,796)

99,641

(26.4)

IGO

Ltd.

(93,673)

(803,259)

61,464

(16.3)

Insurance

Australia

Group

Ltd.

(447,151)

(1,407,494)

57,106

(15.1)

Lendlease

Corp.

Ltd.

(162,008)

(788,431)

(3,298)

0.9

Lynas

Rare

Earths

Ltd.

(331,950)

(1,413,082)

225,872

(59.8)

Medibank

Pvt

Ltd.

(951,955)

(2,148,249)

(16,530)

4.4

Mineral

Resources

Ltd.

(15,344)

(829,450)

83,499

(22.1)

NEXTDC

Ltd.

(142,105)

(1,005,646)

(24,786)

6.6

QBE

Insurance

Group

Ltd.

(125,152)

(1,225,304)

54,662

(14.5)

Ramsay

Health

Care

Ltd.

(52,851)

(2,361,550)

25,580

(6.8)

REA

Group

Ltd.

(17,033)

(1,588,215)

(191,416)

50.7

Reece

Ltd.

(126,667)

(1,484,515)

(99,305)

26.3

Santos

Ltd.

(112,816)

(519,225)

38,823

(10.3)

Scentre

Group

(705,706)

(1,306,321)

123,018

(32.6)

SEEK

Ltd.

(61,612)

(995,964)

19,739

(5.2)

Transurban

Group

(111,078)

(1,060,616)

(10,720)

2.8

Treasury

Wine

Estates

Ltd.

(57,554)

(505,255)

6,606

(1.7)

Woodside

Energy

Group

Ltd.

(76,356)

(1,705,805)

95,913

(25.4)

Woolworths

Group

Ltd.

(35,419)

(900,447)

(20,416)

5.4

New

Zealand

Xero

Ltd.

(21,396)

(1,297,698)

(53,411)

14.1

210

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

CSL

Ltd.

(6,724)

(1,302,240)

3,458

(0.9)

James

Hardie

Industries

plc

(154,612)

(3,327,829)

(65,859)

17.4

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

(-1.38%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-61

months

maturity

ranging

from

01/13/2025

-

03/31/2028

$170,148,016

$(1,461,526)

$242,473

$(1,219,053)

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

3SBio,

Inc.

1,346,500

1,340,070

13,754

(1.1)

BOC

Hong

Kong

Holdings

Ltd.

561,500

1,748,093

(218,970)

18.0

China

CITIC

Bank

Corp.

Ltd.

4,294,000

2,160,150

136,200

(11.2)

China

Construction

Bank

Corp.

2,864,000

1,853,566

47,582

(3.9)

China

Hongqiao

Group

Ltd.

1,872,500

1,799,438

(206,667)

17.0

China

Medical

System

Holdings

Ltd.

769,000

1,213,304

4,440

(0.4)

China

Minsheng

Banking

Corp.

Ltd.

3,996,000

1,369,223

10,057

(0.8)

China

National

Building

Material

Co.

Ltd.

1,588,000

1,305,215

(179,635)

14.7

China

Taiping

Insurance

Holdings

Co.

Ltd.

1,255,000

1,334,444

(112,245)

9.2

CITIC

Ltd.

1,545,000

1,805,814

56,104

(4.6)

CSPC

Pharmaceutical

Group

Ltd.

1,788,000

1,752,808

(62,602)

5.1

Dongyue

Group

Ltd.

1,285,000

1,328,166

(209,584)

17.2

GCL

Technology

Holdings

Ltd.

4,490,000

1,162,118

(7,304)

0.6

Kunlun

Energy

Co.

Ltd.

1,772,000

1,383,452

(108,659)

8.9

New

China

Life

Insurance

Co.

Ltd.

563,700

1,338,799

(26,957)

2.2

PICC

Property

&

Casualty

Co.

Ltd.

2,212,000

2,256,480

182,527

(15.0)

Sinopharm

Group

Co.

Ltd.

528,800

1,597,912

99,065

(8.1)

SITC

International

Holdings

Co.

Ltd.

1,142,000

2,454,341

(74,094)

6.1

Topsports

International

Holdings

Ltd.

1,335,000

1,216,921

75,779

(6.2)

Xinyi

Glass

Holdings

Ltd.

1,302,000

2,329,146

(45,998)

3.8

Hong

Kong

ASMPT

Ltd.

132,000

1,309,174

90,050

(7.4)

CK

Asset

Holdings

Ltd.

581,372

3,524,668

(189,495)

15.5

New

World

Development

Co.

Ltd.

1,156,000

3,098,776

(170,463)

14.0

Orient

Overseas

International

Ltd.

58,500

1,122,931

103,453

(8.5)

Sun

Hung

Kai

Properties

Ltd.

182,500

2,556,753

115,639

(9.5)

Swire

Pacific

Ltd.

174,000

1,337,187

(68,130)

5.6

WH

Group

Ltd.

5,663,000

3,375,980

64,706

(5.3)

211

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

998,500

6,177,368

8,213

(0.7)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(562,300)

(1,711,263)

(20,760)

1.7

China

Mengniu

Dairy

Co.

Ltd.

(317,000)

(1,299,525)

69,448

(5.7)

China

Merchants

Bank

Co.

Ltd.

(548,500)

(2,785,294)

9,646

(0.8)

China

Southern

Airlines

Co.

Ltd.

(2,288,000)

(1,632,366)

14,765

(1.2)

CITIC

Securities

Co.

Ltd.

(771,000)

(1,649,167)

(56,074)

4.6

ESR

Group

Ltd.

(707,400)

(1,268,569)

(142,122)

11.7

Flat

Glass

Group

Co.

Ltd.

(585,000)

(1,673,198)

(112,369)

9.2

Meituan

(65,380)

(1,186,138)

(108,695)

8.9

Nongfu

Spring

Co.

Ltd.

(268,400)

(1,547,545)

(27,732)

2.3

Postal

Savings

Bank

of

China

Co.

Ltd.

(2,524,000)

(1,496,875)

97,928

(8.0)

Xiaomi

Corp.

(1,097,600)

(1,689,152)

(45,599)

3.7

Xinyi

Solar

Holdings

Ltd.

(962,155)

(1,153,429)

(49,082)

4.0

XPeng,

Inc.

(243,800)

(1,353,295)

(340,490)

27.9

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(565,700)

(1,777,697)

(111,214)

9.1

Zijin

Mining

Group

Co.

Ltd.

(1,254,000)

(2,092,123)

(180,101)

14.8

Hong

Kong

AIA

Group

Ltd.

(564,800)

(5,923,260)

228,462

(18.7)

Hong

Kong

&

China

Gas

Co.

Ltd.

(4,185,716)

(3,685,158)

122,026

(10.0)

Power

Assets

Holdings

Ltd.

(254,500)

(1,365,347)

9,294

(0.8)

Techtronic

Industries

Co.

Ltd.

(177,000)

(1,917,815)

(14,759)

1.2

Wharf

Real

Estate

Investment

Co.

Ltd.

(911,000)

(5,244,964)

(127,052)

10.4

Macau

Galaxy

Entertainment

Group

Ltd.

(218,000)

(1,458,238)

10,851

(0.9)

Sands

China

Ltd.

(597,200)

(2,074,668)

13,657

(1.1)

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

TONAR

plus

or

minus

a

specified

spread

(-0.40%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-61

months

maturity

ranging

from

01/14/2025

-

03/30/2028

$510,338,282

$(6,429,892)

$1,634,121

$(4,795,771)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

212

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

118,400

4,414,064

(133,780)

2.8

Amada

Co.

Ltd.

324,000

3,036,998

(152,368)

3.2

Fuji

Electric

Co.

Ltd.

86,800

3,427,762

(76,271)

1.6

Japan

Post

Insurance

Co.

Ltd.

294,200

4,585,357

(960,577)

20.0

Kajima

Corp.

316,700

3,821,759

(204,523)

4.3

Mitsubishi

Corp.

104,700

3,762,547

(255,126)

5.3

Mitsubishi

Electric

Corp.

338,300

4,042,731

(17,379)

0.4

Mitsubishi

Motors

Corp.

753,000

2,967,420

(270,863)

5.6

Mitsui

&

Co.

Ltd.

98,600

3,073,347

(113,191)

2.4

MS&AD

Insurance

Group

Holdings,

Inc.

96,400

2,987,521

(373,320)

7.8

Obayashi

Corp.

546,600

4,182,827

(201,500)

4.2

Osaka

Gas

Co.

Ltd.

215,400

3,538,550

(108,366)

2.3

Otsuka

Holdings

Co.

Ltd.

94,100

2,987,639

91,609

(1.9)

Seiko

Epson

Corp.

244,800

3,497,715

(7,198)

0.2

Sojitz

Corp.

216,200

4,517,666

(134,440)

2.8

SUMCO

Corp.

227,700

3,425,505

93,393

(1.9)

Sumitomo

Heavy

Industries

Ltd.

129,000

3,163,378

(188,534)

3.9

Suntory

Beverage

&

Food

Ltd.

119,100

4,436,291

9,982

(0.2)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

887,400

3,169,985

42,113

(0.9)

Tokyo

Gas

Co.

Ltd.

361,800

6,799,384

(353,506)

7.4

TOPPAN,

Inc.

218,900

4,411,347

96,820

(2.0)

Tosoh

Corp.

278,400

3,783,315

(43,309)

0.9

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(239,300)

(4,642,612)

120,859

(2.5)

ANA

Holdings,

Inc.

(297,500)

(6,466,139)

(56,809)

1.2

Asics

Corp.

(150,900)

(4,298,302)

(104,583)

2.2

Daiichi

Sankyo

Co.

Ltd.

(99,700)

(3,636,821)

(257,046)

5.4

Daikin

Industries

Ltd.

(28,800)

(5,166,909)

35,637

(0.7)

Denso

Corp.

(58,300)

(3,290,886)

59,800

(1.2)

Eisai

Co.

Ltd.

(54,400)

(3,089,897)

(39,564)

0.8

FANUC

Corp.

(85,000)

(3,069,536)

64,149

(1.3)

Japan

Airlines

Co.

Ltd.

(265,300)

(5,172,848)

136,149

(2.8)

Japan

Airport

Terminal

Co.

Ltd.

(99,800)

(4,985,289)

65,782

(1.4)

JSR

Corp.

(133,300)

(3,153,382)

109,469

(2.3)

Keyence

Corp.

(7,100)

(3,479,772)

(186,313)

3.9

Kobe

Bussan

Co.

Ltd.

(153,300)

(4,280,470)

(72,008)

1.5

Lasertec

Corp.

(26,400)

(4,690,737)

(316,420)

6.6

M3,

Inc.

(169,100)

(4,256,089)

16,783

(0.3)

Marui

Group

Co.

Ltd.

(206,600)

(3,162,402)

203,260

(4.2)

MatsukiyoCocokara

&

Co.

(59,700)

(3,162,408)

(37,459)

0.8

Mercari,

Inc.

(191,000)

(3,366,618)

362,035

(7.5)

MonotaRO

Co.

Ltd.

(264,000)

(3,325,244)

452,575

(9.4)

NIDEC

Corp.

(90,800)

(4,725,324)

69,928

(1.5)

Oriental

Land

Co.

Ltd.

(120,000)

(4,108,709)

(60,658)

1.3

Rakuten

Group,

Inc.

(851,900)

(3,973,087)

395,977

(8.3)

SoftBank

Corp.

(317,200)

(3,661,694)

62,763

(1.3)

SoftBank

Group

Corp.

(125,700)

(4,941,709)

454,563

(9.5)

Sony

Group

Corp.

(77,000)

(7,013,420)

(39,781)

0.8

Toyota

Motor

Corp.

(293,300)

(4,175,246)

64,930

(1.4)

Unicharm

Corp.

(164,300)

(6,753,675)

(399,463)

8.3

213

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(84,900)

(3,723,707)

(85,364)

1.8

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

(-6.65%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-61

months

maturity

ranging

from

01/13/2025

-

04/04/2028

$1,044,155,559

$(8,899,413)

$1,302,818

$(7,596,595)

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

Altria

Group,

Inc.

86,309

3,851,108

(182,975)

2.4

American

International

Group,

Inc.

85,667

4,314,190

(425,928)

5.6

Archer-Daniels-Midland

Co.

59,543

4,743,195

99,437

(1.3)

Arrow

Electronics,

Inc.

32,817

4,097,859

257,942

(3.4)

AT&T,

Inc.

185,360

3,568,180

172,385

(2.3)

Brighthouse

Financial,

Inc.

79,002

3,484,778

(609,388)

8.0

Capri

Holdings

Ltd.

85,473

4,017,231

234,347

(3.1)

Cisco

Systems,

Inc.

93,435

4,884,315

323,752

(4.3)

Coca-Cola

Consolidated,

Inc.

6,512

3,484,441

21,166

(0.3)

Exelixis,

Inc.

187,169

3,632,950

512,843

(6.8)

Expedia

Group,

Inc.

36,718

3,562,748

(130,071)

1.7

Gilead

Sciences,

Inc.

58,593

4,861,461

235,544

(3.1)

H&R

Block,

Inc.

151,205

5,329,976

(148,181)

2.0

Hewlett

Packard

Enterprise

Co.

272,694

4,344,015

332,687

(4.4)

Jabil,

Inc.

50,865

4,484,258

243,643

(3.2)

KB

Home

93,569

3,759,602

433,224

(5.7)

ManpowerGroup,

Inc.

59,018

4,870,756

590

(0.0)

Molson

Coors

Beverage

Co.

70,977

3,668,091

(97,948)

1.3

National

Fuel

Gas

Co.

73,146

4,223,450

59,248

(0.8)

NRG

Energy,

Inc.

133,421

4,575,006

170,779

(2.2)

Pfizer,

Inc.

84,809

3,460,207

113,644

(1.5)

PVH

Corp.

49,772

4,437,672

631,108

(8.3)

Schneider

National,

Inc.

168,754

4,514,170

(234,052)

3.1

Syneos

Health,

Inc.

108,411

3,861,600

(145,271)

1.9

Taylor

Morrison

Home

Corp.

142,931

5,468,540

261,564

(3.4)

Toll

Brothers,

Inc.

