N-CSR 1 primary-document.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
     Washington, D.C. 20549
 
FORM N-CSR
 
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
 
Investment Company Act file number: 811-22235
 

AQR Funds

(Exact name of registrant as specified in charter)
 
         One Greenwich Plaza
                        Greenwich, CT 06830
                        
(Address of principal executive offices) (Zip code)
 
H.J. Willcox, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
                         One Greenwich Plaza
                        Greenwich, CT 06830                            
(Name and Address of Agent for Service)
 
 
Registrant’s telephone number, including area code: 203-742-3600
 
Date of fiscal year end:  December 31
 
Date of reporting period:  January 1, 2022 to December 31, 2022
 
Item 1. Reports to Shareholders.
 
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1.)
 
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not applicable.
 
Annual
Report
December
31,
2022
AQR
Alternative
Risk
Premia
Fund
AQR
Diversified
Arbitrage
Fund
AQR
Diversifying
Strategies
Fund
AQR
Equity
Market
Neutral
Fund
AQR
Long-Short
Equity
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
AQR
Style
Premia
Alternative
Fund
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
Table
of
Contents
Shareholder
Letters
(Unaudited)
AQR
Alternative
Risk
Premia
Fund
...................................................................
2
AQR
Diversified
Arbitrage
Fund
.....................................................................
4
AQR
Diversifying
Strategies
Fund
...................................................................
8
AQR
Equity
Market
Neutral
Fund
....................................................................
10
AQR
Long-Short
Equity
Fund
.......................................................................
12
AQR
Macro
Opportunities
Fund
.....................................................................
14
AQR
Managed
Futures
Strategy
Fund
................................................................
17
AQR
Managed
Futures
Strategy
HV
Fund
.............................................................
20
AQR
Multi-Asset
Fund
............................................................................
23
AQR
Risk-Balanced
Commodities
Strategy
Fund
........................................................
25
AQR
Style
Premia
Alternative
Fund
..................................................................
27
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..................................................
29
Schedule
of
Investments
AQR
Alternative
Risk
Premia
Fund
...................................................................
33
AQR
Diversified
Arbitrage
Fund
.....................................................................
63
AQR
Diversifying
Strategies
Fund
...................................................................
87
AQR
Equity
Market
Neutral
Fund
....................................................................
88
AQR
Long-Short
Equity
Fund
.......................................................................
108
AQR
Macro
Opportunities
Fund
.....................................................................
135
AQR
Managed
Futures
Strategy
Fund
................................................................
152
AQR
Managed
Futures
Strategy
HV
Fund
.............................................................
181
AQR
Multi-Asset
Fund
............................................................................
211
AQR
Risk-Balanced
Commodities
Strategy
Fund
........................................................
227
AQR
Style
Premia
Alternative
Fund
..................................................................
236
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..................................................
269
Financial
Statements
and
Notes
........................................................................
290
Report
of
Independent
Registered
Public
Accounting
Firm
.....................................................
366
Other
Federal
Tax
Information
(Unaudited)
................................................................
367
Fund
Expense
Examples
(Unaudited)
....................................................................
369
Trustees
and
Officers
(Unaudited)
.......................................................................
372
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
................................................
374
Shareholder
Letter
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
2
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Alternative
Risk
Premia
Fund
(the
“Fund”)
returned
25.26%,
net
of
fees,
(Class
I
shares)
in
2022.
Over
the
year,
the
Fund
realized
14.8%
annualized
daily
volatility
and
a
-0.4
correlation
to
global
equities,
as
represented
by
the
MSCI
World
Index.
The
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index,
which
is
the
Fund’s
benchmark,
returned
1.46%
over
this
period.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
During
the
2022
fiscal
year,
the
Fund
invested
in
five
different
asset
groups,
including
using
derivatives
such
as
futures
and
swaps:
equities
of
major
developed
markets,
country
specific
equity
indices,
bonds,
currencies
and
commodities.
The
Fund
employed
market-neutral
and
long-short
strategies
across
these
asset
groups
based
on
five
investment
styles:
Value
-
The
tendency
for
cheap
assets
to
outperform
expensive
ones
Momentum
-
The
tendency
for
an
asset’s
recent
relative
performance
to
continue
in
the
future
Carry
-
The
tendency
for
higher-yielding
assets
to
provide
higher
returns
than
lower-yielding
assets
Defensive
-
The
tendency
for
lower-risk
and
higher-quality
assets
to
generate
higher
risk-adjusted
returns
Trend
-
The
tendency
for
an
asset’s
recent
performance
to
continue
in
the
future
Gains
were
mainly
driven
by
the
Stocks
and
Industries
(“Stocks”)
asset
group,
with
Value
being
the
dominant
driver
of
performance.
Fixed
Income,
Commodities
and
Equity
Indices
also
contributed
positively,
while
Currencies
detracted.
A
majority
of
Stocks
gains
occurred
during
the
first
and
second
quarter.
The
group
then
generally
performed
poorly
until
the
beginning
of
the
fourth
quarter
as
Value
retraced
a
large
portion
of
what
it
had
previously
earned
before
recouping
again
toward
the
end
of
the
year.
Stocks
had
positive
performance
across
all
the
style
factors,
with
Value
being
the
biggest
contributor.
Fixed
Income
saw
its
gains
coming
from
Momentum
and
Trend.
Commodities
saw
its
gains
come
from
Value
as
well
as
Trend.
In
Equity
Indices,
positive
contributions
from
Carry
and
Value
were
offset
by
negative
contributions
from
Momentum
and
Defensive.
Currencies’
negative
performance
was
driven
by
Value
and
Defensive.
This
year’s
Stocks
Value
gains
are
a
continuation
in
the
style’s
recovery
that
began
towards
the
end
of
2020.
AQR’s
research
suggests
that
the
Value
losses
of
the
prior
couple
of
years
have
been
due
to
a
temporary
disconnect
between
prices
and
fundamentals.
Investors
were
demanding
stocks
with
high
long-term
growth
forecasts,
seemingly
without
concern
for
the
price
paid
for
those
securities.
Our
prediction
had
been
that
performance
for
Value
would
rebound
meaningfully
as
the
bubble
burst.
The
shift
in
2021
was
a
meaningful
step
in
this
direction,
and
the
continuation
of
the
trend
in
2022
has
solidified
our
conviction
in
our
prediction.
Jordan
Brooks
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Yao
Hua
Ooi
Principal
Nathan
Sosner
Principal
3
Shareholder
Letter
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
4.31%,
4.57%
and
4.22%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
09/19/2017
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QRPIX
25.26%
4.16%
0.28%
0.28%
9/19/2017
Fund
-
Class
N:
QRPNX
24.83%
3.90%
0.03%
0.05%
9/19/2017
Fund
-
Class
R6:
QRPRX
25.46%
4.29%
0.39%
0.41%
9/19/2017
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
1.25%
9/19/2017
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFIED
ARBITRAGE
FUND
4
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Diversified
Arbitrage
Fund
(the
“Fund”)
invests
in
arbitrage
strategies,
including
merger
arbitrage,
convertible
arbitrage,
and
event-driven
strategies.
The
investment
process
seeks
to
capture
a
liquidity
premium
around
corporate
control
and
capital
raising
events,
while
maintaining
a
highly
diversified
portfolio
of
securities
with
low
exposure
to
other
risk
premia.
Over
the
2022
calendar
year,
the
Fund’s
Class
I
shares
returned
-3.29%,
net
of
fees,
due
to
negative
returns
in
all
three
major
strategy
buckets.
The
convertible
arbitrage
strategy
was
the
largest
contributor
to
the
fund
loss
(2.74%)
followed
by
merger
arbitrage
(0.13%)
and
event-driven
(0.41%).
A
discussion
of
specific
performance
drivers
for
each
of
the
three
core
strategies
is
included
below.
Since
its
inception
on
January
15,
2009,
the
Fund’s
correlation
with
overall
equity
and
credit
markets
remains
low.
Based
on
monthly
returns
since
inception
through
December
31,
2022,
the
Fund’s
equity
market
beta
(relative
to
the
S&P
500
Total
Return
Index®)
is
0.13,
its
annualized
volatility
is
5.1%
and
its
Sharpe
ratio
is
0.71.
Use
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies,
both
to
obtain
financial
leverage
and
to
hedge
portfolio
risks.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Fund
Description
Unlike
the
textbook
definition
of
arbitrage
that
requires
no
capital
and
where
identical
securities
can
simultaneously
be
bought
and
sold
for
different
prices,
corporate
arbitrage
investments
require
significant
capital
and
involve
the
purchase
and
sale
of
related
but
not
identical
securities
at
advantageous
prices.
For
example,
in
merger
arbitrage,
the
target
stock
can
often
be
purchased
for
a
price
that
is
less
than
the
merger
consideration
offered
by
the
acquiring
company.
Arbitrageurs
attempt
to
capture
this
difference
by
buying
the
target
stock,
and
in
the
case
of
a
stock
merger,
also
selling
short
the
acquirer’s
stock.
Similarly,
in
the
case
of
convertible
arbitrage,
investors
typically
purchase
a
convertible
bond
at
a
price
below
fundamental
value
and
hedge
the
risk
of
the
underlying
equity
call
option
that
is
embedded
in
the
bond
by
selling
short
the
issuer’s
common
stock.
Arbitrageurs
generally
profit
when
the
prices
of
securities
purchased
converge
to
their
fundamental
values.
Like
merger
arbitrage
and
convertible
arbitrage,
the
event-driven
strategies
employed
by
the
Fund
involve
the
purchase
of
securities
around
corporate
events
at
discounts
to
their
fundamental
values.
For
most
of
the
investments,
an
attempt
is
made
to
mitigate
the
embedded
systematic
risk
via
hedging.
Where
there
is
no
direct
hedge
for
a
particular
security,
correlated
indirect
hedges
are
employed.
For
example,
systematic
equity
market
risk
is
hedged
by
shorting
S&P
500
futures
and
swaps.
Similarly,
for
example,
credit
and
interest
rate
risks
are
hedged
using
derivative
contracts
(credit
default
swap
indices
and
Treasury
futures).
Although
indirect
hedges
can
effectively
mitigate
systematic
risk
(e.g.,
beta)
on
average,
they
expose
the
Fund
to
basis
risk—
the
basket
of
securities
purchased
around
corporate
events
does
not
necessarily
move
in
lockstep
with
the
hedging
instruments.
Performance
Attribution
Over
a
long
horizon,
we
expect
arbitrage
returns
to
have
a
low
correlation
to
equity
and
credit
market
returns,
and
exceed
short-term
Treasury
bill
returns.
In
some
years,
like
2014,
arbitrage
strategies
generate
returns
that
are
below
expectations.
In
other
years,
such
as
2020,
arbitrage
strategies
generate
returns
that
are
significantly
greater
than
the
long-run
expected
average.
Years
with
significant
outperformance
often
follow
severe
market
dislocations,
like
we
experienced
in
March
2020,
which
can
create
favorable
market
conditions
for
arbitrage
strategies.
Since
its
inception
in
2009,
the
Fund
has
returned
an
annualized
average
return
of
3.6%
above
the
ICE
BofA
U.S.
3-Month
Treasury-Bill
Index.
Convertible
Arbitrage
Convertible
arbitrage
contributed
(2.74%)
to
the
Fund’s
return
in
2022.
Negative
returns
can
be
attributed
primarily
to
severe
credit
spread
widening
of
convertible
bond
issuers
throughout
the
year
amid
the
sell-off
in
technology
and
growth-related
equities
coupled
with
an
increase
in
interest
rates.
The
widening
credit
spreads
for
these
companies
exceeded
the
magnitude
of
spread
widening
in
the
high-yield
bond
market
and,
in
many
cases,
convertible
prices
fell
even
more
than
the
implied
move
in
credit
spreads
would
explain.
Jordan
Brooks
Principal
Rocky
Bryant
Principal,
AQR
Arbitrage
Mark
Mitchell,
Ph.D.
Principal,
AQR
Arbitrage
Todd
Pulvino,
Ph.D.
Principal,
AQR
Arbitrage
John
Eckert
Managing
Director,
AQR
Arbitrage
5
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Following
two
years
of
robust
new
issuance,
the
U.S.
convertible
market
experienced
a
significant
slowdown,
with
only
$29
billion
raised
by
issuers.
For
context,
the
market
raised
$114
billion
in
2020
and
$93
billion
in
2021.
The
slowdown
in
2022
was
the
result
of
several
factors
including
the
sell-off
in
technology
and
growth
equities,
volatile
market
conditions
(e.g.,
the
Volatility
Index
(“VIX”)
moved
from
below
20
to
above
30
on
three
occasions),
widening
credit
spreads,
and
uncertainty
about
interest
rates.
While
the
decrease
in
issuance
presented
the
Fund
with
fewer
chances
to
deploy
capital
into
attractively
priced
high-delta
convertibles,
historically
we
have
seen
that
higher
interest
rates
can
cause
companies
to
issue
convertibles
to
fund
their
businesses
because
of
the
lower
cash
coupon
relative
to
a
high-yield
bond.
We
began
to
see
some
indication
of
this
dynamic
in
December,
which
saw
the
largest
number
of
new
convertibles
issued
of
any
month
in
2022.
This
pickup
in
issuance
is
encouraging
and
could
pave
the
way
for
more
opportunities
in
2023.
Merger
Arbitrage
Merger
arbitrage
contributed
(0.13%)
to
the
Fund’s
return
in
2022.
The
second
and
third
quarters
drove
the
strategy’s
negative
return
for
the
year,
though
only
one
deal
failed
over
this
period,
due
to
widening
of
spreads
in
the
merger
universe
from
a
median
annualized
spread
of
7.0%
in
March
to
16.5%
in
September.
Spreads
tightened
in
the
fourth
quarter
to
5.1%,
which
would
have
resulted
in
positive
strategy
returns
for
the
quarter
if
not
for
a
loss
incurred
by
the
failure
of
DuPont
de
Nemours,
Inc.
to
obtain
regulatory
approval
for
its
acquisition
of
Rogers
Corporation.
Overall,
the
deal
termination
rate
of
3.3%
in
2022
was
slightly
below
the
long-term
average,
but
merger
arbitrage
returns
were
impeded
by
spread
widening
and
a
relative
dearth
of
deals
with
increases
in
consideration.
The
domestic
investible
universe,
defined
as
definitive-agreement
U.S.
deals
with
value
greater
than
$500
million,
expanded
from
$269
billion
to
$420
billion
over
the
first
half
of
2022
before
falling
to
$298
billion
at
year-end.
The
number
of
deals
in
the
universe
declined
steadily
over
the
course
of
the
year,
beginning
at
56
and
ending
at
39,
as
existing
deals
were
completed,
and
the
average
size
of
announced
mergers
increased
in
the
first
half.
Deal
flow
slowed
in
the
second
half
of
2022
due
to
several
factors
including
poor
equity
market
conditions,
a
backlog
of
leveraged
debt
on
banks’
balance
sheets,
and
uncertainty
about
the
path
of
monetary
policy.
Looking
ahead,
we
anticipate
that
merger
activity
will
depend
on
the
resolution
of
these
impediments
to
dealmaking.
Event-Driven
The
event-driven
strategy
contributed
(0.41%)
to
the
Fund’s
return
in
2022.
The
Special
Purpose
Acquisition
Companies
(“SPAC”)
and
Closed-End
Fund
(“CEF”)
strategies
contributed
positively
to
performance,
but
overall
returns
were
inhibited
by
market
volatility,
especially
in
the
first
quarter,
that
induced
losses
in
the
capital
markets
sub-strategies
The
SPAC
sub-strategy
accounted
for
over
90%
of
the
event-driven
strategy’s
allocation
in
2022,
exceeding
30%
of
the
Fund’s
long
market
value
until
December,
when
it
fell
to
26%
as
a
result
of
SPAC
liquidations
and
redemptions
by
the
Fund.
Performance
in
the
SPAC
sub-strategy
was
driven
by
several
factors.
Existing
SPACs
lost
value
due
to
worsening
market
conditions
and
the
underperformance
of
growth
stocks,
which
was
especially
detrimental
to
de-SPAC
warrants.
New
issuance
of
SPACs
declined
dramatically
from
the
record
$157
billion
issued
in
2021
to
only
$15
billion
in
2022.
This
was
largely
driven
by
the
reluctance
of
investment
banks
to
underwrite
SPACs
after
the
Securities
and
Exchange
Commission
proposed
new
rules
in
March.
The
SPAC
market
was
also
impacted
by
the
passage
of
the
Inflation
Reduction
Act
of
2022
in
August,
which
imposes
an
excise
tax
on
share
repurchases
that
potentially
applies
to
SPAC
redemptions.
This
led
to
a
rush
of
liquidations
by
sponsors
that
were
unable
to
find
merger
targets,
while
others
announced
extension
votes
to
allow
investors
a
chance
to
redeem
capital
without
tax
consequences.
The
shrinking
size
of
the
SPAC
universe
led
to
significant
tightening
of
the
median
spread-to-trust
from
3.1%
at
mid-year
to
0.2%
at
year-end.
This
spread
tightening
led
to
profits
on
SPAC
shares
but
the
rise
in
early
liquidations
caused
losses
on
warrants,
which
are
rendered
worthless
by
liquidation.
1
Performance
in
the
CEF
sub-strategy
was
driven
by
the
fourth
quarter,
which
exhibited
volatility
in
discounts,
and
a
sharp
tightening
of
municipal
discounts
in
November,
that
facilitated
profitable
trading
by
the
Fund.
Median
CEF
discounts
widened
substantially
over
the
course
of
2022,
ending
the
year
around
8%
in
each
of
the
three
segments
we
track
(equity,
credit,
municipal)
after
beginning
the
year
near
zero.
As
a
result,
we
expect
this
sub-strategy
to
remain
attractive
moving
forward.
The
Fund
participates
in
corporate
issuance
of
equity
and
debt
securities
to
capture
the
liquidity
premium
issuers
pay
to
access
capital
markets.
New
issuance
declined
substantially
in
2022
from
the
record
levels
observed
in
2021,
so
opportunities
in
this
space
were
limited.
The
negative
returns
to
these
sub-strategies
were
driven
by
market
volatility,
particularly
in
the
first
quarter
of
2022.
Performance
of
the
Fund
in
2022
was
driven
by
heightened
volatility
and
declining
valuations
in
equity
and
debt
markets,
which
impacted
all
three
major
strategy
groups.
The
cheapening
of
convertible
debt
and
the
widening
of
CEF
discounts
in
2022
created
attractive
opportunities
that
the
Fund
will
aim
to
exploit
in
2023,
and
we
are
optimistic
that
prevailing
market
conditions
will
lead
to
increased
convertible
debt
issuance.
We
anticipate
that
the
finalization
of
proposed
rules
surrounding
SPACs
will
stabilize
that
market,
though
we
do
not
anticipate
a
recovery
of
issuance
at
the
levels
observed
in
2020
and
2021.
The
resolution
of
uncertainty
about
the
Federal
Reserve’s
rate
hikes
and
the
ongoing
efforts
of
banks
to
offload
leveraged
debt
holdings
should
lead
to
continued
merger
activity
and
a
recovery
in
capital
markets
issuance.
Irrespective
of
where
the
Fund
deploys
capital
in
2023,
the
Fund
will
continue
to
hedge
systematic
equity,
credit,
and
interest
rate
risks,
with
the
intention
of
delivering
uncorrelated
excess
returns.
2
6
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
1
The
two
primary
risks
in
the
SPAC
strategy
are
mark-to-market
risk
and
the
risk
of
a
SPAC
failing
to
find
an
acquisition
target.
Regarding
mark-to-market
risk,
as
long
as
the
Fund
does
not
need
to
sell
SPACs
at
a
discount,
thereby
locking
in
losses,
this
risk
eventually
falls
away.
When
a
SPAC
fails
to
find
an
acquisition
target
and
thus
liquidates,
the
warrants
associated
with
the
SPAC
become
worthless,
but
shareholders
still
receive
the
trust
value.
2
Note
that
the
Fund
uses
various
derivatives
instruments
(e.g.,
futures,
options,
forwards,
and
swaps),
primarily
to
hedge
systematic
risks
including
credit
risk
and
interest
rate
risk.
While
the
purpose
of
employing
derivatives
instruments
is
to
decrease
the
Fund’s
overall
risk,
hedging
instruments
are
imperfect
tools
and
their
effectiveness
depends
on
the
degree
of
price
correlation
between
the
derivative
instruments
and
the
assets
being
hedged.
Imperfect
correlation
may
be
caused
by
several
factors,
including
temporary
price
disparities
between
derivative
markets
and
markets
for
the
underlying
assets.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.53%,
1.78%
and
1.44%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
DIVERSIFIED
ARBITRAGE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ADAIX
-3.29%
8.77%
7.37%
4.10%
4.22%
1/15/2009
Fund
-
Class
N:
ADANX
-3.54%
8.47%
7.12%
3.84%
3.95%
1/15/2009
Fund
-
Class
R6:
QDARX
-3.22%*
8.83%
7.48%
N/A
4.71%
9/2/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.76%
0.59%
1/15/2009
*
Total
return
information
is
based
on
net
asset
values
calculated
for
shareholder
transactions.
Certain
adjustments
were
made
to
the
net
assets
of
the
Fund
at
12/31/2022
for
financial
reporting
purposes,
and
as
a
result,
the
net
asset
values
for
shareholder
transactions
and
the
total
returns
based
on
those
net
asset
values
differ
from
the
adjusted
net
asset
values
and
total
returns
for
financial
reporting.
7
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
AQR
DIVERSIFIED
ARBITRAGE
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
12/31/2012
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFYING
STRATEGIES
FUND
8
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Diversifying
Strategies
Fund
(the
“Fund”)
returned
14.69%,
net
of
fees,
(Class
I
shares)
in
2022.
Over
the
year,
the
Fund
realized
a
9.0%
annualized
daily
volatility
1
and
a
-0.3
correlation
to
global
equities,
as
represented
by
the
MSCI
World
Index.
The
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index,
which
is
the
Fund’s
benchmark,
returned
1.46%
over
this
period.
The
Fund
seeks
to
provide
an
all-in-one
alternatives
solution
through
an
allocation
to
six
alternative
AQR
Funds.
Leveraging
AQR’s
research
and
20-year
track
record
in
alternative
investing,
the
Fund
is
designed
to
complement
an
investor’s
traditional
stock
and
bond
portfolio.
The
Fund
invests
in
a
portfolio
of
AQR
Funds,
providing
exposure
to
both
Active
Multi-Asset
strategies
and
Absolute
Return
strategies:
Active
Multi-Asset
Strategies:
seek
to
provide
tactical
and
risk-managed
allocations
among
major
asset
classes
across
global
markets.
These
strategies
are
expected
to
have
some
correlation
to
traditional
asset
classes
over
the
long-term.
Absolute
Return
Strategies:
seek
to
capture
returns
from
well-established
investment
styles,
such
as
value
and
momentum.
Certain
strategies
may
also
provide
exposure
to
less
accessible
types
of
returns.
These
strategies
tend
to
be
uncorrelated
to
traditional
asset
classes
over
the
long-term.
Gains
were
entirely
driven
by
the
Absolute
Return
Strategies,
whereas
the
Active
Multi-Asset
strategies
partially
detracted.
Performance
across
the
diverse
set
of
Absolute
Return
strategies
was
almost
entirely
positive.
Gains
were
led
by
the
exposure
to
the
style
premia,
equity
market
neutral,
trend
and
global
macro
strategies.
The
stock
selection
strategy
was
the
dominant
driver
of
returns
for
style
premia,
driven
largely
by
value,
while
the
macro
asset
groups
contributed
more
modestly.
The
equity
market
neutral
strategy
performance
was
in
large
part
attributable
to
U.S.
and
European
stock
selection,
with
the
most
gains
coming
from
the
value
and
defensive
themes.
The
trend
and
global
macro
strategies
also
contributed
positively,
with
gains
primarily
driven
by
short
positioning
in
fixed
income
instruments.
The
arbitrage
strategy
was
marginally
down.
The
Active
Multi-Asset
strategies
were
impacted
by
sell-offs
in
traditional
equity
and
fixed
income
markets.
Central
banks
across
the
developed
work
embarked
in
monetary
tightening
as
inflation
increased.
The
strategies
lost
due
to
exposures
in
equities
and
nominal
bonds.
Gains
derived
from
commodity
exposures
were
not
enough
to
offset
those
losses.
1
Volatility
is
a
statistical
measurement
of
the
dispersion
of
returns
of
a
security
or
fund
or
index,
as
measured
by
the
annualized
standard
deviation
of
its
returns.
Higher
volatility
generally
indicates
higher
risk.
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Andrea
Frazzini
Principal
Yao
Hua
Ooi
Principal
John
Huss
Principal
Lars
Nielsen
Principal
9
Shareholder
Letter
(Unaudited)
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
2.30%,
2.42%
and
2.20%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
DIVERSIFYING
STRATEGIES
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
6/8/2020
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
DIVERSIFYING
STRATEGIES
FUND
1
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QDSIX
14.69%
12.14%
6/8/2020
Fund
-
Class
N:
QDSNX
14.49%
11.91%
6/8/2020
Fund
-
Class
R6:
QDSRX
14.84%
12.29%
6/8/2020
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.62%
6/8/2020
Shareholder
Letter
(Unaudited)
AQR
EQUITY
MARKET
NEUTRAL
FUND
10
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Equity
Market
Neutral
Fund
(the
“Fund”)
seeks
to
provide
investors
with
returns
from
potential
gains
of
its
long
and
short
equity
positions.
The
Fund
is
designed
to
be
market,
or
beta-neutral,
meaning
the
Fund
seeks
to
achieve
returns
that
are
not
closely
correlated
with
the
returns
of
the
equity
markets
in
which
the
Fund
invests.
Accordingly,
the
Fund,
on
average,
intends
to
target
a
portfolio
beta
of
zero
over
a
normal
business
cycle.
The
Fund
pursues
its
investment
objective
by
investing
at
least
80%
of
its
net
assets
(including
borrowings
for
investment
purposes)
in
equity
securities
and
equity
related
derivative
instruments.
Since
the
Fund
targets
a
beta
of
zero,
an
appropriate
benchmark
is
U.S.
cash
returns,
which
remain
at
relatively
low
levels.
In
2022,
the
Fund’s
Class
I
shares
returned
27.22%,
net
of
fees.
The
Fund’s
benchmark
(ICE
BofA
U.S.
3-Month
Treasury
Bill
Index)
delivered
a
return
of
1.46%
over
this
period.
As
such,
the
Fund
outperformed
its
benchmark.
Geographically,
stocks
in
the
U.S.,
Japan,
and
Germany
contributed
most
to
overall
returns.
At
the
sector
level,
stock
selection
within
Industrials,
Financials,
and
Materials
drove
gains.
Securities
in
the
Fund
remained
globally
diversified
with
over
50%
of
the
Fund
invested
outside
of
the
U.S.
As
of
the
end
of
the
year,
our
largest
sector
overweight
was
in
Energy,
while
our
largest
underweight
was
in
Healthcare.
The
Fund
is
intended
to
maintain
neutrality
to
equity
markets,
and
incorporates
constraints
to
limit
exposure
to
macroeconomic
factors.
In
2022,
we
have
seen
a
continuation
of
positive
Value
performance.
Despite
some
month-to-month
volatility
and
detraction
in
the
third
quarter,
Value
had
an
impressive
year
as
persistent
inflation
and
subsequent
interest
rate
hikes
appear
to
have
negatively
impacted
most
high-growth
investment
strategies.
Global
financial
conditions
have
tightened
in
response
to
recent
rate
increases,
as
investors
face
ongoing
uncertainty
around
the
outlook
for
inflation,
monetary
policy,
and
growth.
A
slowdown
in
Chinese
growth
over
the
period,
in
part
due
to
a
series
of
COVID-19-related
lockdowns
and
a
crisis
in
the
country’s
real
estate
sector,
also
weighed
on
market
performance.
Lastly,
Russia's
invasion
of
Ukraine
and
its
effect
on
the
global
energy
market
has
clouded
the
economic
outlook
in
Europe,
though
a
warm
winter
and
an
influx
of
supply
from
other
parts
of
the
world
have
helped
the
continent
avoid
energy
shortages
thus
far.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
COVID-19
environment,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
make
the
necessary
adjustments
to
implement
our
strategies
in
accordance
with
stated
objectives.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
The
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
We
believe
that
the
normalization
of
the
extreme
dislocation
seen
over
the
last
few
years
may
continue
to
be
a
tailwind
for
Value
performance.
One
way
in
which
we
can
measure
the
dislocation
observed
in
Value
is
by
looking
at
Value
spreads,
which
measure
the
difference
in
valuation
multiples
between
cheap
and
expensive
companies.
Over
the
last
few
years,
we
have
seen
spreads
move
to
extreme
levels
–
similar
to
those
observed
leading
up
to
the
2000s
Tech
Bubble.
As
a
result,
our
value-based
investments
have
contributed
positively
through
2022
as
the
Value
stock
performance
recovery
has
continued.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
J.
Huss
Principal
Lars
Nielsen
Principal
11
Shareholder
Letter
(Unaudited)
AQR
EQUITY
MARKET
NEUTRAL
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.89%,
2.15%
and
1.81%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
EQUITY
MARKET
NEUTRAL
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
10/7/2014
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
EQUITY
MARKET
NEUTRAL
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QMNIX
27.22%
6.39%
-1.16%
3.40%
10/7/2014
Fund
-
Class
N:
QMNNX
27.03%
6.19%
-1.38%
3.15%
10/7/2014
Fund
-
Class
R6:
QMNRX
27.33%
6.48%
-1.08%
3.47%
10/7/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.92%
10/7/2014
Shareholder
Letter
(Unaudited)
AQR
LONG-SHORT
EQUITY
FUND
12
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Long-Short
Equity
Fund
(the
“Fund”)
seeks
to
provide
higher
risk-adjusted
returns
with
lower
volatility
relative
to
global
equity
markets.
It
does
so
by
using
three
different
sources
of
return:
1)
the
potential
gains
from
its
long
and
short
equity
positions,
2)
overall
exposure
to
equity
markets,
and
3)
the
tactical
variation
of
its
net
exposure
to
equity
markets.
The
strategy
primarily
seeks
to
add
alpha
via
its
long-
short
(market-neutral)
equity
portfolio,
which
includes
the
use
of
derivatives
such
as
swaps
and
futures.
It
also
manages
its
beta
relative
to
the
MSCI
World
Index
to
a
long-term
target
of
0.5,
and
within
a
shorter-term
range
of
0.3
to
0.7,
depending
on
our
market
views.
In
2022,
the
Class
I
shares
of
the
Fund
returned
19.11%,
net
of
fees.
Positive
performance
was
driven
by
the
Fund’s
long-short
stock
selection
component.
The
Fund's
custom
benchmark
is
comprised
as
follows:
50%
MSCI
World
Index
and
50%
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index.
In
2022,
the
MSCI
World
Index
returned
-18.14%
and
the
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
returned
1.46%,
and
the
custom
benchmark
returned
-8.31%.
As
such,
the
Fund
outperformed
its
benchmark.
Geographically,
stocks
in
the
U.S.,
Japan,
and
Germany
contributed
most
to
overall
returns.
At
the
sector
level,
stock
selection
within
Industrials,
Financials,
and
Materials
drove
gains.
The
Fund
experienced
negative
performance
from
its
static
long-term
beta
exposure
of
0.5
to
the
MSCI
World
Index,
given
the
index’s
underperformance
in
2022.
The
tactical
market
exposure
(the
desired
deviation
from
a
beta
of
0.5)
portion
of
the
Fund
contributed
to
positive
performance.
Securities
in
the
Fund
remained
globally
diversified
with
over
50%
of
the
Fund
invested
outside
of
the
U.S.
As
of
the
end
of
the
year,
our
largest
sector
overweight
was
in
Energy,
while
our
largest
underweight
was
in
Healthcare.
The
overall
Fund
is
structured
to
maintain
some
passive
exposure
to
equity
markets,
while
also
employing
a
long-short
stock
selection
strategy
that
in
itself
is
intended
to
maintain
neutrality
to
equity
markets.
In
2022,
we
have
seen
a
continuation
of
positive
Value
performance.
Despite
some
month-to-month
volatility
and
detraction
in
the
third
quarter,
Value
had
an
impressive
year
as
persistent
inflation
and
subsequent
interest
rate
hikes
appear
to
have
negatively
impacted
most
high-growth
investment
strategies.
Global
financial
conditions
have
tightened
in
response
to
recent
rate
increases,
as
investors
face
ongoing
uncertainty
around
the
outlook
for
inflation,
monetary
policy,
and
growth.
A
slowdown
in
Chinese
growth
over
the
period,
in
part
due
to
a
series
of
COVID-19-related
lockdowns
and
a
crisis
in
the
country’s
real
estate
sector,
also
weighed
on
market
performance.
Lastly,
Russia's
invasion
of
Ukraine
and
its
effect
on
the
global
energy
market
has
clouded
the
economic
outlook
in
Europe,
though
a
warm
winter
and
an
influx
of
supply
from
other
parts
of
the
world
have
helped
the
continent
avoid
energy
shortages
thus
far.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
COVID-19
environment,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
make
the
necessary
adjustments
to
implement
our
strategies
in
accordance
with
stated
objectives.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
The
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
J.
Huss
Principal
Lars
Nielsen
Principal
13
Shareholder
Letter
(Unaudited)
AQR
LONG-SHORT
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
We
believe
that
the
normalization
of
the
extreme
dislocation
seen
over
the
last
few
years
may
continue
to
be
a
tailwind
for
Value
performance.
One
way
in
which
we
can
measure
the
dislocation
observed
in
Value
is
by
looking
at
Value
spreads,
which
measure
the
difference
in
valuation
multiples
between
cheap
and
expensive
companies.
Over
the
last
few
years,
we
have
seen
spreads
move
to
extreme
levels
–
similar
to
those
observed
leading
up
to
the
2000s
Tech
Bubble.
As
a
result,
our
value-based
investments
have
contributed
positively
through
2022
as
the
Value
stock
performance
recovery
has
continued.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.37%,
1.63%
and
1.28%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LONG-SHORT
EQUITY
FUND
VS.
50%
MSCI
WORLD
INDEX**/50%
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
OF
$10,000
INVESTED
ON
7/16/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
**
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
LONG-SHORT
EQUITY
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QLEIX
19.11%
10.36%
2.62%
8.62%
7/16/2013
Fund
-
Class
N:
QLENX
18.84%
10.06%
2.34%
8.34%
7/16/2013
Fund
-
Class
R6:
QLERX
19.25%
10.48%
2.71%
7.54%
9/2/2014
50%
MSCI
World
Index**/50%
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
-8.31%
3.36%
4.10%
4.59%
7/16/2013
MSCI
World
Index**
-18.14%
4.94%
6.14%
7.92%
7/16/2013
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.80%
7/16/2013
Shareholder
Letter
(Unaudited)
AQR
MACRO
OPPORTUNITIES
FUND
14
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Macro
Opportunities
Fund
(the
“Fund”)
invests
across
a
wide
range
of
asset
classes,
including
fixed
income,
currencies,
commodities,
and
equities
through
the
use
of
derivatives
such
as
futures,
forwards,
and
swaps.
Within
each
asset
class,
the
Fund
takes
both
relative
value
and
directional
positions.
The
targeted
annualized
volatility
for
the
Fund
is
10%,
on
average,
which
varies
over
time
based
on
attractiveness
of
opportunities
within
the
different
assets
and
asset
classes
that
the
Fund
trades.
While
the
strategy
is
long-term
market
neutral,
it
can
take
directional
views
over
the
short
term.
We
expect
that
the
correlation
of
this
strategy
to
equity
markets
will
average
close
to
zero
over
a
full
economic
cycle.
Our
strategy
invests
across
liquid
markets
primarily
on
the
basis
of
macroeconomic
news
and
trends,
an
investment
approach
we
call
macro
momentum.
We
evaluate
both
quantitative
and
qualitative
indicators
across
a
variety
of
dimensions,
from
growth
and
inflation
to
monetary
policy
and
international
trade.
By
integrating
both
quantitative
and
discretionary
indicators
in
a
bottom-up,
risk-controlled
portfolio
construction,
we
seek
to
capture
what
we
believe
to
be
the
best
features
of
both
approaches
while
maintaining
the
benefits
of
a
systematic
and
disciplined
process.
In
addition
to
macro
momentum,
we
also
consider
other
indicators,
including
measures
of
price
momentum,
value
and
carry.
This
comprehensive
approach
provides
a
more
holistic
picture
of
each
asset’s
attractiveness.
Macro
momentum
tends
to
drive
asset
positioning
(long
or
short)
in
our
portfolio,
however,
position
direction
and
sizing
will
vary
based
on
the
degree
of
agreement
between
economic
fundamentals,
on
the
one
hand,
and
price
momentum,
value
and
carry,
on
the
other.
The
bottom-up
portfolio
construction
–
in
which
we
evaluate
the
attractiveness
of
each
asset
across
a
large
number
of
dimensions
–
allows
us
to
build
a
highly-diversified
portfolio
that
does
not
depend
on
a
few
“best
ideas.”
The
Fund
concluded
2022
with
a
positive
overall
return,
outperforming
its
benchmark.
The
Fund’s
Class
I
shares
returned
29.28%,
net
of
fees,
versus
a
1.46%
return
for
its
benchmark,
the
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index.
By
asset
class,
gross
of
fees,
fixed
income
and
equities
drove
Fund
gains,
commodities
were
approximately
flat,
and
currencies
were
down.
Further
details
on
asset
class
performance
can
be
found
below.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
While
the
intensity
of
the
COVID-19
pandemic
waned
substantially
in
most
countries
in
2022,
the
year
was
nonetheless
a
turbulent
one
for
the
global
economy
and
financial
markets.
Contrary
to
consensus
forecasts
at
the
start
of
the
year,
inflation
worsened
substantially
in
2022
as
supply
chain
difficulties
persisted
and
labor
markets
in
many
countries
showed
signs
of
overheating.
Inflationary
pressures
were
further
exacerbated
by
disruptions
to
commodity
markets
following
Russia’s
invasion
of
Ukraine.
Central
Banks,
who
had
mostly
downplayed
inflationary
concerns
in
2021,
were
forced
to
tighten
aggressively
in
2022
as
inflation
readings
continued
to
march
higher.
Policymakers
in
most
major
economies
ultimately
increased
policy
rates
substantially,
triggering
historically
large
losses
in
bond
markets.
Rising
interest
rates
and
worsening
growth
trends
weighed
heavily
on
equity
markets
as
well,
with
global
benchmarks
suffering
the
largest
annual
losses
since
the
global
financial
crisis.
Equities
The
Fund
was
short
equities,
which
profited
as
high
inflation
pressured
central
banks
to
hike
rates
and
slow
down
the
economy.
The
short
position
was
driven
by
agreement
across
factor
types.
The
Fund’s
comprehensive
set
of
macro
momentum
indicators
were
especially
bearish
equities.
Relative
value
contributions
to
equity
returns
were
mostly
muted
but
trades
on
convergence
of
deep
value
dislocations
were
profitable.
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Yao
Hua
Ooi
Principal
Jonthan
Fader
Managing
Director
Erik
Stamelos
Managing
Director
15
Shareholder
Letter
(Unaudited)
AQR
MACRO
OPPORTUNITIES
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Fixed
Income
By
asset
class,
fixed
income
was
the
largest
contributor
to
2022
gains
in
the
Fund.
The
Fund
was
short
bonds
and
interest
rates
and
long
yield
curve
flatteners,
profiting
as
inflation
concerns
rose
and
central
banks
globally
hiked
rates.
This
positioning
was
driven
by
agreement
across
macro
momentum
indicators,
particularly
those
capturing
inflation
and
monetary
policy.
Relative
value
positioning
also
contributed
to
gains.
In
particular,
the
strategy
profited
from
a
long
Japanese
Government
Bonds
(“JGB”)
vs
U.K.
gilts
and
U.S.
bond
futures
position.
JGBs
outperformed
as
the
Bank
of
Japan
(“BoJ”)
maintained
its
yield
cap
for
most
of
the
year.
U.K.
gilts
and
U.S.
bonds
sold
off
due
to
inflation
concerns.
Similar
relative
value
positioning
within
interest
rates
was
also
profitable.
Currencies
Currencies
was
the
only
asset
class
that
detracted
in
2022.
Through
the
third
quarter,
losses
were
entirely
driven
by
bets
on
the
convergence
of
large
dislocations.
In
particular,
a
long
position
in
the
JPY
vs
USD
detracted
as
the
USD
rallied
in
response
to
the
Federal
Reserve
hawkishness
and
the
JPY
sold
off
in
response
to
the
BoJ’s
dovish
stance
and
yield
cap.
Following
the
BoJ’s
decision
to
raise
the
yield
cap
in
the
fourth
quarter,
this
trade
rebounded
but
offsetting
positioning
based
on
macro
momentum
curbed
profits.
Commodities
Commodities
were
nearly
flat
over
the
year.
In
the
first
half
of
the
year,
commodities
were
up
driven
by
a
long
position
in
nickel
which
profited
during
the
short
squeeze.
Commodity
gains
early
in
the
year
also
came
from
long
positions
in
energies
which
profited
due
to
supply
constraints
driven
by
Russia’s
invasion
of
Ukraine.
Losses
in
the
second
half
of
the
year
nearly
offset
gains
in
the
first
half
as
risk-off
sentiment
weighed
on
expectations
for
growth
and
oil
demand,
driving
losses
in
long
energies
positioning.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
2.06%,
2.35%
and
1.98%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
MACRO
OPPORTUNITIES
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QGMIX
29.28%
7.83%
7.23%
3.82%
4/8/2014
Fund
-
Class
N:
QGMNX
28.87%
7.58%
6.98%
3.57%
4/8/2014
Fund
-
Class
R6:
QGMRX
29.38%
7.95%
7.33%
4.43%
9/2/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.87%
4/8/2014
16
Shareholder
Letter
(Unaudited)
AQR
MACRO
OPPORTUNITIES
FUND
AQR
Funds
|
Annual
Report
|
December
2022
AQR
MACRO
OPPORTUNITIES
FUND
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
4/8/2014
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
17
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Managed
Futures
Strategy
Fund
(the
“Fund”)
actively
invests
in
futures,
futures-related
instruments,
forward
contracts
and
swaps,
both
long
and
short,
across
global
equity,
fixed
income,
commodity,
and
currency
markets.
The
Fund
uses
both
short-term
and
long-term
price-based
trend-following
signals
as
well
as
non-price
measures
of
trend
following
to
attempt
to
benefit
from
price
trends
in
commodity,
currency,
equity,
volatility,
credit
and
fixed
income
instruments.
Trend-following
aims
to
go
long
markets
with
favorable
trends
and
short
markets
with
unfavorable
trends.
We
expect
that
the
correlation
of
this
strategy
to
equity
markets
will
average
close
to
zero
over
a
full
economic
cycle.
That
said,
the
strategy
is
expected
to
exhibit
a
positive
beta
when
equity
markets
have
been
rising
and
a
negative
beta
when
they
have
been
falling.
The
strategy’s
average
annualized
volatility
target
is
10%,
which
we
allow
to
vary
based
on
our
portfolio
construction
and
risk
management
process.
The
Fund
entered
the
year
targeting
11.3%
volatility
and
ended
the
year
with
a
volatility
target
of
9.6%.
The
Fund
produced
its
best
annual
return
since
inception.
The
Fund’s
Class
I
shares
returned
35.38%,
net
of
fees,
versus
a
1.46%
return
for
its
benchmark,
the
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index.
All
asset
classes
contributed
positively,
as
the
environment
was
highly
favorable
for
the
Fund’s
trend-following
strategy.
By
asset
class,
gross
of
fees,
fixed
income
contributed
23.6%,
commodities
7.9%,
equities
4.1%,
and
currencies
1.5%.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
By
signal
type,
the
Fund
generated
substantial
gains
from
non-price
signals,
which
look
to
measure
trends
in
economic
fundamentals
to
better
identify
price-trend
opportunities.
Non-price
signals
contributed
28.0%
to
returns,
followed
by
long-term
price
trend
signals
which
contributed
8.3%.
Short-term
price
trend
signals
had
relatively
modest
performance
impact,
generating
a
positive
0.8%
return.
In
2022,
rising
inflation
prompted
central
banks
globally
to
significantly
tighten
monetary
policy.
These
policy
actions
prompted
large
moves
in
fixed
income
markets,
which
proved
fruitful
for
the
Fund’s
fixed
income
strategies.
Within
those
strategies,
all
signal
types
contributed
positively,
with
the
most
significant
contribution
coming
from
non-price
trend
signals
focused
on
inflation
trends.
These
signals
maintained
net
short
views
on
global
short-term
interest
rate
and
bond
markets.
Sustained
bearish
price
trends
in
these
markets
generated
significant
profits
for
the
Fund.
Notably,
the
Fund
maintained
net
short
fixed
income
exposure,
though
with
meaningfully
reduced
exposure,
by
year-end.
Rising
geopolitical
risk
was
another
theme
the
Fund
benefited
from
in
2022.
Specifically,
the
conflict
in
eastern
Europe
prompted
a
surge
in
commodity
prices
early
in
the
year.
Given
commodity
prices
rose
prior
to
2022,
the
Fund
was
positioned
net
long
commodities
at
the
start
of
the
year
and
benefited
from
large
and
sustained
commodity
price
trends,
especially
in
energy
and
metals
markets.
Notably,
the
Fund
quickly
reduced
exposure
and
became
overall
net
short,
largely
driven
by
non-price
trend
signals.
As
a
result
of
this
reactive
and
dynamic
positioning,
the
Fund
was
able
to
hold
onto
its
gains
within
the
commodity
strategy
over
the
year.
All
signal
types
contributed
positively
to
returns.
Trends
in
equities
produced
gains,
driven
by
our
more
unique
approach
to
trend-following
on
equity
factors.
The
Fund
benefited
from
sustained
trends
across
several
equity
factors,
benefiting
meaningfully
from
the
sustained
trend
in
the
value
factor.
On
the
other
hand,
trend-following
in
traditional
equity
indices
had
small
losses
and
offset
some
of
those
gains,
as
equity
markets
whipsawed
several
times
during
the
year.
Price-
trend
signals
performed
poorly
in
traditional
equities,
while
non-price
trend
signals
fared
better
due
to
stable
net
short
views.
Exposure
to
equities
remained
net
short
throughout
the
year.
Finally,
trends
in
currencies
produced
gains
given
a
strong
trend
in
the
U.S.
dollar
vs.
the
euro
and
Japanese
yen
for
most
of
the
year.
A
large
reversal
at
the
end
of
the
year
did
cause
offsetting
losses,
but
overall
performance
remained
positive.
Price-trend
signals
had
near
flat
impact
to
performance,
while
non-price
signals
benefited.
As
a
result
of
signal
disagreement,
the
Fund
meaningfully
reduced
its
U.S.
dollar
net
long
exposure
to
end
the
year
with
near-neutral
exposure.
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Yao
Hua
Ooi
Principal
Erik
Stamelos
Managing
Director
18
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
In
2022,
the
Fund
outperformed
the
industry
as
gauged
by
the
SG
Trend
Index,
with
performance
differences
within
expected
dispersion.
Relative
outperformance
was
mainly
due
to
the
upweighting
of
more
innovative
non-price
signals,
as
well
as
due
to
newer
markets
added
to
the
Fund
late
in
2021
and
throughout
2022.
The
Fund
is
pursuing
an
active
research
agenda
to
continue
to
improve
its
ability
to
benefit
from
market
trends.
Diversification
does
not
eliminate
the
risk
of
experiencing
investment
loss.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.25%,
1.48%
and
1.16%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
MANAGED
FUTURES
STRATEGY
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AQMIX
35.38%
10.08%
4.38%
3.24%
2.61%
1/5/2010
Fund
-
Class
N:
AQMNX
35.04%
9.83%
4.10%
2.96%
2.34%
1/5/2010
Fund
-
Class
R6:
AQMRX
35.41%
10.17%
4.45%
N/A
3.23%
9/2/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.76%
0.61%
1/5/2010
19
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
AQR
MANAGED
FUTURES
STRATEGY
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
12/31/2012
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
20
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Managed
Futures
Strategy
HV
Fund
(the
“Fund”)
actively
invests
in
futures,
futures-related
instruments,
forward
contracts
and
swaps,
both
long
and
short,
across
global
equity,
fixed
income,
commodity,
and
currency
markets.
The
Fund
uses
both
short-term
and
long-term
price-based
trend-following
signals
as
well
as
non-price
measures
of
trend
following
to
attempt
to
benefit
from
price
trends
in
commodity,
currency,
equity,
volatility,
credit
and
fixed
income
instruments.
Trend-following
aims
to
go
long
markets
with
favorable
trends
and
short
markets
with
unfavorable
trends.
We
expect
that
the
correlation
of
this
strategy
to
equity
markets
will
average
close
to
zero
over
a
full
economic
cycle.
That
said,
the
strategy
is
expected
to
exhibit
a
positive
beta
when
equity
markets
have
been
rising
and
a
negative
beta
when
they
have
been
falling.
The
strategy’s
average
annualized
volatility
target
is
15%,
which
we
allow
to
vary
based
on
our
portfolio
construction
and
risk
management
process.
The
Fund
entered
the
year
targeting
16.8%
volatility
and
ended
the
year
with
a
volatility
target
of
14.4%.
The
Fund
produced
its
best
annual
return
since
inception.
The
Fund’s
Class
I
shares
returned
50.00%,
net
of
fees,
versus
a
1.46%
return
for
its
benchmark,
the
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index.
All
asset
classes
contributed
positively,
as
the
environment
was
highly
favorable
for
the
Fund’s
trend-following
strategy.
By
asset
class,
gross
of
fees,
fixed
income
contributed
36.7%,
commodities
8.5%,
equities
5.1%,
and
currencies
2.2%.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
By
signal
type,
the
Fund
generated
substantial
gains
from
non-price
signals,
which
look
to
measure
trends
in
economic
fundamentals
to
better
identify
price-trend
opportunities.
Non-price
signals
contributed
41.8%
to
returns,
followed
by
long-term
price
trend
signals
which
contributed
11.0%.
Short-term
price
trend
signals
had
relatively
modest
performance
impact,
generating
a
-0.3%
return.
In
2022,
rising
inflation
prompted
central
banks
globally
to
significantly
tighten
monetary
policy.
These
policy
actions
prompted
large
moves
in
fixed
income
markets,
which
proved
fruitful
for
the
Fund’s
fixed
income
strategies.
Within
those
strategies,
all
signal
types
contributed
positively,
with
the
most
significant
contribution
coming
from
non-price
trend
signals
focused
on
inflation
trends.
These
signals
maintained
net
short
views
on
global
short-term
interest
rate
and
bond
markets.
Sustained
bearish
price
trends
in
these
markets
generated
significant
profits
for
the
Fund.
Notably,
the
Fund
maintained
net
short
fixed
income
exposure,
though
with
meaningfully
reduced
exposure,
by
year-end.
Rising
geopolitical
risk
was
another
theme
the
Fund
benefited
from
in
2022.
Specifically,
the
conflict
in
Eastern
Europe
prompted
a
surge
in
commodity
prices
early
in
the
year.
Given
commodity
prices
rose
prior
to
2022,
the
Fund
was
positioned
net
long
commodities
at
the
start
of
the
year
and
benefited
from
large
and
sustained
commodity
price
trends,
especially
in
energy
and
metals
markets.
Notably,
the
Fund
quickly
reduced
exposure
and
became
overall
net
short,
largely
driven
by
non-price
trend
signals.
As
a
result
of
this
reactive
and
dynamic
positioning,
the
Fund
was
able
to
hold
onto
its
gains
within
the
commodity
strategy
over
the
year.
All
signal
types
contributed
positively
to
returns.
Trends
in
equities
produced
gains,
driven
by
our
more
unique
approach
to
trend-following
on
equity
factors.
The
Fund
benefited
from
sustained
trends
across
several
equity
factors,
benefiting
meaningfully
from
the
sustained
trend
in
the
value
factor.
On
the
other
hand,
trend-following
in
traditional
equity
indices
had
small
losses
and
offset
some
of
those
gains,
as
equity
markets
whipsawed
several
times
during
the
year.
Price-
trend
signals
performed
poorly
in
traditional
equities,
while
non-price
trend
signals
fared
better
due
to
stable
net
short
views.
Exposure
to
equities
remained
net
short
throughout
the
year.
Finally,
trends
in
currencies
produced
gains
given
a
strong
trend
in
the
U.S.
dollar
vs.
the
euro
and
Japanese
yen
for
most
of
the
year.
A
large
reversal
at
the
end
of
the
year
did
cause
offsetting
losses,
but
overall
performance
remained
positive.
Price-trend
signals
had
a
modest
impact
to
performance,
while
non-price
signals
benefited.
As
a
result
of
signal
disagreement,
the
Fund
meaningfully
reduced
its
U.S.
dollar
net
long
exposure
to
end
the
year
with
near-neutral
exposure.
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Yao
Hua
Ooi
Principal
Erik
Stamelos
Managing
Director
21
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
AQR
Funds
|
Annual
Report
|
December
2022
In
2022,
the
Fund
outperformed
the
industry
as
gauged
by
the
SG
Trend
Index,
with
performance
differences
within
expected
dispersion.
Relative
outperformance
was
mainly
due
to
the
upweighting
of
more
innovative
non-price
signals,
as
well
as
due
to
newer
markets
added
to
the
Fund
late
in
2021
and
throughout
2022.
The
Fund
is
pursuing
an
active
research
agenda
to
continue
to
improve
its
ability
to
benefit
from
market
trends.
Diversification
does
not
eliminate
the
risk
of
experiencing
investment
loss.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.90%,
2.16%
and
1.81%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QMHIX
50.00%
13.42%
4.91%
3.46%
7/16/2013
Fund
-
Class
N:
QMHNX
49.52%
13.15%
4.67%
3.20%
7/16/2013
Fund
-
Class
R6:
QMHRX
49.95%
13.53%
5.03%
3.62%
9/2/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.80%
7/16/2013
22
Shareholder
Letter
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
AQR
Funds
|
Annual
Report
|
December
2022
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
7/16/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
23
Shareholder
Letter
(Unaudited)
AQR
MULTI-ASSET
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
For
the
year
ended
December
31,
2022,
the
AQR
Multi-Asset
Fund
(the
“Fund”)
Class
I
shares
returned
-10.52%,
net
of
fees,
and
realized
an
annualized
volatility
of
10.9%.
The
Fund's
benchmark
(the
“Benchmark”)
is
comprised
as
follows:
60%
S&P
500®
Index
and
40%
Bloomberg
Barclays®
U.S.
Aggregate
Bond
Index.
For
the
year
ended
December
31,
2022,
the
S&P
500®
Index
returned
-18.11%,
the
Bloomberg
Barclays®
U.S.
Aggregate
Bond
Index
returned
-13.01%,
and
the
Benchmark
returned
-15.79%
with
an
annualized
volatility
of
15.4%.
The
Fund’s
net
assets
across
all
share
classes
were
over
$143
million
at
the
end
of
2022.
Using
derivatives
such
as
futures,
swaps,
and
forwards,
as
well
as
securities,
the
Fund
invests
across
a
wide
variety
of
global
markets
—
including,
during
the
period
presented
in
this
report,
developed
market
equities,
developed
and
emerging
market
currencies,
global
developed
nominal
government
bonds,
global
developed
inflation-linked
government
bonds,
and
commodities
—
in
an
attempt
to
build
a
truly
diversified
portfolio
where
all
markets
matter,
but
no
one
market
matters
too
much.
The
Fund’s
loss
stemmed
from
exposures
in
nominal
bonds
(-11.3%),
inflation-linked
bonds
(-2.3%),
equities
(-1.6%),
and
currencies
(-0.4%),
and
was
partially
offset
by
an
exposure
to
commodities
(4.3%).
Active
asset
allocation
and
security
selection
benefited
the
portfolio
on
the
year.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Continuing
from
2021,
inflation
was
persistently
high.
Energy
prices
reached
multi-year
highs
and
price
increases
were
rampant
across
sectors.
As
a
result,
central
banks
across
the
world
continued
to
implement
tighter
monetary
policy.
The
European
Central
Bank
started
winding
down
its
asset
purchase
program,
and
the
Federal
Reserve
continued
with
quantitative
tightening
too.
Emerging
market
central
banks
were
generally
more
aggressive
at
the
start
of
the
year
as
several
instituted
multiple
sharp
rate
hikes.
High
inflation
and
hawkish
central
banks
put
upward
pressure
on
nominal
yields
and
most
commodity
markets.
The
tightening
monetary
policy
environment
led
to
equities
performing
poorly
as
concerns
over
a
recession
grew.
While
the
intensity
of
the
COVID-19
pandemic
waned
substantially
in
most
countries
in
2022,
the
year
was
nonetheless
a
turbulent
one
for
the
global
economy
and
financial
markets.
Inflationary
pressures
were
further
exacerbated
by
disruptions
to
commodity
markets
following
Russia’s
invasion
of
Ukraine.
The
Fund
seeks
to
allocate
among
asset
classes
in
a
way
that
avoids
excessive
risk
exposure
to
any
single
asset
class
or
risk
premium,
which
means
that
instruments
with
less
risk
will
generally
be
allocated
more
capital
than
instruments
that
are
deemed
riskier.
As
markets
move
through
different
risk
regimes,
the
portfolio
is
dynamically
adjusted
with
the
goal
of
keeping
overall
portfolio
risk
and
the
balance
of
risk
across
asset
classes
steady
through
time.
We
believe
this
leads
to
more
consistent
results
across
macroeconomic
environments,
reduces
tail
risks,
and
enables
investors
to
remain
invested
through
difficult
market
environments.
In
addition,
we
also
adjust
position
sizes
to
seek
to
capture
the
opportunity
set
within
and
across
asset
classes
based
on
AQR’s
proprietary
expected
return
models.
The
ultimate
goal
is
to
build
a
portfolio
that,
in
the
long
run,
will
deliver
higher
returns
at
a
risk
level
similar
to
that
of
traditional
portfolios
by
combining
a
risk-based
asset
allocation
with
return-enhancing
active
views.
Jon
Liew
Founding
Principal
Jordan
Brooks
Principal
John
Huss
Principal
Michael
Mendelson
Principal
Lars
Nielsen
Principal
Yao
Hua
Ooi
Principal
24
Shareholder
Letter
(Unaudited)
AQR
MULTI-ASSET
FUND
AQR
Funds
|
Annual
Report
|
December
2022
The
Fund
is
generally
expected
to
remain
net
long
the
asset
classes
in
which
it
invests
but
does
allow
for
a
limited
amount
of
shorting.
The
targeted
annualized
volatility
for
the
Fund
is
expected
to
vary
over
time
based
on
our
perceptions
of
the
opportunity
sets
within
the
different
asset
classes
we
trade
but
generally
remain
between
7%
and
13%.
At
the
end
of
the
year,
the
Fund
had
bullish
views
on
commodities
and
emerging
currencies,
and
bearish
views
on
nominal
bonds,
equities
and
inflation-linked
bonds.
Total
exposures
ended
the
year
below
longer-term
expectations
as
forecasted
risk
levels
were
above
historical
averages.
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.16%,
1.41%
and
1.06%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
MULTI-ASSET
FUND
VS.60%S&P
500®
INDEX/40%
BLOOMBERG
BARCLAYS®
U.S.
AGGREGATE
BOND
INDEX
VALUE
OF
$10,000
INVESTED
ON
12/31/2012
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
MULTI-ASSET
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AQRIX
-10.52%
1.66%
3.42%
4.09%
5.22%
9/29/2010
Fund
-
Class
N:
AQRNX
-10.70%
1.41%
3.15%
3.81%
4.94%
9/29/2010
Fund
-
Class
R6:
AQRRX
-10.43%
1.76%
3.49%
N/A
3.63%
9/2/2014
60%S&P
500®
Index/40%
Bloomberg
Barclays®
U.S.
Aggregate
Bond
Index
-15.79%
3.83%
5.96%
8.08%
8.37%
9/29/2010
S&P
500®
Index
-18.11%
7.66%
9.42%
12.56%
12.57%
9/29/2010
Bloomberg
Barclays®
U.S.
Aggregate
Bond
Index
-13.01%
-2.71%
0.02%
1.06%
1.72%
9/29/2010
25
Shareholder
Letter
(Unaudited)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Risk-Balanced
Commodities
Fund
(the
“Fund”)
Class
I
shares
returned
21.44%,
net
of
fees,
in
2022,
benefiting
from
generally
positive
returns
across
most
commodity
markets
traded
by
the
Fund.
The
Fund
obtains
exposure
to
individual
commodities
and
sectors
by
investing
in
commodity-linked
derivative
instruments,
such
as
swaps
and
futures.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
The
Fund’s
core
allocation
of
risk
is
to
a
strategic
long-only
commodity
portfolio,
which
balances
risk
across
commodity
sectors.
The
strategic
portion
of
the
Fund
contributed
an
estimated
13.6%,
gross
of
fees,
during
the
year.
Within
this,
the
Fund
generally
benefited
from
rallies
mainly
in
the
Energy
and
Agricultural
sectors.
The
Fund
also
employs
a
tactical
strategy,
which
takes
active
views
in
individual
commodities
and
sectors.
The
tactical
strategy
contributed
an
estimated
9.0%,
gross
of
fees,
with
gains
across
base
metals,
energies,
and
agricultural
strategies.
The
tactical
strategy
employs
both
cross
sectional
as
well
as
directional
strategies.
Within
the
directional
strategies,
the
Fund
ended
the
year
tactically
net
short
across
commodity
sectors.
The
Fund
began
and
ended
the
year
targeting
an
estimated
volatility
of
18.8%.
Any
variation
in
targeted
volatility
will
mainly
be
driven
by
variation
in
risk
driven
by
the
tactical
views.
The
Fund
outperformed
its
benchmark,
the
Bloomberg
Commodity
Total
Return
Index
SM
(“BCOM”),
by
5.35%,
as
BCOM
returned
16.09%
on
the
year.
The
Fund
has
also
meaningfully
outperformed
over
the
trailing
three-year
period
(22.39%
versus
12.65%,
annualized)
and
since
inception
(2.47%
versus
-1.26%,
annualized).
Note
that,
while
we
use
BCOM
as
a
benchmark,
we
do
not
aim
to
replicate
it.
The
Fund’s
construction
is
sufficiently
different
and
we
expect
a
difference
in
the
performance
of
the
Fund
and
the
benchmark.
Specifically,
we
expect
the
magnitude
of
performance
differences
to
be
approximately
10%
per
year
on
average,
in
either
direction.
The
outperformance
in
2022
relative
to
the
benchmark
was
due
mainly
to
the
strong
returns
of
the
tactical
strategy.
Cross-sectional
strategies
across
sectors
performed
well
during
the
year
and
were
the
main
drivers
of
gains.
Within
those,
metals
provided
the
most
significant
gains,
followed
by
trading
sectors
relative
to
one
another,
where
being
long
energies
versus
short
metals
benefited.
The
Fund’s
strategically
balanced
core
portfolio
detracted
relative
to
the
BCOM
due
to
the
latter’s
larger
weight
to
energies
and
the
outperformance
of
the
energy
sector
in
2022.
The
effect
of
this,
however,
was
not
large
enough
to
offset
the
relative
gains
from
the
tactical
views
as
well
as
the
Fund’s
strategically
balanced
allocation
within
commodity
sectors.
At
AQR,
we
employ
a
variety
of
methods
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis,
including
risk
controls
and
independent
risk
monitoring.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
higher
levels
of
market
and
portfolio
volatility
to
determine
if
intervention
is
necessary.
During
the
recent
COVID-19
environment,
as
with
other
past
volatile
and
uncertain
periods,
we
have
been
able
to
successfully
make
the
necessary
adjustments
to
implement
our
strategies
in
accordance
with
stated
objectives.
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Jordan
Brooks
Principal
Lars
Nielse
Principal
Yao
Hua
Ooi
Principal
26
Shareholder
Letter
(Unaudited)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.12%,
1.38%
and
1.03%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
The
recent
growth
in
the
stock
market
has
helped
to
produce
short-term
returns
for
some
asset
classes
that
are
not
typical
and
may
not
continue
in
the
future.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
VS.
BLOOMBERG
COMMODITY
TOTAL
RETURN
INDEX
SM
VALUE
OF
$10,000
INVESTED
ON
12/31/2012
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ARCIX
21.44%
22.39%
12.29%
2.73%
2.47%
7/9/2012
Fund
-
Class
N:
ARCNX
21.01%
22.15%
12.00%
2.46%
2.20%
7/9/2012
Fund
-
Class
R6:
QRCRX
21.45%
22.53%
12.37%
N/A
5.09%
9/2/2014
Bloomberg
Commodity
Total
Return
Index
SM
16.09%
12.65%
6.44%
-1.28%
-1.26%
7/9/2012
27
Shareholder
Letter
(Unaudited)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Style
Premia
Alternative
Fund
(the
“Fund”)
returned
30.64%,
net
of
fees,
(Class
I
shares)
in
2022.
For
the
year
ended
December
31,
2022,
the
Fund
realized
21.6%
annualized
daily
volatility
and
a
-0.3
correlation
to
global
equities,
as
represented
by
the
MSCI
World
Index.
The
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index,
which
is
the
Fund’s
benchmark,
returned
1.46%
over
this
period.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
The
Fund
invests
in
five
different
asset
groups,
using
derivatives
such
as
futures
and
swaps:
equities
of
major
developed
and
emerging
markets,
country
specific
equity
indices,
bonds
and
interest
rate
futures,
currencies,
and
commodities.
The
Fund
employs
market-neutral,
long-short
strategies
across
these
asset
groups
based
on
four
investment
styles:
Value
-
The
tendency
for
cheap
assets
to
outperform
expensive
ones
Momentum
-
The
tendency
for
an
asset’s
recent
relative
performance
to
continue
in
the
future
Carry
-
The
tendency
for
higher-yielding
assets
to
provide
higher
returns
than
lower-yielding
assets
Defensive
-
The
tendency
for
lower-risk
and
higher-quality
assets
to
generate
higher
risk-adjusted
returns
Gains
were
almost
entirely
driven
by
the
Stocks
and
Industries
(“Stocks”)
asset
group,
with
Value
being
the
dominant
driver
of
performance.
Commodities
and
Equity
Indices
also
contributed
positively,
but
to
a
lesser
extent.
A
majority
of
Stocks
gains
occurred
during
the
first
and
second
quarter.
The
group
then
generally
performed
poorly
until
the
beginning
of
the
fourth
quarter
as
Value
retraced
a
large
portion
of
what
it
had
previously
earned
before
recouping
again
toward
the
end
of
the
year.
Commodities
contributed
positively
in
each
of
the
first
three
quarters
of
2022
but
detracted
in
the
fourth
quarter.
Equity
Indices
were
moderately
up
on
the
year
as
varied
style
factors
offset
each
other.
Fixed
Income
was
virtually
flat,
while
Currencies
detracted
over
the
year.
Stocks
had
positive
performance
across
all
the
style
factors,
with
Value
being
the
biggest
contributor,
in
line
with
the
Fund’s
tactical
tilt
towards
this
style.
Commodities
also
saw
its
gains
come
from
Value.
In
Equity
Indices
large
positive
contributions
from
Carry
and
Value
were
largely
offset
by
negative
contributions
from
Momentum
and
Defensive
to
produce
more
muted
gains
for
the
year.
Fixed
Income
experienced
strong
gains
in
Momentum,
which
were
offset
by
steep
losses
in
Carry,
netting
to
almost
zero.
Currencies
saw
losses
in
Value
and
Carry,
partially
offset
by
gains
in
Momentum.
This
year’s
Stocks
Value
gains
are
a
continuation
in
the
style’s
recovery
that
began
towards
the
end
of
2020.
AQR’s
research
suggests
that
the
Value
losses
of
the
prior
couple
of
years
have
been
due
to
a
temporary
disconnect
between
prices
and
fundamentals.
Investors
were
demanding
stocks
with
high
long-term
growth
forecasts,
seemingly
without
concern
for
the
price
paid
for
those
securities.
Our
prediction
had
been
that
performance
for
Value
would
rebound
meaningfully
as
the
bubble
burst.
The
shift
in
2021
was
a
meaningful
step
in
this
direction,
and
the
continuation
of
the
trend
in
2022
has
solidified
our
conviction
in
our
prediction.
Cliff
Asness
Managing
Founding
Principal
Jordan
Brooks
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Yao
Hua
Ooi
Principal
28
Shareholder
Letter
(Unaudited)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
1.63%,
1.88%
and
1.53%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
The
recent
growth
in
the
stock
market
has
helped
to
produce
short-term
returns
for
some
asset
classes
that
are
not
typical
and
may
not
continue
in
the
future.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
VS.
ICE
BofA
U.S.
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
10/30/2013
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QSPIX
30.64%
8.36%
0.47%
4.04%
10/30/2013
Fund
-
Class
N:
QSPNX
30.28%
8.09%
0.23%
3.78%
10/30/2013
Fund
-
Class
R6:
QSPRX
30.79%
8.49%
0.58%
3.64%
9/2/2014
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
0.72%
1.26%
0.83%
10/30/2013
29
Shareholder
Letter
(Unaudited)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Dear
Shareholder:
The
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
(the
“Fund”)
invests
long
and
short
across
global
equity
markets,
integrating
certain
Environmental,
Social,
and
Governance
(“ESG”)
considerations
into
its
security
selection
and
portfolio
construction
processes
and
seeking
to
hedge
climate
risks.
The
resulting
portfolio
may
allow
investors
to
capitalize
on
diversifying
return
potential
from
an
alternative
strategy
while
seeking
to
invest
responsibly.
In
2022,
the
Class
I
shares
of
the
Fund
returned
15.46%,
net
of
fees.
Positive
performance
was
driven
by
the
Fund’s
long-short
stock
selection
component.
The
Fund's
custom
benchmark
is
comprised
as
follows:
50%
MSCI
World
Index
and
50%
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index.
In
2022,
the
MSCI
World
Index
returned
-18.14%
and
the
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
returned
1.46%,
and
the
custom
benchmark
returned
-8.31%.
As
such,
the
Fund
outperformed
its
benchmark.
Geographically,
stocks
in
the
U.S.,
Japan,
and
Germany
contributed
most
to
overall
returns.
At
the
sector
level,
stock
selection
within
Industrials,
Financials,
and
Healthcare
drove
gains.
The
Fund
achieved
positive
absolute
returns
despite
facing
a
headwind
resulting
from
its
long-term
beta
exposure
of
0.5
to
the
MSCI
World
Index,
given
the
index’s
negative
absolute
returns
in
2022.
Securities
in
the
Fund
remained
globally
diversified
with
a
large
portion
of
the
Fund
invested
outside
of
the
U.S.
As
of
the
end
of
the
year,
our
largest
sector
overweight
was
in
Financials,
while
our
largest
underweight
was
in
Utilities,
the
latter
of
which
was
also
with
the
alignment
of
the
Fund’s
ESG
approach.
Additionally,
the
Fund
characteristics
were
consistent
with
its
incorporation
of
sustainability
criteria,
and
in
doing
so
to
hedge
potential
climate
risk.
For
example,
when
comparing
the
portfolio
carbon
intensity
(net
emissions
per
$1
million
in
sale),
carbon
footprint
(net
carbon
tonnage
per
$1
million
invested),
and
overall
fossil
fuel
exposure
(net
carbon
reserves
or
exposure
to
material
revenue
resulting
from
thermal
coal
or
tar
sands,
as
a
percentage
of
NAV),
to
that
of
the
MSCI
World
Index,
the
net
exposure
to
each
in
the
Fund
was
lower
than
in
the
Index.
In
fact,
despite
a
performance
headwind
resulting
from
large
price
appreciation
in
fossil
fuels
during
2022,
the
Fund
outperformed
its
benchmark
while
at
the
same
time
limiting
its
exposure
to
fossil
fuel
related
securities.
In
2022,
we
have
seen
a
continuation
of
positive
Value
performance.
Despite
some
month-to-month
volatility
and
detraction
in
the
third
quarter,
Value
had
an
impressive
year
as
persistent
inflation
and
subsequent
interest
rate
hikes
appear
to
have
negatively
impacted
most
high-growth
investment
strategies.
Global
financial
conditions
have
tightened
in
response
to
recent
rate
increases,
as
investors
face
ongoing
uncertainty
around
the
outlook
for
inflation,
monetary
policy,
and
growth.
A
slowdown
in
Chinese
growth
over
the
period,
in
part
due
to
a
series
of
COVID-19-related
lockdowns
and
a
crisis
in
the
country’s
real
estate
sector,
also
weighed
on
market
performance.
Lastly,
Russia's
invasion
of
Ukraine
and
its
effect
on
the
global
energy
market
has
clouded
the
economic
outlook
in
Europe,
though
a
warm
winter
and
an
influx
of
supply
from
other
parts
of
the
world
have
helped
the
continent
avoid
energy
shortages
thus
far.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
Our
portfolio
management
and
research
teams,
in
coordination
with
our
implementation
team
and
independent
risk
team,
have
long
employed
measures
to
assess
portfolio
performance
during
uncertain
and
volatile
periods,
and
to
monitor
the
higher
levels
of
market
and
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
COVID-19
environment,
as
with
other
past
volatile
and
uncertain
periods,
is
that
we
have
been
able
to
successfully
make
the
necessary
adjustments
to
execute
our
strategies
in
accordance
with
stated
objectives.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Utilization
of
derivative
instruments
is
inherent
to
the
Fund's
principal
investment
strategies.
During
the
fiscal
year
ended
December
31,
2022,
the
Fund's
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund's
performance
to
materially
deviate
from
AQR's
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
John
Huss
Principal
Lukasz
Pomorski
Managing
Director
30
Shareholder
Letter
(Unaudited)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
We
believe
that
the
normalization
of
the
extreme
dislocation
seen
over
the
last
few
years
may
continue
to
be
a
tailwind
for
Value
performance.
One
way
in
which
we
can
measure
the
dislocation
observed
in
Value
is
by
looking
at
Value
spreads,
which
measure
the
difference
in
valuation
multiples
between
cheap
and
expensive
companies.
Over
the
last
few
years,
we
have
seen
spreads
move
to
extreme
levels
–
similar
to
those
observed
leading
up
to
the
2000s
Tech
Bubble.
As
a
result,
our
value-based
investments
have
contributed
positively
through
2022
as
the
Value
stock
performance
recovery
has
continued.
31
Shareholder
Letter
(Unaudited)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
AQR
Funds
|
Annual
Report
|
December
2022
Past
performance
does
not
guarantee
future
results.
Investment
results
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Current
performance
may
be
lower
or
higher
than
the
performance
data
quoted.
As
of
the
latest
prospectus,
the
gross
expense
ratio
for
the
Fund’s
Class
I/N/R6
shares
are
4.07%,
4.32%
and
4.05%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
VS.
50%
MSCI
WORLD
INDEX**/50%
ICE
BofA
US
3-MONTH
TREASURY
BILL
INDEX
VALUE
OF
$10,000
INVESTED
ON
12/16/2021
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
**
MSCI
makes
no
express
or
implied
warranties
or
representations
and
shall
have
no
liability
whatsoever
with
respect
to
any
MSCI
data
contained
herein.
The
MSCI
data
may
not
be
further
redistributed
or
used
as
a
basis
for
other
indices
or
any
securities
or
financial
products.
This
report
is
not
approved,
reviewed,
or
produced
by
MSCI.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
12/31/2022
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
1
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QNZIX
15.46%
15.69%
12/16/2021
Fund
-
Class
N:
QNZNX
15.14%
15.38%
12/16/2021
Fund
-
Class
R6:
QNZRX
15.62%
15.85%
12/16/2021
50%
MSCI
World
Index**/50%
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
-8.31%
-7.07%
12/16/2021
MSCI
World
Index**
-18.14%
-15.85%
12/16/2021
ICE
BofA
U.S.
3-Month
Treasury
Bill
Index
1.46%
1.40%
12/16/2021
32
Shareholder
Letter
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
DEFINITIONS:
Beta:
The
measure
of
the
volatility,
or
systematic
risk,
of
a
security
or
portfolio
compared
to
the
market
as
a
whole.
Bloomberg
Barclays
®
U.S.
Aggregate
Bond
Index:
is
a
market-weighted
index
comprised
of
investment
grade
corporate
bonds
(rated
BBB
or
better),
mortgages
and
U.S.
Treasury
and
government
agency
issues
with
at
least
one
year
to
maturity.
Bloomberg
Commodity
Total
Return
Index
SM
:
is
a
broad-based
index
used
to
represent
the
most
frequently-traded
global
commodity
futures.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
Correlation
:
A
statistic
that
measures
the
degree
to
which
two
securities
move
in
relation
to
each
other.
I
CE
BofA
U.S.
3-Month
Treasury
Bill
Index:
is
designed
to
measure
the
performance
of
high-quality
short-term
cash-equivalent
investments.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
MSCI
World
Index:
is
a
free
float-adjusted
market
capitalization
index
that
is
designed
to
measure
the
performance
of
equities
in
developed
markets,
including
the
United
States
and
Canada.
S&P
500
®
Index
:
is
a
capitalization
weighted
index
designed
to
measure
performance
of
the
broad
domestic
economy
through
changes
in
the
aggregate
market
value
of
500
stocks
representing
all
major
industries.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
SG
Trend
Index
:
is
designed
to
track
the
10
largest
(by
AUM)
trend
following
Commodity
Trading
Advisors
(“CTAs”)
and
be
representative
of
the
trend
followers
in
the
managed
futures
space.
Indexes
are
unmanaged
and
one
cannot
invest
directly
an
index.
Sharp
e
Ratio:
Excess
return
of
the
portfolio,
relative
to
the
risk-free
rate,
divided
by
the
standard
deviation
of
the
portfolio's
excess
returns.
33
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
232.2%
COMMON
STOCKS
-
160.8%
Australia
-
5.1%
ANZ
Group
Holdings
Ltd.
*(a)
38,926
627,056
Aristocrat
Leisure
Ltd.
(2)(a)
24,008
494,704
Atlas
Arteria
Ltd.
(2)(a)
29,928
134,780
Aurizon
Holdings
Ltd.
(2)(a)
81,286
205,933
BHP
Group
Ltd.
(2)(a)
35,585
1,102,316
BlueScope
Steel
Ltd.
(2)(a)
44,894
511,667
Brambles
Ltd.
(2)(a)
24,983
204,876
Coles
Group
Ltd.
(2)(a)
14,458
163,890
Fortescue
Metals
Group
Ltd.
(2)(a)
12,893
180,207
Harvey
Norman
Holdings
Ltd.
(2)(a)
96,279
269,774
Incitec
Pivot
Ltd.
(2)(a)
72,867
185,492
JB
Hi-Fi
Ltd.
(2)(a)
13,196
376,109
Newcrest
Mining
Ltd.
(2)(a)
4,248
59,567
Northern
Star
Resources
Ltd.
(2)(a)
36,105
270,185
Origin
Energy
Ltd.
(2)(a)
107,746
563,934
Pro
Medicus
Ltd.
(2)(a)
3,750
140,159
Qantas
Airways
Ltd.
(2)*(a)
20,544
83,156
Qube
Holdings
Ltd.
(2)(a)
154,947
295,566
Rio
Tinto
plc
(2)(a)
2,402
169,062
Santos
Ltd.
(2)(a)
10,780
53,018
Sonic
Healthcare
Ltd.
(2)(a)
3,038
61,826
South32
Ltd.
(2)(a)
186,924
512,476
Tabcorp
Holdings
Ltd.
(2)(a)
29,182
21,249
Telstra
Group
Ltd.
(2)(a)
138,569
374,752
Treasury
Wine
Estates
Ltd.
(2)(a)
16,392
151,436
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(2)(a)
1,361
25,534
Westpac
Banking
Corp.
(2)(a)
27,016
427,704
Whitehaven
Coal
Ltd.
(2)(a)
51,612
328,817
Worley
Ltd.
(2)(a)
24,722
252,176
8,247,421
—
Austria
-
0.1%
ams-OSRAM
AG
(2)*(a)
13,677
100,206
Belgium
-
1.0%
Ageas
SA/NV
(2)(a)
9,027
400,545
Elia
Group
SA/NV
(2)(a)
1,048
148,987
Etablissements
Franz
Colruyt
NV
(2)(a)
10,638
242,962
Proximus
SADP
(2)(a)
42,786
413,093
Solvay
SA
(2)(a)
3,926
396,942
1,602,529
—
Brazil
-
0.3%
Yara
International
ASA
(2)
10,625
466,618
Canada
-
7.8%
Alimentation
Couche-Tard,
Inc.
(a)
2,590
113,815
ARC
Resources
Ltd.
(a)
23,342
314,617
Atco
Ltd.,
Class
I
(a)
7,506
234,937
Bank
of
Montreal
(a)
2,144
194,227
Bank
of
Nova
Scotia
(The)
(a)
13,030
638,413
Canadian
Imperial
Bank
of
Commerce
(a)
5,892
238,334
Canadian
National
Railway
Co.
(a)
2,442
290,082
Canadian
Natural
Resources
Ltd.
(a)
7,186
399,051
INVESTMENTS
SHARES
VALUE
($)
Canada
-
7.8%
(continued)
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
2,752
287,598
Canadian
Utilities
Ltd.,
Class
A
(a)
4,384
118,666
Capital
Power
Corp.
(a)
5,300
181,351
Cenovus
Energy,
Inc.
(a)
17,609
341,646
CGI,
Inc.
*(a)
2,207
190,236
CI
Financial
Corp.
(a)
31,065
309,962
Empire
Co.
Ltd.,
Class
A
(a)
11,561
304,480
Enerplus
Corp.
(a)
5,492
96,942
Fairfax
Financial
Holdings
Ltd.
(a)
510
302,109
Finning
International,
Inc.
(a)
2,534
62,994
Fortis,
Inc.
(a)
6,217
248,772
George
Weston
Ltd.
(a)
665
82,506
Hydro
One
Ltd.
(a)(b)
9,504
254,586
iA
Financial
Corp.,
Inc.
(a)
2,412
141,211
IGM
Financial,
Inc.
(a)
2,374
66,276
Imperial
Oil
Ltd.
(a)
11,030
537,244
Keyera
Corp.
(a)
2,274
49,695
Loblaw
Cos.
Ltd.
(a)
1,224
108,225
Magna
International,
Inc.
(a)
3,997
224,529
Manulife
Financial
Corp.
(a)
25,007
446,026
MEG
Energy
Corp.
*(a)
23,539
327,703
National
Bank
of
Canada
(a)
2,094
141,090
Northland
Power,
Inc.
(a)
12,022
329,673
Nutrien
Ltd.
(a)
5,766
420,952
Onex
Corp.
(a)
2,963
142,876
Open
Text
Corp.
(a)
12,020
356,161
Quebecor,
Inc.,
Class
B
(a)
8,435
188,137
Saputo,
Inc.
(a)
6,153
152,325
Stantec,
Inc.
(a)
2,643
126,645
Sun
Life
Financial,
Inc.
(a)
5,099
236,685
Suncor
Energy,
Inc.
(a)
12,777
405,297
Teck
Resources
Ltd.,
Class
B
(a)
15,781
596,391
TFI
International,
Inc.
(a)
3,445
345,034
TMX
Group
Ltd.
(a)
1,368
136,921
Toromont
Industries
Ltd.
(a)
476
34,350
Tourmaline
Oil
Corp.
(a)
14,446
728,916
Vermilion
Energy,
Inc.
(a)
9,532
168,746
West
Fraser
Timber
Co.
Ltd.
(a)
8,232
594,418
Whitecap
Resources,
Inc.
(a)
58,849
466,793
12,677,643
—
Chile
-
0.2%
Lundin
Mining
Corp.
47,857
293,716
China
-
0.7%
Wilmar
International
Ltd.
(2)
99,000
308,422
Yangzijiang
Shipbuilding
Holdings
Ltd.
(2)
861,600
875,218
1,183,640
—
Denmark
-
2.2%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
379
848,431
Carlsberg
A/S,
Class
B
(2)(a)
6,933
919,642
Danske
Bank
A/S
(2)(a)
34,551
681,453
Genmab
A/S
(2)*(a)
238
100,625
ISS
A/S
(2)*(a)
18,127
383,682
Jyske
Bank
A/S
(Registered)
(2)*(a)
830
53,819
Pandora
A/S
(2)(a)
5,936
419,565
34
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Denmark
-
2.2%
(continued)
ROCKWOOL
A/S,
Class
B
(2)(a)
223
52,205
Royal
Unibrew
A/S
(2)(a)
450
31,982
3,491,404
—
Finland
-
1.0%
Elisa
OYJ
(2)(a)
2,776
147,142
Kesko
OYJ,
Class
B
(2)(a)
10,731
237,114
Kojamo
OYJ
(2)(a)
9,591
141,841
Kone
OYJ,
Class
B
(2)(a)
3,338
172,814
Metso
Outotec
OYJ
(2)(a)
21,644
222,879
Nokia
OYJ
(2)(a)
60,238
279,848
Nordea
Bank
Abp
(2)(a)
4,874
52,210
Stora
Enso
OYJ,
Class
R
(2)(a)
19,055
268,666
Wartsila
OYJ
Abp
(2)(a)
12,833
108,209
1,630,723
—
France
-
5.6%
Amundi
SA
(2)(a)(b)
2,294
130,090
Arkema
SA
(2)(a)
1,747
157,134
Atos
SE
(2)*(a)
33,979
328,002
AXA
SA
(2)(a)
17,873
497,862
BNP
Paribas
SA
(2)(a)
20,448
1,164,293
Bouygues
SA
(2)(a)
5,489
164,625
Carrefour
SA
(2)(a)
19,249
321,958
Casino
Guichard
Perrachon
SA
(2)*(a)
8,711
91,057
Cie
de
Saint-Gobain
(2)(a)
11,851
579,761
Credit
Agricole
SA
(2)(a)
76,848
808,391
Dassault
Aviation
SA
(2)(a)
1,440
244,214
Eiffage
SA
(2)(a)
4,984
490,247
Engie
SA
(2)(a)
24,968
357,194
Ipsen
SA
(2)(a)
320
34,419
Orange
SA
(2)(a)
32,118
318,679
Publicis
Groupe
SA
(2)(a)
658
42,035
Renault
SA
(2)*(a)
7,173
239,353
Rexel
SA
(2)(a)
27,362
541,179
Rubis
SCA
(2)(a)
7,747
203,995
Societe
Generale
SA
(2)(a)
32,700
820,236
Sodexo
SA
(2)(a)
382
36,549
TotalEnergies
SE
(2)(a)
17,785
1,116,421
Ubisoft
Entertainment
SA
(2)*(a)
8,392
237,081
Veolia
Environnement
SA
(2)(a)
2,459
63,183
8,987,958
—
Germany
-
6.7%
Allianz
SE
(Registered)
(2)(a)
3,290
702,605
Aurubis
AG
(2)(a)
4,241
345,223
BASF
SE
(2)(a)
7,859
386,966
Bayer
AG
(Registered)
(2)(a)
5,195
267,387
Bayerische
Motoren
Werke
AG
(2)
(a)
2,985
264,277
Bechtle
AG
(2)(a)
946
33,439
Brenntag
SE
(2)(a)
4,645
296,234
Commerzbank
AG
(2)*(a)
56,205
525,495
Covestro
AG
(2)(a)(b)
14,797
576,433
Deutsche
Bank
AG
(Registered)
(2)(a)
124,129
1,395,406
Deutsche
Lufthansa
AG
(Registered)
(2)*(a)
23,834
196,465
INVESTMENTS
SHARES
VALUE
($)
Germany
-
6.7%
(continued)
Deutsche
Post
AG
(Registered)
(2)
(a)
9,813
367,268
Deutsche
Telekom
AG
(Registered)
(2)(a)
16,065
319,639
E.ON
SE
(2)(a)
54,329
540,139
Evonik
Industries
AG
(2)(a)
6,611
126,097
Freenet
AG
(2)(a)
6,674
145,121
Hannover
Rueck
SE
(2)(a)
890
175,604
HeidelbergCement
AG
(2)(a)
8,983
509,022
Henkel
AG
&
Co.
KGaA
(Preference)
(2)(a)
1,188
82,344
HOCHTIEF
AG
(2)(a)
1,785
100,256
HUGO
BOSS
AG
(2)(a)
10,282
594,404
K+S
AG
(Registered)
(2)(a)
16,439
324,077
KION
Group
AG
(2)(a)
5,441
154,968
Knorr-Bremse
AG
(2)(a)
795
43,250
LANXESS
AG
(2)(a)
1,028
41,250
LEG
Immobilien
SE
(2)(a)
4,921
320,941
Mercedes-Benz
Group
AG
(2)(a)
3,579
234,049
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)(a)
2,982
964,591
ProSiebenSat.1
Media
SE
(2)(a)
24,346
215,947
Telefonica
Deutschland
Holding
AG
(2)(a)
58,610
143,947
thyssenkrupp
AG
(2)*(a)
49,355
299,710
TUI
AG
(2)*(a)(c)
106,800
171,263
Uniper
SE
(2)(a)
6,372
17,530
10,881,347
—
Guatemala
-
0.1%
Millicom
International
Cellular
SA,
SDR
(2)*
14,671
185,876
Italy
-
2.8%
A2A
SpA
(2)(a)
166,644
222,181
Assicurazioni
Generali
SpA
(2)(a)
42,930
763,403
Azimut
Holding
SpA
(2)(a)
4,636
103,734
Banco
BPM
SpA
(2)(a)
59,210
211,082
Buzzi
Unicem
SpA
(2)(a)
3,573
68,852
Coca-Cola
HBC
AG
(2)*(a)
3,118
73,706
Enel
SpA
(2)(a)
127,690
686,735
Hera
SpA
(2)(a)
26,236
70,764
Intesa
Sanpaolo
SpA
(2)(a)
78,397
173,682
Italgas
SpA
(2)(a)
10,436
57,945
Leonardo
SpA
(2)(a)
107,675
928,673
Poste
Italiane
SpA
(2)(a)(b)
22,703
221,501
Prysmian
SpA
(2)(a)
4,772
177,306
Snam
SpA
(2)(a)
7,863
38,126
UniCredit
SpA
(2)(a)
36,491
517,791
Unipol
Gruppo
SpA
(2)(a)
52,119
253,757
4,569,238
—
Japan
-
23.7%
AGC,
Inc.
(2)(a)
15,000
497,786
Air
Water,
Inc.
(2)(a)
9,800
113,783
Aisin
Corp.
(2)(a)
10,100
267,801
Alfresa
Holdings
Corp.
(2)(a)
15,800
200,839
Allegro
MicroSystems,
Inc.
*(a)
1,379
41,398
Amada
Co.
Ltd.
(2)(a)
54,600
425,189
Asahi
Group
Holdings
Ltd.
(2)(a)
3,000
93,383
35
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Japan
-
23.7%
(continued)
Astellas
Pharma,
Inc.
(2)(a)
2,000
30,411
Brother
Industries
Ltd.
(2)(a)
12,100
182,876
Chiba
Bank
Ltd.
(The)
(2)(a)
16,900
123,305
Concordia
Financial
Group
Ltd.
(2)
(a)
10,700
44,677
CyberAgent,
Inc.
(2)(a)
22,900
203,874
Dai
Nippon
Printing
Co.
Ltd.
(2)(a)
10,000
200,896
Dai-ichi
Life
Holdings,
Inc.
(2)(a)
16,600
374,884
Daito
Trust
Construction
Co.
Ltd.
(2)(a)
3,000
307,149
Daiwa
House
Industry
Co.
Ltd.
(2)
(a)
10,500
241,881
Daiwa
Securities
Group,
Inc.
(2)(a)
24,300
107,377
Ebara
Corp.
(2)(a)
5,900
210,173
ENEOS
Holdings,
Inc.
(2)(a)
66,900
227,822
Fuji
Electric
Co.
Ltd.
(2)(a)
12,100
456,645
Fujitsu
Ltd.
(2)(a)
3,300
439,948
Fukuoka
Financial
Group,
Inc.
(2)
(a)
10,100
229,450
Hakuhodo
DY
Holdings,
Inc.
(2)(a)
39,100
392,410
Hamamatsu
Photonics
KK
(2)(a)
1,800
85,910
Haseko
Corp.
(2)(a)
12,300
137,383
Hino
Motors
Ltd.
(2)*(a)
17,300
65,735
Hirose
Electric
Co.
Ltd.
(2)(a)
700
87,795
Hitachi
Construction
Machinery
Co.
Ltd.
(2)(a)
11,700
260,751
Hitachi
Ltd.
(2)(a)
4,100
206,297
Honda
Motor
Co.
Ltd.
(2)(a)
6,900
157,382
Ibiden
Co.
Ltd.
(2)(a)
11,900
429,144
Idemitsu
Kosan
Co.
Ltd.
(2)(a)
10,700
250,504
IHI
Corp.
(2)(a)
10,100
292,581
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
22,600
343,137
Inpex
Corp.
(2)(a)
47,600
511,482
Isuzu
Motors
Ltd.
(2)(a)
8,200
95,062
ITOCHU
Corp.
(2)(a)
16,600
520,788
Japan
Post
Holdings
Co.
Ltd.
(2)(a)
48,300
406,394
Japan
Post
Insurance
Co.
Ltd.
(2)
(a)
26,200
460,783
JFE
Holdings,
Inc.
(2)(a)
9,000
104,432
Kajima
Corp.
(2)(a)
19,300
224,600
Kawasaki
Heavy
Industries
Ltd.
(2)
(a)
16,500
382,990
Kawasaki
Kisen
Kaisha
Ltd.
(2)(a)
8,800
186,350
Koito
Manufacturing
Co.
Ltd.
(2)(a)
3,400
50,688
Komatsu
Ltd.
(2)(a)
6,800
146,976
Konami
Group
Corp.
(2)(a)
4,500
204,132
Kuraray
Co.
Ltd.
(2)(a)
8,000
64,028
Kyocera
Corp.
(2)(a)
4,000
198,547
Lawson,
Inc.
(2)(a)
3,900
149,099
Lion
Corp.
(2)(a)
22,300
256,505
Lixil
Corp.
(2)(a)
9,300
140,208
Marubeni
Corp.
(2)(a)
63,300
725,161
Mazda
Motor
Corp.
(2)(a)
56,800
425,776
Medipal
Holdings
Corp.
(2)(a)
22,900
302,675
MEIJI
Holdings
Co.
Ltd.
(2)(a)
3,200
164,026
MINEBEA
MITSUMI,
Inc.
(2)(a)
13,200
195,572
MISUMI
Group,
Inc.
(2)(a)
6,300
136,926
Mitsubishi
Chemical
Group
Corp.
(2)(a)
25,700
133,049
Mitsubishi
Corp.
(2)(a)
14,700
477,232
INVESTMENTS
SHARES
VALUE
($)
Japan
-
23.7%
(continued)
Mitsubishi
Electric
Corp.
(2)(a)
61,500
609,399
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)(a)
23,500
323,044
Mitsubishi
HC
Capital,
Inc.
(2)(a)
81,500
400,862
Mitsubishi
Heavy
Industries
Ltd.
(2)(a)
6,800
268,713
Mitsubishi
Motors
Corp.
(2)*(a)
91,500
347,480
Mitsui
&
Co.
Ltd.
(2)(a)
18,700
544,651
Mitsui
Chemicals,
Inc.
(2)(a)
15,000
336,912
Mizuho
Financial
Group,
Inc.
(2)(a)
37,080
522,394
MS&AD
Insurance
Group
Holdings,
Inc.
(2)(a)
19,500
623,411
Murata
Manufacturing
Co.
Ltd.
(2)
(a)
6,400
315,617
NGK
Insulators
Ltd.
(2)(a)
17,200
218,055
NGK
Spark
Plug
Co.
Ltd.
(2)(a)
5,000
91,635
NH
Foods
Ltd.
(2)(a)
5,700
159,138
Nikon
Corp.
(2)(a)
18,900
167,128
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)(a)
3,700
211,305
Nippon
Steel
Corp.
(2)(a)
27,700
480,627
Nippon
Telegraph
&
Telephone
Corp.
(2)(a)
11,700
333,667
Nippon
Yusen
KK
(2)(a)
12,000
282,968
Nitto
Denko
Corp.
(2)(a)
3,200
184,303
NOF
Corp.
(2)(a)
1,100
43,850
Nomura
Holdings,
Inc.
(2)(a)
63,300
234,557
NSK
Ltd.
(2)(a)
43,700
230,417
NTT
Data
Corp.
(2)(a)
20,300
295,827
Obayashi
Corp.
(2)(a)
13,300
100,463
Oji
Holdings
Corp.
(2)(a)
79,700
321,907
ORIX
Corp.
(2)(a)
20,200
323,334
Osaka
Gas
Co.
Ltd.
(2)(a)
31,400
505,951
Otsuka
Corp.
(2)(a)
3,800
119,777
Otsuka
Holdings
Co.
Ltd.
(2)(a)
4,700
153,280
Panasonic
Holdings
Corp.
(2)(a)
46,800
391,670
Persol
Holdings
Co.
Ltd.
(2)(a)
11,500
244,602
Pola
Orbis
Holdings,
Inc.
(2)(a)
12,400
174,517
Resona
Holdings,
Inc.
(2)(a)
48,200
264,735
Ricoh
Co.
Ltd.
(2)(a)
13,300
101,228
Rohm
Co.
Ltd.
(2)(a)
4,100
293,926
Rohto
Pharmaceutical
Co.
Ltd.
(2)
(a)
8,600
151,061
Ryohin
Keikaku
Co.
Ltd.
(2)(a)
36,500
431,539
Santen
Pharmaceutical
Co.
Ltd.
(2)(a)
36,200
294,973
SCREEN
Holdings
Co.
Ltd.
(2)(a)
8,500
542,023
SCSK
Corp.
(2)(a)
6,700
101,416
Secom
Co.
Ltd.
(2)(a)
1,300
74,175
Sega
Sammy
Holdings,
Inc.
(2)(a)
14,800
223,472
Seiko
Epson
Corp.
(2)(a)
16,800
244,424
Sekisui
Chemical
Co.
Ltd.
(2)(a)
14,300
199,318
Shimamura
Co.
Ltd.
(2)(a)
3,500
348,790
Shimizu
Corp.
(2)(a)
12,500
66,699
Shin-Etsu
Chemical
Co.
Ltd.
(2)(a)
4,000
488,449
Shinko
Electric
Industries
Co.
Ltd.
(2)(a)
9,000
229,053
SMC
Corp.
(2)(a)
200
83,511
Sohgo
Security
Services
Co.
Ltd.
(2)(a)
7,200
196,025
36
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Japan
-
23.7%
(continued)
Sojitz
Corp.
(2)(a)
28,120
535,788
Sompo
Holdings,
Inc.
(2)(a)
12,500
553,039
Square
Enix
Holdings
Co.
Ltd.
(2)
(a)
3,100
143,919
Stanley
Electric
Co.
Ltd.
(2)(a)
5,600
105,917
Subaru
Corp.
(2)(a)
12,700
192,279
Sugi
Holdings
Co.
Ltd.
(2)(a)
2,500
111,185
SUMCO
Corp.
(2)(a)
33,000
437,204
Sumitomo
Chemical
Co.
Ltd.
(2)(a)
51,200
183,584
Sumitomo
Corp.
(2)(a)
24,800
412,253
Sumitomo
Forestry
Co.
Ltd.
(2)(a)
13,300
235,054
Sumitomo
Heavy
Industries
Ltd.
(2)(a)
16,100
321,426
Sumitomo
Metal
Mining
Co.
Ltd.
(2)(a)
5,000
175,694
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)(a)
11,300
454,627
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(2)(a)
6,200
216,352
Sumitomo
Pharma
Co.
Ltd.
(2)(a)
23,600
178,880
Suntory
Beverage
&
Food
Ltd.
(2)
(a)
5,300
180,477
Taisei
Corp.
(2)(a)
10,300
332,126
Taisho
Pharmaceutical
Holdings
Co.
Ltd.
(2)(a)
2,800
123,163
Taiyo
Yuden
Co.
Ltd.
(2)(a)
3,700
106,602
TDK
Corp.
(2)(a)
9,400
305,816
THK
Co.
Ltd.
(2)(a)
7,300
138,030
Tokio
Marine
Holdings,
Inc.
(2)(a)
3,800
81,177
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*(a)
190,700
686,790
Tokyo
Gas
Co.
Ltd.
(2)(a)
29,500
577,604
Tokyu
Fudosan
Holdings
Corp.
(2)
(a)
7,200
34,143
TOPPAN,
Inc.
(2)(a)
35,600
525,723
Toray
Industries,
Inc.
(2)(a)
4,700
26,138
Tosoh
Corp.
(2)(a)
31,900
379,343
Toyota
Boshoku
Corp.
(2)(a)
17,800
236,250
Toyota
Industries
Corp.
(2)(a)
6,800
369,415
Toyota
Tsusho
Corp.
(2)(a)
17,000
625,333
Tsuruha
Holdings,
Inc.
(2)(a)
3,400
263,721
Yamada
Holdings
Co.
Ltd.
(2)(a)
57,500
204,111
Yamaha
Motor
Co.
Ltd.
(2)(a)
8,400
189,851
Yokogawa
Electric
Corp.
(2)(a)
9,100
144,426
ZOZO,
Inc.
(2)(a)
4,300
106,192
38,183,967
—
Luxembourg
-
0.9%
Aperam
SA
(2)
7,890
250,220
ArcelorMittal
SA
(2)
35,245
929,840
Eurofins
Scientific
SE
(2)
2,301
165,208
SES
SA,
FDR
(2)
11,009
71,710
1,416,978
—
Netherlands
-
3.6%
Aalberts
NV
(2)(a)
1,693
65,946
ABN
AMRO
Bank
NV,
CVA
(2)(a)(b)
44,309
613,590
Aegon
NV
(2)(a)
87,706
444,378
ASR
Nederland
NV
(2)(a)
16,048
762,505
Heineken
NV
(2)(a)
3,232
304,429
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
3.6%
(continued)
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
26,539
763,030
Koninklijke
Philips
NV
(2)(a)
41,921
630,795
NN
Group
NV
(2)(a)
7,998
327,056
OCI
NV
(2)(a)
5,653
202,109
Randstad
NV
(2)(a)
12,291
751,010
Shell
plc
(2)(a)
36,385
1,025,723
5,890,571
—
Nigeria
-
0.1%
Airtel
Africa
plc
(2)(b)
149,266
201,136
Norway
-
0.8%
Equinor
ASA
(2)(a)
16,540
594,452
Norsk
Hydro
ASA
(2)(a)
71,882
537,129
Salmar
ASA
(2)(a)
3,995
156,669
1,288,250
—
Panama
-
0.1%
Copa
Holdings
SA,
Class
A
*
2,668
221,898
Singapore
-
0.9%
Genting
Singapore
Ltd.
(2)
397,700
283,822
Oversea-Chinese
Banking
Corp.
Ltd.
(2)
41,700
379,305
Singapore
Airlines
Ltd.
(2)
92,900
383,572
United
Overseas
Bank
Ltd.
(2)
8,700
199,281
UOL
Group
Ltd.
(2)
8,000
40,222
Venture
Corp.
Ltd.
(2)
11,600
147,856
1,434,058
—
South
Africa
-
0.1%
Anglo
American
plc
(2)
4,305
168,583
Spain
-
2.7%
Acciona
SA
(2)(a)
777
142,993
Acerinox
SA
(2)(a)
29,501
291,627
Banco
Bilbao
Vizcaya
Argentaria
SA
(2)(a)
101,181
609,440
Banco
de
Sabadell
SA
(2)(a)
573,249
538,833
Banco
Santander
SA
(2)(a)
253,215
757,142
Iberdrola
SA
(2)(a)
11,966
139,685
Mapfre
SA
(2)(a)
99,182
191,868
Red
Electrica
Corp.
SA
(2)(a)
13,319
231,593
Repsol
SA
(2)(a)
90,448
1,439,664
4,342,845
—
Sweden
-
2.8%
Axfood
AB
(2)(a)
4,649
127,479
Billerud
AB
(2)(a)
15,801
192,751
Boliden
AB
(2)(a)
8,473
318,265
Castellum
AB
(2)(a)
26,338
318,965
Elekta
AB,
Class
B
(2)(a)
14,928
90,045
Essity
AB,
Class
B
(2)(a)
6,102
159,794
Fastighets
AB
Balder,
Class
B
(2)*(a)
53,747
250,852
Getinge
AB,
Class
B
(2)(a)
11,533
239,778
H
&
M
Hennes
&
Mauritz
AB,
Class
B
(2)(a)
23,441
252,610
Neobo
Fastigheter
AB
(2)*
17,427
32,651
Samhallsbyggnadsbolaget
i
Norden
AB
(2)(a)
174,274
290,651
37
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
2.8%
(continued)
Securitas
AB,
Class
B
(2)(a)
55,704
464,820
Skanska
AB,
Class
B
(2)(a)
18,116
287,184
SSAB
AB,
Class
B
(2)(a)
143,291
746,411
Swedbank
AB,
Class
A
(2)(a)
5,778
98,278
Swedish
Orphan
Biovitrum
AB
(2)*(a)
4,560
94,378
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)(a)
8,985
52,647
Telia
Co.
AB
(2)(a)
29,195
74,601
Trelleborg
AB,
Class
B
(2)(a)
5,208
120,298
Volvo
Car
AB,
Class
B
(2)*(a)
85,326
388,525
4,600,983
—
Switzerland
-
3.4%
Adecco
Group
AG
(Registered)
(2)
(a)
10,599
348,653
Baloise
Holding
AG
(Registered)
(2)(a)
196
30,225
Barry
Callebaut
AG
(Registered)
(2)(a)
121
238,945
BKW
AG
(2)(a)
498
68,138
Cie
Financiere
Richemont
SA
(Registered)
(2)(a)
3,308
428,915
DKSH
Holding
AG
(2)(a)
2,549
193,299
Flughafen
Zurich
AG
(Registered)
(2)*(a)
934
144,527
Geberit
AG
(Registered)
(2)(a)
489
230,847
Georg
Fischer
AG
(Registered)
(2)
(a)
1,445
88,524
Kuehne
+
Nagel
International
AG
(Registered)
(2)(a)
700
162,738
Novartis
AG
(Registered)
(2)(a)
11,277
1,020,540
SGS
SA
(Registered)
(2)(a)
138
321,449
Swatch
Group
AG
(The)
(2)(a)
2,523
717,089
Swiss
Life
Holding
AG
(Registered)
(2)(a)
774
398,965
Swisscom
AG
(Registered)
(2)(a)
967
529,733
UBS
Group
AG
(Registered)
(2)(a)
33,079
614,814
5,537,401
—
United
Kingdom
-
4.3%
abrdn
plc
(2)(a)
37,599
85,440
ASOS
plc
(2)*
29,915
183,703
Aviva
plc
(2)(a)
69,836
370,455
Barclays
plc
(2)
609,586
1,159,927
Barratt
Developments
plc
(2)(a)
45,163
215,712
BP
plc
(2)(a)
76,844
443,385
BT
Group
plc
(2)
298,749
403,393
Burberry
Group
plc
(2)(a)
3,688
89,663
Centrica
plc
(2)
69,462
80,789
Direct
Line
Insurance
Group
plc
(2)(a)
12,535
33,411
DS
Smith
plc
(2)(a)
52,560
202,745
Entain
plc
(2)(a)
2,334
37,169
Harbour
Energy
plc
(2)(a)
13,855
51,129
Hays
plc
(2)
20,209
28,330
Howden
Joinery
Group
plc
(2)(a)
13,817
93,298
Imperial
Brands
plc
(2)(a)
22,147
551,706
InterContinental
Hotels
Group
plc
(2)(a)
1,329
76,256
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
4.3%
(continued)
International
Distributions
Services
plc
(2)(a)
149,099
382,188
Investec
plc
(2)(a)
17,694
108,168
JD
Sports
Fashion
plc
(2)
111,582
169,563
Just
Eat
Takeaway.com
NV
(2)*(a)
(b)
8,525
181,451
Kingfisher
plc
(2)(a)
55,798
158,535
Liberty
Global
plc,
Class
C
*(a)
1,320
25,648
Lloyds
Banking
Group
plc
(2)
451,643
246,468
Man
Group
plc
(2)(a)
29,063
74,775
Marks
&
Spencer
Group
plc
(2)*
201,698
297,555
NatWest
Group
plc
(2)(a)
22,727
72,482
Standard
Chartered
plc
(2)(a)
48,958
365,154
Subsea
7
SA
(2)(a)
25,758
298,268
Taylor
Wimpey
plc
(2)
24,373
29,850
Tesco
plc
(2)(a)
48,581
130,919
Vodafone
Group
plc
(2)
234,076
237,053
6,884,588
—
United
States
-
83.8%
3M
Co.
(a)(c)
4,808
576,575
A
O
Smith
Corp.
(a)
3,097
177,272
Abbott
Laboratories
(a)
5,751
631,402
AbbVie,
Inc.
(a)(c)
4,527
731,608
Accenture
plc,
Class
A
(a)
818
218,275
ACI
Worldwide,
Inc.
*(a)(c)
9,362
215,326
Acuity
Brands,
Inc.
(a)(c)
2,671
442,344
Adient
plc
*(a)
3,996
138,621
Adobe,
Inc.
*(a)
1,834
617,196
ADT,
Inc.
(a)(c)
36,103
327,454
AECOM
(a)
966
82,042
AES
Corp.
(The)
(a)(c)
12,773
367,351
AGCO
Corp.
(a)
3,388
469,882
Agilent
Technologies,
Inc.
(a)(c)
1,276
190,953
Air
Lease
Corp.
(a)
1,110
42,646
Akamai
Technologies,
Inc.
*(a)
2,961
249,612
Alaska
Air
Group,
Inc.
*(a)(c)
8,362
359,064
ALLETE,
Inc.
(a)
517
33,352
Allison
Transmission
Holdings,
Inc.
(a)(c)
13,354
555,526
Allstate
Corp.
(The)
(a)
2,101
284,896
Ally
Financial,
Inc.
(a)
10,969
268,192
Alphabet,
Inc.,
Class
A
*(a)
2,564
226,222
Altice
USA,
Inc.,
Class
A
*(a)(c)
94,075
432,745
Altria
Group,
Inc.
(a)
4,769
217,991
Amdocs
Ltd.
(a)
3,899
354,419
Ameren
Corp.
(a)(c)
2,319
206,205
American
Electric
Power
Co.,
Inc.
(a)(c)
3,344
317,513
American
International
Group,
Inc.
(a)
14,126
893,328
Ameriprise
Financial,
Inc.
(a)
729
226,989
AmerisourceBergen
Corp.
(a)
456
75,564
AMETEK,
Inc.
(a)
1,348
188,343
Amgen,
Inc.
(a)(c)
2,040
535,786
Amkor
Technology,
Inc.
(a)(c)
22,239
533,291
ANSYS,
Inc.
*(a)
822
198,587
APA
Corp.
(a)
9,023
421,194
Applied
Materials,
Inc.
(a)
2,104
204,888
AppLovin
Corp.,
Class
A
*(a)(c)
28,527
300,389
38
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
Aramark
(a)(c)
3,515
145,310
Arch
Capital
Group
Ltd.
*(a)
2,000
125,560
Archer-Daniels-Midland
Co.
(a)(c)
7,093
658,585
Arrow
Electronics,
Inc.
*(a)
4,999
522,745
ASGN,
Inc.
*(a)(c)
747
60,866
Associated
Banc-Corp.
(a)
9,395
216,931
Assured
Guaranty
Ltd.
(a)
1,742
108,457
AT&T,
Inc.
(a)(c)
58,837
1,083,190
Autodesk,
Inc.
*(a)
803
150,057
AutoNation,
Inc.
*(a)(c)
5,298
568,475
Avangrid,
Inc.
(a)(c)
10,299
442,651
Avantor,
Inc.
*(a)
7,568
159,609
Avient
Corp.
(a)
5,897
199,083
Avis
Budget
Group,
Inc.
*(a)
256
41,966
Avnet,
Inc.
(a)
8,648
359,584
Axis
Capital
Holdings
Ltd.
(a)
900
48,753
Bank
of
New
York
Mellon
Corp.
(The)
(a)
8,992
409,316
Bath
&
Body
Works,
Inc.
(a)
5,180
218,285
Belden,
Inc.
(a)
2,015
144,879
Berry
Global
Group,
Inc.
(a)(c)
5,960
360,163
Best
Buy
Co.,
Inc.
(a)(c)
7,289
584,651
Biogen,
Inc.
*(a)(c)
1,161
321,504
Bio-Rad
Laboratories,
Inc.,
Class
A
*(a)
303
127,408
Bio-Techne
Corp.
(a)(c)
1,648
136,586
Black
Hills
Corp.
(a)
2,695
189,566
Blackbaud,
Inc.
*(a)
774
45,558
Blue
Owl
Capital,
Inc.
(a)(c)
3,692
39,135
Booking
Holdings,
Inc.
*(a)
248
499,789
Booz
Allen
Hamilton
Holding
Corp.
(a)
2,497
260,986
BorgWarner,
Inc.
(a)(c)
8,541
343,775
Boston
Beer
Co.,
Inc.
(The),
Class
A
*(a)
568
187,167
Bread
Financial
Holdings,
Inc.
(a)
6,781
255,372
Brighthouse
Financial,
Inc.
*(a)
3,914
200,671
Bristol-Myers
Squibb
Co.
(a)
4,853
349,173
Broadcom,
Inc.
(a)
181
101,203
Brown-Forman
Corp.,
Class
B
(a)
(c)
2,623
172,279
Bruker
Corp.
(a)
2,534
173,199
Brunswick
Corp.
(a)
4,879
351,678
Builders
FirstSource,
Inc.
*(a)(c)
13,058
847,203
BWX
Technologies,
Inc.
(a)(c)
1,102
64,004
CACI
International,
Inc.,
Class
A
*(a)
1,125
338,164
Cadence
Design
Systems,
Inc.
*(a)
(c)
1,531
245,940
Calix,
Inc.
*(a)(c)
1,936
132,480
Capital
One
Financial
Corp.
(a)
3,064
284,829
Capri
Holdings
Ltd.
*(a)
5,535
317,266
Cardinal
Health,
Inc.
(a)(c)
4,064
312,400
Carrier
Global
Corp.
(a)
2,339
96,484
Carter's,
Inc.
(a)(c)
1,762
131,463
Casey's
General
Stores,
Inc.
(a)
868
194,736
Cathay
General
Bancorp
(a)
3,747
152,840
CCC
Intelligent
Solutions
Holdings,
Inc.
*(a)
3,871
33,678
Celanese
Corp.
(a)
3,726
380,946
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
Centene
Corp.
*(a)
3,984
326,728
CenterPoint
Energy,
Inc.
(a)
6,189
185,608
CF
Industries
Holdings,
Inc.
(a)
3,576
304,675
ChampionX
Corp.
(a)
14,684
425,689
Charles
River
Laboratories
International,
Inc.
*(a)(c)
1,375
299,613
Chemours
Co.
(The)
(a)
13,893
425,404
Chesapeake
Energy
Corp.
(a)
517
48,789
Chevron
Corp.
(a)(c)
1,096
196,721
Choice
Hotels
International,
Inc.
(a)(c)
1,988
223,928
Churchill
Downs,
Inc.
(a)
142
30,023
Cigna
Corp.
(a)
1,209
400,590
Cintas
Corp.
(a)
626
282,714
Cirrus
Logic,
Inc.
*(a)(c)
3,272
243,699
Cisco
Systems,
Inc.
(a)
16,208
772,149
Citigroup,
Inc.
(a)(c)
15,037
680,124
Citizens
Financial
Group,
Inc.
(a)(c)
7,705
303,346
Cleveland-Cliffs,
Inc.
*(a)(c)
4,046
65,181
CNO
Financial
Group,
Inc.
(a)
3,608
82,443
Coca-Cola
Co.
(The)
(a)
4,032
256,476
Coca-Cola
Consolidated,
Inc.
(a)
247
126,553
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)(c)
9,892
565,723
Colgate-Palmolive
Co.
(a)
4,248
334,700
Columbia
Sportswear
Co.
(a)(c)
1,832
160,447
Comcast
Corp.,
Class
A
(a)(c)
10,154
355,085
Commercial
Metals
Co.
(a)(c)
10,725
518,018
CommVault
Systems,
Inc.
*(a)
2,745
172,496
Computershare
Ltd.
(2)(a)
7,951
140,065
Concentrix
Corp.
(a)
842
112,121
ConocoPhillips
(a)(c)
2,698
318,364
Consolidated
Edison,
Inc.
(a)(c)
5,381
512,863
Cooper
Cos.,
Inc.
(The)
(a)
355
117,388
Copart,
Inc.
*(a)
5,231
318,516
Corning,
Inc.
(a)(c)
5,283
168,739
Coterra
Energy,
Inc.
(a)(c)
8,919
219,140
Cracker
Barrel
Old
Country
Store,
Inc.
(a)(c)
2,153
203,975
Crane
Holdings
Co.
(a)
3,416
343,137
Cummins,
Inc.
(a)
1,725
417,950
Curtiss-Wright
Corp.
(a)(c)
1,632
272,528
CVS
Health
Corp.
(a)(c)
8,896
829,018
Dana,
Inc.
(a)(c)
22,434
339,426
Darden
Restaurants,
Inc.
(a)(c)
1,828
252,867
Darling
Ingredients,
Inc.
*(a)(c)
538
33,673
Dell
Technologies,
Inc.,
Class
C
(a)
7,913
318,261
DENTSPLY
SIRONA,
Inc.
(a)(c)
7,278
231,732
Dick's
Sporting
Goods,
Inc.
(a)(c)
3,927
472,379
DISH
Network
Corp.,
Class
A
*(a)
(c)
13,588
190,776
DocuSign,
Inc.
*(a)
4,085
226,391
Dolby
Laboratories,
Inc.,
Class
A
(a)
4,857
342,613
Donaldson
Co.,
Inc.
(a)(c)
2,142
126,100
Dover
Corp.
(a)
1,158
156,805
Dow,
Inc.
(a)(c)
8,669
436,831
Dropbox,
Inc.,
Class
A
*(a)
14,665
328,203
DXC
Technology
Co.
*(a)(c)
17,467
462,876
Eagle
Materials,
Inc.
(a)
2,563
340,495
Eastman
Chemical
Co.
(a)
3,662
298,233
39
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
eBay,
Inc.
(a)(c)
7,804
323,632
Electronic
Arts,
Inc.
(a)(c)
2,545
310,948
Elevance
Health,
Inc.
(a)
623
319,580
EMCOR
Group,
Inc.
(a)
2,781
411,894
Encompass
Health
Corp.
(a)
848
50,719
EnerSys
(a)(c)
2,333
172,269
Enhabit,
Inc.
*
5,361
70,551
Enovis
Corp.
*(a)
10,660
570,523
Envista
Holdings
Corp.
*(a)(c)
3,262
109,832
EPAM
Systems,
Inc.
*(a)
463
151,744
Equitable
Holdings,
Inc.
(a)(c)
11,539
331,169
Euronet
Worldwide,
Inc.
*(a)(c)
1,793
169,223
Evercore,
Inc.,
Class
A
(a)
4,014
437,847
Everest
Re
Group
Ltd.
(a)
758
251,103
Evergy,
Inc.
(a)
2,808
176,707
Exelixis,
Inc.
*(a)
23,235
372,689
Exelon
Corp.
(a)
3,718
160,729
Expedia
Group,
Inc.
*(a)
7,448
652,445
Expeditors
International
of
Washington,
Inc.
(a)(c)
2,840
295,133
Exxon
Mobil
Corp.
(a)(c)
4,780
527,234
F5,
Inc.
*(a)
998
143,223
Fair
Isaac
Corp.
*(a)
587
351,366
Federated
Hermes,
Inc.,
Class
B
(a)
5,966
216,625
Fidelity
National
Financial,
Inc.
(a)
(c)
8,256
310,591
First
American
Financial
Corp.
(a)
(c)
7,006
366,694
Fiserv,
Inc.
*(a)(c)
1,431
144,631
Flowers
Foods,
Inc.
(a)(c)
4,028
115,765
Flowserve
Corp.
(a)(c)
1,866
57,249
FNB
Corp.
(a)(c)
13,219
172,508
Foot
Locker,
Inc.
(a)(c)
5,675
214,458
Fortinet,
Inc.
*(a)
3,872
189,302
Fortune
Brands
Innovations,
Inc.
(a)
2,258
128,954
Franklin
Resources,
Inc.
(a)(c)
13,769
363,226
Fulton
Financial
Corp.
(a)
3,831
64,476
Gartner,
Inc.
*(a)(c)
1,456
489,420
Gates
Industrial
Corp.
plc
*(a)
13,084
149,288
Gen
Digital,
Inc.
(a)
10,207
218,736
Generac
Holdings,
Inc.
*(a)(c)
2,003
201,622
General
Dynamics
Corp.
(a)(c)
2,900
719,519
Genuine
Parts
Co.
(a)(c)
2,478
429,958
Gilead
Sciences,
Inc.
(a)(c)
13,813
1,185,847
Global
Payments,
Inc.
(a)
570
56,612
Globus
Medical,
Inc.,
Class
A
*(a)
(c)
2,641
196,147
GoDaddy,
Inc.,
Class
A
*(a)
1,711
128,017
Goldman
Sachs
Group,
Inc.
(The)
(a)
852
292,560
Goodyear
Tire
&
Rubber
Co.
(The)
*(a)
41,741
423,671
Graco,
Inc.
(a)
1,942
130,619
Graham
Holdings
Co.,
Class
B
(a)
403
243,497
Grand
Canyon
Education,
Inc.
*(a)
(c)
3,075
324,905
Greif,
Inc.,
Class
A
(a)
5,020
336,641
GSK
plc
(2)(a)
11,009
190,271
H&R
Block,
Inc.
(a)(c)
17,297
631,513
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
Haemonetics
Corp.
*(a)
1,008
79,279
Halliburton
Co.
(a)(c)
9,802
385,709
Hanover
Insurance
Group,
Inc.
(The)
(a)
178
24,053
Hartford
Financial
Services
Group,
Inc.
(The)
(a)(c)
2,821
213,916
Hawaiian
Electric
Industries,
Inc.
(a)(c)
5,966
249,677
HCA
Healthcare,
Inc.
(a)
1,076
258,197
HEICO
Corp.
(a)
436
66,987
Henry
Schein,
Inc.
*(a)(c)
2,454
196,001
Hertz
Global
Holdings,
Inc.
*(a)(c)
5,809
89,401
Hewlett
Packard
Enterprise
Co.
(a)
(c)
29,267
467,101
Hexcel
Corp.
(a)(c)
3,341
196,618
HF
Sinclair
Corp.
(a)
6,853
355,602
Holcim
AG
(2)*(a)
1,559
80,699
Hologic,
Inc.
*(a)(c)
8,573
641,346
Horizon
Therapeutics
plc
*(a)
4,762
541,916
Howmet
Aerospace,
Inc.
(a)
8,256
325,369
HP,
Inc.
(a)
14,984
402,620
Hubbell,
Inc.
(a)(c)
1,300
305,084
HubSpot,
Inc.
*(a)
111
32,093
Humana,
Inc.
(a)
495
253,534
Huntington
Ingalls
Industries,
Inc.
(a)(c)
1,188
274,048
Huntsman
Corp.
(a)(c)
19,379
532,535
IDACORP,
Inc.
(a)
441
47,562
Incyte
Corp.
*(a)
2,679
215,177
Informatica,
Inc.,
Class
A
*(a)
1,449
23,604
Ingevity
Corp.
*(a)
688
48,463
Ingredion,
Inc.
(a)
1,755
171,867
Insperity,
Inc.
(a)
1,978
224,701
Integra
LifeSciences
Holdings
Corp.
*(a)(c)
3,537
198,320
Intel
Corp.
(a)(c)
17,275
456,578
International
Business
Machines
Corp.
(a)(c)
2,440
343,772
International
Paper
Co.
(a)
15,488
536,349
Interpublic
Group
of
Cos.,
Inc.
(The)
(a)(c)
1,601
53,329
Intuit,
Inc.
(a)
158
61,497
Invesco
Ltd.
(a)
17,687
318,189
IPG
Photonics
Corp.
*(a)
495
46,862
IQVIA
Holdings,
Inc.
*(a)(c)
1,111
227,633
ITT,
Inc.
(a)(c)
2,813
228,134
Jabil,
Inc.
(a)
7,212
491,858
Janus
Henderson
Group
plc
(a)
5,207
122,469
Jazz
Pharmaceuticals
plc
*(a)
1,247
198,660
JB
Hunt
Transport
Services,
Inc.
(a)
1,365
238,001
Jefferies
Financial
Group,
Inc.
(a)
8,523
292,168
JetBlue
Airways
Corp.
*(a)
9,347
60,569
Johnson
&
Johnson
(a)(c)
2,375
419,544
Jones
Lang
LaSalle,
Inc.
*(a)
634
101,041
Juniper
Networks,
Inc.
(a)
3,063
97,893
KB
Home
(a)(c)
10,595
337,451
Kennametal,
Inc.
(a)(c)
11,329
272,576
KeyCorp
(a)
11,068
192,805
Kimberly-Clark
Corp.
(a)(c)
4,935
669,926
KLA
Corp.
(a)
377
142,140
40
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
Knight-Swift
Transportation
Holdings,
Inc.
(a)
9,801
513,670
Kroger
Co.
(The)
(a)
13,438
599,066
Kyndryl
Holdings,
Inc.
*(a)
40,904
454,852
L3Harris
Technologies,
Inc.
(a)
340
70,791
Laboratory
Corp.
of
America
Holdings
(a)
882
207,693
Lam
Research
Corp.
(a)
204
85,741
Landstar
System,
Inc.
(a)
3,691
601,264
Lantheus
Holdings,
Inc.
*(a)
2,843
144,879
Lattice
Semiconductor
Corp.
*(a)
779
50,542
Leidos
Holdings,
Inc.
(a)
448
47,125
Lennar
Corp.,
Class
A
(a)(c)
4,440
401,820
Light
&
Wonder,
Inc.
*(a)(c)
5,667
332,086
Lincoln
Electric
Holdings,
Inc.
(a)(c)
1,054
152,292
Littelfuse,
Inc.
(a)
248
54,610
LKQ
Corp.
(a)(c)
15,247
814,342
Lockheed
Martin
Corp.
(a)
869
422,760
Loews
Corp.
(a)
3,025
176,448
Louisiana-Pacific
Corp.
(a)(c)
2,383
141,074
Lowe's
Cos.,
Inc.
(a)
217
43,235
LyondellBasell
Industries
NV,
Class
A
(a)
6,148
510,468
Macy's,
Inc.
(a)(c)
29,530
609,795
Manhattan
Associates,
Inc.
*(a)
1,480
179,672
ManpowerGroup,
Inc.
(a)(c)
7,972
663,350
Marathon
Oil
Corp.
(a)
14,940
404,426
Marathon
Petroleum
Corp.
(a)
2,787
324,379
Maravai
LifeSciences
Holdings,
Inc.,
Class
A
*(a)
14,883
212,976
Marriott
Vacations
Worldwide
Corp.
(a)(c)
3,258
438,494
Masco
Corp.
(a)(c)
1,323
61,744
MasTec,
Inc.
*(a)(c)
1,676
143,013
Masterbrand,
Inc.
*
2,258
17,048
Mastercard,
Inc.,
Class
A
(a)(c)
933
324,432
Matador
Resources
Co.
(a)
2,106
120,547
Mattel,
Inc.
*(a)
2,485
44,332
Maximus,
Inc.
(a)(c)
6,821
500,184
McKesson
Corp.
(a)
444
166,553
Medpace
Holdings,
Inc.
*(a)
369
78,379
Medtronic
plc
(a)
7,267
564,791
Merck
&
Co.,
Inc.
(a)
6,385
708,416
Meta
Platforms,
Inc.,
Class
A
*(a)
6,747
811,934
MetLife,
Inc.
(a)
4,665
337,606
Mettler-Toledo
International,
Inc.
*(a)
185
267,408
MGM
Resorts
International
(a)(c)
5,484
183,879
Microchip
Technology,
Inc.
(a)
2,750
193,188
Micron
Technology,
Inc.
(a)
9,511
475,360
MillerKnoll,
Inc.
(a)(c)
12,272
257,835
Minerals
Technologies,
Inc.
(a)
43
2,611
MKS
Instruments,
Inc.
(a)
891
75,494
Moderna,
Inc.
*(a)(c)
2,254
404,863
Mohawk
Industries,
Inc.
*(a)(c)
2,809
287,136
Molina
Healthcare,
Inc.
*(a)
693
228,842
Molson
Coors
Beverage
Co.,
Class
B
(a)(c)
9,550
492,016
Mosaic
Co.
(The)
(a)
5,802
254,534
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
(a)
1,395
113,972
Murphy
Oil
Corp.
(a)(c)
3,753
161,417
Murphy
USA,
Inc.
(a)
2,685
750,565
National
Fuel
Gas
Co.
(a)(c)
2,355
149,072
Navient
Corp.
(a)
8,919
146,718
NCR
Corp.
*(a)
19,072
446,476
New
York
Community
Bancorp,
Inc.
(a)(c)
6,199
53,311
NiSource,
Inc.
(a)(c)
5,134
140,774
Nordson
Corp.
(a)
576
136,927
Nordstrom,
Inc.
(a)
8,463
136,593
NorthWestern
Corp.
(a)(c)
3,057
181,402
NRG
Energy,
Inc.
(a)
16,959
539,635
Nu
Skin
Enterprises,
Inc.,
Class
A
(a)(c)
13,426
566,040
Nucor
Corp.
(a)(c)
1,669
219,991
NuVasive,
Inc.
*(a)(c)
3,805
156,918
nVent
Electric
plc
(a)
5,559
213,855
Occidental
Petroleum
Corp.
(a)
1,749
110,170
OGE
Energy
Corp.
(a)(c)
5,009
198,106
Old
Republic
International
Corp.
(a)(c)
13,956
337,037
Olin
Corp.
(a)(c)
8,114
429,555
Omnicom
Group,
Inc.
(a)
834
68,029
ON
Semiconductor
Corp.
*(a)(c)
2,817
175,696
OneMain
Holdings,
Inc.
(a)(c)
2,564
85,407
Organon
&
Co.
(a)(c)
4,199
117,278
Oshkosh
Corp.
(a)
1,952
172,147
Ovintiv,
Inc.
(a)
5,154
261,359
Owens
Corning
(a)(c)
5,544
472,903
PACCAR,
Inc.
(a)(c)
3,785
374,601
Packaging
Corp.
of
America
(a)
2,668
341,264
Paychex,
Inc.
(a)(c)
740
85,514
PDC
Energy,
Inc.
(a)(c)
5,105
324,065
Penn
Entertainment,
Inc.
*(a)(c)
1,782
52,925
Penske
Automotive
Group,
Inc.
(a)
4,476
514,427
Pentair
plc
(a)
3,106
139,708
PepsiCo,
Inc.
(a)(c)
3,399
614,063
Performance
Food
Group
Co.
*(a)
(c)
1,199
70,010
Petco
Health
&
Wellness
Co.,
Inc.
*(a)
4,331
41,058
Pfizer,
Inc.
(a)(c)
16,995
870,824
Philip
Morris
International,
Inc.
(a)
(c)
3,560
360,308
Phillips
66
(a)
3,138
326,603
Pilgrim's
Pride
Corp.
*(a)
12,946
307,209
Pinnacle
West
Capital
Corp.
(a)(c)
5,680
431,907
Playtika
Holding
Corp.
*(a)
40,235
342,400
Polaris,
Inc.
(a)
4,177
421,877
Popular,
Inc.
5,592
370,861
Post
Holdings,
Inc.
*(a)
905
81,685
Power
Integrations,
Inc.
(a)
1,691
121,279
Premier,
Inc.,
Class
A
(a)
1,653
57,822
Principal
Financial
Group,
Inc.
(a)
(c)
4,136
347,093
Procter
&
Gamble
Co.
(The)
(a)
3,180
481,961
PTC,
Inc.
*(a)
810
97,232
PulteGroup,
Inc.
(a)(c)
9,908
451,111
41
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
PVH
Corp.
(a)
9,246
652,675
QIAGEN
NV
(2)*(a)
6,207
312,029
Qorvo,
Inc.
*(a)
2,455
222,521
Qualys,
Inc.
*(a)
1,764
197,974
Quest
Diagnostics,
Inc.
(a)(c)
1,112
173,961
QuidelOrtho
Corp.
*(a)
1,458
124,907
Ralph
Lauren
Corp.
(a)(c)
2,631
278,018
Raytheon
Technologies
Corp.
(a)(c)
2,455
247,759
Regal
Rexnord
Corp.
(a)(c)
2,696
323,466
Regeneron
Pharmaceuticals,
Inc.
*(a)
718
518,030
Reinsurance
Group
of
America,
Inc.
(a)
463
65,788
Reliance
Steel
&
Aluminum
Co.
(a)
1,161
235,033
Reynolds
Consumer
Products,
Inc.
(a)(c)
3,571
107,059
RingCentral,
Inc.,
Class
A
*(a)
3,183
112,678
Robert
Half
International,
Inc.
(a)(c)
4,959
366,123
Roche
Holding
AG
(2)(a)
1,472
462,558
Roper
Technologies,
Inc.
(a)
1,043
450,670
Saia,
Inc.
*(a)
298
62,485
Salesforce,
Inc.
*(a)
1,083
143,595
Schneider
National,
Inc.,
Class
B
(a)
23,418
547,981
Science
Applications
International
Corp.
(a)
1,529
169,612
Seagate
Technology
Holdings
plc
(a)
656
34,512
SEI
Investments
Co.
(a)
4,061
236,756
Semtech
Corp.
*(a)(c)
11,035
316,594
Sensata
Technologies
Holding
plc
(a)
3,882
156,755
Signify
NV
(2)(a)(b)
12,323
414,824
Silgan
Holdings,
Inc.
(a)(c)
5,212
270,190
Sinch
AB
(2)*(a)(b)
164,438
606,016
SiTime
Corp.
*(a)(c)
1,406
142,878
Six
Flags
Entertainment
Corp.
*(a)
(c)
9,877
229,640
Skechers
USA,
Inc.,
Class
A
*(a)
5,003
209,876
Skyworks
Solutions,
Inc.
(a)(c)
2,646
241,130
Snap-on,
Inc.
(a)
1,717
392,317
Sotera
Health
Co.
*(a)(c)
29,419
245,060
Southwest
Airlines
Co.
*(a)(c)
9,856
331,852
Southwestern
Energy
Co.
*(a)(c)
9,507
55,616
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
(a)
2,885
85,396
Sprouts
Farmers
Market,
Inc.
*(a)
(c)
10,358
335,288
SS&C
Technologies
Holdings,
Inc.
(a)
1,661
86,472
State
Street
Corp.
(a)(c)
4,613
357,830
Steel
Dynamics,
Inc.
(a)(c)
7,856
767,531
Stellantis
NV
(2)*(a)
51,329
729,404
STERIS
plc
(a)
1,129
208,515
Stifel
Financial
Corp.
(a)
4,147
242,060
Swiss
Re
AG
(2)(a)
3,497
326,974
Synaptics,
Inc.
*(a)
2,413
229,621
Synchrony
Financial
(a)
14,704
483,173
Syneos
Health,
Inc.
*(a)
13,131
481,645
Synopsys,
Inc.
*(a)
1,060
338,447
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
Synovus
Financial
Corp.
(a)
2,625
98,569
T.
Rowe
Price
Group,
Inc.
(a)(c)
936
102,080
Tapestry,
Inc.
(a)
8,719
332,020
Taylor
Morrison
Home
Corp.,
Class
A
*(a)(c)
18,447
559,866
TD
SYNNEX
Corp.
(a)
3,730
353,268
Teleflex,
Inc.
(a)
866
216,180
Tenaris
SA
(2)(a)
12,174
213,504
Tenet
Healthcare
Corp.
*(a)
6,179
301,473
Teradata
Corp.
*(a)(c)
15,831
532,871
Teradyne,
Inc.
(a)(c)
2,663
232,613
Terex
Corp.
(a)
9,856
421,048
Tetra
Tech,
Inc.
(a)
1,009
146,497
Texas
Instruments,
Inc.
(a)
277
45,766
Texas
Roadhouse,
Inc.
(a)
3,682
334,878
Textron,
Inc.
(a)(c)
13,250
938,101
Thor
Industries,
Inc.
(a)(c)
2,593
195,746
Timken
Co.
(The)
(a)
4,757
336,177
Toll
Brothers,
Inc.
(a)
9,082
453,373
Travel
+
Leisure
Co.
(a)
11,671
424,824
Travelers
Cos.,
Inc.
(The)
(a)(c)
1,569
294,172
Trex
Co.,
Inc.
*(a)(c)
2,266
95,920
TripAdvisor,
Inc.
*(a)
14,036
252,367
Tyson
Foods,
Inc.,
Class
A
(a)
10,547
656,551
UGI
Corp.
(a)
11,783
436,796
U-Haul
Holding
Co.
(a)
252
15,168
U-Haul
Holding
Co.
(a)(c)
1,850
101,713
Ulta
Beauty,
Inc.
*(a)
226
106,010
United
Rentals,
Inc.
*(a)
1,447
514,293
United
States
Steel
Corp.
(a)(c)
17,406
436,020
United
Therapeutics
Corp.
*(a)
3,280
912,135
Univar
Solutions,
Inc.
*(a)(c)
7,237
230,137
Universal
Display
Corp.
(a)(c)
1,089
117,656
Universal
Health
Services,
Inc.,
Class
B
(a)(c)
3,857
543,413
Unum
Group
(a)
16,840
690,945
US
Foods
Holding
Corp.
*(a)(c)
7,080
240,862
Vail
Resorts,
Inc.
(a)
967
230,484
Valero
Energy
Corp.
(a)
4,102
520,380
Veeva
Systems,
Inc.,
Class
A
*(a)
858
138,464
VeriSign,
Inc.
*(a)
933
191,676
Verizon
Communications,
Inc.
(a)(c)
6,306
248,456
Vertex
Pharmaceuticals,
Inc.
*(a)
1,138
328,632
Vertiv
Holdings
Co.
(a)
6,133
83,777
Viatris,
Inc.
(a)
38,182
424,966
Victoria's
Secret
&
Co.
*(a)
2,446
87,518
Visa,
Inc.,
Class
A
(a)
1,121
232,899
Vishay
Intertechnology,
Inc.
(a)(c)
24,892
536,920
Vistra
Corp.
(a)
7,397
171,610
Vontier
Corp.
(a)(c)
1,973
38,138
Voya
Financial,
Inc.
(a)
1,595
98,077
Walgreens
Boots
Alliance,
Inc.
(a)
(c)
10,230
382,193
Walmart,
Inc.
*(a)
4,173
591,690
Washington
Federal,
Inc.
(a)(c)
2,784
93,403
Waters
Corp.
*(a)
619
212,057
Watts
Water
Technologies,
Inc.,
Class
A
(a)
857
125,319
Wells
Fargo
&
Co.
(a)
3,682
152,030
Werner
Enterprises,
Inc.
(a)
9,924
399,540
42
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
83.8%
(continued)
WESCO
International,
Inc.
*(a)
1,411
176,657
Western
Union
Co.
(The)
(a)(c)
21,888
301,398
Westlake
Corp.
(a)(c)
4,206
431,283
Westrock
Co.
(a)
21,053
740,223
Whirlpool
Corp.
(a)(c)
373
52,765
Williams-Sonoma,
Inc.
(a)
3,372
387,510
WillScot
Mobile
Mini
Holdings
Corp.
*(a)
1,494
67,484
Wintrust
Financial
Corp.
(a)
1,230
103,960
Woodward,
Inc.
(a)(c)
2,206
213,122
World
Wrestling
Entertainment,
Inc.,
Class
A
(a)
796
54,542
Wyndham
Hotels
&
Resorts,
Inc.
(a)(c)
2,029
144,688
XPO,
Inc.
*(a)(c)
6,542
217,783
YETI
Holdings,
Inc.
*(a)(c)
964
39,823
Yum!
Brands,
Inc.
(a)
609
78,001
Ziff
Davis,
Inc.
*(a)(c)
2,665
210,802
Zimmer
Biomet
Holdings,
Inc.
(a)
1,799
229,373
Zoom
Video
Communications,
Inc.,
Class
A
*(a)(c)
2,964
200,781
135,374,718
—
TOTAL
COMMON
STOCKS
(Cost
$215,691,766)
259,864,295
SHORT-TERM
INVESTMENTS
-
71.4%
INVESTMENT
COMPANIES
-
51.8%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(d)(e)
4,933,539
4,933,539
J.P.
Morgan
U.S.
Treasury
Plus
Money
Market
Fund
-
IM
Shares,
4.29%
(d)(e)
30,342
30,342
Limited
Purpose
Cash
Investment
Fund,
4.08%
(d)
78,794,506
78,762,987
TOTAL
INVESTMENT
COMPANIES
(Cost
$83,709,236)
83,726,868
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
19.6%
U.S.
Treasury
Bills
2.53%,
1/5/2023
(2)(f)
$
226,000
225,954
2.72%,
1/12/2023
(2)(f)
1,134,000
1,133,016
2.95%,
1/19/2023
(2)(f)
306,000
305,508
2.96%,
1/26/2023
(2)(f)
93,200
92,969
2.89%,
2/2/2023
(2)(f)
495,000
493,429
3.16%,
2/23/2023
(2)(f)
808,000
803,137
3.29%,
3/2/2023
(2)(f)
1,296,000
1,287,149
3.38%,
3/9/2023
(2)(f)
643,000
638,074
3.53%,
3/16/2023
(2)(f)
991,000
982,782
3.85%,
3/23/2023
(2)(f)
1,762,000
1,745,600
3.93%,
3/30/2023
(2)(f)
103,000
101,945
3.93%,
4/6/2023
(2)(f)
1,474,000
1,458,007
4.11%,
4/13/2023
(2)(f)(g)
19,310,000
19,091,957
4.33%,
4/20/2023
(2)(f)
474,000
467,820
4.49%,
4/27/2023
(2)(f)
555,000
547,180
4.59%,
5/11/2023
(2)(f)
1,127,000
1,108,805
4.54%,
5/18/2023
(2)(f)
220,000
216,276
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
19.6%
(continued)
4.66%,
6/1/2023
(2)(f)
$
230,000
225,714
4.74%,
6/15/2023
(2)(f)
158,000
154,815
4.66%,
6/22/2023
(2)(f)
637,000
623,371
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$31,708,665)
31,703,508
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$115,417,901)
115,430,376
TOTAL
LONG
POSITIONS
(Cost
$331,109,667)
375,294,671
SHARES
SHORT
POSITIONS
-
(145.5)%
COMMON
STOCKS
-
(145.5)%
Australia
-
(3.7)%
Allkem
Ltd.
(2)
(13,026)
(98,681)
ALS
Ltd.
(2)
(5,050)
(41,869)
Alumina
Ltd.
(2)
(145,193)
(149,899)
Ampol
Ltd.
(2)
(2,941)
(56,533)
APA
Group
(2)
(30,749)
(224,757)
carsales.com
Ltd.
(2)
(1,669)
(23,487)
Cleanaway
Waste
Management
Ltd.
(2)
(41,407)
(73,780)
Cochlear
Ltd.
(2)
(697)
(96,261)
Commonwealth
Bank
of
Australia
(2)
(2,158)
(149,884)
Domino's
Pizza
Enterprises
Ltd.
(2)
(578)
(26,030)
Endeavour
Group
Ltd.
(2)
(31,426)
(136,764)
Evolution
Mining
Ltd.
(2)
(17,486)
(35,750)
IDP
Education
Ltd.
(2)
(23,909)
(440,625)
IGO
Ltd.
(2)
(36,762)
(336,275)
Insurance
Australia
Group
Ltd.
(2)
(92,223)
(296,467)
Lendlease
Corp.
Ltd.
(2)
(6,985)
(37,077)
Lynas
Rare
Earths
Ltd.
(2)
(52,787)
(278,268)
Macquarie
Group
Ltd.
(2)
(2,090)
(235,937)
Mineral
Resources
Ltd.
(2)
(4,945)
(259,397)
National
Australia
Bank
Ltd.
(2)
(4,474)
(90,838)
NEXTDC
Ltd.
(2)
(22,105)
(136,401)
Orica
Ltd.
(2)
(3,247)
(33,199)
OZ
Minerals
Ltd.
(2)
(4,957)
(93,435)
Pilbara
Minerals
Ltd.
(2)
(72,547)
(183,707)
QBE
Insurance
Group
Ltd.
(2)
(37,612)
(341,205)
Ramsay
Health
Care
Ltd.
(2)
(18,410)
(808,403)
REA
Group
Ltd.
(2)
(718)
(53,998)
Reece
Ltd.
(2)
(8,345)
(79,768)
SEEK
Ltd.
(2)
(3,529)
(50,171)
Seven
Group
Holdings
Ltd.
(2)
(8,828)
(125,563)
Suncorp
Group
Ltd.
(2)
(3,094)
(25,212)
Transurban
Group
(2)
(20,454)
(179,951)
Wesfarmers
Ltd.
(2)
(5,416)
(168,910)
WiseTech
Global
Ltd.
(2)
(1,064)
(36,594)
Woodside
Energy
Group
Ltd.
(2)
(6,995)
(169,406)
Woolworths
Group
Ltd.
(2)
(20,287)
(463,262)
(6,037,764)
—
Belgium
-
(0.6)%
Anheuser-Busch
InBev
SA/NV
(2)
(5,898)
(355,241)
D'ieteren
Group
(2)
(1,211)
(232,407)
Galapagos
NV
(2)
(1,757)
(77,978)
43
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Belgium
-
(0.6)%
(continued)
UCB
SA
(2)
(4,196)
(330,618)
(996,244)
—
Brazil
-
(0.4)%
MercadoLibre,
Inc.
(362)
(306,339)
Wheaton
Precious
Metals
Corp.
(9,447)
(369,089)
(675,428)
—
Canada
-
(7.0)%
Agnico
Eagle
Mines
Ltd.
(9,036)
(469,552)
Air
Canada
(22,343)
(319,964)
Alamos
Gold,
Inc.,
Class
A
(17,702)
(178,981)
Algonquin
Power
&
Utilities
Corp.
(22,924)
(149,328)
AltaGas
Ltd.
(1,860)
(32,117)
Aritzia,
Inc.
(4,454)
(155,758)
Ballard
Power
Systems,
Inc.
(38,603)
(184,747)
Barrick
Gold
Corp.
(13,176)
(225,860)
BlackBerry
Ltd.
(39,650)
(129,141)
Boralex,
Inc.,
Class
A
(1,643)
(48,562)
Brookfield
Asset
Management
Ltd.,
Class
A
(2,698)
(77,254)
Brookfield
Corp.
(10,792)
(339,382)
CAE,
Inc.
(12,928)
(250,062)
Cameco
Corp.
(12,726)
(288,450)
Canada
Goose
Holdings,
Inc.
(3,293)
(58,564)
Canadian
Pacific
Railway
Ltd.
(3,835)
(285,926)
CCL
Industries,
Inc.,
Class
B
(732)
(31,269)
Colliers
International
Group,
Inc.
(3,457)
(317,564)
Constellation
Software,
Inc.
(249)
(388,756)
Descartes
Systems
Group,
Inc.
(The)
(1,836)
(127,991)
Dollarama,
Inc.
(1,707)
(99,836)
Element
Fleet
Management
Corp.
(13,983)
(190,536)
Emera,
Inc.
(9,702)
(370,811)
Enbridge,
Inc.
(17,048)
(666,307)
FirstService
Corp.
(1,256)
(153,809)
Franco-Nevada
Corp.
(2,907)
(396,267)
GFL
Environmental,
Inc.
(9,271)
(270,735)
Gildan
Activewear,
Inc.
(918)
(25,140)
Innergex
Renewable
Energy,
Inc.
(17,270)
(206,628)
Intact
Financial
Corp.
(2,534)
(364,772)
Kinaxis,
Inc.
(1,021)
(114,550)
Kinross
Gold
Corp.
(15,149)
(61,760)
Lightspeed
Commerce,
Inc.
(14,746)
(210,735)
Metro,
Inc.
(5,262)
(291,353)
Nuvei
Corp.
(b)
(1,126)
(28,616)
Pan
American
Silver
Corp.
(9,312)
(151,991)
PrairieSky
Royalty
Ltd.
(4,829)
(77,392)
Restaurant
Brands
International,
Inc.
(4,098)
(265,038)
Ritchie
Bros
Auctioneers,
Inc.
(1,505)
(86,932)
Rogers
Communications,
Inc.,
Class
B
(8,893)
(416,211)
Royal
Bank
of
Canada
(4,757)
(447,242)
Shopify,
Inc.,
Class
A
(21,592)
(749,659)
SNC-Lavalin
Group,
Inc.
(13,147)
(231,675)
SSR
Mining,
Inc.
(2,409)
(37,701)
TC
Energy
Corp.
(7,954)
(317,103)
Thomson
Reuters
Corp.
(5,297)
(604,265)
INVESTMENTS
SHARES
VALUE
($)
Canada
-
(7.0)%
(continued)
WSP
Global,
Inc.
(3,397)
(394,117)
(11,290,409)
—
Chile
-
(0.2)%
Antofagasta
plc
(2)
(15,128)
(282,404)
China
-
(0.3)%
Prosus
NV
(2)
(7,495)
(517,481)
Denmark
-
(2.1)%
Ambu
A/S,
Class
B
(2)
(7,603)
(97,642)
Coloplast
A/S,
Class
B
(2)
(3,177)
(372,194)
Demant
A/S
(2)
(1,987)
(55,409)
DSV
A/S
(2)
(3,314)
(524,067)
Novo
Nordisk
A/S,
Class
B
(2)
(1,028)
(139,618)
Novozymes
A/S,
Class
B
(2)
(5,086)
(258,032)
Orsted
A/S
(2)(b)
(9,975)
(901,796)
Tryg
A/S
(2)
(15,767)
(374,712)
Vestas
Wind
Systems
A/S
(2)
(25,224)
(735,801)
(3,459,271)
—
Faroe
Islands
-
(0.0)%
(h)
Bakkafrost
P/F
(2)
(722)
(45,072)
Finland
-
(0.9)%
Fortum
OYJ
(2)
(15,063)
(250,860)
Neste
OYJ
(2)
(6,180)
(285,003)
Nokian
Renkaat
OYJ
(2)
(16,672)
(171,094)
Sampo
OYJ,
Class
A
(2)
(2,626)
(137,155)
UPM-Kymmene
OYJ
(2)
(12,113)
(453,285)
Valmet
OYJ
(2)
(2,848)
(76,881)
(1,374,278)
—
France
-
(5.6)%
Accor
SA
(2)
(4,911)
(122,518)
Aeroports
de
Paris
(2)
(197)
(26,392)
Air
Liquide
SA
(2)
(3,628)
(514,942)
Airbus
SE
(2)
(7,972)
(947,890)
BioMerieux
(2)
(1,559)
(163,794)
Bollore
SE
(2)
(38,814)
(216,908)
Bureau
Veritas
SA
(2)
(3,873)
(102,069)
Capgemini
SE
(2)
(506)
(84,591)
Cie
Generale
des
Etablissements
Michelin
SCA
(2)
(7,807)
(217,482)
Dassault
Systemes
SE
(2)
(23,121)
(831,424)
Edenred
(2)
(11,110)
(604,666)
EssilorLuxottica
SA
(2)
(2,025)
(366,390)
Faurecia
SE
(2)
(6,419)
(97,154)
Gaztransport
Et
Technigaz
SA
(2)
(379)
(40,504)
Getlink
SE
(2)
(7,360)
(117,857)
Hermes
International
(2)
(486)
(752,256)
Kering
SA
(2)
(253)
(128,759)
Legrand
SA
(2)
(3,116)
(249,846)
L'Oreal
SA
(2)
(1,438)
(514,945)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(1,037)
(754,618)
Remy
Cointreau
SA
(2)
(209)
(35,240)
Safran
SA
(2)
(2,830)
(354,469)
Sartorius
Stedim
Biotech
(2)
(1,748)
(568,044)
SEB
SA
(2)
(1,681)
(141,039)
SOITEC
(2)
(1,067)
(175,134)
Teleperformance
(2)
(361)
(86,303)
44
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
France
-
(5.6)%
(continued)
Thales
SA
(2)
(1,417)
(181,048)
Valeo
(2)
(7,408)
(132,365)
Worldline
SA
(2)(b)
(12,032)
(471,203)
(8,999,850)
—
Germany
-
(4.7)%
adidas
AG
(2)
(2,151)
(291,517)
Beiersdorf
AG
(2)
(1,273)
(145,468)
Carl
Zeiss
Meditec
AG
(2)
(2,008)
(252,393)
Continental
AG
(2)
(4,597)
(274,048)
CTS
Eventim
AG
&
Co.
KGaA
(2)
(3,639)
(231,000)
Fraport
AG
Frankfurt
Airport
Services
Worldwide
(2)
(1,961)
(79,416)
Infineon
Technologies
AG
(2)
(2,650)
(80,539)
Merck
KGaA
(2)
(4,171)
(804,754)
MTU
Aero
Engines
AG
(2)
(374)
(80,461)
Nemetschek
SE
(2)
(3,794)
(193,973)
Puma
SE
(2)
(3,277)
(198,073)
Rational
AG
(2)
(143)
(84,917)
Rheinmetall
AG
(2)
(192)
(38,223)
RWE
AG
(2)
(25,750)
(1,138,350)
SAP
SE
(2)
(9,026)
(931,851)
Sartorius
AG
(Preference)
(2)
(1,953)
(771,193)
Siemens
Healthineers
AG
(2)(b)
(11,179)
(557,627)
Symrise
AG
(2)
(4,840)
(525,648)
TeamViewer
AG
(2)(b)
(6,017)
(77,183)
United
Internet
AG
(Registered)
(2)
(2,660)
(53,638)
VERBIO
Vereinigte
BioEnergie
AG
(2)
(904)
(58,609)
Vonovia
SE
(2)
(12,648)
(297,942)
Zalando
SE
(2)(b)
(10,548)
(371,340)
(7,538,163)
—
Hong
Kong
-
(0.4)%
Prudential
plc
(2)
(47,379)
(646,027)
Italy
-
(2.5)%
Amplifon
SpA
(2)
(6,675)
(199,314)
Davide
Campari-Milano
NV
(2)
(32,787)
(332,864)
DiaSorin
SpA
(2)
(880)
(123,135)
ERG
SpA
(2)
(1,008)
(31,241)
Ferrari
NV
(2)
(3,800)
(814,866)
FinecoBank
Banca
Fineco
SpA
(2)
(3,135)
(52,060)
Infrastrutture
Wireless
Italiane
SpA
(2)(b)
(26,220)
(264,513)
Interpump
Group
SpA
(2)
(3,299)
(148,940)
Moncler
SpA
(2)
(12,950)
(688,123)
Nexi
SpA
(2)(b)
(68,002)
(536,804)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(2)
(6,601)
(274,389)
Telecom
Italia
SpA
(2)
(412,715)
(95,648)
Terna
-
Rete
Elettrica
Nazionale
(2)
(60,721)
(448,437)
(4,010,334)
—
Japan
-
(22.3)%
Advantest
Corp.
(2)
(4,600)
(294,624)
Aeon
Co.
Ltd.
(2)
(22,300)
(470,875)
ANA
Holdings,
Inc.
(2)
(14,200)
(300,727)
Asahi
Intecc
Co.
Ltd.
(2)
(13,400)
(218,584)
Asics
Corp.
(2)
(10,800)
(237,394)
Azbil
Corp.
(2)
(2,300)
(57,747)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(22.3)%
(continued)
Bandai
Namco
Holdings,
Inc.
(2)
(3,600)
(225,646)
BayCurrent
Consulting,
Inc.
(2)
(8,000)
(249,040)
Bridgestone
Corp.
(2)
(16,600)
(587,757)
Calbee,
Inc.
(2)
(7,800)
(177,216)
Canon,
Inc.
(2)
(13,900)
(300,853)
Capcom
Co.
Ltd.
(2)
(5,000)
(159,602)
Central
Japan
Railway
Co.
(2)
(700)
(85,946)
Chubu
Electric
Power
Co.,
Inc.
(2)
(6,300)
(65,145)
Chugai
Pharmaceutical
Co.
Ltd.
(2)
(4,200)
(107,128)
Cosmos
Pharmaceutical
Corp.
(2)
(2,600)
(264,169)
Daifuku
Co.
Ltd.
(2)
(2,400)
(111,874)
Daiichi
Sankyo
Co.
Ltd.
(2)
(18,600)
(598,672)
Daikin
Industries
Ltd.
(2)
(5,100)
(773,740)
Denso
Corp.
(2)
(12,900)
(632,614)
East
Japan
Railway
Co.
(2)
(8,700)
(495,534)
Eisai
Co.
Ltd.
(2)
(7,000)
(461,665)
FANUC
Corp.
(2)
(4,700)
(703,339)
Fast
Retailing
Co.
Ltd.
(2)
(900)
(547,680)
FUJIFILM
Holdings
Corp.
(2)
(4,100)
(205,006)
GMO
Payment
Gateway,
Inc.
(2)
(2,800)
(231,557)
Harmonic
Drive
Systems,
Inc.
(2)
(10,700)
(299,915)
Hikari
Tsushin,
Inc.
(2)
(1,200)
(168,905)
Hoshizaki
Corp.
(2)
(4,800)
(168,778)
Hoya
Corp.
(2)
(4,200)
(402,270)
Hulic
Co.
Ltd.
(2)
(18,400)
(144,487)
Itochu
Techno-Solutions
Corp.
(2)
(2,800)
(64,948)
Japan
Airlines
Co.
Ltd.
(2)
(16,800)
(342,177)
Japan
Airport
Terminal
Co.
Ltd.
(2)
(9,900)
(488,241)
Japan
Post
Bank
Co.
Ltd.
(2)
(29,400)
(252,045)
JSR
Corp.
(2)
(27,900)
(546,317)
Kadokawa
Corp.
(2)
(13,900)
(253,929)
Kakaku.com,
Inc.
(2)
(7,000)
(112,320)
Kansai
Electric
Power
Co.,
Inc.
(The)
(2)
(19,000)
(184,506)
Kansai
Paint
Co.
Ltd.
(2)
(12,000)
(146,867)
Kao
Corp.
(2)
(2,700)
(107,191)
KDDI
Corp.
(2)
(6,300)
(191,059)
Keio
Corp.
(2)
(7,700)
(282,049)
Keisei
Electric
Railway
Co.
Ltd.
(2)
(10,500)
(298,318)
Keyence
Corp.
(2)
(500)
(194,122)
Kikkoman
Corp.
(2)
(5,700)
(300,029)
Kintetsu
Group
Holdings
Co.
Ltd.
(2)
(9,500)
(313,655)
Kirin
Holdings
Co.
Ltd.
(2)
(13,700)
(208,808)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(800)
(54,834)
Kobe
Bussan
Co.
Ltd.
(2)
(20,600)
(593,717)
Koei
Tecmo
Holdings
Co.
Ltd.
(2)
(6,400)
(115,754)
Kose
Corp.
(2)
(2,500)
(271,633)
Kubota
Corp.
(2)
(28,600)
(390,717)
Kurita
Water
Industries
Ltd.
(2)
(4,100)
(169,349)
Kyowa
Kirin
Co.
Ltd.
(2)
(5,000)
(114,520)
Kyushu
Railway
Co.
(2)
(5,500)
(121,790)
Lasertec
Corp.
(2)
(2,500)
(408,177)
M3,
Inc.
(2)
(21,700)
(589,444)
Makita
Corp.
(2)
(2,200)
(51,249)
Marui
Group
Co.
Ltd.
(2)
(15,800)
(260,788)
MatsukiyoCocokara
&
Co.
(2)
(2,300)
(115,607)
McDonald's
Holdings
Co.
Japan
Ltd.
(2)
(4,900)
(186,231)
45
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(22.3)%
(continued)
Mercari,
Inc.
(2)
(6,400)
(130,170)
Mitsubishi
Estate
Co.
Ltd.
(2)
(27,000)
(349,747)
Mitsubishi
UFJ
Financial
Group,
Inc.
(2)
(56,800)
(381,322)
Mitsui
Fudosan
Co.
Ltd.
(2)
(9,900)
(180,942)
Mitsui
OSK
Lines
Ltd.
(2)
(6,400)
(159,922)
Miura
Co.
Ltd.
(2)
(1,800)
(41,279)
MonotaRO
Co.
Ltd.
(2)
(23,800)
(335,244)
Nabtesco
Corp.
(2)
(1,900)
(48,192)
Nagoya
Railroad
Co.
Ltd.
(2)
(7,700)
(126,929)
Nexon
Co.
Ltd.
(2)
(4,900)
(110,008)
Nidec
Corp.
(2)
(19,100)
(982,871)
Nihon
M&A
Center
Holdings,
Inc.
(2)
(8,700)
(107,051)
Nintendo
Co.
Ltd.
(2)
(7,000)
(294,326)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(49,000)
(384,851)
Nippon
Sanso
Holdings
Corp.
(2)
(6,800)
(98,501)
Nippon
Shinyaku
Co.
Ltd.
(2)
(1,500)
(85,125)
Nissan
Chemical
Corp.
(2)
(700)
(30,525)
Nissan
Motor
Co.
Ltd.
(2)
(90,100)
(281,961)
Nisshin
Seifun
Group,
Inc.
(2)
(6,700)
(84,206)
Nitori
Holdings
Co.
Ltd.
(2)
(1,800)
(235,193)
Nomura
Research
Institute
Ltd.
(2)
(16,800)
(399,402)
Obic
Co.
Ltd.
(2)
(1,800)
(264,256)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(23,700)
