AQR Funds N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-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, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

William J. Fenrich, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

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

Date of fiscal year end:December 31

Date of reporting period:January 1, 2019 to June 30, 2019

Item 1. Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1.)

Semi-Annual Report

June 30, 2019 (Unaudited)

AQR Alternative Risk Premia Fund

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Multi-Asset Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

AQR Volatility Risk Premium Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866)290-2688.

You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.

Table of Contents

Schedule of Investments
AQR Alternative Risk Premia Fund	2
AQR Diversified Arbitrage Fund	24
AQR Equity Market Neutral Fund	48
AQR Global Macro Fund	62
AQR Long-Short Equity Fund	74
AQR Multi-Asset Fund	98
AQR Multi-Strategy Alternative Fund	114
AQR Risk-Balanced Commodities Strategy Fund	158
AQR Risk Parity II HV Fund	165
AQR Risk Parity II MV Fund	171
AQR Style Premia Alternative Fund	179
AQR Style Premia Alternative LV Fund	206
AQR Volatility Risk Premium Fund	228
Financial Statements and Notes	236
Fund Expense Examples	322
Board Approval of Investment Advisory Agreements	326

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 180.0%
COMMON STOCKS - 103.0%
Argentina - 0.1%
MercadoLibre, Inc. *(a)		602	$	368,286
Australia - 2.0%
AGL Energy Ltd. (2)(b)		95,042		1,336,620
Alumina Ltd. (2)(b)		32,483		53,319
Aurizon Holdings Ltd. (2)(b)		23,877		90,641
BHP Group plc (2)(b)		1,446		36,981
BlueScope Steel Ltd. (2)(b)		67,290		572,164
CIMIC Group Ltd. (2)(b)		4,236		133,203
Coca-Cola Amatil Ltd. (2)(b)		19,187		137,744
Crown Resorts Ltd. (2)(b)		6,588		57,582
Fortescue Metals Group Ltd. (2)(b)		108,150		687,789
Harvey Norman Holdings Ltd. (2)(b)		124,604		356,564
Newcrest Mining Ltd. (2)(b)		35,111		788,812
Santos Ltd. (2)(b)		66,058		329,797
South32 Ltd. (2)(b)		191,599		429,496
Star Entertainment Grp Ltd. (The) (2)(b)		11,247		32,566
Telstra Corp. Ltd. (2)(b)		420,127		1,136,067
Wesfarmers Ltd. (2)(b)		9,616		244,441
Woodside Petroleum Ltd. (2)(b)		29,427		754,760
WorleyParsons Ltd. (2)(b)		3,296		34,263
				7,212,809
Belgium - 0.6%
Ageas (2)(b)		21,588		1,123,446
bpost SA (2)(b)		8,974		85,157
Colruyt SA (2)(b)		4,252		246,845
KBC Group NV (2)(b)		2,875		188,673
Proximus SADP (2)(b)		6,070		179,398
UCB SA (2)(b)		4,156		344,905
				2,168,424
Brazil - 0.0% (c)
Yamana Gold, Inc.		8,652		21,935
Canada - 2.3%
Air Canada *(b)		40,900		1,239,602
ARC Resources Ltd. (b)		5,393		26,398
Atco Ltd., Class I (b)		3,840		129,432
Bank of Montreal (b)		3,201		241,795
CAE, Inc. (b)		1,714		46,084
Canadian Imperial Bank of Commerce (b)		381		29,961
Canadian Natural Resources Ltd. (b)		3,289		88,683
Canadian Pacific Railway Ltd. (b)		462		108,812
CGI, Inc. *(b)		7,926		609,362
CI Financial Corp. (b)		15,508		252,713
Constellation Software, Inc. (b)		35		32,987
Empire Co. Ltd., Class A (b)		15,065		379,400
Encana Corp. (b)		46,395		238,078
Gildan Activewear, Inc. (b)		1,614		62,462
Husky Energy, Inc. (b)		3,117		29,538
Hydro One Ltd. (b)(d)		25,937		452,370
iA Financial Corp., Inc. (b)		1,614		65,741
IGM Financial, Inc. (b)		1,580		45,112
Intact Financial Corp. (b)		402		37,150

INVESTMENTS	SHARES		VALUE
Canada - 2.3% (continued)
Kinross Gold Corp. *(b)		56,384	$	217,863
Linamar Corp. (b)		2,095		78,198
Magna International, Inc. (b)		7,103		353,428
Methanex Corp. (b)		2,852		129,473
National Bank of Canada (b)		10,353		491,818
Northland Power, Inc.		10,100		196,671
Peyto Exploration & Development Corp.		21,216		63,508
Quebecor, Inc., Class B (b)		14,340		341,541
Rogers Communications, Inc., Class B (b)		7,454		399,011
Royal Bank of Canada (b)		516		41,007
Seven Generations Energy Ltd., Class A *(b)		61,470		301,353
Thomson Reuters Corp. (b)		1,934		124,764
TMX Group Ltd. (b)		697		48,487
Toronto-Dominion Bank (The) (b)		4,338		253,479
Tourmaline Oil Corp. (b)		31,071		395,758
West Fraser Timber Co. Ltd. (b)		9,987		455,289
WestJet Airlines Ltd. (b)		2,056		48,262
				8,055,590
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd. (2)		782,400		886,435
Denmark - 0.6%
Carlsberg A/S, Class B (2)(b)		1,370		181,795
GN Store Nord A/S (2)		2,920		136,503
H Lundbeck A/S (2)(b)		1,883		74,584
Novo Nordisk A/S, Class B (2)(b)		2,697		137,755
Orsted A/S (2)(b)(d)		5,117		442,667
Pandora A/S (2)		13,304		473,348
Rockwool International A/S, Class B (2)(b)		1,164		297,792
Tryg A/S (2)(b)		3,766		122,547
Vestas Wind Systems A/S (2)(b)		2,049		177,512
				2,044,503
Finland - 0.5%
Fortum OYJ (2)(b)		1,689		37,330
Kesko OYJ, Class B (2)(b)		5,360		297,955
Neste OYJ (2)(b)		33,354		1,133,951
Outokumpu OYJ (2)(b)		29,148		99,655
Sampo OYJ, Class A (2)(b)		6,836		322,690
				1,891,581
France - 2.3%
Air France-KLM (2)*(b)		56,273		540,675
AXA SA (2)(b)		61,521		1,615,647
Casino Guichard Perrachon SA (2)(b)		1,553		52,887
CNP Assurances (2)(b)		6,388		144,997
Electricite de France SA (2)(b)		87,856		1,107,676
Engie SA (2)(b)		68,637		1,040,777
Eutelsat Communications SA (2)(b)		6,102		113,962
Peugeot SA (2)(b)		93,932		2,311,898
Societe BIC SA (2)(b)		494		37,631
Suez (2)(a)(b)		18,013		259,917
TOTAL SA (2)(b)		17,408		976,480
				8,202,547
Germany - 2.7%
adidas AG (2)(b)		1,461		451,990

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

2

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Germany - 2.7% (continued)
Allianz SE (Registered) (2)(b)		4,595	$	1,108,205
Deutsche Lufthansa AG (Registered) (2)(b)		29,028		497,709
E.ON SE (2)(a)(b)		250,882		2,722,098
Hannover Rueck SE (2)(b)		4,921		795,693
METRO AG (2)(b)		14,565		266,143
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)(b)		1,750		438,651
ProSiebenSat.1 Media SE (2)(b)		4,345		68,067
Salzgitter AG (2)(b)		9,118		261,287
Schaeffler AG (Preference) (2)		28,297		210,195
Talanx AG (2)(b)		3,930		170,304
Volkswagen AG (Preference) (2)		14,588		2,457,168
				9,447,510
Italy - 3.1%
A2A SpA (2)(b)		270,824		470,129
Assicurazioni Generali SpA (2)(b)		130,460		2,456,246
BPER Banca (2)(b)		38,198		155,700
Enel SpA (2)(b)		520,266		3,629,245
Eni SpA (2)(b)		84,271		1,401,201
Hera SpA (2)(b)		49,355		188,784
Italgas SpA (2)(b)		15,453		103,859
Poste Italiane SpA (2)(b)(d)		121,405		1,279,329
Saipem SpA (2)*(b)		43,804		218,598
Terna Rete Elettrica Nazionale SpA (2)(b)		11,150		71,044	��
Unipol Gruppo SpA (2)(b)		85,423		416,244
UnipolSai Assicurazioni SpA (2)(b)		220,234		565,879
				10,956,258
Japan - 14.8%
Advantest Corp. (2)(b)		9,200		253,284
AGC, Inc. (2)(b)		33,400		1,157,039
Alfresa Holdings Corp. (2)		14,700		363,547
Alps Alpine Co. Ltd. (2)(b)		2,100		35,565
Amada Holdings Co. Ltd. (2)(b)		5,200		58,777
Aozora Bank Ltd. (2)(b)		4,200		100,988
Astellas Pharma, Inc. (2)(b)		22,900		326,343
Bandai Namco Holdings, Inc. (2)(b)		7,200		349,377
Bridgestone Corp. (2)(b)		4,800		189,355
Brother Industries Ltd. (2)(b)		4,800		90,919
Central Japan Railway Co. (2)(b)		3,100		621,575
Chubu Electric Power Co., Inc. (2)(b)		46,400		651,796
Citizen Watch Co. Ltd. (2)		23,500		120,923
Daicel Corp. (2)(b)		10,400		92,684
Dai-ichi Life Holdings, Inc. (2)(b)		26,400		399,425
East Japan Railway Co. (2)(b)		3,700		346,482
Electric Power Development Co. Ltd. (2)(a)		19,400		441,471
Fujitsu Ltd. (2)(b)		5,500		384,375
Fukuoka Financial Group, Inc. (2)(b)		9,200		168,483
GungHo Online Entertainment, Inc. (2)		17,490		485,711
Gunma Bank Ltd. (The) (2)(b)		4,300		15,084
Hakuhodo DY Holdings, Inc. (2)(b)		2,300		38,849
Haseko Corp. (2)		23,400		237,409
Hiroshima Bank Ltd. (The) (2)(b)		3,200		15,448
Hitachi Capital Corp. (2)(b)		2,500		55,704
Hitachi High-Technologies Corp. (2)(b)		3,200		164,509
Hitachi Ltd. (2)(b)		23,700		871,987

INVESTMENTS	SHARES		VALUE
Japan - 14.8% (continued)
Idemitsu Kosan Co. Ltd. (2)(b)		31,600	$	955,742
Inpex Corp. (2)(b)		81,300		736,848
ITOCHU Corp. (2)(b)		132,800		2,544,052
Japan Airlines Co. Ltd. (2)(b)		1,600		51,065
Japan Post Holdings Co. Ltd. (2)(b)		2,600		29,445
JFE Holdings, Inc. (2)(b)		62,500		920,301
JTEKT Corp. (2)(b)		23,400		284,526
JXTG Holdings, Inc. (2)(b)		403,100		2,009,011
Kajima Corp. (2)(b)		12,000		165,054
Kaken Pharmaceutical Co. Ltd. (2)		700		32,831
Kamigumi Co. Ltd. (2)(b)		12,200		289,307
Kansai Electric Power Co., Inc. (The) (2)(b)		11,300		129,536
KDDI Corp. (2)(b)		54,700		1,391,934
Kobe Steel Ltd. (2)(b)		55,700		365,598
Konica Minolta, Inc. (2)(b)		51,000		496,923
Kyushu Electric Power Co., Inc. (2)		2,900		28,491
Kyushu Railway Co. (2)(b)		22,800		665,138
Mabuchi Motor Co. Ltd. (2)(a)		5,200		178,400
Marubeni Corp. (2)(b)		236,400		1,569,167
Mazda Motor Corp. (2)(b)		104,800		1,084,827
Medipal Holdings Corp. (2)(b)		19,200		424,676
Mitsubishi Chemical Holdings Corp. (2)(b)		83,300		583,209
Mitsubishi Corp. (2)(b)		69,200		1,828,636
Mitsubishi Electric Corp. (2)(b)		12,800		169,217
Mitsubishi Heavy Industries Ltd. (2)(b)		1,500		65,418
Mitsubishi Materials Corp. (2)(b)		3,500		99,711
Mitsubishi UFJ Financial Group, Inc. (2)(b)		127,000		604,898
Mitsubishi UFJ Lease & Finance Co. Ltd. (2)(b)		7,600		40,386
Mitsui & Co. Ltd. (2)(b)		94,300		1,539,249
Mitsui Chemicals, Inc. (2)(b)		14,700		365,214
Mixi, Inc. (2)		14,600		293,201
Mizuho Financial Group, Inc. (2)(b)		320,500		466,048
MS&AD Insurance Group Holdings, Inc. (2)(b)		12,000		381,437
Nexon Co. Ltd. (2)*(b)		10,700		156,323
NGK Insulators Ltd. (2)(b)		2,900		42,410
NH Foods Ltd. (2)(b)		1,000		42,875
NHK Spring Co. Ltd. (2)(b)		22,800		176,257
Nippon Electric Glass Co. Ltd. (2)		3,900		99,123
Nippon Steel Corp. (2)(b)		45,600		784,778
Nippon Telegraph & Telephone Corp. (2)(b)		67,100		3,126,168
Obayashi Corp. (2)(b)		23,200		229,186
ORIX Corp. (2)(b)		22,800		340,744
Osaka Gas Co. Ltd. (2)(b)		22,000		383,943
Resona Holdings, Inc. (2)(b)		374,600		1,562,678
Sawai Pharmaceutical Co. Ltd. (2)		2,300		124,490
Shimizu Corp. (2)(b)		13,400		111,571
Shinsei Bank Ltd. (2)(b)		39,200		610,044
Shionogi & Co. Ltd. (2)(b)		800		46,226
Showa Denko KK (2)(b)		46,700		1,382,002
Sojitz Corp. (2)(b)		501,700		1,614,561
Sompo Holdings, Inc. (2)(b)		7,200		278,507
SUMCO Corp. (2)(b)		10,600		126,353
Sumitomo Chemical Co. Ltd. (2)(b)		124,400		579,249
Sumitomo Corp. (2)(b)		97,900		1,486,913
Sumitomo Dainippon Pharma Co. Ltd. (2)(b)		1,600		30,460

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

3

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
Japan - 14.8% (continued)
Sumitomo Heavy Industries Ltd. (2)		21,500	$	742,780
Sumitomo Mitsui Financial Group, Inc. (2)(b)		33,200		1,176,797
Sumitomo Mitsui Trust Holdings, Inc. (2)(b)		17,500		635,803
Suzuken Co. Ltd. (2)(b)		5,600		329,076
Taiheiyo Cement Corp. (2)(b)		21,000		637,575
Teijin Ltd. (2)(b)		37,600		642,380
Toho Gas Co. Ltd. (2)		800		29,498
Tohoku Electric Power Co., Inc. (2)(a)		27,300		276,246
Tokio Marine Holdings, Inc. (2)(b)		14,800		742,595
Tokyo Electric Power Co. Holdings, Inc. (2)*(b)		436,000		2,277,256
Tokyo Gas Co. Ltd. (2)(b)		45,100		1,063,095
Toppan Printing Co. Ltd. (2)(b)		5,500		83,635
Tosoh Corp. (2)(b)		35,600		502,136
Toyo Seikan Group Holdings Ltd. (2)(b)		26,600		528,883
Toyota Tsusho Corp. (2)(b)		4,100		124,545
West Japan Railway Co. (2)(b)		7,500		607,016
Yamada Denki Co. Ltd. (2)		14,600		64,615
				52,625,397
Luxembourg - 0.1%
ArcelorMittal (2)(a)		17,226		308,138
Malta - 0.0% (c)
Kindred Group plc, SDR (2)		10,921		92,713
Netherlands - 1.4%
Aegon NV (2)(b)		157,431		782,030
ASR Nederland NV (2)(b)		14,667		595,940
Koninklijke Ahold Delhaize NV (2)(b)		106,246		2,385,191
NN Group NV (2)(b)		27,069		1,088,144
Randstad NV (2)(b)		1,992		109,327
SBM Offshore NV (2)(b)		2,834		54,709
Signify NV (2)(b)(d)		4,439		130,973
				5,146,314
Norway - 0.5%
Equinor ASA (2)(b)		30,658		608,174
Leroy Seafood Group ASA (2)(b)		38,039		252,005
Mowi ASA (2)(b)		28,981		678,125
Salmar ASA (2)(b)		5,481		238,603
				1,776,907
Russia - 0.1%
Evraz plc (2)		58,302		493,663
Singapore - 0.3%
ComfortDelGro Corp. Ltd. (2)		277,700		546,122
Genting Singapore Ltd. (2)		46,300		31,501
SATS Ltd. (2)		24,700		95,301
Venture Corp. Ltd. (2)(a)		16,200		195,594
Wilmar International Ltd. (2)(a)		12,100		33,123
				901,641
Spain - 1.7%
Acciona SA (2)(b)		1,562		167,638
Acerinox SA (2)(b)		5,957		59,895
ACS Actividades de Construccion y Servicios SA (2)(b)		8,546		341,917

INVESTMENTS	SHARES		VALUE
Spain - 1.7% (continued)
Banco Bilbao Vizcaya Argentaria SA (2)(b)		128,845	$	718,656
Cia de Distribucion Integral Logista Holdings SA (2)(b)		207		4,687
Enagas SA (2)		1,566		41,791
Endesa SA (2)(b)		49,898		1,283,404
Iberdrola SA (2)(b)		99,442		990,062
Mapfre SA (2)(b)		189,800		555,038
Mediaset Espana Comunicacion SA (2)		12,867		93,659
Naturgy Energy Group SA (2)(b)		17,745		489,032
Red Electrica Corp. SA (2)(b)		6,069		126,406
Repsol SA (2)(b)		61,088		958,645
Telefonica SA (2)(b)		33,831		278,203
				6,109,033
Sweden - 0.5%
Axfood AB (2)(b)		9,066		179,508
Boliden AB (2)(b)		9,391		240,634
Hennes & Mauritz AB, Class B (2)(b)		1,922		34,147
ICA Gruppen AB (2)(b)		2,079		89,397
Securitas AB, Class B (2)(b)		2,603		45,689
SKF AB, Class B (2)(b)		2,929		53,921
SSAB AB, Class A (2)(b)		164,085		572,928
Swedish Orphan Biovitrum AB (2)*(b)		15,853		305,933
Telefonaktiebolaget LM Ericsson, Class B (2)(b)		10,636		100,954
Telia Co. AB (2)(b)		7,116		31,547
Volvo AB, Class B (2)(b)		3,251		51,657
				1,706,315
Switzerland - 1.7%
Alcon, Inc. (2)*(b)		1,485		91,698
Baloise Holding AG (Registered) (2)(b)		1,176		208,278
Garrett Motion, Inc. *(a)(b)		8,608		132,133
Helvetia Holding AG (Registered) (2)(b)		3,603		452,283
Novartis AG (Registered) (2)(b)		2,019		184,318
Roche Holding AG (2)(b)		4,791		1,347,171
Sonova Holding AG (Registered) (2)(b)		865		196,873
Swiss Life Holding AG (Registered) (2)(b)		4,500		2,231,038
Temenos AG (Registered) (2)*(b)		177		31,693
Zurich Insurance Group AG (2)(b)		2,903		1,010,097
				5,885,582
United Kingdom - 2.6%
Aggreko plc (2)(b)		29,129		292,440
ASOS plc (2)*		1,455		47,223
Babcock International Group plc (2)(b)		25,962		151,130
Barratt Developments plc (2)(b)		37,493		272,836
Bellway plc (2)		7,026		248,502
Berkeley Group Holdings plc (2)(b)		7,693		364,598
Britvic plc (2)(b)		6,626		74,758
BT Group plc (2)(b)		331,733		829,443
Centrica plc (2)(b)		24,487		27,297
Dialog Semiconductor plc (2)*(b)		19,444		782,414
Dixons Carphone plc (2)		50,214		69,796
Drax Group plc (2)		58,146		192,057
Fiat Chrysler Automobiles NV (2)(b)		150,243		2,085,137
Greene King plc (2)		8,786		68,913
Hays plc (2)(b)		41,746		83,404

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

4

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United Kingdom - 2.6% (continued)
Howden Joinery Group plc (2)(b)		24,718	$	159,079
Inmarsat plc (2)(b)		25,245		174,860
J Sainsbury plc (2)(b)		91,209		226,654
Janus Henderson Group plc (a)		2,078		44,469
John Wood Group plc (2)(b)		17,955		103,384
Marks & Spencer Group plc (2)		29,415		78,647
Meggitt plc (2)		5,114		34,072
Micro Focus International plc (2)(b)		8,442		222,025
Moneysupermarket.com Group plc (2)		37,667		197,321
National Grid plc (2)(b)		69,911		743,495
Pennon Group plc (2)		23,784		224,326
Persimmon plc (2)(b)		5,747		146,002
Petrofac Ltd. (2)(b)		25,456		139,253
Playtech plc (2)		7,647		41,471
Royal Mail plc (2)(b)		15,867		42,750
Subsea 7 SA (2)(b)		2,717		32,853
Taylor Wimpey plc (2)		102,489		205,660
United Utilities Group plc (2)(a)(b)		76,301		759,492
WH Smith plc (2)		1,664		41,681
Whitbread plc (2)(b)		568		33,420
				9,240,862
United States - 64.9%
Aaron’s, Inc. (b)		6,641		407,824
Abbott Laboratories (a)		13,021		1,095,066
AbbVie, Inc. (b)		13,590		988,265
ABIOMED, Inc. *(a)		363		94,558
Accenture plc, Class A (a)		1,931		356,791
Activision Blizzard, Inc. (a)		1,534		72,405
Acuity Brands, Inc. (a)		1,830		252,375
Adobe, Inc. *(b)		2,931		863,619
Adtalem Global Education, Inc. *(a)		9,262		417,253
Advance Auto Parts, Inc. (b)		242		37,302
AES Corp. (a)		79,720		1,336,107
Aflac, Inc. (b)		29,850		1,636,079
Agilent Technologies, Inc. (b)		5,490		409,938
Air Lease Corp. (a)		4,582		189,420
Akamai Technologies, Inc. *(b)		16,653		1,334,571
Alexion Pharmaceuticals, Inc. *(b)		11,860		1,553,423
Allergan plc (b)		260		43,532
Allison Transmission Holdings, Inc. (b)		696		32,260
Allstate Corp. (The) (b)		8,692		883,889
Ally Financial, Inc. (b)		1,255		38,892
Alphabet, Inc., Class A *(b)		1,209		1,309,105
Amazon.com, Inc. *(b)		123		232,916
AMC Networks, Inc., Class A *(a)		30,926		1,685,158
AMERCO (a)		1,125		425,869
Ameren Corp. (b)		1,560		117,172
American Eagle Outfitters, Inc.		41,987		709,580
American Water Works Co., Inc. (a)		2,822		327,352
Ameriprise Financial, Inc. (b)		6,502		943,830
Amgen, Inc. (a)(b)		15,174		2,796,264
ANSYS, Inc. *(b)		1,213		248,447
Anthem, Inc. (b)		7,111		2,006,795
Apergy Corp. *(b)		2,995		100,452
Apple, Inc. (a)		691		136,763
Archer-Daniels-Midland Co. (a)		1,242		50,674
Armstrong World Industries, Inc. (b)		775		75,330

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
Arrow Electronics, Inc. *(a)(b)		14,617	$	1,041,754
Aspen Technology, Inc. *(b)		1,968		244,583
Assurant, Inc.		340		36,169
Assured Guaranty Ltd. (b)		32,133		1,352,157
AT&T, Inc. (a)		18,759		628,614
Athene Holding Ltd., Class A *(a)(b)		52,070		2,242,134
AutoNation, Inc. *(a)(b)		1,234		51,754
AutoZone, Inc. *(a)		397		436,490
Avnet, Inc.		6,701		303,354
AXA Equitable Holdings, Inc. (a)		79,998		1,671,958
Bank of New York Mellon Corp. (The) (b)		1,181		52,141
Bausch Health Cos., Inc. *(b)		1,518		38,299
Baxter International, Inc. (a)		7,937		650,040
Becton Dickinson and Co. (b)		355		89,464
Bed Bath & Beyond, Inc. (a)		36,541		424,606
Belden, Inc. (a)		672		40,031
Best Buy Co., Inc. (a)		5,968		416,149
Biogen, Inc. *(a)(b)		12,295		2,875,431
Bio-Rad Laboratories, Inc., Class A *(a)		196		61,268
Bio-Techne Corp.		2,785		580,645
Boeing Co. (The) (b)		2,472		899,833
Booking Holdings, Inc. *(a)(b)		1,308		2,452,120
Booz Allen Hamilton Holding Corp. (b)		4,703		311,386
Boston Beer Co., Inc. (The), Class A *(a)		3,822		1,443,799
Boyd Gaming Corp. (a)		1,254		33,783
Brighthouse Financial, Inc. *		9,889		362,827
Brinker International, Inc. (a)		5,724		225,239
Bristol-Myers Squibb Co. (a)		21,429		971,805
BRP, Inc. (b)		9,668		345,510
Bruker Corp. (b)		4,248		212,188
Brunswick Corp. (a)(b)		2,737		125,601
Burlington Stores, Inc. *(b)		686		116,723
CACI International, Inc., Class A *(a)		2,563		524,364
Cadence Design Systems, Inc. *(b)		19,713		1,395,878
Callon Petroleum Co. *(a)		52,800		347,952
Capital One Financial Corp. (b)		11,601		1,052,675
Carlisle Cos., Inc. (b)		314		44,089
Carter’s, Inc. (a)		3,409		332,514
Casey’s General Stores, Inc. (a)		1,483		231,333
CBS Corp.(Non-Voting), Class B (b)		679		33,882
CDW Corp. (b)		9,768		1,084,248
Celanese Corp. (b)		343		36,975
Centene Corp. *(a)		3,324		174,311
Cerner Corp. (a)		30,781		2,256,247
Charles River Laboratories International, Inc. *		17,413		2,470,904
Chemed Corp.		363		130,985
Chesapeake Energy Corp. *		139,306		271,647
Church & Dwight Co., Inc. (a)		582		42,521
Churchill Downs, Inc. (b)		1,149		132,215
Ciena Corp. *(b)		20,724		852,378
Cigna Corp. (b)		676		106,504
Cinemark Holdings, Inc. (a)(b)		5,400		194,940
Cirrus Logic, Inc. *(b)		12,870		562,419
Cisco Systems, Inc. (a)		32,782		1,794,159
Citrix Systems, Inc. (b)		1,328		130,330
CNX Resources Corp. *(a)		56,874		415,749

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

5

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
Cognizant Technology Solutions Corp., Class A (b)		2,812	$	178,253
Columbia Sportswear Co. (a)(b)		3,866		387,219
Comcast Corp., Class A (b)		8,057		340,650
CommScope Holding Co., Inc. *(a)		15,889		249,934
Consolidated Edison, Inc. (a)		26,936		2,361,747
Cooper Cos., Inc. (The) (a)(b)		2,164		729,030
Costco Wholesale Corp. (a)(b)		4,060		1,072,896
Cracker Barrel Old Country Store, Inc. (a)		1,110		189,510
Crane Co.		445		37,131
Credit Acceptance Corp. *(b)		308		149,020
Cummins, Inc. (a)(b)		2,599		445,313
Curtiss-Wright Corp. (b)		5,830		741,168
Dana, Inc. (b)		4,267		85,084
Danaher Corp. (a)(b)		18,170		2,596,855
Darden Restaurants, Inc. (a)		2,602		316,741
Deckers Outdoor Corp. *(b)		12,574		2,212,647
Delphi Technologies plc (b)		8,019		160,380
Deluxe Corp. (a)		4,439		180,490
Dick’s Sporting Goods, Inc. (b)		27,117		939,062
Dillard’s, Inc., Class A (a)		14,799		921,682
Discover Financial Services (a)		3,099		240,451
Discovery, Inc., Class A *(a)		8,467		259,937
Dollar General Corp. (b)		2,180		294,649
Domtar Corp. (a)		6,372		283,745
DTE Energy Co. (a)		3,500		447,580
Eaton Corp. plc (b)		12,557		1,045,747
eBay, Inc. (a)		48,731		1,924,875
EchoStar Corp., Class A *(a)		1,209		53,583
Edwards Lifesciences Corp. *(a)(b)		4,474		826,527
Eldorado Resorts, Inc. *(b)		13,461		620,148
Electronic Arts, Inc. *(b)		7,153		724,313
Eli Lilly & Co. (a)(b)		18,619		2,062,799
EMCOR Group, Inc. (a)(b)		1,314		115,763
Encompass Health Corp.		532		33,708
EPAM Systems, Inc. *(b)		536		92,782
Estee Lauder Cos., Inc. (The), Class A (b)		8,227		1,506,446
Evercore, Inc., Class A (b)		1,431		126,744
Everest Re Group Ltd. (a)(b)		3,076		760,326
Exelixis, Inc. *(b)		70,569		1,508,060
Exelon Corp. (b)		40,129		1,923,784
Expedia Group, Inc. (a)(b)		1,491		198,348
F5 Networks, Inc. *(b)		6,684		973,391
Facebook, Inc., Class A *(b)		10,858		2,095,594
Fair Isaac Corp. *(a)		1,038		325,953
Federated Investors, Inc., Class B (a)		10,143		329,648
First American Financial Corp. (a)(b)		1,541		82,752
Fiserv, Inc. *(a)		480		43,757
FLIR Systems, Inc. (b)		5,438		294,196
Foot Locker, Inc. (b)		43,240		1,812,621
Fortinet, Inc. *(b)		10,453		803,104
Gap, Inc. (The) (a)(b)		1,878		33,748
GATX Corp. (a)		567		44,957
Gilead Sciences, Inc. (b)		19,676		1,329,311
Globus Medical, Inc., Class A *(a)		11,879		502,482
Goldman Sachs Group, Inc. (The) (a)(b)		3,091		632,419
GrafTech International Ltd. (a)		13,831		159,057

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
Graham Holdings Co., Class B (b)		1,259	$	868,748
H&R Block, Inc. (a)		22,416		656,789
Halliburton Co. (a)		8,870		201,704
Hanover Insurance Group, Inc. (The) (b)		276		35,411
HCA Healthcare, Inc. (b)		12,285		1,660,563
Helen of Troy Ltd. *(a)		1,260		164,543
Helmerich & Payne, Inc. (a)		6,532		330,650
Henry Schein, Inc. *(a)		7,719		539,558
Herman Miller, Inc. (b)		7,447		332,881
Hewlett Packard Enterprise Co. (b)		25,133		375,738
Hill-Rom Holdings, Inc.		5,637		589,743
HollyFrontier Corp. (b)		20,221		935,828
Honeywell International, Inc. (a)		2,671		466,330
Hormel Foods Corp. (a)		1,213		49,175
HP, Inc. (a)		27,680		575,467
Humana, Inc. (b)		2,153		571,191
Huntington Ingalls Industries, Inc. (a)(b)		9,908		2,226,724
IAC/InterActiveCorp *(a)(b)		4,166		906,230
Incyte Corp. *(b)		1,273		108,154
Inogen, Inc. *(a)		4,916		328,192
Insperity, Inc. (b)		3,153		385,107
Intel Corp. (b)		3,408		163,141
International Business Machines Corp. (b)		4,890		674,331
International Paper Co. (a)(b)		11,706		507,104
Intuit, Inc. (b)		2,860		747,404
Intuitive Surgical, Inc. *(a)		82		43,013
Invesco Ltd. (a)		10,952		224,078
Ionis Pharmaceuticals, Inc. *(a)		5,187		333,368
IQVIA Holdings, Inc. *(a)(b)		14,937		2,403,362
ITT, Inc.		4,000		261,920
j2 Global, Inc. (a)		15,573		1,384,284
Jabil, Inc. (b)		18,676		590,162
Jacobs Engineering Group, Inc. (a)		3,756		316,969
Jazz Pharmaceuticals plc *(b)		9,058		1,291,308
Johnson & Johnson (b)		4,155		578,708
JPMorgan Chase & Co. (a)		1,277		142,769
Juniper Networks, Inc. (a)(b)		44,767		1,192,145
KB Home		2,838		73,022
KBR, Inc. (a)		1,727		43,071
Keysight Technologies, Inc. *(b)		5,109		458,839
KLA-Tencor Corp. (b)		284		33,569
Kohl’s Corp. (a)(b)		29,726		1,413,471
Kontoor Brands, Inc. *		897		25,134
Kroger Co. (The) (b)		71,933		1,561,665
Laboratory Corp. of America Holdings *(b)		10,088		1,744,215
Lam Research Corp. (a)		3,908		734,079
Lennar Corp., Class A (a)		5,464		264,785
Ligand Pharmaceuticals, Inc. *(a)		265		30,250
Lincoln National Corp. (b)		12,090		779,201
Lockheed Martin Corp. (a)		734		266,838
LogMeIn, Inc. (b)		3,239		238,650
LPL Financial Holdings, Inc. (a)		1,471		119,989
Lululemon Athletica, Inc. *(b)		5,305		956,014
Lumentum Holdings, Inc. *(a)		8,270		441,701
Macy’s, Inc. (a)(b)		48,244		1,035,316
Mallinckrodt plc *		32,225		295,826
Manhattan Associates, Inc. *(a)		4,569		316,769

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

6

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
ManpowerGroup, Inc. (b)		14,693	$	1,419,344
Masimo Corp. *(b)		6,530		971,795
MasTec, Inc. *(a)(b)		620		31,949
Match Group, Inc. (a)(b)		12,842		863,881
MAXIMUS, Inc.		3,303		239,600
McDermott International, Inc. *(a)		47,995		463,632
McKesson Corp. (b)		6,193		832,277
MEDNAX, Inc. *		9,788		246,951
Medtronic plc (b)		8,996		876,120
Merck & Co., Inc. (b)		32,881		2,757,071
MetLife, Inc. (b)		3,344		166,096
Mettler-Toledo International, Inc. *(b)		150		126,000
Michaels Cos., Inc. (The) *(a)		12,638		109,951
Micron Technology, Inc. *(a)(b)		60,718		2,343,108
Microsoft Corp. (b)		12,520		1,677,179
MKS Instruments, Inc. (a)		5,220		406,586
Molina Healthcare, Inc. *(b)		6,485		928,263
Molson Coors Brewing Co., Class B (a)(b)		10,859		608,104
Morgan Stanley (b)		5,317		232,938
Motorola Solutions, Inc. (b)		335		55,855
MSA Safety, Inc. (b)		1,887		198,871
MSCI, Inc. (a)		292		69,727
Murphy USA, Inc. *(a)(b)		3,475		292,004
Mylan NV *(a)		33,393		635,803
Nektar Therapeutics *(b)		1,033		36,754
New Jersey Resources Corp. (a)		3,598		179,072
NIKE, Inc., Class B (b)		6,522		547,522
Nordstrom, Inc.		8,861		282,311
Norfolk Southern Corp. (b)		264		52,623
Northrop Grumman Corp. (b)		653		210,991
NorthWestern Corp.		11,198		807,936
Norwegian Cruise Line Holdings Ltd. *(b)		9,177		492,163
NRG Energy, Inc. (b)		1,696		59,564
Nu Skin Enterprises, Inc., Class A		1,282		63,228
NuVasive, Inc. *(a)		5,274		308,740
nVent Electric plc (b)		7,431		184,214
Old Republic International Corp. (a)(b)		25,011		559,746
Omnicom Group, Inc. (a)		1,143		93,669
ON Semiconductor Corp. *(b)		29,691		600,055
OneMain Holdings, Inc. (b)		13,279		448,963
Oracle Corp. (b)		28,920		1,647,572
Oshkosh Corp. (b)		3,829		319,683
Packaging Corp. of America (b)		2,028		193,309
Parker-Hannifin Corp. (b)		585		99,456
Patterson Cos., Inc. (a)		4,549		104,172
Patterson-UTI Energy, Inc. (a)		43,824		504,414
Paycom Software, Inc. *(b)		1,338		303,351
PBF Energy, Inc., Class A (b)		16,582		519,017
Penske Automotive Group, Inc. (a)		5,080		240,284
PerkinElmer, Inc. (a)		2,366		227,940
Pfizer, Inc. (a)(b)		65,058		2,818,312
Phillips 66 (a)(b)		9,587		896,768
Pilgrim’s Pride Corp. *(b)		28,682		728,236
Pinnacle West Capital Corp. (b)		596		56,078
Popular, Inc.		4,860		263,606
PRA Health Sciences, Inc. *(b)		19,293		1,912,901
Progressive Corp. (The) (b)		880		70,338

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
Public Service Enterprise Group, Inc. (a)		1,589	$	93,465
PulteGroup, Inc. (a)(b)		63,009		1,992,345
PVH Corp.		3,444		325,940
QIAGEN NV *(a)		20,135		816,474
Quanta Services, Inc. (b)		27,861		1,064,012
Quest Diagnostics, Inc. (a)(b)		601		61,188
Qurate Retail, Inc. *(a)(b)		90,023		1,115,385
Ralph Lauren Corp. (a)		2,529		287,269
Raytheon Co. (b)		7,815		1,358,872
Regal Beloit Corp. (a)(b)		6,193		506,030
Regeneron Pharmaceuticals, Inc. *(a)(b)		3,223		1,008,799
Reinsurance Group of America, Inc. (b)		6,036		941,797
Reliance Steel & Aluminum Co. (b)		496		46,932
Republic Services, Inc. (a)		2,989		258,967
Resideo Technologies, Inc. *		5,242		114,905
Robert Half International, Inc. (a)(b)		25,691		1,464,644
Ross Stores, Inc. (a)(b)		5,748		569,742
Royal Caribbean Cruises Ltd. (a)(b)		1,891		229,208
RPC, Inc. (a)		66,694		480,864
Ryder System, Inc. (b)		948		55,268
Sally Beauty Holdings, Inc. *(a)		37,956		506,333
Santander Consumer USA Holdings, Inc. (a)		15,869		380,221
Schneider National, Inc., Class B (b)		2,661		48,537
Seagate Technology plc (a)(b)		14,748		694,926
Service Corp. International (a)(b)		8,149		381,210
ServiceMaster Global Holdings, Inc. *(a)		4,420		230,238
Silgan Holdings, Inc. (a)		3,479		106,457
Skechers U.S.A., Inc., Class A *(b)		28,440		895,576
Skyworks Solutions, Inc. (a)(b)		5,004		386,659
SM Energy Co. (b)		8,753		109,588
Snap-on, Inc. (a)(b)		3,550		588,022
Sonoco Products Co. (a)		4,559		297,885
Southwestern Energy Co. *(a)		306,698		969,166
Spirit AeroSystems Holdings, Inc., Class A (b)		22,292		1,813,900
SS&C Technologies Holdings, Inc. (b)		964		55,536
STERIS plc (a)		3,615		538,201
Stifel Financial Corp. (b)		2,237		132,117
Stryker Corp. (b)		3,224		662,790
Symantec Corp. (b)		22,732		494,648
Synchrony Financial (b)		27,955		969,200
Synopsys, Inc. *(b)		1,976		254,291
Target Corp. (a)(b)		20,658		1,789,189
TE Connectivity Ltd. (a)		527		50,476
Tech Data Corp. *(b)		15,468		1,617,953
TEGNA, Inc.		66,007		1,000,006
Teledyne Technologies, Inc. *(a)(b)		5,079		1,390,986
Telephone & Data Systems, Inc. (b)		23,802		723,581
Teradyne, Inc. (b)		2,445		117,140
Textron, Inc. (a)		20,854		1,106,096
Thermo Fisher Scientific, Inc. (b)		6,724		1,974,704
TJX Cos., Inc. (The) (b)		11,727		620,124
T-Mobile US, Inc. *(b)		15,007		1,112,619
Toll Brothers, Inc. (a)		11,301		413,843
Torchmark Corp. (b)		5,052		451,952
Tractor Supply Co. (b)		491		53,421

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

7

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES		VALUE
United States - 64.9% (continued)
Travelers Cos., Inc. (The) (a)		1,953	$	292,013
TRI Pointe Group, Inc. *(a)		21,503		257,391
TripAdvisor, Inc. *(b)		29,469		1,364,120
Twitter, Inc. *(b)		23,111		806,574
Tyson Foods, Inc., Class A (a)		7,730		624,120
Ubiquiti Networks, Inc. (a)		1,189		156,354
UGI Corp. (b)		6,985		373,069
United States Cellular Corp. *(b)		3,520		157,238
United Therapeutics Corp. *(a)		13,116		1,023,835
UnitedHealth Group, Inc. (a)(b)		596		145,430
Universal Health Services, Inc., Class B (a)		11,811		1,540,036
Urban Outfitters, Inc. *(a)		34,248		779,142
Valero Energy Corp. (a)(b)		10,926		935,375
Varian Medical Systems, Inc. *(a)		5,977		813,649
Veeva Systems, Inc., Class A *(b)		16,339		2,648,714
VeriSign, Inc. *(b)		4,206		879,727
Verizon Communications, Inc. (a)(b)		51,425		2,937,909
Vertex Pharmaceuticals, Inc. *(b)		1,277		234,176
VF Corp. (b)		6,284		548,907
Viacom, Inc., Class B (a)(b)		92,389		2,759,658
Vishay Intertechnology, Inc. (a)		18,536		306,215
Vistra Energy Corp. (b)		46,365		1,049,704
VMware, Inc., Class A (b)		5,294		885,210
Voya Financial, Inc. (b)		4,914		271,744
Walmart, Inc. (a)		13,562		1,498,465
Walt Disney Co. (The) (a)(b)		5,803		810,331
Waste Management, Inc. (a)(b)		9,329		1,076,287
Weight Watchers International, Inc. *(b)		14,451		276,014
Werner Enterprises, Inc. (a)		12,418		385,951
WESCO International, Inc. *		2,038		103,225
West Pharmaceutical Services, Inc. (b)		2,485		310,998
Whiting Petroleum Corp. *(a)		31,087		580,705
Williams-Sonoma, Inc. (a)		16,871		1,096,615
Woodward, Inc. (a)		4,517		511,144
Xerox Corp. (b)		32,251		1,142,008
Zebra Technologies Corp., Class A *(a)(b)		3,113		652,142
Zimmer Biomet Holdings, Inc. (b)		4,534		533,833
Zoetis, Inc. (b)		7,628		865,702
				231,119,183
TOTAL COMMON STOCKS (Cost $340,118,253)				366,661,626
SHORT-TERM INVESTMENTS - 77.0%
INVESTMENT COMPANIES - 51.0%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (e)(f)		10,162,345		10,162,344
Limited Purpose Cash Investment Fund, 2.36% (e)		167,386,662		167,420,139
UBS Select Treasury Preferred Fund, Class I, 2.23% (e)		3,832,186		3,832,186
TOTAL INVESTMENT COMPANIES (Cost $181,355,702)				181,414,669

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 26.0%
U.S. Treasury Bills
2.54%, 7/5/2019 (2)(g)	$	2,940,000		$	2,939,363
2.50%, 7/11/2019 (2)(g)		2,596,000			2,594,610
2.48%, 7/25/2019 (2)(g)		8,259,000			8,248,263
2.48%, 8/1/2019 (2)(g)		9,087,000			9,071,272
2.47%, 8/8/2019 (2)(g)		11,338,000			11,313,331
2.47%, 8/15/2019 (2)(g)		18,395,000			18,346,886
2.49%, 8/22/2019 (2)(g)		8,553,000			8,527,068
2.49%, 8/29/2019 (2)(g)		15,680,000			15,626,035
2.49%, 9/5/2019 (2)(g)(h)		7,223,000			7,195,291
2.49%, 9/12/2019 (2)(g)(h)		3,137,000			3,123,880
2.05%, 12/26/2019 (2)(g)		5,549,000			5,492,823
TOTAL U.S. TREASURY OBLIGATIONS (Cost $92,439,037)					92,478,822
TOTALSHORT-TERM INVESTMENTS (Cost $273,794,739)					273,893,491
TOTAL LONG POSITIONS (Cost $613,912,992)					640,555,117
		SHARES
SHORT POSITIONS - (88.2)%
COMMON STOCKS - (88.2)%
Australia - (1.6)%
AMP Ltd. (2)		(476,609	)		(710,950	)
APA Group (2)		(23,848	)		(180,847	)
Challenger Ltd. (2)		(108,849	)		(508,069	)
Domino’s Pizza Enterprises Ltd. (2)		(13,841	)		(365,788	)
Iluka Resources Ltd. (2)		(5,977	)		(45,381	)
Lendlease Group (2)		(56,144	)		(513,039	)
Medibank Pvt Ltd. (2)		(254,354	)		(624,111	)
Origin Energy Ltd. (2)		(35,681	)		(183,476	)
Qantas Airways Ltd. (2)		(18,194	)		(69,044	)
QBE Insurance Group Ltd. (2)		(70,864	)		(589,530	)
Ramsay Health Care Ltd. (2)		(5,553	)		(281,918	)
REA Group Ltd. (2)		(956	)		(64,581	)
SEEK Ltd. (2)		(40,563	)		(603,752	)
Tabcorp Holdings Ltd. (2)		(13,666	)		(42,698	)
Transurban Group (2)		(25,269	)		(261,646	)
Treasury Wine Estates Ltd. (2)		(69,281	)		(727,622	)
Vocus Group Ltd. (2)*		(26,006	)		(59,757	)
					(5,832,209	)
Austria - (0.1)%
ams AG (2)*		(12,499	)		(489,364	)
Belgium - (0.7)%
Anheuser-Busch InBev SA/NV (2)		(11,860	)		(1,049,495	)
Galapagos NV (2)*		(6,685	)		(863,391	)
Telenet Group Holding NV (2)		(7,491	)		(417,418	)
					(2,330,304	)
Canada - (2.2)%
Agnico Eagle Mines Ltd.		(1,908	)		(97,822	)
AltaGas Ltd.		(47,446	)		(717,731	)
BlackBerry Ltd. *		(41,152	)		(306,703	)
Bombardier, Inc., Class B *		(228,490	)		(383,856	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

8

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Canada - (2.2)% (continued)
Cameco Corp.		(27,704	)	$	(297,021	)
CCL Industries, Inc., Class B		(7,770	)		(381,039	)
Cenovus Energy, Inc.		(46,316	)		(408,499	)
Dollarama, Inc.		(26,197	)		(921,612	)
Element Fleet Management Corp.		(34,621	)		(252,741	)
Enbridge, Inc.		(14,078	)		(508,487	)
Finning International, Inc.		(12,150	)		(221,466	)
Franco-Nevada Corp.		(857	)		(72,739	)
Inter Pipeline Ltd.		(16,549	)		(257,419	)
Keyera Corp.		(12,297	)		(316,451	)
Onex Corp.		(1,269	)		(76,544	)
Pembina Pipeline Corp.		(6,188	)		(230,358	)
PrairieSky Royalty Ltd.		(12,860	)		(180,691	)
Restaurant Brands International, Inc.		(2,794	)		(194,303	)
SNC-Lavalin Group, Inc.		(17,596	)		(355,803	)
Stars Group, Inc. (The) *		(21,352	)		(364,413	)
TC Energy Corp.		(2,113	)		(104,750	)
Wheaton Precious Metals Corp.		(46,056	)		(1,113,814	)
					(7,764,262	)
Chile - (0.1)%
Antofagasta plc (2)		(4,106	)		(48,501	)
Lundin Mining Corp.		(51,904	)		(285,768	)
					(334,269	)
Colombia - (0.1)%
Millicom International Cellular SA, SDR (2)		(3,409	)		(191,898	)
Denmark - (0.6)%
AP Moller - Maersk A/S, Class B (2)		(910	)		(1,132,328	)
Chr Hansen Holding A/S (2)		(386	)		(36,325	)
Dfds A/S (2)		(982	)		(41,706	)
Drilling Co. of 1972 A/S (The) (2)*		(1,337	)		(103,878	)
FLSmidth & Co. A/S (2)		(5,003	)		(226,695	)
Genmab A/S (2)*		(3,954	)		(727,697	)
					(2,268,629	)
Finland - 0.0% (c)
Cargotec OYJ, Class B (2)		(1,181	)		(44,875	)
Huhtamaki OYJ (2)		(1,946	)		(80,033	)
					(124,908	)
France - (1.9)%
Accor SA (2)		(14,418	)		(618,856	)
Adevinta ASA, Class A (2)*		(4,997	)		(55,532	)
Airbus SE (2)		(5,953	)		(842,478	)
BioMerieux (2)		(1,499	)		(124,205	)
Bollore SA (2)		(40,690	)		(179,541	)
Cie Plastic Omnium SA (2)		(2,230	)		(57,993	)
Dassault Systemes SE (2)		(1,170	)		(186,621	)
Edenred (2)		(7,469	)		(380,654	)
Elior Group SA (2)(d)		(2,773	)		(38,139	)
EssilorLuxottica SA (2)		(1,150	)		(149,870	)
Getlink SE (2)		(8,095	)		(129,670	)
Iliad SA (2)		(7,711	)		(865,926	)
Ingenico Group SA (2)		(7,744	)		(685,355	)
JCDecaux SA (2)		(5,826	)		(176,418	)
Legrand SA (2)		(2,535	)		(185,331	)

INVESTMENTS	SHARES			VALUE
France - (1.9)% (continued)
Natixis SA (2)		(7,408	)	$	(29,829	)
Orpea (2)		(3,960	)		(477,663	)
Remy Cointreau SA (2)		(3,082	)		(444,250	)
Safran SA (2)		(813	)		(118,935	)
Sartorius Stedim Biotech (2)		(296	)		(46,674	)
SEB SA (2)		(1,131	)		(203,470	)
Sopra Steria Group (2)		(313	)		(36,471	)
Technicolor SA (Registered) (2)*		(36,391	)		(33,707	)
Ubisoft Entertainment SA (2)*		(1,053	)		(82,354	)
Valeo SA (2)		(8,437	)		(274,674	)
Vivendi SA (2)		(12,752	)		(349,949	)
Worldline SA (2)*(d)		(569	)		(41,340	)
					(6,815,905	)
Germany - (2.1)%
1&1 Drillisch AG (2)		(6,588	)		(219,821	)
Beiersdorf AG (2)		(3,303	)		(396,050	)
CECONOMY AG (2)*		(28,355	)		(173,346	)
Commerzbank AG (2)		(23,904	)		(171,662	)
Delivery Hero SE (2)*(d)		(15,557	)		(706,169	)
Deutsche Bank AG (Registered) (2)		(194,417	)		(1,499,163	)
Deutsche Post AG (Registered) (2)		(1,077	)		(35,430	)
Duerr AG (2)		(988	)		(33,754	)
Fielmann AG (2)		(774	)		(56,055	)
GEA Group AG (2)		(12,378	)		(351,295	)
Infineon Technologies AG (2)		(23,562	)		(418,689	)
LANXESS AG (2)		(629	)		(37,356	)
OSRAM Licht AG (2)		(24,660	)		(814,599	)
RWE AG (2)		(21,401	)		(528,082	)
Sartorius AG (Preference) (2)		(182	)		(37,325	)
Telefonica Deutschland Holding AG (2)		(108,167	)		(302,526	)
thyssenkrupp AG (2)		(54,804	)		(800,179	)
United Internet AG (Registered) (2)		(12,838	)		(422,962	)
Zalando SE (2)*(d)		(13,692	)		(606,236	)
					(7,610,699	)
Ghana - (0.3)%
Kosmos Energy Ltd.		(148,367	)		(930,261	)
Ireland - (0.3)%
James Hardie Industries plc, CHESS (2)		(73,250	)		(964,276	)
Italy - (1.4)%
Atlantia SpA (2)		(11,855	)		(309,135	)
Banca Generali SpA (2)		(12,698	)		(365,633	)
Buzzi Unicem SpA (2)		(7,013	)		(142,391	)
Davide Campari-Milano SpA (2)		(35,803	)		(350,750	)
Ferrari NV (2)		(8,970	)		(1,454,393	)
FinecoBank Banca Fineco SpA (2)		(30,055	)		(335,278	)
Freni Brembo SpA (2)		(24,983	)		(287,514	)
Leonardo SpA (2)		(6,371	)		(80,826	)
Moncler SpA (2)		(7,411	)		(317,645	)
Pirelli & C SpA (2)(d)		(11,227	)		(66,271	)
Prysmian SpA (2)		(42,329	)		(874,590	)
Recordati SpA (2)		(8,385	)		(349,489	)
Telecom Italia SpA (2)*		(201,248	)		(109,873	)
					(5,043,788	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

9

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Japan - (14.2)%
Acom Co. Ltd. (2)		(18,800	)	$	(67,844	)
Aeon Co. Ltd. (2)		(39,800	)		(684,936	)
ANA Holdings, Inc. (2)		(3,500	)		(116,012	)
Asahi Intecc Co. Ltd. (2)		(6,400	)		(158,202	)
Asics Corp. (2)		(33,000	)		(358,385	)
Bank of Kyoto Ltd. (The) (2)		(900	)		(34,893	)
Benesse Holdings, Inc. (2)		(8,500	)		(198,368	)
Calbee, Inc. (2)		(1,200	)		(32,410	)
Casio Computer Co. Ltd. (2)		(12,500	)		(155,850	)
Chiyoda Corp. (2)		(36,300	)		(97,619	)
Chugoku Electric Power Co., Inc. (The) (2)		(11,500	)		(145,024	)
Coca-Cola Bottlers Japan Holdings, Inc. (2)		(23,600	)		(598,593	)
Cosmos Pharmaceutical Corp. (2)		(4,700	)		(799,115	)
CyberAgent, Inc. (2)		(38,600	)		(1,406,665	)
Daifuku Co. Ltd. (2)		(13,600	)		(768,172	)
Daiichi Sankyo Co. Ltd. (2)		(7,100	)		(372,363	)
Daikin Industries Ltd. (2)		(12,600	)		(1,649,831	)
Denso Corp. (2)		(1,300	)		(54,816	)
Disco Corp. (2)		(3,100	)		(511,549	)
Eisai Co. Ltd. (2)		(3,400	)		(192,699	)
FamilyMart UNY Holdings Co. Ltd. (2)		(30,600	)		(730,561	)
FANUC Corp. (2)		(2,100	)		(390,207	)
Fast Retailing Co. Ltd. (2)		(1,900	)		(1,150,067	)
Fuji Electric Co. Ltd. (2)		(1,800	)		(62,382	)
Hikari Tsushin, Inc. (2)		(900	)		(196,620	)
Hirose Electric Co. Ltd. (2)		(500	)		(55,949	)
Hisamitsu Pharmaceutical Co., Inc. (2)		(1,700	)		(67,372	)
Hokuriku Electric Power Co. (2)		(13,200	)		(95,842	)
Hoshizaki Corp. (2)		(500	)		(37,286	)
Isetan Mitsukoshi Holdings Ltd. (2)		(22,300	)		(181,022	)
Izumi Co. Ltd. (2)		(4,400	)		(178,174	)
J Front Retailing Co. Ltd. (2)		(26,600	)		(305,588	)
Japan Airport Terminal Co. Ltd. (2)		(10,400	)		(444,796	)
JGC Corp. (2)		(34,900	)		(477,467	)
Kakaku.com, Inc. (2)		(2,800	)		(54,153	)
Kansai Paint Co. Ltd. (2)		(27,400	)		(575,841	)
Keikyu Corp. (2)		(24,000	)		(413,828	)
Keio Corp. (2)		(2,500	)		(164,758	)
Keyence Corp. (2)		(2,100	)		(1,295,117	)
Kikkoman Corp. (2)		(9,500	)		(414,260	)
Kintetsu Group Holdings Co. Ltd. (2)		(3,600	)		(172,593	)
Kobayashi Pharmaceutical Co. Ltd. (2)		(2,400	)		(172,187	)
Koito Manufacturing Co. Ltd. (2)		(5,700	)		(305,044	)
Kose Corp. (2)		(4,400	)		(742,641	)
Lawson, Inc. (2)		(5,500	)		(264,230	)
LINE Corp. (2)*		(18,800	)		(528,760	)
Lion Corp. (2)		(4,200	)		(78,352	)
LIXIL Group Corp. (2)		(59,300	)		(940,677	)
M3, Inc. (2)		(55,700	)		(1,022,143	)
Makita Corp. (2)		(6,100	)		(208,269	)
Marui Group Co. Ltd. (2)		(37,200	)		(758,625	)
Matsumotokiyoshi Holdings Co. Ltd. (2)		(3,800	)		(111,617	)
McDonald’s Holdings Co. Japan Ltd. (2)		(800	)		(35,296	)
MEIJI Holdings Co. Ltd. (2)		(2,800	)		(200,203	)
MINEBEA MITSUMI, Inc. (2)		(8,400	)		(143,116	)
MISUMI Group, Inc. (2)		(38,600	)		(972,984	)
Mitsui OSK Lines Ltd. (2)		(1,500	)		(36,020	)

INVESTMENTS	SHARES			VALUE
Japan - (14.2)% (continued)
MonotaRO Co. Ltd. (2)		(45,100	)	$	(1,104,781	)
Murata Manufacturing Co. Ltd. (2)		(2,700	)		(121,556	)
Nabtesco Corp. (2)		(20,400	)		(569,915	)
Nankai Electric Railway Co. Ltd. (2)		(1,100	)		(26,788	)
Nidec Corp. (2)		(19,900	)		(2,732,965	)
Nifco, Inc. (2)		(3,900	)		(96,834	)
Nikon Corp. (2)		(2,600	)		(36,971	)
Nintendo Co. Ltd. (2)		(3,100	)		(1,137,386	)
Nippon Paint Holdings Co. Ltd. (2)		(11,800	)		(459,382	)
Nippon Shinyaku Co. Ltd. (2)		(9,100	)		(644,192	)
Nippon Yusen KK (2)		(13,000	)		(209,226	)
Nissin Foods Holdings Co. Ltd. (2)		(3,300	)		(212,856	)
Nitori Holdings Co. Ltd. (2)		(6,300	)		(836,024	)
Nomura Holdings, Inc. (2)		(60,100	)		(212,765	)
Nomura Research Institute Ltd. (2)		(11,700	)		(188,151	)
Odakyu Electric Railway Co. Ltd. (2)		(8,600	)		(210,748	)
Ono Pharmaceutical Co. Ltd. (2)		(14,500	)		(260,707	)
Oriental Land Co. Ltd. (2)		(4,700	)		(583,073	)
Pan Pacific International Holdings Corp. (2)		(13,300	)		(845,608	)
Panasonic Corp. (2)		(4,400	)		(36,754	)
Park24 Co. Ltd. (2)		(16,000	)		(373,561	)
PeptiDream, Inc. (2)*		(17,600	)		(903,971	)
Persol Holdings Co. Ltd. (2)		(45,600	)		(1,075,070	)
Pigeon Corp. (2)		(23,400	)		(943,625	)
Pola Orbis Holdings, Inc. (2)		(7,900	)		(221,375	)
Recruit Holdings Co. Ltd. (2)		(14,200	)		(475,443	)
Renesas Electronics Corp. (2)*		(90,600	)		(450,714	)
Rinnai Corp. (2)		(1,000	)		(63,701	)
Rohm Co. Ltd. (2)		(2,600	)		(175,177	)
Ryohin Keikaku Co. Ltd. (2)		(4,300	)		(779,094	)
Santen Pharmaceutical Co. Ltd. (2)		(12,900	)		(214,464	)
Sega Sammy Holdings, Inc. (2)		(13,500	)		(164,358	)
Seibu Holdings, Inc. (2)		(2,100	)		(35,057	)
Seiko Epson Corp. (2)		(3,600	)		(57,039	)
Sharp Corp. (2)		(20,100	)		(221,718	)
Shimadzu Corp. (2)		(8,400	)		(206,792	)
Shimano, Inc. (2)		(800	)		(119,208	)
Shiseido Co. Ltd. (2)		(8,300	)		(627,785	)
SMC Corp. (2)		(700	)		(262,413	)
Sohgo Security Services Co. Ltd. (2)		(3,700	)		(171,022	)
Sony Corp. (2)		(900	)		(47,295	)
Sony Financial Holdings, Inc. (2)		(8,500	)		(204,554	)
Square Enix Holdings Co. Ltd. (2)		(6,300	)		(202,433	)
Sugi Holdings Co. Ltd. (2)		(1,100	)		(52,097	)
Sundrug Co. Ltd. (2)		(4,300	)		(116,619	)
Sysmex Corp. (2)		(5,600	)		(366,353	)
T&D Holdings, Inc. (2)		(13,900	)		(151,281	)
Takeda Pharmaceutical Co. Ltd. (2)		(23,300	)		(828,847	)
TDK Corp. (2)		(2,500	)		(194,735	)
Terumo Corp. (2)		(7,500	)		(224,051	)
THK Co. Ltd. (2)		(3,700	)		(88,998	)
Tobu Railway Co. Ltd. (2)		(5,900	)		(172,188	)
Tokyo Electron Ltd. (2)		(2,200	)		(309,222	)
TOTO Ltd. (2)		(30,900	)		(1,223,710	)
Trend Micro, Inc. (2)		(900	)		(40,216	)
Tsuruha Holdings, Inc. (2)		(8,700	)		(806,867	)
Unicharm Corp. (2)		(17,700	)		(533,629	)
USS Co. Ltd. (2)		(2,300	)		(45,437	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

10

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
Japan - (14.2)% (continued)
Welcia Holdings Co. Ltd. (2)		(17,000	)	$	(693,585	)
Yahoo Japan Corp. (2)		(24,700	)		(72,656	)
Yakult Honsha Co. Ltd. (2)		(9,700	)		(572,482	)
Yamato Holdings Co. Ltd. (2)		(28,300	)		(576,854	)
Yaskawa Electric Corp. (2)		(31,200	)		(1,066,946	)
Yokogawa Electric Corp. (2)		(9,900	)		(194,858	)
ZOZO, Inc. (2)		(60,900	)		(1,142,908	)
					(50,384,483	)
Luxembourg - (0.1)%
Eurofins Scientific SE (2)*		(75	)		(33,095	)
Tenaris SA (2)		(17,989	)		(235,940	)
					(269,035	)
Netherlands - (0.8)%
Akzo Nobel NV (2)		(942	)		(88,520	)
Altice Europe NV (2)*		(163,149	)		(584,344	)
ASML Holding NV (2)		(3,692	)		(768,268	)
Boskalis Westminster (2)		(8,492	)		(195,905	)
Heineken NV (2)		(476	)		(53,051	)
Koninklijke KPN NV (2)		(274,404	)		(842,639	)
OCI NV (2)*		(5,735	)		(157,471	)
					(2,690,198	)
Norway - 0.0% (c)
Schibsted ASA, Class A (2)		(5,004	)		(138,219	)
Panama - (0.4)%
Copa Holdings SA, Class A		(13,646	)		(1,331,440	)
Singapore - (0.1)%
CapitaLand Ltd. (2)		(85,800	)		(224,043	)
City Developments Ltd. (2)		(25,900	)		(181,428	)
Singapore Telecommunications Ltd. (2)		(13,900	)		(35,978	)
					(441,449	)
South Africa - (0.1)%
Old Mutual Ltd. (2)		(195,356	)		(292,122	)
Spain - (1.3)%
Bankia SA (2)		(73,451	)		(173,491	)
Cellnex Telecom SA (2)*(d)		(37,034	)		(1,370,016	)
Ferrovial SA (2)		(36,500	)		(934,350	)
Grifols SA (2)		(15,298	)		(452,721	)
Industria de Diseno Textil SA (2)		(55,068	)		(1,656,847	)
					(4,587,425	)
Sweden - (0.6)%
Assa Abloy AB, Class B (2)		(1,474	)		(33,257	)
Autoliv, Inc.		(6,852	)		(483,135	)
Holmen AB, Class B (2)		(2,195	)		(46,891	)
Husqvarna AB, Class B (2)		(20,627	)		(193,163	)
NCC AB, Class B (2)		(2,269	)		(39,344	)
Saab AB, Class B (2)		(7,804	)		(254,168	)
Svenska Cellulosa AB SCA, Class B (2)		(102,457	)		(891,306	)
Swedish Match AB (2)		(1,010	)		(42,701	)
Tele2 AB, Class B (2)		(7,526	)		(109,919	)
					(2,093,884	)

INVESTMENTS	SHARES			VALUE
Switzerland - (1.3)%
ABB Ltd. (Registered) (2)		(18,778	)	$	(376,464	)
Cie Financiere Richemont SA (Registered) (2)		(419	)		(35,605	)
Credit Suisse Group AG (Registered) (2)*		(74,298	)		(889,286	)
Dufry AG (Registered) (2)*		(2,577	)		(218,382	)
Glencore plc (2)*		(169,631	)		(587,081	)
Idorsia Ltd. (2)*		(12,218	)		(279,586	)
Julius Baer Group Ltd. (2)*		(4,732	)		(210,830	)
Kuehne + Nagel International AG (Registered) (2)		(437	)		(64,911	)
LafargeHolcim Ltd. (Registered) (2)*		(3,994	)		(195,293	)
OC Oerlikon Corp. AG (Registered) (2)		(4,550	)		(55,600	)
STMicroelectronics NV (2)		(66,032	)		(1,169,426	)
UBS Group AG (Registered) (2)*		(7,807	)		(92,788	)
Vifor Pharma AG (2)		(2,052	)		(296,592	)
					(4,471,844	)
United Arab Emirates - (0.2)%
NMC Health plc (2)		(23,107	)		(706,975	)
United Kingdom - (1.9)%
Ashtead Group plc (2)		(1,288	)		(36,903	)
BBA Aviation plc (2)		(11,062	)		(39,659	)
British American Tobacco plc (2)		(8,505	)		(296,960	)
Capita plc (2)*		(230,941	)		(309,669	)
CNH Industrial NV (2)		(63,120	)		(648,447	)
Cobham plc (2)*		(39,680	)		(53,706	)
ConvaTec Group plc (2)(d)		(55,288	)		(102,442	)
easyJet plc (2)		(2,826	)		(34,216	)
Hargreaves Lansdown plc (2)		(9,229	)		(225,494	)
Hiscox Ltd. (2)		(6,819	)		(146,507	)
International Consolidated Airlines Group SA (2)		(6,901	)		(41,839	)
Linde plc		(3,163	)		(635,130	)
Melrose Industries plc (2)		(354,212	)		(814,248	)
Mondi plc (2)		(8,874	)		(201,974	)
Ocado Group plc (2)*		(7,681	)		(113,863	)
Provident Financial plc (2)		(24,428	)		(127,918	)
Prudential plc (2)		(87,393	)		(1,907,874	)
Quilter plc (2)(d)		(24,308	)		(43,300	)
Reckitt Benckiser Group plc (2)		(1,777	)		(140,303	)
Rentokil Initial plc (2)		(37,992	)		(191,810	)
RSA Insurance Group plc (2)		(14,266	)		(104,549	)
St James’s Place plc (2)		(8,101	)		(113,110	)
Standard Life Aberdeen plc (2)		(55,626	)		(208,128	)
Weir Group plc (The) (2)		(8,575	)		(168,725	)
					(6,706,774	)
United States - (55.6)%
2U, Inc. *		(4,360	)		(164,110	)
Acadia Healthcare Co., Inc. *		(16,391	)		(572,865	)
Adient plc		(24,786	)		(601,556	)
Advanced Micro Devices, Inc. *		(38,808	)		(1,178,599	)
Agios Pharmaceuticals, Inc. *		(23,488	)		(1,171,581	)
Akorn, Inc. *		(59,206	)		(304,911	)
Alaska Air Group, Inc.		(17,269	)		(1,103,662	)
Albemarle Corp.		(11,751	)		(827,388	)
Alcoa Corp. *		(69,171	)		(1,619,293	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

11

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
Alkermes plc *		(4,191	)	$	(94,465	)
Allegheny Technologies, Inc. *		(27,425	)		(691,110	)
Alliance Data Systems Corp.		(298	)		(41,759	)
Allscripts Healthcare Solutions, Inc. *		(22,313	)		(259,500	)
Alnylam Pharmaceuticals, Inc. *		(23,950	)		(1,737,812	)
Altice USA, Inc., Class A *		(6,697	)		(163,072	)
Altria Group, Inc.		(28,075	)		(1,329,351	)
American Airlines Group, Inc.		(38,051	)		(1,240,843	)
American International Group, Inc.		(33,576	)		(1,788,929	)
Antero Resources Corp. *		(4,456	)		(24,642	)
AO Smith Corp.		(4,147	)		(195,573	)
Aon plc		(905	)		(174,647	)
Apache Corp.		(53,758	)		(1,557,369	)
AptarGroup, Inc.		(2,039	)		(253,529	)
Aptiv plc		(21,713	)		(1,755,062	)
Arconic, Inc.		(6,655	)		(171,832	)
Ashland Global Holdings, Inc.		(5,056	)		(404,328	)
Atlassian Corp. plc, Class A *		(300	)		(39,252	)
Autodesk, Inc. *		(787	)		(128,202	)
Avangrid, Inc.		(1,757	)		(88,729	)
Avanos Medical, Inc. *		(3,820	)		(166,590	)
Avery Dennison Corp.		(293	)		(33,894	)
Avis Budget Group, Inc. *		(2,148	)		(75,524	)
Axalta Coating Systems Ltd. *		(48,342	)		(1,439,141	)
Axis Capital Holdings Ltd.		(3,006	)		(179,308	)
Baker Hughes a GE Co.		(40,108	)		(987,860	)
Ball Corp.		(5,253	)		(367,657	)
BancorpSouth Bank		(2,639	)		(76,637	)
Bank OZK		(7,363	)		(221,553	)
Berry Global Group, Inc. *		(9,087	)		(477,885	)
BGC Partners, Inc., Class A		(76,942	)		(402,407	)
BioMarin Pharmaceutical, Inc. *		(1,279	)		(109,546	)
Bluebird Bio, Inc. *		(11,022	)		(1,401,998	)
BorgWarner, Inc.		(8,292	)		(348,098	)
Brink’s Co. (The)		(9,457	)		(767,719	)
Broadcom, Inc.		(281	)		(80,889	)
Brown-Forman Corp., Class B		(21,829	)		(1,209,981	)
Bunge Ltd.		(15,413	)		(858,658	)
BWX Technologies, Inc.		(14,722	)		(767,016	)
Cabot Corp.		(6,704	)		(319,848	)
Cabot Oil & Gas Corp.		(18,063	)		(414,726	)
Caesars Entertainment Corp. *		(38,569	)		(455,886	)
Campbell Soup Co.		(29,213	)		(1,170,565	)
CarMax, Inc. *		(1,952	)		(169,492	)
Carpenter Technology Corp.		(6,070	)		(291,239	)
Cathay General Bancorp		(1,246	)		(44,744	)
Cboe Global Markets, Inc.		(15,439	)		(1,599,944	)
CenterPoint Energy, Inc.		(29,429	)		(842,552	)
Charles Schwab Corp. (The)		(19,741	)		(793,391	)
Charter Communications, Inc., Class A *		(1,890	)		(746,890	)
Chemours Co. (The)		(8,249	)		(197,976	)
Cheniere Energy, Inc. *		(48,776	)		(3,338,716	)
Chevron Corp.		(5,878	)		(731,458	)
CIT Group, Inc.		(4,876	)		(256,185	)
Citizens Financial Group, Inc.		(14,919	)		(527,536	)
CNO Financial Group, Inc.		(36,798	)		(613,791	)
Coca-Cola Co. (The)		(17,299	)		(880,865	)

