UNITED STATES

  SECURITIES AND EXCHANGE COMMISSION

        Washington, D.C. 20549

FORM N-CSR

   CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

           Investment Company Act file number: 811-22235

                              AQR Funds

(Exact name of registrant as specified in charter)

           One Greenwich Plaza, Suite 130

                 Greenwich, CT 06830

 (Address of principal executive offices) (Zip code)

         H.J. Willcox, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

One Greenwich Plaza, Suite 130

Greenwich, CT 06830

   (Name and Address of Agent for Service)

Registrant’s telephone number, including area code: 203-742-3600

Date of fiscal year end:  December 31

Date of reporting period:  January 1, 2023 to June 30, 2023

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

June

30,

2023

(Unaudited)

AQR

Alternative

Risk

Premia

Fund

AQR

Diversified

Arbitrage

Fund

AQR

Diversifying

Strategies

Fund

AQR

Equity

Market

Neutral

Fund

AQR

Long-Short

Equity

Fund

AQR

Macro

Opportunities

Fund

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

AQR

Multi-Asset

Fund

AQR

Risk-Balanced

Commodities

Strategy

Fund

AQR

Style

Premia

Alternative

Fund

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

Table

of

Contents

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

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

2

AQR

Diversified

Arbitrage

Fund

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

33

AQR

Diversifying

Strategies

Fund

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

56

AQR

Equity

Market

Neutral

Fund

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

57

AQR

Long-Short

Equity

Fund

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

77

AQR

Macro

Opportunities

Fund

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

105

AQR

Managed

Futures

Strategy

Fund

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

123

AQR

Managed

Futures

Strategy

HV

Fund

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

151

AQR

Multi-Asset

Fund

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

180

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

198

AQR

Style

Premia

Alternative

Fund

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

207

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

239

Financial

Statements

and

Notes

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

260

Fund

Expense

Examples

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

334

Board

Approval

of

Investment

Advisory

Agreements

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

337

Liquidity

Risk

Management

Program

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

340

2

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

244.4%

COMMON

STOCKS

-

177.2%

Australia

-

5.8%

ANZ

Group

Holdings

Ltd.

(2)(a)

28,007

443,345

Aristocrat

Leisure

Ltd.

(2)(a)

24,579

635,928

Atlas

Arteria

Ltd.

(2)(a)

43,339

179,986

Aurizon

Holdings

Ltd.

(2)(a)

93,088

243,537

BHP

Group

Ltd.

(2)(a)

26,836

806,742

BlueScope

Steel

Ltd.

(2)(a)

51,699

711,523

Brambles

Ltd.

(2)(a)

43,702

420,220

Coles

Group

Ltd.

(2)(a)

19,158

235,239

Computershare

Ltd.

(2)(a)

5,417

84,538

Harvey

Norman

Holdings

Ltd.

(2)(a)

91,787

213,492

Incitec

Pivot

Ltd.

(2)(a)

69,754

127,640

JB

Hi-Fi

Ltd.

(2)(a)

22,324

653,350

Medibank

Pvt

Ltd.

(2)(a)

59,653

140,123

Northern

Star

Resources

Ltd.

(2)(a)

36,104

294,135

Origin

Energy

Ltd.

(2)(a)

39,448

221,720

Pilbara

Minerals

Ltd.

(2)(a)

118,572

389,706

Pro

Medicus

Ltd.

(2)(a)

4,242

186,694

Qantas

Airways

Ltd.

(2)*(a)

110,403

457,523

Qube

Holdings

Ltd.

(2)(a)

145,497

277,312

Rio

Tinto

plc

(2)(a)

2,402

152,646

Sonic

Healthcare

Ltd.

(2)(a)

6,668

158,576

South32

Ltd.

(2)(a)

173,361

436,453

Suncorp

Group

Ltd.

(2)(a)

15,251

137,034

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

21,646

Telstra

Group

Ltd.

(2)(a)

213,025

611,105

Treasury

Wine

Estates

Ltd.

(2)(a)

11,251

84,373

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2)(a)

1,433

30,421

Wesfarmers

Ltd.

(2)(a)

7,371

243,017

Westpac

Banking

Corp.

(2)(a)

25,767

366,886

Whitehaven

Coal

Ltd.

(2)(a)

118,313

530,379

Worley

Ltd.

(2)(a)

23,286

245,884

9,741,173

—

Belgium

-

1.2%

Ageas

SA/NV

(2)(a)

15,081

611,372

Elia

Group

SA/NV

(2)(a)

460

58,445

Etablissements

Franz

Colruyt

NV

(2)(a)

5,386

200,869

Proximus

SADP

(2)(a)

62,435

465,594

Solvay

SA

(2)(a)

5,729

640,617

1,976,897

—

Brazil

-

0.4%

Yara

International

ASA

(2)

20,635

729,074

Canada

-

7.7%

Alimentation

Couche-Tard,

Inc.

(a)

4,984

255,568

ARC

Resources

Ltd.

(a)

26,499

353,453

Atco

Ltd.,

Class

I

(a)

10,314

307,065

Bank

of

Montreal

(a)

525

47,413

Bank

of

Nova

Scotia

(The)

(a)

11,695

585,125

Boyd

Group

Services,

Inc.

(a)

353

67,349

Canadian

National

Railway

Co.

(a)

1,769

214,216

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

2,786

380,902

Canadian

Utilities

Ltd.,

Class

A

(a)

3,879

100,463

Capital

Power

Corp.

(a)

16,213

515,242

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.7%

(continued)

CGI,

Inc.

*(a)

3,186

335,976

Constellation

Software,

Inc.

(a)

90

186,472

Descartes

Systems

Group,

Inc.

(The)

*(a)

732

58,637

Empire

Co.

Ltd.,

Class

A

(a)

16,633

472,466

Enerplus

Corp.

(a)

20,644

299,200

Fairfax

Financial

Holdings

Ltd.

(a)

744

557,285

Finning

International,

Inc.

(a)

3,770

115,967

Fortis,

Inc.

(a)

7,230

311,576

George

Weston

Ltd.

(a)

1,745

206,305

Hydro

One

Ltd.

(a)(b)

9,504

271,543

iA

Financial

Corp.,

Inc.

(a)

3,484

237,351

IGM

Financial,

Inc.

(a)

2,940

89,504

Imperial

Oil

Ltd.

(a)

9,281

474,857

Kinross

Gold

Corp.

(a)

11,825

56,414

Loblaw

Cos.

Ltd.

(a)

3,748

343,127

Magna

International,

Inc.

(a)

5,182

292,555

Manulife

Financial

Corp.

(a)

30,878

583,646

MEG

Energy

Corp.

*(a)

13,399

212,402

National

Bank

of

Canada

(a)

2,094

156,013

Northland

Power,

Inc.

(a)

15,025

313,373

Nutrien

Ltd.

(a)

1,112

65,650

Onex

Corp.

(a)

1,294

71,472

Open

Text

Corp.

(a)

12,348

513,587

Quebecor,

Inc.,

Class

B

(a)

9,384

231,280

Saputo,

Inc.

(a)

17,338

388,444

Stantec,

Inc.

(a)

3,706

241,957

Sun

Life

Financial,

Inc.

(a)

7,406

386,079

Suncor

Energy,

Inc.

(a)

8,125

238,337

Teck

Resources

Ltd.,

Class

B

(a)

11,119

467,842

TFI

International,

Inc.

(a)

3,897

443,989

TMX

Group

Ltd.

(a)

7,350

165,392

Toromont

Industries

Ltd.

(a)

459

37,707

Tourmaline

Oil

Corp.

(a)

14,446

680,672

West

Fraser

Timber

Co.

Ltd.

(a)

5,087

437,027

Whitecap

Resources,

Inc.

(a)

37,352

261,372

13,032,272

—

Chile

-

0.2%

Lundin

Mining

Corp.

37,831

296,423

China

-

0.9%

NXP

Semiconductors

NV

1,096

224,329

Wilmar

International

Ltd.

(2)

92,000

259,184

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

909,900

1,012,336

1,495,849

—

Denmark

-

2.3%

AP

Moller

-

Maersk

A/S,

Class

B

(2)(a)

272

478,243

Carlsberg

A/S,

Class

B

(2)(a)

6,828

1,093,377

Danske

Bank

A/S

(2)*(a)

16,263

396,108

Genmab

A/S

(2)*(a)

639

242,154

ISS

A/S

(2)(a)

22,235

470,371

Jyske

Bank

A/S

(Registered)

(2)*(a)

1,766

134,344

Novo

Nordisk

A/S,

Class

B

(2)(a)

2,064

333,418

Pandora

A/S

(2)(a)

5,936

530,569

ROCKWOOL

A/S,

Class

B

(2)(a)

930

240,505

3

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

2.3%

(continued)

Royal

Unibrew

A/S

(2)(a)

641

57,378

3,976,467

—

Finland

-

1.1%

Elisa

OYJ

(2)(a)

5,029

268,470

Fortum

OYJ

(2)(a)

24,582

328,967

Kesko

OYJ,

Class

B

(2)(a)

8,792

165,573

Kone

OYJ,

Class

B

(2)(a)

3,839

200,567

Metso

OYJ

(2)(a)

21,519

259,664

Nokia

OYJ

(2)(a)

59,779

250,466

Orion

OYJ,

Class

B

(2)(a)

1,937

80,388

Stora

Enso

OYJ,

Class

R

(2)(a)

7,314

84,857

Valmet

OYJ

(2)(a)

2,329

64,831

Wartsila

OYJ

Abp

(2)(a)

12,833

144,705

1,848,488

—

France

-

4.9%

Amundi

SA

(2)(a)(b)

2,294

135,527

Arkema

SA

(2)(a)

1,747

164,736

Atos

SE

(2)*(a)

19,517

279,251

BNP

Paribas

SA

(2)(a)

14,673

925,953

Bouygues

SA

(2)(a)

6,366

213,856

Carrefour

SA

(2)(a)

19,244

364,688

Cie

de

Saint-Gobain

(2)(a)

12,587

766,377

Credit

Agricole

SA

(2)(a)

74,477

884,328

Dassault

Aviation

SA

(2)(a)

1,711

342,801

Eiffage

SA

(2)(a)

5,355

559,108

Engie

SA

(2)(a)

25,164

419,054

Eutelsat

Communications

SA

(2)(a)

1,551

10,119

Hermes

International

(2)(a)

71

154,334

Ipsen

SA

(2)(a)

337

40,567

Orange

SA

(2)(a)

32,120

375,369

Publicis

Groupe

SA

(2)(a)

658

52,809

Rexel

SA

(2)(a)

27,363

676,247

Rubis

SCA

(2)(a)

9,221

224,005

Societe

Generale

SA

(2)(a)

15,762

409,910

Sodexo

SA

(2)(a)

587

64,639

TotalEnergies

SE

(2)(a)

14,528

833,975

Ubisoft

Entertainment

SA

(2)*(a)

8,990

254,106

Veolia

Environnement

SA

(2)(a)

3,314

104,906

8,256,665

—

Germany

-

6.9%

Allianz

SE

(Registered)

(2)(a)

3,049

710,184

Aurubis

AG

(2)(a)

3,977

341,471

BASF

SE

(2)(a)

6,925

336,439

Bayerische

Motoren

Werke

AG

(2)

(a)

4,103

504,698

Bechtle

AG

(2)(a)

2,556

101,505

Beiersdorf

AG

(2)(a)

3,349

443,486

Brenntag

SE

(2)(a)

4,934

384,941

Commerzbank

AG

(2)(a)

50,861

563,838

Covestro

AG

(2)*(a)(b)

11,497

598,220

Daimler

Truck

Holding

AG

(2)(a)

1,063

38,313

Deutsche

Bank

AG

(Registered)

(2)(a)

111,733

1,174,624

Deutsche

Lufthansa

AG

(Registered)

(2)*(a)

24,537

251,591

Deutsche

Post

AG

(Registered)

(2)

(a)

9,521

465,218

INVESTMENTS

SHARES

VALUE

($)

Germany

-

6.9%

(continued)

E.ON

SE

(2)(a)

51,811

661,855

Evonik

Industries

AG

(2)(a)

13,598

259,107

Freenet

AG

(2)(a)

6,409

160,947

Hannover

Rueck

SE

(2)(a)

890

188,946

Heidelberg

Materials

AG

(2)(a)

8,983

738,749

HelloFresh

SE

(2)*(a)

1,660

41,056

HOCHTIEF

AG

(2)(a)

799

69,129

HUGO

BOSS

AG

(2)(a)

10,102

789,586

K+S

AG

(Registered)

(2)(a)

16,327

284,699

KION

Group

AG

(2)(a)

1,668

67,238

Knorr-Bremse

AG

(2)(a)

795

60,773

LANXESS

AG

(2)(a)

1,028

31,015

LEG

Immobilien

SE

(2)*(a)

4,528

261,260

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)(a)

2,887

1,083,817

ProSiebenSat.1

Media

SE

(2)*(a)

28,348

264,515

Telefonica

Deutschland

Holding

AG

(2)(a)

58,617

164,978

thyssenkrupp

AG

(2)(a)

52,384

410,295

TUI

AG

(2)*

41,602

295,131

11,747,624

—

Guatemala

-

0.1%

Millicom

International

Cellular

SA,

SDR

(2)*

11,989

183,453

Hong

Kong

-

0.2%

New

World

Development

Co.

Ltd.

(2)(a)

12,000

29,659

WH

Group

Ltd.

(2)(b)

652,500

347,504

377,163

—

Italy

-

3.4%

A2A

SpA

(2)(a)

236,716

433,069

Assicurazioni

Generali

SpA

(2)(a)

42,928

872,983

Azimut

Holding

SpA

(2)(a)

4,636

100,034

Banco

BPM

SpA

(2)(a)

59,200

274,974

Buzzi

SpA

(2)(a)

9,954

249,397

Coca-Cola

HBC

AG

(2)(a)

6,813

203,231

Hera

SpA

(2)(a)

9,154

27,243

Italgas

SpA

(2)(a)

9,243

54,799

Leonardo

SpA

(2)(a)

115,607

1,312,704

Pirelli

&

C

SpA

(2)*(a)(b)

23,704

117,184

Poste

Italiane

SpA

(2)(a)(b)

22,704

245,951

Prysmian

SpA

(2)(a)

11,879

496,824

UniCredit

SpA

(2)(a)

36,491

848,546

Unipol

Gruppo

SpA

(2)(a)

87,802

469,214

5,706,153

—

Japan

-

27.0%

AGC,

Inc.

(2)(a)

15,000

539,639

Air

Water,

Inc.

(2)(a)

10,800

149,933

Aisin

Corp.

(2)(a)

7,100

219,255

Allegro

MicroSystems,

Inc.

*(a)(c)

2,472

111,586

Amada

Co.

Ltd.

(2)(a)

54,900

541,636

Asahi

Group

Holdings

Ltd.

(2)(a)

9,000

349,198

Bandai

Namco

Holdings,

Inc.

(2)(a)

10,800

250,099

Brother

Industries

Ltd.

(2)(a)

7,200

105,383

Chiba

Bank

Ltd.

(The)

(2)(a)

8,400

50,939

4

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

27.0%

(continued)

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

43,500

530,678

Dai

Nippon

Printing

Co.

Ltd.

(2)(a)

10,400

295,419

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

15,700

298,612

Daito

Trust

Construction

Co.

Ltd.

(2)(a)

3,000

303,917

Daiwa

House

Industry

Co.

Ltd.

(2)

(a)

11,200

295,926

Daiwa

Securities

Group,

Inc.

(2)(a)

19,700

101,514

Dentsu

Group,

Inc.

(2)(a)

5,700

187,457

Ebara

Corp.

(2)(a)

7,000

335,851

Fuji

Electric

Co.

Ltd.

(2)(a)

13,300

585,533

Fujitsu

Ltd.

(2)(a)

3,300

427,294

Fukuoka

Financial

Group,

Inc.

(2)

(a)

4,200

86,808

Hakuhodo

DY

Holdings,

Inc.

(2)(a)

36,900

389,512

Hamamatsu

Photonics

KK

(2)(a)

1,800

88,368

Haseko

Corp.

(2)(a)

11,500

141,709

Hirose

Electric

Co.

Ltd.

(2)(a)

800

106,508

Hitachi

Construction

Machinery

Co.

Ltd.

(2)(a)

12,300

345,845

Hitachi

Ltd.

(2)(a)

2,200

136,788

Honda

Motor

Co.

Ltd.

(2)(a)

8,900

269,615

Ibiden

Co.

Ltd.

(2)(a)

8,100

460,869

IHI

Corp.

(2)(a)

12,100

328,181

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

28,600

483,307

Inpex

Corp.

(2)(a)

30,900

339,482

Isuzu

Motors

Ltd.

(2)(a)

8,200

99,476

Ito

En

Ltd.

(2)(a)

3,000

82,965

ITOCHU

Corp.

(2)(a)

16,600

659,378

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

22,400

160,994

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

26,400

396,764

JFE

Holdings,

Inc.

(2)(a)

9,700

138,677

Kajima

Corp.

(2)(a)

19,200

289,894

Kao

Corp.

(2)(a)

11,400

413,705

Kawasaki

Heavy

Industries

Ltd.

(2)

(a)

16,500

422,442

Kawasaki

Kisen

Kaisha

Ltd.

(2)(a)

6,000

147,120

Kirin

Holdings

Co.

Ltd.

(2)(a)

18,200

265,769

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)(a)

2,700

146,809

Koito

Manufacturing

Co.

Ltd.

(2)(a)

4,000

72,589

Komatsu

Ltd.

(2)(a)

5,300

143,354

Konami

Group

Corp.

(2)(a)

4,800

251,717

Kuraray

Co.

Ltd.

(2)(a)

13,200

128,512

Kyocera

Corp.

(2)(a)

3,600

195,704

Lawson,

Inc.

(2)(a)

6,000

266,039

Lion

Corp.

(2)(a)

39,000

363,609

Lixil

Corp.

(2)(a)

2,200

28,002

Marubeni

Corp.

(2)(a)

56,600

964,690

Mazda

Motor

Corp.

(2)(a)

45,700

441,653

McDonald's

Holdings

Co.

Japan

Ltd.

(a)

4,400

171,066

Medipal

Holdings

Corp.

(2)(a)

24,000

392,431

MEIJI

Holdings

Co.

Ltd.

(2)(a)

12,400

276,903

MINEBEA

MITSUMI,

Inc.

(2)(a)

13,200

250,360

MISUMI

Group,

Inc.

(2)(a)

5,500

110,732

Mitsubishi

Chemical

Group

Corp.

(2)(a)

20,800

125,104

INVESTMENTS

SHARES

VALUE

($)

Japan

-

27.0%

(continued)

Mitsubishi

Corp.

(2)(a)

17,700

855,740

Mitsubishi

Electric

Corp.

(2)(a)

57,700

815,696

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

19,600

285,519

Mitsubishi

HC

Capital,

Inc.

(2)(a)

82,100

487,461

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

6,800

317,596

Mitsubishi

Motors

Corp.

(2)(a)

98,300

343,729

Mitsui

&

Co.

Ltd.

(2)(a)

18,700

707,754

Mitsui

Chemicals,

Inc.

(2)(a)

14,900

439,189

Mizuho

Financial

Group,

Inc.

(2)(a)

21,780

332,918

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

15,000

531,185

Murata

Manufacturing

Co.

Ltd.

(2)

(a)

5,400

310,181

Nexon

Co.

Ltd.

(2)(a)

4,500

86,295

NGK

Insulators

Ltd.

(2)(a)

20,200

241,340

NH

Foods

Ltd.

(2)(a)

8,300

224,707

Nikon

Corp.

(2)(a)

12,900

167,479

NIPPON

EXPRESS

HOLDINGS,

Inc.

(2)(a)

3,800

214,351

Nippon

Steel

Corp.

(2)(a)

23,500

491,838

Nippon

Yusen

KK

(2)(a)

12,000

266,504

Niterra

Co.

Ltd.

(2)(a)

8,200

164,522

Nitto

Denko

Corp.

(2)(a)

3,600

267,213

NOF

Corp.

(2)(a)

1,100

47,255

Nomura

Holdings,

Inc.

(2)(a)

63,300

241,332

Nomura

Real

Estate

Holdings,

Inc.

(2)(a)

6,600

156,913

NSK

Ltd.

(2)(a)

53,000

339,213

NTT

Data

Group

Corp.

(2)(a)

11,200

157,034

Obayashi

Corp.

(2)(a)

41,600

359,771

Oji

Holdings

Corp.

(2)(a)

55,000

205,649

Ono

Pharmaceutical

Co.

Ltd.

(2)(a)

22,100

398,760

ORIX

Corp.

(2)(a)

20,200

368,371

Osaka

Gas

Co.

Ltd.

(2)(a)

11,400

174,737

Otsuka

Corp.

(2)(a)

4,200

163,597

Otsuka

Holdings

Co.

Ltd.

(2)(a)

22,000

806,997

Panasonic

Holdings

Corp.

(2)(a)

81,600

1,000,573

Persol

Holdings

Co.

Ltd.

(2)(a)

12,800

231,652

Pola

Orbis

Holdings,

Inc.

(2)(a)

20,700

301,831

Ricoh

Co.

Ltd.

(2)(a)

15,800

134,646

Rohm

Co.

Ltd.

(2)(a)

4,100

388,369

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

12,700

286,296

Ryohin

Keikaku

Co.

Ltd.

(2)(a)

36,500

361,856

Santen

Pharmaceutical

Co.

Ltd.

(2)(a)

36,200

308,325

SCREEN

Holdings

Co.

Ltd.

(2)(a)

6,400

728,954

SCSK

Corp.

(2)(a)

9,900

155,797

Secom

Co.

Ltd.

(2)(a)

1,400

94,750

Sega

Sammy

Holdings,

Inc.

(2)(a)

14,800

317,057

Seiko

Epson

Corp.

(2)(a)

16,800

262,285

Sekisui

Chemical

Co.

Ltd.

(2)(a)

13,100

189,258

Shimamura

Co.

Ltd.

(2)(a)

2,900

274,205

Shimizu

Corp.

(2)(a)

13,400

84,840

Shin-Etsu

Chemical

Co.

Ltd.

(2)(a)

19,000

634,941

Shinko

Electric

Industries

Co.

Ltd.

(2)(a)

8,200

337,180

Shionogi

&

Co.

Ltd.

(2)(a)

4,600

194,026

5

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

27.0%

(continued)

Skylark

Holdings

Co.

Ltd.

(2)*(a)

13,200

165,074

Sohgo

Security

Services

Co.

Ltd.

(2)(a)

38,500

218,004

Sojitz

Corp.

(2)(a)

28,120

622,304

Sompo

Holdings,

Inc.

(2)(a)

8,200

367,928

Square

Enix

Holdings

Co.

Ltd.

(2)

(a)

4,200

195,417

Stanley

Electric

Co.

Ltd.

(2)(a)

6,100

123,624

Subaru

Corp.

(2)(a)

27,000

508,512

Sugi

Holdings

Co.

Ltd.

(2)(a)

4,300

192,126

SUMCO

Corp.

(2)(a)

51,100

724,965

Sumitomo

Corp.

(2)(a)

23,600

500,673

Sumitomo

Electric

Industries

Ltd.

(2)(a)

6,300

77,189

Sumitomo

Forestry

Co.

Ltd.

(2)(a)

16,100

391,061

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

19,000

455,076

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

11,300

484,312

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

5,600

198,663

Suntory

Beverage

&

Food

Ltd.

(2)

(a)

14,100

511,149

Taisei

Corp.

(2)(a)

5,500

192,161

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

(2)(a)

5,700

214,415

TDK

Corp.

(2)(a)

11,800

460,257

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

83,600

306,630

Tokyo

Gas

Co.

Ltd.

(2)(a)

41,400

903,248

Tokyu

Fudosan

Holdings

Corp.

(2)

(a)

19,900

114,063

TOPPAN,

Inc.

(2)(a)

34,100

736,958

Tosoh

Corp.

(2)(a)

19,500

230,649

Toyo

Suisan

Kaisha

Ltd.

(2)(a)

6,400

288,716

Toyota

Boshoku

Corp.

(2)(a)

14,500

259,531

Toyota

Industries

Corp.

(2)(a)

7,000

501,509

Toyota

Tsusho

Corp.

(2)(a)

17,700

884,576

Tsuruha

Holdings,

Inc.

(2)(a)

3,400

253,225

Yamada

Holdings

Co.

Ltd.

(2)(a)

18,000

52,986

Yamaha

Motor

Co.

Ltd.

(2)(a)

8,200

235,735

Yokogawa

Electric

Corp.

(2)(a)

9,700

179,558

Zensho

Holdings

Co.

Ltd.

(2)(a)

10,600

471,264

ZOZO,

Inc.

(2)(a)

5,000

103,723

45,646,287

—

Luxembourg

-

0.6%

Aperam

SA

(2)

8,580

267,930

ArcelorMittal

SA

(2)

26,358

719,155

SES

SA,

Class

A,

ADR

(2)

11,010

64,863

1,051,948

—

Netherlands

-

3.2%

Aalberts

NV

(2)(a)

2,417

101,784

ABN

AMRO

Bank

NV,

CVA

(2)(a)(b)

38,691

601,384

ASR

Nederland

NV

(2)(a)

16,594

748,447

Heineken

NV

(2)(a)

2,543

261,514

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

42,902

1,462,659

NN

Group

NV

(2)(a)

3,392

125,564

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

3.2%

(continued)

Randstad

NV

(2)(a)

12,252

646,167

Shell

plc

(2)(a)

36,385

1,085,426

Wolters

Kluwer

NV

(2)(a)

3,648

463,199

5,496,144

—

Nigeria

-

0.1%

Airtel

Africa

plc

(b)

138,574

189,716

Norway

-

0.5%

Equinor

ASA

(2)(a)

11,385

331,518

Norsk

Hydro

ASA

(2)(a)

82,414

491,292

Orkla

ASA

(2)(a)

8,339

59,961

882,771

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

(a)(c)

2,213

244,714

Singapore

-

1.2%

Genting

Singapore

Ltd.

(2)

523,400

364,954

Oversea-Chinese

Banking

Corp.

Ltd.

(2)

41,700

379,344

Singapore

Airlines

Ltd.

(2)

125,500

664,902

STMicroelectronics

NV

(2)

5,351

266,873

UOL

Group

Ltd.

(2)

8,100

38,607

Venture

Corp.

Ltd.

(2)

22,400

244,559

1,959,239

—

Spain

-

2.9%

Acciona

SA

(2)(a)

914

155,188

Acerinox

SA

(2)(a)

35,276

374,921

Banco

Bilbao

Vizcaya

Argentaria

SA

(2)(a)

101,181

777,344

Banco

de

Sabadell

SA

(2)(a)

556,214

641,287

Banco

Santander

SA

(2)(a)

242,188

896,613

Industria

de

Diseno

Textil

SA

(2)(a)

7,168

278,031

Mapfre

SA

(2)(a)

180,485

358,809

Redeia

Corp.

SA

(2)(a)

13,389

225,163

Repsol

SA

(2)(a)

78,846

1,146,735

4,854,091

—

Sweden

-

2.9%

AAK

AB

(2)(a)

1,536

28,896

Axfood

AB

(2)(a)

3,108

65,777

Billerud

AB

(2)(a)

38,239

291,021

Boliden

AB

(2)(a)

7,673

222,349

Elekta

AB,

Class

B

(2)(a)

14,928

115,487

Embracer

Group

AB,

Class

B

(2)*(a)

195,063

487,807

Essity

AB,

Class

B

(2)(a)

6,167

164,238

Evolution

AB

(2)(a)(b)

1,345

170,444

Getinge

AB,

Class

B

(2)(a)

10,708

187,857

H

&

M

Hennes

&

Mauritz

AB,

Class

B

(2)(a)

30,336

521,698

Saab

AB,

Class

B

(2)(a)

3,345

181,085

Securitas

AB,

Class

B

(2)(a)

50,244

412,692

Skanska

AB,

Class

B

(2)(a)

19,085

267,772

SKF

AB,

Class

B

(2)(a)

18,111

315,593

SSAB

AB,

Class

B

(2)(a)

106,253

736,772

Swedbank

AB,

Class

A

(2)(a)

5,778

97,510

Swedish

Orphan

Biovitrum

AB

(2)*(a)

6,671

130,387

6

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

2.9%

(continued)

Trelleborg

AB,

Class

B

(2)(a)

3,742

90,816

Volvo

AB,

Class

B

(2)(a)

4,950

102,440

Volvo

Car

AB,

Class

B

(2)*(a)

79,942

318,067

4,908,708

—

Switzerland

-

4.5%

Adecco

Group

AG

(Registered)

(2)

(a)

8,028

262,928

Alcon,

Inc.

(2)(a)

1,369

113,576

Baloise

Holding

AG

(Registered)

(2)(a)

1,188

174,745

Barry

Callebaut

AG

(Registered)

(2)(a)

135

260,831

BKW

AG

(2)(a)

2,111

373,225

Cie

Financiere

Richemont

SA

(Registered)

(2)(a)

3,308

561,923

DKSH

Holding

AG

(2)(a)

3,832

285,227

Dufry

AG

(Registered)

(2)*(a)

3,465

158,045

Flughafen

Zurich

AG

(Registered)

(2)(a)

1,376

286,213

Galenica

AG

(2)(a)(b)

708

57,238

Geberit

AG

(Registered)

(2)(a)

489

256,277

Georg

Fischer

AG

(Registered)

(2)

(a)

3,463

260,454

Kuehne

+

Nagel

International

AG

(Registered)

(2)(a)

767

227,206

Novartis

AG

(Registered)

(2)(a)

11,748

1,184,427

SGS

SA

(Registered)

(2)(a)

3,450

326,373

Sonova

Holding

AG

(Registered)

(2)(a)

368

98,196

Swatch

Group

AG

(The)

(2)(a)

2,523

737,706

Swiss

Life

Holding

AG

(Registered)

(2)(a)

774

453,322

Swisscom

AG

(Registered)

(2)(a)

1,062

662,838

Tecan

Group

AG

(Registered)

(2)(a)

595

228,643

UBS

Group

AG

(Registered)

(2)(a)

28,438

576,400

7,545,793

—

United

Kingdom

-

5.5%

abrdn

plc

(2)(a)

26,716

74,190

Aviva

plc

(2)(a)

46,684

234,879

BAE

Systems

plc

(2)(a)

31,782

374,749

Barclays

plc

(2)

716,465

1,399,681

Barratt

Developments

plc

(2)(a)

75,604

397,353

BP

plc

(2)(a)

76,843

447,409

British

American

Tobacco

plc

(2)(a)

12,634

419,770

BT

Group

plc

(2)

298,376

464,313

Burberry

Group

plc

(2)(a)

11,397

307,531

Centrica

plc

(2)

160,247

252,668

CK

Hutchison

Holdings

Ltd.

(2)(a)

5,000

30,517

DCC

plc

(2)(a)

1,127

63,046

DS

Smith

plc

(2)(a)

121,194

419,377

Hays

plc

(2)

20,573

26,717

Howden

Joinery

Group

plc

(2)(a)

13,817

112,890

Imperial

Brands

plc

(2)(a)

22,146

490,190

Inchcape

plc

(2)(a)

11,770

116,482

InterContinental

Hotels

Group

plc

(2)(a)

1,329

91,869

International

Distributions

Services

plc

(2)(a)

116,888

328,568

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

5.5%

(continued)

Investec

plc

(a)

17,718

99,188

JD

Sports

Fashion

plc

(2)

111,613

207,332

Just

Eat

Takeaway.com

NV

(2)*(a)

(b)

20,410

312,856

Kingfisher

plc

(2)(a)

70,705

208,385

Lloyds

Banking

Group

plc

(2)

451,660

250,377

Man

Group

plc

(2)(a)

63,784

177,133

Marks

&

Spencer

Group

plc

(2)*(a)

202,122

495,447

NatWest

Group

plc

(2)(a)

23,316

71,265

Pearson

plc

(2)(a)

8,837

92,646

Standard

Chartered

plc

(2)(a)

48,974

426,078

Subsea

7

SA

(2)(a)

23,547

293,284

Taylor

Wimpey

plc

(2)

24,372

31,839

Tesco

plc

(2)(a)

48,581

153,251

Travis

Perkins

plc

(2)(a)

3,864

40,019

Unilever

plc

(2)(a)

4,150

216,108

Vodafone

Group

plc

(2)

234,042

220,662

9,348,069

—

United

States

-

93.6%

3M

Co.

(a)

2,962

296,467

A

O

Smith

Corp.

(a)

3,097

225,400

Abbott

Laboratories

(a)(c)

5,662

617,271

AbbVie,

Inc.

(a)

4,203

566,270

Accenture

plc,

Class

A

(a)

470

145,033

ACI

Worldwide,

Inc.

*(a)(c)

9,029

209,202

Acuity

Brands,

Inc.

(a)(c)

4,972

810,834

Adient

plc

*(a)(c)

3,709

142,129

Adobe,

Inc.

*(a)

1,834

896,808

ADT,

Inc.

(a)

16,209

97,740

Advance

Auto

Parts,

Inc.

(a)

406

28,542

AGCO

Corp.

(a)

4,767

626,479

Agilent

Technologies,

Inc.

(a)(c)

1,207

145,142

Akamai

Technologies,

Inc.

*(a)(c)

4,048

363,794

Allison

Transmission

Holdings,

Inc.

(a)

13,598

767,743

Ally

Financial,

Inc.

(a)

8,910

240,659

Alphabet,

Inc.,

Class

A

*(a)(c)

2,815

336,956

Altice

USA,

Inc.,

Class

A

*(a)(c)

96,973

292,858

Altria

Group,

Inc.

(a)

4,769

216,036

Amdocs

Ltd.

(a)

3,800

375,630

Ameren

Corp.

(a)(c)

3,968

324,067

American

International

Group,

Inc.

(a)

21,102

1,214,208

Ameriprise

Financial,

Inc.

(a)

749

248,788

AmerisourceBergen

Corp.

(a)

456

87,748

Amgen,

Inc.

(a)

1,445

320,819

Amkor

Technology,

Inc.

(a)

28,075

835,231

Amphenol

Corp.,

Class

A

(a)(c)

1,832

155,628

Analog

Devices,

Inc.

(a)

1,206

234,941

ANSYS,

Inc.

*(a)

892

294,601

Apple,

Inc.

(a)

3,039

589,475

Applied

Materials,

Inc.

(a)(c)

2,104

304,112

AppLovin

Corp.,

Class

A

*(a)(c)

13,960

359,191

Arch

Capital

Group

Ltd.

*(a)

2,000

149,700

Archer-Daniels-Midland

Co.

(a)(c)

12,600

952,056

Arrow

Electronics,

Inc.

*(a)

6,649

952,336

ASGN,

Inc.

*(a)

405

30,630

Associated

Banc-Corp.

(a)(c)

7,113

115,444

Assured

Guaranty

Ltd.

(a)

722

40,288

7

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

AT&T,

Inc.

(a)(c)

27,348

436,201

Autodesk,

Inc.

*(a)

1,305

267,016

AutoNation,

Inc.

*(a)(c)

3,882

639,016

Avangrid,

Inc.

(a)(c)

9,984

376,197

Avantor,

Inc.

*(a)

7,572

155,529

Avient

Corp.

(a)(c)

5,166

211,289

Avnet,

Inc.

(a)(c)

10,313

520,291

Axis

Capital

Holdings

Ltd.

(a)

1,122

60,397

Bank

of

New

York

Mellon

Corp.

(The)

(a)

8,992

400,324

Belden,

Inc.

(a)(c)

2,337

223,534

Berry

Global

Group,

Inc.

(a)(c)

6,261

402,833

Best

Buy

Co.,

Inc.

(a)(c)

8,693

712,391

Biogen,

Inc.

*(a)(c)

1,433

408,190

Black

Hills

Corp.

(a)

4,627

278,823

Blackbaud,

Inc.

*(a)

975

69,401

Booking

Holdings,

Inc.

*(a)

319

861,405

Booz

Allen

Hamilton

Holding

Corp.,

Class

A

(a)(c)

2,497

278,665

BorgWarner,

Inc.

(a)

6,370

311,557

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(a)(c)

1,148

354,089

Brighthouse

Financial,

Inc.

*(a)

4,468

211,560

Bristol-Myers

Squibb

Co.

(a)

4,583

293,083

Broadcom,

Inc.

(a)(c)

361

313,142

BRP,

Inc.

(a)

3,711

313,716

Bruker

Corp.

(a)(c)

2,534

187,313

Brunswick

Corp.

(a)

5,041

436,752

Builders

FirstSource,

Inc.

*(a)

12,526

1,703,535

Bunge

Ltd.

(a)(c)

2,113

199,362

BWX

Technologies,

Inc.

(a)(c)

2,121

151,800

CACI

International,

Inc.,

Class

A

*(a)

1,159

395,034

Cadence

Design

Systems,

Inc.

*(a)

1,913

448,637

Capital

One

Financial

Corp.

(a)

2,448

267,738

Capri

Holdings

Ltd.

*(a)

8,396

301,332

Cardinal

Health,

Inc.

(a)

5,594

529,025

Carlisle

Cos.,

Inc.

(a)

758

194,450

Carter's,

Inc.

(a)(c)

4,896

355,450

Casey's

General

Stores,

Inc.

(a)

995

242,661

Caterpillar,

Inc.

(a)

786

193,395

Cathay

General

Bancorp

(a)

1,339

43,102

CBRE

Group,

Inc.,

Class

A

*(a)

2,244

181,113

Centene

Corp.

*(a)(c)

9,453

637,605

CF

Industries

Holdings,

Inc.

(a)

4,551

315,930

CH

Robinson

Worldwide,

Inc.

(a)(c)

2,273

214,458

ChampionX

Corp.

(a)(c)

14,108

437,912

Charles

River

Laboratories

International,

Inc.

*(a)(c)

1,090

229,173

Chemours

Co.

(The)

(a)(c)

9,932

366,391

Choice

Hotels

International,

Inc.

(a)(c)

700

82,264

Cigna

Group

(The)

(a)

2,286

641,452

Cintas

Corp.

(a)(c)

1,164

578,601

Cirrus

Logic,

Inc.

*(a)

5,604

453,980

Cisco

Systems,

Inc.

(a)(c)

19,845

1,026,780

Citigroup,

Inc.

(a)

16,515

760,351

Clean

Harbors,

Inc.

*(a)(c)

2,261

371,776

Clorox

Co.

(The)

(a)(c)

468

74,431

CNA

Financial

Corp.

(a)(c)

1,102

42,559

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

CNO

Financial

Group,

Inc.

(a)

5,429

128,504

Coca-Cola

Co.

(The)

(a)(c)

3,249

195,655

Coca-Cola

Consolidated,

Inc.

(a)(c)

616

391,788

Cognizant

Technology

Solutions

Corp.,

Class

A

(a)

9,667

631,062

Colgate-Palmolive

Co.

(a)

4,547

350,301

Columbia

Sportswear

Co.

(a)(c)

2,446

188,929

Comcast

Corp.,

Class

A

(a)

8,055

334,685

Commercial

Metals

Co.

(a)

9,745

513,172

CommVault

Systems,

Inc.

*(a)

3,749

272,252

Concentrix

Corp.

(a)

2,711

218,913

Consolidated

Edison,

Inc.

(a)(c)

5,060

457,424

Cooper

Cos.,

Inc.

(The)

(a)(c)

355

136,118

Copart,

Inc.

*(a)(c)

6,532

595,784

Coterra

Energy,

Inc.

(a)(c)

4,572

115,672

Crane

NXT

Co.

(a)(c)

9,344

527,375

Cummins,

Inc.

(a)(c)

1,725

422,901

Curtiss-Wright

Corp.

(a)(c)

1,632

299,733

CVS

Health

Corp.

(a)(c)

1,195

82,610

Dana,

Inc.

(a)

25,592

435,064

Danaher

Corp.

(a)

596

143,040

Darden

Restaurants,

Inc.

(a)(c)

1,828

305,422

Deckers

Outdoor

Corp.

*(a)

668

352,477

Dell

Technologies,

Inc.,

Class

C

(a)

8,444

456,905

DENTSPLY

SIRONA,

Inc.

(a)(c)

7,278

291,266

Dick's

Sporting

Goods,

Inc.

(a)(c)

3,176

419,835

Discover

Financial

Services

(a)(c)

850

99,323

DISH

Network

Corp.,

Class

A

*(a)

8,900

58,651

DocuSign,

Inc.,

Class

A

*(a)

2,850

145,607

Dolby

Laboratories,

Inc.,

Class

A

(a)

4,969

415,806

Domino's

Pizza,

Inc.

(a)

883

297,562

Donaldson

Co.,

Inc.

(a)(c)

5,361

335,116

Dover

Corp.

(a)(c)

1,158

170,979

Dow,

Inc.

(a)

7,414

394,870

Dropbox,

Inc.,

Class

A

*(a)

25,553

681,499

DXC

Technology

Co.

*(a)

14,308

382,310

Eagle

Materials,

Inc.

(a)(c)

2,866

534,280

Eastman

Chemical

Co.

(a)

3,413

285,736

eBay,

Inc.

(a)(c)

7,922

354,034

Edwards

Lifesciences

Corp.

*(a)

1,967

185,547

Electronic

Arts,

Inc.

(a)

2,545

330,087

Elevance

Health,

Inc.

(a)

666

295,897

EMCOR

Group,

Inc.

(a)

2,964

547,688

Encompass

Health

Corp.

(a)

1,103

74,684

Energizer

Holdings,

Inc.

(a)

883

29,651

EnerSys

(a)(c)

3,977

431,584

Enovis

Corp.

*(a)(c)

8,463

542,648

Entergy

Corp.

(a)

2,121

206,522

Envista

Holdings

Corp.

*(a)(c)

3,412

115,462

EPAM

Systems,

Inc.

*(a)

359

80,685

Equitable

Holdings,

Inc.

(a)

10,268

278,879

Euronet

Worldwide,

Inc.

*(a)(c)

1,817

213,261

Evercore,

Inc.,

Class

A

(a)

4,013

495,967

Everest

Re

Group

Ltd.

(a)

758

259,130

Evergy,

Inc.

(a)

4,014

234,498

Exelixis,

Inc.

*(a)

24,696

471,941

Expedia

Group,

Inc.

*(a)

6,649

727,334

Expeditors

International

of

Washington,

Inc.

(a)(c)

2,837

343,646

Exxon

Mobil

Corp.

(a)(c)

4,442

476,405

8

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

F5,

Inc.

*(a)

3,001

438,926

Fair

Isaac

Corp.

*(a)

541

437,783

Federated

Hermes,

Inc.,

Class

B

(a)

5,967

213,917

Ferguson

plc

(a)

1,110

174,614

Fidelity

National

Financial,

Inc.

(a)

8,057

290,052

Fidelity

National

Information

Services,

Inc.

(a)

7,962

435,521

First

American

Financial

Corp.

(a)

(c)

5,907

336,817

FirstCash

Holdings,

Inc.

(a)

470

43,865

Fiserv,

Inc.

*(a)(c)

2,817

355,365

FleetCor

Technologies,

Inc.

*(a)(c)

937

235,262

Flowers

Foods,

Inc.

(a)(c)

6,263

155,823

FNB

Corp.

(a)(c)

10,949

125,257

Foot

Locker,

Inc.

(a)(c)

5,323

144,307

Fortinet,

Inc.

*(a)(c)

5,167

390,574

Fortive

Corp.

(a)(c)

4,286

320,464

Fox

Corp.,

Class

A

(a)(c)

5,556

188,904

Franklin

Resources,

Inc.

(a)(c)

11,349

303,132

Fulton

Financial

Corp.

(a)

2,748

32,756

Gap,

Inc.

(The)

(a)(c)

32,279

288,251

Gartner,

Inc.

*(a)

1,372

480,625

Gates

Industrial

Corp.

plc

*(a)

18,053

243,354

GE

HealthCare

Technologies,

Inc.

(a)(c)

3,434

278,978

Generac

Holdings,

Inc.

*(a)(c)

1,406

209,677

General

Dynamics

Corp.

(a)(c)

2,862

615,759

General

Motors

Co.

(a)

10,135

390,806

Genuine

Parts

Co.

(a)(c)

6,999

1,184,440

Gilead

Sciences,

Inc.

(a)

13,691

1,055,164

Global

Payments,

Inc.

(a)

4,377

431,222

GLOBALFOUNDRIES,

Inc.

*(a)

665

42,946

Globus

Medical,

Inc.,

Class

A

*(a)

(c)

6,607

393,381

Goldman

Sachs

Group,

Inc.

(The)

(a)

562

181,267

Goodyear

Tire

&

Rubber

Co.

(The)

*(a)

29,538

404,080

Graco,

Inc.

(a)(c)

3,814

329,339

Graham

Holdings

Co.,

Class

B

(a)

537

306,885

Grand

Canyon

Education,

Inc.

*(a)

3,075

317,371

Graphic

Packaging

Holding

Co.

(a)

7,031

168,955

Greif,

Inc.,

Class

A

(a)

4,657

320,821

GSK

plc

(2)(a)

11,904

210,969

H&R

Block,

Inc.

(a)(c)

11,897

379,157

Haemonetics

Corp.

*(a)

3,939

335,366

Hartford

Financial

Services

Group,

Inc.

(The)

(a)(c)

5,540

398,991

Hawaiian

Electric

Industries,

Inc.

(a)

8,331

301,582

HCA

Healthcare,

Inc.

(a)

1,076

326,544

HEICO

Corp.

(a)(c)

436

77,146

Henry

Schein,

Inc.

*(a)(c)

2,353

190,828

Hershey

Co.

(The)

(a)

939

234,468

Hewlett

Packard

Enterprise

Co.

(a)

(c)

41,555

698,124

Hexcel

Corp.

(a)(c)

3,341

253,983

HF

Sinclair

Corp.

(a)

6,853

305,712

Hilton

Grand

Vacations,

Inc.

*(a)(c)

5,532

251,374

Holcim

AG

(2)(a)

17,162

1,156,842

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

Hologic,

Inc.

*(a)(c)

8,227

666,140

Howmet

Aerospace,

Inc.

(a)

8,256

409,167

HP,

Inc.

(a)

14,832

455,491

Hubbell,

Inc.,

Class

B

(a)(c)

1,373

455,232

HubSpot,

Inc.

*(a)

109

57,998

Humana,

Inc.

(a)

1,325

592,447

Huntington

Ingalls

Industries,

Inc.

(a)

3,080

701,008

Huntsman

Corp.

(a)

16,112

435,346

Illinois

Tool

Works,

Inc.

(a)

722

180,616

Incyte

Corp.

*(a)

6,287

391,366

Informatica,

Inc.,

Class

A

*(a)(c)

2,952

54,612

Ingredion,

Inc.

(a)

1,755

185,942

Insperity,

Inc.

(a)

2,789

331,779

Integra

LifeSciences

Holdings

Corp.

*(a)(c)

6,294

258,872

International

Business

Machines

Corp.

(a)

2,005

268,289

International

Paper

Co.

(a)

8,537

271,562

Intuit,

Inc.

(a)

752

344,559

Intuitive

Surgical,

Inc.

*(a)

570

194,906

Invesco

Ltd.

(a)(c)

13,648

229,423

IPG

Photonics

Corp.

*(a)

495

67,231

IQVIA

Holdings,

Inc.

*(a)(c)

1,111

249,719

ITT,

Inc.

(a)(c)

2,813

262,200

Jabil,

Inc.

(a)

8,426

909,418

Janus

Henderson

Group

plc

(a)

5,488

149,548

Jazz

Pharmaceuticals

plc

*(a)(c)

1,658

205,542

JB

Hunt

Transport

Services,

Inc.

(a)(c)

1,364

246,925

Jefferies

Financial

Group,

Inc.

(a)(c)

9,114

302,311

JetBlue

Airways

Corp.

*(a)(c)

31,030

274,926

Johnson

&

Johnson

(a)

1,448

239,673

Jones

Lang

LaSalle,

Inc.

*(a)

2,245

349,771

KB

Home

(a)

12,077

624,502

Kennametal,

Inc.

(a)(c)

253

7,183

Kimberly-Clark

Corp.

(a)(c)

3,993

551,274

KLA

Corp.

(a)

377

182,853

Knight-Swift

Transportation

Holdings,

Inc.,

Class

A

(a)

9,184

510,263

Kroger

Co.

(The)

(a)

15,072

708,384

Kyndryl

Holdings,

Inc.

*(a)

42,042

558,318

L3Harris

Technologies,

Inc.

(a)

1,504

294,438

Laboratory

Corp.

of

America

Holdings

(a)

676

163,139

Lam

Research

Corp.

(a)

631

405,645

Lancaster

Colony

Corp.

(a)(c)

322

64,751

Landstar

System,

Inc.

(a)

4,396

846,406

Lantheus

Holdings,

Inc.

*(a)(c)

4,298

360,688

Lattice

Semiconductor

Corp.

*(a)(c)

439

42,175

Lennar

Corp.,

Class

A

(a)(c)

5,782

724,542

Light

&

Wonder,

Inc.

*(a)(c)

3,712

255,237

Lincoln

Electric

Holdings,

Inc.

(a)(c)

1,054

209,356

LivaNova

plc

*(a)(c)

953

49,013

LKQ

Corp.

(a)

17,884

1,042,100

Lockheed

Martin

Corp.

(a)

876

403,293

Loews

Corp.

(a)

3,025

179,625

Lowe's

Cos.,

Inc.

(a)

427

96,374

LyondellBasell

Industries

NV,

Class

A

(a)(c)

4,523

415,347

9

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

Macy's,

Inc.

(a)(c)

41,279

662,528

Manhattan

Associates,

Inc.

*(a)

1,607

321,207

ManpowerGroup,

Inc.

(a)

7,973

633,056

Marathon

Oil

Corp.

(a)

8,301

191,089

Marathon

Petroleum

Corp.

(a)

3,239

377,667

Marriott

Vacations

Worldwide

Corp.

(a)(c)

2,473

303,487

Masco

Corp.

(a)(c)

2,117

121,473

Masterbrand,

Inc.

*(a)

26,634

309,753

Matador

Resources

Co.

(a)(c)

1,591

83,241

Maximus,

Inc.

(a)(c)

5,485

463,537

McKesson

Corp.

(a)

405

173,061

Medpace

Holdings,

Inc.

*(a)

1,067

256,261

Medtronic

plc

(a)

7,267

640,223

Merck

&

Co.,

Inc.

(a)

6,384

736,650

Meta

Platforms,

Inc.,

Class

A

*(a)

2,770

794,935

MetLife,

Inc.

(a)

898

50,764

Mettler-Toledo

International,

Inc.

*(a)(c)

185

242,653

MGIC

Investment

Corp.

(a)

3,133

49,470

MGM

Resorts

International

(a)(c)

7,789

342,093

Microchip

Technology,

Inc.

(a)(c)

5,278

472,856

Micron

Technology,

Inc.

(a)(c)

4,277

269,921

Microsoft

Corp.

(a)

1,151

391,962

Mohawk

Industries,

Inc.

*(a)(c)

2,650

273,374

Molina

Healthcare,

Inc.

*(a)(c)

1,524

459,090

Molson

Coors

Beverage

Co.,

Class

B

(a)

9,023

594,074

Mosaic

Co.

(The)

(a)

12,005

420,175

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(a)(c)

5,176

493,169

Murphy

Oil

Corp.

(a)

3,753

143,740

Murphy

USA,

Inc.

(a)

2,685

835,330

Navient

Corp.

(a)

12,146

225,673

NCR

Corp.

*(a)(c)

19,013

479,128

Nexstar

Media

Group,

Inc.,

Class

A

(a)(c)

902

150,228

NiSource,

Inc.

(a)

5,133

140,388

Nordstrom,

Inc.

(a)

13,573

277,839

NorthWestern

Corp.

(a)(c)

2,588

146,895

Norwegian

Cruise

Line

Holdings

Ltd.

*(a)(c)

14,232

309,831

Nucor

Corp.

(a)

1,669

273,683

Nutanix,

Inc.,

Class

A

*(a)

3,819

107,123

nVent

Electric

plc

(a)

5,969

308,418

NVR,

Inc.

*(a)

50

317,531

OGE

Energy

Corp.

(a)

4,442

159,512

Olaplex

Holdings,

Inc.

*(a)(c)

62,953

234,185

Old

Republic

International

Corp.

(a)

17,071

429,677

Olin

Corp.

(a)

7,575

389,279

ON

Semiconductor

Corp.

*(a)(c)

4,857

459,375

ONE

Gas,

Inc.

(a)

4,770

366,384

OneMain

Holdings,

Inc.

(a)

2,823

123,337

O'Reilly

Automotive,

Inc.

*(a)

66

63,050

Organon

&

Co.

(a)

3,674

76,456

Oshkosh

Corp.

(a)

5,024

435,028

Ovintiv,

Inc.

(a)(c)

3,117

118,664

Owens

Corning

(a)(c)

6,554

855,297

PACCAR,

Inc.

(a)

7,756

648,789

Packaging

Corp.

of

America

(a)(c)

2,021

267,095

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

Palo

Alto

Networks,

Inc.

*(a)

480

122,645

Paycom

Software,

Inc.

(a)

214

68,745

PayPal

Holdings,

Inc.

*(a)(c)

4,765

317,968

PBF

Energy,

Inc.,

Class

A

(a)

7,469

305,781

Penn

Entertainment,

Inc.

*(a)(c)

6,673

160,352

Penske

Automotive

Group,

Inc.

(a)

(c)

3,472

578,539

Pentair

plc

(a)(c)

3,106

200,648

PepsiCo,

Inc.

(a)

2,715

502,872

Performance

Food

Group

Co.

*(a)

(c)

6,177

372,102

Pfizer,

Inc.

(a)

4,091

150,058

PG&E

Corp.

*(a)

10,529

181,941

Philip

Morris

International,

Inc.

(a)

(c)

2,771

270,505

Phillips

66

(a)(c)

3,125

298,063

Pilgrim's

Pride

Corp.

*(a)

13,250

284,743

Pinnacle

West

Capital

Corp.

(a)

5,680

462,693

Playtika

Holding

Corp.

*(a)

47,646

552,694

Polaris,

Inc.

(a)(c)

3,848

465,339

Pool

Corp.

(a)(c)

585

219,164

Popular,

Inc.

5,592

338,428

Portland

General

Electric

Co.

(a)(c)

4,199

196,639

Post

Holdings,

Inc.

*(a)

1,438

124,603

Power

Integrations,

Inc.

(a)

1,687

159,708

Principal

Financial

Group,

Inc.

(a)

5,778

438,204

Procter

&

Gamble

Co.

(The)

(a)

1,996

302,873

PulteGroup,

Inc.

(a)

9,908

769,653

Pure

Storage,

Inc.,

Class

A

*(a)

2,250

82,845

PVH

Corp.

(a)

6,403

544,063

QIAGEN

NV

(2)*(a)

6,585

295,996

Qorvo,

Inc.

*(a)

2,386

243,444

QUALCOMM,

Inc.

(a)

270

32,141

Qualys,

Inc.

*(a)(c)

2,354

304,066

QuidelOrtho

Corp.

*(a)(c)

4,996

413,969

Ralph

Lauren

Corp.,

Class

A

(a)(c)

2,631

324,402

Raymond

James

Financial,

Inc.

(a)

(c)

639

66,309

Regal

Rexnord

Corp.

(a)(c)

2,641

406,450

Regeneron

Pharmaceuticals,

Inc.

*(a)

687

493,637

Reinsurance

Group

of

America,

Inc.

(a)

2,637

365,726

Reliance

Steel

&

Aluminum

Co.

(a)

1,161

315,316

Revvity,

Inc.

(a)

953

113,207

Reynolds

Consumer

Products,

Inc.

(a)

2,634

74,411

RingCentral,

Inc.,

Class

A

*(a)

9,026

295,421

Rivian

Automotive,

Inc.,

Class

A

*(a)(c)

12,211

203,435

Robert

Half

International,

Inc.

(a)(c)

5,663

425,971

Roche

Holding

AG

(2)(a)

1,405

429,185

Rollins,

Inc.

(a)(c)

2,165

92,727

Roper

Technologies,

Inc.

(a)(c)

689

331,271

Royal

Caribbean

Cruises

Ltd.

*(a)

(c)

2,373

246,175

RXO,

Inc.

*(a)(c)

10,626

240,891

Ryder

System,

Inc.

(a)(c)

6,021

510,521

Salesforce,

Inc.

*(a)

1,796

379,423

10

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

Schneider

National,

Inc.,

Class

B

(a)

28,593

821,191

Science

Applications

International

Corp.

(a)(c)

1,710

192,341

Seagate

Technology

Holdings

plc

(a)

656

40,587

SEI

Investments

Co.

(a)(c)

5,681

338,701

Sensata

Technologies

Holding

plc

(a)(c)

3,882

174,651

Signify

NV

(2)(a)(b)

22,319

625,690

Silgan

Holdings,

Inc.

(a)(c)

4,817

225,869

Sinch

AB

(2)*(a)(b)

112,268

253,514

Six

Flags

Entertainment

Corp.

*(a)

(c)

5,031

130,705

Skechers

USA,

Inc.,

Class

A

*(a)

8,206

432,128

Skyworks

Solutions,

Inc.

(a)(c)

5,242

580,237

Snap-on,

Inc.

(a)

1,717

494,822

Southwest

Airlines

Co.

(a)(c)

4,203

152,191

Southwestern

Energy

Co.

*(a)

40,073

240,839

Splunk,

Inc.

*(a)

500

53,045

Sprouts

Farmers

Market,

Inc.

*(a)

(c)

9,195

337,732

State

Street

Corp.

(a)

7,486

547,825

Steel

Dynamics,

Inc.

(a)(c)

5,396

587,786

Stellantis

NV

(2)(a)

40,710

715,714

STERIS

plc

(a)(c)

1,129

254,002

Stifel

Financial

Corp.

(a)

6,431

383,738

Stryker

Corp.

(a)

403

122,951

Super

Micro

Computer,

Inc.

*(a)(c)

1,303

324,773

Swiss

Re

AG

(2)(a)

2,443

246,164

Synaptics,

Inc.

*(a)(c)

4,361

372,342

Synchrony

Financial

(a)

20,367

690,849

Syneos

Health,

Inc.

*(a)

4,590

193,423

Synopsys,

Inc.

*(a)

1,267

551,664

Synovus

Financial

Corp.

(a)

2,625

79,406

Tapestry,

Inc.

(a)(c)

8,719

373,173

Taylor

Morrison

Home

Corp.,

Class

A

*(a)

18,346

894,734

TD

SYNNEX

Corp.

(a)

8,088

760,272

TE

Connectivity

Ltd.

(a)

761

106,662

TEGNA,

Inc.

(a)

4,719

76,637

Teladoc

Health,

Inc.

*(a)(c)

9,233

233,780

Teleflex,

Inc.

(a)(c)

866

209,598

Tenaris

SA

(2)(a)

41,601

622,311

Tenet

Healthcare

Corp.

*(a)

4,376

356,119

Teradata

Corp.

*(a)(c)

14,616

780,641

Teradyne,

Inc.

(a)(c)

2,111

235,018

Terex

Corp.

(a)

11,729

701,746

Tetra

Tech,

Inc.

(a)(c)

1,332

218,102

Texas

Roadhouse,

Inc.,

Class

A

(a)

4,320

485,050

Textron,

Inc.

(a)

15,489

1,047,520

Thor

Industries,

Inc.

(a)

2,340

242,190

Timken

Co.

(The)

(a)(c)

5,239

479,526

Toll

Brothers,

Inc.

(a)(c)

10,653

842,333

Travel

+

Leisure

Co.

(a)

7,444

300,291

Travelers

Cos.,

Inc.

(The)

(a)

2,254

391,430

TripAdvisor,

Inc.

*(a)(c)

34,457

568,196

Truist

Financial

Corp.

(a)(c)

5,357

162,585

Tyson

Foods,

Inc.,

Class

A

(a)(c)

2,353

120,097

UFP

Industries,

Inc.

(a)

4,934

478,845

INVESTMENTS

SHARES

VALUE

($)

United

States

-

93.6%

(continued)

U-Haul

Holding

Co.

(a)

252

13,941

Ulta

Beauty,

Inc.

*(a)(c)

226

106,354

United

Airlines

Holdings,

Inc.

*(a)(c)

7,080

388,480

United

Rentals,

Inc.

(a)

1,328

591,451

United

States

Steel

Corp.

(a)(c)

17,406

435,324

United

Therapeutics

Corp.

*(a)

3,376

745,252

Univar

Solutions,

Inc.

*(a)(c)

7,973

285,752

Universal

Display

Corp.

(a)(c)

1,002

144,418

Universal

Health

Services,

Inc.,

Class

B

(a)

3,756

592,584

Unum

Group

(a)

14,629

697,803

US

Foods

Holding

Corp.

*(a)

8,874

390,456

Vail

Resorts,

Inc.

(a)(c)

967

243,452

Valero

Energy

Corp.

(a)

3,978

466,619

Valmont

Industries,

Inc.

(a)

218

63,449

Veeva

Systems,

Inc.,

Class

A

*(a)

(c)

1,416

279,986

VeriSign,

Inc.

*(a)

855

193,204

Verizon

Communications,

Inc.

(a)(c)

5,484

203,950

Vertex

Pharmaceuticals,

Inc.

*(a)

1,766

621,473

Vertiv

Holdings

Co.,

Class

A

(a)

6,092

150,899

Viasat,

Inc.

*(a)(c)

6,975

287,789

Viatris,

Inc.

(a)

44,186

440,976

Victoria's

Secret

&

Co.

*(a)

3,848

67,071

Vishay

Intertechnology,

Inc.

(a)

25,210

741,174

Vistra

Corp.

(a)

6,961

182,726

Vontier

Corp.

(a)(c)

3,778

121,689

Voya

Financial,

Inc.

(a)(c)

1,595

114,377

Vulcan

Materials

Co.

(a)

193

43,510

Walmart,

Inc.

(a)

8,026

1,261,526

Waters

Corp.

*(a)(c)

315

83,960

Watts

Water

Technologies,

Inc.,

Class

A

(a)

1,493

274,309

Werner

Enterprises,

Inc.

(a)(c)

10,366

457,970

WESCO

International,

Inc.

(a)(c)

2,532

453,380

Western

Union

Co.

(The)

(a)(c)

60,277

707,049

Westlake

Corp.

(a)

4,428

529,013

Westrock

Co.

(a)

4,798

139,478

Williams-Sonoma,

Inc.

(a)

2,759

345,261

Wintrust

Financial

Corp.

(a)

880

63,906

Woodward,

Inc.

(a)(c)

2,206

262,315

Wyndham

Hotels

&

Resorts,

Inc.

(a)(c)

1,621

111,152

Xcel

Energy,

Inc.

(a)

1,852

115,139

YETI

Holdings,

Inc.

*(a)(c)

779

30,256

Yum!

Brands,

Inc.

(a)

1,713

237,336

Ziff

Davis,

Inc.

*(a)(c)

2,437

170,736

Zimmer

Biomet

Holdings,

Inc.

(a)

2,556

372,154

Zoom

Video

Communications,

Inc.,

Class

A

*(a)(c)

6,690

454,117

158,442,732

—

TOTAL

COMMON

STOCKS

(Cost

$235,788,981)

299,937,913

11

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

0.1%

Germany

-

0.1%

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

(Cost

$125,771)

1,845

147,556

SHORT-TERM

INVESTMENTS

-

67.1%

INVESTMENT

COMPANIES

-

56.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(d)(e)

2,642,437

2,642,437

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

5.14%

(d)(e)

23,008

23,008

Limited

Purpose

Cash

Investment

Fund,

5.10%

(d)

92,317,382

92,280,455

TOTAL

INVESTMENT

COMPANIES

(Cost

$94,934,069)

94,945,900

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

11.0%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(2)(f)

$

546,000

545,775

4.82%,

7/13/2023

(2)(f)

1,383,000

1,381,077

4.80%,

7/20/2023

(2)(f)

262,000

261,380

4.79%,

8/3/2023

(2)(f)

355,000

353,437

5.07%,

8/31/2023

(2)(f)

191,000

189,384

5.10%,

9/7/2023

(2)(f)

878,000

869,734

4.81%,

9/14/2023

(2)(f)

1,519,000

1,503,103

4.73%,

9/21/2023

(2)(f)

741,000

732,501

4.76%,

9/28/2023

(2)(f)

431,000

425,625

4.89%,

10/5/2023

(2)(f)(g)

5,256,000

5,184,996

4.91%,

10/12/2023

(2)(f)

243,000

239,464

4.99%,

10/19/2023

(2)(f)

754,000

742,235

4.96%,

10/26/2023

(2)(f)

627,000

616,585

5.02%,

11/2/2023

(2)(f)(g)

980,000

962,720

5.01%,

11/9/2023

(2)(f)

900,000

883,273

5.11%,

11/16/2023

(2)(f)

330,000

323,542

5.44%,

11/30/2023

(2)(f)(g)

1,951,000

1,908,739

5.39%,

12/7/2023

(2)(f)(g)

959,000

937,217

5.36%,

12/28/2023

(2)(f)

608,000

592,259

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$18,660,460)

18,653,046

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$113,594,529)

113,598,946

TOTAL

LONG

POSITIONS

(Cost

$349,509,281)

413,684,415

SHARES

SHORT

POSITIONS

-

(166.7)%

COMMON

STOCKS

-

(166.0)%

Australia

-

(4.5)%

Allkem

Ltd.

(2)

(14,291)

(153,686)

ALS

Ltd.

(2)

(7,073)

(52,850)

Alumina

Ltd.

(2)

(273,760)

(253,912)

Ampol

Ltd.

(2)

(8,628)

(172,357)

APA

Group

(2)

(57,565)

(372,443)

Cleanaway

Waste

Management

Ltd.

(2)

(50,420)

(87,226)

INVESTMENTS

SHARES

VALUE

($)

Australia

-

(4.5)%

(continued)

Cochlear

Ltd.

(2)

(1,015)

(155,506)

Commonwealth

Bank

of

Australia

(2)

(12,396)

(829,872)

Domino's

Pizza

Enterprises

Ltd.

(2)

(1,846)

(57,386)

Endeavour

Group

Ltd.

(2)

(52,870)

(222,513)

Evolution

Mining

Ltd.

(2)

(182,185)

(396,650)

Fortescue

Metals

Group

Ltd.

(2)

(8,644)

(128,266)

IDP

Education

Ltd.

(2)

(35,846)

(530,837)

IGO

Ltd.

(2)

(46,371)

(473,298)

Insurance

Australia

Group

Ltd.

(2)

(78,147)

(297,184)

Lendlease

Corp.

Ltd.

(2)

(10,986)

(57,000)

Lynas

Rare

Earths

Ltd.

(2)

(85,437)

(392,595)

Macquarie

Group

Ltd.

(2)

(782)

(93,049)

Mineral

Resources

Ltd.

(2)

(6,038)

(289,176)

National

Australia

Bank

Ltd.

(2)

(20,385)

(358,529)

NEXTDC

Ltd.

(2)

(52,330)

(441,287)

QBE

Insurance

Group

Ltd.

(2)

(21,532)

(224,812)

Ramsay

Health

Care

Ltd.

(2)

(12,625)

(474,324)

REA

Group

Ltd.

(2)

(1,920)

(184,442)

Reece

Ltd.

(2)

(2,242)

(27,930)

Santos

Ltd.

(2)

(8,217)

(41,114)

SEEK

Ltd.

(2)

(13,231)

(193,286)

Seven

Group

Holdings

Ltd.

(2)

(6,642)

(109,536)

Transurban

Group

(2)

(13,343)

(127,044)

Woodside

Energy

Group

Ltd.

(2)

(11,059)

(255,812)

Woolworths

Group

Ltd.

(2)

(7,547)

(199,967)

(7,653,889)

—

Belgium

-

(0.8)%

Anheuser-Busch

InBev

SA/NV

(2)

(5,898)

(334,284)

D'ieteren

Group

(2)

(2,329)

(412,198)

Galapagos

NV

(2)

(1,901)

(77,345)

KBC

Group

NV

(2)

(5,379)

(375,459)

UCB

SA

(2)

(1,116)

(98,943)

Umicore

SA

(2)

(3,235)

(90,448)

(1,388,677)

—

Brazil

-

(0.2)%

MercadoLibre,

Inc.

(261)

(309,180)

Wheaton

Precious

Metals

Corp.

(1,024)

(44,284)

(353,464)

—

Canada

-

(7.9)%

Agnico

Eagle

Mines

Ltd.

(5,860)

(292,613)

Air

Canada

(12,248)

(231,046)

Alamos

Gold,

Inc.,

Class

A

(2,491)

(29,672)

Algonquin

Power

&

Utilities

Corp.

(101,407)

(838,201)

AltaGas

Ltd.

(4,685)

(84,169)

Aritzia,

Inc.

(18,578)

(515,795)

Barrick

Gold

Corp.

(19,263)

(325,861)

BCE,

Inc.

(6,561)

(299,139)

BlackBerry

Ltd.

(9,369)

(51,911)

Boralex,

Inc.,

Class

A

(3,289)

(89,552)

Brookfield

Asset

Management

Ltd.,

Class

A

(3,064)

(100,009)

Brookfield

Corp.,

Class

A

(17,168)

(577,990)

CAE,

Inc.

(4,470)

(100,046)

Cameco

Corp.

(14,915)

(467,125)

Canadian

Natural

Resources

Ltd.

(8,168)

(459,221)

CCL

Industries,

Inc.,

Class

B

(5,115)

(251,435)

12

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(7.9)%

(continued)

Cenovus

Energy,

Inc.

(3,559)

(60,447)

Colliers

International

Group,

Inc.

(3,197)

(313,727)

Dollarama,

Inc.

(2,717)

(184,012)

Element

Fleet

Management

Corp.

(17,101)

(260,501)

Emera,

Inc.

(9,702)

(399,578)

Enbridge,

Inc.

(23,737)

(882,286)

FirstService

Corp.

(650)

(100,104)

Franco-Nevada

Corp.

(1,902)

(271,083)

GFL

Environmental,

Inc.

(4,461)

(173,220)

Gildan

Activewear,

Inc.

(997)

(32,143)

Innergex

Renewable

Energy,

Inc.

(1,647)

(15,342)

Intact

Financial

Corp.

(2,056)

(317,444)

Keyera

Corp.

(4,940)

(113,921)

Kinaxis,

Inc.

(1,345)

(192,194)

Lumine

Group,

Inc.

(h)

(225)

(3,086)

Metro,

Inc.,

Class

A

(3,669)

(207,220)

Nuvei

Corp.

(b)

(3,411)

(100,727)

Pan

American

Silver

Corp.

(28,717)

(418,372)

Pembina

Pipeline

Corp.

(14,126)

(444,120)

PrairieSky

Royalty

Ltd.

(19,295)

(337,326)

RB

Global,

Inc.

(5,981)

(358,928)

Royal

Bank

of

Canada

(9,567)

(913,694)

Shopify,

Inc.,

Class

A

(10,711)

(692,263)

SNC-Lavalin

Group,

Inc.

(8,247)

(216,330)

SSR

Mining,

Inc.

(10,928)

(155,001)

TC

Energy

Corp.

(21,216)

(857,447)

Thomson

Reuters

Corp.

(1,601)

(216,158)

WSP

Global,

Inc.

(3,149)

(416,032)

(13,366,491)

—

Chile

-

(0.3)%

Antofagasta

plc

(2)

(31,260)

(581,325)

China

-

(0.4)%

Prosus

NV

(2)

(9,311)

(681,883)

Denmark

-

(2.1)%

Ambu

A/S,

Class

B

(2)

(7,603)

(124,639)

Coloplast

A/S,

Class

B

(2)

(782)

(97,857)

Demant

A/S

(2)

(2,131)

(90,199)

DSV

A/S

(2)

(2,273)

(477,425)

Novozymes

A/S,

Class

B

(2)

(8,864)

(413,586)

Orsted

A/S

(2)(b)

(7,855)

(744,672)

Tryg

A/S

(2)

(22,246)

(481,759)

Vestas

Wind

Systems

A/S

(2)

(43,488)

(1,156,229)

(3,586,366)

—

Faroe

Islands

-

(0.0)%

(i)

Bakkafrost

P/F

(2)

(879)

(52,583)

Finland

-

(1.2)%

Huhtamaki

OYJ

(2)

(2,489)

(81,685)

Kojamo

OYJ

(2)

(2,962)

(27,843)

Neste

OYJ

(2)

(8,652)

(333,130)

Nokian

Renkaat

OYJ

(2)

(29,275)

(255,305)

Nordea

Bank

Abp

(2)

(29,205)

(318,121)

Sampo

OYJ,

Class

A

(2)

(11,553)

(518,873)

UPM-Kymmene

OYJ

(2)

(18,099)

(539,294)

(2,074,251)

—

INVESTMENTS

SHARES

VALUE

($)

France

-

(4.8)%

Accor

SA

(2)

(4,696)

(174,745)

Adevinta

ASA

(2)

(3,969)

(26,082)

Aeroports

de

Paris

(2)

(353)

(50,723)

Air

France-KLM

(2)

(31,985)

(60,263)

Airbus

SE

(2)

(6,885)

(995,446)

Alten

SA

(2)

(179)

(28,229)

AXA

SA

(2)

(10,579)

(312,623)

BioMerieux

(2)

(1,029)

(108,042)

Bollore

SE

(2)

(7,296)

(45,500)

Bureau

Veritas

SA

(2)

(8,036)

(220,468)

Capgemini

SE

(2)

(2,208)

(418,068)

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

(6,515)

(192,722)

Dassault

Systemes

SE

(2)

(21,861)

(968,683)

Edenred

(2)

(6,759)

(452,747)

Forvia

(2)

(11,737)

(277,006)

Gaztransport

Et

Technigaz

SA

(2)

(379)

(38,582)

Getlink

SE

(2)

(3,586)

(61,026)

Kering

SA

(2)

(138)

(76,203)

Legrand

SA

(2)

(472)

(46,824)

L'Oreal

SA

(2)

(340)

(158,602)

Pernod

Ricard

SA

(2)

(1,743)

(385,159)

Remy

Cointreau

SA

(2)

(741)

(118,946)

Renault

SA

(2)

(16,662)

(703,030)

Safran

SA

(2)

(1,260)

(197,454)

Sartorius

Stedim

Biotech

(2)

(2,770)

(691,818)

SCOR

SE

(2)

(4,534)

(133,288)

SEB

SA

(2)

(489)

(50,570)

SOITEC

(2)

(1,067)

(180,510)

Teleperformance

(2)

(722)

(121,119)

Valeo

(2)

(11,154)

(239,691)

Vivendi

SE

(2)

(13,300)

(122,100)

Worldline

SA

(2)(b)

(12,032)

(440,612)

(8,096,881)

—

Germany

-

(5.5)%

adidas

AG

(2)

(4,645)

(901,725)

Aroundtown

SA

(2)

(217,735)

(251,090)

Bayer

AG

(Registered)

(2)

(13,522)

(748,511)

Carl

Zeiss

Meditec

AG

(2)

(2,482)

(268,414)

Continental

AG

(2)

(2,970)

(224,385)

CTS

Eventim

AG

&

Co.

KGaA

(2)

(5,849)

(369,927)

Deutsche

Telekom

AG

(Registered)

(2)

(14,905)

(325,205)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)

(3,428)

(182,981)

Infineon

Technologies

AG

(2)

(5,578)

(229,715)

Mercedes-Benz

Group

AG

(2)

(2,577)

(207,426)

Merck

KGaA

(2)

(4,564)

(755,478)

MTU

Aero

Engines

AG

(2)

(187)

(48,502)

Nemetschek

SE

(2)

(4,520)

(337,449)

Puma

SE

(2)

(4,058)

(244,536)

Rational

AG

(2)

(60)

(43,446)

Rheinmetall

AG

(2)

(389)

(106,567)

RWE

AG

(2)

(16,388)

(714,129)

SAP

SE

(2)

(2,245)

(306,684)

Scout24

SE

(2)(b)

(467)

(29,592)

Siemens

Healthineers

AG

(2)(b)

(10,731)

(608,183)

Symrise

AG,

Class

A

(2)

(7,551)

(791,741)

TeamViewer

SE

(2)(b)

(6,103)

(98,096)

13

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

(5.5)%

(continued)

United

Internet

AG

(Registered)

(2)

(3,467)

(48,817)

VERBIO

Vereinigte

BioEnergie

AG

(2)

(5,496)

(221,257)

Vonovia

SE

(2)

(49,269)

(962,205)

Zalando

SE

(2)(b)

(12,554)

(362,047)

(9,388,108)

—

Hong

Kong

-

(0.5)%

Prudential

plc

(2)

(63,325)

(894,364)

Italy

-

(3.0)%

Amplifon

SpA

(2)

(6,675)

(244,838)

Brunello

Cucinelli

SpA

(2)

(1,659)

(146,067)

Davide

Campari-Milano

NV

(2)

(6,444)

(89,309)

DiaSorin

SpA

(2)

(674)

(70,210)

Enel

SpA

(2)

(81,864)

(551,961)

ERG

SpA

(2)

(15,605)

(460,233)

Ferrari

NV

(2)

(728)

(238,018)

FinecoBank

Banca

Fineco

SpA

(2)

(3,135)

(42,199)

Infrastrutture

Wireless

Italiane

SpA

(2)(b)

(9,419)

(124,333)

Interpump

Group

SpA

(2)

(4,499)

(250,221)

Intesa

Sanpaolo

SpA

(2)

(176,221)

(462,007)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)

(29,810)

(356,900)

Moncler

SpA

(2)

(5,199)

(359,707)

Nexi

SpA

(2)(b)

(66,435)

(521,233)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(2)

(8,131)

(388,441)

Snam

SpA

(2)

(21,118)

(110,370)

Telecom

Italia

SpA

(2)

(1,140,142)

(321,441)

Terna

-

Rete

Elettrica

Nazionale

(2)

(45,499)

(388,069)

(5,125,557)

—

Japan

-

(25.7)%

ABC-Mart,

Inc.

(2)

(1,600)

(86,949)

Aeon

Co.

Ltd.

(2)

(28,000)

(573,342)

Ajinomoto

Co.,

Inc.

(2)

(7,300)

(290,809)

Asahi

Intecc

Co.

Ltd.

(2)

(11,300)

(222,474)

Asahi

Kasei

Corp.

(2)

(29,200)

(197,715)

Asics

Corp.

(2)

(16,900)

(522,988)

Azbil

Corp.

(2)

(3,700)

(117,105)

Bank

of

Kyoto

Ltd.

(The)

(2)

(6,400)

(320,227)

BayCurrent

Consulting,

Inc.

(2)

(3,300)

(124,086)

Bridgestone

Corp.

(2)

(10,500)

(431,358)

Calbee,

Inc.

(2)

(7,500)

(141,903)

Canon,

Inc.

(2)

(8,200)

(215,550)

Capcom

Co.

Ltd.

(2)

(2,000)

(79,281)

Central

Japan

Railway

Co.

(2)

(1,100)

(137,821)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(12,700)

(361,684)

Concordia

Financial

Group

Ltd.

(2)

(48,400)

(189,237)

Cosmos

Pharmaceutical

Corp.

(2)

(2,600)

(263,630)

Daifuku

Co.

Ltd.

(2)

(15,500)

(319,235)

Daiichi

Sankyo

Co.

Ltd.

(2)

(19,800)

(629,131)

Daikin

Industries

Ltd.

(2)

(4,200)

(860,602)

Denso

Corp.

(2)

(13,900)

(937,585)

Disco

Corp.

(2)

(2,600)

(412,220)

East

Japan

Railway

Co.

(2)

(13,000)

(720,895)

Eisai

Co.

Ltd.

(2)

(11,800)

(799,734)

FANUC

Corp.

(2)

(21,200)

(744,240)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(25.7)%

(continued)

Fast

Retailing

Co.

Ltd.

(2)

(1,000)

(256,475)

FUJIFILM

Holdings

Corp.

(2)

(5,500)

(327,707)

GMO

Payment

Gateway,

Inc.

(2)

(4,000)

(313,758)

Hankyu

Hanshin

Holdings,

Inc.

(2)

(1,900)

(62,822)

Harmonic

Drive

Systems,

Inc.

(2)

(14,100)

(454,426)

Hikari

Tsushin,

Inc.

(2)

(1,100)

(157,885)

Hoshizaki

Corp.

(2)

(7,400)

(265,680)

Hoya

Corp.

(2)

(4,200)

(502,598)

Hulic

Co.

Ltd.

(2)

(24,300)

(208,213)

Itochu

Techno-Solutions

Corp.

(2)

(2,200)

(55,748)

Japan

Airlines

Co.

Ltd.

(2)

(15,900)

(344,767)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(12,500)

(565,392)

Japan

Post

Bank

Co.

Ltd.

(2)

(30,500)

(237,846)

Japan

Tobacco,

Inc.

(2)

(19,700)

(431,548)

JSR

Corp.

(2)

(35,700)

(1,025,881)

Kadokawa

Corp.

(2)

(12,000)

(287,846)

Kakaku.com,

Inc.

(2)

(8,100)

(116,681)

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)

(36,200)

(454,180)

Kansai

Paint

Co.

Ltd.

(2)

(4,400)

(64,897)

KDDI

Corp.

(2)

(9,700)

(299,566)

Keio

Corp.

(2)

(10,100)

(317,711)

Keyence

Corp.

(2)

(500)

(237,578)

Kikkoman

Corp.

(2)

(5,300)

(302,676)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(8,800)

(304,764)

Kobe

Bussan

Co.

Ltd.

(2)

(21,100)

(547,653)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(3,700)

(64,089)

Kose

Corp.

(2)

(2,300)

(221,098)

Kubota

Corp.

(2)

(33,300)

(487,475)

Kurita

Water

Industries

Ltd.

(2)

(1,600)

(61,428)

Kyowa

Kirin

Co.

Ltd.

(2)

(6,300)

(116,772)

Kyushu

Railway

Co.

(2)

(2,100)

(45,150)

Lasertec

Corp.

(2)

(5,400)

(816,029)

M3,

Inc.

(2)

(26,000)

(566,920)

Makita

Corp.

(2)

(12,100)

(342,022)

Marui

Group

Co.

Ltd.

(2)

(22,900)

(400,229)

MatsukiyoCocokara

&

Co.

(2)

(5,000)

(280,856)

Mercari,

Inc.

(2)

(14,900)

(350,690)

Mitsubishi

Estate

Co.

Ltd.

(2)

(48,400)

(575,008)

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

(77,700)

(572,732)

Mitsui

Fudosan

Co.

Ltd.

(2)

(16,500)

(328,868)

Mitsui

OSK

Lines

Ltd.

(2)

(25,200)

(606,290)

MonotaRO

Co.

Ltd.

(2)

(35,700)

(455,904)

Nabtesco

Corp.

(2)

(1,400)

(30,943)

Nagoya

Railroad

Co.

Ltd.

(2)

(7,400)

(118,889)

NIDEC

Corp.

(2)

(18,200)

(1,002,919)

Nihon

M&A

Center

Holdings,

Inc.

(2)

(51,700)

(397,780)

Nintendo

Co.

Ltd.

(2)

(7,000)

(319,118)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(46,700)

(386,490)

Nippon

Sanso

Holdings

Corp.

(2)

(2,800)

(60,833)

Nippon

Shinyaku

Co.

Ltd.

(2)

(2,000)

(81,828)

Nippon

Telegraph

&

Telephone

Corp.

(2)

(555,000)

(656,735)

Nissan

Chemical

Corp.

(2)

(5,900)

(254,406)

Nissan

Motor

Co.

Ltd.

(2)

(51,800)

(212,594)

Nitori

Holdings

Co.

Ltd.

(2)

(2,500)

(280,736)

Nomura

Research

Institute

Ltd.

(2)

(8,700)

(240,359)

14

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(25.7)%

(continued)

Obic

Co.

Ltd.

(2)

(2,000)

(321,017)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(28,200)

(377,871)

Olympus

Corp.

(2)

(13,900)

(219,972)

Oriental

Land

Co.

Ltd.

(2)

(6,900)

(269,003)

Recruit

Holdings

Co.

Ltd.

(2)

(6,100)

(194,684)

Renesas

Electronics

Corp.

(2)

(6,400)

(120,783)

Resona

Holdings,

Inc.

(2)

(60,100)

(287,757)

Resonac

Holdings

Corp.

(2)

(18,200)

(295,681)

Rinnai

Corp.

(2)

(5,900)

(128,710)

Sekisui

House

Ltd.

(2)

(7,300)

(147,457)

Seven

&

i

Holdings

Co.

Ltd.

(2)

(3,400)

(146,887)

SG

Holdings

Co.

Ltd.

(2)

(26,800)

(382,283)

Sharp

Corp.

(2)

(28,200)

(158,131)

SHIFT,

Inc.

(2)

(200)

(36,662)

Shimadzu

Corp.

(2)

(3,100)

(95,817)

Shimano,

Inc.

(2)

(900)

(150,667)

Shiseido

Co.

Ltd.

(2)

(6,000)

(271,978)

Shizuoka

Financial

Group,

Inc.

(2)

(12,200)

(88,140)

SMC

Corp.

(2)

(500)

(277,881)

SoftBank

Corp.

(2)

(74,400)

(794,986)

SoftBank

Group

Corp.

(2)

(20,900)

(985,636)

Sony

Group

Corp.

(2)

(6,700)

(604,810)

Sumitomo

Metal

Mining

Co.

Ltd.

(2)

(12,300)

(397,071)

Sumitomo

Realty

&

Development

Co.

Ltd.

(2)

(9,600)

(237,897)

Suzuki

Motor

Corp.

(2)

(6,200)

(224,829)

Sysmex

Corp.

(2)

(3,900)

(267,138)

T&D

Holdings,

Inc.

(2)

(11,500)

(168,657)

Taiyo

Yuden

Co.

Ltd.

(2)

(5,700)

(163,170)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(10,400)

(326,795)

Terumo

Corp.

(2)

(12,100)

(385,381)

TIS,

Inc.

(2)

(1,100)

(27,561)

Tobu

Railway

Co.

Ltd.

(2)

(8,300)

(222,549)

Tokio

Marine

Holdings,

Inc.

(2)

(12,600)

(290,475)

Tokyo

Century

Corp.

(2)

(1,100)

(39,724)

Tokyo

Electron

Ltd.

(2)

(5,200)

(748,948)

Tokyu

Corp.

(2)

(28,100)

(338,910)

Toray

Industries,

Inc.

(2)

(9,100)

(50,736)

Toshiba

Corp.

(2)

(21,600)

(677,794)

TOTO

Ltd.

(2)

(5,700)

(172,348)

Toyota

Motor

Corp.

(2)

(73,000)

(1,173,262)

Trend

Micro,

Inc.

(2)

(1,100)

(53,247)

Unicharm

Corp.

(2)

(6,600)

(245,420)

USS

Co.

Ltd.

(2)

(15,300)

(253,302)

Welcia

Holdings

Co.

Ltd.

(2)

(13,300)

(277,028)

West

Japan

Railway

Co.

(2)

(11,000)

(457,513)

Yakult

Honsha

Co.

Ltd.

(2)

(1,800)

(113,843)

Yamaha

Corp.

(2)

(18,200)

(701,079)

Yamato

Holdings

Co.

Ltd.

(2)

(3,200)

(58,003)

Yaskawa

Electric

Corp.

(2)

(11,400)

(525,575)

Z

Holdings

Corp.

(2)

(63,300)

(152,559)

(43,286,916)

—

Luxembourg

-

(0.2)%

Eurofins

Scientific

SE

(2)

(4,607)

(292,765)

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

(3.7)%

Adyen

NV

(2)(b)

(532)

(921,247)

Aegon

NV

(2)

(107,332)

(544,858)

Akzo

Nobel

NV

(2)

(551)

(45,046)

Argenx

SE

(2)

(1,568)

(611,513)

ASM

International

NV

(2)

(1,005)

(426,727)

ASML

Holding

NV

(2)

(363)

(263,294)

BE

Semiconductor

Industries

NV

(2)

(2,213)

(240,009)

Ferrovial

SE

(41,226)

(1,303,240)

IMCD

NV

(2)

(3,318)

(477,497)

JDE

Peet's

NV

(1,149)

(34,178)

Koninklijke

KPN

NV

(2)

(30,587)

(109,195)

Koninklijke

Philips

NV

(2)

(10,371)

(224,715)

Koninklijke

Vopak

NV

(2)

(9,712)

(346,655)

SBM

Offshore

NV

(2)

(9,367)

(128,403)

Universal

Music

Group

NV

(2)

(27,259)

(605,553)

(6,282,130)

—

Norway

-

(0.6)%

DNB

Bank

ASA

(2)

(5,724)

(107,043)

Gjensidige

Forsikring

ASA

(2)

(17,643)

(282,638)

Kongsberg

Gruppen

ASA

(2)

(2,413)

(109,681)

Mowi

ASA

(2)

(14,415)

(228,709)

Schibsted

ASA,

Class

A

(2)

(7,426)

(130,410)

TOMRA

Systems

ASA

(2)

(6,442)

(103,636)

(962,117)

—

Singapore

-

(1.7)%

City

Developments

Ltd.

(2)

(8,900)

(44,393)

DBS

Group

Holdings

Ltd.

(2)

(27,800)

(649,207)

Grab

Holdings

Ltd.,

Class

A

(112,908)

(387,274)

Sea

Ltd.,

ADR

(2,137)

(124,031)

Singapore

Technologies

Engineering

Ltd.

(2)

(189,200)

(516,264)

Singapore

Telecommunications

Ltd.

(2)

(499,500)

(925,160)

United

Overseas

Bank

Ltd.

(2)

(11,700)

(242,790)

(2,889,119)

—

South

Africa

-

(0.1)%

Anglo

American

plc

(2)

(7,438)

(211,786)

South

Korea

-

(0.3)%

Delivery

Hero

SE

(2)(b)

(11,925)

(526,132)

Spain

-

(2.1)%

Aena

SME

SA

(2)(b)

(721)

(116,691)

Amadeus

IT

Group

SA

(2)

(8,773)

(668,067)

Bankinter

SA

(2)

(52,484)

(323,027)

Cellnex

Telecom

SA

(2)(b)

(19,493)

(787,592)

Corp.

ACCIONA

Energias

Renovables

SA

(2)

(3,044)

(101,837)

Endesa

SA

(2)

(7,465)

(160,405)

Fluidra

SA

(2)

(13,057)

(254,593)

Grifols

SA

(2)

(43,465)

(557,605)

Naturgy

Energy

Group

SA

(2)

(15,403)

(459,171)

Telefonica

SA

(2)

(29,732)

(120,711)

(3,549,699)

—

15

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

(3.1)%

AddTech

AB,

Class

B

(2)

(3,196)

(69,700)

Atlas

Copco

AB,

Class

A

(2)

(12,302)

(177,603)

Autoliv,

Inc.

(2,425)

(206,222)

Beijer

Ref

AB,

Class

B

(2)

(17,567)

(224,392)

Epiroc

AB,

Class

A

(2)

(7,498)

(142,026)

EQT

AB

(2)

(49,791)

(958,562)

Hexagon

AB,

Class

B

(2)

(50,380)

(619,690)

Holmen

AB,

Class

B

(2)

(7,313)

(262,835)

Husqvarna

AB,

Class

B

(2)

(20,104)

(182,415)

Lifco

AB,

Class

B

(2)

(3,035)

(66,096)

Nibe

Industrier

AB,

Class

B

(2)

(20,503)

(194,950)

Sagax

AB,

Class

B

(2)

(15,360)

(303,748)

Skandinaviska

Enskilda

Banken

AB,

Class

A

(2)

(22,801)

(252,185)

Svenska

Cellulosa

AB

SCA,

Class

B

(2)

(54,148)

(691,198)

Svenska

Handelsbanken

AB,

Class

A

(2)

(35,303)

(295,566)

Tele2

AB,

Class

B

(2)

(11,301)

(93,463)

Telia

Co.

AB

(2)

(223,351)

(490,000)

(5,230,651)

—

Switzerland

-

(5.0)%

ABB

Ltd.

(Registered)

(2)

(25,347)

(997,173)

Bachem

Holding

AG,

Class

B

(2)

(1,574)

(137,435)

Banque

Cantonale

Vaudoise

(Registered)

(2)

(3,464)

(365,886)

Belimo

Holding

AG

(Registered)

(2)

(81)

(40,485)

Clariant

AG

(Registered)

(2)

(16,687)

(241,403)

EMS-Chemie

Holding

AG

(Registered)

(2)

(37)

(28,039)

Givaudan

SA

(Registered)

(2)

(187)

(620,268)

Helvetia

Holding

AG

(Registered)

(2)

(707)

(95,823)

Julius

Baer

Group

Ltd.

(2)

(4,338)

(273,760)

Logitech

International

SA

(Registered)

(2)

(8,976)

(535,734)

Lonza

Group

AG

(Registered)

(2)

(646)

(386,122)

Partners

Group

Holding

AG

(2)

(576)

(543,076)

PSP

Swiss

Property

AG

(Registered)

(2)

(3,244)

(362,475)

Schindler

Holding

AG

(2)

(272)

(63,867)

SIG

Group

AG

(2)

(31,964)

(883,060)

Sika

AG

(Registered)

(2)

(2,042)

(584,830)

Straumann

Holding

AG

(Registered)

(2)

(2,671)

(434,321)

Swiss

Prime

Site

AG

(Registered)

(2)

(4,247)

(368,921)

Temenos

AG

(Registered)

(2)

(3,962)

(315,477)

VAT

Group

AG

(2)(b)

(1,003)

(415,457)

Zurich

Insurance

Group

AG

(2)

(1,745)

(830,077)

(8,523,689)

—

United

Kingdom

-

(6.0)%

Admiral

Group

plc

(2)

(11,136)

(294,923)

Ashtead

Group

plc

(2)

(4,247)

(294,448)

AstraZeneca

plc

(2)

(1,445)

(207,147)

Beazley

plc

(2)

(21,281)

(159,548)

Berkeley

Group

Holdings

plc

(2)

(2,061)

(102,741)

CNH

Industrial

NV

(2)

(64,887)

(935,841)

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(6.0)%

(continued)

ConvaTec

Group

plc

(2)(b)

(61,838)

(161,278)

Croda

International

plc

(2)

(7,189)

(513,903)

Diageo

plc

(2)

(6,928)

(297,842)

Direct

Line

Insurance

Group

plc

(2)

(57,072)

(98,676)

easyJet

plc

(2)

(33,222)

(204,146)

Entain

plc

(2)

(1,940)

(31,369)

Halma

plc

(2)

(11,103)

(321,380)

Harbour

Energy

plc

(2)

(111,518)

(324,164)

Hargreaves

Lansdown

plc

(2)

(9,060)

(93,918)

Hiscox

Ltd.

(2)

(12,485)

(173,093)

Informa

plc

(2)

(73,201)

(675,878)

Intermediate

Capital

Group

plc

(2)

(18,564)

(325,404)

ITV

plc

(2)

(38,776)

(33,708)

Legal

&

General

Group

plc

(2)

(52,260)

(151,309)

Liberty

Global

plc,

Class

C

(18,505)

(328,834)

M&G

plc

(2)

(162,458)

(395,368)

Melrose

Industries

plc

(2)

(15,227)

(98,109)

National

Grid

plc

(2)

(52,630)

(697,788)

Ocado

Group

plc

(2)

(12,643)

(91,490)

Persimmon

plc

(2)

(14,544)

(189,504)

Reckitt

Benckiser

Group

plc

(2)

(10,065)

(756,394)

RELX

plc

(2)

(7,683)

(256,310)

Rolls-Royce

Holdings

plc

(2)

(72,545)

(139,504)

Spirax-Sarco

Engineering

plc

(2)

(2,811)

(370,502)

SSE

plc

(2)

(14,453)

(338,924)

St

James's

Place

plc

(2)

(24,422)

(337,745)

Tate

&

Lyle

plc

(4,495)

(41,445)

Weir

Group

plc

(The)

(2)

(8,203)

(183,137)

WH

Smith

plc

(2)

(4,023)

(79,322)

WPP

plc

(2)

(49,818)

(522,182)

(10,227,274)

—

United

States

-

(86.1)%

10X

Genomics,

Inc.,

Class

A

(9,351)

(522,160)

Acadia

Healthcare

Co.,

Inc.

(6,269)

(499,263)

Advanced

Drainage

Systems,

Inc.

(2,136)

(243,034)

Advanced

Micro

Devices,

Inc.

(1,736)

(197,748)

AECOM

(2,698)

(228,494)

AES

Corp.

(The)

(10,736)

(222,557)

Affirm

Holdings,

Inc.,

Class

A

(9,740)

(149,314)

Aflac,

Inc.

(7,048)

(491,950)

agilon

health,

Inc.

(17,112)

(296,722)

Air

Lease

Corp.,

Class

A

(1,799)

(75,288)

Air

Products

and

Chemicals,

Inc.

(1,224)

(366,625)

Airbnb,

Inc.,

Class

A

(2,062)

(264,266)

Alaska

Air

Group,

Inc.

(4,877)

(259,359)

Albemarle

Corp.

(668)

(149,024)

Alcoa

Corp.

(13,225)

(448,724)

Align

Technology,

Inc.

(155)

(54,814)

Allegion

plc

(615)

(73,812)

Alliant

Energy

Corp.

(8,529)

(447,602)

Allstate

Corp.

(The)

(4,115)

(448,700)

Alnylam

Pharmaceuticals,

Inc.

(1,271)

(241,414)

Alteryx,

Inc.,

Class

A

(10,169)

(461,673)

Amazon.com,

Inc.

(5,076)

(661,707)

Amcor

plc

(44,562)

(444,729)

American

Airlines

Group,

Inc.

(21,329)

(382,642)

American

Express

Co.

(3,248)

(565,802)

American

Financial

Group,

Inc.

(712)

(84,550)

American

Water

Works

Co.,

Inc.

(4,743)

(677,063)

16

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

AMETEK,

Inc.

(833)

(134,846)

Antero

Resources

Corp.

(13,313)

(306,598)

Aon

plc,

Class

A

(2,251)

(777,044)

APA

Corp.

(4,692)

(160,326)

AptarGroup,

Inc.

(674)

(78,090)

Aptiv

plc

(6,577)

(671,446)

Aramark

(1,571)

(67,632)

Arista

Networks,

Inc.

(480)

(77,789)

Armstrong

World

Industries,

Inc.

(3,650)

(268,129)

Arrowhead

Pharmaceuticals,

Inc.

(6,770)

(241,418)

Arthur

J

Gallagher

&

Co.

(840)

(184,439)

Ashland,

Inc.

(5,565)

(483,654)

Atlassian

Corp.,

Class

A

(572)

(95,987)

Atmos

Energy

Corp.

(1,587)

(184,632)

Automatic

Data

Processing,

Inc.

(2,159)

(474,527)

AutoZone,

Inc.

(41)

(102,228)

Avery

Dennison

Corp.

(2,260)

(388,268)

Avis

Budget

Group,

Inc.

(920)

(210,376)

Axalta

Coating

Systems

Ltd.

(3,368)

(110,504)

Axon

Enterprise,

Inc.

(931)

(181,657)

AZEK

Co.,

Inc.

(The),

Class

A

(12,513)

(379,019)

Azenta,

Inc.

(14,699)

(686,149)

Baker

Hughes

Co.,

Class

A

(21,249)

(671,681)

Ball

Corp.

(11,554)

(672,558)

Bank

of

America

Corp.

(4,603)

(132,060)

Bank

of

Hawaii

Corp.

(3,232)

(133,255)

Bath

&

Body

Works,

Inc.

(2,817)

(105,638)

Baxter

International,

Inc.

(5,979)

(272,403)

Becton

Dickinson

&

Co.

(1,255)

(331,333)

BellRing

Brands,

Inc.

(3,114)

(113,972)

BILL

Holdings,

Inc.

(3,212)

(375,322)

BioMarin

Pharmaceutical,

Inc.

(3,235)

(280,410)

Bio-Rad

Laboratories,

Inc.,

Class

A

(1,098)

(416,274)

Bio-Techne

Corp.

(2,545)

(207,748)

BJ's

Wholesale

Club

Holdings,

Inc.

(4,852)

(305,725)

BlackRock,

Inc.

(719)

(496,930)

Block,

Inc.,

Class

A

(1,967)

(130,943)

Blue

Owl

Capital,

Inc.,

Class

A

(5,390)

(62,794)

Boeing

Co.

(The)

(2,173)

(458,851)

BOK

Financial

Corp.

(1,081)

(87,323)

Bright

Horizons

Family

Solutions,

Inc.

(3,328)

(307,674)

Brink's

Co.

(The)

(1,700)

(115,311)

Broadridge

Financial

Solutions,

Inc.

(2,712)

(449,189)

Brookfield

Renewable

Corp.,

Class

A

(1,508)

(47,571)

Brown

&

Brown,

Inc.

(6,531)

(449,594)

Brown-Forman

Corp.,

Class

B

(6,563)

(438,277)

Burlington

Stores,

Inc.

(1,447)

(227,743)

Cable

One,

Inc.

(602)

(395,562)

Cabot

Corp.

(985)

(65,887)

Cadence

Bank

(4,082)

(80,170)

Caesars

Entertainment,

Inc.

(3,666)

(186,856)

Campbell

Soup

Co.

(3,344)

(152,854)

CarMax,

Inc.

(3,015)

(252,356)

Carnival

Corp.

(16,944)

(319,056)

Carrier

Global

Corp.

(3,471)

(172,543)

Catalent,

Inc.

(5,207)

(225,776)

Cboe

Global

Markets,

Inc.

(422)

(58,240)

Celanese

Corp.,

Class

A

(3,841)

(444,788)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

Celsius

Holdings,

Inc.

(317)

(47,293)

CenterPoint

Energy,

Inc.

(10,468)

(305,142)

Ceridian

HCM

Holding,

Inc.

(6,688)

(447,895)

Certara,

Inc.

(1,994)

(36,311)

Charles

Schwab

Corp.

(The)

(7,002)

(396,873)

Chart

Industries,

Inc.

(3,519)

(562,301)

Charter

Communications,

Inc.,

Class

A

(1,542)

(566,485)

Chemed

Corp.

(849)

(459,878)

Cheniere

Energy,

Inc.

(1,890)

(287,960)

Chesapeake

Energy

Corp.

(1,881)

(157,402)

Chewy,

Inc.,

Class

A

(3,752)

(148,091)

Chubb

Ltd.

(1,894)

(364,709)

Churchill

Downs,

Inc.

(1,101)

(153,226)

Ciena

Corp.

(6,698)

(284,598)

Cincinnati

Financial

Corp.

(6,264)

(609,612)

Clarivate

plc

(20,111)

(191,658)

Cleveland-Cliffs,

Inc.

(7,261)

(121,694)

Cloudflare,

Inc.,

Class

A

(4,429)

(289,524)

CME

Group,

Inc.

(3,514)

(651,109)

CMS

Energy

Corp.

(5,315)

(312,256)

CNX

Resources

Corp.

(31,790)

(563,319)

Cognex

Corp.

(2,787)

(156,128)

Coherent

Corp.

(7,672)

(391,119)

Comerica,

Inc.

(1,198)

(50,747)

Commerce

Bancshares,

Inc.

(8,676)

(422,521)

Conagra

Brands,

Inc.

(9,157)

(308,774)

Confluent,

Inc.,

Class

A

(10,769)

(380,253)

ConocoPhillips

(2,140)

(221,725)

Constellation

Brands,

Inc.,

Class

A

(2,662)

(655,198)

Constellation

Energy

Corp.

(552)

(50,536)

Corteva,

Inc.

(18,093)

(1,036,728)

CoStar

Group,

Inc.

(2,705)

(240,745)

Costco

Wholesale

Corp.

(1,464)

(788,187)

Crane

Co.

(1,636)

(145,800)

Credit

Acceptance

Corp.

(307)

(155,935)

Crocs,

Inc.

(1,081)

(121,548)

Crowdstrike

Holdings,

Inc.,

Class

A

(976)

(143,345)

Crown

Holdings,

Inc.

(5,967)

(518,353)

CSL

Ltd.

(2)

(5,658)

(1,047,741)

CSX

Corp.

(8,882)

(302,876)

Cullen/Frost

Bankers,

Inc.

(4,238)

(455,712)

Darling

Ingredients,

Inc.

(3,093)

(197,302)

Datadog,

Inc.,

Class

A

(1,759)

(173,050)

DaVita,

Inc.

(1,941)

(195,012)

Definitive

Healthcare

Corp.,

Class

A

(27,800)

(305,800)

Delta

Air

Lines,

Inc.

(9,137)

(434,373)

Devon

Energy

Corp.

(3,220)

(155,655)

Dexcom,

Inc.

(2,998)

(385,273)

Dollar

General

Corp.

(4,728)

(802,719)

Dollar

Tree,

Inc.

(4,618)

(662,683)

Dominion

Energy,

Inc.

(12,011)

(622,050)

DoorDash,

Inc.,

Class

A

(1,454)

(111,115)

DoubleVerify

Holdings,

Inc.

(947)

(36,857)

Doximity,

Inc.,

Class

A

(2,208)

(75,116)

DraftKings,

Inc.,

Class

A

(10,742)

(285,415)

Driven

Brands

Holdings,

Inc.

(4,659)

(126,073)

DT

Midstream,

Inc.

(7,925)

(392,842)

DTE

Energy

Co.

(1,754)

(192,975)

Duke

Energy

Corp.

(6,783)

(608,706)

17

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

Dun

&

Bradstreet

Holdings,

Inc.

(17,793)

(205,865)

DuPont

de

Nemours,

Inc.

(8,879)

(634,316)

Dynatrace,

Inc.

(3,271)

(168,358)

East

West

Bancorp,

Inc.

(1,482)

(78,235)

Ecolab,

Inc.

(889)

(165,967)

Edison

International

(7,931)

(550,808)

Elanco

Animal

Health,

Inc.

(10,039)

(100,992)

Elastic

NV

(3,383)

(216,918)

Element

Solutions,

Inc.

(5,915)

(113,568)

Eli

Lilly

&

Co.

(1,164)

(545,893)

Emerson

Electric

Co.

(6,864)

(620,437)

Enhabit,

Inc.

(9,584)

(110,216)

Enphase

Energy,

Inc.

(1,278)

(214,039)

Entegris,

Inc.

(2,401)

(266,079)

Envestnet,

Inc.

(14,850)

(881,347)

EQT

Corp.

(4,792)

(197,095)

Equifax,

Inc.

(1,425)

(335,303)

Equitrans

Midstream

Corp.

(20,609)

(197,022)

Erie

Indemnity

Co.,

Class

A

(950)

(199,510)

Essent

Group

Ltd.

(1,498)

(70,106)

Essential

Utilities,

Inc.

(4,306)

(171,852)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(1,591)

(312,441)

Etsy,

Inc.

(1,597)

(135,122)

Eversource

Energy

(3,130)

(221,980)

Exact

Sciences

Corp.

(897)

(84,228)

Exelon

Corp.

(9,608)

(391,430)

ExlService

Holdings,

Inc.

(832)

(125,682)

Experian

plc

(2)

(3,815)

(146,424)

Exponent,

Inc.

(484)

(45,167)

FactSet

Research

Systems,

Inc.

(931)

(373,005)

Fastenal

Co.

(5,242)

(309,226)

FedEx

Corp.

(537)

(133,122)

Fifth

Third

Bancorp

(6,797)

(178,149)

First

Financial

Bankshares,

Inc.

(16,577)

(472,279)

First

Hawaiian,

Inc.

(7,863)

(141,613)

FirstEnergy

Corp.

(11,478)

(446,265)

Five

Below,

Inc.

(1,252)

(246,068)

Five9,

Inc.

(5,542)

(456,938)

Floor

&

Decor

Holdings,

Inc.,

Class

A

(1,183)

(122,985)

Flowserve

Corp.

(3,422)

(127,127)

Fluor

Corp.

(1,498)

(44,341)

FMC

Corp.

(4,318)

(450,540)

Ford

Motor

Co.

(19,416)

(293,764)

Fox

Factory

Holding

Corp.

(1,352)

(146,706)

Freeport-McMoRan,

Inc.

(10,785)

(431,400)

Freshpet,

Inc.

(7,415)

(487,981)

Frontier

Communications

Parent,

Inc.

(19,543)

(364,282)

FTI

Consulting,

Inc.

(1,172)

(222,914)

Garmin

Ltd.

(2,257)

(235,383)

GATX

Corp.

(3,569)

(459,473)

Gen

Digital,

Inc.

(11,076)

(205,460)

General

Electric

Co.

(2,353)

(258,477)

Gentex

Corp.

(12,527)

(366,540)

Glacier

Bancorp,

Inc.

(12,113)

(377,562)

Globant

SA

(1,401)

(251,788)

Globe

Life,

Inc.

(4,320)

(473,558)

GoDaddy,

Inc.,

Class

A

(1,216)

(91,358)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

Grocery

Outlet

Holding

Corp.

(18,055)

(552,664)

Guardant

Health,

Inc.

(5,488)

(196,470)

Guidewire

Software,

Inc.

(6,071)

(461,882)

GXO

Logistics,

Inc.

(2,016)

(126,645)

Halliburton

Co.

(1,676)

(55,291)

Hancock

Whitney

Corp.

(1,020)

(39,148)

Hanesbrands,

Inc.

(92,180)

(418,497)

Hanover

Insurance

Group,

Inc.

(The)

(1,407)

(159,033)

Harley-Davidson,

Inc.

(10,796)

(380,127)

Hasbro,

Inc.

(8,090)

(523,989)

Hayward

Holdings,

Inc.

(37,293)

(479,215)

HealthEquity,

Inc.

(9,512)

(600,588)

Helen

of

Troy

Ltd.

(2,027)

(218,957)

Hertz

Global

Holdings,

Inc.

(13,695)

(251,851)

Hess

Corp.

(9,294)

(1,263,518)

Hilton

Worldwide

Holdings,

Inc.

(1,860)

(270,723)

Home

BancShares,

Inc.

(14,315)

(326,382)

Home

Depot,

Inc.

(The)

(1,336)

(415,015)

Honeywell

International,

Inc.

(1,256)

(260,620)

Hormel

Foods

Corp.

(11,276)

(453,521)

Howard

Hughes

Corp.

(The)

(3,024)

(238,654)

Huntington

Bancshares,

Inc.

(7,307)

(78,769)

Hyatt

Hotels

Corp.,

Class

A

(315)

(36,093)

IAC,

Inc.

(2,174)

(136,527)

ICU

Medical,

Inc.

(1,599)

(284,926)

IDEX

Corp.

(1,503)

(323,536)

IDEXX

Laboratories,

Inc.

(209)

(104,966)

Illumina,

Inc.

(3,257)

(610,655)

Inari

Medical,

Inc.

(4,001)

(232,618)

Ingersoll

Rand,

Inc.

(1,142)

(74,641)

Insulet

Corp.

(1,400)

(403,676)

Intel

Corp.

(11,427)

(382,119)

Intercontinental

Exchange,

Inc.

(3,220)

(364,118)

International

Bancshares

Corp.

(1,152)

(50,918)

International

Flavors

&

Fragrances,

Inc.

(7,044)

(560,632)

Interpublic

Group

of

Cos.,

Inc.

(The)

(8,359)

(322,490)

Ionis

Pharmaceuticals,

Inc.

(16,929)

(694,597)

Iridium

Communications,

Inc.

(4,728)

(293,703)

J

M

Smucker

Co.

(The)

(1,227)

(181,191)

Jack

Henry

&

Associates,

Inc.

(1,940)

(324,620)

Jacobs

Solutions,

Inc.

(1,310)

(155,746)

James

Hardie

Industries

plc,

CHESS

(2)

(37,925)

(1,011,685)

Jamf

Holding

Corp.

(6,495)

(126,782)

John

Wiley

&

Sons,

Inc.,

Class

A

(3,358)

(114,273)

Johnson

Controls

International

plc

(3,814)

(259,886)

JPMorgan

Chase

&

Co.

(1,256)

(182,673)

Juniper

Networks,

Inc.

(8,571)

(268,529)

KBR,

Inc.

(3,192)

(207,672)

Kellogg

Co.

(4,268)

(287,663)

Kemper

Corp.

(1,879)

(90,681)

Keurig

Dr

Pepper,

Inc.

(10,570)

(330,524)

KeyCorp

(4,916)

(45,424)

Keysight

Technologies,

Inc.

(865)

(144,844)

Kinder

Morgan,

Inc.

(42,892)

(738,599)

Kinsale

Capital

Group,

Inc.

(696)

(260,443)

Kirby

Corp.

(2,768)

(212,998)

Kohl's

Corp.

(2,974)

(68,551)

18

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

Kraft

Heinz

Co.

(The)

(14,127)

(501,509)

Lamb

Weston

Holdings,

Inc.

(770)

(88,512)

Las

Vegas

Sands

Corp.

(2,503)

(145,174)

Lear

Corp.

(322)

(46,223)

Leggett

&

Platt,

Inc.

(7,999)

(236,930)

Leslie's,

Inc.

(41,966)

(394,061)

Liberty

Broadband

Corp.,

Class

C

(8,439)

(676,048)

Liberty

Media

Corp-Liberty

SiriusXM,

Class

C

(9,990)

(326,973)

Lincoln

National

Corp.

(21,592)

(556,210)

Linde

plc

(795)

(302,959)

Lithia

Motors,

Inc.,

Class

A

(492)

(149,622)

Live

Nation

Entertainment,

Inc.

(699)

(63,686)

Louisiana-Pacific

Corp.

(4,025)

(301,795)

LPL

Financial

Holdings,

Inc.

(385)

(83,711)

Lululemon

Athletica,

Inc.

(548)

(207,418)

Lumentum

Holdings,

Inc.

(3,695)

(209,617)

Lyft,

Inc.,

Class

A

(32,067)

(307,523)

M&T

Bank

Corp.

(1,440)

(178,214)

MACOM

Technology

Solutions

Holdings,

Inc.

(4,837)

(316,969)

Madison

Square

Garden

Sports

Corp.,

Class

A

(2,486)

(467,492)

Markel

Group,

Inc.

(493)

(681,908)

MarketAxess

Holdings,

Inc.

(535)

(139,860)

Marriott

International,

Inc.,

Class

A

(1,357)

(249,267)

Marsh

&

McLennan

Cos.,

Inc.

(1,733)

(325,943)

Marvell

Technology,

Inc.

(1,154)

(68,986)

Masimo

Corp.

(785)

(129,172)

MasTec,

Inc.

(1,906)

(224,851)

Mastercard,

Inc.,

Class

A

(1,236)

(486,119)

Match

Group,

Inc.

(7,707)

(322,538)

Mattel,

Inc.

(14,803)

(289,251)

McCormick

&

Co.,

Inc.

(Non-Voting)

(4,200)

(366,366)

McDonald's

Corp.

(660)

(196,951)

MDU

Resources

Group,

Inc.

(8,251)

(172,776)

Mercury

Systems,

Inc.

(7,100)

(245,589)

Middleby

Corp.

(The)

(232)

(34,297)

Mirati

Therapeutics,

Inc.

(6,158)

(222,489)

Mister

Car

Wash,

Inc.

(7,729)

(74,585)

MKS

Instruments,

Inc.

(1,550)

(167,555)

Moderna,

Inc.

(301)

(36,572)

MongoDB,

Inc.,

Class

A

(808)

(332,080)

Monolithic

Power

Systems,

Inc.

(197)

(106,425)

Moody's

Corp.

(1,503)

(522,623)

Morgan

Stanley

(4,136)

(353,214)

Morningstar,

Inc.

(847)

(166,071)

Motorola

Solutions,

Inc.

(1,609)

(471,888)

MP

Materials

Corp.

(23,693)

(542,096)

MSA

Safety,

Inc.

(626)

(108,899)

MSCI,

Inc.,

Class

A

(745)

(349,621)

Nasdaq,

Inc.

(7,703)

(383,995)

Natera,

Inc.

(4,809)

(234,006)

nCino,

Inc.

(8,481)

(255,448)

Neogen

Corp.

(17,261)

(375,427)

Nestle

SA

(Registered)

(2)

(5,960)

(716,938)

Netflix,

Inc.

(879)

(387,191)

Neurocrine

Biosciences,

Inc.

(796)

(75,063)

New

Fortress

Energy,

Inc.

(6,616)

(177,176)

New

Jersey

Resources

Corp.

(4,942)

(233,262)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

New

Relic,

Inc.

(774)

(50,651)

New

York

Times

Co.

(The),

Class

A

(2,222)

(87,502)

Newell

Brands,

Inc.

(63,557)

(552,946)

NewMarket

Corp.

(230)

(92,488)

Newmont

Corp.

(15,520)

(662,083)

News

Corp.,

Class

A

(13,371)

(260,735)

NextEra

Energy,

Inc.

(12,505)

(927,870)

NIKE,

Inc.,

Class

B

(4,618)

(509,689)

Nordson

Corp.

(790)

(196,062)

Northrop

Grumman

Corp.

(975)

(444,405)

NOV,

Inc.

(14,700)

(235,788)

Novanta,

Inc.

(1,208)

(222,393)

Novocure

Ltd.

(7,958)

(330,257)

NRG

Energy,

Inc.

(11,134)

(416,300)

NVIDIA

Corp.

(382)

(161,594)

Occidental

Petroleum

Corp.

(3,300)

(194,040)

Okta,

Inc.,

Class

A

(3,320)

(230,242)

Old

Dominion

Freight

Line,

Inc.

(382)

(141,245)

Old

National

Bancorp

(10,021)

(139,693)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(3,195)

(185,086)

Omnicell,

Inc.

(1,707)

(125,755)

Omnicom

Group,

Inc.

(2,765)

(263,090)

ONEOK,

Inc.

(3,167)

(195,467)

Option

Care

Health,

Inc.

(7,720)

(250,823)

Oracle

Corp.

(1,037)

(123,496)

Ormat

Technologies,

Inc.

(2,749)

(221,185)

Otis

Worldwide

Corp.

(2,388)

(212,556)

PacWest

Bancorp

(5,061)

(41,247)

Palantir

Technologies,

Inc.,

Class

A

(6,940)

(106,390)

Papa

John's

International,

Inc.

(1,152)

(85,052)

Paramount

Global,

Class

B

(20,055)

(319,075)

Paychex,

Inc.

(1,483)

(165,903)

Paycor

HCM,

Inc.

(7,258)

(171,797)

Paylocity

Holding

Corp.

(780)

(143,933)

Pegasystems,

Inc.

(2,032)

(100,178)

Peloton

Interactive,

Inc.,

Class

A

(29,536)

(227,132)

Penumbra,

Inc.

(649)

(223,295)

Perrigo

Co.

plc

(11,390)

(386,691)

Pinnacle

Financial

Partners,

Inc.

(2,113)

(119,701)

Pinterest,

Inc.,

Class

A

(12,084)

(330,377)

Planet

Fitness,

Inc.,

Class

A

(1,799)

(121,325)

Plug

Power,

Inc.

(19,598)

(203,623)

PNC

Financial

Services

Group,

Inc.

(The)

(1,894)

(238,549)

PPG

Industries,

Inc.

(383)

(56,799)

PPL

Corp.

(7,789)

(206,097)

Primerica,

Inc.

(1,125)

(222,480)

Procore

Technologies,

Inc.

(885)

(57,587)

Progressive

Corp.

(The)

(6,388)

(845,579)

Prosperity

Bancshares,

Inc.

(3,149)

(177,856)

Prudential

Financial,

Inc.

(2,923)

(257,867)

PTC,

Inc.

(656)

(93,349)

Public

Service

Enterprise

Group,

Inc.

(6,009)

(376,223)

Quanta

Services,

Inc.

(409)

(80,348)

Quest

Diagnostics,

Inc.

(802)

(112,729)

R1

RCM,

Inc.

(29,639)

(546,840)

Range

Resources

Corp.

(6,267)

(184,250)

Raytheon

Technologies

Corp.

(3,410)

(334,044)

Regions

Financial

Corp.

(5,977)

(106,510)

19

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

RenaissanceRe

Holdings

Ltd.

(1,090)

(203,307)

Repligen

Corp.

(2,729)

(386,044)

Republic

Services,

Inc.,

Class

A

(2,404)

(368,221)

ResMed,

Inc.

(2,494)

(544,939)

RH

(1,150)

(379,029)

RLI

Corp.

(773)

(105,491)

Robinhood

Markets,

Inc.,

Class

A

(13,072)

(130,459)

ROBLOX

Corp.,

Class

A

(2,676)

(107,843)

Rockwell

Automation,

Inc.

(340)

(112,013)

Roku,

Inc.,

Class

A

(5,675)

(362,973)

Ross

Stores,

Inc.

(1,600)

(179,408)

Royal

Gold,

Inc.

(5,962)

(684,318)

Royalty

Pharma

plc,

Class

A

(7,862)

(241,678)

RPM

International,

Inc.

(3,260)

(292,520)

Ryan

Specialty

Holdings,

Inc.,

Class

A

(8,438)

(378,782)

S&P

Global,

Inc.

(482)

(193,229)

Saia,

Inc.

(531)

(181,820)

Schlumberger

NV

(19,063)

(936,374)

Schneider

Electric

SE

(2)

(1,899)

(345,004)

Scotts

Miracle-Gro

Co.

(The)

(4,118)

(258,157)

Sealed

Air

Corp.

(7,999)

(319,960)

Selective

Insurance

Group,

Inc.

(3,576)

(343,117)

Sempra

Energy

(2,141)

(311,708)

Sensient

Technologies

Corp.

(4,273)

(303,938)

SentinelOne,

Inc.,

Class

A

(25,919)

(391,377)

Service

Corp.

International

(6,800)

(439,212)

ServiceNow,

Inc.

(201)

(112,956)

Sherwin-Williams

Co.

(The)

(1,796)

(476,874)

Shift4

Payments,

Inc.,

Class

A

(448)

(30,424)

Shockwave

Medical,

Inc.

(688)

(196,362)

Silicon

Laboratories,

Inc.

(1,778)

(280,462)

SiteOne

Landscape

Supply,

Inc.

(978)

(163,678)

SiTime

Corp.

(3,478)

(410,300)

SLM

Corp.

(12,881)

(210,218)

Smartsheet,

Inc.,

Class

A

(844)

(32,291)

Snap,

Inc.,

Class

A

(53,573)

(634,304)

Snowflake,

Inc.,

Class

A

(557)

(98,021)

SoFi

Technologies,

Inc.

(23,843)

(198,851)

SolarEdge

Technologies,

Inc.

(882)

(237,302)

Sonoco

Products

Co.

(6,800)

(401,336)

Sotera

Health

Co.

(15,217)

(286,688)

Southern

Co.

(The)

(9,768)

(686,202)

Southwest

Gas

Holdings,

Inc.

(12,471)

(793,778)

Spire,

Inc.

(5,364)

(340,292)

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(2,026)

(59,139)

SS&C

Technologies

Holdings,

Inc.

(2,588)

(156,833)

STAAR

Surgical

Co.

(3,228)

(169,696)

Stanley

Black

&

Decker,

Inc.

(3,448)

(323,112)

Starbucks

Corp.

(2,227)

(220,607)

Stericycle,

Inc.

(2,402)

(111,549)

SunPower

Corp.

(13,902)

(136,240)

Sunrun,

Inc.

(9,494)

(169,563)

Sysco

Corp.

(4,380)

(324,996)

T.

Rowe

Price

Group,

Inc.

(1,232)

(138,009)

Take-Two

Interactive

Software,

Inc.

(4,186)

(616,012)

Tandem

Diabetes

Care,

Inc.

(9,013)

(221,179)

Targa

Resources

Corp.

(4,114)

(313,075)

Target

Corp.

(1,577)

(208,006)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

Teledyne

Technologies,

Inc.

(582)

(239,266)

Tempur

Sealy

International,

Inc.

(8,910)

(357,024)

Tesla,

Inc.

(2,433)

(636,886)

Texas

Capital

Bancshares,

Inc.

(3,376)

(173,864)

Texas

Instruments,

Inc.

(864)

(155,537)

T-Mobile

US,

Inc.

(7,267)

(1,009,385)

Toast,

Inc.,

Class

A

(15,109)

(341,010)

TopBuild

Corp.

(754)

(200,579)

Topgolf

Callaway

Brands

Corp.

(24,132)

(479,020)

Toro

Co.

(The)

(1,060)

(107,749)

Tractor

Supply

Co.

(1,058)

(233,924)

Trade

Desk,

Inc.

(The),

Class

A

(2,455)

(189,575)

Tradeweb

Markets,

Inc.,

Class

A

(3,257)

(223,039)

Trane

Technologies

plc

(1,174)

(224,539)

TransDigm

Group,

Inc.

(52)

(46,497)

TransUnion

(443)

(34,700)

Trex

Co.,

Inc.

(11,658)

(764,297)

Trimble,

Inc.

(3,627)

(192,013)

Twilio,

Inc.,

Class

A

(4,634)

(294,815)

Uber

Technologies,

Inc.

(12,134)

(523,825)

Ubiquiti,

Inc.

(374)

(65,731)

UGI

Corp.

(12,350)

(333,080)

UiPath,

Inc.,

Class

A

(3,561)

(59,006)

Ultragenyx

Pharmaceutical,

Inc.

(4,699)

(216,765)

UMB

Financial

Corp.

(1,933)

(117,720)

Under

Armour,

Inc.,

Class

A

(26,151)

(188,810)

Union

Pacific

Corp.

(3,120)

(638,414)

United

Bankshares,

Inc.

(5,216)

(154,759)

United

Parcel

Service,

Inc.,

Class

B

(3,089)

(553,703)

UnitedHealth

Group,

Inc.

(815)

(391,722)

Unity

Software,

Inc.

(7,412)

(321,829)

US

Bancorp

(8,245)

(272,415)

Valaris

Ltd.

(3,975)

(250,147)

Valley

National

Bancorp

(5,093)

(39,471)

Valvoline,

Inc.

(2,918)

(109,454)

VF

Corp.

(25,896)

(494,355)

Vicor

Corp.

(1,488)

(80,352)

Virtu

Financial,

Inc.,

Class

A

(6,150)

(105,104)

Visa,

Inc.,

Class

A

(2,198)

(521,981)

Visteon

Corp.

(1,610)

(231,212)

W

R

Berkley

Corp.

(3,909)

(232,820)

Walt

Disney

Co.

(The)

(5,540)

(494,611)

Waste

Connections,

Inc.

(2,707)

(386,912)

Waste

Management,

Inc.

(1,294)

(224,405)

Watsco,

Inc.

(260)

(99,182)

Wayfair,

Inc.,

Class

A

(1,444)

(93,874)

Webster

Financial

Corp.

(4,113)

(155,266)

WEC

Energy

Group,

Inc.

(3,521)

(310,693)

Wells

Fargo

&

Co.

(5,953)

(254,074)

Wendy's

Co.

(The)

(5,782)

(125,759)

West

Pharmaceutical

Services,

Inc.

(500)

(191,235)

Western

Digital

Corp.

(14,974)

(567,964)

Westinghouse

Air

Brake

Technologies

Corp.

(2,452)

(268,911)

WEX,

Inc.

(537)

(97,772)

Whirlpool

Corp.

(3,221)

(479,253)

White

Mountains

Insurance

Group

Ltd.

(412)

(572,231)

Williams

Cos.,

Inc.

(The)

(20,527)

(669,796)

Willis

Towers

Watson

plc

(1,019)

(239,975)

20

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(86.1)%

(continued)

WillScot

Mobile

Mini

Holdings

Corp.

(2,548)

(121,769)

Wingstop,

Inc.

(492)

(98,479)

Wolfspeed,

Inc.

(8,256)

(458,951)

Wynn

Resorts

Ltd.

(2,451)

(258,850)

Xerox

Holdings

Corp.

(7,346)

(109,382)

XPO,

Inc.

(7,407)

(437,013)

Zebra

Technologies

Corp.,

Class

A

(1,709)

(505,573)

Zillow

Group,

Inc.,

Class

C

(3,309)

(166,310)

Zoetis,

Inc.,

Class

A

(1,369)

(235,755)

ZoomInfo

Technologies,

Inc.,

Class

A

(13,299)

(337,662)

Zscaler,

Inc.

(1,192)

(174,390)

(145,583,174)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(13,426)

(317,623)

TOTAL

COMMON

STOCKS

(Proceeds

$(308,859,750))

(281,126,914)

PREFERRED

STOCKS

-

(0.7)%

Germany

-

(0.7)%

FUCHS

PETROLUB

SE

(Preference)

(2)

(1,197)

(47,359)

Sartorius

AG

(Preference)

(2)

(2,189)

(758,398)

Volkswagen

AG

(Preference)

(2)

(2,553)

(343,309)

TOTAL

PREFERRED

STOCKS

(Proceeds

$(1,324,833))

(1,149,066)

NO.

OF

WARRANTS

WARRANTS

-

(0.0)%

(i)

Canada

-

(0.0)%

(i)

Cenovus

Energy,

Inc.,

expiring

1/1/2026

(Proceeds

$–)

(674)

(8,166)

TOTAL

SHORT

POSITIONS

(Proceeds

$(310,184,583))

(282,284,146)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

77.7%

(Cost

$39,324,698)

131,400,269

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

22.3%

(j)

37,896,334

NET

ASSETS

-

100.0%

169,296,603

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(9,504,413)

(5.6)

%

Consumer

Discretionary

10,201,236

6.0

Consumer

Staples

6,775,354

4.0

Energy

(2,304,470)

(1.4)

Financials

(1,502,415)

(0.9)

Health

Care

(2,356,663)

(1.4)

Industrials

16,530,308

9.8

Information

Technology

10,712,490

6.3

Materials

(1,750,027)

(1.0)

Real

Estate

(2,815,229)

(1.6)

Utilities

(6,184,848)

(3.6)

Investment

Companies

94,945,900

56.1

U.S.

Treasury

Obligations

18,653,046

11.0

Total

Investments

In

Securities

At

Value

131,400,269

77.7

Other

Assets

in

Excess

of

Liabilities

(j)

37,896,334

22.3

Net

Assets

$

169,296,603

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$287,652,609,

which

is

inclusive

of

rehypothecated

amounts disclosed

below.

In

addition,

$17,093,415

of

cash

collateral

was

also

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$(2,031,121),

which

represents

(1.20)%

of

net

assets

of

the

Fund.

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$56,390,112.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

21

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$(3,086),

which

represents

(0.00)%

of

net

assets

of

the

Fund.

