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

AQR Funds

(Exact name of registrant as specified in charter)
 
       Two Greenwich Plaza
                                    Greenwich, CT 06830
                        
             (Address of principal executive offices) (Zip code)
                                      H.J. Willcox, Esq.
           Principal and Chief Legal Officer
                          AQR Capital Management, LLC
                                  Two Greenwich Plaza
                                  Greenwich, CT 06830                            
     (Name and Address of Agent for Service)
 
 
Registrant’s telephone number, including area code: 203-742-3600
 
Date of fiscal year end:  September 30
 
Date of reporting period:  October 1, 2021 to March 31, 2022
 
Item 1. Reports to Shareholders.
 
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1.)
 
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not applicable.
 
Semi-Annual
Report
March
31,
2022
(Unaudited)
AQR
Large
Cap
Multi-Style
Fund
AQR
Small
Cap
Multi-Style
Fund
AQR
International
Multi-Style
Fund
AQR
Emerging
Multi-Style
II
Fund
AQR
Large
Cap
Momentum
Style
Fund
AQR
Small
Cap
Momentum
Style
Fund
AQR
International
Momentum
Style
Fund
AQR
Large
Cap
Defensive
Style
Fund
AQR
International
Defensive
Style
Fund
AQR
Global
Equity
Fund
AQR
International
Equity
Fund
Table
of
Contents
Schedule
of
Investments
AQR
Large
Cap
Multi-Style
Fund
....................................................................
2
AQR
Small
Cap
Multi-Style
Fund
....................................................................
7
AQR
International
Multi-Style
Fund
..................................................................
16
AQR
Emerging
Multi-Style
II
Fund
...................................................................
20
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
26
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
32
AQR
International
Momentum
Style
Fund
..............................................................
42
AQR
Large
Cap
Defensive
Style
Fund
................................................................
47
AQR
International
Defensive
Style
Fund
...............................................................
52
AQR
Global
Equity
Fund
..........................................................................
57
AQR
International
Equity
Fund
......................................................................
65
Financial
Statements
and
Notes
........................................................................
73
Fund
Expense
Examples
(Unaudited)
....................................................................
132
2
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.7%
Aerospace
&
Defense
-
1.0%
Curtiss-Wright
Corp.
7,365
1,105,928
Howmet
Aerospace,
Inc.
40,076
1,440,332
Huntington
Ingalls
Industries,
Inc.
29,900
5,963,256
Textron,
Inc.
54,692
4,067,991
12,577,507
Air
Freight
&
Logistics
-
0.6%
CH
Robinson
Worldwide,
Inc.
4,231
455,721
Expeditors
International
of
Washington,
Inc.
5,168
533,131
FedEx
Corp.
7,598
1,758,101
United
Parcel
Service,
Inc.,
Class
B
22,460
4,816,772
7,563,725
Automobiles
-
2.5%
Ford
Motor
Co.
269,552
4,558,124
General
Motors
Co.
*
63,656
2,784,314
Tesla,
Inc.
*
21,193
22,837,577
30,180,015
Banks
-
1.7%
Bank
of
Hawaii
Corp.
4,460
374,283
Bank
OZK
7,751
330,968
BOK
Financial
Corp.
6,419
603,065
Citizens
Financial
Group,
Inc.
34,638
1,570,141
First
Citizens
BancShares
,
Inc.,
Class
A
1,673
1,113,549
First
Hawaiian,
Inc.
11,981
334,150
FNB
Corp.
30,445
379,040
JPMorgan
Chase
&
Co.
39,446
5,377,279
People's
United
Financial,
Inc.
56,108
1,121,599
Popular,
Inc.
107,169
8,759,994
Prosperity
Bancshares,
Inc.
4,666
323,727
Wintrust
Financial
Corp.
5,321
494,480
20,782,275
Beverages
-
0.1%
Monster
Beverage
Corp.
*
5,177
413,642
PepsiCo,
Inc.
2,149
359,700
773,342
Biotechnology
-
2.4%
AbbVie,
Inc.
3,580
580,354
Amgen,
Inc.
10,707
2,589,167
Horizon
Therapeutics
plc
*
26,140
2,750,189
Moderna
,
Inc.
*
72,725
12,527,608
United
Therapeutics
Corp.
*
59,194
10,619,996
29,067,314
Building
Products
-
1.2%
A
O
Smith
Corp.
14,233
909,346
Builders
FirstSource
,
Inc.
*
47,201
3,046,353
Carlisle
Cos.,
Inc.
14,794
3,638,140
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
1.2%
(continued)
Johnson
Controls
International
plc
53,348
3,498,028
Owens
Corning
34,561
3,162,332
Trane
Technologies
plc
2,231
340,674
14,594,873
Capital
Markets
-
1.3%
Ameriprise
Financial,
Inc.
22,509
6,760,803
Bank
of
New
York
Mellon
Corp.
(The)
35,963
1,784,844
Goldman
Sachs
Group,
Inc.
(The)
1,191
393,149
Morgan
Stanley
12,253
1,070,912
MSCI,
Inc.
908
456,615
State
Street
Corp.
29,509
2,570,824
Virtu
Financial,
Inc.,
Class
A
71,422
2,658,327
15,695,474
Chemicals
-
2.5%
Chemours
Co.
(The)
130,703
4,114,530
Corteva
,
Inc.
86,483
4,971,043
Eastman
Chemical
Co.
34,809
3,900,696
Huntsman
Corp.
65,880
2,471,159
LyondellBasell
Industries
NV,
Class
A
38,297
3,937,698
NewMarket
Corp.
4,784
1,551,834
Olin
Corp.
157,488
8,233,473
Westlake
Corp.
5,708
704,367
29,884,800
Commercial
Services
&
Supplies
-
0.7%
Cintas
Corp.
1,315
559,388
Copart
,
Inc.
*
5,071
636,258
Waste
Management,
Inc.
43,926
6,962,271
8,157,917
Communications
Equipment
-
0.6%
Cisco
Systems,
Inc.
133,797
7,460,521
Construction
&
Engineering
-
0.1%
Quanta
Services,
Inc.
4,911
646,337
Valmont
Industries,
Inc.
1,450
345,970
992,307
Consumer
Finance
-
0.1%
SLM
Corp.
80,562
1,479,118
Containers
&
Packaging
-
0.7%
Berry
Global
Group,
Inc.
*
18,175
1,053,423
Packaging
Corp.
of
America
33,739
5,266,995
Silgan
Holdings,
Inc.
57,426
2,654,804
8,975,222
Distributors
-
0.0%
(a)
LKQ
Corp.
8,234
373,906
Diversified
Financial
Services
-
1.5%
Berkshire
Hathaway,
Inc.,
Class
B
*
50,319
17,758,078
3
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Diversified
Telecommunication
Services
-
1.0%
AT&T,
Inc.
245,758
5,807,261
Verizon
Communications,
Inc.
122,307
6,230,319
12,037,580
Electric
Utilities
-
1.0%
Exelon
Corp.
51,781
2,466,329
Hawaiian
Electric
Industries,
Inc.
10,354
438,078
IDACORP,
Inc.
12,490
1,440,846
NRG
Energy,
Inc.
201,382
7,725,014
12,070,267
Electrical
Equipment
-
1.6%
Acuity
Brands,
Inc.
47,683
9,026,392
Eaton
Corp.
plc
6,236
946,375
Hubbell,
Inc.
4,636
851,958
Regal
Rexnord
Corp.
31,619
4,704,275
Vertiv
Holdings
Co.
271,970
3,807,580
19,336,580
Electronic
Equipment,
Instruments
&
Components
-
2.6%
Arrow
Electronics,
Inc.
*
113,967
13,519,905
CDW
Corp.
27,147
4,856,327
Jabil,
Inc.
98,238
6,064,232
TD
SYNNEX
Corp.
60,504
6,244,618
Teledyne
Technologies,
Inc.
*
1,723
814,341
31,499,423
Energy
Equipment
&
Services
-
0.1%
Schlumberger
NV
44,339
1,831,644
Entertainment
-
0.1%
Activision
Blizzard,
Inc.
21,255
1,702,738
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.3%
American
Tower
Corp.
1,426
358,240
EPR
Properties
564
30,856
Kimco
Realty
Corp.
23,476
579,857
Omega
Healthcare
Investors,
Inc.
11,563
360,303
Orion
Office
REIT,
Inc.
533
7,462
Public
Storage
5,056
1,973,256
Simon
Property
Group,
Inc.
3,402
447,567
Ventas,
Inc.
6,201
382,974
4,140,515
Food
&
Staples
Retailing
-
1.9%
Albertsons
Cos.,
Inc.,
Class
A
(b)
75,043
2,495,180
Costco
Wholesale
Corp.
5,737
3,303,652
Kroger
Co.
(The)
147,970
8,489,039
Walmart,
Inc.
56,207
8,370,346
22,658,217
Food
Products
-
1.0%
Flowers
Foods,
Inc.
17,814
457,998
J
M
Smucker
Co.
(The)
28,546
3,865,414
Pilgrim's
Pride
Corp.
*
22,078
554,158
INVESTMENTS
SHARES
VALUE
($)
Food
Products
-
1.0%
(continued)
Tyson
Foods,
Inc.,
Class
A
78,986
7,079,515
11,957,085
Health
Care
Equipment
&
Supplies
-
0.5%
Abbott
Laboratories
6,000
710,160
Baxter
International,
Inc.
15,913
1,233,894
Quidel
Corp.
*
36,525
4,107,602
6,051,656
Health
Care
Providers
&
Services
-
3.7%
Anthem,
Inc.
30,301
14,884,457
CVS
Health
Corp.
66,540
6,734,513
McKesson
Corp.
9,346
2,861,091
Molina
Healthcare,
Inc.
*
30,437
10,153,479
UnitedHealth
Group,
Inc.
19,334
9,859,760
44,493,300
Health
Care
Technology
-
0.1%
Teladoc
Health,
Inc.
*
3,483
251,229
Veeva
Systems,
Inc.,
Class
A
*
5,355
1,137,723
1,388,952
Hotels,
Restaurants
&
Leisure
-
0.3%
Darden
Restaurants,
Inc.
21,679
2,882,223
McDonald's
Corp.
1,933
477,992
3,360,215
Household
Durables
-
1.0%
Lennar
Corp.,
Class
A
50,051
4,062,640
Mohawk
Industries,
Inc.
*
13,673
1,698,187
PulteGroup,
Inc.
77,305
3,239,079
Toll
Brothers,
Inc.
62,507
2,939,079
11,938,985
Household
Products
-
1.5%
Procter
&
Gamble
Co.
(The)
121,655
18,588,884
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Vistra
Corp.
53,274
1,238,620
Industrial
Conglomerates
-
0.9%
3M
Co.
18,015
2,682,073
General
Electric
Co.
34,103
3,120,424
Honeywell
International,
Inc.
21,563
4,195,729
Roper
Technologies,
Inc.
3,234
1,527,192
11,525,418
Insurance
-
4.2%
Allstate
Corp.
(The)
120,408
16,677,712
American
International
Group,
Inc.
84,378
5,296,407
Assurant,
Inc.
18,204
3,310,033
Assured
Guaranty
Ltd.
8,238
524,431
Everest
Re
Group
Ltd.
38,549
11,617,898
First
American
Financial
Corp.
88,484
5,735,533
MetLife,
Inc.
10,090
709,125
Old
Republic
International
Corp.
197,488
5,109,015
4
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
4.2%
(continued)
Progressive
Corp.
(The)
17,597
2,005,882
Travelers
Cos.,
Inc.
(The)
2,976
543,804
51,529,840
Interactive
Media
&
Services
-
6.6%
Alphabet,
Inc.,
Class
A
*
13,395
37,256,183
Alphabet,
Inc.,
Class
C
*
7,676
21,438,991
Meta
Platforms,
Inc.,
Class
A
*
96,332
21,420,384
80,115,558
Internet
&
Direct
Marketing
Retail
-
3.1%
Amazon.com,
Inc.
*
11,096
36,172,405
Qurate
Retail,
Inc.,
Series
A
272,915
1,299,076
37,471,481
IT
Services
-
2.5%
Accenture
plc,
Class
A
14,799
4,990,667
Akamai
Technologies,
Inc.
*
42,555
5,080,641
Alliance
Data
Systems
Corp.
21,086
1,183,979
Cognizant
Technology
Solutions
Corp.,
Class
A
10,270
920,911
Concentrix
Corp.
33,205
5,530,625
EPAM
Systems,
Inc.
*
28,671
8,504,105
StoneCo
Ltd.,
Class
A
(Brazil)
*
75,647
885,070
VeriSign,
Inc.
*
9,225
2,052,193
Visa,
Inc.,
Class
A
8,619
1,911,436
31,059,627
Life
Sciences
Tools
&
Services
-
2.5%
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,200
1,239,106
Charles
River
Laboratories
International,
Inc.
*
22,100
6,275,737
Danaher
Corp.
30,060
8,817,500
Thermo
Fisher
Scientific,
Inc.
23,195
13,700,127
30,032,470
Machinery
-
1.9%
AGCO
Corp.
36,885
5,386,317
Allison
Transmission
Holdings,
Inc.
35,637
1,399,109
Cummins,
Inc.
5,311
1,089,339
ITT,
Inc.
6,926
520,904
Oshkosh
Corp.
96,805
9,743,423
Snap-on,
Inc.
20,502
4,212,751
Timken
Co.
(The)
23,364
1,418,195
23,770,038
Media
-
0.4%
Comcast
Corp.,
Class
A
18,515
866,873
Interpublic
Group
of
Cos.,
Inc.
(The)
98,645
3,496,965
4,363,838
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
1.4%
Nucor
Corp.
20,948
3,113,920
Reliance
Steel
&
Aluminum
Co.
68,032
12,473,667
United
States
Steel
Corp.
46,760
1,764,723
17,352,310
Multiline
Retail
-
0.4%
Target
Corp.
24,912
5,286,825
Multi-Utilities
-
0.1%
Ameren
Corp.
8,706
816,275
Oil,
Gas
&
Consumable
Fuels
-
6.4%
Chevron
Corp.
85,973
13,998,984
ConocoPhillips
125,575
12,557,500
Coterra
Energy,
Inc.
347,260
9,365,602
Devon
Energy
Corp.
142,852
8,446,839
DT
Midstream,
Inc.
21,308
1,156,172
EOG
Resources,
Inc.
93,258
11,119,151
Exxon
Mobil
Corp.
159,567
13,178,638
HF
Sinclair
Corp.
*
111,039
4,424,904
Kinder
Morgan,
Inc.
125,245
2,368,383
Marathon
Oil
Corp.
13,902
349,079
Pioneer
Natural
Resources
Co.
5,852
1,463,176
78,428,428
Personal
Products
-
0.2%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
7,313
1,991,476
Pharmaceuticals
-
2.7%
Eli
Lilly
&
Co.
5,145
1,473,374
Johnson
&
Johnson
109,199
19,353,339
Organon
&
Co.
47,650
1,664,414
Pfizer,
Inc.
192,667
9,974,370
32,465,497
Professional
Services
-
0.9%
Booz
Allen
Hamilton
Holding
Corp.
40,942
3,596,345
CACI
International,
Inc.,
Class
A
*
4,086
1,230,948
ManpowerGroup
,
Inc.
19,488
1,830,313
Robert
Half
International,
Inc.
34,886
3,983,284
10,640,890
Road
&
Rail
-
1.1%
AMERCO
2,855
1,704,264
Knight-Swift
Transportation
Holdings,
Inc.
10,168
513,077
Landstar
System,
Inc.
30,286
4,568,037
Ryder
System,
Inc.
44,658
3,542,719
Schneider
National,
Inc.,
Class
B
131,734
3,359,217
13,687,314
Semiconductors
&
Semiconductor
Equipment
-
5.0%
Advanced
Micro
Devices,
Inc.
*
16,220
1,773,495
Applied
Materials,
Inc.
79,128
10,429,070
Intel
Corp.
255,935
12,684,139
Lam
Research
Corp.
14,577
7,836,741
5
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
5.0%
(continued)
Micron
Technology,
Inc.
79,324
6,178,546
NVIDIA
Corp.
29,850
8,144,871
ON
Semiconductor
Corp.
*
48,414
3,031,201
Qorvo
,
Inc.
*
15,215
1,888,181
QUALCOMM,
Inc.
19,055
2,911,985
Skyworks
Solutions,
Inc.
4,916
655,204
Teradyne,
Inc.
12,312
1,455,648
Texas
Instruments,
Inc.
20,600
3,779,688
60,768,769
Software
-
9.0%
Adobe,
Inc.
*
16,981
7,736,883
Cadence
Design
Systems,
Inc.
*
32,463
5,338,865
Fortinet,
Inc.
*
1,583
540,975
Intuit,
Inc.
1,554
747,225
Manhattan
Associates,
Inc.
*
4,944
685,782
Microsoft
Corp.
248,763
76,696,121
Oracle
Corp.
125,274
10,363,918
Teradata
Corp.
*
119,538
5,892,028
VMware,
Inc.,
Class
A
12,805
1,458,105
109,459,902
Specialty
Retail
-
2.8%
AutoNation,
Inc.
*
96,077
9,567,348
Best
Buy
Co.,
Inc.
11,634
1,057,531
Dick's
Sporting
Goods,
Inc.
12,413
1,241,548
Foot
Locker,
Inc.
26,613
789,341
Home
Depot,
Inc.
(The)
19,823
5,933,618
Lowe's
Cos.,
Inc.
13,584
2,746,549
Penske
Automotive
Group,
Inc.
51,358
4,813,272
Williams-Sonoma,
Inc.
54,708
7,932,660
34,081,867
Technology
Hardware,
Storage
&
Peripherals
-
7.9%
Apple,
Inc.
502,691
87,774,875
HP,
Inc.
241,182
8,754,907
96,529,782
Textiles,
Apparel
&
Luxury
Goods
-
0.2%
Lululemon
Athletica
,
Inc.
*
3,796
1,386,413
Skechers
USA,
Inc.,
Class
A
*
27,084
1,103,944
2,490,357
Tobacco
-
0.6%
Altria
Group,
Inc.
55,142
2,881,169
Philip
Morris
International,
Inc.
49,206
4,622,412
7,503,581
Trading
Companies
&
Distributors
-
0.9%
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
17,062
1,453,853
United
Rentals,
Inc.
*
14,863
5,279,486
Watsco
,
Inc.
15,974
4,866,320
11,599,659
INVESTMENTS
SHARES
VALUE
($)
Wireless
Telecommunication
Services
-
0.2%
T-Mobile
US,
Inc.
*
16,099
2,066,307
TOTAL
COMMON
STOCKS
(Cost
$593,966,505)
1,165,648,564
PREFERRED
STOCKS
-
0.0%
(a)
Internet
&
Direct
Marketing
Retail
-
0.0%
(a)
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$476,826)
4,865
418,439
SHORT-TERM
INVESTMENTS
-
4.2%
INVESTMENT
COMPANIES
-
4.2%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(c)
(Cost
$50,604,994)
50,628,974
50,603,659
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.9%
(Cost
$645,048,325)
1,216,670,662
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.1%
(d)
755,918
NET
ASSETS
-
100.0%
1,217,426,580
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
100,286,020
8.2
%
Consumer
Discretionary
125,602,089
10.3
Consumer
Staples
63,472,585
5.2
Energy
80,260,073
6.6
Financials
107,244,786
8.8
Health
Care
143,499,189
11.8
Industrials
134,446,227
11.0
Information
Technology
336,778,025
27.7
Materials
56,212,332
4.6
Real
Estate
4,140,515
0.3
Utilities
14,125,162
1.2
Short-Term
Investments
50,603,659
4.2
Total
Investments
In
Securities
At
Value
1,216,670,662
99.9
Other
Assets
in
Excess
of
Liabilities
(d
)
755,918
0.1
Net
Assets
$
1,217,426,580
100.0%
6
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$2,489,525;
additional
non-cash
collateral
of
$2,544,906
was
received.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
193
6/2022
USD
$
43,721,738
$
2,690,339
$
2,690,339
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
(773,081)
$
(773,081)
7
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
93.5%
Aerospace
&
Defense
-
0.5%
AAR
Corp.
*
1,965
95,165
Aerojet
Rocketdyne
Holdings,
Inc.
*
3,808
149,845
Vectrus
,
Inc.
*
9,876
354,153
599,163
Air
Freight
&
Logistics
-
0.7%
Atlas
Air
Worldwide
Holdings,
Inc.
*
3,716
320,951
Hub
Group,
Inc.,
Class
A
*
6,511
502,714
823,665
Airlines
-
0.2%
Allegiant
Travel
Co.
*
806
130,886
SkyWest,
Inc.
*
2,603
75,097
Spirit
Airlines,
Inc.
*
4,469
97,737
303,720
Auto
Components
-
1.3%
Adient
plc
*
4,662
190,070
Dana,
Inc.
14,306
251,356
Fox
Factory
Holding
Corp.
*
2,337
228,909
Goodyear
Tire
&
Rubber
Co.
(The)
*
3,187
45,542
LCI
Industries
3,375
350,359
Patrick
Industries,
Inc.
5,106
307,892
XPEL,
Inc.
*(a)
3,444
181,189
1,555,317
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
1,911
103,251
Banks
-
6.9%
1st
Source
Corp.
4,426
204,702
Associated
Banc-Corp.
5,319
121,060
BancFirst
Corp.
1,011
84,125
Bancorp,
Inc.
(The)
*
12,926
366,194
BankUnited
,
Inc.
1,099
48,312
Cathay
General
Bancorp
9,546
427,184
Columbia
Banking
System,
Inc.
4,804
155,025
Customers
Bancorp,
Inc.
*
19,317
1,007,188
Dime
Community
Bancshares,
Inc.
3,240
112,007
Eagle
Bancorp,
Inc.
964
54,958
Eastern
Bankshares
,
Inc.
7,990
172,105
Financial
Institutions,
Inc.
1,683
50,709
First
Bancorp/PR
23,233
304,817
First
Financial
Bancorp
4,229
97,478
First
Interstate
BancSystem
,
Inc.,
Class
A
4,570
168,039
First
Merchants
Corp.
4,786
199,098
Flushing
Financial
Corp.
4,891
109,314
Fulton
Financial
Corp.
10,873
180,709
Glacier
Bancorp,
Inc.
3,253
163,561
Great
Southern
Bancorp,
Inc.
7,773
458,685
Hancock
Whitney
Corp.
4,008
209,017
Hanmi
Financial
Corp.
5,324
131,024
INVESTMENTS
SHARES
VALUE
($)
Banks
-
6.9%
(continued)
Heartland
Financial
USA,
Inc.
10,270
491,214
Hilltop
Holdings,
Inc.
18,531
544,811
Home
BancShares
,
Inc.
16,787
379,386
HomeStreet
,
Inc.
5,139
243,486
Hope
Bancorp,
Inc.
3,838
61,715
International
Bancshares
Corp.
10,482
442,445
Investors
Bancorp,
Inc.
9,978
148,972
Midland
States
Bancorp,
Inc.
2,018
58,239
NBT
Bancorp,
Inc.
4,174
150,807
OFG
Bancorp
3,523
93,853
Old
National
Bancorp
12,058
197,510
QCR
Holdings,
Inc.
964
54,553
S&T
Bancorp,
Inc.
2,389
70,667
ServisFirst
Bancshares,
Inc.
4,239
403,934
Simmons
First
National
Corp.,
Class
A
1,570
41,165
SouthState
Corp.
1,300
106,067
Trustmark
Corp.
1,383
42,029
United
Bankshares
,
Inc.
948
33,066
Valley
National
Bancorp
2,560
33,331
WesBanco
,
Inc.
959
32,951
8,455,512
Beverages
-
0.8%
Celsius
Holdings,
Inc.
*
686
37,853
Coca-Cola
Consolidated,
Inc.
971
482,441
MGP
Ingredients,
Inc.
2,225
190,438
National
Beverage
Corp.
2,318
100,833
Primo
Water
Corp.
9,083
129,433
940,998
Biotechnology
-
4.8%
ACADIA
Pharmaceuticals,
Inc.
*
4,832
117,031
Agios
Pharmaceuticals,
Inc.
*
1,070
31,148
Akebia
Therapeutics,
Inc.
*
22,060
15,837
Alector
,
Inc.
*
6,776
96,558
Alkermes
plc
*
5,817
153,045
Amicus
Therapeutics,
Inc.
*
15,837
149,976
AnaptysBio
,
Inc.
*
5,337
132,037
Anika
Therapeutics,
Inc.
*
3,303
82,938
AquaBounty
Technologies,
Inc.
*(b)
23,798
44,502
Arrowhead
Pharmaceuticals,
Inc.
*
5,157
237,170
Atossa
Therapeutics,
Inc.
*
47,482
59,352
BioCryst
Pharmaceuticals,
Inc.
*
3,143
51,105
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
*
984
116,673
Blueprint
Medicines
Corp.
*
1,204
76,912
Catalyst
Pharmaceuticals,
Inc.
*
59,114
490,055
Cytokinetics,
Inc.
*
3,638
133,915
Denali
Therapeutics,
Inc.
*
3,910
125,785
Eagle
Pharmaceuticals,
Inc.
*
4,012
198,554
Emergent
BioSolutions
,
Inc.
*
5,522
226,733
Enanta
Pharmaceuticals,
Inc.
*
1,621
115,383
Fate
Therapeutics,
Inc.
*
2,380
92,273
Halozyme
Therapeutics,
Inc.
*
8,467
337,664
8
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
4.8%
(continued)
Ideaya
Biosciences,
Inc.
*
2,011
22,503
Insmed
,
Inc.
*
6,637
155,970
Intellia
Therapeutics,
Inc.
*
1,257
91,346
Ironwood
Pharmaceuticals,
Inc.
*
34,885
438,853
iTeos
Therapeutics,
Inc.
*
8,083
260,111
Ligand
Pharmaceuticals,
Inc.
*
352
39,596
MeiraGTx
Holdings
plc
*
2,313
32,035
Myriad
Genetics,
Inc.
*
9,209
232,067
Ocugen
,
Inc.
*(b)
48,073
158,641
OPKO
Health,
Inc.
*
63,593
218,760
Organogenesis
Holdings,
Inc.
*
16,882
128,641
PDL
BioPharma
,
Inc.
(3)*(c)
32,677
73,367
Precision
BioSciences
,
Inc.
*
6,988
21,523
Selecta
Biosciences,
Inc.
*
29,820
36,679
Seres
Therapeutics,
Inc.
*
13,547
96,455
Surface
Oncology,
Inc.
*
68,610
201,713
TG
Therapeutics,
Inc.
*
7,265
69,090
Travere
Therapeutics,
Inc.
*
2,189
56,411
Veracyte
,
Inc.
*
2,852
78,630
Vericel
Corp.
*
7,091
271,018
Zentalis
Pharmaceuticals,
Inc.
*
830
38,296
5,806,351
Building
Products
-
2.2%
Apogee
Enterprises,
Inc.
14,282
677,824
Griffon
Corp.
1,689
33,831
Insteel
Industries,
Inc.
12,798
473,398
Masonite
International
Corp.
*
351
31,218
Resideo
Technologies,
Inc.
*
1,852
44,133
Simpson
Manufacturing
Co.,
Inc.
826
90,067
UFP
Industries,
Inc.
14,495
1,118,434
Zurn
Water
Solutions
Corp.
5,807
205,568
2,674,473
Capital
Markets
-
1.9%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
9,798
385,551
Brightsphere
Investment
Group,
Inc.
4,835
117,249
Cohen
&
Steers,
Inc.
1,237
106,246
Cowen,
Inc.,
Class
A
12,591
341,216
Diamond
Hill
Investment
Group,
Inc.
512
95,898
Donnelley
Financial
Solutions,
Inc.
*
9,790
325,615
Federated
Hermes,
Inc.
7,470
254,428
Greenhill
&
Co.,
Inc.
2,082
32,208
Houlihan
Lokey
,
Inc.
1,072
94,122
Oppenheimer
Holdings,
Inc.,
Class
A
4,322
188,353
StoneX
Group,
Inc.
*
1,990
147,718
Virtus
Investment
Partners,
Inc.
789
189,352
2,277,956
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
0.7%
AdvanSix
,
Inc.
5,856
299,183
Balchem
Corp.
638
87,215
Intrepid
Potash,
Inc.
*
1,832
150,480
Orion
Engineered
Carbons
SA
(Germany)
2,433
38,855
Stepan
Co.
2,573
254,238
829,971
Commercial
Services
&
Supplies
-
0.7%
ACCO
Brands
Corp.
37,898
303,184
Deluxe
Corp.
1,442
43,606
HNI
Corp.
5,756
213,260
Interface,
Inc.
16,972
230,310
Matthews
International
Corp.,
Class
A
1,937
62,681
Pitney
Bowes,
Inc.
9,001
46,805
899,846
Communications
Equipment
-
0.7%
Calix,
Inc.
*
7,139
306,334
Digi
International,
Inc.
*
3,152
67,831
Extreme
Networks,
Inc.
*
18,579
226,850
NETGEAR,
Inc.
*
5,667
139,862
NetScout
Systems,
Inc.
*
2,918
93,609
834,486
Construction
&
Engineering
-
2.2%
API
Group
Corp.
*
9,020
189,691
Arcosa
,
Inc.
3,429
196,310
Comfort
Systems
USA,
Inc.
2,375
211,399
EMCOR
Group,
Inc.
5,140
578,918
Great
Lakes
Dredge
&
Dock
Corp.
*
6,296
88,333
MYR
Group,
Inc.
*
12,737
1,197,787
Primoris
Services
Corp.
5,206
124,007
Sterling
Construction
Co.,
Inc.
*
4,126
110,577
2,697,022
Construction
Materials
-
0.2%
Summit
Materials,
Inc.,
Class
A
*
7,598
235,994
Consumer
Finance
-
0.4%
Curo
Group
Holdings
Corp.
5,143
67,116
Encore
Capital
Group,
Inc.
*
1,449
90,896
Enova
International,
Inc.
*
3,466
131,604
FirstCash
Holdings,
Inc.
594
41,782
Navient
Corp.
3,980
67,819
Nelnet,
Inc.,
Class
A
694
58,983
Oportun
Financial
Corp.
*
1,909
27,413
Regional
Management
Corp.
711
34,534
520,147
Containers
&
Packaging
-
0.1%
O-I
Glass,
Inc.
*
6,568
86,566
9
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Diversified
Consumer
Services
-
0.6%
Graham
Holdings
Co.,
Class
B
59
36,077
Houghton
Mifflin
Harcourt
Co.
*
15,398
323,512
Laureate
Education,
Inc.
5,783
68,529
Perdoceo
Education
Corp.
*
8,019
92,058
Stride,
Inc.
*
2,450
89,008
WW
International,
Inc.
*
8,642
88,408
697,592
Diversified
Financial
Services
-
0.1%
Cannae
Holdings,
Inc.
*
5,494
131,416
Diversified
Telecommunication
Services
-
0.3%
Consolidated
Communications
Holdings,
Inc.
*
26,424
155,902
EchoStar
Corp.,
Class
A
*
3,400
82,756
Liberty
Latin
America
Ltd.,
Class
C
(Chile)
*
8,402
80,575
319,233
Electric
Utilities
-
0.3%
PNM
Resources,
Inc.
4,384
208,985
Portland
General
Electric
Co.
3,070
169,311
378,296
Electrical
Equipment
-
1.4%
Atkore
,
Inc.
*
9,003
886,255
Babcock
&
Wilcox
Enterprises,
Inc.
*
5,874
47,932
Encore
Wire
Corp.
5,463
623,164
EnerSys
457
34,079
GrafTech
International
Ltd.
7,053
67,850
1,659,280
Electronic
Equipment,
Instruments
&
Components
-
2.7%
ePlus
,
Inc.
*
6,413
359,513
Fabrinet
(Thailand)
*
5,468
574,851
Insight
Enterprises,
Inc.
*
8,746
938,621
Methode
Electronics,
Inc.
8,648
374,026
PC
Connection,
Inc.
5,566
291,603
Rogers
Corp.
*
810
220,077
Sanmina
Corp.
*
10,765
435,121
Vishay
Intertechnology
,
Inc.
2,321
45,491
3,239,303
Energy
Equipment
&
Services
-
1.4%
Archrock
,
Inc.
7,055
65,118
Bristow
Group,
Inc.
*
1,380
51,170
Cactus,
Inc.,
Class
A
2,222
126,076
ChampionX
Corp.
*
10,164
248,815
Nabors
Industries
Ltd.
*
998
152,415
National
Energy
Services
Reunited
Corp.
*
13,486
113,282
Newpark
Resources,
Inc.
*
12,952
47,404
Oceaneering
International,
Inc.
*
3,753
56,896
ProPetro
Holding
Corp.
*
53,512
745,422
RPC,
Inc.
*
7,931
84,624
INVESTMENTS
SHARES
VALUE
($)
Energy
Equipment
&
Services
-
1.4%
(continued)
TETRA
Technologies,
Inc.
*
20,864
85,751
1,776,973
Entertainment
-
0.2%
Marcus
Corp.
(The)
*(b)
11,179
197,868
Equity
Real
Estate
Investment
Trusts
(REITs)
-
5.5%
Alexander
&
Baldwin,
Inc.
3,040
70,498
Alexander's,
Inc.
620
158,863
American
Assets
Trust,
Inc.
960
36,374
Apple
Hospitality
REIT,
Inc.
12,196
219,162
Armada
Hoffler
Properties,
Inc.
2,701
39,435
Braemar
Hotels
&
Resorts,
Inc.
7,414
45,819
Broadstone
Net
Lease,
Inc.
6,026
131,246
CareTrust
REIT,
Inc.
3,411
65,832
Chatham
Lodging
Trust
*
5,355
73,845
DigitalBridge
Group,
Inc.
*
13,396
96,451
EastGroup
Properties,
Inc.
1,890
384,199
Global
Net
Lease,
Inc.
12,239
192,519
Healthcare
Realty
Trust,
Inc.
8,582
235,833
Hersha
Hospitality
Trust
*
7,512
68,209
Independence
Realty
Trust,
Inc.
6,241
165,012
Industrial
Logistics
Properties
Trust
4,209
95,418
iStar
,
Inc.
2,468
57,776
Kite
Realty
Group
Trust
4,016
91,444
LXP
Industrial
Trust
11,810
185,417
Macerich
Co.
(The)
9,171
143,434
National
Health
Investors,
Inc.
1,294
76,359
National
Storage
Affiliates
Trust
5,618
352,586
Necessity
Retail
REIT,
Inc.
(The)
20,746
164,101
NexPoint
Residential
Trust,
Inc.
1,268
114,513
Office
Properties
Income
Trust
8,117
208,850
One
Liberty
Properties,
Inc.
1,902
58,563
Outfront
Media,
Inc.
3,893
110,678
Paramount
Group,
Inc.
5,198
56,710
Physicians
Realty
Trust
8,095
141,986
Piedmont
Office
Realty
Trust,
Inc.,
Class
A
4,885
84,120
PotlatchDeltic
Corp.
1,410
74,349
PS
Business
Parks,
Inc.
1,322
222,202
Retail
Value,
Inc.
11,020
33,721
RLJ
Lodging
Trust
4,331
60,980
RPT
Realty
8,291
114,167
Ryman
Hospitality
Properties,
Inc.
*
1,592
147,690
Sabra
Health
Care
REIT,
Inc.
14,856
221,206
Saul
Centers,
Inc.
3,564
187,823
Service
Properties
Trust
22,776
201,112
SITE
Centers
Corp.
3,387
56,597
STAG
Industrial,
Inc.
5,873
242,849
Summit
Hotel
Properties,
Inc.
*
3,635
36,205
Tanger
Factory
Outlet
Centers,
Inc.
6,477
111,340
Terreno
Realty
Corp.
1,442
106,780
UMH
Properties,
Inc.
1,646
40,475
Uniti
Group,
Inc.
12,744
175,357
Universal
Health
Realty
Income
Trust
607
35,431
10
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
5.5%
(continued)
Urban
Edge
Properties
12,023
229,639
Urstadt
Biddle
Properties,
Inc.,
Class
A
11,139
209,525
Whitestone
REIT
23,431
310,461
6,743,161
Food
&
Staples
Retailing
-
1.5%
BJ's
Wholesale
Club
Holdings,
Inc.
*
2,854
192,959
Ingles
Markets,
Inc.,
Class
A
7,717
687,199
Performance
Food
Group
Co.
*
6,796
345,984
Rite
Aid
Corp.
*(b)
3,169
27,729
SpartanNash
Co.
1,939
63,967
United
Natural
Foods,
Inc.
*
7,626
315,335
Weis
Markets,
Inc.
2,014
143,840
1,777,013
Food
Products
-
1.1%
B&G
Foods,
Inc.
8,032
216,703
Fresh
Del
Monte
Produce,
Inc.
2,213
57,339
John
B
Sanfilippo
&
Son,
Inc.
6,589
549,786
Sanderson
Farms,
Inc.
881
165,179
Seneca
Foods
Corp.,
Class
A
*
6,043
311,456
1,300,463
Gas
Utilities
-
0.3%
New
Jersey
Resources
Corp.
3,253
149,182
Northwest
Natural
Holding
Co.
2,690
139,127
Southwest
Gas
Holdings,
Inc.
816
63,885
352,194
Health
Care
Equipment
&
Supplies
-
1.6%
Atrion
Corp.
66
47,058
CONMED
Corp.
1,602
237,977
Integer
Holdings
Corp.
*
4,048
326,147
LeMaitre
Vascular,
Inc.
1,350
62,735
LivaNova
plc
*
1,267
103,679
Meridian
Bioscience,
Inc.
*
7,536
195,635
Merit
Medical
Systems,
Inc.
*
5,491
365,261
Natus
Medical,
Inc.
*
3,064
80,522
Neogen
Corp.
*
6,002
185,102
NuVasive
,
Inc.
*
656
37,195
Retractable
Technologies,
Inc.
*
7,402
35,159
Shockwave
Medical,
Inc.
*
942
195,333
Sientra
,
Inc.
*(b)
13,000
28,860
Varex
Imaging
Corp.
*
3,213
68,405
Zynex
,
Inc.
4,352
27,113
1,996,181
Health
Care
Providers
&
Services
-
2.8%
AMN
Healthcare
Services,
Inc.
*
3,616
377,257
Brookdale
Senior
Living,
Inc.
*
6,274
44,232
Community
Health
Systems,
Inc.
*
18,014
213,826
CorVel
Corp.
*
2,593
436,765
Ensign
Group,
Inc.
(The)
4,930
443,750
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
2.8%
(continued)
Fulgent
Genetics,
Inc.
*
527
32,890
Joint
Corp.
(The)
*
4,882
172,774
MEDNAX,
Inc.
*
2,277
53,464
ModivCare
,
Inc.
*
1,311
151,276
National
Research
Corp.
1,828
72,480
Owens
&
Minor,
Inc.
10,112
445,130
Patterson
Cos.,
Inc.
10,730
347,330
Select
Medical
Holdings
Corp.
10,100
242,299
Tenet
Healthcare
Corp.
*
4,487
385,703
3,419,176
Health
Care
Technology
-
0.9%
Computer
Programs
and
Systems,
Inc.
*
4,249
146,378
Evolent
Health,
Inc.,
Class
A
*
8,955
289,247
HealthStream
,
Inc.
*
1,421
28,306
NextGen
Healthcare,
Inc.
*
3,083
64,466
Omnicell
,
Inc.
*
4,004
518,478
Simulations
Plus,
Inc.
1,686
85,952
1,132,827
Hotels,
Restaurants
&
Leisure
-
1.7%
Bloomin
'
Brands,
Inc.
5,970
130,982
Bluegreen
Vacations
Holding
Corp.
*
4,257
125,879
Brinker
International,
Inc.
*
2,169
82,769
Carrols
Restaurant
Group,
Inc.
19,499
44,068
Century
Casinos,
Inc.
*
3,355
40,092
Cracker
Barrel
Old
Country
Store,
Inc.
1,096
130,128
Dave
&
Buster's
Entertainment,
Inc.
*
958
47,038
Dine
Brands
Global,
Inc.
484
37,728
Everi
Holdings,
Inc.
*
1,929
40,509
Fiesta
Restaurant
Group,
Inc.
*
4,813
35,977
Golden
Entertainment,
Inc.
*
3,726
216,369
International
Game
Technology
plc
1,927
47,558
ONE
Group
Hospitality,
Inc.
(The)
*
5,445
57,227
Papa
John's
International,
Inc.
1,229
129,389
RCI
Hospitality
Holdings,
Inc.
2,387
146,705
Red
Robin
Gourmet
Burgers,
Inc.
*
3,119
52,586
Red
Rock
Resorts,
Inc.,
Class
A
2,798
135,871
Ruth's
Hospitality
Group,
Inc.
2,561
58,596
Scientific
Games
Corp.
*
1,550
91,063
Target
Hospitality
Corp.
*
2,901
17,406
Texas
Roadhouse,
Inc.
4,893
409,691
Wingstop
,
Inc.
220
25,817
2,103,448
Household
Durables
-
1.5%
Bassett
Furniture
Industries,
Inc.
1,921
31,812
Century
Communities,
Inc.
6,869
367,973
Helen
of
Troy
Ltd.
*
783
153,343
KB
Home
2,179
70,556
La-Z-Boy,
Inc.
4,817
127,024
11
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Household
Durables
-
1.5%
(continued)
LGI
Homes,
Inc.
*
715
69,841
M/I
Homes,
Inc.
*
4,825
213,989
MDC
Holdings,
Inc.
3,356
126,991
Meritage
Homes
Corp.
*
4,023
318,742
Skyline
Champion
Corp.
*
1,281
70,301
Tri
Pointe
Homes,
Inc.
*
15,364
308,509
1,859,081
Household
Products
-
0.1%
WD-40
Co.
879
161,059
Independent
Power
and
Renewable
Electricity
Producers
-
0.4%
Clearway
Energy,
Inc.,
Class
C
5,241
191,349
Ormat
Technologies,
Inc.
2,731
223,478
Sunnova
Energy
International,
Inc.
*
3,576
82,462
497,289
Insurance
-
2.1%
American
Equity
Investment
Life
Holding
Co.
1,256
50,127
CNO
Financial
Group,
Inc.
5,575
139,877
Employers
Holdings,
Inc.
13,872
569,029
Enstar
Group
Ltd.
*
129
33,688
Genworth
Financial,
Inc.,
Class
A
*
11,099
41,954
Heritage
Insurance
Holdings,
Inc.
5,664
40,441
Horace
Mann
Educators
Corp.
10,637
444,946
Kinsale
Capital
Group,
Inc.
393
89,612
ProAssurance
Corp.
5,152
138,486
Selective
Insurance
Group,
Inc.
4,313
385,410
Stewart
Information
Services
Corp.
6,315
382,752
Tiptree,
Inc.
18,462
237,237
2,553,559
Interactive
Media
&
Services
-
0.5%
Cars.com,
Inc.
*
5,585
80,591
Ziff
Davis,
Inc.
*
5,737
555,227
635,818
Internet
&
Direct
Marketing
Retail
-
0.8%
1-800-Flowers.com,
Inc.,
Class
A
*
15,053
192,076
Duluth
Holdings,
Inc.,
Class
B
*
17,267
211,175
Groupon,
Inc.
*(b)
3,551
68,286
Lands'
End,
Inc.
*
12,043
203,768
Shutterstock
,
Inc.
3,014
280,543
955,848
IT
Services
-
1.7%
Conduent
,
Inc.
*
39,469
203,660
CSG
Systems
International,
Inc.
2,538
161,341
DigitalOcean
Holdings,
Inc.
*
2,094
121,138
EVERTEC,
Inc.
6,528
267,191
Hackett
Group,
Inc.
(The)
9,556
220,361
Maximus,
Inc.
5,604
420,020
Perficient
,
Inc.
*
3,774
415,479
INVESTMENTS
SHARES
VALUE
($)
IT
Services
-
1.7%
(continued)
TTEC
Holdings,
Inc.
3,352
276,607
2,085,797
Leisure
Products
-
1.3%
Acushnet
Holdings
Corp.
3,239
130,402
Callaway
Golf
Co.
*
4,108
96,209
Johnson
Outdoors,
Inc.,
Class
A
4,990
387,873
Malibu
Boats,
Inc.,
Class
A
*
4,788
277,752
MasterCraft
Boat
Holdings,
Inc.
*
2,753
67,751
Smith
&
Wesson
Brands,
Inc.
6,269
94,850
Vista
Outdoor,
Inc.
*
15,498
553,124
1,607,961
Life
Sciences
Tools
&
Services
-
0.9%
Harvard
Bioscience,
Inc.
*
8,000
49,680
Medpace
Holdings,
Inc.
*
5,849
956,838
NeoGenomics
,
Inc.
*
5,053
61,394
1,067,912
Machinery
-
2.4%
Columbus
McKinnon
Corp.
6,776
287,302
Federal
Signal
Corp.
2,937
99,124
Greenbrier
Cos.,
Inc.
(The)
2,377
122,439
Kennametal,
Inc.
976
27,923
Manitowoc
Co.,
Inc.
(The)
*
6,818
102,815
Meritor,
Inc.
*
17,445
620,519
Miller
Industries,
Inc.
3,127
88,056
Mueller
Industries,
Inc.
18,631
1,009,241
Shyft
Group,
Inc.
(The)
5,859
211,569
SPX
FLOW,
Inc.
1,743
150,282
Wabash
National
Corp.
4,895
72,642
Welbilt
,
Inc.
*
6,286
149,293
2,941,205
Marine
-
1.0%
Eagle
Bulk
Shipping,
Inc.
1,918
130,635
Genco
Shipping
&
Trading
Ltd.
5,643
133,288
Matson,
Inc.
6,188
746,396
Safe
Bulkers,
Inc.
(Greece)
44,559
212,101
1,222,420
Media
-
1.0%
AMC
Networks,
Inc.,
Class
A
*
3,453
140,295
Audacy
,
Inc.
*
14,207
41,058
Entravision
Communications
Corp.,
Class
A
17,696
113,431
EW
Scripps
Co.
(The),
Class
A
*
3,810
79,210
Gannett
Co.,
Inc.
*
25,926
116,926
Gray
Television,
Inc.
4,306
95,034
John
Wiley
&
Sons,
Inc.,
Class
A
1,453
77,053
Scholastic
Corp.
3,782
152,339
TechTarget
,
Inc.
*
1,587
128,991
TEGNA,
Inc.
10,636
238,247
12
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Media
-
1.0%
(continued)
WideOpenWest
,
Inc.
*
2,082
36,310
1,218,894
Metals
&
Mining
-
1.6%
Arconic
Corp.
*
10,314
264,245
Commercial
Metals
Co.
20,413
849,589
Ryerson
Holding
Corp.
7,379
258,412
SunCoke
Energy,
Inc.
15,698
139,869
TimkenSteel
Corp.
*
20,203
442,042
Worthington
Industries,
Inc.
778
39,997
1,994,154
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.7%
Apollo
Commercial
Real
Estate
Finance,
Inc.
10,665
148,563
Blackstone
Mortgage
Trust,
Inc.,
Class
A
9,163
291,292
Chimera
Investment
Corp.
12,242
147,394
Hannon
Armstrong
Sustainable
Infrastructure
Capital,
Inc.
4,604
218,368
PennyMac
Mortgage
Investment
Trust
6,655
112,403
918,020
Multiline
Retail
-
0.3%
Big
Lots,
Inc.
2,559
88,542
Macy's,
Inc.
13,067
318,312
406,854
Multi-Utilities
-
0.5%
Avista
Corp.
3,368
152,065
Black
Hills
Corp.
3,256
250,777
NorthWestern
Corp.
2,627
158,908
561,750
Oil,
Gas
&
Consumable
Fuels
-
5.7%
Antero
Resources
Corp.
*
23,735
724,630
Arch
Resources,
Inc.
872
119,795
Berry
Corp.
4,737
48,886
California
Resources
Corp.
1,862
83,287
Centennial
Resource
Development,
Inc.,
Class
A
*
16,848
135,963
Chesapeake
Energy
Corp.
4,707
409,509
Civitas
Resources,
Inc.
8,579
512,252
CONSOL
Energy,
Inc.
*
5,557
209,110
Denbury,
Inc.
*
1,389
109,134
Dorian
LPG
Ltd.
7,550
109,399
Earthstone
Energy,
Inc.,
Class
A
*
4,713
59,525
Falcon
Minerals
Corp.
12,457
83,960
Kosmos
Energy
Ltd.
(Ghana)
*
7,300
52,487
Magnolia
Oil
&
Gas
Corp.,
Class
A
14,434
341,364
Matador
Resources
Co.
7,867
416,794
Murphy
Oil
Corp.
5,243
211,765
Oasis
Petroleum,
Inc.
828
121,136
Ovintiv
,
Inc.
13,088
707,668
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
5.7%
(continued)
PBF
Energy,
Inc.,
Class
A
*
6,474
157,771
PDC
Energy,
Inc.
9,307
676,433
Range
Resources
Corp.
*
5,081
154,361
Renewable
Energy
Group,
Inc.
*
3,028
183,648
REX
American
Resources
Corp.
*
1,617
161,053
Scorpio
Tankers,
Inc.
(Monaco)
2,747
58,731
SM
Energy
Co.
11,206
436,474
Southwestern
Energy
Co.
*
17,450
125,117
Teekay
Corp.
*
17,149
54,362
W&T
Offshore,
Inc.
*
11,818
45,145
Whiting
Petroleum
Corp.
5,254
428,254
World
Fuel
Services
Corp.
1,184
32,015
6,970,028
Personal
Products
-
0.6%
Edgewell
Personal
Care
Co.
6,447
236,412
Medifast
,
Inc.
1,009
172,317
Nu
Skin
Enterprises,
Inc.,
Class
A
674
32,271
Revlon,
Inc.,
Class
A
*
4,333
34,967
USANA
Health
Sciences,
Inc.
*
2,589
205,696
681,663
Pharmaceuticals
-
1.0%
Atea
Pharmaceuticals,
Inc.
*
7,815
56,424
Collegium
Pharmaceutical,
Inc.
*
3,429
69,814
Corcept
Therapeutics,
Inc.
*
15,134
340,818
Endo
International
plc
*
28,966
66,911
Evolus
,
Inc.
*
4,584
51,433
Innoviva
,
Inc.
*
3,683
71,266
KemPharm
,
Inc.
*(b)
14,766
74,273
Phibro
Animal
Health
Corp.,
Class
A
7,687
153,356
Prestige
Consumer
Healthcare,
Inc.
*
2,551
135,050
Supernus
Pharmaceuticals,
Inc.
*
5,371
173,591
1,192,936
Professional
Services
-
2.1%
ASGN,
Inc.
*
458
53,453
Barrett
Business
Services,
Inc.
1,855
143,707
Insperity
,
Inc.
1,137
114,178
KBR,
Inc.
8,809
482,117
Kforce
,
Inc.
20,450
1,512,685
Korn
Ferry
1,735
112,671
Resources
Connection,
Inc.
3,815
65,389
TrueBlue
,
Inc.
*
3,297
95,250
2,579,450
Real
Estate
Management
&
Development
-
1.0%
Cushman
&
Wakefield
plc
*
4,387
89,977
eXp
World
Holdings,
Inc.
8,684
183,840
Forestar
Group,
Inc.
*
6,298
111,853
Kennedy-Wilson
Holdings,
Inc.
13,114
319,850
Newmark
Group,
Inc.,
Class
A
14,564
231,859
Realogy
Holdings
Corp.
*
10,232
160,438
13
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Real
Estate
Management
&
Development
-
1.0%
(continued)
Redfin
Corp.
*
4,019
72,503
1,170,320
Road
&
Rail
-
1.2%
ArcBest
Corp.
9,789
788,015
Avis
Budget
Group,
Inc.
*
1,841
484,735
Covenant
Logistics
Group,
Inc.
2,964
63,815
US
Xpress
Enterprises,
Inc.,
Class
A
*
9,434
36,604
Werner
Enterprises,
Inc.
3,743
153,463
1,526,632
Semiconductors
&
Semiconductor
Equipment
-
5.0%
Amkor
Technology,
Inc.
39,379
855,312
Axcelis
Technologies,
Inc.
*
2,277
171,982
CMC
Materials,
Inc.
614
113,836
Diodes,
Inc.
*
6,970
606,320
FormFactor
,
Inc.
*
16,351
687,232
Ichor
Holdings
Ltd.
*
5,628
200,469
Lattice
Semiconductor
Corp.
*
9,396
572,686
Onto
Innovation,
Inc.
*
1,983
172,303
Photronics
,
Inc.
*
28,791
488,583
Power
Integrations,
Inc.
7,411
686,851
SiTime
Corp.
*
146
36,182
SMART
Global
Holdings,
Inc.
*
7,802
201,526
Synaptics
,
Inc.
*
4,414
880,593
Ultra
Clean
Holdings,
Inc.
*
9,063
384,181
6,058,056
Software
-
2.7%
ACI
Worldwide,
Inc.
*
1,116
35,143
American
Software,
Inc.,
Class
A
5,824
121,372
Appfolio
,
Inc.,
Class
A
*
1,355
153,400
Avaya
Holdings
Corp.
*
6,399
81,075
Benefitfocus
,
Inc.
*
3,768
47,552
Blackbaud
,
Inc.
*
508
30,414
Blackline,
Inc.
*
1,351
98,920
Box,
Inc.,
Class
A
*
2,068
60,096
Cerence
,
Inc.
*
2,212
79,853
ChannelAdvisor
Corp.
*
13,348
221,177
CommVault
Systems,
Inc.
*
601
39,876
Digital
Turbine,
Inc.
*
5,789
253,616
Ebix
,
Inc.
4,780
158,457
Mimecast
Ltd.
*
1,320
105,019
Mitek
Systems,
Inc.
*
6,033
88,504
Progress
Software
Corp.
5,680
267,471
Qualys
,
Inc.
*
786
111,934
SecureWorks
Corp.,
Class
A
*
9,652
127,889
SPS
Commerce,
Inc.
*
5,010
657,312
Tenable
Holdings,
Inc.
*
1,382
79,866
Varonis
Systems,
Inc.
*
1,126
53,530
Verint
Systems,
Inc.
*
1,525
78,843
Vonage
Holdings
Corp.
*
10,387
210,752
Workiva
,
Inc.
*
292
34,456
INVESTMENTS
SHARES
VALUE
($)
Software
-
2.7%
(continued)
Xperi
Holding
Corp.
7,920
137,175
3,333,702
Specialty
Retail
-
3.2%
Abercrombie
&
Fitch
Co.,
Class
A
*
6,331
202,529
Academy
Sports
&
Outdoors,
Inc.
3,014
118,752
Asbury
Automotive
Group,
Inc.
*
2,587
414,437
Caleres
,
Inc.
3,257
62,958
Cato
Corp.
(The),
Class
A
4,597
67,392
Children's
Place,
Inc.
(The)
*
471
23,220
Citi
Trends,
Inc.
*
2,530
77,481
Conn's,
Inc.
*
4,067
62,673
Genesco,
Inc.
*
3,420
217,546
Group
1
Automotive,
Inc.
2,771
465,057
Hibbett,
Inc.
5,160
228,795
MarineMax
,
Inc.
*
4,749
191,195
Murphy
USA,
Inc.
1,573
314,537
ODP
Corp.
(The)
*
9,864
452,067
Sally
Beauty
Holdings,
Inc.
*
11,415
178,417
Shoe
Carnival,
Inc.
1,320
38,491
Signet
Jewelers
Ltd.
5,769
419,406
Sleep
Number
Corp.
*
1,909
96,805
Sonic
Automotive,
Inc.,
Class
A
4,258
181,008
Urban
Outfitters,
Inc.
*
2,267
56,924
Zumiez
,
Inc.
*
1,278
48,832
3,918,522
Technology
Hardware,
Storage
&
Peripherals
-
0.4%
Avid
Technology,
Inc.
*
6,235
217,415
Super
Micro
Computer,
Inc.
*
8,773
333,988
551,403
Textiles,
Apparel
&
Luxury
Goods
-
0.9%
Crocs,
Inc.
*
2,048
156,467
G-III
Apparel
Group
Ltd.
*
12,955
350,433
Kontoor
Brands,
Inc.
7,405
306,197
Movado
Group,
Inc.
4,092
159,792
Oxford
Industries,
Inc.
822
74,391
1,047,280
Thrifts
&
Mortgage
Finance
-
2.6%
Essent
Group
Ltd.
2,033
83,780
Flagstar
Bancorp,
Inc.
2,261
95,866
Mr
Cooper
Group,
Inc.
*
25,081
1,145,449
PennyMac
Financial
Services,
Inc.
8,653
460,340
Provident
Financial
Services,
Inc.
2,321
54,312
Radian
Group,
Inc.
17,777
394,827
Walker
&
Dunlop,
Inc.
6,798
879,797
Waterstone
Financial,
Inc.
2,029
39,241
3,153,612
14
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Tobacco
-
0.1%
Turning
Point
Brands,
Inc.
583
19,828
Vector
Group
Ltd.
6,859
82,582
102,410
Trading
Companies
&
Distributors
-
3.3%
BlueLinx
Holdings,
Inc.
*
968
69,580
Boise
Cascade
Co.
16,233
1,127,706
GMS,
Inc.
*
7,975
396,916
Rush
Enterprises,
Inc.,
Class
A
13,668
695,838
Textainer
Group
Holdings
Ltd.
(China)
7,363
280,309
Titan
Machinery,
Inc.
*
3,029
85,599
Triton
International
Ltd.
3,107
218,049
Veritiv
Corp.
*
5,979
798,735
WESCO
International,
Inc.
*
2,426
315,720
3,988,452
Wireless
Telecommunication
Services
-
0.1%
Shenandoah
Telecommunications
Co.
3,062
72,202
TOTAL
COMMON
STOCKS
(Cost
$68,437,734)
113,903,151
PREFERRED
STOCKS
-
0.1%
Media
-
0.0%
(d)
Liberty
Broadband
Corp.,
Series
A,
7.00%,
3/10/2039
(e)
2,832
76,889
Trading
Companies
&
Distributors
-
0.1%
WESCO
International,
Inc.,
Series
A,
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
10.33%),
10.63%,
6/22/2025
(e)(f)
2,999
88,261
TOTAL
PREFERRED
STOCKS
(Cost
$105,426)
165,150
SHORT-TERM
INVESTMENTS
-
6.0%
INVESTMENT
COMPANIES
-
6.0%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(g)
(Cost
$7,330,120)
7,333,491
7,329,824
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
0.5%
Investment
Companies
-
0.5%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.21%
(g)(h)
434,695
434,695
Limited
Purpose
Cash
Investment
Fund
0.18%
(g)(h)
115,709
115,651
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$550,404)
550,346
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.1%
(Cost
$76,423,684)
121,948,471
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.1)%
(
i
)
(175,416)
NET
ASSETS
-
100.0%
121,773,055
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,520,904
2.0
%
Consumer
Discretionary
14,255,153
11.7
Consumer
Staples
4,963,607
4.1
Energy
8,747,001
7.2
Financials
18,010,222
14.8
Health
Care
14,615,382
12.0
Industrials
22,003,588
18.0
Information
Technology
16,102,747
13.2
Materials
3,146,686
2.6
Real
Estate
7,913,481
6.5
Utilities
1,789,530
1.5
Short-Term
Investments
7,329,824
6.0
Securities
Lending
Collateral
550,346
0.5
Total
Investments
In
Securities
At
Value
121,948,471
100.1
Liabilities
in
Excess
of
Other
Assets
(
i
)
(175,416)
(0.1)
Net
Assets
$
121,773,055
100.0%
15
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
March
31,
2022,
the
value
of
these
securities
amounted
to
$181,189
or
0.15%
of
net
assets.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$519,318.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$73,367,
which
represents
approximately
0.06%
of
net
assets
of
the
fund.
(d)
Represents
less
than
0.05%
of
net
assets.
(e)
Perpetual
security.
The
rate
reflected
was
the
rate
in
effect
on
March
31,
2022.
The
maturity
date
reflects
the
next
call
date.
(f)
Variable
or
floating
rate
security,
linked
to
the
referenced
benchmark.
The
interest
rate
shown
was
the
current
rate
as
of
March
31,
2022.
(g)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(h)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(i)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
60
6/2022
USD
$
6,199,200
$
178,095
$
178,095
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
115,361
$
115,361
16
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.0%
Australia
-
8.3%
Aristocrat
Leisure
Ltd.
5,113
138,777
Aurizon
Holdings
Ltd.
1,153,392
3,170,266
BHP
Group
Ltd.
130,644
5,035,998
BlueScope
Steel
Ltd.
316,851
4,927,065
CSL
Ltd.
12,342
2,463,988
Dexus
,
REIT
138,456
1,130,171
Domino's
Pizza
Enterprises
Ltd.
2,155
140,277
Fortescue
Metals
Group
Ltd.
417,588
6,419,099
Goodman
Group,
REIT
72,718
1,235,953
GPT
Group
(The),
REIT
232,279
895,972
REA
Group
Ltd.
7,075
709,264
Rio
Tinto
Ltd.
8,995
804,154
Rio
Tinto
plc
103,508
8,275,110
Scentre
Group,
REIT
354,218
805,370
South32
Ltd.
839,139
3,189,802
Tabcorp
Holdings
Ltd.
57,040
227,253
WiseTech
Global
Ltd.
17,881
673,019
40,241,538
—
Belgium
-
0.5%
Ageas
SA/NV
20,631
1,042,965
Groupe
Bruxelles
Lambert
SA
1,467
151,800
Proximus
SADP
58,559
1,090,449
2,285,214
—
Brazil
-
0.2%
Wheaton
Precious
Metals
Corp.
(1)
16,953
806,188
Canada
-
11.8%
Alimentation
Couche-Tard,
Inc.
(1)
21,067
949,081
Bank
of
Montreal
(1)
12,049
1,417,853
Bank
of
Nova
Scotia
(The)
(1)
8,454
605,910
Canadian
Apartment
Properties,
REIT
(1)
3,482
149,430
Canadian
Imperial
Bank
of
Commerce
(1)
17,788
2,159,204
Canadian
Natural
Resources
Ltd.
(1)
23,966
1,483,988
Canadian
Pacific
Railway
Ltd.
(1)
48,960
4,040,869
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
28,315
4,275,278
CCL
Industries,
Inc.,
Class
B
(1)
4,615
208,204
CGI,
Inc.
(1)*
38,306
3,051,549
Constellation
Software,
Inc.
(1)
1,663
2,842,724
Empire
Co.
Ltd.,
Class
A
(1)
13,179
467,429
Fairfax
Financial
Holdings
Ltd.
(1)
5,762
3,143,508
Gildan
Activewear
,
Inc.
(1)
27,604
1,035,357
Great-West
Lifeco
,
Inc.
(1)
6,006
176,988
iA
Financial
Corp.,
Inc.
(1)
12,987
789,619
IGM
Financial,
Inc.
(1)
31,421
1,110,159
Loblaw
Cos.
Ltd.
(1)
25,561
2,293,671
Magna
International,
Inc.
(1)
24,567
1,577,209
National
Bank
of
Canada
(1)
18,499
1,418,037
Nutrien
Ltd.
(1)
14,110
1,458,460
Nuvei
Corp.
(1)*(a)
20,845
1,567,356
Onex
Corp.
(1)
26,243
1,758,700
Open
Text
Corp.
(1)
44,801
1,899,693
Power
Corp.
of
Canada
(1)
5,259
162,799
Royal
Bank
of
Canada
(1)
23,203
2,554,622
INVESTMENTS
SHARES
VALUE
($)
Canada
-
11.8%
(continued)
Suncor
Energy,
Inc.
(1)
6,800
221,381
Teck
Resources
Ltd.,
Class
B
(1)
95,122
3,840,946
Thomson
Reuters
Corp.
(1)
44,894
4,874,186
Toromont
Industries
Ltd.
(1)
1,695
160,680
Toronto-Dominion
Bank
(The)
(1)
12,139
963,138
West
Fraser
Timber
Co.
Ltd.
(1)
55,757
4,587,582
57,245,610
—
Chile
-
0.1%
Lundin
Mining
Corp.
(1)
31,642
320,685
China
-
0.4%
BOC
Hong
Kong
Holdings
Ltd.
499,000
1,877,630
Denmark
-
2.8%
AP
Moller
-
Maersk
A/S,
Class
B
386
1,159,916
Coloplast
A/S,
Class
B
4,609
697,980
DSV
A/S
5,938
1,138,051
Genmab
A/S
*
2,453
885,909
Novo
Nordisk
A/S,
Class
B
56,397
6,255,338
Pandora
A/S
38,568
3,674,156
13,811,350
—
Finland
-
1.2%
Kesko
OYJ,
Class
B
87,458
2,414,725
Kone
OYJ,
Class
B
7,050
368,927
Neste
OYJ
32,823
1,496,505
Nokia
OYJ
*
124,892
687,783
Orion
OYJ,
Class
B
4,867
221,044
Wartsila
OYJ
Abp
89,778
819,751
6,008,735
—
France
-
8.1%
Arkema
SA
11,265
1,346,619
BNP
Paribas
SA
65,235
3,727,833
Bollore
SE
56,251
294,555
Carrefour
SA
276,363
6,014,231
Cie
de
Saint-Gobain
59,147
3,519,270
Cie
Generale
des
Etablissements
Michelin
SCA
2,784
377,275
CNP
Assurances
42,767
1,029,592
Electricite
de
France
SA
130,638
1,226,194
Hermes
International
1,246
1,763,523
Ipsen
SA
19,614
2,455,178
L'Oreal
SA
7,631
3,048,168
LVMH
Moet
Hennessy
Louis
Vuitton
SE
468
334,058
Orange
SA
12,893
152,670
Publicis
Groupe
SA
45,751
2,776,796
Sanofi
43,343
4,431,373
Societe
Generale
SA
21,635
579,977
TotalEnergies
SE
119,350
6,039,057
Unibail
-
Rodamco
-Westfield,
REIT
*
4,856
363,750
39,480,119
—
Germany
-
5.9%
Allianz
SE
(Registered)
7,463
1,782,225
Bayerische
Motoren
Werke
AG
39,787
3,438,296
Brenntag
SE
41,214
3,323,147
Covestro
AG
(a)
45,664
2,299,429
Daimler
Truck
Holding
AG
*
18,662
517,590
17
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
5.9%
(continued)
Deutsche
Boerse
AG
5,597
1,007,521
Deutsche
Post
AG
(Registered)
27,693
1,322,393
Evonik
Industries
AG
5,927
164,430
Fresenius
SE
&
Co.
KGaA
12,270
450,511
GEA
Group
AG
24,259
994,312
Infineon
Technologies
AG
99,417
3,363,280
KION
Group
AG
4,200
276,810
Mercedes-Benz
Group
AG
32,697
2,294,988
Merck
KGaA
13,349
2,787,733
SAP
SE
6,543
725,149
Siemens
AG
(Registered)
5,000
692,337
Siemens
Energy
AG
3,772
85,816
Symrise
AG
7,173
859,991
Volkswagen
AG
(Preference)
2,969
510,227
Vonovia
SE
13,726
639,775
Zalando
SE
*(a)
25,174
1,274,665
28,810,625
—
Hong
Kong
-
2.5%
CK
Asset
Holdings
Ltd.
459,439
3,140,463
CLP
Holdings
Ltd.
144,000
1,401,105
Hong
Kong
Exchanges
&
Clearing
Ltd.
32,300
1,514,008
Link,
REIT
39,000
332,133
Power
Assets
Holdings
Ltd.
36,500
237,872
Sino
Land
Co.
Ltd.
318,000
410,033
Sun
Hung
Kai
Properties
Ltd.
26,500
315,283
Swire
Pacific
Ltd.,
Class
A
123,500
751,019
WH
Group
Ltd.
(a)
6,090,500
3,824,563
11,926,479
—
Italy
-
1.3%
Assicurazioni
Generali
SpA
40,634
929,387
Coca-Cola
HBC
AG
*
6,612
137,899
Enel
SpA
117,323
783,337
Eni
SpA
144,391
2,105,687
Prysmian
SpA
71,480
2,425,760
6,382,070
—
Japan
-
19.3%
AGC,
Inc.
30,100
1,202,657
Aisin
Corp.
13,700
468,234
Bandai
Namco
Holdings,
Inc.
5,500
417,062
Brother
Industries
Ltd.
11,000
200,040
Chubu
Electric
Power
Co.,
Inc.
82,600
854,897
CyberAgent
,
Inc.
375,400
4,645,427
Dai-ichi
Life
Holdings,
Inc.
32,200
654,329
Daiwa
House
Industry
Co.
Ltd.
19,500
508,339
ENEOS
Holdings,
Inc.
760,100
2,841,805
Fujitsu
Ltd.
35,900
5,378,744
Hakuhodo
DY
Holdings,
Inc.
19,300
242,273
Hitachi
Ltd.
21,500
1,075,950
Idemitsu
Kosan
Co.
Ltd.
39,200
1,080,569
Iida
Group
Holdings
Co.
Ltd.
35,400
610,329
ITOCHU
Corp.
151,300
5,117,868
Japan
Post
Holdings
Co.
Ltd.
168,600
1,238,240
Japan
Post
Insurance
Co.
Ltd.
220,300
3,836,561
Japan
Tobacco,
Inc.
35,000
597,715
KDDI
Corp.
12,300
403,276
Konami
Holdings
Corp.
2,200
138,765
INVESTMENTS
SHARES
VALUE
($)
Japan
-
19.3%
(continued)
Kyocera
Corp.
2,500
139,899
M3,
Inc.
12,400
447,838
Marubeni
Corp.
388,700
4,513,665
Mitsubishi
Estate
Co.
Ltd.
26,800
399,064
Mitsubishi
UFJ
Financial
Group,
Inc.
591,300
3,654,908
Mitsui
&
Co.
Ltd.
95,900
2,603,228
Mitsui
Fudosan
Co.
Ltd.
20,800
445,168
Mizuho
Financial
Group,
Inc.
272,920
3,481,196
MS&AD
Insurance
Group
Holdings,
Inc.
146,200
4,746,812
Nexon
Co.
Ltd.
12,700
303,831
NGK
Insulators
Ltd.
13,200
188,299
NIPPON
EXPRESS
HOLDINGS,
Inc.
6,400
439,685
Nippon
Shinyaku
Co.
Ltd.
3,600
244,765
Nippon
Telegraph
&
Telephone
Corp.
223,200
6,484,831
Nitto
Denko
Corp.
55,600
3,985,857
Nomura
Real
Estate
Holdings,
Inc.
10,700
256,255
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
128
169,204
ORIX
Corp.
15,900
316,928
Otsuka
Corp.
15,900
563,756
Otsuka
Holdings
Co.
Ltd.
15,500
535,491
Pola
Orbis
Holdings,
Inc.
22,000
286,463
Resona
Holdings,
Inc.
1,302,200
5,546,513
Rohm
Co.
Ltd.
2,300
178,572
Ryohin
Keikaku
Co.
Ltd.
73,700
854,863
Santen
Pharmaceutical
Co.
Ltd.
34,700
346,946
SCSK
Corp.
8,900
152,195
Shimano,
Inc.
2,000
458,017
Sompo
Holdings,
Inc.
107,900
4,741,175
Square
Enix
Holdings
Co.
Ltd.
13,700
606,892
Sumitomo
Corp.
61,100
1,058,170
Sumitomo
Mitsui
Financial
Group,
Inc.
58,100
1,835,285
Sumitomo
Mitsui
Trust
Holdings,
Inc.
68,300
2,222,799
Sumitomo
Pharma
Co.
Ltd.
24,000
236,778
T&D
Holdings,
Inc.
105,900
1,437,909
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
832,700
2,748,731
Tokyo
Electron
Ltd.
6,700
3,440,860
Tosoh
Corp.
132,700
1,961,241
Toyota
Tsusho
Corp.
23,300
956,277
Yamaha
Corp.
3,700
160,788
94,664,234
—
Luxembourg
-
0.1%
ArcelorMittal
SA
12,532
401,452
Netherlands
-
5.7%
ASM
International
NV
4,351
1,584,337
ASML
Holding
NV
13,291
8,881,336
ING
Groep
NV
109,319
1,141,393
Koninklijke
Ahold
Delhaize
NV
153,526
4,938,243
NN
Group
NV
17,590
891,440
Randstad
NV
15,885
955,561
Shell
plc
191,540
5,249,866
18
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
5.7%
(continued)
Universal
Music
Group
NV
12,414
331,381
Wolters
Kluwer
NV
35,973
3,834,953
27,808,510
—
Singapore
-
1.4%
CapitaLand
Integrated
Commercial
Trust,
REIT
156,096
258,236
Genting
Singapore
Ltd.
1,003,500
599,780
STMicroelectronics
NV
72,955
3,170,915
Venture
Corp.
Ltd.
229,300
2,955,000
6,983,931
—
South
Africa
-
0.7%
Anglo
American
plc
66,550
3,458,097
Spain
-
2.6%
Banco
Bilbao
Vizcaya
Argentaria
SA
111,916
639,033
Banco
Santander
SA
175,525
596,773
CaixaBank
SA
167,441
567,940
Enagas
SA
55,386
1,229,918
Endesa
SA
10,799
235,457
Red
Electrica
Corp.
SA
16,541
339,604
Repsol
SA
386,511
5,062,985
Telefonica
SA
810,840
3,929,541
12,601,251
—
Sweden
-
3.7%
Alfa
Laval
AB
35,821
1,232,151
Atlas
Copco
AB,
Class
A
21,096
1,095,008
Atlas
Copco
AB,
Class
B
10,707
485,558
Boliden
AB
67,178
3,388,810
Electrolux
AB,
Series
B
185,306
2,804,145
Epiroc
AB,
Class
A
69,802
1,492,985
Evolution
AB
(a)
15,087
1,534,866
H
&
M
Hennes
&
Mauritz
AB,
Class
B
29,553
396,827
Hexagon
AB,
Class
B
13,741
192,522
Husqvarna
AB,
Class
B
183,479
1,914,003
Investor
AB,
Class
B
44,280
962,126
Skanska
AB,
Class
B
23,967
536,194
SKF
AB,
Class
B
17,266
281,539
Swedbank
AB,
Class
A
41,006
612,451
Swedish
Match
AB
12,100
90,992
Telefonaktiebolaget
LM
Ericsson,
Class
B
67,988
619,748
Volvo
AB,
Class
B
7,355
137,210
17,777,135
—
Switzerland
-
8.2%
Cie
Financiere
Richemont
SA
(Registered)
1,855
235,130
EMS-
Chemie
Holding
AG
(Registered)
144
139,940
Geberit
AG
(Registered)
1,854
1,142,911
Holcim
Ltd.
*
14,221