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
Cognex Corp.		(2,037	)	$	(97,735	)
Comerica, Inc.		(423	)		(30,727	)
Commercial Metals Co.		(18,623	)		(332,421	)
CommVault Systems, Inc. *		(2,350	)		(116,607	)
Compass Minerals International, Inc.		(13,107	)		(720,230	)
Conagra Brands, Inc.		(33,752	)		(895,103	)
Concho Resources, Inc.		(6,438	)		(664,273	)
Conduent, Inc. *		(29,120	)		(279,261	)
Core Laboratories NV		(5,314	)		(277,816	)
Corteva, Inc. *		(4,719	)		(139,541	)
Cree, Inc. *		(18,103	)		(1,017,027	)
Crown Holdings, Inc. *		(26,011	)		(1,589,272	)
Cullen/Frost Bankers, Inc.		(1,977	)		(185,166	)
CVS Health Corp.		(11,682	)		(636,552	)
Dell Technologies, Inc., Class C *		(12,270	)		(623,316	)
Delta Air Lines, Inc.		(1,028	)		(58,339	)
Devon Energy Corp.		(20,171	)		(575,277	)
DexCom, Inc. *		(313	)		(46,900	)
Diamond Offshore Drilling, Inc. *		(11,689	)		(103,681	)
DocuSign, Inc. *		(4,615	)		(229,412	)
Dollar Tree, Inc. *		(10,071	)		(1,081,525	)
Dominion Energy, Inc.		(18,226	)		(1,409,234	)
Domino’s Pizza, Inc.		(1,419	)		(394,879	)
Dril-Quip, Inc. *		(5,787	)		(277,776	)
Dunkin’ Brands Group, Inc.		(3,744	)		(298,247	)
DuPont de Nemours, Inc.		(4,719	)		(354,255	)
Dycom Industries, Inc. *		(1,458	)		(85,832	)
Eagle Materials, Inc.		(6,508	)		(603,292	)
Edgewell Personal Care Co. *		(5,154	)		(138,900	)
Edison International		(9,677	)		(652,327	)
Element Solutions, Inc. *		(34,900	)		(360,866	)
Energizer Holdings, Inc.		(14,735	)		(569,360	)
Ensco Rowan plc, Class A		(123,948	)		(1,057,276	)
EOG Resources, Inc.		(3,835	)		(357,269	)
EQT Corp.		(73,197	)		(1,157,245	)
Equifax, Inc.		(490	)		(66,268	)
Equitrans Midstream Corp.		(40,678	)		(801,763	)
Extraction Oil & Gas, Inc. *		(26,648	)		(115,386	)
Exxon Mobil Corp.		(7,954	)		(609,515	)
Fastenal Co.		(8,944	)		(291,485	)
FedEx Corp.		(11,461	)		(1,881,782	)
FireEye, Inc. *		(77,362	)		(1,145,731	)
First Hawaiian, Inc.		(2,112	)		(54,637	)
First Horizon National Corp.		(33,747	)		(503,843	)
First Republic Bank		(3,867	)		(377,613	)
First Solar, Inc. *		(7,763	)		(509,874	)
FirstEnergy Corp.		(14,621	)		(625,925	)
Five Below, Inc. *		(1,378	)		(165,388	)
Floor & Decor Holdings, Inc., Class A *		(29,336	)		(1,229,178	)
Flowserve Corp.		(7,154	)		(376,944	)
Fluor Corp.		(3,227	)		(108,718	)
FMC Corp.		(2,933	)		(243,292	)
FNB Corp.		(33,713	)		(396,802	)
Ford Motor Co.		(31,114	)		(318,296	)
Fortune Brands Home & Security, Inc.		(2,075	)		(118,545	)
Freeport-McMoRan, Inc.		(243,738	)		(2,829,797	)
Gartner, Inc. *		(1,118	)		(179,931	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

12

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
GCI Liberty, Inc., Class A *		(17,907	)	$	(1,100,564	)
General Electric Co.		(207,249	)		(2,176,115	)
Genesee & Wyoming, Inc., Class A *		(10,403	)		(1,040,300	)
Gentex Corp.		(4,793	)		(117,956	)
GoDaddy, Inc., Class A *		(864	)		(60,610	)
Granite Construction, Inc.		(3,786	)		(182,409	)
Graphic Packaging Holding Co.		(113,312	)		(1,584,102	)
Green Dot Corp., Class A *		(847	)		(41,418	)
Guidewire Software, Inc. *		(5,668	)		(574,622	)
Hain Celestial Group, Inc. (The) *		(61,507	)		(1,347,003	)
Hancock Whitney Corp.		(3,611	)		(144,657	)
Harley-Davidson, Inc.		(29,862	)		(1,069,955	)
HD Supply Holdings, Inc. *		(2,970	)		(119,632	)
Healthcare Services Group, Inc.		(22,797	)		(691,205	)
HealthEquity, Inc. *		(9,639	)		(630,391	)
Hess Corp.		(23,934	)		(1,521,484	)
Hilton Grand Vacations, Inc. *		(1,518	)		(48,303	)
Home BancShares, Inc.		(9,849	)		(189,692	)
Howard Hughes Corp. (The) *		(6,992	)		(865,889	)
Huntington Bancshares, Inc.		(20,561	)		(284,153	)
IHS Markit Ltd. *		(925	)		(58,941	)
Illumina, Inc. *		(1,409	)		(518,723	)
Insulet Corp. *		(12,197	)		(1,456,078	)
Intercontinental Exchange, Inc.		(3,056	)		(262,633	)
International Flavors & Fragrances, Inc.		(10,819	)		(1,569,729	)
International Game Technology plc		(77,788	)		(1,008,910	)
IPG Photonics Corp. *		(976	)		(150,548	)
Jack in the Box, Inc.		(1,791	)		(145,769	)
Jefferies Financial Group, Inc.		(22,295	)		(428,733	)
Kansas City Southern		(630	)		(76,747	)
Kellogg Co.		(1,108	)		(59,356	)
Kennametal, Inc.		(2,329	)		(86,150	)
KeyCorp		(20,979	)		(372,377	)
Kinder Morgan, Inc.		(24,678	)		(515,277	)
Kirby Corp. *		(4,289	)		(338,831	)
Knight-Swift Transportation Holdings, Inc.		(1,526	)		(50,114	)
Kraft Heinz Co. (The)		(92,834	)		(2,881,566	)
L Brands, Inc.		(6,303	)		(164,508	)
Lancaster Colony Corp.		(304	)		(45,174	)
Legg Mason, Inc.		(11,734	)		(449,178	)
Leggett & Platt, Inc.		(1,671	)		(64,116	)
Liberty Broadband Corp., Class C *		(7,351	)		(766,121	)
Lincoln Electric Holdings, Inc.		(547	)		(45,029	)
Lions Gate Entertainment Corp., Class A		(33,162	)		(406,235	)
Live Nation Entertainment, Inc. *		(1,643	)		(108,849	)
LKQ Corp. *		(39,778	)		(1,058,493	)
Loews Corp.		(2,984	)		(163,135	)
Louisiana-Pacific Corp.		(8,158	)		(213,903	)
Macquarie Infrastructure Corp.		(27,452	)		(1,112,904	)
Madison Square Garden Co. (The), Class A *		(3,372	)		(943,958	)
Markel Corp. *		(675	)		(735,480	)
Marsh & McLennan Cos., Inc.		(1,627	)		(162,293	)
Martin Marietta Materials, Inc.		(12,718	)		(2,926,538	)
Marvell Technology Group Ltd.		(46,719	)		(1,115,183	)
Masco Corp.		(821	)		(32,216	)
Matador Resources Co. *		(8,756	)		(174,069	)
Mattel, Inc. *		(96,975	)		(1,087,090	)

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
Maxim Integrated Products, Inc.		(544	)	$	(32,542	)
McDonald’s Corp.		(235	)		(48,800	)
MDU Resources Group, Inc.		(11,310	)		(291,798	)
Medidata Solutions, Inc. *		(325	)		(29,416	)
Mercury General Corp.		(5,884	)		(367,750	)
MGM Resorts International		(29,118	)		(831,901	)
Microchip Technology, Inc.		(3,510	)		(304,317	)
Middleby Corp. (The) *		(527	)		(71,514	)
Minerals Technologies, Inc.		(773	)		(41,363	)
Mohawk Industries, Inc. *		(466	)		(68,721	)
Monolithic Power Systems, Inc.		(1,811	)		(245,898	)
Murphy Oil Corp.		(4,071	)		(100,350	)
Nabors Industries Ltd.		(249,307	)		(722,990	)
National Fuel Gas Co.		(5,659	)		(298,512	)
National Oilwell Varco, Inc.		(23,484	)		(522,049	)
NCR Corp. *		(29,093	)		(904,792	)
Netflix, Inc. *		(3,654	)		(1,342,187	)
NetScout Systems, Inc. *		(1,725	)		(43,798	)
Neurocrine Biosciences, Inc. *		(3,460	)		(292,128	)
Newell Brands, Inc.		(144,624	)		(2,230,102	)
Newmont Goldcorp Corp.		(25,716	)		(989,295	)
News Corp., Class A		(110,654	)		(1,492,722	)
NextEra Energy, Inc.		(2,038	)		(417,505	)
Nielsen Holdings plc		(64,163	)		(1,450,084	)
NiSource, Inc.		(79,556	)		(2,291,213	)
Noble Energy, Inc.		(57,472	)		(1,287,373	)
NOW, Inc. *		(13,726	)		(202,596	)
Nucor Corp.		(2,146	)		(118,245	)
Nutanix, Inc., Class A *		(8,492	)		(220,282	)
NVIDIA Corp.		(13,285	)		(2,181,796	)
Occidental Petroleum Corp.		(22,603	)		(1,136,479	)
Oceaneering International, Inc. *		(24,851	)		(506,712	)
Olin Corp.		(3,836	)		(84,047	)
ONEOK, Inc.		(34,122	)		(2,347,935	)
PacWest Bancorp		(10,115	)		(392,765	)
Papa John’s International, Inc.		(635	)		(28,397	)
Penn National Gaming, Inc. *		(29,650	)		(571,059	)
Penumbra, Inc. *		(485	)		(77,600	)
People’s United Financial, Inc.		(2,067	)		(34,684	)
Philip Morris International, Inc.		(13,640	)		(1,071,149	)
Pinnacle Financial Partners, Inc.		(2,620	)		(150,598	)
Plantronics, Inc.		(4,534	)		(167,939	)
Pluralsight, Inc., Class A *		(3,133	)		(94,993	)
Polaris Industries, Inc.		(534	)		(48,717	)
PolyOne Corp.		(5,423	)		(170,228	)
Pool Corp.		(1,428	)		(272,748	)
PPG Industries, Inc.		(1,008	)		(117,644	)
Premier, Inc., Class A *		(20,752	)		(811,611	)
ProAssurance Corp.		(435	)		(15,708	)
Proofpoint, Inc. *		(1,472	)		(177,008	)
Prosperity Bancshares, Inc.		(4,156	)		(274,504	)
Pure Storage, Inc., Class A *		(108,236	)		(1,652,764	)
QUALCOMM, Inc.		(6,088	)		(463,114	)
Range Resources Corp.		(90,280	)		(630,154	)
Regions Financial Corp.		(19,698	)		(294,288	)
RingCentral, Inc., Class A *		(778	)		(89,408	)
Royal Gold, Inc.		(15,083	)		(1,545,857	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

13

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
S&P Global, Inc.		(414	)	$	(94,305	)
Sage Therapeutics, Inc. *		(7,279	)		(1,332,712	)
Sanderson Farms, Inc.		(2,300	)		(314,088	)
Schlumberger Ltd.		(38,222	)		(1,518,942	)
Scientific Games Corp. *		(30,344	)		(601,418	)
Scotts Miracle-Gro Co. (The)		(8,473	)		(834,591	)
Sealed Air Corp.		(51,508	)		(2,203,512	)
Sempra Energy		(14,646	)		(2,012,946	)
Sensient Technologies Corp.		(1,877	)		(137,922	)
Sherwin-Williams Co. (The)		(300	)		(137,487	)
Signature Bank		(882	)		(106,581	)
Signet Jewelers Ltd.		(10,244	)		(183,163	)
Silicon Laboratories, Inc. *		(550	)		(56,870	)
Sirius XM Holdings, Inc.		(16,705	)		(93,214	)
Six Flags Entertainment Corp.		(15,796	)		(784,745	)
SLM Corp.		(11,994	)		(116,582	)
Snap, Inc., Class A *		(80,989	)		(1,158,143	)
Sotheby’s *		(9,265	)		(538,574	)
Southwest Airlines Co.		(4,156	)		(211,042	)
Southwest Gas Holdings, Inc.		(894	)		(80,120	)
Splunk, Inc. *		(1,384	)		(174,038	)
Square, Inc., Class A *		(3,481	)		(252,477	)
Stericycle, Inc. *		(28,854	)		(1,377,779	)
Sterling Bancorp		(18,330	)		(390,062	)
SVB Financial Group *		(191	)		(42,897	)
Switch, Inc., Class A		(18,830	)		(246,485	)
Syneos Health, Inc. *		(6,016	)		(307,357	)
Synovus Financial Corp.		(9,232	)		(323,120	)
Take-Two Interactive Software, Inc. *		(2,220	)		(252,037	)
Targa Resources Corp.		(75,441	)		(2,961,813	)
TCF Financial Corp.		(4,330	)		(90,021	)
Tempur Sealy International, Inc. *		(9,137	)		(670,382	)
Tenet Healthcare Corp. *		(17,753	)		(366,777	)
Teradata Corp. *		(5,601	)		(200,796	)
Tesla, Inc. *		(25,458	)		(5,688,844	)
Texas Capital Bancshares, Inc. *		(3,283	)		(201,478	)
Thor Industries, Inc.		(5,797	)		(338,835	)
Tiffany & Co.		(2,229	)		(208,724	)
Transocean Ltd. *		(234,354	)		(1,502,209	)
TransUnion		(7,711	)		(566,836	)
TreeHouse Foods, Inc. *		(9,319	)		(504,158	)
Trex Co., Inc. *		(2,630	)		(188,571	)
Trinity Industries, Inc.		(9,155	)		(189,966	)
Tupperware Brands Corp.		(12,848	)		(244,497	)
UMB Financial Corp.		(1,049	)		(69,045	)
Umpqua Holdings Corp.		(9,325	)		(154,702	)
Under Armour, Inc., Class A *		(23,319	)		(591,137	)
Union Pacific Corp.		(399	)		(67,475	)
United Bankshares, Inc.		(10,713	)		(397,345	)
United Parcel Service, Inc., Class B		(21,340	)		(2,203,782	)
United Rentals, Inc. *		(1,031	)		(136,742	)
Univar, Inc. *		(60,001	)		(1,322,422	)
Universal Display Corp.		(3,342	)		(628,497	)
Vail Resorts, Inc.		(4,321	)		(964,361	)
Valley National Bancorp		(23,447	)		(252,759	)
Valmont Industries, Inc.		(1,713	)		(217,226	)
Valvoline, Inc.		(23,149	)		(452,100	)

INVESTMENTS	SHARES			VALUE
United States - (55.6)% (continued)
ViaSat, Inc. *		(1,213	)	$	(98,035	)
Virtu Financial, Inc., Class A		(16,688	)		(363,465	)
Visteon Corp. *		(12,372	)		(724,752	)
Vulcan Materials Co.		(14,489	)		(1,989,485	)
Wabtec Corp.		(23,054	)		(1,654,355	)
Waste Connections, Inc.		(3,326	)		(317,899	)
Watsco, Inc.		(4,781	)		(781,837	)
Webster Financial Corp.		(3,818	)		(182,386	)
Welbilt, Inc. *		(43,419	)		(725,097	)
Wells Fargo & Co.		(842	)		(39,843	)
Wendy’s Co. (The)		(1,582	)		(30,976	)
Western Alliance Bancorp *		(694	)		(31,036	)
Westrock Co.		(12,102	)		(441,360	)
Whirlpool Corp.		(3,717	)		(529,152	)
Williams Cos., Inc. (The)		(84,658	)		(2,373,810	)
Willis Towers Watson plc		(4,773	)		(914,220	)
World Fuel Services Corp.		(977	)		(35,133	)
World Wrestling Entertainment, Inc., Class A		(1,686	)		(121,746	)
WPX Energy, Inc. *		(74,906	)		(862,168	)
WR Grace & Co.		(9,008	)		(685,599	)
Wyndham Destinations, Inc.		(732	)		(32,135	)
Wynn Resorts Ltd.		(3,993	)		(495,092	)
XPO Logistics, Inc. *		(26,864	)		(1,553,008	)
Yum! Brands, Inc.		(3,787	)		(419,107	)
Zayo Group Holdings, Inc. *		(76,030	)		(2,502,146	)
Zillow Group, Inc., Class C *		(25,224	)		(1,170,141	)
Zions Bancorp NA		(6,032	)		(277,351	)
					(198,251,394	)
Zambia - (0.2)%
First Quantum Minerals Ltd.		(68,881	)		(654,331	)
TOTAL COMMON STOCKS (Proceeds $(330,977,682))					(313,720,345	)
TOTAL SHORT POSITIONS (Proceeds $(330,977,682))					(313,720,345	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.8% (Cost $282,935,310)					326,834,772
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.2% (i)				28,973,900
NET ASSETS - 100.0%				$	355,808,672

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

14

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	7,814,446			2.2	%
Consumer Discretionary		3,309,582			0.9
Consumer Staples		(11,142,820	)		(3.1	)
Energy		(15,831,945	)		(4.4	)
Financials		19,458,676			5.4
Health Care		47,810,526			13.4
Industrials		(9,923,713	)		(2.8	)
Information Technology		16,856,182			4.7
Materials		(24,552,656	)		(6.9	)
Real Estate		(1,784,400	)		(0.5	)
Utilities		20,927,403			5.9
Short-Term Investments		273,893,491			77.0
Total Investments In Securities At Value		326,834,772			91.8
Other Assets in Excess of Liabilities (i)		28,973,900			8.2
Net Assets	$	355,808,672			100.0	%

* Non-income producing security.

(a) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $84,407,979.

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $258,323,862.

(c) Represents less than 0.05% of net assets.

(d) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures

approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $(668,574), which represents approximately (0.19)% of net assets of the fund.

(e) Represents 7-day effective yield as of June 30, 2019.

(f) All or a portion of the security pledged as collateral for forward foreign currency exchange contracts.

(g) The rate shown was the effective yield at the date of purchase.

(h) All or a portion of the security pledged as collateral for swap contracts.

(i) Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written options contracts.

All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.

(2) Level 2 security (See Note 5).

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Written Call Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		32	EUR		(1,111,581	)	EUR		3,375.00		8/16/2019		$(46,321	)
EURO STOXX 50 Index	JPMS		13	EUR		(451,580	)	EUR		3,400.00		7/19/2019		(13,363	)
EURO STOXX 50 Index	JPMS		15	EUR		(521,054	)	EUR		3,450.00		7/19/2019		(9,159	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,625.00		7/12/2019		(6,771	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		20,625.00		8/9/2019		(24,069	)
S&P 500 Index	JPMS		9	USD		(2,647,584	)	USD		2,785.00		7/19/2019		(139,392	)
S&P 500 Index	JPMS		7	USD		(2,059,232	)	USD		2,850.00		7/19/2019		(69,160	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,885.00		8/16/2019		(9,580	)
S&P 500 Index	JPMS		18	USD		(5,295,168	)	USD		2,895.00		8/16/2019		(159,209	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,920.00		7/19/2019		(10,090	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,920.00		8/16/2019		(20,934	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,930.00		7/19/2019		(4,480	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,955.00		7/19/2019		(17,760	)
U.S. Treasury 10 Year Note	JPMS		33	USD		(3,300,000	)	USD		126.00		7/26/2019		(67,547	)
U.S. Treasury 10 Year Note	JPMS		66	USD		(6,600,000	)	USD		126.50		7/26/2019		(106,219	)
U.S. Treasury 10 Year Note	JPMS		67	USD		(6,700,000	)	USD		127.00		7/26/2019		(81,656	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		128.00		7/26/2019		(1,219	)
U.S. Treasury 10 Year Note	JPMS		32	USD		(3,200,000	)	USD		128.00		8/23/2019		(27,500	)
U.S. Treasury 10 Year Note	JPMS		5	USD		(500,000	)	USD		128.50		7/26/2019		(2,031	)
U.S. Treasury 10 Year Note	JPMS		62	USD		(6,200,000	)	USD		128.50		8/23/2019		(40,688	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		129.00		7/26/2019		(1,063	)
U.S. Treasury 10 Year Note	JPMS		63	USD		(6,300,000	)	USD		129.00		8/23/2019		(30,516	)
														$(888,727	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

15

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Written Put Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		33	EUR		(1,146,318	)	EUR		3,200.00		8/16/2019		$(4,090	)
EURO STOXX 50 Index	JPMS		33	EUR		(1,146,318	)	EUR		3,250.00		8/16/2019		(5,591	)
EURO STOXX 50 Index	JPMS		14	EUR		(486,317	)	EUR		3,300.00		7/19/2019		(987	)
EURO STOXX 50 Index	JPMS		32	EUR		(1,111,581	)	EUR		3,300.00		8/16/2019		(7,496	)
EURO STOXX 50 Index	JPMS		27	EUR		(937,896	)	EUR		3,325.00		7/19/2019		(2,456	)
EURO STOXX 50 Index	JPMS		30	EUR		(1,042,107	)	EUR		3,350.00		7/19/2019		(3,548	)
EURO STOXX 50 Index	JPMS		33	EUR		(1,146,318	)	EUR		3,350.00		8/16/2019		(10,769	)
EURO STOXX 50 Index	JPMS		15	EUR		(521,054	)	EUR		3,375.00		7/19/2019		(2,337	)
EURO STOXX 50 Index	JPMS		15	EUR		(521,054	)	EUR		3,400.00		7/19/2019		(3,070	)
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,425.00		7/19/2019		(812	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		19,375.00		8/9/2019		(1,614	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		19,750.00		8/9/2019		(2,337	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		19,875.00		8/9/2019		(900	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,125.00		7/12/2019		(306	)
Nikkei 225 Index	JPMS		4	JPY		(85,103,680	)	JPY		20,125.00		8/9/2019		(4,638	)
Nikkei 225 Index	JPMS		2	JPY		(42,551,840	)	JPY		20,250.00		7/12/2019		(742	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		20,375.00		7/12/2019		(1,336	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,500.00		8/9/2019		(1,716	)
Nikkei 225 Index	JPMS		5	JPY		(106,379,600	)	JPY		20,750.00		7/12/2019		(4,313	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,750.00		8/9/2019		(2,226	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		21,125.00		7/12/2019		(5,426	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,715.00		8/16/2019		(1,350	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,720.00		8/16/2019		(1,305	)
S&P 500 Index	JPMS		10	USD		(2,941,760	)	USD		2,725.00		8/16/2019		(13,450	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,730.00		8/16/2019		(8,178	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,735.00		8/16/2019		(7,500	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,755.00		8/16/2019		(1,835	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,760.00		8/16/2019		(3,680	)
S&P 500 Index	JPMS		11	USD		(3,235,936	)	USD		2,765.00		8/16/2019		(20,460	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,770.00		8/16/2019		(10,572	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,775.00		7/19/2019		(2,975	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,775.00		8/16/2019		(8,650	)
S&P 500 Index	JPMS		7	USD		(2,059,232	)	USD		2,780.00		7/19/2019		(3,990	)
S&P 500 Index	JPMS		7	USD		(2,059,232	)	USD		2,795.00		7/19/2019		(6,300	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,795.00		8/16/2019		(2,370	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,805.00		7/19/2019		(970	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,805.00		8/16/2019		(4,390	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,810.00		7/19/2019		(2,110	)
S&P 500 Index	JPMS		15	USD		(4,412,640	)	USD		2,810.00		8/16/2019		(38,025	)
S&P 500 Index	JPMS		4	USD		(1,176,704	)	USD		2,815.00		8/16/2019		(10,352	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,820.00		7/19/2019		(5,150	)
S&P 500 Index	JPMS		7	USD		(2,059,232	)	USD		2,830.00		7/19/2019		(6,475	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,835.00		7/19/2019		(3,375	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,840.00		8/16/2019		(6,188	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,845.00		8/16/2019		(2,940	)
S&P 500 Index	JPMS		9	USD		(2,647,584	)	USD		2,850.00		8/16/2019		(28,035	)
S&P 500 Index	JPMS		8	USD		(2,353,408	)	USD		2,855.00		7/19/2019		(12,832	)
S&P 500 Index	JPMS		10	USD		(2,941,760	)	USD		2,855.00		8/16/2019		(31,400	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,865.00		7/19/2019		(5,520	)
S&P 500 Index	JPMS		8	USD		(2,353,408	)	USD		2,880.00		7/19/2019		(14,680	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,880.00		8/16/2019		(3,805	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,890.00		7/19/2019		(1,780	)
S&P 500 Index	JPMS		8	USD		(2,353,408	)	USD		2,905.00		7/19/2019		(17,760	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,930.00		7/19/2019		(16,560	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

16

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
U.S. Treasury 10 Year Note	JPMS		35	USD		(3,500,000	)	USD		126.00		7/26/2019		$ (2,734	)
U.S. Treasury 10 Year Note	JPMS		38	USD		(3,800,000	)	USD		126.50		8/23/2019		(11,875	)
U.S. Treasury 10 Year Note	JPMS		6	USD		(600,000	)	USD		127.00		7/26/2019		(1,500	)
U.S. Treasury 10 Year Note	JPMS		66	USD		(6,600,000	)	USD		127.00		8/23/2019		(29,906	)
U.S. Treasury 10 Year Note	JPMS		6	USD		(600,000	)	USD		127.50		7/26/2019		(2,531	)
U.S. Treasury 10 Year Note	JPMS		28	USD		(2,800,000	)	USD		127.50		8/23/2019		(18,375	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		128.00		7/26/2019		(1,281	)
U.S. Treasury 10 Year Note	JPMS		32	USD		(3,200,000	)	USD		128.00		8/23/2019		(28,500	)
														(468,374	)
Total Written Option Contracts (Premium Style) (Premiums Received ($1,536,775))														$(1,357,101	)

Written Call Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	JPMS		19	EUR		(1,900,000	)	EUR		170.00		7/26/2019		$(37,747	)
Euro-Bund July Futures	JPMS		40	EUR		(4,000,000	)	EUR		170.50		7/26/2019		(70,486	)
Euro-Bund July Futures	JPMS		42	EUR		(4,200,000	)	EUR		171.50		7/26/2019		(52,794	)
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		172.50		7/26/2019		(227	)
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		173.00		7/26/2019		(319	)
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		173.50		7/26/2019		(125	)
Euro-Bund August Futures	JPMS		12	EUR		(1,200,000	)	EUR		171.50		8/23/2019		(9,847	)
Euro-Bund August Futures	JPMS		24	EUR		(2,400,000	)	EUR		172.00		8/23/2019		(17,809	)
Euro-Bund August Futures	JPMS		5	EUR		(500,000	)	EUR		172.50		8/23/2019		(1,251	)
Euro-Bund August Futures	JPMS		34	EUR		(3,400,000	)	EUR		173.00		8/23/2019		(14,515	)
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		173.50		8/23/2019		(94	)
Euro-Bund August Futures	JPMS		12	EUR		(1,200,000	)	EUR		174.00		8/23/2019		(1,550	)
														(206,764	)

Written Put Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	JPMS		20	EUR		(2,000,000	)	EUR		170.00		7/26/2019		$19,083
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		171.50		7/26/2019		295
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		172.00		7/26/2019		364
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		172.50		7/26/2019		227
Euro-Bund August Futures	JPMS		22	EUR		(2,200,000	)	EUR		170.00		8/23/2019		6,670
Euro-Bund August Futures	JPMS		33	EUR		(3,300,000	)	EUR		170.00		8/23/2019		11,379
Euro-Bund August Futures	JPMS		26	EUR		(2,600,000	)	EUR		171.50		8/23/2019		8,212
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		172.00		8/23/2019		161
Euro-Bund August Futures	JPMS		5	EUR		(500,000	)	EUR		172.50		8/23/2019		966
Euro-Bund August Futures	JPMS		1	EUR		(100,000	)	EUR		173.00		8/23/2019		126
														47,483
Total Written Option Contracts (Futures Style)														$(159,281	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

17

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Total return swap contracts outstanding as of June 30, 2019:

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE			NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2019	HKD		4,275,750		$8,191
MSCI Australia Net Return Index	Decreases in total return of reference entity and pays the Australian Bank-Bill Swap Reference Rate (“BBR”) plus or minus a specified spread(-0.13%)	Increases in total return of reference entity	Monthly	BANA		09/20/2019	AUD		794,006		6,881
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	BANA		09/20/2019	AUD		6,448		62
MSCI Hong Kong Net Return Index	Decreases in total return of reference entity and pays the Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread(-0.05%)	Increases in total return of reference entity	Monthly	BANA		09/20/2019	HKD		91,019		271
MSCI Netherlands Net Return Index	Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (0.06%)	Increases in total return of reference entity	Monthly	BANA		09/20/2019	EUR		2,273,542		22,157
MSCI Spain Net Return Index	Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.13%)	Increases in total return of reference entity	Monthly	BANA		09/20/2019	EUR		197		2

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

18

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.15%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

EUR

198

$ 0

MSCI Switzerland Net Return Index

Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

CHF

1,732,187

12,689

MSCI Switzerland Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

CHF

2,998

10

MSCI United Kingdom Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.13%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

GBP

60,041

408

MSCI United Kingdom Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.13%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

GBP

11,986

111

50,782

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.15%)

Increases in total return of reference entity

Monthly

BANA

09/20/2019

EUR

3,817,160

(18,951

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

19

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Sweden Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread(-0.31%)

Monthly

BANA

09/18/2019

SEK

(40,171,340

)

$ (66,418

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/20/2019

CHF

17,341,280

(26,061

)

(111,430

)

$(60,648

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		51			7/2019	EUR		$6,505,901			$30,952
Hang Seng Index		4			7/2019	HKD		729,803			6,336
IBEX 35 Index		164			7/2019	EUR		17,106,213			93,174
OMXS30 Index		52			7/2019	SEK		907,577			13,378
Australia 10 Year Bond		1,151			9/2019	AUD		116,077,855			907,307
Australia 3 Year Bond		425			9/2019	AUD		34,311,982			24,249
DJIA CBOTE-Mini Index		64			9/2019	USD		8,509,760			48,599
EURO STOXX 50 Index		973			9/2019	EUR		38,347,762			570,272
Euro-Bobl		137			9/2019	EUR		20,943,425			86,897
Euro-BTP		67			9/2019	EUR		10,231,739			407,817
Euro-Bund		1,128			9/2019	EUR		221,564,737			2,580,815
Euro-Buxl		3			9/2019	EUR		692,153			23,155
Euro-OAT		32			9/2019	EUR		5,999,157			108,338
Euro-Schatz		286			9/2019	EUR		36,516,270			60,199
FTSE 100 Index		407			9/2019	GBP		38,088,123			284,872
Japan 10 Year Bond		144			9/2019	JPY		205,485,322			522,732
NASDAQ 100E-Mini Index		61			9/2019	USD		9,386,375			76,670
S&P/TSX 60 Index		47			9/2019	CAD		7,017,968			(2,921	)
SPI 200 Index		408			9/2019	AUD		46,968,407			338,101
U.S. Treasury 2 Year Note		113			9/2019	USD		24,315,305			129,374
U.S. Treasury 5 Year Note		137			9/2019	USD		16,187,406			164,438
U.S. Treasury Long Bond		74			9/2019	USD		11,513,938			278,034
U.S. Treasury Ultra Bond		45			9/2019	USD		7,990,313			234,935
											6,987,723
Short Contracts
CAC 40 10 Euro Index		(6	)		7/2019	EUR		(377,494	)		(2,840	)
Canada 10 Year Bond		(191	)		9/2019	CAD		(20,846,573	)		14,842

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

20

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
DAX Index		(66	)		9/2019	EUR		$ (23,242,550	)		$ (265,378	)
FTSE/MIB Index		(5	)		9/2019	EUR		(601,412	)		(3,641	)
Long Gilt		(1,035	)		9/2019	GBP		(171,266,087	)		(1,399,152	)
Nikkei 225 Index		(24	)		9/2019	JPY		(4,732,551	)		(21,659	)
Russell 2000E-Mini Index		(18	)		9/2019	USD		(1,410,390	)		(29,472	)
S&P 500E-Mini Index		(424	)		9/2019	USD		(62,417,040	)		(869,896	)
S&P Midcap 400E-Mini Index		(1	)		9/2019	USD		(195,000	)		(2,432	)
TOPIX Index		(127	)		9/2019	JPY		(18,269,907	)		3,673
U.S. Treasury 10 Year Note		(599	)		9/2019	USD		(76,653,281	)		(443,824	)
											(3,019,779	)
											$3,967,944

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	17,737,004	USD	12,331,309	CITI		9/18/2019		$150,735
AUD	17,736,996	USD	12,331,318	JPMC		9/18/2019		150,721
CAD	70,743,496	USD	52,934,455	CITI		9/18/2019		1,165,142
CAD	70,743,504	USD	52,934,378	JPMC		9/18/2019		1,165,222
CHF	9,615,010	USD	9,719,028	CITI		9/18/2019		201,408
CHF	9,614,990	USD	9,719,025	JPMC		9/18/2019		201,389
DKK	369,000	USD	56,023	CITI		9/18/2019		573
DKK	369,000	USD	56,023	JPMC		9/18/2019		573
EUR	7,743,000	USD	8,770,299	CITI		9/18/2019		89,665
EUR	7,743,000	USD	8,770,310	JPMC		9/18/2019		89,655
GBP	9,880,786	USD	12,563,255	CITI		9/18/2019		29,551
GBP	9,880,784	USD	12,563,268	JPMC		9/18/2019		29,534
JPY	938,058,500	USD	8,680,937	CITI		9/18/2019		70,593
JPY	938,058,500	USD	8,680,948	JPMC		9/18/2019		70,586
NOK	1,087,500	USD	126,973	CITI		9/18/2019		791
NOK	1,087,500	USD	126,973	JPMC		9/18/2019		791
NZD	22,341,502	USD	14,718,685	CITI		9/18/2019		312,699
NZD	22,341,498	USD	14,718,700	JPMC		9/18/2019		312,680
SEK	21,706,008	USD	2,300,727	CITI		9/18/2019		49,999
SEK	21,705,992	USD	2,300,728	JPMC		9/18/2019		49,996
USD	5,070,256	GBP	3,970,068	CITI		9/18/2019		10,508
USD	5,070,294	GBP	3,970,077	JPMC		9/18/2019		10,533
USD	2,180,881	JPY	233,513,938	CITI		9/18/2019		2,334
USD	2,180,879	JPY	233,513,938	JPMC		9/18/2019		2,331
Total unrealized appreciation								4,168,009
CHF	2,016,500	USD	2,082,930	CITI		9/18/2019		(2,374	)
CHF	2,016,500	USD	2,082,932	JPMC		9/18/2019		(2,378	)
EUR	2,218,500	USD	2,542,386	CITI		9/18/2019		(3,857	)
EUR	2,218,500	USD	2,542,389	JPMC		9/18/2019		(3,859	)
GBP	6,296,715	USD	8,046,198	CITI		9/18/2019		(21,199	)
GBP	6,296,715	USD	8,046,209	JPMC		9/18/2019		(21,209	)
JPY	695,619,000	USD	6,538,590	CITI		9/18/2019		(48,875	)
JPY	695,619,000	USD	6,538,598	JPMC		9/18/2019		(48,883	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

21

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NOK	5,753,000	USD	678,585	CITI		9/18/2019		$ (2,696	)
NOK	5,753,000	USD	678,586	JPMC		9/18/2019		(2,697	)
SEK	9,888,000	USD	1,074,126	CITI		9/18/2019		(3,272	)
SEK	9,888,000	USD	1,074,128	JPMC		9/18/2019		(3,273	)
USD	14,684,861	AUD	21,164,500	CITI		9/18/2019		(209,210	)
USD	14,685,064	AUD	21,164,500	JPMC		9/18/2019		(209,008	)
USD	8,812,138	CAD	11,702,011	CITI		9/18/2019		(136,728	)
USD	8,812,112	CAD	11,701,989	JPMC		9/18/2019		(136,737	)
USD	51,527,841	CHF	51,026,000	CITI		9/18/2019		(1,119,023	)
USD	51,527,777	CHF	51,026,000	JPMC		9/18/2019		(1,119,087	)
USD	126,336	DKK	838,500	CITI		9/18/2019		(2,269	)
USD	126,336	DKK	838,500	JPMC		9/18/2019		(2,269	)
USD	36,447,684	EUR	32,254,994	CITI		9/18/2019		(460,252	)
USD	36,447,651	EUR	32,255,006	JPMC		9/18/2019		(460,298	)
USD	4,889,379	GBP	3,853,424	CITI		9/18/2019		(21,710	)
USD	4,889,382	GBP	3,853,431	JPMC		9/18/2019		(21,715	)
USD	40,788	HKD	319,496	CITI		9/18/2019		(126	)
USD	40,789	HKD	319,504	JPMC		9/18/2019		(126	)
USD	16,945,853	JPY	1,836,573,566	CITI		9/18/2019		(188,295	)
USD	16,945,832	JPY	1,836,573,566	JPMC		9/18/2019		(188,316	)
USD	19,131,328	NOK	166,298,496	CITI		9/18/2019		(406,161	)
USD	19,131,305	NOK	166,298,504	JPMC		9/18/2019		(406,185	)
USD	6,598,239	NZD	10,076,501	CITI		9/18/2019		(181,241	)
USD	6,598,229	NZD	10,076,499	JPMC		9/18/2019		(181,249	)
USD	8,332,174	SEK	78,981,490	CITI		9/18/2019		(221,398	)
USD	8,332,166	SEK	78,981,510	JPMC		9/18/2019		(221,408	)
USD	614,842	SGD	844,000	CITI		9/18/2019		(9,709	)
USD	614,842	SGD	844,000	JPMC		9/18/2019		(9,710	)
Total unrealized depreciation								(6,076,802	)
Net unrealized depreciation							$	(1,908,793	)

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

22

Schedule of Investments June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Cash		$1,390,000		$—		$1,390,000
BARC
Cash		—		4,967,751		4,967,751
CITI
Investment Companies		4,155,631		—		4,155,631
GSCO
Cash		—		2,012,454		2,012,454
JPMC
Investment Companies		6,006,713		—		6,006,713
JPMS
Cash		—		17,635,202		17,635,202
MSCS
U.S. Treasury Bills		2,778,594		—		2,778,594

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

23

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 122.9%
COMMON STOCKS - 44.7%
Aerospace & Defense - 1.4%
L3 Technologies, Inc. (a)		22,215	$	5,446,452
Parsons Corp. *		1,000		36,860
Raytheon Co.		6,092		1,059,277
				6,542,589
Air Freight & Logistics - 0.3%
Panalpina Welttransport Holding AG (Registered) (Switzerland) (2)		5,934		1,366,299
Airlines - 0.2%
WestJet Airlines Ltd. (Canada)		42,116		988,619
Auto Components - 0.2%
Garrett Motion, Inc. (Switzerland) *		34,856		535,039
Veoneer, Inc. (Sweden) *		15,635		270,642
				805,681
Automobiles - 0.0% (b)
Tesla, Inc. *(a)		520		116,199
Banks - 1.8%
Fidelity Southern Corp.		4,855		150,359
LegacyTexas Financial Group, Inc.		14,344		583,944
Patriot National Bancorp, Inc. (2)		17,287		258,095
PNBK Holdings LLC, Class A (3)*(c)(d)		2,090,900		1,264,618
PNBK Holdings LLC, Class B (3)*(c)(d)		3,218		—
SunTrust Banks, Inc.		87,296		5,486,554
TCF Financial Corp.		55,972		1,163,658
				8,907,228
Biotechnology - 1.2%
BioMarin Pharmaceutical, Inc. *(a)		9,904		848,277
Bridgebio Pharma, Inc. *		1,000		26,970
Celgene Corp. *		33,491		3,095,908
Cyclerion Therapeutics, Inc. *		29,684		339,882
Exact Sciences Corp. *(a)		20		2,361
Ideaya Biosciences, Inc. *		5,000		49,800
Intercept Pharmaceuticals, Inc. *(a)		184		14,641
Intrexon Corp. *(a)		34,242		262,294
Spark Therapeutics, Inc. *		13,298		1,361,449
Turning Point Therapeutics, Inc. *		500		20,350
				6,021,932
Building Products - 0.1%
Resideo Technologies, Inc. *		23,483		514,747
Capital Markets - 23.0%
Acamar Partners Acquisition Corp., Class A *(a)		450,000		4,374,000
Act II Global Acquisition Corp., Class A (2)*(a)		360,000		3,492,000
AMCI Acquisition Corp., Class A *(a)		210,000		2,087,400
B Riley Principal Merger Corp., Class A *		170,000		1,657,500
Big Rock Partners Acquisition Corp. (2)*		200,000		2,086,000
Black Ridge Acquisition Corp. *		210,000		2,156,700
Boxwood Merger Corp., Class A *		200,000		1,970,000

INVESTMENTS	SHARES		VALUE
Capital Markets - 23.0% (continued)
CF Finance Acquisition Corp., Class A *(a)		300,000	$	3,009,000
Churchill Capital Corp. II *		70,000		710,500
Crescent Acquisition Corp., Class A *		400,000		3,920,000
DFB Healthcare Acquisitions Corp. (2)*		150,000		1,513,500
Diamond Eagle Acquisition Corp. *		120,000		1,207,200
DiamondPeak Holdings Corp., Class A (2)*		459,999		4,471,190
FinTech Acquisition Corp. III, Class A *		250,000		2,452,500
GigCapital, Inc. (2)*		175,000		1,802,500
GigCapital2, Inc. *		153,000		1,537,650
Gordon Pointe Acquisition Corp. *		245,960		2,540,767
Gores Holdings III, Inc., Class A *		49,998		502,480
Gores Metropoulos, Inc., Class A *		99,999		1,022,990
Graf Industrial Corp. *		66,000		656,700
GS Acquisition Holdings Corp., Class A *		150,000		1,515,000
GX Acquisition Corp. *		400,000		4,016,000
Haymaker Acquisition Corp. II *		400,000		4,024,000
Hennessy Capital Acquisition Corp. IV, Class A *		400,000		3,960,000
Insurance Acquisition Corp., Class A (2)*		220,000		2,123,000
Landcadia Holdings II, Inc., Class A (2)*		349,998		3,398,481
Legacy Acquisition Corp., Class A (2)*		100,000		1,010,000
Leisure Acquisition Corp. (2)*		150,000		1,519,500
Leo Holdings Corp., Class A (United Kingdom) *		6,614		67,926
Longevity Acquisition Corp. (China) (2)*		125,000		31,250
Megalith Financial Acquisition Corp., Class A (2)*		6,400		64,256
Modern Media Acquisition Corp. (2)*		595,031		6,224,023
Monocle Acquisition Corp. (2)*		236,119		2,337,578
Mudrick Capital Acquisition Corp., Class A *		150,000		1,528,500
Nebula Acquisition Corp., Class A *		139,998		1,412,580
Opes Acquisition Corp. (Mexico) (2)*		100,000		1,026,000
Pensare Acquisition Corp. *		250,000		2,595,000
Pivotal Acquisition Corp., Class A *		14,979		152,037
Proficient Alpha Acquisition Corp. *		80,000		779,200
PROMECAP Acquisition Co. SAB de CV (Mexico)(3) *(c)		400,000		3,917,942
Regalwood Global Energy Ltd., Class A *(a)		115,232		1,175,366
Replay Acquisition Corp. *		230,000		2,237,900
RMG Acquisition Corp., Class A *		499,998		4,884,981
Schultze Special Purpose Acquisition Corp. *		138,000		1,366,200
South Mountain Merger Corp. *		300,000		3,000,000
Spartan Energy Acquisition Corp., Class A *		89,998		899,980
Tortoise Acquisition Corp., Class A (2)*		415,588		4,039,515
Tradeweb Markets, Inc., Class A		10,000		438,100
Trine Acquisition Corp., Class A (2)*		460,000		4,462,000
Tuscan Holdings Corp. *		320,000		3,168,000
Twelve Seas Investment Co. (United Kingdom) (2)*		240,000		69,600
VectoIQ Acquisition Corp. *		62,580		633,935
				111,248,427

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

24

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Chemicals - 0.2%
Corteva, Inc. *		10,564	$	312,378
Dow, Inc.		11,124		548,524
Livent Corp. *		36,260		250,919
				1,111,821
Commercial Services & Supplies - 0.3%
Advanced Disposal Services, Inc. *		25,796		823,151
Multi-Color Corp.		13,457		672,446
				1,495,597
Communications Equipment - 0.6%
Finisar Corp. *		120,320		2,751,718
Construction & Engineering - 0.1%
Arcosa, Inc. (a)		11,826		445,012
Diversified Consumer Services - 0.1%
frontdoor, Inc. *		10,686		465,375
Diversified Financial Services - 0.0% (b)
Rescap Liquidating Trust (2)*(a)		125,811		186,200
Electrical Equipment - 1.3%
Enphase Energy, Inc. *(a)		333,033		6,071,192
nVent Electric plc		18,138		449,641
				6,520,833
Electronic Equipment, Instruments & Components - 0.0% (b)
Arlo Technologies, Inc. *(a)		43,828		175,750
Energy Equipment & Services - 0.3%
Apergy Corp. *(a)		13,217		443,298
C&J Energy Services, Inc. *		8,077		95,147
KLX Energy Services Holdings, Inc. *(a)		12,542		256,233
Oil States International, Inc. *(a)		6,816		124,733
Transocean Ltd. *(a)		13,257		84,977
US Well Services, Inc. *		46,320		223,263
				1,227,651
Entertainment - 0.0% (b)
Sciplay Corp., Class A *		5,000		68,550
Equity Real Estate Investment Trusts (REITs) - 0.4%
Chesapeake Lodging Trust		1,656		47,063
CorePoint Lodging, Inc.		12,125		150,229
Cousins Properties, Inc.		105		3,798
Industrial Logistics Properties Trust		15,444		321,544
Innovative Industrial Properties, Inc. (a)		4,599		568,252
iStar, Inc. (a)		552		6,856
JBG SMITH Properties		4,668		183,639
Retail Value, Inc.		13,830		481,284
Spirit MTA REIT		26,740		223,012
				1,985,677
Food & Staples Retailing - 0.0% (b)
Grocery Outlet Holding Corp. *		1,000		32,880
Food Products - 0.0% (b)
Beyond Meat, Inc. *		1,000		160,680

INVESTMENTS	SHARES		VALUE
Food Products - 0.0% (b) (continued)
Bioceres Crop Solutions Corp. (Argentina) *		8,095	$	42,903
				203,583
Health Care Equipment & Supplies - 0.2%
Alcon, Inc. (Switzerland) *(a)		5,219		323,839
China Medical Technologies, Inc., ADR (China) (3)*(c)		4,931		—
Insulet Corp. *(a)		4,212		502,829
				826,668
Health Care Providers & Services - 0.8%
Covetrus, Inc. *		9,204		225,130
WellCare Health Plans, Inc. *		12,782		3,643,765
				3,868,895
Health Care Technology - 0.1%
Change Healthcare, Inc. *		20,000		292,000
Hotels, Restaurants & Leisure - 0.7%
Caesars Entertainment Corp. *		219,027		2,588,899
Panera Bread Co., Class A (3)*(c)(d)		10,533		156,311
Wyndham Hotels & Resorts, Inc.		9,295		518,103
				3,263,313
Household Durables - 0.0% (b)
GoPro, Inc., Class A *(a)		30,697		167,606
Interactive Media & Services - 0.2%
IAC/InterActiveCorp *(a)		869		189,034
Pinterest, Inc., Class A *		20,000		544,400
				733,434
Internet & Direct Marketing Retail - 1.2%
Alibaba Group Holding Ltd., ADR (China) *(a)		7,308		1,238,341
Booking Holdings, Inc. *(a)		223		418,060
Expedia Group, Inc. (a)		1,323		175,999
Fiverr International Ltd. (Israel) *		5,000		148,500
Liberty Expedia Holdings, Inc., Class A *		33,122		1,582,900
RealReal, Inc. (The) *		1,000		28,900
Revolve Group, Inc. *		5,000		172,500
Wayfair, Inc., Class A *(a)		13,264		1,936,544
				5,701,744
IT Services - 2.9%
Akamai Technologies, Inc. *(a)		626		50,168
Black Knight, Inc. *(a)		3,300		198,495
Euronet Worldwide, Inc. *(a)		783		131,732
Fastly, Inc., Class A *		5,000		101,400
First Data Corp., Class A *		85,886		2,324,934
Network International Holdings plc (United Arab Emirates) (2)*(e)		10,000		75,308
Square, Inc., Class A *(a)		9,861		715,218
Total System Services, Inc.		42,179		5,410,300
Worldpay, Inc. *		39,663		4,860,701
				13,868,256

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

25

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Life Sciences Tools & Services - 0.5%
Adaptive Biotechnologies Corp. *		10,000	$	483,000
Avantor, Inc. *(a)		10,000		190,900
Illumina, Inc. *(a)		4,516		1,662,565
Pacific Biosciences of California, Inc. *		43,700		264,385
Personalis, Inc. *		1,000		27,150
				2,628,000
Machinery - 0.2%
Global Brass & Copper Holdings, Inc.		14,817		647,948
Pentair plc		6,302		234,434
				882,382
Media - 0.9%
Altice USA, Inc., Class A *(a)		23,366		568,962
Axel Springer SE (Germany) (2)		3,289		231,324
iHeartMedia, Inc., Class A *		3,276		49,304
Tribune Media Co., Class A		71,567		3,307,827
				4,157,417
Oil, Gas & Consumable Fuels - 0.6%
Anadarko Petroleum Corp.		33,816		2,386,057
Equitrans Midstream Corp. (a)		20,238		398,891
Quicksilver Resources, Inc. (3)*(c)(d)		14,730		180,805
				2,965,753
Pharmaceuticals - 1.0%
Allergan plc (a)		29,031		4,860,660
Jazz Pharmaceuticals plc *(a)		328		46,760
				4,907,420
Professional Services - 0.0% (b)
Nielsen Holdings plc		9,524		215,242
Real Estate Management & Development - 0.3%
HFF, Inc., Class A		27,541		1,252,565
Newmark Group, Inc., Class A		44,008		395,192
				1,647,757
Road & Rail - 0.1%
Uber Technologies, Inc. *		10,000		463,800
Semiconductors & Semiconductor Equipment - 0.5%
Rudolph Technologies, Inc. *		4,291		118,560
Versum Materials, Inc.		44,065		2,272,873
				2,391,433
Software - 2.0%
Crowdstrike Holdings, Inc., Class A *		5,000		341,450
Guidewire Software, Inc. *(a)		1,141		115,675
Micro Focus International plc, ADR (United Kingdom)		8,228		215,491
MINDBODY, Inc., Class A (3)*(c)(d)		21,570		799,987
Pagerduty, Inc. *		5,000		235,250
Red Hat, Inc. *		13,551		2,544,336
Tableau Software, Inc., Class A *		27,023		4,486,358
Tufin Software Technologies Ltd. (Israel) *		4,000		103,560
Zoom Video Communications, Inc., Class A *		7,500		665,925
				9,508,032

INVESTMENTS	SHARES		VALUE
Technology Hardware, Storage & Peripherals - 0.0% (b)
Electronics For Imaging, Inc. *		3,911	$	144,355
Textiles, Apparel & Luxury Goods - 0.1%
Kontoor Brands, Inc. *		14,280		400,126
Thrifts & Mortgage Finance - 0.0% (b)
Oritani Financial Corp.		1,588		28,171
Trading Companies & Distributors - 0.0% (b)
AM Castle & Co. (2)*(a)		8,695		14,608
Water Utilities - 0.1%
Connecticut Water Service, Inc.		4,309		300,423
Wireless Telecommunication Services - 0.8%
Cleveland Unlimited (3)*(c)(d)		1		277,550
Sprint Corp. *(a)		554,686		3,644,287
				3,921,837
TOTAL COMMON STOCKS (Cost $212,566,994)				216,481,040
PREFERRED STOCKS - 1.0%
Banks - 0.0%
First Connecticut Bancorp, Inc., Class C (3)*(c)		786		—
Multi-Utilities - 0.3%
Dominion Energy, Inc., Series A, 7.25%, 6/1/2022 (2)*(a)		13,425		1,390,293
Thrifts & Mortgage Finance - 0.7%
FHLMC, Series V, 5.57%, 8/2/2019 *(a)(f)		83,409		900,817
FHLMC, Series W, 5.66%, 8/2/2019 *(f)		29,460		319,346
FHLMC, Series X, 6.02%, 8/2/2019 *(f)		47,843		556,893
FHLMC, Series Z, 8.38%, 12/31/2022 *(f)(g)		45,876		568,863
FNMA, Series S, 8.25%, 12/31/2020 *(f)(g)		77,876		970,335
				3,316,254
TOTAL PREFERRED STOCKS (Cost $3,970,336)				4,706,547
CONVERTIBLE PREFERRED STOCKS - 3.1%
Capital Markets - 0.4%
Virtus Investment Partners, Inc. Series D, $100 par, 7.25%, 2/1/2020 (2)(a)		17,975		1,676,949
Diversified Financial Services - 0.6%
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (2)(a)(e)		18,425		2,934,574

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

26

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
Equity Real Estate Investment Trusts (REITs) - 0.2%
QTS Realty Trust, Inc. Series B, $100 par, 6.50%, 12/31/2049 (2)(a)(f)		9,525	$	1,059,677
Gas Utilities - 0.1%
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (2)(a)		12,425		661,631
Health Care Technology - 0.2%
Change Healthcare, Inc. $50 par, 6.00%, 6/30/2022 (2)*		14,475		792,217
Life Sciences Tools & Services - 0.4%
Avantor, Inc. Series A, $50 par, 6.25%, 5/15/2022 (2)*(a)		28,725		1,891,829
Machinery - 0.4%
Colfax Corp. $50 par, 5.75%, 1/15/2022 (2)(a)		7,475		949,026
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (2)(a)		875		901,238
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (2)(a)		4,975		304,122
				2,154,386
Multi-Utilities - 0.6%
CenterPoint Energy, Inc. Series B, $50 par, 7.00%, 9/1/2021 (2)(a)		39,775		1,999,719
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (2)(a)		7,925		896,453
				2,896,172
Technology Hardware, Storage & Peripherals - 0.2%
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 (2)*(a)(f)(h)		901		1,055,203
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $13,189,711)				15,122,638
CLOSED END FUNDS - 2.2%
Aberdeen Global Dynamic Dividend Fund (a)		3,235		31,185
Adams Natural Resources Fund, Inc. (a)		12,416		205,361
AllianceBernstein National Municipal Income Fund, Inc. (a)		10,143		136,423
AllianzGI NFJ Dividend Interest & Premium Strategy Fund (a)		685		8,494
Apollo Senior Floating Rate Fund, Inc. (a)		3,218		48,109
Apollo Tactical Income Fund, Inc. (a)		3,342		49,295
Ares Dynamic Credit Allocation Fund, Inc. (a)		6,282		95,047
BlackRock California Municipal Income Trust		22,535		298,589
BlackRock Debt Strategies Fund, Inc.		11,513		123,995
BlackRock Enhanced Equity Dividend Trust		173		1,535
BlackRock Enhanced Global Dividend Trust		15,647		167,892

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 2.2% (continued)
BlackRock Floating Rate Income Strategies Fund, Inc.		8,175	$	104,885
BlackRock Floating Rate Income Trust		5,300		65,826
BlackRock Limited Duration Income Trust		6,029		90,435
BlackRock Municipal Bond Trust		10,571		157,296
BlackRock Municipal Income Investment Quality Trust		2,149		30,623
BlackRock Municipal Income Quality Trust		13,252		182,348
BlackRock MuniEnhanced Fund, Inc.		9,950		110,445
BlackRock MuniHoldings California Quality Fund, Inc.		2,687		36,678
BlackRock MuniHoldings Fund II, Inc.		5,216		78,709
BlackRock MuniHoldings Investment Quality Fund		3,349		44,542
BlackRock MuniHoldings New Jersey Quality Fund, Inc.		17,369		242,124
BlackRock MuniHoldings New York Quality Fund, Inc.		11,298		148,682
BlackRock MuniHoldings Quality Fund II, Inc.		16,624		209,130
BlackRock MuniHoldings Quality Fund, Inc.		14,332		178,147
BlackRock MuniYield California Fund, Inc.		11,226		157,613
BlackRock MuniYield Michigan Quality Fund, Inc.		13,386		183,924
BlackRock MuniYield New Jersey Fund, Inc.		11,906		176,328
BlackRock MuniYield New York Quality Fund, Inc.		10,759		136,747
BlackRock MuniYield Pennsylvania Quality Fund		17,159		240,569
BlackRock MuniYield Quality Fund II, Inc.		11,270		141,551
BlackRock MuniYield Quality Fund III, Inc.		5,481		72,349
BlackRock MuniYield Quality Fund, Inc.		9,273		134,551
BlackRock New York Municipal Income Trust		10,631		144,156
BlackRock Resources & Commodities Strategy Trust		18,528		151,559
Boulder Growth & Income Fund, Inc.		2,000		22,480
Brookfield Global Listed Infrastructure Income Fund, Inc.		5,186		66,381
CBRE Clarion Global Real Estate Income Fund		27,603		206,746
Clough Global Opportunities Fund		1,200		11,220
Delaware Investments Minnesota Municipal Income Fund II, Inc.		14,312		184,052
Dividend and Income Fund		26,619		306,651
DTF Tax-Free Income, Inc.		16,628		230,132
DWS Municipal Income Trust		24,557		276,757
DWS Strategic Municipal Income Trust		10,496		124,797
Eaton Vance California Municipal Bond Fund		5,883		64,889

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

27

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 2.2% (continued)
Eaton Vance Floating-Rate Income Plus Fund		2,414	$	36,138
Eaton Vance Floating-Rate Income Trust		7,125		96,045
Eaton Vance Limited Duration Income Fund (a)		3,070		38,835
Eaton Vance Municipal Income Trust (a)		11,074		137,761
Eaton Vance New York Municipal Bond Fund		14,920		178,742
Eaton Vance Senior Floating-Rate Trust		7,934		103,856
Eaton Vance Senior Income Trust (a)		12,490		77,813
Eaton Vance Short Duration Diversified Income Fund		2,677		36,247
Eaton Vance Tax-Advantaged Global Dividend Income Fund		5,238		84,070
Federated Premier Municipal Income Fund		15,799		217,236
First Trust Aberdeen Global Opportunity Income Fund		3,635		37,804
First Trust High Income Long/Short Fund		10,652		159,993
First Trust Senior Floating Rate Income Fund II		7,766		93,580
General American Investors Co., Inc.		122		4,330
High Income Securities Fund		314		2,597
Invesco Dynamic Credit Opportunities Fund		8,632		96,506
Invesco Trust for Investment Grade Municipals		4,746		60,132
Invesco Trust for Investment Grade New York Municipals		5,469		74,761
Ivy High Income Opportunities Fund		869		11,792
LMP Capital and Income Fund, Inc.		75		1,017
Macquarie Global Infrastructure Total Return Fund, Inc.		2,176		51,484
Madison Covered Call & Equity Strategy Fund		812		5,367
MFS Investment Grade Municipal Trust		6,192		59,257
New America High Income Fund, Inc. (The)		1,856		16,463
New Germany Fund, Inc. (The)		398		5,644
Nuveen Arizona Quality Municipal Income Fund		7,314		95,594
Nuveen California AMT-Free Quality Municipal Income Fund		2,758		40,267
Nuveen California Municipal Value Fund, Inc.		6,172		62,152
Nuveen Connecticut Quality Municipal Income Fund		19,452		252,292
Nuveen Floating Rate Income Opportunity Fund		4,024		39,194
Nuveen Georgia Quality Municipal Income Fund		11,445		141,632
Nuveen Maryland Quality Municipal Income Fund		14,498		187,894
Nuveen Massachusetts Quality Municipal Income Fund		3,713		48,009

INVESTMENTS	SHARES		VALUE
CLOSED END FUNDS - 2.2% (continued)
Nuveen Michigan Quality Municipal Income Fund		17,377	$	235,632
Nuveen New Jersey Quality Municipal Income Fund		2,766		39,001
Nuveen New York Quality Municipal Income Fund		10,489		145,378
Nuveen North Carolina Quality Municipal Income Fund		15,431		205,695
Nuveen Ohio Quality Municipal Income Fund		13,417		199,846
Nuveen Pennsylvania Quality Municipal Income Fund		10,309		140,718
Nuveen Real Asset Income and Growth Fund		3,687		62,421
Nuveen Senior Income Fund		3,882		23,020
Nuveen Texas Quality Municipal Income Fund		5,190		70,999
Nuveen Virginia Quality Municipal Income Fund		24,443		318,492
Pioneer Diversified High Income Trust		720		10,296
Pioneer Floating Rate Trust		8,350		89,262
RMR Real Estate Income Fund		1,762		32,297
Royce Micro-Cap Trust, Inc.		400		3,288
Royce Value Trust, Inc.		8,844		123,108
Source Capital, Inc.		1,163		42,531
Swiss Helvetia Fund, Inc. (The)		200		1,580
Tekla Healthcare Investors		6,945		139,456
Tekla Life Sciences Investors		1,308		22,040
THL Credit Senior Loan Fund		600		9,150
Voya Infrastructure Industrials and Materials Fund		2,414		30,054
Western Asset Intermediate Muni Fund, Inc.		28,854		258,820
Western Asset Municipal High Income Fund, Inc.		753		5,666
Western Asset Municipal Partners Fund, Inc.		10,525		156,823
TOTAL CLOSED END FUNDS (Cost $10,386,516)				10,799,324
		PRINCIPAL AMOUNT
CORPORATE BONDS - 6.6%
Airlines - 0.2%
United Continental Holdings, Inc. 6.00%, 12/1/2020 (2)(a)	$	1,000,000		1,040,000
Banks - 0.0% (b)
Washington Mutual, Inc. Escrow 0.00%, 9/29/2017 (3)(c)		5,000,000		55,000
Chemicals - 0.2%
TPC Group, Inc. 8.75%, 12/15/2020 (2)(e)		1,000,000		996,250
Commercial Services & Supplies - 0.1%
Harland Clarke Holdings Corp. 6.88%, 3/1/2020 (2)(e)		636,000		627,255

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

28

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Consumer Finance - 0.4%
Curo Group Holdings Corp. 8.25%, 9/1/2025 (2)(e)	$	1,000,000	$	830,000
Navient Corp. 5.00%, 10/26/2020 (2)		1,000,000		1,020,000
				1,850,000
Diversified Telecommunication Services - 0.7%
CenturyLink, Inc. Series V, 5.63%, 4/1/2020 (2)		1,000,000		1,011,250
Virgin Media Secured Finance plc (United Kingdom) 5.25%, 1/15/2021 (2)		2,000,000		2,085,500
				3,096,750
Food Products - 0.2%
Viterra, Inc. (Switzerland) 5.95%, 8/1/2020 (2)(e)		923,000		953,699
Gas Utilities - 0.5%
Ferrellgas LP 6.50%, 5/1/2021(2)		2,500,000		2,268,750
Health Care Equipment & Supplies - 0.2%
Kinetic Concepts, Inc. 12.50%, 11/1/2021 (2)(a)(e)		985,000		1,084,731
Health Care Providers & Services - 0.8%
BioScrip, Inc. 8.88%, 2/15/2021 (2)		1,354,000		1,370,925
HCA, Inc. 6.50%, 2/15/2020 (2)		1,000,000		1,023,016
Owens & Minor, Inc. 4.38%, 12/15/2024 (2)		2,000,000		1,490,000
				3,883,941
Independent Power and Renewable Electricity Producers - 0.0%
Energy Future Holdings 0.00%, 12/1/2018 (3)(c)(i)		1,000,000		—
IT Services - 0.5%
First Data Corp.
5.00%, 1/15/2024 (2)(e)		556,000		569,622
5.75%, 1/15/2024 (2)(e)		1,734,000		1,782,769
				2,352,391
Marine - 0.2%
Navios Maritime Holdings, Inc. (Greece) 11.25%, 8/15/2022 (2)(e)		1,500,000		1,065,000
Media - 0.0% (b)
iHeartCommunications, Inc.
12.00%, 8/1/2021 (3)(c)(i)		1,010,000		—
6.38%, 5/1/2026 (2)		12,439		13,201
8.38%, 5/1/2027 (2)		23,318		24,426
				37,627
Metals & Mining - 0.2%
Aleris International, Inc.
10.75%, 7/15/2023 (2)(e)		1,095,000		1,142,906
Oil, Gas & Consumable Fuels - 0.9%
Aegean Marine Petroleum Network, Inc. Escrow 0.00%, 12/15/2021 (3)(c)(i)		2,375,000		332,500

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Oil, Gas & Consumable Fuels - 0.9% (continued)
Antero Midstream Partners LP 5.75%, 1/15/2028 (2)(e)	$	2,000,000	$	1,980,000
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(c)(d)		2,833,436		387,464
Energy Transfer Operating LP 7.50%, 10/15/2020 (2)		1,000,000		1,060,710
NSA Bondco Ltd. (Norway) 12.00%, 8/31/2020 (3)(c)(h)		3,216,350		612,604
				4,373,278
Pharmaceuticals - 0.1%
Advanz Pharma Corp. (Canada) 8.00%, 9/6/2024 (2)(a)		549,000		531,157
Semiconductors & Semiconductor Equipment - 0.1%
SunEdison, Inc.
2.00%, 10/1/2018 (3)(c)(i)		16,350,000		380,488
2.75%, 1/1/2021 (3)(c)(i)		4,400,000		102,394
				482,882
Specialty Retail - 0.9%
GameStop Corp. 6.75%, 3/15/2021 (2)(e)		2,500,000		2,450,000
Men’s Wearhouse, Inc. (The) 7.00%, 7/1/2022 (2)		2,000,000		1,925,000
				4,375,000
Technology Hardware, Storage & Peripherals - 0.4%
Lexmark International, Inc. 7.13%, 3/15/2020 (2)(j)		2,000,000		1,962,500
Wireless Telecommunication Services - 0.0%
T-Mobile USA, Inc. 4.75%, 2/1/2028 (3)(c)(i)		2,301,000		—
TOTAL CORPORATE BONDS (Cost $65,407,688)				32,179,117
CONVERTIBLE BONDS - 29.7%
Air Freight & Logistics - 0.2%
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(a)		875,000		898,318
Airlines - 0.3%
GOL Equity Finance SA (Brazil) 3.75%, 7/15/2024 (2)(a)(e)		1,250,000		1,331,248
Auto Components - 0.2%
Veoneer, Inc. (Sweden) 4.00%, 6/1/2024 (2)(a)		775,000		803,168
Automobiles - 0.6%
Tesla, Inc. 2.00%, 5/15/2024 (2)(a)		2,950,000		2,897,331
Biotechnology - 2.8%
Clovis Oncology, Inc. 1.25%, 5/1/2025 (2)(a)		900,000		559,915
Inovio Pharmaceuticals, Inc. 6.50%, 3/1/2024 (2)(a)(e)		2,075,000		1,733,447

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

29

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Biotechnology - 2.8% (continued)
Intercept Pharmaceuticals, Inc. 2.00%, 5/15/2026 (2)(a)	$	650,000	$	643,191
Intrexon Corp. 3.50%, 7/1/2023 (2)(a)		2,550,000		1,784,159
Karyopharm Therapeutics, Inc. 3.00%, 10/15/2025 (2)(a)(e)		1,900,000		1,186,651
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (2)(a)		225,000		194,256
OPKO Health, Inc. 4.50%, 2/15/2025 (2)(a)		5,075,000		4,432,872
Verastem, Inc. 5.00%, 11/1/2048 (2)(a)		5,675,000		2,936,812
				13,471,303
Capital Markets - 3.2%
Ares Capital Corp. 4.63%, 3/1/2024 (2)(a)		2,300,000		2,363,250
Deutsche Bank AG (Germany) 1.00%, 5/1/2023 (2)(a)		1,975,000		1,910,062
Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(a)		1,225,000		1,225,426
New Mountain Finance Corp. 5.75%, 8/15/2023 (2)(a)		4,100,000		4,222,498
Prospect Capital Corp. 6.38%, 3/1/2025 (2)(a)		3,000,000		3,063,900
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(a)		2,750,000		2,827,086
				15,612,222
Communications Equipment - 0.6%
Finisar Corp. 0.50%, 12/15/2036 (2)		721,000		702,921
Infinera Corp. 2.13%, 9/1/2024 (2)(a)		1,625,000		1,103,984
InterDigital, Inc. 2.00%, 6/1/2024 (2)(a)(e)		1,075,000		1,090,765
				2,897,670
Consumer Finance - 0.4%
EZCORP, Inc. 2.38%, 5/1/2025 (2)(a)		1,025,000		924,701
Qudian, Inc. (China) 1.00%, 7/1/2026 (2)(e)		950,000		967,353
				1,892,054
Diversified Consumer Services - 0.2%
Chegg, Inc. 0.13%, 3/15/2025 (2)(a)(e)		1,125,000		1,129,063
Diversified Financial Services - 0.2%
Element Fleet Management Corp. (Canada) 4.25%, 6/30/2024 (2)(a)	CAD	1,100,000		906,014
Diversified Telecommunication Services - 0.2%
Vonage Holdings Corp. 1.75%, 6/1/2024 (2)(a)(e)	$	775,000		780,173
Electrical Equipment - 0.2%
Plug Power, Inc. 5.50%, 3/15/2023 (2)(a)		1,100,000		1,204,394

