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)

Two 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

Two 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:  September 30

Date of reporting period:  October 1, 2020 to March 31, 2021

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.

Semi-Annual

Report

March

31,

2021

(Unaudited)

AQR

Large

Cap

Multi-Style

Fund

AQR

Small

Cap

Multi-Style

Fund

AQR

International

Multi-Style

Fund

AQR

Emerging

Multi-Style

II

Fund

AQR

Large

Cap

Momentum

Style

Fund

AQR

Small

Cap

Momentum

Style

Fund

AQR

International

Momentum

Style

Fund

AQR

Large

Cap

Defensive

Style

Fund

AQR

International

Defensive

Style

Fund

AQR

Global

Equity

Fund

AQR

International

Equity

Fund

AQR

Core

Plus

Bond

Fund

Effective

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Table

of

Contents

Schedule

of

Investments

AQR

Large

Cap

Multi-Style

Fund

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

2

AQR

Small

Cap

Multi-Style

Fund

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

7

AQR

International

Multi-Style

Fund

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

16

AQR

Emerging

Multi-Style

II

Fund

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

20

AQR

Large

Cap

Momentum

Style

Fund

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

26

AQR

Small

Cap

Momentum

Style

Fund

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

33

AQR

International

Momentum

Style

Fund

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

42

AQR

Large

Cap

Defensive

Style

Fund

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

48

AQR

International

Defensive

Style

Fund

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

54

AQR

Global

Equity

Fund

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

59

AQR

International

Equity

Fund

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

67

AQR

Core

Plus

Bond

Fund

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

74

Financial

Statements

and

Notes

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

86

Fund

Expense

Examples

(Unaudited)

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

147

2

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

88.0%

Aerospace

&

Defense

-

1.2%

Curtiss-Wright

Corp.

7,365

873,489

Howmet

Aerospace,

Inc.

*

40,076

1,287,642

Huntington

Ingalls

Industries,

Inc.

37,392

7,697,143

Lockheed

Martin

Corp.

14,127

5,219,927

Teledyne

Technologies,

Inc.

*

1,723

712,719

Textron,

Inc.

54,692

3,067,127

18,858,047

Air

Freight

&

Logistics

-

1.2%

Expeditors

International

of

Washington,

Inc.

13,929

1,500,014

FedEx

Corp.

60,833

17,279,005

18,779,019

Auto

Components

-

0.1%

Aptiv

plc

*

9,628

1,327,701

Automobiles

-

1.7%

General

Motors

Co.

*

82,799

4,757,630

Tesla,

Inc.

*

27,261

18,208,440

Thor

Industries,

Inc.

24,609

3,315,817

26,281,887

Banks

-

2.7%

Associated

Banc-Corp.

243,494

5,196,162

Citigroup,

Inc.

81,581

5,935,018

Citizens

Financial

Group,

Inc.

34,638

1,529,268

First

Citizens

BancShares

,

Inc.,

Class

A

1,751

1,463,433

FNB

Corp.

52,242

663,473

JPMorgan

Chase

&

Co.

102,662

15,628,236

People's

United

Financial,

Inc.

56,108

1,004,333

Popular,

Inc.

142,499

10,020,530

41,440,453

Beverages

-

0.3%

Monster

Beverage

Corp.

*

8,223

749,033

PepsiCo,

Inc.

29,142

4,122,136

4,871,169

Biotechnology

-

2.0%

AbbVie,

Inc.

23,950

2,591,869

Alexion

Pharmaceuticals,

Inc.

*

8,138

1,244,382

Amgen,

Inc.

13,098

3,258,913

Biogen,

Inc.

*

32,145

8,992,564

Exelixis

,

Inc.

*

18,303

413,465

Moderna

,

Inc.

*

12,333

1,615,006

United

Therapeutics

Corp.

*

76,551

12,804,686

30,920,885

Building

Products

-

1.0%

A

O

Smith

Corp.

14,233

962,293

Fortune

Brands

Home

&

Security,

Inc.

46,746

4,479,201

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

1.0%

(continued)

Johnson

Controls

International

plc

53,348

3,183,275

Masco

Corp.

12,392

742,281

Owens

Corning

34,710

3,196,444

Trane

Technologies

plc

17,146

2,838,692

15,402,186

Capital

Markets

-

1.5%

Ameriprise

Financial,

Inc.

22,509

5,232,217

Bank

of

New

York

Mellon

Corp.

(The)

35,963

1,700,690

BlackRock,

Inc.

11,051

8,332,012

Goldman

Sachs

Group,

Inc.

(The)

2,017

659,559

Morgan

Stanley

12,253

951,568

MSCI,

Inc.

948

397,477

State

Street

Corp.

29,509

2,479,051

T.

Rowe

Price

Group,

Inc.

4,156

713,170

Virtu

Financial,

Inc.,

Class

A

99,498

3,089,413

23,555,157

Chemicals

-

1.2%

Cabot

Corp.

21,102

1,106,589

Chemours

Co.

(The)

40,168

1,121,089

Corteva

,

Inc.

92,429

4,309,040

Eastman

Chemical

Co.

34,809

3,833,167

Huntsman

Corp.

65,880

1,899,320

LyondellBasell

Industries

NV,

Class

A

19,558

2,035,010

Mosaic

Co.

(The)

12,912

408,148

NewMarket

Corp.

1,038

394,606

Scotts

Miracle-

Gro

Co.

(The)

11,971

2,932,536

18,039,505

Commercial

Services

&

Supplies

-

0.4%

Cintas

Corp.

1,315

448,823

Copart

,

Inc.

*

5,071

550,761

Waste

Management,

Inc.

43,926

5,667,332

6,666,916

Communications

Equipment

-

0.6%

Cisco

Systems,

Inc.

191,202

9,887,055

Construction

&

Engineering

-

0.0%

(a)

Quanta

Services,

Inc.

4,911

432,070

Valmont

Industries,

Inc.

931

221,271

653,341

Consumer

Finance

-

0.1%

Ally

Financial,

Inc.

15,061

680,908

SLM

Corp.

80,562

1,447,699

2,128,607

Containers

&

Packaging

-

0.2%

Berry

Global

Group,

Inc.

*

18,175

1,115,945

Silgan

Holdings,

Inc.

57,426

2,413,615

3,529,560

3

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Distributors

-

0.1%

LKQ

Corp.

*

32,592

1,379,619

Diversified

Consumer

Services

-

0.2%

Graham

Holdings

Co.,

Class

B

2,350

1,321,734

Grand

Canyon

Education,

Inc.

*

14,528

1,555,949

2,877,683

Diversified

Financial

Services

-

1.2%

Berkshire

Hathaway,

Inc.,

Class

B

*

71,167

18,181,033

Diversified

Telecommunication

Services

-

1.1%

AT&T,

Inc.

297,386

9,001,874

Verizon

Communications,

Inc.

147,018

8,549,097

17,550,971

Electric

Utilities

-

1.3%

Exelon

Corp.

144,910

6,338,364

NRG

Energy,

Inc.

327,795

12,367,705

Pinnacle

West

Capital

Corp.

15,917

1,294,848

20,000,917

Electrical

Equipment

-

1.1%

Acuity

Brands,

Inc.

51,038

8,421,270

Eaton

Corp.

plc

6,236

862,314

Hubbell,

Inc.

14,172

2,648,605

Regal

Beloit

Corp.

31,619

4,511,399

16,443,588

Electronic

Equipment,

Instruments

&

Components

-

2.1%

Arrow

Electronics,

Inc.

*

132,946

14,733,076

CDW

Corp.

27,147

4,499,615

Jabil,

Inc.

110,761

5,777,294

SYNNEX

Corp.

66,932

7,686,471

32,696,456

Entertainment

-

0.4%

Electronic

Arts,

Inc.

44,695

6,050,362

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.3%

American

Tower

Corp.

2,784

665,543

Brandywine

Realty

Trust

48,763

629,530

Brixmor

Property

Group,

Inc.

20,046

405,531

EPR

Properties

564

26,277

Public

Storage

4,562

1,125,719

Ventas,

Inc.

11,140

594,208

Weingarten

Realty

Investors

16,674

448,697

3,895,505

Food

&

Staples

Retailing

-

2.1%

Costco

Wholesale

Corp.

5,737

2,022,178

Kroger

Co.

(The)

356,897

12,844,723

Sprouts

Farmers

Market,

Inc.

*

343,999

9,157,253

Walgreens

Boots

Alliance,

Inc.

17,732

973,487

Walmart,

Inc.

56,207

7,634,597

32,632,238

INVESTMENTS

SHARES

VALUE

($)

Food

Products

-

1.2%

Flowers

Foods,

Inc.

17,814

423,973

General

Mills,

Inc.

63,320

3,882,782

Ingredion,

Inc.

6,350

570,992

J

M

Smucker

Co.

(The)

48,892

6,186,305

Pilgrim's

Pride

Corp.

*

44,695

1,063,294

Tyson

Foods,

Inc.,

Class

A

78,986

5,868,660

17,996,006

Health

Care

Equipment

&

Supplies

-

1.7%

Abbott

Laboratories

34,166

4,094,454

Baxter

International,

Inc.

15,913

1,342,102

Danaher

Corp.

30,060

6,765,905

Medtronic

plc

43,297

5,114,675

Quidel

Corp.

*

66,981

8,568,879

25,886,015

Health

Care

Providers

&

Services

-

2.7%

AmerisourceBergen

Corp.

4,674

551,859

Anthem,

Inc.

30,301

10,876,544

Cardinal

Health,

Inc.

7,541

458,116

CVS

Health

Corp.

66,540

5,005,804

Humana,

Inc.

9,377

3,931,307

McKesson

Corp.

31,404

6,125,036

Molina

Healthcare,

Inc.

*

30,437

7,114,953

UnitedHealth

Group,

Inc.

19,334

7,193,602

41,257,221

Health

Care

Technology

-

0.1%

Teladoc

Health,

Inc.

*

3,483

633,035

Veeva

Systems,

Inc.,

Class

A

*

5,355

1,398,940

2,031,975

Hotels,

Restaurants

&

Leisure

-

0.9%

Darden

Restaurants,

Inc.

36,026

5,115,692

Extended

Stay

America,

Inc.

156,749

3,095,793

McDonald's

Corp.

5,175

1,159,924

MGM

Resorts

International

128,915

4,897,481

14,268,890

Household

Durables

-

1.2%

Lennar

Corp.,

Class

A

50,051

5,066,663

Mohawk

Industries,

Inc.

*

13,673

2,629,454

PulteGroup,

Inc.

77,305

4,053,874

Whirlpool

Corp.

29,385

6,474,985

18,224,976

Household

Products

-

1.8%

Clorox

Co.

(The)

52,989

10,220,518

Procter

&

Gamble

Co.

(The)

121,655

16,475,737

Spectrum

Brands

Holdings,

Inc.

8,843

751,655

27,447,910

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Corp.

53,274

941,884

4

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Industrial

Conglomerates

-

0.6%

3M

Co.

37,463

7,218,371

Carlisle

Cos.,

Inc.

13,091

2,154,517

9,372,888

Insurance

-

3.0%

Allstate

Corp.

(The)

153,463

17,632,899

Assurant,

Inc.

24,894

3,529,222

Assured

Guaranty

Ltd.

14,997

634,073

Everest

Re

Group

Ltd.

38,494

9,539,198

Fidelity

National

Financial,

Inc.

44,674

1,816,445

First

American

Financial

Corp.

88,484

5,012,619

MetLife,

Inc.

10,090

613,371

Old

Republic

International

Corp.

207,622

4,534,465

Progressive

Corp.

(The)

31,402

3,002,345

Travelers

Cos.,

Inc.

(The)

2,976

447,590

46,762,227

Interactive

Media

&

Services

-

6.0%

Alphabet,

Inc.,

Class

A

*

14,880

30,690,298

Alphabet,

Inc.,

Class

C

*

10,966

22,684,597

Facebook,

Inc.,

Class

A

*

124,113

36,555,002

IAC/InterActiveCorp

*

2,827

611,508

Match

Group,

Inc.

*

5,384

739,654

Zillow

Group,

Inc.,

Class

C

*

3,379

438,053

91,719,112

Internet

&

Direct

Marketing

Retail

-

3.3%

Amazon.com,

Inc.

*

13,161

40,721,187

Booking

Holdings,

Inc.

*

294

684,973

eBay,

Inc.

87,891

5,382,445

Qurate

Retail,

Inc.,

Series

A

274,041

3,222,722

50,011,327

IT

Services

-

1.9%

Accenture

plc,

Class

A

14,799

4,088,224

Akamai

Technologies,

Inc.

*

42,555

4,336,354

Alliance

Data

Systems

Corp.

22,222

2,490,864

Amdocs

Ltd.

26,270

1,842,840

Cognizant

Technology

Solutions

Corp.,

Class

A

44,075

3,443,139

Concentrix

Corp.

*

48,387

7,244,502

PayPal

Holdings,

Inc.

*

1,715

416,471

VeriSign,

Inc.

*

9,225

1,833,561

Visa,

Inc.,

Class

A

9,875

2,090,834

Western

Union

Co.

(The)

34,200

843,372

28,630,161

Leisure

Products

-

0.8%

Brunswick

Corp.

9,451

901,342

Peloton

Interactive,

Inc.,

Class

A

*

89,762

10,092,839

Polaris,

Inc.

6,935

925,823

11,920,004

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

1.3%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

2,200

1,256,574

Charles

River

Laboratories

International,

Inc.

*

22,100

6,405,243

PerkinElmer,

Inc.

5,877

753,960

PRA

Health

Sciences,

Inc.

*

9,380

1,438,236

Thermo

Fisher

Scientific,

Inc.

23,195

10,585,734

20,439,747

Machinery

-

4.0%

AGCO

Corp.

102,205

14,681,748

Cummins,

Inc.

48,011

12,440,130

Deere

&

Co.

2,606

975,009

ITT,

Inc.

6,926

629,643

Oshkosh

Corp.

113,333

13,448,094

PACCAR,

Inc.

69,370

6,445,860

Snap-on,

Inc.

20,502

4,730,632

Timken

Co.

(The)

101,282

8,221,060

61,572,176

Media

-

0.4%

Comcast

Corp.,

Class

A

18,515

1,001,846

DISH

Network

Corp.,

Class

A

*

45,464

1,645,797

Interpublic

Group

of

Cos.,

Inc.

(The)

98,645

2,880,434

5,528,077

Metals

&

Mining

-

0.1%

Newmont

Corp.

12,643

761,994

Multiline

Retail

-

1.0%

Dollar

General

Corp.

18,932

3,836,002

Target

Corp.

55,651

11,022,793

14,858,795

Multi-Utilities

-

0.1%

Ameren

Corp.

8,706

708,320

MDU

Resources

Group,

Inc.

48,742

1,540,735

2,249,055

Oil,

Gas

&

Consumable

Fuels

-

1.6%

Cabot

Oil

&

Gas

Corp.

168,121

3,157,312

Chevron

Corp.

69,660

7,299,672

ConocoPhillips

31,854

1,687,306

EOG

Resources,

Inc.

5,640

409,069

Equitrans

Midstream

Corp.

713,208

5,819,777

Exxon

Mobil

Corp.

86,595

4,834,599

Kinder

Morgan,

Inc.

64,424

1,072,660

24,280,395

Personal

Products

-

0.3%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

12,057

3,506,779

Nu

Skin

Enterprises,

Inc.,

Class

A

12,461

659,062

4,165,841

5

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

3.2%

Bristol-Myers

Squibb

Co.

96,123

6,068,245

Eli

Lilly

and

Co.

5,145

961,189

Horizon

Therapeutics

plc

*

26,140

2,405,925

Jazz

Pharmaceuticals

plc

*

44,871

7,375,446

Johnson

&

Johnson

109,199

17,946,856

Merck

&

Co.,

Inc.

96,980

7,476,188

Pfizer,

Inc.

188,999

6,847,434

49,081,283

Professional

Services

-

1.3%

Booz

Allen

Hamilton

Holding

Corp.

44,367

3,572,874

CACI

International,

Inc.,

Class

A

*

33,016

8,143,727

IHS

Markit

Ltd.

15,153

1,466,507

Jacobs

Engineering

Group,

Inc.

3,173

410,174

ManpowerGroup

,

Inc.

44,494

4,400,457

Robert

Half

International,

Inc.

34,886

2,723,550

20,717,289

Road

&

Rail

-

0.5%

AMERCO

2,855

1,748,973

Knight-Swift

Transportation

Holdings,

Inc.

10,168

488,979

Ryder

System,

Inc.

24,277

1,836,555

Schneider

National,

Inc.,

Class

B

133,217

3,326,429

7,400,936

Semiconductors

&

Semiconductor

Equipment

-

5.9%

Applied

Materials,

Inc.

84,665

11,311,244

Broadcom,

Inc.

14,622

6,779,637

Cirrus

Logic,

Inc.

*

17,849

1,513,417

Intel

Corp.

329,748

21,103,872

KLA

Corp.

6,885

2,274,804

Lam

Research

Corp.

14,577

8,676,813

Micron

Technology,

Inc.

*

79,324

6,997,170

MKS

Instruments,

Inc.

19,064

3,534,847

NVIDIA

Corp.

5,125

2,736,391

Qorvo

,

Inc.

*

15,215

2,779,781

QUALCOMM,

Inc.

23,371

3,098,761

Skyworks

Solutions,

Inc.

34,161

6,267,860

Teradyne,

Inc.

46,013

5,598,862

Texas

Instruments,

Inc.

34,461

6,512,784

Xilinx,

Inc.

9,412

1,166,147

90,352,390

Software

-

6.7%

Adobe,

Inc.

*

18,502

8,795,296

Cadence

Design

Systems,

Inc.

*

32,463

4,447,106

Fortinet,

Inc.

*

3,148

580,554

Intuit,

Inc.

9,562

3,662,820

Manhattan

Associates,

Inc.

*

4,944

580,327

Microsoft

Corp.

304,565

71,807,290

Oracle

Corp.

164,608

11,550,543

Teradata

Corp.

*

28,548

1,100,240

INVESTMENTS

SHARES

VALUE

($)

Software

-

6.7%

(continued)

VMware,

Inc.,

Class

A

*(b)

6,694

1,007,112

103,531,288

Specialty

Retail

-

4.0%

AutoNation,

Inc.

*

134,971

12,581,997

Best

Buy

Co.,

Inc.

86,273

9,905,003

Dick's

Sporting

Goods,

Inc.

118,391

9,015,475

Foot

Locker,

Inc.

101,200

5,692,500

Home

Depot,

Inc.

(The)

24,460

7,466,415

Lowe's

Cos.,

Inc.

16,883

3,210,809

Penske

Automotive

Group,

Inc.

51,358

4,120,966

Williams-Sonoma,

Inc.

54,708

9,803,673

61,796,838

Technology

Hardware,

Storage

&

Peripherals

-

5.5%

Apple,

Inc.

590,658

72,148,875

Dell

Technologies,

Inc.,

Class

C

*

13,871

1,222,729

HP,

Inc.

303,279

9,629,108

Xerox

Holdings

Corp.

56,613

1,373,997

84,374,709

Textiles,

Apparel

&

Luxury

Goods

-

0.6%

Carter's,

Inc.

*

49,177

4,373,311

Lululemon

Athletica

,

Inc.

*

3,796

1,164,271

NIKE,

Inc.,

Class

B

11,109

1,476,275

Ralph

Lauren

Corp.

*

4,926

606,686

Skechers

USA,

Inc.,

Class

A

*

27,084

1,129,674

8,750,217

Thrifts

&

Mortgage

Finance

-

0.1%

MGIC

Investment

Corp.

55,406

767,373

Tobacco

-

0.7%

Altria

Group,

Inc.

84,033

4,299,128

Philip

Morris

International,

Inc.

65,585

5,820,013

10,119,141

Trading

Companies

&

Distributors

-

1.2%

Air

Lease

Corp.

8,179

400,771

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

79,293

7,151,436

United

Rentals,

Inc.

*

14,863

4,894,534

Watsco

,

Inc.

21,264

5,544,588

17,991,329

Transportation

Infrastructure

-

0.0%

(a)

Macquarie

Infrastructure

Corp.

14,016

445,849

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.

*

16,099

2,017,044

TOTAL

COMMON

STOCKS

(Cost

$828,394,595)

1,351,722,222

6

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

0.0%

(a)

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$476,826)

4,865

494,527

SHORT-TERM

INVESTMENTS

-

4.1%

INVESTMENT

COMPANIES

-

4.1%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(c)

(Cost

$62,246,508)

62,271,417

62,252,735

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(c)(d)

390,732

390,732

Limited

Purpose

Cash

Investment

Fund

0.01%

(c)(d)

624,303

624,116

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,015,035)

1,014,848

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.2%

(Cost

$892,132,964)

1,415,484,332

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.8%

(e)

119,809,034

NET

ASSETS

-

100.0%

1,535,293,366

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

122,865,566

8.0

%

Consumer

Discretionary

212,192,464

13.8

Consumer

Staples

97,232,305

6.3

Energy

24,280,395

1.6

Financials

132,834,851

8.6

Health

Care

169,617,126

11.0

Industrials

194,303,563

12.6

Information

Technology

349,472,059

22.8

Materials

22,331,059

1.5

Real

Estate

3,895,505

0.3

Utilities

23,191,856

1.5

Short-Term

Investments

62,252,735

4.1

Securities

Lending

Collateral

1,014,848

0.1

Total

Investments

In

Securities

At

Value

1,415,484,332

92.2

Other

Assets

in

Excess

of

Liabilities

(e

)

119,809,034

7.8

Net

Assets

$

1,535,293,366

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$995,309.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

867

6/2021

USD

$

171,986,790

$

1,142,531

$

1,142,531

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

10,201,687

$

10,201,687

7

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

98.4%

Aerospace

&

Defense

-

0.7%

AAR

Corp.

*

1,965

81,842

Aerojet

Rocketdyne

Holdings,

Inc.

3,808

178,824

Ducommun,

Inc.

*

777

46,620

Maxar

Technologies,

Inc.

4,792

181,234

Moog,

Inc.,

Class

A

535

44,485

Vectrus

,

Inc.

*

9,876

527,773

1,060,778

Air

Freight

&

Logistics

-

0.6%

Atlas

Air

Worldwide

Holdings,

Inc.

*

6,217

375,756

Hub

Group,

Inc.,

Class

A

*

6,511

438,060

813,816

Airlines

-

0.3%

Allegiant

Travel

Co.

*

806

196,712

SkyWest,

Inc.

*

2,603

141,812

Spirit

Airlines,

Inc.

*

4,469

164,906

503,430

Auto

Components

-

2.2%

Adient

plc

*

4,662

206,060

Cooper

Tire

&

Rubber

Co.

2,452

137,263

Cooper-Standard

Holdings,

Inc.

*

2,333

84,735

Dana,

Inc.

22,664

551,415

Dorman

Products,

Inc.

*

421

43,211

Fox

Factory

Holding

Corp.

*

2,389

303,546

Goodyear

Tire

&

Rubber

Co.

(The)

*

3,187

55,996

LCI

Industries

4,159

550,152

Modine

Manufacturing

Co.

*

23,195

342,590

Patrick

Industries,

Inc.

5,106

434,010

Standard

Motor

Products,

Inc.

994

41,331

Tenneco,

Inc.,

Class

A

*

14,761

158,238

XPEL,

Inc.

*(a)

6,291

326,692

3,235,239

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

1,911

146,593

Banks

-

6.0%

1st

Source

Corp.

4,426

210,589

Ameris

Bancorp

1,096

57,551

BancFirst

Corp.

987

69,771

Bancorp,

Inc.

(The)

*

12,926

267,827

BancorpSouth

Bank

1,667

54,144

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

5,223

199,623

Camden

National

Corp.

951

45,515

Cathay

General

Bancorp

9,546

389,286

CIT

Group,

Inc.

5,501

283,357

City

Holding

Co.

574

46,942

Columbia

Banking

System,

Inc.

4,804

207,004

ConnectOne

Bancorp,

Inc.

1,849

46,872

Customers

Bancorp,

Inc.

*

19,317

614,667

INVESTMENTS

SHARES

VALUE

($)

Banks

-

6.0%

(continued)

Dime

Community

Bancshares,

Inc.

3,240

97,654

Eagle

Bancorp,

Inc.

1,008

53,636

Eastern

Bankshares

,

Inc.

7,990

154,127

Enterprise

Financial

Services

Corp.

940

46,474

First

Bancorp/PR

23,233

261,604

First

Interstate

BancSystem

,

Inc.,

Class

A

4,570

210,403

First

Merchants

Corp.

5,381

250,217

First

Midwest

Bancorp,

Inc.

1,946

42,637

Fulton

Financial

Corp.

12,507

212,994

Glacier

Bancorp,

Inc.

3,253

185,681

Great

Southern

Bancorp,

Inc.

8,266

468,434

Hancock

Whitney

Corp.

4,008

168,376

Hanmi

Financial

Corp.

2,726

53,784

Heartland

Financial

USA,

Inc.

10,270

516,170

Hilltop

Holdings,

Inc.

18,531

632,463

Home

BancShares

,

Inc.

16,787

454,088

Hope

Bancorp,

Inc.

2,820

42,469

Independent

Bank

Group,

Inc.

626

45,222

International

Bancshares

Corp.

11,103

515,401

Investors

Bancorp,

Inc.

20,212

296,914

Midland

States

Bancorp,

Inc.

3,969

110,100

NBT

Bancorp,

Inc.

4,174

166,543

OFG

Bancorp

3,523

79,690

Old

National

Bancorp

18,984

367,151

Preferred

Bank

837

53,300

QCR

Holdings,

Inc.

961

45,378

Renasant

Corp.

1,008

41,711

ServisFirst

Bancshares,

Inc.

4,239

259,978

Simmons

First

National

Corp.,

Class

A

2,154

63,909

South

State

Corp.

1,300

102,063

Trustmark

Corp.

1,383

46,552

UMB

Financial

Corp.

532

49,120

United

Community

Banks,

Inc.

1,812

61,825

Valley

National

Bancorp

3,207

44,064

8,693,280

Beverages

-

0.5%

Celsius

Holdings,

Inc.

*

1,185

56,939

Coca-Cola

Consolidated,

Inc.

756

218,318

MGP

Ingredients,

Inc.

746

44,126

National

Beverage

Corp.

(b)

5,917

289,400

Primo

Water

Corp.

5,269

85,674

694,457

Biotechnology

-

6.7%

Affimed

NV

(Germany)

*

5,571

44,067

Akebia

Therapeutics,

Inc.

*

13,872

46,957

Allakos

,

Inc.

*

366

42,009

Amicus

Therapeutics,

Inc.

*

15,837

156,470

Apellis

Pharmaceuticals,

Inc.

*

952

40,850

Arcus

Biosciences,

Inc.

*

2,972

83,454

Arena

Pharmaceuticals,

Inc.

*

3,941

273,466

Arrowhead

Pharmaceuticals,

Inc.

*

5,157

341,961

8

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

6.7%

(continued)

Beam

Therapeutics,

Inc.

*(b)

2,063

165,123

BioCryst

Pharmaceuticals,

Inc.

*

3,342

33,988

Blueprint

Medicines

Corp.

*

3,376

328,248

Bridgebio

Pharma,

Inc.

*(b)

2,667

164,287

CareDx

,

Inc.

*

3,109

211,692

Catalyst

Pharmaceuticals,

Inc.

*

69,672

321,188

ChemoCentryx

,

Inc.

*

3,123

160,023

Chimerix

,

Inc.

*

4,365

42,079

Denali

Therapeutics,

Inc.

*

4,399

251,183

Dicerna

Pharmaceuticals,

Inc.

*

1,595

40,784

Eagle

Pharmaceuticals,

Inc.

*

2,629

109,734

Editas

Medicine,

Inc.

*(b)

960

40,320

Emergent

BioSolutions

,

Inc.

*

5,522

513,049

Enanta

Pharmaceuticals,

Inc.

*

1,676

82,660

Fate

Therapeutics,

Inc.

*

4,788

394,771

Halozyme

Therapeutics,

Inc.

*

8,467

352,989

iBio

,

Inc.

*(b)

24,599

37,882

Ideaya

Biosciences,

Inc.

*

4,296

100,956

ImmunoGen

,

Inc.

*

6,047

48,981

Insmed

,

Inc.

*

6,637

226,056

Intellia

Therapeutics,

Inc.

*

918

73,674

Invitae

Corp.

*(b)

3,826

146,191

Ironwood

Pharmaceuticals,

Inc.

*

4,094

45,771

Jounce

Therapeutics,

Inc.

*

5,628

57,800

Kodiak

Sciences,

Inc.

*

1,894

214,761

Lexicon

Pharmaceuticals,

Inc.

*

6,626

38,895

Ligand

Pharmaceuticals,

Inc.

*

1,858

283,252

Mirati

Therapeutics,

Inc.

*

1,270

217,551

Myriad

Genetics,

Inc.

*

3,504

106,697

Natera

,

Inc.

*

5,643

572,990

Novavax

,

Inc.

*

2,885

523,079

OPKO

Health,

Inc.

*(b)

37,071

159,035

PDL

BioPharma

,

Inc.

(3)*(c)

32,677

73,367

PTC

Therapeutics,

Inc.

*

2,087

98,819

Selecta

Biosciences,

Inc.

*

14,409

65,201

Sorrento

Therapeutics,

Inc.

*(b)

15,022

124,232

Sutro

Biopharma,

Inc.

*

1,884

42,880

TG

Therapeutics,

Inc.

*

7,265

350,173

Translate

Bio,

Inc.

*

7,480

123,345

Turning

Point

Therapeutics,

Inc.

*

1,699

160,708

Twist

Bioscience

Corp.

*

364

45,085

Ultragenyx

Pharmaceutical,

Inc.

*

4,456

507,360

Veracyte

,

Inc.

*

4,543

244,186

Vericel

Corp.

*

7,091

393,905

Vir

Biotechnology,

Inc.

*

3,094

158,629

XBiotech

,

Inc.

*(b)

7,973

136,896

Xencor

,

Inc.

*

3,176

136,759

9,756,468

Building

Products

-

2.9%

Advanced

Drainage

Systems,

Inc.

496

51,282

Alpha

Pro

Tech

Ltd.

*(b)

19,450

189,832

American

Woodmark

Corp.

*

548

54,022

Apogee

Enterprises,

Inc.

16,622

679,507

Builders

FirstSource

,

Inc.

*

20,347

943,490

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

2.9%

(continued)

Griffon

Corp.

5,089

138,268

Insteel

Industries,

Inc.

12,798

394,690

Masonite

International

Corp.

*

1,472

169,633

Quanex

Building

Products

Corp.

4,580

120,134

Resideo

Technologies,

Inc.

*

5,839

164,952

Simpson

Manufacturing

Co.,

Inc.

826

85,681

UFP

Industries,

Inc.

14,996

1,137,297

4,128,788

Capital

Markets

-

2.3%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

9,798

511,162

Brightsphere

Investment

Group,

Inc.

9,927

202,312

Cohen

&

Steers,

Inc.

1,237

80,813

Cowen,

Inc.,

Class

A

15,482

544,192

Diamond

Hill

Investment

Group,

Inc.

261

40,719

Donnelley

Financial

Solutions,

Inc.

*

9,790

272,456

Federated

Hermes,

Inc.,

Class

B

7,470

233,811

Houlihan

Lokey

,

Inc.

656

43,631

Oppenheimer

Holdings,

Inc.,

Class

A

4,322

173,096

Stifel

Financial

Corp.

11,774

754,242

StoneX

Group,

Inc.

*

1,990

130,106

Virtus

Investment

Partners,

Inc.

1,179

277,655

Waddell

&

Reed

Financial,

Inc.,

Class

A

3,230

80,911

3,345,106

Chemicals

-

0.8%

FutureFuel

Corp.

2,926

42,515

Koppers

Holdings,

Inc.

*

8,258

287,048

Kraton

Corp.

*

1,127

41,237

Rayonier

Advanced

Materials,

Inc.

*

38,025

344,887

Stepan

Co.

2,781

353,493

Tredegar

Corp.

4,988

74,870

Trinseo

SA

622

39,602

1,183,652

Commercial

Services

&

Supplies

-

1.9%

ABM

Industries,

Inc.

6,703

341,920

ACCO

Brands

Corp.

43,267

365,173

Cimpress

plc

(Ireland)

*

1,098

109,943

Deluxe

Corp.

1,182

49,597

Ennis,

Inc.

21,219

453,026

Healthcare

Services

Group,

Inc.

5,704

159,883

Herman

Miller,

Inc.

1,072

44,113

HNI

Corp.

11,550

456,918

Interface,

Inc.

16,972

211,810

Pitney

Bowes,

Inc.

10,716

88,300

Steelcase,

Inc.,

Class

A

20,507

295,096

Team,

Inc.

*

7,211

83,143

Tetra

Tech,

Inc.

437

59,309

9

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Commercial

Services

&

Supplies

-

1.9%

(continued)

UniFirst

Corp.

238

53,243

2,771,474

Communications

Equipment

-

1.5%

Calix,

Inc.

*

8,409

291,456

Cambium

Networks

Corp.

*

8,711

406,978

Casa

Systems,

Inc.

*

32,997

314,461

Clearfield,

Inc.

*

1,542

46,460

Digi

International,

Inc.

*

3,152

59,856

Extreme

Networks,

Inc.

*

21,633

189,289

NETGEAR,

Inc.

*

13,727

564,180

NetScout

Systems,

Inc.

*

5,817

163,807

Plantronics,

Inc.

*

2,194

85,369

Ribbon

Communications,

Inc.

*

14,489

118,955

2,240,811

Construction

&

Engineering

-

2.4%

API

Group

Corp.

*(d)

9,020

186,534

Arcosa

,

Inc.

3,429

223,194

Comfort

Systems

USA,

Inc.

2,375

177,579

Dycom

Industries,

Inc.

*

2,927

271,772

EMCOR

Group,

Inc.

5,140

576,502

Great

Lakes

Dredge

&

Dock

Corp.

*

6,296

91,796

IES

Holdings,

Inc.

*

964

48,595

MasTec

,

Inc.

*

1,308

122,559

MYR

Group,

Inc.

*

16,304

1,168,508

Primoris

Services

Corp.

8,850

293,200

Sterling

Construction

Co.,

Inc.

*

5,469

126,881

Tutor

Perini

Corp.

*

12,217

231,512

3,518,632

Construction

Materials

-

0.2%

Summit

Materials,

Inc.,

Class

A

*

7,598

212,896

US

Concrete,

Inc.

*

973

71,340

284,236

Consumer

Finance

-

0.3%

Curo

Group

Holdings

Corp.

5,143

75,036

Encore

Capital

Group,

Inc.

*

6,737

271,030

PROG

Holdings,

Inc.

915

39,610

385,676

Containers

&

Packaging

-

0.1%

Greif,

Inc.,

Class

A

359

20,463

O-I

Glass,

Inc.

*

10,899

160,651

181,114

Distributors

-

0.1%

Core-Mark

Holding

Co.,

Inc.

2,387

92,353

Diversified

Consumer

Services

-

0.4%

American

Public

Education,

Inc.

*

7,704

274,494

Houghton

Mifflin

Harcourt

Co.

*

19,241

146,616

Laureate

Education,

Inc.,

Class

A

*

5,783

78,591

INVESTMENTS

SHARES

VALUE

($)

Diversified

Consumer

Services

-

0.4%

(continued)

Perdoceo

Education

Corp.

*

5,000

59,800

WW

International,

Inc.

*

1,521

47,577

607,078

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.

*

5,494

217,672

Diversified

Telecommunication

Services

-

0.2%

Consolidated

Communications

Holdings,

Inc.

*

33,063

238,054

Electric

Utilities

-

0.1%

PNM

Resources,

Inc.

4,384

215,035

Electrical

Equipment

-

1.6%

Atkore

,

Inc.

*

11,522

828,432

Bloom

Energy

Corp.,

Class

A

*

2,564

69,356

Encore

Wire

Corp.

5,463

366,731

EnerSys

631

57,295

FuelCell

Energy,

Inc.

*

9,691

139,647

Orion

Energy

Systems,

Inc.

*

8,972

62,445

Plug

Power,

Inc.

*

14,719

527,529

Powell

Industries,

Inc.

5,196

175,989

Vicor

Corp.

*

701

59,606

2,287,030

Electronic

Equipment,

Instruments

&

Components

-

2.7%

Arlo

Technologies,

Inc.

*

8,536

53,606

ePlus

,

Inc.

*

4,166

415,100

Fabrinet

(Thailand)

*

5,468

494,253

II-VI,

Inc.

*

1,826

124,844

Insight

Enterprises,

Inc.

*

8,746

834,543

Kimball

Electronics,

Inc.

*

5,414

139,681

Methode

Electronics,

Inc.

9,348

392,429

PC

Connection,

Inc.

8,477

393,248

Plexus

Corp.

*

629

57,767

Sanmina

Corp.

*

21,447

887,477

ScanSource

,

Inc.

*

1,399

41,900

Vishay

Intertechnology

,

Inc.

2,321

55,890

3,890,738

Energy

Equipment

&

Services

-

1.0%

Archrock

,

Inc.

17,961

170,450

Helix

Energy

Solutions

Group,

Inc.

*

7,605

38,405

Nabors

Industries

Ltd.

*

1,064

99,431

National

Energy

Services

Reunited

Corp.

*

38,354

474,439

Newpark

Resources,

Inc.

*

13,057

40,999

ProPetro

Holding

Corp.

*

53,512

570,438

1,394,162

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.4%

American

Finance

Trust,

Inc.

18,905

185,647

Bluerock

Residential

Growth

REIT,

Inc.

4,225

42,715

CatchMark

Timber

Trust,

Inc.,

Class

A

4,115

41,891

10

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.4%

(continued)

Chatham

Lodging

Trust

*

3,112

40,954

City

Office

REIT,

Inc.

4,033

42,830

EastGroup

Properties,

Inc.

1,890

270,799

Four

Corners

Property

Trust,

Inc.

1,678

45,977

Global

Net

Lease,

Inc.

2,396

43,272

Healthcare

Realty

Trust,

Inc.

8,582

260,206

Independence

Realty

Trust,

Inc.

6,241

94,863

Industrial

Logistics

Properties

Trust

4,209

97,354

Innovative

Industrial

Properties,

Inc.

228

41,077

iStar

,

Inc.

2,549

45,321

Kite

Realty

Group

Trust

3,416

65,895

Lexington

Realty

Trust

14,233

158,129

Monmouth

Real

Estate

Investment

Corp.

1,998

35,345

National

Health

Investors,

Inc.

1,294

93,530

New

Senior

Investment

Group,

Inc.

13,025

81,146

NexPoint

Residential

Trust,

Inc.

1,268

58,442

Office

Properties

Income

Trust

7,270

200,070

One

Liberty

Properties,

Inc.

1,902

42,358

Physicians

Realty

Trust

8,095

143,039

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

13,279

230,656

PotlatchDeltic

Corp.

1,410

74,617

QTS

Realty

Trust,

Inc.,

Class

A

1,532

95,045

Sabra

Health

Care

REIT,

Inc.

10,777

187,089

Service

Properties

Trust

7,105

84,265

UMH

Properties,

Inc.

2,324

44,551

Uniti

Group,

Inc.

18,061

199,213

Urban

Edge

Properties

12,023

198,620

Urstadt

Biddle

Properties,

Inc.,

Class

A

2,517

41,908

Whitestone

REIT

26,713

259,116

3,545,940

Food

&

Staples

Retailing

-

1.0%

BJ's

Wholesale

Club

Holdings,

Inc.

*

2,854

128,030

Ingles

Markets,

Inc.,

Class

A

7,717

475,753

Performance

Food

Group

Co.

*

7,347

423,261

SpartanNash

Co.

6,118

120,096

United

Natural

Foods,

Inc.

*

7,626

251,201

Weis

Markets,

Inc.

2,014

113,831

1,512,172

Food

Products

-

1.5%

B&G

Foods,

Inc.

12,720

395,083

Darling

Ingredients,

Inc.

*

7,943

584,446

John

B

Sanfilippo

&

Son,

Inc.

6,645

600,509

Seneca

Foods

Corp.,

Class

A

*

12,490

588,154

2,168,192

Gas

Utilities

-

0.0%

(e)

ONE

Gas,

Inc.

785

60,374

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

1.9%

Accuray

,

Inc.

*

8,538

42,263

Cantel

Medical

Corp.

*

2,330

186,027

Co-Diagnostics,

Inc.

*(b)

11,726

111,866

CONMED

Corp.

1,602

209,205

Electromed

,

Inc.

*

8,550

90,117

Integer

Holdings

Corp.

*

4,048

372,821

Invacare

Corp.

29,836

239,285

LeMaitre

Vascular,

Inc.

1,143

55,755

Meridian

Bioscience,

Inc.

*

9,263

243,154

Merit

Medical

Systems,

Inc.

*

5,491

328,801

Neogen

Corp.

*

3,001

266,759

Nevro

Corp.

*

1,000

139,500

NuVasive

,

Inc.

*

2,078

136,234

Retractable

Technologies,

Inc.

*(b)

10,316

132,251

SeaSpine

Holdings

Corp.

*

2,565

44,631

STAAR

Surgical

Co.

*

480

50,597

Surmodics

,

Inc.

*

819

45,921

Zynex

,

Inc.

*(b)

5,537

84,550

2,779,737

Health

Care

Providers

&

Services

-

3.4%

Addus

HomeCare

Corp.

*

430

44,974

AMN

Healthcare

Services,

Inc.

*

3,616

266,499

Community

Health

Systems,

Inc.

*

18,014

243,549

CorVel

Corp.

*

2,593

266,016

Covetrus

,

Inc.

*

1,384

41,478

Ensign

Group,

Inc.

(The)

4,930

462,631

Joint

Corp.

(The)

*

4,882

236,142

LHC

Group,

Inc.

*

1,746

333,853

Magellan

Health,

Inc.

*

1,311

122,238

ModivCare

,

Inc.

*

1,311

194,185

National

Research

Corp.

*

3,848

180,202

Owens

&

Minor,

Inc.

17,886

672,335

Patterson

Cos.,

Inc.

10,730

342,824

Select

Medical

Holdings

Corp.

*

10,100

344,410

Tenet

Healthcare

Corp.

*

4,187

217,724

Triple-S

Management

Corp.,

Class

B

*(b)

29,367

764,423

Viemed

Healthcare,

Inc.

*

16,392

165,887

4,899,370

Health

Care

Technology

-

1.3%

Computer

Programs

and

Systems,

Inc.

8,963

274,268

Evolent

Health,

Inc.,

Class

A

*

8,955

180,891

HMS

Holdings

Corp.

*

3,963

146,532

Inovalon

Holdings,

Inc.,

Class

A

*

7,954

228,916

Inspire

Medical

Systems,

Inc.

*

206

42,640

NextGen

Healthcare,

Inc.

*

17,922

324,388

Omnicell

,

Inc.

*

4,004

519,999

Schrodinger,

Inc.

*

1,557

118,784

Simulations

Plus,

Inc.

1,686

106,623

1,943,041

11

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

2.8%

BJ's

Restaurants,

Inc.

*

1,110

64,469

Bloomin

'

Brands,

Inc.

*

4,268

115,449

Boyd

Gaming

Corp.

*

5,273

310,896

Brinker

International,

Inc.

*

4,655

330,784

Caesars

Entertainment,

Inc.

*

4,574

399,996

Carrols

Restaurant

Group,

Inc.

*

27,234

162,996

Churchill

Downs,

Inc.

1,131

257,212

Cracker

Barrel

Old

Country

Store,

Inc.

372

64,311

Dine

Brands

Global,

Inc.

*

518

46,636

El

Pollo

Loco

Holdings,

Inc.

*

2,818

45,426

Fiesta

Restaurant

Group,

Inc.

*

17,754

223,523

International

Game

Technology

plc

*

12,687

203,626

Jack

in

the

Box,

Inc.

402

44,132

Marriott

Vacations

Worldwide

Corp.

*

1,738

302,725

Papa

John's

International,

Inc.

1,229

108,939

Penn

National

Gaming,

Inc.

*

5,835

611,741

RCI

Hospitality

Holdings,

Inc.

2,387

151,789

Red

Rock

Resorts,

Inc.,

Class

A

*

2,270

73,979

Texas

Roadhouse,

Inc.

*

4,893

469,435

3,988,064

Household

Durables

-

3.3%

Beazer

Homes

USA,

Inc.

*

13,549

283,445

Century

Communities,

Inc.

*

8,549

515,676

Green

Brick

Partners,

Inc.

*

3,785

85,844

Helen

of

Troy

Ltd.

*

1,166

245,630

Hooker

Furniture

Corp.

8,259

301,123

iRobot

Corp.

*

503

61,456

KB

Home

8,779

408,487

La-Z-Boy,

Inc.

4,817

204,626

LGI

Homes,

Inc.

*

1,219

182,009

Lovesac

Co.

(The)

*

2,132

120,671

M/I

Homes,

Inc.

*

4,825

285,013

MDC

Holdings,

Inc.

5,552

329,789

Meritage

Homes

Corp.

*

4,821

443,146

Purple

Innovation,

Inc.

*

3,435

108,718

Sonos

,

Inc.

*

1,534

57,479

Taylor

Morrison

Home

Corp.

*

5,825

179,468

TopBuild

Corp.

*

1,876

392,891

Tri

Pointe

Homes,

Inc.

*

19,589

398,832

Turtle

Beach

Corp.

*

5,239

139,724

Universal

Electronics,

Inc.

*

1,590

87,402

4,831,429

Household

Products

-

0.2%

WD-40

Co.

879

269,132

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Brookfield

Renewable

Corp.

6,529

305,557

Clearway

Energy,

Inc.,

Class

C

5,241

147,482

Ormat

Technologies,

Inc.

2,731

214,465

667,504

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

1.9%

American

Equity

Investment

Life

Holding

Co.

4,554

143,588

CNO

Financial

Group,

Inc.

6,688

162,452

Employers

Holdings,

Inc.

13,872

597,328

Genworth

Financial,

Inc.,

Class

A

*

36,223

120,260

Heritage

Insurance

Holdings,

Inc.

3,830

42,436

Horace

Mann

Educators

Corp.

11,281

487,452

Kinsale

Capital

Group,

Inc.

393

64,766

National

Western

Life

Group,

Inc.,

Class

A

981

244,269

Selective

Insurance

Group,

Inc.

4,313

312,865

Stewart

Information

Services

Corp.

6,315

328,570

Trupanion

,

Inc.

*

1,802

137,330

Universal

Insurance

Holdings,

Inc.

2,719

38,991

2,680,307

Interactive

Media

&

Services

-

0.1%

Cars.com,

Inc.

*

7,567

98,068

TrueCar

,

Inc.

*

13,249

63,397

161,465

Internet

&

Direct

Marketing

Retail

-

2.0%

1-800-Flowers.com,

Inc.,

Class

A

*

19,277

532,238

Duluth

Holdings,

Inc.,

Class

B

*(b)

18,980

321,521

Groupon,

Inc.

*

3,551

179,485

Lands'

End,

Inc.

*

13,643

338,483

Liquidity

Services,

Inc.

*

8,743

162,445

Magnite

,

Inc.

*

2,741

114,053

PetMed

Express,

Inc.

(b)

6,282

220,969

Shutterstock

,

Inc.

3,014

268,367

Stamps.com,

Inc.

*

2,148

428,548

Stitch

Fix,

Inc.,

Class

A

*

4,107

203,461

Waitr

Holdings,

Inc.

*(b)

23,794

69,716

2,839,286

IT

Services

-

2.4%

BM

Technologies,

Inc.

(3)*(c)

3,198

31,818

Cardtronics

plc,

Class

A

*

1,842

71,470

Conduent

,

Inc.

*

39,469

262,864

CSG

Systems

International,

Inc.

2,538

113,931

EVERTEC,

Inc.

6,528

242,972

GTT

Communications,

Inc.

*(b)

61,495

112,536

Hackett

Group,

Inc.

(The)

11,143

182,634

International

Money

Express,

Inc.

*

16,947

254,374

MAXIMUS,

Inc.

5,923

527,384

NIC,

Inc.

3,167

107,456

Perficient

,

Inc.

*

3,774

221,609

Perspecta

,

Inc.

7,584

220,315

Sykes

Enterprises,

Inc.

*

18,359

809,265

TTEC

Holdings,

Inc.

3,352

336,708

3,495,336

Leisure

Products

-

2.4%

Acushnet

Holdings

Corp.

3,239

133,868

Callaway

Golf

Co.

3,981

106,492

12

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Leisure

Products

-

2.4%

(continued)

Johnson

Outdoors,

Inc.,

Class

A

4,990

712,322

Malibu

Boats,

Inc.,

Class

A

*

4,788

381,508

MasterCraft

Boat

Holdings,

Inc.

*

3,779

100,484

Nautilus,

Inc.

*

21,765

340,405

Smith

&

Wesson

Brands,

Inc.

23,883

416,758

Sturm

Ruger

&

Co.,

Inc.

3,065

202,504

Vista

Outdoor,

Inc.

*

17,297

554,715

YETI

Holdings,

Inc.

*

7,280

525,689

3,474,745

Life

Sciences

Tools

&

Services

-

1.4%

Fluidigm

Corp.

*(b)

16,915

76,456

Luminex

Corp.

8,790

280,401

Medpace

Holdings,

Inc.

*

5,849

959,528

NeoGenomics

,

Inc.

*

5,053

243,706

Pacific

Biosciences

of

California,

Inc.

*

14,616

486,859

Quanterix

Corp.

*

878

51,337

2,098,287

Machinery

-

2.6%

Altra

Industrial

Motion

Corp.

722

39,941

Astec

Industries,

Inc.

4,095

308,845

Chart

Industries,

Inc.

*

278

39,573

Columbus

McKinnon

Corp.

6,930

365,627

Federal

Signal

Corp.

2,937

112,487

Franklin

Electric

Co.,

Inc.

764

60,310

Greenbrier

Cos.,

Inc.

(The)

2,377

112,242

Hillenbrand,

Inc.

884

42,176

Hyster

-Yale

Materials

Handling,

Inc.

3,263

284,273

Kennametal,

Inc.

1,084

43,327

Lydall

,

Inc.

*

2,575

86,880

Meritor,

Inc.

*

17,445

513,232

Miller

Industries,

Inc.

6,107

282,082

Mueller

Industries,

Inc.

18,631

770,392

Navistar

International

Corp.

*

2,889

127,203

Rexnord

Corp.

5,807

273,452

Shyft

Group,

Inc.

(The)

5,859

217,955

Wabash

National

Corp.

4,895

92,026

3,772,023

Marine

-

0.1%

Matson,

Inc.

2,215

147,740

Media

-

0.1%

AMC

Networks,

Inc.,

Class

A

*

567

30,142

Fluent,

Inc.

*

7,012

28,749

TechTarget

,

Inc.

*

548

38,058

TEGNA,

Inc.

3,553

66,903

163,852

Metals

&

Mining

-

1.4%

Arconic

Corp.

*

10,490

266,341

Caledonia

Mining

Corp.

plc

(South

Africa)

9,231

131,911

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

1.4%

(continued)

Coeur

Mining,

Inc.

*

4,507

40,698

Commercial

Metals

Co.

21,209

654,086

Ryerson

Holding

Corp.

*

16,044

273,390

Schnitzer

Steel

Industries,

Inc.,

Class

A

1,047

43,754

SunCoke

Energy,

Inc.

15,698

110,043

TimkenSteel

Corp.

*

21,976

258,218

Worthington

Industries,

Inc.

2,738

183,692

1,962,133

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

Apollo

Commercial

Real

Estate

Finance,

Inc.

10,665

148,990

Blackstone

Mortgage

Trust,

Inc.,

Class

A

9,163

284,053

Chimera

Investment

Corp.

12,242

155,474

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

4,604

258,284

PennyMac

Mortgage

Investment

Trust

6,655

130,438

977,239

Multiline

Retail

-

0.3%

Big

Lots,

Inc.

2,559

174,780

Macy's,

Inc.

*

20,082

325,127

499,907

Multi-Utilities

-

0.4%

Avista

Corp.

3,368

160,822

Black

Hills

Corp.

3,256

217,403

NorthWestern

Corp.

2,627

171,281

549,506

Oil,

Gas

&

Consumable

Fuels

-

1.9%

Antero

Resources

Corp.

*

24,367

248,543

Bonanza

Creek

Energy,

Inc.

*

18,402

657,503

CNX

Resources

Corp.

*

15,686

230,584

CONSOL

Energy,

Inc.

*

4,290

41,699

Diamond

S

Shipping,

Inc.

*

7,303

73,249

Matador

Resources

Co.

5,720

134,134

Ovintiv

,

Inc.

8,139

193,871

PDC

Energy,

Inc.

*

9,194

316,274

Range

Resources

Corp.

*

9,153

94,551

Renewable

Energy

Group,

Inc.

*

3,838

253,462

SM

Energy

Co.

17,576

287,719

Southwestern

Energy

Co.

*

41,916

194,909

World

Fuel

Services

Corp.

1,905

67,056

2,793,554

Paper

&

Forest

Products

-

0.7%

Clearwater

Paper

Corp.

*

5,254

197,655

Louisiana-Pacific

Corp.

7,162

397,205

Verso

Corp.,

Class

A

25,131

366,661

961,521

13

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Personal

Products

-

0.8%

Edgewell

Personal

Care

Co.

7,187

284,605

Medifast

,

Inc.

2,362

500,319

USANA

Health

Sciences,

Inc.

*

3,138

306,269

Veru

,

Inc.

*

5,077

54,705

1,145,898

Pharmaceuticals

-

0.6%

Collegium

Pharmaceutical,

Inc.

*

4,027

95,440

Corcept

Therapeutics,

Inc.

*

15,134

360,038

Endo

International

plc

*

6,380

47,276

Evofem

Biosciences,

Inc.

*(b)

31,743

55,550

Phibro

Animal

Health

Corp.,

Class

A

5,358

130,735

Prestige

Consumer

Healthcare,

Inc.

*

2,551

112,448

Supernus

Pharmaceuticals,

Inc.

*

1,804

47,229

848,716

Professional

Services

-

1.9%

ASGN,

Inc.

*

458

43,712

Barrett

Business

Services,

Inc.

1,855

127,735

CBIZ,

Inc.

*

1,492

48,729

ICF

International,

Inc.

588

51,391

Insperity

,

Inc.

561

46,978

KBR,

Inc.

8,809

338,177

Kelly

Services,

Inc.,

Class

A

*

33,600

748,272

Kforce

,

Inc.

21,500

1,152,400

Resources

Connection,

Inc.

3,815

51,655

TriNet

Group,

Inc.

*

534

41,631

TrueBlue

,

Inc.

*

3,297

72,600

2,723,280

Real

Estate

Management

&

Development

-

0.7%

Cushman

&

Wakefield

plc

*

2,556

41,714

eXp

World

Holdings,

Inc.

*

8,882

404,575

Forestar

Group,

Inc.

*

2,660

61,925

Realogy

Holdings

Corp.

*

14,832

224,408

Redfin

Corp.

*

4,718

314,172

1,046,794

Road

&

Rail

-

1.2%

ArcBest

Corp.

11,325

796,940

Avis

Budget

Group,

Inc.

*

1,453

105,401

Covenant

Logistics

Group,

Inc.

*

4,267

87,857

Marten

Transport

Ltd.

6,409

108,761

US

Xpress

Enterprises,

Inc.,

Class

A

*

18,848

221,464

Werner

Enterprises,

Inc.

8,367

394,671

1,715,094

Semiconductors

&

Semiconductor

Equipment

-

5.0%

Advanced

Energy

Industries,

Inc.

1,330

145,196

Alpha

&

Omega

Semiconductor

Ltd.

*

1,177

38,488

Amkor

Technology,

Inc.

45,884

1,087,910

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

5.0%

(continued)

Axcelis

Technologies,

Inc.

*

2,277

93,562

Brooks

Automation,

Inc.

4,369

356,729

CMC

Materials,

Inc.

2,347

414,926

Diodes,

Inc.

*

6,970

556,485

FormFactor

,

Inc.

*

16,501

744,360

Ichor

Holdings

Ltd.

*

5,628

302,787

Lattice

Semiconductor

Corp.

*

9,396

423,008

NeoPhotonics

Corp.

*

8,033

95,994

Onto

Innovation,

Inc.

*

3,224

211,849

Photronics

,

Inc.

*

30,879

397,104

Power

Integrations,

Inc.

7,411

603,848

Semtech

Corp.

*

959

66,171

SiTime

Corp.

*

402

39,637

SMART

Global

Holdings,

Inc.

*

3,901

179,524

Synaptics

,

Inc.

*

5,098

690,371

Ultra

Clean

Holdings,

Inc.

*

12,569

729,505

7,177,454

Software

-

3.2%

ACI

Worldwide,

Inc.

*

1,139

43,339

Alarm.com

Holdings,

Inc.

*

491

42,413

American

Software,

Inc.,

Class

A

5,824

120,557

Appfolio

,

Inc.,

Class

A

*

1,355

191,610

Appian

Corp.

*(b)

394

52,382

Avaya

Holdings

Corp.

*

6,399

179,364

Blackline,

Inc.

*

2,407

260,919

Box,

Inc.,

Class

A

*

2,029

46,586

Cerence

,

Inc.

*(b)

2,747

246,076

ChannelAdvisor

Corp.

*

13,348

314,345

Cloudera,

Inc.

*

10,812

131,582

Digital

Turbine,

Inc.

*

5,789

465,204

Ebix

,

Inc.

4,038

129,337

Intelligent

Systems

Corp.

*(b)

1,582

64,720

J2

Global,

Inc.

*

5,737

687,637

Mitek

Systems,

Inc.

*

6,033

87,961

Progress

Software

Corp.

5,680

250,261

Q2

Holdings,

Inc.

*

639

64,028

Qualys

,

Inc.

*

786

82,357

Sapiens

International

Corp.

NV

(Israel)

1,359

43,203

SecureWorks

Corp.,

Class

A

*

23,219

310,670

Smith

Micro

Software,

Inc.

*

20,624

113,535

SPS

Commerce,

Inc.

*

5,029

499,430

Verint

Systems,

Inc.

*

1,455

66,188

Xperi

Holding

Corp.

8,905

193,862

4,687,566

Specialty

Retail

-

4.6%

Abercrombie

&

Fitch

Co.,

Class

A

*

6,331

217,217

Asbury

Automotive

Group,

Inc.

*

2,821

554,326

Bed

Bath

&

Beyond,

Inc.

*

6,879

200,523

Camping

World

Holdings,

Inc.,

Class

A

7,126

259,244

Citi

Trends,

Inc.

*

2,530

211,963

Conn's,

Inc.

*

4,067

79,103

14

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

4.6%

(continued)

GameStop

Corp.,

Class

A

*(b)

882

167,421

Genesco,

Inc.

*

3,420

162,450

Group

1

Automotive,

Inc.

2,948

465,165

Haverty

Furniture

Cos.,

Inc.

5,257

195,508

Hibbett

Sports,

Inc.

*

6,252

430,700

Lithia

Motors,

Inc.,

Class

A

1,500

585,135

Lumber

Liquidators

Holdings,

Inc.

*

8,574

215,379

MarineMax

,

Inc.

*

8,049

397,299

Murphy

USA,

Inc.

1,573

227,393

ODP

Corp.

(The)

*

9,864

427,013

Rent-A-Center,

Inc.

748

43,130

RH

*

250

149,150

Sally

Beauty

Holdings,

Inc.

*

11,415

229,784

Shoe

Carnival,

Inc.

1,182

73,142

Signet

Jewelers

Ltd.

*

5,769

334,487

Sleep

Number

Corp.

*

3,460

496,475

Sonic

Automotive,

Inc.,

Class

A

4,792

237,539

Sportsman's

Warehouse

Holdings,

Inc.

*

3,441

59,323

Urban

Outfitters,

Inc.

*

3,368

125,256

Zumiez

,

Inc.

*

1,278

54,826

6,598,951

Technology

Hardware,

Storage

&

Peripherals

-

0.5%

3D

Systems

Corp.

*

1,413

38,773

Avid

Technology,

Inc.

*

6,235

131,621

Diebold

Nixdorf,

Inc.

*

10,467

147,898

Super

Micro

Computer,

Inc.

*

9,404

367,320

685,612

Textiles,

Apparel

&

Luxury

Goods

-

1.5%

Crocs,

Inc.

*

2,048

164,761

Deckers

Outdoor

Corp.

*

1,583

523,055

Fossil

Group,

Inc.

*

8,493

105,313

G-III

Apparel

Group

Ltd.

*

12,955

390,464

Kontoor

Brands,

Inc.

7,405

359,365

Lakeland

Industries,

Inc.

*

6,865

191,259

Superior

Group

of

Cos.,

Inc.

14,461

367,599

Vera

Bradley,

Inc.

*

3,903

39,420

2,141,236

Thrifts

&

Mortgage

Finance

-

2.8%

Axos

Financial,

Inc.

*

1,029

48,373

Flagstar

Bancorp,

Inc.

12,558

566,366

HomeStreet

,

Inc.

5,139

226,476

Mr

Cooper

Group,

Inc.

*

28,268

982,596

PennyMac

Financial

Services,

Inc.

16,615

1,111,045

Radian

Group,

Inc.

17,777

413,315

Walker

&

Dunlop,

Inc.

6,798

698,426

Waterstone

Financial,

Inc.

3,173

64,793

4,111,390

INVESTMENTS

SHARES

VALUE

($)

Tobacco

-

0.1%

Turning

Point

Brands,

Inc.

583

30,415

Vector

Group

Ltd.

6,859

95,683

126,098

Trading

Companies

&

Distributors

-

2.9%

Boise

Cascade

Co.

17,992

1,076,461

CAI

International,

Inc.

2,263

103,012

DXP

Enterprises,

Inc.

*

1,521

45,888

GMS,

Inc.

*

7,975

332,956

Rush

Enterprises,

Inc.,

Class

A

16,336

814,023

SiteOne

Landscape

Supply,

Inc.

*

665

113,542

Textainer

Group

Holdings

Ltd.

(China)

*

7,363

210,950

Triton

International

Ltd.

3,107

170,854

Veritiv

Corp.