(306,925)
Olympus
Corp.
(2)
(12,800)
(225,761)
Omron
Corp.
(2)
(2,600)
(125,652)
Ono
Pharmaceutical
Co.
Ltd.
(2)
(5,900)
(137,904)
Oriental
Land
Co.
Ltd.
(2)
(5,200)
(756,727)
Pan
Pacific
International
Holdings
Corp.
(2)
(8,700)
(161,595)
Rakuten
Group,
Inc.
(2)
(103,600)
(466,933)
Recruit
Holdings
Co.
Ltd.
(2)
(5,700)
(178,421)
Renesas
Electronics
Corp.
(2)
(2,900)
(25,631)
Resonac
Holdings
Corp.
(2)
(10,800)
(164,245)
Rinnai
Corp.
(2)
(400)
(29,766)
Seibu
Holdings,
Inc.
(2)
(2,900)
(31,618)
Sekisui
House
Ltd.
(2)
(32,800)
(581,513)
Seven
&
i
Holdings
Co.
Ltd.
(2)
(12,300)
(527,133)
SG
Holdings
Co.
Ltd.
(2)
(24,800)
(343,869)
Sharp
Corp.
(2)
(12,300)
(88,352)
Shimadzu
Corp.
(2)
(1,400)
(39,634)
Shimano,
Inc.
(2)
(600)
(94,811)
Shionogi
&
Co.
Ltd.
(2)
(2,500)
(124,733)
Shiseido
Co.
Ltd.
(2)
(6,000)
(294,082)
SoftBank
Corp.
(2)
(53,500)
(605,282)
SoftBank
Group
Corp.
(2)
(9,800)
(414,471)
Sony
Group
Corp.
(2)
(11,000)
(838,439)
Suzuki
Motor
Corp.
(2)
(4,300)
(137,718)
Sysmex
Corp.
(2)
(3,100)
(187,149)
T&D
Holdings,
Inc.
(2)
(8,600)
(123,107)
Takeda
Pharmaceutical
Co.
Ltd.
(2)
(5,800)
(181,231)
Terumo
Corp.
(2)
(8,900)
(252,320)
TIS,
Inc.
(2)
(1,000)
(26,282)
Tobu
Railway
Co.
Ltd.
(2)
(11,100)
(258,907)
Toho
Co.
Ltd.
(2)
(1,700)
(65,528)
Tohoku
Electric
Power
Co.,
Inc.
(2)
(9,300)
(48,714)
Tokyo
Century
Corp.
(2)
(1,100)
(37,078)
Tokyo
Electron
Ltd.
(2)
(1,300)
(381,977)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(22.3)%
(continued)
Tokyu
Corp.
(2)
(16,400)
(206,541)
Toshiba
Corp.
(2)
(9,800)
(340,543)
TOTO
Ltd.
(2)
(3,200)
(108,542)
Toyo
Suisan
Kaisha
Ltd.
(2)
(1,900)
(73,199)
Toyota
Motor
Corp.
(2)
(80,300)
(1,095,497)
Trend
Micro,
Inc.
(2)
(800)
(37,414)
Unicharm
Corp.
(2)
(15,200)
(581,951)
USS
Co.
Ltd.
(2)
(24,500)
(388,743)
Welcia
Holdings
Co.
Ltd.
(2)
(14,400)
(335,668)
West
Japan
Railway
Co.
(2)
(13,400)
(581,819)
Yakult
Honsha
Co.
Ltd.
(2)
(4,800)
(312,468)
Yamaha
Corp.
(2)
(8,600)
(319,127)
Yamato
Holdings
Co.
Ltd.
(2)
(6,600)
(104,585)
Yaskawa
Electric
Corp.
(2)
(14,100)
(449,866)
Z
Holdings
Corp.
(2)
(79,700)
(199,052)
Zensho
Holdings
Co.
Ltd.
(2)
(1,100)
(27,628)
(36,017,054)
—
Netherlands
-
(2.6)%
Adyen
NV
(2)(b)
(320)
(444,240)
Akzo
Nobel
NV
(2)
(7,556)
(507,027)
Argenx
SE
(2)
(1,852)
(695,252)
ASM
International
NV
(2)
(568)
(144,121)
ASML
Holding
NV
(2)
(363)
(197,927)
EXOR
NV
(2)
(582)
(42,611)
IMCD
NV
(2)
(1,358)
(194,250)
Koninklijke
DSM
NV
(2)
(6,020)
(739,224)
Koninklijke
KPN
NV
(2)
(124,765)
(386,180)
Universal
Music
Group
NV
(2)
(18,654)
(451,104)
Wolters
Kluwer
NV
(2)
(4,493)
(470,126)
(4,272,062)
—
New
Zealand
-
(0.1)%
Xero
Ltd.
(2)
(2,226)
(106,144)
Norway
-
(0.8)%
DNB
Bank
ASA
(2)
(19,895)
(392,928)
Gjensidige
Forsikring
ASA
(2)
(8,521)
(167,131)
Kongsberg
Gruppen
ASA
(2)
(5,581)
(237,548)
Mowi
ASA
(2)
(8,628)
(147,024)
Schibsted
ASA,
Class
A
(2)
(4,116)
(78,055)
Telenor
ASA
(2)
(25,849)
(241,507)
TOMRA
Systems
ASA
(2)
(2,665)
(44,949)
(1,309,142)
—
Singapore
-
(1.6)%
City
Developments
Ltd.
(2)
(7,800)
(47,949)
DBS
Group
Holdings
Ltd.
(2)
(12,900)
(326,520)
Grab
Holdings
Ltd.,
Class
A
(97,949)
(315,396)
Keppel
Corp.
Ltd.
(2)
(43,300)
(234,824)
Sea
Ltd.,
ADR
(6,471)
(336,686)
Singapore
Technologies
Engineering
Ltd.
(2)
(121,900)
(305,032)
Singapore
Telecommunications
Ltd.
(2)
(502,700)
(963,823)
(2,530,230)
—
South
Korea
-
(0.4)%
Delivery
Hero
SE
(2)(b)
(13,770)
(660,819)
46
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Spain
-
(2.2)%
ACS
Actividades
de
Construccion
y
Servicios
SA
(2)
(2,560)
(73,251)
Aena
SME
SA
(2)(b)
(370)
(46,383)
Amadeus
IT
Group
SA
(2)
(14,396)
(746,832)
Bankinter
SA
(2)
(12,332)
(82,619)
CaixaBank
SA
(2)
(62,887)
(246,567)
Cellnex
Telecom
SA
(2)(b)
(19,493)
(646,607)
Ferrovial
SA
(2)
(33,578)
(879,163)
Fluidra
SA
(2)
(13,059)
(203,055)
Grifols
SA
(2)
(20,611)
(238,024)
Industria
de
Diseno
Textil
SA
(2)
(4,459)
(118,436)
Naturgy
Energy
Group
SA
(2)
(13,414)
(348,617)
(3,629,554)
—
Sweden
-
(2.6)%
Alfa
Laval
AB
(2)
(5,617)
(162,485)
Assa
Abloy
AB,
Class
B
(2)
(8,829)
(189,905)
Atlas
Copco
AB,
Class
A
(2)
(18,160)
(215,167)
Beijer
Ref
AB
(2)
(7,269)
(102,642)
Epiroc
AB,
Class
A
(2)
(27,256)
(496,308)
EQT
AB
(2)
(33,524)
(712,227)
Evolution
AB
(2)(b)
(628)
(61,170)
Hexagon
AB,
Class
B
(2)
(45,874)
(480,993)
Hexpol
AB
(2)
(3,134)
(33,440)
Holmen
AB,
Class
B
(2)
(4,572)
(181,714)
Indutrade
AB
(2)
(5,275)
(106,974)
Lifco
AB,
Class
B
(2)
(12,152)
(203,404)
Nibe
Industrier
AB,
Class
B
(2)
(34,002)
(317,367)
Saab
AB,
Class
B
(2)
(3,139)
(123,700)
Sagax
AB,
Class
B
(2)
(3,278)
(74,477)
Svenska
Cellulosa
AB
SCA,
Class
B
(2)
(31,578)
(399,925)
Svenska
Handelsbanken
AB,
Class
A
(2)
(14,060)
(141,556)
Tele2
AB,
Class
B
(2)
(15,293)
(124,758)
(4,128,212)
—
Switzerland
-
(3.2)%
Bachem
Holding
AG,
Class
B
(2)
(1,669)
(144,820)
Banque
Cantonale
Vaudoise
(Registered)
(2)
(2,093)
(200,670)
Belimo
Holding
AG
(Registered)
(2)
(231)
(110,205)
Chocoladefabriken
Lindt
&
Spruengli
AG
(2)
(9)
(91,710)
Clariant
AG
(Registered)
(2)
(10,398)
(165,135)
Dufry
AG
(Registered)
(2)
(4,581)
(190,865)
EMS-Chemie
Holding
AG
(Registered)
(2)
(202)
(136,815)
Galenica
AG
(2)(b)
(651)
(53,115)
Givaudan
SA
(Registered)
(2)
(218)
(667,715)
Idorsia
Ltd.
(2)
(1,694)
(24,561)
Logitech
International
SA
(Registered)
(2)
(3,196)
(198,182)
Lonza
Group
AG
(Registered)
(2)
(326)
(160,025)
Partners
Group
Holding
AG
(2)
(246)
(217,829)
PSP
Swiss
Property
AG
(Registered)
(2)
(2,100)
(246,691)
SIG
Group
AG
(2)
(32,711)
(714,775)
Sika
AG
(Registered)
(2)
(2,042)
(490,903)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
(3.2)%
(continued)
Sonova
Holding
AG
(Registered)
(2)
(510)
(121,124)
Straumann
Holding
AG
(Registered)
(2)
(3,450)
(395,616)
Swiss
Prime
Site
AG
(Registered)
(2)
(2,380)
(206,281)
TE
Connectivity
Ltd.
(1,035)
(118,818)
Tecan
Group
AG
(Registered)
(2)
(55)
(24,620)
Temenos
AG
(Registered)
(2)
(2,551)
(140,339)
VAT
Group
AG
(2)(b)
(581)
(159,495)
Zurich
Insurance
Group
AG
(2)
(491)
(234,736)
(5,215,045)
—
United
Kingdom
-
(4.8)%
Admiral
Group
plc
(2)
(10,818)
(277,708)
Ashtead
Group
plc
(2)
(7,663)
(435,295)
AstraZeneca
plc
(2)
(5,896)
(797,842)
AVEVA
Group
plc
(2)
(6,784)
(262,589)
Beazley
plc
(2)
(7,203)
(58,909)
Bellway
plc
(2)
(1,061)
(24,263)
Berkeley
Group
Holdings
plc
(2)
(2,061)
(93,960)
boohoo
Group
plc
(2)
(112,247)
(47,849)
British
American
Tobacco
plc
(2)
(4,995)
(197,593)
CNH
Industrial
NV
(2)
(17,307)
(277,639)
Compass
Group
plc
(2)
(3,049)
(70,408)
ConvaTec
Group
plc
(2)(b)
(61,857)
(173,241)
Croda
International
plc
(2)
(7,189)
(572,090)
Dechra
Pharmaceuticals
plc
(2)
(2,441)
(76,940)
Diageo
plc
(2)
(3,140)
(137,444)
easyJet
plc
(2)
(12,721)
(49,900)
Experian
plc
(2)
(2,319)
(78,541)
Frasers
Group
plc
(2)
(2,878)
(24,674)
Halma
plc
(2)
(11,104)
(264,441)
Hargreaves
Lansdown
plc
(2)
(9,060)
(93,300)
Hiscox
Ltd.
(2)
(15,048)
(198,399)
Informa
plc
(2)
(9,966)
(74,344)
Legal
&
General
Group
plc
(2)
(10,769)
(32,287)
Linde
plc
(80)
(26,094)
M&G
plc
(2)
(40,652)
(91,925)
National
Grid
plc
(2)
(24,389)
(292,165)
Ocado
Group
plc
(2)
(12,643)
(93,849)
Pearson
plc
(2)
(7,205)
(81,358)
Reckitt
Benckiser
Group
plc
(2)
(10,065)
(697,668)
RELX
plc
(2)
(2,617)
(72,355)
Rolls-Royce
Holdings
plc
(2)
(464,551)
(518,892)
Sage
Group
plc
(The)
(2)
(5,698)
(51,309)
Spectris
plc
(2)
(4,325)
(156,680)
Spirax-Sarco
Engineering
plc
(2)
(1,943)
(248,181)
St
James's
Place
plc
(2)
(14,348)
(189,011)
Tate
&
Lyle
plc
(2)
(4,590)
(39,324)
United
Utilities
Group
plc
(2)
(13,779)
(164,636)
Weir
Group
plc
(The)
(2)
(2,130)
(42,844)
WH
Smith
plc
(2)
(2,620)
(46,598)
WPP
plc
(2)
(60,063)
(593,421)
(7,725,966)
—
United
States
-
(76.4)%
10X
Genomics,
Inc.,
Class
A
(15,026)
(547,547)
Acadia
Healthcare
Co.,
Inc.
(4,151)
(341,710)
Advance
Auto
Parts,
Inc.
(285)
(41,904)
47
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Advanced
Drainage
Systems,
Inc.
(2,146)
(175,908)
Advanced
Micro
Devices,
Inc.
(2,899)
(187,768)
Affirm
Holdings,
Inc.
(9,740)
(94,186)
Aflac,
Inc.
(1,993)
(143,376)
agilon
health,
Inc.
(16,633)
(268,457)
Air
Products
and
Chemicals,
Inc.
(422)
(130,086)
Airbnb,
Inc.,
Class
A
(2,984)
(255,132)
Albemarle
Corp.
(995)
(215,776)
Alcoa
Corp.
(11,207)
(509,582)
Allegion
plc
(1,857)
(195,468)
Alliant
Energy
Corp.
(7,039)
(388,623)
Alnylam
Pharmaceuticals,
Inc.
(1,157)
(274,961)
Alteryx,
Inc.,
Class
A
(6,929)
(351,092)
Amazon.com,
Inc.
(8,085)
(679,140)
Amcor
plc
(27,886)
(332,122)
Amedisys,
Inc.
(1,300)
(108,602)
American
Airlines
Group,
Inc.
(35,978)
(457,640)
American
Express
Co.
(4,174)
(616,709)
American
Financial
Group,
Inc.
(1,053)
(144,556)
American
Water
Works
Co.,
Inc.
(4,337)
(661,046)
Amphenol
Corp.,
Class
A
(1,707)
(129,971)
Aon
plc,
Class
A
(2,228)
(668,712)
Apple,
Inc.
(1,461)
(189,828)
AptarGroup,
Inc.
(1,158)
(127,357)
Aptiv
plc
(3,494)
(325,396)
Armstrong
World
Industries,
Inc.
(2,078)
(142,530)
Arrowhead
Pharmaceuticals,
Inc.
(8,815)
(357,536)
Arthur
J
Gallagher
&
Co.
(1,824)
(343,897)
Ashland,
Inc.
(2,968)
(319,149)
Assurant,
Inc.
(831)
(103,925)
Atmos
Energy
Corp.
(1,337)
(149,838)
Automatic
Data
Processing,
Inc.
(1,171)
(279,705)
AutoZone,
Inc.
(158)
(389,656)
Avery
Dennison
Corp.
(2,281)
(412,861)
Axalta
Coating
Systems
Ltd.
(4,098)
(104,376)
Axon
Enterprise,
Inc.
(560)
(92,921)
AZEK
Co.,
Inc.
(The)
(14,358)
(291,755)
Azenta,
Inc.
(5,055)
(294,302)
Baker
Hughes
Co.
(6,444)
(190,291)
Ball
Corp.
(10,424)
(533,083)
Bank
of
Hawaii
Corp.
(2,361)
(183,119)
Bank
OZK
(606)
(24,276)
Bausch
Health
Cos.,
Inc.
(3,206)
(20,126)
Baxter
International,
Inc.
(5,266)
(268,408)
Becton
Dickinson
and
Co.
(959)
(243,874)
BellRing
Brands,
Inc.
(3,938)
(100,970)
Bentley
Systems,
Inc.,
Class
B
(700)
(25,872)
Bill.com
Holdings,
Inc.
(3,212)
(349,980)
BioMarin
Pharmaceutical,
Inc.
(1,590)
(164,549)
BJ's
Wholesale
Club
Holdings,
Inc.
(4,537)
(300,168)
BlackRock,
Inc.
(927)
(656,900)
Block,
Inc.,
Class
A
(3,430)
(215,541)
Boeing
Co.
(The)
(5,431)
(1,034,550)
BOK
Financial
Corp.
(882)
(91,543)
Boston
Scientific
Corp.
(6,547)
(302,930)
Bright
Horizons
Family
Solutions,
Inc.
(2,168)
(136,801)
Brink's
Co.
(The)
(1,739)
(93,402)
Broadridge
Financial
Solutions,
Inc.
(1,396)
(187,245)
Brookfield
Renewable
Corp.
(1,579)
(43,463)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Brown
&
Brown,
Inc.
(4,899)
(279,096)
BRP,
Inc.
(475)
(36,214)
Burlington
Stores,
Inc.
(873)
(177,009)
Cable
One,
Inc.
(401)
(285,456)
Cabot
Corp.
(1,713)
(114,497)
Cadence
Bank
(3,394)
(83,696)
Caesars
Entertainment,
Inc.
(3,381)
(140,650)
Carlisle
Cos.,
Inc.
(906)
(213,499)
CarMax,
Inc.
(3,022)
(184,010)
Carnival
Corp.
(35,606)
(286,984)
Carvana
Co.
(6,245)
(29,601)
Catalent,
Inc.
(2,989)
(134,535)
Cboe
Global
Markets,
Inc.
(3,259)
(408,907)
CBRE
Group,
Inc.,
Class
A
(1,129)
(86,888)
CDW
Corp.
(1,189)
(212,332)
Celsius
Holdings,
Inc.
(1,120)
(116,525)
Ceridian
HCM
Holding,
Inc.
(4,807)
(308,369)
Certara,
Inc.
(1,901)
(30,549)
CH
Robinson
Worldwide,
Inc.
(4,543)
(415,957)
ChargePoint
Holdings,
Inc.
(8,463)
(80,652)
Charles
Schwab
Corp.
(The)
(9,133)
(760,413)
Chart
Industries,
Inc.
(1,154)
(132,975)
Charter
Communications,
Inc.,
Class
A
(830)
(281,453)
Chemed
Corp.
(190)
(96,982)
Cheniere
Energy,
Inc.
(3,274)
(490,969)
Chewy,
Inc.,
Class
A
(4,056)
(150,396)
Chipotle
Mexican
Grill,
Inc.
(161)
(223,386)
Chubb
Ltd.
(948)
(209,129)
Church
&
Dwight
Co.,
Inc.
(1,228)
(98,989)
Cincinnati
Financial
Corp.
(3,415)
(349,662)
Clarivate
plc
(20,213)
(168,576)
Cloudflare,
Inc.,
Class
A
(4,121)
(186,310)
CME
Group,
Inc.
(4,277)
(719,220)
CMS
Energy
Corp.
(3,464)
(219,375)
CNX
Resources
Corp.
(35,898)
(604,522)
Cognex
Corp.
(2,093)
(98,601)
Coherent
Corp.
(6,289)
(220,744)
Comerica,
Inc.
(1,274)
(85,167)
Commerce
Bancshares,
Inc.
(7,909)
(538,338)
Confluent,
Inc.,
Class
A
(11,381)
(253,113)
Constellation
Brands,
Inc.,
Class
A
(1,306)
(302,666)
Constellation
Energy
Corp.
(890)
(76,727)
Core
&
Main,
Inc.,
Class
A
(4,602)
(88,865)
Corteva,
Inc.
(9,773)
(574,457)
CoStar
Group,
Inc.
(3,943)
(304,715)
Costco
Wholesale
Corp.
(1,464)
(668,316)
Coty,
Inc.,
Class
A
(5,700)
(48,792)
Coupa
Software,
Inc.
(2,535)
(200,696)
Credit
Acceptance
Corp.
(132)
(62,621)
Crocs,
Inc.
(1,281)
(138,899)
Crowdstrike
Holdings,
Inc.,
Class
A
(1,894)
(199,419)
Crown
Holdings,
Inc.
(5,610)
(461,198)
CSL
Ltd.
(2)
(3,605)
(702,954)
CSX
Corp.
(8,159)
(252,766)
Cullen/Frost
Bankers,
Inc.
(3,925)
(524,773)
Danaher
Corp.
(1,806)
(479,349)
Datadog,
Inc.,
Class
A
(1,919)
(141,047)
DaVita,
Inc.
(994)
(74,222)
Deckers
Outdoor
Corp.
(459)
(183,214)
48
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Deere
&
Co.
(1,414)
(606,267)
Definitive
Healthcare
Corp.
(7,886)
(86,667)
Delta
Air
Lines,
Inc.
(7,698)
(252,956)
Devon
Energy
Corp.
(2,220)
(136,552)
Dexcom,
Inc.
(3,242)
(367,124)
Dollar
General
Corp.
(2,985)
(735,056)
Dollar
Tree,
Inc.
(3,192)
(451,476)
Dominion
Energy,
Inc.
(10,742)
(658,699)
Domino's
Pizza,
Inc.
(68)
(23,555)
DoorDash,
Inc.,
Class
A
(3,599)
(175,703)
DoubleVerify
Holdings,
Inc.
(2,407)
(52,858)
DR
Horton,
Inc.
(5,190)
(462,637)
DraftKings,
Inc.,
Class
A
(35,703)
(406,657)
Driven
Brands
Holdings,
Inc.
(1,998)
(54,565)
DT
Midstream,
Inc.
(3,313)
(183,076)
Duke
Energy
Corp.
(3,785)
(389,817)
Dun
&
Bradstreet
Holdings,
Inc.
(17,793)
(218,142)
Dynatrace,
Inc.
(3,250)
(124,475)
East
West
Bancorp,
Inc.
(2,336)
(153,942)
Eaton
Corp.
plc
(1,319)
(207,017)
Ecolab,
Inc.
(3,035)
(441,775)
Edison
International
(7,703)
(490,065)
Edwards
Lifesciences
Corp.
(664)
(49,541)
Elanco
Animal
Health,
Inc.
(3,144)
(38,420)
Elastic
NV
(4,069)
(209,554)
Element
Solutions,
Inc.
(4,315)
(78,490)
Eli
Lilly
&
Co.
(2,016)
(737,533)
Emerson
Electric
Co.
(4,513)
(433,519)
Energizer
Holdings,
Inc.
(803)
(26,941)
Enphase
Energy,
Inc.
(1,278)
(338,619)
Entegris,
Inc.
(3,802)
(249,373)
Entergy
Corp.
(248)
(27,900)
Envestnet,
Inc.
(4,035)
(248,960)
EOG
Resources,
Inc.
(644)
(83,411)
EQT
Corp.
(1,250)
(42,288)
Equifax,
Inc.
(2,391)
(464,715)
Equitrans
Midstream
Corp.
(18,394)
(123,240)
Erie
Indemnity
Co.,
Class
A
(545)
(135,552)
Essent
Group
Ltd.
(6,844)
(266,095)
Essential
Utilities,
Inc.
(2,876)
(137,271)
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
(722)
(179,135)
Etsy,
Inc.
(887)
(106,245)
Eversource
Energy
(3,672)
(307,860)
Exact
Sciences
Corp.
(3,875)
(191,851)
ExlService
Holdings,
Inc.
(308)
(52,184)
FactSet
Research
Systems,
Inc.
(701)
(281,248)
Fastenal
Co.
(13,260)
(627,463)
Fifth
Third
Bancorp
(9,046)
(296,799)
First
Citizens
BancShares,
Inc.,
Class
A
(493)
(373,871)
First
Financial
Bankshares,
Inc.
(12,322)
(423,877)
First
Hawaiian,
Inc.
(6,910)
(179,936)
First
Republic
Bank
(4,212)
(513,401)
First
Solar,
Inc.
(2,934)
(439,484)
FirstEnergy
Corp.
(4,240)
(177,826)
Five
Below,
Inc.
(1,835)
(324,556)
Five9,
Inc.
(4,367)
(296,345)
Floor
&
Decor
Holdings,
Inc.,
Class
A
(3,340)
(232,564)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Fluor
Corp.
(2,079)
(72,058)
FMC
Corp.
(1,326)
(165,485)
Ford
Motor
Co.
(11,982)
(139,351)
Fortive
Corp.
(1,714)
(110,125)
Fox
Corp.,
Class
A
(1,725)
(52,388)
Fox
Factory
Holding
Corp.
(2,894)
(264,020)
Freeport-McMoRan,
Inc.
(9,428)
(358,264)
Freshpet,
Inc.
(8,202)
(432,820)
Frontier
Communications
Parent,
Inc.
(9,987)
(254,469)
FTI
Consulting,
Inc.
(1,265)
(200,882)
Garmin
Ltd.
(3,776)
(348,487)
GATX
Corp.
(1,532)
(162,913)
General
Electric
Co.
(4,227)
(354,180)
General
Mills,
Inc.
(1,750)
(146,738)
Gentex
Corp.
(10,964)
(298,988)
Glacier
Bancorp,
Inc.
(10,506)
(519,207)
Globe
Life,
Inc.
(3,643)
(439,164)
Graphic
Packaging
Holding
Co.
(1,453)
(32,329)
Grocery
Outlet
Holding
Corp.
(10,538)
(307,604)
Guardant
Health,
Inc.
(5,488)
(149,274)
Guidewire
Software,
Inc.
(5,309)
(332,131)
GXO
Logistics,
Inc.
(4,511)
(192,575)
Hanesbrands,
Inc.
(12,554)
(79,843)
Harley-Davidson,
Inc.
(3,303)
(137,405)
Hayward
Holdings,
Inc.
(6,808)
(63,995)
HealthEquity,
Inc.
(7,968)
(491,148)
Helen
of
Troy
Ltd.
(2,897)
(321,306)
Hershey
Co.
(The)
(1,804)
(417,752)
Hess
Corp.
(6,329)
(897,578)
Hilton
Worldwide
Holdings,
Inc.
(1,707)
(215,697)
Home
BancShares,
Inc.
(13,917)
(317,168)
Home
Depot,
Inc.
(The)
(578)
(182,567)
Honeywell
International,
Inc.
(1,283)
(274,947)
Hormel
Foods
Corp.
(6,853)
(312,154)
Howard
Hughes
Corp.
(The)
(2,042)
(156,050)
Huntington
Bancshares,
Inc.
(9,279)
(130,834)
Hyatt
Hotels
Corp.,
Class
A
(786)
(71,094)
IAC,
Inc.
(4,172)
(185,237)
ICU
Medical,
Inc.
(1,389)
(218,740)
IDEX
Corp.
(397)
(90,647)
IDEXX
Laboratories,
Inc.
(119)
(48,547)
Illinois
Tool
Works,
Inc.
(417)
(91,865)
Illumina,
Inc.
(2,385)
(482,247)
Inari
Medical,
Inc.
(1,503)
(95,531)
Ingersoll
Rand,
Inc.
(2,197)
(114,793)
Insulet
Corp.
(1,317)
(387,712)
Intercontinental
Exchange,
Inc.
(3,660)
(375,479)
International
Bancshares
Corp.
(790)
(36,150)
International
Flavors
&
Fragrances,
Inc.
(3,489)
(365,787)
Intuitive
Surgical,
Inc.
(1,105)
(293,212)
Ionis
Pharmaceuticals,
Inc.
(6,270)
(236,818)
Iridium
Communications,
Inc.
(6,973)
(358,412)
J
M
Smucker
Co.
(The)
(1,073)
(170,028)
Jacobs
Solutions,
Inc.
(1,058)
(127,034)
James
Hardie
Industries
plc,
CHESS
(2)
(35,894)
(646,031)
Jamf
Holding
Corp.
(3,606)
(76,808)
KBR,
Inc.
(2,899)
(153,067)
49
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Kellogg
Co.
(4,269)
(304,124)
Kemper
Corp.
(2,828)
(139,138)
Keurig
Dr
Pepper,
Inc.
(4,609)
(164,357)
Keysight
Technologies,
Inc.
(997)
(170,557)
Kinder
Morgan,
Inc.
(23,216)
(419,745)
Kinsale
Capital
Group,
Inc.
(836)
(218,631)
Kirby
Corp.
(1,713)
(110,232)
Kohl's
Corp.
(6,523)
(164,706)
Kraft
Heinz
Co.
(The)
(610)
(24,833)
Lamb
Weston
Holdings,
Inc.
(2,114)
(188,907)
Lancaster
Colony
Corp.
(122)
(24,071)
Las
Vegas
Sands
Corp.
(9,957)
(478,633)
Lear
Corp.
(1,123)
(139,274)
Leggett
&
Platt,
Inc.
(6,065)
(195,475)
Lennox
International,
Inc.
(917)
(219,374)
Leslie's,
Inc.
(11,040)
(134,798)
Liberty
Broadband
Corp.,
Class
C
(4,754)
(362,588)
LivaNova
plc
(466)
(25,882)
Live
Nation
Entertainment,
Inc.
(1,291)
(90,034)
LPL
Financial
Holdings,
Inc.
(609)
(131,648)
Lululemon
Athletica,
Inc.
(1,462)
(468,396)
Lyft,
Inc.,
Class
A
(34,845)
(383,992)
M&T
Bank
Corp.
(1,740)
(252,404)
MACOM
Technology
Solutions
Holdings,
Inc.
(2,085)
(131,313)
Madison
Square
Garden
Sports
Corp.,
Class
A
(2,357)
(432,109)
Markel
Corp.
(372)
(490,106)
MarketAxess
Holdings,
Inc.
(1,398)
(389,888)
Marsh
&
McLennan
Cos.,
Inc.
(3,795)
(627,997)
Martin
Marietta
Materials,
Inc.
(991)
(334,928)
Marvell
Technology,
Inc.
(3,005)
(111,305)
Masimo
Corp.
(1,949)
(288,355)
Match
Group,
Inc.
(6,612)
(274,332)
McCormick
&
Co.,
Inc.
(Non-Voting)
(4,132)
(342,501)
McDonald's
Corp.
(1,326)
(349,441)
MDU
Resources
Group,
Inc.
(6,523)
(197,908)
Mercury
General
Corp.
(4,141)
(141,622)
Mercury
Systems,
Inc.
(2,776)
(124,198)
MGIC
Investment
Corp.
(6,899)
(89,687)
Middleby
Corp.
(The)
(1,027)
(137,515)
Mirati
Therapeutics,
Inc.
(5,056)
(229,087)
Mondelez
International,
Inc.,
Class
A
(1,040)
(69,316)
MongoDB,
Inc.
(1,164)
(229,122)
Monolithic
Power
Systems,
Inc.
(457)
(161,600)
Monster
Beverage
Corp.
(2,009)
(203,974)
Moody's
Corp.
(1,147)
(319,577)
Morgan
Stanley
(4,605)
(391,517)
Morningstar,
Inc.
(194)
(42,018)
Motorola
Solutions,
Inc.
(1,590)
(409,759)
MP
Materials
Corp.
(14,133)
(343,149)
MSA
Safety,
Inc.
(1,009)
(145,488)
MSCI,
Inc.
(980)
(455,867)
Nasdaq,
Inc.
(5,622)
(344,910)
Natera,
Inc.
(8,250)
(331,403)
National
Instruments
Corp.
(4,471)
(164,980)
nCino,
Inc.
(3,297)
(87,173)
Neogen
Corp.
(6,896)
(105,026)
Nestle
SA
(Registered)
(2)
(10,736)
(1,240,108)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
NetApp,
Inc.
(2,725)
(163,664)
Netflix,
Inc.
(1,431)
(421,973)
Neurocrine
Biosciences,
Inc.
(1,095)
(130,787)
New
Fortress
Energy,
Inc.
(3,664)
(155,427)
New
Jersey
Resources
Corp.
(500)
(24,810)
New
Relic,
Inc.
(1,415)
(79,877)
New
York
Times
Co.
(The),
Class
A
(4,671)
(151,621)
Newell
Brands,
Inc.
(30,447)
(398,247)
NewMarket
Corp.
(402)
(125,066)
Newmont
Corp.
(15,108)
(713,098)
News
Corp.,
Class
A
(3,694)
(67,231)
NextEra
Energy,
Inc.
(13,418)
(1,121,744)
NIKE,
Inc.,
Class
B
(6,362)
(744,417)
Norfolk
Southern
Corp.
(741)
(182,597)
Northern
Trust
Corp.
(1,136)
(100,525)
Northrop
Grumman
Corp.
(1,074)
(585,985)
Norwegian
Cruise
Line
Holdings
Ltd.
(24,498)
(299,856)
NOV,
Inc.
(16,048)
(335,243)
Novanta,
Inc.
(932)
(126,631)
Novocure
Ltd.
(3,914)
(287,092)
Nutanix,
Inc.,
Class
A
(5,370)
(139,889)
NVIDIA
Corp.
(2,352)
(343,721)
NVR,
Inc.
(57)
(262,917)
Oak
Street
Health,
Inc.
(11,234)
(241,643)
Okta,
Inc.
(4,005)
(273,662)
Olaplex
Holdings,
Inc.
(13,577)
(70,736)
Old
Dominion
Freight
Line,
Inc.
(480)
(136,214)
Old
National
Bancorp
(11,371)
(204,451)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(10,752)
(503,624)
ONEOK,
Inc.
(2,468)
(162,148)
Option
Care
Health,
Inc.
(2,700)
(81,243)
Oracle
Corp.
(4,294)
(350,992)
O'Reilly
Automotive,
Inc.
(240)
(202,567)
Otis
Worldwide
Corp.
(651)
(50,980)
PacWest
Bancorp
(5,061)
(116,150)
Palantir
Technologies,
Inc.,
Class
A
(24,764)
(158,985)
Palo
Alto
Networks,
Inc.
(1,310)
(182,797)
Papa
John's
International,
Inc.
(897)
(73,832)
Paramount
Global,
Class
B
(3,821)
(64,498)
Parker-Hannifin
Corp.
(751)
(218,541)
Paycom
Software,
Inc.
(106)
(32,893)
Paycor
HCM,
Inc.
(903)
(22,096)
Paylocity
Holding
Corp.
(389)
(75,567)
PayPal
Holdings,
Inc.
(3,654)
(260,238)
Pegasystems,
Inc.
(800)
(27,392)
Peloton
Interactive,
Inc.,
Class
A
(29,536)
(234,516)
Penumbra,
Inc.
(2,370)
(527,230)
Perrigo
Co.
plc
(5,070)
(172,836)
PG&E
Corp.
(3,566)
(57,983)
Pinnacle
Financial
Partners,
Inc.
(2,113)
(155,094)
Pinterest,
Inc.,
Class
A
(13,562)
(329,285)
Planet
Fitness,
Inc.,
Class
A
(4,309)
(339,549)
Plug
Power,
Inc.
(19,462)
(240,745)
PNC
Financial
Services
Group,
Inc.
(The)
(2,991)
(472,399)
Pool
Corp.
(390)
(117,909)
PPG
Industries,
Inc.
(1,198)
(150,637)
PPL
Corp.
(910)
(26,590)
Primerica,
Inc.
(2,276)
(322,782)
50
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Procore
Technologies,
Inc.
(2,011)
(94,879)
Progressive
Corp.
(The)
(6,158)
(798,753)
Prosperity
Bancshares,
Inc.
(2,398)
(174,287)
Prudential
Financial,
Inc.
(3,129)
(311,210)
Public
Service
Enterprise
Group,
Inc.
(5,574)
(341,519)
Pure
Storage,
Inc.,
Class
A
(1,172)
(31,363)
QUALCOMM,
Inc.
(1,188)
(130,609)
Quanta
Services,
Inc.
(2,106)
(300,105)
QuantumScape
Corp.
(13,165)
(74,646)
R1
RCM,
Inc.
(21,070)
(230,717)
Range
Resources
Corp.
(6,267)
(156,800)
Regions
Financial
Corp.
(10,081)
(217,346)
RenaissanceRe
Holdings
Ltd.
(1,112)
(204,864)
Repligen
Corp.
(2,046)
(346,408)
Republic
Services,
Inc.
(3,726)
(480,617)
ResMed,
Inc.
(1,499)
(311,987)
RH
(508)
(135,733)
RLI
Corp.
(1,941)
(254,795)
ROBLOX
Corp.,
Class
A
(6,251)
(177,903)
Rockwell
Automation,
Inc.
(774)
(199,359)
Roku,
Inc.
(3,602)
(146,601)
Ross
Stores,
Inc.
(1,699)
(197,203)
Royal
Caribbean
Cruises
Ltd.
(4,470)
(220,952)
Royal
Gold,
Inc.
(4,877)
(549,735)
Royalty
Pharma
plc,
Class
A
(4,652)
(183,847)
RPM
International,
Inc.
(2,007)
(195,582)
Ryan
Specialty
Holdings,
Inc.,
Class
A
(4,153)
(172,391)
S&P
Global,
Inc.
(900)
(301,446)
Sabre
Corp.
(33,712)
(208,340)
Schlumberger
Ltd.
(11,030)
(589,664)
Schneider
Electric
SE
(2)
(4,615)
(648,106)
Scotts
Miracle-Gro
Co.
(The)
(6,289)
(305,583)
Seagen,
Inc.
(3,885)
(499,261)
Sealed
Air
Corp.
(2,337)
(116,570)
Selective
Insurance
Group,
Inc.
(2,697)
(238,981)
Sempra
Energy
(1,669)
(257,927)
Sensient
Technologies
Corp.
(1,343)
(97,932)
SentinelOne,
Inc.,
Class
A
(10,147)
(148,045)
ServiceNow,
Inc.
(128)
(49,699)
Sherwin-Williams
Co.
(The)
(1,756)
(416,751)
Shift4
Payments,
Inc.,
Class
A
(1,158)
(64,767)
Shockwave
Medical,
Inc.
(509)
(104,655)
Silicon
Laboratories,
Inc.
(991)
(134,449)
Simpson
Manufacturing
Co.,
Inc.
(1,543)
(136,802)
SiteOne
Landscape
Supply,
Inc.
(1,290)
(151,343)
Smartsheet,
Inc.,
Class
A
(1,183)
(46,563)
Snap,
Inc.,
Class
A
(61,776)
(552,895)
Snowflake,
Inc.,
Class
A
(1,518)
(217,894)
SoFi
Technologies,
Inc.
(59,700)
(275,217)
SolarEdge
Technologies,
Inc.
(1,182)
(334,825)
Sonoco
Products
Co.
(4,847)
(294,261)
Southern
Co.
(The)
(7,433)
(530,791)
Southwest
Gas
Holdings,
Inc.
(5,984)
(370,290)
Spire,
Inc.
(1,994)
(137,307)
Splunk,
Inc.
(645)
(55,528)
STAAR
Surgical
Co.
(1,156)
(56,112)
Stanley
Black
&
Decker,
Inc.
(1,722)
(129,357)
Starbucks
Corp.
(1,072)
(106,342)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
Stericycle,
Inc.
(2,766)
(137,996)
Stryker
Corp.
(1,429)
(349,376)
SunPower
Corp.
(6,020)
(108,541)
Sunrun,
Inc.
(9,494)
(228,046)
SVB
Financial
Group
(1,079)
(248,321)
Sysco
Corp.
(2,333)
(178,358)
Take-Two
Interactive
Software,
Inc.
(2,030)
(211,384)
Tandem
Diabetes
Care,
Inc.
(5,495)
(247,000)
Targa
Resources
Corp.
(1,293)
(95,036)
Target
Corp.
(2,945)
(438,923)
Teladoc
Health,
Inc.
(876)
(20,717)
Teledyne
Technologies,
Inc.
(73)
(29,193)
Tempur
Sealy
International,
Inc.
(4,516)
(155,034)
Tesla,
Inc.
(2,770)
(341,209)
Texas
Capital
Bancshares,
Inc.
(1,824)
(110,005)
Thermo
Fisher
Scientific,
Inc.
(724)
(398,700)
TJX
Cos.,
Inc.
(The)
(6,396)
(509,122)
T-Mobile
US,
Inc.
(3,927)
(549,780)
Toast,
Inc.,
Class
A
(9,370)
(168,941)
TopBuild
Corp.
(2,461)
(385,122)
Toro
Co.
(The)
(823)
(93,164)
Tractor
Supply
Co.
(1,338)
(301,010)
Trade
Desk,
Inc.
(The),
Class
A
(6,900)
(309,327)
Tradeweb
Markets,
Inc.,
Class
A
(4,640)
(301,275)
Trane
Technologies
plc
(2,004)
(336,852)
TransUnion
(4,906)
(278,416)
Trimble,
Inc.
(2,459)
(124,327)
Truist
Financial
Corp.
(4,814)
(207,146)
Twilio,
Inc.,
Class
A
(2,525)
(123,624)
Uber
Technologies,
Inc.
(27,168)
(671,865)
UiPath,
Inc.,
Class
A
(15,751)
(200,195)
Ultragenyx
Pharmaceutical,
Inc.
(7,946)
(368,138)
UMB
Financial
Corp.
(1,933)
(161,444)
Umpqua
Holdings
Corp.
(4,333)
(77,344)
Under
Armour,
Inc.,
Class
A
(10,126)
(102,880)
Union
Pacific
Corp.
(3,291)
(681,467)
United
Airlines
Holdings,
Inc.
(3,441)
(129,726)
United
Bankshares,
Inc.
(4,862)
(196,862)
United
Parcel
Service,
Inc.,
Class
B
(2,477)
(430,602)
UnitedHealth
Group,
Inc.
(868)
(460,196)
Unity
Software,
Inc.
(9,473)
(270,833)
US
Bancorp
(2,162)
(94,285)
Valley
National
Bancorp
(5,340)
(60,395)
Valmont
Industries,
Inc.
(367)
(121,356)
Valvoline,
Inc.
(5,118)
(167,103)
Verisk
Analytics,
Inc.
(2,227)
(392,887)
VF
Corp.
(7,784)
(214,916)
Virtu
Financial,
Inc.,
Class
A
(3,834)
(78,252)
Visteon
Corp.
(2,879)
(376,660)
Vulcan
Materials
Co.
(1,047)
(183,340)
W
R
Berkley
Corp.
(3,087)
(224,024)
Walt
Disney
Co.
(The)
(3,605)
(313,202)
Warner
Bros
Discovery,
Inc.
(10,942)
(103,730)
Waste
Connections,
Inc.
(4,081)
(540,977)
Waste
Management,
Inc.
(1,427)
(223,868)
Watsco,
Inc.
(592)
(147,645)
Wayfair,
Inc.,
Class
A
(5,050)
(166,095)
Webster
Financial
Corp.
(5,582)
(264,252)
WEC
Energy
Group,
Inc.
(2,779)
(260,559)
Wendy's
Co.
(The)
(3,955)
(89,502)
51
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(76.4)%
(continued)
West
Pharmaceutical
Services,
Inc.
(704)
(165,686)
Western
Alliance
Bancorp
(1,361)
(81,061)
Western
Digital
Corp.
(2,437)
(76,887)
Westinghouse
Air
Brake
Technologies
Corp.
(909)
(90,727)
White
Mountains
Insurance
Group
Ltd.
(229)
(323,882)
Williams
Cos.,
Inc.
(The)
(13,563)
(446,223)
Willis
Towers
Watson
plc
(1,601)
(391,573)
Wingstop,
Inc.
(1,169)
(160,878)
Wolfspeed,
Inc.
(4,652)
(321,174)
Workday,
Inc.,
Class
A
(1,732)
(289,816)
Worthington
Industries,
Inc.
(3,628)
(180,348)
WW
Grainger,
Inc.
(97)
(53,956)
Wynn
Resorts
Ltd.
(4,596)
(379,032)
Xcel
Energy,
Inc.
(2,855)
(200,164)
Xerox
Holdings
Corp.
(4,057)
(59,232)
Xylem,
Inc.
(1,290)
(142,635)
Zebra
Technologies
Corp.,
Class
A
(1,333)
(341,795)
Zillow
Group,
Inc.,
Class
C
(7,657)
(246,632)
Zions
Bancorp
NA
(2,145)
(105,448)
Zoetis,
Inc.
(2,104)
(308,341)
ZoomInfo
Technologies,
Inc.,
Class
A
(12,319)
(370,925)
Zscaler,
Inc.
(1,534)
(171,655)
(123,400,751)
—
Zambia
-
(0.1)%
First
Quantum
Minerals
Ltd.
(11,561)
(241,551)
TOTAL
COMMON
STOCKS
(Proceeds
$(273,128,349))
(235,109,255)
NO.
OF
WARRANTS
WARRANTS
-
(0.0)%
(h)
Canada
-
(0.0)%
(h)
Cenovus
Energy,
Inc.,
expiring
1/1/2026
*
(Proceeds
$–)
(674)
(9,811)
TOTAL
SHORT
POSITIONS
(Proceeds
$(273,128,349))
(235,119,066)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
86.7%
(Cost
$57,981,318)
140,175,605
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
13.3%
(i)
21,471,322
NET
ASSETS
-
100.0%
161,646,927
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(4,058,035)
(2.5)
%
Consumer
Discretionary
(3,093,495)
(1.9)
Consumer
Staples
1,906,730
1.2
Energy
9,094,621
5.6
Financials
11,069,650
6.8
Health
Care
(1,312,082)
(0.8)
Industrials
5,144,415
3.2
Information
Technology
2,577,292
1.6
Materials
3,935,867
2.4
Real
Estate
(466,198)
(0.3)
Utilities
(53,536)
0.0
(h
)
Investment
Companies
83,726,868
51.8
U.S.
Treasury
Obligations
31,703,508
19.6
Total
Investments
In
Securities
At
Value
140,175,605
86.7
Other
Assets
in
Excess
of
Liabilities
(i)
21,471,322
13.3
Net
Assets
$
161,646,927
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$250,570,127,
which
is
inclusive
of
rehypothecated
amounts disclosed
below.
In
addition,
$4,849,539
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
December
31,
2022
amounted
to
$(2,254,525),
which
represents
(1.39)%
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
$53,150,926.
(d)
Represents
7-day
effective
yield
as
of
December
31,
2022.
52
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
December
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SOFR
Annual
3.75%
Annual
3/15/2033
USD
8,300,000
$
177,125
$
(27,428)
$
149,697
Pay
3M
BBR
Qtrly
5.50%
Semi
3/12/2025
NZD
3,000,000
2,043
1,223
3,266
Pay
3M
BBR
Qtrly
4.50%
Qtrly
3/13/2025
AUD
4,100,000
5,883
16,552
22,435
Pay
6M
NIBOR
Semi
3.50%
Annual
6/18/2025
NOK
6,000,000
3,652
(2,261)
1,391
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
2,700,000
24,390
56,460
80,850
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
16,300,000
224,206
33,338
257,544
Receive
1D
SOFR
Annual
3.75%
Annual
6/23/2025
USD
17,600,000
37,801
80,060
117,861
Receive
1D
SOFR
Annual
3.25%
Annual
6/23/2025
USD
48,600,000
646,188
132,949
779,137
Receive
1D
SONIA
Annual
4.00%
Annual
6/23/2025
GBP
5,000,000
42,059
10,687
52,746
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
1,400,000
34,470
67,171
101,641
Receive
1D
TONAR
Annual
0.00%
Annual
6/23/2025
JPY
13,704,300,000
444,822
336,392
781,214
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
41,800,000
443,814
202,823
646,637
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
32,000,000
37,362
123,911
161,273
Receive
3M
BA
Qtrly
3.75%
Semi
6/19/2025
CAD
45,400,000
45,816
195,251
241,067
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
8,400,000
(24,024)
32,811
8,787
Receive
3M
BBR
Qtrly
4.00%
Qtrly
6/12/2025
AUD
2,100,000
(4,195)
7,675
3,480
Receive
3M
STIBOR
Qtrly
3.00%
Annual
6/18/2025
SEK
64,000,000
(2,874)
66,773
63,899
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/23/2025
EUR
21,000,000
155,159
256,757
411,916
Receive
6M
EURIBOR
Semi
3.00%
Annual
3/15/2033
EUR
2,400,000
(51,734)
98,763
47,029
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
1,700,000
127,582
60,050
187,632
2,369,545
1,749,957
4,119,502
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
21,900,000
(164,975)
(150,166)
(315,141)
Pay
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
18,400,000
7,566
(75,201)
(67,635)
Pay
1D
SARON
Annual
1.50%
Annual
6/23/2025
CHF
26,000,000
125,981
(257,946)
(131,965)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
2,100,000
(91,678)
(724)
(92,402)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2033
USD
9,800,000
(200,834)
(187,363)
(388,197)
Pay
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
6,300,000
(134,764)
62,270
(72,494)
Pay
1D
SONIA
Annual
3.25%
Annual
6/21/2033
GBP
800,000
(21,973)
(14,126)
(36,099)
Pay
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
464,000,000
(12,285)
(8,633)
(20,918)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
488,500,000
(13,030)
(129,035)
(142,065)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2033
JPY
2,840,200,000
(344,575)
(554,957)
(899,532)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
2,300,000
(53,482)
24,303
(29,179)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
2,900,000
(68,749)
(12,793)
(81,542)
Pay
3M
BA
Qtrly
3.50%
Semi
6/20/2033
CAD
8,900,000
188,763
(282,375)
(93,612)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
2,300,000
(1,092)
(23,408)
(24,500)
Pay
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
1,800,000
(8,021)
(21,719)
(29,740)
Pay
3M
BBR
Qtrly
5.00%
Semi
3/12/2025
NZD
8,200,000
(23,890)
(15,320)
(39,210)
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
200,000
(22)
(5)
(27)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
1,100,000
(23,667)
(11,390)
(35,057)
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
5,000,000
(35,575)
14,492
(21,083)
Pay
6M
EURIBOR
Semi
3.00%
Annual
3/17/2025
EUR
11,300,000
(38,094)
(69,090)
(107,184)
Pay
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
7,300,000
(214,202)
(77,793)
(291,995)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/21/2033
EUR
5,700,000
(67,059)
(302,681)
(369,740)
Receive
1D
SOFR
Annual
4.50%
Annual
3/17/2025
USD
44,000,000
(228,071)
93,491
(134,580)
(1,423,728)
(2,000,169)
(3,423,897)
$
945,817
$
(250,212)
$
695,605
53
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
December
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
4.30%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
3.43%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.26%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.94%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
2.70%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.77%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
2.69%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.51%
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(995,750)
$
1,309
iBovespa
Index
February
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MSCS
02/15/2023
BRL
12,554,639
78,797
KOSPI
200
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
03/09/2023
KRW
(292,850,000)
13,856
Swiss
Market
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
426,240
2,030
TAIEX
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
TWD
(2,827,000)
1,142
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
03/15/2023
MXN
(2,462,851)
7,135
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
(-0.26%)
Monthly
BANA
03/15/2023
EUR
(1,321,011)
89,972
54
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
BANA
03/15/2023
SGD
(1,584,936)
$
22,434
216,675
DTOP
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
03/16/2023
ZAR
636,400
(1,481)
HSCEI
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(3,718,000)
(2,386)
SGX
NIFTY
50
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/25/2023
USD
(36,446)
(391)
WIG20
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
03/17/2023
PLN
(2,070,240)
(9,000)
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
ILS
1,667,477
(15,162)
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
(-0.40%)
Monthly
BANA
03/15/2023
HKD
(1,397,890)
(307)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.20%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
EUR
2,690,925
(60,236)
MSCI
South
Africa
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
JIBAR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
ZAR
3,999,012
(5,179)
55
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
EUR
542,267
$
(5,478)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.34%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
CHF
2,385,883
(85,010)
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
BANA
03/15/2023
GBP
264,868
(3,181)
(187,811)
$
28,864
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
37
1/2023
USD
$
3,178,670
$
173,858
FTSE
Bursa
Malaysia
KLCI
Index
6
1/2023
MYR
101,612
900
IBEX
35
Index
35
1/2023
EUR
3,070,056
(3,265)
LME
Aluminum
Base
Metal
1
1/2023
USD
58,713
4,100
LME
Aluminum
Base
Metal
1
1/2023
USD
58,813
1,838
LME
Aluminum
Base
Metal
1
1/2023
USD
59,381
4,929
LME
Aluminum
Base
Metal
2
1/2023
USD
117,476
6,753
LME
Aluminum
Base
Metal
2
1/2023
USD
117,526
(976)
LME
Aluminum
Base
Metal
2
1/2023
USD
117,462
3,222
LME
Aluminum
Base
Metal
2
1/2023
USD
117,501
1,461
LME
Aluminum
Base
Metal
3
1/2023
USD
176,249
4,886
LME
Copper
Base
Metal
1
1/2023
USD
209,138
18,010
LME
Copper
Base
Metal
2
1/2023
USD
418,388
39,918
LME
Copper
Base
Metal
3
1/2023
USD
627,931
60,214
LME
Copper
Base
Metal
4
1/2023
USD
837,001
81,978
LME
Nickel
Base
Metal
1
1/2023
USD
179,406
45,123
LME
Zinc
Base
Metal
1
1/2023
USD
74,544
7,048
Natural
Gas
24
1/2023
USD
1,074,000
(110,763)
NY
Harbor
ULSD
1
1/2023
USD
138,390
11,051
RBOB
Gasoline
1
1/2023
USD
104,089
13,598
56
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
SGX
FTSE
Taiwan
Index
60
1/2023
USD
$
2,980,200
$
(13,279)
WTI
Crude
Oil
13
1/2023
USD
1,043,380
95,350
LME
Aluminum
Base
Metal
1
2/2023
USD
58,988
(2,279)
LME
Aluminum
Base
Metal
1
2/2023
USD
59,000
(1,509)
LME
Aluminum
Base
Metal
2
2/2023
USD
118,026
(1,382)
LME
Copper
Base
Metal
2
2/2023
USD
418,763
(5,118)
LME
Copper
Base
Metal
3
2/2023
USD
628,050
23,504
LME
Copper
Base
Metal
3
2/2023
USD
628,463
22,429
LME
Copper
Base
Metal
3
2/2023
USD
628,163
(2,827)
LME
Copper
Base
Metal
3
2/2023
USD
628,069
(5,439)
LME
Copper
Base
Metal
3
2/2023
USD
628,088
686
LME
Copper
Base
Metal
3
2/2023
USD
628,032
34,024
LME
Copper
Base
Metal
4
2/2023
USD
837,657
40,621
LME
Copper
Base
Metal
5
2/2023
USD
1,046,875
26,887
LME
Copper
Base
Metal
6
2/2023
USD
1,256,027
52,511
LME
Nickel
Base
Metal
1
2/2023
USD
179,790
2,395
LME
Zinc
Base
Metal
1
2/2023
USD
74,573
(1,205)
LME
Zinc
Base
Metal
1
2/2023
USD
74,564
1,600
LME
Zinc
Base
Metal
1
2/2023
USD
74,494
491
LME
Zinc
Base
Metal
3
2/2023
USD
223,450
1,316
Low
Sulphur
Gasoil
1
2/2023
USD
90,600
9,584
Australia
10
Year
Bond
60
3/2023
AUD
4,723,885
(33,078)
Cocoa
5
3/2023
GBP
124,643
6,526
Euro-Bund
243
3/2023
EUR
34,543,851
(1,982,209)
FTSE
100
Index
29
3/2023
GBP
2,617,546
1,948
FTSE/JSE
Top
40
Index
15
3/2023
ZAR
597,837
(17,061)
FTSE/MIB
Index
125
3/2023
EUR
15,861,393
(520,847)
Japan
10
Year
Bond
20
3/2023
JPY
22,130,448
(481,464)
KOSPI
200
Index
26
3/2023
KRW
1,505,358
(73,265)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,300
(827)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,239
(3,266)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,300
(2,878)
LME
Copper
Base
Metal
1
3/2023
USD
209,488
2,985
LME
Copper
Base
Metal
1
3/2023
USD
209,269
704
LME
Copper
Base
Metal
1
3/2023
USD
209,256
4
LME
Copper
Base
Metal
3
3/2023
USD
627,863
(9,270)
LME
Copper
Base
Metal
3
3/2023
USD
627,806
(364)
LME
Copper
Base
Metal
4
3/2023
USD
837,950
(1,223)
LME
Copper
Base
Metal
4
3/2023
USD
837,950
(60)
LME
Nickel
Base
Metal
1
3/2023
USD
180,270
2,667
LME
Nickel
Base
Metal
1
3/2023
USD
180,258
2,065
LME
Nickel
Base
Metal
1
3/2023
USD
180,249
9,396
LME
Zinc
Base
Metal
1
3/2023
USD
74,450
(6,189)
LME
Zinc
Base
Metal
1
3/2023
USD
74,475
(6,265)
LME
Zinc
Base
Metal
3
3/2023
USD
223,238
(18,735)
Long
Gilt
21
3/2023
GBP
2,535,748
(98,669)
S&P/TSX
60
Index
5
3/2023
CAD
864,033
(4,588)
SET50
Index
180
3/2023
THB
1,046,999
21,035
Silver
6
3/2023
USD
721,200
75,824
Soybean
71
3/2023
USD
5,410,200
170,311
Soybean
Oil
1
3/2023
USD
38,442
1,513
SPI
200
Index
139
3/2023
AUD
16,542,749
(207,397)
57
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
TOPIX
Index
189
3/2023
JPY
$
27,239,675
$
(727,537)
(3,257,971)
Short
Contracts
Amsterdam
Exchange
Index
(55)
1/2023
EUR
(8,120,594)
453,775
CAC
40
10
Euro
Index
(2)
1/2023
EUR
(138,527)
147
Hang
Seng
Index
(30)
1/2023
HKD
(3,827,134)
(12,227)
HSCEI
(22)
1/2023
HKD
(952,668)
(2,110)
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(58,713)
(4,312)
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(58,813)
(1,316)
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(59,381)
(5,634)
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,501)
(56)
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,476)
(6,556)
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,462)
(2,967)
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,526)
1,768
LME
Aluminum
Base
Metal
(3)
1/2023
USD
(176,249)
(4,807)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,138)
(18,490)
LME
Copper
Base
Metal
(2)
1/2023
USD
(418,388)
(41,893)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,931)
(63,863)
LME
Copper
Base
Metal
(4)
1/2023
USD
(837,001)
(80,262)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,406)
(46,338)
LME
Zinc
Base
Metal
(1)
1/2023
USD
(74,544)
(6,672)
MSCI
Singapore
Index
(148)
1/2023
SGD
(3,210,497)
2,186
OMXS30
Index
(59)
1/2023
SEK
(1,154,573)
46,303
SGX
FTSE
China
A50
Index
(17)
1/2023
USD
(222,428)
(538)
SGX
NIFTY
50
Index
(37)
1/2023
USD
(1,348,502)
(11,523)
100
oz
Gold
(68)
2/2023
USD
(12,418,160)
(436,282)
Live
Cattle
(1)
2/2023
USD
(63,160)
(1,496)
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(59,000)
2,197
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(58,988)
2,484
LME
Aluminum
Base
Metal
(2)
2/2023
USD
(118,026)
2,393
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,763)
2,090
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,163)
1,588
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,069)
6,908
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,050)
(23,083)
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,088)
(3,547)
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,463)
(24,384)
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,032)
(28,782)
LME
Copper
Base
Metal
(4)
2/2023
USD
(837,657)
(43,206)
LME
Copper
Base
Metal
(5)
2/2023
USD
(1,046,875)
(29,456)
LME
Copper
Base
Metal
(6)
2/2023
USD
(1,256,027)
(61,150)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,790)
(5,463)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,494)
(652)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,573)
643
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,564)
(2,096)
LME
Zinc
Base
Metal
(3)
2/2023
USD
(223,450)
(1,604)
Sugar
No.
11
(2)
2/2023
USD
(44,890)
(4,497)
Australia
3
Year
Bond
(54)
3/2023
AUD
(3,925,397)
46,524
Canada
10
Year
Bond
(416)
3/2023
CAD
(37,612,052)
1,142,595
Cocoa
(1)
3/2023
USD
(26,000)
(2,355)
Coffee
'C'
(2)
3/2023
USD
(125,475)
(6,815)
Copper
(5)
3/2023
USD
(476,313)
(12,056)
Corn
(113)
3/2023
USD
(3,833,525)
(55,417)
Cotton
No.
2
(1)
3/2023
USD
(41,685)
510
DAX
Index
(40)
3/2023
EUR
(14,973,455)
486,021
DJIA
CBOT
E-Mini
Index
(2)
3/2023
USD
(332,850)
4,292
EURO
STOXX
50
Index
(84)
3/2023
EUR
(3,403,389)
38,761
58
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Euro-Bobl
(20)
3/2023
EUR
$
(2,476,379)
$
76,955
Euro-BTP
(9)
3/2023
EUR
(1,047,703)
73,155
Euro-Buxl
(6)
3/2023
EUR
(866,165)
121,190
Euro-OAT
(10)
3/2023
EUR
(1,362,148)
78,654
Euro-Schatz
(70)
3/2023
EUR
(7,895,158)
93,936
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,239)
2,883
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,300)
776
LME
Aluminum
Base
Metal
(3)
3/2023
USD
(177,901)
6,378
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,488)
(2,488)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,269)
(1,001)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,256)
(464)
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,863)
6,309
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,806)
(272)
LME
Copper
Base
Metal
(4)
3/2023
USD
(837,950)
(3,281)
LME
Copper
Base
Metal
(4)
3/2023
USD
(837,950)
2,922
LME
Copper
Base
Metal
(27)
3/2023
USD
(5,653,463)
(19,320)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,270)
(9,423)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,258)
(2,649)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,249)
(7,532)
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,475)
6,147
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,450)
6,422
LME
Zinc
Base
Metal
(4)
3/2023
USD
(297,650)
1,875
MEX
BOLSA
Index
(10)
3/2023
MXN
(250,625)
11,247
MSCI
EAFE
E-Mini
Index
(5)
3/2023
USD
(487,350)
6,846
MSCI
Emerging
Markets
E-Mini
Index
(6)
3/2023
USD
(287,820)
3,018
NASDAQ
100
E-Mini
Index
(2)
3/2023
USD
(440,890)
10,726
Nikkei
225
Index
(2)
3/2023
JPY
(397,440)
14,476
Russell
2000
E-Mini
Index
(4)
3/2023
USD
(354,180)
10,971
S&P
500
E-Mini
Index
(109)
3/2023
USD
(21,042,450)
611,497
S&P
Midcap
400
E-Mini
Index
(1)
3/2023
USD
(244,260)
8,651
U.S.
Treasury
10
Year
Note
(250)
3/2023
USD
(28,035,156)
328,600
U.S.
Treasury
2
Year
Note
(30)
3/2023
USD
(6,150,000)
(2,691)
U.S.
Treasury
5
Year
Note
(24)
3/2023
USD
(2,587,875)
5,379
U.S.
Treasury
Long
Bond
(7)
3/2023
USD
(872,813)
6,505
U.S.
Treasury
Ultra
Bond
(5)
3/2023
USD
(667,656)
4,274
Wheat
(18)
3/2023
USD
(712,800)
2,462
3
Month
Canadian
Bankers
Acceptance
(26)
6/2023
CAD
(4,559,601)
17,617
3
Month
Euro
Euribor
(7)
6/2023
EUR
(1,806,411)
11,194
90-Day
Australian
Bank
Bill
(12)
6/2023
AUD
(8,089,417)
(1,041)
90-Day
New
Zealand
Bill
(4)
6/2023
NZD
(2,503,731)
2,393
3
Month
Canadian
Bankers
Acceptance
(21)
9/2023
CAD
(3,690,122)
10,414
3
Month
Euro
Euribor
(6)
9/2023
EUR
(1,547,068)
8,497
3
Month
SARON
(1)
9/2023
CHF
(265,682)
104
3
Month
SOFR
(6)
9/2023
USD
(1,425,450)
3,538
3
Month
SONIA
(4)
9/2023
GBP
(1,152,552)
1,930
90-Day
Australian
Bank
Bill
(12)
9/2023
AUD
(8,085,271)
2,227
90-Day
New
Zealand
Bill
(4)
9/2023
NZD
(2,504,584)
2,077
3
Month
Canadian
Bankers
Acceptance
(17)
12/2023
CAD
(2,997,914)
5,628
3
Month
Euro
Euribor
(7)
12/2023
EUR
(1,806,224)
8,380
3
Month
SARON
(1)
12/2023
CHF
(265,344)
111
3
Month
SOFR
(7)
12/2023
USD
(1,665,563)
3,109
3
Month
SONIA
(4)
12/2023
GBP
(1,151,888)
1,498
90-Day
Australian
Bank
Bill
(10)
12/2023
AUD
(6,737,233)
1,063
90-Day
New
Zealand
Bill
(4)
12/2023
NZD
(2,505,742)
1,005
3
Month
Canadian
Bankers
Acceptance
(15)
3/2024
CAD
(2,654,357)
7,060
3
Month
Euro
Euribor
(7)
3/2024
EUR
(1,808,940)
7,481
59
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SARON
(1)
3/2024
CHF
$
(265,411)
$
972
3
Month
SOFR
(6)
3/2024
USD
(1,431,675)
2,069
3
Month
SONIA
(5)
3/2024
GBP
(1,441,068)
4,861
90-Day
Australian
Bank
Bill
(12)
3/2024
AUD
(8,084,877)
9,740
3
Month
Euro
Euribor
(7)
6/2024
EUR
(1,811,844)
6,846
3
Month
SARON
(1)
6/2024
CHF
(265,682)
130
3
Month
SOFR
(5)
6/2024
USD
(1,197,750)
1,624
3
Month
SONIA
(6)
6/2024
GBP
(1,731,549)
1,476
3
Month
Euro
Euribor
(7)
9/2024
EUR
(1,814,279)
4,606
3
Month
SOFR
(4)
9/2024
USD
(961,800)
(444)
3
Month
SONIA
(5)
9/2024
GBP
(1,445,375)
9,518
3
Month
Euro
Euribor
(7)
12/2024
EUR
(1,816,152)
10,158
3
Month
SOFR
(4)
12/2024
USD
(964,450)
(892)
3
Month
SONIA
(5)
12/2024
GBP
(1,447,415)
4,842
3
Month
SOFR
(4)
3/2025
USD
(966,050)
1,702
3
Month
SONIA
(5)
3/2025
GBP
(1,448,851)
5,307
2,799,213
$
(458,758)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
15,754,790
USD
10,612,260
CITI
3/15/2023
$
144,977
AUD
15,754,781
USD
10,610,783
JPMC
3/15/2023
146,450
BRL
3,786,250
USD
692,980
CITI
**
3/15/2023
14,686
BRL
3,786,249
USD
692,980
JPMC
**
3/15/2023
14,685
CAD
850,000
USD
628,067
CITI
3/15/2023
43
CAD
850,000
USD
628,064
JPMC
3/15/2023
47
CHF
1,455,001
USD
1,574,013
CITI
3/15/2023
11,699
CHF
1,454,999
USD
1,574,004
JPMC
3/15/2023
11,707
CLP
50,000,000
USD
57,510
CITI
**
3/15/2023
898
CLP
50,000,000
USD
57,509
JPMC
**
3/15/2023
898
CNY
8,201,110
USD
1,169,380
CITI
**
3/15/2023
22,148
CNY
8,201,107
USD
1,169,377
JPMC
**
3/15/2023
22,151
COP
100,432,750
USD
20,082
CITI
**
3/15/2023
356
COP
100,432,750
USD
20,082
JPMC
**
3/15/2023
356
DKK
397,000
USD
55,255
CITI
3/15/2023
2,204
DKK
397,000
USD
55,255
JPMC
3/15/2023
2,204
EUR
14,497,006
USD
15,285,376
CITI
3/15/2023
308,146
EUR
14,496,994
USD
15,285,318
JPMC
3/15/2023
308,190
GBP
1,574,251
USD
1,888,295
CITI
3/15/2023
18,238
GBP
1,574,249
USD
1,888,295
JPMC
3/15/2023
18,234
JPY
588,027,000
USD
4,433,279
CITI
3/15/2023
89,938
JPY
588,027,000
USD
4,433,258
JPMC
3/15/2023
89,962
KRW
300,000,000
USD
231,017
CITI
**
3/15/2023
7,597
KRW
300,000,000
USD
231,016
JPMC
**
3/15/2023
7,599
MXN
19,252,750
USD
972,105
CITI
3/15/2023
3,239
MXN
19,252,749
USD
972,107
JPMC
3/15/2023
3,237
NOK
85,737,004
USD
8,628,410
CITI
3/15/2023
149,778
NOK
85,736,996
USD
8,628,393
JPMC
3/15/2023
149,795
NZD
6,856,500
USD
4,328,621
CITI
3/15/2023
28,038
60
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
NZD
6,856,500
USD
4,328,604
JPMC
3/15/2023
$
28,056
PHP
5,000,000
USD
88,895
CITI
**
3/15/2023
713
PHP
5,000,000
USD
88,894
JPMC
**
3/15/2023
714
PLN
4,275,003
USD
947,107
CITI
3/15/2023
22,808
PLN
4,274,997
USD
947,103
JPMC
3/15/2023
22,809
SEK
2,049,000
USD
194,674
CITI
3/15/2023
2,479
SEK
2,049,000
USD
194,674
JPMC
3/15/2023
2,479
SGD
2,376,000
USD
1,737,580
CITI
3/15/2023
38,361
SGD
2,376,000
USD
1,737,579
JPMC
3/15/2023
38,360
TWD
577,500
USD
18,808
CITI
**
3/15/2023
125
TWD
577,500
USD
18,808
JPMC
**
3/15/2023
124
USD
910,521
AUD
1,330,644
CITI
3/15/2023
1,969
USD
910,524
AUD
1,330,642
JPMC
3/15/2023
1,973
USD
6,883
BRL
36,501
CITI
**
3/15/2023
60
USD
6,882
BRL
36,500
JPMC
**
3/15/2023
60
USD
2,957,569
CAD
3,981,000
CITI
3/15/2023
15,794
USD
2,957,579
CAD
3,981,000
JPMC
3/15/2023
15,804
USD
823,544
CHF
755,500
CITI
3/15/2023
174
USD
823,549
CHF
755,500
JPMC
3/15/2023
178
USD
4,366,982
GBP
3,551,500
CITI
3/15/2023
65,858
USD
4,367,003
GBP
3,551,500
JPMC
3/15/2023
65,880
USD
1,364,166
ILS
4,667,502
CITI
3/15/2023
31,177
USD
1,364,165
ILS
4,667,498
JPMC
3/15/2023
31,177
USD
1,336,228
INR
109,879,004
CITI
**
3/15/2023
14,266
USD
1,336,193
INR
109,878,996
JPMC
**
3/15/2023
14,231
USD
203,673
MXN
4,000,000
CITI
3/15/2023
1,032
USD
203,674
MXN
4,000,000
JPMC
3/15/2023
1,034
USD
246,967
NOK
2,396,143
CITI
3/15/2023
1,638
USD
246,968
NOK
2,396,143
JPMC
3/15/2023
1,639
USD
874,806
NZD
1,370,875
CITI
3/15/2023
3,745
USD
874,811
NZD
1,370,875
JPMC
3/15/2023
3,749
USD
95,309
PHP
5,301,480
CITI
**
3/15/2023
298
USD
95,310
PHP
5,301,480
JPMC
**
3/15/2023
299
USD
1,543,657
SEK
15,882,000
CITI
3/15/2023
15,502
USD
1,543,665
SEK
15,882,000
JPMC
3/15/2023
15,509
USD
565,757
TWD
17,074,127
CITI
**
3/15/2023
6,035
USD
565,759
TWD
17,074,125
JPMC
**
3/15/2023
6,035
ZAR
38,359,000
USD
2,208,603
CITI
3/15/2023
35,418
ZAR
38,359,000
USD
2,208,602
JPMC
3/15/2023
35,417
HUF
344,427,002
USD
856,485
CITI
3/16/2023
48,330
HUF
344,426,998
USD
856,484
JPMC
3/16/2023
48,331
Total
unrealized
appreciation
2,217,140
AUD
5,125,716
USD
3,501,384
CITI
3/15/2023
(1,588)
AUD
5,125,713
USD
3,501,365
JPMC
3/15/2023
(1,570)
BRL
10,572,850
USD
1,987,377
CITI
**
3/15/2023
(11,270)
BRL
10,572,849
USD
1,987,367
JPMC
**
3/15/2023
(11,259)
CAD
2,408,501
USD
1,802,247
CITI
3/15/2023
(22,478)
CAD
2,408,499
USD
1,802,248
JPMC
3/15/2023
(22,479)
CHF
30,004
USD
32,757
CITI
3/15/2023
(57)
CHF
29,996
USD
32,748
JPMC
3/15/2023
(57)
COP
100,432,750
USD
20,486
CITI
**
3/15/2023
(48)
COP
100,432,750
USD
20,486
JPMC
**
3/15/2023
(48)
GBP
1,639,750
USD
2,001,387
CITI
3/15/2023
(15,532)
GBP
1,639,750
USD
2,001,378
JPMC
3/15/2023
(15,522)
ILS
119,000
USD
34,805
CITI
3/15/2023
(820)
ILS
119,000
USD
34,805
JPMC
3/15/2023
(820)
INR
42,731,501
USD
519,113
CITI
**
3/15/2023
(5,007)
INR
42,731,499
USD
519,112
JPMC
**
3/15/2023
(5,006)
61
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
MXN
26,752,750
USD
1,361,091
CITI
3/15/2023
$
(5,796)
MXN
26,752,751
USD
1,361,088
JPMC
3/15/2023
(5,793)
NOK
14,291,001
USD
1,470,692
CITI
3/15/2023
(7,507)
NOK
14,290,999
USD
1,470,685
JPMC
3/15/2023
(7,500)
NZD
1,453,000
USD
928,369
CITI
3/15/2023
(5,125)
NZD
1,453,000
USD
928,365
JPMC
3/15/2023
(5,120)
SEK
15,000,000
USD
1,455,208
CITI
3/15/2023
(11,918)
SEK
15,000,000
USD
1,455,201
JPMC
3/15/2023
(11,911)
TWD
17,732,500
USD
589,371
CITI
**
3/15/2023
(8,066)
TWD
17,732,500
USD
589,368
JPMC
**
3/15/2023
(8,064)
USD
1,105,540
AUD
1,636,359
CITI
3/15/2023
(11,753)
USD
1,105,541
AUD
1,636,355
JPMC
3/15/2023
(11,749)
USD
937,068
BRL
5,063,502
CITI
**
3/15/2023
(9,320)
USD
937,066
BRL
5,063,497
JPMC
**
3/15/2023
(9,321)
USD
1,355,584
CAD
1,846,500
CITI
3/15/2023
(8,894)
USD
1,355,590
CAD
1,846,500
JPMC
3/15/2023
(8,887)
USD
16,700,854
CHF
15,575,514
CITI
3/15/2023
(273,896)
USD
16,700,858
CHF
15,575,486
JPMC
3/15/2023
(273,861)
USD
116,077
CLP
106,175,503
CITI
**
3/15/2023
(7,953)
USD
116,077
CLP
106,175,497
JPMC
**
3/15/2023
(7,952)
USD
400,533
CNY
2,779,102
CITI
**
3/15/2023
(3,239)
USD
400,535
CNY
2,779,106
JPMC
**
3/15/2023
(3,237)
USD
689,847
CZK
16,149,003
CITI
3/15/2023
(22,032)
USD
689,848
CZK
16,148,997
JPMC
3/15/2023
(22,031)
USD
51,741
DKK
367,500
CITI
3/15/2023
(1,449)
USD
51,741
DKK
367,500
JPMC
3/15/2023
(1,448)
USD
5,878,732
EUR
5,532,500
CITI
3/15/2023
(72,231)
USD
5,878,754
EUR
5,532,500
JPMC
3/15/2023
(72,210)
USD
738,369
GBP
613,000
CITI
3/15/2023
(4,019)
USD
738,372
GBP
613,000
JPMC
3/15/2023
(4,017)
USD
32,290
IDR
505,151,000
CITI
**
3/15/2023
(314)
USD
32,290
IDR
505,151,000
JPMC
**
3/15/2023
(314)
USD
158,349
ILS
554,500
CITI
3/15/2023
(11)
USD
158,349
ILS
554,500
JPMC
3/15/2023
(10)
USD
120,167
INR
10,000,000
CITI
**
3/15/2023
(144)
USD
120,168
INR
10,000,000
JPMC
**
3/15/2023
(143)
USD
17,048,827
JPY
2,312,508,012
CITI
3/15/2023
(739,436)
USD
17,048,862
JPY
2,312,507,996
JPMC
3/15/2023
(739,401)
USD
3,412,319
KRW
4,498,460,002
CITI
**
3/15/2023
(165,675)
USD
3,412,327
KRW
4,498,459,998
JPMC
**
3/15/2023
(165,667)
USD
870,947
MXN
17,500,000
CITI
3/15/2023
(15,602)
USD
870,952
MXN
17,500,000
JPMC
3/15/2023
(15,599)
USD
2,641,366
NOK
26,292,860
CITI
3/15/2023
(50,631)
USD
2,641,372
NOK
26,292,854
JPMC
3/15/2023
(50,623)
USD
2,557,901
NZD
4,081,126
CITI
3/15/2023
(35,269)
USD
2,557,122
NZD
4,081,124
JPMC
3/15/2023
(36,047)
USD
224,846
PHP
12,875,022
CITI
**
3/15/2023
(5,894)
USD
224,837
PHP
12,875,018
JPMC
**
3/15/2023
(5,904)
USD
389,349
PLN
1,751,000
CITI
3/15/2023
(7,918)
USD
389,351
PLN
1,751,000
JPMC
3/15/2023
(7,916)
USD
1,673,995
SEK
17,559,500
CITI
3/15/2023
(15,567)
USD
1,673,996
SEK
17,559,500
JPMC
3/15/2023
(15,566)
USD
815,468
SGD
1,105,000
CITI
3/15/2023
(10,463)
USD
815,470
SGD
1,105,000
JPMC
3/15/2023
(10,461)
USD
267,430
TWD
8,191,376
CITI
**
3/15/2023
(1,101)
USD
267,430
TWD
8,191,372
JPMC
**
3/15/2023
(1,099)
USD
858,276
ZAR
14,947,504
CITI
3/15/2023
(16,160)
USD
858,278
ZAR
14,947,496
JPMC
3/15/2023
(16,158)
62
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
236,480
HUF
95,330,502
CITI
3/16/2023
$
(13,955)
USD
236,481
HUF
95,330,498
JPMC
3/16/2023
(13,954)
Total
unrealized
depreciation
(3,176,862)
Net
unrealized
depreciation
$
(959,722)
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
7,954,205
$
7,954,205
CITG
Cash
–
1,438,653
1,438,653
CITI
Cash
(364,203)
–
(364,203)
Investment
Companies
3,051,308
–
3,051,308
GSCO
Cash
–
335,841
335,841
GSIN
Investment
Companies
30,342
–
30,342
JPMC
Investment
Companies
1,882,231
–
1,882,231
JPMS
Cash
–
4,719,697
4,719,697
MLIN
Cash
450,000
–
450,000
MSCS
Cash
(100,036)
–
(100,036)
U.S.
Treasury
Bills
363,845
–
363,845
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
1,679,991
$
1,679,991
JPPC
Cash
–
41,857
41,857
MSCL
Cash
–
526,416
526,416
63
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
102.3%
COMMON
STOCKS
-
19.3%
Aerospace
&
Defense
-
0.7%
Maxar
Technologies,
Inc.
213,111
11,026,363
Banks
-
0.1%
Patriot
National
Bancorp,
Inc.
*
120,629
1,278,668
Biotechnology
-
1.5%
Horizon
Therapeutics
plc
*
207,207
23,580,157
Capital
Markets
-
12.8%
Accretion
Acquisition
Corp.
(2)*(a)
(b)
202,180
2,037,974
Achari
Ventures
Holdings
Corp.
I
*(b)
42,909
438,530
Acri
Capital
Acquisition
Corp.
*(a)
(b)
54,996
563,159
Acropolis
Infrastructure
Acquisition
Corp.,
Class
A
(2)*(a)(b)
20,312
201,292
Aesther
Healthcare
Acquisition
Corp.,
Class
A
*(b)
40,504
421,242
Aetherium
Acquisition
Corp.,
Class
A
(2)*(b)
175,712
1,783,477
Alpine
Acquisition
Corp.
*(b)
30,206
315,351
Alset
Capital
Acquisition
Corp.,
Class
A
(2)*(b)
122,496
1,227,410
AltC
Acquisition
Corp.,
Class
A
*(a)
(b)
177,566
1,761,455
AltEnergy
Acquisition
Corp.,
Class
A
*(a)(b)
122,926
1,257,533
AMCI
Acquisition
Corp.
II,
Class
A
*(b)
139,000
1,387,220
American
Acquisition
Opportunity,
Inc.,
Class
A
(2)*(b)
74,925
749,250
Anzu
Special
Acquisition
Corp.
I,
Class
A
*(a)(b)
257,365
2,599,387
Apeiron
Capital
Investment
Corp.,
Class
A
*(b)
108,048
1,108,572
Aquaron
Acquisition
Corp.
(2)*(a)
(b)
35,605
356,762
Armada
Acquisition
Corp.
I
*(b)
128,332
1,308,986
Arogo
Capital
Acquisition
Corp.,
Class
A
*(b)
96,774
981,288
Arrowroot
Acquisition
Corp.,
Class
A
*(a)(b)
37,750
379,388
Artemis
Strategic
Investment
Corp.,
Class
A
*(b)
204,800
2,099,200
Athena
Consumer
Acquisition
Corp.,
Class
A
(2)*(b)
75,566
782,108
Atlantic
Coastal
Acquisition
Corp.,
Class
A
*(b)
9,967
99,869
Ault
Disruptive
Technologies
Corp.
(2)*(a)(b)
73,140
751,148
Aurora
Acquisition
Corp.,
Class
A
(United
Kingdom)
*(b)
37,500
378,375
Avalon
Acquisition,
Inc.,
Class
A
*(b)
229,849
2,355,952
AxonPrime
Infrastructure
Acquisition
Corp.,
Class
A
(2)*(b)
234,165
2,313,550
Banner
Acquisition
Corp.
*(b)
40,407
407,303
Bannix
Acquisition
Corp.
*(b)
26,277
267,237
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
12.8%
(continued)
Banyan
Acquisition
Corp.,
Class
A
*(b)
114,706
1,171,148
Beard
Energy
Transition
Acquisition
Corp.,
Class
A
*(b)
149,518
1,523,588
Belong
Acquisition
Corp.,
Class
A
*(b)
128,000
1,265,920
Berenson
Acquisition
Corp.
I,
Class
A
(2)*(b)
110,400
1,108,416
Better
World
Acquisition
Corp.
*(b)
35,583
371,842
Bite
Acquisition
Corp.
*(b)
18,753
188,843
Blockchain
Moon
Acquisition
Corp.
(2)*(b)
71,617
729,777
Broad
Capital
Acquisition
Corp.
*(b)
69,739
712,733
Build
Acquisition
Corp.,
Class
A
*(b)
18,151
181,873
byNordic
Acquisition
Corp.
(Sweden)
(2)*(b)
138,414
1,409,055
C5
Acquisition
Corp.,
Class
A
(2)*(b)
309,299
3,151,757
Cascadia
Acquisition
Corp.,
Class
A
*(b)
120,606
1,220,533
CENAQ
Energy
Corp.,
Class
A
*(b)
140,000
1,274,000
CF
Acquisition
Corp.
VII,
Class
A
*(b)
146,292
1,492,178
Churchill
Capital
Corp.
V,
Class
A
*(b)
42,181
419,279
Churchill
Capital
Corp.
VI,
Class
A
*(b)
67,203
671,694
Churchill
Capital
Corp.
VII,
Class
A
*(b)
322,641
3,216,731
CIIG
Capital
Partners
II,
Inc.,
Class
A
*(b)
161,558
1,646,276
Clean
Earth
Acquisitions
Corp.,
Class
A
*(b)
195,348
1,973,015
Concord
Acquisition
Corp.
II,
Class
A
*(b)
76,866
764,432
Concord
Acquisition
Corp.
III,
Class
A
*(b)
27,000
275,130
Conyers
Park
III
Acquisition
Corp.,
Class
A
(2)*(b)
484,500
4,777,170
Crixus
BH3
Acquisition
Co.,
Class
A
*(b)
84,579
852,556
DA32
Life
Science
Tech
Acquisition
Corp.,
Class
A
(2)*(b)
133,050
1,317,195
Data
Knights
Acquisition
Corp.,
Class
A
(United
Kingdom)
(2)*(b)
50,667
528,963
Deep
Medicine
Acquisition
Corp.,
Class
A
*(b)
51,423
546,112
DiamondHead
Holdings
Corp.,
Class
A
*(b)
57,078
574,205
Digital
Health
Acquisition
Corp.
*(b)
71,745
761,214
Digital
Transformation
Opportunities
Corp.,
Class
A
*(b)
115,119
1,156,370
Direct
Selling
Acquisition
Corp.,
Class
A
*(b)
102,582
1,055,569
dMY
Squared
Technology
Group,
Inc.,
Class
A
(2)*(b)
12,280
121,940
dMY
Technology
Group,
Inc.
VI
*(b)
82,182
825,929
DTRT
Health
Acquisition
Corp.,
Class
A
*(b)
66,953
693,633
64
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
12.8%
(continued)
DUET
Acquisition
Corp.,
Class
A
(2)*(b)
73,788
737,142
Edify
Acquisition
Corp.,
Class
A
*(b)
247,201
2,496,730
EF
Hutton
Acquisition
Corp.
I
*(b)
34,096
341,301
Epiphany
Technology
Acquisition
Corp.,
Class
A
*(b)
88,153
881,530
EQ
Health
Acquisition
Corp.,
Class
A
(2)*(b)
87,656
885,326
Everest
Consolidator
Acquisition
Corp.
*(b)
131,016
1,340,294
ExcelFin
Acquisition
Corp.,
Class
A
(2)*(b)
134,786
1,374,817
Feutune
Light
Acquisition
Corp.,
Class
A
(2)*(b)
94,079
956,783
FG
Merger
Corp.
*(b)
98,184
1,000,495
Financial
Strategies
Acquisition
Corp.
*(b)
18,686
192,840
FinServ
Acquisition
Corp.
II,
Class
A
(2)*(b)
9,858
98,876
Fintech
Ecosystem
Development
Corp.,
Class
A
*(b)
10,730
109,983
First
Light
Acquisition
Group,
Inc.,
Class
A
*(b)
40,464
411,519
First
Reserve
Sustainable
Growth
Corp.,
Class
A
*(b)
87,838
882,772
Focus
Impact
Acquisition
Corp.,
Class
A
*(b)
101,950
1,037,851
Forest
Road
Acquisition
Corp.
II,
Class
A
*(b)
104,302
1,046,671
Fortune
Rise
Acquisition
Corp.
(2)*(b)
98,648
1,017,061
Forum
Merger
IV
Corp.,
Class
A
*(b)
51,042
512,972
FoxWayne
Enterprises
Acquisition
Corp.,
Class
A
*(b)
34,500
349,830
FTAC
Emerald
Acquisition
Corp.,
Class
A
*(b)
283,096
2,836,622
FTAC
Zeus
Acquisition
Corp.,
Class
A
*(b)
320,427
3,236,313
Fusion
Acquisition
Corp.
II,
Class
A
*(b)
26,625
267,315
FutureTech
II
Acquisition
Corp.,
Class
A
*(b)
38,964
402,498
Gardiner
Healthcare
Acquisitions
Corp.
*(b)
52,651
544,411
Genesis
Unicorn
Capital
Corp.,
Class
A
(2)*(b)
67,549
686,973
GigCapital5,
Inc.
*(b)
123,100
1,255,620
Global
Blockchain
Acquisition
Corp.
*(b)
161,196
1,629,692
Global
Star
Acquisition,
Inc.,
Class
A
*(b)
50,064
506,147
Global
Systems
Dynamics,
Inc.,
Class
A
*(b)
179,996
1,859,359
Globalink
Investment,
Inc.
*(b)
74,843
763,399
Goal
Acquisitions
Corp.
*(b)
151,974
1,528,858
Goldenstone
Acquisition
Ltd.
*(b)
32,200
329,084
GSR
II
Meteora
Acquisition
Corp.
*(b)
15,261
14,193
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
12.8%
(continued)
GSR
II
Meteora
Acquisition
Corp.,
Class
A
*(b)
244,186
2,477,267
GX
Acquisition
Corp.
II,
Class
A
*(b)
245,504
2,457,495
Hawks
Acquisition
Corp.,
Class
A
(2)*(b)
91,460
913,685
HNR
Acquisition
Corp.
*(b)
49,014
501,413
Home
Plate
Acquisition
Corp.,
Class
A
*(b)
41,016
415,082
Inception
Growth
Acquisition
Ltd.
(2)*(b)
112,518
1,139,807
Industrial
Tech
Acquisitions
II,
Inc.,
Class
A
*(b)
126,008
1,282,761
Insight
Acquisition
Corp.,
Class
A
*(b)
50,340
507,427
Integral
Acquisition
Corp.
1,
Class
A
(2)*(b)
107,616
1,087,998
Integrated
Rail
and
Resources
Acquisition
Corp.,
Class
A
(2)*(b)
108,438
1,103,899
Intelligent
Medicine
Acquisition
Corp.,
Class
A
*(b)
239,244
2,459,428
InterPrivate
IV
InfraTech
Partners,
Inc.,
Class
A
*(b)
99,015
1,014,904
Jaws
Hurricane
Acquisition
Corp.,
Class
A
*(b)
169,809
1,698,090
Juniper
II
Corp.,
Class
A
*(b)
153,552
1,561,624
Jupiter
Acquisition
Corp.,
Class
A
(2)*(b)
236,154
2,340,286
JUPITER
WELLNESS
ACQUISITION
Corp.,
Class
A
*(b)
149,929
1,566,758
Khosla
Ventures
Acquisition
Co.
III,
Class
A
*(b)
184,081
1,832,526
LAVA
Medtech
Acquisition
Corp.,
Class
A
*(b)
63,464
652,410
Learn
CW
Investment
Corp.,
Class
A
(2)*(b)
26,704
269,710
Legato
Merger
Corp.
II
*(b)
154,414
1,562,670
LF
Capital
Acquisition
Corp.
II
*(b)
130,138
1,335,216
Lionheart
III
Corp.,
Class
A
(2)*(b)
89,680
916,530
Live
Oak
Crestview
Climate
Acquisition
Corp.,
Class
A
*(b)
164,130
1,633,093
Live
Oak
Mobility
Acquisition
Corp.,
Class
A
*(b)
269,038
2,705,177
Logistics
Innovation
Technologies
Corp.,
Class
A
*(b)
48,818
493,062
M3-Brigade
Acquisition
II
Corp.,
Class
A
*(b)
129,342
1,296,007
Mason
Industrial
Technology,
Inc.,
Class
A
*(b)
185,225
1,851,324
Maxpro
Capital
Acquisition
Corp.,
Class
A
(Taiwan)
*(b)
9,347
97,115
McLaren
Technology
Acquisition
Corp.,
Class
A
*(b)
205,792
2,101,136
Mercato
Partners
Acquisition
Corp.,
Class
A
(2)*(b)
143,490
1,466,468
Metal
Sky
Star
Acquisition
Corp.
*(b)
103,342
1,052,022
Minority
Equality
Opportunities
Acquisition,
Inc.,
Class
A
*(b)
40,202
417,297
65
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
12.8%
(continued)
Mobiv
Acquisition
Corp.,
Class
A
*(b)
101,917
1,079,301
Monterey
Bio
Acquisition
Corp.
(2)*(b)
8,700
89,784
Monterey
Capital
Acquisition
Corp.,
Class
A
(2)*(b)
71,394
714,654
Murphy
Canyon
Acquisition
Corp.,
Class
A
*(b)
162,516
1,665,789
New
Providence
Acquisition
Corp.
II,
Class
A
(2)*(b)
145,550
1,480,244
Newbury
Street
Acquisition
Corp.
*(b)
110,450
1,104,500
NewHold
Investment
Corp.
II,
Class
A
*(b)
134,732
1,356,751
Northern
Star
Investment
Corp.
III,
Class
A
*(b)
170,970
1,718,248
Northern
Star
Investment
Corp.
IV,
Class
A
*(b)
111,304
1,118,605
NorthView
Acquisition
Corp.
*(b)
154,598
1,566,078
Nubia
Brand
International
Corp.,
Class
A
*(b)
284,300
3,053,382
OCA
Acquisition
Corp.,
Class
A
*(b)
122,375
1,255,567
OPY
Acquisition
Corp.
I,
Class
A
*(b)
41,286
413,686
Panacea
Acquisition
Corp.
II,
Class
A
*(b)
100,000
1,009,000
Parabellum
Acquisition
Corp.,
Class
A
*(b)
32,371
329,401
Phoenix
Biotech
Acquisition
Corp.,
Class
A
*(b)
212,345
2,187,153
PHP
Ventures
Acquisition
Corp.,
Class
A
(Malaysia)
*(b)
29,400
306,054
Pine
Technology
Acquisition
Corp.,
Class
A
*(b)
105,057
1,061,076
Pivotal
Investment
Corp.
III,
Class
A
*(b)
81,030
820,105
Pono
Capital
Corp.,
Class
A
*(b)
119,700
1,255,653
Pono
Capital
Two,
Inc.,
Class
A
*(b)
92,094
943,963
Post
Holdings
Partnering
Corp.,
Class
A
*(b)
93,000
923,490
Prime
Number
Acquisition
I
Corp.,
Class
A
*(b)
35,700
362,712
Priveterra
Acquisition
Corp.,
Class
A
*(b)
134,555
1,352,951
PROOF
Acquisition
Corp.
I,
Class
A
(2)*(b)
150,864
1,534,287
Redwoods
Acquisition
Corp.
*(b)
74,885
761,580
RF
Acquisition
Corp.,
Class
A
(Singapore)
(2)*(b)
128,573
1,299,873
ROC
Energy
Acquisition
Corp.
*(b)
149,375
1,530,347
Roth
CH
Acquisition
V
Co.
*(b)
28,286
285,971
Sagaliam
Acquisition
Corp.,
Class
A
*(b)
31,501
327,925
Schultze
Special
Purpose
Acquisition
Corp.
II,
Class
A
*(b)
63,730
643,673
Seaport
Calibre
Materials
Acquisition
Corp.
*(b)
58,801
603,886
Seaport
Global
Acquisition
II
Corp.,
Class
A
*(b)
81,696
833,299
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
12.8%
(continued)
ShoulderUp
Technology
Acquisition
Corp.,
Class
A
(2)*(b)
299,987
3,056,868
Signal
Hill
Acquisition
Corp.,
Class
A
*(b)
89,860
918,369
Silver
Spike
Acquisition
Corp.
II,
Class
A
*(b)
80,000
807,200
Sizzle
Acquisition
Corp.
*(b)
121,744
1,244,224
SportsMap
Tech
Acquisition
Corp.
*(b)
176,600
1,804,852
Springwater
Special
Situations
Corp.
*(b)
40,212
407,348
Stratim
Cloud
Acquisition
Corp.
*(b)
12,530
126,052
Sustainable
Development
Acquisition
I
Corp.,
Class
A
*(b)
17,475
175,798
TG
Venture
Acquisition
Corp.
(2)*(b)
273,650
2,783,020
TLG
Acquisition
One
Corp.,
Class
A
*(b)
159,106
1,619,699
Trajectory
Alpha
Acquisition
Corp.,
Class
A
*(b)
109,920
1,104,696
Twelve
Seas
Investment
Co.
II,
Class
A
*(b)
200,274
2,018,762
Viscogliosi
Brothers
Acquisition
Corp.
*(b)
52,960
535,426
Vision
Sensing
Acquisition
Corp.,
Class
A
*(b)
51,216
530,086
VMG
Consumer
Acquisition
Corp.,
Class
A
(2)*(b)
236,497
2,402,810
Welsbach
Technology
Metals
Acquisition
Corp.
*(b)
9,289
94,748
Western
Acquisition
Ventures
Corp.
*(b)
67,539
717,264
Yotta
Acquisition
Corp.
*(b)
156,021
1,566,451
196,959,719
Chemicals
-
0.7%
Chr
Hansen
Holding
A/S
(Denmark)
(2)
159,260
11,456,017
Diversified
Telecommunication
Services
-
0.1%
TELUS
Corp.
(Canada)
(2)*
82,126
1,584,898
Entertainment
-
0.1%
Madison
Square
Garden
Sports
Corp.,
Class
A
6,510
1,193,478
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.8%
Summit
Industrial
Income
REIT
(Canada)
716,960
12,014,640
Hotels,
Restaurants
&
Leisure
-
0.3%
Booking
Holdings,
Inc.
*(a)
2,301
4,637,159
Media
-
1.7%
Liberty
Broadband
Corp.,
Class
C
*
1,422
108,456
Paramount
Global,
Class
B
107,063
1,807,223
Shaw
Communications,
Inc.,
Class
B
(Canada)
867,039
24,980,201
26,895,880
Real
Estate
Management
&
Development
-
0.1%
Zillow
Group,
Inc.,
Class
A
*
42,000
1,310,820
66
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Thrifts
&
Mortgage
Finance
-
0.4%
Home
Capital
Group,
Inc.
(Canada)
170,969
5,376,558
Wireless
Telecommunication
Services
-
0.0%
(c)
Cleveland
Unlimited
(acquired
3/18/2010,
Cost
$–)
(3)*(d)(e)
1
282,452
TOTAL
COMMON
STOCKS
(Cost
$293,252,301)
297,596,809
CLOSED
END
FUNDS
-
3.1%
abrdn
Global
Dynamic
Dividend
Fund
(a)
6,385
60,402
abrdn
Total
Dynamic
Dividend
Fund
(a)
64,117
500,113
Adams
Diversified
Equity
Fund,
Inc.
61,293
891,200
Adams
Natural
Resources
Fund,
Inc.
7,866
171,479
AllianceBernstein
National
Municipal
Income
Fund,
Inc.
(a)
51,758
542,424
Apollo
Senior
Floating
Rate
Fund,
Inc.
(a)
14,939
184,347
Apollo
Tactical
Income
Fund,
Inc.
(a)
7,742
93,833
Ares
Dynamic
Credit
Allocation
Fund,
Inc.
(a)
17,006
197,100
Bancroft
Fund
Ltd.
8,596
140,802
Barings
Global
Short
Duration
High
Yield
Fund
19,410
246,119
BlackRock
California
Municipal
Income
Trust
30,080
325,766
BlackRock
Credit
Allocation
Income
Trust
43,388
438,219
BlackRock
Debt
Strategies
Fund,
Inc.
55,000
506,000
BlackRock
Energy
and
Resources
Trust
28,318
354,825
BlackRock
Enhanced
Global
Dividend
Trust
48,089
459,731
BlackRock
Enhanced
International
Dividend
Trust
39,393
197,753
BlackRock
Floating
Rate
Income
Strategies
Fund,
Inc.
16,578
186,668
BlackRock
Floating
Rate
Income
Trust
13,998
153,138
Blackrock
Investment
Quality
Municipal
Trust,
Inc.
(The)
3,871
45,136
BlackRock
MuniAssets
Fund,
Inc.
28,372
306,985
BlackRock
Municipal
2030
Target
Term
Trust
6,212
132,253
BlackRock
Municipal
Income
Fund,
Inc.
72,644
823,057
BlackRock
Municipal
Income
Quality
Trust
22,969
260,698
BlackRock
Municipal
Income
Trust
71,019
714,451
BlackRock
Municipal
Income
Trust
II
74,829
772,984
BlackRock
MuniHoldings
California
Quality
Fund,
Inc.
74,655
801,795
BlackRock
MuniHoldings
Fund,
Inc.
55,617
675,190
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
3.1%
(continued)
BlackRock
MuniHoldings
New
Jersey
Quality
Fund,
Inc.
20,671
228,828
BlackRock
MuniHoldings
New
York
Quality
Fund,
Inc.
45,494
467,223
BlackRock
MuniHoldings
Quality
Fund
II,
Inc.
20,192
200,910
BlackRock
MuniVest
Fund
II,
Inc.
31,307
327,158
BlackRock
MuniVest
Fund,
Inc.
68,733
481,818
BlackRock
MuniYield
Fund,
Inc.
75,008
780,833
BlackRock
MuniYield
Michigan
Quality
Fund,
Inc.
17,266
191,480
BlackRock
MuniYield
New
York
Quality
Fund,
Inc.
60,145
589,421
BlackRock
MuniYield
Pennsylvania
Quality
Fund
13,117
144,418
BlackRock
MuniYield
Quality
Fund
II,
Inc.
13,919
142,252
BlackRock
MuniYield
Quality
Fund
III,
Inc.
59,192
663,542
BlackRock
MuniYield
Quality
Fund,
Inc.
71,184
825,734
BlackRock
New
York
Municipal
Income
Trust
51,247
516,057
BlackRock
Resources
&
Commodities
Strategy
Trust
55,665
554,980
Blackstone
Long-Short
Credit
Income
Fund
28,037
303,921
Blackstone
Senior
Floating
Rate
Term
Fund
17,136
213,000
Blackstone
Strategic
Credit
Fund
36,664
387,905
BNY
Mellon
Municipal
Bond
Infrastructure
Fund,
Inc.
6,550
68,840
BNY
Mellon
Municipal
Income,
Inc.
63,751
399,081
BNY
Mellon
Strategic
Municipal
Bond
Fund,
Inc.
64,373
372,076
BNY
Mellon
Strategic
Municipals,
Inc.
76,547
467,702
Calamos
Global
Dynamic
Income
Fund
3,184
17,767
Cohen
&
Steers
Ltd.
Duration
Preferred
and
Income
Fund,
Inc.
21,082
400,980
Cohen
&
Steers
Select
Preferred
and
Income
Fund,
Inc.
123
2,303
Delaware
Investments
National
Municipal
Income
Fund
1,300
13,481
DWS
Municipal
Income
Trust
23,655
203,670
DWS
Strategic
Municipal
Income
Trust
98
801
Eaton
Vance
California
Municipal
Bond
Fund
72,362
625,208
Eaton
Vance
Floating-Rate
Income
Trust
22,861
253,528
Eaton
Vance
Municipal
Bond
Fund
76,785
797,796
Eaton
Vance
Municipal
Income
Trust
46,401
457,978
Eaton
Vance
National
Municipal
Opportunities
Trust
32
526
Eaton
Vance
New
York
Municipal
Bond
Fund
38,311
345,182
67
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
3.1%
(continued)
Eaton
Vance
Senior
Floating-Rate
Trust
30,688
335,727
Eaton
Vance
Senior
Income
Trust
6,517
34,345
Ellsworth
Growth
and
Income
Fund
Ltd.
35,893
286,426
Federated
Hermes
Premier
Municipal
Income
Fund
38,501
404,260
First
Trust
High
Income
Long
26,849
307,421
First
Trust
Senior
Floating
Rate
Income
Fund
II
20,668
196,966
Flaherty
&
Crumrine
Total
Return
Fund,
Inc.
48
758
Franklin
Ltd.
Duration
Income
Trust
93,932
583,318
Gabelli
Dividend
&
Income
Trust
(The)
27,971
576,482
Gabelli
Global
Small
and
Mid
Cap
Value
Trust
(The)
48
539
Gabelli
Healthcare
&
WellnessRx
Trust
(The)
5,532
56,869
GDL
Fund
(The)
7,291
57,161
General
American
Investors
Co.,
Inc.
2,788
100,786
Highland
Income
Fund
18,473
190,272
Insight
Select
Income
Fund
16,106
243,362
Invesco
Advantage
Municipal
Income
Trust
II
54,664
469,564
Invesco
California
Value
Municipal
Income
Trust
71,929
681,887
Invesco
Municipal
Opportunity
Trust
78,959
782,484
Invesco
Municipal
Trust
74,513
737,679
Invesco
Pennsylvania
Value
Municipal
Income
Trust
28,701
281,270
Invesco
Quality
Municipal
Income
Trust
71,167
670,393
Invesco
Trust
for
Investment
Grade
Municipals
67,152
674,878
Invesco
Trust
for
Investment
Grade
New
York
Municipals
17,591
177,669
Invesco
Value
Municipal
Income
Trust
30,501
367,537
John
Hancock
Income
Securities
Trust
1,757
18,712
KKR
Income
Opportunities
Fund
44,233
487,005
Lazard
Global
Total
Return
and
Income
Fund,
Inc.
1,196
17,509
LMP
Capital
and
Income
Fund,
Inc.
2,343
28,210
MFS
Multimarket
Income
Trust
3,385
15,266
MFS
Municipal
Income
Trust
54,374
281,657
Neuberger
Berman
Municipal
Fund,
Inc.
38,328
399,378
New
America
High
Income
Fund,
Inc.
(The)
8,200
54,120
New
Germany
Fund,
Inc.
(The)
844
6,659
Nuveen
AMT-Free
Municipal
Credit
Income
Fund
72,604
881,413
Nuveen
AMT-Free
Municipal
Value
Fund
11,197
152,391
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
3.1%
(continued)
Nuveen
AMT-Free
Quality
Municipal
Income
Fund
87,829
998,616
Nuveen
Arizona
Quality
Municipal
Income
Fund
1,064
11,874
Nuveen
California
AMT-Free
Quality
Municipal
Income
Fund
23,573
289,948
Nuveen
California
Municipal
Value
Fund
19,354
163,541
Nuveen
California
Quality
Municipal
Income
Fund
69,963
774,490
Nuveen
Credit
Strategies
Income
Fund
110,478
562,333
Nuveen
Floating
Rate
Income
Opportunity
Fund
20,240
158,074
Nuveen
Georgia
Quality
Municipal
Income
Fund
2,792
28,280
Nuveen
Massachusetts
Quality
Municipal
Income
Fund
3,212
33,951
Nuveen
Multi-Asset
Income
Fund
2,300
26,427
Nuveen
Municipal
Credit
Income
Fund
86,190
1,041,175
Nuveen
New
Jersey
Quality
Municipal
Income
Fund
18,025
203,683
Nuveen
New
York
AMT-Free
Quality
Municipal
Income
Fund
53,092
544,724
Nuveen
New
York
Quality
Municipal
Income
Fund
40,192
430,054
Nuveen
Ohio
Quality
Municipal
Income
Fund
27,536
349,432
Nuveen
Pennsylvania
Quality
Municipal
Income
Fund
34,735
386,601
Nuveen
Preferred
&
Income
Opportunities
Fund
43,375
315,770
Nuveen
Preferred
&
Income
Securities
Fund
126,808
862,294
Nuveen
Quality
Municipal
Income
Fund
83,369
983,754
Nuveen
Real
Asset
Income
and
Growth
Fund
12,355
144,554
Nuveen
Select
Maturities
Municipal
Fund
2,108
19,098
Nuveen
Short
Duration
Credit
Opportunities
Fund
8,608
102,091
PGIM
Global
High
Yield
Fund,
Inc.
35,384
383,563
PGIM
High
Yield
Bond
Fund,
Inc.
25,996
308,573
Pioneer
Diversified
High
Income
Fund,
Inc.
115
1,159
Pioneer
Floating
Rate
Fund,
Inc.
37,685
330,497
Pioneer
High
Income
Fund,
Inc.
61,578
400,257
Pioneer
Municipal
High
Income
Advantage
Fund,
Inc.
49,315
399,452
Pioneer
Municipal
High
Income
Fund
Trust
43,423
372,569
Royce
Global
Value
Trust,
Inc.
1,365
11,807
Saba
Capital
Income
&
Opportunities
Fund
28,464
216,611
Tekla
Healthcare
Investors
28,169
507,042
Tekla
Healthcare
Opportunities
Fund
23,384
463,237
Tekla
Life
Sciences
Investors
26,909
382,377
68
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
3.1%
(continued)
Templeton
Emerging
Markets
Fund
10,045
114,714
Virtus
Dividend
Interest
&
Premium
Strategy
Fund
56,687
639,429
Virtus
Equity
&
Convertible
Income
Fund
31,016
565,422
Virtus
Total
Return
Fund,
Inc.
22,546
147,676
Voya
Emerging
Markets
High
Dividend
Equity
Fund
16,544
85,367
Voya
Global
Advantage
and
Premium
Opportunity
Fund
11,128
96,814
Voya
Global
Equity
Dividend
and
Premium
Opportunity
Fund
21,948
118,739
Voya
Infrastructure
Industrials
and
Materials
Fund
12,142
111,342
Western
Asset
Global
High
Income
Fund,
Inc.
28,880
196,384
Western
Asset
Intermediate
Muni
Fund,
Inc.
15,735
119,429
Western
Asset
Investment
Grade
Income
Fund,
Inc.
2,029
23,496
Western
Asset
Managed
Municipals
Fund,
Inc.
56,555
569,509
Western
Asset
Municipal
High
Income
Fund,
Inc.
23,749
151,519
Western
Asset
Municipal
Partners
Fund,
Inc.
7,583
88,266
Western
Asset
Premier
Bond
Fund
15,825
168,378
TOTAL
CLOSED
END
FUNDS
(Cost
$48,654,986)
47,593,632
PRINCIPAL
AMOUNT
CORPORATE
BONDS
-
0.3%
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.3%
iStar,
Inc.
4.75%,
10/1/2024
(2)
$
2,331,000
2,313,490
4.25%,
8/1/2025
(2)
2,364,000
2,316,542
4,630,032
Independent
Power
and
Renewable
Electricity
Producers
-
0.0%
(c)
Aegean
Marine
Petroleum
Network,
Inc.
Escrow
0.00%,
12/15/2022
(2)(f)
2,375,000
190,000
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(c)
Black
Elk
Energy
Escrow
13.75%,
12/1/2015
(3)(d)(f)
2,833,436
145,210
TOTAL
CORPORATE
BONDS
(Cost
$5,589,776)
4,965,242
CONVERTIBLE
BONDS
-
22.3%
Aerospace
&
Defense
-
0.1%
Virgin
Galactic
Holdings,
Inc.
2.50%,
2/1/2027
(2)(a)(g)
4,067,000
1,807,781
Airlines
-
0.3%
JetBlue
Airways
Corp.
0.50%,
4/1/2026
(2)(a)
6,625,000
4,830,136
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Auto
Components
-
0.5%
LCI
Industries
1.13%,
5/15/2026
(2)(a)
$
6,925,000
5,834,312
Luminar
Technologies,
Inc.
1.25%,
12/15/2026
(2)(a)(g)
3,325,000
1,858,010
7,692,322
Biotechnology
-
0.7%
Cytokinetics,
Inc.
3.50%,
7/1/2027
(2)(a)(g)
6,165,000
7,068,173
Inovio
Pharmaceuticals,
Inc.
6.50%,
3/1/2024
(2)(a)
2,075,000
1,837,620
Novavax,
Inc.
5.00%,
12/15/2027
(2)(a)(g)
1,271,000
1,251,935
10,157,728
Communications
Equipment
-
1.5%
Infinera
Corp.
2.50%,
3/1/2027
(2)(a)
2,925,000
3,254,606
3.75%,
8/1/2028
(2)(a)(g)
7,575,000
9,388,455
Lumentum
Holdings,
Inc.
0.50%,
6/15/2028
(2)(a)(g)
14,356,000
10,866,056
23,509,117
Consumer
Finance
-
0.7%
EZCORP,
Inc.
2.38%,
5/1/2025
(2)(a)
1,540,000
1,366,042
3.75%,
12/15/2029
(2)(a)(g)
3,900,000
3,773,250
LendingTree,
Inc.
0.50%,
7/15/2025
(2)(a)
7,500,000
5,457,000
10,596,292
Diversified
Consumer
Services
-
0.8%
2U,
Inc.
2.25%,
5/1/2025
(2)(a)
3,425,000
2,214,262
Chegg,
Inc.
0.00%,
9/1/2026
(2)(a)
12,745,000
9,997,178
12,211,440
Diversified
Telecommunication
Services
-
0.1%
Bandwidth,
Inc.
0.25%,
3/1/2026
(2)(a)
1,875,000
1,404,000
Electrical
Equipment
-
0.9%
Array
Technologies,
Inc.
1.00%,
12/1/2028
(2)(a)
12,850,000
13,062,025
Energy
Equipment
&
Services
-
0.3%
Helix
Energy
Solutions
Group,
Inc.
6.75%,
2/15/2026
(2)(a)
3,250,000
4,490,258
Entertainment
-
0.4%
Sea
Ltd.
(Singapore)
0.25%,
9/15/2026
(2)(a)
8,250,000
6,043,125
Health
Care
Equipment
&
Supplies
-
1.2%
Cutera,
Inc.
2.25%,
6/1/2028
(2)(a)(g)
10,581,000
11,247,603
4.00%,
6/1/2029
(2)(a)(g)
1,033,000
1,051,697
Lantheus
Holdings,
Inc.
2.63%,
12/15/2027
(2)(a)(g)
1,940,000
1,953,386
Varex
Imaging
Corp.
4.00%,
6/1/2025
(2)(a)
3,100,000
3,609,640
17,862,326
69
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Health
Care
Providers
&
Services
-
0.5%
Guardant
Health,
Inc.
0.00%,
11/15/2027
(2)(a)
$
11,200,000
6,965,280
Health
Care
Technology
-
0.2%
Teladoc
Health,
Inc.
1.25%,
6/1/2027
(2)(a)
3,900,000
2,995,960
Hotels,
Restaurants
&
Leisure
-
2.8%
Airbnb,
Inc.
0.00%,
3/15/2026
(2)(a)
13,725,000
11,295,675
Carnival
Corp.
5.75%,
12/1/2027
(2)(a)(g)
7,020,000
6,268,860
DraftKings
Holdings,
Inc.
0.00%,
3/15/2028
(2)(a)
9,575,000
5,922,137
MakeMyTrip
Ltd.
(India)
0.00%,
2/15/2028
(2)(a)
6,075,000
6,002,100
Marriott
Vacations
Worldwide
Corp.
3.25%,
12/15/2027
(2)(a)(g)
1,940,000
1,915,750
NCL
Corp.
Ltd.
1.13%,
2/15/2027
(2)(a)
12,113,000
8,222,304
2.50%,
2/15/2027
(2)(a)(g)
1,585,000
1,137,238
Royal
Caribbean
Cruises
Ltd.
6.00%,
8/15/2025
(2)(a)(g)
2,058,000
2,584,848
43,348,912
Household
Durables
-
0.1%
GoPro,
Inc.
1.25%,
11/15/2025
(2)(a)
1,225,000
1,107,377
Independent
Power
and
Renewable
Electricity
Producers
-
0.8%
NextEra
Energy
Partners
LP
2.50%,
6/15/2026
(2)(a)(g)
3,840,000
3,582,720
Sunnova
Energy
International,
Inc.
0.25%,
12/1/2026
(2)(a)
3,450,000
2,668,575
2.63%,
2/15/2028
(2)(a)(g)
8,137,000
6,570,627
12,821,922
Interactive
Media
&
Services
-
0.9%
Eventbrite,
Inc.
0.75%,
9/15/2026
(2)(a)
7,400,000
5,106,000
Snap,
Inc.
0.00%,
5/1/2027
(2)(a)
1,175,000
820,737
0.13%,
3/1/2028
(2)(a)(g)
12,872,000
8,592,060
14,518,797
Internet
&
Direct
Marketing
Retail
-
2.2%
Etsy,
Inc.
0.25%,
6/15/2028
(2)(a)
12,100,000
10,330,980
Farfetch
Ltd.
(United
Kingdom)
3.75%,
5/1/2027
(2)(a)
5,525,000
4,143,750
Fiverr
International
Ltd.
0.00%,
11/1/2025
(2)(a)
5,276,000
4,254,738
Groupon,
Inc.
1.13%,
3/15/2026
(2)(a)
4,250,000
2,443,750
Porch
Group,
Inc.
0.75%,
9/15/2026
(2)(a)(g)
3,400,000
1,853,646
Wayfair,
Inc.
3.25%,
9/15/2027
(2)(a)(g)
6,483,000
4,943,287
Xometry,
Inc.
1.00%,
2/1/2027
(2)(a)(g)
7,225,000
6,102,188
34,072,339
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
IT
Services
-
1.8%
DigitalOcean
Holdings,
Inc.
0.00%,
12/1/2026
(2)(a)
$
3,325,000
2,485,438
Fastly,
Inc.
0.00%,
3/15/2026
(2)(a)
7,375,000
5,346,875
Repay
Holdings
Corp.
0.00%,
2/1/2026
(2)(a)(g)
8,300,000
6,061,559
Shift4
Payments,
Inc.
0.50%,
8/1/2027
(2)(a)
8,575,000
7,215,863
Shopify,
Inc.
(Canada)
0.13%,
11/1/2025
(2)(a)
7,675,000
6,552,531
27,662,266
Leisure
Products
-
0.2%
Peloton
Interactive,
Inc.
0.00%,
2/15/2026
(2)(a)
4,875,000
3,455,490
Life
Sciences
Tools
&
Services
-
0.2%
CryoPort,
Inc.
0.75%,
12/1/2026
(2)(a)(g)
3,083,000
2,260,147
Machinery
-
1.1%
3D
Systems
Corp.
0.00%,
11/15/2026
(2)(a)
9,900,000
6,751,800
Greenbrier
Cos.,
Inc.
(The)
2.88%,
4/15/2028
(2)(a)
11,535,000
10,168,103
16,919,903
Media
-
0.8%
Cable
One,
Inc.
1.13%,
3/15/2028
(2)(a)
7,514,000
5,582,902
TechTarget,
Inc.
0.00%,
12/15/2026
(2)(a)(g)
9,825,000
7,457,175
13,040,077
Metals
&
Mining
-
0.0%
(c)
Ivanhoe
Mines
Ltd.
(Canada)
2.50%,
4/15/2026
(2)(a)(g)
575,000
698,337
Oil,
Gas
&
Consumable
Fuels
-
0.1%
Northern
Oil
and
Gas,
Inc.
3.63%,
4/15/2029
(2)(a)(g)
1,422,000
1,528,650
Pharmaceuticals
-
0.7%
Innoviva,
Inc.
2.13%,
3/15/2028
(2)(a)(g)
13,373,000
10,805,384
Professional
Services
-
0.2%
Upwork,
Inc.
0.25%,
8/15/2026
(2)(a)
4,225,000
3,168,156
Real
Estate
Management
&
Development
-
0.3%
Realogy
Group
LLC
0.25%,
6/15/2026
(2)(a)
4,425,000
3,093,075
Redfin
Corp.
0.50%,
4/1/2027
(2)(a)
4,535,000
2,072,495
5,165,570
Road
&
Rail
-
0.5%
Lyft,
Inc.
1.50%,
5/15/2025
(2)(a)
9,150,000
8,056,205
Semiconductors
&
Semiconductor
Equipment
-
0.1%
Semtech
Corp.
1.63%,
11/1/2027
(2)(a)(g)
1,928,000
1,971,380
70
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Software
-
1.3%
8x8,
Inc.
0.50%,
2/1/2024
(2)(a)
$
2,450,000
2,229,477
4.00%,
2/1/2028
(2)(a)
5,050,000
4,161,200
Confluent,
Inc.
0.00%,
1/15/2027
(2)(a)
5,825,000
4,397,875
Envestnet,
Inc.
2.63%,
12/1/2027
(2)(a)(g)
1,230,000
1,319,790
Marathon
Digital
Holdings,
Inc.
1.00%,
12/1/2026
(2)(a)
6,855,000
1,529,751
Unity
Software,
Inc.
0.00%,
11/15/2026
(2)(a)
6,825,000
5,108,513
Veritone,
Inc.
1.75%,
11/15/2026
(2)(a)
1,091,000
657,328
19,403,934
TOTAL
CONVERTIBLE
BONDS
(Cost
$399,360,429)
343,632,636
NO.
OF
RIGHTS
RIGHTS
-
0.0%
(c)
Biotechnology
-
0.0%
(c)
Ambit
Biosciences
Corp.,
CVR
(3)*(d)
146,272
140,031
Tobira
Therapeutics,
Inc.,
CVR
(3)*(d)
11,880
146,105
286,136
Capital
Markets
-
0.0%
(c)
Accretion
Acquisition
Corp.,
expiring
3/1/2028
*(a)(b)
202,180
14,638
Alset
Capital
Acquisition
Corp.,
expiring
2/3/2025
(3)*(b)(d)
122,496
18,374
Aquaron
Acquisition
Corp.,
expiring
7/15/2026
(2)*(b)
35,605
7,833
Bannix
Acquisition
Corp.,
expiring
8/30/2026
(2)*(b)
26,277
2,234
Blockchain
Moon
Acquisition
Corp.,
expiring
10/21/2026
*(b)
44,844
1,574
Breeze
Holdings
Acquisition
Corp.
(2)*(b)
55,000
7,161
Broad
Capital
Acquisition
Corp.,
expiring
1/13/2027
*(b)
69,739
6,974
Clean
Earth
Acquisitions
Corp.,
expiring
8/28/2028
(2)*(b)
195,348
22,465
Deep
Medicine
Acquisition
Corp.,
expiring
9/30/2028
*(b)
152,927
7,646
Edoc
Acquisition
Corp.,
expiring
11/30/2027
(2)*(b)
55,000
4,945
EF
Hutton
Acquisition
Corp.
I
*(b)
34,096
3,737
Feutune
Light
Acquisition
Corp.
(2)*(b)
94,079
7,620
Financial
Strategies
Acquisition
Corp.,
expiring
1/7/2023
(2)*(b)
131,193
9,840
Fintech
Ecosystem
Development
Corp.,
expiring
1/4/2026
*(b)
10,730
1,502
Global
Blockchain
Acquisition
Corp.
(3)*(b)(d)
161,196
6,464
Global
Star
Acquisition,
Inc.
*(b)
50,064
8,656
Globalink
Investment,
Inc.,
expiring
12/9/2026
*(b)
74,843
3,772
INVESTMENTS
NO.
OF
RIGHTS
VALUE
($)
Capital
Markets
-
0.0%
(c)
(continued)
Goldenstone
Acquisition
Ltd.,
expiring
7/15/2026
(3)*(b)(d)
32,200
2,898
Inception
Growth
Acquisition
Ltd.
(2)*(b)
112,518
11,139
JUPITER
WELLNESS
ACQUISITION
Corp.
(2)*(b)
149,929
14,993
Metal
Sky
Star
Acquisition
Corp.,
expiring
12/31/2023
*(b)
103,342
8,784
Monterey
Capital
Acquisition
Corp.,
expiring
5/13/2027
(2)*(b)
71,394
6,783
NorthView
Acquisition
Corp.,
expiring
8/2/2027
*(b)
154,598
26,668
PHP
Ventures
Acquisition
Corp.,
expiring
8/11/2026
*(b)
29,400
5,145
Prime
Number
Acquisition
I
Corp.
*(b)
35,700
6,426
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
(2)*(b)
74,885
11,982
RF
Acquisition
Corp.,
expiring
3/29/2024
(2)*(b)
114,573
9,177
ROC
Energy
Acquisition
Corp.,
expiring
11/30/2028
*(b)
149,375
23,900
Sagaliam
Acquisition
Corp.,
expiring
5/31/2028
(2)*(b)
70,003
8,400
Welsbach
Technology
Metals
Acquisition
Corp.,
expiring
3/31/2023
(2)*(b)
9,289
1,858
Yotta
Acquisition
Corp.,
expiring
12/31/2023
*(b)
68,693
8,243
281,831
TOTAL
RIGHTS
(Cost
$–)
567,967
NO.
OF
WARRANTS
WARRANTS
-
0.2%
Aerospace
&
Defense
-
0.0%
(c)
Eve
Holding,
Inc.,
expiring
10/8/2025
*
82,026
20,507
Biotechnology
-
0.0%
(c)
180
Life
Sciences
Corp.,
expiring
11/7/2025
*
436,146
27,564
4d
pharma
plc,
expiring
3/22/2026
(United
Kingdom)
*
15,533
23
Cardio
Diagnostics
Holdings,
Inc.,
expiring
12/1/2026
*
18,133
898
DermTech,
Inc.,
expiring
8/29/2024
*
142,912
15,677
Ensysce
Biosciences,
Inc.,
expiring
2/1/2026
*
170,623
3,754
Peak
Bio,
Inc.,
expiring
12/31/2027
*
6,026
1,494
ZyVersa
Therapeutics,
Inc.,
expiring
12/20/2026
(3)*(d)
38,655
2,706
52,116
71
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
26
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(b)
74,200
20,776
7GC
&
Co.
Holdings,
Inc.,
expiring
12/31/2026
*(b)
67,750
4,743
Accretion
Acquisition
Corp.,
expiring
2/19/2023
*(a)(b)
101,090
1,890
Achari
Ventures
Holdings
Corp.
I,
expiring
8/5/2026
*(a)(b)
42,909
2,145
Acri
Capital
Acquisition
Corp.,
expiring
2/1/2029
(3)*(a)(b)(d)
27,498
962
Acropolis
Infrastructure
Acquisition
Corp.,
expiring
3/31/2026
*(a)(b)
140,333
16,840
Adit
EdTech
Acquisition
Corp.,
expiring
12/31/2027
*(a)(b)
41,250
2,475
Aequi
Acquisition
Corp.,
expiring
11/30/2027
*(b)
107,000
2,996
Aesther
Healthcare
Acquisition
Corp.,
expiring
7/19/2026
*(b)
20,252
3,038
Aetherium
Acquisition
Corp.,
expiring
1/21/2028
(2)*(b)
175,712
580
Alpha
Healthcare
Acquisition
Corp.
III,
expiring
4/12/2027
*(a)(b)
52,000
8,658
Alpine
Acquisition
Corp.,
expiring
5/1/2026
*(b)
15,103
1,510
Alset
Capital
Acquisition
Corp.,
expiring
2/2/2027
(2)*(b)
61,248
4,747
AltEnergy
Acquisition
Corp.,
expiring
11/2/2028
*(a)(b)
61,463
6,331
Altitude
Acquisition
Corp.,
expiring
11/30/2027
*(a)(b)
96,300
3,948
AMCI
Acquisition
Corp.
II,
expiring
12/31/2028
*(b)
69,500
16,680
American
Acquisition
Opportunity,
Inc.,
expiring
5/28/2026
*(b)
58,500
1,205
Anzu
Special
Acquisition
Corp.
I,
expiring
12/31/2027
*(a)(b)
68,889
2,618
Apeiron
Capital
Investment
Corp.,
expiring
6/24/2023
*(a)(b)
54,024
8,104
Arbor
Rapha
Capital
Bioholdings
Corp.
I,
expiring
3/14/2023
*(a)(b)
47,678
1,931
Armada
Acquisition
Corp.
I,
expiring
8/13/2026
(2)*(b)
64,166
1,989
Arogo
Capital
Acquisition
Corp.,
expiring
3/23/2028
(3)*(b)(d)
96,774
7,258
Arrowroot
Acquisition
Corp.,
expiring
3/2/2026
(2)*(a)(b)
41,500
208
Artemis
Strategic
Investment
Corp.,
expiring
2/12/2023
(2)*(b)
102,400
13,844
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Athena
Consumer
Acquisition
Corp.,
expiring
7/31/2028
*(b)
64,463
7,497
Athena
Technology
Acquisition
Corp.
II,
expiring
10/17/2028
*(a)(b)
319,116
12,701
Atlantic
Coastal
Acquisition
Corp.,
expiring
12/31/2027
*(a)(b)
228,472
11,424
Atlantic
Coastal
Acquisition
Corp.
II,
expiring
6/2/2028
*(a)(b)
206,631
13,431
Ault
Disruptive
Technologies
Corp.,
expiring
6/20/2028
*(a)(b)
54,855
2,194
Aurora
Acquisition
Corp.,
expiring
12/31/2028
(United
Kingdom)
*(b)
9,375
141
Authentic
Equity
Acquisition
Corp.,
expiring
12/31/2027
*(a)(b)
41,266
644
Avalon
Acquisition,
Inc.,
expiring
2/26/2023
*(b)
79,701
5,181
AxonPrime
Infrastructure
Acquisition
Corp.,
expiring
7/8/2023
*(b)
78,055
3,146
B
Riley
Principal
250
Merger
Corp.,
expiring
12/31/2027
*(b)
117,289
3,530
Banner
Acquisition
Corp.,
expiring
1/15/2028
*(b)
20,196
305
Bannix
Acquisition
Corp.,
expiring
2/19/2023
(2)*(b)
26,277
657
Banyan
Acquisition
Corp.,
expiring
9/30/2028
*(b)
167,229
4,181
Beard
Energy
Transition
Acquisition
Corp.,
expiring
12/31/2027
*(b)
74,755
5,980
Belong
Acquisition
Corp.,
expiring
12/31/2027
*(b)
64,000
8,960
Berenson
Acquisition
Corp.
I,
expiring
8/1/2026
*(b)
15,392
562
Better
World
Acquisition
Corp.,
expiring
11/15/2027
*(b)
49,500
4,876
Bilander
Acquisition
Corp.,
expiring
12/31/2027
*(b)
60,416
10,875
Bite
Acquisition
Corp.,
expiring
12/31/2027
*(b)
41,600
2,496
Black
Mountain
Acquisition
Corp.,
expiring
10/15/2027
*(b)
183,774
6,745
Blockchain
Moon
Acquisition
Corp.,
expiring
10/14/2026
*(b)
44,844
807
Breeze
Holdings
Acquisition
Corp.,
expiring
5/25/2027
*(b)
55,000
3,509
Build
Acquisition
Corp.,
expiring
4/29/2023
(2)*(b)
135,000
1,350
BurTech
Acquisition
Corp.,
expiring
12/18/2026
*(b)
447,209
2,728
72
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
byNordic
Acquisition
Corp.,
expiring
2/9/2027
*(b)
69,207
1,384
C5
Acquisition
Corp.,
expiring
5/19/2028
*(b)
131,692
3,951
Canna-Global
Acquisition
Corp.,
expiring
2/9/2028
(2)*(b)
188,580
3,753
Carney
Technology
Acquisition
Corp.
II,
expiring
11/30/2027
*(b)
163,143
10,963
Cascadia
Acquisition
Corp.,
expiring
2/5/2023
(2)*(b)
60,303
639
CENAQ
Energy
Corp.,
expiring
12/31/2027
*(b)
105,000
11,550
CF
Acquisition
Corp.
IV,
expiring
12/14/2025
*(b)
78,500
6,044
CF
Acquisition
Corp.
VII,
expiring
3/15/2026
(2)*(b)
48,764
1,560
CF
Acquisition
Corp.
VIII,
expiring
12/31/2027
*(b)
48,500
1,358
Churchill
Capital
Corp.
V,
expiring
10/29/2027
*(b)
10,350
835
Churchill
Capital
Corp.
VI,
expiring
12/31/2027
*(b)
16,600
996
Churchill
Capital
Corp.
VII,
expiring
2/29/2028
*(b)
16,600
820
CIIG
Capital
Partners
II,
Inc.,
expiring
2/28/2028
*(b)
70,884
4,962
Clean
Earth
Acquisitions
Corp.,
expiring
2/24/2028
(2)*(b)
97,674
7,814
Colombier
Acquisition
Corp.,
expiring
12/31/2028
(2)*(b)
78,300
6,734
Compute
Health
Acquisition
Corp.,
expiring
12/31/2027
*(b)
23,100
2,595
Concord
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*(b)
95,464
11,045
Concord
Acquisition
Corp.
III,
expiring
12/31/2028
*(b)
215,234
14,636
Conx
Corp.,
expiring
10/30/2027
*(b)
92,500
13,875
Conyers
Park
III
Acquisition
Corp.,
expiring
8/12/2028
*(b)
161,500
24,063
Corner
Growth
Acquisition
Corp.,
expiring
12/31/2027
*(b)
110,400
3,323
Crixus
BH3
Acquisition
Co.,
expiring
11/23/2026
*(b)
42,289
4,652
D
&
Z
Media
Acquisition
Corp.,
expiring
12/31/2027
*(b)
27,453
1,411
Data
Knights
Acquisition
Corp.,
expiring
12/31/2028
*(b)
50,667
1,758
DiamondHead
Holdings
Corp.,
expiring
1/28/2028
*(b)
20,700
2,174
Digital
Health
Acquisition
Corp.,
expiring
10/14/2023
(2)*(b)
71,745
7,096
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Digital
Transformation
Opportunities
Corp.,
expiring
3/31/2028
*(b)
20,733
1,331
Direct
Selling
Acquisition
Corp.,
expiring
11/23/2023
*(b)
51,291
2,052
dMY
Squared
Technology
Group,
Inc.,
expiring
11/21/2027
*(b)
6,140
2,512
dMY
Technology
Group,
Inc.
VI,
expiring
6/25/2023
*(b)
41,091
4,315
DTRT
Health
Acquisition
Corp.,
expiring
8/31/2029
*(b)
60,408
13,296
DUET
Acquisition
Corp.,
expiring
7/19/2028
(3)*(b)(d)
73,788
1,107
Dune
Acquisition
Corp.,
expiring
10/29/2027
*(b)
22,884
252
East
Resources
Acquisition
Co.,
expiring
7/1/2027
*(b)
219,000
38,325
Edify
Acquisition
Corp.,
expiring
12/31/2027
*(b)
41,550
1,251
Edoc
Acquisition
Corp.,
expiring
11/30/2027
*(b)
55,000
2,173
EdtechX
Holdings
Acquisition
Corp.
II,
expiring
6/15/2027
*(b)
40,875
1,794
EF
Hutton
Acquisition
Corp.
I,
expiring
12/8/2027
*(b)
34,096
546
EG
Acquisition
Corp.,
expiring
5/28/2028
*(b)
155,666
30,044
Epiphany
Technology
Acquisition
Corp.,
expiring
12/31/2027
*(b)
65,416
150
Everest
Consolidator
Acquisition
Corp.,
expiring
7/19/2028
*(b)
65,508
989
Evo
Acquisition
Corp.,
expiring
12/31/2027
*(b)
9,660
539
ExcelFin
Acquisition
Corp.,
expiring
7/5/2023
(2)*(b)
67,393
2,022
FAST
Acquisition
Corp.
II,
expiring
3/16/2026
*(b)
24,250
16,247
Feutune
Light
Acquisition
Corp.,
expiring
6/1/2029
*(b)
94,079
2,822
FG
Merger
Corp.,
expiring
6/17/2027
(2)*(b)
73,638
3,682
Financial
Strategies
Acquisition
Corp.,
expiring
3/31/2028
(3)*(b)(d)
131,193
2,624
FinServ
Acquisition
Corp.
II,
expiring
2/17/2026
*(b)
20,791
106
Fintech
Ecosystem
Development
Corp.,
expiring
12/31/2028
(3)*(b)(d)
5,365
376
First
Light
Acquisition
Group,
Inc.,
expiring
10/7/2023
*(b)
20,232
1,012
First
Reserve
Sustainable
Growth
Corp.,
expiring
12/31/2027
*(b)
20,625
260
73
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Flame
Acquisition
Corp.,
expiring
12/31/2028
(2)*(b)
65,866
42,819
Focus
Impact
Acquisition
Corp.,
expiring
4/23/2023
*(b)
50,975
2,549
Forest
Road
Acquisition
Corp.
II,
expiring
1/15/2026
*(b)
16,622
5,552
Fortune
Rise
Acquisition
Corp.,
expiring
11/26/2023
*(b)
49,324
1,726
Forum
Merger
IV
Corp.,
expiring
12/31/2027
*(b)
117,500
3,525
FoxWayne
Enterprises
Acquisition
Corp.,
expiring
12/31/2026
*(b)
34,500
2,915
FTAC
Emerald
Acquisition
Corp.,
expiring
8/22/2028
*(b)
118,863
5,943
FTAC
Parnassus
Acquisition
Corp.,
expiring
3/10/2026
*(b)
44,034
881
Fusion
Acquisition
Corp.
II,
expiring
12/31/2027
*(b)
27,666
22
Future
Health
ESG
Corp.,
expiring
2/19/2023
*(b)
45,911
3,214
FutureTech
II
Acquisition
Corp.,
expiring
2/16/2027
(2)*(b)
38,964
1,177
Gardiner
Healthcare
Acquisitions
Corp.,
expiring
7/30/2028
*(b)
52,651
6,845
Genesis
Unicorn
Capital
Corp.,
expiring
6/30/2026
(2)*(b)
67,549
3,040
GigCapital5,
Inc.,
expiring
12/31/2028
*(b)
123,100
4,308
Global
Blockchain
Acquisition
Corp.,
expiring
5/10/2027
*(b)
161,196
2,434
Global
Star
Acquisition,
Inc.,
expiring
11/10/2027
(2)*(b)
50,064
1,737
Global
Systems
Dynamics,
Inc.,
expiring
12/31/2027
*(b)
69,500
3,475
Globalink
Investment,
Inc.,
expiring
12/3/2026
*(b)
74,843
748
Goal
Acquisitions
Corp.,
expiring
2/11/2026
*(b)
84,630
4,088
Golden
Arrow
Merger
Corp.,
expiring
7/31/2026
*(b)
131,733
869
Golden
Falcon
Acquisition
Corp.,
expiring
11/4/2026
*(b)
64,925
9,739
Goldenstone
Acquisition
Ltd.,
expiring
7/15/2026
*(b)
32,200
35
Good
Works
II
Acquisition
Corp.,
expiring
2/1/2028
*(b)
126,000
9,135
Gores
Holdings
IX,
Inc.,
expiring
1/14/2029
(2)*(b)
552,098
104,954
Graf
Acquisition
Corp.
IV,
expiring
5/31/2028
*(b)
73,000
6,198
GSR
II
Meteora
Acquisition
Corp.,
expiring
7/22/2023
*(b)
244,186
15,603
GX
Acquisition
Corp.
II,
expiring
12/31/2028
*(b)
137,666
108,756
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Hawks
Acquisition
Corp.,
expiring
10/13/2028
(3)*(b)(d)
37,175
260
Healthwell
Acquisition
Corp.
I,
expiring
8/5/2028
(2)*(b)
139,600
11,168
Heartland
Media
Acquisition
Corp.,
expiring
10/21/2027
(2)*(b)
200,423
7,857
Hennessy
Capital
Investment
Corp.
VI,
expiring
12/31/2027
*(b)
232,490
22,435
HNR
Acquisition
Corp.,
expiring
7/29/2028
(2)*(b)
49,014
4,901
Home
Plate
Acquisition
Corp.,
expiring
3/3/2023
*(b)
20,508
205
IG
Acquisition
Corp.,
expiring
10/5/2027
*(b)
182,500
4,508
Inception
Growth
Acquisition
Ltd.,
expiring
10/15/2026
(3)*(b)(d)
56,259
2,250
Industrial
Tech
Acquisitions
II,
Inc.,
expiring
12/31/2028
(2)*(b)
63,004
5,040
Insight
Acquisition
Corp.,
expiring
2/11/2023
(3)*(b)(d)
25,170
143
Integral
Acquisition
Corp.
1,
expiring
12/14/2028
(3)*(b)(d)
53,808
4,009
Integrated
Rail
and
Resources
Acquisition
Corp.,
expiring
5/21/2023
*(b)
54,219
7,591
Intelligent
Medicine
Acquisition
Corp.,
expiring
11/5/2026
*(b)
62,785
659
InterPrivate
III
Financial
Partners,
Inc.,
expiring
12/31/2027
*(b)
16,500
1,114
InterPrivate
IV
InfraTech
Partners,
Inc.,
expiring
12/31/2027
(2)*(b)
16,600
666
Iris
Acquisition
Corp.,
expiring
3/5/2026
*(b)
63,888
4,855
Jackson
Acquisition
Co.,
expiring
12/31/2028
(2)*(b)
183,961
1,049
Jaws
Hurricane
Acquisition
Corp.,
expiring
2/23/2023
*(b)
34,250
5,497
Juniper
II
Corp.,
expiring
12/31/2028
*(b)
53,808
8,792
Jupiter
Acquisition
Corp.,
expiring
8/17/2028
(2)*(b)
105,000
6,300
Kadem
Sustainable
Impact
Corp.,
expiring
3/16/2026
*(b)
151,547
1,561
Kimbell
Tiger
Acquisition
Corp.,
expiring
9/15/2028
(2)*(b)
185,772
16,719
Kingswood
Acquisition
Corp.,
expiring
5/1/2027
*(b)
112,062
4,393
KINS
Technology
Group,
Inc.,
expiring
12/31/2025
*(b)
78,500
2,363
KludeIn
I
Acquisition
Corp.,
expiring
7/8/2027
(2)*(b)
28,833
2,284
74
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
KnightSwan
Acquisition
Corp.,
expiring
7/21/2028
*(b)
167,019
7,533
Landcadia
Holdings
IV,
Inc.,
expiring
3/29/2028
*(b)
84,500
11,374
LAVA
Medtech
Acquisition
Corp.,
expiring
4/1/2023
*(b)
31,732
162
Learn
CW
Investment
Corp.,
expiring
12/31/2028
(3)*(b)(d)
13,352
801
Legato
Merger
Corp.
II,
expiring
2/5/2023
*(b)
77,207
33,894
LF
Capital
Acquisition
Corp.
II,
expiring
1/7/2026
(2)*(b)
54,396
1,360
LightJump
Acquisition
Corp.,
expiring
12/31/2027
*(b)
26,286
3,890
Lionheart
III
Corp.,
expiring
3/19/2023
(2)*(b)
44,840
2,148
Live
Oak
Crestview
Climate
Acquisition
Corp.,
expiring
3/12/2026
*(b)
54,710
9,842
Live
Oak
Mobility
Acquisition
Corp.,
expiring
3/4/2028
*(b)
17,760
2,486
Logistics
Innovation
Technologies
Corp.,
expiring
6/15/2028
*(b)
81,857
3,282
M3-Brigade
Acquisition
II
Corp.,
expiring
12/31/2027
*(b)
413,333
22,485
M3-Brigade
Acquisition
III
Corp.,
expiring
5/11/2023
(2)*(b)
149,671
62,847
Maquia
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(b)
113,500
4,086
Marblegate
Acquisition
Corp.,
expiring
8/31/2028
(3)*(b)(d)
573,387
22,935
Mason
Industrial
Technology,
Inc.,
expiring
12/31/2027
*(b)
50,518
1,010
Maxpro
Capital
Acquisition
Corp.,
expiring
7/22/2026
*(b)
9,347
514
McLaren
Technology
Acquisition
Corp.,
expiring
3/3/2023
(2)*(b)
89,681
2,242
MedTech
Acquisition
Corp.,
expiring
12/18/2025
*(b)
45,166
3,387
Mercato
Partners
Acquisition
Corp.,
expiring
12/28/2026
(2)*(b)
71,745
1,083
Metal
Sky
Star
Acquisition
Corp.,
expiring
4/1/2027
*(b)
103,342
2,584
Minority
Equality
Opportunities
Acquisition,
Inc.,
expiring
4/29/2023
*(b)
40,202
1,809
Mobiv
Acquisition
Corp.,
expiring
9/23/2027
(3)*(b)(d)
101,917
6,115
Monterey
Bio
Acquisition
Corp.,
expiring
6/7/2023
*(b)
8,700
283
Monterey
Capital
Acquisition
Corp.,
expiring
5/11/2027
*(b)
71,394
2,720
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Mount
Rainier
Acquisition
Corp.,
expiring
11/27/2026
*(b)
84,937
15,289
Murphy
Canyon
Acquisition
Corp.,
expiring
2/3/2027
*(b)
97,859
6,752
Nabors
Energy
Transition
Corp.,
expiring
11/17/2026
*(b)
127,094
7,371
New
Providence
Acquisition
Corp.
II,
expiring
12/31/2027
*(b)
41,859
4,186
Newbury
Street
Acquisition
Corp.,
expiring
12/31/2027
*(b)
88,000
6,160
NewHold
Investment
Corp.
II,
expiring
10/21/2023
*(b)
67,366
10,058
Northern
Genesis
Acquisition
Corp.
III,
expiring
12/31/2027
*(b)
57,500
4,824
Northern
Star
Investment
Corp.
II,
expiring
1/31/2028
*(b)
16,500
1,069
Northern
Star
Investment
Corp.
III,
expiring
2/25/2028
(3)*(b)(d)
13,777
276
Northern
Star
Investment
Corp.
IV,
expiring
12/31/2027
*(b)
13,777
321
NorthView
Acquisition
Corp.,
expiring
8/2/2027
(3)*(b)(d)
77,299
3,672
Nubia
Brand
International
Corp.,
expiring
11/16/2026
(3)*(b)(d)
142,150
11,372
OCA
Acquisition
Corp.,
expiring
12/31/2027
(2)*(b)
55,769
552
OceanTech
Acquisitions
I
Corp.,
expiring
5/10/2026
*(b)
104,000
4,056
OmniLit
Acquisition
Corp.,
expiring
11/8/2026
*(b)
40,496
1,316
OPY
Acquisition
Corp.
I,
expiring
4/8/2023
(2)*(b)
41,286
2,073
Osiris
Acquisition
Corp.,
expiring
5/1/2028
(2)*(b)
254,000
10,439
Papaya
Growth
Opportunity
Corp.
I,
expiring
12/31/2028
(2)*(b)
206,644
16,428
Parabellum
Acquisition
Corp.,
expiring
9/30/2026
*(b)
24,278
971
Phoenix
Biotech
Acquisition
Corp.,
expiring
9/1/2026
*(b)
106,172
4,173
PHP
Ventures
Acquisition
Corp.,
expiring
12/4/2023
*(b)
14,700
882
Pine
Technology
Acquisition
Corp.,
expiring
3/31/2028
*(b)
213,333
363
Pivotal
Investment
Corp.
III,
expiring
12/31/2027
(2)*(b)
16,566
828
PMV
Consumer
Acquisition
Corp.,
expiring
8/31/2027
(2)*(b)
146,000
1,460
75
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Pono
Capital
Corp.,
expiring
6/16/2026
*(b)
89,775
5,835
Pono
Capital
Two,
Inc.,
expiring
9/23/2027
*(b)
92,094
5,074
Post
Holdings
Partnering
Corp.,
expiring
4/12/2026
*(b)
64,630
5,170
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
expiring
12/14/2028
*(b)
159,558
11,201
PowerUp
Acquisition
Corp.,
expiring
2/18/2027
*(b)
226,462
18,117
Prime
Number
Acquisition
I
Corp.,
expiring
7/1/2027
*(b)
17,850
1,160
Priveterra
Acquisition
Corp.,
expiring
12/31/2027
*(b)
31,100
1,418
Progress
Acquisition
Corp.,
expiring
12/31/2027
*(b)
41,500
2,602
PROOF
Acquisition
Corp.
I,
expiring
12/3/2028
(2)*(b)
75,432
2,316
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
*(b)
74,885
3,520
Relativity
Acquisition
Corp.,
expiring
2/11/2027
*(b)
89,748
2,917
RF
Acquisition
Corp.,
expiring
5/1/2028
(2)*(b)
114,573
1,432
Rosecliff
Acquisition
Corp.
I,
expiring
12/31/2027
*(b)
27,555
827
Roth
Ch
Acquisition
IV
Co.,
expiring
7/1/2026
(2)*(b)
49,182
11,873
Roth
CH
Acquisition
V
Co.,
expiring
12/10/2026
(2)*(b)
14,143
566
Schultze
Special
Purpose
Acquisition
Corp.
II,
expiring
3/25/2028
(3)*(b)(d)
31,865
360
Seaport
Calibre
Materials
Acquisition
Corp.,
expiring
7/19/2026
*(b)
22,683
794
Seaport
Global
Acquisition
II
Corp.,
expiring
11/17/2026
*(b)
40,848
396
Senior
Connect
Acquisition
Corp.
I,
expiring
12/31/2027
*(b)
78,500
4,718
ShoulderUp
Technology
Acquisition
Corp.,
expiring
7/26/2023
*(b)
108,870
2,177
Signal
Hill
Acquisition
Corp.,
expiring
2/11/2027
(3)*(b)(d)
44,930
449
Silver
Spike
Acquisition
Corp.
II,
expiring
2/26/2026
*(b)
20,000
596
Sizzle
Acquisition
Corp.,
expiring
3/12/2026
*(b)
35,872
10,762
Social
Leverage
Acquisition
Corp.
I,
expiring
2/17/2028
*(b)
20,666
1,240
Southport
Acquisition
Corp.,
expiring
5/24/2028
(2)*(b)
182,986
4,154
SportsMap
Tech
Acquisition
Corp.,
expiring
9/1/2027
(2)*(b)
64,363
3,534
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Springwater
Special
Situations
Corp.,
expiring
4/12/2026
*(b)
20,106
402
Stratim
Cloud
Acquisition
Corp.,
expiring
3/5/2026
(2)*(b)
148,000
1,480
Sustainable
Development
Acquisition
I
Corp.,
expiring
12/31/2028
*(b)
41,836
1,673
Tailwind
Acquisition
Corp.,
expiring
9/7/2027
*(b)
312,710
21,890
Tastemaker
Acquisition
Corp.,
expiring
12/31/2025
*(b)
72,083
10,812
Tech
and
Energy
Transition
Corp.,
expiring
12/31/2027
*(b)
123,333
4,082
TG
Venture
Acquisition
Corp.,
expiring
8/13/2023
*(b)
215,235
12,914
Thunder
Bridge
Capital
Partners
III,
Inc.,
expiring
2/15/2028
*(b)
16,818
1,290
Thunder
Bridge
Capital
Partners
IV,
Inc.,
expiring
3/12/2023
(3)*(b)(d)
64,400
12,236
TLG
Acquisition
One
Corp.,
expiring
1/25/2028
*(b)
27,727
1,137
Trajectory
Alpha
Acquisition
Corp.,
expiring
12/31/2027
*(b)
54,960
2,198
Twelve
Seas
Investment
Co.
II,
expiring
3/2/2028
*(b)
32,933
494
USHG
Acquisition
Corp.,
expiring
12/31/2028
*(b)
41,285
50
Viscogliosi
Brothers
Acquisition
Corp.,
expiring
3/18/2027
*(b)
26,480
1,438
Vision
Sensing
Acquisition
Corp.,
expiring
3/24/2023
*(b)
38,412
1,125
VMG
Consumer
Acquisition
Corp.,
expiring
7/3/2023
(2)*(b)
90,393
3,616
VPC
Impact
Acquisition
Holdings
II,
expiring
12/31/2027
(3)*(b)(d)
26,666
325
Warburg
Pincus
Capital
Corp.
I-B,
expiring
3/9/2026
(3)*(b)
(d)
12,000
60
Western
Acquisition
Ventures
Corp.,
expiring
1/12/2027
(2)*(b)
67,539
4,390
Williams
Rowland
Acquisition
Corp.,
expiring
12/11/2026
*(b)
115,833
5,224
Yotta
Acquisition
Corp.,
expiring
3/15/2027
(2)*(b)
68,693
2,061
Zimmer
Energy
Transition
Acquisition
Corp.,
expiring
5/14/2023
*(b)
160,666
30,527
1,556,515
76
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Consumer
Finance
-
0.0%
(c)
Moneylion,
Inc.,
expiring
9/22/2026
*
93,050
3,824
Diversified
Financial
Services
-
0.0%
(c)
SHF
Holdings,
Inc.,
expiring
9/28/2027
*
33,106
2,079
Electrical
Equipment
-
0.0%
(c)
Eos
Energy
Enterprises,
Inc.,
expiring
5/6/2026
*
94,011
23,512
Fusion
Fuel
Green
plc,
expiring
12/10/2025
(Ireland)
*
5,569
5,122
28,634
Electronic
Equipment,
Instruments
&
Components
-
0.0%
(c)
Innoviz
Technologies
Ltd.,
expiring
4/5/2026
(Israel)
*
54,268
78,689
Velodyne
Lidar,
Inc.,
expiring
9/29/2025
*
89,248
22,776
101,465
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.0%
(c)
Appreciate
Holdings,
Inc.,
expiring
11/29/2027
*
1,953
59
Health
Care
Equipment
&
Supplies
-
0.0%
(c)
SeaStar
Medical
Holding
Corp.,
expiring
1/26/2026
*
9,883
894
Hotels,
Restaurants
&
Leisure
-
0.0%
(c)
Hall
of
Fame
Resort
&
Entertainment
Co.,
expiring
7/1/2025
*
110,938
5,214
Selina
Hospitality
plc,
expiring
10/25/2027
(United
Kingdom)
*
21,842
1,638
6,852
Household
Durables
-
0.0%
(c)
Landsea
Homes
Corp.,
expiring
1/7/2026
*
179,313
17,035
Insurance
-
0.0%
(c)
International
General
Insurance
Holdings
Ltd.,
expiring
3/17/2025
(Jordan)
(2)*
189,604
109,970
Sagicor
Financial
Co.
Ltd.,
expiring
12/5/2024
(Canada)
(3)*(d)
124,500
4,598
114,568
Interactive
Media
&
Services
-
0.0%
(c)
Leafly
Holdings,
Inc.,
expiring
11/7/2026
*
32,727
1,312
Internet
&
Direct
Marketing
Retail
-
0.0%
(c)
BARK,
Inc.,
expiring
8/29/2025
*
142,155
21,338
Nogin,
Inc.,
expiring
8/26/2027
*
83,154
1,621
22,959
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
IT
Services
-
0.0%
(c)
Getaround,
Inc.,
expiring
3/9/2026
*
13,611
622
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.0%
(c)
Broadmark
Realty
Capital,
Inc.,
expiring
11/15/2024
*
263,648
316
Oil,
Gas
&
Consumable
Fuels
-
0.1%
Brooge
Energy
Ltd.,
expiring
12/20/2024
(United
Arab
Emirates)
*
76,721
15,344
Granite
Ridge
Resources,
Inc.,
expiring
9/25/2028
*
79,129
90,999
Sitio
Royalties
Corp.,
expiring
8/23/2023
*
322,132
37,045
143,388
Real
Estate
Management
&
Development
-
0.0%
(c)
Doma
Holdings,
Inc.,
expiring
7/28/2026
*
35,163
601
Offerpad
Solutions,
Inc.,
expiring
9/1/2026
*
12,710
286
887
Software
-
0.0%
(c)
FOXO
Technologies,
Inc.,
expiring
8/1/2027
*
15,049
405
NextNav,
Inc.,
expiring
10/28/2026
*
45,678
17,705
Otonomo
Technologies
Ltd.,
expiring
8/13/2026
(Israel)
*
251,220
7,486
25,596
Specialty
Retail
-
0.0%
(c)
Kaixin
Auto
Holdings,
expiring
4/30/2024
(Hong
Kong)
*
28,236
703
Technology
Hardware,
Storage
&
Peripherals
-
0.0%
(c)
CompoSecure,
Inc.,
expiring
10/31/2025
*
62,862
44,003
Transportation
Infrastructure
-
0.0%
(c)
Sky
Harbour
Group
Corp.,
expiring
10/21/2025
*
5,554
1,102
TOTAL
WARRANTS
(Cost
$678,466)
2,145,436
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)*(d)(e)
12,969
–
DEMC
Ltd.,
Class
A-2
(acquired
3/10/2016
-
12/18/2018,
Cost
$369,930)
(3)*(d)(e)
368,190,309
–
DEMC
Ltd.,
Class
A-3
(acquired
8/6/2019
-
7/16/2021,
Cost
$293,744)
(3)*(d)(e)
292,030,544,028
–
DEMC
Ltd.,
Class
A-4
(acquired
1/31/2022,
Cost
$4,032)
(3)*(d)(e)
40,321,771,424,070
–
77
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
NO.
OF
UNITS
VALUE
($)
Health
Care
Equipment
&
Supplies
-
0.0%
(continued)
DEMC
Ltd.,
Class
B
(acquired
1/27/2014,
Cost
$11)
(3)*(d)(e)
10,488
–
DEMC
Ltd.,
Class
B-2
(acquired
4/12/2017,
Cost
$–)
(3)*(d)(e)
513,897,326
–
DEMC
Ltd.,
Class
B-3
(acquired
9/5/2019,
Cost
$–)
(3)*(d)(e)
489,352,292,604
–
DEMC
Ltd.,
Class
B-4
(acquired
1/31/2022,
Cost
$–)
(3)*(d)(e)
40,321,771,424,070
–
TOTAL
SECURITIES
IN
LITIGATION
(Cost
$797,403)
–
UNITS
-
0.0%
(c)
Capital
Markets
-
0.0%
(c)
dMY
Squared
Technology
Group,
Inc.
*(b)
1
10
Plutonian
Acquisition
Corp.
(2)*(b)
15,166
152,419
Qomolangma
Acquisition
Corp.
(2)*(b)
23,684
239,445
TOTAL
UNITS
(Cost
$388,500)
391,874
SHARES
SHORT-TERM
INVESTMENTS
-
57.1%
INVESTMENT
COMPANIES
-
34.1%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(h)(i)
7,358,942
7,358,942
Limited
Purpose
Cash
Investment
Fund,
4.08%
(h)(j)
519,463,003
519,255,218
TOTAL
INVESTMENT
COMPANIES
(Cost
$526,452,786)
526,614,160
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
23.0%
U.S.
Treasury
Bills
3.09%,
2/9/2023
(2)(a)(k)
$
33,488,000
33,354,400
3.07%,
2/16/2023
(2)(k)
33,355,000
33,189,128
3.73%,
3/9/2023
(2)(k)(l)
70,000,000
69,463,701
3.53%,
3/16/2023
(2)(k)(l)
12,707,000
12,601,621
3.85%,
3/23/2023
(2)(k)(l)
45,461,000
45,037,874
3.93%,
3/30/2023
(2)(k)(l)
3,029,000
2,997,971
3.93%,
4/6/2023
(2)(k)(l)
30,000,000
29,674,500
4.11%,
4/13/2023
(2)(k)(l)
83,372,000
82,430,591
4.68%,
6/8/2023
(2)(a)(k)(l)
13,205,000
12,946,930
4.74%,
6/15/2023
(2)(k)(l)
7,161,000
7,016,643
4.66%,
6/22/2023
(2)(k)(l)
11,213,000
10,973,082
4.71%,
6/29/2023
(2)(k)
15,288,000
14,949,565
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$354,788,563)
354,636,006
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$881,241,349)
881,250,166
TOTAL
LONG
POSITIONS
(Cost
$1,629,963,210)
1,578,143,762
INVESTMENTS
SHARES
VALUE
($)
SHORT
POSITIONS
-
(6.4)%
COMMON
STOCKS
-
(5.9)%
Aerospace
&
Defense
-
(0.0)%
(c)
Virgin
Galactic
Holdings,
Inc.
(135,629)
(471,989)
Airlines
-
(0.0)%
(c)
JetBlue
Airways
Corp.
(35,899)
(232,625)
Auto
Components
-
(0.1)%
LCI
Industries
(14,473)
(1,338,029)
Luminar
Technologies,
Inc.
(49,603)
(245,535)
(1,583,564)
Biotechnology
-
(0.3)%
Cytokinetics,
Inc.
(89,967)
(4,122,288)
Inovio
Pharmaceuticals,
Inc.
(3,624)
(5,653)
(4,127,941)
Capital
Markets
-
0.0%
Penson
Worldwide,
Inc.
(3)*(d)
(212,307)
–
Chemicals
-
(0.8)%
Novozymes
A/S,
Class
B
(Denmark)
(2)
(244,083)
(12,383,236)
Communications
Equipment
-
(0.6)%
Infinera
Corp.
(1,087,298)
(7,328,388)
Lumentum
Holdings,
Inc.
(41,200)
(2,149,404)
(9,477,792)
Consumer
Finance
-
(0.2)%
EZCORP,
Inc.,
Class
A
(264,795)
(2,158,079)
Diversified
Consumer
Services
-
(0.0)%
(c)
2U,
Inc.
(7,386)
(46,310)
Chegg,
Inc.
(14,480)
(365,910)
(412,220)
Diversified
Telecommunication
Services
-
(0.1)%
Bandwidth,
Inc.,
Class
A
(3,391)
(77,824)
TELUS
Corp.
(Canada)
(82,126)
(1,584,898)
(1,662,722)
Electrical
Equipment
-
(0.4)%
Array
Technologies,
Inc.
(345,065)
(6,670,106)
Energy
Equipment
&
Services
-
(0.2)%
Helix
Energy
Solutions
Group,
Inc.
(320,963)
(2,368,707)
Entertainment
-
(0.0)%
(c)
Sea
Ltd.,
ADR
(Singapore)
(1,301)
(67,691)
Health
Care
Equipment
&
Supplies
-
(0.5)%
Cutera,
Inc.
(141,315)
(6,248,949)
Varex
Imaging
Corp.
(92,679)
(1,881,384)
(8,130,333)
Health
Care
Providers
&
Services
-
(0.0)%
(c)
Guardant
Health,
Inc.
(22,420)
(609,824)
Health
Care
Technology
-
(0.0)%
(c)
Teladoc
Health,
Inc.
(303)
(7,166)
78
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
(0.6)%
Airbnb,
Inc.,
Class
A
(12,514)
(1,069,947)
Carnival
Corp.
(349,910)
(2,820,275)
DraftKings,
Inc.,
Class
A
(17,628)
(200,783)
MakeMyTrip
Ltd.
(India)
(69,542)
(1,917,273)
Norwegian
Cruise
Line
Holdings
Ltd.
(175,364)
(2,146,455)
Royal
Caribbean
Cruises
Ltd.
(27,965)
(1,382,310)
(9,537,043)
Household
Durables
-
(0.0)%
(c)
GoPro,
Inc.,
Class
A
(42,139)
(209,852)
Independent
Power
and
Renewable
Electricity
Producers
-
(0.2)%
Sunnova
Energy
International,
Inc.
(178,567)
(3,215,992)
Interactive
Media
&
Services
-
(0.0)%
(c)
Eventbrite,
Inc.,
Class
A
(37,413)
(219,240)
Snap,
Inc.,
Class
A
(43,704)
(391,151)
(610,391)
Internet
&
Direct
Marketing
Retail
-
(0.5)%
Etsy,
Inc.
(27,193)
(3,257,177)
Farfetch
Ltd.,
Class
A
(United
Kingdom)
(104,085)
(492,322)
Fiverr
International
Ltd.
(909)
(26,488)
Groupon,
Inc.
(2,932)
(25,157)
Porch
Group,
Inc.
(3,700)
(6,956)
Wayfair,
Inc.,
Class
A
(42,148)
(1,386,248)
Xometry,
Inc.,
Class
A
(64,133)
(2,067,007)
(7,261,355)
IT
Services
-
(0.2)%
DigitalOcean
Holdings,
Inc.
(2,101)
(53,513)
Fastly,
Inc.,
Class
A
(1,980)
(16,216)
Repay
Holdings
Corp.
(16,212)
(130,507)
Shift4
Payments,
Inc.,
Class
A
(33,187)
(1,856,149)
Shopify,
Inc.,
Class
A
(Canada)
(4,509)
(156,507)
(2,212,892)
Leisure
Products
-
(0.0)%
(c)
Peloton
Interactive,
Inc.,
Class
A
(188)
(1,493)
Life
Sciences
Tools
&
Services
-
(0.0)%
(c)
CryoPort,
Inc.
(2,711)
(47,036)
Machinery
-
(0.3)%
3D
Systems
Corp.
(49,213)
(364,176)
Greenbrier
Cos.,
Inc.
(The)
(100,966)
(3,385,390)
(3,749,566)
Media
-
(0.2)%
Cable
One,
Inc.
(934)
(664,877)
Liberty
Broadband
Corp.,
Class
A
(1,414)
(107,252)
Paramount
Global,
Class
A
(104,295)
(2,045,225)
TechTarget,
Inc.
(18,560)
(817,754)
(3,635,108)
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
(0.0)%
(c)
Ivanhoe
Mines
Ltd.,
Class
A
(Canada)
(53,047)
(419,204)
Oil,
Gas
&
Consumable
Fuels
-
(0.1)%
Northern
Oil
and
Gas,
Inc.
(20,608)
(635,139)
Pharmaceuticals
-
(0.2)%
Innoviva,
Inc.
(225,420)
(2,986,815)
Professional
Services
-
(0.0)%
(c)
Upwork,
Inc.
(4,206)
(43,911)
Real
Estate
Management
&
Development
-
(0.1)%
Anywhere
Real
Estate,
Inc.
(44,182)
(282,323)
Redfin
Corp.
(2,280)
(9,667)
Zillow
Group,
Inc.,
Class
C
(41,177)
(1,326,311)
(1,618,301)
Road
&
Rail
-
(0.0)%
(c)
Lyft,
Inc.,
Class
A
(32,899)
(362,547)
Semiconductors
&
Semiconductor
Equipment
-
(0.1)%
Semtech
Corp.
(31,621)
(907,206)
Software
-
(0.2)%
8x8,
Inc.
(437,832)
(1,891,434)
Confluent,
Inc.,
Class
A
(12,037)
(267,703)
Envestnet,
Inc.
(11,492)
(709,056)
Marathon
Digital
Holdings,
Inc.
(846)
(2,893)
Unity
Software,
Inc.
(1,455)
(41,599)
Veritone,
Inc.
(4,916)
(26,055)
(2,938,740)
TOTAL
COMMON
STOCKS
(Proceeds
$(110,982,377))
(90,756,586)
PRINCIPAL
AMOUNT
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)
(8,257,805)
TOTAL
SHORT
POSITIONS
(Proceeds
$(118,024,387))
(99,014,391)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.9%
(Cost
$1,511,938,823)
1,479,129,371
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.1%
(m)
63,584,483
NET
ASSETS
-
100.0%
1,542,713,854
79
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
*
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
$384,812,245.
In
addition,
$5,789,773
of
cash
collateral
was
pledged.
(b)
Special
Purpose
Acquisition
Company.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$826,428,
which
represents
0.05%
of
net
assets
of
the
fund.
(e)
Restricted
securities. 
Securities
acquired
through
a
private
placement
transaction
exempt
from
registration
under
the
Securities
Act
of 1933
and/
or may
be
subject
to
legal
or
contractual
restrictions
on
resale
(excluding
144A
securities). 
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$282,452
which
represents
0.02%
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
December
31,
2022
amounted
to
$125,919,992,
which
represents
8.16%
of
net
assets
of
the
fund.
(h)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
For
the
period
ended
December
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(k)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(l)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(m)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
58,988,109
3.8
%
Consumer
Discretionary
79,309,259
5.2
Energy
3,303,660
0.2
Financials
261,997,796
17.0
Health
Care
59,057,012
3.8
Industrials
47,390,066
3.1
Information
Technology
57,181,751
3.7
Materials
(648,086)
0.0
(c)
Real
Estate
21,503,707
1.4
Utilities
9,795,931
0.6
Investment
Companies
526,614,160
34.1
U.S.
Treasury
Obligations
354,636,006
23.0
Total
Investments
In
Securities
At
Value
1,479,129,371
95.9
Other
Assets
in
Excess
of
Liabilities
(m)
63,584,483
4.1
Net
Assets
$
1,542,713,854
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
12/31/2022
Shares
Held
At
12/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
33.7%
INVESTMENT
COMPANIES
-
33.7%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(a)
(Cost
$519,093,844)
$382,197,517
$1,563,707,957
$(1,426,673,595)
$(138,001)
$161,340
$519,255,218
519,463,003
$7,125,108
$86
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
All
bonds
are
denominated
in
US
dollars,
unless
noted
otherwise.
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
80
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
December
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
%
Quarterly
12/20/2027
4.85
%
USD
116,975,000
$
4,449,834
$
(5,309,812)
$
(859,978)
$
4,449,834
$
(5,309,812)
$
(859,978)
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
U.S.
Treasury
2
Year
Note
1,075
3/2023
USD
$
220,375,000
$
(204,402)
(204,402)
Short
Contracts
S&P
500
E-Mini
Index
(11)
3/2023
USD
(2,123,550)
75,179
S&P
500
E-Mini
Index
(42)
3/2023
USD
(8,108,100)
(181)
S&P
500
E-Mini
Index
(71)
3/2023
USD
(13,706,550)
(307)
U.S.
Treasury
10
Year
Note
(306)
3/2023
USD
(34,315,031)
243,779
U.S.
Treasury
5
Year
Note
(1,167)
3/2023
USD
(125,835,422)
324,950
643,420
$
439,018
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
967,712
USD
1,028,500
CITI
3/15/2023
$
12,407
USD
27,876,181
CAD
37,235,252
CITI
3/15/2023
361,060
USD
24,482,253
CAD
32,691,630
JPMC
3/15/2023
324,656
Total
unrealized
appreciation
698,123
USD
2,644,159
CAD
3,592,581
CITI
3/15/2023
(10,594)
USD
506,470
EUR
483,856
CITI
3/15/2023
(13,983)
USD
506,471
EUR
483,856
JPMC
3/15/2023
(13,983)
Total
unrealized
depreciation
(38,560)
Net
unrealized
appreciation
$
659,563
81
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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
$12,564,795
$(4,027,353)
$385,696
$(3,641,657)
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
(-0.32%
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
$196,905,016
$(41,632,573)
$526,397
$(41,106,176)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Convertible
Bonds
Hong
Kong
Seaspan
Corp.,
3.75%,
12/15/2025
5,725,000
7,039,737
41,571
(0.1)
United
States
1Life
Healthcare,
Inc.,
3.00%,
6/15/2025
6,925,000
6,684,832
(865,778)
2.1
Alteryx,
Inc.,
1.00%,
8/1/2026
3,610,000
3,011,211
(766,640)
1.9
American
Airlines
Group,
Inc.,
6.50%,
7/1/2025
15,500,000
16,838,012
(5,024,285)
12.2
Artivion,
Inc.,
4.25%,
7/1/2025
1,950,000
1,735,372
(300,490)
0.7
Bandwidth,
Inc.,
0.50%,
4/1/2028
9,255,000
5,767,253
(2,412,566)
5.9
Cable
One,
Inc.,
0.00%,
3/15/2026
7,050,000
5,537,775
(1,692,000)
4.1
Coherus
Biosciences,
Inc.,
1.50%,
4/15/2026
7,600,000
4,983,115
(3,840,735)
9.3
Dropbox,
Inc.,
0.00%,
3/1/2028
5,500,000
4,900,500
(1,240,250)
3.0
Exact
Sciences
Corp.,
0.38%,
3/1/2028
11,850,000
9,302,883
(1,973,073)
4.8
Exact
Sciences
Corp.,
0.38%,
3/15/2027
2,650,000
2,189,187
(669,568)
1.6
GEO
Corrections
Holdings,
Inc.,
6.50%,
2/23/2026
4,635,000
6,661,545
2,379,688
(5.8)
Granite
Point
Mortgage
Trust,
Inc.,
6.38%,
10/1/2023
1,900,000
1,861,881
388,614
(0.9)
Green
Plains,
Inc.,
2.25%,
3/15/2027
5,650,000
6,755,426
(947,570)
2.3
Inotiv,
Inc.,
3.25%,
10/15/2027
4,750,000
1,932,656
(3,587,642)
8.7
82
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Invacare
Corp.,
4.25%,
3/15/2026
2,725,000
1,263,287
(1,577,847)
3.8
Ironwood
Pharmaceuticals,
Inc.,
1.50%,
6/15/2026
3,400,000
3,710,367
(392,668)
1.0
Liberty
TripAdvisor
Holdings,
Inc.,
0.50%,
6/30/2051
2,550,000
1,831,538
(661,796)
1.6
Magnite,
Inc.,
0.25%,
3/15/2026
7,450,000
5,718,910
(762,232)
1.9
Oak
Street
Health,
Inc.,
0.00%,
3/15/2026
10,250,000
7,758,615
(2,224,167)
5.4
Okta,
Inc.,
0.38%,
6/15/2026
7,570,000
6,360,048
(140,833)
0.3
Opendoor
Technologies,
Inc.,
0.25%,
8/15/2026
7,417,000
2,901,741
(2,356,211)
5.7
PetIQ,
Inc.,
4.00%,
6/1/2026
2,975,000
2,464,183
(1,800,545)
4.4
Prospect
Capital
Corp.,
6.38%,
3/1/2025
2,443,000
2,486,018
15,637
(0.0)
Redfin
Corp.,
0.00%,
10/15/2025
8,050,000
4,754,572
(3,412,154)
8.3
RingCentral,
Inc.,
0.00%,
3/15/2026
4,475,000
3,512,875
(819,373)
2.0
SMART
Global
Holdings,
Inc.,
2.25%,
2/15/2026
1,000,000
1,009,055
67,062
(0.2)
Splunk,
Inc.,
1.13%,
6/15/2027
3,273,000
2,763,376
(67,173)
0.2
Spotify
USA,
Inc.,
0.00%,
3/15/2026
9,000,000
7,245,000
(1,035,000)
2.5
Stride,
Inc.,
1.13%,
9/1/2027
15,750,000
14,086,176
(868,722)
2.1
Wayfair,
Inc.,
0.63%,
10/1/2025
13,000,000
8,424,812
(5,391,358)
13.1
WisdomTree,
Inc.,
4.25%,
6/15/2023
4,400,000
4,518,220
171,645
(0.4)
SHARES
Short
Positions
Common
Stocks
United
States
Alteryx,
Inc.
(2,232)
(113,095)
(7,255)
0.0
American
Airlines
Group,
Inc.
(485,667)
(6,177,684)
417,122
(1.0)
Artivion,
Inc.
(30,562)
(370,411)
(3,330)
0.0
Bandwidth,
Inc.
(3,712)
(85,190)
4,019
(0.0)
Cable
One,
Inc.
(233)
(165,863)
1,621
(0.0)
Coherus
Biosciences,
Inc.
(144,685)
(1,145,905)
(32,817)
0.1
Dropbox,
Inc.
(86,074)
(1,926,336)
(52,156)
0.1
Exact
Sciences
Corp.
(55,073)
(2,726,664)
(521,464)
1.3
GEO
Group,
Inc.
(The)
(379,666)
(4,157,343)
(961,465)
2.3
Green
Plains,
Inc.
(128,322)
(3,913,821)
224,330
(0.5)
Ironwood
Pharmaceuticals,
Inc.
(166,030)
(2,057,112)
(154,514)
0.4
Oak
Street
Health,
Inc.
(5,735)
(123,360)
534
(0.0)
PetIQ,
Inc.
(17,216)
(158,732)
26,570
(0.1)
Prospect
Capital
Corp.
(53,909)
(376,824)
23,063
(0.1)
SMART
Global
Holdings,
Inc.
(25,000)
(372,000)
(13,930)
0.0
Splunk,
Inc.
(3,980)
(342,638)
(5,930)
0.0
Stride,
Inc.
(155,411)
(4,861,256)
1,240,329
(3.0)
WisdomTree,
Inc.
(283,449)
(1,544,797)
(67,565)
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
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
54-59
months
maturity
ranging
from
05/26/2027
-
09/29/2027
$18,513,496
$100,586
$(29,781)
$70,805
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
83
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Mediclinic
International
plc
268,904
1,609,876
(1,277)
(1.8)
United
Kingdom
AVEVA
Group
plc
85,973
3,327,761
1,775
2.5
Biffa
plc
181,429
893,585
(2,193)
(3.1)
EMIS
Group
plc
86,246
1,951,880
6,256
8.8
HomeServe
plc
402,917
5,830,665
19,484
27.5
Micro
Focus
International
plc
764,871
4,899,729
76,541
108.1
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
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(0.10%
to
0.11%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/16/2025
-
07/30/2027
$213,474,424
$5,523,030
$(4,677,372)
$845,658
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Acropolis
Infrastructure
Acquisition
Corp.
420,999
4,172,100
101,040
11.9
Alpha
Healthcare
Acquisition
Corp.
III
358,249
3,546,665
68,067
8.0
Athena
Technology
Acquisition
Corp.
II
638,232
6,414,232
140,411
16.6
Atlantic
Coastal
Acquisition
Corp.
404,654
4,054,633
157,815
18.7
Atlantic
Coastal
Acquisition
Corp.
II
413,262
4,211,140
78,520
9.3
Banyan
Acquisition
Corp.
334,458
3,414,816
73,581
8.7
Bilander
Acquisition
Corp.
241,664
2,390,057
65,249
7.7
Black
Mountain
Acquisition
Corp.
245,032
2,499,326
68,609
8.1
Build
Acquisition
Corp.
305,000
3,056,100
109,800
13.0
BurTech
Acquisition
Corp.
514,142
5,223,683
87,404
10.3
Churchill
Capital
Corp.
VI
1,073,397
10,728,603
171,744
20.3
Churchill
Capital
Corp.
VII
1,136,651
11,332,410
181,864
21.5
Concord
Acquisition
Corp.
II
286,392
2,848,168
87,350
10.3
Concord
Acquisition
Corp.
III
430,468
4,386,469
116,226
13.7
Conyers
Park
III
Acquisition
Corp.
196,419
1,936,691
(7,857)
(0.9)
East
Resources
Acquisition
Co.
338,000
3,430,700
138,580
16.4
Edoc
Acquisition
Corp.
55,000
576,400
26,400
3.1
EG
Acquisition
Corp.
366,998
3,658,970
88,080
10.4
Forum
Merger
IV
Corp.
233,634
2,348,022
74,763
8.8
FTAC
Zeus
Acquisition
Corp.
255,030
2,575,803
81,610
9.7
Golden
Arrow
Merger
Corp.
382,886
3,834,603
101,465
12.0
Gores
Holdings
IX,
Inc.
1,656,294
16,430,436
488,607
57.8
Graf
Acquisition
Corp.
IV
365,000
3,631,750
69,350
8.2
GX
Acquisition
Corp.
II
412,998
4,134,110
144,549
17.1
Healthwell
Acquisition
Corp.
I
279,200
2,764,080
83,760
9.9
84
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Heartland
Media
Acquisition
Corp.
400,846
4,076,604
84,178
10.0
Hennessy
Capital
Investment
Corp.
VI
697,470
6,891,004
195,292
23.1
IG
Acquisition
Corp.
265,000
2,663,250
55,650
6.6
Jackson
Acquisition
Co.
449,953
4,549,025
89,991
10.6
Kadem
Sustainable
Impact
Corp.
303,094
3,040,033
124,269
14.7
Khosla
Ventures
Acquisition
Co.
III
250,500
2,493,728
19,737
2.3
Kimbell
Tiger
Acquisition
Corp.
371,544
3,819,472
74,309
8.8
KludeIn
I
Acquisition
Corp.
57,666
591,076
34,600
4.1
KnightSwan
Acquisition
Corp.
334,038
3,400,507
68,478
8.1
Logistics
Innovation
Technologies
Corp.
245,571
2,480,267
110,507
13.1
M3-Brigade
Acquisition
II
Corp.
1,225,099
12,275,492
355,279
42.0
M3-Brigade
Acquisition
III
Corp.
449,013
4,552,992
103,273
12.2
Nabors
Energy
Transition
Corp.
254,188
2,610,511
81,340
9.6
Newbury
Street
Acquisition
Corp.
76,000
760,000
26,600
3.1
Panacea
Acquisition
Corp.
II
71,600
722,444
(4,296)
(0.5)
Papaya
Growth
Opportunity
Corp.
I
413,288
4,215,538
95,056
11.2
Pine
Technology
Acquisition
Corp.
639,999
6,463,990
284,800
33.7
Power
&
Digital
Infrastructure
Acquisition
II
Corp.
604,151
6,095,884
144,996
17.1
PowerUp
Acquisition
Corp.
452,924
4,665,117
131,348
15.5
Southport
Acquisition
Corp.
365,972
3,725,595
84,174
10.0
Stratim
Cloud
Acquisition
Corp.
444,000
4,466,640
186,480
22.1
Tech
and
Energy
Transition
Corp.
367,499
3,686,015
124,950
14.8
Thunder
Bridge
Capital
Partners
IV,
Inc.
322,000
3,232,880
103,040
12.2
Williams
Rowland
Acquisition
Corp.
231,666
2,323,610
16,217
1.9
Zimmer
Energy
Transition
Acquisition
Corp.
481,998
4,795,880
96,400
11.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.57%
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
-
12/22/2027
$662,551,324
$(20,431,011)
$(1,425,666)
$(21,856,677)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Euronav
NV
80,709
1,375,281
457,797
(2.1)
Canada
Atlas
Corp.
673,545
10,332,180
32,550
(0.1)
Sierra
Wireless,
Inc.
302,958
8,782,752
(459,900)
2.1
Yamana
Gold,
Inc.
4,300,026
23,865,144
2,219,081
(10.2)
Israel
Tower
Semiconductor
Ltd.
328,053
14,171,890
(1,182,808)
5.4
85
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Taiwan
Silicon
Motion
Technology
Corp.,
ADR
265,374
17,246,656
(6,051,723)
27.7
United
States
1Life
Healthcare,
Inc.
1,360,346
22,731,382
(417,078)
1.9
Activision
Blizzard,
Inc.
420,797
32,212,010
(1,412,006)
6.5
Aerojet
Rocketdyne
Holdings,
Inc.
113,054
6,323,110
27,883
(0.1)
Albertsons
Cos.,
Inc.
347,442
7,205,947
(1,470,330)
6.7
Altra
Industrial
Motion
Corp.
264,319
15,793,060
68,257
(0.3)
Atlas
Air
Worldwide
Holdings,
Inc.
160,028
16,130,822
154,772
(0.7)
AVEO
Pharmaceuticals,
Inc.
305,927
4,573,609
56,444
(0.3)
Black
Knight,
Inc.
346,230
21,379,702
(2,064,812)
9.4
Coupa
Software,
Inc.
187,124
14,814,607
96,700
(0.4)
Cowen,
Inc.
301,118
11,629,177
24,220
(0.1)
Evo
Payments,
Inc.
227,176
7,687,636
98,724
(0.5)
First
Horizon
Corp.
1,249,790
30,619,855
1,179,951
(5.4)
ForgeRock,
Inc.
526,873
11,996,898
132,836
(0.6)
IAA,
Inc.
673,470
26,938,800
328,951
(1.5)
Imago
Biosciences,
Inc.
185,590
6,671,960
53,595
(0.2)
iRobot
Corp.
340,974
16,411,079
(3,623,400)
16.6
KnowBe4,
Inc.
558,006
13,827,389
158,389
(0.7)
Lakeland
Bancorp,
Inc.
92,878
1,635,582
102,294
(0.5)
LHC
Group,
Inc.
175,671
28,404,244
(835,841)
3.8
Meridian
Bioscience,
Inc.
414,802
13,775,574
211,067
(1.0)
MoneyGram
International,
Inc.
1,214,200
13,222,638
245,634
(1.1)
Myovant
Sciences
Ltd.
719,705
19,403,247
173,721
(0.8)
PNM
Resources,
Inc.
384,610
18,765,122
217,199
(1.0)
Poshmark,
Inc.
395,726
7,075,581
90,282
(0.4)
Resolute
Forest
Products,
Inc.
63,721
1,375,736
96,065
(0.4)
Signify
Health,
Inc.
986,499
28,273,061
(474,411)
2.2
South
Jersey
Industries,
Inc.
457,608
16,258,812
558,951
(2.6)
Spirit
Airlines,
Inc.
543,089
10,579,374
(3,176,748)
14.5
STORE
Capital
Corp.
503,546
16,143,685
148,873
(0.7)
TEGNA,
Inc.
773,602
16,392,626
(1,050,053)
4.8
Umpqua
Holdings
Corp.
446,632
7,972,381
(733,711)
3.4
UserTesting,
Inc.
447,666
3,361,972
48,373
(0.2)
Vivint
Smart
Home,
Inc.
523,560
6,230,364
6,364
(0.0)
VMware,
Inc.
258,065
31,680,059
884,027
(4.0)
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(161,681)
(8,405,795)
(1,133,238)
5.2
Pan
American
Silver
Corp.
(687,144)
(11,227,933)
(1,631,811)
7.5
Ritchie
Bros
Auctioneers,
Inc.
(390,881)
(22,604,648)
(1,583,274)
7.2
Norway
Frontline
Ltd.
(117,027)
(1,420,708)
(475,886)
2.2
United
States
Broadcom,
Inc.
(31,015)
(17,341,417)
(1,463,904)
6.7
Columbia
Banking
System,
Inc.
(266,103)
(8,017,683)
829,461
(3.8)
Intercontinental
Exchange,
Inc.
(49,858)
(5,114,932)
(312,828)
1.4
MaxLinear,
Inc.
(102,986)
(3,496,375)
504,252
(2.3)
Provident
Financial
Services,
Inc.
(77,286)
(1,650,829)
(83,962)
0.4
86
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
December
31,
2022
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
1,500,273
$
1,500,273
BNPP
Cash
75,660,000
–
75,660,000
CITG
Cash
–
8,621,339
8,621,339
CITI
Cash
(391,596)
–
(391,596)
Investment
Companies
1,039,804
–
1,039,804
GSIN
U.S.
Treasury
Bills
181,641,621
–
181,641,621
JPMC
Investment
Companies
6,319,089
–
6,319,089
JPMS
Cash
–
5,663,083
5,663,083
87
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.

AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
December
31,
2022
(a)
For
the
period
ended
December
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
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.
INVESTMENTS
SHARES
VALUE
($)
INVESTMENT
COMPANIES
-
97.9%
ALTERNATIVE
FUNDS
-
77.9%
AQR
Diversified
Arbitrage
Fund,
Class
R6
(a)
2,096,876
24,491,514
AQR
Equity
Market
Neutral
Fund,
Class
R6
(a)
4,168,626
36,767,279
AQR
Macro
Opportunities
Fund,
Class
R6
(a)
2,259,126
24,511,520
AQR
Managed
Futures
Strategy
HV
Fund,
Class
R6
(a)
2,928,497
24,511,520
AQR
Style
Premia
Alternative
Fund,
Class
R6
(a)
4,889,266
36,767,279
TOTAL
ALTERNATIVE
FUNDS
(Cost
$145,104,765)
147,049,112
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund,
Class
R6
(a)
(Cost
$40,381,650)
4,275,514
37,710,030
TOTAL
INVESTMENT
COMPANIES
(Cost
$185,486,415)
184,759,142
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
1.9%
INVESTMENT
COMPANIES
-
1.9%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(b)
(Cost
$3,589,948)
3,592,057
3,590,620
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.8%
(Cost
$189,076,363)
188,349,762
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.2%
330,732
NET
ASSETS
-
100.0%
188,680,494
SECTOR
VALUE
%
OF
NET
ASSETS
Equity
Market
Neutral
$
36,767,279
19.5
%
Global
Flex
Allocation
37,710,030
20.0
Global
Macro
24,511,520
13.0
Multi-Strategy
36,767,279
19.5
Relative
Value
Arbitrage
24,491,514
12.9
Systematic
Trend
24,511,520
13.0
Investment
Companies
3,590,620
1.9
Total
Investments
In
Securities
At
Value
188,349,762
99.8
Other
Assets
in
Excess
of
Liabilities
330,732
0.2
Net
Assets
$
188,680,494
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
12/31/2022
Shares
Held
At
12/31/2022
Dividend
Income
Capital
Gain
Distributions
INVESTMENT
COMPANIES
-
97.9%
ALTERNATIVE
FUNDS
-
77.9%
AQR
Diversified
Arbitrage
Fund
$
5,060,167
$
25,532,111
$
(5,801,390)
$
(171,018)
$
(128,356)
$
24,491,514
2,096,876
$
21,365
$
–
AQR
Equity
Market
Neutral
Fund
5,060,167
40,480,966
(9,900,370)
(734,599)
1,861,115
36,767,279
4,168,626
2,058,337
–
AQR
Macro
Opportunities
Fund
3,719,726
26,894,306
(7,390,666)
(39,426)
1,327,580
24,511,520
2,259,126
74,366
1,449,706
AQR
Managed
Futures
Strategy
HV
Fund
3,719,726
27,677,739
(7,705,887)
(255,110)
1,075,052
24,511,520
2,928,497
1,760,382
–
AQR
Style
Premia
Alternative
Fund
4,389,946
45,751,627
(9,623,087)
(1,419,772)
(2,331,435)
36,767,279
4,889,266
6,601,468
–
(2,619,925)
1,803,956
147,049,112
10,515,918
1,449,706
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund
10,891,089
41,977,747
(10,691,482)
(815,412)
(3,651,912)
37,710,030
4,275,514
2,283,582
75
TOTAL
$(3,435,337)
$(1,847,956)
$184,759,142
$12,799,500
$1,449,781
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
88
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
100.9%
COMMON
STOCKS
-
4.9%
Italy
-
3.6%
A2A
SpA
(a)
252,488
336,633
Assicurazioni
Generali
SpA
(a)
21,330
379,301
Azimut
Holding
SpA
(a)
4,715
105,502
Banco
BPM
SpA
(a)
63,422
226,098
Buzzi
Unicem
SpA
(a)
23,851
459,612
Enel
SpA
(a)
76,523
411,552
Hera
SpA
(a)
9,624
25,958
Italgas
SpA
(a)
535
2,971
Leonardo
SpA
(a)
139,702
1,204,897
Pirelli
&
C
SpA
(a)(b)
81,794
350,615
Poste
Italiane
SpA
(a)(b)
30,066
293,338
Prysmian
SpA
(a)
14,347
533,070
Snam
SpA
(a)
43,570
211,264
UniCredit
SpA
(a)
100,735
1,429,386
Unipol
Gruppo
SpA
(a)
111,427
542,516
6,512,713
—
United
States
-
1.3%
Stellantis
NV
(a)
144,145
2,048,352
Tenaris
SA
(a)
12,184
213,680
2,262,032
—
TOTAL
COMMON
STOCKS
(Cost
$7,948,152)
8,774,745
SHORT-TERM
INVESTMENTS
-
96.0%
INVESTMENT
COMPANIES
-
51.1%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(1)(c)(d)
5,070,683
5,070,683
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(c)
86,647,510
86,612,851
TOTAL
INVESTMENT
COMPANIES
(Cost
$91,655,900)
91,683,534
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
44.9%
U.S.
Treasury
Bills
2.72%,
1/12/2023
(e)(f)
$
338,000
337,707
2.95%,
1/19/2023
(e)(f)
1,601,000
1,598,424
3.16%,
2/23/2023
(e)
5,336,000
5,303,887
3.38%,
3/9/2023
(e)
3,782,000
3,753,025
3.53%,
3/16/2023
(e)(f)
6,197,000
6,145,608
3.85%,
3/23/2023
(e)(f)
2,601,000
2,576,791
3.93%,
3/30/2023
(e)
4,007,000
3,965,953
3.93%,
4/6/2023
(e)(f)
3,645,000
3,605,452
4.11%,
4/13/2023
(e)(f)
4,316,000
4,267,265
4.33%,
4/20/2023
(e)(f)
6,952,000
6,861,362
4.49%,
4/27/2023
(e)(f)
9,936,000
9,795,993
4.54%,
5/18/2023
(e)(f)
22,116,000
21,741,600
4.68%,
6/8/2023
(e)(f)
3,092,000
3,031,572
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
44.9%
(continued)
4.71%,
6/29/2023
(e)
$
7,569,000
7,401,443
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$80,408,688)
80,386,082
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$172,064,588)
172,069,616
TOTAL
LONG
POSITIONS
(Cost
$180,012,740)
180,844,361
SHARES
SHORT
POSITIONS
-
(4.0)%
COMMON
STOCKS
-
(4.0)%
Italy
-
(3.7)%
Amplifon
SpA
(1,636)
(48,851)
Banca
Generali
SpA
(10,531)
(361,495)
Davide
Campari-Milano
NV
(16,799)
(170,549)
DiaSorin
SpA
(2,738)
(383,117)
ERG
SpA
(1,534)
(47,544)
Ferrari
NV
(6,052)
(1,297,783)
FinecoBank
Banca
Fineco
SpA
(60,803)
(1,009,702)
Infrastrutture
Wireless
Italiane
SpA
(b)
(61,481)
(620,233)
Interpump
Group
SpA
(3,461)
(156,254)
Intesa
Sanpaolo
SpA
(223,311)
(494,726)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(26,357)
(253,266)
Moncler
SpA
(6,449)
(342,680)
Nexi
SpA
(b)
(62,500)
(493,371)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(7,012)
(291,473)
Reply
SpA
(285)
(32,695)
Telecom
Italia
SpA
(558,693)
(129,478)
Terna
-
Rete
Elettrica
Nazionale
(57,459)
(424,346)
(6,557,563)
—
United
Kingdom
-
(0.3)%
CNH
Industrial
NV
(33,985)
(545,187)
TOTAL
COMMON
STOCKS
(Proceeds
$(7,559,660))
(7,102,750)
TOTAL
SHORT
POSITIONS
(Proceeds
$(7,559,660))
(7,102,750)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
96.9%
(Cost
$172,453,080)
173,741,611
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.1%
(g)
5,443,412
NET
ASSETS
-
100.0%
179,185,023
89
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(749,712)
(0.4)
%
Consumer
Discretionary
758,505
0.4
Consumer
Staples
(170,548)
(0.1)
Energy
213,680
0.1
Financials
856,952
0.5
Health
Care
(723,441)
(0.4)
Industrials
1,036,526
0.6
Information
Technology
(526,066)
(0.3)
Materials
459,612
0.2
Utilities
516,487
0.3
Investment
Companies
91,683,534
51.1
U.S.
Treasury
Obligations
80,386,082
44.9
Total
Investments
In
Securities
At
Value
173,741,611
96.9
Other
Assets
in
Excess
of
Liabilities
(g)
5,443,412
3.1
Net
Assets
$
179,185,023
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
$7,205,963;
additional
securities
sold
but
not
yet
settled
totaling
$239,581
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
December
31,
2022
amounted
to
$(469,651),
which
represents
(0.26)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(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
(See
Note
5).
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CHF
504
USD
539
CITI
3/15/2023
$
10
CHF
496
USD
530
JPMC
3/15/2023
10
EUR
138,000
USD
143,579
CITI
3/15/2023
4,859
EUR
138,000
USD
143,580
JPMC
3/15/2023
4,859
SEK
500
USD
48
CITI
3/15/2023
–
SEK
500
USD
48
JPMC
3/15/2023
–
SGD
193,500
USD
140,695
CITI
3/15/2023
3,937
SGD
193,500
USD
140,695
JPMC
3/15/2023
3,937
USD
111
CAD
148
CITI
3/15/2023
1
USD
109
CAD
146
JPMC
3/15/2023
1
USD
22
NOK
215
CITI
3/15/2023
–
USD
22
NOK
214
JPMC
3/15/2023
–
Total
unrealized
appreciation
17,614
USD
278
DKK
2,000
CITI
3/15/2023
(11)
USD
278
DKK
2,000
JPMC
3/15/2023
(11)
USD
845,285
EUR
800,502
CITI
3/15/2023
(15,764)
USD
845,283
EUR
800,498
JPMC
3/15/2023
(15,762)
USD
25,622
HKD
200,000
CITI
3/15/2023
(36)
USD
25,622
HKD
200,000
JPMC
3/15/2023
(36)
USD
130
NOK
1,287
CITI
3/15/2023
(2)
90
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
129
NOK
1,284
JPMC
3/15/2023
$
(2)
Total
unrealized
depreciation
(31,624)
Net
unrealized
depreciation
$
(14,010)
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
56
months
maturity
08/09/2027
$759,994
$3,074
$587
$3,661
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
(-10.90%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-61
months
maturity
ranging
from
04/23/2025
-
01/03/2028
$18,554,298
$50,574
$(1,278)
$49,296
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
28,752
210,655
3,438
7.0
Switzerland
ABB
Ltd.
(Registered)
21,498
655,206
24
0.0
Adecco
Group
AG
(Registered)
8,490
279,277
3,382
6.9
Baloise
Holding
AG
(Registered)
1,157
178,417
4,238
8.6
Barry
Callebaut
AG
(Registered)
248
489,738
(1,085)
(2.2)
Clariant
AG
(Registered)
17,599
279,497
(1,718)
(3.5)
DKSH
Holding
AG
6,541
496,025
(3,401)
(6.9)
91
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Galenica
AG
1,287
105,007
407
0.8
Georg
Fischer
AG
(Registered)
2,335
143,047
(10)
(0.0)
Helvetia
Holding
AG
(Registered)
3,671
427,168
11,890
24.1
Julius
Baer
Group
Ltd.
392
22,815
(33)
(0.1)
Kuehne
+
Nagel
International
AG
(Registered)
1,721
400,103
3,844
7.8
Lonza
Group
AG
(Registered)
1
491
10
0.0
Novartis
AG
(Registered)
16,274
1,472,756
(8,123)
(16.5)
Sonova
Holding
AG
(Registered)
3,137
745,034
9,699
19.7
Stadler
Rail
AG
2,750
97,875
444
0.9
Swatch
Group
AG
(The)
1,944
552,525
17,521
35.5
Swiss
Life
Holding
AG
(Registered)
151
77,834
607
1.2
Temenos
AG
(Registered)
11,224
617,469
(5,805)
(11.8)
UBS
Group
AG
(Registered)
24,112
448,151
11,233
22.8
United
States
Roche
Holding
AG
3,026
950,883
(25,862)
(52.5)
Short
Positions
Common
Stocks
Switzerland
Alcon,
Inc.
(1,007)
(69,099)
(946)
(1.9)
Bachem
Holding
AG
(8,192)
(710,824)
24,481
49.7
Belimo
Holding
AG
(Registered)
(266)
(126,903)
(24)
(0.0)
BKW
AG
(1,260)
(172,397)
(277)
(0.6)
Chocoladefabriken
Lindt
&
Spruengli
AG
(15)
(152,851)
233
0.5
Cie
Financiere
Richemont
SA
(Registered)
(4,197)
(544,183)
(5,035)
(10.2)
Credit
Suisse
Group
AG
(Registered)
(167,247)
(499,307)
3,347
6.8
Dufry
AG
(Registered)
(2,494)
(103,911)
481
1.0
EMS-Chemie
Holding
AG
(Registered)
(477)
(323,073)
(423)
(0.9)
Flughafen
Zurich
AG
(Registered)
(847)
(131,065)
4,295
8.7
Geberit
AG
(Registered)
(589)
(278,055)
(1,855)
(3.8)
Givaudan
SA
(Registered)
(234)
(716,720)
5,944
12.1
Idorsia
Ltd.
(12,257)
(177,709)
4,824
9.8
Logitech
International
SA
(Registered)
(8,084)
(501,284)
(17,168)
(34.8)
Partners
Group
Holding
AG
(272)
(240,852)
598
1.2
Schindler
Holding
AG
(1,058)
(198,991)
(358)
(0.7)
SGS
SA
(Registered)
(114)
(265,545)
(2,567)
(5.2)
SIG
Group
AG
(52,160)
(1,139,757)
17,295
35.1
Sika
AG
(Registered)
(2,915)
(700,775)
8,487
17.2
Straumann
Holding
AG
(Registered)
(3,232)
(370,617)
(9,599)
(19.5)
Swisscom
AG
(Registered)
(53)
(29,034)
36
0.1
Tecan
Group
AG
(Registered)
(1,480)
(662,509)
(14,904)
(30.2)
VAT
Group
AG
(1,791)
(491,661)
10,126
20.5
Zurich
Insurance
Group
AG
(621)
(296,886)
(1,412)
(2.9)
United
States
Holcim
AG
(234)
(12,113)
(145)
(0.3)
Nestle
SA
(Registered)
(6,899)
(796,900)
7,503
15.2
Swiss
Re
AG
(2,046)
(191,304)
(3,063)
(6.2)
92
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
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
(-2.45%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-60
months
maturity
ranging
from
04/24/2025
-
11/15/2027
$8,727,575
$10,328
$663
$10,991
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
509
1,139,450
53,205
484.1
Carlsberg
A/S
4,460
591,605
6,311
57.4
Demant
A/S
7,896
220,186
10,534
95.8
DSV
A/S
898
142,007
1,299
11.8
Genmab
A/S
1,067
451,122
(13,660)
(124.3)
H
Lundbeck
A/S
12,227
45,787
(1,102)
(10.0)
H
Lundbeck
A/S
164
564
(19)
(0.2)
ISS
A/S
37,860
801,358
178
1.6
Pandora
A/S
14,927
1,055,063
(3,846)
(35.0)
Royal
Unibrew
A/S
113
8,031
38
0.3
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(10,766)
(138,263)
(1,139)
(10.4)
Chr
Hansen
Holding
A/S
(1,969)
(141,636)
3,542
32.2
Coloplast
A/S
(6,130)
(718,146)
2,968
27.0
GN
Store
Nord
A/S
(5,681)
(131,155)
(8,365)
(76.1)
Novo
Nordisk
A/S
(4,185)
(568,388)
(13,519)
(123.0)
Novozymes
A/S
(13,811)
(700,683)
9,565
87.0
Orsted
A/S
(2,500)
(226,014)
(11)
(0.1)
ROCKWOOL
A/S
(191)
(44,714)
(2,358)
(21.5)
SimCorp
A/S
(1,611)
(110,922)
(2,839)
(25.8)
Tryg
A/S
(27,752)
(659,542)
(8,051)
(73.3)
Vestas
Wind
Systems
A/S
(28,554)
(832,939)
(22,403)
(203.8)
93
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
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.
28-61
months
maturity
ranging
from
04/23/2025
-
01/03/2028
$33,326,220
$141,084
$23,874
$164,958
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
7,149
317,215
1,160
0.7
Proximus
SADP
69,125
667,392
29,714
18.0
Solvay
SA
3,738
377,934
3,014
1.8
Finland
Metso
Outotec
OYJ
53,351
549,381
20,546
12.5
Nokia
OYJ
85,684
398,062
(2,364)
(1.4)
Stora
Enso
OYJ
36,357
512,616
(1,218)
(0.7)
Wartsila
OYJ
Abp
34,979
294,945
(6,843)
(4.1)
Luxembourg
ArcelorMittal
SA
42,321
1,116,519
24,186
14.7
Netherlands
Aalberts
NV
11,722
456,599
(7,772)
(4.7)
Aegon
NV
78,969
400,110
4,245
2.6
ASR
Nederland
NV
8,616
409,381
9,933
6.0
Heineken
NV
5,036
474,352
(1,546)
(0.9)
Koninklijke
Ahold
Delhaize
NV
16,790
482,734
(6,162)
(3.7)
Koninklijke
Philips
NV
34,858
524,516
36,145
21.9
NN
Group
NV
27,355
1,118,606
(69,874)
(42.4)
OCI
NV
15,503
554,271
(17,555)
(10.6)
Randstad
NV
5,759
351,889
5,185
3.1
Spain
Acerinox
SA
54,416
537,920
14,838
9.0
ACS
Actividades
de
Construccion
y
Servicios
SA
13,442
384,624
5,457
3.3
Banco
de
Sabadell
SA
1,318,757
1,239,584
426
0.3
Banco
Santander
SA
310,162
927,420
24,076
14.6
Industria
de
Diseno
Textil
SA
21,032
558,632
5,543
3.4
Mapfre
SA
317,381
613,975
5,805
3.5
Red
Electrica
Corp.
SA
48,313
840,075
(23,335)
(14.1)
Repsol
SA
137,799
2,193,350
95,801
58.1
United
States
Signify
NV
10,092
339,722
(2,732)
(1.7)
94
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
(10,287)
(619,596)
(460)
(0.3)
D'ieteren
Group
(2,060)
(395,341)
(7,900)
(4.8)
China
Prosus
NV
(12,352)
(852,825)
(7,265)
(4.4)
Finland
Neste
OYJ
(7,352)
(339,052)
18,165
11.0
Nokian
Renkaat
OYJ
(28,002)
(287,366)
(2,400)
(1.5)
UPM-Kymmene
OYJ
(17,635)
(659,926)
3,236
2.0
Valmet
OYJ
(15,446)
(416,960)
(1,952)
(1.2)
Netherlands
Adyen
NV
(311)
(431,746)
11,055
6.7
Akzo
Nobel
NV
(8,480)
(569,030)
3,554
2.2
Argenx
SE
(1,390)
(521,814)
7,192
4.4
ASM
International
NV
(1,234)
(313,109)
13,652
8.3
ASML
Holding
NV
(677)
(369,136)
14,689
8.9
BE
Semiconductor
Industries
NV
(4,860)
(296,173)
705
0.4
Koninklijke
DSM
NV
(5,367)
(659,039)
9,263
5.6
Koninklijke
KPN
NV
(174,879)
(541,295)
4,399
2.7
Universal
Music
Group
NV
(14,754)
(356,791)
838
0.5
Spain
Acciona
SA
(4,885)
(898,995)
12,446
7.5
Bankinter
SA
(40,807)
(273,388)
(4,657)
(2.8)
CaixaBank
SA
(302,632)
(1,186,558)
(42,358)
(25.7)
Cellnex
Telecom
SA
(31,317)
(1,038,824)
11,796
7.2
Ferrovial
SA
(34,522)
(903,880)
1,823
1.1
Grifols
SA
(48,189)
(556,507)
(27,375)
(16.6)
Iberdrola
SA
(71,919)
(839,547)
(6,031)
(3.7)
Telefonica
SA
(86,805)
(314,243)
(6,069)
(3.7)
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
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.
28-60
months
maturity
ranging
from
04/24/2025
-
12/02/2027
$4,661,395
$10,662
$(1,341)
$9,321
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
15,855
696,304
7,947
85.3
95
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Equinor
ASA
24,107
866,412
(22,397)
(240.3)
Leroy
Seafood
Group
ASA
67,975
380,872
19,376
207.9
Norsk
Hydro
ASA
95,648
714,717
31,294
335.7
Telenor
ASA
12,481
116,610
2,333
25.0
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(5,694)
(355,461)
(13,128)
(140.8)
Norway
Gjensidige
Forsikring
ASA
(2,938)
(57,626)
65
0.7
Kongsberg
Gruppen
ASA
(9,738)
(414,486)
(9,134)
(98.0)
Mowi
ASA
(1,968)
(33,535)
(1,348)
(14.5)
Orkla
ASA
(2,318)
(16,730)
(39)
(0.4)
Salmar
ASA
(8,882)
(348,320)
(15,532)
(166.6)
Schibsted
ASA
(5,898)
(111,848)
4,766
51.1
TOMRA
Systems
ASA
(13,373)
(225,552)
22,666
243.2
United
Kingdom
Subsea
7
SA
(27,887)
(322,922)
(16,207)
(173.9)
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
(-5.60%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-61
months
maturity
ranging
from
04/23/2025
-
01/04/2028
$15,258,198
$55,177
$1,591
$56,768
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
31,288
335,156
11,450
20.2
Guatemala
Millicom
International
Cellular
SA
37,732
478,050
(5,836)
(10.3)
Sweden
Assa
Abloy
AB
8,100
174,225
(4,001)
(7.0)
Axfood
AB
3,471
95,177
1,374
2.4
Billerud
AB
26,188
319,459
(27,609)
(48.6)
Boliden
AB
9,222
346,399
(1,232)
(2.2)
Elekta
AB
74,569
449,797
20,456
36.0
Essity
AB
18,490
484,201
(4,856)
(8.6)
Evolution
AB
2,357
229,582
5,625
9.9
Getinge
AB
7,805
162,271
1,471
2.6
96
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
H
&
M
Hennes
&
Mauritz
AB
16,515
177,973
(124)
(0.2)
Saab
AB
7,729
304,581
3,268
5.8
Sandvik
AB
17,407
314,572
(57)
(0.1)
Skanska
AB
31,542
500,019
5,983
10.5
SSAB
AB
186,833
973,224
8,160
14.4
Svenska
Handelsbanken
AB
69,036
695,054
10,828
19.1
Swedbank
AB
12,787
217,495
5,499
9.7
Swedish
Orphan
Biovitrum
AB
8,696
179,981
(3,525)
(6.2)
Tele2
AB
1,999
16,308
(84)
(0.1)
Telefonaktiebolaget
LM
Ericsson
143,938
843,392
(1,893)
(3.3)
Trelleborg
AB
2,338
54,005
(2,032)
(3.6)
Volvo
AB
5,767
104,173
(730)
(1.3)
Volvo
Car
AB
49,892
227,179
2,892
5.1
Short
Positions
Common
Stocks
Sweden
Alfa
Laval
AB
(12,721)
(367,985)
(1,934)
(3.4)
Atlas
Copco
AB
(47,620)
(564,221)
12,397
21.8
Beijer
Ref
AB
(24,705)
(348,848)
6,994
12.3
Electrolux
AB
(22,815)
(308,252)
(1,934)
(3.4)
Embracer
Group
AB
(101,907)
(462,652)
(133)
(0.2)
Epiroc
AB
(23,225)
(422,907)
4,938
8.7
EQT
AB
(32,927)
(699,543)
(18,243)
(32.1)
Hexagon
AB
(93,118)
(976,351)
30,064
53.0
Hexpol
AB
(16,469)
(175,724)
2,726
4.8
Holmen
AB
(7,641)
(303,692)
(610)
(1.1)
Husqvarna
AB
(17,011)
(119,476)
(491)
(0.9)
Indutrade
AB
(22,440)
(455,072)
3,608
6.4
Lifco
AB
(17,460)
(292,251)
(2,766)
(4.9)
Nibe
Industrier
AB
(81,983)
(765,211)
7,859
13.8
Securitas
AB
(45,916)
(383,144)
(10,497)
(18.5)
Skandinaviska
Enskilda
Banken
AB
(24,888)
(286,532)
(5,212)
(9.2)
SKF
AB
(34,836)
(532,069)
2,414
4.3
Svenska
Cellulosa
AB
SCA
(8,011)
(101,457)
915
1.6
Telia
Co.
AB
(4,124)
(10,538)
55
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
CDOR
plus
or
minus
a
specified
spread
(-1.86%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
01/25/2023
-
02/26/2024
$29,968,609
$46,248
$297,162
$343,410
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
97
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Air
Canada
26,429
378,477
11,784
3.4
ARC
Resources
Ltd.
30,399
409,735
8,324
2.4
Atco
Ltd.
19,364
606,090
(2,107)
(0.6)
Bank
of
Montreal
5,385
487,832
1,679
0.5
Bank
of
Nova
Scotia
(The)
18,561
909,407
11,154
3.2
Barrick
Gold
Corp.
18,965
325,094
(2,941)
(0.9)
Canadian
Imperial
Bank
of
Commerce
15,612
631,513
6,144
1.8
Canadian
Tire
Corp.
Ltd.
2,791
291,674
2,288
0.7
Capital
Power
Corp.
10,215
349,528
(4,527)
(1.3)
Cogeco
Communications,
Inc.
5,004
283,794
12,011
3.5
Empire
Co.
Ltd.
19,300
508,300
(1,283)
(0.4)
Fairfax
Financial
Holdings
Ltd.
567
335,874
850
0.2
Finning
International,
Inc.
19,921
495,230
3,678
1.1
George
Weston
Ltd.
3,013
373,821
(5,585)
(1.6)
iA
Financial
Corp.,
Inc.
4,973
291,145
4,407
1.3
Imperial
Oil
Ltd.
13,581
661,497
9,613
2.8
Manulife
Financial
Corp.
39,093
697,264
5,197
1.5
Nutrien
Ltd.
8,541
623,543
(4,226)
(1.2)
Onex
Corp.
6,568
316,710
9,362
2.7
Open
Text
Corp.
16,314
483,396
9,278
2.7
Suncor
Energy,
Inc.
17,986
570,531
5,712
1.7
Teck
Resources
Ltd.
10,770
407,017
(7,159)
(2.1)
West
Fraser
Timber
Co.
Ltd.
9,604
693,488
(2,901)
(0.8)
Whitecap
Resources,
Inc.
55,567
440,760
13,133
3.8
Chile
Lundin
Mining
Corp.
50,938
312,625
(1,129)
(0.3)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(9,561)
(373,543)
8,756
2.5
Canada
BCE,
Inc.
(11,547)
(507,335)
(3,582)
(1.0)
Brookfield
Corp.
(13,752)
(432,467)
(3,149)
(0.9)
Brookfield
Infrastructure
Corp.
(7,367)
(286,573)
2,954
0.9
Cameco
Corp.
(21,311)
(483,039)
(1,808)
(0.5)
Canadian
Pacific
Railway
Ltd.
(11,455)
(854,049)
3,404
1.0
Constellation
Software,
Inc.
(215)
(335,673)
524
0.2
Dollarama,
Inc.
(5,987)
(350,155)
5,857
1.7
Element
Fleet
Management
Corp.
(37,577)
(512,035)
(3,971)
(1.2)
Enbridge,
Inc.
(17,783)
(695,034)
(1,058)
(0.3)
Fortis,
Inc.
(7,783)
(311,435)
1,895
0.6
Franco-Nevada
Corp.
(2,910)
(396,676)
3,396
1.0
GFL
Environmental,
Inc.
(9,568)
(279,408)
(4,169)
(1.2)
Intact
Financial
Corp.
(2,835)
(408,102)
3,874
1.1
Lithium
Americas
Corp.
(19,330)
(366,471)
(3,211)
(0.9)
Metro,
Inc.
(5,870)
(325,018)
3,728
1.1
Pan
American
Silver
Corp.
(17,572)
(286,810)
6,210
1.8
Restaurant
Brands
International,
Inc.
(4,617)
(298,605)
684
0.2
Rogers
Communications,
Inc.
(13,255)
(620,361)
(21,627)
(6.3)
Royal
Bank
of
Canada
(7,357)
(691,688)
1,733
0.5
Saputo,
Inc.
(10,997)
(272,245)
(406)
(0.1)
Shopify,
Inc.
(8,718)
(302,683)
(15,149)
(4.4)
Thomson
Reuters
Corp.
(3,847)
(438,853)
(3,311)
(1.0)
98
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
TMX
Group
Ltd.
(3,030)
(303,269)
(2,006)
(0.6)
WSP
Global,
Inc.
(2,586)
(300,026)
(3,773)
(1.1)
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
SORA
plus
or
minus
a
specified
spread
(-0.58%
to
0.35%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
08/25/2023
-
12/30/2024
$3,707,085
$2,279
$22,850
$25,129
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
91,200
284,122
816
3.2
Yangzijiang
Shipbuilding
Holdings
Ltd.
592,716
602,084
(8,598)
(34.2)
Singapore
City
Developments
Ltd.
80,062
492,167
985
3.9
Genting
Singapore
Ltd.
319,719
228,170
2,596
10.3
Oversea-Chinese
Banking
Corp.
Ltd.
33,800
307,446
(3,704)
(14.7)
Singapore
Airlines
Ltd.
140,400
579,693
824
3.3
Singapore
Telecommunications
Ltd.
34,900
66,914
(312)
(1.2)
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(21,335)
(540,023)
6,334
25.2
Keppel
Corp.
Ltd.
(31,700)
(171,915)
1,803
7.2
Singapore
Technologies
Engineering
Ltd.
(65,600)
(164,152)
1,188
4.7
United
Overseas
Bank
Ltd.
(10,400)
(238,221)
558
2.2
UOL
Group
Ltd.
(6,400)
(32,178)
(211)
(0.8)
99
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
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
(-2.25%
to
0.45%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-24
months
maturity
07/20/2023
$21,032,218
$19,804
$15,644
$35,448
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ANZ
Group
Holdings
Ltd.
34,890
562,040
(1,425)
(4.0)
Aristocrat
Leisure
Ltd.
9,582
197,445
(13,277)
(37.5)
Aurizon
Holdings
Ltd.
259,742
658,041
(10,435)
(29.4)
BHP
Group
Ltd.
33,604
1,040,949
(11,269)
(31.8)
BlueScope
Steel
Ltd.
80,732
920,121
(22,187)
(62.6)
Cochlear
Ltd.
1,827
252,322
(665)
(1.9)
Coles
Group
Ltd.
18,620
211,069
(3,433)
(9.7)
Harvey
Norman
Holdings
Ltd.
121,142
339,440
(6,149)
(17.3)
Incitec
Pivot
Ltd.
271,388
690,851
(12,425)
(35.1)
JB
Hi-Fi
Ltd.
28,999
826,522
(20,668)
(58.3)
New
Hope
Corp.
Ltd.
34,977
150,215
(4,339)
(12.2)
Origin
Energy
Ltd.
65,272
341,629
26,102
73.6
Qantas
Airways
Ltd.
110,523
447,365
(19,648)
(55.4)
Qube
Holdings
Ltd.
178,551
340,592
(3,441)
(9.7)
Santos
Ltd.
36,360
178,826
232
0.7
Sonic
Healthcare
Ltd.
28,327
576,483
(15,797)
(44.6)
South32
Ltd.
327,318
897,384
(22,342)
(63.0)
Suncorp
Group
Ltd.
39,433
321,332
5,063
14.3
Telstra
Group
Ltd.
155,998
421,888
(8,268)
(23.3)
Westpac
Banking
Corp.
17,576
278,255
31
0.1
Whitehaven
Coal
Ltd.
92,031
586,324
(72,237)
(203.8)
United
States
Computershare
Ltd.
8,692
153,119
(3,115)
(8.8)
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(318,973)
(329,311)
2,856
8.1
APA
Group
(25,084)
(183,349)
756
2.1
Atlas
Arteria
Ltd.
(32,415)
(145,980)
5,639
15.9
carsales.com
Ltd.
(16,007)
(225,259)
6,993
19.7
Cleanaway
Waste
Management
Ltd.
(161,819)
(288,334)
10,305
29.1
Commonwealth
Bank
of
Australia
(14,390)
(999,455)
32,015
90.3
Domino's
Pizza
Enterprises
Ltd.
(10,264)
(462,228)
2,491
7.0
Endeavour
Group
Ltd.
(43,053)
(187,363)
2,289
6.5
Fortescue
Metals
Group
Ltd.
(10,085)
(140,960)
(2,053)
(5.8)
100
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
IDP
Education
Ltd.
(32,156)
(592,610)
15,678
44.2
IGO
Ltd.
(38,254)
(349,923)
15,610
44.0
Insurance
Australia
Group
Ltd.
(92,309)
(296,743)
(5,126)
(14.5)
Lynas
Rare
Earths
Ltd.
(71,740)
(378,179)
21,387
60.3
Macquarie
Group
Ltd.
(2,533)
(285,946)
5,113
14.4
Medibank
Pvt
Ltd.
(72,530)
(144,700)
(11)
(0.0)
Mineral
Resources
Ltd.
(8,451)
(443,310)
23,926
67.5
Northern
Star
Resources
Ltd.
(21,571)
(161,423)
141
0.4
Pro
Medicus
Ltd.
(8,638)
(322,851)
5,722
16.1
REA
Group
Ltd.
(4,338)
(326,246)
22,329
63.0
Reece
Ltd.
(29,397)
(280,998)
813
2.3
Transurban
Group
(53,775)
(473,105)
31,418
88.6
Treasury
Wine
Estates
Ltd.
(16,382)
(151,344)
1,465
4.1
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(11,228)
(210,652)
(426)
(1.2)
Wesfarmers
Ltd.
(15,403)
(480,378)
10,284
29.0
WiseTech
Global
Ltd.
(4,235)
(145,652)
9,981
28.2
Woodside
Energy
Group
Ltd.
(20,339)
(492,574)
1,902
5.4
Worley
Ltd.
(25,285)
(257,919)
(1,755)
(5.0)
United
States
CSL
Ltd.
(4,373)
(852,709)
5,990
16.9
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
(-0.75%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
8-24
months
maturity
08/21/2023
$53,595,054
$59,307
$23,527
$82,834
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Air
France-KLM
369,419
487,435
(8,453)
(10.2)
Bouygues
SA
14,591
437,610
1,169
1.4
Cie
de
Saint-Gobain
28,711
1,404,566
33,075
39.9
Dassault
Aviation
SA
3,892
660,056
(7,216)
(8.7)
Eiffage
SA
12,247
1,204,666
(5,302)
(6.4)
Engie
SA
49,619
709,854
(26,390)
(31.9)
Ipsen
SA
5,144
553,292
9,858
11.9
Orange
SA
81,864
812,265
3,866
4.7
Rexel
SA
41,958
829,866
9,313
11.2
Sanofi
9,165
883,750
12,954
15.6
Thales
SA
3,698
472,489
(950)
(1.1)
TotalEnergies
SE
15,505
973,299
33,060
39.9
101
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Germany
Bayer
AG
(Registered)
19,184
987,402
(14,452)
(17.4)
Brenntag
SE
9,110
580,989
21,873
26.4
Deutsche
Bank
AG
(Registered)
139,100
1,563,702
83,938
101.3
Deutsche
Lufthansa
AG
(Registered)
75,984
626,341
(28,662)
(34.6)
E.ON
SE
51,094
507,977
9,119
11.0
GEA
Group
AG
14,771
600,700
(16,901)
(20.4)
HeidelbergCement
AG
10,224
579,344
6,520
7.9
HUGO
BOSS
AG
10,851
627,298
30,728
37.1
TeamViewer
AG
41,102
527,237
(8,654)
(10.4)
thyssenkrupp
AG
141,571
859,696
(21,607)
(26.1)
Singapore
STMicroelectronics
NV
28,088
998,137
(39,207)
(47.3)
Short
Positions
Common
Stocks
France
Accor
SA
(16,584)
(413,731)
9,459
11.4
Aeroports
de
Paris
(5,151)
(690,088)
(1,957)
(2.4)
Air
Liquide
SA
(9,012)
(1,279,122)
4,576
5.5
Airbus
SE
(4,259)
(506,406)
(625)
(0.8)
Alstom
SA
(30,332)
(742,122)
4,386
5.3
Cie
Generale
des
Etablissements
Michelin
SCA
(41,627)
(1,159,616)
(4,999)
(6.0)
EssilorLuxottica
SA
(6,265)
(1,133,547)
18,272
22.1
Hermes
International
(483)
(747,613)
14,995
18.1
L'Oreal
SA
(2,814)
(1,007,687)
1,566
1.9
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(1,478)
(1,075,531)
11,425
13.8
Pernod
Ricard
SA
(2,169)
(426,692)
(1,453)
(1.8)
Remy
Cointreau
SA
(2,603)
(438,901)
6,363
7.7
Sartorius
Stedim
Biotech
(2,943)
(956,381)
(18,902)
(22.8)
Worldline
SA
(14,744)
(577,411)
11,757
14.2
Germany
adidas
AG
(6,927)
(938,792)
(31,225)
(37.7)
Carl
Zeiss
Meditec
AG
(3,374)
(424,091)
(3,122)
(3.8)
Deutsche
Telekom
AG
(Registered)
(40,846)
(812,696)
14,482
17.5
Merck
KGaA
(2,257)
(435,466)
(701)
(0.8)
Rheinmetall
AG
(2,278)
(453,496)
808
1.0
SAP
SE
(10,860)
(1,121,194)
28,410
34.3
Sartorius
AG
(Preference)
(2,822)
(1,114,340)
(81,783)
(98.7)
Siemens
AG
(Registered)
(5,260)
(725,098)
(1,257)
(1.5)
Siemens
Healthineers
AG
(16,320)
(814,069)
12,537
15.1
Symrise
AG
(5,339)
(579,842)
16,372
19.8
Zalando
SE
(18,204)
(640,869)
(24,317)
(29.4)
South
Korea
Delivery
Hero
SE
(11,854)
(568,871)
(27,680)
(33.4)
United
States
Schneider
Electric
SE
(9,616)
(1,350,420)
7,904
9.5
102
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
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.
7-24
months
maturity
07/19/2023
$38,596,258
$48,802
$77,648
$126,450
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
5,279
371,557
13,588
10.7
Netherlands
Shell
plc
61,182
1,724,771
33,169
26.2
Nigeria
Airtel
Africa
plc
320,281
431,578
(5,821)
(4.6)
South
Africa
Anglo
American
plc
8,875
347,544
13,537
10.7
United
Kingdom
Associated
British
Foods
plc
23,811
451,427
1,785
1.4
Barclays
plc
569,250
1,083,176
11,235
8.9
Barratt
Developments
plc
231,479
1,105,612
3,656
2.9
BP
plc
128,394
740,826
16,560
13.1
British
American
Tobacco
plc
17,330
685,543
(11,844)
(9.4)
BT
Group
plc
415,220
560,661
(4,649)
(3.7)
Centrica
plc
877,985
1,021,151
44,839
35.5
DCC
plc
7,466
367,118
506
0.4
DS
Smith
plc
193,981
748,263
2,900
2.3
Harbour
Energy
plc
109,192
402,948
(1,327)
(1.0)
Howden
Joinery
Group
plc
63,294
427,385
(2,806)
(2.2)
Imperial
Brands
plc
30,402
757,348
(529)
(0.4)
Inchcape
plc
30,836
304,453
4,542
3.6
InterContinental
Hotels
Group
plc
11,220
643,790
(2,147)
(1.7)
International
Distributions
Services
plc
176,349
452,038
10,720
8.5
JD
Sports
Fashion
plc
493,443
749,849
56,061
44.3
Johnson
Matthey
plc
12,772
326,416
(155)
(0.1)
Legal
&
General
Group
plc
200,059
599,804
1,319
1.0
Lloyds
Banking
Group
plc
815,445
444,999
1,375
1.1
Man
Group
plc
171,966
442,444
(6,299)
(5.0)
Marks
&
Spencer
Group
plc
387,318
571,391
8,323
6.6
Reckitt
Benckiser
Group
plc
9,606
665,853
(1,672)
(1.3)
Smiths
Group
plc
27,209
522,197
2,138
1.7
Travis
Perkins
plc
29,298
313,230
(2,963)
(2.3)
Vodafone
Group
plc
732,077
741,387
(5,032)
(4.0)
United
States
GSK
plc
56,525
976,935
4,466
3.5
103
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(47,136)
(879,916)
(40,606)
(32.1)
Hong
Kong
Prudential
plc
(48,924)
(667,093)
(22,962)
(18.2)
United
Kingdom
Admiral
Group
plc
(21,456)
(550,795)
(20,186)
(16.0)
Ashtead
Group
plc
(9,039)
(513,459)
6,154
4.9
AstraZeneca
plc
(6,812)
(921,796)
(7,011)
(5.5)
AVEVA
Group
plc
(11,014)
(426,319)
971
0.8
B&M
European
Value
Retail
SA
(100,030)
(496,529)
(1,554)
(1.2)
Berkeley
Group
Holdings
plc
(9,304)
(424,164)
(3,711)
(2.9)
ConvaTec
Group
plc
(137,082)
(383,921)
(8,388)
(6.6)
Croda
International
plc
(6,481)
(515,749)
4,849
3.8
Diageo
plc
(16,749)
(733,135)
4,319
3.4
Experian
plc
(16,889)
(572,002)
6,319
5.0
Halma
plc
(16,425)
(391,161)
18,291
14.5
NatWest
Group
plc
(134,681)
(429,529)
(7,330)
(5.8)
Pennon
Group
plc
(53,753)
(577,930)
(6,065)
(4.8)
Rentokil
Initial
plc
(151,115)
(928,416)
12,075
9.5
Severn
Trent
plc
(20,058)
(640,816)
10,273
8.1
Spectris
plc
(8,389)
(303,905)
11,304
8.9
SSE
plc
(19,076)
(392,335)
282
0.2
United
Utilities
Group
plc
(55,962)
(668,653)
22,446
17.8
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
HONIX
plus
or
minus
a
specified
spread
(-0.30%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-24
months
maturity
07/20/2023
$13,161,683
$20,120
$49,530
$69,650
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
94,500
320,808
3,100
4.5
SITC
International
Holdings
Co.
Ltd.
218,000
483,184
(35,182)
(50.5)
Xinyi
Glass
Holdings
Ltd.
137,000
253,118
722
1.0
Hong
Kong
ASMPT
Ltd.
64,000
454,541
1,524
2.2
CK
Asset
Holdings
Ltd.
44,228
271,258
8,625
12.4
CLP
Holdings
Ltd.
21,000
152,997
2,602
3.7
104
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
(continued)
Henderson
Land
Development
Co.
Ltd.
125,000
435,150
8,902
12.8
HKT
Trust
&
HKT
Ltd.
55,000
67,327
527
0.8
Man
Wah
Holdings
Ltd.
444,800
440,138
7,615
10.9
New
World
Development
Co.
Ltd.
377,250
1,058,253
(501)
(0.7)
Sino
Land
Co.
Ltd.
140,000
174,620
(1,693)
(2.4)
Sun
Hung
Kai
Properties
Ltd.
39,000
532,716
7,582
10.9
Swire
Pacific
Ltd.
9,500
83,276
3,556
5.1
Swire
Properties
Ltd.
14,400
36,474
536
0.8
WH
Group
Ltd.
1,189,000
693,470
8,669
12.4
United
Kingdom
CK
Hutchison
Holdings
Ltd.
207,000
1,240,106
39,484
56.7
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(196,000)
(612,695)
8,794
12.6
ESR
Group
Ltd.
(257,400)
(538,107)
9,413
13.5
Hong
Kong
AIA
Group
Ltd.
(83,000)
(916,602)
(28,165)
(40.4)
Hang
Lung
Properties
Ltd.
(41,000)
(79,868)
450
0.6
Hang
Seng
Bank
Ltd.
(21,000)
(348,315)
(6,631)
(9.5)
Hong
Kong
&
China
Gas
Co.
Ltd.
(206,000)
(195,372)
(1,704)
(2.4)
MTR
Corp.
Ltd.
(65,018)
(343,871)
(7,789)
(11.2)
Power
Assets
Holdings
Ltd.
(18,500)
(101,111)
(2,158)
(3.1)
Techtronic
Industries
Co.
Ltd.
(109,500)
(1,216,200)
19,274
27.7
Wharf
Real
Estate
Investment
Co.
Ltd.
(213,000)
(1,240,542)
(7,079)
(10.2)
Macau
Galaxy
Entertainment
Group
Ltd.
(116,000)
(762,660)
(17,360)
(24.9)
Sands
China
Ltd.
(33,200)
(108,904)
(2,993)
(4.3)
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
(-0.81%
to
0.28%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-24
months
maturity
07/20/2023
$166,106,752
$1,184,674
$86,666
$1,271,340
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
105
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Dai-ichi
Life
Holdings,
Inc.
42,700
964,310
106,341
8.4
Fukuoka
Financial
Group,
Inc.
41,200
935,975
75,183
5.9
Honda
Motor
Co.
Ltd.
56,300
1,284,147
(88,577)
(7.0)
Japan
Post
Bank
Co.
Ltd.
152,500
1,307,375
92,249
7.3
Japan
Post
Holdings
Co.
Ltd.
112,800
949,094
37,007
2.9
Japan
Post
Insurance
Co.
Ltd.
54,200
953,222
58,286
4.6
KDDI
Corp.
37,400
1,134,226
(12,139)
(1.0)
Lawson,
Inc.
27,600
1,055,163
26,306
2.1
Mazda
Motor
Corp.
218,600
1,638,637
(113,627)
(8.9)
Mitsubishi
Corp.
42,100
1,366,768
(31,226)
(2.5)
Mitsubishi
HC
Capital,
Inc.
184,400
906,981
4,933
0.4
Mitsubishi
Motors
Corp.
523,700
1,988,802
(263,239)
(20.7)
Mizuho
Financial
Group,
Inc.
304,130
4,284,673
343,293
27.0
NGK
Spark
Plug
Co.
Ltd.
52,700
965,837
(71,779)
(5.6)
NH
Foods
Ltd.
33,300
929,702
(232)
(0.0)
NIPPON
EXPRESS
HOLDINGS,
Inc.
15,500
885,197
(47,827)
(3.8)
Nippon
Steel
Corp.
85,100
1,476,582
17,561
1.4
Ryohin
Keikaku
Co.
Ltd.
75,500
892,636
41,794
3.3
SCREEN
Holdings
Co.
Ltd.
22,200
1,415,636
(115,223)
(9.1)
Seiko
Epson
Corp.
64,000
931,138
(63,680)
(5.0)
Shimamura
Co.
Ltd.
10,800
1,076,265
36,917
2.9
Shin-Etsu
Chemical
Co.
Ltd.
11,500
1,404,290
(105,939)
(8.3)
Subaru
Corp.
122,800
1,859,202
(194,096)
(15.3)
Yamada
Holdings
Co.
Ltd.
266,200
944,947
(4,324)
(0.3)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(59,000)
(1,245,814)
14,518
1.1
Ajinomoto
Co.,
Inc.
(41,900)
(1,280,604)
127,791
10.1
Asahi
Intecc
Co.
Ltd.
(57,600)
(939,587)
90,677
7.1
Bridgestone
Corp.
(41,900)
(1,483,557)
67,791
5.3
Capcom
Co.
Ltd.
(39,000)
(1,244,899)
18,054
1.4
Chiba
Bank
Ltd.
(The)
(134,400)
(980,602)
(93,750)
(7.4)
Daiichi
Sankyo
Co.
Ltd.
(39,400)
(1,268,156)
55,566
4.4
Daikin
Industries
Ltd.
(8,000)
(1,213,709)
83,825
6.6
Denso
Corp.
(33,600)
(1,647,738)
140,080
11.0
Eisai
Co.
Ltd.
(13,700)
(903,544)
75,265
5.9
JSR
Corp.
(81,300)
(1,591,957)
122,132
9.6
Kansai
Electric
Power
Co.,
Inc.
(The)
(106,600)
(1,035,178)
(85,966)
(6.8)
Keyence
Corp.
(2,400)
(931,787)
66,118
5.2
Kobe
Bussan
Co.
Ltd.
(48,900)
(1,409,357)
(118,299)
(9.3)
Kubota
Corp.
(113,700)
(1,553,306)
140,690
11.1
Kurita
Water
Industries
Ltd.
(26,600)
(1,098,706)
75,217
5.9
Lasertec
Corp.
(9,000)
(1,469,436)
150,311
11.8
Mitsubishi
UFJ
Financial
Group,
Inc.
(288,100)
(1,934,135)
(189,896)
(14.9)
Nidec
Corp.
(30,100)
(1,548,920)
196,735
15.5
Nippon
Paint
Holdings
Co.
Ltd.
(206,000)
(1,617,944)
137,298
10.8
Resona
Holdings,
Inc.
(287,400)
(1,578,521)
(126,509)
(10.0)
T&D
Holdings,
Inc.
(74,400)
(1,065,017)
(122,722)
(9.7)
Toyota
Motor
Corp.
(205,800)
(2,807,636)
167,037
13.1
Unicharm
Corp.
(32,100)
(1,228,988)
45,847
3.6
Yamaha
Corp.
(25,000)
(927,695)
56,759
4.5
106
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Yaskawa
Electric
Corp.
(46,800)
(1,493,174)
87,930
6.9
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
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-40.17%
to
0.33%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-12
months
maturity
07/19/2023
$385,821,308
$731,893
$267,250
$999,143
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
3M
Co.
9,302
1,115,496
(16,410)
(1.6)
Adobe,
Inc.
3,532
1,188,624
27,444
2.7
Allison
Transmission
Holdings,
Inc.
24,494
1,018,950
(11,000)
(1.1)
American
International
Group,
Inc.
17,807
1,126,115
30,659
3.1
Booking
Holdings,
Inc.
538
1,084,221
45,106
4.5
Builders
FirstSource,
Inc.
15,864
1,029,256
(11,408)
(1.1)
Cisco
Systems,
Inc.
27,233
1,297,380
6,536
0.7
Citigroup,
Inc.
40,766
1,843,846
48,642
4.9
CVS
Health
Corp.
14,066
1,310,811
(21,330)
(2.1)
EMCOR
Group,
Inc.
7,015
1,038,992
7,635
0.8
Expedia
Group,
Inc.
17,560
1,538,256
39,484
4.0
General
Dynamics
Corp.
5,442
1,350,215
19,275
1.9
General
Motors
Co.
29,868
1,004,760
(38,824)
(3.9)
Intel
Corp.
47,267
1,249,267
(9,990)
(1.0)
Kroger
Co.
(The)
23,997
1,069,786
3,945
0.4
ManpowerGroup,
Inc.
13,143
1,093,629
23,865
2.4
Marathon
Petroleum
Corp.
8,972
1,044,251
47,044
4.7
Medtronic
plc
12,966
1,007,718
7,666
0.8
Meta
Platforms,
Inc.
12,919
1,554,672
75,705
7.6
Mosaic
Co.
(The)
22,582
990,672
(11,754)
(1.2)
NRG
Energy,
Inc.
31,334
997,048
4,276
0.4
Owens
Corning
13,158
1,122,377
(26,560)
(2.7)
Pfizer,
Inc.
21,834
1,118,774
(2,620)
(0.3)
Skechers
USA,
Inc.
31,454
1,319,495
30,021
3.0
Textron,
Inc.
14,016
992,333
21,304
2.1
Toll
Brothers,
Inc.
20,980
1,047,322
(3,388)
(0.3)
Tyson
Foods,
Inc.
28,897
1,798,838
39,113
3.9
Vishay
Intertechnology,
Inc.
55,767
1,202,894
17,305
1.7
Wells
Fargo
&
Co.
34,335
1,417,692
(13,115)
(1.3)
Westrock
Co.
37,166
1,306,757
13,075
1.3
107
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
Ameren
Corp.
(12,543)
(1,115,324)
(15,045)
(1.5)
Axon
Enterprise,
Inc.
(5,978)
(991,930)
9,608
1.0
Ball
Corp.
(21,895)
(1,119,710)
(11,345)
(1.1)
DR
Horton,
Inc.
(14,153)
(1,261,598)
(13,093)
(1.3)
DuPont
de
Nemours,
Inc.
(16,090)
(1,104,257)
(12,860)
(1.3)
Eli
Lilly
&
Co.
(3,310)
(1,210,930)
(25,050)
(2.5)
Equifax,
Inc.
(5,800)
(1,127,288)
(18,082)
(1.8)
First
Financial
Bankshares,
Inc.
(28,928)
(995,123)
(40,354)
(4.0)
Hanesbrands,
Inc.
(166,149)
(1,056,708)
(77,089)
(7.7)
Hess
Corp.
(7,620)
(1,080,668)
(62,408)
(6.2)
Honeywell
International,
Inc.
(7,590)
(1,626,537)
(34,910)
(3.5)
International
Business
Machines
Corp.
(7,045)
(992,570)
(10,002)
(1.0)
JPMorgan
Chase
&
Co.
(9,154)
(1,227,551)
(32,703)
(3.3)
Kohl's
Corp.
(52,013)
(1,313,328)
12,498
1.3
McCormick
&
Co.,
Inc.
(Non-Voting)
(17,129)
(1,419,823)
(776)
(0.1)
NextEra
Energy,
Inc.
(16,512)
(1,380,403)
(1,321)
(0.1)
NVIDIA
Corp.
(10,696)
(1,563,113)
157,563
15.8
Quanta
Services,
Inc.
(8,657)
(1,233,622)
(1,644)
(0.2)
Realty
Income
Corp.
(20,311)
(1,288,327)
2,234
0.2
Welltower,
Inc.
(15,640)
(1,025,202)
(27,943)
(2.8)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
CITI
Cash
$
120,000
$
–
$
120,000
Investment
Companies
86,356
–
86,356
JPMC
Investment
Companies
4,984,327
–
4,984,327
MLIN
Cash
(230,327)
–
(230,327)
MSIP
Cash
(2,560,171)
–
(2,560,171)
U.S.
Treasury
Bills
39,252,554
–
39,252,554
108
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
7
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
87.7%
INVESTMENT
COMPANIES
-
28.2%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares
,
3.94%
(1)(a)(b)
2,004,270
2,004,270
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)
157,361,120
157,298,176
TOTAL
INVESTMENT
COMPANIES
(Cost
$159,242,104)
159,302,446
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
59.5%
U.S.
Treasury
Bills
2.95%,
1/19/2023
(c)(d)
$
27,869,000
27,824,162
2.89%,
2/2/2023
(c)(d)
33,881,000
33,773,503
3.53%,
3/16/2023
(c)(d)
8,448,000
8,377,941
4.49%,
4/27/2023
(c)(d)
27,653,000
27,263,345
4.54%,
5/4/2023
(c)(d)
15,568,000
15,333,014
4.59%,
5/11/2023
(c)(d)
15,108,000
14,864,088
4.63%,
5/25/2023
(c)(d)
66,732,000
65,544,479
4.66%,
6/1/2023
(c)(d)
60,327,000
59,202,785
4.68%,
6/8/2023
(c)(d)
34,074,000
33,408,081
4.74%,
6/15/2023
(c)(d)
18,631,000
18,255,421
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
59.5%
(continued)
4.66%,
6/22/2023
(c)(d)
$
940,000
919,887
4.71%,
6/29/2023
(c)(d)
31,562,000
30,863,303
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$335,555,193)
335,630,009
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$494,797,297)
494,932,455
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
87.7%
(Cost
$494,797,297)
494,932,455
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
12.3%
(e)
69,723,215
NET
ASSETS
-
100.0%
564,655,670
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
159,302,446
28.2
U.S.
Treasury
Obligations
335,630,009
59.5
Total
Investments
In
Securities
At
Value
$
494,932,455
87.7
Other
Assets
in
Excess
of
Liabilities
(e)
69,723,215
12.3
Net
Assets
$
564,655,670
100.0%
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
109
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
January
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
01/30/2023
HKD
3,983,000
$
2,812
Hang
Seng
Index
January
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
01/30/2023
HKD
3,983,000
5,677
MSCI
Hong
Kong
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
JPMC
03/15/2023
HKD
2,067,557
7,486
15,975
Swiss
Market
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
03/17/2023
CHF
852,480
(25,916)
Swiss
Market
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
03/17/2023
CHF
4,795,200
(141,315)
MSCI
Germany
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
03/15/2023
EUR
454,426
(15,781)
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.13%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
AUD
2,621,045
(63,072)
MSCI
Canada
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BA
plus
or
minus
a
specified
spread
(-0.70%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
CAD
1,341,918
(30,267)
110
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.12%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
800,417
$
(27,285)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.28%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
169,835
(3,793)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
JPY
1,013,272,105
(280,846)
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
1,621,404
(110,745)
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.30%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
SGD
177,901
(2,556)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
1,042,867
(10,536)
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
SEK
8,879,560
(28,332)
111
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
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
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
CHF
1,211,987
$
(43,214)
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
03/15/2023
GBP
794,603
(9,569)
(793,227)
$
(777,252)
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
8
1/2023
EUR
$
1,181,177
$
(68,446)
CAC
40
10
Euro
Index
79
1/2023
EUR
5,471,814
(178,365)
Hang
Seng
Index
3
1/2023
HKD
382,713
1,986
IBEX
35
Index
20
1/2023
EUR
1,754,318
(1,691)
MSCI
Singapore
Index
32
1/2023
SGD
694,162
(614)
OMXS30
Index
56
1/2023
SEK
1,095,866
(43,854)
DAX
Index
8
3/2023
EUR
2,994,691
(51,610)
FTSE
100
Index
69
3/2023
GBP
6,227,954
(116)
FTSE/MIB
Index
7
3/2023
EUR
888,238
(27,847)
S&P
500
E-Mini
Index
673
3/2023
USD
129,922,650
(4,208,099)
S&P/TSX
60
Index
32
3/2023
CAD
5,529,808
(176,024)
SPI
200
Index
19
3/2023
AUD
2,261,239
(50,646)
TOPIX
Index
29
3/2023
JPY
4,179,633
(116,938)
$
(4,922,264)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
3,349,644
USD
2,255,393
CITI
3/15/2023
$
31,717
AUD
3,349,641
USD
2,255,351
JPMC
3/15/2023
31,757
CAD
256,500
USD
188,413
CITI
3/15/2023
1,129
CAD
256,500
USD
188,412
JPMC
3/15/2023
1,130
CHF
3,647,796
USD
3,899,042
CITI
3/15/2023
76,456
CHF
3,647,786
USD
3,899,025
JPMC
3/15/2023
76,462
112
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
DKK
7,846,222
USD
1,094,337
CITI
3/15/2023
$
41,274
DKK
7,846,221
USD
1,094,338
JPMC
3/15/2023
41,273
EUR
11,723,441
USD
12,279,363
CITI
3/15/2023
330,809
EUR
11,723,439
USD
12,279,334
JPMC
3/15/2023
330,831
GBP
2,310,501
USD
2,770,363
CITI
3/15/2023
27,823
GBP
2,310,499
USD
2,770,364
JPMC
3/15/2023
27,818
HKD
6,705,000
USD
859,013
CITI
3/15/2023
1,150
HKD
6,705,000
USD
859,014
JPMC
3/15/2023
1,149
JPY
1,119,797,505
USD
8,246,742
CITI
3/15/2023
366,954
JPY
1,119,797,496
USD
8,246,726
JPMC
3/15/2023
366,976
NOK
2,510,797
USD
252,682
CITI
3/15/2023
4,386
NOK
2,510,787
USD
252,680
JPMC
3/15/2023
4,387
NZD
87,876
USD
55,117
CITI
3/15/2023
721
NZD
87,873
USD
55,115
JPMC
3/15/2023
720
SEK
12,892,000
USD
1,224,858
CITI
3/15/2023
15,602
SEK
12,892,001
USD
1,224,859
JPMC
3/15/2023
15,600
SGD
2,792,859
USD
2,031,268
CITI
3/15/2023
56,253
SGD
2,792,856
USD
2,031,268
JPMC
3/15/2023
56,250
Total
unrealized
appreciation
1,908,627
AUD
1,200,858
USD
820,308
CITI
3/15/2023
(372)
AUD
1,200,857
USD
820,303
JPMC
3/15/2023
(368)
CAD
6,304,707
USD
4,716,901
CITI
3/15/2023
(58,014)
CAD
6,304,703
USD
4,716,904
JPMC
3/15/2023
(58,020)
GBP
2,494,001
USD
3,034,937
CITI
3/15/2023
(14,521)
GBP
2,494,000
USD
3,034,930
JPMC
3/15/2023
(14,516)
HKD
1,745,500
USD
224,424
CITI
3/15/2023
(500)
HKD
1,745,500
USD
224,423
JPMC
3/15/2023
(498)
ILS
969,500
USD
283,556
CITI
3/15/2023
(6,677)
ILS
969,500
USD
283,556
JPMC
3/15/2023
(6,677)
NOK
418,467
USD
43,065
CITI
3/15/2023
(220)
NOK
418,464
USD
43,064
JPMC
3/15/2023
(219)
NZD
27,126
USD
17,386
CITI
3/15/2023
(150)
NZD
27,124
USD
17,385
JPMC
3/15/2023
(150)
SEK
699,000
USD
67,758
CITI
3/15/2023
(501)
SEK
699,000
USD
67,757
JPMC
3/15/2023
(500)
USD
42,276
HKD
330,000
CITI
3/15/2023
(59)
USD
42,276
HKD
330,000
JPMC
3/15/2023
(59)
USD
3,239
NOK
32,000
CITI
3/15/2023
(37)
USD
3,239
NOK
32,000
JPMC
3/15/2023
(37)
USD
17,074
SEK
179,620
CITI
3/15/2023
(209)
USD
17,074
SEK
179,619
JPMC
3/15/2023
(209)
Total
unrealized
depreciation
(162,513)
Net
unrealized
appreciation
$
1,746,114
113
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-6.09%
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
01/25/2023
-
02/26/2024
$148,408,217
$(662,888)
$1,630,199
$967,311
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Ashland,
Inc.
14,602
1,570,153
(9,579)
(1.0)
AT&T,
Inc.
146,367
2,694,616
(6,120)
(0.6)
Berry
Global
Group,
Inc.
31,608
1,910,071
(9,529)
(1.0)
BJ's
Wholesale
Club
Holdings,
Inc.
26,532
1,755,357
2,903
0.3
Celanese
Corp.
15,692
1,604,350
(23,695)
(2.4)
CF
Industries
Holdings,
Inc.
31,078
2,647,846
(56,030)
(5.8)
Chemours
Co.
(The)
63,475
1,943,604
(19,043)
(2.0)
Dow,
Inc.
53,013
2,671,325
(42,410)
(4.4)
Eagle
Materials,
Inc.
13,613
1,808,487
(17,425)
(1.8)
Eastman
Chemical
Co.
35,639
2,902,440
(35,475)
(3.7)
Huntsman
Corp.
96,326
2,647,038
(27,935)
(2.9)
International
Paper
Co.
67,494
2,337,317
(18,898)
(2.0)
KB
Home
55,597
1,770,764
(7,002)
(0.7)
Kroger
Co.
(The)
86,223
3,843,821
(107,644)
(11.1)
Lumen
Technologies,
Inc.
350,670
1,830,497
(19,195)
(2.0)
LyondellBasell
Industries
NV
34,953
2,902,148
(25,166)
(2.6)
Mattel,
Inc.
86,964
1,551,438
71,310
7.4
Mosaic
Co.
(The)
72,230
3,168,730
(41,348)
(4.3)
Packaging
Corp.
of
America
10,015
1,281,019
(16,525)
(1.7)
PulteGroup,
Inc.
27,785
1,265,051
(9,447)
(1.0)
PVH
Corp.
31,466
2,221,185
(18,565)
(1.9)
Ralph
Lauren
Corp.
13,771
1,455,182
19,693
2.0
Reliance
Steel
&
Aluminum
Co.
7,919
1,603,122
(24,799)
(2.6)
Skechers
USA,
Inc.
101,746
4,268,245
(50,200)
(5.2)
Taylor
Morrison
Home
Corp.
47,570
1,443,750
(23,309)
(2.4)
Toll
Brothers,
Inc.
71,757
3,582,109
(41,209)
(4.3)
United
States
Steel
Corp.
80,215
2,009,386
(81,017)
(8.4)
Westrock
Co.
126,699
4,454,737
(54,480)
(5.6)
114
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
Kingdom
Linde
plc
(5,053)
(1,648,188)
12,344
1.3
United
States
Air
Products
and
Chemicals,
Inc.
(9,587)
(2,955,289)
37,773
3.9
AptarGroup,
Inc.
(13,826)
(1,520,583)
11,223
1.2
Avery
Dennison
Corp.
(12,171)
(2,202,951)
15,368
1.6
Ball
Corp.
(66,937)
(3,423,158)
42,285
4.4
Carter's,
Inc.
(22,182)
(1,654,999)
20,629
2.1
Costco
Wholesale
Corp.
(3,088)
(1,409,672)
6,176
0.6
Crown
Holdings,
Inc.
(16,107)
(1,324,156)
8,275
0.9
DR
Horton,
Inc.
(44,985)
(4,009,963)
3,330
0.3
DuPont
de
Nemours,
Inc.
(54,198)
(3,719,609)
762
0.1
Ecolab,
Inc.
(8,945)
(1,302,034)
(984)
(0.1)
Freeport-McMoRan,
Inc.
(29,869)
(1,135,022)
26,285
2.7
Frontier
Communications
Parent,
Inc.
(65,415)
(1,666,774)
(23,113)
(2.4)
Grocery
Outlet
Holding
Corp.
(49,881)
(1,456,026)
(20,645)
(2.1)
Hanesbrands,
Inc.
(534,869)
(3,401,767)
(67,113)
(6.9)
MP
Materials
Corp.
(53,289)
(1,293,857)
9,697
1.0
Royal
Gold,
Inc.
(16,054)
(1,809,607)
18,721
1.9
RPM
International,
Inc.
(27,811)
(2,710,182)
54,235
5.6
Scotts
Miracle-Gro
Co.
(The)
(27,787)
(1,350,170)
(28,621)
(3.0)
Silgan
Holdings,
Inc.
(23,778)
(1,232,652)
27,629
2.9
Tempur
Sealy
International,
Inc.
(36,938)
(1,268,082)
17,911
1.9
Valvoline,
Inc.
(69,611)
(2,272,799)
2,795
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
BBR
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.
61
months
maturity
11/19/2026
$74,059,067
$123,177
$(57,015)
$66,162
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ANZ
Group
Holdings
Ltd.
127,538
2,054,498
(5,099)
(7.7)
Aristocrat
Leisure
Ltd.
39,086
805,399
(54,159)
(81.9)
Aurizon
Holdings
Ltd.
896,502
2,271,234
(36,016)
(54.4)
BHP
Group
Ltd.
111,832
3,464,214
(37,503)
(56.7)
BlueScope
Steel
Ltd.
268,034
3,054,846
(73,599)
(111.2)
Cochlear
Ltd.
6,427
887,616
(2,338)
(3.5)
Coles
Group
Ltd.
83,583
947,466
(15,409)
(23.3)
115
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Harvey
Norman
Holdings
Ltd.
499,422
1,399,380
(25,352)
(38.3)
Incitec
Pivot
Ltd.
874,867
2,227,080
(40,517)
(61.2)
JB
Hi-Fi
Ltd.
98,922
2,819,449
(71,461)
(108.0)
New
Hope
Corp.
Ltd.
112,304
482,309
(13,931)
(21.1)
Origin
Energy
Ltd.
257,453
1,347,489
102,952
155.6
Qantas
Airways
Ltd.
346,910
1,404,191
(62,384)
(94.3)
Qube
Holdings
Ltd.
481,608
918,682
(9,283)
(14.0)
Santos
Ltd.
149,175
733,672
367
0.6
Sonic
Healthcare
Ltd.
105,074
2,138,363
(60,265)
(91.1)
South32
Ltd.
1,075,537
2,948,723
(73,425)
(111.0)
Suncorp
Group
Ltd.
126,125
1,027,769
16,195
24.5
Telstra
Group
Ltd.
663,748
1,795,068
(35,179)
(53.2)
Westpac
Banking
Corp.
62,258
985,638
109
0.2
Whitehaven
Coal
Ltd.
299,066
1,905,332
(239,894)
(362.6)
United
States
Computershare
Ltd.
34,661
610,590
(12,423)
(18.8)
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(1,061,110)
(1,095,502)
9,516
14.4
APA
Group
(98,960)
(723,339)
2,984
4.5
Atlas
Arteria
Ltd.
(108,074)
(486,708)
18,801
28.4
carsales.com
Ltd.
(71,556)
(1,006,975)
32,776
49.5
Cleanaway
Waste
Management
Ltd.
(560,964)
(999,544)
36,069
54.5
Commonwealth
Bank
of
Australia
(47,956)
(3,330,776)
118,132
178.5
Domino's
Pizza
Enterprises
Ltd.
(28,054)
(1,263,380)
6,808
10.3
Endeavour
Group
Ltd.
(173,224)
(753,857)
9,212
13.9
Fortescue
Metals
Group
Ltd.
(40,070)
(560,065)
(8,157)
(12.3)
IDP
Education
Ltd.
(113,570)
(2,093,008)
55,881
84.5
IGO
Ltd.
(140,820)
(1,288,130)
52,531
79.4
Insurance
Australia
Group
Ltd.
(372,696)
(1,198,095)
(20,694)
(31.3)
Lendlease
Corp.
Ltd.
(94,543)
(501,842)
(30,657)
(46.3)
Lynas
Rare
Earths
Ltd.
(252,831)
(1,332,803)
77,377
117.0
Macquarie
Group
Ltd.
(10,492)
(1,184,426)
21,179
32.0
Medibank
Pvt
Ltd.
(340,381)
(679,073)
(50)
(0.1)
Mineral
Resources
Ltd.
(29,244)
(1,534,037)
86,819
131.2
National
Australia
Bank
Ltd.
(24,101)
(489,337)
7,204
10.9
Northern
Star
Resources
Ltd.
(73,600)
(550,772)
594
0.9
Pro
Medicus
Ltd.
(25,945)
(969,711)
17,676
26.7
REA
Group
Ltd.
(15,565)
(1,170,590)
80,119
121.1
Reece
Ltd.
(103,466)
(989,003)
2,860
4.3
Transurban
Group
(194,081)
(1,707,497)
113,393
171.4
Treasury
Wine
Estates
Ltd.
(58,246)
(538,101)
5,349
8.1
Wesfarmers
Ltd.
(61,032)
(1,903,423)
47,520
71.8
Woodside
Energy
Group
Ltd.
(65,491)
(1,586,075)
6,290
9.5
Worley
Ltd.
(100,693)
(1,027,115)
(6,990)
(10.6)
United
States
CSL
Ltd.
(14,813)
(2,888,448)
20,292
30.7
116
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
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
$127,570,599
$87,602
$255,288
$342,890
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
16,380
1,152,891
42,163
12.3
Netherlands
Shell
plc
190,406
5,367,701
103,225
30.1
Nigeria
Airtel
Africa
plc
1,053,861
1,420,077
(19,617)
(5.7)
South
Africa
Anglo
American
plc
28,644
1,121,696
43,690
12.7
United
Kingdom
Associated
British
Foods
plc
83,139
1,576,213
6,233
1.8
Barclays
plc
1,869,243
3,556,819
42,379
12.4
Barratt
Developments
plc
722,589
3,451,300
10,510
3.1
BP
plc
433,112
2,499,031
55,863
16.3
British
American
Tobacco
plc
60,830
2,406,322
(42,556)
(12.4)
BT
Group
plc
1,241,158
1,675,905
(14,071)
(4.1)
Centrica
plc
2,713,887
3,156,419
138,598
40.4
DCC
plc
21,295
1,047,117
792
0.2
DS
Smith
plc
589,390
2,273,515
9,318
2.7
Harbour
Energy
plc
352,302
1,300,091
(4,975)
(1.5)
Howden
Joinery
Group
plc
216,063
1,458,939
(9,580)
(2.8)
Imperial
Brands
plc
127,212
3,168,996
(2,215)
(0.6)
Inchcape
plc
108,565
1,071,893
15,990
4.7
InterContinental
Hotels
Group
plc
40,258
2,309,956
(7,705)
(2.2)
International
Distributions
Services
plc
585,111
1,499,825
35,569
10.4
Intertek
Group
plc
21,895
1,065,240
23,117
6.7
JD
Sports
Fashion
plc
1,569,945
2,385,730
174,152
50.8
Legal
&
General
Group
plc
638,636
1,914,717
4,841
1.4
Lloyds
Banking
Group
plc
2,375,690
1,296,446
4,006
1.2
Man
Group
plc
596,710
1,535,250
(22,106)
(6.4)
Marks
&
Spencer
Group
plc
1,263,618
1,864,153
27,152
7.9
Reckitt
Benckiser
Group
plc
21,658
1,501,254
(3,770)
(1.1)
Smiths
Group
plc
83,705
1,606,473
5,985
1.7
Vodafone
Group
plc
2,356,825
2,386,798
(15,670)
(4.6)
United
States
GSK
plc
172,850
2,987,407
11,723
3.4
117
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(158,578)
(2,960,272)
(134,092)
(39.1)
Hong
Kong
Prudential
plc
(152,014)
(2,072,756)
(90,698)
(26.5)
United
Kingdom
Admiral
Group
plc
(63,193)
(1,622,221)
(57,198)
(16.7)
Ashtead
Group
plc
(29,108)
(1,653,474)
19,816
5.8
AstraZeneca
plc
(25,216)
(3,412,214)
(25,953)
(7.6)
AVEVA
Group
plc
(37,672)
(1,458,172)
3,321
1.0
B&M
European
Value
Retail
SA
(351,807)
(1,746,299)
(5,477)
(1.6)
Berkeley
Group
Holdings
plc
(44,149)
(2,012,726)
(17,608)
(5.1)
ConvaTec
Group
plc
(485,899)
(1,360,842)
(29,731)
(8.7)
Croda
International
plc
(20,664)
(1,644,412)
15,722
4.6
Diageo
plc
(58,141)
(2,544,941)
14,665
4.3
Experian
plc
(58,579)
(1,983,973)
22,365
6.5
Halma
plc
(55,115)
(1,312,561)
61,376
17.9
NatWest
Group
plc
(415,344)
(1,324,627)
(22,604)
(6.6)
Ocado
Group
plc
(184,455)
(1,369,213)
44,587
13.0
Pennon
Group
plc
(152,565)
(1,640,316)
(17,213)
(5.0)
Rentokil
Initial
plc
(470,582)
(2,891,147)
37,602
11.0
Schroders
plc
(218,903)
(1,150,224)
12,087
3.5
Severn
Trent
plc
(62,612)
(2,000,337)
31,558
9.2
SSE
plc
(65,430)
(1,345,695)
(3,518)
(1.0)
United
Utilities
Group
plc
(168,890)
(2,017,954)
67,740
19.8
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
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
$41,863,401
$70,004
$(44,991)
$25,013
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
304,000
1,032,018
10,873
43.5
SITC
International
Holdings
Co.
Ltd.
603,000
1,336,513
(97,316)
(389.1)
Xinyi
Glass
Holdings
Ltd.
334,000
617,090
1,761
7.0
118
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
ASMPT
Ltd.
165,700
1,176,834
3,945
15.8
CK
Asset
Holdings
Ltd.
177,997
1,091,687
34,712
138.8
CLP
Holdings
Ltd.
74,500
542,775
9,231
36.9
Henderson
Land
Development
Co.
Ltd.
398,000
1,385,519
29,184
116.7
HKT
Trust
&
HKT
Ltd.
242,000
296,238
2,320
9.3
Man
Wah
Holdings
Ltd.
1,493,200
1,477,548
25,565
102.2
New
World
Development
Co.
Ltd.
1,129,250
3,167,747
(2,832)
(11.3)
Sino
Land
Co.
Ltd.
580,000
723,426
(7,013)
(28.0)
Sun
Hung
Kai
Properties
Ltd.
137,500
1,878,164
26,733
106.9
Swire
Pacific
Ltd.
47,000
411,997
17,593
70.3
WH
Group
Ltd.
3,556,000
2,073,995
26,060
104.2
United
Kingdom
CK
Hutchison
Holdings
Ltd.
620,000
3,714,328
115,664
462.4
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(618,800)
(1,934,367)
27,763
111.0
ESR
Group
Ltd.
(784,200)
(1,639,407)
30,376
121.4
Hong
Kong
AIA
Group
Ltd.
(288,400)
(3,184,914)
(97,863)
(391.3)
Hang
Lung
Properties
Ltd.
(72,000)
(140,257)
1,128
4.5
Hang
Seng
Bank
Ltd.
(64,200)
(1,064,850)
(20,272)
(81.0)
Hong
Kong
&
China
Gas
Co.
Ltd.
(502,045)
(476,144)
(4,025)
(16.1)
MTR
Corp.
Ltd.
(162,639)
(860,174)
(19,083)
(76.3)
Power
Assets
Holdings
Ltd.
(108,000)
(590,271)
(12,598)
(50.4)
Swire
Properties
Ltd.
(38,200)
(96,757)
(1,421)
(5.7)
Techtronic
Industries
Co.
Ltd.
(351,000)
(3,898,503)
61,411
245.5
Wharf
Real
Estate
Investment
Co.
Ltd.
(707,000)
(4,117,667)
(23,540)
(94.1)
Macau
Galaxy
Entertainment
Group
Ltd.
(396,000)
(2,603,564)
(59,265)
(236.9)
Sands
China
Ltd.
(100,800)
(330,647)
(9,087)
(36.3)
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
(-0.12%
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
$535,956,268
$4,157,588
$422,828
$4,580,416
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
119
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Dai-ichi
Life
Holdings,
Inc.
147,800
3,337,823
368,083
8.0
Fukuoka
Financial
Group,
Inc.
140,200
3,185,042
255,841
5.6
Honda
Motor
Co.
Ltd.
177,700
4,053,161
(283,337)
(6.2)
IHI
Corp.
98,500
2,853,386
(96,210)
(2.1)
Japan
Post
Bank
Co.
Ltd.
474,700
4,069,581
285,028
6.2
Japan
Post
Holdings
Co.
Ltd.
382,000
3,214,132
140,435
3.1
KDDI
Corp.
117,800
3,572,508
(35,456)
(0.8)
Lawson,
Inc.
89,300
3,413,988
86,671
1.9
Mazda
Motor
Corp.
718,800
5,388,163
(373,630)
(8.2)
Mitsubishi
Corp.
134,400
4,363,268
(102,602)
(2.2)
Mitsubishi
HC
Capital,
Inc.
651,600
3,204,928
17,430
0.4
Mitsubishi
Motors
Corp.
1,642,400
6,237,176
(845,879)
(18.5)
Mizuho
Financial
Group,
Inc.
963,300
13,571,254
1,093,281
23.9
NGK
Spark
Plug
Co.
Ltd.
159,900
2,930,500
(217,790)
(4.8)
NH
Foods
Ltd.
112,700
3,146,468
(785)
(0.0)
NIPPON
EXPRESS
HOLDINGS,
Inc.
53,400
3,049,646
(164,770)
(3.6)
Nippon
Steel
Corp.
285,400
4,952,015
67,387
1.5
SCREEN
Holdings
Co.
Ltd.
72,100
4,597,629
(374,216)
(8.2)
Seiko
Epson
Corp.
209,400
3,046,568
(208,355)
(4.5)
Shimamura
Co.
Ltd.
35,900
3,577,584
122,715
2.7
Shin-Etsu
Chemical
Co.
Ltd.
37,300
4,554,786
(343,611)
(7.5)
Subaru
Corp.
384,500
5,821,360
(607,266)
(13.3)
Yamada
Holdings
Co.
Ltd.
907,600
3,221,765
(14,724)
(0.3)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(207,500)
(4,381,464)
51,165
1.1
Ajinomoto
Co.,
Inc.
(136,000)
(4,156,614)
425,759
9.3
Asahi
Intecc
Co.
Ltd.
(181,000)
(2,952,521)
284,655
6.2
Bridgestone
Corp.
(137,500)
(4,868,473)
225,239
4.9
Capcom
Co.
Ltd.
(121,900)
(3,891,109)
56,058
1.2
Chiba
Bank
Ltd.
(The)
(444,800)
(3,245,325)
(310,268)
(6.8)
Daiichi
Sankyo
Co.
Ltd.
(127,400)
(4,100,584)
185,474
4.0
Daikin
Industries
Ltd.
(26,200)
(3,974,896)
279,635
6.1
Denso
Corp.
(105,300)
(5,163,894)
439,565
9.6
Eisai
Co.
Ltd.
(44,800)
(2,954,653)
251,393
5.5
JSR
Corp.
(258,200)
(5,055,884)
387,879
8.5
Kansai
Electric
Power
Co.,
Inc.
(The)
(347,600)
(3,375,497)
(288,210)
(6.3)
Keyence
Corp.
(7,700)
(2,989,485)
229,523
5.0
Kobe
Bussan
Co.
Ltd.
(156,400)
(4,507,637)
(378,362)
(8.3)
Kubota
Corp.
(362,100)
(4,946,808)
423,329
9.2
Kurita
Water
Industries
Ltd.
(83,300)
(3,440,685)
234,764
5.1
Lasertec
Corp.
(29,200)
(4,767,505)
519,876
11.3
Mitsubishi
UFJ
Financial
Group,
Inc.
(929,400)
(6,239,449)
(624,875)
(13.6)
Nidec
Corp.
(97,900)
(5,037,851)
652,140
14.2
Nippon
Paint
Holdings
Co.
Ltd.
(653,000)
(5,128,726)
434,057
9.5
Resona
Holdings,
Inc.
(888,400)
(4,879,464)
(381,901)
(8.3)
Sekisui
House
Ltd.
(170,000)
(3,013,941)
109,326
2.4
T&D
Holdings,
Inc.
(233,300)
(3,339,630)
(371,953)
(8.1)
Toyota
Motor
Corp.
(668,200)
(9,115,949)
541,205
11.8
Unicharm
Corp.
(103,900)
(3,977,939)
147,632
3.2
Yamaha
Corp.
(83,700)
(3,105,924)
193,978
4.2
120
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Yaskawa
Electric
Corp.
(142,100)
(4,533,760)
267,625
5.8
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
ESTR
plus
or
minus
a
specified
spread
(-0.03%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/13/2025
-
01/03/2028
$101,093,372
$973,607
$61,640
$1,035,247
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Air
France-KLM
1,230,170
1,623,164
(23,539)
(2.3)
Amundi
SA
12,826
727,349
(25,207)
(2.4)
Arkema
SA
11,276
1,014,219
(21,904)
(2.1)
Atos
SE
95,035
917,380
(57,644)
(5.6)
BioMerieux
7,585
796,907
9,654
0.9
Bouygues
SA
48,315
1,449,052
(68,692)
(6.6)
Capgemini
SE
5,669
947,722
(88,764)
(8.6)
Carrefour
SA
50,267
840,764
(43,338)
(4.2)
Cie
de
Saint-Gobain
99,570
4,871,049
(117,116)
(11.3)
Dassault
Aviation
SA
11,688
1,982,204
30,236
2.9
Eiffage
SA
36,787
3,618,522
(161,045)
(15.6)
Electricite
de
France
SA
276,570
3,550,702
(1,950)
(0.2)
Engie
SA
167,627
2,398,087
(162,593)
(15.7)
Ipsen
SA
17,988
1,934,801
(38,661)
(3.7)
La
Francaise
des
Jeux
SAEM
32,646
1,313,627
(37,270)
(3.6)
Orange
SA
264,034
2,619,778
(7,490)
(0.7)
Publicis
Groupe
SA
16,263
1,038,918
(20,875)
(2.0)
Renault
SA
20,999
700,708
(68,671)
(6.6)
Rexel
SA
139,919
2,767,386
(2,244)
(0.2)
Rubis
SCA
50,246
1,323,085
28,012
2.7
Sanofi
29,528
2,847,284
42,684
4.1
SCOR
SE
38,234
880,960
28,213
2.7
Sodexo
SA
11,877
1,136,373
(73,674)
(7.1)
Teleperformance
4,341
1,037,783
(3,132)
(0.3)
Thales
SA
12,087
1,544,342
(8,282)
(0.8)
TotalEnergies
SE
46,286
2,905,520
116,528
11.3
Luxembourg
SES
SA
220,782
1,438,128
(114,577)
(11.1)
Singapore
STMicroelectronics
NV
89,111
3,166,654
(318,170)
(30.7)
121
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
France
Accor
SA
(51,074)
(1,274,173)
143,801
13.9
Aeroports
de
Paris
(16,728)
(2,241,078)
147,161
14.2
Air
Liquide
SA
(34,015)
(4,827,934)
148,667
14.4
Airbus
SE
(14,623)
(1,738,711)
8,811
0.9
Alstom
SA
(97,069)
(2,374,951)
83,066
8.0
AXA
SA
(29,377)
(818,312)
41,753
4.0
Bollore
SE
(185,943)
(1,039,124)
11,821
1.1
Bureau
Veritas
SA
(22,290)
(587,431)
8,839
0.9
Cie
Generale
des
Etablissements
Michelin
SCA
(129,694)
(3,612,925)
81,803
7.9
EssilorLuxottica
SA
(19,785)
(3,579,763)
227,135
21.9
Faurecia
SE
(41,280)
(624,788)
696
0.1
Hermes
International
(1,519)
(2,351,188)
129,440
12.5
Legrand
SA
(6,114)
(490,231)
27,834
2.7
L'Oreal
SA
(9,894)
(3,543,019)
215,660
20.8
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(4,464)
(3,248,423)
190,255
18.4
Pernod
Ricard
SA
(6,137)
(1,207,287)
16,514
1.6
Remy
Cointreau
SA
(7,347)
(1,238,804)
21,104
2.0
Sartorius
Stedim
Biotech
(8,907)
(2,894,491)
102,649
9.9
SOITEC
(7,359)
(1,207,881)
82,926
8.0
Worldline
SA
(44,861)
(1,756,867)
218,255
21.1
Luxembourg
Eurofins
Scientific
SE
(7,102)
(509,911)
(5,418)
(0.5)
United
States
Schneider
Electric
SE
(31,892)
(4,478,742)
245,082
23.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-5.35%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/13/2025
-
01/03/2028
$739,935,250
$3,678,473
$728,665
$4,407,138
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Adobe,
Inc.
11,356
3,821,635
58,601
1.3
Ally
Financial,
Inc.
121,538
2,971,604
(93,075)
(2.1)
Alphabet,
Inc.
31,799
2,805,626
(167,195)
(3.8)
American
International
Group,
Inc.
51,483
3,255,785
34,556
0.8
Booking
Holdings,
Inc.
1,806
3,639,596
(8,488)
(0.2)
122
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Citigroup,
Inc.
128,085
5,793,285
16,299
0.4
CNO
Financial
Group,
Inc.
145,855
3,332,787
71,469
1.6
Coca-Cola
Co.
(The)
49,155
3,126,750
23,103
0.5
Douglas
Emmett,
Inc.
181,981
2,853,462
(49,026)
(1.1)
Essex
Property
Trust,
Inc.
12,229
2,591,570
(44,486)
(1.0)
Expedia
Group,
Inc.
55,622
4,872,487
(341,188)
(7.7)
General
Motors
Co.
99,576
3,349,737
(398,374)
(9.0)
Intel
Corp.
152,309
4,025,527
(245,112)
(5.6)
Macy's,
Inc.
134,160
2,770,404
(180,696)
(4.1)
ManpowerGroup,
Inc.
41,314
3,437,738
(88,634)
(2.0)
Meta
Platforms,
Inc.
42,209
5,079,431
187,408
4.3
Microsoft
Corp.
12,689
3,043,076
(71,058)
(1.6)
NorthWestern
Corp.
42,230
2,505,928
68,835
1.6
NRG
Energy,
Inc.
101,450
3,228,139
(69,439)
(1.6)
Schneider
National,
Inc.
106,543
2,493,106
(133,963)
(3.0)
Tyson
Foods,
Inc.
90,324
5,622,669
(133,937)
(3.0)
Wells
Fargo
&
Co.
103,988
4,293,665
(114,260)
(2.6)
Short
Positions
Common
Stocks
United
States
Ameren
Corp.
(40,643)
(3,613,976)
4,765
0.1
American
Tower
Corp.
(12,659)
(2,681,936)
46,028
1.0
Burlington
Stores,
Inc.
(14,716)
(2,983,816)
(110,040)
(2.5)
Charles
Schwab
Corp.
(The)
(39,717)
(3,306,837)
(136,334)
(3.1)
Commerce
Bancshares,
Inc.
(46,721)
(3,180,298)
(52,651)
(1.2)
Equifax,
Inc.
(17,091)
(3,321,807)
58,926
1.3
First
Financial
Bankshares,
Inc.
(93,805)
(3,226,892)
108,264
2.5
Five
Below,
Inc.
(17,095)
(3,023,593)
(1,404)
(0.0)
Freshpet,
Inc.
(51,394)
(2,712,061)
237,372
5.4
Glacier
Bancorp,
Inc.
(59,152)
(2,923,292)
259,692
5.9
International
Business
Machines
Corp.
(22,541)
(3,175,801)
95,957
2.2
JPMorgan
Chase
&
Co.
(30,295)
(4,062,560)
(50,058)
(1.1)
Kohl's
Corp.
(171,967)
(4,342,167)
190,256
4.3
Las
Vegas
Sands
Corp.
(56,302)
(2,706,437)
(39,735)
(0.9)
McCormick
&
Co.,
Inc.
(Non-Voting)
(54,044)
(4,479,707)
126,399
2.9
MKS
Instruments,
Inc.
(32,207)
(2,728,899)
(73,990)
(1.7)
Monster
Beverage
Corp.
(27,074)
(2,748,823)
(40,340)
(0.9)
Morgan
Stanley
(29,792)
(2,532,916)
105,104
2.4
NextEra
Energy,
Inc.
(53,660)
(4,485,976)
50,425
1.1
NVIDIA
Corp.
(34,586)
(5,054,398)
822,871
18.7
Progressive
Corp.
(The)
(20,821)
(2,700,692)
(8,086)
(0.2)
Realty
Income
Corp.
(62,574)
(3,969,069)
64,523
1.5
Regions
Financial
Corp.
(113,988)
(2,457,581)
49,178
1.1
United
Bankshares,
Inc.
(65,935)
(2,669,708)
31,115
0.7
WEC
Energy
Group,
Inc.
(26,234)
(2,459,700)
54,454
1.2
Welltower,
Inc.
(48,498)
(3,179,044)
54,318
1.2
Willis
Towers
Watson
plc
(10,740)
(2,626,789)
3,355
0.1
Wingstop,
Inc.
(22,987)
(3,163,471)
306,441
7.0
123
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.32%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
25-62
months
maturity
ranging
from
01/21/2025
-
12/15/2027
$93,519,813
$957,847
$(167,435)
$790,412
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Air
Canada
81,933
1,173,324
24,835
3.1
ARC
Resources
Ltd.
101,877
1,373,158
60,594
7.7
Atco
Ltd.
64,414
2,016,149
(2,854)
(0.4)
Bank
of
Montreal
16,154
1,463,404
30,662
3.9
Bank
of
Nova
Scotia
(The)
50,086
2,453,992
60,750
7.7
Barrick
Gold
Corp.
55,431
950,187
25,791
3.3
Canadian
Imperial
Bank
of
Commerce
50,336
2,036,117
10,017
1.3
Canadian
Tire
Corp.
Ltd.
9,867
1,031,153
1,385
0.2
Capital
Power
Corp.
33,030
1,130,192
(21,955)
(2.8)
Cogeco
Communications,
Inc.
16,646
944,052
55,517
7.0
Empire
Co.
Ltd.
60,213
1,585,817
4,459
0.6
Fairfax
Financial
Holdings
Ltd.
2,156
1,277,151
9,299
1.2
Finning
International,
Inc.
62,594
1,556,066
45,304
5.7
George
Weston
Ltd.
11,409
1,415,508
(43,732)
(5.5)
iA
Financial
Corp.,
Inc.
16,648
974,658
26,804
3.4
Imperial
Oil
Ltd.
41,309
2,012,060
58,481
7.4
Loblaw
Cos.
Ltd.
11,332
1,001,970
(25,861)
(3.3)
Manulife
Financial
Corp.
116,617
2,079,986
20,671
2.6
MEG
Energy
Corp.
65,596
913,209
91,079
11.5
Nutrien
Ltd.
34,565
2,523,449
(13,716)
(1.7)
Onex
Corp.
23,409
1,128,784
21,265
2.7
Open
Text
Corp.
44,947
1,331,812
33,147
4.2
Suncor
Energy,
Inc.
60,845
1,930,054
105,602
13.4
Teck
Resources
Ltd.
34,152
1,290,663
33,042
4.2
Toromont
Industries
Ltd.
12,880
929,472
3,805
0.5
West
Fraser
Timber
Co.
Ltd.
30,682
2,215,494
(10,829)
(1.4)
Whitecap
Resources,
Inc.
193,698
1,536,423
151,640
19.2
Chile
Lundin
Mining
Corp.
168,322
1,033,055
(11,188)
(1.4)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(31,540)
(1,232,250)
(14,209)
(1.8)
124
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
Agnico
Eagle
Mines
Ltd.
(18,864)
(980,259)
(23,963)
(3.0)
BCE,
Inc.
(35,148)
(1,544,280)
4,673
0.6
Brookfield
Corp.
(40,977)
(1,288,627)
8,171
1.0
Cameco
Corp.
(64,489)
(1,461,719)
(63,817)
(8.1)
Canadian
Pacific
Railway
Ltd.
(35,877)
(2,674,877)
17,753
2.2
Constellation
Software,
Inc.
(559)
(872,750)
2,941
0.4
Dollarama,
Inc.
(19,164)
(1,120,825)
11,557
1.5
Element
Fleet
Management
Corp.
(114,070)
(1,554,351)
(9,662)
(1.2)
Enbridge,
Inc.
(44,977)
(1,757,890)
(38,533)
(4.9)
Franco-Nevada
Corp.
(10,135)
(1,381,549)
(33,908)
(4.3)
GFL
Environmental,
Inc.
(31,467)
(918,911)
(30,909)
(3.9)
Innergex
Renewable
Energy,
Inc.
(72,900)
(872,216)
17,767
2.2
Intact
Financial
Corp.
(8,408)
(1,210,342)
7,079
0.9
Lithium
Americas
Corp.
(63,844)
(1,210,395)
137,131
17.3
Metro,
Inc.
(18,400)
(1,018,795)
21,335
2.7
Rogers
Communications,
Inc.
(41,433)
(1,939,150)
(90,710)
(11.5)
Royal
Bank
of
Canada
(18,863)
(1,773,456)
(7,523)
(1.0)
Shopify,
Inc.
(27,514)
(955,268)
27,974
3.5
Thomson
Reuters
Corp.
(12,128)
(1,383,524)
(14,125)
(1.8)
TMX
Group
Ltd.
(8,661)
(866,868)
(13,049)
(1.7)
United
States
Brookfield
Renewable
Corp.
(38,236)
(1,052,478)
71,728
9.1
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.
25-61
months
maturity
ranging
from
01/21/2025
-
01/03/2028
$51,295,805
$161,197
$484
$161,681
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Italy
A2A
SpA
809,101
1,078,746
(29,432)
(18.2)
Assicurazioni
Generali
SpA
74,173
1,318,983
(5,964)
(3.7)
Azimut
Holding
SpA
17,793
398,133
8,250
5.1
Banco
BPM
SpA
207,117
738,367
20,596
12.7
Buzzi
Unicem
SpA
78,378
1,510,354
2,257
1.4
Enel
SpA
259,717
1,396,796
(7,852)
(4.9)
Italgas
SpA
45,644
253,434
(9,186)
(5.7)
Leonardo
SpA
452,877
3,905,959
195,436
120.9
Pirelli
&
C
SpA
290,228
1,244,079
(6,387)
(4.0)
Poste
Italiane
SpA
94,662
923,567
1,492
0.9
125
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
(continued)
Prysmian
SpA
46,093
1,712,610
(27,127)
(16.8)
Snam
SpA
173,821
842,830
(25,357)
(15.7)
UniCredit
SpA
341,934
4,851,894
208,523
129.0
Unipol
Gruppo
SpA
351,478
1,711,276
(7,762)
(4.8)
United
States
Stellantis
NV
471,057
6,693,891
(95,386)
(59.0)
Tenaris
SA
25,287
443,476
18,231
11.3
Short
Positions
Common
Stocks
Italy
Amplifon
SpA
(15,100)
(450,883)
(15,915)
(9.8)
Banca
Generali
SpA
(23,043)
(790,990)
(13,013)
(8.0)
Brembo
SpA
(573)
(6,408)
(22)
(0.0)
Davide
Campari-Milano
NV
(26,491)
(268,945)
10,431
6.5
DiaSorin
SpA
(8,816)
(1,233,585)
(24,222)
(15.0)
ERG
SpA
(3,957)
(122,641)
1,446
0.9
Ferrari
NV
(19,560)
(4,194,420)
85,404
52.8
FinecoBank
Banca
Fineco
SpA
(210,875)
(3,501,816)
(144,065)
(89.1)
Hera
SpA
(5,651)
(15,242)
60
0.0
Infrastrutture
Wireless
Italiane
SpA
(181,126)
(1,827,238)
(9,308)
(5.8)
Interpump
Group
SpA
(11,105)
(501,359)
7,182
4.4
Intesa
Sanpaolo
SpA
(670,180)
(1,484,724)
(25,186)
(15.6)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(87,003)
(836,018)
(3,787)
(2.3)
Moncler
SpA
(20,780)
(1,104,185)
(20,112)
(12.4)
Nexi
SpA
(202,677)
(1,599,920)
33,756
20.9
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(22,091)
(918,274)
9,173
5.7
Reply
SpA
(48)
(5,506)
84
0.1
Salvatore
Ferragamo
SpA
(324)
(5,728)
95
0.1
Telecom
Italia
SpA
(2,989,322)
(692,781)
(15,038)
(9.3)
Terna
-
Rete
Elettrica
Nazionale
(149,681)
(1,105,424)
45,640
28.2
United
Kingdom
CNH
Industrial
NV
(100,070)
(1,605,323)
(1,738)
(1.1)
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.
25-61
months
maturity
ranging
from
01/21/2025
-
12/02/2027
$11,255,320
$(17,977)
$16,926
$(1,051)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
126
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
196,400
611,860
4,800
(456.7)
Yangzijiang
Shipbuilding
Holdings
Ltd.
1,937,700
1,968,326
(42,576)
4,051.0
Singapore
City
Developments
Ltd.
177,800
1,092,994
7,026
(668.5)
Genting
Singapore
Ltd.
1,150,800
821,278
9,343
(888.9)
Oversea-Chinese
Banking
Corp.
Ltd.
120,600
1,096,982
(2,410)
229.3
Singapore
Airlines
Ltd.
361,800
1,493,825
(12,257)
1,166.2
Singapore
Telecommunications
Ltd.
130,300
249,823
(3,111)
296.0
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(69,100)
(1,749,032)
10,712
(1,019.2)
Keppel
Corp.
Ltd.
(78,400)
(425,177)
2,188
(208.1)
Singapore
Technologies
Engineering
Ltd.
(194,500)
(486,700)
3,310
(314.9)
Venture
Corp.
Ltd.
(98,800)
(1,259,323)
4,998
(475.6)
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
(-7.95%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
25-62
months
maturity
ranging
from
01/22/2025
-
01/03/2028
$363,602,311
$382,150
$285,197
$667,347
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
3M
Co.
29,966
3,593,523
(58,053)
(8.7)
Abbott
Laboratories
20,912
2,295,928
66,918
10.0
Allison
Transmission
Holdings,
Inc.
82,998
3,452,717
(40,841)
(6.1)
APA
Corp.
46,181
2,155,729
131,154
19.7
Arrow
Electronics,
Inc.
27,059
2,829,560
72,248
10.8
Builders
FirstSource,
Inc.
49,042
3,181,845
(35,310)
(5.3)
Cardinal
Health,
Inc.
39,537
3,039,209
(63,238)
(9.5)
Cigna
Corp.
8,342
2,764,038
4,672
0.7
Cisco
Systems,
Inc.
91,234
4,346,388
21,896
3.3
Crane
Holdings
Co.
23,166
2,327,025
73,788
11.1
CVS
Health
Corp.
43,738
4,075,944
(69,270)
(10.4)
EMCOR
Group,
Inc.
23,526
3,484,436
27,439
4.1
127
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Exxon
Mobil
Corp.
19,948
2,200,264
102,333
15.3
Gates
Industrial
Corp.
plc
188,151
2,146,803
86,439
13.0
General
Dynamics
Corp.
16,606
4,120,115
62,288
9.3
Halliburton
Co.
55,604
2,188,017
182,937
27.4
Hewlett
Packard
Enterprise
Co.
131,350
2,096,346
62,044
9.3
Lockheed
Martin
Corp.
4,568
2,222,286
21,470
3.2
Marathon
Petroleum
Corp.
29,546
3,438,859
157,185
23.6
Medtronic
plc
40,343
3,135,458
24,206
3.6
MSC
Industrial
Direct
Co.,
Inc.
29,503
2,410,395
885
0.1
Owens
Corning
41,979
3,580,809
(86,252)
(12.9)
PACCAR,
Inc.
21,967
2,174,074
(3,075)
(0.5)
Pfizer,
Inc.
73,067
3,743,953
(8,768)
(1.3)
Syneos
Health,
Inc.
78,107
2,864,965
183,551
27.5
Textron,
Inc.
42,585
3,015,018
64,729
9.7
Valero
Energy
Corp.
17,939
2,275,742
128,264
19.2
Vishay
Intertechnology,
Inc.
194,246
4,189,886
62,159
9.3
Vontier
Corp.
150,081
2,901,066
124,958
18.7
Short
Positions
Common
Stocks
United
States
agilon
health,
Inc.
(170,404)
(2,750,321)
43,580
6.5
Apple,
Inc.
(17,039)
(2,213,877)
37,982
5.7
Axon
Enterprise,
Inc.
(18,154)
(3,012,293)
29,773
4.5
AZEK
Co.,
Inc.
(The)
(119,535)
(2,428,951)
46,446
7.0
CNX
Resources
Corp.
(174,307)
(2,935,330)
(112,275)
(16.8)
Eli
Lilly
&
Co.
(10,664)
(3,901,318)
(84,791)
(12.7)
HEICO
Corp.
(14,109)
(2,167,707)
(56,806)
(8.5)
Hess
Corp.
(24,780)
(3,514,300)
(202,948)
(30.4)
Honeywell
International,
Inc.
(23,973)
(5,137,414)
(113,223)
(17.0)
ICU
Medical,
Inc.
(15,113)
(2,379,995)
(74,273)
(11.1)
Insulet
Corp.
(8,512)
(2,505,848)
(851)
(0.1)
Northrop
Grumman
Corp.
(5,968)
(3,256,200)
(78,121)
(11.7)
Novanta,
Inc.
(20,784)
(2,823,922)
45,583
6.8
Oak
Street
Health,
Inc.
(104,517)
(2,248,161)
(112,562)
(16.9)
ONEOK,
Inc.
(32,554)
(2,138,798)
(68,789)
(10.3)
Penumbra,
Inc.
(11,668)
(2,595,663)
(31,387)
(4.7)
Plug
Power,
Inc.
(177,599)
(2,196,900)
77,756
11.7
Quanta
Services,
Inc.
(28,410)
(4,048,425)
(5,300)
(0.8)
Repligen
Corp.
(13,022)
(2,204,755)
(83,812)
(12.6)
Teledyne
Technologies,
Inc.
(6,442)
(2,576,220)
(59,566)
(8.9)
Thermo
Fisher
Scientific,
Inc.
(5,005)
(2,756,203)
(102,703)
(15.4)
128
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
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
(-15.00%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-64
months
maturity
05/12/2023
$51,751,980
$135,544
$(7,415)
$128,129
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
97,456
714,024
11,653
9.1
Switzerland
ABB
Ltd.
(Registered)
47,459
1,446,433
53
0.0
Adecco
Group
AG
(Registered)
23,419
770,365
9,276
7.2
Baloise
Holding
AG
(Registered)
1,522
234,703
5,576
4.4
Barry
Callebaut
AG
(Registered)
911
1,798,998
(3,987)
(3.1)
Clariant
AG
(Registered)
41,851
664,654
(3,784)
(3.0)
DKSH
Holding
AG
19,318
1,464,946
(9,632)
(7.5)
Galenica
AG
4,954
404,198
1,567
1.2
Georg
Fischer
AG
(Registered)
5,506
337,310
(23)
(0.0)
Helvetia
Holding
AG
(Registered)
7,994
930,204
25,891
20.2
Julius
Baer
Group
Ltd.
706
41,090
(75)
(0.1)
Kuehne
+
Nagel
International
AG
(Registered)
3,852
895,524
8,603
6.7
Lonza
Group
AG
(Registered)
31
15,217
8
0.0
Novartis
AG
(Registered)
47,982
4,342,249
(23,950)
(18.7)
OC
Oerlikon
Corp.
AG
(Registered)
10,113
66,318
640
0.5
Sonova
Holding
AG
(Registered)
8,386
1,991,665
26,981
21.1
Stadler
Rail
AG
5,916
210,556
954
0.7
Sulzer
AG
(Registered)
2,356
183,275
2,240
1.7
Swatch
Group
AG
(The)
5,134
1,459,189
44,893
35.0
Swisscom
AG
(Registered)
76
41,634
677
0.5
Temenos
AG
(Registered)
34,307
1,887,341
(18,015)
(14.1)
UBS
Group
AG
(Registered)
72,627
1,349,862
33,834
26.4
United
States
Roche
Holding
AG
8,047
2,528,670
(57,561)
(44.9)
Short
Positions
Common
Stocks
Switzerland
Alcon,
Inc.
(1,657)
(113,702)
(1,556)
(1.2)
Bachem
Holding
AG
(26,457)
(2,295,686)
79,908
62.4
Belimo
Holding
AG
(Registered)
(735)
(350,652)
476
0.4
BKW
AG
(3,628)
(496,394)
(653)
(0.5)
Chocoladefabriken
Lindt
&
Spruengli
AG
(8)
(81,520)
309
0.2
Cie
Financiere
Richemont
SA
(Registered)
(12,470)
(1,616,860)
(17,558)
(13.7)
Credit
Suisse
Group
AG
(Registered)
(554,517)
(1,655,482)
11,097
8.7
129
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Dufry
AG
(Registered)
(11,714)
(488,058)
2,596
2.0
EMS-Chemie
Holding
AG
(Registered)
(1,485)
(1,005,792)
(1,561)
(1.2)
Flughafen
Zurich
AG
(Registered)
(1,016)
(157,216)
6,175
4.8
Geberit
AG
(Registered)
(1,229)
(580,187)
(5,196)
(4.1)
Givaudan
SA
(Registered)
(617)
(1,889,814)
15,347
12.0
Idorsia
Ltd.
(24,217)
(351,111)
9,531
7.4
Logitech
International
SA
(Registered)
(25,059)
(1,553,895)
(57,216)
(44.7)
Partners
Group
Holding
AG
(1,029)
(911,163)
2,016
1.6
Schindler
Holding
AG
(1,911)
(359,425)
(990)
(0.8)
SGS
SA
(Registered)
(264)
(614,946)
(5,946)
(4.6)
SIG
Group
AG
(165,845)
(3,623,908)
54,445
42.5
Sika
AG
(Registered)
(8,760)
(2,105,932)
25,638
20.0
Straumann
Holding
AG
(Registered)
(9,271)
(1,063,117)
(28,555)
(22.3)
Swiss
Life
Holding
AG
(Registered)
(10)
(5,155)
(53)
(0.0)
Tecan
Group
AG
(Registered)
(4,549)
(2,036,320)
(45,810)
(35.8)
VAT
Group
AG
(5,402)
(1,482,943)
29,088
22.7
Zurich
Insurance
Group
AG
(1,202)
(574,649)
(3,981)
(3.1)
United
States
Nestle
SA
(Registered)
(17,879)
(2,065,193)
21,544
16.8
Swiss
Re
AG
(5,288)
(494,435)
(9,370)
(7.3)
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
(-1.88%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
16-25
months
maturity
02/21/2024
$27,807,836
$4,635
$(493)
$4,142
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,600
3,581,768
167,246
4,037.8
Carlsberg
A/S
12,774
1,694,432
17,983
434.2
Demant
A/S
20,842
581,194
26,918
649.9
DSV
A/S
3,268
516,792
4,727
114.1
Genmab
A/S
3,070
1,297,980
(36,567)
(882.8)
H
Lundbeck
A/S
39,457
147,757
(3,459)
(83.5)
H
Lundbeck
A/S
14,355
49,346
(1,622)
(39.2)
ISS
A/S
123,035
2,604,202
376
9.1
Pandora
A/S
46,799
3,307,823
(12,057)
(291.1)
130
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(55,173)
(708,564)
(5,837)
(140.9)
Chr
Hansen
Holding
A/S
(6,108)
(439,366)
10,988
265.3
Coloplast
A/S
(18,805)
(2,203,057)
9,105
219.8
GN
Store
Nord
A/S
(22,839)
(527,277)
(33,628)
(811.9)
Novo
Nordisk
A/S
(13,228)
(1,796,568)
(50,026)
(1,207.8)
Novozymes
A/S
(41,465)
(2,103,673)
28,381
685.2
Orsted
A/S
(7,903)
(714,476)
(34)
(0.8)
ROCKWOOL
A/S
(602)
(140,930)
(7,432)
(179.4)
Royal
Unibrew
A/S
(3,920)
(278,596)
(876)
(21.1)
SimCorp
A/S
(4,496)
(309,563)
(8,031)
(193.9)
Tryg
A/S
(87,110)
(2,070,218)
(24,842)
(599.8)
Vestas
Wind
Systems
A/S
(93,733)
(2,734,254)
(76,678)
(1,851.2)
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
ESTR
plus
or
minus
a
specified
spread
(-0.75%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
12-73
months
maturity
12/18/2023
$176,265,494
$334,708
$117,089
$451,797
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Proximus
SADP
189,904
1,833,497
81,596
18.1
Finland
Metso
Outotec
OYJ
160,268
1,650,356
61,721
13.7
Stora
Enso
OYJ
102,362
1,443,254
(3,052)
(0.7)
Germany
Bayer
AG
(Registered)
57,816
2,975,796
(43,320)
(9.6)
Brenntag
SE
27,200
1,734,677
66,070
14.6
Deutsche
Bank
AG
(Registered)
461,237
5,185,028
278,327
61.6
Deutsche
Lufthansa
AG
(Registered)
245,355
2,022,478
(93,105)
(20.6)
E.ON
SE
152,651
1,517,658
31,090
6.9
GEA
Group
AG
48,003
1,952,165
(54,926)
(12.2)
HeidelbergCement
AG
30,391
1,722,108
19,381
4.3
HUGO
BOSS
AG
36,369
2,102,498
102,992
22.8
TeamViewer
AG
128,497
1,648,298
(27,056)
(6.0)
thyssenkrupp
AG
462,565
2,808,947
(71,239)
(15.8)
Luxembourg
ArcelorMittal
SA
134,888
3,558,636
84,090
18.6
131
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Netherlands
Aalberts
NV
36,391
1,417,515
(23,955)
(5.3)
Koninklijke
Philips
NV
100,075
1,505,851
84,334
18.7
NN
Group
NV
81,320
3,325,354
(219,780)
(48.6)
OCI
NV
48,535
1,735,247
(55,672)
(12.3)
Spain
Acerinox
SA
156,000
1,542,111
42,539
9.4
Banco
de
Sabadell
SA
3,974,893
3,736,257
1,284
0.3
Banco
Santander
SA
974,515
2,913,912
77,428
17.1
Industria
de
Diseno
Textil
SA
65,662
1,744,052
18,227
4.0
Mapfre
SA
996,050
1,926,864
18,787
4.2
Red
Electrica
Corp.
SA
135,186
2,350,638
(65,293)
(14.5)
Repsol
SA
432,836
6,889,460
300,918
66.6
Short
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
(25,132)
(1,513,725)
(1,077)
(0.2)
China
Prosus
NV
(38,961)
(2,690,002)
(22,916)
(5.1)
Finland
UPM-Kymmene
OYJ
(56,218)
(2,103,756)
10,317
2.3
Valmet
OYJ
(51,343)
(1,385,989)
(6,490)
(1.4)
Germany
adidas
AG
(21,868)
(2,963,692)
(104,770)
(23.2)
Deutsche
Telekom
AG
(Registered)
(127,136)
(2,529,572)
48,840
10.8
LANXESS
AG
(38,019)
(1,525,578)
(56,215)
(12.4)
Rheinmetall
AG
(7,184)
(1,430,164)
2,370
0.5
SAP
SE
(32,536)
(3,359,041)
85,116
18.8
Sartorius
AG
(Preference)
(8,634)
(3,409,360)
(250,743)
(55.5)
Siemens
AG
(Registered)
(16,751)
(2,309,148)
(4,288)
(0.9)
Siemens
Healthineers
AG
(51,786)
(2,583,171)
39,800
8.8
Symrise
AG
(16,848)
(1,829,778)
52,575
11.6
Zalando
SE
(61,495)
(2,164,921)
(82,144)
(18.2)
Netherlands
Akzo
Nobel
NV
(21,465)
(1,440,357)
8,266
1.8
Argenx
SE
(4,217)
(1,583,087)
22,574
5.0
Koninklijke
DSM
NV
(16,351)
(2,007,815)
28,651
6.3
Koninklijke
KPN
NV
(484,245)
(1,498,863)
11,005
2.4
South
Korea
Delivery
Hero
SE
(41,836)
(2,007,700)
(97,690)
(21.6)
Spain
Acciona
SA
(15,031)
(2,766,180)
38,295
8.5
CaixaBank
SA
(1,001,963)
(3,928,490)
(140,239)
(31.0)
Cellnex
Telecom
SA
(112,416)
(3,728,980)
42,342
9.4
Ferrovial
SA
(122,899)
(3,217,832)
5,395
1.2
Grifols
SA
(160,224)
(1,850,334)
(89,150)
(19.7)
Iberdrola
SA
(204,710)
(2,389,683)
(15,944)
(3.5)
132
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
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.
15-25
months
maturity
02/21/2024
$14,700,580
$10,845
$(5,979)
$4,866
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
40,526
1,779,780
20,450
420.3
Norway
Equinor
ASA
82,482
2,964,426
(80,407)
(1,652.4)
Leroy
Seafood
Group
ASA
223,088
1,249,988
63,592
1,306.9
Norsk
Hydro
ASA
300,269
2,243,720
98,241
2,018.9
Telenor
ASA
35,955
335,927
4,343
89.3
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(16,367)
(1,021,746)
(37,735)
(775.5)
Norway
Gjensidige
Forsikring
ASA
(7,396)
(145,065)
261
5.4
Kongsberg
Gruppen
ASA
(30,465)
(1,296,706)
(28,575)
(587.2)
Mowi
ASA
(12,081)
(205,864)
(8,374)
(172.1)
Orkla
ASA
(9,066)
(65,432)
(154)
(3.2)
Salmar
ASA
(30,340)
(1,189,825)
(61,803)
(1,270.1)
Schibsted
ASA
(24,897)
(472,140)
20,117
413.4
TOMRA
Systems
ASA
(42,383)
(714,843)
71,835
1,476.3
United
Kingdom
Subsea
7
SA
(87,664)
(1,015,118)
(50,946)
(1,047.0)
133
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Continued)
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
(-5.00%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-25
months
maturity
02/21/2024
$45,678,180
$233,613
$3,766
$237,379
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
118,721
1,271,734
46,022
19.4
Guatemala
Millicom
International
Cellular
SA
116,520
1,476,264
(18,076)
(7.6)
Sweden
Assa
Abloy
AB
16,254
349,612
(8,028)
(3.4)
Axfood
AB
3,281
89,967
1,299
0.5
Billerud
AB
31,820
388,161
(35,400)
(14.9)
Boliden
AB
33,823
1,270,466
(4,519)
(1.9)
Elekta
AB
225,598
1,360,797
61,887
26.1
Essity
AB
48,964
1,282,230
(12,860)
(5.4)
Evolution
AB
6,133
597,381
14,635
6.2
Getinge
AB
21,743
452,050
5,283
2.2
H
&
M
Hennes
&
Mauritz
AB
70,865
763,672
2,873
1.2
Saab
AB
25,809
1,017,070
10,913
4.6
Sandvik
AB
42,226
763,091
(104)
(0.0)
Skanska
AB
90,568
1,435,728
17,413
7.3
SSAB
AB
588,611
3,066,110
25,708
10.8
Svenska
Handelsbanken
AB
197,127
1,984,674
30,959
13.0
Swedbank
AB
37,756
642,194
16,235
6.8
Swedish
Orphan
Biovitrum
AB
23,082
477,727
(9,358)
(3.9)
Telefonaktiebolaget
LM
Ericsson
437,409
2,562,960
(4,724)
(2.0)
Trelleborg
AB
4,710
108,795
(4,094)
(1.7)
Volvo
AB
11,365
205,293
(763)
(0.3)
Volvo
Car
AB
126,094
574,159
7,268
3.1
Short
Positions
Common
Stocks
Sweden
Alfa
Laval
AB
(35,704)
(1,032,822)
(5,790)
(2.4)
Atlas
Copco
AB
(124,024)
(1,469,486)
34,275
14.4
Beijer
Ref
AB
(74,924)
(1,057,968)
21,211
8.9
Electrolux
AB
(68,840)
(930,092)
(6,043)
(2.5)
Embracer
Group
AB
(328,260)
(1,490,283)
(430)
(0.2)
Epiroc
AB
(68,777)
(1,252,368)
14,179
6.0
EQT
AB
(104,499)
(2,220,110)
(57,997)
(24.4)
Hexagon
AB
(297,376)
(3,118,015)
95,783
40.4
134
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Hexpol
AB
(27,645)
(294,971)
4,929
2.1
Holmen
AB
(27,683)
(1,100,261)
(2,210)
(0.9)
Husqvarna
AB
(44,509)
(312,606)
(1,132)
(0.5)
Indutrade
AB
(70,314)
(1,425,932)
11,181
4.7
Lifco
AB
(52,930)
(885,958)
(7,704)
(3.2)
Nibe
Industrier
AB
(277,251)
(2,587,800)
26,660
11.2
Securitas
AB
(132,058)
(1,101,952)
(29,712)
(12.5)
Skandinaviska
Enskilda
Banken
AB
(70,532)
(812,026)
(14,770)
(6.2)
SKF
AB
(113,435)
(1,732,553)
7,860
3.3
Svenska
Cellulosa
AB
SCA
(19,981)
(253,053)
1,576
0.7
Sweco
AB
(3,036)
(29,114)
(717)
(0.3)
Tele2
AB
(10,156)
(82,851)
131
0.1
Telia
Co.
AB
(66,019)
(168,696)
609
0.3
United
States
Sinch
AB
(48,605)
(179,128)
(845)
(0.4)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BANA
Cash
$
(464,246)
$
–
$
(464,246)
Investment
Companies
1,597
–
1,597
BARC
Cash
–
14,596,483
14,596,483
BNPP
Cash
35,124,777
–
35,124,777
CITI
Cash
(633,263)
–
(633,263)
Investment
Companies
2,002,673
–
2,002,673
GSIN
Cash
(1,431,560)
–
(1,431,560)
U.S.
Treasury
Bills
38,718,736
–
38,718,736
JPMC
U.S.
Treasury
Bills
31,669,915
–
31,669,915
MSIP
Cash
(557,507)
–
(557,507)
U.S.
Treasury
Bills
19,666,418
–
19,666,418
135
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
5.5%
Auto
Components
-
0.5%
Aisin
Corp.
(Japan)
4,500
119,318
Bridgestone
Corp.
(Japan)
6,800
240,768
Denso
Corp.
(Japan)
4,300
210,871
Koito
Manufacturing
Co.
Ltd.
(Japan)
6,400
95,412
Stanley
Electric
Co.
Ltd.
(Japan)
6,400
121,048
Sumitomo
Electric
Industries
Ltd.
(Japan)
15,100
170,607
958,024
Automobiles
-
1.3%
Honda
Motor
Co.
Ltd.
(Japan)
14,900
339,854
Isuzu
Motors
Ltd.
(Japan)
15,200
176,212
Mazda
Motor
Corp.
(Japan)
21,700
162,664
Nissan
Motor
Co.
Ltd.
(Japan)
44,100
138,008
Subaru
Corp.
(Japan)
11,700
177,139
Suzuki
Motor
Corp.
(Japan)
5,600
179,353
Toyota
Motor
Corp.
(Japan)
68,700
937,243
Yamaha
Motor
Co.
Ltd.
(Japan)
7,800
176,290
2,286,763
Household
Durables
-
1.5%
DR
Horton,
Inc.
(1)
5,302
472,620
Garmin
Ltd.
(1)
2,720
251,029
Leggett
&
Platt,
Inc.
(1)
4,776
153,930
Lennar
Corp.,
Class
A
(1)
4,328
391,684
Mohawk
Industries,
Inc.
(1)*
1,510
154,352
Newell
Brands,
Inc.
(1)
9,573
125,215
NVR,
Inc.
(1)*
56
258,305
PulteGroup,
Inc.
(1)
5,479
249,459
Tempur
Sealy
International,
Inc.
(1)
6,037
207,250
Toll
Brothers,
Inc.
(1)
3,664
182,907
TopBuild
Corp.
(1)*
962
150,543
Whirlpool
Corp.
(1)
1,312
185,596
2,782,890
Oil,
Gas
&
Consumable
Fuels
-
2.2%
Antero
Resources
Corp.
(1)*
2,149
66,597
APA
Corp.
(1)
1,968
91,866
Cheniere
Energy,
Inc.
(1)
717
107,521
Chesapeake
Energy
Corp.
(1)
775
73,137
Chevron
Corp.
(1)
2,653
476,187
ConocoPhillips
(1)
2,035
240,130
Coterra
Energy,
Inc.
(1)
2,829
69,508
Devon
Energy
Corp.
(1)
1,718
105,674
Diamondback
Energy,
Inc.
(1)
686
93,831
DT
Midstream,
Inc.
(1)
1,263
69,793
EOG
Resources,
Inc.
(1)
1,153
149,337
EQT
Corp.
(1)
2,064
69,825
Exxon
Mobil
Corp.
(1)
5,494
605,988
Hess
Corp.
(1)
845
119,838
HF
Sinclair
Corp.
(1)
1,366
70,882
Kinder
Morgan,
Inc.
(1)
5,801
104,882
Marathon
Oil
Corp.
(1)
3,346
90,576
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
2.2%
(continued)
Marathon
Petroleum
Corp.
(1)
1,330
154,799
New
Fortress
Energy,
Inc.
(1)
1,438
61,000
Occidental
Petroleum
Corp.
(1)
1,844
116,154
ONEOK,
Inc.
(1)
1,593
104,660
Ovintiv,
Inc.
(1)
1,639
83,114
PDC
Energy,
Inc.
(1)
1,038
65,892
Phillips
66
(1)
1,263
131,453
Pioneer
Natural
Resources
Co.
(1)
502
114,652
Range
Resources
Corp.
(1)
2,502
62,600
Southwestern
Energy
Co.
(1)*
10,389
60,776
Targa
Resources
Corp.
(1)
1,290
94,815
Valero
Energy
Corp.
(1)
995
126,226
Williams
Cos.,
Inc.
(The)
(1)
3,197
105,181
3,886,894
TOTAL
COMMON
STOCKS
(Cost
$10,263,663)
9,914,571
SHORT-TERM
INVESTMENTS
-
76.5%
INVESTMENT
COMPANIES
-
42.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(a)(b)
3,362,373
3,362,373
Limited
Purpose
Cash
Investment
Fund,
4.08%
(a)
73,299,865
73,270,545
TOTAL
INVESTMENT
COMPANIES
(Cost
$76,615,023)
76,632,918
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
33.9%
U.S.
Treasury
Bills
2.53%,
1/5/2023
(2)(c)
$
4,107,000
4,106,171
3.16%,
2/23/2023
(2)(c)
899,000
893,590
3.29%,
3/2/2023
(2)(c)
586,000
581,998
3.38%,
3/9/2023
(2)(c)
1,659,000
1,646,290
3.53%,
3/16/2023
(2)(c)
3,004,000
2,979,088
3.85%,
3/23/2023
(2)(c)
2,631,000
2,606,512
3.93%,
3/30/2023
(2)(c)(d)
15,324,000
15,167,023
3.93%,
4/6/2023
(2)(c)
8,866,000
8,769,804
4.33%,
4/20/2023
(2)(c)
2,392,000
2,360,814
4.49%,
4/27/2023
(2)(c)
4,071,000
4,013,636
4.54%,
5/4/2023
(2)(c)
804,000
791,864
4.59%,
5/11/2023
(2)(c)(d)
3,824,000
3,762,263
4.63%,
5/25/2023
(2)(c)(d)
2,754,000
2,704,992
4.66%,
6/1/2023
(2)(c)
486,000
476,943
4.68%,
6/8/2023
(2)(c)
253,000
248,055
4.74%,
6/15/2023
(2)(c)
804,000
787,792
4.66%,
6/22/2023
(2)(c)
1,772,000
1,734,086
136
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
33.9%
(continued)
4.71%,
6/29/2023
(2)(c)
$
7,492,000
7,326,147
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$60,977,691)
60,957,068
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$137,592,714)
137,589,986
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
82.0%
(Cost
$147,856,377)
147,504,557
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
18.0%
(e)
32,470,208
NET
ASSETS
-
100.0%
179,974,765
SECTOR
VALUE
%
OF
NET
ASSETS
Consumer
Discretionary
$
6,027,676
3.3
%
Energy
3,886,895
2.2
Investment
Companies
76,632,918
42.6
U.S.
Treasury
Obligations
60,957,068
33.9
Total
Investments
In
Securities
At
Value
147,504,557
82.0
Other
Assets
in
Excess
of
Liabilities
(e)
32,470,208
18.0
Net
Assets
$
179,974,765
100.0%
*
Non-income
producing
security.
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
December
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
%
Quarterly
12/20/2027
4.85
%
USD
2,651,000
$
31,346
$
(50,836)
$
(19,490)
$
31,346
$
(50,836)
$
(19,490)
Credit
default
swap
contracts
outstanding
-
sell
protection
as
of
December
31,
2022
:
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
38.V1
5.00
%
Quarterly
12/20/2027
4.74
%
EUR
3,152,000
$
(26,696)
$
65,529
$
38,833
$
(26,696)
$
65,529
$
38,833
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
December
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SARON
Annual
2.00%
Annual
3/17/2025
CHF
4,200,000
$
59,752
$
(30,191)
$
29,561
Pay
1D
SARON
Annual
2.00%
Annual
3/15/2028
CHF
6,100,000
(43,814)
75,637
31,823
Pay
1D
SOFR
Annual
3.75%
Annual
3/15/2033
USD
2,600,000
62,168
(15,275)
46,893
Pay
1D
TONAR
Annual
0.50%
Annual
6/23/2025
JPY
770,000,000
14,385
–
14,385
137
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
3M
BBR
Qtrly
5.50%
Semi
3/12/2025
NZD
6,900,000
$
21,095
$
(13,583)
$
7,512
Pay
3M
CD_KSDA
Qtrly
4.00%
Qtrly
6/18/2025
KRW
4,900,000,000
9,161
13,973
23,134
Pay
3M
JIBAR
Qtrly
8.50%
Qtrly
3/19/2025
ZAR
77,000,000
11,742
40,321
52,063
Pay
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
6,900,000
1,608
(628)
980
Pay
3M
JIBAR
Qtrly
8.00%
Qtrly
6/18/2025
ZAR
24,300,000
324
1,745
2,069
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/15/2028
SEK
102,000,000
85,813
6,693
92,506
Pay
6M
BBR
Semi
5.00%
Semi
3/10/2033
AUD
5,200,000
109,191
12,679
121,870
Pay
6M
NIBOR
Semi
4.00%
Annual
3/15/2028
NOK
19,000,000
11,522
56,434
67,956
Pay
6M
NIBOR
Semi
3.50%
Annual
6/21/2028
NOK
500,000
647
25
672
Pay
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
44,700,000
(58,980)
153,501
94,521
Pay
6M
NIBOR
Semi
4.00%
Annual
3/16/2033
NOK
68,000,000
151,555
287,501
439,056
Receive
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
2,600,000
(58,951)
86,106
27,155
Receive
1D
SARON
Annual
1.50%
Annual
6/21/2033
CHF
5,200,000
49,147
273,317
322,464
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
19,000,000
250,174
50,030
300,204
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
5,200,000
55,081
100,630
155,711
Receive
1D
SOFR
Annual
3.25%
Annual
6/23/2025
USD
131,500,000
1,495,298
612,863
2,108,161
Receive
1D
SOFR
Annual
3.75%
Annual
6/23/2025
USD
42,700,000
154,501
131,329
285,830
Receive
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
3,600,000
198,905
(35,938)
162,967
Receive
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
18,500,000
160,573
52,306
212,879
Receive
1D
SONIA
Annual
4.00%
Annual
6/23/2025
GBP
24,200,000
167,199
88,093
255,292
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
7,800,000
457,905
108,382
566,287
Receive
1D
SONIA
Annual
3.25%
Annual
6/21/2033
GBP
2,900,000
43,765
87,094
130,859
Receive
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
630,200,000
15,721
12,689
28,410
Receive
1D
TONAR
Annual
0.00%
Annual
6/23/2025
JPY
8,894,400,000
291,474
215,552
507,026
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
850,000,000
(62,131)
94,916
32,785
Receive
1M
TIIE
Monthly
8.50%
Monthly
3/12/2025
MXN
100,000
117
(21)
96
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
131,300,000
296,885
364,839
661,724
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
1,500,000
13,318
9,887
23,205
Receive
3M
BA
Qtrly
3.75%
Semi
6/19/2025
CAD
79,500,000
26,488
395,644
422,132
Receive
3M
BA
Qtrly
3.50%
Semi
3/13/2028
CAD
4,800,000
30,363
(2,910)
27,453
Receive
3M
BA
Qtrly
3.50%
Semi
6/19/2028
CAD
7,100,000
(55,185)
72,593
17,408
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
2,800,000
8,424
37,839
46,263
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
36,000,000
(65,327)
102,984
37,657
Receive
3M
BBR
Qtrly
4.00%
Qtrly
6/12/2025
AUD
30,800,000
(70,933)
121,978
51,045
Receive
3M
BBR
Qtrly
4.50%
Semi
6/14/2028
NZD
4,400,000
(3,623)
40,230
36,607
Receive
3M
BBR
Qtrly
4.50%
Semi
3/16/2033
NZD
1,200,000
(362)
18,801
18,439
Receive
3M
BBR
Qtrly
4.50%
Semi
6/15/2033
NZD
5,100,000
(87,096)
158,726
71,630
Receive
3M
HIBOR
Qtrly
4.00%
Qtrly
6/18/2025
HKD
21,300,000
1,216
12,910
14,126
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
90,700,000
(49,108)
61,169
12,061
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
135,200,000
(20,125)
167,354
147,229
Receive
3M
STIBOR
Qtrly
2.50%
Annual
3/16/2033
SEK
6,400,000
1,052
31,919
32,971
Receive
3M
STIBOR
Qtrly
2.50%
Annual
6/15/2033
SEK
70,000,000
10,503
337,881
348,384
Receive
6M
BBR
Semi
4.00%
Semi
6/08/2028
AUD
600,000
(4,010)
10,319
6,309
Receive
6M
BUBOR
Semi
12.50%
Annual
3/19/2025
HUF
280,000,000
18,527
(9,023)
9,504
Receive
6M
BUBOR
Semi
9.50%
Annual
6/18/2025
HUF
760,500,000
22,206
71,502
93,708
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
150,600,000
4,253,487
1,770,422
6,023,909
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/21/2028
EUR
1,800,000
48,913
18,216
67,129
Receive
6M
EURIBOR
Semi
3.00%
Annual
3/15/2033
EUR
7,000,000
(267,176)
404,342
137,166
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/21/2033
EUR
10,200,000
100,860
609,248
710,108
Receive
6M
PRIBOR
Semi
6.00%
Annual
3/19/2025
CZK
200,000
(20)
30
10
Receive
6M
WIBOR
Semi
6.00%
Annual
6/18/2025
PLN
6,900,000
15,111
(1,187)
13,924
7,879,335
7,271,893
15,151,228
Pay
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
48,600,000
59,882
(238,526)
(178,644)
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
28,100,000
(197,563)
(206,796)
(404,359)
Pay
1D
SARON
Annual
1.50%
Annual
6/23/2025
CHF
30,200,000
155,217
(308,500)
(153,283)
Pay
1D
SARON
Annual
1.00%
Annual
6/23/2025
CHF
22,800,000
(106,212)
(252,623)
(358,835)
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
3,600,000
(53,152)
(21,462)
(74,614)
138
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
1.50%
Annual
6/21/2028
CHF
1,300,000
$
7,490
$
(37,455)
$
(29,965)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2028
USD
3,500,000
(86,350)
(6,462)
(92,812)
Pay
1D
SOFR
Annual
3.25%
Annual
6/21/2028
USD
14,500,000
(71,365)
(152,340)
(223,705)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
2,700,000
(99,947)
(18,856)
(118,803)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2033
USD
26,500,000
(470,939)
(577,613)
(1,048,552)
Pay
1D
SONIA
Annual
3.50%
Annual
3/15/2028
GBP
31,900,000
(2,348,900)
1,360,838
(988,062)
Pay
1D
SONIA
Annual
3.50%
Annual
6/21/2028
GBP
15,600,000
(169,860)
(266,800)
(436,660)
Pay
1D
TONAR
Annual
0.00%
Annual
3/15/2028
JPY
300,000
(29)
(39)
(68)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2028
JPY
1,600,000
78
(172)
(94)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
856,600,000
(66,362)
(182,754)
(249,116)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2033
JPY
1,256,400,000
(149,850)
(247,501)
(397,351)
Pay
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
200,000
(68)
(34)
(102)
Pay
1M
TIIE
Monthly
9.00%
Monthly
6/18/2025
MXN
500,000
90
(118)
(28)
Pay
1M
TIIE
Monthly
8.50%
Monthly
6/18/2025
MXN
3,000,000
(441)
(1,056)
(1,497)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
400,000
(9,684)
(1,563)
(11,247)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
14,000,000
(255,041)
77,432
(177,609)
Pay
3M
BA
Qtrly
3.50%
Semi
6/20/2033
CAD
13,800,000
232,679
(377,830)
(145,151)
Pay
3M
BBR
Qtrly
5.00%
Semi
3/12/2025
NZD
19,400,000
(56,519)
(36,245)
(92,764)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
4,400,000
(40,443)
(6,426)
(46,869)
Pay
3M
BBR
Qtrly
5.00%
Semi
6/11/2025
NZD
19,500,000
43,163
(109,392)
(66,229)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
3/19/2025
KRW
7,100,000
6
(32)
(26)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
6/18/2025
KRW
9,599,300,000
(5,137)
(21,382)
(26,519)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
100,000
32
(136)
(104)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
6/18/2025
SEK
182,400,000
(27,750)
(154,361)
(182,111)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
3/15/2028
SEK
100,000
(17)
(110)
(127)
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
17,500,000
(117,045)
43,255
(73,790)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
1,500,000
(25,512)
(22,293)
(47,805)
Pay
6M
BBR
Semi
4.50%
Semi
6/09/2033
AUD
3,900,000
55,643
(78,506)
(22,863)
Pay
6M
BBR
Semi
4.00%
Semi
6/09/2033
AUD
400,000
(3,737)
(9,555)
(13,292)
Pay
6M
EURIBOR
Semi
3.00%
Annual
3/17/2025
EUR
28,600,000
(14,117)
(257,164)
(271,281)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/23/2025
EUR
63,300,000
(881,353)
(357,270)
(1,238,623)
Pay
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
23,100,000
(2,418,984)
(130,603)
(2,549,587)
Pay
6M
PRIBOR
Semi
5.50%
Annual
3/19/2025
CZK
200,000
(29)
(63)
(92)
Pay
6M
PRIBOR
Semi
5.00%
Annual
6/18/2025
CZK
7,200,000
(2,669)
(1,252)
(3,921)
Receive
1D
SOFR
Annual
4.50%
Annual
3/17/2025
USD
12,200,000
(76,275)
38,960
(37,315)
Receive
3M
BBR
Qtrly
4.50%
Qtrly
3/13/2025
AUD
18,300,000
(93,432)
(6,704)
(100,136)
Receive
3M
BBR
Qtrly
5.00%
Semi
3/15/2028
NZD
100,000
(166)
(223)
(389)
Receive
3M
BBR
Qtrly
5.00%
Semi
3/16/2033
NZD
100,000
(1,736)
780
(956)
Receive
3M
CD_KSDA
Qtrly
4.00%
Qtrly
3/19/2025
KRW
7,800,000
34
(64)
(30)
Receive
3M
HIBOR
Qtrly
4.50%
Qtrly
6/18/2025
HKD
31,500,000
(13,767)
(2,961)
(16,728)
Receive
6M
BBR
Semi
4.50%
Semi
3/09/2028
AUD
30,300,000
(111,914)
(72,631)
(184,545)
Receive
6M
NIBOR
Semi
3.50%
Annual
3/19/2025
NOK
35,000,000
22,857
(27,240)
(4,383)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
757,200,000
(296,183)
(536,260)
(832,443)
Receive
6M
NIBOR
Semi
3.50%
Annual
6/18/2025
NOK
27,600,000
2,399
(8,797)
(6,398)
(7,692,978)
(3,216,905)
(10,909,883)
$
186,357
$
4,054,988
$
4,241,345
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
139
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(a)
Floating
rate
indices
at
December
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
4.30%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
3.43%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
10.77%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.26%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.94%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
4.99%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
7.26%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.98%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
2.70%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.77%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
15.75%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
2.69%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.51%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.26%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.04%
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
HSCEI
January
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
10,140,000
$
4,520
iBovespa
Index
February
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
02/15/2023
BRL
32,775,385
168,454
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
(2,877,120)
31,120
MSCI
Mexico
Net
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
TIIE
plus
or
minus
a
specified
spread
(0.05%)
Monthly
GSIN
03/15/2023
MXN
(2,384,837)
6,913
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
(-0.15%)
Monthly
GSIN
03/15/2023
SGD
(773,713)
9,030
MSCI
Spain
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
(-0.46%)
Monthly
GSIN
03/15/2023
EUR
(292,844)
2,916
222,953
140
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
DTOP
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
03/16/2023
ZAR
254,560
$
(592)
SGX
NIFTY
50
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/25/2023
USD
(510,244)
(5,471)
TAIEX
Index
January
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
TWD
25,443,000
(13,624)
WIG20
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
03/17/2023
PLN
(2,215,520)
(10,893)
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
ILS
2,593,853
(23,585)
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.10%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
AUD
194,753
(4,684)
MSCI
Brazil
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
CDI
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
BRL
1,439,654
(4,071)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.11%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
EUR
1,364,112
(27,946)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(-0.05%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
JPY
183,700,960
(50,834)
141
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
South
Africa
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
JIBAR
plus
or
minus
a
specified
spread
(0.08%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
ZAR
4,348,179
$
(5,660)
(147,360)
$
75,593
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
CAC
40
10
Euro
Index
36
1/2023
EUR
$
2,493,485
$
(91,753)
FTSE
Bursa
Malaysia
KLCI
Index
5
1/2023
MYR
84,677
756
HSCEI
94
1/2023
HKD
4,070,489
1,281
LME
Aluminum
Base
Metal
2
1/2023
USD
117,626
3,675
LME
Aluminum
Base
Metal
3
1/2023
USD
176,414
201
LME
Aluminum
Base
Metal
5
1/2023
USD
293,855
11,228
LME
Aluminum
Base
Metal
7
1/2023
USD
410,989
28,699
LME
Aluminum
Base
Metal
10
1/2023
USD
587,503
7,307
LME
Aluminum
Base
Metal
11
1/2023
USD
646,041
17,719
LME
Aluminum
Base
Metal
12
1/2023
USD
704,853
41,233
LME
Aluminum
Base
Metal
13
1/2023
USD
763,916
(2,333)
LME
Aluminum
Base
Metal
16
1/2023
USD
939,992
23,768
LME
Aluminum
Base
Metal
16
1/2023
USD
939,404
53,792
LME
Copper
Base
Metal
1
1/2023
USD
209,213
21,210
LME
Copper
Base
Metal
1
1/2023
USD
209,157
20,404
LME
Copper
Base
Metal
1
1/2023
USD
209,325
17,880
LME
Copper
Base
Metal
2
1/2023
USD
420,475
47,476
LME
Copper
Base
Metal
3
1/2023
USD
627,976
67,055
LME
Copper
Base
Metal
4
1/2023
USD
837,226
98,412
LME
Copper
Base
Metal
4
1/2023
USD
837,301
67,590
LME
Copper
Base
Metal
4
1/2023
USD
836,551
72,040
LME
Copper
Base
Metal
5
1/2023
USD
1,046,551
100,356
LME
Copper
Base
Metal
7
1/2023
USD
1,465,014
154,521
LME
Copper
Base
Metal
9
1/2023
USD
1,883,252
179,799
LME
Lead
Base
Metal
1
1/2023
USD
57,921
10,718
LME
Lead
Base
Metal
2
1/2023
USD
116,500
14,713
LME
Lead
Base
Metal
2
1/2023
USD
116,425
17,123
LME
Lead
Base
Metal
3
1/2023
USD
175,088
27,568
LME
Lead
Base
Metal
3
1/2023
USD
174,056
28,161
LME
Lead
Base
Metal
3
1/2023
USD
174,469
22,490
LME
Lead
Base
Metal
4
1/2023
USD
231,592
30,232
LME
Lead
Base
Metal
5
1/2023
USD
290,548
37,159
LME
Lead
Base
Metal
6
1/2023
USD
347,594
64,315
LME
Nickel
Base
Metal
1
1/2023
USD
179,406
45,273
LME
Nickel
Base
Metal
1
1/2023
USD
179,423
47,600
LME
Nickel
Base
Metal
1
1/2023
USD
179,352
42,069
142
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
1
1/2023
USD
$
179,406
$
45,543
LME
Nickel
Base
Metal
1
1/2023
USD
179,623
48,412
LME
Nickel
Base
Metal
1
1/2023
USD
179,556
44,999
LME
Nickel
Base
Metal
2
1/2023
USD
358,812
99,606
LME
Nickel
Base
Metal
2
1/2023
USD
360,924
103,255
LME
Nickel
Base
Metal
3
1/2023
USD
538,619
134,060
LME
Nickel
Base
Metal
4
1/2023
USD
717,624
180,042
LME
Zinc
Base
Metal
1
1/2023
USD
74,544
7,048
LME
Zinc
Base
Metal
2
1/2023
USD
149,763
383
LME
Zinc
Base
Metal
3
1/2023
USD
224,569
4,559
LME
Zinc
Base
Metal
3
1/2023
USD
225,131
(2,570)
LME
Zinc
Base
Metal
11
1/2023
USD
822,869
21,290
RBOB
Gasoline
15
1/2023
USD
1,561,329
230,185
SGX
FTSE
Taiwan
Index
6
1/2023
USD
298,020
(1,632)
WTI
Crude
Oil
47
1/2023
USD
3,772,220
73,574
100
oz
Gold
12
2/2023
USD
2,191,440
33,045
LME
Aluminum
Base
Metal
2
2/2023
USD
117,939
1,433
LME
Aluminum
Base
Metal
2
2/2023
USD
117,976
2,495
LME
Aluminum
Base
Metal
5
2/2023
USD
295,833
(3,713)
LME
Aluminum
Base
Metal
6
2/2023
USD
354,564
(7,307)
LME
Aluminum
Base
Metal
6
2/2023
USD
353,927
(1,329)
LME
Aluminum
Base
Metal
7
2/2023
USD
412,914
(13,983)
LME
Aluminum
Base
Metal
11
2/2023
USD
649,855
(3,949)
LME
Aluminum
Base
Metal
14
2/2023
USD
826,179
(15,614)
LME
Copper
Base
Metal
1
2/2023
USD
209,350
7,622
LME
Copper
Base
Metal
2
2/2023
USD
418,713
5,957
LME
Copper
Base
Metal
2
2/2023
USD
418,763
(5,893)
LME
Copper
Base
Metal
2
2/2023
USD
418,775
(2,443)
LME
Copper
Base
Metal
3
2/2023
USD
627,946
53,843
LME
Copper
Base
Metal
3
2/2023
USD
627,938
54,401
LME
Copper
Base
Metal
5
2/2023
USD
1,047,120
50,319
LME
Copper
Base
Metal
6
2/2023
USD
1,256,027
53,261
LME
Copper
Base
Metal
7
2/2023
USD
1,465,900
70,606
LME
Copper
Base
Metal
9
2/2023
USD
1,885,388
64,979
LME
Copper
Base
Metal
23
2/2023
USD
4,815,625
136,827
LME
Lead
Base
Metal
2
2/2023
USD
115,718
9,324
LME
Lead
Base
Metal
2
2/2023
USD
115,675
5,326
LME
Lead
Base
Metal
2
2/2023
USD
115,738
14,982
LME
Lead
Base
Metal
3
2/2023
USD
173,523
9,377
LME
Lead
Base
Metal
3
2/2023
USD
173,498
12,881
LME
Lead
Base
Metal
3
2/2023
USD
173,588
15,180
LME
Lead
Base
Metal
4
2/2023
USD
231,425
28,315
LME
Lead
Base
Metal
4
2/2023
USD
231,500
32,890
LME
Lead
Base
Metal
4
2/2023
USD
231,350
14,402
LME
Lead
Base
Metal
4
2/2023
USD
231,375
28,715
LME
Lead
Base
Metal
5
2/2023
USD
289,224
17,765
LME
Nickel
Base
Metal
1
2/2023
USD
179,913
24,563
LME
Nickel
Base
Metal
1
2/2023
USD
179,892
29,804
LME
Nickel
Base
Metal
1
2/2023
USD
179,744
19,761
LME
Nickel
Base
Metal
1
2/2023
USD
179,790
2,395
LME
Nickel
Base
Metal
1
2/2023
USD
179,663
38,300
LME
Nickel
Base
Metal
3
2/2023
USD
539,424
85,627
LME
Nickel
Base
Metal
3
2/2023
USD
539,197
102,263
LME
Nickel
Base
Metal
4
2/2023
USD
720,156
81,426
LME
Zinc
Base
Metal
1
2/2023
USD
74,488
1,753
LME
Zinc
Base
Metal
3
2/2023
USD
223,718
(3,841)
143
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
4
2/2023
USD
$
297,975
$
1,963
LME
Zinc
Base
Metal
5
2/2023
USD
372,849
9,772
LME
Zinc
Base
Metal
5
2/2023
USD
372,863
(10,777)
LME
Zinc
Base
Metal
6
2/2023
USD
446,900
2,307
LME
Zinc
Base
Metal
7
2/2023
USD
521,661
(8,472)
LME
Zinc
Base
Metal
7
2/2023
USD
521,948
10,844
Low
Sulphur
Gasoil
29
2/2023
USD
2,627,400
150,090
Cocoa
54
3/2023
USD
1,404,000
51,250
EURO
STOXX
50
Index
26
3/2023
EUR
1,053,430
(46,356)
Euro-Bund
236
3/2023
EUR
33,548,759
(1,709,741)
FTSE
100
Index
12
3/2023
GBP
1,083,122
1,394
FTSE/JSE
Top
40
Index
34
3/2023
ZAR
1,355,097
(31,121)
FTSE/MIB
Index
136
3/2023
EUR
17,257,195
(555,372)
Japan
10
Year
Bond
16
3/2023
JPY
17,704,358
(119,695)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,438
22
LME
Aluminum
Base
Metal
1
3/2023
USD
59,296
(1,857)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,300
(827)
LME
Aluminum
Base
Metal
5
3/2023
USD
296,813
(1,765)
LME
Aluminum
Base
Metal
5
3/2023
USD
296,688
(1,202)
LME
Aluminum
Base
Metal
11
3/2023
USD
651,629
(35,930)
LME
Aluminum
Base
Metal
12
3/2023
USD
711,159
(40,936)
LME
Aluminum
Base
Metal
13
3/2023
USD
769,480
(35,593)
LME
Aluminum
Base
Metal
13
3/2023
USD
770,263
(39,715)
LME
Aluminum
Base
Metal
17
3/2023
USD
1,007,964
(29,738)
LME
Aluminum
Base
Metal
71
3/2023
USD
4,210,318
(178,149)
LME
Copper
Base
Metal
1
3/2023
USD
209,419
(3,665)
LME
Copper
Base
Metal
1
3/2023
USD
209,294
1,741
LME
Copper
Base
Metal
1
3/2023
USD
209,300
(1,203)
LME
Copper
Base
Metal
1
3/2023
USD
209,269
(121)
LME
Copper
Base
Metal
2
3/2023
USD
418,513
807
LME
Copper
Base
Metal
3
3/2023
USD
628,463
1,705
LME
Copper
Base
Metal
3
3/2023
USD
627,806
2,083
LME
Copper
Base
Metal
5
3/2023
USD
1,046,938
18,512
LME
Copper
Base
Metal
5
3/2023
USD
1,047,250
(8,738)
LME
Copper
Base
Metal
6
3/2023
USD
1,256,925
(2,041)
LME
Copper
Base
Metal
9
3/2023
USD
1,885,388
(136)
LME
Lead
Base
Metal
1
3/2023
USD
57,479
3,477
LME
Lead
Base
Metal
1
3/2023
USD
57,789
2,111
LME
Lead
Base
Metal
1
3/2023
USD
57,750
3,163
LME
Lead
Base
Metal
2
3/2023
USD
115,607
4,457
LME
Lead
Base
Metal
3
3/2023
USD
172,013
3,810
LME
Lead
Base
Metal
3
3/2023
USD
173,453
9,134
LME
Lead
Base
Metal
4
3/2023
USD
230,975
14,614
LME
Lead
Base
Metal
6
3/2023
USD
344,025
5,140
LME
Lead
Base
Metal
34
3/2023
USD
1,963,075
90,914
LME
Nickel
Base
Metal
1
3/2023
USD
180,263
10,701
LME
Nickel
Base
Metal
1
3/2023
USD
180,258
3,225
LME
Nickel
Base
Metal
1
3/2023
USD
180,186
6,393
LME
Nickel
Base
Metal
1
3/2023
USD
180,279
(5,064)
LME
Nickel
Base
Metal
2
3/2023
USD
360,507
9,621
LME
Nickel
Base
Metal
2
3/2023
USD
360,414
(20,442)
LME
Nickel
Base
Metal
2
3/2023
USD
360,162
29,579
LME
Nickel
Base
Metal
3
3/2023
USD
540,768
16,000
LME
Nickel
Base
Metal
6
3/2023
USD
1,081,620
120,588
LME
Zinc
Base
Metal
1
3/2023
USD
74,483
(4,307)
LME
Zinc
Base
Metal
1
3/2023
USD
74,428
(7,048)
144
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
1
3/2023
USD
$
74,450
$
(6,189)
LME
Zinc
Base
Metal
3
3/2023
USD
223,425
(18,794)
LME
Zinc
Base
Metal
4
3/2023
USD
297,380
852
LME
Zinc
Base
Metal
7
3/2023
USD
520,433
(981)
LME
Zinc
Base
Metal
8
3/2023
USD
594,900
(14,274)
LME
Zinc
Base
Metal
8
3/2023
USD
595,550
(57,841)
LME
Zinc
Base
Metal
62
3/2023
USD
4,613,575
(168,419)
Nikkei
225
Index
15
3/2023
JPY
2,980,799
(178,779)
S&P
Midcap
400
E-Mini
Index
172
3/2023
USD
42,012,720
(1,028,596)
S&P/TSX
60
Index
12
3/2023
CAD
2,073,678
907
SET50
Index
612
3/2023
THB
3,559,796
651
Soybean
Meal
132
3/2023
USD
6,217,200
179,455
Soybean
Oil
12
3/2023
USD
461,304
(14,886)
SPI
200
Index
159
3/2023
AUD
18,923,000
(217,960)
TOPIX
Index
155
3/2023
JPY
22,339,416
(450,011)
U.S.
Treasury
10
Year
Note
328
3/2023
USD
36,782,125
(643,766)
(1,562,969)
Short
Contracts
Amsterdam
Exchange
Index
(44)
1/2023
EUR
(6,496,475)
340,148
Brent
Crude
Oil
(62)
1/2023
USD
(5,326,420)
(241,306)
Hang
Seng
Index
(39)
1/2023
HKD
(4,975,274)
(36,699)
IBEX
35
Index
(41)
1/2023
EUR
(3,596,351)
14,283
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,626)
(2,631)
LME
Aluminum
Base
Metal
(3)
1/2023
USD
(176,414)
(2,947)
LME
Aluminum
Base
Metal
(5)
1/2023
USD
(293,855)
(12,739)
LME
Aluminum
Base
Metal
(7)
1/2023
USD
(410,989)
(30,187)
LME
Aluminum
Base
Metal
(10)
1/2023
USD
(587,503)
394
LME
Aluminum
Base
Metal
(11)
1/2023
USD
(646,041)
(16,318)
LME
Aluminum
Base
Metal
(12)
1/2023
USD
(704,853)
(39,335)
LME
Aluminum
Base
Metal
(13)
1/2023
USD
(763,916)
5,233
LME
Aluminum
Base
Metal
(16)
1/2023
USD
(939,404)
(50,897)
LME
Aluminum
Base
Metal
(16)
1/2023
USD
(939,992)
(23,539)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,213)
(21,082)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,325)
(18,478)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,157)
(20,952)
LME
Copper
Base
Metal
(2)
1/2023
USD
(420,475)
(47,766)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,976)
(62,484)
LME
Copper
Base
Metal
(4)
1/2023
USD
(837,226)
(99,236)
LME
Copper
Base
Metal
(4)
1/2023
USD
(836,551)
(71,887)
LME
Copper
Base
Metal
(4)
1/2023
USD
(837,301)
(64,867)
LME
Copper
Base
Metal
(5)
1/2023
USD
(1,046,551)
(106,789)
LME
Copper
Base
Metal
(7)
1/2023
USD
(1,465,014)
(160,283)
LME
Copper
Base
Metal
(9)
1/2023
USD
(1,883,252)
(172,850)
LME
Lead
Base
Metal
(1)
1/2023
USD
(57,921)
(10,598)
LME
Lead
Base
Metal
(2)
1/2023
USD
(116,425)
(17,280)
LME
Lead
Base
Metal
(2)
1/2023
USD
(116,500)
(14,755)
LME
Lead
Base
Metal
(3)
1/2023
USD
(175,088)
(28,845)
LME
Lead
Base
Metal
(3)
1/2023
USD
(174,056)
(29,500)
LME
Lead
Base
Metal
(3)
1/2023
USD
(174,469)
(21,796)
LME
Lead
Base
Metal
(4)
1/2023
USD
(231,592)
(33,393)
LME
Lead
Base
Metal
(5)
1/2023
USD
(290,548)
(36,924)
LME
Lead
Base
Metal
(6)
1/2023
USD
(347,594)
(64,559)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,406)
(45,119)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,406)
(46,051)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,556)
(46,179)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,423)
(47,933)
145
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(1)
1/2023
USD
$
(179,623)
$
(48,411)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,352)
(43,996)
LME
Nickel
Base
Metal
(2)
1/2023
USD
(360,924)
(108,054)
LME
Nickel
Base
Metal
(2)
1/2023
USD
(358,812)
(98,944)
LME
Nickel
Base
Metal
(3)
1/2023
USD
(538,619)
(133,945)
LME
Nickel
Base
Metal
(4)
1/2023
USD
(717,624)
(187,195)
LME
Zinc
Base
Metal
(1)
1/2023
USD
(74,544)
(6,672)
LME
Zinc
Base
Metal
(2)
1/2023
USD
(149,763)
182
LME
Zinc
Base
Metal
(3)
1/2023
USD
(225,131)
3,160
LME
Zinc
Base
Metal
(3)
1/2023
USD
(224,569)
(5,578)
LME
Zinc
Base
Metal
(11)
1/2023
USD
(822,869)
(12,717)
MSCI
Singapore
Index
(198)
1/2023
SGD
(4,295,125)
1,809
Natural
Gas
(39)
1/2023
USD
(1,745,250)
14,943
NY
Harbor
ULSD
(47)
1/2023
USD
(6,504,330)
(811,476)
OMXS30
Index
(72)
1/2023
SEK
(1,408,971)
16,137
SGX
FTSE
China
A50
Index
(36)
1/2023
USD
(471,024)
(964)
SGX
NIFTY
50
Index
(179)
1/2023
USD
(6,523,834)
(37,117)
Lean
Hogs
(13)
2/2023
USD
(456,040)
4,622
Live
Cattle
(47)
2/2023
USD
(2,968,520)
(58,997)
LME
Aluminum
Base
Metal
(2)
2/2023
USD
(117,976)
(2,577)
LME
Aluminum
Base
Metal
(2)
2/2023
USD
(117,939)
(1,068)
LME
Aluminum
Base
Metal
(5)
2/2023
USD
(295,833)
3,178
LME
Aluminum
Base
Metal
(6)
2/2023
USD
(353,927)
(891)
LME
Aluminum
Base
Metal
(6)
2/2023
USD
(354,564)
3,093
LME
Aluminum
Base
Metal
(7)
2/2023
USD
(412,914)
18,115
LME
Aluminum
Base
Metal
(11)
2/2023
USD
(649,855)
10,112
LME
Aluminum
Base
Metal
(14)
2/2023
USD
(826,179)
11,193
LME
Copper
Base
Metal
(1)
2/2023
USD
(209,350)
(7,694)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,713)
(4,010)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,775)
1,058
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,763)
2,090
LME
Copper
Base
Metal
(3)
2/2023
USD
(627,946)
(50,804)
LME
Copper
Base
Metal
(3)
2/2023
USD
(627,938)
(58,546)
LME
Copper
Base
Metal
(5)
2/2023
USD
(1,047,120)
(44,720)
LME
Copper
Base
Metal
(6)
2/2023
USD
(1,256,027)
(61,151)
LME
Copper
Base
Metal
(7)
2/2023
USD
(1,465,900)
(75,611)
LME
Copper
Base
Metal
(9)
2/2023
USD
(1,885,388)
(72,514)
LME
Copper
Base
Metal
(23)
2/2023
USD
(4,815,625)
(148,691)
LME
Lead
Base
Metal
(2)
2/2023
USD
(115,675)
(5,730)
LME
Lead
Base
Metal
(2)
2/2023
USD
(115,738)
(15,018)
LME
Lead
Base
Metal
(2)
2/2023
USD
(115,718)
(9,858)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,588)
(15,274)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,498)
(12,255)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,523)
(7,781)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,375)
(26,684)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,350)
(14,661)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,500)
(34,339)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,425)
(30,038)
LME
Lead
Base
Metal
(5)
2/2023
USD
(289,224)
(17,465)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,663)
(39,451)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,744)
(18,743)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,790)
(5,463)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,913)
(25,626)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,892)
(28,095)
LME
Nickel
Base
Metal
(3)
2/2023
USD
(539,197)
(107,386)
LME
Nickel
Base
Metal
(3)
2/2023
USD
(539,424)
(90,603)
146
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(4)
2/2023
USD
$
(720,156)
$
(91,308)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,488)
(1,400)
LME
Zinc
Base
Metal
(3)
2/2023
USD
(223,718)
1,930
LME
Zinc
Base
Metal
(4)
2/2023
USD
(297,975)
(2,609)
LME
Zinc
Base
Metal
(5)
2/2023
USD
(372,863)
12,205
LME
Zinc
Base
Metal
(5)
2/2023
USD
(372,849)
(12,091)
LME
Zinc
Base
Metal
(6)
2/2023
USD
(446,900)
(3,973)
LME
Zinc
Base
Metal
(7)
2/2023
USD
(521,948)
(14,670)
LME
Zinc
Base
Metal
(7)
2/2023
USD
(521,661)
5,072
Sugar
No.
11
(36)
2/2023
USD
(808,013)
5,607
Australia
10
Year
Bond
(9)
3/2023
AUD
(708,583)
32,394
Australia
3
Year
Bond
(792)
3/2023
AUD
(57,572,484)
642,143
Canada
10
Year
Bond
(371)
3/2023
CAD
(33,543,442)
914,850
Coffee
'C'
(39)
3/2023
USD
(2,446,763)
(79,865)
Corn
(74)
3/2023
USD
(2,510,450)
(61,919)
Cotton
No.
2
(7)
3/2023
USD
(291,795)
(1,261)
DAX
Index
(50)
3/2023
EUR
(18,716,818)
522,695
DJIA
CBOT
E-Mini
Index
(26)
3/2023
USD
(4,327,050)
69,168
Euro-Bobl
(24)
3/2023
EUR
(2,971,655)
79,847
Euro-BTP
(21)
3/2023
EUR
(2,444,640)
163,719
Euro-Buxl
(28)
3/2023
EUR
(4,042,105)
697,231
Euro-OAT
(13)
3/2023
EUR
(1,770,792)
78,610
Euro-Schatz
(702)
3/2023
EUR
(79,177,150)
751,990
KOSPI
200
Index
(77)
3/2023
KRW
(4,458,175)
254,088
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,438)
351
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,296)
1,773
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,300)
776
LME
Aluminum
Base
Metal
(5)
3/2023
USD
(296,813)
1,891
LME
Aluminum
Base
Metal
(5)
3/2023
USD
(296,688)
1,281
LME
Aluminum
Base
Metal
(11)
3/2023
USD
(651,629)
33,067
LME
Aluminum
Base
Metal
(12)
3/2023
USD
(711,159)
38,056
LME
Aluminum
Base
Metal
(13)
3/2023
USD
(770,263)
39,299
LME
Aluminum
Base
Metal
(13)
3/2023
USD
(769,480)
37,957
LME
Aluminum
Base
Metal
(17)
3/2023
USD
(1,007,964)
27,086
LME
Aluminum
Base
Metal
(123)
3/2023
USD
(7,293,931)
183,089
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,294)
(2,237)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,300)
866
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,419)
2,854
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,269)
(91)
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,513)
(927)
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,806)
(3,089)
LME
Copper
Base
Metal
(3)
3/2023
USD
(628,463)
196
LME
Copper
Base
Metal
(5)
3/2023
USD
(1,047,250)
9,479
LME
Copper
Base
Metal
(6)
3/2023
USD
(1,256,925)
4,383
LME
Copper
Base
Metal
(9)
3/2023
USD
(1,885,388)
(7,382)
LME
Copper
Base
Metal
(39)
3/2023
USD
(8,166,113)
(43,372)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,479)
(3,385)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,750)
(3,231)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,789)
(2,336)
LME
Lead
Base
Metal
(2)
3/2023
USD
(115,607)
(4,437)
LME
Lead
Base
Metal
(3)
3/2023
USD
(173,453)
(9,586)
LME
Lead
Base
Metal
(3)
3/2023
USD
(172,013)
(3,645)
LME
Lead
Base
Metal
(4)
3/2023
USD
(230,975)
(14,399)
LME
Lead
Base
Metal
(6)
3/2023
USD
(344,025)
209
LME
Lead
Base
Metal
(7)
3/2023
USD
(404,163)
(24,302)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,186)
(5,881)
147
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(1)
3/2023
USD
$
(180,279)
$
3,236
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,263)
(9,822)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,258)
(2,840)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,507)
(14,835)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,414)
15,169
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,162)
(29,568)
LME
Nickel
Base
Metal
(3)
3/2023
USD
(540,768)
(15,819)
LME
Nickel
Base
Metal
(15)
3/2023
USD
(2,704,050)
(110,881)
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,483)
4,251
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,428)
7,819
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,450)
6,422
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,425)
18,441
LME
Zinc
Base
Metal
(4)
3/2023
USD
(297,380)
(2,292)
LME
Zinc
Base
Metal
(6)
3/2023
USD
(446,475)
(1,648)
LME
Zinc
Base
Metal
(7)
3/2023
USD
(520,433)
3,672
LME
Zinc
Base
Metal
(8)
3/2023
USD
(595,550)
56,127
LME
Zinc
Base
Metal
(8)
3/2023
USD
(594,900)
13,202
Long
Gilt
(13)
3/2023
GBP
(1,569,749)
8,306
MEX
BOLSA
Index
(3)
3/2023
MXN
(75,187)
3,887
MSCI
EAFE
E-Mini
Index
(1)
3/2023
USD
(97,470)
266
MSCI
Emerging
Markets
E-Mini
Index
(19)
3/2023
USD
(911,430)
9,353
NASDAQ
100
E-Mini
Index
(7)
3/2023
USD
(1,543,115)
85,688
Russell
2000
E-Mini
Index
(209)
3/2023
USD
(18,505,905)
552,971
S&P
500
E-Mini
Index
(411)
3/2023
USD
(79,343,549)
2,715,261
Silver
(20)
3/2023
USD
(2,404,000)
(228,897)
Soybean
(12)
3/2023
USD
(914,400)
(1,690)
U.S.
Treasury
2
Year
Note
(689)
3/2023
USD
(141,244,999)
319,638
U.S.
Treasury
5
Year
Note
(64)
3/2023
USD
(6,901,000)
24,393
U.S.
Treasury
Long
Bond
(19)
3/2023
USD
(2,369,063)
19,089
U.S.
Treasury
Ultra
Bond
(12)
3/2023
USD
(1,602,375)
21,859
Wheat
(136)
3/2023
USD
(5,385,600)
220,407
Platinum
(9)
10/2023
JPY
(150,183)
(3,111)
Platinum
(1)
12/2023
JPY
(16,698)
(64)
4,021,489
$
2,458,520
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
26,906,004
USD
18,116,810
CITI
3/15/2023
$
254,385
AUD
26,905,994
USD
18,115,820
JPMC
3/15/2023
255,368
BRL
13,032,355
USD
2,388,504
CITI
**
3/15/2023
47,295
BRL
13,032,349
USD
2,388,506
JPMC
**
3/15/2023
47,292
CAD
3,700,000
USD
2,724,169
CITI
3/15/2023
9,959
CAD
3,700,000
USD
2,724,155
JPMC
3/15/2023
9,974
CHF
2,521,000
USD
2,724,259
CITI
3/15/2023
23,217
CHF
2,521,000
USD
2,724,248
JPMC
3/15/2023
23,227
CLP
5,909,539,164
USD
6,446,595
CITI
**
3/15/2023
456,657
CLP
5,909,539,151
USD
6,446,586
JPMC
**
3/15/2023
456,666
CNY
29,945,410
USD
4,317,049
CITI
**
3/15/2023
33,673
CNY
29,945,406
USD
4,317,027
JPMC
**
3/15/2023
33,695
148
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
COP
1,913,355,170
USD
382,577
CITI
**
3/15/2023
$
6,781
COP
1,913,355,168
USD
382,578
JPMC
**
3/15/2023
6,781
CZK
500,000
USD
20,915
CITI
3/15/2023
1,126
CZK
500,000
USD
20,915
JPMC
3/15/2023
1,126
EUR
20,026,881
USD
21,102,885
CITI
3/15/2023
438,776
EUR
20,026,877
USD
21,102,816
JPMC
3/15/2023
438,840
GBP
1,999,450
USD
2,391,497
CITI
3/15/2023
29,982
GBP
1,999,443
USD
2,391,492
JPMC
3/15/2023
29,979
IDR
57,091,938,002
USD
3,626,297
CITI
**
3/15/2023
58,645
IDR
57,091,937,998
USD
3,626,296
JPMC
**
3/15/2023
58,646
INR
20,000,000
USD
240,197
CITI
**
3/15/2023
425
INR
20,000,000
USD
240,196
JPMC
**
3/15/2023
426
JPY
3,131,930,469
USD
23,250,771
CITI
3/15/2023
840,649
JPY
3,131,930,459
USD
23,250,714
JPMC
3/15/2023
840,706
KRW
6,754,318,542
USD
5,232,369
CITI
**
3/15/2023
139,895
KRW
6,754,318,538
USD
5,232,349
JPMC
**
3/15/2023
139,914
MXN
80,083,503
USD
4,045,411
CITI
3/15/2023
11,620
MXN
80,083,501
USD
4,045,410
JPMC
3/15/2023
11,621
NOK
73,736,889
USD
7,425,978
CITI
3/15/2023
123,578
NOK
73,736,884
USD
7,425,963
JPMC
3/15/2023
123,592
NZD
4,376,077
USD
2,770,569
CITI
3/15/2023
10,015
NZD
4,376,072
USD
2,770,553
JPMC
3/15/2023
10,028
PHP
25,000,000
USD
445,925
CITI
**
3/15/2023
2,114
PHP
25,000,000
USD
445,923
JPMC
**
3/15/2023
2,116
PLN
14,607,003
USD
3,221,337
CITI
3/15/2023
92,705
PLN
14,606,997
USD
3,221,329
JPMC
3/15/2023
92,712
SEK
7,461,003
USD
706,838
CITI
3/15/2023
11,055
SEK
7,461,002
USD
706,839
JPMC
3/15/2023
11,054
SGD
3,422,130
USD
2,502,723
CITI
3/15/2023
55,145
SGD
3,422,124
USD
2,502,717
JPMC
3/15/2023
55,146
TWD
331,632
USD
10,800
CITI
**
3/15/2023
72
TWD
331,632
USD
10,801
JPMC
**
3/15/2023
69
USD
1,615,097
AUD
2,361,500
CITI
3/15/2023
2,685
USD
1,615,105
AUD
2,361,500
JPMC
3/15/2023
2,693
USD
10,625,294
CAD
14,224,242
CITI
3/15/2023
114,239
USD
10,625,292
CAD
14,224,240
JPMC
3/15/2023
114,239
USD
904,362
CHF
829,000
CITI
3/15/2023
888
USD
904,367
CHF
829,000
JPMC
3/15/2023
893
USD
1,153,268
COP
5,650,000,000
CITI
**
3/15/2023
3,521
USD
1,153,270
COP
5,650,000,000
JPMC
**
3/15/2023
3,523
USD
5,007,071
GBP
4,082,500
CITI
3/15/2023
62,867
USD
5,007,096
GBP
4,082,500
JPMC
3/15/2023
62,891
USD
5,239,698
ILS
17,938,299
CITI
3/15/2023
116,709
USD
5,239,690
ILS
17,938,295
JPMC
3/15/2023
116,702
USD
914,071
INR
75,000,000
CITI
**
3/15/2023
11,741
USD
914,076
INR
75,000,000
JPMC
**
3/15/2023
11,745
USD
4,149,895
MXN
81,582,227
CITI
3/15/2023
16,939
USD
4,149,916
MXN
81,582,227
JPMC
3/15/2023
16,959
USD
455,591
NZD
714,000
CITI
3/15/2023
1,911
USD
455,593
NZD
714,000
JPMC
3/15/2023
1,914
USD
863,043
PHP
48,005,857
CITI
**
3/15/2023
2,702
USD
863,047
PHP
48,005,854
JPMC
**
3/15/2023
2,706
USD
2,816,746
SEK
29,000,000
CITI
3/15/2023
26,386
USD
2,816,760
SEK
29,000,000
JPMC
3/15/2023
26,400
USD
3,630,165
TWD
109,744,379
CITI
**
3/15/2023
32,529
USD
3,630,178
TWD
109,744,373
JPMC
**
3/15/2023
32,541
ZAR
155,943,246
USD
8,983,410
CITI
3/15/2023
139,343
ZAR
155,943,236
USD
8,983,400
JPMC
3/15/2023
139,352
149
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
HUF
3,552,439,013
USD
8,872,328
CITI
3/16/2023
$
459,990
HUF
3,552,439,004
USD
8,873,412
JPMC
3/16/2023
458,905
Total
unrealized
appreciation
7,280,660
AUD
7,138,103
USD
4,877,134
CITI
3/15/2023
(3,297)
AUD
7,138,098
USD
4,877,106
JPMC
3/15/2023
(3,272)
BRL
24,323,004
USD
4,570,733
CITI
**
3/15/2023
(24,666)
BRL
24,323,003
USD
4,570,710
JPMC
**
3/15/2023
(24,643)
CAD
2,985,865
USD
2,233,891
CITI
3/15/2023
(27,475)
CAD
2,985,864
USD
2,233,893
JPMC
3/15/2023
(27,479)
COP
21,263,355,172
USD
4,358,246
CITI
**
3/15/2023
(31,260)
COP
21,263,355,170
USD
4,358,226
JPMC
**
3/15/2023
(31,241)
GBP
3,592,449
USD
4,384,957
CITI
3/15/2023
(34,240)
GBP
3,592,444
USD
4,384,932
JPMC
3/15/2023
(34,222)
INR
517,379,875
USD
6,284,627
CITI
**
3/15/2023
(59,992)
INR
517,379,861
USD
6,285,065
JPMC
**
3/15/2023
(60,430)
MXN
99,083,503
USD
5,054,184
CITI
3/15/2023
(34,612)
MXN
99,083,503
USD
5,054,170
JPMC
3/15/2023
(34,599)
NOK
11,289,482
USD
1,161,559
CITI
3/15/2023
(5,684)
NOK
11,289,480
USD
1,161,553
JPMC
3/15/2023
(5,678)
NZD
434,526
USD
276,463
CITI
3/15/2023
(363)
NZD
434,526
USD
276,462
JPMC
3/15/2023
(362)
PHP
5,000,000
USD
90,205
CITI
**
3/15/2023
(597)
PHP
5,000,000
USD
90,204
JPMC
**
3/15/2023
(596)
SEK
10,500,000
USD
1,026,796
CITI
3/15/2023
(16,493)
SEK
10,500,000
USD
1,026,791
JPMC
3/15/2023
(16,488)
TWD
994,896
USD
32,982
CITI
**
3/15/2023
(368)
TWD
994,896
USD
32,980
JPMC
**
3/15/2023
(364)
USD
1,231,336
AUD
1,827,000
CITI
3/15/2023
(16,125)
USD
1,231,340
AUD
1,827,000
JPMC
3/15/2023
(16,121)
USD
1,146,574
BRL
6,212,000
CITI
**
3/15/2023
(14,474)
USD
1,146,574
BRL
6,212,000
JPMC
**
3/15/2023
(14,473)
USD
3,822,576
CAD
5,202,000
CITI
3/15/2023
(21,460)
USD
3,822,596
CAD
5,202,000
JPMC
3/15/2023
(21,442)
USD
17,452,819
CHF
16,279,995
CITI
3/15/2023
(289,698)
USD
17,452,846
CHF
16,279,984
JPMC
3/15/2023
(289,661)
USD
1,926,284
CLP
1,750,000,000
CITI
**
3/15/2023
(117,985)
USD
1,926,289
CLP
1,750,000,000
JPMC
**
3/15/2023
(117,980)
USD
10,913,833
CNY
76,619,182
CITI
**
3/15/2023
(218,050)
USD
10,913,857
CNY
76,619,173
JPMC
**
3/15/2023
(218,025)
USD
1,132,002
COP
5,650,000,000
CITI
**
3/15/2023
(17,745)
USD
1,132,000
COP
5,650,000,000
JPMC
**
3/15/2023
(17,746)
USD
12,803,871
CZK
300,761,308
CITI
3/15/2023
(454,275)
USD
12,803,892
CZK
300,761,300
JPMC
3/15/2023
(454,253)
USD
9,161,890
EUR
8,667,503
CITI
3/15/2023
(161,200)
USD
9,161,912
EUR
8,667,497
JPMC
3/15/2023
(161,172)
USD
738,035
GBP
611,500
CITI
3/15/2023
(2,536)
USD
738,039
GBP
611,500
JPMC
3/15/2023
(2,532)
USD
1,934,405
IDR
30,500,000,000
CITI
**
3/15/2023
(34,187)
USD
1,934,403
IDR
30,500,000,000
JPMC
**
3/15/2023
(34,189)
USD
807,592
ILS
2,828,000
CITI
3/15/2023
(55)
USD
807,596
ILS
2,828,000
JPMC
3/15/2023
(50)
USD
781,415
INR
65,000,000
CITI
**
3/15/2023
(606)
USD
781,418
INR
65,000,000
JPMC
**
3/15/2023
(601)
USD
15,202,438
JPY
2,057,003,504
CITI
3/15/2023
(620,434)
USD
15,202,480
JPY
2,057,003,498
JPMC
3/15/2023
(620,392)
USD
7,800,296
KRW
10,286,188,003
CITI
**
3/15/2023
(381,153)
USD
7,800,315
KRW
10,286,187,997
JPMC
**
3/15/2023
(381,134)
USD
5,718,389
MXN
114,082,227
CITI
3/15/2023
(61,018)
150
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
5,718,406
MXN
114,082,226
JPMC
3/15/2023
$
(61,000)
USD
2,385,250
NOK
24,000,001
CITI
3/15/2023
(71,991)
USD
2,385,252
NOK
23,999,999
JPMC
3/15/2023
(71,989)
USD
8,660,218
NZD
13,830,000
CITI
3/15/2023
(127,442)
USD
8,659,846
NZD
13,830,000
JPMC
3/15/2023
(127,815)
USD
2,561,251
PHP
146,585,646
CITI
**
3/15/2023
(65,797)
USD
2,560,884
PHP
146,585,643
JPMC
**
3/15/2023
(66,163)
USD
1,430,582
PLN
6,410,000
CITI
3/15/2023
(23,722)
USD
1,430,589
PLN
6,410,000
JPMC
3/15/2023
(23,714)
USD
9,781,310
SEK
102,762,000
CITI
3/15/2023
(106,378)
USD
9,781,306
SEK
102,762,000
JPMC
3/15/2023
(106,382)
USD
1,443,583
SGD
1,966,000
CITI
3/15/2023
(25,902)
USD
1,443,585
SGD
1,966,000
JPMC
3/15/2023
(25,900)
USD
1,870,390
TWD
57,248,124
CITI
**
3/15/2023
(6,316)
USD
1,870,394
TWD
57,248,124
JPMC
**
3/15/2023
(6,311)
USD
2,465,505
ZAR
43,000,000
CITI
3/15/2023
(50,016)
USD
2,465,511
ZAR
43,000,000
JPMC
3/15/2023
(50,010)
USD
339,877
HUF
137,299,502
CITI
3/16/2023
(20,811)
USD
339,879
HUF
137,299,498
JPMC
3/16/2023
(20,809)
Total
unrealized
depreciation
(6,297,661)
Net
unrealized
appreciation
$
982,999
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
9,889,663
$
9,889,663
CITG
Cash
–
229,494
229,494
CITI
Cash
288,988
–
288,988
Investment
Companies
1,109,961
–
1,109,961
GSCO
Cash
–
862,351
862,351
GSIN
U.S.
Treasury
Bills
531,662
–
531,662
JPMC
Investment
Companies
2,252,412
–
2,252,412
JPMS
Cash
–
191,293
191,293
MLIN
Cash
(9,782)
–
(9,782)
MSCL
Cash
–
2,158,392
2,158,392
151
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
786,124
$
786,124
GSIN
Cash
31,316
–
31,316
JPPC
Cash
–
1,323,054
1,323,054
MSCL
Cash
–
3,935,016
3,935,016
152
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
For
the
period
ended
December
31,
2022,
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
-
94.9%
INVESTMENT
COMPANIES
-
23.0%
BlackRock
Liquidity
Funds
Treasury
Trust
Fund
Portfolio,
Institutional
Shares,
3.94%
(1)(a)
40,858,885
40,858,885
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(1)(a)(b)
8,786,613
8,786,613
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)(c)
304,637,706
304,515,851
TOTAL
INVESTMENT
COMPANIES
(Cost
$354,088,334)
354,161,349
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
71.9%
U.S.
Treasury
Bills
2.95%,
1/19/2023
(d)
$
22,218,000
22,182,254
2.96%,
1/26/2023
(d)
12,144,700
12,114,591
2.89%,
2/2/2023
(d)
120,493,000
120,110,702
3.07%,
2/16/2023
(d)
3,808,000
3,789,063
3.16%,
2/23/2023
(d)
2,742,000
2,725,498
3.29%,
3/2/2023
(d)
12,952,000
12,863,547
3.38%,
3/9/2023
(d)
87,876,000
87,202,745
3.53%,
3/16/2023
(d)(e)
107,271,000
106,381,402
3.85%,
3/23/2023
(d)(e)
88,838,000
88,011,144
3.93%,
3/30/2023
(d)(e)
121,432,000
120,188,069
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
71.9%
(continued)
3.93%,
4/6/2023
(d)(e)
$
150,575,000
148,941,261
4.33%,
4/20/2023
(d)
122,205,000
120,611,734
4.49%,
4/27/2023
(d)(e)
174,781,000
172,318,182
4.54%,
5/4/2023
(d)(e)
5,643,000
5,557,823
4.59%,
5/11/2023
(d)(e)
60,402,000
59,426,834
4.63%,
5/25/2023
(d)
3,434,000
3,372,891
4.66%,
6/22/2023
(d)
12,561,000
12,292,240
4.71%,
6/29/2023
(d)(e)
8,813,000
8,617,904
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$1,107,351,331)
1,106,707,884
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$1,461,439,665)
1,460,869,233
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.9%
(Cost
$1,461,439,665)
1,460,869,233
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
5.1%
(f)
79,214,131
NET
ASSETS
-
100.0%
1,540,083,364
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
354,161,349
23.0
U.S.
Treasury
Obligations
1,106,707,884
71.9
Total
Investments
In
Securities
At
Value
$
1,460,869,233
94.9
Other
Assets
in
Excess
of
Liabilities
(f)
79,214,131
5.1
Net
Assets
$
1,540,083,364
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
12/31/2022
Shares
Held
At
12/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
19.8%
INVESTMENT
COMPANIES
-
19.8%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)
(Cost
$304,442,836)
$176,421,846
$4,540,771,621
$(4,412,710,458)
$(40,629)
$73,471
$304,515,851
304,637,706
$4,513,468
$–
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
153
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
December
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
Emerging
Markets
Index
Series
38.V1
1.00
%
Quarterly
12/20/2027
2.39
%
USD
912,000
$
70,840
$
(17,809)
$
53,031
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
Quarterly
12/20/2027
4.85
USD
1,464,000
17,324
(28,087)
(10,763)
Markit
CDX
North
America
Investment
Grade
Index
Series
39.V1
1.00
Quarterly
12/20/2027
0.82
USD
5,012,000
(25,240)
(16,274)
(41,514)
$
62,924
$
(62,170)
$
754
Credit
default
swap
contracts
outstanding
-
sell
protection
as
of
December
31,
2022
:
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
38.V1
5.00
%
Quarterly
12/20/2027
4.74
%
EUR
655,000
$
6,498
$
1,572
$
8,070
iTraxx
Europe
Main
Index
Series
38.V1
1.00
Quarterly
12/20/2027
0.90
EUR
256,000
1,631
(371)
1,260
$
8,129
$
1,201
$
9,330
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
December
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SOFR
Annual
4.00%
Annual
3/15/2028
USD
41,500,000
$
674,657
$
(110,077)
$
564,580
Pay
1D
SOFR
Annual
3.75%
Annual
3/15/2033
USD
7,600,000
148,910
(11,838)
137,072
Pay
6M
NIBOR
Semi
3.50%
Annual
6/21/2028
NOK
814,300,000
1,028,012
66,971
1,094,983
Receive
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
16,100,000
56,174
3,007
59,181
Receive
1D
SARON
Annual
1.50%
Annual
6/23/2025
CHF
57,300,000
(281,408)
572,240
290,832
Receive
1D
SARON
Annual
1.00%
Annual
6/23/2025
CHF
4,300,000
20,978
46,697
67,675
Receive
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
2,600,000
11,929
15,225
27,154
Receive
1D
SARON
Annual
1.50%
Annual
3/15/2033
CHF
300,000
9,440
8,440
17,880
Receive
1D
SARON
Annual
1.50%
Annual
6/21/2033
CHF
13,000,000
94,108
712,052
806,160
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
102,600,000
1,187,020
1,885,278
3,072,298
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
40,900,000
739,977
(93,746)
646,231
Receive
1D
SOFR
Annual
3.25%
Annual
6/23/2025
USD
368,600,000
4,268,527
1,640,738
5,909,265
Receive
1D
SOFR
Annual
3.00%
Annual
6/21/2033
USD
33,600,000
113,992
1,216,969
1,330,961
Receive
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
96,000,000
1,019,769
84,899
1,104,668
Receive
1D
SONIA
Annual
4.00%
Annual
6/23/2025
GBP
390,000,000
1,842,734
2,271,473
4,114,207
Receive
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
3,700,000
386,497
243,394
629,891
Receive
1D
SONIA
Annual
3.25%
Annual
6/21/2033
GBP
15,800,000
(23,841)
736,797
712,956
Receive
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
10,040,000,000
226,508
226,112
452,620
Receive
1D
TONAR
Annual
0.00%
Annual
6/23/2025
JPY
40,334,000,000
1,288,385
1,010,853
2,299,238
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
240,000,000
(12,934)
22,191
9,257
Receive
1D
TONAR
Annual
0.50%
Annual
6/21/2028
JPY
13,506,200,000
(671,509)
1,460,104
788,595
Receive
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
200,000
(10)
112
102
154
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1M
TIIE
Monthly
9.00%
Monthly
6/18/2025
MXN
368,400,000
$
28,472
$
(7,568)
$
20,904
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
3,300,000
2,087
14,545
16,632
Receive
3M
BA
Qtrly
3.75%
Semi
6/19/2025
CAD
434,500,000
471,821
1,835,303
2,307,124
Receive
3M
BA
Qtrly
3.50%
Semi
3/13/2028
CAD
600,000
7,799
(4,367)
3,432
Receive
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
200,000
(2,990)
5,528
2,538
Receive
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
500,000
12,422
1,637
14,059
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
1,400,000
4,985
18,146
23,131
Receive
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
500,000
(531)
5,857
5,326
Receive
3M
BBR
Qtrly
5.00%
Semi
3/12/2025
NZD
2,000,000
(3,737)
13,301
9,564
Receive
3M
BBR
Qtrly
5.00%
Semi
6/11/2025
NZD
158,000,000
(436,045)
972,665
536,620
Receive
3M
BBR
Qtrly
4.00%
Qtrly
6/12/2025
AUD
72,700,000
(323,763)
444,250
120,487
Receive
3M
BBR
Qtrly
4.50%
Semi
3/16/2033
NZD
600,000
(800)
10,019
9,219
Receive
3M
BBR
Qtrly
4.00%
Semi
3/16/2033
NZD
300,000
2,253
9,835
12,088
Receive
3M
BBR
Qtrly
4.50%
Semi
6/15/2033
NZD
35,400,000
(604,921)
1,102,113
497,192
Receive
3M
BBR
Qtrly
4.00%
Semi
6/15/2033
NZD
100,000
1,527
2,342
3,869
Receive
3M
CD_KSDA
Qtrly
3.50%
Qtrly
6/18/2025
KRW
2,759,800,000
3,125
4,500
7,625
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
1,500,000
534
1,036
1,570
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
100,000,000
(25,575)
38,873
13,298
Receive
3M
STIBOR
Qtrly
3.00%
Annual
6/18/2025
SEK
1,343,100,000
213,725
1,127,253
1,340,978
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
11,200,000
(2,515)
14,711
12,196
Receive
3M
STIBOR
Qtrly
2.50%
Annual
6/15/2033
SEK
278,700,000
148,351
1,238,718
1,387,069
Receive
6M
BBR
Semi
4.00%
Semi
6/08/2028
AUD
20,800,000
(102,771)
321,461
218,690
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
127,700,000
2,349,940
2,757,984
5,107,924
Receive
6M
EURIBOR
Semi
3.00%
Annual
3/17/2025
EUR
10,900,000
12,217
91,173
103,390
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/23/2025
EUR
608,600,000
4,813,026
7,124,685
11,937,711
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
26,100,000
1,280,425
1,600,276
2,880,701
Receive
6M
NIBOR
Semi
3.00%
Annual
6/15/2033
NOK
233,800,000
205,076
285,560
490,636
20,182,052
31,037,727
51,219,779
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
8,700,000
(142,125)
(38,193)
(180,318)
Pay
1D
SARON
Annual
1.50%
Annual
6/21/2028
CHF
49,100,000
262,317
(1,394,088)
(1,131,771)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2028
USD
208,200,000
(2,131,466)
(3,389,529)
(5,520,995)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
10,100,000
(581,605)
137,195
(444,410)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
26,300,000
(1,012,486)
(1,232,452)
(2,244,938)
Pay
1D
SONIA
Annual
3.50%
Annual
6/21/2028
GBP
218,300,000
(1,213,482)
(4,896,963)
(6,110,445)
Pay
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
11,300,000
(615,536)
(204,853)
(820,389)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
1,394,900,000
(66,846)
(338,818)
(405,664)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2033
JPY
15,491,900,000
(1,803,191)
(3,103,323)
(4,906,514)
Pay
3M
BA
Qtrly
3.50%
Semi
6/19/2028
CAD
129,100,000
1,303,047
(1,619,571)
(316,524)
Pay
3M
BA
Qtrly
3.50%
Semi
6/20/2033
CAD
21,600,000
453,687
(680,879)
(227,192)
Pay
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
53,800,000
96,121
(152,398)
(56,277)
Pay
3M
BBR
Qtrly
4.50%
Semi
6/14/2028
NZD
129,500,000
819,910
(1,897,301)
(1,077,391)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
6/21/2028
SEK
1,039,800,000
1,219,401
(2,423,856)
(1,204,455)
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
5,200,000
65,238
(87,164)
(21,926)
Pay
6M
BBR
Semi
4.00%
Semi
6/09/2033
AUD
28,100,000
(23,334)
(910,446)
(933,780)
Pay
6M
EURIBOR
Semi
1.75%
Annual
3/15/2028
EUR
100,400,000
(3,487,067)
(3,933,370)
(7,420,437)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/21/2028
EUR
173,300,000
(973,896)
(5,489,154)
(6,463,050)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/21/2033
EUR
40,600,000
(547,072)
(2,086,512)
(2,633,584)
Receive
1D
SARON
Annual
2.00%
Annual
3/17/2025
CHF
1,100,000
(11,251)
3,508
(7,743)
Receive
1D
SOFR
Annual
4.50%
Annual
3/17/2025
USD
141,000,000
(707,943)
276,675
(431,268)
Receive
1D
TONAR
Annual
0.50%
Annual
6/23/2025
JPY
1,330,000,000
(22,655)
(2,642)
(25,297)
Receive
1M
TIIE
Monthly
10.00%
Monthly
3/12/2025
MXN
745,000,000
(521,814)
224,440
(297,374)
Receive
3M
BBR
Qtrly
5.50%
Semi
3/12/2025
NZD
10,300,000
(25,500)
14,286
(11,214)
Receive
3M
BBR
Qtrly