(i)

Represents

less

than

0.05%

of

net

assets.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

June

30,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

200,000

$

316

$

(82)

$

234

Pay

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

7,600,000

(1,719)

6,565

4,846

Pay

1D

SOFR

Annual

3.48%

Annual

12/20/2033

USD

9,400,000

83,658

(51,567)

32,091

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

6,200,000

360

(9)

351

Pay

6M

BBR

Semi

4.50%

Semi

12/08/2033

AUD

3,100,000

29,709

(12,697)

17,012

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

2,100,000

40,300

9,638

49,938

Pay

6M

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

19,900,000

276,502

36,639

313,141

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

31,700,000

(607,664)

673,924

66,260

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

5,800,000

84,123

36,646

120,769

Receive

1D

SOFR

Annual

4.19%

Annual

12/22/2025

USD

37,100,000

(121,704)

240,080

118,376

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

7,300,000

597,342

173,702

771,044

Receive

1D

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

6,500,000

400,149

1,235

401,384

Receive

1D

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

7,652,400,000

101,126

29,722

130,848

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

11,400,000

17,956

93,967

111,923

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

23,500,000

(83,351)

181,048

97,697

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

1,100,000

(6,164)

12,526

6,362

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

36,000,000

(82,822)

518,694

435,872

Receive

3M

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

12,000,000

(23,328)

47,745

24,417

Receive

3M

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

31,500,000

80,257

68,622

148,879

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

539,800,000

(158,008)

626,911

468,903

Receive

3M

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

134,000,000

(7,658)

95,077

87,419

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

13,500,000

203,946

91,903

295,849

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

42,700,000

(493,360)

551,624

58,264

Receive

6M

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

117,800,000

(545,197)

886,966

341,769

(215,231)

4,318,879

4,103,648

Pay

1D

CORRA

Semi

3.50%

Semi

9/18/2025

CAD

4,400,000

(65,871)

(2,711)

(68,582)

Pay

1D

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

13,700,000

(9,119)

(70,289)

(79,408)

Pay

1D

CORRA

Semi

3.00%

Semi

9/19/2033

CAD

200,000

(263)

(4,770)

(5,033)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

40,400,000

(304,711)

(113,732)

(418,443)

Pay

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

7,300,000

175,213

(176,612)

(1,399)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

1,200,000

(58,543)

8,941

(49,602)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

40,900,000

(975,701)

(887,025)

(1,862,726)

Pay

1D

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

47,300,000

(1,064,464)

(665,567)

(1,730,031)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

1,980,000,000

(28,316)

3,120

(25,196)

Pay

1D

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

1,576,700,000

(100,988)

(30,913)

(131,901)

Pay

3M

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

11,300,000

(28,190)

(95,935)

(124,125)

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

11,800,000

31,743

(286,395)

(254,652)

Pay

6M

BBR

Semi

4.00%

Semi

12/08/2033

AUD

8,500,000

(185,811)

5,941

(179,870)

Pay

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

50,000,000

17,478

(82,548)

(65,070)

Pay

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

207,000,000

(69,223)

(378,558)

(447,781)

Receive

1D

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

800,000

(4,451)

(2,687)

(7,138)

Receive

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

1,500,000

(379)

(34)

(413)

(2,671,596)

(2,779,774)

(5,451,370)

$

(2,886,827)

$

1,539,105

$

(1,347,722)

22

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

June

30,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

4.75%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.09%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.93%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.08%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.35%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.81%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.70%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.90%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.81%

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

(940,350)

$

1,539

KOSPI

200

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

09/14/2023

KRW

(170,250,000)

1,916

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

(113,270)

158

MSCI

China

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

HIBOR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

BANA

09/20/2023

HKD

(1,376,369)

5,910

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.17%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

EUR

2,752,825

85,795

23

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.10%)

Monthly

BANA

09/20/2023

SGD

(1,435,839)

$

12,675

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

EUR

1,293,663

46,652

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.22%)

Monthly

BANA

09/20/2023

SEK

(5,165,029)

5,121

159,766

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

07/21/2023

EUR

(11,628,150)

(60,034)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

08/16/2023

BRL

13,544,632

(7,837)

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/19/2023

TWD

97,364,600

(55,251)

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

09/15/2023

PLN

1,267,900

(3,188)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.95%)

Monthly

BANA

09/20/2023

CAD

(3,152,528)

(26,716)

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

OBFR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

USD

308,878

(9,662)

24

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.11%)

Monthly

BANA

09/20/2023

EUR

(4,057,488)

$

(15,245)

MSCI

South

Africa

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

JIBAR

plus

or

minus

a

specified

spread

(-0.35%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

ZAR

2,058,341

(2,200)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.11%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

CHF

1,116,071

(6,268)

Tel

Aviv

Stock

Exchange

35

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

ILS

1,634,625

(17,077)

(203,478)

$

(43,712)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

103

7/2023

USD

$

7,767,230

$

49,574

Hang

Seng

Index

13

7/2023

HKD

1,560,050

(15,768)

IBEX

35

Index

102

7/2023

EUR

10,629,379

283,032

LME

Aluminum

Base

Metal

1

7/2023

USD

53,028

(7,725)

LME

Aluminum

Base

Metal

1

7/2023

USD

52,875

(5,278)

LME

Aluminum

Base

Metal

3

7/2023

USD

158,695

(14,151)

LME

Copper

Base

Metal

1

7/2023

USD

208,051

(9,250)

LME

Copper

Base

Metal

1

7/2023

USD

208,069

(6,159)

LME

Copper

Base

Metal

1

7/2023

USD

208,083

(18,670)

LME

Copper

Base

Metal

1

7/2023

USD

208,058

(12,705)

LME

Copper

Base

Metal

1

7/2023

USD

208,089

(16,214)

LME

Copper

Base

Metal

1

7/2023

USD

208,095

(12,483)

LME

Copper

Base

Metal

1

7/2023

USD

208,125

(17,115)

25

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

2

7/2023

USD

$

416,126

$

(12,973)

LME

Copper

Base

Metal

2

7/2023

USD

416,126

(8,525)

LME

Copper

Base

Metal

6

7/2023

USD

1,248,563

(88,023)

LME

Nickel

Base

Metal

1

7/2023

USD

122,364

(28,328)

LME

Nickel

Base

Metal

2

7/2023

USD

244,154

(31,582)

LME

Zinc

Base

Metal

1

7/2023

USD

59,650

(11,641)

LME

Zinc

Base

Metal

1

7/2023

USD

59,694

(6,044)

LME

Zinc

Base

Metal

1

7/2023

USD

59,623

(12,373)

LME

Zinc

Base

Metal

2

7/2023

USD

119,288

(17,856)

Natural

Gas

82

7/2023

USD

2,294,360

13,352

NY

Harbor

ULSD

10

7/2023

USD

1,027,992

32,818

RBOB

Gasoline

11

7/2023

USD

1,175,744

30,763

SGX

FTSE

China

A50

Index

36

7/2023

USD

444,348

2,435

SGX

FTSE

Taiwan

Index

75

7/2023

USD

4,333,500

(9,763)

Live

Cattle

3

8/2023

USD

212,610

19,218

LME

Aluminum

Base

Metal

1

8/2023

USD

53,315

(1,938)

LME

Aluminum

Base

Metal

1

8/2023

USD

53,303

(3,886)

LME

Aluminum

Base

Metal

2

8/2023

USD

107,150

(4,307)

LME

Aluminum

Base

Metal

2

8/2023

USD

106,938

(3,929)

LME

Aluminum

Base

Metal

2

8/2023

USD

106,968

(4,250)

LME

Aluminum

Base

Metal

3

8/2023

USD

160,325

(9,358)

LME

Aluminum

Base

Metal

3

8/2023

USD

160,366

(6,975)

LME

Aluminum

Base

Metal

5

8/2023

USD

266,938

(19,485)

LME

Copper

Base

Metal

1

8/2023

USD

207,947

6,848

LME

Copper

Base

Metal

1

8/2023

USD

208,096

(8,032)

LME

Copper

Base

Metal

2

8/2023

USD

415,819

17,649

LME

Copper

Base

Metal

4

8/2023

USD

831,687

24,533

LME

Nickel

Base

Metal

1

8/2023

USD

122,624

(10,729)

LME

Nickel

Base

Metal

1

8/2023

USD

122,751

(5,588)

LME

Nickel

Base

Metal

1

8/2023

USD

122,786

(3,216)

LME

Zinc

Base

Metal

1

8/2023

USD

59,728

(6,817)

LME

Zinc

Base

Metal

1

8/2023

USD

59,713

(6,721)

LME

Zinc

Base

Metal

1

8/2023

USD

59,716

(1,395)

LME

Zinc

Base

Metal

1

8/2023

USD

59,731

(3,466)

LME

Zinc

Base

Metal

1

8/2023

USD

59,750

3,247

LME

Zinc

Base

Metal

2

8/2023

USD

119,425

(11,467)

LME

Zinc

Base

Metal

2

8/2023

USD

119,448

(5,133)

Low

Sulphur

Gasoil

30

8/2023

USD

2,107,500

41,533

Australia

10

Year

Bond

463

9/2023

AUD

35,913,639

(114,195)

Cocoa

4

9/2023

GBP

132,740

14,399

Cocoa

5

9/2023

USD

167,650

16,146

Copper

17

9/2023

USD

1,597,788

(38,330)

FTSE

100

Index

133

9/2023

GBP

12,738,348

(119,153)

FTSE/MIB

Index

102

9/2023

EUR

15,784,350

377,487

Japan

10

Year

Bond

18

9/2023

JPY

18,547,004

83,685

LME

Aluminum

Base

Metal

1

9/2023

USD

53,646

(2,156)

LME

Aluminum

Base

Metal

1

9/2023

USD

53,650

(3,652)

LME

Aluminum

Base

Metal

1

9/2023

USD

53,775

(1,390)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,300

(6,062)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,575

19

LME

Aluminum

Base

Metal

2

9/2023

USD

107,313

(5,420)

LME

Aluminum

Base

Metal

4

9/2023

USD

214,375

(13,258)

LME

Aluminum

Base

Metal

9

9/2023

USD

483,188

(27,826)

LME

Copper

Base

Metal

1

9/2023

USD

207,938

1,309

LME

Copper

Base

Metal

1

9/2023

USD

207,941

489

LME

Copper

Base

Metal

1

9/2023

USD

207,888

2,010

26

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

9/2023

USD

$

207,975

$

(6,740)

LME

Copper

Base

Metal

2

9/2023

USD

415,894

(1,853)

LME

Copper

Base

Metal

5

9/2023

USD

1,039,625

5,302

LME

Copper

Base

Metal

6

9/2023

USD

1,247,025

(46,044)

LME

Copper

Base

Metal

18

9/2023

USD

3,742,650

(26,323)

LME

Nickel

Base

Metal

1

9/2023

USD

123,019

(13,937)

LME

Nickel

Base

Metal

1

9/2023

USD

122,867

(5,825)

LME

Nickel

Base

Metal

1

9/2023

USD

123,073

(1,430)

LME

Nickel

Base

Metal

1

9/2023

USD

122,948

(5,255)

LME

Nickel

Base

Metal

1

9/2023

USD

123,061

(3,151)

LME

Nickel

Base

Metal

3

9/2023

USD

369,162

(23,973)

LME

Zinc

Base

Metal

1

9/2023

USD

59,700

330

LME

Zinc

Base

Metal

1

9/2023

USD

59,698

731

LME

Zinc

Base

Metal

1

9/2023

USD

59,768

2,640

LME

Zinc

Base

Metal

2

9/2023

USD

119,388

(2,456)

LME

Zinc

Base

Metal

2

9/2023

USD

119,507

4,464

LME

Zinc

Base

Metal

3

9/2023

USD

179,325

(223)

LME

Zinc

Base

Metal

5

9/2023

USD

298,656

1,204

Long

Gilt

71

9/2023

GBP

8,598,611

902

MSCI

Emerging

Markets

E-Mini

Index

6

9/2023

USD

299,370

(6,966)

Nikkei

225

Index

1

9/2023

JPY

229,876

(1,456)

Silver

22

9/2023

USD

2,532,200

16,524

SPI

200

Index

80

9/2023

AUD

9,540,600

78,941

TOPIX

Index

161

9/2023

JPY

25,528,813

740,343

Soybean

47

11/2023

USD

3,156,638

69,332

984,867

Short

Contracts

CAC

40

10

Euro

Index

(112)

7/2023

EUR

(9,056,698)

(149,039)

FTSE

Bursa

Malaysia

KLCI

Index

(13)

7/2023

MYR

(191,553)

1,737

HSCEI

(11)

7/2023

HKD

(445,910)

1,627

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(52,875)

5,023

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,028)

7,891

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(158,695)

14,123

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,058)

13,640

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,069)

5,995

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,095)

12,978

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,089)

17,265

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,125)

16,460

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,083)

19,204

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,051)

10,100

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,126)

12,368

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,126)

9,919

LME

Copper

Base

Metal

(6)

7/2023

USD

(1,248,563)

88,094

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,364)

30,825

LME

Nickel

Base

Metal

(2)

7/2023

USD

(244,154)

32,714

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,623)

12,375

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,694)

6,084

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,650)

11,614

LME

Zinc

Base

Metal

(2)

7/2023

USD

(119,288)

19,051

MSCI

Singapore

Index

(137)

7/2023

SGD

(2,926,597)

596

OMXS30

Index

(403)

7/2023

SEK

(8,654,784)

21,286

SGX

NIFTY

50

Index

(50)

7/2023

USD

(1,927,900)

(33,633)

WTI

Crude

Oil

(291)

7/2023

USD

(20,556,240)

198,395

100

oz

Gold

(41)

8/2023

USD

(7,910,540)

1,492

Lean

Hogs

(3)

8/2023

USD

(111,120)

(8,538)

LME

Aluminum

Base

Metal

(1)

8/2023

USD

(53,315)

2,320

27

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(1)

8/2023

USD

$

(53,303)

$

4,294

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,968)

4,270

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,938)

3,859

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(107,150)

4,344

LME

Aluminum

Base

Metal

(3)

8/2023

USD

(160,325)

8,845

LME

Aluminum

Base

Metal

(3)

8/2023

USD

(160,366)

8,083

LME

Aluminum

Base

Metal

(5)

8/2023

USD

(266,938)

20,910

LME

Copper

Base

Metal

(1)

8/2023

USD

(207,947)

(7,199)

LME

Copper

Base

Metal

(1)

8/2023

USD

(208,096)

6,906

LME

Copper

Base

Metal

(2)

8/2023

USD

(415,819)

(18,199)

LME

Copper

Base

Metal

(4)

8/2023

USD

(831,687)

(25,198)

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,751)

5,100

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,624)

11,018

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,786)

5,123

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,716)

1,656

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,713)

6,572

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,731)

3,907

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,728)

7,030

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,750)

(2,837)

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,448)

5,822

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,425)

11,088

Australia

3

Year

Bond

(92)

9/2023

AUD

(6,475,418)

21,198

Canada

10

Year

Bond

(120)

9/2023

CAD

(11,100,962)

(23,278)

Coffee

'C'

(3)

9/2023

USD

(178,875)

32,255

Corn

(78)

9/2023

USD

(1,905,150)

162,689

DAX

Index

(31)

9/2023

EUR

(13,760,905)

(29,711)

DJIA

CBOT

E-Mini

Index

(1)

9/2023

USD

(173,215)

(3,145)

Euro

STOXX

50

Index

(26)

9/2023

EUR

(1,255,993)

(20,216)

Euro-Bobl

(28)

9/2023

EUR

(3,535,968)

32,719

Euro-BTP

(11)

9/2023

EUR

(1,394,892)

(10,471)

Euro-Bund

(259)

9/2023

EUR

(37,806,183)

314,138

Euro-Buxl

(5)

9/2023

EUR

(762,312)

(18,193)

Euro-OAT

(13)

9/2023

EUR

(1,821,715)

5,114

Euro-Schatz

(78)

9/2023

EUR

(8,924,161)

54,772

FTSE/JSE

Top

40

Index

(3)

9/2023

ZAR

(113,213)

(191)

KOSPI

200

Index

(30)

9/2023

KRW

(1,938,110)

25,492

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,646)

2,051

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,650)

3,209

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,775)

787

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,300)

6,344

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,575)

(210)

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,313)

5,157

LME

Aluminum

Base

Metal

(4)

9/2023

USD

(214,375)

13,713

LME

Aluminum

Base

Metal

(4)

9/2023

USD

(214,750)

5,054

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,975)

7,672

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,938)

(2,065)

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,925)

(2,044)

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,941)

(1,443)

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,888)

(1,763)

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,894)

1,264

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,039,625)

(7,963)

LME

Copper

Base

Metal

(6)

9/2023

USD

(1,247,025)

41,493

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,073)

1,023

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,019)

11,978

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,867)

6,940

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,061)

1,892

28

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

9/2023

USD

$

(122,948)

$

4,969

LME

Nickel

Base

Metal

(5)

9/2023

USD

(615,270)

17,524

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,698)

(445)

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,700)

(453)

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,768)

(2,621)

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,507)

(4,585)

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,388)

3,346

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,325)

(484)

LME

Zinc

Base

Metal

(12)

9/2023

USD

(716,775)

(19,829)

MEX

BOLSA

Index

(1)

9/2023

MXN

(31,977)

1,040

MSCI

EAFE

E-Mini

Index

(5)

9/2023

USD

(538,875)

(3,304)

Russell

2000

E-Mini

Index

(3)

9/2023

USD

(285,555)

(7,124)

S&P

500

E-Mini

Index

(129)

9/2023

USD

(28,949,213)

(932,399)

S&P/TSX

60

Index

(25)

9/2023

CAD

(4,599,358)

(59,405)

SET50

Index

(332)

9/2023

THB

(1,712,860)

(23,079)

Sugar

No.

11

(1)

9/2023

USD

(25,525)

2,815

U.S.

Treasury

10

Year

Note

(30)

9/2023

USD

(3,369,375)

33,388

U.S.

Treasury

2

Year

Note

(42)

9/2023

USD

(8,542,406)

64,076

U.S.

Treasury

5

Year

Note

(41)

9/2023

USD

(4,392,766)

42,471

U.S.

Treasury

Long

Bond

(16)

9/2023

USD

(2,034,000)

(6,556)

U.S.

Treasury

Ultra

Bond

(13)

9/2023

USD

(1,776,125)

(23,730)

Wheat

(23)

9/2023

USD

(748,650)

(11,006)

3

Month

Canadian

Bankers

Acceptance

(18)

12/2023

CAD

(3,209,190)

12,618

3

Month

Euro

Euribor

(9)

12/2023

EUR

(2,357,360)

5,695

90-Day

Australian

Bank

Bill

(22)

12/2023

AUD

(14,487,052)

9,609

90-Day

New

Zealand

Bill

(4)

12/2023

NZD

(2,419,953)

774

Cotton

No.

2

(12)

12/2023

USD

(482,220)

7,485

Soybean

Meal

(4)

12/2023

USD

(158,920)

(10,419)

Soybean

Oil

(2)

12/2023

USD

(70,764)

(8,133)

3

Month

Canadian

Bankers

Acceptance

(17)

3/2024

CAD

(3,034,271)

17,694

3

Month

Euro

Euribor

(9)

3/2024

EUR

(2,358,097)

8,014

3

Month

SOFR

(9)

3/2024

USD

(2,129,625)

8,623

3

Month

SONIA

(7)

3/2024

GBP

(2,084,261)

21,818

90-Day

Australian

Bank

Bill

(22)

3/2024

AUD

(14,487,052)

13,707

90-Day

New

Zealand

Bill

(3)

3/2024

NZD

(1,815,185)

741

3

Month

Canadian

Bankers

Acceptance

(18)

6/2024

CAD

(3,219,891)

17,532

3

Month

Euro

Euribor

(9)

6/2024

EUR

(2,361,289)

9,643

3

Month

SOFR

(9)

6/2024

USD

(2,135,138)

11,059

3

Month

SONIA

(7)

6/2024

GBP

(2,084,483)

22,275

90-Day

Australian

Bank

Bill

(20)

6/2024

AUD

(13,171,973)

14,275

90-Day

New

Zealand

Bill

(3)

6/2024

NZD

(1,816,201)

1,059

3

Month

Canadian

Bankers

Acceptance

(18)

9/2024

CAD

(3,231,100)

9,209

3

Month

Euro

Euribor

(8)

9/2024

EUR

(2,103,070)

8,403

3

Month

SARON

(1)

9/2024

CHF

(273,518)

175

3

Month

SOFR

(8)

9/2024

USD

(1,905,100)

11,922

3

Month

SONIA

(7)

9/2024

GBP

(2,087,261)

32,629

90-Day

Australian

Bank

Bill

(20)

9/2024

AUD

(13,176,470)

12,893

3

Month

Euro

Euribor

(8)

12/2024

EUR

(2,107,435)

6,324

3

Month

SARON

(1)

12/2024

CHF

(273,686)

206

3

Month

SOFR

(8)

12/2024

USD

(1,913,000)

11,408

3

Month

SONIA

(7)

12/2024

GBP

(2,091,928)

29,885

3

Month

Euro

Euribor

(8)

3/2025

EUR

(2,110,817)

4,615

3

Month

SOFR

(8)

3/2025

USD

(1,919,900)

9,363

3

Month

SONIA

(7)

3/2025

GBP

(2,096,929)

25,285

3

Month

Euro

Euribor

(8)

6/2025

EUR

(2,113,764)

5,189

3

Month

SOFR

(9)

6/2025

USD

(2,165,175)

8,529

29

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SONIA

(7)

6/2025

GBP

$

(2,101,707)

$

29,545

3

Month

SOFR

(9)

9/2025

USD

(2,168,438)

6,703

3

Month

SONIA

(7)

9/2025

GBP

(2,106,486)

15,323

549,905

$

1,534,772

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

9,990,502

USD

6,572,872

CITI

9/20/2023

$

97,009

AUD

9,990,498

USD

6,572,837

JPMC

9/20/2023

97,039

BRL

10,197,304

USD

2,023,146

CITI

**

9/20/2023

76,667

BRL

10,197,304

USD

2,023,135

JPMC

**

9/20/2023

76,677

CAD

4,170,500

USD

3,124,469

CITI

9/20/2023

27,542

CAD

4,170,500

USD

3,124,453

JPMC

9/20/2023

27,558

CHF

193,000

USD

216,936

CITI

9/20/2023

485

CHF

193,000

USD

216,934

JPMC

9/20/2023

486

CLP

10,956,126

USD

13,409

CITI

**

9/20/2023

128

CLP

10,956,124

USD

13,409

JPMC

**

9/20/2023

128

CZK

1,500,000

USD

67,902

CITI

9/20/2023

717

CZK

1,500,000

USD

67,901

JPMC

9/20/2023

717

EUR

27,231,005

USD

29,347,268

CITI

9/20/2023

483,862

EUR

27,230,995

USD

29,347,111

JPMC

9/20/2023

484,008

GBP

6,820,508

USD

8,485,201

CITI

9/20/2023

178,644

GBP

6,820,492

USD

8,485,139

JPMC

9/20/2023

178,688

HUF

5,000,000

USD

14,032

CITI

9/20/2023

334

HUF

5,000,000

USD

14,032

JPMC

9/20/2023

334

INR

82,731,504

USD

997,247

CITI

**

9/20/2023

8,130

INR

82,731,496

USD

997,242

JPMC

**

9/20/2023

8,136

KRW

318,221,436

USD

241,723

CITI

**

9/20/2023

808

KRW

318,221,436

USD

241,723

JPMC

**

9/20/2023

808

MXN

25,005,502

USD

1,387,410

CITI

9/20/2023

51,828

MXN

25,005,498

USD

1,387,402

JPMC

9/20/2023

51,834

NOK

26,172,502

USD

2,422,983

CITI

9/20/2023

22,062

NOK

26,172,498

USD

2,422,970

JPMC

9/20/2023

22,075

NZD

137,500

USD

83,495

CITI

9/20/2023

861

NZD

137,500

USD

83,494

JPMC

9/20/2023

862

PHP

5,000,000

USD

89,800

CITI

**

9/20/2023

475

PHP

5,000,000

USD

89,799

JPMC

**

9/20/2023

475

PLN

6,033,001

USD

1,429,176

CITI

9/20/2023

48,901

PLN

6,032,999

USD

1,429,169

JPMC

9/20/2023

48,906

SEK

74,813,627

USD

6,909,877

CITI

9/20/2023

52,856

SEK

74,813,623

USD

6,909,842

JPMC

9/20/2023

52,890

USD

17,176

AUD

25,000

CITI

9/20/2023

485

USD

17,176

AUD

25,000

JPMC

9/20/2023

486

USD

3,037

CAD

4,000

CITI

9/20/2023

13

USD

3,037

CAD

4,000

JPMC

9/20/2023

13

USD

62,273

CHF

55,000

CITI

9/20/2023

314

USD

62,273

CHF

55,000

JPMC

9/20/2023

314

USD

104,551

CNY

735,774

CITI

**

9/20/2023

2,672

USD

104,552

CNY

735,775

JPMC

**

9/20/2023

2,672

30

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

6,467,598

EUR

5,858,500

CITI

9/20/2023

$

49,704

USD

6,467,630

EUR

5,858,500

JPMC

9/20/2023

49,737

USD

3,208

GBP

2,500

CITI

9/20/2023

32

USD

3,208

GBP

2,500

JPMC

9/20/2023

32

USD

215,452

HKD

1,682,500

CITI

9/20/2023

352

USD

215,453

HKD

1,682,500

JPMC

9/20/2023

353

USD

33,806

IDR

505,151,003

CITI

**

9/20/2023

263

USD

33,811

IDR

505,150,997

JPMC

**

9/20/2023

268

USD

1,191,861

ILS

4,380,989

CITI

9/20/2023

6,428

USD

1,191,866

ILS

4,380,987

JPMC

9/20/2023

6,434

USD

23,376,645

JPY

3,217,246,516

CITI

9/20/2023

805,646

USD

23,376,761

JPY

3,217,246,492

JPMC

9/20/2023

805,763

USD

605,617

KRW

783,049,062

CITI

**

9/20/2023

8,820

USD

605,620

KRW

783,049,060

JPMC

**

9/20/2023

8,826

USD

86,427

MXN

1,500,000

CITI

9/20/2023

92

USD

86,427

MXN

1,500,000

JPMC

9/20/2023

92

USD

73,996

NOK

774,000

CITI

9/20/2023

1,688

USD

73,996

NOK

774,000

JPMC

9/20/2023

1,689

USD

779,094

SEK

8,328,253

CITI

9/20/2023

4,002

USD

779,097

SEK

8,328,247

JPMC

9/20/2023

4,006

USD

2,050,704

SGD

2,758,000

CITI

9/20/2023

5,301

USD

2,050,721

SGD

2,758,000

JPMC

9/20/2023

5,318

USD

1,086,177

TWD

33,190,000

CITI

**

9/20/2023

18,018

USD

1,086,183

TWD

33,190,000

JPMC

**

9/20/2023

18,024

USD

266,103

ZAR

5,000,000

CITI

9/20/2023

2,549

USD

266,105

ZAR

5,000,000

JPMC

9/20/2023

2,550

ZAR

2,859,003

USD

143,415

CITI

9/20/2023

7,286

ZAR

2,858,997

USD

143,414

JPMC

9/20/2023

7,287

Total

unrealized

appreciation

3,930,459

AUD

8,779,501

USD

5,964,296

CITI

9/20/2023

(102,907)

AUD

8,779,499

USD

5,964,265

JPMC

9/20/2023

(102,877)

BRL

1,829,000

USD

377,865

CITI

**

9/20/2023

(1,241)

BRL

1,829,000

USD

377,864

JPMC

**

9/20/2023

(1,239)

CAD

4,869,004

USD

3,699,571

CITI

9/20/2023

(19,640)

CAD

4,868,996

USD

3,699,547

JPMC

9/20/2023

(19,621)

CHF

83,500

USD

94,194

CITI

9/20/2023

(129)

CHF

83,500

USD

94,194

JPMC

9/20/2023

(128)

CLP

32,868,377

USD

40,885

CITI

**

9/20/2023

(277)

CLP

32,868,373

USD

40,885

JPMC

**

9/20/2023

(275)

CNY

4,034,950

USD

568,498

CITI

**

9/20/2023

(9,797)

CNY

4,034,946

USD

568,494

JPMC

**

9/20/2023

(9,795)

DKK

978,000

USD

144,120

CITI

9/20/2023

(98)

DKK

978,000

USD

144,120

JPMC

9/20/2023

(97)

EUR

198,500

USD

217,855

CITI

9/20/2023

(401)

EUR

198,500

USD

217,854

JPMC

9/20/2023

(401)

GBP

1,363,500

USD

1,742,360

CITI

9/20/2023

(10,354)

GBP

1,363,500

USD

1,742,351

JPMC

9/20/2023

(10,346)

HUF

25,000,000

USD

72,765

CITI

9/20/2023

(933)

HUF

25,000,000

USD

72,765

JPMC

9/20/2023

(933)

INR

20,000,000

USD

243,242

CITI

**

9/20/2023

(197)

INR

20,000,000

USD

243,241

JPMC

**

9/20/2023

(195)

JPY

45,000,000

USD

327,559

CITI

9/20/2023

(11,856)

JPY

45,000,000

USD

327,558

JPMC

9/20/2023

(11,854)

KRW

1,230,369,064

USD

959,357

CITI

**

9/20/2023

(21,638)

KRW

1,230,369,062

USD

959,352

JPMC

**

9/20/2023

(21,632)

NOK

18,000,000

USD

1,715,322

CITI

9/20/2023

(33,754)

NOK

18,000,000

USD

1,715,313

JPMC

9/20/2023

(33,746)

NZD

167,000

USD

102,731

CITI

9/20/2023

(277)

31

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(Continued)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

167,000

USD

102,730

JPMC

9/20/2023

$

(276)

SEK

27,437,876

USD

2,563,458

CITI

9/20/2023

(9,877)

SEK

27,437,874

USD

2,563,445

JPMC

9/20/2023

(9,864)

SGD

1,837,000

USD

1,366,434

CITI

9/20/2023

(4,068)

SGD

1,837,000

USD

1,366,427

JPMC

9/20/2023

(4,061)

TWD

11,234,502

USD

369,370

CITI

**

9/20/2023

(7,807)

TWD

11,234,498

USD

369,368

JPMC

**

9/20/2023

(7,805)

USD

649,721

AUD

986,501

CITI

9/20/2023

(8,888)

USD

649,723

AUD

986,499

JPMC

9/20/2023

(8,886)

USD

625,269

BRL

3,150,706

CITI

**

9/20/2023

(23,519)

USD

625,272

BRL

3,150,704

JPMC

**

9/20/2023

(23,516)

USD

7,072,816

CAD

9,568,507

CITI

9/20/2023

(158,941)

USD

7,071,409

CAD

9,568,493

JPMC

9/20/2023

(160,337)

USD

19,710,010

CHF

17,682,009

CITI

9/20/2023

(209,319)

USD

19,710,088

CHF

17,681,991

JPMC

9/20/2023

(209,220)

USD

33,425

COP

149,134,502

CITI

**

9/20/2023

(1,565)

USD

33,423

COP

149,134,497

JPMC

**

9/20/2023

(1,567)

USD

210,665

CZK

4,649,002

CITI

9/20/2023

(2,008)

USD

210,666

CZK

4,648,998

JPMC

9/20/2023

(2,007)

USD

226,210

DKK

1,558,000

CITI

9/20/2023

(3,225)

USD

226,211

DKK

1,558,000

JPMC

9/20/2023

(3,224)

USD

3,066,506

EUR

2,826,504

CITI

9/20/2023

(29,883)

USD

3,066,512

EUR

2,826,496

JPMC

9/20/2023

(29,868)

USD

373,621

GBP

299,002

CITI

9/20/2023

(6,190)

USD

373,618

GBP

298,998

JPMC

9/20/2023

(6,188)

USD

889,799

HUF

315,903,502

CITI

9/20/2023

(17,882)

USD

889,803

HUF

315,903,498

JPMC

9/20/2023

(17,878)

USD

550,398

ILS

2,042,012

CITI

9/20/2023

(2,141)

USD

550,401

ILS

2,042,012

JPMC

9/20/2023

(2,138)

USD

661,878

INR

54,879,004

CITI

**

9/20/2023

(5,028)

USD

661,881

INR

54,878,996

JPMC

**

9/20/2023

(5,025)

USD

558,405

JPY

80,000,000

CITI

9/20/2023

(2,845)

USD

558,408

JPY

80,000,000

JPMC

9/20/2023

(2,842)

USD

1,455,495

KRW

1,914,001,440

CITI

**

9/20/2023

(3,248)

USD

1,455,502

KRW

1,914,001,438

JPMC

**

9/20/2023

(3,244)

USD

372,278

MXN

6,500,000

CITI

9/20/2023

(1,842)

USD

372,280

MXN

6,500,000

JPMC

9/20/2023

(1,840)

USD

4,711,962

NOK

51,997,004

CITI

9/20/2023

(145,618)

USD

4,711,985

NOK

51,996,996

JPMC

9/20/2023

(145,595)

USD

7,772,240

NZD

12,833,007

CITI

9/20/2023

(100,768)

USD

7,772,271

NZD

12,832,993

JPMC

9/20/2023

(100,729)

USD

234,019

PHP

13,176,502

CITI

**

9/20/2023

(3,882)

USD

234,020

PHP

13,176,498

JPMC

**

9/20/2023

(3,880)

USD

30,538

PLN

126,500

CITI

9/20/2023

(454)

USD

30,538

PLN

126,500

JPMC

9/20/2023

(454)

USD

989,717

SEK

10,713,250

CITI

9/20/2023

(7,340)

USD

989,722

SEK

10,713,250

JPMC

9/20/2023

(7,335)

USD

2,404,142

ZAR

47,447,502

CITI

9/20/2023

(96,858)

USD

2,404,154

ZAR

47,447,498

JPMC

9/20/2023

(96,845)

ZAR

12,500,000

USD

666,066

CITI

9/20/2023

(7,179)

ZAR

12,500,000

USD

666,062

JPMC

9/20/2023

(7,176)

Total

unrealized

depreciation

(2,148,813)

Net

unrealized

appreciation

$

1,781,646

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

32

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

6,272,498

$

6,272,498

CITG

Cash

–

3,479,453

3,479,453

CITI

Cash

(746,756)

–

(746,756)

Investment

Companies

1,261,217

–

1,261,217

GSCO

Cash

–

1,290,174

1,290,174

GSIN

Investment

Companies

23,008

–

23,008

JPMC

Investment

Companies

1,381,220

–

1,381,220

JPMS

Cash

–

5,197,202

5,197,202

MLIN

Cash

680,000

–

680,000

MSCS

Cash

(10,397)

–

(10,397)

U.S.

Treasury

Bills

2,292,813

–

2,292,813

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

3,299,572

$

3,299,572

JPPC

Cash

–

193,643

193,643

MSCL

Cash

–

377,566

377,566

33

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

109.2%

COMMON

STOCKS

-

10.7%

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

*

120,629

1,031,378

Beverages

-

0.0%

(a)

Brown-Forman

Corp.,

Class

B

5,216

348,324

Biotechnology

-

1.4%

Horizon

Therapeutics

plc

*

231,127

23,771,412

Capital

Markets

-

6.0%

Accretion

Acquisition

Corp.

*(b)

99,000

1,030,590

Achari

Ventures

Holdings

Corp.

I

(2)*(b)

21,454

230,201

Acri

Capital

Acquisition

Corp.

*(b)

54,996

593,957

Aetherium

Acquisition

Corp.,

Class

A

(2)*(b)

67,895

712,898

Alset

Capital

Acquisition

Corp.,

Class

A

*(b)

41,189

448,960

AltC

Acquisition

Corp.,

Class

A

*(b)

305,297

3,184,248

Apeiron

Capital

Investment

Corp.,

Class

A

(2)*(b)(c)

24,551

258,031

Aquaron

Acquisition

Corp.

*(b)

35,605

369,580

Armada

Acquisition

Corp.

I

*(b)

92,750

973,875

Artemis

Strategic

Investment

Corp.,

Class

A

*(b)

204,800

2,179,072

Athena

Consumer

Acquisition

Corp.,

Class

A

(2)*(b)

75,566

780,975

AxonPrime

Infrastructure

Acquisition

Corp.,

Class

A

*(b)

234,165

2,409,558

Bannix

Acquisition

Corp.

(2)*(b)

26,277

274,595

Banyan

Acquisition

Corp.,

Class

A

(2)*(b)

100,000

1,039,000

Banyan

Acquisition

Corp.,

Class

B

(acquired

4/28/2023,

Cost

$–)

(3)*(b)(d)(e)

25,000

–

Beard

Energy

Transition

Acquisition

Corp.,

Class

A

*(b)

67,114

705,368

Bellevue

Life

Sciences

Acquisition

Corp.

(2)*(b)

25,053

257,044

Better

World

Acquisition

Corp.

(2)*(b)

35,583

387,143

Bite

Acquisition

Corp.

*(b)

18,753

193,719

Broad

Capital

Acquisition

Corp.

(2)*(b)

69,739

746,207

BurTech

Acquisition

Corp.,

Class

A

(2)*(b)

116,029

1,211,343

byNordic

Acquisition

Corp.

(Sweden)

*(b)

138,414

1,465,804

C5

Acquisition

Corp.,

Class

A

*(b)

156,955

1,671,571

Cetus

Capital

Acquisition

Corp.

(Taiwan)

(2)*(b)

126,232

1,295,140

CF

Acquisition

Corp.

VII,

Class

A

*(b)

146,292

1,558,010

Churchill

Capital

Corp.

VI,

Class

A

*(b)

67,203

692,191

Churchill

Capital

Corp.

VII,

Class

A

*(b)

408,312

4,213,780

Clean

Earth

Acquisitions

Corp.,

Class

A

*(b)

66,851

700,599

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

6.0%

(continued)

Concord

Acquisition

Corp.

II,

Class

A

*(b)

185,094

1,899,064

Concord

Acquisition

Corp.

III,

Class

A

*(b)

100,000

1,040,000

Concord

Acquisition

Corp.

III,

Class

B

(acquired

5/11/2023,

Cost

$–)

(3)*(b)(d)(e)

25,000

–

Conyers

Park

III

Acquisition

Corp.,

Class

A

(2)*(b)

544,111

5,555,373

Crixus

BH3

Acquisition

Co.,

Class

A

(2)*(b)

84,579

877,084

DA32

Life

Science

Tech

Acquisition

Corp.,

Class

A

*(b)

162,467

1,666,911

Data

Knights

Acquisition

Corp.,

Class

A

(United

Kingdom)

*(b)

50,667

554,297

Deep

Medicine

Acquisition

Corp.,

Class

A

*(b)

51,423

591,365

Digital

Health

Acquisition

Corp.

*(b)

48,428

559,343

Digital

Transformation

Opportunities

Corp.,

Class

A

*(b)

32,013

330,374

Direct

Selling

Acquisition

Corp.,

Class

A

(2)*(b)

102,582

1,090,447

dMY

Squared

Technology

Group,

Inc.,

Class

A

*(b)

12,280

126,128

DUET

Acquisition

Corp.,

Class

A

(2)*(b)

73,788

775,512

EF

Hutton

Acquisition

Corp.

I

*(b)

34,096

354,257

Everest

Consolidator

Acquisition

Corp.

*(b)

131,016

1,395,320

ExcelFin

Acquisition

Corp.,

Class

A

*(b)

186,114

1,933,724

ExcelFin

Acquisition

Corp.,

Class

B

(acquired

4/28/2023,

Cost

$–)

(3)*(b)(d)(e)

46,529

–

Feutune

Light

Acquisition

Corp.,

Class

A

*(b)

66,386

698,381

FG

Merger

Corp.

*(b)

98,184

1,038,787

Financial

Strategies

Acquisition

Corp.

(3)*(b)(d)

18,686

203,677

Fintech

Ecosystem

Development

Corp.,

Class

A

(2)*(b)

10,730

113,309

First

Light

Acquisition

Group,

Inc.,

Class

A

*(b)

40,464

424,467

Fortune

Rise

Acquisition

Corp.

(2)*(b)

55,589

598,138

Four

Leaf

Acquisition

Corp.,

Class

A

*(b)

111,000

1,144,410

FTAC

Emerald

Acquisition

Corp.,

Class

A

*(b)

362,499

3,755,490

FTAC

Zeus

Acquisition

Corp.,

Class

A

*(b)

320,427

3,340,451

FutureTech

II

Acquisition

Corp.,

Class

A

*(b)

38,964

416,915

Gardiner

Healthcare

Acquisitions

Corp.

(2)*(b)

19,575

208,474

Genesis

Unicorn

Capital

Corp.,

Class

A

*(b)

67,549

726,152

GigCapital5,

Inc.

*(b)

123,100

1,311,015

Global

Blockchain

Acquisition

Corp.

*(b)

161,196

1,699,006

34

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

6.0%

(continued)

Global

Star

Acquisition,

Inc.,

Class

A

*(b)

50,064

523,669

Globalink

Investment,

Inc.

*(b)

21,708

229,562

Goldenstone

Acquisition

Ltd.

(2)*(b)

32,200

340,032

GSR

II

Meteora

Acquisition

Corp.,

Class

A

(2)*(b)

244,186

2,558,093

Hawks

Acquisition

Corp.,

Class

A

*(b)

91,460

937,465

Healthwell

Acquisition

Corp.

I,

Class

A

*(b)

23,723

243,872

HNR

Acquisition

Corp.

*(b)

49,014

520,529

Home

Plate

Acquisition

Corp.,

Class

A

(2)*(b)

41,016

418,363

Home

Plate

Acquisition

Corp.,

Class

B

(acquired

4/26/2023,

Cost

$–)

(3)*(b)(d)(e)

8,203

–

Inception

Growth

Acquisition

Ltd.

*(b)

140,846

1,458,460

Inception

Growth

Acquisition

Ltd.,

Class

B

(acquired

4/26/2023,

Cost

$–)

(3)*(b)(d)(e)

33,755

–

Industrial

Tech

Acquisitions

II,

Inc.,

Class

A

(2)*(b)

32,128

335,416

Insight

Acquisition

Corp.,

Class

A

(2)*(b)

50,340

523,536

Integral

Acquisition

Corp.

1,

Class

A

*(b)

32,101

336,740

Juniper

II

Corp.,

Class

A

*(b)

150,000

1,558,695

Jupiter

Acquisition

Corp.,

Class

A

(2)*(b)

59,039

605,150

KnightSwan

Acquisition

Corp.,

Class

A

*(b)

137,971

1,458,353

Learn

CW

Investment

Corp.,

Class

A

(2)*(b)

26,704

280,125

LF

Capital

Acquisition

Corp.

II

*(b)

130,138

1,389,874

Live

Oak

Crestview

Climate

Acquisition

Corp.,

Class

A

*(b)

182,220

1,867,755

Mercato

Partners

Acquisition

Corp.,

Class

A

(2)*(b)

54,767

575,601

Metal

Sky

Star

Acquisition

Corp.

*(b)

17,504

192,367

Minority

Equality

Opportunities

Acquisition,

Inc.,

Class

A

(2)*(b)

40,202

448,252

Mobiv

Acquisition

Corp.,

Class

A

*(b)

101,917

1,077,263

Monterey

Capital

Acquisition

Corp.,

Class

A

(2)*(b)

71,394

746,781

Monterey

Innovation

Acquisition

Corp.

*(b)

8,700

95,265

Murphy

Canyon

Acquisition

Corp.,

Class

A

(2)*(b)

29,168

310,348

Northern

Trust

Corp.

3,994

296,115

NorthView

Acquisition

Corp.

(2)*(b)

22,823

237,816

Nubia

Brand

International

Corp.,

Class

A

*(b)

81,052

863,204

OPY

Acquisition

Corp.

I,

Class

A

(2)*(b)

41,286

422,769

Papaya

Growth

Opportunity

Corp.

I,

Class

A

*(b)

5,815

61,639

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

6.0%

(continued)

Phoenix

Biotech

Acquisition

Corp.,

Class

A

*(b)

46,808

505,526

PHP

Ventures

Acquisition

Corp.,

Class

A

(Malaysia)

*(b)

29,400

315,168

Pivotal

Investment

Corp.

III,

Class

A

(2)*(b)

48,926

491,706

Pivotal

Investment

Corp.

III,

Class

B

(acquired

4/26/2023,

Cost

$–)

(3)*(b)(d)(e)

12,232

–

Plutonian

Acquisition

Corp.

*(b)

15,166

157,499

Prime

Number

Acquisition

I

Corp.,

Class

A

*(b)

35,700

376,278

PROOF

Acquisition

Corp.

I,

Class

A

(2)*(b)

136,709

1,440,913

Qomolangma

Acquisition

Corp.

*(b)

23,684

246,787

Redwoods

Acquisition

Corp.

(2)*(b)

46,009

481,254

Revelstone

Capital

Acquisition

Corp.,

Class

A

(2)*(b)

30,874

319,237

RF

Acquisition

Corp.,

Class

A

(Singapore)

(2)*(b)

57,107

597,339

Sagaliam

Acquisition

Corp.,

Class

A

*(b)

31,501

355,961

Schultze

Special

Purpose

Acquisition

Corp.

II,

Class

A

*(b)

63,730

667,253

Seaport

Global

Acquisition

II

Corp.,

Class

A

(2)*(b)

73,418

764,281

ShoulderUp

Technology

Acquisition

Corp.,

Class

A

(2)*(b)

100,000

1,041,000

ShoulderUp

Technology

Acquisition

Corp.,

Class

B

(acquired

5/11/2023,

Cost

$–)

(3)*(b)(d)(e)

25,000

–

SilverBox

Corp.

III,

Class

A

*(b)

107,214

1,083,934

Sizzle

Acquisition

Corp.

*(b)

60,872

650,417

Springwater

Special

Situations

Corp.

*(b)

97,336

1,006,454

TLG

Acquisition

One

Corp.,

Class

A

(2)*(b)

159,106

1,681,750

Trailblazer

Merger

Corp.

I

(2)*(b)

149,105

1,517,889

Viscogliosi

Brothers

Acquisition

Corp.

*(b)

52,960

557,669

Vision

Sensing

Acquisition

Corp.,

Class

A

(2)*(b)

51,216

545,963

Welsbach

Technology

Metals

Acquisition

Corp.

(2)*(b)

9,289

98,556

Western

Acquisition

Ventures

Corp.

*(b)

7,855

81,064

Yotta

Acquisition

Corp.

*(b)

45,002

471,621

Zalatoris

Acquisition

Corp.,

Class

A

*(b)

109,920

1,137,672

101,517,630

Chemicals

-

1.0%

Chr

Hansen

Holding

A/S

(Denmark)

(2)

233,569

16,237,380

Diversey

Holdings

Ltd.

*

99,010

830,694

17,068,074

Distributors

-

0.8%

Uni-Select,

Inc.

(Canada)

*

384,750

13,664,833

35

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Energy

Equipment

&

Services

-

0.0%

(a)

Drilling

Tools

International

Corp.

*

4,066

17,728

Financial

Services

-

0.8%

EXOR

NV

(Netherlands)

(2)

19,073

1,702,733

Home

Capital

Group,

Inc.,

Class

B

(Canada)

380,480

12,381,576

14,084,309

Hotels,

Restaurants

&

Leisure

-

0.4%

Booking

Holdings,

Inc.

*(c)

2,794

7,544,722

Media

-

0.0%

(a)

Paramount

Global,

Class

B

13,760

218,922

Pharmaceuticals

-

0.0%

(a)

Pacira

BioSciences,

Inc.

*

779

31,215

Real

Estate

Management

&

Development

-

0.1%

Zillow

Group,

Inc.,

Class

A

*

42,000

2,066,400

Software

-

0.1%

SimCorp

A/S

(Denmark)

(2)

14,964

1,585,322

TOTAL

COMMON

STOCKS

(Cost

$175,245,864)

182,950,269

PREFERRED

STOCKS

-

0.2%

Entertainment

-

0.2%

AMC

Entertainment

Holdings,

Inc.,

*(f)

(Cost

$3,392,822)

2,230,857

3,881,691

CLOSED-END

FUNDS

-

6.4%

abrdn

Emerging

Markets

Equity

(c)

10,379

53,867

abrdn

Global

Dynamic

Dividend

Fund

(c)

42,706

407,415

abrdn

Global

Infrastructure

In

23,107

411,074

abrdn

Total

Dynamic

Dividend

Fund

144,137

1,190,572

Adams

Diversified

Equity

Fund,

Inc.

79,687

1,339,538

Adams

Natural

Resources

Fund,

Inc.

(c)

52,152

1,085,805

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

(c)

91,554

982,374

Allspring

Income

Opportunities

93,859

605,391

Allspring

Multi-Sector

Income

12,307

113,963

Apollo

Senior

Floating

Rate

Fund,

Inc.

(c)

43,870

566,362

Apollo

Tactical

Income

Fund,

Inc.

(c)

28,093

356,500

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

(c)

69,394

855,628

Bancroft

Fund

Ltd.

9,455

161,586

Barings

Global

Short

Duration

High

Yield

Fund

25,027

326,352

BlackRock

California

Municipal

Income

Trust

11,134

132,049

BlackRock

Corporate

High

Yield

Fund,

Inc.

30,580

272,774

BlackRock

Credit

Allocation

Income

Trust

(c)

78,767

799,485

INVESTMENTS

SHARES

VALUE

($)

CLOSED-END

FUNDS

-

6.4%

(continued)

BlackRock

Debt

Strategies

Fund,

Inc.

70,160

686,866

BlackRock

Energy

and

Resources

Trust

(c)

32,669

393,335

BlackRock

Enhanced

Global

Dividend

Trust

(c)

106,012

1,067,541

BlackRock

Enhanced

International

Dividend

Trust

(c)

170,538

927,727

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

(c)

43,732

533,968

BlackRock

Floating

Rate

Income

Trust

(c)

46,774

545,385

BlackRock

Health

Sciences

Term

Trust

10,477

172,032

BlackRock

Innovation

and

Growth

Term

Trust

130,429

1,023,868

Blackrock

Investment

Quality

Municipal

Trust,

Inc.

(The)

32,581

378,917

BlackRock

Municipal

2030

Target

Term

Trust

12,121

251,874

BlackRock

Municipal

Income

Fund,

Inc.

(c)

130,179

1,489,248

BlackRock

Municipal

Income

Quality

Trust

(c)

56,601

636,761

BlackRock

Municipal

Income

Trust

(c)

131,579

1,307,895

BlackRock

Municipal

Income

Trust

II

(c)

121,523

1,265,054

BlackRock

MuniHoldings

California

Quality

Fund,

Inc.

(c)

144,735

1,570,375

BlackRock

MuniHoldings

Fund,

Inc.

(c)

118,729

1,380,818

BlackRock

MuniHoldings

New

Jersey

Quality

Fund,

Inc.

(c)

101,889

1,138,100

BlackRock

MuniHoldings

New

York

Quality

Fund,

Inc.

(c)

70,203

735,727

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

(c)

56,795

551,479

BlackRock

MuniVest

Fund

II,

Inc.

(c)

59,526

632,761

BlackRock

MuniVest

Fund,

Inc.

(c)

161,478

1,086,747

BlackRock

MuniYield

Fund,

Inc.

(c)

105,026

1,096,471

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

(c)

58,947

651,364

BlackRock

MuniYield

New

York

Quality

Fund,

Inc.

(c)

93,191

944,025

BlackRock

MuniYield

Pennsylvania

Quality

Fund

(c)

30,957

361,887

BlackRock

MuniYield

Quality

Fund

II,

Inc.

(c)

36,150

363,669

BlackRock

MuniYield

Quality

Fund

III,

Inc.

(c)

131,858

1,442,527

BlackRock

MuniYield

Quality

Fund,

Inc.

(c)

120,502

1,394,208

BlackRock

New

York

Municipal

Income

Trust

(c)

72,272

747,292

BlackRock

Resources

&

Commodities

Strategy

Trust

124,140

1,125,950

BlackRock

Science

and

Technology

Term

Trust

61,890

1,120,828

36

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED-END

FUNDS

-

6.4%

(continued)

Blackstone

Long-Short

Credit

Income

Fund

(c)

54,813

621,579

Blackstone

Senior

Floating

Rate

2027

Term

Fund

43,505

557,734

Blackstone

Strategic

Credit

2027

Term

Fund

111,582

1,219,591

BNY

Mellon

Municipal

Income,

Inc.

71,921

452,383

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

137,979

786,480

BNY

Mellon

Strategic

Municipals,

Inc.

96,537

600,460

Calamos

Global

Dynamic

Income

Fund

57,864

348,341

Calamos

Long

27,175

420,397

CBRE

Global

Real

Estate

Income

Fund

221,375

1,157,791

Central

Securities

Corp.

8,104

295,877

Clough

Global

Equity

Fund

71,317

445,018

Clough

Global

Opportunities

Fund

51,331

257,168

Cohen

&

Steers

Ltd.

Duration

Preferred

and

Income

Fund,

Inc.

20,983

381,891

Cohen

&

Steers

Tax-Advantaged

Preferred

Securities

&

Income

Fund

19,383

337,846

Delaware

Investments

National

Municipal

Income

Fund

13,546

136,002

DWS

Municipal

Income

Trust

74,064

637,691

DWS

Strategic

Municipal

Income

Trust

98

832

Eaton

Vance

California

Municipal

Bond

Fund

80,375

715,337

Eaton

Vance

Floating-Rate

Income

Trust

69,751

814,692

Eaton

Vance

Ltd.

Duration

Income

Fund

144,099

1,348,767

Eaton

Vance

Municipal

Bond

Fund

140,527

1,398,244

Eaton

Vance

Municipal

Income

Trust

93,239

927,728

Eaton

Vance

New

York

Municipal

Bond

Fund

36,102

339,359

Eaton

Vance

Senior

Floating-Rate

Trust

66,098

776,652

Eaton

Vance

Senior

Income

Trust

5,991

32,711

Eaton

Vance

Short

Duration

Diversified

Income

Fund

6,712

65,845

Ellsworth

Growth

and

Income

Fund

Ltd.

58,359

501,887

Federated

Hermes

Premier

Municipal

Income

Fund

43,986

467,571

First

Trust

Energy

Income

and

Growth

Fund

39,791

554,289

First

Trust

High

Income

Long

24,664

282,156

First

Trust

High

Yield

Opportunities

2027

Term

Fund

36,962

507,119

First

Trust

Senior

Floating

Rate

Income

Fund

II

82,381

815,572

Flaherty

&

Crumrine

Preferred

and

Income

Fund,

Inc.

896

8,835

Flaherty

&

Crumrine

Preferred

and

Income

Opportunity

Fund,

Inc.

3,916

31,367

INVESTMENTS

SHARES

VALUE

($)

CLOSED-END

FUNDS

-

6.4%

(continued)

Flaherty

&

Crumrine

Preferred

and

Income

Securities

Fund,

Inc.

8,255

113,424

Flaherty

&

Crumrine

Total

Return

Fund,

Inc.

6,162

88,548

Franklin

Ltd.

Duration

Income

Trust

152,626

943,229

Gabelli

Dividend

&

Income

Trust

(The)

74,294

1,569,832

Gabelli

Global

Small

and

Mid

Cap

Value

Trust

(The)

2,363

28,317

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

29,907

297,874

GDL

Fund

(The)

12,486

97,953

General

American

Investors

Co.,

Inc.

10,728

447,572

Highland

Global

Allocation

Fund

17,620

152,413

Highland

Opportunities

and

Income

Fund

122,103

1,102,590

Insight

Select

Income

Fund

18,545

290,022

Invesco

Advantage

Municipal

Income

Trust

II

84,352

709,400

Invesco

California

Value

Municipal

Income

Trust

121,264

1,161,709

Invesco

Municipal

Opportunity

Trust

125,942

1,191,411

Invesco

Municipal

Trust

118,193

1,114,560

Invesco

Pennsylvania

Value

Municipal

Income

Trust

40,447

398,807

Invesco

Quality

Municipal

Income

Trust

108,657

1,038,761

Invesco

Trust

for

Investment

Grade

Municipals

100,899

979,729

Invesco

Trust

for

Investment

Grade

New

York

Municipals

37,100

379,162

Invesco

Value

Municipal

Income

Trust

70,411

832,258

John

Hancock

Hedged

Equity

&

Income

Fund

275

2,965

John

Hancock

Income

Securities

Trust

6,908

74,399

KKR

Income

Opportunities

Fund

73,110

848,807

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

12,605

196,764

LMP

Capital

and

Income

Fund,

Inc.

23,474

300,702

MainStay

CBRE

Global

Infrastructure

Megatrends

Fund

9,749

133,561

MFS

Municipal

Income

Trust

99,454

507,215

Neuberger

Berman

High

Yield

Strategies

Fund,

Inc.

3,502

26,230

Neuberger

Berman

Municipal

Fund,

Inc.

50,474

518,873

Neuberger

Berman

Next

Generation

Connectivity

Fund,

Inc.

14,580

159,068

New

America

High

Income

Fund,

Inc.

(The)

56,876

378,225

New

Germany

Fund,

Inc.

(The)

9,148

82,149

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

187,548

2,194,312

Nuveen

AMT-Free

Municipal

Value

Fund

3,330

45,721

37

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED-END

FUNDS

-

6.4%

(continued)

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

212,531

2,322,964

Nuveen

Arizona

Quality

Municipal

Income

Fund

8,129

87,387

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

90,068

1,039,385

Nuveen

California

Quality

Municipal

Income

Fund

153,612

1,677,443

Nuveen

Credit

Strategies

Income

Fund

181,405

916,095

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

19,979

281,904

Nuveen

Floating

Rate

Income

Opportunity

Fund

144,345

1,125,891

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

5,237

54,674

Nuveen

Multi-Asset

Income

Fund

35,390

412,647

Nuveen

Municipal

Credit

Income

Fund

221,878

2,587,097

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

79,232

908,791

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

118,071

1,222,035

Nuveen

New

York

Quality

Municipal

Income

Fund

68,129

732,387

Nuveen

Pennsylvania

Quality

Municipal

Income

Fund

64,866

729,094

Nuveen

Preferred

&

Income

Opportunities

Fund

208,706

1,352,415

Nuveen

Preferred

&

Income

Securities

Fund

218,889

1,396,512

Nuveen

Quality

Municipal

Income

Fund

194,904

2,196,568

Nuveen

Real

Asset

Income

and

Growth

Fund

63,219

721,961

Nuveen

Real

Estate

Income

Fund

21,498

159,730

Nuveen

Short

Duration

Credit

Opportunities

Fund

26,270

303,419

Nuveen

Virginia

Quality

Municipal

Income

Fund

2,265

24,439

PGIM

Global

High

Yield

Fund,

Inc.

60,223

660,646

PGIM

High

Yield

Bond

Fund,

Inc.

26,283

326,435

PGIM

Short

Duration

High

Yield

Opportunities

Fund

10,228

152,295

Pioneer

Diversified

High

Income

Fund,

Inc.

115

1,162

Pioneer

Floating

Rate

Fund,

Inc.

81,000

703,080

Pioneer

High

Income

Fund,

Inc.

108,403

728,468

Pioneer

Municipal

High

Income

Advantage

Fund,

Inc.

73,192

578,217

Pioneer

Municipal

High

Income

Fund

Trust

94,024

802,025

Royce

Global

Value

Trust,

Inc.

1,365

12,613

Royce

Micro-Cap

Trust,

Inc.

45,539

398,466

Royce

Value

Trust,

Inc.

102,203

1,410,401

Saba

Capital

Income

&

Opportunities

Fund

15,597

120,097

Source

Capital,

Inc.

4,036

154,660

SRH

Total

Return

Fund,

Inc.

(c)

53,974

716,775

INVESTMENTS

SHARES

VALUE

($)

CLOSED-END

FUNDS

-

6.4%

(continued)

Swiss

Helvetia

Fund,

Inc.

(The)

9,172

75,394

Tekla

Healthcare

Investors

79,141

1,349,354

Tekla

Healthcare

Opportunities

Fund

59,152

1,128,029

Tekla

Life

Sciences

Investors

83,973

1,136,994

Templeton

Emerging

Markets

Fund

11,110

131,542

Tri-Continental

Corp.

15,247

418,073

Virtus

Dividend

Interest

&

Premium

Strategy

Fund

118,468

1,446,494

Virtus

Equity

&

Convertible

Income

Fund

1,712

36,209

Virtus

Total

Return

Fund,

Inc.

64,411

391,619

Voya

Emerging

Markets

High

Dividend

Equity

Fund

20,154

105,204

Voya

Global

Advantage

and

Premium

Opportunity

Fund

41,146

351,387

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

126,409

649,742

Voya

Infrastructure

Industrials

and

Materials

Fund

38,413

379,136

Western

Asset

Global

High

Income

Fund,

Inc.

1,503

10,957

Western

Asset

Intermediate

Muni

Fund,

Inc.

27,821

211,996

Western

Asset

Investment

Grade

Income

Fund,

Inc.

137

1,593

Western

Asset

Managed

Municipals

Fund,

Inc.

88,343

877,246

Western

Asset

Municipal

High

Income

Fund,

Inc.

28,558

187,055

Western

Asset

Municipal

Partners

Fund,

Inc.

14,163

165,731

Western

Asset

Premier

Bond

Fund

21,245

216,487

TOTAL

CLOSED-END

FUNDS

(Cost

$110,173,085)

109,625,628

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

(a)

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2022

(3)(d)(g)

$

2,375,000

190,000

Media

-

0.0%

(a)

iHeartCommunications,

Inc.

6.38%,

5/1/2026

(2)

423

355

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(d)(g)

2,833,436

123,254

TOTAL

CORPORATE

BONDS

(Cost

$880,000)

313,609

38

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

CONVERTIBLE

BONDS

-

26.3%

Automobile

Components

-

0.5%

LCI

Industries

1.13%,

5/15/2026

(2)(c)

$

6,925,000

6,665,313

Luminar

Technologies,

Inc.

1.25%,

12/15/2026

(2)(c)(h)

3,325,000

2,214,450

8,879,763

Automobiles

-

0.5%

Ford

Motor

Co.

0.00%,

3/15/2026

(2)(c)

8,750,000

9,585,625

Biotechnology

-

1.9%

Cytokinetics,

Inc.

3.50%,

7/1/2027

(2)(c)(h)

10,840,000

9,972,800

Exact

Sciences

Corp.

2.00%,

3/1/2030

(2)(c)(h)

11,975,000

16,531,488

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(c)

2,075,000

1,564,550

Ionis

Pharmaceuticals,

Inc.

1.75%,

6/15/2028

(2)(c)(h)

3,975,000

3,978,975

32,047,813

Broadline

Retail

-

0.8%

Etsy,

Inc.

0.25%,

6/15/2028

(2)(c)

17,025,000

13,109,250

Capital

Markets

-

0.1%

WisdomTree,

Inc.

5.75%,

8/15/2028

(2)(c)(h)

1,425,000

1,474,875

Communications

Equipment

-

1.5%

Infinera

Corp.

2.50%,

3/1/2027

(2)(c)

2,925,000

2,704,207

3.75%,

8/1/2028

(2)(c)(h)

7,575,000

7,548,487

Lumentum

Holdings,

Inc.

0.50%,

6/15/2028

(2)(c)

14,356,000

11,288,905

1.50%,

12/15/2029

(2)(c)(h)

4,926,000

5,093,484

26,635,083

Consumer

Finance

-

1.2%

EZCORP,

Inc.

2.38%,

5/1/2025

(2)(c)

1,540,000

1,416,316

3.75%,

12/15/2029

(2)(c)(h)

9,850,000

9,690,450

LendingTree,

Inc.

0.50%,

7/15/2025

(2)(c)

11,651,000

8,971,270

20,078,036

Diversified

Consumer

Services

-

0.4%

2U,

Inc.

2.25%,

5/1/2025

(2)(c)

3,425,000

2,222,825

Chegg,

Inc.

0.00%,

9/1/2026

(2)(c)

6,145,000

4,602,605

6,825,430

Diversified

Telecommunication

Services

-

0.1%

Bandwidth,

Inc.

0.25%,

3/1/2026

(2)(c)

1,875,000

1,465,150

Electric

Utilities

-

0.3%

FirstEnergy

Corp.

4.00%,

5/1/2026

(2)(c)(h)

6,108,000

6,077,460

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Electrical

Equipment

-

1.6%

Array

Technologies,

Inc.

1.00%,

12/1/2028

(2)(c)

$

12,850,000

14,700,400

Bloom

Energy

Corp.

3.00%,

6/1/2028

(2)(c)(h)

11,965,000

13,597,227

28,297,627

Energy

Equipment

&

Services

-

0.8%

Helix

Energy

Solutions

Group,

Inc.

6.75%,

2/15/2026

(2)(c)

3,250,000

4,293,250

Nabors

Industries,

Inc.

1.75%,

6/15/2029

(2)(c)(h)

12,646,000

9,465,531

13,758,781

Entertainment

-

0.4%

Sea

Ltd.

(Singapore)

0.25%,

9/15/2026

(2)(c)

8,250,000

6,620,625

Financial

Services

-

1.2%

Repay

Holdings

Corp.

0.00%,

2/1/2026

(2)(c)(h)

7,411,000

6,025,884

Shift4

Payments,

Inc.

0.50%,

8/1/2027

(2)(c)

16,600,000

14,641,200

20,667,084

Food

Products

-

0.1%

Freshpet,

Inc.

3.00%,

4/1/2028

(2)(c)(h)

1,548,000

1,825,866

Ground

Transportation

-

0.5%

Lyft,

Inc.

1.50%,

5/15/2025

(2)(c)

9,150,000

8,193,825

Health

Care

Equipment

&

Supplies

-

0.4%

Cutera,

Inc.

2.25%,

6/1/2028

(2)(c)

10,581,000

6,574,395

4.00%,

6/1/2029

(2)(c)(h)

1,033,000

647,691

7,222,086

Health

Care

Providers

&

Services

-

0.5%

Guardant

Health,

Inc.

0.00%,

11/15/2027

(2)(c)

11,200,000

8,007,590

Health

Care

REITs

-

0.3%

Welltower

OP

LLC

2.75%,

5/15/2028

(2)(c)(h)

5,799,000

5,842,493

Health

Care

Technology

-

0.1%

Teladoc

Health,

Inc.

1.25%,

6/1/2027

(2)(c)

1,300,000

1,033,500

Hotels,

Restaurants

&

Leisure

-

3.9%

Airbnb,

Inc.

0.00%,

3/15/2026

(2)(c)

12,595,000

10,982,840

Carnival

Corp.

5.75%,

12/1/2027

(2)(c)(h)

17,220,000

28,636,860

DraftKings

Holdings,

Inc.

0.00%,

3/15/2028

(2)(c)

13,750,000

10,257,500

MakeMyTrip

Ltd.

(India)

0.00%,

2/15/2028

(2)(c)

6,075,000

5,871,488

NCL

Corp.

Ltd.

1.13%,

2/15/2027

(2)(c)

12,113,000

11,162,861

66,911,549

39

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Household

Durables

-

0.1%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(c)

$

1,225,000

1,081,062

Independent

Power

and

Renewable

Electricity

Producers

-

0.4%

Sunnova

Energy

International,

Inc.

2.63%,

2/15/2028

(2)(c)(h)

8,137,000

6,620,602

Interactive

Media

&

Services

-

0.9%

Eventbrite,

Inc.

0.75%,

9/15/2026

(2)(c)

7,400,000

6,031,000

Snap,

Inc.

0.00%,

5/1/2027

(2)(c)

1,175,000

869,500

0.13%,

3/1/2028

(2)(c)

12,872,000

9,119,812

16,020,312

IT

Services

-

0.0%

(a)

DigitalOcean

Holdings,

Inc.

0.00%,

12/1/2026

(2)(c)

280,000

218,704

Life

Sciences

Tools

&

Services

-

0.3%

CryoPort,

Inc.

0.75%,

12/1/2026

(2)(c)(h)

3,083,000

2,458,821

Inotiv,

Inc.

3.25%,

10/15/2027

(2)(c)

4,750,000

2,419,249

4,878,070

Machinery

-

1.1%

3D

Systems

Corp.

0.00%,

11/15/2026

(2)(c)

9,900,000

7,480,688

Greenbrier

Cos.,

Inc.

(The)

2.88%,

4/15/2028

(2)(c)

11,535,000

11,356,207

18,836,895

Media

-

0.3%

Cable

One,

Inc.

1.13%,

3/15/2028

(2)(c)

7,514,000

5,654,285

Oil,

Gas

&

Consumable

Fuels

-

1.0%

Northern

Oil

and

Gas,

Inc.

3.63%,

4/15/2029

(2)(c)(h)

16,197,000

18,063,243

Passenger

Airlines

-

0.6%

JetBlue

Airways

Corp.

0.50%,

4/1/2026

(2)(c)

12,675,000

10,409,398

Pharmaceuticals

-

0.6%

Innoviva,

Inc.

2.13%,

3/15/2028

(2)(c)

13,373,000

10,950,955

Professional

Services

-

0.2%

Upwork,

Inc.

0.25%,

8/15/2026

(2)(c)

4,225,000

3,421,771

Real

Estate

Management

&

Development

-

0.2%

Redfin

Corp.

0.50%,

4/1/2027

(2)(c)

4,535,000

3,103,320

Semiconductors

&

Semiconductor

Equipment

-

0.4%

Semtech

Corp.

1.63%,

11/1/2027

(2)(c)(h)

1,928,000

1,794,004

SMART

Global

Holdings,

Inc.

2.00%,

2/1/2029

(2)(c)

1,000,000

1,500,500

Veeco

Instruments,

Inc.

2.88%,

6/1/2029

(2)(c)(h)

1,215,000

1,349,257

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

0.4%

(continued)

Wolfspeed,

Inc.

1.88%,

12/1/2029

(2)(c)(h)

$

2,000,000

1,542,000

6,185,761

Software

-

1.1%

8x8,

Inc.

4.00%,

2/1/2028

(2)(c)

9,050,000

7,769,548

Cerence,

Inc.

1.50%,

7/1/2028

(2)(c)(h)

1,177,000

1,179,354

Envestnet,

Inc.

2.63%,

12/1/2027

(2)(c)(h)

1,230,000

1,290,270

Marathon

Digital

Holdings,

Inc.

1.00%,

12/1/2026

(2)(c)

4,830,000

2,620,580

Unity

Software,

Inc.

0.00%,

11/15/2026

(2)(c)

6,825,000

5,449,762

Veritone,

Inc.

1.75%,

11/15/2026

(2)(c)

1,091,000

703,625

19,013,139

Specialty

Retail

-

1.6%

Farfetch

Ltd.

(United

Kingdom)

3.75%,

5/1/2027

(2)(c)

8,525,000

6,873,219

Wayfair,

Inc.

3.25%,

9/15/2027

(2)(c)(h)

6,483,000

8,029,195

3.50%,

11/15/2028

(2)(c)(h)

8,415,000

13,388,265

28,290,679

Trading

Companies

&

Distributors

-

0.4%

Xometry,

Inc.

1.00%,

2/1/2027

(2)(c)

8,800,000

6,613,200

TOTAL

CONVERTIBLE

BONDS

(Cost

$473,020,966)

453,920,907

NO.

OF

RIGHTS

RIGHTS

-

0.0%

(a)

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(d)

146,272

124,331

Tobira

Therapeutics,

Inc.,

CVR

(3)*(d)

11,880

–

124,331

Capital

Markets

-

0.0%

(a)

Accretion

Acquisition

Corp.,

expiring

3/1/2028

*(b)

202,180

25,252

Alset

Capital

Acquisition

Corp.,

expiring

2/3/2025

*(b)

122,496

38,697

Aquaron

Acquisition

Corp.,

expiring

7/15/2026

(2)*(b)(c)

35,605

6,413

Bannix

Acquisition

Corp.,

expiring

8/30/2026

*(b)

26,277

3,702

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

11/10/2023

*(b)

25,053

5,762

Breeze

Holdings

Acquisition

Corp.,

expiring

8/10/2023

*(b)

55,000

5,533

Broad

Capital

Acquisition

Corp.,

expiring

1/13/2027

(2)*(b)

69,739

8,773

Cetus

Capital

Acquisition

Corp.,

expiring

2/3/2033

(3)*(b)(d)

27,102

6,234

Clean

Earth

Acquisitions

Corp.,

expiring

8/28/2028

*(b)

195,348

25,395

40

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.0%

(a)

(continued)

Deep

Medicine

Acquisition

Corp.,

expiring

9/30/2028

(2)*(b)

152,927

24,468

Edoc

Acquisition

Corp.,

expiring

11/30/2027

(2)*(b)

55,000

6,881

EF

Hutton

Acquisition

Corp.

I,

expiring

8/15/2023

*(b)

34,096

4,688

Feutune

Light

Acquisition

Corp.,

expiring

8/15/2023

(2)*(b)

94,079

9,408

Financial

Strategies

Acquisition

Corp.,

expiring

8/17/2023

(2)*(b)

131,193

15,743

Fintech

Ecosystem

Development

Corp.,

expiring

1/4/2026

*(b)

10,730

1,188

Global

Blockchain

Acquisition

Corp.,

expiring

8/15/2023

*(b)

161,196

17,748

Global

Star

Acquisition,

Inc.,

expiring

6/21/2024

(2)*(b)

50,064

6,453

Globalink

Investment,

Inc.,

expiring

12/9/2026

*(b)

74,843

7,903

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

*(b)

32,200

5,068

GSR

II

Meteora

Acquisition

Corp.,

expiring

8/14/2023

*(b)

15,261

47,920

Inception

Growth

Acquisition

Ltd.,

expiring

8/11/2023

*(b)

112,518

19,128

Metal

Sky

Star

Acquisition

Corp.,

expiring

12/31/2023

(3)*(b)(d)

103,342

17,568

Monterey

Capital

Acquisition

Corp.,

expiring

5/13/2027

*(b)

71,394

7,147

NorthView

Acquisition

Corp.,

expiring

8/2/2027

(2)*(b)

154,598

21,644

PHP

Ventures

Acquisition

Corp.,

expiring

8/11/2026

*(b)

29,400

4,998

Plutonian

Acquisition

Corp.,

expiring

11/14/2023

*(b)

15,166

3,185

Prime

Number

Acquisition

I

Corp.,

expiring

8/15/2023

(2)*(b)

35,700

6,112

Qomolangma

Acquisition

Corp.,

expiring

1/18/2028

(2)*(b)

23,684

3,316

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

(2)*(b)

74,885

13,472

RF

Acquisition

Corp.,

expiring

3/29/2024

*(b)

114,573

11,114

Sagaliam

Acquisition

Corp.,

expiring

5/31/2028

*(b)

70,003

10,500

Springwater

Special

Situations

Corp.,

expiring

9/6/2023

(2)*(b)

40,212

33,263

Trailblazer

Merger

Corp.

I,

expiring

8/16/2023

*(b)

149,105

21,173

Welsbach

Technology

Metals

Acquisition

Corp.,

expiring

8/11/2023

*(b)

9,289

571

Yotta

Acquisition

Corp.,

expiring

12/31/2023

(3)*(b)(d)

68,693

12,708

459,128

TOTAL

RIGHTS

(Cost

$–)

583,459

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

WARRANTS

-

0.1%

Aerospace

&

Defense

-

0.0%

(a)

AERWINS

Technology,

Inc.,

expiring

6/16/2026

*(c)

63,135

2,368

Automobiles

-

0.0%

(a)

Zapp

Electric

Vehicles

Group

Ltd.,

expiring

3/3/2028

(Cayman

Islands)

*

51,432

2,623

Biotechnology

-

0.0%

(a)

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

336,510

3,769

Cardio

Diagnostics

Holdings,

Inc.,

expiring

12/1/2026

*

4,032

760

DermTech,

Inc.,

expiring

8/29/2024

*

50,729

3,044

Ensysce

Biosciences,

Inc.,

expiring

2/1/2026

*

76,565

689

Ocean

Biomedical,

Inc.,

expiring

7/19/2026

*

1,562

397

Peak

Bio,

Inc.,

expiring

12/31/2027

(3)*(d)

5,961

2

ZyVersa

Therapeutics,

Inc.,

expiring

12/20/2026

(3)*(d)

38,655

–

8,661

Broadline

Retail

-

0.0%

(a)

Nogin,

Inc.,

expiring

8/26/2027

(2)*

40,575

483

Capital

Markets

-

0.1%

26

Capital

Acquisition

Corp.,

expiring

12/31/2027

*(b)

74,200

3,888

7GC

&

Co.

Holdings,

Inc.,

expiring

12/31/2026

(2)*(b)

67,750

6,097

Accretion

Acquisition

Corp.,

expiring

3/1/2028

(2)*(b)(c)

101,090

5,054

Achari

Ventures

Holdings

Corp.

I,

expiring

10/15/2026

(2)*(b)(c)

42,909

1,716

Acri

Capital

Acquisition

Corp.,

expiring

2/1/2029

*(b)(c)

27,498

1,592

Acropolis

Infrastructure

Acquisition

Corp.,

expiring

3/31/2026

*(b)(c)

140,333

12,209

Adit

EdTech

Acquisition

Corp.,

expiring

12/31/2027

*(b)(c)

41,250

3,300

Aequi

Acquisition

Corp.,

expiring

11/30/2027

*(b)(c)

107,000

2,686

Aetherium

Acquisition

Corp.,

expiring

1/21/2028

(2)*(b)(c)

175,712

4,217

Alpha

Healthcare

Acquisition

Corp.

III,

expiring

4/12/2027

*(b)

52,000

10,400

Alset

Capital

Acquisition

Corp.,

expiring

2/2/2027

*(b)

61,248

2,450

AltEnergy

Acquisition

Corp.,

expiring

11/2/2028

*(b)(c)

61,463

2,151

Altitude

Acquisition

Corp.,

expiring

11/30/2027

*(b)(c)

96,300

5,056

41

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

American

Acquisition

Opportunity,

Inc.,

expiring

5/28/2026

(2)*(b)

58,500

2,235

Anzu

Special

Acquisition

Corp.

I,

expiring

12/31/2027

(2)*(b)(c)

68,889

3,438

Apeiron

Capital

Investment

Corp.,

expiring

4/2/2026

(2)*(b)(c)

54,024

1,756

Armada

Acquisition

Corp.

I,

expiring

8/13/2026

*(b)

64,166

6,494

Arogo

Capital

Acquisition

Corp.,

expiring

3/23/2028

*(b)

96,774

4,171

Arrowroot

Acquisition

Corp.,

expiring

3/2/2026

(2)*(b)(c)

41,500

10,375

Artemis

Strategic

Investment

Corp.,

expiring

12/31/2027

*(b)

102,400

2,980

Athena

Consumer

Acquisition

Corp.,

expiring

7/31/2028

(2)*(b)

64,463

3,829

Athena

Technology

Acquisition

Corp.

II,

expiring

10/17/2028

(2)*(b)(c)

319,116

15,956

Atlantic

Coastal

Acquisition

Corp.,

expiring

12/31/2027

*(b)(c)

228,472

5,163

Atlantic

Coastal

Acquisition

Corp.

II,

expiring

6/2/2028

(2)*(b)(c)

206,631

6,282

Ault

Disruptive

Technologies

Corp.,

expiring

6/20/2028

(2)*(b)(c)

54,855

1,481

Aurora

Acquisition

Corp.,

expiring

12/31/2028

(United

Kingdom)

(2)*(b)(c)

9,375

237

AxonPrime

Infrastructure

Acquisition

Corp.,

expiring

7/8/2023

*(b)(c)

78,055

2,107

Bannix

Acquisition

Corp.,

expiring

7/31/2026

*(b)

26,277

1,051

Banyan

Acquisition

Corp.,

expiring

9/30/2028

*(b)

167,229

36,790

Beard

Energy

Transition

Acquisition

Corp.,

expiring

12/31/2027

(2)*(b)

74,755

5,233

Bellevue

Life

Sciences

Acquisition

Corp.,

expiring

2/10/2028

*(b)

25,053

1,954

Belong

Acquisition

Corp.,

expiring

12/31/2027

(2)*(b)

64,000

1,005

Beneficient,

expiring

6/7/2028

*

46,442

2,206

Berenson

Acquisition

Corp.

I,

expiring

8/1/2026

(3)*(b)(d)

15,392

154

Better

World

Acquisition

Corp.,

expiring

11/15/2027

*(b)

49,500

832

Bilander

Acquisition

Corp.,

expiring

12/31/2027

(2)*(b)

60,416

4,912

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Bite

Acquisition

Corp.,

expiring

12/31/2027

(2)*(b)

41,600

3,328

Black

Mountain

Acquisition

Corp.,

expiring

10/15/2027

*(b)

183,774

9,630

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*(b)

55,000

7,700

BurTech

Acquisition

Corp.,

expiring

12/18/2026

(3)*(b)(d)

447,209

8,944

byNordic

Acquisition

Corp.,

expiring

2/9/2027

*(b)

69,207

7,793

C5

Acquisition

Corp.,

expiring

5/19/2028

*(b)

131,692

6,506

Canna-Global

Acquisition

Corp.,

expiring

2/9/2028

*(b)

188,580

4,394

Cascadia

Acquisition

Corp.,

expiring

9/30/2028

*(b)

60,303

5,319

Cetus

Capital

Acquisition

Corp.,

expiring

3/24/2028

*(b)

27,102

2,710

CF

Acquisition

Corp.

IV,

expiring

12/14/2025

*(b)

78,500

4,977

CF

Acquisition

Corp.

VII,

expiring

3/15/2026

*(b)

48,764

7,178

CF

Acquisition

Corp.

VIII,

expiring

12/31/2027

*(b)

48,500

2,406

Churchill

Capital

Corp.

V,

expiring

10/29/2027

*(b)

10,350

1,864

Churchill

Capital

Corp.

VI,

expiring

12/31/2027

*(b)

16,600

2,988

Churchill

Capital

Corp.

VII,

expiring

2/29/2028

*(b)

16,600

2,324

Clean

Earth

Acquisitions

Corp.,

expiring

2/24/2028

*(b)

97,674

3,409

Colombier

Acquisition

Corp.,

expiring

12/31/2028

*(b)

78,300

60,095

Compute

Health

Acquisition

Corp.,

expiring

12/31/2027

*(b)

23,100

11,550

Concord

Acquisition

Corp.

II,

expiring

12/31/2028

*(b)

95,464

3,819

Concord

Acquisition

Corp.

III,

expiring

12/31/2028

*(b)

215,234

4,305

Conx

Corp.,

expiring

10/30/2027

*(b)

92,500

16,650

Conyers

Park

III

Acquisition

Corp.,

expiring

8/12/2028

*(b)

161,500

8,075

Corner

Growth

Acquisition

Corp.,

expiring

12/31/2027

*(b)

110,400

14,352

Crixus

BH3

Acquisition

Co.,

expiring

11/23/2026

*(b)

42,289

952

Data

Knights

Acquisition

Corp.,

expiring

12/31/2028

*(b)

50,667

1,267

Digital

Health

Acquisition

Corp.,

expiring

10/14/2023

(2)*(b)

71,745

5,194

Digital

Transformation

Opportunities

Corp.,

expiring

3/31/2028

(2)*(b)

20,733

3,197

42

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Direct

Selling

Acquisition

Corp.,

expiring

9/30/2028

(2)*(b)

51,291

513

dMY

Squared

Technology

Group,

Inc.,

expiring

11/21/2027

*(b)

6,140

955

DUET

Acquisition

Corp.,

expiring

7/19/2028

(2)*(b)

73,788

2,029

Dune

Acquisition

Corp.,

expiring

10/29/2027

*(b)

22,884

968

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*(b)

219,000

60,006

Edify

Acquisition

Corp.,

expiring

12/31/2027

(2)*(b)

41,550

1,350

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*(b)

55,000

495

EdtechX

Holdings

Acquisition

Corp.

II,

expiring

6/15/2027

*(b)

40,875

891

EF

Hutton

Acquisition

Corp.

I,

expiring

12/8/2027

*(b)

34,096

1,364

EG

Acquisition

Corp.,

expiring

5/28/2028

*(b)

155,666

47,339

Everest

Consolidator

Acquisition

Corp.,

expiring

7/19/2028

(2)*(b)

65,508

7,435

ExcelFin

Acquisition

Corp.,

expiring

10/21/2026

(2)*(b)

67,393

5,122

FAST

Acquisition

Corp.

II,

expiring

3/16/2026

*(b)

24,250

16,948

Feutune

Light

Acquisition

Corp.,

expiring

6/1/2029

(2)*(b)

94,079

3,058

FG

Merger

Corp.,

expiring

6/17/2027

*(b)

73,638

5,140

Financial

Strategies

Acquisition

Corp.,

expiring

3/31/2028

(2)*(b)

131,193

1,312

FinServ

Acquisition

Corp.

II,

expiring

2/17/2026

(2)*(b)

20,791

511

Fintech

Ecosystem

Development

Corp.,

expiring

12/31/2028

(2)*(b)

5,365

121

First

Light

Acquisition

Group,

Inc.,

expiring

10/7/2023

(2)*(b)

20,232

2,630

Flame

Acquisition

Corp.,

expiring

12/31/2028

*(b)

65,866

20,577

Focus

Impact

Acquisition

Corp.,

expiring

10/28/2026

(2)*(b)

50,975

3,777

Forest

Road

Acquisition

Corp.

II,

expiring

1/15/2026

(2)*(b)

16,622

2,493

Fortune

Rise

Acquisition

Corp.,

expiring

12/6/2027

(2)*(b)

49,324

2,585

Forum

Merger

IV

Corp.,

expiring

12/31/2027

*(b)

117,500

59

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Four

Leaf

Acquisition

Corp.,

expiring

5/12/2028

*(b)

111,000

13,620

FTAC

Emerald

Acquisition

Corp.,

expiring

8/22/2028

(2)*(b)

118,863

7,132

Fusion

Acquisition

Corp.

II,

expiring

12/31/2027

(3)*(b)(d)

27,666

138

Future

Health

ESG

Corp.,

expiring

9/9/2026

(2)*(b)

45,911

918

FutureTech

II

Acquisition

Corp.,

expiring

2/16/2027

*(b)

38,964

2,229

Gardiner

Healthcare

Acquisitions

Corp.,

expiring

7/30/2028

*(b)

52,651

3,686

Genesis

Unicorn

Capital

Corp.,

expiring

6/30/2026

(2)*(b)

67,549

5,370

GigCapital5,

Inc.,

expiring

12/31/2028

(2)*(b)

123,100

1,859

Global

Blockchain

Acquisition

Corp.,

expiring

5/10/2027

*(b)

161,196

1,789

Global

Star

Acquisition,

Inc.,

expiring

11/10/2027

(2)*(b)

50,064

1,507

Global

Systems

Dynamics,

Inc.,

expiring

12/31/2027

*(b)

69,500

2,780

Globalink

Investment,

Inc.,

expiring

12/3/2026

*(b)

74,843

2,919

Goal

Acquisitions

Corp.,

expiring

2/11/2026

*(b)

84,630

2,031

Golden

Arrow

Merger

Corp.,

expiring

7/31/2026

*(b)

131,733

3,952

Golden

Falcon

Acquisition

Corp.,

expiring

11/4/2026

*(b)

64,925

8,440

Goldenstone

Acquisition

Ltd.,

expiring

7/15/2026

*(b)

32,200

998

Gores

Holdings

IX,

Inc.,

expiring

1/14/2029

(2)*(b)

552,098

93,857

Graf

Acquisition

Corp.

IV,

expiring

5/31/2028

(3)*(b)(d)

73,000

14,600

GSR

II

Meteora

Acquisition

Corp.,

expiring

7/22/2023

*(b)

242,903

32,792

Hawks

Acquisition

Corp.,

expiring

10/13/2028

(2)*(b)

37,175

15

Healthwell

Acquisition

Corp.

I,

expiring

8/5/2028

*(b)

139,600

32,108

Heartland

Media

Acquisition

Corp.,

expiring

10/21/2027

*(b)

200,423

2,746

Hennessy

Capital

Investment

Corp.

VI,

expiring

12/31/2027

(2)*(b)

232,490

19,855

HNR

Acquisition

Corp.,

expiring

7/29/2028

*(b)

49,014

4,656

Home

Plate

Acquisition

Corp.,

expiring

9/30/2026

*(b)

20,508

437

Inception

Growth

Acquisition

Ltd.,

expiring

10/15/2026

*(b)

56,259

2,318

Industrial

Tech

Acquisitions

II,

Inc.,

expiring

12/31/2028

*(b)

63,004

3,780

43

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Insight

Acquisition

Corp.,

expiring

8/26/2026

(2)*(b)

25,170

828

Integral

Acquisition

Corp.

1,

expiring

12/14/2028

*(b)

53,808

4,843

Integrated

Rail

and

Resources

Acquisition

Corp.,

expiring

11/12/2026

*(b)

54,219

21,145

InterPrivate

III

Financial

Partners,

Inc.,

expiring

12/31/2027

*(b)

16,500

807

Iris

Acquisition

Corp.,

expiring

3/5/2026

*(b)

63,888

2,313

Juniper

II

Corp.,

expiring

12/31/2028

*(b)

53,808

1,673

Jupiter

Acquisition

Corp.,

expiring

8/17/2028

(2)*(b)

105,000

1,890

Kingswood

Acquisition

Corp.,

expiring

5/1/2027

(2)*(b)

112,062

1,703

KnightSwan

Acquisition

Corp.,

expiring

7/21/2028

*(b)

167,019

5,846

Landcadia

Holdings

IV,

Inc.,

expiring

3/29/2028

(2)*(b)

84,500

13,866

Learn

CW

Investment

Corp.,

expiring

12/31/2028

(2)*(b)

13,352

401

LF

Capital

Acquisition

Corp.

II,

expiring

1/7/2026

*(b)

54,396

2,992

Live

Oak

Crestview

Climate

Acquisition

Corp.,

expiring

3/12/2026

*(b)

54,710

1,890

M3-Brigade

Acquisition

II

Corp.,

expiring

12/31/2027

*(b)

413,333

11,656

M3-Brigade

Acquisition

III

Corp.,

expiring

7/31/2028

(2)*(b)

149,671

65,855

Maquia

Capital

Acquisition

Corp.,

expiring

12/31/2027

*(b)

113,500

5,221

Marblegate

Acquisition

Corp.,

expiring

8/31/2028

*(b)

573,387

32,224

MedTech

Acquisition

Corp.,

expiring

12/18/2025

(2)*(b)

45,166

1,892

Mercato

Partners

Acquisition

Corp.,

expiring

12/28/2026

*(b)

71,745

4,376

Metal

Sky

Star

Acquisition

Corp.,

expiring

4/1/2027

(3)*(b)(d)

103,342

1,240

Minority

Equality

Opportunities

Acquisition,

Inc.,

expiring

8/26/2026

(3)*(b)(d)

40,202

3,224

Mobiv

Acquisition

Corp.,

expiring

9/23/2027

(2)*(b)

101,917

2,334

Monterey

Capital

Acquisition

Corp.,

expiring

5/11/2027

(2)*(b)

71,394

1,806

Monterey

Innovation

Acquisition

Corp.,

expiring

10/1/2026

(2)*(b)

8,700

231

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Murphy

Canyon

Acquisition

Corp.,

expiring

2/3/2027

(2)*(b)

97,859

4,482

Nabors

Energy

Transition

Corp.,

expiring

11/17/2026

*(b)

127,094

20,335

New

Providence

Acquisition

Corp.

II,

expiring

12/31/2027

*(b)

41,859

3,432

Newbury

Street

Acquisition

Corp.,

expiring

12/31/2027

*(b)

88,000

16,667

Northern

Star

Investment

Corp.

II,

expiring

1/31/2028

*(b)

16,500

309

Northern

Star

Investment

Corp.

III,

expiring

2/25/2028

(2)*(b)

13,777

165

Northern

Star

Investment

Corp.

IV,

expiring

12/31/2027

(2)*(b)

13,777

789

NorthView

Acquisition

Corp.,

expiring

8/2/2027

(2)*(b)

77,299

1,778

Nubia

Brand

International

Corp.,

expiring

11/16/2026

(2)*(b)

142,150

11,244

OCA

Acquisition

Corp.,

expiring

12/31/2027

(3)*(b)(d)

55,769

2,231

OceanTech

Acquisitions

I

Corp.,

expiring

5/10/2026

*(b)

104,000

4,295

OmniLit

Acquisition

Corp.,

expiring

11/8/2026

(3)*(b)(d)

40,496

2,175

OPY

Acquisition

Corp.

I,

expiring

9/22/2027

(2)*(b)

41,286

6,193

Osiris

Acquisition

Corp.,

expiring

5/1/2028

*(b)

254,000

27,407

Papaya

Growth

Opportunity

Corp.

I,

expiring

12/31/2028

*(b)

206,644

11,923

Phoenix

Biotech

Acquisition

Corp.,

expiring

9/1/2026

(2)*(b)

106,172

6,487

PHP

Ventures

Acquisition

Corp.,

expiring

12/4/2023

(3)*(b)(d)

14,700

376

Pivotal

Investment

Corp.

III,

expiring

12/31/2027

(3)*(b)(d)

16,566

91

Plutonian

Acquisition

Corp.,

expiring

10/26/2027

*(b)

15,166

1,805

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

(3)*(b)(d)

146,000

1,460

Pono

Capital

Two,

Inc.,

expiring

9/23/2027

*(b)

92,094

5,480

Power

&

Digital

Infrastructure

Acquisition

II

Corp.,

expiring

12/14/2028

*(b)

159,558

11,137

PowerUp

Acquisition

Corp.,

expiring

2/18/2027

*(b)

226,462

11,346

44

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

Prime

Number

Acquisition

I

Corp.,

expiring

7/1/2027

(2)*(b)

17,850

892

Priveterra

Acquisition

Corp.,

expiring

12/31/2027

*(b)

31,100

2,799

PROOF

Acquisition

Corp.

I,

expiring

12/3/2028

*(b)

75,432

5,469

Qomolangma

Acquisition

Corp.,

expiring

11/23/2027

(2)*(b)

23,684

699

Redwoods

Acquisition

Corp.,

expiring

3/15/2027

(2)*(b)

74,885

3,894

Relativity

Acquisition

Corp.,

expiring

2/11/2027

(3)*(b)(d)

89,748

4,227

RF

Acquisition

Corp.,

expiring

5/1/2028

*(b)

114,573

2,005

Rosecliff

Acquisition

Corp.

I,

expiring

12/31/2027

*(b)

27,555

1,681

Roth

CH

Acquisition

V

Co.,

expiring

12/10/2026

*(b)

14,143

1,131

Schultze

Special

Purpose

Acquisition

Corp.

II,

expiring

3/25/2028

*(b)

31,865

1,306

Seaport

Global

Acquisition

II

Corp.,

expiring

11/17/2026

*(b)

40,848

3,472

ShoulderUp

Technology

Acquisition

Corp.,

expiring

7/26/2023

*(b)

108,870

2,939

SilverBox

Corp.

III,

expiring

4/28/2028

*(b)

35,738

3,920

Sizzle

Acquisition

Corp.,

expiring

3/12/2026

*(b)

35,872

5,381

Social

Leverage

Acquisition

Corp.

I,

expiring

2/17/2028

*(b)

20,666

3,927

Southport

Acquisition

Corp.,

expiring

5/24/2028

(3)*(b)(d)

182,986

7,319

SportsMap

Tech

Acquisition

Corp.,

expiring

9/1/2027

(2)*(b)

64,363

2,581

Springwater

Special

Situations

Corp.,

expiring

4/12/2026

*(b)

20,106

436

Stratim

Cloud

Acquisition

Corp.,

expiring

3/5/2026

*(b)

148,000

296

Sustainable

Development

Acquisition

I

Corp.,

expiring

12/31/2028

*(b)

41,836

1,255

Tastemaker

Acquisition

Corp.,

expiring

12/31/2025

*(b)

72,083

1,449

TG

Venture

Acquisition

Corp.,

expiring

8/13/2023

(2)*(b)

215,235

4,843

Thunder

Bridge

Capital

Partners

III,

Inc.,

expiring

2/15/2028

(3)*(b)(d)

16,818

2,020

Thunder

Bridge

Capital

Partners

IV,

Inc.,

expiring

4/30/2028

*(b)

64,400

10,388

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

TLG

Acquisition

One

Corp.,

expiring

1/25/2028

*(b)

27,727

1,109

Twelve

Seas

Investment

Co.

II,

expiring

3/2/2028

(2)*(b)

32,933

2,075

Viscogliosi

Brothers

Acquisition

Corp.,

expiring

3/18/2027

*(b)

26,480

911

Vision

Sensing

Acquisition

Corp.,

expiring

11/1/2026

(2)*(b)

38,412

1,517

Western

Acquisition

Ventures

Corp.,

expiring

1/12/2027

*(b)

67,539

4,079

Williams

Rowland

Acquisition

Corp.,

expiring

12/11/2026

*(b)

115,833

591

Yotta

Acquisition

Corp.,

expiring

3/15/2027

(3)*(b)(d)

68,693

3,957

Zalatoris

Acquisition

Corp.,

expiring

12/31/2027

(3)*(b)(d)

54,960

5,496

1,282,520

Commercial

Services

&

Supplies

-

0.0%

(a)

LanzaTech

Global,

Inc.,

expiring

1/1/2028

*

47,181

18,452

Construction

&

Engineering

-

0.0%

(a)

Southland

Holdings,

Inc.,

expiring

9/1/2026

*

51,789

54,378

Consumer

Finance

-

0.0%

(a)

Moneylion,

Inc.,

expiring

9/22/2026

(2)*

52,528

1,986

Electrical

Equipment

-

0.0%

(a)

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

48,771

68,279

Fusion

Fuel

Green

plc,

expiring

12/10/2025

(Ireland)

*

1,212

352

68,631

Electronic

Equipment,

Instruments

&

Components

-

0.0%

(a)

Innoviz

Technologies

Ltd.,

expiring

4/5/2026

(Israel)

*

28,800

24,192

Ouster,

Inc.,

expiring

9/29/2025

*

71,827

2,220

SMX

Security

Matters

plc,

expiring

3/7/2028

(Ireland)

*

23,807

483

26,895

Financial

Services

-

0.0%

(a)

SHF

Holdings,

Inc.,

expiring

9/28/2027

*

6,847

126

Ground

Transportation

-

0.0%

(a)

Getaround,

Inc.,

expiring

3/9/2026

(2)*

5,068

119

45

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.0%

(a)

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

101,252

5,164

Selina

Hospitality

plc,

expiring

10/25/2027

(United

Kingdom)

*

14,657

626

5,790

Insurance

-

0.0%

(a)

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

*

183,872

112,438

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

(2)*

108,741

410

112,848

Interactive

Media

&

Services

-

0.0%

(a)

Leafly

Holdings,

Inc.,

expiring

11/7/2026

*

30,412

921

IT

Services

-

0.0%

(a)

Hub

Cyber

Security

Ltd.,

expiring

2/27/2028

(Israel)

*

38,338

1,208

Machinery

-

0.0%

(a)

Nuburu,

Inc.,

expiring

9/7/2027

*

292,845

9,781

Metals

&

Mining

-

0.0%

(a)

NioCorp

Developments

Ltd.,

expiring

3/17/2028

(Canada)

*

130,823

88,619

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

(3)*(d)

255,656

1,304

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

74,738

1,502

Sitio

Royalties

Corp.,

expiring

8/23/2023

(3)*(d)

319,737

192

Verde

Clean

Fuels,

Inc.,

expiring

12/31/2027

(2)*

86,204

25,861

27,555

Real

Estate

Management

&

Development

-

0.0%

(a)

Doma

Holdings,

Inc.,

expiring

7/28/2026

(2)*

28,669

482

Software

-

0.0%

(a)

FOXO

Technologies,

Inc.,

expiring

8/1/2027

(2)*

5,206

35

NextNav,

Inc.,

expiring

10/28/2026

(2)*

37,843

26,490

26,525

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Specialty

Retail

-

0.0%

(a)

BARK,

Inc.,

expiring

8/29/2025

*

123,215

17,262

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

*

11,923

24

17,286

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(a)

CompoSecure,

Inc.,

expiring

10/31/2025

*

27,189

28,548

TOTAL

WARRANTS

(Cost

$621,298)

1,788,109

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%

Health

Care

Equipment

&

Supplies

-

0.0%

DEMC

Ltd.,

Class

A

(acquired

1/24/2014

-

10/29/2015,

Cost

$129,686)

(3)*(d)(e)

12,969

–

DEMC

Ltd.,

Class

A-2

(acquired

2/8/2023,

Cost

$–)

(3)*(d)(e)

368,190,309

–

DEMC

Ltd.,

Class

A-3

(acquired

2/8/2023,

Cost

$–)

(3)*(d)(e)

292,030,544,028

–

DEMC

Ltd.,

Class

A-4

(acquired

2/8/2023,

Cost

$–)

(3)*(d)(e)

40,321,771,424,070

–

DEMC

Ltd.,

Class

B

(acquired

1/27/2014,

Cost

$11)

(3)*(d)(e)

10,488

–

DEMC

Ltd.,

Class

B-2

(acquired

4/12/2017,

Cost

$–)

(3)*(d)(e)

513,897,326

–

DEMC

Ltd.,

Class

B-3

(acquired

9/5/2019,

Cost

$–)

(3)*(d)(e)

489,352,292,604

–

DEMC

Ltd.,

Class

B-4

(acquired

1/31/2022,

Cost

$–)

(3)*(d)(e)

40,321,771,424,070

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$129,697)

–

UNITS

-

0.1%

Capital

Markets

-

0.1%

ESH

Acquisition

Corp.

*(b)

97,905

992,757

SilverBox

Corp.

III

*(b)

1

10

TOTAL

UNITS

(Cost

$984,050)

992,767

SHARES

SHORT-TERM

INVESTMENTS

-

65.4%

INVESTMENT

COMPANIES

-

29.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(i)(j)

11,295,920

11,295,920

Limited

Purpose

Cash

Investment

Fund,

5.10%

(i)(k)

493,166,941

492,969,674

TOTAL

INVESTMENT

COMPANIES

(Cost

$504,111,959)

504,265,594

—

46

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

36.2%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(2)(l)

$

37,439,000

37,423,564

4.82%,

7/13/2023

(2)(l)

53,199,000

53,125,020

4.85%,

8/10/2023

(2)(l)

37,259,000

37,057,144

4.96%,

8/17/2023

(2)(c)(l)

100,000,000

99,354,750

5.04%,

8/24/2023

(2)(l)(m)

131,390,000

130,406,911

5.07%,

8/31/2023

(2)(l)(m)

5,995,000

5,944,285

5.10%,

9/7/2023

(2)(l)(m)

28,786,000

28,515,004

4.80%,

10/5/2023

(2)(l)(m)

29,937,000

29,532,574

4.91%,

10/12/2023

(2)(l)(m)

15,828,000

15,597,698

4.99%,

10/19/2023

(2)(l)(m)

70,000,000

68,907,737

4.96%,

10/26/2023

(2)(l)(m)

68,232,000

67,098,591

5.02%,

11/2/2023

(2)(l)(m)

9,493,000

9,325,612

5.39%,

12/7/2023

(2)(l)(m)

10,653,000

10,411,026

5.29%,

12/14/2023

(2)(l)(m)

10,440,000

10,191,578

5.36%,

12/28/2023

(2)(l)

22,385,000

21,805,445

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$624,866,097)

624,696,939

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,128,978,056)

1,128,962,533

TOTAL

LONG

POSITIONS

(Cost

$1,893,425,838)

1,883,018,972

SHARES

SHORT

POSITIONS

-

(10.8)%

COMMON

STOCKS

-

(10.2)%

Automobile

Components

-

(0.2)%

LCI

Industries

(20,741)

(2,620,833)

Luminar

Technologies,

Inc.,

Class

A

(49,838)

(342,885)

(2,963,718)

Automobiles

-

(0.4)%

Ferrari

NV

(Italy)

(3,622)

(1,177,911)

Ford

Motor

Co.

(361,529)

(5,469,934)

Stellantis

NV

(36,632)

(642,525)

(7,290,370)

Beverages

-

(0.0)%

(a)

Brown-Forman

Corp.,

Class

A

(5,099)

(347,089)

Biotechnology

-

(1.0)%

Cytokinetics,

Inc.

(133,132)

(4,342,766)

Exact

Sciences

Corp.

(119,624)

(11,232,693)

Ionis

Pharmaceuticals,

Inc.

(48,089)

(1,973,092)

(17,548,551)

Broadline

Retail

-

(0.1)%

Etsy,

Inc.

(25,690)

(2,173,631)

Capital

Markets

-

(0.0)%

(a)

Penson

Worldwide,

Inc.

(3)(d)

(212,307)

–

WisdomTree,

Inc.

(83,384)

(572,014)

(572,014)

Chemicals

-

(1.0)%

Novozymes

A/S,

Class

B

(Denmark)

(2)

(357,970)

(16,702,558)

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

(0.5)%

Infinera

Corp.

(891,801)

(4,307,399)

Lumentum

Holdings,

Inc.

(86,318)

(4,896,820)

(9,204,219)

Consumer

Finance

-

(0.3)%

EZCORP,

Inc.,

Class

A

(621,520)

(5,208,338)

Diversified

Consumer

Services

-

(0.0)%

(a)

2U,

Inc.

(2,374)

(9,567)

Chegg,

Inc.

(779)

(6,918)

(16,485)

Diversified

Telecommunication

Services

-

(0.0)%

(a)

Bandwidth,

Inc.,

Class

A

(806)

(11,026)

Electric

Utilities

-

(0.1)%

FirstEnergy

Corp.

(41,487)

(1,613,015)

Electrical

Equipment

-

(1.0)%

Array

Technologies,

Inc.

(403,758)

(9,124,931)

Bloom

Energy

Corp.,

Class

A

(447,996)

(7,324,734)

(16,449,665)

Energy

Equipment

&

Services

-

(0.3)%

Helix

Energy

Solutions

Group,

Inc.

(273,999)

(2,022,113)

Nabors

Industries

Ltd.

(35,567)

(3,308,798)

(5,330,911)

Entertainment

-

(0.0)%

(a)

Sea

Ltd.,

ADR

(Singapore)

(762)

(44,227)

Financial

Services

-

(0.3)%

Repay

Holdings

Corp.,

Class

A

(16,852)

(131,951)

Shift4

Payments,

Inc.,

Class

A

(72,139)

(4,898,960)

(5,030,911)

Food

Products

-

(0.1)%

Freshpet,

Inc.

(16,666)

(1,096,789)

Ground

Transportation

-

(0.0)%

(a)

Lyft,

Inc.,

Class

A

(23,353)

(223,955)

Health

Care

Equipment

&

Supplies

-

(0.1)%

Cutera,

Inc.

(75,894)

(1,148,276)

Health

Care

Providers

&

Services

-

(0.0)%

(a)

Guardant

Health,

Inc.

(23,851)

(853,866)

Health

Care

REITs

-

(0.1)%

Welltower,

Inc.,

REIT

(29,196)

(2,361,664)

Health

Care

Technology

-

(0.0)%

(a)

Teladoc

Health,

Inc.

(316)

(8,001)

Hotels,

Restaurants

&

Leisure

-

(1.7)%

Airbnb,

Inc.,

Class

A

(8,982)

(1,151,133)

Carnival

Corp.

(1,074,888)

(20,240,141)

DraftKings,

Inc.,

Class

A

(52,883)

(1,405,101)

MakeMyTrip

Ltd.

(India)

(60,617)

(1,635,447)

Norwegian

Cruise

Line

Holdings

Ltd.

(207,946)

(4,526,985)

(28,958,807)

47

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

(0.0)%

(a)

GoPro,

Inc.,

Class

A

(36,528)

(151,226)

Independent

Power

and

Renewable

Electricity

Producers

-

(0.2)%

Sunnova

Energy

International,

Inc.

(149,000)

(2,728,190)

Interactive

Media

&

Services

-

(0.1)%

Eventbrite,

Inc.,

Class

A

(72,799)

(695,230)

Snap,

Inc.,

Class

A

(54,778)

(648,572)

(1,343,802)

IT

Services

-

(0.0)%

(a)

DigitalOcean

Holdings,

Inc.

(324)

(13,005)

Life

Sciences

Tools

&

Services

-

(0.0)%

(a)

CryoPort,

Inc.

(2,314)

(39,916)

Inotiv,

Inc.

(9,284)

(44,285)

(84,201)

Machinery

-

(0.4)%

3D

Systems

Corp.

(66,146)

(656,830)

CNH

Industrial

NV

(United

Kingdom)

(29,909)

(430,689)

Greenbrier

Cos.,

Inc.

(The)

(119,227)

(5,138,684)

(6,226,203)

Media

-

(0.0)%

(a)

Cable

One,

Inc.

(291)

(191,210)

Paramount

Global,

Class

A

(13,273)

(246,347)

(437,557)

Oil,

Gas

&

Consumable

Fuels

-

(0.6)%

Northern

Oil

and

Gas,

Inc.

(278,790)

(9,568,073)

Passenger

Airlines

-

(0.0)%

(a)

JetBlue

Airways

Corp.

(81,458)

(721,718)

Pharmaceuticals

-

(0.2)%

Innoviva,

Inc.

(218,526)

(2,781,836)

Professional

Services

-

(0.0)%

(a)

Clarivate

plc

(2,647)

(25,226)

Upwork,

Inc.

(3,133)

(29,262)

(54,488)

Real

Estate

Management

&

Development

-

(0.1)%

Redfin

Corp.

(6,044)

(75,067)

Zillow

Group,

Inc.,

Class

C

(41,177)

(2,069,556)

(2,144,623)

Semiconductors

&

Semiconductor

Equipment

-

(0.2)%

Semtech

Corp.

(31,409)

(799,673)

SMART

Global

Holdings,

Inc.

(39,834)

(1,155,584)

Veeco

Instruments,

Inc.

(30,766)

(790,071)

Wolfspeed,

Inc.

(11,289)

(627,556)

(3,372,884)

Software

-

(0.2)%

8x8,

Inc.

(734,065)

(3,105,095)

Envestnet,

Inc.

(10,695)

(634,748)

INVESTMENTS

SHARES

VALUE

($)

Software

-

(0.2)%

(continued)

Marathon

Digital

Holdings,

Inc.

(4,784)

(66,306)

Unity

Software,

Inc.

(2,167)

(94,091)

Veritone,

Inc.

(2,914)

(11,423)

(3,911,663)

Specialty

Retail

-

(0.9)%

Farfetch

Ltd.,

Class

A

(United

Kingdom)

(198,257)

(1,197,472)

Wayfair,

Inc.,

Class

A

(233,338)

(15,169,304)

(16,366,776)

Trading

Companies

&

Distributors

-

(0.1)%

Xometry,

Inc.,

Class

A

(59,946)

(1,269,656)

TOTAL

COMMON

STOCKS

(Proceeds

$(179,055,389))

(176,333,987)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(0.6)%

Hotels,

Restaurants

&

Leisure

-

(0.6)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)

(Proceeds

$(7,042,010))

$

(6,200,000)

(9,292,560)

TOTAL

SHORT

POSITIONS

(Proceeds

$(186,097,399))

(185,626,547)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.4%

(Cost

$1,707,328,439)

1,697,392,425

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.6%

(n)

28,325,472

NET

ASSETS

-

100.0%

1,725,717,897

48

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Special

Purpose

Acquisition

Company.

(c)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$478,656,865;

additional

securities

sold

but

not

yet

settled

totaling

$2,332,766

were

also

segregated.

In

addition,

$20,271,002

of

cash

collateral

was

also

pledged.

(d)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

June

30,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$736,922,

which

represents

0.04%

of

net

assets

of

the

Fund.

(e)

Restricted

securities. 

Securities

acquired

through

a

private

placement

transaction

exempt

from

registration

under

the

Securities

Act

of 1933

and/

or may

be

subject

to

legal

or

contractual

restrictions

on

resale

(excluding

144A

securities). 

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$0,

which

represents

0.00%

of

net

assets

of

the

Fund.

(f)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

June

30,

2023.

The

maturity

date

reflects

the

next

call

date.

(g)

Defaulted

security.

(h)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$184,339,032,

which

represents

10.68%

of

net

assets

of

the

Fund.

(i)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(k)

For

the

period

ended

June

30,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(l)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(m)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(n)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

32,025,649

1.9

%

Consumer

Discretionary

88,705,523

5.1

Consumer

Staples

730,312

0.0

(a)

Energy

17,091,578

1.0

Financials

260,518,355

15.2

Health

Care

65,650,900

3.8

Industrials

50,980,759

2.9

Information

Technology

37,219,415

2.2

Materials

454,135

0.0

(a)

Real

Estate

6,506,408

0.4

Utilities

8,546,858

0.5

Investment

Companies

504,265,594

29.2

U.S.

Treasury

Obligations

624,696,939

36.2

Total

Investments

In

Securities

At

Value

1,697,392,425

98.4

Other

Assets

in

Excess

of

Liabilities

(n)

28,325,472

1.6

Net

Assets

$

1,725,717,897

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2023

Shares

Held

At

6/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

28.6%

INVESTMENT

COMPANIES

-

28.6%

Limited

Purpose

Cash

Investment

Fund,

5.10%

(a)

(Cost

$492,816,039)

$519,255,218

$813,738,734

$(840,026,881)

$10,342

$(7,739)

$492,969,674

493,166,941

$12,179,883

$–

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

49

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

June

30,

2023:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

%

Quarterly

6/20/2028

4.29

%

USD

104,500,000

$

(193,397)

$

(2,885,047)

$

(3,078,444)

$

(193,397)

$

(2,885,047)

$

(3,078,444)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(145)

9/2023

USD

$

(32,539,813)

$

(12,442)

U.S.

Treasury

10

Year

Note

(383)

9/2023

USD

(43,015,688)

523,976

U.S.

Treasury

2

Year

Note

(368)

9/2023

USD

(74,847,750)

740,982

U.S.

Treasury

5

Year

Note

(1,103)

9/2023

USD

(118,176,108)

1,585,106

$

2,837,622

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

1,472

USD

1,612

CITI

9/20/2023

$

–

USD

648,923

CAD

857,954

CITI

9/20/2023

492

Total

unrealized

appreciation

492

EUR

1,263,840

USD

1,390,827

CITI

9/20/2023

(6,310)

USD

12,663,276

CAD

17,119,762

CITI

9/20/2023

(275,625)

USD

12,459,578

CAD

16,855,088

JPMC

9/20/2023

(279,286)

USD

798,453

DKK

5,499,270

CITI

9/20/2023

(11,383)

USD

798,457

DKK

5,499,270

JPMC

9/20/2023

(11,379)

USD

681,023

EUR

632,656

CITI

9/20/2023

(12,042)

USD

681,026

EUR

632,656

JPMC

9/20/2023

(12,038)

Total

unrealized

depreciation

(608,063)

Net

unrealized

depreciation

$

(607,571)

50

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-60

months

maturity

ranging

from

03/30/2028

-

05/03/2028

$9,725,794

$43,075

$(18,983)

$24,092

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/08/2028

$1,408,000

$118,400

$3,474

$121,874

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.05%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

04/23/2025

-

06/29/2028

$1,825,350

$(540,701)

$(538,146)

$(1,078,847)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-259.83%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12

months

maturity

04/08/2024

$5,352,000

$171,000

$(323,834)

$(152,834)

51

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.09%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43

months

maturity

06/25/2025

$128,556,011

$(14,605,822)

$(3,004,470)

$(17,610,292)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

American

Airlines

Group,

Inc.,

6.50%,

7/1/2025

15,500,000

20,359,250

(1,503,047)

8.5

Bandwidth,

Inc.,

0.50%,

4/1/2028

9,255,000

5,924,839

(2,254,980)

12.8

Cable

One,

Inc.,

0.00%,

3/15/2026

7,050,000

5,763,375

(1,466,400)

8.3

Coherus

Biosciences,

Inc.,

1.50%,

4/15/2026

7,600,000

4,678,984

(4,144,867)

23.5

Exact

Sciences

Corp.,

0.38%,

3/1/2028

11,850,000

12,139,366

863,409

(4.9)

Exact

Sciences

Corp.,

0.38%,

3/15/2027

7,476,000

8,034,944

(34,603)

0.2

Granite

Point

Mortgage

Trust,

Inc.,

6.38%,

10/1/2023

1,900,000

1,863,746

390,478

(2.2)

Green

Plains,

Inc.,

2.25%,

3/15/2027

5,650,000

7,017,883

(685,112)

3.9

Opendoor

Technologies,

Inc.,

0.25%,

8/15/2026

3,717,000

2,558,707

101,023

(0.6)

PetIQ,

Inc.,

4.00%,

6/1/2026

2,975,000

2,735,524

(1,529,204)

8.7

Redfin

Corp.,

0.00%,

10/15/2025

3,550,000

2,889,700

(711,775)

4.0

Spotify

USA,

Inc.,

0.00%,

3/15/2026

9,000,000

7,645,500

(634,500)

3.6

Stride,

Inc.,

1.13%,

9/1/2027

15,750,000

15,119,392

164,495

(0.9)

SHARES

Short

Positions

Common

Stocks

United

States

American

Airlines

Group,

Inc.

(515,710)

(9,251,837)

(1,408,599)

8.0

Bandwidth,

Inc.

(3,036)

(41,532)

(3,029)

0.0

Cable

One,

Inc.

(61)

(40,082)

269

(0.0)

Coherus

Biosciences,

Inc.

(47,319)

(202,052)

33,839

(0.2)

Exact

Sciences

Corp.

(109,998)

(10,328,812)

(2,191,748)

12.4

Green

Plains,

Inc.

(133,315)

(4,298,076)

54,605

(0.3)

Opendoor

Technologies,

Inc.

(48,833)

(196,309)

(40,006)

0.2

PetIQ,

Inc.

(39,479)

(598,896)

(112,047)

0.6

Redfin

Corp.

(3,360)

(41,731)

1,056

(0.0)

Spotify

Technology

SA

(2,054)

(329,770)

(31,453)

0.2

Stride,

Inc.

(174,475)

(6,495,704)

536,374

(3.0)

52

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

49-61

months

maturity

ranging

from

06/23/2027

-

06/13/2028

$23,430,751

$260,590

$(12,008)

$248,582

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

Arab

Emirates

Network

International

Holdings

plc

1,867,165

9,096,305

14,480

5.8

United

Kingdom

Dechra

Pharmaceuticals

plc

262,922

12,312,247

231,349

93.1

EMIS

Group

plc

116,225

2,022,199

14,761

5.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/26/2026

-

07/30/2027

$84,272,692

$4,647,811

$(3,885,757)

$762,054

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alpha

Healthcare

Acquisition

Corp.

III

358,249

3,689,965

211,367

27.7

Athena

Technology

Acquisition

Corp.

II

99,000

1,033,560

60,390

7.9

Bilander

Acquisition

Corp.

241,664

2,452,890

128,082

16.8

Black

Mountain

Acquisition

Corp.

109,833

1,165,328

75,785

9.9

Churchill

Capital

Corp.

VI

1,073,397

11,055,989

499,130

65.5

Churchill

Capital

Corp.

VII

1,136,651

11,730,238

579,692

76.1

Concord

Acquisition

Corp.

II

286,392

2,938,382

177,563

23.3

Conyers

Park

III

Acquisition

Corp.

196,419

2,005,438

60,890

8.0

Edoc

Acquisition

Corp.

22,000

242,220

22,220

2.9

FTAC

Zeus

Acquisition

Corp.

255,030

2,658,688

164,494

21.6

Gores

Holdings

IX,

Inc.

1,656,294

16,977,014

1,035,184

135.8

53

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Healthwell

Acquisition

Corp.

I

279,200

2,870,176

189,856

24.9

Heartland

Media

Acquisition

Corp.

400,846

4,224,917

232,491

30.5

Hennessy

Capital

Investment

Corp.

VI

697,470

7,183,941

488,229

64.1

KnightSwan

Acquisition

Corp.

334,038

3,530,782

198,753

26.1

M3-Brigade

Acquisition

III

Corp.

449,013

4,687,696

237,977

31.2

Nabors

Energy

Transition

Corp.

112,127

1,190,789

75,125

9.9

Papaya

Growth

Opportunity

Corp.

I

129,815

1,376,039

81,783

10.7

Thunder

Bridge

Capital

Partners

IV,

Inc.

322,000

3,258,640

128,800

16.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.15%

to

0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

10/23/2025

-

06/28/2028

$608,906,386

$(14,973,953)

$(5,388,102)

$(20,362,055)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Absolute

Software

Corp.

892,206

10,224,681

138,649

(0.7)

India

Godha

Cabcon

&

Insulation

Ltd.

(a)

32,241

–

–

0.0

Israel

Tower

Semiconductor

Ltd.

379,015

14,220,643

(3,084,579)

15.1

Switzerland

VectivBio

Holding

AG

56,040

945,395

18,006

(0.1)

Taiwan

Silicon

Motion

Technology

Corp.,

ADR

281,100

20,199,846

(4,149,175)

20.4

United

States

Activision

Blizzard,

Inc.

364,284

30,709,141

1,906,132

(9.4)

Aerojet

Rocketdyne

Holdings,

Inc.

464,596

25,492,383

(419,571)

2.1

Albertsons

Cos.,

Inc.

1,266,133

27,627,022

181,729

(0.9)

Amedisys,

Inc.

63,867

5,839,998

15,741

(0.1)

Arconic

Corp.

375,592

11,110,011

260,463

(1.3)

Argo

Group

International

Holdings

Ltd.

305,265

9,038,897

150,501

(0.7)

Black

Knight,

Inc.

324,594

19,388,000

(2,245,641)

11.0

Chinook

Therapeutics,

Inc.

159,427

6,125,185

88,358

(0.4)

CIRCOR

International,

Inc.

84,749

4,784,081

740,328

(3.6)

DICE

Therapeutics,

Inc.

371,201

17,245,998

(31,041)

0.2

Diversey

Holdings

Ltd.

798,457

6,699,054

249,680

(1.2)

Focus

Financial

Partners,

Inc.

280,825

14,746,121

317,957

(1.6)

ForgeRock,

Inc.

630,545

12,951,394

(1,028,651)

5.1

Franchise

Group,

Inc.

442,427

12,671,109

(250,693)

1.2

iRobot

Corp.

225,011

10,181,748

(2,551,910)

12.5

54

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

IVERIC

bio,

Inc.

486,635

19,144,221

690,470

(3.4)

Lakeland

Bancorp,

Inc.

241,688

3,236,202

(817,485)

4.0

Life

Storage,

Inc.

196,130

26,077,445

(21,660)

0.1

National

Instruments

Corp.

333,736

19,156,446

(167,964)

0.8

Necessity

Retail

REIT,

Inc.

(The)

250,798

1,695,394

35,397

(0.2)

NuVasive,

Inc.

568,377

23,638,799

(288,233)

1.4

PDC

Energy,

Inc.

203,569

14,481,899

140,532

(0.7)

PNM

Resources,

Inc.

510,065

23,003,932

(1,705,895)

8.4

Radius

Global

Infrastructure,

Inc.

1,054,352

15,709,845

380,513

(1.9)

Seagen,

Inc.

114,665

22,068,426

(974,924)

4.8

Syneos

Health,

Inc.

305,454

12,871,832

137,316

(0.7)

Triton

International

Ltd.

218,739

18,212,209

(11,425)

0.1

Univar

Solutions,

Inc.

412,234

14,774,467

451,190

(2.2)

Urstadt

Biddle

Properties,

Inc.

84,744

1,801,657

53,055

(0.3)

VMware,

Inc.

198,646

28,543,444

5,507,109

(27.0)

Short

Positions

Common

Stocks

Canada

Brookfield

Infrastructure

Corp.

(50,163)

(2,286,430)

(43,885)

0.2

United

States

Broadcom,

Inc.

(26,334)

(22,842,902)

(9,020,011)

44.3

Chevron

Corp.

(94,415)

(14,856,200)

(315,428)

1.5

Extra

Space

Storage,

Inc.

(175,536)

(26,128,534)

372,876

(1.8)

Global

Net

Lease,

Inc.

(168,047)

(1,727,523)

(19,133)

0.1

Globus

Medical,

Inc.

(426,602)

(25,399,883)

(872,061)

4.3

Intercontinental

Exchange,

Inc.

(22,138)

(2,503,365)

(373,646)

1.8

MaxLinear,

Inc.

(109,088)

(3,442,817)

797,548

(3.9)

Provident

Financial

Services,

Inc.

(201,061)

(3,285,337)

837,070

(4.1)

Regency

Centers

Corp.

(29,407)

(1,816,470)

(51,562)

0.3

(a)

Security

fair

valued

using

significant

unobservable

inputs

as

of

June

30,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

55

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

291,941

$

291,941

BNPP

Cash

31,370,000

–

31,370,000

CITG

Cash

–

8,511,790

8,511,790

CITI

Investment

Companies

889,441

–

889,441

GSIN

Cash

(817,693)

–

(817,693)

U.S.

Treasury

Bills

129,733,871

–

129,733,871

JPMC

Cash

(363,380)

–

(363,380)

Investment

Companies

10,406,427

–

10,406,427

JPMS

Cash

–

(386,342)

(386,342)

MSIP

U.S.

Treasury

Bills

7,229,902

–

7,229,902

56

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

(a)

For

the

period

ended

June

30,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

June

30,

2023.

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

this

report

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

are

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

69.5%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

1,792,705

21,207,697

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

6,729,303

61,842,293

AQR

Macro

Opportunities

Fund,

Class

R6

(a)

3,767,807

40,051,789

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

4,734,254

40,051,789

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

7,778,905

61,842,293

TOTAL

ALTERNATIVE

FUNDS

(Cost

$214,482,327)

224,995,861

ASSET

ALLOCATION

FUNDS

-

28.5%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$91,101,124)

9,893,906

92,310,145

TOTAL

INVESTMENT

COMPANIES

(Cost

$305,583,451)

317,306,006

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.9%

INVESTMENT

COMPANIES

-

1.9%

Limited

Purpose

Cash

Investment

Fund,

5.10%

(b)

(Cost

$6,344,820)

6,348,155

6,345,616

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.9%

(Cost

$311,928,271)

323,651,622

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.1%

191,446

NET

ASSETS

-

100.0%

323,843,068

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

61,842,293

19.1

%

Global

Flex

Allocation

92,310,145

28.5

Global

Macro

40,051,789

12.4

Multi-Strategy

61,842,293

19.1

Relative

Value

Arbitrage

21,207,697

6.5

Systematic

Trend

40,051,789

12.4

Investment

Companies

6,345,616

1.9

Total

Investments

In

Securities

At

Value

323,651,622

99.9

Other

Assets

in

Excess

of

Liabilities

191,446

0.1

Net

Assets

$

323,843,068

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2023

Shares

Held

At

6/30/2023

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

98.0%

ALTERNATIVE

FUNDS

-

69.5%

AQR

Diversified

Arbitrage

Fund

$

24,491,514

$

17,593,006

$

(21,226,367)

$

(42,302)

$

391,846

$

21,207,697

1,792,705

$

–

$

–

AQR

Equity

Market

Neutral

Fund

36,767,279

29,446,139

(6,522,683)

(117,168)

2,268,726

61,842,293

6,729,303

–

–

AQR

Macro

Opportunities

Fund

24,511,520

23,679,752

(7,473,656)

(413,244)

(252,583)

40,051,789

3,767,807

–

–

AQR

Managed

Futures

Strategy

HV

Fund

24,511,520

21,862,318

(7,367,160)

(797,614)

1,842,725

40,051,789

4,734,254

–

–

AQR

Style

Premia

Alternative

Fund

36,767,279

29,827,283

(7,768,908)

(1,301,834)

4,318,473

61,842,293

7,778,905

–

–

(2,672,162)

8,569,187

224,995,861

–

–

ASSET

ALLOCATION

FUNDS

-

28.5%

AQR

Multi-Asset

Fund

37,710,030

59,738,060

(8,112,651)

(905,935)

3,880,641

92,310,145

9,893,906

–

–

TOTAL

$(3,578,097)

$12,449,828

$317,306,006

$–

$–

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

5).

57

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

101.5%

COMMON

STOCKS

-

4.8%

Italy

-

3.8%

A2A

SpA

(a)

157,110

287,431

Assicurazioni

Generali

SpA

(a)

27,581

560,887

Banco

BPM

SpA

(a)

151,485

703,623

Buzzi

SpA

(a)

22,778

570,702

Enel

SpA

(a)

23,022

155,224

ERG

SpA

(a)

2,376

70,075

Intesa

Sanpaolo

SpA

(a)

22,307

58,483

Leonardo

SpA

(a)

60,447

686,369

Nexi

SpA

*(a)(b)

919

7,210

Pirelli

&

C

SpA

*(a)(b)

128,025

632,912

Poste

Italiane

SpA

(a)(b)

37,596

407,275

Prysmian

SpA

(a)

23,824

996,408

Snam

SpA

(a)

30,746

160,689

UniCredit

SpA

(a)

55,063

1,280,411

Unipol

Gruppo

SpA

(a)

214,192

1,144,642

7,722,341

—

United

States

-

1.0%

Stellantis

NV

(a)

84,954

1,493,559

Tenaris

SA

(a)

41,549

621,533

2,115,092

—

TOTAL

COMMON

STOCKS

(Cost

$7,705,574)

9,837,433

SHORT-TERM

INVESTMENTS

-

96.7%

INVESTMENT

COMPANIES

-

50.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(c)(d)

5,192,628

5,192,628

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(c)

100,044,623

100,004,606

TOTAL

INVESTMENT

COMPANIES

(Cost

$105,168,367)

105,197,234

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

45.8%

U.S.

Treasury

Bills

4.82%,

7/13/2023

(e)(f)

$

1,503,000

1,500,910

4.80%,

7/20/2023

(e)(f)

1,982,000

1,977,313

4.79%,

8/3/2023

(e)(f)

326,000

324,564

4.85%,

8/10/2023

(e)(f)

246,000

244,667

4.96%,

8/17/2023

(e)(f)

1,885,000

1,872,837

5.04%,

8/24/2023

(e)(f)

10,655,000

10,575,277

5.07%,

8/31/2023

(e)(f)

5,931,000

5,880,827

5.10%,

9/7/2023

(e)(f)

2,263,000

2,241,696

4.81%,

9/14/2023

(e)(f)

9,136,000

9,040,388

4.73%,

9/21/2023

(e)(f)

4,444,000

4,393,027

4.76%,

9/28/2023

(e)(f)

1,215,000

1,199,849

4.80%,

10/5/2023

(e)(f)

3,796,000

3,744,719

4.91%,

10/12/2023

(e)(f)

806,000

794,272

4.99%,

10/19/2023

(e)(f)

9,112,000

8,969,819

4.96%,

10/26/2023

(e)(f)

15,163,000

14,911,126

5.11%,

11/16/2023

(e)(f)

18,261,000

17,903,652

5.39%,

12/7/2023

(e)(f)

3,210,000

3,137,088

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

45.8%

(continued)

5.36%,

12/28/2023

(e)

$

6,117,000

5,958,629

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$94,714,325)

94,670,660

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$199,882,692)

199,867,894

TOTAL

LONG

POSITIONS

(Cost

$207,588,266)

209,705,327

SHARES

SHORT

POSITIONS

-

(3.7)%

COMMON

STOCKS

-

(3.7)%

Italy

-

(3.6)%

Amplifon

SpA

(1,636)

(60,008)

Azimut

Holding

SpA

(919)

(19,830)

Banca

Generali

SpA

(10,531)

(362,307)

Brunello

Cucinelli

SpA

(1,666)

(146,683)

Davide

Campari-Milano

NV

(58,177)

(806,288)

DiaSorin

SpA

(2,772)

(288,756)

Ferrari

NV

(3,987)

(1,303,540)

FinecoBank

Banca

Fineco

SpA

(72,726)

(978,937)

Hera

SpA

(46,317)

(137,841)

Infrastrutture

Wireless

Italiane

SpA

(b)

(67,139)

(886,252)

Interpump

Group

SpA

(4,257)

(236,761)

Italgas

SpA

(25,839)

(153,191)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(45,619)

(546,173)

Moncler

SpA

(5,861)

(405,509)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(9,163)

(437,742)

Reply

SpA

(1,377)

(156,555)

Telecom

Italia

SpA

(1,147,130)

(323,412)

Terna

-

Rete

Elettrica

Nazionale

(12,824)

(109,378)

(7,359,163)

—

United

Kingdom

-

(0.1)%

CNH

Industrial

NV

(16,480)

(237,685)

TOTAL

COMMON

STOCKS

(Proceeds

$(7,072,541))

(7,596,848)

TOTAL

SHORT

POSITIONS

(Proceeds

$(7,072,541))

(7,596,848)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.8%

(Cost

$200,515,725)

202,108,479

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.2%

(g)

4,598,540

NET

ASSETS

-

100.0%

206,707,019

58

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(1,209,664)

(0.6)

%

Consumer

Discretionary

270,737

0.1

Consumer

Staples

(806,288)

(0.4)

Energy

621,534

0.3

Financials

2,255,286

1.1

Health

Care

(786,506)

(0.4)

Industrials

1,208,330

0.6

Information

Technology

(156,555)

(0.1)

Materials

570,702

0.3

Utilities

273,009

0.2

Investment

Companies

105,197,234

50.9

U.S.

Treasury

Obligations

94,670,660

45.8

Total

Investments

In

Securities

At

Value

202,108,479

97.8

Other

Assets

in

Excess

of

Liabilities

(g)

4,598,540

2.2

Net

Assets

$

206,707,019

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$8,212,737.