*

25,972

1,104,849

WESCO

International,

Inc.

*

2,209

191,145

4,163,680

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

3,062

149,456

TOTAL

COMMON

STOCKS

(Cost

$89,030,933)

142,448,753

PREFERRED

STOCKS

-

0.1%

Media

-

0.0%

(e)

Liberty

Broadband

Corp.,

Series

A,

7.00%,

3/10/2039

(f)

2,832

75,756

Trading

Companies

&

Distributors

-

0.1%

WESCO

International,

Inc.,

Series

A,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

10.33%),

10.63%,

6/22/2025

(f)(g)

2,999

92,309

TOTAL

PREFERRED

STOCKS

(Cost

$105,425)

168,065

SHORT-TERM

INVESTMENTS

-

1.5%

INVESTMENT

COMPANIES

-

1.5%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(h)

(Cost

$2,213,873)

2,214,757

2,214,092

15

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

1.9%

Investment

Companies

-

1.9%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(h)(

i

)

1,047,310

1,047,310

Limited

Purpose

Cash

Investment

Fund

0.01%

(h)(

i

)

1,673,367

1,672,865

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$2,720,677)

2,720,175

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

101.9%

(Cost

$94,070,908)

147,551,085

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(1.9)%

(j)

(2,689,201)

NET

ASSETS

-

100.0%

144,861,884

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

788,583

0.6

%

Consumer

Discretionary

28,454,880

19.6

Consumer

Staples

5,915,949

4.1

Energy

4,187,716

2.9

Financials

20,410,670

14.1

Health

Care

22,325,619

15.4

Industrials

27,698,074

19.1

Information

Technology

22,177,516

15.4

Materials

4,572,657

3.2

Real

Estate

4,592,734

3.1

Utilities

1,492,420

1.0

Short-Term

Investments

2,214,092

1.5

Securities

Lending

Collateral

2,720,175

1.9

Total

Investments

In

Securities

At

Value

147,551,085

101.9

Liabilities

in

Excess

of

Other

Assets

(j

)

(2,689,201)

(1.9)

Net

Assets

$

144,861,884

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2021,

the

value

of

these

securities

amounted

to

$326,692

or

0.23%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$2,630,155.

(c)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$105,185,

which

represents

approximately

0.07%

of

net

assets

of

the

fund.

(d)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$186,534,

which

represents

approximately

0.13%

of

net

assets

of

the

fund.

(e)

Represents

less

than

0.05%

of

net

assets.

(f)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

March

31,

2021.

The

maturity

date

reflects

the

next

call

date.

(g)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2021.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(i)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(j)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

13

6/2021

USD

$

1,444,625

$

(86,666)

$

(86,666)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

199,317

$

199,317

16

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.4%

Australia

-

6.6%

Afterpay

Ltd.

*

12,662

988,954

Aristocrat

Leisure

Ltd.

8,511

223,292

Aurizon

Holdings

Ltd.

850,641

2,527,866

BHP

Group

Ltd.

75,493

2,618,808

BHP

Group

plc

75,993

2,187,993

BlueScope

Steel

Ltd.

282,508

4,168,906

Crown

Resorts

Ltd.

*

93,251

835,902

CSL

Ltd.

4,834

976,970

Dexus

,

REIT

138,456

1,029,512

Evolution

Mining

Ltd.

106,979

333,284

Fortescue

Metals

Group

Ltd.

381,511

5,814,458

Goodman

Group,

REIT

72,718

1,004,115

GPT

Group

(The),

REIT

232,279

814,832

REA

Group

Ltd.

9,570

1,035,606

Rio

Tinto

Ltd.

8,995

760,231

Rio

Tinto

plc

44,322

3,381,245

Scentre

Group,

REIT

354,218

762,665

South32

Ltd.

839,139

1,800,917

Tabcorp

Holdings

Ltd.

341,392

1,219,715

Wesfarmers

Ltd.

16,013

643,060

33,128,331

—

Belgium

-

0.9%

Ageas

SA/NV

29,063

1,755,004

Etablissements

Franz

Colruyt

NV

16,090

959,249

Groupe

Bruxelles

Lambert

SA

1,467

151,755

Proximus

SADP

80,753

1,757,017

4,623,025

—

Canada

-

10.0%

Bank

of

Montreal

(1)

12,049

1,074,026

Bank

of

Nova

Scotia

(The)

(1)

8,454

528,888

Barrick

Gold

Corp.

(1)

65,672

1,302,779

Canadian

Apartment

Properties,

REIT

(1)

3,482

149,233

Canadian

Imperial

Bank

of

Commerce

(1)

17,788

1,741,715

Canadian

Pacific

Railway

Ltd.

(1)

9,792

3,740,081

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

37,618

5,338,121

CCL

Industries,

Inc.,

Class

B

(1)

4,615

255,299

CGI,

Inc.

(1)*

38,306

3,190,795

CI

Financial

Corp.

(1)

184,774

2,668,615

Constellation

Software,

Inc.

(1)

1,663

2,322,457

Empire

Co.

Ltd.,

Class

A

(1)

15,112

471,145

Great-West

Lifeco

,

Inc.

(1)

6,006

159,816

iA

Financial

Corp.,

Inc.

(1)

20,908

1,136,822

IGM

Financial,

Inc.

(1)

32,384

986,956

Kinross

Gold

Corp.

(1)

762,843

5,080,763

Kirkland

Lake

Gold

Ltd.

(1)

7,689

259,665

Magna

International,

Inc.

(1)

52,444

4,618,845

Manulife

Financial

Corp.

(1)

69,709

1,499,351

National

Bank

of

Canada

(1)

18,499

1,256,672

Open

Text

Corp.

(1)

69,799

3,328,047

Pan

American

Silver

Corp.

(1)

7,737

232,104

Parkland

Corp.

(1)

19,981

600,368

Power

Corp.

of

Canada

(1)

5,259

138,223

Quebecor,

Inc.,

Class

B

(1)

28,453

763,909

INVESTMENTS

SHARES

VALUE

($)

Canada

-

10.0%

(continued)

Royal

Bank

of

Canada

(1)

23,203

2,139,358

Shopify,

Inc.,

Class

A

(1)*

1,554

1,715,657

Teck

Resources

Ltd.,

Class

B

(1)

95,122

1,821,904

Toronto-Dominion

Bank

(The)

(1)

12,139

791,687

Yamana

Gold,

Inc.

(1)

204,071

886,630

50,199,931

—

Chile

-

0.1%

Lundin

Mining

Corp.

(1)

26,923

277,007

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

145,500

509,017

Denmark

-

2.5%

Coloplast

A/S,

Class

B

5,961

896,219

Demant

A/S

*

5,064

214,362

DSV

Panalpina

A/S

5,938

1,164,701

Genmab

A/S

*

2,453

806,776

GN

Store

Nord

A/S

4,629

364,343

Novo

Nordisk

A/S,

Class

B

56,397

3,800,235

Pandora

A/S

51,003

5,454,741

12,701,377

—

Finland

-

1.5%

Kesko

OYJ,

Class

B

50,333

1,539,301

Kone

OYJ,

Class

B

22,846

1,867,345

Neste

OYJ

32,823

1,743,089

Nokia

OYJ

*

124,892

498,773

Orion

OYJ,

Class

B

47,181

1,890,387

Wartsila

OYJ

Abp

12,752

133,677

7,672,572

—

France

-

8.1%

Arkema

SA

11,265

1,364,252

Atos

SE

28,731

2,240,007

AXA

SA

13,613

365,430

BNP

Paribas

SA

*

65,235

3,974,724

Bollore

SA

58,919

284,337

Carrefour

SA

358,113

6,483,854

Cie

de

Saint-Gobain

59,147

3,492,722

Cie

Generale

des

Etablissements

Michelin

SCA

2,784

416,960

CNP

Assurances

55,816

1,058,656

Credit

Agricole

SA

111,077

1,608,641

Electricite

de

France

SA

*

175,954

2,360,286

Engie

SA

12,876

182,908

Faurecia

SE

3,144

167,809

Ipsen

SA

20,922

1,793,532

La

Francaise

des

Jeux

SAEM

(a)

5,777

262,519

L'Oreal

SA

7,631

2,923,293

LVMH

Moet

Hennessy

Louis

Vuitton

SE

468

312,601

Orange

SA

52,321

643,860

Publicis

Groupe

SA

45,751

2,790,002

Sanofi

49,521

4,896,842

Schneider

Electric

SE

16,746

2,551,005

Unibail

-

Rodamco

-Westfield,

REIT

*

4,856

387,986

Vivendi

SE

12,414

407,473

40,969,699

—

17

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

8.9%

Allianz

SE

(Registered)

4,879

1,240,999

Bayer

AG

(Registered)

17,231

1,091,980

Bayerische

Motoren

Werke

AG

28,120

2,918,198

Brenntag

SE

41,214

3,520,867

Daimler

AG

(Registered)

39,120

3,491,450

Delivery

Hero

SE

*(a)

10,645

1,379,775

Deutsche

Boerse

AG

5,597

930,047

Deutsche

Post

AG

(Registered)

27,693

1,519,262

Deutsche

Wohnen

SE

9,341

435,743

Evonik

Industries

AG

5,927

209,727

Fresenius

Medical

Care

AG

&

Co.

KGaA

2,418

178,114

Fresenius

SE

&

Co.

KGaA

12,270

546,756

GEA

Group

AG

15,684

643,291

HelloFresh

SE

*

65,793

4,902,098

HOCHTIEF

AG

4,913

439,850

Infineon

Technologies

AG

99,417

4,229,955

KION

Group

AG

4,200

414,984

Knorr-

Bremse

AG

2,590

323,212

SAP

SE

6,543

802,543

Siemens

AG

(Registered)

7,509

1,233,816

Siemens

Energy

AG

*

3,772

135,401

Volkswagen

AG

(Preference)

30,154

8,440,731

Vonovia

SE

13,726

896,984

Zalando

SE

*(a)

51,850

5,080,656

45,006,439

—

Hong

Kong

-

3.2%

CK

Asset

Holdings

Ltd.

641,500

3,905,183

CLP

Holdings

Ltd.

41,500

404,073

Hong

Kong

Exchanges

&

Clearing

Ltd.

32,300

1,916,227

Link,

REIT

39,000

355,826

PCCW

Ltd.

299,000

168,855

Sun

Hung

Kai

Properties

Ltd.

38,500

582,961

Swire

Pacific

Ltd.,

Class

A

147,500

1,111,115

WH

Group

Ltd.

(a)

6,201,000

5,037,883

Xinyi

Glass

Holdings

Ltd.

870,000

2,858,029

16,340,152

—

Italy

-

2.1%

Assicurazioni

Generali

SpA

87,069

1,739,562

DiaSorin

SpA

25,104

4,027,814

Enel

SpA

117,323

1,167,054

Prysmian

SpA

71,480

2,320,963

Telecom

Italia

SpA

2,309,525

1,249,414

10,504,807

—

Japan

-

20.4%

Acom

Co.

Ltd.

26,500

123,431

Bandai

Namco

Holdings,

Inc.

5,500

393,181

Brother

Industries

Ltd.

9,300

206,557

Chubu

Electric

Power

Co.,

Inc.

32,800

422,644

Dai-ichi

Life

Holdings,

Inc.

12,500

214,874

Daiwa

House

Industry

Co.

Ltd.

19,500

572,308

ENEOS

Holdings,

Inc.

1,038,900

4,713,357

Fujitsu

Ltd.

35,900

5,223,941

Fukuoka

Financial

Group,

Inc.

13,400

254,253

Hitachi

Ltd.

21,500

974,560

Honda

Motor

Co.

Ltd.

5,200

156,757

INVESTMENTS

SHARES

VALUE

($)

Japan

-

20.4%

(continued)

Iida

Group

Holdings

Co.

Ltd.

26,400

639,690

ITOCHU

Corp.

151,300

4,912,109

Japan

Post

Holdings

Co.

Ltd.

*

222,700

1,984,756

Japan

Post

Insurance

Co.

Ltd.

242,000

4,971,317

Japan

Tobacco,

Inc.

35,000

672,364

Kajima

Corp.

58,300

829,220

KDDI

Corp.

74,900

2,307,721

Kyocera

Corp.

27,700

1,762,550

M3,

Inc.

12,400

851,236

Mitsubishi

Electric

Corp.

64,900

991,870

Mitsubishi

Estate

Co.

Ltd.

26,800

469,308

Mitsubishi

Gas

Chemical

Co.,

Inc.

46,900

1,153,634

Mitsubishi

UFJ

Financial

Group,

Inc.

591,300

3,161,853

Mitsui

Fudosan

Co.

Ltd.

20,800

474,146

Mizuho

Financial

Group,

Inc.

301,220

4,355,758

MS&AD

Insurance

Group

Holdings,

Inc.

176,700

5,197,805

Nexon

Co.

Ltd.

19,800

642,471

NGK

Spark

Plug

Co.

Ltd.

12,300

213,094

Nippon

Express

Co.

Ltd.

33,700

2,513,748

Nippon

Telegraph

&

Telephone

Corp.

244,100

6,298,248

Nitto

Denko

Corp.

8,500

728,626

Nomura

Holdings,

Inc.

1,024,400

5,427,740

Nomura

Real

Estate

Holdings,

Inc.

10,700

258,640

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

128

192,716

Obayashi

Corp.

105,800

971,137

ORIX

Corp.

15,900

268,913

Resona

Holdings,

Inc.

1,278,400

5,369,928

Rohm

Co.

Ltd.

6,700

657,094

Shimano,

Inc.

2,000

477,681

Shinsei

Bank

Ltd.

33,000

533,315

Sompo

Holdings,

Inc.

158,600

6,076,938

Subaru

Corp.

193,900

3,875,400

SUMCO

Corp.

62,600

1,434,626

Sumitomo

Mitsui

Financial

Group,

Inc.

137,400

4,980,379

Sumitomo

Mitsui

Trust

Holdings,

Inc.

70,800

2,470,178

T&D

Holdings,

Inc.

311,700

4,010,839

TDK

Corp.

1,500

208,812

Teijin

Ltd.

42,700

736,722

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

86,900

290,491

Tokyo

Electron

Ltd.

6,700

2,912,045

Tosoh

Corp.

157,500

3,016,510

Yamaha

Corp.

3,700

201,625

Yamaha

Motor

Co.

Ltd.

13,600

334,704

103,093,820

—

Luxembourg

-

0.5%

ArcelorMittal

SA

79,396

2,285,131

SES

SA,

FDR

35,893

284,741

2,569,872

—

18

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

5.1%

ASML

Holding

NV

14,221

8,725,568

ING

Groep

NV

109,319

1,335,232

Koninklijke

Ahold

Delhaize

NV

167,047

4,659,417

Koninklijke

Philips

NV

*

14,544

829,377

NN

Group

NV

49,507

2,415,023

Randstad

NV

34,392

2,414,144

Royal

Dutch

Shell

plc,

Class

B

106,513

1,960,634

Wolters

Kluwer

NV

35,973

3,124,430

25,463,825

—

Russia

-

0.4%

Evraz

plc

254,363

2,025,696

Singapore

-

1.4%

CapitaLand

Integrated

Commercial

Trust,

REIT

156,096

252,579

Genting

Singapore

Ltd.

3,739,200

2,561,905

Venture

Corp.

Ltd.

280,100

4,182,579

6,997,063

—

South

Africa

-

0.3%

Anglo

American

plc

33,855

1,326,027

Spain

-

1.7%

Banco

Bilbao

Vizcaya

Argentaria

SA

70,234

366,001

CaixaBank

SA

360,116

1,118,083

Enagas

SA

17,196

374,372

Endesa

SA

33,638

891,486

Grifols

SA

7,841

205,214

Iberdrola

SA

102,669

1,325,142

Repsol

SA

330,788

4,105,730

8,386,028

—

Sweden

-

3.5%

Alfa

Laval

AB

*

35,821

1,082,633

Atlas

Copco

AB,

Class

A

5,059

308,433

Atlas

Copco

AB,

Class

B

10,707

558,021

Boliden

AB

29,406

1,091,060

Electrolux

AB,

Series

B

98,997

2,752,229

Epiroc

AB,

Class

A

69,802

1,581,307

Essity

AB,

Class

B

43,061

1,360,950

H

&

M

Hennes

&

Mauritz

AB,

Class

B

*

29,553

666,021

Hexagon

AB,

Class

B

1,963

181,201

Husqvarna

AB,

Class

B

84,773

1,222,141

ICA

Gruppen

AB

57,569

2,815,209

Investor

AB,

Class

B

11,070

883,273

Securitas

AB,

Class

B

13,666

232,428

Skanska

AB,

Class

B

23,967

601,084

SKF

AB,

Class

B

41,440

1,179,155

Swedish

Match

AB

1,210

94,394

Telefonaktiebolaget

LM

Ericsson,

Class

B

67,988

901,198

Volvo

AB,

Class

B

7,754

196,370

17,707,107

—

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

7.5%

Adecco

Group

AG

(Registered)

7,064

476,480

Coca-Cola

HBC

AG

6,248

198,589

Credit

Suisse

Group

AG

(Registered)

79,353

839,504

Geberit

AG

(Registered)

1,854

1,179,970

LafargeHolcim

Ltd.

(Registered)

*

14,221

836,265

Logitech

International

SA

(Registered)

4,435

465,117

Lonza

Group

AG

(Registered)

2,133

1,192,986

Nestle

SA

(Registered)

32,187

3,588,091

Novartis

AG

(Registered)

61,771

5,280,229

Roche

Holding

AG

27,669

8,963,190

SGS

SA

(Registered)

269

764,336

Sonova

Holding

AG

(Registered)

*

16,104

4,268,770

STMicroelectronics

NV

90,132

3,443,527

Swatch

Group

AG

(The)

12,913

3,718,150

UBS

Group

AG

(Registered)

158,262

2,448,549

37,663,753

—

United

Kingdom

-

9.9%

3i

Group

plc

30,804

489,553

Admiral

Group

plc

20,891

892,900

Ashtead

Group

plc

4,034

240,812

Auto

Trader

Group

plc

*(a)

84,552

646,487

Aviva

plc

1,186,206

6,686,278

BAE

Systems

plc

111,896

779,252

Barclays

plc

1,804,940

4,622,308

Barratt

Developments

plc

*

81,575

839,082

Berkeley

Group

Holdings

plc

4,589

280,949

British

American

Tobacco

plc

64,615

2,456,047

BT

Group

plc

*

2,797,962

5,968,929

CK

Hutchison

Holdings

Ltd.

267,500

2,137,141

Direct

Line

Insurance

Group

plc

289,099

1,247,979

Entain

plc

*

285,240

5,965,141

Halma

plc

6,994

228,821

Imperial

Brands

plc

24,800

508,423

JD

Sports

Fashion

plc

*

74,159

843,024

Kingfisher

plc

*

1,250,207

5,479,708

London

Stock

Exchange

Group

plc

9,002

860,588

M&G

plc

69,160

197,636

Next

plc

*

23,422

2,538,528

Ocado

Group

plc

*

33,687

944,489

Persimmon

plc

61,693

2,498,915

Rolls-Royce

Holdings

plc

*

171,137

248,526

Sage

Group

plc

(The)

26,881

227,096

Smith

&

Nephew

plc

7,933

150,608

Standard

Chartered

plc

29,743

204,797

Taylor

Wimpey

plc

*

156,722

389,659

Vodafone

Group

plc

490,529

894,517

Wm

Morrison

Supermarkets

plc

87,155

219,201

49,687,394

—

United

States

-

0.6%

Stellantis

NV

(1)

184,607

3,265,515

Zambia

-

0.1%

First

Quantum

Minerals

Ltd.

(1)

21,935

418,034

TOTAL

COMMON

STOCKS

(Cost

$361,563,061)

480,536,491

19

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

3.3%

INVESTMENT

COMPANIES

-

3.3%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(b)

(Cost

$16,804,424)

16,811,143

16,806,100

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.7%

(Cost

$378,367,485)

497,342,591

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.3%

(c)

6,537,406

NET

ASSETS

-

100.0%

503,879,997

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

26,143,588

5.2

%

Consumer

Discretionary

85,964,062

17.1

Consumer

Staples

33,987,408

6.7

Energy

13,123,178

2.6

Financials

103,382,171

20.5

Health

Care

43,225,940

8.6

Industrials

56,209,679

11.2

Information

Technology

51,052,479

10.1

Materials

46,373,678

9.2

Real

Estate

13,655,852

2.7

Utilities

7,418,456

1.5

Short-Term

Investments

16,806,100

3.3

Total

Investments

In

Securities

At

Value

497,342,591

98.7

Other

Assets

in

Excess

of

Liabilities

(c)

6,537,406

1.3

Net

Assets

$

503,879,997

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$12,407,320,

which

represents

approximately

2.46%

of

net

assets

of

the

fund.

(b)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(c)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

185

6/2021

USD

$

20,276,000

$

(68,455)

$

(68,455)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,428,603

$

1,428,603

20

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.3%

Brazil

-

3.7%

Atacadao

SA

(1)*

184,000

759,059

Banco

Bradesco

SA

(Preference)

(1)*

121,200

576,430

Banco

do

Brasil

SA

(1)*

104,000

562,622

CCR

SA

(1)

288,300

661,764

Cia

Energetica

de

Minas

Gerais

(Preference)

(1)*

375,562

869,404

Cia

Paranaense

de

Energia

,

ADR

(1)*

466,440

587,714

Cia

Siderurgica

Nacional

SA

(1)

435,100

2,929,706

Notre

Dame

Intermedica

Participacoes

SA

(1)*

44,700

657,557

Petrobras

Distribuidora

SA

(1)*

990,300

3,884,737

Suzano

SA

(1)*

54,400

662,525

Telefonica

Brasil

SA

(1)

28,000

220,024

TIM

SA,

ADR

(1)*

258,843

2,937,868

Ultrapar

Participacoes

SA

(1)

261,400

985,013

Vale

SA,

ADR

(1)

432,836

7,522,691

23,817,114

—

Chile

-

0.4%

Banco

de

Chile,

ADR

(1)

12,784

301,958

Banco

de

Credito

e

Inversiones

SA

(1)

4,954

261,998

Cencosud

SA

(1)

573,172

1,225,291

Enel

Americas

SA,

ADR

(1)

84,098

713,151

Enel

Chile

SA,

ADR

(1)

54,309

212,891

2,715,289

—

China

-

36.5%

Agricultural

Bank

of

China

Ltd.,

Class

A

366,900

190,166

Agricultural

Bank

of

China

Ltd.,

Class

H

1,388,000

556,397

Alibaba

Group

Holding

Ltd.,

ADR

(1)*

149,538

33,904,750

A-Living

Smart

City

Services

Co.

Ltd.,

Class

H

(a)

586,250

2,609,806

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

48,323

377,775

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

260,500

1,701,123

Autohome

,

Inc.,

ADR

(1)

6,176

576,036

Baidu,

Inc.,

ADR

(1)*

22,331

4,858,109

Bank

of

Beijing

Co.

Ltd.,

Class

A

371,578

271,929

Bank

of

China

Ltd.,

Class

A

609,800

311,474

Bank

of

China

Ltd.,

Class

H

511,000

194,913

Bank

of

Communications

Co.

Ltd.,

Class

A

389,700

294,042

Bank

of

Ningbo

Co.

Ltd.,

Class

A

54,000

320,624

Bank

of

Shanghai

Co.

Ltd.,

Class

A

227,711

305,187

Baoshan

Iron

&

Steel

Co.

Ltd.,

Class

A

326,022

402,137

BeiGene

Ltd.,

ADR

(1)*

3,623

1,261,094

Bilibili

,

Inc.,

ADR

(1)*

9,329

998,763

BOE

Technology

Group

Co.

Ltd.,

Class

A

1,508,900

1,446,735

Bosideng

International

Holdings

Ltd.

3,806,000

1,718,763

INVESTMENTS

SHARES

VALUE

($)

China

-

36.5%

(continued)

BYD

Co.

Ltd.,

Class

A

40,800

1,034,341

BYD

Electronic

International

Co.

Ltd.

893,000

5,264,011

China

CITIC

Bank

Corp.

Ltd.,

Class

H

857,000

435,876

China

Construction

Bank

Corp.,

Class

H

7,365,000

6,208,080

China

Education

Group

Holdings

Ltd.

(b)

213,000

380,029

China

Everbright

Bank

Co.

Ltd.,

Class

A

322,100

200,451

China

Everbright

Bank

Co.

Ltd.,

Class

H

1,165,000

508,878

China

Everbright

Environment

Group

Ltd.

1,446,000

981,578

China

Evergrande

Group

1,154,000

2,203,025

China

Hongqiao

Group

Ltd.

4,018,000

5,373,912

China

Lesso

Group

Holdings

Ltd.

100,000

216,148

China

Longyuan

Power

Group

Corp.

Ltd.,

Class

H

689,000

941,009

China

Medical

System

Holdings

Ltd.

1,396,000

2,774,145

China

Merchants

Bank

Co.

Ltd.,

Class

A

93,558

730,874

China

Merchants

Port

Holdings

Co.

Ltd.

162,000

249,092

China

Merchants

Securities

Co.

Ltd.,

Class

A

240,200

720,913

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

354,355

272,889

China

National

Building

Material

Co.

Ltd.,

Class

H

4,896,000

7,092,884

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

37,500

216,932

China

Petroleum

&

Chemical

Corp.,

Class

A

401,800

265,314

China

Resources

Cement

Holdings

Ltd.

344,000

388,037

China

Resources

Land

Ltd.

(c)

592,000

2,885,304

China

Resources

Power

Holdings

Co.

Ltd.

664,000

885,103

China

Shenhua

Energy

Co.

Ltd.,

Class

H

623,000

1,288,026

China

Tourism

Group

Duty

Free

Corp.

Ltd.,

Class

A

28,792

1,348,805

China

Vanke

Co.

Ltd.,

Class

H

587,700

2,309,415

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

754,000

325,301

CITIC

Securities

Co.

Ltd.,

Class

A

133,100

486,234

COSCO

SHIPPING

Holdings

Co.

Ltd.,

Class

H

*

1,543,000

1,997,088

Country

Garden

Holdings

Co.

Ltd.

3,136,000

4,036,860

Country

Garden

Services

Holdings

Co.

Ltd.

544,000

5,544,705

Daqin

Railway

Co.

Ltd.,

Class

A

239,500

255,980

Dongfeng

Motor

Group

Co.

Ltd.,

Class

H

2,162,000

2,016,861

Far

East

Horizon

Ltd.

1,485,000

1,784,116

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

26,660

651,528

21

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

China

-

36.5%

(continued)

GDS

Holdings

Ltd.,

ADR

(1)*

6,699

543,222

Great

Wall

Motor

Co.

Ltd.,

Class

H

1,323,000

3,699,222

Greentown

Service

Group

Co.

Ltd.

(b)

782,000

1,191,697

GSX

Techedu

,

Inc.,

ADR

(1)*

5,897

199,790

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

94,200

233,707

Haier

Smart

Home

Co.

Ltd.,

Class

A

225,900

1,075,239

Haitong

Securities

Co.

Ltd.,

Class

A

186,300

314,989

Hengan

International

Group

Co.

Ltd.

150,500

989,589

Huatai

Securities

Co.

Ltd.,

Class

A

136,300

353,088

Huaxia

Bank

Co.

Ltd.,

Class

A

291,300

285,989

Huazhu

Group

Ltd.,

ADR

(1)*

15,565

854,519

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

350,800

296,283

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

1,131,000

813,529

Industrial

Bank

Co.

Ltd.,

Class

A

122,390

450,304

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

109,400

670,486

JD.com,

Inc.,

ADR

(1)*

67,519

5,693,876

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

73,249

1,032,643

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

23,900

602,577

Jiangxi

Copper

Co.

Ltd.,

Class

H

1,072,000

2,058,677

Kingboard

Holdings

Ltd.

261,500

1,415,339

Kunlun

Energy

Co.

Ltd.

2,158,000

2,276,727

Kweichow

Moutai

Co.

Ltd.,

Class

A

6,700

2,057,448

Lee

&

Man

Paper

Manufacturing

Ltd.

392,000

361,375

Legend

Holdings

Corp.,

Class

H

(a)

82,900

131,552

Lenovo

Group

Ltd.

1,930,000

2,754,492

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

197,207

1,023,118

Luzhou

Laojiao

Co.

Ltd.,

Class

A

27,900

962,509

Meituan

,

Class

B

*(a)

220,700

8,612,639

Midea

Group

Co.

Ltd.,

Class

A

36,600

460,467

NARI

Technology

Co.

Ltd.,

Class

A

197,600

941,449

NetEase

,

Inc.,

ADR

(1)

35,770

3,693,610

New

China

Life

Insurance

Co.

Ltd.,

Class

A

38,600

286,472

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR

(1)*

143,640

2,010,960

NIO,

Inc.,

ADR

(1)*

94,422

3,680,570

PetroChina

Co.

Ltd.,

Class

A

408,400

267,681

Pinduoduo

,

Inc.,

ADR

(1)*

31,376

4,200,619

Ping

An

Bank

Co.

Ltd.,

Class

A

160,985

541,123

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

51,900

624,001

SAIC

Motor

Corp.

Ltd.,

Class

A

167,800

504,663

Sany

Heavy

Industry

Co.

Ltd.,

Class

A

132,800

694,898

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

740,000

1,467,404

Shanghai

Pharmaceuticals

Holding

Co.

Ltd.,

Class

H

261,100

513,209

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

140,963

236,428

INVESTMENTS

SHARES

VALUE

($)

China

-

36.5%

(continued)

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

376,800

266,889

Sinopec

Engineering

Group

Co.

Ltd.,

Class

H

17,500

9,686

Sinopharm

Group

Co.

Ltd.,

Class

H

188,000

455,468

Sinotruk

Hong

Kong

Ltd.

1,716,000

5,165,792

Suning.com

Co.

Ltd.,

Class

A

454,800

478,052

TAL

Education

Group,

ADR

(1)*

31,056

1,672,366

Tencent

Holdings

Ltd.

474,500

37,868,684

Tencent

Music

Entertainment

Group,

ADR

(1)*

27,888

571,425

Trip.com

Group

Ltd.,

ADR

(1)*

43,393

1,719,665

Vipshop

Holdings

Ltd.,

ADR

(1)*

41,543

1,240,474

Wuliangye

Yibin

Co.

Ltd.,

Class

A

30,100

1,236,355

XPeng

,

Inc.,

ADR

(1)*

12,719

464,371

Yanzhou

Coal

Mining

Co.

Ltd.,

Class

H

712,000

844,358

Yonghui

Superstores

Co.

Ltd.,

Class

A

482,327

500,651

Yum

China

Holdings,

Inc.

(1)

33,622

1,990,759

Zai

Lab

Ltd.,

ADR

(1)*

5,469

729,729

Zhongsheng

Group

Holdings

Ltd.

850,000

6,021,603

ZTE

Corp.,

Class

H

140,600

359,372

ZTO

Express

Cayman,

Inc.,

ADR

(1)

34,228

997,746

238,245,191

—

Hong

Kong

-

1.0%

Kingboard

Laminates

Holdings

Ltd.

658,000

1,432,352

Nine

Dragons

Paper

Holdings

Ltd.

2,171,000

3,191,732

Vinda

International

Holdings

Ltd.

(c)

473,000

1,601,434

6,225,518

—

Hungary

-

0.1%

OTP

Bank

Nyrt

.

*

7,944

339,578

India

-

9.0%

Ambuja

Cements

Ltd.

66,664

282,362

Aurobindo

Pharma

Ltd.

305,769

3,695,133

Axis

Bank

Ltd.,

GDR

*(b)

14,131

675,462

Cipla

Ltd.

*

171,502

1,916,077

Dabur

India

Ltd.

66,189

490,117

Divi's

Laboratories

Ltd.

*

44,373

2,202,271

Dr

Reddy's

Laboratories

Ltd.,

ADR

(1)

48,993

3,007,680

GAIL

India

Ltd.

172,365

320,525

Godrej

Consumer

Products

Ltd.

29,489

295,045

Havells

India

Ltd.

26,337

379,310

HCL

Technologies

Ltd.

421,960

5,687,245

Hero

MotoCorp

Ltd.

43,816

1,751,874

Hindalco

Industries

Ltd.

205,529

924,515

Info

Edge

India

Ltd.

*

4,465

262,402

Infosys

Ltd.,

ADR

(1)

671,360

12,567,859

ITC

Ltd.

137,807

412,370

Jubilant

Foodworks

Ltd.

*

14,270

570,002

Kotak

Mahindra

Bank

Ltd.

*

25,980

625,728

Larsen

&

Toubro

Ltd.,

GDR

(b)

14,876

286,139

Lupin

Ltd.

12,765

178,595

Marico

Ltd.

33,819

190,713

Page

Industries

Ltd.

1,105

459,303

Piramal

Enterprises

Ltd.

34,445

829,342

22

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

India

-

9.0%

(continued)

REC

Ltd.

93,733

168,833

Reliance

Industries

Ltd.,

GDR

(a)

32,737

1,810,022

State

Bank

of

India,

GDR

*(b)

3,839

190,322

Sun

Pharmaceutical

Industries

Ltd.

75,466

617,925

Tata

Consultancy

Services

Ltd.

184,086

8,020,972

Tata

Motors

Ltd.

*

77,030

320,131

Tata

Steel

Ltd.

218,168

2,433,998

Tech

Mahindra

Ltd.

195,703

2,661,515

Torrent

Pharmaceuticals

Ltd.

5,522

192,451

UPL

Ltd.

21,733

191,692

Wipro

Ltd.,

ADR

(1)

629,541

3,991,290

58,609,220

—

Indonesia

-

1.1%

Adaro

Energy

Tbk

.

PT

29,550,800

2,396,014

Astra

International

Tbk

.

PT

1,957,200

713,290

Bank

Central

Asia

Tbk

.

PT

79,700

170,685

Bank

Negara

Indonesia

Persero

Tbk

.

PT

*

1,145,400

452,395

Indah

Kiat

Pulp

&

Paper

Tbk

.

PT

312,900

225,654

Indofood

Sukses

Makmur

Tbk

.

PT

3,456,400

1,574,287

United

Tractors

Tbk

.

PT

1,030,200

1,569,458

7,101,783

—

Malaysia

-

1.7%

Hartalega

Holdings

Bhd.

1,153,900

2,486,840

Hong

Leong

Bank

Bhd.

64,400

290,813

Kossan

Rubber

Industries

493,900

388,756

Malayan

Banking

Bhd.

434,200

864,501

MISC

Bhd.

833,300

1,371,963

Press

Metal

Aluminium

Holdings

Bhd.

111,500

266,713

Public

Bank

Bhd.

171,500

173,810

RHB

Bank

Bhd.

183,500

237,793

Sime

Darby

Bhd.

1,744,900

1,010,748

Supermax

Corp.

Bhd.

1,513,800

1,392,785

Telekom

Malaysia

Bhd.

164,500

243,305

Top

Glove

Corp.

Bhd.

2,393,600

2,612,020

11,340,047

—

Mexico

-

1.3%

Alfa

SAB

de

CV,

Class

A

(1)

214,693

123,945

Cemex

SAB

de

CV,

ADR

(1)*

100,075

697,523

Grupo

Bimbo

SAB

de

CV,

Series

A

(1)

134,500

282,299

Grupo

Mexico

SAB

de

CV,

Series

B

(1)

664,100

3,491,484

Grupo

Televisa

SAB,

ADR

(1)*

294,067

2,605,434

Industrias

Penoles

SAB

de

CV

(1)*

29,300

377,913

Orbia

Advance

Corp.

SAB

de

CV

(1)

224,100

598,309

8,176,907

—

Philippines

-

0.2%

Ayala

Land,

Inc.

344,300

244,128

International

Container

Terminal

Services,

Inc.

168,160

420,384

JG

Summit

Holdings,

Inc.

161,395

198,819

PLDT,

Inc.

9,420

238,300

INVESTMENTS

SHARES

VALUE

($)

Philippines

-

0.2%

(continued)

Puregold

Price

Club,

Inc.

353,900

286,838

1,388,469

—

Poland

-

1.0%

CD

Projekt

SA

*

3,385

163,765

Cyfrowy

Polsat

SA

82,336

615,869

KGHM

Polska

Miedz

SA

*

9,776

469,694

PGE

Polska

Grupa

Energetyczna

SA

*

913,638

1,570,761

Polski

Koncern

Naftowy

ORLEN

SA

82,365

1,321,168

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

1,375,303

2,091,297

6,232,554

—

Qatar

-

0.2%

Industries

Qatar

QSC

29,520

96,965

Qatar

Islamic

Bank

SAQ

27,416

123,984

Qatar

National

Bank

QPSC

241,970

1,195,996

1,416,945

—

Russia

-

2.9%

Gazprom

PJSC,

ADR

531,884

3,168,013

LUKOIL

PJSC,

ADR

38,823

3,137,271

MMC

Norilsk

Nickel

PJSC,

ADR

(1)

55,553

1,738,253

MMC

Norilsk

Nickel

PJSC,

ADR

71,981

2,243,237

Novatek

PJSC,

GDR

(b)

9,859

1,946,334

Novolipetsk

Steel

PJSC,

GDR

(b)

18,510

589,912

PhosAgro

PJSC,

GDR

(b)

13,442

234,160

Polyus

PJSC,

GDR

(b)

18,181

1,672,792

Rosneft

Oil

Co.

PJSC,

GDR

(b)

146,347

1,105,910

Severstal

PAO,

GDR

(b)

57,855

1,167,010

Surgutneftegas

PJSC,

ADR

154,146

691,732

Tatneft

PJSC,

ADR

28,138

1,333,809

19,028,433

—

Saudi

Arabia

-

3.4%

Advanced

Petrochemical

Co.

21,783

424,207

Al

Rajhi

Bank

287,116

7,567,211

Alinma

Bank

*

263,892

1,296,205

Arab

National

Bank

80,290

447,910

Bank

AlBilad

74,365

698,556

Bank

Al-

Jazira

226,899

948,724

Banque

Saudi

Fransi

38,073

339,191

Etihad

Etisalat

Co.

*

164,650

1,298,962

Jarir

Marketing

Co.

12,182

591,186

National

Commercial

Bank

187,659

2,659,337

Riyad

Bank

134,555

805,605

SABIC

Agri

-Nutrients

Co.

7,385

193,929

Sahara

International

Petrochemical

Co.

38,044

224,442

Samba

Financial

Group

*

80,313

825,587

Saudi

Arabian

Oil

Co.

(a)

112,080

1,075,882

Saudi

Basic

Industries

Corp.

47,654

1,493,201

Saudi

British

Bank

(The)

39,236

275,676

Saudi

Industrial

Investment

Group

44,761

388,467

Saudi

Kayan

Petrochemical

Co.

*

45,155

192,202

Saudi

Telecom

Co.

12,866

435,283

22,181,763

—

23

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

South

Africa

-

3.4%

Absa

Group

Ltd.

51,820

442,683

Aspen

Pharmacare

Holdings

Ltd.

*

49,833

486,925

Exxaro

Resources

Ltd.

25,218

297,046

Gold

Fields

Ltd.,

ADR

(1)

105,150

997,874

Kumba

Iron

Ore

Ltd.

130,937

5,392,270

Mr

Price

Group

Ltd.

135,695

1,777,410

MultiChoice

Group

92,220

803,113

Ninety

One

Ltd.

4,185

13,610

Sasol

Ltd.

*

14,128

204,141

Shoprite

Holdings

Ltd.

390,561

4,154,824

Sibanye

Stillwater

Ltd.

1,444,447

6,430,383

SPAR

Group

Ltd.

(The)

45,851

589,665

Telkom

SA

SOC

Ltd.

216,388

620,345

22,210,289

—

South

Korea

-

13.7%

CJ

Corp.

10,494

875,184

CJ

ENM

Co.

Ltd.

1,561

197,235

DB

Insurance

Co.

Ltd.

13,527

565,648

Doosan

Bobcat,

Inc.

*

14,870

554,995

E-MART,

Inc.

25,321

3,849,268

Hana

Financial

Group,

Inc.

111,115

4,202,701

Hankook

Tire

&

Technology

Co.

Ltd.

12,107

526,969

Hanwha

Corp.

57,208

1,620,239

Hyundai

Glovis

Co.

Ltd.

28,323

4,718,777

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

38,213

827,926

Industrial

Bank

of

Korea

66,248

536,634

KB

Financial

Group,

Inc.

82,802

4,081,109

Kia

Motors

Corp.

64,971

4,775,639

Korea

Investment

Holdings

Co.

Ltd.

15,658

1,189,623

Korea

Zinc

Co.

Ltd.

2,885

1,044,606

KT&G

Corp.

5,853

421,630

Kumho

Petrochemical

Co.

Ltd.

25,378

5,948,954

LG

Electronics,

Inc.

33,041

4,411,133

LG

Innotek

Co.

Ltd.

9,606

1,755,831

LG

Uplus

Corp.

12,221

132,608

Lotte

Chemical

Corp.

8,065

2,154,375

Meritz

Securities

Co.

Ltd.

136,380

556,989

Mirae

Asset

Daewoo

Co.

Ltd.

22,926

200,550

NCSoft

Corp.

531

410,433

NH

Investment

&

Securities

Co.

Ltd.

24,964

258,006

POSCO

35,949

10,186,374

S-1

Corp.

3,671

265,006

Samsung

Electronics

Co.

Ltd.

327,088

23,663,059

Samsung

Fire

&

Marine

Insurance

Co.

Ltd.

2,380

399,945

Samsung

Life

Insurance

Co.

Ltd.

13,022

900,159

Shinhan

Financial

Group

Co.

Ltd.

87,177

2,895,325

SK

Hynix,

Inc.

36,206

4,274,543

Woori

Financial

Group,

Inc.

67,005

598,065

88,999,538

—

Taiwan

-

13.4%

Accton

Technology

Corp.

109,000

1,059,715

ASE

Technology

Holding

Co.

Ltd.

742,000

2,830,418

Asia

Cement

Corp.

127,000

213,268

Asustek

Computer,

Inc.

99,000

1,298,856

AU

Optronics

Corp.

285,000

212,615

INVESTMENTS

SHARES

VALUE

($)

Taiwan

-

13.4%

(continued)

Catcher

Technology

Co.

Ltd.

57,000

423,586

Cathay

Financial

Holding

Co.

Ltd.

797,000

1,342,061

China

Life

Insurance

Co.

Ltd.

490,934

443,650

China

Steel

Corp.

772,000

702,348

Chunghwa

Telecom

Co.

Ltd.

48,000

187,796

Compal

Electronics,

Inc.

491,000

461,003

CTBC

Financial

Holding

Co.

Ltd.

1,180,480

916,120

E.Sun

Financial

Holding

Co.

Ltd.

830,003

759,972

First

Financial

Holding

Co.

Ltd.

1,259,786

981,498

Foxconn

Technology

Co.

Ltd.

92,000

236,161

Fubon

Financial

Holding

Co.

Ltd.

498,000

993,769

Hon

Hai

Precision

Industry

Co.

Ltd.

1,329,000

5,829,945

Hua

Nan

Financial

Holdings

Co.

Ltd.

471,409

308,476

Innolux

Corp.

*

6,307,000

4,706,934

Lite-On

Technology

Corp.

110,000

243,950

MediaTek

,

Inc.

7,000

240,778

Mega

Financial

Holding

Co.

Ltd.

722,000

807,686

Nanya

Technology

Corp.

63,000

205,143

Novatek

Microelectronics

Corp.

19,000

387,036

Pegatron

Corp.

176,000

459,114

Phison

Electronics

Corp.

18,000

310,738

Pou

Chen

Corp.

522,000

605,838

Powertech

Technology,

Inc.

289,000

1,072,704

President

Chain

Store

Corp.

38,000

363,403

Quanta

Computer,

Inc.

102,000

351,803

Realtek

Semiconductor

Corp.

63,000

1,099,800

Shin

Kong

Financial

Holding

Co.

Ltd.

932,549

299,886

Taishin

Financial

Holding

Co.

Ltd.

1,199,151

563,451

Taiwan

Business

Bank

3,054,829

1,067,366

Taiwan

Cement

Corp.

196,845

323,299

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

306,067

227,198

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

385,083

45,547,617

Uni

-President

Enterprises

Corp.

658,000

1,689,690

United

Microelectronics

Corp.

2,998,000

5,377,393

Yuanta

Financial

Holding

Co.

Ltd.

376,280

297,270

Zhen

Ding

Technology

Holding

Ltd.

447,000

1,898,049

87,347,403

—

Thailand

-

2.5%

Advanced

Info

Service

PCL,

NVDR

173,600

965,517

Bangkok

Dusit

Medical

Services

PCL,

NVDR

826,400

572,414

Bumrungrad

Hospital

PCL,

NVDR

46,900

204,665

Charoen

Pokphand

Foods

PCL,

NVDR

1,610,800

1,524,056

Indorama

Ventures

PCL,

NVDR

722,100

1,032,065

Kasikornbank

PCL,

NVDR

677,200

3,148,516

Krung

Thai

Bank

PCL,

NVDR

2,854,400

1,116,487

PTT

Exploration

&

Production

PCL,

NVDR

186,200

679,798

Siam

Cement

PCL

(The),

NVDR

145,800

1,865,429

Siam

Commercial

Bank

PCL

(The),

NVDR

877,100

3,133,366

Thai

Union

Group

PCL,

NVDR

3,903,696

1,839,036

16,081,349

—

24

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Turkey

-

0.2%

BIM

Birlesik

Magazalar

A/S

48,637

416,580

Haci

Omer

Sabanci

Holding

A/S

805,543

841,394

Yapi

ve

Kredi

Bankasi

A/S

*

707,319

188,967

1,446,941

—

United

Arab

Emirates

-

0.2%

Abu

Dhabi

Commercial

Bank

PJSC

*

96,468

162,743

Emirates

Telecommunications

Group

Co.

PJSC

57,006

335,845

First

Abu

Dhabi

Bank

PJSC

163,896

652,270

1,150,858

—

United

States

-

0.4%

JBS

SA

(1)

526,800

2,833,984

TOTAL

COMMON

STOCKS

(Cost

$412,298,814)

626,889,173

SHORT-TERM

INVESTMENTS

-

2.8%

INVESTMENT

COMPANIES

-

2.8%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(d)

(Cost

$17,895,198)

17,902,332

17,896,961

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(1)(d)(e)

463,067

463,067

Limited

Purpose

Cash

Investment

Fund

0.01%

(1)(d)(e)

739,878

739,656

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,202,945)

1,202,723

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.3%

(Cost

$431,396,957)

645,988,857

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.7%

(f)

4,291,693

NET

ASSETS

-

100.0%

650,280,550

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

61,043,498

9.4

%

Consumer

Discretionary

105,568,152

16.2

Consumer

Staples

32,470,732

5.0

Energy

26,274,146

4.0

Financials

78,865,449

12.1

Health

Care

28,845,786

4.4

Industrials

33,439,902

5.1

Information

Technology

151,245,866

23.3

Materials

89,079,624

13.7

Real

Estate

11,678,732

1.8

Utilities

8,377,286

1.3

Short-Term

Investments

17,896,961

2.8

Securities

Lending

Collateral

1,202,723

0.2

Total

Investments

In

Securities

At

Value

645,988,857

99.3

Other

Assets

in

Excess

of

Liabilities

(f)

4,291,693

0.7

Net

Assets

$

650,280,550

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$14,239,901,

which

represents

approximately

2.19%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2021,

the

value

of

these

securities

amounted

to

$9,439,767

or

1.45%

of

net

assets.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$1,521,113.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$385,738

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

314

6/2021

USD

$

20,763,250

$

(176,528)

$

(176,528)

25

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

Schedule

of

Investments

March

31,

2021

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,793,992

$

1,793,992

26

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

98.3%

Aerospace

&

Defense

-

0.5%

Axon

Enterprise,

Inc.

*

8,204

1,168,414

Howmet

Aerospace,

Inc.

*

30,507

980,190

Lockheed

Martin

Corp.

5,283

1,952,068

Northrop

Grumman

Corp.

5,286

1,710,761

5,811,433

Air

Freight

&

Logistics

-

1.1%

CH

Robinson

Worldwide,

Inc.

4,698

448,330

Expeditors

International

of

Washington,

Inc.

9,131

983,317

FedEx

Corp.

12,812

3,639,121

United

Parcel

Service,

Inc.,

Class

B

33,578

5,707,924

XPO

Logistics,

Inc.

*

11,790

1,453,707

12,232,399

Airlines

-

0.0%

(a)

Southwest

Airlines

Co.

*

6,380

389,563

Auto

Components

-

0.2%

Aptiv

plc

*

12,693

1,750,365

Lear

Corp.

3,596

651,775

2,402,140

Automobiles

-

3.4%

Ford

Motor

Co.

*

126,899

1,554,513

General

Motors

Co.

*

87,449

5,024,820

Harley-Davidson,

Inc.

9,883

396,308

Tesla,

Inc.

*

42,682

28,508,588

Thor

Industries,

Inc.

9,766

1,315,871

36,800,100

Banks

-

1.7%

Citizens

Financial

Group,

Inc.

41,268

1,821,982

Comerica,

Inc.

7,202

516,671

Commerce

Bancshares,

Inc.

6,194

474,522

East

West

Bancorp,

Inc.

10,605

782,649

Fifth

Third

Bancorp

37,072

1,388,346

First

Citizens

BancShares,

Inc.,

Class

A

389

325,115

First

Republic

Bank

11,895

1,983,491

Huntington

Bancshares,

Inc.

48,290

759,119

KeyCorp

29,989

599,180

Regions

Financial

Corp.

83,415

1,723,354

Signature

Bank

2,111

477,297

Sterling

Bancorp

34,534

794,973

SVB

Financial

Group

*

5,592

2,760,547

Truist

Financial

Corp.

20,761

1,210,782

Western

Alliance

Bancorp

17,186

1,623,046

Zions

Bancorp

NA

8,820

484,747

17,725,821

INVESTMENTS

SHARES

VALUE

($)

Beverages

-

0.6%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

1,293

1,559,720

Brown-Forman

Corp.,

Class

B

12,832

885,023

Constellation

Brands,

Inc.,

Class

A

4,147

945,516

Monster

Beverage

Corp.

*

28,742

2,618,109

6,008,368

Biotechnology

-

1.4%

AbbVie,

Inc.

51,738

5,599,086

Acceleron

Pharma,

Inc.

*

7,114

964,730

Exact

Sciences

Corp.

*

12,262

1,615,887

Iovance

Biotherapeutics,

Inc.

*

27,391

867,199

Moderna,

Inc.

*

21,918

2,870,162

Regeneron

Pharmaceuticals,

Inc.

*

1,514

716,334

Seagen,

Inc.

*

10,777

1,496,494

United

Therapeutics

Corp.

*

5,859

980,035

Vertex

Pharmaceuticals,

Inc.

*

1,479

317,822

15,427,749

Building

Products

-

0.8%

A

O

Smith

Corp.

7,208

487,333

Fortune

Brands

Home

&

Security,

Inc.

14,779

1,416,124

Johnson

Controls

International

plc

5,120

305,510

Masco

Corp.

8,591

514,601

Owens

Corning

9,089

837,006

Trane

Technologies

plc

17,993

2,978,921

Trex

Co.,

Inc.

*

17,849

1,633,897

8,173,392

Capital

Markets

-

3.6%

Ameriprise

Financial,

Inc.

8,055

1,872,385

BlackRock,

Inc.

6,777

5,109,587

Charles

Schwab

Corp.

(The)

54,247

3,535,819

CME

Group,

Inc.

4,233

864,506

Evercore,

Inc.,

Class

A

6,007

791,362

FactSet

Research

Systems,

Inc.

1,562

482,018

Goldman

Sachs

Group,

Inc.

(The)

10,139

3,315,453

Intercontinental

Exchange,

Inc.

4,335

484,133

Invesco

Ltd.

17,346

437,466

LPL

Financial

Holdings,

Inc.

13,803

1,962,235

MarketAxess

Holdings,

Inc.

2,831

1,409,612

Moody's

Corp.

2,295

685,310

Morgan

Stanley

114,476

8,890,206

Morningstar,

Inc.

4,062

914,112

MSCI,

Inc.

5,391

2,260,339

Nasdaq,

Inc.

3,814

562,412

S&P

Global,

Inc.

3,044

1,074,136

T.

Rowe

Price

Group,

Inc.

9,965

1,709,994

Tradeweb

Markets,

Inc.,

Class

A

13,617

1,007,658

Virtu

Financial,

Inc.,

Class

A

20,309

630,594

37,999,337

27

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

2.3%

Air

Products

and

Chemicals,

Inc.

1,700

478,278

Albemarle

Corp.

14,325

2,093,026

Chemours

Co.

(The)

61,997

1,730,336

Corteva,

Inc.

34,621

1,614,031

Dow,

Inc.

8,595

549,564

DuPont

de

Nemours,

Inc.

9,824

759,199

Eastman

Chemical

Co.

7,749

853,320

Ecolab,

Inc.

1,833

392,390

Element

Solutions,

Inc.

38,953

712,450

FMC

Corp.

6,321

699,166

Linde

plc

(United

Kingdom)

20,133

5,640,059

Mosaic

Co.

(The)

45,588

1,441,037

Olin

Corp.

28,898

1,097,257

RPM

International,

Inc.

4,411

405,150

Scotts

Miracle-Gro

Co.

(The)

8,803

2,156,471

Sherwin-Williams

Co.

(The)

4,498

3,319,569

Westlake

Chemical

Corp.

6,148

545,881

24,487,184

Commercial

Services

&

Supplies

-

0.4%

Cintas

Corp.

5,774

1,970,724

Copart,

Inc.

*

8,680

942,735

IAA,

Inc.

*

11,741

647,399

Rollins,

Inc.

35,017

1,205,285

4,766,143

Communications

Equipment

-

0.5%

Arista

Networks,

Inc.

*

6,286

1,897,681

Cisco

Systems,

Inc.

18,696

966,770

F5

Networks,

Inc.

*

1,860

388,033

Lumentum

Holdings,

Inc.

*

4,374

399,565

Ubiquiti,

Inc.

6,766

2,018,298

5,670,347

Construction

&

Engineering

-

0.2%

AECOM

*

8,308

532,626

Quanta

Services,

Inc.

22,005

1,936,000

2,468,626

Consumer

Finance

-

0.7%

Ally

Financial,

Inc.

22,561

1,019,983

Capital

One

Financial

Corp.

12,100

1,539,483

Discover

Financial

Services

10,481

995,590

OneMain

Holdings,

Inc.

29,834

1,602,683

Santander

Consumer

USA

Holdings,

Inc.

15,874

429,550

SLM

Corp.

51,223

920,477

Synchrony

Financial

10,774

438,071

6,945,837

Containers

&

Packaging

-

0.5%

Avery

Dennison

Corp.

4,365

801,632

Ball

Corp.

17,983

1,523,879

Berry

Global

Group,

Inc.

*

10,357

635,920

INVESTMENTS

SHARES

VALUE

($)

Containers

&

Packaging

-

0.5%

(continued)

Crown

Holdings,

Inc.

10,062

976,417

Packaging

Corp.

of

America

5,028

676,165

Sealed

Air

Corp.

9,773

447,799

5,061,812

Distributors

-

0.2%

LKQ

Corp.

*

10,484

443,788

Pool

Corp.

3,858

1,331,936

1,775,724

Diversified

Consumer

Services

-

0.2%

Chegg,

Inc.

*

17,874

1,531,087

Terminix

Global

Holdings,

Inc.

*

8,208

391,275

1,922,362

Diversified

Financial

Services

-

0.1%

Equitable

Holdings,

Inc.

13,812

450,548

Jefferies

Financial

Group,

Inc.

29,891

899,719

1,350,267

Electric

Utilities

-

0.4%

NextEra

Energy,

Inc.

57,089

4,316,499

Electrical

Equipment

-

1.1%

AMETEK,

Inc.

8,593

1,097,584

Eaton

Corp.

plc

22,864

3,161,634

Emerson

Electric

Co.

24,951

2,251,079

Generac

Holdings,

Inc.

*

8,718

2,854,709

Regal

Beloit

Corp.

6,268

894,318

Rockwell

Automation,

Inc.

6,515

1,729,342

11,988,666

Electronic

Equipment,

Instruments

&

Components

-

1.6%

Amphenol

Corp.,

Class

A

27,880

1,839,244

Arrow

Electronics,

Inc.

*

8,319

921,912

Cognex

Corp.

20,910

1,735,321

Corning,

Inc.

51,894

2,257,908

Dolby

Laboratories,

Inc.,

Class

A

4,916

485,307

IPG

Photonics

Corp.

*

6,097

1,286,101

Jabil,

Inc.

8,553

446,124

Keysight

Technologies,

Inc.

*

3,157

452,714

Littelfuse,

Inc.

2,077

549,242

SYNNEX

Corp.

20,347

2,336,649

Trimble,

Inc.

*

27,129

2,110,365

Zebra

Technologies

Corp.,

Class

A

*

6,550

3,177,929

17,598,816

Energy

Equipment

&

Services

-

0.3%

Baker

Hughes

Co.

33,422

722,249

Halliburton

Co.

95,643

2,052,499

2,774,748

28

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Entertainment

-

2.7%

Activision

Blizzard,

Inc.

43,047

4,003,371

Electronic

Arts,

Inc.

6,096

825,216

Netflix,

Inc.

*

11,876

6,195,234

Roku,

Inc.

*

10,074

3,281,807

Spotify

Technology

SA

*

9,711

2,602,062

Take-Two

Interactive

Software,

Inc.

*

3,480

614,916

Walt

Disney

Co.

(The)

*

55,650

10,268,538

Zynga,

Inc.,

Class

A

*

72,848

743,778

28,534,922

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.1%

American

Tower

Corp.

4,094

978,712

Digital

Realty

Trust,

Inc.

3,200

450,688

1,429,400

Food

&

Staples

Retailing

-

0.3%

Casey's

General

Stores,

Inc.

2,884

623,492

Costco

Wholesale

Corp.

6,245

2,201,238

Walmart,

Inc.

6,088

826,933

3,651,663

Food

Products

-

0.5%

Archer-Daniels-Midland

Co.

20,672

1,178,304

Beyond

Meat,

Inc.

*(b)

4,045

526,335

Bunge

Ltd.

8,499

673,716

Conagra

Brands,

Inc.

30,053

1,129,993

Hain

Celestial

Group,

Inc.

(The)

*

25,881

1,128,412

McCormick

&

Co.,

Inc.

(Non-Voting)

4,582

408,531

Tyson

Foods,

Inc.,

Class

A

5,543

411,845

5,457,136

Health

Care

Equipment

&

Supplies

-

3.8%

Abbott

Laboratories

72,264

8,660,118

ABIOMED,

Inc.

*

3,973

1,266,314

Align

Technology,

Inc.

*

6,204

3,359,652

Boston

Scientific

Corp.

*

17,375

671,544

Danaher

Corp.

31,469

7,083,042

Dexcom,

Inc.

*

6,820

2,451,040

Edwards

Lifesciences

Corp.

*

9,810

820,508

Hologic,

Inc.

*

16,162

1,202,130

IDEXX

Laboratories,

Inc.

*

6,310

3,087,546

Insulet

Corp.

*

6,168

1,609,355

Intuitive

Surgical,

Inc.

*

4,696

3,470,062

Masimo

Corp.

*

4,546

1,044,034

Medtronic

plc

4,603

543,752

Novocure

Ltd.

*

6,333

837,096

Penumbra,

Inc.

*

2,785

753,565

Quidel

Corp.

*

2,372

303,450

STERIS

plc

3,970

756,206

Stryker

Corp.

2,501

609,194

Tandem

Diabetes

Care,

Inc.

*

5,868

517,851

Teleflex,

Inc.

1,073

445,789

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

3.8%

(continued)

West

Pharmaceutical

Services,

Inc.

4,821

1,358,461

40,850,709

Health

Care

Providers

&

Services

-

2.0%

Acadia

Healthcare

Co.,

Inc.

*

15,970

912,526

Amedisys,

Inc.

*

2,780

736,116

Anthem,

Inc.

3,564

1,279,298

DaVita,

Inc.

*

9,170

988,251

Guardant

Health,

Inc.

*

7,642

1,166,551

HCA

Healthcare,

Inc.

6,500

1,224,210

McKesson

Corp.

4,518

881,191

Molina

Healthcare,

Inc.

*

4,912

1,148,229

UnitedHealth

Group,

Inc.

35,524

13,217,415

21,553,787

Health

Care

Technology

-

0.4%

Teladoc

Health,

Inc.

*

9,437

1,715,175

Veeva

Systems,

Inc.,

Class

A

*

10,531

2,751,118

4,466,293

Hotels,

Restaurants

&

Leisure

-

0.6%

Chipotle

Mexican

Grill,

Inc.

*

2,213

3,144,275

Domino's

Pizza,

Inc.

2,424

891,523

McDonald's

Corp.

1,705

382,159

MGM

Resorts

International

17,368

659,810

Royal

Caribbean

Cruises

Ltd.

*

4,525

387,385

Starbucks

Corp.

9,912

1,083,084

6,548,236

Household

Durables

-

1.0%

DR

Horton,

Inc.

31,931

2,845,691

Garmin

Ltd.

12,895

1,700,206

Lennar

Corp.,

Class

A

26,516

2,684,215

Tempur

Sealy

International,

Inc.

37,701

1,378,348

Toll

Brothers,

Inc.

6,215

352,577

Whirlpool

Corp.

5,480

1,207,518

10,168,555

Household

Products

-

0.3%

Church

&

Dwight

Co.,

Inc.

8,251

720,725

Clorox

Co.

(The)

4,023

775,956

Colgate-Palmolive

Co.

7,439

586,416

Spectrum

Brands

Holdings,

Inc.

7,800

663,000

2,746,097

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

AES

Corp.

(The)

23,240

623,064

Industrial

Conglomerates

-

0.5%

Honeywell

International,

Inc.

25,093

5,446,938

Insurance

-

0.5%

Arthur

J

Gallagher

&

Co.

8,660

1,080,508

Erie

Indemnity

Co.,

Class

A

2,421

534,823

MetLife,

Inc.

20,298

1,233,915

29

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

0.5%

(continued)

Progressive

Corp.