5.00%
Semi
3/16/2033
NZD
500,000
(6,069)
1,289
(4,780)
Receive
3M
HIBOR
Qtrly
5.00%
Qtrly
3/19/2025
HKD
13,700,000
838
(20,372)
(19,534)
Receive
3M
HIBOR
Qtrly
4.50%
Qtrly
6/18/2025
HKD
128,000,000
(58,500)
(9,475)
(67,975)
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
681,000,000
115,599
(212,277)
(96,678)
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
6/18/2025
ZAR
144,200,000
(4,899)
(7,376)
(12,275)
155
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/15/2028
SEK
3,000,000
$
(4,044)
$
1,323
$
(2,721)
Receive
6M
BBR
Semi
4.50%
Semi
3/09/2028
AUD
45,100,000
(609,620)
334,934
(274,686)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
31,700,000
(12,754)
(22,096)
(34,850)
Receive
6M
NIBOR
Semi
3.50%
Annual
6/18/2025
NOK
1,138,200,000
295,319
(559,200)
(263,881)
Receive
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
5,700,000
1,801
(13,854)
(12,053)
Receive
6M
PRIBOR
Semi
6.50%
Annual
3/19/2025
CZK
102,000,000
3,045
(40,187)
(37,142)
Receive
6M
WIBOR
Semi
8.00%
Annual
3/19/2025
PLN
23,500,000
16,490
(135,363)
(118,873)
(9,930,342)
(33,908,062)
(43,838,404)
$
10,251,710
$
(2,870,335)
$
7,381,375
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
December
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
4.30%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
3.43%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
10.77%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.26%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.94%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
4.99%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
7.26%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.98%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
2.70%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.77%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
2.69%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.51%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.26%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.04%
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
KOSPI
200
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
03/09/2023
KRW
(73,212,500)
$
3,464
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
(30,369,600)
893,683
156
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
TAIEX
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
TWD
(25,443,000)
$
13,243
910,390
Hang
Seng
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(57,753,500)
(38,863)
HSCEI
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
01/30/2023
HKD
(10,140,000)
(5,410)
HSCEI
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(2,366,000)
(450)
iBovespa
Index
February
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
02/15/2023
BRL
(77,772,100)
(485,107)
(529,830)
$
380,560
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
3
1/2023
USD
$
176,313
$
6,737
LME
Aluminum
Base
Metal
21
1/2023
USD
1,234,895
1,410
LME
Aluminum
Base
Metal
21
1/2023
USD
1,232,968
70,556
LME
Aluminum
Base
Metal
28
1/2023
USD
1,662,675
138,010
LME
Aluminum
Base
Metal
31
1/2023
USD
1,823,195
56,970
LME
Aluminum
Base
Metal
39
1/2023
USD
2,289,797
159,892
LME
Aluminum
Base
Metal
67
1/2023
USD
3,936,267
48,956
LME
Aluminum
Base
Metal
89
1/2023
USD
5,227,059
143,367
LME
Aluminum
Base
Metal
95
1/2023
USD
5,580,086
326,126
LME
Aluminum
Base
Metal
138
1/2023
USD
8,109,260
(3,164)
LME
Aluminum
Base
Metal
138
1/2023
USD
8,107,431
226,482
LME
Copper
Base
Metal
3
1/2023
USD
627,976
53,641
LME
Copper
Base
Metal
3
1/2023
USD
627,582
59,877
LME
Copper
Base
Metal
5
1/2023
USD
1,051,188
119,249
LME
Copper
Base
Metal
5
1/2023
USD
1,046,626
110,254
LME
Copper
Base
Metal
6
1/2023
USD
1,255,839
147,618
LME
Copper
Base
Metal
8
1/2023
USD
1,674,602
135,181
LME
Copper
Base
Metal
8
1/2023
USD
1,674,482
160,570
LME
Copper
Base
Metal
11
1/2023
USD
2,301,340
231,481
LME
Copper
Base
Metal
15
1/2023
USD
3,139,316
331,116
LME
Copper
Base
Metal
40
1/2023
USD
8,365,510
720,399
LME
Copper
Base
Metal
54
1/2023
USD
11,299,514
1,114,324
LME
Lead
Base
Metal
12
1/2023
USD
694,776
99,775
LME
Lead
Base
Metal
17
1/2023
USD
990,250
125,062
LME
Lead
Base
Metal
18
1/2023
USD
1,047,825
154,104
LME
Lead
Base
Metal
24
1/2023
USD
1,389,300
265,129
157
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
30
1/2023
USD
$
1,750,875
$
275,683
LME
Lead
Base
Metal
34
1/2023
USD
1,973,275
276,161
LME
Lead
Base
Metal
34
1/2023
USD
1,969,697
364,807
LME
Lead
Base
Metal
35
1/2023
USD
2,035,469
258,431
LME
Lead
Base
Metal
38
1/2023
USD
2,200,989
429,814
LME
Lead
Base
Metal
43
1/2023
USD
2,494,806
396,068
LME
Lead
Base
Metal
59
1/2023
USD
3,442,650
402,554
LME
Nickel
Base
Metal
1
1/2023
USD
179,556
47,194
LME
Nickel
Base
Metal
2
1/2023
USD
358,812
100,026
LME
Nickel
Base
Metal
3
1/2023
USD
538,218
136,629
LME
Nickel
Base
Metal
5
1/2023
USD
897,030
226,365
LME
Nickel
Base
Metal
5
1/2023
USD
896,670
236,655
LME
Nickel
Base
Metal
6
1/2023
USD
1,082,772
322,578
LME
Nickel
Base
Metal
8
1/2023
USD
1,436,318
357,494
LME
Nickel
Base
Metal
8
1/2023
USD
1,435,382
380,798
LME
Nickel
Base
Metal
19
1/2023
USD
3,408,714
855,838
LME
Zinc
Base
Metal
3
1/2023
USD
224,969
(9,370)
LME
Zinc
Base
Metal
7
1/2023
USD
523,644
8,236
LME
Zinc
Base
Metal
9
1/2023
USD
671,261
13,504
LME
Zinc
Base
Metal
12
1/2023
USD
896,232
7,619
NY
Harbor
ULSD
48
1/2023
USD
6,642,720
833,529
RBOB
Gasoline
45
1/2023
USD
4,683,987
701,336
100
oz
Gold
42
2/2023
USD
7,670,040
51,785
Ethanol
15
2/2023
USD
1,466,325
107,809
LME
Aluminum
Base
Metal
1
2/2023
USD
59,167
(511)
LME
Aluminum
Base
Metal
8
2/2023
USD
472,002
(12,069)
LME
Aluminum
Base
Metal
19
2/2023
USD
1,122,786
(23,138)
LME
Aluminum
Base
Metal
23
2/2023
USD
1,358,788
(8,256)
LME
Aluminum
Base
Metal
26
2/2023
USD
1,533,682
(51,935)
LME
Aluminum
Base
Metal
27
2/2023
USD
1,592,669
(61,532)
LME
Aluminum
Base
Metal
36
2/2023
USD
2,123,559
(64,341)
LME
Aluminum
Base
Metal
90
2/2023
USD
5,311,148
(74,056)
LME
Copper
Base
Metal
2
2/2023
USD
418,763
(5,118)
LME
Copper
Base
Metal
5
2/2023
USD
1,047,438
37,424
LME
Copper
Base
Metal
8
2/2023
USD
1,674,800
62,891
LME
Copper
Base
Metal
9
2/2023
USD
1,884,728
90,880
LME
Copper
Base
Metal
12
2/2023
USD
2,512,650
(11,032)
LME
Copper
Base
Metal
13
2/2023
USD
2,721,391
113,482
LME
Copper
Base
Metal
14
2/2023
USD
2,931,075
1,407
LME
Copper
Base
Metal
16
2/2023
USD
3,349,700
(28,342)
LME
Copper
Base
Metal
16
2/2023
USD
3,349,004
283,364
LME
Copper
Base
Metal
18
2/2023
USD
3,769,632
178,360
LME
Copper
Base
Metal
20
2/2023
USD
4,186,305
358,950
LME
Copper
Base
Metal
93
2/2023
USD
19,471,875
430,793
LME
Lead
Base
Metal
4
2/2023
USD
231,475
33,671
LME
Lead
Base
Metal
4
2/2023
USD
231,425
28,315
LME
Lead
Base
Metal
4
2/2023
USD
231,330
17,174
LME
Lead
Base
Metal
10
2/2023
USD
578,448
39,547
LME
Lead
Base
Metal
17
2/2023
USD
983,297
53,136
LME
Lead
Base
Metal
20
2/2023
USD
1,156,750
72,009
LME
Lead
Base
Metal
23
2/2023
USD
1,330,263
61,253
LME
Lead
Base
Metal
32
2/2023
USD
1,850,800
144,385
LME
Nickel
Base
Metal
4
2/2023
USD
719,196
36,458
LME
Nickel
Base
Metal
4
2/2023
USD
719,160
56,226
LME
Nickel
Base
Metal
8
2/2023
USD
1,440,312
154,928
LME
Nickel
Base
Metal
11
2/2023
USD
1,977,182
217,375
158
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
13
2/2023
USD
$
2,337,270
$
31,140
LME
Zinc
Base
Metal
5
2/2023
USD
372,469
2,454
LME
Zinc
Base
Metal
8
2/2023
USD
596,184
(3,690)
LME
Zinc
Base
Metal
11
2/2023
USD
820,204
17,154
LME
Zinc
Base
Metal
20
2/2023
USD
1,490,990
118,385
LME
Zinc
Base
Metal
21
2/2023
USD
1,565,965
41,203
LME
Zinc
Base
Metal
34
2/2023
USD
2,535,465
(10,904)
LME
Zinc
Base
Metal
55
2/2023
USD
4,096,813
91,394
LME
Zinc
Base
Metal
92
2/2023
USD
6,852,459
42,488
Low
Sulphur
Gasoil
68
2/2023
USD
6,160,800
651,735
White
Sugar
271
2/2023
USD
7,512,120
625,113
Cocoa
10
3/2023
USD
260,000
3,369
Cocoa
201
3/2023
GBP
5,010,638
283,107
FCOJ-A
42
3/2023
USD
1,286,460
20,219
LME
Aluminum
Base
Metal
1
3/2023
USD
59,296
(1,857)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,382
(5,476)
LME
Aluminum
Base
Metal
6
3/2023
USD
355,802
(4,963)
LME
Aluminum
Base
Metal
7
3/2023
USD
414,843
(23,879)
LME
Aluminum
Base
Metal
10
3/2023
USD
593,375
(2,405)
LME
Aluminum
Base
Metal
10
3/2023
USD
592,510
(30,550)
LME
Aluminum
Base
Metal
17
3/2023
USD
1,007,063
(55,529)
LME
Aluminum
Base
Metal
23
3/2023
USD
1,363,716
(27,840)
LME
Aluminum
Base
Metal
36
3/2023
USD
2,134,809
(108,861)
LME
Copper
Base
Metal
1
3/2023
USD
209,488
(3,240)
LME
Copper
Base
Metal
3
3/2023
USD
627,881
(2,716)
LME
Copper
Base
Metal
4
3/2023
USD
837,800
(3,725)
LME
Copper
Base
Metal
5
3/2023
USD
1,047,438
3,074
LME
Copper
Base
Metal
9
3/2023
USD
1,883,306
1,337
LME
Copper
Base
Metal
12
3/2023
USD
2,513,025
(34,515)
LME
Copper
Base
Metal
17
3/2023
USD
3,557,569
11,806
LME
Copper
Base
Metal
19
3/2023
USD
3,980,263
(6,063)
LME
Copper
Base
Metal
29
3/2023
USD
6,075,138
(439)
LME
Copper
Base
Metal
45
3/2023
USD
9,422,438
(22,956)
LME
Lead
Base
Metal
2
3/2023
USD
115,636
6,089
LME
Lead
Base
Metal
8
3/2023
USD
462,426
17,827
LME
Lead
Base
Metal
9
3/2023
USD
516,038
8,158
LME
Lead
Base
Metal
10
3/2023
USD
573,375
12,699
LME
Lead
Base
Metal
14
3/2023
USD
808,500
43,776
LME
Lead
Base
Metal
47
3/2023
USD
2,713,663
112,453
LME
Nickel
Base
Metal
2
3/2023
USD
360,372
12,786
LME
Nickel
Base
Metal
5
3/2023
USD
901,315
53,503
LME
Nickel
Base
Metal
7
3/2023
USD
1,261,743
65,772
LME
Nickel
Base
Metal
8
3/2023
USD
1,442,061
16,518
LME
Nickel
Base
Metal
9
3/2023
USD
1,622,304
49,918
LME
Nickel
Base
Metal
16
3/2023
USD
2,884,320
177,979
LME
Zinc
Base
Metal
9
3/2023
USD
669,263
(17,546)
LME
Zinc
Base
Metal
15
3/2023
USD
1,117,125
(93,972)
LME
Zinc
Base
Metal
22
3/2023
USD
1,635,590
4,687
LME
Zinc
Base
Metal
23
3/2023
USD
1,711,850
(162,099)
LME
Zinc
Base
Metal
25
3/2023
USD
1,861,094
(185,982)
LME
Zinc
Base
Metal
25
3/2023
USD
1,861,250
(154,714)
LME
Zinc
Base
Metal
122
3/2023
USD
9,078,325
(629,481)
Milk
10
3/2023
USD
371,800
(3,084)
Milling
Wheat
No.
2
40
3/2023
EUR
662,073
(692)
Silver
5
3/2023
USD
601,000
2,265
Soybean
168
3/2023
USD
12,801,600
341,653
159
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Soybean
Meal
12
3/2023
USD
$
565,200
$
17,132
Soybean
Oil
61
3/2023
USD
2,344,962
128,429
15,334,807
Short
Contracts
Amsterdam
Exchange
Index
(125)
1/2023
EUR
(18,455,896)
727,704
Brent
Crude
Oil
(97)
1/2023
USD
(8,333,270)
(653,675)
CAC
40
10
Euro
Index
(297)
1/2023
EUR
(20,571,250)
436,187
CBOE
Volatility
Index
(4)
1/2023
USD
(92,392)
8,806
EURO
STOXX
50
Volatility
Index
(22)
1/2023
EUR
(51,692)
3,401
Hang
Seng
Index
(9)
1/2023
HKD
(1,148,140)
(5,948)
IBEX
35
Index
(147)
1/2023
EUR
(12,894,235)
21,042
LME
Aluminum
Base
Metal
(3)
1/2023
USD
(176,313)
(7,643)
LME
Aluminum
Base
Metal
(21)
1/2023
USD
(1,232,968)
(66,015)
LME
Aluminum
Base
Metal
(21)
1/2023
USD
(1,234,895)
(20,631)
LME
Aluminum
Base
Metal
(28)
1/2023
USD
(1,662,675)
(155,824)
LME
Aluminum
Base
Metal
(31)
1/2023
USD
(1,823,195)
(40,787)
LME
Aluminum
Base
Metal
(39)
1/2023
USD
(2,289,797)
(168,184)
LME
Aluminum
Base
Metal
(67)
1/2023
USD
(3,936,267)
481
LME
Aluminum
Base
Metal
(89)
1/2023
USD
(5,227,059)
(132,027)
LME
Aluminum
Base
Metal
(95)
1/2023
USD
(5,580,086)
(311,185)
LME
Aluminum
Base
Metal
(138)
1/2023
USD
(8,109,260)
22,358
LME
Aluminum
Base
Metal
(138)
1/2023
USD
(8,107,431)
(222,713)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,582)
(62,840)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,976)
(55,434)
LME
Copper
Base
Metal
(5)
1/2023
USD
(1,051,188)
(119,414)
LME
Copper
Base
Metal
(5)
1/2023
USD
(1,046,626)
(104,139)
LME
Copper
Base
Metal
(6)
1/2023
USD
(1,255,839)
(148,855)
LME
Copper
Base
Metal
(8)
1/2023
USD
(1,674,482)
(170,653)
LME
Copper
Base
Metal
(8)
1/2023
USD
(1,674,602)
(129,734)
LME
Copper
Base
Metal
(11)
1/2023
USD
(2,301,340)
(234,194)
LME
Copper
Base
Metal
(15)
1/2023
USD
(3,139,316)
(343,856)
LME
Copper
Base
Metal
(40)
1/2023
USD
(8,365,510)
(712,415)
LME
Copper
Base
Metal
(54)
1/2023
USD
(11,299,514)
(1,087,080)
LME
Lead
Base
Metal
(12)
1/2023
USD
(694,776)
(90,308)
LME
Lead
Base
Metal
(17)
1/2023
USD
(990,250)
(125,420)
LME
Lead
Base
Metal
(18)
1/2023
USD
(1,047,825)
(155,522)
LME
Lead
Base
Metal
(24)
1/2023
USD
(1,389,300)
(265,563)
LME
Lead
Base
Metal
(30)
1/2023
USD
(1,750,875)
(288,454)
LME
Lead
Base
Metal
(34)
1/2023
USD
(1,969,697)
(365,458)
LME
Lead
Base
Metal
(34)
1/2023
USD
(1,973,275)
(289,246)
LME
Lead
Base
Metal
(35)
1/2023
USD
(2,035,469)
(251,111)
LME
Lead
Base
Metal
(38)
1/2023
USD
(2,200,989)
(380,625)
LME
Lead
Base
Metal
(43)
1/2023
USD
(2,494,806)
(413,849)
LME
Lead
Base
Metal
(59)
1/2023
USD
(3,442,650)
(403,580)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,556)
(47,274)
LME
Nickel
Base
Metal
(2)
1/2023
USD
(358,812)
(99,678)
LME
Nickel
Base
Metal
(3)
1/2023
USD
(538,218)
(135,358)
LME
Nickel
Base
Metal
(5)
1/2023
USD
(897,030)
(230,256)
LME
Nickel
Base
Metal
(5)
1/2023
USD
(896,670)
(230,840)
LME
Nickel
Base
Metal
(6)
1/2023
USD
(1,082,772)
(311,796)
LME
Nickel
Base
Metal
(8)
1/2023
USD
(1,435,382)
(383,461)
LME
Nickel
Base
Metal
(8)
1/2023
USD
(1,436,318)
(357,186)
LME
Nickel
Base
Metal
(19)
1/2023
USD
(3,408,714)
(886,569)
LME
Zinc
Base
Metal
(3)
1/2023
USD
(224,969)
10,935
LME
Zinc
Base
Metal
(7)
1/2023
USD
(523,644)
(3,039)
LME
Zinc
Base
Metal
(9)
1/2023
USD
(671,261)
(13,810)
160
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(12)
1/2023
USD
$
(896,232)
$
(8,367)
MSCI
Singapore
Index
(538)
1/2023
SGD
(11,670,591)
2,422
Natural
Gas
(15)
1/2023
EUR
(823,449)
686,791
Natural
Gas
(20)
1/2023
GBP
(1,259,581)
554,367
Natural
Gas
(191)
1/2023
USD
(8,547,250)
73,185
OMXS30
Index
(491)
1/2023
SEK
(9,608,399)
318,959
SGX
FTSE
China
A50
Index
(646)
1/2023
USD
(8,452,264)
(22,866)
SGX
FTSE
Taiwan
Index
(96)
1/2023
USD
(4,768,320)
26,374
SGX
NIFTY
50
Index
(105)
1/2023
USD
(3,826,830)
(20,402)
WTI
Crude
Oil
(79)
1/2023
USD
(6,340,540)
(422,243)
CBOE
Volatility
Index
(7)
2/2023
USD
(171,817)
10,781
EURO
STOXX
50
Volatility
Index
(27)
2/2023
EUR
(66,041)
3,277
Lean
Hogs
(2)
2/2023
USD
(70,160)
(2,757)
Live
Cattle
(48)
2/2023
USD
(3,031,680)
(67,404)
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(59,167)
401
LME
Aluminum
Base
Metal
(8)
2/2023
USD
(472,002)
17,574
LME
Aluminum
Base
Metal
(19)
2/2023
USD
(1,122,786)
9,795
LME
Aluminum
Base
Metal
(23)
2/2023
USD
(1,358,788)
21,144
LME
Aluminum
Base
Metal
(26)
2/2023
USD
(1,533,682)
67,467
LME
Aluminum
Base
Metal
(27)
2/2023
USD
(1,592,669)
67,076
LME
Aluminum
Base
Metal
(36)
2/2023
USD
(2,123,559)
38,135
LME
Aluminum
Base
Metal
(90)
2/2023
USD
(5,311,148)
96,587
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,763)
2,090
LME
Copper
Base
Metal
(5)
2/2023
USD
(1,047,438)
(40,640)
LME
Copper
Base
Metal
(8)
2/2023
USD
(1,674,800)
(61,554)
LME
Copper
Base
Metal
(9)
2/2023
USD
(1,884,728)
(97,214)
LME
Copper
Base
Metal
(12)
2/2023
USD
(2,512,650)
6,350
LME
Copper
Base
Metal
(13)
2/2023
USD
(2,721,391)
(132,493)
LME
Copper
Base
Metal
(14)
2/2023
USD
(2,931,075)
(16,555)
LME
Copper
Base
Metal
(16)
2/2023
USD
(3,349,004)
(308,546)
LME
Copper
Base
Metal
(16)
2/2023
USD
(3,349,700)
36,845
LME
Copper
Base
Metal
(18)
2/2023
USD
(3,769,632)
(160,993)
LME
Copper
Base
Metal
(20)
2/2023
USD
(4,186,305)
(338,108)
LME
Copper
Base
Metal
(93)
2/2023
USD
(19,471,875)
(501,923)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,425)
(30,038)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,475)
(34,635)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,330)
(16,341)
LME
Lead
Base
Metal
(10)
2/2023
USD
(578,448)
(39,974)
LME
Lead
Base
Metal
(17)
2/2023
USD
(983,297)
(44,092)
LME
Lead
Base
Metal
(20)
2/2023
USD
(1,156,750)
(73,303)
LME
Lead
Base
Metal
(23)
2/2023
USD
(1,330,263)
(65,898)
LME
Lead
Base
Metal
(32)
2/2023
USD
(1,850,800)
(150,541)
LME
Nickel
Base
Metal
(4)
2/2023
USD
(719,160)
(11,172)
LME
Nickel
Base
Metal
(4)
2/2023
USD
(719,196)
(16,512)
LME
Nickel
Base
Metal
(8)
2/2023
USD
(1,440,312)
(157,116)
LME
Nickel
Base
Metal
(11)
2/2023
USD
(1,977,182)
(206,171)
LME
Nickel
Base
Metal
(13)
2/2023
USD
(2,337,270)
(71,018)
LME
Zinc
Base
Metal
(5)
2/2023
USD
(372,469)
(3,261)
LME
Zinc
Base
Metal
(8)
2/2023
USD
(596,184)
8,336
LME
Zinc
Base
Metal
(11)
2/2023
USD
(820,204)
(23,053)
LME
Zinc
Base
Metal
(20)
2/2023
USD
(1,490,990)
(108,049)
LME
Zinc
Base
Metal
(21)
2/2023
USD
(1,565,965)
(50,783)
LME
Zinc
Base
Metal
(34)
2/2023
USD
(2,535,465)
(11,038)
LME
Zinc
Base
Metal
(55)
2/2023
USD
(4,096,813)
(76,990)
LME
Zinc
Base
Metal
(92)
2/2023
USD
(6,852,459)
(38,988)
Mont
Belvieu
Propane
(160)
2/2023
USD
(5,308,800)
(376,319)
161
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Natural
Gas
(110)
2/2023
USD
$
(4,747,050)
$
(604,259)
SGX
Iron
Ore
(49)
2/2023
USD
(568,988)
(21,002)
Sugar
No.
11
(45)
2/2023
USD
(1,010,016)
(101,204)
Australia
10
Year
Bond
(679)
3/2023
AUD
(53,458,632)
2,952,336
Australia
3
Year
Bond
(2,185)
3/2023
AUD
(158,833,178)
2,026,146
Canada
10
Year
Bond
(517)
3/2023
CAD
(46,743,826)
1,472,229
Canola
(15)
3/2023
CAD
(191,832)
(246)
CBOE
Volatility
Index
(8)
3/2023
USD
(202,804)
9,432
Coffee
'C'
(73)
3/2023
USD
(4,579,838)
(175,372)
Copper
(208)
3/2023
USD
(19,814,600)
(301,686)
Corn
(1,045)
3/2023
USD
(35,451,625)
(710,006)
Cotton
No.
2
(60)
3/2023
USD
(2,501,100)
61,967
Crude
Palm
Oil
(38)
3/2023
MYR
(900,182)
(62,399)
DAX
Index
(63)
3/2023
EUR
(23,583,191)
677,706
DJIA
CBOT
E-Mini
Index
(66)
3/2023
USD
(10,984,050)
145,057
EURO
STOXX
50
Index
(421)
3/2023
EUR
(17,057,460)
433,762
EURO
STOXX
50
Volatility
Index
(44)
3/2023
EUR
(108,801)
3,197
Euro-Bobl
(774)
3/2023
EUR
(95,835,868)
3,059,756
Euro-BTP
(357)
3/2023
EUR
(41,558,883)
2,905,894
Euro-Bund
(469)
3/2023
EUR
(66,671,051)
3,803,967
Euro-Buxl
(220)
3/2023
EUR
(31,759,395)
4,876,311
Euro-OAT
(392)
3/2023
EUR
(53,396,187)
3,099,980
Euro-Schatz
(2,655)
3/2023
EUR
(299,452,045)
3,613,784
Feeder
Cattle
(47)
3/2023
USD
(4,376,288)
(28,464)
FTSE
100
Index
(290)
3/2023
GBP
(26,175,460)
(35,591)
FTSE/JSE
Top
40
Index
(36)
3/2023
ZAR
(1,434,809)
55,686
FTSE/MIB
Index
(94)
3/2023
EUR
(11,927,767)
217,207
Japan
10
Year
Bond
(74)
3/2023
JPY
(81,882,658)
660,200
KC
HRW
Wheat
(13)
3/2023
USD
(577,200)
(10,103)
KOSPI
200
Index
(310)
3/2023
KRW
(17,948,497)
1,098,975
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,296)
1,773
LME
Aluminum
Base
Metal
(2)
3/2023
USD
(118,382)
5,838
LME
Aluminum
Base
Metal
(6)
3/2023
USD
(355,802)
4,654
LME
Aluminum
Base
Metal
(7)
3/2023
USD
(414,843)
22,137
LME
Aluminum
Base
Metal
(10)
3/2023
USD
(592,510)
30,210
LME
Aluminum
Base
Metal
(10)
3/2023
USD
(593,375)
2,562
LME
Aluminum
Base
Metal
(17)
3/2023
USD
(1,007,063)
50,816
LME
Aluminum
Base
Metal
(23)
3/2023
USD
(1,363,716)
41,445
LME
Aluminum
Base
Metal
(108)
3/2023
USD
(6,404,427)
143,577
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,488)
3,286
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,881)
2,486
LME
Copper
Base
Metal
(4)
3/2023
USD
(837,800)
4,689
LME
Copper
Base
Metal
(5)
3/2023
USD
(1,047,438)
326
LME
Copper
Base
Metal
(9)
3/2023
USD
(1,883,306)
(6,436)
LME
Copper
Base
Metal
(12)
3/2023
USD
(2,513,025)
44,443
LME
Copper
Base
Metal
(17)
3/2023
USD
(3,557,569)
(21,138)
LME
Copper
Base
Metal
(19)
3/2023
USD
(3,980,263)
13,880
LME
Copper
Base
Metal
(29)
3/2023
USD
(6,075,138)
(23,786)
LME
Copper
Base
Metal
(111)
3/2023
USD
(23,242,013)
(234,979)
LME
Lead
Base
Metal
(2)
3/2023
USD
(115,636)
(6,391)
LME
Lead
Base
Metal
(8)
3/2023
USD
(462,426)
(17,747)
LME
Lead
Base
Metal
(9)
3/2023
USD
(516,038)
(15,211)
LME
Lead
Base
Metal
(10)
3/2023
USD
(573,375)
(12,151)
LME
Lead
Base
Metal
(14)
3/2023
USD
(808,500)
(44,253)
LME
Lead
Base
Metal
(72)
3/2023
USD
(4,157,100)
(260,055)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,372)
(11,763)
162
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(5)
3/2023
USD
$
(901,315)
$
(49,108)
LME
Nickel
Base
Metal
(7)
3/2023
USD
(1,261,743)
(52,724)
LME
Nickel
Base
Metal
(8)
3/2023
USD
(1,442,061)
(21,189)
LME
Nickel
Base
Metal
(9)
3/2023
USD
(1,622,304)
(40,734)
LME
Nickel
Base
Metal
(33)
3/2023
USD
(5,948,910)
(350,485)
LME
Zinc
Base
Metal
(9)
3/2023
USD
(669,263)
15,087
LME
Zinc
Base
Metal
(15)
3/2023
USD
(1,117,125)
92,206
LME
Zinc
Base
Metal
(22)
3/2023
USD
(1,635,590)
(12,605)
LME
Zinc
Base
Metal
(23)
3/2023
USD
(1,711,850)
179,844
LME
Zinc
Base
Metal
(25)
3/2023
USD
(1,861,250)
154,551
LME
Zinc
Base
Metal
(25)
3/2023
USD
(1,861,094)
177,424
LME
Zinc
Base
Metal
(150)
3/2023
USD
(11,161,875)
27,256
Long
Gilt
(229)
3/2023
GBP
(27,651,733)
1,501,171
MSCI
EAFE
E-Mini
Index
(173)
3/2023
USD
(16,862,310)
269,750
MSCI
Emerging
Markets
E-Mini
Index
(240)
3/2023
USD
(11,512,800)
120,723
NASDAQ
100
E-Mini
Index
(64)
3/2023
USD
(14,108,480)
728,824
Nikkei
225
Index
(69)
3/2023
JPY
(13,711,673)
418,019
Palladium
(6)
3/2023
USD
(1,078,800)
48,064
Robusta
Coffee
(280)
3/2023
USD
(5,037,200)
168,155
Rough
Rice
(16)
3/2023
USD
(588,480)
(41,269)
Russell
2000
E-Mini
Index
(157)
3/2023
USD
(13,901,565)
429,493
S&P
500
E-Mini
Index
(73)
3/2023
USD
(14,092,650)
444,880
S&P
Midcap
400
E-Mini
Index
(51)
3/2023
USD
(12,457,260)
315,937
S&P/TSX
60
Index
(79)
3/2023
CAD
(13,651,713)
443,984
SPI
200
Index
(112)
3/2023
AUD
(13,329,409)
275,723
TOPIX
Index
(56)
3/2023
JPY
(8,071,015)
64,272
U.S.
Treasury
10
Year
Note
(569)
3/2023
USD
(63,808,016)
361,466
U.S.
Treasury
2
Year
Note
(1,145)
3/2023
USD
(234,725,000)
(118,955)
U.S.
Treasury
5
Year
Note
(922)
3/2023
USD
(99,417,531)
232,570
U.S.
Treasury
Long
Bond
(278)
3/2023
USD
(34,663,125)
276,468
U.S.
Treasury
Ultra
Bond
(183)
3/2023
USD
(24,436,219)
249,961
Wheat
(38)
3/2023
ZAR
(751,110)
16,244
Wheat
(703)
3/2023
USD
(27,838,800)
121,869
White
Maize
(69)
3/2023
ZAR
(1,913,909)
19,104
Yellow
Maize
(111)
3/2023
ZAR
(3,042,966)
104,745
CBOE
Volatility
Index
(8)
4/2023
USD
(207,003)
6,064
Platinum
(13)
4/2023
USD
(703,885)
(46,439)
Rapeseed
(181)
4/2023
EUR
(5,696,293)
(41,346)
CBOE
Volatility
Index
(7)
5/2023
USD
(183,400)
945
Rubber
(8)
5/2023
JPY
(66,291)
12
WTI
Crude
Oil
(10)
5/2023
JPY
(240,666)
(8,409)
3
Month
Canadian
Bankers
Acceptance
(1,008)
6/2023
CAD
(176,772,230)
662,042
3
Month
Euro
Euribor
(292)
6/2023
EUR
(75,353,150)
1,279,848
90-Day
Australian
Bank
Bill
(465)
6/2023
AUD
(313,464,895)
(50,368)
90-Day
New
Zealand
Bill
(147)
6/2023
NZD
(92,012,132)
85,176
Rubber
(25)
6/2023
JPY
(207,635)
203
3
Month
Canadian
Bankers
Acceptance
(812)
9/2023
CAD
(142,684,712)
408,992
3
Month
Euro
Euribor
(236)
9/2023
EUR
(60,851,336)
1,188,070
3
Month
SARON
(35)
9/2023
CHF
(9,298,856)
10,780
3
Month
SOFR
(247)
9/2023
USD
(58,681,025)
73,695
3
Month
SONIA
(143)
9/2023
GBP
(41,203,751)
19,059
90-Day
Australian
Bank
Bill
(476)
9/2023
AUD
(320,715,767)
50,719
90-Day
New
Zealand
Bill
(157)
9/2023
NZD
(98,304,917)
79,224
3
Month
Canadian
Bankers
Acceptance
(651)
12/2023
CAD
(114,802,456)
217,483
3
Month
Euro
Euribor
(269)
12/2023
EUR
(69,410,601)
353,093
3
Month
SARON
(38)
12/2023
CHF
(10,083,058)
13,594
163
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(265)
12/2023
USD
$
(63,053,438)
$
94,075
3
Month
SONIA
(170)
12/2023
GBP
(48,955,221)
49,563
90-Day
Australian
Bank
Bill
(407)
12/2023
AUD
(274,205,382)
31,889
90-Day
New
Zealand
Bill
(160)
12/2023
NZD
(100,229,664)
45,285
ECX
Emission
(2)
12/2023
EUR
(179,771)
1,225
3
Month
Canadian
Bankers
Acceptance
(552)
3/2024
CAD
(97,680,355)
280,099
3
Month
Euro
Euribor
(266)
3/2024
EUR
(68,739,723)
265,490
3
Month
SARON
(49)
3/2024
CHF
(13,005,151)
25,482
3
Month
SOFR
(223)
3/2024
USD
(53,210,588)
68,381
3
Month
SONIA
(208)
3/2024
GBP
(59,948,445)
364,222
90-Day
Australian
Bank
Bill
(468)
3/2024
AUD
(315,310,199)
382,718
3
Month
Euro
Euribor
(272)
6/2024
EUR
(70,403,068)
221,531
3
Month
SARON
(35)
6/2024
CHF
(9,298,856)
14,328
3
Month
SOFR
(191)
6/2024
USD
(45,754,050)
34,524
3
Month
SONIA
(216)
6/2024
GBP
(62,335,759)
151,030
3
Month
Euro
Euribor
(265)
9/2024
EUR
(68,683,417)
181,794
3
Month
SOFR
(165)
9/2024
USD
(39,674,250)
(21,025)
3
Month
SONIA
(217)
9/2024
GBP
(62,729,287)
133,719
3
Month
Euro
Euribor
(259)
12/2024
EUR
(67,197,633)
405,874
3
Month
SOFR
(146)
12/2024
USD
(35,202,425)
(57,877)
3
Month
SONIA
(224)
12/2024
GBP
(64,844,209)
95,811
3
Month
SOFR
(141)
3/2025
USD
(34,053,263)
95,909
3
Month
SONIA
(211)
3/2025
GBP
(61,141,513)
216,021
31,584,562
$
46,919,369
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
151,517,605
USD
102,026,508
CITI
3/15/2023
$
1,428,450
AUD
151,517,600
USD
102,011,887
JPMC
3/15/2023
1,443,067
CLP
2,450,000,000
USD
2,795,273
CITI
**
3/15/2023
66,704
CLP
2,450,000,000
USD
2,795,259
JPMC
**
3/15/2023
66,718
COP
4,554,355,596
USD
910,648
CITI
**
3/15/2023
16,141
COP
4,554,355,592
USD
910,649
JPMC
**
3/15/2023
16,139
EUR
189,508,044
USD
200,151,639
CITI
3/15/2023
3,690,288
EUR
189,508,040
USD
200,150,937
JPMC
3/15/2023
3,690,985
GBP
26,489,247
USD
31,841,181
CITI
3/15/2023
239,221
GBP
26,489,244
USD
31,841,217
JPMC
3/15/2023
239,182
JPY
15,655,000,000
USD
118,768,730
CITI
3/15/2023
1,652,583
JPY
15,655,000,000
USD
118,768,145
JPMC
3/15/2023
1,653,168
KRW
5,700,000,001
USD
4,388,474
CITI
**
3/15/2023
145,204
KRW
5,699,999,999
USD
4,388,455
JPMC
**
3/15/2023
145,223
MXN
126,778,062
USD
6,417,914
CITI
3/15/2023
4,664
MXN
126,778,062
USD
6,417,923
JPMC
3/15/2023
4,656
NOK
317,751,861
USD
31,977,947
CITI
3/15/2023
555,098
NOK
317,751,856
USD
31,977,885
JPMC
3/15/2023
555,159
NZD
45,654,000
USD
28,364,131
CITI
3/15/2023
644,680
NZD
45,654,000
USD
28,364,166
JPMC
3/15/2023
644,644
PHP
285,000,000
USD
5,069,209
CITI
**
3/15/2023
38,443
PHP
285,000,000
USD
5,069,183
JPMC
**
3/15/2023
38,469
164
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
PLN
45,097,503
USD
10,070,715
CITI
3/15/2023
$
161,023
PLN
45,097,497
USD
10,070,664
JPMC
3/15/2023
161,073
SEK
88,124,625
USD
8,372,644
CITI
3/15/2023
106,646
SEK
88,124,624
USD
8,372,654
JPMC
3/15/2023
106,636
SGD
72,689,500
USD
52,976,892
CITI
3/15/2023
1,354,817
SGD
72,689,500
USD
52,977,692
JPMC
3/15/2023
1,354,016
TWD
881,998
USD
28,724
CITI
**
3/15/2023
189
TWD
881,993
USD
28,731
JPMC
**
3/15/2023
182
USD
18,027,751
AUD
26,374,500
CITI
3/15/2023
19,462
USD
18,027,841
AUD
26,374,500
JPMC
3/15/2023
19,552
USD
598,148
BRL
3,172,250
CITI
**
3/15/2023
5,242
USD
598,151
BRL
3,172,249
JPMC
**
3/15/2023
5,245
USD
8,251,453
CAD
11,122,500
CITI
3/15/2023
32,442
USD
8,251,494
CAD
11,122,500
JPMC
3/15/2023
32,483
USD
10,591,400
GBP
8,720,500
CITI
3/15/2023
30,240
USD
10,591,453
GBP
8,720,500
JPMC
3/15/2023
30,293
USD
1,307,116
ILS
4,485,500
CITI
3/15/2023
26,104
USD
1,307,114
ILS
4,485,500
JPMC
3/15/2023
26,103
USD
40,206,475
INR
3,309,408,853
CITI
**
3/15/2023
390,732
USD
40,206,819
INR
3,309,408,851
JPMC
**
3/15/2023
391,076
USD
21,616,490
NZD
33,877,258
CITI
3/15/2023
90,688
USD
21,616,598
NZD
33,877,258
JPMC
3/15/2023
90,796
USD
4,487,179
PHP
249,594,656
CITI
**
3/15/2023
14,047
USD
4,487,202
PHP
249,594,652
JPMC
**
3/15/2023
14,069
USD
22,024,970
SEK
226,500,001
CITI
3/15/2023
231,298
USD
22,025,080
SEK
226,499,999
JPMC
3/15/2023
231,407
USD
2,343,347
TWD
71,000,000
CITI
**
3/15/2023
15,828
USD
2,343,359
TWD
71,000,000
JPMC
**
3/15/2023
15,839
ZAR
606,360,987
USD
34,969,529
CITI
3/15/2023
502,871
ZAR
606,360,987
USD
34,949,312
JPMC
3/15/2023
523,087
Total
unrealized
appreciation
22,962,372
AUD
51,176,442
USD
34,958,703
CITI
3/15/2023
(15,855)
AUD
51,176,441
USD
34,958,527
JPMC
3/15/2023
(15,680)
BRL
4,988,843
USD
943,093
CITI
**
3/15/2023
(10,659)
BRL
4,988,843
USD
943,089
JPMC
**
3/15/2023
(10,654)
CAD
58,775,480
USD
43,973,198
CITI
3/15/2023
(540,846)
CAD
58,775,479
USD
43,973,252
JPMC
3/15/2023
(540,901)
COP
4,554,355,596
USD
928,993
CITI
**
3/15/2023
(2,205)
COP
4,554,355,592
USD
928,991
JPMC
**
3/15/2023
(2,202)
GBP
4,413,748
USD
5,400,908
CITI
3/15/2023
(55,537)
GBP
4,413,745
USD
5,400,881
JPMC
3/15/2023
(55,515)
ILS
9,572,000
USD
2,799,582
CITI
3/15/2023
(65,920)
ILS
9,572,000
USD
2,799,585
JPMC
3/15/2023
(65,923)
MXN
126,778,063
USD
6,457,347
CITI
3/15/2023
(34,769)
MXN
126,778,061
USD
6,457,314
JPMC
3/15/2023
(34,736)
NOK
52,958,643
USD
5,449,994
CITI
3/15/2023
(27,819)
NOK
52,958,644
USD
5,449,967
JPMC
3/15/2023
(27,793)
NZD
78,270,500
USD
50,085,432
CITI
3/15/2023
(351,914)
NZD
78,270,500
USD
50,085,182
JPMC
3/15/2023
(351,663)
PHP
245,000,000
USD
4,414,620
CITI
**
3/15/2023
(23,830)
PHP
245,000,000
USD
4,414,598
JPMC
**
3/15/2023
(23,808)
TWD
395,145,982
USD
13,103,047
CITI
**
3/15/2023
(149,387)
TWD
395,145,978
USD
13,103,000
JPMC
**
3/15/2023
(149,340)
USD
43,952,298
AUD
65,052,000
CITI
3/15/2023
(464,666)
USD
43,952,450
AUD
65,052,000
JPMC
3/15/2023
(464,513)
USD
1,752,688
BRL
9,516,749
CITI
**
3/15/2023
(26,031)
USD
1,752,688
BRL
9,516,744
JPMC
**
3/15/2023
(26,030)
USD
26,867,972
CAD
36,585,500
CITI
3/15/2023
(167,014)
165
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
26,868,107
CAD
36,585,500
JPMC
3/15/2023
$
(166,880)
USD
28,046,461
CHF
26,205,503
CITI
3/15/2023
(513,229)
USD
28,046,503
CHF
26,205,497
JPMC
3/15/2023
(513,180)
USD
5,512,483
CLP
5,042,268,830
CITI
**
3/15/2023
(377,663)
USD
5,512,492
CLP
5,042,268,826
JPMC
**
3/15/2023
(377,655)
USD
27,217,147
CZK
636,566,505
CITI
3/15/2023
(843,948)
USD
27,217,206
CZK
636,566,495
JPMC
3/15/2023
(843,888)
USD
47,566,892
EUR
44,694,000
CITI
3/15/2023
(507,643)
USD
47,567,071
EUR
44,694,000
JPMC
3/15/2023
(507,464)
USD
17,975,571
GBP
14,910,500
CITI
3/15/2023
(82,128)
USD
17,975,661
GBP
14,910,500
JPMC
3/15/2023
(82,038)
USD
382,068
IDR
6,000,451,644
CITI
**
3/15/2023
(5,225)
USD
382,081
IDR
6,000,451,640
JPMC
**
3/15/2023
(5,213)
USD
2,884,070
INR
240,000,000
CITI
**
3/15/2023
(3,388)
USD
2,884,084
INR
240,000,000
JPMC
**
3/15/2023
(3,373)
USD
317,056,791
JPY
43,103,239,722
CITI
3/15/2023
(14,501,734)
USD
317,057,331
JPY
43,103,239,718
JPMC
3/15/2023
(14,501,194)
USD
1,863,868
KRW
2,464,419,581
CITI
**
3/15/2023
(96,287)
USD
1,863,871
KRW
2,464,419,579
JPMC
**
3/15/2023
(96,284)
USD
1,176,929
MXN
23,500,000
CITI
3/15/2023
(13,582)
USD
1,176,934
MXN
23,500,000
JPMC
3/15/2023
(13,576)
USD
4,157,783
NOK
41,500,000
CITI
3/15/2023
(91,197)
USD
4,157,803
NOK
41,500,000
JPMC
3/15/2023
(91,177)
USD
63,699,102
NZD
101,631,773
CITI
3/15/2023
(878,303)
USD
63,679,728
NZD
101,631,773
JPMC
3/15/2023
(897,676)
USD
10,584,983
PHP
606,158,443
CITI
**
3/15/2023
(278,339)
USD
10,586,021
PHP
606,158,441
JPMC
**
3/15/2023
(277,300)
USD
3,878,625
PLN
17,642,495
CITI
3/15/2023
(124,110)
USD
3,878,632
PLN
17,642,489
JPMC
3/15/2023
(124,103)
USD
5,720,408
SEK
59,500,000
CITI
3/15/2023
(4,641)
USD
5,720,436
SEK
59,500,000
JPMC
3/15/2023
(4,612)
USD
16,119,402
SGD
21,727,000
CITI
3/15/2023
(120,426)
USD
16,119,477
SGD
21,727,000
JPMC
3/15/2023
(120,352)
USD
1,146,419
TWD
35,000,000
CITI
**
3/15/2023
(950)
USD
1,146,425
TWD
35,000,000
JPMC
**
3/15/2023
(943)
USD
31,722,552
ZAR
553,352,450
CITI
3/15/2023
(648,824)
USD
31,722,631
ZAR
553,352,446
JPMC
3/15/2023
(648,744)
ZAR
53,139,013
USD
3,114,031
CITI
3/15/2023
(5,374)
ZAR
53,139,013
USD
3,114,035
JPMC
3/15/2023
(5,378)
USD
7,643,389
HUF
3,074,584,860
CITI
3/16/2023
(433,598)
USD
7,643,415
HUF
3,074,584,858
JPMC
3/16/2023
(433,572)
Total
unrealized
depreciation
(42,950,401)
Net
unrealized
depreciation
$
(19,988,029)
**
Non-deliverable
forward.
166
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
12/27/2024
$11,000,530
$(45,708)
$(265,931)
$(311,639)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.55%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
12/30/2024
$6,828,818
$3,180
$(23,068)
$(19,888)
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
(-0.20%
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
09/24/2026
-
12/30/2027
$166,387,633
$2,103,308
$(138,120)
$1,965,188
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Bandai
Namco
Holdings,
Inc.
17,300
1,084,354
(89,763)
(4.6)
Dai-ichi
Life
Holdings,
Inc.
63,500
1,434,044
173,141
8.8
IHI
Corp.
66,100
1,914,810
3,430
0.2
Japan
Post
Holdings
Co.
Ltd.
170,600
1,435,421
72,467
3.7
Japan
Post
Insurance
Co.
Ltd.
65,600
1,153,716
59,058
3.0
Marubeni
Corp.
139,100
1,593,522
(54,077)
(2.8)
MISUMI
Group,
Inc.
53,600
1,164,959
(215,474)
(11.0)
Mitsubishi
Corp.
65,700
2,132,937
(122,309)
(6.2)
Mitsubishi
Heavy
Industries
Ltd.
33,200
1,311,950
(61,181)
(3.1)
167
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Mitsubishi
Motors
Corp.
535,500
2,033,614
(351,448)
(17.9)
Mitsui
&
Co.
Ltd.
39,400
1,147,554
(60,205)
(3.1)
NGK
Spark
Plug
Co.
Ltd.
61,100
1,119,785
(72,978)
(3.7)
Osaka
Gas
Co.
Ltd.
73,000
1,176,256
(9,632)
(0.5)
Recruit
Holdings
Co.
Ltd.
48,000
1,502,495
(65,967)
(3.4)
SCREEN
Holdings
Co.
Ltd.
23,300
1,485,780
(177,138)
(9.0)
Shin-Etsu
Chemical
Co.
Ltd.
15,800
1,929,373
(138,327)
(7.0)
Sompo
Holdings,
Inc.
31,200
1,380,385
29,590
1.5
Square
Enix
Holdings
Co.
Ltd.
27,800
1,290,628
(41,756)
(2.1)
Subaru
Corp.
76,500
1,158,216
(142,657)
(7.3)
Sumitomo
Corp.
95,200
1,582,518
(44,166)
(2.2)
Yakult
Honsha
Co.
Ltd.
15,800
1,028,542
(34,503)
(1.8)
ZOZO,
Inc.
48,500
1,197,744
(40,255)
(2.0)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(83,500)
(1,763,143)
36,140
1.8
ANA
Holdings,
Inc.
(87,500)
(1,853,069)
82,745
4.2
Asahi
Intecc
Co.
Ltd.
(67,000)
(1,092,922)
215,528
11.0
Bridgestone
Corp.
(54,000)
(1,911,982)
134,997
6.9
Daiichi
Sankyo
Co.
Ltd.
(52,200)
(1,680,145)
96,049
4.9
Daikin
Industries
Ltd.
(8,900)
(1,350,251)
141,672
7.2
Eisai
Co.
Ltd.
(15,700)
(1,035,448)
106,755
5.4
Isuzu
Motors
Ltd.
(112,600)
(1,305,358)
154,049
7.8
JSR
Corp.
(86,100)
(1,685,947)
212,005
10.8
Kao
Corp.
(36,400)
(1,445,096)
86,732
4.4
Kobe
Bussan
Co.
Ltd.
(46,100)
(1,328,658)
(60,592)
(3.1)
Kose
Corp.
(18,200)
(1,977,489)
162,301
8.3
Kubota
Corp.
(119,000)
(1,625,711)
185,947
9.5
Lasertec
Corp.
(10,600)
(1,730,669)
459,678
23.4
Makita
Corp.
(49,000)
(1,141,465)
30,891
1.6
MatsukiyoCocokara
&
Co.
(43,000)
(2,161,345)
(115,018)
(5.9)
Nidec
Corp.
(28,300)
(1,456,294)
311,917
15.9
Nippon
Paint
Holdings
Co.
Ltd.
(173,800)
(1,365,042)
214,966
10.9
Rakuten
Group,
Inc.
(408,300)
(1,840,237)
203,751
10.4
Sekisui
House
Ltd.
(114,700)
(2,033,524)
81,087
4.1
Seven
&
i
Holdings
Co.
Ltd.
(37,600)
(1,611,400)
(14,746)
(0.8)
Sharp
Corp.
(168,400)
(1,209,627)
108,164
5.5
Shiseido
Co.
Ltd.
(28,700)
(1,406,694)
14,748
0.8
SoftBank
Corp.
(146,000)
(1,651,796)
(3,678)
(0.2)
Unicharm
Corp.
(40,500)
(1,550,592)
50,796
2.6
West
Japan
Railway
Co.
(24,500)
(1,063,774)
1,801
0.1
Yaskawa
Electric
Corp.
(39,100)
(1,247,502)
125,944
6.4
Z
Holdings
Corp.
(439,900)
(1,098,657)
120,419
6.1
168
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
(-0.58%
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
09/21/2026
-
12/30/2027
$760,629,558
$3,675,375
$585,972
$4,261,347
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
3M
Co.
19,458
2,333,403
(97,292)
(2.3)
Abbott
Laboratories
29,282
3,214,871
62,939
1.5
Ally
Financial,
Inc.
82,041
2,005,902
(42,011)
(1.0)
Alphabet,
Inc.
22,761
2,008,203
(80,311)
(1.9)
Altria
Group,
Inc.
48,357
2,210,398
(44,054)
(1.0)
Arrow
Electronics,
Inc.
19,440
2,032,841
(42,064)
(1.0)
AT&T,
Inc.
138,749
2,554,369
(87,225)
(2.0)
Boeing
Co.
(The)
11,831
2,253,687
79,295
1.9
Cisco
Systems,
Inc.
57,288
2,729,200
(46,976)
(1.1)
Citigroup,
Inc.
51,969
2,350,558
19,229
0.5
Coca-Cola
Co.
(The)
49,179
3,128,276
23,114
0.5
CVS
Health
Corp.
32,142
2,995,313
(263,980)
(6.2)
Dow,
Inc.
64,789
3,264,718
14,207
0.3
DTE
Energy
Co.
17,367
2,041,144
4,419
0.1
Eastman
Chemical
Co.
25,073
2,041,945
(85,779)
(2.0)
Expedia
Group,
Inc.
28,380
2,486,088
(168,257)
(3.9)
Exxon
Mobil
Corp.
20,652
2,277,916
129,679
3.0
General
Dynamics
Corp.
9,909
2,458,522
10,603
0.2
Huntsman
Corp.
75,743
2,081,418
(48,476)
(1.1)
Intel
Corp.
99,616
2,632,851
(143,691)
(3.4)
Kroger
Co.
(The)
48,100
2,144,298
(90,909)
(2.1)
Lockheed
Martin
Corp.
4,118
2,003,366
11,983
0.3
Macy's,
Inc.
126,747
2,617,326
(171,699)
(4.0)
Medtronic
plc
28,822
2,240,046
(16,316)
(0.4)
Pfizer,
Inc.
48,427
2,481,399
(42,390)
(1.0)
Tyson
Foods,
Inc.
33,325
2,074,481
(45,187)
(1.1)
Short
Positions
Common
Stocks
United
States
Air
Products
and
Chemicals,
Inc.
(7,050)
(2,173,233)
43,358
1.0
Apple,
Inc.
(16,305)
(2,118,509)
8,750
0.2
DR
Horton,
Inc.
(34,490)
(3,074,439)
(122,206)
(2.9)
Eli
Lilly
&
Co.
(8,762)
(3,205,490)
(44,517)
(1.0)
Five
Below,
Inc.
(11,854)
(2,096,617)
(1,304)
(0.0)
FTI
Consulting,
Inc.
(13,096)
(2,079,645)
41,907
1.0
169
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Honeywell
International,
Inc.
(14,940)
(3,201,642)
(43,206)
(1.0)
ICU
Medical,
Inc.
(16,214)
(2,553,381)
(60,478)
(1.4)
International
Business
Machines
Corp.
(21,125)
(2,976,301)
8,516
0.2
Lancaster
Colony
Corp.
(10,936)
(2,157,673)
36,526
0.9
McCormick
&
Co.,
Inc.
(Non-Voting)
(31,867)
(2,641,456)
76,162
1.8
Monster
Beverage
Corp.
(29,037)
(2,948,127)
(43,265)
(1.0)
NIKE,
Inc.
(17,896)
(2,094,011)
(135,831)
(3.2)
Northrop
Grumman
Corp.
(5,285)
(2,883,549)
(88,304)
(2.1)
NVIDIA
Corp.
(14,357)
(2,098,132)
342,702
8.0
Oracle
Corp.
(27,311)
(2,232,401)
(44,096)
(1.0)
Penumbra,
Inc.
(10,027)
(2,230,606)
(54,240)
(1.3)
Principal
Financial
Group,
Inc.
(30,747)
(2,580,288)
121,560
2.9
Progressive
Corp.
(The)
(16,240)
(2,106,490)
(5,359)
(0.1)
Quanta
Services,
Inc.
(19,206)
(2,736,855)
96,359
2.3
RPM
International,
Inc.
(20,720)
(2,019,164)
124,320
2.9
T-Mobile
US,
Inc.
(15,899)
(2,225,860)
24,805
0.6
Visa,
Inc.
(12,230)
(2,540,905)
(20,857)
(0.5)
WW
Grainger,
Inc.
(3,879)
(2,157,694)
93,173
2.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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
09/18/2023
-
12/30/2024
$61,345,969
$(256,173)
$410,478
$154,305
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
93,073
705,094
433
0.3
ALS
Ltd.
98,330
815,246
1,828
1.2
ANZ
Group
Holdings
Ltd.
29,702
478,467
(607)
(0.4)
Aristocrat
Leisure
Ltd.
68,329
1,407,974
(30,480)
(19.8)
Aurizon
Holdings
Ltd.
531,178
1,345,707
(6,873)
(4.5)
BHP
Group
Ltd.
126,877
3,930,262
(89,195)
(57.8)
BlueScope
Steel
Ltd.
110,546
1,259,918
(13,569)
(8.8)
Brambles
Ltd.
47,387
388,602
(3,399)
(2.2)
Coles
Group
Ltd.
35,318
400,352
(5,309)
(3.4)
Incitec
Pivot
Ltd.
860,395
2,190,240
(29,942)
(19.4)
JB
Hi-Fi
Ltd.
60,798
1,732,849
(16,475)
(10.7)
Lynas
Rare
Earths
Ltd.
74,801
394,315
639
0.4
Medibank
Pvt
Ltd.
210,930
420,813
(2,841)
(1.8)
Origin
Energy
Ltd.
454,522
2,378,933
(16,297)
(10.6)
Pilbara
Minerals
Ltd.
333,797
845,257
13,465
8.7
170
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Qantas
Airways
Ltd.
467,867
1,893,790
(42,977)
(27.9)
Qube
Holdings
Ltd.
336,634
642,140
(1,904)
(1.2)
Sonic
Healthcare
Ltd.
63,327
1,288,769
4,769
3.1
South32
Ltd.
634,209
1,738,766
(35,937)
(23.3)
Suncorp
Group
Ltd.
107,028
872,151
(3,746)
(2.4)
Telstra
Group
Ltd.
792,981
2,144,572
(20,432)
(13.2)
Whitehaven
Coal
Ltd.
140,722
896,532
(38,580)
(25.0)
United
States
Computershare
Ltd.
36,769
647,724
(13,428)
(8.7)
James
Hardie
Industries
plc
36,296
653,266
7,538
4.9
Short
Positions
Common
Stocks
Australia
APA
Group
(111,614)
(815,832)
29,203
18.9
carsales.com
Ltd.
(82,389)
(1,159,423)
(4,997)
(3.2)
Commonwealth
Bank
of
Australia
(15,934)
(1,106,693)
11,804
7.6
Domino's
Pizza
Enterprises
Ltd.
(43,061)
(1,939,203)
(61,673)
(40.0)
Endeavour
Group
Ltd.
(204,453)
(889,764)
9,480
6.1
Evolution
Mining
Ltd.
(460,064)
(940,609)
5,360
3.5
IDP
Education
Ltd.
(90,368)
(1,665,413)
(10,335)
(6.7)
IGO
Ltd.
(45,380)
(415,107)
(1,705)
(1.1)
Insurance
Australia
Group
Ltd.
(303,655)
(976,151)
1,746
1.1
Lendlease
Corp.
Ltd.
(160,539)
(852,155)
(11,615)
(7.5)
Macquarie
Group
Ltd.
(4,293)
(484,630)
6,357
4.1
Mineral
Resources
Ltd.
(18,523)
(971,651)
15,442
10.0
National
Australia
Bank
Ltd.
(20,133)
(408,772)
5,470
3.5
NEXTDC
Ltd.
(133,805)
(825,658)
(13,036)
(8.4)
Pro
Medicus
Ltd.
(19,948)
(745,569)
(6,187)
(4.0)
QBE
Insurance
Group
Ltd.
(73,411)
(665,962)
796
0.5
REA
Group
Ltd.
(12,833)
(965,126)
(10,133)
(6.6)
Reece
Ltd.
(63,233)
(604,427)
(9,876)
(6.4)
Seven
Group
Holdings
Ltd.
(50,489)
(718,117)
(1,046)
(0.7)
Transurban
Group
(107,174)
(942,902)
35,618
23.1
Wesfarmers
Ltd.
(68,080)
(2,123,232)
14,535
9.4
Westpac
Banking
Corp.
(39,527)
(625,772)
6,390
4.1
Woodside
Energy
Group
Ltd.
(67,638)
(1,638,071)
57,078
37.0
Woolworths
Group
Ltd.
(57,179)
(1,305,707)
19,481
12.6
Worley
Ltd.
(62,430)
(636,815)
14,369
9.3
United
States
CSL
Ltd.
(23,294)
(4,542,193)
(13,132)
(8.5)
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
CDOR
plus
or
minus
a
specified
spread
(-1.83%
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
10/25/2023
-
01/27/2025
$76,044,741
$153,450
$(31,765)
$121,685
171
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Air
Canada
74,149
1,061,853
42,715
35.1
Alimentation
Couche-Tard,
Inc.
25,359
1,114,373
(1,686)
(1.4)
ARC
Resources
Ltd.
95,800
1,291,248
29,716
24.4
Atco
Ltd.
31,690
991,892
(3,511)
(2.9)
Bank
of
Nova
Scotia
(The)
46,026
2,255,070
30,593
25.1
Barrick
Gold
Corp.
37,032
634,795
(5,744)
(4.7)
Canadian
Natural
Resources
Ltd.
19,358
1,074,984
16,441
13.5
Canadian
Tire
Corp.
Ltd.
7,028
734,462
5,762
4.7
Cenovus
Energy,
Inc.
58,598
1,136,905
30,294
24.9
Empire
Co.
Ltd.
37,749
994,187
(2,509)
(2.1)
Fairfax
Financial
Holdings
Ltd.
2,446
1,448,939
3,667
3.0
Finning
International,
Inc.
48,315
1,201,095
8,921
7.3
Gildan
Activewear,
Inc.
18,520
507,180
13,678
11.2
iA
Financial
Corp.,
Inc.
13,090
766,355
11,601
9.5
Imperial
Oil
Ltd.
25,080
1,221,585
18,893
15.5
MEG
Energy
Corp.
152,683
2,125,609
76,680
63.0
National
Bank
of
Canada
19,654
1,324,250
3,048
2.5
Nutrien
Ltd.
38,506
2,811,166
(19,054)
(15.7)
Onex
Corp.
17,993
867,624
25,647
21.1
Open
Text
Corp.
45,607
1,351,368
26,610
21.9
Pembina
Pipeline
Corp.
27,160
921,916
5,416
4.5
Teck
Resources
Ltd.
14,763
557,919
(9,813)
(8.1)
Toromont
Industries
Ltd.
8,763
632,373
4,207
3.5
West
Fraser
Timber
Co.
Ltd.
12,906
931,920
(2,764)
(2.3)
Whitecap
Resources,
Inc.
188,790
1,497,492
44,618
36.7
Chile
Lundin
Mining
Corp.
126,682
777,494
(2,807)
(2.3)
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(33,518)
(1,741,748)
11,387
9.4
Algonquin
Power
&
Utilities
Corp.
(182,377)
(1,188,010)
17,510
14.4
Bank
of
Montreal
(7,856)
(711,682)
(3,771)
(3.1)
BCE,
Inc.
(53,405)
(2,346,428)
(16,566)
(13.6)
BlackBerry
Ltd.
(185,394)
(603,831)
(10,954)
(9.0)
CAE,
Inc.
(72,160)
(1,395,768)
(33,042)
(27.2)
Canadian
Imperial
Bank
of
Commerce
(22,585)
(913,575)
(16,680)
(13.7)
Canadian
Pacific
Railway
Ltd.
(51,333)
(3,827,228)
16,302
13.4
Canadian
Utilities
Ltd.
(21,865)
(591,841)
2,745
2.3
Constellation
Software,
Inc.
(722)
(1,127,237)
277
0.2
Enbridge,
Inc.
(35,498)
(1,387,411)
(2,360)
(1.9)
Fortis,
Inc.
(22,281)
(891,569)
7,076
5.8
GFL
Environmental,
Inc.
(28,412)
(829,698)
(12,380)
(10.2)
Intact
Financial
Corp.
(9,523)
(1,370,848)
13,011
10.7
Kinross
Gold
Corp.
(219,056)
(893,050)
8,089
6.6
Lightspeed
Commerce,
Inc.
(40,731)
(582,086)
(60,164)
(49.4)
Lithium
Americas
Corp.
(32,822)
(622,261)
(6,060)
(5.0)
Pan
American
Silver
Corp.
(48,268)
(787,831)
22,459
18.5
Restaurant
Brands
International,
Inc.
(15,928)
(1,030,144)
3,647
3.0
Rogers
Communications,
Inc.
(54,707)
(2,560,401)
(119,596)
(98.3)
172
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Royal
Bank
of
Canada
(28,010)
(2,633,436)
8,482
7.0
TC
Energy
Corp.
(16,149)
(643,813)
5,486
4.5
Toronto-Dominion
Bank
(The)
(30,389)
(1,967,654)
(2,469)
(2.0)
United
States
BRP,
Inc.
(14,275)
(1,088,337)
(8,961)
(7.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.23%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
01/27/2025
$38,568,581
$(12,464)
$277,140
$264,676
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
46,190
338,417
5,289
2.0
Switzerland
ABB
Ltd.
(Registered)
58,085
1,770,287
(20,665)
(7.8)
Baloise
Holding
AG
(Registered)
4,131
637,028
(6,758)
(2.6)
Barry
Callebaut
AG
(Registered)
533
1,052,542
(1,180)
(0.4)
Chocoladefabriken
Lindt
&
Spruengli
AG
74
754,063
(7,025)
(2.7)
Clariant
AG
(Registered)
10,927
173,536
(1,631)
(0.6)
DKSH
Holding
AG
8,828
669,456
(7,455)
(2.8)
Georg
Fischer
AG
(Registered)
3,820
234,022
(2,081)
(0.8)
Helvetia
Holding
AG
(Registered)
6,509
757,405
(7,780)
(2.9)
Kuehne
+
Nagel
International
AG
(Registered)
7,052
1,639,468
(9,418)
(3.6)
Lonza
Group
AG
(Registered)
1,199
588,560
2,189
0.8
Novartis
AG
(Registered)
32,226
2,916,371
(38,391)
(14.5)
Partners
Group
Holding
AG
248
219,600
(868)
(0.3)
SGS
SA
(Registered)
232
540,407
458
0.2
Sonova
Holding
AG
(Registered)
2,639
626,759
9,967
3.8
Swiss
Life
Holding
AG
(Registered)
2,960
1,525,759
(13,064)
(4.9)
Swisscom
AG
(Registered)
3,208
1,757,378
(7,863)
(3.0)
Temenos
AG
(Registered)
26,174
1,439,918
15,670
5.9
UBS
Group
AG
(Registered)
21,247
394,902
(4,463)
(1.7)
United
States
Roche
Holding
AG
5,048
1,586,271
(19,327)
(7.3)
Swiss
Re
AG
6,056
566,244
(8,147)
(3.1)
173
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
(37,261)
(1,225,695)
19,092
7.2
Bachem
Holding
AG
(11,542)
(1,001,505)
(7,893)
(3.0)
Banque
Cantonale
Vaudoise
(Registered)
(3,356)
(321,763)
2,894
1.1
Belimo
Holding
AG
(Registered)
(157)
(74,901)
(316)
(0.1)
BKW
AG
(1,105)
(151,189)
508
0.2
Cie
Financiere
Richemont
SA
(Registered)
(628)
(81,426)
550
0.2
Credit
Suisse
Group
AG
(Registered)
(366,951)
(1,095,513)
35,520
13.4
Dufry
AG
(Registered)
(8,725)
(363,523)
4,009
1.5
Flughafen
Zurich
AG
(Registered)
(3,335)
(516,059)
12,693
4.8
Galenica
AG
(2,650)
(216,214)
(265)
(0.1)
Geberit
AG
(Registered)
(3,062)
(1,445,511)
2,950
1.1
Givaudan
SA
(Registered)
(596)
(1,825,493)
(2,009)
(0.8)
Logitech
International
SA
(Registered)
(27,735)
(1,719,832)
(3,511)
(1.3)
Schindler
Holding
AG
(4,900)
(921,603)
5,245
2.0
SIG
Group
AG
(96,705)
(2,113,118)
1,752
0.7
Sika
AG
(Registered)
(1,260)
(302,908)
2,741
1.0
Straumann
Holding
AG
(Registered)
(1,099)
(126,024)
(2,116)
(0.8)
Tecan
Group
AG
(Registered)
(3,088)
(1,382,316)
296
0.1
VAT
Group
AG
(742)
(203,692)
(1,950)
(0.7)
United
States
Nestle
SA
(Registered)
(28,499)
(3,291,903)
39,889
15.1
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
CIBOR
plus
or
minus
a
specified
spread
(-1.50%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
01/27/2025
$20,702,205
$(214,208)
$23,904
$(190,304)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,057
2,366,205
(91,881)
48.3
Carlsberg
A/S
6,201
822,544
(4,220)
2.2
DSV
A/S
13,388
2,117,141
8,764
(4.6)
Genmab
A/S
1,919
811,343
(21,251)
11.2
ISS
A/S
54,174
1,146,666
(9,838)
5.2
Jyske
Bank
A/S
(Registered)
8,052
522,106
(1,689)
0.9
Pandora
A/S
27,204
1,922,819
20,403
(10.7)
174
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(52,313)
(671,835)
(19,993)
10.5
Chr
Hansen
Holding
A/S
(1,950)
(140,269)
(562)
0.3
Coloplast
A/S
(21,079)
(2,469,462)
(15,889)
8.3
Demant
A/S
(18,650)
(520,069)
(16,824)
8.8
GN
Store
Nord
A/S
(14,692)
(339,189)
(18,249)
9.6
H
Lundbeck
A/S
(57,134)
(213,953)
3,544
(1.9)
Novo
Nordisk
A/S
(16,785)
(2,279,664)
(27,055)
14.2
Novozymes
A/S
(18,324)
(929,644)
(12,826)
6.7
ROCKWOOL
A/S
(5,990)
(1,402,276)
11,842
(6.2)
Royal
Unibrew
A/S
(1,119)
(79,528)
691
(0.4)
SimCorp
A/S
(5,349)
(368,295)
(10,247)
5.4
Tryg
A/S
(10,014)
(237,988)
621
(0.3)
Vestas
Wind
Systems
A/S
(45,978)
(1,341,209)
(9,549)
5.0
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
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
01/27/2025
$209,966,724
$(636,119)
$1,913,246
$1,277,127
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
BNP
Paribas
SA
34,974
1,991,391
(30,256)
(2.4)
Cie
de
Saint-Gobain
63,443
3,103,685
(38,289)
(3.0)
Eiffage
SA
14,639
1,439,953
(26,789)
(2.1)
Orange
SA
232,007
2,302,002
(24,062)
(1.9)
Renault
SA
49,125
1,639,235
(10,383)
(0.8)
Rexel
SA
89,793
1,775,970
(1,269)
(0.1)
Societe
Generale
SA
58,611
1,470,178
(12,371)
(1.0)
TotalEnergies
SE
27,878
1,749,991
(29,487)
(2.3)
Germany
Bayer
AG
(Registered)
31,048
1,598,044
(13,371)
(1.0)
Bayerische
Motoren
Werke
AG
19,831
1,755,739
(19,991)
(1.6)
Commerzbank
AG
262,905
2,458,062
(60,706)
(4.8)
Deutsche
Bank
AG
(Registered)
220,261
2,476,079
(49,107)
(3.8)
thyssenkrupp
AG
290,474
1,763,917
(47,894)
(3.8)
Italy
Davide
Campari-Milano
NV
146,323
1,485,516
(20,026)
(1.6)
175
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
(continued)
Leonardo
SpA
296,615
2,558,235
(32,659)
(2.6)
Prysmian
SpA
52,004
1,932,236
(34,503)
(2.7)
Luxembourg
ArcelorMittal
SA
79,416
2,095,165
(41,158)
(3.2)
Netherlands
ASR
Nederland
NV
31,228
1,483,768
(30,855)
(2.4)
Singapore
STMicroelectronics
NV
42,451
1,508,541
(2,167)
(0.2)
Spain
Banco
de
Sabadell
SA
1,561,825
1,468,059
(54,332)
(4.3)
Industria
de
Diseno
Textil
SA
106,223
2,821,394
(33,774)
(2.6)
Repsol
SA
282,804
4,501,398
(54,652)
(4.3)
United
States
Stellantis
NV
190,403
2,705,696
23,873
1.9
Tenaris
SA
109,064
1,912,733
(30,530)
(2.4)
Short
Positions
Common
Stocks
Belgium
UCB
SA
(19,916)
(1,569,252)
(2,300)
(0.2)
Finland
Kone
OYJ
(32,121)
(1,662,961)
10,849
0.8
UPM-Kymmene
OYJ
(46,264)
(1,731,263)
33,747
2.6
France
Air
Liquide
SA
(12,651)
(1,795,625)
17,751
1.4
Alstom
SA
(75,919)
(1,857,482)
23,860
1.9
Cie
Generale
des
Etablissements
Michelin
SCA
(86,457)
(2,408,459)
71,362
5.6
EssilorLuxottica
SA
(15,141)
(2,739,510)
42,539
3.3
L'Oreal
SA
(9,273)
(3,320,640)
21,924
1.7
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2,294)
(1,669,328)
25,060
2.0
Germany
Allianz
SE
(Registered)
(8,179)
(1,746,689)
30,830
2.4
Deutsche
Telekom
AG
(Registered)
(139,505)
(2,775,673)
52,850
4.1
Fresenius
Medical
Care
AG
&
Co.
KGaA
(43,364)
(1,416,379)
(37,735)
(3.0)
Henkel
AG
&
Co.
KGaA
(Preference)
(33,797)
(2,342,563)
42,290
3.3
Rheinmetall
AG
(7,231)
(1,439,520)
33,293
2.6
SAP
SE
(43,226)
(4,462,684)
35,176
2.8
Siemens
AG
(Registered)
(25,237)
(3,478,954)
16,389
1.3
Siemens
Healthineers
AG
(32,674)
(1,629,833)
(24,790)
(1.9)
Italy
Nexi
SpA
(248,660)
(1,962,907)
(7,563)
(0.6)
Netherlands
Argenx
SE
(5,289)
(1,985,523)
(2,827)
(0.2)
Portugal
EDP
-
Energias
de
Portugal
SA
(463,839)
(2,312,148)
17,507
1.4
South
Korea
Delivery
Hero
SE
(30,319)
(1,455,002)
5,472
0.4
Spain
Ferrovial
SA
(54,813)
(1,435,154)
8,827
0.7
Grifols
SA
(191,978)
(2,217,042)
(28,437)
(2.2)
Iberdrola
SA
(168,112)
(1,962,456)
2,793
0.2
United
Kingdom
CNH
Industrial
NV
(127,978)
(2,053,023)
51,205
4.0
United
States
Schneider
Electric
SE
(28,171)
(3,956,184)
38,836
3.0
176
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
(-0.25%
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
-
01/27/2025
$78,356,086
$(161,413)
$705,164
$543,751
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
295,372
1,969,732
(28,901)
(5.3)
Rio
Tinto
plc
22,621
1,592,157
1,071
0.2
Netherlands
Shell
plc
140,412
3,958,329
(30,821)
(5.7)
Nigeria
Airtel
Africa
plc
466,649
628,809
2,597
0.5
South
Africa
Anglo
American
plc
33,010
1,292,668
(18,691)
(3.4)
United
Kingdom
Associated
British
Foods
plc
35,725
677,302
(8,767)
(1.6)
Auto
Trader
Group
plc
126,941
790,507
(9,048)
(1.7)
Aviva
plc
238,564
1,265,498
(25,434)
(4.7)
Barclays
plc
671,356
1,277,465
(12,062)
(2.2)
Barratt
Developments
plc
149,118
712,232
(26,720)
(4.9)
BP
plc
308,766
1,781,562
(11,688)
(2.1)
British
American
Tobacco
plc
30,473
1,205,456
(22,248)
(4.1)
Centrica
plc
1,129,470
1,313,644
(11,411)
(2.1)
Diageo
plc
30,601
1,339,463
(17,701)
(3.3)
DS
Smith
plc
362,390
1,397,884
(15,025)
(2.8)
Harbour
Energy
plc
287,371
1,060,478
(16,516)
(3.0)
HSBC
Holdings
plc
216,615
1,342,480
(14,042)
(2.6)
InterContinental
Hotels
Group
plc
33,331
1,912,493
(5,171)
(1.0)
Johnson
Matthey
plc
23,210
593,182
7,015
1.3
Lloyds
Banking
Group
plc
2,535,134
1,383,457
(33,730)
(6.2)
Man
Group
plc
369,438
950,511
(23,147)
(4.3)
Reckitt
Benckiser
Group
plc
20,526
1,422,788
(5,558)
(1.0)
RELX
plc
61,412
1,697,921
(24,541)
(4.5)
Rightmove
plc
93,248
576,873
(6,854)
(1.3)
Standard
Chartered
plc
173,919
1,297,178
(25,774)
(4.7)
Tesco
plc
372,899
1,004,914
(2,660)
(0.5)
Vodafone
Group
plc
1,243,628
1,259,444
(10,549)
(1.9)
United
States
GSK
plc
70,958
1,226,384
(9,087)
(1.7)
177
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(110,149)
(2,056,218)
56,439
10.4
Italy
Coca-Cola
HBC
AG
(32,806)
(775,495)
(8,454)
(1.6)
Jordan
Hikma
Pharmaceuticals
plc
(39,824)
(742,156)
8,910
1.6
United
Kingdom
abrdn
plc
(589,725)
(1,340,089)
(2,955)
(0.5)
AstraZeneca
plc
(24,619)
(3,331,428)
16,925
3.1
AVEVA
Group
plc
(50,214)
(1,943,636)
8,069
1.5
B&M
European
Value
Retail
SA
(156,761)
(778,130)
(735)
(0.1)
ConvaTec
Group
plc
(235,959)
(660,843)
3,819
0.7
Informa
plc
(77,670)
(579,400)
(418)
(0.1)
ITV
plc
(1,088,119)
(984,059)
(6,393)
(1.2)
Kingfisher
plc
(700,681)
(1,990,793)
9,182
1.7
Ocado
Group
plc
(143,588)
(1,065,857)
17,002
3.1
Pennon
Group
plc
(96,089)
(1,033,109)
1,356
0.2
Persimmon
plc
(72,198)
(1,058,612)
39,417
7.2
Rentokil
Initial
plc
(298,658)
(1,834,886)
30,364
5.6
Rolls-Royce
Holdings
plc
(817,081)
(912,659)
2,448
0.5
Schroders
plc
(123,055)
(646,592)
5,605
1.0
Severn
Trent
plc
(39,227)
(1,253,230)
15,822
2.9
Smith
&
Nephew
plc
(92,841)
(1,239,876)
(7,479)
(1.4)
Taylor
Wimpey
plc
(795,247)
(973,939)
28,335
5.2
United
Utilities
Group
plc
(58,386)
(697,616)
5,701
1.0
Weir
Group
plc
(The)
(48,269)
(970,904)
10,332
1.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.23%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
12/30/2024
$16,372,881
$27,169
$(855,384)
$(828,215)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
361,500
1,227,219
(18,622)
2.2
SITC
International
Holdings
Co.
Ltd.
508,000
1,125,951
(41,633)
5.0
Xinyi
Glass
Holdings
Ltd.
88,000
162,587
(663)
0.1
178
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
ASMPT
Ltd.
134,200
953,115
(3,682)
0.4
CLP
Holdings
Ltd.
17,000
123,855
364
(0.0)
HKT
Trust
&
HKT
Ltd.
134,000
164,033
(1,290)
0.2
Man
Wah
Holdings
Ltd.
262,400
259,650
(1,559)
0.2
New
World
Development
Co.
Ltd.
158,000
443,218
(12,233)
1.5
Swire
Properties
Ltd.
136,400
345,487
3,676
(0.4)
WH
Group
Ltd.
1,592,000
928,515
(15,820)
1.9
Macau
Sands
China
Ltd.
42,400
139,082
1,106
(0.1)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
153,000
916,600
(9,579)
1.2
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(197,000)
(615,821)
25,244
(3.0)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(309,200)
(628,344)
(2,453)
0.3
ESR
Group
Ltd.
(243,000)
(508,003)
10,658
(1.3)
Hong
Kong
Hang
Lung
Properties
Ltd.
(119,000)
(231,813)
2,362
(0.3)
Henderson
Land
Development
Co.
Ltd.
(78,000)
(271,534)
(2,722)
0.3
Hong
Kong
&
China
Gas
Co.
Ltd.
(656,000)
(622,156)
12,375
(1.5)
MTR
Corp.
Ltd.
(214,518)
(1,134,554)
(2,250)
0.3
Power
Assets
Holdings
Ltd.
(19,500)
(106,577)
(151)
0.0
Techtronic
Industries
Co.
Ltd.
(239,500)
(2,660,089)
67,691
(8.2)
Wharf
Real
Estate
Investment
Co.
Ltd.
(135,000)
(786,259)
(18,334)
2.2
Macau
Galaxy
Entertainment
Group
Ltd.
(307,000)
(2,018,419)
34,684
(4.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
01/27/2025
$30,654,635
$46,556
$689,926
$736,482
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
139,519
1,494,521
(10,728)
(1.5)
Sweden
Axfood
AB
38,502
1,055,753
(10,955)
(1.5)
179
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Billerud
AB
43,390
529,300
(11,887)
(1.6)
Boliden
AB
50,565
1,899,332
(24,927)
(3.4)
Evolution
AB
11,970
1,165,931
3,213
0.4
Getinge
AB
8,028
166,907
3,036
0.4
Hexpol
AB
20,701
220,879
(4,087)
(0.6)
Saab
AB
29,653
1,168,553
(5,365)
(0.7)
Sandvik
AB
20,350
367,757
(6,388)
(0.9)
Skandinaviska
Enskilda
Banken
AB
55,329
636,996
(6,972)
(0.9)
Skanska
AB
48,566
769,892
549
0.1
SSAB
AB
432,062
2,250,637
17,215
2.3
Svenska
Cellulosa
AB
SCA
19,035
241,072
(5,556)
(0.8)
Svenska
Handelsbanken
AB
62,088
625,102
(4,117)
(0.6)
Swedbank
AB
43,061
732,427
(10,370)
(1.4)
Telefonaktiebolaget
LM
Ericsson
162,821
954,035
(11,982)
(1.6)
Telia
Co.
AB
190,572
486,963
(1,938)
(0.3)
Trelleborg
AB
28,222
651,889
(16,144)
(2.2)
Volvo
AB
100,144
1,808,961
(23,312)
(3.2)
Volvo
Car
AB
27,705
126,152
(931)
(0.1)
United
States
Sinch
AB
76,100
280,457
3,245
0.4
Short
Positions
Common
Stocks
Guatemala
Millicom
International
Cellular
SA
(20,580)
(260,741)
7,188
1.0
Sweden
Alfa
Laval
AB
(37,619)
(1,088,218)
14,952
2.0
Atlas
Copco
AB
(76,566)
(907,184)
8,967
1.2
Beijer
Ref
AB
(42,119)
(594,744)
12,328
1.7
Epiroc
AB
(23,920)
(435,562)
7,543
1.0
EQT
AB
(17,777)
(377,677)
(1,518)
(0.2)
Essity
AB
(29,082)
(761,576)
6,802
0.9
Hexagon
AB
(299,370)
(3,138,922)
41,302
5.6
Holmen
AB
(7,357)
(292,404)
6,393
0.9
Husqvarna
AB
(79,986)
(561,776)
8,367
1.1
Lifco
AB
(6,343)
(106,171)
601
0.1
Nibe
Industrier
AB
(116,742)
(1,089,644)
38,076
5.2
Securitas
AB
(171,861)
(1,434,087)
8,558
1.2
SKF
AB
(120,834)
(1,845,561)
15,321
2.1
Swedish
Orphan
Biovitrum
AB
(6,129)
(126,852)
77
0.0
180
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
12,480,958
$
12,480,958
CITG
Cash
–
2,357,549
2,357,549
CITI
Investment
Companies
25,672,752
–
25,672,752
GSCO
Cash
–
(2,163,785)
(2,163,785)
GSIN
Cash
(6,322,432)
–
(6,322,432)
U.S.
Treasury
Bills
55,765,568
–
55,765,568
JPMC
Investment
Companies
23,972,746
–
23,972,746
U.S.
Treasury
Bills
7,964,255
–
7,964,255
JPMS
Cash
–
7,667,550
7,667,550
MLIN
Cash
(1,781,036)
–
(1,781,036)
U.S.
Treasury
Bills
31,859,493
–
31,859,493
MSCL
Cash
–
10,055,951
10,055,951
MSCS
Cash
(144,158)
–
(144,158)
U.S.
Treasury
Bills
3,252,943
–
3,252,943
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
4,216,897
$
4,216,897
JPPC
Cash
–
1,942,588
1,942,588
MSCL
Cash
–
12,048,684
12,048,684
181
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
89.0%
INVESTMENT
COMPANIES
-
23.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares
,
3.94%
(1)(a)(b)
13,763,703
13,763,703
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)
29,677,707
29,665,837
TOTAL
INVESTMENT
COMPANIES
(Cost
$43,422,007)
43,429,540
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
65.3%
U.S.
Treasury
Bills
3.16%,
2/23/2023
(c)
$
1,485,000
1,476,063
3.29%,
3/2/2023
(c)
7,469,000
7,417,992
3.38%,
3/9/2023
(c)
11,120,000
11,034,805
3.53%,
3/16/2023
(c)
4,583,000
4,544,993
3.85%,
3/23/2023
(c)
12,197,000
12,083,477
3.93%,
3/30/2023
(c)
11,713,000
11,593,014
3.93%,
4/6/2023
(c)(d)
6,629,000
6,557,075
4.33%,
4/20/2023
(c)(d)
29,636,000
29,249,616
4.49%,
4/27/2023
(c)(d)
5,817,000
5,735,033
4.54%,
5/4/2023
(c)
1,133,000
1,115,898
4.59%,
5/11/2023
(c)(d)
2,497,000
2,456,687
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
65.3%
(continued)
4.62%,
5/25/2023
(c)
$
807,000
792,639
4.66%,
6/22/2023
(c)(d)
3,141,000
3,073,794
4.71%,
6/29/2023
(c)(d)
22,968,000
22,459,551
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$119,636,642)
119,590,637
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$163,058,649)
163,020,177
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
89.0%
(Cost
$163,058,649)
163,020,177
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
11.0%
(e)
20,046,868
NET
ASSETS
-
100.0%
183,067,045
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
43,429,540
23.7
U.S.
Treasury
Obligations
119,590,637
65.3
Total
Investments
In
Securities
At
Value
$
163,020,177
89.0
Other
Assets
in
Excess
of
Liabilities
(e)
20,046,868
11.0
Net
Assets
$
183,067,045
100.0%
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
182
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
December
31,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
Emerging
Markets
Index
Series
38.V1
1.00
%
Quarterly
12/20/2027
2.39
%
USD
102,000
$
7,923
$
(1,992)
$
5,931
iTraxx
Europe
Main
Index
Series
38.V1
1.00
Quarterly
12/20/2027
0.90
EUR
53,000
(227)
(33)
(260)
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
Quarterly
12/20/2027
4.85
USD
277,000
1,148
(3,184)
(2,036)
Markit
CDX
North
America
Investment
Grade
Index
Series
39.V1
1.00
Quarterly
12/20/2027
0.82
USD
959,000
(5,071)
(2,865)
(7,936)
$
3,773
$
(8,074)
$
(4,301)
Credit
default
swap
contracts
outstanding
-
sell
protection
as
of
December
31,
2022
:
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
38.V1
5.00
%
Quarterly
12/20/2027
4.74
%
EUR
119,000
$
739
$
727
$
1,466
$
739
$
727
$
1,466
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
December
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SARON
Annual
2.00%
Annual
3/15/2028
CHF
5,600,000
$
(19,996)
$
49,210
$
29,214
Pay
1D
SOFR
Annual
3.75%
Annual
3/15/2033
USD
2,500,000
37,936
7,153
45,089
Pay
6M
NIBOR
Semi
3.50%
Annual
6/21/2028
NOK
75,800,000
95,694
6,234
101,928
Pay
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
500,000
2,014
(957)
1,057
Receive
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
1,900,000
(5,828)
12,812
6,984
Receive
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
2,400,000
18,593
15,943
34,536
Receive
1D
SARON
Annual
1.00%
Annual
6/23/2025
CHF
700,000
3,392
7,625
11,017
Receive
1D
SARON
Annual
1.50%
Annual
6/23/2025
CHF
9,500,000
15,320
32,898
48,218
Receive
1D
SARON
Annual
1.50%
Annual
3/15/2033
CHF
600,000
21,049
14,710
35,759
Receive
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
1,800,000
28,877
(10,078)
18,799
Receive
1D
SARON
Annual
2.00%
Annual
6/21/2033
CHF
1,300,000
7,012
10,074
17,086
Receive
1D
SARON
Annual
1.50%
Annual
6/21/2033
CHF
600,000
4,627
32,580
37,207
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
17,100,000
207,269
304,780
512,049
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
15,800,000
269,839
(20,195)
249,644
Receive
1D
SOFR
Annual
3.75%
Annual
6/23/2025
USD
18,400,000
96,980
26,238
123,218
Receive
1D
SOFR
Annual
3.25%
Annual
6/23/2025
USD
59,300,000
748,855
201,822
950,677
Receive
1D
SOFR
Annual
3.00%
Annual
6/21/2033
USD
9,000,000
118,799
237,709
356,508
Receive
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
2,500,000
86,771
26,401
113,172
Receive
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
26,100,000
382,195
(81,864)
300,331
Receive
1D
SONIA
Annual
4.00%
Annual
6/23/2025
GBP
61,800,000
407,341
244,603
651,944
Receive
1D
SONIA
Annual
3.25%
Annual
6/21/2033
GBP
2,300,000
(4,413)
108,198
103,785
Receive
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
1,730,300,000
37,285
40,720
78,005
183
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1D
TONAR
Annual
0.00%
Annual
6/23/2025
JPY
9,263,400,000
$
335,364
$
192,696
$
528,060
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
30,000,000
(2,314)
3,471
1,157
Receive
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
400,000
(20)
223
203
Receive
1M
TIIE
Monthly
8.50%
Monthly
6/18/2025
MXN
61,000,000
21,133
9,294
30,427
Receive
1M
TIIE
Monthly
9.00%
Monthly
6/18/2025
MXN
60,400,000
4,554
(1,127)
3,427
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
15,600,000
75,685
2,935
78,620
Receive
3M
BA
Qtrly
3.75%
Semi
6/19/2025
CAD
60,000,000
82,351
236,239
318,590
Receive
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
100,000
2,720
91
2,811
Receive
3M
BBR
Qtrly
5.00%
Semi
3/12/2025
NZD
1,600,000
(260)
7,911
7,651
Receive
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
100,000
(106)
1,171
1,065
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
300,000
1,068
3,888
4,956
Receive
3M
BBR
Qtrly
5.00%
Semi
6/11/2025
NZD
24,900,000
(55,106)
139,674
84,568
Receive
3M
BBR
Qtrly
4.00%
Qtrly
6/12/2025
AUD
16,400,000
(70,793)
97,973
27,180
Receive
3M
BBR
Qtrly
4.00%
Semi
3/16/2033
NZD
100,000
751
3,278
4,029
Receive
3M
BBR
Qtrly
4.50%
Semi
3/16/2033
NZD
100,000
1,134
402
1,536
Receive
3M
BBR
Qtrly
4.50%
Semi
6/15/2033
NZD
5,300,000
(87,128)
161,566
74,438
Receive
3M
CD_KSDA
Qtrly
3.50%
Qtrly
6/18/2025
KRW
3,720,400,000
12,778
(2,500)
10,278
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
1,800,000
641
1,243
1,884
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
27,000,000
(7,457)
11,048
3,591
Receive
3M
STIBOR
Qtrly
3.00%
Annual
6/18/2025
SEK
193,700,000
30,704
162,690
193,394
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
1,400,000
(1,298)
2,823
1,525
Receive
3M
STIBOR
Qtrly
2.50%
Annual
6/15/2033
SEK
42,800,000
22,909
190,103
213,012
Receive
3M
STIBOR
Qtrly
3.00%
Annual
6/15/2033
SEK
1,000,000
957
(5)
952
Receive
6M
BBR
Semi
4.00%
Semi
6/08/2028
AUD
12,200,000
129,066
(795)
128,271
Receive
6M
BBR
Semi
4.50%
Semi
6/09/2033
AUD
2,300,000
(31,362)
44,845
13,483
Receive
6M
BUBOR
Semi
12.00%
Annual
6/18/2025
HUF
1,220,000,000
8,231
14,026
22,257
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
1,500,000
19,592
40,408
60,000
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/23/2025
EUR
85,500,000
623,109
1,053,978
1,677,087
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
100,000
7,320
3,717
11,037
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/21/2033
EUR
11,400,000
684,958
54,523
739,481
Receive
6M
NIBOR
Semi
3.00%
Annual
6/15/2033
NOK
23,400,000
20,525
28,580
49,105
Receive
6M
PRIBOR
Semi
5.00%
Annual
6/18/2025
CZK
400,000
(75)
293
218
4,389,242
3,731,278
8,120,520
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
2,600,000
(2,896)
(50,992)
(53,888)
Pay
1D
SARON
Annual
1.50%
Annual
6/21/2028
CHF
7,500,000
(81,659)
(91,219)
(172,878)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2028
USD
39,800,000
(557,372)
(498,032)
(1,055,404)
Pay
1D
SOFR
Annual
3.25%
Annual
6/21/2028
USD
8,100,000
(101,415)
(23,551)
(124,966)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
4,300,000
(184,584)
(182,459)
(367,043)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
3,600,000
(205,384)
46,980
(158,404)
Pay
1D
SONIA
Annual
3.50%
Annual
3/15/2028
GBP
5,400,000
(150,519)
(16,739)
(167,258)
Pay
1D
SONIA
Annual
3.50%
Annual
6/21/2028
GBP
33,700,000
(359,591)
(583,706)
(943,297)
Pay
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
200,000
(22,661)
(11,387)
(34,048)
Pay
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
1,500,000
(130,095)
21,194
(108,901)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2028
JPY
5,340,300,000
(274,144)
(37,664)
(311,808)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
243,700,000
(22,234)
(48,639)
(70,873)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2033
JPY
842,300,000
(164,882)
(101,887)
(266,769)
Pay
3M
BA
Qtrly
3.50%
Semi
3/13/2028
CAD
3,800,000
(37,399)
15,664
(21,735)
Pay
3M
BA
Qtrly
3.50%
Semi
6/19/2028
CAD
20,600,000
188,475
(238,982)
(50,507)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
300,000
(9,080)
5,274
(3,806)
Pay
3M
BA
Qtrly
3.50%
Semi
6/20/2033
CAD
2,200,000
11,740
(34,880)
(23,140)
Pay
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
21,800,000
18,044
(40,848)
(22,804)
Pay
3M
BBR
Qtrly
4.50%
Semi
6/14/2028
NZD
18,700,000
118,397
(273,974)
(155,577)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
6/21/2028
SEK
160,600,000
188,340
(374,370)
(186,030)
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
5,100,000
9,662
(31,167)
(21,505)
Pay
6M
BBR
Semi
4.00%
Semi
6/09/2033
AUD
13,200,000
(119,081)
(319,562)
(438,643)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/21/2028
EUR
56,000,000
(676,247)
(1,412,215)
(2,088,462)
Receive
1D
SARON
Annual
2.00%
Annual
3/17/2025
CHF
6,500,000
(6,270)
(39,480)
(45,750)
184
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
3/17/2025
USD
12,500,000
$
(33,341)
$
(4,892)
$
(38,233)
Receive
1D
TONAR
Annual
0.50%
Annual
6/23/2025
JPY
7,910,000,000
(114,218)
(36,231)
(150,449)
Receive
1M
TIIE
Monthly
10.00%
Monthly
3/12/2025
MXN
85,000,000
(59,690)
25,762
(33,928)
Receive
3M
BBR
Qtrly
5.50%
Semi
3/12/2025
NZD
300,000
(1,130)
804
(326)
Receive
3M
CD_KSDA
Qtrly
4.00%
Qtrly
3/19/2025
KRW
200,000,000
23
(796)
(773)
Receive
3M
HIBOR
Qtrly
4.50%
Qtrly
6/18/2025
HKD
3,900,000
(2,613)
541
(2,072)
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
126,000,000
15,433
(33,321)
(17,888)
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
6/18/2025
ZAR
11,000,000
(374)
(563)
(937)
Receive
6M
BBR
Semi
4.50%
Semi
3/09/2028
AUD
20,600,000
(143,697)
18,230
(125,467)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
9,000,000
635
(10,530)
(9,895)
Receive
6M
NIBOR
Semi
3.50%
Annual
6/18/2025
NOK
110,000,000
28,325
(53,828)
(25,503)
Receive
6M
PRIBOR
Semi
6.50%
Annual
3/19/2025
CZK
22,000,000
657
(8,668)
(8,011)
Receive
6M
WIBOR
Semi
8.00%
Annual
3/19/2025
PLN
6,300,000
1,454
(33,322)
(31,868)
(2,879,391)
(4,459,455)
(7,338,846)
$
1,509,851
$
(728,177)
$
781,674
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
December
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
4.30%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
3.43%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
10.77%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.26%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.94%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
4.99%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
7.26%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.98%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
2.70%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.77%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
15.75%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
2.69%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.51%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.26%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.04%
185
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
(5,008,320)
$
145,372
TAIEX
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
TWD
(5,654,000)
2,284
147,656
Hang
Seng
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(5,974,500)
(3,625)
HSCEI
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(1,690,000)
(461)
iBovespa
Index
February
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
02/15/2023
BRL
(11,665,815)
(62,158)
(66,244)
$
81,412
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
1
1/2023
USD
$
58,805
$
326
LME
Aluminum
Base
Metal
4
1/2023
USD
234,851
13,439
LME
Aluminum
Base
Metal
4
1/2023
USD
235,251
7,351
LME
Aluminum
Base
Metal
5
1/2023
USD
296,906
24,645
LME
Aluminum
Base
Metal
6
1/2023
USD
352,277
24,599
LME
Aluminum
Base
Metal
8
1/2023
USD
470,168
17,964
LME
Aluminum
Base
Metal
11
1/2023
USD
646,253
8,037
LME
Aluminum
Base
Metal
17
1/2023
USD
998,542
58,473
LME
Aluminum
Base
Metal
17
1/2023
USD
998,427
27,385
LME
Aluminum
Base
Metal
19
1/2023
USD
1,116,492
(1,249)
LME
Aluminum
Base
Metal
26
1/2023
USD
1,527,487
42,920
LME
Copper
Base
Metal
1
1/2023
USD
209,307
24,603
LME
Copper
Base
Metal
1
1/2023
USD
209,325
22,352
LME
Copper
Base
Metal
1
1/2023
USD
210,238
23,179
LME
Copper
Base
Metal
1
1/2023
USD
209,213
21,044
LME
Copper
Base
Metal
1
1/2023
USD
209,194
19,959
LME
Copper
Base
Metal
2
1/2023
USD
418,651
33,795
LME
Copper
Base
Metal
2
1/2023
USD
418,621
40,143
LME
Copper
Base
Metal
3
1/2023
USD
627,863
66,223
LME
Copper
Base
Metal
6
1/2023
USD
1,254,827
108,060
LME
Copper
Base
Metal
10
1/2023
USD
2,092,503
205,792
LME
Lead
Base
Metal
2
1/2023
USD
115,796
16,629
LME
Lead
Base
Metal
3
1/2023
USD
174,638
25,684
186
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
3
1/2023
USD
$
174,750
$
22,070
LME
Lead
Base
Metal
3
1/2023
USD
173,663
33,141
LME
Lead
Base
Metal
4
1/2023
USD
232,625
29,655
LME
Lead
Base
Metal
5
1/2023
USD
291,813
45,947
LME
Lead
Base
Metal
6
1/2023
USD
347,525
68,584
LME
Lead
Base
Metal
7
1/2023
USD
405,526
75,107
LME
Lead
Base
Metal
7
1/2023
USD
406,263
56,857
LME
Lead
Base
Metal
7
1/2023
USD
406,131
64,063
LME
Lead
Base
Metal
9
1/2023
USD
525,150
61,325
LME
Nickel
Base
Metal
1
1/2023
USD
179,423
47,600
LME
Nickel
Base
Metal
1
1/2023
USD
180,462
53,763
LME
Nickel
Base
Metal
1
1/2023
USD
179,334
47,331
LME
Nickel
Base
Metal
1
1/2023
USD
179,406
45,273
LME
Nickel
Base
Metal
2
1/2023
USD
359,079
89,374
LME
Nickel
Base
Metal
4
1/2023
USD
717,624
180,042
LME
Zinc
Base
Metal
1
1/2023
USD
74,585
2,716
LME
Zinc
Base
Metal
2
1/2023
USD
149,613
3,281
LME
Zinc
Base
Metal
3
1/2023
USD
224,058
1,905
NY
Harbor
ULSD
7
1/2023
USD
968,730
115,251
RBOB
Gasoline
8
1/2023
USD
832,709
124,645
100
oz
Gold
9
2/2023
USD
1,643,580
10,211
LME
Aluminum
Base
Metal
1
2/2023
USD
59,167
(511)
LME
Aluminum
Base
Metal
1
2/2023
USD
58,988
(331)
LME
Aluminum
Base
Metal
4
2/2023
USD
235,951
(7,990)
LME
Aluminum
Base
Metal
5
2/2023
USD
295,470
(6,089)
LME
Aluminum
Base
Metal
5
2/2023
USD
295,389
(1,795)
LME
Aluminum
Base
Metal
5
2/2023
USD
294,939
(11,395)
LME
Aluminum
Base
Metal
6
2/2023
USD
354,077
(6,888)
LME
Aluminum
Base
Metal
7
2/2023
USD
412,914
(12,511)
LME
Aluminum
Base
Metal
9
2/2023
USD
531,002
(13,578)
LME
Copper
Base
Metal
1
2/2023
USD
209,488
7,610
LME
Copper
Base
Metal
2
2/2023
USD
418,829
20,323
LME
Copper
Base
Metal
2
2/2023
USD
418,676
17,920
LME
Copper
Base
Metal
2
2/2023
USD
418,775
(1,880)
LME
Copper
Base
Metal
2
2/2023
USD
418,848
19,305
LME
Copper
Base
Metal
2
2/2023
USD
418,700
15,882
LME
Copper
Base
Metal
2
2/2023
USD
418,626
32,880
LME
Copper
Base
Metal
3
2/2023
USD
628,069
(5,439)
LME
Copper
Base
Metal
4
2/2023
USD
837,261
71,790
LME
Copper
Base
Metal
6
2/2023
USD
1,256,250
41,772
LME
Copper
Base
Metal
12
2/2023
USD
2,512,350
1,206
LME
Lead
Base
Metal
1
2/2023
USD
57,856
7,079
LME
Lead
Base
Metal
1
2/2023
USD
57,833
4,294
LME
Lead
Base
Metal
1
2/2023
USD
57,869
8,418
LME
Lead
Base
Metal
2
2/2023
USD
115,690
7,909
LME
Lead
Base
Metal
3
2/2023
USD
173,523
9,377
LME
Lead
Base
Metal
3
2/2023
USD
173,513
7,989
LME
Lead
Base
Metal
4
2/2023
USD
231,350
14,402
LME
Lead
Base
Metal
7
2/2023
USD
404,863
30,835
LME
Nickel
Base
Metal
1
2/2023
USD
179,799
9,114
LME
Nickel
Base
Metal
1
2/2023
USD
180,039
19,168
LME
Nickel
Base
Metal
2
2/2023
USD
359,580
4,791
LME
Nickel
Base
Metal
3
2/2023
USD
539,232
59,284
LME
Zinc
Base
Metal
1
2/2023
USD
74,570
1,929
LME
Zinc
Base
Metal
1
2/2023
USD
74,494
491
LME
Zinc
Base
Metal
2
2/2023
USD
149,134
5,353
187
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
2
2/2023
USD
$
149,046
$
(960)
LME
Zinc
Base
Metal
2
2/2023
USD
149,128
3,111
LME
Zinc
Base
Metal
3
2/2023
USD
223,649
17,758
LME
Zinc
Base
Metal
6
2/2023
USD
447,435
568
LME
Zinc
Base
Metal
9
2/2023
USD
670,388
15,005
LME
Zinc
Base
Metal
15
2/2023
USD
1,117,249
6,929
Low
Sulphur
Gasoil
9
2/2023
USD
815,400
86,259
White
Sugar
47
2/2023
USD
1,302,840
83,980
Cocoa
3
3/2023
USD
78,000
1,011
Cocoa
39
3/2023
GBP
972,213
49,822
FCOJ-A
7
3/2023
USD
214,410
3,517
LME
Aluminum
Base
Metal
1
3/2023
USD
59,191
(2,738)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,502
(6,110)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,675
(481)
LME
Aluminum
Base
Metal
3
3/2023
USD
178,275
(2,353)
LME
Aluminum
Base
Metal
3
3/2023
USD
177,717
(9,799)
LME
Aluminum
Base
Metal
4
3/2023
USD
237,168
(4,842)
LME
Aluminum
Base
Metal
6
3/2023
USD
355,802
(17,762)
LME
Copper
Base
Metal
1
3/2023
USD
209,450
(931)
LME
Copper
Base
Metal
1
3/2023
USD
209,488
510
LME
Copper
Base
Metal
1
3/2023
USD
209,288
(3,090)
LME
Copper
Base
Metal
1
3/2023
USD
209,256
148
LME
Copper
Base
Metal
2
3/2023
USD
418,975
(818)
LME
Copper
Base
Metal
2
3/2023
USD
418,538
1,389
LME
Copper
Base
Metal
3
3/2023
USD
628,463
(45)
LME
Copper
Base
Metal
3
3/2023
USD
628,463
8,955
LME
Copper
Base
Metal
3
3/2023
USD
628,256
(8,629)
LME
Copper
Base
Metal
7
3/2023
USD
1,465,713
(9,118)
LME
Lead
Base
Metal
1
3/2023
USD
57,803
2,228
LME
Lead
Base
Metal
1
3/2023
USD
57,818
3,045
LME
Lead
Base
Metal
2
3/2023
USD
114,775
3,002
LME
Lead
Base
Metal
2
3/2023
USD
114,675
1,813
LME
Lead
Base
Metal
2
3/2023
USD
115,500
6,327
LME
Lead
Base
Metal
9
3/2023
USD
519,638
20,876
LME
Nickel
Base
Metal
1
3/2023
USD
180,279
(1,794)
LME
Nickel
Base
Metal
1
3/2023
USD
180,263
10,700
LME
Nickel
Base
Metal
1
3/2023
USD
180,258
2,065
LME
Nickel
Base
Metal
1
3/2023
USD
180,249
9,396
LME
Nickel
Base
Metal
2
3/2023
USD
360,512
11,547
LME
Nickel
Base
Metal
3
3/2023
USD
540,810
16,863
LME
Zinc
Base
Metal
2
3/2023
USD
148,725
(3,899)
LME
Zinc
Base
Metal
3
3/2023
USD
223,350
(18,566)
LME
Zinc
Base
Metal
3
3/2023
USD
223,331
(22,271)
LME
Zinc
Base
Metal
3
3/2023
USD
223,285
(21,143)
LME
Zinc
Base
Metal
3
3/2023
USD
223,035
639
LME
Zinc
Base
Metal
7
3/2023
USD
521,325
(43,853)
LME
Zinc
Base
Metal
21
3/2023
USD
1,562,663
(108,676)
Milk
1
3/2023
USD
37,180
(116)
Milling
Wheat
No.
2
11
3/2023
EUR
182,070
(190)
Silver
3
3/2023
USD
360,600
(1,026)
Soybean
35
3/2023
USD
2,667,000
61,644
Soybean
Meal
5
3/2023
USD
235,500
9,308
Soybean
Oil
13
3/2023
USD
499,746
27,486
188
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Platinum
1
4/2023
USD
$
54,145
$
2,338
2,539,237
Short
Contracts
Amsterdam
Exchange
Index
(22)
1/2023
EUR
(3,248,238)
125,831
Brent
Crude
Oil
(15)
1/2023
USD
(1,288,650)
(99,678)
CAC
40
10
Euro
Index
(49)
1/2023
EUR
(3,393,910)
71,915
CBOE
Volatility
Index
(1)
1/2023
USD
(23,098)
2,300
EURO
STOXX
50
Volatility
Index
(4)
1/2023
EUR
(9,399)
628
Hang
Seng
Index
(5)
1/2023
HKD
(637,856)
(738)
IBEX
35
Index
(27)
1/2023
EUR
(2,368,329)
7,221
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(58,805)
(281)
LME
Aluminum
Base
Metal
(4)
1/2023
USD
(234,851)
(12,574)
LME
Aluminum
Base
Metal
(4)
1/2023
USD
(235,251)
(5,263)
LME
Aluminum
Base
Metal
(5)
1/2023
USD
(296,906)
(27,819)
LME
Aluminum
Base
Metal
(6)
1/2023
USD
(352,277)
(25,874)
LME
Aluminum
Base
Metal
(8)
1/2023
USD
(470,168)
(20,382)
LME
Aluminum
Base
Metal
(11)
1/2023
USD
(646,253)
29
LME
Aluminum
Base
Metal
(17)
1/2023
USD
(998,427)
(25,219)
LME
Aluminum
Base
Metal
(17)
1/2023
USD
(998,542)
(55,725)
LME
Aluminum
Base
Metal
(19)
1/2023
USD
(1,116,492)
4,364
LME
Aluminum
Base
Metal
(26)
1/2023
USD
(1,527,487)
(42,189)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,194)
(20,947)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,307)
(24,809)
LME
Copper
Base
Metal
(1)
1/2023
USD
(210,238)
(23,883)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,213)
(21,290)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,325)
(20,828)
LME
Copper
Base
Metal
(2)
1/2023
USD
(418,621)
(42,926)
LME
Copper
Base
Metal
(2)
1/2023
USD
(418,651)
(32,433)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,863)
(68,871)
LME
Copper
Base
Metal
(6)
1/2023
USD
(1,254,827)
(106,792)
LME
Copper
Base
Metal
(10)
1/2023
USD
(2,092,503)
(199,904)
LME
Lead
Base
Metal
(2)
1/2023
USD
(115,796)
(15,051)
LME
Lead
Base
Metal
(3)
1/2023
USD
(174,750)
(22,133)
LME
Lead
Base
Metal
(3)
1/2023
USD
(174,638)
(25,920)
LME
Lead
Base
Metal
(3)
1/2023
USD
(173,663)
(33,195)
LME
Lead
Base
Metal
(4)
1/2023
USD
(232,625)
(28,685)
LME
Lead
Base
Metal
(5)
1/2023
USD
(291,813)
(48,076)
LME
Lead
Base
Metal
(6)
1/2023
USD
(347,525)
(59,167)
LME
Lead
Base
Metal
(7)
1/2023
USD
(405,526)
(75,241)
LME
Lead
Base
Metal
(7)
1/2023
USD
(406,131)
(66,881)
LME
Lead
Base
Metal
(7)
1/2023
USD
(406,263)
(59,551)
LME
Lead
Base
Metal
(9)
1/2023
USD
(525,150)
(61,299)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(180,462)
(51,966)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,334)
(46,168)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,406)
(46,051)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,423)
(47,933)
LME
Nickel
Base
Metal
(2)
1/2023
USD
(359,079)
(89,297)
LME
Nickel
Base
Metal
(4)
1/2023
USD
(717,624)
(187,195)
LME
Zinc
Base
Metal
(1)
1/2023
USD
(74,585)
(2,812)
LME
Zinc
Base
Metal
(2)
1/2023
USD
(149,613)
(1,678)
LME
Zinc
Base
Metal
(3)
1/2023
USD
(224,058)
(2,092)
MSCI
Singapore
Index
(89)
1/2023
SGD
(1,930,637)
807
Natural
Gas
(5)
1/2023
GBP
(314,895)
138,592
Natural
Gas
(37)
1/2023
USD
(1,655,750)
96,478
OMXS30
Index
(81)
1/2023
SEK
(1,585,092)
50,805
SGX
FTSE
China
A50
Index
(117)
1/2023
USD
(1,530,828)
(3,799)
189
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
SGX
FTSE
Taiwan
Index
(16)
1/2023
USD
$
(794,720)
$
4,130
SGX
NIFTY
50
Index
(19)
1/2023
USD
(692,474)
(3,055)
WTI
Crude
Oil
(14)
1/2023
USD
(1,123,640)
(76,470)
CBOE
Volatility
Index
(1)
2/2023
USD
(24,545)
1,771
EURO
STOXX
50
Volatility
Index
(6)
2/2023
EUR
(14,676)
781
Live
Cattle
(7)
2/2023
USD
(442,120)
(10,192)
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(59,167)
401
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(58,988)
(291)
LME
Aluminum
Base
Metal
(4)
2/2023
USD
(235,951)
10,412
LME
Aluminum
Base
Metal
(5)
2/2023
USD
(295,470)
2,578
LME
Aluminum
Base
Metal
(5)
2/2023
USD
(295,389)
4,597
LME
Aluminum
Base
Metal
(5)
2/2023
USD
(294,939)
12,422
LME
Aluminum
Base
Metal
(6)
2/2023
USD
(354,077)
4,631
LME
Aluminum
Base
Metal
(7)
2/2023
USD
(412,914)
7,415
LME
Aluminum
Base
Metal
(9)
2/2023
USD
(531,002)
19,771
LME
Copper
Base
Metal
(1)
2/2023
USD
(209,488)
(8,128)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,829)
(21,603)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,676)
(20,384)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,775)
1,058
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,626)
(37,181)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,700)
(15,389)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,848)
(17,888)
LME
Copper
Base
Metal
(3)
2/2023
USD
(628,069)
6,909
LME
Copper
Base
Metal
(4)
2/2023
USD
(837,261)
(67,622)
LME
Copper
Base
Metal
(6)
2/2023
USD
(1,256,250)
(43,537)
LME
Copper
Base
Metal
(12)
2/2023
USD
(2,512,350)
(14,190)
LME
Lead
Base
Metal
(1)
2/2023
USD
(57,856)
(7,509)
LME
Lead
Base
Metal
(1)
2/2023
USD
(57,833)
(4,085)
LME
Lead
Base
Metal
(1)
2/2023
USD
(57,869)
(8,659)
LME
Lead
Base
Metal
(2)
2/2023
USD
(115,690)
(7,995)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,513)
(8,595)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,523)
(7,781)
LME
Lead
Base
Metal
(4)
2/2023
USD
(231,350)
(14,661)
LME
Lead
Base
Metal
(7)
2/2023
USD
(404,863)
(32,324)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,799)
(4,128)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(180,039)
(19,002)
LME
Nickel
Base
Metal
(2)
2/2023
USD
(359,580)
(10,926)
LME
Nickel
Base
Metal
(3)
2/2023
USD
(539,232)
(56,228)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,494)
(652)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,570)
(2,418)
LME
Zinc
Base
Metal
(2)
2/2023
USD
(149,046)
2,348
LME
Zinc
Base
Metal
(2)
2/2023
USD
(149,134)
(4,730)
LME
Zinc
Base
Metal
(2)
2/2023
USD
(149,128)
(4,191)
LME
Zinc
Base
Metal
(3)
2/2023
USD
(223,649)
(16,207)
LME
Zinc
Base
Metal
(6)
2/2023
USD
(447,435)
(4,368)
LME
Zinc
Base
Metal
(9)
2/2023
USD
(670,388)
(12,598)
LME
Zinc
Base
Metal
(15)
2/2023
USD
(1,117,249)
(6,490)
Mont
Belvieu
Propane
(30)
2/2023
USD
(995,400)
(70,691)
Natural
Gas
(20)
2/2023
USD
(863,100)
(104,401)
SGX
Iron
Ore
(1)
2/2023
USD
(11,612)
(377)
Sugar
No.
11
(5)
2/2023
USD
(112,224)
(11,245)
Australia
10
Year
Bond
(111)
3/2023
AUD
(8,739,187)
484,330
Australia
3
Year
Bond
(386)
3/2023
AUD
(28,059,317)
319,705
Canada
10
Year
Bond
(99)
3/2023
CAD
(8,950,945)
229,899
Canola
(3)
3/2023
CAD
(38,366)
(49)
CBOE
Volatility
Index
(1)
3/2023
USD
(25,351)
1,431
190
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Coffee
'C'
(21)
3/2023
USD
$
(1,317,488)
$
(18,611)
Copper
(32)
3/2023
USD
(3,048,400)
(52,543)
Corn
(159)
3/2023
USD
(5,394,075)
(80,778)
Cotton
No.
2
(19)
3/2023
USD
(792,015)
15,516
Crude
Palm
Oil
(6)
3/2023
MYR
(142,134)
(9,774)
DAX
Index
(11)
3/2023
EUR
(4,117,700)
116,308
DJIA
CBOT
E-Mini
Index
(11)
3/2023
USD
(1,830,675)
21,970
EURO
STOXX
50
Index
(71)
3/2023
EUR
(2,876,674)
69,081
EURO
STOXX
50
Volatility
Index
(12)
3/2023
EUR
(29,673)
402
Euro-Bobl
(139)
3/2023
EUR
(17,210,834)
477,498
Euro-BTP
(65)
3/2023
EUR
(7,566,743)
452,987
Euro-Bund
(83)
3/2023
EUR
(11,798,928)
591,635
Euro-Buxl
(38)
3/2023
EUR
(5,485,714)
725,303
Euro-OAT
(68)
3/2023
EUR
(9,262,604)
481,986
Euro-Schatz
(479)
3/2023
EUR
(54,025,435)
563,475
Feeder
Cattle
(8)
3/2023
USD
(744,900)
(4,649)
FTSE
100
Index
(48)
3/2023
GBP
(4,332,490)
(2,590)
FTSE/JSE
Top
40
Index
(7)
3/2023
ZAR
(278,991)
9,066
FTSE/MIB
Index
(17)
3/2023
EUR
(2,157,149)
36,520
Japan
10
Year
Bond
(13)
3/2023
JPY
(14,384,791)
106,615
KC
HRW
Wheat
(2)
3/2023
USD
(88,800)
(1,554)
KOSPI
200
Index
(47)
3/2023
KRW
(2,721,224)
166,972
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,191)
2,906
LME
Aluminum
Base
Metal
(2)
3/2023
USD
(118,675)
513
LME
Aluminum
Base
Metal
(2)
3/2023
USD
(118,502)
6,042
LME
Aluminum
Base
Metal
(3)
3/2023
USD
(178,275)
675
LME
Aluminum
Base
Metal
(3)
3/2023
USD
(177,717)
8,875
LME
Aluminum
Base
Metal
(4)
3/2023
USD
(237,168)
7,208
LME
Aluminum
Base
Metal
(20)
3/2023
USD
(1,186,005)
26,917
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,288)
2,103
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,488)
65
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,450)
1,172
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,256)
(715)
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,975)
1,461
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,538)
(2,293)
LME
Copper
Base
Metal
(3)
3/2023
USD
(628,463)
(2,461)
LME
Copper
Base
Metal
(3)
3/2023
USD
(628,256)
11,111
LME
Copper
Base
Metal
(3)
3/2023
USD
(628,463)
(7,463)
LME
Copper
Base
Metal
(19)
3/2023
USD
(3,978,363)
(44,456)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,818)
(3,195)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,803)
(2,218)
LME
Lead
Base
Metal
(2)
3/2023
USD
(114,775)
(1,580)
LME
Lead
Base
Metal
(2)
3/2023
USD
(114,675)
(3,380)
LME
Lead
Base
Metal
(2)
3/2023
USD
(115,500)
(6,463)
LME
Lead
Base
Metal
(12)
3/2023
USD
(692,850)
(43,343)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,249)
(7,532)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,258)
(2,649)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,263)
(9,822)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,279)
4,818
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,512)
(9,799)
LME
Nickel
Base
Metal
(5)
3/2023
USD
(901,350)
(54,248)
LME
Zinc
Base
Metal
(2)
3/2023
USD
(148,725)
3,319
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,285)
23,458
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,350)
18,266
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,035)
(1,719)
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,331)
21,323
191
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(7)
3/2023
USD
$
(521,325)
$
43,029
LME
Zinc
Base
Metal
(25)
3/2023
USD
(1,860,313)
7,349
Long
Gilt
(37)
3/2023
GBP
(4,467,747)
235,812
MSCI
EAFE
E-Mini
Index
(33)
3/2023
USD
(3,216,510)
46,291
MSCI
Emerging
Markets
E-Mini
Index
(38)
3/2023
USD
(1,822,860)
19,315
NASDAQ
100
E-Mini
Index
(11)
3/2023
USD
(2,424,895)
109,655
Nikkei
225
Index
(12)
3/2023
JPY
(2,384,639)
64,862
Palladium
(1)
3/2023
USD
(179,800)
8,011
Robusta
Coffee
(42)
3/2023
USD
(755,580)
26,755
Rough
Rice
(2)
3/2023
USD
(73,560)
(5,089)
Russell
2000
E-Mini
Index
(25)
3/2023
USD
(2,213,625)
65,445
S&P
500
E-Mini
Index
(12)
3/2023
USD
(2,316,600)
68,342
S&P
Midcap
400
E-Mini
Index
(8)
3/2023
USD
(1,954,080)
53,366
S&P/TSX
60
Index
(13)
3/2023
CAD
(2,246,484)
71,793
SPI
200
Index
(19)
3/2023
AUD
(2,261,239)
42,370
TOPIX
Index
(10)
3/2023
JPY
(1,441,253)
16,933
U.S.
Treasury
10
Year
Note
(98)
3/2023
USD
(10,989,781)
60,962
U.S.
Treasury
2
Year
Note
(206)
3/2023
USD
(42,230,000)
(14,190)
U.S.
Treasury
5
Year
Note
(160)
3/2023
USD
(17,252,500)
37,411
U.S.
Treasury
Long
Bond
(48)
3/2023
USD
(5,985,000)
44,061
U.S.
Treasury
Ultra
Bond
(32)
3/2023
USD
(4,273,000)
36,095
Wheat
(6)
3/2023
ZAR
(118,596)
2,476
Wheat
(123)
3/2023
USD
(4,870,800)
33,018
White
Maize
(13)
3/2023
ZAR
(360,591)
2,214
Yellow
Maize
(20)
3/2023
ZAR
(548,282)
14,892
CBOE
Volatility
Index
(2)
4/2023
USD
(51,751)
979
Rapeseed
(31)
4/2023
EUR
(975,608)
(7,440)
CBOE
Volatility
Index
(1)
5/2023
USD
(26,200)
309
Rubber
(1)
5/2023
JPY
(8,286)
(18)
3
Month
Canadian
Bankers
Acceptance
(178)
6/2023
CAD
(31,215,731)
82,856
3
Month
Euro
Euribor
(51)
6/2023
EUR
(13,160,995)
67,904
90-Day
Australian
Bank
Bill
(79)
6/2023
AUD
(53,255,326)
(7,354)
90-Day
New
Zealand
Bill
(26)
6/2023
NZD
(16,274,255)
12,475
Rubber
(5)
6/2023
JPY
(41,527)
23
3
Month
Canadian
Bankers
Acceptance
(143)
9/2023
CAD
(25,127,973)
49,087
3
Month
Euro
Euribor
(41)
9/2023
EUR
(10,571,630)
50,676
3
Month
SARON
(6)
9/2023
CHF
(1,594,090)
1,434
3
Month
SOFR
(43)
9/2023
USD
(10,215,725)
6,985
3
Month
SONIA
(25)
9/2023
GBP
(7,203,453)
(2,796)
90-Day
Australian
Bank
Bill
(75)
9/2023
AUD
(50,532,946)
8,067
90-Day
New
Zealand
Bill
(28)
9/2023
NZD
(17,532,087)
11,752
3
Month
Canadian
Bankers
Acceptance
(113)
12/2023
CAD
(19,927,308)
19,967
3
Month
Euro
Euribor
(47)
12/2023
EUR
(12,127,503)
50,294
3
Month
SARON
(7)
12/2023
CHF
(1,857,406)
2,270
3
Month
SOFR
(46)
12/2023
USD
(10,945,125)
8,027
3
Month
SONIA
(30)
12/2023
GBP
(8,639,157)
(6,388)
90-Day
Australian
Bank
Bill
(63)
12/2023
AUD
(42,444,568)
21
90-Day
New
Zealand
Bill
(28)
12/2023
NZD
(17,540,191)
7,334
3
Month
Canadian
Bankers
Acceptance
(96)
3/2024
CAD
(16,987,888)
44,523
3
Month
Euro
Euribor
(46)
3/2024
EUR
(11,887,320)
40,035
3
Month
SARON
(9)
3/2024
CHF
(2,388,701)
3,884
3
Month
SOFR
(40)
3/2024
USD
(9,544,500)
7,663
3
Month
SONIA
(36)
3/2024
GBP
(10,375,692)
(4,861)
90-Day
Australian
Bank
Bill
(73)
3/2024
AUD
(49,183,001)
56,175
3
Month
Euro
Euribor
(48)
6/2024
EUR
(12,424,071)
29,785
3
Month
SARON
(6)
6/2024
CHF
(1,594,090)
2,435
192
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(34)
6/2024
USD
$
(8,144,700)
$
2,365
3
Month
SONIA
(37)
6/2024
GBP
(10,677,885)
10,878
3
Month
Euro
Euribor
(47)
9/2024
EUR
(12,181,587)
26,140
3
Month
SOFR
(30)
9/2024
USD
(7,213,500)
(4,306)
3
Month
SONIA
(38)
9/2024
GBP
(10,984,852)
11,147
3
Month
Euro
Euribor
(46)
12/2024
EUR
(11,934,715)
63,299
3
Month
SOFR
(26)
12/2024
USD
(6,268,925)
(8,437)
3
Month
SONIA
(39)
12/2024
GBP
(11,289,840)
(3,050)
3
Month
SOFR
(25)
3/2025
USD
(6,037,813)
12,737
3
Month
SONIA
(37)
3/2025
GBP
(10,721,498)
29,241
4,373,730
$
6,912,967
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
26,227,001
USD
17,663,752
CITI
3/15/2023
$
243,827
AUD
26,226,998
USD
17,661,296
JPMC
3/15/2023
246,279
BRL
646,500
USD
118,326
CITI
**
3/15/2023
2,508
BRL
646,500
USD
118,326
JPMC
**
3/15/2023
2,508
CLP
250,000,000
USD
287,574
CITI
**
3/15/2023
4,464
CLP
250,000,000
USD
287,573
JPMC
**
3/15/2023
4,466
COP
607,601,498
USD
121,491
CITI
**
3/15/2023
2,153
COP
607,601,497
USD
121,491
JPMC
**
3/15/2023
2,153
EUR
33,252,000
USD
35,153,692
CITI
3/15/2023
613,400
EUR
33,251,997
USD
35,153,563
JPMC
3/15/2023
613,526
GBP
4,344,500
USD
5,222,112
CITI
3/15/2023
39,394
GBP
4,344,499
USD
5,222,117
JPMC
3/15/2023
39,387
JPY
2,855,000,000
USD
21,619,351
CITI
3/15/2023
341,866
JPY
2,855,000,000
USD
21,619,245
JPMC
3/15/2023
341,972
KRW
950,000,001
USD
730,924
CITI
**
3/15/2023
24,689
KRW
949,999,999
USD
730,921
JPMC
**
3/15/2023
24,692
MXN
22,380,503
USD
1,132,973
CITI
3/15/2023
824
MXN
22,380,501
USD
1,132,975
JPMC
3/15/2023
822
NOK
50,463,002
USD
5,078,501
CITI
3/15/2023
88,156
NOK
50,462,997
USD
5,078,491
JPMC
3/15/2023
88,166
NZD
7,804,000
USD
4,848,744
CITI
3/15/2023
109,962
NZD
7,804,000
USD
4,848,750
JPMC
3/15/2023
109,956
PHP
60,000,000
USD
1,065,595
CITI
**
3/15/2023
9,700
PHP
60,000,000
USD
1,065,594
JPMC
**
3/15/2023
9,701
PLN
6,981,001
USD
1,556,969
CITI
3/15/2023
26,883
PLN
6,980,999
USD
1,556,961
JPMC
3/15/2023
26,891
SEK
14,905,500
USD
1,416,159
CITI
3/15/2023
18,038
SEK
14,905,500
USD
1,416,160
JPMC
3/15/2023
18,036
SGD
11,311,501
USD
8,236,879
CITI
3/15/2023
217,894
SGD
11,311,499
USD
8,237,006
JPMC
3/15/2023
217,765
USD
4,021,887
AUD
5,881,000
CITI
3/15/2023
6,389
USD
4,021,907
AUD
5,881,000
JPMC
3/15/2023
6,409
USD
1,578,329
CAD
2,127,500
CITI
3/15/2023
6,206
USD
1,578,337
CAD
2,127,500
JPMC
3/15/2023
6,213
USD
41,165
COP
200,000,000
CITI
**
3/15/2023
466
193
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
41,165
COP
200,000,000
JPMC
**
3/15/2023
$
466
USD
1,898,473
GBP
1,559,500
CITI
3/15/2023
9,805
USD
1,898,482
GBP
1,559,500
JPMC
3/15/2023
9,815
USD
41,931
ILS
144,000
CITI
3/15/2023
806
USD
41,931
ILS
144,000
JPMC
3/15/2023
806
USD
6,474,697
INR
532,908,985
CITI
**
3/15/2023
63,229
USD
6,474,754
INR
532,908,983
JPMC
**
3/15/2023
63,287
USD
102,831
NOK
1,000,000
CITI
3/15/2023
446
USD
102,832
NOK
1,000,000
JPMC
3/15/2023
446
USD
3,580,760
NZD
5,611,750
CITI
3/15/2023
15,022
USD
3,580,778
NZD
5,611,750
JPMC
3/15/2023
15,040
USD
789,851
PHP
43,934,628
CITI
**
3/15/2023
2,473
USD
789,855
PHP
43,934,624
JPMC
**
3/15/2023
2,477
USD
3,355,366
SEK
34,500,000
CITI
3/15/2023
35,800
USD
3,355,383
SEK
34,500,000
JPMC
3/15/2023
35,817
USD
248,223
TWD
7,515,379
CITI
**
3/15/2023
1,854
USD
248,224
TWD
7,515,372
JPMC
**
3/15/2023
1,855
ZAR
100,432,736
USD
5,789,104
CITI
3/15/2023
86,257
ZAR
100,432,736
USD
5,785,841
JPMC
3/15/2023
89,521
Total
unrealized
appreciation
3,950,983
AUD
8,575,001
USD
5,857,596
CITI
3/15/2023
(2,657)
AUD
8,575,000
USD
5,857,566
JPMC
3/15/2023
(2,627)
BRL
1,086,945
USD
204,652
CITI
**
3/15/2023
(1,498)
BRL
1,086,945
USD
204,651
JPMC
**
3/15/2023
(1,497)
CAD
9,734,002
USD
7,282,547
CITI
3/15/2023
(89,571)
CAD
9,733,998
USD
7,282,553
JPMC
3/15/2023
(89,580)
COP
607,601,499
USD
123,938
CITI
**
3/15/2023
(294)
COP
607,601,498
USD
123,938
JPMC
**
3/15/2023
(294)
GBP
613,000
USD
748,555
CITI
3/15/2023
(6,168)
GBP
612,999
USD
748,550
JPMC
3/15/2023
(6,164)
ILS
949,501
USD
277,706
CITI
3/15/2023
(6,539)
ILS
949,499
USD
277,706
JPMC
3/15/2023
(6,539)
MXN
22,380,503
USD
1,139,934
CITI
3/15/2023
(6,138)
MXN
22,380,501
USD
1,139,929
JPMC
3/15/2023
(6,132)
NOK
8,410,501
USD
865,528
CITI
3/15/2023
(4,418)
NOK
8,410,500
USD
865,523
JPMC
3/15/2023
(4,414)
NZD
12,835,500
USD
8,217,070
CITI
3/15/2023
(61,321)
NZD
12,835,500
USD
8,217,029
JPMC
3/15/2023
(61,280)
PHP
40,000,000
USD
720,830
CITI
**
3/15/2023
(3,966)
PHP
40,000,000
USD
720,826
JPMC
**
3/15/2023
(3,962)
TWD
60,000,001
USD
1,988,584
CITI
**
3/15/2023
(21,666)
TWD
59,999,999
USD
1,988,575
JPMC
**
3/15/2023
(21,657)
USD
7,265,353
AUD
10,759,500
CITI
3/15/2023
(81,144)
USD
7,265,376
AUD
10,759,500
JPMC
3/15/2023
(81,121)
USD
4,323,228
CAD
5,885,000
CITI
3/15/2023
(25,514)
USD
4,323,250
CAD
5,885,000
JPMC
3/15/2023
(25,492)
USD
4,444,813
CHF
4,156,004
CITI
3/15/2023
(84,548)
USD
4,444,811
CHF
4,155,996
JPMC
3/15/2023
(84,541)
USD
734,420
CLP
671,774,037
CITI
**
3/15/2023
(50,316)
USD
734,421
CLP
671,774,027
JPMC
**
3/15/2023
(50,314)
USD
4,792,825
CZK
111,821,005
CITI
3/15/2023
(136,463)
USD
4,792,836
CZK
111,820,995
JPMC
3/15/2023
(136,452)
USD
8,788,978
EUR
8,253,500
CITI
3/15/2023
(88,795)
USD
8,789,012
EUR
8,253,500
JPMC
3/15/2023
(88,761)
USD
2,609,010
GBP
2,162,000
CITI
3/15/2023
(9,330)
USD
2,609,023
GBP
2,162,000
JPMC
3/15/2023
(9,317)
USD
267,157
IDR
4,185,649,844
CITI
**
3/15/2023
(3,002)
USD
267,120
IDR
4,185,649,840
JPMC
**
3/15/2023
(3,038)
194
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
601,128
INR
50,000,000
CITI
**
3/15/2023
$
(426)
USD
601,131
INR
50,000,000
JPMC
**
3/15/2023
(424)
USD
55,952,874
JPY
7,591,356,575
CITI
3/15/2023
(2,441,321)
USD
55,952,985
JPY
7,591,356,573
JPMC
3/15/2023
(2,441,211)
USD
321,408
KRW
424,968,126
CITI
**
3/15/2023
(16,604)
USD
321,409
KRW
424,968,121
JPMC
**
3/15/2023
(16,603)
USD
675,718
MXN
13,500,000
CITI
3/15/2023
(8,192)
USD
675,721
MXN
13,500,000
JPMC
3/15/2023
(8,189)
USD
651,051
NOK
6,500,000
CITI
3/15/2023
(14,451)
USD
651,055
NOK
6,500,000
JPMC
3/15/2023
(14,448)
USD
10,551,723
NZD
16,835,250
CITI
3/15/2023
(145,490)
USD
10,548,514
NZD
16,835,250
JPMC
3/15/2023
(148,699)
USD
1,863,355
PHP
106,698,375
CITI
**
3/15/2023
(48,850)
USD
1,863,278
PHP
106,698,373
JPMC
**
3/15/2023
(48,927)
USD
633,595
PLN
2,882,000
CITI
3/15/2023
(20,274)
USD
633,596
PLN
2,881,999
JPMC
3/15/2023
(20,273)
USD
2,205,506
SEK
23,000,000
CITI
3/15/2023
(7,538)
USD
2,205,517
SEK
23,000,000
JPMC
3/15/2023
(7,527)
USD
2,381,801
SGD
3,207,000
CITI
3/15/2023
(15,268)
USD
2,381,813
SGD
3,207,000
JPMC
3/15/2023
(15,256)
USD
212,851
TWD
6,505,125
CITI
**
3/15/2023
(400)
USD
212,852
TWD
6,505,124
JPMC
**
3/15/2023
(399)
USD
5,248,349
ZAR
91,330,001
CITI
3/15/2023
(94,498)
USD
5,248,362
ZAR
91,329,999
JPMC
3/15/2023
(94,485)
ZAR
7,567,264
USD
443,454
CITI
3/15/2023
(765)
ZAR
7,567,264
USD
443,454
JPMC
3/15/2023
(766)
USD
1,437,282
HUF
578,152,517
CITI
3/16/2023
(81,535)
USD
1,437,287
HUF
578,152,515
JPMC
3/16/2023
(81,530)
Total
unrealized
depreciation
(7,160,879)
Net
unrealized
depreciation
$
(3,209,896)
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
46-61
months
maturity
ranging
from
09/21/2026
-
12/29/2027
$1,233,563
$(9,032)
$(845)
$(9,877)
195
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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.
46-61
months
maturity
ranging
from
09/21/2026
-
12/31/2027
$8,462,342
$(61,875)
$12,962
$(48,913)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
13,790
104,469
(5,825)
11.9
ALS
Ltd.
10,697
88,688
709
(1.4)
ANZ
Group
Holdings
Ltd.
4,555
73,376
62
(0.1)
Aristocrat
Leisure
Ltd.
8,514
175,438
(21,710)
44.4
Aurizon
Holdings
Ltd.
59,644
151,104
(3,208)
6.6
BHP
Group
Ltd.
20,520
635,647
(27,698)
56.6
BlueScope
Steel
Ltd.
16,606
189,262
(14,726)
30.1
Harvey
Norman
Holdings
Ltd.
17,621
49,374
(2,214)
4.5
Incitec
Pivot
Ltd.
127,360
324,210
(13,674)
28.0
JB
Hi-Fi
Ltd.
9,891
281,911
(18,521)
37.9
Lynas
Rare
Earths
Ltd.
9,879
52,077
(5,229)
10.7
Northern
Star
Resources
Ltd.
5,662
42,371
(502)
1.0
Orica
Ltd.
8,539
87,306
(2,319)
4.7
Origin
Energy
Ltd.
65,977
345,319
(5,061)
10.3
Pilbara
Minerals
Ltd.
39,962
101,194
(9,844)
20.1
Qantas
Airways
Ltd.
72,767
294,540
(13,125)
26.8
Qube
Holdings
Ltd.
38,236
72,936
(216)
0.4
Sonic
Healthcare
Ltd.
6,011
122,330
(1,266)
2.6
South32
Ltd.
100,354
275,133
(10,597)
21.7
Suncorp
Group
Ltd.
9,178
74,790
1,116
(2.3)
Telstra
Group
Ltd.
77,084
208,469
(1,461)
3.0
Whitehaven
Coal
Ltd.
24,610
156,789
(5,650)
11.6
United
States
Computershare
Ltd.
3,284
57,851
(1,445)
3.0
James
Hardie
Industries
plc
3,606
64,902
(6,936)
14.2
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(46,604)
(48,114)
2,971
(6.1)
carsales.com
Ltd.
(11,336)
(159,526)
7,880
(16.1)
Commonwealth
Bank
of
Australia
(1,976)
(137,243)
2,971
(6.1)
Domino's
Pizza
Enterprises
Ltd.
(7,635)
(343,834)
(4,385)
9.0
Endeavour
Group
Ltd.
(34,917)
(151,956)
13,257
(27.1)
Evolution
Mining
Ltd.
(56,092)
(114,681)
(1,256)
2.6
IDP
Education
Ltd.
(13,937)
(256,848)
5,557
(11.4)
196
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
IGO
Ltd.
(6,717)
(61,443)
4,572
(9.3)
Insurance
Australia
Group
Ltd.
(36,738)
(118,101)
1,712
(3.5)
Lendlease
Corp.
Ltd.
(19,502)
(103,518)
(6,191)
12.7
Mineral
Resources
Ltd.
(2,731)
(143,259)
24,413
(49.9)
National
Australia
Bank
Ltd.
(2,403)
(48,790)
612
(1.3)
NEXTDC
Ltd.
(16,737)
(103,277)
990
(2.0)
Pro
Medicus
Ltd.
(2,991)
(111,791)
7,931
(16.2)
QBE
Insurance
Group
Ltd.
(12,224)
(110,892)
(3,113)
6.4
REA
Group
Ltd.
(1,453)
(109,275)
10,645
(21.8)
Reece
Ltd.
(10,820)
(103,425)
4,130
(8.4)
Seven
Group
Holdings
Ltd.
(8,397)
(119,433)
(1,374)
2.8
Transurban
Group
(9,246)
(81,345)
3,210
(6.6)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(8,142)
(152,755)
1,132
(2.3)
Wesfarmers
Ltd.
(8,847)
(275,914)
11,175
(22.8)
Westpac
Banking
Corp.
(3,207)
(50,772)
409
(0.8)
Woodside
Energy
Group
Ltd.
(10,137)
(245,500)
(8,285)
16.9
Woolworths
Group
Ltd.
(4,707)
(107,486)
2,918
(6.0)
Worley
Ltd.
(5,095)
(51,971)
(2,296)
4.7
United
States
CSL
Ltd.
(3,986)
(777,246)
29,436
(60.2)
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
CORRA
plus
or
minus
a
specified
spread
(-0.13%
to
0.02%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
09/21/2026
-
12/31/2027
$13,591,953
$199,118
$4,230
$203,348
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Air
Canada
14,281
204,512
5,337
2.6
Alimentation
Couche-Tard,
Inc.
3,770
165,668
(6,348)
(3.1)
AltaGas
Ltd.
5,570
96,179
(2,225)
(1.1)
ARC
Resources
Ltd.
14,933
201,276
4,963
2.4
Atco
Ltd.
5,193
162,540
(3,528)
(1.7)
Bank
of
Nova
Scotia
(The)
10,095
494,610
(15,545)
(7.6)
Barrick
Gold
Corp.
9,797
167,938
(984)
(0.5)
Canadian
Natural
Resources
Ltd.
3,001
166,651
1,187
0.6
Canadian
Tire
Corp.
Ltd.
1,336
139,619
(8,140)
(4.0)
Cenovus
Energy,
Inc.
9,190
178,302
14,118
6.9
Empire
Co.
Ltd.
5,785
152,358
(5,597)
(2.8)
Fairfax
Financial
Holdings
Ltd.
403
238,725
3,149
1.5
197
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Finning
International,
Inc.
7,788
193,607
(5,062)
(2.5)
Imperial
Oil
Ltd.
4,420
215,287
(7,410)
(3.6)
MEG
Energy
Corp.
26,404
367,589
42,147
20.7
National
Bank
of
Canada
5,552
374,083
(15,295)
(7.5)
Nutrien
Ltd.
7,197
525,424
(26,281)
(12.9)
Onex
Corp.
2,398
115,632
1,772
0.9
Open
Text
Corp.
9,181
272,040
9,685
4.8
Pembina
Pipeline
Corp.
4,175
141,716
389
0.2
Sun
Life
Financial,
Inc.
2,991
138,836
(884)
(0.4)
Teck
Resources
Ltd.
2,453
92,703
2,011
1.0
West
Fraser
Timber
Co.
Ltd.
3,027
218,574
(6,404)
(3.1)
Whitecap
Resources,
Inc.
29,172
231,394
25,639
12.6
Chile
Lundin
Mining
Corp.
20,713
127,123
(933)
(0.5)
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(6,404)
(332,781)
(4,020)
(2.0)
Algonquin
Power
&
Utilities
Corp.
(32,324)
(210,560)
22,918
11.3
Bank
of
Montreal
(1,679)
(152,102)
(639)
(0.3)
BCE,
Inc.
(5,014)
(220,298)
14,257
7.0
CAE,
Inc.
(11,186)
(216,367)
13,053
6.4
Canadian
Imperial
Bank
of
Commerce
(5,826)
(235,665)
4,160
2.0
Canadian
Pacific
Railway
Ltd.
(9,184)
(684,730)
45,080
22.2
CGI,
Inc.
(1,543)
(133,001)
(677)
(0.3)
Constellation
Software,
Inc.
(144)
(224,823)
(2,695)
(1.3)
Enbridge,
Inc.
(7,858)
(307,124)
2,178
1.1
Fortis,
Inc.
(3,756)
(150,295)
2,219
1.1
GFL
Environmental,
Inc.
(4,508)
(131,644)
(3,596)
(1.8)
Intact
Financial
Corp.
(2,042)
(293,948)
13,664
6.7
Kinross
Gold
Corp.
(41,300)
(168,372)
6,710
3.3
Lightspeed
Commerce,
Inc.
(7,460)
(106,611)
5,730
2.8
Lithium
Americas
Corp.
(5,592)
(106,017)
24,821
12.2
Magna
International,
Inc.
(1,852)
(104,035)
4,637
2.3
Pan
American
Silver
Corp.
(10,150)
(165,668)
2,399
1.2
Restaurant
Brands
International,
Inc.
(3,313)
(214,268)
3,266
1.6
Rogers
Communications,
Inc.
(10,981)
(513,934)
(20,896)
(10.3)
Royal
Bank
of
Canada
(4,647)
(436,900)
12,390
6.1
Thomson
Reuters
Corp.
(1,247)
(142,254)
(311)
(0.2)
Toronto-Dominion
Bank
(The)
(6,521)
(422,228)
2,607
1.3
WSP
Global,
Inc.
(808)
(93,744)
2,769
1.4
United
States
BRP,
Inc.
(2,331)
(177,717)
2,548
1.3
198
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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
(-1.30%
to
0.03%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
09/21/2026
-
12/29/2027
$6,926,712
$21,851
$(1,153)
$20,698
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
13,043
95,561
(1,340)
(6.5)
Switzerland
ABB
Ltd.
(Registered)
12,698
387,004
(13,719)
(66.3)
Baloise
Holding
AG
(Registered)
598
92,216
(590)
(2.9)
Banque
Cantonale
Vaudoise
(Registered)
192
18,408
(200)
(1.0)
Barry
Callebaut
AG
(Registered)
73
144,157
(872)
(4.2)
Chocoladefabriken
Lindt
&
Spruengli
AG
12
122,280
(4,124)
(19.9)
Clariant
AG
(Registered)
2,391
37,973
(551)
(2.7)
DKSH
Holding
AG
1,419
107,607
(109)
(0.5)
EMS-Chemie
Holding
AG
(Registered)
22
14,901
(696)
(3.4)
Georg
Fischer
AG
(Registered)
479
29,345
46
0.2
Helvetia
Holding
AG
(Registered)
749
87,156
(490)
(2.4)
Julius
Baer
Group
Ltd.
326
18,974
(148)
(0.7)
Kuehne
+
Nagel
International
AG
(Registered)
1,195
277,817
(4,310)
(20.8)
Lonza
Group
AG
(Registered)
231
113,392
(1,332)
(6.4)
Novartis
AG
(Registered)
6,082
550,406
(11,850)
(57.3)
Partners
Group
Holding
AG
55
48,702
(3,298)
(15.9)
SGS
SA
(Registered)
45
104,820
(1,031)
(5.0)
Sonova
Holding
AG
(Registered)
559
132,762
(12,404)
(59.9)
Swatch
Group
AG
(The)
78
22,169
102
0.5
Swiss
Life
Holding
AG
(Registered)
405
208,761
(8,051)
(38.9)
Swisscom
AG
(Registered)
570
312,252
(3,740)
(18.1)
Temenos
AG
(Registered)
4,331
238,263
(9,595)
(46.4)
UBS
Group
AG
(Registered)
2,927
54,402
192
0.9
United
States
Roche
Holding
AG
1,062
333,720
(16,126)
(77.9)
Swiss
Re
AG
584
54,605
(369)
(1.8)
Short
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
(6,413)
(210,955)
4,812
23.2
Bachem
Holding
AG
(2,051)
(177,966)
10,799
52.2
Belimo
Holding
AG
(Registered)
(61)
(29,102)
(241)
(1.2)
BKW
AG
(359)
(49,119)
386
1.9
Cie
Financiere
Richemont
SA
(Registered)
(569)
(73,777)
1,192
5.8
199
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Credit
Suisse
Group
AG
(Registered)
(56,468)
(168,582)
23,237
112.3
Dufry
AG
(Registered)
(1,261)
(52,539)
75
0.4
Flughafen
Zurich
AG
(Registered)
(317)
(49,053)
5,458
26.4
Galenica
AG
(599)
(48,873)
(1,144)
(5.5)
Geberit
AG
(Registered)
(482)
(227,543)
9,222
44.6
Givaudan
SA
(Registered)
(93)
(284,850)
22,015
106.4
Logitech
International
SA
(Registered)
(4,293)
(266,207)
(3,143)
(15.2)
Schindler
Holding
AG
(860)
(161,751)
5,617
27.1
SIG
Group
AG
(16,499)
(360,523)
18,830
91.0
Sika
AG
(Registered)
(450)
(108,181)
7,014
33.9
Straumann
Holding
AG
(Registered)
(215)
(24,654)
690
3.3
Tecan
Group
AG
(Registered)
(535)
(239,488)
(5,376)
(26.0)
VAT
Group
AG
(242)
(66,433)
1,530
7.4
Zurich
Insurance
Group
AG
(242)
(115,695)
1,723
8.3
United
States
Nestle
SA
(Registered)
(5,227)
(603,768)
13,760
66.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Denmark
Tomorrow/Next
plus
or
minus
a
specified
spread
(-0.18%
to
0.03%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
09/21/2026
-
12/29/2027
$3,674,408
$(2,325)
$(17,625)
$(19,950)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
197
441,005
17,898
(89.7)
Carlsberg
A/S
1,401
185,838
1,628
(8.2)
Danske
Bank
A/S
2,356
46,468
(174)
0.9
DSV
A/S
2,282
360,869
3,793
(19.0)
Genmab
A/S
380
160,662
(15,039)
75.4
ISS
A/S
9,165
193,990
(11,996)
60.1
Jyske
Bank
A/S
(Registered)
1,539
99,792
3,864
(19.4)
Orsted
A/S
365
32,998
(587)
2.9
Pandora
A/S
5,197
367,332
(31,712)
159.0
200
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(7,096)
(91,131)
6,114
(30.6)
Coloplast
A/S
(3,677)
(430,771)
21,153
(106.0)
Demant
A/S
(2,944)
(82,096)
(410)
2.1
GN
Store
Nord
A/S
(1,997)
(46,104)
509
(2.6)
Novo
Nordisk
A/S
(3,423)
(464,897)
(6,256)
31.4
Novozymes
A/S
(4,177)
(211,915)
17,893
(89.7)
ROCKWOOL
A/S
(979)
(229,187)
(9,691)
48.6
Tryg
A/S
(764)
(18,157)
3
(0.0)
Vestas
Wind
Systems
A/S
(7,240)
(211,196)
685
(3.4)
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
ESTR
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
09/21/2026
-
12/29/2027
$36,704,582
$138,109
$19,225
$157,334
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
BNP
Paribas
SA
6,287
357,977
2,031
1.3
Cie
de
Saint-Gobain
10,658
521,398
(12,452)
(7.9)
Eiffage
SA
3,065
301,486
(13,811)
(8.8)
Orange
SA
41,203
408,821
(1,318)
(0.8)
Renault
SA
7,337
244,826
(25,387)
(16.1)
Rexel
SA
14,875
294,205
689
0.4
Teleperformance
987
235,958
(981)
(0.6)
TotalEnergies
SE
6,436
404,008
16,203
10.3
Germany
Bayer
AG
(Registered)
5,663
291,475
(29,081)
(18.5)
Bayerische
Motoren
Werke
AG
3,859
341,657
(7,567)
(4.8)
Brenntag
SE
3,612
230,355
(1,313)
(0.8)
Commerzbank
AG
41,067
383,961
35,327
22.5
Deutsche
Bank
AG
(Registered)
35,963
404,281
14,034
8.9
GEA
Group
AG
5,869
238,678
(12,056)
(7.7)
thyssenkrupp
AG
47,175
286,472
(6,932)
(4.4)
Italy
Leonardo
SpA
48,187
415,602
21,389
13.6
Prysmian
SpA
8,975
333,471
(7,588)
(4.8)
201
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Luxembourg
ArcelorMittal
SA
12,026
317,272
(14,290)
(9.1)
Netherlands
ASR
Nederland
NV
4,891
232,391
7,314
4.6
Singapore
STMicroelectronics
NV
8,428
299,498
(33,360)
(21.2)
Spain
Banco
de
Sabadell
SA
298,105
280,208
6,798
4.3
Industria
de
Diseno
Textil
SA
17,050
452,866
5,255
3.3
Repsol
SA
48,692
775,032
37,500
23.8
United
States
Stellantis
NV
30,142
428,329
(12,663)
(8.0)
Tenaris
SA
17,338
304,069
18,532
11.8
Short
Positions
Common
Stocks
Belgium
UCB
SA
(4,066)
(320,375)
(8,478)
(5.4)
Finland
UPM-Kymmene
OYJ
(7,342)
(274,748)
15,651
9.9
France
Air
Liquide
SA
(2,859)
(405,793)
11,335
7.2
Cie
Generale
des
Etablissements
Michelin
SCA
(16,249)
(452,653)
11,001
7.0
EssilorLuxottica
SA
(2,723)
(492,681)
31,261
19.9
L'Oreal
SA
(1,769)
(633,475)
33,178
21.1
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(506)
(368,213)
9,247
5.9
Germany
adidas
AG
(1,789)
(242,457)
(12,511)
(8.0)
Allianz
SE
(Registered)
(1,317)
(281,256)
7,327
4.7
Deutsche
Telekom
AG
(Registered)
(26,137)
(520,037)
18,819
12.0
Henkel
AG
&
Co.
KGaA
(Preference)
(6,067)
(420,520)
18,632
11.8
Rheinmetall
AG
(1,273)
(253,424)
14,709
9.3
SAP
SE
(7,434)
(767,492)
43,085
27.4
Sartorius
AG
(Preference)
(646)
(255,090)
(12,414)
(7.9)
Siemens
AG
(Registered)
(4,694)
(647,074)
16,890
10.7
Siemens
Healthineers
AG
(5,466)
(272,653)
19,784
12.6
Italy
Nexi
SpA
(43,865)
(346,268)
17,260
11.0
Netherlands
Argenx
SE
(907)
(340,493)
18,186
11.6
Portugal
EDP
-
Energias
de
Portugal
SA
(75,943)
(378,561)
(6,401)
(4.1)
Spain
Acciona
SA
(1,388)
(255,436)
8,599
5.5
Ferrovial
SA
(10,484)
(274,500)
13,809
8.8
Grifols
SA
(30,945)
(357,366)
(19,821)
(12.6)
Iberdrola
SA
(31,906)
(372,455)
2,316
1.5
United
Kingdom
CNH
Industrial
NV
(19,644)
(315,129)
7,649
4.9
United
States
Schneider
Electric
SE
(4,836)
(679,142)
37,209
23.6
202
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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.
46-61
months
maturity
ranging
from
09/21/2026
-
12/31/2027
$14,339,635
$18,454
$9,907
$28,361
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
48,940
326,364
5,388
19.0
Rio
Tinto
plc
4,561
321,022
(722)
(2.5)
Netherlands
Shell
plc
25,970
732,116
14,393
50.7
South
Africa
Anglo
American
plc
6,658
260,727
3,957
14.0
United
Kingdom
Associated
British
Foods
plc
7,541
142,968
(6,455)
(22.8)
Auto
Trader
Group
plc
19,391
120,755
(11,041)
(38.9)
Aviva
plc
49,571
262,957
(5,539)
(19.5)
Barclays
plc
105,674
201,078
(1,885)
(6.6)
Barratt
Developments
plc
27,274
130,269
(4,151)
(14.6)
BP
plc
48,539
280,067
8,989
31.7
British
American
Tobacco
plc
3,873
153,209
(2,055)
(7.2)
Centrica
plc
215,808
250,998
10,343
36.5
Diageo
plc
5,935
259,786
(8,779)
(31.0)
DS
Smith
plc
65,094
251,094
(4,660)
(16.4)
Harbour
Energy
plc
48,691
179,683
(540)
(1.9)
HSBC
Holdings
plc
32,835
203,496
6,525
23.0
Imperial
Brands
plc
6,518
162,371
(1,295)
(4.6)
InterContinental
Hotels
Group
plc
6,575
377,266
(19,064)
(67.2)
Lloyds
Banking
Group
plc
568,792
310,398
(8,943)
(31.5)
National
Grid
plc
9,316
111,600
(2,941)
(10.4)
Reckitt
Benckiser
Group
plc
4,450
308,458
(5,724)
(20.2)
RELX
plc
11,125
307,584
(5,656)
(19.9)
Standard
Chartered
plc
35,133
262,040
7,621
26.9
Tesco
plc
74,307
200,248
(4,263)
(15.0)
Vodafone
Group
plc
228,553
231,460
(7,711)
(27.2)
United
States
GSK
plc
13,821
238,872
(4,390)
(15.5)
203
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(17,577)
(328,121)
(18,512)
(65.3)
Italy
Coca-Cola
HBC
AG
(6,236)
(147,412)
2,615
9.2
Jordan
Hikma
Pharmaceuticals
plc
(8,235)
(153,467)
(6,023)
(21.2)
United
Kingdom
abrdn
plc
(119,976)
(272,633)
(4,010)
(14.1)
AstraZeneca
plc
(4,625)
(625,852)
8,995
31.7
AVEVA
Group
plc
(8,258)
(319,643)
(171)
(0.6)
B&M
European
Value
Retail
SA
(28,282)
(140,386)
(235)
(0.8)
ConvaTec
Group
plc
(41,598)
(116,502)
(1,037)
(3.7)
ITV
plc
(144,434)
(130,621)
1,317
4.6
J
Sainsbury
plc
(56,235)
(147,494)
6,425
22.7
Kingfisher
plc
(126,879)
(360,492)
10,099
35.6
Ocado
Group
plc
(15,073)
(111,887)
13,156
46.4
Pennon
Group
plc
(13,969)
(150,189)
8,810
31.1
Persimmon
plc
(12,196)
(178,825)
10,197
36.0
Rentokil
Initial
plc
(67,923)
(417,303)
22,015
77.6
Rolls-Royce
Holdings
plc
(130,209)
(145,440)
2,610
9.2
Schroders
plc
(28,341)
(148,918)
5,951
21.0
Severn
Trent
plc
(4,633)
(148,016)
5,453
19.2
Smith
&
Nephew
plc
(18,422)
(246,023)
(1,484)
(5.2)
SSE
plc
(7,426)
(152,730)
1,821
6.4
Taylor
Wimpey
plc
(137,876)
(168,857)
4,996
17.6
Unilever
plc
(2,320)
(117,132)
(1,421)
(5.0)
United
Utilities
Group
plc
(10,617)
(126,855)
5,863
20.7
Weir
Group
plc
(The)
(5,543)
(111,494)
2,627
9.3
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.
46-61
months
maturity
ranging
from
09/21/2026
-
12/30/2027
$2,095,902
$28,630
$1,799
$30,429
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
27,500
93,357
5,630
18.5
SITC
International
Holdings
Co.
Ltd.
75,000
166,233
(1,534)
(5.0)
204
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
ASMPT
Ltd.
18,900
134,232
(3,355)
(11.0)
HKT
Trust
&
HKT
Ltd.
14,000
17,138
134
0.4
Man
Wah
Holdings
Ltd.
55,200
54,621
(4,359)
(14.3)
New
World
Development
Co.
Ltd.
20,000
56,104
(904)
(3.0)
Sun
Hung
Kai
Properties
Ltd.
1,500
20,489
791
2.6
Swire
Properties
Ltd.
10,200
25,836
432
1.4
WH
Group
Ltd.
218,500
127,438
(2,149)
(7.1)
Macau
Sands
China
Ltd.
4,000
13,121
233
0.8
United
Kingdom
CK
Hutchison
Holdings
Ltd.
16,000
95,854
2,437
8.0
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(14,800)
(46,265)
350
1.1
Chow
Tai
Fook
Jewellery
Group
Ltd.
(40,800)
(82,912)
(4,924)
(16.2)
ESR
Group
Ltd.
(30,600)
(63,971)
4,086
13.4
Hong
Kong
Hang
Lung
Properties
Ltd.
(8,000)
(15,584)
(210)
(0.7)
Henderson
Land
Development
Co.
Ltd.
(4,000)
(13,925)
(345)
(1.1)
Hong
Kong
&
China
Gas
Co.
Ltd.
(144,000)
(136,571)
(3,925)
(12.9)
MTR
Corp.
Ltd.
(18,500)
(97,844)
(6,119)
(20.1)
Power
Assets
Holdings
Ltd.
(4,000)
(21,862)
(543)
(1.8)
Techtronic
Industries
Co.
Ltd.
(39,500)
(438,720)
36,456
119.8
Wharf
Real
Estate
Investment
Co.
Ltd.
(10,000)
(58,241)
(3,280)
(10.8)
Macau
Galaxy
Entertainment
Group
Ltd.
(48,000)
(315,584)
9,728
32.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
46-60
months
maturity
ranging
from
09/21/2026
-
11/17/2027
$2,035,799
$(47,052)
$8,934
$(38,118)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
4,759
209,001
(1,095)
2.9
Norway
Equinor
ASA
4,883
175,496
(3,041)
8.0
205
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
(continued)
Gjensidige
Forsikring
ASA
2,073
40,660
(94)
0.2
Leroy
Seafood
Group
ASA
10,172
56,995
3,009
(7.9)
Norsk
Hydro
ASA
41,615
310,963
(4,994)
13.1
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(1,122)
(70,043)
(2,816)
7.4
Norway
DNB
Bank
ASA
(2,105)
(41,574)
(1,835)
4.8
Kongsberg
Gruppen
ASA
(3,484)
(148,292)
(1,918)
5.0
Mowi
ASA
(13,651)
(232,617)
(15,662)
41.1
Orkla
ASA
(28,299)
(204,243)
(1,579)
4.1
Salmar
ASA
(6,881)
(269,848)
(16,573)
43.5
Schibsted
ASA
(2,560)
(48,547)
2,095
(5.5)
Telenor
ASA
(10,327)
(96,485)
1,717
(4.5)
United
Kingdom
Subsea
7
SA
(11,316)
(131,035)
(4,266)
11.2
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
STIBOR
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
09/21/2026
-
12/17/2027
$5,281,665
$52,545
$(3,737)
$48,808
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
22,854
244,811
7,135
14.6
Sweden
Axfood
AB
6,296
172,641
(645)
(1.3)
Billerud
AB
6,974
85,073
(13,607)
(27.9)
Boliden
AB
8,490
318,903
(5,894)
(12.1)
Elekta
AB
3,545
21,383
309
0.6
Evolution
AB
2,063
200,945
(10,450)
(21.4)
Hexpol
AB
3,795
40,493
(1,622)
(3.3)
Saab
AB
4,548
179,226
5,715
11.7
Skandinaviska
Enskilda
Banken
AB
9,318
107,277
1,237
2.5
Skanska
AB
8,997
142,625
(2,369)
(4.9)
SSAB
AB
67,002
349,017
(38,425)
(78.7)
Svenska
Cellulosa
AB
SCA
4,303
54,496
(5,235)
(10.7)
206
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Svenska
Handelsbanken
AB
13,392
134,831
3,090
6.3
Swedbank
AB
8,157
138,743
6,165
12.6
Telefonaktiebolaget
LM
Ericsson
29,569
173,257
(17,072)
(35.0)
Telia
Co.
AB
32,380
82,740
(5,046)
(10.3)
Trelleborg
AB
5,915
136,628
(9,222)
(18.9)
Volvo
AB
17,388
314,090
(10,013)
(20.5)
Volvo
Car
AB
6,996
31,856
(757)
(1.6)
United
States
Sinch
AB
16,917
62,346
(765)
(1.6)
Short
Positions
Common
Stocks
Guatemala
Millicom
International
Cellular
SA
(1,546)
(19,587)
799
1.6
Sweden
Alfa
Laval
AB
(6,470)
(187,160)
3,874
7.9
Assa
Abloy
AB
(1,370)
(29,468)
863
1.8
Atlas
Copco
AB
(16,655)
(197,335)
8,203
16.8
Beijer
Ref
AB
(7,021)
(99,140)
20,289
41.6
Epiroc
AB
(4,281)
(77,953)
1,565
3.2
EQT
AB
(3,417)
(72,595)
7,109
14.6
Essity
AB
(4,476)
(117,214)
(2,470)
(5.1)
Getinge
AB
(919)
(19,107)
2,162
4.4
Hexagon
AB
(50,581)
(530,346)
49,150
100.7
Holmen
AB
(1,084)
(43,084)
2,833
5.8
Husqvarna
AB
(18,881)
(132,609)
14,134
29.0
Nibe
Industrier
AB
(20,353)
(189,970)
14,245
29.2
Securitas
AB
(24,598)
(205,257)
(2,884)
(5.9)
SKF
AB
(19,498)
(297,803)
25,362
52.0
Swedish
Orphan
Biovitrum
AB
(1,098)
(22,725)
(365)
(0.7)
Tele2
AB
(5,998)
(48,931)
5,147
10.5
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
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
01/06/2023
-
01/31/2024
$29,841,247
$109,050
$(52,462)
$56,588
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
207
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Bandai
Namco
Holdings,
Inc.
2,900
181,770
(10,694)
(18.9)
Dai-ichi
Life
Holdings,
Inc.
14,500
327,459
36,111
63.8
IHI
Corp.
11,500
333,136
(11,233)
(19.8)
Japan
Post
Holdings
Co.
Ltd.
32,900
276,819
12,095
21.4
Japan
Post
Insurance
Co.
Ltd.
10,500
184,665
10,601
18.7
Lawson,
Inc.
4,800
183,507
4,659
8.2
Marubeni
Corp.
23,300
266,924
(8,171)
(14.4)
MISUMI
Group,
Inc.
10,000
217,343
(28,390)
(50.2)
Mitsubishi
Corp.
13,300
431,782
(10,846)
(19.2)
Mitsubishi
Heavy
Industries
Ltd.
4,800
189,679
(8,260)
(14.6)
Mitsubishi
Motors
Corp.
99,400
377,481
(58,247)
(102.9)
Mitsui
&
Co.
Ltd.
6,700
195,142
(7,685)
(13.6)
NGK
Spark
Plug
Co.
Ltd.
10,900
199,765
(14,846)
(26.2)
Osaka
Gas
Co.
Ltd.
13,300
214,304
1,910
3.4
Recruit
Holdings
Co.
Ltd.
8,000
250,416
(5,969)
(10.5)
SCREEN
Holdings
Co.
Ltd.
4,400
280,577
(22,837)
(40.4)
Shin-Etsu
Chemical
Co.
Ltd.
3,000
366,337
(27,636)
(48.8)
Sompo
Holdings,
Inc.
5,300
234,488
6,076
10.7
Square
Enix
Holdings
Co.
Ltd.
4,800
222,842
(1,723)
(3.0)
Subaru
Corp.
12,300
186,223
(21,884)
(38.7)
Sumitomo
Corp.
17,200
285,917
(6,800)
(12.0)
ZOZO,
Inc.
8,400
207,444
(892)
(1.6)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(12,500)
(263,944)
3,124
5.5
Bridgestone
Corp.
(10,500)
(371,774)
18,876
33.4
Canon,
Inc.
(11,300)
(244,578)
14,667
25.9
Daiichi
Sankyo
Co.
Ltd.
(8,300)
(267,150)
13,006
23.0
Daikin
Industries
Ltd.
(1,700)
(257,913)
19,289
34.1
Isuzu
Motors
Ltd.
(19,600)
(227,220)
25,172
44.5
JSR
Corp.
(16,500)
(323,091)
24,787
43.8
Kao
Corp.
(5,000)
(198,502)
4,904
8.7
Kirin
Holdings
Co.
Ltd.
(11,700)
(178,325)
7,708
13.6
Kobe
Bussan
Co.
Ltd.
(8,600)
(247,862)
(20,805)
(36.8)
Kose
Corp.
(3,400)
(369,421)
(6,727)
(11.9)
Kubota
Corp.
(21,600)
(295,087)
27,415
48.4
Lasertec
Corp.
(1,900)
(310,214)
36,668
64.8
Makita
Corp.
(8,400)
(195,680)
9,456
16.7
MatsukiyoCocokara
&
Co.
(8,000)
(402,111)
(20,520)
(36.3)
Nidec
Corp.
(4,700)
(241,858)
33,932
60.0
Nintendo
Co.
Ltd.
(4,400)
(185,005)
2,752
4.9
Nippon
Paint
Holdings
Co.
Ltd.
(31,200)
(245,048)
20,952
37.0
Rakuten
Group,
Inc.
(63,000)
(283,946)
10,549
18.6
Sekisui
House
Ltd.
(22,100)
(391,812)
13,328
23.6
Seven
&
i
Holdings
Co.
Ltd.
(6,100)
(261,424)
2,070
3.7
Shiseido
Co.
Ltd.
(5,800)
(284,280)
(9,880)
(17.5)
SoftBank
Corp.
(21,600)
(244,375)
196
0.3
Sumitomo
Electric
Industries
Ltd.
(17,200)
(194,333)
10,837
19.2
Unicharm
Corp.
(7,200)
(275,661)
7,791
13.8
West
Japan
Railway
Co.
(4,400)
(191,045)
1,564
2.8
Yaskawa
Electric
Corp.
(7,900)
(252,053)
15,213
26.9
208
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Z
Holdings
Corp.
(77,900)
(194,556)
12,463
22.0
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
OBFR
plus
or
minus
a
specified
spread
(-6.20%
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
01/05/2023
-
01/31/2024
$127,962,501
$147,742
$823,549
$971,291
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
3M
Co.
2,929
351,246
(6,473)
(0.7)
Abbott
Laboratories
5,069
556,526
16,221
1.7
Alphabet,
Inc.
4,664
411,505
(979)
(0.1)
Altria
Group,
Inc.
9,288
424,554
(6,343)
(0.7)
Arrow
Electronics,
Inc.
3,296
344,663
8,800
0.9
AT&T,
Inc.
25,660
472,401
14,113
1.5
Boeing
Co.
(The)
2,099
399,839
5,155
0.5
Booking
Holdings,
Inc.
183
368,796
15,343
1.6
Cisco
Systems,
Inc.
9,341
445,005
2,242
0.2
Citigroup,
Inc.
8,828
399,290
11,300
1.2
Coca-Cola
Co.
(The)
8,466
538,522
6,519
0.7
CVS
Health
Corp.
5,389
502,201
(9,886)
(1.0)
Dow,
Inc.
10,223
515,137
10,224
1.1
DTE
Energy
Co.
3,140
369,044
4,513
0.5
Eastman
Chemical
Co.
4,419
359,883
2,577
0.3
Expedia
Group,
Inc.
4,472
391,747
10,425
1.1
Exxon
Mobil
Corp.
3,939
434,472
13,454
1.4
Gartner,
Inc.
1,018
342,191
(2,973)
(0.3)
General
Dynamics
Corp.
1,882
466,943
7,026
0.7
Intel
Corp.
16,455
434,906
(5,924)
(0.6)
Johnson
&
Johnson
1,999
353,123
2,339
0.2
Kroger
Co.
(The)
8,184
364,843
1,473
0.2
Lockheed
Martin
Corp.
733
356,597
3,445
0.4
Macy's,
Inc.
21,090
435,508
10,824
1.1
Medtronic
plc
5,575
433,289
3,345
0.3
Pfizer,
Inc.
8,388
429,801
(1,007)
(0.1)
209
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
Air
Products
and
Chemicals,
Inc.
(1,135)
(349,875)
6,197
0.6
Apple,
Inc.
(2,672)
(347,173)
1,092
0.1
DR
Horton,
Inc.
(5,981)
(533,146)
(5,020)
(0.5)
Eli
Lilly
&
Co.
(1,352)
(494,616)
(10,897)
(1.1)
First
Citizens
BancShares,
Inc.
(461)
(349,604)
(12,991)
(1.3)
Five
Below,
Inc.
(2,108)
(372,842)
(19,046)
(2.0)
FTI
Consulting,
Inc.
(2,313)
(367,304)
(7,101)
(0.7)
Honeywell
International,
Inc.
(2,713)
(581,396)
(10,859)
(1.1)
ICU
Medical,
Inc.
(2,844)
(447,873)
(14,504)
(1.5)
International
Business
Machines
Corp.
(3,915)
(551,584)
3,624
0.4
Lancaster
Colony
Corp.
(1,994)
(393,416)
1,356
0.1
McCormick
&
Co.,
Inc.
(Non-Voting)
(5,860)
(485,735)
(293)
(0.0)
Monster
Beverage
Corp.
(5,065)
(514,249)
(5,622)
(0.6)
Northrop
Grumman
Corp.
(996)
(543,428)
(13,038)
(1.3)
NVIDIA
Corp.
(2,407)
(351,759)
36,449
3.8
Oracle
Corp.
(5,241)
(428,399)
(5,298)
(0.5)
Penumbra,
Inc.
(1,575)
(350,374)
(4,237)
(0.4)
Principal
Financial
Group,
Inc.
(4,599)
(385,948)
1,794
0.2
Progressive
Corp.
(The)
(2,650)
(343,732)
(6,996)
(0.7)
Quanta
Services,
Inc.
(3,074)
(438,045)
(430)
(0.0)
RPM
International,
Inc.
(3,562)
(347,117)
2,351
0.2
T-Mobile
US,
Inc.
(2,581)
(361,340)
4,181
0.4
Visa,
Inc.
(2,359)
(490,106)
(3,733)
(0.4)
WW
Grainger,
Inc.
(626)
(348,212)
3,318
0.3
210
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
2,576,739
$
2,576,739
CITG
Cash
–
480,008
480,008
CITI
Cash
(52,110)
–
(52,110)
Investment
Companies
2,867,451
–
2,867,451
GSCO
Cash
–
172,483
172,483
GSIN
Cash
(330,706)
–
(330,706)
U.S.
Treasury
Bills
4,837,711
–
4,837,711
JPMC
Investment
Companies
10,896,252
–
10,896,252
JPMS
Cash
–
2,816,547
2,816,547
MSCL
Cash
–
1,253,642
1,253,642
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
831,414
$
831,414
JPPC
Cash
–
311,136
311,136
MSCL
Cash
–
1,914,148
1,914,148
211
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
105.8%
COMMON
STOCKS
-
54.3%
Australia
-
1.8%
BHP
Group
Ltd.
(2)(a)
20,631
639,084
BlueScope
Steel
Ltd.
(2)
37,550
427,966
Harvey
Norman
Holdings
Ltd.
(2)
40,889
114,571
Incitec
Pivot
Ltd.
(2)
62,712
159,641
JB
Hi-Fi
Ltd.
(2)
13,748
391,842
Sonic
Healthcare
Ltd.
(2)
4,791
97,502
South32
Ltd.
(2)
154,770
424,322
Whitehaven
Coal
Ltd.
(2)
40,528
258,202
2,513,130
—
Austria
-
0.0%
(b)
ams-OSRAM
AG
(2)*
7,672
56,210
Mondi
plc
(2)
394
6,663
62,873
—
Belgium
-
0.1%
Ageas
SA/NV
(2)
1,410
62,564
Proximus
SADP
(2)
6,943
67,034
129,598
—
Brazil
-
0.1%
Yara
International
ASA
(2)
3,912
171,803
Canada
-
2.7%
ARC
Resources
Ltd.
15,000
202,179
Bank
of
Montreal
75
6,794
Bank
of
Nova
Scotia
(The)
2,739
134,199
Canadian
Natural
Resources
Ltd.
1,073
59,586
Canadian
Tire
Corp.
Ltd.,
Class
A
781
81,619
Empire
Co.
Ltd.,
Class
A
(a)
8,689
228,840
Fairfax
Financial
Holdings
Ltd.
252
149,277
Imperial
Oil
Ltd.
8,777
427,506
Manulife
Financial
Corp.
(a)
8,657
154,407
Nutrien
Ltd.
(a)
5,089
371,527
Onex
Corp.
3,387
163,321
Open
Text
Corp.
(a)
1,813
53,721
Ritchie
Bros
Auctioneers,
Inc.
(a)
4,950
285,923
Shaw
Communications,
Inc.,
Class
B
964
27,774
Suncor
Energy,
Inc.
21,879
694,019
Teck
Resources
Ltd.,
Class
B
4,205
158,914
Toromont
Industries
Ltd.
208
15,010
West
Fraser
Timber
Co.
Ltd.
8,040
580,555
3,795,171
—
Chile
-
0.2%
Lundin
Mining
Corp.
34,963
214,581
China
-
0.4%
BOC
Hong
Kong
Holdings
Ltd.
(2)
2,500
8,487
NXP
Semiconductors
NV
1,233
194,851
SITC
International
Holdings
Co.
Ltd.
(2)
143,000
316,951
Wilmar
International
Ltd.
(2)
6,900
21,496
541,785
—
INVESTMENTS
SHARES
VALUE
($)
Denmark
-
0.6%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
361
808,136
ISS
A/S
(2)*
3,714
78,612
886,748
—
Finland
-
0.1%
Nokia
OYJ
(2)
14,460
67,177
Nordea
Bank
Abp
(2)
1,162
12,447
79,624
—
France
-
1.3%
BNP
Paribas
SA
(2)
836
47,601
Bouygues
SA
(2)(a)
1,073
32,181
Cie
de
Saint-Gobain
(2)(a)
12,648
618,751
Dassault
Aviation
SA
(2)
952
161,453
Eiffage
SA
(2)
152
14,951
Electricite
de
France
SA
(2)(a)
3,342
42,906
Ipsen
SA
(2)
678
72,926
Orange
SA
(2)
621
6,162
Renault
SA
(2)*
2,888
96,369
Rexel
SA
(2)
9,045
178,896
Rubis
SCA
(2)
4,200
110,595
Sanofi
(2)(a)
836
80,613
TotalEnergies
SE
(2)(a)
7,313
459,060
1,922,464
—
Germany
-
1.6%
BASF
SE
(2)(a)
2,124
104,583
Bayer
AG
(Registered)
(2)(a)
4,367
224,770
Bayerische
Motoren
Werke
AG
(2)
5,346
473,308
Deutsche
Bank
AG
(Registered)
(2)
62,001
696,990
Deutsche
Lufthansa
AG
(Registered)
(2)*
2,052
16,915
Deutsche
Post
AG
(Registered)
(2)
(a)
2,394
89,599
Freenet
AG
(2)
926
20,135
GEA
Group
AG
(2)
1,089
44,287
HeidelbergCement
AG
(2)(a)
1,499
84,941
HelloFresh
SE
(2)*
664
14,492
Mercedes-Benz
Group
AG
(2)(a)
935
61,144
ProSiebenSat.1
Media
SE
(2)
16,195
143,648
Rational
AG
(2)
39
23,159
TeamViewer
AG
(2)*(c)
6,440
82,609
thyssenkrupp
AG
(2)*
32,529
197,534
TUI
AG
(2)*
8,435
13,526
2,291,640
—
Guatemala
-
0.1%
Millicom
International
Cellular
SA,
SDR
(2)*
11,543
146,245
Hong
Kong
-
0.1%
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
800
34,376
New
World
Development
Co.
Ltd.
(2)
29,000
81,350
WH
Group
Ltd.
(2)(c)
76,000
44,326
160,052
—
212
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Italy
-
0.9%
Buzzi
Unicem
SpA
(2)
5,499
105,966
Eni
SpA
(2)
3,058
43,483
Leonardo
SpA
(2)
28,795
248,350
UniCredit
SpA
(2)
37,051
525,738
Unipol
Gruppo
SpA
(2)
76,684
373,359
1,296,896
—
Japan
-
3.6%
AGC,
Inc.
(2)
1,900
63,053
Alfresa
Holdings
Corp.
(2)
600
7,627
Dai-ichi
Life
Holdings,
Inc.
(2)
23,800
537,485
ENEOS
Holdings,
Inc.
(2)
4,100
13,962
Idemitsu
Kosan
Co.
Ltd.
(2)
3,700
86,623
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
5,800
88,062
Inpex
Corp.
(2)
7,800
83,814
Japan
Post
Insurance
Co.
Ltd.
(2)
19,500
342,949
JFE
Holdings,
Inc.
(2)
28,400
329,539
JTEKT
Corp.
(2)
16,000
111,400
Kawasaki
Kisen
Kaisha
Ltd.
(2)
5,600
118,586
Koito
Manufacturing
Co.
Ltd.
(2)
900
13,417
Kuraray
Co.
Ltd.
(2)
6,800
54,424
Marubeni
Corp.
(2)(a)
5,800
66,445
Mazda
Motor
Corp.
(2)
55,500
416,031
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)
1,100
15,121
Mitsubishi
Motors
Corp.
(2)*
50,000
189,880
Mitsui
Chemicals,
Inc.
(2)
2,800
62,890
Mitsui
OSK
Lines
Ltd.
(2)
5,100
127,438
Mizuho
Financial
Group,
Inc.
(2)
29,700
418,423
Nippon
Steel
Corp.
(2)
39,100
678,431
Nippon
Yusen
KK
(2)
13,900
327,771
Nissan
Motor
Co.
Ltd.
(2)
11,800
36,927
Obayashi
Corp.
(2)
2,200
16,618
Osaka
Gas
Co.
Ltd.
(2)
1,700
27,392
Ryohin
Keikaku
Co.
Ltd.
(2)
17,800
210,449
Santen
Pharmaceutical
Co.
Ltd.
(2)
5,100
41,557
SCREEN
Holdings
Co.
Ltd.
(2)
3,300
210,432
Shimamura
Co.
Ltd.
(2)
200
19,931
Shin-Etsu
Chemical
Co.
Ltd.
(2)(a)
500
61,056
Sojitz
Corp.
(2)
4,880
92,982
Subaru
Corp.
(2)
1,600
24,224
Sumitomo
Heavy
Industries
Ltd.
(2)
700
13,975
Sumitomo
Metal
Mining
Co.
Ltd.
(2)(a)
600
21,083
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
600
24,139
Sumitomo
Pharma
Co.
Ltd.
(2)
5,300
40,172
THK
Co.
Ltd.
(2)
1,200
22,690
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*(a)
11,400
41,056
Tosoh
Corp.
(2)
8,100
96,322
Toyota
Boshoku
Corp.
(2)
500
6,636
Toyota
Tsusho
Corp.
(2)(a)
600
22,071
Yamada
Holdings
Co.
Ltd.
(2)
4,500
15,974
5,199,057
—
INVESTMENTS
SHARES
VALUE
($)
Luxembourg
-
0.4%
Aperam
SA
(2)
448
14,208
ArcelorMittal
SA
(2)
21,846
576,344
590,552
—
Macau
-
0.0%
(b)
Sands
China
Ltd.
(2)*
2,800
9,185
Netherlands
-
1.2%
Aegon
NV
(2)
31,544
159,823
ASR
Nederland
NV
(2)
376
17,865
ING
Groep
NV
(2)
5,135
62,550
NN
Group
NV
(2)
5,186
212,067
OCI
NV
(2)
2,571
91,920
Shell
plc
(2)
41,426
1,167,833
1,712,058
—
Nigeria
-
0.0%
(b)
Airtel
Africa
plc
(2)(c)
4,592
6,188
Norway
-
0.1%
Equinor
ASA
(2)(a)
3,388
121,766
Norsk
Hydro
ASA
(2)(a)
5,081
37,967
159,733
—
Russia
-
0.0%
Evraz
plc
(3)*(d)
27,473
–
Singapore
-
0.2%
STMicroelectronics
NV
(2)
6,501
231,020
Spain
-
1.1%
Acerinox
SA
(2)
20,848
206,089
Banco
de
Sabadell
SA
(2)
129,243
121,484
Banco
Santander
SA
(2)
118,188
353,396
Mapfre
SA
(2)
53,625
103,738
Repsol
SA
(2)
49,993
795,739
1,580,446
—
Sweden
-
0.5%
Skanska
AB,
Class
B
(2)
1,142
18,104
SSAB
AB,
Class
B
(2)
79,534
414,296
Svenska
Handelsbanken
AB,
Class
A
(2)
16,451
165,629
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
18,814
110,239
708,268
—
Switzerland
-
1.1%
Clariant
AG
(Registered)
(2)*
1,287
20,439
DKSH
Holding
AG
(2)
839
63,624
Dufry
AG
(Registered)
(2)*
765
31,873
Novartis
AG
(Registered)
(2)(a)
13,063
1,182,169
Swiss
Life
Holding
AG
(Registered)
(2)
71
36,598
Temenos
AG
(Registered)
(2)
3,327
183,029
UBS
Group
AG
(Registered)
(2)
6,146
114,231
1,631,963
—
United
Kingdom
-
1.6%
Aviva
plc
(2)
33,465
177,520
Barclays
plc
(2)
258,825
492,496
BP
plc
(2)
66,090
381,336
British
American
Tobacco
plc
(2)(a)
1,625
64,282
213
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
1.6%
(continued)
CK
Hutchison
Holdings
Ltd.
(2)(a)
37,500
224,657
DCC
plc
(2)
2,233
109,801
Direct
Line
Insurance
Group
plc
(2)
4,135
11,021
Harbour
Energy
plc
(2)
29,934
110,465
HSBC
Holdings
plc
(2)
5,324
32,996
Inchcape
plc
(2)
3,045
30,064
InterContinental
Hotels
Group
plc
(2)(a)
695
39,878
International
Distributions
Services
plc
(2)
37,294
95,596
Liberty
Global
plc,
Class
C
*
8,449
164,164
Lloyds
Banking
Group
plc
(2)
87,680
47,848
Man
Group
plc
(2)
26,955
69,351
Marks
&
Spencer
Group
plc
(2)*
107,091
157,986
Standard
Chartered
plc
(2)
1,906
14,216
Vodafone
Group
plc
(2)
72,216
73,134
2,296,811
—
United
States
-
34.5%
3M
Co.
(a)
2,413
289,367
Abbott
Laboratories
(a)
2,246
246,588
Accenture
plc,
Class
A
(a)
94
25,083
ACI
Worldwide,
Inc.
*
8,836
203,228
Activision
Blizzard,
Inc.
705
53,968
Adient
plc
*
801
27,787
Adobe,
Inc.
*(a)
2,115
711,760
Advanced
Micro
Devices,
Inc.
*
482
31,219
AGCO
Corp.
(a)
208
28,848
Alaska
Air
Group,
Inc.
*
3,452
148,229
Align
Technology,
Inc.
*
730
153,957
Allison
Transmission
Holdings,
Inc.
12,270
510,432
Ally
Financial,
Inc.
14,851
363,107
Alphabet,
Inc.,
Class
A
*(a)
9,272
818,068
Alphabet,
Inc.,
Class
C
*(a)
6,533
579,673
Altice
USA,
Inc.,
Class
A
*
78,198
359,711
Altria
Group,
Inc.
(a)
3,450
157,700
Amazon.com,
Inc.
*(a)
10,134
851,255
American
International
Group,
Inc.
8,711
550,884
American
Tower
Corp.,
REIT
324
68,643
Antero
Resources
Corp.
*
2,231
69,139
APA
Corp.
6,393
298,425
Apple,
Inc.
(a)
17,645
2,292,614
Applied
Materials,
Inc.
(a)
1,086
105,755
Arrow
Electronics,
Inc.
*
2,097
219,283
Associated
Banc-Corp.
4,344
100,303
AT&T,
Inc.
(a)
21,670
398,945
Autodesk,
Inc.
*(a)
432
80,728
AutoNation,
Inc.
*
2,846
305,376
Avantor,
Inc.
*
1,564
32,985
Avis
Budget
Group,
Inc.
*
45
7,377
Axis
Capital
Holdings
Ltd.
1,096
59,370
Baker
Hughes
Co.
4,122
121,723
Bank
of
America
Corp.
(a)
4,754
157,452
Bank
of
New
York
Mellon
Corp.
(The)
2,208
100,508
Bath
&
Body
Works,
Inc.
(a)
2,936
123,723
Berkshire
Hathaway,
Inc.,
Class
B
*(a)
1,592
491,769
Best
Buy
Co.,
Inc.
(a)
2,091
167,719
Biogen,
Inc.
*(a)
71
19,661
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.5%
(continued)
Booking
Holdings,
Inc.
*(a)
254
511,881
Bright
Horizons
Family
Solutions,
Inc.
*
153
9,654
Bristol-Myers
Squibb
Co.
(a)
2,808
202,036
Broadcom,
Inc.
(a)
749
418,788
Brunswick
Corp.
(a)
775
55,862
Builders
FirstSource,
Inc.
*
2,977
193,148
BWX
Technologies,
Inc.
2,757
160,127
Caesars
Entertainment,
Inc.
*
901
37,482
Capital
One
Financial
Corp.
906
84,222
Cardinal
Health,
Inc.
(a)
1,273
97,856
Celanese
Corp.
474
48,462
CF
Industries
Holdings,
Inc.
2,212
188,462
Chemours
Co.
(The)
4,500
137,790
Chesapeake
Energy
Corp.
1,776
167,601
Chevron
Corp.
(a)
1,121
201,208
Cigna
Corp.
(a)
1,891
626,563
Cisco
Systems,
Inc.
(a)
16,243
773,816
Citigroup,
Inc.
19,588
885,964
Cleveland-Cliffs,
Inc.
*
7,914
127,495
CNO
Financial
Group,
Inc.
13,484
308,109
Coca-Cola
Co.
(The)
(a)
4,203
267,353
Coca-Cola
Consolidated,
Inc.
421
215,704
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
3,316
189,642
Comcast
Corp.,
Class
A
(a)
15,813
552,981
Comerica,
Inc.
1,019
68,120
Corning,
Inc.
199
6,356
Coterra
Energy,
Inc.
2,491
61,204
Crane
Holdings
Co.
971
97,537
Crowdstrike
Holdings,
Inc.,
Class
A
*(a)
441
46,433
Crown
Castle,
Inc.,
REIT
311
42,184
CVS
Health
Corp.
(a)
9,776
911,024
Danaher
Corp.
(a)
23
6,105
Datadog,
Inc.,
Class
A
*(a)
647
47,555
DaVita,
Inc.
*
850
63,470
Dell
Technologies,
Inc.,
Class
C
3,221
129,549
Delta
Air
Lines,
Inc.
*
6,522
214,313
Digital
Realty
Trust,
Inc.,
REIT
191
19,152
Discover
Financial
Services
1,730
169,246
DocuSign,
Inc.
*(a)
3,726
206,495
Dow,
Inc.
(a)
2,933
147,794
Dropbox,
Inc.,
Class
A
*
742
16,606
DXC
Technology
Co.
*
10,425
276,263
Eagle
Materials,
Inc.
161
21,389
Eastman
Chemical
Co.
1,061
86,408
Elanco
Animal
Health,
Inc.
*
4,515
55,173
Elevance
Health,
Inc.
(a)
12
6,156
Enhabit,
Inc.
*
8,887
116,953
EOG
Resources,
Inc.
341
44,166
EQT
Corp.
4,414
149,326
Equinix,
Inc.,
REIT
61
39,957
Exelixis,
Inc.
*
2,614
41,929
Expedia
Group,
Inc.
*
7,078
620,032
Exxon
Mobil
Corp.
(a)
6,786
748,495
FedEx
Corp.
(a)
570
98,724
Fidelity
National
Information
Services,
Inc.
(a)
2,568
174,239
FirstEnergy
Corp.
(a)
366
15,350
214
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.5%
(continued)
FleetCor
Technologies,
Inc.
*(a)
139
25,532
Ford
Motor
Co.
13,331
155,040
Gates
Industrial
Corp.
plc
*
17,367
198,157
Generac
Holdings,
Inc.
*
676
68,046
General
Dynamics
Corp.
(a)
568
140,926
General
Motors
Co.
16,270
547,323
Gilead
Sciences,
Inc.
(a)
1,975
169,554
Global
Payments,
Inc.
(a)
176
17,480
Goodyear
Tire
&
Rubber
Co.
(The)
*
16,617
168,663
Grand
Canyon
Education,
Inc.
*
539
56,951
H&R
Block,
Inc.
1,211
44,214
Halliburton
Co.
4,696
184,788
Hartford
Financial
Services
Group,
Inc.
(The)
760
57,631
HCA
Healthcare,
Inc.
(a)
382
91,665
Hewlett
Packard
Enterprise
Co.
11,334
180,891
Home
Depot,
Inc.
(The)
(a)
26
8,212
Horizon
Therapeutics
plc
*(a)
257
29,247
Humana,
Inc.
(a)
61
31,244
Huntington
Ingalls
Industries,
Inc.
307
70,819
Huntsman
Corp.
7,156
196,647
Incyte
Corp.
*
1,819
146,102
Intel
Corp.
(a)
21,562
569,884
International
Paper
Co.
(a)
1,242
43,010
IPG
Photonics
Corp.
*
769
72,801
Janus
Henderson
Group
plc
1,570
36,926
Johnson
&
Johnson
(a)
91
16,075
KB
Home
(a)(e)
4,133
131,636
Kennametal,
Inc.
2,423
58,297
Kraft
Heinz
Co.
(The)
7,311
297,631
Kroger
Co.
(The)
(a)
4,924
219,512
Kyndryl
Holdings,
Inc.
*
2,231
24,809
Laboratory
Corp.
of
America
Holdings
(a)
570
134,224
Lam
Research
Corp.
128
53,798
Lennar
Corp.,
Class
A
(a)
1,013
91,677
Lincoln
National
Corp.
1,867
57,354
Lithia
Motors,
Inc.,
Class
A
110
22,521
Lockheed
Martin
Corp.
(a)
701
341,029
Louisiana-Pacific
Corp.
608
35,994
Lumen
Technologies,
Inc.
58,065
303,099
LyondellBasell
Industries
NV,
Class
A
(a)
3,701
307,294
Macy's,
Inc.
11,589
239,313
ManpowerGroup,
Inc.
(a)
2,946
245,137
Marathon
Oil
Corp.
7,490
202,754
Marathon
Petroleum
Corp.
3,423
398,403
Maravai
LifeSciences
Holdings,
Inc.,
Class
A
*
513
7,341
Marriott
International,
Inc.,
Class
A
(a)
938
139,659
Mastercard,
Inc.,
Class
A
(a)
346
120,315
Mattel,
Inc.
*(a)
6,466
115,353
Medtronic
plc
(a)
4,170
324,092
Merck
&
Co.,
Inc.
(a)
1,303
144,568
Meta
Platforms,
Inc.,
Class
A
*(a)
7,023
845,147
Microchip
Technology,
Inc.
2,605
183,001
Micron
Technology,
Inc.
352
17,593
Microsoft
Corp.
(a)
10,143
2,432,493
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.5%
(continued)
Moderna,
Inc.
*(a)
298
53,527
Mohawk
Industries,
Inc.
*(a)
351
35,879
Mosaic
Co.
(The)
6,743
295,815
Navient
Corp.
23,290
383,121
NCR
Corp.
*
9,654
226,000
Netflix,
Inc.
*(a)
882
260,084
NRG
Energy,
Inc.
1,325
42,162
NuVasive,
Inc.
*
762
31,425
Occidental
Petroleum
Corp.
1,578
99,398
Ovintiv,
Inc.
1,837
93,154
Owens
Corning
4,005
341,627
PACCAR,
Inc.
(a)
1,000
98,970
PacWest
Bancorp
348
7,987
PDC
Energy,
Inc.
2,817
178,823
Pentair
plc
152
6,837
Petco
Health
&
Wellness
Co.,
Inc.
*
1,226
11,622
Pfizer,
Inc.
(a)
17,683
906,076
Phillips
66
734
76,395
Pilgrim's
Pride
Corp.
*
3,261
77,384
Pioneer
Natural
Resources
Co.
246
56,184
Playtika
Holding
Corp.
*
21,980
187,050
Popular,
Inc.
2,193
145,440
Premier,
Inc.,
Class
A
242
8,465
Prologis,
Inc.,
REIT
1,198
135,051
Public
Storage,
REIT
111
31,101
PulteGroup,
Inc.
(a)
3,431
156,213
PVH
Corp.
3,077
217,205
Qorvo,
Inc.
*
838
75,956
QUALCOMM,
Inc.
(a)
2,237
245,936
QuidelOrtho
Corp.
*
501
42,921
Range
Resources
Corp.
256
6,405
Raytheon
Technologies
Corp.
(a)
980
98,902
RingCentral,
Inc.,
Class
A
*
3,573
126,484
Roche
Holding
AG
(2)(a)
54
16,969
Salesforce,
Inc.
*(a)
2,955
391,803
Schlumberger
Ltd.
130
6,950
Schneider
National,
Inc.,
Class
B
5,719
133,825
Semtech
Corp.
*
11,738
336,763
ServiceNow,
Inc.
*(a)
347
134,730
Signify
NV
(2)(c)
322
10,839
Simon
Property
Group,
Inc.,
REIT
376
44,172
Skyworks
Solutions,
Inc.
837
76,276
Sotera
Health
Co.
*
7,640
63,641
Southwest
Airlines
Co.
*
6,028
202,963
Southwestern
Energy
Co.
*
4,777
27,945
SS&C
Technologies
Holdings,
Inc.
(a)
4,458
232,083
Stellantis
NV
(2)
41,220
585,751
Stifel
Financial
Corp.
962
56,152
Swiss
Re
AG
(2)
1,091
102,010
Synaptics,
Inc.
*
1,741
165,674
Synchrony
Financial
2,615
85,929
Syneos
Health,
Inc.
*
10,508
385,433
Taylor
Morrison
Home
Corp.,
Class
A
*
7,583
230,144
Tenet
Healthcare
Corp.
*
6,339
309,280
Teradata
Corp.
*
5,191
174,729
Terex
Corp.
1,963
83,859
Tesla,
Inc.
*(a)
3,532
435,072
Textron,
Inc.
(a)
5,832
412,906
215
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.5%
(continued)
Toll
Brothers,
Inc.
7,236
361,221
Travel
+
Leisure
Co.
6,996
254,654
Tyson
Foods,
Inc.,
Class
A
8,125
505,781
UMB
Financial
Corp.
234
19,544
Umpqua
Holdings
Corp.
2,470
44,090
United
Airlines
Holdings,
Inc.
*
1,275
48,068
United
States
Steel
Corp.
9,339
233,942
Universal
Display
Corp.
778
84,055
Universal
Health
Services,
Inc.,
Class
B
(a)
1,626
229,087
Unum
Group
7,060
289,672
US
Bancorp
860
37,505
Vail
Resorts,
Inc.
388
92,480
Valero
Energy
Corp.
2,242
284,420
Veeva
Systems,
Inc.,
Class
A
*(a)
47
7,585
VeriSign,
Inc.
*(a)
384
78,889
Verizon
Communications,
Inc.
(a)(e)
7,843
309,014
Viatris,
Inc.
32,464
361,324
Vicor
Corp.
*
1,509
81,109
Victoria's
Secret
&
Co.
*
373
13,346
Virtu
Financial,
Inc.,
Class
A
9,773
199,467
Visa,
Inc.,
Class
A
(a)
339
70,431
Vishay
Intertechnology,
Inc.
11,954
257,848
VMware,
Inc.,
Class
A
*(a)
248
30,444
Vontier
Corp.
17,194
332,360
Walt
Disney
Co.
(The)
*(a)
125
10,860
Washington
Federal,
Inc.
6,055
203,145
Wells
Fargo
&
Co.
13,608
561,874
Western
Digital
Corp.
*
710
22,401
Western
Union
Co.
(The)
19,032
262,071
Westrock
Co.
9,279
326,250
WEX,
Inc.
*
421
68,897
Whirlpool
Corp.
(a)
107
15,136
Williams-Sonoma,
Inc.
(a)
2,810
322,925
Wintrust
Financial
Corp.
1,931
163,208
Workday,
Inc.,
Class
A
*(a)
734
122,820
Wyndham
Hotels
&
Resorts,
Inc.
189
13,478
Xerox
Holdings
Corp.
4,285
62,561
XPO,
Inc.
*
1,188
39,549
Zions
Bancorp
NA
1,942
95,469
Zoom
Video
Communications,
Inc.,
Class
A
*(a)
188
12,735
49,359,355
—
TOTAL
COMMON
STOCKS
(Cost
$73,498,397)
77,697,246
PRINCIPAL
AMOUNT
FOREIGN
GOVERNMENT
SECURITIES
-
6.2%
Federal
Republic
of
Germany
0.50%,
4/15/2030
(2)(f)(g)
EUR
2,314,542
2,516,674
0.10%,
4/15/2033
(2)(f)(g)
462,464
487,761
French
Republic
1.85%,
7/25/2027
(2)(f)(g)
781,571
891,929
0.10%,
3/1/2029
(2)(f)(g)
348,099
362,536
0.70%,
7/25/2030
(2)(f)(g)
1,208,930
1,308,542
0.10%,
7/25/2031
(2)(f)(g)
805,518
828,331
United
Kingdom
Gilt
Inflation
Linked
0.13%,
8/10/2028
(2)(f)(g)
GBP
382,692
460,698
0.13%,
8/10/2031
(2)(f)(g)
242,640
295,012
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
FOREIGN
GOVERNMENT
SECURITIES
-
6.2%
(continued)
1.25%,
11/22/2032
(2)(f)(g)
GBP
656,188
877,520
0.75%,
3/22/2034
(2)(f)(g)
613,532
779,422
Cost:
$9,011,712
$–
TOTAL
FOREIGN
GOVERNMENT
SECURITIES
(Cost
$9,011,712)
8,808,425
U.S.
TREASURY
OBLIGATIONS
-
6.8%
U.S.
Treasury
Inflation
Linked
Notes
0.50%,
1/15/2028
(2)
$
120,816
113,607
0.75%,
7/15/2028
(2)
118,722
113,088
0.25%,
7/15/2029
(2)
466,020
426,617
0.13%,
1/15/2030
(2)
579,150
520,205
0.13%,
7/15/2030
(2)
1,859,728
1,665,085
0.13%,
1/15/2031
(2)
1,946,177
1,728,322
0.13%,
7/15/2031
(2)
2,001,420
1,768,380
0.13%,
1/15/2032
(2)
2,150,140
1,883,249
0.63%,
7/15/2032
(2)
1,641,104
1,503,115
Cost:
$10,128,232
$–
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$10,128,232)
9,721,668
SHARES
SHORT-TERM
INVESTMENTS
-
38.5%
INVESTMENT
COMPANIES
-
21.2%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
3.94%
(h)(i)
2,460,463
2,460,463
Limited
Purpose
Cash
Investment
Fund,
4.08%
(h)
27,957,674
27,946,492
TOTAL
INVESTMENT
COMPANIES
(Cost
$30,401,467)
30,406,955
—
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
17.3%
U.S.
Treasury
Bills
3.38%,
3/9/2023
(2)(j)
$
1,360,000
1,349,580
3.93%,
4/6/2023
(2)(j)
2,571,000
2,543,105
4.33%,
4/20/2023
(2)(j)
7,254,000
7,159,425
4.54%,
5/4/2023
(2)(j)
1,181,000
1,163,174
4.59%,
5/11/2023
(2)(j)
2,999,000
2,950,582
4.63%,
5/25/2023
(2)(j)
3,576,000
3,512,364
4.66%,