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Energy Equipment & Services - 0.5%
Helix Energy Solutions Group, Inc. 4.13%, 9/15/2023 (2)(a)	$	1,125,000	$	1,351,445
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(a)		1,150,000		1,112,236
				2,463,681
Entertainment - 0.5%
iQIYI, Inc. (China) 2.00%, 4/1/2025 (2)(a)(e)		700,000		688,116
Zynga, Inc. 0.25%, 6/1/2024 (2)(a)(e)		1,600,000		1,593,522
				2,281,638
Equity Real Estate Investment Trusts (REITs) - 0.4%
iStar, Inc. 3.13%, 9/15/2022 (2)(a)		75,000		76,958
Uniti Fiber Holdings, Inc. 4.00%, 6/15/2024 (2)(a)(e)		1,800,000		1,844,537
				1,921,495
Health Care Equipment & Supplies - 0.0%
China Medical Technologies, Inc. (China)
4.00%, 8/15/2013 (3)(c)(i)		250,000		—
6.25%, 12/15/2016 (3)(c)(e)(i)		2,625,000		—
				—
Health Care Providers & Services - 1.0%
Anthem, Inc. 2.75%, 10/15/2042 (2)(a)		1,279,000		4,991,396
Hotels, Restaurants & Leisure - 0.1%
Caesars Entertainment Corp. 5.00%, 10/1/2024 (2)		318,000		544,313
Household Durables - 0.2%
GoPro, Inc. 3.50%, 4/15/2022 (2)(a)		1,000,000		982,500
Insurance - 0.4%
AXA SA (France) 7.25%, 5/15/2021 (2)(a)(e)		900,000		924,390
HCI Group, Inc. 4.25%, 3/1/2037 (2)(a)		1,175,000		1,152,070
				2,076,460
Interactive Media & Services - 0.7%
Twitter, Inc. 0.25%, 6/15/2024 (2)(a)		1,150,000		1,119,938
YY, Inc. (China)
0.75%, 6/15/2025 (2)(a)(e)		275,000		277,391
1.38%, 6/15/2026 (2)(a)(e)		650,000		659,755
Zillow Group, Inc. 1.50%, 7/1/2023(2) (a)		1,175,000		1,153,508
				3,210,592
Internet & Direct Marketing Retail - 1.3%
IAC Financeco 3, Inc. 2.00%, 1/15/2030 (2)(a)(e)		1,175,000		1,209,030
MercadoLibre, Inc. (Argentina) 2.00%, 8/15/2028 (2)(a)(e)		1,250,000		1,925,539
Quotient Technology, Inc. 1.75%, 12/1/2022 (2)(a)		800,000		770,312

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

30

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Internet & Direct Marketing Retail - 1.3% (continued)
Wayfair, Inc. 1.13%, 11/1/2024 (2)(a)(e)	$	1,525,000	$	2,215,260
				6,120,141
IT Services - 0.8%
KBR, Inc. 2.50%, 11/1/2023 (2)(a)(e)		950,000		1,103,616
MongoDB, Inc. 0.75%, 6/15/2024 (2)(a)(e)		950,000		2,177,281
Square, Inc. 0.38%, 3/1/2022 (2)(a)		250,000		788,121
				4,069,018
Media - 0.8%
Liberty Latin America Ltd. (Chile) 2.00%, 7/15/2024 (2)(a)(e)		1,450,000		1,459,851
Liberty Media Corp.
2.13%, 3/31/2048 (2)(a) (e)		850,000		825,031
2.25%, 12/1/2048 (2)(a) (e)		1,525,000		1,740,810
				4,025,692
Metals & Mining - 1.2%
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(a)		2,350,000		4,382,893
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (2)(a)		850,000		1,226,625
Endeavour Mining Corp. (Ivory Coast) 3.00%, 2/15/2023 (2)(a)(e)		350,000		341,040
				5,950,558
Mortgage Real Estate Investment Trusts (REITs) - 3.2%
Apollo Commercial Real Estate Finance, Inc.
4.75%, 8/23/2022 (2)(a)		2,250,000		2,249,539
5.38%, 10/15/2023 (2)(a)		1,550,000		1,543,434
Blackstone Mortgage Trust, Inc.
4.38%, 5/5/2022 (2)(a)		900,000		938,027
4.75%, 3/15/2023 (2)(a)		1,800,000		1,874,657
Granite Point Mortgage Trust, Inc. 6.38%, 10/1/2023 (2)(a)		1,900,000		1,962,938
MFA Financial, Inc. 6.25%, 6/15/2024 (2)(a)		2,125,000		2,134,163
Redwood Trust, Inc.
4.75%, 8/15/2023 (2)(a)		1,900,000		1,852,500
5.63%, 7/15/2024 (2)(a)		2,775,000		2,759,391
				15,314,649
Oil, Gas & Consumable Fuels - 1.8%
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(a)(j)		700,000		558,725
DHT Holdings, Inc. 4.50%, 8/15/2021 (2)(a)(e)		1,725,000		1,910,719
Green Plains, Inc. 4.00%, 7/1/2024 (2)(a)(e)		2,125,000		2,013,437
Scorpio Tankers, Inc. (Monaco) 3.00%, 5/15/2022 (2)(a)		1,650,000		1,714,701
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(a)		2,600,000		2,623,610
				8,821,192

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Pharmaceuticals - 0.8%
Aphria, Inc. (Canada) 5.25%, 6/1/2024 (2)(a)(e)	$	1,150,000	$	1,026,375
Omeros Corp. 6.25%, 11/15/2023 (2)(a)(e)		2,250,000		2,321,218
Tilray, Inc. (Canada) 5.00%, 10/1/2023 (2)(a)(e)		725,000		584,531
				3,932,124
Semiconductors & Semiconductor Equipment - 3.5%
Cree, Inc. 0.88%, 9/1/2023 (2)(a)(e)		900,000		1,041,690
Microchip Technology, Inc. 2.25%, 2/15/2037 (2)(a)		1,851,000		2,179,737
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(a)		2,400,000		13,929,449
SunEdison, Inc. 0.25%, 1/15/2020 (3)(c)(i)		575,000		13,381
				17,164,257
Software - 1.9%
8x8, Inc. 0.50%, 2/1/2024 (2)(a)(e)		800,000		908,493
Atlassian, Inc. 0.63%, 5/1/2023 (2)(a)		350,000		595,000
Benefitfocus, Inc. 1.25%, 12/15/2023 (2)(a)(e)		675,000		602,167
Coupa Software, Inc. 0.13%, 6/15/2025 (2)(a)(e)		1,350,000		1,444,611
FireEye, Inc. 0.88%, 6/1/2024 (2)(a)		525,000		511,742
Pluralsight, Inc. 0.38%, 3/1/2024 (2)(a)(e)		975,000		1,042,407
Q2 Holdings, Inc. 0.75%, 6/1/2026 (2)(a)(e)		950,000		1,021,763
Rapid7, Inc. 1.25%, 8/1/2023 (2)(a)(e)		400,000		610,500
Red Hat, Inc. 0.25%, 10/1/2019 (2)		303,000		770,595
Splunk, Inc. 1.13%, 9/15/2025 (2)(a)(e)		1,350,000		1,510,866
				9,018,144
Specialty Retail - 0.6%
Guess?, Inc. 2.00%, 4/15/2024 (2)(a)(e)		900,000		841,887
RH 0.00%, 6/15/2023 (2)(a)(e)		2,275,000		2,066,223
				2,908,110
Technology Hardware, Storage & Peripherals - 0.5%
Electronics For Imaging, Inc. 2.25%, 11/15/2023 (2)(a)(e)		1,430,000		1,689,983
Pure Storage, Inc. 0.13%, 4/15/2023 (2)(a)		800,000		766,000
				2,455,983
Trading Companies & Distributors - 0.0% (b)
AM Castle & Co. 7.00%, 8/31/2022 (3)(a)(c)		102,861		87,432
Wireless Telecommunication Services - 0.4%
Gogo, Inc. 6.00%, 5/15/2022 (2)(a)(e)		1,975,000		1,817,000
TOTAL CONVERTIBLE BONDS (Cost $132,748,063)				143,979,333

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

31

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
LOAN PARTICIPATIONS - 0.7%
Distributors - 0.2%
American Tire Distributors, Inc., U.S. Junior FILO Facility
(ICE LIBOR USD 3 Month + 6.00%), 8.52%, 9/1/2023 (2)(k)	$	107,388	$	106,314
American Tire Distributors, Inc., U.S. Senior Secured Term Loan (ICE LIBOR USD 3 Month + 7.50%), 9.98%, 9/1/2024 (2)(k)		1,066,078		995,717
				1,102,031
Media - 0.0% (b)
iHeartCommunications, Inc., First Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 6.58%, 6/4/2026 (2)(k)		56,283		56,336
Personal Products - 0.5%
Revlon Consumer Products Corp., Term Loan (ICE LIBOR USD 3 Month + 3.50%), 6.02%, 9/7/2023 (2)(k)		2,487,212		2,071,649
TOTAL LOAN PARTICIPATIONS (Cost $2,886,514)				3,230,016
		NO. OF RIGHTS
RIGHTS - 0.3%
Biotechnology - 0.0% (b)
Ambit Biosciences Corp., CVR (3)*(c)(d)		146,272		69,459
Tobira Therapeutics, Inc., CVR (3)*(c)(d)		11,880		115,182
				184,641
Capital Markets - 0.3%
Allegro Merger Corp., expiring 12/31/2023 *(a)		180,000		37,800
Big Rock Partners Acquisition Corp., expiring 12/1/2022 (3)*(c)		200,000		38,000
Black Ridge Acquisition Corp., expiring 11/16/2020 *		210,000		88,200
Constellation Alpha Capital Corp., expiring 12/31/2049 *		700,000		119,000
GigCapital, Inc. *		375,000		195,000
HL Acquisitions Corp., expiring 6/1/2026 (3)*(c)		54,000		17,820
KBL Merger Corp. IV (2)*		1,000,000		249,800
Modern Media Acquisition Corp., expiring 12/31/2022 *		1,700,000		493,000
Pensare Acquisition Corp., expiring 8/8/2022 (2)*		1,000,000		150,000
Proficient Alpha Acquisition Corp., expiring 4/30/2026 (2)*		80,000		15,200
TKK Symphony Acquisition Corp., (Hong Kong) *		370,000		66,600
				1,470,420
TOTAL RIGHTS (Cost $—)				1,655,061

INVESTMENTS	NO. OF WARRANTS		VALUE
WARRANTS - 2.8%
Aerospace & Defense - 0.0% (b)
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 (3)*(c)		614,551	$	27,655
Biotechnology - 0.1%
Organogenesis Holdings, Inc., expiring 12/10/2023 *		1,000,000		470,000
Xynomic Pharmaceuticals Holdings, Inc., expiring 5/15/2024 *		75,000		15,750
				485,750
Capital Markets - 1.4%
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) *		579,085		2,211
Act II Global Acquisition Corp., expiring 4/30/2024 *		180,000		126,000
Alignvest Acquisition II Corp., expiring 7/4/2022 (Canada) *		175,000		66,149
Allegro Merger Corp., expiring 1/6/2025 (2) *(a)		180,000		45,000
AMCI Acquisition Corp., expiring 10/1/2025 (2) *(a)		460,000		133,400
B Riley Principal Merger Corp., expiring 4/8/2024 (2)*		85,000		41,650
Big Rock Partners Acquisition Corp., expiring 12/1/2022 *		100,000		23,670
Black Ridge Acquisition Corp., expiring 10/25/2022 *		210,000		86,100
Boxwood Merger Corp., expiring 11/26/2025 *		500,000		310,000
Capitol Investment Corp. IV, expiring 1/1/2025 *		83,333		115,833
CF Finance Acquisition Corp., expiring 4/30/2025 *		300,000		180,000
ChaSerg Technology Acquisition Corp., expiring 9/30/2023 *		90,000		67,500
Constellation Alpha Capital Corp., expiring 3/23/2024 *		700,000		51,800
Crescent Acquisition Corp., expiring 3/7/2024 *		200,000		130,000
DFB Healthcare Acquisitions Corp., expiring 4/3/2023 (2)*		66,666		83,332
DiamondPeak Holdings Corp., expiring 4/12/2024 *		153,333		122,666
Far Point Acquisition Corp., expiring 6/1/2025 *		33,333		42,666
FinTech Acquisition Corp. III, expiring 12/1/2023 *		230,000		312,800
Forum Merger II Corp., expiring 9/30/2025 (2)*		180,000		115,110
GigCapital, Inc., expiring 3/6/2025 *		281,250		84,375
Gordon Pointe Acquisition Corp., expiring 1/25/2023 *		122,980		41,813
Gores Holdings III, Inc., expiring 9/11/2023 *		66,666		96,666
Gores Metropoulos, Inc., expiring 3/25/2024 (2)*		33,333		42,000

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

32

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 1.4% (continued)
Graf Industrial Corp., expiring 12/31/2025 (2)*		198,000	$	78,032
GS Acquisition Holdings Corp., expiring 7/30/2023 *		100,000		125,000
Hennessy Capital Acquisition Corp. IV, expiring 9/25/2025 *		300,000		180,000
HL Acquisitions Corp., expiring 7/18/2023 (3)*(c)		54,000		14,575
Hunter Maritime Acquisition Corp., expiring 3/21/2024 (2)*		470,000		93,530
Insurance Acquisition Corp., expiring 3/31/2024 *		110,000		102,300
KBL Merger Corp. IV, expiring 1/15/2024 *(a)		500,000		80,000
Landcadia Holdings II, Inc., expiring 5/9/2026 (2)*		116,666		99,166
Legacy Acquisition Corp., expiring 11/30/2022 *(a)		250,000		80,000
Leisure Acquisition Corp., expiring 12/28/2022 (3)*(c)		125,000		81,250
Leo Holdings Corp., expiring 4/5/2023 (United Kingdom) *		125,000		156,250
LF Capital Acquisition Corp., expiring 6/27/2023 (2)*		240,000		81,600
Longevity Acquisition Corp., expiring 7/31/2025 (China) (2)*		125,000		17,500
Megalith Financial Acquisition Corp., expiring 9/21/2023 *		128,200		39,742
Modern Media Acquisition Corp., expiring 6/7/2022 *		425,000		102,000
Monocle Acquisition Corp., expiring 6/12/2024 (2)*		336,119		117,642
Mudrick Capital Acquisition Corp., expiring 3/12/2025 *		250,000		122,500
Nebula Acquisition Corp., expiring 1/12/2023 *		46,666		46,666
New Frontier Corp., expiring 7/25/2023 (Hong Kong) (3)*(c)		50,000		35,000
Opes Acquisition Corp., expiring 1/15/2023 (2)*		250,000		62,825
Pensare Acquisition Corp., expiring 8/8/2022 (3)*(c)		250,000		42,350
Pivotal Acquisition Corp., expiring 12/1/2025 *		360,000		486,000
Proficient Alpha Acquisition Corp., expiring 4/30/2026 *		80,000		11,200
PROMECAP Acquisition Co. SAB de CV, expiring 3/23/2023 (Mexico) (3)*(c)		400,000		10,420
Pure Acquisition Corp., expiring 4/17/2023 *		172,500		186,300
Regalwood Global Energy Ltd., expiring 12/5/2022 *		83,333		75,000
Replay Acquisition Corp., expiring 4/8/2024 *(a)		115,000		80,500
RMG Acquisition Corp., expiring 2/21/2026 (2)*		166,666		156,666
Schultze Special Purpose Acquisition Corp., expiring 12/31/2023 *		288,000		86,400

INVESTMENTS	NO. OF WARRANTS		VALUE
Capital Markets - 1.4% (continued)
Sentinel Energy Services, Inc., expiring 12/22/2022 *		44,440	$	31,108
Social Capital Hedosophia Holdings Corp., expiring 9/25/2022 *(a)		83,334		111,667
Spartan Energy Acquisition Corp., expiring 10/1/2023 (2)*		48,333		43,016
Tenzing Acquisition Corp., expiring 8/23/2025 (2)*		250,000		52,500
Thunder Bridge Acquisition Ltd., expiring 7/17/2022 *		180,000		363,600
Tiberius Acquisition Corp., expiring 4/10/2023 (2)*		117,500		41,125
TKK Symphony Acquisition Corp., expiring 8/20/2023 (Hong Kong) *		370,000		48,100
Tortoise Acquisition Corp., expiring 3/4/2024 (3)*(c)		207,794		145,456
TPG Pace Holdings Corp., expiring 8/18/2022 (2)*		66,666		105,332
Trine Acquisition Corp., expiring 3/5/2024 *		230,000		174,639
Trinity Merger Corp., expiring 5/31/2023 *		250,000		82,250
Tuscan Holdings Corp., expiring 4/1/2026 *		320,000		249,600
Twelve Seas Investment Co., expiring 7/13/2023 (United Kingdom) *		240,000		57,600
VectoIQ Acquisition Corp., expiring 6/11/2023 (2)*		180,000		84,600
				6,761,748
Commercial Services & Supplies - 0.1%
Estre Ambiental, Inc., expiring 12/22/2022 (2)*(a)		661,870		26,475
NRC Group Holdings Corp., expiring 10/17/2023 *		187,500		309,637
				336,112
Construction & Engineering - 0.0% (b)
Infrastructure and Energy Alternatives, Inc., expiring 3/26/2023 *		343,006		11,834
Limbach Holdings, Inc., expiring 7/20/2021 *(a)		168,252		100,951
Peck Co., Inc. (The), expiring 6/20/2024 *		122,916		24,460
				137,245
Consumer Finance - 0.0% (b)
China Lending Corp., expiring 7/6/2021 (China) (3)*(a)(c)		142,386		285
Containers & Packaging - 0.0% (b)
Ranpak Holdings Corp., expiring 6/3/2024 (2)*		54,017		64,820
Diversified Consumer Services - 0.1%
OneSpaWorld Holdings Ltd., expiring 3/19/2024 *		99,990		468,953

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

33

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	NO. OF WARRANTS		VALUE
Energy Equipment & Services - 0.1%
National Energy Services Reunited Corp., expiring 6/6/2023 *		383,983	$	326,386
Entertainment - 0.0% (b)
Kew Media Group, Inc., expiring 3/20/2022 (Canada) *		150,000		57,272
Food Products - 0.0% (b)
Bioceres Crop Solutions Corp., expiring 3/14/2024 (Argentina) *		250,000		82,500
Hotels, Restaurants & Leisure - 0.2%
Acamar Partners Acquisition Corp., expiring 2/26/2026 (3)*(a)(c)		150,000		112,500
Inspired Entertainment, Inc., expiring 12/23/2021 *		636,986		509,589
Simplicity Esports and Gaming Co., expiring 11/20/2023 *		225,000		90,000
Target Hospitality Corp., expiring 3/15/2024 *		53,333		106,666
				818,755
Household Durables - 0.0% (b)
Purple Innovation, Inc., expiring 2/2/2023 *		384,000		114,816
Insurance - 0.0% (b)
Sirius International Insurance Group Ltd., expiring 11/5/2023 *		286,625		171,975
Internet & Direct Marketing Retail - 0.0% (b)
LXRandCo, Inc., expiring 6/9/2022 (Canada) (3)*(c)		1,274,000		19,457
Reebonz Holding Ltd., expiring 12/19/2023 (Singapore)(3)*(a)(c)		75,000		750
				20,207
IT Services - 0.1%
Exela Technologies, Inc., expiring 7/12/2022 *(a)		930,354		251,196
Verra Mobility Corp., expiring 10/17/2023 *		66,666		269,997
				521,193
Machinery - 0.1%
Blue Bird Corp., expiring 2/24/2020 *		53,842		216,983
Oil, Gas & Consumable Fuels - 0.2%
Alta Mesa Resources, Inc., expiring 2/9/2023 *(a)		308,333		2,158
Altus Midstream Co., expiring 11/12/2023 *		125,000		56,238
Falcon Minerals Corp., expiring 8/23/2023 *		250,000		237,500
Magnolia Oil & Gas Corp., expiring 7/31/2023 *		83,333		278,332
NextDecade Corp., expiring 7/24/2022 (3)*(c)		547,770		279,363

INVESTMENTS	NO. OF WARRANTS		VALUE
Oil, Gas & Consumable Fuels - 0.2% (continued)
Rosehill Resources, Inc., expiring 4/27/2022 *		244,800	$	117,504
				971,095
Pharmaceuticals - 0.2%
AYR Strategies, Inc., expiring 12/21/2025 (Canada) *		155,100		825,510
Professional Services - 0.1%
Akerna Corp., expiring 8/1/2024 *		7,500		21,750
Clarivate Analytics plc, expiring 10/29/2023 *		77,500		368,125
				389,875
Road & Rail - 0.0% (b)
Daseke, Inc., expiring 2/27/2022 *		378,003		83,161
Software - 0.1%
GTY Technology Holdings, Inc., expiring 2/19/2024 *		314,900		239,324
Phunware, Inc., expiring 12/26/2023 *		58,632		20,521
Rimini Street, Inc., expiring 9/30/2022 (3)*(a)(c)		471,690		221,694
				481,539
Specialty Retail - 0.0% (b)
Kaixin Auto Holdings, expiring 4/30/2024 (Hong Kong) (2)*		125,000		5,750
Technology Hardware, Storage & Peripherals - 0.0% (b)
Borqs Technologies, Inc., expiring 8/18/2022 (China) (2)*(a)		373,500		11,205
Wireless Telecommunication Services - 0.0% (b)
Trilogy International Partners, Inc., expiring 2/7/2022 (Canada) *		445,000		18,690
TOTAL WARRANTS (Cost $675,897)				13,399,480
		NO. OF UNITS
SECURITIES IN LITIGATION - 0.1%
Health Care Equipment & Services - 0.1%
DEMC, Ltd.,Class A-1 (3)*(c)(d)		12,969		—
DEMC, Ltd.,Class A-2 (3)*(c)(d)		368,190,309		243,006
DEMC, Ltd.,Class B-1 (3)*(c)(d)		10,488		—
DEMC, Ltd.,Class B-2 (3)*(c)(d)		513,897,326		514
				243,520
Software - 0.0% (b)
TimeGate Studios, Inc. (3)*(c)(d)(i)		3,591,250		201,735
TOTAL SECURITIES IN LITIGATION (Cost $4,086,015)				445,255

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

34

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 31.7%
INVESTMENT COMPANIES - 26.3%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (l)(m)		14,738,377		$	14,738,377
Limited Purpose Cash Investment Fund, 2.36% (l)		103,860,178			103,880,949
UBS Select Treasury Preferred Fund, Class I, 2.23% (l)		8,636,700			8,636,700
TOTAL INVESTMENT COMPANIES (Cost $127,226,723)					127,256,026
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 5.4%
U.S. Treasury Bills
2.45%, 7/5/2019 (2)(n)(o)	$	6,000,000			5,998,700
2.47%, 7/11/2019 (2)(n)(o)		6,000,000			5,996,788
2.49%, 7/18/2019 (2)(n)(o)		6,000,000			5,994,188
2.47%, 8/8/2019 (2)(n)(o)		1,186,000			1,183,420
2.48%, 8/15/2019 (2)(a)(n)(o)		3,050,000			3,042,022
2.14%, 11/21/2019 (2)(a)(n)(o)		1,000,000			991,817
2.14%, 11/29/2019 (2)(n)(o)		1,000,000			991,339
2.13%, 12/5/2019 (2)(a)(n)(o)		1,000,000			991,223
2.15%, 12/12/2019 (2)(a)(n)(o)		1,070,000			1,060,074
TOTAL U.S. TREASURY OBLIGATIONS (Cost $26,244,051)					26,249,571
TOTALSHORT-TERM INVESTMENTS (Cost $153,470,774)					153,505,597
TOTAL LONG POSITIONS (Cost $599,388,508)					595,503,408
		SHARES
SHORT POSITIONS - (34.7)%
COMMON STOCKS - (31.8)%
Aerospace & Defense - (1.5)%
Harris Corp.		(28,780	)		(5,443,161	)
United Technologies Corp.		(14,224	)		(1,851,965	)
					(7,295,126	)
Air Freight & Logistics - (0.1)%
Atlas Air Worldwide Holdings, Inc. *		(8,165	)		(364,486	)
Auto Components - (0.1)%
Veoneer, Inc. (Sweden) *		(22,230	)		(384,801	)
Automobiles - (0.3)%
Tesla, Inc. *		(6,899	)		(1,541,651	)
Banks - (1.5)%
Ameris Bancorp		(3,846	)		(150,725	)
BB&T Corp.		(113,048	)		(5,554,048	)
Chemical Financial Corp.		(28,438	)		(1,169,086	)
Prosperity Bancshares, Inc.		(7,582	)		(500,791	)
Valley National Bancorp		(2,540	)		(27,381	)
					(7,402,031	)

INVESTMENTS	SHARES			VALUE
Biotechnology - (1.1)%
AbbVie, Inc.		(25,140	)	$	(1,828,181	)
Clovis Oncology, Inc. *		(2,599	)		(38,647	)
Exact Sciences Corp. *		(20	)		(2,361	)
Inovio Pharmaceuticals, Inc. *		(200,483	)		(589,420	)
Intercept Pharmaceuticals, Inc. *		(4,246	)		(337,854	)
Karyopharm Therapeutics, Inc. *		(65,251	)		(390,853	)
Ligand Pharmaceuticals, Inc. *		(290	)		(33,104	)
OPKO Health, Inc. *		(679,515	)		(1,658,017	)
Verastem, Inc. *		(396,050	)		(598,035	)
					(5,476,472	)
Capital Markets - (0.7)%
Ares Capital Corp.		(19,665	)		(352,790	)
Hercules Capital, Inc.		(6,718	)		(86,125	)
New Mountain Finance Corp.		(61,717	)		(862,187	)
Penson Worldwide, Inc. (3)*(c)		(217,523	)		—
Prospect Capital Corp.		(18,272	)		(119,316	)
TPG Specialty Lending, Inc.		(29,414	)		(576,514	)
Virtus Investment Partners, Inc.		(11,772	)		(1,264,313	)
					(3,261,245	)
Commercial Services & Supplies - (0.2)%
US Ecology, Inc.		(20,000	)		(1,190,800	)
Communications Equipment - (0.1)%
Infinera Corp. *		(55,135	)		(160,443	)
InterDigital, Inc.		(1,061	)		(68,328	)
					(228,771	)
Construction & Engineering - 0.0% (b)
Limbach Holdings, Inc. *		(10,000	)		(91,000	)
Consumer Finance - (0.1)%
EZCORP, Inc., Class A *		(32,233	)		(305,247	)
Containers & Packaging - 0.0% (b)
Ranpak Holdings Corp. *		(4,413	)		(39,055	)
Diversified Consumer Services - (0.4)%
Chegg, Inc. *		(13,965	)		(538,909	)
OneSpaWorld Holdings Ltd. *		(99,990	)		(1,549,845	)
					(2,088,754	)
Diversified Financial Services - (0.3)%
AXA Equitable Holdings, Inc.		(32,205	)		(673,084	)
Element Fleet Management Corp. (Canada)		(40,622	)		(296,549	)
Voya Financial, Inc.		(12,585	)		(695,951	)
					(1,665,584	)
Electrical Equipment - (1.4)%
Enphase Energy, Inc. *		(333,033	)		(6,071,192	)
Plug Power, Inc. *		(341,508	)		(768,393	)
					(6,839,585	)
Electronic Equipment, Instruments & Components - (0.2)%
II-VI, Inc. *		(19,624	)		(717,453	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

35

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Energy Equipment & Services - (0.5)%
Helix Energy Solutions Group, Inc. *		(82,576	)	$	(712,631	)
Keane Group, Inc. *		(13,049	)		(87,689	)
National Energy Services Reunited Corp. *		(104,992	)		(913,430	)
SEACOR Holdings, Inc. *		(6,021	)		(286,058	)
US Well Services, Inc. *		(116,613	)		(562,075	)
					(2,561,883	)
Entertainment - (0.3)%
iQIYI, Inc., ADR (China) *		(12,012	)		(248,048	)
Kew Media Group, Inc., Class B (Canada) *		(5,000	)		(21,305	)
Live Nation Entertainment, Inc. *		(14,611	)		(967,979	)
					(1,237,332	)
Equity Real Estate Investment Trusts (REITs) - (0.2)%
Cousins Properties, Inc.		(100	)		(3,617	)
Innovative Industrial Properties, Inc.		(4,599	)		(568,253	)
iStar, Inc.		(2,301	)		(28,579	)
Park Hotels & Resorts, Inc.		(1,040	)		(28,662	)
QTS Realty Trust, Inc., Class A		(12,152	)		(561,179	)
					(1,190,290	)
Gas Utilities - (0.1)%
South Jersey Industries, Inc.		(14,215	)		(479,472	)
Health Care Equipment & Supplies - 0.0%
China Medical Technologies, Inc., ADR (China) (3)*(c)		(40,234	)		—
Health Care Providers & Services - (1.5)%
Anthem, Inc.		(17,773	)		(5,015,719	)
Centene Corp. *		(43,203	)		(2,265,565	)
					(7,281,284	)
Hotels, Restaurants & Leisure - (0.3)%
Eldorado Resorts, Inc. *		(28,841	)		(1,328,705	)
Target Hospitality Corp. *		(23,467	)		(213,550	)
					(1,542,255	)
Insurance - (0.1)%
HCI Group, Inc.		(6,285	)		(254,354	)
Interactive Media & Services - (0.5)%
IAC/InterActiveCorp *		(2,719	)		(591,464	)
Twitter, Inc. *		(10,838	)		(378,246	)
Weibo Corp., ADR (China) *		(26,394	)		(1,149,459	)
Zillow Group, Inc., Class C *		(6,597	)		(306,035	)
					(2,425,204	)
Internet & Direct Marketing Retail - (4.7)%
Alibaba Group Holding Ltd., ADR (China) *		(106,091	)		(17,977,120	)
Expedia Group, Inc.		(11,924	)		(1,586,250	)
MercadoLibre, Inc. (Argentina) *		(2,368	)		(1,448,671	)
Quotient Technology, Inc. *		(20,387	)		(218,956	)
Wayfair, Inc., Class A *		(10,874	)		(1,587,604	)
					(22,818,601	)

INVESTMENTS	SHARES			VALUE
IT Services - (3.5)%
Fidelity National Information Services, Inc.		(36,836	)	$	(4,519,041	)
Fiserv, Inc. *		(26,024	)		(2,372,348	)
Global Payments, Inc.		(34,149	)		(5,468,279	)
KBR, Inc.		(24,429	)		(609,259	)
MongoDB, Inc. *		(12,964	)		(1,971,695	)
Square, Inc., Class A *		(10,595	)		(768,455	)
Verra Mobility Corp. *		(80,785	)		(1,057,476	)
					(16,766,553	)
Life Sciences Tools & Services - (0.3)%
Avantor, Inc. *		(64,681	)		(1,234,760	)
Machinery - (0.5)%
Blue Bird Corp. *		(45,043	)		(886,897	)
Colfax Corp. *		(28,018	)		(785,345	)
Fortive Corp.		(7,889	)		(643,111	)
Rexnord Corp. *		(8,651	)		(261,433	)
					(2,576,786	)
Media - (0.6)%
New York Times Co. (The), Class A		(82,523	)		(2,691,900	)
Sirius XM Holdings, Inc.		(39,548	)		(220,678	)
					(2,912,578	)
Metals & Mining - (1.0)%
Allegheny Technologies, Inc. *		(145,554	)		(3,667,961	)
Cleveland-Cliffs, Inc.		(86,820	)		(926,369	)
Endeavour Mining Corp. (Ivory Coast) *		(5,232	)		(85,299	)
					(4,679,629	)
Mortgage Real Estate Investment Trusts (REITs) - (0.6)%
Apollo Commercial Real Estate Finance, Inc.		(36,697	)		(674,858	)
Blackstone Mortgage Trust, Inc., Class A		(28,240	)		(1,004,779	)
Granite Point Mortgage Trust, Inc.		(20,419	)		(391,841	)
Redwood Trust, Inc.		(63,544	)		(1,050,382	)
					(3,121,860	)
Multi-Utilities - (0.4)%
CenterPoint Energy, Inc.		(45,979	)		(1,316,379	)
Sempra Energy		(4,369	)		(600,475	)
					(1,916,854	)
Oil, Gas & Consumable Fuels - (1.1)%
Altus Midstream Co., Class A *		(29,043	)		(108,040	)
Chesapeake Energy Corp. *		(27,187	)		(53,015	)
DHT Holdings, Inc.		(171,239	)		(1,012,023	)
Falcon Minerals Corp.		(75,000	)		(630,000	)
Green Plains, Inc.		(92,703	)		(999,338	)
Magnolia Oil & Gas Corp., Class A *		(48,333	)		(559,696	)
Occidental Petroleum Corp.		(9,939	)		(499,733	)
Rosehill Resources, Inc. *		(20,066	)		(74,244	)
Scorpio Tankers, Inc. (Monaco)		(24,899	)		(735,018	)
Ship Finance International Ltd. (Norway)		(47,103	)		(589,259	)
					(5,260,366	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

36

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENTS	SHARES			VALUE
Pharmaceuticals - (0.5)%
Bristol-Myers Squibb Co.		(33,491	)	$	(1,518,817	)
Omeros Corp. *		(61,447	)		(964,103	)
					(2,482,920	)
Professional Services - (0.2)%
Clarivate Analytics plc *		(59,940	)		(921,877	)
Real Estate Management & Development - (0.1)%
Jones Lang LaSalle, Inc.		(4,142	)		(582,738	)
Road & Rail - (0.3)%
Daseke, Inc. *		(32,130	)		(115,668	)
DSV A/S (Denmark) (2)		(14,095	)		(1,387,935	)
					(1,503,603	)
Semiconductors & Semiconductor Equipment - (3.4)%
Cree, Inc. *		(10,130	)		(569,103	)
Lam Research Corp.		(74,207	)		(13,939,043	)
Microchip Technology, Inc.		(22,475	)		(1,948,582	)
Nanometrics, Inc. *		(3,453	)		(119,854	)
					(16,576,582	)
Software - (1.7)%
8x8, Inc. *		(22,123	)		(533,164	)
Atlassian Corp. plc, Class A *		(3,649	)		(477,435	)
Benefitfocus, Inc. *		(5,649	)		(153,370	)
Coupa Software, Inc. *		(2,907	)		(368,055	)
FireEye, Inc. *		(11,117	)		(164,643	)
Guidewire Software, Inc. *		(1,141	)		(115,675	)
Pluralsight, Inc., Class A *		(16,101	)		(488,182	)
Rapid7, Inc. *		(7,983	)		(461,737	)
Rimini Street, Inc. *		(10,000	)		(53,000	)
salesforce.com, Inc. *		(29,806	)		(4,522,465	)
Splunk, Inc. *		(5,735	)		(721,176	)
					(8,058,902	)
Specialty Retail - (0.2)%
Guess?, Inc.		(16,407	)		(264,973	)
RH *		(5,287	)		(611,177	)
					(876,150	)
Technology Hardware, Storage & Peripherals - (0.2)%
NCR Corp. *		(17,870	)		(555,757	)
Pure Storage, Inc., Class A *		(14,545	)		(222,102	)
					(777,859	)
Wireless Telecommunication Services - (1.0)%
Gogo, Inc. *		(193,114	)		(768,594	)
T-Mobile US, Inc. *		(56,901	)		(4,218,640	)
					(4,987,234	)
TOTAL COMMON STOCKS (Proceeds $(136,337,967))					(153,919,987	)

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
CONVERTIBLE BONDS - (2.9)%
Biotechnology - (0.5)%
BioMarin Pharmaceutical, Inc.
1.50%, 10/15/2020 (2)	$	(1,275,000	)	$	(1,429,594	)
0.60%, 8/1/2024 (2)		(875,000	)		(908,359	)
Intercept Pharmaceuticals, Inc. 3.25%, 7/1/2023 (2)		(100,000	)		(89,162	)
					(2,427,115	)
Energy Equipment & Services - (0.3)%
Oil States International, Inc. 1.50%, 2/15/2023 (2)		(1,275,000	)		(1,133,995	)
Transocean, Inc. 0.50%, 1/30/2023 (2)		(250,000	)		(247,318	)
					(1,381,313	)
Health Care Equipment & Supplies - (0.2)%
Insulet Corp. 1.38%, 11/15/2024 (2)		(500,000	)		(709,704	)
Internet & Direct Marketing Retail - (1.0)%
Booking Holdings, Inc. 0.90%, 9/15/2021 (2)		(900,000	)		(1,029,508	)
IAC Financeco 2, Inc. 0.88%, 6/15/2026 (2)(e)		(450,000	)		(452,077	)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (2)(e)		(950,000	)		(948,366	)
Wayfair, Inc. 0.38%, 9/1/2022 (2)		(1,650,000	)		(2,497,543	)
					(4,927,494	)
IT Services - (0.4)%
Akamai Technologies, Inc. 0.13%, 5/1/2025 (2)		(100,000	)		(106,830	)
Euronet Worldwide, Inc. 0.75%, 3/15/2049 (2)(e)		(250,000	)		(303,418	)
Square, Inc. 0.50%, 5/15/2023 (2)		(1,200,000	)		(1,432,016	)
					(1,842,264	)
Life Sciences Tools & Services - (0.5)%
Illumina, Inc.
0.50%, 6/15/2021(2)		(1,100,000	)		(1,696,493	)
0.00%, 8/15/2023 (2)(e)		(800,000	)		(923,159	)
					(2,619,652	)
Pharmaceuticals - 0.0% (b)
Jazz Investments I Ltd.
1.50%, 8/15/2024(2)		(175,000	)		(172,394	)
TOTAL CONVERTIBLE BONDS (Proceeds $(14,195,827))					(14,079,936	)
TOTAL SHORT POSITIONS (Proceeds $(150,533,794))					(167,999,923	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 88.2% (Cost $448,854,714)					427,503,485
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.8% (p)				57,154,701
NET ASSETS - 100.0%				$	484,658,186

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

37

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	12,700,659			2.6	%
Consumer Discretionary		(969,525	)		(0.2	)
Consumer Staples		3,344,311			0.7
Energy		11,945,473			2.5
Financials		169,197,633			34.9
Health Care		28,458,733			5.9
Industrials		8,265,531			1.7
Information Technology		26,544,880			5.4
Materials		4,547,671			0.9
Real Estate		4,841,578			1.0
Utilities		5,120,944			1.1
Short-Term Investments		153,505,597			31.7
Total Investments In Securities At Value		427,503,485			88.2
Other Assets in Excess of Liabilities (p)		57,154,701			11.8
Net Assets	$	484,658,186			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $203,147,115. In addition, $58,317,559 of cash collateral was pledged.

(b) Represents less than 0.05% of net assets.

(c) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $10,244,947, which represents approximately 2.11% of net assets of the fund.

(d) Restricted Security.

(e) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $63,522,833, which represents approximately 13.11% of net assets of the fund.

(f) Perpetual security. The rate reflected was the rate in effect on June 30, 2019. The maturity date reflects the next call date.

(g) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates

and prepayments on the underlying pool of assets. See Notes to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2019.

(h) Payment in-kind security.

(i) Defaulted security.

(j) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of June 30, 2019.

(k) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of June 30, 2019.

(l) Represents 7-day effective yield as of June 30, 2019.

(m) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(n) The rate shown was the effective yield at the date of purchase.

(o) All or a portion of the security pledged as collateral for swap contracts.

(p) Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All bonds are denominated in US dollars, unless noted otherwise.

All securities are United States companies, unless noted otherwise in parentheses.

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).

Abbreviations

ADR - American Depositary Receipt

CVR - Contingent Value Rights

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

ICE - Intercontinental Exchange

LIBOR - London Interbank Offered Rate

Credit default swap contracts outstanding - buy protection as of June 30, 2019:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE PAID			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD				NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Markit CDX North America High Yield Index Series 32.V1		5.00	%	Quarterly	6/20/2024		3.26	%	USD		12,800,000		$(749,053	)		$(227,199	)		$(976,252	)
Markit CDX North America Investment Grade Index Series 32.V1		1.00		Quarterly	6/20/2024		0.55		USD		100,000		(1,743	)		(411	)		(2,154	)
													$(750,796	)		$(227,610	)		$(978,406	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

38

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts
S&P 500E-Mini Index		(266	)		9/2019	USD		$(39,157,860	)		$(584,072	)
U.S. Treasury 10 Year Note		(69	)		9/2019	USD		(8,829,844	)		(181,401	)
U.S. Treasury 2 Year Note		(284	)		9/2019	USD		(61,111,031	)		(332,812	)
U.S. Treasury 5 Year Note		(139	)		9/2019	USD		(16,423,719	)		(206,102	)
											$(1,304,387	)

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	3,622,329	USD	2,689,594	CITI		9/18/2019		$80,506
CAD	10,318	USD	7,705	JPMC		9/18/2019		186
EUR	663,116	USD	749,787	CITI		9/18/2019		8,987
EUR	382,429	USD	432,286	JPMC		9/18/2019		5,311
GBP	9,000	USD	11,402	CITI		9/18/2019		68
SEK	1,016,465	USD	107,259	CITI		9/18/2019		2,822
SEK	1,016,470	USD	107,260	JPMC		9/18/2019		2,822
USD	24,163	GBP	18,914	CITI		9/18/2019		58
USD	24,175	GBP	18,918	JPMC		9/18/2019		64
Total unrealized appreciation								100,824
GBP	5,000	USD	6,385	CITI		9/18/2019		(12	)
USD	3,751,495	CAD	5,021,577	CITI		9/18/2019		(88,650	)
USD	3,298,111	CAD	4,416,836	JPMC		9/18/2019		(79,572	)
USD	826,070	EUR	729,972	CITI		9/18/2019		(9,204	)
USD	590,774	EUR	522,780	JPMC		9/18/2019		(7,419	)
USD	44,745	GBP	35,214	CITI		9/18/2019		(135	)
USD	32,055	GBP	25,224	JPMC		9/18/2019		(92	)
USD	107,225	SEK	1,016,465	CITI		9/18/2019		(2,856	)
USD	107,226	SEK	1,016,470	JPMC		9/18/2019		(2,857	)
Total unrealized depreciation								(190,797	)
Net unrealized depreciation								$(89,973	)

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

SEK - Swedish Krona

USD- United States Dollar

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

39

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-1.00% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap.	24-25 months maturity ranging from 09/25/2020 - 07/26/2021		$1,204,368		$(60,354	)		$11,252			$(49,102	)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (1.25%), which is denominated in USD based on the local currencies of the positions within the swap.	24 months maturity 09/25/2020		$330,225		$(31,399	)		$(78,332	)		$(109,731	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Overnight Bank Funding Rate (“OBFR”) plus or minus a specified spread (0.04%), which is denominated in USD based on the local currencies of the positions within the swap.	86 months maturity 09/30/2021		$221,467		$28,325			$(176	)		$28,149
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread(-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	51-61 months maturity ranging from 08/09/2023 - 06/25/2024		$1,909,355		$(119,600	)		$45,716			$(73,884	)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread(-0.03% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	61 months maturity 10/23/2023		$2,767,515		$51,806			$(1,187	)		$50,619
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.	61 months maturity ranging from 11/22/2023 - 06/28/2024		$4,722,535		$34,789			$(2,465	)		$32,324

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

40

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

BANA

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread(-0.35% to 0.40%), which is denominated in EUR based on the local currencies of the positions within the swap.

24-25 months maturity ranging from 09/25/2020 - 06/25/2021

$8,747,538

$(214,315

)

$19,652

$(194,663

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	PRINCIPAL			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Convertible Bond
Germany
Bayer Capital Corp. BV, 5.63%, 11/22/2019	$	5,000,000		$	4,550,546		$	(670,291	)		344.3	%
	SHARES
Short Positions
Common Stock
Germany
Bayer AG (Registered)		(60,510	)		(4,196,992	)		455,976			(234.2	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-4.75% to 0.85%), which is denominated in USD based on the local currencies of the positions within the swap.	12-65 months maturity ranging from 08/26/2019 - 07/11/2024		$85,278,983		$(1,587,809	)		$(159,028	)		$(1,746,837	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	PRINCIPAL		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Convertible Bond
United States
AMAG Pharmaceuticals, Inc., 3.25%, 6/1/2022	$	1,600,000	$	1,284,586	$	(458,914	)		26.3	%
Gannett Co., Inc., 4.75%, 4/15/2024		3,275,000		3,334,337		(182,584	)		10.5
Hope Bancorp, Inc., 2.00%, 5/15/2038		3,600,000		3,300,241		(139,167	)		8.0
Innoviva, Inc., 2.13%, 1/15/2023		1,475,000		1,561,190		138,986			(8.0	)
Innoviva, Inc., 2.50%, 8/15/2025		1,000,000		1,111,041		57,550			(3.3	)
Intel Corp., 3.25%, 8/1/2039		14,450,000		34,183,603		(2,400,184	)		137.4

The accompanying notes are an integral part of these financial statements. (Continued)

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41

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	PRINCIPAL			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Invacare Corp., 4.50%, 6/1/2022	$	2,550,000		$	1,902,544		$	(1,369,863	)		78.4	%
Paratek Pharmaceuticals, Inc., 4.75%, 5/1/2024		1,950,000			1,326,225			(585,660	)		33.5
	SHARES
Short Positions
Common Stock
Brazil
Gol Linhas Aereas Inteligentes SA, ADR		(39,506	)		(666,861	)		(20,159	)		1.2
United States
AMAG Pharmaceuticals, Inc.		(10,541	)		(105,305	)		14,391			(0.8	)
Gannett Co., Inc.		(81,014	)		(661,074	)		161,384			(9.2	)
Hope Bancorp, Inc.		(25,964	)		(357,784	)		(2,654	)		0.2
Innoviva, Inc.		(75,450	)		(1,098,552	)		78,417			(4.5	)
Intel Corp.		(713,100	)		(34,136,097	)		3,045,576			(174.3	)
Invacare Corp.		(18,853	)		(97,847	)		26,758			(1.5	)
Paratek Pharmaceuticals, Inc.		(38,019	)		(151,696	)		48,314			(2.8	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	55-61 months maturity ranging from 04/12/2023 - 03/21/2024		$10,216,181		$74,191		$3,992		$78,183

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United Kingdom
Amcor plc		75,316	$	865,381	$	72,790			93.1	%
United States
A Schulman, Inc. (a)		5,231		2,739		(1,517	)		(1.9	)
Avista Corp.		16,954		756,148		(113,592	)		(145.3	)
Connecticut Water Service, Inc.		5,030		350,692		352			0.5
CorePoint Lodging, Inc.		6,546		81,105		81,104			103.7
Fox Corp.		14,298		523,879		14,315			18.3
Genworth Financial, Inc.		174,790		648,471		148,571			190.0
Pacific Biosciences of California, Inc.		141,196		854,236		(232,973	)		(298.0	)
Red Hat, Inc.		9,635		1,809,068		90,569			115.8
Stewart Information Services Corp.		48,965		1,982,593		(152,949	)		(195.6	)
Tribune Media Co.		23,696		1,095,229		231,313			295.9

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

42

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
United States
Fidelity National Financial, Inc.		(30,934	)	$	(1,246,640	)	$	(63,792	)		(81.6	) %

(a) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.11%), which is denominated in USD based on the local currencies of the positions within the swap.	57-61 months maturity ranging from 12/01/2023 - 12/13/2023		$34,862,061		$2,286,544		$38,225		$2,324,769

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
China
Longevity Acquisition Corp.		125,000	$	1,262,500	$	48,125			2.1	%
Hong Kong
New Frontier Corp.		100,000		1,007,000		40,000			1.7
TKK Symphony Acquisition Corp.		150,000		1,501,500		39,000			1.7
Mexico
Opes Acquisition Corp.		150,000		1,539,000		50,250			2.2
United Kingdom
Twelve Seas Investment Co.		150,000		1,522,500		57,000			2.5
United States
Allegro Merger Corp.		150,000		1,503,000		45,750			2.0
ChaSerg Technology Acquisition Corp.		150,000		1,506,000		58,500			2.5
Far Point Acquisition Corp.		150,000		1,528,500		81,000			3.5
Forum Merger II Corp.		150,000		1,506,000		58,500			2.5
Gores Holdings III, Inc.		150,000		1,507,500		64,500			2.8
Graf Industrial Corp.		150,000		1,492,500		51,000			2.2
HL Acquisitions Corp.		54,000		543,780		6,480			0.3
LF Capital Acquisition Corp.		140,000		1,421,000		56,000			2.4
Megalith Financial Acquisition Corp.		150,000		1,506,000		52,500			2.3
OneSpaWorld Holdings Ltd.		99,990		468,953		391,751			16.9
Pure Acquisition Corp.		150,000		1,521,000		49,500			2.1
Spartan Energy Acquisition Corp.		150,000		1,500,000		60,000			2.6
Tenzing Acquisition Corp.		150,000		1,533,000		22,500			1.0
Tiberius Acquisition Corp.		150,000		1,525,500		78,000			3.4
Trinity Merger Corp.		100,000		1,030,000		36,000			1.5
US Well Services, Inc.		70,293		338,812		(7,516	)		(0.3	)
VectoIQ Acquisition Corp.		150,000		1,519,500		63,000			2.7

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

43

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	NO. OF WARRANTS		��	NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Warrant
United Kingdom
Leo Holdings Corp., expiring 4/5/2023		125,000		$	156,250	$	10,000			0.4	%
United States
Blue Bird Corp., expiring 2/24/2020		53,842			216,983		17,768			0.8
Capitol Investment Corp. IV, expiring 1/1/2025		83,334			115,834		14,167			0.6
Clarivate Analytics plc, expiring 10/29/2023		77,500			368,125		294,500			12.7
DFB Healthcare Acquisitions Corp., expiring 4/3/2023		66,667			83,334		1,333			0.1
Exela Technologies, Inc., expiring 7/12/2022		930,354			251,196		102,339			4.4
Falcon Minerals Corp., expiring 8/23/2023		250,000			237,500		67,500			2.9
Forum Merger II Corp., expiring 9/30/2025		180,000			115,110		26,010			1.1
Inspired Entertainment, Inc., expiring 12/23/2021		636,986			509,589		318,493			13.7
KBL Merger Corp. IV, expiring 1/15/2024		500,000			80,000		31,600			1.4
Legacy Acquisition Corp., expiring 11/30/2022		250,000			80,000		(7,500	)		(0.3	)
Leisure Acquisition Corp., expiring 12/28/2022 (a)		125,000			81,250		(18,750	)		(0.8	)
Limbach Holdings, Inc., expiring 7/20/2021		168,252			100,951		20,089			0.9
Magnolia Oil & Gas Corp., expiring 7/31/2023		83,334			278,336		16,667			0.7
Modern Media Acquisition Corp., expiring 6/7/2022		425,000			102,000		(54,400	)		(2.3	)
Mudrick Capital Acquisition Corp., expiring 3/12/2025		250,000			122,500		(1,000	)		(0.0	)
National Energy Services Reunited Corp., expiring 6/6/2023		409,500			348,075		(184,275	)		(7.9	)
NextDecade Corp., expiring 7/24/2022 (a)		547,771			279,363		125,987			5.4
NRC Group Holdings Corp., expiring 10/17/2023		187,500			309,638		174,169			7.5
Purple Innovation, Inc., expiring 2/2/2023		384,000			114,816		49,536			2.1
Ranpak Holdings Corp., expiring 6/3/2024		125,000			150,000		32,500			1.4
Rimini Street, Inc., expiring 9/30/2022 (a)		471,690			221,694		(84,904	)		(3.7	)
Rosehill Resources, Inc., expiring 4/27/2022		244,800			117,504		28,274			1.2
Sirius International Insurance Group Ltd., expiring 11/5/2023		286,625			171,975		(114,650	)		(4.9	)
Thunder Bridge Acquisition Ltd., expiring 7/17/2022		180,000			363,600		298,800			12.9
Trinity Merger Corp., expiring 5/31/2023		250,000			82,250		(2,750	)		(0.1	)
VectoIQ Acquisition Corp., expiring 6/11/2023		180,000			84,600		14,040			0.6
Verra Mobility Corp., expiring 10/17/2023		66,667			270,001		156,667			6.7

(a) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees.

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

44

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	13 months maturity ranging from 01/13/2020 - 07/29/2020		$26,972,022		$(117,641	)		$(43,781	)		$(161,422	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Advanced Disposal Services, Inc.		47,375	$	1,511,736	$	(15,966	)		9.9	%
Array BioPharma, Inc.		76,126		3,526,918		(12,345	)		7.6
Control4 Corp.		7,132		169,385		(1,402	)		0.9
Cray, Inc.		3,200		111,424		(2,699	)		1.7
Cypress Semiconductor Corp.		171,910		3,823,278		9,420			(5.8	)
El Paso Electric Co.		10,400		680,160		(10,944	)		6.8
Electronics For Imaging, Inc.		10,000		369,100		(7,843	)		4.9
International Speedway Corp.		8,250		370,342		(1,410	)		0.9
Medidata Solutions, Inc.		18,500		1,674,435		(15,908	)		9.9
Mellanox Technologies Ltd.		31,068		3,438,296		(199,922	)		123.9
Red Hat, Inc.		100		18,776		1,242			(0.8	)
Shutterfly, Inc.		16,495		833,822		2,586			(1.6	)
Sotheby’s		27,030		1,571,254		59,142			(36.6	)
WABCO Holdings, Inc.		41,718		5,531,807		75,550			(46.8	)
WageWorks, Inc.		17,600		893,904		3,286			(2.0	)
Zayo Group Holdings, Inc.		74,366		2,447,385		(428	)		0.3

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

45

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

JPMC

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-1.00% to 0.30%), which is denominated in USD based on the local currencies of the positions within the swap.

11-61 months maturity ranging from 07/08/2019 - 07/03/2023

$27,212,732

$(3,863,030

)

$54,475

$(3,808,555

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
Penson Technologies LLC, Class B Shares (a)		9,326,216		$	100,350		$	100,341			(2.6	)%
China
Alibaba Group Holding Ltd., ADR		47,129			7,986,009			(617,432	)		16.2
SINA Corp.		26,694			1,151,312			(2,102,954	)		55.2
United States
Altaba, Inc.		212,645			14,751,184			(648,700	)		17.0
Black Knight, Inc.		4,848			291,607			56,479			(1.5	)
Brighthouse Financial, Inc.		1,948			71,472			(33,447	)		0.9
Cars.com, Inc.		7,788			153,579			(78,347	)		2.1
CONSOL Energy, Inc.		13,221			351,811			(27,500	)		0.7
Delphi Technologies plc		17,950			359,000			(517,498	)		13.6
FHLMC		78,659			204,513			80,232			(2.1	)
FNMA		27,686			74,669			29,541			(0.8	)
Genworth Financial, Inc.		51,097			189,570			(4,599	)		0.1
Hamilton Beach Brands Holding Co.		21,791			415,119			(113,531	)		3.0
Short Positions
Common Stock
United States
GoPro, Inc.		(65,480	)		(357,521	)		20,299			(0.5	)
Intrexon Corp.		(98,566	)		(755,016	)		(5,914	)		0.2

(a) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees.

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

46

Schedule of Investments June 30, 2019 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Cash		$120,000			$—		$120,000
Investment Companies		6,604,672			—		6,604,672
BARC
Cash		—			2,408,592		2,408,592
CITG
Cash		—			1,383,053		1,383,053
Investment Companies		—			33,834		33,834
DTBK
Cash		132,733			—		132,733
GSIN
Cash		(1,568,591	)		—		(1,568,591	)
U.S. Treasury Bills		24,305,712			—		24,305,712
JPMC
Cash		(370,000	)		—		(370,000	)
Investment Companies		8,099,870			—		8,099,870
JPMS
Cash		—			807,447		807,447

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

47

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 141.5%
COMMON STOCKS - 38.7%
Belgium - 1.9%
Ageas (a)		92,888	$	4,833,922
bpost SA (a)		67,450		640,054
Solvay SA (a)		6,573		682,611	��
UCB SA (a)		39,685		3,293,443
				9,450,030
Canada - 4.4%
Air Canada (1)*(a)		159,281		4,827,509
Alimentation Couche-Tard, Inc., Class B (1)(a)		10,313		648,997
Atco Ltd., Class I (1)(a)		14,042		473,303
Canadian Imperial Bank of Commerce (1)(a)		10,554		829,942
Canadian Pacific Railway Ltd. (1)(a)		3,342		787,120
Canadian Tire Corp. Ltd., Class A (1)(a)		8,053		877,402
CI Financial Corp. (1)(a)		20,226		329,596
Cronos Group, Inc. (1)*(a)		13,076		209,787
Empire Co. Ltd., Class A (1)(a)		73,371		1,847,792
Finning International, Inc. (1)(a)		42,053		766,527
George Weston Ltd. (1)(a)		2,993		227,112
Gildan Activewear, Inc. (1)(a)		14,573		563,980
Husky Energy, Inc. (1)(a)		43,499		412,220
iA Financial Corp., Inc. (1)(a)		7,148		291,149
Linamar Corp. (1)(a)		22,104		825,049
Loblaw Cos. Ltd. (1)(a)		2,457		125,800
Magna International, Inc. (1)(a)		49,695		2,472,701
Methanex Corp. (1)(a)		39,419		1,789,515
National Bank of Canada (1)(a)		9,507		451,629
Quebecor, Inc., Class B (1)(a)		10,995		261,872
Teck Resources Ltd., Class B (1)(a)		21,990		507,455
Thomson Reuters Corp. (1)		5,563		358,873
West Fraser Timber Co. Ltd. (1)(a)		34,881		1,590,161
				21,475,491
China - 0.3%
Yangzijiang Shipbuilding Holdings Ltd.		1,296,500		1,468,895
Denmark - 5.2%
Carlsberg A/S, Class B (a)		25,509		3,384,975
GN Store Nord A/S (a)		99,249		4,639,643
H Lundbeck A/S (a)		79,273		3,139,943
Novo Nordisk A/S, Class B (a)		57,087		2,915,845
Orsted A/S (a)(b)		51,531		4,457,896
Pandora A/S (a)		129,807		4,618,448
Rockwool International A/S, Class B (c)		8,697		2,224,994
Vestas Wind Systems A/S		915		79,270
				25,461,014
Finland - 2.4%
Cargotec OYJ, Class B (a)		3,828		145,455
Fortum OYJ (a)		45,528		1,006,243
Kesko OYJ, Class B (a)		22,053		1,225,896
Kone OYJ, Class B		2,753		162,574
Neste OYJ		201,276		6,842,870
Nokia OYJ (a)		55,923		278,541
Stora Enso OYJ, Class R (a)		12,621		148,520

INVESTMENTS	SHARES		VALUE
Finland - 2.4% (continued)
UPM-Kymmene OYJ (a)		63,072	$	1,678,158
				11,488,257
Germany - 0.6%
Aurubis AG (a)(c)		15,742		768,852
Deutsche Lufthansa AG (Registered) (a)		117,729		2,018,561
				2,787,413
Italy - 5.5%
A2A SpA (a)		1,935,440		3,359,770
Assicurazioni Generali SpA		13,421		252,685
Autogrill SpA (a)		47,912		502,534
Banca Generali SpA (c)		6,574		189,295
BPER Banca (a)		510,869		2,082,371
Enel SpA (a)		776,757		5,418,463
Eni SpA (a)		299,218		4,975,195
Hera SpA (a)		472,627		1,807,808
Italgas SpA (a)		348,712		2,343,671
Leonardo SpA (a)		131,483		1,668,063
Saipem SpA *(c)		144,808		722,645
Snam SpA (a)		92,223		458,793
UniCredit SpA		46,370		570,761
Unipol Gruppo SpA (a)		443,695		2,162,012
UnipolSai Assicurazioni SpA (a)		182,426		468,734
				26,982,800
Luxembourg - 0.2%
Aperam SA (a)		38,740		1,098,158
Malta - 0.3%
Kindred Group plc, SDR		175,982		1,493,983
Netherlands - 4.0%
Adyen NV *(a)(b)		1,453		1,120,823
Aegon NV (c)		68,940		342,456
ASM International NV (a)		20,345		1,320,442
ASR Nederland NV (a)		78,779		3,200,898
Koninklijke Ahold Delhaize NV		224,599		5,042,178
Koninklijke Philips NV (a)		21,792		947,428
NN Group NV (a)		50,936		2,047,571
Randstad NV (a)		3,894		213,714
Signify NV (a)(b)		99,293		2,929,658
Wolters Kluwer NV (a)		30,882		2,246,706
				19,411,874
Norway - 1.7%
Equinor ASA (a)		232,995		4,622,011
Leroy Seafood Group ASA (a)		240,678		1,594,471
Salmar ASA (a)		52,847		2,300,575
				8,517,057
Singapore - 0.4%
ComfortDelGro Corp. Ltd.		311,100		611,807
Genting Singapore Ltd.		1,735,100		1,180,486
				1,792,293
Spain - 3.7%
ACS Actividades de Construccion y Servicios SA (a)		45,210		1,808,807

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

48

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES		VALUE
Spain - 3.7% (continued)
Banco Bilbao Vizcaya Argentaria SA (a)		116,050	$	647,290
Endesa SA (a)(c)		269,574		6,933,597
Iberdrola SA (a)		56,022		557,765
Mapfre SA (a)		602,521		1,761,969
Mediaset Espana Comunicacion SA (a)		46,497		338,453
Naturgy Energy Group SA (a)		34,347		946,563
Red Electrica Corp. SA (a)		132,835		2,766,703
Repsol SA (a)		134,204		2,106,043
				17,867,190
Sweden - 3.0%
Axfood AB		15,937		315,555
Boliden AB		36,634		938,707
Electrolux AB, Series B (a)		94,041		2,410,603
Essity AB, Class B		64,947		1,997,992
Fingerprint Cards AB, Class B *		223,433		396,105
Holmen AB, Class B		18,742		400,380
Sandvik AB		4,510		82,876
Securitas AB, Class B (a)		42,505		746,070
Skanska AB, Class B (c)		36,420		658,072
Swedish Match AB (a)		45,175		1,909,921
Swedish Orphan Biovitrum AB *		154,279		2,977,293
Telefonaktiebolaget LM Ericsson, Class B		116,140		1,102,369
Telia Co. AB (a)		185,239		821,223
				14,757,166
Switzerland - 4.4%
Adecco Group AG (Registered) (a)		74,103		4,453,397
GAM Holding AG *		40,793		188,802
Georg Fischer AG (Registered) (a)		975		932,689
Helvetia Holding AG (Registered)		7,389		927,539
LafargeHolcim Ltd. (Registered) *		4,617		225,755
Nestle SA (Registered) (a)		3,535		365,951
Novartis AG (Registered) (a)		14,645		1,336,968
Roche Holding AG (a)		17,396		4,891,543
Sonova Holding AG (Registered) (a)		13,094		2,980,176
Swiss Life Holding AG (Registered) (c)		584		289,539
Temenos AG (Registered) *(a)		26,393		4,725,772
				21,318,131
United Kingdom - 0.2%
Fiat Chrysler Automobiles NV		14,802		205,429
Unilever NV, CVA		15,297		929,417
				1,134,846
United States - 0.5%
Bausch Health Cos., Inc. (1)*		13,892		350,496
BRP, Inc. (1)(a)		53,100		1,897,659
				2,248,155
TOTAL COMMON STOCKS (Cost $160,532,924)				188,752,753
SHORT-TERM INVESTMENTS - 102.8%
INVESTMENT COMPANIES - 22.7%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(d)(e)		3,844,527		3,844,527

INVESTMENTS	SHARES			VALUE
INVESTMENT COMPANIES - 22.7% (continued)
Limited Purpose Cash Investment Fund, 2.36% (1)(d)(f)		99,859,138		$	99,879,110
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(d)		6,892,413			6,892,413
TOTAL INVESTMENT COMPANIES (Cost $110,564,335)					110,616,050
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 80.1%
U.S. Treasury Bills
2.47%, 7/11/2019 (g)	$	29,000,000			28,984,473
2.49%, 7/18/2019 (g)		29,268,000			29,239,650
2.48%, 7/25/2019 (g)		27,387,000			27,351,397
2.48%, 8/1/2019 (g)		9,613,000			9,596,362
2.47%, 8/8/2019 (g)(h)		15,017,000			14,984,327
2.48%, 8/15/2019 (g)(h)		2,366,000			2,359,811
2.49%, 8/22/2019 (g)(h)		5,227,000			5,211,152
2.49%, 8/29/2019 (g)(h)		2,937,000			2,926,892
2.46%, 9/5/2019 (g)(h)		71,464,000			71,189,845
2.46%, 9/12/2019 (g)		71,464,000			71,165,117
2.47%, 9/19/2019 (g)(h)		71,464,000			71,134,048
2.42%, 10/10/2019 (g)(h)		13,175,000			13,097,562
2.42%, 10/17/2019 (g)(h)		34,911,000			34,696,559
2.42%, 10/31/2019 (g)(h)		8,785,000			8,724,787
TOTAL U.S. TREASURY OBLIGATIONS (Cost $390,414,160)					390,661,982
TOTALSHORT-TERM INVESTMENTS (Cost $500,978,495)					501,278,032
TOTAL LONG POSITIONS (Cost $661,511,419)					690,030,785
	SHARES
SHORT POSITIONS - (29.0)%
COMMON STOCKS - (29.0)%
Austria - (0.3)%
ams AG *		(35,705	)		(1,397,931	)
Belgium - (1.3)%
Anheuser-Busch InBev SA/NV		(41,418	)		(3,665,093	)
Umicore SA		(90,741	)		(2,912,026	)
					(6,577,119	)
Canada - (4.4)%
Agnico Eagle Mines Ltd. (1)		(26,584	)		(1,362,949	)
AltaGas Ltd. (1)		(103,365	)		(1,563,637	)
Barrick Gold Corp. (1)		(16,518	)		(260,721	)
BlackBerry Ltd. (1)*		(33,564	)		(250,151	)
Bombardier, Inc., Class B (1)*		(400,316	)		(672,517	)
Brookfield Asset Management, Inc., Class A (1)		(9,827	)		(470,132	)
Cameco Corp. (1)		(147,347	)		(1,579,743	)
CCL Industries, Inc., Class B (1)		(7,902	)		(387,512	)
Cenovus Energy, Inc. (1)		(203,729	)		(1,796,853	)
Dollarama, Inc. (1)		(8,691	)		(305,750	)
Element Fleet Management Corp. (1)		(166,290	)		(1,213,953	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

49

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

	SHARES
Canada - (4.4)% (continued)
Enbridge, Inc. (1)		(19,792	)	$	(714,873	)
Encana Corp. (1)		(90,693	)		(465,394	)
Franco-Nevada Corp. (1)		(5,727	)		(486,088	)
Keyera Corp. (1)		(17,290	)		(444,941	)
Onex Corp. (1)		(1,953	)		(117,802	)
PrairieSky Royalty Ltd. (1)		(104,578	)		(1,469,387	)
Restaurant Brands International, Inc. (1)		(2,852	)		(198,337	)
Saputo, Inc. (1)		(6,027	)		(180,412	)
Shopify, Inc., Class A (1)*		(1,082	)		(325,191	)
SNC-Lavalin Group, Inc. (1)		(45,752	)		(925,137	)
Stars Group, Inc. (The) (1)*		(51,609	)		(880,807	)
Suncor Energy, Inc. (1)		(2,860	)		(89,215	)
TC Energy Corp. (1)		(27,975	)		(1,386,841	)
Vermilion Energy, Inc. (1)		(8,780	)		(190,746	)
Wheaton Precious Metals Corp. (1)		(140,280	)		(3,392,514	)
Whitecap Resources, Inc. (1)		(133,137	)		(432,081	)
					(21,563,684	)
Chile - (0.1)%
Lundin Mining Corp. (1)		(59,943	)		(330,029	)
Denmark - (3.3)%
AP Moller - Maersk A/S, Class B		(3,764	)		(4,683,608	)
Chr Hansen Holding A/S		(25,879	)		(2,435,347	)
Dfds A/S		(22,122	)		(939,538	)
Drilling Co. of 1972 A/S (The) *		(3,877	)		(301,223	)
DSV A/S		(8,985	)		(884,753	)
Genmab A/S *		(34,198	)		(6,293,820	)
Novozymes A/S, Class B		(5,266	)		(245,537	)
Tryg A/S		(2,658	)		(86,493	)
					(15,870,319	)
Finland - (1.1)%
Huhtamaki OYJ		(61,726	)		(2,538,597	)
Outokumpu OYJ		(771,317	)		(2,637,092	)
					(5,175,689	)
France - (0.1)%
Adevinta ASA, Class A *		(33,107	)		(367,922	)
Germany - (0.3)%
OSRAM Licht AG		(47,356	)		(1,564,319	)
Italy - (3.3)%
Banco BPM SpA *		(404,304	)		(823,446	)
Buzzi Unicem SpA		(87,574	)		(1,778,089	)
Davide Campari-Milano SpA		(39,501	)		(386,978	)
Ferrari NV		(28,555	)		(4,629,896	)
Freni Brembo SpA		(184,874	)		(2,127,602	)
Pirelli & C SpA (b)		(469,318	)		(2,770,321	)
Prysmian SpA		(73,610	)		(1,520,910	)
Unione di Banche Italiane SpA		(730,738	)		(1,995,096	)
					(16,032,338	)
Luxembourg - (0.4)%
ArcelorMittal		(4,755	)		(85,057	)
Tenaris SA		(148,204	)		(1,943,813	)
					(2,028,870	)

INVESTMENTS	SHARES			VALUE
Netherlands - (2.3)%
Altice Europe NV *		(486,235	)	$	(1,741,528	)
ASML Holding NV		(7,004	)		(1,457,462	)
Boskalis Westminster		(60,833	)		(1,403,379	)
Koninklijke Vopak NV		(66,040	)		(3,041,187	)
OCI NV *		(51,755	)		(1,421,079	)
SBM Offshore NV		(123,379	)		(2,381,770	)
					(11,446,405	)
Norway - (1.2)%
Gjensidige Forsikring ASA		(14,623	)		(294,728	)
Schibsted ASA, Class A		(59,126	)		(1,633,166	)
Yara International ASA		(83,990	)		(4,080,298	)
					(6,008,192	)
Singapore - (0.7)%
City Developments Ltd.		(40,900	)		(286,502	)
Keppel Corp. Ltd.		(90,500	)		(445,929	)
Singapore Press Holdings Ltd.		(86,000	)		(155,121	)
Singapore Telecommunications Ltd.		(614,900	)		(1,591,556	)
Venture Corp. Ltd.		(16,200	)		(195,594	)
Wilmar International Ltd.		(223,000	)		(610,450	)
					(3,285,152	)
Spain - (3.7)%
Bankia SA		(1,310,877	)		(3,096,287	)
Bankinter SA		(18,225	)		(125,626	)
Cellnex Telecom SA *(b)		(168,606	)		(6,237,321	)
Ferrovial SA		(155,614	)		(3,983,503	)
Grifols SA		(162,798	)		(4,817,763	)
					(18,260,500	)
Sweden - (2.5)%
BillerudKorsnas AB		(87,952	)		(1,171,875	)
Epiroc AB, Class A		(27,076	)		(282,114	)
Getinge AB, Class B		(61,420	)		(968,554	)
Hexpol AB		(104,518	)		(852,616	)
Husqvarna AB, Class B		(248,244	)		(2,324,695	)
Svenska Cellulosa AB SCA, Class B		(51,106	)		(444,587	)
Svenska Handelsbanken AB, Class A		(353,633	)		(3,489,895	)
Tele2 AB, Class B		(189,899	)		(2,773,512	)
					(12,307,848	)
Switzerland - (3.1)%
Chocoladefabriken Lindt & Spruengli AG		(346	)		(2,518,826	)
Cie Financiere Richemont SA (Registered)		(20,576	)		(1,748,478	)
Credit Suisse Group AG (Registered) *		(46,245	)		(553,514	)
dormakaba Holding AG *		(115	)		(83,406	)
Givaudan SA (Registered)		(32	)		(90,385	)
Idorsia Ltd. *		(50,890	)		(1,164,524	)
Julius Baer Group Ltd. *		(44,599	)		(1,987,068	)
Lonza Group AG (Registered) *		(5,054	)		(1,706,194	)
OC Oerlikon Corp. AG (Registered)		(27,062	)		(330,693	)
Sika AG (Registered)		(1,300	)		(222,095	)
Straumann Holding AG (Registered)		(499	)		(440,956	)
Sunrise Communications Group AG *(b)		(4,643	)		(346,777	)
Vifor Pharma AG		(27,194	)		(3,930,571	)
					(15,123,487	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

50

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

INVESTMENTS	SHARES			VALUE
United Kingdom - (0.5)%
Subsea 7 SA		(186,349	)	$	(2,253,239	)
Zambia - (0.4)%
First Quantum Minerals Ltd. (1)		(188,474	)		(1,790,399	)
TOTAL COMMON STOCKS (Proceeds $(155,322,853))					(141,383,442	)
TOTAL SHORT POSITIONS (Proceeds $(155,322,853))					(141,383,442	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 112.5% (Cost $506,188,566)					548,647,343
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.5)% (i)					(60,880,195	)
NET ASSETS - 100.0%				$	487,767,148

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	(13,425,355	)		(2.7	)%
Consumer Discretionary		2,062,390			0.4
Consumer Staples		14,554,874			3.0
Energy		1,648,472			0.3
Financials		7,614,121			1.6
Health Care		8,360,183			1.7
Industrials		12,111,879			2.5
Information Technology		5,317,724			1.1
Materials		(19,096,618	)		(3.9	)
Real Estate		(286,502	)		(0.1	)
Utilities		28,508,143			5.8
Short-Term Investments		501,278,032			102.8
Total Investments In Securities At Value		548,647,343			112.5
Liabilities in Excess of Other Assets (i)		(60,880,195	)		(12.5	)
Net Assets	$	487,767,148			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $147,992,535.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $(846,042), which represents approximately (0.17)% of net assets of the fund.