83,713

5,025,291

145,661

(1.9)

Tyson

Foods,

Inc.

65,766

3,901,239

110,487

(1.5)

United

Therapeutics

Corp.

17,686

3,960,957

(8,028)

0.1

Unum

Group

91,063

3,602,452

(265,904)

3.5

Viatris,

Inc.

394,850

3,798,457

(200,770)

2.6

Vishay

Intertechnology,

Inc.

210,327

4,757,597

210,327

(2.8)

214

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Werner

Enterprises,

Inc.

82,282

3,743,008

(87,219)

1.1

Westrock

Co.

146,014

4,449,047

(35,043)

0.5

Short

Positions

Common

Stocks

Singapore

Grab

Holdings

Ltd.

(1,205,884)

(3,629,711)

(24,118)

0.3

United

States

10X

Genomics,

Inc.

(75,051)

(4,187,095)

(655,196)

8.6

Alexandria

Real

Estate

Equities,

Inc.

(28,488)

(3,577,808)

187,335

(2.5)

American

Tower

Corp.

(18,225)

(3,724,096)

(233,057)

3.1

AptarGroup,

Inc.

(30,004)

(3,546,173)

(108,614)

1.4

Aptiv

plc

(35,952)

(4,033,455)

44,580

(0.6)

Ball

Corp.

(88,540)

(4,879,439)

(37,187)

0.5

Freshpet,

Inc.

(61,333)

(4,059,631)

(392,531)

5.2

Newell

Brands,

Inc.

(316,770)

(3,940,619)

149,998

(2.0)

NextEra

Energy,

Inc.

(57,698)

(4,447,362)

(191,557)

2.5

Primerica,

Inc.

(20,519)

(3,534,193)

2,257

(0.0)

Public

Service

Enterprise

Group,

Inc.

(64,385)

(4,020,843)

(301,966)

4.0

Royal

Gold,

Inc.

(31,528)

(4,089,497)

(529,671)

7.0

Sun

Communities,

Inc.

(25,713)

(3,622,447)

(103,081)

1.4

Tesla,

Inc.

(21,089)

(4,375,124)

(728,415)

9.6

Uber

Technologies,

Inc.

(129,186)

(4,095,196)

80,095

(1.1)

Welltower,

Inc.

(48,658)

(3,488,292)

(17,407)

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

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.08%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

38-61

months

maturity

ranging

from

04/20/2026

-

04/03/2028

$17,543,026

$(356,544)

$91,746

$(264,798)

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

4,621

94,745

(1,959)

0.7

South

Africa

Absa

Group

Ltd.

42,692

436,367

(26,068)

9.8

African

Rainbow

Minerals

Ltd.

72,652

941,191

(66,429)

25.1

Aspen

Pharmacare

Holdings

Ltd.

49,933

516,300

16,914

(6.4)

Exxaro

Resources

Ltd.

117,305

1,226,074

(2,019)

0.8

Foschini

Group

Ltd.

(The)

85,398

435,933

(23,861)

9.0

215

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Africa

(continued)

Impala

Platinum

Holdings

Ltd.

92,458

851,015

(37,890)

14.3

Mr

Price

Group

Ltd.

52,862

428,121

(6,875)

2.6

MTN

Group

Ltd.

32,608

233,618

(26,956)

10.2

MultiChoice

Group

117,805

816,199

(132,593)

50.1

Nedbank

Group

Ltd.

68,346

832,397

(40,113)

15.1

Old

Mutual

Ltd.

550,241

364,748

(14,441)

5.5

Pepkor

Holdings

Ltd.

136,959

132,613

(7,615)

2.9

Sasol

Ltd.

46,959

634,587

(48,395)

18.3

Shoprite

Holdings

Ltd.

30,232

377,278

7,497

(2.8)

Sibanye

Stillwater

Ltd.

501,398

1,035,295

(11,995)

4.5

SPAR

Group

Ltd.

(The)

36,591

289,940

2,986

(1.1)

Standard

Bank

Group

Ltd.

50,819

492,732

(20,510)

7.7

Woolworths

Holdings

Ltd.

142,487

511,609

(43,356)

16.4

Short

Positions

Common

Stocks

South

Africa

Anglo

American

Platinum

Ltd.

(2,237)

(120,086)

2,188

(0.8)

Bidvest

Group

Ltd.

(The)

(49,597)

(705,918)

23,064

(8.7)

Capitec

Bank

Holdings

Ltd.

(21,999)

(2,085,228)

78,334

(29.6)

Clicks

Group

Ltd.

(31,513)

(455,093)

20,407

(7.7)

Discovery

Ltd.

(150,926)

(1,182,063)

44,672

(16.9)

FirstRand

Ltd.

(18,709)

(63,412)

8,082

(3.1)

Kumba

Iron

Ore

Ltd.

(10,625)

(268,643)

18,533

(7.0)

Naspers

Ltd.

(9,930)

(1,839,973)

(73,041)

27.6

Northam

Platinum

Holdings

Ltd.

(17,756)

(144,362)

4,488

(1.7)

Vodacom

Group

Ltd.

(4,010)

(27,486)

407

(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

CDOR

plus

or

minus

a

specified

spread

(-8.07%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-62

months

maturity

ranging

from

02/25/2025

-

03/30/2028

$148,615,389

$405,352

$2,823

$408,175

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.

288,222

3,269,288

89,570

21.9

Atco

Ltd.

85,336

2,735,298

80,645

19.8

Bank

of

Montreal

21,485

1,913,699

52,620

12.9

Bank

of

Nova

Scotia

(The)

49,087

2,472,329

82,084

20.1

216

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Canadian

Imperial

Bank

of

Commerce

40,238

1,706,282

8,634

2.1

Capital

Power

Corp.

94,673

2,916,895

53,939

13.2

Cenovus

Energy,

Inc.

99,246

1,731,573

163,932

40.2

Empire

Co.

Ltd.

96,662

2,591,243

147,894

36.2

Fairfax

Financial

Holdings

Ltd.

3,437

2,285,815

47,887

11.7

George

Weston

Ltd.

13,761

1,823,600

143,770

35.2

iA

Financial

Corp.,

Inc.

27,681

1,754,461

89,710

22.0

Imperial

Oil

Ltd.

59,437

3,022,645

315,326

77.3

Loblaw

Cos.

Ltd.

19,795

1,804,033

104,138

25.5

Manulife

Financial

Corp.

138,449

2,540,537

75,806

18.6

National

Bank

of

Canada

20,544

1,469,470

42,410

10.4

Northland

Power,

Inc.

148,842

3,731,237

48,458

11.9

Nutrien

Ltd.

37,480

2,767,946

(832)

(0.2)

Open

Text

Corp.

53,672

2,070,234

61,158

15.0

Suncor

Energy,

Inc.

69,520

2,158,386

124,483

30.5

Teck

Resources

Ltd.

64,237

2,345,613

113,122

27.7

TFI

International,

Inc.

12,305

1,468,315

16,024

3.9

Toronto-Dominion

Bank

(The)

22,013

1,318,500

49,678

12.2

Tourmaline

Oil

Corp.

59,297

2,471,037

108,371

26.6

West

Fraser

Timber

Co.

Ltd.

48,450

3,455,849

(160,245)

(39.3)

Whitecap

Resources,

Inc.

283,774

2,194,183

195,272

47.8

Chile

Lundin

Mining

Corp.

199,643

1,356,066

214,193

52.5

United

States

BRP,

Inc.

18,992

1,486,196

14,397

3.5

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(30,132)

(1,451,196)

(65,325)

(16.0)

Canada

Agnico

Eagle

Mines

Ltd.

(35,612)

(1,815,514)

23,978

5.9

Air

Canada

(136,613)

(1,935,730)

(105,126)

(25.8)

Alamos

Gold,

Inc.

(141,045)

(1,721,970)

(98,100)

(24.0)

Algonquin

Power

&

Utilities

Corp.

(575,684)

(4,830,379)

(178,912)

(43.8)

Aritzia,

Inc.

(51,827)

(1,663,142)

(82,448)

(20.2)

CAE,

Inc.

(59,452)

(1,344,323)

(102,056)

(25.0)

Cameco

Corp.

(94,987)

(2,487,303)

(80,122)

(19.6)

CCL

Industries,

Inc.

(41,514)

(2,062,338)

(107,817)

(26.4)

Constellation

Software,

Inc.

(1,036)

(1,947,749)

(172,260)

(42.2)

Dollarama,

Inc.

(21,384)

(1,277,977)

(44,936)

(11.0)

Element

Fleet

Management

Corp.

(165,735)

(2,176,690)

78,483

19.2

Enbridge,

Inc.

(43,747)

(1,667,986)

(43,375)

(10.6)

GFL

Environmental,

Inc.

(76,479)

(2,637,012)

(87,712)

(21.5)

Pan

American

Silver

Corp.

(81,413)

(1,485,494)

(28,785)

(7.1)

Restaurant

Brands

International,

Inc.

(18,604)

(1,248,939)

(97,184)

(23.8)

Rogers

Communications,

Inc.

(57,368)

(2,658,921)

(49,239)

(12.1)

Shopify,

Inc.

(65,346)

(3,133,127)

(166,326)

(40.7)

SNC-Lavalin

Group,

Inc.

(100,210)

(2,463,171)

(80,821)

(19.8)

Stantec,

Inc.

(34,149)

(1,996,384)

(16,677)

(4.1)

TC

Energy

Corp.

(35,812)

(1,392,998)

(40,807)

(10.0)

Thomson

Reuters

Corp.

(30,994)

(4,032,545)

(116,958)

(28.7)

WSP

Global,

Inc.

(34,222)

(4,482,664)

(120,530)

(29.5)

217

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

SONIA

plus

or

minus

a

specified

spread

(-3.60%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-62

months

maturity

ranging

from

01/21/2025

-

03/30/2028

$194,205,124

$(1,360,567)

$558,268

$(802,299)

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

Italy

Coca-Cola

HBC

AG

160,347

4,389,533

200,043

(24.9)

Netherlands

Shell

plc

192,755

5,493,248

228,742

(28.5)

United

Kingdom

Associated

British

Foods

plc

145,985

3,503,335

78,979

(9.8)

BAE

Systems

plc

239,920

2,902,106

221,844

(27.7)

Barclays

plc

2,101,666

3,782,800

167,615

(20.9)

Barratt

Developments

plc

698,654

4,020,604

278,382

(34.7)

BP

plc

370,478

2,341,615

148,140

(18.5)

British

American

Tobacco

plc

141,777

4,969,911

(179,122)

22.3

Britvic

plc

162,959

1,794,702

87,989

(11.0)

BT

Group

plc

2,591,524

4,668,189

264,453

(33.0)

Centrica

plc

2,727,756

3,572,365

167,026

(20.8)

DCC

plc

60,918

3,550,992

327,123

(40.8)

DS

Smith

plc

1,280,211

4,984,272

206,985

(25.8)

Howden

Joinery

Group

plc

246,879

2,131,683

104,598

(13.0)

Imperial

Brands

plc

188,008

4,323,372

(47,286)

5.9

Inchcape

plc

206,747

1,981,820

(106,915)

13.3

International

Distributions

Services

plc

744,989

2,062,982

22,761

(2.8)

Investec

plc

265,868

1,475,433

33,131

(4.1)

J

Sainsbury

plc

680,786

2,342,711

249,886

(31.1)

Kingfisher

plc

836,019

2,702,439

(79,012)

9.8

Lloyds

Banking

Group

plc

3,475,130

2,043,197

60,497

(7.5)

Man

Group

plc

844,283

2,459,586

121,402

(15.1)

Marks

&

Spencer

Group

plc

1,779,109

3,670,276

562,568

(70.1)

Standard

Chartered

plc

311,390

2,360,046

(75,343)

9.4

Tesco

plc

950,431

3,115,924

221,141

(27.6)

Travis

Perkins

plc

150,394

1,780,537

35,108

(4.4)

Vodafone

Group

plc

2,161,709

2,384,576

(25,306)

3.2

United

States

GSK

plc

137,685

2,432,801

53,567

(6.7)

218

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(138,511)

(2,713,082)

(214,329)

26.7

Hong

Kong

Prudential

plc

(370,166)

(5,068,178)

(465,280)

58.0

United

Kingdom

Admiral

Group

plc

(61,879)

(1,553,840)

(92,427)

11.5

Ashtead

Group

plc

(44,418)

(2,727,484)

(61,206)

7.6

Croda

International

plc

(23,170)

(1,862,254)

(50,123)

6.2

Diageo

plc

(45,495)

(2,030,427)

(80,166)

10.0

easyJet

plc

(262,126)

(1,675,247)

(154,789)

19.3

Halma

plc

(126,618)

(3,495,481)

(266,910)

33.3

Hargreaves

Lansdown

plc

(182,929)

(1,812,182)

(79,555)

9.9

Informa

plc

(510,116)

(4,372,442)

(142,428)

17.8

Melrose

Industries

plc

(785,371)

(1,617,515)

(190,423)

23.7

National

Grid

plc

(216,764)

(2,932,168)

(152,844)

19.1

Reckitt

Benckiser

Group

plc

(65,513)

(4,984,067)

(288,609)

36.0

Rentokil

Initial

plc

(792,308)

(5,790,620)

(446,245)

55.6

Rolls-Royce

Holdings

plc

(1,199,652)

(2,209,594)

(133,308)

16.6

Smiths

Group

plc

(109,973)

(2,332,393)

(60,043)

7.5

Spirax-Sarco

Engineering

plc

(12,352)

(1,813,556)

(122,201)

15.2

St

James's

Place

plc

(116,732)

(1,751,619)

(108,179)

13.5

Weir

Group

plc

(The)

(83,463)

(1,914,763)

(151,574)

18.9

WPP

plc

(315,306)

(3,746,126)

(183,238)

22.8

United

States

Experian

plc

(56,392)

(1,856,861)

(15,471)

1.9

Ferguson

plc

(12,476)

(1,649,474)

(17,323)

2.2

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

SORA

plus

or

minus

a

specified

spread

(-5.50%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-61

months

maturity

ranging

from

02/25/2025

-

03/30/2028

$20,843,679

$(122,221)

$(38,471)

$(160,692)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

401,200

1,271,047

13,905

(8.7)

Yangzijiang

Shipbuilding

Holdings

Ltd.