6/1/2023
(2)(j)
1,317,000
1,292,457
4.68%,
6/8/2023
(2)(j)
2,497,000
2,448,200
4.74%,
6/15/2023
(2)(j)
1,930,000
1,891,094
4.71%,
6/29/2023
(2)(j)
370,000
361,809
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$24,671,519)
24,671,790
—
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$55,072,986)
55,078,745
TOTAL
LONG
POSITIONS
(Cost
$147,711,327)
151,306,084
216
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
SHORT
POSITIONS
-
(12.2)%
COMMON
STOCKS
-
(12.2)%
Australia
-
(0.4)%
Cleanaway
Waste
Management
Ltd.
(2)
(19,582)
(34,892)
Endeavour
Group
Ltd.
(2)
(12,074)
(52,545)
IDP
Education
Ltd.
(2)
(8,024)
(147,877)
IGO
Ltd.
(2)
(4,402)
(40,267)
Lynas
Rare
Earths
Ltd.
(2)
(18,725)
(98,709)
Mineral
Resources
Ltd.
(2)
(1,251)
(65,623)
OZ
Minerals
Ltd.
(2)
(1,554)
(29,292)
Reece
Ltd.
(2)
(756)
(7,226)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(2)
(963)
(18,067)
Worley
Ltd.
(2)
(12,673)
(129,270)
(623,768)
—
Brazil
-
(0.0)%
(b)
Wheaton
Precious
Metals
Corp.
(288)
(11,252)
Canada
-
(0.9)%
BlackBerry
Ltd.
(55,060)
(179,331)
CAE,
Inc.
(1,069)
(20,677)
Cameco
Corp.
(15,074)
(341,671)
Canadian
Pacific
Railway
Ltd.
(2,249)
(167,678)
Constellation
Software,
Inc.
(171)
(266,977)
Dollarama,
Inc.
(867)
(50,707)
Kinross
Gold
Corp.
(21,699)
(88,463)
Pan
American
Silver
Corp.
(8,447)
(137,872)
(1,253,376)
—
Chile
-
(0.0)%
(b)
Antofagasta
plc
(2)
(3,169)
(59,158)
China
-
(0.1)%
Prosus
NV
(2)
(1,523)
(105,153)
Denmark
-
(0.2)%
Coloplast
A/S,
Class
B
(2)
(939)
(110,007)
Novo
Nordisk
A/S,
Class
B
(2)
(53)
(7,198)
Novozymes
A/S,
Class
B
(2)
(528)
(26,787)
SimCorp
A/S
(2)
(467)
(32,154)
Vestas
Wind
Systems
A/S
(2)
(4,976)
(145,154)
(321,300)
—
Faroe
Islands
-
(0.0)%
(b)
Bakkafrost
P/F
(2)
(980)
(61,179)
France
-
(0.6)%
Aeroports
de
Paris
(2)
(935)
(125,264)
Alstom
SA
(2)
(4,419)
(108,118)
EssilorLuxottica
SA
(2)
(250)
(45,233)
Gaztransport
Et
Technigaz
SA
(2)
(178)
(19,023)
Hermes
International
(2)
(191)
(295,639)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(79)
(57,488)
SOITEC
(2)
(50)
(8,207)
Worldline
SA
(2)(c)
(4,232)
(165,736)
(824,708)
—
Germany
-
(0.1)%
Rheinmetall
AG
(2)
(519)
(103,321)
INVESTMENTS
SHARES
VALUE
($)
Italy
-
(0.6)%
Banca
Generali
SpA
(2)
(577)
(19,807)
DiaSorin
SpA
(2)
(983)
(137,547)
Ferrari
NV
(2)
(1,566)
(335,811)
Infrastrutture
Wireless
Italiane
SpA
(2)(c)
(4,207)
(42,441)
Nexi
SpA
(2)(c)
(22,842)
(180,313)
Reply
SpA
(2)
(94)
(10,783)
Telecom
Italia
SpA
(2)
(429,739)
(99,593)
(826,295)
—
Japan
-
(1.0)%
Azbil
Corp.
(2)
(600)
(15,064)
BayCurrent
Consulting,
Inc.
(2)
(2,800)
(87,164)
Capcom
Co.
Ltd.
(2)
(7,900)
(252,171)
Disco
Corp.
(2)
(200)
(57,004)
JSR
Corp.
(2)
(3,100)
(60,702)
Koei
Tecmo
Holdings
Co.
Ltd.
(2)
(400)
(7,235)
Kurita
Water
Industries
Ltd.
(2)
(400)
(16,522)
Lasertec
Corp.
(2)
(1,200)
(195,925)
MonotaRO
Co.
Ltd.
(2)
(7,400)
(104,236)
Nexon
Co.
Ltd.
(2)
(3,600)
(80,823)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(8,600)
(67,545)
Obic
Co.
Ltd.
(2)
(1,400)
(205,533)
TIS,
Inc.
(2)
(3,000)
(78,845)
Trend
Micro,
Inc.
(2)
(300)
(14,030)
Unicharm
Corp.
(2)
(2,900)
(111,030)
Yaskawa
Electric
Corp.
(2)
(200)
(6,381)
Z
Holdings
Corp.
(2)
(36,400)
(90,910)
(1,451,120)
—
Netherlands
-
(0.2)%
Argenx
SE
(2)
(628)
(235,755)
Koninklijke
DSM
NV
(2)
(660)
(81,044)
(316,799)
—
Norway
-
(0.2)%
Kongsberg
Gruppen
ASA
(2)
(2,762)
(117,561)
Salmar
ASA
(2)
(580)
(22,746)
Schibsted
ASA,
Class
A
(2)
(4,211)
(79,856)
(220,163)
—
Singapore
-
(0.0)%
(b)
Grab
Holdings
Ltd.,
Class
A
(1,839)
(5,922)
South
Korea
-
(0.1)%
Delivery
Hero
SE
(2)(c)
(3,252)
(156,063)
Spain
-
(0.3)%
Acciona
SA
(2)
(494)
(90,912)
CaixaBank
SA
(2)
(17,104)
(67,061)
Cellnex
Telecom
SA
(2)(c)
(9,853)
(326,836)
(484,809)
—
Sweden
-
(0.2)%
Beijer
Ref
AB
(2)
(2,157)
(30,458)
Hexagon
AB,
Class
B
(2)
(12,311)
(129,082)
Nibe
Industrier
AB,
Class
B
(2)
(14,560)
(135,900)
(295,440)
—
217
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
(0.5)%
Bachem
Holding
AG,
Class
B
(2)
(4,619)
(400,793)
SIG
Group
AG
(2)
(6,839)
(149,440)
Tecan
Group
AG
(Registered)
(2)
(246)
(110,120)
(660,353)
—
United
Kingdom
-
(0.3)%
AVEVA
Group
plc
(2)
(434)
(16,799)
B&M
European
Value
Retail
SA
(2)
(2,453)
(12,176)
ConvaTec
Group
plc
(2)(c)
(19,418)
(54,383)
Ocado
Group
plc
(2)
(17,969)
(133,384)
Rentokil
Initial
plc
(2)
(7,697)
(47,289)
Rolls-Royce
Holdings
plc
(2)
(150,047)
(167,599)
Subsea
7
SA
(2)
(2,052)
(23,761)
(455,391)
—
United
States
-
(6.4)%
10X
Genomics,
Inc.,
Class
A
(2,833)
(103,235)
Advanced
Drainage
Systems,
Inc.
(75)
(6,148)
Affirm
Holdings,
Inc.
(11,619)
(112,356)
agilon
health,
Inc.
(14,829)
(239,339)
Alcoa
Corp.
(615)
(27,964)
Alnylam
Pharmaceuticals,
Inc.
(480)
(114,072)
Arrowhead
Pharmaceuticals,
Inc.
(1,860)
(75,442)
Aspen
Technology,
Inc.
(103)
(21,156)
Axon
Enterprise,
Inc.
(1,049)
(174,061)
AZEK
Co.,
Inc.
(The)
(5,621)
(114,219)
Azenta,
Inc.
(3,248)
(189,099)
Ball
Corp.
(2,610)
(133,475)
Bentley
Systems,
Inc.,
Class
B
(4,901)
(181,141)
Bill.com
Holdings,
Inc.
(971)
(105,800)
Brookfield
Renewable
Corp.
(735)
(20,232)
Burlington
Stores,
Inc.
(917)
(185,931)
Catalent,
Inc.
(225)
(10,127)
Celsius
Holdings,
Inc.
(761)
(79,174)
Ceridian
HCM
Holding,
Inc.
(134)
(8,596)
ChargePoint
Holdings,
Inc.
(7,331)
(69,864)
Chart
Industries,
Inc.
(1,507)
(173,652)
Cloudflare,
Inc.,
Class
A
(549)
(24,820)
CNX
Resources
Corp.
(5,013)
(84,419)
Confluent,
Inc.,
Class
A
(4,967)
(110,466)
Core
&
Main,
Inc.,
Class
A
(646)
(12,474)
Crocs,
Inc.
(1,089)
(118,080)
Definitive
Healthcare
Corp.
(6,133)
(67,402)
DoorDash,
Inc.,
Class
A
(1,201)
(58,633)
DoubleVerify
Holdings,
Inc.
(2,836)
(62,279)
DraftKings,
Inc.,
Class
A
(11,782)
(134,197)
Enphase
Energy,
Inc.
(21)
(5,564)
Entegris,
Inc.
(1,955)
(128,228)
Envestnet,
Inc.
(792)
(48,866)
EPAM
Systems,
Inc.
(78)
(25,564)
Equifax,
Inc.
(57)
(11,079)
Etsy,
Inc.
(536)
(64,202)
First
Solar,
Inc.
(522)
(78,190)
Five
Below,
Inc.
(212)
(37,496)
Five9,
Inc.
(407)
(27,619)
Floor
&
Decor
Holdings,
Inc.,
Class
A
(121)
(8,425)
Fox
Factory
Holding
Corp.
(562)
(51,271)
Freshpet,
Inc.
(4,929)
(260,102)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(6.4)%
(continued)
Frontier
Communications
Parent,
Inc.
(342)
(8,714)
FTI
Consulting,
Inc.
(438)
(69,554)
Globant
SA
(42)
(7,063)
Grocery
Outlet
Holding
Corp.
(1,944)
(56,745)
Hanesbrands,
Inc.
(5,846)
(37,181)
HealthEquity,
Inc.
(1,329)
(81,920)
Hess
Corp.
(213)
(30,208)
IAC,
Inc.
(2,165)
(96,126)
ICU
Medical,
Inc.
(710)
(111,811)
Illumina,
Inc.
(539)
(108,986)
Inari
Medical,
Inc.
(705)
(44,810)
Insulet
Corp.
(710)
(209,017)
Jamf
Holding
Corp.
(2,273)
(48,415)
Kinsale
Capital
Group,
Inc.
(30)
(7,846)
Kohl's
Corp.
(8,210)
(207,303)
Las
Vegas
Sands
Corp.
(824)
(39,610)
Leslie's,
Inc.
(1,052)
(12,845)
Masimo
Corp.
(61)
(9,025)
Mirati
Therapeutics,
Inc.
(2,253)
(102,083)
MKS
Instruments,
Inc.
(678)
(57,447)
MP
Materials
Corp.
(4,998)
(121,351)
Natera,
Inc.
(2,645)
(106,250)
nCino,
Inc.
(7,374)
(194,969)
New
Fortress
Energy,
Inc.
(1,333)
(56,546)
Norwegian
Cruise
Line
Holdings
Ltd.
(3,693)
(45,202)
Novanta,
Inc.
(988)
(134,240)
Novocure
Ltd.
(2,530)
(185,576)
NVIDIA
Corp.
(314)
(45,888)
Oak
Street
Health,
Inc.
(10,051)
(216,196)
Okta,
Inc.
(844)
(57,671)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(705)
(33,022)
Palantir
Technologies,
Inc.,
Class
A
(16,008)
(102,771)
Palo
Alto
Networks,
Inc.
(44)
(6,140)
Papa
John's
International,
Inc.
(338)
(27,821)
Paycor
HCM,
Inc.
(2,491)
(60,955)
Penumbra,
Inc.
(759)
(168,847)
PerkinElmer,
Inc.
(69)
(9,675)
Pinterest,
Inc.,
Class
A
(6,307)
(153,134)
Plug
Power,
Inc.
(17,368)
(214,841)
Pool
Corp.
(147)
(44,443)
Procore
Technologies,
Inc.
(332)
(15,664)
Quanta
Services,
Inc.
(1,363)
(194,228)
R1
RCM,
Inc.
(8,043)
(88,071)
Repligen
Corp.
(829)
(140,358)
ROBLOX
Corp.,
Class
A
(5,555)
(158,095)
RPM
International,
Inc.
(193)
(18,808)
Saia,
Inc.
(631)
(132,308)
Schneider
Electric
SE
(2)
(187)
(26,261)
Scotts
Miracle-Gro
Co.
(The)
(1,341)
(65,159)
SentinelOne,
Inc.,
Class
A
(5,640)
(82,288)
Shift4
Payments,
Inc.,
Class
A
(2,358)
(131,883)
SolarEdge
Technologies,
Inc.
(322)
(91,213)
SVB
Financial
Group
(209)
(48,099)
Take-Two
Interactive
Software,
Inc.
(104)
(10,830)
Teladoc
Health,
Inc.
(998)
(23,603)
Teledyne
Technologies,
Inc.
(25)
(9,998)
Toast,
Inc.,
Class
A
(2,281)
(41,126)
Topgolf
Callaway
Brands
Corp.
(1,435)
(28,341)
218
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(6.4)%
(continued)
Trade
Desk,
Inc.
(The),
Class
A
(2,385)
(106,920)
UiPath,
Inc.,
Class
A
(6,382)
(81,115)
Unity
Software,
Inc.
(3,230)
(92,346)
Valvoline,
Inc.
(931)
(30,397)
Viasat,
Inc.
(774)
(24,497)
Wingstop,
Inc.
(850)
(116,977)
Wolfspeed,
Inc.
(712)
(49,156)
World
Wrestling
Entertainment,
Inc.,
Class
A
(581)
(39,810)
Wynn
Resorts
Ltd.
(405)
(33,400)
ZoomInfo
Technologies,
Inc.,
Class
A
(7,593)
(228,624)
(9,006,281)
—
Zambia
-
(0.1)%
First
Quantum
Minerals
Ltd.
(7,596)
(158,708)
TOTAL
COMMON
STOCKS
(Proceeds
$(19,754,709))
(17,400,559)
TOTAL
SHORT
POSITIONS
(Proceeds
$(19,754,709))
(17,400,559)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
93.6%
(Cost
$127,956,618)
133,905,525
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
6.4%
(k)
9,096,989
NET
ASSETS
-
100.0%
143,002,514
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
3,550,966
2.5
%
Consumer
Discretionary
7,207,478
5.1
Consumer
Staples
1,495,579
1.1
Energy
7,679,516
5.4
Financials
11,628,148
8.1
Foreign
Government
Securities
8,808,425
6.2
Health
Care
4,331,657
3.0
Industrials
6,116,500
4.3
Information
Technology
10,603,970
7.3
Materials
7,052,946
4.9
Real
Estate
461,609
0.3
Utilities
168,318
0.1
Investment
Companies
30,406,955
21.2
U.S.
Treasury
Obligations
34,393,458
24.1
Total
Investments
In
Securities
At
Value
133,905,525
93.6
Other
Assets
in
Excess
of
Liabilities
(k)
9,096,989
6.4
Net
Assets
$
143,002,514
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$19,106,688,
which
is
inclusive
of
rehypothecated
amounts
disclosed
below.
(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
December
31,
2022
amounted
to
$(781,810),
which
represents
(0.55)%
of
net
assets
of
the
fund.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
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
with
a
total
value
of
$83,973.
(f)
Inflation
protected
security.
(g)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
December
31,
2022,
the
value
of
these
securities
amounted
to
$8,808,425
or
6.16%
of
net
assets.
(h)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(k)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
219
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
(2,237,760)
$
73,040
$
73,040
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
CAC
40
10
Euro
Index
17
1/2023
EUR
$
1,177,479
$
(38,490)
LME
Aluminum
Base
Metal
1
1/2023
USD
58,805
67
LME
Aluminum
Base
Metal
1
1/2023
USD
58,750
731
LME
Aluminum
Base
Metal
1
1/2023
USD
59,381
4,929
LME
Aluminum
Base
Metal
2
1/2023
USD
117,426
5,920
LME
Aluminum
Base
Metal
3
1/2023
USD
176,249
4,886
LME
Aluminum
Base
Metal
3
1/2023
USD
176,288
(461)
LME
Aluminum
Base
Metal
4
1/2023
USD
234,851
18,239
LME
Copper
Base
Metal
1
1/2023
USD
209,157
13,404
LME
Copper
Base
Metal
1
1/2023
USD
209,250
19,226
LME
Copper
Base
Metal
5
1/2023
USD
1,046,533
123,015
LME
Lead
Base
Metal
1
1/2023
USD
58,156
7,530
LME
Lead
Base
Metal
1
1/2023
USD
58,363
9,189
LME
Lead
Base
Metal
1
1/2023
USD
58,250
7,357
LME
Nickel
Base
Metal
1
1/2023
USD
180,462
51,628
LME
Nickel
Base
Metal
1
1/2023
USD
179,406
45,783
LME
Nickel
Base
Metal
1
1/2023
USD
179,556
46,353
Natural
Gas
7
1/2023
USD
313,250
(60,124)
RBOB
Gasoline
5
1/2023
USD
520,443
77,079
WTI
Crude
Oil
15
1/2023
USD
1,203,900
64,497
100
oz
Gold
20
2/2023
USD
3,652,400
78,417
Brent
Crude
Oil
14
2/2023
USD
1,199,100
69,242
Lean
Hogs
14
2/2023
USD
491,120
(2,758)
Live
Cattle
6
2/2023
USD
378,960
6,037
LME
Aluminum
Base
Metal
2
2/2023
USD
118,333
(639)
LME
Aluminum
Base
Metal
2
2/2023
USD
118,026
(2,296)
LME
Aluminum
Base
Metal
6
2/2023
USD
354,564
(7,307)
LME
Copper
Base
Metal
1
2/2023
USD
209,356
(1,984)
LME
Copper
Base
Metal
2
2/2023
USD
418,975
14,895
LME
Copper
Base
Metal
2
2/2023
USD
418,750
11,070
LME
Copper
Base
Metal
2
2/2023
USD
418,848
20,043
LME
Nickel
Base
Metal
1
2/2023
USD
180,039
20,753
LME
Nickel
Base
Metal
1
2/2023
USD
179,808
28,542
LME
Zinc
Base
Metal
1
2/2023
USD
74,570
2,342
LME
Zinc
Base
Metal
1
2/2023
USD
74,488
1,122
LME
Zinc
Base
Metal
1
2/2023
USD
74,573
(2,055)
Low
Sulphur
Gasoil
10
2/2023
USD
906,000
20,450
Natural
Gas
2
2/2023
USD
82,080
284
NY
Harbor
ULSD
4
2/2023
USD
534,106
16,091
220
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
RBOB
Gasoline
7
2/2023
USD
$
728,620
$
58,641
Sugar
No.
11
51
2/2023
USD
1,144,685
90,883
WTI
Crude
Oil
10
2/2023
USD
804,500
20,080
Australia
10
Year
Bond
34
3/2023
AUD
2,676,868
(21,695)
Australia
3
Year
Bond
18
3/2023
AUD
1,308,466
(14,787)
Cocoa
27
3/2023
USD
702,000
26,304
Corn
71
3/2023
USD
2,408,675
44,292
Cotton
No.
2
6
3/2023
USD
250,110
8,086
EURO
STOXX
50
Index
41
3/2023
EUR
1,661,178
(64,559)
Euro-Bobl
57
3/2023
EUR
7,057,680
(194,782)
Euro-BTP
19
3/2023
EUR
2,211,817
(156,778)
Euro-Bund
195
3/2023
EUR
27,720,372
(1,581,016)
Euro-Buxl
4
3/2023
EUR
577,444
(59,563)
Euro-OAT
22
3/2023
EUR
2,996,725
(178,883)
Euro-Schatz
54
3/2023
EUR
6,090,550
(55,174)
FTSE/MIB
Index
78
3/2023
EUR
9,897,509
(326,992)
Japan
10
Year
Bond
22
3/2023
JPY
24,343,492
(491,071)
KC
HRW
Wheat
3
3/2023
USD
133,200
(5,216)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,438
(373)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,363
(353)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,338
(240)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,275
(2,995)
LME
Aluminum
Base
Metal
1
3/2023
USD
59,300
(827)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,357
(6,244)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,382
(6,524)
LME
Aluminum
Base
Metal
4
3/2023
USD
237,168
(7,295)
LME
Aluminum
Base
Metal
4
3/2023
USD
237,004
(12,220)
LME
Aluminum
Base
Metal
5
3/2023
USD
296,316
(17,057)
LME
Aluminum
Base
Metal
8
3/2023
USD
473,912
(26,131)
LME
Aluminum
Base
Metal
42
3/2023
USD
2,490,611
(74,184)
LME
Copper
Base
Metal
1
3/2023
USD
209,488
2,985
LME
Copper
Base
Metal
1
3/2023
USD
209,488
(428)
LME
Copper
Base
Metal
1
3/2023
USD
209,256
4
LME
Copper
Base
Metal
1
3/2023
USD
209,294
1,741
LME
Copper
Base
Metal
2
3/2023
USD
418,975
(7,330)
LME
Copper
Base
Metal
3
3/2023
USD
627,806
1,838
LME
Copper
Base
Metal
8
3/2023
USD
1,675,900
(121)
LME
Copper
Base
Metal
20
3/2023
USD
4,187,750
366,172
LME
Lead
Base
Metal
1
3/2023
USD
57,796
2,514
LME
Lead
Base
Metal
1
3/2023
USD
57,803
2,228
LME
Lead
Base
Metal
1
3/2023
USD
57,563
3,569
LME
Lead
Base
Metal
1
3/2023
USD
57,338
1,270
LME
Lead
Base
Metal
1
3/2023
USD
57,338
906
LME
Lead
Base
Metal
2
3/2023
USD
115,577
4,222
LME
Lead
Base
Metal
2
3/2023
USD
115,488
7,307
LME
Lead
Base
Metal
4
3/2023
USD
231,271
12,958
LME
Lead
Base
Metal
15
3/2023
USD
866,063
68,443
LME
Nickel
Base
Metal
1
3/2023
USD
180,165
9,552
LME
Nickel
Base
Metal
1
3/2023
USD
180,207
(11,046)
LME
Nickel
Base
Metal
1
3/2023
USD
180,081
14,478
LME
Nickel
Base
Metal
1
3/2023
USD
180,060
17,270
LME
Nickel
Base
Metal
1
3/2023
USD
180,256
5,654
LME
Nickel
Base
Metal
6
3/2023
USD
1,081,620
183,246
LME
Zinc
Base
Metal
1
3/2023
USD
74,444
(6,649)
LME
Zinc
Base
Metal
2
3/2023
USD
148,900
(12,377)
LME
Zinc
Base
Metal
2
3/2023
USD
148,950
(12,530)
221
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
3
3/2023
USD
$
223,088
$
(5,188)
LME
Zinc
Base
Metal
3
3/2023
USD
223,463
(8,571)
LME
Zinc
Base
Metal
25
3/2023
USD
1,860,313
(27,456)
Long
Gilt
18
3/2023
GBP
2,173,499
(69,235)
Low
Sulphur
Gasoil
4
3/2023
USD
353,000
(4,501)
Silver
3
3/2023
USD
360,600
32,859
Soybean
28
3/2023
USD
2,133,600
67,968
Soybean
Meal
32
3/2023
USD
1,507,200
125,558
Soybean
Oil
20
3/2023
USD
768,840
(14,257)
SPI
200
Index
29
3/2023
AUD
3,451,365
(22,722)
TOPIX
Index
108
3/2023
JPY
15,565,529
(426,338)
U.S.
Treasury
10
Year
Note
25
3/2023
USD
2,803,516
(43,965)
U.S.
Treasury
2
Year
Note
41
3/2023
USD
8,405,000
3,325
U.S.
Treasury
5
Year
Note
57
3/2023
USD
6,146,203
(85,559)
U.S.
Treasury
Long
Bond
47
3/2023
USD
5,860,313
(103,942)
U.S.
Treasury
Ultra
Bond
19
3/2023
USD
2,537,094
(131,545)
100
oz
Gold
3
4/2023
USD
552,660
281
Lean
Hogs
1
4/2023
USD
38,120
(58)
Live
Cattle
2
4/2023
USD
129,440
(261)
(2,441,397)
Short
Contracts
Amsterdam
Exchange
Index
(29)
1/2023
EUR
(4,281,768)
234,097
Brent
Crude
Oil
(8)
1/2023
USD
(687,280)
(23,238)
Hang
Seng
Index
(6)
1/2023
HKD
(765,427)
6,357
IBEX
35
Index
(6)
1/2023
EUR
(526,295)
2,175
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(58,805)
443
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(58,750)
309
LME
Aluminum
Base
Metal
(1)
1/2023
USD
(59,381)
(5,634)
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,426)
(6,287)
LME
Aluminum
Base
Metal
(3)
1/2023
USD
(176,288)
1,490
LME
Aluminum
Base
Metal
(3)
1/2023
USD
(176,249)
(4,732)
LME
Aluminum
Base
Metal
(4)
1/2023
USD
(234,851)
(17,250)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,250)
(18,528)
LME
Copper
Base
Metal
(1)
1/2023
USD
(209,157)
(15,908)
LME
Copper
Base
Metal
(5)
1/2023
USD
(1,046,533)
(124,671)
LME
Lead
Base
Metal
(1)
1/2023
USD
(58,250)
(7,428)
LME
Lead
Base
Metal
(1)
1/2023
USD
(58,363)
(9,615)
LME
Lead
Base
Metal
(1)
1/2023
USD
(58,156)
(7,259)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,406)
(46,338)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(180,462)
(54,027)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,556)
(45,219)
NY
Harbor
ULSD
(4)
1/2023
USD
(553,560)
(18,312)
OMXS30
Index
(47)
1/2023
SEK
(919,745)
38,358
LME
Aluminum
Base
Metal
(2)
2/2023
USD
(118,333)
1,561
LME
Aluminum
Base
Metal
(2)
2/2023
USD
(118,026)
1,394
LME
Aluminum
Base
Metal
(6)
2/2023
USD
(354,564)
5,868
LME
Copper
Base
Metal
(1)
2/2023
USD
(209,356)
1,804
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,975)
(16,256)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,750)
(12,237)
LME
Copper
Base
Metal
(2)
2/2023
USD
(418,848)
(17,888)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(180,039)
(24,102)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,808)
(31,731)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,488)
(1,400)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,573)
2,441
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,570)
(2,418)
Canada
10
Year
Bond
(194)
3/2023
CAD
(17,540,237)
593,033
222
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Coffee
'C'
(4)
3/2023
USD
$
(250,950)
$
(7,459)
DAX
Index
(18)
3/2023
EUR
(6,738,055)
207,949
FTSE
100
Index
(12)
3/2023
GBP
(1,083,122)
1,335
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,275)
3,222
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,363)
378
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,300)
776
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,438)
(53)
LME
Aluminum
Base
Metal
(1)
3/2023
USD
(59,338)
256
LME
Aluminum
Base
Metal
(2)
3/2023
USD
(118,382)
5,838
LME
Aluminum
Base
Metal
(2)
3/2023
USD
(118,357)
5,837
LME
Aluminum
Base
Metal
(4)
3/2023
USD
(237,168)
4,820
LME
Aluminum
Base
Metal
(4)
3/2023
USD
(237,004)
12,034
LME
Aluminum
Base
Metal
(5)
3/2023
USD
(296,316)
15,794
LME
Aluminum
Base
Metal
(8)
3/2023
USD
(473,912)
23,741
LME
Aluminum
Base
Metal
(36)
3/2023
USD
(2,134,809)
(69,945)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,488)
731
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,256)
(464)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,294)
(2,237)
LME
Copper
Base
Metal
(1)
3/2023
USD
(209,488)
(2,488)
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,975)
7,406
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,806)
(739)
LME
Copper
Base
Metal
(8)
3/2023
USD
(1,675,900)
(2,576)
LME
Copper
Base
Metal
(20)
3/2023
USD
(4,187,750)
(40,725)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,338)
(1,215)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,796)
(2,748)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,563)
(3,440)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,338)
(1,690)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,803)
(2,218)
LME
Lead
Base
Metal
(2)
3/2023
USD
(115,577)
(4,673)
LME
Lead
Base
Metal
(2)
3/2023
USD
(115,488)
(7,200)
LME
Lead
Base
Metal
(4)
3/2023
USD
(231,271)
(12,782)
LME
Lead
Base
Metal
(4)
3/2023
USD
(230,950)
(11,468)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,165)
(8,823)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,081)
(14,784)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,256)
(6,020)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,060)
(18,933)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,207)
7,585
LME
Nickel
Base
Metal
(5)
3/2023
USD
(901,350)
(96,602)
LME
Zinc
Base
Metal
(1)
3/2023
USD
(74,444)
6,803
LME
Zinc
Base
Metal
(2)
3/2023
USD
(148,950)
12,294
LME
Zinc
Base
Metal
(2)
3/2023
USD
(148,900)
12,344
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,238)
(1,759)
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,463)
7,304
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,088)
4,891
Russell
2000
E-Mini
Index
(15)
3/2023
USD
(1,328,175)
42,847
S&P
500
E-Mini
Index
(137)
3/2023
USD
(26,447,851)
1,019,356
S&P
Midcap
400
E-Mini
Index
(6)
3/2023
USD
(1,465,560)
41,768
S&P/TSX
60
Index
(7)
3/2023
CAD
(1,209,645)
41,618
Wheat
(13)
3/2023
USD
(514,800)
38,294
Platinum
(4)
10/2023
JPY
(66,748)
(466)
1,582,566
$
(858,831)
223
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
7,986,501
USD
5,383,018
CITI
3/15/2023
$
70,099
AUD
7,986,497
USD
5,382,297
JPMC
3/15/2023
70,817
BRL
5,546,750
USD
1,015,835
CITI
**
3/15/2023
20,875
BRL
5,546,750
USD
1,015,836
JPMC
**
3/15/2023
20,874
CAD
1,871,000
USD
1,378,427
CITI
3/15/2023
4,154
CAD
1,871,000
USD
1,378,420
JPMC
3/15/2023
4,161
CHF
2,715,500
USD
2,927,617
CITI
3/15/2023
31,832
CHF
2,715,500
USD
2,927,607
JPMC
3/15/2023
31,841
CLP
866,481,501
USD
945,869
CITI
**
3/15/2023
66,315
CLP
866,481,499
USD
945,867
JPMC
**
3/15/2023
66,316
CNY
22,561,501
USD
3,221,064
CITI
**
3/15/2023
56,862
CNY
22,561,499
USD
3,221,054
JPMC
**
3/15/2023
56,871
CZK
500,001
USD
20,993
CITI
3/15/2023
1,048
CZK
499,999
USD
20,993
JPMC
3/15/2023
1,048
DKK
8,500
USD
1,205
CITI
3/15/2023
26
DKK
8,500
USD
1,205
JPMC
3/15/2023
26
EUR
9,018,860
USD
9,504,773
CITI
3/15/2023
196,249
EUR
8,219,856
USD
8,651,927
JPMC
3/15/2023
189,657
GBP
635,500
USD
759,014
CITI
3/15/2023
10,623
GBP
635,500
USD
759,015
JPMC
3/15/2023
10,622
HKD
112,500
USD
14,420
CITI
3/15/2023
12
HKD
112,500
USD
14,420
JPMC
3/15/2023
12
INR
5,000,000
USD
60,084
CITI
**
3/15/2023
72
INR
5,000,000
USD
60,083
JPMC
**
3/15/2023
72
JPY
242,178,000
USD
1,815,911
CITI
3/15/2023
46,970
JPY
242,178,000
USD
1,815,902
JPMC
3/15/2023
46,978
KRW
4,257,282,500
USD
3,235,611
CITI
**
3/15/2023
150,555
KRW
4,257,282,499
USD
3,235,603
JPMC
**
3/15/2023
150,563
MXN
39,528,250
USD
1,999,990
CITI
3/15/2023
2,512
MXN
39,528,249
USD
1,999,991
JPMC
3/15/2023
2,510
NOK
34,063,362
USD
3,428,072
CITI
3/15/2023
59,507
NOK
34,063,351
USD
3,428,065
JPMC
3/15/2023
59,513
NZD
1,246,500
USD
786,939
CITI
3/15/2023
5,094
NZD
1,246,500
USD
786,936
JPMC
3/15/2023
5,097
PLN
9,219,002
USD
2,026,963
CITI
3/15/2023
64,647
PLN
9,218,998
USD
2,026,959
JPMC
3/15/2023
64,651
SEK
7,500,000
USD
710,286
CITI
3/15/2023
11,359
SEK
7,500,000
USD
710,287
JPMC
3/15/2023
11,359
SGD
430,500
USD
318,819
CITI
3/15/2023
2,958
SGD
430,500
USD
318,818
JPMC
3/15/2023
2,959
USD
2,110,149
AUD
3,086,215
CITI
3/15/2023
2,907
USD
2,110,159
AUD
3,086,214
JPMC
3/15/2023
2,918
USD
60,888
BRL
318,751
CITI
**
3/15/2023
1,312
USD
60,888
BRL
318,750
JPMC
**
3/15/2023
1,312
USD
3,510,645
CAD
4,707,501
CITI
3/15/2023
32,020
USD
3,510,648
CAD
4,707,499
JPMC
3/15/2023
32,025
USD
56,138
CHF
51,500
CITI
3/15/2023
11
USD
56,138
CHF
51,500
JPMC
3/15/2023
11
USD
3,540,472
GBP
2,898,156
CITI
3/15/2023
30,594
USD
3,540,476
GBP
2,898,150
JPMC
3/15/2023
30,606
USD
748,564
ILS
2,537,000
CITI
3/15/2023
24,024
USD
748,568
ILS
2,537,000
JPMC
3/15/2023
24,027
USD
1,101,995
INR
90,000,000
CITI
**
3/15/2023
19,198
USD
1,102,000
INR
90,000,000
JPMC
**
3/15/2023
19,204
USD
661,989
MXN
13,000,000
CITI
3/15/2023
3,410
224
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
661,993
MXN
13,000,000
JPMC
3/15/2023
$
3,413
USD
592,221
NZD
928,126
CITI
3/15/2023
2,484
USD
592,223
NZD
928,124
JPMC
3/15/2023
2,488
USD
1,073,262
SEK
11,056,000
CITI
3/15/2023
9,461
USD
1,073,268
SEK
11,056,000
JPMC
3/15/2023
9,467
USD
499,634
TWD
15,000,000
CITI
**
3/15/2023
7,904
USD
499,636
TWD
15,000,000
JPMC
**
3/15/2023
7,907
ZAR
48,365,502
USD
2,770,687
CITI
3/15/2023
58,717
ZAR
48,365,500
USD
2,770,682
JPMC
3/15/2023
58,722
HUF
383,009,000
USD
959,580
CITI
3/16/2023
46,591
HUF
383,009,000
USD
959,578
JPMC
3/16/2023
46,593
Total
unrealized
appreciation
2,075,042
AUD
2,585,502
USD
1,766,493
CITI
3/15/2023
(1,134)
AUD
2,585,500
USD
1,766,483
JPMC
3/15/2023
(1,125)
BRL
7,121,243
USD
1,338,562
CITI
**
3/15/2023
(7,573)
BRL
7,121,243
USD
1,338,555
JPMC
**
3/15/2023
(7,566)
CAD
1,083,000
USD
810,252
CITI
3/15/2023
(9,965)
CAD
1,083,000
USD
810,253
JPMC
3/15/2023
(9,966)
CHF
132,000
USD
144,298
CITI
3/15/2023
(440)
CHF
132,000
USD
144,297
JPMC
3/15/2023
(439)
COP
1,750,000,000
USD
359,029
CITI
**
3/15/2023
(2,913)
COP
1,750,000,000
USD
359,027
JPMC
**
3/15/2023
(2,911)
GBP
1,737,500
USD
2,123,621
CITI
3/15/2023
(19,382)
GBP
1,438,500
USD
1,755,445
JPMC
3/15/2023
(13,316)
HKD
304,000
USD
39,075
CITI
3/15/2023
(76)
HKD
304,000
USD
39,074
JPMC
3/15/2023
(75)
IDR
500,000,000
USD
32,413
CITI
**
3/15/2023
(141)
IDR
500,000,000
USD
32,413
JPMC
**
3/15/2023
(141)
INR
229,923,503
USD
2,792,752
CITI
**
3/15/2023
(26,525)
INR
229,923,497
USD
2,792,786
JPMC
**
3/15/2023
(26,559)
MXN
37,028,251
USD
1,886,006
CITI
3/15/2023
(10,155)
MXN
37,028,250
USD
1,885,997
JPMC
3/15/2023
(10,145)
NOK
7,177,144
USD
738,861
CITI
3/15/2023
(4,029)
NOK
7,177,143
USD
738,858
JPMC
3/15/2023
(4,025)
NZD
505,500
USD
322,761
CITI
3/15/2023
(1,564)
NZD
505,500
USD
322,760
JPMC
3/15/2023
(1,562)
SEK
1,985,000
USD
193,700
CITI
3/15/2023
(2,704)
SEK
1,985,000
USD
193,699
JPMC
3/15/2023
(2,704)
USD
1,238,793
AUD
1,836,786
CITI
3/15/2023
(15,349)
USD
1,238,794
AUD
1,836,785
JPMC
3/15/2023
(15,347)
USD
262,321
BRL
1,423,750
CITI
**
3/15/2023
(3,784)
USD
262,321
BRL
1,423,749
JPMC
**
3/15/2023
(3,784)
USD
1,295,064
CAD
1,759,500
CITI
3/15/2023
(5,125)
USD
1,295,071
CAD
1,759,500
JPMC
3/15/2023
(5,118)
USD
9,974,663
CHF
9,311,007
CITI
3/15/2023
(172,804)
USD
9,974,666
CHF
9,310,993
JPMC
3/15/2023
(172,785)
USD
169,490
CLP
150,000,000
CITI
**
3/15/2023
(5,734)
USD
169,490
CLP
150,000,000
JPMC
**
3/15/2023
(5,733)
USD
573,183
CNY
4,002,000
CITI
**
3/15/2023
(8,262)
USD
573,186
CNY
4,002,000
JPMC
**
3/15/2023
(8,259)
USD
870,660
CZK
20,215,001
CITI
3/15/2023
(20,457)
USD
870,664
CZK
20,214,999
JPMC
3/15/2023
(20,453)
USD
110,381
DKK
783,500
CITI
3/15/2023
(3,017)
USD
110,382
DKK
783,500
JPMC
3/15/2023
(3,017)
USD
18,349,870
EUR
17,510,741
CITI
3/15/2023
(485,337)
USD
17,272,208
EUR
16,495,733
JPMC
3/15/2023
(471,218)
USD
2,319,192
GBP
1,934,155
CITI
3/15/2023
(23,210)
USD
1,964,387
GBP
1,638,148
JPMC
3/15/2023
(19,530)
225
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
673,784
HKD
5,259,500
CITI
3/15/2023
$
(941)
USD
673,783
HKD
5,259,500
JPMC
3/15/2023
(941)
USD
300,536
INR
25,000,000
CITI
**
3/15/2023
(240)
USD
300,538
INR
25,000,000
JPMC
**
3/15/2023
(239)
USD
5,827,396
JPY
790,983,007
CITI
3/15/2023
(257,000)
USD
5,827,409
JPY
790,982,993
JPMC
3/15/2023
(256,986)
USD
1,544,123
KRW
2,000,000,000
CITI
**
3/15/2023
(46,641)
USD
1,544,130
KRW
2,000,000,000
JPMC
**
3/15/2023
(46,634)
USD
701,922
MXN
14,000,000
CITI
3/15/2023
(7,319)
USD
701,925
MXN
14,000,000
JPMC
3/15/2023
(7,315)
USD
1,240,432
NOK
12,517,501
CITI
3/15/2023
(41,174)
USD
1,240,430
NOK
12,517,499
JPMC
3/15/2023
(41,175)
USD
1,744,458
NZD
2,784,378
CITI
3/15/2023
(24,751)
USD
1,744,665
NZD
2,784,372
JPMC
3/15/2023
(24,541)
USD
533,727
PHP
30,000,000
CITI
**
3/15/2023
(3,921)
USD
533,729
PHP
30,000,000
JPMC
**
3/15/2023
(3,918)
USD
519,332
PLN
2,338,000
CITI
3/15/2023
(11,115)
USD
519,334
PLN
2,338,000
JPMC
3/15/2023
(11,112)
USD
2,488,503
SEK
26,100,001
CITI
3/15/2023
(22,820)
USD
2,488,506
SEK
26,099,999
JPMC
3/15/2023
(22,818)
USD
420,986
SGD
573,500
CITI
3/15/2023
(7,676)
USD
420,987
SGD
573,500
JPMC
3/15/2023
(7,675)
USD
130,941
TWD
4,000,000
CITI
**
3/15/2023
(187)
USD
130,942
TWD
4,000,000
JPMC
**
3/15/2023
(187)
USD
260,709
ZAR
4,500,000
CITI
3/15/2023
(2,543)
USD
260,710
ZAR
4,500,000
JPMC
3/15/2023
(2,542)
USD
249,055
HUF
100,000,000
CITI
3/16/2023
(13,647)
USD
249,056
HUF
100,000,000
JPMC
3/16/2023
(13,645)
Total
unrealized
depreciation
(2,515,161)
Net
unrealized
depreciation
$
(440,119)
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
3,962,117
$
3,962,117
CITI
Cash
98,752
–
98,752
Investment
Companies
1,185,135
–
1,185,135
GSCO
Cash
–
3,081,646
3,081,646
JPMC
Investment
Companies
1,275,328
–
1,275,328
JPMS
Cash
–
1,734,848
1,734,848
MSCL
Cash
–
98,075
98,075
226
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
103,021
$
103,021
JPPC
Cash
–
348,730
348,730
MSCL
Cash
–
666,630
666,630
227
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
12/31/2022
Shares
Held
At
12/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
48.2%
INVESTMENT
COMPANIES
-
48.2%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)^(a)
(Cost
$222,345,945)
$116,359,401
$1,677,444,864
$(1,571,367,107)
$(91,220)
$71,662
$222,417,600
222,506,603
$3,425,863
$–
^    No
longer
affiliated
as
of
December
31,
2022.
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
88.7%
INVESTMENT
COMPANIES
-
48.2%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)(b)
(Cost
$222,345,945)
222,506,603
222,417,600
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
40.5%
U.S.
Treasury
Bills
3.07%,
2/16/2023
(c)
$
9,615,000
9,567,185
3.16%,
2/23/2023
(c)
133,000
132,200
3.29%,
3/2/2023
(c)
17,642,000
17,521,517
3.38%,
3/9/2023
(c)
20,062,000
19,908,297
3.53%,
3/16/2023
(c)
34,725,000
34,437,026
3.85%,
3/23/2023
(c)
457,000
452,746
3.93%,
3/30/2023
(c)
5,124,000
5,071,510
3.93%,
4/6/2023
(c)
3,973,000
3,929,893
4.33%,
4/20/2023
(c)
22,602,000
22,307,323
4.49%,
4/27/2023
(c)
5,356,000
5,280,529
4.54%,
5/4/2023
(c)
12,912,000
12,717,104
4.63%,
5/25/2023
(c)
24,646,000
24,207,416
4.66%,
6/1/2023
(c)
13,135,000
12,890,225
4.68%,
6/8/2023
(c)
16,446,000
16,124,590
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
40.5%
(continued)
4.66%,
6/22/2023
(c)
$
2,011,000
1,967,972
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$186,610,751)
186,515,533
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$408,956,696)
408,933,133
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
88.7%
(Cost
$408,956,696)
408,933,133
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
11.3%
(d)
52,112,261
NET
ASSETS
-
100.0%
461,045,394
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
222,417,600
48.2
U.S.
Treasury
Obligations
186,515,533
40.5
Total
Investments
In
Securities
At
Value
$
408,933,133
88.7
Other
Assets
in
Excess
of
Liabilities
(d)
52,112,261
11.3
Net
Assets
$
461,045,394
100.0%
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
For
the
period
ended
December
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
2
1/2023
USD
$
117,426
$
8,145
LME
Aluminum
Base
Metal
5
1/2023
USD
294,126
17,033
228
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
10
1/2023
USD
$
587,503
$
7,307
LME
Aluminum
Base
Metal
22
1/2023
USD
1,293,881
40,430
LME
Aluminum
Base
Metal
31
1/2023
USD
1,822,940
13,294
LME
Aluminum
Base
Metal
35
1/2023
USD
2,055,821
117,593
LME
Aluminum
Base
Metal
35
1/2023
USD
2,055,585
56,380
LME
Aluminum
Base
Metal
45
1/2023
USD
2,642,074
133,541
LME
Aluminum
Base
Metal
49
1/2023
USD
2,878,726
70,641
LME
Aluminum
Base
Metal
80
1/2023
USD
4,750,500
394,314
LME
Aluminum
Base
Metal
83
1/2023
USD
4,877,308
(5,405)
LME
Copper
Base
Metal
3
1/2023
USD
627,976
53,641
LME
Copper
Base
Metal
3
1/2023
USD
627,695
60,708
LME
Copper
Base
Metal
7
1/2023
USD
1,464,096
122,327
LME
Copper
Base
Metal
7
1/2023
USD
1,465,277
122,008
LME
Copper
Base
Metal
8
1/2023
USD
1,674,602
177,610
LME
Copper
Base
Metal
8
1/2023
USD
1,673,552
159,671
LME
Copper
Base
Metal
8
1/2023
USD
1,673,702
170,281
LME
Copper
Base
Metal
12
1/2023
USD
2,509,653
216,120
LME
Copper
Base
Metal
19
1/2023
USD
3,976,467
419,821
LME
Copper
Base
Metal
19
1/2023
USD
3,976,895
381,354
LME
Copper
Base
Metal
19
1/2023
USD
3,976,824
467,458
LME
Copper
Base
Metal
32
1/2023
USD
6,727,600
759,616
LME
Copper
Base
Metal
35
1/2023
USD
7,323,759
694,895
LME
Lead
Base
Metal
2
1/2023
USD
116,388
15,335
LME
Lead
Base
Metal
3
1/2023
USD
173,663
33,855
LME
Lead
Base
Metal
4
1/2023
USD
233,450
36,758
LME
Lead
Base
Metal
6
1/2023
USD
348,225
49,709
LME
Lead
Base
Metal
8
1/2023
USD
465,250
60,244
LME
Lead
Base
Metal
8
1/2023
USD
466,000
58,853
LME
Lead
Base
Metal
10
1/2023
USD
579,208
107,182
LME
Lead
Base
Metal
12
1/2023
USD
698,550
102,736
LME
Lead
Base
Metal
13
1/2023
USD
758,550
83,916
LME
Lead
Base
Metal
14
1/2023
USD
810,572
109,135
LME
Lead
Base
Metal
14
1/2023
USD
812,875
106,188
LME
Lead
Base
Metal
16
1/2023
USD
928,300
149,458
LME
Lead
Base
Metal
23
1/2023
USD
1,336,519
169,208
LME
Lead
Base
Metal
27
1/2023
USD
1,564,171
289,418
LME
Nickel
Base
Metal
1
1/2023
USD
179,556
46,353
LME
Nickel
Base
Metal
2
1/2023
USD
358,668
91,657
LME
Nickel
Base
Metal
4
1/2023
USD
718,493
188,707
LME
Nickel
Base
Metal
4
1/2023
USD
717,624
180,132
LME
Nickel
Base
Metal
7
1/2023
USD
1,255,842
322,581
LME
Nickel
Base
Metal
7
1/2023
USD
1,255,959
326,478
LME
Nickel
Base
Metal
7
1/2023
USD
1,255,842
347,361
LME
Nickel
Base
Metal
8
1/2023
USD
1,434,816
336,552
LME
Nickel
Base
Metal
8
1/2023
USD
1,436,318
360,614
LME
Nickel
Base
Metal
10
1/2023
USD
1,804,620
516,277
LME
Nickel
Base
Metal
14
1/2023
USD
2,511,684
636,973
LME
Zinc
Base
Metal
1
1/2023
USD
74,831
1,770
LME
Zinc
Base
Metal
1
1/2023
USD
74,706
3,078
LME
Zinc
Base
Metal
3
1/2023
USD
224,969
(4,915)
LME
Zinc
Base
Metal
4
1/2023
USD
298,175
23,165
LME
Zinc
Base
Metal
4
1/2023
USD
301,275
7,713
LME
Zinc
Base
Metal
5
1/2023
USD
373,430
8,790
LME
Zinc
Base
Metal
10
1/2023
USD
750,438
(8,566)
LME
Zinc
Base
Metal
11
1/2023
USD
823,419
16,717
LME
Zinc
Base
Metal
11
1/2023
USD
820,430
5,812
229
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
16
1/2023
USD
$
1,198,100
$
3,060
LME
Zinc
Base
Metal
44
1/2023
USD
3,291,475
80,521
Natural
Gas
19
1/2023
USD
850,250
(388,253)
WTI
Crude
Oil
40
1/2023
USD
3,210,400
(31,253)
100
oz
Gold
555
2/2023
USD
101,354,099
2,804,450
Brent
Crude
Oil
25
2/2023
USD
2,141,250
57,068
Lean
Hogs
321
2/2023
USD
11,260,680
25,287
Live
Cattle
209
2/2023
USD
13,200,440
378,510
LME
Aluminum
Base
Metal
1
2/2023
USD
58,988
(2,279)
LME
Aluminum
Base
Metal
4
2/2023
USD
235,951
(9,061)
LME
Aluminum
Base
Metal
6
2/2023
USD
353,706
1,188
LME
Aluminum
Base
Metal
8
2/2023
USD
471,022
13,536
LME
Aluminum
Base
Metal
10
2/2023
USD
589,878
(33)
LME
Aluminum
Base
Metal
14
2/2023
USD
824,033
33,342
LME
Aluminum
Base
Metal
14
2/2023
USD
825,829
3,987
LME
Aluminum
Base
Metal
19
2/2023
USD
1,121,005
(28,665)
LME
Aluminum
Base
Metal
27
2/2023
USD
1,597,496
(9,048)
LME
Aluminum
Base
Metal
37
2/2023
USD
2,183,472
(41,370)
LME
Aluminum
Base
Metal
37
2/2023
USD
2,181,872
33,912
LME
Aluminum
Base
Metal
46
2/2023
USD
2,718,324
(56,018)
LME
Aluminum
Base
Metal
80
2/2023
USD
4,726,220
(28,718)
LME
Copper
Base
Metal
7
2/2023
USD
1,465,713
(10,256)
LME
Copper
Base
Metal
7
2/2023
USD
1,465,408
77,990
LME
Copper
Base
Metal
7
2/2023
USD
1,465,494
23,500
LME
Copper
Base
Metal
9
2/2023
USD
1,884,431
(13,017)
LME
Copper
Base
Metal
10
2/2023
USD
2,093,500
83,599
LME
Copper
Base
Metal
12
2/2023
USD
2,511,753
217,605
LME
Copper
Base
Metal
19
2/2023
USD
3,976,990
341,002
LME
Copper
Base
Metal
20
2/2023
USD
4,186,755
201,702
LME
Copper
Base
Metal
24
2/2023
USD
5,024,700
1,437
LME
Copper
Base
Metal
29
2/2023
USD
6,073,296
288,220
LME
Copper
Base
Metal
34
2/2023
USD
7,122,575
244,571
LME
Copper
Base
Metal
50
2/2023
USD
10,468,750
332,919
LME
Copper
Base
Metal
55
2/2023
USD
11,517,784
552,015
LME
Lead
Base
Metal
3
2/2023
USD
173,569
22,334
LME
Lead
Base
Metal
3
2/2023
USD
173,513
7,990
LME
Lead
Base
Metal
8
2/2023
USD
462,750
52,729
LME
Lead
Base
Metal
9
2/2023
USD
520,731
41,958
LME
Lead
Base
Metal
11
2/2023
USD
636,251
34,382
LME
Lead
Base
Metal
13
2/2023
USD
751,823
55,817
LME
Lead
Base
Metal
14
2/2023
USD
810,075
67,338
LME
Lead
Base
Metal
16
2/2023
USD
925,900
129,408
LME
Lead
Base
Metal
22
2/2023
USD
1,272,425
79,210
LME
Lead
Base
Metal
23
2/2023
USD
1,330,429
80,219
LME
Lead
Base
Metal
23
2/2023
USD
1,331,125
193,140
LME
Lead
Base
Metal
29
2/2023
USD
1,677,650
221,774
LME
Nickel
Base
Metal
1
2/2023
USD
179,790
2,395
LME
Nickel
Base
Metal
2
2/2023
USD
359,598
18,229
LME
Nickel
Base
Metal
3
2/2023
USD
538,955
104,246
LME
Nickel
Base
Metal
4
2/2023
USD
719,160
56,225
LME
Nickel
Base
Metal
4
2/2023
USD
718,652
152,801
LME
Nickel
Base
Metal
5
2/2023
USD
898,719
102,505
LME
Nickel
Base
Metal
6
2/2023
USD
1,078,394
204,525
LME
Nickel
Base
Metal
6
2/2023
USD
1,079,478
147,376
LME
Nickel
Base
Metal
7
2/2023
USD
1,258,045
266,280
LME
Nickel
Base
Metal
10
2/2023
USD
1,798,080
271,577
230
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
11
2/2023
USD
$
1,980,429
$
226,522
LME
Nickel
Base
Metal
15
2/2023
USD
2,698,380
447,062
LME
Zinc
Base
Metal
1
2/2023
USD
74,552
(3,239)
LME
Zinc
Base
Metal
1
2/2023
USD
74,553
5,000
LME
Zinc
Base
Metal
5
2/2023
USD
372,863
360
LME
Zinc
Base
Metal
5
2/2023
USD
372,820
6,899
LME
Zinc
Base
Metal
6
2/2023
USD
447,488
(28,330)
LME
Zinc
Base
Metal
13
2/2023
USD
969,144
76,950
LME
Zinc
Base
Metal
14
2/2023
USD
1,042,913
1,621
LME
Zinc
Base
Metal
16
2/2023
USD
1,193,160
(32,887)
LME
Zinc
Base
Metal
18
2/2023
USD
1,340,775
20,197
LME
Zinc
Base
Metal
19
2/2023
USD
1,415,182
7,151
LME
Zinc
Base
Metal
20
2/2023
USD
1,491,395
46,836
LME
Zinc
Base
Metal
29
2/2023
USD
2,161,167
(33,969)
LME
Zinc
Base
Metal
46
2/2023
USD
3,430,071
114,485
Low
Sulphur
Gasoil
44
2/2023
USD
3,986,400
(19,256)
Natural
Gas
231
2/2023
USD
9,480,240
(1,323,829)
RBOB
Gasoline
189
2/2023
USD
19,672,745
2,115,074
Sugar
No.
11
1,213
2/2023
USD
27,225,542
2,443,206
WTI
Crude
Oil
223
2/2023
USD
17,940,350
765,062
Cocoa
533
3/2023
USD
13,858,000
723,058
Coffee
'C'
180
3/2023
USD
11,292,750
(119,366)
Corn
755
3/2023
USD
25,613,375
448,156
Cotton
No.
2
168
3/2023
USD
7,003,080
103,602
Feeder
Cattle
59
3/2023
USD
5,493,638
(432)
LME
Aluminum
Base
Metal
2
3/2023
USD
118,601
(1,613)
LME
Aluminum
Base
Metal
5
3/2023
USD
296,781
(2,077)
LME
Aluminum
Base
Metal
5
3/2023
USD
295,893
(15,609)
LME
Aluminum
Base
Metal
6
3/2023
USD
356,625
(2,237)
LME
Aluminum
Base
Metal
7
3/2023
USD
414,927
(20,494)
LME
Aluminum
Base
Metal
8
3/2023
USD
474,900
(2,824)
LME
Aluminum
Base
Metal
9
3/2023
USD
533,664
(16,713)
LME
Aluminum
Base
Metal
13
3/2023
USD
772,850
(13,073)
LME
Aluminum
Base
Metal
27
3/2023
USD
1,602,113
(6,642)
LME
Aluminum
Base
Metal
36
3/2023
USD
2,130,867
(98,564)
LME
Aluminum
Base
Metal
54
3/2023
USD
3,199,554
(164,968)
LME
Aluminum
Base
Metal
57
3/2023
USD
3,376,623
(186,184)
LME
Aluminum
Base
Metal
66
3/2023
USD
3,911,375
(225,149)
LME
Aluminum
Base
Metal
113
3/2023
USD
6,699,996
(197,858)
LME
Aluminum
Base
Metal
734
3/2023
USD
43,526,384
(811,427)
LME
Copper
Base
Metal
2
3/2023
USD
418,538
(243)
LME
Copper
Base
Metal
2
3/2023
USD
418,975
(6,480)
LME
Copper
Base
Metal
2
3/2023
USD
418,588
4,449
LME
Copper
Base
Metal
2
3/2023
USD
418,838
(7,330)
LME
Copper
Base
Metal
3
3/2023
USD
627,900
(3,639)
LME
Copper
Base
Metal
5
3/2023
USD
1,047,438
14,924
LME
Copper
Base
Metal
6
3/2023
USD
1,255,538
1,622
LME
Copper
Base
Metal
7
3/2023
USD
1,466,413
(25,656)
LME
Copper
Base
Metal
11
3/2023
USD
2,301,956
6,976
LME
Copper
Base
Metal
17
3/2023
USD
3,560,650
(29,070)
LME
Copper
Base
Metal
21
3/2023
USD
4,399,238
12,457
LME
Copper
Base
Metal
28
3/2023
USD
5,865,650
(8,861)
LME
Copper
Base
Metal
53
3/2023
USD
11,102,838
(802)
LME
Copper
Base
Metal
590
3/2023
USD
123,538,624
12,456,605
LME
Lead
Base
Metal
1
3/2023
USD
57,781
2,404
LME
Lead
Base
Metal
2
3/2023
USD
114,775
2,720
231
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
3
3/2023
USD
$
171,975
$
1,275
LME
Lead
Base
Metal
5
3/2023
USD
287,396
17,133
LME
Lead
Base
Metal
5
3/2023
USD
288,979
12,572
LME
Lead
Base
Metal
6
3/2023
USD
346,820
13,371
LME
Lead
Base
Metal
8
3/2023
USD
462,000
25,307
LME
Lead
Base
Metal
10
3/2023
USD
573,375
12,699
LME
Lead
Base
Metal
13
3/2023
USD
751,631
39,580
LME
Lead
Base
Metal
13
3/2023
USD
750,669
47,497
LME
Lead
Base
Metal
19
3/2023
USD
1,089,413
17,223
LME
Lead
Base
Metal
20
3/2023
USD
1,155,770
42,217
LME
Lead
Base
Metal
443
3/2023
USD
25,577,713
2,771,832
LME
Nickel
Base
Metal
1
3/2023
USD
180,228
(1,225)
LME
Nickel
Base
Metal
1
3/2023
USD
180,249
11,316
LME
Nickel
Base
Metal
2
3/2023
USD
360,526
21,401
LME
Nickel
Base
Metal
2
3/2023
USD
360,507
9,621
LME
Nickel
Base
Metal
2
3/2023
USD
360,576
(6,630)
LME
Nickel
Base
Metal
5
3/2023
USD
900,930
31,965
LME
Nickel
Base
Metal
5
3/2023
USD
901,418
(5,136)
LME
Nickel
Base
Metal
10
3/2023
USD
1,802,576
32,247
LME
Nickel
Base
Metal
12
3/2023
USD
2,160,972
177,475
LME
Nickel
Base
Metal
12
3/2023
USD
2,162,484
(122,651)
LME
Nickel
Base
Metal
16
3/2023
USD
2,884,096
87,571
LME
Nickel
Base
Metal
112
3/2023
USD
20,190,240
3,467,936
LME
Zinc
Base
Metal
2
3/2023
USD
148,625
(1,218)
LME
Zinc
Base
Metal
3
3/2023
USD
223,444
(11,915)
LME
Zinc
Base
Metal
3
3/2023
USD
223,181
(9,254)
LME
Zinc
Base
Metal
7
3/2023
USD
520,998
(49,335)
LME
Zinc
Base
Metal
8
3/2023
USD
595,800
(50,118)
LME
Zinc
Base
Metal
10
3/2023
USD
744,875
(25,155)
LME
Zinc
Base
Metal
33
3/2023
USD
2,453,385
7,031
LME
Zinc
Base
Metal
35
3/2023
USD
2,605,531
(254,796)
LME
Zinc
Base
Metal
45
3/2023
USD
3,346,313
(77,813)
LME
Zinc
Base
Metal
609
3/2023
USD
45,317,213
69,513
Low
Sulphur
Gasoil
158
3/2023
USD
13,943,500
432,255
Silver
148
3/2023
USD
17,789,600
1,943,010
Soybean
675
3/2023
USD
51,435,000
1,602,684
Soybean
Meal
578
3/2023
USD
27,223,800
3,676,709
Soybean
Oil
419
3/2023
USD
16,107,198
(227,691)
100
oz
Gold
143
4/2023
USD
26,343,460
13,832
Lean
Hogs
5
4/2023
USD
190,600
(293)
Platinum
13
10/2023
JPY
216,931
11,201
47,329,755
Short
Contracts
LME
Aluminum
Base
Metal
(2)
1/2023
USD
(117,426)
(8,231)
LME
Aluminum
Base
Metal
(5)
1/2023
USD
(294,126)
(16,516)
LME
Aluminum
Base
Metal
(10)
1/2023
USD
(587,503)
394
LME
Aluminum
Base
Metal
(22)
1/2023
USD
(1,293,881)
(36,095)
LME
Aluminum
Base
Metal
(31)
1/2023
USD
(1,822,940)
5,039
LME
Aluminum
Base
Metal
(35)
1/2023
USD
(2,055,585)
(61,563)
LME
Aluminum
Base
Metal
(35)
1/2023
USD
(2,055,821)
(114,705)
LME
Aluminum
Base
Metal
(45)
1/2023
USD
(2,642,074)
(145,662)
LME
Aluminum
Base
Metal
(49)
1/2023
USD
(2,878,726)
(70,295)
LME
Aluminum
Base
Metal
(80)
1/2023
USD
(4,750,500)
(445,112)
LME
Aluminum
Base
Metal
(83)
1/2023
USD
(4,877,308)
32,184
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,695)
(60,402)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,976)
(56,784)
232
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(7)
1/2023
USD
$
(1,465,277)
$
(119,598)
LME
Copper
Base
Metal
(7)
1/2023
USD
(1,464,096)
(131,533)
LME
Copper
Base
Metal
(8)
1/2023
USD
(1,674,602)
(168,023)
LME
Copper
Base
Metal
(8)
1/2023
USD
(1,673,702)
(168,655)
LME
Copper
Base
Metal
(8)
1/2023
USD
(1,673,552)
(169,973)
LME
Copper
Base
Metal
(12)
1/2023
USD
(2,509,653)
(213,810)
LME
Copper
Base
Metal
(19)
1/2023
USD
(3,976,467)
(437,756)
LME
Copper
Base
Metal
(19)
1/2023
USD
(3,976,824)
(473,748)
LME
Copper
Base
Metal
(19)
1/2023
USD
(3,976,895)
(417,770)
LME
Copper
Base
Metal
(32)
1/2023
USD
(6,727,600)
(764,249)
LME
Copper
Base
Metal
(35)
1/2023
USD
(7,323,759)
(672,495)
LME
Lead
Base
Metal
(2)
1/2023
USD
(116,388)
(15,743)
LME
Lead
Base
Metal
(3)
1/2023
USD
(173,663)
(33,317)
LME
Lead
Base
Metal
(4)
1/2023
USD
(233,450)
(38,461)
LME
Lead
Base
Metal
(6)
1/2023
USD
(348,225)
(51,044)
LME
Lead
Base
Metal
(8)
1/2023
USD
(465,250)
(58,071)
LME
Lead
Base
Metal
(8)
1/2023
USD
(466,000)
(59,421)
LME
Lead
Base
Metal
(10)
1/2023
USD
(579,208)
(107,734)
LME
Lead
Base
Metal
(12)
1/2023
USD
(698,550)
(106,982)
LME
Lead
Base
Metal
(13)
1/2023
USD
(758,550)
(88,404)
LME
Lead
Base
Metal
(14)
1/2023
USD
(810,572)
(116,877)
LME
Lead
Base
Metal
(14)
1/2023
USD
(812,875)
(105,892)
LME
Lead
Base
Metal
(16)
1/2023
USD
(928,300)
(154,208)
LME
Lead
Base
Metal
(23)
1/2023
USD
(1,336,519)
(169,851)
LME
Lead
Base
Metal
(27)
1/2023
USD
(1,564,171)
(295,242)
LME
Nickel
Base
Metal
(1)
1/2023
USD
(179,556)
(45,219)
LME
Nickel
Base
Metal
(2)
1/2023
USD
(358,668)
(94,614)
LME
Nickel
Base
Metal
(4)
1/2023
USD
(717,624)
(184,205)
LME
Nickel
Base
Metal
(4)
1/2023
USD
(718,493)
(193,643)
LME
Nickel
Base
Metal
(7)
1/2023
USD
(1,255,842)
(315,836)
LME
Nickel
Base
Metal
(7)
1/2023
USD
(1,255,842)
(346,303)
LME
Nickel
Base
Metal
(7)
1/2023
USD
(1,255,959)
(335,529)
LME
Nickel
Base
Metal
(8)
1/2023
USD
(1,434,816)
(351,967)
LME
Nickel
Base
Metal
(8)
1/2023
USD
(1,436,318)
(357,186)
LME
Nickel
Base
Metal
(10)
1/2023
USD
(1,804,620)
(540,270)
LME
Nickel
Base
Metal
(14)
1/2023
USD
(2,511,684)
(653,035)
LME
Zinc
Base
Metal
(1)
1/2023
USD
(74,831)
(1,684)
LME
Zinc
Base
Metal
(1)
1/2023
USD
(74,706)
(2,672)
LME
Zinc
Base
Metal
(3)
1/2023
USD
(224,969)
4,470
LME
Zinc
Base
Metal
(4)
1/2023
USD
(301,275)
(8,324)
LME
Zinc
Base
Metal
(4)
1/2023
USD
(298,175)
(25,049)
LME
Zinc
Base
Metal
(5)
1/2023
USD
(373,430)
(9,257)
LME
Zinc
Base
Metal
(10)
1/2023
USD
(750,438)
10,533
LME
Zinc
Base
Metal
(11)
1/2023
USD
(820,430)
(6,462)
LME
Zinc
Base
Metal
(11)
1/2023
USD
(823,419)
(20,176)
LME
Zinc
Base
Metal
(16)
1/2023
USD
(1,198,100)
(2,547)
LME
Zinc
Base
Metal
(44)
1/2023
USD
(3,291,475)
(50,005)
NY
Harbor
ULSD
(9)
1/2023
USD
(1,245,510)
(68,757)
LME
Aluminum
Base
Metal
(1)
2/2023
USD
(58,988)
2,584
LME
Aluminum
Base
Metal
(4)
2/2023
USD
(235,951)
7,764
LME
Aluminum
Base
Metal
(6)
2/2023
USD
(353,706)
(5,350)
LME
Aluminum
Base
Metal
(8)
2/2023
USD
(471,022)
(11,562)
LME
Aluminum
Base
Metal
(10)
2/2023
USD
(589,878)
(157)
LME
Aluminum
Base
Metal
(14)
2/2023
USD
(825,829)
(2,079)
LME
Aluminum
Base
Metal
(14)
2/2023
USD
(824,033)
(34,988)
LME
Aluminum
Base
Metal
(19)
2/2023
USD
(1,121,005)
36,039
233
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(27)
2/2023
USD
$
(1,597,496)
$
20,619
LME
Aluminum
Base
Metal
(37)
2/2023
USD
(2,181,872)
(19,765)
LME
Aluminum
Base
Metal
(37)
2/2023
USD
(2,183,472)
25,622
LME
Aluminum
Base
Metal
(46)
2/2023
USD
(2,718,324)
44,990
LME
Aluminum
Base
Metal
(80)
2/2023
USD
(4,726,220)
57,544
LME
Copper
Base
Metal
(7)
2/2023
USD
(1,465,408)
(67,159)
LME
Copper
Base
Metal
(7)
2/2023
USD
(1,465,713)
3,704
LME
Copper
Base
Metal
(7)
2/2023
USD
(1,465,494)
(18,342)
LME
Copper
Base
Metal
(9)
2/2023
USD
(1,884,431)
9,403
LME
Copper
Base
Metal
(10)
2/2023
USD
(2,093,500)
(76,943)
LME
Copper
Base
Metal
(12)
2/2023
USD
(2,511,753)
(232,985)
LME
Copper
Base
Metal
(19)
2/2023
USD
(3,976,990)
(328,565)
LME
Copper
Base
Metal
(20)
2/2023
USD
(4,186,755)
(203,836)
LME
Copper
Base
Metal
(24)
2/2023
USD
(5,024,700)
(28,380)
LME
Copper
Base
Metal
(29)
2/2023
USD
(6,073,296)
(259,378)
LME
Copper
Base
Metal
(34)
2/2023
USD
(7,122,575)
(273,799)
LME
Copper
Base
Metal
(50)
2/2023
USD
(10,468,750)
(353,707)
LME
Copper
Base
Metal
(55)
2/2023
USD
(11,517,784)
(594,083)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,513)
(8,145)
LME
Lead
Base
Metal
(3)
2/2023
USD
(173,569)
(21,664)
LME
Lead
Base
Metal
(8)
2/2023
USD
(462,750)
(53,368)
LME
Lead
Base
Metal
(9)
2/2023
USD
(520,731)
(44,205)
LME
Lead
Base
Metal
(11)
2/2023
USD
(636,251)
(30,730)
LME
Lead
Base
Metal
(13)
2/2023
USD
(751,823)
(53,107)
LME
Lead
Base
Metal
(14)
2/2023
USD
(810,075)
(71,277)
LME
Lead
Base
Metal
(16)
2/2023
USD
(925,900)
(124,039)
LME
Lead
Base
Metal
(22)
2/2023
USD
(1,272,425)
(84,483)
LME
Lead
Base
Metal
(23)
2/2023
USD
(1,331,125)
(197,450)
LME
Lead
Base
Metal
(23)
2/2023
USD
(1,330,429)
(76,967)
LME
Lead
Base
Metal
(29)
2/2023
USD
(1,677,650)
(209,808)
LME
Nickel
Base
Metal
(1)
2/2023
USD
(179,790)
(6,093)
LME
Nickel
Base
Metal
(2)
2/2023
USD
(359,598)
(12,084)
LME
Nickel
Base
Metal
(3)
2/2023
USD
(538,955)
(109,805)
LME
Nickel
Base
Metal
(4)
2/2023
USD
(718,652)
(161,393)
LME
Nickel
Base
Metal
(4)
2/2023
USD
(719,160)
(14,772)
LME
Nickel
Base
Metal
(5)
2/2023
USD
(898,719)
(113,238)
LME
Nickel
Base
Metal
(6)
2/2023
USD
(1,078,394)
(210,811)
LME
Nickel
Base
Metal
(6)
2/2023
USD
(1,079,478)
(164,376)
LME
Nickel
Base
Metal
(7)
2/2023
USD
(1,258,045)
(274,216)
LME
Nickel
Base
Metal
(10)
2/2023
USD
(1,798,080)
(295,470)
LME
Nickel
Base
Metal
(11)
2/2023
USD
(1,980,429)
(258,071)
LME
Nickel
Base
Metal
(15)
2/2023
USD
(2,698,380)
(434,924)
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,552)
3,920
LME
Zinc
Base
Metal
(1)
2/2023
USD
(74,553)
(4,880)
LME
Zinc
Base
Metal
(5)
2/2023
USD
(372,863)
(352)
LME
Zinc
Base
Metal
(5)
2/2023
USD
(372,820)
(10,479)
LME
Zinc
Base
Metal
(6)
2/2023
USD
(447,488)
26,017
LME
Zinc
Base
Metal
(13)
2/2023
USD
(969,144)
(70,557)
LME
Zinc
Base
Metal
(14)
2/2023
USD
(1,042,913)
(9,130)
LME
Zinc
Base
Metal
(16)
2/2023
USD
(1,193,160)
39,056
LME
Zinc
Base
Metal
(18)
2/2023
USD
(1,340,775)
(25,197)
LME
Zinc
Base
Metal
(19)
2/2023
USD
(1,415,182)
(12,709)
LME
Zinc
Base
Metal
(20)
2/2023
USD
(1,491,395)
(48,365)
LME
Zinc
Base
Metal
(29)
2/2023
USD
(2,161,167)
14,597
LME
Zinc
Base
Metal
(46)
2/2023
USD
(3,430,071)
(108,798)
NY
Harbor
ULSD
(41)
2/2023
USD
(5,474,582)
(296,875)
234
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(Continued)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(2)
3/2023
USD
$
(118,601)
$
1,644
LME
Aluminum
Base
Metal
(5)
3/2023
USD
(296,781)
2,079
LME
Aluminum
Base
Metal
(5)
3/2023
USD
(295,893)
14,593
LME
Aluminum
Base
Metal
(6)
3/2023
USD
(356,625)
(318)
LME
Aluminum
Base
Metal
(7)
3/2023
USD
(414,927)
20,908
LME
Aluminum
Base
Metal
(8)
3/2023
USD
(474,900)
3,025
LME
Aluminum
Base
Metal
(9)
3/2023
USD
(533,664)
15,959
LME
Aluminum
Base
Metal
(13)
3/2023
USD
(772,850)
15,237
LME
Aluminum
Base
Metal
(27)
3/2023
USD
(1,602,113)
6,712
LME
Aluminum
Base
Metal
(36)
3/2023
USD
(2,130,867)
105,052
LME
Aluminum
Base
Metal
(54)
3/2023
USD
(3,199,554)
163,137
LME
Aluminum
Base
Metal
(57)
3/2023
USD
(3,376,623)
170,648
LME
Aluminum
Base
Metal
(66)
3/2023
USD
(3,911,375)
209,056
LME
Aluminum
Base
Metal
(113)
3/2023
USD
(6,699,996)
179,071
LME
Aluminum
Base
Metal
(453)
3/2023
USD
(26,863,013)
(649,785)
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,538)
(181)
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,975)
6,572
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,838)
5,707
LME
Copper
Base
Metal
(2)
3/2023
USD
(418,588)
(5,443)
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,900)
3,892
LME
Copper
Base
Metal
(5)
3/2023
USD
(1,047,438)
(12,439)
LME
Copper
Base
Metal
(6)
3/2023
USD
(1,255,538)
(2,782)
LME
Copper
Base
Metal
(7)
3/2023
USD
(1,466,413)
25,919
LME
Copper
Base
Metal
(11)
3/2023
USD
(2,301,956)
(12,750)
LME
Copper
Base
Metal
(17)
3/2023
USD
(3,560,650)
33,269
LME
Copper
Base
Metal
(21)
3/2023
USD
(4,399,238)
1,371
LME
Copper
Base
Metal
(28)
3/2023
USD
(5,865,650)
20,454
LME
Copper
Base
Metal
(53)
3/2023
USD
(11,102,838)
(43,472)
LME
Copper
Base
Metal
(422)
3/2023
USD
(88,361,525)
(2,154,752)
LME
Lead
Base
Metal
(1)
3/2023
USD
(57,781)
(2,209)
LME
Lead
Base
Metal
(2)
3/2023
USD
(114,775)
(4,281)
LME
Lead
Base
Metal
(3)
3/2023
USD
(171,975)
(1,508)
LME
Lead
Base
Metal
(5)
3/2023
USD
(287,396)
(16,178)
LME
Lead
Base
Metal
(5)
3/2023
USD
(288,979)
(13,742)
LME
Lead
Base
Metal
(6)
3/2023
USD
(346,820)
(13,310)
LME
Lead
Base
Metal
(8)
3/2023
USD
(462,000)
(25,851)
LME
Lead
Base
Metal
(10)
3/2023
USD
(573,375)
(12,151)
LME
Lead
Base
Metal
(13)
3/2023
USD
(751,631)
(41,540)
LME
Lead
Base
Metal
(13)
3/2023
USD
(750,669)
(46,796)
LME
Lead
Base
Metal
(19)
3/2023
USD
(1,089,413)
(32,112)
LME
Lead
Base
Metal
(20)
3/2023
USD
(1,155,770)
(46,725)
LME
Lead
Base
Metal
(212)
3/2023
USD
(12,240,350)
(1,396,109)
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,228)
1,749
LME
Nickel
Base
Metal
(1)
3/2023
USD
(180,249)
(13,152)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,526)
(19,643)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,507)
(14,835)
LME
Nickel
Base
Metal
(2)
3/2023
USD
(360,576)
5,568
LME
Nickel
Base
Metal
(5)
3/2023
USD
(901,418)
1,927
LME
Nickel
Base
Metal
(5)
3/2023
USD
(900,930)
(29,406)
LME
Nickel
Base
Metal
(10)
3/2023
USD
(1,802,576)
(28,399)
LME
Nickel
Base
Metal
(12)
3/2023
USD
(2,160,972)
(177,407)
LME
Nickel
Base
Metal
(12)
3/2023
USD
(2,162,484)
91,015
LME
Nickel
Base
Metal
(16)
3/2023
USD
(2,884,096)
(78,392)
LME
Nickel
Base
Metal
(117)
3/2023
USD
(21,091,590)
(2,774,608)
LME
Zinc
Base
Metal
(2)
3/2023
USD
(148,625)
819
LME
Zinc
Base
Metal
(3)
3/2023
USD
(223,181)
10,585
235
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(3)
3/2023
USD
$
(223,444)
$
10,522
LME
Zinc
Base
Metal
(7)
3/2023
USD
(520,998)
54,735
LME
Zinc
Base
Metal
(8)
3/2023
USD
(595,800)
49,176
LME
Zinc
Base
Metal
(10)
3/2023
USD
(744,875)
21,433
LME
Zinc
Base
Metal
(33)
3/2023
USD
(2,453,385)
(18,907)
LME
Zinc
Base
Metal
(35)
3/2023
USD
(2,605,531)
245,871
LME
Zinc
Base
Metal
(45)
3/2023
USD
(3,346,313)
74,322
LME
Zinc
Base
Metal
(174)
3/2023
USD
(12,947,775)
(149,960)
Wheat
(86)
3/2023
USD
(3,405,600)
(42,457)
Live
Cattle
(69)
4/2023
USD
(4,465,680)
8,181
Platinum
(1)
12/2023
JPY
(16,698)
(404)
(21,853,195)
$
25,476,560
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
1,294,840
$
1,294,840
GSIN
Cash
15,886
–
15,886
JPPC
Cash
–
5,964,268
5,964,268
MSCL
Cash
–
10,839,736
10,839,736
236
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
87.8%
COMMON
STOCKS
-
4.8%
Italy
-
3.7%
A2A
SpA
(a)
2,316,365
3,088,329
Assicurazioni
Generali
SpA
(a)
251,897
4,479,362
Azimut
Holding
SpA
(a)
75,429
1,687,785
Banco
BPM
SpA
(a)
249,178
888,313
Buzzi
Unicem
SpA
(a)
107,735
2,076,068
Hera
SpA
(a)
683,230
1,842,817
Intesa
Sanpaolo
SpA
(a)
164,349
364,101
Leonardo
SpA
(a)
880,814
7,596,815
Mediobanca
Banca
di
Credito
Finanziario
SpA
(a)
19,063
183,178
Pirelli
&
C
SpA
(a)(b)
186,654
800,103
Poste
Italiane
SpA
(a)(b)
193,901
1,891,790
Prysmian
SpA
(a)
70,597
2,623,069
UniCredit
SpA
(a)
64,746
918,717
Unipol
Gruppo
SpA
(a)
486,488
2,368,613
30,809,060
—
United
States
-
1.1%
Stellantis
NV
(a)
372,924
5,299,386
Tenaris
SA
(a)
246,085
4,315,768
9,615,154
—
TOTAL
COMMON
STOCKS
(Cost
$37,925,140)
40,424,214
SHORT-TERM
INVESTMENTS
-
83.0%
INVESTMENT
COMPANIES
-
35.3%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund
,
Institutional
Shares,
3.94%
(1)(c)(d)
15,616,493
15,616,493
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(c)(e)
280,001,709
279,889,708
TOTAL
INVESTMENT
COMPANIES
(Cost
$295,440,243)
295,506,201
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
47.7%
U.S.
Treasury
Bills
2.53%,
1/5/2023
(f)
$
21,815,000
21,810,595
2.72%,
1/12/2023
(f)(g)
40,543,000
40,507,803
2.95%,
1/19/2023
(f)(g)
5,238,000
5,229,573
3.09%,
2/9/2023
(f)(g)
22,248,000
22,159,242
3.07%,
2/16/2023
(f)(g)
632,000
628,857
3.38%,
3/9/2023
(f)
19,863,000
19,710,821
3.53%,
3/16/2023
(f)(g)
44,568,000
44,198,398
3.85%,
3/23/2023
(f)(g)
21,354,000
21,155,249
3.93%,
3/30/2023
(f)
2,265,000
2,241,798
3.93%,
4/6/2023
(f)(g)
32,498,000
32,145,397
4.11%,
4/13/2023
(f)(g)
27,211,000
26,903,742
4.33%,
4/20/2023
(f)
3,340,000
3,296,454
4.49%,
4/27/2023
(f)(g)
51,935,000
51,203,189
4.54%,
5/4/2023
(f)
3,282,000
3,232,461
4.59%,
5/11/2023
(f)(g)
55,786,000
54,885,357
4.54%,
5/18/2023
(f)(g)
17,591,000
17,293,204
4.66%,
6/1/2023
(f)(g)
10,099,000
9,910,802
4.68%,
6/8/2023
(f)(g)
2,135,000
2,093,275
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
47.7%
(continued)
4.74%,
6/15/2023
(f)(g)
$
21,350,000
20,919,610
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$399,628,698)
399,525,827
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$695,068,941)
695,032,028
TOTAL
LONG
POSITIONS
(Cost
$732,994,081)
735,456,242
SHARES
SHORT
POSITIONS
-
(4.8)%
COMMON
STOCKS
-
(4.8)%
Canada
-
(0.1)%
SNC-Lavalin
Group,
Inc.
(1)
(24,638)
(434,167)
Italy
-
(4.5)%
Amplifon
SpA
(96,164)
(2,871,437)
Banca
Generali
SpA
(29,313)
(1,006,219)
Brembo
SpA
(13,330)
(149,063)
Davide
Campari-Milano
NV
(461,939)
(4,689,745)
DiaSorin
SpA
(12,555)
(1,756,767)
Enel
SpA
(35,033)
(188,413)
Ferrari
NV
(20,275)
(4,347,744)
FinecoBank
Banca
Fineco
SpA
(110,134)
(1,828,898)
Infrastrutture
Wireless
Italiane
SpA
(b)
(233,809)
(2,358,715)
Interpump
Group
SpA
(34,034)
(1,536,537)
Italgas
SpA
(26,384)
(146,495)
Moncler
SpA
(81,622)
(4,337,140)
Nexi
SpA
(b)
(330,071)
(2,605,561)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(62,809)
(2,610,832)
Reply
SpA
(6,567)
(753,353)
Salvatore
Ferragamo
SpA
(20,218)
(357,462)
Snam
SpA
(445,408)
(2,159,712)
Telecom
Italia
SpA
(2,064,304)
(478,406)
Terna
-
Rete
Elettrica
Nazionale
(490,471)
(3,622,227)
(37,804,726)
—
Portugal
-
(0.0)%
(h)
Banco
Espirito
Santo
SA
(Registered)
(3)(i)
(216,618)
(2)
United
Kingdom
-
(0.2)%
CNH
Industrial
NV
(109,955)
(1,763,898)
TOTAL
COMMON
STOCKS
(Proceeds
$(45,133,060))
(40,002,793)
TOTAL
SHORT
POSITIONS
(Proceeds
$(45,133,060))
(40,002,793)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
83.0%
(Cost
$687,861,021)
695,453,449
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
17.0%
(j)
142,002,616
NET
ASSETS
-
100.0%
837,456,065
237
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$39,524,068.
In
addition,
$3,443,946
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
December
31,
2022
amounted
to
$(2,272,383),
which
represents
(0.27)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
For
the
period
ended
December
31,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
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
$
(2,837,121)
(0.3)
%
Consumer
Discretionary
(3,091,920)
(0.4)
Consumer
Staples
(4,689,746)
(0.6)
Energy
4,315,768
0.5
Financials
9,946,739
1.2
Health
Care
(7,239,036)
(0.9)
Industrials
6,485,283
0.8
Information
Technology
(3,358,914)
(0.4)
Materials
2,076,068
0.2
Utilities
(1,185,700)
(0.1)
Investment
Companies
295,506,201
35.3
U.S.
Treasury
Obligations
399,525,827
47.7
Total
Investments
In
Securities
At
Value
695,453,449
83.0
Other
Assets
in
Excess
of
Liabilities
(j)
142,002,616
17.0
Net
Assets
$
837,456,065
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
12/31/2022
Shares
Held
At
12/31/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
33.4%
INVESTMENT
COMPANIES
-
33.4%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)
(Cost
$279,823,750)
$255,575,499
$2,101,525,658
$(2,077,182,100)
$(95,294)
$65,945
$279,889,708
280,001,709
$3,650,299
$–
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
238
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
December
31,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SOFR
Annual
3.75%
Annual
3/15/2033
USD
67,100,000
$
1,459,269
$
(249,066)
$
1,210,203
Pay
3M
BBR
Qtrly
5.50%
Semi
3/12/2025
NZD
35,000,000
28,719
9,386
38,105
Pay
3M
BBR
Qtrly
4.50%
Qtrly
3/13/2025
AUD
128,400,000
229,630
472,969
702,599
Pay
6M
NIBOR
Semi
3.50%
Annual
6/18/2025
NOK
16,000,000
9,738
(6,028)
3,710
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
3,500,000
31,618
73,188
104,806
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
161,400,000
2,024,384
525,778
2,550,162
Receive
1D
SOFR
Annual
3.25%
Annual
6/23/2025
USD
402,200,000
5,567,969
879,960
6,447,929
Receive
1D
SOFR
Annual
3.75%
Annual
6/23/2025
USD
160,700,000
331,046
745,102
1,076,148
Receive
1D
SONIA
Annual
4.00%
Annual
6/23/2025
GBP
19,900,000
163,078
46,852
209,930
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
5,400,000
159,118
232,927
392,045
Receive
1D
SONIA
Annual
3.25%
Annual
6/21/2033
GBP
900,000
393
40,218
40,611
Receive
1D
TONAR
Annual
0.00%
Annual
6/23/2025
JPY
119,281,000,000
3,840,599
2,959,011
6,799,610
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
269,400,000
2,868,476
1,299,083
4,167,559
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
367,600,000
534,667
1,317,959
1,852,626
Receive
3M
BA
Qtrly
3.75%
Semi
6/19/2025
CAD
429,400,000
435,927
1,844,117
2,280,044
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
200,200,000
(49,086)
258,504
209,418
Receive
3M
STIBOR
Qtrly
3.00%
Annual
6/18/2025
SEK
289,000,000
145,692
142,851
288,543
Receive
6M
EURIBOR
Semi
2.50%
Annual
6/23/2025
EUR
177,700,000
1,537,615
1,947,977
3,485,592
Receive
6M
EURIBOR
Semi
3.00%
Annual
3/15/2033
EUR
16,600,000
(379,782)
705,060
325,278
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
17,500,000
1,338,072
593,432
1,931,504
20,277,142
13,839,280
34,116,422
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
175,700,000
(1,327,018)
(1,201,305)
(2,528,323)
Pay
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
198,100,000
39,355
(767,532)
(728,177)
Pay
1D
SARON
Annual
1.50%
Annual
6/23/2025
CHF
192,300,000
953,576
(1,929,612)
(976,036)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
17,100,000
(659,505)
(92,911)
(752,416)
Pay
1D
SOFR
Annual
3.00%
Annual
6/21/2033
USD
90,600,000
(1,965,943)
(1,622,899)
(3,588,842)
Pay
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
24,800,000
(358,474)
73,101
(285,373)
Pay
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
21,106,600,000
(552,181)
(399,339)
(951,520)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
3,717,100,000
(96,276)
(984,729)
(1,081,005)
Pay
1D
TONAR
Annual
0.50%
Annual
6/21/2033
JPY
24,798,700,000
(2,976,302)
(4,877,812)
(7,854,114)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
14,500,000
(327,119)
(80,588)
(407,707)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
18,400,000
(528,591)
295,162
(233,429)
Pay
3M
BA
Qtrly
3.50%
Semi
6/20/2033
CAD
93,400,000
1,980,500
(2,962,895)
(982,395)
Pay
3M
BBR
Qtrly
5.00%
Semi
3/12/2025
NZD
40,300,000
(134,746)
(57,955)
(192,701)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
900,000
(432)
(9,155)
(9,587)
Pay
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
31,100,000
(143,923)
(369,923)
(513,846)
Pay
3M
BBR
Qtrly
4.00%
Qtrly
6/12/2025
AUD
32,600,000
85,079
(139,107)
(54,028)
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
100,000
(11)
(2)
(13)
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
37,200,000
(267,360)
110,504
(156,856)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
9,900,000
(231,330)
(84,180)
(315,510)
Pay
6M
BBR
Semi
4.50%
Semi
6/09/2033
AUD
1,100,000
17,034
(23,483)
(6,449)
Pay
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
75,500,000
(2,228,659)
(791,296)
(3,019,955)
Pay
6M
EURIBOR
Semi
3.00%
Annual
3/17/2025
EUR
76,500,000
(332,491)
(393,139)
(725,630)
Pay
6M
EURIBOR
Semi
2.50%
Annual
6/21/2033
EUR
48,200,000
(637,643)
(2,488,927)
(3,126,570)
Receive
1D
SOFR
Annual
4.50%
Annual
3/17/2025
USD
389,900,000
(2,032,023)
839,460
(1,192,563)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
100,000
(96)
(14)
(110)
(11,724,579)
(17,958,576)
(29,683,155)
$
8,552,563
$
(4,119,296)
$
4,433,267
239
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
December
31,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
4.30%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
3.43%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.02%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.26%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.94%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
2.70%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.77%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
2.69%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.51%
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Canada
10
Year
Bond
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
BANA
03/22/2023
CAD
(367,650)
$
9,036
iBovespa
Index
February
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
02/15/2023
BRL
101,659,245
573,019
Swiss
Market
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
Monthly
MLIN
03/17/2023
CHF
5,647,680
20,389
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
(0.25%)
Monthly
CITI
03/15/2023
MXN
(42,184,132)
122,534
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
(-0.26%)
Monthly
CITI
03/15/2023
EUR
(10,673,943)
726,987
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
(-0.15%)
Monthly
CITI
03/15/2023
SGD
(12,264,389)
174,020
1,625,985
240
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
DTOP
Index
March
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
03/16/2023
ZAR
636,400
$
(1,481)
HSCEI
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
HKD
(36,166,000)
(19,468)
SGX
NIFTY
50
Index
January
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
01/25/2023
USD
(145,784)
(1,563)
TAIEX
Index
January
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
01/30/2023
TWD
28,270,000
(16,112)
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
03/15/2023
ILS
11,301,789
(102,763)
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
(0.40%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
USD
1,659,809
(86,059)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.32%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
03/15/2023
EUR
9,080,105
(202,578)
MSCI
Poland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
WIBOR
plus
or
minus
a
specified
spread
(-0.55%)
Monthly
CITI
03/15/2023
PLN
(21,892,476)
(172,574)
MSCI
South
Africa
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
JIBAR
plus
or
minus
a
specified
spread
(0.45%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
03/15/2023
ZAR
46,747,315
(61,353)
241
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.18%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
03/15/2023
EUR
6,449,379
$
(65,359)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
03/15/2023
CHF
17,494,167
(629,284)
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
CITI
03/15/2023
GBP
3,248,116
(39,009)
(1,397,603)
$
228,382
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
323
1/2023
USD
$
27,748,930
$
1,519,221
CAC
40
10
Euro
Index
106
1/2023
EUR
7,341,928
(239,318)
FTSE
Bursa
Malaysia
KLCI
Index
4
1/2023
MYR
67,741
576
IBEX
35
Index
268
1/2023
EUR
23,507,857
(22,661)
LME
Copper
Base
Metal
3
1/2023
USD
627,638
63,131
LME
Copper
Base
Metal
17
1/2023
USD
3,556,298
339,302
LME
Copper
Base
Metal
17
1/2023
USD
3,558,274
341,212
LME
Copper
Base
Metal
33
1/2023
USD
6,905,258
669,977
Natural
Gas
234
1/2023
USD
10,471,500
(1,453,134)
SGX
FTSE
Taiwan
Index
471
1/2023
USD
23,394,570
(104,242)
WTI
Crude
Oil
118
1/2023
USD
9,470,680
919,006
LME
Copper
Base
Metal
7
2/2023
USD
1,465,207
116,638
LME
Copper
Base
Metal
18
2/2023
USD
3,768,863
(46,060)
LME
Copper
Base
Metal
20
2/2023
USD
4,187,000
158,185
LME
Copper
Base
Metal
24
2/2023
USD
5,024,550
23,237
LME
Copper
Base
Metal
27
2/2023
USD
5,652,288
306,217
LME
Copper
Base
Metal
28
2/2023
USD
5,865,650
210,226
LME
Copper
Base
Metal
28
2/2023
USD
5,862,850
(26,105)
LME
Copper
Base
Metal
35
2/2023
USD
7,329,499
354,932
LME
Copper
Base
Metal
40
2/2023
USD
8,375,000
201,595
242
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
52
2/2023
USD
$
10,885,563
$
455,245
Australia
10
Year
Bond
574
3/2023
AUD
45,191,834
(853,825)
Euro-Bund
1,946
3/2023
EUR
276,635,108
(15,541,508)
FTSE
100
Index
191
3/2023
GBP
17,239,700
(1,159)
FTSE/JSE
Top
40
Index
131
3/2023
ZAR
5,221,111
(153,418)
FTSE/MIB
Index
1,206
3/2023
EUR
153,030,718
(5,060,750)
Japan
10
Year
Bond
169
3/2023
JPY
187,002,286
(3,764,733)
KOSPI
200
Index
203
3/2023
KRW
11,753,371
(600,700)
LME
Copper
Base
Metal
3
3/2023
USD
628,163
(2,595)
LME
Copper
Base
Metal
3
3/2023
USD
627,881
(2,716)
LME
Copper
Base
Metal
9
3/2023
USD
1,884,769
(32,986)
LME
Copper
Base
Metal
18
3/2023
USD
3,767,175
(55,622)
LME
Copper
Base
Metal
31
3/2023
USD
6,494,113
(10,069)
LME
Copper
Base
Metal
31
3/2023
USD
6,486,944
8,912
LME
Copper
Base
Metal
33
3/2023
USD
6,913,088
(499)
Long
Gilt
207
3/2023
GBP
24,995,235
(1,001,686)
SET50
Index
1,656
3/2023
THB
9,632,388
207,211
Silver
52
3/2023
USD
6,250,400
706,246
Soybean
585
3/2023
USD
44,577,000
1,388,260
SPI
200
Index
1,033
3/2023
AUD
122,939,995
(1,788,925)
TOPIX
Index
1,399
3/2023
JPY
201,631,248
(5,401,739)
(28,175,121)
Short
Contracts
Amsterdam
Exchange
Index
(393)
1/2023
EUR
(58,025,337)
3,142,502
Hang
Seng
Index
(229)
1/2023
HKD
(29,213,787)
(169,074)
HSCEI
(178)
1/2023
HKD
(7,707,948)
(56,004)
LME
Copper
Base
Metal
(3)
1/2023
USD
(627,638)
(63,871)
LME
Copper
Base
Metal
(17)
1/2023
USD
(3,558,274)
(362,244)
LME
Copper
Base
Metal
(17)
1/2023
USD
(3,556,298)
(356,093)
LME
Copper
Base
Metal
(33)
1/2023
USD
(6,905,258)
(648,895)
MSCI
Singapore
Index
(970)
1/2023
SGD
(21,041,772)
1,226
OMXS30
Index
(483)
1/2023
SEK
(9,451,846)
384,331
SGX
NIFTY
50
Index
(268)
1/2023
USD
(9,767,528)
(48,519)
100
oz
Gold
(557)
2/2023
USD
(101,719,340)
(3,587,113)
LME
Copper
Base
Metal
(7)
2/2023
USD
(1,465,207)
(125,841)
LME
Copper
Base
Metal
(18)
2/2023
USD
(3,768,863)
18,806
LME
Copper
Base
Metal
(20)
2/2023
USD
(4,187,000)
(153,885)
LME
Copper
Base
Metal
(24)
2/2023
USD
(5,024,550)
(5,041)
LME
Copper
Base
Metal
(27)
2/2023
USD
(5,652,288)
(259,042)
LME
Copper
Base
Metal
(28)
2/2023
USD
(5,865,650)
(227,582)
LME
Copper
Base
Metal
(28)
2/2023
USD
(5,862,850)
14,818
LME
Copper
Base
Metal
(35)
2/2023
USD
(7,329,499)
(378,053)
LME
Copper
Base
Metal
(40)
2/2023
USD
(8,375,000)
(228,821)
LME
Copper
Base
Metal
(52)
2/2023
USD
(10,885,563)
(529,973)
Canada
10
Year
Bond
(3,060)
3/2023
CAD
(276,665,584)
8,359,351
Corn
(764)
3/2023
USD
(25,918,700)
(237,637)
DAX
Index
(308)
3/2023
EUR
(115,295,600)
3,958,133
EURO
STOXX
50
Index
(540)
3/2023
EUR
(21,878,928)
214,985
LME
Copper
Base
Metal
(3)
3/2023
USD
(627,881)
2,486
LME
Copper
Base
Metal
(9)
3/2023
USD
(1,884,769)
25,683
LME
Copper
Base
Metal
(18)
3/2023
USD
(3,767,175)
37,855
LME
Copper
Base
Metal
(31)
3/2023
USD
(6,494,113)
22,646
LME
Copper
Base
Metal
(31)
3/2023
USD
(6,486,944)
(14,374)
LME
Copper
Base
Metal
(33)
3/2023
USD
(6,913,088)
(27,067)
LME
Copper
Base
Metal
(205)
3/2023
USD
(42,924,438)
(154,400)
MEX
BOLSA
Index
(32)
3/2023
MXN
(801,999)
37,067
243
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
S&P
500
E-Mini
Index
(768)
3/2023
USD
$
(148,262,400)
$
4,636,329
S&P/TSX
60
Index
(6)
3/2023
CAD
(1,036,839)
35,673
U.S.
Treasury
10
Year
Note
(1,789)
3/2023
USD
(200,619,578)
2,466,801
15,725,163
$
(12,449,958)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
103,310,926
USD
69,499,938
CITI
3/15/2023
$
1,039,902
AUD
103,310,922
USD
69,498,757
JPMC
3/15/2023
1,041,079
BRL
35,434,242
USD
6,485,363
CITI
**
3/15/2023
137,438
BRL
35,434,240
USD
6,485,371
JPMC
**
3/15/2023
137,430
CAD
10,110,000
USD
7,469,999
CITI
3/15/2023
822
CAD
10,110,000
USD
7,469,961
JPMC
3/15/2023
859
CHF
16,758,500
USD
18,170,538
CITI
3/15/2023
93,472
CHF
16,758,500
USD
18,170,449
JPMC
3/15/2023
93,562
CLP
45,183,000
USD
50,944
CITI
**
3/15/2023
1,836
CLP
45,183,000
USD
50,944
JPMC
**
3/15/2023
1,836
CNY
65,966,595
USD
9,400,360
CITI
**
3/15/2023
183,825
CNY
65,966,589
USD
9,400,340
JPMC
**
3/15/2023
183,846
EUR
88,263,816
USD
92,722,980
CITI
3/15/2023
2,216,875
EUR
88,263,812
USD
92,722,774
JPMC
3/15/2023
2,217,076
GBP
7,683,500
USD
9,210,080
CITI
3/15/2023
95,197
GBP
7,683,500
USD
9,210,092
JPMC
3/15/2023
95,185
IDR
476,871,500
USD
30,384
CITI
**
3/15/2023
395
IDR
476,871,500
USD
30,384
JPMC
**
3/15/2023
396
JPY
2,483,585,210
USD
18,745,008
CITI
3/15/2023
359,214
JPY
2,483,585,204
USD
18,744,921
JPMC
3/15/2023
359,300
KRW
4,708,541,500
USD
3,613,224
CITI
**
3/15/2023
131,865
KRW
4,708,541,500
USD
3,613,206
JPMC
**
3/15/2023
131,883
MXN
187,380,836
USD
9,468,777
CITI
3/15/2023
23,939
MXN
187,380,834
USD
9,468,788
JPMC
3/15/2023
23,927
NOK
744,901,118
USD
74,965,440
CITI
3/15/2023
1,301,309
NOK
744,901,112
USD
74,965,297
JPMC
3/15/2023
1,301,451
NZD
42,774,501
USD
27,079,311
CITI
3/15/2023
99,849
NZD
42,774,499
USD
27,079,175
JPMC
3/15/2023
99,984
PLN
27,960,003
USD
6,173,595
CITI
3/15/2023
169,979
PLN
27,960,001
USD
6,173,580
JPMC
3/15/2023
169,996
SGD
8,754,503
USD
6,420,129
CITI
3/15/2023
123,417
SGD
8,754,497
USD
6,420,114
JPMC
3/15/2023
123,427
TWD
1,000,000
USD
32,737
CITI
**
3/15/2023
45
TWD
1,000,000
USD
32,737
JPMC
**
3/15/2023
45
USD
4,489,118
AUD
6,549,000
CITI
3/15/2023
17,515
USD
4,489,140
AUD
6,549,000
JPMC
3/15/2023
17,538
USD
57,345
BRL
304,126
CITI
**
3/15/2023
503
USD
57,345
BRL
304,124
JPMC
**
3/15/2023
503
USD
19,048,482
CAD
25,668,501
CITI
3/15/2023
80,651
USD
19,048,565
CAD
25,668,499
JPMC
3/15/2023
80,736
USD
5,947,915
CHF
5,455,500
CITI
3/15/2023
2,317
USD
5,947,945
CHF
5,455,500
JPMC
3/15/2023
2,347
244
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
37,745,380
GBP
30,677,936
CITI
3/15/2023
$
592,171
USD
37,745,570
GBP
30,677,940
JPMC
3/15/2023
592,356
USD
12,114,574
ILS
41,463,046
CITI
3/15/2023
273,165
USD
12,114,567
ILS
41,463,045
JPMC
3/15/2023
273,159
USD
2,311,463
INR
190,000,000
CITI
**
3/15/2023
25,560
USD
2,311,464
INR
190,000,000
JPMC
**
3/15/2023
25,559
USD
3,335,856
MXN
65,500,000
CITI
3/15/2023
17,626
USD
3,335,873
MXN
65,500,000
JPMC
3/15/2023
17,642
USD
13,706,434
NOK
133,500,000
CITI
3/15/2023
38,027
USD
13,706,502
NOK
133,500,000
JPMC
3/15/2023
38,096
USD
3,331,260
NZD
5,216,768
CITI
3/15/2023
16,496
USD
3,331,276
NZD
5,216,768
JPMC
3/15/2023
16,513
USD
7,833,765
SEK
81,000,000
CITI
3/15/2023
40,002
USD
7,833,804
SEK
81,000,000
JPMC
3/15/2023
40,040
USD
5,634,011
TWD
169,956,638
CITI
**
3/15/2023
62,499
USD
5,634,028
TWD
169,956,630
JPMC
**
3/15/2023
62,516
ZAR
192,430,876
USD
11,069,650
CITI
3/15/2023
187,648
ZAR
192,430,876
USD
11,064,024
JPMC
3/15/2023
193,273
HUF
3,145,924,502
USD
7,812,933
CITI
3/16/2023
451,464
HUF
3,145,924,498
USD
7,812,924
JPMC
3/16/2023
451,473
Total
unrealized
appreciation
15,578,056
AUD
35,979,572
USD
24,577,699
CITI
3/15/2023
(11,147)
AUD
35,979,569
USD
24,577,574
JPMC
3/15/2023
(11,024)
BRL
95,314,654
USD
17,926,990
CITI
**
3/15/2023
(112,300)
BRL
95,314,654
USD
17,926,900
JPMC
**
3/15/2023
(112,211)
CAD
5,384,678
USD
4,028,576
CITI
3/15/2023
(49,550)
CAD
5,384,672
USD
4,028,577
JPMC
3/15/2023
(49,555)
CHF
3,053,000
USD
3,336,091
CITI
3/15/2023
(8,823)
CHF
3,053,000
USD
3,336,074
JPMC
3/15/2023
(8,806)
GBP
14,607,000
USD
17,808,938
CITI
3/15/2023
(118,800)
GBP
14,607,000
USD
17,808,849
JPMC
3/15/2023
(118,711)
INR
387,244,847
USD
4,704,346
CITI
**
3/15/2023
(45,375)
INR
387,244,843
USD
4,704,335
JPMC
**
3/15/2023
(45,364)
MXN
229,811,336
USD
11,746,432
CITI
3/15/2023
(104,187)
MXN
229,811,335
USD
11,746,412
JPMC
3/15/2023
(104,167)
NOK
124,150,187
USD
12,776,343
CITI
3/15/2023
(65,217)
NOK
124,150,185
USD
12,776,278
JPMC
3/15/2023
(65,153)
SEK
152,000,000
USD
14,772,053
CITI
3/15/2023
(146,720)
SEK
152,000,000
USD
14,771,980
JPMC
3/15/2023
(146,645)
TWD
90,700,500
USD
3,012,634
CITI
**
3/15/2023
(39,293)
TWD
90,700,500
USD
3,013,097
JPMC
**
3/15/2023
(39,756)
USD
4,495,165
AUD
6,642,000
CITI
3/15/2023
(39,937)
USD
4,495,188
AUD
6,642,000
JPMC
3/15/2023
(39,915)
USD
10,487,450
BRL
56,889,378
CITI
**
3/15/2023
(145,402)
USD
10,487,442
BRL
56,889,372
JPMC
**
3/15/2023
(145,409)
USD
5,616,006
CAD
7,655,000
CITI
3/15/2023
(40,684)
USD
5,616,034
CAD
7,655,000
JPMC
3/15/2023
(40,656)
USD
141,017,807
CHF
131,661,168
CITI
3/15/2023
(2,471,220)
USD
141,018,057
CHF
131,661,163
JPMC
3/15/2023
(2,470,965)
USD
1,432,747
CLP
1,309,244,502
CITI
**
3/15/2023
(96,652)
USD
1,432,750
CLP
1,309,244,498
JPMC
**
3/15/2023
(96,650)
USD
3,352,532
CNY
23,260,320
CITI
**
3/15/2023
(26,924)
USD
3,352,550
CNY
23,260,326
JPMC
**
3/15/2023
(26,907)
USD
749,956
DKK
5,386,212
CITI
3/15/2023
(29,609)
USD
749,955
DKK
5,386,211
JPMC
3/15/2023
(29,610)
USD
20,028,981
EUR
18,761,002
CITI
3/15/2023
(151,053)
USD
20,029,077
EUR
18,760,998
JPMC
3/15/2023
(150,953)
USD
1,284,111
GBP
1,070,939
CITI
3/15/2023
(12,874)
245
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,284,106
GBP
1,070,936
JPMC
3/15/2023
$
(12,876)
USD
184,562
IDR
2,903,353,500
CITI
**
3/15/2023
(2,832)
USD
184,518
IDR
2,903,353,498
JPMC
**
3/15/2023
(2,876)
USD
351,251
ILS
1,230,000
CITI
3/15/2023
(24)
USD
351,253
ILS
1,230,000
JPMC
3/15/2023
(22)
USD
661,210
INR
55,000,000
CITI
**
3/15/2023
(500)
USD
661,213
INR
55,000,000
JPMC
**
3/15/2023
(496)
USD
71,399,510
JPY
9,694,407,534
CITI
3/15/2023
(3,171,764)
USD
71,399,647
JPY
9,694,407,524
JPMC
3/15/2023
(3,171,626)
USD
34,016,621
KRW
44,938,823,984
CITI
**
3/15/2023
(1,726,911)
USD
34,016,692
KRW
44,938,823,976
JPMC
**
3/15/2023
(1,726,840)
USD
8,990,063
MXN
180,361,000
CITI
3/15/2023
(147,028)
USD
8,990,108
MXN
180,361,000
JPMC
3/15/2023
(146,982)
USD
18,743,286
NOK
187,000,000
CITI
3/15/2023
(402,721)
USD
18,740,334
NOK
187,000,000
JPMC
3/15/2023
(405,673)
USD
9,142,479
NZD
14,586,804
CITI
3/15/2023
(126,059)
USD
9,139,697
NZD
14,586,803
JPMC
3/15/2023
(128,840)
USD
3,067,325
PLN
13,718,000
CITI
3/15/2023
(45,020)
USD
3,067,340
PLN
13,718,000
JPMC
3/15/2023
(45,005)
USD
10,790,227
SEK
113,410,635
CITI
3/15/2023
(122,066)
USD
10,790,220
SEK
113,410,633
JPMC
3/15/2023
(122,071)
USD
5,291,167
SGD
7,199,752
CITI
3/15/2023
(90,282)
USD
5,291,171
SGD
7,199,747
JPMC
3/15/2023
(90,274)
USD
2,032,838
TWD
62,348,210
CITI
**
3/15/2023
(11,058)
USD
2,032,837
TWD
62,348,206
JPMC
**
3/15/2023
(11,059)
USD
2,117,728
ZAR
36,602,000
CITI
3/15/2023
(23,506)
USD
2,117,739
ZAR
36,602,000
JPMC
3/15/2023
(23,495)
ZAR
12,107,624
USD
709,526
CITI
3/15/2023
(1,224)
ZAR
12,107,624
USD
709,527
JPMC
3/15/2023
(1,225)
USD
450,149
HUF
180,000,000
CITI
3/16/2023
(22,714)
USD
450,151
HUF
180,000,000
JPMC
3/16/2023
(22,712)
Total
unrealized
depreciation
(19,224,005)
Net
unrealized
depreciation
$
(3,645,949)
**
Non-deliverable
forward.
246
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
60
months
maturity
12/09/2027
$3,311
$(159)
$–
$(159)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TIIE
plus
or
minus
a
specified
spread
(-0.50%
to
0.50%),
which
is
denominated
in
MXN
based
on
the
local
currencies
of
the
positions
within
the
swap.
41-59
months
maturity
ranging
from
04/17/2026
-
10/14/2027
$4,341,310
$(114,663)
$(1,501)
$(116,164)
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
(-1.95%
to
0.70%),
which
is
denominated
in
PLN
based
on
the
local
currencies
of
the
positions
within
the
swap.
41-56
months
maturity
ranging
from
04/17/2026
-
07/21/2027
$8,163,291
$114,449
$(3,113)
$111,336
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.
41-61
months
maturity
ranging
from
04/17/2026
-
12/08/2027
$5,869,802
$174,624
$(4,113)
$170,511
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
(-34.77%
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
01/25/2023
-
02/26/2024
$679,915,961
$(3,083,143)
$2,219,598
$(863,545)
247
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
27,719
3,043,269
33,817
(3.9)
Acuity
Brands,
Inc.
23,582
3,905,415
(55,654)
6.4
Alphabet,
Inc.
48,647
4,292,125
40,863
(4.7)
Amdocs
Ltd.
31,070
2,824,263
20,196
(2.3)
Amkor
Technology,
Inc.
151,691
3,637,550
(63,710)
7.4
AutoNation,
Inc.
35,123
3,768,698
10,537
(1.2)
Best
Buy
Co.,
Inc.
35,131
2,817,858
(57,966)
6.7
Builders
FirstSource,
Inc.
122,248
7,931,450
(33,007)
3.8
Cognizant
Technology
Solutions
Corp.
60,472
3,458,394
42,935
(5.0)
CVS
Health
Corp.
43,893
4,090,389
7,462
(0.9)
DXC
Technology
Co.
113,065
2,996,222
(21,482)
2.5
EMCOR
Group,
Inc.
22,620
3,350,248
(44,561)
5.2
General
Dynamics
Corp.
19,279
4,783,313
(12,146)
1.4
HF
Sinclair
Corp.
56,765
2,945,536
54,494
(6.3)
Hologic,
Inc.
37,413
2,798,867
(35,168)
4.1
Huntington
Ingalls
Industries,
Inc.
15,560
3,589,381
(21,940)
2.5
LKQ
Corp.
87,281
4,661,678
(51,496)
6.0
Lockheed
Martin
Corp.
8,488
4,129,327
8,403
(1.0)
Macy's,
Inc.
229,921
4,747,869
57,480
(6.7)
Meta
Platforms,
Inc.
46,710
5,621,081
161,617
(18.7)
Microsoft
Corp.
11,737
2,814,767
33,568
(3.9)
NCR
Corp.
119,540
2,798,431
–
0.0
Ovintiv,
Inc.
68,464
3,471,809
(126,658)
14.7
Owens
Corning
56,115
4,786,610
(147,021)
17.0
PDC
Energy,
Inc.
55,085
3,496,796
(83,178)
9.6
Playtika
Holding
Corp.
449,830
3,828,053
251,905
(29.2)
Teradata
Corp.
98,871
3,327,998
30,650
(3.5)
Textron,
Inc.
89,108
6,308,846
4,455
(0.5)
TripAdvisor,
Inc.
172,910
3,108,922
63,977
(7.4)
United
Rentals,
Inc.
7,797
2,771,210
(25,418)
2.9
Universal
Health
Services,
Inc.
19,735
2,780,464
(7,302)
0.8
Valero
Energy
Corp.
23,594
2,993,135
10,617
(1.2)
Ziff
Davis,
Inc.
37,767
2,987,370
38,522
(4.5)
Short
Positions
Common
Stocks
Singapore
Sea
Ltd.,
ADR
(66,383)
(3,453,907)
(118,162)
13.7
United
States
Boeing
Co.
(The)
(33,433)
(6,368,652)
(36,442)
4.2
Burlington
Stores,
Inc.
(15,630)
(3,169,139)
33,448
(3.9)
CNX
Resources
Corp.
(330,003)
(5,557,251)
181,502
(21.0)
Dollar
General
Corp.
(12,411)
(3,056,209)
11,418
(1.3)
First
Solar,
Inc.
(18,790)
(2,814,554)
8,080
(0.9)
HealthEquity,
Inc.
(47,764)
(2,944,173)
955
(0.1)
Hess
Corp.
(53,999)
(7,658,138)
85,858
(9.9)
Honeywell
International,
Inc.
(22,450)
(4,811,035)
13,246
(1.5)
Insulet
Corp.
(10,633)
(3,130,249)
(24,881)
2.9
Oak
Street
Health,
Inc.
(145,330)
(3,126,048)
(196,196)
22.7
Penumbra,
Inc.
(13,706)
(3,049,037)
(40,981)
4.7
Quanta
Services,
Inc.
(26,111)
(3,720,818)
38,383
(4.4)
248
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
R1
RCM,
Inc.
(272,310)
(2,981,794)
(35,400)
4.1
Trade
Desk,
Inc.
(The)
(67,475)
(3,024,904)
(68,150)
7.9
Valmont
Industries,
Inc.
(8,570)
(2,833,842)
62,818
(7.3)
Williams
Cos.,
Inc.
(The)
(84,371)
(2,775,806)
43,029
(5.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.04%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/13/2025
-
12/08/2027
$87,217,101
$52,788
$(56,294)
$(3,506)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
85,698
1,765,876
(218,522)
6,232.8
Atlas
Arteria
Ltd.
221,005
995,290
(32,429)
925.0
Aurizon
Holdings
Ltd.
1,371,806
3,475,387
(73,790)
2,104.7
BHP
Group
Ltd.
137,868
4,270,729
(186,096)
5,307.9
BlueScope
Steel
Ltd.
190,177
2,167,491
(189,490)
5,404.7
Brambles
Ltd.
279,033
2,288,240
19,883
(567.1)
Goodman
Group
148,472
1,746,083
(91,681)
2,615.0
Harvey
Norman
Holdings
Ltd.
452,022
1,266,565
(56,799)
1,620.1
Incitec
Pivot
Ltd.
763,569
1,943,758
(83,887)
2,392.7
JB
Hi-Fi
Ltd.
164,034
4,675,254
(313,605)
8,944.8
Northern
Star
Resources
Ltd.
73,816
552,389
(7,481)
213.4
Origin
Energy
Ltd.
413,767
2,165,625
(31,739)
905.3
Qube
Holdings
Ltd.
1,392,325
2,655,903
(7,877)
224.7
Sonic
Healthcare
Ltd.
29,261
595,491
(6,164)
175.8
South32
Ltd.
753,664
2,066,267
(83,757)
2,389.0
Telstra
Group
Ltd.
224,506
607,164
(4,256)
121.4
Whitehaven
Coal
Ltd.
555,783
3,540,861
(125,882)
3,590.5
Worley
Ltd.
99,239
1,012,284
44,726
(1,275.7)
United
States
Computershare
Ltd.
46,165
813,244
(20,317)
579.5
249
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(944,781)
(975,403)
60,237
(1,718.1)
APA
Group
(465,735)
(3,404,246)
61,610
(1,757.3)
Cochlear
Ltd.
(7,236)
(999,345)
28,744
(819.9)
Commonwealth
Bank
of
Australia
(10,496)
(728,998)
21,210
(605.0)
Domino's
Pizza
Enterprises
Ltd.
(13,085)
(589,268)
(6,553)
186.9
Endeavour
Group
Ltd.
(203,914)
(887,418)
81,649
(2,328.8)
Evolution
Mining
Ltd.
(499,348)
(1,020,926)
(11,182)
318.9
GPT
Group
(The)
(276,439)
(788,407)
28,440
(811.2)
IDP
Education
Ltd.
(199,729)
(3,680,853)
83,226
(2,373.8)
IGO
Ltd.
(117,719)
(1,076,817)
128,623
(3,668.7)
Insurance
Australia
Group
Ltd.
(630,139)
(2,025,689)
29,365
(837.6)
Lendlease
Corp.
Ltd.
(292,032)
(1,550,130)
(92,707)
2,644.2
Lynas
Rare
Earths
Ltd.
(235,303)
(1,240,403)
124,552
(3,552.5)
Medibank
Pvt
Ltd.
(1,282,902)
(2,559,439)
77,739
(2,217.3)
Mineral
Resources
Ltd.
(24,214)
(1,270,181)
221,811
(6,326.6)
National
Australia
Bank
Ltd.
(27,089)
(550,004)
6,806
(194.1)
Newcrest
Mining
Ltd.
(49,806)
(698,395)
26,609
(759.0)
NEXTDC
Ltd.
(128,754)
(794,490)
7,619
(217.3)
QBE
Insurance
Group
Ltd.
(141,193)
(1,280,860)
(35,960)
1,025.7
Ramsay
Health
Care
Ltd.
(57,438)
(2,522,166)
53,885
(1,536.9)
REA
Group
Ltd.
(15,060)
(1,132,610)
110,331
(3,146.9)
Reece
Ltd.
(135,883)
(1,298,868)
51,864
(1,479.3)
Santos
Ltd.
(192,508)
(946,792)
(10,998)
313.7
Scentre
Group
(705,706)
(1,373,699)
10,083
(287.6)
Transurban
Group
(126,107)
(1,109,471)
82,265
(2,346.4)
Westpac
Banking
Corp.
(35,257)
(558,171)
4,499
(128.3)
Woodside
Energy
Group
Ltd.
(82,940)
(2,008,658)
(50,890)
1,451.5
Woolworths
Group
Ltd.
(51,851)
(1,184,040)
31,438
(896.7)
New
Zealand
Xero
Ltd.
(25,501)
(1,215,986)
(448)
12.8
United
States
CSL
Ltd.
(8,208)
(1,600,512)
67,115
(1,914.3)
James
Hardie
Industries
plc
(99,375)
(1,788,580)
191,136
(5,451.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-0.90%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/13/2025
-
12/17/2027
$197,088,953
$43,869
$461,876
$505,745
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
250
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
3SBio,
Inc.
1,278,000
1,353,167
(30,366)
(6.0)
Beijing
Enterprises
Holdings
Ltd.
388,500
1,240,402
8,523
1.7
BOC
Hong
Kong
Holdings
Ltd.
561,000
1,904,481
114,847
22.7
China
Cinda
Asset
Management
Co.
Ltd.
9,219,000
1,272,194
(38,824)
(7.7)
China
CITIC
Bank
Corp.
Ltd.
5,487,000
2,428,121
(4,157)
(0.8)
China
Construction
Bank
Corp.
2,522,000
1,577,232
48,934
9.7
China
Hongqiao
Group
Ltd.
2,896,500
2,731,846
(55,016)
(10.9)
China
Minsheng
Banking
Corp.
Ltd.
4,782,500
1,652,617
(1,708)
(0.3)
China
National
Building
Material
Co.
Ltd.
1,872,000
1,529,558
(168,456)
(33.3)
China
Taiping
Insurance
Holdings
Co.
Ltd.
1,070,200
1,327,860
(30,894)
(6.1)
CITIC
Ltd.
2,337,000
2,457,195
97,874
19.4
CSPC
Pharmaceutical
Group
Ltd.
1,554,000
1,617,828
(50,440)
(10.0)
Dongyue
Group
Ltd.
1,479,000
1,619,877
(153,684)
(30.4)
Kunlun
Energy
Co.
Ltd.
2,096,000
1,490,158
(115,654)
(22.9)
New
China
Life
Insurance
Co.
Ltd.
716,700
1,744,935
(56,583)
(11.2)
PICC
Property
&
Casualty
Co.
Ltd.
1,378,000
1,302,893
(46,008)
(9.1)
Sinopharm
Group
Co.
Ltd.
657,200
1,663,447
(33,134)
(6.6)
SITC
International
Holdings
Co.
Ltd.
1,149,000
2,546,689
(23,507)
(4.6)
Topsports
International
Holdings
Ltd.
1,972,000
1,553,698
32,781
6.5
Xinyi
Glass
Holdings
Ltd.
1,833,000
3,386,605
(229,868)
(45.5)
Hong
Kong
ASMPT
Ltd.
287,700
2,043,302
(53,967)
(10.7)
CK
Asset
Holdings
Ltd.
577,372
3,541,123
39,834
7.9
New
World
Development
Co.
Ltd.
1,009,000
2,830,424
(39,852)
(7.9)
Orient
Overseas
International
Ltd.
101,500
1,829,380
36,165
7.2
Sun
Hung
Kai
Properties
Ltd.
218,000
2,977,743
115,000
22.7
Swire
Pacific
Ltd.
201,000
1,761,943
108,713
21.5
WH
Group
Ltd.
7,345,000
4,283,885
(72,987)
(14.4)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
1,387,000
8,309,311
233,586
46.2
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(907,100)
(2,835,591)
11,644
2.3
China
Mengniu
Dairy
Co.
Ltd.
(337,000)
(1,519,571)
(17,083)
(3.4)
China
Merchants
Bank
Co.
Ltd.
(585,000)
(3,237,306)
(67,021)
(13.3)
China
Southern
Airlines
Co.
Ltd.
(2,468,000)
(1,600,466)
24,747
4.9
CITIC
Securities
Co.
Ltd.
(965,500)
(1,944,500)
79,160
15.7
ESR
Group
Ltd.
(959,600)
(2,006,088)
128,145
25.3
Flat
Glass
Group
Co.
Ltd.
(677,000)
(1,628,108)
47,598
9.4
Ganfeng
Lithium
Group
Co.
Ltd.
(193,600)
(1,435,218)
307,206
60.7
Meituan
(64,900)
(1,437,914)
129,408
25.6
Nongfu
Spring
Co.
Ltd.
(268,200)
(1,510,444)
(17,475)
(3.5)
Postal
Savings
Bank
of
China
Co.
Ltd.
(3,779,000)
(2,338,505)
28,983
5.7
Xiaomi
Corp.
(1,531,600)
(2,126,033)
126,594
25.0
Xinyi
Solar
Holdings
Ltd.
(1,196,155)
(1,316,184)
(12,060)
(2.4)
ZhongAn
Online
P&C
Insurance
Co.
Ltd.
(715,300)
(1,948,101)
109,241
21.6
Zijin
Mining
Group
Co.
Ltd.
(1,108,000)
(1,489,143)
109,237
21.6
Hong
Kong
AIA
Group
Ltd.
(749,000)
(8,271,500)
(67,041)
(13.3)
Hong
Kong
&
China
Gas
Co.
Ltd.
(4,193,716)
(3,977,356)
(114,309)
(22.6)
Power
Assets
Holdings
Ltd.
(281,500)
(1,538,530)
(38,245)
(7.6)
Techtronic
Industries
Co.
Ltd.
(216,000)
(2,399,078)
217,401
43.0
251
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
(continued)
Wharf
Real
Estate
Investment
Co.
Ltd.
(928,000)
(5,404,802)
(304,366)
(60.2)
Macau
Galaxy
Entertainment
Group
Ltd.
(385,000)
(2,531,243)
78,024
15.4
Sands
China
Ltd.
(1,115,600)
(3,659,423)
99,525
19.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.08%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/14/2025
-
12/17/2027
$587,821,107
$8,914,258
$252,044
$9,166,302
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
160,900
5,339,585
(282,890)
(3.1)
Dai
Nippon
Printing
Co.
Ltd.
172,600
3,467,460
(152,986)
(1.7)
Dai-ichi
Life
Holdings,
Inc.
200,000
4,516,675
545,326
5.9
ENEOS
Holdings,
Inc.
1,076,700
3,666,612
11,016
0.1
Idemitsu
Kosan
Co.
Ltd.
149,400
3,497,691
7,082
0.1
Japan
Post
Holdings
Co.
Ltd.
393,000
3,306,685
165,809
1.8
Japan
Post
Insurance
Co.
Ltd.
309,800
5,448,492
278,864
3.0
Kajima
Corp.
376,600
4,382,613
(47,975)
(0.5)
Marubeni
Corp.
332,800
3,812,540
(129,380)
(1.4)
Mazda
Motor
Corp.
521,500
3,909,191
(312,088)
(3.4)
Mitsubishi
Corp.
116,600
3,785,395
(216,013)
(2.4)
Mitsubishi
Electric
Corp.
489,100
4,846,463
(229,385)
(2.5)
Mitsubishi
HC
Capital,
Inc.
682,300
3,355,927
39,047
0.4
Mitsui
&
Co.
Ltd.
120,100
3,498,000
(183,517)
(2.0)
MS&AD
Insurance
Group
Holdings,
Inc.
130,300
4,165,669
282,681
3.1
Obayashi
Corp.
651,800
4,923,431
(103,128)
(1.1)
Osaka
Gas
Co.
Ltd.
280,700
4,522,947
(37,037)
(0.4)
Sojitz
Corp.
238,300
4,540,476
24,688
0.3
Suntory
Beverage
&
Food
Ltd.
123,700
4,212,257
(128,176)
(1.4)
Taisei
Corp.
143,200
4,617,514
100,233
1.1
Tokyo
Electric
Power
Co.
Holdings,
Inc.
964,300
3,472,850
(318,515)
(3.5)
Tokyo
Gas
Co.
Ltd.
328,700
6,435,881
65,842
0.7
TOPPAN,
Inc.
286,700
4,233,841
(261,957)
(2.9)
Tosoh
Corp.
305,900
3,637,652
(161,624)
(1.8)
252
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(249,900)
(5,276,761)
108,161
1.2
ANA
Holdings,
Inc.
(364,700)
(7,723,592)
344,881
3.8
Asics
Corp.
(173,400)
(3,811,488)
238,123
2.6
Daiichi
Sankyo
Co.
Ltd.
(120,700)
(3,884,934)
171,650
1.9
Daikin
Industries
Ltd.
(33,100)
(5,021,720)
526,894
5.7
Denso
Corp.
(67,800)
(3,324,900)
408,129
4.5
East
Japan
Railway
Co.
(69,400)
(3,952,882)
167,016
1.8
Eisai
Co.
Ltd.
(57,200)
(3,772,459)
387,698
4.2
FUJIFILM
Holdings
Corp.
(67,200)
(3,360,097)
259,455
2.8
Japan
Airlines
Co.
Ltd.
(299,700)
(6,104,192)
127,759
1.4
Japan
Airport
Terminal
Co.
Ltd.
(120,900)
(5,962,456)
(195,663)
(2.1)
Keyence
Corp.
(10,200)
(3,960,097)
438,868
4.8
Kobe
Bussan
Co.
Ltd.
(180,300)
(5,196,464)
(236,977)
(2.6)
M3,
Inc.
(162,000)
(4,400,459)
646,101
7.0
Marui
Group
Co.
Ltd.
(236,100)
(3,896,967)
165,161
1.8
MatsukiyoCocokara
&
Co.
(76,400)
(3,840,156)
(207,605)
(2.3)
MonotaRO
Co.
Ltd.
(268,200)
(3,777,834)
698,243
7.6
Nidec
Corp.
(102,200)
(5,259,125)
1,126,429
12.3
Nitori
Holdings
Co.
Ltd.
(27,200)
(3,554,021)
(196,508)
(2.1)
Oriental
Land
Co.
Ltd.
(39,900)
(5,806,414)
143,319
1.6
Shiseido
Co.
Ltd.
(75,200)
(3,685,832)
36,942
0.4
SoftBank
Group
Corp.
(104,500)
(4,419,615)
494,287
5.4
Sony
Group
Corp.
(89,600)
(6,829,457)
623,075
6.8
Toyota
Motor
Corp.
(317,600)
(4,332,872)
395,796
4.3
Unicharm
Corp.
(240,200)
(9,196,352)
293,365
3.2
West
Japan
Railway
Co.
(81,300)
(3,529,992)
5,976
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
(-9.61%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
26-61
months
maturity
ranging
from
01/13/2025
-
12/23/2027
$1,134,466,062
$3,273,212
$1,889,288
$5,162,500
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Altria
Group,
Inc.
84,494
3,862,221
(85,159)
(1.6)
Archer-Daniels-Midland
Co.
48,468
4,500,254
47,014
0.9
Arrow
Electronics,
Inc.
35,479
3,710,039
(76,665)
(1.5)
253
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
AT&T,
Inc.
265,233
4,882,940
(177,113)
(3.4)
Brighthouse
Financial,
Inc.
86,188
4,418,859
(77,569)
(1.5)
Cisco
Systems,
Inc.
88,344
4,208,708
(72,442)
(1.4)
Exelixis,
Inc.
246,151
3,948,262
65,187
1.3
Expedia
Group,
Inc.
49,489
4,335,236
(300,169)
(5.8)
Gilead
Sciences,
Inc.
56,109
4,816,958
(118,951)
(2.3)
Greif,
Inc.
70,292
4,713,782
19,682
0.4
H&R
Block,
Inc.
121,646
4,441,295
(619,177)
(12.0)
Hewlett
Packard
Enterprise
Co.
316,472
5,050,893
(56,640)
(1.1)
HP,
Inc.
146,094
3,925,546
(187,046)
(3.6)
International
Paper
Co.
143,175
4,958,150
(207,604)
(4.0)
Jabil,
Inc.
66,557
4,539,187
(217,641)
(4.2)
KB
Home
119,322
3,800,406
83,798
1.6
Knight-Swift
Transportation
Holdings,
Inc.
72,112
3,779,390
(170,905)
(3.3)
ManpowerGroup,
Inc.
71,915
5,984,047
(156,775)
(3.0)
Molson
Coors
Beverage
Co.
114,418
5,894,815
(107,553)
(2.1)
National
Fuel
Gas
Co.
64,590
4,088,547
14,856
0.3
NRG
Energy,
Inc.
130,617
4,156,233
(54,220)
(1.1)
Nu
Skin
Enterprises,
Inc.
118,511
4,996,424
297,463
5.8
Pfizer,
Inc.
101,889
5,220,792
(48,907)
(0.9)
PVH
Corp.
74,714
5,274,061
(210,693)
(4.1)
Robert
Half
International,
Inc.
56,395
4,163,643
46,244
0.9
Schneider
National,
Inc.
198,639
4,648,153
(264,190)
(5.1)
Syneos
Health,
Inc.
121,931
4,472,429
282,880
5.5
Taylor
Morrison
Home
Corp.
180,620
5,481,817
75,860
1.5
Toll
Brothers,
Inc.
100,719
5,027,892
89,850
1.7
Tyson
Foods,
Inc.
81,329
5,062,730
(119,607)
(2.3)
UGI
Corp.
126,789
4,700,068
(163,558)
(3.2)
United
Therapeutics
Corp.
15,056
4,186,923
(35,231)
(0.7)
Viatris,
Inc.
340,249
3,786,971
119,087
2.3
Vishay
Intertechnology,
Inc.
218,716
4,717,704
(115,919)
(2.2)
Werner
Enterprises,
Inc.
101,188
4,073,829
(268,148)
(5.2)
Westrock
Co.
205,942
7,240,921
(148,278)
(2.9)
Short
Positions
Common
Stocks
Singapore
Grab
Holdings
Ltd.
(1,333,091)
(4,292,553)
(264,199)
(5.1)
United
States
American
Airlines
Group,
Inc.
(378,488)
(4,814,367)
306,575
5.9
AptarGroup,
Inc.
(34,299)
(3,772,204)
(65,854)
(1.3)
Aptiv
plc
(42,622)
(3,969,387)
6,393
0.1
Avery
Dennison
Corp.
(23,838)
(4,314,678)
(73,445)
(1.4)
Ball
Corp.
(107,539)
(5,499,544)
260,244
5.0
Freshpet,
Inc.
(68,986)
(3,640,391)
334,736
6.5
Globe
Life,
Inc.
(34,399)
(4,146,799)
(138,628)
(2.7)
NextEra
Energy,
Inc.
(72,887)
(6,093,353)
66,327
1.3
Primerica,
Inc.
(26,865)
(3,809,994)
(49,969)
(1.0)
Public
Service
Enterprise
Group,
Inc.
(97,930)
(6,000,171)
(146,895)
(2.8)
Tesla,
Inc.
(30,005)
(3,696,016)
1,570,058
30.4
Uber
Technologies,
Inc.
(153,939)
(3,806,911)
280,169
5.4
WEC
Energy
Group,
Inc.
(41,708)
(3,910,542)
82,165
1.6
254
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
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.
41-60
months
maturity
ranging
from
04/20/2026
-
11/18/2027
$20,959,453
$(287,309)
$(7,717)
$(295,026)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Luxembourg
Reinet
Investments
SCA
4,621
89,030
(718)
0.2
South
Africa
Absa
Group
Ltd.
41,628
472,712
(5,375)
1.8
African
Rainbow
Minerals
Ltd.
81,403
1,375,505
(34,259)
11.6
Anglo
American
Platinum
Ltd.
1,487
124,100
(1,314)
0.4
Aspen
Pharmacare
Holdings
Ltd.
84,137
672,902
(25,052)
8.5
Exxaro
Resources
Ltd.
123,712
1,586,049
(54,707)
18.5
Foschini
Group
Ltd.
(The)
92,573
545,007
(9,464)
3.2
Impala
Platinum
Holdings
Ltd.
52,256
656,694
(1,640)
0.6
Mr
Price
Group
Ltd.
15,174
140,704
(5,621)
1.9
MTN
Group
Ltd.
58,695
438,378
(13,115)
4.4
MultiChoice
Group
129,210
891,552
(2,662)
0.9
Nedbank
Group
Ltd.
83,100
1,039,676
4,304
(1.5)
Old
Mutual
Ltd.
778,158
477,387
12,083
(4.1)
Pepkor
Holdings
Ltd.
142,065
167,221
(3,930)
1.3
Sasol
Ltd.
35,690
569,564
1,140
(0.4)
Shoprite
Holdings
Ltd.
10,719
142,097
(8,047)
2.7
Sibanye
Stillwater
Ltd.
496,017
1,315,055
(122,967)
41.7
SPAR
Group
Ltd.
(The)
81,781
546,290
(113,108)
38.3
Standard
Bank
Group
Ltd.
60,039
592,384
(6,725)
2.3
Vodacom
Group
Ltd.
32,737
236,406
(12,524)
4.2
Woolworths
Holdings
Ltd.
162,619
633,401
(17,027)
5.8
Short
Positions
Common
Stocks
South
Africa
Bidvest
Group
Ltd.
(The)
(58,563)
(738,929)
21,921
(7.4)
Capitec
Bank
Holdings
Ltd.
(23,240)
(2,529,831)
68,919
(23.4)
Clicks
Group
Ltd.
(45,886)
(729,369)
51,689
(17.5)
Discovery
Ltd.
(153,263)
(1,108,604)
(663)
0.2
FirstRand
Ltd.
(51,147)
(185,822)
(2,591)
0.9
Kumba
Iron
Ore
Ltd.
(13,524)
(390,618)
13,281
(4.5)
Naspers
Ltd.
(11,940)
(1,995,242)
(29,714)
10.1
Northam
Platinum
Holdings
Ltd.
(51,644)
(568,924)
10,577
(3.6)
255
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.45%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
27-61
months
maturity
ranging
from
02/25/2025
-
12/15/2027
$174,810,567
$971,607
$(2,056,161)
$(1,084,554)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
212,466
2,863,740
133,380
(12.3)
Atco
Ltd.
85,676
2,681,646
(3,797)
0.4
Bank
of
Montreal
24,628
2,231,071
46,746
(4.3)
Bank
of
Nova
Scotia
(The)
56,351
2,760,949
77,410
(7.1)
Canadian
Imperial
Bank
of
Commerce
49,025
1,983,087
15,207
(1.4)
Capital
Power
Corp.
118,233
4,045,594
(78,589)
7.2
Cenovus
Energy,
Inc.
124,655
2,418,528
175,843
(16.2)
Empire
Co.
Ltd.
94,659
2,493,013
7,690
(0.7)
Fairfax
Financial
Holdings
Ltd.
4,777
2,829,755
20,604
(1.9)
George
Weston
Ltd.
13,856
1,719,106
(53,111)
4.9
iA
Financial
Corp.,
Inc.
31,934
1,869,578
51,415
(4.7)
Imperial
Oil
Ltd.
72,275
3,520,337
104,623
(9.6)
Loblaw
Cos.
Ltd.
22,123
1,956,105
(50,488)
4.7
Manulife
Financial
Corp.
185,966
3,316,897
32,963
(3.0)
MEG
Energy
Corp.
261,334
3,638,217
362,857
(33.5)
National
Bank
of
Canada
21,586
1,454,425
–
0.0
Northland
Power,
Inc.
150,243
4,120,031
(178,649)
16.5
Nutrien
Ltd.
48,140
3,514,504
(22,755)
2.1
Open
Text
Corp.
61,583
1,824,749
46,847
(4.3)
Suncor
Energy,
Inc.
112,216
3,559,584
194,762
(18.0)
Teck
Resources
Ltd.
83,475
3,154,665
80,762
(7.4)
TFI
International,
Inc.
16,195
1,622,012
(52,269)
4.8
Toronto-Dominion
Bank
(The)
23,912
1,548,276
18,720
(1.7)
Tourmaline
Oil
Corp.
41,720
2,105,104
(82,577)
7.6
West
Fraser
Timber
Co.
Ltd.
68,533
4,948,649
(20,246)
1.9
Whitecap
Resources,
Inc.
521,189
4,134,099
408,021
(37.6)
Chile
Lundin
Mining
Corp.
304,444
1,868,486
(20,236)
1.9
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(41,942)
(1,638,650)
(18,896)
1.7
256
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
Agnico
Eagle
Mines
Ltd.
(56,479)
(2,934,906)
(71,746)
6.6
Air
Canada
(183,667)
(2,630,209)
(73,250)
6.8
Algonquin
Power
&
Utilities
Corp.
(571,590)
(3,723,356)
118,202
(10.9)
Boralex,
Inc.
(51,970)
(1,536,070)
(55,655)
5.1
CAE,
Inc.
(87,538)
(1,693,220)
29,740
(2.7)
Cameco
Corp.
(111,651)
(2,530,701)
(121,216)
11.2
Canadian
Pacific
Railway
Ltd.
(24,102)
(1,796,970)
11,926
(1.1)
CCL
Industries,
Inc.
(43,444)
(1,855,835)
5,134
(0.5)
Constellation
Software,
Inc.
(968)
(1,511,310)
5,541
(0.5)
Element
Fleet
Management
Corp.
(269,138)
(3,667,353)
(23,853)
2.2
Emera,
Inc.
(43,560)
(1,664,867)
(2,252)
0.2
Enbridge,
Inc.
(57,252)
(2,237,648)
(49,049)
4.5
GFL
Environmental,
Inc.
(93,373)
(2,726,712)
(91,718)
8.5
Innergex
Renewable
Energy,
Inc.
(129,136)
(1,545,054)
31,473
(2.9)
Restaurant
Brands
International,
Inc.
(39,735)
(2,569,863)
29,053
(2.7)
Ritchie
Bros
Auctioneers,
Inc.
(39,883)
(2,303,729)
(110,753)
10.2
Rogers
Communications,
Inc.
(56,601)
(2,649,044)
(155,924)
14.4
Shopify,
Inc.
(78,006)
(2,708,318)
84,113
(7.8)
SNC-Lavalin
Group,
Inc.
(89,124)
(1,570,531)
(60,557)
5.6
Thomson
Reuters
Corp.
(41,129)
(4,691,865)
(56,499)
5.2
WSP
Global,
Inc.
(34,165)
(3,963,796)
(48,699)
4.5
United
States
Brookfield
Renewable
Corp.
(58,351)
(1,606,161)
109,462
(10.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-2.40%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
25-62
months
maturity
ranging
from
01/21/2025
-
12/17/2027
$218,643,751
$271,695
$566,941
$838,636
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
27,028
1,902,340
69,571
8.3
Germany
TUI
AG
1,296,385
2,078,864
(62,020)
(7.4)
Italy
Coca-Cola
HBC
AG
195,924
4,631,409
(13,461)
(1.6)
Netherlands
Shell
plc
254,023
7,161,116
137,714
16.4
Nigeria
Airtel
Africa
plc
1,457,223
1,963,607
(27,125)
(3.2)
257
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Africa
Anglo
American
plc
53,332
2,088,475
81,346
9.7
United
Kingdom
abrdn
plc
894,253
2,032,098
14,752
1.8
Associated
British
Foods
plc
263,007
4,986,289
19,718
2.4
BAE
Systems
plc
416,957
4,306,500
53,072
6.3
Barclays
plc
1,637,295
3,115,466
39,862
4.8
Barratt
Developments
plc
630,958
3,013,643
10,512
1.3
BP
plc
543,506
3,135,998
70,102
8.4
British
American
Tobacco
plc
118,165
4,674,389
(85,559)
(10.2)
Britvic
plc
221,836
2,066,780
(85,434)
(10.2)
BT
Group
plc
3,538,260
4,777,624
(38,931)
(4.6)
Centrica
plc
1,833,644
2,132,642
93,644
11.2
DCC
plc
69,874
3,435,841
18,860
2.2
DS
Smith
plc
1,030,686
3,975,771
22,061
2.6
Howden
Joinery
Group
plc
296,116
1,999,488
(13,129)
(1.6)
Imperial
Brands
plc
250,539
6,241,212
(4,362)
(0.5)
International
Distributions
Services
plc
1,260,647
3,231,437
76,635
9.1
J
Sainsbury
plc
730,703
1,916,501
(27,826)
(3.3)
JD
Sports
Fashion
plc
1,788,223
2,717,431
217,226
25.9
Kingfisher
plc
1,033,743
2,937,098
97,680
11.6
Man
Group
plc
850,115
2,187,225
(31,680)
(3.8)
Marks
&
Spencer
Group
plc
2,296,106
3,387,330
49,338
5.9
Standard
Chartered
plc
311,390
2,322,508
(972)
(0.1)
Taylor
Wimpey
plc
1,867,169
2,286,721
34,824
4.2
Tesco
plc
1,160,733
3,128,024
(11,087)
(1.3)
Travis
Perkins
plc
191,922
2,051,874
(19,173)
(2.3)
Vodafone
Group
plc
2,955,552
2,993,140
(18,639)
(2.2)
United
States
GSK
plc
132,477
2,289,631
14,105
1.7
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(570,139)
(7,774,013)
(502,219)
(59.9)
United
Kingdom
Admiral
Group
plc
(72,939)
(1,872,410)
(74,427)
(8.9)
Ashtead
Group
plc
(58,906)
(3,346,143)
40,102
4.8
AstraZeneca
plc
(13,391)
(1,812,062)
(13,782)
(1.6)
AVEVA
Group
plc
(53,039)
(2,052,983)
4,676
0.6
Croda
International
plc
(24,621)
(1,959,304)
18,915
2.3
Diageo
plc
(63,215)
(2,767,039)
11,729
1.4
Experian
plc
(70,508)
(2,387,989)
26,879
3.2
Halma
plc
(132,609)
(3,158,077)
147,673
17.6
Hargreaves
Lansdown
plc
(188,342)
(1,939,538)
(2,300)
(0.3)
Informa
plc
(618,413)
(4,613,215)
(90,051)
(10.7)
National
Grid
plc
(325,867)
(3,903,677)
21,710
2.6
Reckitt
Benckiser
Group
plc
(78,305)
(5,427,818)
13,631
1.6
RELX
plc
(65,216)
(1,803,094)
7,927
0.9
Rentokil
Initial
plc
(801,240)
(4,922,633)
64,024
7.6
Rolls-Royce
Holdings
plc
(3,425,594)
(3,826,303)
(147,108)
(17.5)
Smiths
Group
plc
(120,536)
(2,313,336)
(9,471)
(1.1)
WPP
plc
(352,314)
(3,480,858)
(73,418)
(8.8)
258
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
27-59
months
maturity
ranging
from
02/25/2025
-
11/01/2027
$27,020,753
$(53,953)
$41,512
$(12,441)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
692,100
2,156,152
16,915
(136.0)
Yangzijiang
Shipbuilding
Holdings
Ltd.
6,097,200
6,193,570
(133,971)
1,076.9
Singapore
Genting
Singapore
Ltd.
2,133,700
1,522,733
17,322
(139.2)
Mapletree
Pan
Asia
Commercial
Trust
56,000
69,969
1,401
(11.3)
Oversea-Chinese
Banking
Corp.
Ltd.
153,200
1,393,513
(3,062)
24.6
Singapore
Airlines
Ltd.
644,700
2,661,882
(23,966)
192.6
United
Overseas
Bank
Ltd.
52,800
1,209,429
(11,034)
88.7
UOL
Group
Ltd.
35,200
176,978
374
(3.0)
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(278,700)
(1,713,259)
(11,179)
89.9
DBS
Group
Holdings
Ltd.
(3,300)
(83,528)
512
(4.1)
Keppel
Corp.
Ltd.
(531,000)
(2,879,709)
18,313
(147.2)
Mapletree
Logistics
Trust
(244,900)
(291,213)
(492)
4.0
Singapore
Technologies
Engineering
Ltd.
(603,500)
(1,510,147)
12,796
(102.9)
Singapore
Telecommunications
Ltd.
(2,560,300)
(4,908,846)
61,126
(491.3)
Venture
Corp.
Ltd.
(19,600)
(249,825)
992
(8.0)
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
OBFR
plus
or
minus
a
specified
spread
(-4.50%
to
0.45%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
1-24
months
maturity
ranging
from
01/20/2023
-
12/30/2024
$79,481,960
$(1,581,173)
$3,407,233
$1,826,060
259
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
South
Korea
CJ
Corp.
9,898
661,182
17,127
0.9
CJ
ENM
Co.
Ltd.
8,534
709,182
11,377
0.6
DB
Insurance
Co.
Ltd.
21,653
1,122,382
(30,235)
(1.7)
Doosan
Bobcat,
Inc.
58,537
1,601,646
(36,664)
(2.0)
E-MART,
Inc.
20,421
1,587,749
(61,217)
(3.4)
GS
Holdings
Corp.
37,768
1,310,655
(64,675)
(3.5)
Hana
Financial
Group,
Inc.
39,641
1,320,010
(66,033)
(3.6)
Hankook
Tire
&
Technology
Co.
Ltd.
33,680
831,688
(51,525)
(2.8)
HMM
Co.
Ltd.
113,871
1,774,841
(166,804)
(9.1)
Hyundai
Engineering
&
Construction
Co.
Ltd.
30,760
850,409
7,597
0.4
Hyundai
Glovis
Co.
Ltd.
6,161
799,892
(28,456)
(1.6)
Hyundai
Steel
Co.
25,909
631,502
(30,662)
(1.7)
Industrial
Bank
of
Korea
128,981
1,002,442
(114,899)
(6.3)
Kia
Corp.
86,252
4,058,201
(249,108)
(13.6)
Korea
Investment
Holdings
Co.
Ltd.
42,765
1,814,871
(129,656)
(7.1)
Kumho
Petrochemical
Co.
Ltd.
16,836
1,677,745
(196,493)
(10.8)
LG
Electronics,
Inc.
21,319
1,465,677
(20,143)
(1.1)
LG
Innotek
Co.
Ltd.
4,629
933,570
(57,142)
(3.1)
Lotte
Shopping
Co.
Ltd.
11,885
856,423
22,512
1.2
Mirae
Asset
Securities
Co.
Ltd.
150,654
727,886
(49,263)
(2.7)
NH
Investment
&
Securities
Co.
Ltd.
116,782
812,750
(82,640)
(4.5)
POSCO
Holdings,
Inc.
11,649
2,549,406
(117,262)
(6.4)
Samsung
SDS
Co.
Ltd.
9,895
964,360
(40,217)
(2.2)
Samsung
Securities
Co.
Ltd.
35,334
881,867
(94,582)
(5.2)
SD
Biosensor,
Inc.
42,150
1,009,369
(107,525)
(5.9)
Seegene,
Inc.
39,685
858,646
(9,370)
(0.5)
Woori
Financial
Group,
Inc.
458,765
4,190,970
(394,648)
(21.6)
Short
Positions
Common
Stocks
South
Korea
Amorepacific
Corp.
(6,931)
(758,561)
(35,883)
(2.0)
Celltrion
Healthcare
Co.
Ltd.
(42,517)
(1,964,838)
33,550
1.8
CJ
CheilJedang
Corp.
(2,188)
(658,174)
3,939
0.2
Hanon
Systems
(140,019)
(899,113)
17,468
1.0
Hyundai
Motor
Co.
(12,362)
(1,479,509)
51,731
2.8
Kakao
Corp.
(52,038)
(2,216,608)
(29,940)
(1.6)
KakaoBank
Corp.
(32,555)
(633,350)
7,253
0.4
Korea
Electric
Power
Corp.
(37,381)
(645,530)
(9,602)
(0.5)
L&F
Co.
Ltd.
(9,979)
(1,375,902)
56,526
3.1
LG
Chem
Ltd.
(3,911)
(1,867,617)
27,228
1.5
LG
H&H
Co.
Ltd.
(1,803)
(1,037,752)
(52,549)
(2.9)
NAVER
Corp.
(8,750)
(1,244,434)
(19,977)
(1.1)
Netmarble
Corp.
(12,788)
(615,181)
(94,865)
(5.2)
Pearl
Abyss
Corp.
(18,545)
(618,119)
12,859
0.7
POSCO
Chemical
Co.
Ltd.
(18,359)
(2,622,726)
32,752
1.8
Samsung
Biologics
Co.
Ltd.
(4,182)
(2,719,200)
(24,235)
(1.3)
Samsung
C&T
Corp.
(13,052)
(1,175,871)
46,892
2.6
Samsung
Heavy
Industries
Co.
Ltd.
(311,382)
(1,261,970)
(19,435)
(1.1)
Samsung
SDI
Co.
Ltd.
(5,590)
(2,624,743)
109,857
6.0
SK
Biopharmaceuticals
Co.
Ltd.
(15,703)
(897,843)
(18,864)
(1.0)
260
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Korea
(continued)
SK
IE
Technology
Co.
Ltd.
(29,981)
(1,266,990)
42,188
2.3
SK
Innovation
Co.
Ltd.
(8,108)
(990,528)
32,852
1.8
SKC
Co.
Ltd.
(18,088)
(1,276,437)
39,503
2.2
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
SARON
plus
or
minus
a
specified
spread
(-15.00%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-64
months
maturity
05/19/2023
$71,683,294
$346,585
$(11,578)
$335,007
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
243,789
1,786,151
29,151
8.7
Switzerland
Adecco
Group
AG
(Registered)
110,444
3,633,040
47,328
14.1
Baloise
Holding
AG
(Registered)
10,255
1,581,390
37,567
11.2
BKW
AG
6,841
936,006
2,319
0.7
Bucher
Industries
AG
(Registered)
421
175,696
675
0.2
Cie
Financiere
Richemont
SA
(Registered)
2,463
319,352
4,768
1.4
DKSH
Holding
AG
23,867
1,809,912
(12,411)
(3.7)
Flughafen
Zurich
AG
(Registered)
11,135
1,723,034
(67,670)
(20.2)
Georg
Fischer
AG
(Registered)
18,325
1,122,631
(76)
(0.0)
Helvetia
Holding
AG
(Registered)
12,713
1,479,319
41,175
12.3
Julius
Baer
Group
Ltd.
10,530
612,858
7,467
2.2
Kuehne
+
Nagel
International
AG
(Registered)
3,247
754,871
7,252
2.2
Novartis
AG
(Registered)
38,847
3,515,555
(19,390)
(5.8)
SGS
SA
(Registered)
300
698,802
6,756
2.0
Sonova
Holding
AG
(Registered)
2,884
684,946
10,615
3.2
Sulzer
AG
(Registered)
3,685
286,659
3,504
1.0
Swatch
Group
AG
(The)
12,176
3,460,672
110,675
33.0
Swiss
Life
Holding
AG
(Registered)
2,940
1,515,449
15,641
4.7
Swisscom
AG
(Registered)
3,083
1,688,902
27,453
8.2
Temenos
AG
(Registered)
12,257
674,298
(7,051)
(2.1)
UBS
Group
AG
(Registered)
129,502
2,406,954
60,329
18.0
Zurich
Insurance
Group
AG
2,336
1,116,789
8,979
2.7
United
States
Holcim
AG
10,079
521,722
6,245
1.9
Roche
Holding
AG
4,240
1,332,367
(44,664)
(13.3)
261
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
(33,663)
(1,025,965)
(38)
(0.0)
Alcon,
Inc.
(7,792)
(534,679)
(7,319)
(2.2)
Bachem
Holding
AG
(22,108)
(1,918,321)
69,761
20.8
Banque
Cantonale
Vaudoise
(Registered)
(11,902)
(1,141,127)
6,403
1.9
Barry
Callebaut
AG
(Registered)
(186)
(367,304)
814
0.2
Belimo
Holding
AG
(Registered)
(2,740)
(1,307,194)
(1,867)
(0.6)
Chocoladefabriken
Lindt
&
Spruengli
AG
(158)
(1,610,026)
1,329
0.4
Clariant
AG
(Registered)
(64,753)
(1,028,371)
7,369
2.2
Credit
Suisse
Group
AG
(Registered)
(176,048)
(525,582)
3,523
1.1
Dufry
AG
(Registered)
(19,901)
(829,166)
4,410
1.3
EMS-Chemie
Holding
AG
(Registered)
(2,101)
(1,423,010)
(2,878)
(0.9)
Geberit
AG
(Registered)
(3,147)
(1,485,637)
(13,305)
(4.0)
Givaudan
SA
(Registered)
(850)
(2,603,471)
22,874
6.8
Idorsia
Ltd.
(50,032)
(725,392)
19,691
5.9
Logitech
International
SA
(Registered)
(62,071)
(3,848,989)
(162,255)
(48.4)
Lonza
Group
AG
(Registered)
(1,227)
(602,304)
(12,325)
(3.7)
Partners
Group
Holding
AG
(1,541)
(1,364,531)
3,062
0.9
PSP
Swiss
Property
AG
(Registered)
(913)
(107,252)
(1,995)
(0.6)
Schindler
Holding
AG
(7,115)
(1,338,206)
(5,851)
(1.7)
SIG
Group
AG
(269,572)
(5,890,465)
91,926
27.4
Sika
AG
(Registered)
(7,836)
(1,883,800)
24,671
7.4
Straumann
Holding
AG
(Registered)
(8,847)
(1,014,496)
(34,260)
(10.2)
Swiss
Prime
Site
AG
(Registered)
(1,567)
(135,816)
(2,020)
(0.6)
VAT
Group
AG
(5,258)
(1,443,413)
41,895
12.5
United
States
Nestle
SA
(Registered)
(24,408)
(2,819,354)
29,412
8.8
Swiss
Re
AG
(7,522)
(703,317)
(15,750)
(4.7)
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
CIBOR
plus
or
minus
a
specified
spread
(-1.88%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
16-24
months
maturity
02/21/2024
$51,478,319
$290,738
$(749)
$289,989
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
262
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
2,636
5,900,963
275,538
95.0
Carlsberg
A/S
32,697
4,337,158
47,406
16.3
Danske
Bank
A/S
10,390
204,923
10,189
3.5
Demant
A/S
13,308
371,103
25,032
8.6
GN
Store
Nord
A/S
39,007
900,542
57,434
19.8
H
Lundbeck
A/S
200,817
752,010
(18,095)
(6.2)
H
Lundbeck
A/S
33,443
114,962
(3,779)
(1.3)
ISS
A/S
153,426
3,247,469
849
0.3
Pandora
A/S
36,462
2,577,189
(9,394)
(3.2)
ROCKWOOL
A/S
8,429
1,973,253
104,065
35.9
Royal
Unibrew
A/S
22,606
1,606,617
7,523
2.6
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(24,480)
(314,387)
(2,590)
(0.9)
Chr
Hansen
Holding
A/S
(26,814)
(1,928,806)
48,238
16.6
Coloplast
A/S
(21,181)
(2,481,412)
10,255
3.5
DSV
A/S
(25,138)
(3,975,253)
(36,358)
(12.5)
Genmab
A/S
(1,772)
(749,192)
24,725
8.5
Jyske
Bank
A/S
(Registered)
(6,166)
(399,815)
(16,725)
(5.8)
Novo
Nordisk
A/S
(7,388)
(1,003,405)
(29,229)
(10.1)
Novozymes
A/S
(33,667)
(1,708,052)
28,415
9.8
Orsted
A/S
(78,163)
(7,066,376)
(337)
(0.1)
SimCorp
A/S
(8,379)
(576,919)
(14,966)
(5.2)
Tryg
A/S
(141,454)
(3,361,734)
(47,742)
(16.5)
Vestas
Wind
Systems
A/S
(203,176)
(5,926,779)
(169,716)
(58.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.13%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
12-73
months
maturity
11/13/2023
$415,812,784
$3,116,155
$21,830
$3,137,985
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
263
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
83,620
3,710,378
13,573
0.4
Proximus
SADP
332,601
3,211,216
177,105
5.6
Finland
Nokia
OYJ
624,701
2,902,174
(18,756)
(0.6)
France
AXA
SA
110,289
3,072,159
(28,066)
(0.9)
BNP
Paribas
SA
58,333
3,321,434
61,932
2.0
Bouygues
SA
172,521
5,174,209
16,234
0.5
Carrefour
SA
202,641
3,389,364
(22,741)
(0.7)
Cie
de
Saint-Gobain
145,539
7,119,891
167,663
5.3
Eiffage
SA
49,484
4,867,452
(21,693)
(0.7)
Engie
SA
498,831
7,136,321
(314,747)
(10.0)
Orange
SA
477,467
4,737,486
22,546
0.7
Rexel
SA
246,626
4,877,890
58,555
1.9
Societe
Generale
SA
119,990
3,009,789
133,943
4.3
TotalEnergies
SE
97,339
6,110,281
207,547
6.6
Germany
Deutsche
Bank
AG
(Registered)
630,112
7,083,448
380,233
12.1
HeidelbergCement
AG
70,505
3,995,171
44,963
1.4
HUGO
BOSS
AG
52,249
3,020,523
147,961
4.7
Luxembourg
ArcelorMittal
SA
134,745
3,554,863
87,387
2.8
Netherlands
ASR
Nederland
NV
110,071
5,229,917
126,895
4.0
Koninklijke
Ahold
Delhaize
NV
192,498
5,534,565
(86,738)
(2.8)
NN
Group
NV
101,604
4,154,811
(322,920)
(10.3)
Randstad
NV
74,720
4,565,573
67,271
2.1
Spain
Banco
Bilbao
Vizcaya
Argentaria
SA
475,769
2,865,685
113,498
3.6
Banco
de
Sabadell
SA
3,189,721
2,998,223
1,031
0.0
Repsol
SA
602,200
9,585,231
418,665
13.3
United
States
Signify
NV
124,660
4,196,374
(33,747)
(1.1)
Short
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
(47,583)
(2,865,970)
(2,392)
(0.1)
China
Prosus
NV
(59,207)
(4,087,855)
(34,824)
(1.1)
France
Airbus
SE
(41,859)
(4,977,140)
(6,144)
(0.2)
Dassault
Systemes
SE
(79,851)
(2,871,416)
42,478
1.4
Edenred
(54,517)
(2,967,110)
(203)
(0.0)
Hermes
International
(2,071)
(3,205,603)
72,087
2.3
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(4,921)
(3,580,979)
39,501
1.3
Pernod
Ricard
SA
(15,903)
(3,128,481)
(10,651)
(0.3)
Remy
Cointreau
SA
(17,869)
(3,012,957)
43,677
1.4
Safran
SA
(32,694)
(4,095,054)
(15,070)
(0.5)
Sartorius
Stedim
Biotech
(13,668)
(4,441,664)
(91,894)
(2.9)
Veolia
Environnement
SA
(129,328)
(3,323,010)
23,065
0.7
264
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Germany
Merck
KGaA
(15,987)
(3,084,538)
(15,271)
(0.5)
RWE
AG
(110,677)
(4,892,779)
32,193
1.0
SAP
SE
(39,306)
(4,057,980)
102,827
3.3
Sartorius
AG
(Preference)
(14,115)
(5,573,675)
(444,032)
(14.2)
Siemens
AG
(Registered)
(23,071)
(3,180,368)
(18,741)
(0.6)
Netherlands
Argenx
SE
(14,891)
(5,590,172)
79,712
2.5
IMCD
NV
(27,156)
(3,884,437)
115,477
3.7
South
Korea
Delivery
Hero
SE
(80,511)
(3,863,704)
(187,999)
(6.0)
Spain
Amadeus
IT
Group
SA
(76,999)
(3,994,537)
176,097
5.6
Cellnex
Telecom
SA
(228,561)
(7,581,655)
86,088
2.7
Ferrovial
SA
(268,069)
(7,018,779)
11,606
0.4
United
States
Schneider
Electric
SE
(26,495)
(3,720,816)
21,777
0.7
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.
15-24
months
maturity
02/21/2024
$24,320,007
$218,992
$(5,202)
$213,790
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
76,467
3,358,200
40,165
18.8
Norway
Equinor
ASA
160,185
5,757,093
(156,155)
(73.0)
Leroy
Seafood
Group
ASA
158,358
887,298
45,140
21.1
Norsk
Hydro
ASA
348,692
2,605,555
114,084
53.4
Salmar
ASA
843
33,059
2,151
1.0
United
Kingdom
Subsea
7
SA
139,149
1,611,296
80,867
37.8
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(14,319)
(893,895)
(33,013)
(15.4)
France
Adevinta
ASA
(43,775)
(289,866)
11,297
5.3
265
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
DNB
Bank
ASA
(10,000)
(197,501)
(6,725)
(3.1)
Gjensidige
Forsikring
ASA
(53,693)
(1,053,135)
1,893
0.9
Kongsberg
Gruppen
ASA
(26,705)
(1,136,666)
(25,048)
(11.7)
Mowi
ASA
(63,888)
(1,088,670)
(44,282)
(20.7)
Orkla
ASA
(23,392)
(168,828)
(398)
(0.2)
Schibsted
ASA
(84,367)
(1,599,914)
68,170
31.9
Telenor
ASA
(217,482)
(2,031,929)
(40,653)
(19.0)
TOMRA
Systems
ASA
(95,285)
(1,607,102)
161,499
75.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-1.88%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-24
months
maturity
02/21/2024
$67,159,154
$201,326
$(6,308)
$195,018
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
7,436
79,654
2,991
1.5
Guatemala
Millicom
International
Cellular
SA
86,740
1,098,963
(13,669)
(7.0)
Sweden
Billerud
AB
136,252
1,662,092
(151,580)
(77.7)
Boliden
AB
42,105
1,581,556
(5,625)
(2.9)
Castellum
AB
8,460
102,454
3,908
2.0
Elekta
AB
106,399
641,794
29,188
15.0
Embracer
Group
AB
375,576
1,705,095
492
0.3
Essity
AB
144,579
3,786,118
(37,972)
(19.5)
Fastighets
AB
Balder
15,644
73,015
2,402
1.2
Getinge
AB
29,736
618,229
8,967
4.6
H
&
M
Hennes
&
Mauritz
AB
100,894
1,087,277
4,742
2.4
Saab
AB
52,960
2,087,025
22,393
11.5
Securitas
AB
392,062
3,271,545
132,749
68.1
Skandinaviska
Enskilda
Banken
AB
15,150
174,420
3,172
1.6
Skanska
AB
181,495
2,877,147
37,714
19.3
SKF
AB
50,150
765,967
(3,475)
(1.8)
SSAB
AB
709,870
3,697,755
31,004
15.9
Swedbank
AB
12,961
220,455
5,573
2.9
Swedish
Orphan
Biovitrum
AB
34,234
708,540
(13,879)
(7.1)
Telefonaktiebolaget
LM
Ericsson
474,186
2,778,451
(5,358)
(2.7)
Telia
Co.
AB
316,987
809,987
10,142
5.2
Trelleborg
AB
37,528
866,845
(32,617)
(16.7)
266
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Volvo
AB
39,284
709,610
(5,681)
(2.9)
Volvo
Car
AB
514,034
2,340,611
32,720
16.8
United
States
Sinch
AB
269,023
991,452
4,676
2.4
Short
Positions
Common
Stocks
Sweden
AAK
AB
(9,055)
(154,628)
1,093
0.6
Alfa
Laval
AB
(46,930)
(1,357,560)
(8,331)
(4.3)
Assa
Abloy
AB
(114,162)
(2,455,541)
56,387
28.9
Atlas
Copco
AB
(147,491)
(1,747,532)
40,760
20.9
Axfood
AB
(19,352)
(530,646)
(7,661)
(3.9)
Beijer
Ref
AB
(112,494)
(1,588,478)
31,847
16.3
Electrolux
AB
(57,822)
(781,229)
(5,455)
(2.8)
Epiroc
AB
(127,814)
(2,327,379)
28,058
14.4
EQT
AB
(243,495)
(5,173,119)
(135,139)
(69.3)
Evolution
AB
(5,385)
(524,523)
(12,850)
(6.6)
Hexagon
AB
(296,171)
(3,105,380)
97,627
50.1
Hexpol
AB
(15,827)
(168,874)
2,822
1.4
Holmen
AB
(44,208)
(1,757,047)
(3,530)
(1.8)
Husqvarna
AB
(6,140)
(43,124)
(240)
(0.1)
Indutrade
AB
(54,912)
(1,113,588)
8,875
4.6
Lifco
AB
(83,299)
(1,394,284)
(14,063)
(7.2)
Nibe
Industrier
AB
(524,322)
(4,893,907)
50,417
25.9
Sandvik
AB
(7,541)
(136,278)
19
0.0
Svenska
Cellulosa
AB
SCA
(177,173)
(2,243,838)
17,761
9.1
Svenska
Handelsbanken
AB
(17,156)
(172,727)
(2,808)
(1.4)
Sweco
AB
(33,539)
(321,620)
(7,920)
(4.1)
Tele2
AB
(52,930)
(431,795)
680
0.3
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
(-23.38%
to
0.40%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
4-24
months
maturity
ranging
from
04/19/2023
-
04/20/2023
$66,420,517
$74,575
$397,210
$471,785
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
267
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Banco
do
Brasil
SA
522,900
3,382,862
134,817
28.6
Klabin
SA
171,100
646,362
9,648
2.0
Petro
Rio
SA
73,700
519,125
22,012
4.7
Petroleo
Brasileiro
SA
(Preference)
618,000
2,867,322
259,980
55.1
TIM
SA/Brazil
633,800
1,484,096
2,525
0.5
Vibra
Energia
SA
373,000
1,093,639
52,969
11.2
Taiwan
ASE
Technology
Holding
Co.
Ltd.
229,000
695,789
(18,073)
(3.8)
AUO
Corp.
2,198,800
1,068,167
(1,549)
(0.3)
Catcher
Technology
Co.
Ltd.
345,000
1,894,704
(2,520)
(0.5)
CTBC
Financial
Holding
Co.
Ltd.
1,707,000
1,224,916
144
0.0
Evergreen
Marine
Corp.
Taiwan
Ltd.
376,000
1,987,241
5,195
1.1
Innolux
Corp.
2,258,815
811,907
(11,205)
(2.4)
Nanya
Technology
Corp.
711,000
1,180,728
(61,674)
(13.1)
Novatek
Microelectronics
Corp.
76,000
776,927
12,770
2.7
Pegatron
Corp.
428,000
883,095
(5,433)
(1.2)
Pou
Chen
Corp.
752,000
835,845
20,978
4.4
Powerchip
Semiconductor
Manufacturing
Corp.
570,000
588,030
(22,155)
(4.7)
Realtek
Semiconductor
Corp.
52,000
472,888
(24,575)
(5.2)
United
Microelectronics
Corp.
667,000
876,361
(55,838)
(11.8)
Walsin
Lihwa
Corp.
384,000
589,203
2,582
0.5
Winbond
Electronics
Corp.
1,476,000
937,310
(71,238)
(15.1)
Yang
Ming
Marine
Transport
Corp.
665,000
1,412,618
21,239
4.5
United
States
JBS
SA
528,900
2,209,880
175,890
37.3
Short
Positions
Common
Stocks
Brazil
B3
SA
-
Brasil
Bolsa
Balcao
(408,300)
(1,020,188)
(89,590)
(19.0)
Banco
BTG
Pactual
SA
(289,000)
(1,307,281)
(104,896)
(22.2)
Cia
Siderurgica
Nacional
SA
(192,300)
(524,148)
(30,033)
(6.4)
Cosan
SA
(405,200)
(1,313,141)
(76,430)
(16.2)
Equatorial
Energia
SA
(101,906)
(521,972)
(11,923)
(2.5)
Localiza
Rent
a
Car
SA
(158,900)
(1,577,838)
(28,865)
(6.1)
Raia
Drogasil
SA
(116,700)
(525,575)
(21,560)
(4.6)
Rede
D'Or
Sao
Luiz
SA
(92,400)
(516,158)
(59,785)
(12.7)
Rumo
SA
(456,200)
(1,611,396)
(96,082)
(20.4)
Suzano
SA
(82,500)
(761,730)
(2,301)
(0.5)
TOTVS
SA
(151,900)
(792,030)
(29,173)
(6.2)
WEG
SA
(195,100)
(1,417,263)
(15,235)
(3.2)
China
Silergy
Corp.
(35,000)
(494,372)
42,608
9.0
Taiwan
Advantech
Co.
Ltd.
(85,000)
(910,133)
27,485
5.8
Chailease
Holding
Co.
Ltd.
(247,130)
(1,741,077)
11,964
2.5
China
Development
Financial
Holding
Corp.
(1,195,000)
(489,034)
4,859
1.0
China
Steel
Corp.
(1,777,000)
(1,721,890)
(85,451)
(18.1)
Chunghwa
Telecom
Co.
Ltd.
(387,000)
(1,423,239)
(19,164)
(4.1)
Delta
Electronics,
Inc.
(180,000)
(1,668,598)
29,954
6.3
E.Sun
Financial
Holding
Co.
Ltd.
(2,707,955)
(2,114,531)
26,649
5.6
eMemory
Technology,
Inc.
(12,000)
(518,214)
55,780
11.8
First
Financial
Holding
Co.
Ltd.
(568,940)
(490,038)
(3,139)
(0.7)
Formosa
Petrochemical
Corp.
(347,000)
(905,784)
893
0.2
268
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Taiwan
(continued)
Mega
Financial
Holding
Co.
Ltd.
(928,125)
(914,322)
11,288
2.4
Taiwan
Cooperative
Financial
Holding
Co.
Ltd.
(1,285,270)
(1,085,958)
7,678
1.6
Win
Semiconductors
Corp.
(204,000)
(904,226)
68,242
14.5
Yuanta
Financial
Holding
Co.
Ltd.
(779,860)
(549,591)
11,198
2.4
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BANA
Investment
Companies
$
170,000
$
–
$
170,000
BARC
Cash
–
64,076,639
64,076,639
CITG
Cash
–
13,651,596
13,651,596
CITI
Cash
1,670,000
–
1,670,000
Investment
Companies
15,446,433
–
15,446,433
GSCO
Cash
–
29,614,905
29,614,905
GSIN
Cash
(14,532,331)
–
(14,532,331)
U.S.
Treasury
Bills
107,725,656
–
107,725,656
JPMC
U.S.
Treasury
Bills
52,583,628
–
52,583,628
JPMS
Cash
–
2,878,410
2,878,410
MLIN
Cash
297,630
–
297,630
MSCL
Cash
–
9,596,445
9,596,445
MSIP
Cash
(4,157,543)
–
(4,157,543)
U.S.
Treasury
Bills
46,061,099
–
46,061,099
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
2,576,822
$
2,576,822
MSCL
Cash
–
15,401,514
15,401,514
269
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
59.9%
INVESTMENT
COMPANIES
-
30.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares
,
3.94%
(1)(a)(b)
100,730
100,730
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(a)
7,419,947
7,416,979
TOTAL
INVESTMENT
COMPANIES
(Cost
$7,515,456)
7,517,709
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
29.5%
U.S.
Treasury
Bills
2.53%,
1/5/2023
(c)
$
2,145,000
2,144,567
4.63%,
5/25/2023
(c)
1,738,000
1,707,072
4.66%,
6/1/2023
(c)
1,628,000
1,597,661
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
29.5%
(continued)
4.71%,
6/29/2023
(c)
$
1,878,000
1,836,426
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$7,282,957)
7,285,726
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$14,798,413)
14,803,435
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
59.9%
(Cost
$14,798,413)
14,803,435
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
40.1%
(d)
9,929,177
NET
ASSETS
-
100.0%
24,732,612
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
7,517,709
30.4
U.S.
Treasury
Obligations
7,285,726
29.5
Total
Investments
In
Securities
At
Value
$
14,803,435
59.9
Other
Assets
in
Excess
of
Liabilities
(d)
9,929,177
40.1
Net
Assets
$
24,732,612
100.0%
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
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
(See
Note
5).
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
148,216
USD
99,813
CITI
3/15/2023
$
1,387
AUD
148,211
USD
99,795
JPMC
3/15/2023
1,403
CAD
7,000
USD
5,142
CITI
3/15/2023
31
CAD
7,000
USD
5,142
JPMC
3/15/2023
31
CHF
162,503
USD
173,686
CITI
3/15/2023
3,415
CHF
162,497
USD
173,680
JPMC
3/15/2023
3,415
DKK
338,500
USD
47,199
CITI
3/15/2023
1,793
DKK
338,500
USD
47,199
JPMC
3/15/2023
1,793
EUR
521,502
USD
546,151
CITI
3/15/2023
14,796
EUR
521,498
USD
546,146
JPMC
3/15/2023
14,797
GBP
104,500
USD
125,299
CITI
3/15/2023
1,258
GBP
104,500
USD
125,299
JPMC
3/15/2023
1,258
HKD
303,000
USD
38,819
CITI
3/15/2023
52
HKD
303,000
USD
38,819
JPMC
3/15/2023
52
JPY
50,140,502
USD
369,242
CITI
3/15/2023
16,449
JPY
50,140,498
USD
369,241
JPMC
3/15/2023
16,449
NOK
113,145
USD
11,387
CITI
3/15/2023
197
NOK
113,140
USD
11,386
JPMC
3/15/2023
197
NZD
3,750
USD
2,350
CITI
3/15/2023
33
NZD
3,750
USD
2,350
JPMC
3/15/2023
33
270
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
SEK
583,000
USD
55,390
CITI
3/15/2023
$
706
SEK
583,000
USD
55,390
JPMC
3/15/2023
706
SGD
129,501
USD
94,183
CITI
3/15/2023
2,613
SGD
129,499
USD
94,181
JPMC
3/15/2023
2,612
Total
unrealized
appreciation
85,476
AUD
54,287
USD
37,084
CITI
3/15/2023
(17)
AUD
54,286
USD
37,083
JPMC
3/15/2023
(17)
CAD
278,500
USD
208,361
CITI
3/15/2023
(2,563)
CAD
278,500
USD
208,362
JPMC
3/15/2023
(2,563)
GBP
109,500
USD
133,235
CITI
3/15/2023
(623)
GBP
109,500
USD
133,235
JPMC
3/15/2023
(622)
HKD
73,000
USD
9,386
CITI
3/15/2023
(21)
HKD
73,000
USD
9,386
JPMC
3/15/2023
(21)
ILS
43,500
USD
12,724
CITI
3/15/2023
(301)
ILS
43,500
USD
12,724
JPMC
3/15/2023
(301)
NOK
18,858
USD
1,941
CITI
3/15/2023
(9)
NOK
18,857
USD
1,941
JPMC
3/15/2023
(9)
NZD
1,250
USD
801
CITI
3/15/2023
(7)
NZD
1,250
USD
801
JPMC
3/15/2023
(7)
SEK
22,000
USD
2,133
CITI
3/15/2023
(16)
SEK
22,000
USD
2,133
JPMC
3/15/2023
(16)
USD
2,316
JPY
313,000
CITI
3/15/2023
(91)
USD
2,316
JPY
313,000
JPMC
3/15/2023
(91)
USD
304
NOK
3,000
CITI
3/15/2023
(4)
USD
304
NOK
3,000
JPMC
3/15/2023
(4)
Total
unrealized
depreciation
(7,303)
Net
unrealized
appreciation
$
78,173
Total
Return
Basket
Swaps
Outstanding
at
December
31,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.20%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
12/18/2026
-
01/05/2028
$23,112,310
$362,966
$26,593
$389,559
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
271
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Dai-ichi
Life
Holdings,
Inc.
8,300
187,442
22,631
5
.8
Fukuoka
Financial
Group,
Inc.
7,200
163,568
18,887
4
.8
Honda
Motor
Co.
Ltd.
11,300
257,742
(20,218)
(5
.2)
IHI
Corp.
5,500
159,326
285
0
.1
Japan
Post
Bank
Co.
Ltd.
19,000
162,886
14,241
3
.7
Japan
Post
Holdings
Co.
Ltd.
18,900
159,024
7,986
2
.1
Japan
Post
Insurance
Co.
Ltd.
7,600
133,662
6,837
1
.8
KDDI
Corp.
9,200
279,007
(2,353)
(0
.6)
Mazda
Motor
Corp.
37,500
281,102
(22,350)
(5
.7)
Mitsubishi
HC
Capital,
Inc.
27,600
135,752
1,555
0
.4
Mitsubishi
Heavy
Industries
Ltd.
3,900
154,115
(7,187)
(1
.8)
Mitsubishi
Motors
Corp.
77,000
292,415
(41,617)
(10
.7)
Mizuho
Financial
Group,
Inc.
44,600
628,338
54,702
14
.0
MS&AD
Insurance
Group
Holdings,
Inc.
4,100
131,076
7,458
1
.9
NGK
Spark
Plug
Co.
Ltd.
9,300
170,442
(10,977)
(2
.8)
NH
Foods
Ltd.
5,000
139,595
(606)
(0
.2)
NIPPON
EXPRESS
HOLDINGS,
Inc.
2,600
148,485
(11,985)
(3
.1)
Obayashi
Corp.
20,500
154,849
(3,078)
(0
.8)
Ryohin
Keikaku
Co.
Ltd.
11,600
137,147
5,348
1
.4
SCREEN
Holdings
Co.
Ltd.
3,400
216,809
(25,937)
(6
.7)
Seiko
Epson
Corp.
10,000
145,490
(12,922)
(3
.3)
Shimamura
Co.
Ltd.
1,700
169,412
5,293
1
.4
Shin-Etsu
Chemical
Co.
Ltd.
1,900
232,013
(16,634)
(4
.3)
Sumitomo
Mitsui
Financial
Group,
Inc.
3,700
148,860
18,089
4
.6
Suntory
Beverage
&
Food
Ltd.
4,000
136,209
(4,061)
(1
.0)
Toyo
Suisan
Kaisha
Ltd.
3,600
138,693
(9,950)
(2
.6)
Yamada
Holdings
Co.
Ltd.
46,200
163,999
(1,805)
(0
.5)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(7,100)
(149,920)
3,082
0
.8
ANA
Holdings,
Inc.
(7,200)
(152,481)
6,809
1
.7
Asahi
Intecc
Co.
Ltd.
(8,700)
(141,917)
27,668
7
.1
Bridgestone
Corp.
(4,500)
(159,332)
11,936
3
.1
Capcom
Co.
Ltd.
(4,700)
(150,026)
6,524
1
.7
Chiba
Bank
Ltd.
(The)
(18,700)
(136,438)
(18,395)
(4
.7)
Daiichi
Sankyo
Co.
Ltd.
(4,700)
(151,277)
6,062
1
.6
Daikin
Industries
Ltd.
(900)
(136,542)
13,092
3
.4
Denso
Corp.
(4,600)
(225,583)
25,695
6
.6
JSR
Corp.
(11,100)
(217,352)
27,332
7
.0
Kansai
Electric
Power
Co.,
Inc.
(The)
(17,300)
(167,998)
(11,165)
(2
.9)
Keyence
Corp.
(400)
(155,298)
17,210
4
.4
Kobe
Bussan
Co.
Ltd.
(6,800)
(195,984)
(8,938)
(2
.3)
272
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Kubota
Corp.
(13,200)
(180,331)
19,824
5
.1
Kurita
Water
Industries
Ltd.
(3,400)
(140,436)
11,099
2
.8
Lasertec
Corp.
(1,400)
(228,579)
53,455
13
.7
Mitsubishi
UFJ
Financial
Group,
Inc.
(28,900)
(194,018)
(24,901)
(6
.4)
Nidec
Corp.
(4,200)
(216,128)
44,259
11
.4
Nippon
Paint
Holdings
Co.
Ltd.
(27,900)
(219,129)
33,252
8
.5
Obic
Co.
Ltd.
(1,200)
(176,171)
13,176
3
.4
Toyota
Motor
Corp.
(26,300)
(358,799)
28,142
7
.2
Unicharm
Corp.
(4,300)
(164,631)
5,063
1
.3
Yaskawa
Electric
Corp.
(5,700)
(181,861)
17,536
4
.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-5.35%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
12/18/2026
-
01/03/2028
$58,498,557
$9,965
$86,194
$96,159
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
3M
Co.
1,876
224,970
(9,391)
(9
.8)
Adobe,
Inc.
753
253,407
4,395
4
.6
Allison
Transmission
Holdings,
Inc.
4,363
181,501
(3,726)
(3
.9)
Alphabet,
Inc.
3,231
285,071
(14,838)
(15
.4)
Amazon.com,
Inc.
3,796
318,864
(17,161)
(17
.8)
American
International
Group,
Inc.
3,155
199,522
2,266
2
.4
Apple,
Inc.
3,014
391,609
(36,861)
(38
.3)
Arrow
Electronics,
Inc.
1,490
155,809
(3,355)
(3
.5)
AT&T,
Inc.
9,466
174,269
(6,014)
(6
.3)
Bank
of
America
Corp.
4,661
154,372
1,987
2
.1
Booking
Holdings,
Inc.
110
221,681
(517)
(0
.5)
Cardinal
Health,
Inc.
2,041
156,892
(1,125)
(1
.2)
Cigna
Corp.
641
212,389
(500)
(0
.5)
Cisco
Systems,
Inc.
5,587
266,165
(4,581)
(4
.8)
Citigroup,
Inc.
6,683
302,272
1,040
1
.1
CNO
Financial
Group,
Inc.
7,639
174,551
3,743
3
.9
273
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Coca-Cola
Co.
(The)
4,864
309,399
2,136
2
.2
CVS
Health
Corp.
2,588
241,176
(18,310)
(19
.0)
EMCOR
Group,
Inc.
1,335
197,727
(607)
(0
.6)
Expedia
Group,
Inc.
2,275
199,290
(14,788)
(15
.4)
General
Motors
Co.
5,342
179,705
(22,642)
(23
.5)
Halliburton
Co.
4,782
188,172
29,467
30
.6
Intel
Corp.
8,655
228,752
(13,521)
(14
.1)
Kroger
Co.
(The)
5,537
246,839
(8,989)
(9
.3)
ManpowerGroup,
Inc.
2,105
175,157
(4,589)
(4
.8)
Marathon
Petroleum
Corp.
2,119
246,630
19,901
20
.7
Medtronic
plc
2,265
176,036
(1,971)
(2
.0)
Microsoft
Corp.
2,421
580,604
(13,362)
(13
.9)
Mosaic
Co.
(The)
3,752
164,600
(9,272)
(9
.6)
NiSource,
Inc.
5,637
154,567
118
0
.1
Owens
Corning
1,982
169,065
(13,631)
(14
.2)
Pfizer,
Inc.
5,350
274,134
(2,568)
(2
.7)
Textron,
Inc.
2,451
173,531
(2,230)
(2
.3)
Toll
Brothers,
Inc.
3,158
157,647
2,416
2
.5
Tyson
Foods,
Inc.
4,315
268,609
(6,323)
(6
.6)
Valero
Energy
Corp.
1,452
184,201
17,329
18
.0
Vishay
Intertechnology,
Inc.
8,704
187,745
(4,613)
(4
.8)
Wells
Fargo
&
Co.
5,073
209,464
(6,405)
(6
.7)
Westrock
Co.
5,575
196,017
(4,044)
(4
.2)
Short
Positions
Common
Stocks
United
States
Ameren
Corp.
(2,134)
(189,755)
103
0
.1
Commerce
Bancshares,
Inc.
(2,397)
(163,164)
(2,594)
(2
.7)
DR
Horton,
Inc.
(1,950)
(173,823)
(5,980)
(6
.2)
Equifax,
Inc.
(866)
(168,316)
2,676
2
.8
First
Financial
Bankshares,
Inc.
(4,504)
(154,938)
5,163
5
.4
Honeywell
International,
Inc.
(857)
(183,655)
(2,240)
(2
.3)
Kohl's
Corp.
(7,043)
(177,836)
7,074
7
.4
McCormick
&
Co.,
Inc.
(Non-Voting)
(2,040)
(169,096)
4,537
4
.7
Monster
Beverage
Corp.
(1,544)
(156,762)
(2,301)
(2
.4)
Realty
Income
Corp.
(2,886)
(183,059)
2,944
3
.1
Vistra
Corp.
(6,785)
(157,412)
4,224
4
.4
274
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
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
(-1.00%
to
0.30%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
12/30/2024
$2,849,124
$(17,865)
$9,110
$(8,755)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
2,462
18,651
(123)
1
.4
Ampol
Ltd.
3,299
63,415
(1,565)
17
.9
ANZ
Group
Holdings
Ltd.
9,143
147,284
(184)
2
.1
APA
Group
2,973
21,731
(778)
8
.9
Aristocrat
Leisure
Ltd.
2,599
53,554
(1,159)
13
.2
Atlas
Arteria
Ltd.
5,204
23,436
382
(4
.4)
Aurizon
Holdings
Ltd.
54,251
137,442
(704)
8
.0
BlueScope
Steel
Ltd.
11,530
131,410
(1,387)
15
.8
Brambles
Ltd.
6,245
51,213
(448)
5
.1
Cochlear
Ltd.
400
55,243
266
(3
.0)
Coles
Group
Ltd.
8,110
91,932
(1,219)
13
.9
Evolution
Mining
Ltd.
8,766
17,922
(49)
0
.6
Fortescue
Metals
Group
Ltd.
1,945
27,186
(280)
3
.2
Harvey
Norman
Holdings
Ltd.
25,729
72,093
(255)
2
.9
Incitec
Pivot
Ltd.
48,944
124,593
(1,650)
18
.9
JB
Hi-Fi
Ltd.
5,113
145,729
(1,363)
15
.6
Newcrest
Mining
Ltd.
2,257
31,648
(361)
4
.1
Orica
Ltd.
2,138
21,860
(292)
3
.3
Qantas
Airways
Ltd.
11,753
47,573
(1,005)
11
.5
QBE
Insurance
Group
Ltd.
2,495
22,634
(27)
0
.3
Qube
Holdings
Ltd.
27,372
52,213
(157)
1
.8
Sonic
Healthcare
Ltd.
6,568
133,666
453
(5
.2)
Suncorp
Group
Ltd.
8,406
68,499
(294)
3
.4
Telstra
Group
Ltd.
33,191
89,763
(855)
9
.8
Westpac
Banking
Corp.
4,094
64,814
(642)
7
.3
Worley
Ltd.
1,116
11,384
(257)
2
.9
United
States
Computershare
Ltd.
4,092
72,085
(1,494)
17
.1
275
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Australia
Alumina
Ltd.
(35,584)
(36,737)
634
(7
.2)
carsales.com
Ltd.
(1,730)
(24,346)
(57)
0
.6
Cleanaway
Waste
Management
Ltd.
(39,497)
(70,377)
589
(6
.7)
Commonwealth
Bank
of
Australia
(1,109)
(77,025)
822
(9
.4)
Domino's
Pizza
Enterprises
Ltd.
(2,378)
(107,091)
(3,179)
36
.3
Endeavour
Group
Ltd.
(4,432)
(19,288)
206
(2
.3)
IDP
Education
Ltd.
(4,388)
(80,867)
(438)
5
.0
IGO
Ltd.
(2,578)
(23,582)
(97)
1
.1
Insurance
Australia
Group
Ltd.
(5,838)
(18,767)
34
(0
.4)
Lendlease
Corp.
Ltd.
(4,100)
(21,763)
(297)
3
.4
Lynas
Rare
Earths
Ltd.
(8,985)
(47,365)
25
(0
.3)
Macquarie
Group
Ltd.
(397)
(44,817)
588
(6
.7)
Medibank
Pvt
Ltd.
(16,883)
(33,682)
227
(2
.6)
Mineral
Resources
Ltd.
(636)
(33,362)
384
(4
.4)
Pro
Medicus
Ltd.
(1,332)
(49,784)
(375)
4
.3
REA
Group
Ltd.
(658)
(49,486)
(475)
5
.4
Reece
Ltd.
(4,458)
(42,613)
(693)
7
.9
Seven
Group
Holdings
Ltd.
(1,238)
(17,608)
(26)
0
.3
Wesfarmers
Ltd.
(1,058)
(32,996)
226
(2
.6)
WiseTech
Global
Ltd.
(553)
(19,019)
135
(1
.5)
Woolworths
Group
Ltd.
(899)
(20,529)
306
(3
.5)
United
States
CSL
Ltd.
(369)
(71,953)
(208)
2
.4
James
Hardie
Industries
plc
(925)
(16,648)
(192)
2
.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.86%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
01/25/2023
-
02/26/2024
$3,990,916
$(234)
$(8,365)
$(8,599)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
276
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
2,524
79,001
(280)
3
.3
Bank
of
Montreal
1,488
134,799
553
(6
.4)
Bank
of
Nova
Scotia
(The)
4,029
197,403
2,465
(28
.7)
Barrick
Gold
Corp.
4,246
72,784
(659)
7
.7
Canadian
Imperial
Bank
of
Commerce
2,741
110,875
1,391
(16
.2)
Canadian
National
Railway
Co.
443
52,623
(510)
5
.9
Canadian
Tire
Corp.
Ltd.
495
51,730
406
(4
.7)
Canadian
Utilities
Ltd.
1,445
39,113
(181)
2
.1
Cogeco
Communications,
Inc.
752
42,649
1,823
(21
.2)
Empire
Co.
Ltd.
2,064
54,359
(111)
1
.3
Enbridge,
Inc.
1,460
57,063
83
(1
.0)
Finning
International,
Inc.
3,336
82,932
616
(7
.2)
George
Weston
Ltd.
756
93,796
(1,401)
16
.3
iA
Financial
Corp.,
Inc.
1,017
59,540
901
(10
.5)
Loblaw
Cos.
Ltd.
711
62,866
(1,129)
13
.1
National
Bank
of
Canada
1,119
75,396
174
(2
.0)
Nutrien
Ltd.
1,803
131,630
(892)
10
.4
Onex
Corp.
1,110
53,524
1,582
(18
.4)
Open
Text
Corp.
2,222
65,839
1,140
(13
.3)
Parkland
Corp.
3,007
65,981
60
(0
.7)
Pembina
Pipeline
Corp.
3,002
101,900
560
(6
.5)
Ritchie
Bros
Auctioneers,
Inc.
626
36,159
(30)
0
.3
SSR
Mining,
Inc.
2,575
40,299
(323)
3
.8
Sun
Life
Financial,
Inc.
2,371
110,057
55
(0
.6)
TC
Energy
Corp.
1,516
60,438
(514)
6
.0
Toromont
Industries
Ltd.
840
60,618
403
(4
.7)
West
Fraser
Timber
Co.
Ltd.
1,614
116,544
(443)
5
.2
Chile
Lundin
Mining
Corp.
10,511
64,510
(233)
2
.7
Short
Positions
Common
Stocks
Canada
BCE,
Inc.
(1,479)
(64,982)
(459)
5
.3
BlackBerry
Ltd.
(10,756)
(35,032)
(569)
6
.6
Brookfield
Corp.
(1,159)
(36,448)
(265)
3
.1
Cameco
Corp.
(1,602)
(36,311)
(141)
1
.6
Canadian
Pacific
Railway
Ltd.
(1,029)
(76,719)
327
(3
.8)
Capital
Power
Corp.
(1,095)
(37,468)
485
(5
.6)
Constellation
Software,
Inc.
(39)
(60,890)
73
(0
.8)
Dollarama,
Inc.
(1,164)
(68,078)
1,332
(15
.5)
Element
Fleet
Management
Corp.
(3,768)
(51,344)
(406)
4
.7
Emera,
Inc.
(1,930)
(73,765)
358
(4
.2)
Franco-Nevada
Corp.
(403)
(54,935)
470
(5
.5)
277
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
GFL
Environmental,
Inc.
(2,247)
(65,618)
(979)
11
.4
Intact
Financial
Corp.
(302)
(43,473)
413
(4
.8)
Lithium
Americas
Corp.
(1,940)
(36,780)
(318)
3
.7
Restaurant
Brands
International,
Inc.
(1,081)
(69,914)
248
(2
.9)
Rogers
Communications,
Inc.
(2,576)
(120,562)
(2,644)
30
.7
Royal
Bank
of
Canada
(658)
(61,864)
199
(2
.3)
Thomson
Reuters
Corp.
(676)
(77,116)
(549)
6
.4
TMX
Group
Ltd.
(381)
(38,134)
(270)
3
.1
WSP
Global,
Inc.
(342)
(39,679)
(556)
6
.5
United
States
Brookfield
Renewable
Corp.
(1,581)
(43,518)
(280)
3
.3
BRP,
Inc.
(754)
(57,486)
(473)
5
.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
SARON
plus
or
minus
a
specified
spread
(-7.00%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
01/27/2025
$2,808,669
$(4,663)
$17,811
$13,148
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
3,382
24,779
236
1
.8
Switzerland
ABB
Ltd.
(Registered)
4,795
146,140
(1,706)
(13
.0)
Adecco
Group
AG
(Registered)
1,001
32,928
(444)
(3
.4)
Baloise
Holding
AG
(Registered)
186
28,682
(289)
(2
.2)
Barry
Callebaut
AG
(Registered)
39
77,015
(88)
(0
.7)
Clariant
AG
(Registered)
3,167
50,297
(390)
(3
.0)
DKSH
Holding
AG
715
54,221
(567)
(4
.3)
Galenica
AG
133
10,852
13
0
.1
Georg
Fischer
AG
(Registered)
263
16,112
(143)
(1
.1)
Helvetia
Holding
AG
(Registered)
491
57,134
(575)
(4
.4)
Julius
Baer
Group
Ltd.
285
16,587
(72)
(0
.5)
Kuehne
+
Nagel
International
AG
(Registered)
317
73,697
(423)
(3
.2)
Lonza
Group
AG
(Registered)
6
2,945
11
0
.1
278
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Novartis
AG
(Registered)
3,721
336,741
(4,433)
(33
.7)
OC
Oerlikon
Corp.
AG
(Registered)
367
2,407
9
0
.1
SGS
SA
(Registered)
9
20,964
18
0
.1
Sonova
Holding
AG
(Registered)
386
91,675
1,221
9
.3
Sulzer
AG
(Registered)
78
6,068
(52)
(0
.4)
Swiss
Life
Holding
AG
(Registered)
60
30,928
(229)
(1
.7)
Swisscom
AG
(Registered)
32
17,530
(78)
(0
.6)
Temenos
AG
(Registered)
1,508
82,960
825
6
.3
UBS
Group
AG
(Registered)
4,881
90,719
(1,025)
(7
.8)
United
States
Roche
Holding
AG
638
200,484
(1,825)
(13
.9)
Swiss
Re
AG
447
41,795
(601)
(4
.6)
Short
Positions
Common
Stocks
Switzerland
Alcon,
Inc.
(197)
(13,518)
(70)
(0
.5)
Bachem
Holding
AG
(1,153)
(100,046)
(670)
(5
.1)
Belimo
Holding
AG
(Registered)
(34)
(16,221)
(49)
(0
.4)
BKW
AG
(242)
(33,111)
195
1
.5
Chocoladefabriken
Lindt
&
Spruengli
AG
(1)
(10,190)
115
0
.9
Cie
Financiere
Richemont
SA
(Registered)
(457)
(59,255)
338
2
.6
Credit
Suisse
Group
AG
(Registered)
(24,136)
(72,057)
2,336
17
.8
Dufry
AG
(Registered)
(1,314)
(54,747)
604
4
.6
EMS-Chemie
Holding
AG
(Registered)
(114)
(77,212)
388
3
.0
Flughafen
Zurich
AG
(Registered)
(50)
(7,737)
190
1
.4
Geberit
AG
(Registered)
(24)
(11,330)
23
0
.2
Givaudan
SA
(Registered)
(18)
(55,132)
(36)
(0
.3)
Idorsia
Ltd.
(1,438)
(20,849)
597
4
.5
Logitech
International
SA
(Registered)
(956)
(59,281)
(111)
(0
.8)
Partners
Group
Holding
AG
(66)
(58,442)
231
1
.8
Schindler
Holding
AG
(229)
(43,071)
235
1
.8
SIG
Group
AG
(6,897)
(150,708)
121
0
.9
Sika
AG
(Registered)
(389)
(93,517)
846
6
.4
Straumann
Holding
AG
(Registered)
(491)
(56,304)
(778)
(5
.9)
Tecan
Group
AG
(Registered)
(204)
(91,319)
29
0
.2
VAT
Group
AG
(232)
(63,688)
(272)
(2
.1)
United
States
Holcim
AG
(1,957)
(101,301)
1,125
8
.6
Nestle
SA
(Registered)
(398)
(45,973)
557
4
.2
279
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.50%
to
0.30%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
01/27/2025
$1,257,235
$(14,223)
$7,150
$(7,073)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
86
192,520
(7,431)
105
.1
Carlsberg
A/S
846
112,219
(564)
8
.0
Demant
A/S
507
14,138
226
(3
.2)
DSV
A/S
203
32,102
133
(1
.9)
Genmab
A/S
265
112,041
(2,662)
37
.6
H
Lundbeck
A/S
3,128
11,714
(191)
2
.7
H
Lundbeck
A/S
687
2,362
(41)
0
.6
ISS
A/S
5,303
112,245
(944)
13
.4
Pandora
A/S
2,068
146,169
1,551
(21
.9)
Short
Positions
Common
Stocks
Denmark
Chr
Hansen
Holding
A/S
(167)
(12,013)
(48)
0
.7
Coloplast
A/S
(971)
(113,755)
(732)
10
.3
GN
Store
Nord
A/S
(1,051)
(24,264)
(1,305)
18
.5
Novo
Nordisk
A/S
(441)
(59,895)
(485)
6
.9
Novozymes
A/S
(1,476)
(74,883)
(1,043)
14
.7
Orsted
A/S
(107)
(9,673)
(47)
0
.7
ROCKWOOL
A/S
(64)
(14,983)
127
(1
.8)
Royal
Unibrew
A/S
(197)
(14,001)
117
(1
.7)
SimCorp
A/S
(225)
(15,492)
(431)
6
.1
Tryg
A/S
(3,657)
(86,911)
227
(3
.2)
Vestas
Wind
Systems
A/S
(3,286)
(95,855)
(680)
9
.6
280
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
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
(-18.00%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
01/27/2025
$14,294,165
$(71,097)
$75,730
$4,633
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nokia
OYJ
19,687
91,460
(770)
(16
.6)
Stora
Enso
OYJ
6,265
88,333
(1,599)
(34
.5)
France
Cie
de
Saint-Gobain
4,727
231,249
(2,853)
(61
.6)
Danone
SA
1,705
89,863
(1,228)
(26
.5)
Eiffage
SA
2,187
215,122
(3,927)