(The)

30,583

2,924,041

5,773,287

Interactive

Media

&

Services

-

6.5%

Alphabet,

Inc.,

Class

A

*

16,578

34,192,457

Facebook,

Inc.,

Class

A

*

72,255

21,281,265

Match

Group,

Inc.

*

23,365

3,209,884

Pinterest,

Inc.,

Class

A

*

52,742

3,904,490

Twitter,

Inc.

*

56,595

3,601,140

Zillow

Group,

Inc.,

Class

C

*

22,711

2,944,254

69,133,490

Internet

&

Direct

Marketing

Retail

-

7.7%

Amazon.com,

Inc.

*

23,055

71,334,014

eBay,

Inc.

37,393

2,289,947

Etsy,

Inc.

*

14,782

2,981,086

Expedia

Group,

Inc.

*

4,638

798,293

Qurate

Retail,

Inc.,

Series

A

129,418

1,521,956

Wayfair,

Inc.,

Class

A

*

10,293

3,239,722

82,165,018

IT

Services

-

4.7%

Accenture

plc,

Class

A

17,758

4,905,648

Automatic

Data

Processing,

Inc.

3,597

677,927

Black

Knight,

Inc.

*

9,861

729,615

Cognizant

Technology

Solutions

Corp.,

Class

A

29,265

2,286,182

EPAM

Systems,

Inc.

*

4,802

1,904,905

Fiserv,

Inc.

*

6,637

790,068

FleetCor

Technologies,

Inc.

*

1,395

374,739

Mastercard,

Inc.,

Class

A

11,061

3,938,269

MongoDB,

Inc.

*

3,099

828,766

Okta,

Inc.

*

11,290

2,488,655

PayPal

Holdings,

Inc.

*

61,215

14,865,451

Square,

Inc.,

Class

A

*

28,527

6,477,055

StoneCo

Ltd.,

Class

A

(Brazil)

*

27,137

1,661,327

Twilio,

Inc.,

Class

A

*

10,742

3,660,444

Visa,

Inc.,

Class

A

19,736

4,178,703

49,767,754

Leisure

Products

-

0.4%

Brunswick

Corp.

8,966

855,088

Mattel,

Inc.

*

44,660

889,627

Peloton

Interactive,

Inc.,

Class

A

*

23,560

2,649,086

4,393,801

Life

Sciences

Tools

&

Services

-

2.2%

10X

Genomics,

Inc.,

Class

A

*

6,737

1,219,397

Adaptive

Biotechnologies

Corp.

*

7,979

321,234

Agilent

Technologies,

Inc.

12,933

1,644,302

Avantor,

Inc.

*

43,616

1,261,811

Bio-Rad

Laboratories,

Inc.,

Class

A

*

2,328

1,329,684

Bio-Techne

Corp.

2,153

822,295

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

2.2%

(continued)

Charles

River

Laboratories

International,

Inc.

*

5,732

1,661,306

Illumina,

Inc.

*

1,395

535,764

IQVIA

Holdings,

Inc.

*

5,114

987,718

Mettler-Toledo

International,

Inc.

*

1,123

1,297,840

PerkinElmer,

Inc.

8,450

1,084,050

QIAGEN

NV

*

11,364

553,313

Repligen

Corp.

*

6,767

1,315,572

Thermo

Fisher

Scientific,

Inc.

20,297

9,263,145

23,297,431

Machinery

-

3.0%

AGCO

Corp.

5,744

825,125

Caterpillar,

Inc.

28,547

6,619,193

Colfax

Corp.

*

7,733

338,783

Cummins,

Inc.

9,124

2,364,120

Deere

&

Co.

19,262

7,206,685

Gates

Industrial

Corp.

plc

*

26,277

420,169

Graco,

Inc.

7,585

543,238

Illinois

Tool

Works,

Inc.

12,411

2,749,285

Ingersoll

Rand,

Inc.

*

23,782

1,170,312

Lincoln

Electric

Holdings,

Inc.

3,259

400,661

Middleby

Corp.

(The)

*

4,535

751,676

PACCAR,

Inc.

15,937

1,480,866

Parker-Hannifin

Corp.

9,290

2,930,345

Pentair

plc

14,706

916,478

Timken

Co.

(The)

17,156

1,392,552

Toro

Co.

(The)

4,345

448,143

Trinity

Industries,

Inc.

18,283

520,883

Xylem,

Inc.

9,904

1,041,703

32,120,217

Media

-

1.3%

Altice

USA,

Inc.,

Class

A

*

14,830

482,420

Cable

One,

Inc.

979

1,789,964

Charter

Communications,

Inc.,

Class

A

*

8,599

5,305,755

Comcast

Corp.,

Class

A

16,044

868,141

Discovery,

Inc.,

Class

A

*(b)

9,646

419,215

Liberty

Broadband

Corp.,

Class

C

*

7,243

1,087,537

New

York

Times

Co.

(The),

Class

A

22,622

1,145,126

News

Corp.,

Class

A

56,187

1,428,835

ViacomCBS,

Inc.

20,458

922,656

13,449,649

Metals

&

Mining

-

0.8%

Freeport-McMoRan,

Inc.

*

152,443

5,019,948

Newmont

Corp.

27,412

1,652,121

Nucor

Corp.

10,514

843,959

Reliance

Steel

&

Aluminum

Co.

3,454

526,009

Steel

Dynamics,

Inc.

6,772

343,747

8,385,784

30

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Multiline

Retail

-

0.8%

Dollar

General

Corp.

13,481

2,731,520

Dollar

Tree,

Inc.

*

4,980

570,011

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

5,423

471,801

Target

Corp.

26,604

5,269,454

9,042,786

Oil,

Gas

&

Consumable

Fuels

-

0.7%

Cimarex

Energy

Co.

7,850

466,211

Devon

Energy

Corp.

62,896

1,374,278

Diamondback

Energy,

Inc.

11,600

852,484

EQT

Corp.

*

112,856

2,096,864

Marathon

Oil

Corp.

48,048

513,153

Marathon

Petroleum

Corp.

5,837

312,221

Occidental

Petroleum

Corp.

19,942

530,856

Pioneer

Natural

Resources

Co.

5,843

927,985

Williams

Cos.,

Inc.

(The)

12,637

299,371

7,373,423

Personal

Products

-

0.5%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

15,785

4,591,067

Nu

Skin

Enterprises,

Inc.,

Class

A

11,916

630,237

5,221,304

Pharmaceuticals

-

0.7%

Catalent,

Inc.

*

16,822

1,771,525

Eli

Lilly

and

Co.

9,884

1,846,529

Horizon

Therapeutics

plc

*

30,920

2,845,877

Zoetis,

Inc.

7,738

1,218,580

7,682,511

Professional

Services

-

0.5%

Booz

Allen

Hamilton

Holding

Corp.

8,867

714,059

CoStar

Group,

Inc.

*

2,930

2,408,138

Equifax,

Inc.

6,714

1,216,107

Verisk

Analytics,

Inc.

4,134

730,436

5,068,740

Road

&

Rail

-

1.9%

CSX

Corp.

34,574

3,333,625

JB

Hunt

Transport

Services,

Inc.

4,187

703,709

Kansas

City

Southern

4,575

1,207,434

Landstar

System,

Inc.

2,261

373,201

Lyft,

Inc.,

Class

A

*

5,029

317,732

Norfolk

Southern

Corp.

12,492

3,354,352

Old

Dominion

Freight

Line,

Inc.

11,852

2,849,339

Uber

Technologies,

Inc.

*

99,633

5,430,995

Union

Pacific

Corp.

11,551

2,545,956

20,116,343

Semiconductors

&

Semiconductor

Equipment

-

9.3%

Advanced

Micro

Devices,

Inc.

*

75,696

5,942,136

Analog

Devices,

Inc.

7,259

1,125,726

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

9.3%

(continued)

Applied

Materials,

Inc.

57,983

7,746,529

Broadcom,

Inc.

17,814

8,259,639

Cree,

Inc.

*

15,166

1,639,900

Enphase

Energy,

Inc.

*

19,253

3,122,066

Entegris,

Inc.

23,049

2,576,878

First

Solar,

Inc.

*

10,436

911,063

KLA

Corp.

11,961

3,951,914

Lam

Research

Corp.

10,569

6,291,092

Marvell

Technology

Group

Ltd.

59,068

2,893,151

Microchip

Technology,

Inc.

15,194

2,358,413

Micron

Technology,

Inc.

*

48,244

4,255,603

MKS

Instruments,

Inc.

7,006

1,299,052

Monolithic

Power

Systems,

Inc.

4,808

1,698,234

NVIDIA

Corp.

34,780

18,570,085

ON

Semiconductor

Corp.

*

27,664

1,151,099

Qorvo,

Inc.

*

10,234

1,869,752

QUALCOMM,

Inc.

61,828

8,197,775

Skyworks

Solutions,

Inc.

8,126

1,490,958

SolarEdge

Technologies,

Inc.

*

7,876

2,263,877

Teradyne,

Inc.

19,883

2,419,363

Texas

Instruments,

Inc.

46,043

8,701,667

98,735,972

Software

-

9.6%

2U,

Inc.

*

19,337

739,254

Adobe,

Inc.

*

22,401

10,648,763

Anaplan,

Inc.

*

5,704

307,160

ANSYS,

Inc.

*

2,671

906,965

Atlassian

Corp.

plc,

Class

A

*

14,757

3,110,185

Autodesk,

Inc.

*

11,242

3,115,720

Avalara,

Inc.

*

9,869

1,316,821

Bill.com

Holdings,

Inc.

*

13,828

2,011,974

Cadence

Design

Systems,

Inc.

*

15,781

2,161,839

Ceridian

HCM

Holding,

Inc.

*

5,140

433,148

Cloudflare,

Inc.,

Class

A

*

20,146

1,415,458

Coupa

Software,

Inc.

*

7,469

1,900,711

Crowdstrike

Holdings,

Inc.,

Class

A

*

16,801

3,066,351

Datadog,

Inc.,

Class

A

*

13,411

1,117,673

DocuSign,

Inc.

*

11,186

2,264,606

Dynatrace,

Inc.

*

17,891

863,062

Elastic

NV

*

2,747

305,466

Everbridge,

Inc.

*

6,425

778,581

Fair

Isaac

Corp.

*

1,436

697,968

FireEye,

Inc.

*

22,197

434,395

Five9,

Inc.

*

8,891

1,389,930

Fortinet,

Inc.

*

2,876

530,392

HubSpot,

Inc.

*

4,385

1,991,711

Intuit,

Inc.

7,354

2,817,023

Manhattan

Associates,

Inc.

*

3,766

442,053

Microsoft

Corp.

63,807

15,043,776

NortonLifeLock,

Inc.

40,936

870,299

Nuance

Communications,

Inc.

*

29,775

1,299,381

Oracle

Corp.

79,595

5,585,181

PagerDuty,

Inc.

*(b)

16,977

682,985

31

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Software

-

9.6%

(continued)

Palo

Alto

Networks,

Inc.

*

2,514

809,659

Paycom

Software,

Inc.

*

5,862

2,169,292

Paylocity

Holding

Corp.

*

4,231

760,861

Pegasystems,

Inc.

7,450

851,833

PTC,

Inc.

*

8,366

1,151,580

RingCentral,

Inc.,

Class

A

*

8,768

2,611,812

salesforce.com,

Inc.

*

13,101

2,775,709

ServiceNow,

Inc.

*

11,738

5,870,291

SolarWinds

Corp.

*

27,609

481,501

Synopsys,

Inc.

*

9,326

2,310,796

Trade

Desk,

Inc.

(The),

Class

A

*

3,942

2,568,844

Tyler

Technologies,

Inc.

*

823

349,388

VMware,

Inc.,

Class

A

*(b)

2,320

349,044

Workday,

Inc.,

Class

A

*

9,328

2,317,355

Zendesk,

Inc.

*

10,056

1,333,627

Zoom

Video

Communications,

Inc.,

Class

A

*

14,891

4,784,329

Zscaler,

Inc.

*

12,821

2,200,981

101,945,733

Specialty

Retail

-

2.7%

AutoNation,

Inc.

*

16,751

1,561,528

Best

Buy

Co.,

Inc.

10,693

1,227,663

Burlington

Stores,

Inc.

*

2,806

838,433

Carvana

Co.

*

13,172

3,456,333

Dick's

Sporting

Goods,

Inc.

14,976

1,140,422

Five

Below,

Inc.

*

4,782

912,358

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

17,120

1,634,618

Gap,

Inc.

(The)

*

36,299

1,080,984

Home

Depot,

Inc.

(The)

6,141

1,874,540

L

Brands,

Inc.

*

48,886

3,024,088

Lowe's

Cos.,

Inc.

30,167

5,737,160

O'Reilly

Automotive,

Inc.

*

1,264

641,164

Penske

Automotive

Group,

Inc.

5,891

472,694

Ross

Stores,

Inc.

6,852

821,623

TJX

Cos.,

Inc.

(The)

5,956

393,989

Tractor

Supply

Co.

7,711

1,365,464

Ulta

Beauty,

Inc.

*

1,053

325,556

Williams-Sonoma,

Inc.

11,148

1,997,722

28,506,339

Technology

Hardware,

Storage

&

Peripherals

-

8.0%

Apple,

Inc.

642,439

78,473,924

Dell

Technologies,

Inc.,

Class

C

*

51,877

4,572,957

HP,

Inc.

77,113

2,448,338

85,495,219

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Capri

Holdings

Ltd.

*

21,261

1,084,311

Lululemon

Athletica,

Inc.

*

4,803

1,473,128

NIKE,

Inc.,

Class

B

70,437

9,360,373

Tapestry,

Inc.

*

30,167

1,243,182

13,160,994

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

0.6%

Fastenal

Co.

35,537

1,786,800

United

Rentals,

Inc.

*

7,336

2,415,818

Watsco,

Inc.

3,619

943,654

WW

Grainger,

Inc.

2,005

803,865

5,950,137

Wireless

Telecommunication

Services

-

0.6%

T-Mobile

US,

Inc.

*

51,528

6,455,943

TOTAL

COMMON

STOCKS

(Cost

$685,779,576)

1,048,816,008

SHORT-TERM

INVESTMENTS

-

1.8%

INVESTMENT

COMPANIES

-

1.8%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(c)

(Cost

$19,209,063)

19,216,750

19,210,985

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(c)(d)

451,637

451,637

Limited

Purpose

Cash

Investment

Fund

0.01%

(c)(d)

721,615

721,398

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,173,251)

1,173,035

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.2%

(Cost

$706,161,890)

1,069,200,028

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.2)%

(e)

(2,080,852)

NET

ASSETS

-

100.0%

1,067,119,176

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

117,574,003

11.0

%

Consumer

Discretionary

196,886,054

18.4

Consumer

Staples

23,084,568

2.2

Energy

10,148,171

1.0

Financials

69,794,549

6.5

Health

Care

113,278,480

10.6

Industrials

114,532,597

10.7

Information

Technology

359,213,841

33.7

Materials

37,934,781

3.6

Real

Estate

1,429,400

0.1

Utilities

4,939,564

0.5

Short-Term

Investments

19,210,985

1.8

Securities

Lending

Collateral

1,173,035

0.1

Total

Investments

In

Securities

At

Value

1,069,200,028

100.2

Liabilities

in

Excess

of

Other

Assets

(e

)

(2,080,852)

(0.2)

Net

Assets

$

1,067,119,176

100.0%

32

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$1,726,406.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$588,166

was

received.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

64

6/2021

USD

$

12,695,680

$

110,178

$

110,178

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

729,154

$

729,154

33

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.8%

Aerospace

&

Defense

-

0.4%

AeroVironment,

Inc.

*

2,052

238,155

Ducommun,

Inc.

*

2,173

130,380

Kratos

Defense

&

Security

Solutions,

Inc.

*

4,388

119,705

Maxar

Technologies,

Inc.

18,105

684,731

1,172,971

Air

Freight

&

Logistics

-

0.3%

Air

Transport

Services

Group,

Inc.

*

11,012

322,211

Atlas

Air

Worldwide

Holdings,

Inc.

*

5,937

358,833

Echo

Global

Logistics,

Inc.

*

4,398

138,141

819,185

Airlines

-

0.1%

Allegiant

Travel

Co.

*

1,041

254,066

Mesa

Air

Group,

Inc.

*

8,453

113,693

367,759

Auto

Components

-

1.6%

Adient

plc

*

14,265

630,513

American

Axle

&

Manufacturing

Holdings,

Inc.

*

8,018

77,454

Cooper-Standard

Holdings,

Inc.

*

8,497

308,611

Dorman

Products,

Inc.

*

3,069

315,002

Fox

Factory

Holding

Corp.

*

8,623

1,095,638

Gentherm,

Inc.

*

6,585

488,014

LCI

Industries

5,548

733,890

Modine

Manufacturing

Co.

*

9,525

140,684

Patrick

Industries,

Inc.

5,385

457,725

Visteon

Corp.

*

2,898

353,411

XPEL,

Inc.

*(a)

2,505

130,085

4,731,027

Automobiles

-

0.3%

Winnebago

Industries,

Inc.

7,362

564,739

Workhorse

Group,

Inc.

*(b)

14,180

195,259

759,998

Banks

-

1.9%

Bancorp,

Inc.

(The)

*

11,461

237,472

Cadence

Bancorp

19,260

399,260

Dime

Community

Bancshares,

Inc.

2,260

68,116

First

Financial

Bankshares,

Inc.

1,879

87,806

First

Foundation,

Inc.

10,500

246,330

Independent

Bank

Group,

Inc.

6,167

445,504

Lakeland

Financial

Corp.

5,832

403,516

Live

Oak

Bancshares,

Inc.

6,867

470,321

Seacoast

Banking

Corp.

of

Florida

*

7,857

284,738

ServisFirst

Bancshares,

Inc.

12,352

757,548

Silvergate

Capital

Corp.,

Class

A

*

5,531

786,342

Stock

Yards

Bancorp,

Inc.

5,577

284,762

Texas

Capital

Bancshares,

Inc.

*

7,035

498,922

Triumph

Bancorp,

Inc.

*

5,144

398,094

INVESTMENTS

SHARES

VALUE

($)

Banks

-

1.9%

(continued)

UMB

Financial

Corp.

1,294

119,475

5,488,206

Beverages

-

0.7%

Celsius

Holdings,

Inc.

*

18,023

866,005

National

Beverage

Corp.

(b)

19,006

929,584

Primo

Water

Corp.

7,421

120,665

1,916,254

Biotechnology

-

12.8%

Affimed

NV

(Germany)

*

18,126

143,377

Allakos,

Inc.

*

4,718

541,532

Anavex

Life

Sciences

Corp.

*

28,419

424,864

Arcturus

Therapeutics

Holdings,

Inc.

*

4,706

194,358

Arcus

Biosciences,

Inc.

*

20,702

581,312

Arrowhead

Pharmaceuticals,

Inc.

*

3,075

203,903

Atara

Biotherapeutics,

Inc.

*

5,733

82,326

Athersys,

Inc.

*(b)

47,756

85,961

Avid

Bioservices,

Inc.

*

27,286

497,424

BioCryst

Pharmaceuticals,

Inc.

*(b)

57,681

586,616

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

9,446

645,634

Bioxcel

Therapeutics,

Inc.

*(b)

8,702

375,578

Blueprint

Medicines

Corp.

*

4,557

443,077

Bridgebio

Pharma,

Inc.

*

15,115

931,084

CareDx,

Inc.

*

11,622

791,342

CEL-SCI

Corp.

*(b)

10,314

156,876

ChemoCentryx,

Inc.

*

14,614

748,821

Chimerix,

Inc.

*

37,633

362,782

CTI

BioPharma

Corp.

*

15,365

44,712

Cytokinetics,

Inc.

*

15,777

366,973

Denali

Therapeutics,

Inc.

*

23,649

1,350,358

DermTech,

Inc.

*

1,544

78,420

Dicerna

Pharmaceuticals,

Inc.

*

4,223

107,982

Editas

Medicine,

Inc.

*

9,105

382,410

Emergent

BioSolutions,

Inc.

*

8,705

808,782

Evelo

Biosciences,

Inc.

*(b)

7,925

84,797

Fate

Therapeutics,

Inc.

*

17,630

1,453,593

Fennec

Pharmaceuticals,

Inc.

(Canada)

*

12,977

80,587

Fortress

Biotech,

Inc.

*

58,544

206,660

Frequency

Therapeutics,

Inc.

*(b)

2,154

20,463

Genprex,

Inc.

*

32,780

141,282

Halozyme

Therapeutics,

Inc.

*

30,273

1,262,081

iBio,

Inc.

*(b)

108,342

166,847

Ideaya

Biosciences,

Inc.

*

6,911

162,408

IGM

Biosciences,

Inc.

*

2,875

220,484

ImmunoGen,

Inc.

*

64,190

519,939

Inovio

Pharmaceuticals,

Inc.

*(b)

36,163

335,593

Insmed,

Inc.

*

20,757

706,983

Intellia

Therapeutics,

Inc.

*

18,688

1,499,805

Invitae

Corp.

*(b)

25,199

962,854

Jounce

Therapeutics,

Inc.

*

13,403

137,649

Kodiak

Sciences,

Inc.

*

4,572

518,419

34

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

12.8%

(continued)

Kura

Oncology,

Inc.

*

11,978

338,618

Lexicon

Pharmaceuticals,

Inc.

*

13,200

77,484

MacroGenics,

Inc.

*

13,880

442,078

MannKind

Corp.

*(b)

49,277

193,166

MEI

Pharma,

Inc.

*

49,618

170,190

Mersana

Therapeutics,

Inc.

*

19,914

322,209

Mirati

Therapeutics,

Inc.

*

6,032

1,033,282

Morphic

Holding,

Inc.

*

10,998

695,953

Natera,

Inc.

*

16,131

1,637,942

NeuBase

Therapeutics,

Inc.

*

380

2,808

Novavax,

Inc.

*

12,457

2,258,579

OPKO

Health,

Inc.

*(b)

130,108

558,163

Organogenesis

Holdings,

Inc.

*

9,782

178,228

PDL

BioPharma,

Inc.

(3)*(c)

34,242

76,881

Precigen,

Inc.

*(b)

18,042

124,309

Protagonist

Therapeutics,

Inc.

*

15,549

402,719

PTC

Therapeutics,

Inc.

*

2,436

115,345

Replimune

Group,

Inc.

*

11,544

352,207

Rigel

Pharmaceuticals,

Inc.

*

45,989

157,282

Sangamo

Therapeutics,

Inc.

*

8,367

104,839

Scholar

Rock

Holding

Corp.

*

8,485

429,850

Seres

Therapeutics,

Inc.

*

18,916

389,480

Solid

Biosciences,

Inc.

*

14,120

78,084

Sorrento

Therapeutics,

Inc.

*(b)

44,353

366,799

SpringWorks

Therapeutics,

Inc.

*

3,113

229,023

Stoke

Therapeutics,

Inc.

*

2,402

93,294

Sutro

Biopharma,

Inc.

*

3,754

85,441

Syndax

Pharmaceuticals,

Inc.

*

18,680

417,685

Syros

Pharmaceuticals,

Inc.

*

12,693

94,944

TCR2

Therapeutics,

Inc.

*

3,428

75,690

TG

Therapeutics,

Inc.

*

28,527

1,375,001

Translate

Bio,

Inc.

*

22,924

378,017

Travere

Therapeutics,

Inc.

*

7,755

193,642

Turning

Point

Therapeutics,

Inc.

*

2,826

267,311

Twist

Bioscience

Corp.

*

4,588

568,270

Ultragenyx

Pharmaceutical,

Inc.

*

13,259

1,509,670

VBI

Vaccines,

Inc.

*(b)

87,906

273,388

Veracyte,

Inc.

*

12,403

666,661

Vir

Biotechnology,

Inc.

*

8,943

458,508

XBiotech,

Inc.

*

7,598

130,458

36,740,446

Building

Products

-

3.3%

AAON,

Inc.

10,566

739,726

Advanced

Drainage

Systems,

Inc.

15,916

1,645,555

Builders

FirstSource,

Inc.

*

41,703

1,933,768

Cornerstone

Building

Brands,

Inc.

*

25,386

356,165

CSW

Industrials,

Inc.

2,595

350,325

Gibraltar

Industries,

Inc.

*

7,731

707,464

Griffon

Corp.

9,331

253,523

JELD-WEN

Holding,

Inc.

*

16,788

464,860

Masonite

International

Corp.

*

5,849

674,039

Resideo

Technologies,

Inc.

*

22,539

636,727

Simpson

Manufacturing

Co.,

Inc.

8,138

844,155

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

3.3%

(continued)

UFP

Industries,

Inc.

10,835

821,726

9,428,033

Capital

Markets

-

2.0%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

17,682

922,470

B

Riley

Financial,

Inc.

9,015

508,266

Brightsphere

Investment

Group,

Inc.

19,214

391,581

Cohen

&

Steers,

Inc.

5,364

350,430

Cowen,

Inc.,

Class

A

3,224

113,323

Donnelley

Financial

Solutions,

Inc.

*

6,454

179,615

Focus

Financial

Partners,

Inc.,

Class

A

*

17,250

717,945

Hamilton

Lane,

Inc.,

Class

A

2,303

203,954

Houlihan

Lokey,

Inc.

9,692

644,615

Moelis

&

Co.,

Class

A

8,711

478,060

PJT

Partners,

Inc.,

Class

A

10,132

685,430

Stifel

Financial

Corp.

1,967

126,006

Virtus

Investment

Partners,

Inc.

2,086

491,253

5,812,948

Chemicals

-

1.3%

AdvanSix,

Inc.

*

3,135

84,081

Amyris,

Inc.

*(b)

4,849

92,616

Ferro

Corp.

*

8,527

143,765

FutureFuel

Corp.

15,686

227,918

GCP

Applied

Technologies,

Inc.

*

8,230

201,964

Hawkins,

Inc.

8,382

280,965

HB

Fuller

Co.

2,017

126,889

Koppers

Holdings,

Inc.

*

2,435

84,641

Kraton

Corp.

*

10,481

383,500

Kronos

Worldwide,

Inc.

7,404

113,281

Livent

Corp.

*

15,670

271,404

Quaker

Chemical

Corp.

2,520

614,300

Rayonier

Advanced

Materials,

Inc.

*

32,353

293,442

Sensient

Technologies

Corp.

1,122

87,516

Stepan

Co.

1,189

151,134

Trinseo

SA

4,085

260,092

Tronox

Holdings

plc,

Class

A

14,747

269,870

3,687,378

Commercial

Services

&

Supplies

-

0.3%

Casella

Waste

Systems,

Inc.,

Class

A

*

2,339

148,690

Pitney

Bowes,

Inc.

26,361

217,215

Tetra

Tech,

Inc.

2,966

402,545

768,450

Communications

Equipment

-

0.8%

ADTRAN,

Inc.

5,043

84,117

Calix,

Inc.

*

22,547

781,479

Cambium

Networks

Corp.

*

4,296

200,709

Casa

Systems,

Inc.

*

25,359

241,671

35

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

0.8%

(continued)

Digi

International,

Inc.

*

7,467

141,798

DZS,

Inc.

*

4,772

74,205

Inseego

Corp.

*(b)

27,926

279,260

Plantronics,

Inc.

*

4,491

174,745

Ribbon

Communications,

Inc.

*

24,465

200,858

2,178,842

Construction

&

Engineering

-

1.6%

Ameresco,

Inc.,

Class

A

*

15,543

755,856

Comfort

Systems

USA,

Inc.

5,107

381,850

Construction

Partners,

Inc.,

Class

A

*

7,283

217,616

Dycom

Industries,

Inc.

*

6,791

630,544

Granite

Construction,

Inc.

14,923

600,651

Great

Lakes

Dredge

&

Dock

Corp.

*

5,926

86,401

HC2

Holdings,

Inc.

*

31,941

125,848

IES

Holdings,

Inc.

*

2,983

150,373

MasTec,

Inc.

*

3,416

320,079

MYR

Group,

Inc.

*

3,271

234,433

NV5

Global,

Inc.

*

1,246

120,326

Sterling

Construction

Co.,

Inc.

*

5,513

127,902

Tutor

Perini

Corp.

*

11,860

224,747

WillScot

Mobile

Mini

Holdings

Corp.

*

24,491

679,625

4,656,251

Construction

Materials

-

0.0%

(d)

US

Concrete,

Inc.

*

1,538

112,766

Consumer

Finance

-

0.4%

Encore

Capital

Group,

Inc.

*

6,851

275,616

Green

Dot

Corp.,

Class

A

*

9,711

444,667

PRA

Group,

Inc.

*

9,361

347,012

PROG

Holdings,

Inc.

1,822

78,874

1,146,169

Containers

&

Packaging

-

0.1%

O-I

Glass,

Inc.

*

23,805

350,886

Distributors

-

0.1%

Core-Mark

Holding

Co.,

Inc.

3,663

141,722

Greenlane

Holdings,

Inc.,

Class

A

*(b)

25,972

137,781

279,503

Diversified

Consumer

Services

-

0.2%

American

Public

Education,

Inc.

*

3,371

120,109

Carriage

Services,

Inc.

4,901

172,466

Universal

Technical

Institute,

Inc.

*

8,512

49,710

Vivint

Smart

Home,

Inc.

*

7,586

108,631

450,916

Diversified

Financial

Services

-

0.0%

(d)

A-Mark

Precious

Metals,

Inc.

3,673

132,228

INVESTMENTS

SHARES

VALUE

($)

Diversified

Telecommunication

Services

-

0.9%

Bandwidth,

Inc.,

Class

A

*

3,546

449,420

Consolidated

Communications

Holdings,

Inc.

*

33,655

242,316

IDT

Corp.,

Class

B

*

5,912

133,966

Iridium

Communications,

Inc.

*

26,063

1,075,099

Ooma,

Inc.

*

12,913

204,671

ORBCOMM,

Inc.

*

16,395

125,094

Vonage

Holdings

Corp.

*

21,213

250,737

2,481,303

Electrical

Equipment

-

2.8%

Allied

Motion

Technologies,

Inc.

2,617

134,331

American

Superconductor

Corp.

*

9,411

178,432

Atkore,

Inc.

*

1,911

137,401

Bloom

Energy

Corp.,

Class

A

*

30,756

831,950

EnerSys

906

82,265

FuelCell

Energy,

Inc.

*

64,295

926,491

Orion

Energy

Systems,

Inc.

*

28,103

195,597

Plug

Power,

Inc.

*

72,595

2,601,805

Sunrun,

Inc.

*

26,959

1,630,480

TPI

Composites,

Inc.

*

9,268

522,993

Vicor

Corp.

*

10,199

867,221

8,108,966

Electronic

Equipment,

Instruments

&

Components

-

1.6%

Akoustis

Technologies,

Inc.

*

7,162

95,541

Arlo

Technologies,

Inc.

*

38,428

241,328

Badger

Meter,

Inc.

3,605

335,517

FARO

Technologies,

Inc.

*

5,187

449,039

II-VI,

Inc.

*

22,468

1,536,137

Insight

Enterprises,

Inc.

*

1,123

107,157

Intellicheck,

Inc.

*(b)

19,524

163,611

Luna

Innovations,

Inc.

*

20,643

217,371

Methode

Electronics,

Inc.

3,694

155,074

nLight,

Inc.

*

11,654

377,590

Novanta,

Inc.

*

1,513

199,549

PAR

Technology

Corp.

*

4,913

321,359

Rogers

Corp.

*

1,386

260,859

4,460,132

Energy

Equipment

&

Services

-

0.9%

Aspen

Aerogels,

Inc.

*

13,309

270,705

ChampionX

Corp.

*

9,968

216,605

Helix

Energy

Solutions

Group,

Inc.

*

28,076

141,784

Liberty

Oilfield

Services,

Inc.,

Class

A

*

30,060

339,377

Nabors

Industries

Ltd.

*

1,220

114,009

Newpark

Resources,

Inc.

*

30,480

95,707

NexTier

Oilfield

Solutions,

Inc.

*

50,979

189,642

Oceaneering

International,

Inc.

*

21,347

243,783

Patterson-UTI

Energy,

Inc.

28,744

204,945

ProPetro

Holding

Corp.

*

12,718

135,574

Transocean

Ltd.

*

36,101

128,158

36

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Energy

Equipment

&

Services

-

0.9%

(continued)

US

Silica

Holdings,

Inc.

*

34,199

420,306

2,500,595

Entertainment

-

0.1%

AMC

Entertainment

Holdings,

Inc.,

Class

A

*(b)

18,308

186,925

LiveXLive

Media,

Inc.

*

53,631

232,758

419,683

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.8%

EastGroup

Properties,

Inc.

1,066

152,737

Farmland

Partners,

Inc.

9,873

110,676

Innovative

Industrial

Properties,

Inc.

4,501

810,900

National

Storage

Affiliates

Trust

2,957

118,073

Safehold,

Inc.

9,542

668,894

Terreno

Realty

Corp.

2,183

126,112

Uniti

Group,

Inc.

19,133

211,037

2,198,429

Food

&

Staples

Retailing

-

0.8%

BJ's

Wholesale

Club

Holdings,

Inc.

*

23,573

1,057,485

Natural

Grocers

by

Vitamin

Cottage,

Inc.

10,326

181,221

PriceSmart,

Inc.

2,169

209,851

SpartanNash

Co.

13,008

255,347

United

Natural

Foods,

Inc.

*

15,329

504,937

Weis

Markets,

Inc.

2,483

140,339

2,349,180

Food

Products

-

1.4%

B&G

Foods,

Inc.

16,229

504,073

Darling

Ingredients,

Inc.

*

31,896

2,346,908

Freshpet,

Inc.

*

7,585

1,204,574

Lancaster

Colony

Corp.

523

91,713

4,147,268

Health

Care

Equipment

&

Supplies

-

2.7%

Alphatec

Holdings,

Inc.

*

32,809

518,054

Aspira

Women's

Health,

Inc.

*(b)

58,437

394,450

AtriCure,

Inc.

*

7,644

500,835

BioLife

Solutions,

Inc.

*

3,043

109,548

Cerus

Corp.

*

15,495

93,125

Co-Diagnostics,

Inc.

*(b)

6,958

66,379

CryoPort,

Inc.

*

12,231

636,134

CytoSorbents

Corp.

*

21,153

183,608

Electromed,

Inc.

*

1,009

10,635

GenMark

Diagnostics,

Inc.

*

22,057

527,162

Heska

Corp.

*

2,317

390,322

Invacare

Corp.

15,245

122,265

iRhythm

Technologies,

Inc.

*

5,368

745,400

LeMaitre

Vascular,

Inc.

1,966

95,901

Meridian

Bioscience,

Inc.

*

9,611

252,289

Merit

Medical

Systems,

Inc.

*

6,742

403,711

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

2.7%

(continued)

Nevro

Corp.

*

5,174

721,773

OraSure

Technologies,

Inc.

*

9,303

108,566

PAVmed,

Inc.

*(b)

35,254

156,528

Pulse

Biosciences,

Inc.

*

3,051

72,248

Retractable

Technologies,

Inc.

*(b)

28,898

370,472

Shockwave

Medical,

Inc.

*

1,179

153,577

STAAR

Surgical

Co.

*

10,661

1,123,776

Vapotherm,

Inc.

*

5,189

124,640

7,881,398

Health

Care

Providers

&

Services

-

2.9%

AdaptHealth

Corp.

*

6,704

246,439

Addus

HomeCare

Corp.

*

5,003

523,264

Community

Health

Systems,

Inc.

*

52,961

716,033

Covetrus,

Inc.

*

9,977

299,011

Ensign

Group,

Inc.

(The)

8,322

780,936

Fulgent

Genetics,

Inc.

*(b)

6,037

583,295

InfuSystem

Holdings,

Inc.

*

7,140

145,370

Joint

Corp.

(The)

*

2,274

109,993

LHC

Group,

Inc.

*

3,480

665,411

ModivCare,

Inc.

*

3,415

505,830

Ontrak,

Inc.

*(b)

3,407

110,932

Owens

&

Minor,

Inc.

20,345

764,768

Patterson

Cos.,

Inc.

22,082

705,520

Pennant

Group,

Inc.

(The)

*

2,874

131,629

Progyny,

Inc.

*

4,990

222,105

R1

RCM,

Inc.

*

24,949

615,741

Select

Medical

Holdings

Corp.

*

25,226

860,207

Sharps

Compliance

Corp.

*

9,970

143,269

Tenet

Healthcare

Corp.

*

3,937

204,724

Viemed

Healthcare,

Inc.

*

10,975

111,067

8,445,544

Health

Care

Technology

-

1.3%

Allscripts

Healthcare

Solutions,

Inc.

*

8,740

131,231

Evolent

Health,

Inc.,

Class

A

*

26,133

527,887

iCAD,

Inc.

*(b)

19,922

422,745

Inovalon

Holdings,

Inc.,

Class

A

*

5,641

162,348

Inspire

Medical

Systems,

Inc.

*

6,485

1,342,330

NantHealth,

Inc.

*(b)

26,911

86,384

Omnicell,

Inc.

*

3,547

460,649

OptimizeRx

Corp.

*

2,808

136,890

Simulations

Plus,

Inc.

4,976

314,682

Vocera

Communications,

Inc.

*

5,780

222,299

3,807,445

Hotels,

Restaurants

&

Leisure

-

4.7%

Bally's

Corp.

*

2,219

144,191

Boyd

Gaming

Corp.

*

14,437

851,206

Brinker

International,

Inc.

*

7,477

531,316

Caesars

Entertainment,

Inc.

*

38,701

3,384,402

Churchill

Downs,

Inc.

6,439

1,464,357

El

Pollo

Loco

Holdings,

Inc.

*

16,348

263,530

37

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

4.7%

(continued)

International

Game

Technology

plc

*

4,734

75,981

Lindblad

Expeditions

Holdings,

Inc.

*

6,371

120,412

Marriott

Vacations

Worldwide

Corp.

*

860

149,795

Papa

John's

International,

Inc.

6,873

609,223

Penn

National

Gaming,

Inc.

*

28,075

2,943,383

RCI

Hospitality

Holdings,

Inc.

3,330

211,755

Red

Rock

Resorts,

Inc.,

Class

A

*

2,594

84,538

Scientific

Games

Corp.

*

12,992

500,452

Shake

Shack,

Inc.,

Class

A

*

807

91,005

Texas

Roadhouse,

Inc.

*

13,310

1,276,961

Wingstop,

Inc.

6,367

809,691

13,512,198

Household

Durables

-

3.4%

Beazer

Homes

USA,

Inc.

*

4,228

88,450

Century

Communities,

Inc.

*

7,546

455,175

GoPro,

Inc.,

Class

A

*

45,867

533,892

Green

Brick

Partners,

Inc.

*

12,087

274,133

Helen

of

Troy

Ltd.

*

5,462

1,150,625

Installed

Building

Products,

Inc.

6,194

686,791

iRobot

Corp.

*

5,376

656,839

La-Z-Boy,

Inc.

2,389

101,485

LGI

Homes,

Inc.

*

1,435

214,260

Lovesac

Co.

(The)

*

7,153

404,860

M/I

Homes,

Inc.

*

8,536

504,221

MDC

Holdings,

Inc.

4,625

274,725

Meritage

Homes

Corp.

*

5,045

463,736

Purple

Innovation,

Inc.

*

17,166

543,304

Sonos,

Inc.

*

17,927

671,725

TopBuild

Corp.

*

6,909

1,446,952

Tri

Pointe

Homes,

Inc.

*

13,805

281,070

Tupperware

Brands

Corp.

*

16,117

425,650

Turtle

Beach

Corp.

*

7,936

211,653

VOXX

International

Corp.

*

15,569

296,745

9,686,291

Household

Products

-

0.2%

Central

Garden

&

Pet

Co.,

Class

A

*

3,326

172,586

WD-40

Co.

886

271,276

443,862

Independent

Power

and

Renewable

Electricity

Producers

-

0.2%

Clearway

Energy,

Inc.,

Class

C

5,605

157,724

Sunnova

Energy

International,

Inc.

*

10,751

438,856

596,580

Insurance

-

1.0%

BRP

Group,

Inc.,

Class

A

*

5,681

154,807

CNO

Financial

Group,

Inc.

23,012

558,962

Goosehead

Insurance,

Inc.,

Class

A

8,152

873,731

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

1.0%

(continued)

HCI

Group,

Inc.

1,879

144,345

Kinsale

Capital

Group,

Inc.

995

163,976

RLI

Corp.

1,057

117,930

Stewart

Information

Services

Corp.

2,946

153,280

Trupanion,

Inc.

*

9,310

709,515

2,876,546

Interactive

Media

&

Services

-

0.1%

Cars.com,

Inc.

*

5,844

75,739

QuinStreet,

Inc.

*

7,474

151,722

TrueCar,

Inc.

*

23,255

111,275

338,736

Internet

&

Direct

Marketing

Retail

-

1.8%

1-800-Flowers.com,

Inc.,

Class

A

*

16,079

443,941

CarParts.com,

Inc.

*

23,079

329,568

Duluth

Holdings,

Inc.,

Class

B

*(b)

11,602

196,538

Groupon,

Inc.

*

2,011

101,646

Lands'

End,

Inc.

*

9,372

232,519

Liquidity

Services,

Inc.

*

6,765

125,694

Magnite,

Inc.

*

29,803

1,240,103

RealReal,

Inc.

(The)

*

6,245

141,324

Shutterstock,

Inc.

7,290

649,102

Stamps.com,

Inc.

*

3,518

701,876

Stitch

Fix,

Inc.,

Class

A

*

14,539

720,262

Waitr

Holdings,

Inc.

*

68,628

201,080

5,083,653

IT

Services

-

1.1%

Conduent,

Inc.

*

20,363

135,618

EVERTEC,

Inc.

3,230

120,221

ExlService

Holdings,

Inc.

*

1,050

94,668

I3

Verticals,

Inc.,

Class

A

*

6,748

210,032

LiveRamp

Holdings,

Inc.

*

10,566

548,164

MoneyGram

International,

Inc.

*

39,448

259,173

Perficient,

Inc.

*

2,002

117,557

PFSweb,

Inc.

*

2,813

18,988

TTEC

Holdings,

Inc.

10,336

1,038,251

Unisys

Corp.

*

21,898

556,647

3,099,319

Leisure

Products

-

1.0%

Acushnet

Holdings

Corp.

14,853

613,874

Johnson

Outdoors,

Inc.,

Class

A

1,132

161,593

Malibu

Boats,

Inc.,

Class

A

*

6,553

522,143

MasterCraft

Boat

Holdings,

Inc.

*

8,148

216,655

Nautilus,

Inc.

*

12,682

198,346

Smith

&

Wesson

Brands,

Inc.

15,682

273,651

Sturm

Ruger

&

Co.,

Inc.

4,684

309,472

Vista

Outdoor,

Inc.

*

18,666

598,619

YETI

Holdings,

Inc.

*

1,351

97,556

2,991,909

38

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

1.2%

Medpace

Holdings,

Inc.

*

1,799

295,126

NanoString

Technologies,

Inc.

*

12,817

842,205

NeoGenomics,

Inc.

*

9,963

480,515

Pacific

Biosciences

of

California,

Inc.

*

39,930

1,330,068

Quanterix

Corp.

*

7,531

440,338

3,388,252

Machinery

-

2.5%

Alamo

Group,

Inc.

1,547

241,564

Altra

Industrial

Motion

Corp.

13,627

753,846

Astec

Industries,

Inc.

7,018

529,298

Chart

Industries,

Inc.

*

7,749

1,103,070

Columbus

McKinnon

Corp.

2,492

131,478

Evoqua

Water

Technologies

Corp.

*

28,254

743,080

ExOne

Co.

(The)

*

3,104

97,341

Franklin

Electric

Co.,

Inc.

2,799

220,953

Greenbrier

Cos.,

Inc.

(The)

5,342

252,249

Kadant,

Inc.

1,653

305,821

Lindsay

Corp.

1,848

307,914

Lydall,

Inc.

*

5,996

202,305

Meritor,

Inc.

*

7,668

225,593

Omega

Flex,

Inc.

1,685

266,028

Proto

Labs,

Inc.

*

4,164

506,967

Shyft

Group,

Inc.

(The)

17,759

660,635

SPX

Corp.

*

2,755

160,534

SPX

FLOW,

Inc.

2,161

136,856

Watts

Water

Technologies,

Inc.,

Class

A

1,024

121,661

Welbilt,

Inc.

*

8,956

145,535

7,112,728

Marine

-

0.1%

Matson,

Inc.

4,942

329,631

Media

-

0.7%

Cardlytics,

Inc.

*

7,336

804,759

EW

Scripps

Co.

(The),

Class

A

11,187

215,573

Fluent,

Inc.

*

23,735

97,314

Loral

Space

&

Communications,

Inc.

2,067

77,864

TechTarget,

Inc.

*

9,852

684,221

1,879,731

Metals

&

Mining

-

2.1%

Alcoa

Corp.

*

34,439

1,118,923

Caledonia

Mining

Corp.

plc

(South

Africa)

8,881

126,910

Century

Aluminum

Co.

*

33,798

596,873

Cleveland-Cliffs,

Inc.

63,281

1,272,581

Hecla

Mining

Co.

127,012

722,698

Ryerson

Holding

Corp.

*

12,229

208,382

United

States

Steel

Corp.

45,813

1,198,926

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

2.1%

(continued)

Worthington

Industries,

Inc.

9,658

647,955

5,893,248

Multiline

Retail

-

0.4%

Big

Lots,

Inc.

8,597

587,175

Franchise

Group,

Inc.

14,693

530,564

1,117,739

Oil,

Gas

&

Consumable

Fuels

-

2.5%

Antero

Resources

Corp.

*

119,172

1,215,554

Clean

Energy

Fuels

Corp.

*

61,856

849,901

CNX

Resources

Corp.

*

45,944

675,377

Contango

Oil

&

Gas

Co.

*

20,392

79,529

Energy

Fuels,

Inc.

*(b)

33,706

191,450

Green

Plains,

Inc.

*

10,780

291,815

Kosmos

Energy

Ltd.

(Ghana)

*

35,891

110,185

Matador

Resources

Co.

16,466

386,128

Ovintiv,

Inc.

23,235

553,458

PDC

Energy,

Inc.

*

3,072

105,677

Penn

Virginia

Corp.

*

7,717

103,408

Range

Resources

Corp.

*

83,830

865,964

Renewable

Energy

Group,

Inc.

*

11,086

732,119

SM

Energy

Co.

17,961

294,022

Southwestern

Energy

Co.

*

139,421

648,308

Uranium

Energy

Corp.

*

29,375

84,012

7,186,907

Paper

&

Forest

Products

-

0.5%

Clearwater

Paper

Corp.

*

6,314

237,533

Louisiana-Pacific

Corp.

20,974

1,163,218

1,400,751

Personal

Products

-

0.4%

elf

Beauty,

Inc.

*

16,044

430,461

Medifast,

Inc.

1,993

422,157

USANA

Health

Sciences,

Inc.

*

1,315

128,344

Veru,

Inc.

*

23,712

255,497

1,236,459

Pharmaceuticals

-

1.4%

Aquestive

Therapeutics,

Inc.

*

19,786

102,887

Axsome

Therapeutics,

Inc.

*

1,745

98,802

Cassava

Sciences,

Inc.

*(b)

17,122

769,634

Corcept

Therapeutics,

Inc.

*

22,441

533,871

Intra-Cellular

Therapies,

Inc.

*

18,027

611,656

Marinus

Pharmaceuticals,

Inc.

*(b)

11,535

178,562

Ocular

Therapeutix,

Inc.

*

24,511

402,225

Pacira

BioSciences,

Inc.

*

7,829

548,735

Paratek

Pharmaceuticals,

Inc.

*

32,626

230,340

Revance

Therapeutics,

Inc.

*

16,208

453,014

3,929,726

39

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Professional

Services

-

1.0%

ASGN,

Inc.

*

9,197

877,762

Exponent,

Inc.

1,771

172,584

Kforce,

Inc.

1,698

91,013

Korn

Ferry

1,790

111,642

Mastech

Digital,

Inc.

*

233

4,103

Red

Violet,

Inc.

*

8,174

150,565

TriNet

Group,

Inc.

*

9,190

716,452

Upwork,

Inc.

*

12,848

575,205

Willdan

Group,

Inc.

*

2,442

100,244

2,799,570

Real

Estate

Management

&

Development

-

1.4%

eXp

World

Holdings,

Inc.

*

28,550

1,300,453

Realogy

Holdings

Corp.

*

33,062

500,228

Redfin

Corp.

*

22,056

1,468,709

St

Joe

Co.

(The)

14,470

620,763

3,890,153

Road

&

Rail

-

0.9%

ArcBest

Corp.

1,360

95,703

Avis

Budget

Group,

Inc.

*

4,231

306,917

Covenant

Logistics

Group,

Inc.

*

5,720

117,775

Daseke,

Inc.

*

33,995

288,617

Marten

Transport

Ltd.

19,048

323,245

Saia,

Inc.

*

5,363

1,236,600

Universal

Logistics

Holdings,

Inc.

3,464

91,138

US

Xpress

Enterprises,

Inc.,

Class

A

*

21,447

252,002

2,711,997

Semiconductors

&

Semiconductor

Equipment

-

4.5%

Advanced

Energy

Industries,

Inc.

6,207

677,618

Alpha

&

Omega

Semiconductor

Ltd.

*

7,615

249,010

Ambarella,

Inc.

*

2,386

239,531

Amkor

Technology,

Inc.

46,301

1,097,797

Atomera,

Inc.

*(b)

16,970

415,765

Axcelis

Technologies,

Inc.

*

7,057

289,972

AXT,

Inc.

*

20,648

240,756

Brooks

Automation,

Inc.

9,575

781,799

CEVA,

Inc.

*

7,414

416,296

CMC

Materials,

Inc.

786

138,957

Cohu,

Inc.

*

7,126

298,152

Diodes,

Inc.

*

4,387

350,258

FormFactor,

Inc.

*

19,848

895,343

Impinj,

Inc.

*

1,639

93,210

Lattice

Semiconductor

Corp.

*

29,734

1,338,625

MACOM

Technology

Solutions

Holdings,

Inc.

*

18,726

1,086,483

MaxLinear,

Inc.

*

6,901

235,186

PDF

Solutions,

Inc.

*

5,510

97,968

Power

Integrations,

Inc.

1,946

158,560

Rambus,

Inc.

*

9,203

178,906

Semtech

Corp.

*

4,557

314,433

SiTime

Corp.

*

1,012

99,783

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

4.5%

(continued)

SunPower

Corp.

*(b)

36,713

1,228,050

Synaptics,

Inc.

*

7,810

1,057,630

Ultra

Clean

Holdings,

Inc.

*

13,588

788,647

Veeco

Instruments,

Inc.

*

12,035

249,606

13,018,341

Software

-

5.6%

8x8,

Inc.

*

3,240

105,106

A10

Networks,

Inc.

*

17,600

169,136

Agilysys,

Inc.

*

3,941

189,010

Alarm.com

Holdings,

Inc.

*

9,578

827,348

Altair

Engineering,

Inc.,

Class

A

*

6,408

400,948

Appfolio,

Inc.,

Class

A

*

7,511

1,062,130

Appian

Corp.

*(b)

10,356

1,376,830

Avaya

Holdings

Corp.

*

22,569

632,609

Blackline,

Inc.

*

11,926

1,292,778

Cerence,

Inc.

*

3,127

280,117

ChannelAdvisor

Corp.

*

14,025

330,289

Cloudera,

Inc.

*

32,245

392,422

Digital

Turbine,

Inc.

*

23,265

1,869,575

Domo,

Inc.,

Class

B

*

9,545

537,288

LivePerson,

Inc.

*

13,551

714,680

MicroStrategy,

Inc.,

Class

A

*

1,260

855,288

Q2

Holdings,

Inc.

*

7,818

783,364

Rapid7,

Inc.

*

1,647

122,883

Sailpoint

Technologies

Holdings,

Inc.

*

19,704

997,811

Sprout

Social,

Inc.,

Class

A

*

1,383

79,882

SPS

Commerce,

Inc.

*

3,472

344,804

Tenable

Holdings,

Inc.

*

15,847

573,424

Varonis

Systems,

Inc.

*

23,001

1,180,871

Veritone,

Inc.

*

13,185

316,176

VirnetX

Holding

Corp.

80

446

Workiva,

Inc.

*

7,494

661,420

16,096,635

Specialty

Retail

-

8.8%

Abercrombie

&

Fitch

Co.,

Class

A

*

7,091

243,292

American

Eagle

Outfitters,

Inc.

7,595

222,078

America's

Car-Mart,

Inc.

*

1,513

230,536

Asbury

Automotive

Group,

Inc.

*

6,653

1,307,315

At

Home

Group,

Inc.

*

16,217

465,428

Bed

Bath

&

Beyond,

Inc.

*

14,992

437,017

Boot

Barn

Holdings,

Inc.

*

1,902

118,514

Buckle,

Inc.

(The)

6,981

274,214

Caleres,

Inc.

15,633

340,799

Camping

World

Holdings,

Inc.,

Class

A

19,321

702,898

Citi

Trends,

Inc.

*

6,088

510,053

Container

Store

Group,

Inc.

(The)

*

26,802

445,985

GameStop

Corp.,

Class

A

*(b)

39,365

7,472,264

Group

1

Automotive,

Inc.

827

130,492

GrowGeneration

Corp.

*

11,383

565,621

Guess?,

Inc.

6,247

146,804

Haverty

Furniture

Cos.,

Inc.

8,297

308,565

40

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

8.8%

(continued)

Hibbett

Sports,

Inc.

*

7,360

507,030

Lithia

Motors,

Inc.,

Class

A

5,532

2,157,978

Lumber

Liquidators

Holdings,

Inc.

*

10,122

254,265

MarineMax,

Inc.

*

8,840

436,342

Murphy

USA,

Inc.

4,021

581,276

National

Vision

Holdings,

Inc.

*

17,388

762,116

ODP

Corp.

(The)

*

9,471

410,000

Rent-A-Center,

Inc.

17,484

1,008,127

RH

*

3,402

2,029,633

Shoe

Carnival,

Inc.

4,125

255,255

Signet

Jewelers

Ltd.

*

17,514

1,015,462

Sleep

Number

Corp.

*

6,012

862,662

Sonic

Automotive,

Inc.,

Class

A

17,846

884,626

Zumiez,

Inc.

*

4,422

189,704

25,276,351

Technology

Hardware,

Storage

&

Peripherals

-

0.3%

3D

Systems

Corp.

*

5,606

153,829

Avid

Technology,

Inc.

*

13,342

281,650

Diebold

Nixdorf,

Inc.

*

11,984

169,334

Eastman

Kodak

Co.

*(b)

32,027

252,052

856,865

Textiles,

Apparel

&

Luxury

Goods

-

1.4%

Crocs,

Inc.

*

14,870

1,196,291

Deckers

Outdoor

Corp.

*

5,771

1,906,854

Fossil

Group,

Inc.

*

28,455

352,842

G-III

Apparel

Group

Ltd.

*

4,865

146,631

Lakeland

Industries,

Inc.

*

9,464

263,667

Superior

Group

of

Cos.,

Inc.

4,261

108,315

3,974,600

Thrifts

&

Mortgage

Finance

-

1.1%

Axos

Financial,

Inc.

*

4,370

205,434

HomeStreet,

Inc.

5,133

226,211

Merchants

Bancorp

3,268

137,060

Mr

Cooper

Group,

Inc.

*

26,614

925,103

PennyMac

Financial

Services,

Inc.

16,180

1,081,956

Walker

&

Dunlop,

Inc.

5,226

536,919

Waterstone

Financial,

Inc.

7,804

159,358

3,272,041

Tobacco

-

0.1%

Turning

Point

Brands,

Inc.

7,502

391,379

Trading

Companies

&

Distributors

-

1.9%

Beacon

Roofing

Supply,

Inc.

*

1,613

84,392

Boise

Cascade

Co.

10,490

627,617

CAI

International,

Inc.

2,608

118,716

Herc

Holdings,

Inc.

*

5,285

535,529

Rush

Enterprises,

Inc.,

Class

A

9,799

488,284

SiteOne

Landscape

Supply,

Inc.

*

9,684

1,653,446

Systemax,

Inc.

8,468

348,204

Textainer

Group

Holdings

Ltd.

(China)

*

13,776

394,682

Triton

International

Ltd.

11,455

629,911

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

1.9%

(continued)

Veritiv

Corp.

*

4,973

211,552

WESCO

International,

Inc.

*

4,030

348,716

5,441,049

Water

Utilities

-

0.0%

(d)

Cadiz,

Inc.

*

10,859

104,138

Wireless

Telecommunication

Services

-

0.1%

Gogo,

Inc.

*

26,107

252,194

TOTAL

COMMON

STOCKS

(Cost

$172,542,718)

277,989,738

SHORT-TERM

INVESTMENTS

-

3.1%

INVESTMENT

COMPANIES

-

3.1%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(e)

(Cost

$8,777,605)

8,781,118

8,778,483

SECURITIES

LENDING

COLLATERAL

-

5.9%

Investment

Companies

-

5.9%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(e)(f)

6,579,342

6,579,342

Limited

Purpose

Cash

Investment

Fund

0.01%

(e)(f)

10,512,320

10,509,166

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$17,091,662)

17,088,508

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.8%

(Cost

$198,411,985)

303,856,729

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.8)%

(g)

(16,668,070)

NET

ASSETS

-

100.0%

287,188,659

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

5,371,647

1.9

%

Consumer

Discretionary

67,864,186

23.6

Consumer

Staples

10,484,401

3.7

Energy

9,687,501

3.4

Financials

18,728,138

6.5

Health

Care

64,192,812

22.3

Industrials

43,716,591

15.2

Information

Technology

39,710,134

13.8

Materials

11,445,028

4.0

Real

Estate

6,088,582

2.2

Utilities

700,718

0.2

Short-Term

Investments

8,778,483

3.1

Securities

Lending

Collateral

17,088,508

5.9

Total

Investments

In

Securities

At

Value

303,856,729

105.8

Liabilities

in

Excess

of

Other

Assets

(g

)

(16,668,070)

(5.8)

Net

Assets

$

287,188,659

100.0%

41

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2021,

the

value

of

these

securities

amounted

to

$130,085

or

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$16,651,559.

(c)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$76,881,

which

represents

approximately

0.03%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

60

6/2021

USD

$

6,667,500

$

(394,824)

$

(394,824)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,261,335

$

1,261,335

42

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.7%

Australia

-

5.4%

Afterpay

Ltd.

*

22,746

1,776,555

BHP

Group

plc

259,820

7,480,746

BlueScope

Steel

Ltd.

13,534

199,718

Coles

Group

Ltd.

73,478

896,032

CSL

Ltd.

9,497

1,919,381

Fortescue

Metals

Group

Ltd.

247,746

3,775,798

Glencore

plc

*

331,473

1,301,498

Goodman

Group,

REIT

106,176

1,466,115

Macquarie

Group

Ltd.

8,640

1,007,241

REA

Group

Ltd.

8,056

871,770

Rio

Tinto

plc

83,806

6,393,407

Santos

Ltd.

43,927

237,762

Sonic

Healthcare

Ltd.

10,449

279,421

Wesfarmers

Ltd.

71,019

2,852,026

WiseTech

Global

Ltd.

10,770

239,653

Woolworths

Group

Ltd.

5,364

167,058

30,864,181

—

Austria

-

0.1%

OMV

AG

3,330

168,755

Verbund

AG

2,041

148,256

voestalpine

AG

12,179

504,367

821,378

—

Belgium

-

0.3%

Ageas

SA/NV

3,797

229,286

Elia

Group

SA/NV

1,876

206,600

Sofina

SA

1,469

496,644

UCB

SA

7,235

687,788

1,620,318

—

Brazil

-

0.2%

Wheaton

Precious

Metals

Corp.

(1)

17,799

679,838

Yara

International

ASA

7,798

406,233

1,086,071

—

Canada

-

12.1%

Agnico

Eagle

Mines

Ltd.

(1)

7,247

418,950

AltaGas

Ltd.

(1)

14,355

239,193

Bank

of

Montreal

(1)

52,955

4,720,315

Bank

of

Nova

Scotia

(The)

(1)

83,464

5,221,565

Barrick

Gold

Corp.

(1)

30,665

608,322

BlackBerry

Ltd.

(1)*

22,409

187,945

Cameco

Corp.

(1)

33,081

548,586

Canadian

Imperial

Bank

of

Commerce

(1)

44,292

4,336,859

Canadian

National

Railway

Co.

(1)

37,704

4,375,548

Canadian

Natural

Resources

Ltd.

(1)

71,443

2,208,610

Canadian

Pacific

Railway

Ltd.

(1)

12,205

4,661,734

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

4,284

607,914

Canopy

Growth

Corp.

(1)*(a)

5,121

164,465

CCL

Industries,

Inc.,

Class

B

(1)

4,158

230,018

Cenovus

Energy,

Inc.

(1)

61,501

461,979

Constellation

Software,

Inc.

(1)

1,371

1,914,665

Dollarama

,

Inc.

(1)

9,861

435,651

Empire

Co.

Ltd.,

Class

A

(1)

8,679

270,584

Franco-Nevada

Corp.

(1)

6,299

789,392

INVESTMENTS

SHARES

VALUE

($)

Canada

-

12.1%

(continued)

Hydro

One

Ltd.

(1)(b)

40,709

948,160

Intact

Financial

Corp.

(1)

14,681

1,799,056

International

Petroleum

Corp.

*

17,719

57,534

Keyera

Corp.

(1)

11,435

237,672

Kinross

Gold

Corp.

(1)

125,286

834,442

Magna

International,

Inc.

(1)

22,371

1,970,257

Manulife

Financial

Corp.

(1)

22,263

478,848

Metro,

Inc.

(1)

12,517

571,019

National

Bank

of

Canada

(1)

45,626

3,099,460

Nutrien

Ltd.

(1)

16,439

885,589

Pan

American

Silver

Corp.

(1)

13,470

404,089

Quebecor,

Inc.,

Class

B

(1)

21,641

581,020

Ritchie

Bros

Auctioneers,

Inc.