691,664
Kuehne
+
Nagel
International
AG
(Registered)
3,890
1,104,484
Lonza
Group
AG
(Registered)
2,133
1,545,580
Nestle
SA
(Registered)
32,187
4,184,911
Novartis
AG
(Registered)
54,924
4,821,863
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
8.2%
(continued)
Roche
Holding
AG
27,669
10,947,569
SGS
SA
(Registered)
269
747,859
Sonova
Holding
AG
(Registered)
15,871
6,629,926
Straumann
Holding
AG
(Registered)
424
676,995
Swatch
Group
AG
(The)
12,831
3,637,896
Temenos
AG
(Registered)
3,437
330,604
UBS
Group
AG
(Registered)
158,262
3,092,646
39,929,978
—
United
Kingdom
-
8.5%
3i
Group
plc
30,804
557,009
Admiral
Group
plc
20,891
700,576
Ashtead
Group
plc
27,608
1,738,322
Auto
Trader
Group
plc
(a)
114,779
947,533
Aviva
plc
1,090,054
6,449,754
BAE
Systems
plc
28,932
271,714
Barclays
plc
1,804,940
3,498,834
Barratt
Developments
plc
66,145
450,303
British
American
Tobacco
plc
64,615
2,713,650
BT
Group
plc
1,556,210
3,710,487
Bunzl
plc
34,710
1,346,092
CK
Hutchison
Holdings
Ltd.
147,000
1,074,924
Entain
plc
*
125,879
2,696,458
Experian
plc
29,252
1,126,952
Imperial
Brands
plc
24,800
522,406
Intertek
Group
plc
2,052
139,983
J
Sainsbury
plc
78,461
259,689
Kingfisher
plc
918,684
3,066,243
Lloyds
Banking
Group
plc
486,184
296,070
London
Stock
Exchange
Group
plc
9,002
938,734
M&G
plc
196,381
565,839
National
Grid
plc
49,284
757,407
Next
plc
22,533
1,772,235
Persimmon
plc
86,031
2,412,428
Spirax-Sarco
Engineering
plc
4,699
768,196
Taylor
Wimpey
plc
156,722
266,885
Tesco
plc
593,071
2,147,098
41,195,821
—
United
States
-
1.6%
Schneider
Electric
SE
16,746
2,811,492
Stellantis
NV
297,210
4,811,676
7,623,168
—
Zambia
-
0.1%
First
Quantum
Minerals
Ltd.
(1)
17,528
606,817
TOTAL
COMMON
STOCKS
(Cost
$352,418,802)
462,246,637
19
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
3.9%
INVESTMENT
COMPANIES
-
3.9%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(b)
(Cost
$18,981,797)
18,991,583
18,982,087
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.9%
(Cost
$371,400,599)
481,228,724
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.1%
(c)
5,510,123
NET
ASSETS
-
100.0%
486,738,847
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
26,767,972
5.5
%
Consumer
Discretionary
48,715,504
10.0
Consumer
Staples
34,890,935
7.2
Energy
25,581,844
5.3
Financials
85,126,749
17.5
Health
Care
47,082,804
9.7
Industrials
70,283,970
14.4
Information
Technology
42,599,082
8.7
Materials
59,177,635
12.2
Real
Estate
12,205,619
2.5
Utilities
9,814,523
2.0
Short-Term
Investments
18,982,087
3.9
Total
Investments
In
Securities
At
Value
481,228,724
98.9
Other
Assets
in
Excess
of
Liabilities
(c)
5,510,123
1.1
Net
Assets
$
486,738,847
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$11,448,412,
which
represents
approximately
2.35%
of
net
assets
of
the
fund.
(b)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(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
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
172
6/2022
USD
$
18,441,840
$
1,006,549
$
1,006,549
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
(287,316)
$
(287,316)
20
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
97.2%
Brazil
-
5.4%
Ambev
SA,
ADR
(1)
1,202,427
3,883,839
Banco
do
Brasil
SA
(1)
530,400
3,865,719
Braskem
SA,
Class
A
(1)
255,700
2,379,204
BRF
SA
(1)*
264,500
1,032,767
Cia
Energetica
de
Minas
Gerais
(Preference)
(1)
312,959
999,802
Cia
Siderurgica
Nacional
SA
(1)
501,000
2,739,108
Gerdau
SA,
ADR
(1)
557,642
3,585,638
Natura
&
Co.
Holding
SA
(1)*
69,400
379,721
Petroleo
Brasileiro
SA
(Preference)
(1)
593,300
4,168,384
Telefonica
Brasil
SA
(1)
128,500
1,449,085
TIM
SA,
ADR
(1)*
125,144
1,814,588
Vale
SA,
ADR
(1)
189,271
3,783,527
Via
S/A
(1)*
591,100
517,719
Vibra
Energia
SA
(1)
136,800
671,781
31,270,882
—
Chile
-
0.5%
Cencosud
SA
(1)
1,222,003
2,407,352
Cia
Cervecerias
Unidas
SA,
ADR
(1)
4,208
62,952
Enel
Chile
SA,
ADR
(1)
120,114
189,780
Falabella
SA
(1)
165,657
529,500
3,189,584
—
China
-
30.0%
3SBio,
Inc.
*(a)
720,500
585,927
Agricultural
Bank
of
China
Ltd.,
Class
A
614,500
297,355
Agricultural
Bank
of
China
Ltd.,
Class
H
6,775,000
2,589,968
Alibaba
Group
Holding
Ltd.
*
1,086,204
14,823,115
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
22,200
137,393
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
48,323
299,066
Anhui
Conch
Cement
Co.
Ltd.,
Class
H
229,000
1,171,216
Baidu,
Inc.,
ADR
(1)*
22,331
2,954,391
Bank
of
Beijing
Co.
Ltd.,
Class
A
371,578
267,131
Bank
of
China
Ltd.,
Class
A
609,800
313,257
Bank
of
China
Ltd.,
Class
H
11,702,000
4,669,751
Bank
of
Communications
Co.
Ltd.,
Class
A
389,700
312,506
Bank
of
Communications
Co.
Ltd.,
Class
H
2,386,000
1,708,178
Bank
of
Ningbo
Co.
Ltd.,
Class
A
59,400
347,373
Bank
of
Shanghai
Co.
Ltd.,
Class
A
227,711
237,480
Baoshan
Iron
&
Steel
Co.
Ltd.,
Class
A
540,022
571,893
BeiGene
Ltd.,
ADR
(1)*
3,623
683,298
Beijing
Enterprises
Holdings
Ltd.
131,500
415,002
Bilibili
,
Inc.,
ADR
(1)*
9,329
238,636
BOE
Technology
Group
Co.
Ltd.,
Class
A
1,508,900
1,018,220
Bosideng
International
Holdings
Ltd.
370,000
171,436
BYD
Co.
Ltd.,
Class
A
40,800
1,457,200
INVESTMENTS
SHARES
VALUE
($)
China
-
30.0%
(continued)
CanSino
Biologics,
Inc.,
Class
H
*(a)
145,000
2,307,865
China
Cinda
Asset
Management
Co.
Ltd.,
Class
H
5,727,000
975,689
China
CITIC
Bank
Corp.
Ltd.,
Class
H
4,634,000
2,338,421
China
Communications
Services
Corp.
Ltd.,
Class
H
372,000
167,739
China
Construction
Bank
Corp.,
Class
H
11,575,000
8,670,430
China
Everbright
Bank
Co.
Ltd.,
Class
A
538,100
278,703
China
Everbright
Bank
Co.
Ltd.,
Class
H
519,000
195,816
China
Everbright
Environment
Group
Ltd.
871,000
522,779
China
Hongqiao
Group
Ltd.
3,699,000
4,859,554
China
Lesso
Group
Holdings
Ltd.
115,000
138,028
China
Longyuan
Power
Group
Corp.
Ltd.,
Class
H
707,000
1,589,156
China
Medical
System
Holdings
Ltd.
1,327,000
2,069,585
China
Merchants
Bank
Co.
Ltd.,
Class
A
109,658
802,850
China
Merchants
Port
Holdings
Co.
Ltd.
322,000
579,917
China
Merchants
Securities
Co.
Ltd.,
Class
A
240,200
544,258
China
Minsheng
Banking
Corp.
Ltd.,
Class
A
354,355
212,522
China
Minsheng
Banking
Corp.
Ltd.,
Class
H
4,403,500
1,651,768
China
National
Building
Material
Co.
Ltd.,
Class
H
5,870,000
7,220,359
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
A
63,000
226,148
China
Petroleum
&
Chemical
Corp.,
Class
A
401,800
271,889
China
Railway
Group
Ltd.,
Class
H
1,000,000
556,972
China
Resources
Land
Ltd.
592,000
2,741,047
China
Resources
Power
Holdings
Co.
Ltd.
1,768,000
3,290,307
China
State
Construction
Engineering
Corp.
Ltd.,
Class
A
1,145,200
976,321
China
Taiping
Insurance
Holdings
Co.
Ltd.
695,600
843,745
China
Tourism
Group
Duty
Free
Corp.
Ltd.,
Class
A
35,392
908,660
China
Traditional
Chinese
Medicine
Holdings
Co.
Ltd.
3,194,000
1,658,511
China
Vanke
Co.
Ltd.,
Class
H
138,600
311,750
China
Yangtze
Power
Co.
Ltd.,
Class
A
96,100
331,608
China
Yuhua
Education
Corp.
Ltd.
(a)
1,380,000
309,552
Chinasoft
International
Ltd.
*
2,298,000
1,883,580
CITIC
Ltd.
3,522,000
3,896,001
CITIC
Securities
Co.
Ltd.,
Class
A
153,065
500,722
COSCO
SHIPPING
Holdings
Co.
Ltd.,
Class
H
*
2,742,400
4,715,139
21
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
China
-
30.0%
(continued)
Country
Garden
Holdings
Co.
Ltd.
(b)
3,136,000
2,400,628
Country
Garden
Services
Holdings
Co.
Ltd.
511,000
2,152,650
CSPC
Pharmaceutical
Group
Ltd.
208,000
238,336
Dongfeng
Motor
Group
Co.
Ltd.,
Class
H
746,000
558,029
Dongyue
Group
Ltd.
1,565,000
2,120,182
Far
East
Horizon
Ltd.
(b)
861,000
769,408
Foshan
Haitian
Flavouring
&
Food
Co.
Ltd.,
Class
A
43,158
591,621
Guotai
Junan
Securities
Co.
Ltd.,
Class
A
94,200
231,857
Haier
Smart
Home
Co.
Ltd.,
Class
A
225,900
815,036
Haitian
International
Holdings
Ltd.
44,000
113,459
Haitong
Securities
Co.
Ltd.,
Class
A
186,300
300,926
Huaneng
Power
International,
Inc.,
Class
H
1,424,000
603,993
Huatai
Securities
Co.
Ltd.,
Class
A
136,300
317,528
Huaxia
Bank
Co.
Ltd.,
Class
A
291,300
254,103
Huazhu
Group
Ltd.,
ADR
(1)
15,565
513,489
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
A
350,800
262,701
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
H
1,131,000
693,362
Industrial
Bank
Co.
Ltd.,
Class
A
122,390
395,776
Inner
Mongolia
Yili
Industrial
Group
Co.
Ltd.,
Class
A
158,400
915,835
JD.com,
Inc.,
Class
A
*
154,638
4,394,022
Jiangsu
Hengrui
Medicine
Co.
Ltd.,
Class
A
256,838
1,482,130
Jiangsu
Yanghe
Brewery
Joint-
Stock
Co.
Ltd.,
Class
A
28,800
610,015
Jiangxi
Copper
Co.
Ltd.,
Class
H
178,000
294,424
KE
Holdings,
Inc.,
ADR
(1)*
22,109
273,488
Kingboard
Holdings
Ltd.
268,500
1,295,014
Kingsoft
Corp.
Ltd.
53,400
170,115
Kunlun
Energy
Co.
Ltd.
2,768,000
2,392,204
Kweichow
Moutai
Co.
Ltd.,
Class
A
1,100
295,785
Kweichow
Moutai
Co.
Ltd.,
Class
A
6,700
1,801,598
Li
Auto,
Inc.,
ADR
(1)*
34,548
891,684
Longfor
Group
Holdings
Ltd.
(a)
72,500
370,850
Luxshare
Precision
Industry
Co.
Ltd.,
Class
A
276,407
1,368,055
Luzhou
Laojiao
Co.
Ltd.,
Class
A
38,100
1,105,924
NARI
Technology
Co.
Ltd.,
Class
A
287,340
1,413,300
NetEase
,
Inc.
147,650
2,664,015
New
China
Life
Insurance
Co.
Ltd.,
Class
A
38,600
213,566
New
China
Life
Insurance
Co.
Ltd.,
Class
H
381,800
1,058,981
NIO,
Inc.,
ADR
(1)*
94,422
1,987,583
People's
Insurance
Co.
Group
of
China
Ltd.
(The),
Class
H
3,713,000
1,211,455
PetroChina
Co.
Ltd.,
Class
A
448,500
387,361
PICC
Property
&
Casualty
Co.
Ltd.,
Class
H
2,182,000
2,221,921
Pinduoduo
,
Inc.,
ADR
(1)*
31,376
1,258,491
Ping
An
Bank
Co.
Ltd.,
Class
A
160,985
387,680
INVESTMENTS
SHARES
VALUE
($)
China
-
30.0%
(continued)
Ping
An
Insurance
Group
Co.
of
China
Ltd.,
Class
A
51,900
393,378
SAIC
Motor
Corp.
Ltd.,
Class
A
167,800
446,712
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
76,600
209,934
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
238,100
652,548
Shandong
Weigao
Group
Medical
Polymer
Co.
Ltd.,
Class
H
736,000
781,717
Shanghai
Pharmaceuticals
Holding
Co.
Ltd.,
Class
H
249,900
479,833
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
140,963
177,047
Shenwan
Hongyuan
Group
Co.
Ltd.,
Class
A
376,800
258,813
Sinopharm
Group
Co.
Ltd.,
Class
H
1,072,400
2,434,405
Sinotruk
Hong
Kong
Ltd.
913,000
1,386,606
Smoore
International
Holdings
Ltd.
(a)
139,000
325,646
Sunac
China
Holdings
Ltd.
(b)
212,000
121,682
Suning.com
Co.
Ltd.,
Class
A
*
454,800
246,302
Tencent
Holdings
Ltd.
376,700
17,363,740
Topsports
International
Holdings
Ltd.
(a)
178,000
147,943
Trip.com
Group
Ltd.,
ADR
(1)*
43,393
1,003,246
Tsingtao
Brewery
Co.
Ltd.,
Class
H
108,000
849,013
Wuliangye
Yibin
Co.
Ltd.,
Class
A
30,100
729,398
Wuliangye
Yibin
Co.
Ltd.,
Class
A
11,582
280,661
XPeng
,
Inc.,
ADR
(1)*
30,187
832,859
Yonghui
Superstores
Co.
Ltd.,
Class
A
482,327
319,661
Yum
China
Holdings,
Inc.
(1)
33,622
1,396,658
Zhongsheng
Group
Holdings
Ltd.
654,500
4,601,942
ZTO
Express
Cayman,
Inc.,
ADR
(1)
34,228
855,700
173,911,207
—
Hong
Kong
-
0.2%
Huabao
International
Holdings
Ltd.
(b)
1,621,000
894,344
Kingboard
Laminates
Holdings
Ltd.
227,500
370,740
1,265,084
—
Hungary
-
0.0%
(c)
OTP
Bank
Nyrt
.
*
7,944
288,193
India
-
12.0%
Adani
Transmission
Ltd.
*
11,923
370,170
Ambuja
Cements
Ltd.
66,664
261,888
Aurobindo
Pharma
Ltd.
215,293
1,890,993
Axis
Bank
Ltd.,
GDR
*(d)
14,131
699,189
Bharat
Electronics
Ltd.
724,337
2,003,659
Cipla
Ltd.
171,502
2,296,250
Coal
India
Ltd.
255,200
613,964
Container
Corp.
of
India
Ltd.
45,199
398,521
Dr
Reddy's
Laboratories
Ltd.,
ADR
(1)
34,335
1,913,490
GAIL
India
Ltd.
623,136
1,274,344
HCL
Technologies
Ltd.
140,535
2,147,775
Hindalco
Industries
Ltd.
207,309
1,546,655
Hindustan
Petroleum
Corp.
Ltd.
104,940
371,527
22
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
India
-
12.0%
(continued)
Indian
Oil
Corp.
Ltd.
334,701
522,300
Infosys
Ltd.,
ADR
(1)
572,052
14,238,373
ITC
Ltd.
137,807
453,474
Larsen
&
Toubro
Ltd.,
GDR
(d)
14,876
344,299
NTPC
Ltd.
2,640,896
4,683,598
Oil
&
Natural
Gas
Corp.
Ltd.
509,342
1,095,316
Page
Industries
Ltd.
1,427
810,117
Piramal
Enterprises
Ltd.
6,373
182,733
Reliance
Industries
Ltd.,
GDR
(a)
32,737
2,245,886
State
Bank
of
India,
GDR
(d)
4,662
296,672
Sun
Pharmaceutical
Industries
Ltd.
101,989
1,227,553
Tata
Consultancy
Services
Ltd.
79,960
3,929,666
Tata
Steel
Ltd.
353,164
6,041,747
Tech
Mahindra
Ltd.
369,274
7,265,463
Vedanta
Ltd.
1,272,119
6,718,045
Wipro
Ltd.,
ADR
(1)
477,231
3,679,451
69,523,118
—
Indonesia
-
1.8%
Adaro
Energy
Indonesia
Tbk
.
PT
17,134,200
3,209,122
Astra
International
Tbk
.
PT
5,701,400
2,610,040
Bank
Negara
Indonesia
Persero
Tbk
.
PT
1,915,900
1,094,636
Indah
Kiat
Pulp
&
Paper
Tbk
.
PT
359,300
197,288
Indofood
Sukses
Makmur
Tbk
.
PT
2,026,900
838,845
Kalbe
Farma
Tbk
.
PT
5,479,600
614,249
Unilever
Indonesia
Tbk
.
PT
1,074,600
273,286
United
Tractors
Tbk
.
PT
957,500
1,699,571
10,537,037
—
Malaysia
-
0.6%
Hartalega
Holdings
Bhd.
882,500
1,017,926
MISC
Bhd.
305,200
532,853
RHB
Bank
Bhd.
132,300
187,532
Sime
Darby
Bhd.
1,095,400
623,910
Telekom
Malaysia
Bhd.
145,200
168,863
Top
Glove
Corp.
Bhd.
2,646,000
1,208,234
3,739,318
—
Mexico
-
1.5%
Alfa
SAB
de
CV,
Class
A
(1)
1,415,800
1,075,552
America
Movil
SAB
de
CV,
Class
L,
ADR
(1)
79,348
1,678,210
Coca-Cola
Femsa
SAB
de
CV,
ADR
(1)
3,308
181,775
Grupo
Bimbo
SAB
de
CV,
Series
A
(1)
178,000
537,490
Grupo
Mexico
SAB
de
CV,
Series
B
(1)
271,000
1,621,368
Grupo
Televisa
SAB,
ADR
(1)
65,369
764,817
Industrias
Penoles
SAB
de
CV
(1)
22,200
280,475
Orbia
Advance
Corp.
SAB
de
CV
(1)
137,600
363,267
Wal-Mart
de
Mexico
SAB
de
CV
(1)
496,000
2,042,851
8,545,805
—
INVESTMENTS
SHARES
VALUE
($)
Philippines
-
0.2%
Ayala
Land,
Inc.
344,300
232,470
International
Container
Terminal
Services,
Inc.
168,160
728,482
PLDT,
Inc.
9,420
336,786
1,297,738
—
Poland
-
1.7%
Cyfrowy
Polsat
SA
115,458
760,152
PGE
Polska
Grupa
Energetyczna
SA
*
647,709
1,395,085
Polski
Koncern
Naftowy
ORLEN
SA
329,828
5,918,921
Polskie
Gornictwo
Naftowe
i
Gazownictwo
SA
1,100,256
1,617,458
9,691,616
—
Qatar
-
0.4%
Industries
Qatar
QSC
29,520
153,865
Qatar
Islamic
Bank
SAQ
27,416
179,473
Qatar
National
Bank
QPSC
351,624
2,222,135
2,555,473
—
Russia
-
0.0%
(c)
Gazprom
PJSC,
ADR
(3)(e)
431,776
5
LUKOIL
PJSC,
ADR
(3)(e)
29,987
–
Magnit
PJSC,
GDR
(3)(d)(e)
33,406
–
MMC
Norilsk
Nickel
PJSC,
ADR
(3)(e)
67,902
1
Mobile
TeleSystems
PJSC,
ADR
(3)(e)
153,016
2
Novatek
PJSC,
GDR
(3)(d)(e)
7,176
–
Novolipetsk
Steel
PJSC,
GDR
(3)
(d)(e)
32,668
–
PhosAgro
PJSC,
GDR
(3)(d)(e)
11,223
–
Polyus
PJSC,
GDR
(3)(d)(e)
2,582
–
Rosneft
Oil
Co.
PJSC,
GDR
(3)(d)
(e)
106,000
1
Severstal
PAO,
GDR
(3)(d)(e)
54,062
1
Surgutneftegas
PJSC,
ADR
(3)(e)
124,926
1
Tatneft
PJSC,
ADR
(3)(e)
22,461
–
11
—
Saudi
Arabia
-
5.0%
Advanced
Petrochemical
Co.
10,382
194,304
Al
Rajhi
Bank
212,576
9,073,547
Alinma
Bank
91,117
939,620
Arab
National
Bank
61,390
452,678
Bank
AlBilad
*
20,044
329,452
Bank
Al-
Jazira
181,193
1,265,044
Banque
Saudi
Fransi
38,073
542,747
Etihad
Etisalat
Co.
250,744
2,773,791
Jarir
Marketing
Co.
9,389
491,951
Mobile
Telecommunications
Co.
Saudi
Arabia
*
242,291
856,217
Riyad
Bank
118,197
1,179,440
SABIC
Agri
-Nutrients
Co.
7,385
356,331
Sahara
International
Petrochemical
Co.
38,044
540,463
Saudi
Basic
Industries
Corp.
100,669
3,498,929
Saudi
British
Bank
(The)
35,455
374,505
Saudi
Electricity
Co.
365,371
2,567,849
23
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Saudi
Arabia
-
5.0%
(continued)
Saudi
Industrial
Investment
Group
29,345
272,525
Saudi
Kayan
Petrochemical
Co.
*
45,155
269,912
Saudi
National
Bank
(The)
119,987
2,257,671
Saudi
Telecom
Co.
38,856
1,111,793
29,348,769
—
South
Africa
-
4.1%
Absa
Group
Ltd.
51,820
671,917
Anglo
American
Platinum
Ltd.
4,858
667,078
Aspen
Pharmacare
Holdings
Ltd.
76,053
1,033,800
Exxaro
Resources
Ltd.
133,412
2,017,161
Harmony
Gold
Mining
Co.
Ltd.,
ADR
(1)
130,683
657,335
Impala
Platinum
Holdings
Ltd.
136,970
2,108,284
Kumba
Iron
Ore
Ltd.
92,464
4,107,297
Mr
Price
Group
Ltd.
39,224
579,138
MTN
Group
Ltd.
18,154
234,897
MultiChoice
Group
65,833
593,477
Shoprite
Holdings
Ltd.
351,248
5,669,355
Sibanye
Stillwater
Ltd.
1,444,447
5,808,084
24,147,823
—
South
Korea
-
13.1%
CJ
Corp.
3,705
256,280
DB
Insurance
Co.
Ltd.
33,466
1,927,024
Doosan
Bobcat,
Inc.
10,693
339,826
E-MART,
Inc.
31,984
3,693,907
Hana
Financial
Group,
Inc.
152,771
6,076,187
HMM
Co.
Ltd.
196,628
4,683,988
Hyundai
Glovis
Co.
Ltd.
17,888
2,820,583
Hyundai
Mobis
Co.
Ltd.
3,118
549,549
Industrial
Bank
of
Korea
383,339
3,406,511
KB
Financial
Group,
Inc.
26,819
1,344,005
Kia
Corp.
64,971
3,935,174
Korea
Investment
Holdings
Co.
Ltd.
9,522
611,731
KT&G
Corp.
5,853
389,400
Kumho
Petrochemical
Co.
Ltd.
27,092
3,433,516
LG
Electronics,
Inc.
31,834
3,131,300
LG
Innotek
Co.
Ltd.
2,153
679,790
LG
Uplus
Corp.
12,221
140,597
Lotte
Chemical
Corp.
1,027
176,265
Meritz
Securities
Co.
Ltd.
34,693
186,465
POSCO
Holdings,
Inc.
31,951
7,664,205
S-1
Corp.
3,671
215,344
Samsung
Electronics
Co.
Ltd.
309,769
17,725,907
Samsung
Life
Insurance
Co.
Ltd.
18,137
982,183
Seegene
,
Inc.
23,912
1,002,035
Shinhan
Financial
Group
Co.
Ltd.
101,460
3,446,468
SK
Hynix,
Inc.
3,394
326,500
SK
Telecom
Co.
Ltd.
90,635
4,237,935
Woori
Financial
Group,
Inc.
188,011
2,356,475
75,739,150
—
Taiwan
-
15.6%
ASE
Technology
Holding
Co.
Ltd.
62,000
220,935
Asia
Cement
Corp.
127,000
214,452
Asustek
Computer,
Inc.
99,000
1,284,393
AU
Optronics
Corp.
8,563,000
5,840,449
Catcher
Technology
Co.
Ltd.
40,000
200,674
Cathay
Financial
Holding
Co.
Ltd.
1,706,000
3,808,029
INVESTMENTS
SHARES
VALUE
($)
Taiwan
-
15.6%
(continued)
China
Development
Financial
Holding
Corp.
(1)*
23,221
7,448
China
Steel
Corp.
302,000
407,169
Compal
Electronics,
Inc.
239,000
222,636
CTBC
Financial
Holding
Co.
Ltd.
938,480
956,410
E.Sun
Financial
Holding
Co.
Ltd.
880,726
1,010,462
Evergreen
Marine
Corp.
Taiwan
Ltd.
342,000
1,589,671
First
Financial
Holding
Co.
Ltd.
1,272,383
1,258,257
Foxconn
Technology
Co.
Ltd.
176,000
383,208
Fubon
Financial
Holding
Co.
Ltd.
566,784
1,504,936
Hon
Hai
Precision
Industry
Co.
Ltd.
394,000
1,446,701
Innolux
Corp.
11,265,000
6,524,272
Lite-On
Technology
Corp.
110,000
259,905
Mega
Financial
Holding
Co.
Ltd.
638,000
952,664
Nanya
Technology
Corp.
970,000
2,313,914
Novatek
Microelectronics
Corp.
19,000
279,371
Pegatron
Corp.
91,000
229,144
Pou
Chen
Corp.
1,315,000
1,439,600
President
Chain
Store
Corp.
122,000
1,118,991
Realtek
Semiconductor
Corp.
63,000
935,851
Shin
Kong
Financial
Holding
Co.
Ltd.
3,008,067
1,125,903
Taishin
Financial
Holding
Co.
Ltd.
1,253,624
891,800
Taiwan
Cement
Corp.
101,845
176,649
Taiwan
Cooperative
Financial
Holding
Co.
Ltd.
312,188
320,417
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.,
ADR
(1)
385,083
40,148,753
Uni
-President
Enterprises
Corp.
542,000
1,236,933
United
Microelectronics
Corp.
2,998,000
5,505,601
Winbond
Electronics
Corp.
651,000
697,285
Yang
Ming
Marine
Transport
Corp.
*
1,065,000
4,565,815
Yuanta
Financial
Holding
Co.
Ltd.
216,280
198,142
Zhen
Ding
Technology
Holding
Ltd.
321,000
1,195,239
90,472,079
—
Thailand
-
2.7%
Advanced
Info
Service
PCL,
NVDR
37,300
260,627
Charoen
Pokphand
Foods
PCL,
NVDR
257,000
185,979
Indorama
Ventures
PCL,
NVDR
1,292,700
1,799,778
Krung
Thai
Bank
PCL,
NVDR
882,600
364,384
PTT
Exploration
&
Production
PCL,
NVDR
186,200
802,268
PTT
Global
Chemical
PCL,
NVDR
4,143,400
6,299,376
Ratch
Group
PCL,
NVDR
244,500
323,549
Siam
Commercial
Bank
PCL
(The),
NVDR
810,200
2,762,814
Sri
Trang
Gloves
Thailand
PCL,
NVDR
1,579,800
1,199,698
Thai
Union
Group
PCL,
NVDR
3,292,596
1,867,908
15,866,381
—
Turkey
-
0.2%
Turkiye
Garanti
Bankasi
A/S
286,403
238,153
Turkiye
Is
Bankasi
A/S,
Class
C
1,499,218
901,390
1,139,543
—
24
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
Arab
Emirates
-
1.0%
Abu
Dhabi
Commercial
Bank
PJSC
96,468
274,896
Emirates
NBD
Bank
PJSC
198,616
808,194
Emirates
Telecommunications
Group
Co.
PJSC
285,825
2,878,321
First
Abu
Dhabi
Bank
PJSC
328,386
2,109,939
6,071,350
—
United
States
-
1.2%
JBS
SA
(1)
927,000
7,248,865
TOTAL
COMMON
STOCKS
(Cost
$429,899,600)
565,849,026
SHORT-TERM
INVESTMENTS
-
2.0%
INVESTMENT
COMPANIES
-
2.0%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(f)
(Cost
$11,854,343)
11,860,480
11,854,550
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.2%
(Cost
$441,753,943)
577,703,576
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.8%
(g)
4,458,121
NET
ASSETS
-
100.0%
582,161,697
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
43,451,053
7.5
%
Consumer
Discretionary
52,029,832
8.9
Consumer
Staples
41,330,848
7.1
Energy
24,941,133
4.3
Financials
103,066,763
17.7
Health
Care
26,125,837
4.5
Industrials
36,517,090
6.3
Information
Technology
123,616,868
21.2
Materials
85,738,590
14.7
Real
Estate
8,604,564
1.5
Utilities
20,426,448
3.5
Short-Term
Investments
11,854,550
2.0
Total
Investments
In
Securities
At
Value
577,703,576
99.2
Other
Assets
in
Exces
s
of
Liabilities
(g)
4,458,121
0.8
Net
Assets
$
582,161,697
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$6,293,669,
which
represents
approximately
1.08%
of
net
assets
of
the
fund.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$3,288,584;
additional
non-cash
collateral
of
$3,433,466
was
received.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
March
31,
2022,
the
value
of
these
securities
amounted
to
$1,340,162
or
0.23%
of
net
assets.
(e)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$11,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(f)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(g)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
Emerging
Markets
E-Mini
Index
212
6/2022
USD
$
11,930,300
$
870,766
$
870,766
25
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
(257,595)
$
(257,595)
26
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.1%
Aerospace
&
Defense
-
0.6%
Axon
Enterprise,
Inc.
*
6,912
951,990
Howmet
Aerospace,
Inc.
15,217
546,899
Lockheed
Martin
Corp.
5,283
2,331,916
Northrop
Grumman
Corp.
5,286
2,364,005
6,194,810
Air
Freight
&
Logistics
-
0.1%
Expeditors
International
of
Washington,
Inc.
9,131
941,954
United
Parcel
Service,
Inc.,
Class
B
1,979
424,416
1,366,370
Automobiles
-
3.2%
Ford
Motor
Co.
265,557
4,490,569
Tesla,
Inc.
*
27,554
29,692,190
34,182,759
Banks
-
3.5%
Bank
OZK
7,094
302,914
Comerica,
Inc.
23,330
2,109,732
Commerce
Bancshares,
Inc.
6,503
465,550
East
West
Bancorp,
Inc.
39,222
3,099,322
Fifth
Third
Bancorp
131,400
5,655,456
First
Republic
Bank
9,189
1,489,537
KeyCorp
59,472
1,330,983
Popular,
Inc.
47,730
3,901,450
Signature
Bank
14,759
4,331,619
SVB
Financial
Group
*
4,859
2,718,368
Synovus
Financial
Corp.
6,128
300,272
Webster
Financial
Corp.
11,509
645,885
Wells
Fargo
&
Co.
176,361
8,546,454
Wintrust
Financial
Corp.
27,452
2,551,114
37,448,656
Beverages
-
2.1%
Coca-Cola
Co.
(The)
105,242
6,525,004
Constellation
Brands,
Inc.,
Class
A
4,147
955,137
Monster
Beverage
Corp.
*
11,632
929,397
PepsiCo,
Inc.
86,330
14,449,915
22,859,453
Biotechnology
-
1.3%
AbbVie,
Inc.
52,148
8,453,712
Horizon
Therapeutics
plc
*
30,920
3,253,093
Regeneron
Pharmaceuticals,
Inc.
*
1,055
736,833
Seagen
,
Inc.
*
7,385
1,063,809
United
Therapeutics
Corp.
*
4,772
856,145
14,363,592
Building
Products
-
0.9%
A
O
Smith
Corp.
4,655
297,408
Builders
FirstSource
,
Inc.
*
88,963
5,741,672
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
0.9%
(continued)
Fortune
Brands
Home
&
Security,
Inc.
5,414
402,152
Masco
Corp.
5,775
294,525
Owens
Corning
7,017
642,055
Trane
Technologies
plc
16,727
2,554,213
9,932,025
Capital
Markets
-
3.4%
Ameriprise
Financial,
Inc.
8,055
2,419,400
BlackRock,
Inc.
4,888
3,735,263
Charles
Schwab
Corp.
(The)
111,393
9,391,544
CME
Group,
Inc.
4,233
1,006,861
FactSet
Research
Systems,
Inc.
1,562
678,142
Goldman
Sachs
Group,
Inc.
(The)
1,046
345,285
Intercontinental
Exchange,
Inc.
4,335
572,740
Jefferies
Financial
Group,
Inc.
24,961
819,969
LPL
Financial
Holdings,
Inc.
13,803
2,521,532
MarketAxess
Holdings,
Inc.
2,251
765,790
Moody's
Corp.
2,295
774,356
Morgan
Stanley
85,080
7,435,992
MSCI,
Inc.
5,391
2,711,026
Nasdaq,
Inc.
3,814
679,655
S&P
Global,
Inc.
3,044
1,248,588
Tradeweb
Markets,
Inc.,
Class
A
13,617
1,196,526
36,302,669
Chemicals
-
1.6%
Air
Products
and
Chemicals,
Inc.
1,700
424,847
Albemarle
Corp.
14,325
3,167,974
CF
Industries
Holdings,
Inc.
5,927
610,837
Chemours
Co.
(The)
27,382
861,985
Eastman
Chemical
Co.
5,523
618,907
Ecolab,
Inc.
1,821
321,516
Element
Solutions,
Inc.
38,953
853,071
FMC
Corp.
6,321
831,654
Mosaic
Co.
(The)
37,682
2,505,853
Olin
Corp.
52,901
2,765,664
Sherwin-Williams
Co.
(The)
13,494
3,368,372
Westlake
Corp.
4,800
592,320
16,923,000
Commercial
Services
&
Supplies
-
0.4%
Cintas
Corp.
5,774
2,456,202
Copart
,
Inc.
*
8,680
1,089,080
Rollins,
Inc.
14,763
517,443
4,062,725
Communications
Equipment
-
0.3%
Arista
Networks,
Inc.
*
4,824
670,439
Cisco
Systems,
Inc.
18,696
1,042,489
Ubiquiti,
Inc.
6,360
1,851,778
3,564,706
27
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
0.3%
AECOM
8,308
638,138
Quanta
Services,
Inc.
22,005
2,896,078
3,534,216
Consumer
Finance
-
0.3%
Ally
Financial,
Inc.
9,091
395,277
Capital
One
Financial
Corp.
3,365
441,791
Discover
Financial
Services
6,550
721,745
OneMain
Holdings,
Inc.
11,245
533,125
SLM
Corp.
51,223
940,454
3,032,392
Containers
&
Packaging
-
0.4%
Avery
Dennison
Corp.
4,365
759,379
Berry
Global
Group,
Inc.
*
5,289
306,550
Crown
Holdings,
Inc.
10,062
1,258,656
Packaging
Corp.
of
America
5,028
784,921
Sealed
Air
Corp.
9,773
654,400
3,763,906
Distributors
-
0.2%
LKQ
Corp.
10,484
476,078
Pool
Corp.
3,281
1,387,371
1,863,449
Diversified
Financial
Services
-
1.4%
Berkshire
Hathaway,
Inc.,
Class
B
*
42,603
15,035,025
Electric
Utilities
-
1.3%
Alliant
Energy
Corp.
59,331
3,707,001
Exelon
Corp.
7,260
345,794
FirstEnergy
Corp.
57,936
2,656,945
NextEra
Energy,
Inc.
57,089
4,836,009
Southern
Co.
(The)
31,151
2,258,759
13,804,508
Electrical
Equipment
-
1.0%
AMETEK,
Inc.
6,976
929,063
Eaton
Corp.
plc
21,326
3,236,434
Emerson
Electric
Co.
22,594
2,215,342
Generac
Holdings,
Inc.
*
7,711
2,292,172
Regal
Rexnord
Corp.
6,268
932,553
Rockwell
Automation,
Inc.
2,706
757,761
10,363,325
Electronic
Equipment,
Instruments
&
Components
-
0.6%
Amphenol
Corp.,
Class
A
13,224
996,428
Corning,
Inc.
11,812
435,981
Jabil,
Inc.
8,553
527,977
Keysight
Technologies,
Inc.
*
1,932
305,198
TD
SYNNEX
Corp.
9,191
948,603
Trimble,
Inc.
*
5,244
378,302
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
0.6%
(continued)
Zebra
Technologies
Corp.,
Class
A
*
5,755
2,380,844
5,973,333
Entertainment
-
0.2%
Electronic
Arts,
Inc.
6,096
771,205
Netflix,
Inc.
*
1,751
655,907
Take-Two
Interactive
Software,
Inc.
*
3,480
535,015
1,962,127
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.7%
American
Tower
Corp.
4,094
1,028,495
AvalonBay
Communities,
Inc.
6,333
1,572,927
Camden
Property
Trust
17,610
2,926,782
Digital
Realty
Trust,
Inc.
3,200
453,760
Equity
Residential
4,132
371,549
Extra
Space
Storage,
Inc.
19,013
3,909,073
Kimco
Realty
Corp.
61,833
1,527,275
Life
Storage,
Inc.
27,223
3,822,926
Mid-America
Apartment
Communities,
Inc.
1,498
313,756
Prologis,
Inc.
39,545
6,385,727
Public
Storage
41,517
16,203,255
Welltower
,
Inc.
8,303
798,250
39,313,775
Food
&
Staples
Retailing
-
0.5%
Albertsons
Cos.,
Inc.,
Class
A
(a)
24,318
808,574
Casey's
General
Stores,
Inc.
2,884
571,522
Costco
Wholesale
Corp.
6,245
3,596,183
Walmart,
Inc.
3,001
446,909
5,423,188
Food
Products
-
1.2%
Archer-Daniels-Midland
Co.
16,988
1,533,337
Bunge
Ltd.
8,499
941,774
Hershey
Co.
(The)
30,270
6,557,390
J
M
Smucker
Co.
(The)
19,800
2,681,118
Mondelez
International,
Inc.,
Class
A
11,196
702,885
Tyson
Foods,
Inc.,
Class
A
5,543
496,819
12,913,323
Health
Care
Equipment
&
Supplies
-
1.8%
Abbott
Laboratories
15,884
1,880,030
Align
Technology,
Inc.
*
2,008
875,488
Boston
Scientific
Corp.
*
17,375
769,539
Dexcom
,
Inc.
*
6,820
3,489,112
Edwards
Lifesciences
Corp.
*
9,810
1,154,833
Hologic
,
Inc.
*
8,007
615,098
IDEXX
Laboratories,
Inc.
*
5,901
3,228,201
Insulet
Corp.
*
6,168
1,643,094
Intuitive
Surgical,
Inc.
*
11,772
3,551,377
28
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
1.8%
(continued)
Medtronic
plc
4,603
510,703
Penumbra,
Inc.
*
2,563
569,319
STERIS
plc
1,626
393,118
Stryker
Corp.
2,501
668,642
19,348,554
Health
Care
Providers
&
Services
-
3.3%
Anthem,
Inc.
6,035
2,964,513
CVS
Health
Corp.
54,466
5,512,504
DaVita,
Inc.
*
5,629
636,696
HCA
Healthcare,
Inc.
9,469
2,373,121
McKesson
Corp.
5,796
1,774,330
Molina
Healthcare,
Inc.
*
4,912
1,638,594
UnitedHealth
Group,
Inc.
40,321
20,562,500
35,462,258
Health
Care
Technology
-
0.2%
Veeva
Systems,
Inc.,
Class
A
*
10,531
2,237,416
Hotels,
Restaurants
&
Leisure
-
0.6%
Chipotle
Mexican
Grill,
Inc.
*
2,068
3,271,638
Domino's
Pizza,
Inc.
1,642
668,310
Expedia
Group,
Inc.
*
4,638
907,518
McDonald's
Corp.
1,705
421,612
Starbucks
Corp.
9,912
901,695
6,170,773
Household
Durables
-
0.5%
DR
Horton,
Inc.
23,503
1,751,209
Garmin
Ltd.
12,895
1,529,476
Lennar
Corp.,
Class
A
16,701
1,355,620
Tempur
Sealy
International,
Inc.
25,825
721,034
5,357,339
Household
Products
-
1.7%
Procter
&
Gamble
Co.
(The)
121,263
18,528,986
Industrial
Conglomerates
-
0.1%
Honeywell
International,
Inc.
5,345
1,040,030
Insurance
-
1.6%
American
Financial
Group,
Inc.
15,162
2,207,890
American
International
Group,
Inc.
93,844
5,890,588
Arthur
J
Gallagher
&
Co.
7,060
1,232,676
Assured
Guaranty
Ltd.
47,744
3,039,383
Loews
Corp.
24,780
1,606,240
Old
Republic
International
Corp.
64,501
1,668,641
Progressive
Corp.
(The)
14,432
1,645,104
17,290,522
Interactive
Media
&
Services
-
6.8%
Alphabet,
Inc.,
Class
A
*
24,442
67,981,757
Match
Group,
Inc.
*
23,365
2,540,710
Meta
Platforms,
Inc.,
Class
A
*
8,265
1,837,805
72,360,272
INVESTMENTS
SHARES
VALUE
($)
Internet
&
Direct
Marketing
Retail
-
0.4%
Amazon.com,
Inc.
*
1,028
3,351,229
eBay,
Inc.
12,758
730,523
4,081,752
IT
Services
-
2.3%
Accenture
plc,
Class
A
16,959
5,719,084
Automatic
Data
Processing,
Inc.
3,597
818,461
Block,
Inc.
*
4,317
585,385
Cloudflare
,
Inc.,
Class
A
*
12,189
1,459,023
Cognizant
Technology
Solutions
Corp.,
Class
A
4,878
437,410
EPAM
Systems,
Inc.
*
4,802
1,424,321
Fiserv,
Inc.
*
6,637
672,992
Mastercard
,
Inc.,
Class
A
11,061
3,952,980
MongoDB,
Inc.
*
3,099
1,374,686
Okta
,
Inc.
*
11,290
1,704,338
PayPal
Holdings,
Inc.
*
8,433
975,277
Twilio
,
Inc.,
Class
A
*
3,984
656,603
Visa,
Inc.,
Class
A
19,736
4,376,853
24,157,413
Leisure
Products
-
0.2%
Brunswick
Corp.
8,966
725,260
Mattel,
Inc.
*
41,043
911,565
1,636,825
Life
Sciences
Tools
&
Services
-
2.7%
Agilent
Technologies,
Inc.
8,427
1,115,145
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,173
1,223,899
Bio-
Techne
Corp.
2,153
932,335
Charles
River
Laboratories
International,
Inc.
*
5,732
1,627,716
Danaher
Corp.
30,504
8,947,738
Illumina,
Inc.
*
1,395
487,413
IQVIA
Holdings,
Inc.
*
4,119
952,354
PerkinElmer,
Inc.
6,856
1,196,098
Thermo
Fisher
Scientific,
Inc.
19,433
11,478,102
West
Pharmaceutical
Services,
Inc.
3,385
1,390,253
29,351,053
Machinery
-
1.4%
Caterpillar,
Inc.
4,750
1,058,395
Cummins,
Inc.
3,829
785,366
Deere
&
Co.
16,131
6,701,785
Illinois
Tool
Works,
Inc.
9,258
1,938,625
Ingersoll
Rand,
Inc.
9,711
488,949
Middleby
Corp.
(The)
*
1,830
300,010
PACCAR,
Inc.
5,359
471,967
Parker-Hannifin
Corp.
8,462
2,401,177
Pentair
plc
5,508
298,589
Xylem,
Inc.
6,645
566,553
15,011,416
29
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Media
-
0.7%
Cable
One,
Inc.
979
1,433,491
Charter
Communications,
Inc.,
Class
A
*
8,599
4,690,927
Comcast
Corp.,
Class
A
16,044
751,180
Liberty
Broadband
Corp.,
Class
C
*
5,423
733,840
7,609,438
Metals
&
Mining
-
2.2%
Alcoa
Corp.
78,953
7,108,139
Freeport-McMoRan,
Inc.
121,360
6,036,446
Newmont
Corp.
11,949
949,348
Nucor
Corp.
53,875
8,008,519
Reliance
Steel
&
Aluminum
Co.
3,454
633,291
Steel
Dynamics,
Inc.
12,307
1,026,773
23,762,516
Multiline
Retail
-
0.8%
Dollar
General
Corp.
13,481
3,001,275
Target
Corp.
26,604
5,645,901
8,647,176
Multi-Utilities
-
1.4%
Ameren
Corp.
60,654
5,686,919
Consolidated
Edison,
Inc.
98,025
9,281,007
14,967,926
Oil,
Gas
&
Consumable
Fuels
-
6.9%
Cheniere
Energy,
Inc.
17,065
2,366,062
Continental
Resources,
Inc.
101,546
6,227,816
Devon
Energy
Corp.
300,177
17,749,466
Diamondback
Energy,
Inc.
38,698
5,304,722
EOG
Resources,
Inc.
14,719
1,754,946
Exxon
Mobil
Corp.
238,302
19,681,362
Marathon
Oil
Corp.
329,886
8,283,438
Marathon
Petroleum
Corp.
10,789
922,460
Occidental
Petroleum
Corp.
63,784
3,619,104
ONEOK,
Inc.
37,560
2,652,863
Targa
Resources
Corp.
74,220
5,601,383
74,163,622
Personal
Products
-
0.4%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
14,828
4,037,961
Pharmaceuticals
-
1.7%
Catalent
,
Inc.
*
14,428
1,600,065
Eli
Lilly
&
Co.
28,309
8,106,848
Pfizer,
Inc.
135,974
7,039,374
Zoetis,
Inc.
7,738
1,459,310
18,205,597
Professional
Services
-
0.3%
Booz
Allen
Hamilton
Holding
Corp.
8,867
778,877
CoStar
Group,
Inc.
*
29,300
1,951,673
INVESTMENTS
SHARES
VALUE
($)
Professional
Services
-
0.3%
(continued)
Verisk
Analytics,
Inc.
4,134
887,281
3,617,831
Real
Estate
Management
&
Development
-
0.0%
(b)
Zillow
Group,
Inc.,
Class
C
*
7,621
375,639
Road
&
Rail
-
0.8%
CSX
Corp.
31,383
1,175,293
JB
Hunt
Transport
Services,
Inc.
4,187
840,708
Norfolk
Southern
Corp.
2,500
713,050
Old
Dominion
Freight
Line,
Inc.
11,852
3,539,955
Union
Pacific
Corp.
5,640
1,540,905
XPO
Logistics,
Inc.
*
11,224
817,107
8,627,018
Semiconductors
&
Semiconductor
Equipment
-
6.7%
Advanced
Micro
Devices,
Inc.
*
57,490
6,285,957
Analog
Devices,
Inc.
3,373
557,152
Applied
Materials,
Inc.
34,569
4,556,194
Broadcom,
Inc.
3,826
2,409,156
Enphase
Energy,
Inc.
*
2,626
529,874
Entegris
,
Inc.
21,118
2,771,949
KLA
Corp.
9,827
3,597,272
Lam
Research
Corp.
9,788
5,262,127
Marvell
Technology,
Inc.
46,484
3,333,368
Microchip
Technology,
Inc.
3,998
300,410
Monolithic
Power
Systems,
Inc.
4,808
2,335,149
NVIDIA
Corp.
109,948
30,000,411
ON
Semiconductor
Corp.
*
8,612
539,197
QUALCOMM,
Inc.
28,277
4,321,291
Skyworks
Solutions,
Inc.
3,632
484,073
Teradyne,
Inc.
15,681
1,853,965
Texas
Instruments,
Inc.
12,751
2,339,553
71,477,098
Software
-
9.4%
Adobe,
Inc.
*
10,044
4,576,247
ANSYS,
Inc.
*
2,671
848,443
Autodesk,
Inc.
*
5,572
1,194,358
Bill.com
Holdings,
Inc.
*
7,663
1,737,892
Black
Knight,
Inc.
*
6,960
403,610
Cadence
Design
Systems,
Inc.
*
15,781
2,595,343
Fortinet,
Inc.
*
2,876
982,844
HubSpot
,
Inc.
*
3,555
1,688,412
Intuit,
Inc.
3,380
1,625,239
Microsoft
Corp.
183,045
56,434,604
NortonLifeLock
,
Inc.
25,570
678,116
Oracle
Corp.
71,871
5,945,888
Palo
Alto
Networks,
Inc.
*
1,073
667,953
Paycom
Software,
Inc.
*
5,862
2,030,480
Paylocity
Holding
Corp.
*
4,231
870,613
salesforce.com,
Inc.
*
6,108
1,296,851
ServiceNow
,
Inc.
*
11,738
6,536,775
Synopsys,
Inc.
*
9,326
3,108,076
Teradata
Corp.
*
11,726
577,975
30
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Software
-
9.4%
(continued)
Trade
Desk,
Inc.
(The),
Class
A
*
27,956
1,935,953
VMware,
Inc.,
Class
A
22,858
2,602,840
Zscaler
,
Inc.
*
8,581
2,070,424
100,408,936
Specialty
Retail
-
1.7%
AutoNation,
Inc.
*
16,751
1,668,065
Best
Buy
Co.,
Inc.
7,325
665,842
Burlington
Stores,
Inc.
*
2,419
440,669
Dick's
Sporting
Goods,
Inc.
14,976
1,497,900
Floor
&
Decor
Holdings,
Inc.,
Class
A
*
16,300
1,320,300
Home
Depot,
Inc.
(The)
6,141
1,838,186
Lowe's
Cos.,
Inc.
18,011
3,641,644
O'Reilly
Automotive,
Inc.
*
1,264
865,789
Penske
Automotive
Group,
Inc.
11,806
1,106,458
Ross
Stores,
Inc.
6,852
619,832
TJX
Cos.,
Inc.
(The)
5,956
360,814
Tractor
Supply
Co.
7,711
1,799,516
Ulta
Beauty,
Inc.
*
1,053
419,326
Williams-Sonoma,
Inc.
11,148
1,616,460
17,860,801
Technology
Hardware,
Storage
&
Peripherals
-
7.6%
Apple,
Inc.
443,819
77,495,235
Dell
Technologies,
Inc.,
Class
C
*
51,877
2,603,707
HP,
Inc.
17,380
630,894
80,729,836
Textiles,
Apparel
&
Luxury
Goods
-
0.8%
Lululemon
Athletica
,
Inc.
*
4,803
1,754,200
NIKE,
Inc.,
Class
B
53,468
7,194,654
8,948,854
Tobacco
-
0.7%
Philip
Morris
International,
Inc.
80,794
7,589,788
Trading
Companies
&
Distributors
-
0.6%
Fastenal
Co.
31,130
1,849,122
United
Rentals,
Inc.
*
6,652
2,362,857
Watsco
,
Inc.
3,619
1,102,492
WW
Grainger,
Inc.
1,471
758,727
6,073,198
Wireless
Telecommunication
Services
-
0.3%
T-Mobile
US,
Inc.
*
26,655
3,421,169
TOTAL
COMMON
STOCKS
(Cost
$599,485,806)
1,016,742,345
PREFERRED
STOCKS
-
0.0%
(b)
Real
Estate
Management
&
Development
-
0.0%
(b)
Brookfield
Property
Preferred
LP,
6.25%,
7/26/2081
(Cost
$53,285)
2,190
49,275
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.8%
INVESTMENT
COMPANIES
-
4.8%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(c)
(Cost
$51,581,026)
51,607,097
51,581,294
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.9%
(Cost
$651,120,117)
1,068,372,914
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.1%
(d)
1,079,935
NET
ASSETS
-
100.0%
1,069,452,849
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
85,353,006
8.0
%
Consumer
Discretionary
88,749,728
8.3
Consumer
Staples
71,352,700
6.7
Energy
74,163,622
6.9
Financials
109,109,263
10.2
Health
Care
118,968,470
11.1
Industrials
69,822,964
6.5
Information
Technology
286,311,322
26.8
Materials
44,449,422
4.2
Real
Estate
39,738,689
3.7
Utilities
28,772,434
2.7
Short-Term
Investments
51,581,294
4.8
Total
Investments
In
Securities
At
Value
1,068,372,914
99.9
Other
Assets
in
Excess
of
Liabilities
(d)
1,07
9,935
0.1
Net
Assets
$
1,069,452,849
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$305,678;
additional
non-cash
collateral
of
$311,882
was
received.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
31
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
188
6/2022
USD
$
42,589,050
$
2,293,680
$
2,293,680
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
(424,816)
$
(424,816)
32
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.3%
Aerospace
&
Defense
-
0.1%
Maxar
Technologies,
Inc.
4,188
165,259
Triumph
Group,
Inc.
*
6,790
171,651
336,910
Air
Freight
&
Logistics
-
0.4%
Atlas
Air
Worldwide
Holdings,
Inc.
*
4,299
371,304
Forward
Air
Corp.
888
86,829
Hub
Group,
Inc.,
Class
A
*
5,865
452,837
Radiant
Logistics,
Inc.
*
10,397
66,229
977,199
Auto
Components
-
0.9%
Adient
plc
*
7,615
310,463
Fox
Factory
Holding
Corp.
*
6,280
615,126
Gentherm
,
Inc.
*
6,585
480,968
Goodyear
Tire
&
Rubber
Co.
(The)
*
12,107
173,009
LCI
Industries
1,475
153,120
Patrick
Industries,
Inc.
2,659
160,338
Visteon
Corp.
*
1,691
184,539
XPEL,
Inc.
*(a)
4,421
232,589
2,310,152
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
2,989
161,496
Banks
-
6.1%
Amerant
Bancorp,
Inc.
11,789
372,415
Ameris
Bancorp
1,522
66,785
Bancorp,
Inc.
(The)
*
10,018
283,810
Berkshire
Hills
Bancorp,
Inc.
21,096
611,151
Brookline
Bancorp,
Inc.
3,962
62,679
Byline
Bancorp,
Inc.
11,253
300,230
Central
Pacific
Financial
Corp.
2,340
65,286
Coastal
Financial
Corp.
*
5,699
260,729
ConnectOne
Bancorp,
Inc.
8,855
283,449
CrossFirst
Bankshares
,
Inc.
*
4,242
66,854
Customers
Bancorp,
Inc.
*
20,011
1,043,374
Dime
Community
Bancshares,
Inc.
2,260
78,128
Eagle
Bancorp,
Inc.
3,756
214,130
Eastern
Bankshares
,
Inc.
8,415
181,259
Equity
Bancshares,
Inc.,
Class
A
7,659
247,462
First
Bancorp/NC
1,763
73,641
First
Bancorp/PR
33,901
444,781
First
Bank
10,687
151,969
First
Commonwealth
Financial
Corp.
4,187
63,475
First
Financial
Bankshares
,
Inc.
4,501
198,584
First
Foundation,
Inc.
10,500
255,045
First
Internet
Bancorp
8,096
348,209
Flushing
Financial
Corp.
17,949
401,160
Hancock
Whitney
Corp.
23,367
1,218,589
Hanmi
Financial
Corp.
33,930
835,017
HomeStreet
,
Inc.
5,146
243,817
INVESTMENTS
SHARES
VALUE
($)
Banks
-
6.1%
(continued)
HomeTrust
Bancshares,
Inc.
10,301
304,189
Hope
Bancorp,
Inc.
6,278
100,950
Lakeland
Bancorp,
Inc.
3,694
61,690
Lakeland
Financial
Corp.
5,832
425,736
Live
Oak
Bancshares,
Inc.
7,215
367,171
Meta
Financial
Group,
Inc.
9,816
539,095
Metropolitan
Bank
Holding
Corp.
*
4,091
416,341
MVB
Financial
Corp.
7,789
323,244
Origin
Bancorp,
Inc.
6,463
273,320
Pacific
Premier
Bancorp,
Inc.
1,917
67,766
Peapack
-Gladstone
Financial
Corp.
5,788
201,133
Preferred
Bank
2,132
157,960
QCR
Holdings,
Inc.
1,202
68,021
Sandy
Spring
Bancorp,
Inc.
1,425
64,011
ServisFirst
Bancshares,
Inc.
14,055
1,339,301
Silvergate
Capital
Corp.,
Class
A
*
2,578
388,169
Southside
Bancshares,
Inc.
1,730
70,636
Stock
Yards
Bancorp,
Inc.
4,201
222,233
Triumph
Bancorp,
Inc.
*
7,220
678,824
UMB
Financial
Corp.
4,332
420,897
Veritex
Holdings,
Inc.
3,493
133,328
14,996,043
Beverages
-
0.7%
Celsius
Holdings,
Inc.
*
7,779
429,245
Coca-Cola
Consolidated,
Inc.
1,677
833,217
MGP
Ingredients,
Inc.
3,606
308,638
National
Beverage
Corp.
4,594
199,839
1,770,939
Biotechnology
-
3.8%
Alector
,
Inc.
*
8,574
122,179
Alkermes
plc
*
18,258
480,368
Anavex
Life
Sciences
Corp.
*
28,419
349,838
Arrowhead
Pharmaceuticals,
Inc.
*
3,075
141,419
Atossa
Therapeutics,
Inc.
*
55,526
69,407
Avid
Bioservices
,
Inc.
*
26,033
530,292
BioCryst
Pharmaceuticals,
Inc.
*
51,406
835,862
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
*
4,523
536,292
Celcuity
,
Inc.
*
2,544
23,786
Celldex
Therapeutics,
Inc.
*
9,460
322,208
Cerevel
Therapeutics
Holdings,
Inc.
*
9,290
325,243
Chimerix
,
Inc.
*
30,994
141,952
Crinetics
Pharmaceuticals,
Inc.
*
9,627
211,313
CTI
BioPharma
Corp.
*
15,365
71,755
Cytokinetics,
Inc.
*
12,780
470,432
Dynavax
Technologies
Corp.
*
20,539
222,643
Enanta
Pharmaceuticals,
Inc.
*
2,883
205,212
Fate
Therapeutics,
Inc.
*
4,460
172,914
GT
Biopharma,
Inc.
*
12,867
37,057
Halozyme
Therapeutics,
Inc.
*
13,928
555,449
ImmunoGen
,
Inc.
*
29,558
140,696
33
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
3.8%
(continued)
Intellia
Therapeutics,
Inc.
*
14,169
1,029,661
IVERIC
bio,
Inc.
*
24,202
407,320
Karuna
Therapeutics,
Inc.
*
954
120,958
Kezar
Life
Sciences,
Inc.
*
12,417
206,371
Lexicon
Pharmaceuticals,
Inc.
*
26,975
56,378
MannKind
Corp.
*
39,517
145,423
Myriad
Genetics,
Inc.
*
4,242
106,898
Oncocyte
Corp.
*(b)
13,512
20,133
Organogenesis
Holdings,
Inc.
*
9,475
72,199
Outlook
Therapeutics,
Inc.
*
40,564
72,204
PDL
BioPharma
,
Inc.
(3)*(b)(c)
34,242
76,881
Protagonist
Therapeutics,
Inc.
*
5,499
130,216
Prothena
Corp.
plc
(Ireland)
*
8,363
305,835
PTC
Therapeutics,
Inc.
*
2,436
90,887
Rigel
Pharmaceuticals,
Inc.
*
31,105
93,004
Syndax
Pharmaceuticals,
Inc.
*
6,403
111,284
Vanda
Pharmaceuticals,
Inc.
*
5,840
66,050
XBiotech
,
Inc.
3,900
33,696
Zentalis
Pharmaceuticals,
Inc.
*
3,673
169,472
9,281,187
Building
Products
-
1.2%
AAON,
Inc.
6,349
353,830
Cornerstone
Building
Brands,
Inc.
*
20,584
500,603
CSW
Industrials,
Inc.
2,595
305,146
Gibraltar
Industries,
Inc.
*
5,025
215,824
Insteel
Industries,
Inc.
1,825
67,507
Resideo
Technologies,
Inc.
*
5,753
137,094
Simpson
Manufacturing
Co.,
Inc.
5,623
613,132
UFP
Industries,
Inc.
7,944
612,959
Zurn
Water
Solutions
Corp.
2,114
74,835
2,880,930
Capital
Markets
-
2.4%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
6,817
268,249
B
Riley
Financial,
Inc.
9,015
630,689
BGC
Partners,
Inc.,
Class
A
15,922
70,057
Brightsphere
Investment
Group,
Inc.
10,369
251,448
Cohen
&
Steers,
Inc.
5,682
488,027
Cowen,
Inc.,
Class
A
3,064
83,035
Diamond
Hill
Investment
Group,
Inc.
661
123,805
Donnelley
Financial
Solutions,
Inc.
*
17,980
598,015
Focus
Financial
Partners,
Inc.,
Class
A
*
9,122
417,240
Hamilton
Lane,
Inc.,
Class
A
2,303
177,999
Houlihan
Lokey
,
Inc.
9,543
837,875
Moelis
&
Co.,
Class
A
8,209
385,413
Piper
Sandler
Cos.
2,886
378,788
PJT
Partners,
Inc.,
Class
A
8,644
545,609
StepStone
Group,
Inc.,
Class
A
2,865
94,717
Virtus
Investment
Partners,
Inc.
2,086
500,619
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
2.4%
(continued)
WisdomTree
Investments,
Inc.
12,314
72,283
5,923,868
Chemicals
-
2.1%
AdvanSix
,
Inc.
10,619
542,525
Aspen
Aerogels,
Inc.
*
12,350
425,828
Avient
Corp.
6,688
321,024
Balchem
Corp.
4,700
642,490
Hawkins,
Inc.
8,382
384,734
HB
Fuller
Co.
4,562
301,411
Intrepid
Potash,
Inc.
*
9,088
746,488
Livent
Corp.
*
17,026
443,868
Quaker
Chemical
Corp.
965
166,761
Sensient
Technologies
Corp.
5,164
433,518
Stepan
Co.
1,189
117,485
Tronox
Holdings
plc,
Class
A
29,743
588,614
5,114,746
Commercial
Services
&
Supplies
-
0.7%
Casella
Waste
Systems,
Inc.,
Class
A
*
6,034
528,880
CoreCivic
,
Inc.
*
10,365
115,777
Heritage-Crystal
Clean,
Inc.
*
3,322
98,365
Interface,
Inc.
5,653
76,711
Montrose
Environmental
Group,
Inc.
*
3,544
187,584
Tetra
Tech,
Inc.
4,442
732,664
Viad
Corp.
*
1,949
69,462
1,809,443
Communications
Equipment
-
0.8%
ADTRAN,
Inc.
10,230
188,743
Aviat
Networks,
Inc.
*
3,954
121,665
Calix,
Inc.
*
19,144
821,469
Clearfield,
Inc.
*
3,744
244,184
Digi
International,
Inc.
*
7,467
160,690
DZS,
Inc.
*
4,729
65,591
Extreme
Networks,
Inc.
*
39,659
484,236
2,086,578
Construction
&
Engineering
-
2.3%
Ameresco
,
Inc.,
Class
A
*
12,837
1,020,542
API
Group
Corp.
*
9,573
201,320
Comfort
Systems
USA,
Inc.
5,544
493,472
Concrete
Pumping
Holdings,
Inc.
*
35,639
238,781
Construction
Partners,
Inc.,
Class
A
*
7,283
190,669
Dycom
Industries,
Inc.
*
1,693
161,275
EMCOR
Group,
Inc.
4,760
536,119
Granite
Construction,
Inc.
12,288
403,046
IES
Holdings,
Inc.
*
2,983
119,917
INNOVATE
Corp.
*(b)
31,941
117,862
MYR
Group,
Inc.
*
4,059
381,708
NV5
Global,
Inc.
*
3,203
426,960
Sterling
Construction
Co.,
Inc.
*
5,513
147,748
34
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
2.3%
(continued)
WillScot
Mobile
Mini
Holdings
Corp.
*
30,366
1,188,222
5,627,641
Construction
Materials
-
0.2%
Summit
Materials,
Inc.,
Class
A
*
15,423
479,038
Consumer
Finance
-
1.0%
Atlanticus
Holdings
Corp.
*
5,474
283,499
Curo
Group
Holdings
Corp.
7,300
95,265
Encore
Capital
Group,
Inc.
*
6,092
382,151
EZCORP,
Inc.,
Class
A
*
14,908
90,044
LendingClub
Corp.
*
20,649
325,841
Navient
Corp.
30,929
527,030
Nelnet,
Inc.,
Class
A
2,168
184,258
Regional
Management
Corp.
6,697
325,273
World
Acceptance
Corp.
*
1,229
235,772
2,449,133
Containers
&
Packaging
-
0.2%
Greif,
Inc.,
Class
A
2,246
146,125
O-I
Glass,
Inc.
*
6,377
84,049
Ranpak
Holdings
Corp.
*
17,894
365,574
595,748
Distributors
-
0.0%
(d)
Funko
,
Inc.,
Class
A
*
6,996
120,681
Diversified
Consumer
Services
-
0.2%
Carriage
Services,
Inc.
4,901
261,370
Laureate
Education,
Inc.
14,859
176,079
Stride,
Inc.
*
4,077
148,118
585,567
Diversified
Financial
Services
-
0.1%
A-Mark
Precious
Metals,
Inc.
3,670
283,838
Diversified
Telecommunication
Services
-
0.7%
Anterix
,
Inc.
*
5,844
338,368
Cogent
Communications
Holdings,
Inc.
1,104
73,250
Consolidated
Communications
Holdings,
Inc.
*
11,668
68,841
Globalstar
,
Inc.
*
93,426
137,336
IDT
Corp.,
Class
B
*
7,772
264,948
Iridium
Communications,
Inc.
*
18,440
743,501
Ooma
,
Inc.
*
7,097
106,384
Radius
Global
Infrastructure,
Inc.
*
5,289
75,527
1,808,155
Electric
Utilities
-
0.8%
MGE
Energy,
Inc.
5,645
450,415
Otter
Tail
Corp.
13,842
865,125
Portland
General
Electric
Co.
13,767
759,250
2,074,790
INVESTMENTS
SHARES
VALUE
($)
Electrical
Equipment
-
0.8%
Atkore
,
Inc.
*
8,044
791,851
Babcock
&
Wilcox
Enterprises,
Inc.
*
43,536
355,254
Encore
Wire
Corp.
1,554
177,265
Vicor
Corp.
*
8,535
602,144
1,926,514
Electronic
Equipment,
Instruments
&
Components
-
1.2%
Advanced
Energy
Industries,
Inc.
2,208
190,065
Arlo
Technologies,
Inc.
*
14,829
131,385
Badger
Meter,
Inc.
3,605
359,455
Belden,
Inc.
7,135
395,279
Fabrinet
(Thailand)
*
4,047
425,461
FARO
Technologies,
Inc.
*
4,707
244,387
Identiv
,
Inc.
*
3,389
54,800
II-VI,
Inc.
*
3,346
242,552
Insight
Enterprises,
Inc.
*
2,245
240,933
Knowles
Corp.
*
9,777
210,499
Luna
Innovations,
Inc.
*
20,643
159,157
Methode
Electronics,
Inc.
3,694
159,765
Novanta
,
Inc.
*
1,554
221,119
3,034,857
Energy
Equipment
&
Services
-
1.3%
Cactus,
Inc.,
Class
A
2,565
145,538
ChampionX
Corp.
*
29,656
725,979
Nabors
Industries
Ltd.
*
945
144,320
Newpark
Resources,
Inc.
*
33,924
124,162
Oceaneering
International,
Inc.
*
10,194
154,541
Patterson-UTI
Energy,
Inc.
38,983
603,457
RPC,
Inc.
*
46,263
493,626
TETRA
Technologies,
Inc.
*
41,008
168,543
Tidewater,
Inc.
*
17,185
373,602
US
Silica
Holdings,
Inc.
*
11,584
216,157
3,149,925
Entertainment
-
0.8%
AMC
Entertainment
Holdings,
Inc.,
Class
A
*(b)
68,899
1,697,671
Lions
Gate
Entertainment
Corp.,
Class
A
*
16,421
266,841
Lions
Gate
Entertainment
Corp.,
Class
B
*
6,096
91,623
2,056,135
Equity
Real
Estate
Investment
Trusts
(REITs)
-
6.7%
Acadia
Realty
Trust
16,730
362,539
Alexander
&
Baldwin,
Inc.
17,996
417,327
Apartment
Investment
and
Management
Co.,
Class
A
*
13,899
101,741
Armada
Hoffler
Properties,
Inc.
6,861
100,171
Braemar
Hotels
&
Resorts,
Inc.
14,820
91,588
Broadstone
Net
Lease,
Inc.
11,765
256,242
Centerspace
2,170
212,920
Chatham
Lodging
Trust
*
13,588
187,379
35
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
6.7%
(continued)
City
Office
REIT,
Inc.
16,962
299,549
CTO
Realty
Growth,
Inc.
2,032
134,762
DigitalBridge
Group,
Inc.
*
108,555
781,596
EastGroup
Properties,
Inc.
8,002
1,626,647
Essential
Properties
Realty
Trust,
Inc.
12,612
319,084
Farmland
Partners,
Inc.
9,873
135,754
Gladstone
Commercial
Corp.
5,476
120,582
Gladstone
Land
Corp.
6,681
243,322
Independence
Realty
Trust,
Inc.
37,049
979,576
Innovative
Industrial
Properties,
Inc.
2,923
600,384
Kite
Realty
Group
Trust
3,002
68,356
Macerich
Co.
(The)
33,385
522,141
National
Storage
Affiliates
Trust
28,036
1,759,539
NexPoint
Residential
Trust,
Inc.
2,533
228,755
One
Liberty
Properties,
Inc.
4,200
129,318
Outfront
Media,
Inc.
4,615
131,204
Plymouth
Industrial
REIT,
Inc.
16,205
439,155
PS
Business
Parks,
Inc.
5,890
989,991
Retail
Opportunity
Investments
Corp.
5,579
108,177
Retail
Value,
Inc.
21,778
66,641
RPT
Realty
36,068
496,656
Ryman
Hospitality
Properties,
Inc.
*
834
77,370
Safehold
,
Inc.
7,474
414,433
Saul
Centers,
Inc.
3,042
160,313
SITE
Centers
Corp.
43,674
729,793
STAG
Industrial,
Inc.
34,348
1,420,290
Tanger
Factory
Outlet
Centers,
Inc.
31,898
548,327
Terreno
Realty
Corp.
11,530
853,796
UMH
Properties,
Inc.
6,002
147,589
Urban
Edge
Properties
7,334
140,079
Urstadt
Biddle
Properties,
Inc.,
Class
A
13,957
262,531
16,665,617
Food
&
Staples
Retailing
-
1.3%
Andersons,
Inc.
(The)
1,981
99,565
BJ's
Wholesale
Club
Holdings,
Inc.
*
18,007
1,217,453
Ingles
Markets,
Inc.,
Class
A
5,760
512,928
SpartanNash
Co.
6,535
215,590
Sprouts
Farmers
Market,
Inc.
*
14,131
451,909
United
Natural
Foods,
Inc.
*
13,228
546,978
Weis
Markets,
Inc.
1,956
139,698
3,184,121
Food
Products
-
0.3%
Hostess
Brands,
Inc.
*
10,592
232,388
Simply
Good
Foods
Co.
(The)
*
14,023
532,173
764,561
INVESTMENTS
SHARES
VALUE
($)
Gas
Utilities
-
0.3%
Chesapeake
Utilities
Corp.
3,577
492,767
ONE
Gas,
Inc.
3,573
315,282
808,049
Health
Care
Equipment
&
Supplies
-
2.1%
Alphatec
Holdings,
Inc.
*
20,418
234,807
AngioDynamics
,
Inc.
*
16,876
363,509
AtriCure
,
Inc.
*
6,875
451,481
CONMED
Corp.
737
109,481
CryoPort
,
Inc.
*
7,904
275,929
Cutera
,
Inc.
*
2,251
155,319
Heska
Corp.
*
2,317
320,395
Lantheus
Holdings,
Inc.
*
11,802
652,769
LeMaitre
Vascular,
Inc.
1,467
68,171
LivaNova
plc
*
9,214
753,982
Merit
Medical
Systems,
Inc.
*
2,701
179,670
Retractable
Technologies,
Inc.
*
2,308
10,963
Senseonics
Holdings,
Inc.
*
37,845
74,555
Shockwave
Medical,
Inc.
*
3,273
678,689
STAAR
Surgical
Co.
*
5,641
450,772
Utah
Medical
Products,
Inc.
745
66,946
Varex
Imaging
Corp.
*
17,001
361,951
5,209,389
Health
Care
Providers
&
Services
-
2.9%
Addus
HomeCare
Corp.
*
4,847
452,177
Agiliti
,
Inc.
*
5,774
121,831
AMN
Healthcare
Services,
Inc.
*
6,703
699,324
Apollo
Medical
Holdings,
Inc.
*(b)
3,752
181,859
Community
Health
Systems,
Inc.
*
32,843
389,846
CorVel
Corp.
*
1,679
282,811
Cross
Country
Healthcare,
Inc.
*
15,776
341,866
Ensign
Group,
Inc.
(The)
1,668
150,137
Fulgent
Genetics,
Inc.
*
6,028
376,207
InfuSystem
Holdings,
Inc.
*
6,027
59,065
Joint
Corp.
(The)
*
2,274
80,477
LHC
Group,
Inc.
*
2,277
383,902
MEDNAX,
Inc.
*
9,610
225,643
ModivCare
,
Inc.
*
2,221
256,281
Option
Care
Health,
Inc.
*
9,000
257,040
Owens
&
Minor,
Inc.
17,869
786,593
Patterson
Cos.,
Inc.
2,954
95,621
R1
RCM,
Inc.
*
9,951
266,289
RadNet
,
Inc.
*
2,804
62,725
Select
Medical
Holdings
Corp.
5,752
137,990
Surgery
Partners,
Inc.
*
2,010
110,651
Tenet
Healthcare
Corp.
*
16,353
1,405,704
Tivity
Health,
Inc.
*
3,497
112,499
7,236,538
Health
Care
Technology
-
1.2%
Allscripts
Healthcare
Solutions,
Inc.
*
12,836
289,067
Evolent
Health,
Inc.,
Class
A
*
26,133
844,096
36
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Technology
-
1.2%
(continued)
Inspire
Medical
Systems,
Inc.
*
3,870
993,390
Omnicell
,
Inc.
*
4,899
634,371
OptimizeRx
Corp.
*
2,807
105,852
2,866,776
Hotels,
Restaurants
&
Leisure
-
3.5%
Biglari
Holdings,
Inc.,
Class
B
*
897
129,715
Bluegreen
Vacations
Holding
Corp.
*
8,134
240,522
Century
Casinos,
Inc.
*
14,961
178,784
Everi
Holdings,
Inc.
*
14,862
312,102
Fiesta
Restaurant
Group,
Inc.
*
6,792
50,770
Full
House
Resorts,
Inc.
*
30,276
290,952
Golden
Entertainment,
Inc.
*
9,717
564,266
Hilton
Grand
Vacations,
Inc.
*
10,699
556,455
International
Game
Technology
plc
27,205
671,419
Kura
Sushi
USA,
Inc.,
Class
A
*
4,417
243,598
Monarch
Casino
&
Resort,
Inc.
*
1,222
106,595
ONE
Group
Hospitality,