5,468,900

4,946,715

(66,854)

41.6

219

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

DBS

Group

Holdings

Ltd.

5,600

139,226

(2,110)

1.3

Jardine

Cycle

&

Carriage

Ltd.

56,100

1,321,100

136,580

(85.0)

Mapletree

Pan

Asia

Commercial

Trust

54,200

73,485

2,620

(1.6)

Oversea-Chinese

Banking

Corp.

Ltd.

148,900

1,388,014

16,272

(10.1)

Singapore

Airlines

Ltd.

700,700

3,022,450

5,459

(3.4)

United

Overseas

Bank

Ltd.

36,800

825,389

36,185

(22.5)

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(28,700)

(159,255)

(3,549)

2.2

Genting

Singapore

Ltd.

(176,100)

(148,630)

(8,364)

5.2

Keppel

Corp.

Ltd.

(413,200)

(1,753,094)

(76,448)

47.6

Mapletree

Logistics

Trust

(333,800)

(430,590)

(3,785)

2.4

Singapore

Technologies

Engineering

Ltd.

(793,800)

(2,185,218)

(112,453)

70.0

Singapore

Telecommunications

Ltd.

(1,701,600)

(3,152,847)

(58,564)

36.4

Venture

Corp.

Ltd.

(2,000)

(26,619)

(1,115)

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

OBFR

plus

or

minus

a

specified

spread

(-4.00%

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

05/01/2023

-

03/31/2025

$58,106,927

$610,975

$(1,881,213)

$(1,270,238)

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.

8,472

679,109

30,771

(2.4)

DB

Insurance

Co.

Ltd.

18,614

1,070,909

49,749

(3.9)

Doosan

Bobcat,

Inc.

52,031

1,749,978

122,885

(9.7)

E-MART,

Inc.

13,475

1,095,910

31,577

(2.5)

GS

Holdings

Corp.

34,780

1,078,872

46,027

(3.6)

Hana

Financial

Group,

Inc.

30,901

967,788

15,709

(1.2)

Hankook

Tire

&

Technology

Co.

Ltd.

31,923

853,878

39,553

(3.1)

HMM

Co.

Ltd.

97,180

1,528,110

54,170

(4.3)

Hyundai

Engineering

&

Construction

Co.

Ltd.

24,342

684,569

18,741

(1.5)

Hyundai

Glovis

Co.

Ltd.

6,161

752,413

22,939

(1.8)

Hyundai

Mobis

Co.

Ltd.

2,458

408,249

8,812

(0.7)

Hyundai

Steel

Co.

24,485

654,529

32,762

(2.6)

Industrial

Bank

of

Korea

126,412

983,120

48,750

(3.8)

Kia

Corp.

53,045

3,310,437

212,919

(16.8)

220

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

(continued)

Korea

Investment

Holdings

Co.

Ltd.

32,229

1,368,022

33,298

(2.6)

Kumho

Petrochemical

Co.

Ltd.

13,286

1,469,613

48,629

(3.8)

LG

Electronics,

Inc.

15,807

1,410,676

32,194

(2.5)

LG

Innotek

Co.

Ltd.

3,107

651,576

16,569

(1.3)

Lotte

Shopping

Co.

Ltd.

9,703

612,314

21,113

(1.7)

Mirae

Asset

Securities

Co.

Ltd.

140,329

699,024

20,831

(1.6)

NH

Investment

&

Securities

Co.

Ltd.

103,924

704,491

21,779

(1.7)

POSCO

Holdings,

Inc.

6,310

1,785,233

175,614

(13.8)

Samsung

SDS

Co.

Ltd.

9,595

858,079

(18,483)

1.5

Samsung

Securities

Co.

Ltd.

26,571

649,478

19,654

(1.5)

SD

Biosensor,

Inc.

42,150

685,891

(5,544)

0.4

Woori

Financial

Group,

Inc.

316,197

2,781,484

111,484

(8.8)

Short

Positions

Common

Stocks

South

Korea

Amorepacific

Corp.

(5,339)

(563,510)

(28,174)

2.2

Celltrion

Healthcare

Co.

Ltd.

(42,527)

(1,981,062)

76,388

(6.0)

Ecopro

BM

Co.

Ltd.

(1,986)

(344,163)

698

(0.1)

Hanon

Systems

(134,398)

(909,408)

(41,991)

3.3

Hyundai

Motor

Co.

(8,340)

(1,186,553)

(58,106)

4.6

Kakao

Corp.

(33,099)

(1,567,530)

(23,842)

1.9

KakaoBank

Corp.

(32,555)

(608,460)

(9,388)

0.7

Korea

Electric

Power

Corp.

(35,979)

(498,618)

9,484

(0.7)

KT&G

Corp.

(6,602)

(424,297)

19,556

(1.5)

LG

Chem

Ltd.

(3,158)

(1,734,355)

(40,706)

3.2

LG

H&H

Co.

Ltd.

(803)

(370,985)

(12,519)

1.0

NAVER

Corp.

(6,883)

(1,078,504)

(24,504)

1.9

Netmarble

Corp.

(12,788)

(655,636)

(27,781)

2.2

Pearl

Abyss

Corp.

(14,990)

(537,678)

(11,330)

0.9

POSCO

Future

M

Co.

Ltd.

(7,113)

(1,499,199)

(48,180)

3.8

Samsung

Biologics

Co.

Ltd.

(3,451)

(2,091,873)

21,417

(1.7)

Samsung

C&T

Corp.

(8,487)

(706,785)

(7,089)

0.6

Samsung

Heavy

Industries

Co.

Ltd.

(292,231)

(1,165,138)

(68,290)

5.4

Samsung

SDI

Co.

Ltd.

(3,782)

(2,148,323)

(47,373)

3.7

SK

Biopharmaceuticals

Co.

Ltd.

(15,703)

(765,219)

(11,138)

0.9

SK

IE

Technology

Co.

Ltd.

(18,733)

(1,033,651)

(79,369)

6.2

SK

Innovation

Co.

Ltd.

(6,845)

(948,420)

(71,166)

5.6

SKC

Co.

Ltd.

(13,606)

(1,202,520)

(112,158)

8.8

Yuhan

Corp.

(12,015)

(467,776)

(1,578)

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

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-64

months

maturity

05/19/2023

$66,171,023

$623,565

$739,565

$1,363,130

221

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

199,219

1,552,455

27,856

2.0

Switzerland

Adecco

Group

AG

(Registered)

90,489

3,296,066

201,470

14.8

Baloise

Holding

AG

(Registered)

11,003

1,713,347

91,068

6.7

Barry

Callebaut

AG

(Registered)

54

114,414

1,551

0.1

BKW

AG

5,305

834,097

48,928

3.6

Cie

Financiere

Richemont

SA

(Registered)

7,047

1,130,030

75,142

5.5

DKSH

Holding

AG

19,951

1,608,455

17,739

1.3

Dufry

AG

(Registered)

10,023

447,010

9,959

0.7

Flughafen

Zurich

AG

(Registered)

9,625

1,763,452

54,001

4.0

Galenica

AG

873

73,854

3,307

0.2

Georg

Fischer

AG

(Registered)

19,934

1,551,470

131,396

9.6

Helvetia

Holding

AG

(Registered)

12,060

1,681,026

170,477

12.5

Julius

Baer

Group

Ltd.

5,351

365,518

43,271

3.2

Kuehne

+

Nagel

International

AG

(Registered)

3,412

1,016,214

70,264

5.2

Novartis

AG

(Registered)

28,609

2,626,837

242,936

17.8

SGS

SA

(Registered)

245

540,408

(21,382)

(1.6)

Sonova

Holding

AG

(Registered)

2,927

863,432

74,539

5.5

Swatch

Group

AG

(The)

7,640

2,631,146

136,210

10.0

Swiss

Life

Holding

AG

(Registered)

2,082

1,284,816

69,226

5.1

Swisscom

AG

(Registered)

2,865

1,828,363

3,303

0.2

Temenos

AG

(Registered)

2,275

158,308

12,104

0.9

UBS

Group

AG

(Registered)

90,360

1,912,090

222,315

16.3

Zurich

Insurance

Group

AG

2,219

1,063,342

89,596

6.6

United

States

Holcim

AG

64,529

4,161,562

171,720

12.6

Roche

Holding

AG

829

236,881

(281)

(0.0)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(19,972)

(687,067)

(39,415)

(2.9)

Alcon,

Inc.

(10,828)

(768,653)

(46,510)

(3.4)

Bachem

Holding

AG

(17,457)

(1,755,514)

(57,418)

(4.2)

Banque

Cantonale

Vaudoise

(Registered)

(12,118)

(1,143,528)

(42,253)

(3.1)

Belimo

Holding

AG

(Registered)

(2,218)

(1,072,019)

(7,806)

(0.6)

Chocoladefabriken

Lindt

&

Spruengli

AG

(123)

(1,452,710)

(65,355)

(4.8)

Clariant

AG

(Registered)

(43,147)

(715,781)

(33,879)

(2.5)

EMS-Chemie

Holding

AG

(Registered)

(1,827)

(1,510,252)

(70,537)

(5.2)

Geberit

AG

(Registered)

(1,112)

(620,993)

(14,161)

(1.0)

Givaudan

SA

(Registered)

(651)

(2,118,868)

(44,804)

(3.3)

Logitech

International

SA

(Registered)

(58,525)

(3,415,903)

(266,843)

(19.6)

Lonza

Group

AG

(Registered)

(1,669)

(1,004,738)

(31,355)

(2.3)

Partners

Group

Holding

AG

(1,204)

(1,133,834)

(146,368)

(10.7)

PSP

Swiss

Property

AG

(Registered)

(1,177)

(133,942)

(1,828)

(0.1)

Schindler

Holding

AG

(4,386)

(971,840)

43,946

3.2

SIG

Group

AG

(186,414)

(4,802,619)

(136,921)

(10.0)

Sika

AG

(Registered)

(5,629)

(1,578,909)

(14,392)

(1.1)

Straumann

Holding

AG

(Registered)

(9,409)

(1,411,206)

(105,700)

(7.8)

Swiss

Prime

Site

AG

(Registered)

(3,005)

(249,889)

4,483

0.3

Tecan

Group

AG

(Registered)

(810)

(354,812)

(10,964)

(0.8)

222

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

VAT

Group

AG

(3,342)

(1,207,410)

(118,187)

(8.7)

United

States

Nestle

SA

(Registered)

(21,224)

(2,587,854)

(51,506)

(3.8)

Swiss

Re

AG

(9,910)

(1,018,089)

(65,377)

(4.8)

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

CIBOR

plus

or

minus

a

specified

spread

(-2.13%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-24

months

maturity

02/21/2024

$36,998,266

$(578,916)

$550,416

$(28,500)

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

1,145

2,081,278

(591,476)

2,075.4

Carlsberg

A/S

19,055

2,956,706

152,277

(534.3)

Demant

A/S

17,915

628,932

52,572

(184.5)

Genmab

A/S

1,223

462,300

6,441

(22.6)

GN

Store

Nord

A/S

35,164

788,472

33,207

(116.5)

H

Lundbeck

A/S

80,242

371,301

11,521

(40.4)

H

Lundbeck

A/S

16,811

71,264

5,237

(18.4)

ISS

A/S

150,109

3,063,583

221,242

(776.3)

Pandora

A/S

27,992

2,686,903

309,599

(1,086.3)

ROCKWOOL

A/S

10,364

2,541,435

149,425

(524.3)

Royal

Unibrew

A/S

10,905

950,604

70,502

(247.4)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(33,792)

(508,135)

6,664

(23.4)

Chr

Hansen

Holding

A/S

(2,242)

(170,550)

(9,058)

31.8

Coloplast

A/S

(16,144)

(2,125,637)

(157,622)

553.1

Danske

Bank

A/S

(31,080)

(625,292)

4,227

(14.8)

DSV

A/S

(17,144)

(3,324,180)

(213,260)

748.3

Jyske

Bank

A/S

(Registered)

(4,330)

(303,436)

(7,808)

27.4

Novo

Nordisk

A/S

(2,940)

(466,935)

(48,534)

170.3

Novozymes

A/S

(35,069)

(1,795,645)

(67,554)

237.0

Orsted

A/S

(40,897)

(3,487,205)

(166,316)

583.6

SimCorp

A/S

(1,596)

(120,719)

(5,294)

18.6

Tryg

A/S

(111,252)

(2,432,590)

(81,015)

284.3

223

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

Vestas

Wind

Systems

A/S

(172,766)

(5,035,164)

(253,893)

890.9

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

ESTR

plus

or

minus

a

specified

spread

(-1.80%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-73

months

maturity

11/13/2023

$354,119,588

$2,029,861

$261,117

$2,290,978

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

Belgium

Ageas

SA/NV

82,033

3,548,610

176,845

7.7

Proximus

SADP

336,510

3,254,137

254,289

11.1

Finland

Nokia

OYJ

607,668

2,982,973

180,837

7.9

France

AXA

SA

82,670

2,522,889

194,532

8.5

BNP

Paribas

SA

49,285

2,943,181

180,907

7.9

Bouygues

SA

161,839

5,458,198

(12,585)

(0.5)

Carrefour

SA

167,633

3,389,135

243,121

10.6

Cie

de

Saint-Gobain

96,700

5,496,777

136,812

6.0

Eiffage

SA

49,163

5,320,222

6,548

0.3

Engie

SA

276,065

4,368,646

347,206

15.2

Orange

SA

267,127

3,173,516

111,395

4.9

Rexel

SA

187,491

4,457,548

47,233

2.1

TotalEnergies

SE

73,014

4,305,177

97,357

4.2

Germany

Brenntag

SE

41,373

3,113,576

145,939

6.4

Deutsche

Bank

AG

(Registered)

614,983

6,253,885

54,867

2.4

HeidelbergCement

AG

45,521

3,323,816

366,702

16.0

HUGO

BOSS

AG

43,851

3,153,348

470,215

20.5

Luxembourg

ArcelorMittal

SA

128,125

3,881,712

407,923

17.8

Netherlands

ASR

Nederland

NV

107,470

4,276,223

67,890

3.0

Koninklijke

Ahold

Delhaize

NV

164,022

5,603,833

251,368

11.0

NN

Group

NV

79,611

2,890,670

(17,198)