(1)

6,457

378,058

Royal

Bank

of

Canada

(1)

107,195

9,883,573

Shopify,

Inc.,

Class

A

(1)*

8,230

9,086,138

Sun

Life

Financial,

Inc.

(1)

27,204

1,374,812

Teck

Resources

Ltd.,

Class

B

(1)

26,587

509,230

Thomson

Reuters

Corp.

(1)

22,826

1,999,614

WSP

Global,

Inc.

(1)

13,348

1,269,903

68,770,769

—

Chile

-

0.4%

Antofagasta

plc

70,388

1,639,556

Lundin

Mining

Corp.

(1)

76,684

788,990

2,428,546

—

China

-

1.7%

Prosus

NV

*

77,334

8,605,631

Wilmar

International

Ltd.

317,800

1,283,480

9,889,111

—

Denmark

-

3.0%

Ambu

A/S,

Class

B

26,346

1,237,277

AP

Moller

-

Maersk

A/S,

Class

B

1,087

2,523,491

Coloplast

A/S,

Class

B

1,226

184,325

DSV

Panalpina

A/S

17,024

3,339,149

Genmab

A/S

*

4,093

1,346,162

GN

Store

Nord

A/S

5,001

393,623

Orsted

A/S

(b)

21,190

3,421,451

Pandora

A/S

11,900

1,272,698

Tryg

A/S

9,825

231,565

Vestas

Wind

Systems

A/S

14,477

2,986,415

16,936,156

—

Finland

-

1.4%

Fortum

OYJ

9,746

260,306

Kone

OYJ,

Class

B

32,359

2,644,901

Neste

OYJ

39,097

2,076,275

Nordea

Bank

Abp

32,721

322,637

Stora

Enso

OYJ,

Class

R

50,752

946,777

UPM-

Kymmene

OYJ

44,965

1,615,942

7,866,838

—

France

-

7.0%

Adevinta

ASA

*

38,895

573,095

Air

Liquide

SA

11,920

1,946,249

Alstom

SA

*

9,203

458,558

AXA

SA

6,712

180,178

BioMerieux

5,964

758,732

BNP

Paribas

SA

*

18,097

1,102,638

43

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

7.0%

(continued)

Capgemini

SE

1,863

316,760

Cie

de

Saint-Gobain

4,005

236,501

Credit

Agricole

SA

47,846

692,916

Dassault

Systemes

SE

2,145

458,470

Electricite

de

France

SA

*

74,759

1,002,834

Hermes

International

3,672

4,061,222

Iliad

SA

4,737

899,809

Kering

SA

4,026

2,778,173

Legrand

SA

2,988

277,609

L'Oreal

SA

12,432

4,762,467

LVMH

Moet

Hennessy

Louis

Vuitton

SE

17,787

11,880,856

Publicis

Groupe

SA

4,043

246,552

Renault

SA

*

4,813

208,123

Safran

SA

1,824

248,114

Sartorius

Stedim

Biotech

4,580

1,884,892

Schneider

Electric

SE

19,529

2,974,954

Teleperformance

1,125

410,170

TOTAL

SE

4,098

191,048

Ubisoft

Entertainment

SA

*

3,711

282,057

Valeo

SA

6,230

211,367

Vivendi

SE

7,551

247,851

Worldline

SA

*(b)

6,697

560,652

39,852,847

—

Germany

-

9.6%

adidas

AG

*

664

207,428

BASF

SE

17,156

1,425,715

Bayerische

Motoren

Werke

AG

12,941

1,342,973

Brenntag

SE

15,745

1,345,078

Carl

Zeiss

Meditec

AG

1,216

183,293

Continental

AG

2,110

279,310

Covestro

AG

(b)

10,758

723,807

Daimler

AG

(Registered)

73,963

6,601,179

Delivery

Hero

SE

*(b)

17,222

2,232,268

Deutsche

Bank

AG

(Registered)

*

185,568

2,219,579

Deutsche

Boerse

AG

1,550

257,562

Deutsche

Post

AG

(Registered)

80,142

4,396,659

Deutsche

Telekom

AG

(Registered)

125,078

2,520,752

Deutsche

Wohnen

SE

9,275

432,664

Evonik

Industries

AG

15,476

547,618

GEA

Group

AG

17,415

714,290

Hannover

Rueck

SE

3,192

582,884

HeidelbergCement

AG

3,732

339,082

Infineon

Technologies

AG

102,015

4,340,492

Just

Eat

Takeaway.com

NV

*(b)

4,985

458,699

KION

Group

AG

9,872

975,409

Knorr-

Bremse

AG

4,298

536,358

LEG

Immobilien

SE

2,344

308,322

Merck

KGaA

15,617

2,671,352

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

625

192,481

Puma

SE

*

16,238

1,591,999

RWE

AG

38,843

1,524,269

SAP

SE

1,980

242,860

Scout24

AG

(b)

4,306

326,669

Siemens

AG

(Registered)

51,472

8,457,445

Siemens

Energy

AG

*

23,876

857,061

Symrise

AG

8,679

1,053,036

INVESTMENTS

SHARES

VALUE

($)

Germany

-

9.6%

(continued)

TeamViewer

AG

*(b)

8,743

373,906

United

Internet

AG

(Registered)

10,956

439,840

Volkswagen

AG

514

186,472

Vonovia

SE

30,565

1,997,401

Zalando

SE

*(b)

20,878

2,045,785

54,931,997

—

Hong

Kong

-

2.2%

AIA

Group

Ltd.

470,200

5,753,730

Hang

Lung

Properties

Ltd.

73,000

190,548

Hong

Kong

Exchanges

&

Clearing

Ltd.

74,300

4,407,914

PCCW

Ltd.

398,000

224,763

Techtronic

Industries

Co.

Ltd.

121,000

2,074,401

12,651,356

—

Italy

-

2.3%

DiaSorin

SpA

6,173

990,428

Enel

SpA

441,542

4,392,175

Ferrari

NV

12,337

2,580,696

FinecoBank

Banca

Fineco

SpA

*

34,870

570,466

Infrastrutture

Wireless

Italiane

SpA

(b)

77,508

863,234

Mediobanca

Banca

di

Credito

Finanziario

SpA

*

20,363

225,648

Moncler

SpA

*

7,443

426,252

Nexi

SpA

*(b)

59,778

1,042,962

Prysmian

SpA

13,082

424,774

Recordati

Industria

Chimica

e

Farmaceutica

SpA

15,612

839,605

Terna

Rete

Elettrica

Nazionale

SpA

132,958

1,004,111

13,360,351

—

Japan

-

25.2%

Advantest

Corp.

11,600

1,018,854

Aeon

Co.

Ltd.

46,400

1,385,972

Ajinomoto

Co.,

Inc.

9,000

184,489

Bandai

Namco

Holdings,

Inc.

11,200

800,659

Chugai

Pharmaceutical

Co.

Ltd.

62,500

2,539,615

Cosmos

Pharmaceutical

Corp.

5,200

811,188

CyberAgent

,

Inc.

27,600

498,195

Daifuku

Co.

Ltd.

11,400

1,120,269

Daiichi

Sankyo

Co.

Ltd.

103,100

3,008,022

Daikin

Industries

Ltd.

17,200

3,477,131

Denso

Corp.

39,100

2,606,567

Disco

Corp.

4,100

1,295,617

FANUC

Corp.

8,100

1,947,298

Fast

Retailing

Co.

Ltd.

5,500

4,396,578

Fuji

Electric

Co.

Ltd.

5,500

230,125

Fujitsu

Ltd.

16,000

2,328,219

GLP

J-REIT,

REIT

153

251,411

GMO

Payment

Gateway,

Inc.

6,800

903,564

Hamamatsu

Photonics

KK

9,300

550,971

Hitachi

Ltd.

10,300

466,882

Hoya

Corp.

26,700

3,142,505

Ito

En

Ltd.

8,300

509,112

ITOCHU

Corp.

94,200

3,058,299

Japan

Post

Insurance

Co.

Ltd.

10,900

223,915

JSR

Corp.

17,600

532,642

Kakaku.com,

Inc.

21,800

596,718

44

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

25.2%

(continued)

Keyence

Corp.

12,560

5,724,298

Kikkoman

Corp.

10,700

638,091

Kobayashi

Pharmaceutical

Co.

Ltd.

7,000

653,802

Kobe

Bussan

Co.

Ltd.

31,200

836,542

Koito

Manufacturing

Co.

Ltd.

8,500

571,899

Komatsu

Ltd.

17,300

536,115

Konami

Holdings

Corp.

8,300

495,507

Kubota

Corp.

56,800

1,295,720

Kurita

Water

Industries

Ltd.

6,600

283,567

Kyowa

Kirin

Co.

Ltd.

29,600

886,447

Lasertec

Corp.

11,400

1,505,501

Lixil

Corp.

24,900

692,949

M3,

Inc.

39,600

2,718,464

Makita

Corp.

10,400

446,700

Mercari

,

Inc.

*

17,200

785,253

Mitsubishi

Gas

Chemical

Co.,

Inc.

23,200

570,667

Mitsui

Chemicals,

Inc.

6,800

215,205

Miura

Co.

Ltd.

13,400

725,038

MonotaRO

Co.

Ltd.

48,200

1,307,587

Murata

Manufacturing

Co.

Ltd.

38,500

3,099,075

Nabtesco

Corp.

6,900

315,731

Nexon

Co.

Ltd.

62,700

2,034,492

Nidec

Corp.

34,600

4,218,703

Nihon

M&A

Center,

Inc.

33,600

911,352

Nintendo

Co.

Ltd.

7,200

4,058,176

Nippon

Paint

Holdings

Co.

Ltd.

123,500

1,783,794

Nippon

Prologis

REIT,

Inc.,

REIT

144

463,038

Nippon

Yusen

KK

28,200

964,452

Nissan

Chemical

Corp.

9,500

508,273

Nitori

Holdings

Co.

Ltd.

8,300

1,607,746

Nitto

Denko

Corp.

9,000

771,486

Nomura

Holdings,

Inc.

204,200

1,081,945

Nomura

Research

Institute

Ltd.

49,650

1,542,520

NTT

Data

Corp.

12,500

193,861

Obic

Co.

Ltd.

9,100

1,669,774

Olympus

Corp.

81,500

1,690,628

Omron

Corp.

14,800

1,159,320

Ono

Pharmaceutical

Co.

Ltd.

38,100

996,403

Oracle

Corp.

Japan

7,700

753,794

Oriental

Land

Co.

Ltd.

2,600

391,251

Pan

Pacific

International

Holdings

Corp.

46,600

1,099,966

Panasonic

Corp.

88,400

1,144,732

Recruit

Holdings

Co.

Ltd.

42,700

2,096,835

Renesas

Electronics

Corp.

*

114,500

1,253,639

Rinnai

Corp.

3,000

336,486

Rohm

Co.

Ltd.

2,400

235,377

Ryohin

Keikaku

Co.

Ltd.

9,400

223,121

SG

Holdings

Co.

Ltd.

42,200

968,883

Sharp

Corp.

14,800

256,259

Shimadzu

Corp.

18,600

674,444

Shimano,

Inc.

4,900

1,170,318

Shin-Etsu

Chemical

Co.

Ltd.

24,700

4,184,189

Shionogi

&

Co.

Ltd.

3,900

210,541

Shiseido

Co.

Ltd.

3,800

255,566

SMC

Corp.

3,900

2,271,283

SoftBank

Group

Corp.

116,200

9,892,995

Sony

Group

Corp.

70,700

7,482,427

Square

Enix

Holdings

Co.

Ltd.

12,100

672,990

SUMCO

Corp.

30,800

705,854

INVESTMENTS

SHARES

VALUE

($)

Japan

-

25.2%

(continued)

Sumitomo

Chemical

Co.

Ltd.

44,200

229,322

Sumitomo

Metal

Mining

Co.

Ltd.

21,700

940,375

Sundrug

Co.

Ltd.

14,700

538,557

Suzuki

Motor

Corp.

12,900

587,586

Sysmex

Corp.

11,400

1,230,558

T&D

Holdings,

Inc.

19,200

247,058

TDK

Corp.

10,100

1,405,998

Terumo

Corp.

12,200

441,498

THK

Co.

Ltd.

7,000

242,865

Toho

Gas

Co.

Ltd.

11,900

734,333

Tokyo

Century

Corp.

6,100

411,012

Tokyo

Electron

Ltd.

10,200

4,433,263

Tosoh

Corp.

13,400

256,643

TOTO

Ltd.

7,000

430,822

Toyo

Suisan

Kaisha

Ltd.

3,900

163,679

Toyoda

Gosei

Co.

Ltd.

7,500

197,722

Toyota

Industries

Corp.

14,000

1,251,032

Toyota

Motor

Corp.

6,900

536,958

Toyota

Tsusho

Corp.

4,600

193,708

Unicharm

Corp.

31,800

1,335,299

Yamaha

Corp.

5,000

272,466

Yamaha

Motor

Co.

Ltd.

7,300

179,657

Yamato

Holdings

Co.

Ltd.

12,200

335,028

Yaskawa

Electric

Corp.

10,900

544,589

Z

Holdings

Corp.

329,000

1,641,115

142,907,031

—

Jordan

-

0.0%

(c)

Hikma

Pharmaceuticals

plc

8,384

263,004

Luxembourg

-

0.8%

ArcelorMittal

SA

121,500

3,496,945

Eurofins

Scientific

SE

13,280

1,269,306

4,766,251

—

Macau

-

0.1%

Galaxy

Entertainment

Group

Ltd.

*

78,000

705,146

Netherlands

-

5.1%

Adyen

NV

*(b)

1,905

4,250,827

Akzo

Nobel

NV

4,141

462,326

Argenx

SE

*

1,757

483,129

ASML

Holding

NV

23,359

14,332,365

ING

Groep

NV

115,214

1,407,234

Koninklijke

Ahold

Delhaize

NV

6,040

168,473

Koninklijke

DSM

NV

15,715

2,656,751

Koninklijke

Philips

NV

*

26,696

1,522,350

NN

Group

NV

28,834

1,406,564

Randstad

NV

3,352

235,293

Wolters

Kluwer

NV

26,369

2,290,276

29,215,588

—

Norway

-

0.6%

DNB

ASA

64,867

1,383,154

Gjensidige

Forsikring

ASA

16,012

375,518

Norsk

Hydro

ASA

213,476

1,371,148

Schibsted

ASA,

Class

B

12,903

462,478

3,592,298

—

Portugal

-

0.2%

EDP

-

Energias

de

Portugal

SA

162,103

925,880

45

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Russia

-

0.2%

Evraz

plc

108,154

861,317

Singapore

-

0.3%

DBS

Group

Holdings

Ltd.

44,200

947,710

Mapletree

Logistics

Trust,

REIT

382,785

550,408

Venture

Corp.

Ltd.

25,700

383,764

1,881,882

—

South

Africa

-

0.5%

Anglo

American

plc

68,968

2,701,328

Spain

-

1.1%

Cellnex

Telecom

SA

(b)

27,745

1,599,449

Ferrovial

SA

6,756

176,541

Iberdrola

SA

367,302

4,740,742

6,516,732

—

Sweden

-

6.6%

Assa

Abloy

AB,

Class

B

11,958

344,156

Atlas

Copco

AB,

Class

A

76,062

4,637,291

Boliden

AB

22,142

821,542

Epiroc

AB,

Class

A

81,303

1,841,852

EQT

AB

57,043

1,878,070

Evolution

Gaming

Group

AB

(b)

20,737

3,053,835

H

&

M

Hennes

&

Mauritz

AB,

Class

B

*

8,210

185,025

Hexagon

AB,

Class

B

16,241

1,499,180

Husqvarna

AB,

Class

B

32,280

465,369

Industrivarden

AB,

Class

C

*

16,099

564,976

Investment

AB

Latour

,

Class

B

43,535

1,128,066

Investor

AB,

Class

B

42,181

3,365,613

Kinnevik

AB,

Class

B

*

30,785

1,496,214

L

E

Lundbergforetagen

AB,

Class

B

*

9,185

501,637

Nibe

Industrier

AB,

Class

B

53,504

1,659,341

Sandvik

AB

*

78,057

2,135,789

Skandinaviska

Enskilda

Banken

AB,

Class

A

77,593

946,518

SKF

AB,

Class

B

51,529

1,466,233

Svenska

Cellulosa

AB

SCA,

Class

B

*

73,283

1,297,115

Swedbank

AB,

Class

A

60,414

1,065,212

Swedish

Match

AB

13,989

1,091,298

Telefonaktiebolaget

LM

Ericsson,

Class

B

160,385

2,125,944

Volvo

AB,

Class

B

154,793

3,920,137

37,490,413

—

Switzerland

-

5.2%

ABB

Ltd.

(Registered)

117,676

3,579,878

Alcon,

Inc.

*

2,426

170,245

Banque

Cantonale

Vaudoise

(Registered)

3,212

313,406

Chocoladefabriken

Lindt

&

Spruengli

AG

32

278,758

Cie

Financiere

Richemont

SA

(Registered)

26,567

2,551,052

Credit

Suisse

Group

AG

(Registered)

51,029

539,854

EMS-

Chemie

Holding

AG

(Registered)

1,230

1,098,779

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

5.2%

(continued)

Geberit

AG

(Registered)

2,521

1,604,478

Givaudan

SA

(Registered)

489

1,886,193

Kuehne

+

Nagel

International

AG

(Registered)

5,019

1,433,558

LafargeHolcim

Ltd.

(Registered)

*

8,443

496,490

Logitech

International

SA

(Registered)

14,824

1,554,655

Lonza

Group

AG

(Registered)

4,420

2,472,104

Partners

Group

Holding

AG

2,044

2,612,080

Sika

AG

(Registered)

11,857

3,390,562

Sonova

Holding

AG

(Registered)

*

903

239,363

STMicroelectronics

NV

47,150

1,801,383

Straumann

Holding

AG

(Registered)

869

1,084,963

Swatch

Group

AG

(The)

751

216,242

UBS

Group

AG

(Registered)

148,047

2,290,508

29,614,551

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(d)

13,256

—

United

Kingdom

-

2.5%

Admiral

Group

plc

14,798

632,480

Ashtead

Group

plc

36,527

2,180,503

AstraZeneca

plc

11,244

1,122,248

Auto

Trader

Group

plc

*(b)

29,518

225,696

Bunzl

plc

23,408

749,232

CNH

Industrial

NV

23,076

357,221

Compass

Group

plc

*

19,750

399,025

Croda

International

plc

6,531

571,438

Entain

plc

*

18,047

377,412

Experian

plc

5,258

181,143

Intertek

Group

plc

3,758

290,178

JD

Sports

Fashion

plc

*

40,506

460,464

Kingfisher

plc

*

80,860

354,413

London

Stock

Exchange

Group

plc

19,315

1,846,507

Ocado

Group

plc

*

32,243

904,003

Persimmon

plc

30,269

1,226,066

Prudential

plc

18,655

397,399

Rentokil

Initial

plc

*

74,198

495,375

Sage

Group

plc

(The)

24,131

203,863

Spirax-Sarco

Engineering

plc

3,450

542,058

SSE

plc

23,902

479,259

13,995,983

—

United

States

-

0.2%

Ferguson

plc

7,344

877,278

QIAGEN

NV

*

4,911

237,688

1,114,966

—

Zambia

-

0.4%

First

Quantum

Minerals

Ltd.

(1)

106,189

2,023,734

TOTAL

COMMON

STOCKS

(Cost

$387,595,868)

539,656,023

46

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

4.1%

INVESTMENT

COMPANIES

-

4.1%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(e)

(Cost

$23,255,057)

23,262,949

23,255,970

SECURITIES

LENDING

COLLATERAL

-

0.0%

(c)

Investment

Companies

-

0.0%

(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(1)(e)(f)

59,213

59,213

Limited

Purpose

Cash

Investment

Fund

0.01%

(1)(e)(f)

94,610

94,582

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$153,823)

153,795

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.8%

(Cost

$411,004,748)

563,065,788

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.2%

(g)

6,560,335

NET

ASSETS

-

100.0%

569,626,123

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

30,255,220

5.3

%

Consumer

Discretionary

89,633,712

15.7

Consumer

Staples

16,801,468

3.0

Energy

6,188,221

1.1

Financials

75,322,437

13.2

Health

Care

39,269,823

6.9

Industrials

109,307,122

19.2

Information

Technology

77,613,866

13.6

Materials

69,576,676

12.2

Real

Estate

5,659,908

1.0

Utilities

20,027,570

3.5

Short-Term

Investments

23,255,970

4.1

Securities

Lending

Collateral

153,795

0.0(c)

Total

Investments

In

Securities

At

Value

563,065,788

98.8

Other

Assets

in

Excess

of

Liabilities

(g)

6,560,335

1.2

Net

Assets

$

569,626,123

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$146,525.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$22,127,400,

which

represents

approximately

3.88%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

207

6/2021

USD

$

22,687,200

$

(76,592)

$

(76,592)

47

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,597,955

$

1,597,955

48

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

98.8%

Air

Freight

&

Logistics

-

1.6%

CH

Robinson

Worldwide,

Inc.

460,472

43,942,843

Expeditors

International

of

Washington,

Inc.

454,124

48,904,614

92,847,457

Banks

-

2.5%

Bank

of

Hawaii

Corp.

24,291

2,173,802

Commerce

Bancshares,

Inc.

36,928

2,829,054

Cullen/Frost

Bankers,

Inc.

15,084

1,640,536

East

West

Bancorp,

Inc.

275,308

20,317,730

First

Citizens

BancShares

,

Inc.,

Class

A

3,251

2,717,088

First

Hawaiian,

Inc.

57,549

1,575,116

JPMorgan

Chase

&

Co.

251,958

38,355,566

M&T

Bank

Corp.

15,636

2,370,574

Popular,

Inc.

23,392

1,644,926

Prosperity

Bancshares,

Inc.

31,798

2,381,352

SVB

Financial

Group

*

132,112

65,218,410

Western

Alliance

Bancorp

58,080

5,485,075

146,709,229

Beverages

-

3.7%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

9,808

11,831,194

Brown-Forman

Corp.,

Class

B

28,757

1,983,370

Coca-Cola

Co.

(The)

1,242,341

65,483,794

Monster

Beverage

Corp.

*

558,093

50,836,692

PepsiCo,

Inc.

577,138

81,636,170

211,771,220

Biotechnology

-

2.3%

AbbVie,

Inc.

29,913

3,237,185

Amgen,

Inc.

218,836

54,448,585

Biogen,

Inc.

*

134,272

37,562,592

Moderna

,

Inc.

*

70,450

9,225,428

Seagen

,

Inc.

*

133,333

18,514,620

United

Therapeutics

Corp.

*

17,860

2,987,442

Vertex

Pharmaceuticals,

Inc.

*

37,952

8,155,505

134,131,357

Capital

Markets

-

3.5%

BlackRock,

Inc.

90,932

68,559,091

CME

Group,

Inc.

143,628

29,333,146

Intercontinental

Exchange,

Inc.

287,999

32,163,728

Northern

Trust

Corp.

19,462

2,045,651

S&P

Global,

Inc.

104,478

36,867,152

SEI

Investments

Co.

28,634

1,744,670

T.

Rowe

Price

Group,

Inc.

190,058

32,613,953

203,327,391

Chemicals

-

4.1%

Air

Products

and

Chemicals,

Inc.

114,815

32,302,052

Corteva

,

Inc.

233,910

10,904,884

Ecolab,

Inc.

362,069

77,508,111

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

4.1%

(continued)

Linde

plc

(United

Kingdom)

203,600

57,036,504

NewMarket

Corp.

4,687

1,781,810

PPG

Industries,

Inc.

121,179

18,208,357

Sherwin-Williams

Co.

(The)

56,210

41,483,542

239,225,260

Commercial

Services

&

Supplies

-

1.4%

Cintas

Corp.

43,038

14,689,300

Copart

,

Inc.

*

38,099

4,137,932

Republic

Services,

Inc.

199,929

19,862,946

Rollins,

Inc.

180,676

6,218,868

Waste

Management,

Inc.

272,924

35,212,655

80,121,701

Communications

Equipment

-

0.2%

Cisco

Systems,

Inc.

197,652

10,220,585

Ubiquiti,

Inc.

10,244

3,055,785

13,276,370

Consumer

Finance

-

0.1%

Credit

Acceptance

Corp.

*(a)

17,071

6,149,486

Containers

&

Packaging

-

0.1%

AptarGroup,

Inc.

20,164

2,856,634

Distributors

-

0.0%

(b)

Pool

Corp.

7,011

2,420,478

Diversified

Telecommunication

Services

-

1.5%

Verizon

Communications,

Inc.

1,485,076

86,357,169

Electric

Utilities

-

3.4%

Alliant

Energy

Corp.

64,297

3,482,326

American

Electric

Power

Co.,

Inc.

91,812

7,776,476

Duke

Energy

Corp.

469,097

45,281,933

Evergy

,

Inc.

39,221

2,334,826

Eversource

Energy

93,315

8,080,146

Exelon

Corp.

76,446

3,343,748

IDACORP,

Inc.

51,492

5,147,655

NextEra

Energy,

Inc.

1,126,143

85,147,672

OGE

Energy

Corp.

80,354

2,600,256

Pinnacle

West

Capital

Corp.

120,631

9,813,332

Xcel

Energy,

Inc.

318,018

21,151,377

194,159,747

Electrical

Equipment

-

0.4%

Eaton

Corp.

plc

30,731

4,249,483

Emerson

Electric

Co.

24,265

2,189,188

Hubbell,

Inc.

10,449

1,952,814

Rockwell

Automation,

Inc.

59,943

15,911,270

24,302,755

Electronic

Equipment,

Instruments

&

Components

-

0.6%

Amphenol

Corp.,

Class

A

145,780

9,617,107

Cognex

Corp.

201,251

16,701,821

Dolby

Laboratories,

Inc.,

Class

A

44,313

4,374,579

Littelfuse

,

Inc.

9,392

2,483,620

49

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

0.6%

(continued)

National

Instruments

Corp.

41,890

1,809,020

34,986,147

Entertainment

-

0.6%

Activision

Blizzard,

Inc.

48,165

4,479,345

Electronic

Arts,

Inc.

33,731

4,566,165

Netflix,

Inc.

*

43,080

22,473,113

Spotify

Technology

SA

*

11,489

3,078,478

34,597,101

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.3%

Public

Storage

75,821

18,709,590

Food

&

Staples

Retailing

-

4.1%

Casey's

General

Stores,

Inc.

90,055

19,468,991

Costco

Wholesale

Corp.

250,907

88,439,699

Kroger

Co.

(The)

1,176,910

42,356,991

Sprouts

Farmers

Market,

Inc.

*

77,252

2,056,448

Walmart,

Inc.

639,598

86,876,596

239,198,725

Food

Products

-

4.4%

Archer-Daniels-Midland

Co.

49,290

2,809,530

Campbell

Soup

Co.

196,117

9,858,802

Flowers

Foods,

Inc.

364,115

8,665,937

General

Mills,

Inc.

423,345

25,959,515

Hershey

Co.

(The)

367,208

58,077,617

Hormel

Foods

Corp.

1,074,004

51,315,911

Ingredion,

Inc.

54,727

4,921,052

J

M

Smucker

Co.

(The)

126,963

16,064,628

Lamb

Weston

Holdings,

Inc.

59,163

4,583,949

McCormick

&

Co.,

Inc.

(Non-Voting)

225,018

20,062,605

Mondelez

International,

Inc.,

Class

A

672,635

39,369,327

Pilgrim's

Pride

Corp.

*

69,610

1,656,022

Tyson

Foods,

Inc.,

Class

A

145,842

10,836,061

254,180,956

Gas

Utilities

-

0.1%

Atmos

Energy

Corp.

38,449

3,800,683

UGI

Corp.

41,669

1,708,846

5,509,529

Health

Care

Equipment

&

Supplies

-

5.7%

Abbott

Laboratories

515,113

61,731,142

ABIOMED,

Inc.

*

79,132

25,221,742

Align

Technology,

Inc.

*

25,808

13,975,806

Baxter

International,

Inc.

34,005

2,867,982

Becton

Dickinson

and

Co.

30,947

7,524,763

Cooper

Cos.,

Inc.

(The)

33,784

12,976,096

Danaher

Corp.

181,447

40,840,091

Edwards

Lifesciences

Corp.

*

452,812

37,873,196

IDEXX

Laboratories,

Inc.

*

4,988

2,440,678

Intuitive

Surgical,

Inc.

*

79,607

58,824,796

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

5.7%

(continued)

Masimo

Corp.

*

40,742

9,356,808

Medtronic

plc

157,699

18,628,983

ResMed

,

Inc.

60,036

11,648,185

Stryker

Corp.

70,579

17,191,633

West

Pharmaceutical

Services,

Inc.

40,400

11,383,912

332,485,813

Health

Care

Providers

&

Services

-

1.4%

Anthem,

Inc.

10,042

3,604,576

Chemed

Corp.

30,317

13,940,363

Guardant

Health,

Inc.

*

14,541

2,219,684

Henry

Schein,

Inc.

*

91,633

6,344,669

Premier,

Inc.,

Class

A

58,165

1,968,885

UnitedHealth

Group,

Inc.

137,321

51,093,024

79,171,201

Health

Care

Technology

-

0.1%

Veeva

Systems,

Inc.,

Class

A

*

24,549

6,413,181

Household

Durables

-

0.2%

Garmin

Ltd.

75,680

9,978,408

Household

Products

-

4.1%

Church

&

Dwight

Co.,

Inc.

156,831

13,699,188

Clorox

Co.

(The)

302,474

58,341,185

Colgate-Palmolive

Co.

860,804

67,857,179

Kimberly-Clark

Corp.

66,762

9,283,256

Procter

&

Gamble

Co.

(The)

659,958

89,378,112

238,558,920

Industrial

Conglomerates

-

1.2%

3M

Co.

211,414

40,735,249

Honeywell

International,

Inc.

127,725

27,725,266

Roper

Technologies,

Inc.

4,828

1,947,326

70,407,841

Insurance

-

4.0%

Alleghany

Corp.

*

3,731

2,336,688

Allstate

Corp.

(The)

240,269

27,606,908

Aon

plc,

Class

A

118,512

27,270,796

Arthur

J

Gallagher

&

Co.

96,160

11,997,883

Assurant,

Inc.

58,831

8,340,471

Brown

&

Brown,

Inc.

75,396

3,446,351

Chubb

Ltd.

138,577

21,891,009

CNA

Financial

Corp.

49,390

2,204,276

Erie

Indemnity

Co.,

Class

A

30,215

6,674,796

Everest

Re

Group

Ltd.

47,975

11,888,685

First

American

Financial

Corp.

30,741

1,741,478

Hanover

Insurance

Group,

Inc.

(The)

19,111

2,474,110

Markel

Corp.

*

2,100

2,393,202

Marsh

&

McLennan

Cos.,

Inc.

189,064

23,027,995

Mercury

General

Corp.

36,788

2,237,078

Old

Republic

International

Corp.

126,961

2,772,828

Progressive

Corp.

(The)

403,005

38,531,308

RenaissanceRe

Holdings

Ltd.

18,843

3,019,591

50

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

4.0%

(continued)

Travelers

Cos.,

Inc.

(The)

161,913

24,351,715

W

R

Berkley

Corp.

39,421

2,970,373

White

Mountains

Insurance

Group

Ltd.

2,117

2,360,243

229,537,784

Interactive

Media

&

Services

-

3.0%

Alphabet,

Inc.,

Class

A

*

40,491

83,513,497

Facebook,

Inc.,

Class

A

*

302,785

89,179,266

172,692,763

Internet

&

Direct

Marketing

Retail

-

1.9%

Amazon.com,

Inc.

*

26,994

83,521,596

Booking

Holdings,

Inc.

*

11,399

26,557,846

110,079,442

IT

Services

-

6.5%

Accenture

plc,

Class

A

321,073

88,696,416

Akamai

Technologies,

Inc.

*

105,026

10,702,149

Amdocs

Ltd.

50,280

3,527,142

Automatic

Data

Processing,

Inc.

123,768

23,326,555

Broadridge

Financial

Solutions,

Inc.

13,087

2,003,620

EPAM

Systems,

Inc.

*

31,704

12,576,660

Global

Payments,

Inc.

12,177

2,454,640

Jack

Henry

&

Associates,

Inc.

28,136

4,268,794

Mastercard

,

Inc.,

Class

A

227,212

80,898,833

Paychex,

Inc.

143,944

14,109,391

PayPal

Holdings,

Inc.

*

188,292

45,724,829

VeriSign,

Inc.

*

44,991

8,942,411

Visa,

Inc.,

Class

A

383,017

81,096,189

378,327,629

Life

Sciences

Tools

&

Services

-

2.7%

Agilent

Technologies,

Inc.

138,944

17,665,340

Bio-

Techne

Corp.

24,584

9,389,367

Charles

River

Laboratories

International,

Inc.

*

15,818

4,584,531

Illumina,

Inc.

*

80,273

30,829,648

Mettler

-Toledo

International,

Inc.

*

27,410

31,677,463

QIAGEN

NV

*

146,350

7,125,781

Thermo

Fisher

Scientific,

Inc.

105,457

48,128,466

Waters

Corp.

*

18,651

5,300,055

154,700,651

Machinery

-

2.1%

Caterpillar,

Inc.

92,711

21,496,900

Cummins,

Inc.

80,173

20,773,626

Donaldson

Co.,

Inc.

31,947

1,858,038

Dover

Corp.

16,880

2,314,754

Fortive

Corp.

27,067

1,912,013

IDEX

Corp.

29,273

6,127,424

Illinois

Tool

Works,

Inc.

267,122

59,172,865

Lincoln

Electric

Holdings,

Inc.

19,883

2,444,416

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

2.1%

(continued)

Toro

Co.

(The)

31,020

3,199,403

119,299,439

Media

-

0.4%

Cable

One,

Inc.

3,853

7,044,671

Charter

Communications,

Inc.,

Class

A

*

11,540

7,120,411

John

Wiley

&

Sons,

Inc.,

Class

A

35,473

1,922,637

New

York

Times

Co.

(The),

Class

A

127,752

6,466,806

22,554,525

Metals

&

Mining

-

1.2%

Newmont

Corp.

1,031,705

62,180,860

Royal

Gold,

Inc.

51,821

5,576,976

67,757,836

Multiline

Retail

-

1.8%

Dollar

General

Corp.

36,221

7,339,099

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

43,728

3,804,336

Target

Corp.

469,720

93,037,441

104,180,876

Multi-Utilities

-

2.6%

Ameren

Corp.

240,894

19,599,136

CMS

Energy

Corp.

44,983

2,753,859

Consolidated

Edison,

Inc.

448,096

33,517,581

Dominion

Energy,

Inc.

309,444

23,505,366

DTE

Energy

Co.

95,657

12,735,773

MDU

Resources

Group,

Inc.

76,093

2,405,300

Public

Service

Enterprise

Group,

Inc.

374,039

22,520,888

Sempra

Energy

67,303

8,923,032

WEC

Energy

Group,

Inc.

275,219

25,757,746

151,718,681

Personal

Products

-

1.4%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

281,314

81,820,177

Pharmaceuticals

-

4.4%

Bristol-Myers

Squibb

Co.

37,446

2,363,966

Eli

Lilly

and

Co.

280,018

52,312,963

Johnson

&

Johnson

524,047

86,127,124

Merck

&

Co.,

Inc.

917,776

70,751,352

Pfizer,

Inc.

312,131

11,308,506

Zoetis,

Inc.

218,092

34,345,128

257,209,039

Professional

Services

-

0.5%

CoStar

Group,

Inc.

*

22,785

18,726,764

Robert

Half

International,

Inc.

40,535

3,164,567

Verisk

Analytics,

Inc.

32,852

5,804,620

27,695,951

51

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Road

&

Rail

-

2.0%

JB

Hunt

Transport

Services,

Inc.

91,560

15,388,489

Kansas

City

Southern

7,919

2,089,982

Landstar

System,

Inc.

125,621

20,735,002

Old

Dominion

Freight

Line,

Inc.

297,755

71,583,280

Union

Pacific

Corp.

36,731

8,095,880

117,892,633

Semiconductors

&

Semiconductor

Equipment

-

3.7%

Analog

Devices,

Inc.

25,044

3,883,824

Broadcom,

Inc.

32,808

15,211,757

Intel

Corp.

460,039

29,442,496

Lam

Research

Corp.

19,572

11,650,037

Monolithic

Power

Systems,

Inc.

15,625

5,518,906

NVIDIA

Corp.

69,559

37,139,637

Skyworks

Solutions,

Inc.

165,027

30,279,154

Texas

Instruments,

Inc.

411,294

77,730,453

Universal

Display

Corp.

12,256

2,901,853

213,758,117

Software

-

5.3%

Adobe,

Inc.

*

124,061

58,974,877

ANSYS,

Inc.

*

46,957

15,944,719

Cadence

Design

Systems,

Inc.

*

142,727

19,552,172

Cloudflare

,

Inc.,

Class

A

*

138,211

9,710,705

Crowdstrike

Holdings,

Inc.,

Class

A

*

7,767

1,417,555

Intuit,

Inc.

209,565

80,275,969

Manhattan

Associates,

Inc.

*

33,515

3,933,991

Microsoft

Corp.

357,712

84,337,758

Oracle

Corp.

61,492

4,314,894

Pegasystems

,

Inc.

13,785

1,576,177

salesforce.com,

Inc.

*

19,828

4,200,958

Synopsys,

Inc.

*

16,359

4,053,433

Tyler

Technologies,

Inc.

*

6,034

2,561,614

Zoom

Video

Communications,

Inc.,

Class

A

*

40,206

12,917,786

303,772,608

Specialty

Retail

-

2.4%

AutoZone,

Inc.

*

3,226

4,530,272

Best

Buy

Co.,

Inc.

189,656

21,774,405

Home

Depot,

Inc.

(The)

212,466

64,855,246

Lowe's

Cos.,

Inc.

187,349

35,630,033

Williams-Sonoma,

Inc.

80,358

14,400,154

141,190,110

Technology

Hardware,

Storage

&

Peripherals

-

1.3%

Apple,

Inc.

617,612

75,441,306

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Lululemon

Athletica

,

Inc.

*

90,544

27,770,750

NIKE,

Inc.,

Class

B

331,073

43,996,291

71,767,041

INVESTMENTS

SHARES

VALUE

($)

Tobacco

-

0.9%

Altria

Group,

Inc.

500,171

25,588,748

Philip

Morris

International,

Inc.

326,408

28,965,446

54,554,194

Trading

Companies

&

Distributors

-

0.2%

Fastenal

Co.

80,827

4,063,981

WW

Grainger,

Inc.

17,520

7,024,294

11,088,275

Water

Utilities

-

0.2%

American

Water

Works

Co.,

Inc.

58,709

8,801,653

Essential

Utilities,

Inc.

59,677

2,670,546

11,472,199

Wireless

Telecommunication

Services

-

1.5%

T-Mobile

US,

Inc.

*

672,372

84,241,488

TOTAL

COMMON

STOCKS

(Cost

$3,815,237,181)

5,724,606,430

SHORT-TERM

INVESTMENTS

-

1.2%

INVESTMENT

COMPANIES

-

1.2%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(c)(d)

(Cost

$71,964,128)

71,992,926

71,971,328

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.03%

(c)(e)

2,264,383

2,264,383

Limited

Purpose

Cash

Investment

Fund

0.01%

(c)(d)(e)

3,617,978

3,616,892

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$5,882,361)

5,881,275

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.1%

(Cost

$3,893,083,670)

5,802,459,033

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.1)%

(f)

(8,256,089)

NET

ASSETS

-

100.0%

5,794,202,944

52

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2021.

The

total

value

of

securities

on

loan

at

March

31,

2021

was

$5,769,421.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(d)

For

the

period

ended

March

31,

2021,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

400,443,046

6.9

%

Consumer

Discretionary

439,616,354

7.6

Consumer

Staples

1,080,084,193

18.6

Financials

585,723,890

10.1

Health

Care

964,111,243

16.6

Industrials

543,656,051

9.4

Information

Technology

1,019,562,176

17.6

Materials

309,839,730

5.4

Real

Estate

18,709,590

0.3

Utilities

362,860,157

6.3

Short-Term

Investments

71,971,328

1.2

Securities

Lending

Collateral

5,881,275

0.1

Total

Investments

In

Securities

At

Value

5,802,459,033

100.1

Liabilities

in

Excess

of

Other

Assets

(f)

(8,256,089)

(0.1)

Net

Assets

$

5,794,202,944

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

Affiliate

Value

At

9/30/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

3/31/2021

Shares

Held

At

3/31/2021

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

1.2%

INVESTMENT

COMPANIES

-

1.2%

Limited

Purpose

Cash

Investment

Fund,

0.01%

^(a)

(Cost

$71,964,128)

$265,863,029

$1,557,549,830

$(1,751,431,869)

$(52,585)

$42,923

$71,971,328

71,992,926

$35,929

$29,246

SECURITIES

LENDING

COLLATERAL

-

0.1%

Limited

Purpose

Cash

Investment

Fund,

0.01%

^(a)(b)

(Cost

$3,617,978)

$10,416,705

$1,016,958

$(7,816,625)

$(1,145)

$999

$3,616,892

3,617,978

$–

$–

TOTAL

$(53,730)

$43,922

$75,588,220

$35,929

$29,246

^    No

longer

affiliated

as

of

March

31,

2021.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(b)

Securities

lending

income

and

capital

gain

distributions

from

affiliated

issuers

amounted

to

$13,016

and

$893,

respectively,

for

the

period

ended

March

31,

2021.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

53

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

100

6/2021

USD

$

19,837,000

$

172,138

$

172,138

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

2,828,968

$

2,828,968

54

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.9%

Australia

-

7.4%

AGL

Energy

Ltd.

194,584

1,430,442

Aristocrat

Leisure

Ltd.

9,038

237,118

AusNet

Services

314,259

439,254

BlueScope

Steel

Ltd.

25,125

370,764

Brambles

Ltd.

12,956

104,512

Cochlear

Ltd.

6,409

1,030,919

Crown

Resorts

Ltd.

*

9,424

84,477

CSL

Ltd.

5,282

1,067,513

Fortescue

Metals

Group

Ltd.

89,066

1,357,420

Magellan

Financial

Group

Ltd.

2,322

80,146

REA

Group

Ltd.

20,159

2,181,481

Sonic

Healthcare

Ltd.

35,595

951,859

South32

Ltd.

56,885

122,084

Tabcorp

Holdings

Ltd.

56,785

202,880

Telstra

Corp.

Ltd.

1,077,451

2,789,901

Treasury

Wine

Estates

Ltd.

33,345

262,826

Washington

H

Soul

Pattinson

&

Co.

Ltd.

29,031

698,882

Wesfarmers

Ltd.

41,786

1,678,069

WiseTech

Global

Ltd.

4,033

89,742

Woolworths

Group

Ltd.

101,929

3,174,500

18,354,789

—

Belgium

-

1.3%

Ageas

SA/NV

9,294

561,229

Etablissements

Franz

Colruyt

NV

25,380

1,513,098

Groupe

Bruxelles

Lambert

SA

7,693

795,810

Proximus

SADP

9,515

207,027

UCB

SA

1,727

164,175

3,241,339

—

Brazil

-

0.4%

Wheaton

Precious

Metals

Corp.

(1)

7,622

291,124

Yara

International

ASA

15,382

801,319

1,092,443

—

Canada

-

9.2%

Agnico

Eagle

Mines

Ltd.

(1)

2,458

142,097

Algonquin

Power

&

Utilities

Corp.

(1)

9,550

151,301

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

30,946

997,797

Atco

Ltd.,

Class

I

(1)

2,517

83,560

Bank

of

Montreal

(1)

1,972

175,781

Bank

of

Nova

Scotia

(The)

(1)

5,419

339,016

Barrick

Gold

Corp.

(1)

26,281

521,354

BCE,

Inc.

(1)

44,461

2,007,060

Canadian

Imperial

Bank

of

Commerce

(1)

4,856

475,476

Canadian

National

Railway

Co.

(1)

8,138

944,415

Canadian

Pacific

Railway

Ltd.

(1)

2,523

963,667

Canadian

Utilities

Ltd.,

Class

A

(1)

22,858

613,694

Constellation

Software,

Inc.

(1)

431

601,912

Fortis,

Inc.

(1)

2,381

103,315

Franco-Nevada

Corp.

(1)

13,943

1,747,341

George

Weston

Ltd.

(1)

1,315

116,442

Hydro

One

Ltd.

(1)(a)

101,830

2,371,738

Intact

Financial

Corp.

(1)

11,764

1,441,598

Loblaw

Cos.

Ltd.

(1)

34,881

1,948,473

INVESTMENTS

SHARES

VALUE

($)

Canada

-

9.2%

(continued)

Magna

International,

Inc.

(1)

13,078

1,151,805

Manulife

Financial

Corp.

(1)

21,213

456,264

Metro,

Inc.

(1)

32,581

1,486,328

Pan

American

Silver

Corp.

(1)

13,766

412,969

Rogers

Communications,

Inc.,

Class

B

(1)

10,711

493,915

Royal

Bank

of

Canada

(1)

6,459

595,531

Saputo,

Inc.

(1)

19,303

580,457

Shaw

Communications,

Inc.,

Class

B

(1)

26,354

685,326

Sun

Life

Financial,

Inc.

(1)

4,802

242,679

Thomson

Reuters

Corp.

(1)

4,998

437,837

Toromont

Industries

Ltd.

(1)

2,069

158,365

Toronto-Dominion

Bank

(The)

(1)

2,713

176,938

22,624,451

—

Chile

-

0.4%

Lundin

Mining

Corp.

(1)

96,976

997,772

China

-

1.0%

BOC

Hong

Kong

Holdings

Ltd.

314,000

1,098,497

Budweiser

Brewing

Co.

APAC

Ltd.

(a)

82,400

246,654

Wilmar

International

Ltd.

290,100

1,171,609

2,516,760

—

Denmark

-

3.9%

Carlsberg

A/S,

Class

B

1,027

157,500

Coloplast

A/S,

Class

B

17,409

2,617,392

Danske

Bank

A/S

75,624

1,414,729

DSV

Panalpina

A/S

1,792

351,489

Novo

Nordisk

A/S,

Class

B

39,799

2,681,802

Novozymes

A/S,

Class

B

14,044

898,629

Orsted

A/S

(a)

7,748

1,251,034

Pandora

A/S

3,271

349,832

9,722,407

—

Finland

-

1.8%

Elisa

OYJ

11,296

677,576

Fortum

OYJ

8,088

216,023

Kone

OYJ,

Class

B

14,784

1,208,387

Neste

OYJ

21,566

1,145,278

Nokia

OYJ

*

79,412

317,143

Orion

OYJ,

Class

B

15,358

615,345

UPM-Kymmene

OYJ

10,003

359,486

4,539,238

—

France

-

5.2%

Air

Liquide

SA

5,946

970,839

AXA

SA

2,954

79,298

BioMerieux

1,785

227,085

Bouygues

SA

6,902

276,457

Danone

SA

7,356

503,504

Dassault

Systemes

SE

4,025

860,299

Edenred

1,304

68,087

Electricite

de

France

SA

*

59,061

792,257

Engie

SA

70,871

1,006,746

Hermes

International

1,908

2,110,243

Ipsen

SA

2,055

176,164

L'Oreal

SA

9,208

3,527,413

Pernod

Ricard

SA

849

158,915

55

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

5.2%

(continued)

Sanofi

6,384

631,276

Suez

SA

35,367

749,038

Vivendi

SE

5,853

192,117

Worldline

SA

*(a)

6,796

568,940

12,898,678

—

Germany

-

3.9%

Allianz

SE

(Registered)

4,106

1,044,382

Beiersdorf

AG

6,840

722,721

Carl

Zeiss

Meditec

AG

969

146,062

Evonik

Industries

AG

4,769

168,751

Fresenius

Medical

Care

AG

&

Co.

KGaA

8,291

610,728

FUCHS

PETROLUB

SE

(Preference)

12,997

622,807

Hannover

Rueck

SE

1,051

191,921

HeidelbergCement

AG

1,104

100,307

Henkel

AG

&

Co.

KGaA

(Preference)

14,220

1,598,807

Infineon

Technologies

AG

6,057

257,711

KION

Group

AG

862

85,170

SAP

SE

11,787

1,445,754

Siemens

Healthineers

AG

(a)

12,718

689,339

Telefonica

Deutschland

Holding

AG

363,114

1,065,187

Uniper

SE

23,470

850,158

United

Internet

AG

(Registered)

4,273

171,544

9,771,349

—

Hong

Kong

-

3.8%

CLP

Holdings

Ltd.

193,000

1,879,182

Hang

Seng

Bank

Ltd.

15,900

308,749

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(b)

1,731,500

1,720,409

HKT

Trust

&

HKT

Ltd.

55,000

78,505

Hong

Kong

&

China

Gas

Co.

Ltd.

769,036

1,219,375

MTR

Corp.

Ltd.

149,500

850,278

Power

Assets

Holdings

Ltd.

476,500

2,820,396

WH

Group

Ltd.

(a)

705,000

572,764

9,449,658

—

Italy

-

0.9%

Assicurazioni

Generali

SpA

21,820

435,944

DiaSorin

SpA

6,623

1,062,628

Enel

SpA

84,730

842,840

2,341,412

—

Japan

-

29.9%

ABC-Mart,

Inc.

17,800

1,005,167

Ajinomoto

Co.,

Inc.

4,500

92,245

Amada

Co.

Ltd.

22,000

245,688

Asahi

Group

Holdings

Ltd.

3,700

156,624

Astellas

Pharma,

Inc.

91,100

1,403,332

Azbil

Corp.

1,300

56,049

Bandai

Namco

Holdings,

Inc.

15,500

1,108,055

Bank

of

Kyoto

Ltd.

(The)

1,700

104,727

Bridgestone

Corp.

23,400

951,325

Calbee,

Inc.

67,900

1,730,856

Casio

Computer

Co.

Ltd.

8,400

158,740

Chiba

Bank

Ltd.

(The)

21,300

139,438

Chugai

Pharmaceutical

Co.

Ltd.

23,400

950,832

INVESTMENTS

SHARES

VALUE

($)

Japan

-

29.9%

(continued)

Chugoku

Electric

Power

Co.,

Inc.

(The)

11,900

146,212

Cosmos

Pharmaceutical

Corp.

600

93,599

Dai

Nippon

Printing

Co.

Ltd.

4,400

92,293

Eisai

Co.

Ltd.

10,600

712,469

Fast

Retailing

Co.

Ltd.

1,800

1,438,880

FUJIFILM

Holdings

Corp.

20,000

1,189,765

Fujitsu

Ltd.

900

130,962

Hakuhodo

DY

Holdings,

Inc.

16,400

273,915

Hamamatsu

Photonics

KK

10,300

610,215

Hino

Motors

Ltd.

20,300

174,598

Hisamitsu

Pharmaceutical

Co.,

Inc.

7,400

482,852

Hoshizaki

Corp.

4,600

411,330

Hoya

Corp.

21,100

2,483,402

Iida

Group

Holdings

Co.

Ltd.

3,700

89,654

ITOCHU

Corp.

22,500

730,486

Japan

Post

Bank

Co.

Ltd.

220,800

2,123,271

Japan

Post

Holdings

Co.

Ltd.

*

23,300

207,655

Japan

Tobacco,

Inc.

50,200

964,362

Kakaku.com,

Inc.

7,400

202,556

Kamigumi

Co.

Ltd.

400

7,588

Kansai

Paint

Co.

Ltd.

12,200

326,337

Kao

Corp.

15,900

1,052,082

KDDI

Corp.

84,000

2,588,097

Keyence

Corp.

1,400

638,059

Kikkoman

Corp.

1,100

65,598

Kirin

Holdings

Co.

Ltd.

24,500

470,109

Kobayashi

Pharmaceutical

Co.

Ltd.

11,100

1,036,744

Koito

Manufacturing

Co.

Ltd.

2,900

195,118

Kose

Corp.

1,800

255,113

Kubota

Corp.

8,500

193,902

Kyocera

Corp.

7,000

445,410

Kyowa

Kirin

Co.

Ltd.

19,600

586,972

Lawson,

Inc.

5,900

289,513

Lion

Corp.

26,600

518,546

Makita

Corp.

3,500

150,332

McDonald's

Holdings

Co.

Japan

Ltd.

9,900

456,327

Medipal

Holdings

Corp.

48,600

934,163

MEIJI

Holdings

Co.

Ltd.

7,800

501,585

Mitsubishi

Electric

Corp.

6,100

93,227

Mitsubishi

UFJ

Financial

Group,

Inc.

49,700

265,760

Mitsui

&

Co.

Ltd.

10,600

221,226

Mizuho

Financial

Group,

Inc.

58,510

846,077

Murata

Manufacturing

Co.

Ltd.

1,500

120,743

Nexon

Co.

Ltd.

61,500

1,995,554

NH

Foods

Ltd.

2,100

90,122

Nintendo

Co.

Ltd.

2,300

1,296,362

Nippon

Paint

Holdings

Co.

Ltd.

5,500

79,440

Nippon

Telegraph

&

Telephone

Corp.

111,400

2,874,333

Nissan

Chemical

Corp.

3,000

160,507

Nisshin

Seifun

Group,

Inc.

8,600

143,700

Nissin

Foods

Holdings

Co.

Ltd.

7,100

526,404

Nitori

Holdings

Co.

Ltd.

4,400

852,299

Nitto

Denko

Corp.

12,800

1,097,225

Nomura

Research

Institute

Ltd.

20,761

645,000

Obayashi

Corp.

16,500

151,453

Obic

Co.

Ltd.

500

91,746

56

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

29.9%

(continued)

Omron

Corp.

12,600

986,988

Ono

Pharmaceutical

Co.

Ltd.

5,800

151,683

Oracle

Corp.

Japan

7,300

714,636

Osaka

Gas

Co.

Ltd.

75,500

1,473,362

Otsuka

Corp.

11,800

553,290

Otsuka

Holdings

Co.

Ltd.

12,600

534,352

Panasonic

Corp.

12,200

157,983

PeptiDream,

Inc.

*

14,000

641,325

Pigeon

Corp.

6,500

246,475

Pola

Orbis

Holdings,

Inc.

9,000

217,058

Recruit

Holdings

Co.

Ltd.

13,300

653,113

Renesas

Electronics

Corp.

*

97,100

1,063,130

Resona

Holdings,

Inc.

24,100

101,232

Rinnai

Corp.

12,100

1,357,159

Ryohin

Keikaku

Co.

Ltd.

7,000

166,154

Secom

Co.

Ltd.

9,300

784,006

Sekisui

Chemical

Co.

Ltd.

20,500

394,735

Sekisui

House

Ltd.

5,600

120,457

Seven

&

i

Holdings

Co.

Ltd.

50,300

2,031,184

Shimamura

Co.

Ltd.

6,900

797,334

Shin-Etsu

Chemical

Co.

Ltd.

600

101,640

Shionogi

&

Co.

Ltd.

16,400

885,352

Shizuoka

Bank

Ltd.

(The)

129,800

1,020,399

SMC

Corp.

500

291,190

SoftBank

Corp.

148,800

1,935,824

Square

Enix

Holdings

Co.

Ltd.

2,000

111,238

Stanley

Electric

Co.

Ltd.

11,100

331,530

Sumitomo

Dainippon

Pharma

Co.

Ltd.

8,300

144,786

Sumitomo

Mitsui

Financial

Group,

Inc.

8,300

300,853

Sundrug

Co.

Ltd.

33,700

1,234,652

Suntory

Beverage

&

Food

Ltd.

53,100

1,980,135

Suzuken

Co.

Ltd.

2,800

109,548

Suzuki

Motor

Corp.

5,000

227,747

Sysmex

Corp.

11,500

1,241,352

T&D

Holdings,

Inc.

29,200

375,735

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

4,300

277,870

TIS,

Inc.

40,700

974,399

Toho

Gas

Co.

Ltd.

9,500

586,232

Tohoku

Electric

Power

Co.,

Inc.

11,600

109,686

Tokio

Marine

Holdings,

Inc.

3,700

176,087

Tokyo

Gas

Co.

Ltd.

33,400

744,110

Toyo

Suisan

Kaisha

Ltd.

37,000

1,552,856

Toyota

Motor

Corp.

3,800

295,716

Unicharm

Corp.

40,800

1,713,214

USS

Co.

Ltd.

26,800

525,638

Welcia

Holdings

Co.

Ltd.

2,200

75,482

Yakult

Honsha

Co.

Ltd.

1,500

75,897

Yamada

Holdings

Co.

Ltd.

84,200

455,035

Yamazaki

Baking

Co.

Ltd.

9,200

148,646

74,072,832

—

Macau

-

0.3%

Galaxy

Entertainment

Group

Ltd.

*

88,000

795,550

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

2.1%

Adyen

NV

*(a)

62

138,347

Akzo

Nobel

NV

3,675

410,299

ASML

Holding

NV

2,274

1,395,256

Koninklijke

Ahold

Delhaize

NV

41,543

1,158,753

Koninklijke

Philips

NV

*

1,258

71,738

Randstad

NV

27,531

1,932,536

Topicus.com,

Inc.

(1)*

801

52,610

5,159,539

—

Norway

-

1.6%

Gjensidige

Forsikring

ASA

32,786

768,906

Mowi

ASA

23,298

578,645

Norsk

Hydro

ASA

35,780

229,814

Orkla

ASA

129,013

1,265,234

Telenor

ASA

58,817

1,036,225

3,878,824

—

Singapore

-

3.1%

DBS

Group

Holdings

Ltd.

64,400

1,380,826

Genting

Singapore

Ltd.

440,800

302,013

Oversea-Chinese

Banking

Corp.

Ltd.

285,500

2,497,841

Singapore

Telecommunications

Ltd.

1,016,900

1,847,767

United

Overseas

Bank

Ltd.

79,800

1,538,706

Venture

Corp.

Ltd.

4,800

71,676

7,638,829

—

Spain

-

0.9%

Endesa

SA

12,814

339,601

Iberdrola

SA

72,838

940,115

Industria

de

Diseno

Textil

SA

2,745

90,695

Red

Electrica

Corp.

SA

54,683

969,963

2,340,374

—

Sweden

-

3.8%

Atlas

Copco

AB,

Class

A

8,423

513,527

Essity

AB,

Class

B

42,489

1,342,871

ICA

Gruppen

AB

8,002

391,310

Industrivarden

AB,

Class

A

*

12,501

459,921

Investor

AB,

Class

B

25,065

1,999,930

L

E

Lundbergforetagen

AB,

Class

B

*

10,068

549,862

Securitas

AB,

Class

B

32,184

547,377

Skandinaviska

Enskilda

Banken

AB,

Class

A

8,976

109,494

Skanska

AB,

Class

B

34,046

853,861

Svenska

Cellulosa

AB

SCA,

Class

B

*

8,675

153,548

Swedish

Match

AB

10,408

811,940

Tele2

AB,

Class

B

22,824

307,895

Telia

Co.

AB

131,737

571,182

Volvo

AB,

Class

B

28,812

729,665

9,342,383

—

Switzerland

-

6.2%

Alcon,

Inc.

*

2,131

149,544

Barry

Callebaut

AG

(Registered)

152

344,141

Chocoladefabriken

Lindt

&

Spruengli

AG

35

304,892

Coca-Cola

HBC

AG

16,132

512,745

57

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

6.2%

(continued)

Credit

Suisse

Group

AG

(Registered)

29,124

308,113

EMS-Chemie

Holding

AG

(Registered)

590

527,057

Geberit

AG

(Registered)

400

254,578

Kuehne

+

Nagel

International

AG

(Registered)

4,123

1,177,637

LafargeHolcim

Ltd.

(Registered)

*

4,636

272,620

Nestle

SA

(Registered)

18,834

2,099,547

Novartis

AG

(Registered)

10,651

910,455

Partners

Group

Holding

AG

250

319,481

Roche

Holding

AG

6,230

2,018,168

Schindler

Holding

AG

2,064

606,422

SGS

SA

(Registered)

444

1,261,581

Sika

AG

(Registered)

1,361

389,184

Sonova

Holding

AG

(Registered)

*

6,061

1,606,620

Swatch

Group

AG

(The)

414

119,207

Swiss

Life

Holding

AG

(Registered)

724

355,800

Swisscom

AG

(Registered)

2,503

1,342,902

UBS

Group

AG

(Registered)

24,188

374,224

Zurich

Insurance

Group

AG

603

256,668

15,511,586

—

United

Kingdom

-

6.1%

Admiral

Group

plc

43,723

1,868,761

Associated

British

Foods

plc

*

28,614

950,658

AstraZeneca

plc

6,746

673,309

Auto

Trader

Group

plc

*(a)

12,433

95,063

Aviva

plc

105,018

591,954

Berkeley

Group

Holdings

plc

1,377

84,303

British

American

Tobacco

plc

6,395

243,077

Burberry

Group

plc

*

2,826

73,928

Diageo

plc

41,987

1,724,890

Direct

Line

Insurance

Group

plc

351,389

1,516,871

GlaxoSmithKline

plc

17,766

314,508

Halma

plc

12,825

419,592

J

Sainsbury

plc

214,882

718,563

Kingfisher

plc

*

97,639

427,956

Mondi

plc

24,674

629,022

National

Grid

plc

71,175

844,888

Next

plc

*

5,272

571,391

Ocado

Group

plc

*

4,578

128,354

Persimmon

plc

19,831

803,268

Reckitt

Benckiser

Group

plc

16,731

1,497,598

Smith

&

Nephew

plc

27,031

513,183

Tesco

plc

111,692

352,637

Wm

Morrison

Supermarkets

plc

44,002

110,668

15,154,442

—

United

States

-

0.3%

Ferguson

plc

3,146

375,806

QIAGEN

NV

*

8,456

409,262

785,068

—

Zambia

-

0.4%

First

Quantum

Minerals

Ltd.