Inc.
(The)
*
26,077
274,069
Papa
John's
International,
Inc.
3,356
353,320
RCI
Hospitality
Holdings,
Inc.
3,252
199,868
Red
Rock
Resorts,
Inc.,
Class
A
24,488
1,189,137
Scientific
Games
Corp.
*
16,485
968,494
SeaWorld
Entertainment,
Inc.
*
16,124
1,200,271
Target
Hospitality
Corp.
*
35,772
214,632
Texas
Roadhouse,
Inc.
5,409
452,896
Wingstop
,
Inc.
3,993
468,579
8,666,444
Household
Durables
-
1.4%
Bassett
Furniture
Industries,
Inc.
3,960
65,578
Cavco
Industries,
Inc.
*
1,210
291,429
Century
Communities,
Inc.
6,823
365,508
Ethan
Allen
Interiors,
Inc.
5,659
147,530
Flexsteel
Industries,
Inc.
956
18,451
GoPro,
Inc.,
Class
A
*
8,033
68,521
Green
Brick
Partners,
Inc.
*
12,087
238,839
Helen
of
Troy
Ltd.
*
1,593
311,973
Hovnanian
Enterprises,
Inc.,
Class
A
*
1,740
102,834
Installed
Building
Products,
Inc.
1,547
130,706
LGI
Homes,
Inc.
*
1,135
110,867
Lifetime
Brands,
Inc.
10,801
138,685
Lovesac
Co.
(The)
*
2,737
147,962
M/I
Homes,
Inc.
*
1,390
61,647
MDC
Holdings,
Inc.
1,661
62,852
Meritage
Homes
Corp.
*
4,933
390,842
Skyline
Champion
Corp.
*
4,718
258,924
Sonos
,
Inc.
*
7,247
204,510
Taylor
Morrison
Home
Corp.
*
4,634
126,137
Tri
Pointe
Homes,
Inc.
*
14,435
289,855
3,533,650
INVESTMENTS
SHARES
VALUE
($)
Household
Products
-
0.1%
Central
Garden
&
Pet
Co.,
Class
A
*
3,326
135,634
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Clearway
Energy,
Inc.,
Class
C
5,605
204,639
Insurance
-
1.0%
American
Equity
Investment
Life
Holding
Co.
2,512
100,254
Argo
Group
International
Holdings
Ltd.
4,003
165,244
CNO
Financial
Group,
Inc.
19,847
497,961
Enstar
Group
Ltd.
*
763
199,257
Goosehead
Insurance,
Inc.,
Class
A
2,392
187,939
HCI
Group,
Inc.
1,927
131,383
Kinsale
Capital
Group,
Inc.
995
226,880
Maiden
Holdings
Ltd.
*
57,865
139,455
MBIA,
Inc.
*
8,483
130,553
RLI
Corp.
1,057
116,936
Stewart
Information
Services
Corp.
5,315
322,142
Tiptree,
Inc.
11,079
142,365
Trupanion
,
Inc.
*
1,329
118,441
2,478,810
Interactive
Media
&
Services
-
0.4%
Cargurus
,
Inc.
*
11,760
499,330
Cars.com,
Inc.
*
6,232
89,928
Ziff
Davis,
Inc.
*
3,975
384,700
973,958
Internet
&
Direct
Marketing
Retail
-
0.5%
Duluth
Holdings,
Inc.,
Class
B
*
5,804
70,983
Liquidity
Services,
Inc.
*
9,184
157,230
Revolve
Group,
Inc.
*
4,937
265,068
Shutterstock
,
Inc.
7,290
678,553
1,171,834
IT
Services
-
1.3%
CSG
Systems
International,
Inc.
1,675
106,480
EVERTEC,
Inc.
3,230
132,204
ExlService
Holdings,
Inc.
*
4,999
716,207
Grid
Dynamics
Holdings,
Inc.
*
13,821
194,599
Hackett
Group,
Inc.
(The)
6,937
159,967
Perficient
,
Inc.
*
5,821
640,834
TTEC
Holdings,
Inc.
10,061
830,234
Unisys
Corp.
*
21,340
461,157
3,241,682
Leisure
Products
-
0.6%
Acushnet
Holdings
Corp.
11,396
458,803
Clarus
Corp.
3,149
71,734
Malibu
Boats,
Inc.,
Class
A
*
1,876
108,827
MasterCraft
Boat
Holdings,
Inc.
*
4,021
98,957
Vista
Outdoor,
Inc.
*
18,666
666,189
1,404,510
37
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Life
Sciences
Tools
&
Services
-
0.4%
Harvard
Bioscience,
Inc.
*
18,432
114,463
Inotiv
,
Inc.
*
7,551
197,685
Medpace
Holdings,
Inc.
*
2,650
433,514
NanoString
Technologies,
Inc.
*
4,056
140,946
NeoGenomics
,
Inc.
*
6,901
83,847
970,455
Machinery
-
2.4%
Alamo
Group,
Inc.
1,547
222,443
Astec
Industries,
Inc.
1,573
67,639
Chart
Industries,
Inc.
*
4,371
750,807
Columbus
McKinnon
Corp.
2,492
105,661
Commercial
Vehicle
Group,
Inc.
*
8,436
71,284
Energy
Recovery,
Inc.
*
15,212
306,370
EnPro
Industries,
Inc.
620
60,593
Evoqua
Water
Technologies
Corp.
*
15,260
716,915
Franklin
Electric
Co.,
Inc.
2,799
232,429
Greenbrier
Cos.,
Inc.
(The)
3,586
184,715
Helios
Technologies,
Inc.
5,299
425,245
Kadant
,
Inc.
1,810
351,484
Lindsay
Corp.
1,848
290,154
Mayville
Engineering
Co.,
Inc.
*
6,527
61,158
Mueller
Industries,
Inc.
2,249
121,828
Omega
Flex,
Inc.
868
112,727
Park-Ohio
Holdings
Corp.
926
13,029
REV
Group,
Inc.
8,223
110,188
Shyft
Group,
Inc.
(The)
17,759
641,277
SPX
Corp.
*
2,755
136,125
Standex
International
Corp.
635
63,449
Titan
International,
Inc.
*
24,655
363,168
Watts
Water
Technologies,
Inc.,
Class
A
3,446
481,027
5,889,715
Marine
-
0.8%
Costamare
,
Inc.
(Monaco)
15,314
261,104
Eagle
Bulk
Shipping,
Inc.
(b)
7,075
481,878
Genco
Shipping
&
Trading
Ltd.
9,983
235,799
Matson,
Inc.
7,489
903,323
Safe
Bulkers,
Inc.
(Greece)
44,083
209,835
2,091,939
Media
-
1.1%
Clear
Channel
Outdoor
Holdings,
Inc.
*
128,246
443,731
Emerald
Holding,
Inc.
*
15,215
51,731
Entravision
Communications
Corp.,
Class
A
58,546
375,280
Gannett
Co.,
Inc.
*
37,872
170,803
iHeartMedia
,
Inc.,
Class
A
*
19,468
368,529
John
Wiley
&
Sons,
Inc.,
Class
A
5,780
306,513
Scholastic
Corp.
3,782
152,339
TechTarget
,
Inc.
*
9,852
800,771
Thryv
Holdings,
Inc.
*
2,709
76,177
INVESTMENTS
SHARES
VALUE
($)
Media
-
1.1%
(continued)
WideOpenWest
,
Inc.
*
5,345
93,217
2,839,091
Metals
&
Mining
-
1.7%
Century
Aluminum
Co.
*
11,019
289,910
Commercial
Metals
Co.
10,427
433,972
Haynes
International,
Inc.
6,297
268,252
Hecla
Mining
Co.
58,946
387,275
Materion
Corp.
1,676
143,700
MP
Materials
Corp.
*
16,855
966,466
Ryerson
Holding
Corp.
26,483
927,434
SunCoke
Energy,
Inc.
12,889
114,841
TimkenSteel
Corp.
*
15,007
328,353
Worthington
Industries,
Inc.
5,387
276,946
4,137,149
Multiline
Retail
-
1.1%
Dillard's,
Inc.,
Class
A
4,193
1,125,359
Franchise
Group,
Inc.
8,430
349,255
Macy's,
Inc.
46,383
1,129,890
2,604,504
Oil,
Gas
&
Consumable
Fuels
-
9.4%
Aemetis
,
Inc.
*
10,496
132,984
Antero
Resources
Corp.
*
73,278
2,237,177
Arch
Resources,
Inc.
3,930
539,904
Berry
Corp.
10,840
111,869
Brigham
Minerals,
Inc.,
Class
A
11,048
282,277
California
Resources
Corp.
10,288
460,182
Callon
Petroleum
Co.
*
9,759
576,562
Centennial
Resource
Development,
Inc.,
Class
A
*
65,457
528,238
Centrus
Energy
Corp.,
Class
A
*
2,639
88,934
Civitas
Resources,
Inc.
12,849
767,214
CNX
Resources
Corp.
*
6,593
136,607
CONSOL
Energy,
Inc.
*
17,227
648,252
Denbury,
Inc.
*
5,990
470,634
Earthstone
Energy,
Inc.,
Class
A
*
21,229
268,122
Energy
Fuels,
Inc.
*
35,725
326,884
Equitrans
Midstream
Corp.
10,398
87,759
Falcon
Minerals
Corp.
58,077
391,439
Green
Plains,
Inc.
*
12,146
376,648
Kinetik
Holdings,
Inc.
7,313
475,418
Kosmos
Energy
Ltd.
(Ghana)
*
60,851
437,519
Laredo
Petroleum,
Inc.
*
2,550
201,807
Magnolia
Oil
&
Gas
Corp.,
Class
A
44,819
1,059,969
Matador
Resources
Co.
28,303
1,499,493
Murphy
Oil
Corp.
17,839
720,517
Northern
Oil
and
Gas,
Inc.
9,253
260,842
Oasis
Petroleum,
Inc.
3,010
440,363
Ovintiv
,
Inc.
48,598
2,627,694
PBF
Energy,
Inc.,
Class
A
*
15,576
379,587
PDC
Energy,
Inc.
21,696
1,576,865
Peabody
Energy
Corp.
*
32,763
803,676
Range
Resources
Corp.
*
47,814
1,452,589
38
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
9.4%
(continued)
Ranger
Oil
Corp.
*
12,311
425,099
SFL
Corp.
Ltd.
(Norway)
15,698
159,806
SM
Energy
Co.
29,279
1,140,417
Southwestern
Energy
Co.
*
42,669
305,937
Tellurian,
Inc.
*
21,071
111,676
Uranium
Energy
Corp.
*(b)
60,116
275,933
Whiting
Petroleum
Corp.
3,977
324,165
23,111,058
Personal
Products
-
0.4%
Edgewell
Personal
Care
Co.
6,035
221,303
elf
Beauty,
Inc.
*
16,044
414,417
Inter
Parfums
,
Inc.
3,323
292,590
Veru
,
Inc.
*
13,865
66,968
995,278
Pharmaceuticals
-
1.4%
Aclaris
Therapeutics,
Inc.
*
10,816
186,468
Amphastar
Pharmaceuticals,
Inc.
*
3,648
130,963
Ampio
Pharmaceuticals,
Inc.
*
150,202
70,595
Arvinas
,
Inc.
*
1,820
122,486
Cassava
Sciences,
Inc.
*(b)
11,372
422,356
Corcept
Therapeutics,
Inc.
*
14,322
322,531
EyePoint
Pharmaceuticals,
Inc.
*
9,877
120,006
Fulcrum
Therapeutics,
Inc.
*
6,440
152,306
Innoviva
,
Inc.
*
14,228
275,312
Intra-Cellular
Therapies,
Inc.
*
9,825
601,192
Oramed
Pharmaceuticals,
Inc.
(Israel)
*
14,856
128,504
Pacira
BioSciences
,
Inc.
*
1,587
121,120
Prestige
Consumer
Healthcare,
Inc.
*
12,963
686,261
3,340,100
Professional
Services
-
2.1%
ASGN,
Inc.
*
9,197
1,073,382
CBIZ,
Inc.
*
4,504
189,033
CRA
International,
Inc.
2,698
227,333
Exponent,
Inc.
4,113
444,410
Forrester
Research,
Inc.
*
4,096
231,096
Franklin
Covey
Co.
*
6,416
290,132
Heidrick
&
Struggles
International,
Inc.
6,786
268,590
ICF
International,
Inc.
1,266
119,181
Insperity
,
Inc.
768
77,123
KBR,
Inc.
19,659
1,075,937
Kforce
,
Inc.
2,331
172,424
Korn
Ferry
13,166
855,000
Mistras
Group,
Inc.
*
17,903
118,339
Resources
Connection,
Inc.
7,801
133,709
5,275,689
Real
Estate
Management
&
Development
-
1.3%
Cushman
&
Wakefield
plc
*
4,182
85,773
eXp
World
Holdings,
Inc.
15,672
331,776
INVESTMENTS
SHARES
VALUE
($)
Real
Estate
Management
&
Development
-
1.3%
(continued)
Kennedy-Wilson
Holdings,
Inc.
21,595
526,702
Newmark
Group,
Inc.,
Class
A
67,926
1,081,382
Realogy
Holdings
Corp.
*
17,125
268,520
St
Joe
Co.
(The)
14,470
857,203
3,151,356
Road
&
Rail
-
1.9%
ArcBest
Corp.
2,349
189,094
Avis
Budget
Group,
Inc.
*
10,256
2,700,404
Covenant
Logistics
Group,
Inc.
5,720
123,152
Daseke
,
Inc.
*
17,477
175,993
Marten
Transport
Ltd.
11,175
198,468
Saia,
Inc.
*
5,363
1,307,607
4,694,718
Semiconductors
&
Semiconductor
Equipment
-
5.2%
Alpha
&
Omega
Semiconductor
Ltd.
*
12,124
662,577
Ambarella
,
Inc.
*
4,852
509,072
Amkor
Technology,
Inc.
46,301
1,005,658
Atomera
,
Inc.
*(b)
8,360
109,182
Axcelis
Technologies,
Inc.
*
5,666
427,953
AXT,
Inc.
*
10,163
71,344
Cohu
,
Inc.
*
3,569
105,642
Diodes,
Inc.
*
4,387
381,625
FormFactor
,
Inc.
*
17,956
754,691
Impinj
,
Inc.
*
1,864
118,438
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
3,692
206,826
Lattice
Semiconductor
Corp.
*
29,734
1,812,287
MACOM
Technology
Solutions
Holdings,
Inc.
*
18,726
1,121,126
MaxLinear
,
Inc.
*
12,015
701,075
Onto
Innovation,
Inc.
*
1,733
150,580
PDF
Solutions,
Inc.
*
6,188
172,460
Power
Integrations,
Inc.
1,946
180,355
Rambus,
Inc.
*
20,555
655,499
Silicon
Laboratories,
Inc.
*
2,747
412,599
SiTime
Corp.
*
3,190
790,546
Synaptics
,
Inc.
*
7,810
1,558,095
Ultra
Clean
Holdings,
Inc.
*
13,413
568,577
Veeco
Instruments,
Inc.
*
12,035
327,232
12,803,439
Software
-
3.4%
A10
Networks,
Inc.
26,202
365,518
Alarm.com
Holdings,
Inc.
*
3,464
230,217
Altair
Engineering,
Inc.,
Class
A
*
5,223
336,361
Appfolio
,
Inc.,
Class
A
*
6,317
715,148
Asana,
Inc.,
Class
A
*
21,673
866,270
Blackbaud
,
Inc.
*
1,097
65,677
Blackline,
Inc.
*
7,758
568,041
Box,
Inc.,
Class
A
*
16,965
493,003
ChannelAdvisor
Corp.
*
14,025
232,394
CommVault
Systems,
Inc.
*
3,775
250,471
39
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Software
-
3.4%
(continued)
Digital
Turbine,
Inc.
*
3,243
142,076
Domo,
Inc.,
Class
B
*
1,570
79,395
InterDigital
,
Inc.
1,047
66,799
Marathon
Digital
Holdings,
Inc.
*(b)
8,347
233,299
MicroStrategy
,
Inc.,
Class
A
*
372
180,911
Q2
Holdings,
Inc.
*
6,370
392,711
Rapid7,
Inc.
*
2,552
283,884
Sailpoint
Technologies
Holdings,
Inc.
*
6,649
340,296
SecureWorks
Corp.,
Class
A
*
4,565
60,486
Sprout
Social,
Inc.,
Class
A
*
5,024
402,523
SPS
Commerce,
Inc.
*
3,472
455,526
Tenable
Holdings,
Inc.
*
2,550
147,364
Varonis
Systems,
Inc.
*
10,072
478,823
Verint
Systems,
Inc.
*
2,992
154,686
Veritone
,
Inc.
*(b)
4,765
87,104
Workiva
,
Inc.
*
3,415
402,970
Xperi
Holding
Corp.
4,602
79,707
Zuora
,
Inc.,
Class
A
*
10,822
162,114
8,273,774
Specialty
Retail
-
2.6%
Abercrombie
&
Fitch
Co.,
Class
A
*
5,466
174,857
Academy
Sports
&
Outdoors,
Inc.
3,940
155,236
America's
Car-Mart,
Inc.
*
1,311
105,614
Asbury
Automotive
Group,
Inc.
*
1,031
165,166
Boot
Barn
Holdings,
Inc.
*
5,615
532,246
Buckle,
Inc.
(The)
6,981
230,652
Caleres
,
Inc.
11,942
230,839
Camping
World
Holdings,
Inc.,
Class
A
4,607
128,766
Cato
Corp.
(The),
Class
A
11,696
171,463
Chico's
FAS,
Inc.
*
20,803
99,854
Citi
Trends,
Inc.
*
4,764
145,898
Conn's,
Inc.
*
6,245
96,236
Genesco,
Inc.
*
6,887
438,082
Group
1
Automotive,
Inc.
549
92,139
Hibbett,
Inc.
5,335
236,554
MarineMax
,
Inc.
*
7,424
298,890
Murphy
USA,
Inc.
1,843
368,526
National
Vision
Holdings,
Inc.
*
8,065
351,392
ODP
Corp.
(The)
*
8,927
409,124
Rent-A-Center,
Inc.
5,921
149,150
Shoe
Carnival,
Inc.
8,250
240,570
Signet
Jewelers
Ltd.
14,740
1,071,598
Sleep
Number
Corp.
*
2,143
108,672
Sonic
Automotive,
Inc.,
Class
A
5,932
252,169
Tilly's,
Inc.,
Class
A
6,829
63,920
Zumiez
,
Inc.
*
3,716
141,988
6,459,601
Technology
Hardware,
Storage
&
Peripherals
-
0.3%
3D
Systems
Corp.
*
3,962
66,086
Avid
Technology,
Inc.
*
13,342
465,236
Super
Micro
Computer,
Inc.
*
2,860
108,880
INVESTMENTS
SHARES
VALUE
($)
Technology
Hardware,
Storage
&
Peripherals
-
0.3%
(continued)
Turtle
Beach
Corp.
*
3,431
73,046
713,248
Textiles,
Apparel
&
Luxury
Goods
-
1.0%
Crocs,
Inc.
*
14,056
1,073,879
Fossil
Group,
Inc.
*
5,135
49,501
G-III
Apparel
Group
Ltd.
*
2,464
66,651
Kontoor
Brands,
Inc.
1,486
61,446
Movado
Group,
Inc.
10,233
399,599
Oxford
Industries,
Inc.
3,200
289,600
Steven
Madden
Ltd.
8,325
321,678
Unifi,
Inc.
*
4,969
89,939
2,352,293
Thrifts
&
Mortgage
Finance
-
1.7%
Axos
Financial,
Inc.
*
2,800
129,892
Columbia
Financial,
Inc.
*
3,187
68,552
Hingham
Institution
For
Savings
The
476
163,363
Kearny
Financial
Corp.
8,734
112,494
Merchants
Bancorp
7,818
214,057
Mr
Cooper
Group,
Inc.
*
26,614
1,215,461
Northfield
Bancorp,
Inc.
11,762
168,902
Ocwen
Financial
Corp.
*
5,006
118,943
PennyMac
Financial
Services,
Inc.
12,499
664,947
Provident
Financial
Services,
Inc.
4,826
112,929
Southern
Missouri
Bancorp,
Inc.
2,593
129,520
Walker
&
Dunlop,
Inc.
5,226
676,349
Washington
Federal,
Inc.
7,611
249,793
Waterstone
Financial,
Inc.
7,804
150,929
4,176,131
Tobacco
-
0.1%
Turning
Point
Brands,
Inc.
2,005
68,190
Vector
Group
Ltd.
6,937
83,522
151,712
Trading
Companies
&
Distributors
-
2.7%
Beacon
Roofing
Supply,
Inc.
*
2,201
130,475
BlueLinx
Holdings,
Inc.
*
3,628
260,781
Boise
Cascade
Co.
10,490
728,740
Custom
Truck
One
Source,
Inc.
*
12,128
101,754
Global
Industrial
Co.
8,468
272,924
GMS,
Inc.
*
2,008
99,938
Herc
Holdings,
Inc.
5,257
878,392
Rush
Enterprises,
Inc.,
Class
A
9,799
498,867
Textainer
Group
Holdings
Ltd.
(China)
13,776
524,452
Titan
Machinery,
Inc.
*
3,211
90,743
Transcat
,
Inc.
*
1,746
141,670
Triton
International
Ltd.
10,499
736,820
Veritiv
Corp.
*
7,044
941,008
WESCO
International,
Inc.
*
9,789
1,273,941
6,680,505
40
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Water
Utilities
-
0.6%
American
States
Water
Co.
7,599
676,463
Cadiz,
Inc.
*
10,859
22,478
California
Water
Service
Group
6,952
412,115
Middlesex
Water
Co.
4,085
429,619
1,540,675
Wireless
Telecommunication
Services
-
0.1%
Gogo
,
Inc.
*
7,372
140,510
TOTAL
COMMON
STOCKS
(Cost
$162,629,423)
232,780,665
SHORT-TERM
INVESTMENTS
-
5.4%
INVESTMENT
COMPANIES
-
5.4%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(e)
(Cost
$13,441,202)
13,447,421
13,440,698
SECURITIES
LENDING
COLLATERAL
-
1.3%
Investment
Companies
-
1.3%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.21%
(e)(f)
2,431,878
2,431,878
Limited
Purpose
Cash
Investment
Fund
0.18%
(e)(f)
647,330
647,006
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$3,079,208)
3,078,884
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
101.0%
(Cost
$179,149,833)
249,300,247
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(1.0)%
(g)
(2,448,104)
NET
ASSETS
-
100.0%
246,852,143
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
7,817,849
3.2
%
Consumer
Discretionary
29,370,731
11.9
Consumer
Staples
7,002,245
2.8
Energy
26,260,983
10.6
Financials
30,307,824
12.3
Health
Care
28,904,446
11.7
Industrials
38,191,201
15.5
Information
Technology
30,153,579
12.2
Materials
10,326,682
4.2
Real
Estate
19,816,973
8.0
Utilities
4,628,152
1.9
Short-Term
Investments
13,440,698
5.4
Securities
Lending
Collateral
3,078,884
1.3
Total
Investments
In
Securities
At
Value
249,300,247
101.0
Liabilities
in
Excess
of
Other
Assets
(g)
(2,448,104)
(1.0)
Net
Assets
$
246,852,143
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
March
31,
2022,
the
value
of
these
securities
amounted
to
$232,589
or
0.09%
of
net
assets.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$3,158,132;
additional
cash
collateral
of
166,493
was
received.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$76,881,
which
represents
approximately
0.03%
of
net
assets
of
the
fund.
(d)
Represents
less
than
0.05%
of
net
assets.
(e)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(f)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(g)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
116
6/2022
USD
$
11,985,120
$
366,098
$
366,098
41
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
272,574
$
272,574
42
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.4%
Australia
-
5.1%
ASX
Ltd.
11,843
720,412
Commonwealth
Bank
of
Australia
18,442
1,452,351
Computershare
Ltd.
49,660
912,706
CSL
Ltd.
9,497
1,896,005
Dexus
,
REIT
37,079
302,664
Fortescue
Metals
Group
Ltd.
202,577
3,113,983
Glencore
plc
*
503,427
3,275,652
Goodman
Group,
REIT
106,176
1,804,622
IDP
Education
Ltd.
6,580
153,999
Macquarie
Group
Ltd.
16,264
2,459,672
National
Australia
Bank
Ltd.
150,335
3,619,295
REA
Group
Ltd.
8,056
807,609
Rio
Tinto
plc
6,275
501,665
Scentre
Group,
REIT
146,505
333,102
Suncorp
Group
Ltd.
96,583
800,644
Telstra
Corp.
Ltd.
402,497
1,189,161
Wesfarmers
Ltd.
59,299
2,225,171
WiseTech
Global
Ltd.
7,490
281,915
25,850,628
—
Austria
-
0.1%
Erste
Group
Bank
AG
5,968
217,632
Verbund
AG
1,413
149,219
366,851
—
Belgium
-
0.3%
Elia
Group
SA/NV
1,105
168,591
KBC
Group
NV
9,514
682,622
Sofina
SA
1,469
533,789
1,385,002
—
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
9,333
443,824
Yara
International
ASA
3,393
169,679
613,503
—
Canada
-
17.5%
AltaGas
Ltd.
(1)
14,355
321,513
Bank
of
Montreal
(1)
68,371
8,045,481
Bank
of
Nova
Scotia
(The)
(1)
88,554
6,346,789
BCE,
Inc.
(1)
42,443
2,352,758
Brookfield
Asset
Management,
Inc.,
Class
A
(1)
31,326
1,771,085
Cameco
Corp.
(1)
39,997
1,164,893
Canadian
Imperial
Bank
of
Commerce
(1)
39,056
4,740,830
Canadian
National
Railway
Co.
(1)
3,249
435,834
Canadian
Natural
Resources
Ltd.
(1)
169,715
10,508,849
Canadian
Pacific
Railway
Ltd.
(1)
41,860
3,454,877
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
2,365
357,091
Cenovus
Energy,
Inc.
(1)
268,556
4,476,828
Constellation
Software,
Inc.
(1)
1,171
2,001,701
Dollarama
,
Inc.
(1)
9,861
559,249
Empire
Co.
Ltd.,
Class
A
(1)
8,679
307,825
Enbridge,
Inc.
(1)
11,380
523,872
Franco-Nevada
Corp.
(1)
3,781
601,682
Gildan
Activewear
,
Inc.
(1)
11,214
420,609
INVESTMENTS
SHARES
VALUE
($)
Canada
-
17.5%
(continued)
Hydro
One
Ltd.
(1)(a)
32,356
871,695
iA
Financial
Corp.,
Inc.
(1)
10,055
611,351
IGM
Financial,
Inc.
(1)
5,267
186,092
Imperial
Oil
Ltd.
(1)
46,898
2,269,591
Intact
Financial
Corp.
(1)
13,298
1,964,889
Ivanhoe
Mines
Ltd.,
Class
A
(1)*
85,062
793,363
Keyera
Corp.
(1)
6,578
166,745
Loblaw
Cos.
Ltd.
(1)
3,258
292,351
Magna
International,
Inc.
(1)
5,310
340,904
Manulife
Financial
Corp.
(1)
13,396
285,676
National
Bank
of
Canada
(1)
45,626
3,497,452
Nutrien
Ltd.
(1)
25,261
2,611,068
Power
Corp.
of
Canada
(1)
6,162
190,753
Ritchie
Bros
Auctioneers,
Inc.
(1)
2,606
153,923
Royal
Bank
of
Canada
(1)
67,234
7,402,382
Shopify,
Inc.,
Class
A
(1)*
4,455
3,012,894
Sun
Life
Financial,
Inc.
(1)
27,204
1,518,889
Suncor
Energy,
Inc.
(1)
6,598
214,805
Teck
Resources
Ltd.,
Class
B
(1)
21,348
862,014
Thomson
Reuters
Corp.
(1)
22,826
2,478,241
Toronto-Dominion
Bank
(The)
(1)
89,964
7,137,967
Tourmaline
Oil
Corp.
(1)
15,478
713,141
West
Fraser
Timber
Co.
Ltd.
(1)
14,045
1,155,596
WSP
Global,
Inc.
(1)
13,348
1,771,441
88,894,989
—
Chile
-
0.2%
Antofagasta
plc
42,625
926,196
China
-
0.1%
SITC
International
Holdings
Co.
Ltd.
82,000
286,730
Wilmar
International
Ltd.
92,000
318,617
605,347
—
Denmark
-
3.8%
AP
Moller
-
Maersk
A/S,
Class
B
1,087
3,266,395
Coloplast
A/S,
Class
B
1,226
185,664
DSV
A/S
17,024
3,262,745
Genmab
A/S
*
3,841
1,387,189
Novo
Nordisk
A/S,
Class
B
51,274
5,687,115
Orsted
A/S
*(a)
20,453
2,560,133
Pandora
A/S
10,610
1,010,755
Tryg
A/S
9,825
238,892
Vestas
Wind
Systems
A/S
59,245
1,737,941
19,336,829
—
Finland
-
1.7%
Elisa
OYJ
2,515
151,671
Kesko
OYJ,
Class
B
5,101
140,839
Kone
OYJ,
Class
B
5,203
272,274
Neste
OYJ
27,043
1,232,976
Nokia
OYJ
*
129,337
712,262
Nordea
Bank
Abp
404,481
4,162,916
Sampo
OYJ,
Class
A
11,607
567,167
Stora
Enso
OYJ,
Class
R
33,944
665,894
UPM-
Kymmene
OYJ
20,621
673,379
8,579,378
—
43
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
7.6%
Air
Liquide
SA
5,667
991,407
AXA
SA
91,792
2,687,149
BNP
Paribas
SA
41,054
2,346,017
Capgemini
SE
1,863
413,406
Carrefour
SA
21,364
464,925
Cie
de
Saint-Gobain
9,962
592,743
Credit
Agricole
SA
12,136
145,008
Dassault
Systemes
SE
10,725
526,905
Hermes
International
3,589
5,079,680
Kering
SA
787
496,855
Klepierre
SA,
REIT
*
10,998
292,812
Legrand
SA
2,988
284,089
L'Oreal
SA
6,501
2,596,794
LVMH
Moet
Hennessy
Louis
Vuitton
SE
16,781
11,978,265
Pernod
Ricard
SA
13,610
2,990,269
Publicis
Groupe
SA
5,476
332,359
Remy
Cointreau
SA
1,415
291,811
Safran
SA
1,824
214,750
Sanofi
8,971
917,192
Sartorius
Stedim
Biotech
4,580
1,875,119
Societe
Generale
SA
50,774
1,361,117
Teleperformance
1,125
428,511
TotalEnergies
SE
7,451
377,017
Veolia
Environnement
SA
4,369
140,085
Vivendi
SE
66,723
871,704
38,695,989
—
Germany
-
5.4%
adidas
AG
664
154,729
Bayerische
Motoren
Werke
AG
16,993
1,468,494
Brenntag
SE
14,270
1,150,612
Carl
Zeiss
Meditec
AG
1,216
195,870
Commerzbank
AG
*
95,064
722,383
Deutsche
Bank
AG
(Registered)
*
164,552
2,072,400
Deutsche
Post
AG
(Registered)
73,449
3,507,328
GEA
Group
AG
6,902
282,895
Hannover
Rueck
SE
3,192
542,252
Infineon
Technologies
AG
55,730
1,885,348
KION
Group
AG
4,756
313,454
Mercedes-Benz
Group
AG
42,621
2,991,549
Merck
KGaA
12,662
2,644,264
Puma
SE
15,001
1,275,714
RWE
AG
38,843
1,691,322
SAP
SE
1,980
219,440
Siemens
AG
(Registered)
29,391
4,069,693
Siemens
Energy
AG
23,876
543,197
Symrise
AG
4,418
529,686
Volkswagen
AG
601
148,459
Vonovia
SE
16,103
750,568
Zalando
SE
*(a)
3,747
189,726
27,349,383
—
Hong
Kong
-
0.7%
AIA
Group
Ltd.
104,400
1,090,133
Hong
Kong
Exchanges
&
Clearing
Ltd.
15,700
735,911
Techtronic
Industries
Co.
Ltd.
121,000
1,938,598
3,764,642
—
INVESTMENTS
SHARES
VALUE
($)
Italy
-
2.8%
Assicurazioni
Generali
SpA
105,579
2,414,820
Enel
SpA
230,083
1,536,208
Eni
SpA
72,777
1,061,323
Ferrari
NV
10,210
2,224,347
Intesa
Sanpaolo
SpA
458,354
1,049,065
Mediobanca
Banca
di
Credito
Finanziario
SpA
168,953
1,707,355
Moncler
SpA
3,288
182,424
Prysmian
SpA
9,142
310,245
Snam
SpA
228,724
1,318,949
Terna
-
Rete
Elettrica
Nazionale
60,221
517,135
UniCredit
SpA
204,621
2,207,400
14,529,271
—
Japan
-
16.6%
Advantest
Corp.
10,400
811,968
Bandai
Namco
Holdings,
Inc.
10,400
788,627
Chugai
Pharmaceutical
Co.
Ltd.
62,500
2,085,527
Daifuku
Co.
Ltd.
8,600
613,623
Dai-ichi
Life
Holdings,
Inc.
50,100
1,018,072
Daiichi
Sankyo
Co.
Ltd.
103,100
2,251,395
Daikin
Industries
Ltd.
11,600
2,106,606
Daiwa
House
REIT
Investment
Corp.,
REIT
415
1,118,843
Daiwa
Securities
Group,
Inc.
46,100
260,774
Denso
Corp.
7,000
446,601
Fast
Retailing
Co.
Ltd.
300
153,797
Fuji
Electric
Co.
Ltd.
5,500
274,125
Fujitsu
Ltd.
12,400
1,857,839
GMO
Payment
Gateway,
Inc.
1,600
163,002
Hamamatsu
Photonics
KK
4,500
239,008
Hitachi
Ltd.
3,100
155,137
Hoya
Corp.
26,500
3,019,884
Idemitsu
Kosan
Co.
Ltd.
70,500
1,943,370
Inpex
Corp.
156,900
1,844,727
ITOCHU
Corp.
90,300
3,054,484
Japan
Post
Holdings
Co.
Ltd.
20,600
151,291
Japan
Real
Estate
Investment
Corp.,
REIT
181
948,009
Japan
Tobacco,
Inc.
36,400
621,624
JSR
Corp.
13,700
403,436
Kakaku.com,
Inc.
6,200
138,463
Keyence
Corp.
9,260
4,293,886
Kikkoman
Corp.
7,600
503,396
Konami
Holdings
Corp.
2,600
163,995
Kurita
Water
Industries
Ltd.
3,800
140,261
Kyowa
Kirin
Co.
Ltd.
10,000
232,639
Lasertec
Corp.
5,000
831,820
M3,
Inc.
8,400
303,374
Marubeni
Corp.
122,700
1,424,818
Mitsubishi
Corp.
13,700
514,116
Mitsubishi
UFJ
Financial
Group,
Inc.
382,500
2,364,286
Mitsui
&
Co.
Ltd.
38,100
1,034,233
MonotaRO
Co.
Ltd.
15,800
339,105
MS&AD
Insurance
Group
Holdings,
Inc.
52,200
1,694,826
Murata
Manufacturing
Co.
Ltd.
17,400
1,146,187
Nintendo
Co.
Ltd.
400
201,905
Nippon
Building
Fund,
Inc.,
REIT
252
1,429,551
44
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
16.6%
(continued)
Nippon
Prologis
REIT,
Inc.,
REIT
160
467,177
Nippon
Yusen
KK
63,500
5,554,628
Nissan
Chemical
Corp.
6,200
363,678
Nitori
Holdings
Co.
Ltd.
2,600
327,113
Nitto
Denko
Corp.
4,000
286,752
Nomura
Holdings,
Inc.
138,900
584,181
Nomura
Research
Institute
Ltd.
49,650
1,619,945
NTT
Data
Corp.
12,500
245,653
Obic
Co.
Ltd.
9,100
1,362,970
Olympus
Corp.
67,800
1,284,986
Omron
Corp.
6,200
412,601
Oriental
Land
Co.
Ltd.
2,600
497,654
ORIX
Corp.
50,800
1,012,574
Panasonic
Holdings
Corp.
32,600
316,614
Recruit
Holdings
Co.
Ltd.
28,400
1,233,896
Renesas
Electronics
Corp.
*
73,100
847,007
SG
Holdings
Co.
Ltd.
34,800
655,311
Shimadzu
Corp.
12,500
429,931
Shimano,
Inc.
2,800
641,223
Shin-Etsu
Chemical
Co.
Ltd.
23,300
3,540,047
Shionogi
&
Co.
Ltd.
3,900
239,629
Shiseido
Co.
Ltd.
3,600
181,831
SMC
Corp.
2,000
1,117,988
Sompo
Holdings,
Inc.
3,300
145,003
Sony
Group
Corp.
50,300
5,174,650
Sumitomo
Mitsui
Financial
Group,
Inc.
33,200
1,048,734
Suntory
Beverage
&
Food
Ltd.
7,200
274,429
Terumo
Corp.
10,200
308,637
Tokio
Marine
Holdings,
Inc.
22,700
1,320,987
Tokyo
Electron
Ltd.
9,900
5,084,257
Toshiba
Corp.
3,800
144,375
Toyota
Motor
Corp.
245,500
4,428,330
Unicharm
Corp.
4,400
158,074
Yamaha
Corp.
5,000
217,280
Yaskawa
Electric
Corp.
3,700
144,207
84,760,982
—
Luxembourg
-
0.8%
ArcelorMittal
SA
81,225
2,601,971
Eurofins
Scientific
SE
13,280
1,313,695
3,915,666
—
Netherlands
-
6.4%
ABN
AMRO
Bank
NV,
CVA
(a)
11,520
147,108
Adyen
NV
*(a)
1,347
2,667,996
Aegon
NV
290,400
1,539,449
ASML
Holding
NV
21,105
14,102,823
ING
Groep
NV
13,861
144,722
Koninklijke
Ahold
Delhaize
NV
68,812
2,213,373
Koninklijke
DSM
NV
15,147
2,709,704
Koninklijke
Philips
NV
4,788
146,004
NN
Group
NV
28,834
1,461,272
Randstad
NV
3,352
201,639
Shell
plc
165,571
4,538,089
Wolters
Kluwer
NV
26,369
2,811,105
32,683,284
—
INVESTMENTS
SHARES
VALUE
($)
Norway
-
0.5%
Equinor
ASA
31,109
1,161,506
Norsk
Hydro
ASA
168,948
1,641,478
2,802,984
—
Portugal
-
0.0%
(b)
Jeronimo
Martins
SGPS
SA
6,662
159,821
Singapore
-
0.8%
DBS
Group
Holdings
Ltd.
61,500
1,611,437
STMicroelectronics
NV
47,150
2,049,327
United
Overseas
Bank
Ltd.
15,500
362,669
4,023,433
—
South
Africa
-
0.6%
Anglo
American
plc
56,407
2,931,042
Spain
-
0.7%
Banco
Bilbao
Vizcaya
Argentaria
SA
136,827
781,273
Enagas
SA
19,723
437,975
Ferrovial
SA
6,756
179,675
Iberdrola
SA
157,714
1,723,810
Repsol
SA
42,429
555,786
3,678,519
—
Sweden
-
4.6%
Assa
Abloy
AB,
Class
B
11,958
321,426
Atlas
Copco
AB,
Class
A
72,080
3,741,382
Epiroc
AB,
Class
A
81,303
1,738,979
EQT
AB
33,291
1,298,293
Evolution
AB
(a)
19,648
1,998,876
Getinge
AB,
Class
B
3,681
146,647
Hexagon
AB,
Class
B
113,687
1,592,846
Industrivarden
AB,
Class
C
12,402
345,692
Investment
AB
Latour
,
Class
B
43,535
1,382,111
Investor
AB,
Class
B
163,308
3,548,395
L
E
Lundbergforetagen
AB,
Class
B
4,698
238,435
Nibe
Industrier
AB,
Class
B
214,016
2,372,273
Sagax
AB,
Class
B
5,408
164,106
Sandvik
AB
40,654
863,606
Skandinaviska
Enskilda
Banken
AB,
Class
A
77,593
838,846
Svenska
Cellulosa
AB
SCA,
Class
B
66,697
1,295,101
Swedish
Match
AB
126,660
952,488
Volvo
AB,
Class
B
43,965
820,182
23,659,684
—
Switzerland
-
8.8%
ABB
Ltd.
(Registered)
110,239
3,576,232
Chocoladefabriken
Lindt
&
Spruengli
AG
76
904,546
Cie
Financiere
Richemont
SA
(Registered)
26,567
3,367,497
EMS-
Chemie
Holding
AG
(Registered)
1,114
1,082,590
Geberit
AG
(Registered)
2,521
1,554,087
Givaudan
SA
(Registered)
461
1,905,284
Kuehne
+
Nagel
International
AG
(Registered)
5,019
1,425,040
Lonza
Group
AG
(Registered)
4,266
3,091,160
45
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
8.8%
(continued)
Nestle
SA
(Registered)
132,888
17,277,921
Partners
Group
Holding
AG
2,044
2,530,886
Sika
AG
(Registered)
11,474
3,796,217
Sonova
Holding
AG
(Registered)
1,766
737,726
Straumann
Holding
AG
(Registered)
869
1,387,521
Swisscom
AG
(Registered)
245
147,198
UBS
Group
AG
(Registered)
95,625
1,868,638
Zurich
Insurance
Group
AG
851
420,309
45,072,852
—
United
Kingdom
-
7.9%
3i
Group
plc
19,474
352,136
Admiral
Group
plc
14,798
496,248
Ashtead
Group
plc
36,527
2,299,901
AstraZeneca
plc
11,244
1,491,101
Auto
Trader
Group
plc
(a)
29,518
243,679
Aviva
plc
113,387
670,901
BP
plc
428,863
2,102,450
British
American
Tobacco
plc
95,319
4,003,134
BT
Group
plc
319,422
761,601
Bunzl
plc
17,175
666,065
CNH
Industrial
NV
38,386
604,610
Compass
Group
plc
19,750
425,022
Croda
International
plc
6,531
671,855
Diageo
plc
128,754
6,530,993
Experian
plc
5,258
202,568
HSBC
Holdings
plc
489,905
3,346,329
Imperial
Brands
plc
44,099
928,934
Intertek
Group
plc
3,758
256,362
JD
Sports
Fashion
plc
202,530
390,258
National
Grid
plc
260,687
4,006,296
NatWest
Group
plc
662,406
1,870,859
Persimmon
plc
4,833
135,524
RELX
plc
14,899
463,623
Rentokil
Initial
plc
57,001
392,650
Severn
Trent
plc
55,811
2,249,422
Spirax-Sarco
Engineering
plc
3,450
564,009
SSE
plc
23,902
546,138
Tesco
plc
480,955
1,741,204
United
Utilities
Group
plc
107,382
1,581,255
WPP
plc
39,597
518,249
40,513,376
—
United
States
-
1.7%
Ferguson
plc
7,344
994,964
GlaxoSmithKline
plc
90,884
1,966,453
Jackson
Financial,
Inc.,
Class
A
(1)
223
9,863
Schneider
Electric
SE
19,529
3,278,732
Swiss
Re
AG
3,235
307,952
Tenaris
SA
137,343
2,063,040
8,621,004
—
Zambia
-
0.6%
First
Quantum
Minerals
Ltd.
(1)
93,183
3,225,981
TOTAL
COMMON
STOCKS
(Cost
$334,907,936)
486,946,636
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
3.6%
INVESTMENT
COMPANIES
-
3.6%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(c)
(Cost
$18,438,529)
18,448,156
18,438,932
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.0%
(Cost
$353,346,465)
505,385,568
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.0%
(d)
5,223,744
NET
ASSETS
-
100.0%
510,609,312
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
7,880,352
1.6
%
Consumer
Discretionary
50,567,087
9.9
Consumer
Staples
43,855,196
8.6
Energy
36,919,010
7.2
Financials
112,028,478
21.9
Health
Care
34,794,794
6.8
Industrials
79,974,650
15.7
Information
Technology
49,725,641
9.7
Materials
43,770,228
8.6
Real
Estate
7,611,454
1.5
Utilities
19,819,746
3.9
Short-Term
Investments
18,438,932
3.6
Total
Investments
In
Securities
At
Value
505,385,568
99.0
Other
Assets
in
Excess
of
Liabilities
(d
)
5,223,744
1.0
Net
Assets
$
510,609,312
100.0%
46
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$8,679,213,
which
represents
approximately
1.70%
of
net
assets
of
the
fund.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
187
6/2022
USD
$
20,050,140
$
726,633
$
726,633
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
166,211
$
166,211
47
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.1%
Aerospace
&
Defense
-
0.1%
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
124,439
6,083,823
Air
Freight
&
Logistics
-
1.6%
CH
Robinson
Worldwide,
Inc.
328,540
35,387,043
Expeditors
International
of
Washington,
Inc.
407,544
42,042,239
United
Parcel
Service,
Inc.,
Class
B
11,795
2,529,556
79,958,838
Auto
Components
-
0.4%
Aptiv
plc
*
162,392
19,439,946
Banks
-
3.6%
Bank
of
America
Corp.
486,464
20,052,046
Bank
of
Hawaii
Corp.
24,291
2,038,501
Commerce
Bancshares,
Inc.
38,774
2,775,831
Cullen/Frost
Bankers,
Inc.
14,776
2,045,146
East
West
Bancorp,
Inc.
336,616
26,599,396
First
Citizens
BancShares
,
Inc.,
Class
A
3,251
2,163,866
First
Hawaiian,
Inc.
59,619
1,662,774
JPMorgan
Chase
&
Co.
251,958
34,346,915
PacWest
Bancorp
63,528
2,739,963
Popular,
Inc.
23,392
1,912,062
Prosperity
Bancshares,
Inc.
22,972
1,593,797
Signature
Bank
55,068
16,161,907
SVB
Financial
Group
*
112,392
62,877,704
Wells
Fargo
&
Co.
27,401
1,327,852
Western
Alliance
Bancorp
58,080
4,810,186
183,107,946
Beverages
-
3.6%
Brown-Forman
Corp.,
Class
B
28,757
1,927,294
Coca-Cola
Co.
(The)
1,051,532
65,194,984
Monster
Beverage
Corp.
*
526,090
42,034,591
PepsiCo,
Inc.
431,776
72,270,667
181,427,536
Biotechnology
-
1.3%
AbbVie,
Inc.
29,913
4,849,196
Amgen,
Inc.
41,330
9,994,420
Horizon
Therapeutics
plc
*
31,970
3,363,564
Regeneron
Pharmaceuticals,
Inc.
*
26,266
18,344,700
United
Therapeutics
Corp.
*
17,860
3,204,263
Vertex
Pharmaceuticals,
Inc.
*
93,688
24,449,757
64,205,900
Capital
Markets
-
4.2%
BlackRock,
Inc.
88,731
67,805,568
Charles
Schwab
Corp.
(The)
321,559
27,110,639
CME
Group,
Inc.
143,628
34,163,356
Intercontinental
Exchange,
Inc.
287,999
38,050,428
LPL
Financial
Holdings,
Inc.
38,514
7,035,738
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
4.2%
(continued)
Northern
Trust
Corp.
19,462
2,266,350
S&P
Global,
Inc.
5,457
2,238,352
SEI
Investments
Co.
28,634
1,724,053
T.
Rowe
Price
Group,
Inc.
190,058
28,734,869
209,129,353
Chemicals
-
2.8%
Air
Products
and
Chemicals,
Inc.
114,815
28,693,417
CF
Industries
Holdings,
Inc.
58,194
5,997,474
Corteva
,
Inc.
233,910
13,445,147
Ecolab,
Inc.
154,093
27,206,660
Mosaic
Co.
(The)
56,487
3,756,385
NewMarket
Corp.
4,257
1,380,886
Olin
Corp.
29,890
1,562,649
PPG
Industries,
Inc.
121,179
15,882,931
Sherwin-Williams
Co.
(The)
168,630
42,093,421
140,018,970
Commercial
Services
&
Supplies
-
1.4%
Cintas
Corp.
43,038
18,307,935
Copart
,
Inc.
*
38,099
4,780,282
Republic
Services,
Inc.
142,026
18,818,445
Rollins,
Inc.
100,865
3,535,318
Waste
Management,
Inc.
169,149
26,810,116
72,252,096
Communications
Equipment
-
0.3%
Cisco
Systems,
Inc.
197,652
11,021,076
Ubiquiti,
Inc.
(a)
10,244
2,982,643
14,003,719
Construction
&
Engineering
-
0.1%
MasTec
,
Inc.
*
25,215
2,196,227
MDU
Resources
Group,
Inc.
74,560
1,987,024
4,183,251
Consumer
Finance
-
0.1%
Credit
Acceptance
Corp.
*(a)
5,809
3,197,099
Containers
&
Packaging
-
0.1%
AptarGroup,
Inc.
13,817
1,623,498
Packaging
Corp.
of
America
19,973
3,117,985
4,741,483
Distributors
-
0.1%
Pool
Corp.
7,011
2,964,601
Diversified
Telecommunication
Services
-
0.2%
Verizon
Communications,
Inc.
165,040
8,407,138
Electric
Utilities
-
3.1%
Alliant
Energy
Corp.
64,297
4,017,277
American
Electric
Power
Co.,
Inc.
58,682
5,854,703
Duke
Energy
Corp.
353,786
39,503,745
Evergy
,
Inc.
39,221
2,680,363
Eversource
Energy
20,643
1,820,506
Exelon
Corp.
40,444
1,926,348
48
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electric
Utilities
-
3.1%
(continued)
IDACORP,
Inc.
51,492
5,940,117
NextEra
Energy,
Inc.
810,792
68,682,190
Xcel
Energy,
Inc.
318,018
22,951,359
153,376,608
Electrical
Equipment
-
0.5%
Eaton
Corp.
plc
30,731
4,663,736
Emerson
Electric
Co.
18,193
1,783,824
Hubbell,
Inc.
10,449
1,920,213
Rockwell
Automation,
Inc.
59,943
16,785,838
25,153,611
Electronic
Equipment,
Instruments
&
Components
-
0.5%
Amphenol
Corp.,
Class
A
145,780
10,984,523
Cognex
Corp.
106,744
8,235,299
Littelfuse
,
Inc.
9,392
2,342,459
National
Instruments
Corp.
36,518
1,482,266
23,044,547
Energy
Equipment
&
Services
-
0.7%
Halliburton
Co.
558,770
21,160,620
Schlumberger
NV
386,548
15,968,298
37,128,918
Entertainment
-
0.4%
Electronic
Arts,
Inc.
33,731
4,267,309
Netflix,
Inc.
*
43,080
16,137,337
20,404,646
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.9%
Public
Storage
115,175
44,950,499
Food
&
Staples
Retailing
-
3.8%
Casey's
General
Stores,
Inc.
55,660
11,030,142
Costco
Wholesale
Corp.
126,590
72,896,852
Kroger
Co.
(The)
660,102
37,870,052
Walmart,
Inc.
470,932
70,131,193
191,928,239
Food
Products
-
4.3%
Archer-Daniels-Midland
Co.
49,290
4,448,916
Flowers
Foods,
Inc.
450,270
11,576,442
General
Mills,
Inc.
256,146
17,346,207
Hershey
Co.
(The)
328,764
71,220,145
Hormel
Foods
Corp.
708,568
36,519,595
Ingredion,
Inc.
31,009
2,702,434
J
M
Smucker
Co.
(The)
108,493
14,691,037
McCormick
&
Co.,
Inc.
(Non-Voting)
170,469
17,012,806
Mondelez
International,
Inc.,
Class
A
432,067
27,125,166
Tyson
Foods,
Inc.,
Class
A
145,842
13,071,819
215,714,567
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
38,449
4,594,271
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
3.8%
Abbott
Laboratories
463,274
54,833,110
ABIOMED,
Inc.
*
41,207
13,649,407
Align
Technology,
Inc.
*
25,808
11,252,288
Becton
Dickinson
and
Co.
56,065
14,913,290
Cooper
Cos.,
Inc.
(The)
13,293
5,551,024
Edwards
Lifesciences
Corp.
*
322,016
37,907,723
Intuitive
Surgical,
Inc.
*
49,329
14,881,573
Medtronic
plc
41,707
4,627,392
ResMed
,
Inc.
60,036
14,559,330
Stryker
Corp.
70,579
18,869,296
191,044,433
Health
Care
Providers
&
Services
-
1.7%
Anthem,
Inc.
10,042
4,932,831
Chemed
Corp.
13,128
6,649,989
Henry
Schein,
Inc.
*
45,500
3,967,145
Premier,
Inc.,
Class
A
38,461
1,368,827
UnitedHealth
Group,
Inc.
137,321
70,029,590
86,948,382
Hotels,
Restaurants
&
Leisure
-
0.9%
Booking
Holdings,
Inc.
*
781
1,834,140
Carnival
Corp.
*(a)
1,732,447
35,030,078
Royal
Caribbean
Cruises
Ltd.
*
96,060
8,047,907
44,912,125
Household
Durables
-
0.2%
Garmin
Ltd.
75,680
8,976,405
Household
Products
-
3.4%
Church
&
Dwight
Co.,
Inc.
317,078
31,511,212
Clorox
Co.
(The)
127,863
17,776,793
Colgate-Palmolive
Co.
622,361
47,193,634
Kimberly-Clark
Corp.
18,581
2,288,436
Procter
&
Gamble
Co.
(The)
456,861
69,808,361
168,578,436
Industrial
Conglomerates
-
0.6%
3M
Co.
16,559
2,465,304
Honeywell
International,
Inc.
127,725
24,852,731
Roper
Technologies,
Inc.
4,828
2,279,926
29,597,961
Insurance
-
4.9%
Alleghany
Corp.
*
3,330
2,820,510
Allstate
Corp.
(The)
217,397
30,111,658
Aon
plc,
Class
A
118,512
38,591,063
Arthur
J
Gallagher
&
Co.
96,160
16,789,536
Assurant,
Inc.
58,831
10,697,241
Brighthouse
Financial,
Inc.
*
42,825
2,212,339
Brown
&
Brown,
Inc.
75,396
5,448,869
Chubb
Ltd.
69,000
14,759,100
CNA
Financial
Corp.
37,354
1,816,151
Erie
Indemnity
Co.,
Class
A
20,859
3,673,896
Everest
Re
Group
Ltd.
23,634
7,122,815
49
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
4.9%
(continued)
Hanover
Insurance
Group,
Inc.
(The)
13,755
2,056,648
Markel
Corp.
*
2,100
3,098,004
Marsh
&
McLennan
Cos.,
Inc.
189,064
32,220,287
Mercury
General
Corp.
31,332
1,723,260
Progressive
Corp.
(The)
403,005
45,938,540
RenaissanceRe
Holdings
Ltd.
11,737
1,860,432
Travelers
Cos.,
Inc.
(The)
107,380
19,621,547
W
R
Berkley
Corp.
59,131
3,937,533
White
Mountains
Insurance
Group
Ltd.
2,292
2,604,262
247,103,691
Interactive
Media
&
Services
-
2.2%
Alphabet,
Inc.,
Class
A
*
26,569
73,897,688
Meta
Platforms,
Inc.,
Class
A
*
172,281
38,308,403
112,206,091
Internet
&
Direct
Marketing
Retail
-
1.5%
Amazon.com,
Inc.
*
23,293
75,934,015
IT
Services
-
5.5%
Accenture
plc,
Class
A
204,970
69,122,033
Akamai
Technologies,
Inc.
*
60,052
7,169,608
Amdocs
Ltd.
50,280
4,133,519
Automatic
Data
Processing,
Inc.
99,408
22,619,296
Broadridge
Financial
Solutions,
Inc.
13,087
2,037,777
EPAM
Systems,
Inc.
*
32,904
9,759,655
Euronet
Worldwide,
Inc.
*
36,929
4,806,309
Jack
Henry
&
Associates,
Inc.
28,136
5,544,199
Mastercard
,
Inc.,
Class
A
147,151
52,588,824
Paychex,
Inc.
143,944
19,644,038
PayPal
Holdings,
Inc.
*
31,701
3,666,221
Sabre
Corp.
*
476,691
5,448,578
VeriSign,
Inc.
*
16,204
3,604,742
Visa,
Inc.,
Class
A
288,501
63,980,867
274,125,666
Life
Sciences
Tools
&
Services
-
4.4%
Agilent
Technologies,
Inc.
138,944
18,386,460
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,807
1,580,987
Bio-
Techne
Corp.
24,584
10,645,855
Charles
River
Laboratories
International,
Inc.
*
15,818
4,491,837
Danaher
Corp.
181,447
53,223,849
Illumina,
Inc.
*
22,910
8,004,754
Mettler
-Toledo
International,
Inc.
*
26,122
35,870,469
PerkinElmer,
Inc.
36,498
6,367,441
Thermo
Fisher
Scientific,
Inc.
100,213
59,190,808
Waters
Corp.
*
18,651
5,789,084
West
Pharmaceutical
Services,
Inc.
40,400
16,592,684
220,144,228
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
2.2%
Caterpillar,
Inc.
92,711
20,657,865
Cummins,
Inc.
80,173
16,444,284
Donaldson
Co.,
Inc.
26,492
1,375,730
Dover
Corp.
16,880
2,648,472
Fortive
Corp.
24,093
1,467,986
IDEX
Corp.
29,273
5,612,512
Illinois
Tool
Works,
Inc.
267,122
55,935,347
Lincoln
Electric
Holdings,
Inc.
19,883
2,740,076
Toro
Co.
(The)
31,020
2,651,900
109,534,172
Media
-
0.0%
(b)
Cable
One,
Inc.
1,135
1,661,912
Metals
&
Mining
-
2.3%
Alcoa
Corp.
503,773
45,354,683
Cleveland-Cliffs,
Inc.
*
731,816
23,571,793
Newmont
Corp.
570,909
45,358,720
Royal
Gold,
Inc.
16,946
2,394,131
116,679,327
Multiline
Retail
-
1.5%
Dollar
General
Corp.
36,221
8,063,881
Target
Corp.
318,795
67,654,675
75,718,556
Multi-Utilities
-
1.8%
Ameren
Corp.
191,005
17,908,629
CMS
Energy
Corp.
44,983
3,146,111
Consolidated
Edison,
Inc.
244,269
23,127,389
DTE
Energy
Co.
85,702
11,330,661
Public
Service
Enterprise
Group,
Inc.
178,302
12,481,140
WEC
Energy
Group,
Inc.
218,954
21,853,799
89,847,729
Oil,
Gas
&
Consumable
Fuels
-
2.3%
ConocoPhillips
417,921
41,792,100
Devon
Energy
Corp.
241,164
14,260,027
EOG
Resources,
Inc.
325,738
38,837,742
Hess
Corp.
34,958
3,741,904
Marathon
Oil
Corp.
586,480
14,726,513
113,358,286
Personal
Products
-
1.1%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
203,002
55,281,505
Pharmaceuticals
-
4.3%
Bristol-Myers
Squibb
Co.
37,446
2,734,682
Eli
Lilly
&
Co.
249,228
71,371,422
Johnson
&
Johnson
389,761
69,077,342
Merck
&
Co.,
Inc.
159,893
13,119,221
Pfizer,
Inc.
312,131
16,159,022
50
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
4.3%
(continued)
Zoetis,
Inc.
218,092
41,129,970
213,591,659
Professional
Services
-
0.6%
CoStar
Group,
Inc.
*
227,850
15,177,088
FTI
Consulting,
Inc.
*
33,337
5,241,243
Robert
Half
International,
Inc.
47,014
5,368,059
Verisk
Analytics,
Inc.
32,852
7,051,025
32,837,415
Road
&
Rail
-
2.3%
AMERCO
2,366
1,412,360
JB
Hunt
Transport
Services,
Inc.
91,560
18,384,332
Landstar
System,
Inc.
113,538
17,124,937
Old
Dominion
Freight
Line,
Inc.
222,198
66,366,099
Union
Pacific
Corp.
36,731
10,035,276
113,323,004
Semiconductors
&
Semiconductor
Equipment
-
2.4%
Analog
Devices,
Inc.
25,044
4,136,768
Broadcom,
Inc.
32,808
20,658,541
Intel
Corp.
122,296
6,060,990
Lam
Research
Corp.
19,572
10,522,103
Monolithic
Power
Systems,
Inc.
15,625
7,588,750
NVIDIA
Corp.
39,014
10,645,360
Texas
Instruments,
Inc.
328,537
60,279,969
119,892,481
Software
-
4.7%
Adobe,
Inc.
*
88,961
40,532,411
ANSYS,
Inc.
*
22,982
7,300,232
Cadence
Design
Systems,
Inc.
*
142,727
23,472,882
Crowdstrike
Holdings,
Inc.,
Class
A
*
37,784
8,579,991
Dolby
Laboratories,
Inc.,
Class
A
44,313
3,466,163
Intuit,
Inc.
132,177
63,555,989
Manhattan
Associates,
Inc.
*
33,515
4,648,866
Microsoft
Corp.
239,082
73,711,371
Oracle
Corp.
61,492
5,087,233
salesforce.com,
Inc.
*
7,001
1,486,452
Synopsys,
Inc.
*
16,359
5,451,964
237,293,554
Specialty
Retail
-
2.3%
AutoZone,
Inc.
*
3,226
6,595,815
Home
Depot,
Inc.
(The)
204,253
61,139,051
Lowe's
Cos.,
Inc.
187,349
37,880,094
Williams-Sonoma,
Inc.
80,358
11,651,910
117,266,870
Technology
Hardware,
Storage
&
Peripherals
-
1.5%
Apple,
Inc.
442,662
77,293,212
INVESTMENTS
SHARES
VALUE
($)
Textiles,
Apparel
&
Luxury
Goods
-
1.5%
Lululemon
Athletica
,
Inc.
*
81,792
29,872,892
NIKE,
Inc.,
Class
B
331,073
44,549,183
74,422,075
Tobacco
-
0.8%
Altria
Group,
Inc.
253,168
13,228,028
Philip
Morris
International,
Inc.
274,627
25,798,460
39,026,488
Trading
Companies
&
Distributors
-
0.3%
Fastenal
Co.
80,827
4,801,124
WW
Grainger,
Inc.
17,520
9,036,641
13,837,765
Water
Utilities
-
0.2%
American
Water
Works
Co.,
Inc.
58,709
9,718,101
Essential
Utilities,
Inc.
59,677
3,051,285
12,769,386
Wireless
Telecommunication
Services
-
0.7%
T-Mobile
US,
Inc.
*
287,252
36,868,794
TOTAL
COMMON
STOCKS
(Cost
$2,735,825,612)
4,819,493,228
SHORT-TERM
INVESTMENTS
-
3.9%
INVESTMENT
COMPANIES
-
3.9%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(c)
(Cost
$196,405,792)
196,504,288
196,406,035
SECURITIES
LENDING
COLLATERAL
-
0.4%
Investment
Companies
-
0.4%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.21%
(c)(d)
15,832,309
15,832,309
Limited
Purpose
Cash
Investment
Fund
0.18%
(c)(d)
4,214,328
4,212,221
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$20,046,637)
20,044,530
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.4%
(Cost
$2,952,278,041)
5,035,943,793
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.4)%
(e)
(18,514,480)
NET
ASSETS
-
100.0%
5,017,429,313
51
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
179,548,582
3.6
%
Consumer
Discretionary
419,634,593
8.4
Consumer
Staples
851,956,770
17.0
Energy
150,487,204
3.0
Financials
642,538,090
12.8
Health
Care
775,934,602
15.5
Industrials
486,761,935
9.7
Information
Technology
745,653,179
14.8
Materials
261,439,780
5.2
Real
Estate
44,950,499
0.9
Utilities
260,587,994
5.2
Short-Term
Investments
196,406,035
3.9
Securities
Lending
Collateral
20,044,530
0.4
Total
Investments
In
Securities
At
Value
5,035,943,793
100.4
Liabilities
in
Excess
of
Other
Assets
(e)
(18,514,480)
(0.4)
Net
Assets
$
5,017,429,313
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
March
31,
2022.
The
total
value
of
securities
on
loan
at
March
31,
2022
was
$19,506,300.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(e)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
777
6/2022
USD
$
176,019,638
$
8,664,525
$
8,664,525
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
(943,069)
$
(943,069)
52
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.2%
Australia
-
8.6%
Aristocrat
Leisure
Ltd.
6,750
183,209
Cochlear
Ltd.
6,115
1,020,967
CSL
Ltd.
11,635
2,322,841
Evolution
Mining
Ltd.
105,958
349,715
Fortescue
Metals
Group
Ltd.
54,510
837,919
Glencore
plc
*
335,518
2,183,118
Newcrest
Mining
Ltd.
104,784
2,117,411
QBE
Insurance
Group
Ltd.
31,119
266,855
REA
Group
Ltd.
14,708
1,474,468
Rio
Tinto
plc
5,572
445,462
Sonic
Healthcare
Ltd.
50,988
1,346,197
South32
Ltd.
186,621
709,399
Telstra
Corp.
Ltd.
1,209,438
3,573,235
Treasury
Wine
Estates
Ltd.
180,326
1,557,663
Washington
H
Soul
Pattinson
&
Co.
Ltd.
26,419
563,499
Wesfarmers
Ltd.
54,824
2,057,248
Woolworths
Group
Ltd.
101,929
2,830,041
23,839,247
—
Austria
-
0.2%
Mondi
plc
24,674
479,610
Belgium
-
1.9%
Ageas
SA/NV
4,538
229,411
Etablissements
Franz
Colruyt
NV
23,615
977,528
Groupe
Bruxelles
Lambert
SA
6,816
705,295
KBC
Group
NV
39,423
2,828,569
Proximus
SADP
15,972
297,421
UCB
SA
1,727
206,544
5,244,768
—
Brazil
-
0.4%
Wheaton
Precious
Metals
Corp.
(1)
6,003
285,468
Yara
International
ASA
15,382
769,232
1,054,700
—
Canada
-
11.4%
Bank
of
Montreal
(1)
1,972
232,053
Bank
of
Nova
Scotia
(The)
(1)
11,152
799,279
BCE,
Inc.
(1)
42,753
2,369,942
Canadian
Imperial
Bank
of
Commerce
(1)
19,115
2,320,283
Canadian
National
Railway
Co.
(1)
8,138
1,091,663
Canadian
Pacific
Railway
Ltd.
(1)
12,615
1,041,168
Canadian
Utilities
Ltd.,
Class
A
(1)
21,854
669,876
CGI,
Inc.
(1)*
8,386
668,049
Constellation
Software,
Inc.
(1)
965
1,649,566
Emera
,
Inc.
(1)
14,915
739,337
Fortis,
Inc.
(1)
36,326
1,796,614
Franco-Nevada
Corp.
(1)
11,897
1,893,204
George
Weston
Ltd.
(1)
1,315
161,936
Hydro
One
Ltd.
(1)(a)
106,210
2,861,379
Imperial
Oil
Ltd.
(1)
5,704
276,040
Intact
Financial
Corp.
(1)
11,764
1,738,228
Loblaw
Cos.
Ltd.
(1)
42,867
3,846,595
Magna
International,
Inc.
(1)
10,855
696,894
Manulife
Financial
Corp.
(1)
6,431
137,144
Metro,
Inc.
(1)
32,581
1,875,398
INVESTMENTS
SHARES
VALUE
($)
Canada
-
11.4%
(continued)
Rogers
Communications,
Inc.,
Class
B
(1)
9,625
544,787
Royal
Bank
of
Canada
(1)
12,411
1,366,436
Sun
Life
Financial,
Inc.
(1)
4,802
268,112
Teck
Resources
Ltd.,
Class
B
(1)
19,804
799,669
Thomson
Reuters
Corp.
(1)
4,998
542,638
Toromont
Industries
Ltd.
(1)
2,069
196,134
Toronto-Dominion
Bank
(The)
(1)
14,183
1,125,314
31,707,738
—
Chile
-
0.5%
Antofagasta
plc
67,222
1,460,662
China
-
0.7%
BOC
Hong
Kong
Holdings
Ltd.
330,000
1,241,720
Chow
Tai
Fook
Jewellery
Group
Ltd.
*
127,200
229,737
Wilmar
International
Ltd.
155,300
537,839
2,009,296
—
Denmark
-
2.5%
Carlsberg
A/S,
Class
B
1,027
126,076
Coloplast
A/S,
Class
B
16,045
2,429,831
DSV
A/S
1,792
343,447
Novo
Nordisk
A/S,
Class
B
30,756
3,411,336
Novozymes
A/S,
Class
B
2,173
148,990
Pandora
A/S
3,271
311,610
6,771,290
—
Finland
-
1.7%
Elisa
OYJ
11,296
681,225
Fortum
OYJ
8,088
147,825
Kesko
OYJ,
Class
B
2,956
81,616
Kone
OYJ,
Class
B
11,971
626,444
Neste
OYJ
21,566
983,262
Nokia
OYJ
*
79,412
437,324
Orion
OYJ,
Class
B
31,477
1,429,585
UPM-
Kymmene
OYJ
10,003
326,648
4,713,929
—
France
-
5.9%
Air
Liquide
SA
7,557
1,322,051
Arkema
SA
2,272
271,595
AXA
SA
3,031
88,731
Bouygues
SA
5,251
183,281
Cie
Generale
des
Etablissements
Michelin
SCA
679
92,015
Danone
SA
9,242
510,556
Dassault
Systemes
SE
20,125
988,714
Electricite
de
France
SA
40,010
375,542
Engie
SA
45,243
594,810
Hermes
International
1,584
2,241,910
Ipsen
SA
4,087
511,589
La
Francaise
des
Jeux
SAEM
(a)
2,132
84,582
L'Oreal
SA
9,056
3,617,376
Pernod
Ricard
SA
3,684
809,416
Remy
Cointreau
SA
3,386
698,285
Sanofi
6,859
701,262
Societe
Generale
SA
35,154
942,386
TotalEnergies
SE
25,448
1,287,658
Valeo
25,475
470,548
53
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
5.9%
(continued)
Worldline
SA
*(a)
7,255
314,868
16,107,175
—
Germany
-
5.4%
Allianz
SE
(Registered)
1,648
393,556
Beiersdorf
AG
20,602
2,164,321
Commerzbank
AG
*
13,230
100,534
Continental
AG
*
24,175
1,733,015
Deutsche
Bank
AG
(Registered)
*
253,280
3,189,857
Evonik
Industries
AG
4,769
132,304
Fresenius
Medical
Care
AG
&
Co.
KGaA
14,035
940,497
FUCHS
PETROLUB
SE
(Preference)
14,315
519,369
Hannover
Rueck
SE
1,051
178,542
Henkel
AG
&
Co.
KGaA
(Preference)
13,620
911,611
Infineon
Technologies
AG
6,057
204,909
SAP
SE
12,082
1,339,026
Scout24
SE
(a)
1,507
85,917
Siemens
Healthineers
AG
(a)
18,124
1,123,159
Telefonica
Deutschland
Holding
AG
343,791
935,041
Uniper
SE
32,124
829,898
14,781,556
—
Hong
Kong
-
3.5%
AIA
Group
Ltd.
58,400
609,806
CLP
Holdings
Ltd.
244,500
2,378,960
Hang
Seng
Bank
Ltd.
15,900
305,801
HK
Electric
Investments
&
HK
Electric
Investments
Ltd.
(b)
1,183,500
1,155,806
Hong
Kong
&
China
Gas
Co.
Ltd.
1,062,487
1,283,400
MTR
Corp.
Ltd.
149,500
805,097
Power
Assets
Holdings
Ltd.
459,000
2,991,325
9,530,195
—
Italy
-
1.1%
Assicurazioni
Generali
SpA
13,836
316,459
Coca-Cola
HBC
AG
*
28,120
586,469
Davide
Campari-Milano
NV
54,836
636,047
DiaSorin
SpA
1,963
306,607
Enel
SpA
84,730
565,721
FinecoBank
Banca
Fineco
SpA
33,219
503,935
2,915,238
—
Japan
-
25.7%
Ajinomoto
Co.,
Inc.
16,800
476,831
Asahi
Group
Holdings
Ltd.
3,700
134,756
Astellas
Pharma,
Inc.
91,100
1,423,428
Bandai
Namco
Holdings,
Inc.
13,200
1,000,949
Bridgestone
Corp.
17,600
683,158
Canon,
Inc.
59,500
1,450,253
Capcom
Co.
Ltd.
20,900
506,706
Chiba
Bank
Ltd.
(The)
15,300
89,960
Chugai
Pharmaceutical
Co.
Ltd.
23,400
780,821
Concordia
Financial
Group
Ltd.
63,300
235,581
Cosmos
Pharmaceutical
Corp.
4,500
545,394
CyberAgent
,
Inc.
6,300
77,960
Dentsu
Group,
Inc.
20,000
817,327
Disco
Corp.
1,600
447,420
INVESTMENTS
SHARES
VALUE
($)
Japan
-
25.7%
(continued)
Fast
Retailing
Co.
Ltd.
200
102,531
FUJIFILM
Holdings
Corp.
20,000
1,220,799
Fujitsu
Ltd.
11,400
1,708,013
Hakuhodo
DY
Holdings,
Inc.
16,400
205,869
Hamamatsu
Photonics
KK
10,300
547,062
Hino
Motors
Ltd.
12,800
74,827
Hoya
Corp.
23,000
2,621,031
Iida
Group
Holdings
Co.
Ltd.
10,800
186,202
ITOCHU
Corp.
22,500
761,084
Japan
Post
Bank
Co.
Ltd.
154,200
1,238,347
Japan
Tobacco,
Inc.
116,600
1,991,246
Kakaku.com,
Inc.
41,700
931,276
Kansai
Paint
Co.
Ltd.
12,200
195,859
Kao
Corp.
6,000
244,984
KDDI
Corp.
102,600
3,363,909
Keyence
Corp.
2,500
1,159,257
Kikkoman
Corp.
19,000
1,258,491
Kirin
Holdings
Co.
Ltd.
8,900
132,936
Kobayashi
Pharmaceutical
Co.
Ltd.
5,700
456,701
Koei
Tecmo
Holdings
Co.
Ltd.
19,700
646,018
Koito
Manufacturing
Co.
Ltd.
34,600
1,400,247
Komatsu
Ltd.
13,100
314,734
Konami
Holdings
Corp.
1,700
107,227
Kose
Corp.
1,800
188,326
Kubota
Corp.
8,500
159,326
Kyocera
Corp.
11,800
660,321
Kyowa
Kirin
Co.
Ltd.
51,800
1,205,071
Lawson,
Inc.
2,700
103,356
Lion
Corp.
10,700
119,253
Makita
Corp.
2,400
76,792
McDonald's
Holdings
Co.
Japan
Ltd.
9,900
411,699
Medipal
Holdings
Corp.
96,300
1,584,535
MEIJI
Holdings
Co.
Ltd.
5,000
271,160
MISUMI
Group,
Inc.
9,200
273,892
Mitsubishi
Electric
Corp.
10,200
116,982
Mitsui
&
Co.
Ltd.
7,900
214,447
Murata
Manufacturing
Co.
Ltd.
1,500
98,809
Nexon
Co.
Ltd.
57,100
1,366,045
Nintendo
Co.
Ltd.
2,300
1,160,953
Nippon
Telegraph
&
Telephone
Corp.
101,900
2,960,593
Nissan
Chemical
Corp.
5,200
305,020
Nisshin
Seifun
Group,
Inc.
41,800
583,165
Nissin
Foods
Holdings
Co.
Ltd.
7,100
497,818
Nitori
Holdings
Co.
Ltd.
4,900
616,483
Nitto
Denko
Corp.
11,100
795,738
Nomura
Research
Institute
Ltd.
27,461
895,978
NTT
Data
Corp.
33,000
648,525
Obic
Co.
Ltd.
3,700
554,175
Omron
Corp.
12,600
838,512
Ono
Pharmaceutical
Co.
Ltd.
5,900
147,886
Oracle
Corp.
Japan
6,600
457,360
Osaka
Gas
Co.
Ltd.
68,800
1,178,969
Otsuka
Corp.
12,900
457,387
Otsuka
Holdings
Co.
Ltd.
21,900
756,597
Pola
Orbis
Holdings,
Inc.
24,300
316,411
Recruit
Holdings
Co.
Ltd.
13,300
577,846
Renesas
Electronics
Corp.
*
72,700
842,373
Rinnai
Corp.
11,800
882,685
54
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
25.7%
(continued)
Rohm
Co.
Ltd.
1,100
85,404
Ryohin
Keikaku
Co.
Ltd.
7,000
81,195
SCSK
Corp.
4,500
76,953
Secom
Co.
Ltd.
7,800
564,267
Seven
&
i
Holdings
Co.
Ltd.
31,600
1,506,600
Shin-Etsu
Chemical
Co.
Ltd.
600
91,160
Shionogi
&
Co.
Ltd.
14,300
878,640
Shizuoka
Bank
Ltd.
(The)
124,400
873,103
SMC
Corp.
500
279,497
SoftBank
Corp.
154,200
1,798,452
Square
Enix
Holdings