In

addition,

$320,000

of

cash

collateral

was

also

pledged.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$161,145,

which

represents

0.08%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

502

USD

559

CITI

9/20/2023

$

6

CHF

498

USD

555

JPMC

9/20/2023

6

SEK

378

USD

35

CITI

9/20/2023

–

SEK

372

USD

34

JPMC

9/20/2023

–

USD

253,919

EUR

231,500

CITI

9/20/2023

314

USD

253,920

EUR

231,500

JPMC

9/20/2023

315

USD

25,609

HKD

200,000

CITI

9/20/2023

40

USD

25,610

HKD

200,000

JPMC

9/20/2023

40

Total

unrealized

appreciation

721

EUR

500

USD

549

CITI

9/20/2023

(1)

EUR

500

USD

549

JPMC

9/20/2023

(1)

SEK

126

USD

12

CITI

9/20/2023

–

SEK

124

USD

12

JPMC

9/20/2023

–

SGD

680,500

USD

505,564

CITI

9/20/2023

(888)

SGD

680,500

USD

505,562

JPMC

9/20/2023

(886)

USD

109

CAD

148

CITI

9/20/2023

(2)

USD

108

CAD

146

JPMC

9/20/2023

(2)

USD

290

DKK

2,000

CITI

9/20/2023

(4)

USD

290

DKK

2,000

JPMC

9/20/2023

(4)

59

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

592,234

EUR

550,503

CITI

9/20/2023

$

(10,834)

USD

592,231

EUR

550,497

JPMC

9/20/2023

(10,830)

USD

136

NOK

1,502

CITI

9/20/2023

(4)

USD

135

NOK

1,498

JPMC

9/20/2023

(4)

Total

unrealized

depreciation

(23,460)

Net

unrealized

depreciation

$

(22,739)

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50

months

maturity

08/09/2027

$1,314,904

$20,478

$1,442

$21,920

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-11.80%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-61

months

maturity

ranging

from

04/23/2025

-

06/19/2028

$22,597,344

$31,269

$(891)

$30,378

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

32,938

1,295,809

(1,029)

(3.4)

Adecco

Group

AG

(Registered)

6,278

205,613

7,885

26.0

Alcon,

Inc.

2,531

209,978

5,643

18.6

Barry

Callebaut

AG

(Registered)

169

326,522

625

2.1

Clariant

AG

(Registered)

28,811

416,796

7,027

23.1

DKSH

Holding

AG

6,644

494,532

(9,864)

(32.5)

60

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Galenica

AG

4,759

384,742

6,170

20.3

Georg

Fischer

AG

(Registered)

10,015

753,234

28,726

94.6

Helvetia

Holding

AG

(Registered)

3,030

410,669

(11,137)

(36.7)

Julius

Baer

Group

Ltd.

1,758

110,943

48

0.2

Novartis

AG

(Registered)

17,942

1,808,902

(12,259)

(40.4)

Sonova

Holding

AG

(Registered)

1,987

530,206

6,511

21.4

Stadler

Rail

AG

3,007

117,481

2,247

7.4

Swatch

Group

AG

(The)

3,141

918,404

11,601

38.2

UBS

Group

AG

(Registered)

13,128

266,087

(5,332)

(17.6)

United

States

Holcim

AG

15,170

1,022,568

20,895

68.8

Roche

Holding

AG

4,492

1,372,172

(13,746)

(45.3)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(1,230)

(8,864)

741

2.4

Switzerland

Bachem

Holding

AG

(6,795)

(593,310)

48,193

158.6

Baloise

Holding

AG

(Registered)

(77)

(11,326)

580

1.9

Belimo

Holding

AG

(Registered)

(448)

(223,916)

(8,187)

(27.0)

BKW

AG

(374)

(66,123)

(3,487)

(11.5)

Chocoladefabriken

Lindt

&

Spruengli

AG

(4)

(50,292)

(1,267)

(4.2)

Cie

Financiere

Richemont

SA

(Registered)

(530)

(90,030)

(2,392)

(7.9)

Dufry

AG

(Registered)

(1,003)

(45,749)

(2,045)

(6.7)

EMS-Chemie

Holding

AG

(Registered)

(668)

(506,217)

9,121

30.0

Flughafen

Zurich

AG

(Registered)

(602)

(125,218)

(5,901)

(19.4)

Geberit

AG

(Registered)

(1,273)

(667,159)

4,578

15.1

Givaudan

SA

(Registered)

(196)

(650,121)

(16,167)

(53.2)

Idorsia

Ltd.

(4,618)

(33,394)

9,069

29.9

Kuehne

+

Nagel

International

AG

(Registered)

(540)

(159,963)

(4,065)

(13.4)

Logitech

International

SA

(Registered)

(9,057)

(540,568)

(27,941)

(92.0)

Lonza

Group

AG

(Registered)

(774)

(462,630)

12,121

39.9

Partners

Group

Holding

AG

(853)

(804,243)

28,696

94.5

Schindler

Holding

AG

(508)

(119,282)

(4,747)

(15.6)

SGS

SA

(Registered)

(656)

(62,058)

284

0.9

SIG

Group

AG

(55,396)

(1,530,410)

19,354

63.7

Sika

AG

(Registered)

(3,142)

(899,871)

(17,703)

(58.3)

Straumann

Holding

AG

(Registered)

(6,899)

(1,121,819)

(61,591)

(202.7)

Swiss

Life

Holding

AG

(Registered)

(980)

(573,973)

13,994

46.1

Swisscom

AG

(Registered)

(89)

(55,549)

(24)

(0.1)

Tecan

Group

AG

(Registered)

(702)

(269,760)

(1,995)

(6.6)

Temenos

AG

(Registered)

(348)

(27,710)

518

1.7

VAT

Group

AG

(2,707)

(1,121,277)

(7,387)

(24.3)

Zurich

Insurance

Group

AG

(1,218)

(579,389)

3,450

11.4

United

States

Nestle

SA

(Registered)

(4,519)

(543,598)

1,681

5.5

Swiss

Re

AG

(88)

(8,867)

(223)

(0.7)

61

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.60%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-59

months

maturity

ranging

from

04/24/2025

-

04/24/2028

$9,488,227

$234,713

$(537)

$234,176

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

371

652,310

1,490

0.6

Carlsberg

A/S

4,078

653,015

13,241

5.7

Genmab

A/S

1,457

552,141

(11,996)

(5.1)

ISS

A/S

47,975

1,014,890

36,547

15.6

Novo

Nordisk

A/S

4,639

749,383

13,235

5.7

Pandora

A/S

10,637

950,753

50,657

21.6

ROCKWOOL

A/S

942

243,608

21,344

9.1

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(11,434)

(187,442)

(7,977)

(3.4)

Coloplast

A/S

(1,768)

(221,241)

2,781

1.2

Demant

A/S

(2,077)

(87,913)

(3,871)

(1.7)

DSV

A/S

(1,796)

(377,235)

(20,851)

(8.9)

GN

Store

Nord

A/S

(8,688)

(217,274)

(2,287)

(1.0)

Novozymes

A/S

(23,473)

(1,095,229)

58,211

24.9

Orsted

A/S

(8,774)

(831,796)

17,123

7.3

Royal

Unibrew

A/S

(3,341)

(299,064)

9,698

4.1

Tryg

A/S

(25,450)

(551,145)

23,424

10.0

Vestas

Wind

Systems

A/S

(30,232)

(803,788)

33,944

14.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-61

months

maturity

ranging

from

04/23/2025

-

06/08/2028

$34,013,033

$60,433

$29,563

$89,996

62

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

7,947

322,165

3,044

3.4

Anheuser-Busch

InBev

SA/NV

7,005

397,026

(3,054)

(3.4)

Proximus

SADP

124,503

928,451

(35,595)

(39.6)

Solvay

SA

3,036

339,485

6,706

7.5

Finland

Metso

OYJ

24,736

298,483

3,056

3.4

Nokia

OYJ

175,167

733,925

(12,963)

(14.4)

Wartsila

OYJ

Abp

25,880

291,822

(10,490)

(11.7)

Luxembourg

ArcelorMittal

SA

10,703

292,022

(4,511)

(5.0)

Netherlands

Aalberts

NV

7,347

309,395

(5,755)

(6.4)

ASML

Holding

NV

1,142

828,325

4,371

4.9

ASR

Nederland

NV

17,638

795,535

46,266

51.4

Heineken

NV

3,352

344,708

445

0.5

Koninklijke

Ahold

Delhaize

NV

35,320

1,204,166

55,831

62.0

OCI

NV

18,781

451,101

8,229

9.1

Wolters

Kluwer

NV

4,623

586,998

6,615

7.4

Spain

Acerinox

SA

70,943

753,997

(27,875)

(31.0)

ACS

Actividades

de

Construccion

y

Servicios

SA

16,820

591,456

20,096

22.3

Banco

de

Sabadell

SA

899,915

1,037,557

32,002

35.6

Banco

Santander

SA

196,924

729,040

38,834

43.2

Industria

de

Diseno

Textil

SA

15,613

605,594

28,043

31.2

Mapfre

SA

335,707

667,394

2,151

2.4

Redeia

Corp.

SA

46,949

789,543

(42,189)

(46.9)

Repsol

SA

135,000

1,963,439

(42,213)

(46.9)

United

States

Signify

NV

24,185

678,001

(19,504)

(21.7)

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(2,714)

(480,338)

5,055

5.6

Galapagos

NV

(6,283)

(255,634)

5,511

6.1

UCB

SA

(5,526)

(489,927)

17,797

19.8

Finland

Huhtamaki

OYJ

(7,600)

(249,421)

11,149

12.4

Neste

OYJ

(13,132)

(505,625)

66,701

74.1

Valmet

OYJ

(9,785)

(272,380)

24,451

27.2

Netherlands

Adyen

NV

(915)

(1,584,476)

(18,310)

(20.3)

Aegon

NV

(77,383)

(392,826)

(19,008)

(21.1)

Akzo

Nobel

NV

(7,356)

(601,376)

(30,024)

(33.4)

Argenx

SE

(1,239)

(483,205)

3,649

4.1

ASM

International

NV

(2,196)

(932,431)

18,172

20.2

Ferrovial

SE

(21,136)

(668,153)

3,460

3.8

Koninklijke

KPN

NV

(121,174)

(432,588)

(13,831)

(15.4)

Koninklijke

Philips

NV

(38,821)

(841,160)

(57,981)

(64.4)

SBM

Offshore

NV

(17,424)

(238,849)

(425)

(0.5)

Universal

Music

Group

NV

(25,085)

(557,258)

(14,730)

(16.4)

63

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acciona

SA

(3,879)

(658,616)

25,822

28.7

Amadeus

IT

Group

SA

(3,258)

(248,098)

(1,799)

(2.0)

Banco

Bilbao

Vizcaya

Argentaria

SA

(72,609)

(557,833)

(19,221)

(21.4)

CaixaBank

SA

(150,598)

(623,824)

(7,906)

(8.8)

Cellnex

Telecom

SA

(48,715)

(1,968,270)

(38,110)

(42.3)

Corp.

ACCIONA

Energias

Renovables

SA

(9,242)

(309,192)

9,692

10.8

Endesa

SA

(16,248)

(349,131)

21,422

23.8

Fluidra

SA

(17,756)

(346,217)

(6,180)

(6.9)

Grifols

SA

(55,680)

(714,309)

(3,440)

(3.8)

Switzerland

DSM-Firmenich

AG

(2,663)

(286,576)

(13,948)

(15.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

23-58

months

maturity

ranging

from

04/24/2025

-

04/04/2028

$4,146,210

$(63,055)

$29,970

$(33,085)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

10,762

380,242

6,556

(19.8)

Norway

Equinor

ASA

36,026

1,049,036

(21,480)

64.9

Leroy

Seafood

Group

ASA

63,972

242,757

(17,098)

51.7

Mowi

ASA

12,305

195,232

(9,745)

29.5

Norsk

Hydro

ASA

46,075

274,665

(20,580)

62.2

Telenor

ASA

7,333

74,353

(2,163)

6.5

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(4,645)

(277,871)

21,810

(65.9)

Norway

Gjensidige

Forsikring

ASA

(12,531)

(200,745)

5,078

(15.3)

Kongsberg

Gruppen

ASA

(2,865)

(130,226)

(1,785)

5.4

Orkla

ASA

(228)

(1,639)

11

(0.0)

Salmar

ASA

(13,286)

(535,399)

19,010

(57.5)

Schibsted

ASA

(11,031)

(193,718)

518

(1.6)

TOMRA

Systems

ASA

(19,137)

(307,867)

3,696

(11.2)

64

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

Subsea

7

SA

(22,678)

(282,460)

(46,883)

141.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-61

months

maturity

ranging

from

04/23/2025

-

06/19/2028

$16,131,182

$193,208

$(1,437)

$191,771

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

13,370

145,635

3,051

1.6

Guatemala

Millicom

International

Cellular

SA

29,246

447,515

(40,581)

(21.2)

Sweden

Assa

Abloy

AB

31,995

769,063

31,585

16.5

Axfood

AB

4,307

91,152

(2,493)

(1.3)

Billerud

AB

70,760

538,524

(29,506)

(15.4)

Boliden

AB

7,041

204,035

(7,482)

(3.9)

Elekta

AB

54,918

424,861

(1,739)

(0.9)

Embracer

Group

AB

27,154

67,906

(248)

(0.1)

Essity

AB

5,459

145,382

168

0.1

Evolution

AB

1,794

227,343

(4,930)

(2.6)

Getinge

AB

10,698

187,682

(22,403)

(11.7)

H

&

M

Hennes

&

Mauritz

AB

64,063

1,101,711

198,145

103.3

Saab

AB

8,256

446,947

(10,965)

(5.7)

Sandvik

AB

14,128

275,838

(294)

(0.2)

Skanska

AB

33,849

474,918

27,378

14.3

SKF

AB

7,784

135,640

(5,312)

(2.8)

SSAB

AB

44,389

307,799

(7,050)

(3.7)

Svenska

Handelsbanken

AB

54,583

456,983

(5,174)

(2.7)

Swedbank

AB

5,066

85,494

(651)

(0.3)

Swedish

Orphan

Biovitrum

AB

4,225

82,579

(2,819)

(1.5)

Telefonaktiebolaget

LM

Ericsson

167,261

908,779

15,198

7.9

Trelleborg

AB

7,145

173,404

(16,991)

(8.9)

Volvo

AB

19,863

411,065

12,805

6.7

Volvo

Car

AB

48,376

192,475

(7,392)

(3.9)

United

States

Sinch

AB

68,701

155,135

(11,405)

(5.9)

65

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(9,812)

(357,919)

(8,938)

(4.7)

Atlas

Copco

AB

(32,865)

(474,468)

(21)

(0.0)

Beijer

Ref

AB

(36,703)

(468,826)

49,117

25.6

Electrolux

AB

(24,506)

(334,887)

(5,538)

(2.9)

Epiroc

AB

(35,261)

(667,909)

(17,146)

(8.9)

EQT

AB

(61,720)

(1,188,217)

43,853

22.9

Hexagon

AB

(50,599)

(622,384)

(297)

(0.2)

Hexpol

AB

(18,451)

(195,912)

9,035

4.7

Holmen

AB

(10,026)

(360,342)

9,451

4.9

Husqvarna

AB

(49,802)

(451,882)

(28,267)

(14.7)

Indutrade

AB

(21,814)

(492,353)

19,152

10.0

Lifco

AB

(13,031)

(283,786)

(9,039)

(4.7)

Nibe

Industrier

AB

(44,207)

(420,336)

5,734

3.0

Securitas

AB

(43,362)

(356,165)

(9,119)

(4.8)

Skandinaviska

Enskilda

Banken

AB

(6,194)

(68,507)

207

0.1

Svenska

Cellulosa

AB

SCA

(43,870)

(560,000)

14,948

7.8

Tele2

AB

(6,688)

(55,312)

1,899

1.0

Telia

Co.

AB

(143,178)

(314,112)

7,282

3.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

or

CORRA

plus

or

minus

a

specified

spread

(-0.77%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

08/26/2024

$28,125,111

$48,057

$326,459

$374,516

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

41,361

780,231

66,502

17.8

Alimentation

Couche-Tard,

Inc.

7,453

382,172

17,834

4.8

ARC

Resources

Ltd.

52,631

702,012

(22,646)

(6.0)

Atco

Ltd.

19,846

590,848

4,195

1.1

Bank

of

Montreal

3,549

320,515

6,081

1.6

Bank

of

Nova

Scotia

(The)

10,886

544,649

18,407

4.9

Bombardier,

Inc.

7,275

358,657

23,065

6.2

Canadian

Imperial

Bank

of

Commerce

8,692

371,104

1,443

0.4

Capital

Power

Corp.

13,741

436,683

(7,987)

(2.1)

Empire

Co.

Ltd.

22,081

627,219

13,668

3.6

Fairfax

Financial

Holdings

Ltd.

789

590,992

7,927

2.1

66

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Finning

International,

Inc.

20,924

643,633

14,847

4.0

George

Weston

Ltd.

3,349

395,939

4,525

1.2

iA

Financial

Corp.,

Inc.

4,770

324,961

8,282

2.2

Imperial

Oil

Ltd.

13,451

688,212

19,901

5.3

Loblaw

Cos.

Ltd.

3,218

294,606

7,142

1.9

Magna

International,

Inc.

4,626

261,165

16,866

4.5

Manulife

Financial

Corp.

27,743

524,389

19,476

5.2

Nutrien

Ltd.

10,673

630,108

(1,853)

(0.5)

Open

Text

Corp.

13,839

575,602

24,445

6.5

Parkland

Corp.

11,289

281,213

6,221

1.7

Suncor

Energy,

Inc.

15,245

447,194

7,710

2.1

West

Fraser

Timber

Co.

Ltd.

9,448

811,683

47,356

12.6

Whitecap

Resources,

Inc.

43,388

303,610

6,223

1.7

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(9,032)

(390,597)

(5,182)

(1.4)

Canada

Algonquin

Power

&

Utilities

Corp.

(81,247)

(671,564)

(1,840)

(0.5)

BCE,

Inc.

(8,448)

(385,174)

(9,502)

(2.5)

Brookfield

Corp.

(13,663)

(459,989)

(33,004)

(8.8)

Brookfield

Infrastructure

Corp.

(6,824)

(311,182)

(2,730)

(0.7)

Cameco

Corp.

(20,073)

(628,669)

(32,123)

(8.6)

Canadian

Pacific

Kansas

City

Ltd.

(4,036)

(325,988)

(5,758)

(1.5)

Constellation

Software,

Inc.

(143)

(296,283)

(10,189)

(2.7)

Dollarama,

Inc.

(5,066)

(343,100)

(10,784)

(2.9)

Element

Fleet

Management

Corp.

(34,824)

(530,476)

(4,732)

(1.3)

Emera,

Inc.

(6,653)

(274,005)

(5,123)

(1.4)

Enbridge,

Inc.

(26,535)

(986,287)

(15,423)

(4.1)

Fortis,

Inc.

(10,759)

(463,658)

(8,203)

(2.2)

Franco-Nevada

Corp.

(2,383)

(339,637)

(10,271)

(2.7)

GFL

Environmental,

Inc.

(13,106)

(508,906)

(24,139)

(6.4)

Intact

Financial

Corp.

(3,110)

(480,181)

(17,748)

(4.7)

Metro,

Inc.

(5,887)

(332,489)

(7,643)

(2.0)

Pan

American

Silver

Corp.

(28,623)

(417,002)

(1,296)

(0.3)

RB

Global,

Inc.

(4,352)

(261,169)

(13,929)

(3.7)

Rogers

Communications,

Inc.

(12,257)

(559,210)

(14,526)

(3.9)

Royal

Bank

of

Canada

(4,367)

(417,070)

(9,560)

(2.6)

TC

Energy

Corp.

(12,339)

(498,683)

1,304

0.3

Thomson

Reuters

Corp.

(2,828)

(381,820)

(2,028)

(0.5)

TMX

Group

Ltd.

(15,835)

(356,325)

(14,942)

(4.0)

WSP

Global,

Inc.

(2,958)

(390,798)

(12,013)

(3.2)

United

States

Brookfield

Renewable

Corp.

(9,230)

(291,166)

766

0.2

67

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.32%

to

0.24%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

05/05/2025

$5,046,194

$36,650

$117,920

$154,570

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

56,600

159,454

(2,511)

(1.6)

Yangzijiang

Shipbuilding

Holdings

Ltd.

670,316

745,780

76,653

49.6

Singapore

City

Developments

Ltd.

108,562

541,506

6,081

3.9

Genting

Singapore

Ltd.

387,219

269,998

5,152

3.3

Jardine

Cycle

&

Carriage

Ltd.

5,200

134,087

5,125

3.3

Oversea-Chinese

Banking

Corp.

Ltd.

30,600

278,368

289

0.2

Seatrium

Ltd.

3,338,300

309,628

1,075

0.7

Singapore

Airlines

Ltd.

122,900

651,128

(28,621)

(18.5)

Singapore

Telecommunications

Ltd.

86,600

160,398

1,593

1.0

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(22,235)

(519,249)

(202)

(0.1)

Keppel

Corp.

Ltd.

(55,300)

(275,214)

(2,476)

(1.6)

Singapore

Technologies

Engineering

Ltd.

(295,500)

(806,322)

(24,090)

(15.6)

United

Overseas

Bank

Ltd.

(9,400)

(195,062)

(1,418)

(0.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-0.63%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/20/2023

$21,039,558

$69,830

$26,239

$96,069

68

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Ampol

Ltd.

8,823

176,252

(3,715)

(3.9)

ANZ

Group

Holdings

Ltd.

26,270

415,849

2,504

2.6

Aristocrat

Leisure

Ltd.

9,582

247,913

(1,409)

(1.5)

Aurizon

Holdings

Ltd.

207,509

542,886

9,310

9.7

BHP

Group

Ltd.

28,375

853,008

(18,374)

(19.1)

BlueScope

Steel

Ltd.

78,248

1,076,914

(11,976)

(12.5)

Coles

Group

Ltd.

18,770

230,475

1,283

1.3

Computershare

Ltd.

10,276

160,367

1,418

1.5

Harvey

Norman

Holdings

Ltd.

105,900

246,318

13,518

14.1

Incitec

Pivot

Ltd.

359,129

657,155

4,046

4.2

JB

Hi-Fi

Ltd.

28,718

840,482

12,705

13.2

New

Hope

Corp.

Ltd.

56,308

182,410

(20,142)

(21.0)

Origin

Energy

Ltd.

47,437

266,622

(1,663)

(1.7)

Pilbara

Minerals

Ltd.

47,809

157,132

3,625

3.8

Qantas

Airways

Ltd.

268,660

1,113,358

(69,619)

(72.5)

Qube

Holdings

Ltd.

67,555

128,757

(1,298)

(1.4)

Seven

Group

Holdings

Ltd.

8,817

145,405

(2,958)

(3.1)

Sonic

Healthcare

Ltd.

27,306

649,382

5,642

5.9

South32

Ltd.

230,872

581,243

(20,097)

(20.9)

Suncorp

Group

Ltd.

25,929

232,978

(721)

(0.8)

Telstra

Group

Ltd.

130,012

372,965

(6,376)

(6.6)

Westpac

Banking

Corp.

19,758

281,327

2,955

3.1

Whitehaven

Coal

Ltd.

160,546

719,703

(1,125)

(1.2)

New

Zealand

Xero

Ltd.

1,984

158,958

2,727

2.8

Short

Positions

Common

Stocks

Australia

Allkem

Ltd.

(12,194)

(131,135)

(2,222)

(2.3)

Alumina

Ltd.

(375,197)

(347,994)

669

0.7

carsales.com

Ltd.

(9,391)

(150,177)

4,154

4.3

Cleanaway

Waste

Management

Ltd.

(160,439)

(277,557)

23,834

24.8

Commonwealth

Bank

of

Australia

(18,681)

(1,250,633)

148

0.2

Domino's

Pizza

Enterprises

Ltd.

(9,976)

(310,123)

(6,689)

(7.0)

IDP

Education

Ltd.

(41,973)

(621,570)

55,628

57.9

IGO

Ltd.

(31,339)

(319,870)

(8,811)

(9.2)

Insurance

Australia

Group

Ltd.

(40,345)

(153,427)

(3,729)

(3.9)

Lynas

Rare

Earths

Ltd.

(85,579)

(393,248)

19,493

20.3

Macquarie

Group

Ltd.

(2,353)

(279,978)

8,480

8.8

Medibank

Pvt

Ltd.

(62,219)

(146,151)

3,059

3.2

Mineral

Resources

Ltd.

(10,987)

(526,198)

10,943

11.4

NEXTDC

Ltd.

(25,295)

(213,307)

6,252

6.5

Northern

Star

Resources

Ltd.

(25,796)

(210,157)

20,281

21.1

Pro

Medicus

Ltd.

(8,249)

(363,045)

13,313

13.9

REA

Group

Ltd.

(5,593)

(537,282)

(23,125)

(24.1)

Reece

Ltd.

(29,375)

(365,937)

13,685

14.2

Transurban

Group

(53,958)

(513,754)

12,109

12.6

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(12,361)

(262,412)

3,390

3.5

Wesfarmers

Ltd.

(9,630)

(317,494)

(79)

(0.1)

WiseTech

Global

Ltd.

(3,223)

(172,876)

86

0.1

69

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Woodside

Energy

Group

Ltd.

(11,109)

(256,969)

5,889

6.1

Woolworths

Group

Ltd.

(9,166)

(242,864)

(1,436)

(1.5)

United

States

CSL

Ltd.

(2,061)

(381,654)

8,864

9.2

James

Hardie

Industries

plc

(28,292)

(754,716)

2,922

3.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-3.00%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-24

months

maturity

08/21/2023

$54,669,419

$(338,067)

$23,613

$(314,454)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

398,915

751,591

(21,713)

6.9

Bouygues

SA

15,987

537,058

13,707

(4.4)

Cie

de

Saint-Gobain

16,532

1,006,574

6,993

(2.2)

Dassault

Aviation

SA

4,773

956,276

58,365

(18.6)

Eiffage

SA

13,106

1,368,379

2,036

(0.6)

Ipsen

SA

6,069

730,564

103

(0.0)

Rexel

SA

46,779

1,156,093

17,784

(5.7)

Rubis

SCA

17,592

427,361

(24,906)

7.9

Safran

SA

4,131

647,368

3,211

(1.0)

Sodexo

SA

10,399

1,145,110

(6,082)

1.9

Thales

SA

6,161

923,096

21,221

(6.7)

TotalEnergies

SE

9,240

530,419

(12,131)

3.9

Germany

Bayerische

Motoren

Werke

AG

7,981

981,720

14,861

(4.7)

Deutsche

Bank

AG

(Registered)

101,764

1,069,821

25,444

(8.1)

Deutsche

Lufthansa

AG

(Registered)

92,468

948,125

6,315

(2.0)

GEA

Group

AG

16,344

684,259

(7,366)

2.3

Infineon

Technologies

AG

11,461

471,990

(4,373)

1.4

Mercedes-Benz

Group

AG

7,293

587,023

(14,134)

4.5

Siemens

AG

(Registered)

4,517

752,988

(51,910)

16.5

TeamViewer

SE

34,895

560,881

12,756

(4.1)

thyssenkrupp

AG

128,427

1,005,897

15,111

(4.8)

Singapore

STMicroelectronics

NV

16,136

804,757

12,415

(3.9)

70

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Sanofi

4,843

521,377

22,027

(7.0)

Preferred

Stocks

Germany

Volkswagen

AG

(Preference)

3,466

466,082

(17,951)

5.7

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(2,994)

(430,214)

15,412

(4.9)

Air

Liquide

SA

(7,831)

(1,404,373)

(24,325)

7.7

Airbus

SE

(8,559)

(1,237,475)

(9,507)

3.0

Alstom

SA

(47,543)

(1,419,195)

(68,786)

21.9

Bollore

SE

(77,204)

(481,465)

(15,590)

5.0

Cie

Generale

des

Etablissements

Michelin

SCA

(25,953)

(767,724)

2,861

(0.9)

EssilorLuxottica

SA

(3,260)

(614,739)

(8,787)

2.8

Forvia

(18,668)

(440,585)

11,437

(3.6)

L'Oreal

SA

(1,885)

(879,307)

(30,934)

9.8

Remy

Cointreau

SA

(3,248)

(521,371)

(3,207)

1.0

Sartorius

Stedim

Biotech

(3,907)

(975,788)

52,098

(16.6)

SEB

SA

(4,330)

(447,785)

(19,001)

6.0

SOITEC

(3,327)

(562,847)

(14,653)

4.7

Germany

adidas

AG

(10,420)

(2,022,814)

(65,303)

20.8

Covestro

AG

(18,873)

(982,013)

(151,861)

48.3

Deutsche

Telekom

AG

(Registered)

(25,003)

(545,528)

(18,688)

5.9

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(11,053)

(589,992)

878

(0.3)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(13,354)

(638,203)

(12,486)

4.0

Nemetschek

SE

(6,858)

(511,996)

25,765

(8.2)

Rheinmetall

AG

(2,085)

(571,190)

20,577

(6.5)

Siemens

Healthineers

AG

(14,205)

(805,073)

6,843

(2.2)

Symrise

AG

(7,211)

(756,091)

(19,429)

6.2

Luxembourg

Eurofins

Scientific

SE

(16,067)

(1,021,023)

30,915

(9.8)

South

Korea

Delivery

Hero

SE

(23,585)

(1,040,572)

(105,971)

33.7

United

States

Schneider

Electric

SE

(3,613)

(656,398)

(13,296)

4.2

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(3,217)

(1,114,558)

(52,314)

16.6

71

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-24

months

maturity

07/19/2023

$43,304,134

$(173,219)

$97,660

$(75,559)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

AG

58,049

411,809

(23,152)

30.6

Netherlands

Shell

plc

24,078

718,287

2,737

(3.6)

Nigeria

Airtel

Africa

plc

268,900

368,140

(53,616)

71.0

United

Kingdom

BAE

Systems

plc

40,212

474,150

(11,212)

14.8

Barclays

plc

673,709

1,316,152

3,132

(4.1)

Barratt

Developments

plc

222,229

1,167,974

(74,124)

98.1

BP

plc

209,077

1,217,325

(7,820)

10.3

British

American

Tobacco

plc

48,621

1,615,454

28,205

(37.3)

Burberry

Group

plc

23,575

636,136

(39,616)

52.4

Centrica

plc

1,008,707

1,590,472

70,496

(93.3)

DCC

plc

9,101

509,124

(17,355)

23.0

DS

Smith

plc

216,990

750,867

(100,392)

132.9

Howden

Joinery

Group

plc

71,972

588,038

(26,017)

34.4

Imperial

Brands

plc

38,060

842,438

(5,379)

7.1

Inchcape

plc

48,339

478,387

4,452

(5.9)

InterContinental

Hotels

Group

plc

7,917

547,275

(1,102)

1.5

Legal

&

General

Group

plc

186,352

539,545

(1,949)

2.6

Man

Group

plc

188,347

523,055

(6,296)

8.3

Marks

&

Spencer

Group

plc

365,908

896,923

20,958

(27.7)

Pearson

plc

53,087

556,555

2,494

(3.3)

Reckitt

Benckiser

Group

plc

9,442

709,574

(9,906)

13.1

Rolls-Royce

Holdings

plc

310,707

597,490

(9,401)

12.4

Sage

Group

plc

(The)

27,247

320,068

17,217

(22.8)

Smiths

Group

plc

27,523

575,829

(2,488)

3.3

Taylor

Wimpey

plc

634,904

829,435

(40,190)

53.2

Tesco

plc

188,139

593,493

(24,874)

32.9

Travis

Perkins

plc

29,983

310,530

2,780

(3.7)

Vodafone

Group

plc

836,453

788,633

1,047

(1.4)

United

States

GSK

plc

50,627

897,240

28,083

(37.2)

72

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(61,219)

(1,138,457)

40,594

(53.7)

Hong

Kong

Prudential

plc

(55,103)

(778,241)

11,842

(15.7)

South

Africa

Anglo

American

plc

(12,918)

(367,821)

39,701

(52.5)

United

Kingdom

abrdn

plc

(300,486)

(834,447)

(13,206)

17.5

Admiral

Group

plc

(21,606)

(572,207)

20,214

(26.8)

AstraZeneca

plc

(5,392)

(772,966)

24,533

(32.5)

B&M

European

Value

Retail

SA

(83,331)

(590,178)

(1,126)

1.5

Berkeley

Group

Holdings

plc

(9,982)

(497,602)

(1,546)

2.0

ConvaTec

Group

plc

(139,204)

(363,054)

(990)

1.3

Croda

International

plc

(10,971)

(784,257)

(36,046)

47.7

Diageo

plc

(14,175)

(609,397)

(14,423)

19.1

Halma

plc

(16,425)

(475,428)

(660)

0.9

Next

plc

(4,532)

(397,394)

(9,349)

12.4

Pennon

Group

plc

(44,265)

(399,958)

28,975

(38.3)

Rentokil

Initial

plc

(148,982)

(1,164,847)

28,293

(37.4)

Severn

Trent

plc

(24,133)

(786,743)

42,617

(56.4)

Spirax-Sarco

Engineering

plc

(4,417)

(582,179)

(1,026)

1.4

SSE

plc

(28,373)

(665,350)

2,715

(3.6)

St

James's

Place

plc

(28,802)

(398,319)

8,435

(11.2)

United

Utilities

Group

plc

(63,616)

(777,864)

63,588

(84.2)

United

States

Experian

plc

(12,611)

(484,023)

(16,677)

22.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-24

months

maturity

07/20/2023

$11,425,006

$109,522

$6,468

$115,990

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

177,000

542,209

(8,940)

(7.7)

SITC

International

Holdings

Co.

Ltd.

228,000

417,507

8,992

7.8

73

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

ASMPT

Ltd.

33,400

329,977

(19,964)

(17.2)

CK

Asset

Holdings

Ltd.

72,228

401,354

(12,049)

(10.4)

CLP

Holdings

Ltd.

21,000

163,561

10,000

8.6

Henderson

Land

Development

Co.

Ltd.

112,000

333,538

(9,494)

(8.2)

HKT

Trust

&

HKT

Ltd.

55,000

64,040

(674)

(0.6)

Man

Wah

Holdings

Ltd.

740,400

495,667

(390)

(0.3)

New

World

Development

Co.

Ltd.

230,000

568,456

(27,383)

(23.6)

Sino

Land

Co.

Ltd.

90,000

110,800

(3,136)

(2.7)

Sun

Hung

Kai

Properties

Ltd.

19,500

246,375

(8,947)

(7.7)

Swire

Pacific

Ltd.

30,500

234,322

27,446

23.7

Swire

Properties

Ltd.

15,000

36,958

(1,097)

(0.9)

WH

Group

Ltd.

1,034,500

550,948

(11,453)

(9.9)

Macau

Sands

China

Ltd.

400

1,370

(98)

(0.1)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

247,000

1,507,526

(46,468)

(40.1)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(252,500)

(653,384)

44,245

38.1

ESR

Group

Ltd.

(250,000)

(430,563)

26,941

23.2

Xinyi

Glass

Holdings

Ltd.

(157,000)

(245,441)

4,605

4.0

Hong

Kong

AIA

Group

Ltd.

(86,600)

(879,553)

27,780

24.0

Hang

Lung

Properties

Ltd.

(45,000)

(69,636)

5,709

4.9

Hang

Seng

Bank

Ltd.

(15,000)

(213,834)

5,155

4.4

Hong

Kong

&

China

Gas

Co.

Ltd.

(470,000)

(407,016)

14,641

12.6

MTR

Corp.

Ltd.

(70,018)

(322,333)

9,171

7.9

Power

Assets

Holdings

Ltd.

(15,500)

(81,367)

1,118

1.0

Techtronic

Industries

Co.

Ltd.

(64,500)

(705,347)

(7,749)

(6.7)

Wharf

Real

Estate

Investment

Co.

Ltd.

(223,000)

(1,118,871)

66,421

57.3

Macau

Galaxy

Entertainment

Group

Ltd.

(46,000)

(293,053)

15,140

13.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-6.25%

to

0.28%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-24

months

maturity

07/20/2023

$172,990,633

$351,592

$407,060

$758,652

74

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Fuji

Electric

Co.

Ltd.

23,900

1,052,199

(6,361)

(0.8)

Fujitsu

Ltd.

8,100

1,048,811

(11,859)

(1.6)

Fukuoka

Financial

Group,

Inc.

54,400

1,124,364

65,921

8.7

Honda

Motor

Co.

Ltd.

39,700

1,202,666

(6,534)

(0.9)

IHI

Corp.

42,300

1,147,277

(1,576)

(0.2)

Japan

Post

Bank

Co.

Ltd.

173,500

1,352,995

6,309

0.8

JFE

Holdings,

Inc.

113,200

1,618,370

34,457

4.5

Lawson,

Inc.

24,900

1,104,060

44,350

5.8

Mazda

Motor

Corp.

147,400

1,424,502

15,317

2.0

Mitsubishi

Corp.

37,700

1,822,678

8,940

1.2

Mitsubishi

Motors

Corp.

590,000

2,063,071

68,124

9.0

Mizuho

Financial

Group,

Inc.

166,630

2,547,018

76,928

10.1

Nippon

Steel

Corp.

65,400

1,368,775

37,388

4.9

Niterra

Co.

Ltd.

60,800

1,219,868

64,291

8.5

Obayashi

Corp.

148,600

1,285,143

84,356

11.1

Ono

Pharmaceutical

Co.

Ltd.

64,000

1,154,779

(65,609)

(8.6)

Panasonic

Holdings

Corp.

129,300

1,585,468

93,492

12.3

Ricoh

Co.

Ltd.

160,700

1,369,465

(4,829)

(0.6)

SCREEN

Holdings

Co.

Ltd.

11,800

1,344,009

53,978

7.1

Sega

Sammy

Holdings,

Inc.

51,000

1,092,562

35,062

4.6

Shimamura

Co.

Ltd.

15,200

1,437,210

16,704

2.2

Shin-Etsu

Chemical

Co.

Ltd.

34,700

1,159,603

5,061

0.7

Sojitz

Corp.

53,900

1,192,823

3,097

0.4

Subaru

Corp.

126,800

2,388,123

44,483

5.9

TOPPAN,

Inc.

51,500

1,113,001

27,288

3.6

Toyo

Suisan

Kaisha

Ltd.

28,700

1,294,712

4,858

0.6

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(74,200)

(1,519,357)

(91,100)

(12.0)

Ajinomoto

Co.,

Inc.

(42,200)

(1,681,115)

(18,500)

(2.4)

Asahi

Intecc

Co.

Ltd.

(61,200)

(1,204,903)

(18,184)

(2.4)

Chugai

Pharmaceutical

Co.

Ltd.

(39,300)

(1,119,225)

34,758

4.6

Daiichi

Sankyo

Co.

Ltd.

(38,500)

(1,223,310)

46,194

6.1

Daikin

Industries

Ltd.

(5,100)

(1,045,017)

(1,301)

(0.2)

Denso

Corp.

(31,300)

(2,111,252)

(61,389)

(8.1)

Eisai

Co.

Ltd.

(20,300)

(1,375,814)

(28,483)

(3.8)

Fast

Retailing

Co.

Ltd.

(4,200)

(1,077,194)

(9,548)

(1.3)

JSR

Corp.

(69,000)

(1,982,797)

(387,087)

(51.0)

Kansai

Electric

Power

Co.,

Inc.

(The)

(97,200)

(1,219,511)

(22,151)

(2.9)

Keyence

Corp.

(2,700)

(1,282,923)

28,578

3.8

Kobe

Bussan

Co.

Ltd.

(48,500)

(1,258,824)

(15,863)

(2.1)

Kubota

Corp.

(92,900)

(1,359,952)

33,918

4.5

Makita

Corp.

(49,200)

(1,390,701)

(6,711)

(0.9)

Mitsubishi

UFJ

Financial

Group,

Inc.

(232,900)

(1,716,723)

(117,357)

(15.5)

Rakuten

Group,

Inc.

(311,000)

(1,083,688)

24,570

3.2

SMC

Corp.

(1,900)

(1,055,948)

13,646

1.8

SoftBank

Group

Corp.

(25,600)

(1,207,286)

(53,029)

(7.0)

T&D

Holdings,

Inc.

(71,500)

(1,048,608)

(35,285)

(4.7)

Toyota

Motor

Corp.

(177,500)

(2,852,796)

(81,338)

(10.7)

75

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Unicharm

Corp.

(28,700)

(1,067,206)

23,153

3.1

Yamaha

Corp.

(28,200)

(1,086,287)

32,175

4.2

Yaskawa

Electric

Corp.

(36,100)

(1,664,322)

9,645

1.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-8.57%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-12

months

maturity

07/19/2023

$428,800,209

$30,144

$136,660

$166,804

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

13,004

1,301,570

(28,739)

(17.2)

AGCO

Corp.

8,456

1,111,288

(7,695)

(4.6)

Allison

Transmission

Holdings,

Inc.

31,544

1,780,974

101,255

60.7

Altria

Group,

Inc.

30,895

1,399,544

56,538

33.9

Amazon.com,

Inc.

13,142

1,713,191

60,190

36.1

American

International

Group,

Inc.

29,362

1,689,489

42,869

25.7

Booking

Holdings,

Inc.

744

2,009,046

47,378

28.4

Builders

FirstSource,

Inc.

8,501

1,156,136

78,549

47.1

Cardinal

Health,

Inc.

13,752

1,300,527

45,794

27.5

Cigna

Group

(The)

6,293

1,765,816

66,391

39.8

Cisco

Systems,

Inc.

25,512

1,319,991

4,847

2.9

Citigroup,

Inc.

30,245

1,392,480

(47,485)

(28.5)

CVS

Health

Corp.

24,465

1,691,265

11,254

6.7

General

Motors

Co.

44,576

1,718,851

55,274

33.1

Healthpeak

Properties,

Inc.

62,092

1,248,049

(4,967)

(3.0)

Huntington

Ingalls

Industries,

Inc.

5,723

1,302,555

52,251

31.3

Kroger

Co.

(The)

26,836

1,261,292

31,398

18.8

McDonald's

Corp.

4,870

1,453,257

26,152

15.7

McKesson

Corp.

2,603

1,112,288

44,199

26.5

PACCAR,

Inc.

13,895

1,162,317

81,703

49.0

Republic

Services,

Inc.

7,766

1,189,518

56,692

34.0

Synchrony

Financial

33,281

1,128,892

40,270

24.1

TD

SYNNEX

Corp.

17,345

1,630,430

(43,016)

(25.8)

Texas

Roadhouse,

Inc.

11,225

1,260,343

47,257

28.3

Toll

Brothers,

Inc.

18,443

1,458,288

68,977

41.4

United

Airlines

Holdings,

Inc.

31,132

1,708,213

67,556

40.5

Unum

Group

23,956

1,142,701

51,505

30.9

Walmart,

Inc.

18,243

2,867,435

55,094

33.0

Western

Union

Co.

(The)

141,090

1,654,986

9,876

5.9

76

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Aon

plc

(3,585)

(1,237,542)

(58,256)

(34.9)

Avery

Dennison

Corp.

(7,383)

(1,268,399)

(27,760)

(16.6)

Ball

Corp.

(27,138)

(1,579,703)

(59,975)

(36.0)

Chart

Industries,

Inc.

(8,124)

(1,298,134)

(72,872)

(43.7)

Choice

Hotels

International,

Inc.

(12,748)

(1,498,145)

(58,258)

(34.9)

Churchill

Downs,

Inc.

(8,137)

(1,132,426)

(30,758)

(18.4)

Constellation

Brands,

Inc.

(4,819)

(1,186,100)

(11,517)

(6.9)

Eli

Lilly

&

Co.

(2,678)

(1,255,928)

(45,606)

(27.3)

Envestnet,

Inc.

(24,915)

(1,478,705)

(107,136)

(64.2)

Hanesbrands,

Inc.

(264,625)

(1,201,398)

40,509

24.3

Home

Depot,

Inc.

(The)

(5,311)

(1,649,809)

(49,021)

(29.4)

JPMorgan

Chase

&

Co.

(9,780)

(1,422,403)

(28,460)

(17.1)

Kohl's

Corp.

(57,788)

(1,332,013)

(26,582)

(15.9)

McCormick

&

Co.,

Inc.

(Non-Voting)

(14,257)

(1,243,638)

81,407

48.8

Novanta,

Inc.

(7,098)

(1,306,742)

(89,862)

(53.9)

Philip

Morris

International,

Inc.

(12,482)

(1,218,493)

(34,950)

(21.0)

Quanta

Services,

Inc.

(6,184)

(1,214,847)

(66,169)

(39.7)

Seagate

Technology

Holdings

plc

(18,782)

(1,162,042)

13,335

8.0

Southern

Co.

(The)

(18,364)

(1,290,071)

1,653

1.0

Trex

Co.,

Inc.

(17,346)

(1,137,204)

(89,505)

(53.7)

Welltower,

Inc.

(19,655)

(1,589,893)

(32,824)

(19.7)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Investment

Companies

$

149,400

$

–

$

149,400

JPMC

Investment

Companies

5,043,228

–

5,043,228

MLIN

Cash

(372,044)

–

(372,044)

MSIP

Cash

(1,033,937)

–

(1,033,937)

U.S.

Treasury

Bills

43,941,771

–

43,941,771

77

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

7

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

89.1%

INVESTMENT

COMPANIES

-

29.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(a)(b)

1,421,232

1,421,232

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)

184,740,608

184,666,712

TOTAL

INVESTMENT

COMPANIES

(Cost

$186,028,005)

186,087,944

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

59.7%

U.S.

Treasury

Bills

4.80%,

7/20/2023

(c)(d)

$

17,360,000

17,318,950

4.80%,

7/27/2023

(c)(d)

11,825,000

11,785,455

4.79%,

8/3/2023

(c)(d)

31,683,000

31,543,484

4.85%,

8/10/2023

(c)

2,488,000

2,474,521

4.96%,

8/17/2023

(c)

515,000

511,677

5.04%,

8/24/2023

(c)

8,419,000

8,356,007

5.07%,

8/31/2023

(c)(d)

12,347,000

12,242,550

5.10%,

9/7/2023

(c)(d)

118,000

116,889

4.81%,

9/14/2023

(c)(d)

26,926,000

26,644,210

4.96%,

10/26/2023

(c)(d)

10,981,000

10,798,593

5.02%,

11/2/2023

(c)(d)

30,639,000

30,098,748

5.01%,

11/9/2023

(c)(d)

17,814,000

17,482,917

5.11%,

11/16/2023

(c)(d)

72,693,000

71,270,478

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

59.7%

(continued)

5.31%,

11/24/2023

(c)(d)

$

67,900,000

66,492,614

5.44%,

11/30/2023

(c)(d)

2,882,000

2,819,573

5.39%,

12/7/2023

(c)(d)

6,886,000

6,729,591

5.29%,

12/14/2023

(c)(d)

19,893,000

19,419,642

5.36%,

12/28/2023

(c)

43,211,000

42,092,252

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$378,273,017)

378,198,151

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$564,301,022)

564,286,095

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

89.1%

(Cost

$564,301,022)

564,286,095

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

10.9%

(e)

69,254,894

NET

ASSETS

-

100.0%

633,540,989

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

186,087,944

29.4

U.S.

Treasury

Obligations

378,198,151

59.7

Total

Investments

In

Securities

At

Value

$

564,286,095

89.1

Other

Assets

in

Excess

of

Liabilities

(e)

69,254,894

10.9

Net

Assets

$

633,540,989

100.0%

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

78

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

AUD

3,586,146

$

26,341

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

CAD

2,569,708

21,696

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

EUR

1,641,342

22,425

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

EUR

717,536

22,373

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

JPY

1,350,560,349

96,719

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.21%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

EUR

1,606,879

58,057

247,611

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/21/2023

EUR

(310,084)

(1,699)

79

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/28/2023

HKD

3,761,400

$

(4,996)

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

07/28/2023

HKD

3,761,400

(3,272)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/15/2023

CHF

1,245,970

(4,463)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

09/15/2023

CHF

3,624,640

(13,864)

MSCI

Germany

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

EUR

1,319,151

(10,245)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

HKD

3,597,618

(14,433)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.14%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

EUR

2,376,233

(13,401)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SORA

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

SGD

468,783

(3,652)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.08%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

SEK

14,960,774

(14,994)

80

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

CHF

1,910,685

$

(10,823)

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.22%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

GBP

1,560,448

(21,447)

(117,289)

$

130,322

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

CAC

40

10

Euro

Index

63

7/2023

EUR

$

5,094,392

$

62,151

IBEX

35

Index

5

7/2023

EUR

521,048

13,877

MSCI

Singapore

Index

23

7/2023

SGD

491,327

1,846

OMXS30

Index

29

7/2023

SEK

622,801

(1,338)

DAX

Index

1

9/2023

EUR

443,900

2,290

FTSE

100

Index

43

9/2023

GBP

4,118,413

(32,885)

FTSE/MIB

Index

9

9/2023

EUR

1,392,737

35,382

S&P

500

E-Mini

Index

593

9/2023

USD

133,076,612

4,326,937

S&P/TSX

60

Index

26

9/2023

CAD

4,783,333

76,597

SPI

200

Index

12

9/2023

AUD

1,431,090

13,820

TOPIX

Index

17

9/2023

JPY

2,695,589

87,602

4,586,279

Short

Contracts

Hang

Seng

Index

(1)

7/2023

HKD

(120,004)

1,463

1,463

$

4,587,742

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

5,046,003

USD

3,319,670

CITI

9/20/2023

$

49,154

AUD

5,045,997

USD

3,319,650

JPMC

9/20/2023

49,170

CAD

7,382,710

USD

5,455,946

CITI

9/20/2023

123,814

CAD

7,382,700

USD

5,455,911

JPMC

9/20/2023

123,841

81

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

4,045,298

USD

4,506,537

CITI

9/20/2023

$

50,616

CHF

4,045,284

USD

4,506,499

JPMC

9/20/2023

50,638

DKK

9,596,722

USD

1,393,953

CITI

9/20/2023

19,285

DKK

9,596,721

USD

1,393,945

JPMC

9/20/2023

19,292

EUR

13,043,444

USD

14,049,646

CITI

9/20/2023

239,239

EUR

13,043,436

USD

14,049,567

JPMC

9/20/2023

239,307

GBP

5,013,003

USD

6,231,576

CITI

9/20/2023

136,264

GBP

5,012,998

USD

6,231,538

JPMC

9/20/2023

136,294

ILS

742,125

USD

200,377

CITI

9/20/2023

432

ILS

742,124

USD

200,375

JPMC

9/20/2023

432

NOK

2,897,260

USD

261,680

CITI

9/20/2023

8,983

NOK

2,897,255

USD

261,678

JPMC

9/20/2023

8,984

NZD

115,002

USD

69,725

CITI

9/20/2023

829

NZD

114,997

USD

69,721

JPMC

9/20/2023

829

SEK

12,068,252

USD

1,114,638

CITI

9/20/2023

8,528

SEK

12,068,249

USD

1,114,632

JPMC

9/20/2023

8,531

USD

117,834

HKD

920,500

CITI

9/20/2023

152

USD

117,834

HKD

920,500

JPMC

9/20/2023

153

USD

4,197

SEK

44,905

CITI

9/20/2023

18

USD

4,197

SEK

44,904

JPMC

9/20/2023

18

USD

55,466

SGD

74,500

CITI

9/20/2023

215

USD

55,467

SGD

74,500

JPMC

9/20/2023

215

Total

unrealized

appreciation

1,275,233

HKD

9,832,000

USD

1,258,937

CITI

9/20/2023

(1,962)

HKD

9,832,000

USD

1,258,930

JPMC

9/20/2023

(1,956)

ILS

247,376

USD

67,828

CITI

9/20/2023

(891)

ILS

247,375

USD

67,827

JPMC

9/20/2023

(891)

JPY

1,344,797,504

USD

9,797,098

CITI

9/20/2023

(362,509)

JPY

1,344,797,497

USD

9,797,049

JPMC

9/20/2023

(362,451)

SEK

4,022,750

USD

375,791

CITI

9/20/2023

(1,403)

SEK

4,022,750

USD

375,789

JPMC

9/20/2023

(1,401)

SGD

2,931,359

USD

2,177,797

CITI

9/20/2023

(3,826)

SGD

2,931,356

USD

2,177,784

JPMC

9/20/2023

(3,816)

USD

216,782

AUD

326,500

CITI

9/20/2023

(1,197)

USD

216,783

AUD

326,500

JPMC

9/20/2023

(1,195)

USD

425,084

CAD

569,500

CITI

9/20/2023

(5,337)

USD

425,086

CAD

569,500

JPMC

9/20/2023

(5,335)

USD

43,703

DKK

301,500

CITI

9/20/2023

(697)

USD

43,703

DKK

301,500

JPMC

9/20/2023

(696)

USD

12,454

SEK

134,718

CITI

9/20/2023

(84)

USD

12,453

SEK

134,712

JPMC

9/20/2023

(84)

Total

unrealized

depreciation

(755,731)

Net

unrealized

appreciation

$

519,502

82

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.03%

to

0.02%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/19/2028

$1,771,897

$22,310

$(366)

$21,944

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/19/2028

$925,865

$8,498

$221

$8,719

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

06/14/2028

-

06/19/2028

$4,218,801

$(33,044)

$(6,658)

$(39,702)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/14/2028

$31,242

$(1,019)

$(25)

$(1,044)

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/14/2028

$1,637,978

$(10,271)

$(19)

$(10,290)

83

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.28%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

03/25/2024

$63,344,053

$60,750

$653,358

$714,108

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AT&T,

Inc.

43,476

693,442

13,912

1.9

Berry

Global

Group,

Inc.

21,157

1,361,241

34,274

4.8

CF

Industries

Holdings,

Inc.

9,481

658,171

(5,689)

(0.8)

Chemours

Co.

(The)

15,473

570,799

42,396

5.9

Dow,

Inc.

10,974

584,475

14,376

2.0

Eagle

Materials,

Inc.

7,855

1,464,329

91,118

12.8

Eastman

Chemical

Co.

25,782

2,158,469

78,119

10.9

Huntsman

Corp.

33,580

907,332

43,318

6.1

International

Paper

Co.

51,956

1,652,720

24,419

3.4

Kroger

Co.

(The)

70,218

3,300,246

24,576

3.4

LyondellBasell

Industries

NV

11,815

1,084,971

30,955

4.3

Mattel,

Inc.

61,028

1,192,487

85,439

12.0

Mohawk

Industries,

Inc.

5,815

599,875

19,422

2.7

Mosaic

Co.

(The)

51,608

1,806,280

33,545

4.7

PulteGroup,

Inc.

19,266

1,496,583

31,789

4.5

Reliance

Steel

&

Aluminum

Co.

2,230

605,646

28,700

4.0

Skechers

USA,

Inc.

54,010

2,844,167

129,084

18.1

Steel

Dynamics,

Inc.

4,105

447,158

21,387

3.0

Taylor

Morrison

Home

Corp.

39,241

1,913,784

83,976

11.8

Toll

Brothers,

Inc.

44,776

3,540,438

143,283

20.1

United

States

Steel

Corp.

60,503

1,513,180

67,763

9.5

US

Foods

Holding

Corp.

10,389

457,116

21,194

3.0

Westrock

Co.

50,179

1,458,704

33,118

4.6

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(2,847)

(1,084,935)

(29,523)

(4.1)

United

States

Air

Products

and

Chemicals,

Inc.

(4,891)

(1,465,001)

(64,268)

(9.0)

Amcor

plc

(50,495)

(503,940)

(1,010)

(0.1)

AptarGroup,

Inc.

(8,825)

(1,022,464)

(19,856)

(2.8)

Avery

Dennison

Corp.

(11,486)

(1,973,295)

(29,978)

(4.2)

Ball

Corp.

(64,065)

(3,729,224)

(139,662)

(19.6)

Casey's

General

Stores,

Inc.

(1,924)

(469,225)

(40,058)

(5.6)

Columbia

Sportswear

Co.

(6,007)

(463,981)

(12,675)

(1.8)

84

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Costco

Wholesale

Corp.

(923)

(496,925)

(13,808)

(1.9)

Crown

Holdings,

Inc.

(7,544)

(655,347)

(7,318)

(1.0)

Ecolab,

Inc.

(5,169)

(965,001)

(32,513)

(4.6)

Freeport-McMoRan,

Inc.

(19,240)

(769,600)

(14,045)

(2.0)

Frontier

Communications

Parent,

Inc.

(47,330)

(882,231)

(115,012)

(16.1)

Grocery

Outlet

Holding

Corp.

(35,390)

(1,083,288)

(47,777)

(6.7)

International

Flavors

&

Fragrances,

Inc.

(6,792)

(540,575)

(18,746)

(2.6)

Iridium

Communications,

Inc.

(15,548)

(965,842)

9,173

1.3

Leggett

&

Platt,

Inc.

(16,983)

(503,036)

(10,869)

(1.5)

MP

Materials

Corp.

(33,768)

(772,612)

(48,964)

(6.9)

Royal

Gold,

Inc.

(8,722)

(1,001,111)

(4,623)

(0.6)

RPM

International,

Inc.

(9,654)

(866,253)

(65,454)

(9.2)

Scotts

Miracle-Gro

Co.

(The)

(10,110)

(633,796)

(51,258)

(7.2)

Sensient

Technologies

Corp.

(5,862)

(416,964)

(3,165)

(0.4)

Tempur

Sealy

International,

Inc.

(30,184)

(1,209,473)

(47,389)

(6.6)

Topgolf

Callaway

Brands

Corp.

(33,232)

(659,655)

(17,945)

(2.5)

Valvoline,

Inc.

(69,283)

(2,598,805)

(95,611)

(13.4)

Vulcan

Materials

Co.

(2,492)

(561,796)

(26,590)

(3.7)

Worthington

Industries,

Inc.

(6,034)

(419,182)

(48,875)

(6.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.10%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$69,794,991

$227,354

$62,075

$289,429

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Ampol

Ltd.

24,758

494,577

(10,425)

(3.6)

ANZ

Group

Holdings

Ltd.

94,301

1,492,765

8,989

3.1

Aristocrat

Leisure

Ltd.

39,087

1,011,291

(5,746)

(2.0)

Aurizon

Holdings

Ltd.

718,266

1,879,131

32,226

11.1

BHP

Group

Ltd.

91,248

2,743,094

(59,088)

(20.4)

BlueScope

Steel

Ltd.

240,361

3,308,046

(36,787)

(12.7)

Coles

Group

Ltd.

84,447

1,036,915

5,773

2.0

Computershare

Ltd.

32,727

510,738

4,517

1.6

Harvey

Norman

Holdings

Ltd.

322,602

750,354

41,180

14.2

Incitec

Pivot

Ltd.

1,084,164

1,983,865

12,215

4.2

JB

Hi-Fi

Ltd.

93,324

2,731,287

41,287

14.3

New

Hope

Corp.

Ltd.

169,984

550,663

(60,805)

(21.0)

Origin

Energy

Ltd.

152,580

857,584

(5,350)

(1.8)

Pilbara

Minerals

Ltd.

154,706

508,467

11,730

4.1

85

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Qantas

Airways

Ltd.

805,162

3,336,685

(208,646)

(72.1)

Qube

Holdings

Ltd.

247,109

470,980

(4,748)

(1.6)

Seven

Group

Holdings

Ltd.

34,590

570,441

(11,604)

(4.0)

Sonic

Healthcare

Ltd.

95,714

2,276,238

19,775

6.8

South32

Ltd.

722,079

1,817,904

(62,857)

(21.7)

Suncorp

Group

Ltd.

95,662

859,544

(2,658)

(0.9)

Telstra

Group

Ltd.

513,899

1,474,222

(25,200)

(8.7)

Westpac

Banking

Corp.

63,262

900,763

9,460

3.3

Whitehaven

Coal

Ltd.

469,351

2,104,028

(3,288)

(1.1)

New

Zealand

Xero

Ltd.

6,394

512,287

8,788

3.0

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,204,433)

(1,117,108)

2,147

0.7

APA

Group

(74,950)

(484,923)

16,353

5.7

carsales.com

Ltd.

(51,171)

(818,306)

22,634

7.8

Cleanaway

Waste

Management

Ltd.

(561,755)

(971,828)

83,452

28.8

Commonwealth

Bank

of

Australia

(61,506)

(4,117,630)

488

0.2

Domino's

Pizza

Enterprises

Ltd.

(23,051)

(716,584)

(15,456)

(5.3)

Endeavour

Group

Ltd.

(113,089)

(475,956)

(20,937)

(7.2)

IDP

Education

Ltd.

(130,964)

(1,939,422)

173,571

60.0

IGO

Ltd.

(106,635)

(1,088,399)

(29,979)

(10.4)

Insurance

Australia

Group

Ltd.

(151,285)

(575,320)

(13,983)

(4.8)

Lynas

Rare

Earths

Ltd.

(256,102)

(1,176,825)

58,336

20.2

Macquarie

Group

Ltd.

(7,421)

(883,009)

26,743

9.2

Mineral

Resources

Ltd.

(33,785)

(1,618,057)

33,649

11.6

NEXTDC

Ltd.

(86,794)

(731,914)

21,452

7.4

Northern

Star

Resources

Ltd.

(81,723)

(665,787)

64,251

22.2

Pro

Medicus

Ltd.

(20,684)

(910,318)

33,382

11.5

REA

Group

Ltd.

(19,734)

(1,895,713)

(81,592)

(28.2)

Reece

Ltd.

(96,028)

(1,196,263)

44,737

15.5

Transurban

Group

(200,661)

(1,910,567)

45,030

15.6

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(23,996)

(509,412)

6,581

2.3

Wesfarmers

Ltd.

(44,640)

(1,471,750)

(366)

(0.1)

Woodside

Energy

Group

Ltd.

(39,835)

(921,446)

21,115

7.3

Woolworths

Group

Ltd.

(34,503)

(914,199)

(5,405)

(1.9)

Worley

Ltd.

(44,673)

(471,716)

261

0.1

United

States

CSL

Ltd.

(8,800)

(1,629,573)

37,848

13.1

James

Hardie

Industries

plc

(86,609)

(2,310,378)

8,944

3.1

86

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$134,842,435

$(682,435)

$211,583

$(470,852)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

AG

172,081

1,220,770

(68,633)

14.6

Netherlands

Shell

plc

75,951

2,265,746

8,635

(1.8)

Nigeria

Airtel

Africa

plc

828,841

1,134,733

(165,263)

35.1

United

Kingdom

BAE

Systems

plc

107,991

1,273,349

(30,111)

6.4

Barclays

plc

2,104,618

4,111,564

9,785

(2.1)

Barratt

Developments

plc

674,197

3,543,391

(224,878)

47.8

BP

plc

601,599

3,502,737

(22,501)

4.8

British

American

Tobacco

plc

140,616

4,672,029

81,571

(17.3)

Burberry

Group

plc

68,847

1,857,733

(115,691)

24.6

Centrica

plc

2,828,756

4,460,221

197,696

(42.0)

DCC

plc

25,604

1,432,328

(48,825)

10.4

DS

Smith

plc

645,693

2,234,342

(298,731)

63.4

Howden

Joinery

Group

plc

224,172

1,831,569

(81,036)

17.2

Imperial

Brands

plc

134,604

2,979,387

(19,025)

4.0

Inchcape

plc

149,107

1,475,638

13,733

(2.9)

InterContinental

Hotels

Group

plc

24,957

1,725,192

(3,475)

0.7

Legal

&

General

Group

plc

551,703

1,597,347

(5,770)

1.2

Man

Group

plc

597,125

1,658,265

(19,961)

4.2

Marks

&

Spencer

Group

plc

1,173,409

2,876,290

67,208

(14.3)

Pearson

plc

159,089

1,667,863

7,473

(1.6)

Reckitt

Benckiser

Group

plc

21,388

1,607,327

(22,439)

4.8

Rolls-Royce

Holdings

plc

906,307

1,742,831

(27,422)

5.8

Smiths

Group

plc

80,852

1,691,565

(7,309)

1.6

Taylor

Wimpey

plc

1,861,991

2,432,494

(117,866)

25.0

Tesco

plc

524,293

1,653,907

(69,318)

14.7

Vodafone

Group

plc

2,461,479

2,320,755

3,080

(0.7)

United

States

GSK

plc

154,546

2,738,951

85,727

(18.2)

87

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(181,548)

(3,376,150)

120,382

(25.6)

Hong

Kong

Prudential

plc

(161,349)

(2,278,796)

34,675

(7.4)

South

Africa

Anglo

American

plc

(40,170)

(1,143,781)

123,454

(26.2)

United

Kingdom

abrdn

plc

(875,307)

(2,430,719)

(38,470)

8.2

Admiral

Group

plc

(66,708)

(1,766,677)

62,410

(13.3)

AstraZeneca

plc

(17,866)

(2,561,168)

81,289

(17.3)

B&M

European

Value

Retail

SA

(265,992)

(1,883,843)

(3,594)

0.8

Berkeley

Group

Holdings

plc

(45,641)

(2,275,201)

(7,067)

1.5

ConvaTec

Group

plc

(474,733)

(1,238,137)

(3,375)

0.7

Croda

International

plc

(33,497)

(2,394,518)

(110,056)

23.4

Diageo

plc

(46,828)

(2,013,183)

(47,648)

10.1

Halma

plc

(55,115)

(1,595,324)

(2,214)

0.5

Next

plc

(15,044)

(1,319,151)

(31,032)

6.6

Ocado

Group

plc

(184,455)

(1,334,795)

(316,007)

67.1

Pennon

Group

plc

(137,935)

(1,246,315)

90,289

(19.2)

Rentokil

Initial

plc

(469,928)

(3,674,231)

89,244

(19.0)

Schroders

plc

(203,289)

(1,131,025)

20,186

(4.3)

Severn

Trent

plc

(76,999)

(2,510,189)

135,974

(28.9)

Spirax-Sarco

Engineering

plc

(13,043)

(1,719,122)

(3,029)

0.6

SSE

plc

(96,918)

(2,272,736)

9,275

(2.0)

St

James's

Place

plc

(92,144)

(1,274,310)

26,984

(5.7)

United

Utilities

Group

plc

(203,902)

(2,493,211)

203,811

(43.3)

United

States

Experian

plc

(44,387)

(1,703,618)

(58,697)

12.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.03%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/19/2026

$34,131,967

$342,830

$45,025

$387,855

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

456,000

1,396,877

(23,031)

(5.9)

SITC

International

Holdings

Co.

Ltd.

653,000

1,195,754

25,754

6.6

88

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

ASMPT

Ltd.

104,000

1,027,474

(62,163)

(16.0)

CK

Asset

Holdings

Ltd.

230,997

1,283,595

(38,535)

(9.9)

CLP

Holdings

Ltd.

67,000

521,836

31,905

8.2

Henderson

Land

Development

Co.

Ltd.

323,000

961,899

(27,381)

(7.1)

HKT

Trust

&

HKT

Ltd.

242,000

281,778

(2,964)

(0.8)

Man

Wah

Holdings

Ltd.

2,160,400

1,446,297

(1,138)

(0.3)

New

World

Development

Co.

Ltd.

720,000

1,779,515

(85,722)

(22.1)

Sino

Land

Co.

Ltd.

382,000

470,283

(13,311)

(3.4)

Sun

Hung

Kai

Properties

Ltd.

50,000

631,731

(22,940)

(5.9)

Swire

Pacific

Ltd.

89,500

687,600

80,539

20.8

WH

Group

Ltd.

3,069,000

1,634,469

(33,976)

(8.8)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

690,500

4,214,359

(129,905)

(33.5)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(748,200)

(1,936,088)

131,106

33.8

ESR

Group

Ltd.

(725,400)

(1,249,321)

78,172

20.2

Xinyi

Glass

Holdings

Ltd.

(448,000)

(700,367)

13,140

3.4

Hong

Kong

AIA

Group

Ltd.

(256,400)

(2,604,126)

82,249

21.2

Hang

Lung

Properties

Ltd.

(73,000)

(112,965)

9,261

2.4

Hang

Seng

Bank

Ltd.

(46,900)

(668,589)

16,118

4.2

Hong

Kong

&

China

Gas

Co.

Ltd.

(1,177,045)

(1,019,310)

36,666

9.5

MTR

Corp.

Ltd.

(184,139)

(847,697)

24,120

6.2

Power

Assets

Holdings

Ltd.

(115,000)

(603,690)

8,293

2.1

Swire

Properties

Ltd.

(32,600)

(80,322)

2,384

0.6

Techtronic

Industries

Co.

Ltd.

(195,000)

(2,132,444)

(23,428)

(6.0)

Wharf

Real

Estate

Investment

Co.

Ltd.

(711,000)

(3,567,342)

211,773

54.6

Macau

Galaxy

Entertainment

Group

Ltd.

(167,000)

(1,063,910)

54,965

14.2

Sands

China

Ltd.

(3,600)

(12,329)

879

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BNPP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-0.15%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/10/2026

$526,619,674

$1,086,031

$1,161,137

$2,247,168

89

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Fujitsu

Ltd.

24,500

3,172,331

(35,871)

(1.6)

Fukuoka

Financial

Group,

Inc.

166,600

3,443,365

201,884

9.0

Honda

Motor

Co.

Ltd.

124,800

3,780,674

(20,539)

(0.9)

IHI

Corp.

128,800

3,493,363

(4,798)

(0.2)

Japan

Post

Bank

Co.

Ltd.

520,900

4,062,105

18,943

0.8

JFE

Holdings,

Inc.

333,400

4,766,473

101,484

4.5

Lawson,

Inc.

72,900

3,232,368

129,843

5.8

Mazda

Motor

Corp.

453,100

4,378,844

47,083

2.1

Mitsubishi

Corp.

115,500

5,584,068

27,389

1.2

Mitsubishi

HC

Capital,

Inc.

575,300

3,415,791

184,351

8.2

Mitsubishi

Motors

Corp.

1,734,400

6,064,731

200,260

8.9

Mizuho

Financial

Group,

Inc.

521,500

7,971,373

240,762

10.7

Nippon

Steel

Corp.

201,000

4,206,785

114,908

5.1

Niterra

Co.

Ltd.

182,600

3,663,616

193,083

8.6

Obayashi

Corp.

441,000

3,813,917

250,343

11.1

Ono

Pharmaceutical

Co.

Ltd.

187,900

3,390,360

(192,625)

(8.6)

Panasonic

Holdings

Corp.

405,100

4,967,308

292,916

13.0

Ricoh

Co.

Ltd.

467,300

3,982,273

(14,042)

(0.6)

SCREEN

Holdings

Co.

Ltd.

36,100

4,111,757

165,137

7.3

Sega

Sammy

Holdings,

Inc.

157,100

3,365,520

108,005

4.8

Shimamura

Co.

Ltd.

46,200

4,368,363

50,771

2.3

Shin-Etsu

Chemical

Co.

Ltd.

104,500

3,492,176

15,240

0.7

Sojitz

Corp.

158,900

3,516,505

9,131

0.4

Subaru

Corp.

377,900

7,117,285

132,571

5.9

TOPPAN,

Inc.

152,400

3,293,620

80,752

3.6

Toyo

Suisan

Kaisha

Ltd.

87,500

3,947,293

14,811

0.7

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(225,000)

(4,607,214)

(276,242)

(12.3)

Ajinomoto

Co.,

Inc.

(126,300)

(5,031,395)

(55,370)

(2.5)

Asahi

Intecc

Co.

Ltd.

(184,500)

(3,632,429)

(54,820)

(2.4)

Chugai

Pharmaceutical

Co.

Ltd.

(119,400)

(3,400,395)

105,602

4.7

Daiichi

Sankyo

Co.

Ltd.

(117,300)

(3,727,123)

140,741

6.3

Daikin

Industries

Ltd.

(15,700)

(3,217,013)

(4,005)

(0.2)

Denso

Corp.

(94,500)

(6,374,227)

(185,343)

(8.2)

Eisai

Co.

Ltd.

(60,600)

(4,107,109)

(85,028)

(3.8)

Fast

Retailing

Co.

Ltd.

(12,500)

(3,205,935)

(28,417)

(1.3)

JSR

Corp.

(210,000)

(6,034,598)

(1,178,090)

(52.4)

Kansai

Electric

Power

Co.,

Inc.

(The)

(289,200)

(3,628,421)

(65,907)

(2.9)

Keyence

Corp.

(8,600)

(4,086,348)

91,025

4.1

Kobe

Bussan

Co.

Ltd.

(146,100)

(3,792,045)

(47,786)

(2.1)

Kubota

Corp.

(280,200)

(4,101,814)

102,303

4.6

Makita

Corp.

(144,000)

(4,070,345)

(19,643)

(0.9)

Mitsubishi

UFJ

Financial

Group,

Inc.

(715,100)

(5,271,055)

(360,333)

(16.0)

Nippon

Paint

Holdings

Co.

Ltd.

(385,300)

(3,188,745)

125,003

5.6

Rakuten

Group,

Inc.

(915,100)

(3,188,692)

72,297

3.2

SoftBank

Group

Corp.

(76,400)

(3,602,995)

(158,257)

(7.0)

T&D

Holdings,

Inc.

(215,000)

(3,153,157)

(106,101)

(4.7)

Toyota

Motor

Corp.

(547,000)

(8,791,433)

(250,659)

(11.2)

90

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Unicharm

Corp.

(86,500)

(3,216,493)

69,781

3.1

Yamaha

Corp.

(86,500)

(3,332,052)

98,694

4.4

Yaskawa

Electric

Corp.

(107,900)

(4,974,524)

28,829

1.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-56

months

maturity

ranging

from

01/13/2025

-

01/03/2028

$60,177,094

$26,260

$201,999

$228,259

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

573,991

1,081,449

701

0.3

Amundi

SA

5,819

343,779

1,848

0.8

Arkema

SA

7,203

679,217

24,329

10.7

Bouygues

SA

47,696

1,602,271

23,720

10.4

Capgemini

SE

2,269

429,618

12,671

5.6

Cie

de

Saint-Gobain

51,783

3,152,880

(1,263)

(0.6)

Dassault

Aviation

SA

10,822

2,168,199

205,549

90.1

Eiffage

SA

36,555

3,816,656

(122,764)

(53.8)

Getlink

SE

3,745

63,732

(1,203)

(0.5)

Ipsen

SA

17,477

2,103,816

(11,147)

(4.9)

La

Francaise

des

Jeux

SAEM

32,363

1,273,766

(10,269)

(4.5)

Orange

SA

96,131

1,123,430

19,062

8.4

Publicis

Groupe

SA

13,445

1,079,045

26,241

11.5

Rexel

SA

132,113

3,265,031

236,194

103.5

Rubis

SCA

38,486

934,938

(189,713)

(83.1)

Safran

SA

3,086

483,606

23,479

10.3

Sodexo

SA

11,215

1,234,966

(12,066)

(5.3)

Thales

SA

8,306

1,244,479

62,144

27.2

TotalEnergies

SE

32,320

1,855,318

(82,636)

(36.2)

Luxembourg

SES

SA

76,028

447,901

(15,440)

(6.8)

Singapore

STMicroelectronics

NV

44,127

2,200,764

77,288

33.9

United

States

Sanofi

10,484

1,128,663

37,274

16.3

91

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Accor

SA

(15,590)

(580,126)

(23,840)

(10.4)

Aeroports

de

Paris

(10,158)

(1,459,623)

63,374

27.8

Air

Liquide

SA

(23,267)

(4,172,589)

(196,680)

(86.2)

Airbus

SE

(11,054)

(1,598,207)

(49,189)

(21.5)

Alstom

SA

(97,069)

(2,897,584)

23,737

10.4

Bollore

SE

(185,130)

(1,154,520)

(3,041)

(1.3)

Bureau

Veritas

SA

(15,160)

(415,915)

(17,073)

(7.5)

Cie

Generale

des

Etablissements

Michelin

SCA

(79,211)

(2,343,167)

35,525

15.6

EssilorLuxottica

SA

(10,110)

(1,906,446)

(91,490)

(40.1)

Forvia

(16,302)

(384,745)

7,319

3.2

L'Oreal

SA

(5,458)

(2,546,027)

(150,616)

(66.0)

Pernod

Ricard

SA

(4,865)

(1,075,042)

(19,144)

(8.4)

Remy

Cointreau

SA

(7,347)

(1,179,346)

(37,718)

(16.5)

Sartorius

Stedim

Biotech

(8,586)

(2,144,387)

344,031

150.7

SEB

SA

(4,509)

(466,297)

(43,158)

(18.9)

SOITEC

(7,309)

(1,236,503)

(96,793)

(42.4)

Veolia

Environnement

SA

(11,469)

(363,056)

(2,625)

(1.2)

Luxembourg

Eurofins

Scientific

SE

(6,878)

(437,082)

11,883

5.2

United

States

Schneider

Electric

SE

(11,575)

(2,102,908)

(32,241)

(14.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.81%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/13/2025

-

06/26/2028

$766,925,806

$(4,025,854)

$(161,894)

$(4,187,748)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Altria

Group,

Inc.

84,028

3,806,468

6,722

(0.2)

Amazon.com,

Inc.

37,863

4,935,821

262,391

(6.3)

American

International

Group,

Inc.

84,959

4,888,541

56,073

(1.3)

Archer-Daniels-Midland

Co.

39,640

2,995,198

118,828

(2.8)

Booking

Holdings,

Inc.

2,176

5,875,918

204,979

(4.9)

Citigroup,

Inc.

96,460

4,441,018

(217,604)

5.2

Coca-Cola

Co.

(The)

47,484

2,859,486

(13,464)

0.3

DraftKings,

Inc.

106,346

2,825,613

167,092

(4.0)

92

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

General

Motors

Co.

134,249

5,176,641

312,800

(7.5)

Healthpeak

Properties,

Inc.

178,678

3,591,428

(105,420)

2.5

KLA

Corp.

6,404

3,106,068

124,045

(3.0)

ManpowerGroup,

Inc.

37,113

2,946,772

108,741

(2.6)

McDonald's

Corp.

13,860

4,135,963

161,053

(3.8)

Meta

Platforms,

Inc.

9,960

2,858,321

219,419

(5.2)

MGM

Resorts

International

66,463

2,919,055

172,139

(4.1)

Microchip

Technology,

Inc.

36,193

3,242,531

344,557

(8.2)

Molson

Coors

Beverage

Co.

51,081

3,363,173

(32,054)

0.8

Republic

Services,

Inc.

20,556

3,148,563

202,888

(4.8)

Ross

Stores,

Inc.

24,637

2,762,547

215,920

(5.2)

Salesforce,

Inc.

14,648

3,094,536

(59,324)

1.4

Schneider

National,

Inc.

101,618

2,918,469

220,511

(5.3)

Texas

Roadhouse,

Inc.

32,176

3,612,721

135,783

(3.2)

TJX

Cos.,

Inc.

(The)

34,032

2,885,573

184,794

(4.4)

Tyson

Foods,

Inc.

57,955

2,958,023

38,830

(0.9)

United

Airlines

Holdings,

Inc.

92,839

5,094,076

413,134

(9.9)

Unum

Group

70,791

3,376,731

155,740

(3.7)

Western

Union

Co.

(The)

448,514

5,261,069

(31,396)

0.7

Short

Positions

Common

Stocks

United

States

Aflac,

Inc.

(52,836)

(3,687,953)

(43,854)

1.0

Aon

plc

(12,551)

(4,332,605)

(387,575)

9.3

Bentley

Systems,

Inc.

(52,447)

(2,844,201)

(188,285)

4.5

Choice

Hotels

International,

Inc.

(35,420)

(4,162,558)

(12,397)

0.3

Churchill

Downs,

Inc.

(27,883)

(3,880,477)

11,990

(0.3)

Constellation

Brands,

Inc.

(11,260)

(2,771,424)

(50,895)

1.2

Envestnet,

Inc.

(71,940)

(4,269,639)

(369,052)

8.8

Five

Below,

Inc.

(16,408)

(3,224,828)

(186,067)

4.4

Freshpet,

Inc.

(43,307)

(2,850,034)

11,311

(0.3)

Home

Depot,

Inc.

(The)

(16,385)

(5,089,836)

(217,757)

5.2

Hormel

Foods

Corp.

(71,518)

(2,876,454)

46,487

(1.1)

JetBlue

Airways

Corp.

(352,780)

(3,125,631)

(490,365)

11.7

JPMorgan

Chase

&

Co.

(28,700)

(4,174,128)

(127,141)

3.0

Kohl's

Corp.

(175,402)

(4,043,016)

(173,648)

4.1

McCormick

&

Co.,

Inc.

(Non-Voting)

(44,983)

(3,923,867)

154,742

(3.7)

MKS

Instruments,

Inc.

(29,502)

(3,189,166)

(214,775)

5.1

Morgan

Stanley

(46,836)

(3,999,794)

37,937

(0.9)

Philip

Morris

International,

Inc.

(45,089)

(4,401,588)

(226,798)

5.4

Progressive

Corp.

(The)

(22,629)

(2,995,401)

(33,265)

0.8

Southern

Co.

(The)

(58,014)

(4,075,484)

58,594

(1.4)

Tractor

Supply

Co.

(14,798)

(3,271,838)

(55,152)

1.3

United

Parcel

Service,

Inc.

(16,779)

(3,007,636)

(146,984)

3.5

Welltower,

Inc.

(57,636)

(4,662,176)

12,104

(0.3)

93

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.95%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/21/2025

-

06/19/2028

$81,614,726

$409,698

$(21,731)

$387,967

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

120,454

2,272,237

156,392

40.3

Alimentation

Couche-Tard,

Inc.

18,716

959,712

39,417

10.2

ARC

Resources

Ltd.

152,661

2,036,248

31,114

8.0

Atco

Ltd.

64,333

1,915,300

(23,796)

(6.1)

Bank

of

Montreal

10,638

960,732

6,264

1.6

Bank

of

Nova

Scotia

(The)

32,527

1,627,394

(5,647)

(1.5)

Bombardier,

Inc.

21,568

1,063,300

(3,907)

(1.0)

Canadian

Imperial

Bank

of

Commerce

25,452

1,086,669

(34,583)

(8.9)

Capital

Power

Corp.

39,168

1,244,743

(66,524)

(17.1)

Empire

Co.

Ltd.

65,953

1,873,419

157,321

40.6

Fairfax

Financial

Holdings

Ltd.

2,107

1,578,226

20,183

5.2

Finning

International,

Inc.

61,622

1,895,525

14,885

3.8

George

Weston

Ltd.

11,638

1,375,915

34,877

9.0

iA

Financial

Corp.,

Inc.

15,140

1,031,429

(3,771)

(1.0)

Imperial

Oil

Ltd.

37,727

1,930,278

73,475

18.9

Loblaw

Cos.

Ltd.

13,370

1,224,015

55,509

14.3

Magna

International,

Inc.

15,644

883,197

(354)

(0.1)

Manulife

Financial

Corp.

80,211

1,516,123

(3,027)

(0.8)

Nutrien

Ltd.

31,712

1,872,199

(23,699)

(6.1)

Open

Text

Corp.

39,928

1,660,715

12,659

3.3

Parkland

Corp.

30,830

767,986

(21,876)

(5.6)

Suncor

Energy,

Inc.

46,642

1,368,189

(29,223)

(7.5)

Toromont

Industries

Ltd.

11,860

974,315

12,086

3.1

West

Fraser

Timber

Co.

Ltd.

28,244

2,426,458

166,298

42.9

Whitecap

Resources,

Inc.

133,063

931,115

(8,036)

(2.1)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(24,346)

(1,052,865)

30,507

7.9

Canada

Algonquin

Power

&

Utilities

Corp.

(223,632)

(1,848,477)

27,010

7.0

BCE,

Inc.

(16,674)

(760,226)

(3,398)

(0.9)

Brookfield

Corp.

(37,154)

(1,250,854)

(28,046)

(7.2)

Cameco

Corp.

(58,377)

(1,828,316)

35,253

9.1

Canadian

Natural

Resources

Ltd.

(12,534)

(704,686)

(18,355)

(4.7)

94

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Canadian

Pacific

Kansas

City

Ltd.

(19,219)

(1,552,318)

(63,108)

(16.3)

Dollarama,

Inc.

(13,251)

(897,437)

(30,108)

(7.8)

Element

Fleet

Management

Corp.

(98,426)

(1,499,329)

14,117

3.6

Enbridge,

Inc.

(74,896)

(2,783,830)

20,353

5.2

Fortis,

Inc.

(28,490)

(1,227,774)

(13,119)

(3.4)

Franco-Nevada

Corp.

(7,045)

(1,004,089)

14,731

3.8

GFL

Environmental,

Inc.

(32,166)

(1,249,005)

(58,274)

(15.0)

Hydro

One

Ltd.

(25,476)

(727,886)

(24,231)

(6.2)

Intact

Financial

Corp.

(8,227)

(1,270,240)

(45,459)

(11.7)

Metro,

Inc.

(16,547)

(934,551)

(45,841)

(11.8)

Pan

American

Silver

Corp.

(66,234)

(964,949)

41,498

10.7

Rogers

Communications,

Inc.

(36,260)

(1,654,315)

(61,859)

(15.9)

Royal

Bank

of

Canada

(11,434)

(1,092,002)

(10,012)

(2.6)

SNC-Lavalin

Group,

Inc.

(27,246)

(714,700)

(29,411)

(7.6)

TC

Energy

Corp.

(33,554)

(1,356,091)

(2,280)

(0.6)

Thomson

Reuters

Corp.

(8,372)

(1,130,338)

(10,912)

(2.8)

TMX

Group

Ltd.

(43,175)

(971,539)

(18,251)

(4.7)

WSP

Global,

Inc.

(8,067)

(1,065,776)

(15,345)

(4.0)

United

States

Brookfield

Renewable

Corp.

(33,143)

(1,045,515)

37,277

9.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.90%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/21/2025

-

06/19/2028

$84,332,494

$960,555

$27,837

$988,392

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

France-KLM

671,064

1,264,343

(36,526)

(3.7)

Arkema

SA

5,850

551,634

24,738

2.5

AXA

SA

45,691

1,350,229

35,473

3.6

Dassault

Aviation

SA

3,533

707,840

43,202

4.4

Dassault

Systemes

SE

17,941

794,983

(7,976)

(0.8)

Engie

SA

31,420

523,235

37,409

3.8

Getlink

SE

40,363

686,892

(13,850)

(1.4)

Hermes

International

389

845,577

13,348

1.4

LVMH

Moet

Hennessy

Louis

Vuitton

SE

1,096

1,033,432

12,804

1.3

Safran

SA

9,831

1,540,613

7,641

0.8

Sodexo

SA

20,656

2,274,584

(12,081)

(1.2)

Teleperformance

3,382

567,345

(21,649)

(2.2)

95

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Thales

SA

10,124

1,516,868

34,871

3.5

Italy

A2A

SpA

652,919

1,194,508

21,434

2.2

Assicurazioni

Generali

SpA

79,605

1,618,845

(2,489)

(0.3)

Banco

BPM

SpA

451,369

2,096,534

109,652

11.1

Buzzi

SpA

68,328

1,711,955

28,401

2.9

Leonardo

SpA

180,591

2,050,589

(35,300)

(3.6)

Pirelli

&

C

SpA

392,285

1,939,322

(16,918)

(1.7)

Poste

Italiane

SpA

112,276

1,216,278

34,247

3.5

Prysmian

SpA

68,632

2,870,443

120,437

12.2

Snam

SpA

122,077

638,017

1,005

0.1

UniCredit

SpA

171,122

3,979,198

301,397

30.5

Unipol

Gruppo

SpA

636,159

3,399,637

7,195

0.7

United

States

Sanofi

6,247

672,526

28,413

2.9

Stellantis

NV

262,503

4,615,012

106,395

10.8

Tenaris

SA

119,167

1,782,625

114,926

11.6

Short

Positions

Common

Stocks

France

Airbus

SE

(14,383)

(2,079,519)

(15,976)

(1.6)

Alstom

SA

(41,752)

(1,246,329)

(60,408)

(6.1)

Carrefour

SA

(34,814)

(659,751)

(46,038)

(4.7)

Forvia

(34,351)

(810,721)

21,044

2.1

Sartorius

Stedim

Biotech

(2,843)

(710,050)

37,910

3.8

SEB

SA

(5,684)

(587,809)

(24,943)

(2.5)

SOITEC

(3,166)

(535,609)

(13,944)

(1.4)

Ubisoft

Entertainment

SA

(34,120)

(964,416)

27,810

2.8

Valeo

(41,267)

(886,798)

55,692

5.6

Italy

Amplifon

SpA

(15,100)

(553,865)

15,255

1.5

Banca

Generali

SpA

(23,043)

(792,767)

(9,012)

(0.9)

Brunello

Cucinelli

SpA

(5,744)

(505,731)

15,128

1.5

Davide

Campari-Milano

NV

(158,502)

(2,196,713)

(155)

(0.0)

DiaSorin

SpA

(8,639)

(899,915)

32,969

3.3

Ferrari

NV

(12,215)

(3,993,668)

(245,551)

(24.8)

FinecoBank

Banca

Fineco

SpA

(221,154)

(2,976,869)

80,697

8.2

Infrastrutture

Wireless

Italiane

SpA

(194,896)

(2,572,677)

(57,848)

(5.9)

Interpump

Group

SpA

(12,414)

(690,429)

5,031

0.5

Mediobanca

Banca

di

Credito

Finanziario

SpA

(138,854)

(1,662,429)

34,567

3.5

Moncler

SpA

(19,962)

(1,381,126)

69,591

7.0

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(28,366)

(1,355,123)

19,190

1.9

Telecom

Italia

SpA

(4,775,964)

(1,346,493)

22,056

2.2

Luxembourg

Eurofins

Scientific

SE

(41,444)

(2,633,677)

79,744

8.1

96

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-60

months

maturity

ranging

from

01/21/2025

-

05/10/2028

$13,149,460

$29,892

$4,843

$34,735

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

215,300

606,546

(35,024)

(100.8)

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,036,100

2,265,323

278,002

800.4

Singapore

City

Developments

Ltd.

274,400

1,368,703

(53,616)

(154.4)

Genting

Singapore

Ltd.

1,029,400

717,775

(16,750)

(48.2)

Jardine

Cycle

&

Carriage

Ltd.

12,600

324,904

7,295

21.0

Oversea-Chinese

Banking

Corp.

Ltd.

88,600

805,993

(18,818)

(54.2)

Seatrium

Ltd.

9,684,800

898,267

(32,688)

(94.1)

Singapore

Airlines

Ltd.

344,700

1,826,231

(128,701)

(370.5)

Singapore

Telecommunications

Ltd.

231,300

428,407

(4,297)

(12.4)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(45,900)

(1,071,893)

(16,030)

(46.1)

Keppel

Corp.

Ltd.

(115,400)

(574,317)

19,578

56.4

Singapore

Technologies

Engineering

Ltd.

(666,200)

(1,817,839)

(124)

(0.4)

Venture

Corp.

Ltd.

(40,600)

(443,262)

31,065

89.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.81%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-63

months

maturity

ranging

from

01/22/2025

-

06/20/2028

$473,595,806

$1,448,720

$6,841,414

$8,290,134

97

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

27,393

2,741,765

(60,539)

(0.7)

AGCO

Corp.

25,666

3,373,026

(23,356)

(0.3)

Allison

Transmission

Holdings,

Inc.

94,708

5,347,214

304,013

3.7

Arrow

Electronics,

Inc.

19,385

2,776,514

99,251

1.2

Builders

FirstSource,

Inc.

26,024

3,539,264

240,462

2.9

Cardinal

Health,

Inc.

41,905

3,962,956

139,544

1.7

Centene

Corp.

37,819

2,550,892

57,863

0.7

Cheniere

Energy,

Inc.

20,559

3,132,369

70,517

0.9

Cigna

Group

(The)

18,989

5,328,313

200,334

2.4

Cisco

Systems,

Inc.

78,851

4,079,751

14,982

0.2

CVS

Health

Corp.

73,924

5,110,366

34,005

0.4

EMCOR

Group,

Inc.

13,089

2,418,585

131,414

1.6

F5,

Inc.

14,893

2,178,250

(42,892)

(0.5)

Gates

Industrial

Corp.

plc

189,826

2,558,854

93,015

1.1

Hewlett

Packard

Enterprise

Co.

195,494

3,284,299

(41,054)

(0.5)

Huntington

Ingalls

Industries,

Inc.

17,193

3,913,127

156,972

1.9

McKesson

Corp.

8,317

3,553,937

141,223

1.7

nVent

Electric

plc

43,769

2,261,544

172,888

2.1

Owens

Corning

22,983

2,999,282

131,463

1.6

PACCAR,

Inc.

41,277

3,452,821

242,709

2.9

TD

SYNNEX

Corp.

51,829

4,871,926

(128,536)

(1.6)

Terex

Corp.

46,714

2,794,899

109,778

1.3

Univar

Solutions,

Inc.

76,229

2,732,047

8,385

0.1

Valero

Energy

Corp.

29,071

3,410,028

184,310

2.2

Vertiv

Holdings

Co.

97,024

2,403,284

138,744

1.7

Vishay

Intertechnology,

Inc.

86,607

2,546,246

119,518

1.4

Walmart,

Inc.

49,982

7,856,171

150,946

1.8

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(20,908)

(2,816,935)

64,606

0.8

Advanced

Drainage

Systems,

Inc.

(24,200)

(2,753,476)

(33,880)

(0.4)

agilon

health,

Inc.

(146,675)

(2,543,344)

(16,134)

(0.2)

Azenta,

Inc.

(49,131)

(2,293,435)

(18,178)

(0.2)

Celanese

Corp.

(25,372)

(2,938,078)

(177,097)

(2.1)

Chart

Industries,

Inc.

(24,549)

(3,922,685)

(220,205)

(2.7)

Coherent

Corp.

(49,681)

(2,532,737)

215,119

2.6

Eli

Lilly

&

Co.

(8,278)

(3,882,216)

(140,974)

(1.7)

General

Electric

Co.

(25,698)

(2,822,925)

(149,819)

(1.8)

Hanesbrands,

Inc.

(767,142)

(3,482,825)

119,271

1.4

HEICO

Corp.

(13,460)

(2,381,612)

(122,890)

(1.5)

Hess

Corp.

(21,988)

(2,989,269)

(78,937)

(1.0)

ICU

Medical,

Inc.

(12,671)

(2,257,845)

78,560

0.9

Kinder

Morgan,

Inc.

(169,261)

(2,914,674)

(94,786)

(1.1)

Neogen

Corp.

(104,143)

(2,265,110)

(19,787)

(0.2)

Novanta,

Inc.

(21,373)

(3,934,769)

(270,582)

(3.3)

Plug

Power,

Inc.

(222,322)

(2,309,926)

(91,152)

(1.1)

Quanta

Services,

Inc.

(19,013)

(3,735,104)

(203,439)

(2.5)

R1

RCM,

Inc.

(134,576)

(2,482,927)

(114,390)

(1.4)

Seagate

Technology

Holdings

plc

(55,069)

(3,407,119)

39,099

0.5

98

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Tapestry,

Inc.

(59,851)

(2,561,623)

40,100

0.5

Trex

Co.,

Inc.

(52,700)

(3,455,012)

(271,932)

(3.3)

Zoetis,

Inc.

(12,707)

(2,188,272)

(41,933)

(0.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-76

months

maturity

05/14/2024

$58,795,085

$38,283

$18,061

$56,344

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

446

3,214

(269)

(0.5)

Switzerland

ABB

Ltd.

(Registered)

88,905

3,497,598

(2,778)

(4.9)

Adecco

Group

AG

(Registered)

16,809

550,518

21,111

37.5

Alcon,

Inc.

4,519

374,907

10,075

17.9

Barry

Callebaut

AG

(Registered)

521

1,006,614

1,926

3.4

Clariant

AG

(Registered)

63,391

917,050

15,460

27.4

DKSH

Holding

AG

19,699

1,466,254

(29,246)

(51.9)

Galenica

AG

12,000

970,142

15,559

27.6

Georg

Fischer

AG

(Registered)

24,336

1,830,325

69,802

123.9

Helvetia

Holding

AG

(Registered)

6,076

823,507

(22,334)

(39.6)

Julius

Baer

Group

Ltd.

1,671

105,453

46

0.1

Novartis

AG

(Registered)

45,002

4,537,076

(30,749)

(54.6)

Sonova

Holding

AG

(Registered)

4,855

1,295,496

15,908

28.2

Stadler

Rail

AG

6,304

246,292

4,711

8.4

Swatch

Group

AG

(The)

8,460

2,473,639

31,245

55.5

UBS

Group

AG

(Registered)

37,988

769,966

(15,429)

(27.4)

United

States

Holcim

AG

35,171

2,370,780

48,445

86.0

Roche

Holding

AG

10,946

3,343,675

(33,497)

(59.5)

Short

Positions

Common

Stocks

Switzerland

Bachem

Holding

AG

(19,358)

(1,690,257)

137,296

243.7

Baloise

Holding

AG

(Registered)

(991)

(145,768)

7,468

13.3

Belimo

Holding

AG

(Registered)

(1,367)

(683,244)

(24,982)

(44.3)

BKW

AG

(2,484)

(439,171)

(23,159)

(41.1)

Cie

Financiere

Richemont

SA

(Registered)

(1,128)

(191,611)

(5,092)

(9.0)

99

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Dufry

AG

(Registered)

(3,690)

(168,308)

(7,524)

(13.4)

EMS-Chemie

Holding

AG

(Registered)

(1,767)

(1,339,051)

24,128

42.8

Flughafen

Zurich

AG

(Registered)

(909)

(189,075)

(8,910)

(15.8)

Geberit

AG

(Registered)

(3,076)

(1,612,082)

11,062

19.6

Givaudan

SA

(Registered)

(519)

(1,721,493)

(42,810)

(76.0)

Kuehne

+

Nagel

International

AG

(Registered)

(1,284)

(380,355)

(9,666)

(17.2)

Logitech

International

SA

(Registered)

(25,356)

(1,513,377)

(78,222)

(138.8)

Lonza

Group

AG

(Registered)

(1,865)

(1,114,734)

29,207

51.8

Partners

Group

Holding

AG

(2,287)

(2,156,276)

76,938

136.5

Schindler

Holding

AG

(1,035)

(243,025)

(9,672)

(17.2)

SGS

SA

(Registered)

(3,328)

(314,832)

1,440

2.6

SIG

Group

AG

(163,178)

(4,508,073)

57,010

101.2

Sika

AG

(Registered)

(8,647)

(2,476,506)

(48,719)

(86.5)

Straumann

Holding

AG

(Registered)

(18,540)

(3,014,716)

(165,515)

(293.8)

Swiss

Life

Holding

AG

(Registered)

(2,375)

(1,391,007)

33,914

60.2

Swisscom

AG

(Registered)

(550)

(343,277)

(146)

(0.3)

Tecan

Group

AG

(Registered)

(1,958)

(752,408)

(5,565)

(9.9)

VAT

Group

AG

(7,957)

(3,295,901)

(21,712)

(38.5)

Zurich

Insurance

Group

AG

(2,726)

(1,296,727)

7,720

13.7

United

States

Nestle

SA

(Registered)

(10,236)

(1,231,305)

3,808

6.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.88%

to

0.30%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-25

months

maturity

02/21/2024

$26,172,173

$656,023

$(2,030)

$653,993

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

977

1,717,808

3,924

0.6

Carlsberg

A/S

10,239

1,639,583

33,245

5.1

Genmab

A/S

4,083

1,547,284

(33,618)

(5.1)

ISS

A/S

142,438

3,013,212

108,508

16.6

Novo

Nordisk

A/S

12,569

2,030,394

35,859

5.5

Pandora

A/S

30,865

2,758,765

146,989

22.5

ROCKWOOL

A/S

2,338

604,623

52,974

8.1

100

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(39,339)

(644,899)

(27,444)

(4.2)

Coloplast

A/S

(5,529)

(691,878)

8,697

1.3

Demant

A/S

(542)

(22,941)

(1,010)

(0.2)

DSV

A/S

(5,117)

(1,074,783)

(59,407)

(9.1)

GN

Store

Nord

A/S

(26,252)

(656,525)

(6,909)

(1.1)

Novozymes

A/S

(64,955)

(3,030,742)

161,082

24.6

Orsted

A/S

(20,837)

(1,975,396)

40,664

6.2

Royal

Unibrew

A/S

(10,372)

(928,432)

30,106

4.6

Tryg

A/S

(70,671)

(1,530,451)

65,045

9.9

Vestas

Wind

Systems

A/S

(86,675)

(2,304,457)

97,318

14.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.79%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-73

months

maturity

12/18/2023

$161,711,655

$(829,354)

$140,549

$(688,805)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Proximus

SADP

363,204

2,708,506

(103,839)

15.1

Finland

Nokia

OYJ

501,543

2,101,394

(37,117)

5.4

Germany

Bayerische

Motoren

Werke

AG

21,873

2,690,534

40,729

(5.9)

Deutsche

Bank

AG

(Registered)

243,347

2,558,251

60,845

(8.8)

Deutsche

Lufthansa

AG

(Registered)

271,172

2,780,476

18,518

(2.7)

GEA

Group

AG

47,233

1,977,460

(21,286)

3.1

Infineon

Technologies

AG

32,478

1,337,517

(12,392)

1.8

Siemens

AG

(Registered)

12,662

2,110,766

(145,513)

21.1

TeamViewer

SE

105,182

1,690,630

38,450

(5.6)

thyssenkrupp

AG

384,443

3,011,128

45,233

(6.6)

Netherlands

ASML

Holding

NV

3,058

2,218,055

11,703

(1.7)

ASR

Nederland

NV

42,036

1,895,971

110,264

(16.0)

Koninklijke

Ahold

Delhaize

NV

87,721

2,990,674

138,662

(20.1)

OCI

NV

52,654

1,264,697

23,072

(3.3)

Wolters

Kluwer

NV

10,911

1,385,408

15,613

(2.3)

101

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Acerinox

SA

187,334

1,991,024

(73,607)

10.7

ACS

Actividades

de

Construccion

y

Servicios

SA

42,325

1,488,310

50,569

(7.3)

Banco

de

Sabadell

SA

2,602,325

3,000,350

92,541

(13.4)

Banco

Santander

SA

486,602

1,801,468

95,960

(13.9)

Industria

de

Diseno

Textil

SA

44,258

1,716,671

79,493

(11.5)

Mapfre

SA

985,476

1,959,152

6,313

(0.9)

Redeia

Corp.

SA

117,538

1,976,640

(105,620)

15.3

Repsol

SA

379,349

5,517,250

(118,620)

17.2

United

States

Signify

NV

66,374

1,860,726

(53,528)

7.8

Preferred

Stocks

Germany

Volkswagen

AG

(Preference)

10,210

1,372,966

(52,878)

7.7

Short

Positions

Common

Stocks

Belgium

D'ieteren

Group

(8,068)

(1,427,916)

15,027

(2.2)

Finland

Neste

OYJ

(36,082)

(1,389,275)

183,270

(26.6)

Germany

adidas

AG

(31,156)

(6,048,254)

(195,256)

28.3

Covestro

AG

(53,008)

(2,758,149)

(426,525)

61.9

Deutsche

Telekom

AG

(Registered)

(80,466)

(1,755,649)

(60,144)

8.7

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(30,192)

(1,611,602)

2,398

(0.3)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(37,482)

(1,791,307)

(35,046)

5.1

Nemetschek

SE

(20,404)

(1,523,297)

76,655

(11.1)

Rheinmetall

AG

(6,135)

(1,680,697)

60,546

(8.8)

Siemens

Healthineers

AG

(43,345)

(2,456,593)

20,880

(3.0)

Symrise

AG

(19,111)

(2,003,836)

(51,492)

7.5

Netherlands

Adyen

NV

(2,590)

(4,485,019)

(51,830)

7.5

Akzo

Nobel

NV

(17,038)

(1,392,911)

(69,542)

10.1

Argenx

SE

(3,581)

(1,396,575)

10,548

(1.5)

ASM

International

NV

(6,194)

(2,629,998)

51,254

(7.4)

Ferrovial

SE

(60,224)

(1,903,805)

9,857

(1.4)

Koninklijke

Philips

NV

(118,453)

(2,566,599)

(176,916)

25.7

Universal

Music

Group

NV

(69,602)

(1,546,193)

(40,870)

5.9

South

Korea

Delivery

Hero

SE

(66,993)

(2,955,735)

(301,008)

43.7

Spain

Acciona

SA

(11,496)

(1,951,907)

76,529

(11.1)

Banco

Bilbao

Vizcaya

Argentaria

SA

(197,957)

(1,520,845)

(52,404)

7.6

CaixaBank

SA

(424,612)

(1,758,877)

(22,291)

3.2

Cellnex

Telecom

SA

(146,394)

(5,914,870)

(114,524)

16.6

Grifols

SA

(162,374)

(2,083,068)

(10,033)

1.5

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(9,259)

(3,207,861)

(150,566)

21.9

102

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-25

months

maturity

02/21/2024

$11,915,870

$(193,052)

$58,243

$(134,809)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

26,339

930,607

16,045

(11.9)

Norway

Equinor

ASA

101,817

2,964,796

(60,706)

45.0

Leroy

Seafood

Group

ASA

196,017

743,834

(52,389)

38.9

Mowi

ASA

31,738

503,556

(25,134)

18.6

Norsk

Hydro

ASA

126,385

753,414

(56,450)

41.9

Orkla

ASA

10,886

78,275

(549)

0.4

Telenor

ASA

7,867

79,768

(2,321)

1.7

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(13,283)

(794,610)

62,369

(46.3)

Norway

Gjensidige

Forsikring

ASA

(40,454)

(648,067)

16,393

(12.2)

Kongsberg

Gruppen

ASA

(10,301)

(468,223)

(6,417)

4.8

Salmar

ASA

(38,861)

(1,566,019)

55,603

(41.2)

Schibsted

ASA

(38,665)

(679,007)

1,816

(1.3)

TOMRA

Systems

ASA

(49,522)

(796,685)

9,565

(7.1)

United

Kingdom

Subsea

7

SA

(72,982)

(909,009)

(150,877)

111.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-4.00%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

14-25

months

maturity

02/21/2024

$42,905,572

$567,346

$(5,338)

$562,008

103

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

58,349

635,577

13,316

2.4

Guatemala

Millicom

International

Cellular

SA

83,170

1,272,645

(115,404)

(20.5)

Sweden

Assa

Abloy

AB

79,549

1,912,117

78,529

14.0

Axfood

AB

10,232

216,547

(5,922)

(1.1)

Billerud

AB

163,791

1,246,543

(68,299)

(12.2)

Boliden

AB

15,039

435,803

(15,980)

(2.8)

Elekta

AB

157,519

1,218,611

(4,988)

(0.9)

Essity

AB

18,847

501,927

580

0.1

Evolution

AB

5,047

639,575

(13,870)

(2.5)

Getinge

AB

27,437

481,345

(57,456)

(10.2)

H

&

M

Hennes

&

Mauritz

AB

169,775

2,919,673

525,111

93.4

Saab

AB

23,380

1,265,700

(31,051)

(5.5)

Sandvik

AB

30,317

591,915

(632)

(0.1)

Skanska

AB

93,483

1,311,611

75,612

13.5

SKF

AB

11,555

201,352

(7,885)

(1.4)

SSAB

AB

130,572

905,404

(20,738)

(3.7)

Svenska

Handelsbanken

AB

151,412

1,267,659

(14,352)

(2.6)

Swedbank

AB

5,707

96,312

(733)

(0.1)

Swedish

Orphan

Biovitrum

AB

9,887

193,244

(6,598)

(1.2)

Telefonaktiebolaget

LM

Ericsson

467,263

2,538,779

42,458

7.6

Trelleborg

AB

15,045

365,132

(35,776)

(6.4)

Volvo

AB

45,829

948,432

29,545

5.3

Volvo

Car

AB

147,790

588,016

(22,583)

(4.0)

United

States

Sinch

AB

187,012

422,295

(31,045)

(5.5)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(22,544)

(822,352)

(20,535)

(3.7)

Atlas

Copco

AB

(89,792)

(1,296,317)

(57)

(0.0)

Beijer

Ref

AB

(116,281)

(1,485,315)

155,612

27.7

Electrolux

AB

(68,825)

(940,529)

(15,554)

(2.8)

Embracer

Group

AB

(11,175)

(27,946)

102

0.0

Epiroc

AB

(82,681)

(1,566,132)

(40,205)

(7.2)

EQT

AB

(183,545)

(3,533,561)

130,413

23.2

Hexagon

AB

(120,408)

(1,481,057)

(707)

(0.1)

Hexpol

AB

(26,324)

(279,507)

12,891

2.3

Holmen

AB

(30,805)

(1,107,155)

29,037

5.2

Husqvarna

AB

(130,524)

(1,184,318)

(74,083)

(13.2)

Indutrade

AB

(65,362)

(1,475,254)

57,385

10.2

Lifco

AB

(37,760)

(822,329)

(26,191)

(4.7)

Nibe

Industrier

AB

(122,125)

(1,161,208)

15,842

2.8

Securitas

AB

(137,460)

(1,129,062)

(28,908)

(5.1)

Skandinaviska

Enskilda

Banken

AB

(14,790)

(163,581)

495

0.1

Svenska

Cellulosa

AB

SCA

(99,976)

(1,276,194)

34,066

6.1

Tele2

AB

(35,179)

(290,941)

9,987

1.8

Telia

Co.

AB

(312,965)

(686,600)

15,917

2.8

104

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(822,848)

$

–

$

(822,848)

BARC

Cash

–

5,883,667

5,883,667

BNPP

Cash

35,668,881

–

35,668,881

CITI

Cash

(127,815)

–

(127,815)

Investment

Companies

1,421,232

–

1,421,232

GSIN

Cash

3,834,792

–

3,834,792

U.S.

Treasury

Bills

41,882,254

–

41,882,254

JPMC

Cash

625,345

–

625,345

U.S.

Treasury

Bills

31,942,716

–

31,942,716

MSIP

Cash

(1,269,735)

–

(1,269,735)

U.S.

Treasury

Bills

18,705,678

–

18,705,678

105

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

12.0%

Automobile

Components

-

0.8%

Aisin

Corp.

(Japan)

3,700

114,259

Bridgestone

Corp.

(Japan)

5,600

230,057

Denso

Corp.

(Japan)

3,600

242,828

Koito

Manufacturing

Co.

Ltd.

(Japan)

5,300

96,180

Stanley

Electric

Co.

Ltd.

(Japan)

5,300

107,411

Sumitomo

Electric

Industries

Ltd.

(Japan)

12,400

151,927

942,662

Automobiles

-

2.0%

Honda

Motor

Co.

Ltd.

(Japan)

12,200

369,585

Isuzu

Motors

Ltd.

(Japan)

12,500

151,640

Mazda

Motor

Corp.

(Japan)

17,800

172,023

Nissan

Motor

Co.

Ltd.

(Japan)

36,000

147,749

Subaru

Corp.

(Japan)

9,600

180,804

Suzuki

Motor

Corp.

(Japan)

4,600

166,809

Toyota

Motor

Corp.

(Japan)

56,100

901,644

Yamaha

Motor

Co.

Ltd.

(Japan)

6,400

183,989

2,274,243

Banks

-

5.8%

ABN

AMRO

Bank

NV,

CVA

(Netherlands)

(a)

10,059

156,350

Banco

Bilbao

Vizcaya

Argentaria

SA

(Spain)

44,089

338,723

Banco

Santander

SA

(Spain)

106,908

395,788

Barclays

plc

(United

Kingdom)

139,041

271,629

BNP

Paribas

SA

(France)

6,806

429,499

CaixaBank

SA

(Spain)

56,069

232,255

Commerzbank

AG

(Germany)

16,378

181,564

Credit

Agricole

SA

(France)

17,694

210,096

DNB

Bank

ASA

(Norway)

7,870

147,175

FinecoBank

Banca

Fineco

SpA

(Italy)

11,403

153,491

HSBC

Holdings

plc

(United

Kingdom)

107,526

851,374

ING

Groep

NV

(Netherlands)

26,262

354,054

Intesa

Sanpaolo

SpA

(Italy)

119,981

314,560

KBC

Group

NV

(Belgium)

3,078

214,847

Lloyds

Banking

Group

plc

(United

Kingdom)

529,751

293,667

Mediobanca

Banca

di

Credito

Finanziario

SpA

(Italy)

16,044

192,087

NatWest

Group

plc

(United

Kingdom)

63,998

195,609

Nordea

Bank

Abp

(Finland)

27,051

294,658

Skandinaviska

Enskilda

Banken

AB,

Class

A

(Sweden)

21,080

233,150

Societe

Generale

SA

(France)

8,889

231,170

Standard

Chartered

plc

(United

Kingdom)

28,075

244,255

Svenska

Handelsbanken

AB,

Class

A

(Sweden)

22,778

190,703

Swedbank

AB,

Class

A

(Sweden)

12,044

203,256

INVESTMENTS

SHARES

VALUE

($)

Banks

-

5.8%

(continued)

UniCredit

SpA

(Italy)

14,605

339,618

6,669,578

Oil,

Gas

&

Consumable

Fuels

-

3.4%

Antero

Resources

Corp.

(1)*

2,321

53,453

APA

Corp.

(1)

2,126

72,645

Cheniere

Energy,

Inc.

(1)

775

118,079

Chesapeake

Energy

Corp.

(1)

838

70,124

Chevron

Corp.

(1)

2,865

450,808

ConocoPhillips

(1)

2,197

227,631

Coterra

Energy,

Inc.

(1)

3,055

77,291

Devon

Energy

Corp.

(1)

1,856

89,719

Diamondback

Energy,

Inc.

(1)

741

97,338

DT

Midstream,

Inc.

(1)

1,365

67,663

EOG

Resources,

Inc.

(1)

1,245

142,478

EQT

Corp.

(1)

2,229

91,679

Exxon

Mobil

Corp.

(1)

5,932

636,207

Hess

Corp.

(1)

913

124,122

HF

Sinclair

Corp.

(1)

1,475

65,800

Kinder

Morgan,

Inc.

(1)

6,263

107,849

Marathon

Oil

Corp.

(1)

3,613

83,171

Marathon

Petroleum

Corp.

(1)

1,436

167,438

New

Fortress

Energy,

Inc.

(1)

1,553

41,589

Occidental

Petroleum

Corp.

(1)

1,991

117,071

ONEOK,

Inc.

(1)

1,720

106,158

Ovintiv,

Inc.

(1)

1,770

67,384

PDC

Energy,

Inc.

(1)

1,121

79,748

Phillips

66

(1)

1,365

130,194

Pioneer

Natural

Resources

Co.

(1)

542

112,292

Range

Resources

Corp.

(1)

2,702

79,439

Southwestern

Energy

Co.

(1)*

11,217

67,414

Targa

Resources

Corp.

(1)

1,393

106,007

Valero

Energy

Corp.

(1)

1,075

126,097

Williams

Cos.,

Inc.

(The)

(1)

3,452

112,639

3,889,527

TOTAL

COMMON

STOCKS

(Cost

$13,605,970)

13,776,010

SHORT-TERM

INVESTMENTS

-

67.2%

INVESTMENT

COMPANIES

-

44.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(b)(c)

2,601,023

2,601,023

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(b)

48,733,060

48,713,567

TOTAL

INVESTMENT

COMPANIES

(Cost

$51,303,318)

51,314,590

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

22.4%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(d)

$

3,710,000

3,708,470

4.82%,

7/13/2023

(d)

4,001,000

3,995,436

4.80%,

7/20/2023

(d)

269,000

268,364

106

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

22.4%

(continued)

5.04%,

8/24/2023

(d)

$

459,000

455,566

5.07%,

8/31/2023

(d)

325,000

322,251

5.10%,

9/7/2023

(d)(e)

1,657,000

1,641,401

4.81%,

9/14/2023

(d)(e)

1,464,000

1,448,679

4.73%,

9/21/2023

(d)

1,738,000

1,718,065

4.76%,

9/28/2023

(d)(e)

6,838,000

6,752,730

4.80%,

10/5/2023

(d)

1,468,000

1,448,168

4.99%,

10/19/2023

(d)

969,000

953,880

4.96%,

10/26/2023

(d)

234,000

230,113

5.02%,

11/2/2023

(d)

770,000

756,423

5.01%,

11/9/2023

(d)

807,000

792,002

5.44%,

11/30/2023

(d)

476,000

465,689

5.36%,

12/28/2023

(d)

748,000

728,634

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$25,696,819)

25,685,871

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$77,000,137)

77,000,461

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

79.2%

(Cost

$90,606,107)

90,776,471

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

20.8%

(f)

23,863,623

NET

ASSETS

-

100.0%

114,640,094

SECTOR

VALUE

%

OF

NET

ASSETS

Consumer

Discretionary

$

3,216,905

2.8

%

Energy

3,889,527

3.4

Financials

6,669,578

5.8

Investment

Companies

51,314,590

44.8

U.S.

Treasury

Obligations

25,685,871

22.4

Total

Investments

In

Securities

At

Value

90,776,471

79.2

Other

Assets

in

Excess

of

Liabilities

(f

)

23,863,623

20.8

Net

Assets

$

114,640,094

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$156,350,

which

represents

0.14%

of

net

assets

of

the

Fund.

(b)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

107

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

June

30,

2023:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Main

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

0.74

%

EUR

28,453,000

$

(154,116)

$

(221,452)

$

(375,568)

Markit

CDX

North

America

Investment

Grade

Index

Series

40.V1

1.00

Quarterly

6/20/2028

0.66

USD

18,836,000

(177,348)

(110,208)

(287,556)

$

(331,464)

$

(331,660)

$

(663,124)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

June

30,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.00

%

EUR

13,387,000

$

238,028

$

362,805

$

600,833

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.29

USD

5,109,000

48,156

102,345

150,501

286,184

465,150

751,334

Markit

CDX

North

America

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.13

%

USD

700,000

$

(38,382)

$

5,173

$

(33,209)

(38,382)

5,173

(33,209)

$

247,802

$

470,323

$

718,125

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

June

30,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

1,200,000

$

1,509

$

(105)

$

1,404

Pay

1D

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

2,800,000

(799)

25,781

24,982

Pay

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

23,700,000

41,206

(26,093)

15,113

Pay

1D

SARON

Annual

2.00%

Annual

12/20/2028

CHF

7,500,000

70,247

6,630

76,877

Pay

1D

SOFR

Annual

3.48%

Annual

12/20/2033

USD

13,100,000

141,478

(96,755)

44,723

Pay

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

2,240,300,000

115,092

75,648

190,740

Pay

1D

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

1,711,600,000

113,609

12,819

126,428

Pay

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

100,000

(22)

42

20

Pay

1M

TIIE

Monthly

9.00%

Monthly

12/17/2025

MXN

25,000,000

6,273

(248)

6,025

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

3,100,000

43,219

(39,429)

3,790

Pay

3M

BBR

Qtrly

4.50%

Semi

12/14/2033

NZD

100,000

522

(202)

320

Pay

6M

BBR

Semi

4.50%

Semi

9/08/2033

AUD

4,800,000

(10,670)

36,294

25,624

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

21,300,000

440,143

66,366

506,509

Pay

6M

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

22,600,000

376,659

(21,032)

355,627

Pay

6M

WIBOR

Semi

5.50%

Annual

12/17/2025

PLN

9,800,000

14,634

3,158

17,792

Receive

1D

CORRA

Semi

3.00%

Semi

9/18/2028

CAD

6,800,000

(19,122)

167,581

148,459

Receive

1D

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

14,800,000

22,245

1,113

23,358

Receive

1D

CORRA

Semi

3.00%

Semi

9/19/2033

CAD

3,200,000

107,255

(26,722)

80,533

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

27,400,000

(249,216)

306,487

57,271

Receive

1D

SOFR

Annual

4.19%

Annual

12/22/2025

USD

75,100,000

(385,866)

625,490

239,624

108

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

2,700,000

$

(67,195)

$

67,712

$

517

Receive

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

200,000

9,972

6,460

16,432

Receive

1D

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

34,900,000

950,631

1,066,458

2,017,089

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

19,500,000

156,478

1,903,161

2,059,639

Receive

1D

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

900,000

53,542

2,034

55,576

Receive

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

13,280,000,000

264,205

(95,210)

168,995

Receive

1D

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

7,247,800,000

93,782

30,149

123,931

Receive

1D

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

296,900,000

29,883

(5,045)

24,838

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

19,800,000

40,077

154,316

194,393

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

17,000,000

(72,490)

143,165

70,675

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

50,100,000

(141,023)

747,612

606,589

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

1,100,000

(10,264)

16,627

6,363

Receive

3M

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

3,500,000

(3,691)

10,813

7,122

Receive

3M

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

8,300,000

28,725

10,504

39,229

Receive

3M

BBR

Qtrly

4.50%

Semi

9/13/2028

NZD

100,000

(581)

916

335

Receive

3M

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

900,000

(1,878)

2,702

824

Receive

3M

HIBOR

Qtrly

4.00%

Qtrly

12/17/2025

HKD

9,100,000

5,298

1,960

7,258

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

52,600,000

9,650

13,737

23,387

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

497,900,000

(248,818)

681,324

432,506

Receive

3M

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

92,900,000

(18,429)

79,035

60,606

Receive

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

1,900,000

958

1,672

2,630

Receive

3M

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

30,000,000

17,435

13,879

31,314

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

118,900,000

(1,498,380)

1,660,615

162,235

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

10,600,000

119,080

113,217

232,297

Receive

6M

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

109,100,000

(604,699)

921,226

316,527

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2028

EUR

100,000

3,988

(487)

3,501

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

100,000

4,331

231

4,562

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

27,000,000

(43,326)

78,464

35,138

Receive

6M

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

36,600,000

20,576

19,957

40,533

Receive

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

18,000,000

35,523

78,289

113,812

Receive

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

9,500,000

(31,250)

55,205

23,955

Receive

6M

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

7,000,000

6,450

8,842

15,292

(63,044)

8,906,363

8,843,319

Pay

1D

CORRA

Semi

3.50%

Semi

9/18/2025

CAD

24,600,000

(279,790)

(103,648)

(383,438)

Pay

1D

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

19,800,000

(76,574)

(38,190)

(114,764)

Pay

1D

CORRA

Semi

3.50%

Semi

12/18/2025

CAD

5,500,000

(30,997)

(39,196)

(70,193)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

41,500,000

(355,461)

(74,375)

(429,836)

Pay

1D

SARON

Annual

1.50%

Annual

12/22/2025

CHF

41,100,000

(299,565)

(119,317)

(418,882)

Pay

1D

SARON

Annual

1.50%

Annual

12/20/2028

CHF

100,000

(1,221)

(411)

(1,632)

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

21,100,000

417,527

(473,346)

(55,819)

Pay

1D

SOFR

Annual

3.63%

Annual

12/20/2028

USD

5,100,000

55,379

(67,687)

(12,308)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

77,800,000

(1,059,910)

(2,483,373)

(3,543,283)

Pay

1D

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

94,400,000

(1,626,948)

(1,825,797)

(3,452,745)

Pay

1M

TIIE

Monthly

9.00%

Monthly

9/17/2025

MXN

50,000,000

(5,196)

(10,400)

(15,596)

Pay

1M

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

46,500,000

(6,104)

(4,943)

(11,047)

Pay

3M

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

8,200,000

(22,046)

(68,027)

(90,073)

Pay

3M

BBR

Qtrly

4.00%

Semi

9/14/2033

NZD

800,000

(7,470)

(11,034)

(18,504)

Pay

3M

CD_KSDA

Qtrly

3.00%

Qtrly

9/17/2025

KRW

7,400,000,000

(24,896)

(48,167)

(73,063)

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

9/17/2025

KRW

1,099,200,000

(893)

(1,987)

(2,880)

Pay

3M

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

8,199,300,000

4,944

(20,216)

(15,272)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

32,400,000

35,531

(47,991)

(12,460)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

14,000,000

10,429

(11,642)

(1,213)

Pay

6M

BBR

Semi

4.00%

Semi

12/07/2028

AUD

6,100,000

(30,614)

(19,624)

(50,238)

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

6,800,000

(88,421)

(58,327)

(146,748)

Pay

6M

BBR

Semi

4.00%

Semi

12/08/2033

AUD

2,400,000

(47,337)

(3,449)

(50,786)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

4,000,000

(5,453)

(6,647)

(12,100)

Pay

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

27,900,000

(11,834)

(48,519)

(60,353)

109

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

NIBOR

Semi

3.50%

Annual

9/20/2028

NOK

33,000,000

$

(1,416)

$

(88,868)

$

(90,284)

Pay

6M

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

10,500,000

(11,011)

(14,312)

(25,323)

Receive

1D

SARON

Annual

2.00%

Annual

12/22/2025

CHF

9,600,000

(25,849)

18,645

(7,204)

Receive

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

200,000

(1,250)

(695)

(1,945)

Receive

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

7,400,000

(66,903)

(104,209)

(171,112)

Receive

1D

SARON

Annual

2.00%

Annual

12/20/2033

CHF

11,600,000

(142,825)

(126,931)

(269,756)

Receive

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

647,500,000

(38,029)

1,313

(36,716)

Receive

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

306,400,000

(79,039)

(5,347)

(84,386)

Receive

3M

JIBAR

Qtrly

9.00%

Qtrly

12/17/2025

ZAR

23,700,000

(1,891)

(10,613)

(12,504)

Receive

6M

BBR

Semi

4.50%

Semi

12/08/2033

AUD

2,000,000

(17,325)

6,350

(10,975)

Receive

6M

BUBOR

Semi

10.50%

Annual

9/17/2025

HUF

580,000,000

(10,735)

(20,337)

(31,072)

Receive

6M

BUBOR

Semi

10.00%

Annual

9/17/2025

HUF

730,000,000

(4,438)

(16,509)

(20,947)

Receive

6M

BUBOR

Semi

11.00%

Annual

9/17/2025

HUF

292,700,000

(15,278)

(7,685)

(22,963)

Receive

6M

BUBOR

Semi

9.50%

Annual

9/17/2025

HUF

810,000,000

3,362

(6,453)

(3,091)

Receive

6M

BUBOR

Semi

9.50%

Annual

12/17/2025

HUF

398,000,000

(6,667)

(17,563)

(24,230)

Receive

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

100,000

(1,181)

990

(191)

Receive

6M

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

2,700,000

(19,566)

12,600

(6,966)

Receive

6M

PRIBOR

Semi

5.00%

Annual

12/17/2025

CZK

23,800,000

(2,861)

1,055

(1,806)

(3,899,822)

(5,964,882)

(9,864,704)

$

(3,962,866)

$

2,941,481

$

(1,021,385)

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

June

30,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

4.75%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.09%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.93%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.08%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.35%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

4.97%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.50%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.75%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.81%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.70%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

14.57%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.90%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.81%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.15%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

110

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

DTOP

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/21/2023

ZAR

1,314,100

$

9

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

09/15/2023

PLN

654,400

351

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(0.12%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/20/2023

EUR

4,618,674

143,340

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TONAR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/20/2023

JPY

216,887,171

15,532

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.10%)

Monthly

GSIN

09/20/2023

SGD

(1,259,172)

9,719

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.37%)

Monthly

GSIN

09/20/2023

SEK

(3,858,930)

3,805

172,756

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/21/2023

EUR

(4,651,260)

(23,515)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

20,647,250

(21,794)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

08/16/2023

BRL

47,346,280

(36,164)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/14/2023

KRW

1,872,750,000

(20,015)

111

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

(1,019,430)

$

(2,180)

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/19/2023

TWD

6,714,800

(3,814)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

GSIN

09/20/2023

CAD

(1,439,389)

(11,942)

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(1.20%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/20/2023

MXN

135,049

(185)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.36%)

Monthly

GSIN

09/20/2023

EUR

(376,408)

(13,255)

MSCI

South

Africa

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

JIBAR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/20/2023

ZAR

11,762,648

(12,622)

Tel

Aviv

Stock

Exchange

35

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

ILS

737,398

(7,704)

(153,190)

$

19,566

112

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

135

7/2023

USD

$

10,180,350

$

69,848

HSCEI

2

7/2023

HKD

81,075

179

LME

Aluminum

Base

Metal

1

7/2023

USD

52,921

(6,169)

LME

Aluminum

Base

Metal

1

7/2023

USD

52,939

(6,808)

LME

Aluminum

Base

Metal

2

7/2023

USD

105,525

(13,730)

LME

Aluminum

Base

Metal

2

7/2023

USD

106,063

(13,914)

LME

Aluminum

Base

Metal

3

7/2023

USD

158,695

(14,151)

LME

Aluminum

Base

Metal

7

7/2023

USD

371,198

(54,370)

LME

Aluminum

Base

Metal

9

7/2023

USD

475,875

(47,558)

LME

Copper

Base

Metal

1

7/2023

USD

208,101

(13,252)

LME

Copper

Base

Metal

1

7/2023

USD

208,125

(17,115)

LME

Copper

Base

Metal

1

7/2023

USD

208,095

(12,483)

LME

Copper

Base

Metal

2

7/2023

USD

416,115

(25,410)

LME

Copper

Base

Metal

2

7/2023

USD

416,103

(28,333)

LME

Copper

Base

Metal

2

7/2023

USD

416,138

(27,068)

LME

Copper

Base

Metal

3

7/2023

USD

624,189

(19,431)

LME

Copper

Base

Metal

8

7/2023

USD

1,664,548

(49,223)

LME

Lead

Base

Metal

1

7/2023

USD

53,500

522

LME

Lead

Base

Metal

1

7/2023

USD

52,928

(1,129)

LME

Lead

Base

Metal

2

7/2023

USD

105,075

(1,538)

LME

Lead

Base

Metal

3

7/2023

USD

159,173

(1,748)

LME

Lead

Base

Metal

3

7/2023

USD

157,613

(3,121)

LME

Lead

Base

Metal

3

7/2023

USD

157,613

(4,020)

LME

Lead

Base

Metal

3

7/2023

USD

158,003

(930)

LME

Lead

Base

Metal

3

7/2023

USD

159,563

2,655

LME

Lead

Base

Metal

4

7/2023

USD

210,150

(461)

LME

Lead

Base

Metal

4

7/2023

USD

213,050

4,295

LME

Lead

Base

Metal

5

7/2023

USD

267,938

4,299

LME

Nickel

Base

Metal

1

7/2023

USD

122,244

(19,089)

LME

Nickel

Base

Metal

1

7/2023

USD

122,101

(12,332)

LME

Nickel

Base

Metal

1

7/2023

USD

122,077

(14,756)

LME

Nickel

Base

Metal

1

7/2023

USD

122,344

(27,497)

LME

Nickel

Base

Metal

1

7/2023

USD

122,364

(28,328)

LME

Nickel

Base

Metal

1

7/2023

USD

122,264

(22,624)

LME

Nickel

Base

Metal

2

7/2023

USD

244,809

(38,644)

LME

Nickel

Base

Metal

2

7/2023

USD

244,409

(35,271)

LME

Nickel

Base

Metal

3

7/2023

USD

367,313

(61,905)

LME

Zinc

Base

Metal

1

7/2023

USD

59,603

(9,599)

LME

Zinc

Base

Metal

1

7/2023

USD

59,556

(10,841)

LME

Zinc

Base

Metal

1

7/2023

USD

59,650

(11,641)

LME

Zinc

Base

Metal

2

7/2023

USD

119,288

(17,856)

LME

Zinc

Base

Metal

2

7/2023

USD

119,304

(18,784)

LME

Zinc

Base

Metal

3

7/2023

USD

178,969

(32,440)

LME

Zinc

Base

Metal

5

7/2023

USD

298,469

(29,739)

Natural

Gas

20

7/2023

USD

559,600

8,096

RBOB

Gasoline

20

7/2023

USD

2,137,716

51,263

SGX

FTSE

China

A50

Index

31

7/2023

USD

382,633

2,097

SGX

FTSE

Taiwan

Index

50

7/2023

USD

2,889,000

(6,093)

Feeder

Cattle

8

8/2023

USD

990,300

83,705

Lean

Hogs

5

8/2023

USD

185,200

1,902

LME

Aluminum

Base

Metal

1

8/2023

USD

53,225

(5,413)

LME

Aluminum

Base

Metal

1

8/2023

USD

53,303

(3,886)

LME

Aluminum

Base

Metal

2

8/2023

USD

106,438

(11,489)

113

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

3

8/2023

USD

$

160,452

$

(6,375)

LME

Aluminum

Base

Metal

4

8/2023

USD

214,300

(8,614)

LME

Aluminum

Base

Metal

13

8/2023

USD

693,713

(41,507)

LME

Aluminum

Base

Metal

17

8/2023

USD

905,947

(81,486)

LME

Aluminum

Base

Metal

21

8/2023

USD

1,122,560

(48,823)

LME

Aluminum

Base

Metal

22

8/2023

USD

1,176,313

(43,217)

LME

Aluminum

Base

Metal

22

8/2023

USD

1,175,719

(68,625)

LME

Aluminum

Base

Metal

30

8/2023

USD

1,601,348

(110,630)

LME

Aluminum

Base

Metal

34

8/2023

USD

1,815,175

(132,250)

LME

Aluminum

Base

Metal

64

8/2023

USD

3,412,144

(160,225)

LME

Copper

Base

Metal

1

8/2023

USD

207,928

8,784

LME

Copper

Base

Metal

2

8/2023

USD

416,203

(10,065)

LME

Copper

Base

Metal

3

8/2023

USD

624,288

(24,095)

LME

Copper

Base

Metal

4

8/2023

USD

832,428

(22,683)

LME

Copper

Base

Metal

4

8/2023

USD

832,400

1,257

LME

Copper

Base

Metal

5

8/2023

USD

1,039,851

7,669

LME

Copper

Base

Metal

5

8/2023

USD

1,039,734

33,746

LME

Copper

Base

Metal

6

8/2023

USD

1,247,868

21,852

LME

Copper

Base

Metal

6

8/2023

USD

1,247,727

24,154

LME

Copper

Base

Metal

7

8/2023

USD

1,455,365

61,770

LME

Copper

Base

Metal

7

8/2023

USD

1,455,452

42,933

LME

Copper

Base

Metal

10

8/2023

USD

2,081,070

(66,756)

LME

Copper

Base

Metal

22

8/2023

USD

4,578,354

19,977

LME

Lead

Base

Metal

1

8/2023

USD

52,536

1,139

LME

Lead

Base

Metal

1

8/2023

USD

52,536

521

LME

Lead

Base

Metal

1

8/2023

USD

52,533

312

LME

Lead

Base

Metal

1

8/2023

USD

52,535

312

LME

Lead

Base

Metal

2

8/2023

USD

105,063

(1,046)

LME

Lead

Base

Metal

2

8/2023

USD

105,050

2,800

LME

Lead

Base

Metal

3

8/2023

USD

157,607

(4,241)

LME

Lead

Base

Metal

3

8/2023

USD

157,586

4,428

LME

Lead

Base

Metal

3

8/2023

USD

157,598

(1,998)

LME

Lead

Base

Metal

3

8/2023

USD

157,605

(3,241)

LME

Lead

Base

Metal

4

8/2023

USD

210,138

(1,825)

LME

Lead

Base

Metal

5

8/2023

USD

262,650

5,762

LME

Nickel

Base

Metal

1

8/2023

USD

122,694

(4,509)

LME

Nickel

Base

Metal

1

8/2023

USD

122,705

(4,498)

LME

Nickel

Base

Metal

1

8/2023

USD

122,532

(28,149)

LME

Nickel

Base

Metal

1

8/2023

USD

122,624

(10,362)

LME

Nickel

Base

Metal

1

8/2023

USD

122,763

(4,362)

LME

Nickel

Base

Metal

2

8/2023

USD

245,040

(47,194)

LME

Nickel

Base

Metal

2

8/2023

USD

245,202

(41,536)

LME

Nickel

Base

Metal

2

8/2023

USD

245,572

(6,644)

LME

Nickel

Base

Metal

2

8/2023

USD

245,711

(1,855)

LME

Nickel

Base

Metal

3

8/2023

USD

368,324

(9,565)

LME

Zinc

Base

Metal

1

8/2023

USD

59,716

(1,395)

LME

Zinc

Base

Metal

2

8/2023

USD

119,463

(8,495)

LME

Zinc

Base

Metal

2

8/2023

USD

119,425

(11,467)

LME

Zinc

Base

Metal

3

8/2023

USD

179,185

(21,151)

LME

Zinc

Base

Metal

4

8/2023

USD

238,914

12,302

LME

Zinc

Base

Metal

7

8/2023

USD

418,119

(33,317)

LME

Zinc

Base

Metal

7

8/2023

USD

418,066

(17,681)

LME

Zinc

Base

Metal

7

8/2023

USD

418,250

20,404

LME

Zinc

Base

Metal

8

8/2023

USD

477,700

(53,770)

Low

Sulphur

Gasoil

29

8/2023

USD

2,037,250

37,254

Australia

10

Year

Bond

274

9/2023

AUD

21,253,427

(71,282)

114

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Cocoa

3

9/2023

GBP

$

99,555

$

10,800

Coffee

'C'

18

9/2023

USD

1,073,250

(141,725)

Copper

11

9/2023

USD

1,033,863

(21,951)

FTSE

100

Index

133

9/2023

GBP

12,738,348

(102,273)

FTSE/JSE

Top

40

Index

30

9/2023

ZAR

1,132,130

1,970

FTSE/MIB

Index

87

9/2023

EUR

13,463,122

319,362

Japan

10

Year

Bond

12

9/2023

JPY

12,364,670

55,398

KOSPI

200

Index

50

9/2023

KRW

3,230,183

(35,905)

LME

Aluminum

Base

Metal

1

9/2023

USD

53,775

(1,390)

LME

Aluminum

Base

Metal

1

9/2023

USD

53,646

(2,156)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,575

(400)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,417

(4,333)

LME

Aluminum

Base

Metal

5

9/2023

USD

268,281

(13,234)

LME

Aluminum

Base

Metal

6

9/2023

USD

321,912

(10,506)

LME

Aluminum

Base

Metal

8

9/2023

USD

429,200

(18,890)

LME

Aluminum

Base

Metal

13

9/2023

USD

697,369

(30,070)

LME

Aluminum

Base

Metal

15

9/2023

USD

804,750

(37,451)

LME

Aluminum

Base

Metal

16

9/2023

USD

859,000

(49,528)

LME

Aluminum

Base

Metal

16

9/2023

USD

859,168

(27,279)

LME

Aluminum

Base

Metal

16

9/2023

USD

858,468

(30,254)

LME

Aluminum

Base

Metal

29

9/2023

USD

1,555,850

(80,077)

LME

Aluminum

Base

Metal

30

9/2023

USD

1,607,813

(90,202)

LME

Copper

Base

Metal

1

9/2023

USD

207,875

(2,436)

LME

Copper

Base

Metal

3

9/2023

USD

623,840

649

LME

Copper

Base

Metal

5

9/2023

USD

1,039,688

6,546

LME

Copper

Base

Metal

5

9/2023

USD

1,039,250

(28,462)

LME

Copper

Base

Metal

5

9/2023

USD

1,040,048

(14,730)

LME

Copper

Base

Metal

6

9/2023

USD

1,247,643

2,935

LME

Copper

Base

Metal

6

9/2023

USD

1,247,663

(6,703)

LME

Copper

Base

Metal

7

9/2023

USD

1,456,000

(24,454)

LME

Copper

Base

Metal

8

9/2023

USD

1,663,400

7,896

LME

Copper

Base

Metal

10

9/2023

USD

2,079,750

(56,723)

LME

Copper

Base

Metal

57

9/2023

USD

11,851,725

(75,863)

LME

Lead

Base

Metal

1

9/2023

USD

52,619

866

LME

Lead

Base

Metal

2

9/2023

USD

105,153

3,197

LME

Lead

Base

Metal

2

9/2023

USD

105,238

1,082

LME

Lead

Base

Metal

2

9/2023

USD

105,238

(518)

LME

Lead

Base

Metal

3

9/2023

USD

157,677

5,044

LME

Lead

Base

Metal

3

9/2023

USD

157,856

2,336

LME

Lead

Base

Metal

3

9/2023

USD

157,703

5,545

LME

Lead

Base

Metal

4

9/2023

USD

210,339

5,879

LME

Lead

Base

Metal

5

9/2023

USD

262,625

10,712

LME

Lead

Base

Metal

5

9/2023

USD

262,491

2,129

LME

Lead

Base

Metal

16

9/2023

USD

841,000

25,450

LME

Nickel

Base

Metal

1

9/2023

USD

122,913

(3,480)

LME

Nickel

Base

Metal

1

9/2023

USD

122,937

(3,771)

LME

Nickel

Base

Metal

1

9/2023

USD

122,925

(3,344)

LME

Nickel

Base

Metal

1

9/2023

USD

123,035

(6,251)

LME

Nickel

Base

Metal

3

9/2023

USD

369,184

(10,144)

LME

Nickel

Base

Metal

4

9/2023

USD

491,793

(21,019)

LME

Nickel

Base

Metal

4

9/2023

USD

492,338

(1,552)

LME

Nickel

Base

Metal

4

9/2023

USD

492,384

10,560

LME

Nickel

Base

Metal

5

9/2023

USD

615,364

(5,891)

LME

Nickel

Base

Metal

8

9/2023

USD

982,937

(33,156)

LME

Nickel

Base

Metal

10

9/2023

USD

1,230,540

(50,892)

LME

Zinc

Base

Metal

2

9/2023

USD

119,550

544

115

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

3

9/2023

USD

$

179,325

$

(2,034)

LME

Zinc

Base

Metal

3

9/2023

USD

179,094

2,193

LME

Zinc

Base

Metal

3

9/2023

USD

179,100

2,524

LME

Zinc

Base

Metal

3

9/2023

USD

179,081

(3,703)

LME

Zinc

Base

Metal

4

9/2023

USD

238,850

1,438

LME

Zinc

Base

Metal

6

9/2023

USD

358,650

7,632

LME

Zinc

Base

Metal

6

9/2023

USD

358,629

14,461

LME

Zinc

Base

Metal

7

9/2023

USD

418,374

18,154

LME

Zinc

Base

Metal

8

9/2023

USD

478,200

137

LME

Zinc

Base

Metal

12

9/2023

USD

716,349

2,605

LME

Zinc

Base

Metal

18

9/2023

USD

1,075,563

41,454

LME

Zinc

Base

Metal

32

9/2023

USD

1,911,400

24,607

Long

Gilt

133

9/2023

GBP

16,107,258

(102,200)

MEX

BOLSA

Index

12

9/2023

MXN

383,724

(5,699)

MSCI

Emerging

Markets

E-Mini

Index

5

9/2023

USD

249,475

(5,177)

Nikkei

225

Index

8

9/2023

JPY

1,839,010

39,292

S&P

Midcap

400

E-Mini

Index

174

9/2023

USD

46,007,339

1,118,081

Silver

18

9/2023

USD

2,071,800

17,010

SPI

200

Index

12

9/2023

AUD

1,431,090

(1,502)

TOPIX

Index

63

9/2023

JPY

9,989,535

151,164

U.S.