(c) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $6,191,108.

(d) Represents 7-day effective yield as of June 30, 2019.

(e) All or a portion of the security pledged as collateral for forward foreign currency exchange contracts.

(f) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/18		SHARES PURCHASED	SHARES SOLD	SHARES HELD AT 06/30/19		VALUE AT 06/30/19		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 20.5%
INVESTMENT COMPANIES - 20.5%
Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $99,827,395)		740,706,994	252,953,978	(893,801,834)		99,859,138		$99,879,110		$5,898,884		$79,431		$(75,281	)

(a) Represents 7-day effective yield as of June 30, 2019.

(g) The rate shown was the effective yield at the date of purchase.

(h) All or a portion of the security pledged as collateral for swap contracts.

(i) Includes appreciation/(depreciation) on forward foreign currency exchange and swap contracts.

All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.

(1) Level 1 security (See Note 5).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

51

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	256,000	USD	193,346	CITI		9/18/2019		$2,425
CAD	256,000	USD	193,346	JPMC		9/18/2019		2,425
CHF	1,939,500	USD	1,981,435	CITI		9/18/2019		19,673
CHF	1,939,500	USD	1,981,438	JPMC		9/18/2019		19,671
DKK	3,884,000	USD	594,831	CITI		9/18/2019		880
DKK	3,884,000	USD	594,831	JPMC		9/18/2019		879
EUR	11,040,500	USD	12,478,837	CITI		9/18/2019		154,311
EUR	11,040,500	USD	12,478,853	JPMC		9/18/2019		154,293
NOK	503,500	USD	58,573	CITI		9/18/2019		580
NOK	503,500	USD	58,573	JPMC		9/18/2019		580
SEK	20,034,500	USD	2,132,866	CITI		9/18/2019		36,839
SEK	20,034,500	USD	2,132,869	JPMC		9/18/2019		36,836
SGD	1,519,000	USD	1,106,133	CITI		9/18/2019		17,911
SGD	1,519,000	USD	1,106,134	JPMC		9/18/2019		17,911
USD	111,104	DKK	723,000	CITI		9/18/2019		213
USD	111,104	DKK	723,000	JPMC		9/18/2019		213
USD	53,880	EUR	47,000	CITI		9/18/2019		100
USD	53,880	EUR	47,000	JPMC		9/18/2019		100
USD	107,297	NOK	909,000	CITI		9/18/2019		503
USD	107,296	NOK	909,000	JPMC		9/18/2019		503
USD	10,212	SEK	94,000	CITI		9/18/2019		32
USD	10,212	SEK	94,000	JPMC		9/18/2019		32
Total unrealized appreciation								466,910
CHF	48,000	USD	49,695	CITI		9/18/2019		(170	)
CHF	48,000	USD	49,695	JPMC		9/18/2019		(170	)
DKK	65,000	USD	9,985	CITI		9/18/2019		(16	)
DKK	65,000	USD	9,985	JPMC		9/18/2019		(16	)
EUR	1,135,000	USD	1,300,296	CITI		9/18/2019		(1,567	)
EUR	1,135,000	USD	1,300,297	JPMC		9/18/2019		(1,568	)
USD	796,124	CAD	1,062,140	CITI		9/18/2019		(16,126	)
USD	796,138	CAD	1,062,154	JPMC		9/18/2019		(16,122	)
USD	4,608,811	CHF	4,564,008	CITI		9/18/2019		(100,174	)
USD	4,608,789	CHF	4,563,992	JPMC		9/18/2019		(100,180	)
USD	5,296,503	DKK	35,156,500	CITI		9/18/2019		(95,643	)
USD	5,296,496	DKK	35,156,500	JPMC		9/18/2019		(95,649	)
USD	28,295,359	EUR	25,039,003	CITI		9/18/2019		(355,643	)
USD	28,295,317	EUR	25,038,997	JPMC		9/18/2019		(355,678	)
USD	25,531	HKD	200,000	CITI		9/18/2019		(81	)
USD	25,531	HKD	200,000	JPMC		9/18/2019		(81	)
USD	227,713	NOK	1,980,500	CITI		9/18/2019		(4,965	)
USD	227,713	NOK	1,980,500	JPMC		9/18/2019		(4,965	)
USD	3,920,581	SEK	37,166,000	CITI		9/18/2019		(104,438	)
USD	3,920,576	SEK	37,166,000	JPMC		9/18/2019		(104,443	)
USD	1,107,559	SGD	1,511,500	CITI		9/18/2019		(10,936	)
USD	1,107,558	SGD	1,511,500	JPMC		9/18/2019		(10,937	)
Total unrealized depreciation								(1,379,568	)
Net unrealized depreciation							$	(912,658	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

52

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Reserve Bank of Australia Cash Rate (“RBACR”) plus or minus a specified spread(-0.50% to 0.45%), which is denominated in AUD based on the local currencies of the positions within the swap.	20-73 months maturity 10/14/2020		$26,138,544		$(52,865	)		$(542,444	)		$(595,309	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
AGL Energy Ltd.		69,154		$	972,545		$	(94,029	)		15.8	%
Aurizon Holdings Ltd.		704,556			2,674,615			164,256			(27.6	)
Bendigo & Adelaide Bank Ltd.		46,752			380,537			58,130			(9.8	)
BlueScope Steel Ltd.		134,662			1,145,024			(33,966	)		5.7
Caltex Australia Ltd.		13,040			226,990			(49,656	)		8.3
CIMIC Group Ltd.		71,372			2,244,325			350,645			(58.9	)
Flight Centre Travel Group Ltd.		4,775			139,291			(4,476	)		0.8
Harvey Norman Holdings Ltd.		69,188			197,987			7,194			(1.2	)
Iluka Resources Ltd.		149,233			1,133,070			165,976			(27.9	)
Incitec Pivot Ltd.		80,973			194,066			7,108			(1.2	)
Newcrest Mining Ltd.		21,004			471,881			161,488			(27.1	)
Qantas Airways Ltd.		281,851			1,069,592			(74,512	)		12.5
Santos Ltd.		53,449			266,846			5,472			(0.9	)
South32 Ltd.		456,581			1,023,491			(209,490	)		35.2
Telstra Corp. Ltd.		272,456			736,750			43,785			(7.4	)
Woodside Petroleum Ltd.		7,835			200,957			5,722			(1.0	)
Short Positions
Common Stock
Australia
AMP Ltd.		(404,289	)		(603,072	)		24,914			(4.2	)
APA Group		(15,853	)		(120,219	)		(36,510	)		6.1

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

53

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Australia (continued)
AusNet Services		(88,175	)	$	(116,203	)	$	(8,935	)		1.5	%
Challenger Ltd.		(333,889	)		(1,558,478	)		871,126			(146.3	)
CSL Ltd.		(3,597	)		(544,672	)		(55,043	)		9.2
Domino’s Pizza Enterprises Ltd.		(8,721	)		(230,477	)		43,222			(7.3	)
Medibank Pvt Ltd.		(54,806	)		(134,478	)		(22,010	)		3.7
Ramsay Health Care Ltd.		(33,760	)		(1,713,946	)		(277,667	)		46.6
SEEK Ltd.		(226,092	)		(3,365,221	)		(617,320	)		103.7
Sydney Airport		(107,633	)		(608,071	)		(84,197	)		14.1
Tabcorp Holdings Ltd.		(57,807	)		(180,613	)		4,313			(0.7	)
Transurban Group		(50,666	)		(524,617	)		(89,584	)		15.0
Treasury Wine Estates Ltd.		(13,514	)		(141,931	)		5,577			(0.9	)
Vocus Group Ltd.		(242,539	)		(557,313	)		(132,130	)		22.2
WorleyParsons Ltd.		(46,095	)		(479,171	)		(31,004	)		5.2
Ireland
James Hardie Industries plc		(165,760	)		(2,182,095	)		(151,264	)		25.4

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread(-4.00% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	4-61 months maturity 10/14/2019		$146,224,183		$(3,170,313	)		$(1,031,528	)		$(4,201,841	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
France
Atos SE		17,151	$	1,432,915	$	(196,982	)		4.7	%
AXA SA		60,678		1,593,509		177,699			(4.2	)
Capgemini SE		9,181		1,141,503		69,410			(1.7	)
CNP Assurances		52,286		1,186,807		42,455			(1.0	)
Electricite de France SA		143,860		1,813,766		(275,177	)		6.5
Engie SA		230,000		3,487,604		(57,061	)		1.4
Eutelsat Communications SA		147,264		2,750,316		(169,034	)		4.0
Peugeot SA		222,896		5,486,020		100,263			(2.4	)
TOTAL SA		52,403		2,939,482		(6,943	)		0.2
Germany
adidas AG		11,117		3,439,267		885,439			(21.1	)
Allianz SE (Registered)		21,164		5,104,254		689,566			(16.4	)
CECONOMY AG		216,685		1,324,689		76,558			(1.8	)
Covestro AG		48,020		2,444,678		(1,551,716	)		36.9
E.ON SE		369,791		4,012,276		(34,360	)		0.8

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

54

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Germany (continued)
HeidelbergCement AG		19,343		$	1,565,340		$	190,599			(4.5	) %
HOCHTIEF AG		13,828			1,683,960			(263,583	)		6.3
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		6,101			1,529,262			146,790			(3.5	)
ProSiebenSat.1 Media SE		92,006			1,441,325			(46,333	)		1.1
Rheinmetall AG		31,893			3,908,840			(36,498	)		0.9
Salzgitter AG		47,437			1,359,362			(1,083,519	)		25.8
SAP SE		21,789			2,987,094			649,415			(15.5	)
Software AG		51,760			1,778,830			(684,597	)		16.3
Luxembourg
SES SA		154,171			2,407,603			(693,813	)		16.5
United Kingdom
Dialog Semiconductor plc		58,777			2,365,150			415,547			(9.9	)
Short Positions
Common Stock
France
Altran Technologies SA		(141,964	)		(2,252,936	)		(1,032,921	)		24.6
Bollore SA		(270,994	)		(1,195,740	)		(74,496	)		1.8
EssilorLuxottica SA		(15,262	)		(1,988,973	)		(151,849	)		3.6
Getlink SE		(92,868	)		(1,487,605	)		(470,112	)		11.2
Iliad SA		(36,519	)		(4,100,990	)		868,695			(20.7	)
Ingenico Group SA		(30,946	)		(2,738,763	)		(289,310	)		6.9
JCDecaux SA		(40,184	)		(1,216,819	)		138,717			(3.3	)
Orpea		(29,775	)		(3,591,521	)		(255,815	)		6.1
Remy Cointreau SA		(15,874	)		(2,288,132	)		(263,674	)		6.3
SEB SA		(6,678	)		(1,201,388	)		(167,194	)		4.0
Valeo SA		(203,000	)		(6,608,856	)		(852,710	)		20.3
Vivendi SA		(42,698	)		(1,171,748	)		(40,752	)		1.0
Germany
1&1 Drillisch AG		(49,877	)		(1,664,237	)		423,618			(10.1	)
Bayerische Motoren Werke AG		(18,415	)		(1,361,190	)		(34,257	)		0.8
Continental AG		(9,143	)		(1,331,394	)		60,011			(1.4	)
Daimler AG (Registered)		(68,047	)		(3,795,104	)		68,399			(1.6	)
Delivery Hero SE		(70,275	)		(3,189,947	)		(406,712	)		9.7
Deutsche Bank AG (Registered)		(449,525	)		(3,466,316	)		722,265			(17.2	)
Fraport AG Frankfurt Airport Services Worldwide		(19,202	)		(1,652,817	)		(66,934	)		1.6
GEA Group AG		(81,476	)		(2,312,339	)		777,048			(18.5	)
RWE AG		(101,996	)		(2,516,811	)		76,623			(1.8	)
thyssenkrupp AG		(277,086	)		(4,045,663	)		50,636			(1.2	)
United Internet AG (Registered)		(104,204	)		(3,433,117	)		587,240			(14.0	)
Zalando SE		(85,695	)		(3,794,288	)		(608,953	)		14.5
Luxembourg
Eurofins Scientific SE		(4,557	)		(2,010,828	)		182,740			(4.3	)
United States
QIAGEN NV		(75,440	)		(3,069,787	)		(730,076	)		17.4

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

55

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread(-10.25% to 0.35%), which is denominated in GBP based on the local currencies of the positions within the swap.	4-61 months maturity 10/14/2019		$108,980,146		$(6,358,234	)		$(1,957,430	)		$(8,315,664	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
BHP Group plc		69,950	$	1,788,927	$	184,460			(2.2	)%
Rio Tinto plc		32,495		2,011,216		102,730			(1.2	)
Russia
Evraz plc		320,842		2,716,681		607,641			(7.3	)
South Africa
Anglo American plc		59,751		1,706,992		150,255			(1.8	)
Investec plc		265,235		1,724,197		(130,842	)		1.6
Switzerland
Glencore plc		226,831		785,046		(18,698	)		0.2
United Kingdom
Barclays plc		1,093,296		2,079,505		(120,853	)		1.5
Barratt Developments plc		154,982		1,127,803		(21,611	)		0.3
Berkeley Group Holdings plc		22,323		1,057,965		(24,145	)		0.3
BT Group plc		658,173		1,645,652		(469,396	)		5.6
Burberry Group plc		207,435		4,916,666		(546,533	)		6.6
Centrica plc		3,095,512		3,450,771		(2,068,126	)		24.9
Close Brothers Group plc		68,648		1,232,079		(81,184	)		1.0
Dixons Carphone plc		460,910		640,649		(254,792	)		3.1
Drax Group plc		409,011		1,350,966		(644,899	)		7.8
Hays plc		534,773		1,068,421		27,141			(0.3	)
Inchcape plc		161,906		1,268,802		(204,803	)		2.5
Indivior plc		1,185,249		642,943		(824,419	)		9.9
Man Group PLC/Jersey		953,537		1,885,319		(231,303	)		2.8
Meggitt plc		219,337		1,461,314		(64,665	)		0.8
Moneysupermarket.com Group plc		397,417		2,081,891		541,645			(6.5	)
Persimmon plc		57,980		1,472,980		(178,271	)		2.1
Playtech plc		160,164		868,590		1,940			(0.0	)
Reckitt Benckiser Group plc		12,449		982,907		20,344			(0.2	)
Royal Mail plc		500,403		1,348,229		(982,081	)		11.8
Tate & Lyle plc		329,617		3,089,998		(104,017	)		1.3
Vodafone Group plc		780,339		1,279,025		(78,621	)		0.9
WH Smith plc		49,264		1,233,998		(50,082	)		0.6
William Hill plc		657,539		1,291,120		(734,795	)		8.8

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

56

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Germany
TUI AG		(182,225	)	$	(1,789,193	)	$	197,789			(2.4	) %
United Arab Emirates
NMC Health plc		(181,549	)		(5,554,624	)		1,009,351			(12.1	)
United Kingdom
Admiral Group plc		(66,574	)		(1,866,808	)		(85,953	)		1.0
ASOS plc		(78,701	)		(2,554,311	)		505,069			(6.1	)
Beazley plc		(151,879	)		(1,064,586	)		(15,477	)		0.2
Bunzl plc		(31,976	)		(843,719	)		163,430			(2.0	)
CYBG plc		(373,350	)		(911,684	)		14,303			(0.2	)
GVC Holdings plc		(314,628	)		(2,608,085	)		(51,685	)		0.6
Hargreaves Lansdown plc		(128,766	)		(3,146,169	)		(507,208	)		6.1
HSBC Holdings plc		(254,619	)		(2,125,118	)		(50,009	)		0.6
Informa plc		(141,007	)		(1,495,359	)		(233,029	)		2.8
InterContinental Hotels Group plc		(15,604	)		(1,026,274	)		(11,203	)		0.1
John Wood Group plc		(512,734	)		(2,952,309	)		910,500			(10.9	)
Just Eat plc		(149,397	)		(1,184,824	)		160,231			(1.9	)
Melrose Industries plc		(1,304,173	)		(2,997,983	)		(294,548	)		3.5
Merlin Entertainments plc		(418,725	)		(2,393,499	)		(466,922	)		5.6
Micro Focus International plc		(161,970	)		(4,259,811	)		(991,912	)		11.9
Ocado Group plc		(126,703	)		(1,878,243	)		(345,722	)		4.2
St James’s Place plc		(260,354	)		(3,635,174	)		(151,542	)		1.8
Weir Group plc (The)		(137,485	)		(2,705,204	)		350,857			(4.2	)
Whitbread plc		(30,351	)		(1,785,783	)		104,644			(1.3	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread(-5.25% to 0.45%), which is denominated in HKD based on the local currencies of the positions within the swap.	20-73 months maturity 10/15/2020		$21,972,189		$(511,788	)		$(200,379	)		$(712,167	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Hong Kong
Chow Tai Fook Jewellery Group Ltd.		359,200	$	390,776	$	32,301			(4.5	)%
CK Asset Holdings Ltd.		134,500		1,053,684		(40,484	)		5.7
CK Hutchison Holdings Ltd.		26,500		261,389		(15,335	)		2.2
CLP Holdings Ltd.		29,500		325,084		(31,085	)		4.4
Henderson Land Development Co. Ltd.		58,050		320,049		74,054			(10.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

57

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
HKT Trust & HKT Ltd.		82,000		$	130,168		$	4,634			(0.7	) %
Hysan Development Co. Ltd.		57,000			294,528			(21,455	)		3.0
Kerry Properties Ltd.		387,000			1,625,601			288,470			(40.5	)
Li & Fung Ltd.		5,102,000			890,167			(418,904	)		58.8
Melco International Development Ltd.		552,000			1,221,452			(367,797	)		51.6
New World Development Co. Ltd.		231,000			361,323			(11,450	)		1.6
Sino Land Co. Ltd.		254,000			425,978			(7,932	)		1.1
Sun Hung Kai Properties Ltd.		6,500			110,273			(878	)		0.1
Swire Properties Ltd.		241,200			975,103			60,195			(8.5	)
WH Group Ltd.		760,000			770,939			(4,058	)		0.6
Wheelock & Co. Ltd.		122,000			876,034			(36,135	)		5.1
Yue Yuen Industrial Holdings Ltd.		331,000			907,874			12,730			(1.8	)
Macau
Wynn Macau Ltd.		42,400			94,919			(5,985	)		0.8
Short Positions
Common Stock
China
Minth Group Ltd.		(52,000	)		(140,242	)		39,475			(5.5	)
Hong Kong
AIA Group Ltd.		(174,600	)		(1,885,488	)		(492,722	)		69.2
ASM Pacific Technology Ltd.		(261,800	)		(2,684,079	)		731,115			(102.7	)
Haitong International Securities Group Ltd.		(618,000	)		(201,987	)		1,895			(0.3	)
HK Electric Investments & HK Electric Investments Ltd.		(688,000	)		(704,455	)		(22,408	)		3.1
MTR Corp. Ltd.		(466,308	)		(3,140,978	)		(544,347	)		76.4
Wharf Real Estate Investment Co. Ltd.		(73,000	)		(514,462	)		(2,608	)		0.4
Italy
PRADA SpA		(31,800	)		(98,329	)		3,480			(0.5	)
Macau
MGM China Holdings Ltd.		(849,200	)		(1,442,624	)		264,918			(37.2	)
Sands China Ltd.		(26,000	)		(124,204	)		(1,472	)		0.2

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

58

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread(-4.00% to 0.45%), which is denominated in JPY based on the local currencies of the positions within the swap.	16-73 months maturity 10/15/2020		$292,889,378		$(18,486,252	)		$(5,445,590	)		$(23,931,842	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Japan
Alfresa Holdings Corp.		108,700		$	2,688,271		$	174,068			(0.7	)%
Astellas Pharma, Inc.		294,800			4,201,126			(346,702	)		1.4
Bandai Namco Holdings, Inc.		43,400			2,105,970			442,334			(1.8	)
Haseko Corp.		312,900			3,174,586			(919,487	)		3.8
Hitachi High-Technologies Corp.		45,800			2,354,541			504,903			(2.1	)
Itochu Techno-Solutions Corp.		82,200			2,113,220			490,792			(2.1	)
Japan Airlines Co. Ltd.		250,400			7,991,700			(1,552,716	)		6.5
Kajima Corp.		251,800			3,463,374			(1,489,485	)		6.2
Kamigumi Co. Ltd.		108,100			2,563,451			174,819			(0.7	)
Medipal Holdings Corp.		126,000			2,786,935			381,341			(1.6	)
Mitsubishi Gas Chemical Co., Inc.		152,500			2,039,747			(1,033,127	)		4.3
Mixi, Inc.		105,900			2,126,710			(1,056,592	)		4.4
Nikon Corp.		137,500			1,955,195			(168,412	)		0.7
Nippon Express Co. Ltd.		48,400			2,579,719			(173,481	)		0.7
Nippon Telegraph & Telephone Corp.		47,200			2,199,034			166,386			(0.7	)
Obayashi Corp.		381,800			3,771,689			(934,532	)		3.9
Otsuka Corp.		54,400			2,193,792			(105,122	)		0.4
Pola Orbis Holdings, Inc.		76,600			2,146,492			(440,097	)		1.8
Sojitz Corp.		792,600			2,550,730			(413,483	)		1.7
Sony Corp.		51,400			2,701,069			272,626			(1.1	)
Suzuken Co. Ltd.		46,700			2,744,256			712,467			(3.0	)
Taiheiyo Cement Corp.		128,500			3,901,350			(433,034	)		1.8
Taisei Corp.		74,775			2,723,795			(1,149,582	)		4.8
Tosoh Corp.		164,500			2,320,262			(1,135,225	)		4.7
Short Positions
Common Stock
Japan
Asahi Intecc Co. Ltd.		(111,200	)		(2,748,766	)		(119,356	)		0.5
Asics Corp.		(202,000	)		(2,193,748	)		1,053,786			(4.4	)
Daiichi Sankyo Co. Ltd.		(52,700	)		(2,763,879	)		(896,458	)		3.7
FamilyMart UNY Holdings Co. Ltd.		(144,160	)		(3,441,754	)		771,706			(3.2	)
Fast Retailing Co. Ltd.		(4,300	)		(2,602,784	)		(579,867	)		2.4
Hirose Electric Co. Ltd.		(18,200	)		(2,036,544	)		(61,658	)		0.3
Japan Airport Terminal Co. Ltd.		(48,600	)		(2,078,568	)		(141,566	)		0.6
Kansai Paint Co. Ltd.		(111,300	)		(2,339,091	)		97,104			(0.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

59

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Keikyu Corp.		(119,600	)	$	(2,062,241	)	$	432,579			(1.8	) %
Keio Corp.		(49,900	)		(3,288,576	)		(977,587	)		4.1
Kikkoman Corp.		(59,300	)		(2,585,854	)		(216,153	)		0.9
Kintetsu Group Holdings Co. Ltd.		(51,000	)		(2,445,062	)		(412,956	)		1.7
M3, Inc.		(140,700	)		(2,581,966	)		(468,666	)		2.0
Marui Group Co. Ltd.		(212,500	)		(4,333,541	)		(719,221	)		3.0
MISUMI Group, Inc.		(132,800	)		(3,347,470	)		(206,212	)		0.9
Nippon Paint Holdings Co. Ltd.		(114,300	)		(4,449,777	)		(537,024	)		2.2
Nitori Holdings Co. Ltd.		(15,500	)		(2,056,885	)		(65,205	)		0.3
Odakyu Electric Railway Co. Ltd.		(142,900	)		(3,501,840	)		(580,668	)		2.4
Pan Pacific International Holdings Corp.		(31,800	)		(2,021,829	)		(26,143	)		0.1
Ricoh Co. Ltd.		(391,200	)		(3,913,640	)		46,999			(0.2	)
Shimano, Inc.		(21,800	)		(3,248,426	)		(156,485	)		0.7
Sony Financial Holdings, Inc.		(108,600	)		(2,613,482	)		(655,674	)		2.7
Sumitomo Metal Mining Co. Ltd.		(81,700	)		(2,449,085	)		(189,354	)		0.8
Suzuki Motor Corp.		(44,400	)		(2,088,848	)		390,296			(1.6	)
Terumo Corp.		(72,500	)		(2,165,826	)		(87,405	)		0.4
Yaskawa Electric Corp.		(128,000	)		(4,377,215	)		(594,130	)		2.5

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread(-1.78% to 0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	4-49 months maturity 10/16/2019		$805,151,865		$(2,502,128	)		$(20,816,978	)		$(23,319,106	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Agilent Technologies, Inc.		53,349	$	3,983,570	$	353,605			(1.5	)%
Allstate Corp. (The)		41,455		4,215,559		234,075			(1.0	)
Amazon.com, Inc.		1,692		3,204,022		142,424			(0.6	)
Assured Guaranty Ltd.		69,710		2,933,397		9,765			(0.0	)
Biogen, Inc.		19,812		4,633,432		(1,210,426	)		5.2
Bruker Corp.		73,886		3,690,606		1,086,322			(4.7	)
CDW Corp.		25,742		2,857,362		758,437			(3.3	)
Charles River Laboratories International, Inc.		25,495		3,617,740		759,713			(3.3	)
Cummins, Inc.		20,706		3,547,766		461,579			(2.0	)
Curtiss-Wright Corp.		27,031		3,436,451		413,563			(1.8	)
Exelon Corp.		113,324		5,432,753		76,223			(0.3	)
Huntington Ingalls Industries, Inc.		14,315		3,217,153		143,107			(0.6	)
Intuit, Inc.		10,400		2,717,832		579,392			(2.5	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

60

Schedule of Investments June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Kimberly-Clark Corp.		25,866		$	3,447,420		$	383,372			(1.6	) %
Medtronic plc		32,166			3,132,647			171,940			(0.7	)
Microsoft Corp.		22,054			2,954,354			429,730			(1.8	)
MSA Safety, Inc.		30,072			3,169,288			97,498			(0.4	)
Procter & Gamble Co. (The)		40,038			4,390,167			346,292			(1.5	)
Reinsurance Group of America, Inc.		19,317			3,014,032			(63,131	)		0.3
Spirit AeroSystems Holdings, Inc.		33,676			2,740,216			139,784			(0.6	)
Synchrony Financial		89,318			3,096,655			766,421			(3.3	)
Tyson Foods, Inc.		33,840			2,732,242			614,808			(2.6	)
Wells Fargo & Co.		63,644			3,011,634			(119,828	)		0.5
WESCO International, Inc.		63,277			3,204,980			(327,226	)		1.4
Short Positions
Common Stock
United States
Acadia Healthcare Co., Inc.		(125,620	)		(4,390,419	)		(437,785	)		1.9
Aptiv plc		(51,880	)		(4,193,460	)		(63,199	)		0.3
Conagra Brands, Inc.		(116,523	)		(3,090,190	)		(446,279	)		1.9
Concho Resources, Inc.		(26,367	)		(2,720,547	)		610,679			(2.6	)
First Republic Bank		(29,301	)		(2,861,243	)		99,613			(0.4	)
Floor & Decor Holdings, Inc.		(64,350	)		(2,696,265	)		(744,487	)		3.2
Granite Construction, Inc.		(66,998	)		(3,227,964	)		102,872			(0.4	)
Insulet Corp.		(51,003	)		(6,088,738	)		(2,056,204	)		8.8
International Flavors & Fragrances, Inc.		(26,805	)		(3,889,137	)		(546,257	)		2.3
Kemper Corp.		(47,315	)		(4,082,811	)		(480,120	)		2.1
Knight-Swift Transportation Holdings, Inc.		(89,760	)		(2,947,718	)		(263,285	)		1.1
Meredith Corp.		(52,419	)		(2,886,190	)		(98,186	)		0.4
New York Community Bancorp, Inc.		(525,637	)		(5,245,857	)		189,196			(0.8	)
NiSource, Inc.		(157,464	)		(4,534,963	)		(333,147	)		1.4
ONEOK, Inc.		(47,463	)		(3,265,929	)		(220,105	)		0.9
Pinnacle Financial Partners, Inc.		(72,712	)		(4,179,486	)		(236,033	)		1.0
Sempra Energy		(34,771	)		(4,778,926	)		(802,778	)		3.4
Sotheby’s		(49,148	)		(2,856,973	)		(399,370	)		1.7
Southwest Gas Holdings, Inc.		(29,546	)		(2,647,913	)		(533,411	)		2.3
Sterling Bancorp		(295,948	)		(6,297,773	)		(229,606	)		1.0
Tesla, Inc.		(16,873	)		(3,770,441	)		1,617,448			(6.9	)
TransDigm Group, Inc.		(6,338	)		(3,066,324	)		(1,033,945	)		4.4
United Bankshares, Inc.		(83,939	)		(3,113,298	)		(108,753	)		0.5
VEREIT, Inc.		(589,773	)		(5,313,855	)		(1,126,452	)		4.8
Virtu Financial, Inc.		(148,460	)		(3,233,459	)		547,391			(2.3	)
Wabtec Corp.		(52,780	)		(3,787,493	)		133,350			(0.6	)

Collateral pledged to, or (received from), each counterparty at June, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED		TOTAL
CITI
Investment Companies		$1,371,731		$—		$1,371,731
JPMC
Investment Companies		2,472,796		—		2,472,796
MSIP
U.S. Treasury Bills		144,337,734		—		144,337,734

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

61

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 89.1%
INVESTMENT COMPANIES - 40.3%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(a)(b)		540,300	$	540,300
Limited Purpose Cash Investment Fund, 2.36% (1)(a)		10,774,195		10,776,350
TOTAL INVESTMENT COMPANIES (Cost $11,312,911)				11,316,650
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 48.8%
U.S. Treasury Bills
2.38%, 10/10/2019 (c)	$	1,391,000		1,382,824
2.37%, 10/17/2019 (c)		1,391,000		1,382,456
2.36%, 10/24/2019 (c)		1,889,000		1,876,999
2.39%, 10/31/2019 (c)		2,454,000		2,437,180
2.38%, 11/7/2019 (c)(d)		2,454,000		2,435,863
2.38%, 11/14/2019 (c)		1,956,000		1,940,815
2.37%, 11/21/2019 (c)		673,000		667,493
2.35%, 11/29/2019 (c)		105,000		104,091
2.28%, 12/5/2019 (c)		852,000		844,522
2.16%, 12/12/2019 (c)		210,000		208,052
2.15%, 12/19/2019 (c)		456,000		451,579
TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,717,705)				13,731,874
TOTALSHORT-TERM INVESTMENTS (Cost $25,030,616)				25,048,524
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 89.1% (Cost $25,030,616)				25,048,524
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.9% (e)			3,063,206
NET ASSETS - 100.0%			$	28,111,730

(a) Represents 7-day effective yield as of June 30, 2019.

(b) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(c) The rate shown was the effective yield at the date of purchase.

(d) All or a portion of the security pledged as collateral for swap contracts.

(e) Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts

All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.

(1) Level 1 security (See Note 5).

Forward Effective Interest rate swap contracts outstanding as of June 30, 2019:

Exchange Cleared

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	3 Month Australian Bank-Bill Reference Rate Quarterly	1.50% Quarterly		9/09/2021	AUD		8,900,000		$24,940			$38,432			$63,372
Pay	3 Month Australian Bank-Bill Reference Rate Quarterly	1.00% Quarterly		12/09/2021	AUD		14,900,000		(28,582	)		32,595			4,013
Pay	3 Month Australian Bank-Bill Reference Rate Quarterly	2.50% Semi-Annually		9/12/2029	NZD		600,000		(1,780	)		27,412			25,632
Pay	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.25% Semi-Annually		12/16/2021	CAD		400,000		3,656			(349	)		3,307

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

62

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Pay	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.75% Semi-Annually		9/17/2029	CAD		1,400,000		$ 30,892			$ 58,020			$ 88,912
Pay	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		9/20/2021	USD		12,700,000		299,761			22,236			321,997
Pay	3 Month London Interbank Offered Rate Quarterly	2.50% Semi-Annually		12/20/2021	USD		22,000,000		301,484			63,167			364,651
Pay	3 Month Stockholm Interbank Offered Rate Quarterly	1.00% Annually		9/19/2029	SEK		41,700,000		371			192,327			192,698
Pay	3 Month Stockholm Interbank Offered Rate Quarterly	1.00% Annually		12/19/2029	SEK		51,900,000		154,878			64,051			218,929
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	0.00% Annually		9/20/2021	EUR		500,000		4,278			172			4,450
Pay	6 Month Euro Interbank Offered Rate Semi-Annually	0.00% Annually		12/20/2021	EUR		2,900,000		20,271			5,646			25,917
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		9/15/2021	JPY		3,519,500,000		23,481			52,988			76,469
Pay	6 Month London Interbank Offered Rate Semi-Annually	1.25% Semi-Annually		9/20/2021	GBP		23,700,000		55,613			193,684			249,297
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		12/15/2021	JPY		4,500,200,000		64,119			48,424			112,543
Pay	6 Month London Interbank Offered Rate Semi-Annually	0.50% Annually		9/19/2029	CHF		1,400,000		31,233			74,719			105,952
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.00% Annually		12/15/2021	NOK		2,400,000		1,465			(146	)		1,319
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.00% Annually		12/15/2021	CHF		2,400,000		10,306			(381	)		9,925
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		9/19/2029	JPY		447,000,000		76,873			(61,859	)		15,014
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.00% Semi-Annually		12/19/2029	JPY		849,700,000		69,826			(33,127	)		36,699
									1,143,085			778,011			1,921,096
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	1.50% Annually		9/15/2021	NOK		153,600,000		(53,668	)		(42,401	)		(96,069	)
Pay	6 Month Norwegian Interbank Offered Rate Semi-Annually	1.50% Annually		12/15/2021	NOK		2,100,000		(892	)		(341	)		(1,233	)
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	2.00% Semi-Annually		9/15/2021	NZD		13,400,000		(43,521	)		(77,037	)		(120,558	)

The accompanying notes are an integral part of these financial statements. (Continued)

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63

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

PAY/RECEIVE FLOATING RATE	FLOATING RATE INDEX (a)	FIXED RATE	MATURITY DATE			NOTIONAL AMOUNT		UPFRONT PREMIUM PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Receive	3 Month Australian Bank-Bill Reference Rate Quarterly	1.50% Semi-Annually		12/15/2021	NZD		2,100,000		$ (1,680	)		$ (3,723	)		$ (5,403	)
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		9/16/2021	CAD		6,800,000		(78,510	)		292			(78,218	)
Receive	3 Month Canadian Bankers’ Acceptance Rate Quarterly	2.50% Semi-Annually		12/17/2029	CAD		400,000		(17,087	)		(942	)		(18,029	)
Receive	3 Month London Interbank Offered Rate Quarterly	3.00% Semi-Annually		9/18/2029	USD		400,000		(37,675	)		(520	)		(38,195	)
Receive	3 Month London Interbank Offered Rate Quarterly	2.75% Semi-Annually		12/18/2029	USD		2,100,000		(137,723	)		(12,583	)		(150,306	)
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.00% Annually		9/15/2021	SEK		242,900,000		87,529			(129,408	)		(41,879	)
Receive	3 Month Stockholm Interbank Offered Rate Quarterly	0.00% Annually		12/15/2021	SEK		647,800,000		52,551			(152,581	)		(100,030	)
Receive	6 Month Australian Bank-Bill Reference Rate Semi-Annually	2.00% Semi-Annually		9/13/2029	AUD		1,100,000		(3,652	)		(26,885	)		(30,537	)
Receive	6 Month Australian Bank-Bill Reference Rate Semi-Annually	2.00% Semi-Annually		12/13/2029	AUD		3,100,000		(36,996	)		(43,723	)		(80,719	)
Receive	6 Month Euro Interbank Offered Rate Semi-Annually	1.00% Annually		9/18/2029	EUR		100,000		(5,974	)		(3,197	)		(9,171	)
Receive	6 Month Euro Interbank Offered Rate Semi-Annually	0.75% Annually		12/18/2029	EUR		800,000		(35,391	)		(11,962	)		(47,353	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	0.50% Annually		9/15/2021	CHF		8,800,000		(257	)		(54,508	)		(54,765	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.25% Semi-Annually		12/20/2021	GBP		8,200,000		(78,436	)		(7,567	)		(86,003	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		9/18/2029	GBP		3,800,000		(34,471	)		(172,720	)		(207,191	)
Receive	6 Month London Interbank Offered Rate Semi-Annually	1.50% Semi-Annually		12/18/2029	GBP		1,400,000		(64,708	)		(9,293	)		(74,001	)
Receive	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.00% Annually		9/19/2029	NOK		23,400,000		11,715			(49,642	)		(37,927	)
Receive	6 Month Norwegian Interbank Offered Rate Semi-Annually	2.00% Annually		12/19/2029	NOK		900,000		(1,376	)		25			(1,351	)
									(480,222	)		(798,716	)		(1,278,938	)
									$662,863			$(20,705	)		$642,158

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

64

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

(a) Floating rate indices at June 30, 2019 were as follows:

3 Month Australian Bank-Bill Reference Rate: 1.20%

3 Month Canadian Bankers’ Acceptance Rate: 1.97%

3 Month London Interbank Offered Rate: 2.32%

3 Month Stockholm Interbank Offered Rate: (0.03)%

6 Month Australian Bank-Bill Reference Rate: 1.22%

6 Month Euro Interbank Offered Rate: (0.31)%

6 Month London Interbank Offered Rate: 2.20%

6 Month Norwegian Interbank Offered Rate: 1.72%

Total return swap contracts outstanding as of June 30, 2019:

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

DTOP Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

09/19/2019

ZAR

(1,218,140

)

$824

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2019

HKD

11,376,750

13,258

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/11/2019

KRW

487,200,000

8,588

MSCI Australia Net Return Index

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.45%)

Increases in total return of reference entity

Monthly

GSIN

09/20/2019

AUD

6,455

55

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.31%)

Increases in total return of reference entity

Monthly

GSIN

09/20/2019

EUR

101

4

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Mexico Equilibrium Interbank Interest Rate (“TIIE”) plus or minus a specified spread (0.05%)

Monthly

GSIN

09/18/2019

MXN

(16,691

)

16

The accompanying notes are an integral part of these financial statements. (Continued)

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65

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the Singapore Swap Offered Rate (“SOR”) plus or minus a specified spread (0.05%)

Increases in total return of reference entity

Monthly

GSIN

09/20/2019

SGD

248,156

$ 9,157

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Johannesburg Interbank Agreed Rate (“JIBAR”) plus or minus a specified spread(-0.47%)

Monthly

GSIN

09/18/2019

ZAR

(4,280,445

)

5,399

MSCI Sweden Net Return Index

Decreases in total return of reference entity and pays the STIBOR plus or minus a specified spread (0.01%)

Increases in total return of reference entity

Monthly

GSIN

09/20/2019

SEK

79,077

130

MSCI Switzerland Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

GSIN

09/20/2019

CHF

2,987

22

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/22/2019

USD

(32,290

)

659

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/22/2019

USD

(129,160

)

1,010

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(193,740

)

1,563

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/23/2019

USD

(79,088

)

424

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

66

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/20/2019

PLN

229,100

$ 202

41,311

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/29/2019

TRY

(412,913

)

(534

)

Canada 10 Year Bond September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

09/19/2019

CAD

(1,572,230

)

(14,897

)

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2019

HKD

541,750

(125

)

iBovespa Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/14/2019

BRL

(2,031,400

)

(12,921

)

MSCI Emerging Markets Thailand Net Total Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.10%)

Monthly

JPMC

09/18/2019

USD

(20,098

)

(1,036

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/25/2019

USD

(46,150

)

(2,054

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/22/2019

USD

32,290

(470

)

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(397,854

)

(9,839

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

09/20/2019

CHF

2,069,130

(2,043

)

TAIEX Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/17/2019

TWD

(6,346,200

)

(1,720

)

Tel Aviv Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/24/2019

ILS

(157,905

)

(8

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

67

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(210,900

)

$ (514

)

(46,161

)

$(4,850

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
CAC 40 10 Euro Index		38		7/2019	EUR		$2,390,798		$24,076
HSCEI		2		7/2019	HKD		138,702		1,654
LME Aluminum Base Metal		1		7/2019	USD		44,481		(2,947	)
LME Aluminum Base Metal		2		7/2019	USD		89,113		(3,937	)
LME Aluminum Base Metal		2		7/2019	USD		89,038		(5,118	)
LME Aluminum Base Metal		2		7/2019	USD		89,402		(1,334	)
LME Copper Base Metal		1		7/2019	USD		149,800		(14,050	)
LME Copper Base Metal		1		7/2019	USD		149,783		(11,195	)
LME Zinc Base Metal		1		7/2019	USD		63,625		(6,996	)
NY Harbor ULSD		1		7/2019	USD		81,455		5,144
OMXS30 Index		140		7/2019	SEK		2,443,478		45,178
RBOB Gasoline		1		7/2019	USD		79,657		8,530
SGX NIFTY 50 Index		19		7/2019	USD		449,844		316
LME Aluminum Base Metal		2		8/2019	USD		89,588		(168	)
LME Aluminum Base Metal		3		8/2019	USD		134,719		(337	)
LME Aluminum Base Metal		3		8/2019	USD		134,356		(1,975	)
LME Copper Base Metal		1		8/2019	USD		149,900		2,390
LME Copper Base Metal		1		8/2019	USD		149,870		(1,683	)
LME Copper Base Metal		1		8/2019	USD		149,837		(3,197	)
LME Nickel Base Metal		1		8/2019	USD		76,017		4,014
LME Nickel Base Metal		1		8/2019	USD		75,978		5,169
LME Zinc Base Metal		1		8/2019	USD		62,835		(4,493	)
Australia 10 Year Bond		21		9/2019	AUD		2,117,841		15,674
EURO STOXX 50 Index		145		9/2019	EUR		5,714,723		86,662
Euro-Bund		62		9/2019	EUR		12,178,204		157,405
FTSE 100 Index		3		9/2019	GBP		280,748		159
FTSE/JSE Top 40 Index		1		9/2019	ZAR		37,225		(437	)
FTSE/MIB Index		11		9/2019	EUR		1,323,107		(3,879	)
Japan 10 Year Bond		8		9/2019	JPY		11,415,851		27,675
KOSPI 200 Index		13		9/2019	KRW		783,614		16,468
LME Aluminum Base Metal		1		9/2019	USD		45,033		363
LME Aluminum Base Metal		2		9/2019	USD		89,938		933
LME Aluminum Base Metal		4		9/2019	USD		180,025		19
LME Copper Base Metal		1		9/2019	USD		149,954		3,746
LME Copper Base Metal		2		9/2019	USD		299,800		5,698
LME Nickel Base Metal		1		9/2019	USD		76,151		4,898
LME Nickel Base Metal		1		9/2019	USD		76,230		5,049
S&P/TSX 60 Index		8		9/2019	CAD		1,194,548		5,617

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

68

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Silver		2			9/2019	USD		$ 153,410			$ (703	)
SPI 200 Index		46			9/2019	AUD		5,295,458			37,309
											401,697
Short Contracts
Amsterdam Exchange Index		(14	)		7/2019	EUR		(1,785,934	)		(17,754	)
Brent Crude Oil		(4	)		7/2019	USD		(258,960	)		(15,985	)
FTSE Bursa Malaysia KLCI Index		(2	)		7/2019	MYR		(40,605	)		3
Hang Seng Index		(6	)		7/2019	HKD		(1,094,704	)		(13,081	)
IBEX 35 Index		(2	)		7/2019	EUR		(208,612	)		(696	)
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,481	)		2,774
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,038	)		4,695
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,402	)		1,313
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,113	)		4,319
LME Copper Base Metal		(1	)		7/2019	USD		(149,800	)		13,585
LME Copper Base Metal		(1	)		7/2019	USD		(149,783	)		10,950
LME Zinc Base Metal		(1	)		7/2019	USD		(63,625	)		7,072
MSCI Singapore Index		(1	)		7/2019	SGD		(27,949	)		(336	)
MSCI Taiwan Index		(21	)		7/2019	USD		(811,650	)		2,008
Natural Gas		(47	)		7/2019	USD		(1,084,760	)		18,391
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,588	)		285
LME Aluminum Base Metal		(3	)		8/2019	USD		(134,356	)		1,359
LME Aluminum Base Metal		(3	)		8/2019	USD		(134,719	)		85
LME Copper Base Metal		(1	)		8/2019	USD		(149,837	)		2,656
LME Copper Base Metal		(1	)		8/2019	USD		(149,870	)		1,341
LME Copper Base Metal		(1	)		8/2019	USD		(149,900	)		(2,003	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,017	)		(4,050	)
LME Nickel Base Metal		(1	)		8/2019	USD		(75,978	)		(5,293	)
LME Zinc Base Metal		(1	)		8/2019	USD		(62,835	)		3,681
Canada 10 Year Bond		(37	)		9/2019	CAD		(4,038,341	)		(9,805	)
Corn		(20	)		9/2019	USD		(424,750	)		4,982
DAX Index		(6	)		9/2019	EUR		(2,112,959	)		(17,765	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,033	)		(411	)
LME Aluminum Base Metal		(2	)		9/2019	USD		(89,938	)		(890	)
LME Aluminum Base Metal		(15	)		9/2019	USD		(675,094	)		(3,386	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,954	)		(3,906	)
LME Copper Base Metal		(4	)		9/2019	USD		(599,600	)		(17,461	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,151	)		(5,053	)
LME Nickel Base Metal		(4	)		9/2019	USD		(304,920	)		(14,998	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,050	)		957
Long Gilt		(74	)		9/2019	GBP		(12,245,113	)		(80,851	)
MEX BOLSA Index		(3	)		9/2019	MXN		(68,264	)		306
S&P 500E-Mini Index		(18	)		9/2019	USD		(2,649,780	)		(31,006	)
SET50 Index		(28	)		9/2019	THB		(209,666	)		(1,546	)
TOPIX Index		(44	)		9/2019	JPY		(6,329,731	)		12,575
U.S. Treasury 10 Year Note		(27	)		9/2019	USD		(3,455,156	)		(12,267	)
U.S. Treasury 2 Year Note		(26	)		9/2019	USD		(5,594,672	)		(5,812	)
Soybean		(9	)		11/2019	USD		(415,350	)		(12,548	)
Soybean Oil		(6	)		12/2019	USD		(103,788	)		(2,803	)
											(186,369	)
											$215,328

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

69

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	2,021,504	USD	1,404,930	CITI		9/18/2019		$17,661
AUD	2,021,496	USD	1,404,926	JPMC		9/18/2019		17,659
BRL	2,659,992	USD	679,594	CITI**		9/18/2019		7,860
BRL	2,660,008	USD	679,598	JPMC**		9/18/2019		7,859
CAD	2,183,008	USD	1,630,007	CITI		9/18/2019		39,402
CAD	2,182,992	USD	1,629,997	JPMC		9/18/2019		39,400
CHF	1,437,000	USD	1,467,296	CITI		9/18/2019		15,350
CHF	1,437,000	USD	1,467,298	JPMC		9/18/2019		15,349
CNY	204,000	USD	29,600	CITI**		9/18/2019		77
CNY	204,002	USD	29,600	JPMC**		9/18/2019		77
COP	115,000,000	USD	34,563	CITI**		9/18/2019		1,051
COP	115,000,000	USD	34,563	JPMC**		9/18/2019		1,051
CZK	8,250,000	USD	364,355	CITI		9/18/2019		5,008
CZK	8,250,000	USD	364,355	JPMC		9/18/2019		5,008
EUR	3,055,012	USD	3,468,095	CITI		9/18/2019		27,617
EUR	3,054,989	USD	3,468,071	JPMC		9/18/2019		27,616
GBP	438,640	USD	557,718	CITI		9/18/2019		1,317
GBP	438,650	USD	557,732	JPMC		9/18/2019		1,316
HKD	6,083,700	USD	776,597	CITI		9/18/2019		2,473
HKD	6,083,700	USD	776,598	JPMC		9/18/2019		2,472
HUF	65,500,000	USD	228,993	CITI		9/18/2019		2,687
HUF	65,500,000	USD	228,993	JPMC		9/18/2019		2,687
IDR	1,185,000,000	USD	79,902	CITI**		9/18/2019		3,138
IDR	1,185,000,000	USD	79,902	JPMC**		9/18/2019		3,138
ILS	1,080,000	USD	301,458	CITI		9/18/2019		2,647
ILS	1,080,000	USD	301,458	JPMC		9/18/2019		2,646
INR	41,750,010	USD	592,348	CITI**		9/18/2019		6,761
INR	41,749,990	USD	592,349	JPMC**		9/18/2019		6,761
JPY	220,709,500	USD	2,040,705	CITI		9/18/2019		18,384
JPY	220,709,500	USD	2,040,708	JPMC		9/18/2019		18,382
KRW	808,165,000	USD	688,410	CITI**		9/18/2019		11,446
KRW	808,165,000	USD	688,410	JPMC**		9/18/2019		11,445
MXN	20,628,310	USD	1,044,044	CITI		9/18/2019		16,487
MXN	20,541,142	USD	1,039,568	JPMC		9/18/2019		16,482
NZD	2,338,496	USD	1,537,433	CITI		9/18/2019		35,909
NZD	2,338,504	USD	1,537,441	JPMC		9/18/2019		35,907
PHP	18,099,988	USD	344,009	CITI**		9/18/2019		7,878
PHP	18,100,012	USD	344,010	JPMC**		9/18/2019		7,878
PLN	1,429,510	USD	376,426	CITI		9/18/2019		7,132
PLN	1,429,497	USD	376,423	JPMC		9/18/2019		7,131
RUB	14,950,000	USD	226,329	CITI**		9/18/2019		7,499
RUB	14,950,000	USD	226,329	JPMC**		9/18/2019		7,499
SEK	10,881,504	USD	1,148,234	CITI		9/18/2019		30,215
SEK	10,881,496	USD	1,148,235	JPMC		9/18/2019		30,214
SGD	321,504	USD	236,850	CITI		9/18/2019		1,060
SGD	321,496	USD	236,844	JPMC		9/18/2019		1,060
THB	321,500	USD	10,082	CITI		9/18/2019		421
THB	321,500	USD	10,082	JPMC		9/18/2019		421
TWD	2,350,000	USD	75,867	CITI**		9/18/2019		297
TWD	2,350,000	USD	75,867	JPMC**		9/18/2019		296
USD	193,431	BRL	746,500	CITI**		9/18/2019		504
USD	193,430	BRL	746,500	JPMC**		9/18/2019		503
USD	103,449	GBP	81,000	CITI		9/18/2019		217

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

70

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	103,449	GBP		81,000	JPMC		9/18/2019		$ 217
USD	6,661	HKD		52,000	CITI		9/18/2019		2
USD	6,661	HKD		52,000	JPMC		9/18/2019		1
USD	422,124	JPY		45,198,124	CITI		9/18/2019		452
USD	422,123	JPY		45,198,126	JPMC		9/18/2019		451
USD	441,164	MXN		8,548,712	CITI		9/18/2019		1,663
USD	441,145	MXN		8,548,712	JPMC		9/18/2019		1,645
ZAR	2,923,500	USD		199,827	CITI		9/18/2019		5,675
ZAR	2,923,500	USD		199,827	JPMC		9/18/2019		5,674
USD	1,477	CLP		1,000,000	CITI**		9/23/2019		—
USD	1,477	CLP		1,000,000	JPMC**		9/23/2019		—
Total unrealized appreciation									556,535
BRL	60,500	USD		15,711	CITI**		9/18/2019		(75	)
BRL	60,500	USD		15,711	JPMC**		9/18/2019		(75	)
CHF	109,500	USD		113,039	CITI		9/18/2019		(60	)
CHF	109,500	USD		113,039	JPMC		9/18/2019		(61	)
COP	205,000,000	USD		64,020	CITI**		9/18/2019		(534	)
COP	205,000,000	USD		64,020	JPMC**		9/18/2019		(534	)
CZK	250,000	USD		11,211	CITI		9/18/2019		(18	)
CZK	250,000	USD		11,211	JPMC		9/18/2019		(18	)
EUR	67,000	USD		76,767	CITI		9/18/2019		(101	)
EUR	67,000	USD		76,767	JPMC		9/18/2019		(102	)
GBP	281,352	USD		359,523	CITI		9/18/2019		(947	)
GBP	281,358	USD		359,531	JPMC		9/18/2019		(947	)
HUF	4,000,000	USD		14,185	CITI		9/18/2019		(37	)
HUF	4,000,000	USD		14,185	JPMC		9/18/2019		(37	)
JPY	133,949,500	USD		1,255,192	CITI		9/18/2019		(5,521	)
JPY	133,949,500	USD		1,255,193	JPMC		9/18/2019		(5,523	)
KRW	40,444,000	USD		35,126	CITI**		9/18/2019		(103	)
KRW	40,444,000	USD		35,127	JPMC**		9/18/2019		(103	)
MXN	6,935,694	USD		357,599	CITI		9/18/2019		(1,024	)
MXN	7,022,856	USD		362,082	JPMC		9/18/2019		(1,026	)
PLN	64,000	USD		17,183	CITI		9/18/2019		(11	)
PLN	64,000	USD		17,183	JPMC		9/18/2019		(11	)
TWD	3,200,000	USD		103,731	CITI**		9/18/2019		(20	)
TWD	3,200,000	USD	��	103,732	JPMC**		9/18/2019		(20	)
USD	1,446,708	AUD		2,082,500	CITI		9/18/2019		(18,807	)
USD	1,446,706	AUD		2,082,500	JPMC		9/18/2019		(18,809	)
USD	583,628	BRL		2,307,000	CITI**		9/18/2019		(12,598	)
USD	583,627	BRL		2,307,000	JPMC**		9/18/2019		(12,598	)
USD	615,082	CAD		817,000	CITI		9/18/2019		(9,701	)
USD	615,082	CAD		817,000	JPMC		9/18/2019		(9,702	)
USD	2,436,548	CHF		2,412,990	CITI		9/18/2019		(53,092	)
USD	2,436,565	CHF		2,413,010	JPMC		9/18/2019		(53,095	)
USD	711,642	CNY		4,938,396	CITI**		9/18/2019		(6,772	)
USD	711,643	CNY		4,938,406	JPMC**		9/18/2019		(6,773	)
USD	147,655	CZK		3,400,000	CITI		9/18/2019		(4,567	)
USD	147,655	CZK		3,400,000	JPMC		9/18/2019		(4,567	)
USD	4,291,980	EUR		3,797,996	CITI		9/18/2019		(53,896	)
USD	4,291,985	EUR		3,798,005	JPMC		9/18/2019		(53,901	)
USD	1,162,615	GBP		916,500	CITI		9/18/2019		(5,440	)
USD	1,162,614	GBP		916,500	JPMC		9/18/2019		(5,442	)
USD	125,666	HKD		983,500	CITI		9/18/2019		(280	)
USD	125,665	HKD		983,500	JPMC		9/18/2019		(280	)
USD	38,556	HUF		11,122,000	CITI		9/18/2019		(784	)
USD	38,556	HUF		11,122,000	JPMC		9/18/2019		(784	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

71

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	68,354	ILS	245,000	CITI		9/18/2019		$ (633	)
USD	68,354	ILS	245,000	JPMC		9/18/2019		(633	)
USD	580,476	INR	40,815,488	CITI**		9/18/2019		(5,223	)
USD	580,476	INR	40,815,512	JPMC**		9/18/2019		(5,224	)
USD	2,915,912	JPY	316,386,868	CITI		9/18/2019		(35,791	)
USD	2,915,909	JPY	316,386,882	JPMC		9/18/2019		(35,794	)
USD	1,567,112	KRW	1,852,961,985	CITI**		9/18/2019		(37,518	)
USD	1,567,110	KRW	1,852,962,015	JPMC**		9/18/2019		(37,520	)
USD	532,730	MXN	10,576,796	CITI		9/18/2019		(11,040	)
USD	532,738	MXN	10,576,782	JPMC		9/18/2019		(11,031	)
USD	55,749	NOK	478,504	CITI		9/18/2019		(467	)
USD	55,748	NOK	478,496	JPMC		9/18/2019		(467	)
USD	802,098	NZD	1,224,500	CITI		9/18/2019		(21,747	)
USD	802,097	NZD	1,224,500	JPMC		9/18/2019		(21,748	)
USD	116,552	PLN	444,996	CITI		9/18/2019		(2,847	)
USD	116,560	PLN	445,011	JPMC		9/18/2019		(2,843	)
USD	310,853	SGD	424,500	CITI		9/18/2019		(3,273	)
USD	310,852	SGD	424,500	JPMC		9/18/2019		(3,273	)
USD	464,656	TWD	14,599,996	CITI**		9/18/2019		(8,528	)
USD	464,656	TWD	14,600,004	JPMC**		9/18/2019		(8,529	)
USD	569,273	ZAR	8,443,511	CITI		9/18/2019		(24,246	)
USD	569,271	ZAR	8,443,489	JPMC		9/18/2019		(24,247	)
USD	628,136	CLP	439,000,012	CITI**		9/23/2019		(19,997	)
USD	628,135	CLP	438,999,988	JPMC**		9/23/2019		(19,998	)
Total unrealized depreciation								(691,413	)
Net unrealized depreciation							$	(134,878	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

72

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—		$1,376,591		$1,376,591
CITI
Investment Companies		171,641		—		171,641
CRSU
Cash		—		34,293		34,293
GSCO
Cash		—		379,114		379,114
GSIN
U.S. Treasury Bills		258,078		—		258,078
JPMS
Cash		—		25,818		25,818
JPMC
Investment Companies		366,782		—		366,782
MSCL
Cash		—		59,527		59,527

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Cash		$(30,000	)		$—		$(30,000	)
Investment Companies		1,877			—		1,877
GSCO
Cash		—			38,119		38,119
JPPC
Cash		—			114,027		114,027
MSCL
Cash		—			141,769		141,769

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

73

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 136.1%
COMMON STOCKS - 53.3%
Canada - 4.6%
Air Canada *(a)		570,050	$	17,277,143
Alimentation Couche-Tard, Inc., Class B		28,930		1,820,565
Atco Ltd., Class I		16,524		556,962
BCE, Inc.		5,607		255,099
Canadian Imperial Bank of Commerce (a)		46,127		3,627,321
Canadian Pacific Railway Ltd.		5,356		1,261,465
Canadian Tire Corp. Ltd., Class A (a)		24,812		2,703,353
CGI, Inc. *		3,837		294,994
CI Financial Corp.		45,172		736,108
Constellation Software, Inc.		809		762,482
Cronos Group, Inc. *		18,720		300,338
Empire Co. Ltd., Class A (a)		140,150		3,529,569
Finning International, Inc.		148,134		2,700,133
Fortis, Inc.		6,730		265,746
Gildan Activewear, Inc.		30,511		1,180,785
Husky Energy, Inc.		77,476		734,204
Linamar Corp.		52,226		1,949,377
Magna International, Inc. (a)		180,933		9,002,783
Methanex Corp. (a)		117,573		5,337,494
National Bank of Canada (a)		84,447		4,011,644
Open Text Corp.		6,880		283,911
Quebecor, Inc., Class B		45,734		1,089,262
Rogers Communications, Inc., Class B		4,922		263,474
Teck Resources Ltd., Class B		41,550		958,834
Thomson Reuters Corp.		12,051		777,419
West Fraser Timber Co. Ltd. (a)		90,358		4,119,257
WestJet Airlines Ltd.		11,072		259,901
				66,059,623
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd. (2)		2,042,000		2,313,524
Italy - 6.0%
A2A SpA (2)(a)		6,135,511		10,650,760
Assicurazioni Generali SpA (2)		156,339		2,943,485
Banca Generali SpA (2)(b)		23,216		668,495
BPER Banca (2)(a)		1,183,491		4,824,069
Enel SpA (2)(a)		3,405,658		23,757,017
Eni SpA (2)(a)		1,093,850		18,187,799
Hera SpA (2)(a)		1,330,096		5,087,645
Italgas SpA (2)(a)		802,687		5,394,807
Moncler SpA (2)(b)		49,536		2,123,180
Poste Italiane SpA (2)(c)		111,564		1,175,628
Saipem SpA (2)*(b)		448,429		2,237,824
Snam SpA (2)(a)		666,984		3,318,127
Terna Rete Elettrica Nazionale SpA (2)		44,510		283,601
UniCredit SpA (2)		22,594		278,106
Unipol Gruppo SpA (2)(a)		1,086,399		5,293,743
				86,224,286
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		745,100		1,465,308

INVESTMENTS	SHARES		VALUE
Singapore - 0.2% (continued)
Genting Singapore Ltd. (2)		2,602,700	$	1,770,763
				3,236,071
Spain - 0.6%
Repsol SA (2)(a)		586,768		9,208,060
Switzerland - 1.3%
STMicroelectronics NV (2)(b)		76,640		1,357,293
Temenos AG (Registered) (2)*(a)		98,311		17,602,976
				18,960,269
United Kingdom - 0.1%
Fiat Chrysler Automobiles NV (2)		96,870		1,344,404
United States - 40.3%
3M Co. (b)		19,613		3,399,717
Abbott Laboratories (b)		14,474		1,217,263
AbbVie, Inc. (a)		72,396		5,264,637
Acuity Brands, Inc. (b)		6,723		927,169
AGCO Corp. (b)		23,263		1,804,511
Agilent Technologies, Inc. (a)		172,801		12,903,052
Alexion Pharmaceuticals, Inc. *(b)		23,551		3,084,710
Align Technology, Inc. *(b)		4,960		1,357,552
Alkermes plc *(b)		98,630		2,223,120
Allergan plc		6,149		1,029,527
Allison Transmission Holdings, Inc.		6,489		300,765
Allscripts Healthcare Solutions, Inc. *(b)		66,305		771,127
Altice USA, Inc., Class A *(b)		70,217		1,709,784
AMC Networks, Inc., Class A *(b)		52,028		2,835,006
Amedisys, Inc. *		2,692		326,836
Amgen, Inc. (a)(b)		24,696		4,550,979
Anthem, Inc. (b)		9,943		2,806,014
Apple, Inc. (a)(b)		14,678		2,905,070
Armstrong World Industries, Inc.		2,732		265,550
Arrow Electronics, Inc. *(b)		51,165		3,646,530
Avnet, Inc. (a)		112,559		5,095,546
Bausch Health Cos., Inc. *		30,142		760,484
Baxter International, Inc. (a)(b)		83,653		6,851,181
Biogen, Inc. *(a)		63,989		14,965,108
Bio-Rad Laboratories, Inc., Class A *(b)		18,454		5,768,536
Boeing Co. (The) (a)		14,332		5,216,991
Boston Scientific Corp. *(b)		64,310		2,764,044
Bristol-Myers Squibb Co. (b)		131,008		5,941,213
BRP, Inc. (a)		147,174		5,259,626
Bruker Corp. (a)		219,189		10,948,491
Cardinal Health, Inc. (b)		98,843		4,655,505
Carlisle Cos., Inc.		2,636		370,121
Caterpillar, Inc. (b)		25,860		3,524,459
CBS Corp.(Non-Voting), Class B (a)(b)		169,827		8,474,367
CDW Corp. (a)		114,339		12,691,629
Cerner Corp. (b)		88,183		6,463,814
Charles River Laboratories International, Inc. *(a)		84,498		11,990,266
Ciena Corp. *		51,390		2,113,671
Cigna Corp.		2,772		436,729
Cisco Systems, Inc. (b)		152,385		8,340,031
Comcast Corp., Class A (a)		193,666		8,188,198
CommScope Holding Co., Inc. *(b)		197,285		3,103,293

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

74

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES		VALUE
United States - 40.3% (continued)
ConocoPhillips (a)		158,952	$	9,696,072
Crane Co. (a)		54,137		4,517,191
Cummins, Inc. (a)(b)		60,979		10,448,142
Curtiss-Wright Corp. (a)		82,988		10,550,264
Danaher Corp.		6,816		974,143
DENTSPLY SIRONA, Inc.		34,781		2,029,819
Devon Energy Corp. (b)		43,475		1,239,907
Dover Corp. (b)		32,775		3,284,055
Eaton Corp. plc (a)		61,038		5,083,245
Edwards Lifesciences Corp. *(b)		10,060		1,858,484
Eli Lilly & Co. (b)		22,299		2,470,506
EMCOR Group, Inc.		28,931		2,548,821
Emerson Electric Co. (b)		77,863		5,195,019
EQT Corp. (b)		21,941		346,887
Exelixis, Inc. *(a)		311,597		6,658,828
F5 Networks, Inc. *(a)		47,308		6,889,464
Flex Ltd. *(b)		400,492		3,832,708
FLIR Systems, Inc. (a)		61,757		3,341,054
Fluor Corp. (b)		23,846		803,372
Fox Corp., Class A (b)		42,660		1,563,062
Gardner Denver Holdings, Inc. *(b)		48,363		1,673,360
General Dynamics Corp.		8,191		1,489,288
Gilead Sciences, Inc. (a)		123,272		8,328,256
Globus Medical, Inc., Class A *(a)		121,602		5,143,765
GrafTech International Ltd. (b)		93,695		1,077,493
Haemonetics Corp. *(a)		29,967		3,606,229
Halliburton Co. (b)		66,080		1,502,659
HCA Healthcare, Inc. (a)		23,022		3,111,884
HD Supply Holdings, Inc. *(b)		65,722		2,647,282
Hewlett Packard Enterprise Co.		31,275		467,561
Hill-Rom Holdings, Inc.		19,170		2,005,565
HollyFrontier Corp.		50,912		2,356,207
Hologic, Inc. *(b)		31,571		1,516,039
Honeywell International, Inc. (a)(b)		44,693		7,802,951
HP, Inc. (b)		248,576		5,167,895
Humana, Inc. (a)		13,440		3,565,632
Huntington Ingalls Industries, Inc. (a)(b)		48,022		10,792,464
ICU Medical, Inc. *(b)		1,009		254,177
IDEXX Laboratories, Inc. *(b)		1,369		376,927
Incyte Corp. *(b)		40,583		3,447,932
Ingersoll-Rand plc (a)		42,150		5,339,141
Inogen, Inc. *(b)		43,832		2,926,224
Interpublic Group of Cos., Inc. (The) (b)		111,844		2,526,556
IQVIA Holdings, Inc. *(a)		20,395		3,281,556
ITT, Inc.		37,544		2,458,381
Jazz Pharmaceuticals plc *		18,063		2,575,061
John Wiley & Sons, Inc., Class A (b)		24,845		1,139,392
Johnson & Johnson (a)		39,675		5,525,934
Juniper Networks, Inc. (a)(b)		157,511		4,194,518
Kennametal, Inc.		11,956		442,252
Keysight Technologies, Inc. *(a)		73,728		6,621,512
Liberty Media Corp.-Liberty SiriusXM, Class C *		37,331		1,417,831
Lincoln Electric Holdings, Inc. (b)		7,442		612,625
LivaNova plc *(b)		21,442		1,542,966
Lockheed Martin Corp. (b)		19,940		7,248,988
Marathon Oil Corp. (b)		75,197		1,068,549
Masco Corp. (a)(b)		99,897		3,919,958