(0.8)

OCI

NV

80,107

2,715,617

188,850

8.2

Randstad

NV

58,403

3,467,077

(65,919)

(2.9)

224

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acerinox

SA

294,338

3,029,095

158,152

6.9

Banco

Bilbao

Vizcaya

Argentaria

SA

372,775

2,665,103

224,902

9.8

Banco

de

Sabadell

SA

2,724,681

2,930,235

26,627

1.2

Repsol

SA

471,815

7,255,513

355,462

15.5

United

States

Signify

NV

121,672

4,057,163

252,128

11.0

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(42,931)

(2,861,776)

(240,988)

(10.5)

China

Prosus

NV

(47,229)

(3,698,223)

(339,773)

(14.8)

France

Airbus

SE

(28,932)

(3,864,376)

(201,453)

(8.8)

Dassault

Systemes

SE

(67,193)

(2,771,782)

(30,746)

(1.3)

Edenred

(50,644)

(2,997,353)

(157,812)

(6.9)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2,937)

(2,695,897)

(188,208)

(8.2)

Remy

Cointreau

SA

(15,493)

(2,821,018)

(46,981)

(2.1)

Safran

SA

(17,644)

(2,611,959)

(155,418)

(6.8)

Sartorius

Stedim

Biotech

(14,877)

(4,564,194)

305,080

13.3

Germany

adidas

AG

(23,114)

(4,097,477)

(560,870)

(24.5)

Merck

KGaA

(12,946)

(2,413,586)

(106,122)

(4.6)

RWE

AG

(71,331)

(3,069,258)

(141,240)

(6.2)

Siemens

Healthineers

AG

(41,990)

(2,420,808)

(96,541)

(4.2)

Netherlands

Argenx

SE

(13,293)

(4,936,428)

(60,850)

(2.7)

IMCD

NV

(22,981)

(3,757,759)

(163,877)

(7.2)

Universal

Music

Group

NV

(111,277)

(2,818,063)

(238,530)

(10.4)

Spain

Amadeus

IT

Group

SA

(59,991)

(4,024,410)

(230,097)

(10.0)

Cellnex

Telecom

SA

(196,187)

(7,629,253)

(373,973)

(16.3)

Ferrovial

SA

(236,202)

(6,955,535)

(164,705)

(7.2)

Naturgy

Energy

Group

SA

(89,267)

(2,687,252)

(106,295)

(4.6)

United

States

Schneider

Electric

SE

(20,575)

(3,438,575)

(179,006)

(7.8)

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(9,582)

(4,038,394)

20,596

0.9

225

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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.

17-24

months

maturity

02/21/2024

$23,923,509

$369,266

$(59,709)

$309,557

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

105,814

4,598,740

108,821

35.2

Norway

Equinor

ASA

166,062

4,720,880

117,211

37.9

Leroy

Seafood

Group

ASA

147,270

762,609

75,335

24.3

Norsk

Hydro

ASA

344,850

2,573,761

223,218

72.1

United

Kingdom

Subsea

7

SA

114,188

1,355,484

(6,121)

(2.0)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(14,319)

(924,427)

(36,140)

(11.7)

France

Adevinta

ASA

(44,205)

(313,813)

3,755

1.2

Norway

DNB

Bank

ASA

(18,385)

(329,013)

(6,960)

(2.2)

Gjensidige

Forsikring

ASA

(57,875)

(946,388)

22,083

7.1

Kongsberg

Gruppen

ASA

(23,449)

(947,873)

(33,636)

(10.9)

Mowi

ASA

(47,251)

(873,954)

(92,515)

(29.9)

Orkla

ASA

(45,190)

(320,511)

(8,966)

(2.9)

Salmar

ASA

(10,868)

(473,408)

(33,169)

(10.7)

Schibsted

ASA

(70,126)

(1,190,381)

193,412

62.5

Telenor

ASA

(203,278)

(2,383,469)

(40,970)

(13.2)

TOMRA

Systems

ASA

(71,601)

(1,208,798)

(116,092)

(37.5)

226

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(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

(-1.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-24

months

maturity

02/21/2024

$59,259,012

$(672,938)

$132,812

$(540,126)

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

26,223

280,017

8,607

(1.6)

Guatemala

Millicom

International

Cellular

SA

40,788

773,962

25,717

(4.8)

Sweden

Billerud

AB

175,522

1,804,048

32,768

(6.1)

Boliden

AB

36,616

1,438,431

86,096

(15.9)

Elekta

AB

23,465

179,320

2,073

(0.4)

Embracer

Group

AB

573,756

2,689,395

(213,936)

39.6

Essity

AB

56,017

1,600,064

73,211

(13.6)

Evolution

AB

250

33,495

1,877

(0.3)

Getinge

AB

12,355

301,317

29,672

(5.5)

H

&

M

Hennes

&

Mauritz

AB

75,807

1,083,854

189,385

(35.1)

Saab

AB

11,457

696,025

53,356

(9.9)

Sandvik

AB

22,783

483,587

38,668

(7.2)

Securitas

AB

314,531

2,797,955

283,283

(52.4)

Skandinaviska

Enskilda

Banken

AB

27,240

300,682

12,684

(2.3)

Skanska

AB

174,416

2,671,474

(205,563)

38.1

SKF

AB

76,827

1,513,255

115,940

(21.5)

SSAB

AB

341,754

2,442,906

236,767

(43.8)

Svenska

Handelsbanken

AB

49,131

425,517

20,058

(3.7)

Swedbank

AB

38,234

628,744

(4,644)

0.9

Swedish

Orphan

Biovitrum

AB

39,589

922,447

(4,437)

0.8

Telefonaktiebolaget

LM

Ericsson

476,926

2,795,657

234,345

(43.4)

Trelleborg

AB

38,518

1,096,283

179,045

(33.1)

Volvo

AB

64,155

1,322,020

103,138

(19.1)

Volvo

Car

AB

456,915

1,998,858

43,442

(8.0)

United

States

Sinch

AB

633,570

1,713,772

(73,324)

13.6

227

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(36,928)

(1,318,592)

(127,389)

23.6

Assa

Abloy

AB

(41,910)

(1,003,849)

796

(0.1)

Atlas

Copco

AB

(88,593)

(1,122,327)

(93,593)

17.3

Axfood

AB

(4,482)

(109,453)

(8,231)

1.5

Beijer

Ref

AB

(106,197)

(1,863,493)

(162,949)

30.2

Castellum

AB

(17,902)

(208,268)

(5,842)

1.1

Electrolux

AB

(70,343)

(854,977)

(75,572)

14.0

Epiroc

AB

(94,993)

(1,885,613)

(163,127)

30.2

EQT

AB

(243,193)

(4,967,798)

(353,071)

65.4

Fastighets

AB

Balder

(17,967)

(73,819)

129

(0.0)

Hexagon

AB

(196,302)

(2,259,320)

(135,347)

25.1

Hexpol

AB

(13,328)

(165,093)

(21,656)

4.0

Holmen

AB

(34,339)

(1,323,847)

(6,730)

1.2

Husqvarna

AB

(50,475)

(438,113)

(38,553)

7.1

Indutrade

AB

(36,619)

(779,289)

(66,596)

12.3

Lifco

AB

(46,672)

(1,006,370)

(100,271)

18.6

Nibe

Industrier

AB

(368,063)

(4,195,595)

(500,426)

92.6

Sagax

AB

(8,764)

(202,013)

(11,809)

2.2

Svenska

Cellulosa

AB

SCA

(218,833)

(2,882,148)

(57,748)

10.7

Tele2

AB

(19,304)

(192,134)

(6,441)

1.2

Telia

Co.

AB

(162,967)

(413,816)

(6,740)

1.2

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

(-4.25%

to

0.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-24

months

maturity

ranging

from

04/19/2023

-

01/09/2025

$71,082,044

$(740,010)

$40

$(739,970)

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

357,300

2,757,056

230,803

(31.2)

BB

Seguridade

Participacoes

SA

123,700

793,435

32,538

(4.4)

TIM

SA/Brazil

495,900

1,230,834

28,574

(3.9)

Vibra

Energia

SA

394,600

1,121,879

44,029

(6.0)

South

Korea

SK,

Inc.

6,843

911,774

47,600

(6.4)

Woori

Financial

Group,

Inc.

104,938

923,106

32,403

(4.4)

228

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Taiwan

ASE

Technology

Holding

Co.

Ltd.

209,000

775,612

27,225

(3.7)

Catcher

Technology

Co.

Ltd.

237,000

1,481,557

28,391

(3.8)

CTBC

Financial

Holding

Co.

Ltd.

1,195,000

860,556

45,805

(6.2)

Evergreen

Marine

Corp.

Taiwan

Ltd.

337,000

1,764,994

(20,297)

2.7

Hon

Hai

Precision

Industry

Co.

Ltd.

200,000

684,599

6,613

(0.9)

Pegatron

Corp.

351,000

805,423

26,063

(3.5)

Pou

Chen

Corp.

675,000

693,766

11,636

(1.6)

Powerchip

Semiconductor

Manufacturing

Corp.

497,000

542,965

(19,391)

2.6

Unimicron

Technology

Corp.

107,000

521,868

53,005

(7.2)

United

Microelectronics

Corp.

313,000

547,729

3,203

(0.4)

Walsin

Lihwa

Corp.

789,000

1,270,759

(91,528)

12.4

Winbond

Electronics

Corp.

1,036,000

906,453

96,715

(13.1)

Yang

Ming

Marine

Transport

Corp.

462,000

980,795

(7,284)

1.0

United

States

JBS

SA

478,700

1,685,879

(173,391)

23.4

Preferred

Stocks

Brazil

Petroleo

Brasileiro

SA

(Preference)

369,800

1,710,939

62,963

(8.5)

Short

Positions

Common

Stocks

Brazil

B3

SA

-

Brasil

Bolsa

Balcao

(359,800)

(734,728)

35,964

(4.9)

Banco

BTG

Pactual

SA

(205,700)

(797,483)

(21,542)

2.9

Cia

Siderurgica

Nacional

SA

(249,100)

(758,832)

(69,448)

9.4

Cosan

SA

(478,500)

(1,424,610)

(138,450)

18.7

Equatorial

Energia

SA

(105,306)

(560,142)

(52,725)

7.1

Localiza

Rent

a

Car

SA

(167,000)

(1,759,473)

(58,294)

7.9

Rede

D'Or

Sao

Luiz

SA

(197,400)

(827,230)

(10,167)

1.4

Rumo

SA

(307,000)

(1,141,759)

(48,870)

6.6

Suzano

SA

(69,700)

(572,072)

3,838

(0.5)

TOTVS

SA

(108,200)

(601,153)

(16,418)

2.2

WEG

SA

(88,200)

(705,642)

(39,061)

5.3

South

Korea

L&F

Co.

Ltd.

(4,673)

(1,132,886)

(312,064)

42.2

LG

Energy

Solution

Ltd.

(1,964)

(884,886)

(47,751)

6.5

Lotte

Energy

Materials

Corp.

(10,390)

(552,729)

(20,170)

2.7

POSCO

Future

M

Co.

Ltd.

(2,529)

(533,035)

(44,291)

6.0

SK

Hynix,

Inc.

(13,753)

(941,186)

(55,352)

7.5

Taiwan

Advantech

Co.

Ltd.

(86,000)

(1,052,109)

(31,246)

4.2

Asustek

Computer,

Inc.

(67,000)

(601,125)

(7,371)

1.0

Chailease

Holding

Co.

Ltd.

(157,130)

(1,155,591)

26,231

(3.5)

China

Steel

Corp.

(1,560,000)

(1,584,891)

19,413

(2.6)

Chunghwa

Telecom

Co.

Ltd.

(128,000)

(503,155)

(9,241)

1.2

Delta

Electronics,

Inc.

(118,000)

(1,170,753)

(65,223)

8.8

E.Sun

Financial

Holding

Co.

Ltd.

(2,879,955)

(2,398,344)

(166,379)

22.5

Formosa

Petrochemical

Corp.

(364,000)

(1,017,663)

(45,164)

6.1

Mega

Financial

Holding

Co.

Ltd.

(890,125)

(964,709)

(40,492)

5.5

momo.com,

Inc.

(19,000)

(566,029)

(65,865)

8.9

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

(1,145,270)

(983,491)

(34,062)

4.6

Win

Semiconductors

Corp.

(83,000)

(500,251)

(44,266)

6.0

Yuanta

Financial

Holding

Co.

Ltd.

(787,860)

(579,380)

(16,454)

2.2

229

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

63.1%

INVESTMENT

COMPANIES

-

30.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

4.50%

(1)(a)(b)

101,747

101,747

Limited

Purpose

Cash

Investment

Fund,

4.73%

(1)(a)

8,018,199

8,014,992

TOTAL

INVESTMENT

COMPANIES

(Cost

$8,114,429)

8,116,739

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

32.7%

U.S.

Treasury

Bills

4.63%,

5/25/2023

(c)

$

1,738,000

1,726,414

4.66%,

6/1/2023

(c)

1,628,000

1,615,893

4.71%,

6/29/2023

(c)

1,878,000

1,856,987

4.75%,

7/6/2023

(c)

2,163,000

2,136,780

4.82%,

7/13/2023

(c)

434,000

428,304

5.07%,

8/31/2023

(c)

661,000

648,113

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

32.7%

(continued)

5.10%,

9/7/2023

(c)

$

308,000

301,714

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$8,711,177)

8,714,205

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$16,825,606)

16,830,944

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

63.1%

(Cost

$16,825,606)

16,830,944

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

36.9%

(d)

9,840,844

NET

ASSETS

-

100.0%

26,671,788

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

8,116,739

30.4

U.S.

Treasury

Obligations

8,714,205

32.7

Total

Investments

In

Securities

At

Value

$

16,830,944

63.1

Other

Assets

in

Excess

of

Liabilities

(d)

9,840,844

36.9

Net

Assets

$

26,671,788

100.0%

(a)

Represents

7-day

effective

yield

as

of

March

31,

2023.