Treasury

10

Year

Note

2

9/2023

USD

224,625

(25)

Wheat

16

9/2023

USD

520,800

(19,460)

Soybean

65

11/2023

USD

4,365,563

(16,955)

Soybean

Meal

91

12/2023

USD

3,615,430

249,052

(493,950)

Short

Contracts

CAC

40

10

Euro

Index

(44)

7/2023

EUR

(3,557,989)

(35,811)

FTSE

Bursa

Malaysia

KLCI

Index

(4)

7/2023

MYR

(58,939)

491

Hang

Seng

Index

(3)

7/2023

HKD

(360,011)

4,230

IBEX

35

Index

(2)

7/2023

EUR

(208,419)

(8,027)

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(52,921)

5,842

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(52,939)

6,658

LME

Aluminum

Base

Metal

(2)

7/2023

USD

(106,063)

13,832

LME

Aluminum

Base

Metal

(2)

7/2023

USD

(105,525)

13,979

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(158,695)

14,123

LME

Aluminum

Base

Metal

(7)

7/2023

USD

(371,198)

54,032

LME

Aluminum

Base

Metal

(9)

7/2023

USD

(475,875)

45,205

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,101)

12,721

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,095)

12,978

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,125)

16,459

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,103)

31,992

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,138)

28,364

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,115)

26,830

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,189)

18,551

LME

Copper

Base

Metal

(8)

7/2023

USD

(1,664,548)

47,963

LME

Lead

Base

Metal

(1)

7/2023

USD

(53,500)

(625)

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,928)

745

LME

Lead

Base

Metal

(2)

7/2023

USD

(105,075)

1,245

LME

Lead

Base

Metal

(3)

7/2023

USD

(159,173)

1,111

LME

Lead

Base

Metal

(3)

7/2023

USD

(159,563)

(1,344)

LME

Lead

Base

Metal

(3)

7/2023

USD

(157,613)

4,120

LME

Lead

Base

Metal

(3)

7/2023

USD

(157,613)

3,330

LME

Lead

Base

Metal

(3)

7/2023

USD

(158,003)

1,616

LME

Lead

Base

Metal

(4)

7/2023

USD

(213,050)

(3,710)

LME

Lead

Base

Metal

(4)

7/2023

USD

(210,150)

659

LME

Lead

Base

Metal

(5)

7/2023

USD

(267,938)

(4,081)

116

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

7/2023

USD

$

(122,077)

$

14,991

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,364)

30,825

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,344)

26,453

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,101)

13,838

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,244)

18,393

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,264)

22,033

LME

Nickel

Base

Metal

(2)

7/2023

USD

(244,409)

35,425

LME

Nickel

Base

Metal

(2)

7/2023

USD

(244,809)

38,325

LME

Nickel

Base

Metal

(3)

7/2023

USD

(367,313)

60,983

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,556)

10,441

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,650)

11,614

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,603)

9,995

LME

Zinc

Base

Metal

(2)

7/2023

USD

(119,288)

19,050

LME

Zinc

Base

Metal

(2)

7/2023

USD

(119,304)

17,725

LME

Zinc

Base

Metal

(3)

7/2023

USD

(178,969)

34,397

LME

Zinc

Base

Metal

(5)

7/2023

USD

(298,469)

30,422

MSCI

Singapore

Index

(141)

7/2023

SGD

(3,012,045)

(3,803)

OMXS30

Index

(208)

7/2023

SEK

(4,466,985)

(31,983)

SGX

NIFTY

50

Index

(92)

7/2023

USD

(3,547,336)

(65,704)

WTI

Crude

Oil

(242)

7/2023

USD

(17,094,880)

277,620

100

oz

Gold

(27)

8/2023

USD

(5,209,380)

82,554

Live

Cattle

(22)

8/2023

USD

(1,559,140)

(58,797)

LME

Aluminum

Base

Metal

(1)

8/2023

USD

(53,225)

5,497

LME

Aluminum

Base

Metal

(1)

8/2023

USD

(53,303)

4,294

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,438)

10,707

LME

Aluminum

Base

Metal

(3)

8/2023

USD

(160,452)

6,370

LME

Aluminum

Base

Metal

(4)

8/2023

USD

(214,300)

8,688

LME

Aluminum

Base

Metal

(13)

8/2023

USD

(693,713)

40,749

LME

Aluminum

Base

Metal

(17)

8/2023

USD

(905,947)

80,897

LME

Aluminum

Base

Metal

(21)

8/2023

USD

(1,122,560)

56,874

LME

Aluminum

Base

Metal

(22)

8/2023

USD

(1,175,719)

64,558

LME

Aluminum

Base

Metal

(22)

8/2023

USD

(1,176,313)

38,288

LME

Aluminum

Base

Metal

(30)

8/2023

USD

(1,601,348)

98,316

LME

Aluminum

Base

Metal

(34)

8/2023

USD

(1,815,175)

141,400

LME

Aluminum

Base

Metal

(64)

8/2023

USD

(3,412,144)

148,392

LME

Copper

Base

Metal

(1)

8/2023

USD

(207,928)

(8,768)

LME

Copper

Base

Metal

(2)

8/2023

USD

(416,203)

8,695

LME

Copper

Base

Metal

(3)

8/2023

USD

(624,288)

20,719

LME

Copper

Base

Metal

(4)

8/2023

USD

(832,428)

20,358

LME

Copper

Base

Metal

(4)

8/2023

USD

(832,400)

(1,950)

LME

Copper

Base

Metal

(5)

8/2023

USD

(1,039,734)

(33,458)

LME

Copper

Base

Metal

(5)

8/2023

USD

(1,039,851)

(11,277)

LME

Copper

Base

Metal

(6)

8/2023

USD

(1,247,727)

(23,824)

LME

Copper

Base

Metal

(6)

8/2023

USD

(1,247,868)

(13,930)

LME

Copper

Base

Metal

(7)

8/2023

USD

(1,455,452)

(42,596)

LME

Copper

Base

Metal

(7)

8/2023

USD

(1,455,365)

(63,821)

LME

Copper

Base

Metal

(10)

8/2023

USD

(2,081,070)

70,018

LME

Copper

Base

Metal

(22)

8/2023

USD

(4,578,354)

(32,047)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,533)

(265)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,535)

(338)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,536)

(1,616)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,536)

(389)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,050)

(3,567)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,063)

1,132

LME

Lead

Base

Metal

(3)

8/2023

USD

(157,607)

3,035

LME

Lead

Base

Metal

(3)

8/2023

USD

(157,586)

(4,438)

117

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(3)

8/2023

USD

$

(157,605)

$

3,637

LME

Lead

Base

Metal

(3)

8/2023

USD

(157,598)

1,620

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,138)

2,590

LME

Lead

Base

Metal

(5)

8/2023

USD

(262,650)

(5,612)

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,705)

5,272

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,763)

3,463

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,624)

11,023

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,532)

29,265

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,694)

4,017

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,202)

42,552

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,040)

42,534

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,711)

1,430

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,572)

10,245

LME

Nickel

Base

Metal

(3)

8/2023

USD

(368,323)

8,955

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,716)

1,656

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,463)

9,007

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,425)

11,088

LME

Zinc

Base

Metal

(3)

8/2023

USD

(179,185)

20,456

LME

Zinc

Base

Metal

(4)

8/2023

USD

(238,914)

(13,246)

LME

Zinc

Base

Metal

(7)

8/2023

USD

(418,250)

(19,856)

LME

Zinc

Base

Metal

(7)

8/2023

USD

(418,119)

36,511

LME

Zinc

Base

Metal

(7)

8/2023

USD

(418,066)

19,638

LME

Zinc

Base

Metal

(8)

8/2023

USD

(477,700)

52,576

Australia

3

Year

Bond

(54)

9/2023

AUD

(3,800,789)

12,469

Canada

10

Year

Bond

(66)

9/2023

CAD

(6,105,529)

(51,079)

Corn

(200)

9/2023

USD

(4,885,000)

1,053,142

DAX

Index

(29)

9/2023

EUR

(12,873,105)

34,120

DJIA

CBOT

E-Mini

Index

(8)

9/2023

USD

(1,385,720)

(18,392)

Euro

STOXX

50

Index

(89)

9/2023

EUR

(4,299,361)

(66,767)

Euro-Bobl

(17)

9/2023

EUR

(2,146,838)

19,733

Euro-BTP

(7)

9/2023

EUR

(887,658)

(7,530)

Euro-Bund

(129)

9/2023

EUR

(18,830,107)

124,254

Euro-Buxl

(22)

9/2023

EUR

(3,354,174)

(54,894)

Euro-OAT

(8)

9/2023

EUR

(1,121,055)

3,544

Euro-Schatz

(868)

9/2023

EUR

(99,309,895)

177,999

KC

HRW

Wheat

(54)

9/2023

USD

(2,160,000)

101,722

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,646)

2,051

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,775)

787

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,575)

22

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,417)

4,060

LME

Aluminum

Base

Metal

(5)

9/2023

USD

(268,281)

13,462

LME

Aluminum

Base

Metal

(6)

9/2023

USD

(321,912)

10,863

LME

Aluminum

Base

Metal

(8)

9/2023

USD

(429,200)

17,501

LME

Aluminum

Base

Metal

(13)

9/2023

USD

(697,369)

30,149

LME

Aluminum

Base

Metal

(15)

9/2023

USD

(804,750)

37,999

LME

Aluminum

Base

Metal

(16)

9/2023

USD

(858,468)

28,824

LME

Aluminum

Base

Metal

(16)

9/2023

USD

(859,168)

24,951

LME

Aluminum

Base

Metal

(29)

9/2023

USD

(1,555,850)

79,995

LME

Aluminum

Base

Metal

(30)

9/2023

USD

(1,607,813)

93,169

LME

Aluminum

Base

Metal

(146)

9/2023

USD

(7,838,375)

346,582

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,875)

2,647

LME

Copper

Base

Metal

(3)

9/2023

USD

(623,840)

64

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,039,688)

(10,276)

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,040,048)

13,609

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,039,250)

30,112

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,039,625)

(31,176)

118

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(6)

9/2023

USD

$

(1,247,663)

$

247

LME

Copper

Base

Metal

(6)

9/2023

USD

(1,247,643)

(10,034)

LME

Copper

Base

Metal

(7)

9/2023

USD

(1,456,000)

16,782

LME

Copper

Base

Metal

(8)

9/2023

USD

(1,663,400)

(11,484)

LME

Copper

Base

Metal

(10)

9/2023

USD

(2,079,750)

52,299

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,619)

(751)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,238)

902

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,153)

(3,178)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,238)

(112)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,703)

(5,622)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,856)

(2,496)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,677)

(5,481)

LME

Lead

Base

Metal

(4)

9/2023

USD

(210,339)

(5,851)

LME

Lead

Base

Metal

(5)

9/2023

USD

(262,491)

(1,192)

LME

Lead

Base

Metal

(5)

9/2023

USD

(262,625)

(11,597)

LME

Lead

Base

Metal

(16)

9/2023

USD

(841,000)

(15,935)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,937)

2,520

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,035)

9,563

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,913)

2,623

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,925)

3,792

LME

Nickel

Base

Metal

(3)

9/2023

USD

(369,184)

5,676

LME

Nickel

Base

Metal

(4)

9/2023

USD

(492,338)

(8,110)

LME

Nickel

Base

Metal

(4)

9/2023

USD

(492,384)

(8,186)

LME

Nickel

Base

Metal

(4)

9/2023

USD

(491,793)

20,296

LME

Nickel

Base

Metal

(5)

9/2023

USD

(615,364)

5,115

LME

Nickel

Base

Metal

(8)

9/2023

USD

(982,937)

30,494

LME

Nickel

Base

Metal

(25)

9/2023

USD

(3,076,350)

44,000

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,550)

(454)

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,094)

(1,103)

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,325)

4,570

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,100)

(709)

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,081)

5,019

LME

Zinc

Base

Metal

(4)

9/2023

USD

(238,850)

(1,078)

LME

Zinc

Base

Metal

(6)

9/2023

USD

(358,650)

(1,753)

LME

Zinc

Base

Metal

(6)

9/2023

USD

(358,629)

(13,573)

LME

Zinc

Base

Metal

(7)

9/2023

USD

(418,374)

(18,347)

LME

Zinc

Base

Metal

(8)

9/2023

USD

(478,200)

(3,174)

LME

Zinc

Base

Metal

(12)

9/2023

USD

(716,349)

(7,034)

LME

Zinc

Base

Metal

(18)

9/2023

USD

(1,075,563)

(41,264)

LME

Zinc

Base

Metal

(46)

9/2023

USD

(2,747,638)

(68,797)

MSCI

EAFE

E-Mini

Index

(5)

9/2023

USD

(538,875)

(3,304)

NASDAQ

100

E-Mini

Index

(6)

9/2023

USD

(1,840,440)

(78,654)

Russell

2000

E-Mini

Index

(185)

9/2023

USD

(17,609,225)

(113,276)

S&P

500

E-Mini

Index

(328)

9/2023

USD

(73,607,301)

(2,132,383)

S&P/TSX

60

Index

(24)

9/2023

CAD

(4,415,384)

(70,821)

SET50

Index

(393)

9/2023

THB

(2,027,572)

(27,284)

Sugar

No.

11

(37)

9/2023

USD

(944,418)

102,111

U.S.

Treasury

2

Year

Note

(24)

9/2023

USD

(4,881,375)

36,299

U.S.

Treasury

5

Year

Note

(24)

9/2023

USD

(2,571,375)

27,596

U.S.

Treasury

Long

Bond

(10)

9/2023

USD

(1,271,250)

(2,778)

U.S.

Treasury

Ultra

Bond

(8)

9/2023

USD

(1,093,000)

(11,218)

Aluminum

(5)

10/2023

USD

(269,063)

12,791

Cotton

No.

2

(21)

12/2023

USD

(843,885)

3,401

Soybean

Oil

(10)

12/2023

USD

(353,820)

(17,934)

119

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Platinum

(2)

6/2024

JPY

$

(28,629)

$

198

1,478,842

$

984,892

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

28,254,126

USD

18,597,430

CITI

9/20/2023

$

265,652

AUD

28,254,117

USD

18,597,331

JPMC

9/20/2023

265,745

BRL

7,933,637

USD

1,590,227

CITI

**

9/20/2023

43,455

BRL

7,933,633

USD

1,590,218

JPMC

**

9/20/2023

43,464

CAD

8,978,772

USD

6,719,045

CITI

9/20/2023

66,998

CAD

8,978,764

USD

6,719,006

JPMC

9/20/2023

67,032

CLP

613,949,054

USD

751,383

CITI

**

9/20/2023

7,147

CLP

613,949,051

USD

751,379

JPMC

**

9/20/2023

7,151

COP

14,236,272,503

USD

3,231,194

CITI

**

9/20/2023

108,877

COP

14,236,272,497

USD

3,231,178

JPMC

**

9/20/2023

108,894

EUR

24,182,750

USD

26,057,237

CITI

9/20/2023

434,577

EUR

24,182,726

USD

26,057,081

JPMC

9/20/2023

434,708

GBP

6,708,592

USD

8,358,642

CITI

9/20/2023

163,043

GBP

6,708,561

USD

8,358,561

JPMC

9/20/2023

163,083

HUF

1,294,504,570

USD

3,624,337

CITI

9/20/2023

95,146

HUF

1,294,504,568

USD

3,624,319

JPMC

9/20/2023

95,164

INR

308,838,508

USD

3,723,912

CITI

**

9/20/2023

29,185

INR

308,838,492

USD

3,723,893

JPMC

**

9/20/2023

29,204

KRW

218,750,000

USD

166,284

CITI

**

9/20/2023

435

KRW

218,750,000

USD

166,285

JPMC

**

9/20/2023

434

MXN

69,822,003

USD

3,875,092

CITI

9/20/2023

143,641

MXN

69,821,997

USD

3,875,073

JPMC

9/20/2023

143,661

NOK

106,652,587

USD

9,778,650

CITI

9/20/2023

184,876

NOK

106,652,578

USD

9,778,601

JPMC

9/20/2023

184,925

NZD

2,382,507

USD

1,448,163

CITI

9/20/2023

13,498

NZD

2,382,499

USD

1,448,151

JPMC

9/20/2023

13,504

PLN

3,133,000

USD

749,243

CITI

9/20/2023

18,338

PLN

3,133,000

USD

749,239

JPMC

9/20/2023

18,342

SEK

69,120,275

USD

6,383,248

CITI

9/20/2023

49,618

SEK

69,120,271

USD

6,383,215

JPMC

9/20/2023

49,650

USD

6,329,164

AUD

9,305,086

CITI

9/20/2023

116,882

USD

6,329,195

AUD

9,305,085

JPMC

9/20/2023

116,914

USD

745,420

CLP

600,000,003

CITI

**

9/20/2023

4,123

USD

745,423

CLP

599,999,997

JPMC

**

9/20/2023

4,126

USD

6,470,241

CNY

45,528,390

CITI

**

9/20/2023

166,141

USD

6,470,274

CNY

45,528,392

JPMC

**

9/20/2023

166,173

USD

2,691,366

COP

11,400,000,000

CITI

**

9/20/2023

16,732

USD

2,691,380

COP

11,400,000,000

JPMC

**

9/20/2023

16,746

USD

4,638,204

EUR

4,207,000

CITI

9/20/2023

29,504

USD

4,638,227

EUR

4,207,000

JPMC

9/20/2023

29,526

USD

636

GBP

500

CITI

9/20/2023

–

USD

636

GBP

500

JPMC

9/20/2023

1

USD

2,047,089

IDR

30,500,000,004

CITI

**

9/20/2023

21,828

USD

2,047,100

IDR

30,499,999,996

JPMC

**

9/20/2023

21,839

120

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,585,766

ILS

5,823,242

CITI

9/20/2023

$

10,080

USD

1,585,773

ILS

5,823,240

JPMC

9/20/2023

10,089

USD

15,905,193

JPY

2,192,238,503

CITI

9/20/2023

525,267

USD

15,905,273

JPY

2,192,238,497

JPMC

9/20/2023

525,348

USD

1,607,256

KRW

2,090,124,542

CITI

**

9/20/2023

14,280

USD

1,607,264

KRW

2,090,124,536

JPMC

**

9/20/2023

14,288

USD

749,070

MXN

13,000,000

CITI

9/20/2023

831

USD

749,074

MXN

13,000,000

JPMC

9/20/2023

835

USD

47

NOK

500

CITI

9/20/2023

–

USD

47

NOK

500

JPMC

9/20/2023

–

USD

1,656,760

PLN

6,738,500

CITI

9/20/2023

5,837

USD

1,656,769

PLN

6,738,500

JPMC

9/20/2023

5,846

USD

1,456,409

SEK

15,575,000

CITI

9/20/2023

6,879

USD

1,456,416

SEK

15,575,000

JPMC

9/20/2023

6,886

USD

2,973,126

SGD

3,996,500

CITI

9/20/2023

9,220

USD

2,973,141

SGD

3,996,500

JPMC

9/20/2023

9,234

USD

818,215

TWD

25,000,000

CITI

**

9/20/2023

13,637

USD

818,220

TWD

25,000,000

JPMC

**

9/20/2023

13,641

ZAR

50,589,211

USD

2,625,006

CITI

9/20/2023

41,597

ZAR

50,589,204

USD

2,624,992

JPMC

9/20/2023

41,610

Total

unrealized

appreciation

5,215,387

AUD

6,407,002

USD

4,338,532

CITI

9/20/2023

(61,075)

AUD

6,406,998

USD

4,338,507

JPMC

9/20/2023

(61,054)

BRL

6,404,500

USD

1,322,449

CITI

**

9/20/2023

(3,643)

BRL

6,404,500

USD

1,322,442

JPMC

**

9/20/2023

(3,638)

CAD

3,894,500

USD

2,960,701

CITI

9/20/2023

(17,287)

CAD

3,894,500

USD

2,960,686

JPMC

9/20/2023

(17,273)

CLP

1,741,847,162

USD

2,166,395

CITI

**

9/20/2023

(14,353)

CLP

1,741,847,158

USD

2,166,384

JPMC

**

9/20/2023

(14,343)

CNY

20,642,335

USD

2,908,499

CITI

**

9/20/2023

(50,253)

CNY

20,642,328

USD

2,908,484

JPMC

**

9/20/2023

(50,239)

COP

6,700,000,000

USD

1,583,654

CITI

**

9/20/2023

(11,720)

COP

6,700,000,000

USD

1,583,646

JPMC

**

9/20/2023

(11,713)

EUR

30,500

USD

33,665

CITI

9/20/2023

(253)

EUR

30,500

USD

33,665

JPMC

9/20/2023

(253)

GBP

1,711,500

USD

2,187,437

CITI

9/20/2023

(13,380)

GBP

1,711,500

USD

2,187,426

JPMC

9/20/2023

(13,368)

HUF

120,000,000

USD

346,354

CITI

9/20/2023

(1,560)

HUF

120,000,000

USD

346,352

JPMC

9/20/2023

(1,558)

IDR

62,591,938,007

USD

4,187,427

CITI

**

9/20/2023

(31,198)

IDR

62,591,937,993

USD

4,187,406

JPMC

**

9/20/2023

(31,177)

INR

35,000,000

USD

425,568

CITI

**

9/20/2023

(238)

INR

35,000,000

USD

425,566

JPMC

**

9/20/2023

(236)

JPY

1,631,956,002

USD

11,900,512

CITI

9/20/2023

(451,319)

JPY

1,631,955,988

USD

11,900,452

JPMC

9/20/2023

(451,260)

KRW

3,331,250,000

USD

2,597,731

CITI

**

9/20/2023

(58,838)

KRW

3,331,250,000

USD

2,597,718

JPMC

**

9/20/2023

(58,825)

MXN

4,500,000

USD

259,331

CITI

9/20/2023

(325)

MXN

4,500,000

USD

259,329

JPMC

9/20/2023

(324)

NOK

34,400,355

USD

3,251,353

CITI

9/20/2023

(37,658)

NOK

34,400,353

USD

3,251,337

JPMC

9/20/2023

(37,642)

NZD

9,103,000

USD

5,650,272

CITI

9/20/2023

(65,612)

NZD

9,103,000

USD

5,650,244

JPMC

9/20/2023

(65,582)

SEK

20,831,758

USD

1,943,706

CITI

9/20/2023

(4,942)

SEK

20,831,757

USD

1,943,696

JPMC

9/20/2023

(4,932)

SGD

1,465,000

USD

1,088,893

CITI

9/20/2023

(2,412)

SGD

1,465,000

USD

1,088,888

JPMC

9/20/2023

(2,406)

TWD

54,507,501

USD

1,792,914

CITI

**

9/20/2023

(38,691)

121

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

TWD

54,507,499

USD

1,792,905

JPMC

**

9/20/2023

$

(38,682)

USD

3,683,391

AUD

5,575,645

CITI

9/20/2023

(39,033)

USD

3,683,401

AUD

5,575,632

JPMC

9/20/2023

(39,015)

USD

1,406,331

BRL

7,085,487

CITI

**

9/20/2023

(52,701)

USD

1,406,337

BRL

7,085,483

JPMC

**

9/20/2023

(52,694)

USD

12,023,467

CAD

16,242,813

CITI

9/20/2023

(252,647)

USD

12,021,115

CAD

16,242,807

JPMC

9/20/2023

(254,995)

USD

15,684,041

CHF

14,072,926

CITI

9/20/2023

(169,544)

USD

15,684,102

CHF

14,072,910

JPMC

9/20/2023

(169,465)

USD

184,975

CLP

150,000,000

CITI

**

9/20/2023

(349)

USD

184,975

CLP

150,000,000

JPMC

**

9/20/2023

(348)

USD

67,196

COP

300,000,000

CITI

**

9/20/2023

(3,189)

USD

67,234

COP

300,000,000

JPMC

**

9/20/2023

(3,151)

USD

7,201,685

CZK

159,420,998

CITI

9/20/2023

(91,189)

USD

7,201,720

CZK

159,420,991

JPMC

9/20/2023

(91,153)

USD

12,563,956

EUR

11,647,122

CITI

9/20/2023

(195,279)

USD

12,564,002

EUR

11,647,106

JPMC

9/20/2023

(195,215)

USD

4,256,149

GBP

3,402,701

CITI

9/20/2023

(66,179)

USD

4,256,142

GBP

3,402,678

JPMC

9/20/2023

(66,159)

USD

1,988,062

HUF

702,574,000

CITI

9/20/2023

(30,635)

USD

1,988,072

HUF

702,574,000

JPMC

9/20/2023

(30,625)

USD

640,759

ILS

2,377,259

CITI

9/20/2023

(2,492)

USD

640,762

ILS

2,377,259

JPMC

9/20/2023

(2,490)

USD

542,619

INR

45,000,000

CITI

**

9/20/2023

(4,234)

USD

542,622

INR

45,000,000

JPMC

**

9/20/2023

(4,231)

USD

1,780,011

JPY

255,000,000

CITI

9/20/2023

(8,973)

USD

1,780,020

JPY

255,000,000

JPMC

9/20/2023

(8,965)

USD

3,116,718

KRW

4,098,695,964

CITI

**

9/20/2023

(7,078)

USD

3,116,734

KRW

4,098,695,958

JPMC

**

9/20/2023

(7,063)

USD

5,023,045

MXN

89,598,267

CITI

9/20/2023

(133,948)

USD

5,023,070

MXN

89,598,262

JPMC

9/20/2023

(133,923)

USD

7,562,317

NOK

83,181,502

CITI

9/20/2023

(208,532)

USD

7,562,354

NOK

83,181,498

JPMC

9/20/2023

(208,494)

USD

17,827,230

NZD

29,410,293

CITI

9/20/2023

(215,890)

USD

17,827,309

NZD

29,410,277

JPMC

9/20/2023

(215,800)

USD

1,680,021

PHP

94,591,502

CITI

**

9/20/2023

(27,822)

USD

1,680,029

PHP

94,591,498

JPMC

**

9/20/2023

(27,814)

USD

587,132

PLN

2,457,000

CITI

9/20/2023

(14,829)

USD

587,135

PLN

2,457,000

JPMC

9/20/2023

(14,826)

USD

3,835,948

SEK

41,507,000

CITI

9/20/2023

(27,013)

USD

3,835,967

SEK

41,507,000

JPMC

9/20/2023

(26,994)

USD

4,800,485

ZAR

93,882,222

CITI

9/20/2023

(148,130)

USD

4,800,507

ZAR

93,882,193

JPMC

9/20/2023

(148,106)

ZAR

38,000,000

USD

2,025,338

CITI

9/20/2023

(22,325)

ZAR

38,000,000

USD

2,025,328

JPMC

9/20/2023

(22,315)

Total

unrealized

depreciation

(5,175,114)

Net

unrealized

appreciation

$

40,273

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

122

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MACRO

OPPORTUNITIES

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

8,223,867

$

8,223,867

CITG

Cash

–

1,043,833

1,043,833

CITI

Investment

Companies

963,351

–

963,351

GSCO

Cash

–

2,968,253

2,968,253

GSIN

Cash

(130,363)

–

(130,363)

U.S.

Treasury

Bills

1,671,312

–

1,671,312

JPMC

Investment

Companies

1,637,672

–

1,637,672

JPMS

Cash

–

4,770,095

4,770,095

MSCL

Cash

–

1,244,003

1,244,003

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

1,049,116

$

1,049,116

GSIN

Cash

31,781

–

31,781

JPPC

Cash

–

1,058,940

1,058,940

MSCL

Cash

–

2,481,705

2,481,705

123

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

June

30,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

91.5%

INVESTMENT

COMPANIES

-

18.9%

BlackRock

Liquidity

Funds

Treasury

Trust

Fund

Portfolio,

5.02%

(1)(a)(b)

28,444,604

28,444,604

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(a)(b)

22,574,394

22,574,394

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)(c)

226,629,890

226,539,239

TOTAL

INVESTMENT

COMPANIES

(Cost

$277,481,762)

277,558,237

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

72.6%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(d)

$

9,888,000

9,883,923

4.80%,

7/20/2023

(d)

16,164,000

16,125,778

4.80%,

7/27/2023

(d)

2,353,000

2,345,131

4.79%,

8/3/2023

(d)

117,757,000

117,238,456

4.85%,

8/10/2023

(d)

679,000

675,321

4.96%,

8/17/2023

(d)

3,108,000

3,087,946

5.04%,

8/24/2023

(d)

6,041,000

5,995,800

5.07%,

8/31/2023

(d)

16,236,000

16,098,651

5.10%,

9/7/2023

(d)

100,523,000

99,576,659

4.81%,

9/14/2023

(d)

99,457,000

98,416,147

4.73%,

9/21/2023

(d)

49,164,000

48,600,089

4.76%,

9/28/2023

(d)(e)

109,822,000

108,452,520

4.80%,

10/5/2023

(d)(e)

124,790,000

123,104,182

4.91%,

10/12/2023

(d)(e)

5,400,000

5,321,428

4.99%,

10/19/2023

(d)

65,453,000

64,431,688

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

72.6%

(continued)

4.96%,

10/26/2023

(d)

$

144,363,000

141,964,970

5.02%,

11/2/2023

(d)(e)

104,873,000

103,023,794

5.01%,

11/9/2023

(d)(e)

64,562,000

63,362,079

5.11%,

11/16/2023

(d)

1,007,000

987,294

5.31%,

11/24/2023

(d)(e)

10,462,000

10,245,151

5.44%,

11/30/2023

(d)

5,583,000

5,462,066

5.39%,

12/7/2023

(d)(e)

10,406,000

10,169,637

5.29%,

12/14/2023

(d)(e)

3,582,000

3,496,766

5.36%,

12/28/2023

(d)

5,421,000

5,280,648

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,064,003,876)

1,063,346,124

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,341,485,638)

1,340,904,361

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.5%

(Cost

$1,341,485,638)

1,340,904,361

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.5%

(f)

123,958,152

NET

ASSETS

-

100.0%

1,464,862,513

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

277,558,237

18.9

U.S.

Treasury

Obligations

1,063,346,124

72.6

Total

Investments

In

Securities

At

Value

$

1,340,904,361

91.5

Other

Assets

in

Excess

of

Liabilities

(f)

123,958,152

8.5

Net

Assets

$

1,464,862,513

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2023

Shares

Held

At

6/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

15.5%

INVESTMENT

COMPANIES

-

15.5%

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)^(a)

(Cost

$226,462,764)

$304,515,851

$1,333,360,225

$(1,411,347,325)

$7,029

$3,459

$226,539,239

226,629,890

$6,013,226

$–

^    No

longer

affiliated

as

of

June

30,

2023.

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

124

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

June

30,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.00

%

EUR

4,168,000

$

117,887

$

69,180

$

187,067

iTraxx

Europe

Main

Index

Series

39.V1

1.00

Quarterly

6/20/2028

0.74

EUR

20,943,000

204,386

72,023

276,409

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.29

USD

2,860,000

58,961

25,289

84,250

Markit

CDX

North

America

Investment

Grade

Index

Series

40.V1

1.00

Quarterly

6/20/2028

0.66

USD

17,673,000

216,028

53,773

269,801

597,262

220,265

817,527

Markit

CDX

North

America

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.13

%

USD

4,170,000

$

(232,863)

$

35,029

$

(197,834)

(232,863)

35,029

(197,834)

$

364,399

$

255,294

$

619,693

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

June

30,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

9,200,000

$

60,247

$

29,203

$

89,450

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

5,200,000

42,523

77,718

120,241

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

2,500,000

81

61

142

Pay

1D

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

5,788,300,000

384,355

43,200

427,555

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

6,000,000

1,733

(80)

1,653

Pay

1M

TIIE

Monthly

8.00%

Monthly

12/13/2028

MXN

59,000,000

48,302

(33,355)

14,947

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

16,700,000

(106,840)

127,257

20,417

Pay

3M

BBR

Qtrly

4.50%

Semi

12/14/2033

NZD

200,000

1,429

(788)

641

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

33,600,000

423,337

(359,120)

64,217

Pay

6M

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

166,400,000

2,038,845

(1,609,590)

429,255

Pay

6M

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

3,800,000

67,647

(7,851)

59,796

Pay

6M

PRIBOR

Semi

4.50%

Annual

12/20/2028

CZK

13,000,000

6,286

3,993

10,279

Pay

6M

WIBOR

Semi

6.00%

Annual

9/17/2025

PLN

600,000

30

1,499

1,529

Pay

6M

WIBOR

Semi

5.50%

Annual

12/17/2025

PLN

6,600,000

2,884

9,099

11,983

Pay

6M

WIBOR

Semi

5.00%

Annual

9/20/2028

PLN

2,700,000

(6,032)

9,828

3,796

Pay

6M

WIBOR

Semi

5.50%

Annual

9/20/2028

PLN

100,000

495

163

658

Pay

6M

WIBOR

Semi

5.50%

Annual

12/20/2028

PLN

2,900,000

11,794

11,004

22,798

Pay

6M

WIBOR

Semi

5.00%

Annual

12/20/2028

PLN

2,700,000

9,133

(1,715)

7,418

Receive

1D

CORRA

Semi

3.50%

Semi

9/18/2025

CAD

233,500,000

43,849

3,595,689

3,639,538

Receive

1D

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

5,000,000

11,827

17,154

28,981

Receive

1D

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

500,000

1,537

(748)

789

Receive

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

21,200,000

161,739

57,839

219,578

Receive

1D

SARON

Annual

1.50%

Annual

12/22/2025

CHF

41,500,000

311,350

111,608

422,958

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

110,800,000

1,979,207

327,901

2,307,108

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

112,800,000

(2,213,329)

2,449,102

235,773

Receive

1D

SOFR

Annual

4.19%

Annual

12/22/2025

USD

199,800,000

(1,206,809)

1,844,318

637,509

125

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

4,900,000

$

(171,547)

$

172,487

$

940

Receive

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

42,400,000

37,281

1,893,761

1,931,042

Receive

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

23,000,000

(12,866)

1,902,540

1,889,674

Receive

1D

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

267,900,000

9,092,348

6,391,266

15,483,614

Receive

1D

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

3,412,700,000

356,804

(71,309)

285,495

Receive

1M

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

652,400,000

74,193

96,968

171,161

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

12,700,000

39,645

85,042

124,687

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

75,000,000

(230,552)

542,352

311,800

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

372,300,000

(541,216)

5,048,863

4,507,647

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

6,500,000

(46,968)

84,562

37,594

Receive

3M

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

40,700,000

(76,741)

159,556

82,815

Receive

3M

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

10,500,000

32,971

82,366

115,337

Receive

3M

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

41,200,000

94,448

100,276

194,724

Receive

3M

BBR

Qtrly

4.50%

Semi

9/13/2028

NZD

400,000

274

1,068

1,342

Receive

3M

BBR

Qtrly

4.00%

Semi

12/14/2033

NZD

8,700,000

136,626

45,216

181,842

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

21,359,300,000

314

40,961

41,275

Receive

3M

CD_KSDA

Qtrly

3.00%

Qtrly

12/20/2028

KRW

800,000,000

7,676

4,926

12,602

Receive

3M

HIBOR

Qtrly

4.00%

Qtrly

12/17/2025

HKD

150,600,000

31,483

93,587

125,070

Receive

3M

HIBOR

Qtrly

3.50%

Qtrly

12/20/2028

HKD

86,200,000

164,777

59,696

224,473

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

377,700,000

27,736

140,193

167,929

Receive

3M

JIBAR

Qtrly

7.50%

Qtrly

9/17/2025

ZAR

94,000,000

31,509

54,597

86,106

Receive

3M

JIBAR

Qtrly

8.50%

Qtrly

9/20/2028

ZAR

137,000,000

26,488

48,839

75,327

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

932,200,000

234,243

575,522

809,765

Receive

3M

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

555,700,000

(44,985)

407,512

362,527

Receive

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

7,100,000

3,532

6,296

9,828

Receive

3M

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

16,600,000

(9,630)

10,971

1,341

Receive

6M

BBR

Semi

4.00%

Semi

9/07/2028

AUD

200,000

(1,207)

3,009

1,802

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

5,900,000

109,836

19,461

129,297

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

43,100,000

(521,201)

580,010

58,809

Receive

6M

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

434,500,000

(2,253,421)

3,514,018

1,260,597

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

1,400,000

75,192

(11,324)

63,868

Receive

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

14,000,000

3,023

39,326

42,349

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

479,000,000

(115,113)

738,490

623,377

Receive

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

179,700,000

72,094

316,633

388,727

Receive

6M

NIBOR

Semi

3.50%

Annual

12/17/2025

NOK

5,000,000

2,752

7,052

9,804

Receive

6M

NIBOR

Semi

4.50%

Annual

12/17/2025

NOK

8,000,000

158

1,875

2,033

Receive

6M

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

803,300,000

82,504

807,102

889,606

Receive

6M

NIBOR

Semi

4.00%

Annual

12/20/2028

NOK

2,000,000

(770)

1,526

756

Receive

6M

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

151,300,000

37,606

292,913

330,519

8,824,916

30,991,594

39,816,510

Pay

1D

CORRA

Semi

3.00%

Semi

9/18/2028

CAD

85,500,000

271,515

(2,138,170)

(1,866,655)

Pay

1D

CORRA

Semi

3.00%

Semi

9/19/2033

CAD

3,400,000

(112,437)

26,871

(85,566)

Pay

1D

SARON

Annual

1.50%

Annual

12/20/2028

CHF

30,800,000

(440,817)

(61,949)

(502,766)

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

55,800,000

1,241,601

(1,389,218)

(147,617)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2028

USD

43,600,000

(1,421,042)

(146,882)

(1,567,924)

Pay

1D

SOFR

Annual

3.63%

Annual

12/20/2028

USD

99,100,000

972,528

(1,211,685)

(239,157)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

8,900,000

(381,791)

13,907

(367,884)

Pay

1D

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

286,100,000

(5,411,832)

(5,052,469)

(10,464,301)

Pay

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

17,000,000

(822,536)

(973,047)

(1,795,583)

Pay

1D

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

80,200,000

(3,696,371)

(1,256,094)

(4,952,465)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

770,000,000

(10,749)

950

(9,799)

Pay

1D

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

1,421,000,000

(26,269)

1,971

(24,298)

Pay

3M

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

26,400,000

127,015

(151,186)

(24,171)

Pay

3M

BBR

Qtrly

4.00%

Semi

9/14/2033

NZD

1,400,000

(18,771)

(13,611)

(32,382)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

210,400,000

11,919

(231,534)

(219,615)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

177,600,000

(185,129)

116,827

(68,302)

Pay

6M

BBR

Semi

3.50%

Semi

9/07/2028

AUD

117,600,000

(508,813)

(2,290,183)

(2,798,996)

126

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

BBR

Semi

4.00%

Semi

12/07/2028

AUD

21,100,000

$

(69,104)

$

(104,672)

$

(173,776)

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

22,300,000

(48,028)

(433,222)

(481,250)

Pay

6M

BBR

Semi

4.00%

Semi

12/08/2033

AUD

500,000

(7,600)

(2,981)

(10,581)

Pay

6M

EURIBOR

Semi

2.50%

Annual

9/20/2028

EUR

3,500,000

(125,557)

3,024

(122,533)

Pay

6M

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

516,500,000

(397,480)

(848,157)

(1,245,637)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

35,000,000

(70,812)

(150,490)

(221,302)

Pay

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

103,300,000

115,424

(375,902)

(260,478)

Pay

6M

PRIBOR

Semi

4.00%

Annual

12/20/2028

CZK

19,000,000

(6,273)

–

(6,273)

Receive

1D

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

2,900,000

(3,834)

440

(3,394)

Receive

1D

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

200,000

760

(2,544)

(1,784)

Receive

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

33,600,000

(329,826)

308,401

(21,425)

Receive

1D

SARON

Annual

2.00%

Annual

12/22/2025

CHF

19,600,000

(56,278)

41,571

(14,707)

Receive

1D

SARON

Annual

2.00%

Annual

12/20/2033

CHF

5,000,000

(60,618)

(55,657)

(116,275)

Receive

1D

SOFR

Annual

3.48%

Annual

12/20/2033

USD

20,900,000

(211,233)

140,220

(71,013)

Receive

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

300,000

(20)

(6)

(26)

Receive

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

200,000

50

(90)

(40)

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

12/20/2028

KRW

7,400,000,000

(42,510)

30,984

(11,526)

Receive

3M

JIBAR

Qtrly

9.00%

Qtrly

12/17/2025

ZAR

200,000

(46)

(60)

(106)

Receive

3M

JIBAR

Qtrly

9.00%

Qtrly

9/20/2028

ZAR

22,000,000

15,032

(25,634)

(10,602)

Receive

6M

BBR

Semi

4.50%

Semi

12/08/2033

AUD

5,300,000

(44,646)

15,562

(29,084)

Receive

6M

BUBOR

Semi

10.00%

Annual

9/17/2025

HUF

120,000,000

2,175

(5,618)

(3,443)

Receive

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

9,900,000

(329,113)

93,693

(235,420)

Receive

6M

PRIBOR

Semi

5.50%

Annual

9/17/2025

CZK

200,000

(26)

2

(24)

Receive

6M

PRIBOR

Semi

5.00%

Annual

12/17/2025

CZK

24,000,000

(5,639)

464

(5,175)

(12,087,181)

(16,126,174)

(28,213,355)

$

(3,262,265)

$

14,865,420

$

11,603,155

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

June

30,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

4.75%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.09%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.93%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.08%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.35%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

4.97%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.50%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.75%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.81%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.70%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

14.57%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.90%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.81%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.15%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

127

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

(46,077,150)

$

50,039

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

(11,213,730)

45,695

TAIEX

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/19/2023

TWD

(20,144,400)

10,784

106,518

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

07/21/2023

EUR

(6,046,638)

(28,641)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

7,941,250

(9,657)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

08/16/2023

BRL

81,507,520

(93,472)

(131,770)

$

(25,252)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

HSCEI

221

7/2023

HKD

$

8,958,735

$

(85,225)

LME

Aluminum

Base

Metal

2

7/2023

USD

106,063

(13,868)

LME

Aluminum

Base

Metal

2

7/2023

USD

105,877

(13,617)

LME

Aluminum

Base

Metal

12

7/2023

USD

637,689

(59,621)

LME

Aluminum

Base

Metal

18

7/2023

USD

949,725

(119,723)

LME

Aluminum

Base

Metal

23

7/2023

USD

1,216,125

(121,562)

LME

Aluminum

Base

Metal

41

7/2023

USD

2,169,771

(228,593)

LME

Aluminum

Base

Metal

47

7/2023

USD

2,496,147

(268,650)

LME

Aluminum

Base

Metal

117

7/2023

USD

6,189,095

(551,899)

LME

Copper

Base

Metal

3

7/2023

USD

624,266

(50,973)

LME

Copper

Base

Metal

4

7/2023

USD

832,405

(51,806)

LME

Copper

Base

Metal

6

7/2023

USD

1,248,413

(81,203)

LME

Copper

Base

Metal

9

7/2023

USD

1,872,844

(133,270)

LME

Copper

Base

Metal

11

7/2023

USD

2,288,908

(205,371)

LME

Copper

Base

Metal

12

7/2023

USD

2,496,615

(161,968)

LME

Copper

Base

Metal

14

7/2023

USD

2,912,935

(176,377)

LME

Copper

Base

Metal

20

7/2023

USD

4,161,150

(254,100)

LME

Copper

Base

Metal

29

7/2023

USD

6,035,625

(496,339)

LME

Copper

Base

Metal

50

7/2023

USD

10,403,425

(307,657)

LME

Copper

Base

Metal

53

7/2023

USD

11,027,338

(343,589)

128

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

1

7/2023

USD

$

52,538

$

(646)

LME

Lead

Base

Metal

4

7/2023

USD

210,150

(861)

LME

Lead

Base

Metal

9

7/2023

USD

472,838

(1,619)

LME

Lead

Base

Metal

13

7/2023

USD

696,638

11,178

LME

Lead

Base

Metal

15

7/2023

USD

793,913

(16,934)

LME

Lead

Base

Metal

21

7/2023

USD

1,114,208

(8,152)

LME

Lead

Base

Metal

25

7/2023

USD

1,316,688

(14,001)

LME

Lead

Base

Metal

26

7/2023

USD

1,365,975

(22,939)

LME

Lead

Base

Metal

28

7/2023

USD

1,471,050

(35,050)

LME

Lead

Base

Metal

29

7/2023

USD

1,523,588

(40,376)

LME

Nickel

Base

Metal

5

7/2023

USD

611,820

(141,640)

LME

Nickel

Base

Metal

10

7/2023

USD

1,221,008

(124,222)

LME

Nickel

Base

Metal

32

7/2023

USD

3,906,457

(475,167)

LME

Zinc

Base

Metal

4

7/2023

USD

238,225

(48,987)

LME

Zinc

Base

Metal

4

7/2023

USD

238,410

(38,397)

LME

Zinc

Base

Metal

21

7/2023

USD

1,253,569

(124,757)

LME

Zinc

Base

Metal

24

7/2023

USD

1,431,648

(225,413)

LME

Zinc

Base

Metal

31

7/2023

USD

1,848,298

(383,576)

LME

Zinc

Base

Metal

39

7/2023

USD

2,326,331

(453,997)

LME

Zinc

Base

Metal

49

7/2023

USD

2,922,544

(437,470)

RBOB

Gasoline

20

7/2023

USD

2,137,716

47,740

SGX

FTSE

China

A50

Index

1,168

7/2023

USD

14,416,624

93,722

SGX

NIFTY

50

Index

272

7/2023

USD

10,487,776

196,102

Ethanol

30

8/2023

USD

2,822,400

(193,772)

Feeder

Cattle

4

8/2023

USD

495,150

16,119

Live

Cattle

105

8/2023

USD

7,441,350

680,782

LME

Aluminum

Base

Metal

3

8/2023

USD

159,873

(14,380)

LME

Aluminum

Base

Metal

4

8/2023

USD

213,259

(7,753)

LME

Aluminum

Base

Metal

59

8/2023

USD

3,139,906

(338,921)

LME

Aluminum

Base

Metal

92

8/2023

USD

4,916,641

(286,977)

LME

Aluminum

Base

Metal

93

8/2023

USD

4,982,475

(200,280)

LME

Aluminum

Base

Metal

101

8/2023

USD

5,400,344

(198,406)

LME

Aluminum

Base

Metal

120

8/2023

USD

6,418,080

(255,006)

LME

Aluminum

Base

Metal

152

8/2023

USD

8,114,900

(590,038)

LME

Copper

Base

Metal

1

8/2023

USD

208,107

(6,346)

LME

Copper

Base

Metal

3

8/2023

USD

624,305

(15,097)

LME

Copper

Base

Metal

7

8/2023

USD

1,455,681

27,475

LME

Copper

Base

Metal

9

8/2023

USD

1,872,864

(72,285)

LME

Copper

Base

Metal

11

8/2023

USD

2,287,208

96,625

LME

Copper

Base

Metal

23

8/2023

USD

4,783,316

52,165

LME

Copper

Base

Metal

28

8/2023

USD

5,826,996

2,929

LME

Copper

Base

Metal

32

8/2023

USD

6,653,496

196,264

LME

Copper

Base

Metal

40

8/2023

USD

8,316,370

352,973

LME

Lead

Base

Metal

1

8/2023

USD

52,530

1,152

LME

Lead

Base

Metal

3

8/2023

USD

157,586

4,428

LME

Lead

Base

Metal

3

8/2023

USD

157,598

915

LME

Lead

Base

Metal

4

8/2023

USD

210,125

1,614

LME

Lead

Base

Metal

5

8/2023

USD

262,675

3,162

LME

Lead

Base

Metal

6

8/2023

USD

315,215

(8,481)

LME

Lead

Base

Metal

9

8/2023

USD

472,793

(5,993)

LME

Lead

Base

Metal

9

8/2023

USD

472,725

12,599

LME

Lead

Base

Metal

10

8/2023

USD

525,350

(10,803)

LME

Lead

Base

Metal

12

8/2023

USD

630,384

(9,557)

LME

Lead

Base

Metal

16

8/2023

USD

840,500

(1,409)

LME

Lead

Base

Metal

19

8/2023

USD

998,156

(10,570)

LME

Nickel

Base

Metal

2

8/2023

USD

245,248

(21,458)

129

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

3

8/2023

USD

$

368,254

$

(16,763)

LME

Nickel

Base

Metal

3

8/2023

USD

368,358

(9,649)

LME

Zinc

Base

Metal

13

8/2023

USD

776,467

(88,624)

LME

Zinc

Base

Metal

15

8/2023

USD

895,688

(89,478)

LME

Zinc

Base

Metal

18

8/2023

USD

1,075,500

58,447

LME

Zinc

Base

Metal

20

8/2023

USD

1,194,325

(27,894)

LME

Zinc

Base

Metal

39

8/2023

USD

2,329,519

(152,084)

LME

Zinc

Base

Metal

57

8/2023

USD

3,403,613

(326,812)

LME

Zinc

Base

Metal

76

8/2023

USD

4,539,005

(194,116)

SGX

Iron

Ore

117

8/2023

USD

1,276,119

(4,933)

Cocoa

153

9/2023

USD

5,130,090

489,330

Cocoa

173

9/2023

GBP

5,741,022

622,696

Copper

270

9/2023

USD

25,376,625

(577,337)

Crude

Palm

Oil

84

9/2023

MYR

1,704,746

54,028

Japan

10

Year

Bond

25

9/2023

JPY

25,759,728

(18,462)

KOSPI

200

Index

160

9/2023

KRW

10,336,584

(152,872)

LME

Aluminum

Base

Metal

11

9/2023

USD

590,150

(38,679)

LME

Aluminum

Base

Metal

12

9/2023

USD

645,150

(7,385)

LME

Aluminum

Base

Metal

13

9/2023

USD

699,075

(18,076)

LME

Aluminum

Base

Metal

27

9/2023

USD

1,448,435

(58,222)

LME

Aluminum

Base

Metal

30

9/2023

USD

1,610,940

(51,149)

LME

Aluminum

Base

Metal

69

9/2023

USD

3,711,338

659

LME

Aluminum

Base

Metal

80

9/2023

USD

4,292,000

(234,056)

LME

Aluminum

Base

Metal

116

9/2023

USD

6,216,875

(385,994)

LME

Aluminum

Base

Metal

127

9/2023

USD

6,814,344

(344,171)

LME

Aluminum

Base

Metal

376

9/2023

USD

20,186,500

(1,104,413)

LME

Copper

Base

Metal

2

9/2023

USD

415,881

978

LME

Copper

Base

Metal

6

9/2023

USD

1,248,113

1,215

LME

Copper

Base

Metal

10

9/2023

USD

2,078,875

(11,651)

LME

Copper

Base

Metal

10

9/2023

USD

2,078,750

(34,526)

LME

Copper

Base

Metal

10

9/2023

USD

2,080,000

(34,935)

LME

Copper

Base

Metal

11

9/2023

USD

2,287,313

14,400

LME

Copper

Base

Metal

19

9/2023

USD

3,948,913

(118,086)

LME

Copper

Base

Metal

24

9/2023

USD

4,988,400

(137,463)

LME

Copper

Base

Metal

25

9/2023

USD

5,197,188

50,247

LME

Copper

Base

Metal

30

9/2023

USD

6,239,250

(185,112)

LME

Copper

Base

Metal

58

9/2023

USD

12,059,650

113,777

LME

Copper

Base

Metal

60

9/2023

USD

12,476,805

6,118

LME

Copper

Base

Metal

200

9/2023

USD

41,585,000

(50,580)

LME

Lead

Base

Metal

2

9/2023

USD

105,135

3,705

LME

Lead

Base

Metal

2

9/2023

USD

105,170

2,593

LME

Lead

Base

Metal

2

9/2023

USD

105,118

3,613

LME

Lead

Base

Metal

6

9/2023

USD

315,119

328

LME

Lead

Base

Metal

7

9/2023

USD

368,034

11,190

LME

Lead

Base

Metal

9

9/2023

USD

472,581

1,182

LME

Lead

Base

Metal

11

9/2023

USD

577,481

2,152

LME

Lead

Base

Metal

16

9/2023

USD

840,400

34,508

LME

Lead

Base

Metal

19

9/2023

USD

999,756

15,290

LME

Lead

Base

Metal

19

9/2023

USD

999,756

785

LME

Lead

Base

Metal

20

9/2023

USD

1,052,375

(9,302)

LME

Lead

Base

Metal

23

9/2023

USD

1,210,231

18,166

LME

Lead

Base

Metal

23

9/2023

USD

1,207,213

18,316

LME

Lead

Base

Metal

28

9/2023

USD

1,471,148

(47,228)

LME

Lead

Base

Metal

127

9/2023

USD

6,675,438

19,475

LME

Nickel

Base

Metal

1

9/2023

USD

122,925

(3,344)

LME

Nickel

Base

Metal

1

9/2023

USD

123,015

(2,808)

130

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

1

9/2023

USD

$

123,061

$

(3,151)

LME

Nickel

Base

Metal

5

9/2023

USD

614,336

(29,127)

LME

Nickel

Base

Metal

9

9/2023

USD

1,106,950

(34,741)

LME

Nickel

Base

Metal

10

9/2023

USD

1,230,120

(113,425)

LME

Nickel

Base

Metal

14

9/2023

USD

1,720,788

(38,257)

LME

Nickel

Base

Metal

15

9/2023

USD

1,846,093

(18,302)

LME

Nickel

Base

Metal

16

9/2023

USD

1,969,351

(9,742)

LME

Nickel

Base

Metal

24

9/2023

USD

2,952,456

(374,452)

LME

Nickel

Base

Metal

30

9/2023

USD

3,688,445

(166,435)

LME

Nickel

Base

Metal

32

9/2023

USD

3,939,072

(37,342)

LME

Nickel

Base

Metal

93

9/2023

USD

11,444,022

(774,133)

LME

Zinc

Base

Metal

4

9/2023

USD

239,100

3,401

LME

Zinc

Base

Metal

10

9/2023

USD

597,715

24,111

LME

Zinc

Base

Metal

16

9/2023

USD

955,100

19,989

LME

Zinc

Base

Metal

16

9/2023

USD

956,284

41,399

LME

Zinc

Base

Metal

28

9/2023

USD

1,673,700

(57,611)

LME

Zinc

Base

Metal

31

9/2023

USD

1,850,506

(38,085)

LME

Zinc

Base

Metal

38

9/2023

USD

2,268,524

27,782

LME

Zinc

Base

Metal

39

9/2023

USD

2,330,387

88,309

LME

Zinc

Base

Metal

47

9/2023

USD

2,805,900

15,517

LME

Zinc

Base

Metal

60

9/2023

USD

3,586,500

(6,645)

LME

Zinc

Base

Metal

70

9/2023

USD

4,179,875

25,169

LME

Zinc

Base

Metal

193

9/2023

USD

11,528,131

8,777

MSCI

Emerging

Markets

E-Mini

Index

206

9/2023

USD

10,278,370

(186,475)

Nikkei

225

Index

29

9/2023

JPY

6,666,413

(31,813)

Robusta

Coffee

236

9/2023

USD

5,878,760

(315,079)

Rough

Rice

28

9/2023

USD

839,160

(33,755)

S&P

Midcap

400

E-Mini

Index

2

9/2023

USD

528,820

4,033

Silver

22

9/2023

USD

2,532,200

20,517

TOPIX

Index

49

9/2023

JPY

7,769,639

(18,639)

Canola

29

11/2023

CAD

322,410

11,319

Crude

Oil

95

11/2023

JPY

2,139,055

77,886

ECX

Emission

4

12/2023

EUR

388,816

(2,582)

(11,683,791)

Short

Contracts

Brent

Crude

Oil

(264)

7/2023

USD

(19,908,240)

(132,695)

CAC

40

10

Euro

Index

(175)

7/2023

EUR

(14,151,091)

(184,031)

CBOE

Volatility

Index

(15)

7/2023

USD

(225,165)

73,625

EURO

STOXX

50

Volatility

Index

(129)

7/2023

EUR

(209,740)

56,616

Hang

Seng

Index

(53)

7/2023

HKD

(6,360,203)

37,802

IBEX

35

Index

(72)

7/2023

EUR

(7,503,091)

(222,872)

LME

Aluminum

Base

Metal

(2)

7/2023

USD

(105,877)

13,317

LME

Aluminum

Base

Metal

(2)

7/2023

USD

(106,063)

13,880

LME

Aluminum

Base

Metal

(12)

7/2023

USD

(637,689)

62,705

LME

Aluminum

Base

Metal

(18)

7/2023

USD

(949,725)

121,392

LME

Aluminum

Base

Metal

(23)

7/2023

USD

(1,216,125)

115,524

LME

Aluminum

Base

Metal

(41)

7/2023

USD

(2,169,771)

252,216

LME

Aluminum

Base

Metal

(47)

7/2023

USD

(2,496,147)

251,666

LME

Aluminum

Base

Metal

(117)

7/2023

USD

(6,189,095)

550,808

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,266)

48,851

LME

Copper

Base

Metal

(4)

7/2023

USD

(832,405)

52,293

LME

Copper

Base

Metal

(6)

7/2023

USD

(1,248,413)

85,093

LME

Copper

Base

Metal

(9)

7/2023

USD

(1,872,844)

132,140

LME

Copper

Base

Metal

(11)

7/2023

USD

(2,288,908)

211,248

LME

Copper

Base

Metal

(12)

7/2023

USD

(2,496,615)

162,853

LME

Copper

Base

Metal

(14)

7/2023

USD

(2,912,935)

175,525

131

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(20)

7/2023

USD

$

(4,161,150)

$

268,297

LME

Copper

Base

Metal

(29)

7/2023

USD

(6,035,625)

477,326

LME

Copper

Base

Metal

(50)

7/2023

USD

(10,403,425)

299,767

LME

Copper

Base

Metal

(53)

7/2023

USD

(11,027,338)

327,738

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

750

LME

Lead

Base

Metal

(4)

7/2023

USD

(210,150)

752

LME

Lead

Base

Metal

(9)

7/2023

USD

(472,838)

876

LME

Lead

Base

Metal

(13)

7/2023

USD

(696,638)

(10,610)

LME

Lead

Base

Metal

(15)

7/2023

USD

(793,913)

11,173

LME

Lead

Base

Metal

(21)

7/2023

USD

(1,114,208)

11,862

LME

Lead

Base

Metal

(25)

7/2023

USD

(1,316,688)

6,059

LME

Lead

Base

Metal

(26)

7/2023

USD

(1,365,975)

27,232

LME

Lead

Base

Metal

(28)

7/2023

USD

(1,471,050)

29,676

LME

Lead

Base

Metal

(29)

7/2023

USD

(1,523,588)

38,711

LME

Nickel

Base

Metal

(5)

7/2023

USD

(611,820)

154,125

LME

Nickel

Base

Metal

(10)

7/2023

USD

(1,221,008)

138,382

LME

Nickel

Base

Metal

(32)

7/2023

USD

(3,906,457)

482,441

LME

Zinc

Base

Metal

(4)

7/2023

USD

(238,410)

39,978

LME

Zinc

Base

Metal

(4)

7/2023

USD

(238,225)

49,449

LME

Zinc

Base

Metal

(21)

7/2023

USD

(1,253,569)

127,772

LME

Zinc

Base

Metal

(24)

7/2023

USD

(1,431,648)

212,700

LME

Zinc

Base

Metal

(31)

7/2023

USD

(1,848,298)

383,611

LME

Zinc

Base

Metal

(39)

7/2023

USD

(2,326,331)

452,933

LME

Zinc

Base

Metal

(49)

7/2023

USD

(2,922,544)

466,738

MSCI

Singapore

Index

(636)

7/2023

SGD

(13,586,247)

(22,342)

Natural

Gas

(20)

7/2023

GBP

(718,266)

(9,681)

Natural

Gas

(50)

7/2023

EUR

(1,506,109)

(367,238)

Natural

Gas

(312)

7/2023

USD

(8,729,760)

(1,372,441)

NY

Harbor

ULSD

(159)

7/2023

USD

(16,345,073)

(558,499)

OMXS30

Index

(103)

7/2023

SEK

(2,212,017)

5,843

Rapeseed

(32)

7/2023

EUR

(785,228)

(51,750)

WTI

Crude

Oil

(301)

7/2023

USD

(21,262,640)

432,819

100

oz

Gold

(68)

8/2023

USD

(13,119,920)

(10,873)

CBOE

Volatility

Index

(17)

8/2023

USD

(278,805)

71,236

EURO

STOXX

50

Volatility

Index

(154)

8/2023

EUR

(271,392)

42,265

French

Base

Electricity

(7)

8/2023

EUR

(571,593)

74,597

Italian

Base

Electricity

(6)

8/2023

EUR

(592,328)

53,957

Lean

Hogs

(109)

8/2023

USD

(4,037,360)

(330,978)

LME

Aluminum

Base

Metal

(3)

8/2023

USD

(159,873)

14,274

LME

Aluminum

Base

Metal

(4)

8/2023

USD

(213,259)

9,281

LME

Aluminum

Base

Metal

(59)

8/2023

USD

(3,139,906)

315,845

LME

Aluminum

Base

Metal

(92)

8/2023

USD

(4,916,641)

269,825

LME

Aluminum

Base

Metal

(93)

8/2023

USD

(4,982,475)

200,701

LME

Aluminum

Base

Metal

(101)

8/2023

USD

(5,400,344)

176,028

LME

Aluminum

Base

Metal

(120)

8/2023

USD

(6,418,080)

256,054

LME

Aluminum

Base

Metal

(152)

8/2023

USD

(8,114,900)

630,820

LME

Copper

Base

Metal

(1)

8/2023

USD

(208,107)

7,002

LME

Copper

Base

Metal

(3)

8/2023

USD

(624,305)

13,043

LME

Copper

Base

Metal

(7)

8/2023

USD

(1,455,681)

(27,700)

LME

Copper

Base

Metal

(9)

8/2023

USD

(1,872,864)

62,156

LME

Copper

Base

Metal

(11)

8/2023

USD

(2,287,208)

(96,449)

LME

Copper

Base

Metal

(23)

8/2023

USD

(4,783,316)

(32,520)

LME

Copper

Base

Metal

(28)

8/2023

USD

(5,826,996)

(32,718)

LME

Copper

Base

Metal

(32)

8/2023

USD

(6,653,496)

(195,455)

LME

Copper

Base

Metal

(40)

8/2023

USD

(8,316,370)

(365,225)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,530)

(1,123)

132

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(3)

8/2023

USD

$

(157,586)

$

(4,438)

LME

Lead

Base

Metal

(3)

8/2023

USD

(157,598)

(1,025)

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,125)

(2,322)

LME

Lead

Base

Metal

(5)

8/2023

USD

(262,675)

(1,691)

LME

Lead

Base

Metal

(6)

8/2023

USD

(315,215)

6,070

LME

Lead

Base

Metal

(9)

8/2023

USD

(472,725)

(16,053)

LME

Lead

Base

Metal

(9)

8/2023

USD

(472,793)

4,859

LME

Lead

Base

Metal

(10)

8/2023

USD

(525,350)

12,124

LME

Lead

Base

Metal

(12)

8/2023

USD

(630,384)

6,634

LME

Lead

Base

Metal

(16)

8/2023

USD

(840,500)

2,458

LME

Lead

Base

Metal

(19)

8/2023

USD

(998,156)

15,511

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,248)

22,037

LME

Nickel

Base

Metal

(3)

8/2023

USD

(368,254)

15,299

LME

Nickel

Base

Metal

(3)

8/2023

USD

(368,358)

15,367

LME

Zinc

Base

Metal

(13)

8/2023

USD

(776,467)

91,396

LME

Zinc

Base

Metal

(15)

8/2023

USD

(895,688)

91,775

LME

Zinc

Base

Metal

(18)

8/2023

USD

(1,075,500)

(51,058)

LME

Zinc

Base

Metal

(20)

8/2023

USD

(1,194,325)

33,116

LME

Zinc

Base

Metal

(39)

8/2023

USD

(2,329,519)

159,804

LME

Zinc

Base

Metal

(57)

8/2023

USD

(3,403,613)

316,410

LME

Zinc

Base

Metal

(76)

8/2023

USD

(4,539,005)

221,371

Low

Sulphur

Gasoil

(263)

8/2023

USD

(18,475,750)

(800,729)

Milk

(29)

8/2023

USD

(861,880)

4,990

Mont

Belvieu

Propane

(120)

8/2023

USD

(2,725,783)

102,728

Natural

Gas

(90)

8/2023

USD

(2,441,237)

24,525

Phelix

De

Base

Electricity

(6)

8/2023

EUR

(516,533)

17,115

Australia

10

Year

Bond

(1,114)

9/2023

AUD

(86,409,919)

189,152

Australia

3

Year

Bond

(2,933)

9/2023

AUD

(206,439,154)

674,734

Canada

10

Year

Bond

(764)

9/2023

CAD

(70,676,128)

(16,724)

CBOE

Volatility

Index

(25)

9/2023

USD

(440,078)

117,596

Coffee

'C'

(108)

9/2023

USD

(6,439,500)

1,161,179

Corn

(727)

9/2023

USD

(17,756,975)

1,612,977

DAX

Index

(55)

9/2023

EUR

(24,414,509)

87,330

DJIA

CBOT

E-Mini

Index

(49)

9/2023

USD

(8,487,535)

(150,578)

Euro

STOXX

50

Index

(178)

9/2023

EUR

(8,598,721)

(105,251)

EURO

STOXX

50

Volatility

Index

(197)

9/2023

EUR

(365,443)

27,364

Euro-Bobl

(934)

9/2023

EUR

(117,949,794)

1,133,006

Euro-BTP

(419)

9/2023

EUR

(53,132,700)

(450,730)

Euro-Bund

(446)

9/2023

EUR

(65,102,542)

339,778

Euro-Buxl

(178)

9/2023

EUR

(27,138,319)

(511,639)

Euro-OAT

(429)

9/2023

EUR

(60,116,587)

155,946

Euro-Schatz

(2,575)

9/2023

EUR

(294,611,724)

1,941,548

Fcoj-a

(3)

9/2023

USD

(114,638)

948

French

Base

Electricity

(3)

9/2023

EUR

(1,242,713)

(84,603)

FTSE

100

Index

(420)

9/2023

GBP

(40,226,361)

129,398

FTSE/JSE

Top

40

Index

(99)

9/2023

ZAR

(3,736,029)

8,520

FTSE/MIB

Index

(51)

9/2023

EUR

(7,892,175)

(186,149)

Italian

Base

Electricity

(6)

9/2023

EUR

(2,204,849)

(310,405)

KC

HRW

Wheat

(13)

9/2023

USD

(520,000)

1,743

LME

Aluminum

Base

Metal

(11)

9/2023

USD

(590,150)

35,293

LME

Aluminum

Base

Metal

(12)

9/2023

USD

(645,150)

11,442

LME

Aluminum

Base

Metal

(13)

9/2023

USD

(699,075)

10,231

LME

Aluminum

Base

Metal

(27)

9/2023

USD

(1,448,435)

55,385

LME

Aluminum

Base

Metal

(30)

9/2023

USD

(1,610,940)

46,784

LME

Aluminum

Base

Metal

(69)

9/2023

USD

(3,711,338)

(7,237)

LME

Aluminum

Base

Metal

(80)

9/2023

USD

(4,292,000)

241,389

133

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(116)

9/2023

USD

$

(6,216,875)

$

400,583

LME

Aluminum

Base

Metal

(127)

9/2023

USD

(6,814,344)

327,357

LME

Aluminum

Base

Metal

(201)

9/2023

USD

(10,791,188)

285,219

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,881)

(3,486)

LME

Copper

Base

Metal

(6)

9/2023

USD

(1,248,113)

(5,641)

LME

Copper

Base

Metal

(10)

9/2023

USD

(2,080,000)

24,011

LME

Copper

Base

Metal

(10)

9/2023

USD

(2,078,750)

18,078

LME

Copper

Base

Metal

(10)

9/2023

USD

(2,078,875)

(7,857)

LME

Copper

Base

Metal

(11)

9/2023

USD

(2,287,313)

(22,616)

LME

Copper

Base

Metal

(19)

9/2023

USD

(3,948,913)

109,583

LME

Copper

Base

Metal

(24)

9/2023

USD

(4,988,400)

136,465

LME

Copper

Base

Metal

(25)

9/2023

USD

(5,197,188)

(44,070)

LME

Copper

Base

Metal

(30)

9/2023

USD

(6,239,250)

175,046

LME

Copper

Base

Metal

(58)

9/2023

USD

(12,059,650)

(145,378)

LME

Copper

Base

Metal

(60)

9/2023

USD

(12,476,805)

15,887

LME

Copper

Base

Metal

(96)

9/2023

USD

(19,960,800)

37,579

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,135)

(3,748)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,170)

(2,275)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,118)

(3,654)

LME

Lead

Base

Metal

(6)

9/2023

USD

(315,119)

(1,516)

LME

Lead

Base

Metal

(7)

9/2023

USD

(368,034)

(11,122)

LME

Lead

Base

Metal

(9)

9/2023

USD

(472,581)

(1,699)

LME

Lead

Base

Metal

(11)

9/2023

USD

(577,481)

(4,960)

LME

Lead

Base

Metal

(16)

9/2023

USD

(840,400)

(37,423)

LME

Lead

Base

Metal

(19)

9/2023

USD

(999,756)

(15,606)

LME

Lead

Base

Metal

(19)

9/2023

USD

(999,756)

(9,669)

LME

Lead

Base

Metal

(20)

9/2023

USD

(1,052,375)

2,822

LME

Lead

Base

Metal

(23)

9/2023

USD

(1,207,213)

(22,734)

LME

Lead

Base

Metal

(23)

9/2023

USD

(1,210,231)

(20,617)

LME

Lead

Base

Metal

(28)

9/2023

USD

(1,471,148)

52,016

LME

Lead

Base

Metal

(61)

9/2023

USD

(3,206,313)

(44,517)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,925)

3,792

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,061)

1,892

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,015)

3,330

LME

Nickel

Base

Metal

(5)

9/2023

USD

(614,336)

34,699

LME

Nickel

Base

Metal

(9)

9/2023

USD

(1,106,950)

39,984

LME

Nickel

Base

Metal

(10)

9/2023

USD

(1,230,120)

95,551

LME

Nickel

Base

Metal

(14)

9/2023

USD

(1,720,788)

48,463

LME

Nickel

Base

Metal

(15)

9/2023

USD

(1,846,093)

15,347

LME

Nickel

Base

Metal

(16)

9/2023

USD

(1,969,351)

(32,441)

LME

Nickel

Base

Metal

(24)

9/2023

USD

(2,952,456)

379,273

LME

Nickel

Base

Metal

(30)

9/2023

USD

(3,688,445)

168,687

LME

Nickel

Base

Metal

(32)

9/2023

USD

(3,939,072)

(11,715)

LME

Nickel

Base

Metal

(154)

9/2023

USD

(18,950,316)

493,921

LME

Zinc

Base

Metal

(4)

9/2023

USD

(239,100)

(2,262)

LME

Zinc

Base

Metal

(10)

9/2023

USD

(597,715)

(22,622)

LME

Zinc

Base

Metal

(16)

9/2023

USD

(955,100)

(17,747)

LME

Zinc

Base

Metal

(16)

9/2023

USD

(956,284)

(41,935)

LME

Zinc

Base

Metal

(28)

9/2023

USD

(1,673,700)

47,417

LME

Zinc

Base

Metal

(31)

9/2023

USD

(1,850,506)

51,862

LME

Zinc

Base

Metal

(38)

9/2023

USD

(2,268,524)

(12,967)

LME

Zinc

Base

Metal

(39)

9/2023

USD

(2,330,387)

(88,922)

LME

Zinc

Base

Metal

(47)

9/2023

USD

(2,805,900)

(25,189)

LME

Zinc

Base

Metal

(60)

9/2023

USD

(3,586,500)

(3,627)

LME

Zinc

Base

Metal

(70)

9/2023

USD

(4,179,875)

(18,869)

LME

Zinc

Base

Metal

(411)

9/2023

USD

(24,549,544)

(673,752)

134

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Long

Gilt

(437)

9/2023

GBP

$

(52,923,846)

$

65,949

MSCI

EAFE

E-Mini

Index

(178)

9/2023

USD

(19,183,950)

(117,622)

NASDAQ

100

E-Mini

Index

(6)

9/2023

USD

(1,840,440)

(40,612)

Palladium

(6)

9/2023

USD

(733,200)

174,274

Phelix

De

Base

Electricity

(5)

9/2023

EUR

(1,618,624)

(177,710)

Russell

2000

E-Mini

Index

(84)

9/2023

USD

(7,995,540)

(187,748)

S&P/TSX

60

Index

(140)

9/2023

CAD

(25,756,407)

(413,126)

SPI

200

Index

(185)

9/2023

AUD

(22,062,638)

(182,202)

Sugar

No.

11

(45)

9/2023

USD

(1,148,616)

126,677

U.S.

Treasury

10

Year

Note

(848)

9/2023

USD

(95,241,000)

861,484

U.S.

Treasury

2

Year

Note

(1,345)

9/2023

USD

(273,560,389)

2,075,957

U.S.

Treasury

5

Year

Note

(1,329)

9/2023

USD

(142,389,891)

1,543,142

U.S.

Treasury

Long

Bond

(526)

9/2023

USD

(66,867,750)

(103,523)

U.S.

Treasury

Ultra

Bond

(426)

9/2023

USD

(58,202,250)

(771,840)

Wheat

(46)

9/2023

ZAR

(801,158)

5,483

Wheat

(774)

9/2023

USD

(25,193,700)

(365,984)

White

Sugar

(18)

9/2023

USD

(565,380)

1,239

CBOE

Volatility

Index

(26)

10/2023

USD

(477,071)

77,212

Platinum

(11)

10/2023

USD

(502,260)

24,116

Rapeseed

(113)

10/2023

EUR

(2,812,909)

(90,603)

CBOE

Volatility

Index

(26)

11/2023

USD

(490,100)

46,361

Rubber

(57)

11/2023

JPY

(402,925)

13,526

Soybean

(356)

11/2023

USD

(23,909,850)

(2,341,029)

3

Month

Canadian

Bankers

Acceptance

(595)

12/2023

CAD

(106,081,572)

491,332

3

Month

Euro

Euribor

(310)

12/2023

EUR

(81,197,965)

193,654

90-Day

Australian

Bank

Bill

(701)

12/2023

AUD

(461,610,147)

357,385

90-Day

New

Zealand

Bill

(124)

12/2023

NZD

(75,018,533)

38,963

Cotton

No.

2

(408)

12/2023

USD

(16,395,480)

262,722

Italian

Base

Electricity

(1)

12/2023

EUR

(1,445,337)

16,346

Milling

Wheat

No.

2

(467)

12/2023

EUR

(6,070,496)

332,499

Phelix

De

Base

Electricity

(1)

12/2023

EUR

(1,377,475)

(239,289)

Soybean

Meal

(152)

12/2023

USD

(6,038,960)

(422,270)

Soybean

Oil

(82)

12/2023

USD

(2,901,324)

(337,170)

White

Maize

(117)

12/2023

ZAR

(2,375,900)

133,826

Yellow

Maize

(165)

12/2023

ZAR

(3,426,898)

224,619

3

Month

Canadian

Bankers

Acceptance

(554)

3/2024

CAD

(98,881,525)

632,846

3

Month

Euro

Euribor

(286)

3/2024

EUR

(74,935,077)

267,983

3

Month

SARON

(1)

3/2024

CHF

(273,714)

(155)

3

Month

SOFR

(297)

3/2024

USD

(70,277,625)

295,839

3

Month

SONIA

(241)

3/2024

GBP

(71,758,112)

1,247,088

90-Day

Australian

Bank

Bill

(707)

3/2024

AUD

(465,561,161)

483,287

90-Day

New

Zealand

Bill

(115)

3/2024

NZD

(69,582,096)

68,851

3

Month

Canadian

Bankers

Acceptance

(588)

6/2024

CAD

(105,183,091)

681,905

3

Month

Euro

Euribor

(296)

6/2024

EUR

(77,660,158)

344,284

3

Month

SARON

(8)

6/2024

CHF

(2,188,258)

(1,683)

3

Month

SOFR

(288)

6/2024

USD

(68,324,400)

379,251

3

Month

SONIA

(247)

6/2024

GBP

(73,552,463)

1,092,365

90-Day

Australian

Bank

Bill

(638)

6/2024

AUD

(420,185,950)

479,288

90-Day

New

Zealand

Bill

(113)

6/2024

NZD

(68,410,224)

43,081

3

Month

Canadian

Bankers

Acceptance

(577)

9/2024

CAD

(103,574,712)

338,079

3

Month

Euro

Euribor

(280)

9/2024

EUR

(73,607,442)

316,434

3

Month

SARON

(20)

9/2024

CHF

(5,470,365)

560

3

Month

SOFR

(258)

9/2024

USD

(61,439,475)

388,855

3

Month

SONIA

(237)

9/2024

GBP

(70,668,690)

1,192,940

90-Day

Australian

Bank

Bill

(664)

9/2024

AUD

(437,458,818)

449,029

3

Month

Euro

Euribor

(272)

12/2024

EUR

(71,652,775)

244,047

135

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SARON

(28)

12/2024

CHF

$

(7,663,203)

$

3,214

3

Month

SOFR

(259)

12/2024

USD

(61,933,375)

375,663

3

Month

SONIA

(223)

12/2024

GBP

(66,642,853)

1,102,358

3

Month

Euro

Euribor

(270)

3/2025

EUR

(71,240,083)

190,101

3

Month

SOFR

(273)

3/2025

USD

(65,516,588)

326,751

3

Month

SONIA

(224)

3/2025

GBP

(67,101,720)

983,795

3

Month

Euro

Euribor

(263)

6/2025

EUR

(69,489,976)

180,388

3

Month

SOFR

(285)

6/2025

USD

(68,563,875)

269,406

3

Month

SONIA

(229)

6/2025

GBP

(68,755,847)

879,418

3

Month

SOFR

(298)

9/2025

USD

(71,799,375)

230,076

3

Month

SONIA

(237)

9/2025

GBP

(71,319,580)

544,274

28,395,032

$

16,711,241

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

5,823,500

USD

3,866,720

CITI

9/20/2023

$

21,178

AUD

5,823,500

USD

3,866,701

JPMC

9/20/2023

21,197

CAD

48,740,000

USD

36,570,915

CITI

9/20/2023

266,164

CAD

48,740,000

USD

36,570,733

JPMC

9/20/2023

266,348

CLP

164,432,794

USD

201,242

CITI

**

9/20/2023

1,914

CLP

164,432,792

USD

201,241

JPMC

**

9/20/2023

1,915

CZK

50,000,000

USD

2,267,236

CITI

9/20/2023

20,064

CZK

50,000,000

USD

2,267,225

JPMC

9/20/2023

20,075

EUR

388,040,546

USD

418,126,239

CITI

9/20/2023

6,965,944

EUR

388,040,538

USD

418,124,140

JPMC

9/20/2023

6,968,035

GBP

69,219,995

USD

86,201,822

CITI

9/20/2023

1,725,858

GBP

69,219,989

USD

86,201,383

JPMC

9/20/2023

1,726,289

KRW

10,107,109,392

USD

7,682,049

CITI

**

9/20/2023

21,024

KRW

10,107,109,387

USD

7,682,011

JPMC

**

9/20/2023

21,062

MXN

230,056,125

USD

12,766,751

CITI

9/20/2023

474,551

MXN

230,056,123

USD

12,766,687

JPMC

9/20/2023

474,615

NOK

191,698,406

USD

17,757,172

CITI

9/20/2023

151,369

NOK

191,698,406

USD

17,757,083

JPMC

9/20/2023

151,457

NZD

5,374,500

USD

3,263,257

CITI

9/20/2023

33,981

NZD

5,374,500

USD

3,263,241

JPMC

9/20/2023

33,998

PHP

60,000,000

USD

1,077,597

CITI

**

9/20/2023

5,699

PHP

60,000,000

USD

1,077,592

JPMC

**

9/20/2023

5,704

PLN

41,918,508

USD

9,930,206

CITI

9/20/2023

339,769

PLN

41,918,508

USD

9,930,156

JPMC

9/20/2023

339,819

USD

122,774,113

EUR

111,221,000

CITI

9/20/2023

933,295

USD

122,774,727

EUR

111,221,000

JPMC

9/20/2023

933,909

USD

401,561

IDR

6,000,451,645

CITI

**

9/20/2023

3,119

USD

401,625

IDR

6,000,451,643

JPMC

**

9/20/2023

3,183

USD

294,671

ILS

1,083,140

CITI

9/20/2023

1,589

USD

294,673

ILS

1,083,140

JPMC

9/20/2023

1,591

USD

236,506,022

JPY

32,653,239,723

CITI

9/20/2023

7,423,105

USD

236,507,205

JPY

32,653,239,717

JPMC

9/20/2023

7,424,287

USD

259,570

MXN

4,500,000

CITI

9/20/2023

565

USD

259,572

MXN

4,500,000

JPMC

9/20/2023

566

136

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

23,298,073

SEK

249,343,844

CITI

9/20/2023

$

92,213

USD

23,298,189

SEK

249,343,843

JPMC

9/20/2023

92,330

USD

10,922,692

SGD

14,676,500

CITI

9/20/2023

38,226

USD

10,922,757

SGD

14,676,500

JPMC

9/20/2023

38,291

USD

29,855,475

TWD

911,972,025

CITI

**

9/20/2023

505,340

USD

29,855,624

TWD

911,972,024

JPMC

**

9/20/2023

505,490

Total

unrealized

appreciation

38,055,128

AUD

93,820,501

USD

63,453,765

CITI

9/20/2023

(817,116)

AUD

93,820,499

USD

63,453,446

JPMC

9/20/2023

(816,798)

CAD

51,038,500

USD

38,768,254

CITI

9/20/2023

(193,996)

CAD

51,038,500

USD

38,768,060

JPMC

9/20/2023

(193,804)

CLP

493,298,381

USD

613,614

CITI

**

9/20/2023

(4,147)

CLP

493,298,377

USD

613,611

JPMC

**

9/20/2023

(4,144)

EUR

3,099,000

USD

3,407,452

CITI

9/20/2023

(12,547)

EUR

3,099,000

USD

3,407,435

JPMC

9/20/2023

(12,530)

GBP

43,676,000

USD

55,804,912

CITI

9/20/2023

(324,855)

GBP

43,676,000

USD

55,804,633

JPMC

9/20/2023

(324,576)

HUF

800,000,000

USD

2,311,644

CITI

9/20/2023

(13,015)

HUF

800,000,000

USD

2,311,633

JPMC

9/20/2023

(13,003)

INR

635,000,000

USD

7,722,609

CITI

**

9/20/2023

(5,903)

INR

635,000,000

USD

7,722,571

JPMC

**

9/20/2023

(5,864)

KRW

24,467,773,476

USD

19,036,984

CITI

**

9/20/2023

(389,017)

KRW

24,467,773,477

USD

19,036,889

JPMC

**

9/20/2023

(388,922)

NOK

378,301,594

USD

35,900,753

CITI

9/20/2023

(559,672)

NOK

378,301,594

USD

35,900,574

JPMC

9/20/2023

(559,491)

NZD

6,280,500

USD

3,863,180

CITI

9/20/2023

(10,114)

NZD

6,280,500

USD

3,863,161

JPMC

9/20/2023

(10,095)

SEK

61,500,000

USD

5,751,373

CITI

9/20/2023

(27,709)

SEK

61,500,000

USD

5,751,344

JPMC

9/20/2023

(27,680)

SGD

56,893,000

USD

42,267,527

CITI

9/20/2023

(74,229)

SGD

56,893,000

USD

42,267,316

JPMC

9/20/2023

(74,018)

TWD

36,500,000

USD

1,199,138

CITI

**

9/20/2023

(24,453)

TWD

36,500,000

USD

1,199,132

JPMC

**

9/20/2023

(24,447)

USD

19,939,291

AUD

30,335,457

CITI

9/20/2023

(313,334)

USD

19,939,389

AUD

30,335,455

JPMC

9/20/2023

(313,234)

USD

1,123,772

BRL

5,684,153

CITI

**

9/20/2023

(46,700)

USD

1,123,778

BRL

5,684,153

JPMC

**

9/20/2023

(46,694)

USD

107,710,246

CAD

145,748,021

CITI

9/20/2023

(2,444,278)

USD

107,686,323

CAD

145,748,020

JPMC

9/20/2023

(2,468,200)

USD

43,534,486

CHF

39,061,003

CITI

9/20/2023

(468,938)

USD

43,534,697

CHF

39,060,997

JPMC

9/20/2023

(468,721)

USD

670,128

COP

2,991,288,813

CITI

**

9/20/2023

(31,679)

USD

670,482

COP

2,991,288,810

JPMC

**

9/20/2023

(31,326)

USD

8,290,410

CZK

183,066,500

CITI

9/20/2023

(84,151)

USD

8,290,451

CZK

183,066,500

JPMC

9/20/2023

(84,109)

USD

14,032,146

EUR

12,960,000

CITI

9/20/2023

(165,326)

USD

14,032,216

EUR

12,960,000

JPMC

9/20/2023

(165,256)

USD

821,296

GBP

649,500

CITI

9/20/2023

(3,740)

USD

821,300

GBP

649,500

JPMC

9/20/2023

(3,736)

USD

7,701,999

HUF

2,749,584,859

CITI

9/20/2023

(198,348)

USD

7,702,037

HUF

2,749,584,859

JPMC

9/20/2023

(198,309)

USD

136,078

ILS

504,860

CITI

9/20/2023

(529)

USD

136,079

ILS

504,860

JPMC

9/20/2023

(529)

USD

21,456,465

INR

1,779,408,854

CITI

**

9/20/2023

(167,434)

USD

21,456,573

INR

1,779,408,850

JPMC

**

9/20/2023

(167,327)

USD

29,869

KRW

39,302,448

CITI

**

9/20/2023

(85)

USD

29,869

KRW

39,302,446

JPMC

**

9/20/2023

(85)

USD

87,321,775

NOK

966,789,499

CITI

9/20/2023

(2,996,078)

137

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

87,322,212

NOK

966,789,497

JPMC

9/20/2023

$

(2,995,641)

USD

113,485,337

NZD

187,442,032

CITI

9/20/2023

(1,509,744)

USD

113,485,903

NZD

187,442,030

JPMC

9/20/2023

(1,509,176)

USD

6,673,506

PHP

375,753,097

CITI

**

9/20/2023

(110,690)

USD

6,673,540

PHP

375,753,095

JPMC

**

9/20/2023

(110,657)

USD

31,786,509

SEK

344,031,532

CITI

9/20/2023

(231,717)

USD

31,786,668

SEK

344,031,532

JPMC

9/20/2023

(231,559)

USD

85,590,151

ZAR

1,689,352,448

CITI

9/20/2023

(3,457,103)

USD

85,590,579

ZAR

1,689,352,448

JPMC

9/20/2023

(3,456,675)

ZAR

52,500,000

USD

2,807,528

CITI

9/20/2023

(40,207)

ZAR

52,500,000

USD

2,807,514

JPMC

9/20/2023

(40,193)

Total

unrealized

depreciation

(29,473,653)

Net

unrealized

appreciation

$

8,581,475

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

06/27/2025

$13,005,988

$45,308

$(71,340)

$(26,032)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

05/26/2025

$7,425,557

$(68,677)

$221,825

$153,148

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.23%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

06/27/2025

$7,041,042

$782

$126,216

$126,998

138

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.08%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/24/2026

-

06/29/2028

$149,585,528

$(73,171)

$173,117

$99,946

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Amada

Co.

Ltd.

96,900

956,002

36,327

36.3

Bank

of

Kyoto

Ltd.

(The)

19,800

990,701

73,119

73.2

Capcom

Co.

Ltd.

31,600

1,252,638

23,415

23.4

Disco

Corp.

6,200

982,985

67,230

67.3

Hirose

Electric

Co.

Ltd.

7,200

958,568

(966)

(1.0)

Japan

Tobacco,

Inc.

57,100

1,250,832

7,885

7.9

Lawson,

Inc.

22,900

1,015,380

27,933

27.9

Marubeni

Corp.

89,600

1,527,143

114,210

114.3

MISUMI

Group,

Inc.

53,600

1,079,133

(35,994)

(36.0)

Mitsubishi

Corp.

51,500

2,489,866

62,231

62.3

Mitsubishi

UFJ

Financial

Group,

Inc.

243,600

1,795,594

161,577

161.7

Mitsui

&

Co.

Ltd.

37,300

1,411,724

40,376

40.4

Nitto

Denko

Corp.

14,500

1,076,273

9,587

9.6

Obic

Co.

Ltd.

6,500

1,043,305

(22,048)

(22.1)

Panasonic

Holdings

Corp.

97,200

1,191,860

64,054

64.1

Recruit

Holdings

Co.

Ltd.

49,900

1,592,576

33,276

33.3

Renesas

Electronics

Corp.

53,100

1,002,120

70,867

70.9

Sega

Sammy

Holdings,

Inc.

73,400

1,572,433

90,326

90.4

Shin-Etsu

Chemical

Co.

Ltd.

33,500

1,119,502

68,963

69.0

Sojitz

Corp.

42,100

931,686

31,982

32.0

Toyo

Suisan

Kaisha

Ltd.

30,400

1,371,402

36,401

36.4

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(80,800)

(1,654,502)

(78,483)

(78.5)

ANA

Holdings,

Inc.

(53,400)

(1,272,004)

(117,369)

(117.4)

Asahi

Intecc

Co.

Ltd.

(63,700)

(1,254,123)

(62,190)

(62.2)

Asahi

Kasei

Corp.

(143,100)

(968,941)

(14,511)

(14.5)

Bridgestone

Corp.

(29,200)

(1,199,585)

(14,344)

(14.4)

Canon,

Inc.

(35,100)

(922,661)

(52,793)

(52.8)

Fast

Retailing

Co.

Ltd.

(4,100)

(1,051,547)

(49,100)

(49.1)

Honda

Motor

Co.

Ltd.

(32,300)

(978,492)

(27,366)

(27.4)

Ibiden

Co.

Ltd.

(20,400)

(1,160,708)

(78,326)

(78.4)

Isuzu

Motors

Ltd.

(90,400)

(1,096,664)

(6,877)

(6.9)

ITOCHU

Corp.

(32,100)

(1,275,062)

(81,782)

(81.8)

139

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

JSR

Corp.

(59,700)

(1,715,550)

(363,462)

(363.7)

KDDI

Corp.

(33,700)

(1,040,761)

(2,684)

(2.7)

Kose

Corp.

(12,100)

(1,163,166)

50,230

50.3

Kubota

Corp.

(95,900)

(1,403,868)

(66,076)

(66.1)

Nintendo

Co.

Ltd.

(27,300)

(1,244,561)

(90,846)

(90.9)

Nippon

Telegraph

&

Telephone

Corp.

(2,112,500)

(2,499,735)

(65,582)

(65.6)

Nippon

Yusen

KK

(57,400)

(1,274,777)

(51,156)

(51.2)

Nissan

Motor

Co.

Ltd.

(226,200)

(928,355)

(105,197)

(105.3)

NTT

Data

Group

Corp.

(66,500)

(932,390)

12,041

12.0

Rakuten

Group,

Inc.

(325,100)

(1,132,820)

111,722

111.8

Resonac

Holdings

Corp.

(59,900)

(973,148)

(43,983)

(44.0)

Sekisui

House

Ltd.

(86,600)

(1,749,285)

(91,045)

(91.1)

Seven

&

i

Holdings

Co.

Ltd.

(23,300)

(1,006,610)

(17,093)

(17.1)

Sharp

Corp.

(259,300)

(1,454,025)

14,964

15.0

SoftBank

Corp.

(161,200)

(1,722,471)

(19,602)

(19.6)

SUMCO

Corp.

(67,000)

(950,542)

(18,406)

(18.4)

Sumitomo

Electric

Industries

Ltd.

(81,100)

(993,652)

(46,329)

(46.4)

Yaskawa

Electric

Corp.

(27,700)

(1,277,056)

(51,533)

(51.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.21%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$778,476,132

$2,948,785

$(907,560)

$2,041,225

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Albemarle

Corp.

9,508

2,121,140

30,642

1.5

Alphabet,

Inc.

22,488

2,691,814

(56,895)

(2.8)

Amazon.com,

Inc.

29,757

3,879,123

206,216

10.1

Apple,

Inc.

16,837

3,265,873

219,049

10.7

Booking

Holdings,

Inc.

801

2,162,964

61,079

3.0

Builders

FirstSource,

Inc.

17,627

2,397,272

184,930

9.1

Cadence

Design

Systems,

Inc.

11,953

2,803,218

62,395

3.1

Cardinal

Health,

Inc.

30,023

2,839,275

232,545

11.4

Cheniere

Energy,

Inc.

26,551

4,045,310

194,941

9.6

CVS

Health

Corp.

36,162

2,499,879

(86,272)

(4.2)

Deere

&

Co.

8,859

3,589,578

216,398

10.6

Dick's

Sporting

Goods,

Inc.

16,227

2,145,047

(56,271)

(2.8)

Discover

Financial

Services

20,929

2,445,554

56,718

2.8

Enphase

Energy,

Inc.

14,843

2,485,906

(103,425)

(5.1)

140

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Fiserv,

Inc.

22,283

2,811,000

207,900

10.2

General

Motors

Co.

91,399

3,524,345

167,623

8.2

KLA

Corp.

5,847

2,835,912

113,256

5.5

LPL

Financial

Holdings,

Inc.

11,071

2,407,168

154,343

7.6

Marathon

Petroleum

Corp.

25,152

2,932,723

98,134

4.8

Mastercard,

Inc.

9,895

3,891,704

238,272

11.7

McDonald's

Corp.

12,815

3,824,124

148,910

7.3

McKesson

Corp.

7,056

3,015,099

234,849

11.5

Medpace

Holdings,

Inc.

9,077

2,180,023

264,161

12.9

Meta

Platforms,

Inc.

8,034

2,305,597

176,989

8.7

Microsoft

Corp.

9,838

3,350,233

135,273

6.6

NVIDIA

Corp.

8,650

3,659,123

305,518

15.0

PulteGroup,

Inc.

27,989

2,174,186

103,663

5.1

Roper

Technologies,

Inc.

6,588

3,167,510

191,052

9.4

Schlumberger

NV

51,560

2,532,627

88,247

4.3

Sherwin-Williams

Co.

(The)

8,807

2,338,435

218,061

10.7

Toll

Brothers,

Inc.

27,369

2,164,067

124,558

6.1

UnitedHealth

Group,

Inc.

4,797

2,305,630

(62,265)

(3.1)

Valero

Energy

Corp.

18,171

2,131,458

69,903

3.4

Short

Positions

Common

Stocks

United

States

3M

Co.

(31,363)

(3,139,123)

(5,959)

(0.3)

AbbVie,

Inc.

(19,276)

(2,597,055)

66,502

3.3

Atmos

Energy

Corp.

(22,098)

(2,570,881)

20,798

1.0

Coherent

Corp.

(43,322)

(2,208,556)

(493,537)

(24.2)

DuPont

de

Nemours,

Inc.

(31,979)

(2,284,580)

(56,603)

(2.8)

Envestnet,

Inc.

(38,139)

(2,263,550)

(196,225)

(9.6)

Hanesbrands,

Inc.

(518,217)

(2,352,705)

41,457

2.0

Honeywell

International,

Inc.

(16,364)

(3,395,530)

(157,258)

(7.7)

McCormick

&

Co.,

Inc.

(Non-Voting)

(25,788)

(2,249,487)

88,630

4.3

Medtronic

plc

(30,303)

(2,669,694)

(126,613)

(6.2)

MKS

Instruments,

Inc.

(21,701)

(2,345,878)

(151,377)

(7.4)

PepsiCo,

Inc.

(11,213)

(2,076,872)

(32,181)

(1.6)

Procter

&

Gamble

Co.

(The)

(19,496)

(2,958,323)

(122,097)

(6.0)

Seagate

Technology

Holdings

plc

(33,107)

(2,048,330)

(13,789)

(0.7)

Stanley

Black

&

Decker,

Inc.

(33,870)

(3,173,958)

(308,556)

(15.1)

United

Parcel

Service,

Inc.

(12,368)

(2,216,964)

(108,344)

(5.3)

Verizon

Communications,

Inc.

(109,676)

(4,078,850)

(176,044)

(8.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.59%

to

0.35%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

06/27/2025

$54,883,161

$(243,737)

$346,862

$103,125

141

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

121,924

1,311,177

35,216

34.1

ALS

Ltd.

81,857

611,647

3,103

3.0

Ampol

Ltd.

15,600

311,633

3,823

3.7

ANZ

Group

Holdings

Ltd.

51,975

822,753

34,384

33.3

Aristocrat

Leisure

Ltd.

73,532

1,902,480

47,971

46.5

Aurizon

Holdings

Ltd.

457,332

1,196,474

26,612

25.8

BlueScope

Steel

Ltd.

110,785

1,524,715

27,324

26.5

Brambles

Ltd.

107,122

1,030,039

26,014

25.2

Computershare

Ltd.

36,094

563,283

25,178

24.4

Incitec

Pivot

Ltd.

544,085

995,598

24,252

23.5

JB

Hi-Fi

Ltd.

46,091

1,348,932

73,201

71.0

Medibank

Pvt

Ltd.

235,454

553,076

(8,439)

(8.2)

Origin

Energy

Ltd.

517,171

2,906,787

2,539

2.5

Pilbara

Minerals

Ltd.

131,812

433,222

6,199

6.0

Qantas

Airways

Ltd.

730,219

3,026,113

78,314

75.9

Qube

Holdings

Ltd.

336,634

641,611

18,200

17.6

Sonic

Healthcare

Ltd.

46,944

1,116,406

30,964

30.0

South32

Ltd.

328,341

826,630

15,163

14.7

Suncorp

Group

Ltd.

117,538

1,056,105

8,479

8.2

Telstra

Group

Ltd.

317,237

910,058

(764)

(0.7)

Whitehaven

Coal

Ltd.

206,706

926,631

18,580

18.0

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(316,481)

(293,535)

(14,194)

(13.8)

APA

Group

(84,709)

(548,064)

12,275

11.9

carsales.com

Ltd.

(68,164)

(1,090,051)

(28,879)

(28.0)

Commonwealth

Bank

of

Australia

(30,518)

(2,043,082)

(52,208)

(50.6)

Domino's

Pizza

Enterprises

Ltd.

(49,252)

(1,531,093)

(103,292)

(100.2)

Endeavour

Group

Ltd.

(171,231)

(720,657)

(14,591)

(14.1)

Evolution

Mining

Ltd.

(185,834)

(404,595)

10,113

9.8

Fortescue

Metals

Group

Ltd.

(27,734)

(411,537)

(17,281)

(16.8)

IDP

Education

Ltd.

(103,941)

(1,539,243)

(46,814)

(45.4)

Insurance

Australia

Group

Ltd.

(183,061)

(696,160)

(18,140)

(17.6)

Lendlease

Corp.

Ltd.

(152,822)

(792,908)

(80,291)

(77.9)

Macquarie

Group

Ltd.

(3,571)

(424,906)

(14,202)

(13.8)

Mineral

Resources

Ltd.

(11,329)

(542,577)

(18,677)

(18.1)

National

Australia

Bank

Ltd.

(20,133)

(354,096)

(11,162)

(10.8)

NEXTDC

Ltd.

(177,892)

(1,500,122)

(42,539)

(41.2)

Pro

Medicus

Ltd.

(15,562)

(684,895)

(6,296)

(6.1)

QBE

Insurance

Group

Ltd.

(51,956)

(542,464)

(15,692)

(15.2)

REA

Group

Ltd.

(18,090)

(1,737,785)

(125,769)

(122.0)

Reece

Ltd.

(48,834)

(608,347)

(15,311)

(14.8)

Seven

Group

Holdings

Ltd.

(30,223)

(498,422)

(6,370)

(6.2)

Transurban

Group

(108,265)

(1,030,831)

1,217

1.2

Wesfarmers

Ltd.

(67,135)

(2,213,394)

(53,323)

(51.7)

Westpac

Banking

Corp.

(22,043)

(313,862)

(10,198)

(9.9)

WiseTech

Global

Ltd.

(15,534)

(833,217)

(33,525)

(32.5)

Woodside

Energy

Group

Ltd.

(51,034)

(1,180,497)

(32,442)

(31.5)

Woolworths

Group

Ltd.

(35,954)

(952,646)

(5,633)

(5.5)

142

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Worley

Ltd.

(41,298)

(436,078)

(6,912)

(6.7)

United

States

CSL

Ltd.

(17,403)

(3,222,667)

23,376

22.7

James

Hardie

Industries

plc

(64,255)

(1,714,064)

(51,149)

(49.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

or

CORRA

plus

or

minus

a

specified

spread

(-0.77%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

01/27/2025

-

07/25/2025

$78,701,656

$257,782

$948,042

$1,205,824

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

12,876

642,950

14,191

1.2

Air

Canada

95,325

1,798,205

148,707

12.3

Alamos

Gold,

Inc.

45,808

545,650

17,981

1.5

Alimentation

Couche-Tard,

Inc.

69,601

3,568,972

166,549

13.8

ARC

Resources

Ltd.

157,661

2,102,940

(67,837)

(5.6)

Atco

Ltd.

25,407

756,408

5,370

0.4

Bank

of

Nova

Scotia

(The)

17,203

860,702

29,088

2.4

Bombardier,

Inc.

14,259

702,967

28,108

2.3

Boralex,

Inc.

20,068

546,407

(4,545)

(0.4)

Brookfield

Corp.

43,533

1,465,614

105,156

8.7

CCL

Industries,

Inc.

10,866

534,134

24,689

2.0

Empire

Co.

Ltd.

37,749

1,072,274

23,366

1.9

Fairfax

Financial

Holdings

Ltd.

2,270

1,700,320

22,807

1.9

Finning

International,

Inc.

35,411

1,089,261

25,127

2.1

George

Weston

Ltd.

7,035

831,720

9,506

0.8

iA

Financial

Corp.,

Inc.

12,552

855,118

21,792

1.8

Imperial

Oil

Ltd.

16,989

869,231

25,136

2.1

Loblaw

Cos.

Ltd.

8,221

752,627

18,245

1.5

MEG

Energy

Corp.

67,345

1,067,556

35,585

3.0

Metro,

Inc.

16,444

928,734

21,350

1.8

National

Bank

of

Canada

14,991

1,116,899

27,724

2.3

Nutrien

Ltd.

11,194

660,866

(1,943)

(0.2)

Onex

Corp.

13,443

742,498

28,616

2.4

Open

Text

Corp.

32,047

1,332,923

56,607

4.7

Pembina

Pipeline

Corp.

29,969

942,222

29,635

2.5

Quebecor,

Inc.

21,584

531,963

17,433

1.4

Sun

Life

Financial,

Inc.

23,040

1,201,089

28,871

2.4

Toromont

Industries

Ltd.

8,763

719,892

38,631

3.2

143

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Tourmaline

Oil

Corp.

24,339

1,146,813

15,800

1.3

West

Fraser

Timber

Co.

Ltd.

22,724

1,952,231

113,899

9.4

Whitecap

Resources,

Inc.

179,901

1,258,866

25,802

2.1

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(215,826)

(1,783,955)

(5,367)

(0.4)

Bank

of

Montreal

(17,979)

(1,623,708)

(30,808)

(2.6)

Barrick

Gold

Corp.

(101,304)

(1,713,699)

(48,176)

(4.0)

BCE,

Inc.

(51,155)

(2,332,336)

(57,165)

(4.7)

CAE,

Inc.

(30,908)

(691,770)

(37,563)

(3.1)

Canadian

Imperial

Bank

of

Commerce

(59,645)

(2,546,534)

(9,905)

(0.8)

Canadian

Pacific

Kansas

City

Ltd.

(49,559)

(4,002,878)

(70,705)

(5.9)

Emera,

Inc.

(22,140)

(911,839)

(17,047)

(1.4)

Fortis,

Inc.

(27,860)

(1,200,625)

(21,241)

(1.8)

GFL

Environmental,

Inc.

(26,183)

(1,016,685)

(48,225)

(4.0)

Kinross

Gold

Corp.

(133,974)

(639,151)

(20,226)

(1.7)

Magna

International,

Inc.

(15,832)

(893,810)

(57,723)

(4.8)

Manulife

Financial

Corp.

(98,541)

(1,862,590)

(69,178)

(5.7)

Pan

American

Silver

Corp.

(88,880)

(1,294,874)

(4,026)

(0.3)

RB

Global,

Inc.

(10,472)

(628,439)

(33,517)

(2.8)

Rogers

Communications,

Inc.

(76,264)

(3,479,446)

(90,383)

(7.5)

Royal

Bank

of

Canada

(37,775)

(3,607,694)

(82,693)

(6.9)

Suncor

Energy,

Inc.

(81,683)

(2,396,076)

(41,312)

(3.4)

United

States

BRP,

Inc.

(11,313)

(956,364)

(62,340)

(5.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-5.00%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

07/25/2025

$31,001,109

$(161,067)

$118,718

$(42,349)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

94,440

3,715,350

83,186

(196.4)

Alcon,

Inc.

4,205

348,857

10,690

(25.2)

Barry

Callebaut

AG

(Registered)

309

597,013

14,951

(35.3)

Belimo

Holding

AG

(Registered)

229

114,457

8,051

(19.0)

Chocoladefabriken

Lindt

&

Spruengli

AG

50

628,649

18,628

(44.0)

144

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Clariant

AG

(Registered)

8,589

124,253

4,206

(9.9)

DKSH

Holding

AG

7,539

561,150

7,759

(18.3)

Galenica

AG

7,724

624,448

9,152

(21.6)

Georg

Fischer

AG

(Registered)

6,679

502,331

21,023

(49.6)

Helvetia

Holding

AG

(Registered)

5,738

777,696

(11,475)

27.1

Julius

Baer

Group

Ltd.

3,724

235,012

6,592

(15.6)

Novartis

AG

(Registered)

21,587

2,176,389

31,798

(75.1)

SGS

SA

(Registered)

3,237

306,223

6,628

(15.7)

Swatch

Group

AG

(The)

1,552

453,793

5,905

(13.9)

Swisscom

AG

(Registered)

3,378

2,108,348

13,728

(32.4)

Temenos

AG

(Registered)

3,951

314,601

11,252

(26.6)

UBS

Group

AG

(Registered)

39,808

806,855

25,861

(61.1)

United

States

Holcim

AG

11,109

748,827

12,252

(28.9)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(89,863)

(647,632)

(12,903)

30.5

Switzerland

Adecco

Group

AG

(Registered)

(34,963)

(1,145,086)

(30,238)

71.4

Bachem

Holding

AG

(7,830)

(683,682)

(22,474)

53.1

Baloise

Holding

AG

(Registered)

(2,304)

(338,900)

9,383

(22.2)

Banque

Cantonale

Vaudoise

(Registered)

(7,217)

(762,297)

(13,643)

32.2

Dufry

AG

(Registered)

(18,779)

(856,547)

(50,878)

120.1

EMS-Chemie

Holding

AG

(Registered)

(96)

(72,750)

(1,556)

3.7

Flughafen

Zurich

AG

(Registered)

(1,866)

(388,135)

(9,118)

21.5

Geberit

AG

(Registered)

(3,846)

(2,015,626)

(56,639)

133.7

Givaudan

SA

(Registered)

(315)

(1,044,837)

(995)

2.4

Lonza

Group

AG

(Registered)

(1,188)

(710,083)

(22,881)

54.0

Partners

Group

Holding

AG

(1,578)

(1,487,802)

(51,361)

121.3

Schindler

Holding

AG

(5,296)

(1,243,537)

(56,589)

133.6

SIG

Group

AG

(71,352)

(1,971,222)

(30,875)

72.9

Sika

AG

(Registered)

(1,203)

(344,540)

(17,530)

41.4

Sonova

Holding

AG

(Registered)

(792)

(211,335)

(5,548)

13.1

Straumann

Holding

AG

(Registered)

(2,981)

(484,729)

(25,775)

60.9

VAT

Group

AG

(1,372)

(568,302)

(25,817)

61.0

United

States

Roche

Holding

AG

(1,094)

(334,184)

(2,823)

6.7

Swiss

Re

AG

(5,415)

(545,631)

(12,994)

30.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

07/25/2025

$18,165,434

$108,415

$95,805

$204,220

145

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

304

534,507

3,448

1.7

Carlsberg

A/S

7,741

1,239,576

34,210

16.8

Danske

Bank

A/S

7,193

175,196

6,971

3.4

DSV

A/S

4,135

868,522

45,582

22.3

Genmab

A/S

4,288

1,624,971

(8,284)

(4.1)

ISS

A/S

54,834

1,159,989

40,567

19.9

Jyske

Bank

A/S

(Registered)

9,217

701,160

10,104

4.9

Novo

Nordisk

A/S

25,070

4,049,804

100,181

49.1

Pandora

A/S

12,456

1,113,338

43,986

21.5

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(10,399)

(170,475)

(3,749)

(1.8)

Coloplast

A/S

(3,877)

(485,153)

(9,141)

(4.5)

Demant

A/S

(8,876)

(375,694)

(10,820)

(5.3)

Novozymes

A/S

(42,420)

(1,979,279)

(19,759)

(9.7)

Orsted

A/S

(18,790)

(1,781,336)

(52,748)

(25.8)

ROCKWOOL

A/S

(3,369)

(871,247)

(58,806)

(28.8)

Royal

Unibrew

A/S

(6,060)

(542,451)

(13,286)

(6.5)

Tryg

A/S

(11,868)

(257,013)

2,140

1.0

Vestas

Wind

Systems

A/S

(8,866)

(235,723)

(2,181)

(1.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-1.75%

to

0.30%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

07/25/2025

$208,854,258

$313,407

$735,476

$1,048,883

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

de

Saint-Gobain

27,617

1,681,500

54,475

5.2

Dassault

Systemes

SE

44,189

1,958,058

60,397

5.8

Eiffage

SA

15,004

1,566,546

20,995

2.0

146

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Getlink

SE

107,444

1,828,467

12,961

1.2

Hermes

International

1,789

3,888,784

149,621

14.3

LVMH

Moet

Hennessy

Louis

Vuitton

SE

4,335

4,087,525

137,681

13.1

Renault

SA

32,026

1,351,291

105,170

10.0

Rexel

SA

89,796

2,219,212

78,231

7.5

Sodexo

SA

13,589

1,496,385

(20,187)

(1.9)

Vinci

SA

12,374

1,437,802

32,485

3.1

Germany

Bayerische

Motoren

Werke

AG

17,449

2,146,351

73,795

7.0

Commerzbank

AG

120,493

1,335,768

72,131

6.9

Deutsche

Lufthansa

AG

(Registered)

277,013

2,840,367

63,676

6.1

Heidelberg

Materials

AG

23,713

1,950,124

48,783

4.7

RWE

AG

40,495

1,764,623

16,540

1.6

Italy

Banco

BPM

SpA

290,410

1,348,906

85,648

8.2

Ferrari

NV

7,090

2,318,060

139,431

13.3

Prysmian

SpA

59,658

2,495,118

219,925

21.0

UniCredit

SpA

69,380

1,613,333

65,695

6.3

Netherlands

ASML

Holding

NV

1,796

1,302,690

35,802

3.4

Koninklijke

Ahold

Delhaize

NV

66,593

2,270,357

73,292

7.0

Wolters

Kluwer

NV

30,068

3,817,839

20,058

1.9

Singapore

STMicroelectronics

NV

28,220

1,407,427

66,979

6.4

Spain

Industria

de

Diseno

Textil

SA

81,165

3,148,212

143,125

13.6

United

States

Sanofi

15,360

1,653,593

13,713

1.3

Short

Positions

Common

Stocks

Belgium

UCB

SA

(21,740)

(1,927,435)

(8,848)

(0.8)

Finland

Fortum

OYJ

(117,846)

(1,577,073)

(8,231)

(0.8)

Kone

OYJ

(29,820)

(1,557,934)

(15,558)

(1.5)

France

Alstom

SA

(56,120)

(1,675,225)

(19,345)

(1.8)

Cie

Generale

des

Etablissements

Michelin

SCA

(78,185)

(2,312,816)

(56,222)

(5.4)

EssilorLuxottica

SA

(8,922)

(1,682,424)

(49,166)

(4.7)

Kering

SA

(2,743)

(1,514,682)

(10,918)

(1.0)

L'Oreal

SA

(4,258)

(1,986,255)

(109,370)

(10.4)

Societe

Generale

SA

(70,965)

(1,845,533)

(81,131)

(7.7)

TotalEnergies

SE

(31,600)

(1,813,986)

(1,272)

(0.1)

Germany

adidas

AG

(18,548)

(3,600,687)

(26,782)

(2.6)

Bayer

AG

(Registered)

(29,985)

(1,659,822)

(19,679)

(1.9)

Covestro

AG

(35,733)

(1,859,284)

74,712

7.1

Deutsche

Bank

AG

(Registered)

(143,954)

(1,513,355)

(71,651)

(6.8)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(60,932)

(2,912,009)

18,826

1.8

Italy

Enel

SpA

(218,462)

(1,472,964)

(23,578)

(2.2)

Luxembourg

Eurofins

Scientific

SE

(43,145)

(2,741,772)

(101,902)

(9.7)

Netherlands

Adyen

NV

(1,652)

(2,860,715)

(82,706)

(7.9)

Koninklijke

Philips

NV

(165,750)

(3,591,414)

(176,657)

(16.8)

147

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

(continued)

NN

Group

NV

(74,438)

(2,755,521)

(151,977)

(14.5)

Portugal

EDP

-

Energias

de

Portugal

SA

(293,457)

(1,434,320)

6,671

0.6

Spain

Grifols

SA

(130,578)

(1,675,163)

(40,128)

(3.8)

United

States

Schneider

Electric

SE

(14,140)

(2,568,909)

(111,596)

(10.6)

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference)

(32,981)

(2,637,697)

(42,900)

(4.1)

Sartorius

AG

(Preference)

(5,662)

(1,961,649)

(93,281)

(8.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.23%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2023

-

05/27/2025

$73,784,734

$388,448

$(232,589)

$155,859

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

154,469

875,822

17,749

11.4

Netherlands

Shell

plc

86,243

2,572,774

8,709

5.6

United

Kingdom

Associated

British

Foods

plc

35,725

904,660

25,828

16.6

AstraZeneca

plc

15,728

2,254,676

(851)

(0.5)

Auto

Trader

Group

plc

137,254

1,065,712

30,295

19.4

Aviva

plc

175,399

882,477

17,067

11.0

BAE

Systems

plc

170,760

2,013,474

21,784

14.0

BP

plc

440,127

2,562,586

(3,047)

(2.0)

British

American

Tobacco

plc

32,448

1,078,099

897

0.6

Centrica

plc

1,470,609

2,318,772

99,976

64.1

Compass

Group

plc

23,316

652,921

10,060

6.5

DS

Smith

plc

342,586

1,185,477

21,627

13.9

Howden

Joinery

Group

plc

75,876

619,935

11,117

7.1

HSBC

Holdings

plc

80,707

639,025

19,836

12.7

InterContinental

Hotels

Group

plc

32,589

2,252,765

87,344

56.0

Lloyds

Banking

Group

plc

1,119,021

620,328

24,011

15.4

Man

Group

plc

331,301

920,050

14,170

9.1

148

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

National

Grid

plc

42,995

570,044

4,077

2.6

Pearson

plc

115,397

1,209,803

13,041

8.4

Reckitt

Benckiser

Group

plc

20,526

1,542,547

(36,133)

(23.2)

RELX

plc

58,439

1,949,567

28,076

18.0

Rightmove

plc

93,248

619,470

25,214

16.2

Rolls-Royce

Holdings

plc

439,944

846,013

(19,456)

(12.5)

Sage

Group

plc

(The)

95,418

1,120,867

69,017

44.3

Spectris

plc

21,800

996,056

21,786

14.0

Standard

Chartered

plc

156,556

1,362,052

53,776

34.5

Tesco

plc

353,598

1,115,441

(15,315)

(9.8)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(14,572)

(926,046)

1,682

1.1

Chile

Antofagasta

plc

(69,569)

(1,293,737)

5,930

3.8

Hong

Kong

Prudential

plc

(70,656)

(997,903)

(31,926)

(20.5)

Italy

Coca-Cola

HBC

AG

(30,074)

(897,104)

(11,003)

(7.1)

Jordan

Hikma

Pharmaceuticals

plc

(29,573)

(711,667)

(29,619)

(19.0)

United

Kingdom

abrdn

plc

(528,800)

(1,468,472)

(76,967)

(49.4)

B&M

European

Value

Retail

SA

(139,116)

(985,266)

34,163

21.9

Bellway

plc

(24,249)

(613,137)

(3,987)

(2.6)

ConvaTec

Group

plc

(250,114)

(652,315)

13,469

8.6

Direct

Line

Insurance

Group

plc

(478,042)

(826,524)

67,147

43.1

International

Distributions

Services

plc

(253,282)

(711,966)

(22,689)

(14.6)

ITV

plc

(1,052,709)

(915,129)

(19,914)

(12.8)

J

Sainsbury

plc

(278,387)

(951,660)

(18,638)

(12.0)

Kingfisher

plc

(679,722)

(2,003,303)

(55,818)

(35.8)

Ocado

Group

plc

(95,998)

(694,682)

(47,788)

(30.7)

Pennon

Group

plc

(93,060)

(840,846)

17,186

11.0

Persimmon

plc

(84,651)

(1,102,978)

38,744

24.9

Rentokil

Initial

plc

(294,164)

(2,299,983)

17,759

11.4

Schroders

plc

(144,609)

(804,551)

(14,174)

(9.1)

Severn

Trent

plc

(45,235)

(1,474,674)

62,072

39.8

Smith

&

Nephew

plc

(36,022)

(581,155)

(14,338)

(9.2)

United

Utilities

Group

plc

(58,386)

(713,915)

22,694

14.6

Weir

Group

plc

(The)

(42,738)

(954,154)

(12,443)

(8.0)

149

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-3.50%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

06/25/2025

$26,437,013

$(53,280)

$208,695

$155,415

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

67,068

730,550

31,470

20.2

Sweden

Assa

Abloy

AB

11,586

278,492

13,693

8.8

Axfood

AB

38,774

820,603

16,747

10.8

Billerud

AB

53,976

410,788

(2,789)

(1.8)

Elekta

AB

14,081

108,935

4,539

2.9

Evolution

AB

11,310

1,433,246

15,688

10.1

Getinge

AB

6,763

118,648

4,900

3.2

Hexpol

AB

20,701

219,802

6,753

4.3

Nibe

Industrier

AB

72,391

688,319

29,203

18.8

Saab

AB

25,126

1,360,222

43,196

27.8

Sandvik

AB

18,542

362,018

9,241

5.9

SSAB

AB

237,945

1,649,942

(39,997)

(25.7)

Swedbank

AB

20,987

354,179

6,097

3.9

Telefonaktiebolaget

LM

Ericsson

163,361

887,589

63,767

41.0

Trelleborg

AB

33,201

805,765

(10,612)

(6.8)

Volvo

AB

71,806

1,486,027

62,031

39.9

Short

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

(8,922)

(136,522)

7,830

5.0

Sweden

Alfa

Laval

AB

(22,810)

(832,055)

(33,255)

(21.4)

Atlas

Copco

AB

(12,185)

(175,913)

(2,493)

(1.6)

Beijer

Ref

AB

(44,890)

(573,402)

(26,082)

(16.8)

Boliden

AB

(6,083)

(176,274)

(1,404)

(0.9)

Electrolux

AB

(56,937)

(778,074)

(37,679)

(24.2)

Embracer

Group

AB

(164,056)

(410,266)

431

0.3

Epiroc

AB

(5,413)

(102,532)

(1,403)

(0.9)

EQT

AB

(39,691)

(764,121)

(11,055)

(7.1)

Essity

AB

(48,888)

(1,301,969)

(1,505)

(1.0)

H

&

M

Hennes

&

Mauritz

AB

(9,188)

(158,009)

(24,585)

(15.8)

Hexagon

AB

(94,943)

(1,167,830)

(36,574)

(23.5)

Holmen

AB

(6,483)

(233,004)

(2,725)

(1.8)

Husqvarna

AB

(57,822)

(524,652)

(15,342)

(9.9)

Lifco

AB

(4,630)

(100,831)

(4,757)

(3.1)

150

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Securitas

AB

(177,087)

(1,454,549)

(70,409)

(45.3)

SKF

AB

(69,398)

(1,209,295)

(902)

(0.6)

Svenska

Cellulosa

AB

SCA

(40,642)

(518,795)

3,674

2.4

Svenska

Handelsbanken

AB

(189,052)

(1,582,791)

(29,407)

(18.9)

Swedish

Orphan

Biovitrum

AB

(22,455)

(438,889)

(7,309)

(4.7)

Tele2

AB

(39,237)

(324,502)

(982)

(0.6)

Telia

Co.

AB

(709,723)

(1,557,029)

(16,672)

(10.7)

United

States

Sinch

AB

(88,828)

(200,584)

5,398

3.5

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

12,475,361

$

12,475,361

CITG

Cash

–

2,412,968

2,412,968

CITI

Investment

Companies

22,623,874

–

22,623,874

GSCO

Cash

–

17,495,887

17,495,887

GSIN

Cash

(722,369)

–

(722,369)

U.S.

Treasury

Bills

48,712,183

–

48,712,183

JPMC

Investment

Companies

28,395,124

–

28,395,124

JPMS

Cash

–

3,770,299

3,770,299

MLIN

Cash

(1,985,306)

–

(1,985,306)

U.S.

Treasury

Bills

2,959,472

–

2,959,472

MSCL

Cash

–

9,877,131

9,877,131

MSCS

U.S.

Treasury

Bills

3,577,530

–

3,577,530

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

6,691,915

$

6,691,915

JPPC

Cash

–

5,741,967

5,741,967

MSCL

Cash

–

22,039,477

22,039,477

151

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

87.7%

INVESTMENT

COMPANIES

-

26.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(a)(b)

13,097,709

13,097,709

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)

28,453,320

28,441,939

TOTAL

INVESTMENT

COMPANIES

(Cost

$41,531,390)

41,539,648

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

61.7%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(c)

$

1,588,000

1,587,345

4.82%,

7/13/2023

(c)

757,000

755,947

4.79%,

8/3/2023

(c)

133,000

132,414

4.85%,

8/10/2023

(c)

7,326,000

7,286,310

4.96%,

8/17/2023

(c)

2,879,000

2,860,423

5.04%,

8/24/2023

(c)

6,414,000

6,366,009

5.07%,

8/31/2023

(c)

8,621,000

8,548,070

5.10%,

9/7/2023

(c)

12,835,000

12,714,169

4.81%,

9/14/2023

(c)(d)

3,374,000

3,338,690

4.76%,

9/28/2023

(c)(d)

3,077,000

3,038,630

4.91%,

10/12/2023

(c)(d)

526,000

518,347

4.99%,

10/19/2023

(c)(d)

18,780,000

18,486,963

4.96%,

10/26/2023

(c)(d)

8,486,000

8,345,038

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

61.7%

(continued)

5.02%,

11/2/2023

(c)(d)

$

3,227,000

3,170,099

5.01%,

11/9/2023

(c)

565,000

554,499

5.11%,

11/16/2023

(c)

3,559,000

3,489,354

5.31%,

11/24/2023

(c)

470,000

460,258

5.44%,

11/30/2023

(c)(d)

2,566,000

2,510,418

5.36%,

12/28/2023

(c)

15,139,000

14,747,046

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$98,939,639)

98,910,029

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$140,471,029)

140,449,677

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.7%

(Cost

$140,471,029)

140,449,677

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.3%

(e)

19,622,686

NET

ASSETS

-

100.0%

160,072,363

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

41,539,648

26.0

U.S.