INVESTMENTS	SHARES		VALUE
United States - 40.3% (continued)
Masimo Corp. *(a)		51,977	$	7,735,217
McKesson Corp. (a)(b)		54,925		7,381,371
MEDNAX, Inc. *(b)		79,784		2,012,950
Medtronic plc		108,009		10,518,997
Merck & Co., Inc. (a)		83,121		6,969,696
Motorola Solutions, Inc.		3,057		509,694
MSC Industrial Direct Co., Inc., Class A (b)		39,428		2,927,923
Mylan NV *(b)		173,068		3,295,215
National Instruments Corp. (a)(b)		107,960		4,533,240
NuVasive, Inc. *(b)		41,240		2,414,190
nVent Electric plc		85,414		2,117,413
Omnicom Group, Inc. (b)		41,668		3,414,693
Oshkosh Corp. (a)		40,821		3,408,145
Parker-Hannifin Corp. (b)		10,425		1,772,354
Patterson-UTI Energy, Inc. (b)		243,890		2,807,174
Pentair plc		64,787		2,410,076
Pfizer, Inc. (a)(b)		161,248		6,985,263
Phillips 66 (b)		57,907		5,416,621
PRA Health Sciences, Inc. *(a)		54,828		5,436,196
QIAGEN NV *(b)		151,228		6,132,295
Quanta Services, Inc.		10,473		399,964
Regal Beloit Corp. (b)		24,837		2,029,431
Regeneron Pharmaceuticals, Inc. *		7,842		2,454,546
Resideo Technologies, Inc. *		15,588		341,689
Snap-on, Inc. (b)		11,428		1,892,934
Southwestern Energy Co. *(b)		358,097		1,131,587
Spirit AeroSystems Holdings, Inc., Class A (a)		113,595		9,243,225
Stanley Black & Decker, Inc. (b)		1,881		272,011
Stryker Corp.		2,998		616,329
TE Connectivity Ltd. (b)		61,829		5,921,982
Tech Data Corp. *(a)		59,494		6,223,072
TEGNA, Inc. (a)		458,953		6,953,138
Teledyne Technologies, Inc. *(a)		14,279		3,910,590
Thermo Fisher Scientific, Inc. (a)(b)		20,629		6,058,325
Timken Co. (The)		25,176		1,292,536
United Technologies Corp.		6,617		861,533
United Therapeutics Corp. *(a)		69,142		5,397,225
Universal Health Services, Inc., Class B (b)		9,118		1,188,896
Valero Energy Corp. (b)		45,044		3,856,217
Varian Medical Systems, Inc. *(b)		33,612		4,575,602
Veeva Systems, Inc., Class A *(a)		32,957		5,342,659
Viacom, Inc., Class B (b)		159,466		4,763,249
Vishay Intertechnology, Inc. (b)		140,401		2,319,425
Waters Corp. *(b)		2,618		563,498
WESCO International, Inc. *(a)		184,053		9,322,284
West Pharmaceutical Services, Inc.		4,251		532,013
World Fuel Services Corp. (a)(b)		107,252		3,856,782
WW Grainger, Inc. (b)		17,203		4,614,361
Xerox Corp. (a)		137,339		4,863,174
Zebra Technologies Corp., Class A *		2,717		569,184
Zimmer Biomet Holdings, Inc.		12,422		1,462,566
				580,787,025
TOTAL COMMON STOCKS (Cost $692,851,822)				768,133,262

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

75

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
SHORT-TERM INVESTMENTS - 82.8%
INVESTMENT COMPANIES - 26.5%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (d)(e)		21,190,442		$	21,190,442
Limited Purpose Cash Investment Fund, 2.36% (d)(f)		353,209,795			353,280,437
UBS Select Treasury Preferred Fund, Class I, 2.23% (d)		6,930,898			6,930,898
TOTAL INVESTMENT COMPANIES (Cost $381,259,204)					381,401,777
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 56.3%
U.S. Treasury Bills
2.44%, 9/26/2019 (2)(g)(h)	$	50,727,000			50,472,625
2.42%, 10/10/2019 (2)(g)(h)		16,308,000			16,212,147
2.41%, 11/7/2019 (2)(g)(h)		97,028,000			96,310,902
2.38%, 11/14/2019 (2)(g)(h)		85,184,000			84,522,689
2.37%, 11/21/2019 (2)(g)(h)		120,333,000			119,348,342
2.26%, 11/29/2019 (2)(g)(i)		179,647,000			178,090,982
2.24%, 12/5/2019 (2)(g)(h)		146,104,000			144,821,683
2.12%, 12/12/2019 (2)(g)(h)		122,426,000			121,290,346
TOTAL U.S. TREASURY OBLIGATIONS (Cost $810,378,256)					811,069,716
TOTALSHORT-TERM INVESTMENTS (Cost $1,191,637,460)					1,192,471,493
TOTAL LONG POSITIONS (Cost $1,884,489,282)					1,960,604,755
	SHARES
SHORT POSITIONS - (39.2)%
COMMON STOCKS - (39.2)%
Brazil - 0.0% (j)
Yamana Gold, Inc.		(125,000	)		(316,903	)
Canada - (4.5)%
Agnico Eagle Mines Ltd.		(75,892	)		(3,890,946	)
AltaGas Ltd.		(214,387	)		(3,243,104	)
Barrick Gold Corp.		(75,241	)		(1,187,608	)
Bombardier, Inc., Class B *		(1,064,160	)		(1,787,753	)
Brookfield Asset Management, Inc., Class A		(25,829	)		(1,235,682	)
Cameco Corp.		(433,394	)		(4,646,521	)
Canadian Natural Resources Ltd.		(22,514	)		(607,055	)
CCL Industries, Inc., Class B		(11,886	)		(582,886	)
Cenovus Energy, Inc.		(430,200	)		(3,794,288	)
Element Fleet Management Corp.		(573,965	)		(4,190,069	)
Enbridge, Inc.		(128,205	)		(4,630,672	)
Encana Corp.		(375,770	)		(1,928,276	)
Franco-Nevada Corp.		(19,279	)		(1,636,334	)
Keyera Corp.		(43,894	)		(1,129,570	)
Kinross Gold Corp. *		(120,391	)		(465,182	)
Onex Corp.		(5,730	)		(345,625	)
Pembina Pipeline Corp.		(15,532	)		(578,202	)

INVESTMENTS	SHARES			VALUE
Canada - (4.5)% (continued)
PrairieSky Royalty Ltd.		(287,803	)	$	(4,043,813	)
Restaurant Brands International, Inc.		(6,315	)		(439,164	)
Saputo, Inc.		(8,385	)		(250,996	)
Shopify, Inc., Class A *		(2,747	)		(825,600	)
SNC-Lavalin Group, Inc.		(108,925	)		(2,202,538	)
Stars Group, Inc. (The) *		(118,090	)		(2,015,434	)
Suncor Energy, Inc.		(11,156	)		(347,999	)
TC Energy Corp.		(148,018	)		(7,337,886	)
Vermilion Energy, Inc.		(52,824	)		(1,147,602	)
Wheaton Precious Metals Corp.		(356,289	)		(8,616,451	)
Whitecap Resources, Inc.		(327,802	)		(1,063,845	)
					(64,171,101	)
Chile - 0.0% (j)
Lundin Mining Corp.		(88,606	)		(487,839	)
Ghana - (0.1)%
Kosmos Energy Ltd.		(121,894	)		(764,275	)
Italy - (3.4)%
Banco BPM SpA (2)*		(1,625,090	)		(3,309,822	)
Buzzi Unicem SpA (2)		(310,608	)		(6,306,538	)
Davide Campari-Milano SpA (2)		(105,012	)		(1,028,767	)
Ferrari NV (2)		(91,579	)		(14,848,583	)
Freni Brembo SpA (2)		(299,659	)		(3,448,592	)
Leonardo SpA (2)		(70,446	)		(893,716	)
Pirelli & C SpA (2)(c)		(1,186,939	)		(7,006,340	)
Prysmian SpA (2)		(159,766	)		(3,301,041	)
Recordati SpA (2)		(17,019	)		(709,357	)
Telecom Italia SpA (2)*		(3,147,334	)		(1,718,305	)
Unione di Banche Italiane SpA (2)		(2,223,721	)		(6,071,311	)
					(48,642,372	)
Luxembourg - (0.7)%
Tenaris SA (2)		(806,541	)		(10,578,425	)
Netherlands - (0.4)%
Koninklijke Vopak NV (2)		(137,284	)		(6,322,021	)
Singapore - (0.4)%
City Developments Ltd. (2)		(52,300	)		(366,358	)
Keppel Corp. Ltd. (2)		(153,600	)		(756,848	)
Singapore Telecommunications Ltd. (2)		(1,231,200	)		(3,186,735	)
Venture Corp. Ltd. (2)		(29,200	)		(352,552	)
Wilmar International Ltd. (2)		(272,700	)		(746,501	)
					(5,408,994	)
United States - (29.2)%
Acadia Healthcare Co., Inc. *		(289,943	)		(10,133,508	)
AECOM *		(82,095	)		(3,107,296	)
Agios Pharmaceuticals, Inc. *		(83,601	)		(4,170,018	)
Air Lease Corp.		(18,927	)		(782,442	)
Alnylam Pharmaceuticals, Inc. *		(18,486	)		(1,341,344	)
AmerisourceBergen Corp.		(10,180	)		(867,947	)
Amphenol Corp., Class A		(7,799	)		(748,236	)
Antero Resources Corp. *		(78,587	)		(434,586	)
Apache Corp.		(84,382	)		(2,444,547	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

76

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
United States - (29.2)% (continued)
Arconic, Inc.		(10,166	)	$	(262,486	)
Arcosa, Inc.		(29,211	)		(1,099,210	)
Avanos Medical, Inc. *		(80,970	)		(3,531,102	)
Baker Hughes a GE Co.		(238,869	)		(5,883,343	)
Belden, Inc.		(60,072	)		(3,578,489	)
BioMarin Pharmaceutical, Inc. *		(32,309	)		(2,767,266	)
Bio-Techne Corp.		(6,963	)		(1,451,716	)
Bluebird Bio, Inc. *		(46,217	)		(5,878,802	)
BWX Technologies, Inc.		(111,374	)		(5,802,585	)
Callon Petroleum Co. *		(601,114	)		(3,961,341	)
Cantel Medical Corp.		(3,349	)		(270,063	)
Catalent, Inc. *		(90,922	)		(4,928,882	)
Centene Corp. *		(23,082	)		(1,210,420	)
Centennial Resource Development, Inc., Class A *		(157,615	)		(1,196,298	)
Charter Communications, Inc., Class A *		(13,806	)		(5,455,855	)
Cheniere Energy, Inc. *		(96,756	)		(6,622,948	)
Chesapeake Energy Corp. *		(972,917	)		(1,897,188	)
Cimarex Energy Co.		(7,059	)		(418,810	)
CNX Resources Corp. *		(94,083	)		(687,747	)
Cognex Corp.		(155,265	)		(7,449,615	)
Coherent, Inc. *		(26,392	)		(3,599,077	)
Concho Resources, Inc.		(80,462	)		(8,302,069	)
Core Laboratories NV		(23,342	)		(1,220,320	)
CVS Health Corp.		(8,969	)		(488,721	)
Deere & Co.		(21,413	)		(3,548,348	)
Dell Technologies, Inc., Class C *		(12,372	)		(628,498	)
Discovery, Inc., Class A *		(105,468	)		(3,237,868	)
Dolby Laboratories, Inc., Class A		(10,318	)		(666,543	)
Donaldson Co., Inc.		(10,153	)		(516,382	)
Dril-Quip, Inc. *		(57,586	)		(2,764,128	)
Dycom Industries, Inc. *		(46,326	)		(2,727,212	)
EnerSys		(4,334	)		(296,879	)
Ensco Rowan plc, Class A		(485,165	)		(4,138,457	)
Equitrans Midstream Corp.		(236,310	)		(4,657,670	)
Exact Sciences Corp. *		(9,427	)		(1,112,763	)
Extraction Oil & Gas, Inc. *		(165,814	)		(717,975	)
Fastenal Co.		(83,099	)		(2,708,196	)
Flowserve Corp.		(41,674	)		(2,195,803	)
Fortive Corp.		(13,416	)		(1,093,672	)
GATX Corp.		(8,716	)		(691,092	)
GCI Liberty, Inc., Class A *		(76,756	)		(4,717,424	)
Granite Construction, Inc.		(206,378	)		(9,943,292	)
HealthEquity, Inc. *		(21,418	)		(1,400,737	)
HEICO Corp.		(80,200	)		(10,731,562	)
Helmerich & Payne, Inc.		(31,291	)		(1,583,950	)
Hess Corp.		(94,633	)		(6,015,820	)
Insulet Corp. *		(144,134	)		(17,206,718	)
Intuitive Surgical, Inc. *		(3,207	)		(1,682,232	)
IPG Photonics Corp. *		(37,912	)		(5,847,926	)
Jacobs Engineering Group, Inc.		(86,281	)		(7,281,254	)
Kinder Morgan, Inc.		(57,019	)		(1,190,557	)
Ligand Pharmaceuticals, Inc. *		(23,085	)		(2,635,153	)
Lions Gate Entertainment Corp., Class A		(46,372	)		(568,057	)
Littelfuse, Inc.		(21,281	)		(3,764,822	)

INVESTMENTS	SHARES			VALUE
United States - (29.2)% (continued)
Live Nation Entertainment, Inc. *		(44,632	)	$	(2,956,870	)
Lumentum Holdings, Inc. *		(82,421	)		(4,402,106	)
Marathon Petroleum Corp.		(18,688	)		(1,044,285	)
MasTec, Inc. *		(95,236	)		(4,907,511	)
Matador Resources Co. *		(313,525	)		(6,232,877	)
Medidata Solutions, Inc. *		(5,125	)		(463,864	)
Meredith Corp.		(171,408	)		(9,437,724	)
Middleby Corp. (The) *		(46,642	)		(6,329,319	)
Molina Healthcare, Inc. *		(7,277	)		(1,041,630	)
Murphy Oil Corp.		(57,059	)		(1,406,504	)
Nabors Industries Ltd.		(240,132	)		(696,383	)
National Oilwell Varco, Inc.		(107,503	)		(2,389,792	)
NCR Corp. *		(118,584	)		(3,687,962	)
Nektar Therapeutics *		(49,579	)		(1,764,021	)
NetScout Systems, Inc. *		(142,231	)		(3,611,245	)
Neurocrine Biosciences, Inc. *		(2,912	)		(245,860	)
New York Times Co. (The), Class A		(127,621	)		(4,162,997	)
NewMarket Corp.		(5,621	)		(2,253,684	)
Noble Energy, Inc.		(241,486	)		(5,409,286	)
Nordson Corp.		(2,727	)		(385,352	)
NOW, Inc. *		(462,553	)		(6,827,282	)
Oasis Petroleum, Inc. *		(405,471	)		(2,303,075	)
Occidental Petroleum Corp.		(89,275	)		(4,488,747	)
Oceaneering International, Inc. *		(69,018	)		(1,407,277	)
ONEOK, Inc.		(179,677	)		(12,363,574	)
Parsley Energy, Inc., Class A *		(60,762	)		(1,155,086	)
Penumbra, Inc. *		(27,444	)		(4,391,040	)
Perrigo Co. plc		(33,986	)		(1,618,413	)
Plantronics, Inc.		(44,931	)		(1,664,244	)
Premier, Inc., Class A *		(189,383	)		(7,406,769	)
Prestige Consumer Healthcare, Inc. *		(220,057	)		(6,971,406	)
Pure Storage, Inc., Class A *		(59,631	)		(910,565	)
Quest Diagnostics, Inc.		(16,536	)		(1,683,530	)
Range Resources Corp.		(264,553	)		(1,846,580	)
Sage Therapeutics, Inc. *		(24,484	)		(4,482,776	)
Schlumberger Ltd.		(10,350	)		(411,309	)
Seattle Genetics, Inc. *		(69,454	)		(4,806,911	)
Sensata Technologies Holding plc *		(24,940	)		(1,222,060	)
Sirius XM Holdings, Inc.		(206,531	)		(1,152,443	)
Syneos Health, Inc. *		(55,280	)		(2,824,255	)
SYNNEX Corp.		(34,283	)		(3,373,447	)
Targa Resources Corp.		(173,167	)		(6,798,536	)
Teleflex, Inc.		(5,424	)		(1,796,158	)
Toro Co. (The)		(6,014	)		(402,337	)
TransDigm Group, Inc. *		(17,320	)		(8,379,416	)
Transocean Ltd. *		(1,140,538	)		(7,310,849	)
Trex Co., Inc. *		(42,637	)		(3,057,073	)
Trimble, Inc. *		(47,230	)		(2,130,545	)
Trinity Industries, Inc.		(94,943	)		(1,970,067	)
Ubiquiti Networks, Inc.		(2,118	)		(278,517	)
United Rentals, Inc. *		(9,679	)		(1,283,726	)
Univar, Inc. *		(51,538	)		(1,135,898	)
ViaSat, Inc. *		(128,385	)		(10,376,076	)
Wabtec Corp.		(170,995	)		(12,270,601	)
Welbilt, Inc. *		(401,623	)		(6,707,104	)
Western Digital Corp.		(61,417	)		(2,920,378	)
Williams Cos., Inc. (The)		(275,506	)		(7,725,188	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

77

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

INVESTMENTS	SHARES			VALUE
United States - (29.2)% (continued)
WPX Energy, Inc. *		(137,705	)	$	(1,584,985	)
Xylem, Inc.		(14,116	)		(1,180,662	)
					(421,713,444	)
Zambia - (0.5)%
First Quantum Minerals Ltd.		(728,196	)		(6,917,459	)
TOTAL COMMON STOCKS (Proceeds $(584,732,590))					(565,322,833	)
TOTAL SHORT POSITIONS (Proceeds $(584,732,590))					(565,322,833	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.9% (Cost $1,299,756,692)					1,395,281,922
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% (k)				45,264,784
NET ASSETS - 100.0%				$	1,440,546,706

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	7,998,834			0.5	%
Consumer Discretionary		(2,423,843	)		(0.2	)
Consumer Staples		3,323,870			0.2
Energy		(100,667,864	)		(7.0	)
Financials		8,406,089			0.6
Health Care		154,370,119			10.7
Industrials		58,826,925			4.1
Information Technology		52,835,465			3.7
Materials		(22,246,244	)		(1.5	)
Real Estate		(366,358	)		0.0	(j)
Utilities		42,753,436			3.0
Short-Term Investments		1,192,471,493			82.8
Total Investments In Securities At Value		1,395,281,922			96.9
Other Assets in Excess of Liabilities (k)		45,264,784			3.1
Net Assets	$	1,440,546,706			100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $457,652,941.

(b) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $159,831,136.

(c) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $(5,830,712), which represents approximately (0.40)% of net assets of the fund.

(d) Represents 7-day effective yield as of June 30, 2019.

(e) All or a portion of the security pledged as collateral for forward foreign currency exchange contracts.

(f) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE

SHARES HELD AT 12/31/18

SHARES PURCHASED

SHARES SOLD

SHARES HELD AT 06/30/19

VALUE AT 06/30/19

DIVIDEND INCOME

NET REALIZED GAIN (LOSS)

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)

Other Affiliates:

SHORT-TERM INVESTMENTS - 24.5%

INVESTMENT COMPANIES - 24.5%

Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $353,137,864)

193,083,657

2,384,383,239

(2,224,257,101)

353,209,795

$353,280,437

$5,494,323

$38,346

$81,731

(a) Represents 7-day effective yield as of June 30, 2019.

(g) The rate shown was the effective yield at the date of purchase.

(h) All or a portion of the security pledged as collateral for swap contracts.

(i) All or a portion of the security pledged as collateral for swap and futures contracts.

(j) Represents less than 0.05% of net assets.

(k) Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.

(2) Level 2 security (See Note 5).

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

78

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Total return swap contracts outstanding as of June 30, 2019:

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

07/30/2019

HKD

2,850,500

$3,995

MSCI Australia Net Return Index

Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.15%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

AUD

2,085,072

17,913

MSCI Italy Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

EUR

6,143,116

239,540

MSCI Netherlands Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

EUR

245,935

2,447

MSCI Singapore Net Return Index

Decreases in total return of reference entity and pays the SOR plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

SGD

1,835,203

67,940

MSCI Sweden Net Return Index

Decreases in total return of reference entity and pays the STIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

SEK

197,694

328

332,163

MSCI Japan Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/24/2019

JPY

6,374,089,309

(122,672

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

79

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

EUR

725,248

$ (3,520

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

JPMC

09/20/2019

CHF

27,883,990

(146,679

)

(272,871

)

$59,292

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		112		7/2019	EUR		$14,287,469		$76,939
CAC 40 10 Euro Index		574		7/2019	EUR		36,113,634		362,212
Hang Seng Index		75		7/2019	HKD		13,683,801		148,751
IBEX 35 Index		92		7/2019	EUR		9,596,168		51,596
MSCI Singapore Index		32		7/2019	SGD		894,368		9,559
OMXS30 Index		628		7/2019	SEK		10,960,743		202,660
DAX Index		73		9/2019	EUR		25,707,669		376,980
FTSE 100 Index		610		9/2019	GBP		57,085,394		258,016
FTSE/MIB Index		15		9/2019	EUR		1,804,236		23,890
S&P 500E-Mini Index		3,971		9/2019	USD		584,570,910		9,777,789
S&P/TSX 60 Index		222		9/2019	CAD		33,148,700		139,080
SPI 200 Index		186		9/2019	AUD		21,412,068		155,147
TOPIX Index		116		9/2019	JPY		16,687,474		5,902
									$11,588,521

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	14,535,496	USD	10,102,058	CITI		9/18/2019		$126,992
AUD	14,535,504	USD	10,102,076	JPMC		9/18/2019		126,979
CAD	20,996,491	USD	15,685,521	CITI		9/18/2019		371,105
CAD	20,996,508	USD	15,685,553	JPMC		9/18/2019		371,083
CHF	13,515,507	USD	13,651,580	CITI		9/18/2019		293,252
CHF	13,515,493	USD	13,651,548	JPMC		9/18/2019		293,271
DKK	17,196,721	USD	2,590,490	CITI		9/18/2019		47,066
DKK	17,196,722	USD	2,590,493	JPMC		9/18/2019		47,063

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

80

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
EUR	43,429,991	USD	49,102,517	CITI		9/18/2019		$ 592,462
EUR	43,430,010	USD	49,102,176	JPMC		9/18/2019		592,825
GBP	11,824,790	USD	15,034,879	CITI		9/18/2019		35,509
GBP	11,824,806	USD	15,034,918	JPMC		9/18/2019		35,490
HKD	47,441,504	USD	6,056,031	CITI		9/18/2019		19,259
HKD	47,441,496	USD	6,056,037	JPMC		9/18/2019		19,251
ILS	2,929,504	USD	817,773	CITI		9/18/2019		7,112
ILS	2,929,496	USD	817,772	JPMC		9/18/2019		7,112
JPY	3,469,688,251	USD	31,979,601	CITI		9/18/2019		390,539
JPY	3,469,688,250	USD	31,979,641	JPMC		9/18/2019		390,502
NOK	9,374,498	USD	1,077,707	CITI		9/18/2019		23,651
NOK	9,374,502	USD	1,077,709	JPMC		9/18/2019		23,648
NZD	595,007	USD	391,185	CITI		9/18/2019		9,137
NZD	594,992	USD	391,175	JPMC		9/18/2019		9,136
SEK	37,683,008	USD	3,976,373	CITI		9/18/2019		104,638
SEK	37,682,993	USD	3,976,377	JPMC		9/18/2019		104,632
SGD	2,702,496	USD	1,967,300	CITI		9/18/2019		32,520
SGD	2,702,504	USD	1,967,308	JPMC		9/18/2019		32,518
USD	1,302,679	CAD	1,701,500	CITI		9/18/2019		1,492
USD	1,302,677	CAD	1,701,500	JPMC		9/18/2019		1,491
USD	1,074,812	CHF	1,040,500	CITI		9/18/2019		1,260
USD	1,074,810	CHF	1,040,500	JPMC		9/18/2019		1,258
USD	219,528	DKK	1,429,000	CITI		9/18/2019		355
USD	219,528	DKK	1,429,000	JPMC		9/18/2019		354
USD	3,100,360	EUR	2,706,500	CITI		9/18/2019		3,434
USD	3,100,356	EUR	2,706,500	JPMC		9/18/2019		3,430
USD	3,753,812	JPY	401,976,000	CITI		9/18/2019		3,613
USD	3,753,807	JPY	401,976,000	JPMC		9/18/2019		3,608
USD	93,014	NOK	789,500	CITI		9/18/2019		260
USD	93,014	NOK	789,500	JPMC		9/18/2019		260
USD	174,680	SEK	1,609,500	CITI		9/18/2019		374
USD	174,680	SEK	1,609,500	JPMC		9/18/2019		373
Total unrealized appreciation								4,128,314
CHF	480,000	USD	497,149	CITI		9/18/2019		(1,902	)
CHF	480,000	USD	497,150	JPMC		9/18/2019		(1,903	)
EUR	1,006,500	USD	1,154,411	CITI		9/18/2019		(2,718	)
EUR	1,006,500	USD	1,154,412	JPMC		9/18/2019		(2,719	)
GBP	7,584,698	USD	9,692,036	CITI		9/18/2019		(25,536	)
GBP	7,584,707	USD	9,692,059	JPMC		9/18/2019		(25,547	)
JPY	495,669,750	USD	4,631,121	CITI		9/18/2019		(6,814	)
JPY	495,669,750	USD	4,631,126	JPMC		9/18/2019		(6,820	)
USD	1,295,469	AUD	1,851,000	CITI		9/18/2019		(7,133	)
USD	1,295,467	AUD	1,851,000	JPMC		9/18/2019		(7,135	)
USD	2,965,408	CAD	3,964,790	CITI		9/18/2019		(66,581	)
USD	2,965,419	CAD	3,964,799	JPMC		9/18/2019		(66,577	)
USD	10,322,780	CHF	10,225,208	CITI		9/18/2019		(227,237	)
USD	10,322,769	CHF	10,225,210	JPMC		9/18/2019		(227,249	)
USD	245,736	DKK	1,622,000	CITI		9/18/2019		(3,040	)
USD	245,736	DKK	1,622,000	JPMC		9/18/2019		(3,039	)
USD	25,220,961	EUR	22,334,072	CITI		9/18/2019		(334,910	)
USD	25,220,904	EUR	22,334,049	JPMC		9/18/2019		(334,941	)
USD	3,873,300	GBP	3,046,000	CITI		9/18/2019		(8,748	)
USD	3,873,295	GBP	3,046,000	JPMC		9/18/2019		(8,753	)
USD	1,121,608	HKD	8,781,500	CITI		9/18/2019		(2,938	)
USD	1,121,607	HKD	8,781,500	JPMC		9/18/2019		(2,939	)
USD	91,097	ILS	327,000	CITI		9/18/2019		(979	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	91,097	ILS	327,000	JPMC		9/18/2019		$ (979	)
USD	3,564,228	JPY	386,524,500	CITI		9/18/2019		(41,818	)
USD	3,564,223	JPY	386,524,500	JPMC		9/18/2019		(41,822	)
USD	1,470,340	NOK	12,789,240	CITI		9/18/2019		(32,196	)
USD	1,470,339	NOK	12,789,245	JPMC		9/18/2019		(32,198	)
USD	92,328	NZD	139,500	CITI		9/18/2019		(1,528	)
USD	92,327	NZD	139,500	JPMC		9/18/2019		(1,528	)
USD	602,080	SEK	5,709,116	CITI		9/18/2019		(16,209	)
USD	602,080	SEK	5,709,123	JPMC		9/18/2019		(16,209	)
USD	597,608	SGD	818,145	CITI		9/18/2019		(7,811	)
USD	597,603	SGD	818,140	JPMC		9/18/2019		(7,812	)
Total unrealized depreciation								(1,576,268	)
Net unrealized appreciation							$	2,552,046

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

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread(-0.05% to 0.03%), which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 09/21/2021		$90,335,093		$864,889		$(613,972	)		$250,917

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
Adelaide Brighton Ltd.		103,640	$	294,473	$	(112,957	)		(45.0	)%
AGL Energy Ltd.		190,777		2,682,986		(339,443	)		(135.3	)
Aurizon Holdings Ltd.		2,057,530		7,810,734		1,037,607			413.5
Bendigo & Adelaide Bank Ltd.		138,508		1,127,384		170,712			68.0
BlueScope Steel Ltd.		396,049		3,367,585		(32,515	)		(13.0	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Australia (continued)
Caltex Australia Ltd.		131,821		$	2,294,635		$	(619,782	)		(247.0	) %
CIMIC Group Ltd.		174,359			5,482,798			1,197,710			477.3
Flight Centre Travel Group Ltd.		11,732			342,233			(10,778	)		(4.3	)
Fortescue Metals Group Ltd.		66,551			423,236			10,919			4.4
Harvey Norman Holdings Ltd.		204,832			586,143			(2,055	)		(0.8	)
Iluka Resources Ltd.		389,402			2,956,583			430,056			171.4
Incitec Pivot Ltd.		164,031			393,129			14,898			5.9
Newcrest Mining Ltd.		109,800			2,466,791			854,888			340.7
Qantas Airways Ltd.		929,575			3,527,631			(176,552	)		(70.4	)
Santos Ltd.		309,411			1,544,748			61,809			24.6
South32 Ltd.		1,360,135			3,048,934			(526,876	)		(210.0	)
Telstra Corp. Ltd.		1,649,927			4,461,576			357,339			142.4
Woodside Petroleum Ltd.		98,273			2,520,562			242,643			96.7
Short Positions
Common Stock
Australia
Alumina Ltd.		(527,569	)		(865,975	)		10,248			4.1
AMP Ltd.		(1,061,999	)		(1,584,167	)		71,145			28.4
APA Group		(209,979	)		(1,592,336	)		(416,280	)		(165.9	)
AusNet Services		(395,011	)		(520,571	)		(66,576	)		(26.5	)
Challenger Ltd.		(993,324	)		(4,636,491	)		3,286,355			1309.7
CSL Ltd.		(31,683	)		(4,797,563	)		(488,048	)		(194.5	)
Medibank Pvt Ltd.		(354,258	)		(869,246	)		(151,298	)		(60.3	)
Ramsay Health Care Ltd.		(120,085	)		(6,096,541	)		(776,911	)		(309.6	)
REA Group Ltd.		(12,724	)		(859,544	)		(272,183	)		(108.5	)
SEEK Ltd.		(653,610	)		(9,728,526	)		(1,264,581	)		(504.0	)
Sydney Airport		(276,405	)		(1,561,547	)		(207,793	)		(82.8	)
Tabcorp Holdings Ltd.		(162,170	)		(506,686	)		10,686			4.3
Transurban Group		(309,467	)		(3,204,349	)		(640,117	)		(255.1	)
Treasury Wine Estates Ltd.		(52,859	)		(555,151	)		38,799			15.5
Vocus Group Ltd.		(841,464	)		(1,933,538	)		(518,478	)		(206.6	)
WorleyParsons Ltd.		(83,164	)		(864,514	)		(57,046	)		(22.7	)
Ireland
James Hardie Industries plc		(366,615	)		(4,826,187	)		(250,656	)		(99.9	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

DTBK

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread(-0.90% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

111 months maturity 08/19/2022

$306,242,981

$(15,399,349

)

$337,754

$(15,061,595

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
BHP Group plc		249,675	$	6,385,280	$	552,620			(3.7	)%
Rio Tinto plc		111,902		6,925,962		348,965			(2.3	)
Russia
Evraz plc		1,027,339		8,698,836		2,134,176			(14.2	)
South Africa
Anglo American plc		173,285		4,950,480		223,571			(1.5	)
Investec plc		694,173		4,512,567		(451,325	)		3.0
Switzerland
Coca-Cola HBC AG		47,971		1,812,111		207,471			(1.4	)
Glencore plc		650,656		2,251,873		(52,108	)		0.3
United Kingdom
Aggreko plc		167,486		1,681,471		4,920			(0.0	)
AstraZeneca plc		27,760		2,269,427		197,755			(1.3	)
Barclays plc		2,623,956		4,990,898		(280,051	)		1.9
Barratt Developments plc		416,794		3,033,008		(92,519	)		0.6
Berkeley Group Holdings plc		60,766		2,879,912		(56,820	)		0.4
BT Group plc		2,914,621		7,287,524		(1,812,527	)		12.0
Burberry Group plc		628,060		14,886,404		(1,848,558	)		12.3
Centrica plc		8,333,891		9,290,337		(5,760,501	)		38.2
Close Brothers Group plc		171,745		3,082,442		(221,944	)		1.5
Drax Group plc		1,121,541		3,704,459		(1,737,051	)		11.5
Hays plc		974,742		1,947,434		50,117			(0.3	)
Inchcape plc		507,315		3,975,655		(775,672	)		5.1
Indivior plc		3,034,818		1,646,249		(2,465,273	)		16.4
J Sainsbury plc		918,069		2,281,399		(488,211	)		3.2
Man Group PLC/Jersey		2,761,229		5,459,461		(691,693	)		4.6
Meggitt plc		628,365		4,186,429		(154,478	)		1.0
Moneysupermarket.com Group plc		1,017,587		5,330,687		1,460,499			(9.7	)
National Grid plc		224,020		2,382,424		(24,196	)		0.2
Persimmon plc		140,083		3,558,803		(398,533	)		2.6
Reckitt Benckiser Group plc		30,700		2,423,910		8,070			(0.1	)
Royal Mail plc		876,056		2,360,346		(812,712	)		5.4
Tate & Lyle plc		722,231		6,770,561		78,279			(0.5	)
Vodafone Group plc		2,348,806		3,849,842		(293,137	)		1.9

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom (continued)
WH Smith plc		68,695		$	1,720,718		$	(68,851	)		0.5	%
William Hill plc		1,717,057			3,371,551			(2,565,057	)		17.0
Short Positions
Common Stock
Germany
TUI AG		(413,771	)		(4,062,649	)		145,998			(1.0	)
United Arab Emirates
NMC Health plc		(545,505	)		(16,690,123	)		3,654,509			(24.3	)
United Kingdom
Admiral Group plc		(85,735	)		(2,404,104	)		(51,973	)		0.3
ASOS plc		(207,631	)		(6,738,849	)		2,184,186			(14.5	)
Beazley plc		(278,667	)		(1,953,298	)		(19,682	)		0.1
GVC Holdings plc		(698,707	)		(5,791,878	)		(220,920	)		1.5
Hargreaves Lansdown plc		(389,541	)		(9,517,743	)		(1,373,574	)		9.1
HSBC Holdings plc		(748,282	)		(6,245,361	)		(60,710	)		0.4
Informa plc		(347,822	)		(3,688,603	)		(577,040	)		3.8
John Wood Group plc		(1,711,472	)		(9,854,612	)		3,228,434			(21.4	)
Just Eat plc		(270,242	)		(2,143,211	)		335,787			(2.2	)
Melrose Industries plc		(4,220,947	)		(9,702,952	)		(916,494	)		6.1
Merlin Entertainments plc		(1,108,468	)		(6,336,179	)		(1,290,514	)		8.6
Micro Focus International plc		(708,415	)		(18,631,313	)		(4,733,865	)		31.4
Ocado Group plc		(336,331	)		(4,985,765	)		(922,561	)		6.1
St James’s Place plc		(544,497	)		(7,602,501	)		(362,525	)		2.4
Weir Group plc (The)		(314,605	)		(6,190,280	)		1,254,364			(8.3	)
Whitbread plc		(89,850	)		(5,286,568	)		328,531			(2.2	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread(-0.45% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	61 months maturity 01/19/2022		$58,667,857		$(1,664,177	)		$(425,018	)		$(2,089,195	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Hong Kong
Chow Tai Fook Jewellery Group Ltd.		1,721,800	$	1,873,155	$	69,543			(3.3	)%
CK Asset Holdings Ltd.		321,500		2,518,656		(72,472	)		3.5
CK Hutchison Holdings Ltd.		28,500		281,117		(22,616	)		1.1

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
CLP Holdings Ltd.		29,500		$	325,084		$	(31,963	)		1.5	%
Hang Lung Properties Ltd.		453,000			1,077,693			186,583			(8.9	)
Henderson Land Development Co. Ltd.		146,960			810,238			188,205			(9.0	)
Hysan Development Co. Ltd.		187,000			966,258			(49,562	)		2.4
Kerry Properties Ltd.		1,071,500			4,500,855			809,226			(38.7	)
Li & Fung Ltd.		12,728,000			2,220,706			(829,075	)		39.7
Melco International Development Ltd.		2,184,000			4,832,702			(1,612,213	)		77.2
New World Development Co. Ltd.		237,000			370,708			(12,715	)		0.6
Sino Land Co. Ltd.		544,000			912,330			(3,105	)		0.1
Swire Properties Ltd.		465,400			1,881,481			197,949			(9.5	)
WH Group Ltd.		2,297,000			2,330,061			14,888			(0.7	)
Wharf Holdings Ltd. (The)		113,000			299,489			(56,806	)		2.7
Wheelock & Co. Ltd.		307,000			2,204,446			322,950			(15.5	)
Yue Yuen Industrial Holdings Ltd.		867,000			2,378,027			21,954			(1.1	)
Macau
Wynn Macau Ltd.		115,600			258,788			(14,551	)		0.7
Short Positions
Common Stock
China
Minth Group Ltd.		(290,000	)		(782,117	)		267,397			(12.8	)
Hong Kong
AIA Group Ltd.		(557,600	)		(6,021,468	)		(1,363,670	)		65.3
ASM Pacific Technology Ltd.		(676,800	)		(6,938,827	)		2,129,318			(101.9	)
Haitong International Securities Group Ltd.		(791,000	)		(258,531	)		(10,944	)		0.5
Hang Seng Bank Ltd.		(13,600	)		(338,511	)		(17,069	)		0.8
Hong Kong & China Gas Co. Ltd.		(267,300	)		(592,579	)		(27,527	)		1.3
MTR Corp. Ltd.		(1,534,876	)		(10,338,686	)		(1,962,408	)		93.9
Wharf Real Estate Investment Co. Ltd.		(84,000	)		(591,983	)		(2,359	)		0.1
Macau
Galaxy Entertainment Group Ltd.		(61,000	)		(410,347	)		(19,968	)		1.0
MGM China Holdings Ltd.		(862,800	)		(1,465,727	)		118,934			(5.7	)
Sands China Ltd.		(123,600	)		(590,446	)		(7,544	)		0.4
United States
Samsonite International SA		(129,000	)		(296,841	)		125,443			(6.0	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread(-0.53% to 0.03%), which is denominated in JPY based on the local currencies of the positions within the swap.	99 months maturity 08/20/2021		$874,708,844		$(48,097,228	)		$(2,751,020	)		$(50,848,248	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Japan
Alfresa Holdings Corp.		322,700		$	7,980,728		$	527,193			(1.0	)%
Astellas Pharma, Inc.		731,600			10,425,861			(571,066	)		1.1
Bandai Namco Holdings, Inc.		185,800			9,015,880			1,892,160			(3.7	)
Fujitsu Ltd.		83,900			5,863,459			(432,615	)		0.9
Haseko Corp.		966,100			9,801,751			(2,756,631	)		5.4
Hitachi Ltd.		182,100			6,699,953			15,552			(0.0	)
Itochu Techno-Solutions Corp.		326,700			8,398,892			2,749,709			(5.4	)
Japan Airlines Co. Ltd.		707,400			22,577,192			(4,566,678	)		9.0
JFE Holdings, Inc.		436,100			6,421,492			(3,447,996	)		6.8
Kajima Corp.		793,000			10,907,291			(3,439,592	)		6.8
Matsumotokiyoshi Holdings Co. Ltd.		201,800			5,927,445			(974,730	)		1.9
Medipal Holdings Corp.		313,100			6,925,313			888,943			(1.7	)
Nippon Express Co. Ltd.		123,400			6,577,218			(205,211	)		0.4
Nippon Telegraph & Telephone Corp.		244,600			11,395,842			785,918			(1.5	)
Obayashi Corp.		1,133,900			11,201,463			(2,755,390	)		5.4
Otsuka Corp.		182,100			7,343,556			15,599			(0.0	)
Shionogi & Co. Ltd.		104,100			6,015,194			(241,615	)		0.5
Sojitz Corp.		2,273,800			7,317,498			(798,590	)		1.6
Sony Corp.		161,500			8,486,821			981,245			(1.9	)
Sumitomo Dainippon Pharma Co. Ltd.		308,400			5,871,207			(2,044,804	)		4.0
Taiheiyo Cement Corp.		394,600			11,980,331			(2,189,094	)		4.3
Taisei Corp.		248,800			9,062,923			(4,080,544	)		8.0
Tosoh Corp.		582,600			8,217,536			(4,378,144	)		8.6
Short Positions
Common Stock
Japan
Asahi Intecc Co. Ltd.		(271,200	)		(6,703,825	)		(464,633	)		0.9
Asics Corp.		(565,700	)		(6,143,582	)		2,878,131			(5.7	)
Calbee, Inc.		(214,600	)		(5,795,899	)		2,079,858			(4.1	)
Daifuku Co. Ltd.		(135,300	)		(7,642,180	)		(1,151,318	)		2.3
Daiichi Sankyo Co. Ltd.		(133,100	)		(6,980,498	)		(2,097,697	)		4.1
FamilyMart UNY Holdings Co. Ltd.		(399,100	)		(9,528,329	)		2,025,251			(4.0	)
Fast Retailing Co. Ltd.		(13,900	)		(8,413,650	)		(1,814,018	)		3.6
Kansai Paint Co. Ltd.		(343,200	)		(7,212,722	)		1,004,994			(2.0	)

The accompanying notes are an integral part of these financial statements. (Continued)

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87

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Keikyu Corp.		(365,300	)	$	(6,298,802	)	$	995,635			(2.0	) %
Keio Corp.		(117,700	)		(7,756,821	)		(2,529,260	)		5.0
Kikkoman Corp.		(165,800	)		(7,229,926	)		(1,000,674	)		2.0
Kintetsu Group Holdings Co. Ltd.		(141,800	)		(6,798,230	)		(1,192,115	)		2.3
M3, Inc.		(521,500	)		(9,569,974	)		260,417			(0.5	)
Marui Group Co. Ltd.		(642,900	)		(13,110,747	)		(2,366,150	)		4.7
MISUMI Group, Inc.		(261,300	)		(6,586,550	)		(299,272	)		0.6
Nidec Corp.		(51,500	)		(7,072,752	)		(73,461	)		0.1
Nippon Paint Holdings Co. Ltd.		(319,800	)		(12,450,033	)		(1,441,060	)		2.8
Nitori Holdings Co. Ltd.		(48,600	)		(6,449,329	)		27,925			(0.1	)
Odakyu Electric Railway Co. Ltd.		(379,400	)		(9,297,397	)		(1,379,434	)		2.7
Ricoh Co. Ltd.		(1,487,300	)		(14,879,234	)		(278,306	)		0.5
Shimano, Inc.		(78,600	)		(11,712,216	)		(688,248	)		1.4
Sony Financial Holdings, Inc.		(278,700	)		(6,706,973	)		(1,741,464	)		3.4
Sumitomo Metal Mining Co. Ltd.		(229,800	)		(6,888,614	)		(496,544	)		1.0
Suzuki Motor Corp.		(146,300	)		(6,882,850	)		1,223,902			(2.4	)
Terumo Corp.		(324,500	)		(9,693,937	)		(430,072	)		0.8
Toyota Industries Corp.		(114,600	)		(6,320,496	)		71,550			(0.1	)
Yaskawa Electric Corp.		(382,400	)		(13,076,931	)		972,876			(1.9	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread(-0.43% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	1-61 months maturity ranging from 07/09/2019 - 06/13/2024		$238,053,425		$(3,332,635	)		$(229,423	)		$(3,562,058	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
France
Arkema SA		13,714	$	1,274,914	$	(202,320	)		5.7	%
Atos SE		69,480		5,804,848		(578,759	)		16.2
AXA SA		257,800		6,770,271		456,206			(12.8	)
Bouygues SA		10,400		385,143		23,779			(0.7	)
Bureau Veritas SA		29,770		734,808		46,546			(1.3	)
Capgemini SE		46,973		5,840,300		283,876			(8.0	)
Carrefour SA		144,162		2,782,424		19,026			(0.5	)
Cie de Saint-Gobain		65,989		2,576,856		57,728			(1.6	)
CNP Assurances		108,316		2,458,597		(75,255	)		2.1
Danone SA		5,259		445,291		12,091			(0.3	)
Dassault Aviation SA		796		1,144,433		11,877			(0.3	)
Dassault Systemes SE		22,775		3,632,733		180,367			(5.1	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Electricite de France SA		27,130		$	342,051		$	(32,952	)		0.9	%
Engie SA		1,395,990			21,168,089			(836,848	)		23.5
Eutelsat Communications SA		331,500			6,191,125			(438,742	)		12.3
Ipsen SA		8,843			1,206,147			121,493			(3.4	)
Kering SA		4,920			2,903,897			11,355			(0.3	)
L’Oreal SA		2,700			767,686			12,552			(0.4	)
Peugeot SA		653,133			16,075,212			188,780			(5.3	)
Sanofi		61,733			5,335,108			125,840			(3.5	)
Schneider Electric SE		18,916			1,711,574			50,967			(1.4	)
SCOR SE		9,488			415,943			15,200			(0.4	)
Societe BIC SA		10,582			806,085			(105,392	)		3.0
Teleperformance		20,853			4,176,140			453,051			(12.7	)
Thales SA		38,955			4,811,803			192,872			(5.4	)
TOTAL SA		216,963			12,170,274			(690,138	)		19.4
Veolia Environnement SA		47,366			1,153,381			99,566			(2.8	)
Luxembourg
SES SA		509,197			7,951,849			(2,791,277	)		78.4
Short Positions
Common Stock
France
Accor SA		(109,653	)		(4,706,578	)		777,361			(21.8	)
Air France-KLM		(48,796	)		(468,835	)		1,697			(0.0	)
Altran Technologies SA		(516,971	)		(8,204,212	)		(3,769,349	)		105.8
Bollore SA		(754,518	)		(3,329,251	)		347,354			(9.8	)
Cie Generale des Etablissements Michelin SCA		(11,616	)		(1,468,744	)		(95,043	)		2.7
Cie Plastic Omnium SA		(43,513	)		(1,131,588	)		12,602			(0.4	)
Elior Group SA		(154,790	)		(2,128,959	)		5,008			(0.1	)
EssilorLuxottica SA		(39,768	)		(5,182,642	)		(401,729	)		11.3
Faurecia SA		(13,884	)		(643,966	)		(71,310	)		2.0
Iliad SA		(110,053	)		(12,358,669	)		5,173,096			(145.2	)
Ingenico Group SA		(140,785	)		(12,459,664	)		(1,825,134	)		51.2
JCDecaux SA		(108,100	)		(3,273,396	)		178,108			(5.0	)
Orpea		(72,170	)		(8,705,291	)		(414,361	)		11.6
Remy Cointreau SA		(47,304	)		(6,818,560	)		(696,933	)		19.6
Renault SA		(47,116	)		(2,962,055	)		(12,476	)		0.4
SEB SA		(12,814	)		(2,305,268	)		(282,876	)		7.9
Suez		(101,280	)		(1,461,412	)		(92,049	)		2.6
Ubisoft Entertainment SA		(34,418	)		(2,691,783	)		10,299			(0.3	)
Valeo SA		(629,840	)		(20,505,035	)		955,587			(26.8	)
Vivendi SA		(269,400	)		(7,393,059	)		(705,281	)		19.8
Worldline SA		(4,276	)		(310,670	)		(25,215	)		0.7
Luxembourg
Eurofins Scientific SE		(18,079	)		(7,977,563	)		1,011,443			(28.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

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89

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-0.14% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	57-61 months maturity ranging from 04/19/2023 - 06/27/2024		$1,530,871,502		$(11,248,677	)		$(15,408,266	)		$(26,656,943	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Aflac, Inc.		158,585		$	8,692,044		$	1,508,930			(5.7	)%
Allstate Corp. (The)		143,970			14,640,309			655,757			(2.5	)
Alphabet, Inc.		6,871			7,439,919			(225,669	)		0.8
Amazon.com, Inc.		5,448			10,316,496			373,702			(1.4	)
Amdocs Ltd.		155,030			9,625,813			(649,290	)		2.4
Applied Materials, Inc.		174,612			7,841,825			736,060			(2.8	)
Assured Guaranty Ltd.		315,451			13,274,178			1,360,071			(5.1	)
Cadence Design Systems, Inc.		116,379			8,240,797			3,251,590			(12.2	)
Colgate-Palmolive Co.		111,270			7,974,721			601,386			(2.3	)
eBay, Inc.		228,200			9,013,900			1,790,535			(6.7	)
Exelon Corp.		356,250			17,078,625			832,545			(3.1	)
Fidelity National Financial, Inc.		212,479			8,562,904			396,779			(1.5	)
International Business Machines Corp.		52,822			7,284,154			(50,865	)		0.2
Intuit, Inc.		37,077			9,689,332			1,217,608			(4.6	)
Kimberly-Clark Corp.		87,687			11,686,923			1,359,020			(5.1	)
MetLife, Inc.		172,498			8,567,976			742,061			(2.8	)
Microsoft Corp.		68,660			9,197,694			1,311,733			(4.9	)
PepsiCo, Inc.		56,951			7,467,985			918,416			(3.4	)
Procter & Gamble Co. (The)		117,930			12,931,024			1,059,870			(4.0	)
Public Service Enterprise Group, Inc.		139,068			8,179,980			363,718			(1.4	)
Reinsurance Group of America, Inc.		69,014			10,768,254			204,281			(0.8	)
Synchrony Financial		265,978			9,221,457			1,890,454			(7.1	)
Tyson Foods, Inc.		108,624			8,770,302			2,005,938			(7.5	)
Wells Fargo & Co.		158,527			7,501,498			(234,921	)		0.9
Short Positions
Common Stock
United States
Albemarle Corp.		(110,707	)		(7,794,880	)		2,960,091			(11.1	)
Aptiv plc		(158,751	)		(12,831,843	)		39,254			(0.1	)
Colony Capital, Inc.		(1,991,199	)		(9,955,995	)		1,765,981			(6.6	)
Conagra Brands, Inc.		(373,030	)		(9,892,756	)		(1,421,953	)		5.3
Dunkin’ Brands Group, Inc.		(96,757	)		(7,707,663	)		(1,844,798	)		6.9
First Republic Bank		(121,191	)		(11,834,301	)		365,282			(1.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

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90

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Global Payments, Inc.		(64,257	)	$	(10,289,473	)	$	(2,822,605	)		10.6	%
International Flavors & Fragrances, Inc.		(85,683	)		(12,431,746	)		(1,575,810	)		5.9
Kemper Corp.		(125,896	)		(10,863,566	)		(1,297,248	)		4.9
Macquarie Infrastructure Corp.		(291,872	)		(11,832,491	)		15,136			(0.1	)
Martin Marietta Materials, Inc.		(34,889	)		(8,028,308	)		(1,471,905	)		5.5
Marvell Technology Group Ltd.		(317,141	)		(7,570,156	)		(2,671,595	)		10.0
McCormick & Co., Inc.(Non-Voting)		(51,531	)		(7,987,820	)		(1,969,978	)		7.4
Microchip Technology, Inc.		(84,299	)		(7,308,723	)		(1,196,055	)		4.5
New York Community Bancorp, Inc.		(1,288,005	)		(12,854,290	)		1,054,359			(4.0	)
NiSource, Inc.		(328,409	)		(9,458,179	)		(655,079	)		2.5
Pinnacle Financial Partners, Inc.		(170,997	)		(9,828,908	)		198,368			(0.7	)
Post Holdings, Inc.		(88,233	)		(9,173,585	)		(2,088,475	)		7.8
Sempra Energy		(127,125	)		(17,472,060	)		(2,914,805	)		10.9
Sotheby’s		(131,615	)		(7,650,780	)		(509,350	)		1.9
Southwest Gas Holdings, Inc.		(83,646	)		(7,496,355	)		(1,442,254	)		5.4
Sterling Bancorp		(709,913	)		(15,106,949	)		780,342			(2.9	)
Stifel Financial Corp.		(162,578	)		(9,601,857	)		(35,049	)		0.1
Tesla, Inc.		(52,608	)		(11,755,784	)		2,432,091			(9.1	)
United Bankshares, Inc.		(266,638	)		(9,889,603	)		(734,682	)		2.8
VEREIT, Inc.		(1,616,267	)		(14,562,566	)		(3,413,231	)		12.8

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

MSIP

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Swiss Average Rate Overnight (“SARON”) plus or minus a specified spread(-1.88% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.

11-27 months maturity 05/12/2020

$103,099,433

$(1,407,337

)

$185,342

$(1,221,995

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Switzerland
Adecco Group AG (Registered)		155,865	$	9,367,079	$	(1,177,674	)		96.4	%
GAM Holding AG		10,369		47,991		9,077			(0.7	)
Georg Fischer AG (Registered)		1,614		1,543,958		(537,318	)		44.0
Helvetia Holding AG (Registered)		14,060		1,764,947		81,643			(6.7	)
Nestle SA (Registered)		52,890		5,475,291		241,169			(19.7	)
Novartis AG (Registered)		89,568		8,176,822		592,490			(48.5	)
Roche Holding AG		56,446		15,871,930		234,457			(19.2	)
Sonova Holding AG (Registered)		26,462		6,022,714		896,640			(73.4	)
Swiss Life Holding AG (Registered)		7,760		3,847,301		1,006,434			(82.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

91

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Austria
ams AG		(129,584	)	$	(5,073,507	)	$	690,993			(56.5	) %
Switzerland
Chocoladefabriken Lindt & Spruengli AG		(773	)		(5,627,318	)		(1,144,819	)		93.7
Cie Financiere Richemont SA (Registered)		(58,573	)		(4,977,332	)		(515,824	)		42.2
Credit Suisse Group AG (Registered)		(216,776	)		(2,594,630	)		711,559			(58.2	)
DKSH Holding AG		(5,029	)		(294,677	)		19,709			(1.6	)
dormakaba Holding AG		(525	)		(380,766	)		(29,777	)		2.4
Dufry AG (Registered)		(3,003	)		(254,483	)		(10,690	)		0.9
EMS-Chemie Holding AG (Registered)		(657	)		(426,491	)		(53,240	)		4.4
Givaudan SA (Registered)		(411	)		(1,160,882	)		(125,662	)		10.3
Idorsia Ltd.		(90,903	)		(2,080,148	)		(448,586	)		36.7
Julius Baer Group Ltd.		(85,454	)		(3,807,325	)		(249,039	)		20.4
Lonza Group AG (Registered)		(21,998	)		(7,426,368	)		(450,926	)		36.9
Sika AG (Registered)		(7,227	)		(1,234,680	)		(155,671	)		12.7
Straumann Holding AG (Registered)		(365	)		(322,543	)		(37,759	)		3.1
Sunrise Communications Group AG		(10,607	)		(792,218	)		29,023			(2.4	)
Swatch Group AG (The)		(2,973	)		(852,249	)		(37,827	)		3.1
Swisscom AG (Registered)		(6,592	)		(3,311,097	)		(269,484	)		22.1
Vifor Pharma AG		(71,709	)		(10,364,686	)		(676,235	)		55.3

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Copenhagen Interbank Offered Rate (“CIBOR”) plus or minus a specified spread(-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.	9-24 months maturity 02/12/2020		$99,045,969		$1,159,816		$115,579		$1,275,395

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Denmark
Carlsberg A/S		48,921	$	6,491,684	$	1,062,049			83.3	%
GN Store Nord A/S		269,366		12,592,189		3,721,659			291.8
H Lundbeck A/S		219,875		8,709,080		(1,370,417	)		(107.5	)
Novo Nordisk A/S		168,446		8,603,751		265,009			20.8
Orsted A/S		96,688		8,364,383		2,463,429			193.2
Pandora A/S		245,617		8,738,892		(2,893,509	)		(226.9	)
Rockwool International A/S		12,175		3,114,787		(965	)		(0.1	)
Vestas Wind Systems A/S		5,378		465,916		(18,853	)		(1.5	)

The accompanying notes are an integral part of these financial statements. (Continued)

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92

Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(11,468	)	$	(14,269,827	)	$	(138,017	)		(10.8	) %
Chr Hansen Holding A/S		(26,618	)		(2,504,890	)		119,235			9.3
Dfds A/S		(42,093	)		(1,787,721	)		73,431			5.8
Drilling Co. of 1972 A/S (The)		(17,425	)		(1,353,831	)		173,741			13.6
DSV A/S		(14,230	)		(1,401,228	)		(99,872	)		(7.8	)
FLSmidth & Co. A/S		(7,645	)		(346,409	)		11,621			0.9
Genmab A/S		(103,706	)		(19,086,115	)		(2,115,884	)		(165.9	)
ISS A/S		(8,398	)		(253,895	)		(365	)		(0.0	)
Novozymes A/S		(11,386	)		(530,893	)		(12,924	)		(1.0	)
Tryg A/S		(13,229	)		(430,478	)		(79,552	)		(6.2	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread(-5.25% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	6-24 months maturity 12/17/2019		$502,718,928		$(1,008,605	)		$(316,187	)		$(1,324,792	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Belgium
Ageas		290,722	$	15,129,272	$	1,239,727			(93.6	)%
UCB SA		134,119		11,130,484		849,045			(64.1	)
Finland
Neste OYJ		615,336		20,919,856		6,765,120			(510.7	)
UPM-Kymmene OYJ		184,890		4,919,375		(1,300,716	)		98.2
Germany
adidas AG		25,760		7,969,373		1,540,997			(116.3	)
Allianz SE (Registered)		53,665		12,942,723		1,151,067			(86.9	)
Covestro AG		188,652		9,604,193		(7,350,518	)		554.8
Deutsche Lufthansa AG (Registered)		590,476		10,124,195		(7,645,921	)		577.1
E.ON SE		1,205,950		13,084,699		(9,119	)		0.7
HOCHTIEF AG		30,094		3,664,818		(556,144	)		42.0
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		17,957		4,501,058		75,473			(5.7	)
Rheinmetall AG		75,690		9,276,647		(73,771	)		5.6
Salzgitter AG		133,632		3,829,380		(3,038,343	)		229.3
SAP SE		74,887		10,266,396		1,629,666			(123.0	)
Software AG		143,143		4,919,380		(1,995,379	)		150.6

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Netherlands
ASM International NV		59,886		$	3,886,753		$	(19,016	)		1.4	%
ASR Nederland NV		223,134			9,066,241			417,624			(31.5	)
Koninklijke Ahold Delhaize NV		911,705			20,467,498			360,573			(27.2	)
Koninklijke Philips NV		96,036			4,175,256			266,709			(20.1	)
NN Group NV		104,433			4,198,092			(137,696	)		10.4
Signify NV		324,134			9,563,632			(2,307,454	)		174.2
Spain
Endesa SA		784,660			20,181,899			4,614,564			(348.3	)
Iberdrola SA		918,738			9,147,120			1,399,712			(105.7	)
Mapfre SA		2,180,064			6,375,224			(428,589	)		32.4
Red Electrica Corp. SA		217,838			4,537,155			(301,606	)		22.8
United Kingdom
Dialog Semiconductor plc		111,725			4,495,744			744,354			(56.2	)
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(166,116	)		(14,699,664	)		244,553			(18.5	)
Umicore SA		(223,894	)		(7,185,121	)		2,444,661			(184.5	)
Finland
Huhtamaki OYJ		(137,750	)		(5,665,225	)		(569,004	)		43.0
Outokumpu OYJ		(1,628,730	)		(5,568,543	)		1,736,715			(131.1	)
Germany
Bayerische Motoren Werke AG		(70,201	)		(5,189,080	)		(105,130	)		7.9
Continental AG		(26,338	)		(3,835,313	)		33,457			(2.5	)
Daimler AG (Registered)		(159,712	)		(8,907,427	)		101,627			(7.7	)
Delivery Hero SE		(152,075	)		(6,903,040	)		(883,183	)		66.7
Deutsche Bank AG (Registered)		(1,720,637	)		(13,267,943	)		5,010,906			(378.2	)
GEA Group AG		(221,769	)		(6,293,941	)		2,844,558			(214.7	)
OSRAM Licht AG		(182,455	)		(6,027,068	)		1,367,060			(103.2	)
RWE AG		(220,663	)		(5,444,990	)		170,226			(12.8	)
thyssenkrupp AG		(945,417	)		(13,803,796	)		176,042			(13.3	)
United Internet AG (Registered)		(221,474	)		(7,296,708	)		1,103,151			(83.3	)
Zalando SE		(226,075	)		(10,009,846	)		(565,092	)		42.7
Netherlands
ASML Holding NV		(23,374	)		(4,863,893	)		(317,506	)		24.0
Boskalis Westminster		(183,574	)		(4,234,937	)		726,076			(54.8	)
OCI NV		(176,701	)		(4,851,824	)		(1,055,438	)		79.7
SBM Offshore NV		(386,198	)		(7,455,361	)		(1,383,788	)		104.5
Spain
Bankia SA		(3,359,277	)		(7,934,600	)		6,171,968			(465.9	)
Cellnex Telecom SA		(476,834	)		(17,639,744	)		(5,793,691	)		437.3
Ferrovial SA		(412,112	)		(10,549,497	)		(2,408,537	)		181.8
Grifols SA		(485,959	)		(14,381,228	)		(1,446,231	)		109.2
United States
QIAGEN NV		(248,388	)		(10,107,347	)		(2,426,390	)		183.2

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Norway Interbank Offered Rate (“NIBOR”) plus or minus a specified spread(-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap.	9-24 months maturity 02/12/2020		$45,947,737		$(4,935,422	)		$(138,776	)		$(5,074,198	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Norway
Equinor ASA		599,709		$	11,896,656		$	(2,632,175	)		51.9	%
Leroy Seafood Group ASA		640,673			4,244,405			462,228			(9.1	)
Salmar ASA		148,669			6,471,970			222,464			(4.4	)
Telenor ASA		11,244			238,892			(6,092	)		0.1
Short Positions
Common Stock
France
Adevinta ASA		(102,555	)		(1,139,707	)		(419,765	)		8.3
Norway
Gjensidige Forsikring ASA		(125,450	)		(2,528,461	)		(355,573	)		7.0
Norsk Hydro ASA		(109,104	)		(390,782	)		18,486			(0.4	)
Schibsted ASA		(150,646	)		(4,161,113	)		(795,640	)		15.7
Yara International ASA		(193,585	)		(9,404,505	)		(1,605,447	)		31.6
United Kingdom
Subsea 7 SA		(452,487	)		(5,471,246	)		176,092			(3.5	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread(-1.50% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	9-24 months maturity 02/12/2020		$84,588,481		$(6,315,078	)		$(1,043,728	)		$(7,358,806	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Malta
Kindred Group plc		540,495		$	4,588,481		$	(2,007,747	)		27.3	%
Sweden
Boliden AB		221,060			5,664,426			(896,076	)		12.2
Electrolux AB		275,350			7,058,194			416,741			(5.7	)
Essity AB		163,585			5,032,433			1,009,298			(13.7	)
Fingerprint Cards AB		713,245			1,264,451			12,437			(0.2	)
Modern Times Group MTG AB		22,784			255,469			(34,627	)		0.5
Sandvik AB		111,536			2,049,592			266,819			(3.6	)
Securitas AB		72,182			1,266,976			147,579			(2.0	)
Skanska AB		34,094			616,043			21,118			(0.3	)
Swedish Match AB		138,403			5,851,439			(289,607	)		3.9
Swedish Orphan Biovitrum AB		433,324			8,362,331			(1,678,338	)		22.8
Telia Co. AB		89,881			398,471			12,331			(0.2	)
Volvo AB		180,442			2,867,165			36,291			(0.5	)
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(68,178	)		(3,837,843	)		269,646			(3.7	)
Finland
Nordea Bank Abp		(198,180	)		(1,439,023	)		275,501			(3.7	)
Sweden
BillerudKorsnas AB		(143,369	)		(1,910,252	)		(33,820	)		0.5
Getinge AB		(287,316	)		(4,530,787	)		(1,524,284	)		20.7
Hexpol AB		(95,228	)		(776,832	)		(1,603	)		0.0
Husqvarna AB		(449,329	)		(4,207,767	)		(402,575	)		5.5
Saab AB		(52,369	)		(1,705,606	)		(12,502	)		0.2
Svenska Cellulosa AB SCA		(138,680	)		(1,206,420	)		(11,095	)		0.2
Svenska Handelsbanken AB		(841,921	)		(8,308,661	)		936,481			(12.7	)
Swedbank AB		(25,202	)		(379,400	)		10,305			(0.1	)
Tele2 AB		(363,284	)		(5,305,834	)		(353,368	)		4.8
Telefonaktiebolaget LM Ericsson		(601,006	)		(5,704,585	)		(2,483,983	)		33.8

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—			$5,795,392		$5,795,392
U.S. Treasury Bills		—			28,026,173		28,026,173
CITI
Cash		(1,220,000	)		—		(1,220,000	)
Investment Companies		2,796,229			—		2,796,229
DTBK
Cash		140,685,113			—		140,685,113
GSIN
U.S. Treasury Bills		168,718,021			—		168,718,021
JPMC
Investment Companies		18,394,213			—		18,394,213
MSIP
U.S. Treasury Bills		68,402,557			—		68,402,557

The accompanying notes are an integral part of these financial statements.