Co.
Ltd.
3,800
168,335
Sumitomo
Metal
Mining
Co.
Ltd.
2,400
121,593
Sumitomo
Pharma
Co.
Ltd.
7,400
73,007
Suntory
Beverage
&
Food
Ltd.
51,100
1,947,685
Suzuki
Motor
Corp.
2,300
78,821
Sysmex
Corp.
10,700
774,974
T&D
Holdings,
Inc.
193,400
2,625,982
Taisho
Pharmaceutical
Holdings
Co.
Ltd.
4,900
227,466
TIS,
Inc.
29,700
695,057
Tokio
Marine
Holdings,
Inc.
3,500
203,676
Tokyo
Century
Corp.
2,100
76,988
Tokyo
Electron
Ltd.
500
256,781
Toyo
Suisan
Kaisha
Ltd.
38,200
1,366,878
Toyota
Motor
Corp.
19,000
342,722
Trend
Micro,
Inc.
16,500
963,569
Tsuruha
Holdings,
Inc.
3,800
241,293
Unicharm
Corp.
31,500
1,131,665
USS
Co.
Ltd.
24,500
411,690
Yakult
Honsha
Co.
Ltd.
20,300
1,082,881
70,890,016
—
Netherlands
-
1.6%
Adyen
NV
*(a)
62
122,803
Akzo
Nobel
NV
3,253
279,505
ASML
Holding
NV
2,274
1,519,537
Koninklijke
Ahold
Delhaize
NV
41,543
1,336,252
NN
Group
NV
10,157
514,744
Randstad
NV
9,566
575,442
4,348,283
—
Norway
-
1.8%
Gjensidige
Forsikring
ASA
35,239
873,829
Mowi
ASA
31,189
840,104
Norsk
Hydro
ASA
118,225
1,148,660
Orkla
ASA
138,354
1,229,206
Telenor
ASA
57,880
830,551
4,922,350
—
Portugal
-
0.2%
Jeronimo
Martins
SGPS
SA
23,093
554,000
Singapore
-
3.3%
DBS
Group
Holdings
Ltd.
76,300
1,999,230
Oversea-Chinese
Banking
Corp.
Ltd.
313,200
2,841,305
Singapore
Telecommunications
Ltd.
504,500
979,613
United
Overseas
Bank
Ltd.
112,200
2,625,255
Venture
Corp.
Ltd.
47,200
608,269
9,053,672
—
INVESTMENTS
SHARES
VALUE
($)
South
Africa
-
0.6%
Anglo
American
plc
30,199
1,569,212
Spain
-
1.4%
Banco
Bilbao
Vizcaya
Argentaria
SA
280,559
1,601,973
CaixaBank
SA
283,777
962,538
Endesa
SA
8,628
188,122
Iberdrola
SA
72,838
796,118
Red
Electrica
Corp.
SA
14,244
292,444
3,841,195
—
Sweden
-
3.0%
Atlas
Copco
AB,
Class
A
8,423
437,204
Boliden
AB
13,553
683,684
Essity
AB,
Class
B
57,317
1,352,626
Industrivarden
AB,
Class
A
30,809
873,770
Investor
AB,
Class
B
82,857
1,800,336
L
E
Lundbergforetagen
AB,
Class
B
10,068
510,975
Sandvik
AB
10,329
219,417
Securitas
AB,
Class
B
28,881
325,816
SKF
AB,
Class
B
14,446
235,556
Svenska
Cellulosa
AB
SCA,
Class
B
9,174
178,138
Swedish
Match
AB
104,080
782,685
Tele2
AB,
Class
B
22,824
345,003
Volvo
AB,
Class
B
23,056
430,118
8,175,328
—
Switzerland
-
6.5%
Barry
Callebaut
AG
(Registered)
152
356,357
Chocoladefabriken
Lindt
&
Spruengli
AG
93
1,106,878
EMS-
Chemie
Holding
AG
(Registered)
677
657,912
Geberit
AG
(Registered)
569
350,764
Kuehne
+
Nagel
International
AG
(Registered)
4,123
1,170,640
Nestle
SA
(Registered)
29,022
3,773,401
Novartis
AG
(Registered)
10,651
935,068
Partners
Group
Holding
AG
671
830,834
Roche
Holding
AG
6,493
2,569,032
Schindler
Holding
AG
2,206
472,680
SGS
SA
(Registered)
50
139,007
Sika
AG
(Registered)
1,671
552,857
Sonova
Holding
AG
(Registered)
3,148
1,315,040
Straumann
Holding
AG
(Registered)
251
400,769
Swisscom
AG
(Registered)
4,769
2,865,245
Zurich
Insurance
Group
AG
603
297,822
17,794,306
—
United
Kingdom
-
5.8%
Admiral
Group
plc
43,723
1,466,242
Ashtead
Group
plc
2,439
153,570
Associated
British
Foods
plc
4,968
107,921
AstraZeneca
plc
12,923
1,713,758
Auto
Trader
Group
plc
(a)
192,799
1,591,610
Aviva
plc
105,018
621,382
BP
plc
71,916
352,560
British
American
Tobacco
plc
12,360
519,086
Diageo
plc
61,975
3,143,655
55
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
5.8%
(continued)
Hargreaves
Lansdown
plc
6,678
88,022
Intertek
Group
plc
1,716
117,062
J
Sainsbury
plc
230,061
761,453
Kingfisher
plc
108,365
361,684
National
Grid
plc
71,175
1,093,833
Next
plc
5,272
414,646
Persimmon
plc
19,831
556,089
Reckitt
Benckiser
Group
plc
5,551
423,463
Sage
Group
plc
(The)
125,322
1,148,287
Smith
&
Nephew
plc
27,031
429,925
Tesco
plc
69,105
250,181
Unilever
plc
11,413
518,182
15,832,611
—
United
States
-
0.5%
Ferguson
plc
3,146
426,221
GlaxoSmithKline
plc
17,766
384,402
QIAGEN
NV
*
7,200
353,303
Stellantis
NV
19,524
316,083
1,480,009
—
TOTAL
COMMON
STOCKS
(Cost
$215,656,861)
259,076,386
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.7%
INVESTMENT
COMPANIES
-
4.7%
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(c)
(Cost
$13,034,206)
13,041,135
13,034,614
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.9%
(Cost
$228,691,067)
272,111,000
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.1%
(d)
2,894,593
NET
ASSETS
-
100.0%
275,005,593
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
30,684,729
11.1
%
Consumer
Discretionary
15,947,652
5.8
Consumer
Staples
53,582,055
19.5
Energy
3,463,019
1.3
Financials
43,140,201
15.7
Health
Care
34,325,170
12.5
Industrials
13,297,061
4.8
Information
Technology
23,065,357
8.4
Materials
21,631,164
7.9
Utilities
19,939,978
7.2
Short-Term
Investments
13,034,614
4.7
Total
Investments
In
Securities
At
Value
272,111,000
98.9
Other
Assets
in
Excess
of
Liabilities
(d)
2,894,593
1.1
Net
Assets
$
275,005,593
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$6,184,318,
which
represents
approximately
2.25%
of
net
assets
of
the
fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
March
31,
2022,
the
value
of
these
securities
amounted
to
$1,155,806
or
0.42%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
116
6/2022
USD
$
12,437,520
$
533,574
$
533,574
56
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
(48,219)
$
(48,219)
57
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
86.7%
Australia
-
2.1%
ASX
Ltd.
(2)
891
54,200
Aurizon
Holdings
Ltd.
(2)
234,956
645,811
BHP
Group
Ltd.
(2)
25,052
965,692
BHP
Group
Ltd.
14,646
567,956
BlueScope
Steel
Ltd.
(2)
47,681
741,444
Dexus
,
REIT
(2)
14,068
114,832
Goodman
Group,
REIT
(2)
25,367
431,151
GPT
Group
(The),
REIT
(2)
42,925
165,575
Lendlease
Corp.
Ltd.
(2)
2,927
24,399
Mirvac
Group,
REIT
(2)
95,677
177,410
Rio
Tinto
plc
(2)
31,723
2,536,145
Scentre
Group,
REIT
(2)
90,560
205,902
South32
Ltd.
(2)
84,178
319,984
Stockland,
REIT
(2)
49,658
157,366
Suncorp
Group
Ltd.
(2)
11,259
93,334
Vicinity
Centres
,
REIT
(2)
97,628
135,474
7,336,675
—
Belgium
-
0.1%
Ageas
SA/NV
(2)
1,861
94,080
Proximus
SADP
(2)
16,114
300,065
394,145
—
Canada
-
4.0%
Barrick
Gold
Corp.
20,528
503,450
Canadian
Natural
Resources
Ltd.
13,939
863,111
Enbridge,
Inc.
6,594
303,551
Fairfax
Financial
Holdings
Ltd.
2,318
1,264,605
Great-West
Lifeco
,
Inc.
1,345
39,635
Imperial
Oil
Ltd.
9,438
456,744
Kinross
Gold
Corp.
424,236
2,490,815
Manulife
Financial
Corp.
14,631
312,013
Onex
Corp.
18,206
1,220,093
Open
Text
Corp.
5,900
250,177
Power
Corp.
of
Canada
7,139
220,997
RioCan
,
REIT
11,451
231,099
Ritchie
Bros
Auctioneers,
Inc.
6,539
386,225
Suncor
Energy,
Inc.
123,977
4,036,207
TC
Energy
Corp.
1,689
95,262
Thomson
Reuters
Corp.
3,137
340,587
West
Fraser
Timber
Co.
Ltd.
3,102
255,227
Yamana
Gold,
Inc.
75,628
422,256
13,692,054
—
Chile
-
0.1%
Lundin
Mining
Corp.
18,536
187,858
Denmark
-
0.8%
AP
Moller
-
Maersk
A/S,
Class
B
(2)
851
2,557,224
Danske
Bank
A/S
(2)
5,712
95,020
Novo
Nordisk
A/S,
Class
B
(2)
1,049
116,351
2,768,595
—
Finland
-
0.1%
Kesko
OYJ,
Class
B
(2)
2,994
82,665
Kone
OYJ,
Class
B
(2)
4,872
254,952
337,617
—
INVESTMENTS
SHARES
VALUE
($)
France
-
2.1%
BNP
Paribas
SA
(2)
9,012
514,988
Carrefour
SA
(2)
139,940
3,045,384
Cie
de
Saint-Gobain
(2)
18,387
1,094,034
CNP
Assurances
(2)
9,698
233,474
Electricite
de
France
SA
(2)
56,583
531,099
Ipsen
SA
(2)
2,986
373,772
Orange
SA
(2)
41,705
493,841
Publicis
Groupe
SA
(2)
2,469
149,853
SEB
SA
(2)
1,501
209,331
Societe
Generale
SA
(2)
5,908
158,378
Unibail
-
Rodamco
-Westfield,
REIT
(2)*
3,473
260,153
7,064,307
—
Germany
-
1.5%
Bayerische
Motoren
Werke
AG
(2)
4,695
405,731
Commerzbank
AG
(2)*
19,998
151,963
Deutsche
Bank
AG
(Registered)
(2)*
68,780
866,229
Deutsche
Post
AG
(Registered)
(2)
63,223
3,019,017
Fresenius
SE
&
Co.
KGaA
(2)
1,365
50,118
Merck
KGaA
(2)
2,424
506,215
Porsche
Automobil
Holding
SE
(Preference)
(2)
865
83,208
5,082,481
—
Hong
Kong
-
0.2%
CK
Infrastructure
Holdings
Ltd.
(2)
2,749
18,377
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
5,269
246,976
Link,
REIT
(2)
18,329
156,094
WH
Group
Ltd.
(2)(a)
371,000
232,971
654,418
—
Italy
-
0.6%
Enel
SpA
(2)
14,551
97,153
Eni
SpA
(2)
128,186
1,869,366
Telecom
Italia
SpA
(2)
307,873
113,029
2,079,548
—
Japan
-
5.7%
Aisin
Corp.
(2)
19,000
649,375
Brother
Industries
Ltd.
(2)
22,100
401,898
Chubu
Electric
Power
Co.,
Inc.
(2)
20,200
209,067
Dai-ichi
Life
Holdings,
Inc.
(2)
21,100
428,769
Daito
Trust
Construction
Co.
Ltd.
(2)
486
51,586
Daiwa
House
Industry
Co.
Ltd.
(2)
2,451
63,894
ENEOS
Holdings,
Inc.
(2)
436,900
1,633,449
Hitachi
Metals
Ltd.
(2)*
12,300
205,782
Honda
Motor
Co.
Ltd.
(2)
5,700
161,571
Hulic
Co.
Ltd.
(2)
1,500
13,457
Idemitsu
Kosan
Co.
Ltd.
(2)
17,600
485,153
Inpex
Corp.
(2)
162,700
1,912,919
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
(2)
214
180,574
Japan
Post
Holdings
Co.
Ltd.
(2)
27,700
203,436
Japan
Post
Insurance
Co.
Ltd.
(2)
37,700
656,552
Japan
Real
Estate
Investment
Corp.,
REIT
(2)
30
157,129
58
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
5.7%
(continued)
Kajima
Corp.
(2)
65,100
792,053
Marubeni
Corp.
(2)
102,200
1,186,768
Mitsubishi
Estate
Co.
Ltd.
(2)
5,764
85,829
Mitsui
Fudosan
Co.
Ltd.
(2)
4,598
98,408
Mizuho
Financial
Group,
Inc.
(2)
184,900
2,358,469
Nippon
Building
Fund,
Inc.,
REIT
(2)
21
119,129
Nippon
Steel
Corp.
(2)
42,900
756,956
Nitto
Denko
Corp.
(2)
9,100
652,362
Nomura
Holdings,
Inc.
(2)
26,600
111,873
Nomura
Real
Estate
Holdings,
Inc.
(2)
1,000
23,949
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
(2)
117
154,663
Obayashi
Corp.
(2)
125,900
924,073
Resona
Holdings,
Inc.
(2)
252,900
1,077,187
Shimizu
Corp.
(2)
29,500
177,034
Subaru
Corp.
(2)
21,100
335,131
Sumitomo
Corp.
(2)
29,700
514,364
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
4,500
142,148
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)
2,624
72,620
Taisei
Corp.
(2)
21,000
606,251
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
405,700
1,339,210
Toshiba
Corp.
(2)
9,300
353,339
Tosoh
Corp.
(2)
5,800
85,721
Toyota
Tsusho
Corp.
(2)
4,300
176,480
19,558,628
—
Luxembourg
-
0.2%
Eurofins
Scientific
SE
(2)
5,875
581,171
Netherlands
-
1.3%
ING
Groep
NV
(2)
19,668
205,352
Koninklijke
Ahold
Delhaize
NV
(2)
90,294
2,904,354
NN
Group
NV
(2)
6,490
328,905
Shell
plc
(2)
38,971
1,068,145
4,506,756
—
Russia
-
0.0%
(b)
Evraz
plc
(3)(c)
77,212
26,979
Singapore
-
0.3%
Singapore
Exchange
Ltd.
(2)
4,067
29,805
STMicroelectronics
NV
(2)
21,960
954,469
984,274
—
Spain
-
1.4%
Banco
Santander
SA
(2)
97,211
330,511
Enagas
SA
(2)
47,209
1,048,337
Endesa
SA
(2)
70,391
1,534,780
Repsol
SA
(2)
124,664
1,632,998
Telefonica
SA
(2)
91,973
445,725
4,992,351
—
Sweden
-
1.0%
Electrolux
AB,
Series
B
(2)
45,592
689,921
Husqvarna
AB,
Class
B
(2)
28,008
292,172
Investor
AB,
Class
B
(2)
8,816
191,556
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
1.0%
(continued)
Kinnevik
AB,
Class
B
(2)*
1,380
35,985
Skanska
AB,
Class
B
(2)
7,341
164,234
Svenska
Handelsbanken
AB,
Class
A
(2)
175,264
1,611,631
Swedbank
AB,
Class
A
(2)
12,071
180,288
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
26,048
237,442
3,403,229
—
Switzerland
-
1.5%
Adecco
Group
AG
(Registered)
(2)
11,559
524,334
Holcim
Ltd.
(2)*
24,036
1,169,034
Novartis
AG
(Registered)
(2)
14,239
1,250,063
Roche
Holding
AG
(2)
1,545
611,298
SGS
SA
(Registered)
(2)
51
141,787
Swiss
Life
Holding
AG
(Registered)
(2)
1,002
642,088
UBS
Group
AG
(Registered)
(2)
46,154
901,910
5,240,514
—
United
Kingdom
-
2.7%
3i
Group
plc
(2)
9,545
172,596
Aviva
plc
(2)
414,686
2,453,661
BAE
Systems
plc
(2)
11,622
109,148
BP
plc
(2)
589,009
2,887,548
CK
Hutchison
Holdings
Ltd.
(2)
248,500
1,817,134
Imperial
Brands
plc
(2)
7,109
149,749
Kingfisher
plc
(2)
30,553
101,975
Liberty
Global
plc,
Class
C
*
10,877
281,823
M&G
plc
(2)
52,094
150,100
Sage
Group
plc
(The)
(2)
41,054
376,165
Tesco
plc
(2)
23,800
86,163
Unilever
plc
(2)
13,216
600,043
Vodafone
Group
plc
(2)
146,896
240,878
9,426,983
—
United
States
-
61.0%
Accenture
plc,
Class
A
1,210
408,048
Activision
Blizzard,
Inc.
3,912
313,390
Advanced
Micro
Devices,
Inc.
*
5,079
555,338
Alleghany
Corp.
*
2,172
1,839,684
Allegion
plc
6,705
736,075
Allstate
Corp.
(The)
26,237
3,634,087
Ally
Financial,
Inc.
19,169
833,468
Alphabet,
Inc.,
Class
A
*
598
1,663,247
Alphabet,
Inc.,
Class
C
*
1,466
4,094,523
Altria
Group,
Inc.
19,623
1,025,302
Amazon.com,
Inc.
*
1,539
5,017,062
AMERCO
667
398,159
American
Tower
Corp.,
REIT
4,396
1,104,363
AmerisourceBergen
Corp.
11,227
1,736,929
AMETEK,
Inc.
1,964
261,566
Anthem,
Inc.
2,984
1,465,800
Apple,
Inc.
80,194
14,002,673
Applied
Materials,
Inc.
4,791
631,454
Arch
Capital
Group
Ltd.
*
16,903
818,443
Arrow
Electronics,
Inc.
*
17,401
2,064,281
Assurant,
Inc.
1,084
197,104
AT&T,
Inc.
35,504
838,960
AutoZone,
Inc.
*
1,149
2,349,222
59
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
61.0%
(continued)
AvalonBay
Communities,
Inc.,
REIT
811
201,428
Bath
&
Body
Works,
Inc.
23,950
1,144,810
Berkshire
Hathaway,
Inc.,
Class
B
*
6,896
2,433,667
Best
Buy
Co.,
Inc.
5,827
529,674
Biogen,
Inc.
*
4,193
883,046
Bio-Rad
Laboratories,
Inc.,
Class
A
*
1,569
883,708
BlackRock,
Inc.
1,809
1,382,384
Block,
Inc.
*
770
104,412
Booking
Holdings,
Inc.
*
422
991,046
Bristol-Myers
Squibb
Co.
22,040
1,609,581
Broadcom,
Inc.
2,692
1,695,099
Capital
One
Financial
Corp.
16,598
2,179,151
Cardinal
Health,
Inc.
16,208
918,994
CDW
Corp.
3,638
650,802
Chevron
Corp.
19,683
3,204,983
Chubb
Ltd.
16,381
3,503,896
Cigna
Corp.
5,111
1,224,647
Cintas
Corp.
1,129
480,265
Citigroup,
Inc.
31,605
1,687,707
Citizens
Financial
Group,
Inc.
4,391
199,044
Coca-Cola
Co.
(The)
21,962
1,361,644
ConocoPhillips
21,015
2,101,500
Costco
Wholesale
Corp.
3,247
1,869,785
Coterra
Energy,
Inc.
30,115
812,202
Crown
Castle
International
Corp.,
REIT
1,970
363,662
CVS
Health
Corp.
11,393
1,153,086
Dell
Technologies,
Inc.,
Class
C
*
30,943
1,553,029
Devon
Energy
Corp.
28,952
1,711,932
Digital
Realty
Trust,
Inc.,
REIT
849
120,388
DocuSign,
Inc.
*
15,683
1,679,963
Dover
Corp.
4,015
629,954
DR
Horton,
Inc.
3,813
284,107
Duke
Energy
Corp.
7,514
839,013
Eaton
Corp.
plc
1,661
252,073
Entergy
Corp.
2,718
317,327
EOG
Resources,
Inc.
19,157
2,284,089
EPAM
Systems,
Inc.
*
4,530
1,343,643
Equinix
,
Inc.,
REIT
222
164,640
Equitable
Holdings,
Inc.
9,178
283,692
Equity
Residential,
REIT
2,048
184,156
Everest
Re
Group
Ltd.
6,459
1,946,613
Exxon
Mobil
Corp.
1,675
138,338
Fidelity
National
Financial,
Inc.
6,733
328,840
FirstEnergy
Corp.
11,378
521,795
Ford
Motor
Co.
98,370
1,663,437
Franklin
Resources,
Inc.
6,092
170,089
Gartner,
Inc.
*
4,642
1,380,809
General
Dynamics
Corp.
1,888
455,348
General
Motors
Co.
*
8,762
383,250
Genuine
Parts
Co.
9,693
1,221,512
Global
Payments,
Inc.
11,171
1,528,640
GoDaddy
,
Inc.,
Class
A
*
10,097
845,119
Goldman
Sachs
Group,
Inc.
(The)
9,757
3,220,786
Halliburton
Co.
8,458
320,304
Hartford
Financial
Services
Group,
Inc.
(The)
12,065
866,388
HCA
Healthcare,
Inc.
2,117
530,563
Hologic
,
Inc.
*
5,018
385,483
INVESTMENTS
SHARES
VALUE
($)
United
States
-
61.0%
(continued)
Humana,
Inc.
1,058
460,410
Incyte
Corp.
*
7,037
558,879
Intel
Corp.
48,175
2,387,553
International
Business
Machines
Corp.
6,541
850,461
International
Paper
Co.
25,733
1,187,578
Invesco
Ltd.
46,210
1,065,603
IPG
Photonics
Corp.
*
1,930
211,837
Johnson
&
Johnson
9,714
1,721,612
JPMorgan
Chase
&
Co.
19,654
2,679,233
Kinder
Morgan,
Inc.
16,373
309,613
KLA
Corp.
2,343
857,679
Lam
Research
Corp.
2,401
1,290,802
Lear
Corp.
2,476
353,053
Lennar
Corp.,
Class
A
20,251
1,643,774
Lennox
International,
Inc.
7,905
2,038,383
LKQ
Corp.
4,267
193,764
Lockheed
Martin
Corp.
531
234,383
Lowe's
Cos.,
Inc.
3,783
764,885
LyondellBasell
Industries
NV,
Class
A
1,598
164,306
Markel
Corp.
*
1,960
2,891,470
Masco
Corp.
2,812
143,412
Masimo
Corp.
*
2,602
378,695
Mastercard
,
Inc.,
Class
A
1,113
397,764
McDonald's
Corp.
647
159,990
McKesson
Corp.
9,520
2,914,358
Medtronic
plc
5,956
660,818
Merck
&
Co.,
Inc.
21,532
1,766,701
Meta
Platforms,
Inc.,
Class
A
*
15,486
3,443,467
MetLife,
Inc.
5,363
376,912
MGM
Resorts
International
7,343
307,965
Microchip
Technology,
Inc.
1,606
120,675
Microsoft
Corp.
32,873
10,135,074
Moderna
,
Inc.
*
9,635
1,659,725
Mohawk
Industries,
Inc.
*
4,831
600,010
Molina
Healthcare,
Inc.
*
3,309
1,103,849
Mosaic
Co.
(The)
6,308
419,482
Nordson
Corp.
5,437
1,234,634
NRG
Energy,
Inc.
51,233
1,965,298
Nucor
Corp.
12,259
1,822,300
NVIDIA
Corp.
5,302
1,446,704
NVR,
Inc.
*
211
942,594
ON
Semiconductor
Corp.
*
10,178
637,245
O'Reilly
Automotive,
Inc.
*
2,974
2,037,071
Otis
Worldwide
Corp.
3,735
287,408
Owens
Corning
15,576
1,425,204
PACCAR,
Inc.
6,235
549,116
PayPal
Holdings,
Inc.
*
5,932
686,036
Pentair
plc
4,836
262,160
Pfizer,
Inc.
80,680
4,176,803
Philip
Morris
International,
Inc.
14,212
1,335,075
Prologis,
Inc.,
REIT
2,980
481,210
Public
Storage,
REIT
2,484
969,456
PulteGroup,
Inc.
28,984
1,214,430
QIAGEN
NV
(2)*
1,860
91,270
Qorvo
,
Inc.
*
9,421
1,169,146
QUALCOMM,
Inc.
7,919
1,210,182
Quest
Diagnostics,
Inc.
2,756
377,186
Regeneron
Pharmaceuticals,
Inc.
*
3,634
2,538,058
60
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
61.0%
(continued)
Republic
Services,
Inc.
8,342
1,105,315
Ross
Stores,
Inc.
15,626
1,413,528
Sealed
Air
Corp.
7,350
492,156
Simon
Property
Group,
Inc.,
REIT
1,723
226,678
Skyworks
Solutions,
Inc.
3,844
512,328
Snap-on,
Inc.
459
94,315
Stanley
Black
&
Decker,
Inc.
864
120,779
Starbucks
Corp.
3,241
294,834
Steel
Dynamics,
Inc.
5,245
437,590
Stellantis
NV
(2)
10,244
166,287
Stellantis
NV
(2)
26,519
429,329
Swiss
Re
AG
(2)
2,505
238,461
Synchrony
Financial
3,079
107,180
Synopsys,
Inc.
*
5,155
1,718,007
Tesla,
Inc.
*
2,408
2,594,861
Texas
Instruments,
Inc.
3,188
584,934
Thermo
Fisher
Scientific,
Inc.
841
496,737
Tractor
Supply
Co.
4,101
957,050
Trade
Desk,
Inc.
(The),
Class
A
*
4,142
286,834
Travelers
Cos.,
Inc.
(The)
13,299
2,430,126
Tyson
Foods,
Inc.,
Class
A
11,446
1,025,905
Ulta
Beauty,
Inc.
*
3,573
1,422,840
UnitedHealth
Group,
Inc.
2,765
1,410,067
US
Bancorp
5,456
289,986
VMware,
Inc.,
Class
A
1,365
155,433
W
R
Berkley
Corp.
11,188
745,009
Walgreens
Boots
Alliance,
Inc.
10,370
464,265
Walmart,
Inc.
29,146
4,340,421
Waste
Connections,
Inc.
2,020
282,194
Wells
Fargo
&
Co.
13,503
654,355
Welltower
,
Inc.,
REIT
3,001
288,516
Western
Digital
Corp.
*
40,500
2,010,825
Western
Union
Co.
(The)
4,814
90,214
Whirlpool
Corp.
3,578
618,207
Zebra
Technologies
Corp.,
Class
A
*
2,394
990,398
Zoetis,
Inc.
1,220
230,080
210,153,526
—
TOTAL
COMMON
STOCKS
(Cost
$241,332,544)
298,472,109
SHORT-TERM
INVESTMENTS
-
11.6%
INVESTMENT
COMPANIES
-
11.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(d)(e)
5,576,568
5,576,568
Limited
Purpose
Cash
Investment
Fund,
0.18%
(d)
34,375,993
34,358,805
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$39,934,431)
39,935,373
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.3%
(Cost
$281,266,975)
338,407,482
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.7%
(f)
5,939,359
NET
ASSETS
-
100.0%
344,346,841
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
12,378,801
3.6
%
Consumer
Discretionary
32,334,836
9.4
Consumer
Staples
18,523,727
5.4
Energy
28,127,415
8.2
Financials
54,782,179
15.9
Health
Care
34,826,073
10.1
Industrials
27,067,766
7.8
Information
Technology
58,413,590
17.0
Materials
16,411,074
4.8
Real
Estate
7,185,192
2.1
Utilities
8,421,456
2.4
Short-Term
Investments
39,935,373
11.6
Total
Investments
In
Securities
At
Value
338,407,482
98.3
Other
Assets
in
Excess
of
Liabilities
(f)
5,939,359
1.7
Net
Assets
$
344,346,841
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$232,971,
which
represents
approximately
0.07%
of
net
assets
of
the
fund.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$26,979,
which
represents
approximately
0.01%
of
net
assets
of
the
fund.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
61
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Tel
Aviv
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/27/2022
ILS
2,223,408
$
5,890
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.13%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
AUD
1,417,966
66,705
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.80%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
319,589
19,961
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.55%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
297,853
24,584
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(-0.61%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
JPY
471,088,390
389,372
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
2,081,083
164,317
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
SGD
148,056
8,264
679,093
62
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
06/17/2022
CHF
(11,191,620)
$
(533,888)
MSCI
Spain
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.55%)
Monthly
JPMC
06/15/2022
EUR
(2,439,088)
(93,029)
MSCI
Sweden
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-2.80%)
Monthly
JPMC
06/15/2022
SEK
(2,047,486)
(6,195)
MSCI
Switzerland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.20%)
Monthly
JPMC
06/15/2022
CHF
(216,737)
(13,452)
(646,564)
$
32,529
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
12
4/2022
EUR
$
1,922,247
$
138,676
Amsterdam
Exchange
Index
40
4/2022
EUR
6,407,489
123,662
CAC
40
10
Euro
Index
240
4/2022
EUR
17,675,662
682,546
MSCI
Singapore
Index
51
4/2022
SGD
1,259,996
12,618
FTSE
100
Index
22
6/2022
GBP
2,163,476
32,570
FTSE/MIB
Index
6
6/2022
EUR
809,974
29,888
FTSE/MIB
Index
61
6/2022
EUR
8,234,737
477,909
S&P
500
E-Mini
Index
15
6/2022
USD
3,398,063
596
SPI
200
Index
48
6/2022
AUD
6,715,843
295,524
TOPIX
Index
101
6/2022
JPY
16,148,882
1,181,417
2,975,406
Short
Contracts
Hang
Seng
Index
(21)
4/2022
HKD
(2,947,608)
(41,074)
IBEX
35
Index
(2)
4/2022
EUR
(186,202)
(2,133)
OMXS30
Index
(17)
4/2022
SEK
(376,978)
2,280
DAX
Index
(14)
6/2022
EUR
(5,588,277)
34,367
S&P/TSX
60
Index
(44)
6/2022
CAD
(9,271,272)
(185,312)
(191,872)
$
2,783,534
63
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
23,941,033
USD
17,394,748
CITG
6/15/2022
$
542,987
AUD
23,941,030
USD
17,394,767
JPMC
6/15/2022
542,966
CAD
9,913,699
USD
7,803,748
CITG
6/15/2022
124,796
CAD
9,913,699
USD
7,803,758
JPMC
6/15/2022
124,787
DKK
1,861,500
USD
275,311
CITG
6/15/2022
2,305
DKK
1,861,500
USD
275,311
JPMC
6/15/2022
2,305
EUR
4,518,500
USD
4,974,891
CITG
6/15/2022
37,859
EUR
4,518,500
USD
4,974,897
JPMC
6/15/2022
37,852
ILS
1,206,001
USD
374,099
CITG
6/15/2022
4,674
ILS
1,205,998
USD
374,099
JPMC
6/15/2022
4,674
NOK
56,374,001
USD
6,294,883
CITG
6/15/2022
105,385
NOK
56,373,999
USD
6,294,890
JPMC
6/15/2022
105,377
SEK
136,566,000
USD
14,313,114
CITG
6/15/2022
238,738
SEK
136,566,000
USD
14,313,132
JPMC
6/15/2022
238,719
SGD
189,000
USD
139,143
CITG
6/15/2022
303
SGD
189,000
USD
139,143
JPMC
6/15/2022
303
USD
3,194,823
CHF
2,931,501
CITG
6/15/2022
12,323
USD
3,194,817
CHF
2,931,499
JPMC
6/15/2022
12,319
USD
471,165
DKK
3,110,500
CITG
6/15/2022
7,280
USD
471,165
DKK
3,110,500
JPMC
6/15/2022
7,280
USD
4,864,386
EUR
4,353,503
CITG
6/15/2022
34,682
USD
4,864,374
EUR
4,353,497
JPMC
6/15/2022
34,677
USD
20,013,843
GBP
15,033,502
CITG
6/15/2022
270,767
USD
20,013,817
GBP
15,033,501
JPMC
6/15/2022
270,740
USD
313,430
HKD
2,449,500
CITG
6/15/2022
394
USD
313,429
HKD
2,449,500
JPMC
6/15/2022
394
USD
12,012,060
JPY
1,406,525,501
CITG
6/15/2022
435,981
USD
12,012,045
JPY
1,406,525,499
JPMC
6/15/2022
435,966
USD
29,625
SGD
40,000
CITG
6/15/2022
112
USD
29,625
SGD
40,000
JPMC
6/15/2022
112
Total
unrealized
appreciation
3,637,057
AUD
4,100,500
USD
3,085,635
CITG
6/15/2022
(13,350)
AUD
4,100,500
USD
3,085,639
JPMC
6/15/2022
(13,355)
CHF
4,500
USD
4,907
CITG
6/15/2022
(22)
CHF
4,500
USD
4,907
JPMC
6/15/2022
(22)
DKK
1,951,500
USD
294,593
CITG
6/15/2022
(3,555)
DKK
1,951,500
USD
294,594
JPMC
6/15/2022
(3,555)
EUR
8,354,199
USD
9,341,684
CITG
6/15/2022
(73,675)
EUR
8,354,193
USD
9,341,689
JPMC
6/15/2022
(73,686)
GBP
11,169,000
USD
15,098,266
CITG
6/15/2022
(430,332)
GBP
11,169,000
USD
15,098,285
JPMC
6/15/2022
(430,350)
HKD
3,322,000
USD
425,301
CITG
6/15/2022
(764)
HKD
3,322,000
USD
425,301
JPMC
6/15/2022
(764)
JPY
2,438,040,001
USD
21,116,868
CITG
6/15/2022
(1,051,149)
JPY
2,438,039,999
USD
21,116,894
JPMC
6/15/2022
(1,051,177)
NOK
1,005,500
USD
114,417
CITG
6/15/2022
(261)
NOK
1,005,500
USD
114,417
JPMC
6/15/2022
(261)
NZD
1,875,000
USD
1,301,509
CITG
6/15/2022
(3,688)
NZD
1,875,000
USD
1,301,511
JPMC
6/15/2022
(3,689)
SEK
79,945,000
USD
8,568,472
CITG
6/15/2022
(49,897)
SEK
79,944,999
USD
8,568,482
JPMC
6/15/2022
(49,908)
SGD
856,500
USD
634,391
CITG
6/15/2022
(2,459)
SGD
856,500
USD
634,391
JPMC
6/15/2022
(2,460)
USD
2,197,838
AUD
3,055,500
CITG
6/15/2022
(91,485)
USD
2,197,835
AUD
3,055,500
JPMC
6/15/2022
(91,488)
64
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
5,268,533
CAD
6,709,500
CITG
6/15/2022
$
(97,433)
USD
5,268,527
CAD
6,709,500
JPMC
6/15/2022
(97,440)
USD
39,087
CHF
36,500
CITG
6/15/2022
(538)
USD
39,087
CHF
36,500
JPMC
6/15/2022
(538)
USD
258,194
DKK
1,740,000
CITG
6/15/2022
(1,302)
USD
258,194
DKK
1,740,000
JPMC
6/15/2022
(1,302)
USD
7,920,106
EUR
7,198,000
CITG
6/15/2022
(65,235)
USD
7,920,096
EUR
7,198,000
JPMC
6/15/2022
(65,246)
USD
6,651,648
GBP
5,081,500
CITG
6/15/2022
(21,744)
USD
6,651,640
GBP
5,081,500
JPMC
6/15/2022
(21,751)
USD
31,291
ILS
101,500
CITG
6/15/2022
(587)
USD
31,291
ILS
101,500
JPMC
6/15/2022
(587)
USD
10,667,163
JPY
1,305,059,500
CITG
6/15/2022
(73,823)
USD
10,667,150
JPY
1,305,059,500
JPMC
6/15/2022
(73,837)
USD
5,330,045
NOK
47,513,500
CITG
6/15/2022
(64,270)
USD
5,330,038
NOK
47,513,499
JPMC
6/15/2022
(64,276)
USD
10,919,687
NZD
16,290,000
CITG
6/15/2022
(355,789)
USD
10,919,672
NZD
16,289,999
JPMC
6/15/2022
(355,802)
USD
13,048,259
SEK
125,845,500
CITG
6/15/2022
(361,265)
USD
13,048,243
SEK
125,845,500
JPMC
6/15/2022
(361,281)
USD
49,984
SGD
68,000
CITG
6/15/2022
(186)
USD
49,984
SGD
68,000
JPMC
6/15/2022
(186)
Total
unrealized
depreciation
(5,525,770)
Net
unrealized
depreciation
$
(1,888,713)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
1,524,473
$
1,524,473
CITG
Investment
Companies
3,066,097
–
3,066,097
GSCO
Cash
–
1,385,690
1,385,690
GSIN
Cash
30,012
–
30,012
JPMC
Investment
Companies
2,510,471
–
2,510,471
65
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
83.8%
Australia
-
9.0%
Ampol
Ltd.
15,817
359,328
Aristocrat
Leisure
Ltd.
1,184
32,136
ASX
Ltd.
528
32,118
Aurizon
Holdings
Ltd.
195,354
536,959
Australia
&
New
Zealand
Banking
Group
Ltd.
1,512
30,982
BHP
Group
Ltd.
16,452
634,183
BlueScope
Steel
Ltd.
33,768
525,096
CSL
Ltd.
401
80,057
Dexus
,
REIT
14,183
115,771
Goodman
Group,
REIT
2,207
37,511
GPT
Group
(The),
REIT
27,146
104,711
Lendlease
Corp.
Ltd.
1,854
15,455
Mirvac
Group,
REIT
9,374
17,382
QBE
Insurance
Group
Ltd.
11,685
100,203
Rio
Tinto
Ltd.
1,187
106,118
Rio
Tinto
plc
9,876
789,552
Sonic
Healthcare
Ltd.
5,641
148,935
South32
Ltd.
90,233
343,001
Suncorp
Group
Ltd.
49,471
410,099
Tabcorp
Holdings
Ltd.
13,374
53,283
Woodside
Petroleum
Ltd.
1,740
41,815
4,514,695
—
Belgium
-
1.2%
Ageas
SA/NV
6,647
336,027
Etablissements
Franz
Colruyt
NV
318
13,163
Groupe
Bruxelles
Lambert
SA
289
29,905
KBC
Group
NV
665
47,713
Proximus
SADP
7,703
143,441
Umicore
SA
777
33,588
603,837
—
China
-
0.3%
BOC
Hong
Kong
Holdings
Ltd.
16,737
62,978
SITC
International
Holdings
Co.
Ltd.
30,000
104,901
167,879
—
Denmark
-
2.6%
AP
Moller
-
Maersk
A/S,
Class
B
117
351,581
Chr
Hansen
Holding
A/S
1,016
74,602
Coloplast
A/S,
Class
B
772
116,911
Danske
Bank
A/S
1,822
30,309
Genmab
A/S
*
459
165,769
Novo
Nordisk
A/S,
Class
B
5,178
574,323
1,313,495
—
Finland
-
1.2%
Kone
OYJ,
Class
B
7,862
411,420
Nokia
OYJ
*
20,664
113,797
Wartsila
OYJ
Abp
8,866
80,954
606,171
—
France
-
8.6%
BioMerieux
291
31,059
BNP
Paribas
SA
2,922
166,977
Bouygues
SA
5,644
196,999
Carrefour
SA
17,565
382,251
INVESTMENTS
SHARES
VALUE
($)
France
-
8.6%
(continued)
Cie
de
Saint-Gobain
9,818
584,174
CNP
Assurances
644
15,504
Credit
Agricole
SA
4,518
53,984
Electricite
de
France
SA
15,192
142,595
Ipsen
SA
4,262
533,495
La
Francaise
des
Jeux
SAEM
(a)
6,773
268,703
Orange
SA
49,590
587,209
Publicis
Groupe
SA
8,907
540,598
SEB
SA
3,438
479,466
Societe
Generale
SA
2,176
58,333
TotalEnergies
SE
4,638
234,681
Unibail
-
Rodamco
-Westfield,
REIT
*
210
15,731
4,291,759
—
Germany
-
5.9%
Allianz
SE
(Registered)
439
104,837
Bayerische
Motoren
Werke
AG
3,387
292,696
Brenntag
SE
2,414
194,644
Covestro
AG
(a)
644
32,429
Deutsche
Bank
AG
(Registered)
*
30,697
386,604
Deutsche
Boerse
AG
506
91,086
Deutsche
Post
AG
(Registered)
13,158
628,319
E.ON
SE
4,791
55,663
Fresenius
SE
&
Co.
KGaA
1,967
72,221
GEA
Group
AG
7,490
306,995
Henkel
AG
&
Co.
KGaA
(Preference)
714
47,789
Merck
KGaA
995
207,790
Porsche
Automobil
Holding
SE
(Preference)
500
48,097
SAP
SE
1,706
189,073
Uniper
SE
8,203
211,918
Vonovia
SE
1,970
91,823
2,961,984
—
Hong
Kong
-
1.8%
CK
Infrastructure
Holdings
Ltd.
7,547
50,450
CLP
Holdings
Ltd.
4,917
47,842
Hong
Kong
Exchanges
&
Clearing
Ltd.
3,922
183,837
Link,
REIT
14,297
121,757
Sun
Hung
Kai
Properties
Ltd.
6,705
79,773
Swire
Pacific
Ltd.,
Class
A
30,396
184,842
WH
Group
Ltd.
(a)
205,801
129,234
Xinyi
Glass
Holdings
Ltd.
43,082
103,296
901,031
—
Italy
-
1.7%
Eni
SpA
42,458
619,175
Mediobanca
Banca
di
Credito
Finanziario
SpA
2,785
28,144
Prysmian
SpA
2,833
96,141
Telecom
Italia
SpA
37,606
13,806
UniCredit
SpA
7,317
78,934
836,200
—
Japan
-
19.6%
Advantest
Corp.
1,967
153,571
AGC,
Inc.
900
35,960
Aisin
Corp.
15,191
519,192
66
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
19.6%
(continued)
Brother
Industries
Ltd.
26,165
475,821
Canon,
Inc.
4,023
98,057
Chubu
Electric
Power
Co.,
Inc.
7,778
80,501
CyberAgent
,
Inc.
2,500
30,937
Dai-ichi
Life
Holdings,
Inc.
2,984
60,637
Daito
Trust
Construction
Co.
Ltd.
465
49,357
Daiwa
House
Industry
Co.
Ltd.
2,374
61,887
Eisai
Co.
Ltd.
1,500
69,493
ENEOS
Holdings,
Inc.
124,650
466,032
Hitachi
Metals
Ltd.
*
13,321
222,864
Hulic
Co.
Ltd.
4,732
42,453
Inpex
Corp.
4,400
51,732
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
16
13,501
Japan
Post
Holdings
Co.
Ltd.
18,149
133,291
Japan
Post
Insurance
Co.
Ltd.
13,053
227,320
Japan
Real
Estate
Investment
Corp.,
REIT
16
83,802
JFE
Holdings,
Inc.
3,400
47,580
Kajima
Corp.
34,179
415,846
Koito
Manufacturing
Co.
Ltd.
400
16,188
Kyocera
Corp.
984
55,064
Marubeni
Corp.
40,563
471,026
Mazda
Motor
Corp.
19,043
139,977
Mitsubishi
Estate
Co.
Ltd.
3,206
47,739
Mitsui
&
Co.
Ltd.
1,431
38,845
Mitsui
Fudosan
Co.
Ltd.
2,983
63,843
Mizuho
Financial
Group,
Inc.
45,488
580,217
MS&AD
Insurance
Group
Holdings,
Inc.
626
20,325
NGK
Insulators
Ltd.
1,252
17,860
Nippon
Building
Fund,
Inc.,
REIT
19
107,784
NIPPON
EXPRESS
HOLDINGS,
Inc.
1,100
75,571
Nippon
Steel
Corp.
8,800
155,273
Nippon
Yusen
KK
400
34,990
Nitto
Denko
Corp.
3,964
284,172
Nomura
Holdings,
Inc.
10,626
44,690
Nomura
Real
Estate
Holdings,
Inc.
308
7,376
Obayashi
Corp.
57,191
419,767
Recruit
Holdings
Co.
Ltd.
3,300
143,375
Resona
Holdings,
Inc.
120,371
512,701
Ricoh
Co.
Ltd.
8,836
76,518
Rohm
Co.
Ltd.
269
20,885
SCSK
Corp.
3,755
64,213
Shimizu
Corp.
46,288
277,781
SoftBank
Group
Corp.
6,500
290,613
Sompo
Holdings,
Inc.
537
23,596
Square
Enix
Holdings
Co.
Ltd.
2,619
116,018
Subaru
Corp.
33,972
539,578
SUMCO
Corp.
1,905
31,175
Sumitomo
Corp.
31,022
537,260
Sumitomo
Mitsui
Financial
Group,
Inc.
9,566
302,174
Sumitomo
Mitsui
Trust
Holdings,
Inc.
626
20,373
Sumitomo
Realty
&
Development
Co.
Ltd.
1,293
35,784
Taisei
Corp.
16,760
483,846
INVESTMENTS
SHARES
VALUE
($)
Japan
-
19.6%
(continued)
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
83,142
274,451
Toyota
Tsusho
Corp.
1,059
43,463
Yamato
Holdings
Co.
Ltd.
800
14,944
9,729,289
—
Luxembourg
-
0.3%
ArcelorMittal
SA
4,634
148,446
Netherlands
-
5.0%
Aegon
NV
7,054
37,394
ASML
Holding
NV
1,321
882,722
ING
Groep
NV
12,460
130,094
Koninklijke
Ahold
Delhaize
NV
19,579
629,769
NN
Group
NV
3,806
192,883
Shell
plc
20,607
564,811
Universal
Music
Group
NV
3,093
82,565
2,520,238
—
Russia
-
0.1%
Evraz
plc
(3)(b)
80,070
27,978
Singapore
-
0.9%
Ascendas
,
REIT
46,596
100,406
CapitaLand
Integrated
Commercial
Trust,
REIT
53,671
88,790
Singapore
Exchange
Ltd.
2,138
15,668
STMicroelectronics
NV
6,172
268,260
473,124
—
South
Africa
-
0.2%
Anglo
American
plc
1,693
87,972
Spain
-
2.8%
Banco
Bilbao
Vizcaya
Argentaria
SA
17,925
102,351
Banco
Santander
SA
56,595
192,419
CaixaBank
SA
14,516
49,237
Enagas
SA
3,704
82,252
Endesa
SA
11,465
249,979
Repsol
SA
20,158
264,053
Telefonica
SA
95,345
462,066
1,402,357
—
Sweden
-
3.2%
Atlas
Copco
AB,
Class
B
1,034
46,891
Electrolux
AB,
Series
B
20,346
307,886
Evolution
AB
(a)
205
20,856
Husqvarna
AB,
Class
B
22,212
231,710
Investor
AB,
Class
B
4,752
103,253
Svenska
Handelsbanken
AB,
Class
A
58,714
539,900
Telefonaktiebolaget
LM
Ericsson,
Class
B
39,498
360,046
1,610,542
—
Switzerland
-
7.9%
Adecco
Group
AG
(Registered)
2,844
129,008
Baloise
Holding
AG
(Registered)
1,030
183,955
Barry
Callebaut
AG
(Registered)
24
56,267
Holcim
Ltd.
*
6,177
300,429
Nestle
SA
(Registered)
5,093
662,185
67
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
7.9%
(continued)
Novartis
AG
(Registered)
11,860
1,041,208
Roche
Holding
AG
983
388,936
SGS
SA
(Registered)
161
447,603
Swiss
Life
Holding
AG
(Registered)
39
24,991
Swisscom
AG
(Registered)
268
161,016
Temenos
AG
(Registered)
1,744
167,755
UBS
Group
AG
(Registered)
19,344
378,007
3,941,360
—
United
Kingdom
-
10.1%
3i
Group
plc
3,499
63,270
abrdn
plc
60,831
170,333
AstraZeneca
plc
98
12,996
Auto
Trader
Group
plc
(a)
17,398
143,625
Aviva
plc
99,968
591,502
BAE
Systems
plc
23,166
217,562
Berkeley
Group
Holdings
plc
*
997
48,630
BP
plc
159,544
782,147
British
American
Tobacco
plc
4,689
196,925
Burberry
Group
plc
2,571
56,124
CK
Hutchison
Holdings
Ltd.
78,326
572,752
DCC
plc
1,186
91,837
Diageo
plc
1,118
56,710
Imperial
Brands
plc
3,381
71,220
InterContinental
Hotels
Group
plc
5,705
385,856
Intertek
Group
plc
1,631
111,263
Kingfisher
plc
64,156
214,130
Lloyds
Banking
Group
plc
263,060
160,195
London
Stock
Exchange
Group
plc
869
90,620
M&G
plc
42,115
121,347
Sage
Group
plc
(The)
50,726
464,787
SSE
plc
2,455
56,094
Tesco
plc
101,908
368,938
5,048,863
—
United
States
-
1.4%
GlaxoSmithKline
plc
6,213
134,430
QIAGEN
NV
*
4,576
224,544
Stellantis
NV
20,538
332,500
Swiss
Re
AG
259
24,655
716,129
—
TOTAL
COMMON
STOCKS
(Cost
$37,530,104)
41,903,349
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
11.4%
INVESTMENT
COMPANIES
-
11.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.17%
(1)(c)(d)
1,064,562
1,064,562
Limited
Purpose
Cash
Investment
Fund,
0.18%
(1)(c)
4,642,817
4,640,496
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$5,704,745)
5,705,058
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.2%
(Cost
$43,234,849)
47,608,407
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.8%
(e)
2,405,956
NET
ASSETS
-
100.0%
50,014,363
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,571,896
5.2
%
Consumer
Discretionary
3,755,298
7.5
Consumer
Staples
2,614,451
5.2
Energy
3,383,773
6.8
Financials
7,345,973
14.7
Health
Care
3,802,167
7.6
Industrials
8,455,545
16.9
Information
Technology
3,421,742
6.8
Materials
3,813,283
7.6
Real
Estate
1,487,476
3.0
Utilities
1,251,745
2.5
Short-Term
Investments
5,705,058
11.4
Total
Investments
In
Securities
At
Value
47,608,407
95.2
Other
Assets
in
Excess
of
Liabilities
(e)
2,405,956
4.8
Net
Assets
$
50,014,363
100.0%
68
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$594,847,
which
represents
approximately
1.19%
of
net
assets
of
the
fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2022
amounted
to
$27,978,
which
represents
approximately
0.06%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
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
March
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Tel
Aviv
Index
April
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
04/27/2022
ILS
1,212,768
$
3,213
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.55%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/15/2022
EUR
1,424,130
117,541
120,754
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
06/17/2022
CHF
(1,323,740)
(47,871)
MSCI
Switzerland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.20%)
Monthly
JPMC
06/15/2022
CHF
(1,574,954)
(97,746)
(145,617)
$
(24,863)
Futures
contracts
outstanding
as
of
March
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
14
4/2022
EUR
$
2,242,621
$
135,615
CAC
40
10
Euro
Index
54
4/2022
EUR
3,977,024
102,987
MSCI
Singapore
Index
22
4/2022
SGD
543,528
5,259
69
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
FTSE/MIB
Index
3
6/2022
EUR
$
404,987
$
12,059
TOPIX
Index
36
6/2022
JPY
5,756,037
328,944
584,864
Short
Contracts
Hang
Seng
Index
(10)
4/2022
HKD
(1,403,623)
(16,996)
IBEX
35
Index
(7)
4/2022
EUR
(651,706)
(7,713)
OMXS30
Index
(41)
4/2022
SEK
(909,183)
5,300
DAX
Index
(3)
6/2022
EUR
(1,197,488)
(1,295)
FTSE
100
Index
(1)
6/2022
GBP
(98,340)
6
SPI
200
Index
(3)
6/2022
AUD
(419,740)
(180)
(20,878)
$
563,986
Forward
foreign
currency
contracts
outstanding
as
of
March
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
6,478,161
USD
4,698,984
CITG
6/15/2022
$
154,755
AUD
6,478,162
USD
4,698,991
JPMC
6/15/2022
154,748
CHF
851,000
USD
913,521
CITG
6/15/2022
10,343
CHF
851,000
USD
913,523
JPMC
6/15/2022
10,342
DKK
1,401,000
USD
207,143
CITG
6/15/2022
1,794
DKK
1,401,000
USD
207,144
JPMC
6/15/2022
1,794
EUR
1,826,500
USD
2,010,842
CITG
6/15/2022
15,446
EUR
1,826,500
USD
2,010,845
JPMC
6/15/2022
15,443
GBP
320,500
USD
418,541
CITG
6/15/2022
2,362
GBP
320,500
USD
418,542
JPMC
6/15/2022
2,362
ILS
795,263
USD
246,684
CITG
6/15/2022
3,088
ILS
795,261
USD
246,684
JPMC
6/15/2022
3,087
JPY
11,048,000
USD
90,679
CITG
6/15/2022
249
JPY
11,048,000
USD
90,680
JPMC
6/15/2022
248
NOK
2,129,846
USD
236,983
CITG
6/15/2022
4,824
NOK
2,129,845
USD
236,983
JPMC
6/15/2022
4,823
NZD
105,673
USD
70,639
CITG
6/15/2022
2,504
NZD
105,672
USD
70,638
JPMC
6/15/2022
2,504
SEK
32,197,327
USD
3,364,326
CITG
6/15/2022
66,476
SEK
32,197,325
USD
3,364,330
JPMC
6/15/2022
66,469
SGD
116,000
USD
85,340
CITG
6/15/2022
246
SGD
116,000
USD
85,340
JPMC
6/15/2022
245
USD
106,941
AUD
142,500
CITG
6/15/2022
173
USD
106,941
AUD
142,500
JPMC
6/15/2022
173
USD
2,254,959
CHF
2,069,297
CITG
6/15/2022
8,485
USD
2,254,955
CHF
2,069,296
JPMC
6/15/2022
8,484
USD
80,741
DKK
536,000
CITG
6/15/2022
804
USD
80,741
DKK
536,000
JPMC
6/15/2022
803
USD
693,791
EUR
619,503
CITG
6/15/2022
6,524
USD
693,784
EUR
619,497
JPMC
6/15/2022
6,523
USD
4,646,107
GBP
3,487,118
CITG
6/15/2022
66,573
USD
4,646,097
GBP
3,487,115
JPMC
6/15/2022
66,566
USD
379,170
HKD
2,962,334
CITG
6/15/2022
596
USD
379,169
HKD
2,962,335
JPMC
6/15/2022
596
USD
314
ILS
1,000
CITG
6/15/2022
–
70
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
314
ILS
1,000
JPMC
6/15/2022
$
–
USD
4,886,429
JPY
574,206,001
CITG
6/15/2022
160,561
USD
4,886,423
JPY
574,205,999
JPMC
6/15/2022
160,555
USD
103,902
NOK
898,000
CITG
6/15/2022
1,950
USD
103,901
NOK
898,000
JPMC
6/15/2022
1,950
USD
1,737
NZD
2,500
CITG
6/15/2022
7
USD
1,737
NZD
2,500
JPMC
6/15/2022
7
USD
463,658
SEK
4,307,500
CITG
6/15/2022
4,671
USD
463,658
SEK
4,307,500
JPMC
6/15/2022
4,670
USD
25,166
SGD
34,000
CITG
6/15/2022
80
USD
25,166
SGD
34,000
JPMC
6/15/2022
80
Total
unrealized
appreciation
1,024,983
AUD
486,500
USD
366,150
CITG
6/15/2022
(1,642)
AUD
486,500
USD
366,151
JPMC
6/15/2022
(1,642)
CHF
199,500
USD
217,654
CITG
6/15/2022
(1,073)
CHF
199,500
USD
217,654
JPMC
6/15/2022
(1,074)
DKK
554,500
USD
84,070
CITG
6/15/2022
(1,375)
DKK
554,500
USD
84,070
JPMC
6/15/2022
(1,375)
EUR
1,534,309
USD
1,723,143
CITG
6/15/2022
(21,006)
EUR
1,534,303
USD
1,723,139
JPMC
6/15/2022
(21,008)
GBP
3,386,501
USD
4,549,204
CITG
6/15/2022
(101,807)
GBP
3,386,499
USD
4,549,206
JPMC
6/15/2022
(101,810)
HKD
2,187,999
USD
279,944
CITG
6/15/2022
(326)
HKD
2,188,001
USD
279,944
JPMC
6/15/2022
(326)
ILS
2,000
USD
632
CITG
6/15/2022
(4)
ILS
2,000
USD
632
JPMC
6/15/2022
(4)
JPY
796,652,632
USD
6,872,609
CITG
6/15/2022
(315,947)
JPY
796,652,631
USD
6,872,618
JPMC
6/15/2022
(315,954)
NZD
1,000
USD
694
CITG
6/15/2022
(2)
NZD
1,000
USD
694
JPMC
6/15/2022
(2)
SEK
22,603,326
USD
2,422,834
CITG
6/15/2022
(14,326)
SEK
22,603,324
USD
2,422,837
JPMC
6/15/2022
(14,327)
SGD
421,445
USD
312,148
CITG
6/15/2022
(1,203)
SGD
421,445
USD
312,148
JPMC
6/15/2022
(1,203)
USD
1,656,800
AUD
2,292,000
CITG
6/15/2022
(60,473)
USD
1,656,798
AUD
2,292,000
JPMC
6/15/2022
(60,475)
USD
454,104
CHF
425,500
CITG
6/15/2022
(7,827)
USD
454,104
CHF
425,500
JPMC
6/15/2022
(7,829)
USD
197,942
DKK
1,335,000
CITG
6/15/2022
(1,153)
USD
197,941
DKK
1,335,000
JPMC
6/15/2022
(1,153)
USD
2,655,281
EUR
2,407,500
CITG
6/15/2022
(15,559)
USD
2,655,278
EUR
2,407,500
JPMC
6/15/2022
(15,562)
USD
2,097,523
GBP
1,604,499
CITG
6/15/2022
(9,621)
USD
2,097,523
GBP
1,604,501
JPMC
6/15/2022
(9,623)
USD
62,630
ILS
202,500
CITG
6/15/2022
(970)
USD
62,630
ILS
202,500
JPMC
6/15/2022
(970)
USD
1,729,181
JPY
211,747,000
CITG
6/15/2022
(13,553)
USD
1,729,179
JPY
211,747,000
JPMC
6/15/2022
(13,555)
USD
20,744
NZD
30,500
CITG
6/15/2022
(367)
USD
20,744
NZD
30,500
JPMC
6/15/2022
(367)
USD
3,045,480
SEK
29,297,000
CITG
6/15/2022
(76,276)
USD
3,045,476
SEK
29,297,000
JPMC
6/15/2022
(76,279)
USD
93,835
SGD
127,500
CITG
6/15/2022
(235)
USD
93,835
SGD
127,500
JPMC
6/15/2022
(235)
Total
unrealized
depreciation
(1,289,518)
Net
unrealized
depreciation
$
(264,535)
71
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
282,224
$
282,224
CITG
Investment
Companies
350,050
–
350,050
GSCO
Cash
–
358,784
358,784
GSIN
Cash
200,284
–
200,284
JPMC
Investment
Companies
714,512
–
714,512
72
Schedule
of
Investments
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Abbreviations
ADR
-
American
Depositary
Receipt
CVA
-
Dutch
Certification
GDR
-
Global
Depositary
Receipt
NVDR
-
Non-Voting
Depositary
Receipt
OJSC
-
Open
Joint
Stock
Company
OYJ
-
Public
Traded
Company
PJSC
-
Public
Joint
Stock
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference.  Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
Currencies
AUD
-
Australian
Dollar
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
DKK
-
Danish
Krone
EUR
-
Euro
GBP
-
British
Pound
HKD
-
Hong
Kong
Dollar
ILS
-
Israeli
Shekel
JPY
-
Japanese
Yen
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
USD
-
United
States
Dollar
The
following
abbreviations
are
used
for
counterparty
descriptions:
BARC
-
Barclays
Capital,
Inc.
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
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
-0.08%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
0.01%
Euro
Short-Term
Rate
("ESTR"):
-0.59%
Singapore
Overnight
Rate
Average
(“SORA”):
0.61%
Swiss
Average
Rate
Overnight
(“SARON”):
-0.70%
Tokyo
Overnight
Average
Rate
(“TONAR”):  -0.02%
Statements
of
Assets
and
Liabilities
73
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
645,048,325
$
76,423,684
$
371,400,599
$
441,753,943
Investments
in
securities
of
unaffiliated
issuers,
at
value
*
..........
$
1,216,670,662
$
121,948,471
$
481,228,724
$
577,703,576
Cash
.................................................
—
35,298
8,412
—
Cash
denominated
in
foreign
currencies
‡
......................
—
—
1,612,383
2,762,054
Deposits
with
brokers
for
futures
contracts
.....................
2,546,611
359,255
1,018,030
779,763
Receivables:
Securities
sold
.......................................
—
—
1,049
13
Foreign
tax
reclaims
...................................
—
—
1,302,645
—
Dividends
...........................................
698,138
81,793
2,731,719
2,646,388
Capital
shares
sold
....................................
497,686
129,886
157,693
464,722
Prepaid
expenses
and
other
assets
..........................
69,303
34,191
47,413
95,557
Total
Assets
1,220,482,400
122,588,894
488,108,068
584,452,073
LIABILITIES:
Due
to
custodian
........................................
—
—
—
40,472
Variation
margin
on
futures
contracts
.........................
629,353
65,799
298,797
166,592
Payables:
–
–
–
–
Securities
purchased
...................................
—
—
328,094
646
Collateral
received
on
securities
loaned
.....................
—
550,346
—
—
Accrued
investment
advisory
fees
.........................
245,489
33,284
143,909
237,369
Accrued
distribution
fees—Class
N
........................
1,789
1,705
818
711
Capital
shares
redeemed
...............................
2,082,464
126,608
538,559
321,081
Deferred
foreign
capital
gains
tax
.........................
—
—
—
1,349,441
Other
accrued
expenses
and
liabilities
........................
96,725
38,097
59,044
174,064
Total
Liabilities
3,055,820
815,839
1,369,221
2,290,376
Net
Assets
$
1,217,426,580
$
121,773,055
$
486,738,847
$
582,161,697
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
595,277,169
$
76,736,177
$
393,310,988
$
468,953,645
Total
distributable
earnings
(loss)
...........................
622,149,411
45,036,878
93,427,859
113,208,052
Net
Assets
$
1,217,426,580
$
121,773,055
$
486,738,847
$
582,161,697
NET
ASSETS:
Class
I
...............................................
$
263,341,805
$
65,348,044
$
82,175,697
$
58,995,209
Class
N
...............................................
8,139,839
7,804,076
3,390,699
3,163,199
Class
R6
..............................................
945,944,936
48,620,935
401,172,451
520,003,289
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
13,359,603
3,847,491
6,517,021
5,238,298
Class
N
...............................................
409,532
460,358
269,241
280,037
Class
R6
..............................................
48,047,557
2,859,446
31,875,051
46,178,922
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
19.71
$
16.98
$
12.61
$
11.26
Class
N
...............................................
$
19.88
$
16.95
$
12.59
$
11.30
Class
R6
..............................................
$
19.69
$
17.00
$
12.59
$
11.26
*
Includes
market
value
of
securities
out
on
loan
................
$
2,489,525
$
519,318
$
—
$
3,288,584
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
—
$
—
$
1,613,385
$
2,749,507
Statements
of
Assets
and
Liabilities
74
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
651,120,117
$
179,149,833
$
353,346,465
$
2,952,278,041
Investments
in
securities
of
unaffiliated
issuers,
at
value
*
..........
$
1,068,372,914
$
249,300,247
$
505,385,568
$
5,035,943,793
Cash
.................................................
—
166,494
28,756
—
Cash
denominated
in
foreign
currencies
‡
......................
378
—
1,479,537
—
Deposits
with
brokers
for
futures
contracts
.....................
2,481,672
766,309
1,216,633
10,255,435
Receivables:
Securities
sold
.......................................
—
—
1,673
—
Foreign
tax
reclaims
...................................
—
—
1,159,034
—
Dividends
...........................................
348,327
160,481
1,929,725
3,768,225
Capital
shares
sold
....................................
149,698
52,387
113,485
1,387,202
Prepaid
expenses
.......................................
52,071
30,113
37,150
170,576
Total
Assets
1,071,405,060
250,476,031
511,351,561
5,051,525,231
LIABILITIES:
Variation
margin
on
futures
contracts
.........................
612,808
127,637
323,789
2,533,979
Payables:
–
–
–
–
Collateral
received
on
securities
loaned
.....................
—
3,245,377
—
20,044,530
Accrued
investment
advisory
fees
.........................
213,287
79,774
151,824
1,043,442
Accrued
distribution
fees—Class
N
........................
12,202
1,168
8,026
81,113
Capital
shares
redeemed
...............................
968,229
110,419
157,901
9,336,909
Other
accrued
expenses
and
liabilities
........................
145,685
59,513
100,709
1,055,945
Total
Liabilities
1,952,211
3,623,888
742,249
34,095,918
Net
Assets
$
1,069,452,849
$
246,852,143
$
510,609,312
$
5,017,429,313
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
611,021,405
$
177,749,594
$
377,077,139
$
2,615,429,936
Total
distributable
earnings
(loss)
...........................
458,431,444
69,102,549
133,532,173
2,401,999,377
Net
Assets
$
1,069,452,849
$
246,852,143
$
510,609,312
$
5,017,429,313
NET
ASSETS:
Class
I
...............................................
$
722,517,696
$
188,819,505
$
298,536,721
$
3,512,783,464
Class
N
...............................................
59,497,480
5,627,415
39,096,433
389,659,348
Class
R6
..............................................
287,437,673
52,405,223
172,976,158
1,114,986,501
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
30,616,582
9,622,946
16,535,618
116,976,127
Class
N
...............................................
2,518,372
286,720
2,165,610
12,999,419
Class
R6
..............................................
12,238,482
2,683,376
9,599,640
37,169,824
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
23.60
$
19.62
$
18.05
$
30.03
Class
N
...............................................
$
23.63
$
19.63
$
18.05
$
29.98
Class
R6
..............................................
$
23.49
$
19.53
$
18.02
$
30.00
*
Includes
market
value
of
securities
out
on
loan
................
$
305,678
$
3,158,132
$
—
$
19,506,300
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
415
$
—
$
1,473,700
$
—
Statements
of
Assets
and
Liabilities
75
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........................
$
228,691,067
$
281,266,975
$
43,234,849
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........................
$
272,111,000
$
338,407,482
$
47,608,407
Cash
.................................................................
56,826
49,499
1,823
Cash
denominated
in
foreign
currencies
‡
......................................
901,186
942,051
51,778
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............
—
3,637,057
1,024,983
Unrealized
appreciation
on
OTC
swaps
.......................................
—
679,093
120,754
Due
from
broker
........................................................
—
109,090
248,965
Deposits
with
brokers
for
futures
contracts
.....................................
686,519
6,075,220
1,282,723
Receivables:
Securities
sold
.......................................................
560
61,532
311,654
Foreign
tax
reclaims
...................................................
490,811
413,467
712,466
Dividends
...........................................................
1,082,861
769,185
289,361
Capital
shares
sold
....................................................
605,332
44,143
5,908
Prepaid
expenses
.......................................................
27,675
42,435
28,086
Total
Assets
275,962,770
351,230,254
51,686,908
LIABILITIES:
Due
to
broker
..........................................................
—
2,385
15,961
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............
—
5,525,770
1,289,518
Unrealized
depreciation
on
OTC
swaps
.......................................
—
646,564
145,617
Variation
margin
on
futures
contracts
.........................................
201,164
381,523
77,729
Payables:
–
–
–
Securities
purchased
...................................................
—
48,644
52,882
Accrued
investment
advisory
fees
.........................................
76,156
171,111
16,514
Accrued
distribution
fees—Class
N
........................................
1,561
1,624
101
Capital
shares
redeemed
...............................................
607,394
28,415
5,931
Other
accrued
expenses
and
liabilities
........................................
70,902
77,377
68,292
Total
Liabilities
957,177
6,883,413
1,672,545
Net
Assets
$
275,005,593
$
344,346,841
$
50,014,363
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
..........
$
238,429,448
$
280,055,620
$
52,266,297
Total
distributable
earnings
(loss)
...........................................
36,576,145
64,291,221
(
2,251,934
)
Net
Assets
$
275,005,593
$
344,346,841
$
50,014,363
NET
ASSETS:
Class
I
...............................................................
$
111,534,668
$
15,241,366
$
31,683,442
Class
N
...............................................................
7,469,522
7,716,194
485,566
Class
R6
..............................................................
156,001,403
321,389,281
17,845,355
SHARES
OUTSTANDING:
–
–
–
Class
I
...............................................................
7,798,134
1,585,348
3,263,806
Class
N
...............................................................
503,683
812,896
48,594
Class
R6
..............................................................
10,915,710
33,194,890
1,706,564
NET
ASSET
VALUE:
–
–
–
Class
I
...............................................................
$
14.30
$
9.61
$
9.71
Class
N
...............................................................
$
14.83
$
9.49
$
9.99
Class
R6
..............................................................
$
14.29
$
9.68
$
10.46