Treasury

Obligations

98,910,029

61.7

Total

Investments

In

Securities

At

Value

$

140,449,677

87.7

Other

Assets

in

Excess

of

Liabilities

(e)

19,622,686

12.3

Net

Assets

$

160,072,363

100.0%

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

152

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

June

30,

2023

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Index

Series

39.V1

5.00

%

Quarterly

6/20/2028

4.00

%

EUR

685,000

$

19,233

$

11,511

$

30,744

iTraxx

Europe

Main

Index

Series

39.V1

1.00

Quarterly

6/20/2028

0.74

EUR

3,528,000

34,393

12,170

46,563

Markit

CDX

North

America

High

Yield

Index

Series

40.V1

5.00

Quarterly

6/20/2028

4.29

USD

446,000

9,379

3,759

13,138

Markit

CDX

North

America

Investment

Grade

Index

Series

40.V1

1.00

Quarterly

6/20/2028

0.66

USD

3,031,000

37,135

9,137

46,272

100,140

36,577

136,717

Markit

CDX

North

America

Emerging

Markets

Index

Series

39.V1

1.00

%

Quarterly

6/20/2028

2.13

%

USD

698,000

$

(38,188)

$

5,074

$

(33,114)

(38,188)

5,074

(33,114)

$

61,952

$

41,651

$

103,603

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

June

30,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2028

CHF

2,500,000

$

14,686

$

9,621

$

24,307

Pay

1D

SARON

Annual

2.00%

Annual

9/20/2033

CHF

500,000

5,591

5,970

11,561

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

700,000

23

17

40

Pay

1D

TONAR

Annual

0.50%

Annual

12/20/2028

JPY

909,300,000

60,304

6,861

67,165

Pay

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

4,200,000

1,131

26

1,157

Pay

1M

TIIE

Monthly

8.00%

Monthly

12/13/2028

MXN

10,000,000

8,187

(5,653)

2,534

Pay

3M

BBR

Qtrly

4.50%

Semi

9/14/2033

NZD

2,300,000

(14,715)

17,527

2,812

Pay

6M

EURIBOR

Semi

3.19%

Annual

12/20/2028

EUR

32,100,000

297,696

(214,889)

82,807

Pay

6M

PRIBOR

Semi

5.50%

Annual

9/17/2025

CZK

100,000

7

5

12

Pay

6M

PRIBOR

Semi

4.50%

Annual

12/20/2028

CZK

2,000,000

967

614

1,581

Pay

6M

WIBOR

Semi

6.00%

Annual

9/17/2025

PLN

200,000

10

500

510

Pay

6M

WIBOR

Semi

5.50%

Annual

12/17/2025

PLN

1,000,000

437

1,379

1,816

Pay

6M

WIBOR

Semi

5.00%

Annual

9/20/2028

PLN

100,000

(223)

364

141

Pay

6M

WIBOR

Semi

5.50%

Annual

9/20/2028

PLN

400,000

1,979

654

2,633

Pay

6M

WIBOR

Semi

5.00%

Annual

12/20/2028

PLN

400,000

1,353

(254)

1,099

Pay

6M

WIBOR

Semi

5.50%

Annual

12/20/2028

PLN

500,000

2,033

1,897

3,930

Receive

1D

CORRA

Semi

3.50%

Semi

9/18/2025

CAD

36,400,000

6,294

561,069

567,363

Receive

1D

CORRA

Semi

3.50%

Semi

12/18/2025

CAD

500,000

2,785

3,596

6,381

Receive

1D

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

800,000

3,486

1,151

4,637

Receive

1D

CORRA

Semi

3.50%

Semi

12/18/2028

CAD

100,000

229

(71)

158

Receive

1D

CORRA

Semi

3.00%

Semi

12/19/2033

CAD

100,000

1,918

269

2,187

Receive

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

3,700,000

21,153

17,169

38,322

Receive

1D

SARON

Annual

1.50%

Annual

12/22/2025

CHF

4,900,000

36,762

13,178

49,940

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

24,900,000

(480,747)

532,792

52,045

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

8,700,000

154,074

27,079

181,153

Receive

1D

SOFR

Annual

4.19%

Annual

12/22/2025

USD

33,300,000

(201,251)

307,503

106,252

Receive

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

1,600,000

(53,282)

53,589

307

Receive

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

11,400,000

26,927

492,268

519,195

Receive

1D

SONIA

Annual

3.50%

Annual

9/20/2028

GBP

3,400,000

(1,902)

281,245

279,343

153

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

1D

SONIA

Annual

3.82%

Annual

12/20/2028

GBP

42,300,000

$

1,435,389

$

1,009,392

$

2,444,781

Receive

1D

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

498,700,000

51,721

(10,001)

41,720

Receive

1M

TIIE

Monthly

8.50%

Monthly

12/17/2025

MXN

105,400,000

11,516

16,136

27,652

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

3,500,000

15,039

19,323

34,362

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

8,900,000

(36,382)

73,383

37,001

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

59,100,000

(82,937)

798,494

715,557

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

1,000,000

(7,662)

13,446

5,784

Receive

3M

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

7,700,000

(14,332)

30,000

15,668

Receive

3M

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

5,600,000

19,549

6,918

26,467

Receive

3M

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

3,500,000

10,936

27,510

38,446

Receive

3M

BBR

Qtrly

4.00%

Semi

12/14/2033

NZD

1,400,000

21,986

7,276

29,262

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

12/17/2025

KRW

3,420,700,000

6

6,589

6,595

Receive

3M

CD_KSDA

Qtrly

3.00%

Qtrly

12/20/2028

KRW

100,000,000

960

616

1,576

Receive

3M

HIBOR

Qtrly

4.00%

Qtrly

12/17/2025

HKD

26,400,000

6,821

14,968

21,789

Receive

3M

HIBOR

Qtrly

3.50%

Qtrly

12/20/2028

HKD

13,900,000

26,692

9,505

36,197

Receive

3M

JIBAR

Qtrly

8.00%

Qtrly

9/17/2025

ZAR

62,300,000

5,304

22,396

27,700

Receive

3M

JIBAR

Qtrly

7.50%

Qtrly

9/17/2025

ZAR

12,000,000

2,632

8,361

10,993

Receive

3M

JIBAR

Qtrly

8.50%

Qtrly

9/20/2028

ZAR

25,000,000

5,348

8,765

14,113

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

161,300,000

53,314

86,801

140,115

Receive

3M

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

85,300,000

(4,867)

60,515

55,648

Receive

3M

STIBOR

Qtrly

3.00%

Annual

9/20/2028

SEK

1,000,000

498

887

1,385

Receive

3M

STIBOR

Qtrly

3.00%

Annual

12/21/2033

SEK

2,600,000

(1,582)

1,807

225

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

900,000

(11,668)

12,896

1,228

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

1,200,000

22,313

3,985

26,298

Receive

6M

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

78,800,000

(401,486)

630,105

228,619

Receive

6M

EURIBOR

Semi

2.50%

Annual

9/20/2033

EUR

100,000

4,561

1

4,562

Receive

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

38,300,000

18,943

63,907

82,850

Receive

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

68,000,000

(16,888)

105,384

88,496

Receive

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

5,000,000

1,726

13,399

15,125

Receive

6M

NIBOR

Semi

4.00%

Annual

12/17/2025

NOK

122,100,000

13,367

121,851

135,218

Receive

6M

NIBOR

Semi

3.50%

Annual

12/17/2025

NOK

2,000,000

1,101

2,821

3,922

Receive

6M

NIBOR

Semi

4.50%

Annual

12/17/2025

NOK

2,000,000

(117)

625

508

Receive

6M

NIBOR

Semi

3.50%

Annual

12/21/2033

NOK

20,200,000

5,496

38,632

44,128

1,053,209

5,322,169

6,375,378

Pay

1D

CORRA

Semi

3.00%

Semi

9/18/2028

CAD

13,000,000

41,228

(325,047)

(283,819)

Pay

1D

CORRA

Semi

3.00%

Semi

12/18/2028

CAD

400,000

(3,712)

(3,559)

(7,271)

Pay

1D

CORRA

Semi

3.00%

Semi

9/19/2033

CAD

800,000

(26,533)

6,400

(20,133)

Pay

1D

SARON

Annual

1.50%

Annual

12/20/2028

CHF

3,800,000

(54,387)

(7,643)

(62,030)

Pay

1D

SOFR

Annual

3.75%

Annual

9/20/2028

USD

13,400,000

313,546

(348,996)

(35,450)

Pay

1D

SOFR

Annual

3.63%

Annual

12/20/2028

USD

17,600,000

178,841

(221,315)

(42,474)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

2,600,000

(106,856)

(616)

(107,472)

Pay

1D

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

45,700,000

(861,856)

(809,653)

(1,671,509)

Pay

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

3,800,000

(178,791)

(222,575)

(401,366)

Pay

1D

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

12,400,000

(578,716)

(187,002)

(765,718)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

120,000,000

(1,678)

151

(1,527)

Pay

1D

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

60,100,000

(1,123)

95

(1,028)

Pay

3M

BBR

Qtrly

4.50%

Semi

12/13/2028

NZD

4,000,000

19,245

(22,907)

(3,662)

Pay

3M

BBR

Qtrly

4.00%

Semi

9/14/2033

NZD

600,000

(10,395)

(3,483)

(13,878)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

12/20/2028

SEK

32,500,000

1,841

(35,765)

(33,924)

Pay

3M

STIBOR

Qtrly

3.00%

Annual

9/21/2033

SEK

29,600,000

(28,565)

17,181

(11,384)

Pay

6M

BBR

Semi

3.50%

Semi

9/07/2028

AUD

19,900,000

(83,732)

(389,907)

(473,639)

Pay

6M

BBR

Semi

4.00%

Semi

12/07/2028

AUD

2,700,000

(15,402)

(6,835)

(22,237)

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

3,000,000

(13,292)

(51,450)

(64,742)

Pay

6M

BBR

Semi

4.00%

Semi

12/08/2033

AUD

700,000

(6,651)

(8,161)

(14,812)

Pay

6M

NIBOR

Semi

3.50%

Annual

12/20/2028

NOK

81,200,000

(61,557)

(134,273)

(195,830)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/21/2033

NOK

2,000,000

(3,171)

(9,474)

(12,645)

Pay

6M

NIBOR

Semi

3.50%

Annual

9/21/2033

NOK

15,500,000

17,563

(56,648)

(39,085)

154

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

PRIBOR

Semi

4.00%

Annual

12/20/2028

CZK

4,000,000

$

(601)

$

(508)

$

(1,109)

Receive

1D

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

200,000

(265)

31

(234)

Receive

1D

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

200,000

(1,388)

(397)

(1,785)

Receive

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

6,200,000

(24,420)

20,467

(3,953)

Receive

1D

SARON

Annual

2.00%

Annual

12/22/2025

CHF

3,600,000

(9,708)

7,007

(2,701)

Receive

1D

SARON

Annual

2.00%

Annual

12/20/2033

CHF

400,000

(4,777)

(4,525)

(9,302)

Receive

1D

SOFR

Annual

3.48%

Annual

12/20/2033

USD

3,500,000

(36,784)

24,835

(11,949)

Receive

1D

TONAR

Annual

0.50%

Annual

9/20/2028

JPY

200,000

(5)

(12)

(17)

Receive

1M

TIIE

Monthly

9.50%

Monthly

9/17/2025

MXN

400,000

99

(180)

(81)

Receive

3M

CD_KSDA

Qtrly

3.50%

Qtrly

12/20/2028

KRW

1,300,000,000

(6,840)

4,950

(1,890)

Receive

3M

JIBAR

Qtrly

9.00%

Qtrly

9/20/2028

ZAR

3,000,000

2,050

(3,496)

(1,446)

Receive

6M

BBR

Semi

4.50%

Semi

12/08/2033

AUD

1,100,000

(9,123)

3,087

(6,036)

Receive

6M

BUBOR

Semi

10.00%

Annual

9/17/2025

HUF

100,000,000

1,812

(4,682)

(2,870)

Receive

6M

EURIBOR

Semi

3.25%

Annual

9/20/2028

EUR

100,000

(1,007)

816

(191)

Receive

6M

PRIBOR

Semi

5.00%

Annual

12/17/2025

CZK

4,400,000

(1,034)

243

(791)

(1,556,144)

(2,773,846)

(4,329,990)

$

(502,935)

$

2,548,323

$

2,045,388

Abbreviations:

1D:

1

Day

1M:

1

Month

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

June

30,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

4.75%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.09%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.93%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.08%

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

11.50%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.35%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

4.97%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

8.50%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

3.75%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.81%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.70%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

14.57%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.90%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.81%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

7.15%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

6.85%

155

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

(5,642,100)

$

7,012

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

(1,812,320)

7,435

TAIEX

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/19/2023

TWD

(3,357,400)

1,797

16,244

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/21/2023

EUR

(930,252)

(4,114)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2023

HKD

952,950

(1,441)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

08/16/2023

BRL

13,784,360

(14,061)

(19,616)

$

(3,372)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

HSCEI

37

7/2023

HKD

$

1,499,879

$

(13,505)

LME

Aluminum

Base

Metal

1

7/2023

USD

52,939

(6,808)

LME

Aluminum

Base

Metal

1

7/2023

USD

53,031

(6,934)

LME

Aluminum

Base

Metal

3

7/2023

USD

159,422

(14,905)

LME

Aluminum

Base

Metal

3

7/2023

USD

158,288

(19,634)

LME

Aluminum

Base

Metal

4

7/2023

USD

211,500

(21,149)

LME

Aluminum

Base

Metal

7

7/2023

USD

370,449

(39,028)

LME

Aluminum

Base

Metal

8

7/2023

USD

424,876

(45,728)

LME

Aluminum

Base

Metal

17

7/2023

USD

899,270

(80,190)

LME

Copper

Base

Metal

1

7/2023

USD

208,051

(15,229)

LME

Copper

Base

Metal

1

7/2023

USD

208,069

(13,534)

LME

Copper

Base

Metal

1

7/2023

USD

208,094

(14,259)

LME

Copper

Base

Metal

2

7/2023

USD

416,134

(25,197)

LME

Copper

Base

Metal

2

7/2023

USD

416,165

(37,340)

LME

Copper

Base

Metal

3

7/2023

USD

624,173

(38,115)

LME

Copper

Base

Metal

4

7/2023

USD

832,500

(68,461)

LME

Copper

Base

Metal

8

7/2023

USD

1,664,504

(51,892)

LME

Copper

Base

Metal

9

7/2023

USD

1,872,617

(55,382)

LME

Lead

Base

Metal

1

7/2023

USD

52,538

(115)

LME

Lead

Base

Metal

1

7/2023

USD

53,588

860

156

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

1

7/2023

USD

$

52,538

$

(215)

LME

Lead

Base

Metal

3

7/2023

USD

158,003

(1,680)

LME

Lead

Base

Metal

3

7/2023

USD

158,783

(3,387)

LME

Lead

Base

Metal

4

7/2023

USD

212,230

(1,553)

LME

Lead

Base

Metal

4

7/2023

USD

210,150

(5,007)

LME

Lead

Base

Metal

5

7/2023

USD

262,688

(6,961)

LME

Lead

Base

Metal

5

7/2023

USD

262,688

(3,168)

LME

Nickel

Base

Metal

1

7/2023

USD

122,364

(28,328)

LME

Nickel

Base

Metal

3

7/2023

USD

366,230

(46,399)

LME

Nickel

Base

Metal

3

7/2023

USD

366,302

(37,357)

LME

Zinc

Base

Metal

3

7/2023

USD

178,956

(28,177)

LME

Zinc

Base

Metal

4

7/2023

USD

238,775

(23,694)

LME

Zinc

Base

Metal

5

7/2023

USD

298,113

(61,867)

LME

Zinc

Base

Metal

6

7/2023

USD

357,897

(69,846)

LME

Zinc

Base

Metal

8

7/2023

USD

477,150

(71,424)

RBOB

Gasoline

1

7/2023

USD

106,886

3,626

SGX

FTSE

China

A50

Index

184

7/2023

USD

2,271,112

12,446

SGX

NIFTY

50

Index

44

7/2023

USD

1,696,552

31,431

Ethanol

5

8/2023

USD

470,400

(44,003)

Feeder

Cattle

1

8/2023

USD

123,788

4,030

Live

Cattle

22

8/2023

USD

1,559,140

144,832

LME

Aluminum

Base

Metal

2

8/2023

USD

106,606

(7,771)

LME

Aluminum

Base

Metal

2

8/2023

USD

106,582

(9,587)

LME

Aluminum

Base

Metal

4

8/2023

USD

213,259

(7,753)

LME

Aluminum

Base

Metal

7

8/2023

USD

372,531

(40,211)

LME

Aluminum

Base

Metal

15

8/2023

USD

803,625

(32,303)

LME

Aluminum

Base

Metal

15

8/2023

USD

801,626

(46,790)

LME

Aluminum

Base

Metal

16

8/2023

USD

855,500

(31,431)

LME

Aluminum

Base

Metal

19

8/2023

USD

1,016,196

(40,376)

LME

Aluminum

Base

Metal

25

8/2023

USD

1,334,688

(97,114)

LME

Copper

Base

Metal

1

8/2023

USD

207,954

3,925

LME

Copper

Base

Metal

1

8/2023

USD

208,096

(8,032)

LME

Copper

Base

Metal

2

8/2023

USD

415,856

17,568

LME

Copper

Base

Metal

2

8/2023

USD

416,214

(10,723)

LME

Copper

Base

Metal

3

8/2023

USD

624,321

(1,537)

LME

Copper

Base

Metal

4

8/2023

USD

831,881

8,664

LME

Copper

Base

Metal

5

8/2023

USD

1,039,609

30,666

LME

Copper

Base

Metal

7

8/2023

USD

1,455,365

61,770

LME

Lead

Base

Metal

1

8/2023

USD

52,535

632

LME

Lead

Base

Metal

1

8/2023

USD

52,536

(1,414)

LME

Lead

Base

Metal

1

8/2023

USD

52,533

305

LME

Lead

Base

Metal

1

8/2023

USD

52,530

1,152

LME

Lead

Base

Metal

2

8/2023

USD

105,070

(2,161)

LME

Lead

Base

Metal

2

8/2023

USD

105,065

(1,332)

LME

Lead

Base

Metal

2

8/2023

USD

105,050

2,800

LME

Lead

Base

Metal

3

8/2023

USD

157,594

(699)

LME

Lead

Base

Metal

4

8/2023

USD

210,138

(2,056)

LME

Nickel

Base

Metal

1

8/2023

USD

122,624

(10,729)

LME

Nickel

Base

Metal

1

8/2023

USD

122,786

(3,216)

LME

Nickel

Base

Metal

1

8/2023

USD

122,751

(5,588)

LME

Zinc

Base

Metal

2

8/2023

USD

119,463

(12,543)

LME

Zinc

Base

Metal

2

8/2023

USD

119,457

(13,634)

LME

Zinc

Base

Metal

3

8/2023

USD

179,138

(18,102)

LME

Zinc

Base

Metal

3

8/2023

USD

179,250

9,741

LME

Zinc

Base

Metal

4

8/2023

USD

238,865

(5,579)

LME

Zinc

Base

Metal

5

8/2023

USD

298,656

(17,327)

157

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

8

8/2023

USD

$

477,700

$

(45,868)

LME

Zinc

Base

Metal

12

8/2023

USD

716,685

(30,799)

SGX

Iron

Ore

19

8/2023

USD

207,233

2,885

Cocoa

25

9/2023

USD

838,250

78,642

Cocoa

26

9/2023

GBP

862,813

93,664

Copper

56

9/2023

USD

5,263,300

(135,367)

Crude

Palm

Oil

14

9/2023

MYR

284,124

8,892

Japan

10

Year

Bond

4

9/2023

JPY

4,121,557

(3,138)

KOSPI

200

Index

26

9/2023

KRW

1,679,695

(17,807)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,525

(1,231)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,550

(2,781)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,300

(7,005)

LME

Aluminum

Base

Metal

3

9/2023

USD

161,125

(6,378)

LME

Aluminum

Base

Metal

4

9/2023

USD

214,583

(8,625)

LME

Aluminum

Base

Metal

12

9/2023

USD

643,800

(35,606)

LME

Aluminum

Base

Metal

19

9/2023

USD

1,019,469

(51,490)

LME

Aluminum

Base

Metal

19

9/2023

USD

1,018,281

(63,354)

LME

Aluminum

Base

Metal

59

9/2023

USD

3,167,563

(174,459)

LME

Copper

Base

Metal

1

9/2023

USD

207,938

1,309

LME

Copper

Base

Metal

1

9/2023

USD

207,875

(3,453)

LME

Copper

Base

Metal

1

9/2023

USD

208,019

202

LME

Copper

Base

Metal

2

9/2023

USD

416,000

(6,987)

LME

Copper

Base

Metal

2

9/2023

USD

415,775

(2,330)

LME

Copper

Base

Metal

3

9/2023

USD

623,513

(9,038)

LME

Copper

Base

Metal

5

9/2023

USD

1,039,875

(29,429)

LME

Copper

Base

Metal

9

9/2023

USD

1,871,325

16,592

LME

Copper

Base

Metal

9

9/2023

USD

1,871,521

1,946

LME

Copper

Base

Metal

29

9/2023

USD

6,029,825

3,715

LME

Lead

Base

Metal

1

9/2023

USD

52,520

55

LME

Lead

Base

Metal

1

9/2023

USD

52,498

196

LME

Lead

Base

Metal

2

9/2023

USD

105,018

263

LME

Lead

Base

Metal

2

9/2023

USD

105,082

(3,744)

LME

Lead

Base

Metal

2

9/2023

USD

105,238

1,610

LME

Lead

Base

Metal

3

9/2023

USD

157,575

6,317

LME

Lead

Base

Metal

3

9/2023

USD

157,655

(3,754)

LME

Lead

Base

Metal

3

9/2023

USD

157,856

(1,395)

LME

Lead

Base

Metal

4

9/2023

USD

209,950

3,260

LME

Lead

Base

Metal

4

9/2023

USD

210,475

3,159

LME

Lead

Base

Metal

4

9/2023

USD

210,475

165

LME

Lead

Base

Metal

20

9/2023

USD

1,051,250

3,082

LME

Nickel

Base

Metal

1

9/2023

USD

122,867

(5,825)

LME

Nickel

Base

Metal

1

9/2023

USD

123,061

(3,151)

LME

Nickel

Base

Metal

1

9/2023

USD

122,994

(3,860)

LME

Nickel

Base

Metal

1

9/2023

USD

123,015

(2,808)

LME

Nickel

Base

Metal

2

9/2023

USD

246,024

(22,685)

LME

Nickel

Base

Metal

2

9/2023

USD

245,827

(5,465)

LME

Nickel

Base

Metal

3

9/2023

USD

369,219

(3,660)

LME

Nickel

Base

Metal

3

9/2023

USD

369,253

(1,490)

LME

Nickel

Base

Metal

4

9/2023

USD

492,076

(62,409)

LME

Nickel

Base

Metal

5

9/2023

USD

614,741

(27,626)

LME

Nickel

Base

Metal

15

9/2023

USD

1,845,810

(129,197)

LME

Zinc

Base

Metal

2

9/2023

USD

119,543

4,812

LME

Zinc

Base

Metal

3

9/2023

USD

179,303

7,757

LME

Zinc

Base

Metal

5

9/2023

USD

298,875

(10,695)

LME

Zinc

Base

Metal

6

9/2023

USD

358,188

4,387

LME

Zinc

Base

Metal

8

9/2023

USD

478,028

18,204

158

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

12

9/2023

USD

$

717,300

$

(891)

LME

Zinc

Base

Metal

15

9/2023

USD

895,406

(15,351)

LME

Zinc

Base

Metal

23

9/2023

USD

1,373,819

(6,447)

MSCI

Emerging

Markets

E-Mini

Index

34

9/2023

USD

1,696,430

(30,691)

Nikkei

225

Index

5

9/2023

JPY

1,149,381

(6,131)

Robusta

Coffee

39

9/2023

USD

971,490

(52,071)

Rough

Rice

5

9/2023

USD

149,850

(5,119)

S&P

Midcap

400

E-Mini

Index

1

9/2023

USD

264,410

2,016

Silver

4

9/2023

USD

460,400

3,315

TOPIX

Index

8

9/2023

JPY

1,268,512

(3,100)

Platinum

6

10/2023

USD

273,960

(13,170)

Canola

5

11/2023

CAD

55,588

1,952

Crude

Oil

16

11/2023

JPY

360,262

13,667

ECX

Emission

1

12/2023

EUR

97,204

(4,718)

(1,872,565)

Short

Contracts

Brent

Crude

Oil

(42)

7/2023

USD

(3,167,220)

(20,363)

CAC

40

10

Euro

Index

(28)

7/2023

EUR

(2,264,175)

(29,535)

CBOE

Volatility

Index

(2)

7/2023

USD

(30,022)

7,099

EURO

STOXX

50

Volatility

Index

(22)

7/2023

EUR

(35,770)

9,694

Hang

Seng

Index

(11)

7/2023

HKD

(1,320,042)

10,365

IBEX

35

Index

(11)

7/2023

EUR

(1,146,306)

(34,017)

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,031)

6,940

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(52,939)

6,659

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(159,422)

15,676

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(158,288)

19,864

LME

Aluminum

Base

Metal

(4)

7/2023

USD

(211,500)

20,091

LME

Aluminum

Base

Metal

(7)

7/2023

USD

(370,449)

43,061

LME

Aluminum

Base

Metal

(8)

7/2023

USD

(424,876)

42,837

LME

Aluminum

Base

Metal

(17)

7/2023

USD

(899,270)

80,032

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,069)

14,182

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,094)

14,682

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,051)

15,996

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,165)

38,409

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,134)

25,075

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,173)

40,470

LME

Copper

Base

Metal

(4)

7/2023

USD

(832,500)

65,838

LME

Copper

Base

Metal

(8)

7/2023

USD

(1,664,504)

49,470

LME

Copper

Base

Metal

(9)

7/2023

USD

(1,872,617)

53,958

LME

Lead

Base

Metal

(1)

7/2023

USD

(53,588)

(816)

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

188

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

165

LME

Lead

Base

Metal

(3)

7/2023

USD

(158,783)

2,235

LME

Lead

Base

Metal

(3)

7/2023

USD

(158,003)

727

LME

Lead

Base

Metal

(4)

7/2023

USD

(212,230)

2,259

LME

Lead

Base

Metal

(4)

7/2023

USD

(210,150)

4,239

LME

Lead

Base

Metal

(5)

7/2023

USD

(262,688)

2,924

LME

Lead

Base

Metal

(5)

7/2023

USD

(262,688)

6,674

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,364)

30,825

LME

Nickel

Base

Metal

(3)

7/2023

USD

(366,230)

47,705

LME

Nickel

Base

Metal

(3)

7/2023

USD

(366,302)

41,515

LME

Zinc

Base

Metal

(3)

7/2023

USD

(178,956)

26,587

LME

Zinc

Base

Metal

(4)

7/2023

USD

(238,775)

24,337

LME

Zinc

Base

Metal

(5)

7/2023

USD

(298,113)

61,873

LME

Zinc

Base

Metal

(6)

7/2023

USD

(357,897)

69,682

LME

Zinc

Base

Metal

(8)

7/2023

USD

(477,150)

76,202

159

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

MSCI

Singapore

Index

(105)

7/2023

SGD

$

(2,243,012)

$

(3,740)

Natural

Gas

(5)

7/2023

GBP

(179,567)

(2,420)

Natural

Gas

(10)

7/2023

EUR

(301,222)

(73,448)

Natural

Gas

(68)

7/2023

USD

(1,902,640)

(307,492)

NY

Harbor

ULSD

(25)

7/2023

USD

(2,569,980)

(90,575)

OMXS30

Index

(19)

7/2023

SEK

(408,042)

1,080

Rapeseed

(6)

7/2023

EUR

(147,230)

(4,984)

WTI

Crude

Oil

(50)

7/2023

USD

(3,532,000)

56,886

100

oz

Gold

(5)

8/2023

USD

(964,700)

5,386

CBOE

Volatility

Index

(3)

8/2023

USD

(49,201)

17,557

EURO

STOXX

50

Volatility

Index

(26)

8/2023

EUR

(45,820)

7,249

French

Base

Electricity

(1)

8/2023

EUR

(81,656)

5,772

Italian

Base

Electricity

(1)

8/2023

EUR

(98,721)

2,041

Lean

Hogs

(17)

8/2023

USD

(629,680)

(49,243)

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,582)

9,518

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,606)

8,589

LME

Aluminum

Base

Metal

(4)

8/2023

USD

(213,259)

9,281

LME

Aluminum

Base

Metal

(7)

8/2023

USD

(372,531)

37,473

LME

Aluminum

Base

Metal

(15)

8/2023

USD

(801,626)

44,038

LME

Aluminum

Base

Metal

(15)

8/2023

USD

(803,625)

32,331

LME

Aluminum

Base

Metal

(16)

8/2023

USD

(855,500)

27,513

LME

Aluminum

Base

Metal

(19)

8/2023

USD

(1,016,196)

40,529

LME

Aluminum

Base

Metal

(25)

8/2023

USD

(1,334,688)

103,639

LME

Copper

Base

Metal

(1)

8/2023

USD

(208,096)

6,906

LME

Copper

Base

Metal

(1)

8/2023

USD

(207,954)

(3,957)

LME

Copper

Base

Metal

(2)

8/2023

USD

(416,214)

9,488

LME

Copper

Base

Metal

(2)

8/2023

USD

(415,856)

(17,536)

LME

Copper

Base

Metal

(3)

8/2023

USD

(624,321)

(2,857)

LME

Copper

Base

Metal

(4)

8/2023

USD

(831,881)

(5,585)

LME

Copper

Base

Metal

(5)

8/2023

USD

(1,039,609)

(30,647)

LME

Copper

Base

Metal

(7)

8/2023

USD

(1,455,365)

(63,821)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,530)

(1,123)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,536)

1,012

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,535)

(338)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,533)

(342)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,070)

2,425

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,065)

1,080

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,050)

(3,567)

LME

Lead

Base

Metal

(3)

8/2023

USD

(157,594)

873

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,138)

2,979

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,751)

5,100

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,624)

11,018

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,786)

5,122

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,463)

11,857

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,457)

14,061

LME

Zinc

Base

Metal

(3)

8/2023

USD

(179,250)

(8,510)

LME

Zinc

Base

Metal

(3)

8/2023

USD

(179,138)

18,479

LME

Zinc

Base

Metal

(4)

8/2023

USD

(238,865)

6,623

LME

Zinc

Base

Metal

(5)

8/2023

USD

(298,656)

19,533

LME

Zinc

Base

Metal

(8)

8/2023

USD

(477,700)

44,353

LME

Zinc

Base

Metal

(12)

8/2023

USD

(716,685)

34,930

Low

Sulphur

Gasoil

(43)

8/2023

USD

(3,020,750)

(130,918)

Milk

(5)

8/2023

USD

(148,600)

657

Mont

Belvieu

Propane

(20)

8/2023

USD

(454,297)

15,609

Natural

Gas

(10)

8/2023

USD

(271,249)

6,776

Phelix

De

Base

Electricity

(1)

8/2023

EUR

(86,089)

2,852

160

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Australia

10

Year

Bond

(183)

9/2023

AUD

$

(14,194,807)

$

37,459

Australia

3

Year

Bond

(483)

9/2023

AUD

(33,995,947)

105,051

Canada

10

Year

Bond

(124)

9/2023

CAD

(11,470,995)

6,238

CBOE

Volatility

Index

(4)

9/2023

USD

(70,412)

19,960

Coffee

'C'

(19)

9/2023

USD

(1,132,875)

204,282

Corn

(116)

9/2023

USD

(2,833,300)

257,581

DAX

Index

(9)

9/2023

EUR

(3,995,101)

13,329

DJIA

CBOT

E-Mini

Index

(8)

9/2023

USD

(1,385,720)

(24,897)

Euro

STOXX

50

Index

(29)

9/2023

EUR

(1,400,915)

(19,531)

EURO

STOXX

50

Volatility

Index

(34)

9/2023

EUR

(63,071)

4,713

Euro-Bobl

(152)

9/2023

EUR

(19,195,256)

188,445

Euro-BTP

(66)

9/2023

EUR

(8,369,351)

(70,998)

Euro-Bund

(73)

9/2023

EUR

(10,655,797)

54,562

Euro-Buxl

(29)

9/2023

EUR

(4,421,411)

(83,339)

Euro-OAT

(70)

9/2023

EUR

(9,809,233)

23,068

Euro-Schatz

(421)

9/2023

EUR

(48,167,587)

311,210

French

Base

Electricity

(1)

9/2023

EUR

(414,238)

(28,201)

FTSE

100

Index

(69)

9/2023

GBP

(6,608,616)

19,650

FTSE/JSE

Top

40

Index

(16)

9/2023

ZAR

(603,803)

177

FTSE/MIB

Index

(8)

9/2023

EUR

(1,237,988)

(27,888)

Italian

Base

Electricity

(1)

9/2023

EUR

(367,475)

(49,922)

KC

HRW

Wheat

(2)

9/2023

USD

(80,000)

268

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,550)

1,574

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,300)

6,417

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,525)

1,907

LME

Aluminum

Base

Metal

(3)

9/2023

USD

(161,125)

6,090

LME

Aluminum

Base

Metal

(4)

9/2023

USD

(214,583)

8,205

LME

Aluminum

Base

Metal

(12)

9/2023

USD

(643,800)

36,940

LME

Aluminum

Base

Metal

(19)

9/2023

USD

(1,019,469)

48,900

LME

Aluminum

Base

Metal

(19)

9/2023

USD

(1,018,281)

65,863

LME

Aluminum

Base

Metal

(19)

9/2023

USD

(1,020,063)

43,260

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,875)

1,808

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,938)

(2,065)

LME

Copper

Base

Metal

(1)

9/2023

USD

(208,019)

(940)

LME

Copper

Base

Metal

(2)

9/2023

USD

(416,000)

4,670

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,775)

(1,571)

LME

Copper

Base

Metal

(3)

9/2023

USD

(623,513)

9,872

LME

Copper

Base

Metal

(5)

9/2023

USD

(1,039,875)

26,837

LME

Copper

Base

Metal

(8)

9/2023

USD

(1,663,400)

2,281

LME

Copper

Base

Metal

(9)

9/2023

USD

(1,871,521)

1,543

LME

Copper

Base

Metal

(9)

9/2023

USD

(1,871,325)

(21,724)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,498)

(451)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,520)

(253)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,018)

(378)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,238)

(1,643)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,082)

4,238

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,575)

(6,854)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,856)

423

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,655)

2,987

LME

Lead

Base

Metal

(4)

9/2023

USD

(210,475)

(2,036)

LME

Lead

Base

Metal

(4)

9/2023

USD

(210,475)

(3,586)

LME

Lead

Base

Metal

(4)

9/2023

USD

(209,950)

(3,923)

LME

Lead

Base

Metal

(9)

9/2023

USD

(473,063)

(6,117)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,015)

3,330

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,061)

1,892

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,867)

6,940

161

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

9/2023

USD

$

(122,994)

$

4,443

LME

Nickel

Base

Metal

(2)

9/2023

USD

(245,827)

6,923

LME

Nickel

Base

Metal

(2)

9/2023

USD

(246,024)

19,110

LME

Nickel

Base

Metal

(3)

9/2023

USD

(369,253)

(6,083)

LME

Nickel

Base

Metal

(3)

9/2023

USD

(369,219)

3,069

LME

Nickel

Base

Metal

(4)

9/2023

USD

(492,076)

63,212

LME

Nickel

Base

Metal

(5)

9/2023

USD

(614,741)

28,024

LME

Nickel

Base

Metal

(22)

9/2023

USD

(2,707,188)

75,383

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,543)

(4,524)

LME

Zinc

Base

Metal

(3)

9/2023

USD

(179,303)

(7,863)

LME

Zinc

Base

Metal

(5)

9/2023

USD

(298,875)

9,410

LME

Zinc

Base

Metal

(6)

9/2023

USD

(358,188)

(1,974)

LME

Zinc

Base

Metal

(8)

9/2023

USD

(478,028)

(18,339)

LME

Zinc

Base

Metal

(12)

9/2023

USD

(717,300)

(1,935)

LME

Zinc

Base

Metal

(15)

9/2023

USD

(895,406)

21,190

LME

Zinc

Base

Metal

(66)

9/2023

USD

(3,942,263)

(98,062)

Long

Gilt

(70)

9/2023

GBP

(8,477,504)

15,282

MSCI

EAFE

E-Mini

Index

(28)

9/2023

USD

(3,017,700)

(18,502)

NASDAQ

100

E-Mini

Index

(1)

9/2023

USD

(306,740)

(5,952)

Palladium

(1)

9/2023

USD

(122,200)

29,046

Phelix

De

Base

Electricity

(1)

9/2023

EUR

(323,725)

(35,542)

Russell

2000

E-Mini

Index

(14)

9/2023

USD

(1,332,590)

(30,907)

S&P/TSX

60

Index

(22)

9/2023

CAD

(4,047,435)

(64,920)

SPI

200

Index

(30)

9/2023

AUD

(3,577,725)

(29,138)

Sugar

No.

11

(5)

9/2023

USD

(127,624)

14,075

U.S.

Treasury

10

Year

Note

(139)

9/2023

USD

(15,611,438)

147,169

U.S.

Treasury

2

Year

Note

(220)

9/2023

USD

(44,745,937)

334,612

U.S.

Treasury

5

Year

Note

(218)

9/2023

USD

(23,356,656)

250,203

U.S.

Treasury

Long

Bond

(86)

9/2023

USD

(10,932,750)

(4,653)

U.S.

Treasury

Ultra

Bond

(70)

9/2023

USD

(9,563,750)

(111,993)

Wheat

(7)

9/2023

ZAR

(121,915)

1,030

Wheat

(124)

9/2023

USD

(4,036,200)

(59,384)

White

Sugar

(3)

9/2023

USD

(94,230)

206

CBOE

Volatility

Index

(4)

10/2023

USD

(73,396)

10,821

Rapeseed

(18)

10/2023

EUR

(448,074)

(14,633)

CBOE

Volatility

Index

(4)

11/2023

USD

(75,400)

6,670

Rubber

(10)

11/2023

JPY

(70,689)

2,006

Soybean

(58)

11/2023

USD

(3,895,425)

(380,725)

3

Month

Canadian

Bankers

Acceptance

(97)

12/2023

CAD

(17,293,971)

75,739

3

Month

Euro

Euribor

(51)

12/2023

EUR

(13,358,375)

29,565

90-Day

Australian

Bank

Bill

(115)

12/2023

AUD

(75,727,769)

56,751

90-Day

New

Zealand

Bill

(20)

12/2023

NZD

(12,099,763)

7,891

Cotton

No.

2

(63)

12/2023

USD

(2,531,655)

40,336

Milling

Wheat

No.

2

(77)

12/2023

EUR

(1,000,917)

49,509

Soybean

Meal

(23)

12/2023

USD

(913,790)

(62,418)

Soybean

Oil

(14)

12/2023

USD

(495,348)

(57,394)

White

Maize

(19)

12/2023

ZAR

(385,830)

21,809

Yellow

Maize

(27)

12/2023

ZAR

(560,765)

36,740

3

Month

Canadian

Bankers

Acceptance

(90)

3/2024

CAD

(16,063,786)

95,233

3

Month

Euro

Euribor

(47)

3/2024

EUR

(12,314,506)

41,646

3

Month

SOFR

(48)

3/2024

USD

(11,358,000)

45,080

3

Month

SONIA

(39)

3/2024

GBP

(11,612,309)

140,774

90-Day

Australian

Bank

Bill

(116)

3/2024

AUD

(76,386,272)

77,146

90-Day

New

Zealand

Bill

(18)

3/2024

NZD

(10,891,111)

10,129

3

Month

Canadian

Bankers

Acceptance

(96)

6/2024

CAD

(17,172,750)

104,969

3

Month

Euro

Euribor

(48)

6/2024

EUR

(12,593,539)

53,952

162

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

SARON

(1)

6/2024

CHF

$

(273,532)

$

(45)

3

Month

SOFR

(47)

6/2024

USD

(11,150,163)

59,579

3

Month

SONIA

(40)

6/2024

GBP

(11,911,330)

165,825

90-Day

Australian

Bank

Bill

(105)

6/2024

AUD

(69,152,860)

76,592

90-Day

New

Zealand

Bill

(18)

6/2024

NZD

(10,897,204)

7,490

3

Month

Canadian

Bankers

Acceptance

(94)

9/2024

CAD

(16,873,523)

52,888

3

Month

Euro

Euribor

(46)

9/2024

EUR

(12,092,651)

49,343

3

Month

SARON

(3)

9/2024

CHF

(820,555)

30

3

Month

SOFR

(42)

9/2024

USD

(10,001,775)

61,914

3

Month

SONIA

(38)

9/2024

GBP

(11,330,845)

183,089

90-Day

Australian

Bank

Bill

(109)

9/2024

AUD

(71,811,764)

71,248

3

Month

Euro

Euribor

(44)

12/2024

EUR

(11,590,890)

37,443

3

Month

SARON

(4)

12/2024

CHF

(1,094,743)

331

3

Month

SOFR

(42)

12/2024

USD

(10,043,250)

59,530

3

Month

SONIA

(36)

12/2024

GBP

(10,758,487)

167,697

3

Month

Euro

Euribor

(44)

3/2025

EUR

(11,609,495)

29,472

3

Month

SOFR

(44)

3/2025

USD

(10,559,450)

51,086

3

Month

SONIA

(36)

3/2025

GBP

(10,784,205)

150,441

3

Month

Euro

Euribor

(43)

6/2025

EUR

(11,361,479)

28,525

3

Month

SOFR

(46)

6/2025

USD

(11,066,450)

41,923

3

Month

SONIA

(37)

6/2025

GBP

(11,109,023)

140,142

3

Month

SOFR

(48)

9/2025

USD

(11,565,000)

36,348

3

Month

SONIA

(38)

9/2025

GBP

(11,435,207)

85,022

4,369,094

$

2,496,529

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

990,500

USD

657,749

CITI

9/20/2023

$

3,530

AUD

990,500

USD

657,746

JPMC

9/20/2023

3,534

CAD

7,873,000

USD

5,908,512

CITI

9/20/2023

41,803

CAD

7,873,000

USD

5,908,482

JPMC

9/20/2023

41,833

CLP

32,056,492

USD

39,232

CITI

**

9/20/2023

373

CLP

32,056,492

USD

39,232

JPMC

**

9/20/2023

373

CZK

7,000,000

USD

317,547

CITI

9/20/2023

2,675

CZK

7,000,000

USD

317,545

JPMC

9/20/2023

2,677

EUR

61,724,501

USD

66,507,609

CITI

9/20/2023

1,110,590

EUR

61,724,496

USD

66,507,272

JPMC

9/20/2023

1,110,922

GBP

10,907,502

USD

13,581,327

CITI

9/20/2023

274,081

GBP

10,907,496

USD

13,581,251

JPMC

9/20/2023

274,150

KRW

1,546,886,952

USD

1,175,723

CITI

**

9/20/2023

3,228

KRW

1,546,886,952

USD

1,175,722

JPMC

**

9/20/2023

3,230

MXN

34,761,005

USD

1,929,030

CITI

9/20/2023

71,704

MXN

34,761,003

USD

1,929,020

JPMC

9/20/2023

71,713

NOK

35,500,000

USD

3,291,914

CITI

9/20/2023

24,511

NOK

35,500,000

USD

3,291,897

JPMC

9/20/2023

24,527

NZD

777,500

USD

472,124

CITI

9/20/2023

4,869

NZD

777,500

USD

472,122

JPMC

9/20/2023

4,871

PHP

10,000,000

USD

179,600

CITI

**

9/20/2023

950

PHP

10,000,000

USD

179,599

JPMC

**

9/20/2023

951

163

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

PLN

6,641,501

USD

1,573,326

CITI

9/20/2023

$

53,833

PLN

6,641,500

USD

1,573,318

JPMC

9/20/2023

53,840

USD

18,278,833

EUR

16,558,000

CITI

9/20/2023

139,811

USD

18,278,924

EUR

16,558,000

JPMC

9/20/2023

139,902

USD

280,113

IDR

4,185,649,849

CITI

**

9/20/2023

2,178

USD

280,155

IDR

4,185,649,839

JPMC

**

9/20/2023

2,219

USD

90,925

ILS

334,218

CITI

9/20/2023

490

USD

90,925

ILS

334,218

JPMC

9/20/2023

491

USD

38,628,081

JPY

5,336,356,573

CITI

9/20/2023

1,190,199

USD

38,628,274

JPY

5,336,356,575

JPMC

9/20/2023

1,190,392

USD

3,515,872

SEK

37,648,626

CITI

9/20/2023

12,001

USD

3,515,889

SEK

37,648,624

JPMC

9/20/2023

12,018

USD

1,262,634

SGD

1,697,000

CITI

9/20/2023

4,096

USD

1,262,640

SGD

1,697,000

JPMC

9/20/2023

4,102

USD

4,893,680

TWD

149,520,504

CITI

**

9/20/2023

81,639

USD

4,893,704

TWD

149,520,496

JPMC

**

9/20/2023

81,663

Total

unrealized

appreciation

6,045,969

AUD

15,333,001

USD

10,372,995

CITI

9/20/2023

(136,343)

AUD

15,332,999

USD

10,372,942

JPMC

9/20/2023

(136,292)

CAD

7,732,000

USD

5,872,239

CITI

9/20/2023

(28,491)

CAD

7,732,000

USD

5,872,210

JPMC

9/20/2023

(28,462)

CLP

96,169,476

USD

119,625

CITI

**

9/20/2023

(808)

CLP

96,169,476

USD

119,625

JPMC

**

9/20/2023

(808)

EUR

1,082,500

USD

1,189,807

CITI

9/20/2023

(3,946)

EUR

1,082,500

USD

1,189,801

JPMC

9/20/2023

(3,940)

GBP

7,486,500

USD

9,565,090

CITI

9/20/2023

(55,256)

GBP

7,486,500

USD

9,565,042

JPMC

9/20/2023

(55,209)

HUF

95,000,000

USD

276,001

CITI

9/20/2023

(3,038)

HUF

95,000,000

USD

275,999

JPMC

9/20/2023

(3,037)

INR

95,000,000

USD

1,155,287

CITI

**

9/20/2023

(819)

INR

95,000,000

USD

1,155,281

JPMC

**

9/20/2023

(813)

KRW

3,878,144,925

USD

3,017,189

CITI

**

9/20/2023

(61,484)

KRW

3,878,144,923

USD

3,017,173

JPMC

**

9/20/2023

(61,469)

NOK

53,500,000

USD

5,088,759

CITI

9/20/2023

(90,769)

NOK

53,500,000

USD

5,088,734

JPMC

9/20/2023

(90,743)

NZD

13,500

USD

8,305

CITI

9/20/2023

(22)

NZD

13,500

USD

8,305

JPMC

9/20/2023

(22)

SEK

6,000,000

USD

561,074

CITI

9/20/2023

(2,668)

SEK

6,000,000

USD

561,071

JPMC

9/20/2023

(2,665)

SGD

8,739,501

USD

6,492,845

CITI

9/20/2023

(11,408)

SGD

8,739,499

USD

6,492,811

JPMC

9/20/2023

(11,376)

TWD

6,500,000

USD

213,545

CITI

**

9/20/2023

(4,355)

TWD

6,500,000

USD

213,544

JPMC

**

9/20/2023

(4,354)

USD

3,285,129

AUD

4,995,001

CITI

9/20/2023

(49,644)

USD

3,285,144

AUD

4,994,999

JPMC

9/20/2023

(49,628)

USD

34,214

BRL

173,056

CITI

**

9/20/2023

(1,422)

USD

34,213

BRL

173,054

JPMC

**

9/20/2023

(1,422)

USD

17,086,606

CAD

23,119,000

CITI

9/20/2023

(386,444)

USD

17,082,840

CAD

23,119,000

JPMC

9/20/2023

(390,210)

USD

7,083,927

CHF

6,356,002

CITI

9/20/2023

(76,306)

USD

7,083,958

CHF

6,355,998

JPMC

9/20/2023

(76,270)

USD

130,963

COP

584,797,005

CITI

**

9/20/2023

(6,240)

USD

131,044

COP

584,797,002

JPMC

**

9/20/2023

(6,160)

USD

1,328,451

CZK

29,321,000

CITI

9/20/2023

(12,868)

USD

1,328,457

CZK

29,321,000

JPMC

9/20/2023

(12,861)

USD

2,663,454

EUR

2,460,000

CITI

9/20/2023

(31,437)

USD

2,663,467

EUR

2,460,000

JPMC

9/20/2023

(31,424)

USD

6,323

GBP

5,000

CITI

9/20/2023

(29)

164

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

6,323

GBP

5,000

JPMC

9/20/2023

$

(29)

USD

1,115,285

HUF

398,152,516

CITI

9/20/2023

(28,722)

USD

1,115,290

HUF

398,152,516

JPMC

9/20/2023

(28,716)

USD

41,989

ILS

155,782

CITI

9/20/2023

(163)

USD

41,989

ILS

155,782

JPMC

9/20/2023

(163)

USD

3,351,082

INR

277,908,988

CITI

**

9/20/2023

(26,150)

USD

3,351,098

INR

277,908,980

JPMC

**

9/20/2023

(26,133)

USD

13,869,737

NOK

153,626,501

CITI

9/20/2023

(482,110)

USD

13,869,806

NOK

153,626,499

JPMC

9/20/2023

(482,041)

USD

17,871,806

NZD

29,521,502

CITI

9/20/2023

(239,540)

USD

17,871,893

NZD

29,521,498

JPMC

9/20/2023

(239,450)

USD

1,076,863

PHP

60,633,003

CITI

**

9/20/2023

(17,861)

USD

1,076,869

PHP

60,632,997

JPMC

**

9/20/2023

(17,856)

USD

5,122,807

SEK

55,445,878

CITI

9/20/2023

(37,414)

USD

5,122,833

SEK

55,445,872

JPMC

9/20/2023

(37,388)

USD

13,746,809

ZAR

271,330,002

CITI

9/20/2023

(555,234)

USD

13,746,877

ZAR

271,329,998

JPMC

9/20/2023

(555,166)

ZAR

12,500,000

USD

666,986

CITI

9/20/2023

(8,100)

ZAR

12,500,000

USD

666,983

JPMC

9/20/2023

(8,097)

Total

unrealized

depreciation

(4,721,295)

Net

unrealized

appreciation

$

1,324,674

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NOWA

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

05/29/2028

$1,229,936

$9,102

$2,194

$11,296

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$970,784

$(2,035)

$995

$(1,040)

165

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$6,822,128

$1,550

$10,479

$12,029

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Allkem

Ltd.

17,954

193,078

7,339

61.0

ALS

Ltd.

10,697

79,929

(1,590)

(13.2)

Ampol

Ltd.

1,349

26,948

(766)

(6.4)

ANZ

Group

Holdings

Ltd.

3,265

51,684

1,986

16.5

Aristocrat

Leisure

Ltd.

9,456

244,653

4,846

40.3

Aurizon

Holdings

Ltd.

47,219

123,535

11,240

93.4

BlueScope

Steel

Ltd.

14,941

205,630

8,164

67.9

Brambles

Ltd.

8,215

78,992

4,895

40.7

Computershare

Ltd.

2,594

40,482

1,118

9.3

IGO

Ltd.

5,325

54,351

2,632

21.9

Incitec

Pivot

Ltd.

64,413

117,867

(1,420)

(11.8)

JB

Hi-Fi

Ltd.

7,310

213,940

7,470

62.1

Medibank

Pvt

Ltd.

19,205

45,112

(305)

(2.5)

Orica

Ltd.

7,358

72,894

(874)

(7.3)

Origin

Energy

Ltd.

77,032

432,962

1,918

15.9

Pilbara

Minerals

Ltd.

23,559

77,431

732

6.1

Qantas

Airways

Ltd.

111,596

462,467

2,304

19.2

Qube

Holdings

Ltd.

38,236

72,876

539

4.5

Sonic

Healthcare

Ltd.

3,545

84,306

1,795

14.9

South32

Ltd.

30,637

77,132

(2,259)

(18.8)

Suncorp

Group

Ltd.

11,261

101,183

2,763

23.0

Whitehaven

Coal

Ltd.

16,216

72,694

3,559

29.6

New

Zealand

Xero

Ltd.

761

60,971

5,674

47.2

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(58,499)

(54,258)

494

4.1

carsales.com

Ltd.

(8,379)

(133,994)

(2,266)

(18.8)

Coles

Group

Ltd.

(7,601)

(93,332)

(3,608)

(30.0)

Commonwealth

Bank

of

Australia

(4,487)

(300,390)

(14,043)

(116.7)

Domino's

Pizza

Enterprises

Ltd.

(7,678)

(238,685)

(4,262)

(35.4)

Endeavour

Group

Ltd.

(24,141)

(101,602)

(4,309)

(35.8)

Evolution

Mining

Ltd.

(17,731)

(38,604)

2,028

16.9

Fortescue

Metals

Group

Ltd.

(3,017)

(44,768)

(2,985)

(24.8)

166

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

IDP

Education

Ltd.

(17,616)

(260,872)

12,240

101.8

Insurance

Australia

Group

Ltd.

(12,039)

(45,783)

(4,802)

(39.9)

Lendlease

Corp.

Ltd.

(18,458)

(95,768)

(9,083)

(75.5)

Mineral

Resources

Ltd.

(1,328)

(63,602)

(1,871)

(15.6)

National

Australia

Bank

Ltd.

(2,074)

(36,477)

(1,661)

(13.8)

NEXTDC

Ltd.

(24,036)

(202,690)

(8,149)

(67.7)

Pro

Medicus

Ltd.

(2,224)

(97,880)

(4,426)

(36.8)

QBE

Insurance

Group

Ltd.

(6,011)

(62,760)

(2,736)

(22.7)

Ramsay

Health

Care

Ltd.

(715)

(26,863)

620

5.2

REA

Group

Ltd.

(2,343)

(225,076)

(20,785)

(172.8)

Reece

Ltd.

(7,603)

(94,714)

(206)

(1.7)

Seven

Group

Holdings

Ltd.

(4,274)

(70,485)

(986)

(8.2)

Transurban

Group

(6,444)

(61,356)

115

1.0

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(6,022)

(127,841)

2,053

17.1

Wesfarmers

Ltd.

(8,676)

(286,042)

(11,052)

(91.9)

WiseTech

Global

Ltd.

(2,702)

(144,931)

(8,351)

(69.4)

Woodside

Energy

Group

Ltd.

(6,194)

(143,277)

24

0.2

United

States

CSL

Ltd.

(2,244)

(415,541)

40,834

339.5

James

Hardie

Industries

plc

(9,330)

(248,887)

(13,518)

(112.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CORRA

plus

or

minus

a

specified

spread

(-0.05%

to

0.02%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$13,411,918

$122,335

$1,338

$123,673

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

16,857

317,989

31,506

25.5

Alamos

Gold,

Inc.

7,925

94,400

(4,334)

(3.5)

Alimentation

Couche-Tard,

Inc.

11,337

581,334

28,669

23.2

AltaGas

Ltd.

6,337

113,848

(4,497)

(3.6)

ARC

Resources

Ltd.

25,140

335,327

5,503

4.4

Atco

Ltd.

4,101

122,094

(4,922)

(4.0)

Bank

of

Nova

Scotia

(The)

4,118

206,032

466

0.4

Bombardier,

Inc.

2,347

115,707

4,138

3.3

Boralex,

Inc.

3,984

108,475

(4,932)

(4.0)

Brookfield

Corp.

8,116

273,239

14,642

11.8

Canadian

Tire

Corp.

Ltd.

668

91,329

6,888

5.6

Empire

Co.

Ltd.

5,785

164,325

16,245

13.1

167

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Fairfax

Financial

Holdings

Ltd.

405

303,361

4,207

3.4

Finning

International,

Inc.

5,563

171,121

6,299

5.1

George

Weston

Ltd.

996

117,753

2,638

2.1

iA

Financial

Corp.,

Inc.

1,357

92,447

1,522

1.2

Imperial

Oil

Ltd.

2,914

149,093

1,650

1.3

Loblaw

Cos.

Ltd.

1,061

97,134

3,860

3.1

MEG

Energy

Corp.

11,613

184,090

(3,506)

(2.8)

Metro,

Inc.

2,301

129,957

8,094

6.5

National

Bank

of

Canada

3,119

232,380

5,839

4.7

Nutrien

Ltd.

1,615

95,346

(1,269)

(1.0)

Onex

Corp.

1,811

100,027

7,587

6.1

Open

Text

Corp.

6,503

270,478

(5,400)

(4.4)

Pembina

Pipeline

Corp.

5,009

157,482

(2,458)

(2.0)

Sun

Life

Financial,

Inc.

4,964

258,776

6,220

5.0

Toromont

Industries

Ltd.

1,204

98,910

3,199

2.6

Tourmaline

Oil

Corp.

4,284

201,855

7,664

6.2

West

Fraser

Timber

Co.

Ltd.

3,744

321,649

35,291

28.5

Whitecap

Resources,

Inc.

28,205

197,366

(6,813)

(5.5)

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(37,586)

(310,675)

12,599

10.2

Bank

of

Montreal

(4,902)

(442,706)

(12,211)

(9.9)

Barrick

Gold

Corp.

(10,456)

(176,878)

2,052

1.7

BCE,

Inc.

(6,567)

(299,413)

1,784

1.4

CAE,

Inc.

(4,464)

(99,911)

(6,133)

(5.0)

Canadian

Imperial

Bank

of

Commerce

(10,967)

(468,234)

4,056

3.3

Canadian

Natural

Resources

Ltd.

(1,629)

(91,586)

(3,279)

(2.7)

Canadian

Pacific

Kansas

City

Ltd.

(8,084)

(652,944)

(30,267)

(24.5)

Emera,

Inc.

(3,605)

(148,472)

2,095

1.7

Fortis,

Inc.

(5,324)

(229,437)

1,326

1.1

GFL

Environmental,

Inc.

(4,102)

(159,281)

(5,419)

(4.4)

Kinross

Gold

Corp.

(19,615)

(93,578)

2,221

1.8

Magna

International,

Inc.

(2,870)

(162,029)

(8,124)

(6.6)

Manulife

Financial

Corp.

(19,723)

(372,798)

10,124

8.2

Pan

American

Silver

Corp.

(12,761)

(185,912)

12,234

9.9

Rogers

Communications,

Inc.

(12,761)

(582,204)

(28,224)

(22.8)

Royal

Bank

of

Canada

(6,202)

(592,321)

(12,313)

(10.0)

Suncor

Energy,

Inc.

(15,002)

(440,066)

17,779

14.4

Toronto-Dominion

Bank

(The)

(3,065)

(189,973)

(5,925)

(4.8)

United

States

BRP,

Inc.

(1,996)

(168,735)

(16,830)

(13.6)

168

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.43%

to

0.03%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$5,369,761

$(1,527)

$(14,923)

$(16,450)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

16,640

654,632

12,443

(75.6)

Alcon,

Inc.

1,019

84,539

3,433

(20.9)

Barry

Callebaut

AG

(Registered)

35

67,623

(1,044)

6.3

Chocoladefabriken

Lindt

&

Spruengli

AG

9

113,157

638

(3.9)

Cie

Financiere

Richemont

SA

(Registered)

192

32,615

751

(4.6)

Clariant

AG

(Registered)

2,003

28,977

377

(2.3)

DKSH

Holding

AG

1,276

94,976

(3,177)

19.3

Galenica

AG

1,237

100,006

1,258

(7.6)

Georg

Fischer

AG

(Registered)

1,049

78,896

6,642

(40.4)

Helvetia

Holding

AG

(Registered)

666

90,266

(2,076)

12.6

Julius

Baer

Group

Ltd.

1,104

69,671

(167)

1.0

Logitech

International

SA

(Registered)

461

27,515

(1,843)

11.2

Novartis

AG

(Registered)

3,914

394,607

(1,153)

7.0

SGS

SA

(Registered)

706

66,788

373

(2.3)

Swatch

Group

AG

(The)

300

87,718

(803)

4.9

Swisscom

AG

(Registered)

528

329,546

848

(5.2)

Temenos

AG

(Registered)

549

43,714

(3,945)

24.0

UBS

Group

AG

(Registered)

7,727

156,616

(505)

3.1

United

States

Holcim

AG

2,490

167,844

4,160

(25.3)

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(5,327)

(38,391)

3,282

(20.0)

Switzerland

Adecco

Group

AG

(Registered)

(6,017)

(197,065)

(4,237)

25.8

Bachem

Holding

AG

(1,274)

(111,240)

8,578

(52.1)

Baloise

Holding

AG

(Registered)

(347)

(51,041)

3,830

(23.3)

Banque

Cantonale

Vaudoise

(Registered)

(735)

(77,635)

204

(1.2)

Belimo

Holding

AG

(Registered)

(37)

(18,493)

(881)

5.4

Dufry

AG

(Registered)

(2,994)

(136,562)

(1,549)

9.4

Flughafen

Zurich

AG

(Registered)

(138)

(28,704)

(2,432)

14.8

Geberit

AG

(Registered)

(656)

(343,799)

13,406

(81.5)

Givaudan

SA

(Registered)

(58)

(192,383)

(7,052)

42.9

Kuehne

+

Nagel

International

AG

(Registered)

(63)

(18,662)

(1,453)

8.8

Lonza

Group

AG

(Registered)

(185)

(110,577)

(3,410)

20.7

169

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Partners

Group

Holding

AG

(276)

(260,224)

(3,525)

21.4

Schindler

Holding

AG

(911)

(213,909)

(13,958)

84.9

SIG

Group

AG

(11,099)

(306,629)

6,358

(38.6)

Sika

AG

(Registered)

(302)

(86,493)

(2,950)

17.9

Sonova

Holding

AG

(Registered)

(118)

(31,487)

(833)

5.1

Straumann

Holding

AG

(Registered)

(619)

(100,653)

(7,602)

46.2

VAT

Group

AG

(272)

(112,666)

(590)

3.6

Zurich

Insurance

Group

AG

(186)

(88,478)

215

(1.3)

United

States

Nestle

SA

(Registered)

(144)

(17,322)

(13)

0.1

Swiss

Re

AG

(1,366)

(137,642)

(3,125)

19.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Denmark

Tomorrow/Next

plus

or

minus

a

specified

spread

(-0.13%

to

0.03%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/14/2028

$3,143,955

$64,899

$(3,978)

$60,921

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

47

82,638

(2,188)

(3.6)

Carlsberg

A/S

1,576

252,367

9,505

15.6

Danske

Bank

A/S

2,435

59,308

2,090

3.4

DSV

A/S

702

147,449

9,745

16.0

Genmab

A/S

714

270,576

(9,437)

(15.5)

ISS

A/S

8,704

184,129

10,713

17.6

Jyske

Bank

A/S

(Registered)

1,715

130,464

(1,136)

(1.9)

Novo

Nordisk

A/S

4,090

660,698

5,892

9.7

Pandora

A/S

2,411

215,499

20,457

33.6

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(795)

(13,033)

(770)

(1.3)

Coloplast

A/S

(707)

(88,471)

(813)

(1.3)

Demant

A/S

(1,682)

(71,194)

(1,582)

(2.6)

Novozymes

A/S

(7,689)

(358,762)

15,204

25.0

Orsted

A/S

(3,007)

(285,071)

2,064

3.4

ROCKWOOL

A/S

(606)

(156,716)

1,412

2.3

Royal

Unibrew

A/S

(1,003)

(89,782)

(2,486)

(4.1)

Tryg

A/S

(1,455)

(31,509)

1,830

3.0

170

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

Vestas

Wind

Systems

A/S

(1,741)

(46,289)

4,399

7.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.20%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$35,116,842

$151,585

$20,174

$171,759

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

de

Saint-Gobain

4,030

245,372

(98)

(0.1)

Dassault

Systemes

SE

8,070

357,590

3,809

2.2

Eiffage

SA

3,065

320,012

(10,293)

(6.0)

Getlink

SE

16,989

289,116

(5,459)

(3.2)

Hermes

International

280

608,641

23,127

13.5

LVMH

Moet

Hennessy

Louis

Vuitton

SE

707

666,639

34,027

19.8

Rexel

SA

15,302

378,173

27,357

15.9

Sodexo

SA

2,345

258,225

(2,647)

(1.5)

Thales

SA

1,436

215,154

10,744

6.3

Vinci

SA

2,237

259,929

352

0.2

Germany

Bayerische

Motoren

Werke

AG

2,875

353,645

14,425

8.4

Commerzbank

AG

19,753

218,979

7,508

4.4

Deutsche

Lufthansa

AG

(Registered)

45,210

463,563

10,082

5.9

GEA

Group

AG

5,122

214,438

(4,879)

(2.8)

Heidelberg

Materials

AG

4,144

340,797

15,670

9.1

RWE

AG

6,108

266,164

695

0.4

Symrise

AG

2,052

215,157

8,888

5.2

Italy

Ferrari

NV

1,217

397,896

30,839

18.0

Prysmian

SpA

10,258

429,027

29,415

17.1

UniCredit

SpA

10,860

252,534

19,852

11.6

Netherlands

ASML

Holding

NV

313

227,028

5,448

3.2

Koninklijke

Ahold

Delhaize

NV

8,276

282,154

18,817

11.0

Wolters

Kluwer

NV

5,045

640,581

16,578

9.7

Singapore

STMicroelectronics

NV

4,996

249,168

8,750

5.1

Spain

Industria

de

Diseno

Textil

SA

12,874

499,354

32,255

18.8

Repsol

SA

17,693

257,327

(144)

(0.1)

171

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

Sanofi

2,874

309,403

10,218

5.9

Short

Positions

Common

Stocks

Belgium

UCB

SA

(3,830)

(339,562)

17,674

10.3

Finland

Fortum

OYJ

(18,105)

(242,290)

3,339

1.9

France

Cie

Generale

des

Etablissements

Michelin

SCA

(13,202)

(390,533)

5,921

3.4

EssilorLuxottica

SA

(1,403)

(264,564)

(12,767)

(7.4)

Kering

SA

(472)

(260,638)

(694)

(0.4)

L'Oreal

SA

(784)

(365,717)

(21,635)

(12.6)

Societe

Generale

SA

(11,460)

(298,032)

(5,799)

(3.4)

TotalEnergies

SE

(6,031)

(346,207)

15,420

9.0

Germany

adidas

AG

(2,985)

(579,472)

(45,343)

(26.4)

Bayer

AG

(Registered)

(5,475)

(303,069)

1,473

0.9

Covestro

AG

(5,986)

(311,468)

(53,065)

(30.9)

Deutsche

Bank

AG

(Registered)

(26,567)

(279,293)

6,055

3.5

Fresenius

Medical

Care

AG

&

Co.

KGaA

(9,927)

(474,423)

(15,781)

(9.2)

Luxembourg

Eurofins

Scientific

SE

(7,118)

(452,334)

5,630

3.3

Netherlands

Adyen

NV

(265)

(458,892)

(3,286)

(1.9)

Koninklijke

Philips

NV

(24,218)

(524,747)

(42,470)

(24.7)

NN

Group

NV

(11,357)

(420,410)

(24,404)

(14.2)

Portugal

EDP

-

Energias

de

Portugal

SA

(50,780)

(248,196)

9,189

5.3

Spain

Grifols

SA

(20,990)

(269,277)

(8,397)

(4.9)

Iberdrola

SA

(16,084)

(210,038)

(8,291)

(4.8)

United

States

Schneider

Electric

SE

(2,175)

(395,147)

(6,058)

(3.5)

Preferred

Stocks

Germany

Henkel

AG

&

Co.

KGaA

(Preference)

(5,889)

(470,980)

9,433

5.5

Sartorius

AG

(Preference)

(958)

(331,907)

(6,632)

(3.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.20%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$12,959,271

$47,254

$(311)

$46,943

172

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

24,842

140,851

3,581

7.6

Netherlands

Shell

plc

14,114

421,044

9,760

20.8

United

Kingdom

Associated

British

Foods

plc

7,541

190,960

12,874

27.4

AstraZeneca

plc

2,439

349,641

(13,142)

(28.0)

Auto

Trader

Group

plc

21,420

166,316

(1,746)

(3.7)

Aviva

plc

30,484

153,373

(1,834)

(3.9)

BAE

Systems

plc

22,323

263,216

(3,276)

(7.0)

BP

plc

72,198

420,364

(8,587)

(18.3)

British

American

Tobacco

plc

5,829

193,671

1,901

4.0

Centrica

plc

252,635

398,340

22,935

48.9

Compass

Group

plc

4,959

138,868

2,077

4.4

Diageo

plc

2,594

111,519

2,129

4.5

DS

Smith

plc

61,614

213,208

(30,071)

(64.1)

Howden

Joinery

Group

plc

14,728

120,333

(5,287)

(11.3)

Imperial

Brands

plc

4,952

109,610

1,124

2.4

InterContinental

Hotels

Group

plc

6,081

420,359

80

0.2

Lloyds

Banking

Group

plc

194,292

107,706

(3,986)

(8.5)

National

Grid

plc

8,793

116,581

(1,176)

(2.5)

Pearson

plc

20,539

215,327

1,591

3.4

Reckitt

Benckiser

Group

plc

4,450

334,421

(6,590)

(14.0)

RELX

plc

10,347

345,183

12,593

26.8

Rolls-Royce

Holdings

plc

81,522

156,767

(1,641)

(3.5)

Sage

Group

plc

(The)

16,842

197,842

13,979

29.8

Spectris

plc

3,062

139,905

532

1.1

Standard

Chartered

plc

29,462

256,322

9,072

19.3

Tesco

plc

70,668

222,926

(12,125)

(25.8)

Short

Positions

Common

Stocks

Australia

Rio

Tinto

plc

(2,294)

(145,783)

3,528

7.5

Chile

Antofagasta

plc

(10,740)

(199,726)

438

0.9

Hong

Kong

Prudential

plc

(11,955)

(168,845)

292

0.6

Italy

Coca-Cola

HBC

AG

(5,804)

(173,133)

(797)

(1.7)

Jordan

Hikma

Pharmaceuticals

plc

(7,118)

(171,293)

(394)

(0.8)

United

Kingdom

abrdn

plc

(92,190)

(256,011)

(5,105)

(10.9)

B&M

European

Value

Retail

SA

(26,418)

(187,101)

(8,208)

(17.5)

Bellway

plc

(4,353)

(110,066)

12,994

27.7

ConvaTec

Group

plc

(43,827)

(114,304)

(1,159)

(2.5)

Direct

Line

Insurance

Group

plc

(82,837)

(143,223)

29,941

63.8

Entain

plc

(7,442)

(120,336)

2,154

4.6

International

Distributions

Services

plc

(44,140)

(124,076)

(12,070)

(25.7)

ITV

plc

(139,421)

(121,200)

2,922

6.2

J

Sainsbury

plc

(64,259)

(219,668)

(1,772)

(3.8)

173

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Kingfisher

plc

(111,967)

(329,994)

8,182

17.4

Ocado

Group

plc

(15,073)

(109,075)

(35,069)

(74.7)

Pennon

Group

plc

(13,545)

(122,386)

14,199

30.2

Persimmon

plc

(13,181)

(171,745)

31,310

66.7

Rentokil

Initial

plc

(65,487)

(512,024)

23,082

49.2

Schroders

plc

(31,231)

(173,758)

7,522

16.0

Severn

Trent

plc

(5,324)

(173,564)

12,309

26.2

Smith

&

Nephew

plc

(6,846)

(110,449)

(6,173)

(13.2)

United

Utilities

Group

plc

(10,617)

(129,819)

12,500

26.6

Weir

Group

plc

(The)

(5,278)

(117,835)

2,452

5.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.04%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

06/29/2028

$1,615,688

$(20,814)

$(8,082)

$(28,896)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

23,500

71,988

(1,337)

4.6

SITC

International

Holdings

Co.

Ltd.

24,000

43,948

273

(0.9)

Hong

Kong

ASMPT

Ltd.

14,100

139,302

10,376

(35.9)

HKT

Trust

&

HKT

Ltd.

14,000

16,301

(833)

2.9

Man

Wah

Holdings

Ltd.

87,200

58,377

2,031

(7.0)

New

World

Development

Co.

Ltd.

7,000

17,301

(565)

2.0

Sun

Hung

Kai

Properties

Ltd.

1,500

18,952

(707)

2.4

Swire

Pacific

Ltd.

2,000

15,365

1,583

(5.5)

Swire

Properties

Ltd.

10,200

25,131

(798)

2.8

WH

Group

Ltd.

164,000

87,342

1,533

(5.3)

Macau

Sands

China

Ltd.

22,800

78,083

(1,494)

5.2

United

Kingdom

CK

Hutchison

Holdings

Ltd.

14,000

85,447

(2,634)

9.1

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(14,800)

(38,297)

1,460

(5.1)

ESR

Group

Ltd.

(30,600)

(52,701)

2,985

(10.3)

Xinyi

Glass

Holdings

Ltd.

(48,000)

(75,039)

428

(1.5)

174

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

Hang

Lung

Properties

Ltd.

(8,000)

(12,380)

1,097

(3.8)

Henderson

Land

Development

Co.

Ltd.

(4,000)

(11,912)

314

(1.1)

Hong

Kong

&

China

Gas

Co.

Ltd.

(178,000)

(154,146)

4,182

(14.5)

MTR

Corp.

Ltd.

(18,500)

(85,166)

2,305

(8.0)

Power

Assets

Holdings

Ltd.

(4,000)

(20,998)

544

(1.9)

Techtronic

Industries

Co.

Ltd.

(32,500)

(355,407)

(46,624)

161.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(10,000)

(50,174)

3,680

(12.7)

Macau

Galaxy

Entertainment

Group

Ltd.

(16,000)

(101,931)

1,387

(4.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.03%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

40-61

months

maturity

ranging

from

09/21/2026

-

05/29/2028

$4,499,110

$5,983

$4,760

$10,743

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

12,043

131,181

4,951

46.1

Sweden

Assa

Abloy

AB

1,807

43,435

561

5.2

Axfood

AB

6,086

128,802

(6,964)

(64.8)

Billerud

AB

9,084

69,134

(6,955)

(64.7)

Elekta

AB

3,794

29,351

(134)

(1.2)

Evolution

AB

1,600

202,758

(7,186)

(66.9)

Getinge

AB

1,021

17,912

(3,388)

(31.5)

Hexpol

AB

3,795

40,295

(275)

(2.6)

Nibe

Industrier

AB

12,780

121,517

(4,028)

(37.5)

Saab

AB

3,760

203,551

474

4.4

Sandvik

AB

1,441

28,134

478

4.4

Skanska

AB

1,754

24,609

492

4.6

SSAB

AB

37,062

256,993

(1,282)

(11.9)

Swedbank

AB

4,340

73,242

1,402

13.1

Telefonaktiebolaget

LM

Ericsson

28,010

152,187

5,168

48.1

Trelleborg

AB

6,378

154,790

(15,935)

(148.3)

Volvo

AB

13,690

283,315

12,602

117.3

175

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Guatemala

Millicom

International

Cellular

SA

(1,032)

(15,791)

1,566

14.6

Sweden

Alfa

Laval

AB

(3,692)

(134,675)

642

6.0

Beijer

Ref

AB

(7,693)

(98,266)

15,003

139.7

Boliden

AB

(1,367)

(39,613)

6,244

58.1

Electrolux

AB

(9,012)

(123,154)

(2,872)

(26.7)

Embracer

Group

AB

(23,411)

(58,546)

(3,075)

(28.6)

Epiroc

AB

(1,417)

(26,841)

(728)

(6.8)

EQT

AB

(6,689)

(128,775)

6,573

61.2

Essity

AB

(8,578)

(228,446)

(2,968)

(27.6)

Hexagon

AB

(12,303)

(151,331)

(5,718)

(53.2)

Holmen

AB

(1,771)

(63,651)

4,921

45.8

Husqvarna

AB

(14,019)

(127,202)

(17,647)

(164.3)

Securitas

AB

(27,441)

(225,394)

(4,906)

(45.7)

Skandinaviska

Enskilda

Banken

AB

(4,019)

(44,451)

(14)

(0.1)

SKF

AB

(10,232)

(178,298)

2,713

25.3

Svenska

Cellulosa

AB

SCA

(7,603)

(97,052)

8,089

75.3

Svenska

Handelsbanken

AB

(33,126)

(277,339)

6,703

62.4

Swedish

Orphan

Biovitrum

AB

(4,112)

(80,370)

1,591

14.8

Tele2

AB

(11,979)

(99,070)

3,175

29.6

Telia

Co.

AB

(114,435)

(251,054)

5,406

50.3

Volvo

Car

AB

(8,005)

(31,850)

(491)

(4.6)

United

States

Sinch

AB

(25,125)

(56,735)

1,795

16.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

MUTSC

plus

or

minus

a

specified

spread

(-2.75%

to

0.30%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

07/10/2023

-

07/31/2024

$26,210,310

$(107,995)

$34,147

$(73,848)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Amada

Co.

Ltd.

17,500

172,653

2,983

(4.0)

Capcom

Co.

Ltd.

4,700

186,310

3,645

(4.9)

Disco

Corp.

1,000

158,546

11,229

(15.2)

Hirose

Electric

Co.

Ltd.

1,300

173,075

(490)

0.7

Japan

Tobacco,

Inc.

9,300

203,726

(1,681)

2.3

176

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Lawson,

Inc.

4,000

177,359

7,124

(9.6)

Marubeni

Corp.

16,400

279,522

1,024

(1.4)

MISUMI

Group,

Inc.

9,700

195,291

(10,077)

13.6

Mitsubishi

Corp.

9,800

473,800

9,046

(12.2)

Mitsubishi

UFJ

Financial

Group,

Inc.

44,600

328,750

22,474

(30.4)

Mitsui

&

Co.

Ltd.

7,500

283,859

586

(0.8)

Nitto

Denko

Corp.

2,400

178,142

(1,241)

1.7

Panasonic

Holdings

Corp.

16,400

201,096

9,300

(12.6)

Recruit

Holdings

Co.

Ltd.

7,900

252,131

(16,412)

22.2

Renesas

Electronics

Corp.

8,100

152,866

10,779

(14.6)

Sega

Sammy

Holdings,

Inc.

11,600

248,504

7,946

(10.8)

Shin-Etsu

Chemical

Co.

Ltd.

5,000

167,090

729

(1.0)

Sojitz

Corp.

7,660

169,518

578

(0.8)

Sumitomo

Corp.

7,400

156,991

1,505

(2.0)

Toyo

Suisan

Kaisha

Ltd.

4,900

221,048

829

(1.1)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(12,500)

(255,956)

(15,347)

20.8

Asahi

Intecc

Co.

Ltd.

(9,800)

(192,942)

(2,912)

3.9

Asahi

Kasei

Corp.

(25,300)

(171,308)

1,660

(2.2)

Bridgestone

Corp.

(5,000)

(205,408)

974

(1.3)

Canon,

Inc.

(8,800)

(231,322)

852

(1.2)

Fast

Retailing

Co.

Ltd.

(600)

(153,885)

(1,364)

1.8

Honda

Motor

Co.

Ltd.

(5,900)

(178,734)

971

(1.3)

Ibiden

Co.

Ltd.

(3,300)

(187,762)

(2,448)

3.3

Isuzu

Motors

Ltd.

(15,300)

(185,608)

2,812

(3.8)

ITOCHU

Corp.

(6,100)

(242,301)

(4,719)

6.4

JSR

Corp.

(10,700)

(307,477)

(60,026)

81.3

KDDI

Corp.

(8,200)

(253,242)

(683)

0.9

Kobe

Bussan

Co.

Ltd.

(6,400)

(166,113)

(2,093)

2.8

Kose

Corp.

(2,000)

(192,259)

6,501

(8.8)

Kubota

Corp.

(15,600)

(228,366)

5,696

(7.7)

Nintendo

Co.

Ltd.

(3,400)

(155,000)

(7,092)

9.6

Nippon

Steel

Corp.

(7,600)

(159,063)

(4,345)

5.9

Nippon

Telegraph

&

Telephone

Corp.

(355,000)

(420,074)

(9,862)

13.4

Nippon

Yusen

KK

(9,500)

(210,982)

(13,207)

17.9

Nissan

Motor

Co.

Ltd.

(36,600)

(150,211)

(12,151)

16.5

NTT

Data

Group

Corp.

(12,500)

(175,261)

8,693

(11.8)

Resonac

Holdings

Corp.

(10,300)

(167,336)

(4,872)

6.6

Sekisui

House

Ltd.

(14,900)

(300,974)

(17,214)

23.3

Seven

&

i

Holdings

Co.

Ltd.

(4,000)

(172,809)

(2,990)

4.0

Sharp

Corp.

(42,700)

(239,440)

(2,881)

3.9

SoftBank

Corp.

(27,400)

(292,777)

(3,207)

4.3

SUMCO

Corp.

(13,000)

(184,433)

(283)

0.4

Sumitomo

Electric

Industries

Ltd.

(14,700)

(180,107)

(3,253)

4.4

West

Japan

Railway

Co.

(4,400)

(183,005)

(1,632)

2.2

Yaskawa

Electric

Corp.

(5,100)

(235,126)

1,363

(1.8)

177

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-1.81%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-13

months

maturity

ranging

from

07/10/2023

-

07/31/2024

$124,001,974

$223,648

$(84,526)

$139,122

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Albemarle

Corp.

1,508

336,420

(13,768)

(9.9)

Allison

Transmission

Holdings,

Inc.

5,720

322,951

17,355

12.5

Alphabet,

Inc.

3,752

449,114

(12,757)

(9.2)

Amazon.com,

Inc.

5,008

652,843

22,937

16.5

Apple,

Inc.

2,517

488,222

22,552

16.2

Booking

Holdings,

Inc.

142

383,447

6,428

4.6

Builders

FirstSource,

Inc.

2,920

397,120

20,759

14.9

Cadence

Design

Systems,

Inc.

1,850

433,862

3,682

2.6

Cardinal

Health,

Inc.

4,563

431,523

15,195

10.9

Cheniere

Energy,

Inc.

4,331

659,871

14,855

10.7

CVS

Health

Corp.

5,561

384,432

2,558

1.8

Deere

&

Co.

1,453

588,741

(4,150)

(3.0)

Dick's

Sporting

Goods,

Inc.

2,517

332,722

(8,533)

(6.1)

Discover

Financial

Services

3,007

351,368

3,969

2.9

Enphase

Energy,

Inc.

2,390

400,277

(9,276)

(6.7)

Fiserv,

Inc.

2,765

348,805

18,194

13.1

General

Motors

Co.

14,023

540,727

17,389

12.5

KLA

Corp.

944

457,859

19,418

14.0

LPL

Financial

Holdings,

Inc.

1,719

373,762

14,130

10.2

M&T

Bank

Corp.

3,255

402,839

5,078

3.6

Marathon

Petroleum

Corp.

3,830

446,578

21,678

15.6

Mastercard,

Inc.

1,619

636,753

30,243

21.7

McDonald's

Corp.

1,977

589,957

10,616

7.6

McKesson

Corp.

1,072

458,076

18,203

13.1

Medpace

Holdings,

Inc.

1,431

343,683

21,293

15.3

Meta

Platforms,

Inc.

1,303

373,935

3,453

2.5

Microsoft

Corp.

1,540

524,432

3,835

2.8

NVIDIA

Corp.

1,331

563,040

(20,045)

(14.4)

PulteGroup,

Inc.

4,550

353,444

7,132

5.1

Roper

Technologies,

Inc.

884

425,027

22,144

15.9

Schlumberger

NV

8,042

395,023

14,958

10.8

Sherwin-Williams

Co.

(The)

1,461

387,925

25,056

18.0

Toll

Brothers,

Inc.

4,328

342,215

15,041

10.8

UnitedHealth

Group,

Inc.

867

416,715

9,754

7.0

Valero

Energy

Corp.

2,894

339,466

18,348

13.2

178

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

3M

Co.

(4,670)

(467,420)

10,321

7.4

AbbVie,

Inc.

(3,214)

(433,022)

9,931

7.1

Atmos

Energy

Corp.

(3,756)

(436,973)

(723)

(0.5)

Coherent

Corp.

(6,919)

(352,731)

29,959

21.5

DuPont

de

Nemours,

Inc.

(4,910)

(350,770)

(13,453)

(9.7)

Entegris,

Inc.

(2,942)

(326,032)

(10,268)

(7.4)

Envestnet,

Inc.

(6,270)

(372,124)

(26,961)

(19.4)

Hanesbrands,

Inc.

(80,120)

(363,745)

14,422

10.4

Honeywell

International,

Inc.

(2,532)

(525,390)

(17,977)

(12.9)

McCormick

&

Co.,

Inc.

(Non-Voting)

(4,166)

(363,400)

23,788

17.1

Medtronic

plc

(4,918)

(433,276)

2,801

2.0

Procter

&

Gamble

Co.

(The)

(2,842)

(431,245)

(10,174)

(7.3)

Selective

Insurance

Group,

Inc.

(3,606)

(345,996)

5,697

4.1

Stanley

Black

&

Decker,

Inc.

(5,397)

(505,753)

(23,369)

(16.8)

Verizon

Communications,

Inc.

(17,891)

(665,366)

(22,243)

(16.0)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

2,299,031

$

2,299,031

CITG

Cash

–

432,591

432,591

CITI

Cash

(600,418)

–

(600,418)

Investment

Companies

2,157,909

–

2,157,909

GSCO

Cash

–

2,438,142

2,438,142

GSIN

Cash

(311,733)

–

(311,733)

U.S.

Treasury

Bills

4,447,299

–

4,447,299

JPMC

Investment

Companies

10,939,800

–

10,939,800

JPMS

Cash

–

1,298,929

1,298,929

MSCL

Cash

–

1,029,398

1,029,398

179

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

1,187,494

$

1,187,494

JPPC

Cash

–

990,635

990,635

MSCL

Cash

–

3,634,712

3,634,712

180

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

105.5%

COMMON

STOCKS

-

54.2%

Australia

-

1.4%

BHP

Group

Ltd.

(a)

19,897

598,143

BlueScope

Steel

Ltd.

54,877

755,263

Harvey

Norman

Holdings

Ltd.

8,293

19,289

Incitec

Pivot

Ltd.

201,986

369,605

JB

Hi-Fi

Ltd.

13,093

383,189

Pilbara

Minerals

Ltd.

61,810

203,149

Qantas

Airways

Ltd.

*

32,908

136,375

Sonic

Healthcare

Ltd.

6,158

146,447

South32

Ltd.

(a)

84,329

212,306

Whitehaven

Coal

Ltd.

68,805

308,442

3,132,208

—

Belgium

-

0.1%

Ageas

SA/NV

623

25,256

Proximus

SADP

(a)

28,302

211,055

236,311

—

Brazil

-

0.0%

(b)

Yara

International

ASA

1,952

68,968

Canada

-

1.8%

Air

Canada

(1)*

14,117

266,302

ARC

Resources

Ltd.

(1)

45,276

603,908

Empire

Co.

Ltd.,

Class

A

(1)

5,759

163,586

Imperial

Oil

Ltd.

(1)

8,031

410,901

Manulife

Financial

Corp.

(1)(a)

2,750

51,980

Nutrien

Ltd.

(1)(a)

8,526

503,354

Parkland

Corp.

(1)

5,876

146,373

RB

Global,

Inc.

(1)(a)

2,207

132,445

Restaurant

Brands

International,

Inc.

(1)

1,475

114,359

Shopify,

Inc.,

Class

A

(1)*(a)

2,651

171,337

Suncor

Energy,

Inc.

(1)

19,719

578,434

West

Fraser

Timber

Co.

Ltd.

(1)

8,791

755,240

3,898,219

—

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

10,500

32,165

NXP

Semiconductors

NV

(1)

354

72,457

SITC

International

Holdings

Co.

Ltd.

110,000

201,428

306,050

—

Denmark

-

0.5%

AP

Moller

-

Maersk

A/S,

Class

B

(a)

535

940,662

ISS

A/S

9,647

204,078

1,144,740

—

Finland

-

0.0%

(b)

Nokia

OYJ

21,487

90,027

France

-

1.3%

Air

France-KLM

*

84,595

159,384

BNP

Paribas

SA

(a)

836

52,757

Bouygues

SA

546

18,342

Cie

de

Saint-Gobain

(a)

11,170

680,101

Dassault

Aviation

SA

952

190,734

Eiffage

SA

152

15,870

Ipsen

SA

244

29,372

INVESTMENTS

SHARES

VALUE

($)

France

-

1.3%

(continued)

Renault

SA

13,702

578,136

Rexel

SA

12,461

307,960

Rubis

SCA

(a)

6,509

158,123

Sodexo

SA

219

24,116

TotalEnergies

SE

(a)

10,743

616,698

2,831,593

—

Germany

-

1.9%

Bayer

AG

(Registered)

(a)

5,499

304,398

Bayerische

Motoren

Werke

AG

9,881

1,215,432

Deutsche

Bank

AG

(Registered)

108,590

1,141,582

Deutsche

Lufthansa

AG

(Registered)

*

33,916

347,759

Heidelberg

Materials

AG

(a)

318

26,152

Mercedes-Benz

Group

AG

(a)

1,682

135,386

TeamViewer

SE

*(c)

3,661

58,845

thyssenkrupp

AG

89,183

698,521

3,928,075

—

Guatemala

-

0.1%

Millicom

International

Cellular

SA,

SDR

*

8,108

124,066

Hong

Kong

-

0.1%

Hong

Kong

Exchanges

&

Clearing

Ltd.

800

30,311

New

World

Development

Co.

Ltd.

72,000

177,952

WH

Group

Ltd.

(c)

136,500

72,696

280,959

—

Italy

-

1.1%

Banco

BPM

SpA

27,152

126,117

Eni

SpA

3,058

44,024

Leonardo

SpA

37,219

422,617

UniCredit

SpA

55,095

1,281,156

Unipol

Gruppo

SpA

109,494

585,136

2,459,050

—

Japan

-

4.3%

Dai-ichi

Life

Holdings,

Inc.

3,900

74,178

Fuji

Electric

Co.

Ltd.

600

26,415

Haseko

Corp.

(a)

1,000

12,323

Hitachi

Construction

Machinery

Co.

Ltd.

1,400

39,365

Idemitsu

Kosan

Co.

Ltd.

12,900

258,839

IHI

Corp.

1,900

51,533

Iida

Group

Holdings

Co.

Ltd.

10,200

172,368

Inpex

Corp.

27,300

299,930

Japan

Post

Insurance

Co.

Ltd.

33,600

504,972

JFE

Holdings,

Inc.

(a)

88,300

1,262,385

Kao

Corp.

4,800

174,192

Kawasaki

Kisen

Kaisha

Ltd.

7,100

174,092

Kobayashi

Pharmaceutical

Co.

Ltd.

700

38,062

Kose

Corp.

200

19,226

Kuraray

Co.

Ltd.

4,600

44,785

Lion

Corp.

7,800

72,722

Marubeni

Corp.

(a)

1,100

18,748

Mazda

Motor

Corp.

55,200

533,463

McDonald's

Holdings

Co.

Japan

Ltd.

(1)

600

23,327

Mitsubishi

Corp.

(a)

18,800

908,922

181

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

4.3%

(continued)

Mitsubishi

Gas

Chemical

Co.,

Inc.

2,100

30,591

Mitsubishi

Motors

Corp.

203,400

711,235

Mitsui

Chemicals,

Inc.

2,600

76,637

Mitsui

OSK

Lines

Ltd.

2,900

69,771

Mizuho

Financial

Group,

Inc.

21,600

330,166

MS&AD

Insurance

Group

Holdings,

Inc.

800

28,330

NGK

Insulators

Ltd.

800

9,558

Nikon

Corp.

(a)

2,300

29,861

Nippon

Steel

Corp.

(a)

50,300

1,052,742

Nippon

Yusen

KK

11,100

246,516

Obayashi

Corp.

2,300

19,891

Oji

Holdings

Corp.

2,300

8,600

Panasonic

Holdings

Corp.

(a)

14,100

172,893

Pola

Orbis

Holdings,

Inc.

2,000

29,162

Renesas

Electronics

Corp.

*

7,300

137,768

Ryohin

Keikaku

Co.

Ltd.

14,900

147,717

Sega

Sammy

Holdings,

Inc.

4,500

96,403

Sekisui

Chemical

Co.

Ltd.

(a)

2,600

37,563

Sekisui

House

Ltd.

(a)

1,000

20,200

Shimamura

Co.

Ltd.

1,700

160,741

Shimano,

Inc.

(a)

200

33,481

Shiseido

Co.

Ltd.

4,000

181,319

Sojitz

Corp.

11,080

245,204

Subaru

Corp.

8,900

167,621

SUMCO

Corp.

700

9,931

Sumitomo

Forestry

Co.

Ltd.

(a)

3,000

72,868

Sumitomo

Heavy

Industries

Ltd.

1,100

26,347

THK

Co.

Ltd.

1,800

37,049

Tosoh

Corp.

6,700

79,248

Toyota

Tsusho

Corp.

2,100

104,950

Yamada

Holdings

Co.

Ltd.

21,800

64,172

9,148,382

—

Luxembourg

-

0.4%

ArcelorMittal

SA

31,828

868,400

Macau

-

0.0%

(b)

Sands

China

Ltd.

*

2,800

9,589

Netherlands

-

1.1%

ASR

Nederland

NV

1,862

83,983

ING

Groep

NV

5,135

69,228

NN

Group

NV

21,251

786,662

OCI

NV

5,316

127,685

Shell

plc

(a)

42,029

1,253,796

2,321,354

—

New

Zealand

-

0.0%

(b)

Xero

Ltd.

*

577

46,229

Norway

-

0.3%

Equinor

ASA

(a)

21,212

617,670

Panama

-

0.0%

(b)

Copa

Holdings

SA,

Class

A

(1)(a)

(d)

749

82,824

Russia

-

0.0%

Evraz

plc

(3)*(e)

27,473

–

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

0.1%

City

Developments

Ltd.

4,000

19,952

Seatrium

Ltd.

*

97,200

9,015

STMicroelectronics

NV

2,103

104,884

133,851

—

Spain

-

1.0%

Acerinox

SA

13,158

139,846

Banco

de

Sabadell

SA

340,333

392,387

Banco

Santander

SA

55,244

204,521

Mapfre

SA

42,909

85,304

Repsol

SA

95,263

1,385,504

2,207,562

—

Sweden

-

0.1%

Billerud

AB

2,576

19,605

Skanska

AB,

Class

B

6,691

93,878

113,483

—

Switzerland

-

0.9%

ABB

Ltd.

(Registered)

(a)

4,749

186,830

Baloise

Holding

AG

(Registered)

1,341

197,251

Clariant

AG

(Registered)

7,573

109,555

DKSH

Holding

AG

(a)

120

8,932

Dufry

AG

(Registered)

*

797

36,353

Georg

Fischer

AG

(Registered)

215

16,170

Helvetia

Holding

AG

(Registered)

189

25,616

Novartis

AG

(Registered)

(a)

12,171

1,227,073

Swatch

Group

AG

(The)

(a)

138

40,350

Temenos

AG

(Registered)

1,025

81,616

1,929,746

—

United

Kingdom

-

2.1%

Aviva

plc

1,773

8,920

Barclays

plc

388,826

759,607

BP

plc

(a)

136,743

796,170

British

American

Tobacco

plc

(a)

9,253

307,435

Centrica

plc

(a)

158,393

249,745

CK

Hutchison

Holdings

Ltd.

69,500

424,182

DCC

plc

1,357

75,913

Direct

Line

Insurance

Group

plc

16,351

28,271

Harbour

Energy

plc

50,069

145,542

HSBC

Holdings

plc

(a)

62,127

491,912

InterContinental

Hotels

Group

plc

695

48,043

International

Distributions

Services

plc

5,863

16,481

Legal

&

General

Group

plc

38,150

110,456

Liberty

Global

plc,

Class

C

(1)*(a)

(d)

24,450

434,477

Marks

&

Spencer

Group

plc

*

155,116

380,224

Rolls-Royce

Holdings

plc

*

41,955

80,680

Travis

Perkins

plc

2,079

21,532

Whitbread

plc

386

16,616

4,396,206

—

United

States

-

35.5%

3M

Co.

(1)(a)

4,069

407,266

ACI

Worldwide,

Inc.

(1)*

540

12,512

Activision

Blizzard,

Inc.

(1)*

705

59,432

Adobe,

Inc.

(1)*(a)

3,043

1,487,997

Advance

Auto

Parts,

Inc.

(1)

1,755

123,377

182

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.5%

(continued)

Advanced

Micro

Devices,

Inc.

(1)*

1,082

123,251

AGCO

Corp.

(1)

1,369

179,914

Akamai

Technologies,

Inc.

(1)*

2,000

179,740

Allison

Transmission

Holdings,

Inc.

(1)

28,065

1,584,550

Ally

Financial,

Inc.

(1)

3,319

89,646

Alphabet,

Inc.,

Class

A

(1)*(a)

13,488

1,614,514

Alphabet,

Inc.,

Class

C

(1)*(a)

8,780

1,062,117

Altice

USA,

Inc.,

Class

A

(1)*(a)(d)

213,219

643,921

Altria

Group,

Inc.

(1)(a)

15,225

689,693

Amazon.com,

Inc.

(1)*(a)

12,189

1,588,958

Amedisys,

Inc.

(1)*

665

60,808

American

Airlines

Group,

Inc.

(1)*(a)(d)

29,854

535,581

American

International

Group,

Inc.

(1)

28,808

1,657,612

American

Tower

Corp.,

REIT

(1)

725

140,607

Amgen,

Inc.

(1)(a)

103

22,868

Analog

Devices,

Inc.

(1)

1,444

281,306

Apple,

Inc.

(1)

21,348

4,140,871

Applied

Materials,

Inc.

(1)

2,083

301,077

AppLovin

Corp.,

Class

A

(1)*(a)(d)

8,219

211,475

Arrow

Electronics,

Inc.

(1)*

2,181

312,385

Autodesk,

Inc.

(1)*

590

120,720

AutoNation,

Inc.

(1)*(a)

2,687

442,307

Avnet,

Inc.

(1)

5,426

273,742

Axis

Capital

Holdings

Ltd.

(1)

4,316

232,330

Bank

of

New

York

Mellon

Corp.

(The)

(1)

2,208

98,300

Bath

&

Body

Works,

Inc.

(1)

4,482

168,075

Baxter

International,

Inc.

(1)

3,092

140,872

Berkshire

Hathaway,

Inc.,

Class

B

(1)*(a)(d)

1,954

666,314

Boeing

Co.

(The)

(1)*(a)

854

180,331

Booking

Holdings,

Inc.

(1)*(a)

269

726,389

Bristol-Myers

Squibb

Co.

(1)(a)

11,847

757,616

Broadcom,

Inc.

(1)

351

304,468

Brunswick

Corp.

(1)(a)

121

10,483

Builders

FirstSource,

Inc.

(1)*

1,441

195,976

BWX

Technologies,

Inc.

(1)

998

71,427

Capital

One

Financial

Corp.

(1)

2,456

268,613

Cardinal

Health,

Inc.

(1)

5,883

556,355

Centene

Corp.

(1)*(a)(d)

6,221

419,606

CF

Industries

Holdings,

Inc.

(1)(a)

10,067

698,851

Cheniere

Energy,

Inc.

(1)

1,637

249,413

Chevron

Corp.

(1)(a)

1,259

198,104

Cigna

Group

(The)

(1)(a)

6,202

1,740,281

Cisco

Systems,

Inc.

(1)(a)(d)

14,635

757,215

Citigroup,

Inc.

(1)(a)

18,523

852,799

CNA

Financial

Corp.

(1)

2,298

88,749

CNO

Financial

Group,

Inc.

(1)

1,041

24,640

Coca-Cola

Consolidated,

Inc.

(1)

(a)(d)

592

376,524

Cognizant

Technology

Solutions

Corp.,

Class

A

(1)

1,320

86,170

Comcast

Corp.,

Class

A

(1)(a)

12,006

498,849

Crown

Castle,

Inc.,

REIT

(1)(a)(d)

311

35,435

CVS

Health

Corp.

(1)(a)

24,575

1,698,870

Delta

Air

Lines,

Inc.

(1)*

10,255

487,523

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.5%

(continued)

Dick's

Sporting

Goods,

Inc.

(1)(a)

(d)

1,635

216,131

Digital

Realty

Trust,

Inc.,

REIT

(1)

191

21,749

Discover

Financial

Services

(1)(a)

(d)

584

68,240

DocuSign,

Inc.,

Class

A

(1)*

5,550

283,550

Domino's

Pizza,

Inc.

(1)

1,160

390,908

Dropbox,

Inc.,

Class

A

(1)*

14,414

384,421

Enphase

Energy,

Inc.

(1)*

133

22,275

Equinix,

Inc.,

REIT

(1)

61

47,820

Expedia

Group,

Inc.

(1)*

4,467

488,645

FedEx

Corp.

(1)(a)

127

31,483

Fidelity

National

Information

Services,

Inc.

(1)

6,911

378,032

Ford

Motor

Co.

(1)

34,783

526,267

Gates

Industrial

Corp.

plc

(1)*

17,367

234,107

Gen

Digital,

Inc.

(1)

22,566

418,599

General

Dynamics

Corp.

(1)(a)(d)

1,450

311,968

General

Motors

Co.

(1)

44,008

1,696,948

Gilead

Sciences,

Inc.

(1)(a)

1,994

153,678

Global

Payments,

Inc.

(1)

3,022

297,727

Hewlett

Packard

Enterprise

Co.

(1)

(a)(d)

15,807

265,558

HF

Sinclair

Corp.

(1)

3,410

152,120

Holcim

AG

(a)

417

28,109

Horizon

Therapeutics

plc

(1)*(a)

257

26,432

Humana,

Inc.

(1)

219

97,921

Huntington

Ingalls

Industries,

Inc.

(1)

4,258

969,121

Intel

Corp.

(1)

9,831

328,749

Johnson

&

Johnson

(1)(a)

1,591

263,342

KB

Home

(1)

9,280

479,869

Keurig

Dr

Pepper,

Inc.

(1)(a)

278

8,693

KLA

Corp.

(1)

208

100,884

Kroger

Co.

(The)

(1)

11,626

546,422

L3Harris

Technologies,

Inc.

(1)(a)

512

100,234

Laboratory

Corp.

of

America

Holdings

(1)

570

137,558

LyondellBasell

Industries

NV,

Class

A

(1)(a)(d)

1,227

112,675

Macy's,

Inc.

(1)(a)(d)

15,801

253,606

ManpowerGroup,

Inc.

(1)(a)

2,705

214,777

Marathon

Petroleum

Corp.

(1)

3,419

398,655

Marriott

International,

Inc.,

Class

A

(1)

1,466

269,290

Matador

Resources

Co.

(1)

3,322

173,807

Mattel,

Inc.

(1)*(a)

1,494

29,193

McDonald's

Corp.

(1)(a)

820

244,696

McKesson

Corp.

(1)

494

211,091

Medtronic

plc

(1)(a)

2,464

217,078

Meta

Platforms,

Inc.,

Class

A

(1)*(a)

6,762

1,940,559

MetLife,

Inc.

(1)(a)

3,152

178,183

MGIC

Investment

Corp.

(1)

8,868

140,026

MGM

Resorts

International

(1)(a)(d)

1,090

47,873

Microchip

Technology,

Inc.

(1)(a)(d)

10,699

958,523

Microsoft

Corp.

(1)(a)

8,809

2,999,817

Mosaic

Co.

(The)

(1)(a)

9,181

321,335

Murphy

USA,

Inc.

(1)

549

170,799

Navient

Corp.

(1)

33,270

618,157

NCR

Corp.

(1)*(a)(d)

13,532

341,006

183

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.5%

(continued)

Netflix,

Inc.

(1)*(a)

363

159,898

Neurocrine

Biosciences,

Inc.

(1)*

165

15,560

New

Relic,

Inc.

(1)*

1,634

106,929

Nutanix,

Inc.,

Class

A

(1)*

307

8,611

NVIDIA

Corp.

(1)

2,470

1,044,859

Ovintiv,

Inc.

(1)(a)(d)

3,091

117,674

Owens

Corning

(1)

4,374

570,807

PACCAR,

Inc.

(1)(a)

905

75,703

Patterson

Cos.,

Inc.

(1)

4,763

158,417

PayPal

Holdings,

Inc.

(1)*(a)(d)

9,435

629,598

PBF

Energy,

Inc.,

Class

A

(1)

9,164

375,174

Penn

Entertainment,

Inc.

(1)*(a)(d)

1,986

47,724

Petco

Health

&

Wellness

Co.,

Inc.,

Class

A

(1)*(a)(d)

6,085

54,157

Pfizer,

Inc.

(1)(a)

12,589

461,765

Phillips

66

(1)(a)(d)

2,005

191,237

Pioneer

Natural

Resources

Co.

(1)

246

50,966

Playtika

Holding

Corp.

(1)*

10,658

123,633

Premier,

Inc.,

Class

A

(1)(a)(d)

1,654

45,750

Prologis,

Inc.,

REIT

(1)

1,198

146,911

Public

Storage,

REIT

(1)

111

32,399

PulteGroup,

Inc.

(1)(a)

7,620

591,922

Qorvo,

Inc.

(1)*

838

85,501

QUALCOMM,

Inc.

(1)

6,201

738,167

Reinsurance

Group

of

America,

Inc.

(1)

799

110,813

RingCentral,

Inc.,

Class

A

(1)*

7,696

251,890

Ryder

System,

Inc.

(1)(a)(d)

1,822

154,487

Salesforce,

Inc.

(1)*(a)

5,332

1,126,438

Schneider

National,

Inc.,

Class

B

(1)

2,031

58,330

ServiceNow,

Inc.

(1)*(a)

222

124,757

Signify

NV

(c)

5,515

154,607

Simon

Property

Group,

Inc.,

REIT

(1)(a)(d)

376

43,420

Skyworks

Solutions,

Inc.

(1)

1,668

184,631

Southwest

Airlines

Co.

(1)(a)(d)

3,227

116,850

Southwestern

Energy

Co.

(1)*

18,945

113,859

SS&C

Technologies

Holdings,

Inc.

(1)(a)(d)

1,732

104,959

Stellantis

NV

74,208

1,304,636

Stifel

Financial

Corp.

(1)

387

23,092

Super

Micro

Computer,

Inc.

(1)*(a)

(d)

2,231

556,077

Swiss

Re

AG

4,099

413,027

Synaptics,

Inc.

(1)*

3,237

276,375

Synchrony

Financial

(1)

21,423

726,668

Syneos

Health,

Inc.

(1)*

7,667

323,087

Taylor

Morrison

Home

Corp.,

Class

A

(1)*

10,936

533,349

TD

SYNNEX

Corp.

(1)

3,017

283,598

Teradata

Corp.

(1)*(a)(d)

2,144

114,511

Terex

Corp.

(1)

6,063

362,749

Tesla,

Inc.

(1)*

2,619

685,576

Texas

Roadhouse,

Inc.,

Class

A

(1)

744

83,536

Textron,

Inc.

(1)

5,704

385,762

Toast,

Inc.,

Class

A

(1)*(a)(d)

384

8,667

Toll

Brothers,

Inc.

(1)(a)

16,818

1,329,799

Travel

+

Leisure

Co.

(1)

6,996

282,219

TripAdvisor,

Inc.

(1)*

21,364

352,292

INVESTMENTS

SHARES

VALUE

($)

United

States

-

35.5%

(continued)

Tyson

Foods,

Inc.,

Class

A

(1)

6,081

310,374

Uber

Technologies,

Inc.

(1)*(a)(d)

2,528

109,134

United

Airlines

Holdings,

Inc.

(1)*

29,582

1,623,164

United

States

Steel

Corp.

(1)(a)(d)

26,521

663,290

United

Therapeutics

Corp.

(1)*(a)

78

17,219

UnitedHealth

Group,

Inc.

(1)(a)

1,456

699,812

Universal

Health

Services,

Inc.,

Class

B

(1)

397

62,635

Unum

Group

(1)

20,493

977,516

Valero

Energy

Corp.

(1)

5,631

660,516

Veeva

Systems,

Inc.,

Class

A

(1)*(a)(d)

1,331

263,179

Vertiv

Holdings

Co.,

Class

A

(1)

5,469

135,467

Viatris,

Inc.

(1)(a)

79,519

793,600

Victoria's

Secret

&

Co.

(1)*

14,135

246,373

Virtu

Financial,

Inc.,

Class

A

(1)

24,757

423,097

Vishay

Intertechnology,

Inc.

(1)

2,656

78,086

VMware,

Inc.,

Class

A

(1)*

248

35,635

Walmart,

Inc.

(1)(a)

4,647

730,415

Western

Union

Co.

(The)

(1)(a)(d)

125,830

1,475,986

Workday,

Inc.,

Class

A

(1)*

718

162,189

Xerox

Holdings

Corp.

(1)

15,164

225,792

Zoom

Video

Communications,

Inc.,

Class

A

(1)*

3,363

228,280

76,602,713

—

TOTAL

COMMON

STOCKS

(Cost

$101,635,025)

116,978,275

PREFERRED

STOCKS

-

0.3%

Germany

-

0.3%

Volkswagen

AG

(Preference)

(a)

(Cost

$706,408)

5,305

713,378

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

7.0%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(f)(g)

EUR

5,448,740

6,051,022

French

Republic

1.85%,

7/25/2027

(f)(g)

8,453

9,690

0.70%,

7/25/2030

(f)(g)

2,949,480

3,276,457

0.10%,

7/25/2031

(f)(g)

1,754,700

1,859,929

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(f)(g)

GBP

934,556

1,141,223

0.13%,

8/10/2031

(f)(g)

507,896

626,645

1.25%,

11/22/2032

(f)(g)

858,465

1,162,820

0.75%,

3/22/2034

(f)(g)

802,655

1,029,461

Cost:

$14,882,304

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$14,882,304)

15,157,247

U.S.

TREASURY

OBLIGATIONS

-

9.3%

U.S.

Treasury

Inflation

Linked

Notes

1.63%,

10/15/2027

$

1,433,712

1,412,500

0.50%,

1/15/2028

1,229,850

1,150,222

0.75%,

7/15/2028

1,329,394

1,259,575

0.25%,

7/15/2029

1,304,567

1,191,003

0.13%,

1/15/2030

1,297,010

1,163,205

0.13%,

7/15/2030

1,301,520

1,166,919

184

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

9.3%

(continued)

0.13%,

1/15/2031

$

1,864,576

1,656,687

0.13%,

7/15/2031

2,829,650

2,508,523

0.13%,

1/15/2032

4,486,917

3,948,838

0.63%,

7/15/2032

4,072,029

3,741,655

1.13%,

1/15/2033

1,018,420

975,505

Cost:

$20,748,855

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$20,748,855)

20,174,632

SHARES

SHORT-TERM

INVESTMENTS

-

34.7%

INVESTMENT

COMPANIES

-

19.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(h)(i)

2,449,253

2,449,253

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(h)

40,298,816

40,282,697

TOTAL

INVESTMENT

COMPANIES

(Cost

$42,726,260)

42,731,950

—

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

14.9%

U.S.

Treasury

Bills

4.82%,

7/13/2023

(j)

$

2,763,000

2,759,158

4.80%,

7/20/2023

(j)

603,000

601,574

4.80%,

7/27/2023

(j)

1,514,000

1,508,937

4.79%,

8/3/2023

(j)

1,664,000

1,656,673

4.96%,

8/17/2023

(j)(k)

10,377,000

10,310,041

4.96%,

10/26/2023

(j)

3,527,000

3,468,413

5.02%,

11/2/2023

(j)

958,000

941,108

5.01%,

11/9/2023

(j)(k)

3,287,000

3,225,909

5.44%,

11/30/2023

(j)

5,191,000

5,078,557

5.36%,

12/28/2023

(j)

2,726,000

2,655,423

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$32,209,176)

32,205,793

—

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$74,935,436)

74,937,743

TOTAL

LONG

POSITIONS

(Cost

$212,908,028)

227,961,275

SHARES

SHORT

POSITIONS

-

(12.6)%

COMMON

STOCKS

-

(12.6)%

Australia

-

(0.5)%

Cleanaway

Waste

Management

Ltd.

(31,411)

(54,341)

Commonwealth

Bank

of

Australia

(2,222)

(148,756)

Endeavour

Group

Ltd.

(12,076)

(50,824)

IDP

Education

Ltd.

(8,955)

(132,613)

IGO

Ltd.

(5,897)

(60,189)

Lynas

Rare

Earths

Ltd.

(16,306)

(74,928)

Mineral

Resources

Ltd.

(11,470)

(549,330)

Reece

Ltd.

(756)

(9,418)

Worley

Ltd.

(3,902)

(41,202)

(1,121,601)

—

Belgium

-

(0.0)%

(b)

UCB

SA

(211)

(18,707)

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(0.6)%

Cameco

Corp.

(1)

(24,629)

(771,358)

Canadian

Pacific

Kansas

City

Ltd.

(1)

(1,567)

(126,567)

Constellation

Software,

Inc.

(1)

(97)

(200,975)

Element

Fleet

Management

Corp.

(1)

(2,571)

(39,164)

Nuvei

Corp.

(1)(c)

(234)

(6,910)

Pan

American

Silver

Corp.

(1)

(13,564)

(197,611)

(1,342,585)

—

Chile

-

(0.1)%

Antofagasta

plc

(16,530)

(307,400)

Denmark

-

(0.2)%

Coloplast

A/S,

Class

B

(74)

(9,260)

Demant

A/S

(462)

(19,555)

Novozymes

A/S,

Class

B

(5,816)

(271,370)

Orsted

A/S

(c)

(1,138)

(107,885)

Vestas

Wind

Systems

A/S

(2,919)

(77,608)

(485,678)

—

Faroe

Islands

-

(0.0)%

(b)

Bakkafrost

P/F

(758)

(45,345)

France

-

(0.0)%

(b)

Sartorius

Stedim

Biotech

(204)

(50,949)

SEB

SA

(127)

(13,134)

(64,083)

—

Germany

-

(0.6)%

adidas

AG

(5,032)

(976,852)

Covestro

AG

(c)

(1,924)

(100,111)

Fresenius

Medical

Care

AG

&

Co.

KGaA

(332)

(15,867)

HelloFresh

SE

(1,211)

(29,951)

Rheinmetall

AG

(488)

(133,689)

Siemens

Healthineers

AG

(c)

(843)

(47,777)

(1,304,247)

—

India

-

0.0%

Godha

Cabcon

&

Insulation

Ltd.

Escrow

(3)(e)

(114)

–

Italy

-

(1.1)%

A2A

SpA

(29,129)

(53,291)

Banca

Generali

SpA

(577)

(19,851)

Brunello

Cucinelli

SpA

(575)

(50,626)

DiaSorin

SpA

(983)

(102,398)

Ferrari

NV

(3,476)

(1,136,471)

Hera

SpA

(7,397)

(22,014)

Infrastrutture

Wireless

Italiane

SpA

(c)

(16,582)

(218,887)

Moncler

SpA

(1,652)

(114,298)

Nexi

SpA

(c)

(37,526)

(294,420)

Reply

SpA

(822)

(93,455)

Telecom

Italia

SpA

(429,739)

(121,157)

(2,226,868)

—

Japan

-

(1.5)%

Ajinomoto

Co.,

Inc.

(3,800)

(151,380)

Asahi

Intecc

Co.

Ltd.

(700)

(13,782)

Azbil

Corp.

(700)

(22,155)

185

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(1.5)%

(continued)

BayCurrent

Consulting,

Inc.

(5,000)

(188,010)

Capcom

Co.

Ltd.

(13,000)

(515,326)

Chubu

Electric

Power

Co.,

Inc.

(800)

(9,760)

Eisai

Co.

Ltd.

(700)

(47,442)

GMO

Payment

Gateway,

Inc.

(1,100)

(86,283)

Hoya

Corp.

(300)

(35,900)

Japan

Airport

Terminal

Co.

Ltd.

(500)

(22,616)

JSR

Corp.

(3,200)

(91,956)

Kansai

Electric

Power

Co.,

Inc.

(The)

(3,600)

(45,167)

KDDI

Corp.

(2,400)

(74,119)

Keyence

Corp.

(200)

(95,031)

Koei

Tecmo

Holdings

Co.

Ltd.

(3,800)

(65,821)

Kyushu

Electric

Power

Co.,

Inc.

(1,500)

(9,592)

M3,

Inc.

(400)

(8,722)

Nexon

Co.

Ltd.

(6,300)

(120,813)

Nintendo

Co.

Ltd.

(1,100)

(50,147)

Nippon

Paint

Holdings

Co.

Ltd.

(3,700)

(30,621)

Nippon

Telegraph

&

Telephone

Corp.

(35,000)

(41,416)

NTT

Data

Group

Corp.

(6,200)

(86,930)

Obic

Co.

Ltd.

(1,600)

(256,813)

Osaka

Gas

Co.

Ltd.

(800)

(12,262)

SoftBank

Corp.

(2,500)

(26,713)

SoftBank

Group

Corp.

(3,000)

(141,479)

Sompo

Holdings,

Inc.

(600)

(26,922)

Sysmex

Corp.

(1,700)

(116,445)

T&D

Holdings,

Inc.

(2,500)

(36,665)

Terumo

Corp.

(1,700)

(54,144)

TIS,

Inc.

(2,500)

(62,638)

Tohoku

Electric

Power

Co.,

Inc.

(3,000)

(18,551)

Tokio

Marine

Holdings,

Inc.

(3,400)

(78,382)

Yaskawa

Electric

Corp.

(200)

(9,221)

Z

Holdings

Corp.

(110,200)

(265,592)

(2,918,816)

—

Luxembourg

-

(0.0)%

(b)

Eurofins

Scientific

SE

(1,469)

(93,352)

Netherlands

-

(0.4)%

Adyen

NV

(c)

(266)

(460,624)

Argenx

SE

(642)

(250,377)

Koninklijke

Philips

NV

(3,524)

(76,357)

(787,358)

—

Norway

-

(0.1)%

Kongsberg

Gruppen

ASA

(1,265)

(57,500)

Salmar

ASA

(682)

(27,483)

Schibsted

ASA,

Class

A

(7,230)

(126,968)

(211,951)

—

South

Korea

-

(0.1)%

Delivery

Hero

SE

(c)

(6,033)

(266,176)

Spain

-

(0.3)%

Acciona

SA

(957)

(162,489)

Cellnex

Telecom

SA

(c)

(9,853)

(398,098)

Corp.

ACCIONA

Energias

Renovables

SA

(900)

(30,110)

INVESTMENTS

SHARES

VALUE

($)

Spain

-

(0.3)%

(continued)

Endesa

SA

(3,409)

(73,251)

(663,948)

—

Sweden

-

(0.1)%

Beijer

Ref

AB,

Class

B

(1,753)

(22,392)

EQT

AB

(9,945)

(191,458)

Hexagon

AB,

Class

B

(4,068)

(50,038)

Telia

Co.

AB

(5,334)

(11,702)

(275,590)

—

Switzerland

-

(0.3)%

Bachem

Holding

AG,

Class

B

(5,839)

(509,836)

Logitech

International

SA

(Registered)

(947)

(56,522)

SIG

Group

AG

(6,839)

(188,939)

(755,297)

—

United

Kingdom

-

(0.1)%

ConvaTec

Group

plc

(c)

(19,418)

(50,644)

Croda

International

plc

(131)

(9,364)

Ocado

Group

plc

(17,969)

(130,031)

Persimmon

plc

(941)

(12,261)

Rentokil

Initial

plc

(7,697)

(60,181)

(262,481)

—

United

States

-

(6.5)%

10X

Genomics,

Inc.,

Class

A

(1)

(1,781)

(99,451)

Advanced

Drainage

Systems,

Inc.

(1)

(2,908)

(330,872)

agilon

health,

Inc.

(1)

(27,431)

(475,654)

Alcoa

Corp.

(1)

(4,743)

(160,930)

Alnylam

Pharmaceuticals,

Inc.

(1)

(914)

(173,605)

Arrowhead

Pharmaceuticals,

Inc.

(1)

(3,175)

(113,221)

Aspen

Technology,

Inc.

(1)

(103)

(17,264)

Azenta,

Inc.

(1)

(10,277)

(479,730)

Ball

Corp.

(1)

(5,146)

(299,549)

Brookfield

Renewable

Corp.,

Class

A

(1)

(273)

(8,612)

Carnival

Corp.

(1)

(5,104)

(96,108)

Carvana

Co.,

Class

A

(1)

(24,080)

(624,153)

Catalent,

Inc.

(1)

(3,582)

(155,316)

Celsius

Holdings,

Inc.

(1)

(1,305)

(194,693)

Chart

Industries,

Inc.

(1)

(2,752)

(439,742)

Clarivate

plc

(1)

(4,471)

(42,609)

Cloudflare,

Inc.,

Class

A

(1)

(3,498)

(228,664)

Confluent,

Inc.,

Class

A

(1)

(6,383)

(225,384)

Definitive

Healthcare

Corp.,

Class

A

(1)

(1,147)

(12,617)

DoorDash,

Inc.,

Class

A

(1)

(3,438)

(262,732)

Envestnet,

Inc.

(1)

(7,414)

(440,021)

Freshpet,

Inc.

(1)

(8,968)

(590,183)

Frontier

Communications

Parent,

Inc.

(1)

(3,787)

(70,590)

GameStop

Corp.,

Class

A

(1)

(11,277)

(273,467)

Ginkgo

Bioworks

Holdings,

Inc.,

Class

A

(1)

(104,115)

(193,654)

Hanesbrands,

Inc.

(1)

(99,198)

(450,359)

ICU

Medical,

Inc.

(1)

(1,319)

(235,033)

Illumina,

Inc.

(1)

(299)

(56,060)

186

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(6.5)%

(continued)

Iridium

Communications,

Inc.

(1)

(1,102)

(68,456)

James

Hardie

Industries

plc,

CHESS

(2,196)

(58,580)

Kohl's

Corp.

(1)

(11,561)

(266,481)

Kyndryl

Holdings,

Inc.

(1)

(3,187)

(42,323)

Mirati

Therapeutics,

Inc.

(1)

(6,404)

(231,377)

MongoDB,

Inc.,

Class

A

(1)

(118)

(48,497)

MP

Materials

Corp.

(1)

(17,062)

(390,379)

Natera,

Inc.

(1)

(3,299)

(160,529)

nCino,

Inc.

(1)

(3,732)

(112,408)

New

York

Community

Bancorp,

Inc.

(1)

(6,759)

(75,971)

Novanta,

Inc.

(1)

(1,478)

(272,100)

Novocure

Ltd.

(1)

(10,735)

(445,503)

Paycor

HCM,

Inc.

(1)

(3,436)

(81,330)

Peloton

Interactive,

Inc.,

Class

A

(1)

(63,424)

(487,730)

Pinterest,

Inc.,

Class

A

(1)

(3,291)

(89,976)

Plug

Power,

Inc.

(1)

(37,597)

(390,633)

Quanta

Services,

Inc.

(1)

(3,453)

(678,341)

R1

RCM,

Inc.

(1)

(1,709)

(31,531)

Repligen

Corp.

(1)

(1,595)

(225,629)

Rivian

Automotive,

Inc.,

Class

A

(1)

(13,075)

(217,830)

ROBLOX

Corp.,

Class

A

(1)

(7,441)

(299,872)

Royal

Gold,

Inc.

(1)

(1,779)

(204,194)

Saia,

Inc.

(1)

(928)

(317,756)

SiteOne

Landscape

Supply,

Inc.

(1)

(595)

(99,579)

Teladoc

Health,

Inc.

(1)

(22,058)

(558,508)

Trade

Desk,

Inc.

(The),

Class

A

(1)

(3,482)

(268,880)

Twilio,

Inc.,

Class

A

(1)

(2,653)

(168,784)

Ultragenyx

Pharmaceutical,

Inc.

(1)

(3,398)

(156,750)

Valaris

Ltd.

(1)

(5,364)

(337,557)

Viasat,

Inc.

(1)

(3,519)

(145,194)

Wayfair,

Inc.,

Class

A

(1)

(1,237)

(80,417)

(13,763,368)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(1)

(11,631)

(275,158)

TOTAL

COMMON

STOCKS

(Proceeds

$(26,748,925))

(27,190,009)

PREFERRED

STOCKS

-

(0.0)%

(b)

Germany

-

(0.0)%

(b)

Sartorius

AG

(Preference)

(Cost

$(108,187))

(224)

(77,607)

TOTAL

SHORT

POSITIONS

(Proceeds

$(26,857,112))

(27,267,616)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.9%

(Cost

$186,050,916)

200,693,659

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.1%

(l)

15,409,532

NET

ASSETS

-

100.0%

216,103,191

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,248,800

2.0

%

Consumer

Discretionary

13,361,865

6.2

Consumer

Staples

2,880,854

1.3

Energy

9,038,844

4.2

Financials

16,490,647

7.6

Foreign

Government

Securities

15,157,247

7.0

Health

Care

5,843,056

2.7

Industrials

13,191,528

6.2

Information

Technology

18,476,535

8.6

Materials

6,370,779

2.9

Real

Estate

666,245

0.3

Utilities

(145,116)

(0.1)

Investment

Companies

42,731,950

19.8

U.S.

Treasury

Obligations

52,380,425

24.2

Total

Investments

In

Securities

At

Value

200,693,659

92.9

Other

Assets

in

Excess

of

Liabilities

(l)

15,409,532

7.1

Net

Assets

$

216,103,191

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$28,936,782,

which

is

inclusive

of

rehypothecated

amounts disclosed

below.

187

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$(1,665,384),

which

represents

(0.77)%

of

net

assets

of

the

Fund.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$7,228,175.

(e)

Security

fair

valued

using

significant

unobservable

inputs

(Level

3)

as

of

June

30,

2023

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$0,

which

represents

0.00%

of

net

assets

of

the

Fund.

(f)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$15,157,247,

which

represents

7.01%

of

net

assets

of

the

Fund.

(g)

Inflation

protected

security.