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97

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 120.7%
COMMON STOCKS - 53.4%
Argentina - 0.0% (a)
MercadoLibre, Inc. *		24	$	14,682
Australia - 2.0%
BHP Group Ltd. (2)		7,430		215,979
BHP Group plc (2)		19,575		500,618
BlueScope Steel Ltd. (2)		39,048		332,023
CIMIC Group Ltd. (2)		964		30,313
Iluka Resources Ltd. (2)		26,192		198,866
Lendlease Group (2)		5,246		47,938
Newcrest Mining Ltd. (2)		1,370		30,779
Origin Energy Ltd. (2)		25,941		133,391
Qantas Airways Ltd. (2)		123,577		468,961
Rio Tinto plc (2)		5,798		358,856
Santos Ltd. (2)		100,478		501,641
South32 Ltd. (2)		152,427		341,687
Telstra Corp. Ltd. (2)		34,086		92,172
Woodside Petroleum Ltd. (2)		17,523		449,440
				3,702,664
Canada - 1.5%
Alimentation Couche-Tard, Inc., Class B		1,520		95,654
Canadian National Railway Co.		1,197		110,783
Canadian Pacific Railway Ltd.		445		104,808
Canopy Growth Corp. *		6,751		272,556
CGI, Inc. *		3,083		237,025
CI Financial Corp.		1,019		16,605
Constellation Software, Inc.		84		79,170
Cronos Group, Inc. *		3,483		55,880
Empire Co. Ltd., Class A		8,529		214,796
Husky Energy, Inc.		24,388		231,114
iA Financial Corp., Inc.		969		39,469
Magna International, Inc.		13,599		676,652
Manulife Financial Corp.		5,894		107,119
Methanex Corp.		435		19,748
Open Text Corp.		2,789		115,091
Quebecor, Inc., Class B		1,423		33,892
Seven Generations Energy Ltd., Class A *		5,468		26,807
Shopify, Inc., Class A *		186		55,902
Teck Resources Ltd., Class B		874		20,169
Thomson Reuters Corp.		743		47,931
West Fraser Timber Co. Ltd.		5,593		254,975
				2,816,146
China - 0.4%
Yangzijiang Shipbuilding Holdings Ltd. (2)		647,000		733,031
Denmark - 0.7%
Novo Nordisk A/S, Class B (2)		6,467		330,316
Orsted A/S (2)(b)		538		46,542
Pandora A/S (2)(c)		22,352		795,269
Rockwool International A/S, Class B (2)		160		40,934
				1,213,061
Finland - 0.3%
Kone OYJ, Class B (2)		691		40,806

INVESTMENTS	SHARES		VALUE
Finland - 0.3% (continued)
Stora Enso OYJ, Class R (2)		8,274	$	97,366
UPM-Kymmene OYJ (2)		12,474		331,896
				470,068
France - 2.0%
Atos SE (2)		4,223		352,819
AXA SA (2)(c)		31,852		836,488
BNP Paribas SA (2)		2,909		137,902
CNP Assurances (2)		2,919		66,257
Electricite de France SA (2)		48,458		610,952
Engie SA (2)		42,910		650,666
Peugeot SA (2)		13,327		328,010
Sanofi (2)		1,933		167,054
TOTAL SA (2)		7,680		430,800
Worldline SA (2)*(b)		105		7,629
				3,588,577
Germany - 2.3%
adidas AG (2)		602		186,241
Allianz SE (Registered) (2)(c)		5,846		1,409,916
Carl Zeiss Meditec AG (2)		892		87,978
CECONOMY AG (2)*(d)		17,840		109,064
Covestro AG (2)(b)		1,920		97,746
Deutsche Lufthansa AG (Registered) (2)		12,956		222,141
E.ON SE (2)(c)		135,751		1,472,915
KION Group AG (2)		842		53,249
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)		515		129,089
Software AG (2)		316		10,860
Wirecard AG (2)		1,882		317,712
				4,096,911
Hong Kong - 0.8%
CK Asset Holdings Ltd. (2)		70,500		552,304
Henderson Land Development Co. Ltd. (2)		8,000		44,107
Hong Kong Exchanges & Clearing Ltd. (2)		3,000		106,020
Hysan Development Co. Ltd. (2)		14,000		72,340
New World Development Co. Ltd. (2)		37,000		57,874
Swire Properties Ltd. (2)		65,600		265,202
WH Group Ltd. (2)(b)		235,000		238,382
Wharf Holdings Ltd. (The) (2)		6,000		15,902
Wheelock & Co. Ltd. (2)		15,000		107,709
Yue Yuen Industrial Holdings Ltd. (2)		8,500		23,314
				1,483,154
Italy - 0.8%
BPER Banca (2)		76,060		310,031
Enel SpA (2)		74,543		519,993
Eni SpA (2)		8,437		140,285
Italgas SpA (2)		7,081		47,591
Leonardo SpA (2)		5,470		69,395
Unipol Gruppo SpA (2)		63,013		307,046
				1,394,341
Japan - 2.9%
Alps Alpine Co. Ltd. (2)		500		8,468
Astellas Pharma, Inc. (2)		30,300		431,797

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

98

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES		VALUE
Japan - 2.9% (continued)
Dai-ichi Life Holdings, Inc. (2)		9,900	$	149,785
GungHo Online Entertainment, Inc. (2)		2,330		64,706
Gunma Bank Ltd. (The) (2)		12,600		44,201
Hachijuni Bank Ltd. (The) (2)		26,500		108,220
Haseko Corp. (2)		14,900		151,171
IHI Corp. (2)		1,400		33,845
Iyo Bank Ltd. (The) (2)		8,900		45,029
JFE Holdings, Inc. (2)		13,400		197,313
JXTG Holdings, Inc. (2)		5,900		29,405
Kamigumi Co. Ltd. (2)		8,600		203,938
Marubeni Corp. (2)		45,400		301,353
MINEBEA MITSUMI, Inc. (2)		4,300		73,262
Mitsubishi Gas Chemical Co., Inc. (2)		20,500		274,196
Mitsubishi UFJ Financial Group, Inc. (2)		41,100		195,758
Nikon Corp. (2)		2,500		35,549
Nippon Express Co. Ltd. (2)		1,600		85,280
Nitto Denko Corp. (2)		1,000		49,497
Persol Holdings Co. Ltd. (2)		2,600		61,298
Resona Holdings, Inc. (2)		29,600		123,479
SG Holdings Co. Ltd. (2)		900		25,591
Shinsei Bank Ltd. (2)		15,300		238,104
Showa Denko KK (2)		3,100		91,739
SoftBank Group Corp. (2)		6,600		317,890
Sojitz Corp. (2)		46,400		149,324
Sompo Holdings, Inc. (2)		400		15,473
Sony Corp. (2)		5,900		310,044
Sumitomo Corp. (2)		21,200		321,986
Sumitomo Dainippon Pharma Co. Ltd. (2)		12,400		236,067
Sumitomo Heavy Industries Ltd. (2)		2,100		72,551
Sumitomo Mitsui Financial Group, Inc. (2)		6,100		216,219
Taiheiyo Cement Corp. (2)		2,400		72,866
Teijin Ltd. (2)		2,100		35,878
THK Co. Ltd. (2)		900		21,648
Tokyo Electric Power Co. Holdings, Inc. (2)*		26,200		136,844
Tosoh Corp. (2)		11,000		155,154
Toyota Boshoku Corp. (2)		1,900		24,982
Toyota Tsusho Corp. (2)		3,500		106,319
				5,216,229
Luxembourg - 0.0% (a)
SES SA, FDR (2)		1,034		16,147
Macau - 0.0% (a)
Wynn Macau Ltd. (2)		12,000		26,864
Malta - 0.1%
Kindred Group plc, SDR (2)		14,377		122,052
Netherlands - 1.0%
Adyen NV (2)*(b)		357		275,385
Aegon NV (2)(d)		21,193		105,275
ING Groep NV (2)		10,000		115,837
Koninklijke Ahold Delhaize NV (2)(c)		40,676		913,164
Koninklijke Philips NV (2)		352		15,304
NN Group NV (2)		4,632		186,201
Royal Dutch Shell plc, Class A (2)		1,732		56,528

INVESTMENTS	SHARES		VALUE
Netherlands - 1.0% (continued)
Royal Dutch Shell plc, Class B (2)		6,941	$	227,434
				1,895,128
Norway - 0.3%
Equinor ASA (2)		16,195		321,267
Salmar ASA (2)		4,410		191,979
				513,246
Russia - 0.3%
Evraz plc (2)		57,104		483,519
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		176,000		346,120
South Africa - 0.2%
Anglo American plc (2)		9,704		277,228
Spain - 0.6%
Endesa SA (2)(d)		31,429		808,371
Iberdrola SA (2)		30,515		303,813
Red Electrica Corp. SA (2)		3,330		69,358
				1,181,542
Sweden - 0.6%
Boliden AB (2)		2,588		66,315
Fingerprint Cards AB, Class B (2)*		17,366		30,787
Getinge AB, Class B (2)		23,646		372,881
Sandvik AB (2)		6,307		115,898
SKF AB, Class B (2)		2,524		46,465
Swedish Orphan Biovitrum AB (2)*		14,511		280,035
Volvo AB, Class B (2)		8,502		135,094
				1,047,475
Switzerland - 1.0%
Adecco Group AG (Registered) (2)		696		41,828
Coca-Cola HBC AG (2)*		650		24,554
Novartis AG (Registered) (2)		358		32,682
Roche Holding AG (2)(c)		4,412		1,240,601
Sonova Holding AG (Registered) (2)		683		155,450
Zurich Insurance Group AG (2)		814		283,231
				1,778,346
United Kingdom - 1.3%
Barclays plc (2)		7,014		13,341
BT Group plc (2)		56,603		141,526
Burberry Group plc (2)		10,115		239,748
Centrica plc (2)		203,298		226,630
Dialog Semiconductor plc (2)*		1,402		56,416
Drax Group plc (2)		62,363		205,985
Indivior plc (2)*		156,184		84,723
Inmarsat plc (2)		4,382		30,352
Micro Focus International plc (2)		3,101		81,556
National Grid plc (2)		40,904		435,009
Playtech plc (2)		1,806		9,794
Provident Financial plc (2)		13,793		72,227
Standard Chartered plc (2)		7,154		64,900
Tate & Lyle plc (2)		5,610		52,591
Unilever plc (2)		2,907		180,453

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

99

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES		VALUE
United Kingdom - 1.3% (continued)
Vodafone Group plc (2)		308,597	$	505,810
Weir Group plc (The) (2)		1,512		29,751
				2,430,812
United States - 34.1%
3M Co. (d)		177		30,681
Abbott Laboratories (d)		2,849		239,601
AbbVie, Inc.		6,416		466,572
Accenture plc, Class A		260		48,040
Activision Blizzard, Inc. (d)		8,894		419,797
Adobe, Inc. *		1,080		318,222
Agilent Technologies, Inc.		3,315		247,531
Akamai Technologies, Inc. *		5,494		440,289
Alexion Pharmaceuticals, Inc. *		576		75,444
Align Technology, Inc. *		638		174,621
Allstate Corp. (The)		8,615		876,059
Alphabet, Inc., Class A *(c)		1,210		1,310,188
Alphabet, Inc., Class C *		568		613,957
Amazon.com, Inc. *(c)		1,260		2,385,974
AMC Networks, Inc., Class A *(d)		1,188		64,734
American Tower Corp., REIT (d)		793		162,129
Ameriprise Financial, Inc.		188		27,290
Amgen, Inc.		1,749		322,306
Apple, Inc. (c)		11,557		2,287,361
Applied Materials, Inc.		12,167		546,420
Archer-Daniels-Midland Co.		1,270		51,816
Athene Holding Ltd., Class A *		6,073		261,503
Autodesk, Inc. *		680		110,772
AutoZone, Inc. *(d)		568		624,499
Avnet, Inc.		2,998		135,719
Bank of America Corp.		6,798		197,142
Bausch Health Cos., Inc. *		8,140		205,373
Baxter International, Inc.		5,202		426,044
Berkshire Hathaway, Inc., Class B *(d)		2,640		562,769
Best Buy Co., Inc. (d)		3,792		264,416
Biogen, Inc. *(c)		6,402		1,497,236
Boeing Co. (The)		2,191		797,546
Booking Holdings, Inc. *		265		496,798
Boston Scientific Corp. *		1,122		48,224
Bristol-Myers Squibb Co. (d)		14,914		676,350
Bruker Corp.		2,172		108,491
Cadence Design Systems, Inc. *		4,596		325,443
Cardinal Health, Inc. (d)		1,561		73,523
Caterpillar, Inc.		1,957		266,720
CBS Corp.(Non-Voting), Class B		10,671		532,483
CDW Corp.		3,554		394,494
Celgene Corp. *(d)		1,808		167,132
Cerner Corp. (d)		931		68,242
Charles River Laboratories International, Inc. *		2,354		334,033
Ciena Corp. *		934		38,415
Cirrus Logic, Inc. *		1,610		70,357
Cisco Systems, Inc. (d)		16,840		921,653
Citigroup, Inc.		5,797		405,964
Cognizant Technology Solutions Corp., Class A		4,633		293,686
Colfax Corp. *(d)		1,413		39,606
Comcast Corp., Class A		14,478		612,130

INVESTMENTS	SHARES		VALUE
United States - 34.1% (continued)
CommScope Holding Co., Inc. *		9,557	$	150,332
CommVault Systems, Inc. *		318		15,779
Conduent, Inc. *(d)		7,819		74,984
CoStar Group, Inc. *(d)		451		249,881
Crane Co.		261		21,778
Crown Castle International Corp., REIT (d)		1,069		139,344
Cummins, Inc.		3,041		521,045
Danaher Corp.		434		62,027
Deckers Outdoor Corp. *		2,640		464,561
Deluxe Corp. (d)		5,430		220,784
DexCom, Inc. *		358		53,643
DXC Technology Co.		6,755		372,538
eBay, Inc. (d)		12,755		503,823
Edwards Lifesciences Corp. *		2,568		474,412
Electronic Arts, Inc. *		6,027		610,294
Eli Lilly & Co.		129		14,292
EPAM Systems, Inc. *		392		67,855
Equinix, Inc., REIT		144		72,618
Exelixis, Inc. *		24,808		530,147
Exelon Corp.		10,389		498,049
F5 Networks, Inc. *		551		80,242
Facebook, Inc., Class A *(c)		7,787		1,502,891
Fair Isaac Corp. *		122		38,310
First American Financial Corp.		2,523		135,485
Foot Locker, Inc.		5,783		242,423
Fortinet, Inc. *		3,785		290,802
Gardner Denver Holdings, Inc. *		7,429		257,043
Gilead Sciences, Inc.		11,784		796,127
Globus Medical, Inc., Class A *		571		24,153
GrafTech International Ltd. (d)		14,564		167,486
H&R Block, Inc. (d)		3,939		115,413
HollyFrontier Corp.		1,856		85,896
Honeywell International, Inc.		1,026		179,129
HP, Inc. (d)		10,031		208,544
Humana, Inc.		540		143,262
Huntington Ingalls Industries, Inc.		897		201,592
IAC/InterActiveCorp *		1,514		329,340
Incyte Corp. *		2,321		197,192
Ingersoll-Rand plc		3,003		380,390
Inogen, Inc. *		3,360		224,314
Insperity, Inc.		2,771		338,450
Intel Corp.		13,333		638,251
International Business Machines Corp. (c)		9,300		1,282,470
International Paper Co. (d)		2,294		99,376
Intuit, Inc. (c)		3,427		895,578
IQVIA Holdings, Inc. *		596		95,896
ITT, Inc.		558		36,538
Johnson & Johnson		5,986		833,730
JPMorgan Chase & Co.		3,490		390,182
Kennametal, Inc.		4,467		165,234
Keysight Technologies, Inc. *		1,057		94,929
Kimberly-Clark Corp.		3,299		439,691
Kroger Co. (The)		8,529		185,165
Lam Research Corp. (d)		1,729		324,775
Las Vegas Sands Corp. (d)		4,895		289,246
Lincoln Electric Holdings, Inc.		350		28,812

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

100

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES		VALUE
United States - 34.1% (continued)
Lockheed Martin Corp.		450	$	163,593
Lululemon Athletica, Inc. *		1,977		356,275
LyondellBasell Industries NV, Class A (d)		3,887		334,787
Manhattan Associates, Inc. *(d)		1,426		98,865
ManpowerGroup, Inc.		1,093		105,584
Masimo Corp. *		3,369		501,375
McDermott International, Inc. *(d)		8,385		80,999
McKesson Corp.		3,475		467,005
MEDNAX, Inc. *		287		7,241
Medtronic plc (c)		13,263		1,291,684
Merck & Co., Inc. (c)		13,214		1,107,994
MetLife, Inc.		5,577		277,010
Michaels Cos., Inc. (The) *(d)		11,065		96,266
Micron Technology, Inc. *		10,839		418,277
Microsoft Corp. (c)		20,652		2,766,541
MongoDB, Inc. *(d)		302		45,931
Monster Beverage Corp. *		4,562		291,192
Morgan Stanley		1,473		64,532
MSA Safety, Inc.		1,138		119,934
Mylan NV *(d)		7,935		151,082
NuVasive, Inc. *		2,024		118,485
Okta, Inc. *		231		28,531
Oracle Corp.		16,206		923,256
O’Reilly Automotive, Inc. *		63		23,267
Oshkosh Corp.		1,576		131,580
Parker-Hannifin Corp.		347		58,993
Paycom Software, Inc. *		97		21,992
PayPal Holdings, Inc. *		76		8,699
Pfizer, Inc. (c)		27,723		1,200,960
Philip Morris International, Inc. (d)		753		59,133
Pilgrim’s Pride Corp. *		2,746		69,721
PRA Health Sciences, Inc. *(d)		1,023		101,430
Procter & Gamble Co. (The) (d)		6,723		737,177
Prologis, Inc., REIT (d)		1,608		128,801
PulteGroup, Inc.		2,217		70,102
QUALCOMM, Inc.		4,246		322,993
Ralph Lauren Corp.		281		31,919
Raytheon Co.		510		88,679
Regeneron Pharmaceuticals, Inc. *		243		76,059
Robert Half International, Inc.		6,889		392,742
S&P Global, Inc.		641		146,013
Sally Beauty Holdings, Inc. *(d)		2,350		31,349
ServiceNow, Inc. *		701		192,474
Simon Property Group, Inc., REIT		791		126,370
Skechers U.S.A., Inc., Class A *		2,876		90,565
Skyworks Solutions, Inc.		773		59,730
Spirit AeroSystems Holdings, Inc., Class A		5,592		455,021
Starbucks Corp.		312		26,155
Steel Dynamics, Inc.		1,465		44,243
Stryker Corp.		151		31,043
Symantec Corp.		5,325		115,872
Synchrony Financial		18,847		653,425
Target Corp.		1,856		160,748
Tech Data Corp. *		5,170		540,782
TEGNA, Inc.		22,322		338,178
Terex Corp.		3,810		119,634
Texas Instruments, Inc. (d)		2,039		233,996

INVESTMENTS		SHARES		VALUE
United States - 34.1% (continued)
Timken Co. (The)			763	$	39,172
TJX Cos., Inc. (The)			2,869		151,713
Toll Brothers, Inc. (d)			3,874		141,866
TripAdvisor, Inc. *			3,472		160,719
Twilio, Inc., Class A *			203		27,679
Twitter, Inc. *			1,142		39,856
Tyson Foods, Inc., Class A (d)			11,180		902,673
Unum Group			4,040		135,542
Urban Outfitters, Inc. *			6,417		145,987
Valero Energy Corp.			629		53,849
Varian Medical Systems, Inc. *			403		54,860
Veeva Systems, Inc., Class A *			3,448		558,955
VeriSign, Inc. *			520		108,763
Verizon Communications, Inc.			4,274		244,174
Viacom, Inc., Class B			8,856		264,529
VMware, Inc., Class A			142		23,744
Walmart, Inc.			5,342		590,238
Walt Disney Co. (The)			4,260		594,866
Weight Watchers International, Inc. *			8,226		157,117
WellCare Health Plans, Inc. *			126		35,919
Wells Fargo & Co.			10,141		479,872
WESCO International, Inc. *			9,301		471,096
World Fuel Services Corp.			9,605		345,396
WW Grainger, Inc.			295		79,128
Xerox Corp.			7,696		272,515
Xilinx, Inc.			1,917		226,053
Zynga, Inc., Class A *			38,419		235,508
					62,170,411
TOTAL COMMON STOCKS (Cost $93,705,951)					97,017,754
		PRINCIPAL AMOUNT
FOREIGN GOVERNMENT SECURITIES - 10.3%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (2)(e)(f)(g)	EUR		3,900,996		4,671,187
0.10%, 4/15/2026 (2)(e)(f)(g)	EUR		3,585,878		4,477,570
France Government Bond OAT
0.25%, 7/25/2024 (2)(e)(f)(g)	EUR		1,477,709		1,813,887
0.10%, 3/1/2025 (2)(g)	EUR		1,350,635		1,639,944
1.85%, 7/25/2027 (2)(e)(f)(g)	EUR		671,238		954,856
0.10%, 3/1/2028 (2)(e)(f)(g)	EUR		518,610		643,135
0.70%, 7/25/2030 (2)(e)(f)(g)	EUR		314,836		422,540
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024 (2)(g)	GBP		1,662,598		2,396,475
0.13%, 3/22/2026 (2)(g)	GBP		1,114,810		1,689,950
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $18,670,245)					18,709,544
U.S. TREASURY OBLIGATIONS - 14.0%
U.S. Treasury Inflation Linked Notes
0.63%, 4/15/2023 (2)		$	7,145,900		7,438,355
0.50%, 4/15/2024 (2)			5,850,000		6,001,457
0.13%, 7/15/2026 (2)			1,410,000		1,492,946

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

101

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 14.0% (continued)
0.38%, 1/15/2027 (2)		$	1,300,000	$	1,384,675
0.38%, 7/15/2027 (2)			1,780,000		1,876,674
0.50%, 1/15/2028 (2)			1,710,000		1,800,390
0.75%, 7/15/2028 (2)			2,650,000		2,810,741
0.88%, 1/15/2029 (2)			2,520,000		2,684,442
TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,965,104)					25,489,680
SHORT-TERM INVESTMENTS - 43.0%
REPURCHASE AGREEMENTS - 1.3%
J.P. Morgan Securities LLC, 0.80%, dated 6/21/2019, due 7/17/2019, repurchase price $546,996, collateralized by Foreign Government Securities, 0.13%, due 3/22/2024 (2)	GBP		546,680		694,503
J.P. Morgan Securities LLC, 0.80%, dated 6/21/2019, due 7/17/2019, repurchase price $270,287, collateralized by Foreign Government Securities, 0.13%, due 3/22/2026 (2)	GBP		270,131		343,174
J.P. Morgan Securities LLC, 0.80%, dated 6/28/2019, due 7/17/2019, repurchase price $136,630, collateralized by Foreign Government Securities, 0.13%, due 3/22/2024 (2)	GBP		136,572		173,071
J.P. Morgan Securities LLC, 0.80%, dated 6/28/2019, due 7/17/2019, repurchase price $134,967, collateralized by Foreign Government Securities, 0.13%, due 3/22/2026 (2)	GBP		134,910		170,965
Merrill Lynch Pierce Fenner & Smith, Inc., (0.60)%, dated 6/24/2019, due 7/17/2019, repurchase price $123,972, collateralized by Foreign Government Securities, 0.70%, due 7/25/2030 (2)	EUR		124,020		140,043
Merrill Lynch Pierce Fenner & Smith, Inc., (0.60)%, dated 6/24/2019, due 7/17/2019, repurchase price $427,456, collateralized by Foreign Government Securities, 0.85%, due 7/25/2027 (2)	EUR		427,620		482,868
Merrill Lynch Pierce Fenner & Smith, Inc., (0.48)%, dated 6/24/2019, due 7/17/2019, repurchase price $226,570, collateralized by Foreign Government Securities, 0.10%, due 3/1/2028 (2)	EUR		226,640		255,922

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
REPURCHASE AGREEMENTS - 1.3% (continued)
Merrill Lynch Pierce Fenner & Smith, Inc., (0.60)%, dated 7/1/2019, due 7/17/2019, repurchase price $124,417, collateralized by Foreign Government Securities, 0.70%, due 7/25/2030 (2)	EUR		124,450	$	141,487
TOTAL REPURCHASE AGREEMENTS (Cost $2,402,033)					2,402,033
		SHARES
INVESTMENT COMPANIES - 21.9%
BlackRock Liquidity FundsT-Fund Portfolio, Institutional Shares, 2.26% (h)			190,239		190,239
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 2.21% (h)			760,955		760,955
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (h)(i)			5,333,108		5,333,108
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (h)(i)			3		3
Limited Purpose Cash Investment Fund, 2.36% (h)			32,587,311		32,593,828
UBS Select Treasury Preferred Fund, Class I, 2.23% (h)			985,133		985,133
TOTAL INVESTMENT COMPANIES (Cost $39,852,385)					39,863,266
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 19.8%
U.S. Treasury Bills
2.49%, 7/18/2019 (2)(j)(k)		$	1,708,000		1,706,346
2.48%, 7/25/2019 (2)(k)			60,000		59,922
2.47%, 8/1/2019 (2)(j)(k)			4,556,000		4,548,114
2.47%, 8/8/2019 (2)(k)(l)			9,672,000		9,650,955
2.35%, 10/24/2019 (2)(k)			1,529,000		1,519,286
2.35%, 10/31/2019 (2)(k)			1,529,000		1,518,520
2.36%, 11/7/2019 (2)(k)			1,529,000		1,517,700
2.36%, 11/14/2019 (2)(k)			1,529,000		1,517,130
2.37%, 11/21/2019 (2)(k)			1,529,000		1,516,489
2.35%, 11/29/2019 (2)(k)			3,346,000		3,317,019
2.28%, 12/5/2019 (2)(k)			1,020,000		1,011,048
2.16%, 12/12/2019 (2)(k)			4,411,000		4,370,082
2.15%, 12/19/2019 (2)(k)(m)			1,917,000		1,898,413
2.05%, 12/26/2019 (2)(k)			1,910,000		1,890,664
TOTAL U.S. TREASURY OBLIGATIONS (Cost $36,020,399)					36,041,688
TOTALSHORT-TERM INVESTMENTS (Cost $78,274,817)					78,306,987
TOTAL LONG POSITIONS (Cost $215,616,117)					219,523,965

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

102

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES			VALUE
SHORT POSITIONS - (12.7)%
COMMON STOCKS - (12.7)%
Australia - (0.5)%
AMP Ltd. (2)		(112,916	)	$	(168,435	)
Challenger Ltd. (2)		(72,901	)		(340,277	)
SEEK Ltd. (2)		(21,088	)		(313,880	)
Tabcorp Holdings Ltd. (2)		(13,223	)		(41,314	)
WorleyParsons Ltd. (2)		(2,083	)		(21,653	)
					(885,559	)
Canada - (0.4)%
Dollarama, Inc.		(1,399	)		(49,217	)
Encana Corp.		(45,051	)		(231,181	)
PrairieSky Royalty Ltd.		(13,132	)		(184,513	)
SNC-Lavalin Group, Inc.		(1,750	)		(35,386	)
Stars Group, Inc. (The) *		(4,381	)		(74,770	)
Wheaton Precious Metals Corp.		(3,855	)		(93,229	)
					(668,296	)
Denmark - (0.1)%
AP Moller - Maersk A/S, Class B (2)		(162	)		(201,579	)
Finland - 0.0% (a)
Outokumpu OYJ (2)		(11,176	)		(38,210	)
France - (0.5)%
Altran Technologies SA (2)		(1,717	)		(27,248	)
Elior Group SA (2)(b)		(3,601	)		(49,528	)
Iliad SA (2)		(376	)		(42,224	)
Orpea (2)		(168	)		(20,265	)
Valeo SA (2)		(21,623	)		(703,957	)
					(843,222	)
Germany - (0.9)%
Delivery Hero SE (2)*(b)		(11,872	)		(538,898	)
Deutsche Bank AG (Registered) (2)		(30,868	)		(238,025	)
thyssenkrupp AG (2)		(21,638	)		(315,931	)
TUI AG (2)		(2,324	)		(22,818	)
United Internet AG (Registered) (2)		(8,272	)		(272,530	)
Zalando SE (2)*(b)		(7,429	)		(328,931	)
					(1,717,133	)
Ireland - (0.5)%
James Hardie Industries plc, CHESS (2)		(68,226	)		(898,140	)
Italy - (0.2)%
Pirelli & C SpA (2)(b)		(58,938	)		(347,903	)
Japan - 0.0% (a)
Yaskawa Electric Corp. (2)		(1,300	)		(44,456	)
Spain - (0.4)%
Cellnex Telecom SA (2)*(b)		(20,717	)		(766,394	)
Sweden - 0.0% (a)
Autoliv, Inc.		(959	)		(67,619	)
Switzerland - (0.1)%
Idorsia Ltd. (2)*		(7,685	)		(175,857	)

INVESTMENTS	SHARES			VALUE
United Arab Emirates - (0.4)%
NMC Health plc (2)		(23,886	)	$	(730,810	)
United Kingdom - 0.0% (a)
ASOS plc (2)*		(690	)		(22,395	)
United States - (8.4)%
Acadia Healthcare Co., Inc. *		(11,968	)		(418,281	)
Adient plc		(14,839	)		(360,143	)
Agios Pharmaceuticals, Inc. *		(4,697	)		(234,286	)
Albemarle Corp.		(4,057	)		(285,653	)
Alnylam Pharmaceuticals, Inc. *		(748	)		(54,275	)
Antero Resources Corp. *		(2,694	)		(14,898	)
Apache Corp.		(935	)		(27,087	)
Aptiv plc		(1,676	)		(135,471	)
Baker Hughes a GE Co.		(14,211	)		(350,017	)
Bluebird Bio, Inc. *		(3,446	)		(438,330	)
Caesars Entertainment Corp. *		(9,680	)		(114,418	)
Callon Petroleum Co. *		(45,539	)		(300,102	)
Catalent, Inc. *		(4,409	)		(239,012	)
Centennial Resource Development, Inc., Class A *		(6,656	)		(50,519	)
Chemours Co. (The)		(1,132	)		(27,168	)
Cheniere Energy, Inc. *		(3,464	)		(237,111	)
CNX Resources Corp. *		(5,234	)		(38,261	)
Commercial Metals Co.		(13,720	)		(244,902	)
Conagra Brands, Inc.		(29,637	)		(785,972	)
Concho Resources, Inc.		(3,155	)		(325,533	)
Coty, Inc., Class A		(1,102	)		(14,767	)
Diamond Offshore Drilling, Inc. *		(2,123	)		(18,831	)
Dril-Quip, Inc. *		(1,800	)		(86,400	)
Element Solutions, Inc. *		(26,411	)		(273,090	)
Ensco Rowan plc, Class A		(44,825	)		(382,357	)
Equitrans Midstream Corp.		(8,525	)		(168,028	)
Extraction Oil & Gas, Inc. *		(4,335	)		(18,771	)
Floor & Decor Holdings, Inc., Class A *		(2,493	)		(104,457	)
Freeport-McMoRan, Inc.		(11,191	)		(129,928	)
GCI Liberty, Inc., Class A *		(1,537	)		(94,464	)
Granite Construction, Inc.		(7,984	)		(384,669	)
GrubHub, Inc. *		(380	)		(29,636	)
Harley-Davidson, Inc.		(671	)		(24,042	)
Helmerich & Payne, Inc.		(595	)		(30,119	)
Hess Corp.		(3,360	)		(213,595	)
Insulet Corp. *		(5,234	)		(624,834	)
International Flavors & Fragrances, Inc.		(2,188	)		(317,457	)
International Game Technology plc		(6,786	)		(88,014	)
Knight-Swift Transportation Holdings, Inc.		(4,578	)		(150,342	)
Kraft Heinz Co. (The)		(2,898	)		(89,954	)
Ligand Pharmaceuticals, Inc. *		(2,376	)		(271,220	)
Littelfuse, Inc.		(453	)		(80,140	)
Marvell Technology Group Ltd.		(7,271	)		(173,559	)
Matador Resources Co. *		(20,450	)		(406,546	)
Mattel, Inc. *		(16,542	)		(185,436	)
Meredith Corp.		(4,027	)		(221,727	)
Murphy Oil Corp.		(612	)		(15,086	)
Nabors Industries Ltd.		(46,197	)		(133,971	)
National Oilwell Varco, Inc.		(1,565	)		(34,790	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

103

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

INVESTMENTS	SHARES			VALUE
United States - (8.4)% (continued)
Nektar Therapeutics *		(689	)	$	(24,515	)
Newell Brands, Inc.		(22,265	)		(343,326	)
Newmont Goldcorp Corp.		(2,619	)		(100,753	)
Noble Energy, Inc.		(9,751	)		(218,422	)
Oasis Petroleum, Inc. *		(8,589	)		(48,786	)
ONEOK, Inc.		(288	)		(19,817	)
Penn National Gaming, Inc. *		(10,739	)		(206,833	)
Pinnacle Financial Partners, Inc.		(1,461	)		(83,978	)
Range Resources Corp.		(7,537	)		(52,608	)
Royal Gold, Inc.		(1,066	)		(109,254	)
Sage Therapeutics, Inc. *		(1,389	)		(254,312	)
Sanderson Farms, Inc.		(650	)		(88,764	)
Scientific Games Corp. *		(9,997	)		(198,141	)
Seattle Genetics, Inc. *		(452	)		(31,283	)
Stericycle, Inc. *		(946	)		(45,172	)
Sterling Bancorp		(17,788	)		(378,529	)
SVB Financial Group *		(96	)		(21,561	)
Switch, Inc., Class A		(21,288	)		(278,660	)
Targa Resources Corp.		(4,362	)		(171,252	)
Tesla, Inc. *		(3,069	)		(685,798	)
Thor Industries, Inc.		(466	)		(27,238	)
Tiffany & Co.		(1,300	)		(121,732	)
Transocean Ltd. *		(103,203	)		(661,530	)
Under Armour, Inc., Class A *		(5,417	)		(137,321	)
United States Steel Corp.		(1,749	)		(26,777	)
ViaSat, Inc. *		(3,233	)		(261,291	)
Virtu Financial, Inc., Class A		(7,540	)		(164,221	)
Visteon Corp. *		(534	)		(31,282	)
Wabtec Corp.		(5,064	)		(363,393	)
Welbilt, Inc. *		(10,204	)		(170,407	)
Williams Cos., Inc. (The)		(4,299	)		(120,544	)
WPX Energy, Inc. *		(3,501	)		(40,297	)
Zillow Group, Inc., Class C *		(2,974	)		(137,964	)
					(15,073,430	)
Zambia - (0.3)%
First Quantum Minerals Ltd.		(65,015	)		(617,607	)
TOTAL COMMON STOCKS (Proceeds $(23,023,233))					(23,098,610	)
TOTAL SHORT POSITIONS (Proceeds $(23,023,233))					(23,098,610	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 108.0% (Cost $192,592,884)					196,425,355
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.0)% (n)					(14,490,548	)
NET ASSETS - 100.0%				$	181,934,807

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	7,540,839			4.1	%
Consumer Discretionary		4,883,280			2.7
Consumer Staples		4,258,921			2.4
Energy		(1,508,375	)		(0.8	)
Financials		8,660,985			4.8
Foreign Government Securities		18,709,544			10.3
Health Care		14,530,053			8.0
Industrials		8,556,949			4.7
Information Technology		17,666,419			9.7
Materials		1,504,720			0.8
Real Estate		1,792,636			1.0
U.S. Treasury Obligations		25,489,680			14.0
Utilities		6,032,717			3.3
Short-Term Investments		78,306,987			43.0
Total Investments In Securities At Value		196,425,355			108.0
Liabilities in Excess of Other Assets (n)		(14,490,548	)		(8.0	)
Net Assets	$	181,934,807			100.0	%

* Non-income producing security.

(a) Represents less than 0.05% of net assets.

(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $(1,365,970), which represents approximately (0.75)% of net assets of the fund.

(c) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $18,550,670.

(d) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $6,609,081.

(e) 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 June 30, 2019, the value of these securities amounted to $12,983,175 or 7.14% of net assets.

(f) Inflation protected security.

(g) On 6/30/2019, securities valued at $18,709,544 were pledged as collateral for reverse repurchase agreements outstanding.

(h) Represents 7-day effective yield as of June 30, 2019.

(i) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(j) All or a portion of the security pledged as collateral for futures contracts.

(k) The rate shown was the effective yield at the date of purchase.

(l) All or a portion of the security pledged as collateral for swap and futures contracts.

(m) All or a portion of the security pledged as collateral for swap contracts.

(n) Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

104

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.

(2) Level 2 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

Reverse repurchase agreements at June 30, 2019:

Over the Counter

COUNTERPARTY	TRADE DATE		RATE	DUE DATE	CURRENCY		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
GSCO		6/19/2019	(0.43)%	7/17/2019		EUR		$4,499,144
GSCO		6/19/2019	(0.43)%	7/17/2019		EUR		4,305,407
JPMS		6/19/2019	0.85%	7/17/2019		GBP		2,164,738
JPMS		6/19/2019	0.85%	7/17/2019		GBP		3,200,696
MPFS		6/19/2019	(0.45)%	7/17/2019		EUR		1,588,312
MPFS		6/19/2019	(0.38)%	7/17/2019		EUR		862,737
MPFS		6/19/2019	(0.38)%	7/17/2019		EUR		678,287
MPFS		6/19/2019	(0.38)%	7/17/2019		EUR		1,765,770
MPFS		6/19/2019	(0.38)%	7/17/2019		EUR		1,398,588
								$20,463,679

The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2019 was $51,515,385 at a net weighted average interest rate of 1.273%

Total return swap contracts outstanding as of June 30, 2019:

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)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/09/2019

USD

246,263

$17,832

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/09/2019

USD

123,131

8,195

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/09/2019

USD

164,175

10,083

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

743,313

32,545

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

1,104,350

67,294

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/08/2019

USD

(198,240

)

3,984

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2019

HKD

2,850,500

5,194

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

105

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/15/2019

USD

(86,520

)

$ 13,124

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/15/2019

USD

(288,400

)

57,040

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/14/2019

USD

(60,800

)

360

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/25/2019

USD

1,015,300

75,438

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/25/2019

USD

1,846,000

127,101

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

226,030

11,776

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(226,030

)

3,891

433,857

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/02/2019

USD

24,250

(472

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

24,250

(317

)

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/02/2019

USD

48,500

(481

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/09/2019

USD

(41,044

)

(3,114

)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(743,313

)

(101,067

)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(1,104,350

)

(154,487

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/08/2019

USD

198,240

(11,291

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/15/2019

USD

288,400

(89,680

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/15/2019

USD

86,520

(27,312

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/14/2019

USD

212,800

(18,051

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/14/2019

USD

91,200

(7,176

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

106

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

41,740

$ (1,761

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/02/2019

USD

1,669,600

(93,280

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

83,480

(3,855

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

10/25/2019

USD

(1,846,000

)

(39,917

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/25/2019

USD

(599,950

)

(35,892

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

1,037,880

(1,918

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/20/2019

CHF

2,660,310

(4,699

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/23/2019

USD

448,163

(5,838

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

237,263

(3,241

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/23/2019

USD

896,325

(13,941

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

131,813

(2,005

)

(619,795

)

$(185,938

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
CAC 40 10 Euro Index		29	7/2019	EUR		$1,824,556		$4,026
Hang Seng Index		3	7/2019	HKD		547,352		6,680
LME Aluminum Base Metal		3	7/2019	USD		133,476		(8,585	)
LME Aluminum Base Metal		3	7/2019	USD		133,958		(4,574	)
LME Aluminum Base Metal		4	7/2019	USD		178,096		(8,474	)
LME Aluminum Base Metal		5	7/2019	USD		222,781		(9,041	)
LME Copper Base Metal		2	7/2019	USD		299,228		(23,417	)
LME Copper Base Metal		2	7/2019	USD		299,483		(22,323	)
LME Copper Base Metal		7	7/2019	USD		1,048,325		(72,042	)
LME Lead Base Metal		5	7/2019	USD		240,864		(1,901	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

107

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Nickel Base Metal		1	7/2019	USD		$ 75,785		$ (2,800	)
LME Nickel Base Metal		1	7/2019	USD		75,730		(3,344	)
LME Nickel Base Metal		2	7/2019	USD		151,773		3,381
LME Nickel Base Metal		2	7/2019	USD		151,668		(498	)
LME Zinc Base Metal		2	7/2019	USD		127,675		(16,724	)
LME Zinc Base Metal		3	7/2019	USD		192,150		(26,359	)
LME Zinc Base Metal		4	7/2019	USD		252,664		(25,848	)
Natural Gas		16	7/2019	USD		369,280		(46,914	)
WTI Crude Oil		13	7/2019	USD		760,110		85,803
100 oz Gold		53	8/2019	USD		7,492,610		670,890
Brent Crude Oil		94	8/2019	USD		6,048,900		313,354
Live Cattle		3	8/2019	USD		125,220		(5,032	)
LME Aluminum Base Metal		1	8/2019	USD		44,734		(894	)
LME Aluminum Base Metal		2	8/2019	USD		89,813		(93	)
LME Aluminum Base Metal		2	8/2019	USD		89,663		757
LME Aluminum Base Metal		5	8/2019	USD		224,069		(9,071	)
LME Aluminum Base Metal		6	8/2019	USD		268,712		(3,444	)
LME Aluminum Base Metal		6	8/2019	USD		268,763		(1,705	)
LME Copper Base Metal		1	8/2019	USD		149,900		2,572
LME Copper Base Metal		1	8/2019	USD		149,847		2,269
LME Copper Base Metal		1	8/2019	USD		149,837		(3,116	)
LME Copper Base Metal		2	8/2019	USD		299,663		(8,268	)
LME Copper Base Metal		3	8/2019	USD		449,397		(16,362	)
LME Lead Base Metal		1	8/2019	USD		48,200		1,389
LME Lead Base Metal		1	8/2019	USD		48,224		1,360
LME Nickel Base Metal		2	8/2019	USD		152,220		7,134
LME Nickel Base Metal		2	8/2019	USD		152,234		7,856
LME Zinc Base Metal		1	8/2019	USD		62,568		(892	)
LME Zinc Base Metal		1	8/2019	USD		62,743		(3,085	)
Natural Gas		20	8/2019	USD		456,400		(399	)
NY Harbor ULSD		2	8/2019	USD		163,565		2,133
RBOB Gasoline		11	8/2019	USD		856,594		35,987
WTI Crude Oil		19	8/2019	USD		1,111,880		(15,937	)
Australia 10 Year Bond		98	9/2019	AUD		9,883,258		74,721
Canada 10 Year Bond		41	9/2019	CAD		4,474,919		46,774
Cocoa		12	9/2019	USD		291,000		(2,430	)
Coffee ’C’		2	9/2019	USD		82,088		1,945
Corn		39	9/2019	USD		828,263		(51,721	)
EURO STOXX 50 Index		317	9/2019	EUR		12,493,567		190,639
Euro-Bobl		405	9/2019	EUR		61,913,044		268,756
Euro-Bund		251	9/2019	EUR		49,302,083		626,975
FTSE 100 Index		42	9/2019	GBP		3,930,470		17,754
FTSE/MIB Index		33	9/2019	EUR		3,969,320		38,364
Japan 10 Year Bond		32	9/2019	JPY		45,663,405		110,921
KC HRW Wheat		4	9/2019	USD		92,300		(1,558	)
LME Aluminum Base Metal		2	9/2019	USD		90,000		(393	)
LME Aluminum Base Metal		7	9/2019	USD		314,781		(405	)
LME Aluminum Base Metal		7	9/2019	USD		315,000		4,275
LME Aluminum Base Metal		9	9/2019	USD		405,281		3,121
LME Aluminum Base Metal		9	9/2019	USD		404,879		4,829
LME Aluminum Base Metal		46	9/2019	USD		2,070,288		(12,186	)
LME Copper Base Metal		2	9/2019	USD		299,921		8,440
LME Copper Base Metal		4	9/2019	USD		599,300		188
LME Copper Base Metal		5	9/2019	USD		749,163		6,648
LME Copper Base Metal		5	9/2019	USD		749,188		(189	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

108

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		12		9/2019	USD		$ 1,799,382			$ 52,147
LME Copper Base Metal		48		9/2019	USD		7,195,200			(568,211	)
LME Lead Base Metal		1		9/2019	USD		48,296			888
LME Lead Base Metal		1		9/2019	USD		48,300			389
LME Lead Base Metal		3		9/2019	USD		144,868			1,234
LME Lead Base Metal		15		9/2019	USD		724,500			(10,771	)
LME Nickel Base Metal		2		9/2019	USD		152,302			6,856
LME Nickel Base Metal		2		9/2019	USD		152,316			4,470
LME Nickel Base Metal		2		9/2019	USD		152,405			8,760
LME Nickel Base Metal		5		9/2019	USD		380,820			28,155
LME Nickel Base Metal		28		9/2019	USD		2,134,440			(91,551	)
LME Zinc Base Metal		2		9/2019	USD		124,965			492
LME Zinc Base Metal		3		9/2019	USD		187,635			(399	)
LME Zinc Base Metal		28		9/2019	USD		1,750,700			(223,106	)
Low Sulphur Gasoil		21		9/2019	USD		1,261,050			12,717
S&P 500E-Mini Index		70		9/2019	USD		10,304,700			167,638
S&P Midcap 400E-Mini Index		10		9/2019	USD		1,950,000			38,940
S&P/TSX 60 Index		3		9/2019	CAD		447,955			2,200
Silver		56		9/2019	USD		4,295,480			61,599
SPI 200 Index		2		9/2019	AUD		230,237			(657	)
Sugar No. 11		126		9/2019	USD		1,780,934			(11,756	)
U.S. Treasury 10 Year Note		539		9/2019	USD		68,975,156			1,348,258
U.S. Treasury 5 Year Note		429		9/2019	USD		50,689,031			633,695
Wheat		38		9/2019	USD		1,001,775			(15,786	)
Soybean Oil		1		12/2019	USD		17,298			(90	)
										3,586,028
Short Contracts
Amsterdam Exchange Index		(15	)	7/2019	EUR		(1,913,500	)		(15,999	)
IBEX 35 Index		(1	)	7/2019	EUR		(104,306	)		(958	)
LME Aluminum Base Metal		(3	)	7/2019	USD		(133,476	)		8,379
LME Aluminum Base Metal		(3	)	7/2019	USD		(133,958	)		5,195
LME Aluminum Base Metal		(4	)	7/2019	USD		(178,096	)		8,592
LME Aluminum Base Metal		(5	)	7/2019	USD		(222,781	)		8,642
LME Copper Base Metal		(2	)	7/2019	USD		(299,483	)		22,353
LME Copper Base Metal		(2	)	7/2019	USD		(299,228	)		24,129
LME Copper Base Metal		(7	)	7/2019	USD		(1,048,325	)		69,929
LME Lead Base Metal		(5	)	7/2019	USD		(240,864	)		1,934
LME Nickel Base Metal		(1	)	7/2019	USD		(75,730	)		2,891
LME Nickel Base Metal		(1	)	7/2019	USD		(75,785	)		2,478
LME Nickel Base Metal		(2	)	7/2019	USD		(151,668	)		546
LME Nickel Base Metal		(2	)	7/2019	USD		(151,773	)		(3,448	)
LME Zinc Base Metal		(2	)	7/2019	USD		(127,675	)		17,219
LME Zinc Base Metal		(3	)	7/2019	USD		(192,150	)		28,116
LME Zinc Base Metal		(4	)	7/2019	USD		(252,664	)		24,837
RBOB Gasoline		(2	)	7/2019	USD		(159,314	)		(19,677	)
LME Aluminum Base Metal		(1	)	8/2019	USD		(44,734	)		913
LME Aluminum Base Metal		(2	)	8/2019	USD		(89,813	)		192
LME Aluminum Base Metal		(2	)	8/2019	USD		(89,663	)		(774	)
LME Aluminum Base Metal		(5	)	8/2019	USD		(224,069	)		8,800
LME Aluminum Base Metal		(6	)	8/2019	USD		(268,763	)		856
LME Aluminum Base Metal		(6	)	8/2019	USD		(268,712	)		2,718
LME Copper Base Metal		(1	)	8/2019	USD		(149,847	)		(2,364	)
LME Copper Base Metal		(1	)	8/2019	USD		(149,900	)		(2,389	)
LME Copper Base Metal		(1	)	8/2019	USD		(149,837	)		2,656
LME Copper Base Metal		(2	)	8/2019	USD		(299,663	)		8,070
LME Copper Base Metal		(3	)	8/2019	USD		(449,397	)		14,700

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

109

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Lead Base Metal		(1	)	8/2019	USD		$ (48,200	)		$ (1,453	)
LME Lead Base Metal		(1	)	8/2019	USD		(48,224	)		(1,414	)
LME Nickel Base Metal		(2	)	8/2019	USD		(152,234	)		(7,685	)
LME Nickel Base Metal		(2	)	8/2019	USD		(152,220	)		(7,295	)
LME Zinc Base Metal		(1	)	8/2019	USD		(62,568	)		730
LME Zinc Base Metal		(1	)	8/2019	USD		(62,743	)		3,098
DAX Index		(2	)	9/2019	EUR		(704,320	)		(1,355	)
LME Aluminum Base Metal		(2	)	9/2019	USD		(90,000	)		694
LME Aluminum Base Metal		(7	)	9/2019	USD		(314,781	)		548
LME Aluminum Base Metal		(7	)	9/2019	USD		(315,000	)		(4,658	)
LME Aluminum Base Metal		(9	)	9/2019	USD		(405,281	)		(3,458	)
LME Aluminum Base Metal		(9	)	9/2019	USD		(404,879	)		(5,880	)
LME Aluminum Base Metal		(38	)	9/2019	USD		(1,710,238	)		54,500
LME Copper Base Metal		(2	)	9/2019	USD		(299,921	)		(8,714	)
LME Copper Base Metal		(4	)	9/2019	USD		(599,300	)		(1,201	)
LME Copper Base Metal		(5	)	9/2019	USD		(749,163	)		(5,706	)
LME Copper Base Metal		(5	)	9/2019	USD		(749,188	)		(844	)
LME Copper Base Metal		(12	)	9/2019	USD		(1,799,382	)		(46,674	)
LME Copper Base Metal		(45	)	9/2019	USD		(6,745,500	)		51,118
LME Lead Base Metal		(1	)	9/2019	USD		(48,300	)		(503	)
LME Lead Base Metal		(1	)	9/2019	USD		(48,296	)		(1,023	)
LME Lead Base Metal		(3	)	9/2019	USD		(144,868	)		(2,088	)
LME Lead Base Metal		(8	)	9/2019	USD		(386,400	)		(17	)
LME Nickel Base Metal		(2	)	9/2019	USD		(152,316	)		(4,458	)
LME Nickel Base Metal		(2	)	9/2019	USD		(152,405	)		(8,972	)
LME Nickel Base Metal		(2	)	9/2019	USD		(152,302	)		(7,066	)
LME Nickel Base Metal		(5	)	9/2019	USD		(380,820	)		(28,817	)
LME Nickel Base Metal		(20	)	9/2019	USD		(1,524,600	)		(64,246	)
LME Zinc Base Metal		(2	)	9/2019	USD		(124,965	)		(120	)
LME Zinc Base Metal		(3	)	9/2019	USD		(187,635	)		156
LME Zinc Base Metal		(8	)	9/2019	USD		(500,200	)		28,429
TOPIX Index		(1	)	9/2019	JPY		(143,858	)		316
Cotton No. 2		(13	)	12/2019	USD		(429,520	)		4,108
Soybean Meal		(14	)	12/2019	USD		(452,060	)		303
										148,889
										$3,734,917

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	10,358,000	USD	7,199,917	CITI		9/18/2019		$89,307
AUD	10,358,000	USD	7,199,926	JPMC		9/18/2019		89,298
BRL	8,665,492	USD	2,198,747	CITI**		9/18/2019		40,779
BRL	8,665,508	USD	2,198,753	JPMC**		9/18/2019		40,777
CAD	5,608,988	USD	4,196,080	CITI		9/18/2019		93,276
CAD	5,609,012	USD	4,196,103	JPMC		9/18/2019		93,271
CHF	3,007,500	USD	3,050,911	CITI		9/18/2019		52,124
CHF	3,007,500	USD	3,050,914	JPMC		9/18/2019		52,120
CNY	13,634,504	USD	1,964,812	CITI**		9/18/2019		18,672
CNY	13,634,496	USD	1,964,813	JPMC**		9/18/2019		18,669

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

110

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CZK	12,562,500	USD	545,490	CITI		9/18/2019		$ 16,949
CZK	12,562,500	USD	545,490	JPMC		9/18/2019		16,948
EUR	23,103,285	USD	26,132,263	CITI		9/18/2019		303,785
EUR	23,103,291	USD	26,132,302	JPMC		9/18/2019		303,753
GBP	6,735,368	USD	8,563,740	CITI		9/18/2019		20,311
GBP	6,735,393	USD	8,563,782	JPMC		9/18/2019		20,299
HKD	89,000	USD	11,393	CITI		9/18/2019		4
HKD	89,000	USD	11,393	JPMC		9/18/2019		4
HUF	118,669,996	USD	415,205	CITI		9/18/2019		4,542
HUF	118,670,004	USD	415,205	JPMC		9/18/2019		4,542
INR	191,034,500	USD	2,710,509	CITI**		9/18/2019		30,823
INR	191,034,500	USD	2,710,512	JPMC**		9/18/2019		30,820
JPY	139,400,000	USD	1,288,765	CITI		9/18/2019		11,754
JPY	139,400,000	USD	1,288,767	JPMC		9/18/2019		11,753
KRW	1,774,467,511	USD	1,503,758	CITI**		9/18/2019		32,897
KRW	1,774,467,488	USD	1,503,760	JPMC**		9/18/2019		32,895
MXN	65,649,788	USD	3,315,285	CITI		9/18/2019		59,868
MXN	65,337,648	USD	3,299,257	JPMC		9/18/2019		59,847
NZD	5,600,000	USD	3,685,508	CITI		9/18/2019		82,177
NZD	5,600,000	USD	3,685,512	JPMC		9/18/2019		82,173
PLN	8,462,992	USD	2,221,246	CITI		9/18/2019		49,496
PLN	8,463,008	USD	2,221,253	JPMC		9/18/2019		49,493
RUB	49,289,000	USD	746,350	CITI**		9/18/2019		24,563
RUB	49,289,000	USD	746,351	JPMC**		9/18/2019		24,562
SEK	4,657,000	USD	496,633	CITI		9/18/2019		7,713
SEK	4,657,000	USD	496,633	JPMC		9/18/2019		7,712
USD	325,219	EUR	283,500	CITI		9/18/2019		823
USD	325,219	EUR	283,500	JPMC		9/18/2019		823
USD	6,652,673	GBP	5,208,316	CITI		9/18/2019		14,809
USD	6,655,678	GBP	5,208,309	JPMC		9/18/2019		17,824
USD	708,128	JPY	75,821,876	CITI		9/18/2019		754
USD	708,127	JPY	75,821,874	JPMC		9/18/2019		753
USD	37,665	MXN	732,000	CITI		9/18/2019		32
USD	37,665	MXN	732,000	JPMC		9/18/2019		32
USD	683,086	NOK	5,800,000	CITI		9/18/2019		1,676
USD	683,085	NOK	5,800,000	JPMC		9/18/2019		1,676
ZAR	30,615,007	USD	2,075,999	CITI		9/18/2019		76,019
ZAR	30,614,995	USD	2,076,001	JPMC		9/18/2019		76,016
CLP	368,405,508	USD	526,085	CITI**		9/23/2019		17,824
CLP	368,405,492	USD	526,094	JPMC**		9/23/2019		17,814
Total unrealized appreciation								2,104,851
BRL	328,000	USD	85,177	CITI**		9/18/2019		(408	)
BRL	328,000	USD	85,178	JPMC**		9/18/2019		(408	)
CHF	550,000	USD	567,888	CITI		9/18/2019		(417	)
CHF	550,000	USD	567,889	JPMC		9/18/2019		(418	)
EUR	339,000	USD	388,416	CITI		9/18/2019		(513	)
EUR	339,000	USD	388,416	JPMC		9/18/2019		(514	)
GBP	4,171,056	USD	5,329,903	CITI		9/18/2019		(14,000	)
GBP	4,171,071	USD	5,329,929	JPMC		9/18/2019		(14,006	)
HUF	18,581,500	USD	66,004	CITI		9/18/2019		(280	)
HUF	18,581,500	USD	66,005	JPMC		9/18/2019		(280	)
JPY	40,525,000	USD	381,460	CITI		9/18/2019		(3,386	)
JPY	40,525,000	USD	381,461	JPMC		9/18/2019		(3,387	)
KRW	192,131,500	USD	166,870	CITI**		9/18/2019		(488	)
KRW	192,131,500	USD	166,871	JPMC**		9/18/2019		(488	)
MXN	28,549,208	USD	1,471,756	CITI		9/18/2019		(3,999	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

111

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
MXN	28,861,356	USD	1,487,810	JPMC		9/18/2019		$ (4,005	)
PLN	932,500	USD	250,361	CITI		9/18/2019		(158	)
PLN	932,500	USD	250,362	JPMC		9/18/2019		(158	)
SEK	600,000	USD	65,112	CITI		9/18/2019		(133	)
SEK	600,000	USD	65,112	JPMC		9/18/2019		(133	)
USD	4,249,136	AUD	6,112,504	CITI		9/18/2019		(52,410	)
USD	4,249,125	AUD	6,112,496	JPMC		9/18/2019		(52,415	)
USD	1,240,987	CAD	1,657,004	CITI		9/18/2019		(26,172	)
USD	1,240,990	CAD	1,656,996	JPMC		9/18/2019		(26,163	)
USD	11,964,256	CHF	11,848,517	CITI		9/18/2019		(260,634	)
USD	11,964,207	CHF	11,848,483	JPMC		9/18/2019		(260,648	)
USD	579,735	DKK	3,846,500	CITI		9/18/2019		(10,224	)
USD	579,734	DKK	3,846,500	JPMC		9/18/2019		(10,225	)
USD	42,537,654	EUR	37,641,513	CITI		9/18/2019		(533,832	)
USD	42,537,525	EUR	37,641,446	JPMC		9/18/2019		(533,885	)
USD	9,348,620	GBP	7,357,657	CITI		9/18/2019		(28,521	)
USD	9,348,604	GBP	7,357,654	JPMC		9/18/2019		(28,535	)
USD	907,653	HKD	7,109,992	CITI		9/18/2019		(2,842	)
USD	907,654	HKD	7,110,008	JPMC		9/18/2019		(2,843	)
USD	87,264	INR	6,156,000	CITI**		9/18/2019		(1,074	)
USD	87,264	INR	6,156,000	JPMC**		9/18/2019		(1,074	)
USD	4,881,675	JPY	529,659,132	CITI		9/18/2019		(59,732	)
USD	4,881,669	JPY	529,659,118	JPMC		9/18/2019		(59,738	)
USD	141,368	KRW	166,462,000	CITI**		9/18/2019		(2,784	)
USD	141,368	KRW	166,462,000	JPMC**		9/18/2019		(2,785	)
USD	1,360	MXN	26,500	CITI		9/18/2019		(2	)
USD	1,360	MXN	26,500	JPMC		9/18/2019		(2	)
USD	1,602,244	NOK	13,932,000	CITI		9/18/2019		(34,549	)
USD	1,602,242	NOK	13,932,000	JPMC		9/18/2019		(34,552	)
USD	861,880	NZD	1,300,000	CITI		9/18/2019		(12,761	)
USD	861,879	NZD	1,300,000	JPMC		9/18/2019		(12,763	)
USD	955,722	SEK	9,052,994	CITI		9/18/2019		(24,703	)
USD	955,722	SEK	9,053,006	JPMC		9/18/2019		(24,704	)
USD	492,089	SGD	676,000	CITI		9/18/2019		(8,144	)
USD	492,089	SGD	676,000	JPMC		9/18/2019		(8,144	)
USD	117,052	ZAR	1,749,500	CITI		9/18/2019		(5,926	)
USD	117,052	ZAR	1,749,500	JPMC		9/18/2019		(5,926	)
Total unrealized depreciation								(2,176,291	)
Net unrealized depreciation							$	(71,440	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

112

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BANA
Cash		$(100,000	)		$—			$(100,000	)
BARC
Cash		—			1,888,570			1,888,570
CITI
Investment Companies		1,230,930			—			1,230,930
GSCO
Cash		—			(729,344	)		(729,344	)
Foreign Government Securities		9,148,757			—			9,148,757
U.S. Treasury Bills		—			855,797			855,797
JPMC
Investment Companies		4,043,605			—			4,043,605
JPMS
Cash		—			2,474			2,474
Foreign Government Securities		3,875,182			—			3,875,182
MSCL
Cash		—			(1,294,501	)		(1,294,501	)
U.S. Treasury Bills		591,933			—			591,933
MSCS
U.S. Treasury Bills		414,965			—			414,965
MPFS
Foreign Government Securities		5,685,606			—			5,685,606

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$58,573			$—		$58,573
GSCO
Cash		—			56,340		56,340
GSIN
Cash		(100,000	)		—		(100,000	)
JPPC
Cash		—			1,103,982		1,103,982
MLIN
Cash		378,507			—		378,507
MSCL
Cash		—			142,165		142,165
SOCG
Cash		297,392			—		297,392

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

113

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 139.1%
COMMON STOCKS - 4.3%
China - 1.9%
Alibaba Group Holding Ltd., ADR (1)*(a)		66,768	$	11,313,838
United States - 2.4%
Air Transport Services Group, Inc. (1)*(a)		9,269		226,164
Akamai Technologies, Inc. (1)*(a)		8,608		689,845
BioMarin Pharmaceutical, Inc. (1)*(a)		9,052		775,304
Blackstone Mortgage Trust, Inc., Class A, REIT (1)(a)		384		13,663
Booking Holdings, Inc. (1)*(a)		840		1,574,755
Euronet Worldwide, Inc. (1)*(a)		940		158,146
Exact Sciences Corp. (1)*(a)		43		5,076
Expedia Group, Inc. (1)(a)		1,810		240,784
Fortive Corp. (1)(a)		974		79,400
Genworth Financial, Inc., Class A (1)*		328,165		1,217,492
Guidewire Software, Inc. (1)*(a)		999		101,279
IAC/InterActiveCorp (1)*(a)		907		197,300
Illumina, Inc. (1)*(a)		2,518		927,002
Insulet Corp. (1)*(a)		1,264		150,896
Intercept Pharmaceuticals, Inc. (1)*(a)		191		15,198
Intrexon Corp. (1)*(a)		27,192		208,291
Jazz Pharmaceuticals plc (1)*(a)		1,311		186,896
MINDBODY, Inc., Class A (3)*(b)(c)		93,547		3,469,464
New Relic, Inc. (1)*(a)		2,707		234,183
Oil States International, Inc. (1)*(a)		2,940		53,802
Panera Bread Co., Class A (3)*(b) (c)		38,740		574,904
Square, Inc., Class A (1)*		2,486		180,310
Tesla, Inc. (1)*(a)		1,158		258,767
Transocean Ltd. (1)*(a)		33,142		212,440
Viavi Solutions, Inc. (1)*		37,585		499,505
Wayfair, Inc., Class A (1)*(a)		16,347		2,386,661
				14,637,527
TOTAL COMMON STOCKS(Cost $18,897,756)				25,951,365
PREFERRED STOCKS - 0.3%
United States - 0.3%
Dominion Energy, Inc., Series A, 7.25%, 6/1/2022 *(a) (Cost $1,487,500)		14,875		1,540,455
CONVERTIBLE PREFERRED STOCKS - 9.2%
United States - 9.2%
2017 Mandatory Exchangeable Trust
$100 par, 5.19%, 12/1/2020 (a)(d)		25,225		4,017,619
Avantor, Inc. Series A, $50 par, 6.25%, 5/15/2022 *(a)		18,250		1,201,945
CenterPoint Energy, Inc. Series B, $50 par, 7.00%, 9/1/2021 (a)		122,675		6,167,580
Change Healthcare, Inc. $50 par, 6.00%, 6/30/2022 *		8,375		458,364
Colfax Corp. $50 par, 5.75%, 1/15/2022 (a)		38,200		4,849,872
DTE Energy Co. $50 par, 6.50%, 10/1/2019 (a)		87,625		4,899,926

INVESTMENTS	SHARES		VALUE
United States - 9.2% (continued)
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (a)		21,150	$	21,784,220
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 *(a)(e)(f)		3,869		4,531,168
QTS Realty Trust, Inc., REIT Series B, $100 par, 6.50%, 12/31/2049 (a)(e)		7,650		851,079
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (a)		35,625		2,177,756
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (a)		33,975		3,843,153
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (a)		16,500		878,625
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $52,271,533)				55,661,307
	PRINCIPAL AMOUNT
CORPORATE BONDS - 0.0% (g)
United States - 0.0% (g)
SunEdison, Inc.
2.00%, 10/1/2018 (3)(b)(h)	$	5,950,000		138,464
2.75%, 1/1/2021 (3)(b)(h)		4,925,000		114,612
TOTAL CORPORATE BONDS (Cost $15,555,747)				253,076
CONVERTIBLE BONDS - 46.6%
Argentina - 1.1%
MercadoLibre, Inc. 2.00%, 8/15/2028 (a)(d)		4,300,000		6,623,855
Brazil - 0.3%
GOL Equity Finance SA 3.75%, 7/15/2024 (a)(d)		1,450,000		1,544,248
Canada - 1.1%
Aphria, Inc. 5.25%, 6/1/2024 (a)(d)		900,000		803,250
Element Fleet Management Corp. 4.25%, 6/30/2020 (a)		6,521,000		4,994,313
Tilray, Inc. 5.00%, 10/1/2023 (a)(d)		1,425,000		1,148,906
				6,946,469
Chile - 0.2%
Liberty Latin America Ltd. 2.00%, 7/15/2024 (a)(d)		1,025,000		1,031,963
China - 0.5%
iQIYI, Inc. 2.00%, 4/1/2025 (a)(d)		1,425,000		1,400,810
Qudian, Inc. 1.00%, 7/1/2026 (d)		475,000		483,676
YY, Inc.
0.75%, 6/15/2025 (a)(d)		250,000		252,173
1.38%, 6/15/2026 (a)(d)		625,000		634,380
				2,771,039
France - 1.5%
AXA SA 7.25%, 5/15/2021 (a)(d)		8,825,000		9,064,158

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

114

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
Germany - 0.5%
Deutsche Bank AG 1.00%, 5/1/2023 (a)	$	3,250,000	$	3,143,140
Ivory Coast - 0.1%
Endeavour Mining Corp. 3.00%, 2/15/2023 (a)(d)		625,000		609,000
Monaco - 0.2%
Scorpio Tankers, Inc. 3.00%, 5/15/2022 (a)		1,025,000		1,065,193
Netherlands - 0.2%
NXP Semiconductors NV 1.00%, 12/1/2019 (a)		1,150,000		1,211,790
Norway - 0.6%
Ship Finance International Ltd. 5.75%, 10/15/2021 (a)		3,600,000		3,632,691
United States - 40.3%
8x8, Inc. 0.50%, 2/1/2024 (a)(d)		700,000		794,932
Aerojet Rocketdyne Holdings, Inc. 2.25%, 12/15/2023 (a)		250,000		444,466
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022 (a)		2,450,000		1,960,931
Apollo Commercial Real Estate Finance, Inc., REIT
4.75%, 8/23/2022 (a)		1,350,000		1,349,724
5.38%, 10/15/2023 (a)		1,925,000		1,916,845
Ares Capital Corp. 4.63%, 3/1/2024 (a)		3,200,000		3,288,000
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (a)		1,475,000		1,514,308
Benefitfocus, Inc. 1.25%, 12/15/2023 (a)(d)		450,000		401,445
Blackstone Mortgage Trust, Inc., REIT
4.38%, 5/5/2022 (a)		1,700,000		1,771,830
4.75%, 3/15/2023 (a)		2,300,000		2,395,395
Booking Holdings, Inc. 0.35%, 6/15/2020 (a)		650,000		935,422
Chegg, Inc. 0.13%, 3/15/2025 (a)(d)		2,375,000		2,383,577
Cheniere Energy, Inc. 4.88%, 5/28/2021 (a)(d)(f)		1,100,000		1,149,598
Chesapeake Energy Corp. 5.50%, 9/15/2026 (a)(i)		4,725,000		3,771,393
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (a)		1,300,000		1,876,014
Clovis Oncology, Inc.
2.50%, 9/15/2021 (a)		1,050,000		931,254
1.25%, 5/1/2025 (a)		925,000		575,468
Coupa Software, Inc. 0.13%, 6/15/2025 (a)(d)		1,500,000		1,605,123
Cree, Inc. 0.88%, 9/1/2023 (a)(d)		3,150,000		3,645,914
DISH Network Corp. 3.38%, 8/15/2026 (a)		1,525,000		1,482,581
Dycom Industries, Inc. 0.75%, 9/15/2021 (a)		2,023,000		1,973,126

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 40.3% (continued)
FireEye, Inc. 0.88%, 6/1/2024 (a)	$	2,700,000	$	2,631,814
FTI Consulting, Inc. 2.00%, 8/15/2023 (a)(d)		2,500,000		2,674,983
Gannett Co., Inc. 4.75%, 4/15/2024 (a)		2,250,000		2,268,862
Gogo, Inc. 6.00%, 5/15/2022 (a)(d)		1,325,000		1,219,000
Guess?, Inc. 2.00%, 4/15/2024 (a)(d)		575,000		537,872
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (a)		3,000,000		2,971,062
IAC Financeco 3, Inc. 2.00%, 1/15/2030 (a)(d)		1,450,000		1,491,995
IAC FinanceCo, Inc. 0.88%, 10/1/2022 (a)(d)		1,600,000		2,414,525
Infinera Corp. 2.13%, 9/1/2024 (a)		2,125,000		1,443,672
Innoviva, Inc. 2.13%, 1/15/2023 (a)		1,925,000		2,018,840
Inphi Corp. 0.75%, 9/1/2021 (a)		1,705,000		1,890,387
Intercept Pharmaceuticals, Inc. 2.00%, 5/15/2026 (a)		250,000		247,381
InterDigital, Inc. 2.00%, 6/1/2024 (a)(d)		900,000		913,199
Intrexon Corp. 3.50%, 7/1/2023 (a)		2,025,000		1,416,832
KBR, Inc. 2.50%, 11/1/2023 (a)(d)		2,050,000		2,381,487
Liberty Media Corp.
2.13%, 3/31/2048 (a)(d)		1,275,000		1,237,547
2.25%, 12/1/2048 (a)(d)		2,950,000		3,367,468
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (a)		1,950,000		1,683,555
Medicines Co. (The) 2.75%, 7/15/2023 (a)		1,075,000		1,075,192
Meritor, Inc. 3.25%, 10/15/2037 (a)		1,625,000		1,693,694
MFA Financial, Inc., REIT 6.25%, 6/15/2024 (a)		750,000		753,234
Microchip Technology, Inc.
1.63%, 2/15/2025 (a)		200,000		352,967
2.25%, 2/15/2037 (a)		10,865,000		12,794,622
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (a)		6,725,000		23,690,157
MongoDB, Inc. 0.75%, 6/15/2024 (a)(d)		900,000		2,062,688
Neurocrine Biosciences, Inc. 2.25%, 5/15/2024 (a)		575,000		754,398
Novellus Systems, Inc. 2.63%, 5/15/2041 (a)		13,275,000		77,047,261
Omeros Corp. 6.25%, 11/15/2023 (a)(d)		1,575,000		1,624,853
OPKO Health, Inc. 4.50%, 2/15/2025 (a)		875,000		764,288
Palo Alto Networks, Inc. 0.00%, 7/1/2019		800,000		1,493,920
Pluralsight, Inc. 0.38%, 3/1/2024 (a)(d)		2,950,000		3,153,951
Prospect Capital Corp.
4.95%, 7/15/2022 (a)		1,600,000		1,608,657
6.38%, 3/1/2025 (a)		675,000		689,378
Pure Storage, Inc. 0.13%, 4/15/2023 (a)		2,000,000		1,915,000
Q2 Holdings, Inc. 0.75%, 6/1/2026 (a)(d)		350,000		376,439