(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)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Forward

foreign

currency

exchange

contracts

outstanding

as

of

March

31,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

324,000

USD

238,083

CITI

6/21/2023

$

1,963

CAD

324,000

USD

238,082

JPMC

6/21/2023

1,964

CHF

179,504

USD

194,771

CITI

6/21/2023

3,111

CHF

179,496

USD

194,762

JPMC

6/21/2023

3,112

DKK

416,500

USD

60,009

CITI

6/21/2023

946

DKK

416,500

USD

60,009

JPMC

6/21/2023

946

EUR

642,002

USD

687,663

CITI

6/21/2023

11,724

EUR

641,998

USD

687,655

JPMC

6/21/2023

11,727

GBP

252,500

USD

304,646

CITI

6/21/2023

7,326

GBP

252,500

USD

304,644

JPMC

6/21/2023

7,327

ILS

34,127

USD

9,356

CITI

6/21/2023

165

ILS

34,123

USD

9,355

JPMC

6/21/2023

165

JPY

59,827,503

USD

447,801

CITI

6/21/2023

8,087

JPY

59,827,497

USD

447,799

JPMC

6/21/2023

8,089

NZD

5,000

USD

3,081

CITI

6/21/2023

45

NZD

5,000

USD

3,081

JPMC

6/21/2023

45

SEK

302,500

USD

29,235

CITI

6/21/2023

32

SEK

302,500

USD

29,235

JPMC

6/21/2023

32

SGD

135,500

USD

101,137

CITI

6/21/2023

943

230

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

135,500

USD

101,137

JPMC

6/21/2023

$

944

USD

14,832

AUD

22,000

CITI

6/21/2023

84

USD

14,832

AUD

22,000

JPMC

6/21/2023

84

USD

1,088

HKD

8,500

CITI

6/21/2023

1

USD

1,088

HKD

8,500

JPMC

6/21/2023

1

USD

38,284

JPY

5,000,000

CITI

6/21/2023

183

USD

38,284

JPY

5,000,000

JPMC

6/21/2023

184

Total

unrealized

appreciation

69,230

AUD

232,505

USD

159,418

CITI

6/21/2023

(3,547)

AUD

232,495

USD

159,410

JPMC

6/21/2023

(3,546)

HKD

433,500

USD

55,464

CITI

6/21/2023

(37)

HKD

433,500

USD

55,463

JPMC

6/21/2023

(37)

ILS

11,376

USD

3,207

CITI

6/21/2023

(34)

ILS

11,374

USD

3,207

JPMC

6/21/2023

(34)

NOK

129,001

USD

12,513

CITI

6/21/2023

(148)

NOK

128,999

USD

12,513

JPMC

6/21/2023

(148)

SEK

302,500

USD

29,326

CITI

6/21/2023

(60)

SEK

302,500

USD

29,326

JPMC

6/21/2023

(60)

USD

20,126

CAD

27,500

CITI

6/21/2023

(248)

USD

20,126

CAD

27,500

JPMC

6/21/2023

(248)

USD

7,612

CHF

7,000

CITI

6/21/2023

(105)

USD

7,612

CHF

7,000

JPMC

6/21/2023

(104)

USD

4,460

DKK

31,000

CITI

6/21/2023

(77)

USD

4,460

DKK

31,000

JPMC

6/21/2023

(77)

USD

74,377

EUR

69,500

CITI

6/21/2023

(1,335)

USD

74,377

EUR

69,500

JPMC

6/21/2023

(1,335)

USD

36,634

GBP

30,000

CITI

6/21/2023

(432)

USD

36,634

GBP

30,000

JPMC

6/21/2023

(432)

USD

1,872

SGD

2,500

CITI

6/21/2023

(12)

USD

1,872

SGD

2,500

JPMC

6/21/2023

(12)

Total

unrealized

depreciation

(12,068)

Net

unrealized

appreciation

$

57,162

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2023

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

(-0.40%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-61

months

maturity

ranging

from

12/18/2026

-

04/04/2028

$22,060,391

$(310,550)

$46,788

$(263,762)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

231

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Dai-ichi

Life

Holdings,

Inc.

9,000

165,451

(16,321)

6.2

Dentsu

Group,

Inc.

4,400

155,092

2,795

(1.1)

Fuji

Electric

Co.

Ltd.

3,600

142,165

(2,614)

1.0

Fukuoka

Financial

Group,

Inc.

8,600

165,472

(25,885)

9.8

Honda

Motor

Co.

Ltd.

11,100

293,608

(13,037)

4.9

IHI

Corp.

7,100

178,346

(10,782)

4.1

Japan

Post

Bank

Co.

Ltd.

19,500

159,265

(19,029)

7.2

Japan

Post

Insurance

Co.

Ltd.

9,400

146,507

(24,998)

9.5

KDDI

Corp.

6,800

209,697

(1,921)

0.7

Mazda

Motor

Corp.

28,600

263,806

(26,125)

9.9

Mitsubishi

HC

Capital,

Inc.

27,900

144,069

(12,268)

4.7

Mitsubishi

Heavy

Industries

Ltd.

4,300

158,416

(5,021)

1.9

Mitsubishi

Motors

Corp.

79,600

313,687

(25,604)

9.7

Mizuho

Financial

Group,

Inc.

25,700

364,107

(52,464)

19.9

NIPPON

EXPRESS

HOLDINGS,

Inc.

2,200

132,749

780

(0.3)

Niterra

Co.

Ltd.

8,700

180,028

(5,385)

2.0

Obayashi

Corp.

21,000

160,701

(7,580)

2.9

Ono

Pharmaceutical

Co.

Ltd.

7,400

154,203

(5,456)

2.1

Otsuka

Holdings

Co.

Ltd.

4,500

142,873

4,933

(1.9)

SCREEN

Holdings

Co.

Ltd.

1,800

159,667

4,036

(1.5)

Shimamura

Co.

Ltd.

1,900

193,384

(547)

0.2

Shin-Etsu

Chemical

Co.

Ltd.

6,500

210,997

9,596

(3.6)

Suntory

Beverage

&

Food

Ltd.

4,800

178,793

576

(0.2)

Toyo

Suisan

Kaisha

Ltd.

4,300

179,701

(7,164)

2.7

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(8,700)

(168,787)

4,007

(1.5)

Ajinomoto

Co.,

Inc.

(4,000)

(139,151)

(3,585)

1.4

Asahi

Intecc

Co.

Ltd.

(8,400)

(148,413)

2,663

(1.0)

BayCurrent

Consulting,

Inc.

(3,200)

(132,858)

5,653

(2.1)

Capcom

Co.

Ltd.

(4,100)

(146,741)

(9,020)

3.4

Chiba

Bank

Ltd.

(The)

(24,100)

(155,548)

27,118

(10.3)

Daiichi

Sankyo

Co.

Ltd.

(5,100)

(186,036)

(12,951)

4.9

Daikin

Industries

Ltd.

(800)

(143,525)

990

(0.4)

Denso

Corp.

(4,200)

(237,079)

3,855

(1.5)

JSR

Corp.

(10,000)

(236,563)

8,212

(3.1)

Kansai

Electric

Power

Co.,

Inc.

(The)

(20,500)

(199,648)

3,362

(1.3)

Keyence

Corp.

(300)

(147,033)

(8,893)

3.4

Kobe

Bussan

Co.

Ltd.

(6,400)

(178,702)

(3,070)

1.2

Kubota

Corp.

(9,700)

(147,065)

8,909

(3.4)

Kurita

Water

Industries

Ltd.

(3,300)

(151,163)

4,175

(1.6)

Makita

Corp.

(8,200)

(204,220)

(2,461)

0.9

Mitsubishi

UFJ

Financial

Group,

Inc.

(33,800)

(216,613)

36,324

(13.8)

NIDEC

Corp.

(3,500)

(182,144)

1,882

(0.7)

Nippon

Paint

Holdings

Co.

Ltd.

(16,200)

(152,330)

(5,063)

1.9

Obic

Co.

Ltd.

(900)

(142,554)

(2,919)

1.1

Rakuten

Group,

Inc.

(31,500)

(146,910)

14,074

(5.3)

Tohoku

Electric

Power

Co.,

Inc.

(27,600)

(137,189)

1,160

(0.4)

Toyota

Motor

Corp.

(22,600)

(321,720)

4,639

(1.8)

Unicharm

Corp.

(3,400)

(139,760)

(8,266)

3.1

Yaskawa

Electric

Corp.

(5,100)

(223,686)

(5,128)

1.9

232

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Z

Holdings

Corp.

(51,600)

(146,309)

392

(0.1)

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

(-2.23%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

46-61

months

maturity

ranging

from

12/18/2026

-

04/04/2028

$61,379,005

$(48,859)

$33,002

$(15,857)

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

3M

Co.

1,540

161,869

(472)

3.0

Adobe,

Inc.

666

256,656

30,630

(193.2)

AGCO

Corp.

1,298

175,490

3,885

(24.5)

Allison

Transmission

Holdings,

Inc.

5,514

249,453

(9,469)

59.7

Alphabet,

Inc.

3,441

356,935

39,262

(247.6)

Amazon.com,

Inc.

4,354

449,725

42,874

(270.4)

American

International

Group,

Inc.

6,644

334,592

(22,211)

140.1

Analog

Devices,

Inc.

903

178,090

11,631

(73.4)

Apple,

Inc.

3,479

573,687

49,704

(313.5)

Arrow

Electronics,

Inc.

1,271

158,710

9,990

(63.0)

Booking

Holdings,

Inc.

115

305,027

18,794

(118.5)

Cardinal

Health,

Inc.

2,412

182,106

10,128

(63.9)

Cigna

Group

(The)

1,071

273,673

(15,067)

95.0

Cisco

Systems,

Inc.

5,087

265,923

17,615

(111.1)

Citigroup,

Inc.

4,980

233,512

(8,516)

53.7

Coca-Cola

Co.

(The)

5,421

336,265

13,234

(83.5)

CVS

Health

Corp.

3,830

284,607

(8,536)

53.8

Dick's

Sporting

Goods,

Inc.

1,470

208,578

(8,885)

56.0

EMCOR

Group,

Inc.

1,195

194,295

(2,748)

17.3

General

Motors

Co.

7,650

280,602

(19)

0.1

Healthpeak

Properties,

Inc.

7,507

164,929

1,384

(8.7)

Hewlett

Packard

Enterprise

Co.

10,583

168,587

13,439

(84.7)

Huntington

Ingalls

Industries,

Inc.

986

204,122

(1,146)

7.2

Intel

Corp.

6,726

219,738

41,903

(264.3)

Johnson

&

Johnson

1,115

172,825

3,500

(22.1)

Kroger

Co.

(The)

4,597

226,954

9,746

(61.5)

ManpowerGroup,

Inc.

2,007

165,638

20

(0.1)

Marathon

Petroleum

Corp.

1,512

203,863

9,752

(61.5)

McDonald's

Corp.

957

267,587

14,697

(92.7)

Microsoft

Corp.

2,206

635,990

79,372

(500.5)

Owens

Corning

1,983

189,971

247

(1.6)

233

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

PACCAR,

Inc.

2,130

155,916

(1,278)

8.1

Salesforce,

Inc.

1,052

210,169

20,910

(131.9)

Textron,

Inc.

2,558

180,672

(333)

2.1

Toll

Brothers,

Inc.

3,240

194,497

5,688

(35.9)

Tyson

Foods,

Inc.

3,390

201,095

5,695

(35.9)

Ulta

Beauty,

Inc.

286

156,062

7,398

(46.7)

Valero

Energy

Corp.

1,477

206,189

11,103

(70.0)

Walmart,

Inc.

2,232

329,108

19,359

(122.1)

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(8,006)

(190,142)

(642)

4.0

Ball

Corp.

(3,126)

(172,274)

(1,709)

10.8

Dollar

Tree,

Inc.

(1,146)

(164,508)

(4,352)

27.4

Envestnet,

Inc.

(2,963)

(173,839)

(3,327)

21.0

Foot

Locker,

Inc.

(4,053)

(160,864)

13,246

(83.5)

GameStop

Corp.

(9,271)

(213,418)

(52,885)

333.5

General

Electric

Co.

(1,955)

(186,898)

(8,214)

51.8

Hanesbrands,

Inc.

(39,651)

(208,564)

1,395

(8.8)

Quanta

Services,

Inc.

(1,095)

(182,471)

(6,669)

42.1

Vistra

Corp.

(8,536)

(204,864)

13,678

(86.3)

Welltower,

Inc.

(2,192)

(157,144)

242

(1.5)

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

BBR

plus

or

minus

a

specified

spread

(-0.73%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

03/17/2025

$2,968,002

$15,502

$(1,838)

$13,664

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

4,345

34,808

5,357

39.2

Ampol

Ltd.

3,868

78,860

1,600

11.7

ANZ

Group

Holdings

Ltd.

9,026

139,092

3,673

26.9

APA

Group

3,491

23,715

256

1.9

Aristocrat

Leisure

Ltd.

2,769

69,232

1,432

10.5

Atlas

Arteria

Ltd.

5,424

22,900

(522)

(3.8)

Aurizon

Holdings

Ltd.

54,109

121,873

(1,825)

(13.4)

BlueScope

Steel

Ltd.

10,957

148,307

5,265

38.5

Brambles

Ltd.

8,823

79,550

(49)

(0.4)

234

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Cochlear

Ltd.

376

59,859

2,009

14.7

Coles

Group

Ltd.

8,288

100,141

752

5.5

Evolution

Mining

Ltd.

9,485

19,693

863

6.3

Harvey

Norman

Holdings

Ltd.

22,937

55,202

(1,374)

(10.1)

Incitec

Pivot

Ltd.

58,394

123,049

(2,184)

(16.0)

JB

Hi-Fi

Ltd.

5,078

144,923

3,068

22.5

National

Australia

Bank

Ltd.

790

14,720

240

1.8

Orica

Ltd.

2,512

25,950

574

4.2

Pilbara

Minerals

Ltd.

27,987

74,457

10,101

73.9

Qantas

Airways

Ltd.

27,716

123,709

3,056

22.4

QBE

Insurance

Group

Ltd.

2,299

22,508

763

5.6

Qube

Holdings

Ltd.

25,869

49,952

(2,616)

(19.1)

Sonic

Healthcare

Ltd.