(h)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

(1,019,430)

$

6,947

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.17%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

EUR

1,134,394

35,355

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.22%)

Monthly

BANA

09/20/2023

SEK

(5,996,183)

5,944

48,246

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

07/21/2023

EUR

(5,116,386)

(26,955)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.95%)

Monthly

BANA

09/20/2023

CAD

(918,383)

(7,783)

188

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.11%)

Monthly

BANA

09/20/2023

EUR

(575,380)

$

(5,218)

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SONIA

plus

or

minus

a

specified

spread

(0.19%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

GBP

71,580

(980)

(40,936)

$

7,310

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

34

7/2023

USD

$

2,563,940

$

16,683

IBEX

35

Index

1

7/2023

EUR

104,210

2,516

LME

Aluminum

Base

Metal

1

7/2023

USD

52,939

(6,664)

LME

Aluminum

Base

Metal

1

7/2023

USD

53,141

(4,612)

LME

Aluminum

Base

Metal

1

7/2023

USD

53,031

(6,897)

LME

Aluminum

Base

Metal

3

7/2023

USD

158,764

(17,794)

LME

Aluminum

Base

Metal

3

7/2023

USD

159,281

(15,403)

LME

Aluminum

Base

Metal

5

7/2023

USD

264,375

(26,427)

LME

Aluminum

Base

Metal

6

7/2023

USD

316,575

(39,120)

LME

Copper

Base

Metal

1

7/2023

USD

208,063

(6,065)

LME

Copper

Base

Metal

1

7/2023

USD

208,069

(13,534)

LME

Copper

Base

Metal

1

7/2023

USD

208,063

(6,977)

LME

Copper

Base

Metal

2

7/2023

USD

416,203

(26,503)

LME

Copper

Base

Metal

2

7/2023

USD

416,103

(28,333)

LME

Copper

Base

Metal

5

7/2023

USD

1,040,343

(28,946)

LME

Lead

Base

Metal

1

7/2023

USD

53,058

(583)

LME

Lead

Base

Metal

1

7/2023

USD

52,538

(1,040)

LME

Lead

Base

Metal

1

7/2023

USD

53,188

885

LME

Lead

Base

Metal

1

7/2023

USD

53,500

522

LME

Lead

Base

Metal

1

7/2023

USD

52,538

(115)

LME

Lead

Base

Metal

1

7/2023

USD

52,538

(769)

LME

Lead

Base

Metal

2

7/2023

USD

107,175

1,720

LME

Nickel

Base

Metal

1

7/2023

USD

122,405

(19,322)

LME

Nickel

Base

Metal

1

7/2023

USD

122,364

(28,328)

LME

Nickel

Base

Metal

1

7/2023

USD

122,438

(20,635)

LME

Zinc

Base

Metal

1

7/2023

USD

59,609

(8,969)

LME

Zinc

Base

Metal

1

7/2023

USD

59,686

(6,142)

LME

Zinc

Base

Metal

1

7/2023

USD

59,694

(6,044)

LME

Zinc

Base

Metal

1

7/2023

USD

59,616

(10,637)

189

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Natural

Gas

12

7/2023

USD

$

335,760

$

8,723

NY

Harbor

ULSD

3

7/2023

USD

308,398

11,248

RBOB

Gasoline

7

7/2023

USD

748,201

21,594

100

oz

Gold

24

8/2023

USD

4,630,560

(262,546)

Brent

Crude

Oil

26

8/2023

USD

1,957,800

15,756

Feeder

Cattle

6

8/2023

USD

742,725

51,109

Lean

Hogs

15

8/2023

USD

555,600

7,967

Live

Cattle

3

8/2023

USD

212,610

16,843

LME

Aluminum

Base

Metal

1

8/2023

USD

53,575

(2,154)

LME

Aluminum

Base

Metal

2

8/2023

USD

106,968

(4,250)

LME

Aluminum

Base

Metal

3

8/2023

USD

160,088

(9,579)

LME

Aluminum

Base

Metal

5

8/2023

USD

266,455

(23,967)

LME

Aluminum

Base

Metal

7

8/2023

USD

373,119

(27,199)

LME

Aluminum

Base

Metal

8

8/2023

USD

426,518

(19,960)

LME

Aluminum

Base

Metal

8

8/2023

USD

427,642

(18,599)

LME

Aluminum

Base

Metal

8

8/2023

USD

427,750

(15,715)

LME

Aluminum

Base

Metal

9

8/2023

USD

480,976

(28,074)

LME

Aluminum

Base

Metal

10

8/2023

USD

533,783

(36,877)

LME

Aluminum

Base

Metal

12

8/2023

USD

640,650

(46,797)

LME

Copper

Base

Metal

1

8/2023

USD

208,100

435

LME

Copper

Base

Metal

2

8/2023

USD

415,956

7,076

LME

Copper

Base

Metal

2

8/2023

USD

416,192

(15,188)

LME

Copper

Base

Metal

2

8/2023

USD

415,909

8,050

LME

Copper

Base

Metal

2

8/2023

USD

415,894

13,438

LME

Copper

Base

Metal

2

8/2023

USD

416,214

(10,723)

LME

Copper

Base

Metal

3

8/2023

USD

623,911

3,984

LME

Copper

Base

Metal

3

8/2023

USD

624,321

(20,137)

LME

Copper

Base

Metal

5

8/2023

USD

1,040,535

2,859

LME

Copper

Base

Metal

5

8/2023

USD

1,039,609

30,666

LME

Copper

Base

Metal

6

8/2023

USD

1,247,456

52,946

LME

Lead

Base

Metal

1

8/2023

USD

52,532

(796)

LME

Lead

Base

Metal

1

8/2023

USD

52,535

(629)

LME

Lead

Base

Metal

1

8/2023

USD

52,533

(666)

LME

Lead

Base

Metal

1

8/2023

USD

52,536

(1,414)

LME

Lead

Base

Metal

1

8/2023

USD

52,525

1,400

LME

Lead

Base

Metal

1

8/2023

USD

52,536

521

LME

Lead

Base

Metal

1

8/2023

USD

52,535

311

LME

Lead

Base

Metal

1

8/2023

USD

52,533

311

LME

Lead

Base

Metal

2

8/2023

USD

105,063

(1,046)

LME

Lead

Base

Metal

2

8/2023

USD

105,073

2,278

LME

Lead

Base

Metal

4

8/2023

USD

210,115

5,904

LME

Nickel

Base

Metal

1

8/2023

USD

122,775

(2,928)

LME

Nickel

Base

Metal

1

8/2023

USD

122,520

(23,597)

LME

Nickel

Base

Metal

1

8/2023

USD

122,786

(3,517)

LME

Nickel

Base

Metal

1

8/2023

USD

122,856

(1,107)

LME

Nickel

Base

Metal

1

8/2023

USD

122,624

(10,362)

LME

Nickel

Base

Metal

1

8/2023

USD

122,705

(5,698)

LME

Zinc

Base

Metal

1

8/2023

USD

59,713

239

LME

Zinc

Base

Metal

1

8/2023

USD

59,728

(7,050)

LME

Zinc

Base

Metal

1

8/2023

USD

59,731

(4,247)

LME

Zinc

Base

Metal

2

8/2023

USD

119,463

(9,519)

LME

Zinc

Base

Metal

2

8/2023

USD

119,500

5,719

LME

Zinc

Base

Metal

2

8/2023

USD

119,457

6,151

Low

Sulphur

Gasoil

9

8/2023

USD

632,250

12,804

Natural

Gas

11

8/2023

USD

305,140

22,054

NY

Harbor

ULSD

8

8/2023

USD

820,512

6,187

190

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

RBOB

Gasoline

12

8/2023

USD

$

1,241,100

$

30,964

WTI

Crude

Oil

20

8/2023

USD

1,415,600

20,713

Australia

10

Year

Bond

421

9/2023

AUD

32,655,812

(108,260)

Australia

3

Year

Bond

29

9/2023

AUD

2,041,165

(8,451)

Cocoa

5

9/2023

USD

167,650

13,680

Coffee

'C'

28

9/2023

USD

1,669,500

(232,012)

Corn

56

9/2023

USD

1,367,800

(271,955)

Euro

STOXX

50

Index

144

9/2023

EUR

6,956,269

76,840

Euro-Bobl

43

9/2023

EUR

5,430,237

(74,426)

Euro-BTP

29

9/2023

EUR

3,677,442

22,056

Euro-Buxl

13

9/2023

EUR

1,982,012

33,517

Euro-OAT

34

9/2023

EUR

4,764,485

(35,174)

Euro-Schatz

12

9/2023

EUR

1,372,948

(1,791)

Feeder

Cattle

2

9/2023

USD

250,825

9,197

FTSE

100

Index

69

9/2023

GBP

6,608,616

(56,212)

FTSE/MIB

Index

81

9/2023

EUR

12,534,631

301,385

Japan

10

Year

Bond

36

9/2023

JPY

37,094,008

172,586

KC

HRW

Wheat

7

9/2023

USD

280,000

(18,583)

LME

Aluminum

Base

Metal

1

9/2023

USD

53,708

(2,045)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,396

(3,410)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,304

(3,502)

LME

Aluminum

Base

Metal

3

9/2023

USD

160,969

(7,940)

LME

Aluminum

Base

Metal

3

9/2023

USD

160,950

(7,236)

LME

Aluminum

Base

Metal

4

9/2023

USD

214,575

(9,237)

LME

Aluminum

Base

Metal

5

9/2023

USD

268,271

(9,469)

LME

Aluminum

Base

Metal

6

9/2023

USD

321,900

(14,980)

LME

Aluminum

Base

Metal

7

9/2023

USD

375,156

(22,822)

LME

Aluminum

Base

Metal

11

9/2023

USD

590,150

(29,304)

LME

Aluminum

Base

Metal

32

9/2023

USD

1,718,000

(143,810)

LME

Copper

Base

Metal

1

9/2023

USD

207,850

(5,692)

LME

Copper

Base

Metal

1

9/2023

USD

207,838

(8,544)

LME

Copper

Base

Metal

1

9/2023

USD

207,888

774

LME

Copper

Base

Metal

2

9/2023

USD

415,894

(1,853)

LME

Copper

Base

Metal

2

9/2023

USD

416,000

(6,987)

LME

Copper

Base

Metal

2

9/2023

USD

415,888

(2,235)

LME

Copper

Base

Metal

2

9/2023

USD

415,881

978

LME

Copper

Base

Metal

3

9/2023

USD

623,925

(15,950)

LME

Copper

Base

Metal

3

9/2023

USD

624,029

(8,838)

LME

Copper

Base

Metal

4

9/2023

USD

831,700

2,480

LME

Copper

Base

Metal

4

9/2023

USD

831,750

5,237

LME

Copper

Base

Metal

47

9/2023

USD

9,772,475

(267,399)

LME

Lead

Base

Metal

1

9/2023

USD

52,619

541

LME

Lead

Base

Metal

1

9/2023

USD

52,576

1,599

LME

Lead

Base

Metal

1

9/2023

USD

52,619

(821)

LME

Lead

Base

Metal

1

9/2023

USD

52,541

(1,872)

LME

Lead

Base

Metal

1

9/2023

USD

52,509

131

LME

Lead

Base

Metal

1

9/2023

USD

52,568

1,840

LME

Lead

Base

Metal

2

9/2023

USD

105,238

1,557

LME

Lead

Base

Metal

2

9/2023

USD

105,118

3,488

LME

Lead

Base

Metal

3

9/2023

USD

157,575

6,317

LME

Lead

Base

Metal

3

9/2023

USD

157,495

1,278

LME

Lead

Base

Metal

13

9/2023

USD

683,313

1,812

LME

Nickel

Base

Metal

1

9/2023

USD

123,015

(4,368)

LME

Nickel

Base

Metal

1

9/2023

USD

123,084

(63)

LME

Nickel

Base

Metal

1

9/2023

USD

122,867

(2,806)

LME

Nickel

Base

Metal

4

9/2023

USD

492,216

(58,056)

191

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

9/2023

USD

$

59,775

$

(678)

LME

Zinc

Base

Metal

1

9/2023

USD

59,700

330

LME

Zinc

Base

Metal

1

9/2023

USD

59,694

316

LME

Zinc

Base

Metal

1

9/2023

USD

59,713

360

LME

Zinc

Base

Metal

2

9/2023

USD

119,550

2,544

LME

Zinc

Base

Metal

2

9/2023

USD

119,543

4,812

LME

Zinc

Base

Metal

2

9/2023

USD

119,536

5,117

LME

Zinc

Base

Metal

4

9/2023

USD

239,014

9,152

LME

Zinc

Base

Metal

12

9/2023

USD

716,775

(78,983)

Long

Gilt

80

9/2023

GBP

9,688,576

(33,742)

Low

Sulphur

Gasoil

11

9/2023

USD

770,825

5,919

Russell

2000

E-Mini

Index

8

9/2023

USD

761,480

9,673

S&P

Midcap

400

E-Mini

Index

2

9/2023

USD

528,820

15,200

Silver

20

9/2023

USD

2,302,000

(33,436)

SPI

200

Index

16

9/2023

AUD

1,908,120

420

Sugar

No.

11

82

9/2023

USD

2,093,034

(175,979)

TOPIX

Index

122

9/2023

JPY

19,344,814

429,211

U.S.

Treasury

10

Year

Note

241

9/2023

USD

27,067,312

(337,053)

U.S.

Treasury

2

Year

Note

14

9/2023

USD

2,847,469

(23,704)

U.S.

Treasury

5

Year

Note

132

9/2023

USD

14,142,563

(210,655)

U.S.

Treasury

Long

Bond

55

9/2023

USD

6,991,875

17,586

U.S.

Treasury

Ultra

Bond

32

9/2023

USD

4,372,000

54,092

Wheat

1

9/2023

USD

32,550

(1,051)

Soybean

62

11/2023

USD

4,164,075

237,259

Cotton

No.

2

3

12/2023

USD

120,555

(713)

Soybean

Meal

51

12/2023

USD

2,026,230

115,282

Soybean

Oil

29

12/2023

USD

1,026,078

104,936

(1,226,219)

Short

Contracts

CAC

40

10

Euro

Index

(42)

7/2023

EUR

(3,396,262)

(34,943)

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(52,939)

6,800

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,141)

5,225

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,031)

6,940

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(158,764)

17,836

LME

Aluminum

Base

Metal

(3)

7/2023

USD

(159,281)

16,075

LME

Aluminum

Base

Metal

(5)

7/2023

USD

(264,375)

25,114

LME

Aluminum

Base

Metal

(6)

7/2023

USD

(316,575)

38,734

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,063)

6,527

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,069)

14,182

LME

Copper

Base

Metal

(1)

7/2023

USD

(208,063)

6,184

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,203)

25,442

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,103)

31,992

LME

Copper

Base

Metal

(5)

7/2023

USD

(1,040,343)

29,977

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

165

LME

Lead

Base

Metal

(1)

7/2023

USD

(53,500)

(625)

LME

Lead

Base

Metal

(1)

7/2023

USD

(53,188)

(448)

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

1,110

LME

Lead

Base

Metal

(1)

7/2023

USD

(52,538)

622

LME

Lead

Base

Metal

(1)

7/2023

USD

(53,058)

370

LME

Lead

Base

Metal

(2)

7/2023

USD

(107,175)

(1,632)

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,405)

19,163

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,438)

20,504

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,364)

30,825

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,609)

9,026

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,686)

5,991

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,616)

10,789

192

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

7/2023

USD

$

(59,694)

$

6,084

OMXS30

Index

(221)

7/2023

SEK

(4,746,172)

(22,359)

WTI

Crude

Oil

(63)

7/2023

USD

(4,450,320)

11,921

LME

Aluminum

Base

Metal

(1)

8/2023

USD

(53,575)

2,172

LME

Aluminum

Base

Metal

(2)

8/2023

USD

(106,968)

4,426

LME

Aluminum

Base

Metal

(3)

8/2023

USD

(160,088)

9,404

LME

Aluminum

Base

Metal

(5)

8/2023

USD

(266,455)

23,793

LME

Aluminum

Base

Metal

(7)

8/2023

USD

(373,119)

29,960

LME

Aluminum

Base

Metal

(8)

8/2023

USD

(427,642)

21,175

LME

Aluminum

Base

Metal

(8)

8/2023

USD

(427,750)

14,481

LME

Aluminum

Base

Metal

(8)

8/2023

USD

(426,518)

18,490

LME

Aluminum

Base

Metal

(9)

8/2023

USD

(480,976)

26,530

LME

Aluminum

Base

Metal

(10)

8/2023

USD

(533,783)

32,739

LME

Aluminum

Base

Metal

(12)

8/2023

USD

(640,650)

49,965

LME

Copper

Base

Metal

(1)

8/2023

USD

(208,100)

(487)

LME

Copper

Base

Metal

(2)

8/2023

USD

(415,956)

(4,643)

LME

Copper

Base

Metal

(2)

8/2023

USD

(416,214)

9,488

LME

Copper

Base

Metal

(2)

8/2023

USD

(415,909)

(7,941)

LME

Copper

Base

Metal

(2)

8/2023

USD

(415,894)

(13,383)

LME

Copper

Base

Metal

(2)

8/2023

USD

(416,192)

13,812

LME

Copper

Base

Metal

(3)

8/2023

USD

(624,321)

21,005

LME

Copper

Base

Metal

(3)

8/2023

USD

(623,911)

(6,223)

LME

Copper

Base

Metal

(5)

8/2023

USD

(1,040,535)

(6,779)

LME

Copper

Base

Metal

(5)

8/2023

USD

(1,039,609)

(31,459)

LME

Copper

Base

Metal

(6)

8/2023

USD

(1,247,456)

(54,334)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,535)

(338)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,533)

(265)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,535)

939

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,533)

540

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,532)

553

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,536)

1,012

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,536)

(389)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,525)

(1,784)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,073)

(2,855)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,063)

1,157

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,115)

(5,918)

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,705)

6,494

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,624)

11,023

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,856)

715

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,520)

21,267

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,786)

5,122

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,775)

2,985

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,728)

6,819

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,731)

4,503

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,713)

35

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,500)

(5,673)

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,457)

(6,623)

LME

Zinc

Base

Metal

(2)

8/2023

USD

(119,463)

10,432

Canada

10

Year

Bond

(24)

9/2023

CAD

(2,220,192)

(13,537)

DAX

Index

(14)

9/2023

EUR

(6,214,602)

(59,231)

Euro-Bund

(81)

9/2023

EUR

(11,823,556)

34,603

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,708)

2,030

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,396)

3,119

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,304)

3,621

LME

Aluminum

Base

Metal

(3)

9/2023

USD

(160,950)

7,672

LME

Aluminum

Base

Metal

(3)

9/2023

USD

(160,969)

8,077

193

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(4)

9/2023

USD

$

(214,575)

$

9,277

LME

Aluminum

Base

Metal

(5)

9/2023

USD

(268,271)

9,008

LME

Aluminum

Base

Metal

(6)

9/2023

USD

(321,900)

15,200

LME

Aluminum

Base

Metal

(7)

9/2023

USD

(375,156)

22,898

LME

Aluminum

Base

Metal

(11)

9/2023

USD

(590,150)

29,700

LME

Aluminum

Base

Metal

(51)

9/2023

USD

(2,738,063)

144,633

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,850)

6,022

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,838)

7,460

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,888)

1,185

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,881)

(3,486)

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,888)

320

LME

Copper

Base

Metal

(2)

9/2023

USD

(415,894)

1,264

LME

Copper

Base

Metal

(2)

9/2023

USD

(416,000)

4,670

LME

Copper

Base

Metal

(3)

9/2023

USD

(624,029)

8,286

LME

Copper

Base

Metal

(3)

9/2023

USD

(623,925)

14,142

LME

Copper

Base

Metal

(4)

9/2023

USD

(831,750)

(8,261)

LME

Copper

Base

Metal

(4)

9/2023

USD

(831,700)

(4,773)

LME

Copper

Base

Metal

(7)

9/2023

USD

(1,455,475)

26,944

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,576)

(1,589)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,508)

(188)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,568)

(1,874)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,619)

(56)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,541)

2,119

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,619)

786

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,238)

(1,664)

LME

Lead

Base

Metal

(2)

9/2023

USD

(105,118)

(3,654)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,495)

(715)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,575)

(6,854)

LME

Lead

Base

Metal

(8)

9/2023

USD

(420,500)

(6,627)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,084)

(2,028)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(123,015)

4,542

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,867)

2,624

LME

Nickel

Base

Metal

(2)

9/2023

USD

(246,108)

2,958

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,694)

(279)

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,713)

(270)

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,700)

(453)

LME

Zinc

Base

Metal

(1)

9/2023

USD

(59,775)

1,523

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,543)

(4,524)

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,536)

(5,242)

LME

Zinc

Base

Metal

(2)

9/2023

USD

(119,550)

(584)

LME

Zinc

Base

Metal

(4)

9/2023

USD

(239,014)

(9,170)

LME

Zinc

Base

Metal

(12)

9/2023

USD

(716,775)

(9,651)

S&P

500

E-Mini

Index

(52)

9/2023

USD

(11,669,450)

(369,308)

S&P/TSX

60

Index

(30)

9/2023

CAD

(5,519,230)

(90,992)

Aluminum

(4)

10/2023

USD

(215,250)

9,927

269,133

$

(957,086)

194

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

10,780,004

USD

7,089,833

CITI

9/20/2023

$

107,137

AUD

10,779,996

USD

7,089,793

JPMC

9/20/2023

107,173

BRL

16,016,494

USD

3,173,825

CITI

**

9/20/2023

124,267

BRL

16,016,492

USD

3,173,808

JPMC

**

9/20/2023

124,284

CAD

3,073,000

USD

2,303,974

CITI

9/20/2023

18,561

CAD

3,073,000

USD

2,303,963

JPMC

9/20/2023

18,572

CLP

291,620,375

USD

357,179

CITI

**

9/20/2023

3,117

CLP

291,620,374

USD

357,177

JPMC

**

9/20/2023

3,118

COP

3,000,000,001

USD

668,701

CITI

**

9/20/2023

35,150

COP

2,999,999,999

USD

668,698

JPMC

**

9/20/2023

35,153

CZK

24,785,001

USD

1,118,498

CITI

9/20/2023

15,316

CZK

24,784,999

USD

1,118,492

JPMC

9/20/2023

15,322

DKK

647,000

USD

93,620

CITI

9/20/2023

1,659

DKK

647,000

USD

93,620

JPMC

9/20/2023

1,659

EUR

11,216,860

USD

12,082,456

CITI

9/20/2023

205,434

EUR

11,216,856

USD

12,082,391

JPMC

9/20/2023

205,494

GBP

3,654,501

USD

4,544,151

CITI

9/20/2023

98,030

GBP

3,654,499

USD

4,544,126

JPMC

9/20/2023

98,053

HUF

433,009,000

USD

1,212,181

CITI

9/20/2023

31,978

HUF

433,009,000

USD

1,212,175

JPMC

9/20/2023

31,984

INR

449,923,504

USD

5,425,100

CITI

**

9/20/2023

42,503

INR

449,923,496

USD

5,425,073

JPMC

**

9/20/2023

42,529

KRW

2,746,480,937

USD

2,086,887

CITI

**

9/20/2023

6,326

KRW

2,746,480,936

USD

2,087,098

JPMC

**

9/20/2023

6,116

MXN

108,556,501

USD

6,025,301

CITI

9/20/2023

222,868

MXN

108,556,499

USD

6,025,270

JPMC

9/20/2023

222,898

NOK

19,871,625

USD

1,840,262

CITI

9/20/2023

16,153

NOK

19,871,625

USD

1,840,253

JPMC

9/20/2023

16,162

PLN

10,262,000

USD

2,432,956

CITI

9/20/2023

81,220

PLN

10,262,000

USD

2,432,943

JPMC

9/20/2023

81,232

SEK

13,323,626

USD

1,229,165

CITI

9/20/2023

10,835

SEK

13,323,624

USD

1,229,158

JPMC

9/20/2023

10,841

USD

354,140

AUD

529,000

CITI

9/20/2023

968

USD

354,142

AUD

529,000

JPMC

9/20/2023

969

USD

55,462

CAD

73,000

CITI

9/20/2023

290

USD

55,462

CAD

73,000

JPMC

9/20/2023

290

USD

564

CHF

500

CITI

9/20/2023

–

USD

564

CHF

500

JPMC

9/20/2023

–

USD

186,325

CLP

150,000,000

CITI

**

9/20/2023

1,001

USD

186,326

CLP

150,000,000

JPMC

**

9/20/2023

1,002

USD

138,861

CNY

981,500

CITI

**

9/20/2023

2,957

USD

138,861

CNY

981,500

JPMC

**

9/20/2023

2,958

USD

23,153

CZK

500,000

CITI

9/20/2023

280

USD

23,153

CZK

500,000

JPMC

9/20/2023

280

USD

100,308

DKK

678,000

CITI

9/20/2023

464

USD

100,308

DKK

678,000

JPMC

9/20/2023

464

USD

2,165,160

EUR

1,969,500

CITI

9/20/2023

7,605

USD

1,898,044

EUR

1,727,500

JPMC

9/20/2023

5,596

USD

330,108

GBP

258,000

CITI

9/20/2023

2,380

USD

1,276

GBP

1,000

JPMC

9/20/2023

5

USD

812,715

HKD

6,347,000

CITI

9/20/2023

1,281

USD

812,719

HKD

6,347,000

JPMC

9/20/2023

1,285

USD

101,695

HUF

35,000,000

CITI

9/20/2023

1,130

USD

101,695

HUF

35,000,000

JPMC

9/20/2023

1,131

USD

503,016

ILS

1,847,249

CITI

9/20/2023

3,177

195

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

503,018

ILS

1,847,247

JPMC

9/20/2023

$

3,180

USD

10,513,470

JPY

1,448,275,008

CITI

9/20/2023

352,915

USD

10,513,523

JPY

1,448,274,992

JPMC

9/20/2023

352,968

USD

407,976

KRW

530,714,288

CITI

**

9/20/2023

3,496

USD

407,978

KRW

530,714,286

JPMC

**

9/20/2023

3,498

USD

288,090

MXN

5,000,000

CITI

9/20/2023

306

USD

288,091

MXN

5,000,000

JPMC

9/20/2023

307

USD

1,028,091

SEK

11,005,000

CITI

9/20/2023

3,881

USD

1,028,096

SEK

11,005,000

JPMC

9/20/2023

3,886

USD

1,058,418

SGD

1,423,000

CITI

9/20/2023

3,085

USD

1,058,426

SGD

1,423,000

JPMC

9/20/2023

3,093

USD

239,687

ZAR

4,500,000

CITI

9/20/2023

2,488

USD

239,688

ZAR

4,500,000

JPMC

9/20/2023

2,489

ZAR

21,365,504

USD

1,091,663

CITI

9/20/2023

34,531

ZAR

21,365,498

USD

1,091,658

JPMC

9/20/2023

34,536

Total

unrealized

appreciation

2,881,316

AUD

3,910,000

USD

2,650,335

CITI

9/20/2023

(39,933)

AUD

3,910,000

USD

2,650,322

JPMC

9/20/2023

(39,920)

BRL

1,825,000

USD

376,790

CITI

**

9/20/2023

(989)

BRL

1,825,000

USD

376,789

JPMC

**

9/20/2023

(988)

CAD

2,450,001

USD

1,863,490

CITI

9/20/2023

(11,810)

CAD

2,449,999

USD

1,863,479

JPMC

9/20/2023

(11,800)

CHF

80,000

USD

90,186

CITI

9/20/2023

(64)

CHF

80,000

USD

90,186

JPMC

9/20/2023

(63)

CLP

674,861,127

USD

839,315

CITI

**

9/20/2023

(5,529)

CLP

674,861,124

USD

839,311

JPMC

**

9/20/2023

(5,524)

CNY

23,019,001

USD

3,272,398

CITI

**

9/20/2023

(85,066)

CNY

23,018,999

USD

3,272,381

JPMC

**

9/20/2023

(85,050)

COP

150,000,000

USD

35,440

CITI

**

9/20/2023

(248)

COP

150,000,000

USD

35,440

JPMC

**

9/20/2023

(248)

CZK

2,000,000

USD

91,502

CITI

9/20/2023

(10)

CZK

2,000,000

USD

91,502

JPMC

9/20/2023

(10)

DKK

9,500

USD

1,408

CITI

9/20/2023

(9)

DKK

9,500

USD

1,408

JPMC

9/20/2023

(9)

EUR

228,000

USD

250,657

CITI

9/20/2023

(887)

EUR

102,000

USD

112,161

JPMC

9/20/2023

(421)

GBP

500,000

USD

639,353

CITI

9/20/2023

(4,221)

GBP

500,000

USD

639,350

JPMC

9/20/2023

(4,218)

HKD

189,000

USD

24,192

CITI

9/20/2023

(29)

HKD

189,000

USD

24,192

JPMC

9/20/2023

(29)

HUF

10,000,000

USD

28,813

CITI

9/20/2023

(80)

HUF

10,000,000

USD

28,813

JPMC

9/20/2023

(80)

IDR

11,000,000,003

USD

735,908

CITI

**

9/20/2023

(5,486)

IDR

10,999,999,997

USD

735,904

JPMC

**

9/20/2023

(5,482)

INR

50,000,000

USD

608,190

CITI

**

9/20/2023

(576)

INR

50,000,000

USD

608,187

JPMC

**

9/20/2023

(572)

JPY

37,128,500

USD

264,914

CITI

9/20/2023

(4,435)

JPY

37,128,500

USD

264,913

JPMC

9/20/2023

(4,433)

KRW

5,410,801,565

USD

4,179,576

CITI

**

9/20/2023

(55,766)

KRW

5,410,801,561

USD

4,179,549

JPMC

**

9/20/2023

(55,739)

MXN

500,000

USD

28,817

CITI

9/20/2023

(38)

MXN

500,000

USD

28,817

JPMC

9/20/2023

(38)

NOK

26,139,879

USD

2,466,817

CITI

9/20/2023

(24,819)

NOK

26,139,871

USD

2,466,804

JPMC

9/20/2023

(24,807)

PLN

154,000

USD

37,955

CITI

9/20/2023

(225)

PLN

154,000

USD

37,955

JPMC

9/20/2023

(225)

SEK

9,166,876

USD

856,423

CITI

9/20/2023

(3,283)

SEK

9,166,874

USD

856,418

JPMC

9/20/2023

(3,279)

196

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

33,500

USD

24,886

CITI

9/20/2023

$

(41)

SGD

33,500

USD

24,886

JPMC

9/20/2023

(41)

TWD

18,000,000

USD

592,159

CITI

**

9/20/2023

(12,862)

TWD

18,000,000

USD

592,156

JPMC

**

9/20/2023

(12,859)

USD

1,342,272

AUD

2,039,003

CITI

9/20/2023

(19,012)

USD

1,342,275

AUD

2,038,997

JPMC

9/20/2023

(19,005)

USD

275,374

BRL

1,382,501

CITI

**

9/20/2023

(9,309)

USD

275,375

BRL

1,382,499

JPMC

**

9/20/2023

(9,307)

USD

3,950,890

CAD

5,343,503

CITI

9/20/2023

(87,663)

USD

3,950,053

CAD

5,343,497

JPMC

9/20/2023

(88,495)

USD

9,919,130

CHF

8,900,501

CITI

9/20/2023

(107,559)

USD

9,919,177

CHF

8,900,499

JPMC

9/20/2023

(107,509)

USD

123,237

CLP

100,000,000

CITI

**

9/20/2023

(312)

USD

123,238

CLP

100,000,000

JPMC

**

9/20/2023

(311)

USD

1,151,469

CZK

25,500,000

CITI

9/20/2023

(15,055)

USD

1,151,474

CZK

25,500,000

JPMC

9/20/2023

(15,049)

USD

254,159

DKK

1,750,500

CITI

9/20/2023

(3,624)

USD

254,160

DKK

1,750,500

JPMC

9/20/2023

(3,622)

USD

27,123,105

EUR

25,188,745

CITI

9/20/2023

(470,761)

USD

24,988,671

EUR

23,206,729

JPMC

9/20/2023

(433,928)

USD

5,399,407

GBP

4,345,311

CITI

9/20/2023

(120,286)

USD

4,679,422

GBP

3,763,298

JPMC

9/20/2023

(100,960)

USD

367,705

HUF

130,000,000

CITI

9/20/2023

(5,823)

USD

367,706

HUF

130,000,000

JPMC

9/20/2023

(5,821)

USD

201,547

ILS

747,753

CITI

9/20/2023

(784)

USD

201,548

ILS

747,751

JPMC

9/20/2023

(783)

USD

453,866

JPY

65,000,000

CITI

9/20/2023

(2,150)

USD

453,868

JPY

65,000,000

JPMC

9/20/2023

(2,148)

USD

927,160

KRW

1,219,285,716

CITI

**

9/20/2023

(2,112)

USD

927,165

KRW

1,219,285,710

JPMC

**

9/20/2023

(2,107)

USD

601,251

MXN

10,500,000

CITI

9/20/2023

(3,096)

USD

601,254

MXN

10,500,000

JPMC

9/20/2023

(3,093)

USD

3,424,748

NOK

37,801,507

CITI

9/20/2023

(106,684)

USD

3,424,764

NOK

37,801,493

JPMC

9/20/2023

(106,666)

USD

6,725,076

NZD

11,090,002

CITI

9/20/2023

(78,605)

USD

6,725,107

NZD

11,089,998

JPMC

9/20/2023

(78,571)

USD

532,810

PHP

30,000,000

CITI

**

9/20/2023

(8,837)

USD

532,813

PHP

30,000,000

JPMC

**

9/20/2023

(8,835)

USD

231,097

SEK

2,501,500

CITI

9/20/2023

(1,712)

USD

231,098

SEK

2,501,500

JPMC

9/20/2023

(1,710)

ZAR

20,000,000

USD

1,070,432

CITI

9/20/2023

(16,214)

ZAR

20,000,000

USD

1,070,426

JPMC

9/20/2023

(16,208)

Total

unrealized

depreciation

(2,575,967)

Net

unrealized

appreciation

$

305,349

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

197

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

3,890,800

$

3,890,800

CITI

Cash

(120,023)

–

(120,023)

Investment

Companies

1,191,816

–

1,191,816

GSCO

Cash

–

1,628,195

1,628,195

JPMC

Investment

Companies

1,257,437

–

1,257,437

JPMS

Cash

–

2,423,607

2,423,607

MLIN

Cash

(110,138)

–

(110,138)

MSCL

Cash

–

940,209

940,209

MSCS

U.S.

Treasury

Bills

851,361

–

851,361

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

499,976

$

499,976

JPPC

Cash

–

307,406

307,406

MSCL

Cash

–

3,443,115

3,443,115

198

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

86.9%

INVESTMENT

COMPANIES

-

44.7%

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)

(Cost

$193,747,602)

193,896,446

193,818,887

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

42.2%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(b)

$

9,172,000

9,168,218

4.80%,

7/20/2023

(b)

4,529,000

4,518,291

4.80%,

7/27/2023

(b)

3,525,000

3,513,212

4.79%,

8/3/2023

(b)

1,174,000

1,168,830

4.96%,

8/17/2023

(b)

6,443,000

6,401,427

5.07%,

8/31/2023

(b)

16,153,000

16,016,353

5.10%,

9/7/2023

(b)

23,589,000

23,366,929

4.81%,

9/14/2023

(b)

30,601,000

30,280,750

4.91%,

10/12/2023

(b)

7,073,000

6,970,086

4.99%,

10/19/2023

(b)

29,434,000

28,974,719

5.02%,

11/2/2023

(b)

8,378,000

8,230,272

5.11%,

11/16/2023

(b)

5,882,000

5,766,896

5.31%,

11/24/2023

(b)

20,763,000

20,332,638

5.44%,

11/30/2023

(b)

4,069,000

3,980,861

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

42.2%

(continued)

5.39%,

12/7/2023

(b)

$

10,261,000

10,027,930

5.29%,

12/14/2023

(b)

4,724,000

4,611,592

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$183,373,821)

183,329,004

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$377,121,423)

377,147,891

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

86.9%

(Cost

$377,121,423)

377,147,891

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

13.1%

(c)

56,905,056

NET

ASSETS

-

100.0%

434,052,947

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

193,818,887

44.7

U.S.

Treasury

Obligations

183,329,004

42.2

Total

Investments

In

Securities

At

Value

$

377,147,891

86.9

Other

Assets

in

Excess

of

Liabilities

(c

)

56,905,056

13.1

Net

Assets

$

434,052,947

100.0%

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(b)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(c)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

7/2023

USD

$

53,110

$

(5,373)

LME

Aluminum

Base

Metal

1

7/2023

USD

53,094

(6,172)

LME

Aluminum

Base

Metal

5

7/2023

USD

264,693

(33,322)

LME

Aluminum

Base

Metal

8

7/2023

USD

424,250

(55,174)

LME

Aluminum

Base

Metal

9

7/2023

USD

478,267

(41,510)

LME

Aluminum

Base

Metal

13

7/2023

USD

686,156

(77,632)

LME

Aluminum

Base

Metal

14

7/2023

USD

740,576

(64,728)

LME

Aluminum

Base

Metal

16

7/2023

USD

846,740

(98,697)

LME

Aluminum

Base

Metal

50

7/2023

USD

2,638,125

(337,702)

LME

Aluminum

Base

Metal

58

7/2023

USD

3,066,750

(306,552)

LME

Copper

Base

Metal

2

7/2023

USD

416,130

(24,075)

LME

Copper

Base

Metal

3

7/2023

USD

624,285

(37,959)

LME

Copper

Base

Metal

3

7/2023

USD

624,281

(42,927)

LME

Copper

Base

Metal

3

7/2023

USD

624,266

(50,973)

LME

Copper

Base

Metal

5

7/2023

USD

1,040,315

(34,886)

LME

Copper

Base

Metal

6

7/2023

USD

1,248,401

(77,522)

LME

Copper

Base

Metal

8

7/2023

USD

1,664,810

(106,012)

LME

Copper

Base

Metal

9

7/2023

USD

1,872,619

(127,800)

199

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

10

7/2023

USD

$

2,080,630

$

(60,647)

LME

Copper

Base

Metal

10

7/2023

USD

2,081,250

(168,777)

LME

Copper

Base

Metal

20

7/2023

USD

4,161,150

(254,101)

LME

Copper

Base

Metal

24

7/2023

USD

4,993,644

(125,920)

LME

Copper

Base

Metal

34

7/2023

USD

7,073,743

(432,066)

LME

Lead

Base

Metal

1

7/2023

USD

53,500

695

LME

Lead

Base

Metal

2

7/2023

USD

106,525

2,148

LME

Lead

Base

Metal

3

7/2023

USD

158,783

(3,387)

LME

Lead

Base

Metal

6

7/2023

USD

319,125

5,009

LME

Lead

Base

Metal

9

7/2023

USD

477,518

(4,906)

LME

Lead

Base

Metal

14

7/2023

USD

737,345

(3,292)

LME

Lead

Base

Metal

18

7/2023

USD

964,575

14,803

LME

Nickel

Base

Metal

1

7/2023

USD

122,322

(25,281)

LME

Nickel

Base

Metal

1

7/2023

USD

122,244

(19,149)

LME

Nickel

Base

Metal

1

7/2023

USD

122,264

(22,624)

LME

Nickel

Base

Metal

1

7/2023

USD

122,343

(31,131)

LME

Nickel

Base

Metal

2

7/2023

USD

244,154

(33,652)

LME

Nickel

Base

Metal

2

7/2023

USD

244,875

(40,731)

LME

Nickel

Base

Metal

6

7/2023

USD

734,064

(164,980)

LME

Nickel

Base

Metal

7

7/2023

USD

854,705

(86,865)

LME

Nickel

Base

Metal

8

7/2023

USD

977,636

(141,084)

LME

Zinc

Base

Metal

1

7/2023

USD

59,677

(7,501)

LME

Zinc

Base

Metal

1

7/2023

USD

59,616

(9,900)

LME

Zinc

Base

Metal

2

7/2023

USD

119,205

(19,199)

LME

Zinc

Base

Metal

3

7/2023

USD

178,868

(37,120)

LME

Zinc

Base

Metal

3

7/2023

USD

178,949

(34,285)

LME

Zinc

Base

Metal

5

7/2023

USD

297,844

(52,153)

LME

Zinc

Base

Metal

5

7/2023

USD

298,563

(30,077)

LME

Zinc

Base

Metal

6

7/2023

USD

357,656

(53,775)

LME

Zinc

Base

Metal

7

7/2023

USD

416,894

(75,890)

LME

Zinc

Base

Metal

10

7/2023

USD

596,520

(92,760)

LME

Zinc

Base

Metal

16

7/2023

USD

954,300

(144,947)

Natural

Gas

30

7/2023

GBP

1,077,399

3,108

Natural

Gas

60

7/2023

EUR

1,807,330

220,501

100

oz

Gold

471

8/2023

USD

90,874,740

(5,136,784)

Brent

Crude

Oil

614

8/2023

USD

46,234,200

479,245

Lean

Hogs

158

8/2023

USD

5,852,320

83,837

LME

Aluminum

Base

Metal

22

8/2023

USD

1,170,813

(126,377)

LME

Aluminum

Base

Metal

24

8/2023

USD

1,285,800

(51,685)

LME

Aluminum

Base

Metal

25

8/2023

USD

1,330,781

(114,545)

LME

Aluminum

Base

Metal

30

8/2023

USD

1,604,520

(63,751)

LME

Aluminum

Base

Metal

35

8/2023

USD

1,862,875

(189,978)

LME

Aluminum

Base

Metal

44

8/2023

USD

2,347,950

(140,486)

LME

Aluminum

Base

Metal

66

8/2023

USD

3,517,206

(316,358)

LME

Aluminum

Base

Metal

88

8/2023

USD

4,705,250

(172,869)

LME

Aluminum

Base

Metal

88

8/2023

USD

4,690,642

(341,935)

LME

Aluminum

Base

Metal

100

8/2023

USD

5,344,175

(311,931)

LME

Aluminum

Base

Metal

100

8/2023

USD

5,345,525

(232,490)

LME

Aluminum

Base

Metal

128

8/2023

USD

6,832,416

(472,022)

LME

Aluminum

Base

Metal

133

8/2023

USD

7,100,538

(517,655)

LME

Aluminum

Base

Metal

170

8/2023

USD

9,063,508

(420,433)

LME

Copper

Base

Metal

1

8/2023

USD

207,928

8,425

LME

Copper

Base

Metal

6

8/2023

USD

1,248,642

(32,705)

LME

Copper

Base

Metal

12

8/2023

USD

2,497,200

(3,482)

LME

Copper

Base

Metal

17

8/2023

USD

3,535,626

48,881

LME

Copper

Base

Metal

21

8/2023

USD

4,370,132

(97,674)

200

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

23

8/2023

USD

$

4,782,775

$

165,465

LME

Copper

Base

Metal

25

8/2023

USD

5,198,862

92,547

LME

Copper

Base

Metal

32

8/2023

USD

6,655,048

58,814

LME

Copper

Base

Metal

34

8/2023

USD

7,075,638

(239,551)

LME

Copper

Base

Metal

35

8/2023

USD

7,283,745

(180,097)

LME

Copper

Base

Metal

38

8/2023

USD

7,901,027

233,065

LME

Copper

Base

Metal

41

8/2023

USD

8,524,279

361,797

LME

Copper

Base

Metal

44

8/2023

USD

9,156,224

(317,517)

LME

Copper

Base

Metal

59

8/2023

USD

12,278,313

59,908

LME

Lead

Base

Metal

1

8/2023

USD

52,535

1,407

LME

Lead

Base

Metal

2

8/2023

USD

105,065

622

LME

Lead

Base

Metal

2

8/2023

USD

105,064

1,154

LME

Lead

Base

Metal

4

8/2023

USD

210,145

2,085

LME

Lead

Base

Metal

4

8/2023

USD

210,145

4,556

LME

Lead

Base

Metal

7

8/2023

USD

367,745

(7,562)

LME

Lead

Base

Metal

10

8/2023

USD

525,288

15,511

LME

Lead

Base

Metal

11

8/2023

USD

577,858

(7,325)

LME

Lead

Base

Metal

11

8/2023

USD

577,775

16,746

LME

Lead

Base

Metal

12

8/2023

USD

630,384

(9,557)

LME

Lead

Base

Metal

12

8/2023

USD

630,414

(5,476)

LME

Lead

Base

Metal

12

8/2023

USD

630,429

(16,962)

LME

Lead

Base

Metal

13

8/2023

USD

682,906

(3,319)

LME

Lead

Base

Metal

14

8/2023

USD

735,420

15,783

LME

Nickel

Base

Metal

1

8/2023

USD

122,751

(5,588)

LME

Nickel

Base

Metal

2

8/2023

USD

245,086

(48,650)

LME

Nickel

Base

Metal

2

8/2023

USD

245,387

(9,823)

LME

Nickel

Base

Metal

6

8/2023

USD

735,675

(94,371)

LME

Nickel

Base

Metal

6

8/2023

USD

735,745

(62,170)

LME

Nickel

Base

Metal

6

8/2023

USD

735,606

(124,608)

LME

Nickel

Base

Metal

10

8/2023

USD

1,227,746

(29,284)

LME

Nickel

Base

Metal

11

8/2023

USD

1,351,411

(4,921)

LME

Nickel

Base

Metal

11

8/2023

USD

1,350,648

(35,379)

LME

Nickel

Base

Metal

13

8/2023

USD

1,592,911

(365,943)

LME

Nickel

Base

Metal

18

8/2023

USD

2,205,360

(424,750)

LME

Zinc

Base

Metal

1

8/2023

USD

59,728

(7,050)

LME

Zinc

Base

Metal

3

8/2023

USD

179,183

(9,351)

LME

Zinc

Base

Metal

5

8/2023

USD

298,625

7,985

LME

Zinc

Base

Metal

5

8/2023

USD

298,643

15,003

LME

Zinc

Base

Metal

6

8/2023

USD

358,275

(40,327)

LME

Zinc

Base

Metal

6

8/2023

USD

358,298

(8,368)

LME

Zinc

Base

Metal

9

8/2023

USD

537,413

(51,602)

LME

Zinc

Base

Metal

10

8/2023

USD

597,238

(27,560)

LME

Zinc

Base

Metal

12

8/2023

USD

716,775

(57,116)

LME

Zinc

Base

Metal

25

8/2023

USD

1,493,750

81,176

Natural

Gas

591

8/2023

USD

16,394,340

879,855

NY

Harbor

ULSD

92

8/2023

USD

9,435,888

57,276

RBOB

Gasoline

179

8/2023

USD

18,513,075

429,278

SGX

Iron

Ore

634

8/2023

USD

6,915,038

146,045

Cocoa

115

9/2023

USD

3,855,950

274,959

Coffee

'C'

506

9/2023

USD

30,170,250

(4,085,666)

Copper

26

9/2023

USD

2,443,675

37,038

Corn

626

9/2023

USD

15,290,050

(3,071,005)

Feeder

Cattle

95

9/2023

USD

11,914,188

432,920

LME

Aluminum

Base

Metal

1

9/2023

USD

53,656

(2,647)

LME

Aluminum

Base

Metal

2

9/2023

USD

107,500

(1,231)

LME

Aluminum

Base

Metal

10

9/2023

USD

537,625

(6,155)

201

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

15

9/2023

USD

$

806,625

$

(20,857)

LME

Aluminum

Base

Metal

21

9/2023

USD

1,129,538

(2,312)

LME

Aluminum

Base

Metal

22

9/2023

USD

1,180,344

(38,521)

LME

Aluminum

Base

Metal

23

9/2023

USD

1,235,054

(39,214)

LME

Aluminum

Base

Metal

44

9/2023

USD

2,360,600

(101,722)

LME

Aluminum

Base

Metal

56

9/2023

USD

3,004,050

(129,415)

LME

Aluminum

Base

Metal

65

9/2023

USD

3,483,594

(215,061)

LME

Aluminum

Base

Metal

65

9/2023

USD

3,487,250

(162,248)

LME

Aluminum

Base

Metal

68

9/2023

USD

3,648,489

(128,862)

LME

Aluminum

Base

Metal

79

9/2023

USD

4,238,014

(170,353)

LME

Aluminum

Base

Metal

97

9/2023

USD

5,209,700

(209,061)

LME

Aluminum

Base

Metal

141

9/2023

USD

7,564,650

(390,650)

LME

Aluminum

Base

Metal

1,182

9/2023

USD

63,458,625

(3,776,792)

LME

Copper

Base

Metal

4

9/2023

USD

831,550

(4,661)

LME

Copper

Base

Metal

4

9/2023

USD

831,500

(10,611)

LME

Copper

Base

Metal

6

9/2023

USD

1,247,100

(34,155)

LME

Copper

Base

Metal

9

9/2023

USD

1,870,875

(31,074)

LME

Copper

Base

Metal

9

9/2023

USD

1,870,988

16,649

LME

Copper

Base

Metal

20

9/2023

USD

4,158,935

(9,385)

LME

Copper

Base

Metal

22

9/2023

USD

4,576,413

4,453

LME

Copper

Base

Metal

22

9/2023

USD

4,574,691

10,762

LME

Copper

Base

Metal

22

9/2023

USD

4,574,763

(24,579)

LME

Copper

Base

Metal

23

9/2023

USD

4,784,000

(80,350)

LME

Copper

Base

Metal

24

9/2023

USD

4,988,100

(205,057)

LME

Copper

Base

Metal

24

9/2023

USD

4,992,228

(70,703)

LME

Copper

Base

Metal

27

9/2023

USD

5,614,313

35,346

LME

Copper

Base

Metal

30

9/2023

USD

6,237,750

31,813

LME

Copper

Base

Metal

45

9/2023

USD

9,358,875

(260,591)

LME

Copper

Base

Metal

922

9/2023

USD

191,706,850

(9,165,066)

LME

Lead

Base

Metal

1

9/2023

USD

52,510

132

LME

Lead

Base

Metal

1

9/2023

USD

52,520

(8)

LME

Lead

Base

Metal

3

9/2023

USD

157,463

3,083

LME

Lead

Base

Metal

3

9/2023

USD

157,655

(3,754)

LME

Lead

Base

Metal

8

9/2023

USD

420,328

(6,673)

LME

Lead

Base

Metal

10

9/2023

USD

525,763

15,985

LME

Lead

Base

Metal

11

9/2023

USD

578,806

5,952

LME

Lead

Base

Metal

13

9/2023

USD

684,044

10,122

LME

Lead

Base

Metal

14

9/2023

USD

735,826

25,289

LME

Lead

Base

Metal

16

9/2023

USD

841,900

(8,080)

LME

Lead

Base

Metal

16

9/2023

USD

841,080

29,638

LME

Lead

Base

Metal

22

9/2023

USD

1,155,550

52,742

LME

Lead

Base

Metal

25

9/2023

USD

1,312,456

10,647

LME

Lead

Base

Metal

27

9/2023

USD

1,419,788

44,142

LME

Lead

Base

Metal

319

9/2023

USD

16,767,438

(186,604)

LME

Nickel

Base

Metal

1

9/2023

USD

122,925

(3,344)

LME

Nickel

Base

Metal

1

9/2023

USD

122,937

(3,771)

LME

Nickel

Base

Metal

2

9/2023

USD

245,896

(10,606)

LME

Nickel

Base

Metal

2

9/2023

USD

246,069

(12,502)

LME

Nickel

Base

Metal

2

9/2023

USD

246,123

(6,993)

LME

Nickel

Base

Metal

3

9/2023

USD

369,057

(41,812)

LME

Nickel

Base

Metal

5

9/2023

USD

614,567

(17,398)

LME

Nickel

Base

Metal

6

9/2023

USD

738,507

(2,979)

LME

Nickel

Base

Metal

6

9/2023

USD

738,437

(7,321)

LME

Nickel

Base

Metal

7

9/2023

USD

861,084

(67,137)

LME

Nickel

Base

Metal

8

9/2023

USD

984,768

(5,676)

LME

Nickel

Base

Metal

19

9/2023

USD

2,334,476

(86,520)

202

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

20

9/2023

USD

$

2,459,888

$

(77,202)

LME

Nickel

Base

Metal

114

9/2023

USD

14,028,156

(2,055,282)

LME

Zinc

Base

Metal

4

9/2023

USD

238,775

4,997

LME

Zinc

Base

Metal

6

9/2023

USD

358,650

(7,518)

LME

Zinc

Base

Metal

6

9/2023

USD

358,163

1,895

LME

Zinc

Base

Metal

7

9/2023

USD

417,988

2,517

LME

Zinc

Base

Metal

9

9/2023

USD

537,975

2,448

LME

Zinc

Base

Metal

12

9/2023

USD

716,376

8,773

LME

Zinc

Base

Metal

13

9/2023

USD

777,075

8,087

LME

Zinc

Base

Metal

13

9/2023

USD

776,045

4,294

LME

Zinc

Base

Metal

15

9/2023

USD

895,500

4,886

LME

Zinc

Base

Metal

15

9/2023

USD

896,625

(10,169)

LME

Zinc

Base

Metal

26

9/2023

USD

1,553,962

67,310

LME

Zinc

Base

Metal

29

9/2023

USD

1,733,475

36,889

LME

Zinc

Base

Metal

29

9/2023

USD

1,733,374

69,938

LME

Zinc

Base

Metal

48

9/2023

USD

2,868,168

108,439

LME

Zinc

Base

Metal

51

9/2023

USD

3,048,525

43,366

LME

Zinc

Base

Metal

358

9/2023

USD

21,383,788

(2,582,091)

Low

Sulphur

Gasoil

189

9/2023

USD

13,244,175

132,240

Silver

315

9/2023

USD

36,256,500

(929,702)

Sugar

No.

11

931

9/2023

USD

23,763,589

(2,083,822)

Wheat

192

9/2023

USD

6,249,600

(515,343)

Lean

Hogs

14

10/2023

USD

438,900

(482)

Soybean

892

11/2023

USD

59,908,950

5,474,723

Cotton

No.

2

67

12/2023

USD

2,692,395

(27,676)

ECX

Emission

171

12/2023

EUR

16,621,900

(473,272)

Milling

Wheat

No.

2

398

12/2023

EUR

5,173,570

(184,202)

Phelix

De

Base

Electricity

3

12/2023

EUR

4,132,425

109,042

Soybean

Meal

589

12/2023

USD

23,400,970

1,176,717

Soybean

Oil

402

12/2023

USD

14,223,564

2,102,772

Platinum

63

6/2024

JPY

901,809

(5,350)

(32,600,161)

Short

Contracts

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,110)

5,637

LME

Aluminum

Base

Metal

(1)

7/2023

USD

(53,094)

5,527

LME

Aluminum

Base

Metal

(5)

7/2023

USD

(264,693)

33,998

LME

Aluminum

Base

Metal

(8)

7/2023

USD

(424,250)

55,517

LME

Aluminum

Base

Metal

(9)

7/2023

USD

(478,267)

47,028

LME

Aluminum

Base

Metal

(13)

7/2023

USD

(686,156)

74,606

LME

Aluminum

Base

Metal

(14)

7/2023

USD

(740,576)

64,033

LME

Aluminum

Base

Metal

(16)

7/2023

USD

(846,740)

87,613

LME

Aluminum

Base

Metal

(50)

7/2023

USD

(2,638,125)

333,632

LME

Aluminum

Base

Metal

(58)

7/2023

USD

(3,066,750)

291,321

LME

Copper

Base

Metal

(2)

7/2023

USD

(416,130)

22,820

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,281)

44,047

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,266)

48,626

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,285)

38,107

LME

Copper

Base

Metal

(5)

7/2023

USD

(1,040,315)

30,919

LME

Copper

Base

Metal

(6)

7/2023

USD

(1,248,401)

75,559

LME

Copper

Base

Metal

(8)

7/2023

USD

(1,664,810)

101,769

LME

Copper

Base

Metal

(9)

7/2023

USD

(1,872,619)

124,233

LME

Copper

Base

Metal

(10)

7/2023

USD

(2,081,250)

164,595

LME

Copper

Base

Metal

(10)

7/2023

USD

(2,080,630)

65,267

LME

Copper

Base

Metal

(20)

7/2023

USD

(4,161,150)

267,847

LME

Copper

Base

Metal

(24)

7/2023

USD

(4,993,644)

143,888

LME

Copper

Base

Metal

(34)

7/2023

USD

(7,073,743)

456,568

203

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(1)

7/2023

USD

$

(53,500)

$

(603)

LME

Lead

Base

Metal

(2)

7/2023

USD

(106,525)

(1,855)

LME

Lead

Base

Metal

(3)

7/2023

USD

(158,783)

3,210

LME

Lead

Base

Metal

(6)

7/2023

USD

(319,125)

(2,689)

LME

Lead

Base

Metal

(9)

7/2023

USD

(477,518)

3,334

LME

Lead

Base

Metal

(14)

7/2023

USD

(737,345)

7,544

LME

Lead

Base

Metal

(18)

7/2023

USD

(964,575)

(14,097)

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,264)

22,183

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,322)

25,485

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,244)

19,353

LME

Nickel

Base

Metal

(1)

7/2023

USD

(122,343)

31,014

LME

Nickel

Base

Metal

(2)

7/2023

USD

(244,154)

33,521

LME

Nickel

Base

Metal

(2)

7/2023

USD

(244,875)

41,759

LME

Nickel

Base

Metal

(6)

7/2023

USD

(734,064)

169,338

LME

Nickel

Base

Metal

(7)

7/2023

USD

(854,705)

96,867

LME

Nickel

Base

Metal

(8)

7/2023

USD

(977,636)

141,700

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,616)

10,731

LME

Zinc

Base

Metal

(1)

7/2023

USD

(59,677)

7,371

LME

Zinc

Base

Metal

(2)

7/2023

USD

(119,205)

19,989

LME

Zinc

Base

Metal

(3)

7/2023

USD

(178,868)

37,349

LME

Zinc

Base

Metal

(3)

7/2023

USD

(178,949)

34,841

LME

Zinc

Base

Metal

(5)

7/2023

USD

(297,844)

52,392

LME

Zinc

Base

Metal

(5)

7/2023

USD

(298,563)

34,007

LME

Zinc

Base

Metal

(6)

7/2023

USD

(357,656)

53,177

LME

Zinc

Base

Metal

(7)

7/2023

USD

(416,894)

73,086

LME

Zinc

Base

Metal

(10)

7/2023

USD

(596,520)

88,625

LME

Zinc

Base

Metal

(16)

7/2023

USD

(954,300)

152,404

WTI

Crude

Oil

(113)

7/2023

USD

(7,982,320)

49,420

Live

Cattle

(76)

8/2023

USD

(5,386,120)

(154,381)

LME

Aluminum

Base

Metal

(22)

8/2023

USD

(1,170,813)

120,523

LME

Aluminum

Base

Metal

(24)

8/2023

USD

(1,285,800)

50,929

LME

Aluminum

Base

Metal

(25)

8/2023

USD

(1,330,781)

112,739

LME

Aluminum

Base

Metal

(30)

8/2023

USD

(1,604,520)

66,392

LME

Aluminum

Base

Metal

(35)

8/2023

USD

(1,862,875)

189,974

LME

Aluminum

Base

Metal

(44)

8/2023

USD

(2,347,950)

143,420

LME

Aluminum

Base

Metal

(66)

8/2023

USD

(3,517,206)

322,149

LME

Aluminum

Base

Metal

(88)

8/2023

USD

(4,705,250)

165,290

LME

Aluminum

Base

Metal

(88)

8/2023

USD

(4,690,642)

369,098

LME

Aluminum

Base

Metal

(100)

8/2023

USD

(5,345,525)

221,680

LME

Aluminum

Base

Metal

(100)

8/2023

USD

(5,344,175)

300,530

LME

Aluminum

Base

Metal

(128)

8/2023

USD

(6,832,416)

408,806

LME

Aluminum

Base

Metal

(133)

8/2023

USD

(7,100,538)

544,820

LME

Aluminum

Base

Metal

(170)

8/2023

USD

(9,063,508)

381,491

LME

Copper

Base

Metal

(1)

8/2023

USD

(207,928)

(8,758)

LME

Copper

Base

Metal

(6)

8/2023

USD

(1,248,642)

32,389

LME

Copper

Base

Metal

(12)

8/2023

USD

(2,497,200)

(5,850)

LME

Copper

Base

Metal

(17)

8/2023

USD

(3,535,626)

(39,469)

LME

Copper

Base

Metal

(21)

8/2023

USD

(4,370,132)

91,300

LME

Copper

Base

Metal

(23)

8/2023

USD

(4,782,775)

(153,908)

LME

Copper

Base

Metal

(25)

8/2023

USD

(5,198,862)

(99,266)

LME

Copper

Base

Metal

(32)

8/2023

USD

(6,655,048)

(72,714)

LME

Copper

Base

Metal

(34)

8/2023

USD

(7,075,638)

238,061

LME

Copper

Base

Metal

(35)

8/2023

USD

(7,283,745)

166,041

LME

Copper

Base

Metal

(38)

8/2023

USD

(7,901,027)

(250,125)

LME

Copper

Base

Metal

(41)

8/2023

USD

(8,524,279)

(370,511)

LME

Copper

Base

Metal

(44)

8/2023

USD

(9,156,224)

303,873

204

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(59)

8/2023

USD

$

(12,278,312)

$

(92,498)

LME

Lead

Base

Metal

(1)

8/2023

USD

(52,535)

(1,275)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,065)

(569)

LME

Lead

Base

Metal

(2)

8/2023

USD

(105,063)

(1,068)

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,145)

(4,956)

LME

Lead

Base

Metal

(4)

8/2023

USD

(210,145)

(1,506)

LME

Lead

Base

Metal

(7)

8/2023

USD

(367,745)

9,187

LME

Lead

Base

Metal

(10)

8/2023

USD

(525,288)

(14,795)

LME

Lead

Base

Metal

(11)

8/2023

USD

(577,775)

(19,621)

LME

Lead

Base

Metal

(11)

8/2023

USD

(577,858)

7,314

LME

Lead

Base

Metal

(12)

8/2023

USD

(630,414)

9,136

LME

Lead

Base

Metal

(12)

8/2023

USD

(630,429)

13,339

LME

Lead

Base

Metal

(12)

8/2023

USD

(630,384)

7,084

LME

Lead

Base

Metal

(13)

8/2023

USD

(682,906)

4,485

LME

Lead

Base

Metal

(14)

8/2023

USD

(735,420)

(15,715)

LME

Nickel

Base

Metal

(1)

8/2023

USD

(122,751)

5,346

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,387)

9,007

LME

Nickel

Base

Metal

(2)

8/2023

USD

(245,086)

48,478

LME

Nickel

Base

Metal

(6)

8/2023

USD

(735,675)

111,567

LME

Nickel

Base

Metal

(6)

8/2023

USD

(735,745)

72,077

LME

Nickel

Base

Metal

(6)

8/2023

USD

(735,606)

127,656

LME

Nickel

Base

Metal

(10)

8/2023

USD

(1,227,746)

29,852

LME

Nickel

Base

Metal

(11)

8/2023

USD

(1,350,648)

56,347

LME

Nickel

Base

Metal

(11)

8/2023

USD

(1,351,411)

7,865

LME

Nickel

Base

Metal

(13)

8/2023

USD

(1,592,911)

364,851

LME

Nickel

Base

Metal

(18)

8/2023

USD

(2,205,360)

418,987

LME

Zinc

Base

Metal

(1)

8/2023

USD

(59,728)

6,894

LME

Zinc

Base

Metal

(3)

8/2023

USD

(179,183)

10,184

LME

Zinc

Base

Metal

(5)

8/2023

USD

(298,625)

(7,986)

LME

Zinc

Base

Metal

(5)

8/2023

USD

(298,643)

(16,557)

LME

Zinc

Base

Metal

(6)

8/2023

USD

(358,298)

9,185

LME

Zinc

Base

Metal

(6)

8/2023

USD

(358,275)

38,457

LME

Zinc

Base

Metal

(9)

8/2023

USD

(537,413)

47,561

LME

Zinc

Base

Metal

(10)

8/2023

USD

(597,238)

26,908

LME

Zinc

Base

Metal

(12)

8/2023

USD

(716,775)

63,190

LME

Zinc

Base

Metal

(25)

8/2023

USD

(1,493,750)

(70,914)

WTI

Crude

Oil

(468)

8/2023

USD

(33,125,040)

(621,103)

KC

HRW

Wheat

(12)

9/2023

USD

(480,000)

(6,052)

LME

Aluminum

Base

Metal

(1)

9/2023

USD

(53,656)

2,692

LME

Aluminum

Base

Metal

(2)

9/2023

USD

(107,500)

644

LME

Aluminum

Base

Metal

(10)

9/2023

USD

(537,625)

9,535

LME

Aluminum

Base

Metal

(15)

9/2023

USD

(806,625)

11,805

LME

Aluminum

Base

Metal

(21)

9/2023

USD

(1,129,538)

(812)

LME

Aluminum

Base

Metal

(22)

9/2023

USD

(1,180,344)

39,830

LME

Aluminum

Base

Metal

(23)

9/2023

USD

(1,235,054)

35,867

LME

Aluminum

Base

Metal

(44)

9/2023

USD

(2,360,600)

107,091

LME

Aluminum

Base

Metal

(56)

9/2023

USD

(3,004,050)

129,873

LME

Aluminum

Base

Metal

(65)

9/2023

USD

(3,483,594)

222,115

LME

Aluminum

Base

Metal

(65)

9/2023

USD

(3,487,250)

164,662

LME

Aluminum

Base

Metal

(68)

9/2023

USD

(3,648,489)

122,502

LME

Aluminum

Base

Metal

(79)

9/2023

USD

(4,238,014)

162,053

LME

Aluminum

Base

Metal

(97)

9/2023

USD

(5,209,700)

196,910

LME

Aluminum

Base

Metal

(141)

9/2023

USD

(7,564,650)

389,936

LME

Aluminum

Base

Metal

(1,279)

9/2023

USD

(68,666,313)

5,309,432

LME

Copper

Base

Metal

(4)

9/2023

USD

(831,500)

9,637

LME

Copper

Base

Metal

(4)

9/2023

USD

(831,550)

(3,143)

205

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

(Continued)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(6)

9/2023

USD

$

(1,247,100)

$

36,134

LME

Copper

Base

Metal

(9)

9/2023

USD

(1,870,988)

(22,125)

LME

Copper

Base

Metal

(9)

9/2023

USD

(1,870,875)

16,270

LME

Copper

Base

Metal

(20)

9/2023

USD

(4,158,935)

13,287

LME

Copper

Base

Metal

(22)

9/2023

USD

(4,576,413)

(20,683)

LME

Copper

Base

Metal

(22)

9/2023

USD

(4,574,691)

(36,224)

LME

Copper

Base

Metal

(22)

9/2023

USD

(4,574,763)

792

LME

Copper

Base

Metal

(23)

9/2023

USD

(4,784,000)

54,927

LME

Copper

Base

Metal

(24)

9/2023

USD

(4,992,228)

66,289

LME

Copper

Base

Metal

(24)

9/2023

USD

(4,988,100)

181,437

LME

Copper

Base

Metal

(27)

9/2023

USD

(5,614,313)

(55,459)

LME

Copper

Base

Metal

(30)

9/2023

USD

(6,237,750)

(45,979)

LME

Copper

Base

Metal

(45)

9/2023

USD

(9,358,875)

236,707

LME

Copper

Base

Metal

(387)

9/2023

USD

(80,466,975)

1,009,135

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,509)

(189)

LME

Lead

Base

Metal

(1)

9/2023

USD

(52,520)

(97)

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,655)

2,987

LME

Lead

Base

Metal

(3)

9/2023

USD

(157,463)

(2,070)

LME

Lead

Base

Metal

(8)

9/2023

USD

(420,328)

5,251

LME

Lead

Base

Metal

(10)

9/2023

USD

(525,763)

(15,888)

LME

Lead

Base

Metal

(11)

9/2023

USD

(578,806)

(616)

LME

Lead

Base

Metal

(13)

9/2023

USD

(684,044)

(10,815)

LME

Lead

Base

Metal

(14)

9/2023

USD

(735,826)

(25,577)

LME

Lead

Base

Metal

(16)

9/2023

USD

(841,080)

(29,986)

LME

Lead

Base

Metal

(16)

9/2023

USD

(841,900)

9,564

LME

Lead

Base

Metal

(22)

9/2023

USD

(1,155,550)

(52,175)

LME

Lead

Base

Metal

(25)

9/2023

USD

(1,312,456)

(5,960)

LME

Lead

Base

Metal

(27)

9/2023

USD

(1,419,788)

(42,437)

LME

Lead

Base

Metal

(195)

9/2023

USD

(10,249,688)

(206,898)

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,937)

2,520

LME

Nickel

Base

Metal

(1)

9/2023

USD

(122,925)

3,792

LME

Nickel

Base

Metal

(2)

9/2023

USD

(245,896)

10,238

LME

Nickel

Base

Metal

(2)

9/2023

USD

(246,069)

19,125

LME

Nickel

Base

Metal

(2)

9/2023

USD

(246,123)

3,784

LME

Nickel

Base

Metal

(3)

9/2023

USD

(369,057)

35,934

LME

Nickel

Base

Metal

(5)

9/2023

USD

(614,567)

13,114

LME

Nickel

Base

Metal

(6)

9/2023

USD

(738,507)

(12,165)

LME

Nickel

Base

Metal

(6)

9/2023

USD

(738,437)

6,139

LME

Nickel

Base

Metal

(7)

9/2023

USD

(861,084)

78,636

LME

Nickel

Base

Metal

(8)

9/2023

USD

(984,768)

(4,609)

LME

Nickel

Base

Metal

(19)

9/2023

USD

(2,334,476)

78,360

LME

Nickel

Base

Metal

(20)

9/2023

USD

(2,459,888)

88,853

LME

Nickel

Base

Metal

(89)

9/2023

USD

(10,951,806)

340,906

LME

Zinc

Base

Metal

(4)

9/2023

USD

(238,775)

(4,437)

LME

Zinc

Base

Metal

(6)

9/2023

USD

(358,650)

8,257

LME

Zinc

Base

Metal

(6)

9/2023

USD

(358,163)

(1,675)

LME

Zinc

Base

Metal

(7)

9/2023

USD

(417,988)

(1,887)

LME

Zinc

Base

Metal

(9)

9/2023

USD

(537,975)

(2,042)

LME

Zinc

Base

Metal

(12)

9/2023

USD

(716,376)

(3,949)

LME

Zinc

Base

Metal

(13)

9/2023

USD

(777,075)

(5,201)

LME

Zinc

Base

Metal

(13)

9/2023

USD

(776,045)

(3,194)

LME

Zinc

Base

Metal

(15)

9/2023

USD

(896,625)

22,852

LME

Zinc

Base

Metal

(15)

9/2023

USD

(895,500)

(7,732)

LME

Zinc

Base

Metal

(26)

9/2023

USD

(1,553,962)

(68,144)

LME

Zinc

Base

Metal

(29)

9/2023

USD

(1,733,374)

(65,603)

LME

Zinc

Base

Metal

(29)

9/2023

USD

(1,733,475)

(8,474)

206

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(48)

9/2023

USD

$

(2,868,168)

$

(109,071)

LME

Zinc

Base

Metal

(51)

9/2023

USD

(3,048,525)

(28,838)

LME

Zinc

Base

Metal

(273)

9/2023

USD

(16,306,631)

(73,489)

Aluminum

(11)

10/2023

USD

(591,938)

31,014

100

oz

Gold

(6)

12/2023

USD

(1,180,800)

(5,891)

15,784,832

$

(16,815,329)

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

4,789,158

$

4,789,158

GSIN

Cash

16,122

–

16,122

JPPC

Cash

–

10,334,049

10,334,049

MSCL

Cash

–

56,801,425

56,801,425

207

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

85.7%

COMMON

STOCKS

-

5.6%

Italy

-

4.4%

A2A

SpA

(a)

2,916,800

5,336,253

Assicurazioni

Generali

SpA

(a)

203,895

4,146,404

Azimut

Holding

SpA

(a)

65,678

1,417,180

Banco

BPM

SpA

(a)

299,423

1,390,770

Buzzi

SpA

(a)

95,750

2,399,012

Hera

SpA

(a)

342,596

1,019,579

Leonardo

SpA

(a)

683,961

7,766,296

Pirelli

&

C

SpA

*(a)(b)

364,132

1,800,144

Poste

Italiane

SpA

(a)(b)

167,945

1,819,336

Prysmian

SpA

(a)

105,865

4,427,665

UniCredit

SpA

(a)

184,770

4,296,563

Unipol

Gruppo

SpA

(a)

627,921

3,355,613

39,174,815

—

United

States

-

1.2%

Stellantis

NV

(a)

272,933

4,798,379

Tenaris

SA

(a)

395,250

5,912,564

10,710,943

—

TOTAL

COMMON

STOCKS

(Cost

$41,184,878)

49,885,758

SHORT-TERM

INVESTMENTS

-

80.1%

INVESTMENT

COMPANIES

-

34.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(c)(d)

18,382,990

18,382,990

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(c)(e)

285,563,934

285,449,708

TOTAL

INVESTMENT

COMPANIES

(Cost

$303,768,225)

303,832,698

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.1%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(f)

$

26,217,000

26,206,191

4.82%,

7/13/2023

(f)(g)

39,453,000

39,398,135

4.79%,

8/3/2023

(f)

478,000

475,895

4.85%,

8/10/2023

(f)(g)

19,597,000

19,490,831

4.96%,

8/17/2023

(f)(g)

24,010,000

23,855,075

5.04%,

8/24/2023

(f)(g)

17,367,000

17,237,056

5.07%,

8/31/2023

(f)(g)

4,275,000

4,238,836

5.10%,

9/7/2023

(f)

4,286,000

4,245,651

4.81%,

9/14/2023

(f)(g)

48,627,000

48,118,101

4.73%,

9/21/2023

(f)(g)

35,196,000

34,792,302

4.80%,

10/5/2023

(f)(g)

45,039,000

44,430,557

4.91%,

10/12/2023

(f)

257,000

253,261

4.99%,

10/19/2023

(f)(g)

17,058,000

16,791,831

4.96%,

10/26/2023

(f)(g)

58,840,000

57,862,603

5.02%,

11/2/2023

(f)

4,137,000

4,064,053

5.01%,

11/9/2023

(f)(g)

39,444,000

38,710,911

5.11%,

11/16/2023

(f)(g)

23,138,000

22,685,215

5.31%,

11/24/2023

(f)(g)

4,229,000

4,141,344

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

46.1%

(continued)

5.44%,

11/30/2023

(f)

$

4,507,000

4,409,373

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$411,619,861)

411,407,221

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$715,388,086)

715,239,919

TOTAL

LONG

POSITIONS

(Cost

$756,572,964)

765,125,677

SHARES

SHORT

POSITIONS

-

(4.5)%

COMMON

STOCKS

-

(4.5)%

Italy

-

(4.3)%

Amplifon

SpA

(94,488)

(3,465,802)

Banca

Generali

SpA

(29,313)

(1,008,479)

Brembo

SpA

(26,847)

(398,432)

Brunello

Cucinelli

SpA

(5,632)

(495,870)

Davide

Campari-Milano

NV

(380,965)

(5,279,877)

DiaSorin

SpA

(12,702)

(1,323,153)

Enel

SpA

(158,246)

(1,066,962)

ERG

SpA

(40,690)

(1,200,056)

Ferrari

NV

(7,135)

(2,332,773)

FinecoBank

Banca

Fineco

SpA

(109,730)

(1,477,033)

Infrastrutture

Wireless

Italiane

SpA

(b)

(232,222)

(3,065,390)

Interpump

Group

SpA

(34,299)

(1,907,605)

Intesa

Sanpaolo

SpA

(26,945)

(70,643)

Italgas

SpA

(72,405)

(429,265)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(22,150)

(265,191)

Moncler

SpA

(26,488)

(1,832,645)

Nexi

SpA

(b)

(268,963)

(2,110,221)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(58,757)

(2,806,985)

Reply

SpA

(6,233)

(708,647)

Snam

SpA

(420,934)

(2,199,949)

Telecom

Italia

SpA

(6,983,214)

(1,968,785)

Terna

-

Rete

Elettrica

Nazionale

(372,136)

(3,174,009)

(38,587,772)

—

United

Kingdom

-

(0.2)%

CNH

Industrial

NV

(119,142)

(1,718,339)

TOTAL

COMMON

STOCKS

(Proceeds

$(40,974,605))

(40,306,111)

TOTAL

SHORT

POSITIONS

(Proceeds

$(40,974,605))

(40,306,111)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

81.2%

(Cost

$715,598,359)

724,819,566

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

18.8%

(h)

167,647,648

NET

ASSETS

-

100.0%

892,467,214

208

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$43,500,701.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2023

amounted

to

$(1,556,131),

which

represents

(0.17)%

of

net

assets

of

the

Fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

June

30,

2023,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(5,034,175)

(0.6)

%

Consumer

Discretionary

1,538,803

0.2

Consumer

Staples

(5,279,876)

(0.6)

Energy

5,912,564

0.7

Financials

11,494,298

1.3

Health

Care

(7,595,941)

(0.9)

Industrials

8,568,018

1.0

Information

Technology

(708,647)

(0.1)

Materials

2,399,012

0.3

Utilities

(1,714,409)

(0.2)

Investment

Companies

303,832,698

34.0

U.S.

Treasury

Obligations

411,407,221

46.1

Total

Investments

In

Securities

At

Value

724,819,566

81.2

Other

Assets

in

Excess

of

Liabilities

(h)

167,647,648

18.8

Net

Assets

$

892,467,214

100.0%

Affiliate

Value

At

12/31/2022

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2023

Shares

Held

At

6/30/2023

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

32.0%

INVESTMENT

COMPANIES

-

32.0%

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)

(Cost

$285,385,235)

$279,889,708

$664,110,445

$(658,548,608)

$(352)

$(1,485)

$285,449,708

285,563,934

$7,144,649

$–

(1)

Level

1

security

(See

Note

5).

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

209

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

June

30,

2023:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

1D

CORRA

Semi

4.50%

Semi

12/18/2025

CAD

400,000

$

737

$

(269)

$

468

Pay

1D

SARON

Annual

2.00%

Annual

9/22/2025

CHF

13,100,000

20,996

(12,643)

8,353

Pay

1D

SOFR

Annual

3.48%

Annual

12/20/2033

USD

82,400,000

699,140

(417,830)

281,310

Pay

1D

TONAR

Annual

0.50%

Annual

9/22/2025

JPY

3,486,700,000

202,526

(4,813)

197,713

Pay

6M

BBR

Semi

4.50%

Semi

12/08/2033

AUD

24,600,000

235,465

(100,471)

134,994

Pay

6M

EURIBOR

Semi

3.25%

Annual

9/20/2033

EUR

16,300,000

287,985

99,626

387,611

Pay

6M

EURIBOR

Semi

3.13%

Annual

12/20/2033

EUR

155,000,000

2,181,434

257,601

2,439,035

Receive

1D

SOFR

Annual

3.50%

Annual

9/22/2025

USD

62,000,000

897,885

393,096

1,290,981

Receive

1D

SOFR

Annual

4.50%

Annual

9/22/2025

USD

188,900,000

(4,000,822)

4,395,658

394,836

Receive

1D

SOFR

Annual

4.19%

Annual

12/22/2025

USD

329,900,000

(1,061,756)

2,114,381

1,052,625

Receive

1D

SONIA

Annual

3.25%

Annual

9/20/2033

GBP

57,500,000

4,512,199

1,561,097

6,073,296

Receive

1D

SONIA

Annual

3.62%

Annual

12/20/2033

GBP

49,600,000

3,056,051

6,820

3,062,871

Receive

1D

TONAR

Annual

0.00%

Annual

12/22/2025

JPY

59,133,900,000

778,736

232,396

1,011,132

Receive

3M

BBR

Qtrly

5.00%

Semi

9/10/2025

NZD

202,500,000

(669,562)

1,511,423

841,861

Receive

3M

BBR

Qtrly

4.50%

Semi

9/10/2025

NZD

111,400,000

229,742

863,964

1,093,706

Receive

3M

BBR

Qtrly

4.00%

Qtrly

9/11/2025

AUD

34,700,000

(215,257)

415,955

200,698

Receive

3M

BBR

Qtrly

3.50%

Qtrly

9/11/2025

AUD

246,300,000

(613,089)

3,595,183

2,982,094

Receive

3M

BBR

Qtrly

5.00%

Semi

12/10/2025

NZD

58,200,000

(113,143)

231,566

118,423

Receive

3M

BBR

Qtrly

4.00%

Qtrly

12/11/2025

AUD

244,400,000

535,253

619,858

1,155,111

Receive

3M

STIBOR

Qtrly

3.50%

Annual

9/17/2025

SEK

4,297,900,000

(1,287,848)

5,021,264

3,733,416

Receive

3M

STIBOR

Qtrly

3.50%

Annual

12/17/2025

SEK

1,143,000,000

(70,274)

815,944

745,670

Receive

6M

EURIBOR

Semi

2.75%

Annual

9/22/2025

EUR

96,600,000

1,454,736

662,231

2,116,967

Receive

6M

EURIBOR

Semi

3.75%

Annual

9/22/2025

EUR

344,500,000

(3,972,634)

4,442,695

470,061

Receive

6M

EURIBOR

Semi

3.55%

Annual

12/22/2025

EUR

932,200,000

(4,302,430)

7,006,983

2,704,553

(1,213,930)

33,711,715

32,497,785

Pay

1D

CORRA

Semi

3.50%

Semi

9/18/2025

CAD

44,800,000

(670,686)

(27,607)

(698,293)

Pay

1D

CORRA

Semi

4.00%

Semi

12/18/2025

CAD

106,300,000

(85,435)

(530,697)

(616,132)

Pay

1D

CORRA

Semi

3.00%

Semi

9/19/2033

CAD

1,700,000

(2,239)

(40,544)

(42,783)

Pay

1D

SARON

Annual

1.50%

Annual

9/22/2025

CHF

343,300,000

(2,326,505)

(1,229,218)

(3,555,723)

Pay

1D

SARON

Annual

1.50%

Annual

12/22/2025

CHF

24,500,000

(178,423)

(71,275)

(249,698)

Pay

1D

SOFR

Annual

3.50%

Annual

9/20/2033

USD

42,900,000

915,298

(923,523)

(8,225)

Pay

1D

SOFR

Annual

3.00%

Annual

9/20/2033

USD

14,200,000

(681,412)

94,451

(586,961)

Pay

1D

SONIA

Annual

4.00%

Annual

9/22/2025

GBP

322,300,000

(7,249,668)

(7,428,986)

(14,678,654)

Pay

1D

SONIA

Annual

4.25%

Annual

12/22/2025

GBP

371,800,000

(8,839,529)

(4,759,309)

(13,598,838)

Pay

1D

TONAR

Annual

0.00%

Annual

9/22/2025

JPY

13,430,000,000

(183,705)

12,801

(170,904)

Pay

1D

TONAR

Annual

0.50%

Annual

12/20/2033

JPY

12,187,900,000

(776,197)

(243,403)

(1,019,600)

Pay

3M

BBR

Qtrly

3.50%

Qtrly

12/11/2025

AUD

86,100,000

(217,776)

(727,992)

(945,768)

Pay

6M

BBR

Semi

4.00%

Semi

9/08/2033

AUD

90,400,000

189,007

(2,139,901)

(1,950,894)

Pay

6M

BBR

Semi

4.00%

Semi

12/08/2033

AUD

67,300,000

(1,317,238)

(106,903)

(1,424,141)

Pay

6M

NIBOR

Semi

4.00%

Annual

9/17/2025

NOK

285,000,000

120,644

(491,547)

(370,903)

Pay

6M

NIBOR

Semi

3.00%

Annual

9/17/2025

NOK

76,000,000

(39,330)

(190,567)

(229,897)

Pay

6M

NIBOR

Semi

3.50%

Annual

9/17/2025

NOK

1,707,900,000

(604,121)

(3,090,392)

(3,694,513)

Receive

1D

CORRA

Semi

3.50%

Semi

12/19/2033

CAD

6,500,000

(33,345)

(24,649)

(57,994)

Receive

1D

TONAR

Annual

1.00%

Annual

9/20/2033

JPY

2,800,000

(708)

(63)

(771)

(21,981,368)

(21,919,324)

(43,900,692)

$

(23,195,298)

$

11,792,391

$

(11,402,907)

210

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Abbreviations:

1D:

1

Day

3M:

3

Month

6M:

6

Month

Qtrly:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

June

30,

2023

were

as

follows:

1

Day

Canadian

Overnight

Repo

Rate

Average

(”CORRA”):

4.75%

1

Day

Secured

Overnight

Financing

Rate

(''SOFR''):

5.09%

1

Day

Sterling

Overnight

Index

Average

(''SONIA''):

4.93%

1

Day

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

1

Day

Tokyo

Overnight

Average

Rate

(“TONAR”):

-0.08%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.35%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

3.81%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

4.70%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

3.90%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

4.81%

Total

return

swap

contracts

outstanding

as

of

June

30,

2023

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Canada

10

Year

Bond

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

09/20/2023

CAD

(367,590)

$

648

KOSPI

200

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

09/14/2023

KRW

(2,043,000,000)

19,620

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

09/15/2023

PLN

9,611,500

9,229

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.21%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/20/2023

EUR

6,308,547

196,721

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.10%)

Monthly

CITI

09/20/2023

SGD

(9,669,680)

82,325

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

ESTR

plus

or

minus

a

specified

spread

(-0.48%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/20/2023

EUR

12,274,080

444,869

211

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.22%)

Monthly

CITI

09/20/2023

SEK

(37,817,512)

$

37,492

790,904

Amsterdam

Exchange

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/21/2023

EUR

(84,497,890)

(453,527)

Canada

10

Year

Bond

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

09/20/2023

CAD

367,590

(1,907)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

08/16/2023

BRL

82,106,840

(10,388)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

09/15/2023

CHF

566,350

(2,272)

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/19/2023

TWD

738,628,000

(419,528)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-1.00%)

Monthly

CITI

09/20/2023

CAD

(23,215,674)

(197,080)

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

OBFR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/20/2023

USD

4,224,451

(132,398)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TELBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/20/2023

ILS

8,866,933

(92,633)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

ESTR

plus

or

minus

a

specified

spread

(-0.19%)

Monthly

CITI

09/20/2023

EUR

(26,579,698)

(35,649)

212

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SARON

plus

or

minus

a

specified

spread

(-0.11%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/20/2023

CHF

8,007,538

$

(44,975)

(1,390,357)

$

(599,453)

Futures

contracts

outstanding

as

of

June

30,

2023:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

901

7/2023

USD

$

67,944,410

$

451,994

Hang

Seng

Index

101

7/2023

HKD

12,120,387

(104,075)

IBEX

35

Index

733

7/2023

EUR

76,385,637

2,003,021

LME

Copper

Base

Metal

3

7/2023

USD

624,375

(51,345)

LME

Copper

Base

Metal

3

7/2023

USD

624,285

(37,448)

LME

Copper

Base

Metal

11

7/2023

USD

2,288,693

(46,886)

LME

Copper

Base

Metal

13

7/2023

USD

2,705,154

(210,780)

LME

Copper

Base

Metal

15

7/2023

USD

3,120,769

(138,752)

LME

Copper

Base

Metal

39

7/2023

USD

8,115,656

(579,561)

Natural

Gas

747

7/2023

USD

20,901,060

394,067

NY

Harbor

ULSD

119

7/2023

USD

12,233,105

411,470

RBOB

Gasoline

91

7/2023

USD

9,726,608

235,492

SGX

FTSE

Taiwan

Index

505

7/2023

USD

29,178,900

(68,314)

LME

Copper

Base

Metal

24

8/2023

USD

4,990,122

147,199

Low

Sulphur

Gasoil

319

8/2023

USD

22,409,750

544,884

Australia

10

Year

Bond

3,840

9/2023

AUD

297,858,247

(948,717)

Copper

95

9/2023

USD

8,928,813

(237,869)

FTSE

100

Index

1,052

9/2023

GBP

100,757,457

(801,573)

FTSE/MIB

Index

867

9/2023

EUR

134,166,974

3,112,375

Japan

10

Year

Bond

132

9/2023

JPY

136,011,366

627,798

LME

Copper

Base

Metal

1

9/2023

USD

207,975

(6,740)

LME

Copper

Base

Metal

3

9/2023

USD

623,625

(10,222)

LME

Copper

Base

Metal

4

9/2023

USD

831,750

5,237

LME

Copper

Base

Metal

8

9/2023

USD

1,663,000

(19,491)

LME

Copper

Base

Metal

12

9/2023

USD

2,495,286

5,870

LME

Copper

Base

Metal

28

9/2023

USD

5,821,900

14,421

LME

Copper

Base

Metal

45

9/2023

USD

9,352,688

(342,718)

LME

Copper

Base

Metal

115

9/2023

USD

23,911,375

(202,658)

Long

Gilt

663

9/2023

GBP

80,294,074

(341,045)

MEX

BOLSA

Index

13

9/2023

MXN

415,701

(9,055)

Silver

173

9/2023

USD

19,912,300

142,523

SPI

200

Index

611

9/2023

AUD

72,866,335

609,465

TOPIX

Index

1,167

9/2023

JPY

185,044,250

5,432,977

213

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Soybean

478

11/2023

USD

$

32,103,675

$

595,396

10,576,940

Short

Contracts

CAC

40

10

Euro

Index

(780)

7/2023

EUR

(63,073,433)

(1,026,052)

FTSE

Bursa

Malaysia

KLCI

Index

(42)

7/2023

MYR

(618,864)

5,869

HSCEI

(159)

7/2023

HKD

(6,445,425)

20,303

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,285)

38,935

LME

Copper

Base

Metal

(3)

7/2023

USD

(624,375)

49,379

LME

Copper

Base

Metal

(11)

7/2023

USD

(2,288,693)

54,553

LME

Copper

Base

Metal

(13)

7/2023

USD

(2,705,154)

224,443

LME

Copper

Base

Metal

(15)

7/2023

USD

(3,120,769)

151,502

LME

Copper

Base

Metal

(39)

7/2023

USD

(8,115,656)

572,608

MSCI

Singapore

Index

(859)

7/2023

SGD

(18,349,978)

(25,470)

OMXS30

Index

(2,859)

7/2023

SEK

(61,399,572)

151,355

SGX

NIFTY

50

Index

(398)

7/2023

USD

(15,346,084)

(283,016)

WTI

Crude

Oil

(2,301)

7/2023

USD

(162,542,640)

1,541,078

100

oz

Gold

(318)

8/2023

USD

(61,354,920)

24,510

LME

Copper

Base

Metal

(24)

8/2023

USD

(4,990,122)

(150,760)

Canada

10

Year

Bond

(741)

9/2023

CAD

(68,548,443)

(262,039)

Corn

(474)

9/2023

USD

(11,577,450)

984,018

DAX

Index

(209)

9/2023

EUR

(92,775,133)

(239,430)

Euro

STOXX

50

Index

(141)

9/2023

EUR

(6,811,347)

(93,726)

Euro-Bund

(1,900)

9/2023

EUR

(277,342,667)

1,951,646

FTSE/JSE

Top

40

Index

(45)

9/2023

ZAR

(1,698,195)

34,117

KOSPI

200

Index

(232)

9/2023

KRW

(14,988,047)

186,595

LME

Copper

Base

Metal

(1)

9/2023

USD

(207,975)

7,672

LME

Copper

Base

Metal

(3)

9/2023

USD

(623,625)

10,417

LME

Copper

Base

Metal

(4)

9/2023

USD

(831,750)

(8,211)

LME

Copper

Base

Metal

(8)

9/2023

USD

(1,663,000)

20,879

LME

Copper

Base

Metal

(10)

9/2023

USD

(2,079,250)

(62,464)

LME

Copper

Base

Metal

(12)

9/2023

USD

(2,495,286)

(19,643)

LME

Copper

Base

Metal

(28)

9/2023

USD

(5,821,900)

(27,099)

LME

Copper

Base

Metal

(45)

9/2023

USD

(9,352,688)

306,387

S&P

500

E-Mini

Index

(959)

9/2023

USD

(215,211,589)

(6,961,810)

S&P/TSX

60

Index

(166)

9/2023

CAD

(30,539,740)

(288,634)

SET50

Index

(2,309)

9/2023

THB

(11,912,630)

(196,873)

U.S.

Treasury

10

Year

Note

(28)

9/2023

USD

(3,144,750)

27,504

(3,281,457)

$

7,295,483

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

83,946,495

USD

55,226,972

CITI

9/20/2023

$

817,571

AUD

83,946,494

USD

55,226,695

JPMC

9/20/2023

817,850

BRL

86,068,895

USD

17,085,712

CITI

**

9/20/2023

637,459

BRL

86,068,895

USD

17,085,626

JPMC

**

9/20/2023

637,548

CAD

21,520,500

USD

16,120,857

CITI

9/20/2023

144,066

CAD

21,520,500

USD

16,120,776

JPMC

9/20/2023

144,147

CHF

1,951,000

USD

2,189,128

CITI

9/20/2023

8,733

CHF

1,951,000

USD

2,189,117

JPMC

9/20/2023

8,744

214

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CLP

81,643,000

USD

100,702

CITI

**

9/20/2023

$

167

CLP

81,643,000

USD

100,701

JPMC

**

9/20/2023

168

EUR

133,106,147

USD

143,440,273

CITI

9/20/2023

2,375,371

EUR

133,106,140

USD

143,439,548

JPMC

9/20/2023

2,376,091

GBP

39,300,126

USD

48,852,109

CITI

9/20/2023

1,069,436

GBP

39,300,123

USD

48,851,861

JPMC

9/20/2023

1,069,676

INR

702,244,847

USD

8,464,870

CITI

**

9/20/2023

69,016

INR

702,244,843

USD

8,464,828

JPMC

**

9/20/2023

69,058

KRW

658,632,500

USD

501,312

CITI

**

9/20/2023

661

KRW

658,632,500

USD

501,310

JPMC

**

9/20/2023

663

MXN

170,617,672

USD

9,472,664

CITI

9/20/2023

347,550

MXN

170,617,669

USD

9,472,616

JPMC

9/20/2023

347,597

NOK

114,021,189

USD

10,510,055

CITI

9/20/2023

141,850

NOK

114,021,183

USD

10,510,002

JPMC

9/20/2023

141,901

PLN

40,084,003

USD

9,495,624

CITI

9/20/2023

324,901

PLN

40,084,001

USD

9,495,576

JPMC

9/20/2023

324,949

SEK

633,459,072

USD

58,507,045

CITI

9/20/2023

447,536

SEK

633,459,067

USD

58,506,752

JPMC

9/20/2023

447,832

TWD

7,000

USD

225

CITI

**

9/20/2023

–

TWD

7,000

USD

225

JPMC

**

9/20/2023

–

USD

1,049,527

CLP

843,057,501

CITI

**

9/20/2023

7,934

USD

1,049,532

CLP

843,057,499

JPMC

**

9/20/2023

7,940

USD

1,273,177

CNY

8,956,713

CITI

**

9/20/2023

32,983

USD

1,273,183

CNY

8,956,714

JPMC

**

9/20/2023

32,990

USD

29,475,822

EUR

26,699,000

CITI

9/20/2023

227,497

USD

29,475,969

EUR

26,699,000

JPMC

9/20/2023

227,644

USD

177,775

IDR

2,656,342,002

CITI

**

9/20/2023

1,389

USD

177,788

IDR

2,656,341,997

JPMC

**

9/20/2023

1,402

USD

9,715,077

ILS

35,710,242

CITI

9/20/2023

52,402

USD

9,715,125

ILS

35,710,242

JPMC

9/20/2023

52,450

USD

126,494,750

JPY

17,369,407,534

CITI

9/20/2023

4,637,483

USD

126,495,382

JPY

17,369,407,524

JPMC

9/20/2023

4,638,116

USD

7,036,026

KRW

9,103,572,136

CITI

**

9/20/2023

97,793

USD

7,036,061

KRW

9,103,572,133

JPMC

**

9/20/2023

97,829

USD

604,989

MXN

10,500,000

CITI

9/20/2023

642

USD

604,992

MXN

10,500,000

JPMC

9/20/2023

645

USD

470,798

NOK

5,000,000

CITI

9/20/2023

3,696

USD

470,800

NOK

5,000,000

JPMC

9/20/2023

3,698

USD

983,786

SEK

10,505,682

CITI

9/20/2023

6,047

USD

983,791

SEK

10,505,681

JPMC

9/20/2023

6,052

USD

12,960,353

SGD

17,425,749

CITI

9/20/2023

36,974

USD

12,960,480

SGD

17,425,750

JPMC

9/20/2023

37,100

USD

2,711,785

TWD

82,785,501

CITI

**

9/20/2023

47,487

USD

2,711,799

TWD

82,785,499

JPMC

**

9/20/2023

47,500

USD

2,258,150

ZAR

42,500,000

CITI

9/20/2023

17,938

USD

2,258,161

ZAR

42,500,000

JPMC

9/20/2023

17,949

ZAR

34,652,502

USD

1,744,998

CITI

9/20/2023

81,566

ZAR

34,652,498

USD

1,744,989

JPMC

9/20/2023

81,573

Total

unrealized

appreciation

23,275,260

AUD

49,191,000

USD

33,439,871

CITI

9/20/2023

(598,867)

AUD

49,191,000

USD

33,439,704

JPMC

9/20/2023

(598,699)

BRL

15,761,000

USD

3,256,165

CITI

**

9/20/2023

(10,684)

BRL

15,761,000

USD

3,256,148

JPMC

**

9/20/2023

(10,668)

CAD

28,291,001

USD

21,509,827

CITI

9/20/2023

(127,844)

CAD

28,290,999

USD

21,509,718

JPMC

9/20/2023

(127,737)

CNY

32,647,419

USD

4,593,215

CITI

**

9/20/2023

(72,682)

CNY

32,647,415

USD

4,593,192

JPMC

**

9/20/2023

(72,660)

IDR

424,512,000

USD

28,543

CITI

**

9/20/2023

(354)

215

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

IDR

424,512,000

USD

28,542

JPMC

**

9/20/2023

$

(354)

JPY

758,585,212

USD

5,513,341

CITI

9/20/2023

(191,391)

JPY

758,585,202

USD

5,513,314

JPMC

9/20/2023

(191,365)

KRW

3,250,000,000

USD

2,547,341

CITI

**

9/20/2023

(70,373)

KRW

3,250,000,000

USD

2,547,329

JPMC

**

9/20/2023

(70,360)

NOK

146,030,116

USD

13,823,684

CITI

9/20/2023

(181,493)

NOK

146,030,114

USD

13,823,615

JPMC

9/20/2023

(181,425)

SEK

211,153,023

USD

19,725,184

CITI

9/20/2023

(73,656)

SEK

211,153,023

USD

19,725,085

JPMC

9/20/2023

(73,558)

SGD

4,577,500

USD

3,400,766

CITI

9/20/2023

(5,975)

SGD

4,577,500

USD

3,400,749

JPMC

9/20/2023

(5,959)

TWD

113,445,162

USD

3,730,595

CITI

**

9/20/2023

(79,572)

TWD

113,445,154

USD

3,730,576

JPMC

**

9/20/2023

(79,555)

USD

6,253,068

BRL

31,515,501

CITI

**

9/20/2023

(236,555)

USD

6,253,099

BRL

31,515,499

JPMC

**

9/20/2023

(236,523)

USD

34,608,958

CAD

46,809,826

CITI

9/20/2023

(769,321)

USD

34,601,605

CAD

46,809,824

JPMC

9/20/2023

(776,673)

USD

153,858,327

CHF

138,040,673

CITI

9/20/2023

(1,648,748)

USD

153,859,080

CHF

138,040,658

JPMC

9/20/2023

(1,647,979)

USD

319,418

CLP

261,142,500

CITI

**

9/20/2023

(3,222)

USD

319,419

CLP

261,142,500

JPMC

**

9/20/2023

(3,221)

USD

782,038

DKK

5,386,212

CITI

9/20/2023

(11,149)

USD

782,042

DKK

5,386,211

JPMC

9/20/2023

(11,145)

USD

14,331,038

EUR

13,144,833

CITI

9/20/2023

(68,916)

USD

14,331,102

EUR

13,144,826

JPMC

9/20/2023

(68,844)

USD

5,783,903

HUF

2,049,075,500

CITI

9/20/2023

(103,679)

USD

5,783,932

HUF

2,049,075,500

JPMC

9/20/2023

(103,650)

USD

4,486,390

ILS

16,644,804

CITI

9/20/2023

(17,454)

USD

4,486,412

ILS

16,644,803

JPMC

9/20/2023

(17,431)

USD

4,292,968

JPY

615,000,000

CITI

9/20/2023

(21,642)

USD

4,292,989

JPY

615,000,000

JPMC

9/20/2023

(21,621)

USD

12,866,040

KRW

16,919,430,348

CITI

**

9/20/2023

(29,002)

USD

12,866,104

KRW

16,919,430,343

JPMC

**

9/20/2023

(28,938)

USD

3,372,384

MXN

58,981,000

CITI

9/20/2023

(22,376)

USD

3,372,401

MXN

58,981,000

JPMC

9/20/2023

(22,359)

USD

17,301,503

NOK

190,000,002

CITI

9/20/2023

(448,371)

USD

17,301,589

NOK

189,999,998

JPMC

9/20/2023

(448,284)

USD

37,445,419

NZD

61,661,072

CITI

9/20/2023

(383,450)

USD

37,445,605

NZD

61,661,071

JPMC

9/20/2023

(383,262)

USD

290,535

PLN

1,203,500

CITI

9/20/2023

(4,321)

USD

290,536

PLN

1,203,500

JPMC

9/20/2023

(4,320)

USD

1,576

SEK

17,046

CITI

9/20/2023

(11)

USD

1,576

SEK

17,044

JPMC

9/20/2023

(11)

USD

2,207,055

SGD

2,976,000

CITI

9/20/2023

(23)

USD

2,207,066

SGD

2,976,000

JPMC

9/20/2023

(12)

USD

5,039

ZAR

98,000

CITI

9/20/2023

(127)

USD

5,039

ZAR

98,000

JPMC

9/20/2023

(127)

ZAR

102,000,000

USD

5,435,002

CITI

9/20/2023

(58,492)

ZAR

102,000,000

USD

5,434,975

JPMC

9/20/2023

(58,464)

Total

unrealized

depreciation

(10,484,954)

Net

unrealized

appreciation

$

12,790,306

**

Non-deliverable

forward

foreign

currency

exchange

contracts.

216

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.20%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

55

months

maturity

12/09/2027

$2,782

$65

$12

$77

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.75%

to

0.50%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

04/17/2026

-

07/03/2028

$3,776,625

$(55,987)

$(192)

$(56,179)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-1.30%

to

0.70%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-60

months

maturity

ranging

from

04/17/2026

-

05/16/2028

$8,824,303

$(122,915)

$(7,306)

$(130,221)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-6.50%

to

0.75%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

34-61

months

maturity

ranging

from

04/17/2026

-

07/03/2028

$3,056,931

$(789)

$13,843

$13,054

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-73.99%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

08/26/2024

$680,183,669

$2,217,994

$7,249,289

$9,467,283

217

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acuity

Brands,

Inc.

32,712

5,334,673

87,341

0.9

Adobe,

Inc.

7,724

3,776,959

73,224

0.8

AGCO

Corp.

23,611

3,102,958

(7,792)

(0.1)

Allison

Transmission

Holdings,

Inc.

67,966

3,837,360

141,369

1.5

Alphabet,

Inc.

28,773

3,444,128

39,131

0.4

Amkor

Technology,

Inc.

144,247

4,291,348

488,997

5.2

Best

Buy

Co.,

Inc.

35,400

2,901,030

19,470

0.2

Builders

FirstSource,

Inc.

56,963

7,746,968

446,020

4.7

Cigna

Group

(The)

10,896

3,057,418

45,654

0.5

Cirrus

Logic,

Inc.

44,811

3,630,139

277,380

2.9

CVS

Health

Corp.

48,030

3,320,314

(34,582)

(0.4)

EMCOR

Group,

Inc.

16,838

3,111,326

121,570

1.3

EnerSys

30,003

3,255,926

179,718

1.9

General

Dynamics

Corp.

19,970

4,296,546

61,108

0.6

Genuine

Parts

Co.

26,827

4,539,933

176,522

1.9

Huntington

Ingalls

Industries,

Inc.

22,631

5,150,816

204,132

2.2

LKQ

Corp.

97,184

5,662,912

290,580

3.1

Lockheed

Martin

Corp.

8,284

3,813,788

62,793

0.7

Macy's,

Inc.

247,225

3,967,961

224,975

2.4

Meta

Platforms,

Inc.

12,746

3,657,847

108,468

1.1

Microchip

Technology,

Inc.

37,623

3,370,645

253,955

2.7

Microsoft

Corp.

8,885

3,025,698

106,087

1.1

Ovintiv,

Inc.

116,493

4,434,889

258,614

2.7

Owens

Corning

39,976

5,216,868

217,469

2.3

PACCAR,

Inc.

43,496

3,638,440

193,122

2.0

PBF

Energy,

Inc.

79,013

3,234,792

83,754

0.9

Playtika

Holding

Corp.

302,777

3,512,213

(57,528)

(0.6)

Southwestern

Energy

Co.

697,966

4,194,776

300,125

3.2

Teradata

Corp.

56,636

3,024,929

154,050

1.6

Terex

Corp.

66,617

3,985,695

195,188

2.1

Textron,

Inc.

93,446

6,319,753

222,401

2.3

TripAdvisor,

Inc.

266,929

4,401,659

80,079

0.8

United

Rentals,

Inc.

6,559

2,921,182

213,758

2.3

Valero

Energy

Corp.

26,173

3,070,093

112,806

1.2

Short

Positions

Common

Stocks

United

States

agilon

health,

Inc.

(176,476)

(3,060,094)

(123,533)

(1.3)

Amazon.com,

Inc.

(26,251)

(3,422,080)

(79,541)

(0.8)

AZEK

Co.,

Inc.

(The)

(99,992)

(3,028,758)

(203,984)

(2.2)

Baker

Hughes

Co.

(104,101)

(3,290,633)

(112,429)

(1.2)

Chart

Industries,

Inc.

(20,142)

(3,218,490)

(139,181)

(1.5)

Equitrans

Midstream

Corp.

(363,157)

(3,471,781)

(101,684)

(1.1)

Guardant

Health,

Inc.

(87,548)

(3,134,218)

(11,381)

(0.1)

HealthEquity,

Inc.

(48,317)

(3,050,735)

(167,177)

(1.8)

Hess

Corp.

(56,643)

(7,700,616)

(54,377)

(0.6)

Plug

Power,

Inc.

(402,716)

(4,184,219)

(507,422)

(5.4)

R1

RCM,

Inc.

(251,363)

(4,637,647)

(218,686)

(2.3)

Schlumberger

NV

(77,509)

(3,807,242)

(136,416)

(1.4)

Snap,

Inc.

(398,480)

(4,718,003)

(251,042)

(2.7)

218

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Take-Two

Interactive

Software,

Inc.

(19,959)

(2,937,166)

(72,850)

(0.8)

Trex

Co.,

Inc.

(72,488)

(4,752,313)

(289,227)

(3.1)

Williams

Cos.,

Inc.

(The)

(99,286)

(3,239,702)

(154,886)

(1.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/13/2025

-

06/26/2028

$86,208,654

$879,291

$(80,306)

$798,985

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Aristocrat

Leisure

Ltd.

72,534

1,876,659

37,173

4.7

Atlas

Arteria

Ltd.

160,213

665,362

6,863

0.9

Aurizon

Holdings

Ltd.

1,231,139

3,220,912

293,072

36.7

BHP

Group

Ltd.

117,003

3,517,340

31,794

4.0

BlueScope

Steel

Ltd.

197,592

2,719,424

107,966

13.5

Brambles

Ltd.

268,316

2,580,012

159,890

20.0

Computershare

Ltd.

36,347

567,232

15,670

2.0

Goodman

Group

116,468

1,565,661

44,216

5.5

Harvey

Norman

Holdings

Ltd.

579,424

1,347,708

108,344

13.6

Incitec

Pivot

Ltd.

1,160,915

2,124,308

(21,381)

(2.7)

JB

Hi-Fi

Ltd.

144,062

4,216,222

147,225

18.4

Pilbara

Minerals

Ltd.

686,937

2,257,731

84,116

10.5

Qantas

Airways

Ltd.

572,361

2,371,931

5,784

0.7

Qube

Holdings

Ltd.

910,243

1,734,888

13,027

1.6

Sonic

Healthcare

Ltd.

31,769

755,519

16,087

2.0

South32

Ltd.

550,212

1,385,212

(37,566)

(4.7)

Tabcorp

Holdings

Ltd.

734,251

544,634

(12,965)

(1.6)

Telstra

Group

Ltd.

324,155

929,903

(780)

(0.1)

Whitehaven

Coal

Ltd.

716,040

3,209,897

157,161

19.7

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,000,403)

(927,871)

8,359

1.0

APA

Group

(435,363)

(2,816,780)

126,274

15.8

Charter

Hall

Group

(72,476)

(519,570)

11,026

1.4

Cochlear

Ltd.

(4,243)

(650,062)

26,452

3.3

Commonwealth

Bank

of

Australia

(15,798)

(1,057,626)

(37,812)

(4.7)

219

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Endeavour

Group

Ltd.

(192,135)

(808,635)

(34,269)

(4.3)

Evolution

Mining

Ltd.

(647,457)

(1,409,633)

74,051

9.3

GPT

Group

(The)

(332,921)

(921,222)

(31,903)

(4.0)

IDP

Education

Ltd.

(201,188)

(2,979,356)

201,938

25.3

IGO

Ltd.

(112,106)

(1,144,241)

(54,944)

(6.9)

Insurance

Australia

Group

Ltd.

(412,345)

(1,568,101)

(162,789)

(20.4)

Lendlease

Corp.

Ltd.

(101,207)

(525,107)

(49,802)

(6.2)

Lynas

Rare

Earths

Ltd.

(333,433)

(1,532,172)

169,239

21.2

Medibank

Pvt

Ltd.

(886,360)

(2,082,038)

14,055

1.8

Mineral

Resources

Ltd.

(22,248)

(1,065,518)

(24,017)

(3.0)

NEXTDC

Ltd.

(195,067)

(1,644,955)

(65,455)

(8.2)

Origin

Energy

Ltd.

(173,852)

(977,144)

(4,328)

(0.5)

Pro

Medicus

Ltd.

(10,873)

(478,529)

(18,882)

(2.4)

QBE

Insurance

Group

Ltd.

(86,976)

(908,102)

(39,596)

(5.0)

Ramsay

Health

Care

Ltd.

(53,255)

(2,000,800)

46,060

5.8

REA

Group

Ltd.

(16,992)

(1,632,307)

(150,404)

(18.8)

Reece

Ltd.

(123,513)

(1,538,656)

(3,266)

(0.4)

Santos

Ltd.

(124,116)

(621,013)

(7,079)

(0.9)

Scentre

Group

(678,260)

(1,199,512)

(20,254)

(2.5)

SEEK

Ltd.

(59,748)

(872,834)

(13,129)

(1.6)

Transurban

Group

(183,206)

(1,744,371)

3,113

0.4

Woodside

Energy

Group

Ltd.

(78,255)

(1,810,162)

6,513

0.8

Woolworths

Group

Ltd.

(50,763)

(1,345,028)

(62,736)

(7.9)

New

Zealand

Xero

Ltd.

(19,927)

(1,596,550)

(148,458)

(18.6)

United

States

CSL

Ltd.

(9,468)

(1,753,273)

148,282

18.6

James

Hardie

Industries

plc

(157,878)

(4,211,547)

(228,743)

(28.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.30%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/13/2025

-

07/03/2028

$162,859,040

$(1,215,829)

$1,230,313

$14,484

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

3SBio,

Inc.

1,312,500

1,320,739

41,068

283.5

Baidu,

Inc.

80,200

1,367,874

9,714

67.1

BOC

Hong

Kong

Holdings

Ltd.

557,000

1,706,273

(31,686)

(218.8)

China

CITIC

Bank

Corp.

Ltd.

3,782,000

1,778,136

(288,454)

(1,991.5)

220

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

China

(continued)

China

Construction

Bank

Corp.

3,396,000

2,198,651

(14,859)

(102.6)

China

Hongqiao

Group

Ltd.

1,929,000

1,575,581

86,770

599.1

China

Medical

System

Holdings

Ltd.

758,000

1,236,798

70,197

484.7

China

Minsheng

Banking

Corp.

Ltd.

3,385,500

1,253,396

(124,826)

(861.8)

China

National

Building

Material

Co.

Ltd.

2,168,000

1,339,698

18,533

128.0

China

Taiping

Insurance

Holdings

Co.

Ltd.

1,196,400

1,246,374

(42,245)

(291.7)

CITIC

Ltd.

1,535,000

1,837,918

(90,578)

(625.4)

CSPC

Pharmaceutical

Group

Ltd.

2,196,000

1,911,132

22,117

152.7

East

Buy

Holding

Ltd.

393,500

1,285,853

(298,055)

(2,057.8)

GCL

Technology

Holdings

Ltd.

7,494,000

1,739,772

267,799

1,848.9

Kunlun

Energy

Co.

Ltd.

2,234,000

1,759,853

819

5.7

New

China

Life

Insurance

Co.

Ltd.

578,600

1,528,981

(50,846)

(351.0)

PICC

Property

&

Casualty

Co.

Ltd.

1,324,000

1,474,217

(157,973)

(1,090.7)

Sinopharm

Group

Co.

Ltd.

729,600

2,284,009

(187,290)

(1,293.1)

SITC

International

Holdings

Co.

Ltd.

1,080,000

1,977,664

12,274

84.7

Xinyi

Glass

Holdings

Ltd.

1,222,000

1,910,377

(10,889)

(75.2)

Hong

Kong

ASMPT

Ltd.

144,100

1,423,645

106,038

732.1

CK

Asset

Holdings

Ltd.

589,872

3,277,778

(120,987)

(835.3)

New

World

Development

Co.

Ltd.

1,131,000

2,795,322

(91,355)

(630.7)

Sun

Hung

Kai

Properties

Ltd.

156,500

1,977,316

(73,800)

(509.5)

Swire

Pacific

Ltd.

181,000

1,390,565

143,245

989.0

WH

Group

Ltd.

5,671,500

3,020,493

53,016

366.0

United

Kingdom

CK

Hutchison

Holdings

Ltd.

971,000

5,926,347

(182,676)

(1,261.2)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(607,700)

(1,572,522)

59,955

413.9

China

Mengniu

Dairy

Co.

Ltd.

(426,000)

(1,609,978)

19,561

135.0

China

Merchants

Bank

Co.

Ltd.

(425,500)

(1,940,744)

97,969

676.4

China

Southern

Airlines

Co.

Ltd.

(2,536,000)

(1,435,706)

16,948

117.0

CITIC

Securities

Co.

Ltd.

(649,000)

(1,180,085)

68,884

475.6

ESR

Group

Ltd.

(765,600)

(1,318,556)

74,688

515.7

Flat

Glass

Group

Co.

Ltd.

(602,000)

(2,064,107)

(358,594)

(2,475.8)

Ganfeng

Lithium

Group

Co.

Ltd.

(210,400)

(1,380,006)

64,517

445.4

Genscript

Biotech

Corp.

(564,000)

(1,275,831)

53,751

371.1

Meituan

(118,580)

(1,859,443)

63,619

439.2

Nongfu

Spring

Co.

Ltd.

(331,400)

(1,834,145)

(27,881)

(192.5)

Postal

Savings

Bank

of

China

Co.

Ltd.

(3,095,000)

(1,908,555)

184,683

1,275.1

XPeng,

Inc.

(361,100)

(2,398,750)

(806,610)

(5,569.0)

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(603,200)

(1,647,095)

37,902

261.7

Zijin

Mining

Group

Co.

Ltd.

(892,000)

(1,320,946)

570

3.9

ZTE

Corp.

(340,400)

(1,368,106)

(240,904)

(1,663.2)

Hong

Kong

AIA

Group

Ltd.

(620,400)

(6,301,092)

92,131

636.1

Hong

Kong

&

China

Gas

Co.

Ltd.

(4,089,716)

(3,541,655)

96,083

663.4

Power

Assets

Holdings

Ltd.

(265,500)

(1,393,737)

36,087

249.2

Techtronic

Industries

Co.

Ltd.

(115,500)

(1,263,063)

(165,695)

(1,144.0)

Wharf

Real

Estate

Investment

Co.

Ltd.

(852,000)

(4,274,790)

313,571

2,164.9

Macau

Galaxy

Entertainment

Group

Ltd.

(221,000)

(1,407,929)

19,151

132.2

Sands

China

Ltd.

(616,400)

(2,110,994)

36,495

252.0

221

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.33%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-61

months

maturity

ranging

from

01/14/2025

-

06/26/2028

$508,133,995

$(95,407)

$1,710,719

$1,615,312

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

112,000

4,029,305

(16,185)

(1.0)

Amada

Co.

Ltd.

322,100

3,177,796

120,753

7.5

Fuji

Electric

Co.

Ltd.

85,800

3,777,351

153,171

9.5

Iida

Group

Holdings

Co.

Ltd.

178,600

3,018,133

9,688

0.6

Japan

Post

Insurance

Co.

Ltd.

272,300

4,092,377

71,838

4.4

Kajima

Corp.

205,400

3,101,257

140,434

8.7

Mitsubishi

Corp.

82,400

3,983,785

394,721

24.4

Mitsubishi

Electric

Corp.

275,700

3,897,529

110,582

6.8

Mitsui

&

Co.

Ltd.

83,000

3,141,370

246,335

15.3

Obayashi

Corp.

582,100

5,034,198

283,661

17.6

Otsuka

Holdings

Co.

Ltd.

85,000

3,117,941

(63,042)

(3.9)

Panasonic

Holdings

Corp.

245,600

3,011,530

247,371

15.3

Seiko

Epson

Corp.

221,500

3,458,099

74,082

4.6

Sojitz

Corp.

221,600

4,904,074

174,698

10.8

SUMCO

Corp.

239,700

3,400,670

65,290

4.0

Sumitomo

Heavy

Industries

Ltd.

130,700

3,130,444

107,653

6.7

Suntory

Beverage

&

Food

Ltd.

118,300

4,288,578

(77,933)

(4.8)

Tokyo

Gas

Co.

Ltd.

312,800

6,824,551

(34,309)

(2.1)

TOPPAN,

Inc.

229,800

4,966,364

93,856

5.8

Toyota

Tsusho

Corp.

64,200

3,208,466

148,604

9.2

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(212,700)

(4,355,353)

(206,601)

(12.8)

ANA

Holdings,

Inc.

(324,900)

(7,739,213)

(714,104)

(44.2)

Asics

Corp.

(126,900)

(3,927,051)

(493,685)

(30.6)

Daiichi

Sankyo

Co.

Ltd.

(98,800)

(3,139,299)

214,277

13.3

Daikin

Industries

Ltd.

(26,800)

(5,491,462)

(126,633)

(7.8)

Denso

Corp.

(63,900)

(4,310,191)

(253,169)

(15.7)

East

Japan

Railway

Co.

(55,900)

(3,099,848)

(44,175)

(2.7)

Eisai

Co.

Ltd.

(49,700)

(3,368,372)

279,177

17.3

Japan

Airlines

Co.

Ltd.

(298,300)

(6,468,174)

(785,506)

(48.6)

Japan

Airport

Terminal

Co.

Ltd.

(98,200)

(4,441,716)

(12,547)

(0.8)

JSR

Corp.

(147,400)

(4,235,713)

(897,240)

(55.5)

KDDI

Corp.

(114,000)

(3,520,676)

8,081

0.5

222

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Keisei

Electric

Railway

Co.

Ltd.

(78,400)

(3,249,627)

(191,727)

(11.9)

Keyence

Corp.

(7,800)

(3,706,222)

(5,152)

(0.3)

Kobe

Bussan

Co.

Ltd.

(161,700)

(4,196,945)

195,836

12.1

Lasertec

Corp.

(27,000)

(4,080,146)

(146,018)

(9.0)

M3,

Inc.

(212,200)

(4,626,940)

49,676

3.1

Marui

Group

Co.

Ltd.

(207,600)

(3,628,276)

(126,433)

(7.8)

Mercari,

Inc.

(157,300)

(3,702,252)

(458,577)

(28.4)

MonotaRO

Co.

Ltd.

(250,600)

(3,200,267)

341,818

21.2

NIDEC

Corp.

(86,100)

(4,744,578)

(410,925)

(25.4)

Nippon

Telegraph

&

Telephone

Corp.

(2,610,000)

(3,088,429)

(97,291)

(6.0)

Rakuten

Group,

Inc.

(998,900)

(3,480,695)

198,699

12.3

SoftBank

Corp.

(407,800)

(4,357,466)

(75,120)

(4.7)

SoftBank

Group

Corp.

(127,400)

(6,008,135)

(798,062)

(49.4)

Sony

Group

Corp.

(55,900)

(5,046,105)

237,993

14.7

T&D

Holdings,

Inc.

(218,200)

(3,200,088)

(181,913)

(11.3)

Toyota

Motor

Corp.

(370,200)

(5,949,887)

(685,817)

(42.5)

Unicharm

Corp.

(116,100)

(4,317,166)

43,042

2.7

Yaskawa

Electric

Corp.

(78,200)

(3,605,262)

(145,483)

(9.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-3.63%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-61

months

maturity

ranging

from

01/13/2025

-

07/03/2028

$1,096,248,313

$2,481,991

$315,190

$2,797,181

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

American

International

Group,

Inc.

70,343

4,047,536

46,541

1.7

Archer-Daniels-Midland

Co.

64,498

4,873,469

194,784

7.0

Arrow

Electronics,

Inc.

32,952

4,719,715

294,366

10.5

Booking

Holdings,

Inc.

1,420

3,834,469

130,227

4.7

Brighthouse

Financial,

Inc.

74,975

3,550,066

218,384

7.8

Cisco

Systems,

Inc.

97,773

5,058,775

193,828

6.9

Coca-Cola

Consolidated,

Inc.

5,929

3,770,963

(178,819)

(6.4)

Consolidated

Edison,

Inc.

40,175

3,631,820

(120,812)

(4.3)

Equitable

Holdings,

Inc.

129,256

3,510,593

86,971

3.1

Expedia

Group,

Inc.

31,710

3,468,757

(32,020)

(1.1)

General

Motors

Co.

89,972

3,469,320

181,020

6.5

Gilead

Sciences,

Inc.

66,579

5,131,244

(69,639)

(2.5)

H&R

Block,

Inc.

152,171

4,849,690

18,261

0.7

Hewlett

Packard

Enterprise

Co.

311,105

5,226,564

304,448

10.9

223

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Jabil,

Inc.

50,026

5,399,306

666,848

23.8

KB

Home

103,459

5,349,865

267,286

9.6

Landstar

System,

Inc.

18,993

3,656,912

98,231

3.5

Lennar

Corp.

33,493

4,197,008

370,431

13.2

ManpowerGroup,

Inc.

56,391

4,477,445

165,226

5.9

PulteGroup,

Inc.

77,149

5,992,934

311,235

11.1

Schneider

National,

Inc.

174,064

4,999,118

377,371

13.5

Synchrony

Financial

130,400

4,423,168

77,207

2.8

Taylor

Morrison

Home

Corp.

137,722

6,716,702

277,090

9.9

TD

SYNNEX

Corp.

41,659

3,915,946

32,606

1.2

Toll

Brothers,

Inc.

88,255

6,978,323

388,194

13.9

United

Airlines

Holdings,

Inc.

104,842

5,752,681

407,790

14.6

United

States

Steel

Corp.

177,135

4,430,146

385,968

13.8

United

Therapeutics

Corp.

20,416

4,506,832

(157,108)

(5.6)

Unum

Group

93,678

4,468,441

200,081

7.2

Viatris,

Inc.

348,409

3,477,122

208,824

7.5

Vishay

Intertechnology,

Inc.

187,820

5,521,908

394,422

14.1

Werner

Enterprises,

Inc.

79,735

3,522,692

34,182

1.2

Short

Positions

Common

Stocks

Singapore

Grab

Holdings

Ltd.

(1,176,175)

(4,034,280)

11,762

0.4

United

States

10X

Genomics,

Inc.

(79,320)

(4,429,229)

(142,905)

(5.1)

American

Tower

Corp.

(21,247)

(4,120,643)

(141,673)

(5.1)

Aptiv

plc

(42,009)

(4,288,699)

(172,237)

(6.2)

Ball

Corp.

(94,984)

(5,529,019)

(523,891)

(18.7)

Freshpet,

Inc.

(59,671)

(3,926,949)

12,150

0.4

Illumina,

Inc.

(24,421)

(4,578,693)

315,613

11.3

Lucid

Group,

Inc.

(513,313)

(3,536,727)

(557,965)

(19.9)

NextEra

Energy,

Inc.

(56,825)

(4,216,415)

(6,872)

(0.2)

Primerica,

Inc.

(18,270)

(3,613,075)

(94,821)

(3.4)

Rivian

Automotive,

Inc.

(209,941)

(3,497,617)

(553,255)

(19.8)

Royal

Gold,

Inc.

(32,926)

(3,779,246)

136,023

4.9

Seagate

Technology

Holdings

plc

(59,941)

(3,708,550)

(58,742)

(2.1)

SL

Green

Realty

Corp.

(124,962)

(3,755,108)

(393,630)

(14.1)

Southwest

Gas

Holdings,

Inc.

(67,949)

(4,324,954)

(98,183)

(3.5)

Sun

Communities,

Inc.

(27,207)

(3,549,425)

(544)

(0.0)

Tesla,

Inc.

(18,988)

(4,970,489)

(329,822)

(11.8)

Western

Digital

Corp.

(125,190)

(4,748,457)

228,548

8.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.08%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

35-61

months

maturity

ranging

from

04/20/2026

-

07/04/2028

$17,215,303

$(560,002)

$(7,062)

$(567,064)

224

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Africa

Absa

Group

Ltd.

115,868

1,034,159

21,833

(3.9)

African

Rainbow

Minerals

Ltd.

89,512

944,373

(59,045)

10.4

Aspen

Pharmacare

Holdings

Ltd.

48,492

473,088

11,130

(2.0)

Exxaro

Resources

Ltd.

138,428

1,208,186

(56,569)

10.0

Foschini

Group

Ltd.

(The)

90,057

450,515

6,128

(1.1)

Impala

Platinum

Holdings

Ltd.

151,074

1,006,457

(164,508)

29.0

Mr

Price

Group

Ltd.

63,141

481,639

6,181

(1.1)

MTN

Group

Ltd.

30,802

226,313

2,694

(0.5)

MultiChoice

Group

120,601

611,872

(1,566)

0.3

Nedbank

Group

Ltd.

59,913

727,630

17,508

(3.1)

Northam

Platinum

Holdings

Ltd.

15,696

104,644

289

(0.1)

Old

Mutual

Ltd.

602,949

388,271

11,212

(2.0)

Pepkor

Holdings

Ltd.

157,477

138,023

1,538

(0.3)

Sasol

Ltd.

47,574

589,406

(62,749)

11.1

Shoprite

Holdings

Ltd.

5,030

60,333

394

(0.1)

Sibanye

Stillwater

Ltd.

544,515

839,822

(85,723)

15.1

Standard

Bank

Group

Ltd.

45,400

428,645

13,873

(2.4)

Woolworths

Holdings

Ltd.

142,487

540,158

27,178

(4.8)

Short

Positions

Common

Stocks

Luxembourg

Reinet

Investments

SCA

(1,694)

(37,527)

(1,050)

0.2

South

Africa

Anglo

American

Platinum

Ltd.

(1,855)

(83,853)

24,295

(4.3)

Bidvest

Group

Ltd.

(The)

(49,597)

(689,437)

(5,297)

0.9

Capitec

Bank

Holdings

Ltd.

(26,250)

(2,186,653)

(90,302)

15.9

Clicks

Group

Ltd.

(22,539)

(312,902)

(1,353)

0.2

Discovery

Ltd.

(137,386)

(1,064,634)

(657)

0.1

FirstRand

Ltd.

(39,996)

(145,737)

(1,796)

0.3

Kumba

Iron

Ore

Ltd.

(3,186)

(74,912)

9,050

(1.6)

Naspers

Ltd.

(12,845)

(2,320,594)

(182,581)

32.2

Vodacom

Group

Ltd.

(7,305)

(45,520)

(109)

0.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-8.07%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-62

months

maturity

ranging

from

02/25/2025

-

06/26/2028

$143,873,113

$15,508

$(137,974)

$(122,466)

225

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

AltaGas

Ltd.

72,609

1,304,468

(14,250)

11.6

ARC

Resources

Ltd.

238,711

3,184,015

48,652

(39.7)

Atco

Ltd.

74,682

2,223,407

(27,623)

22.6

Bank

of

Montreal

18,429

1,664,348

11,296

(9.2)

Bank

of

Nova

Scotia

(The)

28,088

1,405,301

(2,253)

1.8

Bombardier,

Inc.

31,304

1,543,283

(5,601)

4.6

Canadian

Imperial

Bank

of

Commerce

30,166

1,287,933

(38,520)

31.5

Capital

Power

Corp.

102,389

3,253,880

(173,901)

142.0

CGI,

Inc.

12,892

1,359,511

23,259

(19.0)

Empire

Co.

Ltd.

95,349

2,708,423

227,062

(185.4)

Fairfax

Financial

Holdings

Ltd.

4,167

3,121,247

39,951

(32.6)

Finning

International,

Inc.

49,311

1,516,832

11,911

(9.7)

George

Weston

Ltd.

15,409

1,821,746

46,550

(38.0)

iA

Financial

Corp.,

Inc.

27,275

1,858,138

(6,794)

5.5

Imperial

Oil

Ltd.

50,338

2,575,512

98,164

(80.2)

Loblaw

Cos.

Ltd.

20,164

1,846,001

83,714

(68.4)

Magna

International,

Inc.

29,770

1,680,693

(674)

0.6

Manulife

Financial

Corp.

134,744

2,546,888

(4,406)

3.6

National

Bank

of

Canada

20,549

1,530,996

3,110

(2.5)

Northland

Power,

Inc.

175,044

3,650,852

2,419

(2.0)

Nutrien

Ltd.

31,502

1,859,801

(22,938)

18.7

Open

Text

Corp.

46,267

1,924,372

14,669

(12.0)

Teck

Resources

Ltd.

31,796

1,337,844

10,414

(8.5)

TFI

International,

Inc.

16,418

1,870,518

140,162

(114.4)

Toronto-Dominion

Bank

(The)

23,179

1,436,669

24,606

(20.1)

West

Fraser

Timber

Co.

Ltd.

36,115

3,102,659

212,642

(173.6)

Whitecap

Resources,

Inc.

201,454

1,409,684

(12,166)

9.9

United

States

BRP,

Inc.

23,410

1,979,004

57,477

(46.9)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(30,160)

(1,304,296)

35,001

(28.6)

Canada

Agnico

Eagle

Mines

Ltd.

(26,987)

(1,347,568)

6,519

(5.3)

Alamos

Gold,

Inc.

(120,176)

(1,431,498)

29,907

(24.4)

Algonquin

Power

&

Utilities

Corp.

(764,817)

(6,321,756)

90,657

(74.0)

Aritzia,

Inc.

(55,872)

(1,551,215)

(23,197)

18.9

BCE,

Inc.

(40,344)

(1,839,424)

(10,843)

8.9

Cameco

Corp.

(97,201)

(3,044,249)

58,697

(47.9)

Canadian

Natural

Resources

Ltd.

(37,155)

(2,088,926)

(54,411)

44.4

Canadian

Pacific

Kansas

City

Ltd.

(19,182)

(1,549,329)

(59,899)

48.9

CCL

Industries,

Inc.

(46,249)

(2,273,436)

(113,113)

92.4

Element

Fleet

Management

Corp.

(158,064)

(2,407,799)

22,670

(18.5)

Enbridge,

Inc.

(77,217)

(2,870,100)

18,267

(14.9)

GFL

Environmental,

Inc.

(77,586)

(3,012,662)

(140,595)

114.8

Pan

American

Silver

Corp.

(111,075)

(1,618,228)

59,125

(48.3)

RB

Global,

Inc.

(22,469)

(1,348,394)

(75,540)

61.7

Rogers

Communications,

Inc.

(59,415)

(2,710,732)

(101,112)

82.6

Shopify,

Inc.

(26,019)

(1,681,636)

(1,768)

1.4

226

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

SNC-Lavalin

Group,

Inc.

(93,827)

(2,461,210)

(101,281)

82.7

Stantec,

Inc.

(28,065)

(1,832,302)

(77,165)

63.0

TC

Energy

Corp.

(64,876)

(2,621,975)

(4,616)

3.8

Thomson

Reuters

Corp.

(25,589)

(3,454,877)

(33,579)

27.4

WSP

Global,

Inc.

(31,650)

(4,181,455)

(60,206)

49.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-3.40%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-62

months

maturity

ranging

from

01/21/2025

-

06/26/2028

$187,371,841

$(1,438,363)

$265,843

$(1,172,520)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

TUI

AG

257,846

1,829,201

(100,583)

8.6

Italy

Coca-Cola

HBC

AG

148,562

4,431,586

52,468

(4.5)

Netherlands

Shell

plc

96,314

2,873,209

10,949

(0.9)

United

Kingdom

Associated

British

Foods

plc

140,944

3,569,107

86,684

(7.4)

BAE

Systems

plc

338,084

3,986,432

(94,269)

8.0

Barclays

plc

1,659,482

3,241,950

45,570

(3.9)

Barratt

Developments

plc

791,625

4,160,560

(246,798)

21.0

BP

plc

503,050

2,928,947

(17,981)

1.5

British

American

Tobacco

plc

143,222

4,758,615

83,083

(7.1)

Britvic

plc

165,085

1,796,782

(52,401)

4.5

BT

Group

plc

2,425,197

3,773,931

(393,309)

33.5

Burberry

Group

plc

63,449

1,712,076

(106,620)

9.1

DCC

plc

57,966

3,242,709

(106,167)

9.1

DS

Smith

plc

1,143,356

3,956,444

(528,975)

45.1

Howden

Joinery

Group

plc

244,403

1,996,863

(88,349)

7.5

Imperial

Brands

plc

213,525

4,726,261

(30,059)

2.6

Inchcape

plc

281,271

2,783,599

26,880

(2.3)

Investec

plc

326,633

1,828,544

(76,916)

6.6

J

Sainsbury

plc

652,674

2,231,153

28,776

(2.5)

Kingfisher

plc

766,251

2,258,325

(18,820)

1.6

Legal

&

General

Group

plc

691,547

2,002,238

(1,099)

0.1

Lloyds

Banking

Group

plc

3,157,068

1,750,117

(55,399)

4.7

Man

Group

plc

945,533

2,625,822

(31,608)

2.7

Marks

&

Spencer

Group

plc

1,366,715

3,350,127

78,279

(6.7)

227

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

NatWest

Group

plc

743,409

2,272,223

(34,263)

2.9

Standard

Chartered

plc

255,278

2,220,942

(8,926)

0.8

Tesco

plc

948,535

2,992,198

(125,409)

10.7

Unilever

plc

54,215

2,823,205

45,673

(3.9)

United

States

GSK

plc

125,602

2,225,989

69,672

(5.9)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(149,732)

(2,784,485)

99,286

(8.5)

Hong

Kong

Prudential

plc

(358,250)

(5,059,706)

76,990

(6.6)

United

Kingdom

Admiral

Group

plc

(61,879)

(1,638,787)

57,892

(4.9)

Ashtead

Group

plc

(25,689)

(1,781,042)

(27,772)

2.4

Centrica

plc

(1,491,427)

(2,351,597)

(107,760)

9.2

Croda

International

plc

(23,480)

(1,678,457)

(77,018)

6.6

Diageo

plc

(58,310)

(2,506,805)

(57,020)

4.9

Halma

plc

(126,189)

(3,652,586)

(5,068)

0.4

Hargreaves

Lansdown

plc

(182,926)

(1,896,257)

(15,891)

1.4

Informa

plc

(487,999)

(4,505,780)

(43,518)

3.7

National

Grid

plc

(237,000)

(3,142,234)

10,555

(0.9)

Reckitt

Benckiser

Group

plc

(49,666)

(3,732,443)

52,106

(4.4)

RELX

plc

(78,945)

(2,633,663)

(31,025)

2.6

Rentokil

Initial

plc

(787,738)

(6,159,095)

149,600

(12.8)

Smiths

Group

plc

(109,831)

(2,297,857)

9,929

(0.8)

Spirax-Sarco

Engineering

plc

(12,714)

(1,675,759)

(3,394)

0.3

St

James's

Place

plc

(127,513)

(1,763,448)

37,342

(3.2)

Weir

Group

plc

(The)

(82,040)

(1,831,596)

6,850

(0.6)

WPP

plc

(315,306)

(3,304,974)

151,613

(12.9)

United

States

Experian

plc

(55,267)

(2,121,203)

(73,085)

6.2

Ferguson

plc

(12,476)

(1,970,604)

(122,341)

10.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

20-61

months

maturity

ranging

from

02/25/2025

-

06/12/2028

$20,884,221

$461,307

$34,260

$495,567

228

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

450,300

1,268,591

(69,613)

(14.0)

Yangzijiang

Shipbuilding

Holdings

Ltd.

4,346,200

4,835,492

593,417

119.7

Singapore

City

Developments

Ltd.

45,600

227,452

(7,540)

(1.5)

Jardine

Cycle

&

Carriage

Ltd.

62,100

1,601,310

36,071

7.3

Oversea-Chinese

Banking

Corp.

Ltd.

148,900

1,354,542

(31,625)

(6.4)

Singapore

Airlines

Ltd.