(1)

47,899

912,852

TOTAL

COMMON

STOCKS

(Cost

$184,702,111)

233,142,575

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

4.8%

INVESTMENT

COMPANIES

-

4.8%

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(c)

(Cost

$12,029,427)

12,034,117

12,030,506

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.7%

(Cost

$196,731,538)

245,173,081

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.3%

(d)

3,189,585

NET

ASSETS

-

100.0%

248,362,666

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

27,028,553

10.9

%

Consumer

Discretionary

20,296,138

8.2

Consumer

Staples

50,410,781

20.3

Energy

1,844,160

0.7

Financials

30,472,583

12.3

Health

Care

30,879,364

12.4

Industrials

17,833,999

7.2

Information

Technology

14,507,460

5.8

Materials

15,174,605

6.1

Utilities

24,694,932

10.0

Short-Term

Investments

12,030,506

4.8

Total

Investments

In

Securities

At

Value

245,173,081

98.7

Other

Assets

in

Excess

of

Liabilities

(d

)

3,189,585

1.3

Net

Assets

$

248,362,666

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$5,933,879,

which

represents

approximately

2.39%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2021,

the

value

of

these

securities

amounted

to

$1,720,409

or

0.69%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(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

4).

58

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

104

6/2021

USD

$

11,398,400

$

(37,341)

$

(37,341)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

802,626

$

802,626

59

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

86.9%

Australia

-

3.4%

ASX

Ltd.

(2)

891

48,229

Aurizon

Holdings

Ltd.

(2)

118,724

352,814

BHP

Group

Ltd.

(2)

14,837

514,687

BHP

Group

plc

(2)

38,092

1,096,746

BlueScope

Steel

Ltd.

(2)

24,652

363,784

Coles

Group

Ltd.

(2)

9,603

117,104

Dexus

,

REIT

(2)

14,068

104,605

Fortescue

Metals

Group

Ltd.

(2)

177,119

2,699,401

Goodman

Group,

REIT

(2)

25,367

350,276

GPT

Group

(The),

REIT

(2)

42,925

150,580

Lendlease

Corp.

Ltd.

(2)

2,927

28,859

Mirvac

Group,

REIT

(2)

95,677

182,514

Newcrest

Mining

Ltd.

(2)

46,483

878,152

Origin

Energy

Ltd.

(2)

116,149

416,130

Rio

Tinto

plc

(2)

34,720

2,648,727

Scentre

Group,

REIT

(2)

90,560

194,984

Sonic

Healthcare

Ltd.

(2)

24,943

667,010

South32

Ltd.

(2)

645,612

1,385,579

Stockland,

REIT

(2)

49,658

166,698

Suncorp

Group

Ltd.

(2)

22,041

166,060

Vicinity

Centres

,

REIT

(2)

97,628

123,417

12,656,356

—

Belgium

-

0.2%

Ageas

SA/NV

(2)

4,641

280,252

Proximus

SADP

(2)

23,230

505,437

785,689

—

Canada

-

3.3%

Agnico

Eagle

Mines

Ltd.

7,572

437,738

Alimentation

Couche-Tard,

Inc.,

Class

B

2,998

96,665

Barrick

Gold

Corp.

97,907

1,942,246

Canadian

Tire

Corp.

Ltd.,

Class

A

1,566

222,221

CGI,

Inc.

*

7,243

603,324

Constellation

Software,

Inc.

397

554,429

Great-West

Lifeco

,

Inc.

1,345

35,790

Kinross

Gold

Corp.

415,979

2,770,544

Manulife

Financial

Corp.

46,495

1,000,048

Onex

Corp.

12,119

753,737

Open

Text

Corp.

2,151

102,561

Power

Corp.

of

Canada

7,139

187,635

RioCan

,

REIT

11,451

177,319

Ritchie

Bros

Auctioneers,

Inc.

5,771

337,893

Shopify,

Inc.,

Class

A

*

219

241,782

Suncor

Energy,

Inc.

7,442

155,567

TC

Energy

Corp.

24,937

1,143,169

Thomson

Reuters

Corp.

1,806

158,210

Yamana

Gold,

Inc.

332,444

1,444,374

12,365,252

—

Denmark

-

0.7%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

75

174,114

Danske

Bank

A/S

(2)

5,712

106,857

Pandora

A/S

(2)

20,912

2,236,526

2,517,497

—

INVESTMENTS

SHARES

VALUE

($)

Finland

-

0.4%

Kone

OYJ,

Class

B

(2)

3,786

309,453

Orion

OYJ,

Class

B

(2)

3,599

144,200

UPM-

Kymmene

OYJ

(2)

18,302

657,734

Wartsila

OYJ

Abp

(2)

18,230

191,102

1,302,489

—

France

-

3.0%

Atos

SE

(2)

25,250

1,968,611

BNP

Paribas

SA

(2)*

9,012

549,095

Carrefour

SA

(2)

152,502

2,761,141

Cie

de

Saint-Gobain

(2)

38,731

2,287,125

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

3,927

588,148

CNP

Assurances

(2)

27,150

514,951

Electricite

de

France

SA

(2)*

27,770

372,513

Faurecia

SE

(2)

174

9,259

Ipsen

SA

(2)

1,503

128,844

La

Francaise

des

Jeux

SAEM

(2)(a)

2,429

110,379

Orange

SA

(2)

17,175

211,355

Publicis

Groupe

SA

(2)

12,172

742,277

Sanofi

(2)

5,148

509,056

SEB

SA

(2)

677

119,266

Societe

Generale

SA

(2)*

5,908

154,464

Unibail

-

Rodamco

-Westfield,

REIT

(2)*

3,473

277,487

11,303,971

—

Germany

-

1.6%

Bayerische

Motoren

Werke

AG

(2)

15,458

1,604,180

Brenntag

SE

(2)

3,532

301,735

Commerzbank

AG

(2)*

19,998

122,720

E.ON

SE

(2)

17,070

198,933

Fresenius

Medical

Care

AG

&

Co.

KGaA

(2)

12,045

887,253

Fresenius

SE

&

Co.

KGaA

(2)

1,365

60,825

HelloFresh

SE

(2)*

9,664

720,044

HOCHTIEF

AG

(2)

8,754

783,726

Knorr-

Bremse

AG

(2)

1,596

199,169

LANXESS

AG

(2)

2,244

165,618

Porsche

Automobil

Holding

SE

(Preference)

(2)

865

91,777

Uniper

SE

(2)

8,353

302,572

Volkswagen

AG

(Preference)

(2)

2,444

684,126

6,122,678

—

Hong

Kong

-

0.8%

CK

Asset

Holdings

Ltd.

(2)

88,000

535,707

CK

Infrastructure

Holdings

Ltd.

(2)

2,749

16,388

Henderson

Land

Development

Co.

Ltd.

(2)

36,000

162,472

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

5,269

312,588

Link,

REIT

(2)

18,329

167,229

PCCW

Ltd.

(2)

19,406

10,959

Swire

Pacific

Ltd.,

Class

A

(2)

14,000

105,462

WH

Group

Ltd.

(2)(a)

2,060,000

1,673,608

2,984,413

—

60

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

0.7%

DiaSorin

SpA

(2)

4,853

778,640

Poste

Italiane

SpA

(2)(a)

12,443

158,021

Prysmian

SpA

(2)

4,526

146,960

Telecom

Italia

SpA

(2)

2,482,275

1,342,868

2,426,489

—

Japan

-

5.7%

Aeon

Mall

Co.

Ltd.

(2)

700

12,213

Aisin

Corp.

(2)

16,000

609,380

Alfresa

Holdings

Corp.

(2)

8,200

158,313

Brother

Industries

Ltd.

(2)

32,400

719,618

Chubu

Electric

Power

Co.,

Inc.

(2)

10,700

137,875

Daito

Trust

Construction

Co.

Ltd.

(2)

486

56,470

Daiwa

House

Industry

Co.

Ltd.

(2)

2,451

71,935

Disco

Corp.

(2)

800

252,803

ENEOS

Holdings,

Inc.

(2)

104,300

473,196

Fujitsu

Ltd.

(2)

8,311

1,209,363

Honda

Motor

Co.

Ltd.

(2)

24,000

723,493

Hulic

Co.

Ltd.

(2)

1,500

17,732

Ibiden

Co.

Ltd.

(2)

6,000

277,213

ITOCHU

Corp.

(2)

9,000

292,194

Japan

Metropolitan

Fund

Investment

Corp.,

REIT

(2)

214

219,237

Japan

Post

Insurance

Co.

Ltd.

(2)

4,600

94,496

Japan

Real

Estate

Investment

Corp.,

REIT

(2)

30

177,282

Kajima

Corp.

(2)

58,300

829,220

KDDI

Corp.

(2)

4,400

135,567

Lion

Corp.

(2)

6,700

130,611

Marubeni

Corp.

(2)

64,200

536,203

Mitsubishi

Corp.

(2)

8,800

249,472

Mitsubishi

Estate

Co.

Ltd.

(2)

5,764

100,936

Mitsui

Fudosan

Co.

Ltd.

(2)

4,598

104,814

NGK

Spark

Plug

Co.

Ltd.

(2)

31,000

537,066

Nintendo

Co.

Ltd.

(2)

5,500

3,099,994

Nippon

Building

Fund,

Inc.,

REIT

(2)

21

123,748

Nippon

Express

Co.

Ltd.

(2)

1,300

96,970

Nippon

Telegraph

&

Telephone

Corp.

(2)

7,792

201,049

Nippon

Yusen

KK

(2)

10,600

362,525

Nitto

Denko

Corp.

(2)

2,300

197,158

Nomura

Holdings,

Inc.

(2)

26,600

140,939

Nomura

Real

Estate

Holdings,

Inc.

(2)

1,000

24,172

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

(2)

117

176,155

Obayashi

Corp.

(2)

131,900

1,210,708

Renesas

Electronics

Corp.

(2)*

9,200

100,729

Resona

Holdings,

Inc.

(2)

176,900

743,070

Rohm

Co.

Ltd.

(2)

6,000

588,443

Sekisui

House

Ltd.

(2)

9,700

208,648

Shimizu

Corp.

(2)

56,000

453,440

Shinsei

Bank

Ltd.

(2)

55,400

895,322

Sony

Group

Corp.

(2)

7,100

751,418

Subaru

Corp.

(2)

30,000

599,598

SUMCO

Corp.

(2)

22,600

517,932

Sumitomo

Realty

&

Development

Co.

Ltd.

(2)

2,624

92,951

INVESTMENTS

SHARES

VALUE

($)

Japan

-

5.7%

(continued)

Suzuken

Co.

Ltd.

(2)

5,300

207,359

Taiheiyo

Cement

Corp.

(2)

35,400

932,770

Taisei

Corp.

(2)

18,100

698,322

Tokyu

Fudosan

Holdings

Corp.

(2)

2,900

17,242

Tosoh

Corp.

(2)

9,100

174,287

Yamada

Holdings

Co.

Ltd.

(2)

18,500

99,978

Yamato

Holdings

Co.

Ltd.

(2)

5,100

140,053

20,981,682

—

Luxembourg

-

0.0%

(b)

SES

SA,

FDR

(2)

22,356

177,351

Malta

-

0.0%

BGP

Holdings

plc

(3)*(c)

96,388

—

Netherlands

-

1.9%

ASML

Holding

NV

(2)

837

513,557

ING

Groep

NV

(2)

19,668

240,227

Koninklijke

Ahold

Delhaize

NV

(2)

133,224

3,715,997

NN

Group

NV

(2)

3,449

168,247

NXP

Semiconductors

NV

9,255

1,863,402

Randstad

NV

(2)

2,133

149,726

Royal

Dutch

Shell

plc,

Class

B

(2)

22,741

418,604

7,069,760

—

Russia

-

0.3%

Evraz

plc

(2)

147,202

1,172,287

Singapore

-

0.0%

(b)

Singapore

Exchange

Ltd.

(2)

4,067

30,164

Venture

Corp.

Ltd.

(2)

9,300

138,872

169,036

—

South

Africa

-

0.4%

Anglo

American

plc

(2)

37,504

1,468,951

Spain

-

1.4%

ACS

Actividades

de

Construccion

y

Servicios

SA

(2)

12,741

423,455

Banco

Santander

SA

(2)

97,211

331,568

Enagas

SA

(2)

73,722

1,604,992

Endesa

SA

(2)

64,401

1,706,777

Red

Electrica

Corp.

SA

(2)

26,677

473,195

Repsol

SA

(2)

43,830

544,017

5,084,004

—

Sweden

-

1.5%

Autoliv

,

Inc.

*

14,034

1,302,354

Boliden

AB

(2)

2,634

97,730

Electrolux

AB,

Series

B

(2)

44,127

1,226,781

Evolution

Gaming

Group

AB

(2)(a)

4,176

614,979

Husqvarna

AB,

Class

B

(2)

51,448

741,707

Investor

AB,

Class

B

(2)

2,204

175,857

Kinnevik

AB,

Class

B

(2)*

1,380

67,071

Skanska

AB,

Class

B

(2)

7,160

179,570

Svenska

Handelsbanken

AB,

Class

A

(2)

105,063

1,142,161

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

12,011

159,209

5,707,419

—

61

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

1.6%

Adecco

Group

AG

(Registered)

(2)

11,559

779,677

Credit

Suisse

Group

AG

(Registered)

(2)

52,553

555,977

LafargeHolcim

Ltd.

(Registered)

(2)*

21,744

1,278,655

Logitech

International

SA

(Registered)

(2)

1,916

200,939

Novartis

AG

(Registered)

(2)

1,295

110,698

Roche

Holding

AG

(2)

6,755

2,188,238

SGS

SA

(Registered)

(2)

37

105,132

STMicroelectronics

NV

(2)

7,673

293,150

Swatch

Group

AG

(The)

(2)

516

148,576

Swiss

Life

Holding

AG

(Registered)

(2)

679

333,685

5,994,727

—

United

Kingdom

-

3.7%

3i

Group

plc

(2)

9,545

151,694

Aviva

plc

(2)

724,440

4,083,446

BAE

Systems

plc

(2)

76,283

531,240

Barratt

Developments

plc

(2)*

8,917

91,720

BT

Group

plc

(2)*

205,139

437,626

CK

Hutchison

Holdings

Ltd.

(2)

417,500

3,335,538

Direct

Line

Insurance

Group

plc

(2)

138,352

597,236

Entain

plc

(2)*

42,560

890,045

GlaxoSmithKline

plc

(2)

6,378

112,909

Imperial

Brands

plc

(2)

20,211

414,344

Kingfisher

plc

(2)*

251,082

1,100,503

M&G

plc

(2)

358,153

1,023,482

Mondi

plc

(2)

6,188

157,753

Sage

Group

plc

(The)

(2)

84,668

715,292

13,642,828

—

United

States

-

56.3%

3M

Co.

3,877

747,020

A

O

Smith

Corp.

9,503

642,498

AbbVie,

Inc.

2,909

314,812

Accenture

plc,

Class

A

412

113,815

Adobe,

Inc.

*

2,724

1,294,908

Alexion

Pharmaceuticals,

Inc.

*

1,287

196,795

Allstate

Corp.

(The)

27,920

3,208,008

Alphabet,

Inc.,

Class

A

*

287

591,943

Alphabet,

Inc.,

Class

C

*

1,829

3,783,524

Amazon.com,

Inc.

*

2,079

6,432,592

AMERCO

269

164,789

American

Tower

Corp.,

REIT

4,396

1,050,908

AmerisourceBergen

Corp.

26,253

3,099,692

AMETEK,

Inc.

4,638

592,412

Anthem,

Inc.

1,708

613,087

Apple,

Inc.

95,434

11,657,262

Applied

Materials,

Inc.

9,722

1,298,859

Arrow

Electronics,

Inc.

*

33,896

3,756,355

AT&T,

Inc.

45,859

1,388,152

Autodesk,

Inc.

*

5,469

1,515,733

Automatic

Data

Processing,

Inc.

1,915

360,920

AutoZone,

Inc.

*

1,190

1,671,117

AvalonBay

Communities,

Inc.,

REIT

811

149,638

Bank

of

New

York

Mellon

Corp.

(The)

31,509

1,490,061

Becton

Dickinson

and

Co.

3,248

789,751

INVESTMENTS

SHARES

VALUE

($)

United

States

-

56.3%

(continued)

Berkshire

Hathaway,

Inc.,

Class

B

*

7,962

2,034,052

Best

Buy

Co.,

Inc.

30,410

3,491,372

Biogen,

Inc.

*

6,174

1,727,177

Booz

Allen

Hamilton

Holding

Corp.

2,468

198,748

Bristol-Myers

Squibb

Co.

9,640

608,573

Broadcom,

Inc.

3,369

1,562,071

Cadence

Design

Systems,

Inc.

*

1,146

156,991

Cardinal

Health,

Inc.

54,381

3,303,646

Carrier

Global

Corp.

3,412

144,055

Cboe

Global

Markets,

Inc.

5,471

539,933

CDW

Corp.

5,135

851,126

Chevron

Corp.

11,131

1,166,417

Chipotle

Mexican

Grill,

Inc.

*

257

365,151

Cisco

Systems,

Inc.

93,539

4,836,902

Citigroup,

Inc.

23,028

1,675,287

Coca-Cola

Co.

(The)

2,304

121,444

Cognizant

Technology

Solutions

Corp.,

Class

A

5,516

430,910

Costco

Wholesale

Corp.

1,412

497,702

Crown

Castle

International

Corp.,

REIT

1,970

339,096

Crown

Holdings,

Inc.

11,042

1,071,516

Cummins,

Inc.

5,106

1,323,016

Danaher

Corp.

624

140,450

Darden

Restaurants,

Inc.

13,401

1,902,942

Deere

&

Co.

308

115,235

Dell

Technologies,

Inc.,

Class

C

*

9,070

799,521

Digital

Realty

Trust,

Inc.,

REIT

849

119,573

DISH

Network

Corp.,

Class

A

*

22,827

826,337

DocuSign,

Inc.

*

516

104,464

Dollar

General

Corp.

2,878

583,140

Dollar

Tree,

Inc.

*

1,937

221,709

Domino's

Pizza,

Inc.

3,548

1,304,919

Dover

Corp.

1,210

165,927

Eaton

Corp.

plc

988

136,621

Emerson

Electric

Co.

1,705

153,825

Entergy

Corp.

5,023

499,638

EOG

Resources,

Inc.

3,378

245,006

Equinix

,

Inc.,

REIT

222

150,869

Equity

Residential,

REIT

2,048

146,698

Everest

Re

Group

Ltd.

2,033

503,798

Exelon

Corp.

2,198

96,141

Exxon

Mobil

Corp.

14,756

823,827

Facebook,

Inc.,

Class

A

*

28,256

8,322,240

FedEx

Corp.

10,556

2,998,326

Fidelity

National

Financial,

Inc.

59,873

2,434,436

Ford

Motor

Co.

*

132,865

1,627,596

Fortune

Brands

Home

&

Security,

Inc.

1,658

158,870

Garmin

Ltd.

13,413

1,768,504

General

Dynamics

Corp.

1,888

342,785

General

Electric

Co.

25,669

337,034

General

Motors

Co.

*

4,593

263,914

Genuine

Parts

Co.

10,372

1,198,899

Gilead

Sciences,

Inc.

9,611

621,159

Hartford

Financial

Services

Group,

Inc.

(The)

3,022

201,839

Home

Depot,

Inc.

(The)

8,806

2,688,032

HP,

Inc.

63,004

2,000,377

Humana,

Inc.

587

246,100

62

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

56.3%

(continued)

Huntington

Ingalls

Industries,

Inc.

7,775

1,600,484

Intel

Corp.

88,171

5,642,944

International

Business

Machines

Corp.

23,825

3,174,920

Interpublic

Group

of

Cos.,

Inc.

(The)

8,076

235,819

Intuit,

Inc.

2,570

984,464

Johnson

&

Johnson

14,378

2,363,024

Johnson

Controls

International

plc

16,797

1,002,277

Juniper

Networks,

Inc.

5,103

129,259

Kimberly-Clark

Corp.

4,511

627,255

Kinder

Morgan,

Inc.

50,289

837,312

KLA

Corp.

554

183,042

Knight-Swift

Transportation

Holdings,

Inc.

64,304

3,092,379

Kroger

Co.

(The)

8,874

319,375

L3Harris

Technologies,

Inc.

2,771

561,626

Lam

Research

Corp.

1,183

704,169

LKQ

Corp.

*

30,584

1,294,621

Lockheed

Martin

Corp.

9,021

3,333,260

Lowe's

Cos.,

Inc.

16,928

3,219,367

M&T

Bank

Corp.

1,304

197,699

Masco

Corp.

2,812

168,439

Maxim

Integrated

Products,

Inc.

1,651

150,852

McDonald's

Corp.

11,064

2,479,885

McKesson

Corp.

13,634

2,659,175

Merck

&

Co.,

Inc.

36,344

2,801,759

MGM

Resorts

International

30,706

1,166,521

Microsoft

Corp.

35,702

8,417,460

Moderna

,

Inc.

*

5,460

714,987

Mosaic

Co.

(The)

16,193

511,861

Motorola

Solutions,

Inc.

1,485

279,254

NetApp,

Inc.

6,356

461,891

Newmont

Corp.

36,007

2,170,142

NIKE,

Inc.,

Class

B

10,544

1,401,192

Nordson

Corp.

3,002

596,437

Northrop

Grumman

Corp.

3,146

1,018,171

NVIDIA

Corp.

1,946

1,039,028

OGE

Energy

Corp.

18,621

602,576

Old

Dominion

Freight

Line,

Inc.

1,277

307,004

Omnicom

Group,

Inc.

10,561

783,098

Oracle

Corp.

40,236

2,823,360

O'Reilly

Automotive,

Inc.

*

1,650

836,963

PACCAR,

Inc.

5,376

499,538

Pentair

plc

5,991

373,359

Pfizer,

Inc.

18,657

675,943

Philip

Morris

International,

Inc.

1,101

97,703

Procter

&

Gamble

Co.

(The)

17,260

2,337,522

Progressive

Corp.

(The)

4,848

463,517

Prologis,

Inc.,

REIT

2,980

315,880

Public

Storage,

REIT

2,484

612,952

PulteGroup,

Inc.

15,050

789,222

Qorvo

,

Inc.

*

4,672

853,574

QUALCOMM,

Inc.

1,493

197,957

Quest

Diagnostics,

Inc.

1,486

190,713

Regeneron

Pharmaceuticals,

Inc.

*

504

238,463

Republic

Services,

Inc.

1,680

166,908

Robert

Half

International,

Inc.

1,615

126,083

Roku,

Inc.

*

4,459

1,452,608

salesforce.com,

Inc.

*

693

146,826

Sealed

Air

Corp.

3,238

148,365

INVESTMENTS

SHARES

VALUE

($)

United

States

-

56.3%

(continued)

Sensata

Technologies

Holding

plc

*

16,014

928,011

Simon

Property

Group,

Inc.,

REIT

1,723

196,026

Skyworks

Solutions,

Inc.

6,603

1,211,518

Snap-on,

Inc.

796

183,669

SS&C

Technologies

Holdings,

Inc.

14,799

1,034,006

Steel

Dynamics,

Inc.

24,068

1,221,692

Stellantis

NV

10,244

181,158

Synopsys,

Inc.

*

5,166

1,280,031

Target

Corp.

17,029

3,372,934

Texas

Instruments,

Inc.

10,893

2,058,668

Thermo

Fisher

Scientific,

Inc.

3,087

1,408,845

TJX

Cos.,

Inc.

(The)

8,860

586,089

Tractor

Supply

Co.

6,903

1,222,383

Tyson

Foods,

Inc.,

Class

A

28,210

2,096,003

United

Parcel

Service,

Inc.,

Class

B

2,902

493,311

US

Bancorp

22,239

1,230,039

VeriSign,

Inc.

*

5,253

1,044,086

Vertex

Pharmaceuticals,

Inc.

*

9,944

2,136,866

Viatris

,

Inc.

*

10,519

146,950

Walgreens

Boots

Alliance,

Inc.

15,663

859,899

Walmart,

Inc.

30,974

4,207,198

Wells

Fargo

&

Co.

11,217

438,248

Welltower

,

Inc.,

REIT

3,001

214,962

Western

Union

Co.

(The)

25,797

636,154

Westrock

Co.

12,438

647,398

XPO

Logistics,

Inc.

*

1,321

162,879

Yum!

Brands,

Inc.

4,689

507,256

Zebra

Technologies

Corp.,

Class

A

*

333

161,565

Zoom

Video

Communications,

Inc.,

Class

A

*

1,895

608,845

208,677,760

—

TOTAL

COMMON

STOCKS

(Cost

$241,691,120)

322,610,639

SHORT-TERM

INVESTMENTS

-

9.4%

INVESTMENT

COMPANIES

-

9.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(d)(e)

6,666,044

6,666,044

Limited

Purpose

Cash

Investment

Fund,

0.01%

(d)

28,377,882

28,369,368

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$35,034,341)

35,035,412

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.3%

(Cost

$276,725,461)

357,646,051

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.7%

(f)

13,612,941

NET

ASSETS

-

100.0%

371,258,992

63

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

24,248,206

6.5

%

Consumer

Discretionary

56,609,650

15.3

Consumer

Staples

20,073,571

5.4

Energy

6,223,246

1.7

Financials

29,582,007

8.0

Health

Care

30,951,309

8.3

Industrials

38,450,742

10.4

Information

Technology

74,985,316

20.2

Materials

28,255,894

7.6

Real

Estate

7,219,097

1.9

Utilities

6,011,601

1.6

Short-Term

Investments

35,035,412

9.4

Total

Investments

In

Securities

At

Value

357,646,051

96.3

Other

Assets

in

Excess

of

Liabilities

(f)

13,612,941

3.7

Net

Assets

$

371,258,992

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$2,556,987,

which

represents

approximately

0.69%

of

net

assets

of

the

fund.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(f)

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

4).

(3)

Level

3

security

(See

Note

4).

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/29/2021

HKD

49,553,000

$

36,451

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

65,126,800

52,882

Tel

Aviv

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2021

ILS

2,246,468

8,433

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

299,986

13,224

64

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

JPY

496,996,309

$

166,220

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

2,125,903

117,188

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

USD

11,669

202

394,600

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/18/2021

CHF

(7,977,440)

(169,772)

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/16/2021

EUR

(3,919,916)

(66,592)

(236,364)

$

158,236

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

13

4/2021

EUR

$

2,131,692

$

8,321

Amsterdam

Exchange

Index

27

4/2021

EUR

4,427,360

108,876

Hang

Seng

Index

48

4/2021

HKD

8,741,642

6,740

MSCI

Singapore

Index

40

4/2021

SGD

1,064,377

3,983

OMXS30

Index

63

4/2021

SEK

1,577,804

17,932

DAX

Index

17

6/2021

EUR

7,490,416

225,468

FTSE/MIB

Index

127

6/2021

EUR

18,165,346

265,122

65

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P

500

E-Mini

Index

3

6/2021

USD

$

595,110

$

6,238

S&P/TSX

60

Index

53

6/2021

CAD

9,371,895

3,203

TOPIX

Index

242

6/2021

JPY

42,706,525

1,118,665

1,764,548

Short

Contracts

CAC

40

10

Euro

Index

(8)

4/2021

EUR

(569,088)

(8,091)

CAC

40

10

Euro

Index

(107)

4/2021

EUR

(7,611,550)

(29,837)

IBEX

35

Index

(17)

4/2021

EUR

(1,711,836)

(21,159)

IBEX

35

Index

(193)

4/2021

EUR

(19,434,373)

139,215

FTSE

100

Index

(240)

6/2021

GBP

(22,100,061)

178,151

SPI

200

Index

(84)

6/2021

AUD

(10,792,142)

(5,157)

253,122

$

2,017,670

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

84,000

USD

63,792

CITG

6/16/2021

$

31

AUD

84,000

USD

63,792

JPMC

6/16/2021

31

CAD

20,178,000

USD

15,979,316

CITG

6/16/2021

78,529

CAD

20,178,000

USD

15,979,336

JPMC

6/16/2021

78,509

HKD

58,000

USD

7,462

CITG

6/16/2021

–

HKD

58,000

USD

7,462

JPMC

6/16/2021

–

NOK

6,140,500

USD

717,210

CITG

6/16/2021

684

NOK

6,140,500

USD

717,211

JPMC

6/16/2021

684

SGD

47,000

USD

34,859

CITG

6/16/2021

68

SGD

47,000

USD

34,859

JPMC

6/16/2021

68

USD

10,758,700

AUD

13,808,500

CITG

6/16/2021

267,113

USD

10,758,687

AUD

13,808,500

JPMC

6/16/2021

267,099

USD

5,786,759

CAD

7,227,126

CITG

6/16/2021

35,342

USD

5,786,750

CAD

7,227,124

JPMC

6/16/2021

35,335

USD

17,543,214

CHF

15,855,003

CITG

6/16/2021

734,374

USD

17,543,854

CHF

15,854,997

JPMC

6/16/2021

735,020

USD

302,979

DKK

1,876,000

CITG

6/16/2021

6,852

USD

302,979

DKK

1,876,000

JPMC

6/16/2021

6,852

USD

12,053,514

EUR

9,977,500

CITG

6/16/2021

334,701

USD

12,053,499

EUR

9,977,500

JPMC

6/16/2021

334,686

USD

10,748,866

GBP

7,720,003

CITG

6/16/2021

103,677

USD

10,748,844

GBP

7,719,997

JPMC

6/16/2021

103,663

USD

2,168,435

HKD

16,817,000

CITG

6/16/2021

4,847

USD

2,168,433

HKD

16,817,000

JPMC

6/16/2021

4,844

USD

41,882

ILS

137,503

CITG

6/16/2021

710

USD

41,880

ILS

137,497

JPMC

6/16/2021

710

USD

1,948,102

JPY

206,036,500

CITG

6/16/2021

86,028

USD

1,948,100

JPY

206,036,500

JPMC

6/16/2021

86,026

USD

12,751,906

NOK

107,771,298

CITG

6/16/2021

152,219

USD

12,751,890

NOK

107,771,297

JPMC

6/16/2021

152,203

USD

28,204,216

NZD

39,237,501

CITG

6/16/2021

805,611

USD

28,204,179

NZD

39,237,499

JPMC

6/16/2021

805,575

USD

435,369

SEK

3,719,000

CITG

6/16/2021

9,246

USD

435,368

SEK

3,719,000

JPMC

6/16/2021

9,245

USD

19,553

SGD

26,000

CITG

6/16/2021

231

66

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

19,552

SGD

26,000

JPMC

6/16/2021

$

231

Total

unrealized

appreciation

5,241,044

AUD

48,891,504

USD

38,277,318

CITG

6/16/2021

(1,129,946)

AUD

48,891,496

USD

38,277,360

JPMC

6/16/2021

(1,129,995)

CAD

3,351,500

USD

2,680,843

CITG

6/16/2021

(13,687)

CAD

3,351,500

USD

2,680,846

JPMC

6/16/2021

(13,690)

CHF

3,521,000

USD

3,766,984

CITG

6/16/2021

(34,161)

CHF

3,521,000

USD

3,766,989

JPMC

6/16/2021

(34,165)

DKK

2,282,000

USD

366,810

CITG

6/16/2021

(6,594)

DKK

2,282,000

USD

366,810

JPMC

6/16/2021

(6,596)

EUR

24,420,002

USD

29,662,793

CITG

6/16/2021

(980,915)

EUR

24,419,998

USD

29,662,825

JPMC

6/16/2021

(980,950)

GBP

6,376,001

USD

8,885,025

CITG

6/16/2021

(93,093)

GBP

6,375,996

USD

8,885,030

JPMC

6/16/2021

(93,103)

HKD

6,645,500

USD

856,225

CITG

6/16/2021

(1,248)

HKD

6,645,500

USD

856,226

JPMC

6/16/2021

(1,251)

ILS

1,232,000

USD

375,369

CITG

6/16/2021

(6,476)

ILS

1,231,999

USD

375,370

JPMC

6/16/2021

(6,477)

JPY

1,828,797,000

USD

17,043,351

CITG

6/16/2021

(515,434)

JPY

1,828,797,000

USD

17,043,372

JPMC

6/16/2021

(515,456)

NOK

40,809,000

USD

4,816,028

CITG

6/16/2021

(44,991)

NOK

40,809,000

USD

4,816,034

JPMC

6/16/2021

(44,999)

NZD

7,388,501

USD

5,363,913

CITG

6/16/2021

(204,700)

NZD

7,388,500

USD

5,363,919

JPMC

6/16/2021

(204,707)

SEK

41,346,000

USD

4,944,176

CITG

6/16/2021

(206,751)

SEK

41,345,999

USD

4,944,182

JPMC

6/16/2021

(206,755)

SGD

723,500

USD

544,154

CITG

6/16/2021

(6,500)

SGD

723,500

USD

544,155

JPMC

6/16/2021

(6,500)

USD

17,487,769

CAD

22,087,378

CITG

6/16/2021

(89,577)

USD

17,487,744

CAD

22,087,374

JPMC

6/16/2021

(89,599)

USD

49,400

HKD

384,000

CITG

6/16/2021

(3)

USD

49,400

HKD

384,000

JPMC

6/16/2021

(3)

USD

495,311

NOK

4,247,202

CITG

6/16/2021

(1,235)

USD

495,311

NOK

4,247,202

JPMC

6/16/2021

(1,235)

USD

10,764

SGD

14,500

CITG

6/16/2021

(12)

USD

10,764

SGD

14,500

JPMC

6/16/2021

(12)

Total

unrealized

depreciation

(6,670,816)

Net

unrealized

depreciation

$

(1,429,772)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

10,486,242

$

10,486,242

CITG

Investment

Companies

3,335,906

–

3,335,906

GSCO

Cash

–

319,212

319,212

GSIN

Cash

350,000

–

350,000

JPMC

Investment

Companies

3,330,138

–

3,330,138

67

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

83.7%

Australia

-

8.8%

AMP

Ltd.

51,965

50,102

ASX

Ltd.

1,526

82,602

Aurizon

Holdings

Ltd.

135,952

404,011

Australia

&

New

Zealand

Banking

Group

Ltd.

8,582

184,260

BHP

Group

Ltd.

20,027

694,725

BHP

Group

plc

41,412

1,192,335

BlueScope

Steel

Ltd.

67,183

991,404

Brambles

Ltd.

9,303

75,044

Coles

Group

Ltd.

45,798

558,486

Dexus,

REIT

15,281

113,624

Fortescue

Metals

Group

Ltd.

69,506

1,059,313

Goodman

Group,

REIT

31,460

434,411

GPT

Group

(The),

REIT

36,710

128,778

Lendlease

Corp.

Ltd.

7,936

78,245

Mirvac

Group,

REIT

57,900

110,451

Newcrest

Mining

Ltd.

10,664

201,463

Origin

Energy

Ltd.

117,999

422,758

Rio

Tinto

Ltd.

3,088

260,989

Rio

Tinto

plc

23,698

1,807,876

Scentre

Group,

REIT

18,450

39,725

Sonic

Healthcare

Ltd.

19,959

533,731

South32

Ltd.

502,226

1,077,852

Stockland,

REIT

30,469

102,282

Suncorp

Group

Ltd.

31,177

234,891

Tabcorp

Holdings

Ltd.

12,214

43,638

Vicinity

Centres,

REIT

44,856

56,705

Westpac

Banking

Corp.

2,074

38,471

10,978,172

—

Belgium

-

1.2%

Ageas

SA/NV

8,640

521,737

Etablissements

Franz

Colruyt

NV

1,157

68,978

Galapagos

NV

*

755

58,259

Groupe

Bruxelles

Lambert

SA

853

88,239

KBC

Group

NV

*

2,723

198,129

Proximus

SADP

24,131

525,041

1,460,383

—

China

-

0.2%

BOC

Hong

Kong

Holdings

Ltd.

24,500

85,711

Wilmar

International

Ltd.

43,300

174,873

260,584

—

Denmark

-

2.4%

AP

Moller

-

Maersk

A/S,

Class

B

63

146,256

Coloplast

A/S,

Class

B

6,065

911,856

Danske

Bank

A/S

5,540

103,639

Genmab

A/S

*

837

275,284

Novo

Nordisk

A/S,

Class

B

9,909

667,704

Orsted

A/S

(a)

278

44,887

Pandora

A/S

7,507

802,869

2,952,495

—

Finland

-

1.3%

Fortum

OYJ

5,612

149,891

Kone

OYJ,

Class

B

7,987

652,828

Nokia

OYJ

*

14,719

58,782

Orion

OYJ,

Class

B

1,767

70,798

INVESTMENTS

SHARES

VALUE

($)

Finland

-

1.3%

(continued)

UPM-Kymmene

OYJ

6,759

242,903

Wartsila

OYJ

Abp

37,238

390,360

1,565,562

—

France

-

8.1%

Arkema

SA

460

55,708

Atos

SE

15,016

1,170,719

BNP

Paribas

SA

*

7,293

444,358

Bouygues

SA

6,313

252,865

Carrefour

SA

76,167

1,379,050

Cie

de

Saint-Gobain

25,362

1,497,666

Cie

Generale

des

Etablissements

Michelin

SCA

2,293

343,423

CNP

Assurances

15,998

303,432

Credit

Agricole

SA

10,568

153,048

Dassault

Aviation

SA

43

47,818

Electricite

de

France

SA

*

15,443

207,156

Iliad

SA

289

54,896

Ipsen

SA

6,069

520,263

La

Francaise

des

Jeux

SAEM

(a)

9,472

430,427

Orange

SA

56,248

692,186

Publicis

Groupe

SA

13,300

811,065

Sanofi

6,229

615,949

SEB

SA

4,054

714,189

Societe

Generale

SA

*

7,606

198,858

Sodexo

SA

*

1,014

97,150

Unibail-Rodamco-Westfield,

REIT

*

1,341

107,144

10,097,370

—

Germany

-

7.8%

Bayerische

Motoren

Werke

AG

14,432

1,497,703

Brenntag

SE

7,901

674,974

Deutsche

Boerse

AG

1,518

252,244

Deutsche

Post

AG

(Registered)

5,937

325,709

Deutsche

Wohnen

SE

3,297

153,800

E.ON

SE

50,867

592,803

Fresenius

Medical

Care

AG

&

Co.

KGaA

18,974

1,397,653

Fresenius

SE

&

Co.

KGaA

4,053

180,603

GEA

Group

AG

8,494

348,388

HelloFresh

SE

*

12,060

898,565

HOCHTIEF

AG

7,283

652,031

KION

Group

AG

2,165

213,914

Knorr-Bremse

AG

2,601

324,585

LANXESS

AG

2,036

150,267

Porsche

Automobil

Holding

SE

(Preference)

1,278

135,597

RWE

AG

13,106

514,303

SAP

SE

3,384

415,070

Uniper

SE

17,425

631,189

Vonovia

SE

4,674

305,443

Zalando

SE

*(a)

813

79,664

9,744,505

—

Hong

Kong

-

2.3%

ASM

Pacific

Technology

Ltd.

9,100

116,459

CK

Asset

Holdings

Ltd.

55,716

339,176

CK

Infrastructure

Holdings

Ltd.

11,797

70,329

CLP

Holdings

Ltd.

7,000

68,157

68

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

2.3%

(continued)

Hong

Kong

Exchanges

&

Clearing

Ltd.

7,729

458,530

Kerry

Properties

Ltd.

113,777

367,959

Link,

REIT

33,339

304,176

PCCW

Ltd.

42,350

23,916

Swire

Pacific

Ltd.,

Class

A

22,000

165,726

WH

Group

Ltd.

(a)

1,189,235

966,172

2,880,600

—

Italy

-

2.3%

Assicurazioni

Generali

SpA

27,178

542,993

DiaSorin

SpA

4,482

719,115

Poste

Italiane

SpA

(a)

16,559

210,292

Prysmian

SpA

22,375

726,519

Telecom

Italia

SpA

1,172,743

634,434

UniCredit

SpA

*

5,185

54,768

2,888,121

—

Japan

-

19.6%

Aisin

Corp.

10,500

399,906

Alfresa

Holdings

Corp.

11,440

220,865

Brother

Industries

Ltd.

55,575

1,234,345

Calbee,

Inc.

5,155

131,407

Dai

Nippon

Printing

Co.

Ltd.

1,800

37,756

Daito

Trust

Construction

Co.

Ltd.

520

60,421

Daiwa

House

Industry

Co.

Ltd.

5,555

163,034

Disco

Corp.

2,200

695,209

ENEOS

Holdings,

Inc.

141,729

643,006

FUJIFILM

Holdings

Corp.

1,973

117,370

Fujitsu

Ltd.

5,002

727,859

Hirose

Electric

Co.

Ltd.

1,000

154,156

Hitachi

Ltd.

3,038

137,708

Honda

Motor

Co.

Ltd.

13,700

412,994

Hoya

Corp.

2,672

314,486

Hulic

Co.

Ltd.

5,293

62,570

Ibiden

Co.

Ltd.

5,100

235,631

ITOCHU

Corp.

6,874

223,171

Japan

Metropolitan

Fund

Investment

Corp.,

REIT

96

98,349

Japan

Real

Estate

Investment

Corp.,

REIT

17

100,460

Kajima

Corp.

51,379

730,781

Kurita

Water

Industries

Ltd.

1,125

48,335

Lion

Corp.

15,630

304,694

Marubeni

Corp.

22,108

184,648

McDonald's

Holdings

Co.

Japan

Ltd.

4,300

198,203

Medipal

Holdings

Corp.

10,864

208,822

Mitsubishi

Corp.

9,212

261,152

Mitsubishi

Estate

Co.

Ltd.

8,284

145,065

Mitsubishi

Gas

Chemical

Co.,

Inc.

15,761

387,685

Mitsui

Fudosan

Co.

Ltd.

6,356

144,888

NGK

Spark

Plug

Co.

Ltd.

32,463

562,412

Nintendo

Co.

Ltd.

2,843

1,602,417

Nippon

Building

Fund,

Inc.,

REIT

23

135,534

Nippon

Yusen

KK

14,600

499,326

Nitto

Denko

Corp.

733

62,833

Nomura

Real

Estate

Holdings,

Inc.

2,581

62,388

Obayashi

Corp.

119,523

1,097,100

Olympus

Corp.

15,445

320,389

INVESTMENTS

SHARES

VALUE

($)

Japan

-

19.6%

(continued)

Ono

Pharmaceutical

Co.

Ltd.

1,455

38,052

Panasonic

Corp.

9,616

124,522

Pola

Orbis

Holdings,

Inc.

8,708

210,016

Renesas

Electronics

Corp.

*

29,200

319,705

Resona

Holdings,

Inc.

197,716

830,507

Rinnai

Corp.

860

96,459

Rohm

Co.

Ltd.

10,801

1,059,295

Sekisui

House

Ltd.

12,837

276,126

Shimamura

Co.

Ltd.

2,767

319,742

Shimizu

Corp.

89,947

728,314

Shinsei

Bank

Ltd.

52,825

853,708

Shionogi

&

Co.

Ltd.

907

48,964

Sony

Group

Corp.

7,800

825,501

Square

Enix

Holdings

Co.

Ltd.

4,329

240,775

Subaru

Corp.

41,300

825,446

SUMCO

Corp.

48,167

1,103,860

Sumitomo

Electric

Industries

Ltd.

2,713

40,795

Sumitomo

Realty

&

Development

Co.

Ltd.

3,746

132,696

Suzuken

Co.

Ltd.

7,680

300,474

Taiheiyo

Cement

Corp.

26,142

688,827

Taisei

Corp.

19,371

747,359

Teijin

Ltd.

7,255

125,174

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

160,500

536,523

Tokyu

Fudosan

Holdings

Corp.

8,525

50,687

Toshiba

Corp.

3,305

111,865

Tosoh

Corp.

1,626

31,142

Toyoda

Gosei

Co.

Ltd.

4,499

118,607

Toyota

Tsusho

Corp.

2,184

91,969

Yamada

Holdings

Co.

Ltd.

67,600

365,325

Yamato

Holdings

Co.

Ltd.

8,100

222,436

24,592,246

—

Luxembourg

-

0.2%

SES

SA,

FDR

32,804

260,236

Macau

-

0.1%

SJM

Holdings

Ltd.

48,745

63,967

Malta

-

0.0%

BGP

Holdings

plc

(3)*(b)

143,427

—

Netherlands

-

4.4%

ASML

Holding

NV

3,884

2,383,103

ING

Groep

NV

26,302

321,255

Koninklijke

Ahold

Delhaize

NV

54,189

1,511,486

Koninklijke

Vopak

NV

790

39,308

Royal

Dutch

Shell

plc,

Class

A

9,076

176,428

Royal

Dutch

Shell

plc,

Class

B

25,084

461,733

Wolters

Kluwer

NV

6,539

567,944

5,461,257

—

Russia

-

0.8%

Evraz

plc

119,107

948,544

Singapore

-

0.7%

Ascendas,

REIT

54,022

122,717

CapitaLand

Integrated

Commercial

Trust,

REIT

69,542

112,526

City

Developments

Ltd.

16,100

95,757

DBS

Group

Holdings

Ltd.

1,600

34,306

69

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

0.7%

(continued)

Genting

Singapore

Ltd.

127,800

87,562

Oversea-Chinese

Banking

Corp.

Ltd.

7,900

69,117

Singapore

Exchange

Ltd.

16,921

125,498

Venture

Corp.

Ltd.

15,571

232,513

879,996

—

South

Africa

-

0.9%

Anglo

American

plc

29,170

1,142,526

Spain

-

2.8%

ACS

Actividades

de

Construccion

y

Servicios

SA

3,862

128,356

Banco

Bilbao

Vizcaya

Argentaria

SA

45,656

237,921

Banco

Santander

SA

114,882

391,840

Enagas

SA

52,810

1,149,720

Endesa

SA

44,989

1,192,315

Red

Electrica

Corp.

SA

9,202

163,224

Repsol

SA

23,345

289,757

3,553,133

—

Sweden

-

3.5%

Atlas

Copco

AB,

Class

B

4,289

223,532

Electrolux

AB,

Series

B

44,410

1,234,647

Evolution

Gaming

Group

AB

(a)

2,847

419,264

Husqvarna

AB,

Class

B

62,729

904,340

ICA

Gruppen

AB

810

39,610

Investor

AB,

Class

B

3,864

308,308

Skanska

AB,

Class

B

5,809

145,688

SKF

AB,

Class

B

3,099

88,181

Svenska

Handelsbanken

AB,

Class

A

52,625

572,097

Swedish

Match

AB

413

32,219

Telefonaktiebolaget

LM

Ericsson,

Class

B

32,685

433,248

4,401,134

—

Switzerland

-

7.4%

Adecco

Group

AG

(Registered)

12,184

821,834

Baloise

Holding

AG

(Registered)

184

31,290

Credit

Suisse

Group

AG

(Registered)

44,195

467,555

LafargeHolcim

Ltd.

(Registered)

*

16,486

969,459

Logitech

International

SA

(Registered)

8,597

901,603

Nestle

SA

(Registered)

9,913

1,105,065

Novartis

AG

(Registered)

6,278

536,648

Roche

Holding

AG

6,933

2,245,899

SGS

SA

(Registered)

175

497,245

Sonova

Holding

AG

(Registered)

*

360

95,427

STMicroelectronics

NV

18,491

706,456

Swatch

Group

AG

(The)

1,917

551,978

Swiss

Life

Holding

AG

(Registered)

222

109,099

UBS

Group

AG

(Registered)

12,036

186,215

9,225,773

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(b)

5,443

—

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

8.9%

3i

Group

plc

7,980

126,822

Aviva

plc

261,236

1,472,508

BAE

Systems

plc

111,140

773,987

Barclays

plc

188,908

483,778

BP

plc

160,496

651,928

British

American

Tobacco

plc

3,007

114,297

BT

Group

plc

*

170,309

363,322

Bunzl

plc

1,932

61,839

CK

Hutchison

Holdings

Ltd.

180,974

1,445,859

CNH

Industrial

NV

6,479

100,296

DCC

plc

2,227

193,170

Direct

Line

Insurance

Group

plc

104,562

451,372

Entain

plc

*

57,529

1,203,087

GlaxoSmithKline

plc

6,877

121,742

Kingfisher

plc

*

282,056

1,236,263

Lloyds

Banking

Group

plc

*

172,158

100,992

London

Stock

Exchange

Group

plc

2,475

236,609

M&G

plc

302,192

863,564

RSA

Insurance

Group

plc

6,881

64,552

Sage

Group

plc

(The)

74,854

632,381

Standard

Chartered

plc

31,327

215,703

Vodafone

Group

plc

108,440

197,749

11,111,820

—

TOTAL

COMMON

STOCKS

(Cost

$82,859,224)

104,468,424

SHORT-TERM

INVESTMENTS

-

10.5%

INVESTMENT

COMPANIES

-

10.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(c)(d)

2,824,410

2,824,410

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(c)

10,251,289

10,248,213

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$13,072,262)

13,072,623

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.2%

(Cost

$95,931,486)

117,541,047

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.8%

(e)

7,199,975

NET

ASSETS

-

100.0%

124,741,022

70

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

5,406,035

4.3

%

Consumer

Discretionary

15,310,374

12.3

Consumer

Staples

6,596,353

5.3

Energy

2,684,919

2.2

Financials

12,760,920

10.2

Health

Care

10,402,985

8.3

Industrials

16,765,106

13.4

Information

Technology

12,835,473

10.3

Materials

12,091,028

9.7

Real

Estate

4,294,735

3.4

Utilities

5,320,496

4.3

Short-Term

Investments

13,072,623

10.5

Total

Investments

In

Securities

At

Value

117,541,047

94.2

Other

Assets

in

Excess

of

Liabilities

(e

)

7,199,975

5.8

Net

Assets

$

124,741,022

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$2,150,706,

which

represents

approximately

1.72%

of

net

assets

of

the

fund.

(b)

Security

fair

valued

as

of

March

31,

2021

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

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

4).

(3)

Level

3

security

(See

Note

4).

Total

return

swap

contracts

outstanding

as

of

March

31,

2021

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/29/2021

HKD

9,910,600

$

5,624

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/29/2021

HKD

43,889,800

51,026

Tel

Aviv

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2021

ILS

2,406,930

9,035

71

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/18/2021

EUR

2,060,953

$

90,849

156,534

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/18/2021

CHF

(6,338,240)

(141,363)

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/16/2021

EUR

(492,264)

(8,363)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-2.20%)

Monthly

JPMC

06/16/2021

SEK

(159,376)

(980)

(150,706)

$

5,828

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

7

4/2021

EUR

$

1,147,834

$

27,584

Amsterdam

Exchange

Index

14

4/2021

EUR

2,295,668

30,950

Hang

Seng

Index

26

4/2021

HKD

4,735,056

1,367

MSCI

Singapore

Index

12

4/2021

SGD

319,313

723

DAX

Index

1

6/2021

EUR

440,613

13,084

FTSE/MIB

Index

38

6/2021

EUR

5,435,300

81,439

TOPIX

Index

150

6/2021

JPY

26,470,988

717,743

872,890

Short

Contracts

CAC

40

10

Euro

Index

(73)

4/2021

EUR

(5,192,927)

(20,440)

IBEX

35

Index

(1)

4/2021

EUR

(100,696)

(2,659)

IBEX

35

Index

(24)

4/2021

EUR

(2,416,710)

16,911

OMXS30

Index

(99)

4/2021

SEK

(2,479,407)

(30,842)

FTSE

100

Index

(103)

6/2021

GBP

(9,484,610)

79,927

72

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

SPI

200

Index

(51)

6/2021

AUD

$

(6,552,372)

$

(1,496)

41,401

$

914,291

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

HKD

42,500

USD

5,468

CITG

6/16/2021

$

–

HKD

42,500

USD

5,468

JPMC

6/16/2021

–

NOK

35,500

USD

4,138

CITG

6/16/2021

12

NOK

35,500

USD

4,138

JPMC

6/16/2021

12

NZD

3,500

USD

2,442

CITG

6/16/2021

2

NZD

3,500

USD

2,442

JPMC

6/16/2021

2

SGD

161,000

USD

119,538

CITG

6/16/2021

106

SGD

161,000

USD

119,538

JPMC

6/16/2021

106

USD

4,318,622

AUD

5,569,500

CITG

6/16/2021

86,960

USD

4,318,616

AUD

5,569,500

JPMC

6/16/2021

86,955

USD

4,006,027

CHF

3,636,900

CITG

6/16/2021

150,331

USD

4,005,850

CHF

3,636,900

JPMC

6/16/2021

150,154

USD

255,887

DKK

1,582,000

CITG

6/16/2021

6,168

USD

255,886

DKK

1,582,000

JPMC

6/16/2021

6,167

USD

3,020,319

EUR

2,528,000

CITG

6/16/2021

51,122

USD

3,020,315

EUR

2,528,000

JPMC

6/16/2021

51,118

USD

4,893,065

GBP

3,504,353

CITG

6/16/2021

60,878

USD

4,893,051

GBP

3,504,347

JPMC

6/16/2021

60,871

USD

737,796

HKD

5,723,000

CITG

6/16/2021

1,505

USD

737,795

HKD

5,723,000

JPMC

6/16/2021

1,504

USD

64,757

ILS

213,000

CITG

6/16/2021

980

USD

64,757

ILS

213,000

JPMC

6/16/2021

980

USD

4,187,141

JPY

442,347,100

CITG

6/16/2021

189,388

USD

4,187,135

JPY

442,347,100

JPMC

6/16/2021

189,383

USD

5,507

NOK

46,500

CITG

6/16/2021

71

USD

5,507

NOK

46,500

JPMC

6/16/2021

71

USD

94,928

NZD

132,000

CITG

6/16/2021

2,756

USD

94,928

NZD

132,000

JPMC

6/16/2021

2,755

USD

1,941,350

SEK

16,206,500

CITG

6/16/2021

84,409

USD

1,941,348

SEK

16,206,500

JPMC

6/16/2021

84,406

USD

119,943

SGD

159,500

CITG

6/16/2021

1,413

USD

119,942

SGD

159,500

JPMC

6/16/2021

1,413

Total

unrealized

appreciation

1,271,998

AUD

17,373,051

USD

13,618,968

CITG

6/16/2021

(419,063)

AUD

17,373,049

USD

13,618,984

JPMC

6/16/2021

(419,084)

CHF

417,000

USD

456,011

CITG

6/16/2021

(13,924)

CHF

417,000

USD

456,012

JPMC

6/16/2021

(13,925)

DKK

1,465,500

USD

237,616

CITG

6/16/2021

(6,286)

DKK

1,465,500

USD

237,616

JPMC

6/16/2021

(6,286)

EUR

7,041,700

USD

8,553,335

CITG

6/16/2021

(282,693)

EUR

7,041,700

USD

8,553,346

JPMC

6/16/2021

(282,699)

GBP

1,052,001

USD

1,466,730

CITG

6/16/2021

(16,114)

GBP

1,051,999

USD

1,466,729

JPMC

6/16/2021

(16,115)

HKD

4,517,000

USD

582,159

CITG

6/16/2021

(1,024)

73

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

HKD

4,517,000

USD

582,159

JPMC

6/16/2021

$

(1,026)

ILS

1,445,502

USD

440,453

CITG

6/16/2021

(7,633)

ILS

1,445,498

USD

440,453

JPMC

6/16/2021

(7,634)

JPY

803,815,000

USD

7,456,470

CITG

6/16/2021

(191,918)

JPY

803,815,000

USD

7,456,479

JPMC

6/16/2021

(191,927)

NOK

1,151,501

USD

136,155

CITG

6/16/2021

(1,531)

NOK

1,151,499

USD

136,154

JPMC

6/16/2021

(1,531)

NZD

309,501

USD

224,621

CITG

6/16/2021

(8,503)

NZD

309,499

USD

224,619

JPMC

6/16/2021

(8,504)

SEK

2,713,500

USD

319,521

CITG

6/16/2021

(8,608)

SEK

2,713,500

USD

319,522

JPMC

6/16/2021

(8,608)

SGD

238,004

USD

179,162

CITG

6/16/2021

(2,294)

SGD

237,996

USD

179,156

JPMC

6/16/2021

(2,294)

USD

307,709

GBP

224,000

CITG

6/16/2021

(1,167)

USD

307,709

GBP

224,000

JPMC

6/16/2021

(1,167)

USD

27,209

HKD

211,500

CITG

6/16/2021

(2)

USD

27,209

HKD

211,500

JPMC

6/16/2021

(2)

USD

8,166

NOK

70,500

CITG

6/16/2021

(77)

USD

8,166

NOK

70,500

JPMC

6/16/2021

(77)

USD

696

NZD

1,000

CITG

6/16/2021

(2)

USD

696

NZD

1,000

JPMC

6/16/2021

(2)

USD

12,618

SGD

17,000

CITG

6/16/2021

(15)

USD

12,618

SGD

17,000

JPMC

6/16/2021

(15)

Total

unrealized

depreciation

(1,921,750)

Net

unrealized

depreciation

$

(649,752)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

3,974,951

$

3,974,951

CITG

Investment

Companies

670,005

–

670,005

GSCO

Cash

–

153,948

153,948

GSIN

Cash

1,130,000

–

1,130,000

JPMC

Investment

Companies

2,154,404

–

2,154,404

74

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

LONG

POSITIONS

-

130.9%

CORPORATE

BONDS

-

30.1%

Aerospace

&

Defense

-

0.2%

Hexcel

Corp.

4.20%,

2/15/2027

(a)

$

140,000

146,667

Air

Freight

&

Logistics

-

0.5%

United

Parcel

Service,

Inc.

5.30%,

4/1/2050

280,000

378,611

Auto

Components

-

0.3%

Lear

Corp.

5.25%,

5/15/2049

170,000

198,645

Automobiles

-

0.3%

Hyundai

Capital

America

1.80%,

10/15/2025

(b)

200,000

199,713

Banks

-

2.4%

Bangko

Sentral

ng

Pilipinas

International

Bond

(Philippines)

Series

A,

8.60%,

6/15/2027

60,000

78,000

Bank

of

Montreal

(Canada)

(USD

Swap

Semi

5

Year

+

1.43%),

3.80%,

12/15/2032

(c)

287,000

315,078

Huntington

Bancshares,

Inc.

2.55%,

2/4/2030

190,000

190,349

Santander

Holdings

USA,

Inc.

3.45%,

6/2/2025

200,000

214,126

SVB

Financial

Group

3.50%,

1/29/2025

390,000

420,896

Truist

Bank

2.25%,

3/11/2030

430,000

419,294

Vnesheconombank

(Russia)

6.80%,

11/22/2025

(b)

140,000

164,094

1,801,837

Building

Products

-

0.1%

Fortune

Brands

Home

&

Security,

Inc.

3.25%,

9/15/2029

100,000

104,104

Capital

Markets

-

2.7%

Ameriprise

Financial,

Inc.

3.00%,

4/2/2025

200,000

212,714

Ares

Capital

Corp.

3.50%,

2/10/2023

700,000

729,865

Goldman

Sachs

Group,

Inc.

(The)

6.75%,

10/1/2037

110,000

154,740

6.25%,

2/1/2041

100,000

140,902

KKR

Group

Finance

Co.

III

LLC

5.13%,

6/1/2044

(b)

190,000

230,998

Morgan

Stanley

3.63%,

1/20/2027

460,000

504,479

1,973,698

Chemicals

-

2.4%

Celanese

US

Holdings

LLC

3.50%,

5/8/2024

100,000

107,217

Ecolab,

Inc.

4.80%,

3/24/2030

390,000

466,224

Huntsman

International

LLC

4.50%,

5/1/2029

200,000

221,306

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Chemicals

-

2.4%

(continued)

PPG

Industries,

Inc.

2.55%,

6/15/2030

$

102,000

103,055

RPM

International,

Inc.

3.75%,

3/15/2027

800,000

880,135

1,777,937

Diversified

Financial

Services

-

0.6%

GE

Capital

International

Funding

Co.

Unlimited

Co.

4.42%,

11/15/2035

400,000

458,446

Diversified

Telecommunication

Services

-

0.2%

AT&T,

Inc.

3.65%,

9/15/2059

(d)

180,000

163,968

Electric

Utilities

-

1.0%

Georgia

Power

Co.

Series

A,

3.25%,

3/15/2051

100,000

95,166

NRG

Energy,

Inc.

3.75%,

6/15/2024

(b)

400,000

429,048

Southern

California

Edison

Co.

Series

B,

4.88%,

3/1/2049

160,000

184,873

709,087

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.6%

Equinix

,

Inc.

5.38%,

5/15/2027

158,000

169,914

Simon

Property

Group

LP

3.25%,

9/13/2049

280,000

260,248

430,162

Food

&

Staples

Retailing

-

0.4%

Walmart,

Inc.

4.05%,

6/29/2048

270,000

317,180

Gas

Utilities

-

0.4%

National

Fuel

Gas

Co.

4.75%,

9/1/2028

298,000

328,456

Health

Care

Equipment

&

Supplies

-

1.6%

Abbott

Laboratories

4.90%,

11/30/2046

370,000

480,552

Edwards

Lifesciences

Corp.

4.30%,

6/15/2028

620,000

698,705

1,179,257

Health

Care

Providers

&

Services

-

1.5%

Anthem,

Inc.

4.63%,

5/15/2042

160,000

188,451

HCA,

Inc.

5.00%,

3/15/2024

360,000

400,526

Humana,

Inc.

4.95%,

10/1/2044

220,000

263,475

Montefiore

Obligated

Group

4.29%,

9/1/2050

200,000

203,577

Universal

Health

Services,

Inc.

2.65%,

10/15/2030

(b)

100,000

96,552

1,152,581

75

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.8%

Darden

Restaurants,

Inc.

3.85%,

5/1/2027

$

62,000

67,459

Marriott

International,

Inc.

Series

EE,

5.75%,

5/1/2025

460,000

527,662

595,121

Internet

&

Direct

Marketing

Retail

-

0.8%

Booking

Holdings,

Inc.

4.63%,

4/13/2030

340,000

395,792

Expedia

Group,

Inc.

6.25%,

5/1/2025

(b)

198,000

228,952

624,744

Life

Sciences

Tools

&

Services

-

0.6%

PerkinElmer,

Inc.

3.30%,

9/15/2029

400,000

421,654

Metals

&

Mining

-

0.6%

Corp.

Nacional

del

Cobre

de

Chile

(Chile)

6.15%,

10/24/2036

(b)

110,000

146,620

Kinross

Gold

Corp.