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............................
$
896,458
$
943,632
$
51,721
Statements
of
Operations
76
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
10,139,005
$
825,159
$
5,722,853
$
6,946,130
Securities
lending
income,
net
..............................
3,895
5,070
1,720
6,832
Non-cash
dividend
income
from
non-affiliates
..................
—
—
641,001
—
Total
Income
10,142,900
830,229
6,365,574
6,952,962
EXPENSES:
Investment
advisory
fees
..................................
1,603,292
291,104
1,005,460
1,735,684
Custody
fees
...........................................
22,135
11,921
40,400
176,505
Administration
&
accounting
fees
............................
123,775
12,485
48,513
60,907
Legal
fees
.............................................
28,519
2,476
11,438
14,205
Audit
&
tax
fees
.........................................
26,096
25,925
31,543
43,397
Shareholder
reporting
fees
................................
33,515
9,298
21,112
22,923
Transfer
agent
fees
......................................
160,832
48,110
55,253
46,441
Trustee
fees
...........................................
36,226
4,008
14,160
17,816
Distribution
fees—Class
N
.................................
11,089
10,304
5,122
4,582
Interest
expense
........................................
43,285
3,835
14,083
17,991
Recoupment
of
waiver
and/or
reimbursement
..................
—
—
336
—
Registration
fees
........................................
35,412
28,107
31,415
28,547
Other
expenses
........................................
19,752
1,846
9,515
24,515
Total
Expenses
2,143,928
449,419
1,288,350
2,193,513
Less
expense
reimbursements
.............................
(
21,934
)
(
73,783
)
(
94,891
)
(
245,039
)
Net
Expenses
2,121,994
375,636
1,193,459
1,948,474
Net
Investment
Income
(Loss)
8,020,906
454,593
5,172,115
5,004,488
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
(net
of
deferred
capital
gain
country
tax
accruals
of
$
–
,
$
–
,
$
–
and
$
191,764
)
.........................................
57,563,401
976,948
29,026
21,188
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
(
11,744
)
(
109,627
)
Expiration
or
closing
of
futures
contracts
....................
(
2,157,455
)
(
621,001
)
(
2,471,139
)
(
3,730,337
)
Net
realized
gain
(loss)
55,405,946
355,947
(
2,453,857
)
(
3,818,776
)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
(net
changes
in
deferred
capital
gain
country
tax
accruals
of
$
—
,
$
—
,
$
—
and
$
(
272,920
)
)
17,814,728
(
3,019,876
)
(
9,196,663
)
(
37,098,505
)
Foreign
currency
and
foreign
currency
transactions
............
—
—
(
39,238
)
22,218
Futures
contracts
.....................................
3,916,556
252,444
2,030,260
1,930,779
Net
change
in
unrealized
appreciation
(depreciation)
21,731,284
(
2,767,432
)
(
7,205,641
)
(
35,145,508
)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
77,137,230
(
2,411,485
)
(
9,659,498
)
(
38,964,284
)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
85,158,136
$
(
1,956,892
)
$
(
4,487,383
)
$
(
33,959,796
)
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
11,895
$
692
$
500,694
$
1,116,935
Statements
of
Operations
77
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
6,133,017
$
1,283,593
$
5,683,900
$
39,015,008
Securities
lending
income,
net
..............................
2,438
46,797
3,104
2,415
Total
Income
6,135,455
1,330,390
5,687,004
39,017,423
EXPENSES:
Investment
advisory
fees
..................................
1,423,673
594,007
1,118,990
6,811,842
Custody
fees
...........................................
21,234
13,451
45,060
75,910
Administration
&
accounting
fees
............................
109,908
25,476
53,991
525,874
Legal
fees
.............................................
27,896
8,971
12,571
118,372
Audit
&
tax
fees
.........................................
25,876
27,300
31,577
25,631
Shareholder
reporting
fees
................................
29,185
14,193
20,524
132,256
Transfer
agent
fees
......................................
433,595
114,212
195,708
2,116,208
Trustee
fees
...........................................
32,088
7,883
16,112
154,964
Distribution
fees—Class
N
.................................
74,903
7,304
53,566
522,807
Interest
expense
........................................
31,695
8,641
17,296
161,309
Recoupment
of
waiver
and/or
reimbursement
..................
—
—
—
35,444
Registration
fees
........................................
36,187
31,334
32,480
73,355
Other
expenses
........................................
16,235
4,006
13,969
94,344
Total
Expenses
2,262,475
856,778
1,611,844
10,848,316
Less
expense
reimbursements
.............................
(
31,088
)
(
77,383
)
(
99,077
)
(
521
)
Net
Expenses
2,231,387
779,395
1,512,767
10,847,795
Net
Investment
Income
(Loss)
3,904,068
550,995
4,174,237
28,169,628
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
41,425,837
98,033
2,437,387
308,612,982
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
20,000
—
145,147
—
Expiration
or
closing
of
futures
contracts
....................
(
375,222
)
(
1,258,133
)
(
3,324,231
)
(
8,904,372
)
Net
realized
gain
(loss)
41,070,615
(
1,160,100
)
(
741,697
)
299,708,610
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(
8,714,470
)
(
13,623,925
)
(
21,539,291
)
(
103,306,271
)
Foreign
currency
and
foreign
currency
transactions
............
(
18
)
—
(
37,836
)
—
Futures
contracts
.....................................
4,121,192
582,450
1,763,793
15,444,649
Net
change
in
unrealized
appreciation
(depreciation)
(
4,593,296
)
(
13,041,475
)
(
19,813,334
)
(
87,861,622
)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
36,477,319
(
14,201,575
)
(
20,555,031
)
211,846,988
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
40,381,387
$
(
13,650,580
)
$
(
16,380,794
)
$
240,016,616
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
8,095
$
678
$
594,391
$
2,105
Statements
of
Operations
78
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
INVESTMENT
INCOME:
Dividend
income
†
.......................................................
$
2,555,098
$
3,294,630
$
825,913
Securities
lending
income,
net
..............................................
2,020
363
297
Non-cash
dividend
income
from
non-affiliates
..................................
—
—
112,594
Total
Income
2,557,118
3,294,993
938,804
EXPENSES:
Investment
advisory
fees
..................................................
546,713
1,023,089
264,580
Custody
fees
...........................................................
26,067
26,204
27,280
Administration
&
accounting
fees
............................................
26,379
32,910
7,856
Legal
fees
.............................................................
5,852
4,603
1,115
Audit
&
tax
fees
.........................................................
30,535
41,157
39,255
Shareholder
reporting
fees
................................................
10,695
10,662
7,564
Transfer
agent
fees
......................................................
72,606
22,925
34,177
Trustee
fees
...........................................................
7,987
9,801
3,083
Distribution
fees—Class
N
.................................................
10,163
9,921
721
Interest
expense
........................................................
7,590
9,979
4,559
Recoupment
of
waiver
and/or
reimbursement
..................................
—
5,699
—
Registration
fees
........................................................
29,967
26,471
27,684
Other
expenses
........................................................
8,980
7,962
5,244
Total
Expenses
783,534
1,231,383
423,118
Less
expense
reimbursements
.............................................
(
88,871
)
(
6,597
)
(
88,764
)
Net
Expenses
694,663
1,224,786
334,354
Net
Investment
Income
(Loss)
1,862,455
2,070,207
604,450
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......................
565,411
18,826,138
5,113,583
Settlement
of
foreign
currency
and
foreign
currency
transactions
..................
(
25,013
)
104,138
145,245
Settlement
of
forward
foreign
currency
contracts
..............................
—
(
5,681,623
)
(
941,508
)
Expiration
or
closing
of
futures
contracts
....................................
(
1,266,497
)
(
4,494,804
)
(
1,487,805
)
Expiration
or
closing
of
swap
contracts
.....................................
—
(
325,963
)
330,038
Net
realized
gain
(loss)
(
726,099
)
8,427,886
3,159,553
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................................
(
9,343,981
)
(
2,210,736
)
(
7,216,466
)
Foreign
currency
and
foreign
currency
transactions
............................
43
19,291
(
25,179
)
Forward
foreign
currency
exchange
contracts
................................
—
(
1,507,125
)
(
474,419
)
Futures
contracts
.....................................................
1,043,119
4,148,332
920,584
Swap
contracts
.......................................................
—
409,225
1,289
Net
change
in
unrealized
appreciation
(depreciation)
(
8,300,819
)
858,987
(
6,794,191
)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
(
9,026,918
)
9,286,873
(
3,634,638
)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
(
7,164,463
)
$
11,357,080
$
(
3,030,188
)
________________
†
Net
of
foreign
taxes
withheld
of
............................................
$
246,316
$
194,984
$
84,232
Statements
of
Changes
in
Net
Assets
(Continued)
80
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
8,020,906
$
15,604,677
$
454,593
$
711,356
Net
realized
gain
(loss)
.............................
55,405,946
164,091,104
355,947
49,788,934
Net
change
in
unrealized
appreciation
(depreciation)
.......
21,731,284
160,918,819
(
2,767,432
)
7,748,205
Net increase
(decrease)
in
net
assets
resulting
from
operations
85,158,136
340,614,600
(
1,956,892
)
58,248,495
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
33,351,169
)
(
20,406,150
)
(
4,130,148
)
(
834,038
)
Class
N
.........................................
(
998,917
)
(
977,346
)
(
472,066
)
(
105,567
)
Class
R6
........................................
(
117,130,299
)
(
84,221,823
)
(
3,339,479
)
(
1,134,309
)
Total
distributions
(
151,480,385
)
(
105,605,319
)
(
7,941,693
)
(
2,073,914
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
16,376,554
38,512,425
5,889,310
12,193,955
Issued
in
reorganization
(Note
2)
......................
—
91,755,938
—
18,721,330
Reinvestment
of
distributions
.........................
31,067,108
18,768,314
4,130,148
832,673
Cost
of
shares
redeemed
...........................
(
52,687,465
)
(
131,560,263
)
(
7,317,856
)
(
20,700,020
)
Net
increase
(decrease)
from
capital
transactions
(
5,243,803
)
17,476,414
2,701,602
11,047,938
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
955,963
2,425,945
1,114,896
1,319,667
Issued
in
reorganization
(Note
2)
......................
—
2,638,888
—
4,711,660
Reinvestment
of
distributions
.........................
971,730
974,523
470,995
104,211
Cost
of
shares
redeemed
...........................
(
2,076,049
)
(
10,226,973
)
(
1,303,940
)
(
5,753,012
)
Net
increase
(decrease)
from
capital
transactions
(
148,356
)
(
4,187,617
)
281,951
382,526
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
54,998,681
135,009,131
997,647
2,799,317
Issued
in
reorganization
(Note
2)
......................
—
219,637,808
—
3,460,988
Reinvestment
of
distributions
.........................
115,036,522
83,717,640
3,296,524
1,067,293
Cost
of
shares
redeemed
...........................
(
181,170,269
)
(
479,568,452
)
(
6,165,602
)
(
202,360,598
)
Net
increase
(decrease)
from
capital
transactions
(
11,135,066
)
(
41,203,873
)
(
1,871,431
)
(
195,033,000
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
16,527,225
)
(
27,915,076
)
1,112,122
(
183,602,536
)
Total
increase
(decrease)
in
net
assets
(
82,849,474
)
207,094,205
(
8,786,463
)
(
127,427,955
)
NET
ASSETS:
Beginning
of
period
................................
1,300,276,054
1,093,181,849
130,559,518
257,987,473
End
of
period
...................................
$
1,217,426,580
$
1,300,276,054
$
121,773,055
$
130,559,518
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
81
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
13,594,164
12,397,274
3,689,600
3,161,294
Shares
sold
.....................................
815,574
1,954,097
337,506
727,423
Shares
issued
in
reorganization
(Note
2)
................
—
4,921,526
—
983,402
Shares
issued
on
reinvestment
of
distributions
...........
1,547,938
1,056,180
226,309
53,429
Shares
redeemed
.................................
(
2,598,073
)
(
6,734,913
)
(
405,924
)
(
1,235,948
)
Shares
outstanding,
end
of
period
13,359,603
13,594,164
3,847,491
3,689,600
CLASS
N
Shares
outstanding,
beginning
of
period
................
416,504
602,833
443,339
440,172
Shares
sold
.....................................
46,111
124,349
62,804
75,058
Shares
issued
in
reorganization
(Note
2)
................
—
140,591
—
247,991
Shares
issued
on
reinvestment
of
distributions
...........
47,987
54,443
25,836
6,692
Shares
redeemed
.................................
(
101,070
)
(
505,712
)
(
71,621
)
(
326,574
)
Shares
outstanding,
end
of
period
409,532
416,504
460,358
443,339
CLASS
R6
Shares
outstanding,
beginning
of
period
................
48,411,191
49,015,867
2,966,042
17,263,343
Shares
sold
.....................................
2,691,857
7,074,389
54,440
180,312
Shares
issued
in
reorganization
(Note
2)
................
—
11,795,167
—
181,631
Shares
issued
on
reinvestment
of
distributions
...........
5,740,345
4,719,145
180,434
68,492
Shares
redeemed
.................................
(
8,795,836
)
(
24,193,377
)
(
341,470
)
(
14,727,736
)
Shares
outstanding,
end
of
period
48,047,557
48,411,191
2,859,446
2,966,042
Statements
of
Changes
in
Net
Assets
(Continued)
82
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
Non
CFC
SOP
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
5,172,115
$
11,707,545
$
5,004,488
$
13,375,394
Net
realized
gain
(loss)
.............................
(
2,453,857
)
19,332,609
(
3,818,776
)
8,815,301
Net
change
in
unrealized
appreciation
(depreciation)
.......
(
7,205,641
)
41,570,668
(
35,145,508
)
24,964,305
Net increase
(decrease)
in
net
assets
resulting
from
operations
(
4,487,383
)
72,610,822
(
33,959,796
)
47,155,000
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,258,789
)
(
941,639
)
(
1,303,522
)
(
268,251
)
Class
N
.........................................
(
107,632
)
(
73,097
)
(
79,037
)
(
13,670
)
Class
R6
........................................
(
12,740,223
)
(
3,966,559
)
(
14,256,350
)
(
6,077,241
)
Total
distributions
(
15,106,644
)
(
4,981,295
)
(
15,638,909
)
(
6,359,162
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
14,742,872
19,134,903
15,675,109
15,122,529
Issued
in
reorganization
(Note
2)
......................
—
21,564,516
—
45,381,580
Reinvestment
of
distributions
.........................
2,257,515
939,906
1,303,522
268,251
Cost
of
shares
redeemed
...........................
(
13,440,831
)
(
22,220,170
)
(
19,837,633
)
(
14,438,032
)
Net
increase
(decrease)
from
capital
transactions
3,559,556
19,419,155
(
2,859,002
)
46,334,328
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
467,935
605,767
255,130
431,443
Issued
in
reorganization
(Note
2)
......................
—
1,430,851
—
3,778,398
Reinvestment
of
distributions
.........................
106,459
72,458
79,037
13,670
Cost
of
shares
redeemed
...........................
(
1,231,746
)
(
3,156,898
)
(
780,363
)
(
1,191,148
)
Net
increase
(decrease)
from
capital
transactions
(
657,352
)
(
1,047,822
)
(
446,196
)
3,032,363
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
23,013,338
34,485,809
26,426,287
48,563,950
Issued
in
reorganization
(Note
2)
......................
—
189,245,491
—
204,896,221
Reinvestment
of
distributions
.........................
12,370,783
3,916,431
14,070,492
5,980,271
Cost
of
shares
redeemed
...........................
(
35,977,279
)
(
55,398,505
)
(
48,709,830
)
(
47,892,850
)
Net
increase
(decrease)
from
capital
transactions
(
593,158
)
172,249,226
(
8,213,051
)
211,547,592
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
2,309,046
190,620,559
(
11,518,249
)
260,914,283
Total
increase
(decrease)
in
net
assets
(
17,284,981
)
258,250,086
(
61,116,954
)
301,710,121
NET
ASSETS:
Beginning
of
period
................................
504,023,828
245,773,742
643,278,651
341,568,530
End
of
period
...................................
$
486,738,847
$
504,023,828
$
582,161,697
$
643,278,651
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
83
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
6,225,267
4,646,854
5,460,518
1,823,270
Shares
sold
.....................................
1,141,470
1,523,503
1,324,574
1,210,655
Shares
issued
in
reorganization
(Note
2)
................
—
1,734,332
—
3,558,865
Shares
issued
on
reinvestment
of
distributions
...........
173,388
79,721
109,264
22,947
Shares
redeemed
.................................
(
1,023,104
)
(
1,759,143
)
(
1,656,058
)
(
1,155,219
)
Shares
outstanding,
end
of
period
6,517,021
6,225,267
5,238,298
5,460,518
CLASS
N
Shares
outstanding,
beginning
of
period
................
319,890
389,023
317,900
81,779
Shares
sold
.....................................
35,638
47,365
21,203
34,177
Shares
issued
in
reorganization
(Note
2)
................
—
115,272
—
295,342
Shares
issued
on
reinvestment
of
distributions
...........
8,183
6,151
6,603
1,165
Shares
redeemed
.................................
(
94,470
)
(
237,921
)
(
65,669
)
(
94,563
)
Shares
outstanding,
end
of
period
269,241
319,890
280,037
317,900
CLASS
R6
Shares
outstanding,
beginning
of
period
................
31,912,193
17,983,584
46,939,594
30,383,517
Shares
sold
.....................................
1,773,843
2,729,631
2,206,158
3,803,849
Shares
issued
in
reorganization
(Note
2)
................
—
15,248,944
—
16,069,284
Shares
issued
on
reinvestment
of
distributions
...........
952,331
332,747
1,180,410
511,572
Shares
redeemed
.................................
(
2,763,316
)
(
4,382,713
)
(
4,147,240
)
(
3,828,628
)
Shares
outstanding,
end
of
period
31,875,051
31,912,193
46,178,922
46,939,594
Statements
of
Changes
in
Net
Assets
(Continued)
84
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
3,904,068
$
4,131,059
$
550,995
$
50,128
Net
realized
gain
(loss)
.............................
41,070,615
194,430,630
(
1,160,100
)
63,515,862
Net
change
in
unrealized
appreciation
(depreciation)
.......
(
4,593,296
)
48,088,573
(
13,041,475
)
12,349,908
Net increase
(decrease)
in
net
assets
resulting
from
operations
40,381,387
246,650,262
(
13,650,580
)
75,915,898
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
120,461,315
)
(
91,796,791
)
(
41,786,280
)
(
10,072,275
)
Class
N
.........................................
(
9,150,793
)
(
7,669,340
)
(
1,374,605
)
(
266,221
)
Class
R6
........................................
(
48,116,565
)
(
22,346,322
)
(
11,928,673
)
(
3,705,630
)
Total
distributions
(
177,728,673
)
(
121,812,453
)
(
55,089,558
)
(
14,044,126
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
41,591,072
91,508,816
19,914,034
22,484,037
Issued
in
reorganization
(Note
2)
......................
—
156,869,586
—
54,888,450
Reinvestment
of
distributions
.........................
120,338,699
91,699,560
41,484,288
10,061,786
Cost
of
shares
redeemed
...........................
(
141,529,400
)
(
249,384,346
)
(
30,411,565
)
(
82,966,538
)
Net
increase
(decrease)
from
capital
transactions
20,400,371
90,693,616
30,986,757
4,467,735
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
5,597,944
9,064,424
1,532,445
825,407
Issued
in
reorganization
(Note
2)
......................
—
6,361,522
—
3,793,173
Reinvestment
of
distributions
.........................
9,150,791
7,669,310
1,374,605
266,221
Cost
of
shares
redeemed
...........................
(
6,230,969
)
(
17,549,529
)
(
1,507,542
)
(
3,706,845
)
Net
increase
(decrease)
from
capital
transactions
8,517,766
5,545,727
1,399,508
1,177,956
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
17,100,819
71,143,856
6,095,806
17,333,896
Issued
in
reorganization
(Note
2)
......................
—
117,196,343
—
5,853,310
Reinvestment
of
distributions
.........................
47,940,969
22,131,319
11,928,521
3,641,462
Cost
of
shares
redeemed
...........................
(
47,852,362
)
(
50,179,894
)
(
12,431,398
)
(
23,533,340
)
Net
increase
(decrease)
from
capital
transactions
17,189,426
160,291,624
5,592,929
3,295,328
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
46,107,563
256,530,967
37,979,194
8,941,019
Total
increase
(decrease)
in
net
assets
(
91,239,723
)
381,368,776
(
30,760,944
)
70,812,791
NET
ASSETS:
Beginning
of
period
................................
1,160,692,572
779,323,796
277,613,087
206,800,296
End
of
period
...................................
$
1,069,452,849
$
1,160,692,572
$
246,852,143
$
277,613,087
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
85
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
29,516,085
25,183,797
8,105,017
8,249,096
Shares
sold
.....................................
1,634,315
3,633,447
942,423
876,631
Shares
issued
in
reorganization
(Note
2)
................
—
6,723,107
—
2,003,046
Shares
issued
on
reinvestment
of
distributions
...........
4,819,331
3,883,287
1,954,962
418,962
Shares
redeemed
.................................
(
5,353,149
)
(
9,907,553
)
(
1,379,456
)
(
3,442,718
)
Shares
outstanding,
end
of
period
30,616,582
29,516,085
9,622,946
8,105,017
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,168,791
1,912,932
228,039
193,339
Shares
sold
.....................................
220,262
352,417
63,979
32,331
Shares
issued
in
reorganization
(Note
2)
................
—
272,334
—
138,366
Shares
issued
on
reinvestment
of
distributions
...........
365,885
324,298
64,718
11,068
Shares
redeemed
.................................
(
236,566
)
(
693,190
)
(
70,016
)
(
147,065
)
Shares
outstanding,
end
of
period
2,518,372
2,168,791
286,720
228,039
CLASS
R6
Shares
outstanding,
beginning
of
period
................
11,466,385
4,765,416
2,380,310
2,187,452
Shares
sold
.....................................
697,858
2,708,275
285,551
768,388
Shares
issued
in
reorganization
(Note
2)
................
—
5,043,566
—
214,425
Shares
issued
on
reinvestment
of
distributions
...........
1,929,991
939,906
564,797
152,326
Shares
redeemed
.................................
(
1,855,752
)
(
1,990,778
)
(
547,282
)
(
942,281
)
Shares
outstanding,
end
of
period
12,238,482
11,466,385
2,683,376
2,380,310
Statements
of
Changes
in
Net
Assets
(Continued)
86
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
4,174,237
$
8,281,164
$
28,169,628
$
67,843,199
Net
realized
gain
(loss)
.............................
(
741,697
)
34,551,724
299,708,610
185,937,334
Net
change
in
unrealized
appreciation
(depreciation)
.......
(
19,813,334
)
43,714,860
(
87,861,622
)
875,139,852
Net increase
(decrease)
in
net
assets
resulting
from
operations
(
16,380,794
)
86,547,748
240,016,616
1,128,920,385
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
7,146,673
)
(
2,925,291
)
(
100,392,574
)
(
55,799,506
)
Class
N
.........................................
(
722,658
)
(
631,114
)
(
9,987,482
)
(
5,034,562
)
Class
R6
........................................
(
4,644,731
)
(
1,660,841
)
(
36,529,186
)
(
21,166,797
)
Total
distributions
(
12,514,062
)
(
5,217,246
)
(
146,909,242
)
(
82,000,865
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
23,698,382
43,595,217
312,948,472
959,422,458
Issued
in
reorganization
(Note
2)
......................
—
66,687,281
—
—
Reinvestment
of
distributions
.........................
7,110,033
2,897,383
98,434,127
54,849,296
Cost
of
shares
redeemed
...........................
(
47,124,620
)
(
83,581,267
)
(
858,804,995
)
(
2,074,105,707
)
Net
increase
(decrease)
from
capital
transactions
(
16,316,205
)
29,598,614
(
447,422,396
)
(
1,059,833,953
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
4,221,370
7,166,402
27,058,613
56,132,285
Issued
in
reorganization
(Note
2)
......................
—
3,203,657
—
—
Reinvestment
of
distributions
.........................
719,000
631,098
9,949,249
5,030,510
Cost
of
shares
redeemed
...........................
(
33,052,556
)
(
13,816,803
)
(
86,496,245
)
(
172,640,993
)
Net
increase
(decrease)
from
capital
transactions
(
28,112,186
)
(
2,815,646
)
(
49,488,383
)
(
111,478,198
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
9,713,493
48,690,693
85,432,341
390,159,729
Issued
in
reorganization
(Note
2)
......................
—
56,530,409
—
—
Reinvestment
of
distributions
.........................
4,624,597
1,656,212
35,611,441
21,040,427
Cost
of
shares
redeemed
...........................
(
31,610,480
)
(
45,133,714
)
(
379,743,577
)
(
695,891,947
)
Net
increase
(decrease)
from
capital
transactions
(
17,272,390
)
61,743,600
(
258,699,795
)
(
284,691,791
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
61,700,781
)
88,526,568
(
755,610,574
)
(
1,456,003,942
)
Total
increase
(decrease)
in
net
assets
(
90,595,637
)
169,857,070
(
662,503,200
)
(
409,084,422
)
NET
ASSETS:
Beginning
of
period
................................
601,204,949
431,347,879
5,679,932,513
6,089,016,935
End
of
period
...................................
$
510,609,312
$
601,204,949
$
5,017,429,313
$
5,679,932,513
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
87
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
17,386,714
15,819,338
131,882,887
170,746,021
Shares
sold
.....................................
1,229,638
2,365,993
10,306,026
34,876,376
Shares
issued
in
reorganization
(Note
2)
................
—
3,686,702
—
—
Shares
issued
on
reinvestment
of
distributions
...........
364,244
164,793
3,123,901
2,092,686
Shares
redeemed
.................................
(
2,444,978
)
(
4,650,112
)
(
28,336,687
)
(
75,832,196
)
Shares
outstanding,
end
of
period
16,535,618
17,386,714
116,976,127
131,882,887
CLASS
N
Shares
outstanding,
beginning
of
period
................
3,584,618
3,737,181
14,651,144
18,663,666
Shares
sold
.....................................
224,743
387,168
900,357
2,060,270
Shares
issued
in
reorganization
(Note
2)
................
—
177,475
—
—
Shares
issued
on
reinvestment
of
distributions
...........
36,815
35,956
316,150
192,151
Shares
redeemed
.................................
(
1,680,566
)
(
753,162
)
(
2,868,232
)
(
6,264,943
)
Shares
outstanding,
end
of
period
2,165,610
3,584,618
12,999,419
14,651,144
CLASS
R6
Shares
outstanding,
beginning
of
period
................
10,513,011
7,111,272
45,467,132
55,378,100
Shares
sold
.....................................
521,040
2,626,098
2,830,263
14,293,606
Shares
issued
in
reorganization
(Note
2)
................
—
3,131,428
—
—
Shares
issued
on
reinvestment
of
distributions
...........
237,402
94,413
1,131,600
803,990
Shares
redeemed
.................................
(
1,671,813
)
(
2,450,200
)
(
12,259,171
)
(
25,008,564
)
Shares
outstanding,
end
of
period
9,599,640
10,513,011
37,169,824
45,467,132
Statements
of
Changes
in
Net
Assets
(Continued)
88
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
1,862,455
$
5,157,434
$
2,070,207
$
4,767,261
Net
realized
gain
(loss)
.............................
(
726,099
)
2,744,552
8,427,886
59,394,860
Net
change
in
unrealized
appreciation
(depreciation)
.......
(
8,300,819
)
26,560,137
858,987
6,282,301
Net increase
(decrease)
in
net
assets
resulting
from
operations
(
7,164,463
)
34,462,123
11,357,080
70,444,422
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,998,211
)
(
2,438,608
)
(
1,831,658
)
(
187,131
)
Class
N
.........................................
(
173,359
)
(
142,507
)
(
899,735
)
(
64,019
)
Class
R6
........................................
(
3,977,204
)
(
1,397,870
)
(
36,526,098
)
(
4,226,634
)
Total
distributions
(
7,148,774
)
(
3,978,985
)
(
39,257,491
)
(
4,477,784
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
13,768,395
24,505,392
243,366
702,116
Reinvestment
of
distributions
.........................
2,991,989
2,433,745
1,830,546
187,131
Cost
of
shares
redeemed
...........................
(
16,901,962
)
(
59,530,294
)
(
1,845,770
)
(
3,715,845
)
Net
increase
(decrease)
from
capital
transactions
(
141,578
)
(
32,591,157
)
228,142
(
2,826,598
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
228,662
1,789,081
571,060
2,324,119
Reinvestment
of
distributions
.........................
173,332
142,507
899,735
64,019
Cost
of
shares
redeemed
...........................
(
1,687,784
)
(
3,654,713
)
(
817,946
)
(
971,910
)
Net
increase
(decrease)
from
capital
transactions
(
1,285,790
)
(
1,723,125
)
652,849
1,416,228
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
32,834,864
82,961,179
37,027,984
31,631,055
Reinvestment
of
distributions
.........................
3,459,795
1,391,743
36,502,590
4,224,178
Cost
of
shares
redeemed
...........................
(
16,597,646
)
(
16,016,301
)
(
32,458,732
)
(
81,200,705
)
Net
increase
(decrease)
from
capital
transactions
19,697,013
68,336,621
41,071,842
(
45,345,472
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
18,269,645
34,022,339
41,952,833
(
46,755,842
)
Total
increase
(decrease)
in
net
assets
3,956,408
64,505,477
14,052,422
19,210,796
NET
ASSETS:
Beginning
of
period
................................
271,049,185
206,543,708
330,294,419
311,083,623
End
of
period
...................................
$
275,005,593
$
271,049,185
$
344,346,841
$
330,294,419
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
89
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
7,810,200
9,957,462
1,555,962
1,844,523
Shares
sold
.....................................
937,582
1,672,341
24,551
68,892
Shares
issued
on
reinvestment
of
distributions
...........
198,408
172,240
185,091
20,035
Shares
redeemed
.................................
(
1,148,056
)
(
3,991,843
)
(
180,256
)
(
377,488
)
Shares
outstanding,
end
of
period
7,798,134
7,810,200
1,585,348
1,555,962
CLASS
N
Shares
outstanding,
beginning
of
period
................
585,280
700,109
746,740
601,865
Shares
sold
.....................................
14,962
119,665
57,867
236,669
Shares
issued
on
reinvestment
of
distributions
...........
11,076
9,734
92,092
6,921
Shares
redeemed
.................................
(
107,635
)
(
244,228
)
(
83,803
)
(
98,715
)
Shares
outstanding,
end
of
period
503,683
585,280
812,896
746,740
CLASS
R6
Shares
outstanding,
beginning
of
period
................
9,556,811
4,986,241
29,121,791
33,446,503
Shares
sold
.....................................
2,265,930
5,551,380
3,650,456
3,135,104
Shares
issued
on
reinvestment
of
distributions
...........
229,582
98,565
3,664,919
449,381
Shares
redeemed
.................................
(
1,136,613
)
(
1,079,375
)
(
3,242,276
)
(
7,909,197
)
Shares
outstanding,
end
of
period
10,915,710
9,556,811
33,194,890
29,121,791
Statements
of
Changes
in
Net
Assets
(Continued)
90
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
OPERATIONS:
Net
investment
income
(loss)
..........................................................
$
604,450
$
2,695,777
Net
realized
gain
(loss)
...............................................................
3,159,553
20,838,792
Net
change
in
unrealized
appreciation
(depreciation)
.........................................
(
6,794,191
)
(
1,310,570
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
(
3,030,188
)
22,223,999
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
...........................................................................
(
2,653,296
)
(
2,053,796
)
Class
N
...........................................................................
(
28,361
)
(
161,344
)
Class
R6
..........................................................................
(
1,774,228
)
(
1,481,353
)
Total
distributions
(
4,455,885
)
(
3,696,493
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
Proceeds
from
shares
sold
............................................................
2,021,151
3,795,314
Reinvestment
of
distributions
...........................................................
1,964,458
1,625,870
Cost
of
shares
redeemed
.............................................................
(
24,736,298
)
(
27,894,946
)
Net
increase
(decrease)
from
capital
transactions
(
20,750,689
)
(
22,473,762
)
CLASS
N
—
—
Proceeds
from
shares
sold
............................................................
260
22,257
Reinvestment
of
distributions
...........................................................
28,313
20,855
Cost
of
shares
redeemed
.............................................................
(
130,805
)
(
5,553,837
)
Net
increase
(decrease)
from
capital
transactions
(
102,232
)
(
5,510,725
)
CLASS
R6
—
—
Proceeds
from
shares
sold
............................................................
2,454,301
13,083,415
Reinvestment
of
distributions
...........................................................
1,770,341
1,476,693
Cost
of
shares
redeemed
.............................................................
(
31,341,075
)
(
12,657,910
)
Net
increase
(decrease)
from
capital
transactions
(
27,116,433
)
1,902,198
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
47,969,354
)
(
26,082,289
)
Total
increase
(decrease)
in
net
assets
(
55,455,427
)
(
7,554,783
)
NET
ASSETS:
Beginning
of
period
..................................................................
105,469,790
113,024,573
End
of
period
.....................................................................
$
50,014,363
$
105,469,790
$
—
$
—
Statements
of
Changes
in
Net
Assets
91
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2022
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
..................................................
5,255,403
7,366,557
Shares
sold
.......................................................................
200,377
356,904
Shares
issued
on
reinvestment
of
distributions
.............................................
190,354
162,414
Shares
redeemed
...................................................................
(
2,382,328
)
(
2,630,472
)
Shares
outstanding,
end
of
period
3,263,806
5,255,403
CLASS
N
Shares
outstanding,
beginning
of
period
..................................................
58,215
552,521
Shares
sold
.......................................................................
25
2,037
Shares
issued
on
reinvestment
of
distributions
.............................................
2,664
2,028
Shares
redeemed
...................................................................
(
12,310
)
(
498,371
)
Shares
outstanding,
end
of
period
48,594
58,215
CLASS
R6
Shares
outstanding,
beginning
of
period
..................................................
4,216,645
4,002,124
Shares
sold
.......................................................................
223,846
1,173,240
Shares
issued
on
reinvestment
of
distributions
.............................................
159,203
137,461
Shares
redeemed
...................................................................
(
2,893,130
)
(
1,096,180
)
Shares
outstanding,
end
of
period
1,706,564
4,216,645
92
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
20.84
0.12
1.27
1.39
(0.26)
(2.26)
(2.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.63
0.22
6
4.78
5.00
(0.23)
(1.56)
(1.79)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.84
0.23
1.48
1.71
(0.21)
(0.71)
(0.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.21
9
(1.06)
(0.85)
(0.27)
(0.87)
(1.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.23
2.13
2.36
(0.22)
(0.18)
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
14.00
0.22
2.84
3.06
(0.19)
—
(0.19)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
20.95
0.10
1.28
1.38
(0.19)
(2.26)
(2.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.72
0.17
6
4.81
4.98
(0.19)
(1.56)
(1.75)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.76
0.20
1.47
1.67
—
(0.71)
(0.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.74
0.17
9
(1.06)
(0.89)
(0.22)
(0.87)
(1.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.79
0.18
2.13
2.31
(0.18)
(0.18)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.94
0.18
2.82
3.00
(0.15)
—
(0.15)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
20.83
0.13
1.27
1.40
(0.28)
(2.26)
(2.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.62
0.24
6
4.78
5.02
(0.25)
(1.56)
(1.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.83
0.25
1.48
1.73
(0.23)
(0.71)
(0.94)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.23
9
(1.07)
(0.84)
(0.29)
(0.87)
(1.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.25
2.13
2.38
(0.24)
(0.18)
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
14.00
0.24
2.84
3.08
(0.21)
—
(0.21)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
18.38
0.06
(0.33)
(0.27)
(0.08)
(1.05)
(1.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.35
0.07
6,10
6.24
6.31
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.33
0.08
0.07
11
0.15
(0.12)
(0.01)
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.88
0.11
9
(2.14)
(2.03)
(0.08)
(1.44)
(1.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.09
0.10
1.27
1.37
(0.12)
(1.46)
(1.58)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.96
0.12
12
2.39
2.51
(0.14)
(0.24)
(0.38)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
18.32
0.04
(0.33)
(0.29)
(0.03)
(1.05)
(1.08)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.32
0.03
6,10
6.22
6.25
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.29
0.04
0.08
11
0.12
(0.08)
(0.01)
(0.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.08
9
(2.12)
(2.04)
(0.05)
(1.44)
(1.49)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.01
0.06
1.28
1.34
(0.07)
(1.46)
(1.53)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.90
0.08
12
2.37
2.45
(0.10)
(0.24)
(0.34)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
18.41
0.07
(0.33)
(0.26)
(0.10)
(1.05)
(1.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.37
0.10
6,10
6.23
6.33
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.35
0.08
0.08
11
0.16
(0.13)
(0.01)
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.91
0.13
9
(2.15)
(2.02)
(0.10)
(1.44)
(1.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.11
0.11
1.29
1.40
(0.14)
(1.46)
(1.60)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.98
0.13
12
2.39
2.52
(0.15)
(0.24)
(0.39)
93
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
19.71
6.45%
$
263,342
0.41%
0.41%
0.40%
1.18%
21%
$
20.84
30.10%
$
283,306
0.41%
7
0.41%
7
0.40%
7
1.13%
6
59%
8
$
17.63
10.30%
$
218,609
0.45%
0.44%
0.44%
1.38%
48%
$
16.84
(3.55)%
$
361,920
0.44%
0.44%
0.44%
1.29%
9
55%
$
18.83
14.11%
$
507,109
0.44%
0.44%
0.44%
1.28%
64%
$
16.87
22.01%
$
457,339
0.45%
0.44%
0.44%
1.46%
61%
$
19.88
6.35%
$
8,140
0.66%
0.66%
0.65%
0.92%
21%
$
20.95
29.73%
$
8,726
0.66%
7
0.66%
7
0.65%
7
0.87%
6
59%
8
$
17.72
10.07%
$
10,681
0.71%
0.69%
0.69%
1.17%
48%
$
16.76
(3.84)%
$
57,421
0.70%
0.70%
0.70%
1.02%
9
55%
$
18.74
13.83%
$
71,104
0.70%
0.70%
0.70%
1.02%
64%
$
16.79
21.69%
$
62,679
0.71%
0.70%
0.70%
1.19%
61%
$
19.69
6.51%
$
945,945
0.31%
0.31%
0.30%
1.28%
21%
$
20.83
30.26%
$
1,008,244
0.31%
7
0.31%
7
0.30%
7
1.23%
6
59%
8
$
17.62
10.43%
$
863,892
0.35%
0.34%
0.34%
1.51%
48%
$
16.83
(3.50)%
$
1,027,712
0.35%
0.35%
0.35%
1.38%
9
55%
$
18.83
14.20%
$
1,366,762
0.35%
0.35%
0.35%
1.37%
64%
$
16.87
22.18%
$
1,246,028
0.36%
0.35%
0.35%
1.54%
61%
$
16.98
(1.90)%
$
65,348
0.72%
0.61%
0.60%
0.68%
17%
$
18.38
51.47%
$
67,830
0.83%
7
0.72%
7
0.71%
7
0.43%
6,10
60%
8
$
12.35
1.13%
$
39,049
0.70%
0.65%
0.64%
0.63%
51%
$
12.33
(11.74)%
$
42,197
0.66%
0.64%
0.64%
0.92%
9
70%
$
15.88
9.18%
$
61,690
0.66%
0.65%
0.64%
0.63%
64%
$
16.09
18.12%
$
55,115
0.69%
0.65%
0.65%
0.79%
12
61%
$
16.95
(2.02)%
$
7,804
0.97%
0.86%
0.85%
0.42%
17%
$
18.32
51.05%
$
8,123
1.08%
7
0.97%
7
0.96%
7
0.16%
6,10
60%
8
$
12.32
0.87%
$
5,421
0.95%
0.90%
0.89%
0.36%
51%
$
12.29
(11.94)%
$
8,304
0.92%
0.90%
0.90%
0.66%
9
70%
$
15.82
8.94%
$
7,795
0.92%
0.90%
0.90%
0.38%
64%
$
16.01
17.79%
$
8,624
0.94%
0.90%
0.90%
0.53%
12
61%
$
17.00
(1.87)%
$
48,621
0.62%
0.51%
0.50%
0.78%
17%
$
18.41
51.60%
$
54,607
0.74%
7
0.63%
7
0.62%
7
0.64%
6,10
60%
8
$
12.37
1.22%
$
213,517
0.60%
0.55%
0.54%
0.70%
51%
$
12.35
(11.66)%
$
501,656
0.57%
0.55%
0.55%
1.02%
9
70%
$
15.91
9.34%
$
675,945
0.57%
0.55%
0.55%
0.73%
64%
$
16.11
18.17%
$
733,984
0.59%
0.55%
0.55%
0.89%
12
61%
94
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
13.12
0.13
(0.25)
(0.12)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.69
0.34
6
2.31
2.65
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.06
0.22
(0.25)
(0.03)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.76
0.28
(0.60)
(0.32)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.95
0.28
(0.18)
0.10
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.23
0.24
1.74
1.98
(0.26)
—
(0.26)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
13.08
0.11
(0.25)
(0.14)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.66
0.28
6
2.33
2.61
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.03
0.19
(0.25)
(0.06)
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.73
0.24
(0.59)
(0.35)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.92
0.24
(0.17)
0.07
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.20
0.21
1.75
1.96
(0.24)
—
(0.24)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
13.10
0.13
(0.24)
(0.11)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.67
0.37
6
2.29
2.66
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.05
0.23
(0.26)
(0.03)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.75
0.28
(0.59)
(0.31)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.94
0.29
(0.18)
0.11
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.22
0.26
1.73
1.99
(0.27)
—
(0.27)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
12.20
0.09
(0.74)
(0.65)
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.57
0.34
6,10
1.48
1.82
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.14
0.92
1.06
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.58
0.25
9
(0.86)
(0.61)
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.23
15
(0.59)
(0.36)
(0.18)
—
(0.18)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.27
0.18
1.88
2.06
(0.21)
—
(0.21)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
12.22
0.07
(0.73)
(0.66)
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.60
0.33
6,10
1.46
1.79
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.77
0.14
0.90
1.04
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.57
0.16
9
(0.79)
(0.63)
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.19
15
(0.59)
(0.40)
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.28
0.15
1.89
2.04
(0.20)
—
(0.20)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
12.20
0.10
(0.74)
(0.64)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.58
0.31
6,10
1.51
1.82
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.76
0.18
0.89
1.07
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.59
0.23
9
(0.83)
(0.60)
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.13
0.24
15
(0.59)
(0.35)
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.28
0.19
1.88
2.07
(0.22)
—
(0.22)
95
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
12.61
(1.01)%
$
82,176
0.59%
0.56%
0.55%
2.00%
36%
$
13.12
24.97%
$
81,680
0.61%
7
0.56%
7
0.56%
7
2.61%
6
62%
8
$
10.69
(0.51)%
$
49,672
0.67%
0.60%
0.59%
2.04%
74%
$
11.06
(2.37)%
$
50,189
0.67%
0.60%
0.60%
2.56%
57%
$
11.76
0.81%
$
82,661
0.64%
0.60%
0.60%
2.36%
61%
$
11.95
19.91%
$
76,307
0.65%
0.60%
13
0.60%
13
2.26%
14
55%
$
12.59
(1.18)%
$
3,391
0.83%
0.81%
0.80%
1.71%
36%
$
13.08
24.67%
$
4,184
0.86%
7
0.81%
7
0.81%
7
2.17%
6
62%
8
$
10.66
(0.75)%
$
4,147
0.92%
0.85%
0.84%
1.82%
74%
$
11.03
(2.62)%
$
4,261
0.92%
0.85%
0.85%
2.25%
57%
$
11.73
0.51%
$
6,892
0.89%
0.85%
0.85%
2.04%
61%
$
11.92
19.69%
$
8,836
0.91%
0.85%
13
0.85%
13
1.95%
14
55%
$
12.59
(0.91)%
$
401,172
0.49%
0.46%
0.45%
2.07%
36%
$
13.10
25.13%
$
418,160
0.51%
7
0.46%
7
0.46%
7
2.89%
6
62%
8
$
10.67
(0.47)%
$
191,955
0.57%
0.50%
0.49%
2.16%
74%
$
11.05
(2.27)%
$
217,891
0.57%
0.50%
0.50%
2.54%
57%
$
11.75
0.90%
$
329,854
0.54%
0.50%
0.50%
2.44%
61%
$
11.94
20.04%
$
385,126
0.56%
0.50%
13
0.50%
13
2.41%
14
55%
$
11.26
(5.47)%
$
58,995
0.78%
0.71%
0.70%
1.49%
27%
$
12.20
17.26%
$
66,601
0.80%
7
0.72%
7
0.72%
7
2.68%
6,10
61%
8
$
10.57
10.94%
$
19,271
0.86%
0.75%
0.75%
1.48%
58%
$
9.75
(5.68)%
$
36,722
0.84%
0.75%
0.75%
2.51%
9
62%
$
10.58
(3.35)%
$
17,266
0.85%
0.74%
0.74%
2.01%
15
54%
$
11.12
22.99%
$
17,013
0.86%
0.74%
0.74%
1.89%
51%
$
11.30
(5.52)%
$
3,163
1.03%
0.96%
0.95%
1.24%
27%
$
12.22
16.96%
$
3,885
1.05%
7
0.96%
7
0.96%
7
2.56%
6,10
61%
8
$
10.60
10.65%
$
867
1.12%
1.00%
1.00%
1.47%
58%
$
9.77
(5.92)%
$
677
1.09%
1.00%
1.00%
1.64%
9
62%
$
10.57
(3.70)%
$
1,675
1.11%
1.00%
1.00%
1.63%
15
54%
$
11.12
22.64%
$
2,301
1.12%
1.00%
1.00%
1.58%
51%
$
11.26
(5.37)%
$
520,004
0.68%
0.61%
0.60%
1.60%
27%
$
12.20
17.32%
$
572,793
0.71%
7
0.63%
7
0.63%
7
2.44%
6,10
61%
8
$
10.58
11.03%
$
321,431
0.77%
0.65%
0.65%
1.82%
58%
$
9.76
(5.59)%
$
305,195
0.74%
0.65%
0.65%
2.32%
9
62%
$
10.59
(3.27)%
$
313,070
0.76%
0.65%
0.65%
2.07%
15
54%
$
11.13
23.05%
$
333,540
0.77%
0.65%
0.65%
1.94%
51%
96
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
26.92
0.09
0.97
1.06
(0.13)
(4.25)
(4.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.47
0.10
6
6.30
6.40
(0.17)
(3.78)
(3.95)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.57
0.20
3.92
4.12
(0.25)
(1.97)
(2.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.99
0.26
9
(0.44)
(0.18)
(0.22)
(2.02)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
22.00
0.19
4.77
4.96
(0.21)
(1.76)
(1.97)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.44
0.24
2.88
3.12
(0.32)
(1.24)
(1.56)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
26.92
0.05
0.97
1.02
(0.06)
(4.25)
(4.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.46
0.04
6
6.31
6.35
(0.11)
(3.78)
(3.89)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.56
0.15
3.90
4.05
(0.18)
(1.97)
(2.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.96
0.21
9
(0.43)
(0.22)
(0.16)
(2.02)
(2.18)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.98
0.13
4.77
4.90
(0.16)
(1.76)
(1.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.42
0.19
2.87
3.06
(0.26)
(1.24)
(1.50)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
26.83
0.10
0.96
1.06
(0.15)
(4.25)
(4.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.40
0.13
6
6.28
6.41
(0.20)
(3.78)
(3.98)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.51
0.23
3.90
4.13
(0.27)
(1.97)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.94
0.29
9
(0.45)
(0.16)
(0.25)
(2.02)
(2.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.96
0.22
4.75
4.97
(0.23)
(1.76)
(1.99)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.41
0.26
2.87
3.13
(0.34)
(1.24)
(1.58)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
25.93
0.05
16
(1.11)
(1.06)
(0.07)
(5.18)
(5.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.47
(0.00)
6,17
7.92
7.92
(0.15)
(1.31)
(1.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.09
1.56
1.65
(0.10)
(0.74)
(0.84)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.09
9
(3.83)
(3.74)
(0.04)
(4.70)
(4.74)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.83
0.05
15
4.58
4.63
(0.06)
(2.26)
(2.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.80
0.10
12
4.10
4.20
(0.17)
—
(0.17)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
25.91
0.02
16
(1.11)
(1.09)
(0.01)
(5.18)
(5.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.45
(0.07)
6
7.93
7.86
(0.09)
(1.31)
(1.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.04
1.56
1.60
(0.07)
(0.74)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.05
9
(3.83)
(3.78)
(0.00)
17
(4.70)
(4.70)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.82
(0.00)
15,17
4.58
4.58
—
(2.26)
(2.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.68
0.05
12
4.09
4.14
—
—
—
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
25.85
0.06
16
(1.11)
(1.05)
(0.09)
(5.18)
(5.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.41
0.03
6
7.89
7.92
(0.17)
(1.31)
(1.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.61
0.11
1.56
1.67
(0.13)
(0.74)
(0.87)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.10
0.13
9
(3.85)
(3.72)
(0.07)
(4.70)
(4.77)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.79
0.08
15
4.58
4.66
(0.09)
(2.26)
(2.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.77
0.12
12
4.09
4.21
(0.19)
—
(0.19)
97
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
23.60
3.02%
$
722,518
0.41%
0.41%
0.40%
0.67%
42%
$
26.92
28.54%
$
794,698
0.42%
7
0.41%
7
0.40%
7
0.41%
6
102%
8
$
24.47
19.52%
$
616,263
0.42%
0.40%
0.40%
0.91%
75%
$
22.57
1.38%
$
678,252
0.41%
0.40%
0.40%
1.21%
9
61%
$
24.99
23.94%
$
986,458
0.40%
0.39%
0.39%
0.84%
66%
$
22.00
16.37%
$
869,688
0.41%
0.40%
0.40%
1.19%
88%
$
23.63
2.88%
$
59,497
0.66%
0.66%
0.65%
0.43%
42%
$
26.92
28.27%
$
58,376
0.67%
7
0.66%
7
0.65%
7
0.15%
6
102%
8
$
24.46
19.20%
$
46,797
0.67%
0.65%
0.65%
0.69%
75%
$
22.56
1.14%
$
67,654
0.66%
0.65%
0.65%
0.97%
9
61%
$
24.96
23.61%
$
77,381
0.65%
0.65%
0.65%
0.58%
66%
$
21.98
16.07%
$
59,044
0.66%
0.65%
0.65%
0.94%
88%
$
23.49
3.06%
$
287,438
0.31%
0.31%
0.30%
0.77%
42%
$
26.83
28.68%
$
307,619
0.31%
7
0.31%
7
0.30%
7
0.51%
6
102%
8
$
24.40
19.66%
$
116,264
0.32%
0.30%
0.30%
1.05%
75%
$
22.51
1.48%
$
202,063
0.31%
0.30%
0.30%
1.33%
9
61%
$
24.94
24.06%
$
101,971
0.30%
0.30%
0.30%
0.93%
66%
$
21.96
16.47%
$
65,920
0.31%
0.30%
0.30%
1.28%
88%
$
19.62
(5.62)%
$
188,820
0.67%
0.61%
0.60%
0.40%
16
31%
$
25.93
41.25%
$
210,181
0.67%
7
0.61%
7
0.60%
7
0.00%
6
103%
8
$
19.47
8.89%
$
160,586
0.67%
0.60%
0.60%
0.48%
86%
$
18.66
(10.90)%
$
201,555
0.66%
0.60%
0.60%
0.46%
9
79%
$
27.14
20.11%
$
346,665
0.63%
0.60%
0.60%
0.21%
15
73%
$
24.83
20.30%
$
359,470
0.64%
0.60%
0.60%
0.46%
12
86%
$
19.63
(5.72)%
$
5,627
0.92%
0.86%
0.85%
0.14%
16
31%
$
25.91
40.98%
$
5,908
0.92%
7
0.86%
7
0.85%
7
(0.28)%
6
103%
8
$
19.45
8.59%
$
3,761
0.92%
0.85%
0.85%
0.23%
86%
$
18.66
(11.09)%
$
4,395
0.91%
0.85%
0.85%
0.28%
9
79%
$
27.14
19.84%
$
2,835
0.85%
0.83%
0.83%
(0.02)%
15
73%
$
24.82
20.02%
$
1,720
0.86%
0.82%
0.82%
0.24%
12
86%
$
19.53
(5.58)%
$
52,405
0.57%
0.51%
0.50%
0.51%
16
31%
$
25.85
41.41%
$
61,524
0.57%
7
0.51%
7
0.50%
7
0.11%
6
103%
8
$
19.41
8.99%
$
42,453
0.57%
0.50%
0.50%
0.60%
86%
$
18.61
(10.80)%
$
54,417
0.56%
0.50%
0.50%
0.67%
9
79%
$
27.10
20.26%
$
21,162
0.53%
0.50%
0.50%
0.31%
15
73%
$
24.79
20.39%
$
11,914
0.54%
0.50%
0.50%
0.54%
12
86%
98
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
19.11
0.14
(0.76)
(0.62)
(0.44)
—
(0.44)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.19
0.29
6
2.83
3.12
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.98
0.21
1.37
1.58
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.31
(0.87)
(0.56)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.50
0.29
0.37
0.66
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.86
0.31
1.65
1.96
(0.32)
—
(0.32)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
19.05
0.12
(0.77)
(0.65)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.14
0.23
6
2.85
3.08
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.94
0.18
1.35
1.53
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.77
0.27
(0.86)
(0.59)
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.46
0.26
0.36
0.62
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.82
0.28
1.65
1.93
(0.29)
—
(0.29)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
19.08
0.15
(0.75)
(0.60)
(0.46)
—
(0.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.16
0.31
6
2.83
3.14
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.96
0.23
1.35
1.58
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.80
0.33
(0.87)
(0.54)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.49
0.32
0.35
0.67
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.85
0.33
1.65
1.98
(0.34)
—
(0.34)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
29.60
0.16
1.08
1.24
(0.34)
(0.47)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.88
0.31
6
4.75
5.06
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.83
0.33
1.99
2.32
(0.26)
(0.01)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.18
0.34
1.62
1.96
(0.23)
(0.08)
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.23
0.30
3.10
3.40
(0.27)
(0.18)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.71
0.29