6,429

150,715

2,151

15.7

Suncorp

Group

Ltd.

7,988

64,904

1,409

10.3

Telstra

Group

Ltd.

32,082

90,837

553

4.0

Westpac

Banking

Corp.

4,387

63,873

1,615

11.8

Worley

Ltd.

2,029

19,652

1,089

8.0

United

States

Computershare

Ltd.

5,363

77,899

2,723

19.9

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(46,362)

(45,446)

(1,261)

(9.2)

carsales.com

Ltd.

(1,529)

(22,851)

(427)

(3.1)

Cleanaway

Waste

Management

Ltd.

(39,355)

(62,976)

161

1.2

Commonwealth

Bank

of

Australia

(924)

(61,008)

(2,288)

(16.7)

Domino's

Pizza

Enterprises

Ltd.

(2,203)

(73,953)

(1,604)

(11.7)

Endeavour

Group

Ltd.

(4,118)

(18,709)

339

2.5

IDP

Education

Ltd.

(4,749)

(87,517)

(2,794)

(20.4)

IGO

Ltd.

(1,976)

(16,944)

(1,121)

(8.2)

Lendlease

Corp.

Ltd.

(3,291)

(16,016)

149

1.1

Lynas

Rare

Earths

Ltd.

(9,790)

(41,675)

(55)

(0.4)

Macquarie

Group

Ltd.

(363)

(42,979)

(2,457)

(18.0)

Medibank

Pvt

Ltd.

(13,652)

(30,808)

(1,150)

(8.4)

Mineral

Resources

Ltd.

(648)

(35,029)

(1,931)

(14.1)

NEXTDC

Ltd.

(1,665)

(11,783)

(542)

(4.0)

Northern

Star

Resources

Ltd.

(1,248)

(10,234)

(349)

(2.6)

Pro

Medicus

Ltd.

(1,267)

(54,645)

545

4.0

REA

Group

Ltd.

(767)

(71,518)

(3,798)

(27.8)

Reece

Ltd.

(4,197)

(49,188)

(3,371)

(24.7)

Transurban

Group

(1,083)

(10,341)

(119)

(0.9)

Wesfarmers

Ltd.

(721)

(24,369)

(575)

(4.2)

WiseTech

Global

Ltd.

(607)

(26,741)

(943)

(6.9)

Woolworths

Group

Ltd.

(733)

(18,635)

(236)

(1.7)

United

States

James

Hardie

Industries

plc

(2,412)

(51,915)

(735)

(5.4)

235

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(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

(-0.27%

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

02/26/2024

-

04/25/2024

$3,891,433

$31,264

$(81,209)

$(49,945)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

3,645

51,648

2,011

(4.0)

Atco

Ltd.

2,719

87,153

2,849

(5.7)

Bank

of

Montreal

1,503

133,874

3,585

(7.2)

Bank

of

Nova

Scotia

(The)

3,665

184,592

4,258

(8.5)

Canadian

Imperial

Bank

of

Commerce

2,237

94,859

1,688

(3.4)

Canadian

National

Railway

Co.

358

42,242

781

(1.6)

Canadian

Tire

Corp.

Ltd.

336

43,848

1,444

(2.9)

Canadian

Utilities

Ltd.

1,771

49,350

1,557

(3.1)

CGI,

Inc.

349

33,635

597

(1.2)

Empire

Co.

Ltd.

2,401

64,364

2,913

(5.8)

Enbridge,

Inc.

1,265

48,232

1,142

(2.3)

Finning

International,

Inc.

3,420

85,253

3,164

(6.3)

George

Weston

Ltd.

828

109,726

5,146

(10.3)

iA

Financial

Corp.,

Inc.

1,010

64,015

2,324

(4.7)

Loblaw

Cos.

Ltd.

797

72,635

2,546

(5.1)

National

Bank

of

Canada

681

48,711

1,396

(2.8)

Northland

Power,

Inc.

1,433

35,923

537

(1.1)

Nutrien

Ltd.

1,865

137,733

1,063

(2.1)

Onex

Corp.

729

34,079

615

(1.2)

Open

Text

Corp.

2,170

83,701

1,766

(3.5)

Parkland

Corp.

3,578

85,777

2,976

(6.0)

Pembina

Pipeline

Corp.

3,492

113,119

3,360

(6.7)

SSR

Mining,

Inc.

2,472

37,386

878

(1.8)

Sun

Life

Financial,

Inc.

2,596

121,281

1,974

(4.0)

Toromont

Industries

Ltd.

852

69,931

2,553

(5.1)

West

Fraser

Timber

Co.

Ltd.

1,549

110,487

(1,307)

2.6

Yamana

Gold,

Inc.

6,277

36,598

(650)

1.3

Chile

Lundin

Mining

Corp.

6,775

46,019

6,868

(13.8)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(653)

(31,449)

(444)

0.9

236

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

Algonquin

Power

&

Utilities

Corp.

(5,709)

(47,902)

(1,171)

2.3

BCE,

Inc.

(890)

(39,867)

105

(0.2)

Brookfield

Corp.

(1,056)

(34,403)

(2,453)

4.9

Cameco

Corp.

(1,530)

(40,064)

(1,992)

4.0

Canadian

Pacific

Railway

Ltd.

(1,003)

(77,234)

(416)

0.8

Constellation

Software,

Inc.

(48)

(90,243)

(3,587)

7.2

Dollarama,

Inc.

(1,066)

(63,708)

(2,098)

4.2

Element

Fleet

Management

Corp.

(3,996)

(52,482)

(385)

0.8

Emera,

Inc.

(1,993)

(81,873)

(88)

0.2

Franco-Nevada

Corp.

(369)

(53,822)

(172)

0.3

GFL

Environmental,

Inc.

(2,537)

(87,476)

(4,280)

8.6

Kinaxis,

Inc.

(229)

(31,442)

(403)

0.8

Pan

American

Silver

Corp.

(3,449)

(62,932)

82

(0.2)

Rogers

Communications,

Inc.

(2,602)

(120,599)

116

(0.2)

Royal

Bank

of

Canada

(583)

(55,755)

(638)

1.3

Shopify,

Inc.

(660)

(31,645)

(1,572)

3.1

Thomson

Reuters

Corp.

(525)

(68,306)

(594)

1.2

TMX

Group

Ltd.

(378)

(38,178)

(596)

1.2

WSP

Global,

Inc.

(349)

(45,715)

(1,965)

3.9

United

States

Brookfield

Renewable

Corp.

(1,326)

(46,368)

(3,051)

6.1

BRP,

Inc.

(423)

(33,101)

(648)

1.3

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

SARON

plus

or

minus

a

specified

spread

(-1.60%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

04/25/2025

$3,044,713

$21,047

$(7,273)

$13,774

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

3,148

24,531

1,931

14.0

Switzerland

ABB

Ltd.

(Registered)

5,347

183,945

11,879

86.2

Adecco

Group

AG

(Registered)

910

33,147

1,847

13.4

Alcon,

Inc.

268

19,025

65

0.5

Baloise

Holding

AG

(Registered)

210

32,700

885

6.4

Barry

Callebaut

AG

(Registered)

40

84,751

1,380

10.0

Clariant

AG

(Registered)

5,791

96,069

3,573

25.9

DKSH

Holding

AG

788

63,529

1,691

12.3

Galenica

AG

356

30,117

995

7.2

237

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Georg

Fischer

AG

(Registered)

823

64,054

3,482

25.3

Helvetia

Holding

AG

(Registered)

482

67,185

2,862

20.8

Julius

Baer

Group

Ltd.

393

26,845

798

5.8

Kuehne

+

Nagel

International

AG

(Registered)

121

36,038

1,521

11.0

Novartis

AG

(Registered)

4,142

380,312

7,653

55.6

SGS

SA

(Registered)

12

26,469

(418)

(3.0)

Sonova

Holding

AG

(Registered)

407

120,060

7,295

53.0

Temenos

AG

(Registered)

467

32,497

2,311

16.8

UBS

Group

AG

(Registered)

7,374

156,040

15,443

112.1

United

States

Roche

Holding

AG

668

190,876

2,835

20.6

Swiss

Re

AG

382

39,244

900

6.5

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(834)

(83,869)

(3,381)

(24.5)

Belimo

Holding

AG

(Registered)

(73)

(35,283)

(176)

(1.3)

BKW

AG

(328)

(51,571)

(1,060)

(7.7)

Cie

Financiere

Richemont

SA

(Registered)

(83)

(13,310)

(505)

(3.7)

Credit

Suisse

Group

AG

(Registered)

(8,190)

(7,355)

(421)

(3.1)

Dufry

AG

(Registered)

(1,272)

(56,729)

(2,065)

(15.0)

EMS-Chemie

Holding

AG

(Registered)

(94)

(77,703)

(2,756)

(20.0)

Geberit

AG

(Registered)

(56)

(31,273)

(1,313)

(9.5)

Givaudan

SA

(Registered)

(14)

(45,567)

(979)

(7.1)

Logitech

International

SA

(Registered)

(1,482)

(86,499)

(7,649)

(55.5)

Lonza

Group

AG

(Registered)

(20)

(12,040)

(215)

(1.6)

Partners

Group

Holding

AG

(92)

(86,638)

(3,844)

(27.9)

Schindler

Holding

AG

(251)

(55,616)

(1,106)

(8.0)

SIG

Group

AG

(6,430)

(165,657)

(2,747)

(19.9)

Sika

AG

(Registered)

(320)

(89,759)

(2,392)

(17.4)

Straumann

Holding

AG

(Registered)

(795)

(119,238)

(7,280)

(52.9)

Swiss

Life

Holding

AG

(Registered)

(17)

(10,491)

(543)

(3.9)

Swisscom

AG

(Registered)

(36)

(22,974)

256

1.9

Tecan

Group

AG

(Registered)

(137)

(60,011)

(776)

(5.6)

VAT

Group

AG

(285)

(102,966)

(5,480)

(39.8)

United

States

Holcim

AG

(1,022)

(65,910)

(2,420)

(17.6)

Nestle

SA

(Registered)

(466)

(56,820)

(1,029)

(7.5)

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

(-1.50%

to

0.29%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$1,241,019

$(25,724)

$7,773

$(17,951)

238

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

83

150,870

(32,748)

182.4

Carlsberg

A/S

714

110,789

2,536

(14.1)

Genmab

A/S

272

102,817

(291)

1.6

H

Lundbeck

A/S

812

3,757

(28)

0.2

H

Lundbeck

A/S

219

928

4

(0.0)

ISS

A/S

6,238

127,312

8,352

(46.5)

Novo

Nordisk

A/S

639

101,487

1,711

(9.5)

Pandora

A/S

1,235

118,545

8,230

(45.8)

ROCKWOOL

A/S

97

23,786

693

(3.9)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(728)

(10,947)

(548)

3.1

Coloplast

A/S

(479)

(63,069)

(2,780)

15.5

Demant

A/S

(45)

(1,580)

(82)

0.5

DSV

A/S

(148)

(28,697)

(506)

2.8

GN

Store

Nord

A/S

(395)

(8,857)

(611)

3.4

Novozymes

A/S

(2,660)

(136,200)

(439)

2.4

Orsted

A/S

(164)

(13,984)

(581)

3.2

Royal

Unibrew

A/S

(468)

(40,796)

(1,186)

6.6

SimCorp

A/S

(8)

(605)

(37)

0.2

Tryg

A/S

(3,680)

(80,465)

(1,555)

8.7

Vestas

Wind

Systems

A/S

(3,964)

(115,528)

(5,858)

32.6

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

ESTR

plus

or

minus

a

specified

spread

(-25.00%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

03/25/2025

$15,543,766

$50,365

$(281,221)

$(230,856)

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

13,208

127,725

4,608

(2.0)

239

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Finland

Nokia

OYJ

28,027

137,581

4,381

(1.9)

France

AXA

SA

4,357

132,965

5,575

(2.4)

Cie

de

Saint-Gobain

3,971

225,726

9,279

(4.0)

Danone

SA

1,715

106,714

1,033

(0.4)

Eiffage

SA

2,059

222,817

7,590

(3.3)

Orange

SA

10,233

121,570

605

(0.3)

Rexel

SA

7,566

179,880

9,613

(4.2)

Sodexo

SA

1,359

132,734

3,284

(1.4)

Thales

SA

1,155

170,763

(279)

0.1

Germany

Bayer

AG

(Registered)

2,876

183,724

9,058

(3.9)

Bayerische

Motoren

Werke

AG

1,891

207,251

4,739

(2.1)

Brenntag

SE

1,446

108,821

1,392

(0.6)

Deutsche

Bank

AG

(Registered)

23,180

235,722

7,840

(3.4)

Deutsche

Lufthansa

AG

(Registered)

13,212

146,951

10,876

(4.7)

GEA

Group

AG

2,438

111,216

(797)

0.3

thyssenkrupp

AG

22,125

159,335

8,530

(3.7)

Italy

Assicurazioni

Generali

SpA

6,413

127,777

3,374

(1.5)

Leonardo

SpA

15,297

179,397

(2,674)

1.2

Prysmian

SpA

3,515

147,597

7,750

(3.4)

UniCredit

SpA

8,954

168,764

9,218

(4.0)

Unipol

Gruppo

SpA

22,867

117,391

1,917

(0.8)

Netherlands

ASML

Holding

NV

157

106,987

3,729

(1.6)

Koninklijke

Ahold

Delhaize

NV

4,733

161,704

3,878

(1.7)

NN

Group

NV

4,184

151,921

3,316

(1.4)

Singapore

STMicroelectronics

NV

3,959

210,950

14,113

(6.1)

Spain

Acerinox

SA

10,242

105,403

3,291

(1.4)

Banco

de

Sabadell

SA

157,321

169,190

1,714

(0.7)

Banco

Santander

SA

43,373

161,629

6,874

(3.0)

Red

Electrica

Corp.