431,900

2,288,219

(161,259)

(32.5)

United

Overseas

Bank

Ltd.

36,800

763,646

6,640

1.3

Venture

Corp.

Ltd.

24,800

270,761

(18,976)

(3.8)

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(2,100)

(49,041)

(733)

(0.1)

Genting

Singapore

Ltd.

(52,500)

(36,607)

854

0.2

Keppel

Corp.

Ltd.

(369,300)

(1,837,913)

62,654

12.6

Mapletree

Logistics

Trust

(366,300)

(440,567)

17,173

3.5

Seatrium

Ltd.

(1,245,000)

(115,474)

4,202

0.8

Singapore

Technologies

Engineering

Ltd.

(861,000)

(2,349,384)

(1,128)

(0.2)

Singapore

Telecommunications

Ltd.

(1,860,100)

(3,445,222)

31,170

6.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-2.70%

to

0.45%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

12/30/2024

-

01/27/2025

$47,170,935

$382,553

$71,585

$454,138

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Korea

BGF

retail

Co.

Ltd.

1,423

189,026

(11,389)

(2.5)

CJ

Corp.

7,768

403,081

(20,861)

(4.6)

Coway

Co.

Ltd.

6,632

221,619

(2,756)

(0.6)

DB

Insurance

Co.

Ltd.

17,988

1,021,673

(15,103)

(3.3)

Doosan

Bobcat,

Inc.

46,216

2,065,857

28,243

6.2

229

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Korea

(continued)

E-MART,

Inc.

13,080

765,875

(16,052)

(3.5)

GS

Holdings

Corp.

34,780

969,406

(10,275)

(2.3)

Hana

Financial

Group,

Inc.

30,901

922,472

(15,355)

(3.4)

Hankook

Tire

&

Technology

Co.

Ltd.

31,923

837,526

15,291

3.4

Hanmi

Pharm

Co.

Ltd.

1,375

323,063

(7,939)

(1.7)

HMM

Co.

Ltd.

97,180

1,397,368

13,068

2.9

Hyundai

Engineering

&

Construction

Co.

Ltd.

20,915

607,977

(45,192)

(10.0)

Hyundai

Glovis

Co.

Ltd.

6,161

927,571

18,830

4.1

Hyundai

Mobis

Co.

Ltd.

2,458

435,182

19,385

4.3

Hyundai

Steel

Co.

24,485

630,945

(12,830)

(2.8)

Industrial

Bank

of

Korea

126,412

994,413

2,624

0.6

Kia

Corp.

43,410

2,924,143

83,196

18.3

Korea

Investment

Holdings

Co.

Ltd.

32,229

1,271,107

(6,754)

(1.5)

Kumho

Petrochemical

Co.

Ltd.

12,774

1,291,686

(28,296)

(6.2)

LG

Electronics,

Inc.

15,807

1,529,936

35,684

7.9

Lotte

Shopping

Co.

Ltd.

7,562

394,637

(17,484)

(3.8)

Mirae

Asset

Securities

Co.

Ltd.

135,831

749,173

(18,123)

(4.0)

NH

Investment

&

Securities

Co.

Ltd.

103,924

755,925

(7,725)

(1.7)

Samsung

SDS

Co.

Ltd.

8,597

805,870

(8,787)

(1.9)

Samsung

Securities

Co.

Ltd.

26,571

729,293

(8,988)

(2.0)

SD

Biosensor,

Inc.

30,003

279,353

(21,722)

(4.8)

Woori

Financial

Group,

Inc.

276,972

2,488,004

(47,558)

(10.5)

Short

Positions

Common

Stocks

South

Korea

Amorepacific

Corp.

(5,339)

(397,410)

16,976

3.7

Celltrion

Healthcare

Co.

Ltd.

(28,170)

(1,410,360)

116,247

25.6

Hanon

Systems

(121,263)

(845,519)

8,413

1.9

HYBE

Co.

Ltd.

(1,324)

(285,542)

16,461

3.6

Hyundai

Motor

Co.

(4,157)

(653,873)

(15,901)

(3.5)

Kakao

Corp.

(33,099)

(1,243,197)

23,557

5.2

KakaoBank

Corp.

(32,555)

(591,831)

2,479

0.5

KB

Financial

Group,

Inc.

(7,492)

(271,920)

(1,246)

(0.3)

Korea

Electric

Power

Corp.

(35,979)

(563,092)

(37,638)

(8.3)

KT&G

Corp.

(5,734)

(360,190)

8,047

1.8

LG

Chem

Ltd.

(2,982)

(1,518,023)

86,590

19.1

NAVER

Corp.

(6,883)

(963,516)

31,699

7.0

Netmarble

Corp.

(12,788)

(480,264)

25,795

5.7

Pearl

Abyss

Corp.

(14,603)

(587,591)

(9,708)

(2.1)

Samsung

Biologics

Co.

Ltd.

(3,197)

(1,810,070)

49,718

10.9

Samsung

C&T

Corp.

(5,722)

(460,529)

5,482

1.2

Samsung

Heavy

Industries

Co.

Ltd.

(275,130)

(1,399,869)

(5,740)

(1.3)

Samsung

SDI

Co.

Ltd.

(3,706)

(1,892,412)

45,051

9.9

SK

Biopharmaceuticals

Co.

Ltd.

(14,131)

(870,804)

31,278

6.9

SK

IE

Technology

Co.

Ltd.

(11,995)

(888,661)

(54,992)

(12.1)

SK

Innovation

Co.

Ltd.

(6,845)

(829,848)

68,707

15.1

SKC

Co.

Ltd.

(12,051)

(898,903)

47,503

10.5

Yuhan

Corp.

(9,895)

(454,223)

(12,661)

(2.8)

230

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.28%

to

0.28%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-76

months

maturity

05/21/2024

$70,521,139

$40,424

$(6,455)

$33,969

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams-OSRAM

AG

159,483

1,149,375

(93,722)

(275.9)

Switzerland

Adecco

Group

AG

(Registered)

71,901

2,354,855

88,106

259.4

Baloise

Holding

AG

(Registered)

7,691

1,131,285

(57,948)

(170.6)

Barry

Callebaut

AG

(Registered)

54

104,332

200

0.6

BKW

AG

8,206

1,450,820

76,183

224.3

Cie

Financiere

Richemont

SA

(Registered)

6,722

1,141,853

30,344

89.3

DKSH

Holding

AG

21,026

1,565,026

(30,400)

(89.5)

Dufry

AG

(Registered)

9,535

434,910

19,444

57.2

Flughafen

Zurich

AG

(Registered)

9,670

2,011,394

94,789

279.0

Galenica

AG

1,106

89,415

1,434

4.2

Georg

Fischer

AG

(Registered)

21,077

1,585,213

60,558

178.3

Helvetia

Holding

AG

(Registered)

10,916

1,479,493

(40,124)

(118.1)

Julius

Baer

Group

Ltd.

5,779

364,698

3,770

11.1

Kuehne

+

Nagel

International

AG

(Registered)

2,229

660,290

16,780

49.4

Novartis

AG

(Registered)

22,772

2,295,860

(15,559)

(45.8)

SGS

SA

(Registered)

2,804

265,261

(1,023)

(3.0)

Sonova

Holding

AG

(Registered)

1,216

324,474

3,984

11.7

Swatch

Group

AG

(The)

8,566

2,504,632

32,077

94.4

Swiss

Life

Holding

AG

(Registered)

812

475,578

(9,779)

(28.8)

Swisscom

AG

(Registered)

3,019

1,884,281

800

2.4

Tecan

Group

AG

(Registered)

513

197,132

3,104

9.1

UBS

Group

AG

(Registered)

64,797

1,313,349

(23,501)

(69.2)

Zurich

Insurance

Group

AG

1,363

648,364

(3,860)

(11.4)

United

States

Holcim

AG

84,303

5,682,633

114,912

338.3

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(22,941)

(902,518)

(931)

(2.7)

Alcon,

Inc.

(7,388)

(612,926)

(16,483)

(48.5)

Bachem

Holding

AG

(16,674)

(1,455,901)

118,260

348.1

Banque

Cantonale

Vaudoise

(Registered)

(14,199)

(1,499,773)

15,197

44.7

Belimo

Holding

AG

(Registered)

(3,038)

(1,518,431)

(59,208)

(174.3)

Chocoladefabriken

Lindt

&

Spruengli

AG

(122)

(1,533,904)

(39,179)

(115.3)

Clariant

AG

(Registered)

(44,117)

(638,221)

(10,760)

(31.7)

231

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

EMS-Chemie

Holding

AG

(Registered)

(1,851)

(1,402,707)

24,505

72.1

Geberit

AG

(Registered)

(1,813)

(950,164)

1,739

5.1

Givaudan

SA

(Registered)

(785)

(2,603,799)

(64,395)

(189.6)

Logitech

International

SA

(Registered)

(51,495)

(3,073,487)

(158,860)

(467.7)

Lonza

Group

AG

(Registered)

(2,319)

(1,386,096)

35,603

104.8

Partners

Group

Holding

AG

(2,270)

(2,140,248)

73,568

216.6

PSP

Swiss

Property

AG

(Registered)

(1,357)

(151,627)

2,107

6.2

Schindler

Holding

AG

(4,494)

(1,055,222)

(43,205)

(127.2)

SIG

Group

AG

(217,022)

(5,995,606)

69,788

205.4

Sika

AG

(Registered)

(6,535)

(1,871,628)

(48,526)

(142.9)

Straumann

Holding

AG

(Registered)

(11,727)

(1,906,881)

(107,904)

(317.7)

Swiss

Prime

Site

AG

(Registered)

(3,105)

(269,719)

(345)

(1.0)

Temenos

AG

(Registered)

(4,686)

(373,126)

6,969

20.5

VAT

Group

AG

(4,357)

(1,804,731)

(12,839)

(37.8)

United

States

Nestle

SA

(Registered)

(37,719)

(4,537,279)

14,949

44.0

Roche

Holding

AG

(1,514)

(462,482)

1,491

4.4

Swiss

Re

AG

(12,506)

(1,260,140)

(31,686)

(93.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.88%

to

0.30%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-24

months

maturity

02/21/2024

$38,586,226

$842,848

$(3,808)

$839,040

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

1,747

3,071,659

35,056

4.2

Carlsberg

A/S

20,119

3,221,679

65,324

7.8

Demant

A/S

14,729

623,434

27,453

3.3

Genmab

A/S

2,298

870,845

(18,921)

(2.3)

H

Lundbeck

A/S

4,195

18,657

(2,062)

(0.2)

ISS

A/S

151,879

3,212,932

115,700

13.8

Novo

Nordisk

A/S

6,456

1,042,901

18,419

2.2

Pandora

A/S

31,937

2,854,582

151,929

18.1

ROCKWOOL

A/S

10,101

2,612,190

228,866

27.3

Royal

Unibrew

A/S

7,812

699,278

(22,675)

(2.7)

232

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(15,200)

(249,179)

(10,604)

(1.3)

Coloplast

A/S

(12,709)

(1,590,356)

10,472

1.2

Danske

Bank

A/S

(52,456)

(1,277,640)

(21,879)

(2.6)

DSV

A/S

(16,737)

(3,515,466)

(194,165)

(23.1)

GN

Store

Nord

A/S

(25,058)

(626,665)

(10,213)

(1.2)

Jyske

Bank

A/S

(Registered)

(4,737)

(360,355)

8,275

1.0

Novozymes

A/S

(42,616)

(1,988,424)

97,586

11.6

Orsted

A/S

(37,468)

(3,552,054)

59,686

7.1

Tryg

A/S

(107,815)

(2,334,842)

99,231

11.8

Vestas

Wind

Systems

A/S

(182,910)

(4,863,088)

205,370

24.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-2.75%

to

0.28%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-73

months

maturity

11/13/2023

$362,214,311

$1,925,077

$250,941

$2,176,018

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

82,970

3,363,541

32,053

1.5

Proximus

SADP

372,007

2,774,152

(106,356)

(4.9)

Finland

Nokia

OYJ

728,746

3,053,342

(46,600)

(2.1)

France

BNP

Paribas

SA

49,996

3,155,045

95,856

4.4

Bouygues

SA

143,557

4,822,569

123,087

5.7

Carrefour

SA

158,135

2,996,773

208,699

9.6

Cie

de

Saint-Gobain

94,340

5,744,023

39,906

1.8

Eiffage

SA

49,551

5,173,550

7,697

0.4

Engie

SA

300,353

5,001,754

357,605

16.4

Orange

SA

242,413

2,832,946

102,559

4.7

Rexel

SA

189,004

4,671,031

71,853

3.3

Germany

Bayerische

Motoren

Werke

AG

31,474

3,871,525

87,365

4.0

Brenntag

SE

35,890

2,800,070

(22,380)

(1.0)

Deutsche

Bank

AG

(Registered)

603,843

6,348,062

172,530

7.9

Heidelberg

Materials

AG

44,064

3,623,762

140,005

6.4

HUGO

BOSS

AG

36,197

2,829,207

64,335

3.0

233

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

(continued)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

6,569

2,466,086

110,958

5.1

Luxembourg

ArcelorMittal

SA

110,398

3,012,115

(11,747)

(0.5)

Netherlands

ASR

Nederland

NV

100,927

4,552,161

264,610

12.2

Koninklijke

Ahold

Delhaize

NV

186,567

6,360,633

295,123

13.6

Randstad

NV

65,825

3,471,592

25,263

1.2

Spain

Acerinox

SA

224,394

2,384,905

(88,168)

(4.1)

Banco

Bilbao

Vizcaya

Argentaria

SA

459,943

3,533,605

136,199

6.3

Banco

de

Sabadell

SA

2,407,793

2,776,064

86,659

4.0

Banco

Santander

SA

821,111

3,039,866

196,943

9.1

Repsol

SA

394,265

5,734,188

(100,576)

(4.6)

United

States

Signify

NV

124,628

3,493,816

(100,507)

(4.6)

Short

Positions

Common

Stocks

Belgium

UCB

SA

(29,362)

(2,603,190)

93,105

4.3

China

Prosus

NV

(39,823)

(2,916,404)

82,825

3.8

France

Accor

SA

(65,789)

(2,448,102)

(86,964)

(4.0)

Airbus

SE

(32,059)

(4,635,146)

(43,797)

(2.0)

Dassault

Systemes

SE

(76,485)

(3,389,125)

23,864

1.1

Remy

Cointreau

SA

(15,535)

(2,493,689)

(15,337)

(0.7)

Safran

SA

(17,509)

(2,743,831)

(13,609)

(0.6)

Sartorius

Stedim

Biotech

(16,788)

(4,192,868)

218,850

10.1

Germany

adidas

AG

(29,853)

(5,795,305)

(162,432)

(7.5)

Merck

KGaA

(19,726)

(3,265,243)

73,626

3.4

Siemens

Healthineers

AG

(60,367)

(3,421,320)

3,379

0.2

Symrise

AG

(25,429)

(2,666,294)

(72,445)

(3.3)

Vonovia

SE

(169,220)

(3,304,806)

66,032

3.0

Netherlands

Adyen

NV

(1,914)

(3,314,412)

(39,185)

(1.8)

Argenx

SE

(12,807)

(4,994,675)

38,282

1.8

Ferrovial

SE

(233,324)

(7,375,853)

38,190

1.8

IMCD

NV

(22,876)

(3,292,108)

35,332

1.6

Universal

Music

Group

NV

(113,854)

(2,529,242)

(68,456)

(3.1)

Spain

Amadeus

IT

Group

SA

(47,721)

(3,633,973)

(26,377)

(1.2)

Cellnex

Telecom

SA

(189,830)

(7,669,849)

(148,505)

(6.8)

Naturgy

Energy

Group

SA

(84,980)

(2,533,294)

(48,125)

(2.2)

United

States

Schneider

Electric

SE

(16,932)

(3,076,150)

(63,269)

(2.9)

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(14,712)

(5,097,101)

(220,350)

(10.1)

234

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.30%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

17-24

months

maturity

02/21/2024

$22,340,962

$328,892

$475,125

$804,017

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

122,014

4,310,987

74,343

9.2

Norway

Equinor

ASA

139,582

4,064,470

(77,489)

(9.6)

Leroy

Seafood

Group

ASA

159,902

606,787

(41,788)

(5.2)

Norsk

Hydro

ASA

344,738

2,055,074

(146,035)

(18.2)

United

Kingdom

Subsea

7

SA

126,002

1,569,387

260,639

32.4

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(14,691)

(878,839)

68,733

8.5

France

Adevinta

ASA

(47,431)

(311,684)

28,794

3.6

Norway

Gjensidige

Forsikring

ASA

(70,648)

(1,131,770)

27,371

3.4

Kongsberg

Gruppen

ASA

(21,952)

(997,810)

(13,002)

(1.6)

Mowi

ASA

(47,251)

(749,686)

37,420

4.7

Orkla

ASA

(36,456)

(262,134)

1,837

0.2

Salmar

ASA

(15,199)

(612,489)

21,747

2.7

Schibsted

ASA

(66,265)

(1,163,698)

3,113

0.4

Telenor

ASA

(235,024)

(2,383,034)

68,284

8.5

TOMRA

Systems

ASA

(77,272)

(1,243,113)

14,925

1.9

235

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.88%

to

0.30%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-24

months

maturity

02/21/2024

$62,046,181

$321,199

$(7,516)

$313,683

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

48,184

524,853

21,079

6.7

Guatemala

Millicom

International

Cellular

SA

34,468

527,420

(47,397)

(15.1)

Sweden

Billerud

AB

224,267

1,706,800

(84,579)

(27.0)

Boliden

AB

33,941

983,548

(25,936)

(8.3)

Elekta

AB

4,659

36,043

(148)

(0.0)

Embracer

Group

AB

1,151,090

2,878,610

10,846

3.5

Essity

AB

68,518

1,824,749

2,109

0.7

Evolution

AB

3,070

389,042

(8,437)

(2.7)

Getinge

AB

12,641

221,769

7,329

2.3

H

&

M

Hennes

&

Mauritz

AB

77,018

1,324,502

238,216

75.9

Saab

AB

28,515

1,543,688

(37,871)

(12.1)

Sandvik

AB

20,117

392,768

(419)

(0.1)

Securitas

AB

330,065

2,711,072

73,940

23.6

Skanska

AB

187,269

2,627,473

152,691

48.7

SKF

AB

98,019

1,708,030

(60,860)

(19.4)

SSAB

AB

320,815

2,224,574

(49,928)

(15.9)

Swedbank

AB

62,763

1,059,196

4,070

1.3

Swedish

Orphan

Biovitrum

AB

47,684

931,997

(29,655)

(9.5)

Telefonaktiebolaget

LM

Ericsson

396,311

2,153,275

36,270

11.6

Trelleborg

AB

33,686

817,535

(80,104)

(25.5)

Volvo

AB

89,247

1,846,969

60,097

19.2

Volvo

Car

AB

450,681

1,793,137

(65,685)

(20.9)

United

States

Sinch

AB

964,926

2,178,915

(160,183)

(51.1)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(28,134)

(1,026,262)

(25,919)

(8.3)

Assa

Abloy

AB

(42,030)

(1,010,274)

(42,232)

(13.5)

Atlas

Copco

AB

(61,453)

(887,190)

(1,256)

(0.4)

Axfood

AB

(14,574)

(308,440)

6,208

2.0

Beijer

Ref

AB

(135,432)

(1,729,940)

181,240

57.8

Castellum

AB

(65,437)

(626,399)

(4,206)

(1.3)

Electrolux

AB

(87,706)

(1,198,548)

(19,821)

(6.3)

236

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Epiroc

AB

(91,703)

(1,737,025)

(44,598)

(14.2)

EQT

AB

(247,070)

(4,756,528)

169,684

54.1

Fastighets

AB

Balder

(120,506)

(441,242)

(686)

(0.2)

Hexagon

AB

(217,699)

(2,677,768)

(11,505)

(3.7)

Hexpol

AB

(17,954)

(190,635)

5,745

1.8

Holmen

AB

(40,299)

(1,448,376)

37,986

12.1

Husqvarna

AB

(61,865)

(561,336)

(35,114)

(11.2)

Indutrade

AB

(36,780)

(830,143)

32,131

10.2

Lifco

AB

(62,809)

(1,367,841)

(46,353)

(14.8)

Nibe

Industrier

AB

(423,356)

(4,025,420)

42,482

13.5

Sagax

AB

(16,216)

(320,675)

11,152

3.6

Skandinaviska

Enskilda

Banken

AB

(4,691)

(51,884)

(1,562)

(0.5)

Svenska

Cellulosa

AB

SCA

(218,833)

(2,793,403)

74,566

23.8

Svenska

Handelsbanken

AB

(23,374)

(195,693)

2,130

0.7

Tele2

AB

(57,592)

(476,303)

12,990

4.1

Telia

Co.

AB

(446,197)

(978,891)

22,692

7.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-8.00%

to

0.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-49

months

maturity

ranging

from

01/09/2025

-

04/22/2025

$85,658,356

$(353,267)

$1,060,357

$707,090

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Banco

do

Brasil

SA

278,900

2,877,419

(68,043)

(9.6)

BB

Seguridade

Participacoes

SA

171,000

1,098,883

15,170

2.1

TIM

SA/Brazil

398,000

1,215,229

(28,113)

(4.0)

Vibra

Energia

SA

279,000

1,051,742

8,999

1.3

South

Korea

Hana

Financial

Group,

Inc.

24,143

720,729

(38,251)

(5.4)

Kia

Corp.

9,799

660,071

33,152

4.7

Posco

International

Corp.

33,082

1,006,921

26,715

3.8

SK,

Inc.

5,636

639,317

(77,469)

(11.0)

Woori

Financial

Group,

Inc.

105,050

943,651

(37,692)

(5.3)

Taiwan

ASE

Technology

Holding

Co.

Ltd.

195,000

693,449

(107,202)

(15.2)

Catcher

Technology

Co.

Ltd.

231,000

1,303,333

(102,510)

(14.5)

Compal

Electronics,

Inc.

1,336,000

1,256,557

9,244

1.3

CTBC

Financial

Holding

Co.

Ltd.

1,195,000

955,605

(16,050)

(2.3)

Pegatron

Corp.

346,000

833,030

(32,835)

(4.6)

237

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Taiwan

(continued)

Pou

Chen

Corp.

746,000

756,153

(13,868)

(2.0)

Walsin

Lihwa

Corp.

737,000

973,993

(118,209)

(16.7)

Wistron

Corp.

513,000

1,496,814

136,651

19.3

Wiwynn

Corp.

23,000

1,051,157

144,117

20.4

Yang

Ming

Marine

Transport

Corp.

381,000

773,747

(11,532)

(1.6)

Zhen

Ding

Technology

Holding

Ltd.

222,000

750,700

(12,919)

(1.8)

United

States

JBS

SA

261,100

952,092

(63,718)

(9.0)

Preferred

Stocks

Brazil

Petroleo

Brasileiro

SA

(Preference)

383,300

2,363,905

(80,711)

(11.4)

Short

Positions

Common

Stocks

Brazil

B3

SA

-

Brasil

Bolsa

Balcao

(261,500)

(797,902)

12,233

1.7

Banco

BTG

Pactual

SA

(228,400)

(1,500,184)

(67,540)

(9.6)

Centrais

Eletricas

Brasileiras

SA

(83,500)

(693,188)

(14,328)

(2.0)

Cosan

SA

(483,200)

(1,802,337)

243

0.0

Equatorial

Energia

SA

(139,006)

(933,345)

(40,612)

(5.7)

Localiza

Rent

a

Car

SA

(83,400)

(1,193,121)

(11,626)

(1.6)

Natura

&

Co.

Holding

SA

(229,200)

(801,305)

(16,732)

(2.4)

Rede

D'Or

Sao

Luiz

SA

(183,600)

(1,262,293)

17,930

2.5

Rumo

SA

(252,600)

(1,171,154)

(4,292)

(0.6)

Suzano

SA

(68,700)

(634,458)

52,081

7.4

TOTVS

SA

(124,600)

(780,149)

(1,869)

(0.3)

South

Korea

Kakao

Corp.

(30,305)

(1,138,254)

35,607

5.0

L&F

Co.

Ltd.

(4,673)

(869,721)

55,370

7.8

LG

Energy

Solution

Ltd.

(2,839)

(1,196,900)

31,684

4.5

POSCO

Future

M

Co.

Ltd.

(3,045)

(821,524)

51,077

7.2

Samsung

Biologics

Co.

Ltd.

(1,171)

(662,994)

34,820

4.9

Samsung

Electronics

Co.

Ltd.

(24,043)

(1,323,886)

10,044

1.4

SK

Hynix,

Inc.

(13,753)

(1,208,399)

33,626

4.8

Taiwan

Advantech

Co.

Ltd.

(72,000)

(947,931)

32,436

4.6

Asustek

Computer,

Inc.

(67,000)

(678,310)

(1,979)

(0.3)

Chailease

Holding

Co.

Ltd.

(127,130)

(835,854)

18,307

2.6

China

Steel

Corp.

(1,682,000)

(1,590,541)

39,149

5.5

Chunghwa

Telecom

Co.

Ltd.

(237,000)

(887,663)

56,689

8.0

Delta

Electronics,

Inc.

(118,000)

(1,307,715)

130,469

18.5

E.Sun

Financial

Holding

Co.

Ltd.

(3,000,906)

(2,514,255)

47,319

6.7

Formosa

Petrochemical

Corp.

(344,000)

(932,517)

40,005

5.7

Mega

Financial

Holding

Co.

Ltd.

(890,125)

(1,092,436)

(23,485)

(3.3)

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

(1,145,270)

(1,033,400)

11,201

1.6

238

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2023

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(10,376,823)

$

–

$

(10,376,823)

Investment

Companies

4,337

–

4,337

BARC

Cash

–

66,556,072

66,556,072

CITG

Cash

–

28,184,698

28,184,698

CITI

Cash

(7,325,403)

–

(7,325,403)

Investment

Companies

18,378,591

–

18,378,591

GSCO

Cash

–

14,946,958

14,946,958

GSIN

Cash

(5,142,313)

–

(5,142,313)

U.S.

Treasury

Bills

108,620,994

–

108,620,994

JPMC

U.S.

Treasury

Bills

30,362,509

–

30,362,509

JPMS

Cash

–

9,726,048

9,726,048

MLIN

Cash

2,730,000

–

2,730,000

MSCL

Cash

–

5,301,754

5,301,754

MSIP

Cash

(5,950,132)

–

(5,950,132)

U.S.

Treasury

Bills

42,438,088

–

42,438,088

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

9,742,110

$

9,742,110

MSCL

Cash

–

21,638,722

21,638,722

239

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

64.2%

INVESTMENT

COMPANIES

-

31.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

Institutional

Shares,

5.02%

(1)(a)(b)

102,922

102,922

Limited

Purpose

Cash

Investment

Fund,

5.10%

(1)(a)

9,236,206

9,232,512

TOTAL

INVESTMENT

COMPANIES

(Cost

$9,333,124)

9,335,434

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

33.1%

U.S.

Treasury

Bills

4.75%,

7/6/2023

(c)

$

2,163,000

2,162,108

4.82%,

7/13/2023

(c)

434,000

433,396

5.07%,

8/31/2023

(c)

661,000

655,408

5.10%,

9/7/2023

(c)

308,000

305,100

4.91%,

10/12/2023

(c)

682,000

672,077

4.99%,

10/19/2023

(c)

1,640,000

1,614,410

4.96%,

10/26/2023

(c)

103,000

101,289

5.31%,

11/24/2023

(c)

1,267,000

1,240,739

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

33.1%

(continued)

5.44%,

11/30/2023

(c)

$

1,480,000

1,447,942

5.36%,

12/28/2023

(c)

1,360,000

1,324,789

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$9,957,037)

9,957,258

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$19,290,161)

19,292,692

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

64.2%

(Cost

$19,290,161)

19,292,692

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

35.8%

(d)

10,769,583

NET

ASSETS

-

100.0%

30,062,275

SECURITY

TYPE

VALUE

%

OF

NET

ASSETS

Investment

Companies

9,335,434

31.1

U.S.

Treasury

Obligations

9,957,258

33.1

Total

Investments

In

Securities

At

Value

$

19,292,692

64.2

Other

Assets

in

Excess

of

Liabilities

(d)

10,769,583

35.8

Net

Assets

$

30,062,275

100.0%

(a)

Represents

7-day

effective

yield

as

of

June

30,

2023.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

foreign

currency

exchange

contracts

outstanding

as

of

June

30,

2023:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

236,501

USD

155,590

CITI

9/20/2023

$

2,304

AUD

236,499

USD

155,587

JPMC

9/20/2023

2,305

CAD

330,000

USD

243,876

CITI

9/20/2023

5,534

CAD

330,000

USD

243,874

JPMC

9/20/2023

5,536

CHF

188,502

USD

209,993

CITI

9/20/2023

2,360

CHF

188,498

USD

209,987

JPMC

9/20/2023

2,361

DKK

450,500

USD

65,436

CITI

9/20/2023

905

DKK

450,500

USD

65,436

JPMC

9/20/2023

906

EUR

626,502

USD

674,822

CITI

9/20/2023

11,501

EUR

626,498

USD

674,815

JPMC

9/20/2023

11,504

GBP

241,503

USD

300,225

CITI

9/20/2023

6,548

GBP

241,497

USD

300,216

JPMC

9/20/2023

6,549

ILS

34,124

USD

9,214

CITI

9/20/2023

20

ILS

34,125

USD

9,214

JPMC

9/20/2023

20

NOK

129,001

USD

11,651

CITI

9/20/2023

400

NOK

128,999

USD

11,651

JPMC

9/20/2023

400

NZD

5,000

USD

3,031

CITI

9/20/2023

36

NZD

5,000

USD

3,031

JPMC

9/20/2023

36

SEK

453,750

USD

41,909

CITI

9/20/2023

321

240

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

453,750

USD

41,909

JPMC

9/20/2023

$

320

Total

unrealized

appreciation

59,866

HKD

433,500

USD

55,507

CITI

9/20/2023

(87)

HKD

433,500

USD

55,507

JPMC

9/20/2023

(86)

ILS

11,376

USD

3,119

CITI

9/20/2023

(41)

ILS

11,375

USD

3,119

JPMC

9/20/2023

(41)

JPY

64,827,503

USD

472,276

CITI

9/20/2023

(17,470)

JPY

64,827,497

USD

472,273

JPMC

9/20/2023

(17,468)

SEK

151,250

USD

14,129

CITI

9/20/2023

(53)

SEK

151,250

USD

14,129

JPMC

9/20/2023

(53)

SGD

138,000

USD

102,524

CITI

9/20/2023

(180)

SGD

138,000

USD

102,524

JPMC

9/20/2023

(180)

USD

5,312

AUD

8,000

CITI

9/20/2023

(29)

USD

5,312

AUD

8,000

JPMC

9/20/2023

(29)

USD

6,345

CAD

8,500

CITI

9/20/2023

(80)

USD

6,345

CAD

8,500

JPMC

9/20/2023

(79)

Total

unrealized

depreciation

(35,876)

Net

unrealized

appreciation

$

23,990

Total

return

basket

swap

contracts

outstanding

as

of

June

30,

2023

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.34%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

12/18/2026

-

06/19/2028

$23,152,225

$141,691

$75,313

$217,004

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Fuji

Electric

Co.

Ltd.

3,800

167,295

6,784

3

.1

Fujitsu

Ltd.

1,400

181,276

(3,422)

(1

.6)

Fukuoka

Financial

Group,

Inc.

8,500

175,682

18,812

8

.7

Honda

Motor

Co.

Ltd.

9,100

275,674

7,710

3

.6

IHI

Corp.

7,400

200,706

9,468

4

.4

Japan

Post

Bank

Co.

Ltd.

25,000

194,956

8,060

3

.7

Japan

Post

Insurance

Co.

Ltd.

10,100

151,792

2,772

1

.3

241

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Mazda

Motor

Corp.

25,800

249,336

18,237

8

.4

Mitsubishi

HC

Capital,

Inc.

26,200

155,560

15,713

7

.2

Mitsubishi

Motors

Corp.

86,700

303,167

13,654

6

.3

Mizuho

Financial

Group,

Inc.

26,700

408,122

15,102

7

.0

Niterra

Co.

Ltd.

11,000

220,700

18,861

8

.7

Nitto

Denko

Corp.

2,000

148,451

1,322

0

.6

Obayashi

Corp.

26,500

229,181

12,931

6

.0

Ono

Pharmaceutical

Co.

Ltd.

8,300

149,760

(3,821)

(1

.8)

Panasonic

Holdings

Corp.

20,400

250,143

20,051

9

.2

Ricoh

Co.

Ltd.

23,500

200,264

(2,508)

(1

.2)

SCREEN

Holdings

Co.

Ltd.

1,800

205,018

11,914

5

.5

Sega

Sammy

Holdings,

Inc.

7,900

169,240

9,298

4

.3

Seiko

Epson

Corp.

9,400

146,755

3,144

1

.4

Shimamura

Co.

Ltd.

2,300

217,473

11,932

5

.5

Shin-Etsu

Chemical

Co.

Ltd.

5,800

193,824

11,940

5

.5

TOPPAN,

Inc.

6,300

136,154

2,596

1

.2

Toyo

Suisan

Kaisha

Ltd.

4,600

207,515

5,592

2

.6

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(9,300)

(190,432)

(9,033)

(4

.2)

Ajinomoto

Co.,

Inc.

(4,000)

(159,347)

(2,807)

(1

.3)

Asahi

Intecc

Co.

Ltd.

(8,800)

(173,254)

(8,313)

(3

.8)

Chugai

Pharmaceutical

Co.

Ltd.

(5,700)

(162,330)

(5,164)

(2

.4)

Daiichi

Sankyo

Co.

Ltd.

(4,900)

(155,694)

11,007

5

.1

Daikin

Industries

Ltd.

(800)

(163,924)

(3,780)

(1

.7)

Denso

Corp.

(4,600)

(310,280)

(18,522)

(8

.5)

Eisai

Co.

Ltd.

(2,500)

(169,435)

14,043

6

.5

JSR

Corp.

(10,000)

(287,362)

(60,881)

(28

.1)

Kansai

Electric

Power

Co.,

Inc.

(The)

(15,000)

(188,196)

(8,564)

(3

.9)

Keyence

Corp.

(400)

(190,063)

(423)

(0

.2)

Kikkoman

Corp.

(2,400)

(137,061)

2,021

0

.9

Kobe

Bussan

Co.

Ltd.

(6,600)

(171,304)

8,316

3

.8

Kubota

Corp.

(10,500)

(153,708)

(7,664)

(3

.5)

Lasertec

Corp.

(1,000)

(151,117)

(4,401)

(2

.0)

Makita

Corp.

(6,800)

(192,211)

(12,850)

(5

.9)

Mitsubishi

UFJ

Financial

Group,

Inc.

(30,600)

(225,555)

(20,297)

(9

.4)

Nippon

Paint

Holdings

Co.

Ltd.

(16,500)

(136,554)

(422)

(0

.2)

NTT

Data

Group

Corp.

(10,000)

(140,209)

1,757

0

.8

Obic

Co.

Ltd.

(1,000)

(160,508)

3,392

1

.6

Rakuten

Group,

Inc.

(56,300)

(196,179)

16,192

7

.5

SMC

Corp.

(300)

(166,729)

(2,627)

(1

.2)

SoftBank

Group

Corp.

(3,200)

(150,911)

(20,046)

(9

.2)

Tohoku

Electric

Power

Co.,

Inc.

(23,000)

(142,224)

(761)

(0

.4)

Toyota

Motor

Corp.

(21,500)

(345,550)

(39,876)

(18

.4)

242

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(4,000)

(184,412)

(7,442)

(3

.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.81%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

12/18/2026

-

06/26/2028

$67,871,200

$169,478

$36,185

$205,663

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

3M

Co.

1,881

188,269

357

0

.2

Adobe,

Inc.

438

214,178

15,326

7

.5

AGCO

Corp.

1,407

184,908

12,086

5

.9

Allison

Transmission

Holdings,

Inc.

5,198

293,479

17,777

8

.6

Alphabet,

Inc.

2,479

296,736

(6,516)

(3

.2)

Amazon.com,

Inc.

4,385

571,629

30,388

14

.8

American

International

Group,

Inc.

4,743

272,912

3,130

1

.5

Apple,

Inc.

3,902

756,871

49,999

24

.3

Applied

Materials,

Inc.

1,276

184,433

10,744

5

.2

Archer-Daniels-Midland

Co.

2,507

189,429

7,571

3

.7

Booking

Holdings,

Inc.

133

359,144

12,529

6

.1

Builders

FirstSource,

Inc.

1,343

182,648

18,695

9

.1

Cardinal

Health,

Inc.

2,246

212,404

17,519

8

.5

Cheniere

Energy,

Inc.

1,394

212,390

6,965

3

.4

Cigna

Group

(The)

1,192

334,475

17,546

8

.5

Cisco

Systems,

Inc.

5,088

263,253

10,583

5

.1

Citigroup,

Inc.

5,541

255,108

(12,501)

(6

.1)

Coca-Cola

Co.

(The)

5,755

346,566

(1,439)

(0

.7)

CVS

Health

Corp.

4,302

297,397

(11,314)

(5

.5)

General

Motors

Co.

7,424

286,269

17,298

8

.4

Healthpeak

Properties,

Inc.

10,432

209,683

(6,155)

(3

.0)

Hewlett

Packard

Enterprise

Co.

12,523

210,386

12,478

6

.1

Huntington

Ingalls

Industries,

Inc.

1,163

264,699

14,293

6

.9

Keurig

Dr

Pepper,

Inc.

7,168

224,143

(287)

(0

.1)

Kroger

Co.

(The)

5,716

268,652

4,744

2

.3

243

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

McDonald's

Corp.

719

214,557

8,355

4

.1

McKesson

Corp.

525

224,338

17,535

8

.5

Microchip

Technology,

Inc.

2,036

182,405

19,383

9

.4

Microsoft

Corp.

1,817

618,761

24,230

11

.8

Molson

Coors

Beverage

Co.

3,398

223,724

(2,107)

(1

.0)

NVIDIA

Corp.

527

222,932

16,438

8

.0

PACCAR,

Inc.

2,255

188,631

15,379

7

.5

Salesforce,

Inc.

1,111

234,710

(4,500)

(2

.2)

Synchrony

Financial

5,474

185,678

1,269

0

.6

TD

SYNNEX

Corp.

2,336

219,584

2,359

1

.1

Toll

Brothers,

Inc.

2,548

201,470

12,179

5

.9

Valero

Energy

Corp.

1,819

213,369

7,092

3

.4

Walmart,

Inc.

2,637

414,484

10,785

5

.2

Western

Union

Co.

(The)

23,803

279,209

(1,666)

(0

.8)

Short

Positions

Common

Stocks

United

States

Aflac,

Inc.

(2,651)

(185,040)

(2,200)

(1

.1)

Aon

plc

(573)

(197,800)

(17,694)

(8

.6)

Ball

Corp.

(3,592)

(209,090)

(20,223)

(9

.8)

Chart

Industries,

Inc.

(1,151)

(183,918)

(32,138)

(15

.6)

Choice

Hotels

International,

Inc.

(2,005)

(235,628)

(721)

(0

.4)

Churchill

Downs,

Inc.

(1,420)

(197,621)

611

0

.3

Envestnet,

Inc.

(3,225)

(191,404)

(16,543)

(8

.0)

Kohl's

Corp.

(8,892)

(204,961)

(8,803)

(4

.3)

Southern

Co.

(The)

(2,541)

(178,505)

2,566

1

.2

Vistra

Corp.

(7,694)

(201,968)

(11,002)

(5

.3)

Welltower,

Inc.

(2,274)

(183,944)

478

0

.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.46%

to

0.30%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/28/2025

-

05/23/2025

$3,201,761

$20,496

$3,876

$24,372

244

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Ampol

Ltd.

4,123

82,363

1,010

4

.1

ANZ

Group

Holdings

Ltd.

7,514

118,945

4,971

20

.4

APA

Group

4,610

29,827

(668)

(2

.7)

Aristocrat

Leisure

Ltd.

2,808

72,651

1,832

7

.5

Atlas

Arteria

Ltd.

6,139

25,495

263

1

.1

Aurizon

Holdings

Ltd.

50,641

132,487

2,947

12

.1

BlueScope

Steel

Ltd.

11,372

156,511

2,805

11

.5

Brambles

Ltd.

11,365

109,281

2,760

11

.3

Cochlear

Ltd.

263

40,294

364

1

.5

Coles

Group

Ltd.

8,869

108,901

902

3

.7

Computershare

Ltd.

5,158

80,496

3,598

14

.8

Fortescue

Metals

Group

Ltd.

1,230

18,252

766

3

.1

Harvey

Norman

Holdings

Ltd.

18,386

42,765

3,572

14

.7

Incitec

Pivot

Ltd.

59,341

108,586

2,645

10

.9

JB

Hi-Fi

Ltd.

4,931

144,314

7,831

32

.1

National

Australia

Bank

Ltd.

1,503

26,435

833

3

.4

Orica

Ltd.

2,566

25,421

(151)

(0

.6)

Pilbara

Minerals

Ltd.

14,422

47,400

997

4

.1

Qantas

Airways

Ltd.

41,124

170,423

4,410

18

.1

QBE

Insurance

Group

Ltd.

1,447

15,108

437

1

.8

Qube

Holdings

Ltd.

21,644

41,253

1,170

4

.8

Sonic

Healthcare

Ltd.

6,395

152,084

4,218

17

.3

Suncorp

Group

Ltd.

8,764

78,746

632

2

.6

Telstra

Group

Ltd.

33,941

97,367

(82)

(0

.3)

Westpac

Banking

Corp.

4,414

62,849

2,042

8

.4

Worley

Ltd.

2,908

30,706

487

2

.0

New

Zealand

Xero

Ltd.

313

25,078

1,477

6

.1

Short

Positions

Common

Stocks

Australia

ALS

Ltd.

(2,074)

(15,497)

(79)

(0

.3)

Alumina

Ltd.

(52,712)

(48,890)

(2,364)

(9

.7)

carsales.com

Ltd.

(1,254)

(20,053)

(531)

(2

.2)

Cleanaway

Waste

Management

Ltd.

(40,779)

(70,547)

(2,091)

(8

.6)

Commonwealth

Bank

of

Australia

(2,088)

(139,785)

(3,572)

(14

.7)

Domino's

Pizza

Enterprises

Ltd.

(2,152)

(66,899)

(4,511)

(18

.5)

Endeavour

Group

Ltd.

(3,626)

(15,261)

(309)

(1

.3)

IDP

Education

Ltd.

(5,435)

(80,486)

(2,246)

(9

.2)

IGO

Ltd.

(2,680)

(27,354)

(1,164)

(4

.8)

Lynas

Rare

Earths

Ltd.

(10,519)

(48,336)

574

2

.4

245

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Macquarie

Group

Ltd.

(376)

(44,739)

(1,495)

(6

.1)

Medibank

Pvt

Ltd.

(9,906)

(23,269)

355

1

.5

Mineral

Resources

Ltd.

(1,129)

(54,071)

(1,861)

(7

.6)

NEXTDC

Ltd.

(2,762)

(23,291)

(660)

(2

.7)

Northern

Star

Resources

Ltd.

(2,707)

(22,054)

577

2

.4

Pro

Medicus

Ltd.

(1,322)

(58,182)

(535)

(2

.2)

REA

Group

Ltd.

(792)

(76,082)

(5,506)

(22

.6)

Reece

Ltd.

(4,640)

(57,803)

(1,455)

(6

.0)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(1,105)

(23,458)

23

0

.1

Wesfarmers

Ltd.

(593)

(19,551)

(471)

(1

.9)

WiseTech

Global

Ltd.

(341)

(18,291)

(736)

(3

.0)

Woolworths

Group

Ltd.

(1,356)

(35,929)

(212)

(0

.9)

United

States

James

Hardie

Industries

plc

(3,493)

(93,179)

(2,781)

(11

.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

or

CORRA

plus

or

minus

a

specified

spread

(-0.77%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

02/26/2024

-

08/26/2024

$3,784,328

$31,444

$22,092

$53,536

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

1,102

55,027

1,215

2

.3

Air

Canada

4,555

85,925

7,324

13

.7

Alamos

Gold,

Inc.

2,812

33,496

1,104

2

.1

Atco

Ltd.

2,841

84,581

600

1

.1

Bank

of

Montreal

1,156

104,400

1,981

3

.7

Bank

of

Nova

Scotia

(The)

2,538

126,981

4,291

8

.0

Canadian

Imperial

Bank

of

Commerce

2,230

95,210

370

0

.7

Canadian

National

Railway

Co.

396

47,953

1,250

2

.3

Canadian

Tire

Corp.

Ltd.

311

42,520

2,118

4

.0

Canadian

Utilities

Ltd.

1,784

46,204

13

0

.0

CGI,

Inc.

309

32,585

1,414

2

.6

Empire

Co.

Ltd.

2,438

69,252

1,509

2

.8

246

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Finning

International,

Inc.

3,343

102,832

2,372

4

.4

George

Weston

Ltd.

868

102,620

1,173

2

.2

iA

Financial

Corp.,

Inc.

1,051

71,600

1,825

3

.4

Loblaw

Cos.

Ltd.

732

67,014

1,625

3

.0

Magna

International,

Inc.

918

51,827

3,347

6

.3

Metro,

Inc.

708

39,987

919

1

.7

National

Bank

of

Canada

547

40,754

1,012

1

.9

Northland

Power,

Inc.

1,897

39,565

673

1

.3

Nutrien

Ltd.

1,846

108,983

(320)

(0

.6)

Open

Text

Corp.

2,121

88,218

3,746

7

.0

Parkland

Corp.

3,815

95,033

2,102

3

.9

Pembina

Pipeline

Corp.

3,165

99,507

3,130

5

.8

SSR

Mining,

Inc.

2,399

34,027

471

0

.9

Stantec,

Inc.

696

45,440

1,839

3

.4

Sun

Life

Financial,

Inc.

2,643

137,781

3,312

6

.2

Toromont

Industries

Ltd.

855

70,239

3,769

7

.0

Toronto-Dominion

Bank

(The)

765

47,416

1,634

3

.1

West

Fraser

Timber

Co.

Ltd.

1,474

126,632

7,388

13

.8

Short

Positions

Common

Stocks

Canada

Algonquin

Power

&

Utilities

Corp.

(6,438)

(53,215)

(146)

(0

.3)

BCE,

Inc.

(1,130)

(51,521)

(1,271)

(2

.4)

Brookfield

Corp.

(1,398)

(47,066)

(3,377)

(6

.3)

Cameco

Corp.

(1,922)

(60,195)

(3,076)

(5

.7)

Constellation

Software,

Inc.

(23)

(47,654)

(1,639)

(3

.1)

Dollarama,

Inc.

(1,080)

(73,144)

(2,299)

(4

.3)

Element

Fleet

Management

Corp.

(3,326)

(50,665)

(452)

(0

.8)

Emera,

Inc.

(1,981)

(81,588)

(1,525)

(2

.8)

Enbridge,

Inc.

(894)

(33,229)

(520)

(1

.0)

Franco-Nevada

Corp.

(345)

(49,171)

(1,487)

(2

.8)

GFL

Environmental,

Inc.

(2,728)

(105,928)

(5,025)

(9

.4)

Kinaxis,

Inc.

(218)

(31,151)

(2,266)

(4

.2)

Pan

American

Silver

Corp.

(3,275)

(47,713)

(148)

(0

.3)

Rogers

Communications,

Inc.

(2,427)

(110,729)

(2,876)

(5

.4)

Royal

Bank

of

Canada

(434)

(41,449)

(950)

(1

.8)

Thomson

Reuters

Corp.

(464)

(62,647)

(333)

(0

.6)

TMX

Group

Ltd.

(1,955)

(43,992)

(1,845)

(3

.4)

WSP

Global,

Inc.

(342)

(45,184)

(1,389)

(2

.6)

United

States

Brookfield

Renewable

Corp.

(1,276)

(40,252)

106

0

.2

BRP,

Inc.

(384)

(32,462)

(2,116)

(4

.0)

247

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-11.22%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

06/25/2025

$3,098,249

$(20,390)

$45,658

$25,268

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

7,006

275,622

6,513

25

.8

Adecco

Group

AG

(Registered)

508

16,638

439

1

.7

Alcon,

Inc.

364

30,198

925

3

.7

Baloise

Holding

AG

(Registered)

81

11,914

(330)

(1

.3)

Barry

Callebaut

AG

(Registered)

25

48,302

1,210

4

.8

Clariant

AG

(Registered)

4,322

62,524

2,116

8

.4

DKSH

Holding

AG

785

58,430

808

3

.2

Galenica

AG

487

39,372

577

2

.3

Georg

Fischer

AG

(Registered)

1,326

99,729

4,174

16

.5

Helvetia

Holding

AG

(Registered)

390

52,858

(780)

(3

.1)

Julius

Baer

Group

Ltd.

212

13,379

375

1

.5

Kuehne

+

Nagel

International

AG

(Registered)

30

8,887

192

0

.8

Novartis

AG

(Registered)

3,711

374,141

5,466

21

.6

SGS

SA

(Registered)

286

27,056

586

2

.3

Sonova

Holding

AG

(Registered)

233

62,173

1,570

6

.2

Temenos

AG

(Registered)

168

13,377

478

1

.9

UBS

Group

AG

(Registered)

2,314

46,902

1,503

5

.9

United

States

Holcim

AG

792

53,387

790

3

.1

Roche

Holding

AG

867

264,843

398

1

.6

Swiss

Re

AG

744

74,968

1,785

7

.1

Short

Positions

Common

Stocks

Austria

ams-OSRAM

AG

(1,216)

(8,764)

(175)

(0

.7)

Switzerland

Bachem

Holding

AG

(975)

(85,133)

(2,780)

(11

.0)

Belimo

Holding

AG

(Registered)

(63)

(31,488)

(2,306)

(9

.1)

BKW

AG

(265)

(46,852)

(1,938)

(7

.7)

Chocoladefabriken

Lindt

&

Spruengli

AG

(1)

(12,573)

(373)

(1

.5)

248

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Cie

Financiere

Richemont

SA

(Registered)

(56)

(9,513)

(300)

(1

.2)

Dufry

AG

(Registered)

(963)

(43,924)

(2,609)

(10

.3)

EMS-Chemie

Holding

AG

(Registered)

(130)

(98,515)

(1,856)

(7

.3)

Geberit

AG

(Registered)

(106)

(55,553)

(1,561)

(6

.2)

Givaudan

SA

(Registered)

(16)

(53,071)

(51)

(0

.2)

Idorsia

Ltd.

(558)

(4,035)

285

1

.1

Logitech

International

SA

(Registered)

(993)

(59,267)

(3,984)

(15

.8)

Lonza

Group

AG

(Registered)

(58)

(34,667)

(854)

(3

.4)

Partners

Group

Holding

AG

(128)

(120,684)

(3,988)

(15

.8)

Schindler

Holding

AG

(104)

(24,420)

(1,111)

(4

.4)

SIG

Group

AG

(6,977)

(192,752)

(3,019)

(11

.9)

Sika

AG

(Registered)

(391)

(111,983)

(5,698)

(22

.5)

Straumann

Holding

AG

(Registered)

(993)

(161,468)

(8,033)

(31

.8)

Swiss

Life

Holding

AG

(Registered)

(78)

(45,684)

469

1

.9

Swisscom

AG

(Registered)

(36)

(22,469)

(146)

(0

.6)

Tecan

Group

AG

(Registered)

(94)

(36,122)

(2,494)

(9

.9)

VAT

Group

AG

(363)

(150,360)

(6,831)

(27

.0)

United

States

Nestle

SA

(Registered)

(451)

(54,252)

168

0

.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$1,386,554

$7,701

$31,825

$39,526

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

53

93,187

601

1

.5

Carlsberg

A/S

716

114,654

3,164

8

.0

Genmab

A/S

272

103,076

(525)

(1

.3)

ISS

A/S

6,736

142,497

4,983

12

.6

Novo

Nordisk

A/S

1,055

170,425

4,216

10

.7

Pandora

A/S

1,476

131,927

5,212

13

.2

ROCKWOOL

A/S

77

19,913

1,344

3

.4

249

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(839)

(13,754)

(302)

(0

.8)

Coloplast

A/S

(385)

(48,177)

(512)

(1

.3)

Demant

A/S

(357)

(15,111)

(435)

(1

.1)

DSV

A/S

(257)

(53,981)

(2,833)

(7

.2)

GN

Store

Nord

A/S

(1,749)

(43,740)

(1,627)

(4

.1)

Novozymes

A/S

(2,897)

(135,171)

(1,349)

(3

.4)

Orsted

A/S

(1,000)

(94,802)

(2,885)

(7

.3)

Royal

Unibrew

A/S

(497)

(44,488)

(1,107)

(2

.8)

Tryg

A/S

(3,289)

(71,227)

593

1

.5

Vestas

Wind

Systems

A/S

(3,401)

(90,424)

(837)

(2

.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

ESTR

plus

or

minus

a

specified

spread

(-65.00%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

02/25/2025

-

06/25/2025

$15,964,293

$63,000

$32,314

$95,314

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Proximus

SADP

16,287

121,456

1,848

1

.9

Finland

Nokia

OYJ

30,915

129,529

3,430

3

.6

France

AXA

SA

4,003

118,294

2,431

2

.6

Cie

de

Saint-Gobain

2,915

177,484

5,750

6

.0

Eiffage

SA

2,199

229,594

3,077

3

.2

LVMH

Moet

Hennessy

Louis

Vuitton

SE

128

120,693

4,065

4

.3

Orange

SA

9,853

115,147

3,545

3

.7

Rexel

SA

8,318

205,570

7,247

7

.6

Safran

SA

810

126,935

3,935

4

.1

Sodexo

SA

1,574

173,325

(2,295)

(2

.4)

Thales

SA

957

143,386

6,429

6

.7

250

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Bayerische

Motoren

Werke

AG

1,726

212,310

6,566

6

.9

Deutsche

Bank

AG

(Registered)

16,745

176,036

8,335

8

.7

Deutsche

Lufthansa

AG

(Registered)

13,368

137,069

3,203

3

.4

GEA

Group

AG

2,884

120,742

1,910

2

.0

Mercedes-Benz

Group

AG

1,717

138,204

3,343

3

.5

Siemens

AG

(Registered)

930

155,032

(2,752)

(2

.9)

thyssenkrupp

AG

14,989

117,400

717

0

.8

Italy

Assicurazioni

Generali

SpA

7,912

160,898

3,077

3

.2

Leonardo

SpA

10,545

119,737

2,657

2

.8

Prysmian

SpA

3,835

160,394

14,220

14

.9

UniCredit

SpA

9,468

220,165

10,539

11

.1

Unipol

Gruppo

SpA

30,360

162,244

4,153

4

.4

Netherlands

ASML

Holding

NV

278

201,641

5,281

5

.5

ASR

Nederland

NV

3,011

135,807

5,171

5

.4

Koninklijke

Ahold

Delhaize

NV

5,864

199,921

6,454

6

.8

Singapore

STMicroelectronics

NV

3,062

152,712

7,268

7

.6

Spain

Banco

de

Sabadell

SA

146,220

168,584

7,593

8

.0

Banco

Santander

SA

38,715

143,328

13,063

13

.7

Industria

de

Diseno

Textil

SA

3,470

134,594

6,119

6

.4

Redeia

Corp.

SA

9,252

155,591

(4,528)

(4

.8)

United

States

Sanofi

1,419

152,764

1,267

1

.3

Stellantis

NV

13,814

242,861

13,980

14

.7

Short

Positions

Common

Stocks

France

Air

Liquide

SA

(1,133)

(203,187)

(5,720)

(6

.0)

Airbus

SE

(1,047)

(151,377)

(5,527)

(5

.8)

Alstom

SA

(5,402)

(161,254)

(1,862)

(2

.0)

L'Oreal

SA

(272)

(126,882)

(6,987)

(7

.3)

Sartorius

Stedim

Biotech

(584)

(145,856)

(1,644)

(1

.7)

Germany

adidas

AG

(1,432)

(277,991)

(2,068)

(2

.2)

Covestro

AG

(2,621)

(136,378)

5,480

5

.7

Siemens

Healthineers

AG

(2,733)

(154,894)

(4,171)

(4

.4)

Italy

Davide

Campari-Milano

NV

(8,765)

(121,476)

(5,030)

(5

.3)

Ferrari

NV

(838)

(273,982)

(16,480)

(17

.3)

Luxembourg

Eurofins

Scientific

SE

(2,513)

(159,696)

(5,749)

(6

.0)

251

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

Adyen

NV

(124)

(214,727)

(6,216)

(6

.5)

ASM

International

NV

(313)

(132,901)

(3,797)

(4

.0)

Koninklijke

Philips

NV

(10,428)

(225,950)

(11,114)

(11

.7)

South

Korea

Delivery

Hero

SE

(3,141)

(138,581)

(14,113)

(14

.8)

Spain

Cellnex

Telecom

SA

(7,293)

(294,665)

(7,217)

(7

.6)

Preferred

Stocks

Germany

Sartorius

AG

(Preference)

(483)

(167,340)

(5,166)

(5

.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2025

-

04/25/2025

$5,481,590

$41,745

$(119,151)

$(77,406)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Italy

Coca-Cola

HBC

AG

2,074

61,867

759

(1

.0)

Nigeria

Airtel

Africa

plc

39,576

54,182

(1,659)

2

.1

United

Kingdom

Associated

British

Foods

plc

2,125

53,811

1,536

(2

.0)

BAE

Systems

plc

9,026

106,428

1,151

(1

.5)

Barclays

plc

111,019

216,886

12,557

(16

.2)

Barratt

Developments

plc

32,793

172,351

307

(0

.4)

BT

Group

plc

35,642

55,464

(2,317)

3

.0

Burberry

Group

plc

4,188

113,007

(283)

0

.4

DCC

plc

1,520

85,031

789

(1

.0)

DS

Smith

plc

25,734

89,049

1,625

(2

.1)

Hiscox

Ltd.

3,557

49,315

888

(1

.1)

Howden

Joinery

Group

plc

11,561

94,458

1,694

(2

.2)

HSBC

Holdings

plc

12,844

101,697

3,157

(4

.1)

252

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Inchcape

plc

5,624

55,658

1,946

(2

.5)

Informa

plc

6,020

55,584

2,035

(2

.6)

InterContinental

Hotels

Group

plc

1,704

117,792

4,567

(5

.9)

Intertek

Group

plc

1,467

79,523

267

(0

.3)

Legal

&

General

Group

plc

33,085

95,791

1,293

(1

.7)

Man

Group

plc

27,388

76,059

1,171

(1

.5)

Marks

&

Spencer

Group

plc

59,850

146,706

3,694

(4

.8)

Pearson

plc

8,370

87,750

946

(1

.2)

Reckitt

Benckiser

Group

plc

1,998

150,151

(3,517)

4

.5

Rolls-Royce

Holdings

plc

43,703

84,041

(1,877)

2

.4

Sage

Group

plc

(The)

4,496

52,814

3,252

(4

.2)

Smiths

Group

plc

6,729

140,782

1,571

(2

.0)

Taylor

Wimpey

plc

83,743

109,401

229

(0

.3)

Unilever

plc

2,301

119,823

1,179

(1

.5)

Vodafone

Group

plc

147,588

139,150

7,832

(10

.1)

Whitbread

plc

1,127

48,514

923

(1

.2)

United

States

GSK

plc

10,265

181,922

(3,171)

4

.1

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(7,826)

(145,536)

667

(0

.9)

Hong

Kong

Prudential

plc

(6,630)

(93,638)

(2,996)

3

.9

South

Africa

Anglo

American

plc

(1,931)

(54,982)

809

(1

.0)

United

Kingdom

abrdn

plc

(21,365)

(59,330)

(3,110)

4

.0

Admiral

Group

plc

(3,104)

(82,206)

2,707

(3

.5)

Ashtead

Group

plc

(744)

(51,582)

(1,296)

1

.7

AstraZeneca

plc

(370)

(53,041)

20

(0

.0)

B&M

European

Value

Retail

SA

(16,797)

(118,962)

4,125

(5

.3)

Berkeley

Group

Holdings

plc

(1,435)

(71,535)

(1,425)

1

.8

Croda

International

plc

(916)

(65,480)

(567)

0

.7

Halma

plc

(2,645)

(76,560)

(812)

1

.0

Hargreaves

Lansdown

plc

(4,932)

(51,126)

(2,596)

3

.4

Next

plc

(673)

(59,013)

(1,696)

2

.2

Rentokil

Initial

plc

(15,832)

(123,786)

956

(1

.2)

Severn

Trent

plc

(2,796)

(91,150)

3,837

(5

.0)

Smith

&

Nephew

plc

(2,972)

(47,948)

(1,183)

1

.5

Spirax-Sarco

Engineering

plc

(596)

(78,555)

(1,879)

2

.4

St

James's

Place

plc

(4,562)

(63,090)

(1,764)

2

.3

United

Utilities

Group

plc

(7,859)

(96,096)

3,055

(3

.9)

United

States

Experian

plc

(2,239)

(85,935)

(3,245)

4

.2

253

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.26%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

05/06/2025

$1,454,285

$10,269

$(22,621)

$(12,352)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

47,500

145,508

632

(5

.1)

Hong

Kong

ASMPT

Ltd.

5,200

51,374

2,532

(20

.5)

CK

Asset

Holdings

Ltd.

14,500

80,573

449

(3

.6)

Hang

Lung

Properties

Ltd.

7,000

10,832

(120)

1

.0

Hang

Seng

Bank

Ltd.

700

9,979

108

(0

.9)

Henderson

Land

Development

Co.

Ltd.

16,000

47,648

277

(2

.2)

HKT

Trust

&

HKT

Ltd.

5,000

5,822

54

(0

.4)

Hong

Kong

Exchanges

&

Clearing

Ltd.

100

3,789

(17)

0

.1

Man

Wah

Holdings

Ltd.

101,600

68,017

3,577

(29

.0)

MTR

Corp.

Ltd.

9,000

41,432

27

(0

.2)

New

World

Development

Co.

Ltd.

34,000

84,033

(664)

5

.4

Power

Assets

Holdings

Ltd.

5,000

26,247

373

(3

.0)

Sino

Land

Co.

Ltd.

24,000

29,547

450

(3

.6)

Sun

Hung

Kai

Properties

Ltd.

10,500

132,663

3,088

(25

.0)

Swire

Pacific

Ltd.

5,500

42,255

4,598

(37

.2)

Swire

Properties

Ltd.

16,200

39,915

1,379

(11

.2)

WH

Group

Ltd.

156,500

83,348

(135)

1

.1

Macau

Sands

China

Ltd.

3,600

12,329

(305)

2

.5

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(24,600)

(63,656)

1,799

(14

.6)

ESR

Group

Ltd.

(28,800)

(49,601)

(1,821)

14

.7

Xinyi

Glass

Holdings

Ltd.

(33,000)

(51,590)

(2,401)

19

.4

Hong

Kong

AIA

Group

Ltd.

(8,200)

(83,283)

(2,602)

21

.1

CLP

Holdings

Ltd.

(1,500)

(11,683)

(178)

1

.4

Hong

Kong

&

China

Gas

Co.

Ltd.

(25,000)

(21,650)

(306)

2

.5

254

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Techtronic

Industries

Co.

Ltd.

(9,500)

(103,888)

(1,444)

11

.7

Wharf

Real

Estate

Investment

Co.

Ltd.

(23,000)

(115,399)

246

(2

.0)

Macau

Galaxy

Entertainment

Group

Ltd.

(6,000)

(38,224)

673

(5

.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.23%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$489,475

$5,330

$(611)

$4,719

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

1,340

47,345

230

4

.9

Norway

Leroy

Seafood

Group

ASA

8,133

30,863

(325)

(6

.9)

Mowi

ASA

2,274

36,079

85

1

.8

Norsk

Hydro

ASA

7,992

47,642

436

9

.2

Orkla

ASA

6,211

44,660

497

10

.5

Telenor

ASA

3,701

37,526

(195)

(4

.1)

United

Kingdom

Subsea

7

SA

2,905

36,183

5,451

115

.5

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(358)

(21,416)

830

17

.6

Norway

Gjensidige

Forsikring

ASA

(1,102)

(17,654)

(26)

(0

.5)

Kongsberg

Gruppen

ASA

(128)

(5,818)

(178)

(3

.8)

Salmar

ASA

(2,271)

(91,517)

(1,850)

(39

.2)

Schibsted

ASA

(1,610)

(28,274)

8

0

.2

TOMRA

Systems

ASA

(2,766)

(44,498)

367

7

.8

255

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-3.50%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2025

$2,315,327

$31,805

$9,026

$40,831

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Nordea

Bank

Abp

5,136

55,945

2,391

5

.9

Guatemala

Millicom

International

Cellular

SA

4,109

62,875

(3,606)

(8

.8)

Sweden

Assa

Abloy

AB

5,821

139,919

6,880

16

.8

Axfood

AB

807

17,079

349

0

.9

Billerud

AB

9,447

71,897

(488)

(1

.2)

Boliden

AB

1,569

45,467

362

0

.9

Elekta

AB

5,943

45,977

1,895

4

.6

Essity

AB

2,303

61,333

71

0

.2

Evolution

AB

290

36,750

402

1

.0

Getinge

AB

1,017

17,842

737

1

.8

H

&

M

Hennes

&

Mauritz

AB

8,990

154,604

24,055

58

.9

Saab

AB

1,237

66,966

2,119

5

.2

Sandvik

AB

2,690

52,520

1,341

3

.3

Skandinaviska

Enskilda

Banken

AB

1,682

18,603

599

1

.5

Skanska

AB

4,607

64,638

2,658

6

.5

SKF

AB

2,139

37,273

28

0

.1

SSAB

AB

5,522

38,290

(928)

(2

.3)

Svenska

Handelsbanken

AB

8,635

72,294

1,343

3

.3

Swedbank

AB

2,090

35,271

342

0

.8

Swedish

Orphan

Biovitrum

AB

611

11,942

159

0

.4

Tele2

AB

2,785

23,033

113

0

.3

Telefonaktiebolaget

LM

Ericsson

24,931

135,458

9,732

23

.8

Telia

Co.

AB

1,658

3,637

34

0

.1

Trelleborg

AB

1,061

25,750

(339)

(0

.8)

Volvo

AB

5,017

103,827

4,328

10

.6

Volvo

Car

AB

5,807

23,104

604

1

.5

United

States

Sinch

AB

8,417

19,007

(511)

(1

.3)

256

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

(Continued)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

(638)

(23,273)

(930)

(2

.3)

Atlas

Copco

AB

(2,995)

(43,238)

(613)

(1

.5)

Beijer

Ref

AB

(4,774)

(60,981)

(2,774)

(6

.8)

Electrolux

AB

(3,188)

(43,566)

(2,110)

(5

.2)

Embracer

Group

AB

(1,243)

(3,108)

3

0

.0

Epiroc

AB

(3,508)

(66,448)

(909)

(2

.2)

EQT

AB

(8,635)

(166,239)

(1,551)

(3

.8)

Hexagon

AB

(9,562)

(117,616)

(3,647)

(8

.9)

Hexpol

AB

(2,514)

(26,694)

(820)

(2

.0)

Holmen

AB

(1,077)

(38,708)

(453)

(1

.1)

Husqvarna

AB

(5,016)

(45,513)

(1,331)

(3

.3)

Indutrade

AB

(3,045)

(68,727)

(1,025)

(2

.5)

Lifco

AB

(1,879)

(40,920)

(1,930)

(4

.7)

Nibe

Industrier

AB

(5,817)

(55,310)

(2,347)

(5

.7)

Securitas

AB

(6,472)

(53,159)

(2,573)

(6

.3)

Svenska

Cellulosa

AB

SCA

(1,608)

(20,526)

145

0

.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SORA

plus

or

minus

a

specified

spread

(-0.30%

to

0.27%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

01/27/2025

-

05/02/2025

$743,666

$10,413

$8,685

$19,098

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

contracts

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

15,300

43,103

(679)

(3

.6)

Yangzijiang

Shipbuilding

Holdings

Ltd.

109,600

121,939

12,533

65

.6

Singapore

City

Developments

Ltd.

19,200

95,769

1,075

5

.6

Genting

Singapore

Ltd.

49,400

34,445

657

3

.4

Oversea-Chinese

Banking

Corp.

Ltd.

12,500

113,712

118

0

.6

Seatrium

Ltd.

568,200

52,701

183

1

.0

Singapore

Airlines

Ltd.

11,300

59,868

(2,632)

(13

.8)

257

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Schedule

of

Investments

June

30,

2023

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Singapore

(continued)

Singapore

Telecommunications

Ltd.

29,400

54,454

541

2

.8

United

Overseas

Bank

Ltd.

2,200

45,653

332

1

.7

Short

Positions

Common

Stocks

Singapore

DBS

Group

Holdings

Ltd.

(2,000)

(46,706)

(18)

(0

.1)

Keppel

Corp.

Ltd.

(3,400)

(16,921)

(152)

(0

.8)

Singapore

Technologies

Engineering

Ltd.

(19,800)

(54,028)

(1,614)

(8

.5)

Venture

Corp.

Ltd.

(400)

(4,367)

69

0

.4

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2023

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Investment

Companies

$

102,922

$

–

$

102,922

GSIN

Cash

10,102,038

–

10,102,038

MLIN

Cash

(150,149)

–

(150,149)

258

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System Depository

Interest

CVA

-

Dutch

Certification

CVR

-

Contingent

Value

Rights

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference. Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

dollar

BRL

-

Brazilian

real

CAD

-

Canadian

dollar

CHF

-

Swiss

franc

CLP

-

Chilean

peso

CNY

-

Chinese

renminbi

COP

-

Colombian

peso

CZK

-

Czech

Republic

koruna

DKK

-

Danish

krone

EUR

-

Euro

GBP

-

British

pound

HKD

-

Hong

Kong

dollar

HUF

-

Hungarian

forint

IDR

-

Indonesian

rupiah

ILS

-

Israeli

shekel

INR

-

Indian

rupee

JPY

-

Japanese

yen

KRW

-

Korean

won

MXN

-

Mexican

peso

MYR

-

Malaysian

ringgit

NOK

-

Norwegian

krone

NZD

-

New

Zealand

dollar

PHP

-

Philippine

peso

PLN

-

Poland

zloty

SEK

-

Swedish

krona

SGD

-

Singapore

dollar

THB

-

Thai

baht

TWD

-

New

Taiwan

dollar

USD

-

United

States

dollar

ZAR

-

South

African

rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

BNPP

-

BNP

Paribas

SA

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MLIN

-

Merrill

Lynch

International

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

259

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

1

Month

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

3.72%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

4.14%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

4.07%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

(“MUTSC”):

-0.08%

Canadian

Bankers’

Acceptance

Rate

("BA"):

5.27%

Canadian

Dollar

Offered

Rate

(“CDOR”):

5.27%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

4.75%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

3.44%

Denmark

Tomorrow/Next

:

3.21%

Euro

Short-Term

Rate

("ESTR"):

3.40%

Federal

Funds

Floating

Rate:

5.08%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

4.93%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

5.62%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

8.34%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

11.50%

Norway

Interbank

Offered

Rate

("NIBOR"):

4.01%

Norwegian

Overnight

Weighted

Average

("NOWA"):

3.96%

Overnight

Bank

Funding

Rate

("OBFR"):

5.07%

Rand

Overnight

Deposit

Rate:

8.07%

Reserve

Bank

of

Australia

Cash

Rate (“RBACR”): 4.07%

Singapore

Overnight

Rate

Average

(“SORA”):

4.00%

Sterling

Overnight

Index

Average

(“SONIA”):

4.93%

Swiss

Average

Rate

Overnight

(“SARON”):

1.71%

Tel

Aviv

Interbank

Offer

Rate

("TELBOR"):

4.79%

Tokyo

Overnight

Average

Rate

(“TONAR”): -0.08%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

6.76%

Statements

of

Assets

and

Liabilities

260

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

349,509,281

$

1,400,609,799

$

6,344,820

$

207,588,266

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

492,816,039

305,583,451

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

413,684,415

$

1,390,049,298

$

6,345,616

$

209,705,327

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

492,969,674

317,306,006

—

Cash

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

—

375,469

8,254

—

Cash

denominated

in

foreign

currencies

‡

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

694,305

1,235,277

—

3,194,044

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

3,930,459

492

—

721

Unrealized

appreciation

on

OTC

swaps

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

159,766

1,156,602

—

2,234,842

Deposits

for

securities

sold

short

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

17,093,415

20,271,002

—

320,000

Due

from

broker

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

676,835

32,624,761

—

—

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$

(

2,886,827

)

,

$

(

193,397

)

,

$

—

and

$

—

,

respectively

)

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

2,114,802

6,095,065

—

—

Deposits

with

brokers

for

futures

contracts

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

18,967,833

4,551,939

—

—

Variation

margin

on

centrally

cleared

swaps

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

16,929

—

—

—

Variation

margin

on

futures

contracts

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

471,331

41,786

—

—

Receivables:

Securities

sold

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

—

9,151,170

1,688,961

—

Foreign

tax

reclaims

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

344,107

32,449

—

270,694

Dividends

and

interest

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

813,393

4,028,367

26,771

447,506

Capital

shares

sold

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

49,610

1,934,532

2,545,273

622,739

Due

from

Investment

Adviser

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

—

—

3,907

—

Due

from

custodian

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

—

26,487

—

—

Prepaid

expenses

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

20,879

70,034

83,786

41,257

Total

Assets

459,038,079

1,964,614,404

328,008,574

216,837,130

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  

$

310,184,583

,

$

186,097,399

,

$

–

and

$

7,072,541

,

respectively

)

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

282,284,146

185,626,547

—

7,596,848

Due

to

custodian

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

2,350,730

—

—

319,993

Due

to

broker

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

748,457

2,932,641

—

1,406,207

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

2,148,813

608,063

—

23,460

Unrealized

depreciation

on

OTC

swaps

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

203,478

39,204,028

—

423,098

Variation

margin

on

centrally

cleared

swaps

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

—

663,723

—

—

Variation

margin

on

futures

contracts

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

1,273,737

1,850,503

—

—

Payables:

–

–

–

–

Securities

purchased

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

1,231

5,053,869

3,988,222

10,656

Accrued

investment

advisory

fees

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

140,508

1,413,116

—

167,324

Accrued

distribution

fees—Class

N

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

1,209

12,167

4,015

4,623

Capital

shares

redeemed

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

91,650

1,206,442

115,995

64,944

Dividends

and

interest

payable

on

securities

sold

short

.........

435,398

17,199

—

4,019

Other

accrued

expenses

and

liabilities

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

62,119

308,209

57,274

108,939

Total

Liabilities

289,741,476

238,896,507

4,165,506

10,130,111

Net

Assets

$

169,296,603

$

1,725,717,897

$

323,843,068

$

206,707,019

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

195,032,430

$

1,880,528,064

$

319,147,412

$

181,857,700

Total

distributable

earnings

(loss)

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

(

25,735,827

)

(

154,810,167

)

4,695,656

24,849,319

Net

Assets

$

169,296,603

$

1,725,717,897

$

323,843,068

$

206,707,019

NET

ASSETS:

Class

I

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

$

58,605,009

$

1,180,963,262

$

303,066,197

$

121,092,548

Class

N

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

6,077,222

58,819,258

20,121,056

22,156,737

Class

R6

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

104,614,372

485,935,377

655,815

63,457,734

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

5,930,482

99,854,360

25,607,462

13,238,646

Class

N

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

620,097

4,983,961

1,705,969

2,462,837

Class

R6

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

10,541,227

41,088,099

55,328

6,905,236

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.88

$

11.83

$

11.84

$

9.15

Class

N

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

$

9.80

$

11.80

$

11.79

$

9.00

Class

R6

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

$

9.92

$

11.83

$

11.85

$

9.19

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

687,324

$

1,308,478

$

—

$

3,201,445

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

261

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

564,301,022

$

90,606,107

$

1,341,485,638

$

140,471,029

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

564,286,095

$

90,776,471

$

1,340,904,361

$

140,449,677

Cash

denominated

in

foreign

currencies

‡

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

10,567,350

449,180

3,267,242

548,903

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

1,275,233

5,215,387

38,055,128

6,045,969

Unrealized

appreciation

on

OTC

swaps

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

15,118,666

172,756

5,401,161

592,730

Due

from

broker

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

40,141,850

67,807

313

—

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$

—

,

$

(

4,046,528

)

,

$

(

2,897,866

)

and

$

(

440,983

)

,

respectively

)

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

—

4,084,153

14,697,612

2,469,006

Deposits

with

brokers

for

futures

contracts

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

8,739,382

18,774,294

94,363,228

15,586,660

Variation

margin

on

centrally

cleared

swaps

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

—

126,988

1,025,363

160,659

Variation

margin

on

futures

contracts

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

1,732,027

916,491

2,677,167

380,432

Receivables:

Securities

sold

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

—

108,951

173,212

6,910

Foreign

tax

reclaims

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

105,432

2,941

—

—

Dividends

and

interest

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

925,321

201,855

1,130,807

159,757

Capital

shares

sold

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

546,542

589,973

1,321,322

1,337,787

Prepaid

expenses

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

241,881

168,727

65,160

22,510

Total

Assets

643,679,779

121,655,974

1,503,082,076

167,761,000

LIABILITIES:

Due

to

custodian

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

49,368

19,583

6,092

44,400

Due

to

broker

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

2,220,397

130,368

2,786,534

924,634

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

755,731

5,175,114

29,473,653

4,721,295

Unrealized

depreciation

on

OTC

swaps

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

5,650,539

153,190

200,151

139,850

Variation

margin

on

futures

contracts

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

—

1,049,737

3,332,691

641,991

Payables:

–

–

–

–

Securities

purchased

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

17,842

287,386

225,378

15,812

Accrued

investment

advisory

fees

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

547,937

67,118

1,251,750

160,060

Accrued

distribution

fees—Class

N

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

4,464

1,630

13,288

883

Capital

shares

redeemed

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

657,241

56,377

606,771

925,872

Dividends

and

interest

payable

on

securities

sold

short

.........

3,909

878

3,513

621

Other

accrued

expenses

and

liabilities

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

231,362

74,499

319,742

113,219

Total

Liabilities

10,138,790

7,015,880

38,219,563

7,688,637

Net

Assets

$

633,540,989

$

114,640,094

$

1,464,862,513

$

160,072,363

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

546,138,969

$

117,033,375

$

2,382,511,683

$

253,644,351

Total

distributable

earnings

(loss)

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

87,402,020

(

2,393,281

)

(

917,649,170

)

(

93,571,988

)

Net

Assets

$

633,540,989

$

114,640,094

$

1,464,862,513

$

160,072,363

NET

ASSETS:

Class

I

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

$

603,880,630

$

48,387,481

$

1,242,875,740

$

90,636,774

Class

N

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

22,378,490

7,793,930

65,058,366

4,370,882

Class

R6

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

7,281,869

58,458,683

156,928,407

65,064,707

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

43,274,173

4,571,431

140,238,444

10,751,770

Class

N

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

1,637,464

751,568

7,416,248

515,450

Class

R6

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

517,882

5,504,522

17,670,182

7,692,375

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

13.95

$

10.58

$

8.86

$

8.43

Class

N

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

$

13.67

$

10.37

$

8.77

$

8.48

Class

R6

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

$

14.06

$

10.62

$

8.88

$

8.46

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

10,563,994

$

452,179

$

3,264,035

$

549,934

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

262

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MULTI-

ASSET

FUND

*

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

212,908,028

$

377,121,423

$

471,187,729

$

19,290,161

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

285,385,235

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

227,961,275

$

377,147,891

$

479,675,969

$

19,292,692

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

—

285,449,708

—

Cash

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

2,028

—

1,827,712

—

Cash

denominated

in

foreign

currencies

‡

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

1,002,995

—

8,468,101

134,343

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

2,881,316

—

23,275,260

59,866

Unrealized

appreciation

on

OTC

swaps

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

48,246

—

21,320,802

725,331

Due

from

broker

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

88

16,124

2,729,538

10,102,038

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

premium

(received)

$

—

,

$

—

,

$

(

23,195,298

)

and

$

—

,

respectively

)

..

—

—

16,644,486

—

Deposits

with

brokers

for

futures

contracts

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

11,796,035

45,882,382

141,231,883

—

Variation

margin

on

centrally

cleared

swaps

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

—

—

137,306

—

Variation

margin

on

futures

contracts

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

758,325

9,226,921

3,240,439

—

Receivables:

Securities

sold

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

—

—

105,544

969

Foreign

tax

reclaims

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

154,335

—

249,455

—

Dividends

and

interest

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

338,640

881,792

1,223,893

64,195

Capital

shares

sold

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

1,813,639

1,136,470

1,488,580

—

Prepaid

expenses

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

22,672

532,406

155,890

24,272

Total

Assets

246,779,594

434,823,986

987,224,566

30,403,706

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  

$

26,857,112

,

$

–

,

$

40,974,605

and

$

–

,

respectively

)

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

27,267,616

—

40,306,111

—

Due

to

custodian

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

—

—

—

26

Due

to

broker

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

223,515

114

28,794,383

150,176

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

2,575,967

—

10,484,954

35,876

Unrealized

depreciation

on

OTC

swaps

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

40,936

—

3,438,807

89,758

Variation

margin

on

futures

contracts

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

378,138

—

9,265,176

—

Payables:

–

–

–

–

Securities

purchased

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

160

—

85,062

—

Accrued

investment

advisory

fees

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

85,162

270,511

910,182

11,043

Accrued

distribution

fees—Class

N

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

2,297

8,554

7,223

1,607

Capital

shares

redeemed

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

—

328,794

1,434,111

—

Dividends

and

interest

payable

on

securities

sold

short

.........

27,084

—

22,359

924

Other

accrued

expenses

and

liabilities

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

75,528

163,066

8,984

52,021

Total

Liabilities

30,676,403

771,039

94,757,352

341,431

Net

Assets

$

216,103,191

$

434,052,947

$

892,467,214

$

30,062,275

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

214,333,189

$

422,243,384

$

1,207,034,867

$

27,109,145

Total

distributable

earnings

(loss)

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

1,770,002

11,809,563

(

314,567,653

)

2,953,130

Net

Assets

$

216,103,191

$

434,052,947

$

892,467,214

$

30,062,275

NET

ASSETS:

Class

I

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

$

110,246,361

$

357,512,898

$

361,874,369

$

11,001,477

Class

N

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

11,403,161

41,880,161

36,224,698

7,973,120

Class

R6

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

94,453,669

34,659,888

494,368,147

11,087,678

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

11,812,592

40,699,022

45,749,160

895,316

Class

N

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

1,227,612

4,869,431

4,629,548

650,568

Class

R6

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

10,128,790

3,924,677

62,188,570

901,176

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.33

$

8.78

$

7.91

$

12.29

Class

N

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

$

9.29

$

8.60

$

7.82

$

12.26

Class

R6

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

$

9.33

$

8.83

$

7.95

$

12.30

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

1,021,901

$

—

$

8,480,892

$

136,145

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

263

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

6,958,732

$

2,645,211

$

130,602

$

2,920,515

Affiliated

issuers

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

—

12,179,883

—

—

Interest

income

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

543,348

20,639,636

—

2,115,410

Total

Income

7,502,080

35,464,730

130,602

5,035,925

EXPENSES:

Investment

advisory

fees

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

964,952

8,426,414

—

1,111,103

Custody

fees

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

7,001

65,686

7,421

3,240

Administration

&

accounting

fees

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

37,908

397,137

36,554

47,602

Legal

fees

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

6,141

72,592

5,056

5,233

Audit

&

tax

fees

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

67,042

84,320

17,147

53,092

Shareholder

reporting

fees

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

13,552

80,177

13,985

12,507

Transfer

agent

fees

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

41,557

625,947

148,012

85,192

Trustee

fees

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

8,264

54,855

7,848

9,242

Distribution

fees—Class

N

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

7,190

77,087

22,804

29,906

Dividends

and

interest

on

securities

sold

short

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

3,071,872

1,011,957

—

181,462

Interest

expense

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

8,707

33,435

—

64,568

Recoupment

of

reimbursement

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

—

32,467

128

—

Registration

fees

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

31,077

42,943

54,285

57,127

Other

expenses

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

27,757

50,005

2,548

11,947

Total

Expenses

4,293,020

11,055,022

315,788

1,672,221

Less

expense

reimbursements

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

(129,487)

(26,483)

(18,389)

(109,717)

Net

Expenses

4,163,533

11,028,539

297,399

1,562,504

Net

Investment

Income

(Loss)

3,338,547

24,436,191

(166,797)

3,473,421

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

5,719,457

(6,860,736)

(11)

987,722

Transactions

in

investment

securities

of

affiliated

issuers

........

—

10,342

(3,578,097)

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(79,121)

(4,249)

—

40,867

Settlement

of

forward

foreign

currency

exchange

contracts

......

(942,872)

608,734

—

(32,912)

Expiration

or

closing

of

futures

contracts

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

(2,367,151)

(796,757)

—

—

Closed

short

positions

in

securities

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

(16,041,251)

5,729,990

—

(126,494)

Expiration

or

closing

of

swap

contracts

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

1,039,599

(59,722,616)

—

4,196,847

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

—

167,528

—

—

Net

realized

gain

(loss)

(12,671,339)

(60,867,764)

(3,578,108)

5,066,030

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

19,990,130

41,420,321

124

1,285,440

Investment

securities

of

affiliated

issuers

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

—

(7,739)

12,449,828

—

Foreign

currency

and

foreign

currency

transactions

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

(19,569)

(66,803)

—

(58,381)

Forward

foreign

currency

exchange

contracts

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

2,741,368

(1,267,134)

—

(8,729)

Futures

contracts

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

1,993,530

2,398,604

—

—

Short

positions

in

securities

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

(10,108,846)

(18,539,144)

—

(981,217)

Swap

contracts

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

1,716,741

30,065,386

—

(1,436,655)

Net

change

in

unrealized

appreciation

(depreciation)

16,313,354

54,003,491

12,449,952

(1,199,542)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

3,642,015

(6,864,273)

8,871,844

3,866,488

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

6,980,562

$

17,571,918

$

8,705,047

$

7,339,909

________________

†

Net

of

foreign

taxes

withheld

of

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

$

478,991

$

1,048,257

$

—

$

64,011

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

264

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

5,113,617

$

1,721,841

$

1,301,710

$

970,989

Affiliated

issuers

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

—

—

6,013,226

—

Interest

income

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

8,406,029

1,125,080

23,861,487

2,298,554

Interfund

lending

income

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

—

—

41,637

—

Total

Income

13,519,646

2,846,921

31,218,060

3,269,543

EXPENSES:

Investment

advisory

fees

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

3,281,642

744,937

7,715,883

1,139,259

Custody

fees

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

22,274

23,153

33,794

21,546

Administration

&

accounting

fees

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

140,612

35,150

346,454

37,054

Legal

fees

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

15,979

5,524

46,813

9,833

Audit

&

tax

fees

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

53,605

53,400

66,541

63,898

Shareholder

reporting

fees

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

23,191

12,979

117,115

13,761

Transfer

agent

fees

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

295,406

60,865

648,775

63,132

Trustee

fees

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

21,650

8,670

53,077

8,795

Distribution

fees—Class

N

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

20,258

10,638

78,019

5,503

Interest

expense

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

235,575

5,694

112,595

32,431

Registration

fees

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

60,969

37,799

75,464

31,403

Other

expenses

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

20,362

37,922

63,663

47,251

Total

Expenses

4,191,523

1,036,731

9,358,193

1,473,866

Less

expense

reimbursements

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

(59,337)

(149,054)

(60,531)

(166,828)

Net

Expenses

4,132,186

887,677

9,297,662

1,307,038

Net

Investment

Income

(Loss)

9,387,460

1,959,244

21,920,398

1,962,505

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

154,698

178,355

62,802

(27,860)

Transactions

in

investment

securities

of

affiliated

issuers

........

—

—

7,029

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(170,057)

(147,214)

(1,388,413)

(415,182)

Settlement

of

forward

foreign

currency

exchange

contracts

......

(279,713)

(874,228)

(4,499,635)

(1,001,775)

Expiration

or

closing

of

futures

contracts

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

11,823,130

(3,009,363)

440,651

(1,579,105)

Expiration

or

closing

of

swap

contracts

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

25,290,623

365,614

(5,952,526)

(1,218,866)

Net

realized

gain

(loss)

36,818,681

(3,486,836)

(11,330,092)

(4,242,788)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(150,085)

522,184

(14,304)

17,120

Investment

securities

of

affiliated

issuers

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

—

—

3,459

—

Foreign

currency

and

foreign

currency

transactions

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

(369,251)

228,843

423,939

32,887

Forward

foreign

currency

exchange

contracts

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

(1,226,612)

(942,726)

28,569,504

4,534,570

Futures

contracts

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

9,510,006

(1,473,628)

(30,208,128)

(4,416,438)

Swap

contracts

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

(3,623,500)

(1,045,564)

14,897,953

2,296,967

Net

change

in

unrealized

appreciation

(depreciation)

4,140,558

(2,710,891)

13,672,423

2,465,106

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

40,959,239

(6,197,727)

2,342,331

(1,777,682)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

50,346,699

$

(4,238,483)

$

24,262,729

$

184,823

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

8,085

$

26,653

$

6,405

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

265

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MULTI-

ASSET

FUND

*

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

2,790,284

$

5,191,902

$

2,030,741

$

271,207

Affiliated

issuers

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

—

—

7,144,649

—

Interest

income

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

1,597,365

4,421,402

9,658,754

217,632

Total

Income

4,387,649

9,613,304

18,834,144

488,839

EXPENSES:

Investment

advisory

fees

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

562,991

1,847,668

5,568,447

150,451

Custody

fees

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

11,847

5,786

13,831

4,810

Administration

&

accounting

fees

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

44,207

108,884

201,924

6,446

Legal

fees

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

5,892

17,213

34,022

606

Audit

&

tax

fees

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

70,643

53,201

67,842

49,029

Shareholder

reporting

fees

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

9,531

39,556

38,273

6,080

Transfer

agent

fees

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

68,694

228,628

199,563

16,292

Trustee

fees

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

8,306

18,155

31,141

3,880

Distribution

fees—Class

N

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

12,978

54,297

43,326

8,206

Dividends

and

interest

on

securities

sold

short

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

209,988

—

733,040

—

Interest

expense

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

4,449

13,518

322,217

12,321

Registration

fees

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

47,313

65,097

51,103

26,766

Tax

expense

(Note

3

)

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

863

—

—

—

Other

expenses

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

5,747

6,905

56,337

448

Total

Expenses

1,063,449

2,458,908

7,361,066

285,335

Less

expense

reimbursements

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

(121,088)

(97,526)

(73,000)

(92,304)

Net

Expenses

942,361

2,361,382

7,288,066

193,031

Net

Investment

Income

(Loss)

3,445,288

7,251,922

11,546,078

295,808

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

544,016

471,067

1,382,520

937

Transactions

in

investment

securities

of

affiliated

issuers

........

—

—

(352)

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(52,341)

79,996

(213,427)

11,735

Settlement

of

forward

foreign

currency

exchange

contracts

......

632,994

—

(8,555,663)

(23,001)

Expiration

or

closing

of

futures

contracts

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

(3,030,582)

24,646,042

(12,562,580)

—

Closed

short

positions

in

securities

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

(975,580)

—

(2,035,520)

—

Expiration

or

closing

of

swap

contracts

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

(615,390)

—

7,143,519

1,707,257

Net

realized

gain

(loss)

(3,496,883)

25,197,105

(14,841,503)

1,696,928

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

11,458,490

50,031

6,092,037

(2,491)

Investment

securities

of

affiliated

issuers

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

—

—

(1,485)

—

Foreign

currency

and

foreign

currency

transactions

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

(26,690)

750

(302,993)

(5,962)

Forward

foreign

currency

exchange

contracts

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

745,468

—

16,436,255

(54,183)

Futures

contracts

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

(98,255)

(42,291,889)

19,745,441

—

Short

positions

in

securities

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

(2,764,654)

—

(4,461,773)

—

Swap

contracts

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

(65,730)

—

13,516,031

168,393

Net

change

in

unrealized

appreciation

(depreciation)

9,248,629

(42,241,108)

51,023,513

105,757

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

5,751,746

(17,044,003)

36,182,010

1,802,685

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

9,197,034

$

(9,792,081)

$

47,728,088

$

2,098,493

________________

†

Net

of

foreign

taxes

withheld

of

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

$

166,430

$

33,719

$

133,404

$

—

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

266

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

3,338,547

$

1,454,014

$

24,436,191

$

10,248,801

Net

realized

gain

(loss)

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

(12,671,339)

7,658,320

(60,867,764)

89,234,550

Net

change

in

unrealized

appreciation

(depreciation)

.......

16,313,354

23,324,564

54,003,491

(145,330,183)

Net increase

(decrease)

in

net

assets

resulting

from

operations

6,980,562

32,436,898

17,571,918

(45,846,832)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

—

—

(983,966)

Class

N

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

—

—

—

(63,776)

Class

R6

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

—

—

—

(438,704)

Total

distributions

—

—

—

(1,486,446)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

7,216,330

28,234,985

374,357,038

521,817,437

Reinvestment

of

distributions

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

—

—

—

742,297

Cost

of

shares

redeemed

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

(5,613,096)

(30,094,366)

(222,233,654)

(395,246,621)

Net

increase

(decrease)

from

capital

tran

sactions

1,603,234

(1,859,381)

152,123,384

127,313,113

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

219,443

2,322,031

8,884,451

38,988,288

Reinvestment

of

distributions

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

—

—

—

62,274

Cost

of

shares

redeemed

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

(310,493)

(5,355,159)

(17,076,905)

(15,589,646)

Net

increase

(decrease)

from

capital

transactions

(91,050)

(3,033,128)

(8,192,454)

23,460,916

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

7,369,295

21,868,314

96,160,481

200,615,218

Reinvestment

of

distributions

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

—

—

—

277,229

Cost

of

shares

redeemed

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

(8,212,365)

(24,517,916)

(74,659,286)

(87,170,719)

Net

increase

(decrease)

from

capital

transactions

(843,070)

(2,649,602)

21,501,195

113,721,728

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

669,114

(7,542,111)

165,432,125

264,495,757

Total

increase

(decrease)

in

net

assets

7,649,676

24,894,787

183,004,043

217,162,479

NET

ASSETS:

Beginning

of

period

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

161,646,927

136,752,140

1,542,713,854

1,325,551,375

End

of

period

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

$

169,296,603

$

161,646,927

$

1,725,717,897

$

1,542,713,854

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

267

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

*

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

5,768,614

6,189,769

87,011,068

76,251,849

Shares

sold

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

754,643

3,141,915

31,751,486

44,294,939

Shares

issued

on

reinvestment

of

distributions

...........

—

—

—

63,662

Shares

redeemed

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

(592,775)

(3,563,070)

(18,908,194)

(33,599,382)

Shares

outstanding,

end

of

period

5,930,482

5,768,614

99,854,360

87,011,068

CLASS

N

Shares

outstanding,

beginning

of

period

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

630,223

985,910

5,682,394

3,685,631

Shares

sold

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

23,513

266,631

756,297

3,318,631

Shares

issued

on

reinvestment

of

distributions

...........

—

—

—

5,345

Shares

redeemed

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

(33,639)

(622,318)

(1,454,730)

(1,327,213)

Shares

outstanding,

end

of

period

620,097

630,223

4,983,961

5,682,394

CLASS

R6

Shares

outstanding,

beginning

of

period

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

10,635,041

10,881,765

39,270,687

29,636,579

Shares

sold

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

772,864

2,499,526

8,173,184

17,048,380

Shares

issued

on

reinvestment

of

distributions

...........

—

—

—

23,796

Shares

redeemed

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

(866,678)

(2,746,250)

(6,355,772)

(7,438,068)

Shares

outstanding,

end

of

period

10,541,227

10,635,041

41,088,099

39,270,687

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

268

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

(166,797)

$

12,616,695

$

3,473,421

$

487,788

Net

realized

gain

(loss)

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

(3,578,108)

(1,985,929)

5,066,030

17,987,376

Net

change

in

unrealized

appreciation

(depreciation)

.......

12,449,952

(1,847,154)

(1,199,542)

3,290,520

Net increase

(decrease)

in

net

assets

resulting

from

operations

8,705,047

8,783,612

7,339,909

21,765,684

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(12,924,414)

—

(6,276,832)

Class

N

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

—

(441,524)

—

(1,346,438)

Class

R6

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

—

(413,813)

—

(2,153,069)

Total

distributions

—

(13,779,751)

—

(9,776,339)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

184,788,862

194,581,642

60,377,433

161,528,758

Reinvestment

of

distributions

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

—

12,861,488

—

6,220,864

Cost

of

shares

redeemed

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

(66,832,736)

(52,183,714)

(59,752,692)

(92,245,889)

Net

increase

(decrease)

from

capital

transactions

117,956,126

155,259,416

624,741

75,503,733

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

17,647,358

10,308,609

11,336,128

51,353,961

Reinvestment

of

distributions

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

—

395,667

—

1,318,232

Cost

of

shares

redeemed

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

(4,666,861)

(5,991,291)

(14,131,264)

(47,352,895)

Net

increase

(decrease)

from

capital

transactions

12,980,497

4,712,985

(2,795,136)

5,319,298

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

100,045

566,450

29,951,224

39,880,808

Reinvestment

of

distributions

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

—

32,337

—

2,149,176

Cost

of

shares

redeemed

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

(4,579,141)

(459,754)

(7,598,742)

(10,344,821)

Net

increase

(decrease)

from

capital

transactions

(4,479,096)

139,033

22,352,482

31,685,163

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

126,457,527

160,111,434

20,182,087

112,508,194

Total

increase

(decrease)

in

net

assets

135,162,574

155,115,295

27,521,996

124,497,539

NET

ASSETS:

Beginning

of

period

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

188,680,494

33,565,199

179,185,023

54,687,484

End

of

period

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

$

323,843,068

$

188,680,494

$

206,707,019

$

179,185,023

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

269

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

15,429,691

2,500,544

13,224,680

4,481,423

Shares

sold

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

15,976,016

16,196,387

6,764,245

18,732,347

Shares

issued

on

reinvestment

of

distributions

...........

—

1,118,390

—

721,678

Shares

redeemed

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

(5,798,245)

(4,385,630)

(6,750,279)

(10,710,768)

Shares

outstanding,

end

of

period

25,607,462

15,429,691

13,238,646

13,224,680

CLASS

N

Shares

outstanding,

beginning

of

period

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

567,533

165,948

2,790,246

2,215,198

Shares

sold

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

1,543,700

869,901

1,295,381

5,985,898

Shares

issued

on

reinvestment

of

distributions

...........

—

34,466

—

155,269

Shares

redeemed

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

(405,264)

(502,782)

(1,622,790)

(5,566,119)

Shares

outstanding,

end

of

period

1,705,969

567,533

2,462,837

2,790,246

CLASS

R6

Shares

outstanding,

beginning

of

period

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

446,722

436,452

4,410,230

805,243

Shares

sold

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

8,606

46,993

3,343,248

4,553,523

Shares

issued

on

reinvestment

of

distributions

...........

—

2,807

—

248,173

Shares

redeemed

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

(400,000)

(39,530)

(848,242)

(1,196,709)

Shares

outstanding,

end

of

period

55,328

446,722

6,905,236

4,410,230

Statements

of

Changes

in

Net

Assets

(Continued)

270

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

9,387,460

$

714,867

$

1,959,244

$

1,016,516

Net

realized

gain

(loss)

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

36,818,681

49,300,133

(3,486,836)

6,124,889

Net

change

in

unrealized

appreciation

(depreciation)

.......

4,140,558

1,565,649

(2,710,891)

7,328,512

Net increase

(decrease)

in

net

assets

resulting

from

operations

50,346,699

51,580,649

(4,238,483)

14,469,917

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

(69,421,677)

—

(7,653,485)

Class

N

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

—

(1,615,998)

—

(521,926)

Class

R6

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

—

(855,304)

—

(2,950,237)

Total

distributions

—

(71,892,979)

—

(11,125,648)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

153,678,490

577,335,870

18,692,740

140,398,205

Reinvestment

of

distributions

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

—

64,695,538

—

7,646,245

Cost

of

shares

redeemed

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

(142,298,138)

(355,208,306)

(96,576,549)

(24,654,888)

Net

increase

(decrease)

from

capital

transactions

11,380,352

286,823,102

(77,883,809)

123,389,562

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

11,883,942

11,460,850

3,558,302

7,232,994

Reinvestment

of

distributions

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

—

1,569,643

—

517,179

Cost

of

shares

redeemed

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

(4,675,840)

(10,294,244)

(2,780,781)

(1,442,119)

Net

increase

(decrease)

from

capital

transactions

7,208,102

2,736,249

777,521

6,308,054

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

1,648,589

3,724,868

24,286,156

25,588,871

Reinvestment

of

distributions

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

—

816,662

—

1,541,995

Cost

of

shares

redeemed

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

(1,698,423)

(14,070,856)

(8,276,056)

(7,415,398)

Net

increase

(decrease)

from

capital

transactions

(49,834)

(9,529,326)

16,010,100

19,715,468

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

18,538,620

280,030,025

(61,096,188)

149,413,084

Total

increase

(decrease)

in

net

assets

68,885,319

259,717,695

(65,334,671)

152,757,353

NET

ASSETS:

Beginning

of

period

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

564,655,670

304,937,975

179,974,765

27,217,412

End

of

period

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

$

633,540,989

$

564,655,670

$

114,640,094

$

179,974,765

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

271

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

42,486,728

22,660,129

11,930,178

798,180

Shares

sold

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

11,436,907

41,190,658

1,757,507

12,594,098

Shares

issued

on

reinvestment

of

distributions

...........

—

5,163,251

—

723,391

Shares

redeemed

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

(10,649,462)

(26,527,310)

(9,116,254)

(2,185,491)

Shares

outstanding,

end

of

period

43,274,173

42,486,728

4,571,431

11,930,178

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,089,869

913,522

693,995

72,073

Shares

sold

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

899,715

838,701

326,442

702,793

Shares

issued

on

reinvestment

of

distributions

...........

—

127,717

—

49,873

Shares

redeemed

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

(352,120)

(790,071)

(268,869)

(130,744)

Shares

outstanding,

end

of

period

1,637,464

1,089,869

751,568

693,995

CLASS

R6

Shares

outstanding,

beginning

of

period

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

521,296

1,207,353

4,014,101

2,147,926

Shares

sold

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

122,005

267,646

2,261,960

2,399,970

Shares

issued

on

reinvestment

of

distributions

...........

—

64,712

—

145,471

Shares

redeemed

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

(125,419)

(1,018,415)

(771,539)

(679,266)

Shares

outstanding,

end

of

period

517,882

521,296

5,504,522

4,014,101

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

272

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

21,920,398

$

4,138,357

$

1,962,505

$

122,546

Net

realized

gain

(loss)

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

(11,330,092)

343,310,144

(4,242,788)

25,262,537

Net

change

in

unrealized

appreciation

(depreciation)

.......

13,672,423

17,428,117

2,465,106

3,871,281

Net increase

(decrease)

in

net

assets

resulting

from

operations

24,262,729

364,876,618

184,823

29,256,364

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(156,421,893)

—

(9,939,643)

Class

N

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

—

(7,583,288)

—

(410,857)

Class

R6

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

—

(19,712,879)

—

(3,651,151)

Total

distributions

—

(183,718,060)

—

(14,001,651)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

240,491,888

855,979,584

17,328,150

158,000,767

Reinvestment

of

distributions

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

—

123,757,286

—

9,752,600

Cost

of

shares

redeemed

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

(330,024,057)

(706,257,428)

(57,310,086)

(80,999,983)

Net

increase

(decrease)

from

capital

transactions

(89,532,169)

273,479,442

(39,981,936)

86,753,384

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

12,102,186

40,962,020

486,440

22,522,870

Reinvestment

of

distributions

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

—

7,378,524

—

410,137

Cost

of

shares

redeemed

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

(12,078,521)

(42,316,387)

(1,032,163)

(20,612,615)

Net

increase

(decrease)

from

capital

transactions

23,665

6,024,157

(545,723)

2,320,392

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

31,535,815

132,705,451

26,936,108

33,151,969

Reinvestment

of

distributions

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

—

7,120,170

—

3,634,444

Cost

of

shares

redeemed

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

(41,510,891)

(80,207,618)

(9,587,954)

(17,606,902)

Net

increase

(decrease)

from

capital

transactions

(9,975,076)

59,618,003

17,348,154

19,179,511

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(99,483,580)

339,121,602

(23,179,505)

108,253,287

Total

increase

(decrease)

in

net

assets

(75,220,851)

520,280,160

(22,994,682)

123,508,000

NET

ASSETS:

Beginning

of

period

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

1,540,083,364

1,019,803,204

183,067,045

59,559,045

End

of

period

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

$

1,464,862,513

$

1,540,083,364

$

160,072,363

$

183,067,045

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

273

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

*

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

150,640,327

119,912,936

15,784,683

6,090,044

Shares

sold

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

28,199,209

92,885,302

2,141,399

17,770,919

Shares

issued

on

reinvestment

of

distributions

...........

—

14,307,201

—

1,175,012

Shares

redeemed

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

(38,601,092)

(76,465,112)

(7,174,312)

(9,251,292)

Shares

outstanding,

end

of

period

140,238,444

150,640,327

10,751,770

15,784,683

CLASS

N

Shares

outstanding,

beginning

of

period

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

7,438,592

6,791,239

585,351

380,076

Shares

sold

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

1,403,646

4,427,942

59,033

2,432,234

Shares

issued

on

reinvestment

of

distributions

...........

—

859,968

—

49,059

Shares

redeemed

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

(1,425,990)

(4,640,557)

(128,934)

(2,276,018)

Shares

outstanding,

end

of

period

7,416,248

7,438,592

515,450

585,351

CLASS

R6

Shares

outstanding,

beginning

of

period

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

18,857,750

13,840,246

5,531,627

3,296,965

Shares

sold

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

3,686,781

13,450,710

3,335,378

3,842,745

Shares

issued

on

reinvestment

of

distributions

...........

—

821,242

—

436,832

Shares

redeemed

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

(4,874,349)

(9,254,448)

(1,174,630)

(2,044,915)

Shares

outstanding,

end

of

period

17,670,182

18,857,750

7,692,375

5,531,627

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

274

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MULTI-ASSET

FUND

*

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

3,445,288

$

3,667,806

$

7,251,922

$

1,470,142

Net

realized

gain

(loss)

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

(3,496,883)

(5,755,127)

25,197,105

22,059,407

Net

change

in

unrealized

appreciation

(depreciation)

.......

9,248,629

(14,086,298)

(42,241,108)

14,352,416

Net increase

(decrease)

in

net

assets

resulting

from

operations

9,197,034

(16,173,619)

(9,792,081)

37,881,965

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(6,314,647)

—

(33,303,715)

Class

N

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

—

(557,782)

—

(3,596,724)

Class

R6

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

—

(2,404,191)

—

(2,857,711)

Total

distributions

—

(9,276,620)

—

(39,758,150)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

19,945,046

72,900,278

98,218,869

509,819,069

Reinvestment

of

distributions

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

—

4,059,089

—

32,944,319

Cost

of

shares

redeemed

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

(9,725,749)

(68,048,548)

(123,665,546)

(365,099,249)

Net

increase

(decrease)

from

capital

transactions

10,219,297

8,910,819

(25,446,677)

177,664,139

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

2,648,440

8,999,250

16,811,563

33,560,689

Reinvestment

of

distributions

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

—

538,964

—

3,596,724

Cost

of

shares

redeemed

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

(685,610)

(5,121,711)

(14,074,547)

(29,051,812)

Net

increase

(decrease)

from

capital

transactions

1,962,830

4,416,503

2,737,016

8,105,601

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

60,168,665

40,488,257

8,607,990

34,316,049

Reinvestment

of

distributions

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

—

2,404,191

—

2,850,875

Cost

of

shares

redeemed

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

(8,447,149)

(15,213,727)

(3,098,695)

(8,114,335)

Net

increase

(decrease)

from

capital

transactions

51,721,516

27,678,721

5,509,295

29,052,589

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

63,903,643

41,006,043

(17,200,366)

214,822,329

Total

increase

(decrease)

in

net

assets

73,100,677

15,555,804

(26,992,447)

212,946,144

NET

ASSETS:

Beginning

of

period

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

143,002,514

127,446,710

461,045,394

248,099,250

End

of

period

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

$

216,103,191

$

143,002,514

$

434,052,947

$

461,045,394

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

275

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

MULTI-ASSET

FUND

*

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

*

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

10,693,455

9,928,770

43,761,998

26,596,501

Shares

sold

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

2,180,448

7,366,862

10,911,542

51,808,420

Shares

issued

on

reinvestment

of

distributions

...........

—

458,654

—

3,778,018

Shares

redeemed

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

(1,061,311)

(7,060,831)

(13,974,518)

(38,420,941)

Shares

outstanding,

end

of

period

11,812,592

10,693,455

40,699,022

43,761,998

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,015,293

556,832

4,589,425

3,735,120

Shares

sold

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

287,287

911,972

1,908,068

3,528,389

Shares

issued

on

reinvestment

of

distributions

...........

—

61,107

—

420,670

Shares

redeemed

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

(74,968)

(514,618)

(1,628,062)

(3,094,754)

Shares

outstanding,

end

of

period

1,227,612

1,015,293

4,869,431

4,589,425

CLASS

R6

Shares

outstanding,

beginning

of

period

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

4,499,554

1,609,210

3,321,303

430,409

Shares

sold

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

6,557,398

4,164,895

947,119

3,441,415

Shares

issued

on

reinvestment

of

distributions

...........

—

271,967

—

325,071

Shares

redeemed

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

(928,162)

(1,546,518)

(343,745)

(875,592)

Shares

outstanding,

end

of

period

10,128,790

4,499,554

3,924,677

3,321,303

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

276

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

OPERATIONS:

Net

investment

income

(loss)

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

$

11,546,078

$

(876,375)

$

295,808

$

(46,972)

Net

realized

gain

(loss)

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

(14,841,503)

252,813,600

1,696,928

876,432

Net

change

in

unrealized

appreciation

(depreciation)

.......

51,023,513

(42,344,878)

105,757

470,576

Net increase

(decrease)

in

net

assets

resulting

from

operations

47,728,088

209,592,347

2,098,493

1,300,036

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

(63,228,460)

—

(196,621)

Class

N

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

—

(6,367,403)

—

(100,622)

Class

R6

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

—

(94,082,119)

—

(225,621)

Total

distributions

—

(163,677,982)

—

(522,864)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

69,048,588

237,851,533

1,517,831

9,380,014

Reinvestment

of

distributions

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

—

60,326,832

—

184,415

Cost

of

shares

redeemed

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

(48,687,388)

(233,719,578)

(729,611)

(322,648)

Net

increase

(decrease)

from

capital

transactions

20,361,200

64,458,787

788,220

9,241,781

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

6,619,868

33,082,015

2,960,750

5,865,960

Reinvestment

of

distributions

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

—

5,576,392

—

89,042

Cost

of

shares

redeemed

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

(4,313,548)

(25,998,628)

(517,800)

(1,330,063)

Net

increase

(decrease)

from

capital

transactions

2,306,320

12,659,779

2,442,950

4,624,939

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

61,089,566

160,336,346

—

—

Reinvestment

of

distributions

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

—

88,280,427

—

288

Cost

of

shares

redeemed

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

(76,474,025)

(192,398,557)

—

—

Net

increase

(decrease)

from

capital

transactions

(15,384,459)

56,218,216

—

288

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

7,283,061

133,336,782

3,231,170

13,867,008

Total

increase

(decrease)

in

net

assets

55,011,149

179,251,147

5,329,663

14,644,180

NET

ASSETS:

Beginning

of

period

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

837,456,065

658,204,918

24,732,612

10,088,432

End

of

period

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

$

892,467,214

$

837,456,065

$

30,062,275

$

24,732,612

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

277

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

*

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2023

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

43,075,480

34,514,139

829,442

50,000

Shares

sold

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

9,059,663

27,913,018

128,521

793,457

Shares

issued

on

reinvestment

of

distributions

...........

—

8,097,561

—

16,480

Shares

redeemed

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

(6,385,983)

(27,449,238)

(62,647)

(30,495)

Shares

outstanding,

end

of

period

45,749,160

43,075,480

895,316

829,442

CLASS

N

Shares

outstanding,

beginning

of

period

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

4,317,987

2,732,084

440,938

50,000

Shares

sold

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

879,391

3,865,711

253,319

510,761

Shares

issued

on

reinvestment

of

distributions

...........

—

755,609

—

7,972

Shares

redeemed

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

(567,830)

(3,035,417)

(43,689)

(127,795)

Shares

outstanding,

end

of

period

4,629,548

4,317,987

650,568

440,938

CLASS

R6

Shares

outstanding,

beginning

of

period

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

64,261,848

56,170,219

901,176

901,150

Shares

sold

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

7,996,977

18,894,649

—

—

Shares

issued

on

reinvestment

of

distributions

...........

—

11,802,196

—

26

Shares

redeemed

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

(10,070,255)

(22,605,216)

—

—

Shares

outstanding,

end

of

period

62,188,570

64,261,848

901,176

901,176

*

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

278

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

**

AQR

MULTI-

ASSET

FUND

**

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

6,980,562

$

9,197,034

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

Payments

to

purchase

securities

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

(94,968,403)

(104,804,946)

Payments

to

cover

short

positions

in

securities

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

(152,386,457)

(21,264,473)

Proceeds

from

sale

of

securities

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

80,460,697

60,748,880

Proceeds

from

short

positions

in

securities

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

173,401,441

27,391,297

(Purchases)

sales

of

short-term

investments,

net

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

2,373,918

(19,089,787)

Realized

(gain)

loss

on

investments

in

securities

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

(5,719,457)

(544,016)

Realized

(gain)

loss

on

short

positions

in

securities

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

16,041,251

975,580

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

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

(19,990,130)

(11,458,490)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

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

10,108,846

2,764,654

Amortization

(accretion)

of

bond

premium

(discount)

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

(543,348)

(1,529,791)

(Increases)

decreases

in

operating

assets:

–

–

Due

from

brokers

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

(230,631)

98,768

Deposits

with

brokers

for

futures

contracts

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

(4,307,000)

(2,207,670)

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

(1,713,319)

(806,274)

Unrealized

appreciation

on

OTC

swaps

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

56,909

24,794

Deposits

for

securities

sold

short

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

(12,243,876)

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

60,044

—

Variation

margin

on

centrally

cleared

swaps

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

(16,929)

—

Variation

margin

on

futures

contracts

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

(252,402)

(669,305)

Foreign

tax

reclaim

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

(98,726)

(58,955)

Dividends

and

Interest

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

(170,978)

(165,846)

Prepaid

expenses

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

8,633

20,840

Increases

(decreases)

in

operating

liabilities

–

–

Due

to

broker

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

284,132

223,263

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

(1,028,049)

60,806

Unrealized

depreciation

on

OTC

swaps

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

15,667

40,936

Variation

margin

on

centrally

cleared

swaps

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

(40,589)

—

Variation

margin

on

futures

contracts

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

1,193,225

(163,011)

Accrued

investment

advisory

fees

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

21,119

42,422

Accrued

distribution

fees—Class

N

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

(43)

421

Dividends

and

Interest

payable

on

securities

sold

short

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

119,226

13,264

Other

accrued

expenses

and

liabilities

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

(52,623)

(48,470)

Net

cash

provided

by

(used

in)

operating

activities

$

(2,637,290)

$

(61,208,075)

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

Proceeds

from

shares

sold

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

14,853,854

82,634,758

Payments

on

shares

redeemed

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

(14,045,860)

(20,553,292)

Due

to

custodian

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

2,350,730

(350,786)

Net

cash

provided

by

(used

in)

financing

activities

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

$

3,158,724

$

61,730,680

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

521,434

522,605

Cash,

beginning

of

period

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

172,871

482,418

Cash,

end

of

period^

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

$

694,305

$

1,005,023

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$390,886

and

$88,716.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

^

The

following

is

a

reconciliation

of

cash

and

cash

denominated

in

foreign

currencies

reported

within

the

Statements

of

Assets

and

Liabilities

that

sum

to

the

total

of

the

same

such

amounts

disclosed

in

the

Statement

of

Cash

Flows:

FUND

CASH

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

TOTAL

CASH

AND

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

AQR

Alternative

Risk

Premia

Fund

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

$

—

$

694,305

$

694,305

AQR

Multi-Asset

Fund

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

2,028

1,002,995

1,005,023

280

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

9.47

0.19

0.22

0.41

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.56

0.08

1.83

1.91

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.89

(0.05)

1.03

0.98

(0.31)

—

—

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.89

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.00)

7

(0.75)

(0.75)

(0.01)

—

—

(0.01)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

9.40

0.18

0.22

0.40

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.53

0.05

1.82

1.87

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.86

(0.06)

1.02

0.96

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.88

(0.04)

(1.84)

(1.88)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.03)

(0.74)

(0.77)

(0.01)

—

—

(0.01)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

9.51

0.20

0.21

0.41

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.58

0.09

1.84

1.93

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.03)

1.02

0.99

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.91

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.02

0.01

(0.75)

(0.74)

(0.01)

—

—

(0.01)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.69

0.17

(0.03)

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.10

0.08

9

(0.48)

(0.40)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.46

(0.12)

0.84

0.72

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.30

(0.03)

2.37

2.34

(0.15)

—

(0.03)

(0.18)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.75

0.08

0.67

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.06

0.14

0.20

(0.57)

—

—

(0.57)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.68

0.15

(0.03)

0.12

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.12

0.07

9

(0.50)

(0.43)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.48

(0.15)

0.84

0.69

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.06)

2.38

2.32

(0.12)

—

(0.03)

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.76

0.05

0.67

0.72

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.04

0.14

0.18

(0.54)

—

—

(0.54)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.69

0.17

(0.03)

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.08

0.10

9

(0.48)

(0.38)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

11.44

(0.11)

0.84

0.73

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.28

(0.01)

2.36

2.35

(0.15)

—

(0.04)

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.73

0.12

0.63

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.08

0.13

0.21

(0.58)

—

—

(0.58)

281

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

9.88

4.33%

$

58,605

5.39%

5.23%

1.40%

4.10%

87%

$

9.47

25.26%

$

54,627

3.30%

3.12%

1.40%

0.91%

262%

$

7.56

14.25%

$

46,808

3.09%

2.79%

1.40%

(0.62)%

179%

$

6.89

(20.95)%

$

61,080

3.31%

3.20%

1.41%

(0.31)%

232%

$

8.89

(3.08)%

$

144,245

3.60%

3.55%

1.40%

0.58%

6

192%

$

9.25

(7.51)%

$

260,990

3.40%

8

3.32%

1.40%

(0.00)%

253%

$

9.80

4.26%

$

6,077

5.64%

5.48%

1.65%

3.85%

87%

$

9.40

24.83%

$

5,926

3.56%

3.37%

1.65%

0.58%

262%

$

7.53

14.03%

$

7,422

3.35%

3.04%

1.65%

(0.78)%

179%

$

6.86

(21.20)%

$

6,503

3.57%

3.45%

1.66%

(0.51)%

232%

$

8.88

(3.24)%

$

8,989

3.85%

3.80%

1.65%

0.28%

6

192%

$

9.23

(7.72)%

$

11,467

3.64%

8

3.55%

1.63%

(0.27)%

253%

$

9.92

4.31%

$

104,615

5.29%

5.13%

1.30%

4.20%

87%

$

9.51

25.46%

$

101,094

3.21%

3.02%

1.30%

1.08%

262%

$

7.58

14.31%

$

82,522

3.00%

2.69%

1.30%

(0.43)%

179%

$

6.91

(20.90)%

$

54,859

3.22%

3.10%

1.31%

(0.24)%

232%

$

8.91

(2.93)%

$

82,300

3.51%

3.45%

1.30%

0.53%

6

192%

$

9.27

(7.41)%

$

98,967

3.31%

8

3.23%

1.30%

0.06%

253%

$

11.83

1.20%

$

1,180,963

1.33%

1.33%

1.20%

2.88%

84%

$

11.69

(3.29)%

$

1,017,383

1.31%

1.30%

1.20%

0.68%

9

164%

$

12.10

6.27%

$

922,765

1.51%

1.47%

1.20%

(0.98)%

518%

$

11.46

25.21%

$

611,741

2.10%

2.04%

1.20%

(0.29)%

598%

$

9.30

8.53%

$

464,186

2.06%

1.98%

1.20%

0.88%

361%

$

8.75

2.19%

$

319,152

1.96%

1.92%

1.20%

0.66%

390%

$

11.80

1.03%

$

58,819

1.58%

1.58%

1.45%

2.61%

84%

$

11.68

(3.54)%

$

66,385

1.57%

1.55%

1.45%

0.58%

9

164%

$

12.12

5.99%

$

44,676

1.76%

1.72%

1.45%

(1.22)%

518%

$

11.48

24.96%

$

34,599

2.35%

2.29%

1.45%

(0.60)%

598%

$

9.31

8.21%

$

55,694

2.30%

2.22%

1.44%

0.52%

361%

$

8.76

2.01%

$

66,251

2.21%

2.17%

1.45%

0.44%

390%

$

11.83

1.20%

$

485,936

1.23%

1.23%

1.10%

2.97%

84%

$

11.69

(3.13)%

$

458,946

1.22%

1.20%

1.10%

0.81%

9

164%

$

12.08

6.37%

$

358,110

1.42%

1.37%

1.10%

(0.88)%

518%

$

11.44

25.36%

$

232,201

2.00%

1.94%

1.10%

(0.10)%

598%

$

9.28

8.64%

$

19,077

1.96%

1.88%

1.10%

1.27%

361%

$

8.73

2.41%

$

13,654

1.87%

1.82%

1.10%

0.79%

390%

282

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.47

(0.01)

0.38

0.37

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.82

1.43

0.17

10

1.60

(0.93)

(0.02)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.57

0.54

1.11

(0.51)

(0.15)

—

(0.66)

FOR

THE

PERIOD

6/08/20

11

-12/31/20

$

10.00

0.23

0.34

0.57

(0.20)

—

—

(0.20)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.45

(0.02)

0.36

0.34

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.80

0.95

0.62

10

1.57

(0.90)

(0.02)

—

(0.92)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.75

0.33

1.08

(0.50)

(0.15)

—

(0.65)

FOR

THE

PERIOD

6/08/20

11

-12/31/20

$

10.00

0.15

0.41

0.56

(0.19)

—

—

(0.19)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.49

(0.00)

7

0.36

0.36

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.83

0.91

0.70

10

1.61

(0.93)

(0.02)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

10.37

0.51

0.62

1.13

(0.52)

(0.15)

—

(0.67)

FOR

THE

PERIOD

6/08/20

11

-12/31/20

$

10.00

0.18

0.39

0.57

(0.20)

—

—

(0.20)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.78

0.15

0.22

0.37

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.32

0.03

1.95

1.98

(0.52)

—

—

(0.52)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.31

(0.09)

1.20

1.11

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.20

(0.02)

(1.77)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.76

0.13

(1.34)

(1.21)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.04

(1.48)

(1.44)

(0.05)

—

—

(0.05)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.65

0.14

0.21

0.35

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.21

0.01

1.93

1.94

(0.50)

—

—

(0.50)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.23

(0.10)

1.18

1.08

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.12

(0.03)

(1.76)

(1.79)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.70

0.12

(1.35)

(1.23)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.21

0.00

7

(1.46)

(1.46)

(0.05)

—

—

(0.05)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.82

0.16

0.21

0.37

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.35

0.06

1.94

2.00

(0.53)

—

—

(0.53)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.08)

1.21

1.13

—

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.22

(0.00)

7

(1.80)

(1.80)

—

(1.10)

—

(1.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.77

0.11

(1.31)

(1.20)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.05

(1.48)

(1.43)

(0.05)

—

—

(0.05)

283

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

11.84

3.23%

$

303,066

0.21%

0.20%

0.20%

(0.10)%

22%

$

11.47

14.69%

$

177,048

0.29%

0.20%

0.20%

11.92%

48%

$

10.82

10.66%

$

27,048

1.03%

8

0.20%

0.20%

5.11%

14%

$

10.37

5.71%

$

15,645

1.31%

8

0.20%

0.20%

3.91%

14%

$

11.79

2.97%

$

20,121

0.46%

0.45%

0.45%

(0.36)%

22%

$

11.45

14.49%

$

6,499

0.52%

0.45%

0.45%

7.90%

48%

$

10.80

10.37%

$

1,792

1.15%

8

0.45%

0.45%

6.69%

14%

$

10.37

5.61%

$

533

1.87%

8

0.45%

0.45%

2.56%

14%

$

11.85

3.13%

$

656

0.13%

0.10%

0.10%

(0.01)%

22%

$

11.49

14.84%

$

5,133

0.22%

0.10%

0.10%

7.65%

48%

$

10.83

10.84%

$

4,725

0.93%

8

0.10%

0.10%

4.55%

14%

$

10.37

5.75%

$

4,492

1.62%

8

0.10%

0.10%

3.06%

14%

$

9.15

4.21%

$

121,092

1.65%

1.54%

1.30%

3.43%

84%

$

8.78

27.22%

$

116,154

1.62%

1.47%

1.30%

0.35%

319%

$

7.32

17.64%

$

32,802

1.87%

1.48%

1.30%

(1.22)%

282%

$

6.31

(19.52)%

$

38,498

1.73%

1.63%

1.30%

(0.20)%

312%

$

9.20

(11.27)%

$

208,679

2.23%

2.21%

1.27%

1.31%

263%

$

10.76

(11.73)%

$

708,592

1.99%

1.99%

1.24%

0.32%

175%

$

9.00

4.05%

$

22,157

1.90%

1.79%

1.55%

3.16%

84%

$

8.65

27.03%

$

24,133

1.88%

1.72%

1.55%

0.12%

319%

$

7.21

17.38%

$

15,968

2.13%

1.73%

1.55%

(1.45)%

282%

$

6.23

(19.70)%

$

10,040

2.03%

1.88%

1.55%

(0.33)%

312%

$

9.12

(11.52)%

$

14,129

2.50%

2.49%

1.55%

1.20%

263%

$

10.70

(11.94)%

$

209,290

2.27%

2.27%

1.53%

0.02%

175%

$

9.19

4.20%

$

63,458

1.55%

1.44%

1.20%

3.57%

84%

$

8.82

27.33%

$

38,898

1.53%

1.37%

1.20%

0.72%

319%

$

7.35

17.93%

$

5,917

1.79%

1.38%

1.20%

(1.13)%

282%

$

6.32

(19.61)%

$

4,758

1.67%

1.53%

1.20%

(0.01)%

312%

$

9.22

(11.17)%

$

38,112

2.15%

2.14%

1.20%

1.05%

263%

$

10.77

(11.65)%

$

206,044

1.93%

1.93%

1.18%

0.44%

175%

284

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2023

$

12.81

0.21

0.93

1.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.31

0.02

2.29

2.31

(1.32)

(0.49)

—

(1.81)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.39

(0.14)

3.06

2.92

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.08

(0.04)

(1.50)

(1.54)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.94

0.10

0.04

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.88

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2023

$

12.56

0.19

0.92

1.11

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.09

(0.03)

2.27

2.24

(1.28)

(0.49)

—

(1.77)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.25

(0.17)

3.01

2.84

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

10.95

(0.08)

(1.47)

(1.55)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.84

0.07

0.04

0.11

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.80

(0.01)

(2.29)

(2.30)

(0.04)

(0.62)

—

(0.66)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2023

$

12.90

0.22

0.94

1.16

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

12.38

(0.03)

2.37

2.34

(1.33)

(0.49)

—

(1.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.44

(0.13)

3.07

2.94

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.12

(0.02)

(1.51)

(1.53)

—

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.97

0.10

0.05

0.15

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.91

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

10.82

0.14

(0.38)

(0.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

9.01

0.15

2.46

2.61

(0.03)

(0.77)

—

(0.80)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.58

(0.12)

(0.31)

(0.43)

(0.08)

(0.06)

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.52

(0.07)

0.22

0.15

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.38

0.44

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.03

0.65

0.68

(0.15)

(0.20)

—

(0.35)

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

10.61

0.13

(0.37)

(0.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.86

0.12

2.42

2.54

(0.02)

(0.77)

—

(0.79)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.42

(0.14)

(0.30)

(0.44)

(0.06)

(0.06)

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.39

(0.10)

0.22

0.12

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.97

0.03

0.39

0.42

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.66

(0.00)

7

0.66

0.66

(0.15)

(0.20)

—

(0.35)

AQR

MACRO

OPPORTUNITIES

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

10.85

0.15

(0.38)

(0.23)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

9.03

0.12

2.51

2.63

(0.04)

(0.77)

—

(0.81)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.60

(0.11)

(0.31)

(0.42)

(0.09)

(0.06)

—

(0.15)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.53

(0.07)

0.23

0.16

—

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.39

0.45

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.04

0.65

0.69

(0.16)

(0.20)

—

(0.36)

285

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

13.95

8.90%

$

603,881

1.40%

1.38%

1.30%

3.15%

0%

$

12.81

19.11%

$

544,239

1.37%

1.34%

1.30%

0.16%

0%

$

12.31

31.10%

$

278,938

1.36%

1.31%

1.30%

(1.26)%

0%

$

9.39

(13.91)%

$

350,475

1.32%

1.31%

1.30%

(0.42)%

269%

$

11.08

1.28%

$

901,269

2.06%

2.06%

1.26%

0.92%

292%

$

10.94

(16.40)%

$

1,697,554

1.73%

1.73%

1.24%

0.28%

462%

$

13.67

8.84%

$

22,378

1.65%

1.63%

1.55%

2.96%

0%

$

12.56

18.84%

$

13,691

1.63%

1.59%

1.55%

(0.23)%

0%

$

12.09

30.70%

$

11,049

1.62%

1.56%

1.55%

(1.52)%

0%

$

9.25

(14.17)%

$

6,934

1.57%

1.56%

1.55%

(0.79)%

269%

$

10.95

1.01%

$

28,689

2.33%

2.33%

1.53%

0.60%

292%

$

10.84

(16.64)%

$

117,289

2.01%

2.01%

1.51%

(0.04)%

462%

$

14.06

8.99%

$

7,282

1.30%

1.28%

1.20%

3.25%

0%

$

12.90

19.25%

$

6,726

1.28%

1.24%

1.20%

(0.19)%

0%

$

12.38

31.14%

$

14,951

1.27%

1.21%

1.20%

(1.16)%

0%

$

9.44

(13.77)%

$

15,920

1.23%

1.21%

1.20%

(0.25)%

269%

$

11.12

1.37%

$

76,285

1.99%

1.99%

1.19%

0.87%

292%

$

10.97

(16.36)%

$

206,247

1.66%

1.66%

1.16%

0.32%

462%

$

10.58

(2.22)%

$

48,387

1.40%

1.21%

1.20%

2.55%

43%

$

10.82

29.28%

$

129,055

1.98%

1.68%

1.20%

1.34%

319%

$

9.01

(4.54)%

$

7,190

2.32%

12

1.26%

1.25%

(1.23)%

0%

$

9.58

1.61%

$

8,510

2.22%

1.35%

1.34%

(0.77)%

0%

$

9.52

4.90%

$

14,985

2.15%

1.45%

1.45%

0.59%

0%

$

9.08

7.80%

$

20,230

1.93%

1.42%

1.42%

0.29%

0%

$

10.37

(2.26)%

$

7,794

1.67%

1.46%

1.45%

2.47%

43%

$

10.61

28.87%

$

7,366

2.28%

1.93%

1.45%

1.13%

319%

$

8.86

(4.72)%

$

638

2.60%

12

1.50%

1.50%

(1.47)%

0%

$

9.42

1.31%

$

537

2.47%

1.60%

1.59%

(1.04)%

0%

$

9.39

4.73%

$

1,173

2.23%

1.70%

1.70%

0.37%

0%

$

8.97

7.57%

$

17,074

2.11%

1.68%

1.68%

(0.04)%

0%

$

10.62

(2.12)%

$

58,459

1.32%

1.11%

1.10%

2.80%

43%

$

10.85

29.38%

$

43,554

1.98%

1.58%

1.10%

1.13%

319%

$

9.03

(4.41)%

$

19,389

2.24%

12

1.16%

1.15%

(1.13)%

0%

$

9.60

1.71%

$

19,070

2.12%

1.23%

1.22%

(0.71)%

0%

$

9.53

5.01%

$

11,841

2.08%

1.35%

1.35%

0.67%

0%

$

9.08

7.84%

$

12,073

1.91%

1.35%

1.35%

0.41%

0%

286

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.71

0.13

0.02

0.15

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.26

0.03

2.53

2.56

(1.11)

—

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.85

(0.09)

0.00

7

(0.09)

(0.50)

—

—

(0.50)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.30

(0.04)

0.01

(0.03)

(0.42)

—

—

(0.42)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.41

0.09

0.06

0.15

(0.26)

—

—

(0.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.23

0.06

(0.88)

(0.82)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.63

0.12

0.02

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.20

0.00

7

2.52

2.52

(1.09)

—

—

(1.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.78

(0.11)

0.00

7

(0.11)

(0.47)

—

—

(0.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.16

(0.06)

0.00

7

(0.06)

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.27

0.06

0.07

0.13

(0.24)

—

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.03

(0.86)

(0.83)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.72

0.13

0.03

0.16

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.27

0.05

2.52

2.57

(1.12)

—

—

(1.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

7.86

(0.09)

0.01

(0.08)

(0.51)

—

—

(0.51)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.32

(0.03)

0.00

7

(0.03)

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.42

0.09

0.08

0.17

(0.27)

—

—

(0.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.24

0.06

(0.88)

(0.82)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.35

0.10

(0.02)

0.08

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.09

0.01

3.03

3.04

(0.78)

—

—

(0.78)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.91

(0.12)

(0.03)

(0.15)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.64

(0.06)

(0.01)

(0.07)

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

0.10

0.14

(0.32)

—

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.14

0.00

7

(1.32)

(1.32)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.41

0.09

(0.02)

0.07

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.12

(0.01)

3.04

3.03

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.94

(0.13)

(0.04)

(0.17)

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.56

(0.07)

(0.01)

(0.08)

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.73

0.02

0.10

0.12

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.02)

(1.31)

(1.33)

—

—

—

—

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.37

0.10

(0.01)

0.09

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.11

0.01

3.04

3.05

(0.79)

—

—

(0.79)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.93

(0.11)

(0.03)

(0.14)

(0.68)

—

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.66

(0.05)

(0.01)

(0.06)

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.84

0.05

0.10

0.15

(0.33)

—

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.15

0.01

(1.32)

(1.31)

—

—

—

—

287

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

8.86

1.72%

$

1,242,876

1.27%

1.27%

1.25%

2.98%

0%

$

8.71

35.38%

$

1,311,469

1.27%

1.27%

1.25%

0.28%

0%

$

7.26

(1.06)%

$

870,337

1.24%

1.24%

1.23%

(1.18)%

0%

$

7.85

(0.29)%

$

1,445,072

1.22%

1.22%

1.22%

(0.46)%

0%

$

8.30

1.80%

$

2,315,083

1.21%

1.21%

1.20%

1.00%

0%

$

8.41

(8.88)%

$

4,254,642

1.16%

1.16%

1.16%

0.62%

0%

$

8.77

1.62%

$

65,058

1.53%

1.52%

1.50%

2.74%

0%

$

8.63

35.04%

$

64,180

1.53%

1.52%

1.50%

0.01%

0%

$

7.20

(1.31)%

$

48,894

1.47%

1.47%

1.47%

(1.41)%

0%

$

7.78

(0.60)%

$

367,278

1.49%

1.49%

1.49%

(0.72)%

0%

$

8.16

1.56%

$

1,506,755

1.49%

1.49%

1.48%

0.71%

0%

$

8.27

(9.12)%

$

1,811,668

1.45%

1.45%

1.45%

0.30%

0%

$

8.88

1.83%

$

156,929

1.18%

1.17%

1.15%

3.08%

0%

$

8.72

35.41%

$

164,434

1.19%

1.17%

1.15%

0.52%

0%

$

7.27

(0.94)%

$

100,572

1.15%

1.15%

1.15%

(1.09)%

0%

$

7.86

(0.30)%

$

437,288

1.14%

1.14%

1.14%

(0.37)%

0%

$

8.32

2.03%

$

580,587

1.14%

1.14%

1.13%

1.07%

0%

$

8.42

(8.87)%

$

971,992

1.11%

1.11%

1.11%

0.66%

0%

$

8.43

0.96%

$

90,637

1.90%

1.69%

1.65%

2.46%

0%

$

8.35

50.00%

$

131,821

1.93%

13

1.66%

1.65%

0.12%

0%

$

6.09

(2.11)%

$

37,100

1.94%

1.71%

1.70%

(1.65)%

0%

$

6.91

(0.65)%

$

90,075

1.76%

1.66%

1.65%

(0.83)%

0%

$

7.64

1.81%

$

159,510

1.70%

1.64%

1.64%

0.50%

0%

$

7.82

(14.44)%

$

244,569

1.65%

1.64%

1.64%

0.00%

0%

$

8.48

0.83%

$

4,371

2.15%

1.94%

1.90%

2.23%

0%

$

8.41

49.52%

$

4,923

2.17%

13

1.91%

1.90%

(0.06)%

0%

$

6.12

(2.34)%

$

2,325

2.20%

1.96%

1.95%

(1.91)%

0%

$

6.94

(0.80)%

$

3,141

1.99%

1.91%

1.90%

(0.87)%

0%

$

7.56

1.55%

$

31,794

1.96%

1.90%

1.90%

0.26%

0%

$

7.73

(14.68)%

$

59,231

1.91%

1.90%

1.90%

(0.24)%

0%

$

8.46

1.08%

$

65,064

1.80%

1.59%

1.55%

2.59%

0%

$

8.37

49.95%

$

46,323

1.84%

13

1.56%

1.55%

0.07%

0%

$

6.11

(1.92)%

$

20,134

1.84%

1.60%

1.59%

(1.55)%

0%

$

6.93

(0.49)%

$

25,354

1.65%

1.56%

1.55%

(0.65)%

0%

$

7.66

1.93%

$

95,310

1.61%

1.55%

1.55%

0.59%

0%

$

7.84

(14.32)%

$

181,404

1.56%

1.55%

1.55%

0.12%

0%

288

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

MULTI-ASSET

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.83

0.16

0.34

0.50

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.54

0.25

(1.36)

(1.11)

(0.60)

(0.00)

7

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.81

0.14

1.27

1.41

(0.57)

(0.11)

—

(0.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.66

0.01

0.25

0.26

(0.11)

—

—

(0.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.12

1.67

1.79

(0.64)

—

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.82

0.09

(0.78)

(0.69)

(0.28)

(0.34)

—

(0.62)

AQR

MULTI-ASSET

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.80

0.15

0.34

0.49

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.51

0.22

(1.34)

(1.12)

(0.59)

(0.00)

7

—

(0.59)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.79

0.11

1.27

1.38

(0.55)

(0.11)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.63

(0.01)

0.24

0.23

(0.07)

—

—

(0.07)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.49

0.11

1.65

1.76

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.80

0.06

(0.77)

(0.71)

(0.26)

(0.34)

—

(0.60)

AQR

MULTI-ASSET

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.82

0.17

0.34

0.51

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.53

0.26

(1.36)

(1.10)

(0.61)

(0.00)

7

—

(0.61)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

9.80

0.16

1.26

1.42

(0.58)

(0.11)

—

(0.69)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.65

0.02

0.25

0.27

(0.12)

—

—

(0.12)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.04

1.75

1.79

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.83

0.09

(0.78)

(0.69)

(0.29)

(0.34)

—

(0.63)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.94

0.14

(0.30)

(0.16)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.08

0.03

1.68

1.71

(0.85)

—

—

(0.85)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.85

(0.08)

2.78

2.70

(1.47)

—

—

(1.47)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.33

(0.01)

0.54

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.65

0.06

0.95

1.01

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.90

0.05

(1.26)

(1.21)

(0.04)

—

—

(0.04)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.76

0.13

(0.29)

(0.16)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.94

0.01

1.64

1.65

(0.83)

—

—

(0.83)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.75

(0.10)

2.74

2.64

(1.45)

—

—

(1.45)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.25

(0.03)

0.54

0.51

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.58

0.05

0.93

0.98

(0.31)

—

(0.00)

7

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.81

0.03

(1.24)

(1.21)

(0.02)

—

—

(0.02)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

8.98

0.15

(0.30)

(0.15)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

8.12

0.09

1.63

1.72

(0.86)

—

—

(0.86)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.87

(0.08)

2.81

2.73

(1.48)

—

—

(1.48)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.35

(0.01)

0.54

0.53

—

(0.01)

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.66

0.07

0.95

1.02

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.92

0.05

(1.27)

(1.22)

(0.04)

—

—

(0.04)

289

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

9.33

5.66%

$

110,246

1.16%

1.03%

0.80%

3.58%

68%

$

8.83

(10.52)%

$

94,401

1.19%

1.00%

0.80%

2.52%

179%

$

10.54

14.34%

$

104,649

1.15%

0.97%

0.80%

1.35%

125%

$

9.81

2.68%

$

120,287

1.20%

1.04%

0.87%

0.10%

187%

$

9.66

21.05%

$

119,488

1.47%

1.34%

0.93%

1.31%

233%

$

8.51

(6.96)%

$

217,406

0.93%

0.92%

0.92%

0.96%

21%

$

9.29

5.57%

$

11,403

1.41%

1.28%

1.05%

3.34%

68%

$

8.80

(10.70)%

$

8,931

1.44%

1.25%

1.05%

2.24%

179%

$

10.51

14.06%

$

5,855

1.40%

1.22%

1.05%

1.03%

125%

$

9.79

2.41%

$

5,585

1.46%

1.31%

1.14%

(0.08)%

187%

$

9.63

20.67%

$

11,366

1.74%

1.61%

1.20%

1.13%

233%

$

8.49

(7.23)%

$

12,303

1.20%

1.18%

1.18%

0.68%

21%

$

9.33

5.78%

$

94,454

1.06%

0.93%

0.70%

3.84%

68%

$

8.82

(10.43)%

$

39,671

1.09%

0.90%

0.70%

2.67%

179%

$

10.53

14.48%

$

16,943

1.05%

0.87%

0.70%

1.51%

125%

$

9.80

2.78%

$

12,202

1.08%

0.92%

0.75%

0.20%

187%

$

9.65

21.07%

$

4,691

1.38%

1.26%

0.85%

0.48%

233%

$

8.51

(6.94)%

$

24,925

0.86%

0.85%

0.85%

0.98%

21%

$

8.78

(1.79)%

$

357,513

1.05%

1.01%

1.00%

3.15%

0%

$

8.94

21.44%

$

391,025

1.04%

1.01%

1.00%

0.30%

0%

$

8.08

39.60%

$

214,957

1.11%

1.01%

1.00%

(0.98)%

0%

$

6.85

8.32%

$

38,558

1.10%

1.00%

1.00%

(0.13)%

0%

$

6.33

17.96%

$

105,145

1.06%

0.99%

0.99%

1.05%

0%

$

5.65

(17.58)%

$

96,393

0.99%

0.97%

0.97%

0.71%

0%

$

8.60

(1.83)%

$

41,880

1.30%

1.26%

1.25%

2.91%

0%

$

8.76

21.01%

$

40,199

1.30%

1.26%

1.25%

0.07%

0%

$

7.94

39.33%

$

29,648

1.37%

1.26%

1.25%

(1.23)%

0%

$

6.75

8.11%

$

16,188

1.39%

1.25%

1.25%

(0.63)%

0%

$

6.25

17.67%

$

13,586

1.32%

1.25%

1.25%

0.79%

0%

$

5.58

(17.82)%

$

17,457

1.27%

1.25%

1.25%

0.45%

0%

$

8.83

(1.67)%

$

34,660

0.95%

0.91%

0.90%

3.27%

0%

$

8.98

21.45%

$

29,821

0.96%

0.91%

0.90%

0.90%

0%

$

8.12

39.89%

$

3,494

1.02%

0.91%

0.90%

(0.88)%

0%

$

6.87

8.29%

$

789

1.02%

0.90%

0.90%

(0.14)%

0%

$

6.35

18.20%

$

148,682

0.97%

0.90%

0.90%

1.12%

0%

$

5.66

(17.60)%

$

156,433

0.93%

0.90%

0.90%

0.80%

0%

290

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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)

AAA

Net

Realized

and

Unrealized

Gain

(Loss)

AA

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

7.48

0.10

0.33

0.43

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.03

(0.01)

2.16

2.15

(1.70)

—

—

(1.70)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.36

(0.10)

1.67

1.57

(0.90)

—

—

(0.90)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.15

(0.06)

(1.73)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.02

0.02

6

(0.76)

(0.74)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.38

0.01

(1.28)

(1.27)

(0.09)

—

—

(0.09)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

7.41

0.09

0.32

0.41

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

6.98

(0.03)

2.14

2.11

(1.68)

—

—

(1.68)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.32

(0.12)

1.66

1.54

(0.88)

—

—

(0.88)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.12

(0.08)

(1.72)

(1.80)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.00

0.00

6,7

(0.75)

(0.75)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.35

(0.02)

(1.28)

(1.30)

(0.05)

—

—

(0.05)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

^

SIX

MONTHS

ENDED

JUNE

30,

2023

$

7.52

0.10

0.33

0.43

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

7.06

(0.01)

2.17

2.16

(1.70)

—

—

(1.70)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2021

$

6.38

(0.10)

1.69

1.59

(0.91)

—

—

(0.91)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.17

(0.05)

(1.74)

(1.79)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.03

0.03

6

(0.76)

(0.73)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.41

0.02

(1.30)

(1.28)

(0.10)

—

—

(0.10)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.39

0.13

0.77

0.90

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.01)

1.56

1.55

(0.24)

(0.00)

7

—

(0.24)

FOR

THE

PERIOD

12/16/21

11

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.37

0.12

0.77

0.89

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.03)

1.55

1.52

(0.23)

(0.00)

7

—

(0.23)

FOR

THE

PERIOD

12/16/21

11

-12/31/21

$

10.00

(0.01)

0.09

0.08

—

—

—

—

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2023

$

11.40

0.13

0.77

0.90

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2022

$

10.08

(0.04)

1.61

1.57

(0.25)

(0.00)

7

—

(0.25)

FOR

THE

PERIOD

12/16/21

11

-12/31/21

$

10.00

(0.00)

7

0.08

0.08

—

—

—

—

291

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Financial

Highlights

June

30,

2023

(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

$

7.91

5.75%

$

361,874

1.76%

1.75%

1.50%

2.65%

61%

$

7.48

30.64%

$

322,368

1.67%

1.63%

1.49%

(0.13)%

174%

$

7.03

24.83%

$

242,712

1.67%

1.60%

1.50%

(1.38)%

194%

$

6.36

(21.96)%

$

237,379

1.84%

1.78%

1.50%

(0.80)%

544%

$

8.15

(8.20)%

$

866,804

2.51%

2.48%

1.49%

0.28%

6

170%

$

9.02

(12.26)%

$

1,759,075

2.25%

2.24%

1.47%

0.09%

345%

$

7.82

5.53%

$

36,225

2.01%

2.00%

1.75%

2.41%

61%

$

7.41

30.28%

$

32,005

1.94%

1.89%

1.75%

(0.34)%

174%

$

6.98

24.53%

$

19,068

1.92%

1.85%

1.75%

(1.63)%

194%

$

6.32

(22.17)%

$

14,857

2.08%

2.03%

1.75%

(1.06)%

544%

$

8.12

(8.33)%

$

40,665

2.77%

2.74%

1.75%

0.02%

6

170%

$

9.00

(12.60)%

$

82,850

2.51%

2.50%

1.74%

(0.22)%

345%

$

7.95

5.72%

$

494,368

1.66%

1.65%

1.40%

2.75%

61%

$

7.52

30.79%

$

483,083

1.59%

1.54%

1.40%

(0.07)%

174%

$

7.06

25.04%

$

396,425

1.57%

1.50%

1.40%

(1.28)%

194%

$

6.38

(21.91)%

$

390,127

1.74%

1.68%

1.40%

(0.68)%

544%

$

8.17

(8.08)%

$

1,163,852

2.42%

2.39%

1.40%

0.33%

6

170%

$

9.03

(12.32)%

$

1,459,422

2.18%

2.17%

1.40%

0.21%

345%

$

12.29

7.90%

$

11,001

2.08%

1.39%

1.30%

2.17%

0%

$

11.39

15.46%

$

9,447

2.91%

1.35%

1.30%

(0.06)%

0%

$

10.08

0.80%

$

504

3.45%

8

1.30%

1.30%

(1.29)%

0%

$

12.26

7.83%

$

7,973

2.26%

1.64%

1.55%

2.02%

0%

$

11.37

15.14%

$

5,015

3.12%

1.60%

1.55%

(0.28)%

0%

$

10.08

0.80%

$

503

3.70%

8

1.55%

1.55%

(1.54)%

0%

$

12.30

7.89%

$

11,088

1.98%

1.29%

1.20%

2.25%

0%

$

11.40

15.62%

$

10,271

3.41%

1.25%

1.20%

(0.35)%

0%

$

10.08

0.80%

$

9,081

3.43%

8

1.20%

1.20%

(1.19)%

0%

292

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2023

(Unaudited)

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

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

$

0.01

0.11%

AQR

Style

Premia

Alternative

Fund

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

0.01

0.12

*

Annualized

for

periods

less

than

one

year.