(84
.8)
Orange
SA
20,440
202,808
(2,120)
(45
.8)
Rexel
SA
7,491
148,161
(148)
(3
.2)
Sanofi
1,853
178,678
(654)
(14
.1)
Thales
SA
691
88,288
157
3
.4
Germany
Bayer
AG
(Registered)
3,710
190,954
(1,700)
(36
.7)
Brenntag
SE
1,436
91,581
333
7
.2
Deutsche
Bank
AG
(Registered)
21,956
246,820
(4,895)
(105
.7)
E.ON
SE
9,035
89,826
856
18
.5
GEA
Group
AG
2,397
97,480
(305)
(6
.6)
Italy
Assicurazioni
Generali
SpA
5,326
94,710
(791)
(17
.1)
Leonardo
SpA
20,511
176,903
(2,258)
(48
.7)
UniCredit
SpA
15,843
224,805
(107)
(2
.3)
Netherlands
Koninklijke
Ahold
Delhaize
NV
3,409
98,013
(2,284)
(49
.3)
NN
Group
NV
4,618
188,840
(10,581)
(228
.4)
OCI
NV
2,530
90,454
(1,906)
(41
.1)
Singapore
STMicroelectronics
NV
4,431
157,460
(139)
(3
.0)
Spain
Banco
de
Sabadell
SA
194,531
182,852
(6,767)
(146
.1)
Banco
Santander
SA
52,787
157,839
(1,215)
(26
.2)
Industria
de
Diseno
Textil
SA
3,787
100,587
(1,142)
(24
.6)
Red
Electrica
Corp.
SA
8,981
156,163
(2,800)
(60
.4)
281
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Stellantis
NV
21,589
306,788
2,544
54
.9
Tenaris
SA
5,503
96,510
(1,507)
(32
.5)
Short
Positions
Common
Stocks
China
Prosus
NV
(1,564)
(107,984)
419
9
.1
France
Aeroports
de
Paris
(667)
(89,359)
818
17
.7
Air
Liquide
SA
(1,310)
(185,935)
1,775
38
.3
Cie
Generale
des
Etablissements
Michelin
SCA
(5,492)
(152,992)
4,452
96
.1
EssilorLuxottica
SA
(938)
(169,715)
2,635
56
.9
Hermes
International
(76)
(117,637)
2,146
46
.3
L'Oreal
SA
(278)
(99,551)
630
13
.6
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(180)
(130,985)
2,004
43
.2
Sartorius
Stedim
Biotech
(420)
(136,487)
(1,465)
(31
.6)
Germany
adidas
AG
(1,039)
(140,812)
(132)
(2
.8)
RWE
AG
(2,592)
(114,586)
282
6
.1
SAP
SE
(1,090)
(112,532)
926
20
.0
Sartorius
AG
(Preference)
(424)
(167,427)
(8,099)
(174
.8)
Siemens
Healthineers
AG
(2,942)
(146,752)
(2,069)
(44
.7)
Symrise
AG
(820)
(89,056)
1,321
28
.5
Zalando
SE
(2,991)
(105,298)
103
2
.2
Italy
Ferrari
NV
(1,231)
(263,974)
(1,159)
(25
.0)
FinecoBank
Banca
Fineco
SpA
(6,353)
(105,499)
(1,314)
(28
.4)
Spain
Acciona
SA
(498)
(91,648)
522
11
.3
CaixaBank
SA
(38,815)
(152,186)
(655)
(14
.1)
Cellnex
Telecom
SA
(5,203)
(172,590)
(881)
(19
.0)
Ferrovial
SA
(4,917)
(128,740)
786
17
.0
United
States
Schneider
Electric
SE
(1,123)
(157,708)
1,548
33
.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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
12/27/2023
-
01/27/2025
$4,933,060
$(13,686)
$(23,973)
$(37,659)
282
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
2,086
146,821
99
(0
.3)
Germany
TUI
AG
24,748
39,686
(930)
2
.5
Nigeria
Airtel
Africa
plc
47,669
64,234
235
(0
.6)
United
Kingdom
abrdn
plc
26,573
60,384
133
(0
.4)
Associated
British
Foods
plc
4,625
87,684
(1,135)
3
.0
Aviva
plc
11,905
63,152
(1,269)
3
.4
BAE
Systems
plc
5,184
53,542
(794)
2
.1
Barclays
plc
99,787
189,876
(1,791)
4
.8
Barratt
Developments
plc
32,205
153,821
(5,617)
14
.9
BT
Group
plc
63,210
85,351
(2,539)
6
.7
DCC
plc
1,362
66,972
(536)
1
.4
Direct
Line
Insurance
Group
plc
15,680
41,793
(214)
0
.6
DS
Smith
plc
23,233
89,619
(905)
2
.4
Howden
Joinery
Group
plc
10,156
68,577
(1,727)
4
.6
HSBC
Holdings
plc
10,102
62,608
(650)
1
.7
Inchcape
plc
4,096
40,441
(90)
0
.2
InterContinental
Hotels
Group
plc
2,280
130,824
(354)
0
.9
International
Distributions
Services
plc
27,094
69,450
468
(1
.2)
Intertek
Group
plc
1,524
74,146
(104)
0
.3
JD
Sports
Fashion
plc
53,613
81,472
2,027
(5
.4)
Johnson
Matthey
plc
2,387
61,005
721
(1
.9)
Legal
&
General
Group
plc
37,748
113,174
(1,615)
4
.3
Lloyds
Banking
Group
plc
183,265
100,010
(2,438)
6
.5
Man
Group
plc
21,651
55,705
(1,329)
3
.5
Marks
&
Spencer
Group
plc
61,076
90,102
(275)
0
.7
Reckitt
Benckiser
Group
plc
1,947
134,959
(523)
1
.4
Smiths
Group
plc
5,850
112,274
(887)
2
.4
Standard
Chartered
plc
5,081
37,897
(722)
1
.9
Travis
Perkins
plc
3,812
40,755
(915)
2
.4
Vodafone
Group
plc
146,213
148,072
(1,207)
3
.2
United
States
GSK
plc
10,199
176,272
(1,319)
3
.5
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(6,095)
(113,779)
3,041
(8
.1)
Hong
Kong
Prudential
plc
(4,746)
(64,713)
(118)
0
.3
283
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
Admiral
Group
plc
(2,832)
(72,700)
(48)
0
.1
Ashtead
Group
plc
(1,216)
(69,075)
1,166
(3
.1)
AstraZeneca
plc
(672)
(90,935)
462
(1
.2)
AVEVA
Group
plc
(1,353)
(52,371)
217
(0
.6)
B&M
European
Value
Retail
SA
(19,837)
(98,467)
(93)
0
.2
Berkeley
Group
Holdings
plc
(1,426)
(65,010)
1,328
(3
.5)
ConvaTec
Group
plc
(20,773)
(58,178)
336
(0
.9)
Croda
International
plc
(621)
(49,418)
663
(1
.8)
Experian
plc
(3,114)
(105,466)
1,700
(4
.5)
Halma
plc
(2,663)
(63,419)
1,517
(4
.0)
Pennon
Group
plc
(5,211)
(56,027)
75
(0
.2)
Rentokil
Initial
plc
(16,462)
(101,139)
1,674
(4
.4)
Severn
Trent
plc
(2,263)
(72,299)
899
(2
.4)
Smith
&
Nephew
plc
(3,460)
(46,208)
(279)
0
.7
St
James's
Place
plc
(3,186)
(41,970)
264
(0
.7)
Tate
&
Lyle
plc
(4,555)
(39,024)
471
(1
.3)
United
Utilities
Group
plc
(5,436)
(64,951)
531
(1
.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
12/30/2024
$1,535,539
$2,602
$5,081
$7,683
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
34,000
115,423
(1,735)
(22
.6)
Hong
Kong
ASMPT
Ltd.
6,400
45,454
(176)
(2
.3)
CK
Asset
Holdings
Ltd.
10,000
61,332
(183)
(2
.4)
Hang
Lung
Properties
Ltd.
7,000
13,636
(139)
(1
.8)
Hang
Seng
Bank
Ltd.
800
13,269
(86)
(1
.1)
Henderson
Land
Development
Co.
Ltd.
13,000
45,256
403
5
.3
HKT
Trust
&
HKT
Ltd.
5,000
6,121
(48)
(0
.6)
Hong
Kong
Exchanges
&
Clearing
Ltd.
100
4,297
(92)
(1
.2)
284
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
(continued)
Man
Wah
Holdings
Ltd.
68,800
68,079
(409)
(5
.3)
MTR
Corp.
Ltd.
8,500
44,955
89
1
.2
New
World
Development
Co.
Ltd.
43,000
120,623
(3,203)
(41
.7)
Power
Assets
Holdings
Ltd.
5,000
27,327
39
0
.5
Sino
Land
Co.
Ltd.
24,000
29,935
48
0
.6
Sun
Hung
Kai
Properties
Ltd.
13,000
177,572
2,361
30
.7
Swire
Properties
Ltd.
15,000
37,993
361
4
.7
WH
Group
Ltd.
167,000
97,401
(1,547)
(20
.1)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(16,700)
(52,204)
1,936
25
.2
Chow
Tai
Fook
Jewellery
Group
Ltd.
(3,000)
(6,096)
(24)
(0
.3)
ESR
Group
Ltd.
(29,200)
(61,044)
1,281
16
.7
Hong
Kong
AIA
Group
Ltd.
(6,600)
(72,886)
593
7
.7
CLP
Holdings
Ltd.
(1,000)
(7,286)
(5)
(0
.1)
Techtronic
Industries
Co.
Ltd.
(15,000)
(166,603)
4,065
52
.9
Wharf
Real
Estate
Investment
Co.
Ltd.
(24,000)
(139,779)
(2,940)
(38
.3)
Macau
Galaxy
Entertainment
Group
Ltd.
(18,000)
(118,344)
2,034
26
.5
Sands
China
Ltd.
(800)
(2,624)
(21)
(0
.3)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
01/27/2025
$581,228
$1,108
$(15,728)
$(14,620)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
2,414
106,016
(279)
1
.9
285
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Gjensidige
Forsikring
ASA
55
1,079
1
(0
.0)
Leroy
Seafood
Group
ASA
8,978
50,305
268
(1
.8)
Norsk
Hydro
ASA
16,266
121,546
1,204
(8
.2)
Orkla
ASA
4,917
35,488
183
(1
.3)
Telenor
ASA
5,459
51,003
697
(4
.8)
United
Kingdom
Subsea
7
SA
1,170
13,548
(41)
0
.3
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(333)
(20,788)
(54)
0
.4
Norway
Kongsberg
Gruppen
ASA
(1,105)
(47,033)
204
(1
.4)
Mowi
ASA
(51)
(869)
(7)
0
.0
Salmar
ASA
(2,234)
(87,609)
(980)
6
.7
Schibsted
ASA
(1,005)
(19,059)
32
(0
.2)
TOMRA
Systems
ASA
(1,594)
(26,885)
(120)
0
.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
STIBOR
plus
or
minus
a
specified
spread
(-5.00%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
01/27/2025
$2,379,724
$6,262
$28,855
$35,117
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
6,567
70,345
(494)
(1
.4)
Guatemala
Millicom
International
Cellular
SA
5,468
69,278
(1,872)
(5
.3)
Sweden
Assa
Abloy
AB
1,654
35,576
(437)
(1
.2)
Axfood
AB
542
14,862
(154)
(0
.4)
Billerud
AB
4,155
50,685
(1,106)
(3
.1)
Boliden
AB
2,581
96,948
(1,272)
(3
.6)
286
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Elekta
AB
7,362
44,407
961
2
.7
Essity
AB
2,475
64,813
(579)
(1
.6)
Evolution
AB
282
27,468
76
0
.2
Getinge
AB
913
18,982
286
0
.8
H
&
M
Hennes
&
Mauritz
AB
2,608
28,105
(222)
(0
.6)
Saab
AB
1,332
52,491
(241)
(0
.7)
Sandvik
AB
2,694
48,685
(846)
(2
.4)
Skanska
AB
4,373
69,323
30
0
.1
SSAB
AB
30,412
158,418
1,212
3
.5
Svenska
Cellulosa
AB
SCA
1,973
24,987
(576)
(1
.6)
Svenska
Handelsbanken
AB
11,631
117,101
(741)
(2
.1)
Swedbank
AB
3,062
52,082
(737)
(2
.1)
Swedish
Orphan
Biovitrum
AB
1,100
22,767
(14)
(0
.0)
Tele2
AB
4,796
39,125
(140)
(0
.4)
Telefonaktiebolaget
LM
Ericsson
22,747
133,284
(1,596)
(4
.5)
Telia
Co.
AB
18,176
46,445
(193)
(0
.5)
Trelleborg
AB
515
11,896
(295)
(0
.8)
Volvo
AB
3,381
61,073
(722)
(2
.1)
Volvo
Car
AB
3,488
15,882
(113)
(0
.3)
Short
Positions
Common
Stocks
Sweden
Alfa
Laval
AB
(1,423)
(41,164)
566
1
.6
Atlas
Copco
AB
(4,154)
(49,218)
575
1
.6
Beijer
Ref
AB
(3,290)
(46,457)
963
2
.7
Electrolux
AB
(2,176)
(29,400)
418
1
.2
Embracer
Group
AB
(14,701)
(66,742)
3,700
10
.5
Epiroc
AB
(2,769)
(50,421)
825
2
.3
EQT
AB
(4,719)
(100,256)
(403)
(1
.1)
Hexagon
AB
(17,258)
(180,952)
2,381
6
.8
Hexpol
AB
(1,866)
(19,910)
337
1
.0
Holmen
AB
(1,026)
(40,778)
891
2
.5
Husqvarna
AB
(867)
(6,089)
55
0
.2
Indutrade
AB
(3,343)
(67,794)
413
1
.2
Lifco
AB
(2,699)
(45,177)
261
0
.7
Nibe
Industrier
AB
(12,065)
(112,612)
3,935
11
.2
Securitas
AB
(6,412)
(53,505)
322
0
.9
Skandinaviska
Enskilda
Banken
AB
(1,694)
(19,503)
213
0
.6
SKF
AB
(4,223)
(64,500)
535
1
.5
Sweco
AB
(21)
(201)
3
0
.0
United
States
Sinch
AB
(2,718)
(10,017)
57
0
.2
287
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
December
31,
2022
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
0.35%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
12/30/2024
$599,693
$(2,295)
$(118)
$(2,413)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
20,200
62,931
185
(7
.7)
Yangzijiang
Shipbuilding
Holdings
Ltd.
96,400
97,924
(1,398)
58
.0
Singapore
City
Developments
Ltd.
12,800
78,686
166
(6
.9)
Genting
Singapore
Ltd.
22,900
16,343
186
(7
.7)
Oversea-Chinese
Banking
Corp.
Ltd.
13,300
120,977
(1,457)
60
.4
Singapore
Airlines
Ltd.
7,200
29,728
17
(0
.7)
Singapore
Telecommunications
Ltd.
32,300
61,929
(289)
12
.0
United
Overseas
Bank
Ltd.
2,600
59,555
(485)
20
.1
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(2,200)
(55,686)
653
(27
.1)
Keppel
Corp.
Ltd.
(1,600)
(8,677)
91
(3
.8)
Singapore
Technologies
Engineering
Ltd.
(2,900)
(7,257)
36
(1
.5)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
December
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
CITI
Investment
Companies
$
100,730
$
–
$
100,730
GSIN
Cash
7,794,296
–
7,794,296
JPMC
Cash
(20,151)
–
(20,151)
MLIN
Cash
1,549,694
–
1,549,694
288
Schedule
of
Investments
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Abbreviations
ADR
-
American
Depositary
Receipt
CHESS
-
Clearing
House
Electronic
Subregister
System  Depository
Interest
CVA
-
Dutch
Certification
CVR
-
Contingent
Value
Rights
FDR
-
Fiduciary
Depositary
Receipt
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
BARC
-
Barclays
Capital,
Inc.
BNPP
-
BNP
Paribas
SA
CITG
-
Citigroup
Global
Markets,
Inc.
CITI
-
Citibank
NA
GSCO
-
Goldman
Sachs
&
Co.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
JPPC
-
J.P.
Morgan
Securities
plc
MLIN
-
Merrill
Lynch
International
MSCL
-
Morgan
Stanley
&
Co.
LLC
MSCS
-
Morgan
Stanley
Capital
Services
LLC
MSIP
-
Morgan
Stanley
&
Co.
International
plc
289
Schedule
of
Investments
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
2.41%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
3.02%
Australian
Overnight
Indexed
Swap
Rate
(“AOISR”):
3.07%
Bank
of
Japan
Estimate
Unsecured
Overnight
Call
Rate
(“MUTSC”):
-0.02%
Brazilian
Interbank
Certificate
of
Deposit
(“CDI”):
13.65%
Canadian
Bankers’
Acceptance
Rate
("BA"):
4.74%
Canadian
Dollar
Offered
Rate
(“CDOR”):
4.74%
Canadian
Overnight
Repo
Rate
Average
("CORRA"):
4.28%
Copenhagen
Interbank
Offered
Rate(“CIBOR”):
2.03%
Denmark
Tomorrow/Next
:
1.35%
Euro
Short-Term
Rate
("ESTR"):
1.89%
Federal
Funds
Floating
Rate:
4.33%
Hong
Kong
Interbank
Offered
Rate
(“HIBOR”):
4.35%
Hong
Kong
Overnight
Index
Average
(“HONIX”):
3.28%
Johannesburg
Interbank
Agreed
Rate
(“JIBAR”):
7.08%
Mexico
Equilibrium
Interbank
Interest
Rate
("TIIE"):
10.77%
Norway
Interbank
Offered
Rate
("NIBOR"):
3.04%
Norwegian
Overnight
Weighted
Average
("NOWA"):
2.75%
Overnight
Bank
Funding
Rate
("OBFR"):
4.33%
Rand
Overnight
Deposit
Rate:
6.83%
Reserve
Bank
of
Australia
Cash
Rate  (“RBACR”):  3.07%
Singapore
Overnight
Rate
Average
(“SORA”):
2.53%
Sterling
Overnight
Index
Average
(“SONIA”):
3.43%
Swiss
Average
Rate
Overnight
(“SARON”):
0.94%
Tel
Aviv
Interbank
Offer
Rate
("TELBOR"):
3.58%
Tokyo
Overnight
Average
Rate
(“TONAR”):  -0.02%
Warsaw
Interbank
Offered
Rate(“WIBOR”):
6.83%
Statements
of
Assets
and
Liabilities
290
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
*
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
331,109,667
$
1,110,869,366
$
3,589,948
$
180,012,740
Investments
in
securities
of
affiliated
issuers,
at
cost
.............
—
519,093,844
185,486,415
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
375,294,671
$
1,058,888,544
$
3,590,620
$
180,844,361
Investments
in
securities
of
affiliated
issuers,
at
value
............
—
519,255,218
184,759,142
—
Cash
.................................................
39,039
10,783,373
—
811,886
Cash
denominated
in
foreign
currencies
‡
......................
133,832
13,896,870
—
5,150,731
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
2,217,140
698,123
—
17,614
Unrealized
appreciation
on
OTC
swaps
.......................
216,675
916,463
—
3,248,399
Deposits
for
securities
sold
short
............................
4,849,539
5,789,773
—
—
Due
from
broker
........................................
446,204
75,773,670
—
120,000
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
premium
paid
$945,817,
$4,449,834,
$—
and
$—,
respectively)
....
2,174,846
7,700,417
—
—
Deposits
with
brokers
for
futures
contracts
.....................
14,660,833
4,020,253
—
—
Variation
margin
on
centrally
cleared
swaps
....................
—
60,943
—
—
Variation
margin
on
futures
contracts
.........................
218,929
3,944,715
—
—
Receivables:
Securities
sold
.......................................
21,914
6,524,618
4,053,756
646,514
Foreign
tax
reclaims
...................................
245,381
31,489
—
374,668
Dividends
and
interest
..................................
642,415
3,281,574
11,350
296,676
Capital
shares
sold
....................................
98,396
3,256,108
3,409,217
2,012,001
Due
from
Investment
Adviser
.............................
—
—
12,586
—
Due
from
custodian
....................................
—
5,760,457
—
—
Prepaid
expenses
.......................................
29,512
20,657
25,139
63,713
Total
Assets
401,289,326
1,720,603,265
195,861,810
193,586,563
LIABILITIES:
Securities
sold
short,
at
value
(proceeds  $273,128,349,
$118,024,387,
$–
and
$7,559,660,
respectively)
............................
235,119,066
99,014,391
—
7,102,750
Due
to
broker
..........................................
464,325
553,857
—
2,790,498
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
3,176,862
38,560
—
31,624
Unrealized
depreciation
on
OTC
swaps
.......................
187,811
66,604,510
—
—
Deposits
from
brokers
for
futures
contracts
....................
—
—
—
226
Variation
margin
on
centrally
cleared
swaps
....................
40,589
—
—
—
Variation
margin
on
futures
contracts
.........................
80,512
362,593
—
—
Payables:
–
–
–
–
Securities
purchased
...................................
20,123
8,423,974
7,114,037
964,300
Accrued
investment
advisory
fees
.........................
119,389
1,252,942
—
138,499
Accrued
distribution
fees—Class
N
........................
1,252
14,098
1,189
6,035
Capital
shares
redeemed
...............................
1,556
827,297
314
3,244,836
Dividends
and
interest
payable
on
securities
sold
short
.........
316,172
274,208
—
3,653
Other
accrued
expenses
and
liabilities
........................
114,742
522,981
65,776
119,119
Total
Liabilities
239,642,399
177,889,411
7,181,316
14,401,540
Net
Assets
$
161,646,927
$
1,542,713,854
$
188,680,494
$
179,185,023
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
194,363,316
$
1,715,095,939
$
192,689,885
$
161,675,613
Total
distributable
earnings
(loss)
...........................
(32,716,389)
(172,382,085)
(4,009,391)
17,509,410
Net
Assets
$
161,646,927
$
1,542,713,854
$
188,680,494
$
179,185,023
NET
ASSETS:
Class
I
...............................................
$
54,627,373
$
1,017,383,333
$
177,048,132
$
116,153,489
Class
N
...............................................
5,926,027
66,384,846
6,499,082
24,133,299
Class
R6
..............................................
101,093,527
458,945,675
5,133,280
38,898,235
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
5,768,614
87,011,068
15,429,691
13,224,680
Class
N
...............................................
630,223
5,682,394
567,533
2,790,246
Class
R6
..............................................
10,635,041
39,270,687
446,722
4,410,230
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
9.47
$
11.69
$
11.47
$
8.78
Class
N
...............................................
$
9.40
$
11.68
$
11.45
$
8.65
Class
R6
..............................................
$
9.51
$
11.69
$
11.49
$
8.82
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
130,797
$
13,905,331
$
—
$
5,084,354
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Assets
and
Liabilities
291
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
*
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
494,797,297
$
147,856,377
$
1,156,996,829
$
163,058,649
Investments
in
securities
of
affiliated
issuers,
at
cost
.............
—
—
304,442,836
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
494,932,455
$
147,504,557
$
1,156,353,382
$
163,020,177
Investments
in
securities
of
affiliated
issuers,
at
value
............
—
—
304,515,851
—
Cash
.................................................
—
16,165
28,575
57,376
Cash
denominated
in
foreign
currencies
‡
......................
16,475,521
214,815
3,594,913
598,232
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
1,908,627
7,280,660
22,962,372
3,950,983
Unrealized
appreciation
on
OTC
swaps
.......................
13,885,905
222,953
10,234,951
1,664,513
Due
from
broker
........................................
35,160,450
320,304
58,844
47,645
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
premium
paid
$—,
$191,007,
$10,322,763
and
$1,514,363,
respectively)
...........................................
—
4,651,448
12,588,887
2,506,574
Deposits
with
brokers
for
futures
contracts
.....................
10,262,730
20,909,221
84,868,915
14,578,388
Variation
margin
on
centrally
cleared
swaps
....................
—
7,073
37,891
9,826
Variation
margin
on
futures
contracts
.........................
—
784,081
6,058,252
1,107,368
Receivables:
Securities
sold
.......................................
871
2,748,290
101,415
244,977
Foreign
tax
reclaims
...................................
103,549
416
—
—
Dividends
and
interest
..................................
592,776
244,627
825,825
133,382
Capital
shares
sold
....................................
1,324,829
2,123,695
4,326,583
3,869,604
Prepaid
expenses
.......................................
49,823
25,437
76,679
21,714
Total
Assets
574,697,536
187,053,742
1,606,633,335
191,810,759
LIABILITIES:
Due
to
custodian
........................................
150,005
—
—
—
Due
to
broker
..........................................
3,051,441
4,499
8,758,234
444,194
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
162,513
6,297,661
42,950,401
7,160,879
Unrealized
depreciation
on
OTC
swaps
.......................
794,278
147,360
1,879,876
183,102
Deposits
from
brokers
for
futures
contracts
....................
—
172
—
—
Variation
margin
on
centrally
cleared
swaps
....................
—
171,090
371,091
100,022
Variation
margin
on
futures
contracts
.........................
588,511
115,525
263,207
54,211
Payables:
–
–
–
–
Securities
purchased
...................................
88,396
62,572
116,338
233,787
Accrued
investment
advisory
fees
.........................
518,359
101,861
1,385,278
144,831
Accrued
distribution
fees—Class
N
........................
2,779
1,486
13,898
1,575
Capital
shares
redeemed
...............................
4,420,937
75,553
10,287,320
289,470
Dividends
and
interest
payable
on
securities
sold
short
.........
—
1,432
2,948
432
Other
accrued
expenses
and
liabilities
........................
264,647
99,766
521,380
131,211
Total
Liabilities
10,041,866
7,078,977
66,549,971
8,743,714
Net
Assets
$
564,655,670
$
179,974,765
$
1,540,083,364
$
183,067,045
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
527,600,349
$
178,129,563
$
2,481,995,263
$
276,823,856
Total
distributable
earnings
(loss)
...........................
37,055,321
1,845,202
(941,911,899)
(93,756,811)
Net
Assets
$
564,655,670
$
179,974,765
$
1,540,083,364
$
183,067,045
NET
ASSETS:
Class
I
...............................................
$
544,239,315
$
129,055,411
$
1,311,468,950
$
131,821,538
Class
N
...............................................
13,690,918
7,365,663
64,180,195
4,922,823
Class
R6
..............................................
6,725,437
43,553,691
164,434,219
46,322,684
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
42,486,728
11,930,178
150,640,327
15,784,683
Class
N
...............................................
1,089,869
693,995
7,438,592
585,351
Class
R6
..............................................
521,296
4,014,101
18,857,750
5,531,627
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
12.81
$
10.82
$
8.71
$
8.35
Class
N
...............................................
$
12.56
$
10.61
$
8.63
$
8.41
Class
R6
..............................................
$
12.90
$
10.85
$
8.72
$
8.37
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
16,188,296
$
212,912
$
3,579,040
$
596,325
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Assets
and
Liabilities
292
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MULTI-
ASSET
FUND
*
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
*
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
*
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
147,711,327
$
408,956,696
$
453,170,331
$
14,798,413
Investments
in
securities
of
affiliated
issuers,
at
cost
.............
—
—
279,823,750
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
151,306,084
$
408,933,133
$
455,566,534
$
14,803,435
Investments
in
securities
of
affiliated
issuers,
at
value
............
—
—
279,889,708
—
Cash
.................................................
—
—
9,898
—
Cash
denominated
in
foreign
currencies
‡
......................
482,418
—
9,957,913
21,198
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
2,075,042
—
15,578,056
85,476
Unrealized
appreciation
on
OTC
swaps
.......................
73,040
—
24,050,649
546,299
Deposits
for
securities
sold
short
............................
—
—
3,443,946
—
Due
from
broker
........................................
98,856
15,888
1,850,888
9,343,990
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
premium
paid
$—,
$—,
$8,552,563
and
$—,
respectively)
.........
—
—
18,385,979
—
Deposits
with
brokers
for
futures
contracts
.....................
9,588,365
43,700,613
113,277,995
—
Variation
margin
on
futures
contracts
.........................
89,020
747,926
2,805,579
—
Receivables:
Securities
sold
.......................................
—
—
331,160
54
Foreign
tax
reclaims
...................................
95,380
—
401,220
—
Dividends
and
interest
..................................
172,794
680,918
911,877
23,598
Capital
shares
sold
....................................
1,686,246
9,071,958
2,244,398
47,045
Due
from
Investment
Adviser
.............................
—
—
—
3,179
Prepaid
expenses
.......................................
43,512
52,278
47,856
30,628
Total
Assets
165,710,757
463,202,714
928,753,656
24,904,902
LIABILITIES:
Securities
sold
short,
at
value
(proceeds  $19,754,709,
$–,
$45,133,060
and
$–,
respectively)
...........................
17,400,559
—
40,002,793
—
Due
to
custodian
........................................
350,786
—
—
—
Due
to
broker
..........................................
252
114
18,743,955
20,151
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
2,515,161
—
19,224,005
7,303
Unrealized
depreciation
on
OTC
swaps
.......................
—
—
3,772,998
79,119
Deposits
from
brokers
for
futures
contracts
....................
—
—
—
26
Variation
margin
on
centrally
cleared
swaps
....................
—
—
301,116
—
Variation
margin
on
futures
contracts
.........................
541,149
873,135
4,388,797
—
Payables:
–
–
–
–
Securities
purchased
...................................
23,118
3
351,308
—
Accrued
investment
advisory
fees
.........................
42,740
271,117
948,191
—
Accrued
distribution
fees—Class
N
........................
1,876
8,629
7,397
1,063
Capital
shares
redeemed
...............................
1,694,784
806,357
3,358,732
—
Dividends
and
interest
payable
on
securities
sold
short
.........
13,820
—
21,089
—
Other
accrued
expenses
and
liabilities
........................
123,998
197,965
177,210
64,628
Total
Liabilities
22,708,243
2,157,320
91,297,591
172,290
Net
Assets
$
143,002,514
$
461,045,394
$
837,456,065
$
24,732,612
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
150,429,546
$
439,443,750
$
1,199,751,806
$
23,877,975
Total
distributable
earnings
(loss)
...........................
(7,427,032)
21,601,644
(362,295,741)
854,637
Net
Assets
$
143,002,514
$
461,045,394
$
837,456,065
$
24,732,612
NET
ASSETS:
Class
I
...............................................
$
94,401,086
$
391,025,612
$
322,368,110
$
9,446,408
Class
N
...............................................
8,931,085
40,198,919
32,005,392
5,014,809
Class
R6
..............................................
39,670,343
29,820,863
483,082,563
10,271,395
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
10,693,455
43,761,998
43,075,480
829,442
Class
N
...............................................
1,015,293
4,589,425
4,317,987
440,938
Class
R6
..............................................
4,499,554
3,321,303
64,261,848
901,176
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
8.83
$
8.94
$
7.48
$
11.39
Class
N
...............................................
$
8.80
$
8.76
$
7.41
$
11.37
Class
R6
..............................................
$
8.82
$
8.98
$
7.52
$
11.40
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
495,548
$
—
$
9,925,138
$
21,157
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
293
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
*
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
5,346,117
$
7,245,378
$
42,642
$
1,383,634
Affiliated
issuers
......................................
—
7,125,108
12,799,500
—
Interest
income
.........................................
530,589
14,186,303
—
1,071,071
Total
Income
5,876,706
28,556,789
12,842,142
2,454,705
EXPENSES:
Investment
advisory
fees
..................................
1,732,689
14,300,023
—
1,444,384
Custody
fees
...........................................
13,465
107,822
13,413
5,281
Administration
&
accounting
fees
............................
69,557
689,054
38,114
63,068
Legal
fees
.............................................
8,288
124,861
5,793
8,903
Audit
&
tax
fees
.........................................
150,852
315,036
36,157
109,808
Shareholder
reporting
fees
................................
34,722
161,971
23,380
30,160
Transfer
agent
fees
......................................
66,685
973,119
123,438
123,266
Trustee
fees
...........................................
15,456
98,249
8,039
14,491
Distribution
fees—Class
N
.................................
15,986
132,883
12,073
57,026
Dividends
and
interest
on
securities
sold
short
.................
2,467,042
1,281,437
—
181,503
Interest
expense
........................................
13,695
107,349
—
42,164
Recoupment
of
waiver
and/or
reimbursement
..................
—
27,960
—
—
Registration
fees
........................................
60,930
81,870
63,933
69,196
Other
expenses
........................................
44,205
119,673
708
19,271
Total
Expenses
4,693,572
18,521,307
325,048
2,168,521
Less
expense
reimbursements
.............................
(270,880)
(213,319)
(99,601)
(201,604)
Net
Expenses
4,422,692
18,307,988
225,447
1,966,917
Net
Investment
Income
(Loss)
1,454,014
10,248,801
12,616,695
487,788
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
(4,740,366)
(550,330)
(373)
(618,754)
Transactions
in
investment
securities
of
affiliated
issuers
........
—
(138,001)
(3,435,337)
—
Distributions
of
capital
gains
received
from
affiliated
issuers
......
—
86
1,449,781
—
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
(134,049)
(784,162)
—
217,156
Settlement
of
forward
foreign
currency
exchange
contracts
......
(939,761)
2,452,902
—
(4,796)
Expiration
or
closing
of
futures
contracts
....................
16,078,213
1,833,938
—
(844,375)
Closed
short
positions
in
securities
........................
(681,923)
16,399,620
—
257,476
Expiration
or
closing
of
swap
contracts
.....................
(1,923,794)
70,020,397
—
18,980,669
Expiration
or
closing
of
written
option
contracts
(premium-style)
...
—
100
—
—
Net
realized
gain
(loss)
7,658,320
89,234,550
(1,985,929)
17,987,376
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
9,075,657
(71,185,351)
802
199,774
Investment
securities
of
affiliated
issuers
...................
—
161,340
(1,847,956)
—
Foreign
currency
and
foreign
currency
transactions
............
12,520
77,009
—
(5,579)
Forward
foreign
currency
exchange
contracts
................
(914,972)
772,659
—
(13,466)
Futures
contracts
.....................................
(1,289,410)
1,421,111
—
(107,319)
Short
positions
in
securities
..............................
17,147,596
20,728,654
—
499,753
Swap
contracts
.......................................
(706,827)
(97,305,605)
—
2,717,357
Net
change
in
unrealized
appreciation
(depreciation)
23,324,564
(145,330,183)
(1,847,154)
3,290,520
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
30,982,884
(56,095,633)
(3,833,083)
21,277,896
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
32,436,898
$
(45,846,832)
$
8,783,612
$
21,765,684
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
349,572
$
595,002
$
—
$
62,347
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
294
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
2,423,136
$
1,057,482
$
464,608
$
583,541
Affiliated
issuers
......................................
—
—
4,513,468
—
Interest
income
.........................................
4,825,213
1,306,505
17,236,929
1,677,273
Interfund
lending
income
..................................
—
—
2,268
—
Total
Income
7,248,349
2,363,987
22,217,273
2,260,814
EXPENSES:
Investment
advisory
fees
..................................
5,350,400
816,094
14,949,448
1,878,481
Custody
fees
...........................................
64,848
29,227
77,941
39,570
Administration
&
accounting
fees
............................
233,727
39,108
684,828
62,161
Legal
fees
.............................................
34,751
313
171,467
81,813
Audit
&
tax
fees
.........................................
109,338
114,351
141,013
135,111
Shareholder
reporting
fees
................................
60,544
23,762
286,320
29,017
Transfer
agent
fees
......................................
432,275
70,020
1,097,772
115,872
Trustee
fees
...........................................
37,385
11,319
101,122
14,882
Distribution
fees—Class
N
.................................
34,698
11,338
162,002
20,334
Dividends
and
interest
on
securities
sold
short
and/or
reverse
repurchase
agreements
................................
—
382,663
—
—
Interest
expense
........................................
178,468
5,941
250,630
15,097
Recoupment
of
waiver
and/or
reimbursement
..................
21,344
—
—
—
Registration
fees
........................................
85,364
55,774
112,977
61,096
Other
expenses
........................................
33,880
68,693
73,351
39,138
Total
Expenses
6,677,022
1,628,603
18,108,871
2,492,572
Less
expense
reimbursements
.............................
(143,540)
(281,132)
(29,955)
(354,304)
Net
Expenses
6,533,482
1,347,471
18,078,916
2,138,268
Net
Investment
Income
(Loss)
714,867
1,016,516
4,138,357
122,546
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
210,646
(1,188,168)
(1,590)
(24,423)
Transactions
in
investment
securities
of
affiliated
issuers
........
—
—
(40,629)
—
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
430,667
(71,152)
(290,336)
(455,430)
Settlement
of
forward
foreign
currency
exchange
contracts
......
(7,444,922)
(2,202,642)
23,966,172
2,551,345
Expiration
or
closing
of
futures
contracts
....................
(15,827,760)
7,513,876
265,280,904
18,972,769
Closed
short
positions
in
securities
........................
—
1,888,231
—
—
Expiration
or
closing
of
swap
contracts
.....................
71,931,502
184,744
54,395,623
4,218,276
Net
realized
gain
(loss)
49,300,133
6,124,889
343,310,144
25,262,537
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
136,921
(351,507)
(643,975)
(38,463)
Investment
securities
of
affiliated
issuers
...................
—
—
73,471
—
Foreign
currency
and
foreign
currency
transactions
............
240,159
81,649
(330,009)
(24,692)
Forward
foreign
currency
exchange
contracts
................
1,444,095
1,284,709
(14,715,087)
(2,611,524)
Futures
contracts
.....................................
(7,417,871)
2,544,771
36,311,341
6,112,953
Swap
contracts
.......................................
7,162,345
3,768,890
(3,267,624)
433,007
Net
change
in
unrealized
appreciation
(depreciation)
1,565,649
7,328,512
17,428,117
3,871,281
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
50,865,782
13,453,401
360,738,261
29,133,818
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
51,580,649
$
14,469,917
$
364,876,618
$
29,256,364
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
6,015
$
36,658
$
26,653
$
6,406
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
295
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MULTI-
ASSET
FUND
*
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
*
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
*
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
2,455,174
$
—
$
2,212,452
$
88,749
Affiliated
issuers
......................................
—
3,425,863
3,650,299
—
Interest
income
.........................................
2,651,048
2,989,686
6,472,269
117,323
Total
Income
5,106,222
6,415,549
12,335,020
206,072
EXPENSES:
Investment
advisory
fees
..................................
869,043
3,866,857
11,017,888
207,826
Custody
fees
...........................................
29,731
12,776
27,471
7,542
Administration
&
accounting
fees
............................
69,724
232,074
400,235
9,010
Legal
fees
.............................................
13,497
36,094
81,567
1,592
Audit
&
tax
fees
.........................................
158,621
113,246
143,516
101,881
Shareholder
reporting
fees
................................
23,848
88,584
100,382
13,584
Transfer
agent
fees
......................................
139,196
466,579
343,720
23,948
Trustee
fees
...........................................
15,473
36,361
60,972
7,287
Offering
costs
..........................................
—
—
—
142,261
Distribution
fees—Class
N
.................................
17,819
102,935
75,202
8,070
Dividends
and
interest
on
securities
sold
short
and/or
reverse
repurchase
agreements
................................
276,979
—
844,012
—
Interest
expense
........................................
12,094
27,253
300,508
9,400
Registration
fees
........................................
75,778
117,143
97,374
73,746
Other
expenses
........................................
14,214
8,325
107,258
125
Total
Expenses
1,716,017
5,108,227
13,600,105
606,272
Less
expense
reimbursements
.............................
(277,601)
(162,820)
(388,710)
(353,228)
Net
Expenses
1,438,416
4,945,407
13,211,395
253,044
Net
Investment
Income
(Loss)
3,667,806
1,470,142
(876,375)
(46,972)
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
(6,640,642)
(5,787)
(1,875,976)
(4,435)
Transactions
in
investment
securities
of
affiliated
issuers
........
—
(91,220)
(95,294)
—
Maturity
of
reverse
repurchase
agreements
..................
1,217,028
—
—
—
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
246,996
12,259
513,655
46,818
Settlement
of
forward
foreign
currency
exchange
contracts
......
1,392,942
—
(11,812,485)
(250,326)
Expiration
or
closing
of
futures
contracts
....................
(7,533,418)
21,499,571
68,201,987
(169,399)
Closed
short
positions
in
securities
........................
5,048,254
—
1,076,277
—
Expiration
or
closing
of
swap
contracts
.....................
513,713
644,584
196,805,436
1,253,774
Net
realized
gain
(loss)
(5,755,127)
22,059,407
252,813,600
876,432
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(11,996,554)
(94,673)
(1,663,562)
4,427
Investment
securities
of
affiliated
issuers
...................
—
71,662
65,945
—
Reverse
repurchase
agreements
..........................
3,164
—
—
—
Foreign
currency
and
foreign
currency
transactions
............
23,927
25
56,015
2,070
Forward
foreign
currency
exchange
contracts
................
(110,215)
—
(3,814,897)
68,494
Futures
contracts
.....................................
(1,947,488)
14,641,790
(19,639,104)
—
Short
positions
in
securities
..............................
19,198
—
8,180,432
—
Swap
contracts
.......................................
(78,330)
(266,388)
(25,529,707)
395,585
Net
change
in
unrealized
appreciation
(depreciation)
(14,086,298)
14,352,416
(42,344,878)
470,576
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
(19,841,425)
36,411,823
210,468,722
1,347,008
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
(16,173,619)
$
37,881,965
$
209,592,347
$
1,300,036
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
133,186
$
33,718
$
32,202
$
—
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
296
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
*
AQR
DIVERSIFIED
ARBITRAGE
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
1,454,014
$
(590,657)
$
10,248,801
$
(10,577,252)
Net
realized
gain
(loss)
.............................
7,658,320
2,193,307
89,234,550
143,102,943
Net
change
in
unrealized
appreciation
(depreciation)
.......
23,324,564
13,321,675
(145,330,183)
(77,764,992)
Net increase
(decrease)
in
net
assets
resulting
from
operations
32,436,898
14,924,325
(45,846,832)
54,760,699
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
—
(1,866,399)
(983,966)
(5,849,858)
Class
N
.........................................
—
(257,017)
(63,776)
(173,385)
Class
R6
........................................
—
(2,367,059)
(438,704)
(2,583,028)
Total
distributions
—
(4,490,475)
(1,486,446)
(8,606,271)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
28,234,985
16,967,266
521,817,437
495,692,139
Reinvestment
of
distributions
.........................
—
1,832,945
742,297
4,577,191
Cost
of
shares
redeemed
...........................
(30,094,366)
(37,098,888)
(395,246,621)
(221,272,814)
Net
increase
(decrease)
from
capital
transactions
(1,859,381)
(18,298,677)
127,313,113
278,996,516
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
2,322,031
720,520
38,988,288
24,408,599
Reinvestment
of
distributions
.........................
—
252,376
62,274
166,515
Cost
of
shares
redeemed
...........................
(5,355,159)
(680,743)
(15,589,646)
(16,357,046)
Net
increase
(decrease)
from
capital
transactions
(3,033,128)
292,153
23,460,916
8,218,068
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
21,868,314
45,932,684
200,615,218
181,737,377
Reinvestment
of
distributions
.........................
—
2,351,570
277,229
1,591,943
Cost
of
shares
redeemed
...........................
(24,517,916)
(26,401,664)
(87,170,719)
(69,687,969)
Net
increase
(decrease)
from
capital
transactions
(2,649,602)
21,882,590
113,721,728
113,641,351
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(7,542,111)
3,876,066
264,495,757
400,855,935
Total
increase
(decrease)
in
net
assets
24,894,787
14,309,916
217,162,479
447,010,363
NET
ASSETS:
Beginning
of
period
................................
136,752,140
122,442,224
1,325,551,375
878,541,012
End
of
period
...................................
$
161,646,927
$
136,752,140
$
1,542,713,854
$
1,325,551,375
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
297
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
*
AQR
DIVERSIFIED
ARBITRAGE
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
6,189,769
8,863,505
76,251,849
53,386,837
Shares
sold
.....................................
3,141,915
2,275,795
44,294,939
40,690,127
Shares
issued
on
reinvestment
of
distributions
...........
—
245,046
63,662
378,907
Shares
redeemed
.................................
(3,563,070)
(5,194,577)
(33,599,382)
(18,204,022)
Shares
outstanding,
end
of
period
5,768,614
6,189,769
87,011,068
76,251,849
CLASS
N
Shares
outstanding,
beginning
of
period
................
985,910
947,658
3,685,631
3,014,424
Shares
sold
.....................................
266,631
97,055
3,318,631
1,999,493
Shares
issued
on
reinvestment
of
distributions
...........
—
33,921
5,345
13,762
Shares
redeemed
.................................
(622,318)
(92,724)
(1,327,213)
(1,342,048)
Shares
outstanding,
end
of
period
630,223
985,910
5,682,394
3,685,631
CLASS
R6
Shares
outstanding,
beginning
of
period
................
10,881,765
7,938,571
29,636,579
20,297,549
Shares
sold
.....................................
2,499,526
6,187,254
17,048,380
14,876,727
Shares
issued
on
reinvestment
of
distributions
...........
—
313,543
23,796
131,893
Shares
redeemed
.................................
(2,746,250)
(3,557,603)
(7,438,068)
(5,669,590)
Shares
outstanding,
end
of
period
10,635,041
10,881,765
39,270,687
29,636,579
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
298
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
12,616,695
$
1,263,619
$
487,788
$
(702,101)
Net
realized
gain
(loss)
.............................
(1,985,929)
61,747
17,987,376
8,444,249
Net
change
in
unrealized
appreciation
(depreciation)
.......
(1,847,154)
1,006,378
3,290,520
1,134,372
Net increase
(decrease)
in
net
assets
resulting
from
operations
8,783,612
2,331,744
21,765,684
8,876,520
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(12,924,414)
(1,379,468)
(6,276,832)
(460,474)
Class
N
.........................................
(441,524)
(104,319)
(1,346,438)
(219,447)
Class
R6
........................................
(413,813)
(290,208)
(2,153,069)
(74,096)
Total
distributions
(13,779,751)
(1,773,995)
(9,776,339)
(754,017)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
194,581,642
12,789,016
161,528,758
12,013,276
Reinvestment
of
distributions
.........................
12,861,488
1,338,578
6,220,864
435,194
Cost
of
shares
redeemed
...........................
(52,183,714)
(3,110,804)
(92,245,889)
(23,764,184)
Net
increase
(decrease)
from
capital
transactions
155,259,416
11,016,790
75,503,733
(11,315,714)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
10,308,609
1,264,460
51,353,961
14,168,246
Reinvestment
of
distributions
.........................
395,667
71,979
1,318,232
214,006
Cost
of
shares
redeemed
...........................
(5,991,291)
(53,236)
(47,352,895)
(10,238,462)
Net
increase
(decrease)
from
capital
transactions
4,712,985
1,283,203
5,319,298
4,143,790
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
566,450
35,260
39,880,808
2,422,643
Reinvestment
of
distributions
.........................
32,337
24,120
2,149,176
73,570
Cost
of
shares
redeemed
...........................
(459,754)
(21,986)
(10,344,821)
(2,055,050)
Net
increase
(decrease)
from
capital
transactions
139,033
37,394
31,685,163
441,163
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
160,111,434
12,337,387
112,508,194
(6,730,761)
Total
increase
(decrease)
in
net
assets
155,115,295
12,895,136
124,497,539
1,391,742
NET
ASSETS:
Beginning
of
period
................................
33,565,199
20,670,063
54,687,484
53,295,742
End
of
period
...................................
$
188,680,494
$
33,565,199
$
179,185,023
$
54,687,484
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
299
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
2,500,544
1,509,380
4,481,423
6,103,292
Shares
sold
.....................................
16,196,387
1,146,092
18,732,347
1,737,094
Shares
issued
on
reinvestment
of
distributions
...........
1,118,390
123,485
721,678
60,193
Shares
redeemed
.................................
(4,385,630)
(278,413)
(10,710,768)
(3,419,156)
Shares
outstanding,
end
of
period
15,429,691
2,500,544
13,224,680
4,481,423
CLASS
N
Shares
outstanding,
beginning
of
period
................
165,948
51,473
2,215,198
1,612,139
Shares
sold
.....................................
869,901
112,719
5,985,898
2,016,912
Shares
issued
on
reinvestment
of
distributions
...........
34,466
6,652
155,269
30,057
Shares
redeemed
.................................
(502,782)
(4,896)
(5,566,119)
(1,443,910)
Shares
outstanding,
end
of
period
567,533
165,948
2,790,246
2,215,198
CLASS
R6
Shares
outstanding,
beginning
of
period
................
436,452
433,047
805,243
752,319
Shares
sold
.....................................
46,993
3,212
4,553,523
337,969
Shares
issued
on
reinvestment
of
distributions
...........
2,807
2,223
248,173
10,134
Shares
redeemed
.................................
(39,530)
(2,030)
(1,196,709)
(295,179)
Shares
outstanding,
end
of
period
446,722
436,452
4,410,230
805,243
Statements
of
Changes
in
Net
Assets
(Continued)
300
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
LONG-SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
714,867
$
(3,750,432)
$
1,016,516
$
(343,758)
Net
realized
gain
(loss)
.............................
49,300,133
72,656,523
6,124,889
(643,688)
Net
change
in
unrealized
appreciation
(depreciation)
.......
1,565,649
9,173,540
7,328,512
(395,344)
Net increase
(decrease)
in
net
assets
resulting
from
operations
51,580,649
78,079,631
14,469,917
(1,382,790)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Distributable
earnings
—
—
—
—
Class
I
.........................................
(69,421,677)
—
(7,653,485)
(110,636)
Class
N
.........................................
(1,615,998)
—
(521,926)
(8,267)
Class
R6
........................................
(855,304)
—
(2,950,237)
(300,419)
Total
distributions
(71,892,979)
—
(11,125,648)
(419,322)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
577,335,870
98,668,089
140,398,205
4,917,986
Reinvestment
of
distributions
.........................
64,695,538
—
7,646,245
109,839
Cost
of
shares
redeemed
...........................
(355,208,306)
(241,227,711)
(24,654,888)
(5,780,955)
Net
increase
(decrease)
from
capital
transactions
286,823,102
(142,559,622)
123,389,562
(753,130)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
11,460,850
8,735,206
7,232,994
261,432
Reinvestment
of
distributions
.........................
1,569,643
—
517,179
7,580
Cost
of
shares
redeemed
...........................
(10,294,244)
(7,208,924)
(1,442,119)
(122,035)
Net
increase
(decrease)
from
capital
transactions
2,736,249
1,526,282
6,308,054
146,977
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
3,724,868
2,956,081
25,588,871
1,768,718
Reinvestment
of
distributions
.........................
816,662
—
1,541,995
82,806
Cost
of
shares
redeemed
...........................
(14,070,856)
(8,393,296)
(7,415,398)
(343,303)
Net
increase
(decrease)
from
capital
transactions
(9,529,326)
(5,437,215)
19,715,468
1,508,221
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
280,030,025
(146,470,555)
149,413,084
902,068
Total
increase
(decrease)
in
net
assets
259,717,695
(68,390,924)
152,757,353
(900,044)
NET
ASSETS:
Beginning
of
period
................................
304,937,975
373,328,899
27,217,412
28,117,456
End
of
period
...................................
$
564,655,670
$
304,937,975
$
179,974,765
$
27,217,412
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
301
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
LONG-SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
22,660,129
37,323,213
798,180
888,298
Shares
sold
.....................................
41,190,658
8,955,898
12,594,098
510,946
Shares
issued
on
reinvestment
of
distributions
...........
5,163,251
—
723,391
12,286
Shares
redeemed
.................................
(26,527,310)
(23,618,982)
(2,185,491)
(613,350)
Shares
outstanding,
end
of
period
42,486,728
22,660,129
11,930,178
798,180
CLASS
N
Shares
outstanding,
beginning
of
period
................
913,522
749,475
72,073
57,047
Shares
sold
.....................................
838,701
822,939
702,793
27,192
Shares
issued
on
reinvestment
of
distributions
...........
127,717
—
49,873
862
Shares
redeemed
.................................
(790,071)
(658,892)
(130,744)
(13,028)
Shares
outstanding,
end
of
period
1,089,869
913,522
693,995
72,073
CLASS
R6
Shares
outstanding,
beginning
of
period
................
1,207,353
1,686,829
2,147,926
1,985,904
Shares
sold
.....................................
267,646
261,108
2,399,970
188,379
Shares
issued
on
reinvestment
of
distributions
...........
64,712
—
145,471
9,242
Shares
redeemed
.................................
(1,018,415)
(740,584)
(679,266)
(35,599)
Shares
outstanding,
end
of
period
521,296
1,207,353
4,014,101
2,147,926
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
302
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MANAGED
FUTURES
STRATEGY
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
4,138,357
$
(18,918,450)
$
122,546
$
(1,677,053)
Net
realized
gain
(loss)
.............................
343,310,144
80,523,328
25,262,537
4,379,467
Net
change
in
unrealized
appreciation
(depreciation)
.......
17,428,117
(58,148,727)
3,871,281
(5,217,323)
Net increase
(decrease)
in
net
assets
resulting
from
operations
364,876,618
3,456,151
29,256,364
(2,514,909)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(156,421,893)
(60,400,347)
(9,939,643)
(4,180,219)
Class
N
.........................................
(7,583,288)
(3,113,556)
(410,857)
(237,747)
Class
R6
........................................
(19,712,879)
(7,636,294)
(3,651,151)
(2,001,524)
Total
distributions
(183,718,060)
(71,150,197)
(14,001,651)
(6,419,490)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
855,979,584
328,131,780
158,000,767
23,862,052
Reinvestment
of
distributions
.........................
123,757,286
47,020,849
9,752,600
4,127,343
Cost
of
shares
redeemed
...........................
(706,257,428)
(886,099,012)
(80,999,983)
(74,693,533)
Net
increase
(decrease)
from
capital
transactions
273,479,442
(510,946,383)
86,753,384
(46,704,138)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
40,962,020
13,334,036
22,522,870
1,421,435
Reinvestment
of
distributions
.........................
7,378,524
3,036,104
410,137
237,522
Cost
of
shares
redeemed
...........................
(42,316,387)
(336,195,400)
(20,612,615)
(2,157,096)
Net
increase
(decrease)
from
capital
transactions
6,024,157
(319,825,260)
2,320,392
(498,139)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
132,705,451
90,464,467
33,151,969
7,802,731
Reinvestment
of
distributions
.........................
7,120,170
5,667,632
3,634,444
1,999,161
Cost
of
shares
redeemed
...........................
(80,207,618)
(427,501,150)
(17,606,902)
(12,676,074)
Net
increase
(decrease)
from
capital
transactions
59,618,003
(331,369,051)
19,179,511
(2,874,182)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
339,121,602
(1,162,140,694)
108,253,287
(50,076,459)
Total
increase
(decrease)
in
net
assets
520,280,160
(1,229,834,740)
123,508,000
(59,010,858)
NET
ASSETS:
Beginning
of
period
................................
1,019,803,204
2,249,637,944
59,559,045
118,569,903
End
of
period
...................................
$
1,540,083,364
$
1,019,803,204
$
183,067,045
$
59,559,045
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
303
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MANAGED
FUTURES
STRATEGY
FUND
*
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
119,912,936
184,061,144
6,090,044
13,033,808
Shares
sold
.....................................
92,885,302
41,746,669
17,770,919
3,409,999
Shares
issued
on
reinvestment
of
distributions
...........
14,307,201
6,521,616
1,175,012
684,468
Shares
redeemed
.................................
(76,465,112)
(112,416,493)
(9,251,292)
(11,038,231)
Shares
outstanding,
end
of
period
150,640,327
119,912,936
15,784,683
6,090,044
CLASS
N
Shares
outstanding,
beginning
of
period
................
6,791,239
47,202,273
380,076
452,751
Shares
sold
.....................................
4,427,942
1,701,088
2,432,234
198,971
Shares
issued
on
reinvestment
of
distributions
...........
859,968
424,629
49,059
39,195
Shares
redeemed
.................................
(4,640,557)
(42,536,751)
(2,276,018)
(310,841)
Shares
outstanding,
end
of
period
7,438,592
6,791,239
585,351
380,076
CLASS
R6
Shares
outstanding,
beginning
of
period
................
13,840,246
55,630,961
3,296,965
3,657,794
Shares
sold
.....................................
13,450,710
11,425,370
3,842,745
1,142,740
Shares
issued
on
reinvestment
of
distributions
...........
821,242
784,991
436,832
330,440
Shares
redeemed
.................................
(9,254,448)
(54,001,076)
(2,044,915)
(1,834,009)
Shares
outstanding,
end
of
period
18,857,750
13,840,246
5,531,627
3,296,965
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
304
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MULTI-ASSET
FUND
*
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
3,667,806
$
1,816,726
$
1,470,142
$
(1,765,481)
Net
realized
gain
(loss)
.............................
(5,755,127)
11,220,709
22,059,407
45,624,121
Net
change
in
unrealized
appreciation
(depreciation)
.......
(14,086,298)
4,727,867
14,352,416
3,965,649
Net increase
(decrease)
in
net
assets
resulting
from
operations
(16,173,619)
17,765,302
37,881,965
47,824,289
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(6,314,647)
(6,565,161)
(33,303,715)
(34,748,130)
Class
N
.........................................
(557,782)
(343,784)
(3,596,724)
(5,277,938)
Class
R6
........................................
(2,404,191)
(959,104)
(2,857,711)
(487,714)
Total
distributions
(9,276,620)
(7,868,049)
(39,758,150)
(40,513,782)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
72,900,278
15,594,074
509,819,069
232,827,893
Reinvestment
of
distributions
.........................
4,059,089
4,670,202
32,944,319
34,473,488
Cost
of
shares
redeemed
...........................
(68,048,548)
(44,606,195)
(365,099,249)
(95,519,548)
Net
increase
(decrease)
from
capital
transactions
8,910,819
(24,341,919)
177,664,139
171,781,833
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
8,999,250
1,976,625
33,560,689
22,008,305
Reinvestment
of
distributions
.........................
538,964
296,427
3,596,724
5,277,938
Cost
of
shares
redeemed
...........................
(5,121,711)
(2,282,264)
(29,051,812)
(16,240,342)
Net
increase
(decrease)
from
capital
transactions
4,416,503
(9,212)
8,105,601
11,045,901
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
40,488,257
5,306,569
34,316,049
3,333,019
Reinvestment
of
distributions
.........................
2,404,191
955,684
2,850,875
476,176
Cost
of
shares
redeemed
...........................
(15,213,727)
(2,435,755)
(8,114,335)
(1,383,589)
Net
increase
(decrease)
from
capital
transactions
27,678,721
3,826,498
29,052,589
2,425,606
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
41,006,043
(20,524,633)
214,822,329
185,253,340
Total
increase
(decrease)
in
net
assets
15,555,804
(10,627,380)
212,946,144
192,563,847
NET
ASSETS:
Beginning
of
period
................................
127,446,710
138,074,090
248,099,250
55,535,403
End
of
period
...................................
$
143,002,514
$
127,446,710
$
461,045,394
$
248,099,250
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
305
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
MULTI-ASSET
FUND
*
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
*
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
9,928,770
12,265,365
26,596,501
5,631,966
Shares
sold
.....................................
7,366,862
1,477,644
51,808,420
27,913,051
Shares
issued
on
reinvestment
of
distributions
...........
458,654
445,205
3,778,018
4,293,087
Shares
redeemed
.................................
(7,060,831)
(4,259,444)
(38,420,941)
(11,241,603)
Shares
outstanding,
end
of
period
10,693,455
9,928,770
43,761,998
26,596,501
CLASS
N
Shares
outstanding,
beginning
of
period
................
556,832
570,487
3,735,120
2,399,584
Shares
sold
.....................................
911,972
180,312
3,528,389
2,637,058
Shares
issued
on
reinvestment
of
distributions
...........
61,107
28,339
420,670
669,789
Shares
redeemed
.................................
(514,618)
(222,306)
(3,094,754)
(1,971,311)
Shares
outstanding,
end
of
period
1,015,293
556,832
4,589,425
3,735,120
CLASS
R6
Shares
outstanding,
beginning
of
period
................
1,609,210
1,245,435
430,409
114,907
Shares
sold
.....................................
4,164,895
500,818
3,441,415
414,638
Shares
issued
on
reinvestment
of
distributions
...........
271,967
91,191
325,071
59,079
Shares
redeemed
.................................
(1,546,518)
(228,234)
(875,592)
(158,215)
Shares
outstanding,
end
of
period
4,499,554
1,609,210
3,321,303
430,409
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
306
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
*
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
PERIOD
12/16/21
**
-
12/31/21
OPERATIONS:
Net
investment
income
(loss)
........................
$
(876,375)
$
(9,477,690)
$
(46,972)
$
(4,936)
Net
realized
gain
(loss)
.............................
252,813,600
126,371,766
876,432
(115)
Net
change
in
unrealized
appreciation
(depreciation)
.......
(42,344,878)
33,550,456
470,576
81,983
Net increase
(decrease)
in
net
assets
resulting
from
operations
209,592,347
150,444,532
1,300,036
76,932
DISTRIBUTIONS
TO
SHAREHOLDERS:
Distributable
earnings
—
—
—
—
Class
I
.........................................
(63,228,460)
(27,925,373)
(196,621)
—
Class
N
.........................................
(6,367,403)
(2,257,265)
(100,622)
—
Class
R6
........................................
(94,082,119)
(46,587,791)
(225,621)
—
Total
distributions
(163,677,982)
(76,770,429)
(522,864)
—
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
237,851,533
158,057,194
9,380,014
500,000
Reinvestment
of
distributions
.........................
60,326,832
25,637,051
184,415
—
Cost
of
shares
redeemed
...........................
(233,719,578)
(203,683,304)
(322,648)
—
Net
increase
(decrease)
from
capital
transactions
64,458,787
(19,989,059)
9,241,781
500,000
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
33,082,015
9,682,806
5,865,960
500,000
Reinvestment
of
distributions
.........................
5,576,392
2,069,523
89,042
—
Cost
of
shares
redeemed
...........................
(25,998,628)
(9,305,147)
(1,330,063)
—
Net
increase
(decrease)
from
capital
transactions
12,659,779
2,447,182
4,624,939
500,000
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
160,336,346
85,955,708
—
9,011,500
Reinvestment
of
distributions
.........................
88,280,427
44,723,437
288
—
Cost
of
shares
redeemed
...........................
(192,398,557)
(170,969,347)
—
—
Net
increase
(decrease)
from
capital
transactions
56,218,216
(40,290,202)
288
9,011,500
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
133,336,782
(57,832,079)
13,867,008
10,011,500
Total
increase
(decrease)
in
net
assets
179,251,147
15,842,024
14,644,180
10,088,432
NET
ASSETS:
Beginning
of
period
................................
658,204,918
642,362,894
10,088,432
—
End
of
period
...................................
$
837,456,065
$
658,204,918
$
24,732,612
$
10,088,432
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
307
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
*
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
FOR
THE
PERIOD
12/16/21
**
-
12/31/21
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
34,514,139
37,337,857
50,000
—
Shares
sold
.....................................
27,913,018
21,549,285
793,457
50,000
Shares
issued
on
reinvestment
of
distributions
...........
8,097,561
3,688,784
16,480
—
Shares
redeemed
.................................
(27,449,238)
(28,061,787)
(30,495)
—
Shares
outstanding,
end
of
period
43,075,480
34,514,139
829,442
50,000
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,732,084
2,352,158
50,000
—
Shares
sold
.....................................
3,865,711
1,341,245
510,761
50,000
Shares
issued
on
reinvestment
of
distributions
...........
755,609
299,931
7,972
—
Shares
redeemed
.................................
(3,035,417)
(1,261,250)
(127,795)
—
Shares
outstanding,
end
of
period
4,317,987
2,732,084
440,938
50,000
CLASS
R6
Shares
outstanding,
beginning
of
period
................
56,170,219
61,159,132
901,150
—
Shares
sold
.....................................
18,894,649
11,791,726
—
901,150
Shares
issued
on
reinvestment
of
distributions
...........
11,802,196
6,407,369
26
—
Shares
redeemed
.................................
(22,605,216)
(23,188,008)
—
—
Shares
outstanding,
end
of
period
64,261,848
56,170,219
901,176
901,150
*
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
**
Commencement
of
operations.
Statements
of
Cash
Flows
308
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
***
AQR
MACRO
OPPORTUNITIES
FUND
***
AQR
MULTI-
ASSET
FUND
***
CASH
FLOWS
FROM
(USED
IN)
OPERATING
ACTIVITIES:
Net
increase
(decrease)
in
net
assets
resulting
from
operations
...............
$
32,436,898
$
14,469,917
$
(16,173,619)
Adjustments
to
reconcile
net
increase
(decrease)
in
net
assets
resulting
from
operations
to
net
cash
provided
by
(used
in)
operating
activities:
—
—
—
Payments
to
purchase
securities
....................................
(254,576,259)
(47,253,423)
(155,579,551)
Payments
to
cover
short
positions
in
securities
..........................
(149,435,741)
(34,329,565)
(34,254,566)
Proceeds
from
sale
of
securities
.....................................
113,502,018
34,613,461
151,227,535
Proceeds
from
short
positions
in
securities
.............................
294,000,907
35,077,065
40,022,055
(Purchases)
sales
of
short-term
investments,
net
........................
(6,014,365)
(114,031,008)
1,665,592
(Purchases)
maturities
of
repurchase
agreements,
net
....................
—
—
1,004,872
Realized
(gain)
loss
on
investments
in
securities
........................
4,740,366
1,188,168
6,640,642
Realized
(gain)
loss
on
reverse
repurchase
agreements
...................
—
—
(1,217,028)
Realized
(gain)
loss
on
short
positions
in
securities
.......................
681,923
(1,888,231)
(5,048,254)
Change
in
unrealized
(appreciation)
depreciation
on
investments
in
securities
...
(9,075,657)
351,507
11,996,554
Change
in
unrealized
(appreciation)
depreciation
on
short
positions
in
securities
.
(17,147,596)
—
(19,198)
Amortization
(accretion)
of
bond
premium
(discount)
......................
(532,262)
(980,902)
(2,501,242)
(Increases)
decreases
in
operating
assets:
–
–
–
Due
from
brokers
................................................
(354,987)
(310,328)
395,144
Deposits
with
brokers
for
futures
contracts
.............................
(4,820,397)
(17,348,668)
(4,318,460)
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
......
(577,164)
(6,501,611)
(1,097,795)
Unrealized
appreciation
on
OTC
swaps
...............................
302,506
(47,864)
81,155
Deposits
for
securities
sold
short
....................................
1,445,149
—
—
Deposits
with
brokers
for
centrally
cleared
swaps
.......................
(1,017,421)
(3,924,470)
—
Variation
margin
on
centrally
cleared
swaps
............................
5,906
(4,789)
—
Variation
margin
on
futures
contracts
.................................
(206,540)
(756,243)
58,378
Foreign
tax
reclaim
..............................................
(52,995)
(416)
(29,127)
Dividends
and
Interest
............................................
(520,904)
(244,508)
(64,311)
Due
from
Investment
Adviser
.......................................
—
37,638
—
Prepaid
expenses
...............................................
(275)
(7,695)
(12,686)
Increases
(decreases)
in
operating
liabilities
–
–
–
Due
to
broker
...................................................
327,918
(98,348)
(147,446)
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
......
1,492,136
5,216,902
1,208,010
Unrealized
depreciation
on
OTC
swaps
...............................
(23,542)
109,168
(2,825)
Deposits
from
brokers
for
futures
contracts
.............................
—
172
—
Variation
margin
on
centrally
cleared
swaps
............................
40,589
171,090
—
Variation
margin
on
futures
contracts
.................................
(555,698)
20,300
287,199
Accrued
investment
advisory
fees
...................................
28,095
101,861
1,036
Accrued
distribution
fees—Class
N
...................................
(208)
1,349
626
Dividends
and
Interest
payable
on
securities
sold
short
...................
189,282
1,432
5,939
Other
accrued
expenses
and
liabilities
................................
22,596
12,479
27,831
Net
cash
provided
by
(used
in)
operating
activities
$
4,304,278
$
(136,355,560)
$
(5,843,540)
—
—
—
CASH
FLOWS
FROM
(USED
IN)
FINANCING
ACTIVITIES
—
—
—
Proceeds
from
shares
sold
.........................................
52,349,676
171,279,668
120,761,072
Net
change
in
reverse
repurchase
agreements
..........................
—
—
(26,206,430)
Payments
on
shares
redeemed
.....................................
(59,991,145)
(33,442,852)
(86,875,883)
Cash
distributions
paid
............................................
—
(1,420,229)
(2,274,376)
Due
to
custodian
................................................
—
—
350,439
Net
cash
provided
by
(used
in)
financing
activities
.......................
$
(7,641,469)
$
136,416,587
$
5,754,822
Net
change
in
cash
and
cash
denominated
in
foreign
currencies
..............
(3,337,191)
61,027
(88,718)
Cash,
beginning
of
period
.........................................
3,510,062
169,953
571,136
Cash,
end
of
period^
.............................................
$
172,871
$
230,980
$
482,418
Supplemental
disclosure
of
cash
flow
information:
Cash
paid
during
the
period
for
interest
in
the
amount
of
$772,703,
$–
and
$119,242.
Non-cash
financing
activities
consist
of
reinvestment
of
distributions
in
the
amount
$–,
$9,705,419
and
$7,002,244.
***
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Cash
Flows
309
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
^
The
following
is
a
reconciliation
of
cash
and
cash
held
in
foreign
currencies
reported
within
the
Statements
of
Assets
and
Liabilities
that
sum
to
the
total
of
the
same
such
amounts
disclosed
in
the
Statement
of
Cash
Flows:
FUND
CASH
CASH
DENOMINATED
IN
FOREIGN
CURRENCIES
TOTAL
CASH
AND
CASH
DENOMINATED
IN
FOREIGN
CURRENCIES
AQR
Alternative
Risk
Premia
Fund
..........................................
$
39,039
$
133,832
$
172,871
AQR
Macro
Opportunities
Fund
.............................................
16,165
214,815
230,980
AQR
Multi-Asset
Fund
...................................................
—
482,418
482,418
310
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.56
0.08
1.83
1.91
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.89
(0.05)
1.03
0.98
(0.31)
—
—
(0.31)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.89
(0.02)
(1.84)
(1.86)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.25
0.05
6
(0.33)
(0.28)
(0.08)
—
—
(0.08)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.01
(0.00)
7
(0.75)
(0.75)
(0.01)
—
—
(0.01)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.53
0.05
1.82
1.87
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.86
(0.06)
1.02
0.96
(0.29)
—
—
(0.29)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.88
(0.04)
(1.84)
(1.88)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.23
0.03
6
(0.33)
(0.30)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.01
(0.03)
(0.74)
(0.77)
(0.01)
—
—
(0.01)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.58
0.09
1.84
1.93
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.91
(0.03)
1.02
0.99
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.91
(0.02)
(1.84)
(1.86)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.27
0.05
6
(0.32)
(0.27)
(0.09)
—
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.02
0.01
(0.75)
(0.74)
(0.01)
—
—
(0.01)
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.10
0.08
9
(0.48)
(0.40)
(0.01)
—
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.46
(0.12)
0.84
0.72
(0.08)
—
—
(0.08)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.30
(0.03)
2.37
2.34
(0.15)
—
(0.03)
(0.18)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.75
0.08
0.67
0.75
(0.20)
—
—
(0.20)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.12
0.06
0.14
0.20
(0.57)
—
—
(0.57)
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.12
0.07
9
(0.50)
(0.43)
(0.01)
—
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.48
(0.15)
0.84
0.69
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.31
(0.06)
2.38
2.32
(0.12)
—
(0.03)
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.76
0.05
0.67
0.72
(0.17)
—
—
(0.17)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.12
0.04
0.14
0.18
(0.54)
—
—
(0.54)
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.08
0.10
9
(0.48)
(0.38)
(0.01)
—
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.44
(0.11)
0.84
0.73
(0.09)
—
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.28
(0.01)
2.36
2.35
(0.15)
—
(0.04)
(0.19)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.73
0.12
0.63
0.75
(0.20)
—
—
(0.20)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.10
0.08
0.13
0.21
(0.58)
—
—
(0.58)
311
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
9.47
25.26%
$
54,627
3.30%
3.12%
1.40%
0.91%
262%
$
7.56
14.25%
$
46,808
3.09%
2.79%
1.40%
(0.62)%
179%
$
6.89
(20.95)%
$
61,080
3.31%
3.20%
1.41%
(0.31)%
232%
$
8.89
(3.08)%
$
144,245
3.60%
3.55%
1.40%
0.58%
6
192%
$
9.25
(7.51)%
$
260,990
3.40%
8
3.32%
1.40%
(0.00)%
253%
$
9.40
24.83%
$
5,926
3.56%
3.37%
1.65%
0.58%
262%
$
7.53
14.03%
$
7,422
3.35%
3.04%
1.65%
(0.78)%
179%
$
6.86
(21.20)%
$
6,503
3.57%
3.45%
1.66%
(0.51)%
232%
$
8.88
(3.24)%
$
8,989
3.85%
3.80%
1.65%
0.28%
6
192%
$
9.23
(7.72)%
$
11,467
3.64%
8
3.55%
1.63%
(0.27)%
253%
$
9.51
25.46%
$
101,094
3.21%
3.02%
1.30%
1.08%
262%
$
7.58
14.31%
$
82,522
3.00%
2.69%
1.30%
(0.43)%
179%
$
6.91
(20.90)%
$
54,859
3.22%
3.10%
1.31%
(0.24)%
232%
$
8.91
(2.93)%
$
82,300
3.51%
3.45%
1.30%
0.53%
6
192%
$
9.27
(7.41)%
$
98,967
3.31%
8
3.23%
1.30%
0.06%
253%
$
11.69
(3.29)%
$
1,017,383
1.31%
1.30%
1.20%
0.68%
9
164%
$
12.10
6.27%
$
922,765
1.51%
1.47%
1.20%
(0.98)%
518%
$
11.46
25.21%
$
611,741
2.10%
2.04%
1.20%
(0.29)%
598%
$
9.30
8.53%
$
464,186
2.06%
1.98%
1.20%
0.88%
361%
$
8.75
2.19%
$
319,152
1.96%
1.92%
1.20%
0.66%
390%
$
11.68
(3.54)%
$
66,385
1.57%
1.55%
1.45%
0.58%
9
164%
$
12.12
5.99%
$
44,676
1.76%
1.72%
1.45%
(1.22)%
518%
$
11.48
24.96%
$
34,599
2.35%
2.29%
1.45%
(0.60)%
598%
$
9.31
8.21%
$
55,694
2.30%
2.22%
1.44%
0.52%
361%
$
8.76
2.01%
$
66,251
2.21%
2.17%
1.45%
0.44%
390%
$
11.69
(3.13)%
$
458,946
1.22%
1.20%
1.10%
0.81%
9
164%
$
12.08
6.37%
$
358,110
1.42%
1.37%
1.10%
(0.88)%
518%
$
11.44
25.36%
$
232,201
2.00%
1.94%
1.10%
(0.10)%
598%
$
9.28
8.64%
$
19,077
1.96%
1.88%
1.10%
1.27%
361%
$
8.73
2.41%
$
13,654
1.87%
1.82%
1.10%
0.79%
390%
312
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
I
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.82
1.43
0.17
10
1.60
(0.93)
(0.02)
—
(0.95)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.57
0.54
1.11
(0.51)
(0.15)
—
(0.66)
FOR
THE
PERIOD
6/08/20
11
-12/31/20
$
10.00
0.23
0.34
0.57
(0.20)
—
—
(0.20)
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
N
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.80
0.95
0.62
10
1.57
(0.90)
(0.02)
—
(0.92)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.75
0.33
1.08
(0.50)
(0.15)
—
(0.65)
FOR
THE
PERIOD
6/08/20
11
-12/31/20
$
10.00
0.15
0.41
0.56
(0.19)
—
—
(0.19)
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.83
0.91
0.70
10
1.61
(0.93)
(0.02)
—
(0.95)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.51
0.62
1.13
(0.52)
(0.15)
—
(0.67)
FOR
THE
PERIOD
6/08/20
11
-12/31/20
$
10.00
0.18
0.39
0.57
(0.20)
—
—
(0.20)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
I
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.32
0.03
1.95
1.98
(0.52)
—
—
(0.52)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.31
(0.09)
1.20
1.11
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.20
(0.02)
(1.77)
(1.79)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.76
0.13
(1.34)
(1.21)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.25
0.04
(1.48)
(1.44)
(0.05)
—
—
(0.05)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
N
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.21
0.01
1.93
1.94
(0.50)
—
—
(0.50)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.23
(0.10)
1.18
1.08
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.12
(0.03)
(1.76)
(1.79)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.70
0.12
(1.35)
(1.23)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.21
0.00
7
(1.46)
(1.46)
(0.05)
—
—
(0.05)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.35
0.06
1.94
2.00
(0.53)
—
—
(0.53)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.32
(0.08)
1.21
1.13
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.22
(0.00)
7
(1.80)
(1.80)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.77
0.11
(1.31)
(1.20)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.25
0.05
(1.48)
(1.43)
(0.05)
—
—
(0.05)
313
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
11.47
14.69%
$
177,048
0.29%
0.20%
0.20%
11.92%
48%
$
10.82
10.66%
$
27,048
1.03%
8
0.20%
0.20%
5.11%
14%
$
10.37
5.71%
$
15,645
1.31%
8
0.20%
0.20%
3.91%
14%
$
11.45
14.49%
$
6,499
0.52%
0.45%
0.45%
7.90%
48%
$
10.80
10.37%
$
1,792
1.15%
8
0.45%
0.45%
6.69%
14%
$
10.37
5.61%
$
533
1.87%
8
0.45%
0.45%
2.56%
14%
$
11.49
14.84%
$
5,133
0.22%
0.10%
0.10%
7.65%
48%
$
10.83
10.84%
$
4,725
0.93%
8
0.10%
0.10%
4.55%
14%
$
10.37
5.75%
$
4,492
1.62%
8
0.10%
0.10%
3.06%
14%
$
8.78
27.22%
$
116,154
1.62%
1.47%
1.30%
0.35%
319%
$
7.32
17.64%
$
32,802
1.87%
1.48%
1.30%
(1.22)%
282%
$
6.31
(19.52)%
$
38,498
1.73%
1.63%
1.30%
(0.20)%
312%
$
9.20
(11.27)%
$
208,679
2.23%
2.21%
1.27%
1.31%
263%
$
10.76
(11.73)%
$
708,592
1.99%
1.99%
1.24%
0.32%
175%
$
8.65
27.03%
$
24,133
1.88%
1.72%
1.55%
0.12%
319%
$
7.21
17.38%
$
15,968
2.13%
1.73%
1.55%
(1.45)%
282%
$
6.23
(19.70)%
$
10,040
2.03%
1.88%
1.55%
(0.33)%
312%
$
9.12
(11.52)%
$
14,129
2.50%
2.49%
1.55%
1.20%
263%
$
10.70
(11.94)%
$
209,290
2.27%
2.27%
1.53%
0.02%
175%
$
8.82
27.33%
$
38,898
1.53%
1.37%
1.20%
0.72%
319%
$
7.35
17.93%
$
5,917
1.79%
1.38%
1.20%
(1.13)%
282%
$
6.32
(19.61)%
$
4,758
1.67%
1.53%
1.20%
(0.01)%
312%
$
9.22
(11.17)%
$
38,112
2.15%
2.14%
1.20%
1.05%
263%
$
10.77
(11.65)%
$
206,044
1.93%
1.93%
1.18%
0.44%
175%
314
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
LONG-SHORT
EQUITY
FUND
CLASS
I
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.31
0.02
2.29
2.31
(1.32)
(0.49)
—
(1.81)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.39
(0.14)
3.06
2.92
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
11.08
(0.04)
(1.50)
(1.54)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.94
0.10
0.04
0.14
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.88
0.04
(2.32)
(2.28)
(0.04)
(0.62)
—
(0.66)
AQR
LONG-SHORT
EQUITY
FUND
CLASS
N
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.09
(0.03)
2.27
2.24
(1.28)
(0.49)
—
(1.77)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.25
(0.17)
3.01
2.84
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
10.95
(0.08)
(1.47)
(1.55)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.84
0.07
0.04
0.11
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.80
(0.01)
(2.29)
(2.30)
(0.04)
(0.62)
—
(0.66)
AQR
LONG-SHORT
EQUITY
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
12.38
(0.03)
2.37
2.34
(1.33)
(0.49)
—
(1.82)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.44
(0.13)
3.07
2.94
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
11.12
(0.02)
(1.51)
(1.53)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.97
0.10
0.05
0.15
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.91
0.04
(2.32)
(2.28)
(0.04)
(0.62)
—
(0.66)
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
9.01
0.15
2.46
2.61
(0.03)
(0.77)
—
(0.80)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.58
(0.12)
(0.31)
(0.43)
(0.08)
(0.06)
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.52
(0.07)
0.22
0.15
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.08
0.06
0.38
0.44
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.75
0.03
0.65
0.68
(0.15)
(0.20)
—
(0.35)
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
8.86
0.12
2.42
2.54
(0.02)
(0.77)
—
(0.79)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.42
(0.14)
(0.30)
(0.44)
(0.06)
(0.06)
—
(0.12)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.39
(0.10)
0.22
0.12
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.97
0.03
0.39
0.42
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.66
(0.00)
7
0.66
0.66
(0.15)
(0.20)
—
(0.35)
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
9.03
0.12
2.51
2.63
(0.04)
(0.77)
—
(0.81)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.60
(0.11)
(0.31)
(0.42)
(0.09)
(0.06)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.53
(0.07)
0.23
0.16
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.08
0.06
0.39
0.45
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.75
0.04
0.65
0.69
(0.16)
(0.20)
—
(0.36)
315
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
12.81
19.11%
$
544,239
1.37%
1.34%
1.30%
0.16%
0%
$
12.31
31.10%
$
278,938
1.36%
1.31%
1.30%
(1.26)%
0%
$
9.39
(13.91)%
$
350,475
1.32%
1.31%
1.30%
(0.42)%
269%
$
11.08
1.28%
$
901,269
2.06%
2.06%
1.26%
0.92%
292%
$
10.94
(16.40)%
$
1,697,554
1.73%
1.73%
1.24%
0.28%
462%
$
12.56
18.84%
$
13,691
1.63%
1.59%
1.55%
(0.23)%
0%
$
12.09
30.70%
$
11,049
1.62%
1.56%
1.55%
(1.52)%
0%
$
9.25
(14.17)%
$
6,934
1.57%
1.56%
1.55%
(0.79)%
269%
$
10.95
1.01%
$
28,689
2.33%
2.33%
1.53%
0.60%
292%
$
10.84
(16.64)%
$
117,289
2.01%
2.01%
1.51%
(0.04)%
462%
$
12.90
19.25%
$
6,726
1.28%
1.24%
1.20%
(0.19)%
0%
$
12.38
31.14%
$
14,951
1.27%
1.21%
1.20%
(1.16)%
0%
$
9.44
(13.77)%
$
15,920
1.23%
1.21%
1.20%
(0.25)%
269%
$
11.12
1.37%
$
76,285
1.99%
1.99%
1.19%
0.87%
292%
$
10.97
(16.36)%
$
206,247
1.66%
1.66%
1.16%
0.32%
462%
$
10.82
29.28%
$
129,055
1.98%
1.68%
1.20%
1.34%
319%
$
9.01
(4.54)%
$
7,190
2.32%
12
1.26%
1.25%
(1.23)%
0%
$
9.58
1.61%
$
8,510
2.22%
1.35%
1.34%
(0.77)%
0%
$
9.52
4.90%
$
14,985
2.15%
1.45%
1.45%
0.59%
0%
$
9.08
7.80%
$
20,230
1.93%
1.42%
1.42%
0.29%
0%
$
10.61
28.87%
$
7,366
2.28%
1.93%
1.45%
1.13%
319%
$
8.86
(4.72)%
$
638
2.60%
12
1.50%
1.50%
(1.47)%
0%
$
9.42
1.31%
$
537
2.47%
1.60%
1.59%
(1.04)%
0%
$
9.39
4.73%
$
1,173
2.23%
1.70%
1.70%
0.37%
0%
$
8.97
7.57%
$
17,074
2.11%
1.68%
1.68%
(0.04)%
0%
$
10.85
29.38%
$
43,554
1.98%
1.58%
1.10%
1.13%
319%
$
9.03
(4.41)%
$
19,389
2.24%
12
1.16%
1.15%
(1.13)%
0%
$
9.60
1.71%
$
19,070
2.12%
1.23%
1.22%
(0.71)%
0%
$
9.53
5.01%
$
11,841
2.08%
1.35%
1.35%
0.67%
0%
$
9.08
7.84%
$
12,073
1.91%
1.35%
1.35%
0.41%
0%
316
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.26
0.03
2.53
2.56
(1.11)
—
—
(1.11)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.85
(0.09)
0.00
7
(0.09)
(0.50)
—
—
(0.50)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.30
(0.04)
0.01
(0.03)
(0.42)
—
—
(0.42)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.41
0.09
0.06
0.15
(0.26)
—
—
(0.26)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.23
0.06
(0.88)
(0.82)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.20
0.00
7
2.52
2.52
(1.09)
—
—
(1.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.78
(0.11)
0.00
7
(0.11)
(0.47)
—
—
(0.47)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.16
(0.06)
0.00
7
(0.06)
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.27
0.06
0.07
0.13
(0.24)
—
—
(0.24)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.10
0.03
(0.86)
(0.83)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.27
0.05
2.52
2.57
(1.12)
—
—
(1.12)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.86
(0.09)
0.01
(0.08)
(0.51)
—
—
(0.51)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.32
(0.03)
0.00
7
(0.03)
(0.43)
—
—
(0.43)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.42
0.09
0.08
0.17
(0.27)
—
—
(0.27)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.24
0.06
(0.88)
(0.82)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
6.09
0.01
3.03
3.04
(0.78)
—
—
(0.78)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.91
(0.12)
(0.03)
(0.15)
(0.67)
—
—
(0.67)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.64
(0.06)
(0.01)
(0.07)
(0.66)
—
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.82
0.04
0.10
0.14
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.14
0.00
7
(1.32)
(1.32)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
6.12
(0.01)
3.04
3.03
(0.74)
—
—
(0.74)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.94
(0.13)
(0.04)
(0.17)
(0.65)
—
—
(0.65)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.56
(0.07)
(0.01)
(0.08)
(0.54)
—
—
(0.54)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.73
0.02
0.10
0.12
(0.29)
—
—
(0.29)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.06
(0.02)
(1.31)
(1.33)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
6.11
0.01
3.04
3.05
(0.79)
—
—
(0.79)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.93
(0.11)
(0.03)
(0.14)
(0.68)
—
—
(0.68)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.66
(0.05)
(0.01)
(0.06)
(0.67)
—
—
(0.67)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.84
0.05
0.10
0.15
(0.33)
—
—
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.15
0.01
(1.32)
(1.31)
—
—
—
—
317
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
8.71
35.38%
$
1,311,469
1.27%
1.27%
1.25%
0.28%
0%
$
7.26
(1.06)%
$
870,337
1.24%
1.24%
1.23%
(1.18)%
0%
$
7.85
(0.29)%
$
1,445,072
1.22%
1.22%
1.22%
(0.46)%
0%
$
8.30
1.80%
$
2,315,083
1.21%
1.21%
1.20%
1.00%
0%
$
8.41
(8.88)%
$
4,254,642
1.16%
1.16%
1.16%
0.62%
0%
$
8.63
35.04%
$
64,180
1.53%
1.52%
1.50%
0.01%
0%
$
7.20
(1.31)%
$
48,894
1.47%
1.47%
1.47%
(1.41)%
0%
$
7.78
(0.60)%
$
367,278
1.49%
1.49%
1.49%
(0.72)%
0%
$
8.16
1.56%
$
1,506,755
1.49%
1.49%
1.48%
0.71%
0%
$
8.27
(9.12)%
$
1,811,668
1.45%
1.45%
1.45%
0.30%
0%
$
8.72
35.41%
$
164,434
1.19%
1.17%
1.15%
0.52%
0%
$
7.27
(0.94)%
$
100,572
1.15%
1.15%
1.15%
(1.09)%
0%
$
7.86
(0.30)%
$
437,288
1.14%
1.14%
1.14%
(0.37)%
0%
$
8.32
2.03%
$
580,587
1.14%
1.14%
1.13%
1.07%
0%
$
8.42
(8.87)%
$
971,992
1.11%
1.11%
1.11%
0.66%
0%
$
8.35
50.00%
$
131,821
1.93%
13
1.66%
1.65%
0.12%
0%
$
6.09
(2.11)%
$
37,100
1.94%
1.71%
1.70%
(1.65)%
0%
$
6.91
(0.65)%
$
90,075
1.76%
1.66%
1.65%
(0.83)%
0%
$
7.64
1.81%
$
159,510
1.70%
1.64%
1.64%
0.50%
0%
$
7.82
(14.44)%
$
244,569
1.65%
1.64%
1.64%
0.00%
0%
$
8.41
49.52%
$
4,923
2.17%
13
1.91%
1.90%
(0.06)%
0%
$
6.12
(2.34)%
$
2,325
2.20%
1.96%
1.95%
(1.91)%
0%
$
6.94
(0.80)%
$
3,141
1.99%
1.91%
1.90%
(0.87)%
0%
$
7.56
1.55%
$
31,794
1.96%
1.90%
1.90%
0.26%
0%
$
7.73
(14.68)%
$
59,231
1.91%
1.90%
1.90%
(0.24)%
0%
$
8.37
49.95%
$
46,323
1.84%
13
1.56%
1.55%
0.07%
0%
$
6.11
(1.92)%
$
20,134
1.84%
1.60%
1.59%
(1.55)%
0%
$
6.93
(0.49)%
$
25,354
1.65%
1.56%
1.55%
(0.65)%
0%
$
7.66
1.93%
$
95,310
1.61%
1.55%
1.55%
0.59%
0%
$
7.84
(14.32)%
$
181,404
1.56%
1.55%
1.55%
0.12%
0%
318
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
MULTI-ASSET
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.54
0.25
(1.36)
(1.11)
(0.60)
(0.00)
7
—
(0.60)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.81
0.14
1.27
1.41
(0.57)
(0.11)
—
(0.68)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.66
0.01
0.25
0.26
(0.11)
—
—
(0.11)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.51
0.12
1.67
1.79
(0.64)
—
—
(0.64)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.82
0.09
(0.78)
(0.69)
(0.28)
(0.34)
—
(0.62)
AQR
MULTI-ASSET
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.51
0.22
(1.34)
(1.12)
(0.59)
(0.00)
7
—
(0.59)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.79
0.11
1.27
1.38
(0.55)
(0.11)
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.63
(0.01)
0.24
0.23
(0.07)
—
—
(0.07)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.49
0.11
1.65
1.76
(0.62)
—
—
(0.62)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.80
0.06
(0.77)
(0.71)
(0.26)
(0.34)
—
(0.60)
AQR
MULTI-ASSET
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.53
0.26
(1.36)
(1.10)
(0.61)
(0.00)
7
—
(0.61)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.80
0.16
1.26
1.42
(0.58)
(0.11)
—
(0.69)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.65
0.02
0.25
0.27
(0.12)
—
—
(0.12)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.51
0.04
1.75
1.79
(0.65)
—
—
(0.65)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.83
0.09
(0.78)
(0.69)
(0.29)
(0.34)
—
(0.63)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
8.08
0.03
1.68
1.71
(0.85)
—
—
(0.85)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.85
(0.08)
2.78
2.70
(1.47)
—
—
(1.47)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.33
(0.01)
0.54
0.53
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.65
0.06
0.95
1.01
(0.33)
—
(0.00)
7
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.90
0.05
(1.26)
(1.21)
(0.04)
—
—
(0.04)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.94
0.01
1.64
1.65
(0.83)
—
—
(0.83)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.75
(0.10)
2.74
2.64
(1.45)
—
—
(1.45)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.25
(0.03)
0.54
0.51
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.58
0.05
0.93
0.98
(0.31)
—
(0.00)
7
(0.31)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.81
0.03
(1.24)
(1.21)
(0.02)
—
—
(0.02)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
8.12
0.09
1.63
1.72
(0.86)
—
—
(0.86)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.87
(0.08)
2.81
2.73
(1.48)
—
—
(1.48)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.35
(0.01)
0.54
0.53
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.66
0.07
0.95
1.02
(0.33)
—
(0.00)
7
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.92
0.05
(1.27)
(1.22)
(0.04)
—
—
(0.04)
319
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
8.83
(10.52)%
$
94,401
1.19%
1.00%
0.80%
2.52%
179%
$
10.54
14.34%
$
104,649
1.15%
0.97%
0.80%
1.35%
125%
$
9.81
2.68%
$
120,287
1.20%
1.04%
0.87%
0.10%
187%
$
9.66
21.05%
$
119,488
1.47%
1.34%
0.93%
1.31%
233%
$
8.51
(6.96)%
$
217,406
0.93%
0.92%
0.92%
0.96%
21%
$
8.80
(10.70)%
$
8,931
1.44%
1.25%
1.05%
2.24%
179%
$
10.51
14.06%
$
5,855
1.40%
1.22%
1.05%
1.03%
125%
$
9.79
2.41%
$
5,585
1.46%
1.31%
1.14%
(0.08)%
187%
$
9.63
20.67%
$
11,366
1.74%
1.61%
1.20%
1.13%
233%
$
8.49
(7.23)%
$
12,303
1.20%
1.18%
1.18%
0.68%
21%
$
8.82
(10.43)%
$
39,671
1.09%
0.90%
0.70%
2.67%
179%
$
10.53
14.48%
$
16,943
1.05%
0.87%
0.70%
1.51%
125%
$
9.80
2.78%
$
12,202
1.08%
0.92%
0.75%
0.20%
187%
$
9.65
21.07%
$
4,691
1.38%
1.26%
0.85%
0.48%
233%
$
8.51
(6.94)%
$
24,925
0.86%
0.85%
0.85%
0.98%
21%
$
8.94
21.44%
$
391,025
1.04%
1.01%
1.00%
0.30%
0%
$
8.08
39.60%
$
214,957
1.11%
1.01%
1.00%
(0.98)%
0%
$
6.85
8.32%
$
38,558
1.10%
1.00%
1.00%
(0.13)%
0%
$
6.33
17.96%
$
105,145
1.06%
0.99%
0.99%
1.05%
0%
$
5.65
(17.58)%
$
96,393
0.99%
0.97%
0.97%
0.71%
0%
$
8.76
21.01%
$
40,199
1.30%
1.26%
1.25%
0.07%
0%
$
7.94
39.33%
$
29,648
1.37%
1.26%
1.25%
(1.23)%
0%
$
6.75
8.11%
$
16,188
1.39%
1.25%
1.25%
(0.63)%
0%
$
6.25
17.67%
$
13,586
1.32%
1.25%
1.25%
0.79%
0%
$
5.58
(17.82)%
$
17,457
1.27%
1.25%
1.25%
0.45%
0%
$
8.98
21.45%
$
29,821
0.96%
0.91%
0.90%
0.90%
0%
$
8.12
39.89%
$
3,494
1.02%
0.91%
0.90%
(0.88)%
0%
$
6.87
8.29%
$
789
1.02%
0.90%
0.90%
(0.14)%
0%
$
6.35
18.20%
$
148,682
0.97%
0.90%
0.90%
1.12%
0%
$
5.66
(17.60)%
$
156,433
0.93%
0.90%
0.90%
0.80%
0%
320
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
I
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.03
(0.01)
2.16
2.15
(1.70)
—
—
(1.70)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.36
(0.10)
1.67
1.57
(0.90)
—
—
(0.90)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.15
(0.06)
(1.73)
(1.79)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.02
0.02
6
(0.76)
(0.74)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.38
0.01
(1.28)
(1.27)
(0.09)
—
—
(0.09)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
N
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
6.98
(0.03)
2.14
2.11
(1.68)
—
—
(1.68)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.32
(0.12)
1.66
1.54
(0.88)
—
—
(0.88)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.12
(0.08)
(1.72)
(1.80)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.00
0.00
6,7
(0.75)
(0.75)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.35
(0.02)
(1.28)
(1.30)
(0.05)
—
—
(0.05)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
R6
^
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
7.06
(0.01)
2.17
2.16
(1.70)
—
—
(1.70)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.38
(0.10)
1.69
1.59
(0.91)
—
—
(0.91)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.17
(0.05)
(1.74)
(1.79)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.03
0.03
6
(0.76)
(0.73)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.41
0.02
(1.30)
(1.28)
(0.10)
—
—
(0.10)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.08
(0.01)
1.56
1.55
(0.24)
(0.00)
7
—
(0.24)
FOR
THE
PERIOD
12/16/21
11
-12/31/21
$
10.00
(0.01)
0.09
0.08
—
—
—
—
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.08
(0.03)
1.55
1.52
(0.23)
(0.00)
7
—
(0.23)
FOR
THE
PERIOD
12/16/21
11
-12/31/21
$
10.00
(0.01)
0.09
0.08
—
—
—
—
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
DECEMBER
31,
2022
$
10.08
(0.04)
1.61
1.57
(0.25)
(0.00)
7
—
(0.25)
FOR
THE
PERIOD
12/16/21
11
-12/31/21
$
10.00
(0.00)
7
0.08
0.08
—
—
—
—
321
AQR
Funds
|
Annual
Report
|
December
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
December
31,
2022
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
7.48
30.64%
$
322,368
1.67%
1.63%
1.49%
(0.13)%
174%
$
7.03
24.83%
$
242,712
1.67%
1.60%
1.50%
(1.38)%
194%
$
6.36
(21.96)%
$
237,379
1.84%
1.78%
1.50%
(0.80)%
544%
$
8.15
(8.20)%
$
866,804
2.51%
2.48%
1.49%
0.28%
6
170%
$
9.02
(12.26)%
$
1,759,075
2.25%
2.24%
1.47%
0.09%
345%
$
7.41
30.28%
$
32,005
1.94%
1.89%
1.75%
(0.34)%
174%
$
6.98
24.53%
$
19,068
1.92%
1.85%
1.75%
(1.63)%
194%
$
6.32
(22.17)%
$
14,857
2.08%
2.03%
1.75%
(1.06)%
544%
$
8.12
(8.33)%
$
40,665
2.77%
2.74%
1.75%
0.02%
6
170%
$
9.00
(12.60)%
$
82,850
2.51%
2.50%
1.74%
(0.22)%
345%
$
7.52
30.79%
$
483,083
1.59%
1.54%
1.40%
(0.07)%
174%
$
7.06
25.04%
$
396,425
1.57%
1.50%
1.40%
(1.28)%
194%
$
6.38
(21.91)%
$
390,127
1.74%
1.68%
1.40%
(0.68)%
544%
$
8.17
(8.08)%
$
1,163,852
2.42%
2.39%
1.40%
0.33%
6
170%
$
9.03
(12.32)%
$
1,459,422
2.18%
2.17%
1.40%
0.21%
345%
$
11.39
15.46%
$
9,447
2.91%
1.35%
1.30%
(0.06)%
0%
$
10.08
0.80%
$
504
3.45%
8
1.30%
1.30%
(1.29)%
0%
$
11.37
15.14%
$
5,015
3.12%
1.60%
1.55%
(0.28)%
0%
$
10.08
0.80%
$
503
3.70%
8
1.55%
1.55%
(1.54)%
0%
$
11.40
15.62%
$
10,271
3.41%
1.25%
1.20%
(0.35)%
0%
$
10.08
0.80%
$
9,081
3.43%
8
1.20%
1.20%
(1.19)%
0%
322
Financial
Highlights
AQR
Funds
|
Annual
Report
|
December
31,
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
December
31,
2022
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Alternative
Risk
Premia
Fund
–
Class
I
......................................
$
0.04
0.47%
AQR
Alternative
Risk
Premia
Fund
–
Class
N
.....................................
0.02
0.17
AQR
Alternative
Risk
Premia
Fund
–
Class
R6
....................................
0.04
0.42
AQR
Style
Premia
Alternative
Fund
–
Class
I
......................................
0.01
0.16
AQR
Style
Premia
Alternative
Fund
–
Class
N
.....................................
(0.01)
(0.10)
AQR
Style
Premia
Alternative
Fund
–
Class
R6
....................................
0.02
0.21
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Diversified
Arbitrage
Fund
–
Class
I
........................................
$
0.04
0
.30%
AQR
Diversified
Arbitrage
Fund
–
Class
N
........................................
0.03
0
.20
AQR
Diversified
Arbitrage
Fund
–
Class
R6
.......................................
0.06
0
.43
FUND
Expenses,
Before
Reimbursements
and/or
Waivers
AQR
Macro
Opportunities
Fund
–
Class
I
........................................
2.10%
AQR
Macro
Opportunities
Fund
–
Class
N
........................................
2.38
AQR
Macro
Opportunities
Fund
–
Class
R6
.......................................
2.02
FUND
Expenses,
Before
Reimbursements
and/or
Waivers
AQR
Managed
Futures
Strategy
HV
Fund
–
Class
I
.................................
1.87%
AQR
Managed
Futures
Strategy
HV
Fund
–
Class
N
................................
2.11
AQR
Managed
Futures
Strategy
HV
Fund
–
Class
R6
...............................
1.78
*
Annualized
for
periods
less
than
one
year.
^
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
1
Per
share
net
investment
income
(loss)
and
net
realized
and
unrealized
gain
(loss)
are
based
on
average
shares
outstanding.
2
Includes
adjustments
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
and
as
such,
the
net
asset
value
for
financial
reporting
purposes
and
the
returns
based
upon
those
net
asset
values
may
differ
from
the
net
asset
value
and
returns
for
shareholder
transactions.
3
Total
investment
return
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period
and
redemption
on
the
last
day
of
the
period
and
is
not
annualized.
4
Ratios
do
not
include
the
impact
of
the
expenses
of
the
underlying
funds
in
which
the
Funds
invest.
5
Portfolio
turnover
rate
excludes
derivatives,
if
any,
and
is
not
annualized.
6
For
the
period
ended
December
31,
2019
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
7
Amount
is
less
than
$.005
per
share.
8
Certain
expenses
incurred
by
the
Fund
were
not
annualized
for
the
period.
9
For
the
period
ended
December
31,
2022,
the
AQR
Diversified
Arbitrage
Fund
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
10
The
amount
shown
for
a
share
outstanding
throughout
the
period
is
not
indicative
of
the
aggregate
net
realized
and
unrealized
gain
(loss)
for
that
period
because
of
the
timing
of
sales
and
repurchases
of
the
Fund
shares
in
relation
to
fluctuating
market
value
of
the
investments
in
the
Fund.
11
Commencement
of
operations.
12
For
the
period
ended
December
31,
2021,
the
AQR
Macro
Opportunities
Equity
Fund
incurred
certain
non-recurring
professional
service
expenses.
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
would
have
been:
13
For
the
period
ended
December
31,
2022,
the
AQR
Managed
Futures
Strategy
HV
Fund
incurred
certain
non-recurring
professional
service
and
other
expenses.
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
would
have
been:
323
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
1.
Organization
AQR
Funds
(the
“Trust”),
was
organized
as
a
Delaware
statutory
trust
on
September
4,
2008.
The
Trust
is
an
open-end
management
investment
company,
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”).
As
of
December
31,
2022,
the
Trust
consists
of
twenty-
three
active
series, twelve
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversified
Arbitrage
Fund,
AQR
Diversifying
Strategies
Fund,
AQR
Equity
Market
Neutral
Fund,
AQR
Macro Opportunities Fund,
AQR
Long-Short
Equity
Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund,
AQR
Style
Premia
Alternative
Fund
and
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund.
The
remaining
active
series
have
a
different
fiscal
year
end
and
are
reported
in
a separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
Adviser
has
retained
AQR
Arbitrage,
LLC
(the
“Sub-Adviser”),
an
affiliate
of
the
Adviser,
to
serve
as
an
investment
sub-adviser
to
the
AQR
Diversified
Arbitrage
Fund.
The
investment
objective
of
the
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversified
Arbitrage
Fund, AQR
Equity
Market
Neutral
Fund,
AQR
Macro
Opportunities Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund
and
AQR
Style
Premia
Alternative
Fund
is
to
seek
positive
absolute
returns.
The
investment
objective
of
the
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund
is
to
seek
total
return.
The
investment
objective
of
the
AQR
Diversifying
Strategies
Fund,
AQR
Long-Short
Equity
Fund
and
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
is
to
seek
capital
appreciation.
The
AQR
Diversifying
Strategies
Fund
pursues
its
investment
objective
by
investing
in
a
portfolio
of
mutual
funds
that
are
each
managed
by
the
Adviser.
Each
fund
offers
Class
I,
Class
N
and
Class
R6
shares.
2.
Consolidation
of
Subsidiaries
The
Consolidated
Schedules
of
Investments,
Statements
of
Assets
and
Liabilities,
of
Operations,
of
Changes
in
Net
Assets,
of
Cash
Flows
(as
applicable)
and
the
Financial
Highlights
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
the
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”).
All
intercompany
accounts
and
transactions
have
been
eliminated
in
consolidation.
Subsequent
references
to
the
Funds
within
the
Notes
to
Financial
Statements
collectively
refer
to
the
Consolidated
Funds
and
their
Subsidiaries.
Each
Consolidated
Fund
may
invest
up
to
25%
of
its
total
assets
(on
a
tax
basis)
in
its
respective
Subsidiary,
which
acts
as
an
investment
vehicle
in
order
to
affect
certain
investment
strategies
consistent
with
the
Fund’s
investment
objectives
and
policies.
The
Funds
expect
that
they
will
achieve
a
significant
portion
of
their
exposure
to
commodities
and
commodities-related
investments
through
investment
in
the
Subsidiaries.
Unlike
the
Funds,
the
Subsidiaries
may
invest
without
limitation
in
commodities
and
commodities-related
investments.
3.
Significant
Accounting
Policies
Basis
of
Preparation:
The
Funds
are
investment
companies
and
apply
specialized
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standard
Codification
Topic
946
Financial
Services—Investment
Companies
.
The
accounting
policies
are
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(“GAAP”).
Use
of
Estimates:
The
preparation
of
the
financial
statements
in
conformity
with
GAAP
requires
the
Adviser
to
make
estimates
and
assumptions
that
affect
the
fair
value
of
investments,
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities,
if
any,
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
increases
and
decreases
in
net
assets
from
operations
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates
and
such
differences
could
be
material. 
Valuation
of
Investments:
All
securities
and
other
investments
are
recorded
at
their
estimated
fair
value,
as
described
in
Note
5.
Cash:
Cash
comprises
U.S.
dollar
and
foreign
currency
deposits
held
at
a
custodian
bank(s)
which
may
exceed
insured
limits.
The
Funds
are
subject
to
risk
to
the
extent
that
the
institutions
may
be
unable
to
fulfill
their
obligations.
SUBSIDIARY
NET
ASSETS
AT
DECEMBER
31,
2022
%
OF
TOTAL
ASSETS
AT
DECEMBER
31,
2022
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.
...............................................
$
37,395,969
5.7%
AQR
Macro
Opportunities
Offshore
Fund
Ltd.
.................................................
40,901,415
18.6%
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.
............................................
355,095,081
20.0%
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.
.........................................
42,097,558
19.2%
AQR
Multi-Asset
Offshore
Fund
Ltd.
........................................................
14,510,449
7.5%
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
....................................
105,960,665
22.9%
AQR
Style
Premia
Alternative
Offshore
Fund
Ltd.
..............................................
195,218,388
16.0%
324
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Due
to/from
Brokers:
Due
to/from
brokers
represents
cash
balances
on
deposit
with,
or
cash
balances
owed
to,
the
Funds’
prime
brokers
and
counterparties.
The
Funds
are
subject
to
credit
risk
should
the
prime
brokers
and
counterparties
be
unable
to
meet
their
obligations
to
the
Funds.
Foreign
Currency
Translation:
The
books
and
records
of
the
Funds
are
maintained
in
U.S.
dollars.
Foreign
denominated
assets
and
liabilities
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
at
the
valuation
date.
Transactions
denominated
in
foreign
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
the
transaction.
The
Funds’
income
earned
and
expense
incurred
in
foreign
denominated
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
such
activity.
The
Funds
do
not
separately
disclose
that
portion
of
the
results
of
operations
arising
from
changes
in
the
foreign
exchange
rates
on
investments
and
derivatives
from
the
fluctuations
that
result
from
changes
in
the
market
prices
of
investments
and
derivatives
held
or
sold
during
the
period.
Accordingly,
such
foreign
currency
gains
(losses)
are
included
in
the
reported
net
realized
gain
(loss)
from
transactions
in
investment
securities
and
derivatives
and
net
change
in
unrealized
appreciation
(depreciation)
on
investment
securities
and
derivatives
on
the
Statements
of
Operations.
Realized
gains
(losses)
from
settlement
of
foreign
currency
and
foreign
currency
transactions
reported
on
the
Statements
of
Operations
arise
from
the
disposition
of
foreign
currency
and
a
change
between
the
amounts
of
dividends,
interest
and
foreign
withholding
taxes
recorded
on
the
Funds’
books
on
the
transaction
date
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Changes
in
unrealized
appreciation
(depreciation)
on
foreign
currency
and
foreign
currency
translations
reported
on
the
Statements
of
Operations
arise
from
changes
(due
to
the
changes
in
the
exchange
rate)
in
the
value
of
foreign
currency
and
assets
and
liabilities
(other
than
investments)
denominated
in
foreign
currencies,
which
are
held
at
period
end.
Investment
Transactions
and
Related
Income:
Investment
transactions
are
accounted
for
on
trade
date
(the
date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
investment
transactions
are
calculated
on
a
specifically
identified
cost
basis.
Interest
income
is
recorded
on
an
accrual
basis
using
the
effective
interest
method,
which
results
in
coupon
interest
being
adjusted
for
amortization
of
premiums
and
accretion
of
discounts,
when
applicable.
Non-cash
dividends
included
in
dividend
income,
if
any,
are
recorded
at
the
fair
value
of
the
securities
received.
Upon
notification
from
issuers,
some
of
the
dividend
income
received
from
a
real
estate
investment
trust
may
be
redesignated
as
a
reduction
of
cost
of
the
related
investment
and/or
realized
gain.
The
Funds
record
distributions
received
in
excess
of
income
from
underlying
investments,
such
as
real
estate
investment
trusts,
as
a
reduction
of
cost
of
investments
and/or
realized
gain.
Such
amounts
are
based
on
estimates
(if
actual
amounts
are
not
available)
and
actual
amounts
of
income,
realized
gain
and
return
of
capital
may
differ
from
the
estimated
amounts.
The
Funds
adjust
the
estimated
amounts
of
components
of
distributions
(and
consequently
net
investment
income)
as
necessary
once
the
issuers
provide
information
about
the
actual
composition
of
the
distributions
.
The
Funds
may
be
subject
to
foreign
taxes
on
income,
capital
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
Dividend
income
(expense)
net
of
foreign
taxes
withheld,
if
any,
is
recorded
on
the
ex-dividend
date
or
when
the
Fund
first
learns
of
the
ex-dividend
date
dividend
notification.
The
Funds
may
file
withholding
tax
reclaims
in
certain
jurisdictions
to
recover
a
portion
of
amounts
withheld.
Income
recognized,
if
any,
for
these
reclaims
is
reflected
as
dividend
income
in
the
Statements
of
Operations.
Additionally,
there
may
be
reclaims
that
include
amounts
withheld
in
prior
years,
which
may
be
reclaimable
based
upon
certain
provisions
in
the
Treaty
on
the
Functioning
of
the
European
Union
(“EU”)
and
subsequent
rulings
by
the
European
Court
of
Justice
(“ECJ”). Income
recognized
related
to
EU
reclaims
pursuant
to
the
ECJ
rulings
are
reflected
as
European
Union
tax
reclaims
on
the
Statements
of
Operations,
if
material.
These
reclaims
are
recorded
when
the
amount
is
known
and
there
are
no
significant
uncertainties
on
collectability.
Expenses
incurred
related
to
EU
reclaims
that
are
contingent
upon
successful
receipt
of
EU
reclaims
are
reflected
in
European
Union
tax
reclaim
fees
in
the
Statements
of
Operations,
if
material.
Multi-class
Operations:
Each
class
of
shares
offered
by
the
Trust
has
equal
rights
as
to
earnings,
assets
and
voting
privileges,
except
that
each
class
may
bear
different
sub-transfer
agency
and
distribution
fees,
and
shareholders
of
a
class
have
exclusive
voting
rights
regarding
any
matter
relating
solely
to
that
class
of
shares.
Income,
non-class
specific
expenses,
and
realized
gain
(loss)
and
change
in
unrealized
appreciation
(depreciation)
are
allocated
daily
to
each
class
of
shares
based
upon
the
proportion
of
relative
net
assets
at
the
beginning
of
each
day.
The
Funds
are
charged
for
those
expenses
that
are
directly
attributable
to
each
Fund.
Trust
level
expenses
are
allocated
among
the
Funds
based
on
the
ratio
of
average
net
assets
or
other
reasonable
methodology.
Certain
Funds
may
invest
in
other
investment
companies,
including
affiliated
funds,
and,
as
a
result,
indirectly
bear
a
portion
of
the
advisory
and
operating
expenses
incurred
by
these
entities.
Such
expenses
are
not
reflected
in
the
expenses
shown
on
the
Statements
of
Operations
and
are
not
included
in
the
ratios
to
average
net
assets
shown
on
the
Financial
Highlights.
Offering
Costs:
Offering
costs,
including
professional
fees,
printing
fees
and
initial
registration,
are
amortized
over
a
period
not
longer
than
twelve
months
from
the
date
the
Funds
commenced
operations. 
Federal
Income
Taxes:
Each
Fund
is
treated
as
a
separate
taxable
entity
for
federal
income
tax
purposes.
Each
Fund
intends
to
qualify
as
a
“Regulated
Investment
Company” 
("RIC")
under
Subchapter
M
of
the
Internal
Revenue
Code
of
1986,
as
amended
(the
“Code”).
If
so
qualified,
each
Fund
will
not
be
subject
to
federal
income
tax
to
the
extent
it
distributes
substantially
all
of
its
net
investment
income
and
capital
gains
to
shareholders.
Accordingly,
no
provision
for
Federal
income
tax
is
necessary.
325
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
Adviser
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
Funds’
tax
returns
to
determine
whether
the
tax
positions
are
“more-likely-than-not”
to
be
sustained
if
challenged
by
the
applicable
tax
authority.
Tax
positions
deemed
to
meet
the more-likely-than-
not
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
The
Funds
are
required
to
analyze
all
open
tax
years.
Open
tax
years
are
those
years
that
are
open
for
examination
by
the
relevant
income
taxing
authority.
The
Funds
have
determined
that
there
is
no
tax
liability/benefit
resulting
from
uncertain
income
tax
positions
taken
or
expected
to
be
taken
for
any
of
the
Funds'
open
tax
years.
The
Funds
are
not
aware
of
any
tax
positions
for
which
it
is
reasonably
possible
that
the
total
amounts
of
unrecognized
tax
expense/benefit
will
materially
change
in
the
next
twelve
months.
The
returns
of
the
Funds
for
the
prior
three
fiscal
years
as
well
as
current
year,
or
since
inception
if
shorter,
are
open
for
examination. As
of
December
31,
2022,
the
Funds
had
no
examinations
in
progress.
For
Federal
tax
purposes,
taxable
income
for
each
Consolidated
Fund
and
its
Subsidiary
are
calculated
separately.
The
Subsidiaries
are
classified
as
controlled
foreign
corporations
(“CFCs”)
under
the
Code
and
each
CFCs
taxable
income
is
included
in
the
calculation
of
the
relevant
Consolidated
Fund’s
taxable
income.
Net
losses
of
the
Subsidiaries
are
not
deductible
by
the
Consolidated
Funds
either
in
the
current
period
or
future
periods.
Each
of
the
CFCs
has
a
fiscal
year
end
of
December
31st
for
financial
statement
consolidation
purposes
and
a
nonconforming
tax
year
end
of
November
30th. 
Distributions
to
Shareholders:
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
The
Funds
intend
to
declare
and
distribute
substantially
all
of
their
net
investment
income
and
net
realized
capital
gains,
if
any,
at
least
annually.
Income
and
capital
gain
distributions
will
be
determined
in
accordance
with
federal
income
tax
regulations
which
may
differ
from
GAAP.
Differences
may
be
permanent
or
temporary.
Permanent
differences
are
reclassified
among
capital
accounts
in
the
financial
statements
to
reflect
their
tax
character.
Temporary
differences
arise
when
certain
items
of
income,
expense,
gain,
or
loss
are
recognized
in
different
periods
for
financial
statement
and
tax
purposes.
These
differences
will
reverse
at
some
time
in
the
future.
Differences
in
classification
may
also
result
from
the
treatment
of
short-term
gains
as
ordinary
income
for
tax
purposes.
As
a
result,
income,
dividends
and
capital
gain
distributions
declared
during
a
fiscal
period
may
differ
significantly
from
the
net
investment
income
(loss)
and
realized
gain
(loss)
reported
on
the
Funds’
financial
statements
presented
under
GAAP.
The
Funds
utilize
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
Fund
shares
as
part
of
the
dividends
paid
deduction.
Distributions
classified
as
a
tax
basis
return
of
capital,
if
any,
are
reflected
on
the
Statements
of
Changes
in
Net
Assets
and
have
been
recorded
to
paid
in
capital.
Indemnification:
In
the
normal
course
of
business,
the
Funds
may
enter
into
various
agreements
that
provide
for
general
indemnifications.
The
Funds’
maximum
exposure
under
these
arrangements
is
unknown
as
any
potential
exposure
involves
future
claims
that
may
be
made
against
the
Funds.
However,
based
on
experience,
the
Funds
expect
the
risk
of
loss
to
be
remote.
4.
Securities
and
Other
Investments 
Affiliate
Investments:
 Certain
investments
may
be
classified
as
an
affiliate
or
a
controlled
affiliate
of
the
Funds
on
the
Schedule
of
Investments.
Section
2a-3
of
the
1940
Act
defines
an
affiliate
as,
among
other
things,
a
company
in
which
a
Fund
owns
at
least
5%
of
the
outstanding
voting
securities or
an
issuer
which
is
under
common
control
with
another
fund
or
Trust.
Further,
pursuant
to
the
1940
Act,
control
is
presumed
to
exist
when,
among
other
things,
a
Fund
owns
more
than
25%
of
the
outstanding
voting
securities
of
a
portfolio
company.
Additionally,
certain
Funds
may
invest
in
the
Limited
Purpose
Cash
Investment
Fund
(the
“LPCI
Fund”),
which
is
managed
by
UBS
Asset
Management
(Americas)
Inc.
The
LPCI
Fund
is
a
registered
investment
company
under
the
1940
Act
and
is
subject
to
the
money
market
regulations
as
prescribed
in
Rule
2a-7
of
the
1940
Act.
Pursuant
to
the
LPCI
Fund’s
eligibility
requirements,
shares
of
the
LPCI
Fund
are
only
available
for
sale
to
the
Adviser
and
funds
advised
by
the
Adviser.
The
LPCI
Fund
may
be
considered
an
affiliated
issuer
of
some
of
the
Funds
in
the
Trust,
based
upon
ownership
of
the
outstanding
voting
securities.
However,
the
Funds
do
not
invest
in
the
LPCI
Fund
for
the
purpose
of
exercising
significant
influence
over
its
management,
board
or
policies.
The
AQR
Diversifying
Strategies
Fund
invests
in
funds
which
are
managed
by
the
Adviser,
and
as
such
assumes
the
AQR
Funds
in
which
it
invests
to
be
affiliated
issuers.
A
summary
of
transactions
with
each
affiliated
issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
Convertible
Securities:
Certain
Funds
invest
in
preferred
stocks
and
fixed-income
securities
which
are
convertible
into
common
stock.
Convertible
securities
may
be
converted
either
at
a
stated
price
or
rate
within
a
specified
period
of
time
into
a
specified
number
of
shares
of
common
stock.
By
investing
in
a
convertible
security,
the
Funds
may
participate
in
any
capital
appreciation
or
depreciation
of
a
company’s
stock,
but
to
a
lesser
degree
than
if
they
had
invested
in
that
company’s
common
stock.
Convertible
securities
rank
senior
to
common
stock
in
a
corporation’s
capital
structure
and,
therefore,
entail
less
risk
than
the
corporation’s
common
stock.
The
Funds
may
attempt
to
hedge
some
of
their
investments
in
convertible
debt
securities
by
selling
short
the
issuer’s
common
stock.
The
premiums
attributable
to
the
conversion
feature
are
not
amortized. 
High
Yield
Securities:
Certain
Funds
invest
in
lower-quality
debt
securities.
Investments
in
lower-rated
securities
or
unrated
securities
of
comparable
quality
tend
to
be
more
sensitive
to
economic
conditions
than
higher
rated
securities
causing
greater
price
volatility.
These
instruments
involve
a
greater
risk
of
loss
due
to
default
by
the
issuer
because
such
securities
are
generally
unsecured
and
are
often
subordinated
to
other
creditors’
claims. 
326
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Inflation-Indexed
Bonds:
Certain
Funds
invest
in
inflation-indexed
bonds
which
are
adjusted
for
inflation
through
periodic
increases
or
decreases
in
the
security’s
interest
accruals,
face
amount,
or
principal
redemption
value,
by
amounts
corresponding
to
the
rate
of
inflation
as
measured
by
an
index.
Inflation-indexed
bonds
typically
pay
a
fixed
rate
of
interest
but
that
fixed
rate
is
applied
to
an
inflation
adjusted
principal
amount.
If
the
index
measuring
inflation
rises
or
falls,
the
principal
value
of
inflation-indexed
bonds
will
be
adjusted
upward
or
downward,
and
consequently
the
interest
payable
on
these
securities
(calculated
with
respect
to
a
larger
or
smaller
principal
amount)
will
be
increased
or
reduced,
respectively.
Any
upward
or
downward
adjustment
in
the
principal
amount
of
an
inflation-indexed
bond
will
be
included
as
interest
income
in
the
Statements
of
Operations,
even
though
investors
do
not
receive
their
principal
until
maturity.
Repayment
of
the
original
bond
principal
upon
maturity
(as
adjusted
for
inflation)
is
guaranteed
in
the
case
of
U.S.
Treasury
inflation-indexed
bonds.
For
bonds
that
do
not
provide
a
similar
guarantee,
the
adjusted
principal
value
of
the
bond
repaid
at
maturity
may
be
less
than
the
original
principal.
Loan
Participations
and
Assignments:
Certain
Funds
invest
in
loan
participations
and
assignments.
When
a
Fund
purchases
a
loan
participation,
the
Fund
enters
into
a
contractual
relationship
with
the
lender
or
a
third
party
selling
such
participations
(“Selling
Participant”),
but
not
the
borrower.
In
this
case,
the
Fund
assumes
the
credit
risk
of
the
borrower
and
the
Selling
Participant
and
any
other
persons
inter-positioned
between
the
Fund
and
the
borrower
(“Intermediate
Participants”).
In
contrast,
when
one
of
the
Funds
purchases
an
assignment,
the
contractual
relationship
is
with
the
borrower
and
the
credit
risk
assumed
by
the
Fund
is
only
with
the
borrower.
Although
certain
loan
participations
or
assignments
are
secured
by
collateral,
the
Fund
could
experience
delays
or
limitations
in
realizing
such
collateral
or
have
its
interest
subordinated
to
other
indebtedness
of
the
obligor.
Defaulted
Securities
and
Distressed
Investments:
Certain
Funds
held
defaulted
securities
or
other
securities
which
were
placed
in
non-accrual
status
as
the
collection
of
a
portion
or
all
of
the
interest
has
been
deemed
to
be
uncollectible.
The
securities
have
been
identified
on
the
Schedules
of
Investments.
Debt
obligations
may
be
placed
on
non-accrual
status
and
related
interest
income
may
be
reduced
by
ceasing
current
accruals
and
writing
off
interest
receivable
when
the
collection
of
a
portion
of
interest
has
become
doubtful
based
on
consistently
applied
procedures.
A
debt
obligation
is
removed
from
non-accrual
status
when
the
issuer
resumes
interest
payments
or
when
collectability
of
interest
is
probable.
The
Funds
may
invest
in
distressed
investments,
which
are
issued
by
companies
that
are,
or
might
be,
involved
in
reorganizations
or
financial
restructurings,
either
out
of
court
or
in
bankruptcy. 
Special
Purpose
Acquisition
Companies
(“SPACs”):
 Certain
Funds
invest
in
common
stock,
rights,
units,
warrants,
and
other
securities
of
SPACs
or
similar
special
purpose
entities
that
pool
funds
to
seek
potential
acquisition
opportunities.
The
securities
of
a
SPAC
are
often
issued
in
“units”
that
include
one
share
of
common
stock
and
one
right
or
warrant
(or
partial
right
or
warrant)
conveying
the
right
to
purchase
additional
shares
or
partial
shares.
Unless
and
until
a
transaction
is
completed,
a
SPAC
generally
invests
its
assets
(less
a
portion
retained
to
cover
expenses)
in
U.S.
Government
securities,
money
market
fund
securities
and
cash.
If
an
acquisition
that
meets
the
requirements
for
the
SPAC
is
not
completed
within
a
pre-established
period
of
time
the
invested
funds
are
returned
to
the
entity’s
shareholders,
less
certain
permitted
expenses,
and
any
rights
or
warrants
issued
by
the
SPAC
may
expire
worthless.
Because
SPACs
and
similar
entities
have
no
operating
history
or
ongoing
business
other
than
seeking
acquisitions,
the
value
of
their
securities
is
particularly
dependent
on
the
ability
of
the
entity’s
management
to
identify
and
complete
a
suitable
acquisition.
Some
SPACs
may
pursue
acquisitions
only
within
certain
industries
or
regions,
which
may
increase
the
volatility
of
their
securities’
prices.
Securities
Sold
Short:
Certain
Funds
engage
in
short
sales,
which
is
when
a
Fund
sells
securities
it
does
not
own
as
a
hedge
against
some
of
its
long
positions
and/or
in
anticipation
of
a
decline
in
the
market
value
of
that
security.
When
one
of
the
Funds
makes
a
short
sale,
it
must
borrow
the
security
sold
short
and
deliver
it
to
the
broker
through
which
it
made
the
short
sale.
The
Fund
may
have
to
pay
a
fee
to
borrow
the
particular
security
and
may
be
obligated
to
remit
any
interest
or
dividends
received
on
such
borrowed
securities.
Dividends
declared
on
short
positions
are
recorded
on
the
ex-date
as
an
expense.
A
gain,
limited
to
the
price
at
which
the
Fund
sold
the
security
short,
or
a
loss,
which
could
be
unlimited
in
magnitude,
will
be
recognized
upon
the
termination
of
a
short
sale
if
the
market
price
at
termination
is
less
than
or
greater
than,
respectively,
the
proceeds
originally
received.
The
Fund
is
also
subject
to
the
risk
that
it
may
be
unable
to
reacquire
a
security
to
terminate
a
short
position
except
at
a
price
substantially
in
excess
of
the
last
quoted
price.
The
Fund
is
also
subject
to
risk
of
loss
if
the
broker
were
to
fail
to
perform
its
obligations
under
the
contractual
terms.
Liabilities
for
securities
sold
short
are
reported
at
market
value
on
the
Statements
of
Assets
and
Liabilities
and
the
change
in
market
value
is
recorded
as
net
change
in
unrealized
appreciation
(depreciation)
on
the
Statements
of
Operations.
The
Funds
are
required
to
pledge
cash
or
liquid
securities
to
the
broker
as
collateral
for
securities
sold
short.
Collateral
requirements
are
calculated
daily
based
on
the
current
market
value
of
the
short
positions.
Daily
market
fluctuations
and
trading
activity
could
cause
the
value
of
securities
sold
short
to
be
more
or
less
than
the
value
of
the
collateral
segregated.
Cash
deposited
with
the
broker
for
collateral
for
securities
sold
short
is
recorded
as
an
asset
on
the
Statements
of
Assets
and
Liabilities
and
securities
segregated
as
collateral
are
denoted
in
the
Schedules
of
Investments.
The
Funds
may
receive
or
pay
the
net
of
the
following
amounts:
(i)
a
portion
of
the
income
from
the
investment
of
cash
collateral;
(ii)
the
broker’s
fee
on
the
borrowed
securities;
and
(iii)
a
financing
charge
for
the
difference
in
the
market
value
of
the
short
position
and
cash
collateral
deposited
with
the
broker.
This
income
or
fee
is
calculated
daily
based
upon
the
market
value
of
each
borrowed
security
and
a
variable
rate
that
is
dependent
on
the
availability
of
the
security.
Pursuant
to
a
Master
Securities
Loan
Agreement
("MSLA"),
State
Street
Bank
and
Trust
Company
(“SSB”)
is
permitted,
subject
to
certain
conditions,
to
rehypothecate
up
to
30%
of
portfolio
securities
pledged
by certain
Funds
as
collateral
for
securities
sold
short.
The
Funds
continue
to
receive
dividends
and
interest
on
rehypothecated
securities.
The
Funds
also
have
the
right
under
the
MSLA
to
recall
the
rehypothecated
securities
from
SSB
on
demand.
If
SSB
fails
to
deliver
the
recalled
security
in
a
timely
manner,
the
Funds
will
be
compensated
by
SSB
for
any
fees
or
losses
related
to
the
failed
delivery
or,
in
the
event
a
recalled
security
will
not
be
returned
by
SSB,
the
Fund
may
reduce
the
loan
balance
outstanding
by
the
amount
of
the
recalled
security. 
327
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
net
amount
of
fees
incurred
are
included
in
the
dividend
and
interest
on
securities
sold
short
in
the
Statements
of
Operations
and
are
as
follows:
Futures
Contracts:
Certain
Funds
invest
in
futures
contracts
as
part
of
their
primary
investment
strategy
and
to
equitize
its
cash
flows.
Investments
in
futures
may
increase
or
decrease
exposure
to
a
particular
market.
In
the
event
of
a
bankruptcy
or
insolvency
of
a
futures
commission
merchant
that
holds
margin
on
behalf
of
the
Funds,
the
Funds
may
not
receive
the
return
of
the
entire
margin
owed
to
the
Funds,
potentially
resulting
in
a
loss.
A
change
in
market
value
of
an
open
futures
contract
is
recorded
in
the
Statements
of
Operations
as
net
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts.
A
realized
gain
(loss)
represents
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed
or
expired,
and
is
reported
in
the
Statements
of
Operations.
The
use
of
long
futures
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
variation
margin
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
futures
contracts
subjects
the
Funds
to
unlimited
risk
of
loss.
Futures
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Forward
Foreign
Currency
Exchange
Contracts:
Certain
Funds
buy
and
sell
forward
foreign
currency
exchange
contracts,
which
are
agreements
between
two
parties
to
buy
and
sell
currencies
at
a
set
price
on
a
future
date.
These
contracts
are
used
to
protect
against
a
decline
in
value
relative
to
the
U.S.
dollar
of
the
currencies
in
which
portfolio
securities
are
denominated
or
quoted
(or
an
increase
in
the
value
of
a
currency
in
which
securities
that
a
Fund
intends
to
buy
are
denominated,
when
a
Fund
holds
cash
reserves
and
short
term
investments),
or
for
other
investment
purposes.
The
market
value
of
the
contract
will
fluctuate
with
changes
in
currency
exchange
rates.
The
contract
is
marked
to
market
daily
and
the
change
in
market
value
is
recorded
as
net
change
in
unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
(loss)
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
Funds
could
be
exposed
to
risk
if
the
value
of
the
currency
changes
unfavorably,
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
Funds
are
unable
to
enter
into
a
closing
position.
Risks
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
Non-deliverable
forward
foreign
currency
exchange
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Forward
foreign
currency
exchange
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Swap
Contracts:
Certain
Funds
engage
in
various
swap
transactions
to
manage
risks
within
their
portfolios
or
as
alternatives
to
direct
investments.
Swap
transactions
may
be
privately
negotiated
in
the
over-the-counter
(“OTC”)
market
where
payments
are
settled
through
direct
payments
between
a
Fund
and
the
counterparty.
By
contrast,
certain
swap
transactions
are
subject
to
mandatory
central
clearing
(“centrally
cleared
swaps”).
These
swaps
are
executed
through
a
derivatives
clearing
member
(“DCM”),
acting
in
an
agency
capacity,
and
submitted
to
a
central
counterparty
(“CCP”),
in
which
case
all
payments
are
settled
with
the
CCP
through
the
DCM.
For
centrally
cleared
swaps,
the
Schedules
of
Investments
include
the
cumulative
appreciation
(depreciation),
while
only
the
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
For
credit
default
and
interest
rate
swap contracts,
an
upfront
payment
received
by
a
Fund
is
recorded
as
a
liability
and
an
upfront
payment
made
by
a
Fund
is
recorded
as
an
asset
on
the
Fund’s
Statement
of
Assets
and
Liabilities.
Upfront
payments
are
amortized
over
the
term
of
the
contract.
If
there
is
no
upfront
payment
or
receipt,
market
value
will
equal
unrealized
appreciation
(depreciation).
Payments
received
(paid)
by
a
Fund
are
recorded
as
realized
gains
(losses)
from
the
expiration
at
a
periodic
reset
date
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
use
of
swap
contracts
creates
additional
risks
beyond
those
that
would
exist
if
the
Funds
invested
in
the
underlying
positions
directly.
Total
Return
Swap
Contracts:
Certain
Funds
invest
in
total
return
swaps
to
obtain
exposure
to
the
underlying
referenced
instruments,
obtain
leverage
or
attain
the
returns
from
ownership
without
actually
owning
the
underlying
position.
Total
return
swaps
are
two-party
contracts
that
generally
obligate
one
party
to
pay
the
positive
return
and
the
other
party
to
pay
the
negative
return
on
a
specified
reference
security,
security
index
or
index
component
during
the
period
of
the
swap.
Total
return
swap
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
recorded
as
net
change
in
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Total
return
swaps
normally
do
not
involve
the
delivery
of
securities
or
other
underlying
assets.
If
the
counterparty
to
a
total
return
swap
contract
defaults,
a
Fund’s
risk
of
loss
consists
of
the
net
amount
of
payments
the
Fund
is
contractually
entitled
to
receive,
if
any.
The
use
of
long
total
return
swap
contracts
subject
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
total
return
swaps
subject
the
Funds
to
potential
unlimited
loss.
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
from
the
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments. 
FUND
FEES
AQR
Alternative
Risk
Premia
Fund
........................................................................
$
772,703
AQR
Diversified
Arbitrage
Fund
...........................................................................
863,902
AQR
Equity
Market
Neutral
Fund
.........................................................................
10,863
AQR
Multi-Asset
Fund
.................................................................................
119,242
AQR
Style
Premia
Alternative
Fund
........................................................................
149,928
328
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Total
Return
Basket
Swaps:
Certain
Funds
enter
into
a
total
return
basket
swap
agreement
to
obtain
exposure
to
a
portfolio
of
long
and/or
short
securities.
Under
the
terms
of
the
agreement,
the
swap
is
designed
to
function
as
a
portfolio
of
direct
investments
in
long
and
short
equity
or
fixed
income
positions.
The
absolute
notional
value
of
the
total
return
basket
swap
represents
the
accumulated
notional
value
of
the
underlying
long
components
and
absolute
notional
value
of
the
short
components
held
within
the
total
return
basket
swap
at
period
end.
The
notional
value
of
each
component
represents
the
market
value
at
period
end.
The
Funds
have
the
ability
to
trade
in
and
out
of
long
and
short
positions
within
the
swap
and
will
receive
all
of
the
economic
benefits
and
risks
equivalent
to
direct
investments
in
these
positions
such
as:
capital
appreciation
(depreciation),
corporate
actions,
and
dividends
and
interest
received
and
paid,
all
of
which
are
reflected
in
the
swap
value.
The
swap
value
also
includes
financing
charges
and
credits
related
to
the
notional
values
of
the
long
and
short
positions
and
cash
balances
within
the
swap.
Finance
charges
and
credits
are
based
on
defined
market
rates
plus
or
minus
a
specified
spread.
Positions
within
the
swap
are
reset
periodically,
and
financing
costs
are
reset
generally
monthly.
During
a
reset,
any
realized
gains
(losses)
from
positions,
income,
proceeds
from
corporate
actions
and
accrued
financing
costs
may
become
available
for
cash
settlement
between
the
Funds
and
the
swap
counterparty.
Prior
to
the
reset,
these
amounts
are
included
as
a
component
of
the
swap
value
in
net
cash
and
other
receivables
(payables).
Cash
settlement
in
and
out
of
the
swap
may
occur
at
a
reset
date
or
any
other
date,
at
the
discretion
of
the
Funds
and
the
counterparty,
over
the
life
of
the
agreement,
and
is
generally
determined
based
on
limits
and
thresholds
established
as
part
of
the
Master
Agreement
between
the
Funds
and
the
counterparty.
The
maturity
dates
are
measured
from
the
commencement
of
investment
in
each
underlying
portfolio
swap
position.
A
change
in
the
market
value
of
a
total
return
basket
swap
contract
is
recognized
as
net
change
in
unrealized
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Cash
settlements
between
a
Fund
and
the
counterparty
are
recognized
as
net
realized
gain
(loss)
from
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
basket
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments. 
Credit
Default
Swap
Contracts:
Certain
Funds
enter
into
credit
default
swap
contracts
to
provide
a
measure
of
protection
against
risk
of
loss
following
a
default,
or
other
credit
event
in
respect
of
issuers
within
an
underlying
index
or
a
single
issuer,
or
to
gain
credit
exposure
to
an
underlying
index
or
issuer.
In
a
credit
default
contract,
the
protection
buyer
typically
makes
an
upfront
payment
and
a
periodic
stream
of
payments
to
a
counterparty,
the
protection
seller,
in
exchange
for
the
right
to
receive
a
contingent
payment
upon
the
occurrence
of
a
credit
event
on
the
reference
obligation
or
all
other
equally
ranked
obligations
of
the
reference
entity.
Credit
events
are
contract
specific
but
may
include
bankruptcy,
failure
to
pay,
restructuring
and
obligation
acceleration.
The
credit
default
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
recorded
as
net
change
in
unrealized
appreciation
(depreciation)
on
swap
contracts.
Variation
margin
is
accounted
for
as
unrealized
appreciation
or
depreciation
until
the
contract
is
closed,
at
which
time
the
gains
or
losses
are
realized.
Upon
the
occurrence
of
a
credit
event,
the
difference
between
the
par
value
and
market
value
of
the
reference
obligation,
net
of
any
proportional
amount
of
the
upfront
payment,
is
recorded
as
a
realized
gain
(loss)
on
swap
contracts
in
the
Statements
of
Operations.
Implied
credit
spreads
are
used
to
determine
the
value
of
credit
default
swap
contracts
and
reflect
the
cost
of
buying/selling
protection,
which
may
include
upfront
payments
made
to
enter
into
the
contract.
Therefore,
higher
spreads
indicate
a
greater
likelihood
that
a
seller
will
be
obligated
to
perform
(i.e.,
make
payment)
under
the
swap
contract.
Implied
credit
spreads
for
credit
default
swaps
on
credit
indexes
are
linked
to
the
weighted
average
spread
across
the
underlying
reference
obligations
included
in
a
particular
index.
Risks
of
loss
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
A
Fund’s
maximum
risk
of
loss
from
counterparty
risk,
either
as
the
protection
seller
or
as
the
protection
buyer,
is
the
fair
value
of
the
contract.
This
risk
may
be
mitigated
by
having
a
master
netting
arrangement
between
the
specific
Fund
and
the
counterparty.
The
central
clearing
house
acts
as
the
counterparty
to
each
centrally
cleared
swap
transaction,
therefore
credit
risk
is
limited
to
the
failure
of
the
clearing
house.
Where
a
Fund
is
a
seller
of
protection,
the
maximum
potential
amount
of
future
payments
the
Fund
may
be
required
to
make
is
equal
to
the
notional
amount
of
the
relevant
credit
default
contract.
The
Fund’s
risk
of
loss
associated
with
these
instruments
may
exceed
their
value,
as
recorded
in
the
Statements
of
Assets
and
Liabilities.
Credit
default
contracts
outstanding,
including
their
respective
notional
amounts
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Interest
Rate
Swaps:
Certain
Funds
enter
into
interest
rate
swaps
as
part
of
their
investment
strategy.
Interest
rate
swaps
generally
involve
agreements
to
exchange
fixed
and
floating
payment
obligations,
without
the
exchange
of
the
underlying
notional
amounts.
Interest
rate
swap
agreements
are
privately
negotiated
in
the
OTC
market
or
may
be
executed
in
a
multilateral
or
other
trade
facility
platform,
such
as
a
registered
exchange
(centrally
cleared
swaps).
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
on
swap
contracts
in
the
Statements
of
Operations.
Interest
rate
swaps
are
marked
to
market
daily
and
the
change
is
recorded
as
net
change
in
unrealized
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
risk
of
loss
associated
with
these
instruments
may
exceed
their
value,
as
recorded
in
the
Schedule
of
Investments.
Non-deliverable
interest
rate
swap
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Centrally
cleared
interest
rate
swaps
may
have
forward
effective
dates.
The
amortization
of
the
upfront
premiums
(if
applicable)
and
payments
related
to
these
swap
contracts
begin
on
the
effective
date
of
the
contract.
Interest
rate
contracts
outstanding,
including
their
respective
notional
amounts
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Repurchase
Agreements:
Certain
Funds
enter
into
repurchase
agreements.
In
a
repurchase
agreement,
a
Fund
takes
possession
of
an
underlying
debt
obligation
(collateral)
subject
to
an
obligation
of
the
seller
to
repurchase,
and
a
Fund
to
resell,
the
obligation
at
an
agreed-upon
price
and
time.
Under
the
terms
of
a
master
repurchase
agreement,
the
underlying
securities
for
all
repurchase
agreements
are
held
in
safekeeping
at
the
Fund’s
custodian
or
designated
sub-custodians
under
tri-party
repurchase
agreements.
Investments
in
repurchase
agreements
are
reflected
as
assets
on
the
Statements
of
Assets
and
Liabilities.
Interest
earned
is
recorded
as
a
component
of
interest
income
on
the
Statements
of
Operations.
In
periods
of
increased
demand
for
collateral,
a
Fund
may
pay
a
fee
for
receipt
of
collateral,
which
may
result
in
interest
expense
to
the
Fund.
Generally,
in
the
event
of
counterparty
default,
a
Fund
has
the
right
to
use
the
collateral
to
offset
losses
incurred.
If
the
counterparty
should
default,
a
Fund
may
seek
to
sell
the
securities
which
it
holds
as
collateral.
This
could
involve
procedural
costs
or
delays
in
addition
to
a
loss
on
the
securities
if
their
value
should
fall
below
their
repurchase
price.
Repurchase
agreements
outstanding
at
period
end
are
included
within
each
Fund’s
Schedule
of
Investments. 
329
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Reverse
Repurchase
Agreements:
Certain
Funds
enter
into
reverse
repurchase
agreements
under
the
terms
of
a
master
repurchase
agreement.
A
Fund
sells
a
security
that
it
holds
to
a
counterparty
with
a
contemporaneous
agreement
to
repurchase
the
same
security
at
an
agreed-upon
price
and
date.
Reverse
repurchase
agreements
are
accounted
for
as
secured
borrowings
and
are
reflected
as
a
liability
on
the
Statements
of
Assets
and
Liabilities.
Interest
payments
made
on
reverse
repurchase
agreements
are
recorded
as
a
component
of
interest
expense
on
the
Statements
of
Operations.
In
periods
of
increased
demand
for
the
security,
a
Fund
may
receive
a
fee
for
use
of
the
security
by
the
counterparty,
which
may
result
in
interest
income
to
the
Fund.
A
Fund
monitors
collateral
market
value
for
the
reverse
repurchase
agreement,
including
accrued
interest,
throughout
the
lives
of
the
agreements,
and
when
necessary,
delivers
or
receives
cash
or
securities
in
order
to
manage
credit
exposure
and
liquidity.
If
the
counterparty
defaults
or
enters
insolvency
proceeding,
realization
or
return
of
the
collateral
to
the
Fund
may
be
delayed
or
limited.
Reverse
repurchase
agreements
outstanding
at
period
end,
if
any,
including
the
underlying
debt
obligation
(collateral)
assigned
to
each
agreement,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions,
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
(i)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
(ii)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
Master
Repurchase
Agreements
govern
repurchase,
or
reverse
repurchase
transactions,
relating
to
government
bonds
between
certain
Funds
and
select
counterparties.
Master
Repurchase
Agreements
maintain
provisions
for
initiation,
income
payments,
events
of
default,
and
maintenance
of
collateral.
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
options
or
short
sales
of
securities
between
certain
Funds
and
selected
counterparties.
These
arrangements
provide
financing
terms
for
such
transactions
and
include
guidelines
surrounding
the
rights,
obligations,
and
other
events,
including,
but
not
limited
to,
margin,
execution,
and
settlement.
These
agreements
maintain
provisions
for
payments,
maintenance
of
collateral,
events
of
default,
and
termination.
Margin
and
other
assets
delivered
as
collateral
are
typically
held
by
the
prime
broker
and
offset
any
obligations
due
to
the
prime
broker.
Customer
Account
Agreements
govern
cleared
derivatives
transactions
and
exchange-traded
futures
and
options
transactions.
Upon
entering
into
an
exchange-traded
or
centrally
cleared
derivative
contract,
the
Funds
are
required
to
deposit
with
the
relevant
clearing
organization
cash
or
securities,
which
are
referred
to
as
the
initial
margin.
Securities
deposited
as
initial
margin
are
designated
on
the
Schedules
of
Investments
and
cash
deposited
is
recorded
as
Deposits
with
brokers
for
centrally
cleared
swaps
and
Deposits
with
brokers
for
futures
contracts
on
the
Statements
of
Assets
and
Liabilities.
For
exchange-traded
futures
or
centrally
cleared
swaps,
initial
margin
is
posted,
and
daily
changes
in
fair
value
are
recorded
as
a
payable
or
receivable
on
the
Statements
of
Assets
and
Liabilities
as
Variation
margin
on
centrally
cleared
swaps
and
Variation
margin
on
futures
contracts.
Variation
margin
is
determined
separately
for
exchange-traded
futures
and
centrally
cleared
swaps
and
cannot
be
netted.
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
and
Credit
Support
Annexes
(“ISDA
Master
Agreements”)
govern
OTC
derivative
transactions
entered
into
between
certain
Funds
and
a
counterparty.
ISDA
Master
Agreements
maintain
provisions
for
general
obligations,
representations,
netting
of
settlement
payments,
agreements
to
deliver
supporting
documents,
collateral
transfer
and
events
of
default
or
termination.
Events
of
termination
include
a
decline
in
the
Fund’s
net
assets
below
a
specified
threshold
over
a
certain
period
of
time
or
a
decline
in
the
counterparty’s
long-term
and
short-term
credit
ratings
below
a
specified
level.
In
each
case,
upon
occurrence,
the
other
party
may
elect
to
terminate
early
and
cause
settlement
of
all
OTC
contracts
outstanding,
including
the
payment
of
any
losses
and
costs
resulting
from
such
early
termination,
as
reasonably
determined
by
the
terminating
party.
Any
decision
by
a
party
to
elect
early
termination
could
be