SA

8,646

152,138

4,030

(1.7)

United

States

Sanofi

2,140

232,144

3,682

(1.6)

Stellantis

NV

18,512

336,664

10,827

(4.7)

Tenaris

SA

8,016

113,580

1,045

(0.5)

Short

Positions

Common

Stocks

France

Air

Liquide

SA

(1,244)

(208,232)

(6,053)

2.6

Alstom

SA

(4,678)

(127,365)

(4,277)

1.9

Cie

Generale

des

Etablissements

Michelin

SCA

(4,975)

(152,077)

(4,864)

2.1

EssilorLuxottica

SA

(635)

(114,505)

(2,529)

1.1

L'Oreal

SA

(277)

(123,775)

(3,418)

1.5

Sartorius

Stedim

Biotech

(485)

(148,796)

12,313

(5.3)

Germany

adidas

AG

(1,635)

(289,841)

(39,825)

17.3

RWE

AG

(2,427)

(104,430)

(4,016)

1.7

Siemens

Healthineers

AG

(2,728)

(157,275)

(4,497)

1.9

Italy

Ferrari

NV

(1,274)

(345,233)

(3,965)

1.7

Infrastrutture

Wireless

Italiane

SpA

(9,330)

(122,581)

(1,250)

0.5

Moncler

SpA

(1,631)

(112,656)

(5,288)

2.3

240

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Luxembourg

Eurofins

Scientific

SE

(1,824)

(122,135)

430

(0.2)

Netherlands

Adyen

NV

(83)

(132,255)

(3,646)

1.6

Koninklijke

Philips

NV

(8,609)

(158,121)

(15,523)

6.7

Spain

Cellnex

Telecom

SA

(6,288)

(244,526)

(10,009)

4.3

Preferred

Stocks

Germany

Sartorius

AG

(Preference),

12/31/2049

(405)

(170,690)

7,239

(3.1)

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

(-0.23%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

07/25/2024

-

04/25/2025

$5,225,714

$39,243

$(184,448)

$(145,205)

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

Nigeria

Airtel

Africa

plc

44,321

58,144

328

(0.2)

United

Kingdom

Associated

British

Foods

plc

2,177

52,243

(165)

0.1

BAE

Systems

plc

5,764

69,722

(60)

0.0

Barclays

plc

143,588

258,445

14,960

(10.3)

Barratt

Developments

plc

33,385

192,124

7,124

(4.9)

BT

Group

plc

43,605

78,547

3,746

(2.6)

Burberry

Group

plc

2,094

67,050

5,360

(3.7)

DCC

plc

1,462

85,222

6,891

(4.7)

DS

Smith

plc

24,612

95,822

2,439

(1.7)

Hiscox

Ltd.

3,182

43,539

1,537

(1.1)

Howden

Joinery

Group

plc

11,258

97,207

3,135

(2.2)

HSBC

Holdings

plc

9,624

65,410

1,169

(0.8)

Inchcape

plc

6,359

60,956

4,197

(2.9)

InterContinental

Hotels

Group

plc

1,956

128,051

3,882

(2.7)

Intertek

Group

plc

1,522

76,229

1,691

(1.2)

JD

Sports

Fashion

plc

35,256

77,642

5,380

(3.7)

Johnson

Matthey

plc

2,135

52,342

1,287

(0.9)

Legal

&

General

Group

plc

47,882

141,616

5,738

(4.0)

Lloyds

Banking

Group

plc

110,279

64,838

1,825

(1.3)

Man

Group

plc

17,300

50,399

(1,105)

0.8

241

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Marks

&

Spencer

Group

plc

67,644

139,549

10,082

(6.9)

Pearson

plc

6,779

70,942

1,880

(1.3)

Reckitt

Benckiser

Group

plc

1,913

145,536

734

(0.5)

Smiths

Group

plc

6,812

144,474

2,879

(2.0)

Taylor

Wimpey

plc

60,104

88,423

1,400

(1.0)

Travis

Perkins

plc

4,655

55,111

1,396

(1.0)

Vodafone

Group

plc

101,101

111,524

400

(0.3)

United

States

GSK

plc

12,922

228,323

1,304

(0.9)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(7,723)

(151,274)

(6,462)

4.5

Hong

Kong

Prudential

plc

(5,600)

(76,673)

(5,761)

4.0

United

Kingdom

Admiral

Group

plc

(3,154)

(79,200)

(451)

0.3

Ashtead

Group

plc

(921)

(56,554)

(2,223)

1.5

AstraZeneca

plc

(363)

(50,295)

91

(0.1)

B&M

European

Value

Retail

SA

(19,574)

(116,618)

(4,240)

2.9

Berkeley

Group

Holdings

plc

(1,435)

(74,344)

(2,350)

1.6

ConvaTec

Group

plc

(16,055)

(45,368)

(1,756)

1.2

Croda

International

plc

(650)

(52,243)

(332)

0.2

Diageo

plc

(1,455)

(64,936)

(625)

0.4

Halma

plc

(2,655)

(73,295)

(3,959)

2.7

NatWest

Group

plc

(12,380)

(40,396)

(735)

0.5

Next

plc

(700)

(56,896)

787

(0.5)

Pennon

Group

plc

(5,527)

(59,719)

(2,277)

1.6

Rentokil

Initial

plc

(15,846)

(115,811)

(3,608)

2.5

Severn

Trent

plc

(2,804)

(99,606)

(2,512)

1.7

Smith

&

Nephew

plc

(3,056)

(42,480)

497

(0.3)

Spirax-Sarco

Engineering

plc

(481)

(70,622)

(2,793)

1.9

St

James's

Place

plc

(3,790)

(56,871)

(1,702)

1.2

Tate

&

Lyle

plc

(4,004)

(38,779)

(202)

0.1

United

Utilities

Group

plc

(6,283)

(82,229)

(1,713)

1.2

United

States

Experian

plc

(2,990)

(98,454)

(2,628)

1.8

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

HIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.26%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

03/31/2025

$1,493,133

$(1,363)

$(37,331)

$(38,694)

242

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

44,000

136,983

(1,737)

4.5

Hong

Kong

ASMPT

Ltd.

5,600

55,541

253

(0.7)

CK

Asset

Holdings

Ltd.

10,500

63,658

457

(1.2)

Hang

Lung

Properties

Ltd.

7,000

13,098

(46)

0.1

Hang

Seng

Bank

Ltd.

800

11,372

40

(0.1)

Henderson

Land

Development

Co.

Ltd.

16,000

55,357

528

(1.4)

HKT

Trust

&

HKT

Ltd.

5,000

6,637

51

(0.1)

Hong

Kong

Exchanges

&

Clearing

Ltd.

100

4,432

188

(0.5)

Man

Wah

Holdings

Ltd.

78,000

64,272

(1,081)

2.8

MTR

Corp.

Ltd.

9,000

43,437

98

(0.3)

New

World

Development

Co.

Ltd.

42,000

112,585

(40)

0.1

Power

Assets

Holdings

Ltd.

5,000

26,824

263

(0.7)

Sino

Land

Co.

Ltd.

24,000

32,456

231

(0.6)

Sun

Hung

Kai

Properties

Ltd.

11,500

161,110

2,745

(7.1)

Swire

Pacific

Ltd.

2,500

19,212

168

(0.4)

Swire

Properties

Ltd.

16,000

41,179

414

(1.1)

WH

Group

Ltd.

136,000

81,076

3,460

(8.9)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(18,300)

(55,693)

380

(1.0)

ESR

Group

Ltd.

(25,200)

(45,191)

9

(0.0)

Xinyi

Glass

Holdings

Ltd.

(14,000)

(25,045)

(721)

1.9

Hong

Kong

AIA

Group

Ltd.

(8,200)

(85,996)

(1,854)

4.8

CLP

Holdings

Ltd.

(1,500)

(10,839)

(138)

0.4

Hong

Kong

&

China

Gas

Co.

Ltd.

(22,000)

(19,369)

(156)

0.4

Techtronic

Industries

Co.

Ltd.

(12,000)

(130,021)

(1,157)

3.0

Wharf

Real

Estate

Investment

Co.

Ltd.

(23,000)

(132,420)

(3,061)

7.9

Macau

Galaxy

Entertainment

Group

Ltd.

(7,000)

(46,824)

(632)

1.6

Sands

China

Ltd.

(3,600)

(12,506)

(25)

0.1

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

0.29%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$632,187

$12,768

$(14,370)

$(1,602)

243

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

2,597

112,867

3,272

(204.2)

Norway

Leroy

Seafood

Group

ASA

7,640

39,562

3,251

(203.0)

Mowi

ASA

1,883

34,828

1,565

(97.7)

Norsk

Hydro

ASA

14,918

111,339

6,470

(403.8)

Orkla

ASA

5,211

36,959

456

(28.4)

Telenor

ASA

3,274

38,388

97

(6.1)

United

Kingdom

Subsea

7

SA

2,009

23,848

486

(30.3)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(391)

(25,243)

(439)

27.4

Norway

Gjensidige

Forsikring

ASA

(591)

(9,664)

(164)

10.3

Kongsberg

Gruppen

ASA

(529)

(21,384)

120

(7.5)

Salmar

ASA

(2,574)

(112,123)

(4,539)

283.3

Schibsted

ASA

(1,706)

(28,959)

3,797

(237.0)

TOMRA

Systems

ASA

(2,193)

(37,023)

(1,604)

100.1

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

(-4.99%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$2,422,052

$30,521

$(51,880)

$(21,359)

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

6,245

66,686

3,266

(15.3)

Guatemala

Millicom

International

Cellular

SA

4,653

88,292

4,503

(21.1)

244

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

Assa

Abloy

AB

5,172

123,882

3,921

(18.4)

Axfood

AB

1,061

25,910

1,249

(5.8)

Billerud

AB

7,593

78,042

2,477

(11.6)

Boliden

AB

2,626

103,160

3,637

(17.0)

Elekta

AB

7,926

60,571

1,433

(6.7)

Essity

AB

255

7,284

31

(0.1)

Evolution

AB

345

46,223

2,003

(9.4)

Getinge

AB

572

13,950

536

(2.5)

H

&

M

Hennes

&

Mauritz

AB

7,480

106,946

19,008

(89.0)

Saab

AB

679

41,250

323

(1.5)

Sandvik

AB

2,453

52,067

4,095

(19.2)

Skandinaviska

Enskilda

Banken

AB

931

10,277

508

(2.4)

Skanska

AB

4,953

75,864

(551)

2.6

SSAB

AB

10,006

71,524

6,508

(30.5)

Svenska

Handelsbanken

AB

6,490

56,209

3,202

(15.0)

Swedbank

AB

693

11,396

(21)

0.1

Swedish

Orphan

Biovitrum

AB

866

20,178

(206)

1.0

Tele2

AB

4,542

45,207

1,454

(6.8)

Telefonaktiebolaget

LM

Ericsson

29,831

174,864

9,984

(46.7)

Telia

Co.

AB

4,595

11,668

46

(0.2)

Trelleborg

AB

1,336

38,025

3,691

(17.3)

Volvo

AB

4,601

94,811

6,063

(28.4)

Volvo

Car

AB

1,990

8,706

444

(2.1)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(685)

(24,459)

(1,551)

7.3

Atlas

Copco

AB

(2,580)

(32,684)

(2,049)

9.6

Beijer

Ref

AB

(4,783)

(83,930)

(2,572)

12.0

Electrolux

AB

(5,578)

(67,797)

(4,304)

20.2

Embracer

Group

AB

(12,111)

(56,768)

1,832

(8.6)

Epiroc

AB

(3,251)

(64,532)

(4,267)

20.0

EQT

AB

(6,465)

(132,063)

(7,441)

34.8

Hexagon

AB

(9,038)

(104,022)

(5,274)

24.7

Hexpol

AB

(1,915)

(23,721)

(1,285)

6.0

Holmen

AB

(1,041)

(40,133)

428

(2.0)

Husqvarna

AB

(4,674)

(40,569)

(2,816)

13.2

Indutrade

AB

(2,945)

(62,673)

(2,689)

12.6

Lifco

AB

(1,543)

(33,271)

(2,036)

9.5

Nibe

Industrier

AB

(9,394)

(107,083)

(7,115)

33.3

Securitas

AB

(4,883)

(43,437)

(2,864)

13.4

SKF

AB

(1,880)

(37,030)

(2,343)

11.0

Svenska

Cellulosa

AB

SCA

(1,633)

(21,507)

(172)

0.8

United

States

Sinch

AB

(4,947)

(13,381)

(565)

2.6

245

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

March

31,

2023

(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

(-0.30%

to

0.33%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

01/27/2025

$613,121

$3,591

$(11,387)

$(7,796)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

16,200

51,323

196

(2.5)

Yangzijiang

Shipbuilding

Holdings

Ltd.

95,700

86,562

(1,170)

15.0

Singapore

City

Developments

Ltd.

17,000

94,332

2,357

(30.2)

Genting

Singapore

Ltd.

19,900

16,796

347

(4.5)

Oversea-Chinese

Banking

Corp.

Ltd.

12,600

117,455

(43)

0.6

Singapore

Airlines

Ltd.

10,400

44,860

78

(1.0)

Singapore

Telecommunications

Ltd.

29,200

54,104

1,224

(15.7)

United

Overseas

Bank

Ltd.

2,400

53,830

665

(8.5)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(2,000)

(49,723)

562

(7.2)

Keppel

Corp.

Ltd.

(3,200)

(13,577)

(377)

4.8

Singapore

Technologies

Engineering

Ltd.

(8,200)

(22,573)

(188)

2.4

Venture

Corp.

Ltd.

(600)

(7,986)

(60)

0.8

246

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(Unaudited)

See

notes

to

Schedule

of

Investments.

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System Depository

Interest

CVA

-

Dutch

Certification

CVR

-

Contingent

Value

Rights

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference. Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

dollar

BRL

-

Brazilian

real

CAD

-

Canadian

dollar

CHF

-

Swiss

franc

CLP

-

Chilean

peso

CNY

-

Chinese

renminbi

COP

-

Colombian

peso

CZK

-

Czech

Republic

koruna

DKK

-

Danish

krone

EUR

-

Euro

GBP

-

British

pound

HKD

-

Hong

Kong

dollar

HUF

-

Hungarian

forint

IDR

-

Indonesian

rupiah

ILS

-

Israeli

shekel

INR

-

Indian

rupee

JPY

-

Japanese

yen

KRW

-

Korean

won

MXN

-

Mexican

peso

MYR

-

Malaysian

ringgit

NOK

-

Norwegian

krone

NZD

-

New

Zealand

dollar

PHP

-

Philippine

peso

PLN

-

Poland

zloty

SEK

-

Swedish

krona

SGD

-

Singapore

dollar

THB

-

Thai

baht

TWD

-

New

Taiwan

dollar

USD

-

United

States

dollar

ZAR

-

South

African

rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BNPP

-

BNP

Paribas

SA

CITI

-

Citibank

NA

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MLIN

-

Merrill

Lynch

International

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

247

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

See

notes

to

Schedule

of

Investments.