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

115

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
United States - 40.3% (continued)
Redwood Trust, Inc., REIT
4.75%, 8/15/2023 (a)	$	2,750,000	$	2,681,250
5.63%, 7/15/2024 (a)		1,900,000		1,889,313
RH 0.00%, 6/15/2023 (a)(d)		3,900,000		3,542,096
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (a)		5,575,000		5,391,927
Splunk, Inc. 1.13%, 9/15/2025 (a) (d)		4,550,000		5,092,179
SunEdison, Inc. 0.25%, 1/15/2020 (3) (b) (h)		8,325,000		193,734
Teradyne, Inc.
1.25%, 12/15/2023 (a)		1,150,000		1,865,666
Tesla, Inc. 2.00%, 5/15/2024 (a)		3,700,000		3,633,940
TTM Technologies, Inc. 1.75%, 12/15/2020 (a)		5,725,000		6,751,922
Uniti Fiber Holdings, Inc., REIT 4.00%, 6/15/2024 (a)(d)		1,100,000		1,127,217
Vector Group Ltd. 1.75%, 4/15/2020 (a)(j)		1,075,000		1,107,852
Vonage Holdings Corp. 1.75%, 6/1/2024 (a)(d)		550,000		553,671
Wayfair, Inc. 1.13%, 11/1/2024 (a)(d)		4,800,000		6,972,621
Zillow Group, Inc. 1.50%, 7/1/2023 (a)		2,125,000		2,086,131
Zynga, Inc. 0.25%, 6/1/2024 (a) (d)		1,800,000		1,792,712
				245,510,757
TOTAL CONVERTIBLE BONDS (Cost $218,934,650)				283,154,303
		SHARES
SHORT-TERM INVESTMENTS - 78.7%
INVESTMENT COMPANIES - 72.1%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(k)(l)		183,637,047		183,637,047
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (1)(k)(l)		59,478,967		59,478,967
Limited Purpose Cash Investment Fund, 2.36% (1)(k)(m)		166,394,340		166,427,618
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(k)		28,589,036		28,589,036
TOTAL INVESTMENT COMPANIES(Cost $438,060,720)				438,132,668
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 6.6%
U.S. Treasury Bills
2.48%, 8/1/2019 (n)	$	14,515,000		14,489,877
2.45%, 8/8/2019 (n)		4,414,000		4,404,396
2.46%, 8/15/2019 (n)		4,414,000		4,402,455
2.49%, 8/22/2019 (n)		4,414,000		4,400,617
2.49%, 8/29/2019 (n)(o)		3,168,000		3,157,097
2.41%, 10/3/2019 (n)(o)		6,585,000		6,549,021

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 6.6% (continued)
2.05%, 12/26/2019 (n)	$	2,932,000		$	2,902,317
TOTAL U.S. TREASURY OBLIGATIONS (Cost $40,287,899)					40,305,780
TOTALSHORT-TERM INVESTMENTS (Cost $478,348,619)					478,438,448
TOTAL LONG POSITIONS (Cost $785,495,805)					844,998,954
		SHARES
SHORT POSITIONS - (40.9)%
COMMON STOCKS - (37.7)%
Argentina - (0.8)%
MercadoLibre, Inc. (1)*		(8,146	)		(4,983,478	)
China - (1.9)%
Alibaba Group Holding Ltd., ADR (1)*		(66,768	)		(11,313,838	)
iQIYI, Inc., ADR (1)*		(24,453	)		(504,954	)
					(11,818,792	)
Ivory Coast - 0.0% (g)
Endeavour Mining Corp. (1)*		(9,341	)		(152,289	)
Monaco - (0.1)%
Scorpio Tankers, Inc. (1)		(15,468	)		(456,615	)
Netherlands - (0.1)%
NXP Semiconductors NV (1)		(5,676	)		(554,034	)
Norway - (0.1)%
Ship Finance International Ltd. (1)		(65,219	)		(815,890	)
United States - (34.7)%
8x8, Inc. (1)*		(19,357	)		(466,504	)
Aerojet Rocketdyne Holdings, Inc. (1)*		(8,365	)		(374,501	)
AMAG Pharmaceuticals, Inc. (1)*		(15,551	)		(155,354	)
Apollo Commercial Real Estate Finance, Inc., REIT (1)		(29,647	)		(545,208	)
Ares Capital Corp. (1)		(27,359	)		(490,820	)
Atlas Air Worldwide Holdings, Inc. (1)*		(13,764	)		(614,425	)
Avantor, Inc. (1)*		(41,090	)		(784,408	)
AXA Equitable Holdings, Inc. (1)		(315,791	)		(6,600,032	)
Benefitfocus, Inc. (1)*		(3,766	)		(102,247	)
Blackstone Mortgage Trust, Inc., Class A, REIT (1)		(43,098	)		(1,533,427	)
CenterPoint Energy, Inc. (1)		(141,811	)		(4,060,049	)
Chegg, Inc. (1)*		(29,481	)		(1,137,672	)
Cheniere Energy, Inc. (1)*		(3,583	)		(245,256	)
Chesapeake Energy Corp. (1)*		(183,508	)		(357,841	)
Cleveland-Cliffs, Inc. (1)		(132,783	)		(1,416,795	)
Clovis Oncology, Inc. (1)*		(3,351	)		(49,829	)
Colfax Corp. (1)*		(143,182	)		(4,013,391	)
Coupa Software, Inc. (1)*		(3,208	)		(406,165	)
Cree, Inc. (1)*		(35,454	)		(1,991,806	)
DISH Network Corp., Class A (1)*		(14,273	)		(548,226	)
DTE Energy Co. (1)		(31,817	)		(4,068,758	)
Dycom Industries, Inc. (1)*		(6,264	)		(368,762	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (34.7)% (continued)
Exact Sciences Corp. (1)*		(43	)	$	(5,076	)
FireEye, Inc. (1)*		(57,172	)		(846,717	)
Fortive Corp. (1)		(191,669	)		(15,624,857	)
FTI Consulting, Inc. (1)*		(13,810	)		(1,157,830	)
Gannett Co., Inc. (1)		(56,194	)		(458,543	)
Gogo, Inc. (1)*		(129,557	)		(515,637	)
Guess?, Inc. (1)		(10,482	)		(169,284	)
Guidewire Software, Inc. (1)*		(999	)		(101,279	)
IAC/InterActiveCorp (1)*		(12,164	)		(2,646,035	)
Infinera Corp. (1)*		(72,100	)		(209,811	)
Innoviva, Inc. (1)*		(48,820	)		(710,819	)
Inphi Corp. (1)*		(17,718	)		(887,672	)
Intercept Pharmaceuticals, Inc. (1)*		(1,637	)		(130,256	)
InterDigital, Inc. (1)		(886	)		(57,058	)
KBR, Inc. (1)		(52,715	)		(1,314,712	)
Lam Research Corp. (1)		(410,459	)		(77,100,618	)
Ligand Pharmaceuticals, Inc. (1)*		(2,511	)		(286,631	)
Live Nation Entertainment, Inc. (1)*		(28,265	)		(1,872,556	)
Medicines Co. (The) (1)*		(12,951	)		(472,323	)
Meritor, Inc. (1)*		(20,758	)		(503,382	)
Microchip Technology, Inc. (1)		(135,789	)		(11,772,906	)
Micron Technology, Inc. (1)*		(615,208	)		(23,740,877	)
MongoDB, Inc. (1)*		(12,282	)		(1,867,969	)
NCR Corp. (1)*		(76,735	)		(2,386,459	)
Neurocrine Biosciences, Inc. (1)*		(5,377	)		(453,980	)
New York Times Co. (The), Class A (1)		(112,979	)		(3,685,375	)
Omeros Corp. (1)*		(43,013	)		(674,874	)
OPKO Health, Inc. (1)*		(117,158	)		(285,866	)
Palo Alto Networks, Inc. (1)*		(3,410	)		(694,822	)
Pluralsight, Inc., Class A (1)*		(48,715	)		(1,477,039	)
Post Holdings, Inc. (1)*		(1	)		(104	)
Prospect Capital Corp. (1)		(7,319	)		(47,793	)
Pure Storage, Inc., Class A (1)*		(36,361	)		(555,232	)
QTS Realty Trust, Inc., Class A, REIT (1)		(9,760	)		(450,717	)
Redwood Trust, Inc., REIT (1)		(63,146	)		(1,043,803	)
Rexnord Corp. (1)*		(61,949	)		(1,872,099	)
RH (1)*		(9,063	)		(1,047,683	)
SEACOR Holdings, Inc. (1)*		(29,188	)		(1,386,722	)
Sempra Energy (1)		(18,732	)		(2,574,526	)
Sirius XM Holdings, Inc. (1)		(59,321	)		(331,011	)
South Jersey Industries, Inc. (1)		(18,877	)		(636,721	)
Splunk, Inc. (1)*		(19,330	)		(2,430,748	)
Teradyne, Inc. (1)		(29,746	)		(1,425,131	)
Tesla, Inc. (1)*		(9,159	)		(2,046,670	)
TTM Technologies, Inc. (1)*		(392,921	)		(4,007,794	)
Viavi Solutions, Inc. (1)*		(37,585	)		(499,505	)
Voya Financial, Inc. (1)		(20,709	)		(1,145,208	)
Wayfair, Inc., Class A (1)*		(41,869	)		(6,112,874	)
Zillow Group, Inc., Class C (1)*		(11,930	)		(553,433	)
					(210,610,513	)
TOTAL COMMON STOCKS (Proceeds $(176,435,948))					(229,391,611	)

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
CONVERTIBLE BONDS - (3.2)%
United States - (3.2)%
Air Transport Services Group, Inc. 1.13%, 10/15/2024	$	(500,000	)	$	(509,233	)
Akamai Technologies, Inc. 0.13%, 5/1/2025		(1,375,000	)		(1,468,915	)
BioMarin Pharmaceutical, Inc.
1.50%, 10/15/2020		(650,000	)		(728,813	)
0.60%, 8/1/2024		(1,475,000	)		(1,531,234	)
Booking Holdings, Inc. 0.90%, 9/15/2021		(5,200,000	)		(5,948,267	)
Euronet Worldwide, Inc. 0.75%, 3/15/2049 (d)		(300,000	)		(364,101	)
IAC Financeco 2, Inc. 0.88%, 6/15/2026 (d)		(450,000	)		(452,077	)
Illumina, Inc. 0.00%, 8/15/2023 (d)		(2,175,000	)		(2,509,840	)
Insulet Corp. 1.38%, 11/15/2024		(150,000	)		(212,911	)
Intercept Pharmaceuticals, Inc. 3.25%, 7/1/2023		(100,000	)		(89,162	)
Jazz Investments I Ltd. 1.50%, 8/15/2024		(700,000	)		(689,576	)
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (d)		(1,300,000	)		(1,297,765	)
New Relic, Inc. 0.50%, 5/1/2023		(500,000	)		(533,449	)
Oil States International, Inc. 1.50%, 2/15/2023		(550,000	)		(489,174	)
Square, Inc. 0.50%, 5/15/2023		(300,000	)		(358,004	)
Transocean, Inc. 0.50%, 1/30/2023		(625,000	)		(618,296	)
Wayfair, Inc. 0.38%, 9/1/2022		(1,000,000	)		(1,513,663	)
TOTAL CONVERTIBLE BONDS (Proceeds $(19,005,671))					(19,314,480	)
TOTAL SHORT POSITIONS (Proceeds $(195,441,619))					(248,706,091	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.2% (Cost $590,054,186)					596,292,863
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.8% (p)				11,238,093
NET ASSETS - 100.0%				$	607,530,956

The accompanying notes are an integral part of these financial statements. (Continued)

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117

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	6,408,827		1.1	%
Consumer Discretionary		8,862,345		1.5
Consumer Staples		1,107,748		0.2
Energy		10,907,250		1.8
Financials		29,871,393		4.9
Health Care		9,163,169		1.5
Industrials		16,894,817		2.8
Information Technology		26,205,670		4.3
Materials		915,931		0.2
Real Estate		1,527,579		0.2
Utilities		5,989,686		1.0
Short-Term Investments		478,438,448		78.7
Total Investments In Securities At Value		596,292,863		98.2
Other Assets in Excess of Liabilities (p)		11,238,093		1.8
Net Assets	$	607,530,956		100.0	%

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $358,564,764. In addition $14,408,064 of cash collateral was pledged

(b) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $4,491,178, which represents approximately 0.74% of net assets of the fund.

(c) Restricted Security.

(d) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $75,507,347, which represents approximately 12.43% of net assets of the fund.

(e) Perpetual security. The rate reflected was the rate in effect on June 30, 2019. The maturity date reflects the next call date.

(f) Payment in-kind security.

(g) Represents less than 0.05% of net assets.

(h) Defaulted security.

(i) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of June 30, 2019.

(j) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. See Notes to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2019.

(k) Represents 7-day effective yield as of June 30, 2019.

(l) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(m) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/18		SHARES PURCHASED	SHARES SOLD	SHARES HELD AT 06/30/19		VALUE AT 06/30/19		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 27.4%
INVESTMENT COMPANIES - 27.4%
Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $166,355,671)		533,760,562	759,216,909	(1,126,583,131)		166,394,340		$166,427,618		$4,398,805		$115,949		$(65,396	)

(a) Represents 7-day effective yield as of June 30, 2019.

(n) The rate shown was the effective yield at the date of purchase.

(o) All or a portion of the security pledged as collateral for swap and futures contracts.

(p) Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written options contracts.

The accompanying notes are an integral part of these financial statements. (Continued)

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118

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

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).

Abbreviations

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Credit default swap contracts outstanding — buy protection as of June 30, 2019:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE PAID			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD				NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
iTraxx Europe Crossover Series 31.V1		5.00	%	Quarterly	6/20/2024		2.53	%	EUR		13,789,000		$(1,666,590	)		$(129,558	)		$(1,796,148	)
Markit CDX North America High Yield Index Series 32.V1		5.00		Quarterly	6/20/2024		3.26		USD		27,021,000		(1,828,691	)		(232,192	)		(2,060,883	)
													$(3,495,281	)		$(361,750	)		$(3,857,031	)

Credit default swap contracts outstanding — sell protection as of June 30, 2019:

Exchange Cleared

REFERENCE ENTITY	FINANCING RATE RECEIVED			PAYMENT FREQUENCY	MATURITY DATE	CREDIT SPREAD				NOTIONAL AMOUNT		UPFRONT PAYMENTS (RECEIPTS)		UNREALIZED APPRECIATION (DEPRECIATION)		VALUE
iTraxx Europe Series 31.V2		1.00	%	Quarterly	6/20/2024		0.52	%	EUR		5,988,000		$110,946		$53,278		$164,224
Markit CDX North America Investment Grade Index Series 32.V1		1.00		Quarterly	6/20/2024		0.55		USD		22,800,000		413,787		77,376		491,163
													$524,733		$130,654		$655,387

Written Call Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		10	EUR		(347,369	)	EUR		3,375.00		8/16/2019		$(14,475	)
EURO STOXX 50 Index	JPMS		9	EUR		(312,632	)	EUR		3,400.00		7/19/2019		(9,252	)
EURO STOXX 50 Index	JPMS		6	EUR		(208,421	)	EUR		3,425.00		8/16/2019		(6,195	)
EURO STOXX 50 Index	JPMS		4	EUR		(138,948	)	EUR		3,450.00		7/19/2019		(2,442	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,625.00		8/9/2019		(8,023	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,520.00		7/19/2019		(5,782	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,520.00		8/16/2019		(6,970	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,535.00		8/16/2019		(5,565	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,765.00		7/19/2019		(91,250	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,785.00		7/19/2019		(30,976	)

The accompanying notes are an integral part of these financial statements. (Continued)

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119

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,850.00		7/19/2019		$ (29,640	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,865.00		8/16/2019		(10,775	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,880.00		7/19/2019		(22,800	)
S&P 500 Index	JPMS		10	USD		(2,941,760	)	USD		2,895.00		8/16/2019		(88,450	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,955.00		7/19/2019		(8,880	)
U.S. Treasury 10 Year Note	MSCL		11	USD		(1,100,000	)	USD		126.00		7/26/2019		(22,516	)
U.S. Treasury 10 Year Note	MSCL		23	USD		(2,300,000	)	USD		126.50		7/26/2019		(37,016	)
U.S. Treasury 10 Year Note	MSCL		27	USD		(2,700,000	)	USD		127.00		7/26/2019		(32,906	)
U.S. Treasury 10 Year Note	MSCL		6	USD		(600,000	)	USD		127.50		7/26/2019		(5,344	)
U.S. Treasury 10 Year Note	MSCL		8	USD		(800,000	)	USD		128.00		8/23/2019		(6,875	)
U.S. Treasury 10 Year Note	MSCL		16	USD		(1,600,000	)	USD		128.50		8/23/2019		(10,500	)
U.S. Treasury 10 Year Note	MSCL		18	USD		(1,800,000	)	USD		129.00		8/23/2019		(8,719	)
														$(465,351	)

Written Put Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		11	EUR		(382,106	)	EUR		3,200.00		8/16/2019		$(1,363	)
EURO STOXX 50 Index	JPMS		11	EUR		(382,106	)	EUR		3,250.00		8/16/2019		(1,864	)
EURO STOXX 50 Index	JPMS		7	EUR		(243,158	)	EUR		3,275.00		8/16/2019		(1,385	)
EURO STOXX 50 Index	JPMS		9	EUR		(312,632	)	EUR		3,300.00		7/19/2019		(634	)
EURO STOXX 50 Index	JPMS		17	EUR		(590,527	)	EUR		3,300.00		8/16/2019		(3,982	)
EURO STOXX 50 Index	JPMS		14	EUR		(486,317	)	EUR		3,325.00		7/19/2019		(1,274	)
EURO STOXX 50 Index	JPMS		13	EUR		(451,580	)	EUR		3,350.00		7/19/2019		(1,537	)
EURO STOXX 50 Index	JPMS		16	EUR		(555,790	)	EUR		3,350.00		8/16/2019		(5,222	)
EURO STOXX 50 Index	JPMS		4	EUR		(138,948	)	EUR		3,375.00		7/19/2019		(623	)
EURO STOXX 50 Index	JPMS		5	EUR		(173,685	)	EUR		3,400.00		7/19/2019		(1,023	)
EURO STOXX 50 Index	JPMS		6	EUR		(208,421	)	EUR		3,400.00		8/16/2019		(2,736	)
Nikkei 225 Index	JPMS		2	JPY		(42,551,840	)	JPY		19,375.00		8/9/2019		(1,076	)
Nikkei 225 Index	JPMS		2	JPY		(42,551,840	)	JPY		19,750.00		8/9/2019		(1,558	)
Nikkei 225 Index	JPMS		2	JPY		(42,551,840	)	JPY		20,125.00		8/9/2019		(2,319	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		20,250.00		7/12/2019		(1,113	)
Nikkei 225 Index	JPMS		3	JPY		(63,827,760	)	JPY		20,375.00		7/12/2019		(1,336	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,375.00		8/9/2019		(1,530	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,625.00		7/12/2019		(696	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,750.00		7/12/2019		(863	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,875.00		8/9/2019		(2,597	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		21,125.00		7/12/2019		(1,809	)
Russell 2000 Index	JPMS		2	USD		(313,314	)	USD		1,410.00		8/16/2019		(1,110	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,425.00		8/16/2019		(737	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,435.00		8/16/2019		(725	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,450.00		7/19/2019		(271	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,455.00		7/19/2019		(284	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,465.00		8/16/2019		(1,030	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,475.00		7/19/2019		(397	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,490.00		8/16/2019		(1,481	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,520.00		7/19/2019		(1,077	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,690.00		8/16/2019		(1,170	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,715.00		8/16/2019		(1,350	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,725.00		8/16/2019		(8,070	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,730.00		8/16/2019		(8,178	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,755.00		8/16/2019		(1,835	)
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,765.00		8/16/2019		(11,160	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

120

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
S&P 500 Index	JPMS		6	USD		(1,765,056	)	USD		2,770.00		8/16/2019		$ (10,572	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,775.00		7/19/2019		(1,190	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,780.00		7/19/2019		(1,710	)
S&P 500 Index	JPMS		4	USD		(1,176,704	)	USD		2,795.00		7/19/2019		(3,600	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,795.00		8/16/2019		(2,370	)
S&P 500 Index	JPMS		10	USD		(2,941,760	)	USD		2,810.00		8/16/2019		(25,350	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,820.00		7/19/2019		(3,090	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,830.00		7/19/2019		(2,775	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,850.00		8/16/2019		(15,575	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,855.00		7/19/2019		(4,812	)
S&P 500 Index	JPMS		5	USD		(1,470,880	)	USD		2,855.00		8/16/2019		(15,700	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,865.00		7/19/2019		(3,680	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,880.00		7/19/2019		(3,670	)
S&P 500 Index	JPMS		3	USD		(882,528	)	USD		2,905.00		7/19/2019		(6,660	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,930.00		7/19/2019		(5,520	)
U.S. Treasury 10 Year Note	MSCL		17	USD		(1,700,000	)	USD		126.00		7/26/2019		(1,328	)
U.S. Treasury 10 Year Note	MSCL		3	USD		(300,000	)	USD		126.50		7/26/2019		(422	)
U.S. Treasury 10 Year Note	MSCL		5	USD		(500,000	)	USD		126.50		8/23/2019		(1,562	)
U.S. Treasury 10 Year Note	MSCL		19	USD		(1,900,000	)	USD		127.00		8/23/2019		(8,609	)
U.S. Treasury 10 Year Note	MSCL		13	USD		(1,300,000	)	USD		127.50		8/23/2019		(8,531	)
U.S. Treasury 10 Year Note	MSCL		8	USD		(800,000	)	USD		128.00		8/23/2019		(7,125	)
														$(209,266	)
Total Written Option Contracts (Premium Style) (Premiums Received ($756,425))														$(674,617	)

Written Call Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	GSCO		7	EUR		(700,000	)	EUR		170.00		7/26/2019		$(13,907	)
Euro-Bund July Futures	GSCO		12	EUR		(1,200,000	)	EUR		170.50		7/26/2019		(21,146	)
Euro-Bund July Futures	GSCO		1	EUR		(100,000	)	EUR		171.00		7/26/2019		(1,169	)
Euro-Bund July Futures	GSCO		16	EUR		(1,600,000	)	EUR		171.50		7/26/2019		(19,084	)
Euro-Bund July Futures	GSCO		4	EUR		(400,000	)	EUR		172.00		7/26/2019		(3,191	)
Euro-Bund August Futures	GSCO		2	EUR		(200,000	)	EUR		172.50		8/23/2019		(500	)
Euro-Bund August Futures	GSCO		8	EUR		(800,000	)	EUR		173.00		8/23/2019		(1,235	)
Euro-Bund August Futures	GSCO		8	EUR		(800,000	)	EUR		173.50		8/23/2019		(378	)
Euro-Bund August Futures	GSCO		13	EUR		(1,300,000	)	EUR		174.00		8/23/2019		(1,136	)
														$(61,746	)

Written Put Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	GSCO		9	EUR		(900,000	)	EUR		170.00		7/26/2019		$7,617
Euro-Bund July Futures	GSCO		2	EUR		(200,000	)	EUR		171.00		7/26/2019		1,914
Euro-Bund July Futures	GSCO		2	EUR		(200,000	)	EUR		171.50		7/26/2019		295

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

121

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund August Futures	GSCO		3	EUR		(300,000	)	EUR		170.00		8/23/2019		$ 341
Euro-Bund August Futures	GSCO		12	EUR		(1,200,000	)	EUR		171.50		8/23/2019		1,220
Euro-Bund August Futures	GSCO		8	EUR		(800,000	)	EUR		172.00		8/23/2019		644
Euro-Bund August Futures	GSCO		1	EUR		(100,000	)	EUR		172.50		8/23/2019		193
Euro-Bund August Futures	GSCO		4	EUR		(400,000	)	EUR		173.00		8/23/2019		505
														$12,729
Total Written Option Contracts (Futures Style)														$(49,017	)

Total return swap contracts outstanding as of June 30, 2019:

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)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/09/2019

USD

1,231,313

$91,657

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/09/2019

USD

574,613

31,718

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/09/2019

USD

164,175

7,838

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/23/2019

USD

(5,564,225

)

114,345

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(2,590,975

)

48,722

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/08/2019

USD

99,120

1,015

DTOP Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

JPMC

09/19/2019

ZAR

(7,419,580

)

4,579

DTOP Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

09/19/2019

ZAR

(6,422,920

)

4,099

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2019

HKD

100,223,750

129,720

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

08/14/2019

BRL

26,916,050

193,389

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/02/2019

USD

(2,629,620

)

91,456

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

122

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Israel Daily Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

836,648

$ 15,738

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

MXN

(12,169,491

)

11,466

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-0.10%)

Monthly

CITI

09/18/2019

MXN

(2,778,030

)

2,704

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-0.10%)

Monthly

CITI

09/18/2019

MXN

(5,584,225

)

4,546

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the Warsaw Interbank Offered Rate (“WIBOR”) plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

14,186

47

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

ZAR

(56,356,796

)

71,601

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(3,455,030

)

18,634

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

123

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

34,596

$ 842

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/20/2019

CHF

1,970,600

5,557

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

711,788

3,371

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/20/2019

PLN

7,514,480

32,970

886,014

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

08/29/2019

TRY

(4,654,650

)

(7,838

)

Canada 10 Year Bond September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

BANA

09/19/2019

CAD

(5,431,340

)

(53,156

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/09/2019

USD

(164,175

)

(11,570

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/09/2019

USD

(2,175,319

)

(151,871

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/09/2019

USD

(574,613

)

(40,292

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/23/2019

USD

5,564,225

(368,839

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

1,040,638

(62,002

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/08/2019

USD

(198,240

)

(1,620

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/08/2019

USD

(330,400

)

(2,477

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

2,629,620

(92,444

)

MSCI Emerging Markets Korea Net Total Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.10%)

Monthly

JPMC

09/18/2019

USD

(2,264,026

)

(90,383

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

124

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Emerging Markets Thailand Net Total Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.10%)

Monthly

JPMC

09/18/2019

USD

(1,894,917

)

$ (97,679

)

MSCI Singapore Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the SOR plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

SGD

(2,625,841

)

(96,916

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/25/2019

USD

(3,230,500

)

(143,745

)

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

1,430,650

(11,883

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/25/2019

USD

(4,338,100

)

(190,397

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

2,163,430

(19,715

)

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(432,450

)

(10,770

)

TAIEX Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

07/17/2019

TWD

(8,461,600

)

(4,108

)

Tel Aviv Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/24/2019

ILS

4,895,055

(964

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(711,788

)

(4,687

)

(1,463,356

)

$(577,342

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		187		7/2019	EUR		$23,854,971		$128,243
Brent Crude Oil		61		7/2019	USD		3,949,140		235,193

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

125

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
CAC 40 10 Euro Index		112		7/2019	EUR		$ 7,046,563		$ 56,920
Hang Seng Index		16		7/2019	HKD		2,919,211		27,097
IBEX 35 Index		100		7/2019	EUR		10,430,618		45,541
LME Aluminum Base Metal		1		7/2019	USD		44,641		(2,093	)
LME Aluminum Base Metal		1		7/2019	USD		44,546		(2,132	)
LME Aluminum Base Metal		1		7/2019	USD		44,492		(2,829	)
LME Aluminum Base Metal		1		7/2019	USD		44,629		(2,211	)
LME Aluminum Base Metal		1		7/2019	USD		44,551		(2,121	)
LME Aluminum Base Metal		2		7/2019	USD		89,306		(3,363	)
LME Aluminum Base Metal		2		7/2019	USD		89,233		(4,873	)
LME Aluminum Base Metal		3		7/2019	USD		133,669		(4,959	)
LME Aluminum Base Metal		3		7/2019	USD		133,669		(6,515	)
LME Aluminum Base Metal		3		7/2019	USD		134,066		(3,418	)
LME Aluminum Base Metal		4		7/2019	USD		178,804		(2,868	)
LME Aluminum Base Metal		26		7/2019	USD		1,156,838		(69,702	)
LME Copper Base Metal		1		7/2019	USD		149,800		(14,056	)
LME Copper Base Metal		1		7/2019	USD		149,741		(11,130	)
LME Copper Base Metal		1		7/2019	USD		149,793		(12,488	)
LME Copper Base Metal		1		7/2019	USD		149,750		(11,144	)
LME Copper Base Metal		1		7/2019	USD		149,777		(9,670	)
LME Copper Base Metal		1		7/2019	USD		149,748		(10,639	)
LME Copper Base Metal		1		7/2019	USD		149,785		(12,049	)
LME Copper Base Metal		3		7/2019	USD		449,267		(29,668	)
LME Copper Base Metal		3		7/2019	USD		449,250		(35,840	)
LME Copper Base Metal		3		7/2019	USD		448,650		(34,509	)
LME Nickel Base Metal		1		7/2019	USD		75,880		1,867
LME Nickel Base Metal		1		7/2019	USD		75,873		1,169
LME Nickel Base Metal		1		7/2019	USD		75,906		1,443
LME Nickel Base Metal		1		7/2019	USD		75,867		264
LME Nickel Base Metal		1		7/2019	USD		75,886		1,573
LME Nickel Base Metal		1		7/2019	USD		75,834		(126	)
LME Nickel Base Metal		1		7/2019	USD		75,912		1,503
LME Nickel Base Metal		1		7/2019	USD		75,840		(2,630	)
LME Nickel Base Metal		6		7/2019	USD		454,212		(17,640	)
LME Zinc Base Metal		1		7/2019	USD		63,166		(6,362	)
LME Zinc Base Metal		1		7/2019	USD		63,263		(5,715	)
LME Zinc Base Metal		1		7/2019	USD		63,328		(6,137	)
LME Zinc Base Metal		1		7/2019	USD		63,214		(5,214	)
LME Zinc Base Metal		2		7/2019	USD		128,250		(15,856	)
OMXS30 Index		522		7/2019	SEK		9,110,681		168,118
SGX FTSE China A50 Index		55		7/2019	USD		742,775		9,991
100 oz Gold		59		8/2019	USD		8,340,830		157,953
LME Aluminum Base Metal		1		8/2019	USD		44,808		(657	)
LME Aluminum Base Metal		1		8/2019	USD		44,825		185
LME Aluminum Base Metal		1		8/2019	USD		44,819		(184	)
LME Aluminum Base Metal		2		8/2019	USD		89,571		(1,458	)
LME Aluminum Base Metal		2		8/2019	USD		89,610		(896	)
LME Aluminum Base Metal		2		8/2019	USD		89,628		(2,970	)
LME Aluminum Base Metal		2		8/2019	USD		89,663		215
LME Aluminum Base Metal		2		8/2019	USD		89,813		(197	)
LME Aluminum Base Metal		3		8/2019	USD		133,524		(1,147	)
LME Aluminum Base Metal		4		8/2019	USD		178,900		(1,512	)
LME Aluminum Base Metal		4		8/2019	USD		179,175		(1,319	)
LME Aluminum Base Metal		7		8/2019	USD		314,431		1,200
LME Copper Base Metal		1		8/2019	USD		149,838		510

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

126

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		1		8/2019	USD		$ 149,850		$ (953	)
LME Copper Base Metal		1		8/2019	USD		149,858		(645	)
LME Copper Base Metal		1		8/2019	USD		149,870		(1,683	)
LME Copper Base Metal		1		8/2019	USD		149,864		(1,001	)
LME Copper Base Metal		1		8/2019	USD		149,826		(4,639	)
LME Copper Base Metal		1		8/2019	USD		149,832		(4,296	)
LME Copper Base Metal		1		8/2019	USD		149,859		(2,294	)
LME Copper Base Metal		3		8/2019	USD		449,511		(10,810	)
LME Copper Base Metal		4		8/2019	USD		599,196		(22,066	)
LME Copper Base Metal		8		8/2019	USD		1,199,000		(11,762	)
LME Copper Base Metal		12		8/2019	USD		1,798,800		30,997
LME Copper Base Metal		15		8/2019	USD		2,248,635		62,291
LME Copper Base Metal		24		8/2019	USD		3,596,316		56,695
LME Nickel Base Metal		1		8/2019	USD		76,070		4,697
LME Nickel Base Metal		1		8/2019	USD		75,965		3,362
LME Nickel Base Metal		1		8/2019	USD		75,925		2,602
LME Nickel Base Metal		1		8/2019	USD		76,010		5,444
LME Nickel Base Metal		1		8/2019	USD		75,971		3,908
LME Nickel Base Metal		2		8/2019	USD		151,955		9,264
LME Zinc Base Metal		1		8/2019	USD		62,743		(2,510	)
LME Zinc Base Metal		1		8/2019	USD		62,698		(1,680	)
LME Zinc Base Metal		1		8/2019	USD		62,765		(2,688	)
LME Zinc Base Metal		1		8/2019	USD		62,581		(172	)
LME Zinc Base Metal		1		8/2019	USD		62,675		(1,753	)
LME Zinc Base Metal		1		8/2019	USD		62,625		(1,453	)
LME Zinc Base Metal		2		8/2019	USD		125,126		(1,920	)
3 Month Eurodollar		15		9/2019	USD		3,674,813		(608	)
ASX 90 Day Bank Accepted Bill		70		9/2019	AUD		49,010,565		16,168
Australia 10 Year Bond		502		9/2019	AUD		50,626,484		369,837
Australia 3 Year Bond		446		9/2019	AUD		36,007,398		33,151
Cocoa		9		9/2019	USD		218,250		(6,013	)
Cocoa		16		9/2019	GBP		366,762		(4,529	)
Corn		42		9/2019	USD		891,975		(58,593	)
DJIA CBOTE-Mini Index		57		9/2019	USD		7,579,005		57,922
EURO STOXX 50 Index		1,181		9/2019	EUR		46,545,434		693,142
Euro-Bobl		126		9/2019	EUR		19,261,836		72,182
Euro-BTP		63		9/2019	EUR		9,620,889		432,515
Euro-Bund		519		9/2019	EUR		101,943,350		1,227,207
Euro-Buxl		2		9/2019	EUR		461,435		16,090
Euro-OAT		32		9/2019	EUR		5,999,157		101,484
Euro-Schatz		232		9/2019	EUR		29,621,589		48,006
Japan 10 Year Bond		68		9/2019	JPY		97,034,735		250,444
KOSPI 200 Index		2		9/2019	KRW		120,556		949
LME Aluminum Base Metal		1		9/2019	USD		44,969		66
LME Aluminum Base Metal		1		9/2019	USD		44,969		541
LME Aluminum Base Metal		1		9/2019	USD		45,031		353
LME Aluminum Base Metal		1		9/2019	USD		45,000		(156	)
LME Aluminum Base Metal		1		9/2019	USD		44,996		(619	)
LME Aluminum Base Metal		1		9/2019	USD		45,036		333
LME Aluminum Base Metal		1		9/2019	USD		45,033		430
LME Aluminum Base Metal		4		9/2019	USD		179,963		618
LME Aluminum Base Metal		4		9/2019	USD		179,875		1,092
LME Aluminum Base Metal		4		9/2019	USD		179,925		2,091
LME Aluminum Base Metal		8		9/2019	USD		360,000		5,718
LME Aluminum Base Metal		35		9/2019	USD		1,575,219		6,966

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

127

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		1			9/2019	USD		$ 149,833			$ 1,330
LME Copper Base Metal		1			9/2019	USD		149,949			4,131
LME Copper Base Metal		1			9/2019	USD		149,960			4,332
LME Copper Base Metal		2			9/2019	USD		299,700			2,994
LME Copper Base Metal		4			9/2019	USD		599,300			1,101
LME Copper Base Metal		9			9/2019	USD		1,348,538			1,750
LME Copper Base Metal		12			9/2019	USD		1,798,800			6,622
LME Nickel Base Metal		2			9/2019	USD		152,376			9,210
LME Nickel Base Metal		3			9/2019	USD		228,474			8,026
LME Zinc Base Metal		1			9/2019	USD		62,559			595
LME Zinc Base Metal		1			9/2019	USD		62,545			(111	)
LME Zinc Base Metal		1			9/2019	USD		62,536			533
LME Zinc Base Metal		1			9/2019	USD		62,531			(178	)
LME Zinc Base Metal		1			9/2019	USD		62,530			(298	)
LME Zinc Base Metal		2			9/2019	USD		125,058			1,014
LME Zinc Base Metal		4			9/2019	USD		250,100			(215	)
NASDAQ 100E-Mini Index		64			9/2019	USD		9,848,000			98,796
Palladium		1			9/2019	USD		153,760			3,926
Russell 2000E-Mini Index		459			9/2019	USD		35,964,945			759,600
S&P/TSX 60 Index		85			9/2019	CAD		12,692,070			10,184
Silver		74			9/2019	USD		5,676,170			(29,304	)
SPI 200 Index		95			9/2019	AUD		10,936,271			97,658
U.S. Treasury Long Bond		53			9/2019	USD		8,246,469			199,030
U.S. Treasury Ultra Bond		30			9/2019	USD		5,326,875			168,211
Wheat		3			9/2019	USD		79,088			(511	)
3 Month Canadian Bankers Acceptance		23			12/2019	CAD		4,306,957			(1,487	)
3 Month Eurodollar		285			12/2019	USD		69,889,125			17,092
3 Month Euroswiss		4			12/2019	CHF		1,033,190			1,135
ASX 90 Day Bank Accepted Bill		459			12/2019	AUD		321,440,418			465,586
3 Month Canadian Bankers Acceptance		16			3/2020	CAD		2,999,351			(2,493	)
3 Month Eurodollar		243			3/2020	USD		59,711,175			12,735
3 Month Euroswiss		5			3/2020	CHF		1,291,872			1,424
ASX 90 Day Bank Accepted Bill		367			3/2020	AUD		257,062,856			277,060
3 Month Canadian Bankers Acceptance		7			6/2020	CAD		1,313,352			(1,072	)
3 Month Eurodollar		167			6/2020	USD		41,073,650			10,207
3 Month Euroswiss		5			6/2020	CHF		1,292,000			592
ASX 90 Day Bank Accepted Bill		276			6/2020	AUD		193,331,986			127,040
3 Month Euro Euribor		87			9/2020	EUR		24,853,110			56,646
3 Month Eurodollar		39			9/2020	USD		9,598,388			71,428
3 Month Sterling		55			9/2020	GBP		8,665,861			7,349
3 Month Euro Euribor		82			12/2020	EUR		23,421,274			55,447
3 Month Eurodollar		41			12/2020	USD		10,090,613			78,996
3 Month Sterling		67			12/2020	GBP		10,553,935			11,998
3 Month Euro Euribor		79			3/2021	EUR		22,559,906			38,816
3 Month Eurodollar		53			3/2021	USD		13,047,275			81,362
3 Month Sterling		62			3/2021	GBP		9,767,312			11,219
3 Month Euro Euribor		40			6/2021	EUR		11,419,894			8,599
3 Month Eurodollar		69			6/2021	USD		16,980,900			22,916
3 Month Sterling		63			6/2021	GBP		9,923,349			(394	)
											6,555,037
Short Contracts
FTSE Bursa Malaysia KLCI Index		(137	)		7/2019	MYR		(2,781,440	)		(729	)
HSCEI		(10	)		7/2019	HKD		(693,511	)		(8,507	)
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,551	)		1,904

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

128

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(1	)		7/2019	USD		$ (44,629	)		$ 2,153
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,492	)		3,264
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,546	)		1,921
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,641	)		1,935
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,233	)		4,471
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,306	)		3,034
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,669	)		5,870
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,669	)		5,389
LME Aluminum Base Metal		(3	)		7/2019	USD		(134,066	)		3,393
LME Aluminum Base Metal		(4	)		7/2019	USD		(178,804	)		2,632
LME Aluminum Base Metal		(26	)		7/2019	USD		(1,156,838	)		73,711
LME Copper Base Metal		(1	)		7/2019	USD		(149,741	)		11,177
LME Copper Base Metal		(1	)		7/2019	USD		(149,777	)		9,382
LME Copper Base Metal		(1	)		7/2019	USD		(149,785	)		12,418
LME Copper Base Metal		(1	)		7/2019	USD		(149,750	)		11,235
LME Copper Base Metal		(1	)		7/2019	USD		(149,748	)		11,275
LME Copper Base Metal		(1	)		7/2019	USD		(149,800	)		13,572
LME Copper Base Metal		(1	)		7/2019	USD		(149,793	)		12,520
LME Copper Base Metal		(3	)		7/2019	USD		(449,267	)		30,038
LME Copper Base Metal		(3	)		7/2019	USD		(448,650	)		35,979
LME Copper Base Metal		(3	)		7/2019	USD		(449,250	)		35,041
LME Nickel Base Metal		(1	)		7/2019	USD		(75,840	)		2,351
LME Nickel Base Metal		(1	)		7/2019	USD		(75,912	)		(1,710	)
LME Nickel Base Metal		(1	)		7/2019	USD		(75,880	)		(1,820	)
LME Nickel Base Metal		(1	)		7/2019	USD		(75,834	)		216
LME Nickel Base Metal		(1	)		7/2019	USD		(75,867	)		(768	)
LME Nickel Base Metal		(1	)		7/2019	USD		(75,886	)		(1,720	)
LME Nickel Base Metal		(1	)		7/2019	USD		(75,906	)		(1,430	)
LME Nickel Base Metal		(1	)		7/2019	USD		(75,873	)		(1,218	)
LME Nickel Base Metal		(6	)		7/2019	USD		(454,212	)		16,530
LME Zinc Base Metal		(1	)		7/2019	USD		(63,328	)		5,765
LME Zinc Base Metal		(1	)		7/2019	USD		(63,214	)		5,362
LME Zinc Base Metal		(1	)		7/2019	USD		(63,263	)		5,453
LME Zinc Base Metal		(1	)		7/2019	USD		(63,166	)		6,218
LME Zinc Base Metal		(2	)		7/2019	USD		(128,250	)		16,544
MSCI Singapore Index		(30	)		7/2019	SGD		(838,470	)		(8,317	)
MSCI Taiwan Index		(101	)		7/2019	USD		(3,903,650	)		(11,451	)
Natural Gas		(231	)		7/2019	USD		(5,331,480	)		63,602
NY Harbor ULSD		(26	)		7/2019	USD		(2,117,825	)		(87,942	)
RBOB Gasoline		(2	)		7/2019	USD		(159,314	)		(17,362	)
SGX NIFTY 50 Index		(58	)		7/2019	USD		(1,373,208	)		1,462
WTI Crude Oil		(121	)		7/2019	USD		(7,074,870	)		(530,941	)
Lean Hogs		(11	)		8/2019	USD		(334,400	)		28,844
Live Cattle		(27	)		8/2019	USD		(1,126,980	)		9,809
LME Aluminum Base Metal		(1	)		8/2019	USD		(44,808	)		894
LME Aluminum Base Metal		(1	)		8/2019	USD		(44,819	)		109
LME Aluminum Base Metal		(1	)		8/2019	USD		(44,825	)		(260	)
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,571	)		910
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,813	)		57
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,628	)		3,163
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,610	)		643
LME Aluminum Base Metal		(2	)		8/2019	USD		(89,663	)		(194	)
LME Aluminum Base Metal		(3	)		8/2019	USD		(133,524	)		1,477
LME Aluminum Base Metal		(4	)		8/2019	USD		(178,900	)		492
LME Aluminum Base Metal		(4	)		8/2019	USD		(179,175	)		831

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

129

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(7	)		8/2019	USD		$ (314,431	)		$ (1,327	)
LME Copper Base Metal		(1	)		8/2019	USD		(149,858	)		870
LME Copper Base Metal		(1	)		8/2019	USD		(149,864	)		1,103
LME Copper Base Metal		(1	)		8/2019	USD		(149,870	)		1,341
LME Copper Base Metal		(1	)		8/2019	USD		(149,826	)		4,799
LME Copper Base Metal		(1	)		8/2019	USD		(149,850	)		942
LME Copper Base Metal		(1	)		8/2019	USD		(149,838	)		(1,260	)
LME Copper Base Metal		(1	)		8/2019	USD		(149,832	)		4,036
LME Copper Base Metal		(1	)		8/2019	USD		(149,859	)		1,444
LME Copper Base Metal		(3	)		8/2019	USD		(449,511	)		9,055
LME Copper Base Metal		(4	)		8/2019	USD		(599,196	)		19,600
LME Copper Base Metal		(8	)		8/2019	USD		(1,199,000	)		13,075
LME Copper Base Metal		(12	)		8/2019	USD		(1,798,800	)		(28,636	)
LME Copper Base Metal		(15	)		8/2019	USD		(2,248,635	)		(59,552	)
LME Copper Base Metal		(24	)		8/2019	USD		(3,596,316	)		(56,746	)
LME Nickel Base Metal		(1	)		8/2019	USD		(75,971	)		(3,894	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,070	)		(4,907	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,010	)		(5,047	)
LME Nickel Base Metal		(1	)		8/2019	USD		(75,965	)		(3,615	)
LME Nickel Base Metal		(1	)		8/2019	USD		(75,925	)		(2,599	)
LME Nickel Base Metal		(2	)		8/2019	USD		(151,955	)		(9,542	)
LME Zinc Base Metal		(1	)		8/2019	USD		(62,743	)		2,517
LME Zinc Base Metal		(1	)		8/2019	USD		(62,675	)		1,696
LME Zinc Base Metal		(1	)		8/2019	USD		(62,625	)		1,309
LME Zinc Base Metal		(1	)		8/2019	USD		(62,765	)		2,596
LME Zinc Base Metal		(1	)		8/2019	USD		(62,581	)		300
LME Zinc Base Metal		(1	)		8/2019	USD		(62,698	)		1,459
LME Zinc Base Metal		(2	)		8/2019	USD		(125,126	)		1,744
Low Sulphur Gasoil		(74	)		8/2019	USD		(4,421,500	)		(228,223	)
3 Month Canadian Bankers Acceptance		(4	)		9/2019	CAD		(748,692	)		97
3 Month Euro Euribor		(54	)		9/2019	EUR		(15,417,625	)		(4,558	)
3 Month Sterling		(92	)		9/2019	GBP		(14,489,780	)		(3,567	)
Canada 10 Year Bond		(158	)		9/2019	CAD		(17,244,809	)		(74,133	)
Copper		(67	)		9/2019	USD		(4,545,113	)		(27,070	)
DAX Index		(50	)		9/2019	EUR		(17,607,992	)		(224,200	)
FTSE 100 Index		(79	)		9/2019	GBP		(7,393,026	)		(8,245	)
FTSE/JSE Top 40 Index		(114	)		9/2019	ZAR		(4,243,698	)		35,235
FTSE/MIB Index		(48	)		9/2019	EUR		(5,773,557	)		(87,020	)
KC HRW Wheat		(8	)		9/2019	USD		(184,600	)		4,609
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,000	)		347
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,996	)		527
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,969	)		78
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,036	)		(400	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,033	)		(375	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,969	)		(472	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,031	)		(361	)
LME Aluminum Base Metal		(4	)		9/2019	USD		(179,925	)		(1,837	)
LME Aluminum Base Metal		(4	)		9/2019	USD		(179,963	)		25
LME Aluminum Base Metal		(4	)		9/2019	USD		(179,875	)		(885	)
LME Aluminum Base Metal		(8	)		9/2019	USD		(360,000	)		(5,622	)
LME Aluminum Base Metal		(57	)		9/2019	USD		(2,565,356	)		(8,472	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,960	)		(4,357	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,949	)		(3,751	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,833	)		(1,142	)
LME Copper Base Metal		(2	)		9/2019	USD		(299,700	)		(3,107	)

The accompanying notes are an integral part of these financial statements. (Continued)

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130

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(4	)		9/2019	USD		$ (599,300	)		$ (312	)
LME Copper Base Metal		(9	)		9/2019	USD		(1,348,538	)		(221	)
LME Copper Base Metal		(65	)		9/2019	USD		(9,743,500	)		(206,865	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,376	)		(8,025	)
LME Nickel Base Metal		(3	)		9/2019	USD		(228,474	)		(8,454	)
LME Nickel Base Metal		(10	)		9/2019	USD		(762,300	)		(39,838	)
LME Zinc Base Metal		(1	)		9/2019	USD		(62,530	)		336
LME Zinc Base Metal		(1	)		9/2019	USD		(62,531	)		462
LME Zinc Base Metal		(1	)		9/2019	USD		(62,559	)		(699	)
LME Zinc Base Metal		(1	)		9/2019	USD		(62,545	)		290
LME Zinc Base Metal		(1	)		9/2019	USD		(62,536	)		(628	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,058	)		(1,172	)
LME Zinc Base Metal		(15	)		9/2019	USD		(937,875	)		3,469
Long Gilt		(694	)		9/2019	GBP		(114,839,290	)		(885,896	)
MEX BOLSA Index		(44	)		9/2019	MXN		(1,001,211	)		5,620
MSCI Emerging MarketsE-Mini Index		(3	)		9/2019	USD		(158,010	)		(7,183	)
Nikkei 225 Index		(14	)		9/2019	JPY		(2,760,655	)		(22,995	)
S&P 500E-Mini Index		(618	)		9/2019	USD		(90,975,780	)		(1,453,271	)
SET50 Index		(34	)		9/2019	THB		(254,594	)		(1,879	)
TOPIX Index		(119	)		9/2019	JPY		(17,119,046	)		24,185
U.S. Treasury 10 Year Note		(348	)		9/2019	USD		(44,533,125	)		(378,577	)
U.S. Treasury 2 Year Note		(243	)		9/2019	USD		(52,288,664	)		(64,025	)
U.S. Treasury 5 Year Note		(34	)		9/2019	USD		(4,017,313	)		(10,032	)
Platinum		(16	)		10/2019	USD		(672,880	)		(23,609	)
Soybean		(138	)		11/2019	USD		(6,368,700	)		(126,615	)
3 Month Euro Euribor		(120	)		12/2019	EUR		(34,275,034	)		(8,344	)
3 Month Sterling		(398	)		12/2019	GBP		(62,665,093	)		(4,310	)
Cotton No. 2		(10	)		12/2019	USD		(330,400	)		1,834
Soybean Meal		(2	)		12/2019	USD		(64,580	)		228
Soybean Oil		(14	)		12/2019	USD		(242,172	)		(5,113	)
3 Month Euro Euribor		(128	)		3/2020	EUR		(36,565,495	)		(8,525	)
3 Month Sterling		(415	)		3/2020	GBP		(65,371,389	)		(4,018	)
3 Month Euro Euribor		(69	)		6/2020	EUR		(19,712,068	)		(3,584	)
3 Month Sterling		(331	)		6/2020	GBP		(52,150,098	)		(3,925	)
											(4,209,132	)
											$2,345,905

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	78,806,491	USD	54,807,976	CITI		9/18/2019		$650,435
AUD	78,806,509	USD	54,808,057	JPMC		9/18/2019		650,366
BRL	78,631,500	USD	19,901,153	CITI**		9/18/2019		420,523
BRL	78,631,500	USD	19,901,178	JPMC**		9/18/2019		420,498
CAD	83,806,997	USD	62,733,652	CITI		9/18/2019		1,355,981
CAD	83,807,003	USD	62,733,651	JPMC		9/18/2019		1,355,986
CHF	45,479,493	USD	46,073,580	CITI		9/18/2019		850,590
CHF	45,479,507	USD	46,073,666	JPMC		9/18/2019		850,517
CNY	24,410,812	USD	3,522,936	CITI**		9/18/2019		28,233

The accompanying notes are an integral part of these financial statements. (Continued)

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131

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CNY	24,410,812	USD	3,522,941	JPMC**		9/18/2019		$ 28,229
COP	410,381,500	USD	123,150	CITI**		9/18/2019		3,941
COP	410,381,500	USD	123,150	JPMC**		9/18/2019		3,941
CZK	184,500,000	USD	8,110,023	CITI		9/18/2019		150,272
CZK	184,500,000	USD	8,110,033	JPMC		9/18/2019		150,262
EUR	53,584,478	USD	60,540,686	CITI		9/18/2019		773,615
EUR	52,260,000	USD	59,044,160	JPMC		9/18/2019		754,602
GBP	17,832,666	USD	22,606,493	CITI		9/18/2019		120,777
GBP	17,820,652	USD	22,591,300	JPMC		9/18/2019		120,657
HKD	88,169,512	USD	11,255,067	CITI		9/18/2019		35,790
HKD	88,169,488	USD	11,255,078	JPMC		9/18/2019		35,776
HUF	806,650,000	USD	2,820,179	CITI		9/18/2019		33,017
HUF	806,650,000	USD	2,820,182	JPMC		9/18/2019		33,012
IDR	34,527,521,713	USD	2,375,812	CITI**		9/18/2019		43,739
IDR	34,527,521,719	USD	2,375,815	JPMC**		9/18/2019		43,736
ILS	305,500	USD	85,349	CITI		9/18/2019		673
ILS	305,500	USD	85,349	JPMC		9/18/2019		673
INR	896,266,496	USD	12,716,592	CITI**		9/18/2019		144,769
INR	896,266,504	USD	12,716,608	JPMC**		9/18/2019		144,753
JPY	4,154,784,856	USD	38,332,430	CITI		9/18/2019		429,261
JPY	4,154,784,858	USD	38,332,478	JPMC		9/18/2019		429,213
KRW	27,831,138,000	USD	23,608,992	CITI**		9/18/2019		492,245
KRW	27,831,138,000	USD	23,609,012	JPMC**		9/18/2019		492,225
MXN	635,218,757	USD	32,108,907	CITI		9/18/2019		548,628
MXN	634,859,940	USD	32,090,518	JPMC		9/18/2019		548,570
NOK	122,993,000	USD	14,146,766	CITI		9/18/2019		303,000
NOK	122,993,000	USD	14,146,783	JPMC		9/18/2019		302,983
NZD	19,363,006	USD	12,751,407	CITI		9/18/2019		276,042
NZD	19,362,994	USD	12,751,415	JPMC		9/18/2019		276,026
PHP	64,958,508	USD	1,236,695	CITI**		9/18/2019		26,180
PHP	64,958,492	USD	1,236,697	JPMC**		9/18/2019		26,178
PLN	66,445,516	USD	17,399,083	CITI		9/18/2019		429,202
PLN	66,445,484	USD	17,399,097	JPMC		9/18/2019		429,180
SEK	171,323,500	USD	18,063,672	CITI		9/18/2019		490,394
SEK	171,323,500	USD	18,063,695	JPMC		9/18/2019		490,373
SGD	22,765,000	USD	16,576,191	CITI		9/18/2019		269,677
SGD	22,765,000	USD	16,576,212	JPMC		9/18/2019		269,657
THB	35,235,500	USD	1,104,629	CITI		9/18/2019		46,490
THB	35,235,500	USD	1,104,630	JPMC		9/18/2019		46,488
TWD	63,642,500	USD	2,037,084	CITI**		9/18/2019		25,561
TWD	63,642,500	USD	2,037,086	JPMC**		9/18/2019		25,559
USD	1,360,364	BRL	5,250,000	CITI**		9/18/2019		3,544
USD	1,360,362	BRL	5,250,000	JPMC**		9/18/2019		3,542
USD	34,112	COP	109,779,000	CITI**		9/18/2019		115
USD	34,112	COP	109,779,000	JPMC**		9/18/2019		115
USD	29,892,829	GBP	23,405,217	CITI		9/18/2019		63,490
USD	29,893,116	GBP	23,405,214	JPMC		9/18/2019		63,780
USD	398,294	HKD	3,108,000	CITI		9/18/2019		288
USD	398,294	HKD	3,108,000	JPMC		9/18/2019		288
USD	203,669	JPY	21,679,500	CITI		9/18/2019		1,412
USD	203,669	JPY	21,679,500	JPMC		9/18/2019		1,412
USD	16,830	KRW	19,381,500	CITI**		9/18/2019		46
USD	16,830	KRW	19,381,500	JPMC**		9/18/2019		46
USD	12,667,418	MXN	245,778,780	CITI		9/18/2019		31,568
USD	12,667,399	MXN	245,778,789	JPMC		9/18/2019		31,550
USD	247,331	PLN	921,500	CITI		9/18/2019		80
USD	247,331	PLN	921,500	JPMC		9/18/2019		80

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

132

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
ZAR	88,348,000	USD	6,041,812	CITI		9/18/2019		$ 168,426
ZAR	88,348,000	USD	6,041,819	JPMC		9/18/2019		168,419
CLP	301,194,000	USD	429,383	CITI**		9/23/2019		15,295
CLP	301,194,000	USD	429,384	JPMC**		9/23/2019		15,295
Total unrealized appreciation								16,447,286
BRL	1,783,000	USD	462,368	CITI**		9/18/2019		(1,566	)
BRL	1,783,000	USD	462,369	JPMC**		9/18/2019		(1,566	)
CHF	3,666,000	USD	3,786,230	CITI		9/18/2019		(3,778	)
CHF	3,666,000	USD	3,786,234	JPMC		9/18/2019		(3,781	)
CNY	2,129,000	USD	309,988	CITI**		9/18/2019		(271	)
CNY	2,129,000	USD	309,989	JPMC**		9/18/2019		(272	)
COP	78,722,500	USD	24,604	CITI**		9/18/2019		(225	)
COP	78,722,500	USD	24,605	JPMC**		9/18/2019		(225	)
EUR	6,716,000	USD	7,699,084	CITI		9/18/2019		(14,267	)
EUR	6,716,000	USD	7,699,094	JPMC		9/18/2019		(14,277	)
GBP	4,511,346	USD	5,765,740	CITI		9/18/2019		(16,148	)
GBP	4,504,338	USD	5,756,798	JPMC		9/18/2019		(16,137	)
HUF	183,623,500	USD	651,715	CITI		9/18/2019		(2,222	)
HUF	183,623,500	USD	651,716	JPMC		9/18/2019		(2,222	)
IDR	2,865,678,500	USD	201,137	CITI**		9/18/2019		(322	)
IDR	2,865,678,500	USD	201,137	JPMC**		9/18/2019		(322	)
JPY	308,521,980	USD	2,882,917	CITI		9/18/2019		(4,589	)
JPY	308,521,980	USD	2,882,921	JPMC		9/18/2019		(4,592	)
KRW	147,095,500	USD	127,764	CITI**		9/18/2019		(382	)
KRW	147,095,500	USD	127,764	JPMC**		9/18/2019		(382	)
MXN	259,648,237	USD	13,386,168	CITI		9/18/2019		(37,268	)
MXN	260,007,074	USD	13,404,638	JPMC		9/18/2019		(37,291	)
NOK	10,879,000	USD	1,282,252	CITI		9/18/2019		(4,139	)
NOK	10,879,000	USD	1,282,254	JPMC		9/18/2019		(4,141	)
SEK	50,329,500	USD	5,473,057	CITI		9/18/2019		(22,450	)
SEK	50,329,500	USD	5,473,064	JPMC		9/18/2019		(22,458	)
SGD	99,000	USD	73,288	CITI		9/18/2019		(29	)
SGD	99,000	USD	73,289	JPMC		9/18/2019		(30	)
TWD	39,724,000	USD	1,289,263	CITI**		9/18/2019		(1,812	)
TWD	39,724,000	USD	1,289,201	JPMC**		9/18/2019		(1,750	)
USD	49,931,029	AUD	72,058,500	CITI		9/18/2019		(778,624	)
USD	49,931,192	AUD	72,058,500	JPMC		9/18/2019		(778,462	)
USD	31,247,263	BRL	123,467,004	CITI**		9/18/2019		(661,789	)
USD	31,247,222	BRL	123,466,996	JPMC**		9/18/2019		(661,828	)
USD	26,596,335	CAD	35,345,490	CITI		9/18/2019		(433,383	)
USD	26,594,983	CAD	35,343,510	JPMC		9/18/2019		(433,221	)
USD	77,366,771	CHF	76,610,990	CITI		9/18/2019		(1,677,802	)
USD	77,366,694	CHF	76,611,010	JPMC		9/18/2019		(1,677,899	)
USD	10,136,038	CNY	70,334,496	CITI**		9/18/2019		(95,892	)
USD	10,136,027	CNY	70,334,504	JPMC**		9/18/2019		(95,905	)
USD	352,722	COP	1,169,593,712	CITI**		9/18/2019		(9,488	)
USD	352,722	COP	1,169,593,712	JPMC**		9/18/2019		(9,488	)
USD	83,430,489	EUR	73,815,229	CITI		9/18/2019		(1,032,950	)
USD	83,430,413	EUR	73,815,254	JPMC		9/18/2019		(1,033,054	)
USD	17,062,809	GBP	13,435,287	CITI		9/18/2019		(60,115	)
USD	17,046,266	GBP	13,422,282	JPMC		9/18/2019		(60,083	)
USD	4,562,774	HKD	35,721,250	CITI		9/18/2019		(11,636	)
USD	4,562,768	HKD	35,721,250	JPMC		9/18/2019		(11,642	)
USD	10,086,166	HUF	2,909,393,490	CITI		9/18/2019		(204,626	)
USD	10,086,154	HUF	2,909,393,494	JPMC		9/18/2019		(204,639	)
USD	926,469	IDR	13,740,689,500	CITI**		9/18/2019		(36,424	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

133

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	926,467	IDR	13,740,689,500	JPMC**		9/18/2019		$ (36,425	)
USD	4,267,741	ILS	15,287,005	CITI		9/18/2019		(36,751	)
USD	4,267,733	ILS	15,286,996	JPMC		9/18/2019		(36,757	)
USD	6,572,699	INR	462,689,000	CITI**		9/18/2019		(66,855	)
USD	6,572,383	INR	462,689,000	JPMC**		9/18/2019		(67,172	)
USD	294,499	JPY	31,674,500	CITI		9/18/2019		(1,005	)
USD	294,499	JPY	31,674,500	JPMC		9/18/2019		(1,006	)
USD	43,656,960	KRW	51,610,017,175	CITI**		9/18/2019		(1,036,334	)
USD	43,656,905	KRW	51,610,017,178	JPMC**		9/18/2019		(1,036,388	)
USD	6,131,931	MXN	120,667,212	CITI		9/18/2019		(71,748	)
USD	6,131,925	MXN	120,667,219	JPMC		9/18/2019		(71,756	)
USD	5,248,038	NOK	45,641,497	CITI		9/18/2019		(114,129	)
USD	5,248,032	NOK	45,641,504	JPMC		9/18/2019		(114,135	)
USD	16,795,203	NZD	25,627,497	CITI		9/18/2019		(447,001	)
USD	16,795,187	NZD	25,627,505	JPMC		9/18/2019		(447,022	)
USD	589,668	PHP	31,197,000	CITI**		9/18/2019		(16,841	)
USD	589,667	PHP	31,197,000	JPMC**		9/18/2019		(16,842	)
USD	1,806,300	PLN	6,779,988	CITI		9/18/2019		(12,868	)
USD	1,806,304	PLN	6,780,012	JPMC		9/18/2019		(12,871	)
USD	52,634,771	SEK	498,908,487	CITI		9/18/2019		(1,396,238	)
USD	52,634,708	SEK	498,908,511	JPMC		9/18/2019		(1,396,303	)
USD	17,165,393	SGD	23,493,004	CITI		9/18/2019		(219,190	)
USD	17,165,366	SGD	23,492,996	JPMC		9/18/2019		(219,212	)
USD	154,177	THB	4,819,500	CITI		9/18/2019		(3,273	)
USD	154,177	THB	4,819,500	JPMC		9/18/2019		(3,273	)
USD	10,982,228	TWD	345,053,497	CITI**		9/18/2019		(200,915	)
USD	10,982,215	TWD	345,053,503	JPMC**		9/18/2019		(200,929	)
USD	7,931,096	ZAR	117,348,509	CITI		9/18/2019		(317,672	)
USD	7,931,085	ZAR	117,348,488	JPMC		9/18/2019		(317,682	)
USD	8,296,450	CLP	5,792,215,944	CITI**		9/23/2019		(255,091	)
USD	8,296,440	CLP	5,792,215,976	JPMC**		9/23/2019		(255,101	)
Total unrealized depreciation								(18,616,649	)
Net unrealized depreciation								$(2,169,363	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

134

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-1.00% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap.	24-25 months maturity ranging from 09/25/2020 - 07/26/2021		$1,806,552		$14,292			$18,349			$32,641
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (1.25%), which is denominated in USD based on the local currencies of the positions within the swap.	24 months maturity 09/25/2020		$495,338		$(9,466	)		$1,376,045			$1,366,579
BANA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-1.25%), which is denominated in USD based on the local currencies of the positions within the swap.	61-65 months maturity 07/11/2024		$773,560		$(23,384	)		$(139,819	)		$(163,203	)
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread(-0.03% to 0.03%), which is denominated in AUD based on the local currencies of the positions within the swap.	61 months maturity 05/23/2022		$3,611,976		$(159,939	)		$(24,577	)		$(184,516	)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Canadian Dollar Offered Rate (“CDOR”) plus or minus a specified spread (0.30%), which is denominated in CAD based on the local currencies of the positions within the swap.	20 months maturity 01/14/2021		$3,692,415		$100,599			$12,656			$113,255
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	20-22 months maturity 01/14/2021		$5,291,359		$445,238			$11,755			$456,993

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread(-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.	20-22 months maturity 01/14/2021		$5,374,788		$(512,185	)		$(5,959	)		$(518,144	)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (0.00% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	19-23 months maturity 01/14/2021		$598,601		$(5,758	)		$200			$(5,558	)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity 02/20/2020		$62,748		$1,059			$235			$1,294
DTBK	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread(-0.40% to 0.04%), which is denominated in EUR based on the local currencies of the positions within the swap.	61-85 months maturity ranging from 12/19/2019 - 01/10/2024		$61,354,141		$(3,651,638	)		$(697,157	)		$(4,348,795	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
France
Aeroports de Paris		2,200	$	388,153	$	(74,468	)		1.7	%
Air France-KLM		42,025		403,779		(56,120	)		1.3
Alstom SA		12,289		569,602		38,893			(0.9	)
Amundi SA		9,023		629,984		85,906			(2.0	)
Capgemini SE		1,286		159,892		9,794			(0.2	)
Carrefour SA		23,608		455,650		(7,877	)		0.2
Casino Guichard Perrachon SA		12,513		426,128		(76,030	)		1.7

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Cie Generale des Etablissements Michelin SCA		1,187		$	150,086		$	(837	)		0.0	%
CNP Assurances		64,401			1,461,798			136,520			(3.1	)
Dassault Systemes SE		4,669			744,730			48,224			(1.1	)
Electricite de France SA		117,930			1,486,845			(315,779	)		7.3
Eutelsat Communications SA		94,071			1,756,879			(105,161	)		2.4
Faurecia SA		26,759			1,241,132			(424,168	)		9.8
Ipsen SA		9,851			1,343,634			(93,961	)		2.2
Kering SA		3,808			2,247,569			34,668			(0.8	)
Natixis SA		36,217			145,831			(6,437	)		0.1
Orange SA		59,465			937,947			(17,371	)		0.4
Peugeot SA		337,307			8,301,956			457,997			(10.5	)
SCOR SE		8,875			389,069			344			(0.0	)
Suez		14,518			209,486			7,082			(0.2	)
Teleperformance		7,506			1,503,194			386,835			(8.9	)
Thales SA		4,074			503,229			71,144			(1.6	)
TOTAL SA		16,100			903,110			6,794			(0.2	)
Veolia Environnement SA		8,059			196,240			5,587			(0.1	)
Vivendi SA		20,821			571,384			(8,491	)		0.2
Luxembourg
SES SA		124,247			1,940,297			(288,071	)		6.6
Short Positions
Common Stock
France
Altran Technologies SA		(126,672	)		(2,010,256	)		(927,755	)		21.3
AXA SA		(26,740	)		(702,238	)		(7,616	)		0.2
BNP Paribas SA		(15,369	)		(728,572	)		48,834			(1.1	)
Bollore SA		(238,612	)		(1,052,857	)		(159,776	)		3.7
Cie Plastic Omnium SA		(20,789	)		(540,634	)		21,958			(0.5	)
Credit Agricole SA		(16,652	)		(198,704	)		(3,657	)		0.1
Edenred		(18,643	)		(950,131	)		(451,317	)		10.4
Elior Group SA		(49,318	)		(678,313	)		14,826			(0.3	)
EssilorLuxottica SA		(23,477	)		(3,059,567	)		(199,992	)		4.6
Getlink SE		(104,842	)		(1,679,411	)		(518,872	)		11.9
Iliad SA		(28,711	)		(3,224,171	)		1,105,306			(25.4	)
Imerys SA		(3,147	)		(166,775	)		7,110			(0.2	)
Ingenico Group SA		(17,870	)		(1,581,519	)		(376,565	)		8.7
JCDecaux SA		(44,379	)		(1,343,849	)		166,413			(3.8	)
LVMH Moet Hennessy Louis Vuitton SE		(823	)		(349,878	)		(26,075	)		0.6
Publicis Groupe SA		(2,887	)		(152,378	)		10,493			(0.2	)
Remy Cointreau SA		(33,164	)		(4,780,372	)		(1,819,465	)		41.8
Renault SA		(21,771	)		(1,368,684	)		(32,780	)		0.8
Societe BIC SA		(6,385	)		(486,378	)		65,652			(1.5	)
Societe Generale SA		(19,487	)		(491,840	)		(1,986	)		0.0
SPIE SA		(18,940	)		(351,397	)		(52,145	)		1.2
Ubisoft Entertainment SA		(5,490	)		(429,365	)		9,727			(0.2	)
Valeo SA		(105,189	)		(3,424,527	)		(207,374	)		4.8
Worldline SA		(6,529	)		(474,361	)		(70,885	)		1.6

The accompanying notes are an integral part of these financial statements. (Continued)

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137

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

DTBK

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread(-0.90% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

85 months maturity 12/19/2019

$127,512,121

$(1,297,494

)