2.55
2.84
(0.23)
(0.09)
(0.32)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
29.50
0.12
1.08
1.20
(0.25)
(0.47)
(0.72)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.81
0.24
6
4.73
4.97
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.76
0.27
1.99
2.26
(0.20)
(0.01)
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.11
0.28
1.62
1.90
(0.17)
(0.08)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.18
0.25
3.09
3.34
(0.23)
(0.18)
(0.41)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.68
0.25
2.54
2.79
(0.20)
(0.09)
(0.29)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
29.57
0.17
1.09
1.26
(0.36)
(0.47)
(0.83)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.87
0.33
6
4.73
5.06
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.81
0.36
1.99
2.35
(0.28)
(0.01)
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.15
0.35
1.63
1.98
(0.24)
(0.08)
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.21
0.32
3.09
3.41
(0.29)
(0.18)
(0.47)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.69
0.30
2.55
2.85
(0.24)
(0.09)
(0.33)
99
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
18.05
(3.44)%
$
298,537
0.59%
0.56%
0.55%
1.49%
31%
$
19.11
19.40%
$
332,293
0.60%
7
0.56%
7
0.55%
7
1.54%
6
84%
8
$
16.19
10.62%
$
256,067
0.60%
0.55%
0.55%
1.41%
72%
$
14.98
(3.26)%
$
270,031
0.61%
0.55%
0.55%
2.12%
70%
$
15.82
4.31%
$
348,643
0.60%
0.55%
0.55%
1.84%
65%
$
15.50
14.67%
$
326,526
0.63%
0.55%
13
0.55%
13
2.26%
14
84%
$
18.05
(3.56)%
$
39,096
0.84%
0.81%
0.80%
1.21%
31%
$
19.05
19.18%
$
68,275
0.85%
7
0.81%
7
0.80%
7
1.24%
6
84%
8
$
16.14
10.33%
$
60,332
0.86%
0.80%
0.80%
1.18%
72%
$
14.94
(3.51)%
$
36,694
0.86%
0.80%
0.80%
1.86%
70%
$
15.77
4.02%
$
40,452
0.85%
0.80%
0.80%
1.61%
65%
$
15.46
14.38%
$
34,030
0.88%
0.80%
13
0.80%
13
1.99%
14
84%
$
18.02
(3.35)%
$
172,976
0.49%
0.46%
0.45%
1.57%
31%
$
19.08
19.55%
$
200,637
0.50%
7
0.46%
7
0.45%
7
1.69%
6
84%
8
$
16.16
10.68%
$
114,949
0.50%
0.45%
0.45%
1.50%
72%
$
14.96
(3.15)%
$
129,267
0.51%
0.45%
0.45%
2.25%
70%
$
15.80
4.34%
$
63,978
0.50%
0.45%
0.45%
1.99%
65%
$
15.49
14.80%
$
45,913
0.53%
0.45%
13
0.45%
13
2.35%
14
84%
$
30.03
4.07%
$
3,512,783
0.40%
0.40%
0.39%
1.03%
11%
$
29.60
20.53%
$
3,903,177
0.37%
7
0.37%
7
0.37%
7
1.13%
6
17%
$
24.88
10.21%
$
4,248,841
0.40%
0.40%
0.40%
1.44%
35%
$
22.83
9.59%
$
3,262,596
0.39%
0.38%
0.38%
1.60%
20%
$
21.18
18.92%
$
1,502,430
0.39%
0.39%
0.39%
1.52%
18%
$
18.23
18.32%
$
793,828
0.41%
0.40%
0.40%
1.69%
16%
$
29.98
3.96%
$
389,659
0.66%
0.66%
0.65%
0.78%
11%
$
29.50
20.17%
$
432,165
0.66%
7
0.65%
7
0.65%
7
0.85%
6
17%
$
24.81
9.95%
$
463,060
0.66%
0.65%
0.65%
1.18%
35%
$
22.76
9.30%
$
389,897
0.66%
0.65%
0.65%
1.33%
20%
$
21.11
18.58%
$
309,274
0.65%
0.64%
0.64%
1.27%
18%
$
18.18
17.99%
$
239,074
0.67%
0.65%
0.65%
1.46%
16%
$
30.00
4.15%
$
1,114,987
0.31%
0.31%
0.30%
1.13%
11%
$
29.57
20.55%
$
1,344,591
0.31%
7
0.30%
7
0.30%
7
1.20%
6
17%
$
24.87
10.32%
$
1,377,116
0.31%
0.30%
0.30%
1.55%
35%
$
22.81
9.72%
$
1,275,970
0.31%
0.30%
0.30%
1.61%
20%
$
21.15
18.99%
$
309,211
0.30%
0.30%
0.30%
1.61%
18%
$
18.21
18.43%
$
197,705
0.32%
0.30%
0.30%
1.79%
16%
100
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
15.08
0.10
(0.50)
(0.40)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.29
1.86
2.15
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.23
0.20
11
0.43
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.34
(0.35)
(0.01)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.27
0.32
15
0.10
0.42
(0.29)
(0.02)
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.10
0.30
12
1.04
1.34
(0.17)
—
(0.17)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
15.60
0.08
(0.51)
(0.43)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.63
0.26
1.92
2.18
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.52
0.24
0.18
11
0.42
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.71
0.33
(0.36)
(0.03)
(0.16)
—
(0.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.58
0.26
15
0.14
0.40
(0.25)
(0.02)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.40
0.28
12
1.06
1.34
(0.16)
—
(0.16)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
15.08
0.11
(0.50)
(0.39)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.33
1.83
2.16
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.28
0.16
11
0.44
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.33
(0.33)
0.00
17
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.26
0.34
15
0.10
0.44
(0.30)
(0.02)
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.09
0.31
12
1.03
1.34
(0.17)
—
(0.17)
AQR
GLOBAL
EQUITY
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
10.45
0.06
0.32
0.38
(0.20)
(1.02)
(1.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.61
0.13
1.82
1.95
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.20
0.06
0.47
0.53
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.11
0.15
(0.72)
(0.57)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.89
0.13
0.54
0.67
(0.08)
(0.37)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.12
0.11
1.43
1.54
(0.18)
(0.59)
(0.77)
AQR
GLOBAL
EQUITY
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
10.32
0.04
0.33
0.37
(0.18)
(1.02)
(1.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.52
0.11
1.79
1.90
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.12
0.08
0.43
0.51
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.06
0.13
(0.73)
(0.60)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.84
0.09
0.55
0.64
(0.05)
(0.37)
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.07
0.09
1.43
1.52
(0.16)
(0.59)
(0.75)
AQR
GLOBAL
EQUITY
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
10.52
0.06
0.33
0.39
(0.21)
(1.02)
(1.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.67
0.14
1.84
1.98
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.27
0.12
0.41
0.53
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.19
0.14
(0.70)
(0.56)
(0.15)
(0.21)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.96
0.13
0.55
0.68
(0.08)
(0.37)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.18
0.12
1.45
1.57
(0.20)
(0.59)
(0.79)
101
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
14.30
(2.76)%
$
111,535
0.62%
0.56%
0.55%
1.28%
13%
$
15.08
16.44%
$
117,803
0.63%
0.55%
0.55%
1.94%
30%
$
13.18
3.21%
$
131,283
0.64%
0.55%
0.55%
1.79%
27%
$
13.09
0.18%
$
202,228
0.64%
0.55%
0.55%
2.64%
24%
$
13.38
3.15%
$
173,932
0.63%
0.55%
0.55%
2.41%
15
21%
$
13.27
11.29%
$
145,091
0.67%
0.55%
13
0.55%
13
2.43%
12,14
3%
$
14.83
(2.90)%
$
7,470
0.87%
0.81%
0.80%
0.99%
13%
$
15.60
16.13%
$
9,129
0.88%
0.80%
0.80%
1.69%
30%
$
13.63
3.04%
$
9,541
0.90%
0.80%
0.80%
1.79%
27%
$
13.52
(0.10)%
$
7,221
0.89%
0.80%
0.80%
2.51%
24%
$
13.71
2.90%
$
4,266
0.88%
0.80%
0.80%
1.84%
15
21%
$
13.58
11.01%
$
30,102
0.92%
0.80%
13
0.80%
13
2.21%
12,14
3%
$
14.29
(2.72)%
$
156,001
0.52%
0.46%
0.45%
1.45%
13%
$
15.08
16.54%
$
144,117
0.54%
0.45%
0.45%
2.21%
30%
$
13.18
3.32%
$
65,720
0.55%
0.45%
0.45%
2.20%
27%
$
13.09
0.26%
$
31,493
0.54%
0.45%
0.45%
2.58%
24%
$
13.38
3.32%
$
28,741
0.53%
0.45%
0.45%
2.54%
15
21%
$
13.26
11.38%
$
19,716
0.57%
0.45%
13
0.45%
13
2.57%
12,14
3%
$
9.61
3.30%
$
15,242
0.81%
0.81%
0.80%
1.09%
56%
$
10.45
22.81%
$
16,256
0.82%
0.80%
0.80%
1.28%
95%
$
8.61
6.48%
$
15,876
0.82%
0.80%
0.80%
0.76%
94%
$
8.20
(5.78)%
$
187,408
0.81%
0.80%
0.80%
1.82%
122%
$
9.11
7.65%
$
198,954
0.82%
0.80%
0.80%
1.42%
87%
$
8.89
20.70%
$
41,551
0.89%
0.82%
0.82%
1.37%
88%
$
9.49
3.21%
$
7,716
1.06%
1.06%
1.05%
0.86%
56%
$
10.32
22.46%
$
7,706
1.07%
1.05%
1.05%
1.10%
95%
$
8.52
6.24%
$
5,126
1.07%
1.05%
1.05%
0.94%
94%
$
8.12
(6.17)%
$
4,573
1.06%
1.05%
1.05%
1.59%
122%
$
9.06
7.36%
$
2,120
1.07%
1.05%
1.05%
1.02%
87%
$
8.84
20.57%
$
2,254
1.14%
1.07%
1.07%
1.09%
88%
$
9.68
3.38%
$
321,389
0.71%
0.71%
0.70%
1.23%
56%
$
10.52
23.00%
$
306,332
0.72%
0.70%
0.70%
1.39%
95%
$
8.67
6.40%
$
290,082
0.72%
0.70%
0.70%
1.47%
94%
$
8.27
(5.67)%
$
106,872
0.72%
0.70%
0.70%
1.72%
122%
$
9.19
7.74%
$
173,425
0.72%
0.70%
0.70%
1.39%
87%
$
8.96
20.98%
$
146,167
0.77%
0.70%
0.70%
1.48%
88%
102
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Total
Distributions
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2022
$
10.72
0.08
(0.54)
(0.46)
(0.55)
—
(0.55)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.25
0.23
18
1.56
1.79
(0.32)
—
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.50
0.13
19
(0.08)
0.05
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.49
0.23
(0.97)
(0.74)
(0.17)
(0.08)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.66
0.22
15
(0.32)
(0.10)
(0.25)
(0.82)
(1.07)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.17
0.20
1.73
1.93
(0.30)
(0.14)
(0.44)
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2022
$
10.99
0.08
(0.58)
(0.50)
(0.50)
—
(0.50)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.48
0.04
18
1.77
1.81
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.12
19
(0.11)
0.01
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.74
0.22
(0.99)
(0.77)
(0.14)
(0.08)
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.88
0.21
15
(0.33)
(0.12)
(0.20)
(0.82)
(1.02)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.35
0.18
1.77
1.95
(0.28)
(0.14)
(0.42)
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2022
$
11.50
0.09
(0.57)
(0.48)
(0.56)
—
(0.56)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.91
0.28
18
1.64
1.92
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
10.16
0.16
19
(0.10)
0.06
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.20
0.26
(1.04)
(0.78)
(0.18)
(0.08)
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
12.39
0.24
15
(0.35)
(0.11)
(0.26)
(0.82)
(1.08)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.77
0.27
1.81
2.08
(0.32)
(0.14)
(0.46)
103
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2022
(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
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
9.71
(4.63)%
$
31,683
1.08%
0.86%
0.85%
1.45%
41%
$
10.72
19.55%
$
56,319
1.00%
0.85%
0.85%
2.18%
18
92%
$
9.25
0.23%
$
68,121
0.91%
0.86%
0.85%
1.42%
19
84%
$
9.50
(6.86)%
$
191,080
0.88%
0.84%
0.84%
2.43%
91%
$
10.49
(1.24)%
$
391,509
0.88%
0.86%
0.86%
1.97%
15
87%
$
11.66
19.96%
$
346,078
0.98%
0.91%
13
0.91%
13
1.89%
14
83%
$
9.99
(4.80)%
$
486
1.31%
1.11%
1.10%
1.49%
41%
$
10.99
19.32%
$
640
1.18%
1.10%
1.10%
0.41%
18
92%
$
9.48
(0.12)%
$
5,238
1.14%
1.11%
1.10%
1.29%
19
84%
$
9.75
(7.03)%
$
7,951
1.05%
1.01%
1.01%
2.20%
91%
$
10.74
(1.41)%
$
13,090
1.10%
1.09%
1.09%
1.85%
15
87%
$
11.88
19.68%
$
14,873
1.24%
1.16%
13
1.16%
13
1.71%
14
83%
$
10.46
(4.49)%
$
17,845
0.98%
0.76%
0.75%
1.54%
41%
$
11.50
19.63%
$
48,511
0.92%
0.75%
0.75%
2.41%
18
92%
$
9.91
0.34%
$
39,666
0.82%
0.76%
0.75%
1.68%
19
84%
$
10.16
(6.80)%
$
39,853
0.80%
0.76%
0.76%
2.56%
91%
$
11.20
(1.23)%
$
44,742
0.79%
0.77%
0.77%
2.04%
15
87%
$
12.39
20.20%
$
44,105
0.85%
0.81%
13
0.81%
13
2.39%
14
83%
104
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
FUND
NET
INVESTMENT
INCOME
(LOSS)
PER
SHARE
NET
INVESTMENT
INCOME
(LOSS)
RATIO
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0
.23
1
.13%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0
.17
0
.87
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.24
1
.23
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0
.06
0
.36
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0
.02
0
.09
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.09
0
.56
AQR
International
Multi-Style
Fund
–
Class
I
......................................
0
.34
2
.61
AQR
International
Multi-Style
Fund
–
Class
N
.....................................
0
.28
2
.17
AQR
International
Multi-Style
Fund
–
Class
R6
....................................
0
.37
2
.89
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0
.34
2
.69
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0
.33
2
.56
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0
.31
2
.45
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0
.11
0
.41
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0
.04
0
.16
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0
.13
0
.51
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0
.00
0
.00
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
(0
.07)
(0
.27)
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0
.03
0
.12
AQR
International
Momentum
Style
Fund
–
Class
I
.................................
0
.29
1
.55
AQR
International
Momentum
Style
Fund
–
Class
N
................................
0
.23
1
.24
AQR
International
Momentum
Style
Fund
–
Class
R6
...............................
0
.31
1
.70
AQR
Large
Cap
Defensive
Style
Fund
–
Class
I
...................................
0
.31
1
.13
AQR
Large
Cap
Defensive
Style
Fund
–
Class
N
...................................
0
.24
0
.85
AQR
Large
Cap
Defensive
Style
Fund
–
Class
R6
..................................
0
.33
1
.20
*
Annualized
for
periods
less
than
one
year.
1
Per
share
net
investment
income
(loss)
and
net
realized
and
unrealized
gain
(loss)
are
based
on
average
shares
outstanding.
2
Includes
adjustments
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
and
as
such,
the
net
asset
value
for
financial
reporting
purposes
and
the
returns
based
upon
those
net
asset
values
may
differ
from
the
net
asset
value
and
returns
for
shareholder
transactions.
3
Total
investment
return
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period
and
redemption
on
the
last
day
of
the
period
and
is
not
annualized.
4
Ratios
do
not
include
the
impact
of
the
expenses
of
the
underlying
funds
in
which
the
Funds
invest.
5
Portfolio
turnover
rate
excludes
derivatives,
if
any,
and
is
not
annualized.
6
Includes
extraordinary
non-recurring
expenses
related
to
the
Funds’
reorganizations
and/or
the
closing
agreement
with
the
Internal
Revenue
Service
(“IRS”)
and
reimbursement
related
to
such
closing
agreement.
Without
these
costs
and
reimbursement,
the
Net
Investment
Income
(Loss)
Per
Share
and
Net
Investment
Income
(Loss)
Ratio
would
have
been:
105
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
FUND
TOTAL
EXPENSES
TOTAL
EXPENSES
AFTER
FEES
REIMBURSED
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
0
.41
%
0.40%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.66
0.65
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.31
0.30
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0.72
0.61
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.97
0.86
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.62
0.51
AQR
International
Multi-Style
Fund
–
Class
I
......................................
0.60
0.55
AQR
International
Multi-Style
Fund
–
Class
N
.....................................
0.86
0.80
AQR
International
Multi-Style
Fund
–
Class
R6
....................................
0.51
0.45
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.79
0.71
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
1.04
0.96
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.70
0.62
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0.41
0.40
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.66
0.65
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.31
0.30
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.66
0.60
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.92
0.85
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.57
0.50
AQR
International
Momentum
Style
Fund
–
Class
I
.................................
0.60
0.55
AQR
International
Momentum
Style
Fund
–
Class
N
................................
0.85
0.80
AQR
International
Momentum
Style
Fund
–
Class
R6
...............................
0.50
0.45
AQR
Large
Cap
Defensive
Style
Fund
–
Class
I
...................................
0.37
0.37
AQR
Large
Cap
Defensive
Style
Fund
–
Class
N
...................................
0.65
0.65
AQR
Large
Cap
Defensive
Style
Fund
–
Class
R6
..................................
0.31
0.30
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.19
1.18%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.15
0.90
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.21
1.27
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0.09
0.77
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.06
0.51
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.11
0.87
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.23
2.28
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.14
1.41
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.21
2.09
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0.23
1.09
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.18
0.85
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.26
1.21
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.07
0.34
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.03
0.16
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.11
0.55
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.04
0.27%
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.00
0.00
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.07
0.48
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.31
2.43
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.30
2.31
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.28
2.19
7
Includes
extraordinary
non-recurring
expenses
related
to
the
Funds'
reorganizations
and/or
the
closing
agreement
with
the
IRS.
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
and
Expenses,
Net
of
Reimbursements
and/or
Waivers
would
have
been:
8
Excludes
activity
related
to
Funds’
reorganizations.
9
For
the
period
ended
September
30,
2019
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
10
For
the
period
ended
September
30,
2021
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
106
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.10
0.63%
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.06
0.37
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.11
0.73
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.08
0.35
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.03
0.13
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.10
0.43
AQR
International
Defensive
Style
Fund
–
Class
I
..................................
0.28
2.24
AQR
International
Defensive
Style
Fund
–
Class
N
.................................
0.26
2.02
AQR
International
Defensive
Style
Fund
–
Class
R6
................................
0.29
2.38
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
$
0.22
1.90%
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.18
1.52
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.23
1.96
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.03
0.12
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
(0.02)
(0.11)
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.06
0.22
AQR
International
Defensive
Style
Fund
–
Class
I
..................................
0.28
2.14
AQR
International
Defensive
Style
Fund
–
Class
N
.................................
0.22
1.57
AQR
International
Defensive
Style
Fund
–
Class
R6
................................
0.30
2.27
AQR
International
Equity
Fund
–
Class
I
.........................................
0.21
1.86
AQR
International
Equity
Fund
–
Class
N
........................................
0.20
1.74
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.23
1.93
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
$
0.01
0
.21%
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
(0.02)
(0
.05)
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.02
0
.32
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
International
Equity
Fund
–
Class
I
.........................................
$
0.21
2.02%
AQR
International
Equity
Fund
–
Class
N
........................................
0.02
0.25
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.26
2.25
11
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.
12
For
the
period
ended
September
30,
2017
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
13
Excludes
impact
of
IRS
closing
agreement
tax
expense.
14
Includes
impact
of
IRS
closing
agreement
reimbursement.
15
For
the
period
ended
September
30,
2018
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
16
For
the
period
ended
March
31,
2022
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
17
Amount
is
less
than
$.005
per
share.
18
For
the
period
ended
September
30,
2021
the
AQR
International
Equity
Fund
received
European
Union
("EU")
tax
reclaims.
Had
these
EU
tax
reclaims
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
107
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2022
(Unaudited)
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
International
Equity
Fund
–
Class
I
.........................................
$
0.12
1.32%
AQR
International
Equity
Fund
–
Class
N
........................................
0.11
1.19
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.15
1.58
19
For
the
period
ended
September
30,
2020
the
AQR
International
Equity
Fund
received
European
Union
("EU")
tax
reclaims.
Had
these
EU
tax
reclaims
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
108
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(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
March
31,
2022,
the
Trust
consists
of
twenty-three
active
series, eleven
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund,
AQR
Global
Equity
Fund
and
AQR
International
Equity
Fund.
The
remaining
active
series
are
reported
in
a
separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
investment
objective
of
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Global
Equity
Fund,
AQR
International
Equity
Fund
and AQR
Emerging
Multi-Style
II
Fund is
to
seek
long-term
capital
appreciation.
The
investment
objective
of
AQR
Large
Cap
Defensive
Style
Fund
and
AQR
International
Defensive
Style
Fund
is
to
seek
total
return.
Each
Fund
offers
Class
I,
Class
N
and
Class
R6
shares.
2.
Reorganization
On
March
8
and
March
15,
2021,
certain
Funds
(each,
an
“Acquiring
Fund”)
acquired
all
of
the
net
assets
of
another
existing
AQR
Fund
(each,
a
“Target
Fund”),
indicated
below,
pursuant
to
the
Agreement
and
Plan
of
Reorganization
approved
by
the
Funds’
Board
of
Trustees
in
November
2020.
Each
transaction
is
referred
to
as
a
“Reorganization”
and
the
transactions
are
referred
to
collectively
as
the
“Reorganizations.”
The
purpose
of
the
Reorganizations
was
to
combine
two
funds
with
comparable
investment
objectives
in
an
effort
to
achieve
operating
efficiencies
and
economies
of
scale.
The
securities
(and
cash)
held
by
the
Target
Funds
were
the
principal
amounts
acquired
by
the
Acquiring
Funds.
As
a
result
of
the
Reorganizations,
the
Acquiring
Funds
are
the
legal
and
accounting
survivors.
The
Acquiring
Fund
and
Target
Fund
for
each
Reorganization
are
shown
in
the
table
below:
ACQUIRING
FUNDS
TARGET
FUNDS
REORGANIZATION
DATE
AQR
Large
Cap
Multi-Style
Fund
AQR
TM
Large
Cap
Multi-Style
Fund
March
8,
2021
AQR
Small
Cap
Multi-Style
Fund
AQR
TM
Small
Cap
Multi-Style
Fund
March
15,
2021
AQR
International
Multi-Style
Fund
AQR
TM
International
Multi-Style
Fund
March
8,
2021
AQR
TM
Emerging
Multi-Style
Fund*
AQR
Emerging
Multi-Style
Fund
March
8,
2021
AQR
Large
Cap
Momentum
Style
Fund
AQR
TM
Large
Cap
Momentum
Style
Fund
March
8,
2021
AQR
Small
Cap
Momentum
Style
Fund
AQR
TM
Small
Cap
Momentum
Style
Fund
March
15,
2021
AQR
International
Momentum
Style
Fund
AQR
TM
International
Momentum
Style
Fund
March
15,
2021
*
Effective
upon
the
closing
of
this
Reorganization,
the
name
of
the
“AQR
TM
Emerging
Multi-Style
Fund”
was
changed
to
“AQR
Emerging
Multi-Style
II
Fund.”
109
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
Reorganizations
were
accomplished
by
a
tax-free
exchange
of
shares
then
outstanding
of
the
same
share
class
of
the
Target
Funds
at
their
respective
net
asset
values
on
March
5
and
March
12,
2021,
respectively,
in
the
following
amounts
and
at
the
following
conversion
ratios:
Distributable
amounts
of
net
income
and
realized
gains
from
the
Target
Funds
were
distributed
prior
to
the
Reorganizations.
As
a
result
of
the
Reorganizations,
the
Acquiring
Funds’
net
assets
were
combined
with
the
Target
Funds’
net
assets,
including
unrealized
appreciation
amounts,
resulting
in
the
combined
net
assets
post
Reorganizations
shown
in
the
table
below.
ACQUIRING
FUND
SHARES
PRIOR
TO
TARGET
FUND
REORGANIZATION
CONVERSION
RATIO
SHARES
OF
ACQUIRING
FUND
ISSUED
IN
REORGANIZATION
AQR
Large
Cap
Multi-Style
Fund
Class
I
.................................................................
5,525,902
0.890629
4,921,526
Class
N
................................................................
158,844
0.885088
140,591
Class
R6
...............................................................
13,217,657
0.892380
11,795,167
AQR
Small
Cap
Multi-Style
Fund
Class
I
.................................................................
1,143,630
0.859896
983,402
Class
N
................................................................
288,094
0.860800
247,991
Class
R6
...............................................................
211,107
0.860378
181,631
AQR
International
Multi-Style
Fund
Class
I
.................................................................
1,796,579
0.965353
1,734,332
Class
N
................................................................
119,349
0.965842
115,272
Class
R6
...............................................................
15,749,851
0.968196
15,248,944
AQR
Emerging
Multi-Style
II
Fund
Class
I
.................................................................
3,756,878
0.947293
3,558,865
Class
N
................................................................
312,280
0.945761
295,342
Class
R6
...............................................................
16,944,635
0.948341
16,069,284
AQR
Large
Cap
Momentum
Style
Fund
Class
I
.................................................................
5,216,293
1.288867
6,723,107
Class
N
................................................................
212,216
1.283283
272,334
Class
R6
...............................................................
3,903,981
1.291903
5,043,566
AQR
Small
Cap
Momentum
Style
Fund
Class
I
.................................................................
1,942,933
1.030939
2,003,046
Class
N
................................................................
135,347
1.022310
138,366
Class
R6
...............................................................
207,334
1.034201
214,425
AQR
International
Momentum
Style
Fund
Class
I
.................................................................
4,199,742
0.877840
3,686,702
Class
N
................................................................
202,661
0.875726
177,475
Class
R6
...............................................................
3,571,928
0.876677
3,131,428
ACQUIRING
FUND/TARGET
FUND
ACQUIRING
FUND
NET
ASSETS
PRIOR
TO
REORGANIZATION
TARGET
FUND
NET
ASSETS
PRIOR
TO
REORGANIZATION
COMBINED
FUND
NET
ASSETS
POST
REORGANIZATION
TARGET
FUND
NET
UNREALIZED
APPRECIATION
AQR
Large
Cap
Multi-Style
Fund/
AQR
TM
Large
Cap
Multi-Style
Fund
.............
$
1,150,816,072
$
314,032,634
$
1,464,848,706
$
124,523,993
AQR
Small
Cap
Multi-Style
Fund/
AQR
TM
Small
Cap
Multi-Style
Fund
.............
130,315,750
26,893,978
157,209,728
10,894,639
AQR
International
Multi-Style
Fund/
AQR
TM
International
Multi-Style
Fund
...........
279,407,628
212,240,858
491,648,486
58,223,609
AQR
Emerging
Multi-Style
II
Fund/
AQR
Emerging
Multi-Style
Fund
................
402,853,427
254,056,199
656,909,626
61,233,335
AQR
Large
Cap
Momentum
Style
Fund/
AQR
TM
Large
Cap
Momentum
Fund
............
788,109,755
280,427,451
1,068,537,206
133,119,654
AQR
Small
Cap
Momentum
Style
Fund/
AQR
TM
Small
Cap
Momentum
Fund
............
251,959,787
64,534,933
316,494,720
30,188,500
AQR
International
Momentum
Style
Fund/
AQR
TM
International
Momentum
Fund
...........
456,914,126
126,421,347
583,335,473
37,884,254
110
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
For
financial
reporting
purposes,
net
asset
received
and
shares
issued
by
the
Acquiring
Funds
were
recorded
at
fair
value.
However,
the
cost
basis
of
the
investments
received
from
the
Target
Funds
was
carried
forward
to
align
ongoing
reporting
of
the
Acquiring
Funds’
realized
and
unrealized
gains
and
losses
with
amounts
distributable
to
shareholders
for
tax
purposes.
Assuming
that
the
Reorganizations
had
been
completed
on
October
1,
2020,
the
beginning
of
the
Acquiring
Funds’
reporting
period,
the
Acquiring
Funds’
pro
forma
results
of
operations
for
the year
ended September
30,
2021 would
be:
Because
the
combined
funds
have
been
managed
as
a
single
integrated
fund
since
the
Reorganizations
were
completed,
it
is
not
practical
to
separate
the
results
of
operations
of
the
Target
Funds
that
have
been
included
in
the
Acquiring
Funds’
Statement
of
Operations
since
the
Reorganization
Dates.
Reorganization
costs
incurred
by
the
Funds
were paid
by
the
Funds
up
to
a
threshold
approved
by
the
Fund’s
Board.
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.
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.
FUND
NET
INVESTMENT
INCOME
(LOSS)
NET
REALIZED
GAIN
(LOSS)
NET
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
INCREASE
(DECREASE)
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
AQR
Large
Cap
Multi-Style
Fund
..........................
$
16,937,572
$
169,738,277
$
200,744,209
$
387,420,058
AQR
Small
Cap
Multi-Style
Fund
...........................
778,116
50,640,330
16,927,698
68,346,144
AQR
International
Multi-Style
Fund
.........................
12,506,032
21,503,968
74,533,998
108,543,998
AQR
Emerging
Multi-Style
II
Fund
..........................
14,058,353
43,491,654
35,340,951
92,890,958
AQR
Large
Cap
Momentum
Style
Fund
......................
4,719,215
205,320,739
63,127,339
273,167,293
AQR
Small
Cap
Momentum
Style
Fund
......................
98,933
65,598,117
32,090,407
97,787,457
AQR
International
Momentum
Style
Fund
....................
8,798,484
35,498,278
57,034,742
101,331,504
111
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Investment
Transactions
and
Related
Income:
Investment
transactions
are
accounted
for
on
trade
date
(the
date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
investment
transactions
are
calculated
on
a
specifically
identified
cost
basis.
Interest
income
is
recorded
on
an
accrual
basis
using
the
effective
interest
method,
which
results
in
coupon
interest
being
adjusted
for
amortization
of
premiums
and
accretion
of
discounts,
when
applicable.
Non-cash
dividends
included
in
dividend
income,
if
any,
are
recorded
at
the
fair
value
of
the
securities
received.
Upon
notification
from
issuers,
some
of
the
dividend
income
received
from
a
real
estate
investment
trust
may
be
redesignated
as
a
reduction
of
cost
of
the
related
investment
and/or
realized
gain.
The
Funds
record
distributions
received
in
excess
of
income
from
underlying
investments
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-date
dividend
notification.
The
Funds
may
file
withholding
tax
reclaims
in
certain
jurisdictions
to
recover
a
portion
of
amounts
withheld,
including
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,
if
any,
for
reclaims
is
reflected
as
dividend
income
in
the
Statements
of
Operations.
Income
recognized
related
to
EU
reclaims
pursuant
to
the
ECJ
rulings
are
reflected
as
European
Union
tax
reclaims
on
the
Statements
of
Operations.
These
reclaims
are
recorded
when
the
amount
is
known
and
there
are
no
significant
uncertainties
on
collectability.
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
March
31,
2022,
the
Funds
had
no
examinations
in
progress.
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.
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
as
well
as
an
issuer
which
is
under
common
control
with
another
fund
or
Trust.
Further,
pursuant
to
the
1940
Act,
control
is
presumed
to
exist
when,
among
other
things,
a
Fund
owns
more
than
25%
of
the
outstanding
voting
securities
of
a
portfolio
company.
112
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Additionally,
certain
Funds
may
invest
in
the
Limited
Purpose
Cash
Investment
Fund
(the
“LPCI
Fund”),
which
is
managed
by
UBS
Asset
Management
(Americas)
Inc.
The
LPCI
Fund
is
a
registered
investment
company
under
the
1940
Act
and
is
subject
to
the
money
market
regulations
as
prescribed
in
Rule
2a-7
of
the
1940
Act.
Pursuant
to
the
LPCI
Fund’s
eligibility
requirements,
shares
of
the
LPCI
Fund
are
only
available
for
sale
to
the
Adviser
and
funds
advised
by
the
Adviser.
The
LPCI
Fund
may
be
considered
an
affiliated issuer
of
some
of
the
Funds
in
the
Trust.
However,
the
Funds
do
not
invest
in
the
LPCI
Fund
for
the
purpose
of
exercising
significant
influence
over
its
management,
board
or
policies.
A
summary
of
transactions
with
each
affiliated issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
Futures
Contracts:
Certain
Funds
invest
in
futures
contracts
as
part
of
their
primary
investment
strategy
and
to
equitize
its
cash
flows.
Investments
in
futures
may
increase
or
decrease
exposure
to
a
particular
market.
In
the
event
of
a
bankruptcy
or
insolvency
of
a
futures
commission
merchant
that
holds
margin
on
behalf
of
the
Funds,
the
Funds
may
not
receive
the
return
of
the
entire
margin
owed
to
the
Funds,
potentially
resulting
in
a
loss.
A
change
in
market
value
of
an
open
futures
contract
is
recorded
in
the
Statements
of
Operations
as
net
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts.
A
realized
gain
(loss)
represents
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed
or
expired,
and
is
reported
in
the
Statements
of
Operations.
The
use
of
long
futures
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
variation
margin
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
futures
contracts
subjects
the
Funds
to
unlimited
risk
of
loss.
Futures
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Forward
Foreign
Currency
Exchange
Contracts:
Certain
Funds
buy
and
sell
forward
foreign
currency
exchange
contracts,
which
are
agreements
between
two
parties
to
buy
and
sell
currencies
at
a
set
price
on
a
future
date.
These
contracts
are
used
to
protect
against
a
decline
in
value
relative
to
the
U.S.
dollar
of
the
currencies
in
which
portfolio
securities
are
denominated
or
quoted
(or
an
increase
in
the
value
of
a
currency
in
which
securities
that
a
Fund
intends
to
buy
are
denominated,
when
a
Fund
holds
cash
reserves
and
short
term
investments),
or
for
other
investment
purposes.
The
market
value
of
the
contract
will
fluctuate
with
changes
in
currency
exchange
rates.
The
contract
is
marked
to
market
daily
and
the
change
in
market
value
is
recorded
as
unrealized
appreciation
or
depreciation.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
or
loss
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
Funds
could
be
exposed
to
risk
if
the
value
of
the
currency
changes
unfavorably,
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
Funds
are
unable
to
enter
into
a
closing
position.
Risks
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
Non-deliverable
forward
foreign
currency
exchange
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Forward
foreign
currency
exchange
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Swap
Contracts:
Certain
Funds
engage
in
various
swap
transactions
to
manage
risks
within
their
portfolios
or
as
alternatives
to
direct
investments.
Swap
transactions
may
be
privately
negotiated
in
the
over-the-counter
(“OTC”)
market
where
payments
are
settled
through
direct
payments
between
a
Fund
and
the
counterparty.
By
contrast,
certain
swap
transactions
are
subject
to
mandatory
central
clearing
(“centrally
cleared
swaps”).
These
swaps
are
executed
through
a
derivatives
clearing
member
(“DCM”),
acting
in
an
agency
capacity,
and
submitted
to
a
central
counterparty
(“CCP”),
in
which
case
all
payments
are
settled
with
the
CCP
through
the
DCM.
For
centrally
cleared
swaps,
the
Schedules
of
Investments
include
the
cumulative
appreciation
(depreciation),
while
only
the
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
For
credit
default
and
interest
rate
contracts,
an
upfront
payment
received
by
a
Fund
is
recorded
as
a
liability
and
an
upfront
payment
made
by
a
Fund
is
recorded
as
an
asset
on
the
Fund’s
Statement
of
Assets
and
Liabilities.
Upfront
payments
are
amortized
over
the
term
of
the
contract.
If
there
is
no
upfront
payment
or
receipt,
market
value
will
equal
unrealized
appreciation
(depreciation).
Payments
received
(paid)
by
a
Fund
are
recorded
as
realized
gains
(losses)
from
the
expiration
at
a
periodic
reset
date
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
use
of
swap
contracts
creates
additional
risks
beyond
those
that
would
exist
if
the
Funds
invested
in
the
underlying
positions
directly.
Total
Return
Swap
Contracts:
Certain
Funds
invest
in
total
return
swaps
to
obtain
exposure
to
the
underlying
referenced
instruments,
obtain
leverage
or
attain
the
returns
from
ownership
without
actually
owning
the
underlying
position.
Total
return
swaps
are
two-party
contracts
that
generally
obligate
one
party
to
pay
the
positive
return
and
the
other
party
to
pay
the
negative
return
on
a
specified
reference
security,
security
index
or
index
component
during
the
period
of
the
swap.
Total
return
swap
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
recorded
as
net
change
in
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Total
return
swaps
normally
do
not
involve
the
delivery
of
securities
or
other
underlying
assets.
If
the
counterparty
to
a
total
return
swap
contract
defaults,
a
Fund’s
risk
of
loss
consists
of
the
net
amount
of
payments
the
Fund
is
contractually
entitled
to
receive,
if
any.
The
use
of
long
total
return
swap
contracts
subject
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
total
return
swaps
subject
the
Funds
to
potential
unlimited
loss.
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
from
the
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments. 
Securities
Lending:
Certain
Funds
may
lend
securities
to
qualified
borrowers
approved
by
the
Adviser
in
order
to
generate
additional
income.
Securities
loaned
are
collateralized
by
cash
or
securities
issued
by
the
U.S.
Treasury
valued
at
102%
to
105%
of
the
market
value
of
the
securities
on
loan.
The
Funds
may
invest
cash
collateral
in
money
market
funds
as
indicated
on
the
Schedule
of
Investments.
The
Funds
bear
the
risk
of
loss
associated
with
the
collateral
investments
and
are
not
entitled
to
additional
collateral
from
the
borrower
to
cover
any
such
losses.
113
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Daily
market
fluctuations
could
cause
the
value
of
loaned
securities
to
be
more
or
less
than
the
value
of
the
collateral
received.
When
this
occurs,
the
collateral
is
adjusted
and
settled
on
the
next
business
day.
Securities
lending
also
involves
counterparty
risks,
including
the
risk
that
the
loaned
securities
may
not
be
returned
in
a
timely
manner
or
at
all.
In
the
event
of
a
default
by
a
borrower
with
respect
to
any
loan,
the
lending
agent
will
exercise
any
and
all
remedies
provided
under
the
applicable
borrower
agreement
to
make
the
Funds
whole.
If,
despite
such
efforts
by
the
lending
agent
to
exercise
these
remedies,
the
Funds
sustain
losses
as
a
result
of
a
borrower’s
default,
the
lending
agent
indemnifies
the
Funds
by
purchasing
replacement
securities
at
its
expense,
or
paying
the
Funds
an
amount
equal
to
the
market
value
of
the
replacement
securities,
subject
to
certain
limitations
which
are
set
forth
in
the
Securities
Lending
Agency
Agreement
between
the
Funds
and
the
lending
agent.
Non-cash
collateral
received,
if
any,
is
disclosed
in
a
footnote
to
the
Schedules
of
Investments
for
each
Fund.
Securities
lending
income,
net
on
the
Statements
of
Operations
represents
fees
charged
to
borrowers
plus
income
earned
on
invested
cash
collateral
and
non-cash
collateral,
less
expenses
associated
with
the
loan.
Certain
of
the
securities
on
loan
may
have
been
sold
prior
to
the
close
of
the
reporting
period
and
are
included
in
Receivables
for
Securities
Sold
on
the
Statements
of
Assets
and
Liabilities.
Security
loans
can
be
terminated
at
the
discretion
of
either
the
lending
agent
or
the
Fund
and
the
related
securities
must
be
returned
within
the
earlier
of
the
standard
trade
settlement
period
for
such
securities
or
within
three
business
days.
At
period
end,
Funds
with
investments
securities
on
loan
disclose
the
balance
of
such
securities
on
loan
in
the
footnotes
to
the
Schedule
of
Investments. The
fair
value
of
the
Funds'
investment
securities
on
loan
and
a
related
liability
for
collateral
received
on
securities
loaned
are
both
presented
gross
on
the
Statements
of
Assets
and
Liabilities.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
i)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
ii)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
options
or
short
sales
of
securities
between
certain
Funds
and
selected
counterparties.
These
arrangements
provide
financing
terms
for
such
transactions
and
include
guidelines
surrounding
the
rights,
obligations,
and
other
events,
including,
but
not
limited
to,
margin,
execution,
and
settlement.
These
agreements
maintain
provisions
for
payments,
maintenance
of
collateral,
events
of
default,
and
termination.
Margin
and
other
assets
delivered
as
collateral
are
typically
held
by
the
prime
broker
and
offset
any
obligations
due
to
the
prime
broker.
Customer
Account
Agreements
govern
cleared
derivatives
transactions
and
exchange-traded
futures
and
options
transactions.
Upon
entering
into
an
exchange-traded
or
centrally
cleared
derivative
contract,
the
Funds
are
required
to
deposit
with
the
relevant
clearing
organization
cash
or
securities,
which
are
referred
to
as
the
initial
margin.
Securities
deposited
as
initial
margin
are
designated
on
the
Schedules
of
Investments
and
cash
deposited
is
recorded
as
Deposits
with
brokers
for
centrally
cleared
swaps
and
Deposits
with
brokers
for
futures
contracts
on
the
Statements
of
Assets
and
Liabilities.
For
exchange-traded
futures
or
centrally
cleared
swaps,
initial
margin
is
posted,
and
daily
changes
in
fair
value
are
recorded
as
a
payable
or
receivable
on
the
Statements
of
Assets
and
Liabilities
as
Variation
margin
on
centrally
cleared
swaps
and
Variation
margin
on
futures
contracts.
Variation
margin
is
determined
separately
for
exchange-traded
futures
and
centrally
cleared
swaps
and
cannot
be
netted.
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
and
Credit
Support
Annexes
(“ISDA
Master
Agreements”)
govern
OTC
derivative
transactions
entered
into
between
certain
Funds
and
a
counterparty.
ISDA
Master
Agreements
maintain
provisions
for
general
obligations,
representations,
netting
of
settlement
payments,
agreements
to
deliver
supporting
documents,
collateral
transfer
and
events
of
default
or
termination.
Events
of
termination
include
a
decline
in
the
Fund’s
net
assets
below
a
specified
threshold
over
a
certain
period
of
time
or
a
decline
in
the
counterparty’s
long-term
and
short-term
credit
ratings
below
a
specified
level.
In
each
case,
upon
occurrence,
the
other
party
may
elect
to
terminate
early
and
cause
settlement
of
all
OTC
contracts
outstanding,
including
the
payment
of
any
losses
and
costs
resulting
from
such
early
termination,
as
reasonably
determined
by
the
terminating
party.
Any
decision
by
a
party
to
elect
early
termination
could
be
material
to
the
financial
statements
and
impact
a
Fund’s
future
derivative
activity.
Collateral
pledged
by
a
Fund
for
OTC
derivatives
pursuant
to
a
Master
Agreement
is
segregated
by
the
Fund’s
custodian
and
identified
as
an
asset
in
the
Statements
of
Assets
and
Liabilities
either
as
a
component
of
Investments
in
securities,
at
value
(securities)
or
in
Due
from
brokers
(cash).
Collateral
and
margin
requirements
differ
according
to
the
terms
of
each
type
of
Master
Agreement.
Collateral
is
routinely
transferred
if
the
total
net
exposure
net
of
existing
collateral
already
in
place
governed
under
the
relevant
Master
Agreement
with
a
counterparty
in
a
given
account
exceeds
a
specified
threshold.
Collateral
can
be
in
the
form
of
cash,
debt
securities
issued
by
the
U.S.
government,
money
market
funds
and
other
securities
as
agreed
to
by
the
Fund
and
the
applicable
counterparty,
or
as
permitted
by
the
clearing
house
or
exchange.
Collateral
posted
for
the
benefit
of
a
Fund
pursuant
to
a
Master
Agreement
is
held
by
a
custodian
of
the
Fund.
Amounts
which
can
be
invested
or
repledged,
are
presented
in
the
Fund’s
Schedule
of
Investments.
Segregation
of
a
fund’s
collateral
in
the
custodian
account
helps
mitigate
counterparty
risk.
Collateral
received
is
reflected
as
a
liability
within
Due
to
brokers
in
the
Statements
of
Assets
and
Liabilities.
As
governed
by
the
relevant
Master
Agreements,
interest
expense
may
be
incurred
if
a
counterparty
charges
the
Fund
interest
on
collateral
posted
directly
to
a
Fund’s
custodian
account.
114
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
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”).
The
Adviser
has
established
a
Valuation
Committee
(the
“VC”)
to
assist
the
Board
with
oversight
and
monitoring
of
the
valuation
of
the
Funds’
investments.
This
includes
administering,
implementing
and
overseeing
the
continual
appropriateness
of
valuation
approaches
applied
and
the
determination
of
adjustments
to
the
fair
valuation
of
portfolio
securities
and
other
financial
derivative
instruments
in
good
faith
after
consideration
of
market
factor
changes
and
events
affecting
issuers.
The
Adviser
performs
a
series
of
activities
to
provide
reasonable
assurance
of
the
accuracy
of
prices
including:
(i)
periodic
vendor
due
diligence
meetings,
review
of
approaches
and
techniques,
new
developments
and
processes
at
vendors,
(ii)
review
of
daily
comparison
of
security
valuation
versus
prior
day
for
all
securities
that
exceeded
established
thresholds,
(iii)
review
of
third
party
model
prices
against
internal
model
prices,
and
(iv)
review
of
the
results
of
back
testing
and
reports
for
the
Board
on
the
results
of
fair
value
determinations.
Where
market
quotes
are
readily
available,
fair
market
value
is
generally
determined
on
the
basis
of
official
closing
prices
or
the
last
reported
sales
prices,
or
if
no
sales
are
reported,
based
on
quotes
obtained
from
pricing
services
or
established
market
makers.
Where
market
quotations
are
not
readily
available,
or
if
an
available
market
quotation
is
determined
not
to
reflect
fair
value,
securities
or
financial
derivatives
are
valued
at
fair
value,
as
determined
in
good
faith
by
the
VC
in
accordance
with
the
valuation
procedures
approved
by
the
Funds’
Board.
Using
fair
value
to
price
a
security
may
require
subjective
determinations
about
the
value
of
a
security
that
could
result
in
a
value
that
is
different
from
a
security’s
most
recent
closing
price
and
from
the
prices
used
by
other
mutual
funds
to
calculate
their
net
assets.
It
is
possible
the
estimated
values
may
differ
significantly
from
the
values
which
would
have
been
used
had
an
active
ready
market
for
the
investments
existed.
These
differences
could
be
material.
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
Valuation
Techniques:
The
following
inputs
and
techniques
may
be
used
by
the
Funds
to
evaluate
how
to
classify
each
major
category
of
assets
and
liabilities
into
the
appropriate
fair
value
hierarchy
in
accordance
with
GAAP.
Equity
securities,
including
securities
sold
short,
rights,
exchange
options,
warrants,
Exchange-Traded
Funds
(“ETFs”)
and
closed-end
investment
companies,
are
valued
at
the
last
quoted
sales
prices
or
official
closing
prices
taken
from
the
primary
market,
or
composite
in
which
each
security
trades
and
are
therefore
classified
Level
1.
Investments
in
mutual
funds
are
valued
daily
at
their
NAVs
which
are
also
classified
as
Level
1.
115
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
An
equity
for
which
no
sales
are
reported,
as
in
the
case
of
a
security
that
is
traded
in
the
over-the-counter
market
or
a
less
liquid
listed
equity,
is
valued
at
its
last
bid
price
(in
the
case
of
short
sales,
at
the
ask
price)
and
is
therefore
classified
Level
2.
In
addition,
equities
traded
outside
of
the
Western
Hemisphere,
or
in
foreign
markets
that
close
at
4:00pm
Eastern
time
where
the
market
is
closed
due
to
a
holiday,
are
classified
Level
2
because
they
are
fair
valued
daily
based
on
the
application
of
a
fair
value
factor
(unless
the
Adviser
determines
that
use
of
another
valuation
methodology
is
appropriate).
The
Funds
apply
daily
fair
value
factors,
furnished
by
an
independent
pricing
service,
to
account
for
the
market
movement
between
the
close
of
the
foreign
market
and
the
close
of
the
NYSE.
The
pricing
service
uses
statistical
analysis
and
quantitative
models
to
adjust
local
market
prices
using
factors
such
as
subsequent
movement
and
changes
in
the
prices
of
indices,
American
Depositary
Receipts,
futures
contracts
and
exchange
rates
in
other
markets
in
determining
fair
value
as
of
the
time
a
Fund
calculates
its
net
asset
value.
Investments
classified
within
Level
3
have
significant
unobservable
inputs,
as
they
trade
infrequently
or
not
at
all.
Level
3
instruments
include
illiquid
securities.
When
observable
prices
are
not
available
for
these
securities,
the
Funds
may
use
one
or
more
valuation
approaches
(e.g.,
the
market
approach,
the
income
approach,
or
the
cost
approach),
including
proprietary
models
for
which
sufficient
and
reliable
data
is
available.
Within
Level
3,
the
market
approach
generally
is
based
on
the
technique
of
using
comparable
market
transactions,
while
the
use
of
the
income
approach
includes
the
estimation
of
future
cash
flows
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
durations
of
any
restrictions
on
the
disposition
of
the
investment
or
adjusted
as
appropriate
for
credit,
market
and/or
other
risk
factors.
The
inputs
used
by
the
Funds
in
estimating
the
value
of
Level
3
investments
include
the
original
transaction
price,
recent
transactions
in
the
same
or
similar
instruments,
completed
or
pending
third-party
transactions
in
the
underlying
investment
or
comparable
issuers,
subsequent
rounds
of
financing,
recapitalizations
and
other
transactions
across
the
capital
structure,
offerings
in
the
equity
or
debt
capital
markets,
changes
in
financial
ratios
or
cash
flows,
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
underlying
collateral,
and
other
unique
security
features.
Level
3
investments
may
also
be
adjusted
to
reflect
illiquidity
and/or
non-transferability,
with
the
amount
of
such
discount
estimated
by
the
Adviser
in
the
absence
of
market
information.
Assumptions
used
by
the
Funds
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
fair
value
of
the
investment. 
Exchange-traded
derivatives,
such
as
futures
contracts
and
exchange-traded
option
contracts,
are
typically
classified
within
Level
1
or
Level
2
of
the
fair
value
hierarchy
depending
on
whether
or
not
they
are
deemed
to
be
actively
traded.
Futures
and
option
contracts
that
are
listed
on
national
exchanges
and
are
freely
transferable
are
valued
at
fair
value
based
on
their
last
sales
price
on
the
date
of
determination
on
the
exchange
that
constitutes
the
principal
market.
For
option
contracts,
if
no
sales
occurred
on
such
date,
the
contracts
will
be
valued
at
the
mid
price
on
such
exchange
at
the
close
of
business
on
such
date.
Centrally
cleared
swaps
listed
or
traded
on
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange,
are
valued
on
a daily
basis
using
quotations
provided
by
an
independent
pricing
service. 
OTC
derivatives,
including
forward
contracts
and
swap
contracts,
are
valued
by
the
Funds
on
a
daily
basis
using
observable
inputs,
such
as
quotations
provided
by
an
independent
pricing
service,
the
counterparty,
dealers
or
brokers,
whenever
available
and
considered
reliable.
The
value
of
each
total
return
swap
contract
and
total
return
basket
swap
contract
is
derived
from
a
combination
of
(i)
the
net
value
of
the
underlying
positions,
which
are
valued
daily
using
the
last
sale
or
closing
price
on
the
principal
exchange
on
which
the
securities
are
traded;
(ii)
financing
costs;
(iii)
the
value
of
dividends
or
accrued
interest;
(iv)
cash
balances
within
the
swap;
and
(v)
other
factors,
as
applicable. 
The
U.S.
dollar
value
of
forward
foreign
currency
exchange
contracts
is
determined
using
current
forward
currency
exchange
rates
supplied
by
an
independent
pricing
service. 