March

31,

2023

(Unaudited)

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

3.02%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

3.63%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

3.57%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

(“MUTSC”):

-0.03%

Canadian

Bankers’

Acceptance

Rate

("BA"):

4.95%

Canadian

Dollar

Offered

Rate

(“CDOR”):

4.95%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

4.50%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

2.95%

Denmark

Tomorrow/Next

:

2.72%

Euro

Short-Term

Rate

("ESTR"):

2.88%

Federal

Funds

Floating

Rate:

4.83%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

3.14%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

2.18%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

7.83%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

11.52%

Norway

Interbank

Offered

Rate

("NIBOR"):

3.38%

Norwegian

Overnight

Weighted

Average

("NOWA"):

3.00%

Overnight

Bank

Funding

Rate

("OBFR"):

4.82%

Rand

Overnight

Deposit

Rate:

7.07%

Reserve

Bank

of

Australia

Cash

Rate (“RBACR”): 3.57%

Singapore

Overnight

Rate

Average

(“SORA”):

3.58%

Sterling

Overnight

Index

Average

(“SONIA”):

4.18%

Swiss

Average

Rate

Overnight

(“SARON”):

1.42%

Tel

Aviv

Interbank

Offer

Rate

("TELBOR"):

4.48%

Tokyo

Overnight

Average

Rate

(“TONAR”): -0.03%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

6.74%

248

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(Unaudited)

The

Consolidated

Schedules

of

Investments

of the

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

(collectively,

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.

249

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(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

†

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

$

156,365,403

$

127,947,778

$

–

$

284,313,181

Preferred

Stocks

†

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

–

92,942

–

92,942

Rights

†

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

53,037

–

–

53,037

Short-Term

Investments

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

85,988,820

30,331,602

–

116,320,422

Futures

Contracts*

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

3,372,122

–

–

3,372,122

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,302,918

–

2,302,918

Interest

Rate

Swap

Contracts*

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

–

2,244,789

–

2,244,789

Total

Return

Swaps

Contracts*

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

–

89,550

–

89,550

Total

Assets

$

245,779,382

$

163,009,579

$

–

$

408,788,961

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(144,828,839)

$

(113,995,395)

$

–

$

(258,824,234)

Preferred

Stocks

(Sold

Short)

†

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

–

(970,453)

–

(970,453)

Warrants

(Sold

Short)

†

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

(8,533)

–

–

(8,533)

Futures

Contracts*

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

(3,386,445)

–

–

(3,386,445)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(3,856,034)

–

(3,856,034)

Interest

Rate

Swap

Contracts*

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

–

(2,182,669)

–

(2,182,669)

Total

Return

Swaps

Contracts*

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

–

(698,905)

–

(698,905)

Total

Liabilities

$

(148,223,817)

$

(121,703,456)

$

–

$

(269,927,273)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

211,763,118

$

61,798,334

$

–

$

273,561,452

Corporate

Bonds

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

–

4,727,567

334,340

5,061,907

Convertible

Bonds

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

–

408,030,496

–

408,030,496

Closed

End

Funds

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

76,649,115

–

–

76,649,115

Preferred

Stocks

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

416,304

–

–

416,304

Rights

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

334,384

161,223

295,713

791,320

Securities

in

Litigation

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

–

–

–

(a)

–

(a)

Warrants

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

1,825,815

530,024

115,478

2,471,317

Units

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

2,922,996

1,074,294

–

3,997,290

Short-Term

Investments

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

533,498,306

547,020,724

–

1,080,519,030

Options

Purchased

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

1,795,488

–

–

1,795,488

Total

Return

Basket

Swaps

Contracts*

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

–

1,426,337

–

1,426,337

Total

Assets

$

829,205,526

$

1,024,768,999

$

745,531

$

1,854,720,056

LIABILITIES

Common

Stocks

(Sold

Short)

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

$

(114,654,256)

$

(18,329,205)

$

–

(a)

$

(132,983,461)

Convertible

Bonds

(Sold

Short)

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

–

(9,283,888)

–

(9,283,888)

Options

Written*

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

(80,712)

–

–

(80,712)

Futures

Contracts*

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

(4,737,359)

–

–

(4,737,359)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(420,806)

–

(420,806)

Credit

Default

Swap

Contracts*

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

–

(1,937,324)

–

(1,937,324)

Total

Return

Basket

Swaps

Contracts*

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

–

(68,710,362)

–

(68,710,362)

Total

Liabilities

$

(119,472,327)

$

(98,681,585)

$

–

(a)

$

(218,153,912)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

275,190,408

$

–

$

–

$

275,190,408

Short-Term

Investments

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

5,711,904

–

–

5,711,904

Total

Assets

$

280,902,312

$

–

$

–

$

280,902,312

250

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

10,514,936

$

–

$

10,514,936

Short-Term

Investments

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

112,884,295

96,146,004

–

209,030,299

Forward

Foreign

Currency

Exchange

Contracts*

........

–

14,610

–

14,610

Total

Return

Basket

Swaps

Contracts*

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

–

2,834,463

–

2,834,463

Total

Assets

$

112,884,295

$

109,510,013

$

–

$

222,394,308

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(9,190,102)

$

–

$

(9,190,102)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(45,247)

–

(45,247)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,187,321)

–

(1,187,321)

Total

Liabilities

$

–

$

(10,422,670)

$

–

$

(10,422,670)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

181,814,571

$

378,387,177

$

–

$

560,201,748

Futures

Contracts*

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

7,388,832

–

–

7,388,832

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,590,496

–

1,590,496

Total

Return

Basket

Swaps

Contracts*

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

–

5,002,433

–

5,002,433

Total

Return

Swaps

Contracts*

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

–

490,405

–

490,405

Total

Assets

$

189,203,403

$

385,470,511

$

–

$

574,673,914

LIABILITIES

Futures

Contracts*

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

$

(14,709)

$

–

$

–

$

(14,709)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(189,419)

–

(189,419)

Total

Return

Basket

Swaps

Contracts*

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

–

(12,826,165)

–

(12,826,165)

Total

Return

Swaps

Contracts*

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

–

(259,639)

–

(259,639)

Total

Liabilities

$

(14,709)

$

(13,275,223)

$

–

$

(13,289,932)

AQR

MACRO

OPPORTUNITIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

3,930,922

$

2,969,664

$

–

$

6,900,586

Short-Term

Investments

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

61,767,233

46,685,281

–

108,452,514

Futures

Contracts*

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

8,106,757

–

–

8,106,757

Forward

Foreign

Currency

Exchange

Contracts*

........

–

7,690,305

–

7,690,305

Interest

Rate

Swap

Contracts*

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

–

5,010,178

–

5,010,178

Credit

Default

Swap

Contracts*

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

–

349,503

–

349,503

Total

Return

Swaps

Contracts*

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

–

197,360

–

197,360

Total

Assets

$

73,804,912

$

62,902,291

$

–

$

136,707,203

LIABILITIES

Futures

Contracts*

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

$

(10,391,181)

$

–

$

–

$

(10,391,181)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(10,237,222)

–

(10,237,222)

Interest

Rate

Swap

Contracts*

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

–

(4,795,497)

–

(4,795,497)

Credit

Default

Swap

Contracts*

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

–

(800,028)

–

(800,028)

Total

Return

Swaps

Contracts*

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

–

(1,524,190)

–

(1,524,190)

Total

Liabilities

$

(10,391,181)

$

(17,356,937)

$

–

$

(27,748,118)

251

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

312,632,612

$

1,057,588,842

$

–

$

1,370,221,454

Futures

Contracts*

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

16,9

81

,

99

3

–

–

16,9

81

,

993

Forward

Foreign

Currency

Exchange

Contracts*

........

–

19,363,708

–

19,363,708

Interest

Rate

Swap

Contracts*

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

–

20,401,141

–

20,401,141

Credit

Default

Swap

Contracts*

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

–

32,843

–

32,843

Total

Return

Basket

Swaps

Contracts*

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

–

12,027

–

12,027

Total

Return

Swaps

Contracts*

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

–

1,053,693

–

1,053,693

Total

Assets

$

329,61

4

,

60

5

$

1,098,452,254

$

–

$

1,428,06

6

,

85

9

LIABILITIES

Futures

Contracts*

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

$

(39,

102

,

10

6)

$

–

$

–

$

(39,

102

,

10

6)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(28,479,266)

–

(28,479,266)

Interest

Rate

Swap

Contracts*

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

–

(13,234,544)

–

(13,234,544)

Credit

Default

Swap

Contracts*

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

–

(133,071)

–

(133,071)

Total

Return

Basket

Swaps

Contracts*

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

–

(22,804,538)

–

(22,804,538)

Total

Return

Swaps

Contracts*

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

–

(3,003,350)

–

(3,003,350)

Total

Liabilities

$

(39,

102

,

10

6)

$

(67,654,769)

$

–

$

(106,75

6

,

87

5)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

41,437,355

$

95,793,468

$

–

$

137,230,823

Futures

Contracts*

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

2,586,742

–

–

2,586,742

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,182,964

–

3,182,964

Interest

Rate

Swap

Contracts*

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

–

3,246,608

–

3,246,608

Credit

Default

Swap

Contracts*

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

–

8,393

–

8,393

Total

Return

Basket

Swaps

Contracts*

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

–

34,300

–

34,300

Total

Return

Swaps

Contracts*

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

–

201,326

–

201,326

Total

Assets

$

44,024,097

$

102,467,059

$

–

$

146,491,156

LIABILITIES

Futures

Contracts*

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

$

(6,036,075)

$

–

$

–

$

(6,036,075)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,601,240)

–

(4,601,240)

Interest

Rate

Swap

Contracts*

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

–

(1,928,952)

–

(1,928,952)

Credit

Default

Swap

Contracts*

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

–

(20,694)

–

(20,694)

Total

Return

Basket

Swaps

Contracts*

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

–

(2,335,623)

–

(2,335,623)

Total

Return

Swaps

Contracts*

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

–

(458,216)

–

(458,216)

Total

Liabilities

$

(6,036,075)

$

(9,344,725)

$

–

$

(15,380,800)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

73,332,227

$

34,331,746

$

–

(a)

$

107,663,973

Preferred

Stocks

†

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

–

251,382

–

251,382

Foreign

Government

Securities

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

–

10,764,544

–

10,764,544

U.S.

Treasury

Obligations

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

–

22,435,144

–

22,435,144

Short-Term

Investments

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

33,088,179

40,225,159

–

73,313,338

Futures

Contracts*

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

3,694,291

–

–

3,694,291

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,093,504

–

2,093,504

Total

Return

Swaps

Contracts*

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

–

3,600

–

3,600

Total

Assets

$

110,114,697

$

110,105,079

$

–

(a)

$

220,219,776

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(15,636,225)

$

(9,521,225)

$

–

$

(25,157,450)

Preferred

Stocks

(Sold

Short)

†

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

–

(94,406)

–

(94,406)

Futures

Contracts*

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

(3,105,701)

–

–

(3,105,701)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,895,113)

–

(2,895,113)

Total

Return

Swaps

Contracts*

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

–

(846,508)

–

(846,508)

Total

Liabilities

$

(18,741,926)

$

(13,357,252)

$

–

$

(32,099,178)

252

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(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.

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

reports. 

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

222,036,769

$

193,915,857

$

–

$

415,952,626

Futures

Contracts*

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

31,015,137

–

–

31,015,137

Total

Assets

$

253,051,906

$

193,915,857

$

–

$

446,967,763

LIABILITIES

Futures

Contracts*

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

$

(22,322,217)

$

–

$

–

$

(22,322,217)

Total

Liabilities

$

(22,322,217)

$

–

$

–

$

(22,322,217)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

44,723,491

$

–

$

44,723,491

Short-Term

Investments

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

326,839,688

439,917,484

–

766,757,172

Futures

Contracts*

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

25,933,985

–

–

25,933,985

Forward

Foreign

Currency

Exchange

Contracts*

........

–

16,383,748

–

16,383,748

Interest

Rate

Swap

Contracts*

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

–

18,862,831

–

18,862,831

Total

Return

Basket

Swaps

Contracts*

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

–

4,675,495

–

4,675,495

Total

Return

Swaps

Contracts*

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

–

1,774,534

–

1,774,534

Total

Assets

$

352,773,673

$

526,337,583

$

–

$

879,111,256

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(38,561,165)

$

(2)

$

(38,561,167)

Futures

Contracts*

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

(19,209,766)

–

–

(19,209,766)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(25,109,111)

–

(25,109,111)

Interest

Rate

Swap

Contracts*

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

–

(17,379,562)

–

(17,379,562)

Total

Return

Basket

Swaps

Contracts*

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

–

(27,500,727)

–

(27,500,727)

Total

Return

Swaps

Contracts*

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

–

(5,292,163)

–

(5,292,163)

Total

Liabilities

$

(19,209,766)

$

(113,842,728)

$

(2)

$

(133,052,496)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

8,116,739

$

8,714,205

$

–

$

16,830,944

Forward

Foreign

Currency

Exchange

Contracts*

........

–

69,230

–

69,230

Total

Return

Basket

Swaps

Contracts*

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

–

27,438

–

27,438

Total

Assets

$

8,116,739

$

8,810,873

$

–

$

16,927,612

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(12,068)

$

–

$

(12,068)

Total

Return

Basket

Swaps

Contracts*

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

–

(793,027)

–

(793,027)

Total

Liabilities

$

–

$

(805,095)

$

–

$

(805,095)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap

and

forward

foreign

currency

exchange

contracts

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps,

interest

rate

swaps,

purchased

option

and

written

options

(premium

style)

are

reported

at

market

value.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

253

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2023

March

31,

2023

(Unaudited)

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.