material
to
the
financial
statements
and
impact
a
Fund’s
future
derivative
activity.
Collateral
pledged
by
a
Fund
for
OTC
derivatives
pursuant
to
a
Master
Agreement
is
segregated
by
the
Fund’s
custodian
and
identified
as
an
asset
in
the
Statements
of
Assets
and
Liabilities
either
as
a
component
of
Investments
in
securities,
at
value
(securities)
or
in
Due
from
brokers
(cash).
Collateral
and
margin
requirements
differ
according
to
the
terms
of
each
type
of
Master
Agreement.
Collateral
is
routinely
transferred
if
the
total
net
exposure
net
of
existing
collateral
already
in
place
governed
under
the
relevant
Master
Agreement
with
a
counterparty
in
a
given
account
exceeds
a
specified
threshold.
Collateral
can
be
in
the
form
of
cash,
debt
securities
issued
by
the
U.S.
government,
money
market
funds
and
other
securities
as
agreed
to
by
the
Fund
and
the
applicable
counterparty,
or
as
permitted
by
the
clearing
house
or
exchange.
Collateral
posted
for
the
benefit
of
a
Fund
pursuant
to
a
Master
Agreement
is
held
by
a
custodian
of
the
Fund.
Amounts
which
can
be
invested
or
repledged,
are
presented
in
the
Fund’s
Schedule
of
Investments.
Segregation
of
a
Fund’s
collateral
in
the
custodian
account
helps
mitigate
counterparty
risk.
Collateral
received
is
reflected
as
a
liability
within
Due
to
brokers
in
the
Statements
of
Assets
and
Liabilities.
As
governed
by
the
relevant
Master
Agreements,
interest
expense
may
be
incurred
if
a
counterparty
charges
the
Fund
interest
on
collateral
posted
directly
to
a
Fund’s
custodian
account.
For
financial
reporting
purposes,
the
Funds
do
not
offset
derivative
assets
and
derivative
liabilities
subject
to
master
netting
agreements
on
the
Statements
of
Assets
and
Liabilities.
330
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
5.
Investment
Valuation
and
Fair
Value
Measurements 
Investment
Valuation
Policies:
The
Net
Asset
Value
(“NAV”)
of
the
Funds’
shares
are
valued
as
of
the
close
of
regular
trading
on
the
New
York
Stock
Exchange
(“NYSE”)
(normally
4:00
p.m.
Eastern
time)
on
each
day
that
the
NYSE
is
open
(each
a
“Business
Day”).
The
NAV
per
share
of
each
class
within
each
Fund
is
computed
by
dividing
the
total
current
value
of
the
assets
of
such
Fund
attributable
to
a
class,
less
class
liabilities,
by
the
total
number
of
shares
of
that
class
of
the
Fund
outstanding
at
the
time
the
computation
is
made.
GAAP
defines
fair
value
as
the
price
the
Funds
would
receive
to
sell
an
asset
or
pay
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
For
purposes
of
calculating
the
NAV,
portfolio
securities
and
other
financial
derivative
instruments
are
valued
on
each
Business
Day
using
valuation
methods
as
adopted
by
the
Funds’
Board
of
Trustees
(the
“Board”).
Effective
September
8,
2022,
and
in
accordance
with
Rule
2a-5
under
the
1940
Act,
the
Board
has
designated
the
Adviser
as
the
Valuation
Designee
for
the
Funds
to
perform
fair
value
determinations.
The
Valuation
Designee
has
established
a
Valuation
Committee
to
assist
with
oversight
and
monitoring
of
the
valuation
of
the
Funds’
investments.
This
includes
administering,
implementing
and
overseeing
the
continual
appropriateness
of
valuation
approaches
applied
and
the
determination
of
adjustments
to
the
fair
valuation
of
portfolio
securities
and
other
financial
derivative
instruments
in
good
faith
after
consideration
of
market
factor
changes
and
events
affecting
issuers.
Where
market
quotes
are
readily
available,
fair
market
value
is
generally
determined
on
the
basis
of
official
closing
prices
or
the
last
reported
sales
prices,
or
if
no
sales
are
reported,
based
on
quotes
obtained
from
pricing
services
or
established
market
makers.
Where
market
quotations
are
not
readily
available,
or
if
an
available
market
quotation
is
determined
not
to
reflect
fair
value,
securities
or
financial
derivatives
are
valued
at
fair
value,
as
determined
in
good
faith
by
the Valuation
Committee
in
accordance
with
the
valuation
procedures
approved
by
the
Funds’
Board.
Using
fair
value
to
price
a
security
may
require
subjective
determinations
about
the
value
of
a
security
that
could
result
in
a
value
that
is
different
from
a
security’s
most
recent
closing
price
and
from
the
prices
used
by
other
mutual
funds
to
calculate
their
net
assets.
It
is
possible
the
estimated
values
may
differ
significantly
from
the
values
which
would
have
been
used
had
an
active
ready
market
for
the
investments
existed.
These
differences
could
be
material.
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
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.
Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
Valuation
Techniques:
The
following
inputs
and
techniques
may
be
used
by
the
Funds
to
evaluate
how
to
classify
each
major
category
of
assets
and
liabilities
into
the
appropriate
fair
value
hierarchy
in
accordance
with
GAAP.
Equity
securities,
including
securities
sold
short,
rights,
exchange
options,
warrants,
Exchange-Traded
Funds
(“ETFs”)
and
closed-end
investment
companies,
are
valued
at
the
last
quoted
sales
prices
or
official
closing
prices
taken
from
the
primary
market,
or
composite
in
which
each
security
trades
and
are
therefore
classified
Level
1.
Investments
in
mutual
funds
are
valued
daily
at
their
NAVs
which
are
also
classified
as
Level
1.
An
equity
for
which
no
sales
are
reported,
as
in
the
case
of
a
security
that
is
traded
in
the
over-the-counter
market
or
a
less
liquid
listed
equity,
is
valued
at
its
last
bid
price
(in
the
case
of
short
sales,
at
the
ask
price)
and
is
therefore
classified
Level
2.
In
addition,
equities
traded
outside
of
the
Western
Hemisphere,
or
in
foreign
markets
that
close
at
4:00
p.m.
Eastern
time
where
the
market
is
closed
due
to
a
holiday,
are
classified
Level
2
because
they
are
fair
valued
daily
based
on
the
application
of
a
fair
value
factor
(unless
the
Adviser
determines
that
use
of
another
valuation
methodology
is
appropriate).
The
Funds
apply
daily
fair
value
factors,
furnished
by
an
independent
pricing
service,
to
account
for
the
market
movement
between
the
close
of
the
foreign
market
and
the
close
of
the
NYSE.
The
pricing
service
uses
statistical
analysis
and
quantitative
models
to
adjust
local
market
prices
using
factors
such
as
subsequent
movement
and
changes
in
the
prices
of
indices,
American
Depositary
Receipts,
futures
contracts
and
exchange
rates
in
other
markets
in
determining
fair
value
as
of
the
time
a
Fund
calculates
its
net
asset
value.
331
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Fixed
income
securities
(other
than
certain
short-term
investments
maturing
in
60
days
or
less)
and
other
investments
that
trade
in
markets
that
are
not
considered
to
be
active,
are
valued
based
on
quoted
market
prices,
dealer
quotations
or
alternative
pricing
sources
supported
by
observable
inputs
and
are
also
classified
within
Level
2.
These
include
certain
U.S.
government
and
sovereign
obligations,
most
government
agency
securities,
investment-
grade
corporate
bonds,
and
less
liquid
listed
equities.
Corporate
and
sovereign
bonds
and
other
fixed-income
instruments
are
valued
at
estimated
fair
value
using
the
latest
bid
prices
or
evaluated
quotes
furnished
by
independent
pricing
services,
as
well
as
quotations
from
counterparties
and
other
market
participants.
Evaluated
quotes
are
generally
based
on
a
matrix
system,
which
may
consider
such
factors
as
quoted
prices
for
identical
or
similar
assets,
yields,
maturities
and
ratings
and
are
not
necessarily
reliant
on
quoted
prices.
Short-term
debt
investments
of
sufficient
credit
quality
maturing
in
60
days
or
less
are
generally
valued
at
amortized
cost,
which
approximates
fair
value.
These
investments
are
categorized
as
Level
2
within
the
fair
value
hierarchy. 
Investments
classified
within
Level
3
have
significant
unobservable
inputs,
as
they
trade
infrequently
or
not
at
all.
Level
3
instruments
include
illiquid
securities.
When
observable
prices
are
not
available
for
these
securities,
the
Funds
may
use
one
or
more
valuation
approaches
(e.g.,
the
market
approach,
the
income
approach,
or
the
cost
approach),
including
proprietary
models
for
which
sufficient
and
reliable
data
is
available.
Within
Level
3,
the
market
approach
generally
is
based
on
the
technique
of
using
comparable
market
transactions,
while
the
use
of
the
income
approach
includes
the
estimation
of
future
cash
flows
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
durations
of
any
restrictions
on
the
disposition
of
the
investment
or
adjusted
as
appropriate
for
credit,
market
and/or
other
risk
factors.
The
inputs
used
by
the
Funds
in
estimating
the
value
of
Level
3
investments
include
the
original
transaction
price,
recent
transactions
in
the
same
or
similar
instruments,
completed
or
pending
third-party
transactions
in
the
underlying
investment
or
comparable
issuers,
subsequent
rounds
of
financing,
recapitalizations
and
other
transactions
across
the
capital
structure,
offerings
in
the
equity
or
debt
capital
markets,
changes
in
financial
ratios
or
cash
flows,
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
underlying
collateral,
and
other
unique
security
features.
Level
3
investments
may
also
be
adjusted
to
reflect
illiquidity
and/or
non-transferability,
with
the
amount
of
such
discount
estimated
by
the
Adviser
in
the
absence
of
market
information.
Assumptions
used
by
the
Funds
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
fair
value
of
the
investment. 
Exchange-traded
derivatives,
such
as
futures
contracts
and
exchange-traded
option
contracts,
are
typically
classified
within
Level
1
or
Level
2
of
the
fair
value
hierarchy
depending
on
whether
or
not
they
are
deemed
to
be
actively
traded.
Futures
and
option
contracts
that
are
listed
on
national
exchanges
and
are
freely
transferable
are
valued
at
fair
value
based
on
their
last
sales
price
on
the
date
of
determination
on
the
exchange
that
constitutes
the
principal
market.
For
option
contracts,
if
no
sales
occurred
on
such
date,
the
contracts
will
be
valued
at
the
mid
price
on
such
exchange
at
the
close
of
business
on
such
date.
Centrally
cleared
swaps
listed
or
traded
on
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange,
are
valued
on
a daily
basis
using
quotations
provided
by
an
independent
pricing
service. 
OTC
derivatives,
including
forward
contracts
and
swap
contracts,
are
valued
by
the
Funds
on
a
daily
basis
using
observable
inputs,
such
as
quotations
provided
by
an
independent
pricing
service,
the
counterparty,
dealers
or
brokers,
whenever
available
and
considered
reliable.
The
value
of
each
total
return
swap
contract
and
total
return
basket
swap
contract
is
derived
from
a
combination
of
(i)
the
net
value
of
the
underlying
positions,
which
are
valued
daily
using
the
last
sale
or
closing
price
on
the
principal
exchange
on
which
the
securities
are
traded;
(ii)
financing
costs;
(iii)
the
value
of
dividends
or
accrued
interest;
(iv)
cash
balances
within
the
swap;
and
(v)
other
factors,
as
applicable. 
The
U.S.
dollar
value
of
forward
foreign
currency
exchange
contracts
is
determined
using
current
forward
currency
exchange
rates
supplied
by
an
independent
pricing
service. 
Credit
default
swap
contracts
and
interest
rate
swap
contracts
are
marked
to
market
daily
based
on
quotations
as
provided
by
an
independent
pricing
service.
The
independent
pricing
services
aggregate
valuation
information
from
various
market
participants
to
create
a
single
reference
value
for
each
credit
default
swap
contract
and
interest
rate
swap
contract. 
Generally,
a
valuation
model
is
used
consistently
for
similar
derivative
types.
In
instances
where
models
are
used,
the
value
of
an
OTC
derivative
depends
upon
the
contractual
terms
of,
and
specific
risks
inherent
in,
the
instrument
as
well
as
the
availability
and
reliability
of
observable
inputs.
Such
inputs
typically
may
include
market
prices
for
reference
securities,
yield
curves,
credit
spreads,
measures
of
volatility,
prepayment
rates
and
implied
correlations
of
such
inputs
which
are
obtained
from
outside
brokers
and/or
pricing
services
when
available.
Certain
OTC
derivatives,
such
as
generic
forwards,
swaps
and
options,
have
inputs
which
can
generally
be
corroborated
by
market
data
and
are
therefore
classified
within
Level
2.
Those
OTC
derivatives
that
have
less
liquidity
or
for
which
inputs
are
unobservable
are
classified
within
Level
3.
While
the
valuations
of
less
liquid
OTC
derivatives
may
utilize
some
Level
1
and/or
Level
2
inputs,
they
also
may
include
other
unobservable
inputs
which
may
be
considered
significant
to
the
fair
value
determination. 
332
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
Funds
value
the
repurchase
agreements
and
reverse
repurchase
agreements
they
have
entered
based
on
the
respective
contract
amounts,
which
approximate
fair
value.
As
such,
repurchase
agreements
are
carried
at
the
amount
of
cash
paid
plus
accrued
interest
receivable
(or
interest
payable
in
periods
of
increased
demand
for
collateral),
and
reverse
repurchase
agreements
are
carried
at
the
amount
of
cash
received
plus
accrued
interest
payable
(or
interest
receivable
in
periods
of
increased
demand
for
collateral).These
investments
are
categorized
as
Level
2
within
the
fair
value
hierarchy. 
Quantitative
Information
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
†
................................
$
145,785,733
$
114,078,562
$
–
$
259,864,295
Short-Term
Investments
...........................
83,726,868
31,703,508
–
115,430,376
Futures
Contracts*
...............................
4,987,879
–
–
4,987,879
Forward
Foreign
Currency
Exchange
Contracts*
........
–
2,217,140
–
2,217,140
Interest
Rate
Swap
Contracts*
......................
–
4,119,502
–
4,119,502
Total
Return
Swaps
Contracts*
......................
–
216,675
–
216,675
Total
Assets
$
234,500,480
$
152,335,387
$
–
$
386,835,867
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(133,167,934)
$
(101,941,321)
$
–
$
(235,109,255)
Warrants
(Sold
Short)
†
............................
(9,811)
–
–
(9,811)
Futures
Contracts*
...............................
(5,446,637)
–
–
(5,446,637)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(3,176,862)
–
(3,176,862)
Interest
Rate
Swap
Contracts*
......................
–
(3,423,897)
–
(3,423,897)
Total
Return
Swaps
Contracts*
......................
–
(187,811)
–
(187,811)
Total
Liabilities
$
(138,624,382)
$
(108,729,891)
$
–
$
(247,354,273)
AQR
DIVERSIFIED
ARBITRAGE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
232,569,297
$
64,745,060
$
282,452
$
297,596,809
Corporate
Bonds
................................
–
4,820,032
145,210
4,965,242
Convertible
Bonds
...............................
–
343,632,636
–
343,632,636
Closed
End
Funds
...............................
47,593,632
–
–
47,593,632
Rights
........................................
127,665
126,430
313,872
567,967
Securities
in
Litigation
............................
–
–
–
(a)
–
(a)
Warrants
......................................
1,536,259
524,283
84,894
2,145,436
Units
.........................................
10
391,864
–
391,874
Short-Term
Investments
...........................
526,614,160
354,636,006
–
881,250,166
Futures
Contracts*
...............................
643,908
–
–
643,908
Forward
Foreign
Currency
Exchange
Contracts*
........
–
698,123
–
698,123
Total
Return
Basket
Swaps
Contracts*
................
–
916,463
–
916,463
Total
Assets
$
809,084,931
$
770,490,897
$
826,428
$
1,580,402,256
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(78,373,350)
$
(12,383,236)
$
–
(a)
$
(90,756,586)
Convertible
Bonds
(Sold
Short)
.....................
–
(8,257,805)
–
(8,257,805)
Futures
Contracts*
...............................
(204,890)
–
–
(204,890)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(38,560)
–
(38,560)
Credit
Default
Swap
Contracts*
.....................
–
(859,978)
–
(859,978)
Total
Return
Basket
Swaps
Contracts*
................
–
(66,604,510)
–
(66,604,510)
Total
Liabilities
$
(78,578,240)
$
(88,144,089)
$
–
(a)
$
(166,722,329)
AQR
DIVERSIFYING
STRATEGIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Investment
Companies
...........................
$
184,759,142
$
–
$
–
$
184,759,142
Short-Term
Investments
...........................
3,590,620
–
–
3,590,620
Total
Assets
$
188,349,762
$
–
$
–
$
188,349,762
333
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
EQUITY
MARKET
NEUTRAL
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
8,774,745
$
–
$
8,774,745
Short-Term
Investments
...........................
91,683,534
80,386,082
–
172,069,616
Forward
Foreign
Currency
Exchange
Contracts*
........
–
17,614
–
17,614
Total
Return
Basket
Swaps
Contracts*
................
–
3,248,399
–
3,248,399
Total
Assets
$
91,683,534
$
92,426,840
$
–
$
184,110,374
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
–
$
(7,102,750)
$
–
$
(7,102,750)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(31,624)
–
(31,624)
Total
Liabilities
$
–
$
(7,134,374)
$
–
$
(7,134,374)
AQR
LONG-SHORT
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
159,302,446
$
335,630,009
$
–
$
494,932,455
Futures
Contracts*
...............................
1,986
–
–
1,986
Forward
Foreign
Currency
Exchange
Contracts*
........
–
1,908,627
–
1,908,627
Total
Return
Basket
Swaps
Contracts*
................
–
13,869,930
–
13,869,930
Total
Return
Swaps
Contracts*
......................
–
15,975
–
15,975
Total
Assets
$
159,304,432
$
351,424,541
$
–
$
510,728,973
LIABILITIES
Futures
Contracts*
...............................
$
(4,924,250)
$
–
$
–
$
(4,924,250)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(162,513)
–
(162,513)
Total
Return
Basket
Swaps
Contracts*
................
–
(1,051)
–
(1,051)
Total
Return
Swaps
Contracts*
......................
–
(793,227)
–
(793,227)
Total
Liabilities
$
(4,924,250)
$
(956,791)
$
–
$
(5,881,041)
AQR
MACRO
OPPORTUNITIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
6,669,784
$
3,244,787
$
–
$
9,914,571
Short-Term
Investments
...........................
76,632,918
60,957,068
–
137,589,986
Futures
Contracts*
...............................
13,467,267
–
–
13,467,267
Forward
Foreign
Currency
Exchange
Contracts*
........
–
7,280,660
–
7,280,660
Interest
Rate
Swap
Contracts*
......................
–
15,151,228
–
15,151,228
Credit
Default
Swap
Contracts*
.....................
–
38,833
–
38,833
Total
Return
Swaps
Contracts*
......................
–
222,953
–
222,953
Total
Assets
$
96,769,969
$
86,895,529
$
–
$
183,665,498
LIABILITIES
Futures
Contracts*
...............................
$
(11,008,747)
$
–
$
–
$
(11,008,747)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(6,297,661)
–
(6,297,661)
Interest
Rate
Swap
Contracts*
......................
–
(10,909,883)
–
(10,909,883)
Credit
Default
Swap
Contracts*
.....................
–
(19,490)
–
(19,490)
Total
Return
Swaps
Contracts*
......................
–
(147,360)
–
(147,360)
Total
Liabilities
$
(11,008,747)
$
(17,374,394)
$
–
$
(28,383,141)
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
354,161,349
$
1,106,707,884
$
–
$
1,460,869,233
Futures
Contracts*
...............................
66,975,192
–
–
66,975,192
Forward
Foreign
Currency
Exchange
Contracts*
........
–
22,962,372
–
22,962,372
Interest
Rate
Swap
Contracts*
......................
–
51,219,779
–
51,219,779
Credit
Default
Swap
Contracts*
.....................
–
62,361
–
62,361
Total
Return
Basket
Swaps
Contracts*
................
–
9,324,561
–
9,324,561
Total
Return
Swaps
Contracts*
......................
–
910,390
–
910,390
Total
Assets
$
421,136,541
$
1,191,187,347
$
–
$
1,612,323,888
334
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
LIABILITIES
Futures
Contracts*
...............................
$
(20,055,823)
$
–
$
–
$
(20,055,823)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(42,950,401)
–
(42,950,401)
Interest
Rate
Swap
Contracts*
......................
–
(43,838,404)
–
(43,838,404)
Credit
Default
Swap
Contracts*
.....................
–
(52,277)
–
(52,277)
Total
Return
Basket
Swaps
Contracts*
................
–
(1,350,046)
–
(1,350,046)
Total
Return
Swaps
Contracts*
......................
–
(529,830)
–
(529,830)
Total
Liabilities
$
(20,055,823)
$
(88,720,958)
$
–
$
(108,776,781)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
43,429,540
$
119,590,637
$
–
$
163,020,177
Futures
Contracts*
...............................
10,318,452
–
–
10,318,452
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,950,983
–
3,950,983
Interest
Rate
Swap
Contracts*
......................
–
8,120,520
–
8,120,520
Credit
Default
Swap
Contracts*
.....................
–
7,397
–
7,397
Total
Return
Basket
Swaps
Contracts*
................
–
1,516,857
–
1,516,857
Total
Return
Swaps
Contracts*
......................
–
147,656
–
147,656
Total
Assets
$
53,747,992
$
133,334,050
$
–
$
187,082,042
LIABILITIES
Futures
Contracts*
...............................
$
(3,405,485)
$
–
$
–
$
(3,405,485)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(7,160,879)
–
(7,160,879)
Interest
Rate
Swap
Contracts*
......................
–
(7,338,846)
–
(7,338,846)
Credit
Default
Swap
Contracts*
.....................
–
(10,232)
–
(10,232)
Total
Return
Basket
Swaps
Contracts*
................
–
(116,858)
–
(116,858)
Total
Return
Swaps
Contracts*
......................
–
(66,244)
–
(66,244)
Total
Liabilities
$
(3,405,485)
$
(14,693,059)
$
–
$
(18,098,544)
AQR
MULTI-ASSET
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
53,012,553
$
24,684,693
$
–
(a)
$
77,697,246
Foreign
Government
Securities
.....................
–
8,808,425
–
8,808,425
U.S.
Treasury
Obligations
.........................
–
9,721,668
–
9,721,668
Short-Term
Investments
...........................
30,406,955
24,671,790
–
55,078,745
Futures
Contracts*
...............................
4,388,306
–
–
4,388,306
Forward
Foreign
Currency
Exchange
Contracts*
........
–
2,075,042
–
2,075,042
Total
Return
Swaps
Contracts*
......................
–
73,040
–
73,040
Total
Assets
$
87,807,814
$
70,034,658
$
–
(a)
$
157,842,472
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(10,409,278)
$
(6,991,281)
$
–
$
(17,400,559)
Futures
Contracts*
...............................
(5,247,137)
–
–
(5,247,137)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,515,161)
–
(2,515,161)
Total
Liabilities
$
(15,656,415)
$
(9,506,442)
$
–
$
(25,162,857)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
222,417,600
$
186,515,533
$
–
$
408,933,133
Futures
Contracts*
...............................
54,143,350
–
–
54,143,350
Total
Assets
$
276,560,950
$
186,515,533
$
–
$
463,076,483
LIABILITIES
Futures
Contracts*
...............................
$
(28,666,790)
$
–
$
–
$
(28,666,790)
Total
Liabilities
$
(28,666,790)
$
–
$
–
$
(28,666,790)
335
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price. 
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
40,424,214
$
–
$
40,424,214
Short-Term
Investments
...........................
295,506,201
399,525,827
–
695,032,028
Futures
Contracts*
...............................
31,348,021
–
–
31,348,021
Forward
Foreign
Currency
Exchange
Contracts*
........
–
15,578,056
–
15,578,056
Interest
Rate
Swap
Contracts*
......................
–
34,116,422
–
34,116,422
Total
Return
Basket
Swaps
Contracts*
................
–
22,424,664
–
22,424,664
Total
Return
Swaps
Contracts*
......................
–
1,625,985
–
1,625,985
Total
Assets
$
326,854,222
$
513,695,168
$
–
$
840,549,390
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(434,167)
$
(39,568,624)
$
(2)
$
(40,002,793)
Futures
Contracts*
...............................
(43,797,979)
–
–
(43,797,979)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(19,224,005)
–
(19,224,005)
Interest
Rate
Swap
Contracts*
......................
–
(29,683,155)
–
(29,683,155)
Total
Return
Basket
Swaps
Contracts*
................
–
(2,375,395)
–
(2,375,395)
Total
Return
Swaps
Contracts*
......................
–
(1,397,603)
–
(1,397,603)
Total
Liabilities
$
(44,232,146)
$
(92,248,782)
$
(2)
$
(136,480,930)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
7,517,709
$
7,285,726
$
–
$
14,803,435
Forward
Foreign
Currency
Exchange
Contracts*
........
–
85,476
–
85,476
Total
Return
Basket
Swaps
Contracts*
................
–
546,299
–
546,299
Total
Assets
$
7,517,709
$
7,917,501
$
–
$
15,435,210
LIABILITIES
Forward
Foreign
Currency
Exchange
Contracts*
........
$
–
$
(7,303)
$
–
$
(7,303)
Total
Return
Basket
Swaps
Contracts*
................
–
(79,119)
–
(79,119)
Total
Liabilities
$
–
$
(86,422)
$
–
$
(86,422)
*
Derivative
instruments,
including
futures,
total
return
swap,
total
return
basket
swap
and
forward
foreign
currency
exchange
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Credit
default
swaps
and
interest
rate
swaps
are
reported
at
market
value.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities
for
exchange-traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
336
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
6.
Federal
Income
Tax
Matters
At
December
31,
2022,
the
cost
and
aggregate
gross
unrealized
appreciation
(depreciation)
of
long
security
positions,
short
security
positions
and
derivative
instruments
for
federal
income
tax
purposes
were
as
follows:
The
differences
between
book-basis
and
tax-basis
cost
of
investments
was
due
primarily
to
timing
differences
in
recognizing
certain
gains
and
losses
on
security
transactions
(e.g.
wash
sale
loss
deferrals
and
passive
foreign
investment
company
("PFIC") transactions.
As
of
December
31,
2022,
the
components
of
distributable
earnings
(accumulated
losses)
on
a
U.S.
federal
income
tax
basis
were
as
follows:
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Alternative
Risk
Premia
Fund
..........................
$
58,919,146
$
100,847,750
$
(20,285,302)
$
80,562,448
AQR
Diversified
Arbitrage
Fund
.............................
1,508,980,894
31,121,074
(126,422,041)
(95,300,967)
AQR
Diversifying
Strategies
Fund
...........................
192,846,840
341,194
(4,838,272)
(4,497,078)
AQR
Equity
Market
Neutral
Fund
...........................
176,131,779
1,130,082
(285,861)
844,221
AQR
Long-Short
Equity
Fund
..............................
505,470,921
1,034,284
(1,657,273)
(622,989)
AQR
Macro
Opportunities
Fund
.............................
151,614,232
26,925,393
(23,257,268)
3,668,125
AQR
Managed
Futures
Strategy
Fund
........................
1,489,752,055
91,864,926
(78,069,874)
13,795,052
AQR
Managed
Futures
Strategy
HV
Fund
.....................
167,032,892
13,892,530
(11,941,924)
1,950,606
AQR
Multi-Asset
Fund
...................................
130,087,688
13,958,457
(11,366,530)
2,591,927
AQR
Risk-Balanced
Commodities
Strategy
Fund
................
414,719,399
48,451,656
(28,761,362)
19,690,294
AQR
Style
Premia
Alternative
Fund
..........................
704,372,438
73,854,399
(74,158,377)
(303,978)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..........
15,331,317
103,893
(86,422)
17,471
FUND
UNDISTRIBUTED
ORDINARY
INCOME
UNDISTRIBUTED
LONG-TERM
CAPITAL
GAIN
UNREALIZED
APPRECIATION
(DEPRECIATION)
(a)
LOSS
CARRYFORWARDS
AND
DEFERRALS
(b)
OTHER
TEMPORARY
DIFFERENCES
(c)
TOTAL
ACCUMULATED
EARNINGS
(LOSS)
AQR
Alternative
Risk
Premia
Fund
.................
$
—
$
—
$
80,590,039
$
(112,283,894)
$
(1,022,534)
$
(32,716,389)
AQR
Diversified
Arbitrage
Fund
—
—
(95,308,004)
(77,005,886)
(68,195)
(172,382,085)
AQR
Diversifying
Strategies
Fund
.................
—
487,686
(4,497,077)
—
—
(4,009,391)
AQR
Equity
Market
Neutral
Fund
.................
17,676,009
—
844,187
(1,003,970)
(6,816)
17,509,410
AQR
Long-Short
Equity
Fund
68,381,323
—
(363,030)
(30,962,972)
—
37,055,321
AQR
Macro
Opportunities
Fund
—
—
3,740,744
(1,794,579)
(100,963)
1,845,202
AQR
Managed
Futures
Strategy
Fund
..........
13,894,882
—
13,456,603
(958,096,376)
(11,167,008)
(941,911,899)
AQR
Managed
Futures
Strategy
HV
Fund
.......
1,060,733
—
1,927,567
(95,083,417)
(1,661,694)
(93,756,811)
AQR
Multi-Asset
Fund
.....
4,730
—
2,607,542
(9,846,945)
(192,359)
(7,427,032)
AQR
Risk-Balanced
Commodities
Strategy
Fund
461,728
18,247
19,690,319
—
1,431,350
21,601,644
AQR
Style
Premia
Alternative
Fund
.................
89,334,136
—
(7,958)
(444,282,352)
(7,339,567)
(362,295,741)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
1,191,751
—
19,655
(356,769)
—
854,637
(a)
The
difference
between
book-basis
and
tax-basis
unrealized
appreciation
(depreciation)
is
primarily
attributable
to
timing
differences
in
recognizing
certain
gains
and
losses
on
investment
transactions.
(b)
The
Funds
have
elected
to
defer
certain
qualified
late-year
losses
and
recognize
such
losses
in
the
next
taxable
year.
(c)
Other
temporary
differences
represent
book-to-tax
basis
differences
related
to
straddle
loss
deferrals
and
Cayman
subsidiary
income.
337
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
As
of
December
31,
2022,
the
effect
of
permanent
book/tax
reclassifications
resulted
in
increase
(decrease)
to
the
components
of
net
assets
as
follows:
For
financial
reporting
purposes,
capital
accounts
are
adjusted
to
reflect
the
tax
character
of
permanent
book/tax
differences.
Reclassifications
are
primarily
due
to
the
difference
in
tax
treatment
of
certain
non-deductible
expenses,
net
operating
losses,
and
income
from
investments
in
the
Cayman
subsidiary.
The
result
of
operations
and
net
assets
were
not
affected
by
the
reclassifications. 
The
tax
character
of
distributions
paid
during
the
fiscal
years
ended December
31,
2022
and
December
31,
2021 were
as
follows:
During
the
year
ended
December
31,
2022,
the
Funds
utilized
capital
loss
carryforwards
in
the
amounts
listed
below:
FUND
TOTAL
DISTRIBUTABLE
EARNINGS
(LOSS)
PAID-IN
CAPITAL
AQR
Alternative
Risk
Premia
Fund
.................................................
$
466,738
$
(466,738)
AQR
Diversified
Arbitrage
Fund
....................................................
13,592,100
(13,592,100)
AQR
Diversifying
Strategies
Fund
..................................................
(55,070)
55,070
AQR
Equity
Market
Neutral
Fund
..................................................
12,636
(12,636)
AQR
Long-Short
Equity
Fund
.....................................................
8,427
(8,427)
AQR
Macro
Opportunities
Fund
....................................................
(525,151)
525,151
AQR
Managed
Futures
Strategy
Fund
...............................................
33,742
(33,742)
AQR
Managed
Futures
Strategy
HV
Fund
............................................
(2,299,088)
2,299,088
AQR
Multi-Asset
Fund
..........................................................
(32,307)
32,307
AQR
Risk-Balanced
Commodities
Strategy
Fund
.......................................
20,621
(20,621)
AQR
Style
Premia
Alternative
Fund
.................................................
101,568
(101,568)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
.................................
54
(54)
DECEMBER
31,
2022
DECEMBER
31,
2021
FUND
ORDINARY
INCOME
LONG-TERM
CAPITAL
GAINS
ORDINARY
INCOME
LONG-TERM
CAPITAL
GAINS
AQR
Alternative
Risk
Premia
Fund
..................................
$
—
$
—
$
4,490,475
$
—
AQR
Diversified
Arbitrage
Fund
.....................................
1,486,446
—
8,606,271
—
AQR
Diversifying
Strategies
Fund
...................................
13,686,935
92,816
1,409,950
364,045
AQR
Equity
Market
Neutral
Fund
...................................
9,776,339
—
—
754,017
AQR
Long-Short
Equity
Fund
......................................
62,742,042
9,150,937
—
—
AQR
Macro
Opportunities
Fund
.....................................
7,011,680
4,113,968
419,322
—
AQR
Managed
Futures
Strategy
Fund
................................
183,718,060
—
71,150,197
—
AQR
Managed
Futures
Strategy
HV
Fund
.............................
14,001,651
—
6,419,490
—
AQR
Multi-Asset
Fund
...........................................
9,276,620
—
7,868,049
—
AQR
Risk-Balanced
Commodities
Strategy
Fund
........................
39,758,150
—
40,513,782
—
AQR
Style
Premia
Alternative
Fund
..................................
163,677,982
—
76,770,429
—
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..................
517,684
5,180
—
—
FUND
SHORT-TERM
LONG-TERM
AQR
Alternative
Risk
Premia
Fund
.........................................................
$
7,268,409
$
–
AQR
Diversified
Arbitrage
Fund
............................................................
–
77,097,426
AQR
Macro
Opportunities
Fund
............................................................
–
629,248
AQR
Managed
Futures
Strategy
Fund
.......................................................
72,560,634
117,289,286
AQR
Managed
Futures
Strategy
HV
Fund
....................................................
5,460,517
11,051,588
AQR
Risk-Balanced
Commodities
Strategy
Fund
...............................................
68
–
AQR
Style
Premia
Alternative
Fund
.........................................................
11,820,409
41,587,126
338
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
As
of
December
31,
2022,
for
federal
income
tax
purposes,
the
following
Funds
have
capital
loss
carryforwards,
with
no
expiration,
available
to
offset
future
capital
gains,
if
any,
to
the
extent
provided
by
the
U.S.
Treasury
regulations.
The
ability
to
utilize
capital
loss
carryforwards
in
the
future
may
be
limited
under
the
Internal
Revenue
Code
and
related
regulations
based
on
the
results
of
future
transactions.
7.
Investment
Transactions
During
the year
ended
December
31,
2022,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
During
the year
ended
December
31,
2022,
the
Funds
had
purchases
and
sales
of
long-term
U.S.
Government
obligations,
which
are
included
in
the
table
above,
as
follows:
8.
Derivative
Instruments
and
Activities
The
Funds
use
derivative
instruments
as
part
of
their
principal
investment
strategy
to
achieve
their
investment
objectives.
The
Funds’
derivative
contracts
are
not
accounted
for
as
hedging
instruments
under
GAAP.
For
financial
reporting
purposes,
the
Funds
do
not
offset
financial
assets
and
financial
liabilities
that
are
subject
to
master
netting
arrangements
or
similar
agreements
on
the
Statements
of
Assets
and
Liabilities.
All
derivative
instruments
held
by
the
Funds
were
subject
to
a
master
netting
agreement
or
similar
arrangement.
The
following
table
lists
the
fair
value
of
derivative
instruments
held
by
the
Funds,
by
primary
underlying
risk
and
contract
type,
as
included
in
the
Statements
of
Assets
and
Liabilities
at
December
31,
2022:
FUND
SHORT-TERM
LONG
TERM
AQR
Alternative
Risk
Premia
Fund
.................................................
$
112,283,894
$
—
AQR
Diversified
Arbitrage
Fund
....................................................
—
77,005,886
AQR
Equity
Market
Neutral
Fund
..................................................
629,515
374,455
AQR
Long-Short
Equity
Fund
.....................................................
13,591,078
17,371,894
AQR
Managed
Futures
Strategy
Fund
...............................................
459,556,408
498,539,968
AQR
Managed
Futures
Strategy
HV
Fund
............................................
48,664,672
46,418,745
AQR
Multi-Asset
Fund
..........................................................
2,647,136
7,199,809
AQR
Style
Premia
Alternative
Fund
.................................................
444,282,352
—
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
*
................................
144,125
212,644
*
Capital
loss
carryforwards
are
reduced
for
limitations
to
the
extent
required
by
the
Internal
Revenue
Code
and
may
be
further
limited
depending
upon
a
variety
of
factors,
including
the
realization
of
net
unrealized
gains
or
losses
as
of
the
date
of
any
reorganization.
FUND
PURCHASES
SALES
SECURITIES
SOLD
SHORT
COVERS
ON
SECURITIES
SOLD
SHORT
AQR
Alternative
Risk
Premia
Fund
..........................
$
254,576,044
$
113,498,472
$
294,000,907
$
149,417,927
AQR
Diversified
Arbitrage
Fund
.............................
1,004,456,733
789,725,822
303,007,282
255,767,442
AQR
Diversifying
Strategies
Fund
...........................
208,314,494
51,112,882
—
—
AQR
Equity
Market
Neutral
Fund
...........................
14,548,697
7,861,239
10,749,285
5,394,669
AQR
Macro
Opportunities
Fund
.............................
47,332,075
37,361,751
—
—
AQR
Multi-Asset
Fund
...................................
155,570,338
151,190,850
40,022,055
34,249,411
AQR
Style
Premia
Alternative
Fund
..........................
44,981,859
29,688,459
37,017,573
18,494,291
FUND
PURCHASES
SALES
AQR
Macro
Opportunities
Fund
............................................................
$
33,416,522
$
33,257,140
AQR
Multi-Asset
Fund
..................................................................
27,659,135
34,604,297
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
Equity
Risk
Exposure:
3,730,925
23,005,576
3,248,399
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
$
1,732,800
$
75,179
$
–
Swaps
at
Value
(Assets)
**
.................................................
216,675
1,073,232
3,248,399
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(1,593,637)
(488)
–
Swaps
at
Value
(Liabilities)
**
...............................................
(187,811)
(21,856,677)
–
339
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
3,730,925
23,005,576
3,248,399
Foreign
Exchange
Rate
Risk
Exposure:
5,394,002
736,683
49,238
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
............
2,217,140
698,123
17,614
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
...........
(3,176,862)
(38,560)
(31,624)
5,394,002
736,683
49,238
Interest
Rate
Risk
Exposure:
12,280,829
45,677,733
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
2,136,944
568,729
–
Swaps
at
Value
(Assets)
**
.................................................
4,119,502
–
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(2,600,488)
(204,402)
–
Swaps
at
Value
(Liabilities)
**
...............................................
(3,423,897)
(44,904,602)
–
12,280,829
45,677,733
–
Credit
Risk
Exposure:
–
859,979
–
Swaps
at
Value
(Liabilities)
**
...............................................
–
(859,978)
–
–
859,979
–
Commodity
Risk
Exposure:
2,370,648
–
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
1,118,135
–
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(1,252,512)
–
–
2,370,648
–
–
Net
Fair
Value
of
Derivative
Contracts:
(2,112,491)
(131,997,471)
3,220,379
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......................
(458,758)
439,018
–
Swaps
at
Value
**
........................................................
724,469
(66,548,025)
3,248,399
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
(959,722)
659,563
(14,010)
2,112,491
131,997,471
3,220,379
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Equity
Risk
Exposure:
19,606,420
7,637,421
19,918,220
3,105,396
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
1,986
$
4,590,743
$
7,718,589
$
1,247,599
Swaps
at
Value
(Assets)
**
.................................
13,885,905
222,953
10,234,951
1,664,513
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(4,924,250)
(2,676,360)
(84,807)
(10,182)
Swaps
at
Value
(Liabilities)
**
...............................
(794,278)
(147,360)
(1,879,876)
(183,102)
19,606,420
7,637,421
19,918,220
3,105,396
Foreign
Exchange
Rate
Risk
Exposure:
2,071,140
13,578,321
65,912,773
11,111,862
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
1,908,627
7,280,660
22,962,372
3,950,983
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
(162,513)
(6,297,661)
(42,950,401)
(7,160,879)
2,071,140
13,578,321
65,912,773
11,111,862
Interest
Rate
Risk
Exposure:
–
32,288,375
133,998,160
21,077,985
Unrealized
Appreciation
on
Futures
Contracts
*
..................
–
3,754,069
38,691,759
5,567,230
Swaps
at
Value
(Assets)
**
.................................
–
15,151,228
51,219,779
8,120,520
Unrealized
Depreciation
on
Futures
Contracts
*
.................
–
(2,473,202)
(248,225)
(51,382)
Swaps
at
Value
(Liabilities)
**
...............................
–
(10,909,883)
(43,838,404)
(7,338,846)
–
32,288,375
133,998,160
21,077,985
Credit
Risk
Exposure:
–
58,323
114,638
17,631
Swaps
at
Value
(Assets)
**
.................................
–
38,833
62,361
7,397
Swaps
at
Value
(Liabilities)
**
...............................
–
(19,490)
(52,277)
(10,232)
–
58,323
114,638
17,631
Commodity
Risk
Exposure:
–
10,981,637
40,287,638
6,847,543
Unrealized
Appreciation
on
Futures
Contracts
*
..................
–
5,122,455
20,564,844
3,503,623
Unrealized
Depreciation
on
Futures
Contracts
*
.................
–
(5,859,185)
(19,722,791)
(3,343,921)
–
10,981,637
40,287,638
6,847,543
Net
Fair
Value
of
Derivative
Contracts:
4,993,212
7,777,800
22,689,844
2,753,421
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(4,922,264)
2,458,520
46,919,369
6,912,967
Swaps
at
Value
**
........................................
13,091,627
4,336,281
15,746,534
2,260,250
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
.....................................
1,746,114
982,999
(19,988,029)
(3,209,896)
4,993,212
7,777,800
22,689,844
2,753,421
340
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Equity
Risk
Exposure:
2,588,002
–
54,079,150
625,418
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
1,635,860
$
–
$
12,618,033
$
–
Swaps
at
Value
(Assets)
**
.................................
73,040
–
24,041,613
546,299
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(879,101)
–
(13,646,509)
–
Swaps
at
Value
(Liabilities)
**
...............................
–
–
(3,772,998)
(79,119)
2,588,002
–
54,079,150
625,418
Foreign
Exchange
Rate
Risk
Exposure:
4,590,203
–
34,802,061
92,779
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
2,075,042
–
15,578,056
85,476
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
(2,515,161)
–
(19,224,005)
(7,303)
4,590,203
–
34,802,061
92,779
Interest
Rate
Risk
Exposure:
3,784,352
–
95,796,518
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................
596,358
–
10,826,152
–
Swaps
at
Value
(Assets)
**
.................................
–
–
34,125,458
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(3,187,995)
–
(21,161,752)
–
Swaps
at
Value
(Liabilities)
**
...............................
–
–
(29,683,155)
–
3,784,352
–
95,796,518
–
Commodity
Risk
Exposure:
3,336,128
82,810,140
16,893,554
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................
2,156,088
54,143,350
7,903,836
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(1,180,041)
(28,666,790)
(8,989,718)
–
3,336,128
82,810,140
16,893,554
–
Net
Fair
Value
of
Derivative
Contracts:
(2,524,858)
25,476,560
(7,480,896)
545,353
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(858,831)
25,476,560
(12,449,958)
–
Swaps
at
Value
**
........................................
73,040
–
24,710,918
467,180
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
.....................................
(440,119)
–
(3,645,949)
78,173
2,524,858
25,476,560
7,480,896
545,353
*
Includes
cumulative
appreciation/(depreciation)
on
futures
contracts,
if
any,
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
**
Includes
the
fair
value
of
centrally
cleared
swap
contracts
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities
.
341
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
following
table
indicates
the
effect
of
derivative
instruments,
by
primary
underlying
risk
exposure
and
contract
type,
on
the
Statements
of
Operations
for
the year
ended
December
31,
2022:
*
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations
Equity
Risk
Exposure:
1,734,539
55,589,398
18,136,295
Futures
Contracts
.......................................................
$
4,703,729
$
7,214,369
$
(844,375)
Swap
Contracts
........................................................
(2,969,190)
48,374,928
18,980,669
Written
Options
.........................................................
–
100
–
1,734,538.91
55,589,398.31
18,136,294.72
Foreign
Exchange
Rate
Risk
Exposure:
(939,761)
2,452,902
(4,796)
Forward
Foreign
Currency
Exchange
Contracts
.................................
(939,761)
2,452,902
(4,796)
(939,761)
2,452,902
(4,796)
Interest
Rate
Risk
Exposure:
7,230,939
13,775,743
–
Futures
Contracts
.......................................................
6,178,811
(5,380,431)
–
Swap
Contracts
........................................................
1,052,128
19,156,174
–
7,230,938.99
13,775,742.59
–
Credit
Risk
Exposure:
–
2,489,295
–
Swap
Contracts
........................................................
–
2,489,295
–
–
2,489,295.06
–
Commodity
Risk
Exposure:
5,188,941
–
–
Futures
Contracts
.......................................................
5,195,673
–
–
Swap
Contracts
........................................................
(6,732)
–
–
5,188,940.65
–
–
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations
Equity
Risk
Exposure:
(112,334)
(25,842,254)
2,610,038
Futures
Contracts
.......................................................
166,635
399,283
(107,319)
Swap
Contracts
........................................................
(278,964)
(26,241,537)
2,717,357
112,334
25,842,254
2,610,038
Foreign
Exchange
Rate
Risk
Exposure:
914,972
772,659
13,466
Forward
Foreign
Currency
Exchange
Contracts
.................................
(914,972)
772,659
(13,466)
914,972
772,659
13,466
Interest
Rate
Risk
Exposure:
1,553,445
64,781,166
–
Futures
Contracts
.......................................................
(1,125,580)
1,021,828
–
Swap
Contracts
........................................................
(427,863)
(65,802,994)
–
1,553,445
64,781,166
–
Credit
Risk
Exposure:
–
5,261,075
–
Swap
Contracts
........................................................
–
(5,261,074)
–
–
5,261,075
–
Commodity
Risk
Exposure:
330,465
–
–
Futures
Contracts
.......................................................
(330,465)
–
–
330,465
–
–
*
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations
Equity
Risk
Exposure:
56,103,741
(189,117)
24,626,542
(2,622,452)
Futures
Contracts
.......................................
$
(15,827,760)
$
864,019
$
(18,711,880)
$
(5,210,219)
Swap
Contracts
........................................
71,931,502
(1,053,136)
43,338,422
2,587,766
56,103,741.42
(189,116.67)
24,626,541.68
(2,622,452.22)
Foreign
Exchange
Rate
Risk
Exposure:
(7,444,922)
(2,202,642)
23,966,172
2,551,345
Forward
Foreign
Currency
Exchange
Contracts
.................
(7,444,922)
(2,202,642)
23,966,172
2,551,345
(7,444,922)
(2,202,642)
23,966,172
2,551,345
Interest
Rate
Risk
Exposure:
–
7,564,258
220,260,525
22,498,302
Futures
Contracts
.......................................
–
6,346,143
208,544,203
20,755,958
Swap
Contracts
........................................
–
1,218,114
11,716,322
1,742,344
–
7,564,257.67
220,260,525.21
22,498,301.91
Credit
Risk
Exposure:
–
53,098
(463,118)
(86,817)
Swap
Contracts
........................................
–
53,098
(463,118)
(86,817)
342
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
*
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
–
53,097.68
(463,118.02)
(86,817.11)
Commodity
Risk
Exposure:
–
270,382
75,252,578
3,402,013
Futures
Contracts
.......................................
–
303,714
75,448,581
3,427,030
Swap
Contracts
........................................
–
(33,332)
(196,003)
(25,017)
–
270,381.5
75,252,578.1
3,402,012.64
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations
Equity
Risk
Exposure:
(255,527)
1,910,572
8,776,758
2,541,878
Futures
Contracts
.......................................
(7,417,871)
1,971,876
9,306,290
1,388,205
Swap
Contracts
........................................
7,162,345
(61,304)
(529,532)
1,153,673
255,527
1,910,572
8,776,758
2,541,878
Foreign
Exchange
Rate
Risk
Exposure:
1,444,095
1,284,710
14,715,087
2,611,524
Forward
Foreign
Currency
Exchange
Contracts
.................
1,444,095
1,284,709
(14,715,087)
(2,611,524)
1,444,095
1,284,710
14,715,087
2,611,524
Interest
Rate
Risk
Exposure:
–
5,070,701
25,117,735
3,971,830
Futures
Contracts
.......................................
–
1,255,198
27,988,070
4,700,007
Swap
Contracts
........................................
–
3,815,501
(2,870,335)
(728,177)
–
5,070,701
25,117,735
3,971,830
Credit
Risk
Exposure:
–
14,693
60,969
7,348
Swap
Contracts
........................................
–
14,693
(60,969)
(7,347)
–
14,693
60,969
7,348
Commodity
Risk
Exposure:
–
682,302
789,808
39,601
Futures
Contracts
.......................................
–
(682,303)
(983,019)
24,741
Swap
Contracts
........................................
–
–
193,212
14,858
–
682,302
789,808
39,601
*
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations
Equity
Risk
Exposure:
517,365
–
218,466,415
1,084,374
Futures
Contracts
.......................................
$
712,777
$
–
$
34,326,456
$
(169,399)
Swap
Contracts
........................................
(195,413)
–
184,139,958
1,253,774
517,364.65
–
218,466,414.82
1,084,374.35
Foreign
Exchange
Rate
Risk
Exposure:
1,392,942
–
(11,812,485)
(250,326)
Forward
Foreign
Currency
Exchange
Contracts
.................
1,392,942
–
(11,812,485)
(250,326)
1,392,942
–
(11,812,485)
(250,326)
Interest
Rate
Risk
Exposure:
(13,114,222)
–
11,567,690
–
Futures
Contracts
.......................................
(13,114,222)
–
(1,097,788)
–
Swap
Contracts
........................................
–
–
12,665,478
–
(13,114,222.16)
–
11,567,690.24
–
Commodity
Risk
Exposure:
5,577,152
22,144,155
34,973,318
–
Futures
Contracts
.......................................
4,868,027
21,499,571
34,973,319
–
Swap
Contracts
........................................
709,126
644,584
–
–
5,577,152.47
22,144,154.93
34,973,318.43
–
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations
Equity
Risk
Exposure:
876,171
–
(20,694,667)
395,585
Futures
Contracts
.......................................
852,085
–
(1,511,633)
–
Swap
Contracts
........................................
24,086
–
(19,183,036)
395,585
876,171
–
20,694,667
395,585
Foreign
Exchange
Rate
Risk
Exposure:
110,215
–
3,814,897
68,494
Forward
Foreign
Currency
Exchange
Contracts
.................
(110,215)
–
(3,814,897)
68,494
110,215
–
3,814,897
68,494
Interest
Rate
Risk
Exposure:
3,079,644
–
20,578,494
–
Futures
Contracts
.......................................
(3,079,642)
–
(14,231,822)
–
Swap
Contracts
........................................
–
–
(6,346,671)
–
3,079,644
–
20,578,494
–
Commodity
Risk
Exposure:
177,655
14,375,402
3,895,648
–
Futures
Contracts
.......................................
280,069
14,641,790
(3,895,649)
–
343
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
following
tables
present
the
Funds’
gross
OTC
derivative
assets
and
liabilities
by
counterparty
and
contract
type
net
of
amounts
available
for
offset
under
netting
arrangements
and
any
related
collateral
received
or
pledged
by
the
Funds
as
of
December
31,
2022:
AQR
Alternative
Risk
Premia
Fund
*
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Swap
Contracts
........................................
(102,416)
(266,388)
–
–
177,655
14,375,402
3,895,648
–
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
119,541
$
(119,541)
$
–
$
–
$
–
$
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
1,107,767
(1,107,767)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,109,373
(1,109,373)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
18,337
(4,258)
14,079
–
–
14,079
MSCS
..........
Total
Return
Swap
Contracts
78,797
–
78,797
(78,797)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
2,433,815
(2,340,939)
92,876
–
(78,797)
14,079
344
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Alternative
Risk
Premia
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$385,442
and
total
additional
collateral
pledged
was
$4,809,004.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
174,553
$
(119,541)
$
55,012
$
–
$
–
$
55,012
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
1,588,138
(1,107,767)
480,371
–
(480,371)
GSIN
..........
Total
Return
Swap
Contracts
9,000
–
9,000
–
(9,000)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,588,724
(1,109,373)
479,351
–
(479,351)
–
MLIN
..........
Total
Return
Swap
Contracts
4,258
(4,258)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,364,673
(2,340,939)
1,023,734
–
(968,722)
55,012
345
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Diversified
Arbitrage
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$42,706
and
total
additional
collateral
pledged
was
$198,972,467.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
373,467
$
(24,577)
$
348,890
$
–
$
(348,890)
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
916,463
(916,463)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
324,656
(13,983)
310,673
–
–
310,673
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
1,614,586
(955,023)
659,563
–
(348,890)
310,673
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BNPP
..........
Total
Return
Basket
Swap
Contracts
$
41,106,176
$
–
$
41,106,176
$
–
$
(41,106,176)
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
24,577
(24,577)
–
–
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
25,498,334
(916,463)
24,581,871
(24,581,871)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
13,983
(13,983)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
66,643,070
(955,023)
65,688,047
(24,581,871)
(41,106,176)
–
346
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Equity
Market
Neutral
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$44,429,227.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
8,807
$
(8,807)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
8,807
(8,807)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
294,995
–
294,995
Total
JPMC
303,802
(8,807)
294,995
–
–
294,995
MLIN
..........
Total
Return
Basket
Swap
Contracts
368,539
–
368,539
–
(230,327)
138,212
MSIP
..........
Total
Return
Basket
Swap
Contracts
2,584,865
–
2,584,865
–
(2,560,171)
24,694
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,266,013
(17,614)
3,248,399
–
(2,790,498)
457,901
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
15,813
$
(8,807)
$
7,006
$
–
$
(7,006)
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
15,811
(8,807)
7,004
–
(7,004)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
31,624
(17,614)
14,010
–
(14,010)
–
347
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Long-Short
Equity
Fund
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Basket
Swap
Contracts
$
967,311
$
–
$
967,311
$
–
$
(464,246)
$
503,065
BNPP
..........
Total
Return
Basket
Swap
Contracts
5,014,481
–
5,014,481
–
–
5,014,481
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
954,274
(81,260)
873,014
–
(633,263)
239,751
GSIN
..........
Total
Return
Swap
Contracts
2,812
(2,812)
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
5,442,385
–
5,442,385
Total
GSIN
5,445,197
(2,812)
5,442,385
(1,431,560)
4,010,825
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
954,353
(81,253)
873,100
JPMC
..........
Total
Return
Swap
Contracts
13,163
(13,163)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,619,440
(1,051)
1,618,389
Total
JPMC
2,586,956
(95,467)
2,491,489
–
–
2,491,489
MSIP
..........
Total
Return
Basket
Swap
Contracts
826,313
–
826,313
–
(557,507)
268,806
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
15,794,532
(179,539)
15,614,993
–
(3,086,576)
12,528,417
348
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Long-Short
Equity
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$126,406,864.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
81,260
$
(81,260)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Swap
Contracts
141,315
(2,812)
138,503
(138,503)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
81,253
(81,253)
–
JPMC
..........
Total
Return
Swap
Contracts
651,912
(13,163)
638,749
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,051
(1,051)
–
Total
JPMC
734,216
(95,467)
638,749
(638,749)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
956,791
(179,539)
777,252
(777,252)
–
–
349
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Macro
Opportunities
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$4,097,794.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
3,640,219
$
(3,148,423)
$
491,796
$
–
$
–
$
491,796
GSIN
..........
Total
Return
Swap
Contracts
18,859
(18,859)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
3,640,441
(3,149,238)
491,203
–
–
491,203
MLIN
..........
Total
Return
Swap
Contracts
204,094
(19,687)
184,407
–
(9,782)
174,625
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
7,503,613
(6,336,207)
1,167,406
–
(9,782)
1,157,624
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
23,585
$
–
$
23,585
$
–
$
–
$
23,585
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
3,148,423
(3,148,423)
–
–
–
–
GSIN
..........
Total
Return
Swap
Contracts
104,088
(18,859)
85,229
(85,229)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
3,149,238
(3,149,238)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
19,687
(19,687)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
6,445,021
(6,336,207)
108,814
(85,229)
–
23,585
350
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Managed
Futures
Strategy
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$240,055
and
total
additional
collateral
pledged
was
$128,009,211.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
11,463,105
$
(11,463,105)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
6,226,535
–
6,226,535
–
(6,226,535)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
11,499,267
(11,499,267)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
910,390
(39,313)
871,077
MLIN
..........
Total
Return
Basket
Swap
Contracts
3,098,026
(1,350,046)
1,747,980
Total
MLIN
4,008,416
(1,389,359)
2,619,057
–
(1,781,036)
838,021
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
33,197,323
(24,351,731)
8,845,592
–
(8,007,571)
838,021
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
21,467,041
$
(11,463,105)
$
10,003,936
$
–
$
(10,003,936)
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
21,483,360
(11,499,267)
9,984,093
(7,964,255)
(2,019,838)
–
MLIN
..........
Total
Return
Swap
Contracts
39,313
(39,313)
–
MLIN
..........
Total
Return
Basket
Swap
Contracts
1,350,046
(1,350,046)
–
–
–
–
Total
MLIN
1,389,359
(1,389,359)
–
–
–
–
MSCS
..........
Total
Return
Swap
Contracts
490,517
–
490,517
(490,517)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
44,830,277
(24,351,731)
20,478,546
(8,454,772)
(12,023,774)
–
351
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Managed
Futures
Strategy
HV
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$52,110
and
total
additional
collateral
pledged
was
$15,391,518.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
1,972,511
$
(1,972,511)
$
–
$
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
488,978
(116,858)
372,120
–
(330,706)
$
41,414
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,978,472
(1,978,472)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,027,879
–
1,027,879
Total
JPMC
3,006,351
(1,978,472)
1,027,879
–
–
1,027,879
MLIN
..........
Total
Return
Swap
Contracts
147,656
(66,244)
81,412
–
–
81,412
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
5,615,496
(4,134,085)
1,481,411
–
(330,706)
1,150,705
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
3,578,960
$
(1,972,511)
$
1,606,449
$
–
$
(1,606,449)
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
116,858
(116,858)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
3,581,919
(1,978,472)
1,603,447
–
(1,603,447)
–
MLIN
..........
Total
Return
Swap
Contracts
66,244
(66,244)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
7,343,981
(4,134,085)
3,209,896
–
(3,209,896)
–
352
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Multi-Asset
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$2,119,096.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
1,040,402
$
(1,040,402)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,034,640
(1,034,640)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
73,040
–
73,040
–
–
73,040
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
2,148,082
(2,075,042)
73,040
–
–
73,040
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
1,269,655
$
(1,040,402)
$
229,253
$
–
$
(229,253)
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,245,506
(1,034,640)
210,866
–
(210,866)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
2,515,161
(2,075,042)
440,119
–
(440,119)
–
353
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Style
Premia
Alternative
Fund
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
9,036
$
(9,036)
$
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
7,785,023
(7,785,023)
–
CITI
...........
Total
Return
Swap
Contracts
1,023,541
(1,023,541)
–
Total
CITI
8,808,564
(8,808,564)
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
14,834,547
(298,691)
14,535,856
–
(14,532,331)
3,525
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
7,793,033
(7,793,033)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,120,483
(1,120,483)
–
Total
JPMC
8,913,516
(8,913,516)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
593,408
(38,624)
554,784
MLIN
..........
Total
Return
Basket
Swap
Contracts
1,826,060
–
1,826,060
Total
MLIN
2,419,468
(38,624)
2,380,844
–
–
2,380,844
MSIP
..........
Total
Return
Basket
Swap
Contracts
4,643,574
–
4,643,574
–
(4,157,543)
486,031
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
39,628,705
(18,068,431)
21,560,274
–
(18,689,874)
2,870,400
354
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Style
Premia
Alternative
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$219,813,146.
(b)
The
amount
of
collateral
shown
for
total
return
basket
swaps
is
not
indicative
of
the
aggregate
collateral
as
of
period
end
because
of
the
timing
of
payments
with
counterparties.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
102,763
$
(9,036)
$
93,727
BANA  
.........
Total
Return
Basket
Swap
Contracts
863,545
–
863,545
Total
BANA
966,308
(9,036)
957,272
$
–
$
(170,000)
$
787,272
(b)
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
9,609,476
(7,785,023)
1,824,453
CITI
...........
Total
Return
Swap
Contracts
1,170,157
(1,023,541)
146,616
Total
CITI
10,779,633
(8,808,564)
1,971,069
–
(1,971,069)
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
298,691
(298,691)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
9,614,529
(7,793,033)
1,821,496
JPMC
..........
Total
Return
Swap
Contracts
86,059
–
86,059
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,213,159
(1,120,483)
92,676
Total
JPMC
10,913,747
(8,913,516)
2,000,231
(2,000,231)
–
–
MLIN
..........
Total
Return
Swap
Contracts
38,624
(38,624)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
22,997,003
(18,068,431)
4,928,572
(2,000,231)
(2,141,069)
787,272
355
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$9,426,182.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
42,730
$
(3,652)
$
39,078
$
–
$
–
$
39,078
GSIN
..........
Total
Return
Basket
Swap
Contracts
485,718
–
485,718
–
–
485,718
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
42,746
(3,651)
39,095
–
(20,151)
18,944
MLIN
..........
Total
Return
Basket
Swap
Contracts
60,581
(60,581)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
631,775
(67,884)
563,891
–
(20,151)
543,740
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
3,652
$
(3,652)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
3,651
(3,651)
–
–
–
–
MLIN
..........
Total
Return
Basket
Swap
Contracts
79,119
(60,581)
18,538
–
(18,538)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
86,422
(67,884)
18,538
–
(18,538)
–
356
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
For
the year
ended
December
31,
2022,
the
average
and
ending
notional/settlement
balances/values
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
*
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
AQR
LONG-
SHORT
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
413,601,099
$
394,483,967
$
3,947,931
$
142,522,359
Average
Notional
Balance
-
Short
331,260,070
176,123,802
–
895,662
Ending
Notional
Balance
-
Long
164,295,966
220,375,000
–
162,584,263
Ending
Notional
Balance
-
Short
278,604,902
184,088,653
–
–
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
155,018,983
4,283,777
540,139
76,238,100
Average
Settlement
Value
-
Sold
162,886,435
47,703,803
915,719
745,454
Ending
Value
-
Purchased
144,664,494
1,028,500
569,714
88,729,734
Ending
Value
-
Sold
149,156,166
56,015,534
1,742,891
125,178
Credit
Default
Swaps:
Average
Notional
Balance
-
Buy
Protection
–
83,300,000
–
–
Average
Notional
Balance
-
Sell
Protection
–
–
–
–
Ending
Notional
Balance
-
Buy
Protection
–
116,975,000
–
–
Ending
Notional
Balance
-
Sell
Protection
–
–
–
–
Total
Return
Swaps:
Average
Notional
Balance
-
Long
13,607,443
–
–
24,479,977
Average
Notional
Balance
-
Short
5,132,364
–
–
–
Ending
Notional
Balance
-
Long
9,947,539
–
–
25,521,914
Ending
Notional
Balance
-
Short
4,339,308
–
–
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
207,093,909
–
–
–
Average
Notional
Balance
-
Receives
Fixed
Rate
222,736,029
–
–
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
369,544,914
–
–
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
183,101,091
–
–
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
–
1,174,067,346
273,482,832
1,057,474,953
Average
Notional
of
Underlying
Positions
-
Short
–
204,448,479
259,070,816
1,004,834,445
Ending
Notional
Balance
-
Long
–
993,688,976
410,750,237
1,351,829,038
Ending
Notional
Balance
-
Short
–
110,320,084
382,526,396
1,252,934,434
357
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
*
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
Futures
Contracts:
Average
Notional
Balance
-
Long
$
129,431,069
$
344,226,964
$
42,723,955
$
192,925,890
$
983,189,479
Average
Notional
Balance
-
Short
237,940,375
4,721,561,512
622,634,576
61,996,352
485,651,875
Ending
Notional
Balance
-
Long
300,491,194
324,422,147
57,236,311
179,954,126
978,069,457
Ending
Notional
Balance
-
Short
604,327,593
5,493,720,560
944,525,080
85,566,376
469,198,278
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
179,083,561
1,737,644,475
221,723,817
98,943,412
–
Average
Settlement
Value
-
Sold
183,667,179
2,183,385,750
279,528,877
113,710,397
–
Ending
Value
-
Purchased
332,604,127
1,621,482,286
275,819,150
110,444,192
–
Ending
Value
-
Sold
321,771,621
1,592,748,388
276,188,955
130,078,788
–
Credit
Default
Swaps:
Average
Notional
Balance
-
Buy
Protection
4,145,965
12,248,820
1,971,058
–
–
Average
Notional
Balance
-
Sell
Protection
1,859,518
975,180
127,384
–
–
Ending
Notional
Balance
-
Buy
Protection
2,651,000
7,388,000
1,394,734
–
–
Ending
Notional
Balance
-
Sell
Protection
3,374,058
975,180
127,384
–
–
Total
Return
Swaps:
Average
Notional
Balance
-
Long
6,197,254
8,577,811
767,797
2,298,290
2,601,297
Average
Notional
Balance
-
Short
4,527,419
64,361,278
8,159,958
2,431,738
2,333,222
Ending
Notional
Balance
-
Long
12,608,675
–
–
–
–
Ending
Notional
Balance
-
Short
5,141,007
57,461,732
8,791,888
2,420,116
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
452,979,945
4,162,826,760
674,056,109
–
–
Average
Notional
Balance
-
Receives
Fixed
Rate
290,751,746
2,056,491,142
340,986,913
–
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
925,604,565
3,724,448,019
701,137,016
–
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
540,245,613
1,534,485,902
315,736,541
–
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
–
647,925,199
85,853,049
–
–
Average
Notional
of
Underlying
Positions
-
Short
–
652,168,560
86,998,219
–
–
Ending
Notional
Balance
-
Long
–
745,722,452
127,060,663
–
–
Ending
Notional
Balance
-
Short
–
731,135,890
125,089,614
–
–
358
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
9.
Investment
Advisory
and
Other
Agreements
The
Adviser
serves
as
the
investment
adviser
to
each
of
the
Funds,
pursuant
to
certain
investment
management
agreements
entered
into
between
the
Trust,
on
behalf
of
the
applicable
Funds,
and
the
Adviser
(collectively,
the
“Advisory
Agreement”).
Under
the
Advisory
Agreement,
the
Adviser
furnishes
a
continuous
investment
program
for
each
Fund’s
portfolio,
makes
day-to-day
investment
decisions
for
each
Fund,
and
manages
each
Fund’s
investments
in
accordance
with
the
stated
policies
of
each
Fund.
The
Adviser
is
also
responsible
for
selecting
brokers
and
dealers
to
execute
purchase
and
sale
orders
for
the
portfolio
transactions
of
each
Fund,
subject
to
its
obligation
to
seek
best
execution,
and
also
provides
certain
other
administrative
services
to
each
Fund.
The
Adviser
provides
persons
satisfactory
to
the
Funds’
Board
to
serve
as
officers
of
the
Funds.
Pursuant
to
the
Advisory
Agreement,
the
Funds
calculate
and
accrue
daily
based
on
the
average
daily
net
assets
for
each
Fund
and
pay
monthly
the
Investment
Advisory
fee
in
the
annual
ratios
below:
*
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
3,582,115,929
$
226,538
Average
Notional
Balance
-
Short
1,881,793,739
–
Ending
Notional
Balance
-
Long
1,307,969,671
–
Ending
Notional
Balance
-
Short
1,169,569,532
–
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
1,002,054,873
3,060,151
Average
Settlement
Value
-
Sold
967,999,512
60,294
Ending
Value
-
Purchased
987,634,459
3,948,619
Ending
Value
-
Sold
942,512,932
5,240
Total
Return
Swaps:
Average
Notional
Balance
-
Long
112,266,248
–
Average
Notional
Balance
-
Short
36,498,015
–
Ending
Notional
Balance
-
Long
73,416,102
–
Ending
Notional
Balance
-
Short
32,794,823
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
1,763,449,127
–
Average
Notional
Balance
-
Receives
Fixed
Rate
1,872,972,425
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
3,236,577,018
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
1,714,902,474
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
1,716,068,710
48,583,033
Average
Notional
of
Underlying
Positions
-
Short
1,640,779,877
35,722,870
Ending
Notional
Balance
-
Long
2,045,312,145
67,741,726
Ending
Notional
Balance
-
Short
1,877,365,325
49,098,493
*
Average
notional/settlement
value
is
based
on
the
average
of
the
notional/settlement
balances
that
were
outstanding
at
the
end
of
each
quarter
during
the
year.
FUND
RATIO
AQR
Alternative
Risk
Premia
Fund
........................................................................
1.20%
AQR
Diversified
Arbitrage
Fund
..........................................................................
1.00
AQR
Diversifying
Strategies
Fund
........................................................................
0.00
AQR
Equity
Market
Neutral
Fund
.........................................................................
1.10
AQR
Long-Short
Equity
Fund
............................................................................
1.10
AQR
Macro
Opportunities
Fund
..........................................................................
1.00
AQR
Managed
Futures
Strategy
Fund
.....................................................................
1.05
AQR
Managed
Futures
Strategy
HV
Fund
..................................................................
1.45
AQR
Multi-Asset
Fund
.................................................................................
0.60
AQR
Risk-Balanced
Commodities
Strategy
Fund
.............................................................
0.80
AQR
Style
Premia
Alternative
Fund
(a)
.....................................................................
1.30
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
.......................................................
1.10
(a)
Effective
July
1,
2022,
the
AQR
Style
Premia
Alternative
Fund's
Advisory
Fee
was
reduced
from
1.35%
to
1.30%
359
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
April
30,
2023
for
Class
I,
N,
and
R6
shares.
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
each
Fund's
operating
expenses
other
than
management
fees
and
12b-1
fees,
and
exclusive
of
interest,
taxes,
borrowing
costs,
acquired
fund
fees
and
expenses,
dividend
and
interest
expense
related
to
short
sales,
expenses
related
to
class
action
claims,
contingent
expenses
related
to
tax
reclaim
receipts
and
extraordinary
expenses,
at
no
more
than
the
following
ratios:
The
Trust,
in
turn,
agreed
that
the
Funds
will
repay
the
expense
reimbursement
to
the
Adviser
only
to
the
extent
it
can
be
made
during
the
thirty-six
months
following
the
applicable
month
during
which
the
Adviser
waived
fees
or
reimbursed
the
applicable
Fund
for
its
operating
expenses
under
the
Expense
Limitation
Agreement.
Such
repayment
shall
be
made
only
out
of
the
class
of
the
Fund
for
which
the
applicable
fee
waiver
and/or
expense
reimbursement
was
made.
Repayments
with
respect
to
a
Fund
must
be
limited
to
amounts
that
do
not
cause
the
total
annual
operating
expenses
or
the
other
operating
expenses,
as
applicable,
attributable
to
a
share
class
of
the
Fund
during
a
year
in
which
such
repayment
is
made
to
exceed
either
of
(i)
the
applicable
limits
in
effect
at
the
time
of
the
waiver
and/or
reimbursement
and
(ii)
the
applicable
limits
in
effect
at
the
time
of
recapture.
For
the year
ended
December
31,
2022,
the
amounts reimbursed
by
the
Adviser,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at December
31,
2022
are
as
follows:
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Alternative
Risk
Premia
Fund
....................................................
0.20
%
0.20
%
0.10
%
AQR
Diversified
Arbitrage
Fund
......................................................
0.20
0.20
0.10
AQR
Diversifying
Strategies
Fund
....................................................
0.20
0.20
0.10
AQR
Equity
Market
Neutral
Fund
.....................................................
0.20
0.20
0.10
AQR
Long-Short
Equity
Fund
........................................................
0.20
0.20
0.10
AQR
Macro
Opportunities
Fund
......................................................
0.20
0.20
0.10
AQR
Managed
Futures
Strategy
Fund
.................................................
0.20
0.20
0.10
AQR
Managed
Futures
Strategy
HV
Fund
..............................................
0.20
0.20
0.10
AQR
Multi-Asset
Fund
.............................................................
0.20
0.20
0.10
AQR
Risk-Balanced
Commodities
Strategy
Fund
.........................................
0.20
0.20
0.10
AQR
Style
Premia
Alternative
Fund
(a)
.................................................
0.20
0.20
0.10
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
...................................
0.20
0.20
0.10
(a)
Effective
July
1,
2022,
the
AQR
Style
Premia
Alternative
Fund's
operating
expenses
cap
was
increased
from
0.15%
to
0.20%
for
Class
I
and
Class
N
shares,
and
from
0.05%
to
0.10%
for
Class
R6
shares.
The
Adviser
has
agreed
to
reimburse
operating
expenses
of
the
Fund
at
least
through
April
30,
2024
for
Class
I,
N,
and
R6
shares.
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
DECEMBER
31
,
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER
31
,
POTENTIAL
RECOUPMENT
AMOUNTS
EXPIRING
DECEMBER
31
,
2022
2022
20
23
20
24
20
25
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Class
I
...........
$
77,874
$
336,025
$
119,994
$
138,157
$
77,874
Class
N
...........
11,960
43,416
10,423
21,033
11,960
Class
R6
..........
181,046
485,118
117,600
186,472
181,046
Totals
$
270,880
$
864,559
$
248,017
$
345,662
$
270,880
AQR
DIVERSIFIED
ARBITRAGE
FUND
Class
I
...........
$
123,222
$
679,537
$
248,996
$
307,319
$
123,222
Class
N
...........
8,382
43,830
19,054
16,394
8,382
Class
R6
..........
81,715
260,465
61,318
117,432
81,715
Totals
$
213,319
$
983,832
$
329,368
$
441,145
$
213,319
AQR
DIVERSIFYING
STRATEGIES
FUND
Class
I
...........
$
90,324
$
340,491
$
93,193
$
156,974
$
90,324
Class
N
...........
3,259
16,419
5,620
7,540
3,259
Class
R6
..........
6,018
93,292
46,386
40,888
6,018
Totals
$
99,601
$
450,202
$
145,199
$
205,402
$
99,601
AQR
EQUITY
MARKET
NEUTRAL
FUND
Class
I
...........
$
128,895
$
390,972
$
122,329
$
139,748
$
128,895
Class
N
...........
37,792
106,442
11,995
56,655
37,792
Class
R6
..........
34,917
91,463
37,566
18,980
34,917
Totals
$
201,604
$
588,877
$
171,890
$
215,383
$
201,604
360
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
During
the
year
ended
December
31,
2022,
the
Funds
repaid
to
the
Advisor
amounts
previously
waived
or
reimbursed
as
follows:
Pursuant
to
the
Sub-Advisory
Agreements
between
the
Sub-Adviser,
the
Adviser
and
the
Trust,
the
Adviser
will
pay
the
Sub-Adviser
an
annual
fee,
payable
monthly,
at
the
annual
rate
of
0.50%
of
the
average
daily
net
assets
for
the
AQR
Diversified
Arbitrage
Fund. 
10.
Distribution
Plan
The
Trust
has
adopted
a
Plan
of
Distribution
(the
“Plan”)
pursuant
to
Rule
12b-1
under
the
1940
Act
with
respect
to
the
Class
N
shares
of
the
Funds.
The
Plan
allows
for
the
payment
of
services
related
to
the
distribution
and
servicing
of
these
shares
at
a
rate
of
up
to
0.25%
per
annum
of
the
average
daily
net
asset
value
of
the
Class
N
shares
of
the
Funds.
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
DECEMBER
31,
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER
31,
POTENTIAL
RECOUPMENT
AMOUNTS
EXPIRING
DECEMBER
31,
2022
2022
2023
2024
2025
AQR
LONG-SHORT
EQUITY
FUND
Class
I
...........
$
134,429
$
338,827
$
49,832
$
154,566
$
134,429
Class
N
...........
5,522
13,719
1,679
6,518
5,522
Class
R6
..........
3,589
22,867
9,376
9,902
3,589
Totals
$
143,540
$
375,413
$
60,887
$
170,986
$
143,540
AQR
MACRO
OPPORTUNITIES
FUND
Class
I
...........
$
138,154
$
342,440
$
106,111
$
98,175
$
138,154
Class
N
...........
15,846
31,391
8,498
7,047
15,846
Class
R6
..........
127,132
451,744
113,912
210,700
127,132
Totals
$
281,132
$
825,575
$
228,521
$
315,922
$
281,132
AQR
MANAGED
FUTURES
STRATEGY
FUND
Class
I
...........
$
–
$
–
$
–
$
–
$
–
Class
N
...........
6,710
6,710
–
–
6,710
Class
R6
..........
23,245
23,245
–
–
23,245
Totals
$
29,955
$
29,955
$
–
$
–
$
29,955
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Class
I
...........
$
237,501
$
561,967
$
145,232
$
179,234
$
237,501
Class
N
...........
21,236
44,772
16,365
7,171
21,236
Class
R6
..........
95,567
223,232
71,441
56,224
95,567
Totals
$
354,304
$
829,971
$
233,038
$
242,629
$
354,304
AQR
MULTI-ASSET
FUND
Class
I
...........
$
210,179
$
604,128
$
185,398
$
208,551
$
210,179
Class
N
...........
13,800
33,379
10,646
8,933
13,800
Class
R6
..........
53,622
91,673
12,377
25,674
53,622
Totals
$
277,601
$
729,180
$
208,421
$
243,158
$
277,601
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Class
I
...........
$
136,748
$
329,168
$
34,925
$
157,495
$
136,748
Class
N
...........
16,743
67,092
20,019
30,330
16,743
Class
R6
..........
9,329
116,805
104,625
2,851
9,329
Totals
$
162,820
$
513,065
$
159,569
$
190,676
$
162,820
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Class
I
...........
$
142,137
$
597,934
$
288,290
$
167,507
$
142,137
Class
N
...........
14,134
37,999
11,441
12,424
14,134
Class
R6
..........
232,439
921,352
417,046
271,867
232,439
Totals
$
388,710
$
1,557,285
$
716,777
$
451,798
$
388,710
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Class
I
...........
$
87,281
$
90,421
$
–
$
3,140
$
87,281
Class
N
...........
48,902
52,042
–
3,140
48,902
Class
R6
..........
217,045
273,924
–
56,879
217,045
Totals
$
353,228
$
416,387
$
–
$
63,159
$
353,228
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Diversified
Arbitrage
Fund
.............................................
$
26,478
$
620
$
862
AQR
Long-Short
Equity
Fund
..............................................
21,344
–
–
361
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
11.
Principal
Risks
and
Concentrations
With
the
exception
of
AQR
Risk-Balanced
Commodities
Strategy
Fund,
the
Funds
are
diversified.
Because
a
non-diversified
Fund
may
invest
in
securities
of
a
smaller
number
of
issuers,
such
non-diversified
Fund
may
be
more
exposed
to
the
risks
associated
with
and
developments
affecting
an
individual
issuer
than
a
fund
that
invests
more
widely,
which
may,
therefore,
have
a
greater
impact
on
the
non-diversified
Fund's
performance. 
The
investment
techniques
and
strategies
utilized
by
the
Funds,
including
investments
made
on
a
shorter-term
basis
or
in
derivative
instruments
or
instruments
with
a
maturity
of
one
year
or
less
at
the
time
of
acquisition,
may
result
in
frequent
portfolio
trading
and
high
portfolio
turnover.
High
portfolio
turnover
will
cause
the
Funds
to
incur
higher
levels
of
brokerage
fees
and
commissions,
which
may
reduce
performance,
and
may
cause
higher
levels
of
current
tax
liability
to
shareholders
in
the
Funds.
In
the
normal
course
of
business,
the
Funds
trade
financial
instruments
and
enter
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk).
A
Fund’s
investments
in
financial
derivatives
and
other
financial
instruments
may
expose
the
Fund
to
various
elements
of
market
risks
which
include
interest
rate,
foreign
currency,
equity
and
commodity
risks.
Exposure
to
the
commodities
markets
may
subject
a
Fund
to
greater
volatility
than
investments
in
traditional
securities.
The
value
of
commodity-linked
derivative
investments
and
exchange-traded
notes
may
be
affected
by
changes
in
overall
market
movements,
commodity
index
volatility,
changes
in
interest
rates,
or
factors
affecting
a
particular
industry
or
commodity. 
Fixed
income
securities
are
subject
to
the
risk
that
the
securities
could
lose
value
because
of
interest
rate
changes.
For
example,
bonds
tend
to
decrease
in
value
if
interest
rates
rise.
Fixed
income
securities
with
longer
maturities
sometimes
offer
higher
yields,
but
are
subject
to
greater
price
shifts
as
a
result
of
interest
rate
changes
than
fixed
income
securities
with
shorter
maturities.
Fixed
income
securities
are
generally
subject
to
the
risk
that
the
issuer
may
be
unable
to
make
principal
and
interest
payments
when
they
are
due. 
Interest
rate
risk
is
the
risk
that
fixed
income
securities
will
decline
in
value
because
of
changes
in
interest
rates.
The
Funds
may
lose
money
if
short-
term
or
long-term
interest
rates
rise
sharply
or
otherwise
change
in
a
manner
not
anticipated.
Convertible
securities
and
non-convertible
income
producing
securities
are
subject
to
certain
risks,
including
(i)
if
interest
rates
go
up,
the
value
of
convertible
securities
and
non-convertible
income
producing
securities
in
the
Funds
portfolio
generally
will
decline;
(ii)
during
periods
of
declining
interest
rates,
the
issuer
of
a
security
may
exercise
its
option
to
prepay
principal
earlier
than
scheduled,
forcing
the
Funds
to
reinvest
in
lower
yielding
securities
(call
or
prepayment
risk);
and
(iii)
during
periods
of
rising
interest
rates,
the
average
life
of
certain
types
of
securities
may
be
extended
because
of
slower
than
expected
principal
payments
(extension
risk).
Inflation-indexed
bonds
are
subject
to
certain
risks,
including
that
their
value
will
typically
fluctuate
in
response
to
changes
in
real
interest
rates,
which
are
in
turn
tied
to
the
relationship
between
nominal
interest
rates
and
the
rate
of
inflation.
Therefore,
if
nominal
interest
rates
increased
at
a
faster
rate
than
inflation,
real
interest
rates
might
rise,
leading
to
a
decrease
in
the
value
of
inflation-protected
securities.
Certain
financial
instruments
may
be
tied
to
the
London
Interbank
Offered
Rate,
or
“LIBOR”,
to
determine
payment
obligations,
financing
terms,
hedging
strategies,
or
investment
value.
LIBOR
is
the
offered
rate
for
short-term
Eurodollar
deposits
between
major
international
banks.
As
of
December
31,
2021,
all
non-U.S.
dollar
LIBOR
publications
have
been
phased
out.
The
phase
out
of
a
majority
of
the
U.S.
dollar
publications
(overnight
and
one,
three,
six
and
12
months)
is
delayed
until
June
30,
2023.
This
delay
is
intended
to
allow
most
legacy
U.S.
dollar
LIBOR
contracts
to
mature
before
LIBOR
experiences
disruptions.
The
transition
away
from
LIBOR
may
lead
to
increased
volatility
and
illiquidity
in
markets
that
are
tied
to
LIBOR,
reduced
values
of
LIBOR-related
investments,
and
reduced
effectiveness
of
hedging
strategies,
adversely
affecting
a
Fund’s
performance
or
NAV.
In
addition,
the
alternative
reference
rate
may
be
an
ineffective
substitute
resulting
in
prolonged
adverse
market
conditions
for
a
Fund.
Sovereign
debt
investments
are
subject
to
the
risk
that
a
governmental
entity
may
delay
or
refuse
to
pay
interest
or
repay
principal
on
its
sovereign
debt,
due,
for
example,
to
cash
flow
problems,
insufficient
foreign
currency
reserves,
political
considerations,
the
relative
size
of
the
governmental
entity’s
debt
position
in
relation
to
the
economy
or
the
failure
to
put
in
place
economic
reforms
required
by
the
International
Monetary
Fund
or
other
multilateral
agencies.
If
a
governmental
entity
defaults,
it
may
ask
for
more
time
in
which
to
pay
or
for
further
loans.
There
is
no
legal
process
for
collecting
sovereign
debt
that
a
government
does
not
pay
nor
are
there
bankruptcy
proceedings
through
which
all
or
part
of
the
sovereign
debt
that
a
governmental
entity
has
not
repaid
may
be
collected.
Investment
in
securities
of
foreign
issuers
may
involve
certain
risks
that
are
greater
than
those
associated
with
investments
in
securities
of
U.S.
issuers.
These
include
risks
of
adverse
changes
in
foreign
economic,
political,
regulatory
and
other
conditions;
changes
in
currency
exchange
rates
or
exchange
control
regulations
(including
limitations
on
currency
movements
and
exchanges);
the
imposition
of
economic
sanctions,
embargos or
other
government
actions
and/or restrictions;
differing
accounting,
auditing,
financial
reporting
and
legal
standards
and
practices;
differing
securities
market
structures;
and
higher
transaction
costs.
To
the
extent
a
Fund’s
investments
in
a
single
country
or
a
limited
number
of
countries
represent
a
higher
percentage
of
the
Fund’s
assets,
the
Fund
assumes
the
risk
that
economic,
political
and
social
conditions
in
those
countries may
have
a
significant
impact
on
investment
performance,
may
subject
the
Fund
to
increased
price
volatility
and
may
impair
or
otherwise
limit
the
Fund's
ability
to
invest
in,
receive,
hold
or
sell
securities
issued
by
the
impacted
countries.
Emerging
markets
are
riskier
than
more
developed
markets
because
they
tend
to
develop
unevenly
and
may
never
fully
develop.
Investments
in
emerging
markets
may
be
considered
speculative.
Emerging
markets
are
more
likely
to
experience
hyperinflation
and
currency
devaluations,
which
adversely
affect
returns
to
U.S.
investors.
In
addition,
many
emerging
securities
markets
have
far
lower
trading
volumes
and
less
liquidity
than
developed
markets. 
362
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Currency
risk
arises
from
the
possibility
that
fluctuations
in
foreign
exchange
rates
will
affect
the
value
of
cash
balances
held
in
foreign
currencies
and
non-U.S.
denominated
financial
instruments.
The
liquidity
and
trading
value
of
foreign
currencies
could
be
affected
by
global
economic
factors,
such
as
inflation,
interest
rate
levels,
and
trade
balances
among
countries,
as
well
as
the
actions
of
sovereign
governments
and
central
banks.
Currency
rates
in
foreign
countries
may
fluctuate
significantly
over
short
periods
of
time
for
a
number
of
reasons. 
The
market
values
of
equities,
such
as
common
stocks
and
preferred
securities
or
equity
related
investments
such
as
futures
and
options,
may
decline
due
to
general
market
conditions
which
are
not
specifically
related
to
a
particular
company.
They
may
also
decline
due
to
factors
which
affect
a
particular
industry
or
industries.
The
Funds
may
invest
in
illiquid
investments
and
may
experience
difficulty
in
selling
those
investments
in
a
timely
manner
at
the
price
that
it
believes
the
investments
are
worth.
Prices
may
fluctuate
widely
over
short
or
extended
periods
in
response
to
company,
market
or
economic
news.
Geopolitical
and
other
events,
including
war,
terrorism,
natural
disasters,
economic
uncertainty,
trade
disputes,
public
health
crises
including
pandemics and
related
geopolitical
events
have
led,
and
in
the
future
may
lead,
to
increased
market
volatility,
which
may
disrupt
the
U.S.
and
world
economies
and
markets
and
may
have
significant
adverse
direct
or
indirect
effects
on
the
Funds
and
their
investments.
Although
multiple
asset
classes
may
be
affected
by
a
market
disruption,
the
duration
and
effects
may
not
be
the
same
for
all
types
of
assets.
Markets
also
tend
to
move
in
cycles,
with
periods
of
rising
and
falling
prices.
This
volatility
may
cause
the
Fund’s
net
asset
value
to
experience
significant
increases
or
decreases
over
short
periods
of
time.
If
there
is
a
general
decline
in
the
securities
and
other
markets,
the
net
asset
value
of
a
Fund
may
lose
value,
regardless
of
the
individual
results
of
the
securities
and
other
instruments
in
which
the
Fund
invests.
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
net
asset
value
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
In
the
normal
course
of
business,
the
Funds
may
enter
into
agreements
with
certain
counterparties
for
derivative
transactions.
A
number
of
each
Fund’s
Master
Agreements
contain
provisions
that
require
each
Fund
to
maintain
a
predetermined
level
of
net
assets,
and/or
provide
limits
regarding
the
decline
of
a
Fund’s
net
asset
value
over
specified
time
periods.
If
a
Fund
was
to
violate
such
provisions,
the
counterparties
to
the
derivative
instruments
could
request
immediate
payment
or
demand
immediate
collateralization
on
derivative
instruments
in
net
liability
positions.
If
such
events
are
not
cured
by
the
Fund
or
waived
by
the
counterparties,
they
may
decide
to
curtail
or
limit
extension
of
credit,
and
the
Fund
may
be
forced
to
unwind
its
derivative
positions
which
may
result
in
material
losses.
Similar
to
credit
risk,
a
Fund
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Fund
has
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose
a
Fund
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
invest
in
securities
with
positive
momentum. This
entails
investing
in
securities
that
have
had
above-average
recent
returns.
These
securities
may
be
more
volatile
than
a
broad
cross-section
of
securities.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Fund
while
using
a
momentum
strategy
may
suffer.
Investing
in
or
having
exposure
to
"value"
securities
presents
the
risk
that
the
securities
may
never
reach
what
the
Adviser
believes
are
their
full
market
values,
either
because
the
market
fails
to
recognize
what
the
Adviser
considers
to
be
the
security's
true
value
or
because
the
Adviser
misjudged
that
value.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Fund
while
using
a
value
strategy
may
suffer.
The
Funds
may
have
investments
that
appreciate
or
decrease
significantly
in
value
over
short
periods
of
time.
This
may
cause
the
Funds’
net
asset
value
per
share
to
experience
significant
increases
or
declines
in
value
over
short
periods
of
time,
however,
all
investments
long-term
or
short-term
are
subject
to
risk
of
loss. 
The
Funds
may
invest
in
restricted
securities.
Restricted
securities
are
subject
to
legal
or
contractual
restrictions
on
resale
and
may
generally
be
sold
privately
but
may
be
required
to
be
registered
or
exempted
from
such
registration
before
being
sold
to
the
public.
Private
placement
securities
are
generally
considered
to
be
restricted
except
for
those
securities
traded
between
qualified
institutional
investors
under
the
provisions
of
Rule
144A
of
the
Securities
Act
of
1933.
Disposal
of
restricted
investments
may
involve
time-consuming
negotiations
and
expenses,
and
prompt
sale
at
an
acceptable
price
may
be
difficult
to
achieve.
Restricted
investments
held
by
the
Fund,
if
any,
are
disclosed
in
the
Schedule
of
Investments. 
363
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
Funds,
at
times,
may
utilize
substantial
leverage
in
their
investment
program.
Such
leverage
may
take
the
form
of
trading
on
margin,
investing
in
derivative
instruments
that
are
inherently
leveraged,
entering
into
reverse
repurchase
transactions
and
entering
into
other
forms
of
direct
and
indirect
borrowings.
There
is
no
guarantee
that
the
Funds’
borrowing
arrangement
or
other
arrangements
for
obtaining
leverage
will
continue
to
be
available,
or
if
available,
will
be
available
on
terms
and
conditions
acceptable
to
the
Funds.
Unfavorable
economic
conditions
could
also increase
funding
costs,
limit
access
to
the
capital
markets
or
result
in
a
decision
by
lenders
not
to
extend
credit
to
the
Funds.
In
addition,
a
decline
in
market
value
of
the
Funds’
assets
may
have
particular
adverse
consequences
in
instances
where
they
have
borrowed
money
based
on
the
market
value
of
those
assets.
A
decrease
in
market
value
of
those
assets
may
result
in
the
lender
(including
derivative
counterparties)
requiring
the
Funds
to
post
additional
collateral
or
otherwise
sell
assets
at
a
time
when
it
may
not
be
in
the
Funds’
best
interest
to
do
so.
Given
the
complexity
of
the
investments
and
strategies
of
the
Fund,
the
Adviser
relies
heavily
on
quantitative
models
and
information
and
traditional
and
non-traditional
data
supplied
or
made
available by
third
parties
(“Models
and
Data”).
Models
and
Data
are
used
to
construct
sets
of
transactions
and
investments,
to
provide
risk
management
insights,
and
to
assist
in
hedging
the
Fund’s
investments.
When
Models
and
Data
prove
to
be
incorrect
or
incomplete,
including
because
data
is
stale,
missing
or
unavailable,
any
decisions
made
in
reliance
thereon
expose
the
Fund
to
potential
risks.
Similarly,
any
hedging
based
on
faulty
Models
and
Data
may
prove
to
be
unsuccessful.
Some
of
the
models
used
by
the
Adviser
for
the
Fund
are
predictive
in
nature.
The
use
of
predictive
models
has
inherent
risks.
Because
predictive
models
are
usually
constructed
based
on
historical
data
supplied
by
third
parties
or
otherwise,
the
success
of
relying
on
such
models
may
depend
heavily
on
the
accuracy
and
reliability
of
the
supplied
historical
data.
The
Fund
bears
the
risk
that
the
quantitative
models
used
by
the
Adviser
will
not
be
successful
in
selecting
investments
or
in
determining
the
weighting
of
investment
positions
that
will
enable
the
Fund
to
achieve
its
investment
objective.
In
regards
to
the
AQR
Diversifying
Strategies
Fund,
due
to
the
Fund's
strategy
of
investing
in
affiliated
funds,
shareholders
bear
both
their
proportionate
share
of
expenses
in
the
Fund
and,
indirectly,
the
expenses
of
such
affiliated
funds.
An
investor
holding
the
affiliated
investment
funds
directly
and
in
the
same
proportions
as
the
Fund
would
incur
lower
overall
expenses
but
would
not
receive
the
benefits
of
the
active
allocation
of
investments
among
the
affiliated
investment
funds
associated
with
an
investment
in
the
Fund.
The
Adviser
receives
management
fees
from
each
of
the
affiliated
investment
funds,
but
not
from
the
Fund.
If
the
Adviser
were
to
invest
in
unaffiliated
funds,
however,
the
Adviser
would
not
receive
direct
or
indirect
management
fees
on
the
Fund
assets
invested
in
those
unaffiliated
funds.
There
is
a
risk
that
the
affiliated
investment
funds
in
which
the
Fund
invests
will
have
higher
expense
ratios
and/or
under-perform
unaffiliated
funds
with
comparable
investment
strategies.
Additionally,
investments
in
the
AQR
Diversifying
Strategies
Fund
are
subject
to
risks
related
to
the
Adviser's
allocation
choices.
The
selection
of
the
affiliated
investment
funds
and
the
allocation
of
the
Fund's
assets
to
the
affiliated
investment
funds
could
cause
the
Fund
to
lose
value
or
its
results
to
lag
relevant
benchmarks
or
other
funds
with
similar
objectives.
The
Fund
could
miss
attractive
investment
opportunities
by
under-weighting
strategies
that
subsequently
experience
significant
returns
and
could
lose
value
by
overweighting
strategies
that
subsequently
experience
significant
declines.
As
with
other
investments,
investments
in
other
investment
companies,
such
as
the
affiliated
investment
funds
and
money
market
mutual
funds,
are
subject
to
market
and
manager
risk.
Since
the
AQR
Diversifying
Strategies
Fund's
investments
consist
primarily
of
affiliated
funds,
the
Fund's
risks
are
directly
related
to
the
risks
of
the
affiliated
investment
funds.
For
this
reason,
it
is
important
to
understand
the
risks
associated
with
investing
in
the
affiliated
investment
funds.
In
regard
to
the
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund,
the
ability
of
the
Fund
to
achieve
its
net
zero
carbon
target
will
be
subject
to
the
Adviser's
ability
to
correctly
assess
the
carbon
emissions
of
the
companies
to
which
the
Fund
has
exposure
and
the
relative
performance
of
the
investments
in
the
portfolio.
Since
the
carbon
emissions
of
companies
will
likely
change
as
the
regulatory
environment,
public
sentiment
and
markets
change
or
time
passes,
the
success
of
the
Fund's
net
zero
carbon
strategy
will
also
be
subject
to
the
Adviser's
ability
to
continually
recalculate,
readjust,
and
execute
long
and/or
short
positions
in
an
efficient
and
timely
manner.
Additionally,
the
Adviser's
methodology
for
assessing
the
Fund's
carbon
emissions
exposure
may
differ
from
the
methodology
used
by
others
and
may
not
comport
with
an
investor's
assessment
due
to
a
variety
of
reasons
such
as,
the
use
of
different
carbon
emission
data
sources
and/or
differing
views
on
how
net
zero
carbon
exposure
is
achieved.
The
Adviser's
methodology
for
calculating
the
Fund's
carbon
emissions
exposure
could
prove
to
be
imperfect
or
may
not
achieve
its
intended
results.
Additionally,
the
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
follows
a
sustainable
investment
approach
that
considers
the
Environmental,
Social
and
Governance
(“ESG”)
characteristics
of
investments
when
constructing
the
Fund's
portfolio.
Accordingly,
the
Fund
will
have
reduced
exposure
to
industries
or
sectors
with
companies
that
are
excluded
by
the
Fund's
dynamic
ESG
filter
or
otherwise
underweighted
due
to
their
ESG
characteristics
and
potentially
increased
exposure
to
industries
or
sectors
that
do
not
contain
such
companies.
Additionally,
due
to
its
exclusionary
criteria,
the
Fund
may
not
be
invested
in
certain
industries
or
sectors.
As
a
result,
the
Fund's
performance
may
be
lower
than
other
funds
that
do
not
consider
ESG
characteristics
or
use
different
ESG
criteria
when
constructing
their
portfolios.
In
addition,
since
sustainable
and
ESG
investing
takes
into
consideration
factors
beyond
traditional
financial
analysis,
the
Fund
may
have
fewer
investment
opportunities
available
to
it.
Sustainability
and
ESG-related
information
provided
by
issuers
and
third
parties,
upon
which
the
portfolio
managers
may
rely,
may
be
incomplete,
inaccurate,
use
different
methodologies,
or
be
applied
differently
across
companies
and
industries.
Further,
the
regulatory
landscape
for
sustainable
and
ESG
investing
in
the
U.S.
is
still
developing
and
future
rules
and
regulations
may
require
the
Fund
to
modify
or
alter
its
investment
process.
Similarly,
government
policies
incentivizing
companies
to
engage
in
and/or
disclose
their
sustainable
and
ESG
practices
may
fall
out
of
favor,
which
would
challenge
the
Fund's
ability
to
assess
ESG
characteristics
of
an
issuer
or
industry
and
its
ability
to
implement
its
investment
strategies.
There
is
also
a
risk
that
the
companies
identified
through
the
investment
process
may
fail
to
adhere
to
sustainable
and/or
ESG-related
business
practices,
which
may
result
in
the
Fund
selling
a
security
when
it
might
otherwise
be
disadvantageous
to
do
so.
There
is
no
guarantee
that
sustainable
investments
will
outperform
the
broader
market
on
either
an
absolute
or
relative
basis.
There
is
also
no
guarantee
that
the
Adviser
will
successfully
implement
strategies
or
make
investments
in
companies
that
result
in
favorable
ESG
outcomes
while
enhancing
long-term
shareholder
value
and
achieving
financial
returns.
Periodically,
the
Funds
may
be
a
party
to
legal
actions
arising
in
the
ordinary
course
of
business.
The
Funds
are
currently
not
subject
to
any
actions
that
either
individually
or
in
the
aggregate
are
expected
to
have
a
material
impact
on
their
results
of
operations,
cash
flows
or
financial
condition.
364
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
12.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds,
including
other
AQR
Funds
not
presented
in
this
book,
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies.
This
program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
No
Fund
may
borrow
or
lend
money
through
the
program
unless
it
receives
a
more
favorable
rate
than
is
typically
available
for
comparable
borrowings
from
a
bank
or
investments
in
U.S.
Treasury
bills,
respectively.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program.
Interest
expense
earned,
as
a
result
of
lending
under
this
agreement,
is
included
in
interfund
lending
income
in
the
Statements
of
Operations.
During
the
reporting
period,
average
loans
made
to
another
AQR Fund
(not
presented
in
this
book) under
the
Interfund
Lending
Program
were
as
follows:
There
were
no
open
borrowings
as
of December
31,
2022 by
any
of
the
Funds.
The
Funds
did
not
have
any
borrowings
for
the
year
ended
December
31,
2022.
13.
Line
of
Credit
Effective
March
18,
2022
and
terminating
on
March
17,
2023,
all
funds
within
the
Trust,
with
the
exception
of
the
AQR
Diversifying
Strategies
Fund, renewed
a
$350,000,000
committed
syndicated
line
of
credit
(the
“Agreement”)
with
Bank
of
America,
N.A.,
as
the
Administrative
Agent. Borrowing,
if
any,
under
this
arrangement
bears,
as
incurred,
interest
at
the
sum
of
(a)
1.00%
per
annum
plus
(b)
the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
Term
SOFR
(including
a
0.10%
adjustment),
which
is
paid
monthly.
The
maximum
loan
amount
available
to
a
Fund
is
the
lesser
of
an
amount
which
will
not
exceed
the
borrowing
limits
set
forth
in
the
Fund’s
Prospectus
and/or
Registration
Statement
and
will
not
cause
the
asset
coverage
ratio
for
any
borrowings
by
a
Fund
to
drop
below
the
required
amount
under
the
Agreement
(between
300-500%
per
Fund).
The
Agreement
is
subject
to
an
annual
commitment
fee
and
allocated
to
each
participating
fund,
which
is
payable
in
arrears
on
a
quarterly
basis.
In
the
event
of
a
draw
upon
the
line
of
credit,
liquid
assets
of
the
borrowing
Fund
may
be
earmarked
for
asset
coverage
purposes
until
its
loan
is
repaid
in
full.
Interest
expense
paid,
as
a
result
of
borrowing
under
the
Agreement,
and
each
Fund's
allocated
commitment
fee,
is
included
in
interest
expense
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of
December
31,
2022
by
any
of
the
Funds.
The
Funds
did
not
have
any
borrowings
for
the
year
ended
December
31,
2022.
14.
Principal
Ownership
As
of
December
31,
2022,
the
Funds
had
individual
shareholder
and/or
omnibus
accounts
owning
more
than
5%
of
the
total
shares
outstanding
of
the
Fund
as
follows:
FUND
AVERAGE
LOANS
WEIGHTED
AVERAGE
INTEREST
RATE
INTEREST
RECEIVED
AQR
Managed
Futures
Strategy
Fund
....................................
$
1,780,000
3.58
%
$
2,268
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Alternative
Risk
Premia
Fund
..........................................
3
90.49
%
AQR
Diversified
Arbitrage
Fund
.............................................
5
83.32
AQR
Diversifying
Strategies
Fund
...........................................
4
90.56
AQR
Equity
Market
Neutral
Fund*
...........................................
6
92.15
AQR
Long-Short
Equity
Fund
..............................................
8
94.29
AQR
Macro
Opportunities
Fund*
............................................
6
88.24
AQR
Managed
Futures
Strategy
Fund
........................................
9
84.17
365
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
Significant
shareholder
transactions
by
these
shareholders,
if
any,
may
impact
the
Funds’
performance.
15.
New
Accounting
Pronouncements
and
Regulations 
In
June
2022,
FASB
issued
Accounting
Standards
Update
No.
2022-03,
“Fair
Value
Measurement
of
Equity
Securities
Subject
to
Contractual
Sale
Restrictions”
(“ASU
2022-03”).
ASU
2022-03
clarifies
the
guidance
in
ASC
820,
related
to
the
measurement
of
the
fair
value
of
an
equity
security
subject
to
contractual
sale
restrictions,
where
it
eliminates
the
ability
to
apply
a
discount
to
fair
value
of
these
securities,
and
introduces
disclosure
requirements
related
to
such
equity
securities.
The
guidance
is
effective
for
fiscal
years,
and
interim
periods
within
those
fiscal
years,
beginning
after
December
15,
2023,
and
allows
for
early
adoption.
For
Registered
Investment
Companies,
such
as
the
Funds,
ASU
2022-03
will
be
applicable
to
equity
securities
with
contractual
sale
restrictions
executed,
or
modified,
after
the
date
of
adoption.
Management
has
reviewed
the
requirements
and
believes
the
adoption
of
this
ASU
will
not
have
a
material
impact
on
the
financial
statements. 
16.
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,
requiring
adjustment
to,
or
disclosure
in,
these
financial
statements.
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Managed
Futures
Strategy
HV
Fund*
....................................
6
91.69
%
AQR
Multi-Asset
Fund*
...................................................
7
92.15
AQR
Risk-Balanced
Commodities
Strategy
Fund
................................
6
89.01
AQR
Style
Premia
Alternative
Fund
..........................................
3
74.97
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund*
.........................
5
98.95
*
The
percentages
held
by
the
Adviser
and/or
affiliates
are
21.31%,
19.13%,
11.90%,
25.99%
and
45.50%,
respectively.
366
Report
of
Independent
Registered
Public
Accounting
Firm
AQR
Funds
|
Annual
Report
|
December
2022
To
the
Board
of
Trustees
of
AQR
Funds
and
Shareholders
of
each
of
the
twelve
funds
listed
in
the
table
below
Opinions
on
the
Financial
Statements
We
have
audited
the
accompanying
statements
of
assets
and
liabilities,
including
the
schedules
of
investments,
of
each
of
the
funds
listed
in
the
table
below
(twelve
of
the
funds
constituting
AQR
Funds,
hereafter
collectively
referred
to
as
the
"Funds")
as
of
December
31,
2022,
and
the
related
statements
of
operations,
the
statements
of
changes
in
net
assets,
and
for
AQR
Alternative
Risk
Premia
Fund,
AQR
Macro
Opportunities
Fund
and
AQR
Multi-Asset
Fund,
the
statements
of
cash
flows,
for
each
of
the
periods
indicated
in
the
table
below,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
each
of
the
Funds
as
of
December
31,
2022,
and
the
results
of
each
of
their
operations,
the
changes
in
each
of
their
net
assets,
for
AQR
Alternative
Risk
Premia
Fund,
AQR
Macro
Opportunities
Fund
and
AQR
Multi-Asset
Fund,
each
of
their
cash
flows,
and
each
of
the
financial
highlights
for
each
of
the
periods
indicated
in
the
table
below,
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinions
These
financial
statements
are
the
responsibility
of
the
Funds’
management.
Our
responsibility
is
to
express
an
opinion
on
the
Funds’
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Funds
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
of
these
financial
statements
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
December
31,
2022
by
correspondence
with
the
custodians,
transfer
agents
and
brokers;
when
replies
were
not
received
from
brokers,
we
performed
other
auditing
procedures.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinions.
/s/
PricewaterhouseCoopers
LLP
New
York,
New
York
February
24,
2023
We
have
served
as
the
auditor
of
one
or
more
investment
companies
in
AQR
Funds
since
2008.
AQR
Alternative
Risk
Premia
Fund
(1)
AQR
Managed
Futures
Strategy
Fund
(2)
AQR
Diversified
Arbitrage
Fund
(3)
AQR
Managed
Futures
Strategy
HV
Fund
(2)
AQR
Diversifying
Strategies
Fund
(4)
AQR
Multi-Asset
Fund
(1)
AQR
Equity
Market
Neutral
Fund
(3)
AQR
Risk-Balanced
Commodities
Strategy
Fund
(2)
AQR
Long-Short
Equity
Fund
(3)
AQR
Style
Premia
Alternative
Fund
(2)
AQR
Macro
Opportunities
Fund
(1)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
(5)
(1)
Consolidated
statement
of
assets
and
liabilities,
including
the
consolidated
schedule
of
investments,
as
of
December
31,
2022,
and
the
related
consolidated
statements
of
operations
and
of
cash
flows
for
the
year
ended
December
31,
2022,
consolidated
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
December
31,
2022,
and
consolidated
financial
highlights
for
each
of
the
five
years
in
the
period
ended
December
31,
2022
(2)
Consolidated
statement
of
asset
and
liabilities,
including
the
consolidated
schedule
of
investments,
as
of
December
31,
2022,
and
the
related
consolidated
statement
of
operations
for
the
year
ended
December
31,
2022,
consolidated
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
December
31,
2022,
and
consolidated
financial
highlights
for
each
of
the
five
years
in
the
period
ended
December
31,
2022
(3)
Statement
of
assets
and
liabilities,
including
the
schedule
of
investments,
as
of
December
31,
2022,
and
the
related
statement
of
operations
for
the
year
ended
December
31,
2022,
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
December
31,
2022,
and
financial
highlights
for
each
of
the
five
years
in
the
period
ended
December
31,
2022
(4)
Statement
of
assets
and
liabilities,
including
the
schedule
of
investments,
as
of
December
31,
2022,
and
the
related
statement
of
operations
for
the
year
ended
December
31,
2022,
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
December
31,
2022,
and
financial
highlights
for
each
of
the
two
years
in
the
period
ended
December
31,
2022
and
for
the
period
June
8,
2020
(commencement
of
operations)
through
December
31,
2020
(5)
Statement
of
assets
and
liabilities,
including
the
schedule
of
investments,
as
of
December
31,
2022,
and
the
related
statement
of
operations
for
the
year
ended
December
31,
2022,
statement
of
changes
in
net
assets
and
financial
highlights
for
the
year
ended
December
31,
2022
and
for
the
period
December
16,
2021
(commencement
of
operations)
through
December
31,
2021
367
Other
Federal
Tax
Information
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
For
the
fiscal
year
ended
December
31,
2022,
the
Funds
designate
the
following
percentages
of
ordinary
income
dividends,
or
maximum
amount
allowable,
as
qualifying
for
the
reduced
tax
rate
under
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003:
For
the
fiscal
year
ended
December
31,
2022,
the
following
percentages
of
income
dividends
paid
by
the
Funds
qualify
for
the
dividends
received
deduction
available
to
corporations:
The
Funds
designate
the
following
amounts,
or
the
maximum
allowable
under
Section
852
of
the
Internal
Revenue
Code,
as
long
term
capital
gain
dividends paid
during
the
fiscal
year
ended December
31,
2022:
The
Funds
hereby
designated
the
following
amounts,
or
maximum
amounts
allowable
by
law,
as
interest
income
eligible
to
be
treated
as
a
Section
163(j)
interest
dividend
for
the
fiscal
year
ended
December
31,
2022: 
The
Funds
hereby
designated
the
following
amounts,
or
maximum
amounts
allowable
by
law,
as
interest-related
dividends
eligible
for
exemption
from
U.S.
withholding
tax
for
nonresident
aliens
and
foreign
corporations
for
the
fiscal
year
ended
December
31,
2022: 
FUND
PERCENTAGE
AQR
Diversified
Arbitrage
Fund
...........................................................................
3.28%
AQR
Diversifying
Strategies
Fund
.........................................................................
4.76%
AQR
Equity
Market
Neutral
Fund
.........................................................................
2.35%
AQR
Macro
Opportunities
Fund
...........................................................................
3.57%
AQR
Multi-Asset
Fund
.................................................................................
21.72%
AQR
Style
Premia
Alternative
Fund
........................................................................
1.10%
FUND
PERCENTAGE
AQR
Diversified
Arbitrage
Fund
...........................................................................
1.78%
AQR
Diversifying
Strategies
Fund
.........................................................................
1.52%
AQR
Macro
Opportunities
Fund
...........................................................................
1.24%
AQR
Multi-Asset
Fund
.................................................................................
8.57%
FUND
TOTAL
AQR
Diversifying
Strategies
Fund
.........................................................................
$
147,886
AQR
Long-Short
Equity
Fund
............................................................................
9,150,937
AQR
Macro
Opportunities
Fund
...........................................................................
4,583,139
AQR
Risk-Balanced
Commodities
Strategy
Fund
..............................................................
599
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
........................................................
5,180
FUND
PERCENTAGE
AQR
Diversified
Arbitrage
Fund
................................................
15.42%
AQR
Diversifying
Strategies
Fund
..............................................
6.59%
AQR
Equity
Market
Neutral
Fund
..............................................
2.16%
AQR
Long-Short
Equity
Fund
.................................................
1.19%
AQR
Macro
Opportunities
Fund
................................................
12.26%
AQR
Managed
Futures
Strategy
Fund
...........................................
5.85%
AQR
Managed
Futures
Strategy
HV
Fund
........................................
7.01%
AQR
Multi-Asset
Fund
......................................................
23.12%
AQR
Risk-Balanced
Commodities
Strategy
Fund
...................................
5.74%
AQR
Style
Premia
Alternative
Fund
.............................................
1.52%
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
.............................
5.39%
FUND
PERCENTAGE
AQR
Diversified
Arbitrage
Fund
................................................
12.62%
AQR
Diversifying
Strategies
Fund
..............................................
11.33%
AQR
Equity
Market
Neutral
Fund
..............................................
2.16%
AQR
Long-Short
Equity
Fund
.................................................
1.43%
AQR
Macro
Opportunities
Fund
................................................
100.00%
AQR
Managed
Futures
Strategy
Fund
...........................................
5.85%
AQR
Managed
Futures
Strategy
HV
Fund
........................................
7.01%
AQR
Multi-Asset
Fund
......................................................
14.08%
AQR
Risk-Balanced
Commodities
Strategy
Fund
...................................
5.74%
AQR
Style
Premia
Alternative
Fund
.............................................
1.52%
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
.............................
5.43%
368
Other
Federal
Tax
Information
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
Other
Tax
Matters
On
December
28,
2022,
the
AQR
Diversifying
Strategies
Fund
paid
an
income
distribution
to
shareholders
in
the
aggregate
amount
of
$13,531,156.
It
has
been
subsequently
determined
that
$17,491
(0.13%)
is
estimated
to
be
long-term
capital
gain
and,
accordingly,
this
updated
information
is
being
provided
pursuant
to
Rule
19a-1
under
the
1940
Act.
Such
source
designation
and
amount
are
for
financial
accounting
purposes
and
do
not
reflect
the
tax
character
of
the
distribution;
they
are
estimates
only
and
are
not
being
provided
for
tax
reporting
purposes.
369
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
As
a
shareholder
of
the
Trust,
you
incur
two
types
of
costs:
(1)
transaction
costs
and
(2)
ongoing
costs,
including
management
fees;
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
as
indicated
below.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
for
the
Period
Ending
12/31/2022”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Each
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Hypothetical
Example
for
Comparison
Purposes
The
table
below
also
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
Fund’s
actual
expense
ratio
and
an
assumed
annual
rate
of
return
of
5%
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
a
Fund
and
other
funds
by
comparing
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
other
funds.
The
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs.
Therefore,
the
hypothetical
example
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  12/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        12/31/22
AQR
Alternative
Risk
Premia
Fund
Class
I
Actual
Return
$1,000.00
$1,064.00
3.36%
$17.48
Hypothetical
Return
$1,000.00
$1,008.27
3.36%
$17.01
Class
N
Actual
Return
$1,000.00
$1,062.10
3.64%
$18.92
Hypothetical
Return
$1,000.00
$1,006.86
3.64%
$18.41
Class
R6
Actual
Return
$1,000.00
$1,064.90
3.27%
$17.02
Hypothetical
Return
$1,000.00
$1,008.72
3.27%
$16.56
AQR
Diversified
Arbitrage
Fund
Class
I
Actual
Return
$1,000.00
$1,010.50
1.30%
$6.59
Hypothetical
Return
$1,000.00
$1,018.65
1.30%
$6.61
Class
N
Actual
Return
$1,000.00
$1,009.60
1.55%
$7.85
Hypothetical
Return
$1,000.00
$1,017.39
1.55%
$7.88
Class
R6
Actual
Return
$1,000.00
$1,011.40
1.20%
$6.08
Hypothetical
Return
$1,000.00
$1,019.16
1.20%
$6.11
AQR
Diversifying
Strategies
Fund
Class
I
Actual
Return
$1,000.00
$1,037.60
0.20%
$1.03
Hypothetical
Return
$1,000.00
$1,024.20
0.20%
$1.02
Class
N
Actual
Return
$1,000.00
$1,036.40
0.45%
$2.31
Hypothetical
Return
$1,000.00
$1,022.94
0.45%
$2.29
Class
R6
Actual
Return
$1,000.00
$1,038.20
0.10%
$0.51
Hypothetical
Return
$1,000.00
$1,024.70
0.10%
$0.51
370
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  12/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        12/31/22
AQR
Equity
Market
Neutral
Fund
Class
I
Actual
Return
$1,000.00
$1,048.70
1.41%
$7.28
Hypothetical
Return
$1,000.00
$1,018.10
1.41%
$7.17
Class
N
Actual
Return
$1,000.00
$1,047.90
1.66%
$8.57
Hypothetical
Return
$1,000.00
$1,016.84
1.66%
$8.44
Class
R6
Actual
Return
$1,000.00
$1,049.20
1.33%
$6.87
Hypothetical
Return
$1,000.00
$1,018.50
1.33%
$6.77
AQR
Long-Short
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,057.20
1.35%
$7.00
Hypothetical
Return
$1,000.00
$1,018.40
1.35%
$6.87
Class
N
Actual
Return
$1,000.00
$1,055.70
1.60%
$8.29
Hypothetical
Return
$1,000.00
$1,017.14
1.60%
$8.13
Class
R6
Actual
Return
$1,000.00
$1,057.50
1.27%
$6.59
Hypothetical
Return
$1,000.00
$1,018.80
1.27%
$6.46
AQR
Macro
Opportunities
Fund
Class
I
Actual
Return
$1,000.00
$1,111.40
1.72%
$9.15
Hypothetical
Return
$1,000.00
$1,016.53
1.72%
$8.74
Class
N
Actual
Return
$1,000.00
$1,109.60
2.02%
$10.74
Hypothetical
Return
$1,000.00
$1,015.02
2.02%
$10.26
Class
R6
Actual
Return
$1,000.00
$1,112.60
1.75%
$9.32
Hypothetical
Return
$1,000.00
$1,016.38
1.75%
$8.89
AQR
Managed
Futures
Strategy
Fund
Class
I
Actual
Return
$1,000.00
$1,027.00
1.27%
$6.49
Hypothetical
Return
$1,000.00
$1,018.80
1.27%
$6.46
Class
N
Actual
Return
$1,000.00
$1,024.50
1.52%
$7.76
Hypothetical
Return
$1,000.00
$1,017.54
1.52%
$7.73
Class
R6
Actual
Return
$1,000.00
$1,026.60
1.17%
$5.98
Hypothetical
Return
$1,000.00
$1,019.31
1.17%
$5.96
AQR
Managed
Futures
Strategy
HV
Fund
Class
I
Actual
Return
$1,000.00
$1,004.90
1.66%
$8.39
Hypothetical
Return
$1,000.00
$1,016.84
1.66%
$8.44
Class
N
Actual
Return
$1,000.00
$1,004.40
1.90%
$9.60
Hypothetical
Return
$1,000.00
$1,015.63
1.90%
$9.65
Class
R6
Actual
Return
$1,000.00
$1,005.70
1.56%
$7.89
Hypothetical
Return
$1,000.00
$1,017.34
1.56%
$7.93
371
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  12/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        12/31/22
AQR
Multi-Asset
Fund
Class
I
Actual
Return
$1,000.00
$1,000.10
0.95%
$4.79
Hypothetical
Return
$1,000.00
$1,020.42
0.95%
$4.84
Class
N
Actual
Return
$1,000.00
$999.50
1.19%
$6.00
Hypothetical
Return
$1,000.00
$1,019.21
1.19%
$6.06
Class
R6
Actual
Return
$1,000.00
$1,001.20
0.85%
$4.29
Hypothetical
Return
$1,000.00
$1,020.92
0.85%
$4.33
AQR
Risk-Balanced
Commodities
Strategy
Fund
Class
I
Actual
Return
$1,000.00
$1,036.10
1.01%
$5.18
Hypothetical
Return
$1,000.00
$1,020.11
1.01%
$5.14
Class
N
Actual
Return
$1,000.00
$1,034.20
1.26%
$6.46
Hypothetical
Return
$1,000.00
$1,018.85
1.26%
$6.41
Class
R6
Actual
Return
$1,000.00
$1,035.90
0.89%
$4.57
Hypothetical
Return
$1,000.00
$1,020.72
0.89%
$4.53
AQR
Style
Premia
Alternative
Fund
Class
I
Actual
Return
$1,000.00
$1,044.80
1.57%
$8.09
Hypothetical
Return
$1,000.00
$1,017.29
1.57%
$7.98
Class
N
Actual
Return
$1,000.00
$1,042.80
1.86%
$9.58
Hypothetical
Return
$1,000.00
$1,015.83
1.86%
$9.45
Class
R6
Actual
Return
$1,000.00
$1,045.70
1.49%
$7.68
Hypothetical
Return
$1,000.00
$1,017.69
1.49%
$7.58
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
Class
I
Actual
Return
$1,000.00
$1,047.60
1.37%
$7.07
Hypothetical
Return
$1,000.00
$1,018.30
1.37%
$6.97
Class
N
Actual
Return
$1,000.00
$1,045.60
1.61%
$8.30
Hypothetical
Return
$1,000.00
$1,017.09
1.61%
$8.19
Class
R6
Actual
Return
$1,000.00
$1,048.10
1.28%
$6.61
Hypothetical
Return
$1,000.00
$1,018.75
1.28%
$6.51
Expenses
are
calculated
using
each
Class’
annualized
expense
ratio,
multiplied
by
the
average
account
value
for
the
period,
multiplied
by
184/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
372
Trustees
and
Officers
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
The
overall
management
of
the
business
and
affairs
of
the
Funds
is
vested
with
the
Board
of
Trustees.
The
Board
of
Trustees
consists
of
six
individuals
(each,
a
“Trustee”),
five
of
whom
are
not
“interested
persons”
of
the
Trust
as
defined
in
the
1940
Act
(the
“Disinterested
Trustees”).
The
Trustees
are
responsible
for
the
oversight
of
the
operations
of
the
Trust
and
perform
the
various
duties
imposed
on
the
directors
of
investment
companies
by
the
1940
Act.
The
Board
of
Trustees
approves
all
significant
agreements
between
the
Trust
and
persons
or
companies
furnishing
services
to
it,
including
the
Trust’s
agreements
with
its
investment
advisers,
investment
sub-advisers,
administrator,
custodian
and
transfer
agent.
The
management
of
each
Fund’s
day-to-day
operations
is
delegated
to
its
officers,
the
Adviser
and
the
Funds'
administrator,
subject
always
to
the
investment
objectives
and
policies
of
each
of
the
Funds
and
to
general
supervision
of
the
Board
of
Trustees.
The
Disinterested
Trustees
have
retained
independent
legal
counsel
to
assist
them
in
connection
with
their
duties.
Listed
in
the
chart
below
is
basic
information
regarding
the
Trustees
and
officers
of
the
Trust.
The
address
of
each
officer
and
Trustee
is
One
Greenwich
Plaza,
Greenwich
CT
06830.
The
Statement
of
Additional
Information
(“SAI”)
for
the
Funds
includes
additional
disclosure
regarding
the
Trustees.
The
SAI
is
available,
without
charge,
upon
request,
by
calling
toll-free
866-290-2688.
NAME
AND
YEAR
OF
BIRTH
CURRENT
POSITION
WITH
THE
TRUST,
TERM
OF
OFFICE
1
AND
LENGTH
OF
TIME
SERVED
PRINCIPAL
OCCUPATION(S)
DURING
PAST
5
YEARS
NUMBER
OF
FUNDS
IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE
OTHER
PRESENTOR
PAST
DIRECTORSHIPS
HELD
BY
TRUSTEE
(DURING
THE
PAST
5
YEARS)
Disinterested
Trustees
2
William
L.
Atwell,
M.B.A.,
1950
Chairman
of
the
Board,
since
2023;
Trustee,
since
2011
Retired
from
Atwell
Partners,
LLC
(2012-
2019)
(consulting)
36
Webster
Financial
Corporation
(since
2014)
(banking);
Blucora,
Inc.
(2017-2019)
L.
Joe
Moravy,
M.B.A.,
CPA,
1950
Trustee,
since
2008
Retired
Independent
Consultant
(2014-
2021)
36
None
Gregg
D.
Behrens,
M.M.,
1952
Trustee,
since
2011
Retired
from
Northern
Trust
Company
(1974-2009)
(banking)
36
Kiwibank
(since
2022);
Kiwi
Wealth
(wealth
management)
(2020-
2022)
Mark
A.
Zurack,
M.B.A.,
CFA
1957
Trustee,
since
2014
Professor,
Columbia
Business
School
(since
2002)
36
Exchange
Traded
Concepts
Trust
(19
portfolios)
(since
2011)
Kathleen
Hagerty,
Ph.D.,
M.B.A.
1953
Trustee,
since
2022
Provost
(since
2020)
and
Associate
Provost
(2019-2020),
Northwestern
University;
Interim
Dean
(2019-2020),
Senior
Associate
Dean
(2016-2019)
and
Professor
(since
1984),
Kellogg
School
of
Management,
Northwestern
University
36
None
Interested
Trustees
3
David
Kabiller,
CFA,
1963
Trustee,
since
2010
Founding
Principal,
AQR
Capital
Management,
LLC
(since
1998)
36
None
Officers
Ted
Pyne,
M.B.A.,
Ph.D.,
1966
Chief
Executive
Officer
and
President,
since
2020
Principal,
AQR
Capital
Management,
LLC
(since
2016)
N/A
N/A
H.J.
Willcox,
J.D.,
1966
Chief
Compliance
Officer,
since
2013;
Anti-Money
Laundering
Officer,
since
2017
Principal,
Chief
Legal
Officer
and
Global
Head
of
Compliance,
AQR
Capital
Management,
LLC
(since
2013)
N/A
N/A
Bradley Asness, J.D.,
M.B.A.,
1969
Vice
President,
since 2009
Principal
and
Co-Chief
Operating
Officer,
AQR
Capital
Management,
LLC
(since
1998)
N/A
N/A
Patrick
Ryan,
CPA
1965
Assistant
Treasurer,
since
2020
Principal,
AQR
Capital
Management,
LLC
(since
2012)
N/A
N/A
Matthew
Plastina,
1970
Chief
Financial
Officer
and
Treasurer,
since
2022
Executive
Director,
AQR
Capital
Management,
LLC
(since
2018);
Executive
Director,
JP
Morgan
Investment
Management
(2010-2018)
N/A
N/A
373
Trustees
and
Officers
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
December
31,
2022
_________
1
Each
Trustee
serves
until
the
election
and
qualification
of
a
successor,
or
until
death,
resignation
or
removal
as
provided
in
the
Trust’s
Declaration
of
Trust.
A
Disinterested
Trustee
may
not
hold
office
beyond
December
31
of
the
year
in
which
he
or
she
turns
75.
2
A
Disinterested
Trustee
is
any
Trustee
that
is
not
an
“interested
person”
of
the
Trust
within
the
meaning
of
Section
2(a)(19)
of
the
1940
Act.
3
An
Interested
Trustee
is
a
Trustee
that
is
an
“interested
person”
of
the
Trust
within
the
meaning
of
Section
2(a)(19)
of
the
1940
Act.
Mr.
Kabiller
is
an
interested
person
of
the
Trust
because
of
his
position
with
the
Adviser.
NAME
AND
YEAR
OF
BIRTH
CURRENT
POSITION
WITH
THE
TRUST,
TERM
OF
OFFICE
1
AND
LENGTH
OF
TIME
SERVED
PRINCIPAL
OCCUPATION(S)
DURING
PAST
5
YEARS
NUMBER
OF
FUNDS
IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE
OTHER
PRESENTOR
PAST
DIRECTORSHIPS
HELD
BY
TRUSTEE
(DURING
THE
PAST
5
YEARS)
Nicole
DonVito,
J.D.,
1979
Chief
Legal
Officer,
since
2014;
Vice
President,
since
2009,
Secretary,
since
2022
Managing
Director,
Senior
Counsel
&
Head
of
Registered
Products,
AQR
Capital
Management,
LLC
(since
2007)
N/A
N/A
374
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
The
Board
of
Trustees
(the
“Board,”
and
the
members
of
which
are
referred
to
as
“Board
Members”)
of
the
AQR
Funds
(the
“Trust”)
held
a
videoconference
meeting
on
November
9,
11-12,
2021
(the
“Meeting”)
to
consider
the
approval
of
the
Investment
Management
Agreement
II
between
the
Trust,
on
behalf
of
the
AQR
Sustainable
Long-Short
Equity
Net
Zero
Carbon
Fund
1
(the
“New
Fund”),
and
AQR
Capital
Management,
LLC
(“AQR”)
(the
“Investment
Management
Agreement”).
At
the
Meeting,
the
Board
Members
who
are
not
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”)
(the
“Independent
Board
Members”),
met
with
independent
legal
counsel
and
representatives
of
AQR
and
Fund
counsel
to
review
the
materials
provided
and
the
relevant
legal
considerations.
In
accordance
with
Section
15(c)
of
the
1940
Act,
the
Board
requested,
reviewed
and
considered
materials
furnished
by
AQR
relevant
to
the
Board’s
consideration
of
whether
to
approve
the
Investment
Management
Agreement.
These
materials
included:
(1)
memoranda
and
materials
provided
by
AQR
describing
the
personnel
and
services
to
be
provided
to
the
New
Fund;
(2)
information
independently
compiled
and
prepared
by
Broadridge
relating
to
the
New
Fund’s
proposed
fees
and
expenses
relative
to
peers
within
the
New
Fund’s
Morningstar
fund
category;
(3)
a
discussion
of
the
financial
information
of
AQR;
and
(4)
a
discussion
of
the
compliance
program
and
the
regulatory
exam
history
of
AQR.
At
the
Meeting
the
Board,
including
the
Independent
Board
Members,
approved
the
Investment
Management
Agreement
for
an
initial
two-year
period
for
the
New
Fund.
The
Board
considered
all
factors
it
believed
to
be
relevant
with
respect
to
the
New
Fund,
including,
among
other
factors:
(a)
the
nature,
extent
and
quality
of
the
services
expected
to
be
provided
by
AQR;
(b)
the
investment
performance
of
AQR
and
AQR’s
portfolio
management
capabilities;
(c)
the
management
fee
and
the
cost
of
the
services
and
profits
that
may
be
realized
by
AQR
from
the
relationship
with
the
New
Fund;
(d)
economies
of
scale;
and
(e)
other
factors.
The
Board
also
considered
other
matters
it
deemed
important
to
the
approval
process,
services
related
to
the
administration
of
the
New
Fund’s
portfolio
holdings,
direct
and
indirect
benefits
to
AQR
and
its
affiliates
from
their
relationship
with
the
New
Fund
and
advice
from
independent
legal
counsel
with
respect
to
the
review
process
and
materials
submitted
for
the
Board’s
review.
The
Board
did
not
identify
any
particular
information
as
controlling,
and
each
Board
Member
may
have
attributed
different
weightings
to
the
various
items
considered.
In
considering
the
approval
of
the
Investment
Management
Agreement
for
the
New
Fund,
the
Board
did
not
view
the
Investment
Management
Agreement
as
creating
third-party
beneficiary
rights
in
shareholders
to
enforce
the
terms
of
the
Investment
Management
Agreement
against
AQR.
The
following
is
a
summary
of
the
Board’s
discussion
and
views
regarding
the
factors
it
considered
in
evaluating
the
Investment
Management
Agreement:
The
Nature,
Extent
and
Quality
of
the
Services
to
be
Provided
by
AQR
.
The
Board
Members
reviewed
the
services
that
AQR
would
provide
to
the
New
Fund
under
the
Investment
Management
Agreement,
including
certain
administrative
services.
The
Board
considered
the
size
and
experience
of
AQR’s
staff,
its
use
of
technology,
and
the
New
Fund’s
stated
investment
objectives,
strategies
and
processes.
The
Board
reviewed
the
overall
qualifications
of
AQR
as
an
investment
adviser.
In
connection
with
the
investment
advisory
services
to
be
provided
to
the
New
Fund,
the
Board
Members
took
into
account
discussions
they
had
with
representatives
of
AQR
regarding
the
management
of
the
New
Fund’s
investments
in
accordance
with
the
New
Fund’s
stated
investment
objectives
and
policies
and
the
types
of
transactions
that
would
be
entered
into
on
behalf
of
the
New
Fund.
During
these
discussions,
the
Board
Members
asked
questions
of,
and
received
answers
from,
representatives
of
AQR
regarding
the
formulation
and
proposed
implementation
of
the
New
Fund’s
investment
strategies,
their
efficacy
and
potential
risks.
In
addition
to
the
investment
advisory
services
to
be
provided
to
the
New
Fund,
the
Board
Members
considered
that
AQR
also
will
provide
shareholder
and
administrative
services,
oversight
of
fund
accounting,
marketing
services,
risk
management,
compliance
oversight,
and
assistance
in
meeting
legal
and
regulatory
requirements
and
other
services
necessary
for
the
operation
of
the
New
Fund.
The
Board
Members
recognized
that
AQR
will
oversee
third-party
service
providers
and
will
administer
the
New
Fund’s
liquidity
risk
management
program.
In
particular,
the
Board
Members
reviewed
the
compliance,
shareholder
and
administrative
services
to
be
provided
to
the
New
Fund
by
AQR
under
the
Investment
Management
Agreement.
The
Board
Members
recognized
the
entrepreneurial
risk
that
AQR
would
assume
in
connection
with
launching
the
New
Fund
and
the
enterprise
risk
involved
in
providing
services
to
the
New
Fund
over
time.
Finally,
the
Independent
Board
Members
had
an
opportunity
to
meet
outside
the
presence
of
Fund
management
in
executive
session
separately
with
independent
legal
counsel
to
discuss
and
consider
the
Investment
Management
Agreement.
Based
on
the
presentations
and
materials
at
the
Meetings,
the
Board
concluded
that
the
services
to
be
provided
to
the
New
Fund
by
AQR
pursuant
to
the
Investment
Management
Agreement
were
expected
to
be
of
a
high
quality
and
would
benefit
the
New
Fund.
Investment
Performance
and
AQR’s
Portfolio
Management
.
Because
the
New
Fund
is
newly
formed,
the
Board
did
not
consider
the
investment
performance
of
the
New
Fund.
The
Board
based
its
review
of
AQR’s
performance
primarily
on
the
experience
of
AQR
in
managing
other
registered
investment
companies
and
private
funds,
noting
that
other
funds
AQR
manages
have
investment
objectives,
policies
or
restrictions
different
from
those
of
the
New
Fund.
The
Board
also
considered
the
resources
and
strengths
of
AQR
and
the
experience
of
the
portfolio
management
team
with
respect
to
the
investment
strategies
proposed
for
the
New
Fund.
Based
on
these
factors,
the
Board
Members
determined
that
AQR
would
be
an
appropriate
investment
adviser
for
the
New
Fund.
The
Management
Fee
and
the
Cost
of
the
Services
and
Profits
to
be
Realized
by
AQR
from
the
Relationship
with
the
New
Fund
.
The
Board,
including
the
Independent
Board
Members,
received
and
reviewed
information
regarding
the
management
fees
to
be
paid
by
the
New
Fund
to
AQR
pursuant
to
the
Investment
Management
Agreement.
The
Board
examined
this
information
in
order
to
determine
the
reasonableness
of
the
fees
in
light
of
the
nature
and
quality
of
services
to
be
provided
to
the
New
Fund.
To
assist
in
this
analysis,
the
Board
received
a
report
independently
prepared
by
Broadridge.
The
report
showed
comparative
fee
information
for
the
New
Fund’s
prospective
Morningstar
category,
including
expense
comparisons
of
contractual
investment
management
fees
and
actual
net
expenses.
The
Board
also
received
and
reviewed
information
regarding
the
expected
profitability
of
AQR
with
respect
to
New
Fund-related
activities.
The
Board
also
reviewed
AQR’s
methodology
of
determining
profitability.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
including,
among
other
things,
fee
waivers
and
expense
reimbursements
by
AQR,
the
types
of
funds
managed,
taxes,
expense
allocations
and
business
mix.
375
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
December
2022
The
Board
reviewed
AQR’s
unaudited
financial
information.
The
purpose
of
the
review
was
to
help
the
Independent
Board
Members
determine
whether
the
firm
has
the
necessary
resources
to
continue
to
provide
high
quality
services
to
the
New
Fund
and
attract
and
retain
high
quality
employees.
Based
on
their
review
of
the
materials
presented
at
the
Meeting
and
discussions
of
these
materials,
the
Board
concluded
that
the
proposed
management
fees
under
the
Investment
Management
Agreement
are
reasonable.
Economies
of
Scale.
Because
the
New
Fund
is
newly
formed
and
had
not
commenced
operations
as
of
the
dates
of
the
Meeting,
and
the
eventual
aggregate
amount
of
the
New
Fund’s
assets
was
uncertain,
AQR
was
not
able
to
provide
the
Board
with
specific
information
concerning
the
extent
to
which
economies
of
scale
would
be
realized
as
the
New
Fund
grows.
The
Board
considered
AQR’s
representation
that
the
proposed
management
fee
does
not
include
breakpoints
because
AQR
believes
the
New
Fund
is
priced
competitively
compared
to
its
peers
even
at
higher
asset
levels.
The
Board
recognized
that
economies
would
also
be
shared
through
the
adoption
of
an
expense
limitation
agreement
for
the
New
Fund.
The
Board
considered
that
the
funds
in
the
AQR
fund
complex
share
some
common
resources
and,
as
a
result,
an
increase
in
the
overall
size
of
the
complex
could
permit
the
New
Fund
to
incur
lower
expenses
than
it
would
otherwise
as
a
stand-alone
entity.
The
Board
also
considered
AQR’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
further
enhance
the
quality
of,
its
operations.
Other
Factors.
The
Board
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
AQR
or
its
affiliates
may
derive
from
its
relationship
with
the
New
Fund,
both
tangible
and
intangible.
The
Board
also
received
information
regarding
AQR’s
brokerage
and
soft
dollar
practices.
The
Board
considered
that
AQR
is
responsible
for
decisions
to
buy
and
sell
securities
for
the
New
Fund,
selection
of
broker-dealers
and
best
execution,
and
aggregation
and
allocation
of
trade
orders
among
the
firm’s
various
advisory
clients.
The
Board
noted
that
AQR
does
not
presently
intend
to
make
use
of
soft
dollars
to
acquire
third-party
research.
Conclusion.
Counsel
advised
the
Board
concerning
the
statutory
and
regulatory
requirements
for
approval
and
disclosure
of
an
investment
management
agreement.
No
single
factor
was
determinative
to
the
decision
of
the
Board.
Based
on
the
foregoing
and
such
other
matters
as
were
deemed
relevant,
the
Board,
including
all
of
the
Independent
Board
Members,
concluded
that
the
proposed
management
fee
rate
under
the
Investment
Management
Agreement
is
reasonable
in
relation
to
the
services
to
be
provided
by
AQR
to
the
New
Fund,
as
well
as
the
costs
expected
to
be
incurred
and
benefits
expected
to
be
gained
by
AQR
in
providing
such
services,
including
the
investment
advisory
and
administrative
components.
The
Board
also
found
the
proposed
investment
management
fee
to
be
reasonable
in
comparison
to
the
fees
charged
by
advisers
to
other
comparable
funds
of
an
anticipated
size.
As
a
result,
the
Board,
including
the
Independent
Board
Members
voting
separately,
approved
the
Investment
Management
Agreement
with
respect
to
the
New
Fund.
The
Independent
Board
Members
were
represented
by
independent
legal
counsel
who
assisted
them
in
their
deliberations.
1
The
New
Fund
was
renamed
“AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund”
at
a
subsequent
Board
meeting.
Investment
Adviser
AQR
Capital
Management,
LLC
One
Greenwich
Plaza
Greenwich,
CT
06830
Sub-Adviser
AQR
Arbitrage,
LLC
One
Greenwich
Plaza
Greenwich,
CT
06830
Transfer
Agent
ALPS
Fund
Services,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Custodian
JPMorgan
Chase
Bank,
N.A.
4
Metro
Tech
Center
Brooklyn,
NY
11245
State
Street
Bank
and
Trust
Company
One
Lincoln
Street
Boston,
MA
02111
Distributor
ALPS
Distributors,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Administrator
JPMorgan
Chase
Bank,
N.A.
70
Fargo
Street
Boston,
MA
02210
Independent
Registered
Public
Accounting
Firm
PricewaterhouseCoopers,
LLP
300
Madison
Avenue
New
York,
NY
10017
You
may
obtain
a
description
of
the
AQR
Funds
proxy
voting,
policies,
procedures
and
information
regarding
how
each
Fund
voted
proxies
relating
to
portfolio
securities
during
the
12-month
period
ending
June
30th
of
each
year
(available
by
August
31st
of
that
year)
without
charge,
upon
request,
by
calling
1-866-290-2688
or
visiting
the
funds
website
https://funds.aqr.com,
or
by
accessing
the
SEC’s
website
at
www.SEC.gov.
Such
reports
may
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
202-551-8090.
The
Fund
files
complete
schedules
of
the
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
on
Form
N-PORT
Part
F.
The
Form
N-PORT
Part
F
is
available
without
charge,
upon
request,
by
calling
1-800-SEC-0330,
or
by
accessing
the
SEC’s
website,
at
www.SEC.gov.
It
may
also
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
This
report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
an
effective
prospectus,
which
includes
information
regarding
the
Funds’
objectives
and
policies,
experienced
of
its
management,
marketability
of
shares
and
other
information.
AQR
Funds
P.O.
Box
2248,
Denver,
CO
80201-2248
|
p:
+1.866.290.2688
|
w:
https://funds.aqr.com
Item 2. Code of Ethics.
a).
As of the end of the period, December 31
, 2022
,
the Registrant
has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  This code of ethics is included as Exhibit 13 (a)(1).
b). Not Applicable.
c). There have been amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2022 (“Reporting Period”).
d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.
e). Not Applicable.
f). Attached.
 