Generally,
a
valuation
model
is
used
consistently
for
similar
derivative
types.
In
instances
where
models
are
used,
the
value
of
an
OTC
derivative
depends
upon
the
contractual
terms
of,
and
specific
risks
inherent
in,
the
instrument
as
well
as
the
availability
and
reliability
of
observable
inputs.
Such
inputs
typically
may
include
market
prices
for
reference
securities,
yield
curves,
credit
spreads,
measures
of
volatility,
prepayment
rates
and
implied
correlations
of
such
inputs
which
are
obtained
from
outside
brokers
and/or
pricing
services
when
available.
Certain
OTC
derivatives,
such
as
generic
forwards,
swaps
and
options,
have
inputs
which
can
generally
be
corroborated
by
market
data
and
are
therefore
classified
within
Level
2.
Those
OTC
derivatives
that
have
less
liquidity
or
for
which
inputs
are
unobservable
are
classified
within
Level
3.
While
the
valuations
of
less
liquid
OTC
derivatives
may
utilize
some
Level
1
and/or
Level
2
inputs,
they
also
may
include
other
unobservable
inputs
which
may
be
considered
significant
to
the
fair
value
determination. 
116
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Quantitative
Information
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments:
AQR
LARGE
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,165,648,564
$
–
$
–
$
1,165,648,564
Preferred
Stocks
................................
418,439
–
–
418,439
Short-Term
Investments
...........................
50,603,659
–
–
50,603,659
Futures
Contracts*
...............................
2,690,339
–
–
2,690,339
Total
Assets
$
1,219,361,001
$
–
$
–
$
1,219,361,001
AQR
SMALL
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
113,829,784
$
–
$
73,367
$
113,903,151
Preferred
Stocks
................................
165,150
–
–
165,150
Securities
Lending
Collateral
.......................
550,346
–
–
550,346
Short-Term
Investments
...........................
7,329,824
–
–
7,329,824
Futures
Contracts*
...............................
178,095
–
–
178,095
Total
Assets
$
122,053,199
$
–
$
73,367
$
122,126,566
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
58,979,300
$
403,267,337
$
–
$
462,246,637
Short-Term
Investments
...........................
18,982,087
–
–
18,982,087
Futures
Contracts*
...............................
1,006,549
–
–
1,006,549
Total
Assets
$
78,967,936
$
403,267,337
$
–
$
482,235,273
AQR
EMERGING
MULTI-STYLE
II
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
123,789,509
$
442,059,506
$
11
$
565,849,026
Short-Term
Investments
...........................
11,854,550
–
–
11,854,550
Futures
Contracts*
...............................
870,766
–
–
870,766
Total
Assets
$
136,514,825
$
442,059,506
$
11
$
578,574,342
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,016,742,345
$
–
$
–
$
1,016,742,345
Preferred
Stocks
................................
49,275
–
–
49,275
Short-Term
Investments
...........................
51,581,294
–
–
51,581,294
Futures
Contracts*
...............................
2,293,680
–
–
2,293,680
Total
Assets
$
1,070,666,594
$
–
$
–
$
1,070,666,594
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
232,703,784
$
–
$
76,881
$
232,780,665
Securities
Lending
Collateral
.......................
3,078,884
–
–
3,078,884
Short-Term
Investments
...........................
13,440,698
–
–
13,440,698
Futures
Contracts*
...............................
366,098
–
–
366,098
Total
Assets
$
249,589,464
$
–
$
76,881
$
249,666,345
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
92,574,657
$
394,371,979
$
–
$
486,946,636
Short-Term
Investments
...........................
18,438,932
–
–
18,438,932
Futures
Contracts*
...............................
726,633
–
–
726,633
Total
Assets
$
111,740,222
$
394,371,979
$
–
$
506,112,201
117
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price. 
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
4,819,493,228
$
–
$
–
$
4,819,493,228
Securities
Lending
Collateral
.......................
20,044,530
–
–
20,044,530
Short-Term
Investments
...........................
196,406,035
–
–
196,406,035
Futures
Contracts*
...............................
8,664,525
–
–
8,664,525
Total
Assets
$
5,044,608,318
$
–
$
–
$
5,044,608,318
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
31,993,206
$
227,083,180
$
–
$
259,076,386
Short-Term
Investments
...........................
13,034,614
–
–
13,034,614
Futures
Contracts*
...............................
533,574
–
–
533,574
Total
Assets
$
45,561,394
$
227,083,180
$
–
$
272,644,574
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
223,957,870
$
74,487,260
$
26,979
$
298,472,109
Short-Term
Investments
...........................
39,935,373
–
–
39,935,373
Futures
Contracts*
...............................
3,012,053
–
–
3,012,053
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,637,057
–
3,637,057
Total
Return
Swaps
Contracts*
......................
–
679,093
–
679,093
Total
Assets
$
266,905,296
$
78,803,410
$
26,979
$
345,735,685
LIABILITIES
Futures
Contracts*
...............................
$
(228,519)
$
–
$
–
$
(228,519)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(5,525,770)
–
(5,525,770)
Total
Return
Swaps
Contracts*
......................
–
(646,564)
–
(646,564)
Total
Liabilities
$
(228,519)
$
(6,172,334)
$
–
$
(6,400,853)
AQR
INTERNATIONAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
41,875,371
$
27,978
$
41,903,349
Short-Term
Investments
...........................
5,705,058
–
–
5,705,058
Futures
Contracts*
...............................
590,170
–
–
590,170
Forward
Foreign
Currency
Exchange
Contracts*
........
–
1,024,983
–
1,024,983
Total
Return
Swaps
Contracts*
......................
–
120,754
–
120,754
Total
Assets
$
6,295,228
$
43,021,108
$
27,978
$
49,344,314
LIABILITIES
Futures
Contracts*
...............................
$
(26,184)
$
–
$
–
$
(26,184)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(1,289,518)
–
(1,289,518)
Total
Return
Swaps
Contracts*
......................
–
(145,617)
–
(145,617)
Total
Liabilities
$
(26,184)
$
(1,435,135)
$
–
$
(1,461,319)
*
Derivative
instruments,
including
futures,
forward
foreign
currency
exchange
and
total
return
swap
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/
(depreciation)
of
the
instrument
within
the
Funds
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statement
of
Assets
and
Liabilities
for
exchange-traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
118
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
significant
unobservable
inputs
used
in
the
fair
value
measurement
of
a
Fund’s
investments
in
common
stocks,
corporate
bonds,
convertible
bonds,
convertible
preferred
stocks
and
warrants
potentially
include
credit
spread,
liquidity
discount,
earnings
multiples
and
volatility.
Significant
increases
in
the
credit
spread
or
liquidity
discount
inputs
in
isolation
would
potentially
result
in
a
significantly
lower
fair
value
measurement,
whereas
an
increase
in
volatility
generally
results
in
a
higher
fair
value
measurement.
Generally,
a
change
in
the
assumption
used
for
the
credit
spread
would
be
accompanied
by
a
directionally-similar
change
in
the
assumptions
used
for
the
volatility
and
liquidity
discount.
Investments
in
common
stocks
potentially
include
liquidity
discounts,
theoretical
values,
book
to
value
analysis
and/or
broker
quotes.
Significant
changes
in
any
of
these
inputs
would
significantly
change
the
fair
value
measurement
of
the
position.
There
were
no
other
Level
3
securities
held
at
period
end,
except
those
securities
classified
as
Level
3
in
the
Schedules
of
Investments
of
AQR
Small
Cap
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
Global
Equity
Fund
and AQR
International
Equity
Fund
which
are
considered
quantitatively
insignificant
for
additional
disclosure.
6.
Federal
Income
Tax
Matters
At
March
31,
2022,
the
cost
and
aggregate
gross
unrealized
appreciation
(depreciation)
of
long
security
positions,
short
security
positions
and
derivative
instruments
for
federal
income
tax
purposes
were
as
follows:
The
differences
between
book
basis
and
tax
basis
appreciation
(depreciation)
on
investments
is
primarily
attributable
to
wash
sale
loss
deferrals,
mark
to
market
on
passive
foreign
investment
companies
(“PFIC”),
non-taxable
dividends
from
fund
investments
including
Real
Estate
Investment
Trusts
(“REITs”),
corporate
actions
and
differences
in
the
tax
treatment
of
certain
swap
contracts.
As
of
September
30,
2021,
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. 
In
connection
with
the
Reorganizations
described
in
Note
2,
certain
of
the
Acquiring
Funds
acquired
capital
loss
carryforwards
as
noted
in
the
table
below.
In
addition
to
the
acquired
capital
loss
carryforwards,
the
Acquiring
Funds
also
acquired
unrealized
capital
losses.
The
yearly
utilization
of
the
acquired
capital
loss
carryforwards
and unrealized
capital
losses
may
be
limited
by
the
Internal
Revenue
Code.
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Large
Cap
Multi-Style
Fund
...........................
$
645,343,062
$
580,697,142
$
(6,679,203)
$
574,017,939
AQR
Small
Cap
Multi-Style
Fund
............................
77,155,823
46,724,085
(1,753,342)
44,970,743
AQR
International
Multi-Style
Fund
..........................
372,014,182
121,634,396
(11,413,305)
110,221,091
AQR
Emerging
Multi-Style
II
Fund
...........................
442,432,878
161,937,437
(25,795,973)
136,141,464
AQR
Large
Cap
Momentum
Style
Fund
.......................
651,272,271
420,404,157
(1,009,834)
419,394,323
AQR
Small
Cap
Momentum
Style
Fund
.......................
179,186,857
75,785,163
(5,305,675)
70,479,488
AQR
International
Momentum
Style
Fund
.....................
353,568,616
154,039,051
(1,495,466)
152,543,585
AQR
Large
Cap
Defensive
Style
Fund
........................
2,953,061,108
2,097,075,992
(5,528,782)
2,091,547,210
AQR
International
Defensive
Style
Fund
......................
228,999,407
53,746,402
(10,101,235)
43,645,167
AQR
Global
Equity
Fund
..................................
282,563,954
74,050,797
(17,279,919)
56,770,878
AQR
International
Equity
Fund
.............................
43,634,307
7,973,929
(3,725,241)
4,248,688
FUND
SHORT-TERM
LONG
TERM
AQR
International
Multi-Style
Fund
*
.................................................
$
15,482,189
$
—
AQR
Emerging
Multi-Style
II
Fund
..................................................
20,563,685
—
AQR
International
Momentum
Style
Fund
*
............................................
18,380,000
—
AQR
International
Defensive
Style
Fund
.............................................
—
6,394,223
AQR
International
Equity
Fund
....................................................
5,747,419
—
*
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.
ACQUIRING FUND 
TARGET
FUND 
SHORT-TERM 
LONG
TERM 
AQR
Large
Cap
Multi-Style
Fund 
AQR
TM
Large
Cap
Multi-Style
Fund 
$2,969,309
$—
AQR
Small
Cap
Multi-Style
Fund 
AQR
TM
Small
Cap
Multi-Style
Fund 
108,184
—
AQR
International
Multi-Style
Fund 
AQR
TM
International
Multi-Style
Fund 
10,761,920
1,259,120
AQR
Emerging
Multi-Style
II
Fund 
AQR
Emerging
Multi-Style
Fund 
3,183,710
—
AQR
International
Momentum
Style
Fund 
AQR
TM
International
Momentum
Style
Fund 
20,673,082
—
119
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
7.
Investment
Transactions
During
the period
ended
March
31,
2022,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
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
March
31,
2022:
FUND
PURCHASES
SALES
AQR
Large
Cap
Multi-Style
Fund
..........................................................
$
256,890,349
$
409,137,962
AQR
Small
Cap
Multi-Style
Fund
...........................................................
21,021,830
29,359,854
AQR
International
Multi-Style
Fund
.........................................................
170,235,943
174,206,546
AQR
Emerging
Multi-Style
II
Fund
..........................................................
160,527,054
164,163,571
AQR
Large
Cap
Momentum
Style
Fund
......................................................
454,683,162
578,152,674
AQR
Small
Cap
Momentum
Style
Fund
......................................................
77,700,738
94,698,050
AQR
International
Momentum
Style
Fund
....................................................
167,066,757
229,597,443
AQR
Large
Cap
Defensive
Style
Fund
.......................................................
605,457,521
1,462,681,918
AQR
International
Defensive
Style
Fund
.....................................................
42,926,736
32,616,630
AQR
Global
Equity
Fund
.................................................................
165,197,103
170,718,996
AQR
International
Equity
Fund
............................................................
28,199,804
74,216,599
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Equity
Risk
Exposure:
2,690,339
178,095
1,006,549
870,766
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
2,690,339
$
178,095
$
1,006,549
$
870,766
2,690,339
178,095
1,006,549
870,766
Net
Fair
Value
of
Derivative
Contracts:
2,690,339
178,095
1,006,549
870,766
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
2,690,339
178,095
1,006,549
870,766
2,690,339
178,095
1,006,549
870,766
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Equity
Risk
Exposure:
2,293,680
366,098
726,633
8,664,525
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
2,293,680
$
366,098
$
726,633
$
8,664,525
2,293,680
366,098
726,633
8,664,525
Net
Fair
Value
of
Derivative
Contracts:
2,293,680
366,098
726,633
8,664,525
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
2,293,680
366,098
726,633
8,664,525
2,293,680
366,098
726,633
8,664,525
120
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
Equity
Risk
Exposure:
533,574
4,566,229
882,725
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
$
533,574
$
3,012,053
$
590,170
Swaps
at
Value
(Assets)
..................................................
–
679,093
120,754
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
–
(228,519)
(26,184)
Swaps
at
Value
(Liabilities)
................................................
–
(646,564)
(145,617)
533,574
4,566,229
882,725
Foreign
Exchange
Rate
Risk
Exposure:
–
9,162,827
2,314,501
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
............
–
3,637,057
1,024,983
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
...........
–
(5,525,770)
(1,289,518)
–
9,162,827
2,314,501
Net
Fair
Value
of
Derivative
Contracts:
533,574
(961,363)
(14,810)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......................
533,574
2,783,534
563,986
Swaps
at
Value
.........................................................
–
32,529
(24,863)
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
–
(1,888,713)
(264,535)
533,574
961,363
14,810
*
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.
121
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
following
table
indicates
the
effect
of
derivative
instruments,
by
primary
underlying
risk
exposure
and
contract
type,
on
the
Statements
of
Operations
for
the period
ended
March
31,
2022:
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
(2,157,455)
(621,001)
(2,471,139)
(3,730,337)
Futures
Contracts
.......................................
$
(2,157,455)
$
(621,001)
$
(2,471,139)
$
(3,730,337)
(2,157,455.46)
(621,000.82)
(2,471,138.66)
(3,730,337.3)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
3,916,556
252,444
2,030,260
1,930,779
Futures
Contracts
.......................................
3,916,556
252,444
2,030,260
1,930,779
3,916,556
252,444
2,030,260
1,930,779
*
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
(375,222)
(1,258,133)
(3,324,231)
(8,904,372)
Futures
Contracts
.......................................
$
(375,222)
$
(1,258,133)
$
(3,324,231)
$
(8,904,372)
(375,222.39)
(1,258,133.33)
(3,324,230.87)
(8,904,371.92)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
4,121,192
582,450
1,763,793
15,444,649
Futures
Contracts
.......................................
4,121,192
582,450
1,763,793
15,444,649
4,121,192
582,450
1,763,793
15,444,649
*
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
(1,266,497)
(4,820,767)
(1,157,767)
Futures
Contracts
.......................................................
$
(1,266,497)
$
(4,494,804)
$
(1,487,805)
Swap
Contracts
........................................................
–
(325,963)
330,038
(1,266,497.36)
(4,820,767.1)
(1,157,767.29)
Foreign
Exchange
Rate
Risk
Exposure:
–
(5,681,623)
(941,508)
Forward
Foreign
Currency
Exchange
Contracts
.................................
–
(5,681,623)
(941,508)
–
(5,681,623)
(941,508)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
1,043,119
4,557,557
921,874
Futures
Contracts
.......................................................
1,043,119
4,148,332
920,584
Swap
Contracts
........................................................
–
409,225
1,289
1,043,119
4,557,557
921,874
Foreign
Exchange
Rate
Risk
Exposure:
–
1,507,125
474,419
Forward
Foreign
Currency
Exchange
Contracts
.................................
–
(1,507,125)
(474,419)
–
1,507,125
474,419
122
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
following
tables
present
the
Funds’
gross
OTC
derivative
assets
and
liabilities
by
counterparty
and
contract
type
net
of
amounts
available
for
offset
under
netting
arrangements
and
any
related
collateral
received
or
posted
by
the
Funds
as
of
March
31,
2022:
AQR
Global
Equity
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
$3,717,867.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
.........
Forward
Foreign
Currency
Exchange
Contracts
$
1,818,586
$
(1,818,586)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Swap
Contracts
5,890
–
5,890
–
–
5,890
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
1,818,471
(1,818,471)
–
JPMC
.........
Total
Return
Swap
Contracts
673,203
(112,676)
560,527
Total
JPMC
2,491,674
(1,931,147)
560,527
–
–
560,527
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
4,316,150
(3,749,733)
566,417
–
–
566,417
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
2,762,809
$
(1,818,586)
$
944,223
$
–
$
(944,223)
$
–
CITI
...........
Total
Return
Swap
Contracts
533,888
–
533,888
–
–
533,888
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
2,762,961
(1,818,471)
944,490
JPMC
..........
Total
Return
Swap
Contracts
112,676
(112,676)
–
Total
JPMC
2,875,637
(1,931,147)
944,490
–
(944,490)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
6,172,334
(3,749,733)
2,422,601
–
(1,888,713)
533,888
123
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
AQR
International
Equity
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
$955,653.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
.........
Forward
Foreign
Currency
Exchange
Contracts
$
512,511
$
(512,511)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Swap
Contracts
3,213
(3,213)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
512,472
(512,472)
–
JPMC
.........
Total
Return
Swap
Contracts
117,541
(97,746)
19,795
Total
JPMC
630,013
(610,218)
19,795
–
–
19,795
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
1,145,737
(1,125,942)
19,795
–
–
19,795
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
644,745
$
(512,511)
$
132,234
$
–
$
(132,234)
$
–
GSIN
..........
Total
Return
Swap
Contracts
47,871
(3,213)
44,658
–
(44,658)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
644,773
(512,472)
132,301
JPMC
..........
Total
Return
Swap
Contracts
97,746
(97,746)
–
Total
JPMC
742,519
(610,218)
132,301
–
(132,301)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
1,435,135
(1,125,942)
309,193
–
(309,193)
–
124
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
For
the period
ended
March
31,
2022,
the
quarterly
average
notional
values
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
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.
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
46,976,884
$
5,401,900
$
17,685,137
$
16,779,922
$
29,929,213
Average
Notional
Balance
-
Short
–
–
–
–
–
Ending
Notional
Balance
-
Long
43,721,738
6,199,200
18,441,840
11,930,300
42,589,050
Ending
Notional
Balance
-
Short
–
–
–
–
–
*
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
11,698,680
$
15,968,610
$
118,251,192
$
10,938,860
$
76,983,557
Average
Notional
Balance
-
Short
–
–
–
–
39,418,303
Ending
Notional
Balance
-
Long
11,985,120
20,050,140
176,019,638
12,437,520
64,736,369
Ending
Notional
Balance
-
Short
–
–
–
–
18,370,337
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
–
–
–
–
228,943,331
Average
Settlement
Value
-
Sold
–
–
–
–
213,486,157
Ending
Value
-
Purchased
–
–
–
–
223,112,087
Ending
Value
-
Sold
–
–
–
–
206,562,196
Total
Return
Swaps:
Average
Notional
Balance
-
Long
–
–
–
–
12,877,655
Average
Notional
Balance
-
Short
–
–
–
–
10,775,765
Ending
Notional
Balance
-
Long
–
–
–
–
8,721,925
Ending
Notional
Balance
-
Short
–
–
–
–
15,262,042
*
AQR
INTERNATIONAL
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
22,927,687
Average
Notional
Balance
-
Short
15,431,180
Ending
Notional
Balance
-
Long
12,924,197
Ending
Notional
Balance
-
Short
4,680,080
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
53,641,482
Average
Settlement
Value
-
Sold
43,558,643
Ending
Value
-
Purchased
58,345,557
Ending
Value
-
Sold
51,312,829
Total
Return
Swaps:
Average
Notional
Balance
-
Long
4,766,971
Average
Notional
Balance
-
Short
1,297,766
Ending
Notional
Balance
-
Long
1,955,491
Ending
Notional
Balance
-
Short
3,136,945
*
Notional
values
as
of
each
quarter
end
are
used
to
calculate
the
average
represented.
125
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Pursuant
to
the Advisory
Agreement,
the
Funds
currently
pay
the
Investment
Advisory
fee
calculated
on
the
average
daily
net
assets
for
each
Fund,
in
the
annual
ratios
below:
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
January
28,
2023
for
Class
I,
N,
and
R6
shares.
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
each
Fund's
operating
expenses
other
than
management
fees
and
12b-1
fees,
and
exclusive
of
interest,
taxes,
borrowing
costs,
acquired
fund
fees
and
expenses,
dividend
and
interest
expense
related
to
short
sales,
expenses
related
to
class
action
claims
and
extraordinary
expenses,
at
no
more
than
the
following
ratios:
The
Trust,
in
turn,
agreed
that
the
Funds
will
repay
the
expense
reimbursement
to
the
Adviser
only
to
the
extent
it
can
be
made
during
the
thirty-six
months
following
the
applicable
month
during
which
the
Adviser
waived
fees
or
reimbursed
the
applicable
Fund
for
its
operating
expenses
under
the
Expense
Limitation
Agreement.
Such
repayment
shall
be
made
only
out
of
the
class
of
the
Fund
for
which
the
applicable
fee
waiver
and/or
expense
reimbursement
was
made.
Repayments
with
respect
to
a
Fund
must
be
limited
to
amounts
that
do
not
cause
the
total
annual
operating
expenses
or
the
other
operating
expenses,
as
applicable,
attributable
to
a
share
class
of
the
Fund
during
a
year
in
which
such
repayment
is
made
to
exceed
either
of
(i)
the
applicable
limits
in
effect
at
the
time
of
the
waiver
and/or
reimbursement
and
(ii)
the
applicable
limits
in
effect
at
the
time
of
recapture.
FUND
RATIO
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
0.25%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
0.45
AQR
International
Multi-Style
Fund
........................................................................
0.40
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
0.55
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
0.25
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
0.45
AQR
International
Momentum
Style
Fund
...................................................................
0.40
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
0.25
AQR
International
Defensive
Style
Fund
....................................................................
0.40
AQR
Global
Equity
Fund
................................................................................
0.60
AQR
International
Equity
Fund
...........................................................................
0.65
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
.....................................................
0.15
%
0.15
%
0.05
%
AQR
Small
Cap
Multi-Style
Fund
......................................................
0.15
0.15
0.05
AQR
International
Multi-Style
Fund
....................................................
0.15
0.15
0.05
AQR
Emerging
Multi-Style
II
Fund
.....................................................
0.15
0.15
0.05
AQR
Large
Cap
Momentum
Style
Fund
.................................................
0.15
0.15
0.05
AQR
Small
Cap
Momentum
Style
Fund
.................................................
0.15
0.15
0.05
AQR
International
Momentum
Style
Fund
...............................................
0.15
0.15
0.05
AQR
Large
Cap
Defensive
Style
Fund
..................................................
0.15
0.15
0.05
AQR
International
Defensive
Style
Fund
................................................
0.15
0.15
0.05
AQR
Global
Equity
Fund
............................................................
0.20
0.20
0.10
AQR
International
Equity
Fund
.......................................................
0.20
0.20
0.10
126
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
For
the period
ended
March
31,
2022,
the
amounts reimbursed
by
the
Adviser,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at March
31,
2022
are
as
follows:
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
POTENTIAL
AMOUNTS
EXP
RECOUPMENT
IRING
MARCH
31
,
MARCH
31,
2022
MARCH
31,
2022
20
22
20
23
20
24
20
25
AQR
LARGE
CAP
MULTI-STYLE
FUND
Class
I
................
$
4,732
$
25,109
$
–
$
8,156
$
12,221
$
4,732
Class
N
................
154
3,136
728
1,647
607
154
Class
R6
...............
17,048
149,260
12,468
68,757
50,987
17,048
Totals
$
21,934
$
177,505
$
13,196
$
78,560
$
63,815
$
21,934
AQR
SMALL
CAP
MULTI-STYLE
FUND
Class
I
................
$
38,654
$
132,565
$
6,367
$
21,499
$
66,045
$
38,654
Class
N
................
4,711
18,660
1,154
3,087
9,708
4,711
Class
R6
...............
30,418
346,145
75,635
162,047
78,045
30,418
Totals
$
73,783
$
497,370
$
83,156
$
186,633
$
153,798
$
73,783
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Class
I
................
$
15,593
$
109,276
$
24,946
$
32,424
$
36,313
$
15,593
Class
N
................
488
8,214
1,937
3,031
2,758
488
Class
R6
...............
78,810
494,660
90,551
144,079
181,220
78,810
Totals
$
94,891
$
612,150
$
117,434
$
179,534
$
220,291
$
94,891
AQR
EMERGING
MULTI-STYLE
II
FUND
Class
I
................
$
24,396
$
111,190
$
17,670
$
31,101
$
38,023
$
24,396
Class
N
................
1,426
4,900
438
747
2,289
1,426
Class
R6
...............
219,217
1,122,716
160,882
337,868
404,749
219,217
Totals
$
245,039
$
1,238,806
$
178,990
$
369,716
$
445,061
$
245,039
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Class
I
................
$
21,357
$
199,842
$
32,609
$
95,520
$
50,356
$
21,357
Class
N
................
1,688
17,115
3,005
8,369
4,053
1,688
Class
R6
...............
8,043
52,906
5,851
26,207
12,805
8,043
Totals
$
31,088
$
269,863
$
41,465
$
130,096
$
67,214
$
31,088
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Class
I
................
$
58,954
$
370,210
$
73,945
$
121,280
$
116,031
$
58,954
Class
N
................
1,715
9,614
1,306
2,959
3,634
1,715
Class
R6
...............
16,714
95,274
7,615
32,564
38,381
16,714
Totals
$
77,383
$
475,098
$
82,866
$
156,803
$
158,046
$
77,383
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Class
I
................
$
57,274
$
407,623
$
90,748
$
131,095
$
128,506
$
57,274
Class
N
................
7,702
70,402
10,752
23,080
28,868
7,702
Class
R6
...............
34,101
189,447
24,025
60,877
70,444
34,101
Totals
$
99,077
$
667,472
$
125,525
$
215,052
$
227,818
$
99,077
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Class
I
................
$
–
$
–
$
–
$
–
$
–
$
–
Class
N
................
135
31,438
–
28,118
3,185
135
Class
R6
...............
386
92,897
–
80,995
11,516
386
Totals
$
521
$
124,335
$
–
$
109,113
$
14,701
$
521
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Class
I
................
$
37,669
$
366,767
$
99,718
$
123,813
$
105,567
$
37,669
Class
N
................
2,656
22,026
3,351
8,177
7,842
2,656
Class
R6
...............
48,546
211,031
14,395
61,408
86,682
48,546
Totals
$
88,871
$
599,824
$
117,464
$
193,398
$
200,091
$
88,871
AQR
GLOBAL
EQUITY
FUND
Class
I
................
$
322
$
21,492
$
10,431
$
7,571
$
3,168
$
322
Class
N
................
154
2,317
136
723
1,304
154
Class
R6
...............
6,121
109,202
3,314
38,913
60,854
6,121
Totals
$
6,597
$
133,011
$
13,881
$
47,207
$
65,326
$
6,597
127
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
During
the period
ended
March
31,
2022,
the
Funds
repaid
to
the
Advisor
amounts
previously
waived
or
reimbursed as
follows:
10.
Distribution
Plan
The
Trust
has
adopted
a
Plan
of
Distribution
(the
“Plan”)
pursuant
to
Rule
12b-1
under
the
1940
Act
with
respect
to
the
Class
N
shares
of
the
Funds.
The
Plan
allows
for
the
payment
of
services
related
to
the
distribution
and
servicing
of
these
shares
at
a
rate
of
up
to
0.25%
per
annum
of
the
average
daily
net
asset
value
of
the
Class
N
shares
of
the
Funds.
11.
Principal
Risks
and
Concentrations
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.
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. 
Many
financial
instruments
may
be
tied
to
the
London
Interbank
Offered
Rate,
or
“LIBOR,”
to
determine
payment
obligations,
financing
terms,
hedging
strategies,
or
investment
value.
LIBOR
is
the
offered
rate
for
short-term
deposits
between
major
international
banks
(LIBOR
rates
are
available
for
five
currencies
-
CHF,
EUR,
GBP,
JPY,
USD
-
across
a
range
of
tenors).
On
July
27,
2017,
the
head
of
the United
Kingdom
("UK")
Financial
Conduct
Authority
("FCA") announced
a
desire
to
phase
out
the
use
of
LIBOR.
The
FCA
has
confirmed
that
all
LIBOR
settings
will
either
cease
to
be
provided
by
any
administrator
or
no
longer
be
representative:
(1)
immediately
after
December
31,
2021,
in
the
case
of
all
British
Pound,
Euro,
Swiss
Franc
and
Japanese
Yen
settings,
and
the
1-week
and
2-month
USD
settings;
and
(2)
immediately
after
June
30,
2023,
in
the
case
of
the
remaining
USD
settings.
Regulators
and
industry
working
groups
have
suggested
alternative
reference
rates, and global
consensus
is
growing
around
the
process
for
amending
existing
contracts
or
instruments
to
transition
away
from
LIBOR.
There
does
remain
some
uncertainty
and
risk
regarding
the
willingness
and
ability
of
issuers
to
include
enhanced
provisions
in
new
and
existing
contracts
or
instruments.
As
such,
the
transition
away
from
LIBOR
may
lead
to
increased
volatility
and
illiquidity
in
markets
that
are
tied
to
LIBOR,
reduced
values
of
LIBOR-related
investments,
and
reduced
effectiveness
of
hedging
strategies,
adversely
affecting
the
Funds'
performance
or
NAV.
In
addition,
the
alternative
reference
rate
may
be
an
ineffective
substitute
resulting
in
prolonged
adverse
market
conditions
for
the
Funds. 
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.
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
POTENTIAL
AMOUNTS
EXP
RECOUPMENT
IRING
MARCH
31,
MARCH
31,
2022
MARCH
31,
2022
2022
2023
2024
2025
AQR
INTERNATIONAL
EQUITY
FUND
Class
I
................
$
51,593
$
308,677
$
80,638
$
78,535
$
97,911
$
51,593
Class
N
................
567
7,772
2,894
2,128
2,183
567
Class
R6
...............
36,604
161,393
13,955
26,413
84,421
36,604
Totals
$
88,764
$
477,842
$
97,487
$
107,076
$
184,515
$
88,764
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
International
Multi-Style
Fund
..........................................
$
–
$
336
$
–
AQR
Large
Cap
Defensive
Style
Fund
........................................
–
8,778
26,666
AQR
Global
Equity
Fund
..................................................
259
132
5,308
128
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
Emerging
markets
are
riskier
than
more
developed
markets
because
they
tend
to
develop
unevenly
and
may
never
fully
develop.
Investments
in
emerging
markets
may
be
considered
speculative.
Emerging
markets
are
more
likely
to
experience
hyperinflation
and
currency
devaluations,
which
adversely
affect
returns
to
U.S.
investors.
In
addition,
many
emerging
securities
markets
have
far
lower
trading
volumes
and
less
liquidity
than
developed
markets. 
Currency
risk
arises
from
the
possibility
that
fluctuations
in
foreign
exchange
rates
will
affect
the
value
of
cash
balances
held
in
foreign
currencies
and
non-U.S.
denominated
financial
instruments.
The
liquidity
and
trading
value
of
foreign
currencies
could
be
affected
by
global
economic
factors,
such
as
inflation,
interest
rate
levels,
and
trade
balances
among
countries,
as
well
as
the
actions
of
sovereign
governments
and
central
banks.
Currency
rates
in
foreign
countries
may
fluctuate
significantly
over
short
periods
of
time
for
a
number
of
reasons. 
The
market
values
of
equities,
such
as
common
stocks
and
preferred
securities
or
equity
related
investments
such
as
futures
and
options,
may
decline
due
to
general
market
conditions
which
are
not
specifically
related
to
a
particular
company.
They
may
also
decline
due
to
factors
which
affect
a
particular
industry
or
industries.
The
Funds
may
invest
in
illiquid
investments
and
may
experience
difficulty
in
selling
those
investments
in
a
timely
manner
at
the
price
that
it
believes
the
investments
are
worth.
Prices
may
fluctuate
widely
over
short
or
extended
periods
in
response
to
company,
market
or
economic
news.
Geopolitical
and
other
events,
including
war,
terrorism,
economic
uncertainty,
trade
disputes,
public
health
crises
including
pandemics and
related
geopolitical
events
have
led,
and
in
the
future
may
lead,
to
increased
market
volatility,
which
may
disrupt
the
U.S.
and
world
economies
and
markets
and
may
have
significant
adverse
direct
or
indirect
effects
on
the
Funds
and
their
investments.
Although
multiple
asset
classes
may
be
affected
by
a
market
disruption,
the
duration
and
effects
may
not
be
the
same
for
all
types
of
assets.
Markets
also
tend
to
move
in
cycles,
with
periods
of
rising
and
falling
prices.
This
volatility
may
cause
the
Fund’s
net
asset
value
to
experience
significant
increases
or
decreases
over
short
periods
of
time.
If
there
is
a
general
decline
in
the
securities
and
other
markets,
the
net
asset
value
of
a
Fund
may
lose
value,
regardless
of
the
individual
results
of
the
securities
and
other
instruments
in
which
the
Fund
invests.
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
net
asset
value
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
Similar
to
credit
risk,
a
Fund
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Fund
has
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose
a
Fund
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
invest
in
securities
with
positive
momentum. This
entails
investing
in
securities
that
have
had
above-average
recent
returns.
These
securities
may
be
more
volatile
than
a
broad
cross-section
of
securities.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Fund
while
using
a
momentum
strategy
may
suffer.
Investing
in
or
having
exposure
to
"value"
securities
presents
the
risk
that
the
securities
may
never
reach
what
the
Adviser
believes
are
their
full
market
values,
either
because
the
market
fails
to
recognize
what
the
Adviser
considers
to
be
the
security's
true
value
or
because
the
Adviser
misjudged
that
value.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Fund
while
using
a
value
strategy
may
suffer.
The
Funds
may
have
investments
that
appreciate
or
decrease
significantly
in
value
over
short
periods
of
time.
This
may
cause
the
Funds’
net
asset
value
per
share
to
experience
significant
increases
or
declines
in
value
over
short
periods
of
time,
however,
all
investments
long-term
or
short-term
are
subject
to
risk
of
loss. 
In
the
normal
course
of
business,
the
Funds
may
enter
into
agreements
with
certain
counterparties
for
derivative
transactions.
A
number
of
each
Fund’s
Master
Agreements
contain
provisions
that
require
each
Fund
to
maintain
a
predetermined
level
of
net
assets,
and/or
provide
limits
regarding
the
decline
of
a
Fund’s
net
asset
value
over
specified
time
periods.
If
a
Fund
was
to
violate
such
provisions,
the
counterparties
to
the
derivative
instruments
could
request
immediate
payment
or
demand
immediate
collateralization
on
derivative
instruments
in
net
liability
positions.
If
such
events
are
not
cured
by
the
Fund
or
waived
by
the
counterparties,
they
may
decide
to
curtail
or
limit
extension
of
credit,
and
the
Fund
may
be
forced
to
unwind
its
derivative
positions
which
may
result
in
material
losses.
129
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
Funds,
at
times,
may
utilize
substantial
leverage
in
their
investment
program.
Such
leverage
may
take
the
form
of
trading
on
margin,
investing
in
derivative
instruments
that
are
inherently
leveraged,
entering
into
other
forms
of
direct
and
indirect
borrowings.
There
is
no
guarantee
that
the
Funds’
borrowing
arrangement
or
other
arrangements
for
obtaining
leverage
will
continue
to
be
available,
or
if
available,
will
be
available
on
terms
and
conditions
acceptable
to
the
Funds.
Unfavorable
economic
conditions
also
could
increase
funding
costs,
limit
access
to
the
capital
markets
or
result
in
a
decision
by
lenders
not
to
extend
credit
to
the
Funds.
In
addition,
a
decline
in
market
value
of
the
Funds’
assets
may
have
particular
adverse
consequences
in
instances
where
they
have
borrowed
money
based
on
the
market
value
of
those
assets.
A
decrease
in
market
value
of
those
assets
may
result
in
the
lender
(including
derivative
counterparties)
requiring
the
Funds
to
post
additional
collateral
or
otherwise
sell
assets
at
a
time
when
it
may
not
be
in
the
Funds’
best
interest
to
do
so.
Given
the
complexity
of
the
investments
and
strategies
of
the
Fund,
the
Adviser
relies
heavily
on
quantitative
models
and
information
and
data
supplied
by
third
parties
(“Models
and
Data”).
Models
and
Data
are
used
to
construct
sets
of
transactions
and
investments,
to
provide
risk
management
insights,
and
to
assist
in
hedging
the
Fund’s
investments.
When
Models
and
Data
prove
to
be
incorrect
or
incomplete,
any
decisions
made
in
reliance
thereon
expose
the
Fund
to
potential
risks.
Similarly,
any
hedging
based
on
faulty
Models
and
Data
may
prove
to
be
unsuccessful.
Some
of
the
models
used
by
the
Adviser
for
the
Fund
are
predictive
in
nature.
The
use
of
predictive
models
has
inherent
risks.
Because
predictive
models
are
usually
constructed
based
on
historical
data
supplied
by
third
parties,
the
success
of
relying
on
such
models
may
depend
heavily
on
the
accuracy
and
reliability
of
the
supplied
historical
data.
The
Fund
bears
the
risk
that
the
quantitative
models
used
by
the
Adviser
will
not
be
successful
in
selecting
investments
or
in
determining
the
weighting
of
investment
positions
that
will
enable
the
Fund
to
achieve
its
investment
objective.
Periodically,
the
Funds
may
be
a
party
to
legal
actions
arising
in
the
ordinary
course
of
business.
The
Funds
are
currently
not
subject
to
any
actions
that
either
individually
or
in
the
aggregate
are
expected
to
have
a
material
impact
on
their
results
of
operations,
cash
flows
or
financial
condition.
12.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies.
This
Interfund
Lending
Program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
No
Fund
may
borrow
or
lend
money
through
the
program
unless
it
receives
a
more
favorable
rate
than
is
typically
available
for
comparable
borrowings
from
a
bank
or
investments
in
U.S.
Treasury
bills,
respectively.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program. Interest
expense
paid,
as
a
result
of
borrowing
under
this
agreement,
is
included
in
Interfund
lending
expense
in
the
Statements
of
Operations.
During
the
reporting
period,
the
Funds
did
not
utilize
the
Interfund
Lending
Program. 
13.
Line
of
Credit
Effective
March
18,
2022
and
terminating
on
March
17,
2023,
all
funds
within
the
Trust,
with
the
exception
of
AQR
Diversifying
Strategies
Fund, renewed
a
$350,000,000
committed
syndicated
line
of
credit
(the
“Agreement”)
with
Bank
of
America,
N.A.,
as
the
Administrative
Agent.
AQR
Sustainable
Long
Short
Equity
Carbon
Aware
Fund
was
also
added
as
a
borrower
under
the
agreement.
Borrowing,
if
any,
under
this
arrangement
bears,
as
incurred,
interest
at
the
sum
of
(a)
1.00%
per
annum
plus
(b)
the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
Term
SOFR
(including
a
0.10%
adjustment),
which
is
paid
monthly.
The
maximum
loan
amount
available
to
a
Fund
is
the
lesser
of
an
amount
which
will
not
exceed
the
borrowing
limits
set
forth
in
the
Fund’s
Prospectus
and/or
Registration
Statement
and
will
not
cause
the
asset
coverage
ratio
for
any
borrowings
by
a
Fund
to
drop
below
the
required
amount
under
the
Agreement
(between
300-500%
per
Fund).
The
Agreement
is
subject
to
an
annual
commitment
fee
and
allocated
to
each
participating
fund,
which
is
payable
in
arrears
on
a
quarterly
basis.
In
the
event
of
a
draw
upon
the
line
of
credit,
liquid
assets
of
the
borrowing
Fund
may
be
earmarked
for
asset
coverage
purposes
until
its
loan
is
repaid
in
full.
Interest
expense
paid,
as
a
result
of
borrowing
under
the
Agreement,
and
each
Fund's
allocated
commitment
fee,
is
included
in
Interest
expense
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of March
31,
2022
by
any
of
the
Funds.
130
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
The
Funds
had
the
following
borrowings
during
the
period:
14.
Principal
Ownership
As
of
March
31,
2022,
the
Funds
had
individual
shareholder
and/or
omnibus
accounts
owning
more
than
5%
of
the
total
shares
outstanding
of
the
Fund
as
follows:
Significant
shareholder
transactions
by
these
shareholders,
if
any,
may
impact
the
Funds’
performance.
15.
New
Accounting
Pronouncements
and
Regulations 
In
March
2020,
the
Financial
Accounting
Standards
Board
("FASB") issued
Accounting
Standards
Update
("ASU")
No.
2020-04,
“Reference
Rate
Reform
(Topic
848)
–
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting”
in
response
to
concerns
about
structural
risks
of
interbank
offered
rates,
such
as
LIBOR.
In
January
2021,
the
FASB
issued
ASU
No.
2021-01
with
further
amendments
to
Topic
848.
Together,
the
ASUs
provide
optional
temporary
guidance
to
ease
the
potential
burden
in
accounting
for
(or
recognizing
the
effects
of)
reference
rate
reform
on
financial
reporting
for
certain
types
of
contract
modifications,
hedging
relationships
and
other
transactions
that
contain
LIBOR
and/or
any
other
reference
rate
that
is
expected
to
be
discontinued. The
ASUs are
elective
and are
effective
for
certain
reference
rate-related
contract
modifications
that
occur
during
the
period
March
12,
2020
through
December
31,
2022.
Management
has
reviewed
the
requirements
and
believes
the
adoption
of
these
ASUs
will
not
have
a
material
impact
on
the
financial
statements.
In
October
2020,
the
Securities
and
Exchange
Commission
(the
“SEC”)
adopted
new
regulations
governing
the
use
of
derivatives
by
registered
investment
companies
(“Rule
18f-4”).
The
Trust
will
be
required
to
implement
and
comply
with
Rule
18f-4
by
August
19,
2022.
Once
implemented,
Rule
18f-4
will
replace
the
current
requirements
on
funds
to
“set
aside”
(often
referred
to
as
“asset
segregation”)
liquid
assets,
or
engage
in
other
SEC
or
staff-approved
measures,
to
“cover”
open
positions
with
respect
to
certain
kinds
of
derivative
instruments
with
a
requirement
to
ensure
a
Fund
has
a
derivatives
risk
management
program
consistent
with
Rule
18f-4,
along
with
other
requirements
such
as
compliance
with
a
specific
value-at-risk
(“VaR”)
based
limit
on
leverage
risk.
The
Board
of
Trustees
will
have
an
oversight
role
in
ensuring
these
new
requirements
are
being
taken
into
account
and
will
appoint
a
derivatives
risk
manager
to
handle
the
day-to-day
responsibilities
of
the
derivatives
risk
management
program.
In
December
2020,
the
SEC
voted
to
adopt
a
new
rule
providing
a
framework
for
fund
valuation
practices.
New
Rule
2a-5
(“Rule
2a-5”)
under
the
1940
Act
establishes
requirements
for
determining
fair
value
in
good
faith
for
purposes
of
the
1940
Act.
Rule
2a-5
will
permit
boards,
subject
to
board
oversight
and
certain
other
conditions,
to
designate
certain
parties
to
perform
fair
value
determinations.
Rule
2a-5
also
defines
when
market
quotations
are
“readily
available”
for
purposes
of
the
1940
Act
and
the
threshold
for
determining
whether
a
fund
must
fair
value
a
security.
The
SEC
also
adopted
new
Rule
31a-4
(“Rule
31a-4”),
which
provides
the
recordkeeping
requirements
associated
with
fair
value
determinations.
Finally,
the
SEC
is
rescinding
previously
issued
guidance
on
related
issues,
including
the
role
of
the
board
in
determining
fair
value
and
the
accounting
and
auditing
of
fund
investments,
effective
as
of
the
2a-5
compliance
date.
Rule
2a-5
and
Rule
31a-4 became
effective
on
March
8,
2021.
The
compliance
date
for
Rule
2a-5
and
Rule
31a-4
is
September
8,
2022.
A
fund
is
not
required
to
comply
with
the
rules until
the
compliance
date.
Management
is
currently
assessing
the
impact
of
these
provisions
on
the
Funds’
financial
statements
and
various
filings.
FUND
AVERAGE
BORROWINGS
AVERAGE
INTEREST
RATE
NUMBER
OF
DAYS
OUTSTANDING
INTEREST
PAID
AQR
Large
Cap
Multi-Style
Fund
......................................
$40,000,000
1.35
%
3
$4,508
AQR
Small
Cap
Momentum
Style
Fund
..................................
7,000,000
1.35
3
789
AQR
International
Momentum
Style
Fund
................................
7,000,000
1.34
5
1,299
AQR
International
Equity
Fund
........................................
5,953,846
1.36
13
2,926
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Large
Cap
Multi-Style
Fund
...........................................
4
92.32
%
AQR
Small
Cap
Multi-Style
Fund
............................................
3
89.01
AQR
International
Multi-Style
Fund
..........................................
4
94.13
AQR
Emerging
Multi-Style
II
Fund
...........................................
4
96.43
AQR
Large
Cap
Momentum
Style
Fund
.......................................
3
92.78
AQR
Small
Cap
Momentum
Style
Fund
.......................................
3
91.89
AQR
International
Momentum
Style
Fund
.....................................
3
97.01
AQR
Large
Cap
Defensive
Style
Fund
........................................
6
80.82
AQR
International
Defensive
Style
Fund
......................................
5
93.04
AQR
Global
Equity
Fund
..................................................
3
95.65
AQR
International
Equity
Fund
.............................................
5
80.57
131
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2022
March
31,
2022
(Unaudited)
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. 
132
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2022
As
a
shareholder
of
the
Trust,
you
incur
two
types
of
costs:
(1)
transaction
costs
and
(2)
ongoing
costs,
including
management
fees;
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
as
indicated
below.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
for
the
Period
Ending
3/31/2022”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Each
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Hypothetical
Example
for
Comparison
Purposes
The
table
below
also
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
Fund’s
actual
expense
ratio
and
an
assumed
annual
rate
of
return
of
5%
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
a
Fund
and
other
funds
by
comparing
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
other
funds.
The
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs.
Therefore,
the
hypothetical
example
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  3/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        3/31/22
AQR
Large
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,064.50
0.41%
$2.11
Hypothetical
Return
$1,000.00
$1,022.89
0.41%
$2.07
Class
N
Actual
Return
$1,000.00
$1,063.50
0.66%
$3.40
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,065.10
0.31%
$1.60
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
AQR
Small
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$981.00
0.61%
$3.01
Hypothetical
Return
$1,000.00
$1,021.89
0.61%
$3.07
Class
N
Actual
Return
$1,000.00
$979.80
0.86%
$4.24
Hypothetical
Return
$1,000.00
$1,020.64
0.86%
$4.33
Class
R6
Actual
Return
$1,000.00
$981.30
0.51%
$2.52
Hypothetical
Return
$1,000.00
$1,022.39
0.51%
$2.57
AQR
International
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$989.90
0.56%
$2.78
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$988.20
0.81%
$4.02
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$990.90
0.46%
$2.28
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
133
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2022
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  3/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        3/31/22
AQR
Emerging
Multi-Style
II
Fund
Class
I
Actual
Return
$1,000.00
$945.30
0.71%
$3.44
Hypothetical
Return
$1,000.00
$1,021.39
0.71%
$3.58
Class
N
Actual
Return
$1,000.00
$944.80
0.96%
$4.65
Hypothetical
Return
$1,000.00
$1,020.14
0.96%
$4.84
Class
R6
Actual
Return
$1,000.00
$946.30
0.61%
$2.96
Hypothetical
Return
$1,000.00
$1,021.89
0.61%
$3.07
AQR
Large
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,030.20
0.41%
$2.08
Hypothetical
Return
$1,000.00
$1,022.89
0.41%
$2.07
Class
N
Actual
Return
$1,000.00
$1,028.80
0.66%
$3.34
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,030.60
0.31%
$1.57
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
AQR
Small
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$943.80
0.61%
$2.96
Hypothetical
Return
$1,000.00
$1,021.89
0.61%
$3.07
Class
N
Actual
Return
$1,000.00
$942.80
0.86%
$4.17
Hypothetical
Return
$1,000.00
$1,020.64
0.86%
$4.33
Class
R6
Actual
Return
$1,000.00
$944.20
0.51%
$2.47
Hypothetical
Return
$1,000.00
$1,022.39
0.51%
$2.57
AQR
International
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$965.60
0.56%
$2.74
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$964.40
0.81%
$3.97
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$966.50
0.46%
$2.26
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
AQR
Large
Cap
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,040.70
0.40%
$2.04
Hypothetical
Return
$1,000.00
$1,022.94
0.40%
$2.02
Class
N
Actual
Return
$1,000.00
$1,039.60
0.66%
$3.36
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,041.50
0.31%
$1.58
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
134
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2022
Expenses
are
calculated
using
each
Class’
annualized
expense
ratio,
multiplied
by
the
average
account
value
for
the
period,
multiplied
by
182/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  3/31/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        3/31/22
AQR
International
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$972.40
0.56%
$2.75
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$971.00
0.81%
$3.98
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$972.80
0.46%
$2.26
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
AQR
Global
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,033.00
0.81%
$4.11
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
N
Actual
Return
$1,000.00
$1,032.10
1.06%
$5.37
Hypothetical
Return
$1,000.00
$1,019.65
1.06%
$5.34
Class
R6
Actual
Return
$1,000.00
$1,033.80
0.71%
$3.60
Hypothetical
Return
$1,000.00
$1,021.39
0.71%
$3.58
AQR
International
Equity
Fund
Class
I
Actual
Return
$1,000.00
$953.70
0.86%
$4.19
Hypothetical
Return
$1,000.00
$1,020.64
0.86%
$4.33
Class
N
Actual
Return
$1,000.00
$952.00
1.11%
$5.40
Hypothetical
Return
$1,000.00
$1,019.40
1.11%
$5.59
Class
R6
Actual
Return
$1,000.00
$955.10
0.76%
$3.70
Hypothetical
Return
$1,000.00
$1,021.14
0.76%
$3.83
Investment
Adviser
AQR
Capital
Management,
LLC
Two
Greenwich
Plaza,
4th
Floor
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
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)      Not required for this filing.
 (a)(2)     Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
                Section 302
 (a)(3)     Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.
(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.
                Section 906
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
AQR Funds
 