(Canada)

5.95%,

3/15/2024

154,000

173,205

Teck

Resources

Ltd.

(Canada)

6.25%,

7/15/2041

100,000

122,818

442,643

Multiline

Retail

-

0.9%

Kohl's

Corp.

4.25%,

7/17/2025

310,000

339,306

Nordstrom,

Inc.

8.75%,

5/15/2025

(b)

260,000

294,228

633,534

Oil,

Gas

&

Consumable

Fuels

-

3.3%

Cenovus

Energy,

Inc.

(Canada)

5.38%,

7/15/2025

120,000

134,810

6.75%,

11/15/2039

100,000

124,479

ConocoPhillips

6.50%,

2/1/2039

220,000

313,357

Devon

Energy

Corp.

5.00%,

6/15/2045

190,000

207,109

Hess

Corp.

4.30%,

4/1/2027

310,000

337,683

HollyFrontier

Corp.

5.88%,

4/1/2026

520,000

589,178

KazTransGas

JSC

(Kazakhstan)

4.38%,

9/26/2027

(b)

200,000

222,863

ONEOK,

Inc.

4.95%,

7/13/2047

120,000

125,321

Petroleos

Mexicanos

(Mexico)

4.50%,

1/23/2026

20,000

19,856

6.50%,

3/13/2027

70,000

73,150

5.35%,

2/12/2028

70,000

68,068

6.63%,

6/15/2035

120,000

114,000

6.63%,

6/15/2038

10,000

9,080

6.50%,

6/2/2041

30,000

26,124

6.35%,

2/12/2048

90,000

74,934

7.69%,

1/23/2050

10,000

9,325

2,449,337

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Road

&

Rail

-

0.6%

Kansas

City

Southern

2.88%,

11/15/2029

$

450,000

459,742

Semiconductors

&

Semiconductor

Equipment

-

2.8%

Broadcom

Corp.

3.88%,

1/15/2027

289,000

313,919

Broadcom,

Inc.

3.47%,

4/15/2034

(b)

321,000

322,930

Lam

Research

Corp.

4.00%,

3/15/2029

410,000

464,022

Micron

Technology,

Inc.

5.33%,

2/6/2029

390,000

458,548

NVIDIA

Corp.

3.20%,

9/16/2026

97,000

105,763

Texas

Instruments,

Inc.

1.75%,

5/4/2030

440,000

419,543

2,084,725

Software

-

0.3%

Adobe,

Inc.

2.30%,

2/1/2030

230,000

232,439

Specialty

Retail

-

0.2%

Best

Buy

Co.,

Inc.

4.45%,

10/1/2028

130,000

148,135

Technology

Hardware,

Storage

&

Peripherals

-

1.7%

Apple,

Inc.

4.65%,

2/23/2046

150,000

186,004

Dell

International

LLC

6.02%,

6/15/2026

(b)

490,000

579,840

Xerox

Corp.

4.38%,

3/15/2023

(a)

480,000

502,200

1,268,044

Textiles,

Apparel

&

Luxury

Goods

-

1.0%

PVH

Corp.

4.63%,

7/10/2025

200,000

219,754

Ralph

Lauren

Corp.

2.95%,

6/15/2030

320,000

329,860

Tapestry,

Inc.

4.13%,

7/15/2027

150,000

162,781

712,395

Trading

Companies

&

Distributors

-

0.6%

Air

Lease

Corp.

2.88%,

1/15/2026

360,000

373,384

WW

Grainger,

Inc.

4.60%,

6/15/2045

62,000

74,498

447,882

Water

Utilities

-

0.1%

American

Water

Capital

Corp.

3.75%,

9/1/2047

100,000

106,336

Wireless

Telecommunication

Services

-

0.6%

Sprint

Spectrum

Co.

LLC

4.74%,

3/20/2025

(b)

400,000

428,280

TOTAL

CORPORATE

BONDS

(Cost

$21,976,823)

22,375,360

76

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

MORTGAGE-BACKED

SECURITIES

-

36.9%

UMBS,

15

Year,

Single

Family

TBA,

1.50%,

4/25/2036

$

300,000

301,265

TBA,

2.00%,

4/25/2036

2,300,000

2,359,746

TBA,

2.50%,

4/25/2036

1,550,000

1,612,969

UMBS,

30

Year,

Single

Family

TBA,

1.50%,

4/25/2051

550,000

531,362

TBA,

2.00%,

4/25/2051

3,850,000

3,838,646

TBA,

2.50%,

4/25/2051

3,500,000

3,589,072

TBA,

3.00%,

4/25/2051

4,650,000

4,843,356

TBA,

3.50%,

4/25/2051

3,900,000

4,118,309

TBA,

4.00%,

4/25/2051

4,150,000

4,453,469

TBA,

4.50%,

4/25/2051

1,650,000

1,796,180

TOTAL

MORTGAGE-BACKED

SECURITIES

(Cost

$27,645,568)

27,444,374

FOREIGN

GOVERNMENT

SECURITIES

-

18.4%

Buoni

Poliennali

del

Tesoro

6.00%,

5/1/2031

(d)

EUR

300,000

534,959

Canada

Government

Bond

2.25%,

6/1/2029

CAD

10,000

8,514

1.25%,

6/1/2030

8,180,000

6,396,699

Commonwealth

of

Australia

2.50%,

5/21/2030

(d)

AUD

760,000

619,646

Dominican

Republic

Government

Bond

7.45%,

4/30/2044

(b)

$

100,000

117,750

Federative

Republic

of

Brazil

10.13%,

5/15/2027

120,000

169,621

8.25%,

1/20/2034

10,000

13,235

7.13%,

1/20/2037

30,000

36,688

Hungary

Government

Bond

5.75%,

11/22/2023

20,000

22,604

Japan

Government

Bond

0.10%,

6/20/2028

JPY

5,500,000

50,085

0.10%,

9/20/2028

8,600,000

78,261

0.10%,

12/20/2028

9,400,000

85,516

0.10%,

3/20/2029

8,450,000

76,855

0.10%,

6/20/2029

16,600,000

150,891

2.10%,

3/20/2030

15,300,000

163,444

0.60%,

12/20/2036

3,150,000

29,589

2.50%,

3/20/2038

149,950,000

1,822,761

2.40%,

9/20/2038

3,400,000

41,014

2.30%,

3/20/2039

2,400,000

28,610

2.30%,

3/20/2040

50,500,000

607,642

2.00%,

9/20/2040

58,850,000

682,011

Kingdom

of

Saudi

Arabia

2.90%,

10/22/2025

(b)

$

200,000

212,000

Republic

of

Colombia

8.13%,

5/21/2024

180,000

214,447

Republic

of

Ecuador

0.50%,

7/31/2030

(a)(b)

50,000

29,125

0.50%,

7/31/2035

(a)(b)

30,000

13,650

Republic

of

El

Salvador

6.38%,

1/18/2027

(b)

50,000

49,450

8.25%,

4/10/2032

(b)

20,000

20,680

Republic

of

Indonesia

2.95%,

1/11/2023

200,000

207,052

Republic

of

Poland

3.25%,

4/6/2026

20,000

22,122

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

18.4%

(continued)

Republic

of

South

Africa

4.88%,

4/14/2026

$

210,000

220,500

Republic

of

Turkey

6.88%,

3/17/2036

170,000

160,948

Romania

Government

Bond

6.75%,

2/7/2022

(b)

110,000

115,775

4.00%,

2/14/2051

(b)

30,000

28,977

Russian

Federation

5.25%,

6/23/2047

(b)

200,000

237,150

State

of

Qatar

9.75%,

6/15/2030

(b)

30,000

47,701

Sultanate

of

Oman

Government

Bond

6.75%,

1/17/2048

(b)

210,000

200,050

Ukraine

Government

Bond

7.75%,

9/1/2027

(b)

150,000

160,287

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$14,008,154)

13,676,309

U.S.

TREASURY

OBLIGATIONS

-

35.1%

U.S.

Treasury

Bonds

3.13%,

2/15/2043

280,000

317,833

2.88%,

5/15/2043

1,040,000

1,135,022

3.63%,

8/15/2043

190,000

232,646

3.75%,

11/15/2043

40,000

49,930

3.13%,

8/15/2044

200,000

227,070

2.50%,

2/15/2045

400,000

407,359

3.00%,

5/15/2045

680,000

756,075

2.75%,

8/15/2047

210,000

223,789

2.75%,

11/15/2047

700,000

746,293

3.13%,

5/15/2048

970,000

1,109,097

U.S.

Treasury

Notes

0.25%,

11/15/2023

18,930,000

18,918,169

1.63%,

5/15/2026

340,000

350,997

0.50%,

8/31/2027

1,420,000

1,348,944

0.50%,

10/31/2027

220,000

208,227

0.75%,

1/31/2028

40,000

38,319

2.88%,

5/15/2028

50,000

54,930

2.88%,

8/15/2028

20,000

21,984

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$26,407,347)

26,146,684

SHARES

SHORT-TERM

INVESTMENTS

-

10.4%

INVESTMENT

COMPANIES

-

10.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(e)(f)

150,006

150,006

Limited

Purpose

Cash

Investment

Fund,

0.01%

(1)(e)

7,563,222

7,560,952

TOTAL

SHORT-TERM

INVESTMENTS

(COST

$7,710,872)

7,710,958

TOTAL

INVESTMENTS

BEFORE

TBA

SALE

COMMITMENTS

(Cost

$97,748,764)

97,353,685

77

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

TBA

SALE

COMMITMENTS

-

(5.3)%

MORTGAGE-BACKED

SECURITIES

-

(5.3)%

UMBS,

15

Year,

Single

Family

TBA,

2.00%,

4/25/2036

$

(1,600,000)

(1,641,563)

UMBS,

30

Year,

Single

Family

TBA,

1.50%,

4/25/2051

(50,000)

(48,306)

TBA,

2.50%,

4/25/2051

(50,000)

(51,272)

TBA,

3.00%,

4/25/2051

(300,000)

(312,474)

TBA,

3.50%,

4/25/2051

(50,000)

(52,799)

TBA,

4.00%,

4/25/2051

(1,700,000)

(1,824,313)

TOTAL

TBA

SALE

COMMITMENTS

(Proceeds

$(3,931,760))

(3,930,727)

TOTAL

INVESTMENTS

NET

OF

TBA

SALE

COMMITMENTS

-

125.6%

(Cost

$93,817,004)

93,422,958

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(25.6)%

(g)

(19,027,067)

NET

ASSETS

-

100.0%

74,395,891

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

592,248

0.8

%

Consumer

Discretionary

3,112,288

4.2

Consumer

Staples

317,180

0.4

Energy

2,449,337

3.3

Financials

4,233,981

5.7

Foreign

Government

Securities

13,676,309

18.4

Health

Care

2,753,491

3.7

Industrials

1,537,006

2.1

Information

Technology

3,585,208

4.8

Materials

2,220,580

3.0

Mortgage-Backed

Securities

23,513,647

31.6

Real

Estate

430,162

0.6

U.S.

Treasury

Obligations

26,146,684

35.1

Utilities

1,143,879

1.5

Short-Term

Investments

7,710,958

10.4

Total

Investments

In

Securities

At

Value

93,422,958

125.6

Liabilities

in

Excess

of

Other

Assets

(g)

(19,027,067)

(25.6)

Net

Assets

$

74,395,891

100.0%

(a)

Step

bond.

Coupon

rate

is

a

fixed

rate

for

an

initial

period

that

either

resets

at

a

specific

date

or

may

reset

in

the

future

contingent

upon

a

rating

change

made

by

a

rating

agency.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2021.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2021

amounted

to

$4,576,713,

which

represents

approximately

6.15%

of

net

assets

of

the

fund.

(c)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2021.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2021,

the

value

of

these

securities

amounted

to

$1,318,573

or

1.77%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2021.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2021:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Federative

Republic

of

Brazil,

4.25%,

1/7/2025

1.00

%

Quarterly

6/20/2026

2.23

%

USD

300,000

$

15,982

$

1,389

$

17,371

Markit

CDX

Emerging

Markets

Index

Series

35.V1

1.00

Quarterly

6/20/2026

1.85

USD

4,440,000

154,116

29,577

183,693

Republic

of

Colombia,

10.38%,

1/28/2033

1.00

Quarterly

6/20/2026

1.34

USD

400,000

5,216

1,590

6,806

Russian

Federation,

2.25%,

3/31/2030

1.00

Quarterly

6/20/2026

1.11

USD

800,000

5,601

(1,286)

4,315

180,915

31,270

212,185

Kingdom

of

Saudi

Arabia,  

2.38%,

10/26/2021

1.00

%

Quarterly

6/20/2026

0.70

%

USD

600,000

$

(8,837)

$

(4)

$

(8,841)

Kingdom

of

Thailand,  

1.45%,

5/20/2015

1.00

Quarterly

6/20/2026

0.41

USD

3,600,000

(106,063)

(4,610)

(110,673)

78

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

Investment

Grade

Index

Series

36.V1

1.00

%

Quarterly

6/20/2026

0.54

%

USD

8,770,000

$

(188,962)

$

(18,534)

$

(207,496)

Republic

of

Peru,  

8.75%,

11/21/2033

1.00

Quarterly

6/20/2026

0.83

USD

600,000

(5,865)

562

(5,303)

Republic

of

Philippines,  

10.63%,

3/16/2025

1.00

Quarterly

6/20/2026

0.46

USD

2,600,000

(72,924)

(458)

(73,382)

(382,651)

(23,044)

(405,695)

$

(201,736)

$

8,226

$

(193,510)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

March

31,

2021

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

35.V1

5.00

%

Quarterly

12/20/2025

2.88

%

USD

688,000

$

60,659

$

2,723

$

63,382

Markit

CDX

North

America

High

Yield

Index

Series

36.V1

5.00

Quarterly

6/20/2026

3.08

USD

172,000

14,629

960

15,589

Penerbangan

Malaysia

Bhd.,  

5.63%,

3/15/2016

1.00

Quarterly

6/20/2026

0.45

USD

2,000,000

56,200

520

56,720

People's

Republic

of

China,  

7.50%,

10/28/2027

1.00

Quarterly

6/20/2026

0.35

USD

2,000,000

66,973

613

67,586

Republic

of

Chile,  

3.24%,

2/6/2028

1.00

Quarterly

6/20/2026

0.59

USD

100,000

2,170

(56)

2,114

Republic

of

Indonesia,  

3.70%,

1/8/2022

1.00

Quarterly

6/20/2026

0.89

USD

1,600,000

11,024

(1,795)

9,229

Republic

of

Italy,  

6.88%,

9/27/2023

1.00

Quarterly

6/20/2026

0.75

USD

1,300,000

15,197

1,546

16,743

Republic

of

Korea,  

2.75%,

1/19/2027

1.00

Quarterly

6/20/2026

0.23

USD

1,000,000

39,854

446

40,300

266,706

4,957

271,663

Republic

of

South

Africa,

5.88%,

9/16/2025

1.00

%

Quarterly

6/20/2026

2.33

%

USD

400,000

$

(24,695)

$

(1,260)

$

(25,955)

United

Mexican

States,

4.15%,

3/28/2027

1.00

Quarterly

6/20/2026

1.14

USD

800,000

(6,361)

713

(5,648)

(31,056)

(547)

(31,603)

$

235,650

$

4,410

$

240,060

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

March

31,

2021:

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

3M

BBR

Qtrly

1.50%

Semi

9/16/2026

NZD

400,000

$

4,744

$

(2,070)

$

2,674

Pay

3M

STIBOR

Qtrly

1.00%

Annual

9/17/2031

SEK

10,400,000

13,740

3,108

16,848

Pay

6M

BBR

Semi

2.00%

Semi

9/11/2031

AUD

400,000

1,532

(1,090)

442

Pay

6M

NIBOR

Semi

2.00%

Annual

9/17/2031

NOK

8,600,000

9,938

(4,004)

5,934

Pay

6M

PRIBOR

Semi

1.50%

Annual

9/20/2023

CZK

15,200,000

2,446

3

2,449

Receive

3M

BA

Qtrly

1.25%

Semi

9/15/2031

CAD

3,900,000

217,226

58,464

275,690

Receive

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

25,900,000

8,990

71,936

80,926

79

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

3M

BBR

Qtrly

0.00%

Qtrly

6/14/2023

NZD

400,000

$

–

$

2,903

$

2,903

Receive

3M

BBR

Qtrly

0.00%

Qtrly

9/07/2023

AUD

2,800,000

10,604

1,064

11,668

Receive

3M

BBR

Qtrly

1.50%

Semi

9/10/2031

NZD

400,000

8,474

6,850

15,324

Receive

3M

BBR

Qtrly

2.00%

Semi

9/10/2031

NZD

900,000

4,334

1,022

5,356

Receive

3M

HIBOR

Qtrly

0.50%

Qtrly

9/20/2023

HKD

12,800,000

(2,677)

2,946

269

Receive

3M

LIBOR

Qtrly

0.25%

Qtrly

6/16/2023

USD

37,200,000

(5,092)

61,486

56,394

Receive

3M

LIBOR

Qtrly

0.25%

Semi

9/15/2023

USD

6,400,000

12,206

8,022

20,228

Receive

6M

BUBOR

Semi

1.00%

Annual

6/21/2023

HUF

244,100,000

–

9,123

9,123

Receive

6M

BUBOR

Semi

1.50%

Annual

9/20/2023

HUF

1,054,300,000

5,564

11,335

16,899

Receive

6M

EURIBOR

Semi

0.75%

Annual

9/15/2023

EUR

15,700,000

104,149

(373)

103,776

Receive

6M

EURIBOR

Semi

0.5%

Annual

9/15/2026

EUR

7,300,000

115,665

(10,473)

105,192

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2023

GBP

600,000

(1,547)

3,052

1,505

Receive

6M

LIBOR

Semi

0.00%

Semi

6/17/2026

JPY

1,118,500,000

(17,624)

28,268

10,644

Receive

6M

LIBOR

Semi

0.00%

Semi

9/16/2026

JPY

1,288,700,000

27,985

(10,244)

17,741

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2031

GBP

3,000,000

177,120

160,809

337,929

Receive

6M

LIBOR

Semi

0.50%

Semi

6/16/2031

GBP

100,000

860

7,067

7,927

Receive

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

CHF

800,000

(21,876)

25,801

3,925

Receive

6M

LIBOR

Semi

0.25%

Semi

9/15/2031

GBP

7,500,000

799,918

79,800

879,718

Receive

6M

LIBOR

Semi

1.00%

Semi

9/15/2031

GBP

700,000

14,861

(2,673)

12,188

Receive

6M

LIBOR

Semi

0.00%

Semi

9/17/2031

CHF

1,100,000

6,479

3,169

9,648

Receive

6M

NIBOR

Semi

1.50%

Annual

9/16/2026

NOK

32,800,000

10,625

6,832

17,457

Receive

6M

NIBOR

Semi

1.00%

Semi

6/18/2031

NOK

19,200,000

–

185,988

185,988

Receive

6M

NIBOR

Semi

1.50%

Annual

9/17/2031

NOK

22,800,000

87,509

20,287

107,796

Receive

6M

SOR

Semi

0.50%

Semi

6/21/2023

SGD

5,200,000

(12,307)

16,765

4,458

Receive

6M

SOR

Semi

0.50%

Semi

9/20/2023

SGD

5,500,000

8,969

2,789

11,758

Receive

6M

WIBOR

Semi

0.50%

Semi

6/21/2023

PLN

13,400,000

(12,668)

19,295

6,627

Receive

6M

WIBOR

Semi

0.50%

Annual

9/20/2023

PLN

8,600,000

4,451

5,006

9,457

1,584,598

772,263

2,356,861

Pay

1M

TIIE

Monthly

5.00%

Monthly

9/13/2023

MXN

39,600,000

(19,693)

1,573

(18,120)

Pay

3M

BA

Qtrly

0.75%

Semi

9/13/2023

CAD

9,400,000

(15,971)

6,972

(8,999)

Pay

3M

BA

Qtrly

1.00%

Semi

9/14/2026

CAD

3,100,000

(72,360)

(3,868)

(76,228)

Pay

3M

BBR

Qtrly

0.50%

Semi

9/13/2023

NZD

1,700,000

(4,936)

2,673

(2,263)

Pay

3M

BBR

Qtrly

1.00%

Semi

9/16/2026

NZD

1,400,000

(9,120)

(5,408)

(14,528)

Pay

3M

BBR

Qtrly

1.00%

Semi

6/11/2031

NZD

100,000

–

(6,638)

(6,638)

Pay

3M

CD_KSDA

Qtrly

1.00%

Qtrly

9/20/2023

KRW

6,823,700,000

(13,880)

(15,577)

(29,457)

Pay

3M

JIBAR

Qtrly

4.00%

Qtrly

6/21/2023

ZAR

6,700,000

(4,099)

(1,511)

(5,610)

Pay

3M

JIBAR

Qtrly

4.50%

Qtrly

9/20/2023

ZAR

37,000,000

(8,800)

(10,372)

(19,172)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

6/16/2026

USD

9,200,000

(21,034)

(266,299)

(287,333)

Pay

3M

LIBOR

Qtrly

0.50%

Semi

9/15/2026

USD

2,300,000

(58,596)

(25,216)

(83,812)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

3,400,000

(262,707)

(82,044)

(344,751)

Pay

3M

LIBOR

Qtrly

1.00%

Semi

9/15/2031

USD

200,000

(14,011)

(2,691)

(16,702)

Pay

3M

STIBOR

Qtrly

0.00%

Annual

9/20/2023

SEK

38,500,000

(7,828)

2,045

(5,783)

Pay

3M

STIBOR

Qtrly

0.50%

Annual

9/17/2031

SEK

8,800,000

(26,025)

(9,210)

(35,235)

Pay

6M

BBR

Semi

0.50%

Semi

6/11/2026

AUD

7,900,000

17,272

(164,318)

(147,046)

Pay

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

1,500,000

(95,647)

(862)

(96,509)

Pay

6M

BBR

Semi

1.50%

Semi

9/11/2031

AUD

400,000

(10,392)

(3,279)

(13,671)

Pay

6M

EURIBOR

Semi

0.5%

Annual

9/15/2023

EUR

3,100,000

(6,582)

4,478

(2,104)

Pay

6M

EURIBOR

Semi

0.25%

Annual

9/15/2031

EUR

6,400,000

(250,624)

(38,737)

(289,361)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2023

GBP

13,000,000

(78,191)

(43,909)

(122,100)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/15/2023

GBP

7,200,000

(78,875)

(3,118)

(81,993)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2026

GBP

700,000

(12,497)

(22,990)

(35,487)

Pay

6M

LIBOR

Semi

0.5%

Annual

6/17/2026

CHF

3,300,000

1,708

(22,449)

(20,741)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/15/2026

GBP

12,700,000

(549,260)

(143,314)

(692,574)

Pay

6M

LIBOR

Semi

0.5%

Annual

9/16/2026

CHF

4,800,000

(49,307)

8,200

(41,107)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

659,100,000

(33,463)

(66,077)

(99,540)

Pay

6M

LIBOR

Semi

0.00%

Semi

9/17/2031

JPY

770,000,000

(133,135)

7,640

(125,495)

Pay

6M

NIBOR

Semi

0.50%

Annual

6/21/2023

NOK

83,600,000

(38,722)

(51,268)

(89,990)

80

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

NIBOR

Semi

1.00%

Annual

9/20/2023

NOK

144,700,000

$

4,367

$

(34,154)

$

(29,787)

Pay

6M

PRIBOR

Semi

0.50%

Annual

6/21/2023

CZK

11,100,000

(2,343)

(4,168)

(6,511)

Pay

6M

PRIBOR

Semi

1.00%

Annual

6/21/2023

CZK

136,000,000

14,743

(32,707)

(17,964)

Receive

3M

BA

Qtrly

0.75%

Qtrly

6/14/2023

CAD

200,000

(564)

380

(184)

Receive

3M

BBR

Qtrly

0.50%

Qtrly

9/07/2023

AUD

500,000

(1,567)

(132)

(1,699)

Receive

3M

HIBOR

Qtrly

0.50%

Qtrly

6/21/2023

HKD

8,500,000

(4,189)

2,699

(1,490)

Receive

3M

STIBOR

Qtrly

0.50%

Annual

9/16/2026

SEK

52,600,000

(30,964)

3,732

(27,232)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

457,900,000

(2,407)

318

(2,089)

Receive

6M

LIBOR

Semi

0.5%

Semi

6/21/2023

CHF

4,000,000

(13,883)

2,346

(11,537)

Receive

6M

LIBOR

Semi

0.5%

Semi

9/20/2023

CHF

6,300,000

(12,777)

(1,616)

(14,393)

Receive

6M

LIBOR

Semi

0.00%

Semi

9/20/2023

JPY

551,000,000

(1,985)

(96)

(2,081)

(1,908,344)

(1,018,972)

(2,927,316)

$

(323,746)

$

(246,709)

$

(570,455)

Abbreviations:

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

March

31,

2021

were

as

follows:

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

4.29%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.04%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.44%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

0.23%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

3.68%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

0.75%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.19%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

(0.02)%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.09%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

0.85%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.51)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.21%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.43%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

0.43%

6

Month

Singapore

Swap

Offered

Rate

(''SOR''):

0.34%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

0.15%

81

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2021:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Japan

10

Year

Bond

1

6/2021

JPY

$

1,365,184

$

2,809

U.S.

Treasury

10

Year

Note

90

6/2021

USD

11,784,375

(237,882)

U.S.

Treasury

2

Year

Note

54

6/2021

USD

11,919,234

(11,586)

U.S.

Treasury

5

Year

Note

31

6/2021

USD

3,825,352

(39,877)

(286,536)

Short

Contracts

Euro-Bund

(37)

6/2021

EUR

(7,431,822)

23,432

Euro-OAT

(30)

6/2021

EUR

(5,697,563)

15,396

Long

Gilt

(44)

6/2021

GBP

(7,739,405)

82,393

U.S.

Treasury

Ultra

Bond

(1)

6/2021

USD

(181,219)

1,748

122,969

$

(163,567)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2021:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

7,500

USD

5,696

CITI

6/16/2021

$

2

AUD

7,500

USD

5,696

JPMC

6/16/2021

2

BRL

477,253

USD

82,685

CITI

**

6/16/2021

1,671

BRL

477,251

USD

82,685

JPMC

**

6/16/2021

1,671

CAD

2,246,000

USD

1,774,804

CITI

6/16/2021

12,585

CAD

1,002,000

USD

793,196

JPMC

6/16/2021

4,206

CLP

26,250,001

USD

35,982

CITI

**

6/16/2021

471

CLP

26,250,000

USD

35,982

JPMC

**

6/16/2021

471

INR

28,002,565

USD

376,102

CITI

**

6/16/2021

2,133

INR

28,002,563

USD

376,103

JPMC

**

6/16/2021

2,133

KRW

27,588,500

USD

24,372

CITI

**

6/16/2021

92

KRW

27,588,500

USD

24,372

JPMC

**

6/16/2021

93

MXN

13,093,000

USD

627,715

CITI

6/16/2021

7,726

MXN

13,093,000

USD

627,716

JPMC

6/16/2021

7,725

NOK

609,000

USD

70,479

CITI

6/16/2021

720

NOK

609,000

USD

70,479

JPMC

6/16/2021

720

PHP

800,000

USD

16,340

CITI

**

6/16/2021

31

PHP

800,000

USD

16,340

JPMC

**

6/16/2021

31

RUB

2,000,000

USD

26,193

CITI

**

6/16/2021

37

RUB

2,000,000

USD

26,193

JPMC

**

6/16/2021

37

USD

1,292,639

AUD

1,652,916

CITI

6/16/2021

36,767

USD

1,292,634

AUD

1,652,912

JPMC

6/16/2021

36,765

USD

76,132

BRL

424,500

CITI

**

6/16/2021

1,101

USD

76,132

BRL

424,500

JPMC

**

6/16/2021

1,100

USD

1,410,821

CAD

1,762,627

CITI

6/16/2021

8,105

USD

1,299,233

CAD

1,622,624

JPMC

6/16/2021

7,934

USD

1,077,873

CHF

975,500

CITI

6/16/2021

43,687

USD

1,077,828

CHF

975,500

JPMC

6/16/2021

43,642

USD

34,979

CLP

25,000,000

CITI

**

6/16/2021

262

USD

34,979

CLP

25,000,000

JPMC

**

6/16/2021

262

USD

161,958

COP

585,000,000

CITI

**

6/16/2021

2,519

USD

161,958

COP

585,000,000

JPMC

**

6/16/2021

2,519

82

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

393,865

CZK

8,500,000

CITI

6/16/2021

$

11,910

USD

393,864

CZK

8,500,000

JPMC

6/16/2021

11,910

USD

1,549,687

EUR

1,274,555

CITI

6/16/2021

52,692

USD

1,549,678

EUR

1,274,549

JPMC

6/16/2021

52,690

USD

550,307

GBP

396,504

CITI

6/16/2021

3,564

USD

550,295

GBP

396,496

JPMC

6/16/2021

3,563

USD

111,526

HUF

33,000,000

CITI

6/16/2021

4,784

USD

111,526

HUF

33,000,000

JPMC

6/16/2021

4,784

USD

121,583

IDR

1,750,000,001

CITI

**

6/16/2021

2,674

USD

121,583

IDR

1,749,999,999

JPMC

**

6/16/2021

2,674

USD

329,166

ILS

1,080,000

CITI

6/16/2021

5,788

USD

329,166

ILS

1,080,000

JPMC

6/16/2021

5,787

USD

285,297

INR

21,000,000

CITI

**

6/16/2021

1,647

USD

285,297

INR

21,000,000

JPMC

**

6/16/2021

1,646

USD

2,363,506

JPY

249,963,449

CITI

6/16/2021

104,439

USD

2,363,503

JPY

249,963,448

JPMC

6/16/2021

104,436

USD

37,017

KRW

41,700,500

CITI

**

6/16/2021

38

USD

37,017

KRW

41,700,500

JPMC

**

6/16/2021

38

USD

961,048

NOK

8,120,019

CITI

6/16/2021

11,726

USD

961,046

NOK

8,120,017

JPMC

6/16/2021

11,724

USD

1,653,563

NZD

2,294,500

CITI

6/16/2021

51,369

USD

1,653,561

NZD

2,294,500

JPMC

6/16/2021

51,367

USD

120,103

PHP

5,850,000

CITI

**

6/16/2021

392

USD

120,103

PHP

5,850,000

JPMC

**

6/16/2021

391

USD

300,497

PLN

1,141,000

CITI

6/16/2021

11,672

USD

300,497

PLN

1,141,000

JPMC

6/16/2021

11,671

USD

6,687

RUB

500,000

CITI

**

6/16/2021

129

USD

6,687

RUB

500,000

JPMC

**

6/16/2021

129

USD

636,209

SGD

845,001

CITI

6/16/2021

8,263

USD

636,207

SGD

844,999

JPMC

6/16/2021

8,263

USD

31,765

ZAR

472,500

CITI

6/17/2021

67

USD

31,765

ZAR

472,500

JPMC

6/17/2021

67

ZAR

6,285,130

USD

414,594

CITI

6/17/2021

7,046

ZAR

6,285,123

USD

414,594

JPMC

6/17/2021

7,045

Total

unrealized

appreciation

783,605

AUD

3,426,591

USD

2,686,958

CITI

6/16/2021

(83,461)

AUD

3,426,582

USD

2,686,954

JPMC

6/16/2021

(83,464)

BRL

1,695,749

USD

307,971

CITI

**

6/16/2021

(8,243)

BRL

1,695,747

USD

307,971

JPMC

**

6/16/2021

(8,244)

CAD

902,378

USD

721,482

CITI

6/16/2021

(3,362)

CAD

452,378

USD

361,496

JPMC

6/16/2021

(1,490)

CHF

213,500

USD

228,686

CITI

6/16/2021

(2,342)

CHF

213,500

USD

228,686

JPMC

6/16/2021

(2,342)

CLP

48,750,001

USD

68,843

CITI

**

6/16/2021

(1,145)

CLP

48,749,998

USD

68,843

JPMC

**

6/16/2021

(1,145)

COP

120,000,000

USD

33,562

CITI

**

6/16/2021

(856)

COP

120,000,000

USD

33,562

JPMC

**

6/16/2021

(856)

EUR

1,505,503

USD

1,828,605

CITI

6/16/2021

(60,356)

EUR

1,505,497

USD

1,828,600

JPMC

6/16/2021

(60,358)

GBP

352,504

USD

491,177

CITI

6/16/2021

(5,106)

GBP

352,496

USD

491,166

JPMC

6/16/2021

(5,106)

HUF

26,802,000

USD

90,551

CITI

6/16/2021

(3,856)

HUF

26,802,000

USD

90,551

JPMC

6/16/2021

(3,857)

IDR

150,000,000

USD

10,519

CITI

**

6/16/2021

(327)

IDR

150,000,000

USD

10,519

JPMC

**

6/16/2021

(327)

ILS

255,000

USD

77,290

CITI

6/16/2021

(936)

ILS

255,000

USD

77,290

JPMC

6/16/2021

(937)

INR

46,670,940

USD

633,430

CITI

**

6/16/2021

(3,037)

83

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

INR

46,670,932

USD

633,430

JPMC

**

6/16/2021

$

(3,038)

JPY

130,409,714

USD

1,206,312

CITI

6/16/2021

(27,723)

JPY

74,476,715

USD

690,232

JPMC

6/16/2021

(17,142)

KRW

614,759,504

USD

551,597

CITI

**

6/16/2021

(6,441)

KRW

614,759,496

USD

551,598

JPMC

**

6/16/2021

(6,442)

MXN

244,500

USD

11,875

CITI

6/16/2021

(9)

MXN

244,500

USD

11,875

JPMC

6/16/2021

(9)

NOK

4,472,500

USD

527,461

CITI

6/16/2021

(4,575)

NOK

4,472,500

USD

527,462

JPMC

6/16/2021

(4,576)

NZD

688,000

USD

499,475

CITI

6/16/2021

(19,061)

NZD

688,000

USD

499,476

JPMC

6/16/2021

(19,062)

PLN

558,000

USD

149,665

CITI

6/16/2021

(8,417)

PLN

558,000

USD

149,666

JPMC

6/16/2021

(8,417)

RUB

6,500,000

USD

86,973

CITI

**

6/16/2021

(1,726)

RUB

6,500,000

USD

86,973

JPMC

**

6/16/2021

(1,726)

SEK

1,162,000

USD

139,214

CITI

6/16/2021

(6,072)

SEK

1,162,000

USD

139,214

JPMC

6/16/2021

(6,072)

SGD

45,000

USD

33,574

CITI

6/16/2021

(133)

SGD

45,000

USD

33,574

JPMC

6/16/2021

(133)

TWD

5,900,000

USD

214,571

CITI

**

6/16/2021

(5,721)

TWD

5,900,000

USD

214,571

JPMC

**

6/16/2021

(5,721)

USD

627,668

AUD

828,000

CITI

6/16/2021

(1,440)

USD

39,289

BRL

227,000

CITI

**

6/16/2021

(834)

USD

39,289

BRL

227,000

JPMC

**

6/16/2021

(834)

USD

3,932,349

CAD

4,965,877

CITI

6/16/2021

(19,544)

USD

3,854,419

CAD

4,867,872

JPMC

6/16/2021

(19,481)

USD

21,680

COP

80,000,000

CITI

**

6/16/2021

(124)

USD

21,680

COP

80,000,000

JPMC

**

6/16/2021

(124)

USD

40,479

INR

3,000,000

CITI

**

6/16/2021

(43)

USD

40,479

INR

3,000,000

JPMC

**

6/16/2021

(43)

USD

136,429

KRW

154,703,000

CITI

**

6/16/2021

(759)

USD

136,429

KRW

154,703,000

JPMC

**

6/16/2021

(759)

USD

283,106

MXN

5,878,000

CITI

6/16/2021

(2,170)

USD

283,106

MXN

5,878,000

JPMC

6/16/2021

(2,170)

USD

44,267

NOK

379,482

CITI

6/16/2021

(99)

USD

44,267

NOK

379,482

JPMC

6/16/2021

(98)

USD

16,409

NZD

23,500

CITI

6/16/2021

(1)

USD

16,409

NZD

23,500

JPMC

6/16/2021

(1)

USD

117,102

PHP

5,750,000

CITI

**

6/16/2021

(563)

USD

117,102

PHP

5,750,000

JPMC

**

6/16/2021

(563)

USD

11,215

PLN

44,500

CITI

6/16/2021

(50)

USD

11,215

PLN

44,500

JPMC

6/16/2021

(50)

USD

107,618

TWD

3,050,000

CITI

**

6/16/2021

(347)

USD

107,618

TWD

3,050,000

JPMC

**

6/16/2021

(347)

USD

59,879

ZAR

912,000

CITI

6/17/2021

(1,302)

USD

59,879

ZAR

912,000

JPMC

6/17/2021

(1,302)

ZAR

1,756,874

USD

119,092

CITI

6/17/2021

(1,232)

ZAR

1,756,873

USD

119,092

JPMC

6/17/2021

(1,232)

Total

unrealized

depreciation

(548,881)

Net

unrealized

appreciation

$

234,724

**

Non-deliverable

forward.

84

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2021

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2021

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITG

Cash

$

–

$

1,271,767

$

1,271,767

CITI

Cash

(40,001)

–

(40,001)

Investment

Companies

150,006

–

150,006

CRSU

Cash

–

229,516

229,516

JPMC

Cash

386,238

–

386,238

JPMS

Cash

–

2,956,545

2,956,545

MSCS

Cash

110,000

–

110,000

85

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

Abbreviations

ADR

-

American

Depositary

Receipt

FDR

-

Fiduciary

Depositary

Receipt

GDR

-

Global

Depositary

Receipt

NVDR

-

Non-Voting

Depositary

Receipt

OYJ

-

Public

Traded

Company

PJSC

-

Public

Joint

Stock

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

TBA

-

To

Be

Announced;

Security

is

subject

to

delayed

delivery.

UMBS

-

Uniform

Mortgage-Backed

Securities

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

1

Month

London

Interbank

Offered

Rate

(“LIBOR”):

0.11%

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.19%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

(0.71)%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.11%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

(0.04)%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

(0.56)%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

(0.06)%

Statements

of

Assets

and

Liabilities

86

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

892,132,964

$

94,070,908

$

378,367,485

$

431,396,957

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

1,415,484,332

$

147,551,085

$

497,342,591

$

645,988,857

Cash

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

2,787

2,026

124

—

Cash

denominated

in

foreign

currencies

‡

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

—

—

1,351,607

2,069,827

Deposits

with

brokers

for

futures

contracts

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

10,489,800

92,538

1,450,768

1,483,494

Variation

margin

on

futures

contracts

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

854,418

20,113

—

133,970

Receivables:

Securities

sold

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

125,924,334

—

—

—

Foreign

tax

reclaims

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

—

—

1,444,432

—

Dividends

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

984,420

64,364

2,442,437

2,271,528

Capital

shares

sold

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

646,912

20,825

315,851

409,407

Prepaid

expenses

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

89,244

39,377

52,540

52,792

Total

Assets

1,554,476,247

147,790,328

504,400,350

652,409,875

LIABILITIES:

Due

to

custodian

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

—

—

—

1,637

Variation

margin

on

futures

contracts

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

—

—

90,620

—

Payables:

–

–

–

–

Securities

purchased

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

17,076,331

—

—

—

Collateral

received

on

securities

loaned

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

1,014,848

2,720,175

—

1,202,723

Accrued

investment

advisory

fees

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

305,003

40,352

143,871

258,566

Accrued

distribution

fees—Class

N

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

2,818

1,973

1,264

820

Accrued

Trustee

fees

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

—

819

—

—

Capital

shares

redeemed

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

567,146

95,284

186,756

369,601

Other

accrued

expenses

and

liabilities

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

216,735

69,841

97,842

295,978

Total

Liabilities

19,182,881

2,928,444

520,353

2,129,325

Net

Assets

$

1,535,293,366

$

144,861,884

$

503,879,997

$

650,280,550

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

918,332,447

$

91,218,071

$

390,928,739

$

452,579,083

Total

distributable

earnings

(loss)

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

616,960,919

53,643,813

112,951,258

197,701,467

Net

Assets

$

1,535,293,366

$

144,861,884

$

503,879,997

$

650,280,550

NET

ASSETS:

Class

I

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

$

311,329,866

$

68,436,678

$

80,866,443

$

68,710,573

Class

N

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

13,448,528

10,888,473

6,075,500

4,398,559

Class

R6

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

1,210,514,972

65,536,733

416,938,054

577,171,418

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

15,904,175

3,762,907

6,312,631

5,368,954

Class

N

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

682,503

599,956

475,155

342,634

Class

R6

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

61,910,222

3,599,969

32,606,706

45,099,954

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

19.58

$

18.19

$

12.81

$

12.80

Class

N

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

$

19.70

$

18.15

$

12.79

$

12.84

Class

R6

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

$

19.55

$

18.20

$

12.79

$

12.80

*

Includes

market

value

of

securities

out

on

loan

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

$

995,309

$

2,630,155

$

—

$

1,521,113

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

—

$

1,358,511

$

2,044,677

Statements

of

Assets

and

Liabilities

87

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

706,161,890

$

198,411,985

$

411,004,748

$

3,893,083,670

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

1,069,200,028

$

303,856,729

$

563,065,788

$

5,802,459,033

Cash

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

9,536

—

98,491

—

Cash

denominated

in

foreign

currencies

‡

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

405

—

1,934,811

—

Due

from

broker

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

—

—

—

241,995

Deposits

with

brokers

for

futures

contracts

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

775,376

586,134

1,622,102

967,015

Variation

margin

on

futures

contracts

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

63,956

280,377

—

2,034,091

Receivables:

Securities

sold

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

—

—

901,716

—

Foreign

tax

reclaims

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

—

125

1,456,403

—

Dividends

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

217,451

54,466

1,389,038

4,977,091

Capital

shares

sold

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

340,170

226,886

172,315

4,994,006

Prepaid

expenses

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

61,868

34,276

41,446

279,005

Total

Assets

1,070,668,790

305,038,993

570,682,110

5,815,952,236

LIABILITIES:

Due

to

custodian

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

—

6,397

—

—

Due

to

broker

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

—

156,555

—

—

Variation

margin

on

futures

contracts

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

—

—

100,739

—

Payables:

–

–

–

–

Collateral

received

on

securities

loaned

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

1,173,035

17,088,508

153,795

5,881,275

Accrued

investment

advisory

fees

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

212,849

93,243

162,497

1,224,213

Accrued

distribution

fees—Class

N

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

11,940

1,366

14,311

96,026

Accrued

Trustee

fees

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

126

—

—

399

Capital

shares

redeemed

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

1,857,983

393,649

455,606

12,872,012

Other

accrued

expenses

and

liabilities

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

293,681

110,616

169,039

1,675,367

Total

Liabilities

3,549,614

17,850,334

1,055,987

21,749,292

Net

Assets

$

1,067,119,176

$

287,188,659

$

569,626,123

$

5,794,202,944

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

584,393,749

$

147,514,309

$

419,060,039

$

3,932,182,941

Total

distributable

earnings

(loss)

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

482,725,427

139,674,350

150,566,084

1,862,020,003

Net

Assets

$

1,067,119,176

$

287,188,659

$

569,626,123

$

5,794,202,944

NET

ASSETS:

Class

I

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

$

748,796,194

$

216,386,207

$

316,348,543

$

3,912,234,802

Class

N

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

58,170,725

7,644,851

69,120,324

451,369,183

Class

R6

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

260,152,257

63,157,601

184,157,256

1,430,598,959

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

31,066,202

8,414,927

17,535,353

142,576,282

Class

N

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

2,411,073

297,207

3,839,705

16,478,723

Class

R6

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

10,837,219

2,465,418

10,227,701

52,185,983

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

24.10

$

25.71

$

18.04

$

27.44

Class

N

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

$

24.13

$

25.72

$

18.00

$

27.39

Class

R6

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

$

24.01

$

25.62

$

18.01

$

27.41

*

Includes

market

value

of

securities

out

on

loan

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

$

1,726,406

$

16,651,559

$

146,525

$

5,769,421

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

419

$

—

$

1,941,878

$

—

Statements

of

Assets

and

Liabilities

88

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

196,731,538

$

276,725,461

$

95,931,486

$

97,748,764

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

245,173,081

$

357,646,051

$

117,541,047

$

97,353,685

Cash

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

—

17,031

841

—

Cash

denominated

in

foreign

currencies

‡

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

788,455

676,381

339,146

83,825

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

—

5,241,044

1,271,998

783,605

Unrealized

appreciation

on

OTC

swaps

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

—

394,600

156,534

—

Due

from

broker

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

—

170,956

1,078,034

496,238

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

(receipts)

$—,

$—,

$—

and

$(289,832),

respectively)

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

—

—

—

3,319,692

Deposits

with

brokers

for

futures

contracts

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

815,643

13,378,117

5,377,275

557,837

Variation

margin

on

centrally

cleared

swaps

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

—

—

—

8,185

Receivables:

Securities

sold

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

213,791

8,632,059

215,610

29,336

Securities

sold—delayed

delivery

securities

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

—

—

—

3,931,760

Foreign

tax

reclaims

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

399,708

397,991

1,117,170

—

Dividends

and

interest

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

993,885

807,065

514,804

356,891

Capital

shares

sold

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

304,465

549,361

33,970

—

Prepaid

expenses

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

31,835

46,135

30,370

43,816

Total

Assets

248,720,863

387,956,791

127,676,799

106,964,870

LIABILITIES:

Due

to

custodian

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

—

—

—

60,680

TBA

sale

commitments,

at

value

(proceeds  $–,

$–,

$–

and

$3,931,760)

—

—

—

3,930,727

Due

to

broker

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

—

140,193

140,071

54,152

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

—

6,670,816

1,921,750

548,881

Unrealized

depreciation

on

OTC

swaps

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

—

236,364

150,706

—

Variation

margin

on

centrally

cleared

swaps

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

—

—

—

71,526

Variation

margin

on

futures

contracts

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

50,358

554,993

334,085

43,832

Payables:

–

–

–

–

Securities

purchased

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

—

8,741,928

215,601

16,000

Securities

purchased—delayed

delivery

securities

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

—

—

—

27,645,568

Accrued

investment

advisory

fees

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

70,231

180,317

54,166

631

Accrued

distribution

fees—Class

N

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

2,096

1,480

247

132

Accrued

Trustee

fees

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

—

—

110

—

Capital

shares

redeemed

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

155,093

68,105

24,031

109,367

Other

accrued

expenses

and

liabilities

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

80,419

103,603

95,010

87,483

Total

Liabilities

358,197

16,697,799

2,935,777

32,568,979

Net

Assets

$

248,362,666

$

371,258,992

$

124,741,022

$

74,395,891

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

205,673,275

$

285,476,256

$

117,522,038

$

74,206,211

Total

distributable

earnings

(loss)

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

42,689,391

85,782,736

7,218,984

189,680

Net

Assets

$

248,362,666

$

371,258,992

$

124,741,022

$

74,395,891

NET

ASSETS:

Class

I

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

$

136,549,752

$

16,791,146

$

70,068,490

$

40,790,642

Class

N

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

9,907,022

7,186,610

1,164,406

617,113

Class

R6

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

101,905,892

347,281,236

53,508,126

32,988,136

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

9,350,876

1,639,353

6,396,935

4,088,231

Class

N

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

655,220

709,438

103,591

61,936

Class

R6

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

6,983,624

33,691,822

4,552,888

3,306,337

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

14.60

$

10.24

$

10.95

$

9.98

Class

N

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

$

15.12

$

10.13

$

11.24

$

9.96

Class

R6

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

$

14.59

$

10.31

$

11.75

$

9.98

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

791,717

$

673,513

$

339,045

$

83,734

Statements

of

Operations

89

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

INVESTMENT

INCOME:

Dividend

income

†

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

$

9,261,025

$

664,563

$

4,310,523

$

3,415,564

Securities

lending

income,

net

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

2,279

39,406

428

10,445

Other

income

(Note

3)

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

—

266,684

17,082

25,805

Total

Income

9,263,304

970,653

4,328,033

3,451,814

EXPENSES:

Investment

advisory

fees

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

1,477,322

305,159

597,405

1,236,664

Custody

fees

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

19,148

19,411

27,884

96,783

Administration

&

accounting

fees

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

130,595

15,179

32,715

46,047

Legal

fees

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

16,135

3,242

3,623

5,202

Audit

&

tax

fees

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

24,415

29,531

34,600

50,781

Shareholder

reporting

fees

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

51,500

9,032

13,797

16,444

Transfer

agent

fees

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

132,762

38,245

42,129

24,990

Trustee

fees

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

29,220

4,135

7,133

10,056

Distribution

fees—Class

N

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

14,210

8,726

5,964

1,820

Interest

expense

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

27,056

6,457

5,075

7,480

Recoupment

of

waiver

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

2,110

—

—

—

Registration

fees

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

46,812

29,889

33,676

29,598

Reorganization

Expense

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

50,212

5,204

12,167

47,764

Tax

expense

(Note

3)

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

—

150,861

3,097

8,261

Other

expenses

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

15,154

4,537

4,676

10,298

Total

Expenses

2,036,651

629,608

823,941

1,592,188

Less

expense

reimbursements

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

(51,863)

(83,820)

(86,220)

(162,674)

Net

Expenses

1,984,788

545,788

737,721

1,429,514

Net

Investment

Income

(Loss)

7,278,516

424,865

3,590,312

2,022,300

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

95,474,093

42,596,338

11,367,583

1,805,136

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

106,683

(271,362)

Expiration

or

closing

of

futures

contracts

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

9,614,962

887,362

2,304,973

6,229,005

Net

realized

gain

(loss)

105,089,055

43,483,700

13,779,239

7,762,779

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

(net

changes

in

deferred

capital

gain

country

tax

accruals

of

$—,

$—,

$—

and

$(79,865))

132,110,777

12,663,753

42,436,425

68,810,171

Foreign

currency

and

foreign

currency

transactions

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

—

—

(55,748)

(19,235)

Futures

contracts

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

720,549

7,649

116,433

(109,557)

Net

change

in

unrealized

appreciation

(depreciation)

132,831,326

12,671,402

42,497,110

68,681,379

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

237,920,381

56,155,102

56,276,349

76,444,158

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

245,198,897

$

56,579,967

$

59,866,661

$

78,466,458

________________

†

Net

of

foreign

taxes

withheld

of

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

$

12,243

$

1,469

$

398,715

$

535,889

Statements

of

Operations

90

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

3,266,037

$

698,617

$

3,508,650

$

50,978,680

Affiliated

issuers

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

—

—

—

35,929

Securities

lending

income,

net

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

4,198

189,650

1,469

14,976

Other

income

(Note

3)

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

—

—

—

43,940

Total

Income

3,270,235

888,267

3,510,119

51,073,525

EXPENSES:

Investment

advisory

fees

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

1,050,987

538,162

926,655

7,678,627

Custody

fees

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

17,433

16,323

38,957

82,454

Administration

&

accounting

fees

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

92,934

26,470

51,328

683,997

Legal

fees

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

12,151

3,223

6,436

92,206

Audit

&

tax

fees

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

23,736

23,786

27,427

42,432

Shareholder

reporting

fees

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

36,172

11,446

21,655

290,100

Transfer

agent

fees

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

356,004

100,525

175,526

2,356,792

Trustee

fees

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

21,067

6,280

11,881

159,974

Distribution

fees—Class

N

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

64,034

6,047

80,741

586,041

Interest

expense

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

16,648

4,875

8,949

123,213

Recoupment

of

waiver

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

—

—

—

1,293

Registration

fees

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

36,459

29,790

30,685

105,008

Reorganization

Expense

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

42,542

10,910

21,170

—

Tax

expense

(Note

3)

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

—

—

—

19,146

Other

expenses

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

10,468

2,919

8,636

69,344

Total

Expenses

1,780,635

780,756

1,410,046

12,290,627

Less

expense

reimbursements

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

(51,100)

(70,005)

(91,250)

(13,473)

Net

Expenses

1,729,535

710,751

1,318,796

12,277,154

Net

Investment

Income

(Loss)

1,540,700

177,516

2,191,323

38,796,371

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

124,198,949

36,308,096

25,556,228

(15,252,624)

Transactions

in

investment

securities

of

affiliated

issuers

........

—

—

—

(53,730)

Distributions

of

capital

gains

received

from

affiliated

issuers

......

—

—

—

29,246

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

61,488

—

Expiration

or

closing

of

futures

contracts

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

4,917,859

2,717,354

2,666,739

51,312,068

Net

realized

gain

(loss)

129,116,808

39,025,450

28,284,455

36,034,960

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(12,994,427)

34,056,196

22,877,277

609,096,984

Investment

securities

of

affiliated

issuers

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

—

—

—

43,922

Foreign

currency

and

foreign

currency

transactions

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

1

—

(91,088)

—

Futures

contracts

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

91,565

(214,355)

333,502

(4,645,452)

Net

change

in

unrealized

appreciation

(depreciation)

(12,902,861)

33,841,841

23,119,691

604,495,454

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

116,213,947

72,867,291

51,404,146

640,530,414

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

117,754,647

$

73,044,807

$

53,595,469

$

679,326,785

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

300

$

314,023

$

4,852

Statements

of

Operations

91

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

INVESTMENT

INCOME:

Dividend

income

†

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

$

2,551,596

$

2,893,578

$

1,248,647

$

1,761

Interest

income

†

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

—

—

—

735,238

Securities

lending

income,

net

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

304

478

82

—

Total

Income

2,551,900

2,894,056

1,248,729

736,999

EXPENSES:

Investment

advisory

fees

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

462,541

1,010,921

394,572

174,434

Custody

fees

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

17,583

27,815

40,305

11,844

Administration

&

accounting

fees

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

25,647

37,363

13,519

12,240

Legal

fees

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

3,086

15,331

6,925

1,895

Audit

&

tax

fees

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

26,951

38,736

36,795

42,095

Shareholder

reporting

fees

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

10,246

13,979

6,148

13,561

Transfer

agent

fees

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

83,088

21,249

46,515

43,951

Trustee

fees

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

6,124

8,742

3,623

3,480

Distribution

fees—Class

N

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

12,259

7,551

5,960

803

Interest

expense

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

4,433

6,833

2,796

2,815

Interfund

lending

expense

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

—

—

—

79

Registration

fees

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

46,219

45,014

26,551

29,212

Other

expenses

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

5,243

7,046

6,290

15,031

Total

Expenses

703,420

1,240,580

589,999

351,440

Less

expense

reimbursements

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

(92,706)

(35,209)

(89,106)

(111,097)

Net

Expenses

610,714

1,205,371

500,893

240,343

Net

Investment

Income

(Loss)

1,941,186

1,688,685

747,836

496,656

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

196,499

23,655,379

10,945,578

2,201,241

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

82,572

98,767

79,520

(41,535)

Settlement

of

forward

foreign

currency

contracts

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

—

659,455

341,425

(48,179)

Expiration

or

closing

of

futures

contracts

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

1,339,804

3,229,946

1,894,466

(208,327)

TBA

sale

commitments

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

—

—

—

246,493

Expiration

or

closing

of

swap

contracts

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

—

1,928,979

1,023,180

(753,732)

Net

realized

gain

(loss)

1,618,875

29,572,526

14,284,169

1,395,961

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

22,544,165

30,967,827

8,824,440

(5,201,356)

Foreign

currency

and

foreign

currency

transactions

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

(37,483)

3,510

(87,758)

(21,160)

Forward

foreign

currency

exchange

contracts

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

—

(1,392,221)

(33,640)

(24,190)

Futures

contracts

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

195,389

1,397,816

647,957

82,117

TBA

sale

commitments

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

—

—

—

1,257

Swap

contracts

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

—

(190,948)

(176,878)

(322,119)

Net

change

in

unrealized

appreciation

(depreciation)

22,702,071

30,785,984

9,174,121

(5,485,451)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

24,320,946

60,358,510

23,458,290

(4,089,490)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

26,262,132

$

62,047,195

$

24,206,126

$

(3,592,834)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

257,004

$

105,454

$

98,768

$

5,864

Statements

of

Changes

in

Net

Assets

(Continued)

92

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

7,278,516

$

17,393,006

$

424,865

$

2,701,748

Net

realized

gain

(loss)

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

105,089,055

102,362,594

43,483,700

(30,755,716)

Net

change

in

unrealized

appreciation

(depreciation)

.......

132,831,326

(16,484,239)

12,671,402

(22,838,880)

Net increase

(decrease)

in

net

assets

resulting

from

operations

245,198,897

103,271,361

56,579,967

(50,892,848)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(20,406,150)

(16,769,547)

(822,679)

(421,558)

Class

N

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

(977,346)

(476,407)

(103,815)

(38,224)

Class

R6

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

(84,221,823)

(54,431,358)

(1,124,605)

(5,527,052)

Total

distributions

(105,605,319)

(71,677,312)

(2,051,099)

(5,986,834)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

19,718,004

99,827,688

6,304,415

24,434,199

Issued

in

reorganization

(Note

2)

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

91,755,938

—

18,721,330

—

Reinvestment

of

distributions

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

18,768,314

15,867,380

821,324

421,047

Cost

of

shares

redeemed

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

(65,141,313)

(264,274,096)

(13,403,079)

(28,771,236)

Net

increase

(decrease)

from

capital

transactions

65,100,943

(148,579,028)

12,443,990

(3,915,990)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

1,410,959

3,094,023

360,996

1,357,442

Issued

in

reorganization

(Note

2)

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

2,638,888

—

4,711,660

—

Reinvestment

of

distributions

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

974,523

475,237

102,476

37,767

Cost

of

shares

redeemed

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

(3,604,280)

(53,004,632)

(1,981,650)

(4,625,405)

Net

increase

(decrease)

from

capital

transactions

1,420,090

(49,435,372)

3,193,482

(3,230,196)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

98,123,822

181,590,919

2,392,914

55,627,123

Issued

in

reorganization

(Note

2)

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

219,637,808

—

3,460,988

—

Reinvestment

of

distributions

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

83,717,640

54,151,298

1,057,705

5,486,249

Cost

of

shares

redeemed

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

(165,482,364)

(423,192,553)

(190,203,536)

(291,256,624)

Net

increase

(decrease)

from

capital

transactions

235,996,906

(187,450,336)

(183,291,929)

(230,143,252)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

302,517,939

(385,464,736)

(167,654,457)

(237,289,438)

Total

increase

(decrease)

in

net

assets

442,111,517

(353,870,687)

(113,125,589)

(294,169,120)

NET

ASSETS:

Beginning

of

period

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

1,093,181,849

1,447,052,536

257,987,473

552,156,593

End

of

period

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

$

1,535,293,366

$

1,093,181,849

$

144,861,884

$

257,987,473

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

93

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

12,397,274

21,495,275

3,161,294

3,421,056

Shares

sold

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

1,058,868

5,987,637

408,498

2,225,182

Shares

issued

in

reorganization

(Note

2)

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

4,921,526

—

983,402

—

Shares

issued

on

reinvestment

of

distributions

...........

1,056,180

920,916

52,818

31,421

Shares

redeemed

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

(3,529,673)

(16,006,554)

(843,105)

(2,516,365)

Shares

outstanding,

end

of

period

15,904,175

12,397,274

3,762,907

3,161,294

CLASS

N

Shares

outstanding,

beginning

of

period

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

602,833

3,426,131

440,172

675,817

Shares

sold

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

76,249

189,856

22,963

128,713

Shares

issued

in

reorganization

(Note

2)

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

140,591

—

247,991

—

Shares

issued

on

reinvestment

of

distributions

...........

54,443

27,391

6,599

2,823

Shares

redeemed

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

(191,613)

(3,040,545)

(117,769)

(367,181)

Shares

outstanding,

end

of

period

682,503

602,833

599,956

440,172

CLASS

R6

Shares

outstanding,

beginning

of

period

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

49,015,867

61,063,089

17,263,343

40,608,465

Shares

sold

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

5,310,431

11,401,642

158,360

4,860,257

Shares

issued

in

reorganization

(Note

2)

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

11,795,167

—

181,631

—

Shares

issued

on

reinvestment

of

distributions

...........

4,719,145

3,146,502

67,976

409,116

Shares

redeemed

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

(8,930,388)

(26,595,366)

(14,071,341)

(28,614,495)

Shares

outstanding,

end

of

period

61,910,222

49,015,867

3,599,969

17,263,343

Statements

of

Changes

in

Net

Assets

(Continued)

94

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

3,590,312

$

5,192,007

$

2,022,300

$

6,068,360

Net

realized

gain

(loss)

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

13,779,239

1,436,369

7,762,779

(11,035,221)

Net

change

in

unrealized

appreciation

(depreciation)

.......

42,497,110

(4,575,590)

68,681,379

37,215,968

Net increase

(decrease)

in

net

assets

resulting

from

operations

59,866,661

2,052,786

78,466,458

32,249,107

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(941,639)

(1,291,631)

(268,251)

(849,596)

Class

N

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

(73,097)

(120,637)

(13,670)

(14,694)

Class

R6

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

(3,966,559)

(6,615,889)

(6,077,241)

(8,051,401)

Total

distributions

(4,981,295)

(8,028,157)

(6,359,162)

(8,915,691)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

11,085,282

24,429,111

7,901,010

13,394,755

Issued

in

reorganization

(Note

2)

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

21,564,516

—

45,381,580

—

Reinvestment

of

distributions

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

939,906

1,289,616

268,251

847,261

Cost

of

shares

redeemed

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

(13,080,979)

(25,792,113)

(8,453,521)

(30,828,714)

Net

increase

(decrease)

from

capital

transactions

20,508,725

(73,386)

45,097,320

(16,586,698)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

243,416

1,163,714

183,875

350,085

Issued

in

reorganization

(Note

2)

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

1,430,851

—

3,778,398

—

Reinvestment

of

distributions

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

72,458

119,425

13,670

14,694

Cost

of

shares

redeemed

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

(687,259)

(1,286,609)

(631,845)

(246,880)

Net

increase

(decrease)

from

capital

transactions

1,059,466

(3,470)

3,344,098

117,899

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

19,027,396

76,702,692

7,189,200

41,933,645

Issued

in

reorganization

(Note

2)

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

189,245,491

—

204,896,221

—

Reinvestment

of

distributions

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

3,916,431

6,524,144

5,980,271

7,997,480

Cost

of

shares

redeemed

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

(30,536,620)

(103,741,371)

(29,902,386)

(57,821,480)

Net

increase

(decrease)

from

capital

transactions

181,652,698

(20,514,535)

188,163,306

(7,890,355)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

203,220,889

(20,591,391)

236,604,724

(24,359,154)

Total

increase

(decrease)

in

net

assets

258,106,255

(26,566,762)

308,712,020

(1,025,738)

NET

ASSETS:

Beginning

of

period

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

245,773,742

272,340,504

341,568,530

342,594,268

End

of

period

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

$

503,879,997

$

245,773,742

$

650,280,550

$

341,568,530

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

95

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

4,646,854

4,539,084

1,823,270

3,766,704

Shares

sold

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

930,310

2,391,136

654,641

1,395,627

Shares

issued

in

reorganization

(Note

2)

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

1,734,332

—

3,558,865

—

Shares

issued

on

reinvestment

of

distributions

...........