^

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Funds

invest.

5

Portfolio

turnover

rate

excludes

derivatives,

if

any,

and

is

not

annualized.

6

For

the

period

ended

December

31,

2019,

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received,

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

of

each

class

would

have

been

reduced

by

the

amounts

and

percentages

shown

below:

7

Amount

is

less

than

$.005

per

share.

8

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

9

For

the

period

ended

December

31,

2022,

the

AQR

Diversified

Arbitrage

Fund

received

special

dividends.

Had

these

special

dividends

not

been

received,

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

of

each

class

would

have

been

reduced

by

$0.04

and

0.38%,

respectively.

10

The

amount

shown

for

a

share

outstanding

throughout

the

period

is

not

indicative

of

the

aggregate

net

realized

and

unrealized

gain

(loss)

for

that

period

because

of

the

timing

of

sales

and

repurchases

of

the

Fund

shares

in

relation

to

fluctuating

market

value

of

the

investments

in

the

Fund.

11

Commencement

of

operations.

12

For

the

period

ended

December

31,

2021,

the

AQR

Macro

Opportunities

Fund

incurred

certain

non-recurring

professional

service

expenses.

Without

these

costs,

the

Expenses,

Before

Reimbursements

and/or

Waivers,

of

each

class

would

have

been

reduced

by

0.22%.

13

For

the

period

ended

December

31,

2022,

the

AQR

Managed

Futures

Strategy

HV

Fund

incurred

certain

non-recurring

professional

service

and

other

expenses.

Without

these

costs,

the

Expenses,

Before

Reimbursements

and/or

Waivers,

of

each

class

would

have

been

reduced

by

0.06%.

293

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

1.

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

As

of

June

30,

2023,

the

Trust

consists

of

twenty-

two

active

series, twelve

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Macro Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-

Balanced

Commodities

Strategy

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund.

The

remaining

active

series

have

a

different

fiscal

year

end

and

are

reported

in

a separate

book.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

Adviser

has

retained

AQR

Arbitrage,

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

to

serve

as

an

investment

sub-adviser

to

the

AQR

Diversified

Arbitrage

Fund.

The

investment

objective

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund, AQR

Equity

Market

Neutral

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund

and

AQR

Style

Premia

Alternative

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund

and AQR

Risk-Balanced

Commodities

Strategy

Fund

is

to

seek

total

return.

The

investment

objective

of

the

AQR

Diversifying

Strategies

Fund,

AQR

Long-Short

Equity

Fund

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

is

to

seek

capital

appreciation.

The

AQR

Diversifying

Strategies

Fund

pursues

its

investment

objective

by

investing

in

a

portfolio

of

mutual

funds

that

are

each

managed

by

the

Adviser.

Each

Fund

offers

Class

I,

N

and

R6

shares.

2.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets,

and

of

Cash

Flows

(as

applicable),

and

the

Financial

Highlights

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Macro

Opportunities Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

and

AQR

Style

Premia

Alternative

Fund

(collectively,

the

“Consolidated

Funds”)

include

the

accounts

of

the

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.,

AQR

Macro

Opportunities

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(collectively,

the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Fund’s

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments,

however,

each

Consolidated

Fund

and

its

Subsidiary

will

comply

with

1940

Act

Rule

18f-4

on

a

consolidated

basis

with

respect

to

investments

in

derivative

instruments.

3.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

SUBSIDIARY

NET

ASSETS

AT

JUNE

30,

2023

%

OF

TOTAL

ASSETS

AT

JUNE

30,

2023

AQR

Alternative

Risk

Premia

Offshore

Fund

Ltd.

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

$

39,167,206

5.2%

AQR

Macro

Opportunities

Offshore

Fund

Ltd.

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

26,257,644

17.2%

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

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

337,606,215

20.6%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

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

36,443,419

19.3%

AQR

Multi-Asset

Offshore

Fund

Ltd.

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

21,193,104

7.6%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

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

99,334,936

23.0%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

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

208,475,462

16.3%

294

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statements

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Funds’

books

on

the

transaction

date

and

the

U.S.

dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statements

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income:

 Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

Non-cash

dividends

included

in

dividend

income,

if

any,

are

recorded

at

the

fair

value

of

the

securities

received.

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments,

such

as

real

estate

investment

trusts,

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions

.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-dividend

date

notification.

The

Funds

may

file

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

withheld.

Income

recognized,

if

any,

for

these

reclaims

is

reflected

as

dividend

income

in

the

Statements

of

Operations.

Additionally,

there

may

be

reclaims

that

include

amounts

withheld

in

prior

years,

which

may

be

reclaimable

based

upon

certain

provisions

in

the

Treaty

on

the

Functioning

of

the

European

Union

(“EU”)

and

subsequent

rulings

by

the

European

Court

of

Justice

(“ECJ”). Income

recognized

related

to

EU

reclaims

pursuant

to

the

ECJ

rulings

are

reflected

as

European

Union

tax

reclaims

on

the

Statements

of

Operations,

if

material.

These

reclaims

are

recorded

when

the

amount

is

known

and

there

are

no

significant

uncertainties

on

collectability.

Expenses

incurred

related

to

EU

reclaims

that

are

contingent

upon

successful

receipt

of

EU

reclaims

are

reflected

in

European

Union

tax

reclaim

fees

in

the

Statements

of

Operations,

if

material.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees,

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

and

realized

gain

(loss)

and

change

in

unrealized

appreciation

(depreciation)

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

Certain

Funds

may

invest

in

other

investment

companies,

including

affiliated

funds,

and,

as

a

result,

indirectly

bear

a

portion

of

the

advisory

and

operating

expenses

incurred

by

these

entities.

Such

expenses

are

not

reflected

in

the

expenses

shown

on

the

Statements

of

Operations

and

are

not

included

in

the

ratios

to

average

net

assets

shown

on

the

Financial

Highlights.

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“Regulated

Investment

Company”

("RIC")

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

each

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly,

no

provision

for

federal

income

tax

is

necessary.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

the more-likely-than-

not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

June

30,

2023,

the

Funds

had

no

examinations

in

progress.

295

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

For

federal

income tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFC's

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

In

2023,

AQR

Multi-Asset

Fund

incurred

an

excise

tax

liability

of

$863

relating

to

the

tax

year

2022.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income,

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

The

Funds

utilize

earnings

and

profits

distributed

to

shareholders

on

redemptions

of

Fund

shares

as

part

of

the

dividends

paid

deduction.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

4.

Securities

and

Other

Investments 

Affiliate

Investments:

 Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities or

an

issuer

which

is

under

common

control

with

another

fund

or

trust.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

a

portfolio

company.

Additionally,

certain

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated

issuer

of

some

of

the

Funds

in

the

Trust

based

upon

ownership

of

the

outstanding

voting

securities.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

The

AQR

Diversifying

Strategies

Fund

invests

in

funds

which

are

managed

by

the

Adviser,

and

as

such

assumes

the

AQR

Funds

in

which

it

invests

to

be

affiliated

issuers.

A

summary

of

transactions

with

each

affiliated

issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Convertible

Securities:

Certain

Funds

invest

in

preferred

stocks

and

fixed

income

securities

which

are

convertible

into

common

stock.

Convertible

securities

may

be

converted

either

at

a

stated

price

or

rate

within

a

specified

period

of

time

into

a

specified

number

of

shares

of

common

stock.

By

investing

in

a

convertible

security,

the

Funds

may

participate

in

any

capital

appreciation

or

depreciation

of

a

company’s

stock,

but

to

a

lesser

degree

than

if

they

had

invested

in

that

company’s

common

stock.

Convertible

securities

rank

senior

to

common

stock

in

a

corporation’s

capital

structure

and,

therefore,

entail

less

risk

than

the

corporation’s

common

stock.

The

Funds

may

attempt

to

hedge

some

of

their

investments

in

convertible

debt

securities

by

selling

short

the

issuer’s

common

stock.

The

premiums

attributable

to

the

conversion

feature

are

not

amortized. 

High

Yield

Securities:

Certain

Funds

invest

in

lower-quality

debt

securities.

Investments

in

lower-rated

securities

or

unrated

securities

of

comparable

quality

tend

to

be

more

sensitive

to

economic

conditions

than

higher

rated

securities

causing

greater

price

volatility.

These

instruments

involve

a

greater

risk

of

loss

due

to

default

by

the

issuer

because

such

securities

are

generally

unsecured

and

are

often

subordinated

to

other

creditors’

claims. 

296

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Inflation-Indexed

Bonds:

Certain

Funds

invest

in

inflation-indexed

bonds

which

are

adjusted

for

inflation

through

periodic

increases

or

decreases

in

the

security’s

interest

accruals,

face

amount,

or

principal

redemption

value,

by

amounts

corresponding

to

the

rate

of

inflation

as

measured

by

an

index.

Inflation-indexed

bonds

typically

pay

a

fixed

rate

of

interest

but

that

fixed

rate

is

applied

to

an

inflation

adjusted

principal

amount.

If

the

index

measuring

inflation

rises

or

falls,

the

principal

value

of

inflation-indexed

bonds

will

be

adjusted

upward

or

downward,

and

consequently

the

interest

payable

on

these

securities

(calculated

with

respect

to

a

larger

or

smaller

principal

amount)

will

be

increased

or

reduced,

respectively.

Any

upward

or

downward

adjustment

in

the

principal

amount

of

an

inflation-indexed

bond

will

be

included

as

interest

income

in

the

Statements

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

Defaulted

Securities

and

Distressed

Investments:

Certain

Funds

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedules

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Funds

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Special

Purpose

Acquisition

Companies

(“SPACs”):

 Certain

Funds

invest

in

common

stock,

rights,

units,

warrants,

and

other

securities

of

SPACs

or

similar

special

purpose

entities

that

pool

funds

to

seek

potential

acquisition

opportunities.

The

securities

of

a

SPAC

are

often

issued

in

“units”

that

include

one

share

of

common

stock

and

one

right

or

warrant

(or

partial

right

or

warrant)

conveying

the

right

to

purchase

additional

shares

or

partial

shares.

Unless

and

until

a

transaction

is

completed,

a

SPAC

generally

invests

its

assets

(less

a

portion

retained

to

cover

expenses)

in

U.S.

Government

securities,

money

market

fund

securities

and

cash.

If

an

acquisition

that

meets

the

requirements

for

the

SPAC

is

not

completed

within

a

pre-established

period

of

time

the

invested

funds

are

returned

to

the

entity’s

shareholders,

less

certain

permitted

expenses,

and

any

rights

or

warrants

issued

by

the

SPAC

may

expire

worthless.

Because

SPACs

and

similar

entities

have

no

operating

history

or

ongoing

business

other

than

seeking

acquisitions,

the

value

of

their

securities

is

particularly

dependent

on

the

ability

of

the

entity’s

management

to

identify

and

complete

a

suitable

acquisition.

Some

SPACs

may

pursue

acquisitions

only

within

certain

industries

or

regions,

which

may

increase

the

volatility

of

their

securities’

prices.

Securities

Sold

Short:

Certain

Funds

engage

in

short

sales,

which

is

when

a

Fund

sells

securities

it

does

not

own

as

a

hedge

against

some

of

its

long

positions

and/or

in

anticipation

of

a

decline

in

the

market

value

of

that

security.

When

one

of

the

Funds

makes

a

short

sale,

it

must

borrow

the

security

sold

short

and

deliver

it

to

the

broker

through

which

it

made

the

short

sale.

The

Fund

may

have

to

pay

a

fee

to

borrow

the

particular

security

and

may

be

obligated

to

remit

any

interest

or

dividends

received

on

such

borrowed

securities.

Dividends

declared

on

short

positions

are

recorded

on

the ex-

dividend

date

as

an

expense.

A

gain,

limited

to

the

price

at

which

the

Fund

sold

the

security

short,

or

a

loss,

which

could

be

unlimited

in

magnitude,

will

be

recognized

upon

the

termination

of

a

short

sale

if

the

market

price

at

termination

is

less

than

or

greater

than,

respectively,

the

proceeds

originally

received.

The

Fund

is

also

subject

to

the

risk

that

it

may

be

unable

to

reacquire

a

security

to

terminate

a

short

position

except

at

a

price

substantially

in

excess

of

the

last

quoted

price.

The

Fund

is

also

subject

to

risk

of

loss

if

the

broker

were

to

fail

to

perform

its

obligations

under

the

contractual

terms.

Liabilities

for

securities

sold

short

are

reported

at

market

value

on

the

Statements

of

Assets

and

Liabilities

and

the

change

in

market

value

is

recorded

as

net

change

in

unrealized

appreciation

(depreciation)

on

the

Statements

of

Operations.

The

Funds

are

required

to

pledge

cash

or

liquid

securities

to

the

broker

as

collateral

for

securities

sold

short.

Collateral

requirements

are

calculated

daily

based

on

the

current

market

value

of

the

short

positions.

Daily

market

fluctuations

and

trading

activity

could

cause

the

value

of

securities

sold

short

to

be

more

or

less

than

the

value

of

the

collateral

segregated.

Cash

deposited

with

the

broker

for

collateral

for

securities

sold

short

is

recorded

as

an

asset

on

the

Statements

of

Assets

and

Liabilities

and

securities

segregated

as

collateral

are

denoted

in

the

Schedules

of

Investments.

The

Funds

may

receive

or

pay

the

net

of

the

following

amounts:

(i)

a

portion

of

the

income

from

the

investment

of

cash

collateral;

(ii)

the

broker’s

fee

on

the

borrowed

securities;

and

(iii)

a

financing

charge

for

the

difference

in

the

market

value

of

the

short

position

and

cash

collateral

deposited

with

the

broker.

This

income

or

fee

is

calculated

daily

based

upon

the

market

value

of

each

borrowed

security

and

a

variable

rate

that

is

dependent

on

the

availability

of

the

security.

Pursuant

to

a

Master

Securities

Loan

Agreement

("MSLA"),

State

Street

Bank

and

Trust

Company

(“SSB”)

is

permitted,

subject

to

certain

conditions,

to

rehypothecate

up

to

30%

of

portfolio

securities

pledged

by certain

Funds

as

collateral

for

securities

sold

short.

The

Funds

continue

to

receive

dividends

and

interest

on

rehypothecated

securities.

The

Funds

also

have

the

right

under

the

MSLA

to

recall

the

rehypothecated

securities

from

SSB

on

demand.

If

SSB

fails

to

deliver

the

recalled

security

in

a

timely

manner,

the

Funds

will

be

compensated

by

SSB

for

any

fees

or

losses

related

to

the

failed

delivery

or,

in

the

event

a

recalled

security

will

not

be

returned

by

SSB,

the

Funds

may

reduce

the

loan

balance

outstanding

by

the

amount

of

the

recalled

security. 

The

net

amount

of

fees

incurred

are

included

in

the

dividend

and

interest

on

securities

sold

short

in

the

Statements

of

Operations

and

are

as

follows:

FUND

FEES

AQR

Alternative

Risk

Premia

Fund

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

$

390,886

AQR

Diversified

Arbitrage

Fund

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

475,223

AQR

Equity

Market

Neutral

Fund

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

21,768

AQR

Multi-Asset

Fund

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

88,716

AQR

Style

Premia

Alternative

Fund

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

70,904

297

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

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

on

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

amounts

shown

in

the

Schedule

of

Investments,

up

to

the

contract

amount

of

the

futures

contracts.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

disclosed

in

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

Certain

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

net

change

in

unrealized

appreciation

(depreciation)

on

forward

foreign

currency

exchange

contracts.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

(loss)

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

disclosed

in

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 on

the

Statements

of

Assets

and

Liabilities.

For

credit

default

swap and

interest

rate

swap contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

creates

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Total

Return

Swap

Contracts:

Certain

Funds

invest

in

total

return

swap

contracts

to

obtain

exposure

to

the

underlying

referenced

instruments,

obtain

leverage

or

attain

the

returns

from

ownership

without

actually

owning

the

underlying

position.

Total

return

swap

contracts

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

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

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

swap

contracts

subject

the

Funds

to

potential

unlimited

loss.

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments. 

Total

Return

Basket

Swap

Contracts:

Certain

Funds

enter

into

a

total

return

basket

swap

contract

to

obtain

exposure

to

a

portfolio

of

long

and/or

short

securities.

Under

the

terms

of

the

agreement,

the

swap

is

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

or

fixed

income

positions.

The

absolute

notional

value

of

the

total

return

basket

swap

contract represents

the

accumulated

notional

value

of

the

underlying

long

components

and

absolute

notional

value

of

the

short

components

held

within

the

total

return

basket

swap

contract

at

period

end.

The

notional

value

of

each

component

represents

the

market

value

at

period

end.

The

Funds

have

the

ability

to

trade

in

and

out

of

long

and

short

positions

within

the

swap

and

will

receive

all

of

the

economic

benefits

and

risks

equivalent

to

direct

investments

in

these

positions

such

as:

capital

appreciation

(depreciation),

corporate

actions,

and

dividends

and

interest

received

and

paid,

all

of

which

are

reflected

in

the

swap

value.

The

swap

value

also

includes

financing

charges

and

credits

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

Finance

charges

and

credits

are

based

on

defined

market

rates

plus

or

minus

a

specified

spread.

Positions

within

the

swap

are

reset

periodically,

and

financing

costs

are

reset

generally

monthly.

During

a

reset,

any

realized

gains

(losses)

from

positions,

income,

proceeds

from

corporate

actions

and

accrued

financing

costs

may

become

available

for

cash

settlement

between

the

Funds

and

the

swap

counterparty.

Prior

to

the

reset,

these

amounts

are

included

as

a

component

of

the

swap

value

in

net

cash

and

other

receivables

(payables).

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Funds

and

the

counterparty,

over

the

life

of

the

agreement,

and

is

generally

determined

based

on

limits

and

thresholds

established

as

part

of

the

Master

Agreement

between

the

Funds

and

the

counterparty.

The

maturity

dates

are

measured

from

the

commencement

of

investment

in

each

underlying

portfolio

swap

position.

A

change

in

the

market

value

of

a

total

return

basket

swap

contract

is

recognized

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Cash

settlements

between

a

Fund

and

the

counterparty

are

recognized

as

net

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

basket

swap

contracts

outstanding

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments. 

298

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

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

swap

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.

Credit

default

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

recorded

as

a

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swap

contracts

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

swap

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

swap

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments.

Interest

Rate

Swap

Contracts:

Certain

Funds

enter

into

interest

rate

swap

contracts

as

part

of

their

investment

strategy.

Interest

rate

swap

contracts

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

contracts

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)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Interest

rate

swap

contracts

are

marked

to

market

daily

and

the

change

is

recorded

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swap

contracts

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

swap

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any, are

disclosed

in

each

Fund’s

Schedule

of

Investments.

Option

Contracts:

Certain

Funds

may

write

and

purchase

put

and

call

option

contracts.

When

a

Fund

writes

a

premium-style option

contract,

an

amount

equal

to

the

premium

received

by

the

Fund

is

reflected

as

an

asset

and

an

equivalent

liability.

The

amount

of

the

liability

is

subsequently

marked

to

market

to

reflect

the

current

market

value

of

the

written

option

contract.

When

a

security

is

purchased

or

sold

through

an

exercise

of

an

option

contract,

the

related

premium

paid

(or

received)

is

added

to

(or

deducted

from)

the

basis

of

the

security

acquired

or

deducted

from

(or

added

to)

the

proceeds

of

the

security

sold.

When

a

premium-style option

contract expires,

a

Fund

realizes

a

gain

or

loss

on

the

option

contract to

the

extent

of

the

premiums

received

or

paid.

When

a

Fund

enters

into

a

closing

transaction,

the

Fund

realizes

a

gain

or

loss

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

paid

or

received.

Written

uncovered

call

option

contracts subject

a

Fund

to

unlimited

risk

of

loss.

Written

covered

call

option

contracts limit

the

upside

potential

of

a

security

above

the

strike

price.

Written

put

option

contracts subject

a

Fund

to

risk

of

loss

if

the

value

of

the

security

declines

below

the

exercise

price

minus

the

put

premium.

A

Fund,

as

writer

of

an

option

contract,

bears

the

market

risk

of

an

unfavorable

change

in

the

price

of

the

security

underlying

the

written

option

contract.

Written

and

purchased

option

contracts are

non-income

producing

investments.

The

maximum

financial

exposure

for

premium-style

written

put option

contracts is

limited

to

the

number

of

contracts

written

and

the

related

strike

prices.

The

number

of contracts,

strike

price,

and

expiration

date

for

each

written

put

option

contract at

period

end,

if

any,

are

disclosed

in

each

Fund’s

Schedule

of

Investments.  

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

(i)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

(ii)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

299

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

option

contracts 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

option

contracts 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

futures

contracts

and

variation

margin

on

centrally

cleared

swaps.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

certain

Funds

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

a

Fund

for

OTC

derivatives

pursuant

to

a

Master

Agreement

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statements

of

Assets

and

Liabilities

either

as

a

component

of

investments

in

securities,

at

value

(securities)

or

in

due

from

brokers

(cash).

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

a

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund’s

Schedule

of

Investments.

Segregation

of

a

Fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

due

to

brokers

in

the

Statements

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

For

financial

reporting

purposes,

the

Funds

do

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statements

of

Assets

and

Liabilities.

5.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

In accordance

with

Rule

2a-5

under

the

1940

Act,

the

Board

has

designated

the

Adviser

as

the

Valuation

Designee

for

the

Funds

to

perform

fair

value

determinations.

The

Valuation

Designee

has

established

a

Valuation

Committee

to

assist

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the Valuation

Committee

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

300

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

into

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

securities

sold

short,

rights,

exchange

option

contracts,

warrants,

exchange-traded

funds

and

closed-end

investment

companies,

are

valued

at

the

last

quoted

sales

prices

or

official

closing

prices

taken

from

the

primary

market,

or

composite

in

which

each

security

trades

and

are

therefore

classified

Level

1.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are

also

classified

as

Level

1.

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere,

or

in

foreign

markets

that

close

at

4:00

p.m.

Eastern

time

where

the

market

is

closed

due

to

a

holiday,

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

NAV.

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

securities

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. 

301

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

that

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

a daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

foreign

currency

exchange

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

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

forward,

swap

and

option

contracts,

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. 

302

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments:

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

168,255,641

$

131,682,272

$

–

$

299,937,913

Preferred

Stocks

†

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

–

147,556

–

147,556

Short-Term

Investments

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

94,945,900

18,653,046

–

113,598,946

Futures

Contracts*

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

3,970,072

–

–

3,970,072

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,930,459

–

3,930,459

Interest

Rate

Swap

Contracts*

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

–

4,103,648

–

4,103,648

Total

Return

Swap

Contracts*

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

–

159,766

–

159,766

Total

Assets

$

267,171,613

$

158,676,747

$

–

$

425,848,360

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(158,778,184)

$

(122,348,730)

$

–

$

(281,126,914)

Preferred

Stocks

(Sold

Short)

†

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

–

(1,149,066)

–

(1,149,066)

Warrants

(Sold

Short)

†

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

(8,166)

–

–

(8,166)

Futures

Contracts*

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

(2,435,300)

–

–

(2,435,300)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,148,813)

–

(2,148,813)

Interest

Rate

Swap

Contracts*

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

–

(5,451,370)

–

(5,451,370)

Total

Return

Swap

Contracts*

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

–

(203,478)

–

(203,478)

Total

Liabilities

$

(161,221,650)

$

(131,301,457)

$

–

$

(292,523,107)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

130,028,073

$

52,718,519

$

203,677

$

182,950,269

Corporate

Bonds

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

–

355

313,254

313,609

Convertible

Bonds

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

–

453,920,907

–

453,920,907

Closed-End

Funds

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

109,625,628

–

–

109,625,628

Preferred

Stocks

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

3,881,691

–

–

3,881,691

Rights

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

266,672

155,946

160,841

583,459

Securities

in

Litigation

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

–

–

–

(a)

–

(a)

Warrants

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

1,285,657

443,302

59,150

1,788,109

Units

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

992,767

–

–

992,767

Short-Term

Investments

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

504,265,594

624,696,939

–

1,128,962,533

Futures

Contracts*

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

2,850,064

–

–

2,850,064

Forward

Foreign

Currency

Exchange

Contracts*

........

–

492

–

492

Total

Return

Basket

Swap

Contracts*

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

–

1,156,602

–

1,156,602

Total

Assets

$

753,196,146

$

1,133,093,062

$

736,922

$

1,887,026,130

LIABILITIES

Common

Stocks

(Sold

Short)

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

$

(159,631,429)

$

(16,702,558)

$

–

(a)

$

(176,333,987)

Convertible

Bonds

(Sold

Short)

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

–

(9,292,560)

–

(9,292,560)

Futures

Contracts*

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

(12,442)

–

–

(12,442)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(608,063)

–

(608,063)

Credit

Default

Swap

Contracts*

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

–

(3,078,444)

–

(3,078,444)

Total

Return

Basket

Swap

Contracts*

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

–

(39,204,028)

–

(39,204,028)

Total

Liabilities

$

(159,643,871)

$

(68,885,653)

$

–

(a)

$

(228,529,524)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

317,306,006

$

–

$

–

$

317,306,006

Short-Term

Investments

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

6,345,616

–

–

6,345,616

Total

Assets

$

323,651,622

$

–

$

–

$

323,651,622

303

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

9,837,433

$

–

$

9,837,433

Short-Term

Investments

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

105,197,234

94,670,660

–

199,867,894

Forward

Foreign

Currency

Exchange

Contracts*

........

–

721

–

721

Total

Return

Basket

Swap

Contracts*

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

–

2,234,842

–

2,234,842

Total

Assets

$

105,197,234

$

106,743,656

$

–

$

211,940,890

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(7,596,848)

$

–

$

(7,596,848)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(23,460)

–

(23,460)

Total

Return

Basket

Swap

Contracts*

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

–

(423,098)

–

(423,098)

Total

Liabilities

$

–

$

(8,043,406)

$

–

$

(8,043,406)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

186,087,944

$

378,198,151

$

–

$

564,286,095

Futures

Contracts*

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

4,621,965

–

–

4,621,965

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,275,233

–

1,275,233

Total

Return

Basket

Swap

Contracts*

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

–

14,871,055

–

14,871,055

Total

Return

Swap

Contracts*

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

–

247,611

–

247,611

Total

Assets

$

190,709,909

$

394,592,050

$

–

$

585,301,959

LIABILITIES

Futures

Contracts*

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

$

(34,223)

$

–

$

–

$

(34,223)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(755,731)

–

(755,731)

Total

Return

Basket

Swap

Contracts*

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

–

(5,533,250)

–

(5,533,250)

Total

Return

Swap

Contracts*

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

–

(117,289)

–

(117,289)

Total

Liabilities

$

(34,223)

$

(6,406,270)

$

–

$

(6,440,493)

AQR

MACRO

OPPORTUNITIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

3,889,527

$

9,886,483

$

–

$

13,776,010

Short-Term

Investments

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

51,314,590

25,685,871

–

77,000,461

Futures

Contracts*

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

7,623,747

–

–

7,623,747

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,215,387

–

5,215,387

Interest

Rate

Swap

Contracts*

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

–

8,843,319

–

8,843,319

Credit

Default

Swap

Contracts*

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

–

751,334

–

751,334

Total

Return

Swap

Contracts*

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

–

172,756

–

172,756

Total

Assets

$

62,827,864

$

50,555,150

$

–

$

113,383,014

LIABILITIES

Futures

Contracts*

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

$

(6,638,855)

$

–

$

–

$

(6,638,855)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(5,175,114)

–

(5,175,114)

Interest

Rate

Swap

Contracts*

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

–

(9,864,704)

–

(9,864,704)

Credit

Default

Swap

Contracts*

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

–

(696,333)

–

(696,333)

Total

Return

Swap

Contracts*

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

–

(153,190)

–

(153,190)

Total

Liabilities

$

(6,638,855)

$

(15,889,341)

$

–

$

(22,528,196)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

277,558,237

$

1,063,346,124

$

–

$

1,340,904,361

Futures

Contracts*

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

45,983,417

–

–

45,983,417

Forward

Foreign

Currency

Exchange

Contracts*

........

–

38,055,128

–

38,055,128

Interest

Rate

Swap

Contracts*

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

–

39,816,510

–

39,816,510

Credit

Default

Swap

Contracts*

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

–

817,527

–

817,527

Total

Return

Basket

Swap

Contracts*

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

–

5,294,643

–

5,294,643

Total

Return

Swap

Contracts*

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

–

106,518

–

106,518

Total

Assets

$

323,541,654

$

1,147,436,450

$

–

$

1,470,978,104

304

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

LIABILITIES

Futures

Contracts*

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

$

(29,272,176)

$

–

$

–

$

(29,272,176)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(29,473,653)

–

(29,473,653)

Interest

Rate

Swap

Contracts*

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

–

(28,213,355)

–

(28,213,355)

Credit

Default

Swap

Contracts*

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

–

(197,834)

–

(197,834)

Total

Return

Basket

Swap

Contracts*

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

–

(68,381)

–

(68,381)

Total

Return

Swap

Contracts*

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

–

(131,770)

–

(131,770)

Total

Liabilities

$

(29,272,176)

$

(58,084,993)

$

–

$

(87,357,169)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

41,539,648

$

98,910,029

$

–

$

140,449,677

Futures

Contracts*

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

7,242,743

–

–

7,242,743

Forward

Foreign

Currency

Exchange

Contracts*

........

–

6,045,969

–

6,045,969

Interest

Rate

Swap

Contracts*

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

–

6,375,378

–

6,375,378

Credit

Default

Swap

Contracts*

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

–

136,717

–

136,717

Total

Return

Basket

Swap

Contracts*

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

–

576,486

–

576,486

Total

Return

Swap

Contracts*

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

–

16,244

–

16,244

Total

Assets

$

48,782,391

$

112,060,823

$

–

$

160,843,214

LIABILITIES

Futures

Contracts*

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

$

(4,746,214)

$

–

$

–

$

(4,746,214)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,721,295)

–

(4,721,295)

Interest

Rate

Swap

Contracts*

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

–

(4,329,990)

–

(4,329,990)

Credit

Default

Swap

Contracts*

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

–

(33,114)

–

(33,114)

Total

Return

Basket

Swap

Contracts*

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

–

(120,234)

–

(120,234)

Total

Return

Swap

Contracts*

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

–

(19,616)

–

(19,616)

Total

Liabilities

$

(4,746,214)

$

(9,224,249)

$

–

$

(13,970,463)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

79,213,638

$

37,764,637

$

–

(a)

$

116,978,275

Preferred

Stocks

†

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

–

713,378

–

713,378

Foreign

Government

Securities

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

–

15,157,247

–

15,157,247

U.S.

Treasury

Obligations

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

–

20,174,632

–

20,174,632

Short-Term

Investments

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

42,731,950

32,205,793

–

74,937,743

Futures

Contracts*

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

3,143,322

–

–

3,143,322

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,881,316

–

2,881,316

Total

Return

Swap

Contracts*

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

–

48,246

–

48,246

Total

Assets

$

125,088,910

$

108,945,249

$

–

(a)

$

234,034,159

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(15,322,531)

$

(11,867,478)

$

–

(a)

$

(27,190,009)

Preferred

Stocks

(Sold

Short)

†

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

–

(77,607)

–

(77,607)

Futures

Contracts*

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

(4,100,408)

–

–

(4,100,408)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,575,967)

–

(2,575,967)

Total

Return

Swap

Contracts*

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

–

(40,936)

–

(40,936)

Total

Liabilities

$

(19,422,939)

$

(14,561,988)

$

–

(a)

$

(33,984,927)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

193,818,887

$

183,329,004

$

–

$

377,147,891

Futures

Contracts*

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

32,730,942

–

–

32,730,942

Total

Assets

$

226,549,829

$

183,329,004

$

–

$

409,878,833

LIABILITIES

Futures

Contracts*

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

$

(49,546,271)

$

–

$

–

$

(49,546,271)

Total

Liabilities

$

(49,546,271)

$

–

$

–

$

(49,546,271)

305

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price. 

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

49,885,758

$

–

$

49,885,758

Short-Term

Investments

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

303,832,698

411,407,221

–

715,239,919

Futures

Contracts*

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

21,097,959

–

–

21,097,959

Forward

Foreign

Currency

Exchange

Contracts*

........

–

23,275,260

–

23,275,260

Interest

Rate

Swap

Contracts*

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

–

32,497,785

–

32,497,785

Total

Return

Basket

Swap

Contracts*

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

–

20,529,898

–

20,529,898

Total

Return

Swap

Contracts*

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

–

790,904

–

790,904

Total

Assets

$

324,930,657

$

538,386,826

$

–

$

863,317,483

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(40,306,111)

$

–

$

(40,306,111)

Futures

Contracts*

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

(13,802,476)

–

–

(13,802,476)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(10,484,954)

–

(10,484,954)

Interest

Rate

Swap

Contracts*

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

–

(43,900,692)

–

(43,900,692)

Total

Return

Basket

Swap

Contracts*

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

–

(2,048,450)

–

(2,048,450)

Total

Return

Swap

Contracts*

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

–

(1,390,357)

–

(1,390,357)

Total

Liabilities

$

(13,802,476)

$

(98,130,564)

$

–

$

(111,933,040)

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

9,335,434

$

9,957,258

$

–

$

19,292,692

Forward

Foreign

Currency

Exchange

Contracts*

........

–

59,866

–

59,866

Total

Return

Basket

Swap

Contracts*

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

–

725,331

–

725,331

Total

Assets

$

9,335,434

$

10,742,455

$

–

$

20,077,889

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(35,876)

$

–

$

(35,876)

Total

Return

Basket

Swap

Contracts*

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

–

(89,758)

–

(89,758)

Total

Liabilities

$

–

$

(125,634)

$

–

$

(125,634)

*

Derivative

instruments,

including

futures,

forward

foreign

currency

exchange,

total

return

basket

swap

and

total

return

swap

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swap

and

interest

rate

swap

contracts

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

306

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

6.

Federal

Income

Tax

Matters

At

June

30,

2023,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book-basis

and

tax-basis

cost

of

investments

was

due

primarily

to

timing

differences

in

recognizing

certain

gains

and

losses

on

security

transactions

(e.g.

wash

sale

loss

deferrals

and

passive

foreign

investment

company

("PFIC") transactions).

As

of

December

31,

2022,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards,

with

no

expiration,

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations.

The

ability

to

utilize

capital

loss

carryforwards

in

the

future

may

be

limited

under

the

Internal

Revenue

Code

and

related

regulations

based

on

the

results

of

future

transactions.

7.

Investment

Transactions

During

the period

ended

June

30,

2023,

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:

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

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

$

37,057,194

$

118,786,547

$

(22,518,488)

$

96,268,059

AQR

Diversified

Arbitrage

Fund

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

1,721,508,470

52,303,913

(115,315,777)

(63,011,864)

AQR

Diversifying

Strategies

Fund

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

319,264,813

4,386,809

—

4,386,809

AQR

Equity

Market

Neutral

Fund

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

200,928,985

4,396,391

(1,427,892)

2,968,499

AQR

Long-Short

Equity

Fund

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

564,367,940

21,040,696

(6,547,170)

14,493,526

AQR

Macro

Opportunities

Fund

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

86,571,010

23,349,579

(19,065,771)

4,283,808

AQR

Managed

Futures

Strategy

Fund

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

1,338,736,186

123,521,751

(78,637,002)

44,884,749

AQR

Managed

Futures

Strategy

HV

Fund

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

140,038,017

19,566,822

(12,732,088)

6,834,734

AQR

Multi-Asset

Fund

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

189,705,180

16,964,544

(6,620,492)

10,344,052

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

377,210,277

32,728,707

(49,606,422)

(16,877,715)

AQR

Style

Premia

Alternative

Fund

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

694,043,150

110,883,386

(53,542,093)

57,341,293

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

..........

19,293,220

786,580

(127,545)

659,035

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

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

$

112,283,894

$

—

AQR

Diversified

Arbitrage

Fund

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

—

77,005,886

AQR

Equity

Market

Neutral

Fund

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

629,515

374,455

AQR

Long-Short

Equity

Fund

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

13,591,078

17,371,894

AQR

Managed

Futures

Strategy

Fund

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

459,556,408

498,539,968

AQR

Managed

Futures

Strategy

HV

Fund

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

48,664,672

46,418,745

AQR

Multi-Asset

Fund

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

2,647,136

7,199,809

AQR

Style

Premia

Alternative

Fund

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

444,282,352

—

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

*

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

144,125

212,644

*

Capital

loss

carryforwards

are

reduced

for

limitations

to

the

extent

required

by

the

Internal

Revenue

Code

and

may

be

further

limited

depending

upon

a

variety

of

factors,

including

the

realization

of

net

unrealized

gains

or

losses

as

of

the

date

of

any

reorganization.

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

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

$

94,980,886

$

80,396,065

$

173,401,441

$

152,371,705

AQR

Diversified

Arbitrage

Fund

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

462,132,598

442,856,227

222,443,527

146,903,609

AQR

Diversifying

Strategies

Fund

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

182,146,558

58,471,426

—

—

AQR

Equity

Market

Neutral

Fund

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

4,609,995

5,830,933

2,861,657

3,475,270

AQR

Macro

Opportunities

Fund

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

7,937,907

4,652,744

—

—

AQR

Multi-Asset

Fund

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

104,847,695

60,758,526

27,391,297

21,261,831

AQR

Style

Premia

Alternative

Fund

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

18,932,035

16,794,393

9,702,505

15,896,479

307

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

During

the period

ended

June

30,

2023,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations,

which

are

included

in

the

table

above,

as

follows:

8.

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

The

following

table

lists

the

fair

value

of

derivative

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

June

30,

2023:

FUND

PURCHASES

SALES

AQR

Multi-Asset

Fund

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

$

13,550,120

$

3,238,594

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Equity

Risk

Exposure:

3,311,614

25,494,847

2,657,940

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

1,534,016

$

–

$

–

Swaps

at

Value

(Assets)

**

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

159,766

1,156,602

2,234,842

Unrealized

Depreciation

on

Futures

Contracts

*

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

(1,414,352)

(12,442)

–

Swaps

at

Value

(Liabilities)

**

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

(203,478)

(24,325,803)

(423,098)

3,311,614

25,494,847

2,657,940

Foreign

Exchange

Rate

Risk

Exposure:

6,079,272

608,555

24,181

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

3,930,459

492

721

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........

(2,148,813)

(608,063)

(23,460)

6,079,272

608,555

24,181

Interest

Rate

Risk

Exposure:

10,806,644

17,728,289

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,055,205

2,850,064

–

Swaps

at

Value

(Assets)

**

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

4,103,648

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(196,423)

–

–

Swaps

at

Value

(Liabilities)

**

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

(5,451,370)

(14,878,225)

–

10,806,644

17,728,289

–

Credit

Risk

Exposure:

–

3,078,444

–

Swaps

at

Value

(Liabilities)

**

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

–

(3,078,444)

–

–

3,078,444

–

Commodity

Risk

Exposure:

2,205,375

–

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,380,851

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(824,525)

–

–

2,205,375

–

–

Net

Fair

Value

of

Derivative

Contracts:

533,551

(80,629,260)

1,766,266

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

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

1,534,772

2,837,622

–

Swaps

at

Value

**

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

(1,391,434)

(41,125,870)

1,811,744

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

1,781,646

(607,571)

(22,739)

533,551

80,629,260

1,766,266

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Equity

Risk

Exposure:

25,425,393

4,809,788

8,963,895

1,267,097

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

4,621,965

$

1,670,986

$

1,075,025

$

174,257

Swaps

at

Value

(Assets)

**

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

15,118,666

172,756

5,401,161

592,730

Unrealized

Depreciation

on

Futures

Contracts

*

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

(34,223)

(2,812,858)

(2,287,557)

(360,261)

Swaps

at

Value

(Liabilities)

**

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

(5,650,539)

(153,190)

(200,151)

(139,850)

25,425,393

4,809,788

8,963,895

1,267,097

Foreign

Exchange

Rate

Risk

Exposure:

2,030,964

10,390,501

67,528,781

10,767,264

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

1,275,233

5,215,387

38,055,128

6,045,969

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(755,731)

(5,175,114)

(29,473,653)

(4,721,295)

2,030,964

10,390,501

67,528,781

10,767,264

308

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Interest

Rate

Risk

Exposure:

–

19,466,322

93,998,114

14,747,661

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

457,292

24,093,486

3,768,132

Swaps

at

Value

(Assets)

**

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

–

8,843,319

39,816,510

6,375,378

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(301,006)

(1,874,756)

(274,166)

Swaps

at

Value

(Liabilities)

**

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

–

(9,864,704)

(28,213,355)

(4,329,990)

–

19,466,322

93,998,114

14,747,661

Credit

Risk

Exposure:

–

1,447,667

1,015,363

169,831

Swaps

at

Value

(Assets)

**

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

–

751,334

817,527

136,717

Swaps

at

Value

(Liabilities)

**

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

–

(696,333)

(197,834)

(33,114)

–

1,447,667

1,015,363

169,831

Commodity

Risk

Exposure:

–

9,020,461

45,924,769

7,412,144

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

5,495,469

20,814,906

3,300,354

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(3,524,991)

(25,109,863)

(4,111,787)

–

9,020,461

45,924,769

7,412,144

Net

Fair

Value

of

Derivative

Contracts:

14,575,371

(868,471)

42,716,576

6,423,072

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

4,587,742

984,892

16,711,241

2,496,529

Swaps

at

Value

**

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

9,468,127

(946,818)

17,423,858

2,601,871

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

519,502

40,273

8,581,475

1,324,674

14,575,371

868,471

42,716,576

6,423,072

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Equity

Risk

Exposure:

1,557,474

–

46,411,162

815,089

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

835,245

$

–

$

11,556,077

$

–

Swaps

at

Value

(Assets)

**

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

48,246

–

21,320,154

725,331

Unrealized

Depreciation

on

Futures

Contracts

*

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

(633,045)

–

(10,098,028)

–

Swaps

at

Value

(Liabilities)

**

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

(40,936)

–

(3,436,900)

(89,758)

1,557,474

–

46,411,162

815,089

Foreign

Exchange

Rate

Risk

Exposure:

5,457,283

–

33,760,214

95,744

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

2,881,316

–

23,275,260

59,866

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(2,575,967)

–

(10,484,954)

(35,876)

5,457,283

–

33,760,214

95,744

Interest

Rate

Risk

Exposure:

1,181,232

–

80,559,780

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

334,440

–

2,606,948

–

Swaps

at

Value

(Assets)

**

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

–

–

32,498,433

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(846,793)

–

(1,551,801)

–

Swaps

at

Value

(Liabilities)

**

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

–

–

(43,902,599)

–

1,181,232

–

80,559,780

–

Commodity

Risk

Exposure:

4,594,207

82,277,212

9,087,580

–

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,973,637

32,730,942

6,934,934

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

(2,620,570)

(49,546,271)

(2,152,647)

–

4,594,207

82,277,212

9,087,580

–

Net

Fair

Value

of

Derivative

Contracts:

(1,601,512)

(33,630,656)

26,564,877

659,563

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

(957,086)

(16,815,329)

7,295,483

–

Swaps

at

Value

**

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

7,310

–

6,479,088

635,573

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

305,349

–

12,790,306

23,990

1,601,512

33,630,656

26,564,877

659,563

*

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

.

309

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(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

June

30,

2023:

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

763,568

(41,575,559)

4,196,847

Futures

Contracts

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

$

990,398

$

(1,841,230)

$

–

Swap

Contracts

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

(226,830)

(38,986,815)

4,196,847

Written

Option

Contracts

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

–

167,528

–

Purchased

Option

Contracts

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

–

(915,043)

–

763,568

(41,575,559.43)

4,196,846.6

Foreign

Exchange

Rate

Risk

Exposure:

(942,872)

608,734

(32,912)

Forward

Foreign

Currency

Exchange

Contracts

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

(942,872)

608,734

(32,912)

(942,872)

608,734

(32,912)

Interest

Rate

Risk

Exposure:

(291,549)

(12,203,841)

–

Futures

Contracts

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

(1,557,978)

1,044,473

–

Swap

Contracts

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

1,266,429

(13,248,314)

–

(291,548.53)

(12,203,840.68)

–

Credit

Risk

Exposure:

–

(7,487,487)

–

Swap

Contracts

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

–

(7,487,487)

–

–

(7,487,486.88)

–

Commodity

Risk

Exposure:

(1,799,571)

–

–

Futures

Contracts

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

(1,799,571)

–

–

(1,799,571.3)

–

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

(92,075)

(2,472,889)

(1,436,655)

Futures

Contracts

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

(19,499)

(87,133)

–

Swap

Contracts

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

(72,576)

(2,385,756)

(1,436,655)

92,075

2,472,889

1,436,655

Foreign

Exchange

Rate

Risk

Exposure:

2,741,368

1,267,134

8,729

Forward

Foreign

Currency

Exchange

Contracts

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

2,741,368

(1,267,134)

(8,729)

2,741,368

1,267,134

8,729

Interest

Rate

Risk

Exposure:

3,111,645

32,512,114

–

Futures

Contracts

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

1,322,326

2,485,737

–

Swap

Contracts

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

1,789,317

30,026,377

–

3,111,645

32,512,114

–

Credit

Risk

Exposure:

–

2,424,766

–

Swap

Contracts

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

–

2,424,765

–

–

2,424,766

–

Commodity

Risk

Exposure:

690,703

–

–

Futures

Contracts

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

690,703

–

–

690,703

–

–

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

37,113,753

(5,760,734)

(43,341,777)

(6,845,411)

Futures

Contracts

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

$

11,823,130

$

(4,926,582)

$

(30,113,347)

$

(5,054,271)

Swap

Contracts

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

25,290,623

(834,152)

(13,228,431)

(1,791,141)

37,113,752.56

(5,760,734.22)

(43,341,777.43)

(6,845,411.17)

Foreign

Exchange

Rate

Risk

Exposure:

(279,713)

(874,228)

(4,499,635)

(1,001,775)

Forward

Foreign

Currency

Exchange

Contracts

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

(279,713)

(874,228)

(4,499,635)

(1,001,775)

(279,713)

(874,228)

(4,499,635)

(1,001,775)

Interest

Rate

Risk

Exposure:

–

4,360,558

10,488,273

(215,979)

Futures

Contracts

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

–

2,710,463

2,900,207

(836,481)

Swap

Contracts

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

–

1,650,095

7,588,066

620,502

–

4,360,558.11

10,488,273.09

(215,979.18)

Credit

Risk

Exposure:

–

(450,330)

(312,161)

(48,227)

Swap

Contracts

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

–

(450,329)

(312,161)

(48,227)

310

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

–

(450,329.52)

(312,161.37)

(48,226.75)

Commodity

Risk

Exposure:

–

(793,244)

27,653,791

4,311,647

Futures

Contracts

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

–

(793,244)

27,653,791

4,311,647

–

(793,243.89)

27,653,790.97

4,311,646.57

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

5,886,507

(3,112,283)

(12,000,375)

(2,451,953)

Futures

Contracts

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

9,510,006

(3,056,255)

(8,846,314)

(1,423,421)

Swap

Contracts

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

(3,623,500)

(56,027)

(3,154,065)

(1,028,531)

5,886,507

3,112,283

12,000,375

2,451,953

Foreign

Exchange

Rate

Risk

Exposure:

1,226,612

942,726

28,569,504

4,534,570

Forward

Foreign

Currency

Exchange

Contracts

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

(1,226,612)

(942,726)

28,569,504

4,534,570

1,226,612

942,726

28,569,504

4,534,570

Interest

Rate

Risk

Exposure:

–

2,238,090

1,510,954

1,254,616

Futures

Contracts

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

–

(1,124,581)

(16,224,804)

(2,021,882)

Swap

Contracts

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

–

(1,113,507)

17,735,755

3,276,500

–

2,238,090

1,510,954

1,254,616

Credit

Risk

Exposure:

–

123,971

316,262

48,997

Swap

Contracts

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

–

123,970

316,263

48,998

–

123,971

316,262

48,997

Commodity

Risk

Exposure:

–

2,707,208

5,137,013

971,135

Futures

Contracts

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

–

2,707,208

(5,137,010)

(971,135)

–

2,707,208

5,137,013

971,135

*

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Realized

Gain

(Loss)

on

Derivatives

Equity

Risk

Exposure:

102,064

–

15,293,306

1,707,257

Futures

Contracts

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

$

717,454

$

–

$

14,650,427

$

–

Swap

Contracts

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

(615,390)

–

642,879

1,707,257

102,064.22

–

15,293,306.3

1,707,256.95

Foreign

Exchange

Rate

Risk

Exposure:

632,994

–

(8,555,663)

(23,001)

Forward

Foreign

Currency

Exchange

Contracts

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

632,994

–

(8,555,663)

(23,001)

632,994

–

(8,555,663)

(23,001)

Interest

Rate

Risk

Exposure:

(3,517,270)

–

(3,147,952)

–

Futures

Contracts

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

(3,517,270)

–

(9,648,592)

–

Swap

Contracts

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

–

–

6,500,640

–

(3,517,270.36)

–

(3,147,951.95)

–

Commodity

Risk

Exposure:

(230,766)

24,646,042

(17,564,415)

–

Futures

Contracts

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

(230,766)

24,646,042

(17,564,415)

–

(230,766.36)

24,646,041.87

(17,564,415.24)

–

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Equity

Risk

Exposure:

(620,288)

–

101,164

168,393

Futures

Contracts

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

(554,559)

–

2,486,525

–

Swap

Contracts

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

(65,730)

–

(2,385,361)

168,393

620,288

–

101,164

168,393

Foreign

Exchange

Rate

Risk

Exposure:

745,468

–

16,436,255

54,183

Forward

Foreign

Currency

Exchange

Contracts

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

745,468

–

16,436,255

(54,183)

745,468

–

16,436,255

54,183

Interest

Rate

Risk

Exposure:

2,079,282

–

27,292,136

–

Futures

Contracts

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

2,079,284

–

11,390,747

–

Swap

Contracts

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

–

–

15,901,392

–

2,079,282

–

27,292,136

–

Commodity

Risk

Exposure:

1,622,979

42,291,888

5,868,172

–

Futures

Contracts

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

(1,622,980)

(42,291,889)

5,868,169

–

1,622,979

42,291,888

5,868,172

–

311

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(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

pledged

by

the

Funds

as

of

June

30,

2023:

AQR

Alternative

Risk

Premia

Fund

R

-

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$10,397

and

total

additional

collateral

pledged

was

$5,515,561.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

156,153

$

(77,168)

$

78,985

$

–

$

–

$

78,985

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,964,974

(1,073,874)

891,100

–

(746,756)

144,344

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,965,485

(1,074,939)

890,546

–

–

890,546

MLIN

..........

Total

Return

Swap

Contracts

3,613

(3,613)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,090,225

(2,229,594)

1,860,631

–

(746,756)

1,113,875

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

77,168

$

(77,168)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,073,874

(1,073,874)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

3,188

–

3,188

–

(3,188)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,074,939

(1,074,939)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

55,251

(3,613)

51,638

–

(51,638)

–

MSCS

..........

Total

Return

Swap

Contracts

67,871

–

67,871

(67,871)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,352,291

(2,229,594)

122,697

(67,871)

(54,826)

–

312

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Diversified

Arbitrage

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$1,181,073

and

total

additional

collateral

pledged

was

$140,974,644.

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

$

492

$

(492)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,156,602

(1,156,602)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

1,157,094

(1,157,094)

–

–

–

–

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BNPP

..........

Total

Return

Basket

Swap

Contracts

$

17,610,292

$

–

$

17,610,292

$

–

$

(17,610,292)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

305,360

(492)

304,868

–

(304,868)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

21,440,902

(1,156,602)

20,284,300

(20,284,300)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

302,703

–

302,703

–

(302,703)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

152,834

–

152,834

(152,834)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

39,812,091

(1,157,094)

38,654,997

(20,437,134)

(18,217,863)

–

313

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Equity

Market

Neutral

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$286,435

and

total

additional

collateral

pledged

was

$49,111,660.

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

$

360

$

(360)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

361

(361)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

568,241

(33,085)

535,156

Total

JPMC

568,602

(33,446)

535,156

–

–

535,156

MLIN

..........

Total

Return

Basket

Swap

Contracts

529,086

–

529,086

–

(372,044)

157,042

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,137,515

(390,013)

747,502

–

(747,502)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,235,563

(423,819)

1,811,744

–

(1,119,546)

692,198

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

$

11,733

$

(360)

$

11,373

$

–

$

(11,373)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

11,727

(361)

11,366

JPMC

..........

Total

Return

Basket

Swap

Contracts

33,085

(33,085)

–

Total

JPMC

44,812

(33,446)

11,366

–

(11,366)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

390,013

(390,013)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

446,558

(423,819)

22,739

–

(22,739)

–

314

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Long-Short

Equity

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

714,108

$

–

$

714,108

$

–

$

(714,108)

$

–

BNPP

..........

Total

Return

Basket

Swap

Contracts

2,955,115

(521,888)

2,433,227

–

–

2,433,227

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

637,529

(377,906)

259,623

–

(127,815)

131,808

GSIN

..........

Total

Return

Basket

Swap

Contracts

228,259

(228,259)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

637,704

(377,825)

259,879

JPMC

..........

Total

Return

Swap

Contracts

247,611

(96,730)

150,881

JPMC

..........

Total

Return

Basket

Swap

Contracts

9,701,228

–

9,701,228

Total

JPMC

10,586,543

(474,555)

10,111,988

–

–

10,111,988

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,272,345

(823,614)

448,731

–

(448,731)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

16,393,899

(2,426,222)

13,967,677

–

(1,290,654)

12,677,023

315

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$929,744

and

total

additional

collateral

pledged

was

$130,100,850.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BNPP

..........

Total

Return

Basket

Swap

Contracts

$

521,888

$

(521,888)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

377,906

(377,906)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

20,559

–

20,559

GSIN

..........

Total

Return

Basket

Swap

Contracts

4,187,748

(228,259)

3,959,489

Total

GSIN

4,208,307

(228,259)

3,980,048

(3,980,048)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

377,825

(377,825)

–

JPMC

..........

Total

Return

Swap

Contracts

96,730

(96,730)

–

Total

JPMC

474,555

(474,555)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

823,614

(823,614)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

6,406,270

(2,426,222)

3,980,048

(3,980,048)

–

–

316

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Macro

Opportunities

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$19,135

and

total

additional

collateral

pledged

was

$4,272,335.

(b)

The

amount

of

collateral

shown

for

OTC

derivatives

is

not

indicative

of

the

aggregate

collateral

as

of

period

end

because

of

the

timing

of

payments

with

counterparties.

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

$

2,607,324

$

(2,586,768)

$

20,556

$

–

$

–

$

20,556

GSIN

..........

Total

Return

Swap

Contracts

172,747

(61,519)

111,228

–

(111,228)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,608,063

(2,588,346)

19,717

–

–

19,717

MLIN

..........

Total

Return

Swap

Contracts

9

(9)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,388,143

(5,236,642)

151,501

–

(111,228)

40,273

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

7,704

$

–

$

7,704

$

–

$

–

$

7,704

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

2,586,768

(2,586,768)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

61,519

(61,519)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,588,346

(2,588,346)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

83,967

(9)

83,958

–

–

83,958

(b)

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,328,304

(5,236,642)

91,662

–

–

91,662

317

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Managed

Futures

Strategy

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$106,146,070.

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

$

19,024,967

$

(14,726,854)

$

4,298,113

$

–

$

–

$

4,298,113

GSIN

..........

Total

Return

Basket

Swap

Contracts

2,141,171

–

2,141,171

–

(722,369)

1,418,802

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

19,030,161

(14,746,799)

4,283,362

–

–

4,283,362

MLIN

..........

Total

Return

Swap

Contracts

106,518

(9,657)

96,861

MLIN

..........

Total

Return

Basket

Swap

Contracts

3,153,472

(68,381)

3,085,091

Total

MLIN

3,259,990

(78,038)

3,181,952

–

(1,985,306)

1,196,646

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

43,456,289

(29,551,691)

13,904,598

–

(2,707,675)

11,196,923

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

$

14,726,854

$

(14,726,854)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

14,746,799

(14,746,799)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

9,657

(9,657)

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

68,381

(68,381)

–

Total

MLIN

78,038

(78,038)

–

–

–

–

MSCS

..........

Total

Return

Swap

Contracts

122,113

–

122,113

(122,113)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

29,673,804

(29,551,691)

122,113

(122,113)

–

–

318

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Managed

Futures

Strategy

HV

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

3,022,561

$

(2,359,091)

$

663,470

$

–

$

(600,418)

$

63,052

GSIN

..........

Total

Return

Basket

Swap

Contracts

437,364

(46,386)

390,978

–

(311,733)

79,245

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,023,408

(2,362,204)

661,204

JPMC

..........

Total

Return

Basket

Swap

Contracts

139,122

(73,848)

65,274

Total

JPMC

3,162,530

(2,436,052)

726,478

–

–

726,478

MLIN

..........

Total

Return

Swap

Contracts

16,244

(15,502)

742

–

–

742

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

6,638,699

(4,857,031)

1,781,668

–

(912,151)

869,517

319

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

(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

$17,540,894.

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

$

2,359,091

$

(2,359,091)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

4,114

–

4,114

GSIN

..........

Total

Return

Basket

Swap

Contracts

46,386

(46,386)

–

Total

GSIN

50,500

(46,386)

4,114

(4,114)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,362,204

(2,362,204)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

73,848

(73,848)

–

Total

JPMC

2,436,052

(2,436,052)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

15,502

(15,502)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,861,145

(4,857,031)

4,114

(4,114)

–

–

320

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Multi-Asset

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$103,191

and

total

additional

collateral

pledged

was

$3,273,659.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

41,299

$

(13,981)

$

27,318

$

–

$

–

$

27,318

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,442,789

(1,316,004)

126,785

–

(120,023)

6,762

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,438,527

(1,259,963)

178,564

–

–

178,564

MLIN

..........

Total

Return

Swap

Contracts

6,947

–

6,947

–

(6,947)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,929,562

(2,589,948)

339,614

–

(126,970)

212,644

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

13,981

$

(13,981)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,316,004

(1,316,004)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,259,963

(1,259,963)

–

–

–

–

MSCS

..........

Total

Return

Swap

Contracts

26,955

–

26,955

(26,955)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,616,903

(2,589,948)

26,955

(26,955)

–

–

321

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Style

Premia

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

648

$

(648)

$

–

BANA  

.........

Total

Return

Basket

Swap

Contracts

9,467,283

–

9,467,283

Total

BANA

9,467,931

(648)

9,467,283

$

–

$

(9,467,283)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

11,636,148

(5,239,750)

6,396,398

CITI

...........

Total

Return

Swap

Contracts

761,407

(277,704)

483,703

Total

CITI

12,397,555

(5,517,454)

6,880,101

–

(6,880,101)

–

GSIN

..........

Total

Return

Swap

Contracts

9,229

(9,229)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

5,226,039

(567,064)

4,658,975

Total

GSIN

5,235,268

(576,293)

4,658,975

–

(4,658,975)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

11,639,112

(5,245,204)

6,393,908

JPMC

..........

Total

Return

Basket

Swap

Contracts

508,621

(508,621)

–

Total

JPMC

12,147,733

(5,753,825)

6,393,908

–

–

6,393,908

MLIN

..........

Total

Return

Swap

Contracts

19,620

(19,620)

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

454,138

–

454,138

Total

MLIN

473,758

(19,620)

454,138

–

–

454,138

MSIP

..........

Total

Return

Basket

Swap

Contracts

4,873,817

–

4,873,817

–

(4,873,817)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

44,596,062

(11,867,840)

32,728,222

–

(25,880,176)

6,848,046

322

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$2,914,495

and

total

additional

collateral

pledged

was

$200,568,153.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

94,540

$

(648)

$

93,892

$

–

$

(4,337)

$

89,555

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

5,239,750

(5,239,750)

–

CITI

...........

Total

Return

Swap

Contracts

277,704

(277,704)

–

Total

CITI

5,517,454

(5,517,454)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

453,527

(9,229)

444,298

GSIN

..........

Total

Return

Basket

Swap

Contracts

567,064

(567,064)

–

Total

GSIN

1,020,591

(576,293)

444,298

(444,298)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

5,245,204

(5,245,204)

–

JPMC

..........

Total

Return

Swap

Contracts

132,398

–

132,398

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,481,386

(508,621)

972,765

Total

JPMC

6,858,988

(5,753,825)

1,105,163

(1,105,163)

–

–

MLIN

..........

Total

Return

Swap

Contracts

432,188

(19,620)

412,568

–

(412,568)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

13,923,761

(11,867,840)

2,055,921

(1,549,461)

(416,905)

89,555

323

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$10,204,960.

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

$

29,929

$

(17,940)

$

11,989

$

–

$

–

$

11,989

GSIN

..........

Total

Return

Basket

Swap

Contracts

422,667

–

422,667

–

–

422,667

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

29,937

(17,936)

12,001

–

–

12,001

MLIN

..........

Total

Return

Basket

Swap

Contracts

302,664

(89,758)

212,906

–

(150,149)

62,757

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

785,197

(125,634)

659,563

–

(150,149)

509,414

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

$

17,940

$

(17,940)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

17,936

(17,936)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

89,758

(89,758)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

125,634

(125,634)

–

–

–

–

324

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

For

the period

ended

June

30,

2023,

the

average

and

ending

volume

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

LONG-

SHORT

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

163,880,135

$

220,375,000

$

–

$

170,947,059

Average

Notional

Balance

-

Short

263,852,999

250,370,957

–

120,004

Ending

Notional

Balance

-

Long

184,709,550

–

–

154,671,242

Ending

Notional

Balance

-

Short

335,014,082

268,579,359

–

120,004

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

174,566,185

1,210,470

1,367,973

98,298,317

Average

Settlement

Value

-

Sold

178,128,642

43,579,869

1,976,073

1,003,073

Ending

Value

-

Purchased

169,612,150

1,392,439

1,013,431

100,562,094

Ending

Value

-

Sold

178,044,642

28,730,736

1,744,591

1,751,043

Exchange-Traded

Option

Contracts:

Average

Number

of

Contracts

-

Purchased

–

2,832

–

–

Average

Number

of

Contracts

-

Written

–

2,832

–

–

Ending

Number

of

Contracts

-

Purchased

–

–

–

–

Ending

Number

of

Contracts

-

Written

–

–

–

–

Credit

Default

Swap

Contracts:

Average

Notional

Balance

-

Buy

Protection

–

112,533,333

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

104,500,000

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

10,548,295

–

–

31,649,610

Average

Notional

Balance

-

Short

13,431,472

–

–

661,469

Ending

Notional

Balance

-

Long

12,788,528

–

–

34,759,359

Ending

Notional

Balance

-

Short

21,587,883

–

–

338,364

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

386,101,224

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

206,013,113

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

472,596,159

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

293,264,275

–

–

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

–

860,425,593

441,622,167

1,370,304,932

Average

Notional

of

Underlying

Positions

-

Short

–

130,380,306

408,481,677

1,262,350,479

Ending

Notional

Balance

-

Long

–

721,994,720

440,895,577

1,357,210,398

Ending

Notional

Balance

-

Short

–

141,482,263

412,195,596

1,261,404,255

325

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

*

AQR

MACRO

OPPORTUNITIES

FUND

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

301,317,814

$

382,698,442

$

62,595,088

$

229,531,179

$

1,018,281,441

Average

Notional

Balance

-

Short

509,104,778

4,873,144,754

800,308,819

80,390,980

471,489,177

Ending

Notional

Balance

-

Long

263,843,628

551,140,311

85,851,429

276,065,624

1,115,663,736

Ending

Notional

Balance

-

Short

402,585,596

6,408,455,504

1,036,442,252

82,898,617

575,919,717

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

405,360,089

1,678,141,369

274,467,469

137,382,085

–

Average

Settlement

Value

-

Sold

397,312,922

1,732,586,646

285,054,789

152,212,023

–

Ending

Value

-

Purchased

301,298,807

1,765,235,451

280,466,167

147,472,753

–

Ending

Value

-

Sold

312,257,321

1,949,212,109

309,528,195

159,172,080

–

Credit

Default

Swap

Contracts:

Average

Notional

Balance

-

Buy

Protection

45,122,047

9,374,108

1,603,134

–

–

Average

Notional

Balance

-

Sell

Protection

12,798,551

17,862,283

2,997,264

–

–

Ending

Notional

Balance

-

Buy

Protection

49,883,914

–

–

–

–

Ending

Notional

Balance

-

Sell

Protection

20,416,894

52,104,123

8,772,226

–

–

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

18,730,401

18,036,012

3,000,431

1,080,832

–

Average

Notional

Balance

-

Short

14,848,774

58,147,847

8,797,151

9,699,790

–

Ending

Notional

Balance

-

Long

21,765,469

18,036,012

3,000,431

1,328,757

–

Ending

Notional

Balance

-

Short

9,000,550

25,653,691

3,867,740

8,599,026

–

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

785,243,157

2,895,282,265

495,696,712

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

511,780,614

1,287,428,290

226,885,780

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

788,877,567

2,547,642,787

414,521,494

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

556,048,603

1,334,108,661

211,351,815

–

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

–

763,637,565

123,893,087

–

–

Average

Notional

of

Underlying

Positions

-

Short

–

748,837,690

121,648,424

–

–

Ending

Notional

Balance

-

Long

–

724,189,985

117,406,740

–

–

Ending

Notional

Balance

-

Short

–

723,171,636

117,944,930

–

–

326

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

9.

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

certain

investment

management

agreements

entered

into

between

the

Trust,

on

behalf

of

the

applicable

Funds,

and

the

Adviser

(collectively,

the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the

Advisory

Agreement,

the

Funds

calculate

and

accrue

daily

based

on

the

average

daily

net

assets

for

each

Fund

and

pay

monthly

the

Investment

Advisory

fee

in

the

annual

ratios

below:

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

1,268,345,318

$

–

Average

Notional

Balance

-

Short

1,058,062,782

–

Ending

Notional

Balance

-

Long

1,386,635,702

–

Ending

Notional

Balance

-

Short

1,169,225,435

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

1,132,409,430

4,448,860

Average

Settlement

Value

-

Sold

1,078,050,200

142,375

Ending

Value

-

Purchased

997,429,649

4,726,574

Ending

Value

-

Sold

986,830,333

23,314

Total

Return

Swap

Contracts:

Average

Notional

Balance

-

Long

75,885,690

–

Average

Notional

Balance

-

Short

98,914,524

–

Ending

Notional

Balance

-

Long

79,978,595

–

Ending

Notional

Balance

-

Short

151,216,793

–

Interest

Rate

Swap

Contracts:

Average

Notional

Balance

-

Pays

Fixed

Rate

3,134,151,885

–

Average

Notional

Balance

-

Receives

Fixed

Rate

1,718,874,598

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

3,712,924,811

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

2,322,383,437

–

Total

Return

Basket

Swap

Contracts:

Average

Notional

of

Underlying

Positions

-

Long

1,919,793,333

71,072,502

Average

Notional

of

Underlying

Positions

-

Short

1,761,946,157

51,026,731

Ending

Notional

Balance

-

Long

1,859,906,782

74,930,227

Ending

Notional

Balance

-

Short

1,747,270,126

54,012,709

*

Average

volume

of

derivatives

is

based

on

the

average

of

the

notional

balances,

settlement

values

or

number

of

contracts,

as

applicable,

that

were

outstanding

at

the

end

of

each

quarter

during

the

reporting

period.

FUND

RATIO

AQR

Alternative

Risk

Premia

Fund

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

1.20%

AQR

Diversified

Arbitrage

Fund

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

1.00

AQR

Diversifying

Strategies

Fund

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

0.00

AQR

Equity

Market

Neutral

Fund

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

1.10

AQR

Long-Short

Equity

Fund

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

1.10

AQR

Macro

Opportunities

Fund

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

1.00

AQR

Managed

Futures

Strategy

Fund

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

1.05

AQR

Managed

Futures

Strategy

HV

Fund

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

1.45

AQR

Multi-Asset

Fund

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

0.60

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

0.80

AQR

Style

Premia

Alternative

Fund

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

1.30

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

1.10

327

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(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

April

30,

2024

for

Class

I,

N,

and

R6

shares.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

each

Fund's

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims,

contingent

expenses

related

to

tax

reclaim

receipts,

reorganization

expenses,

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

expense

reimbursement

to

the

Adviser

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

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

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

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture.

The

amounts

reimbursed

by

the

Adviser

for

the

period

ended

June

30,

2023,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at

June

30,

2023

are

as

follows:

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

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

0.20

%

0.20

%

0.10

%

AQR

Diversified

Arbitrage

Fund

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

0.20

0.20

0.10

AQR

Diversifying

Strategies

Fund

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

0.20

0.20

0.10

AQR

Equity

Market

Neutral

Fund

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

0.20

0.20

0.10

AQR

Long-Short

Equity

Fund

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

0.20

0.20

0.10

AQR

Macro

Opportunities

Fund

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

0.20

0.20

0.10

AQR

Managed

Futures

Strategy

Fund

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

0.20

0.20

0.10

AQR

Managed

Futures

Strategy

HV

Fund

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

0.20

0.20

0.10

AQR

Multi-Asset

Fund

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

0.20

0.20

0.10

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

0.20

0.20

0.10

AQR

Style

Premia

Alternative

Fund

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

0.20

0.20

0.10

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

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

0.20

0.20

0.10

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

JUNE

30

,

JUNE

30,

2023

JUNE

30,

2023

20

23

20

24

20

25

20

26

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

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

$

44,073

$

323,513

$

63,409

$

138,157

$

77,874

$

44,073

Class

N

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

4,637

43,444

5,814

21,033

11,960

4,637

Class

R6

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

80,777

524,012

75,717

186,472

181,046

80,777

Totals

$

129,487

$

890,969

$

144,940

$

345,662

$

270,880

$

129,487

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

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

$

17,498

$

554,503

$

106,464

$

307,319

$

123,222

$

17,498

Class

N

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

1,120

32,646

6,750

16,394

8,382

1,120

Class

R6

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

7,865

242,509

35,497

117,432

81,715

7,865

Totals

$

26,483

$

829,658

$

148,711

$

441,145

$

213,319

$

26,483

AQR

DIVERSIFYING

STRATEGIES

FUND

Class

I

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

$

17,710

$

356,744

$

91,736

$

156,974

$

90,324

$

17,710

Class

N

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

545

15,547

4,203

7,540

3,259

545

Class

R6

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

134

82,090

35,050

40,888

6,018

134

Totals

$

18,389

$

454,381

$

130,989

$

205,402

$

99,601

$

18,389

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

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

$

67,116

$

386,547

$

50,788

$

139,748

$

128,895

$

67,116

Class

N

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

13,035

115,317

7,835

56,655

37,792

13,035

Class

R6

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

29,566

106,758

23,295

18,980

34,917

29,566

Totals

$

109,717

$

608,622

$

81,918

$

215,383

$

201,604

$

109,717

AQR

LONG-SHORT

EQUITY

FUND

Class

I

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

$

56,451

$

395,278

$

49,832

$

154,566

$

134,429

$

56,451

Class

N

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

1,992

15,219

1,187

6,518

5,522

1,992

Class

R6

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

894

20,507

6,122

9,902

3,589

894

Totals

$

59,337

$

431,004

$

57,141

$

170,986

$

143,540

$

59,337

328

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

During

the

period

ended

June

30,

2023,

the

Funds

repaid

to

the

Advisor

amounts

previously reimbursed

as

follows:

Pursuant

to

the

Sub-Advisory

Agreements

between

the

Sub-Adviser,

the

Adviser

and

the

Trust,

the

Adviser

will

pay

the

Sub-Adviser

an

annual

fee,

payable

monthly,

at

the

annual

rate

of

0.50%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund. 

10.

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily NAV

of

the

Class

N

shares

of

the

Funds.

11.

Principal

Risks

and

Concentrations

With

the

exception

of

AQR

Risk-Balanced

Commodities

Strategy

Fund,

the

Funds

are

diversified.

Because

a

non-diversified

Fund

may

invest

in

securities

of

a

smaller

number

of

issuers,

such

non-diversified

Fund

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

non-diversified

Fund's

performance. 

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

JUNE

30,

JUNE

30,

2023

JUNE

30,

2023

2023

2024

2025

2026

AQR

MACRO

OPPORTUNITIES

FUND

Class

I

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

$

86,767

$

375,390

$

52,294

$

98,175

$

138,154

$

86,767

Class

N

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

9,045

35,984

4,046

7,047

15,846

9,045

Class

R6

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

53,242

458,809

67,735

210,700

127,132

53,242

Totals

$

149,054

$

870,183

$

124,075

$

315,922

$

281,132

$

149,054

AQR

MANAGED

FUTURES

STRATEGY

FUND

Class

I

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

$

46,661

$

46,661

$

–

$

–

$

–

$

46,661

Class

N

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

3,913

10,623

–

–

6,710

3,913

Class

R6

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

9,957

33,202

–

–

23,245

9,957

Totals

$

60,531

$

90,486

$

–

$

–

$

29,955

$

60,531

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

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

$

104,819

$

611,371

$

89,817

$

179,234

$

237,501

$

104,819

Class

N

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

4,666

38,045

4,972

7,171

21,236

4,666

Class

R6

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

57,343

245,923

36,789

56,224

95,567

57,343

Totals

$

166,828

$

895,339

$

131,578

$

242,629

$

354,304

$

166,828

AQR

MULTI-ASSET

FUND

Class

I

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

$

68,376

$

586,037

$

98,931

$

208,551

$

210,179

$

68,376

Class

N

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

6,777

33,907

4,397

8,933

13,800

6,777

Class

R6

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

45,935

133,992

8,761

25,674

53,622

45,935

Totals

$

121,088

$

753,936

$

112,089

$

243,158

$

277,601

$

121,088

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

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

$

81,626

$

389,960

$

14,091

$

157,495

$

136,748

$

81,626

Class

N

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

9,097

67,525

11,355

30,330

16,743

9,097

Class

R6

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

6,803

65,904

46,921

2,851

9,329

6,803

Totals

$

97,526

$

523,389

$

72,367

$

190,676

$

162,820

$

97,526

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

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

$

28,194

$

442,940

$

105,102

$

167,507

$

142,137

$

28,194

Class

N

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

2,929

33,343

3,856

12,424

14,134

2,929

Class

R6

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

41,877

720,929

174,746

271,867

232,439

41,877

Totals

$

73,000

$

1,197,212

$

283,704

$

451,798

$

388,710

$

73,000

AQR

SUSTAINABLE

LONG-SHORT

EQUITY

CARBON

AWARE

FUND

Class

I

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

$

35,282

$

125,703

$

–

$

3,140

$

87,281

$

35,282

Class

N

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

20,239

72,281

–

3,140

48,902

20,239

Class

R6

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

36,783

310,707

–

56,879

217,045

36,783

Totals

$

92,304

$

508,691

$

–

$

63,159

$

353,228

$

92,304

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Diversified

Arbitrage

Fund

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

$

22,274

$

1,166

$

9,027

AQR

Diversifying

Strategies

Fund

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

–

128

–

329

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(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.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the

Funds'

portfolios

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Funds

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Inflation-indexed

bonds

are

subject

to

certain

risks,

including

that

their

value

will

typically

fluctuate

in

response

to

changes

in

real

interest

rates,

which

are

in

turn

tied

to

the

relationship

between

nominal

interest

rates

and

the

rate

of

inflation.

Therefore,

if

nominal

interest

rates

increased

at

a

faster

rate

than

inflation,

real

interest

rates

might

rise,

leading

to

a

decrease

in

the

value

of

inflation-protected

securities.

Sovereign

debt

investments

are

subject

to

the

risk

that

a

governmental

entity

may

delay

or

refuse

to

pay

interest

or

repay

principal

on

its

sovereign

debt,

due,

for

example,

to

cash

flow

problems,

insufficient

foreign

currency

reserves,

political

considerations,

the

relative

size

of

the

governmental

entity’s

debt

position

in

relation

to

the

economy

or

the

failure

to

put

in

place

economic

reforms

required

by

the

International

Monetary

Fund

or

other

multilateral

agencies.

If

a

governmental

entity

defaults,

it

may

ask

for

more

time

in

which

to

pay

or

for

further

loans.

There

is

no

legal

process

for

collecting

sovereign

debt

that

a

government

does

not

pay

nor

are

there

bankruptcy

proceedings

through

which

all

or

part

of

the

sovereign

debt

that

a

governmental

entity

has

not

repaid

may

be

collected.

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions,

embargos or

other

government

actions

and/or restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

Fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries may

have

a

significant

impact

on

investment

performance,

may

subject

the

Fund

to

increased

price

volatility

and

may

impair

or

otherwise

limit

the

Fund's

ability

to

invest

in,

receive,

hold

or

sell

securities

issued

by

the

impacted

countries.

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

Foreign

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

option

contracts,

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.

330

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Geopolitical

and

other

events,

including

war,

terrorism,

natural

disasters,

economic

uncertainty,

trade

disputes,

extreme

weather

and

climate-related

events,

public

health

crises

including

pandemics and

related

geopolitical

events

have

led,

and

in

the

future

may

lead,

to

increased

market

volatility,

which

may

disrupt

the

U.S.

and

world

economies

and

markets

and

may

have

significant

adverse

direct

or

indirect

effects

on

the

Funds

and

their

investments.

Although

multiple

asset

classes

may

be

affected

by

a

market

disruption,

the

duration

and

effects

may

not

be

the

same

for

all

types

of

assets.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Funds'

NAV

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

NAV

of the

Funds

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Funds

invest.

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’

NAV

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary.

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund's

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s NAV

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

Similar

to

credit

risk, the

Funds

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Funds

have

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose the

Funds

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

Funds

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

Funds

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’

NAV

per

share

to

experience

significant

increases

or

declines

in

value

over

short

periods

of

time,

however,

all

investments

long-term

or

short-term

are

subject

to

risk

of

loss. 

The

Funds

may

invest

in

restricted

securities.

Restricted

securities

are

subject

to

legal

or

contractual

restrictions

on

resale

and

may

generally

be

sold

privately

but

may

be

required

to

be

registered

or

exempted

from

such

registration

before

being

sold

to

the

public.

Private

placement

securities

are

generally

considered

to

be

restricted

except

for

those

securities

traded

between

qualified

institutional

investors

under

the

provisions

of

Rule

144A

of

the

Securities

Act

of

1933.

Disposal

of

restricted

investments

may

involve

time-consuming

negotiations

and

expenses,

and

prompt

sale

at

an

acceptable

price

may

be

difficult

to

achieve.

Restricted

investments

held

by

the

Funds,

if

any,

are

disclosed

in

the

Schedule

of

Investments. 

The

Funds,

at

times,

may

utilize

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

could

also increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

331

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

Given

the

complexity

of

the

investments

and

strategies

of

the

Funds,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

traditional

and

non-traditional

data

supplied

or

made

available by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Funds'

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

including

because

data

is

stale,

missing

or

unavailable,

any

decisions

made

in

reliance

thereon

expose

the

Funds

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

Funds

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties

or

otherwise,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Funds

bear

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

Funds

to

achieve their

investment

objective.

In

regards

to

the

AQR

Diversifying

Strategies

Fund,

due

to

the

Fund's

strategy

of

investing

in

affiliated

funds,

shareholders

bear

both

their

proportionate

share

of

expenses

in

the

Fund

and,

indirectly,

the

expenses

of

such

affiliated

funds.

An

investor

holding

the

affiliated

investment

funds

directly

and

in

the

same

proportions

as

the

Fund

would

incur

lower

overall

expenses

but

would

not

receive

the

benefits

of

the

active

allocation

of

investments

among

the

affiliated

investment

funds

associated

with

an

investment

in

the

Fund.

The

Adviser

receives

management

fees

from

each

of

the

affiliated

investment

funds,

but

not

from

the

Fund.

If

the

Adviser

were

to

invest

in

unaffiliated

funds,

however,

the

Adviser

would

not

receive

direct

or

indirect

management

fees

on

the

Fund

assets

invested

in

those

unaffiliated

funds.

There

is

a

risk

that

the

affiliated

investment

funds

in

which

the

Fund

invests

will

have

higher

expense

ratios

and/or

underperform

unaffiliated

funds

with

comparable

investment

strategies.

Additionally,

investments

in

the

AQR

Diversifying

Strategies

Fund

are

subject

to

risks

related

to

the

Adviser's

allocation

choices.

The

selection

of

the

affiliated

investment

funds

and

the

allocation

of

the

Fund's

assets

to

the

affiliated

investment

funds

could

cause

the

Fund

to

lose

value

or

its

results

to

lag

relevant

benchmarks

or

other

funds

with

similar

objectives.

The

Fund

could

miss

attractive

investment

opportunities

by

underweighting

strategies

that

subsequently

experience

significant

returns

and

could

lose

value

by

overweighting

strategies

that

subsequently

experience

significant

declines.

As

with

other

investments,

investments

in

other

investment

companies,

such

as

the

affiliated

investment

funds

and

money

market

mutual

funds,

are

subject

to

market

and

manager

risk.

Since

the

AQR

Diversifying

Strategies

Fund's

investments

consist

primarily

of

affiliated

funds,

the

Fund's

risks

are

directly

related

to

the

risks

of

the

affiliated

investment

funds.

For

this

reason,

it

is

important

to

understand

the

risks

associated

with

investing

in

the

affiliated

investment

funds.

In

regard

to

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund,

the

ability

of

the

Fund

to

achieve

its

net

zero

carbon

target

will

be

subject

to

the

Adviser's

ability

to

correctly

assess

the

carbon

emissions

of

the

companies

to

which

the

Fund

has

exposure

and

the

relative

performance

of

the

investments

in

the

portfolio.

Since

the

carbon

emissions

of

companies

will

likely

change

as

the

regulatory

environment,

public

sentiment

and

markets

change

or

time

passes,

the

success

of

the

Fund's

net

zero

carbon

strategy

will

also

be

subject

to

the

Adviser's

ability

to

continually

recalculate,

readjust,

and

execute

long

and/or

short

positions

in

an

efficient

and

timely

manner.

Additionally,

the

Adviser's

methodology

for

assessing

the

Fund's

carbon

emissions

exposure

may

differ

from

the

methodology

used

by

others

and

may

not

comport

with

an

investor's

assessment

due

to

a

variety

of

reasons

such

as,

the

use

of

different

carbon

emission

data

sources

and/or

differing

views

on

how

net

zero

carbon

exposure

is

achieved.

The

Adviser's

methodology

for

calculating

the

Fund's

carbon

emissions

exposure

could

prove

to

be

imperfect

or

may

not

achieve

its

intended

results.

Additionally,

the

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

follows

a

sustainable

investment

approach

that

considers

the

Environmental,

Social

and

Governance

(“ESG”)

characteristics

of

investments

when

constructing

the

Fund's

portfolio.

Accordingly,

the

Fund

will

have

reduced

exposure

to

industries

or

sectors

with

companies

that

are

excluded

by

the

Fund's

dynamic

ESG

filter

or

otherwise

underweighted

due

to

their

ESG

characteristics

and

potentially

increased

exposure

to

industries

or

sectors

that

do

not

contain

such

companies.

Additionally,

due

to

its

exclusionary

criteria,

the

Fund

may

not

be

invested

in

certain

industries

or

sectors.

As

a

result,

the

Fund's

performance

may

be

lower

than

other

funds

that

do

not

consider

ESG

characteristics

or

use

different

ESG

criteria

when

constructing

their

portfolios.

In

addition,

since

sustainable

and

ESG

investing

takes

into

consideration

factors

beyond

traditional

financial

analysis,

the

Fund

may

have

fewer

investment

opportunities

available

to

it.

Sustainability

and

ESG-related

information

provided

by

issuers

and

third

parties,

upon

which

the

portfolio

managers

may

rely,

may

be

incomplete,

inaccurate,

use

different

methodologies,

or

be

applied

differently

across

companies

and

industries.

Further,

the

regulatory

landscape

for

sustainable

and

ESG

investing

in

the

U.S.

is

still

developing

and

future

rules

and

regulations

may

require

the

Fund

to

modify

or

alter

its

investment

process.

Similarly,

government

policies

incentivizing

companies

to

engage

in

and/or

disclose

their

sustainable

and

ESG

practices

may

fall

out

of

favor,

which

would

challenge

the

Fund's

ability

to

assess

ESG

characteristics

of

an

issuer

or

industry

and

its

ability

to

implement

its

investment

strategies.

There

is

also

a

risk

that

the

companies

identified

through

the

investment

process

may

fail

to

adhere

to

sustainable

and/or

ESG-related

business

practices,

which

may

result

in

the

Fund

selling

a

security

when

it

might

otherwise

be

disadvantageous

to

do

so.

There

is

no

guarantee

that

sustainable

investments

will

outperform

the

broader

market

on

either

an

absolute

or

relative

basis.

There

is

also

no

guarantee

that

the

Adviser

will

successfully

implement

strategies

or

make

investments

in

companies

that

result

in

favorable

ESG

outcomes

while

enhancing

long-term

shareholder

value

and

achieving

financial

returns.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

12.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds,

including

other

AQR

Funds

not

presented

in

this

book,

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

332

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

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

income

earned,

as

a

result

of

lending

under

this

agreement,

is

included

in

interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

series

of

the

Trust

(not

presented

in

this

book)

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

June

30,

2023

by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the

period

ended

June

30,

2023.

13.

Line

of

Credit

Each

series

of

the

Trust

other

than

the

AQR

Diversifying

Strategies

Fund

(collectively,

the

“Participating

Funds”)

renewed

a

364-day

syndicated

line

of

credit

with

$345,000,000

in

committed

loans

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

administrative

agent,

effective

March

17,

2023.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.00%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

Term

SOFR

(including

a

0.10%

adjustment).

The

maximum

loan

amount

available

to

a

Participating

Fund

is

the

lesser

of

an

amount

that

will

not

exceed

the

borrowing

limits

set

forth

in

the

Participating

Fund’s

Prospectus

and/or

Statement

of

Additional

Information

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

the

Participating

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Participating

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

allocated

to

each

Participating

Fund,

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Participating

Fund

may

be

earmarked

for

asset

coverage

purposes

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

the

Agreement,

and

each

Participating

Fund's

allocated

commitment

fee,

is

included

in

interest

expense

in

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of

June

30,

2023

by

any

of

the

Funds.

The

Funds

did

not

have

any

borrowings

for

the

period

ended

June

30,

2023.

14.

Principal

Ownership

As

of

June

30,

2023,

the

Funds

had

individual

shareholders

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.

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

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

$

6,986,410

5.58

%

$

41,637

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Alternative

Risk

Premia

Fund

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

3

92.65

%

AQR

Diversified

Arbitrage

Fund

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

5

86.09

AQR

Diversifying

Strategies

Fund

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

3

90.68

AQR

Equity

Market

Neutral

Fund*

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

5

85.35

AQR

Long-Short

Equity

Fund

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

6

85.25

AQR

Macro

Opportunities

Fund*

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

6

85.02

AQR

Managed

Futures

Strategy

Fund

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

7

76.51

AQR

Managed

Futures

Strategy

HV

Fund*

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

6

91.92

AQR

Multi-Asset

Fund*

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

5

86.87

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

6

86.72

AQR

Style

Premia

Alternative

Fund*

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

4

79.69

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund*

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

5

94.89

*

The

percentages

held

by

the

Adviser

and/or

affiliates

are

29.47%,

43.87%,

25.28%,

41.87%,

6.96%

and

40.38%,

respectively.

333

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

June

30,

2023

(Unaudited)

15.

New

Accounting

Pronouncements

and

Regulations 

On

October

26,

2022,

the

SEC

adopted

rule

and

form

amendments

which

require

open-end

mutual

funds

to

transmit

streamlined

annual

and

semi-

annual

reports

to

shareholders

that

highlight

key

information

to

investors.

In

connection

with

these

amendments,

certain

information

that

was

previously

disclosed

in

fund

shareholder

reports

will

instead

be

made

available

online,

delivered

free

of

charge

upon

request,

and

filed

on

a

semi-annual

basis

on

Form

N-CSR.

The

rule

and

form

amendments

have

a

compliance

date

of

July

24,

2024.

16.

Subsequent

Events

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events

requiring

adjustment

to,

or

disclosure

in,

these

financial

statements.

334

Fund

Expense

Examples

AQR

Funds

|

Semi-Annual

Report

|

June

2023

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

06/30/2023”

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

  6/30/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        6/30/23

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$1,043.30

5.23%

$26.50

Hypothetical

Return

$1,000.00

$998.86

5.23%

$25.92

Class

N

Actual

Return

$1,000.00

$1,042.60

5.48%

$27.75

Hypothetical

Return

$1,000.00

$997.62

5.48%

$27.14

Class

R6

Actual

Return

$1,000.00

$1,043.10

5.13%

$25.99

Hypothetical

Return

$1,000.00

$999.36

5.13%

$25.43

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$1,012.00

1.33%

$6.63

Hypothetical

Return

$1,000.00

$1,018.20

1.33%

$6.66

Class

N

Actual

Return

$1,000.00

$1,010.30

1.58%

$7.88

Hypothetical

Return

$1,000.00

$1,016.96

1.58%

$7.90

Class

R6

Actual

Return

$1,000.00

$1,012.00

1.23%

$6.14

Hypothetical

Return

$1,000.00

$1,018.70

1.23%

$6.16

AQR

Diversifying

Strategies

Fund

Class

I

Actual

Return

$1,000.00

$1,032.30

0.20%

$1.01

Hypothetical

Return

$1,000.00

$1,023.80

0.20%

$1.00

Class

N

Actual

Return

$1,000.00

$1,029.70

0.45%

$2.26

Hypothetical

Return

$1,000.00

$1,022.56

0.45%

$2.26

Class

R6

Actual

Return

$1,000.00

$1,031.30

0.10%

$0.50

Hypothetical

Return

$1,000.00

$1,024.30

0.10%

$0.50

335

Fund

Expense

Examples

AQR

Funds

|

Semi-Annual

Report

|

June

2023

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  6/30/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        6/30/23

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$1,042.10

1.54%

$7.80

Hypothetical

Return

$1,000.00

$1,017.16

1.54%

$7.70

Class

N

Actual

Return

$1,000.00

$1,040.50

1.79%

$9.06

Hypothetical

Return

$1,000.00

$1,015.92

1.79%

$8.95

Class

R6

Actual

Return

$1,000.00

$1,042.00

1.44%

$7.29

Hypothetical

Return

$1,000.00

$1,017.65

1.44%

$7.20

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,089.00

1.38%

$7.15

Hypothetical

Return

$1,000.00

$1,017.95

1.38%

$6.90

Class

N

Actual

Return

$1,000.00

$1,088.40

1.63%

$8.44

Hypothetical

Return

$1,000.00

$1,016.71

1.63%

$8.15

Class

R6

Actual

Return

$1,000.00

$1,089.90

1.28%

$6.63

Hypothetical

Return

$1,000.00

$1,018.45

1.28%

$6.41

AQR

Macro

Opportunities

Fund

Class

I

Actual

Return

$1,000.00

$977.80

1.21%

$5.93

Hypothetical

Return

$1,000.00

$1,018.79

1.21%

$6.06

Class

N

Actual

Return

$1,000.00

$977.40

1.46%

$7.16

Hypothetical

Return

$1,000.00

$1,017.55

1.46%

$7.30

Class

R6

Actual

Return

$1,000.00

$978.80

1.11%

$5.45

Hypothetical

Return

$1,000.00

$1,019.29

1.11%

$5.56

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,017.20

1.27%

$6.35

Hypothetical

Return

$1,000.00

$1,018.50

1.27%

$6.36

Class

N

Actual

Return

$1,000.00

$1,016.20

1.52%

$7.60

Hypothetical

Return

$1,000.00

$1,017.26

1.52%

$7.60

Class

R6

Actual

Return

$1,000.00

$1,018.30

1.17%

$5.86

Hypothetical

Return

$1,000.00

$1,018.99

1.17%

$5.86

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$1,009.60

1.69%

$8.42

Hypothetical

Return

$1,000.00

$1,016.41

1.69%

$8.45

Class

N

Actual

Return

$1,000.00

$1,008.30

1.94%

$9.66

Hypothetical

Return

$1,000.00

$1,015.17

1.94%

$9.69

Class

R6

Actual

Return

$1,000.00

$1,010.80

1.59%

$7.93

Hypothetical

Return

$1,000.00

$1,016.91

1.59%

$7.95

336

Fund

Expense

Examples

AQR

Funds

|

Semi-Annual

Report

|

June

2023

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  6/30/23

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDED

        6/30/23

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$1,056.60

1.03%

$5.25

Hypothetical

Return

$1,000.00

$1,019.69

1.03%

$5.16

Class

N

Actual

Return

$1,000.00

$1,055.70

1.28%

$6.52

Hypothetical

Return

$1,000.00

$1,018.45

1.28%

$6.41

Class

R6

Actual

Return

$1,000.00

$1,057.80

0.93%

$4.75

Hypothetical

Return

$1,000.00

$1,020.18

0.93%

$4.66

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$982.10

1.01%

$4.96

Hypothetical

Return

$1,000.00

$1,019.79

1.01%

$5.06

Class

N

Actual

Return

$1,000.00

$981.70

1.26%

$6.19

Hypothetical

Return

$1,000.00

$1,018.55

1.26%

$6.31

Class

R6

Actual

Return

$1,000.00

$983.30

0.91%

$4.47

Hypothetical

Return

$1,000.00

$1,020.28

0.91%

$4.56

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$1,057.50

1.75%

$8.93

Hypothetical

Return

$1,000.00

$1,016.12

1.75%

$8.75

Class

N

Actual

Return

$1,000.00

$1,055.30

2.00%

$10.19

Hypothetical

Return

$1,000.00

$1,014.88

2.00%

$9.99

Class

R6

Actual

Return

$1,000.00

$1,057.20

1.65%

$8.42

Hypothetical

Return

$1,000.00

$1,016.61

1.65%

$8.25

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

Class

I

Actual

Return

$1,000.00

$1,079.00

1.39%

$7.17

Hypothetical

Return

$1,000.00

$1,017.90

1.39%

$6.95

Class

N

Actual

Return

$1,000.00

$1,078.30

1.64%

$8.45

Hypothetical

Return

$1,000.00

$1,016.66

1.64%

$8.20

Class

R6

Actual

Return

$1,000.00

$1,078.90

1.29%

$6.65

Hypothetical

Return

$1,000.00

$1,018.40

1.29%

$6.46

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

181/365

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

337

Board

Approval

of

Investment

Advisory

Agreements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

met

in

person

on

May

18-19,

2023

(the

“Meeting”)

to

consider

the

continuation

of

the:

(i)

Third

Amended

and

Restated

Investment

Management

Agreement,

as

amended,

between

AQR

Capital

Management,

LLC

(“AQR”)

and

the

Trust,

on

behalf

of

the

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Macro

Opportunities

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Style

Premia

Alternative

Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

and

certain

other

series

of

the

Trust

(the

“Investment

Management

Agreement”);

(ii)

Investment

Management

Agreement

II,

as

amended,

between

AQR

and

the

Trust

on

behalf

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversifying

Strategies

Fund,

and

AQR

Sustainable

Long-Short

Equity

Carbon

Aware

Fund

(the

“Investment

Management

Agreement

II”);

and

(iii)

the

Second

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

AQR

and

AQR

Arbitrage,

LLC

(“AQR

Arbitrage”

or

the

“Sub-Adviser”)

for

the

AQR

Diversified

Arbitrage

Fund

(the

“Sub-Advisory

Agreement”).

Each

of

the

aforementioned

series

of

the

Trust

may

be

referred

to

herein

as

a

“Fund”

and

collectively,

the

“Funds.”

The

Investment

Management

Agreement,

the

Investment

Management

Agreement

II

and

the

Sub-Advisory

Agreement

are

referred

to

collectively

herein

as

the

“Management

Agreement,”

as

applicable

and

as

the

context

suggests.

At

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section

15(c)

of

the

1940

Act,

the

Board

requested

and

considered

materials

furnished

by

AQR

and

the

Sub-

Adviser

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

continuation

of

the

Management

Agreement.

These

materials

included:

(i)

memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

provided

to

the

Funds;

(ii)

memoranda

and

materials

provided

by

AQR,

describing

the

personnel

and

services

provided

by

the

Sub-Adviser

to

the

AQR

Diversified

Arbitrage

Fund;

(iii)

performance

information

for

the

Funds

relevant

to

the

consideration

of

the

Management

Agreement;

(iv)

information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

Funds’

fees

and

expenses

and

performance

relative

to

peers

within

Morningstar

fund

categories;

(v)

financial

information

for

AQR

and

a

profitability

analysis

showing

the

profitability

of

AQR

and

the

Sub-Adviser

from

providing

services

to

the

Funds;

and

(vi)

a

discussion

of

the

compliance

programs

of

AQR

and

the

Sub-Adviser

and

the

regulatory

exam

histories

of

each.

AQR

and

the

Sub-Adviser

are

referred

to

herein

as

the

“Adviser,”

as

applicable.

At

the

Meeting

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Management

Agreement

for

an

additional

one-year

period

for

each

Fund.

In

approving

the

continuation

of

the

Management

Agreement

for

a

Fund,

the

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

Fund,

including,

among

other

factors:

(a)

the

nature,

extent

and

quality

of

the

services

provided

by

the

Adviser;

(b)

the

investment

performance

of

the

Fund

and

the

Adviser’s

portfolio

management;

(c)

the

management

fee

and

the

cost

of

the

services

provided

and

profits

realized

by

the

Adviser

from

the

relationship

with

the

Funds

and

the

fund

complex;

(d)

economies

of

scale;

(e)

fall-out

benefits;

and

(f)

other

factors.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

AQR’s

services

related

to

the

valuation

and

pricing

of

the

Funds’

portfolio

holdings,

direct

and

indirect

benefits

to

AQR

and

its

affiliates

from

their

relationship

with

the

Funds

and

advice

from

independent

legal

counsel

with

respect

to

the

review

process

and

materials

submitted

for

the

Board’s

consideration.

The

Board

did

not

identify

any

particular

information

as

controlling,

and

each

Board

Member

may

have

attributed

different

weightings

to

the

various

items

considered.

In

considering

the

renewal

of

the

Management

Agreement

for

each

Fund,

the

Board

did

not

view

the

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Management

Agreement

against

the

Adviser.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Management

Agreement:

The

Nature,

Extent

and

Quality

of

the

Services

Provided

by

the

Adviser

.

The

Board

Members

reviewed

the

services

that

the

Adviser

provided

to

the

Funds

under

the

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

the

Adviser’s

staff,

its

use

of

technology,

and

the

Funds’

stated

investment

objectives,

strategies

and

processes.

In

connection

with

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

took

into

account

discussions

they

had

regularly

as

part

of

quarterly

Board

meetings

with

representatives

of

the

Adviser

regarding

the

management

of

each

Fund’s

investments

in

accordance

with

the

Funds’

stated

investment

objectives

and

policies

and

the

types

of

transactions

that

are

entered

into

on

behalf

of

the

Funds.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

the

Adviser

regarding

the

formulation

and

implementation

of

the

Funds’

investment

strategies,

their

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

considered

that

AQR

also

provides

shareholder

and

administrative

services,

has

responsibility

for

overseeing

the

Sub-Adviser

with

respect

to

the

AQR

Diversified

Arbitrage

Fund,

provides

oversight

of

Fund

accounting,

provides

risk

management,

provides

compliance

oversight,

administers

the

Funds’

liquidity

risk

management

program,

provides

derivatives

risk

management

services,

serves

as

the

Funds’

valuation

designee,

oversees

third-party

service

providers

and

provides

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

Funds.

In

particular,

the

Board

Members

considered

the

compliance,

shareholder

and

administrative

services

provided

to

the

Funds

by

AQR

under

the

Management

Agreement.

The

Board

recognized

that

AQR’s

oversight

of

the

Sub-Adviser

was

extensive,

including

portfolio

risk

monitoring,

compliance

testing,

trade

monitoring

and

execution,

administration

of

the

Funds’

liquidity

risk

management

program

and

derivatives

risk

management

program,

and

negotiation

of

agreements

with

derivative

counterparties.

The

Board

Members

recognized

the

enterprise

risk

of

AQR

and

the

Sub-Adviser

involved

in

providing

services

to

the

Funds

over

time.

Finally,

the

Independent

Board

Members

had

several

opportunities

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meeting

and

their

familiarity

gained

through

regular

Board

presentations

over

time,

the

Board

concluded

that

the

services

provided

to

the

Funds

by

AQR

and,

as

applicable,

the

Sub-Adviser

pursuant

to

the

Management

Agreement

were

of

a

high

quality

and

benefit

the

Funds.

Investment

Performance

of

the

Funds

and

the

Adviser’s

Portfolio

Management

.

The

Board

considered

the

investment

performance

of

each

Fund.

In

particular,

the

Independent

Board

Members

considered

the

investment

performance

of

the

Funds

relative

to

their

stated

objectives

and

the

Adviser’s

efforts

to

achieve

such

goals

as

well

as

the

performance

of

the

Funds

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Performance

Peers”).

338

Board

Approval

of

Investment

Advisory

Agreements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

Board

noted

that

the

Funds

generally

outperformed

their

Performance

Peers

during

the

most

recent

calendar

year.

However,

the

Board

was

cognizant

of

the

fact

that

in

some

cases

Fund

performance

was

challenged

over

certain

measurement

periods

in

comparison

to

a

Fund’s

Performance

Peers

and

considered

the

Adviser’s

views

regarding

the

factors

contributing

to

such

underperformance

on

a

Fund-by-Fund

basis.

Representatives

of

AQR

indicated

AQR

remains

confident

in

its

investment

philosophy

and

disciplined

systematic

investment

approach

to

managing

the

Funds,

which

has

contributed

to

recent

outperformance.

The

Board

considered

that

Broadridge

comparisons

may

be

of

limited

use

in

some

cases

due

to

the

differences

between

the

ways

in

which

a

Fund

is

managed

from

other

Performance

Peers.

In

other

cases,

underperformance

in

relation

to

Performance

Peers

may

be

due

to

differences

in

a

Fund’s

investment

parameters

compared

to

its

Performance

Peers,

including

risk

limits,

volatility

targets,

model

limits

on

exposure

to

a

particular

country,

and

the

Fund’s

investment

universe.

In

addition,

the

use

of

drawdown

control

and/or

internal

risk

protections

may

affect

a

Fund’s

performance

in

relation

to

its

Performance

Peers.

The

Board

also

discussed

the

performance

of

the

Funds

with

AQR

at

Board

meetings

throughout

the

year.

AQR’s

presentations

to

the

Board

at

such

Board

meetings,

which

addressed

in

detail

the

drivers

of

underperformance

or

outperformance,

as

applicable,

supported

a

conclusion

that

the

Funds

were

being

managed

consistent

with

their

stated

policies

and

strategies.

The

Board

considered

the

Adviser’s

performance

in

managing

other

registered

investment

companies

and

private

funds,

noting

that

other

funds

the

Adviser

manages

might

have

investment

objectives,

policies

or

restrictions

different

from

those

of

the

Funds.

Based

on

these

factors,

the

Board

Members

determined

that

the

performance

of

each

Fund

is

consistent

with

its

stated

objectives

and

strategies

and

the

Adviser’s

investment

process.

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

Realized

by

the

Adviser

from

the

Relationship

with

the

Fund

s

.

The

Board,

including

the

Independent

Board

Members,

received

information

regarding

the

management

fees

paid

by

the

Funds

to

the

Adviser

pursuant

to

the

Management

Agreement.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

provided

to

the

Funds

and

the

costs

incurred

by

and

benefits

to

the

Adviser

in

providing

those

services,

and

other

relevant

factors.

To

assist

in

this

analysis,

the

Board

reviewed

comparative

fee

and

expense

information

for

each

Fund

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Expense

Peers”),

including

comparisons

of

contractual

management

fees

and

actual

net

expenses.

The

first

quartile

is

the

most

desirable

quartile

(i.e.,

relatively

lower

fees

or

expenses)

and

the

fourth

is

the

least

desirable

(i.e.,

relatively

higher

fees

or

expenses).

The

Board

noted

that,

as

of

December

31,

2022,

the

net

expenses

for

certain

Funds

were

lower

than

the

median

net

expenses

of

their

Expense

Peers,

while

net

expense

ratios

for

other

Funds

were

above

the

median

compared

to

their

Expense

Peers.

The

Board

discussed

the

management

fee

reduction

for

AQR

Style

Premia

Alternative

Fund

and

increase

in

the

Fund’s

expense

cap

by

a

commensurate

amount,

which

took

effect

on

July

1,

2022.

Finally,

the

Board

noted

that

while

the

AQR

Diversifying

Strategies

Fund

bears

a

management

fee

of

0%,

as

a

fund

of

funds

it

indirectly

bears

a

pro

rata

portion

of

the

management

fees

charged

by

the

Funds

in

which

it

invests.

The

Board

reviewed

information

regarding

the

fees

the

Adviser

charges

for

other

funds

and

accounts

managed

by

the

Adviser,

including

sub-advised

mutual

funds,

with

similar

investment

strategies

to

certain

of

the

Funds.

The

Board

noted

the

greater

services

provided

by

the

Adviser

to

the

Funds

in

contrast

to

the

limited

role

of

the

Adviser

when

it

sub-advises

third

party

mutual

funds

or

advises

separate

accounts.

The

Board

also

received

and

reviewed

information

regarding

the

profitability

of

AQR

with

respect

to

Fund-related

activities

and

the

profitability

of

the

Sub-Adviser

with

respect

to

its

sub-advisory

services

for

one

of

the

Funds.

The

Adviser

provided

the

Board

Members

with

a

detailed

description

of

the

methodology

and

inputs

used

to

determine

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

AQR,

the

types

of

funds

managed,

costs

of

recruiting

and

retaining

personnel,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

AQR’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

Funds

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

management

fees

under

the

Management

Agreement

are

reasonable

and

AQR’s

and

Sub-Adviser’s

profitability

were

not

excessive.

Economies

of

Scale.

The

Adviser

provided

the

Board

with

information

concerning

the

extent

to

which

economies

of

scale

were

realized

as

the

Funds

grew

and

whether

fee

levels

were

reflective

of

such

economies

of

scale.

To

show

that

economies

are

being

shared,

the

Adviser

presented

information

regarding

each

Fund’s

management

fees

relative

to

comparable

funds

of

similar

and/or

larger

sizes,

showing

that

management

fees

were

set

at

a

competitive

level.

It

also

provided

Morningstar

data

for

the

purpose

of

showing

the

hypothetical

effective

management

fee

for

each

Fund

at

higher

asset

levels

compared

to

its

peers,

some

of

which

have

breakpoints.

The

Board

considered

this

information

in

determining

the

reasonableness

of

continuing

to

operate

each

Fund

without

management

fee

breakpoints

at

the

Fund’s

current

asset

level.

The

Board

recognized

that

economies

were

also

being

shared

through

the

expense

limitation

agreements

for

the

Funds.

The

Board

noted

that,

under

the

Management

Agreement,

none

of

the

Funds

have

breakpoints

in

their

management

fees

that

would

allow

investors

to

benefit

directly

in

the

form

of

lower

fees

as

fund

assets

grew.

The

Board

considered

that

the

funds

in

the

AQR

fund

complex

share

some

common

resources

and,

as

a

result,

an

increase

in

the

overall

size

of

the

complex

could

permit

each

Fund

to

incur

lower

expenses

than

it

would

otherwise

as

a

stand-alone

entity.

The

Board

also

considered

the

Adviser’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

In

particular,

the

Board

noted

the

continuing

enhancements

to

AQR’s

services

to

the

Funds

in

areas

such

as

compliance,

risk,

portfolio

management,

technology,

valuation

and

administration.

AQR

advised

that

its

size

as

a

firm

has

resulted

in

additional

benefits

to

the

AQR

Funds,

such

as

the

ability

to

negotiate

better

terms

with

service

providers

and

to

establish

a

dedicated

money

market

fund

for

the

AQR

Funds

and

other

clients

of

AQR.

The

principals

of

AQR

have

also

provided

seed

capital

in

excess

of

regulatory

minimums

for

extended

periods.

AQR

also

discussed

that

the

Funds

had

undertaken

to

rely

on

Rule

30e-3

under

the

1940

Act

which

reduced

charges

related

to

printing

and

mailing

costs

for

shareholder

reports.

339

Board

Approval

of

Investment

Advisory

Agreements

AQR

Funds

|

Semi-Annual

Report

|

June

2023

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

the

Adviser

or

its

affiliates

may

derive

from

its

relationship

with

the

Funds,

both

tangible

and

intangible,

including

the

sub-advisory

fees

paid

to

the

Sub-Adviser,

noting

that

no

payments

are

received

by

the

Adviser

from

the

Funds

beyond

the

fees

under

the

Management

Agreement.

The

Board

was

advised

by

AQR

that

AQR

may

obtain

greater

exposure

to

the

public

as

a

result

of

managing

the

AQR

Funds,

which

could

lead

to

additional

business

opportunities,

such

as

unregistered

fund

investments,

separately

managed

account

opportunities

or

sub-advisory

mandates.

The

Adviser

may

also

obtain

reputational

benefits.

AQR

may

also

obtain

economic

benefit

from

its

sponsorship/management

of

both

the

Funds

and

other

funds

or

accounts

with

respect

to

the

potential

economic

leverage

of

its

service

provider

relationships.

The

Board

also

received

information

regarding

the

Adviser’s

brokerage

and

soft

dollar

practices,

noting

that

the

Adviser

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-party

research.

The

Board

considered

that

the

Adviser

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

Funds,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

investment

management

agreements.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

all

of

the

Board

Members,

including

all

of

the

Independent

Board

Members,

concluded

that

the

management

fee

rates

under

the

Management

Agreement

are

reasonable

in

relation

to

the

services

provided

by

the

Adviser

(including

the

Sub-Adviser,

when

applicable)

to

the

Funds,

as

well

as

the

costs

incurred

and

benefits

to

be

gained

by

the

Adviser

(including

the

Sub-Adviser,

when

applicable)

in

providing

such

services,

including

the

investment

advisory

and

administrative

components.

The

Board

also

found

the

investment

management

fees

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds

of

similar

size.

As

a

result,

all

of

the

Board

Members,

including

the

Independent

Board

Members

voting

separately,

approved

the

continuation

of

the

Management

Agreement

with

respect

to

each

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

340

Liquidity

Risk

Management

Program

AQR

Funds

|

Semi-Annual

Report

|

June

2023

The

U.S.

Securities

and

Exchange

Commission

adopted

Rule

22e-4

under

the

Investment

Company

Act

of

1940,

as

amended,

(the

“Liquidity

Rule”)

which

requires

the

AQR

Funds

(the

“Trust”)

to

adopt

and

implement

a

program

reasonably

designed

to

assess

and

manage

the

“liquidity

risk”

of

each

series

of

the

Trust

(the

“Funds”).

Pursuant

to

the

Liquidity

Rule,

“liquidity

risk”

is

defined

as

the

risk

that

a

Fund

could

not

meet

requests

to

redeem

shares

issued

by

the

Fund

without

significant

dilution

of

remaining

investors’

interests

in

the

Fund.

The

Trust,

on

behalf

of

each

Fund,

has

adopted

and

implemented

a

liquidity

risk

management

program

in

accordance

with

the

Liquidity

Rule

(the

“Program”).

The

Trust’s

Board

of

Trustees

(the

“Board”)

has

designated

AQR

Capital

Management,

LLC

(“AQR”),

investment

adviser

to

each

Fund,

as

the

administrator

of

the

Program

(“Program

Administrator”)

for

each

Fund.

The

Program

Administrator

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Program.

As

part

of

the

Program,

the

Program

Administrator

identifies

illiquid

investments,

categorizes

the

relative

liquidity

of

the

Funds’

investments

in

accordance

with

the

Liquidity

Rule

and

assesses,

manages,

and

periodically

reviews

the

liquidity

risk

of

each

Fund.

Among

other

things,

the

Liquidity

Rule

requires

that

a

written

report

be

provided

by

the

Program

Administrator

to

the

Board

on

an

annual

basis

that

addresses

the

operation

of

the

Program

and

assesses

the

adequacy

and

effectiveness

of

its

implementation,

including

the

operation

of

any

Highly

Liquid

Investment

Minimum

(“HLIM”)

established

for

a

Fund,

if

any,

and

any

material

changes

to

the

Program.

At

a

meeting

of

the

Board

held

on

May

19,

2023,

the

Board

reviewed

AQR’s

written

report

(the

“Report”)

concerning

the

operation,

adequacy

and

effectiveness

of

the

Program

for

the

period

from

April

1,

2022

through

March

31,

2023

(the

“Reporting

Period”).

The

Report

summarized

the

operation

of

the

Program

and

the

practices

implemented,

and

the

information

and

factors

considered

by

AQR

in

assessing

whether

the

Program

has

been

adequately

and

effectively

implemented

with

respect

to

each

Fund.

Such

practices,

information

and

factors

included,

among

other

things:

1)

An

overview

of

AQR’s

practices

with

respect

to

the

assessment,

management

and

periodic

review

of

each

Fund’s

liquidity

risk;

2)

A

summary

of

material

changes

or

findings

with

respect

to

the

Program,

if

any,

during

the

Reporting

Period;

3)

A

review

of

the

inputs

and

outputs

utilized

in

connection

with

the

Program,

particularly

the

methodologies

used

and

metrics

analyzed;

4)

A

summary

of

the

Funds’

compliance

with

the

requirements

under

the

Liquidity

Rule

and

the

Program,

including,

among

other

things,

the

15%

limit

on

investments

in

illiquid

investments

and

monitoring

of

highly

liquid

investments

to

determine

whether

a

Fund

is

required

to

set

a

HLIM;

5)

An

overview

of

the

Funds’

other

sources

of

liquidity

(e.g.,

credit

facility

and

interfund

borrowing);

and

6)

An

overall

assessment

of

the

effectiveness

of

the

Program

with

respect

to

managing

each

Fund’s

liquidity

risk,

including,

among

other

things

assessing

whether

the

Fund’s

strategy

remains

appropriate

for

an

open-end

fund

structure.

The

Report

stated

that

there

were

no

material

changes

in

the

liquidity

profile

of

the

Funds

and

that

there

were

no

material

changes

to

the

Program

during

the

Reporting

Period.

Based

on

the

above

information

and

factors,

among

others,

the

Program

Administrator

has

concluded,

and

reported

to

the

Board,

that

the

Program

is

adequate

and

operating

effectively

for

the

assessment,

monitoring

and

management

of

liquidity

risks

for

each

Fund.

Investment

Adviser

AQR

Capital

Management,

LLC

One

Greenwich

Plaza,

Suite

130

Greenwich,

CT

06830

Sub-Adviser

AQR

Arbitrage,

LLC

One

Greenwich

Plaza

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1000

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Lincoln

Street

Boston,

MA

02111

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1000

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Item 2. Code of Ethics.

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)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

codeofethics

(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

(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/ John Howard

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

John Howard,

Principal Executive Officer  

August 28, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ John Howard

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

John Howard,

Principal Executive Officer

August 28, 2023

By: /s/ Matthew Plastina

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

Matthew Plastina,

Principal Financial Officer

August 28, 2023