 
 
By: /s/ Ted Pyne
-----------------------------------
Ted Pyne,
Principal Executive Officer
May 25, 2022
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
 
 
 
By: /s/ Ted Pyne
----------------------------------
Ted Pyne,
Principal Executive Officer
May 25, 2022
 
 
 
By: /s/ Heather Bonner
---------------------------------
Heather Bonner,
Principal Financial Officer
May 25, 2022
 
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002
 
I, Ted Pyne, certify that:
 
1.
      
I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);
 
2.
      
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3.
      
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
 
4.
      
The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
 
a)
      
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
b)
      
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
c)
      
Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
d)
      
Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and 
 
5.
      
The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):
 
a)
      
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and
 
b)
      
Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.
 
Date:      May  25, 2022                                                                                      By:        
 
                                                                                                                                /s/ Ted Pyne
                                                                                                                                ----------------------------------------
Ted Pyne
Principal Executive Officer
 

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002
 
I, Heather Bonner, certify that:
 
1.
      
I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);
 
2.
      
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
 
3.
      
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
 
4.
      
The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
 
a)
      
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
b)
      
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
c)
      
Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
 
d)
      
Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and 
 
5.
      
The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):
 
a)
      
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and
 
b)
      
Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.
 
Date:      May 25, 2022                                                                                       By:        
 
                                                                                                                                /s/ Heather Bonner
                                                                                                                                ---------------------------------------
Heather Bonner
Principal Financial Officer

 
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)
 
In connection with the attached Report of the AQR Funds (the “Fund”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Fund does hereby certify that, to the best of such officer’s knowledge:
 
1.   The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2.   The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund as of, and for, the periods presented in the Report.
 
Dated: May 25, 2022
 
By:    /s/ Ted Pyne
                ______________________________
Ted Pyne
Principal Executive Officer
 
By:    /s/ Heather Bonner
                _______________________________
Heather Bonner
Principal Financial Officer
 
A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.