79,721

111,655

22,947

80,845

Shares

redeemed

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

(1,078,586)

(2,395,021)

(690,769)

(3,419,906)

Shares

outstanding,

end

of

period

6,312,631

4,646,854

5,368,954

1,823,270

CLASS

N

Shares

outstanding,

beginning

of

period

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

389,023

386,367

81,779

69,305

Shares

sold

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

20,472

125,128

14,929

37,451

Shares

issued

in

reorganization

(Note

2)

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

115,272

—

295,342

—

Shares

issued

on

reinvestment

of

distributions

...........

6,151

10,349

1,165

1,395

Shares

redeemed

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

(55,763)

(132,821)

(50,581)

(26,372)

Shares

outstanding,

end

of

period

475,155

389,023

342,634

81,779

CLASS

R6

Shares

outstanding,

beginning

of

period

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

17,983,584

19,726,567

30,383,517

31,270,615

Shares

sold

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

1,587,730

7,668,265

574,805

4,775,683

Shares

issued

in

reorganization

(Note

2)

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

15,248,944

—

16,069,284

—

Shares

issued

on

reinvestment

of

distributions

...........

332,747

565,841

511,572

763,118

Shares

redeemed

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

(2,546,299)

(9,977,089)

(2,439,224)

(6,425,899)

Shares

outstanding,

end

of

period

32,606,706

17,983,584

45,099,954

30,383,517

Statements

of

Changes

in

Net

Assets

(Continued)

96

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

1,540,700

$

7,854,867

$

177,516

$

1,155,336

Net

realized

gain

(loss)

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

129,116,808

120,431,503

39,025,450

8,360,593

Net

change

in

unrealized

appreciation

(depreciation)

.......

(12,902,861)

11,918,793

33,841,841

6,196,536

Net increase

(decrease)

in

net

assets

resulting

from

operations

117,754,647

140,205,163

73,044,807

15,712,465

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(87,508,588)

(63,057,396)

(9,732,643)

(8,734,431)

Class

N

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

(7,331,079)

(5,693,899)

(254,282)

(195,066)

Class

R6

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

(20,847,479)

(19,940,890)

(3,605,294)

(2,547,311)

Total

distributions

(115,687,146)

(88,692,185)

(13,592,219)

(11,476,808)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

56,936,761

98,819,498

11,947,542

25,062,536

Issued

in

reorganization

(Note

2)

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

156,869,586

—

54,888,450

—

Reinvestment

of

distributions

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

87,415,267

62,672,243

9,722,468

8,728,270

Cost

of

shares

redeemed

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

(169,602,975)

(267,572,521)

(64,067,861)

(79,646,866)

Net

increase

(decrease)

from

capital

transactions

131,618,639

(106,080,780)

12,490,599

(45,856,060)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

5,215,480

9,037,147

238,029

1,593,835

Issued

in

reorganization

(Note

2)

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

6,361,522

—

3,793,173

—

Reinvestment

of

distributions

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

7,331,054

5,693,193

254,282

195,066

Cost

of

shares

redeemed

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

(7,019,441)

(37,651,246)

(1,353,178)

(2,764,537)

Net

increase

(decrease)

from

capital

transactions

11,888,615

(22,920,906)

2,932,306

(975,636)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

32,150,326

29,011,109

13,963,911

19,971,971

Issued

in

reorganization

(Note

2)

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

117,196,343

—

5,853,310

—

Reinvestment

of

distributions

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

20,645,538

19,918,037

3,541,126

2,547,310

Cost

of

shares

redeemed

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

(27,771,582)

(140,085,323)

(17,845,477)

(33,489,848)

Net

increase

(decrease)

from

capital

transactions

142,220,625

(91,156,177)

5,512,870

(10,970,567)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

285,727,879

(220,157,863)

20,935,775

(57,802,263)

Total

increase

(decrease)

in

net

assets

287,795,380

(168,644,885)

80,388,363

(53,566,606)

NET

ASSETS:

Beginning

of

period

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

779,323,796

947,968,681

206,800,296

260,366,902

End

of

period

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

$

1,067,119,176

$

779,323,796

$

287,188,659

$

206,800,296

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

97

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

25,183,797

30,048,212

8,249,096

10,802,837

Shares

sold

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

2,315,941

4,624,629

471,060

1,498,212

Shares

issued

in

reorganization

(Note

2)

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

6,723,107

—

2,003,046

—

Shares

issued

on

reinvestment

of

distributions

...........

3,713,478

2,901,493

405,779

448,754

Shares

redeemed

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

(6,870,121)

(12,390,537)

(2,714,054)

(4,500,707)

Shares

outstanding,

end

of

period

31,066,202

25,183,797

8,414,927

8,249,096

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,912,932

2,998,876

193,339

235,513

Shares

sold

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

204,863

437,611

9,596

105,994

Shares

issued

in

reorganization

(Note

2)

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

272,334

—

138,366

—

Shares

issued

on

reinvestment

of

distributions

...........

310,901

263,208

10,604

10,019

Shares

redeemed

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

(289,957)

(1,786,763)

(54,698)

(158,187)

Shares

outstanding,

end

of

period

2,411,073

1,912,932

297,207

193,339

CLASS

R6

Shares

outstanding,

beginning

of

period

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

4,765,416

8,974,959

2,187,452

2,924,829

Shares

sold

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

1,277,457

1,404,275

638,422

1,245,764

Shares

issued

in

reorganization

(Note

2)

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

5,043,566

—

214,425

—

Shares

issued

on

reinvestment

of

distributions

...........

880,782

925,559

148,413

131,508

Shares

redeemed

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

(1,130,002)

(6,539,377)

(723,294)

(2,114,649)

Shares

outstanding,

end

of

period

10,837,219

4,765,416

2,465,418

2,187,452

Statements

of

Changes

in

Net

Assets

(Continued)

98

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

2,191,323

$

5,991,094

$

38,796,371

$

81,805,775

Net

realized

gain

(loss)

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

28,284,455

(2,839,051)

36,034,960

(97,772,202)

Net

change

in

unrealized

appreciation

(depreciation)

.......

23,119,691

39,049,874

604,495,454

535,658,825

Net increase

(decrease)

in

net

assets

resulting

from

operations

53,595,469

42,201,917

679,326,785

519,692,398

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,900,945)

(6,385,255)

(55,799,587)

(42,653,314)

Class

N

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

(625,780)

(809,276)

(5,034,543)

(3,352,374)

Class

R6

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

(1,646,695)

(3,320,455)

(21,166,736)

(17,886,160)

Total

distributions

(5,173,420)

(10,514,986)

(82,000,866)

(63,891,848)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

22,965,275

50,451,284

626,616,134

2,173,041,958

Issued

in

reorganization

(Note

2)

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

66,687,281

—

—

—

Reinvestment

of

distributions

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

2,873,165

6,308,931

54,849,296

41,906,995

Cost

of

shares

redeemed

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

(60,057,076)

(88,413,185)

(1,428,852,296)

(1,529,787,473)

Net

increase

(decrease)

from

capital

transactions

32,468,645

(31,652,970)

(747,386,866)

685,161,480

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

3,273,101

29,422,157

35,605,133

234,774,953

Issued

in

reorganization

(Note

2)

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

3,203,657

—

—

—

Reinvestment

of

distributions

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

625,779

809,238

5,030,510

3,349,208

Cost

of

shares

redeemed

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

(5,186,818)

(12,942,284)

(98,670,082)

(209,895,519)

Net

increase

(decrease)

from

capital

transactions

1,915,719

17,289,111

(58,034,439)

28,228,642

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

22,552,312

26,300,021

239,777,927

718,695,155

Issued

in

reorganization

(Note

2)

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

56,530,409

—

—

—

Reinvestment

of

distributions

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

1,642,134

3,320,455

21,040,427

17,775,808

Cost

of

shares

redeemed

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

(25,253,024)

(51,587,510)

(347,536,959)

(745,107,260)

Net

increase

(decrease)

from

capital

transactions

55,471,831

(21,967,034)

(86,718,605)

(8,636,297)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

89,856,195

(36,330,893)

(892,139,910)

704,753,825

Total

increase

(decrease)

in

net

assets

138,278,244

(4,643,962)

(294,813,991)

1,160,554,375

NET

ASSETS:

Beginning

of

period

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

431,347,879

435,991,841

6,089,016,935

4,928,462,560

End

of

period

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

$

569,626,123

$

431,347,879

$

5,794,202,944

$

6,089,016,935

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

99

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

15,819,338

18,029,990

170,746,021

142,901,883

Shares

sold

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

1,293,582

3,454,316

23,627,916

96,100,559

Shares

issued

in

reorganization

(Note

2)

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

3,686,702

—

—

—

Shares

issued

on

reinvestment

of

distributions

...........

163,527

405,719

2,092,686

1,765,248

Shares

redeemed

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

(3,427,796)

(6,070,687)

(53,890,341)

(70,021,669)

Shares

outstanding,

end

of

period

17,535,353

15,819,338

142,576,282

170,746,021

CLASS

N

Shares

outstanding,

beginning

of

period

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

3,737,181

2,455,631

18,663,666

17,129,740

Shares

sold

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

184,951

2,107,859

1,358,430

10,820,024

Shares

issued

in

reorganization

(Note

2)

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

177,475

—

—

—

Shares

issued

on

reinvestment

of

distributions

...........

35,677

52,075

192,151

141,198

Shares

redeemed

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

(295,579)

(878,384)

(3,735,524)

(9,427,296)

Shares

outstanding,

end

of

period

3,839,705

3,737,181

16,478,723

18,663,666

CLASS

R6

Shares

outstanding,

beginning

of

period

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

7,111,272

8,642,014

55,378,100

55,947,519

Shares

sold

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

1,305,009

1,887,946

9,159,877

31,593,797

Shares

issued

in

reorganization

(Note

2)

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

3,131,428

—

—

—

Shares

issued

on

reinvestment

of

distributions

...........

93,676

213,947

803,990

749,718

Shares

redeemed

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

(1,413,684)

(3,632,635)

(13,155,984)

(32,912,934)

Shares

outstanding,

end

of

period

10,227,701

7,111,272

52,185,983

55,378,100

Statements

of

Changes

in

Net

Assets

(Continued)

100

AQR

Funds

|

Semi-Annual

Reportt

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

1,941,186

$

4,183,120

$

1,688,685

$

3,835,317

Net

realized

gain

(loss)

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

1,618,875

(6,438,237)

29,572,526

(6,236,771)

Net

change

in

unrealized

appreciation

(depreciation)

.......

22,702,071

6,375,095

30,785,984

21,495,840

Net increase

(decrease)

in

net

assets

resulting

from

operations

26,262,132

4,119,978

62,047,195

19,094,386

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,438,608)

(4,509,399)

(187,131)

(2,836,271)

Class

N

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

(142,507)

(163,390)

(64,019)

(69,554)

Class

R6

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

(1,397,870)

(1,379,852)

(4,226,634)

(1,706,786)

Total

distributions

(3,978,985)

(6,052,641)

(4,477,784)

(4,612,611)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

15,130,730

42,450,760

328,826

6,768,638

Reinvestment

of

distributions

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

2,433,745

4,503,368

187,131

2,834,532

Cost

of

shares

redeemed

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

(26,189,228)

(119,894,228)

(2,450,161)

(196,641,412)

Net

increase

(decrease)

from

capital

transactions

(8,624,753)

(72,940,100)

(1,934,204)

(187,038,242)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

1,308,017

7,537,787

1,456,451

3,213,333

Reinvestment

of

distributions

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

142,507

163,390

64,019

69,554

Cost

of

shares

redeemed

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

(2,072,462)

(5,497,209)

(494,275)

(2,592,940)

Net

increase

(decrease)

from

capital

transactions

(621,938)

2,203,968

1,026,195

689,947

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

34,412,494

98,010,945

18,073,981

204,753,363

Reinvestment

of

distributions

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

1,391,743

1,379,852

4,224,178

1,706,786

Cost

of

shares

redeemed

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

(7,021,735)

(61,120,252)

(18,784,192)

(22,362,997)

Net

increase

(decrease)

from

capital

transactions

28,782,502

38,270,545

3,513,967

184,097,152

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

19,535,811

(32,465,587)

2,605,958

(2,251,143)

Total

increase

(decrease)

in

net

assets

41,818,958

(34,398,250)

60,175,369

12,230,632

NET

ASSETS:

Beginning

of

period

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

206,543,708

240,941,958

311,083,623

298,852,991

End

of

period

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

$

248,362,666

$

206,543,708

$

371,258,992

$

311,083,623

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

101

AQR

Funds

|

Semi-Annual

Reportt

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

9,957,462

15,447,857

1,844,523

22,854,497

Shares

sold

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

1,062,188

3,461,484

34,228

797,064

Shares

issued

on

reinvestment

of

distributions

...........

172,240

332,597

20,035

321,740

Shares

redeemed

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

(1,841,014)

(9,284,476)

(259,433)

(22,128,778)

Shares

outstanding,

end

of

period

9,350,876

9,957,462

1,639,353

1,844,523

CLASS

N

Shares

outstanding,

beginning

of

period

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

700,109

533,988

601,865

562,804

Shares

sold

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

88,746

568,346

154,428

404,649

Shares

issued

on

reinvestment

of

distributions

...........

9,734

11,654

6,921

7,958

Shares

redeemed

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

(143,369)

(413,879)

(53,776)

(373,546)

Shares

outstanding,

end

of

period

655,220

700,109

709,438

601,865

CLASS

R6

Shares

outstanding,

beginning

of

period

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

4,986,241

2,406,271

33,446,503

12,930,642

Shares

sold

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

2,391,174

7,641,356

1,873,974

23,246,605

Shares

issued

on

reinvestment

of

distributions

...........

98,565

101,985

449,381

192,206

Shares

redeemed

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

(492,356)

(5,163,371)

(2,078,036)

(2,922,950)

Shares

outstanding,

end

of

period

6,983,624

4,986,241

33,691,822

33,446,503

Statements

of

Changes

in

Net

Assets

(Continued)

102

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

OPERATIONS:

Net

investment

income

(loss)

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

$

747,836

$

2,940,702

$

496,656

$

1,669,258

Net

realized

gain

(loss)

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

14,284,169

363,641

1,395,961

5,216,951

Net

change

in

unrealized

appreciation

(depreciation)

.......

9,174,121

(2,142,790)

(5,485,451)

1,155,532

Net increase

(decrease)

in

net

assets

resulting

from

operations

24,206,126

1,161,553

(3,592,834)

8,041,741

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,034,136)

(5,428,873)

(3,830,569)

(765,024)

Class

N

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

(161,138)

(222,825)

(28,327)

(23,253)

Class

R6

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

(1,466,127)

(1,327,220)

(1,688,195)

(2,330,408)

Total

distributions

(3,661,401)

(6,978,918)

(5,547,091)

(3,118,685)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

2,221,281

22,848,703

41,030,652

60,593,105

Reinvestment

of

distributions

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

1,610,723

4,720,831

3,690,901

723,066

Cost

of

shares

redeemed

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

(13,551,748)

(146,579,693)

(59,181,907)

(20,382,854)

Net

increase

(decrease)

from

capital

transactions

(9,719,744)

(119,010,159)

(14,460,354)

40,933,317

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

20,291

2,015,171

9,122

124,214

Reinvestment

of

distributions

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

20,648

41,475

5,308

10,500

Cost

of

shares

redeemed

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

(5,033,178)

(4,424,951)

(1,583)

(570,328)

Net

increase

(decrease)

from

capital

transactions

(4,992,239)

(2,368,305)

12,847

(435,614)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

9,539,416

9,047,494

—

37,332

Reinvestment

of

distributions

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

1,461,515

1,327,220

12,352

269,719

Cost

of

shares

redeemed

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

(5,117,224)

(9,038,548)

(19,404,192)

(42,452,072)

Net

increase

(decrease)

from

capital

transactions

5,883,707

1,336,166

(19,391,840)

(42,145,021)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(8,828,276)

(120,042,298)

(33,839,347)

(1,647,318)

Total

increase

(decrease)

in

net

assets

11,716,449

(125,859,663)

(42,979,272)

3,275,738

NET

ASSETS:

Beginning

of

period

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

113,024,573

238,884,236

117,375,163

114,099,425

End

of

period

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

$

124,741,022

$

113,024,573

$

74,395,891

$

117,375,163

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

103

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2021

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

7,366,557

20,115,445

5,630,280

1,696,267

Shares

sold

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

216,228

2,686,155

3,826,366

5,795,197

Shares

issued

on

reinvestment

of

distributions

...........

161,072

470,202

352,738

68,596

Shares

redeemed

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

(1,346,922)

(15,905,245)

(5,721,153)

(1,929,780)

Shares

outstanding,

end

of

period

6,396,935

7,366,557

4,088,231

5,630,280

CLASS

N

Shares

outstanding,

beginning

of

period

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

552,521

815,866

60,740

102,082

Shares

sold

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

1,863

226,897

845

11,903

Shares

issued

on

reinvestment

of

distributions

...........

2,011

4,019

508

1,011

Shares

redeemed

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

(452,804)

(494,261)

(157)

(54,256)

Shares

outstanding,

end

of

period

103,591

552,521

61,936

60,740

CLASS

R6

Shares

outstanding,

beginning

of

period

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

4,002,124

3,921,532

5,117,171

9,163,620

Shares

sold

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

877,870

887,022

—

3,480

Shares

issued

on

reinvestment

of

distributions

...........

136,208

123,462

1,163

25,847

Shares

redeemed

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

(463,314)

(929,892)

(1,811,997)

(4,075,776)

Shares

outstanding,

end

of

period

4,552,888

4,002,124

3,306,337

5,117,171

104

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

17.63

0.1

1

11

3.63

3.74

(0.23)

(1.56)

(1.79)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.84

0.23

1.48

1.71

(0.21)

(0.71)

(0.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.21

9

(1.06)

(0.85)

(0.27)

(0.87)

(1.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.23

2.13

2.36

(0.22)

(0.18)

(0.40)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.22

2.84

3.06

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.19

0.68

0.87

(0.12)

(0.00)

10

(0.12)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

17.72

0.08

11

3.65

3.73

(0.19)

(1.56)

(1.75)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.76

0.20

1.47

1.67

—

(0.71)

(0.71)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.74

0.17

9

(1.06)

(0.89)

(0.22)

(0.87)

(1.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.79

0.18

2.13

2.31

(0.18)

(0.18)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.94

0.18

2.82

3.00

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.16

0.68

0.84

(0.09)

(0.00)

10

(0.09)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

17.62

0.12

11

3.62

3.74

(0.25)

(1.56)

(1.81)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.83

0.25

1.48

1.73

(0.23)

(0.71)

(0.94)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.23

9

(1.07)

(0.84)

(0.29)

(0.87)

(1.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.25

2.13

2.38

(0.24)

(0.18)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.24

2.84

3.08

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.21

0.68

0.89

(0.14)

(0.00)

10

(0.14)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

12.35

0.04

11

6.07

6.11

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.33

0.08

0.07

12

0.15

(0.12)

(0.01)

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.88

0.11

9

(2.14)

(2.03)

(0.08)

(1.44)

(1.52)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.09

0.10

1.27

1.37

(0.12)

(1.46)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.96

0.12

13

2.39

2.51

(0.14)

(0.24)

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.30

0.13

1.56

1.69

(0.03)

(0.00)

10

(0.03)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

12.32

0.02

11

6.05

6.07

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.29

0.04

0.08

12

0.12

(0.08)

(0.01)

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.08

9

(2.12)

(2.04)

(0.05)

(1.44)

(1.49)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.01

0.06

1.28

1.34

(0.07)

(1.46)

(1.53)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.90

0.08

13

2.37

2.45

(0.10)

(0.24)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.25

0.10

1.55

1.65

(0.00)

10

(0.00)

10

—

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

12.37

0.05

11

6.07

6.12

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.35

0.08

0.08

12

0.16

(0.13)

(0.01)

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.91

0.13

9

(2.15)

(2.02)

(0.10)

(1.44)

(1.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.11

0.11

1.29

1.40

(0.14)

(1.46)

(1.60)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.98

0.13

13

2.39

2.52

(0.15)

(0.24)

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.31

0.16

1.55

1.71

(0.04)

(0.00)

10

(0.04)

105

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

19.58

22.24%

$

311,330

0.42%

7

0.41%

7

0.40%

7

1.15%

11

33%

8

$

17.63

10.30%

$

218,609

0.45%

0.44%

0.44%

1.38%

48%

$

16.84

(3.55)%

$

361,920

0.44%

0.44%

0.44%

1.29%

9

55%

$

18.83

14.11%

$

507,109

0.44%

0.44%

0.44%

1.28%

64%

$

16.87

22.01%

$

457,339

0.45%

0.44%

0.44%

1.46%

61%

$

14.00

6.61%

$

627,269

0.46%

0.45%

0.45%

1.43%

80%

$

19.70

21.99%

$

13,448

0.67%

7

0.66%

7

0.65%

7

0.91%

11

33%

8

$

17.72

10.07%

$

10,681

0.71%

0.69%

0.69%

1.17%

48%

$

16.76

(3.84)%

$

57,421

0.70%

0.70%

0.70%

1.02%

9

55%

$

18.74

13.83%

$

71,104

0.70%

0.70%

0.70%

1.02%

64%

$

16.79

21.69%

$

62,679

0.71%

0.70%

0.70%

1.19%

61%

$

13.94

6.40%

$

64,718

0.71%

0.70%

0.70%

1.18%

80%

$

19.55

22.26%

$

1,210,515

0.32%

7

0.31%

7

0.30%

7

1.26%

11

33%

8

$

17.62

10.43%

$

863,892

0.35%

0.34%

0.34%

1.51%

48%

$

16.83

(3.50)%

$

1,027,712

0.35%

0.35%

0.35%

1.38%

9

55%

$

18.83

14.20%

$

1,366,762

0.35%

0.35%

0.35%

1.37%

64%

$

16.87

22.18%

$

1,246,028

0.36%

0.35%

0.35%

1.54%

61%

$

14.00

6.71%

$

792,665

0.37%

0.35%

0.35%

1.52%

80%

$

18.19

49.88%

$

68,437

0.88%

7

0.75%

7

0.74%

7

0.46%

11

34%

8

$

12.35

1.13%

$

39,049

0.70%

0.65%

0.64%

0.63%

51%

$

12.33

(11.74)%

$

42,197

0.66%

0.64%

0.64%

0.92%

9

70%

$

15.88

9.18%

$

61,690

0.66%

0.65%

0.64%

0.63%

64%

$

16.09

18.12%

$

55,115

0.69%

0.65%

0.65%

0.79%

13

61%

$

13.96

13.74%

$

45,483

0.75%

0.65%

0.65%

1.00%

96%

$

18.15

49.62%

$

10,888

1.12%

7

0.99%

7

0.98%

7

0.20%

11

34%

8

$

12.32

0.87%

$

5,421

0.95%

0.90%

0.89%

0.36%

51%

$

12.29

(11.94)%

$

8,304

0.92%

0.90%

0.90%

0.66%

9

70%

$

15.82

8.94%

$

7,795

0.92%

0.90%

0.90%

0.38%

64%

$

16.01

17.79%

$

8,624

0.94%

0.90%

0.90%

0.53%

13

61%

$

13.90

13.51%

$

9,733

0.99%

0.90%

0.90%

0.76%

96%

$

18.20

49.84%

$

65,537

0.73%

7

0.62%

7

0.61%

7

0.63%

11

34%

8

$

12.37

1.22%

$

213,517

0.60%

0.55%

0.54%

0.70%

51%

$

12.35

(11.66)%

$

501,656

0.57%

0.55%

0.55%

1.02%

9

70%

$

15.91

9.34%

$

675,945

0.57%

0.55%

0.55%

0.73%

64%

$

16.11

18.17%

$

733,984

0.59%

0.55%

0.55%

0.89%

13

61%

$

13.98

13.90%

$

687,986

0.62%

0.55%

0.55%

1.23%

96%

106

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.69

0.12

11

2.22

2.34

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.06

0.22

(0.25)

(0.03)

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.76

0.28

(0.60)

(0.32)

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.95

0.28

(0.18)

0.10

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.23

0.24

1.74

1.98

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.21

0.26

(0.09)

0.17

(0.15)

—

(0.15)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.66

0.10

11

2.22

2.32

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.03

0.19

(0.25)

(0.06)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.73

0.24

(0.59)

(0.35)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.92

0.24

(0.17)

0.07

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.20

0.21

1.75

1.96

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.23

(0.10)

0.13

(0.13)

—

(0.13)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.67

0.15

11

2.20

2.35

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.05

0.23

(0.26)

(0.03)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.75

0.28

(0.59)

(0.31)

(0.39)

—

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.94

0.29

(0.18)

0.11

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.22

0.26

1.73

1.99

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.25

(0.07)

0.18

(0.16)

—

(0.16)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.57

0.07

11

2.35

2.42

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.75

0.14

0.92

1.06

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.58

0.25

9

(0.86)

(0.61)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.23

16

(0.59)

(0.36)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.27

0.18

1.88

2.06

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.31

0.17

0.82

0.99

(0.03)

—

(0.03)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.60

0.06

11

2.35

2.41

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.77

0.14

0.90

1.04

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.57

0.16

9

(0.79)

(0.63)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.19

16

(0.59)

(0.40)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.15

1.89

2.04

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.30

0.17

0.81

0.98

—

—

—

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.58

0.06

11

2.36

2.42

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.76

0.18

0.89

1.07

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.59

0.23

9

(0.83)

(0.60)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.13

0.24

16

(0.59)

(0.35)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.19

1.88

2.07

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.32

0.18

0.82

1.00

(0.04)

—

(0.04)

107

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

12.81

22.02%

$

80,866

0.62%

7

0.56%

7

0.56%

7

2.04%

11

32%

8

$

10.69

(0.51)%

$

49,672

0.67%

0.60%

0.59%

2.04%

74%

$

11.06

(2.37)%

$

50,189

0.67%

0.60%

0.60%

2.56%

57%

$

11.76

0.81%

$

82,661

0.64%

0.60%

0.60%

2.36%

61%

$

11.95

19.91%

$

76,307

0.65%

0.60%

14

0.60%

14

2.26%

15

55%

$

10.23

1.62%

$

68,288

0.68%

0.59%

0.59%

2.62%

106%

$

12.79

21.90%

$

6,076

0.87%

7

0.81%

7

0.81%

7

1.70%

11

32%

8

$

10.66

(0.75)%

$

4,147

0.92%

0.85%

0.84%

1.82%

74%

$

11.03

(2.62)%

$

4,261

0.92%

0.85%

0.85%

2.25%

57%

$

11.73

0.51%

$

6,892

0.89%

0.85%

0.85%

2.04%

61%

$

11.92

19.69%

$

8,836

0.91%

0.85%

14

0.85%

14

1.95%

15

55%

$

10.20

1.28%

$

8,491

0.93%

0.85%

0.85%

2.32%

106%

$

12.79

22.17%

$

416,938

0.52%

7

0.46%

7

0.46%

7

2.50%

11

32%

8

$

10.67

(0.47)%

$

191,955

0.57%

0.50%

0.49%

2.16%

74%

$

11.05

(2.27)%

$

217,891

0.57%

0.50%

0.50%

2.54%

57%

$

11.75

0.90%

$

329,854

0.54%

0.50%

0.50%

2.44%

61%

$

11.94

20.04%

$

385,126

0.56%

0.50%

14

0.50%

14

2.41%

15

55%

$

10.22

1.71%

$

301,294

0.59%

0.50%

0.50%

2.52%

106%

$

12.80

23.02%

$

68,711

0.82%

7

0.75%

7

0.75%

7

1.09%

11

32%

8

$

10.57

10.94%

$

19,271

0.86%

0.75%

0.75%

1.48%

58%

$

9.75

(5.68)%

$

36,722

0.84%

0.75%

0.75%

2.51%

9

62%

$

10.58

(3.35)%

$

17,266

0.85%

0.74%

0.74%

2.01%

16

54%

$

11.12

22.99%

$

17,013

0.86%

0.74%

0.74%

1.89%

51%

$

9.27

12.02%

$

12,711

0.94%

17

0.72%

0.72%

2.00%

181%

$

12.84

22.90%

$

4,399

1.06%

7

0.99%

7

0.99%

7

1.02%

11

32%

8

$

10.60

10.65%

$

867

1.12%

1.00%

1.00%

1.47%

58%

$

9.77

(5.92)%

$

677

1.09%

1.00%

1.00%

1.64%

9

62%

$

10.57

(3.70)%

$

1,675

1.11%

1.00%

1.00%

1.63%

16

54%

$

11.12

22.64%

$

2,301

1.12%

1.00%

1.00%

1.58%

51%

$

9.28

11.81%

$

2,163

1.20%

17

0.95%

0.95%

2.01%

181%

$

12.80

23.09%

$

577,171

0.73%

7

0.65%

7

0.65%

7

0.96%

11

32%

8

$

10.58

11.03%

$

321,431

0.77%

0.65%

0.65%

1.82%

58%

$

9.76

(5.59)%

$

305,195

0.74%

0.65%

0.65%

2.32%

9

62%

$

10.59

(3.27)%

$

313,070

0.76%

0.65%

0.65%

2.07%

16

54%

$

11.13

23.05%

$

333,540

0.77%

0.65%

0.65%

1.94%

51%

$

9.28

12.05%

$

272,799

0.87%

17

0.65%

0.65%

2.09%

181%

108

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.47

0.05

11

3.39

3.44

(0.17)

(3.64)

(3.81)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.57

0.20

3.92

4.12

(0.25)

(1.97)

(2.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.99

0.26

9

(0.44)

(0.18)

(0.22)

(2.02)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

22.00

0.19

4.77

4.96

(0.21)

(1.76)

(1.97)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.44

0.24

2.88

3.12

(0.32)

(1.24)

(1.56)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.96

0.27

1.87

2.14

(0.21)

(1.45)

(1.66)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.46

0.01

11

3.41

3.42

(0.11)

(3.64)

(3.75)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.56

0.15

3.90

4.05

(0.18)

(1.97)

(2.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.96

0.21

9

(0.43)

(0.22)

(0.16)

(2.02)

(2.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.98

0.13

4.77

4.90

(0.16)

(1.76)

(1.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.42

0.19

2.87

3.06

(0.26)

(1.24)

(1.50)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.92

0.21

1.88

2.09

(0.14)

(1.45)

(1.59)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.40

0.06

11

3.39

3.45

(0.20)

(3.64)

(3.84)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.51

0.23

3.90

4.13

(0.27)

(1.97)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.94

0.29

9

(0.45)

(0.16)

(0.25)

(2.02)

(2.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.96

0.22

4.75

4.97

(0.23)

(1.76)

(1.99)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.41

0.26

2.87

3.13

(0.34)

(1.24)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.94

0.29

1.86

2.15

(0.23)

(1.45)

(1.68)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

19.47

0.02

11

7.63

7.65

(0.15)

(1.26)

(1.41)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.66

0.09

1.56

1.65

(0.10)

(0.74)

(0.84)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.09

9

(3.83)

(3.74)

(0.04)

(4.70)

(4.74)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.83

0.05

16

4.58

4.63

(0.06)

(2.26)

(2.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.80

0.10

13

4.10

4.20

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.10

0.15

1.79

1.94

(0.16)

(0.08)

(0.24)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

19.45

(0.02)

11

7.64

7.62

(0.09)

(1.26)

(1.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.66

0.04

1.56

1.60

(0.07)

(0.74)

(0.81)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.05

9

(3.83)

(3.78)

(0.00)

10

(4.70)

(4.70)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.82

(0.00)

10,16

4.58

4.58

—

(2.26)

(2.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.68

0.05

13

4.09

4.14

—

—

—

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

18.99

0.09

1.78

1.87

(0.10)

(0.08)

(0.18)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

19.41

0.03

11

7.61

7.64

(0.17)

(1.26)

(1.43)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.61

0.11

1.56

1.67

(0.13)

(0.74)

(0.87)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.10

0.13

9

(3.85)

(3.72)

(0.07)

(4.70)

(4.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.79

0.08

16

4.58

4.66

(0.09)

(2.26)

(2.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.77

0.12

13

4.09

4.21

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.09

0.13

1.81

1.94

(0.18)

(0.08)

(0.26)

109

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

24.10

14.44%

$

748,796

0.42%

7

0.41%

7

0.40%

7

0.37%

11

45%

8

$

24.47

19.52%

$

616,263

0.42%

0.40%

0.40%

0.91%

75%

$

22.57

1.38%

$

678,252

0.41%

0.40%

0.40%

1.21%

9

61%

$

24.99

23.94%

$

986,458

0.40%

0.39%

0.39%

0.84%

66%

$

22.00

16.37%

$

869,688

0.41%

0.40%

0.40%

1.19%

88%

$

20.44

11.12%

$

820,914

0.42%

0.40%

0.40%

1.34%

77%

$

24.13

14.34%

$

58,171

0.67%

7

0.66%

7

0.65%

7

0.12%

11

45%

8

$

24.46

19.20%

$

46,797

0.67%

0.65%

0.65%

0.69%

75%

$

22.56

1.14%

$

67,654

0.66%

0.65%

0.65%

0.97%

9

61%

$

24.96

23.61%

$

77,381

0.65%

0.65%

0.65%

0.58%

66%

$

21.98

16.07%

$

59,044

0.66%

0.65%

0.65%

0.94%

88%

$

20.42

10.89%

$

57,644

0.66%

0.65%

0.65%

1.08%

77%

$

24.01

14.52%

$

260,152

0.32%

7

0.31%

7

0.30%

7

0.46%

11

45%

8

$

24.40

19.66%

$

116,264

0.32%

0.30%

0.30%

1.05%

75%

$

22.51

1.48%

$

202,063

0.31%

0.30%

0.30%

1.33%

9

61%

$

24.94

24.06%

$

101,971

0.30%

0.30%

0.30%

0.93%

66%

$

21.96

16.47%

$

65,920

0.31%

0.30%

0.30%

1.28%

88%

$

20.41

11.23%

$

59,108

0.32%

0.30%

0.30%

1.45%

77%

$

25.71

39.82%

$

216,386

0.67%

7

0.61%

7

0.60%

7

0.13%

11

42%

8

$

19.47

8.89%

$

160,586

0.67%

0.60%

0.60%

0.48%

86%

$

18.66

(10.90)%

$

201,555

0.66%

0.60%

0.60%

0.46%

9

79%

$

27.14

20.11%

$

346,665

0.63%

0.60%

0.60%

0.21%

16

73%

$

24.83

20.30%

$

359,470

0.64%

0.60%

0.60%

0.46%

13

86%

$

20.80

10.24%

$

317,154

0.65%

0.60%

0.60%

0.77%

85%

$

25.72

39.72%

$

7,645

0.92%

7

0.86%

7

0.85%

7

(0.15)%

11

42%

8

$

19.45

8.59%

$

3,761

0.92%

0.85%

0.85%

0.23%

86%

$

18.66

(11.09)%

$

4,395

0.91%

0.85%

0.85%

0.28%

9

79%

$

27.14

19.84%

$

2,835

0.85%

0.83%

0.83%

(0.02)%

16

73%

$

24.82

20.02%

$

1,720

0.86%

0.82%

0.82%

0.24%

13

86%

$

20.68

9.96%

$

1,574

0.91%

0.84%

0.84%

0.47%

85%

$

25.62

39.93%

$

63,158

0.57%

7

0.51%

7

0.50%

7

0.24%

11

42%

8

$

19.41

8.99%

$

42,453

0.57%

0.50%

0.50%

0.60%

86%

$

18.61

(10.80)%

$

54,417

0.56%

0.50%

0.50%

0.67%

9

79%

$

27.10

20.26%

$

21,162

0.53%

0.50%

0.50%

0.31%

16

73%

$

24.79

20.39%

$

11,914

0.54%

0.50%

0.50%

0.54%

13

86%

$

20.77

10.30%

$

8,490

0.56%

0.50%

0.50%

0.69%

85%

110

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

16.19

0.08

11

1.97

2.05

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.98

0.21

1.37

1.58

(0.37)

—

(0.37)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.31

(0.87)

(0.56)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.50

0.29

0.37

0.66

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.86

0.31

1.65

1.96

(0.32)

—

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.24

0.25

0.59

0.84

(0.22)

—

(0.22)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

16.14

0.06

11

1.97

2.03

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.94

0.18

1.35

1.53

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.77

0.27

(0.86)

(0.59)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.46

0.26

0.36

0.62

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.82

0.28

1.65

1.93

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.21

0.60

0.81

(0.18)

—

(0.18)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

16.16

0.09

11

1.98

2.07

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.96

0.23

1.35

1.58

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.80

0.33

(0.87)

(0.54)

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.49

0.32

0.35

0.67

(0.36)

—

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.85

0.33

1.65

1.98

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.23

0.27

0.59

0.86

(0.24)

—

(0.24)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.88

0.16

11

2.74

2.90

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.83

0.33

1.99

2.32

(0.26)

(0.01)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.18

0.34

1.62

1.96

(0.23)

(0.08)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.23

0.30

3.10

3.40

(0.27)

(0.18)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.71

0.29

2.55

2.84

(0.23)

(0.09)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.27

1.70

1.97

(0.14)

(0.76)

(0.90)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.81

0.13

11

2.73

2.86

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.76

0.27

1.99

2.26

(0.20)

(0.01)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.11

0.28

1.62

1.90

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.18

0.25

3.09

3.34

(0.23)

(0.18)

(0.41)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.68

0.25

2.54

2.79

(0.20)

(0.09)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.23

1.70

1.93

(0.13)

(0.76)

(0.89)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

24.87

0.18

11

2.72

2.90

(0.36)

—

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.81

0.36

1.99

2.35

(0.28)

(0.01)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.15

0.35

1.63

1.98

(0.24)

(0.08)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.21

0.32

3.09

3.41

(0.29)

(0.18)

(0.47)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.69

0.30

2.55

2.85

(0.24)

(0.09)

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.62

0.29

1.69

1.98

(0.15)

(0.76)

(0.91)

111

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

18.04

12.71%

$

316,349

0.60%

7

0.56%

7

0.55%

7

0.95%

11

38%

8

$

16.19

10.62%

$

256,067

0.60%

0.55%

0.55%

1.41%

72%

$

14.98

(3.26)%

$

270,031

0.61%

0.55%

0.55%

2.12%

70%

$

15.82

4.31%

$

348,643

0.60%

0.55%

0.55%

1.84%

65%

$

15.50

14.67%

$

326,526

0.63%

0.55%

14

0.55%

14

2.26%

15

84%

$

13.86

6.40%

$

272,002

0.63%

0.55%

0.55%

1.89%

85%

$

18.00

12.61%

$

69,120

0.85%

7

0.81%

7

0.80%

7

0.66%

11

38%

8

$

16.14

10.33%

$

60,332

0.86%

0.80%

0.80%

1.18%

72%

$

14.94

(3.51)%

$

36,694

0.86%

0.80%

0.80%

1.86%

70%

$

15.77

4.02%

$

40,452

0.85%

0.80%

0.80%

1.61%

65%

$

15.46

14.38%

$

34,030

0.88%

0.80%

14

0.80%

14

1.99%

15

84%

$

13.82

6.16%

$

30,502

0.87%

0.80%

0.79%

1.59%

85%

$

18.01

12.84%

$

184,157

0.50%

7

0.46%

7

0.45%

7

1.08%

11

38%

8

$

16.16

10.68%

$

114,949

0.50%

0.45%

0.45%

1.50%

72%

$

14.96

(3.15)%

$

129,267

0.51%

0.45%

0.45%

2.25%

70%

$

15.80

4.34%

$

63,978

0.50%

0.45%

0.45%

1.99%

65%

$

15.49

14.80%

$

45,913

0.53%

0.45%

14

0.45%

14

2.35%

15

84%

$

13.85

6.53%

$

35,382

0.53%

0.45%

0.45%

1.98%

85%

$

27.44

11.73%

$

3,912,235

0.40%

7

0.40%

7

0.40%

7

1.26%

11

10%

$

24.88

10.21%

$

4,248,841

0.40%

0.40%

0.40%

1.44%

35%

$

22.83

9.59%

$

3,262,596

0.39%

0.38%

0.38%

1.60%

20%

$

21.18

18.92%

$

1,502,430

0.39%

0.39%

0.39%

1.52%

18%

$

18.23

18.32%

$

793,828

0.41%

0.40%

0.40%

1.69%

16%

$

15.71

14.00%

$

519,984

0.42%

0.39%

0.39%

1.79%

8%

$

27.39

11.57%

$

451,369

0.65%

7

0.65%

7

0.65%

7

1.01%

11

10%

$

24.81

9.95%

$

463,060

0.66%

0.65%

0.65%

1.18%

35%

$

22.76

9.30%

$

389,897

0.66%

0.65%

0.65%

1.33%

20%

$

21.11

18.58%

$

309,274

0.65%

0.64%

0.64%

1.27%

18%

$

18.18

17.99%

$

239,074

0.67%

0.65%

0.65%

1.46%

16%

$

15.68

13.70%

$

226,020

0.68%

0.65%

0.65%

1.53%

8%

$

27.41

11.74%

$

1,430,599

0.30%

7

0.30%

7

0.30%

7

1.35%

11

10%

$

24.87

10.32%

$

1,377,116

0.31%

0.30%

0.30%

1.55%

35%

$

22.81

9.72%

$

1,275,970

0.31%

0.30%

0.30%

1.61%

20%

$

21.15

18.99%

$

309,211

0.30%

0.30%

0.30%

1.61%

18%

$

18.21

18.43%

$

197,705

0.32%

0.30%

0.30%

1.79%

16%

$

15.69

14.13%

$

127,311

0.33%

0.30%

0.30%

1.87%

8%

112

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

13.18

0.11

1.56

1.67

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.09

0.23

0.20

12

0.43

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.34

(0.35)

(0.01)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.27

0.32

16

0.10

0.42

(0.29)

(0.02)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.10

0.30

13

1.04

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.95

0.29

1.09

1.38

(0.23)

—

(0.23)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

13.63

0.10

1.60

1.70

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.52

0.24

0.18

12

0.42

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.71

0.33

(0.36)

(0.03)

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.58

0.26

16

0.14

0.40

(0.25)

(0.02)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.40

0.28

13

1.06

1.34

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.20

0.30

1.09

1.39

(0.19)

—

(0.19)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

13.18

0.13

1.54

1.67

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.09

0.28

0.16

12

0.44

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.33

(0.33)

0.00

10

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.26

0.34

16

0.10

0.44

(0.30)

(0.02)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.09

0.31

13

1.03

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.94

0.36

1.03

1.39

(0.24)

—

(0.24)

AQR

GLOBAL

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

8.61

0.04

1.70

1.74

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.20

0.06

0.47

0.53

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.11

0.15

(0.72)

(0.57)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.89

0.13

0.54

0.67

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.12

0.11

1.43

1.54

(0.18)

(0.59)

(0.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.80

0.10

0.76

0.86

(0.12)

(0.42)

(0.54)

AQR

GLOBAL

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

8.52

0.03

1.68

1.71

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.12

0.08

0.43

0.51

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.06

0.13

(0.73)

(0.60)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.84

0.09

0.55

0.64

(0.05)

(0.37)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.07

0.09

1.43

1.52

(0.16)

(0.59)

(0.75)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.73

0.10

0.72

0.82

(0.06)

(0.42)

(0.48)

AQR

GLOBAL

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

8.67

0.05

1.72

1.77

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.27

0.12

0.41

0.53

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.19

0.14

(0.70)

(0.56)

(0.15)

(0.21)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.96

0.13

0.55

0.68

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.18

0.12

1.45

1.57

(0.20)

(0.59)

(0.79)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.85

0.12

0.75

0.87

(0.12)

(0.42)

(0.54)

113

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

14.60

12.73%

$

136,550

0.63%

0.55%

0.55%

1.58%

9%

$

13.18

3.21%

$

131,283

0.64%

0.55%

0.55%

1.79%

27%

$

13.09

0.18%

$

202,228

0.64%

0.55%

0.55%

2.64%

24%

$

13.38

3.15%

$

173,932

0.63%

0.55%

0.55%

2.41%

16

21%

$

13.27

11.29%

$

145,091

0.67%

0.55%

14

0.55%

14

2.43%

13,15

3%

$

12.10

12.84%

$

96,844

0.83%

0.54%

0.54%

2.51%

83%

$

15.12

12.55%

$

9,907

0.88%

0.80%

0.80%

1.34%

9%

$

13.63

3.04%

$

9,541

0.90%

0.80%

0.80%

1.79%

27%

$

13.52

(0.10)%

$

7,221

0.89%

0.80%

0.80%

2.51%

24%

$

13.71

2.90%

$

4,266

0.88%

0.80%

0.80%

1.84%

16

21%

$

13.58

11.01%

$

30,102

0.92%

0.80%

14

0.80%

14

2.21%

13,15

3%

$

12.40

12.59%

$

21,135

1.08%

0.79%

0.78%

2.51%

83%

$

14.59

12.76%

$

101,906

0.53%

0.45%

0.45%

1.87%

9%

$

13.18

3.32%

$

65,720

0.55%

0.45%

0.45%

2.20%

27%

$

13.09

0.26%

$

31,493

0.54%

0.45%

0.45%

2.58%

24%

$

13.38

3.32%

$

28,741

0.53%

0.45%

0.45%

2.54%

16

21%

$

13.26

11.38%

$

19,716

0.57%

0.45%

14

0.45%

14

2.57%

13,15

3%

$

12.09

12.95%

$

14,668

0.67%

0.45%

0.45%

3.06%

83%

$

10.24

20.34%

$

16,791

0.82%

0.80%

0.80%

0.89%

52%

$

8.61

6.48%

$

15,876

0.82%

0.80%

0.80%

0.76%

94%

$

8.20

(5.78)%

$

187,408

0.81%

0.80%

0.80%

1.82%

122%

$

9.11

7.65%

$

198,954

0.82%

0.80%

0.80%

1.42%

87%

$

8.89

20.70%

$

41,551

0.89%

0.82%

0.82%

1.37%

88%

$

8.12

11.33%

$

33,013

0.96%

0.89%

0.89%

1.36%

78%

$

10.13

20.20%

$

7,187

1.07%

1.05%

1.05%

0.70%

52%

$

8.52

6.24%

$

5,126

1.07%

1.05%

1.05%

0.94%

94%

$

8.12

(6.17)%

$

4,573

1.06%

1.05%

1.05%

1.59%

122%

$

9.06

7.36%

$

2,120

1.07%

1.05%

1.05%

1.02%

87%

$

8.84

20.57%

$

2,254

1.14%

1.07%

1.07%

1.09%

88%

$

8.07

10.93%

$

1,712

1.20%

1.13%

1.12%

1.28%

78%

$

10.31

20.54%

$

347,281

0.72%

0.70%

0.70%

1.01%

52%

$

8.67

6.40%

$

290,082

0.72%

0.70%

0.70%

1.47%

94%

$

8.27

(5.67)%

$

106,872

0.72%

0.70%

0.70%

1.72%

122%

$

9.19

7.74%

$

173,425

0.72%

0.70%

0.70%

1.39%

87%

$

8.96

20.98%

$

146,167

0.77%

0.70%

0.70%

1.48%

88%

$

8.18

11.33%

$

106,573

0.77%

0.70%

0.70%

1.59%

78%

114

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

9.25

0.06

1.95

2.01

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.50

0.13

18

(0.08)

0.05

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.49

0.23

(0.97)

(0.74)

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.66

0.22

16

(0.32)

(0.10)

(0.25)

(0.82)

(1.07)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.17

0.20

1.73

1.93

(0.30)

(0.14)

(0.44)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.61

0.21

0.67

0.88

(0.20)

(0.12)

(0.32)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

9.48

0.00

10

2.06

2.06

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.75

0.12

18

(0.11)

0.01

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.74

0.22

(0.99)

(0.77)

(0.14)

(0.08)

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.88

0.21

16

(0.33)

(0.12)

(0.20)

(0.82)

(1.02)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.35

0.18

1.77

1.95

(0.28)

(0.14)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.77

0.19

0.68

0.87

(0.17)

(0.12)

(0.29)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

9.91

0.08

2.09

2.17

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.16

0.16

18

(0.10)

0.06

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.20

0.26

(1.04)

(0.78)

(0.18)

(0.08)

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.39

0.24

16

(0.35)

(0.11)

(0.26)

(0.82)

(1.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.77

0.27

1.81

2.08

(0.32)

(0.14)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.16

0.16

0.77

0.93

(0.20)

(0.12)

(0.32)

AQR

CORE

PLUS

BOND

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.86

0.05

(0.46)

(0.41)

(0.11)

(0.36)

(0.47)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.13

0.60

0.73

(0.17)

(0.11)

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.21

0.69

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

19

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

AQR

CORE

PLUS

BOND

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.85

0.03

(0.46)

(0.43)

(0.10)

(0.36)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.13

0.56

0.69

(0.14)

(0.11)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.19

0.68

0.87

(0.34)

—

(0.34)

FOR

THE

PERIOD

4/05/18

19

-9/30/18

$

10.00

0.10

(0.11)

(0.01)

(0.11)

—

(0.11)

AQR

CORE

PLUS

BOND

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2021

$

10.86

0.05

(0.46)

(0.41)

(0.11)

(0.36)

(0.47)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.16

0.57

0.73

(0.17)

(0.11)

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.22

0.68

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

19

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

115

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

(Unaudited)

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

5,6

$

10.95

22.08%

$

70,069

1.00%

0.85%

0.85%

1.20%

47%

$

9.25

0.23%

$

68,121

0.91%

0.86%

0.85%

1.42%

18

84%

$

9.50

(6.86)%

$

191,080

0.88%

0.84%

0.84%

2.43%

91%

$

10.49

(1.24)%

$

391,509

0.88%

0.86%

0.86%

1.97%

16

87%

$

11.66

19.96%

$

346,078

0.98%

0.91%

14

0.91%

14

1.89%

15

83%

$

10.17

9.34%

$

370,530

0.97%

0.95%

0.95%

2.14%

62%

$

11.24

21.99%

$

1,164

1.19%

1.10%

1.10%

0.01%

47%

$

9.48

(0.12)%

$

5,238

1.14%

1.11%

1.10%

1.29%

18

84%

$

9.75

(7.03)%

$

7,951

1.05%

1.01%

1.01%

2.20%

91%

$

10.74

(1.41)%

$

13,090

1.10%

1.09%

1.09%

1.85%

16

87%

$

11.88

19.68%

$

14,873

1.24%

1.16%

14

1.16%

14

1.71%

15

83%

$

10.35

9.04%

$

37,297

1.20%

1.18%

1.18%

1.89%

62%

$

11.75

22.20%

$

53,508

0.90%

0.75%

0.75%

1.39%

47%

$

9.91

0.34%

$

39,666

0.82%

0.76%

0.75%

1.68%

18

84%

$

10.16

(6.80)%

$

39,853

0.80%

0.76%

0.76%

2.56%

91%

$

11.20

(1.23)%

$

44,742

0.79%

0.77%

0.77%

2.04%

16

87%

$

12.39

20.20%

$

44,105

0.85%

0.81%

14

0.81%

14

2.39%

15

83%

$

10.77

9.40%

$

14,387

0.77%

0.77%

0.77%

1.57%

62%

$

9.98

(3.96)%

$

40,791

0.68%

0.48%

0.47%

0.86%

661%

$

10.86

7.10%

$

61,152

0.66%

0.48%

0.47%

1.19%

1029%

$

10.41

9.31%

$

17,659

0.72%

17

0.43%

0.43%

2.04%

1004%

$

9.88

(0.02)%

$

3,707

0.60%

17

0.42%

0.42%

2.26%

439%

$

9.96

(4.13)%

$

617

0.84%

0.73%

0.72%

0.64%

661%

$

10.85

6.79%

$

659

0.87%

0.73%

0.72%

1.19%

1029%

$

10.41

9.09%

$

1,062

0.95%

17

0.66%

0.66%

1.88%

1004%

$

9.88

(0.12)%

$

560

0.79%

17

0.62%

0.62%

2.04%

439%

$

9.98

(3.91)%

$

32,988

0.59%

0.38%

0.37%

0.99%

661%

$

10.86

7.19%

$

55,564

0.56%

0.38%

0.37%

1.56%

1029%

$

10.41

9.38%

$

95,378

0.68%

17

0.37%

0.37%

2.21%

1004%

$

9.88

0.00%

$

96,961

0.54%

17

0.37%

0.37%

2.29%

439%

116

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

PERIOD/YEAR

ENDED

PORTFOLIO

TURNOVER

RATE

SIX

MONTHS

ENDED

MARCH

31,

2021

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

142%

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

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

210%

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

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

262%

FOR

THE

PERIOD

4/05/18-9/30/18

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

110%

FUND

TOTAL

EXPENSES

TOTAL

EXPENSES

AFTER

FEES

REIMBURSED

AQR

Large

Cap

Multi-Style

Fund

–

Class

I

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

0.41

%

0.40%

AQR

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.66

0.65

AQR

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.31

0.30

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.74

0.61

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.99

0.86

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.63

0.51

AQR

International

Multi-Style

Fund

–

Class

I

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

0.61

0.55

AQR

International

Multi-Style

Fund

–

Class

N

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

0.86

0.80

AQR

International

Multi-Style

Fund

–

Class

R6

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

0.51

0.45

AQR

Emerging

Multi-Style

II

Fund

–

Class

I

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

0.81

0.74

AQR

Emerging

Multi-Style

II

Fund

–

Class

N

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

1.04

0.98

AQR

Emerging

Multi-Style

II

Fund

–

Class

R6

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

0.72

0.64

AQR

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.42

0.40

AQR

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.67

0.65

AQR

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.31

0.30

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.66

0.60

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.91

0.85

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.56

0.50

AQR

International

Momentum

Style

Fund

–

Class

I

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

0.59

0.55

AQR

International

Momentum

Style

Fund

–

Class

N

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

0.84

0.80

AQR

International

Momentum

Style

Fund

–

Class

R6

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

0.49

0.45

AQR

Large

Cap

Defensive

Style

Fund

–

Class

I

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

0.40

0.40

AQR

Large

Cap

Defensive

Style

Fund

–

Class

N

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

0.65

0.65

AQR

Large

Cap

Defensive

Style

Fund

–

Class

R6

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

0.30

0.30

*

Annualized

for

periods

less

than

one

year.

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

invests.

5

Portfolio

turnover

is

not

annualized.

6

The

following

table

represents

what

the

portfolio

turnover

rate

excluding

TBAs

would

have

been

for

AQR

Core

Plus

Bond

Fund

for

each

period

or

year

ended:

7

Includes

extraordinary

non-recurring

expenses

related

to

the

Funds'

reorganizations

and/or

the

closing

agreement

with

the

Internal

Revenue

Service

(“IRS”)

(Note

3).

Without

these

costs,

the

Expenses,

Before

Reimbursements

and/or

Waivers,

and

Expenses,

Net

of

Reimbursements

and/or

Waivers

would

have

been:

8

Excludes

activity

related

to

Funds’

reorganizations.

117

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Large

Cap

Multi-Style

Fund

–

Class

I

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

$0.19

1.18%

AQR

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.15

0.90

AQR

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.21

1.27

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.09

0.77

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.51

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.87

AQR

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.23

1.09

AQR

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.18

0.85

AQR

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.26

1.21

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.07

0.34

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.16

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.11

0.55

AQR

Emerging

Multi-Style

II

Fund

–

Class

I

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

0.23

2.28

AQR

Emerging

Multi-Style

II

Fund

–

Class

N

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

0.14

1.41

AQR

Emerging

Multi-Style

II

Fund

–

Class

R6

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

0.21

2.09

FUND

NET

INVESTMENT

INCOME

(LOSS)

PER

SHARE

NET

INVESTMENT

INCOME

(LOSS)

RATIO

AQR

Large

Cap

Multi-Style

Fund

–

Class

I

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

$0.11

1.16%

AQR

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.09

0.91

AQR

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.12

1.26

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.03

0.37

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.01

0.12

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.04

0.57

AQR

International

Multi-Style

Fund

–

Class

I

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

0.12

2.05

AQR

International

Multi-Style

Fund

–

Class

N

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

0.10

1.71

AQR

International

Multi-Style

Fund

–

Class

R6

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

0.15

2.50

AQR

Emerging

Multi-Style

II

Fund

–

Class

I

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

0.07

1.10

AQR

Emerging

Multi-Style

II

Fund

–

Class

N

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

0.06

1.03

AQR

Emerging

Multi-Style

II

Fund

–

Class

R6

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

0.06

0.97

AQR

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.05

0.38

AQR

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.02

0.13

AQR

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.06

0.46

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.02

0.14

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

(0.02)

(0.14)

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.03

0.25

AQR

International

Momentum

Style

Fund

–

Class

I

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

0.08

0.96

AQR

International

Momentum

Style

Fund

–

Class

N

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

0.06

0.67

AQR

International

Momentum

Style

Fund

–

Class

R6

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

0.09

1.08

AQR

Large

Cap

Defensive

Style

Fund

–

Class

I

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

0.16

1.26

AQR

Large

Cap

Defensive

Style

Fund

–

Class

N

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

0.13

1.01

AQR

Large

Ca

p

Defensive

Style

Fund

–

Class

R6

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

0.18

1.35

9

For

the

period

ended

September

30,

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:

10

Amount

is

less

than

$.005

per

share.

11

Includes

extraordinary

non-recurring

expenses

related

to

the

Funds’

reorganizations

and/or

the

closing

agreement

with

the

IRS

and

reimbursement

related

to

such

closing

agreement

(Note

3).

Without

these

costs

and

reimbursement,

the

Net

Investment

Income

(Loss)

Per

Share

and

Net

Investment

Income

(Loss)

Ratio

would

have

been:

12

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.

118

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2021

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2021

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.10

0.63%

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.37

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.73

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.08

0.35

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.13

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.10

0.43

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.24

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.26

2.02

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.29

2.38

FUND

NET

INVESTMENT

INCOME

(LOSS)

PER

SHARE

NET

INVESTMENT

INCOME

(LOSS)

RATIO

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

$0.03

0.12%

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

(0.02)

(0.11)

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.06

0.22

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.14

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.22

1.57

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.30

2.27

AQR

International

Equity

Fund

–

Class

I

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

0.21

1.86

AQR

International

Equity

Fund

–

Class

N

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

0.20

1.74

AQR

International

Equity

Fund

–

Class

R6

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

0.23

1.93

AQR

Emerging

Multi-Style

II

Fund

–

Class

I

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

0.22

1.90

AQR

Emerging

Multi-Style

II

Fund

–

Class

N

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

0.18

1.52

AQR

Emerging

Multi-Style

II

Fund

–

Class

R6

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

0.23

1.96

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

International

Equity

Fund

–

Class

I

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

$0.12

1.32%

AQR

International

Equity

Fund

–

Class

N

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

0.11

1.19

AQR

International

Equity

Fund

–

Class

R6

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

0.15

1.58

13

For

the

period

ended

September

30,

2017

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:

14

Excludes

impact

of

IRS

closing

agreement

tax

expense.

15

Includes

impact

of

IRS

closing

agreement

reimbursement.

16

For

the

period

ended

September

30,

2018

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

(Loss)

Per

Share

and

Net

Investment

Income

(Loss)

Ratio

would

have

been

as

follows:

17

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

18

For

the

period

ended

September

30,

2020

the

AQR

International

Equity

Fund

received

European

Union

("EU")

tax

reclaims.

Had

these

EU

tax

reclaims

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

19

Commencement

of

operations.

119

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

March

31,

2021,

the

Trust

consists

of

twenty-four

active

series, twelve

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

II

Fund

(formerly

AQR

TM

Emerging

Multi-Style

Fund),

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Global

Equity

Fund,

AQR

International

Equity

Fund

and

AQR

Core

Plus

Bond

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

for

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Global

Equity

Fund,

AQR

International

Equity

Fund

and AQR

Emerging

Multi-Style

II

Fund is

to

seek

long-term

capital

appreciation.

The

investment

objective

for

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund

and AQR

Core

Plus

Bond

Fund

is

to

seek

total

return.

Each

Fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Reorganization

On

March

8

and

March

15,

2021,

certain

Funds

(each,

an

“Acquiring

Fund”)

acquired

all

of

the

net

assets

of

another

existing

AQR

Fund

(each,

a

“Target

Fund”),

indicated

below,

pursuant

to

the

Agreement

and

Plan

of

Reorganization

approved

by

the

Funds’

Board

of

Trustees

in

November

2020.

Each

transaction

is

referred

to

as

a

“Reorganization”

and

the

transactions

are

referred

to

collectively

as

the

“Reorganizations.”

The

purpose

of

the

Reorganizations

was

to

combine

two

funds

with

comparable

investment

objectives

in

an

effort

to

achieve

operating

efficiencies

and

economies

of

scale.

As

a

result

of

the

Reorganizations,

the

Acquiring

Funds

are

the

legal

and

accounting

survivors.