Item 3. Audit Committee Financial Expert.
 
a). The Registrant’s Board of Trustees has determined that the “Audit Committee financial expert”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee is Mr. L. Joe Moravy. Mr. Moravy is “independent”, as that term is defined under Item 3(a)(2).
 
Item 4. Principal Accountant Fees and Services.
 
Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP
for the fiscal years ended December 31, 2021 and December 31, 2022 were:
 
 
2021
2022
Audit Fees (a)
$1,054,944
$1,045,930
Audit Related Fees (b)
$17,500
$2,500
Tax Fees (c)
$337,500
$302,660
All Other Fees (d)
$1,889
$2,061
Total:
$1,386,833
$1,353,151
 
(a)
                
Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP
for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements.  These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.
 
(b)           Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLC that are reasonably related to the performance of the audit of the Registrant’s December 31, 2022 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2021 and December 31, 2022, relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of amendments to the Registrant’s Registration Statement.
 
(c)           Tax Fees: The December 31, 2021 and December 31, 2022 fees relate to professional services rendered by PricewaterhouseCoopers LLP
for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP
relate to the preparation and review of the Registrant’s federal and state income tax returns, excise tax calculations and assistance with filings for reclaims related to certain foreign taxes withheld.
 
(d)           All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP
other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.
 
(e)           Audit Committee Pre-approval Policies and Procedures:
 
 
(i)
Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.
 
 
(ii)
The Audit Committee waived pre-approval, pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, for none of the services described in each of Items 4(b) through (d).
 
 
(f)            Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.
 
(g)           Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2021 and December 31, 2022: $3,950 and $3,950, respectively.
 
(h)           Not Applicable.
 
(i)            The Registrant is not a foreign issuer, as identified by the Securities and Exchange Commission (“Commission”) pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N- CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (“PCAOB”) has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the Registrant is not owned or controlled by a governmental entity in the foreign jurisdiction.
 
(j)            The Registrant is not a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the PCAOB has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the Registrant is so identified
.
 
Also, the Registrant does not use a variable-interest entity or any similar structure that results in additional foreign entities being consolidated
in
the
financial
statements
of
the
Registrant.
 
(1) Not Applicable.
 
(2) Not Applicable.
 
(3) Not Applicable.
 
(4) Not Applicable.
 
(5) Not Applicable.
 
Item 5. Audit Committee of Listed Registrants.
(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a) (58)(A) of such Act.  All of the Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, Kathleen Hagerty, L. Joe Moravy and Mark A. Zurack, are members of the Audit Committee.
(b) Not Applicable.
 
Item 6. Investments
(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940
.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
 
(a)  
The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.
 
(b)  
There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. 
 
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
 
Not applicable.
Item 13. Exhibits.
 
(a)(1)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.
(a)(2)      Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.
 

SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
AQR Funds
 
 
 
By: /s/ Ted Pyne
-----------------------------------
Ted Pyne,
Principal Executive Officer
February 28, 2023
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
 
 
 
By: /s/ Ted Pyne
----------------------------------
Ted Pyne,
Principal Executive Officer
February 28, 2023
 
 
 
By: /s/ Matthew Plastina
---------------------------------
Matthew Plastina,
Principal Financial Officer
February 28, 2023