The

Acquiring

Fund

and

Target

Fund

for

each

Reorganization

are

shown

in

the

table

below:

Acquiring

Funds

Target

Funds

Reorganization

Date

AQR

Large

Cap

Multi-Style

Fund

AQR

TM

Large

Cap

Multi-Style

Fund

March

8,

2021

AQR

Small

Cap

Multi-Style

Fund

AQR

TM

Small

Cap

Multi-Style

Fund

March

15,

2021

AQR

International

Multi-Style

Fund

AQR

TM

International

Multi-Style

Fund

March

8,

2021

AQR

TM

Emerging

Multi-Style

Fund*

AQR

Emerging

Multi-Style

Fund

March

8,

2021

AQR

Large

Cap

Momentum

Style

Fund

AQR

TM

Large

Cap

Momentum

Style

Fund

March

8,

2021

AQR

Small

Cap

Momentum

Style

Fund

AQR

TM

Small

Cap

Momentum

Style

Fund

March

15,

2021

AQR

International

Momentum

Style

Fund

AQR

TM

International

Momentum

Style

Fund

March

15,

2021

*

Effective

upon

the

closing

of

this

Reorganization,

the

name

of

the

“AQR

TM

Emerging

Multi-Style

Fund”

was

changed

to

“AQR

Emerging

Multi-Style

II

Fund.”

120

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

Reorganizations

were

accomplished

by

a

tax-free

exchange

of

shares

then

outstanding

of

the

same

share

class

of

the

Target

Funds

at

their

respective

net

asset

values

on

March

5

and

March

12,

2021,

respectively,

in

the

following

amounts

and

at

the

following

conversion

ratios:

Distributable

amounts

of

net

income

and

realized

gains

from

the

Target

Funds

were

distributed

prior

to

the

Reorganizations.

Certain

of

the Acquiring

Funds

will

distribute

additional

amounts

as

described

in

Note

16.

Immediately

prior

to

the

Reorganizations,

the

Acquiring

Funds’

net

assets

were

combined

with

the

Target

Funds’

net

assets,

including

unrealized

appreciation

amounts,

resulting

in

the

combined

net

assets

post

Reorganizations

shown

in

the

table

below.

Shares

prior

to

Target

Fund

Reorganization

Conversion

Ratio

Shares

of

Acquiring

Fund

Issued

in

Reorganization

AQR

Large

Cap

Multi-Style

Fund

Class

I

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

5,525,902

0.890629

4,921,526

Class

N

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

158,844

0.885088

140,591

Class

R6

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

13,217,657

0.892380

11,795,167

AQR

Small

Cap

Multi-Style

Fund

Class

I

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

1,143,630

0.859896

983,402

Class

N

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

288,094

0.860800

247,991

Class

R6

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

211,107

0.860378

181,631

AQR

International

Multi-Style

Fund

Class

I

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

1,796,579

0.965353

1,734,332

Class

N

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

119,349

0.965842

115,272

Class

R6

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

15,749,851

0.968196

15,248,944

AQR

Emerging

Multi-Style

II

Fund

Class

I

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

3,756,878

0.947293

3,558,865

Class

N

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

312,280

0.945761

295,342

Class

R6

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

16,944,635

0.948341

16,069,284

AQR

Large

Cap

Momentum

Style

Fund

Class

I

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

5,216,293

1.288867

6,723,107

Class

N

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

212,216

1.283283

272,334

Class

R6

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

3,903,981

1.291903

5,043,566

AQR

Small

Cap

Momentum

Style

Fund

Class

I

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

1,942,933

1.030939

2,003,046

Class

N

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

135,347

1.022310

138,366

Class

R6

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

207,334

1.034201

214,425

AQR

International

Momentum

Style

Fund

Class

I

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

4,199,742

0.877840

3,686,702

Class

N

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

202,661

0.875726

177,475

Class

R6

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

3,571,928

0.876677

3,131,428

ACQUIRING

FUND/TARGET

FUND 

ACQUIRING

FUND

NET

ASSETS

PRIOR

TO

REORGANIZATION 

TARGET

FUND

NET

ASSETS

PRIOR

TO

REORGANIZATION 

COMBINED

FUND

NET

ASSETS

POST

REORGANIZATION

TARGET

FUND

NET

UNREALIZED

APPRECIATION 

AQR

Large

Cap

Multi-Style

Fund/

AQR

TM

Large

Cap

Multi-Style

Fund 

$1,150,816,072 

$314,032,634 

$1,464,848,706 

$124,523,993 

AQR

Small

Cap

Multi-Style

Fund/

AQR

TM

Small

Cap

Multi-Style

Fund 

130,315,750 

26,893,978 

157,209,728 

10,894,639 

AQR

International

Multi-Style

Fund/

AQR

TM

International

Multi-Style

Fund 

279,407,628 

212,240,858 

491,648,486 

58,223,609 

AQR

Emerging

Multi-Style

II

Fund/

AQR

Emerging

Multi-Style

Fund 

402,853,427 

254,056,199 

656,909,626 

61,233,335 

AQR

Large

Cap

Momentum

Style

Fund/

AQR

TM

Large

Cap

Momentum

Style

Fund 

788,109,755 

280,427,451 

1,068,537,206 

133,119,654 

AQR

Small

Cap

Momentum

Style

Fund/

AQR

TM

Small

Cap

Momentum

Style

Fund 

251,959,787 

64,534,933 

316,494,720 

30,188,500 

AQR

International

Momentum

Style

Fund/

AQR

TM

International

Momentum

Style

Fund 

456,914,126 

126,421,347 

583,335,473 

37,884,254 

121

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

For

financial

reporting

purposes,

net

asset

received

and

shares

issued

by

the

Acquiring

Funds

were

recorded

at

fair

value.

However,

the

cost

basis

of

the

investments

received

from

the

Target

Funds

was

carried

forward

to

align

ongoing

reporting

of

the

Acquiring

Funds’

realized

and

unrealized

gains

and

losses

with

amounts

distributable

to

shareholders

for

tax

purposes.

Assuming

that

the

Reorganizations

had

been

completed

on

October

1,

2020,

the

beginning

of

the

Acquiring

Funds’

reporting

period,

the

Acquiring

Funds’

pro

forma

results

of

operations

for

the

period

ended

March

31,

2021

would

be:

Because

the

combined

funds

have

been

managed

as

a

single

integrated

fund

since

the

Reorganizations

were

completed,

it

is

not

practical

to

separate

the

results

of

operations

of

the

Target

Funds

that

have

been

included

in

the

Acquiring

Funds’

Statement

of

Operations

since

the

Reorganization

Dates.

Reorganization

costs

incurred

by

the

Funds

were paid

by

the

Funds

up

to

a

threshold

approved

by

the

Fund’s

Board.

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

4.

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.

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.

Net

Investment

Income

(Loss)

Net

realized

gain

(loss)

Net

change

in

unrealized

appreciation

(depreciation)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

AQR

Large

Cap

Multi-Style

Fund

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

$

8,611,411

$

110,736,228

$

172,656,716

$

292,004,355

AQR

Small

Cap

Multi-Style

Fund

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

4

91,625

44,335,097

21,850,895

66,

677,617

AQR

International

Multi-Style

Fund

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

4,388,799

15,950,598

75,460,440

95,799,837

AQR

Emerging

Multi-Style

II

Fund

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

2,

705,259

42,439,132

79,058,025

124,202,416

AQR

Large

Cap

Momentum

Style

Fund

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

2,128,856

140,006,917

2,135,905

144,271,678

AQR

Small

Cap

Momentum

Style

Fund

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

226,321

41,107,705

53,582,340

94,916,366

AQR

International

Momentum

Style

Fund

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

2,708,643

29,231,009

36,439,573

68,379,225

122

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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. 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

notification.

Non-cash

dividends

included

in

dividend

income,

if

any,

are

recorded

at

the

fair

value

of

the

securities

received. The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Funds

may

file

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

previously

withheld.

The

Funds

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon

their

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which

they

invest. As

a

result

of

rulings

from

European

courts,

the

Funds

filed

for

additional

reclaims

related

to

prior

years.

Income

recognized,

if

any,

for

European

Union

(“EU”)

reclaims

is

reflected

as

dividend

income

in

the

Statements

of

Operations.

EU

reclaims

are

recorded

when

the

amount

is

known

and

there

are

no

significant

uncertainties

on

collectability.

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.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

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,

realized

and

unrealized

gains

and

losses

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. 

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

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.

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”

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.

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

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

March

31,

2021,

the

Funds

had

no

examinations

in

progress.

Certain

Funds

have

agreed

to

the

terms

of

a

closing

agreement

with

the

Internal

Revenue

Service

(“IRS”)

as

a

result

of

overstated

qualified

dividend

income

(QDI)

reported

to

shareholders

for

the

tax

year

ended

September

30,

2017.

The

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-

Style

Fund,

AQR

Emerging

Multi-Style

II

Fund,

and

AQR

Large

Cap

Defensive

Style

Fund,

recorded

a

tax

expense

of

$150,861,

$3,097,

$8,261,

and

$19,146,

respectively,

of

which,

all

amounts

have

been

reimbursed

by

an

independent

third-party

service

provider

to

the

Trust.

Amounts

reimbursed

were

recorded

in

income

on

the

Statements

of

Operations.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

AQR

Core

Plus

Bond

Fund's

distributions

from

net

investment

income

are

generally

declared

and

distributed

monthly.

For

all

other

Funds,

distributions

from

net

investment

income,

if

any,

are

generally

declared

and

distributed

at

least

annually.

All

of

the

Funds

generally

declare

and

distribute

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.

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.

123

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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.

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

as

well

as

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

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.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

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. 

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

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

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

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

create

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

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

an

unrealized

gain

or

loss.

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

or

loss

on

swap

contracts

in

the

Statements

of

Operations.

124

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

derivatives

in

the

Statements

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

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.

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. 

Delayed

Delivery

Securities:

During

the

period, certain

Funds

transacted

in

securities

on

a

delayed

delivery

basis.

Payment

and

delivery

may

take

place

after

the

customary

settlement

period

for

that

security.

The

price

of

the

underlying

securities

and

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

securities

purchased

on

a

delayed

delivery

basis

are

identified

as

such

in

the

Fund's

Schedule

of

Investments.

The

Funds

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

With

respect

to

purchase

commitments,

the

Funds

identified

securities

as

segregated

in

their

records

with

a

value

at

least

equal

to

the

amount

of

the

commitment.

Losses

may

arise

due

to

changes

in

the

value

of

the

underlying

securities

or

if

the

counterparty

does

not

perform

under

the

contract

terms. 

To-Be-Announced

Commitments:

Certain Funds

may

invest

in

To-Be-Announced

(“TBA”)

commitments.

TBA

commitments

are

forward

agreements

for

the

purchase

or

sale

of

mortgage-backed

securities

for

a

fixed

price,

with

payment

and

delivery

on

an

agreed

upon

future

settlement

date.

The

term

TBA

is

derived

from

the

fact

that

the

actual

mortgage-backed

securities

that

will

be

delivered

to

fulfill

a

TBA

commitment

are

not

designated

at

the

time

the

trade

is

made

and

settlement

of

the

securities

often

takes

place

after

the

customary

settlement

period

for

mortgage-backed

securities.

The

price

and

specified

terms,

including

issuer,

rate

and

mortgage

terms

of

the

underlying

securities,

as

well

as

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

actual

pool

of

mortgage-backed

securities

to

be

delivered

is

announced

48

hours

prior

to

the

established

trade

settlement

date.

Settlement

of

TBA

commitments

can

occur

in

two

ways:

i

)

taking

or

making

delivery

of

mortgage

pools/securities;

or

ii)

pairing-off

with

an

offsetting

trade

for

cash

settlement.

The

Funds

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

Investing

in

TBA

commitments,

which

are

accounted

for

as

purchases

and

sales

transactions,

involve

a

risk

of

loss

due

to

changes

in

the

value

of

the

security

prior

to

the

settlement

date

as

well

as

the

risk

that

the

counterparty

to

the

transaction

will

not

perform

its

obligations.

The

Funds

is

subject

to

this

risk

whether

or

not

the

Funds

take

delivery

of

the

positions

on

the

settlement

date

for

a

transaction.

TBA

commitments

outstanding

at

period

end,

if

any,

are

disclosed

in

the

Fund’s

Schedule

of

Investments.

Securities

Lending:

Certain

Funds

may

lend

securities

to

qualified

borrowers

approved

by

the

Adviser

in

order

to

generate

additional

income.

Securities

loaned

are

collateralized

by

cash

or

securities

issued

by

the

U.S.

Treasury

valued

at

102%

to

105%

of

the

market

value

of

the

securities

on

loan.

The

Funds

may

invest

cash

collateral

in

money

market

funds

as

indicated

on

the

Schedule

of

Investments.

The

Funds

bear

the

risk

of

loss

associated

with

the

collateral

investments

and

are

not

entitled

to

additional

collateral

from

the

borrower

to

cover

any

such

losses.

125

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

Daily

market

fluctuations

could

cause

the

value

of

loaned

securities

to

be

more

or

less

than

the

value

of

the

collateral

received.

When

this

occurs,

the

collateral

is

adjusted

and

settled

on

the

next

business

day.

Securities

lending

also

involves

counterparty

risks,

including

the

risk

that

the

loaned

securities

may

not

be

returned

in

a

timely

manner

or

at

all.

In

the

event

of

a

default

by

a

borrower

with

respect

to

any

loan,

the

lending

agent

will

exercise

any

and

all

remedies

provided

under

the

applicable

borrower

agreement

to

make

the

Funds

whole.

If,

despite

such

efforts

by

the

lending

agent

to

exercise

these

remedies,

the

Funds

sustain

losses

as

a

result

of

a

borrower’s

default,

the

lending

agent

indemnifies

the

Funds

by

purchasing

replacement

securities

at

its

expense,

or

paying

the

Funds

an

amount

equal

to

the

market

value

of

the

replacement

securities,

subject

to

certain

limitations

which

are

set

forth

in

the

Securities

Lending

Agency

Agreement

between

the

Funds

and

the

lending

agent.

Non-cash

collateral

received,

if

any,

is

disclosed

in

a

footnote

to

the

Schedules

of

Investments

for

each

Fund.

Securities

lending

income,

net

on

the

Statements

of

Operations

represents

fees

charged

to

borrowers

plus

income

earned

on

invested

cash

collateral

and

non-cash

collateral,

less

expenses

associated

with

the

loan.

Certain

of

the

securities

on

loan

may

have

been

sold

prior

to

the

close

of

the

reporting

period

and

are

included

in

Receivables

for

Securities

Sold

on

the

Statements

of

Assets

and

Liabilities.

Security

loans

can

be

terminated

at

the

discretion

of

either

the

lending

agent

or

the

Fund

and

the

related

securities

must

be

returned

within

the

earlier

of

the

standard

trade

settlement

period

for

such

securities

or

within

three

business

days.

At

period

end,

Funds

with

investments

securities

on

loan

disclose

the

balance

of

such

securities

on

loan

in

the

footnotes

to

the

Schedule

of

Investments. The

fair

value

of

the

Funds'

investment

securities

on

loan

and

a

related

liability

for

collateral

received

on

securities

loaned

are

both

presented

gross

on

the

Statements

of

Assets

and

Liabilities.

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.

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.

126

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

collateral

requirements

for

TBA

commitments

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

the

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Typically,

the

Fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

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.

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”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

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.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

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

VC

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

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

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.

127

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

4:00pm

Eastern

Standard

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.

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

their

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

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. 

128

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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. 

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

1,351,722,222

$

–

$

–

$

1,351,722,222

Preferred

Stocks

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

494,527

–

–

494,527

Securities

Lending

Collateral

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

1,014,848

–

–

1,014,848

Short-Term

Investments

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

62,252,735

–

–

62,252,735

Futures

Contracts*

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

1,142,531

–

–

1,142,531

Total

Assets

$

1,416,626,863

$

–

$

–

$

1,416,626,863

AQR

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

142,343,568

$

–

$

105,185

$

142,448,753

Preferred

Stocks

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

168,065

–

–

168,065

Securities

Lending

Collateral

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

2,720,175

–

–

2,720,175

Short-Term

Investments

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

2,214,092

–

–

2,214,092

Total

Assets

$

147,445,900

$

–

$

105,185

$

147,551,085

LIABILITIES

Futures

Contracts*

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

$

(86,666)

$

–

$

–

$

(86,666)

Total

Liabilities

$

(86,666)

$

–

$

–

$

(86,666)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

54,160,487

$

426,376,004

$

–

$

480,536,491

Short-Term

Investments

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

16,806,100

–

–

16,806,100

Total

Assets

$

70,966,587

$

426,376,004

$

–

$

497,342,591

LIABILITIES

Futures

Contracts*

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

$

(68,455)

$

–

$

–

$

(68,455)

Total

Liabilities

$

(68,455)

$

–

$

–

$

(68,455)

AQR

EMERGING

MULTI-STYLE

II

FUND

(FORMERLY

KNOWN

AS

AQR

TM

EMERGING

MULTI-STYLE

FUND)

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

177,256,320

$

449,632,853

$

–

$

626,889,173

Securities

Lending

Collateral

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

1,202,723

–

–

1,202,723

Short-Term

Investments

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

17,896,961

–

–

17,896,961

Total

Assets

$

196,356,004

$

449,632,853

$

–

$

645,988,857

LIABILITIES

Futures

Contracts*

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

$

(176,528)

$

–

$

–

$

(176,528)

Total

Liabilities

$

(176,528)

$

–

$

–

$

(176,528)

129

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

1,048,816,008

$

–

$

–

$

1,048,816,008

Securities

Lending

Collateral

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

1,173,035

–

–

1,173,035

Short-Term

Investments

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

19,210,985

–

–

19,210,985

Futures

Contracts*

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

110,178

–

–

110,178

Total

Assets

$

1,069,310,206

$

–

$

–

$

1,069,310,206

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

277,912,857

$

–

$

76,881

$

277,989,738

Securities

Lending

Collateral

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

17,088,508

–

–

17,088,508

Short-Term

Investments

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

8,778,483

–

–

8,778,483

Total

Assets

$

303,779,848

$

–

$

76,881

$

303,856,729

LIABILITIES

Futures

Contracts*

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

$

(394,824)

$

–

$

–

$

(394,824)

Total

Liabilities

$

(394,824)

$

–

$

–

$

(394,824)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

72,205,797

$

467,450,226

$

–

(a)

$

539,656,023

Securities

Lending

Collateral

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

153,795

–

–

153,795

Short-Term

Investments

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

23,255,970

–

–

23,255,970

Total

Assets

$

95,615,562

$

467,450,226

$

–

(a)

$

563,065,788

LIABILITIES

Futures

Contracts*

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

$

(76,592)

$

–

$

–

$

(76,592)

Total

Liabilities

$

(76,592)

$

–

$

–

$

(76,592)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

5,724,606,430

$

–

$

–

$

5,724,606,430

Securities

Lending

Collateral

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

5,881,275

–

–

5,881,275

Short-Term

Investments

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

71,971,328

–

–

71,971,328

Futures

Contracts*

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

172,138

–

–

172,138

Total

Assets

$

5,802,631,171

$

–

$

–

$

5,802,631,171

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

24,878,809

$

208,263,766

$

–

$

233,142,575

Short-Term

Investments

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

12,030,506

–

–

12,030,506

Total

Assets

$

36,909,315

$

208,263,766

$

–

$

245,173,081

LIABILITIES

Futures

Contracts*

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

$

(37,341)

$

–

$

–

$

(37,341)

Total

Liabilities

$

(37,341)

$

–

$

–

$

(37,341)

AQR

GLOBAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

224,208,768

$

98,401,871

$

–

(a)

$

322,610,639

Short-Term

Investments

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

35,035,412

–

–

35,035,412

Futures

Contracts*

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

2,081,914

–

–

2,081,914

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,241,044

–

5,241,044

Total

Return

Swaps

Contracts*

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

–

394,600

–

394,600

Total

Assets

$

261,326,094

$

104,037,515

$

–

(a)

$

365,363,609

LIABILITIES

Futures

Contracts*

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

$

(64,244)

$

–

$

–

$

(64,244)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(6,670,816)

–

(6,670,816)

Total

Return

Swaps

Contracts*

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

–

(236,364)

–

(236,364)

Total

Liabilities

$

(64,244)

$

(6,907,180)

$

–

$

(6,971,424)

130

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price. 

The

following

table

includes

a

rollforward

of

the

balances

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

period

for

each

Fund

that

held

Level

3

securities

that

were

considered

quantitatively

significant:

AQR

INTERNATIONAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

104,468,424

$

–

(a)

$

104,468,424

Short-Term

Investments

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

13,072,623

–

–

13,072,623

Futures

Contracts*

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

969,728

–

–

969,728

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,271,998

–

1,271,998

Total

Return

Swaps

Contracts*

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

–

156,534

–

156,534

Total

Assets

$

14,042,351

$

105,896,956

$

–

(a)

$

119,939,307

LIABILITIES

Futures

Contracts*

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

$

(55,437)

$

–

$

–

$

(55,437)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,921,750)

–

(1,921,750)

Total

Return

Swaps

Contracts*

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

–

(150,706)

–

(150,706)

Total

Liabilities

$

(55,437)

$

(2,072,456)

$

–

$

(2,127,893)

AQR

CORE

PLUS

BOND

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Corporate

Bonds

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

$

–

$

22,375,360

$

–

$

22,375,360

Foreign

Government

Securities

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

–

13,676,309

–

13,676,309

Mortgage-Backed

Securities

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

–

27,444,374

–

27,444,374

U.S.

Treasury

Obligations

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

–

26,146,684

–

26,146,684

Short-Term

Investments

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

7,710,958

–

–

7,710,958

Futures

Contracts*

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

125,778

–

–

125,778

Forward

Foreign

Currency

Exchange

Contracts*

........

–

783,605

–

783,605

Interest

Rate

Swap

Contracts*

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

–

2,356,861

–

2,356,861

Credit

Default

Swap

Contracts*

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

–

483,848

–

483,848

Total

Assets

$

7,836,736

$

93,267,041

$

–

$

101,103,777

LIABILITIES

TBA

Sale

Commitments

(Sold

Short)

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

$

–

$

(3,930,727)

$

–

$

(3,930,727)

Futures

Contracts*

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

(289,345)

–

–

(289,345)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(548,881)

–

(548,881)

Interest

Rate

Swap

Contracts*

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

–

(2,927,316)

–

(2,927,316)

Credit

Default

Swap

Contracts*

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

–

(437,298)

–

(437,298)

Total

Liabilities

$

(289,345)

$

(7,844,222)

$

–

$

(8,133,567)

*

Derivative

instruments,

including

futures,

forward

foreign

currency

exchange

and

total

return

swap

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Funds

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

contracts

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

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.

AQR

SMALL

CAP

MULTI-STYLE

FUND

COMMON

STOCKS

Balance

as

of

September

30,

2020

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

$

–

Accrued

discounts/(premiums)

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

–

Realized

gain/(loss)

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

1,374

Change

in

unrealized

appreciation/(depreciation)

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

(149,667)

Purchases

1

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

68,492

Sales

2

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

(300,470)

Transfers

into

Level

3

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

485,456

Transfers

out

of

Level

3

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

–

Balance

as

of

March

31,

2021

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

$

105,185

Change

in

Unrealized

appreciation/(depreciation)

for

the

securities

still

held

at

March

31,

2021

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

$

(43,632)

131

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

The

following

table

summarizes

the

quantitative

inputs

and

assumptions

used

in

the

valuation

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

year

ended March

31,

2021

for

the

AQR

Small

Cap

Multi-Style

Fund:

Quantitative

Information

about

Level

3

Fair

Value

Measurements

AQR

SMALL

CAP

MULTI-STYLE

FUND

*

Represents

amounts

used

when

the

reporting

entity

has

determined

that

market

participants

would

take

into

account

discounts,

as

applicable,

when

pricing

the

investments.

**

The

weighted

averages

disclosed

in

the

table

above

were

weighted

by

relative

fair

value.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

of AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund

which

are

considered

quantitatively

insignificant

for

additional

disclosure. 

Federal

Income

Tax

Matters

At

March

31,

2021,

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

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals.

The

Funds’

tax

basis

capital

gains

and

losses

are

determined

only

at

the

end

of

the

year. 

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.

INVESTMENT

TYPE

TOTAL

FAIR

VALUE

VALUATION

METHODOLOGY

UNOBSERVABLE

INPUT(S)

INPUT

VALUE/

RANGE

WEIGHTED

AVERAGE**

Common

Stocks

$105,185

Liquidation

Analysis

Discount

for

Lack

of

Marketability*

9.01%

-

14.61%

12.92%

Term

0.25

-

0.83

years

0.65

years

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Large

Cap

Multi-Style

Fund

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

$

892,677,210

$

530,336,325

$

(6,386,672)

$

523,949,653

AQR

Small

Cap

Multi-Style

Fund

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

94,951,445

53,615,623

(1,102,649)

52,512,974

AQR

International

Multi-Style

Fund

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

378,975,290

127,549,238

(9,250,392)

118,298,846

AQR

Emerging

Multi-Style

II

Fund

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

433,266,848

219,245,911

(6,700,430)

212,545,481

AQR

Large

Cap

Momentum

Style

Fund

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

706,298,553

370,125,255

(7,113,602)

363,011,653

AQR

Small

Cap

Momentum

Style

Fund

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

198,450,334

109,044,446

(4,032,875)

105,011,571

AQR

International

Momentum

Style

Fund

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

411,035,790

155,174,924

(3,221,518)

151,953,406

AQR

Large

Cap

Defensive

Style

Fund

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

3,894,486,039

1,919,782,184

(11,637,052)

1,908,145,132

AQR

International

Defensive

Style

Fund

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

197,071,485

53,891,285

(5,827,030)

48,064,255

AQR

Global

Equity

Fund

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

277,994,732

90,184,268

(9,786,815)

80,397,453

AQR

International

Equity

Fund

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

97,347,335

24,286,938

(3,822,859)

20,464,079

AQR

Core

Plus

Bond

Fund

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

93,602,951

2,840,925

(3,473,666)

(632,741)

132

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

As

of

September

30,

2020,

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.

In

connection

with

the

Reorganizations

described

in

Note

2,

certain

of

the

Acquiring

Funds

acquired

capital

loss

carryforwards

as

noted

in

the

table

below.

In

addition

to

the

acquired

capital

loss

carryforwards,

the

Acquiring

Funds

also

acquired

unrealized

capital

losses.

The

yearly

utilization

of

the

acquired

capital

loss

carryforwards

and unrealized

capital

losses

may

be

limited

by

the

Internal

Revenue

Code.

Investment

Transactions

During

the period

ended

March

31,

2021,

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 period

ended

March

31,

2021,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations

as

follows:

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.

FUND

SHORT-TERM

LONG

TERM

AQR

Small

Cap

Multi-Style

Fund

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

$

41,223,338

$

—

AQR

International

Multi-Style

Fund

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

21,052,855

—

AQR

Emerging

Multi-Style

II

Fund

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

25,598,453

—

AQR

International

Momentum

Style

Fund

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

30,986,685

—

AQR

Large

Cap

Defensive

Style

Fund

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

92,274,786

—

AQR

International

Defensive

Style

Fund

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

750,444

7,558,678

AQR

Global

Equity

Fund

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

23,341,252

—

AQR

International

Equity

Fund

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

24,367,591

—

ACQUIRING FUND 

TARGET

FUND 

SHORT-TERM 

LONG

TERM 

AQR

Large

Cap

Multi-Style

Fund 

AQR

TM

Large

Cap

Multi-Style

Fund 

$2,969,309 

$— 

AQR

Small

Cap

Multi-Style

Fund 

AQR

TM

Small

Cap

Multi-Style

Fund 

108,184 

—

AQR

International

Multi-Style

Fund 

AQR

TM

International

Multi-Style

Fund 

10,761,920 

1,259,120 

AQR

Emerging

Multi-Style

II

Fund 

AQR

Emerging

Multi-Style

Fund 

3,183,710 

—

AQR

International

Momentum

Style

Fund 

AQR

TM

International

Momentum

Style

Fund 

20,673,082 

—

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Large

Cap

Multi-Style

Fund

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

$

367,300,186

$

559,791,338

$

—

$

—

AQR

Small

Cap

Multi-Style

Fund

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

45,212,303

223,730,205

—

—

AQR

International

Multi-Style

Fund

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

97,161,295

91,309,575

—

—

AQR

Emerging

Multi-Style

II

Fund

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

196,467,737

125,177,849

—

—

AQR

Large

Cap

Momentum

Style

Fund

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

361,845,361

435,444,264

—

—

AQR

Small

Cap

Momentum

Style

Fund

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

96,067,857

146,405,081

—

—

AQR

International

Momentum

Style

Fund

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

165,450,830

199,943,568

—

—

AQR

Large

Cap

Defensive

Style

Fund

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

557,856,207

1,227,718,586

—

—

AQR

International

Defensive

Style

Fund

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

34,506,101

18,351,380

—

—

AQR

Global

Equity

Fund

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

149,691,721

152,189,330

—

—

AQR

International

Equity

Fund

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

46,974,910

58,857,916

—

—

AQR

Core

Plus

Bond

Fund

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

487,167,587

532,380,363

370,751,217

367,626,210

FUND

PURCHASES

SALES

AQR

Core

Plus

Bond

Fund

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

$

103,851,553

$

117,741,127

133

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

March

31,

2021.

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

Equity

Risk

Exposure:

1,142,531

86,666

68,455

176,528

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

1,142,531

$

–

$

–

$

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(86,666)

(68,455)

(176,528)

1,142,531

86,666

68,455

176,528

Net

Fair

Value

of

Derivative

Contracts:

1,142,531

(173,332)

(136,910)

(353,056)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

1,142,531

(86,666)

(68,455)

(176,528)

1,142,531

173,332

136,910

353,056

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Equity

Risk

Exposure:

110,178

394,824

76,592

172,138

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

110,178

$

–

$

–

$

172,138

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(394,824)

(76,592)

–

110,178

394,824

76,592

172,138

Net

Fair

Value

of

Derivative

Contracts:

110,178

(789,648)

(153,184)

172,138

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

110,178

(394,824)

(76,592)

172,138

110,178

789,648

153,184

172,138

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

Equity

Risk

Exposure:

37,341

2,777,122

1,332,406

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

–

$

2,081,914

$

969,728

$

–

Swaps

at

Value

(Assets)

**

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

–

394,600

156,534

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(37,341)

(64,244)

(55,437)

–

Swaps

at

Value

(Liabilities)

**

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

–

(236,364)

(150,706)

–

37,341

2,777,122

1,332,406

–

Foreign

Exchange

Rate

Risk

Exposure:

–

11,911,860

3,193,748

1,332,486

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

–

5,241,044

1,271,998

783,605

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

–

(6,670,816)

(1,921,750)

(548,881)

–

11,911,860

3,193,748

1,332,486

Interest

Rate

Risk

Exposure:

–

–

–

5,699,302

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

–

–

125,778

Swaps

at

Value

(Assets)

**

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

–

–

–

2,356,861

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

–

–

(289,345)

Swaps

at

Value

(Liabilities)

**

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

–

–

–

(2,927,316)

–

–

–

5,699,302

Credit

Risk

Exposure:

–

–

–

921,148

Swaps

at

Value

(Assets)

**

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

–

–

–

483,848

Swaps

at

Value

(Liabilities)

**

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

–

–

–

(437,298)

–

–

–

921,148

Net

Fair

Value

of

Derivative

Contracts:

(74,682)

(683,638)

(379,386)

(1,140,220)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

(37,341)

2,017,670

914,291

(163,567)

Swaps

at

Value

**

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

–

158,236

5,828

(523,905)

134

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the period

ended

March

31,

2021:

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

–

(1,429,772)

(649,752)

234,724

*

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

.

*

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

9,614,962

887,362

2,304,973

6,229,005

Futures

Contracts

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

$

9,614,962

$

887,362

$

2,304,973

$

6,229,005

9,614,961.62

887,361.92

2,304,972.65

6,229,005.4

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

720,549

7,649

116,433

(109,557)

Futures

Contracts

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

720,549

7,649

116,433

(109,557

)

720,549

7,649

116,433

109,557

*

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

4,917,859

2,717,354

2,666,739

51,312,068

Futures

Contracts

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

$

4,917,859

$

2,717,354

$

2,666,739

$

51,312,068

4,917,858.67

2,717,354.19

2,666,739.24

51,312,067.99

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

91,565

(214,355)

333,502

(4,645,452)

Futures

Contracts

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

91,565

(214,355

)

333,502

(4,645,452

)

91,565

214,355

333,502

4,645,452

*

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

1,339,804

5,158,925

2,917,646

–

Futures

Contracts

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

$

1,339,804

$

3,229,946

$

1,894,466

$

–

Swap

Contracts

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

–

1,928,979

1,023,180

–

1,339,803.64

5,158,924.67

2,917,645.85

–

Foreign

Exchange

Rate

Risk

Exposure:

–

659,455

341,425

(48,179)

Forward

Foreign

Currency

Exchange

Contracts

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

–

659,455

341,425

(48,179

)

–

659,455

341,425

(48,179)

Interest

Rate

Risk

Exposure:

–

–

–

(978,777)

Futures

Contracts

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

–

–

–

(208,327

)

Swap

Contracts

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

–

–

–

(770,450

)

–

–

–

(978,777.09)

Credit

Risk

Exposure:

–

–

–

16,718

Swap

Contracts

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

–

–

–

16,718

–

–

–

16,718.26

135

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

posted

by

the

Funds’

as

of

March

31,

2021:

AQR

Global

Equity

Fund

*

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

195,389

1,206,868

471,077

–

Futures

Contracts

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

195,389

1,397,816

647,957

–

Swap

Contracts

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

–

(190,948

)

(176,878

)

–

195,389

1,206,868

471,077

–

Foreign

Exchange

Rate

Risk

Exposure:

–

1,392,221

33,640

24,190

Forward

Foreign

Currency

Exchange

Contracts

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

–

(1,392,221

)

(33,640

)

(24,190

)

–

1,392,221

33,640

24,190

Interest

Rate

Risk

Exposure:

–

–

–

275,217

Futures

Contracts

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

–

–

–

82,117

Swap

Contracts

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

–

–

–

(357,335

)

–

–

–

275,217

Credit

Risk

Exposure:

–

–

–

35,215

Swap

Contracts

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

–

–

–

35,216

–

–

–

35,215

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

CITG

.........

Forward

Foreign

Currency

Exchange

Contracts

$

2,620,263

$

(2,620,263)

$

–

$

–

$

–

$

–

CITI

..........

Total

Return

Swap

Contracts

36,451

(36,451)

–

–

–

–

GSIN

.........

Total

Return

Swap

Contracts

61,315

–

61,315

–

–

61,315

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

2,620,781

(2,620,781)

–

JPMC

.........

Total

Return

Swap

Contracts

296,834

(66,592)

230,242

Total

JPMC

2,917,615

(2,687,373)

230,242

–

–

230,242

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,635,644

(5,344,087)

291,557

–

–

291,557

136

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

AQR

Global

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

$5,586,272.

AQR

International

Equity

Fund

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

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

3,335,323

$

(2,620,263)

$

715,060

$

–

$

(715,060)

$

–

CITI

...........

Total

Return

Swap

Contracts

169,772

(36,451)

133,321

–

–

133,321

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,335,493

(2,620,781)

714,712

JPMC

..........

Total

Return

Swap

Contracts

66,592

(66,592)

–

Total

JPMC

3,402,085

(2,687,373)

714,712

–

(714,712)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

6,907,180

(5,344,087)

1,563,093

–

(1,429,772)

133,321

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

CITG

.........

Forward

Foreign

Currency

Exchange

Contracts

$

636,101

$

(636,101)

$

–

$

–

$

–

$

–

GSIN

.........

Total

Return

Swap

Contracts

14,659

(14,659)

–

–

–

–

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

635,897

(635,897)

–

JPMC

.........

Total

Return

Swap

Contracts

141,875

(9,343)

132,532

Total

JPMC

777,772

(645,240)

132,532

–

–

132,532

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

1,428,532

(1,296,000)

132,532

–

–

132,532

137

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

AQR

International

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

$3,177,953.

AQR

Core

Plus

Bond

Fund

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

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

960,854

$

(636,101)

$

324,753

$

–

$

(324,753)

$

–

GSIN

..........

Total

Return

Swap

Contracts

141,363

(14,659)

126,704

–

(126,704)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

960,896

(635,897)

324,999

JPMC

..........

Total

Return

Swap

Contracts

9,343

(9,343)

–

Total

JPMC

970,239

(645,240)

324,999

–

(324,999)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,072,456

(1,296,000)

776,456

–

(776,456)

–

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

$

396,109

$

(281,413)

$

114,696

$

–

$

(40,001)

$

74,695

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

387,496

(267,468)

120,028

–

–

120,028

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

783,605

(548,881)

234,724

–

(40,001)

194,723

138

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

AQR

Core

Plus

Bond

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

$646,244.

For

the period

ended

March

31,

2021,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

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

$

281,413

$

(281,413)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

267,468

(267,468)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

548,881

(548,881)

–

–

–

–

*

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

II

FUND

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

89,971,383

$

6,573,028

$

15,685,653

$

17,374,063

$

21,991,893

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

171,986,790

1,444,625

20,276,000

20,763,250

12,695,680

Ending

Notional

Balance

-

Short

–

–

–

–

–

*

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

7,192,120

$

18,317,700

$

171,596,467

$

14,997,553

$

84,937,244

Average

Notional

Balance

-

Short

–

–

–

–

49,798,185

Ending

Notional

Balance

-

Long

6,667,500

22,687,200

19,837,000

11,398,400

96,272,167

Ending

Notional

Balance

-

Short

–

–

–

–

62,219,050

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

–

–

–

–

220,559,471

Average

Settlement

Value

-

Sold

–

–

–

–

181,450,629

Ending

Value

-

Purchased

–

–

–

–

268,771,406

Ending

Value

-

Sold

–

–

–

–

241,613,973

Total

Return

Swaps:

Average

Notional

Balance

-

Long

–

–

–

–

17,881,111

Average

Notional

Balance

-

Short

–

–

–

–

13,264,016

Ending

Notional

Balance

-

Long

–

–

–

–

22,768,567

Ending

Notional

Balance

-

Short

–

–

–

–

13,037,281

139

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended

(the

“Investment

Management

Agreement”),

or

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended

(“Investment

Management

Agreement

II”),

each

entered

into

by

the

Trust,

on

behalf

of

the

Funds

(the

Investment

Management

Agreement

and

Investment

Management

Agreement

II

collectively

referred

to

herein

as

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 Investment

Management Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

*

AQR

INTERNATIONAL

EQUITY

FUND

AQR

CORE

PLUS

BOND

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

36,347,386

$

44,910,960

Average

Notional

Balance

-

Short

19,790,728

29,398,911

Ending

Notional

Balance

-

Long

40,844,772

28,894,145

Ending

Notional

Balance

-

Short

26,226,722

21,050,009

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

80,053,308

33,025,069

Average

Settlement

Value

-

Sold

62,312,521

46,030,396

Ending

Value

-

Purchased

67,605,602

26,490,002

Ending

Value

-

Sold

48,003,268

37,070,169

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

20,566,667

Average

Notional

Balance

-

Sell

Protection

–

19,416,667

Ending

Notional

Balance

-

Buy

Protection

–

22,110,000

Ending

Notional

Balance

-

Sell

Protection

–

10,060,000

Total

Return

Swaps:

Average

Notional

Balance

-

Long

8,905,578

–

Average

Notional

Balance

-

Short

8,489,959

–

Ending

Notional

Balance

-

Long

10,057,316

–

Ending

Notional

Balance

-

Short

7,301,595

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

302,389,630

Average

Notional

Balance

-

Receives

Fixed

Rate

–

259,543,963

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

192,599,790

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

166,770,711

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

FUND

RATIO

AQR

Large

Cap

Multi-Style

Fund

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

0.25%

AQR

Small

Cap

Multi-Style

Fund

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

0.45

AQR

International

Multi-Style

Fund

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

0.40

AQR

Emerging

Multi-Style

II

Fund

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

0.55(a)

AQR

Large

Cap

Momentum

Style

Fund

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

0.25

AQR

Small

Cap

Momentum

Style

Fund

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

0.45

AQR

International

Momentum

Style

Fund

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

0.40

AQR

Large

Cap

Defensive

Style

Fund

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

0.25

AQR

International

Defensive

Style

Fund

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

0.40

AQR

Global

Equity

Fund

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

0.60

AQR

International

Equity

Fund

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

0.65

AQR

Core

Plus

Bond

Fund

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

0.32

(a)

Effective

March

8,

2021,

the

Advisory

Fee

was

reduced

from

0.60%

to

0.55%

140

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

January

28,

2022

for

Class

I,

N,

and

R6

shares(a).

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

Fund

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

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

expense

reimbursement

to

the

Adviser.

A

repayment

shall

be

payable

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.

Allowable

repayment

amounts

for

the

Acquiring

Funds

were

not

impacted

as

a

result

of

the

Reorganizations.

For

the period

ended

March

31,

2021,

the

amounts reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at March

31,

2021

are

as

follows:

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Large

Cap

Multi-Style

Fund

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

0.15

%

0.15

%

0.05

%

AQR

Small

Cap

Multi-Style

Fund

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

0.15

0.15

0.05

AQR

International

Multi-Style

Fund

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

0.15

0.15

0.05

AQR

Emerging

Multi-Style

II

Fund

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

0.15

0.15

0.05

AQR

Large

Cap

Momentum

Style

Fund

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

0.15

0.15

0.05

AQR

Small

Cap

Momentum

Style

Fund

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

0.15

0.15

0.05

AQR

International

Momentum

Style

Fund

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

0.15

0.15

0.05

AQR

Large

Cap

Defensive

Style

Fund

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

0.15

0.15

0.05

AQR

International

Defensive

Style

Fund

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

0.15

0.15

0.05

AQR

Global

Equity

Fund

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

0.20

0.20

0.10

AQR

International

Equity

Fund

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

0.20

0.20

0.10

AQR

Core

Plus

Bond

Fund

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

0.15

0.15

0.05

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31

,

MARCH

31,

2021

MARCH

31,

2021

20

21

20

22

20

23

20

24

AQR

LARGE

CAP

MULTI-STYLE

FUND

Class

I

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

$

9,737

$

34,158

$

–

$

3,233

$

21,188

$

9,737

Class

N

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

496

4,521

–

2,378

1,647

496

Class

R6

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

41,630

149,466

–

39,079

68,757

41,630

Totals

$

51,863

$

188,145

$

–

$

44,690

$

91,592

$

51,863

AQR

SMALL

CAP

MULTI-STYLE

FUND

Class

I

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

$

32,384

$

69,301

$

5,431

$

9,987

$

21,499

$

32,384

Class

N

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

4,585

10,010

665

1,673

3,087

4,585

Class

R6

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

46,851

389,532

59,492

121,142

162,047

46,851

Totals

$

83,820

$

468,843

$

65,588

$

132,802

$

186,633

$

83,820

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Class

I

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

$

17,285

$

114,754

$

16,909

$

48,136

$

32,424

$

17,285

Class

N

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

1,423

9,800

1,492

3,854

3,031

1,423

Class

R6

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

67,512

467,064

78,412

177,061

144,079

67,512

Totals

$

86,220

$

591,618

$

96,813

$

229,051

$

179,534

$

86,220

AQR

EMERGING

MULTI-STYLE

II

FUND

Class

I

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

$

9,997

$

77,959

$

10,973

$

25,888

$

31,101

$

9,997

Class

N

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

481

3,412

1,199

985

747

481

Class

R6

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

152,196

963,982

194,418

279,500

337,868

152,196

Totals

$

162,674

$

1,045,353

$

206,590

$

306,373

$

369,716

$

162,674

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Class

I

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

$

39,092

$

209,636

$

–

$

75,024

$

95,520

$

39,092

Class

N

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

3,175

18,087

–

6,543

8,369

3,175

Class

R6

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

8,833

46,273

–

11,233

26,207

8,833

Totals

$

51,100

$

273,996

$

–

$

92,800

$

130,096

$

51,100

141

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

During

the period

ended

March

31,

2021,

the

Funds

recouped

amounts

as

follows:

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.

Principal

Risks

and

Concentrations

The

Funds

are

non-diversified.

Because

the

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Funds

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

Funds’

performance.

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31,

MARCH

31,

2021

MARCH

31,

2021

2021

2022

2023

2024

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Class

I

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

$

51,466

$

354,267

$

37,064

$

144,457

$

121,280

$

51,466

Class

N

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

1,384

6,521

192

1,986

2,959

1,384

Class

R6

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

17,155

63,697

1,566

12,412

32,564

17,155

Totals

$

70,005

$

424,485

$

38,822

$

158,855

$

156,803

$

70,005

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Class

I

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

$

52,091

$

435,692

$

78,431

$

174,075

$

131,095

$

52,091

Class

N

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

12,796

64,910

8,897

20,137

23,080

12,796

Class

R6

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

26,363

140,294

12,657

40,397

60,877

26,363

Totals

$

91,250

$

640,896

$

99,985

$

234,609

$

215,052

$

91,250

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Class

I

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

$

7,227

$

7,227

$

–

$

–

$

–

$

7,227

Class

N

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

1,183

64,825

3,165

29,867

30,610

1,183

Class

R6

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

5,063

195,332

–

79,843

110,426

5,063

Totals

$

13,473

$

267,384

$

3,165

$

109,710

$

141,036

$

13,473

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Class

I

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

$

55,435

$

413,961

$

60,063

$

174,650

$

123,813

$

55,435

Class

N

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

3,963

21,314

3,686

5,488

8,177

3,963

Class

R6

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

33,308

133,010

9,448

28,846

61,408

33,308

Totals

$

92,706

$

568,285

$

73,197

$

208,984

$

193,398

$

92,706

AQR

GLOBAL

EQUITY

FUND

Class

I

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

$

1,689

$

45,451

$

16,046

$

20,145

$

7,571

$

1,689

Class

N

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

623

2,025

172

507

723

623

Class

R6

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

32,897

107,318

14,768

20,740

38,913

32,897

Totals

$

35,209

$

154,794

$

30,986

$

41,392

$

47,207

$

35,209

AQR

INTERNATIONAL

EQUITY

FUND

Class

I

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

$

51,155

$

300,849

$

54,968

$

116,191

$

78,535

$

51,155

Class

N

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

2,098

9,291

1,243

3,822

2,128

2,098

Class

R6

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

35,853

86,825

6,471

18,088

26,413

35,853

Totals

$

89,106

$

396,965

$

62,682

$

138,101

$

107,076

$

89,106

AQR

CORE

PLUS

BOND

FUND

Class

I

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

$

69,434

$

168,284

$

3,626

$

20,579

$

74,645

$

69,434

Class

N

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

385

4,015

499

1,908

1,223

385

Class

R6

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

41,278

538,776

111,384

246,235

139,879

41,278

Totals

$

111,097

$

711,075

$

115,509

$

268,722

$

215,747

$

111,097

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Large

Cap

Multi-Style

Fund

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

$

705

$

26

$

1,379

AQR

Large

Cap

Defensive

Style

Fund

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

–

365

928

142

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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.

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).

Many

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.

On

July

27,

2017,

the

head

of

the United

Kingdom

"UK"

Financial

Conduct

Authority

(FCA) announced

a

desire

to

phase

out

the

use

of

LIBOR.

The

FCA

has

confirmed

that

all

LIBOR

settings

will

either

cease

to

be

provided

by

any

administrator

or

no

longer

be

representative:

(1)

immediately

after

31

December

2021,

in

the

case

of

all

British

Pound,

Euro,

Swiss

Franc

and

Japanese

Yen

settings,

and

the

1-week

and

2-month

USD

settings;

and

(2)

immediately

after

30

June

2023,

in

the

case

of

the

remaining

USD

settings.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates and global

consensus

is

growing

around

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR.

There

does

remain

some

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

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

the

Funds'

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Funds. 

Mortgage-related

and

other

mortgage-backed

securities

are

subject

to

certain

risks,

including

“extension

risk”

(i.e.,

in

periods

of

rising

interest

rates,

issuers

may

pay

principal

later

than

expected)

and

“prepayment

risk”

(i.e.,

in

periods

of

declining

interest

rates,

issuers

may

pay

principal

more

quickly

than

expected,

causing

the

Funds

to

reinvest

proceeds

at

lower

prevailing

interest

rates).

Exposure

to

mortgage-backed

securities

offered

by

non-

governmental

issuers

are

subject

to

other

risks

as

well,

including

failures

of

private

insurers

to

meet

their

obligations

and

unexpectedly

high

rates

of

default

on

the

mortgages

backing

the

securities. 

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

or

other

government

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

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility. 

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

or

other

government

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

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility.

143

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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. 

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,

economic

uncertainty,

trade

disputes,

public

health

crises

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.

Such

events

include

the

recent

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

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.

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. 

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.

144

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

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

also

could

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

data

supplied

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,

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,

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.

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.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

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

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interfund

lending

expense

in

the

Statements

of

Operations.

During

the

reporting

period,

average

borrowings

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

March

31,

2021

by

any

of

the

Funds

in

the

Trust. 

Line

of

Credit

Effective

March

20,

2021

and

terminating

on

March

19,

2022,

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)

1.25%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

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

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

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interest

expense

in

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of March

31,

2021

by

any

of

the

Funds

in

the

Trust.

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

PAID

AQR

Core

Plus

Bond

Fund

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

$

5,000,000

0.58

%

$

79

145

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

The

Funds

had

the

following

borrowings

during

the

period:

Principal

Ownership

As

of

March

31,

2021,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

New

Accounting

Pronouncements

and

Regulations 

In

March

2020,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2020-04

(“ASU

2020-04”),

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

ASU

2020-04

provides

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued.

ASU

2020-04

is

elective

and

is

effective

for

certain

reference

rate-

related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

is

currently

evaluating

the

impact,

if

any,

of

applying

ASU

2020-04.

In

October

2020,

the

Securities

and

Exchange

Commission

(the

“SEC”)

adopted

new

regulations

governing

the

use

of

derivatives

by

registered

investment

companies

(“Rule

18f-4”).

The

Trust

will

be

required

to

implement

and

comply

with

Rule

18f-4

by

August

19,

2022.

Once

implemented,

new

Rule

18f-4

will

replace

the

current

requirements

on

funds

to

“set

aside”

(often

referred

to

as

“asset

segregation”)

liquid

assets,

or

engage

in

other

SEC

or

staff-approved

measures,

to

“cover”

open

positions

with

respect

to

certain

kinds

of

derivative

instruments.

with

a

requirement

to

ensure

a

Fund

has

a

derivatives

risk

management

program

consistent

with

Rule

18f-4,

along

with

other

requirements

such

as

compliance

with

a

specific

value-at-risk

(“VaR”)

based

limit

on

leverage

risk.

The

Board

of

Trustees

will

have

an

oversight

role

in

ensuring

these

new

requirements

are

being

taken

into

account

and

will

appoint

a

derivatives

risk

manager

to

handle

the

day-to-day

responsibilities

of

the

derivatives

risk

management

program.

In

December

2020,

the

SEC

voted

to

adopt

a

new

rule

providing

a

framework

for

fund

valuation

practices.

New

Rule

2a-5

(“Rule

2a-5”)

under

the

1940

Act

establishes

requirements

for

determining

fair

value

in

good

faith

for

purposes

of

the

1940

Act.

Rule

2a-5

will

permit

boards,

subject

to

board

oversight

and

certain

other

conditions,

to

designate

certain

parties

to

perform

fair

value

determinations.

Rule

2a-5

also

defines

when

market

quotations

are

“readily

available”

for

purposes

of

the

1940

Act

and

the

threshold

for

determining

whether

a

fund

must

fair

value

a

security.

The

SEC

also

adopted

new

Rule

31a-4

(“Rule

31a-4”),

which

provides

the

recordkeeping

requirements

associated

with

fair

value

determinations.

Finally,

the

SEC

is

rescinding

previously

issued

guidance

on

related

issues,

including

the

role

of

the

board

in

determining

fair

value

and

the

accounting

and

auditing

of

fund

investments,

effective

as

of

the

2a-5

compliance

date.

Rule

2a-5

and

Rule

31a-4 became

effective

on

March

8,

2021.

The

compliance

date

for

Rule

2a-5

and

Rule

31a-4

is

September

8,

2022.

A

fund

is

not

required

to

comply

with

the

rules until

the

compliance

date.

Management

is

currently

assessing

the

impact

of

these

provisions

on

the

Funds’

financial

statements

and

various

filings.

FUND

AVERAGE

BORROWINGS

AVERAGE

INTEREST

RATE

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

PAID

AQR

Large

Cap

Multi-Style

Fund

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

$22,000,000

1.09%

6

$3,997

AQR

Small

Cap

Multi-Style

Fund

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

14,400,000

1.09

5

2,180

AQR

Small

Cap

Momentum

Style

Fund

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

1,500,000

1.09

6

273

AQR

Core

Plus

Bond

Fund

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

8,000,000

1.08

1

240

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Large

Cap

Multi-Style

Fund

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

4

94.20%

AQR

Small

Cap

Multi-Style

Fund

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

4

94.25

AQR

International

Multi-Style

Fund

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

4

94.76

AQR

Emerging

Multi-Style

II

Fund

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

4

96.46

AQR

Large

Cap

Momentum

Style

Fund

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

3

91.50

AQR

Small

Cap

Momentum

Style

Fund

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

3

91.60

AQR

International

Momentum

Style

Fund

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

3

96.13

AQR

Large

Cap

Defensive

Style

Fund

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

6

83.65

AQR

International

Defensive

Style

Fund

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

4

92.25

AQR

Global

Equity

Fund

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

3

95.86

AQR

International

Equity

Fund

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

4

74.47

AQR

Core

Plus

Bond

Fund*

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

5

87.84

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

46.45%.

146

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2021

March

31,

2021

(Unaudited)

Subsequent

Events 

In

conjunction

with

the

Reorganizations

described

in

Note

2,

certain

Target

Funds

inadvertently

failed

to

distribute

to

their

respective

shareholders

sufficient

investment

company

taxable

income

or

net capital

gains

in

amounts

for

the

tax

years

ending

on

the

Reorganization

dates

of

March

8,

2021 and

March

15,

2021,

respectively,

as

required

by

Subchapter

M

of

the

Internal

Revenue

Code.

In

order

to

meet

the

distribution

requirements

under

Subchapter

M

to

maintain

RIC

status,

the

respective Acquiring

Funds

each

paid

a

“deficiency

dividend,”

as

described

in

Section

860(f)

of

the

Internal

Revenue

Code,

in

the

amounts

below

on

May

27,

2021:

In

addition,

to

meet

its

2020

distribution

requirements

in

accordance

with

Section

855

of

the

Internal

Revenue

Code,

the

AQR

International

Equity

Fund

paid

an

additional

ordinary

income

distribution

of

$35,000

on

May

27th,

2021.

The

payments

of

these

dividends

fulfill

the

funds’

distribution

requirements

for

RIC

qualification

purposes,

thereby

preserving

the

funds’

RIC

status.

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

other

material

events.

ACQUIRING FUND 

TARGET

FUND 

ORDINARY

INCOME 

CAPITAL

GAINS 

AQR

Small

Cap

Multi-Style

Fund 

AQR

TM

Small

Cap

Multi-Style

Fund 

$22,756 

$— 

AQR

Large

Cap

Momentum

Style

Fund 

AQR

TM

Large

Cap

Momentum

Style

Fund 

—

6,125,047 

AQR

Small

Cap

Momentum

Style

Fund 

AQR

TM

Small

Cap

Momentum

Style

Fund 

—

451,801 

AQR

International

Momentum

Style

Fund 

AQR

TM

International

Momentum

Style

Fund 

43,550 

—

147

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2021

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

3/31/2021”

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

  3/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/21

AQR

Large

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,222.40

0.41%

$2.27

Hypothetical

Return

$1,000.00

$1,022.89

0.41%

$2.07

Class

N

Actual

Return

$1,000.00

$1,219.90

0.66%

$3.65

Hypothetical

Return

$1,000.00

$1,021.64

0.66%

$3.33

Class

R6

Actual

Return

$1,000.00

$1,222.60

0.31%

$1.72

Hypothetical

Return

$1,000.00

$1,023.39

0.31%

$1.56

AQR

Small

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,498.80

0.75%

1

$4.67

Hypothetical

Return

$1,000.00

$1,021.19

0.75%

1

$3.78

Class

N

Actual

Return

$1,000.00

$1,496.20

0.99%

1

$6.16

Hypothetical

Return

$1,000.00

$1,020.00

0.99%

1

$4.99

Class

R6

Actual

Return

$1,000.00

$1,498.40

0.62%

1

$3.86

Hypothetical

Return

$1,000.00

$1,021.84

0.62%

1

$3.13

AQR

International

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,220.20

0.56%

$3.10

Hypothetical

Return

$1,000.00

$1,022.14

0.56%

$2.82

Class

N

Actual

Return

$1,000.00

$1,219.00

0.81%

$4.48

Hypothetical

Return

$1,000.00

$1,020.89

0.81%

$4.08

Class

R6

Actual

Return

$1,000.00

$1,221.70

0.46%

$2.55

Hypothetical

Return

$1,000.00

$1,022.64

0.46%

$2.32

148

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2021

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/21

AQR

Emerging

Multi-Style

II

Fund

Class

I

Actual

Return

$1,000.00

$1,230.20

0.75%

$4.17

Hypothetical

Return

$1,000.00

$1,021.19

0.75%

$3.78

Class

N

Actual

Return

$1,000.00

$1,229.00

0.99%

$5.50

Hypothetical

Return

$1,000.00

$1,020.00

0.99%

$4.99

Class

R6

Actual

Return

$1,000.00

$1,230.90

0.65%

$3.62

Hypothetical

Return

$1,000.00

$1,021.69

0.65%

$3.28

AQR

Large

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,144.40

0.41%

$2.19

Hypothetical

Return

$1,000.00

$1,022.89

0.41%

$2.07

Class

N

Actual

Return

$1,000.00

$1,143.40

0.66%

$3.53

Hypothetical

Return

$1,000.00

$1,021.64

0.66%

$3.33

Class

R6

Actual

Return

$1,000.00

$1,145.20

0.31%

$1.66

Hypothetical

Return

$1,000.00

$1,023.39

0.31%

$1.56

AQR

Small

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,398.20

0.61%

$3.65

Hypothetical

Return

$1,000.00

$1,021.89

0.61%

$3.07

Class

N

Actual

Return

$1,000.00

$1,397.20

0.86%

$5.14

Hypothetical

Return

$1,000.00

$1,020.64

0.86%

$4.33

Class

R6

Actual

Return

$1,000.00

$1,399.30

0.51%

$3.05

Hypothetical

Return

$1,000.00

$1,022.39

0.51%

$2.57

AQR

International

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,127.10

0.56%

$2.97

Hypothetical

Return

$1,000.00

$1,022.14

0.56%

$2.82

Class

N

Actual

Return

$1,000.00

$1,126.10

0.81%

$4.29

Hypothetical

Return

$1,000.00

$1,020.89

0.81%

$4.08

Class

R6

Actual

Return

$1,000.00

$1,128.40

0.46%

$2.44

Hypothetical

Return

$1,000.00

$1,022.64

0.46%

$2.32

AQR

Large

Cap

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,117.30

0.40%

$2.11

Hypothetical

Return

$1,000.00

$1,022.94

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$1,115.70

0.65%

$3.43

Hypothetical

Return

$1,000.00

$1,021.69

0.65%

$3.28

Class

R6

Actual

Return

$1,000.00

$1,117.40

0.30%

$1.58

Hypothetical

Return

$1,000.00

$1,023.44

0.30%

$1.51

149

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2021

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

182/365

(to

reflect

the

one-half

year

period

unless

stated

oth

erwise).

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/21

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/21

AQR

International

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,127.30

0.55%

$2.92

Hypothetical

Return

$1,000.00

$1,022.19

0.55%

$2.77

Class

N

Actual

Return

$1,000.00

$1,125.50

0.80%

$4.24

Hypothetical

Return

$1,000.00

$1,020.94

0.80%

$4.03

Class

R6

Actual

Return

$1,000.00

$1,127.60

0.45%

$2.39

Hypothetical

Return

$1,000.00

$1,022.69

0.45%

$2.27

AQR

Global

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,203.40

0.80%

$4.39

Hypothetical

Return

$1,000.00

$1,020.94

0.80%

$4.03

Class

N

Actual

Return

$1,000.00

$1,202.00

1.05%

$5.76

Hypothetical

Return

$1,000.00

$1,019.70

1.05%

$5.29

Class

R6

Actual

Return

$1,000.00

$1,205.40

0.70%

$3.85

Hypothetical

Return

$1,000.00

$1,021.44

0.70%

$3.53

AQR

International

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,220.80

0.85%

$4.71

Hypothetical

Return

$1,000.00

$1,020.69

0.85%

$4.28

Class

N

Actual

Return

$1,000.00

$1,219.90

1.10%

$6.09

Hypothetical

Return

$1,000.00

$1,019.45

1.10%

$5.54

Class

R6

Actual

Return

$1,000.00

$1,222.00

0.75%

$4.15

Hypothetical

Return

$1,000.00

$1,021.19

0.75%

$3.78

AQR

Core

Plus

Bond

Fund

Class

I

Actual

Return

$1,000.00

$960.40

0.48%

$2.35

Hypothetical

Return

$1,000.00

$1,022.54

0.48%

$2.42

Class

N

Actual

Return

$1,000.00

$958.70

0.73%

$3.56

Hypothetical

Return

$1,000.00

$1,021.29

0.73%

$3.68

Class

R6

Actual

Return

$1,000.00

$960.90

0.38%

$1.86

Hypothetical

Return

$1,000.00

$1,023.04

0.38%

$1.92

1

Includes

extraordinary

non-recurring

expenses

related

to

the

Funds'

reorganizations

and/or

extraordinary

non-recurring

expenses

related

to

a

closing

agreement

with

the

IRS.

Without

these

costs,

the

total

expenses

and

total

expenses

after

fees

reimbursed

would

have

been

0.61%,

0.86%

and

0.51%

for

Class

I,

Class

N

and

Class

R6,

respectively

.

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

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.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

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 Securities and Exchange 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)      Not required for this filing.

(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.

section302

(a)(3)      Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.

(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.

section906

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

May 25, 2021

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

May 25, 2021

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

May 25, 2021