$1,239,009

$(58,485

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
BHP Group plc		59,372	$	1,518,401	$	269,030			(460.0	)%
Rio Tinto plc		29,850		1,847,509		351,799			(601.5	)
Netherlands
Royal Dutch Shell plc		54,072		1,764,780		114,288			(195.4	)
Russia
Evraz plc		313,180		2,651,804		675,966			(1155.8	)
South Africa
Anglo American plc		53,425		1,526,268		295,811			(505.8	)
Investec plc		389,638		2,532,895		(184,899	)		316.1
Switzerland
Glencore plc		324,080		1,121,617		(17,879	)		30.6
IWG plc		442,429		1,911,828		566,825			(969.2	)
United Kingdom
Bellway plc		41,826		1,479,341		(128,628	)		219.9
BP plc		333,273		2,321,836		109,509			(187.2	)
BT Group plc		687,491		1,718,957		(171,111	)		292.6
Close Brothers Group plc		128,877		2,313,056		(43,168	)		73.8
Direct Line Insurance Group plc		366,590		1,545,280		(16,950	)		29.0
Dixons Carphone plc		1,126,182		1,565,355		(1,263,149	)		2159.8
Drax Group plc		633,245		2,091,613		(978,299	)		1672.7
Inchcape plc		350,728		2,748,536		(303,819	)		519.5
Inmarsat plc		243,847		1,689,016		31,035			(53.1	)
Intermediate Capital Group plc		161,095		2,825,704		1,397,638			(2389.7	)
Man Group PLC/Jersey		1,038,849		2,053,997		(426,275	)		728.9
Moneysupermarket.com Group plc		312,770		1,638,463		460,358			(787.1	)
Persimmon plc		51,009		1,295,882		(254,265	)		434.8
Royal Mail plc		473,005		1,274,411		(949,293	)		1623.1
Smith & Nephew plc		76,943		1,670,788		378,774			(647.6	)
Standard Life Aberdeen plc		340,822		1,275,205		(277,772	)		474.9
Tate & Lyle plc		279,076		2,616,200		147,530			(252.3	)
Taylor Wimpey plc		578,405		1,160,658		(110,080	)		188.2

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
South Africa
Old Mutual Ltd.		(896,600	)	$	(1,340,716	)	$	279,426			(477.8	) %
United Arab Emirates
NMC Health plc		(81,059	)		(2,480,059	)		517,368			(884.6	)
United Kingdom
Admiral Group plc		(68,265	)		(1,914,226	)		(68,039	)		116.3
Aggreko plc		(221,107	)		(2,219,798	)		375,572			(642.2	)
Babcock International Group plc		(385,776	)		(2,245,677	)		1,059,657			(1811.8	)
Capita plc		(924,323	)		(1,239,424	)		157,470			(269.2	)
easyJet plc		(92,130	)		(1,115,462	)		(15,732	)		26.9
Greene King plc		(208,608	)		(1,636,217	)		(254,240	)		434.7
Hargreaves Lansdown plc		(185,584	)		(4,534,416	)		(1,594,881	)		2727.0
John Wood Group plc		(675,329	)		(3,888,527	)		1,370,294			(2343.0	)
Jupiter Fund Management plc		(317,334	)		(1,703,177	)		(214,265	)		366.4
Just Eat plc		(175,275	)		(1,390,055	)		32,115			(54.9	)
Kingfisher plc		(372,830	)		(1,016,216	)		156,949			(268.4	)
Merlin Entertainments plc		(530,428	)		(3,032,011	)		(587,573	)		1004.7
Micro Focus International plc		(148,399	)		(3,902,893	)		(954,077	)		1631.3
Pearson plc		(156,832	)		(1,631,689	)		(122,714	)		209.8
Prudential plc		(48,072	)		(1,049,459	)		(49,569	)		84.8
Rightmove plc		(161,450	)		(1,098,352	)		(192,059	)		328.4
Rotork plc		(311,037	)		(1,250,431	)		(268,808	)		459.6
Schroders plc		(37,849	)		(1,468,290	)		(38,426	)		65.7
Severn Trent plc		(56,823	)		(1,478,239	)		(52,879	)		90.4
SSE plc		(89,095	)		(1,269,902	)		(40,352	)		69.0
St James’s Place plc		(100,975	)		(1,409,856	)		(75,973	)		129.9
Weir Group plc (The)		(79,985	)		(1,573,813	)		263,003			(449.7	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread(-1.05% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/13/2023 - 06/27/2024		$70,383,453		$(3,912,160	)		$(1,206,496	)		$(5,118,656	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
China
Anhui Conch Cement Co. Ltd.		164,500	$	1,029,328	$	58,722		(1.1	)%
ANTA Sports Products Ltd.		123,000		848,356		87,369		(1.7	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
China (continued)
BAIC Motor Corp. Ltd.		1,288,000		$	808,284		$	43,159			(0.8	) %
Beijing Capital International Airport Co. Ltd.		1,966,000			1,722,949			(346,768	)		6.8
Beijing Enterprises Holdings Ltd.		165,500			841,274			(69,387	)		1.4
China Longyuan Power Group Corp. Ltd.		1,176,000			755,647			(97,546	)		1.9
China Medical System Holdings Ltd.		1,212,000			1,113,008			(245,096	)		4.8
China Mobile Ltd.		176,500			1,606,797			(250,449	)		4.9
China Resources Power Holdings Co. Ltd.		710,000			1,035,637			(226,008	)		4.4
China Telecom Corp. Ltd.		1,330,000			669,719			(5,649	)		0.1
CITIC Ltd.		774,000			1,114,016			(42,998	)		0.8
CSPC Pharmaceutical Group Ltd.		610,000			983,838			(150,342	)		2.9
Far East Horizon Ltd.		1,203,000			1,230,544			(13,926	)		0.3
Guangdong Investment Ltd.		480,000			949,058			67,372			(1.3	)
Haitian International Holdings Ltd.		331,000			686,875			(226,390	)		4.4
New China Life Insurance Co. Ltd.		204,900			997,018			(80,451	)		1.6
PICC Property & Casualty Co. Ltd.		1,112,999			1,200,923			(27,456	)		0.5
Shandong Weigao Group Medical Polymer Co. Ltd.		1,092,000			990,917			66,499			(1.3	)
Sinopec Engineering Group Co. Ltd.		1,509,500			1,279,363			(244,789	)		4.8
Sinopec Shanghai Petrochemical Co. Ltd.		1,915,000			762,619			(433,069	)		8.5
Tencent Holdings Ltd.		16,000			723,831			(69,538	)		1.4
Uni-President China Holdings Ltd.		855,000			952,385			111,782			(2.2	)
Weichai Power Co. Ltd.		648,000			1,096,047			59,280			(1.2	)
Zhejiang Expressway Co. Ltd.		886,000			933,825			112,056			(2.2	)
Hong Kong
Haier Electronics Group Co. Ltd.		320,000			887,942			(65,171	)		1.3
Kingboard Laminates Holdings Ltd.		723,500			663,817			(14,241	)		0.3
Short Positions
Common Stock
China
BBMG Corp.		(4,974,000	)		(1,597,280	)		45,608			(0.9	)
Beijing Enterprises Water Group Ltd.		(2,342,000	)		(1,391,970	)		(186,317	)		3.6
Brilliance China Automotive Holdings Ltd.		(1,202,000	)		(1,329,281	)		222,853			(4.4	)
BYD Co. Ltd.		(122,500	)		(740,694	)		(20,321	)		0.4
CGN Power Co. Ltd.		(4,286,000	)		(1,179,628	)		(42,416	)		0.8
China International Capital Corp. Ltd.		(412,800	)		(833,232	)		(123,671	)		2.4
China Merchants Bank Co. Ltd.		(133,000	)		(660,002	)		(149,002	)		2.9
China Minsheng Banking Corp. Ltd.		(1,040,900	)		(720,726	)		(62,698	)		1.2
China Molybdenum Co. Ltd.		(2,571,000	)		(815,405	)		249,885			(4.9	)
China Oilfield Services Ltd.		(706,000	)		(700,406	)		(48,547	)		0.9
China Pacific Insurance Group Co. Ltd.		(260,600	)		(1,019,269	)		(114,094	)		2.2
China Resources Beer Holdings Co. Ltd.		(200,000	)		(950,165	)		(252,304	)		4.9
China Southern Airlines Co. Ltd.		(1,206,000	)		(837,935	)		98,265			(1.9	)
China State Construction International Holdings Ltd.		(938,000	)		(963,480	)		47,291			(0.9	)
COSCO SHIPPING Energy Transportation Co. Ltd.		(1,494,000	)		(882,642	)		(77,057	)		1.5
Guangzhou Automobile Group Co. Ltd.		(1,286,000	)		(1,374,057	)		(45,368	)		0.9
Huatai Securities Co. Ltd.		(440,000	)		(757,361	)		32,140			(0.6	)
Kunlun Energy Co. Ltd.		(750,000	)		(654,847	)		8,787			(0.2	)
Ping An Insurance Group Co. of China Ltd.		(137,000	)		(1,647,408	)		(383,292	)		7.5
Shanghai Fosun Pharmaceutical Group Co. Ltd.		(413,500	)		(1,252,393	)		188,967			(3.7	)
Sunny Optical Technology Group Co. Ltd.		(81,300	)		(841,722	)		(44,799	)		0.9
Xinyi Solar Holdings Ltd.		(1,442,000	)		(712,521	)		(35,070	)		0.7
Yanzhou Coal Mining Co. Ltd.		(800,000	)		(748,083	)		(52,457	)		1.0
Hong Kong
China Gas Holdings Ltd.		(323,800	)		(1,203,242	)		(100,640	)		2.0

The accompanying notes are an integral part of these financial statements. (Continued)

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140

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the TIIE plus or minus a specified spread(-0.05% to 0.05%), which is denominated in MXN based on the local currencies of the positions within the swap.	61 months maturity ranging from 04/12/2023 - 05/07/2024		$7,957,021		$(184,629	)		$(15,224	)		$(199,853	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Mexico
Alfa SAB de CV		1,103,400		$	1,084,214		$	(238,239	)		119.2	%
Arca Continental SAB de CV		339,500			1,836,904			(268,345	)		134.3
Gruma SAB de CV		143,835			1,349,941			(344,815	)		172.5
Wal-Mart de Mexico SAB de CV		230,700			629,824			33,602			(16.8	)
Short Positions
Common Stock
Mexico
Alsea SAB de CV		(328,900	)		(647,390	)		287,450			(143.8	)
El Puerto de Liverpool SAB de CV		(143,040	)		(796,441	)		222,383			(111.3	)
Grupo Mexico SAB de CV		(60,600	)		(160,926	)		7,474			(3.7	)
Industrias Penoles SAB de CV		(12,915	)		(167,075	)		(10,674	)		5.3
Infraestructura Energetica Nova SAB de CV		(266,900	)		(1,048,341	)		152,975			(76.5	)
Kimberly-Clark de Mexico SAB de CV		(126,900	)		(235,965	)		(26,440	)		13.2

The accompanying notes are an integral part of these financial statements. (Continued)

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141

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the WIBOR plus or minus a specified spread(-0.08% to 0.07%), which is denominated in PLN based on the local currencies of the positions within the swap.	61 months maturity ranging from 04/13/2023 - 03/21/2024		$8,219,214		$(992,770	)		$(161,865	)		$(1,154,635	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Poland
Grupa Lotos SA		10,059		$	228,282		$	(33,401	)		2.9	%
Jastrzebska Spolka Weglowa SA		52,645			666,735			(498,543	)		43.2
KGHM Polska Miedz SA		23,714			658,396			(8,864	)		0.8
PGE Polska Grupa Energetyczna SA		489,004			1,257,647			(48,445	)		4.2
Polskie Gornictwo Naftowe i Gazownictwo SA		925,472			1,317,159			(213,103	)		18.5
Powszechny Zaklad Ubezpieczen SA		3,170			37,098			(496	)		0.0
Short Positions
Common Stock
Poland
CCC SA		(36,567	)		(1,651,028	)		255,631			(22.1	)
CD Projekt SA		(2,324	)		(134,516	)		(40,451	)		3.5
Dino Polska SA		(20,023	)		(701,581	)		(233,023	)		20.2
Orange Polska SA		(661,287	)		(1,185,659	)		(157,395	)		13.6
Santander Bank Polska SA		(3,833	)		(381,113	)		(14,680	)		1.3

The accompanying notes are an integral part of these financial statements. (Continued)

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142

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-1.60% to 0.08%), which is denominated in USD based on the local currencies of the positions within the swap.	52-61 months maturity ranging from 04/12/2023 - 07/01/2024		$407,550,682		$(3,623,495	)		$(4,194,069	)		$(7,817,564	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Ashland Global Holdings, Inc.		44,950		$	3,594,652		$	192,301			(2.5	)%
Axis Capital Holdings Ltd.		50,567			3,016,322			229,182			(2.9	)
Cabot Corp.		59,873			2,856,541			(722,372	)		9.2
Charles River Laboratories International, Inc.		19,748			2,802,241			245,595			(3.1	)
ConocoPhillips		82,367			5,024,387			(1,216,232	)		15.6
First American Financial Corp.		52,535			2,821,130			248,857			(3.2	)
Hanover Insurance Group, Inc. (The)		16,365			2,099,630			134,456			(1.7	)
IQVIA Holdings, Inc.		15,343			2,468,689			262,702			(3.4	)
Lancaster Colony Corp.		16,392			2,435,851			252,928			(3.2	)
Mondelez International, Inc.		43,538			2,346,698			208,343			(2.7	)
Patterson-UTI Energy, Inc.		202,804			2,334,274			(864,871	)		11.1
Post Holdings, Inc.		39,768			4,134,679			49,579			(0.6	)
PRA Health Sciences, Inc.		26,307			2,608,339			(104,995	)		1.3
Progressive Corp. (The)		38,140			3,048,530			402,622			(5.2	)
Reinsurance Group of America, Inc.		20,825			3,249,325			154,035			(2.0	)
Reliance Steel & Aluminum Co.		22,345			2,114,284			72,551			(0.9	)
TreeHouse Foods, Inc.		60,895			3,294,420			(524,531	)		6.7
Willis Towers Watson plc		17,067			3,269,013			300,513			(3.8	)
World Fuel Services Corp.		103,367			3,717,077			1,512,057			(19.3	)
WR Grace & Co.		81,352			6,191,701			254,595			(3.3	)
Short Positions
Common Stock
Taiwan
Cheng Shin Rubber Industry Co. Ltd.		(1,591,000	)		(2,055,236	)		434,523			(5.6	)
Hotai Motor Co. Ltd.		(131,000	)		(2,146,810	)		(858,880	)		11.0
United States
Albemarle Corp.		(35,883	)		(2,526,522	)		554,859			(7.1	)
Arch Capital Group Ltd.		(86,594	)		(3,210,906	)		(872,485	)		11.2
Bio-Techne Corp.		(14,405	)		(3,003,298	)		(775,527	)		9.9
Brown-Forman Corp.		(64,916	)		(3,598,294	)		(87,358	)		1.1
Campbell Soup Co.		(51,411	)		(2,060,039	)		(178,639	)		2.3
Catalent, Inc.		(49,036	)		(2,658,242	)		(770,966	)		9.9
Chemours Co. (The)		(129,691	)		(3,112,584	)		815,241			(10.4	)
Chubb Ltd.		(24,329	)		(3,583,418	)		(311,526	)		4.0

The accompanying notes are an integral part of these financial statements. (Continued)

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143

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Commercial Metals Co.		(117,875	)	$	(2,104,069	)	$	(143,165	)		1.8	%
Compass Minerals International, Inc.		(65,168	)		(3,580,982	)		631,663			(8.1	)
Conagra Brands, Inc.		(111,013	)		(2,944,065	)		(287,824	)		3.7
Graphic Packaging Holding Co.		(270,667	)		(3,783,925	)		(626,797	)		8.0
Hain Celestial Group, Inc. (The)		(132,994	)		(2,912,569	)		306,964			(3.9	)
International Flavors & Fragrances, Inc.		(34,311	)		(4,978,183	)		(620,189	)		7.9
Kellogg Co.		(44,099	)		(2,362,383	)		269,456			(3.4	)
Ligand Pharmaceuticals, Inc.		(18,460	)		(2,107,209	)		53,969			(0.7	)
Prestige Consumer Healthcare, Inc.		(93,979	)		(2,977,255	)		241,623			(3.1	)
Principal Financial Group, Inc.		(78,096	)		(4,523,320	)		(731,366	)		9.4
Scotts Miracle-Gro Co. (The)		(27,446	)		(2,703,431	)		(791,621	)		10.1
Seattle Genetics, Inc.		(32,335	)		(2,237,905	)		(176,606	)		2.3
Sensient Technologies Corp.		(40,914	)		(3,006,361	)		(329,719	)		4.2
Sprouts Farmers Market, Inc.		(140,255	)		(2,649,417	)		742,859			(9.5	)
Syneos Health, Inc.		(63,697	)		(3,254,280	)		(441,766	)		5.7
Travelers Cos., Inc. (The)		(16,994	)		(2,540,943	)		(177,803	)		2.3
Valvoline, Inc.		(133,444	)		(2,606,161	)		162,999			(2.1	)
Waters Corp.		(10,806	)		(2,325,883	)		(85,267	)		1.1
Westlake Chemical Corp.		(34,019	)		(2,362,960	)		(147,707	)		1.9
WR Berkley Corp.		(87,420	)		(5,763,601	)		(1,311,028	)		16.8

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread(-0.30% to 0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/14/2023 - 06/14/2024		$11,605,506		$(375,666	)		$(92,749	)		$(468,415	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
South Africa
Anglo American Platinum Ltd.		8,158	$	485,401	$	202,477			(43.2	)%
Exxaro Resources Ltd.		45,214		553,659		10,319			(2.2	)
Investec Ltd.		20,221		131,536		(2,329	)		0.5
Life Healthcare Group Holdings Ltd.		57,680		92,108		(16,085	)		3.4
MMI Holdings Ltd.		49,433		66,501		1,121			(0.2	)
Mr Price Group Ltd.		30,512		429,698		3,621			(0.8	)
MultiChoice Group Ltd.		61,031		579,811		35,894			(7.7	)
Naspers Ltd.		1,292		312,729		(28,520	)		6.1
Netcare Ltd.		636,728		812,179		(307,842	)		65.7
Pick n Pay Stores Ltd.		95,522		466,290		(23,427	)		5.0
Truworths International Ltd.		253,099		1,256,232		(107,464	)		22.9

The accompanying notes are an integral part of these financial statements. (Continued)

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144

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United Kingdom
Mondi Ltd.		16,639		$	374,077		$	(15,269	)		3.3	%
Short Positions
Common Stock
South Africa
Aspen Pharmacare Holdings Ltd.		(17,607	)		(125,674	)		(9,359	)		2.0
Clicks Group Ltd.		(41,162	)		(599,762	)		(27,377	)		5.8
Discovery Ltd.		(73,164	)		(775,623	)		112,110			(23.9	)
Kumba Iron Ore Ltd.		(3,155	)		(111,849	)		(13,679	)		2.9
MTN Group Ltd.		(124,039	)		(937,956	)		(188,303	)		40.2
Old Mutual Ltd.		(538,588	)		(810,883	)		36,327			(7.8	)
PSG Group Ltd.		(30,147	)		(512,010	)		(43,418	)		9.3
Sanlam Ltd.		(125,131	)		(694,806	)		(31,282	)		6.7
Standard Bank Group Ltd.		(20,588	)		(287,609	)		(9,520	)		2.0
Tiger Brands Ltd.		(23,077	)		(366,569	)		2,862			(0.6	)
Vodacom Group Ltd.		(96,803	)		(822,544	)		43,477			(9.3	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	61 months maturity ranging from 10/18/2023 - 02/09/2024		$54,217,290		$13,805		$155,383		$169,188

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
L3 Technologies, Inc.		53,661		$	13,156,067		$	3,605,624			2131.1	%
SunTrust Banks, Inc.		220,367			13,850,066			(603,606	)		(356.8	)
Short Positions
Common Stock
United States
BB&T Corp.		(285,375	)		(14,020,474	)		527,952			312.1
Harris Corp.		(69,744	)		(13,190,683	)		(3,516,165	)		(2078.3	)

The accompanying notes are an integral part of these financial statements. (Continued)

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145

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.25%), which is denominated in GBP based on the local currencies of the positions within the swap.	19-26 months maturity 01/14/2021		$20,704,546		$256,508		$(13,114	)		$243,394

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United Kingdom
BCA Marketplace plc		168,473	$	519,361	$	3,777			1.6	%
BTG plc		1,024,282		10,869,750		111,446			45.8
Inmarsat plc		666,908		4,619,365		(22,569	)		(9.3	)
RPC Group plc		466,623		4,696,070		163,854			67.3

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-1.75% to 0.30%), which is denominated in USD based on the local currencies of the positions within the swap.	19-56 months maturity ranging from 01/14/2021 - 07/03/2023		$380,314,177		$(136,611	)		$1,086,962		$950,351

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Advanced Disposal Services, Inc.		243,137	$	7,758,502	$	(82,161	)		(8.6	)%
Allergan plc		55,850		9,350,966		156,502			16.5
Anadarko Petroleum Corp.		121,898		8,601,123		(9,317	)		(1.0	)
Array BioPharma, Inc.		143,756		6,660,215		(23,746	)		(2.5	)
Avista Corp.		110,377		4,922,814		(781,913	)		(82.3	)
Caesars Entertainment Corp.		508,000		6,004,560		117,799			12.4
Celgene Corp.		91,428		8,451,604		405,986			42.7
Connecticut Water Service, Inc.		43,973		3,065,798		79,266			8.3

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

146

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Cypress Semiconductor Corp.		370,151		$	8,232,158		$	19,601			2.1	%
El Paso Electric Co.		33,523			2,192,404			(22,088	)		(2.3	)
Finisar Corp.		403,973			9,238,863			261,347			27.5
First Data Corp.		515,257			13,948,007			1,223,593			128.8
Genworth Financial, Inc.		1,230,743			4,566,057			(1,139,071	)		(119.9	)
Global Brass & Copper Holdings, Inc.		55,991			2,448,486			18,334			1.9
HFF, Inc.		39,132			1,779,723			(94,784	)		(10.0	)
Liberty Expedia Holdings, Inc.		69,378			3,315,575			236,919			24.9
Medidata Solutions, Inc.		24,000			2,172,240			(18,527	)		(1.9	)
Mellanox Technologies Ltd.		91,557			10,132,613			(613,916	)		(64.6	)
Multi-Color Corp.		39,800			1,988,806			9,358			1.0
Pacific Biosciences of California, Inc.		745,263			4,508,841			(1,141,949	)		(120.2	)
Raytheon Co.		17,130			2,978,564			(150,043	)		(15.8	)
Red Hat, Inc.		62,645			11,762,225			931,881			98.1
Shutterfly, Inc.		77,248			3,904,886			18,404			1.9
Sotheby’s		64,327			3,739,329			140,258			14.8
Spark Therapeutics, Inc.		53,800			5,508,044			(593,706	)		(62.5	)
Sprint Corp.		1,524,959			10,018,981			1,293,169			136.1
Tableau Software, Inc.		77,312			12,835,338			(86,469	)		(9.1	)
TCF Financial Corp.		270,072			5,614,797			(301,946	)		(31.8	)
Total System Services, Inc.		106,158			13,616,887			508,311			53.5
Tribune Media Co.		324,442			14,995,709			632,809			66.6
Versum Materials, Inc.		195,960			10,107,617			1,593,825			167.7
WABCO Holdings, Inc.		111,152			14,738,755			85,889			9.0
WageWorks, Inc.		40,000			2,031,600			7,529			0.8
WellCare Health Plans, Inc.		39,773			11,338,089			839,439			88.3
Worldpay, Inc.		110,177			13,502,191			1,315,766			138.5
Zayo Group Holdings, Inc.		324,041			10,664,189			(13,094	)		(1.4	)
Short Positions
Common Stock
United States
AbbVie, Inc.		(48,367	)		(3,517,248	)		(261,570	)		(27.5	)
Bristol-Myers Squibb Co.		(91,428	)		(4,146,260	)		415,903			43.8
Centene Corp.		(134,433	)		(7,049,667	)		(79,522	)		(8.4	)
Chemical Financial Corp.		(137,214	)		(5,640,868	)		322,801			34.0
Eldorado Resorts, Inc.		(45,670	)		(2,104,017	)		(51,351	)		(5.4	)
Expedia Group, Inc.		(24,978	)		(3,322,823	)		(226,743	)		(23.9	)
Fidelity National Information Services, Inc.		(102,322	)		(12,552,863	)		(1,288,417	)		(135.6	)
Fiserv, Inc.		(156,128	)		(14,232,628	)		(1,226,834	)		(129.1	)
Global Payments, Inc.		(86,000	)		(13,771,180	)		(495,619	)		(52.2	)
II-VI, Inc.		(65,888	)		(2,408,865	)		(85,587	)		(9.0	)
Occidental Petroleum Corp.		(35,765	)		(1,798,264	)		23,717			2.5
salesforce.com, Inc.		(85,275	)		(12,938,776	)		71,249			7.5
T-Mobile US, Inc.		(156,401	)		(11,595,570	)		(1,799,191	)		(189.3	)
United Technologies Corp.		(39,996	)		(5,207,479	)		(55,222	)		(5.8	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

JPMC

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-4.00% to 0.70%), which is denominated in CHF based on the local currencies of the positions within the swap.

19-36 months maturity 01/14/2021

$23,075,867

$(338,132

)

$144,899

$(193,233

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Switzerland
Alcon, Inc.		3,183		$	196,574		$	45,188			(23.4	)%
Aryzta AG		391,740			449,961			(99,820	)		51.7
Baloise Holding AG (Registered)		1,075			190,390			16,560			(8.6	)
Clariant AG (Registered)		5,583			113,586			4,797			(2.5	)
DKSH Holding AG		2,110			123,637			(20,494	)		10.6
Flughafen Zurich AG (Registered)		8,178			1,540,214			(326,633	)		169.0
GAM Holding AG		69,362			321,027			76,615			(39.6	)
Helvetia Holding AG (Registered)		12,640			1,586,695			165,555			(85.7	)
LafargeHolcim Ltd. (Registered)		4,283			209,424			(8,581	)		4.4
Lonza Group AG (Registered)		242			81,697			4,000			(2.1	)
Novartis AG (Registered)		8,165			745,397			43,041			(22.3	)
Roche Holding AG		9,922			2,789,946			237,575			(122.9	)
SGS SA (Registered)		18			45,879			(450	)		0.2
Sonova Holding AG (Registered)		6,374			1,450,714			157,852			(81.7	)
Sunrise Communications Group AG		10,962			818,732			(118,658	)		61.4
Swiss Life Holding AG (Registered)		1,156			573,129			59,778			(30.9	)
Temenos AG (Registered)		5,548			993,391			312,570			(161.8	)
UBS Group AG (Registered)		10,057			119,530			734			(0.4	)
Zurich Insurance Group AG		86			29,924			1,336			(0.7	)
Short Positions
Common Stock
Austria
ams AG		(7,904	)		(309,459	)		75,587			(39.1	)
Switzerland
ABB Ltd. (Registered)		(9,353	)		(187,511	)		(5,106	)		2.6
Adecco Group AG (Registered)		(1,888	)		(113,464	)		(20,116	)		10.4
Barry Callebaut AG (Registered)		(34	)		(68,240	)		(328	)		0.2
Bucher Industries AG (Registered)		(76	)		(26,184	)		(3,250	)		1.7
Chocoladefabriken Lindt & Spruengli AG		(51	)		(371,272	)		(79,882	)		41.3
Cie Financiere Richemont SA (Registered)		(17,891	)		(1,520,316	)		(229,453	)		118.7
dormakaba Holding AG		(56	)		(40,615	)		694			(0.4	)
Givaudan SA (Registered)		(24	)		(67,789	)		(447	)		0.2
Idorsia Ltd.		(6,092	)		(139,404	)		(27,962	)		14.5
Julius Baer Group Ltd.		(5,040	)		(224,553	)		8,488			(4.4	)
Kuehne + Nagel International AG (Registered)		(4,527	)		(672,427	)		(15,298	)		7.9
Nestle SA (Registered)		(3,209	)		(332,203	)		211			(0.1	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Switzerland (continued)
Sika AG (Registered)		(2,377	)	$	(406,093	)	$	(17,960	)		9.3	%
Straumann Holding AG (Registered)		(2,737	)		(2,418,630	)		(515,642	)		266.8
Swatch Group AG (The)		(3,127	)		(896,395	)		45,473			(23.5	)
Swiss Re AG		(1,549	)		(157,405	)		(154	)		0.1
Swisscom AG (Registered)		(341	)		(171,281	)		(416	)		0.2
Vifor Pharma AG		(17,800	)		(2,572,779	)		(103,536	)		53.6

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread(-0.70% to 0.70%), which is denominated in DKK based on the local currencies of the positions within the swap.	19-36 months maturity 01/14/2021		$13,093,131		$239,413		$(66,977	)		$172,436

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Denmark
Carlsberg A/S		749		$	99,390		$	(1,789	)		(1.0	)%
Danske Bank A/S		20,098			318,419			(32,825	)		(19.0	)
Dfds A/S		11,687			496,356			(147,059	)		(85.3	)
GN Store Nord A/S		55,671			2,602,480			864,196			501.2
H Lundbeck A/S		70,216			2,781,202			(675,002	)		(391.5	)
Novo Nordisk A/S		4,815			245,937			16,511			9.6
Orsted A/S		6,337			548,208			150,874			87.5
Rockwool International A/S		865			221,297			(58,781	)		(34.1	)
Vestas Wind Systems A/S		442			38,292			935			0.5
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(1,012	)		(1,259,249	)		166,513			96.6
Chr Hansen Holding A/S		(7,933	)		(746,536	)		(86,558	)		(50.2	)
Demant A/S		(61,128	)		(1,902,616	)		88,393			51.3
DSV A/S		(8,314	)		(818,680	)		(51,190	)		(29.7	)
FLSmidth & Co. A/S		(724	)		(32,806	)		(1,380	)		(0.8	)
Genmab A/S		(283	)		(52,083	)		(2,492	)		(1.4	)
Jyske Bank A/S (Registered)		(3,829	)		(132,823	)		20,124			11.7
Novozymes A/S		(14,779	)		(689,098	)		(4,721	)		(2.7	)
Pandora A/S		(2,500	)		(88,948	)		(96	)		(0.1	)
Tryg A/S		(575	)		(18,711	)		(6,240	)		(3.6	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

JPMC

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread(-6.90% to 0.70%), which is denominated in EUR based on the local currencies of the positions within the swap.

19-36 months maturity 01/14/2021

$127,051,237

$(3,017,619

)

$381,018

$(2,636,601

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Finland
Kesko OYJ		40,031	$	2,225,268	$	75,887			(2.9	)%
Germany
adidas AG		6,159		1,905,410		179,611			(6.8	)
Carl Zeiss Meditec AG		10,138		999,915		166,703			(6.3	)
Commerzbank AG		131,375		943,446		(77,146	)		2.9
Covestro AG		20,481		1,042,679		(448,302	)		17.0
CTS Eventim AG & Co. KGaA		20,752		964,898		25,779			(1.0	)
Deutsche Lufthansa AG (Registered)		71,182		1,220,474		(821,037	)		31.1
METRO AG		58,255		1,064,479		219,832			(8.3	)
Rheinmetall AG		18,999		2,328,538		29,464			(1.1	)
Salzgitter AG		51,763		1,483,329		(1,175,610	)		44.6
Software AG		59,629		2,049,263		(789,953	)		30.0
Suedzucker AG		57,888		981,007		5,189			(0.2	)
Talanx AG		30,506		1,321,956		105,827			(4.0	)
Italy
A2A SpA		1,627,622		2,825,423		197,580			(7.5	)
Autogrill SpA		88,010		923,110		(145,341	)		5.5
Enel SpA		148,270		1,034,294		94,888			(3.6	)
Eni SpA		70,266		1,168,336		(3,267	)		0.1
FinecoBank Banca Fineco SpA		164,508		1,835,166		17,854			(0.7	)
Poste Italiane SpA		380,563		4,010,257		1,228,599			(46.6	)
Saipem SpA		422,783		2,109,841		(201,265	)		7.6
Unipol Gruppo SpA		466,701		2,274,114		96,295			(3.7	)
Netherlands
ASR Nederland NV		83,097		3,376,345		171,991			(6.5	)
NN Group NV		43,077		1,731,648		(60,135	)		2.3
Signify NV		37,320		1,101,133		(234,764	)		8.9
Spain
ACS Actividades de Construccion y Servicios SA		22,813		912,725		(27,292	)		1.0
Bankinter SA		201,206		1,386,921		(627,509	)		23.8
Red Electrica Corp. SA		48,740		1,015,162		(34,680	)		1.3
Repsol SA		88,787		1,393,321		(111,687	)		4.2
United Kingdom
Fiat Chrysler Automobiles NV		97,921		1,358,990		(190,453	)		7.2

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE				NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Belgium							��
Anheuser-Busch InBev SA/NV		(19,475	)	$	(1,723,350	)		$	(121,592	)		4.6	%
Finland
Outokumpu OYJ		(328,251	)		(1,122,273	)			502,492			(19.1	)
Germany
1&1 Drillisch AG		(44,031	)		(1,469,174	)			519,559			(19.7	)
Daimler AG (Registered)		(33,161	)		(1,849,449	)			126,275			(4.8	)
Fraport AG Frankfurt Airport Services Worldwide		(12,414	)		(1,068,538	)			(8,421	)		0.3
FUCHS PETROLUB SE (Preference)		(30,956	)		(1,215,341	)			344,781			(13.1	)
GEA Group AG		(84,900	)		(2,409,514	)			1,127,890			(42.8	)
Sartorius AG (Preference)		(7,792	)		(1,598,017	)			(441,913	)		16.8
thyssenkrupp AG		(122,754	)		(1,792,300	)			8,496			(0.3	)
United Internet AG (Registered)		(49,973	)		(1,646,416	)			480,918			(18.2	)
Zalando SE		(59,351	)		(2,627,864	)			(660,582	)		25.1
Italy
Banca Generali SpA		(63,010	)		(1,814,345	)			(35,677	)		1.4
Ferrari NV		(22,683	)		(3,677,813	)			(927,109	)		35.2
Prysmian SpA		(49,558	)		(1,023,954	)			(37,948	)		1.4
Recordati SpA		(34,925	)		(1,455,684	)			(59,249	)		2.2
Unione di Banche Italiane SpA		(439,785	)		(1,200,722	)			307,343			(11.7	)
Spain
Luxembourg
Tenaris SA		(142,490	)		(1,868,869	)			290,484			(11.0	)
Netherlands
Koninklijke Vopak NV		(73,201	)		(3,370,956	)			(577,886	)		21.9
SBM Offshore NV		(74,835	)		(1,444,653	)			(282,687	)		10.7
Bankia SA		(609,087	)		(1,438,661	)			1,064,360			(40.4	)
Cellnex Telecom SA		(160,017	)		(5,919,584	)			(2,249,263	)		85.3

The accompanying notes are an integral part of these financial statements. (Continued)

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151

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-13.50% to 0.70%), which is denominated in JPY based on the local currencies of the positions within the swap.	19-36 months maturity 01/14/2021		$331,543,424		$(9,700,011	)		$(1,750,599	)		$(11,450,610	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Japan
Aisin Seiki Co. Ltd.		62,100		$	2,142,150		$	(661,391	)		5.8	%
Alfresa Holdings Corp.		127,400			3,150,743			356,873			(3.1	)
Hankyu Hanshin Holdings, Inc.		67,200			2,411,288			(25,374	)		0.2
Hikari Tsushin, Inc.		19,600			4,281,944			1,401,387			(12.2	)
Hitachi Ltd.		87,800			3,230,400			2,077,919			(18.1	)
Japan Airlines Co. Ltd.		87,900			2,805,393			(579,466	)		5.1
Kajima Corp.		177,548			2,442,078			719,960			(6.3	)
Kamigumi Co. Ltd.		144,800			3,433,744			299,458			(2.6	)
Lion Corp.		140,000			2,611,740			(85,631	)		0.7
Marubeni Corp.		340,500			2,260,157			(316,256	)		2.8
Mazda Motor Corp.		234,900			2,431,545			(179,076	)		1.6
Nippon Express Co. Ltd.		52,100			2,776,929			(511,649	)		4.5
Obayashi Corp.		289,525			2,860,132			(226,191	)		2.0
Resona Holdings, Inc.		672,900			2,807,063			(899,027	)		7.9
Shimadzu Corp.		117,000			2,880,317			(153,337	)		1.3
Sojitz Corp.		1,347,500			4,336,498			(737,433	)		6.4
Sony Corp.		52,400			2,753,619			(98,494	)		0.9
Stanley Electric Co. Ltd.		96,300			2,374,473			(1,138,533	)		9.9
Suzuken Co. Ltd.		36,430			2,140,754			596,936			(5.2	)
Taiheiyo Cement Corp.		72,600			2,204,187			(366,309	)		3.2
Taisei Corp.		72,307			2,633,894			(754,306	)		6.6
Toyo Suisan Kaisha Ltd.		52,900			2,180,483			159,476			(1.4	)
Toyota Boshoku Corp.		156,400			2,056,403			(1,069,914	)		9.3
Short Positions
Common Stock
Japan
Asahi Intecc Co. Ltd.		(102,166	)		(2,525,453	)		(223,275	)		1.9
Asics Corp.		(194,100	)		(2,107,953	)		963,211			(8.4	)
Calbee, Inc.		(139,100	)		(3,756,801	)		843,804			(7.4	)
Casio Computer Co. Ltd.		(258,200	)		(3,219,237	)		405,171			(3.5	)
Chugoku Electric Power Co., Inc. (The)		(187,400	)		(2,363,256	)		(281,950	)		2.5
Coca-Cola Bottlers Japan Holdings, Inc.		(104,600	)		(2,653,088	)		438,629			(3.8	)
DeNA Co. Ltd.		(108,019	)		(2,071,003	)		(160,234	)		1.4
Hirose Electric Co. Ltd.		(21,300	)		(2,383,428	)		(132,640	)		1.2
Hitachi Chemical Co. Ltd.		(82,733	)		(2,254,947	)		(567,908	)		5.0

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Hitachi Metals Ltd.		(197,300	)	$	(2,237,318	)	$	72,716			(0.6	) %
Japan Airport Terminal Co. Ltd.		(56,800	)		(2,429,273	)		(197,926	)		1.7
Kakaku.com, Inc.		(141,600	)		(2,738,609	)		(346,212	)		3.0
Kansai Paint Co. Ltd.		(272,700	)		(5,731,088	)		337,487			(2.9	)
Kikkoman Corp.		(49,184	)		(2,144,733	)		(155,323	)		1.4
M3, Inc.		(259,114	)		(4,754,965	)		(2,138,263	)		18.7
MISUMI Group, Inc.		(89,500	)		(2,256,013	)		(188,530	)		1.6
NGK Spark Plug Co. Ltd.		(212,200	)		(3,992,199	)		977,780			(8.5	)
Nippon Paint Holdings Co. Ltd.		(147,400	)		(5,738,383	)		(927,267	)		8.1
Ricoh Co. Ltd.		(310,300	)		(3,104,301	)		29,725			(0.3	)
Sawai Pharmaceutical Co. Ltd.		(51,100	)		(2,765,835	)		(417,869	)		3.6
Seven Bank Ltd.		(891,600	)		(2,336,612	)		635,212			(5.5	)
Shimano, Inc.		(26,100	)		(3,889,171	)		(212,382	)		1.9
Sony Financial Holdings, Inc.		(101,000	)		(2,430,586	)		(531,097	)		4.6
Sumitomo Metal Mining Co. Ltd.		(91,000	)		(2,727,867	)		844,297			(7.4	)
Tsuruha Holdings, Inc.		(30,600	)		(2,837,948	)		400,901			(3.5	)
Yaskawa Electric Corp.		(91,700	)		(3,135,864	)		(422,661	)		3.7
ZOZO, Inc.		(147,300	)		(2,764,373	)		179,152			(1.6	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread(-0.70% to 0.70%), which is denominated in NOK based on the local currencies of the positions within the swap.	19-36 months maturity 01/14/2021		$8,530,867		$(585,555	)		$(75,062	)		$(660,617	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Norway
Equinor ASA		37,563		$	745,152		$	(134,088	)		20.3	%
Gjensidige Forsikring ASA		6,057			122,080			(1,085	)		0.2
Leroy Seafood Group ASA		244,650			1,620,786			(25,637	)		3.9
Norsk Hydro ASA		132,675			475,208			(35,794	)		5.4
Salmar ASA		26,622			1,158,929			49,525			(7.5	)
Telenor ASA		20,261			430,469			(15,770	)		2.4
Yara International ASA		955			46,395			1,548			(0.2	)
Short Positions
Common Stock
France
Adevinta ASA		(29,575	)		(328,671	)		(327,559	)		49.6

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

153

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Norway
Mowi ASA		(67,894	)	$	(1,588,646	)	$	(69,136	)		10.5	%
Orkla ASA		(12,623	)		(112,028	)		(89	)		0.0
Schibsted ASA		(38,925	)		(1,075,178	)		(90,111	)		13.6
United Kingdom
Subsea 7 SA		(68,422	)		(827,325	)		62,641			(9.5	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread(-1.90% to 0.70%), which is denominated in SEK based on the local currencies of the positions within the swap.	19-36 months maturity 01/14/2021		$11,186,075		$(718,498	)		$(359,771	)		$(1,078,269	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Malta
Kindred Group plc		106,402		$	903,290		$	(433,531	)		40.2	%
Sweden
AAK AB		3,475			65,900			588			(0.1	)
Boliden AB		23,225			595,116			20,190			(1.9	)
Electrolux AB		18,646			477,963			15,775			(1.5	)
Elekta AB		4,697			68,279			14,863			(1.4	)
Essity AB		5,944			182,858			1,146			(0.1	)
Fingerprint Cards AB		145,734			258,359			17,394			(1.6	)
Getinge AB		29,689			468,176			12,085			(1.1	)
Skanska AB		11,874			214,551			10,037			(0.9	)
SKF AB		1,940			35,714			2,482			(0.2	)
SSAB AB		45,709			159,600			(32,780	)		3.0
Swedish Match AB		21,115			892,706			(167,723	)		15.6
Swedish Orphan Biovitrum AB		39,839			768,817			(151,760	)		14.1
Telefonaktiebolaget LM Ericsson		129,400			1,228,229			42,725			(4.0	)
Volvo AB		4,484			71,249			(507	)		0.0
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(16,358	)		(920,817	)		53,384			(5.0	)
Finland
Nordea Bank Abp		(18,762	)		(136,234	)		4,494			(0.4	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

154

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Sweden
Assa Abloy AB		(3,190	)	$	(71,975	)	$	(3,418	)		0.3	%
Epiroc AB		(28,917	)		(301,296	)		(33,061	)		3.1
Hennes & Mauritz AB		(42,130	)		(748,487	)		(117,217	)		10.9
Hexpol AB		(38,957	)		(317,796	)		(14,126	)		1.3
Husqvarna AB		(97,548	)		(913,494	)		(120,214	)		11.1
Modern Times Group MTG AB		(3,608	)		(40,455	)		36,863			(3.4	)
Svenska Handelsbanken AB		(84,669	)		(835,572	)		118,649			(11.0	)
Swedbank AB		(19,541	)		(294,177	)		9,386			(0.9	)
Tele2 AB		(11,268	)		(164,571	)		(4,195	)		0.4
Telia Co. AB		(11,367	)		(50,394	)		(27	)		0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
JPMC	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-9.50% to 1.40%), which is denominated in USD based on the local currencies of the positions within the swap.	19-36 months maturity 01/14/2021		$959,173,461		$(11,831,828	)		$(6,100,834	)		$(17,932,662	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
American Electric Power Co., Inc.		54,308	$	4,779,647	$	150,310			(0.8	)%
Armstrong World Industries, Inc.		59,946		5,826,751		2,072,861			(11.6	)
Boston Scientific Corp.		149,838		6,440,037		1,031,803			(5.8	)
CDW Corp.		34,278		3,804,858		749,455			(4.2	)
Clean Harbors, Inc.		79,873		5,678,970		817,039			(4.6	)
Curtiss-Wright Corp.		32,512		4,133,251		10,369			(0.1	)
Deckers Outdoor Corp.		23,026		4,051,885		1,788,856			(10.0	)
EMCOR Group, Inc.		44,594		3,928,731		516,523			(2.9	)
Exelon Corp.		201,657		9,667,437		1,081,386			(6.0	)
Graham Holdings Co.		5,206		3,592,296		424,483			(2.4	)
ITT, Inc.		81,399		5,330,007		1,107,392			(6.2	)
Jabil, Inc.		206,073		6,511,907		906,354			(5.1	)
NorthWestern Corp.		108,573		7,833,542		2,199,495			(12.3	)
Oshkosh Corp.		59,843		4,996,292		426,243			(2.4	)
PNM Resources, Inc.		96,887		4,932,517		1,257,843			(7.0	)
Popular, Inc.		174,869		9,484,895		1,977,211			(11.0	)
Signature Bank		31,737		3,835,099		(53,348	)		0.3
Spirit AeroSystems Holdings, Inc.		55,350		4,503,830		(705,402	)		3.9
Tech Data Corp.		39,400		4,121,240		748,605			(4.2	)
TEGNA, Inc.		252,075		3,818,936		654,859			(3.7	)
Teledyne Technologies, Inc.		16,041		4,393,149		871,840			(4.9	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

155

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
United States
Acadia Healthcare Co., Inc.		(145,394	)	$	(5,081,520	)	$	98,818			(0.6	) %
Alliant Energy Corp.		(105,743	)		(5,189,866	)		(500,493	)		2.8
BWX Technologies, Inc.		(134,921	)		(7,029,384	)		(895,872	)		5.0
Choice Hotels International, Inc.		(46,818	)		(4,073,634	)		(459,925	)		2.6
Cognex Corp.		(121,586	)		(5,833,696	)		(167,600	)		0.9
Copart, Inc.		(75,413	)		(5,636,368	)		(1,780,236	)		9.9
Dominion Energy, Inc.		(68,582	)		(5,302,760	)		(159,690	)		0.9
First Republic Bank		(72,319	)		(7,061,950	)		(180,638	)		1.0
FirstEnergy Corp.		(108,481	)		(4,644,072	)		(145,651	)		0.8
Healthcare Services Group, Inc.		(136,073	)		(4,125,733	)		1,237,311			(6.9	)
HEICO Corp.		(44,725	)		(5,984,652	)		(5,984,652	)		33.4
Insulet Corp.		(64,083	)		(7,650,229	)		(2,527,551	)		14.1
IPG Photonics Corp.		(24,516	)		(3,781,593	)		(406,558	)		2.3
Liberty Broadband Corp.		(56,997	)		(5,940,227	)		(1,751,638	)		9.8
Manhattan Associates, Inc.		(62,965	)		(4,365,363	)		(1,463,246	)		8.2
MarketAxess Holdings, Inc.		(25,459	)		(8,183,032	)		(2,918,298	)		16.3
McDermott International, Inc.		(461,797	)		(4,460,959	)		(1,177,582	)		6.6
Meredith Corp.		(79,489	)		(4,376,664	)		(292,197	)		1.6
Middleby Corp. (The)		(62,976	)		(8,545,843	)		(1,904,474	)		10.6
NextEra Energy, Inc.		(37,619	)		(7,706,628	)		(456,831	)		2.5
NiSource, Inc.		(211,691	)		(6,096,701	)		(618,233	)		3.4
PPL Corp.		(219,213	)		(6,797,795	)		(844,006	)		4.7
Premier, Inc.		(124,533	)		(4,870,486	)		(909,379	)		5.1
Sempra Energy		(29,094	)		(3,998,679	)		(654,391	)		3.6
Sirius XM Holdings, Inc.		(699,367	)		(3,902,468	)		228,328			(1.3	)
TransDigm Group, Inc.		(10,675	)		(5,164,565	)		(1,430,182	)		8.0
Wabtec Corp.		(74,981	)		(5,380,637	)		(34,286	)		0.2
Welbilt, Inc.		(238,156	)		(3,977,205	)		494,857			(2.8	)
Western Alliance Bancorp		(80,217	)		(3,587,304	)		994,863			(5.5	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

156

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BANA
Cash		$(180,000	)		$—		$(180,000	)
Investment Companies		240,171			—		240,171
BARC
Cash		—			12,262,793		12,262,793
CITG
Cash		—			4,356,286		4,356,286
CITI
Investment Companies		4,449,519			—		4,449,519
DTBK
Cash		15,783,978			—		15,783,978
GSCO
Cash		—			3,186,704		3,186,704
GSIN
Investment Companies		59,478,967			—		59,478,967
JPMC
Cash		(760,000	)		—		(760,000	)
Investment Companies		176,593,750			—		176,593,750
JPMS
Cash		—			1,472,796		1,472,796
MLIN
Cash		(320,000	)		—		(320,000	)
MSCL
Cash		—			719,237		719,237
MSCS
Cash		1,721,844			—		1,721,844

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$2,353,607		$—		$2,353,607
GSCO
Cash		—		35,927		35,927
GSIN
U.S. Treasury Bills		631,965		—		631,965
JPPC
Cash		—		1,018,758		1,018,758
MLIN
Cash		2,359,242		—		2,359,242
MSCL
Cash		—		729,852		729,852
U.S. Treasury Bills		—		2,980,548		2,980,548
SOCG
Cash		907,456		—		907,456

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

157

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 92.0%
INVESTMENT COMPANIES - 51.4%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(a)(b)		3,316,731	$	3,316,731
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (1)(a)(b)		1,001,828		1,001,828
Limited Purpose Cash Investment Fund, 2.36% (1)(a)		120,465,252		120,489,346
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(a)		3,082,368		3,082,368
TOTAL INVESTMENT COMPANIES (Cost $127,843,622)				127,890,273
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 40.6%
U.S. Treasury Bills
2.50%, 7/11/2019 (c)	$	2,462,000		2,460,682
2.49%, 7/18/2019 (c)		6,658,000		6,651,551
2.48%, 7/25/2019 (c)		2,030,000		2,027,361
2.48%, 8/1/2019 (c)		1,013,000		1,011,247
2.47%, 8/8/2019 (b)(c)		27,121,000		27,061,991
2.48%, 8/15/2019 (b)(c)		605,000		603,417
2.49%, 8/22/2019 (c)		3,306,000		3,295,977
2.49%, 8/29/2019 (c)		6,189,000		6,167,699
2.42%, 10/10/2019 (c)		1,183,000		1,176,047
2.43%, 10/24/2019 (c)		8,441,000		8,387,375
2.42%, 10/31/2019 (c)		7,057,000		7,008,631
2.38%, 11/7/2019 (c)		6,548,000		6,499,606
2.38%, 11/14/2019 (c)		6,548,000		6,497,166

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 40.6% (continued)
2.35%, 11/29/2019 (c)	$	2,854,000	$	2,829,280
2.28%, 12/5/2019 (c)		4,051,000		4,015,445
2.16%, 12/12/2019 (b)(c)		11,651,000		11,542,922
2.15%, 12/19/2019 (c)		894,000		885,332
2.05%, 12/26/2019 (c)		3,068,000		3,036,940
TOTAL U.S. TREASURY OBLIGATIONS (Cost $101,091,295)				101,158,669
TOTALSHORT-TERM INVESTMENTS (Cost $228,934,917)				229,048,942
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 92.0% (Cost $228,934,917)				229,048,942
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.0% (d)			20,047,510
NET ASSETS - 100.0%			$	249,096,452

(a) Represents 7-day effective yield as of June 30, 2019.

(b) All or a portion of the security pledged as collateral for swap contracts.

(c) The rate shown was the effective yield at the date of purchase.

(d) Includes appreciation/(depreciation) on futures contracts 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).

Total return swap contracts outstanding as of June 30, 2019:

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)
Cocoa September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/02/2019	USD		72,750		$650
Cocoa September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/02/2019	USD		242,500		2,205
Coffee ‘C’ September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/09/2019	USD		2,134,275		147,769
Coffee ‘C’ September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/09/2019	USD		944,006		55,831
Corn September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/23/2019	USD		2,845,825		354,177

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

158

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/15/2019

USD

(1,182,440

)

$ 193,108

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

07/15/2019

USD

(894,040

)

147,421

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

07/15/2019

USD

(605,640

)

102,712

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

13,660,400

1,000,250

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/25/2019

USD

2,261,350

97,861

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/25/2019

USD

2,353,650

162,797

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/25/2019

USD

31,474,300

2,167,409

4,432,190

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/02/2019

USD

218,250

(62

)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(18,221,775

)

(2,496,243

)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(2,845,825

)

(396,160

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

12,084,138

(123,711

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/08/2019

USD

165,200

(10,285

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/08/2019

USD

3,469,200

(223,503

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

07/15/2019

USD

894,040

(276,344

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/15/2019

USD

1,182,440

(366,792

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

07/15/2019

USD

605,640

(188,089

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/14/2019

USD

942,400

(85,018

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/14/2019

USD

638,400

(59,607

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

159

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/14/2019

USD

1,246,400

$ (110,240

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

8,514,960

(505,889

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/02/2019

USD

375,660

(20,232

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

2,170,480

(130,072

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

10/25/2019

USD

(2,353,650

)

(118,240

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/25/2019

USD

(969,150

)

(75,737

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

10/25/2019

USD

(5,307,250

)

(42,677

)

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(4,617,470

)

(253,169

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

7,317,054

(13,962

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/23/2019

USD

1,898,100

(29,497

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

5,377,950

(80,840

)

(5,606,369

)

$(1,174,179

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
LME Aluminum Base Metal		5		7/2019	USD		$222,460		$(14,308	)
LME Aluminum Base Metal		14		7/2019	USD		622,738		(39,043	)
LME Copper Base Metal		2		7/2019	USD		299,500		(23,891	)
LME Copper Base Metal		8		7/2019	USD		1,196,570		(99,261	)
LME Copper Base Metal		16		7/2019	USD		2,393,820		(187,339	)
LME Lead Base Metal		9		7/2019	USD		433,274		(2,608	)
LME Lead Base Metal		13		7/2019	USD		623,578		(29,142	)
LME Lead Base Metal		23		7/2019	USD		1,105,208		(18,410	)
LME Nickel Base Metal		6		7/2019	USD		454,378		(20,066	)
LME Nickel Base Metal		22		7/2019	USD		1,667,266		(61,603	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

160

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		2			7/2019	USD		$ 128,175		$ (17,186	)
LME Zinc Base Metal		2			7/2019	USD		127,675		(17,281	)
LME Zinc Base Metal		50			7/2019	USD		3,202,500		(439,321	)
Natural Gas		118			7/2019	USD		2,723,440		(374,422	)
WTI Crude Oil		128			7/2019	USD		7,484,160		650,186
100 oz Gold		768			8/2019	USD		108,572,160		8,999,738
Brent Crude Oil		472			8/2019	USD		30,373,200		1,348,098
Live Cattle		235			8/2019	USD		9,808,900		(513,732	)
LME Aluminum Base Metal		1			8/2019	USD		44,814		(1,814	)
LME Aluminum Base Metal		6			8/2019	USD		268,763		(1,705	)
LME Aluminum Base Metal		8			8/2019	USD		359,350		1,166
LME Aluminum Base Metal		10			8/2019	USD		447,335		(9,157	)
LME Aluminum Base Metal		14			8/2019	USD		627,638		5,296
LME Aluminum Base Metal		23			8/2019	USD		1,030,831		(2,799	)
LME Aluminum Base Metal		34			8/2019	USD		1,526,813		(1,588	)
LME Aluminum Base Metal		38			8/2019	USD		1,702,809		(40,554	)
LME Aluminum Base Metal		123			8/2019	USD		5,508,586		(70,515	)
LME Copper Base Metal		2			8/2019	USD		299,674		(5,757	)
LME Copper Base Metal		7			8/2019	USD		1,049,300		18,023
LME Copper Base Metal		12			8/2019	USD		1,798,434		(16,001	)
LME Copper Base Metal		15			8/2019	USD		2,247,473		(62,009	)
LME Copper Base Metal		26			8/2019	USD		3,897,634		110,857
LME Copper Base Metal		27			8/2019	USD		4,044,573		(147,257	)
LME Lead Base Metal		2	��		8/2019	USD		96,566		6,673
LME Lead Base Metal		3			8/2019	USD		144,766		7,094
LME Lead Base Metal		4			8/2019	USD		193,006		11,996
LME Lead Base Metal		4			8/2019	USD		192,896		5,441
LME Lead Base Metal		10			8/2019	USD		482,750		28,346
LME Lead Base Metal		14			8/2019	USD		675,952		43,110
LME Lead Base Metal		16			8/2019	USD		771,204		22,957
LME Nickel Base Metal		2			8/2019	USD		152,139		9,574
LME Nickel Base Metal		2			8/2019	USD		152,234		7,856
LME Nickel Base Metal		3			8/2019	USD		228,070		8,281
LME Nickel Base Metal		6			8/2019	USD		456,101		23,726
LME Nickel Base Metal		7			8/2019	USD		531,798		25,236
LME Nickel Base Metal		10			8/2019	USD		759,776		51,717
LME Nickel Base Metal		12			8/2019	USD		911,183		34,152
LME Nickel Base Metal		16			8/2019	USD		1,217,760		57,073
LME Zinc Base Metal		2			8/2019	USD		125,530		(4,925	)
LME Zinc Base Metal		3			8/2019	USD		188,025		(5,709	)
LME Zinc Base Metal		4			8/2019	USD		251,700		(22,849	)
LME Zinc Base Metal		7			8/2019	USD		439,845		(22,876	)
LME Zinc Base Metal		9			8/2019	USD		563,108		(7,294	)
LME Zinc Base Metal		11			8/2019	USD		688,394		(2,851	)
LME Zinc Base Metal		23			8/2019	USD		1,438,949		(20,994	)
Natural Gas		82			8/2019	USD		1,871,240		(9,836	)
NY Harbor ULSD		26			8/2019	USD		2,126,342		130,645
WTI Crude Oil		61			8/2019	USD		3,569,720		(53,671	)
Cocoa		82			9/2019	USD		1,988,500		(26,792	)
Coffee ’C’		321			9/2019	USD		13,175,044		801,874
Corn		576			9/2019	USD		12,232,800		1,376,605
LME Aluminum Base Metal		32			9/2019	USD		1,439,000		6,506
LME Aluminum Base Metal		47			9/2019	USD		2,115,000		(9,237	)
LME Aluminum Base Metal		49			9/2019	USD		2,206,531		16,990
LME Aluminum Base Metal		49			9/2019	USD		2,203,469		1,478
LME Aluminum Base Metal		196			9/2019	USD		8,820,000		119,692

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

161

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		434			9/2019	USD		$ 19,532,713			$ (91,364	)
LME Copper Base Metal		2			9/2019	USD		299,890			8,371
LME Copper Base Metal		8			9/2019	USD		1,198,700			(302	)
LME Copper Base Metal		9			9/2019	USD		1,349,642			38,541
LME Copper Base Metal		15			9/2019	USD		2,247,375			706
LME Copper Base Metal		74			9/2019	USD		11,096,189			321,571
LME Copper Base Metal		291			9/2019	USD		43,620,900			(3,426,535	)
LME Lead Base Metal		5			9/2019	USD		241,433			16,793
LME Lead Base Metal		9			9/2019	USD		434,603			3,702
LME Lead Base Metal		58			9/2019	USD		2,801,139			51,504
LME Lead Base Metal		169			9/2019	USD		8,162,700			(78,486	)
LME Nickel Base Metal		2			9/2019	USD		152,328			11,458
LME Nickel Base Metal		10			9/2019	USD		761,438			46,088
LME Nickel Base Metal		13			9/2019	USD		990,054			29,056
LME Nickel Base Metal		253			9/2019	USD		19,286,190			(811,007	)
LME Zinc Base Metal		4			9/2019	USD		249,500			1,413
LME Zinc Base Metal		5			9/2019	USD		312,644			1,099
LME Zinc Base Metal		8			9/2019	USD		500,360			(1,064	)
LME Zinc Base Metal		8			9/2019	USD		500,468			5,944
LME Zinc Base Metal		17			9/2019	USD		1,062,198			4,178
LME Zinc Base Metal		187			9/2019	USD		11,692,175			(1,411,067	)
Low Sulphur Gasoil		323			9/2019	USD		19,396,150			206,768
Silver		485			9/2019	USD		37,201,925			524,356
Sugar No. 11		1,435			9/2019	USD		20,282,864			(124,391	)
Wheat		448			9/2019	USD		11,810,400			(242,387	)
Soybean		8			11/2019	USD		369,200			11,528
Soybean Meal		143			12/2019	USD		4,617,470			200,396
Soybean Oil		127			12/2019	USD		2,196,846			12,671
											6,836,123
Short Contracts
LME Aluminum Base Metal		(5	)		7/2019	USD		(222,460	)		13,965
LME Aluminum Base Metal		(14	)		7/2019	USD		(622,738	)		41,178
LME Copper Base Metal		(2	)		7/2019	USD		(299,500	)		23,694
LME Copper Base Metal		(8	)		7/2019	USD		(1,196,570	)		99,406
LME Copper Base Metal		(16	)		7/2019	USD		(2,393,820	)		193,033
LME Lead Base Metal		(9	)		7/2019	USD		(433,274	)		1,404
LME Lead Base Metal		(13	)		7/2019	USD		(623,578	)		27,977
LME Lead Base Metal		(23	)		7/2019	USD		(1,105,208	)		16,538
LME Nickel Base Metal		(6	)		7/2019	USD		(454,378	)		17,345
LME Nickel Base Metal		(22	)		7/2019	USD		(1,667,266	)		54,523
LME Zinc Base Metal		(2	)		7/2019	USD		(128,175	)		16,670
LME Zinc Base Metal		(2	)		7/2019	USD		(127,675	)		16,607
LME Zinc Base Metal		(50	)		7/2019	USD		(3,202,500	)		468,603
Lean Hogs		(8	)		8/2019	USD		(243,200	)		15,993
LME Aluminum Base Metal		(1	)		8/2019	USD		(44,814	)		1,760
LME Aluminum Base Metal		(6	)		8/2019	USD		(268,763	)		856
LME Aluminum Base Metal		(8	)		8/2019	USD		(359,350	)		(1,374	)
LME Aluminum Base Metal		(10	)		8/2019	USD		(447,335	)		8,261
LME Aluminum Base Metal		(14	)		8/2019	USD		(627,638	)		(5,415	)
LME Aluminum Base Metal		(23	)		8/2019	USD		(1,030,831	)		2,517
LME Aluminum Base Metal		(34	)		8/2019	USD		(1,526,813	)		3,272
LME Aluminum Base Metal		(38	)		8/2019	USD		(1,702,809	)		41,913
LME Aluminum Base Metal		(123	)		8/2019	USD		(5,508,586	)		55,717
LME Copper Base Metal		(2	)		8/2019	USD		(299,674	)		6,170
LME Copper Base Metal		(7	)		8/2019	USD		(1,049,300	)		(16,723	)
LME Copper Base Metal		(12	)		8/2019	USD		(1,798,434	)		16,098

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

162

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(15	)		8/2019	USD		$ (2,247,473	)		$ 60,526
LME Copper Base Metal		(26	)		8/2019	USD		(3,897,634	)		(106,269	)
LME Copper Base Metal		(27	)		8/2019	USD		(4,044,573	)		132,299
LME Lead Base Metal		(2	)		8/2019	USD		(96,566	)		(6,552	)
LME Lead Base Metal		(3	)		8/2019	USD		(144,766	)		(6,981	)
LME Lead Base Metal		(4	)		8/2019	USD		(192,896	)		(5,658	)
LME Lead Base Metal		(4	)		8/2019	USD		(193,006	)		(12,236	)
LME Lead Base Metal		(10	)		8/2019	USD		(482,750	)		(29,705	)
LME Lead Base Metal		(14	)		8/2019	USD		(675,952	)		(42,131	)
LME Lead Base Metal		(16	)		8/2019	USD		(771,204	)		(23,475	)
LME Nickel Base Metal		(2	)		8/2019	USD		(152,139	)		(9,817	)
LME Nickel Base Metal		(2	)		8/2019	USD		(152,234	)		(7,685	)
LME Nickel Base Metal		(3	)		8/2019	USD		(228,070	)		(8,669	)
LME Nickel Base Metal		(6	)		8/2019	USD		(456,101	)		(24,303	)
LME Nickel Base Metal		(7	)		8/2019	USD		(531,798	)		(27,278	)
LME Nickel Base Metal		(10	)		8/2019	USD		(759,776	)		(52,932	)
LME Nickel Base Metal		(12	)		8/2019	USD		(911,183	)		(34,687	)
LME Nickel Base Metal		(16	)		8/2019	USD		(1,217,760	)		(58,359	)
LME Zinc Base Metal		(2	)		8/2019	USD		(125,530	)		5,259
LME Zinc Base Metal		(3	)		8/2019	USD		(188,025	)		5,112
LME Zinc Base Metal		(4	)		8/2019	USD		(251,700	)		23,190
LME Zinc Base Metal		(7	)		8/2019	USD		(439,845	)		25,766
LME Zinc Base Metal		(9	)		8/2019	USD		(563,108	)		7,864
LME Zinc Base Metal		(11	)		8/2019	USD		(688,394	)		3,300
LME Zinc Base Metal		(23	)		8/2019	USD		(1,438,949	)		25,287
LME Aluminum Base Metal		(32	)		9/2019	USD		(1,439,000	)		(9,054	)
LME Aluminum Base Metal		(47	)		9/2019	USD		(2,115,000	)		16,311
LME Aluminum Base Metal		(49	)		9/2019	USD		(2,203,469	)		(1,023	)
LME Aluminum Base Metal		(49	)		9/2019	USD		(2,206,531	)		(18,826	)
LME Aluminum Base Metal		(196	)		9/2019	USD		(8,820,000	)		(130,428	)
LME Aluminum Base Metal		(271	)		9/2019	USD		(12,196,694	)		114,828
LME Copper Base Metal		(2	)		9/2019	USD		(299,890	)		(8,008	)
LME Copper Base Metal		(8	)		9/2019	USD		(1,198,700	)		(1,351	)
LME Copper Base Metal		(9	)		9/2019	USD		(1,349,642	)		(39,215	)
LME Copper Base Metal		(15	)		9/2019	USD		(2,247,375	)		(4,504	)
LME Copper Base Metal		(74	)		9/2019	USD		(11,096,189	)		(287,820	)
LME Copper Base Metal		(195	)		9/2019	USD		(29,230,500	)		(267,031	)
LME Lead Base Metal		(5	)		9/2019	USD		(241,433	)		(16,114	)
LME Lead Base Metal		(9	)		9/2019	USD		(434,603	)		(6,264	)
LME Lead Base Metal		(58	)		9/2019	USD		(2,801,139	)		(59,360	)
LME Lead Base Metal		(86	)		9/2019	USD		(4,153,800	)		(126,664	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,328	)		(11,274	)
LME Nickel Base Metal		(10	)		9/2019	USD		(761,438	)		(46,717	)
LME Nickel Base Metal		(13	)		9/2019	USD		(990,054	)		(28,974	)
LME Nickel Base Metal		(103	)		9/2019	USD		(7,851,690	)		(238,293	)
LME Zinc Base Metal		(4	)		9/2019	USD		(249,500	)		(1,077	)
LME Zinc Base Metal		(5	)		9/2019	USD		(312,644	)		(1,409	)
LME Zinc Base Metal		(8	)		9/2019	USD		(500,360	)		416
LME Zinc Base Metal		(8	)		9/2019	USD		(500,468	)		(4,929	)
LME Zinc Base Metal		(17	)		9/2019	USD		(1,062,198	)		(1,023	)
LME Zinc Base Metal		(73	)		9/2019	USD		(4,564,325	)		55,836
Cotton No. 2		(104	)		12/2019	USD		(3,436,160	)		161,467
											(8,646	)
											$6,827,477

USD - United States Dollar

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

163

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CITI
Investment Companies		$3,316,731		$—			$3,316,731
GSCO
Cash		—		1,078,803			1,078,803
GSIN
Investment Companies		1,001,828		—			1,001,828
JPPC
Cash		—		10,005,001			10,005,001
MACQ
U.S. Treasury Bills		506,352		—			506,352
MSCL
Cash		—		(1,420,238	)		(1,420,238	)
SOCG
Cash		4,745,119		—			4,745,119

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

164

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II HV FUND

INVESTMENTS		PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 25.9%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)		EUR	1,300,332	$	1,557,062
0.10%, 4/15/2026 (a)(b)		EUR	1,160,137		1,448,626
France Government Bond OAT
0.25%, 7/25/2024 (a)(b)		EUR	435,871		535,031
0.10%, 3/1/2025		EUR	415,580		504,598
1.85%, 7/25/2027 (a)(b)		EUR	223,746		318,285
0.10%, 3/1/2028 (a)(b)		EUR	207,444		257,254
0.70%, 7/25/2030 (a)(b)		EUR	209,888		281,690
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024		GBP	1,117,519		1,610,796
0.13%, 3/22/2026		GBP	781,207		1,184,239
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $7,704,925)					7,697,581
U.S. TREASURY OBLIGATIONS - 31.1%
U.S. Treasury Inflation Linked Notes
0.63%, 4/15/2023 (c)		$	2,561,500		2,666,333
0.50%, 4/15/2024 (c)			2,100,000		2,154,369
0.13%, 7/15/2026			495,000		524,119
0.38%, 1/15/2027			500,000		532,567
0.38%, 7/15/2027			680,000		716,932
0.50%, 1/15/2028			610,000		642,244
0.75%, 7/15/2028			920,000		975,805
0.88%, 1/15/2029			950,000		1,011,992
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,058,914)					9,224,361
		SHARES
SHORT-TERM INVESTMENTS - 52.0%
INVESTMENT COMPANIES - 32.1%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(d)(e)			338,898		338,898
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (1)(d)(e)			89,376		89,376
Limited Purpose Cash Investment Fund, 2.36% (1)(d)			9,088,524		9,090,341
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(d)			3,887		3,887
TOTAL INVESTMENT COMPANIES (Cost $9,519,233)					9,522,502
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 19.9%
U.S. Treasury Bills
2.44%, 7/5/2019 (f)		$	302,000		301,935
2.45%, 7/11/2019 (f)			300,000		299,839
2.46%, 7/18/2019 (f)			300,000		299,710
2.47%, 7/25/2019 (f)			302,000		301,607
2.48%, 8/1/2019 (f)			302,000		301,477
2.46%, 8/8/2019 (f)			307,000		306,332
2.46%, 8/15/2019 (f)	��		307,000		306,197

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 19.9% (continued)
2.47%, 8/22/2019 (f)	$	307,000	$	306,069
2.49%, 8/29/2019 (f)		307,000		305,944
2.38%, 10/10/2019 (f)		289,000		287,301
2.37%, 10/17/2019 (f)		289,000		287,225
2.36%, 10/24/2019 (f)		289,000		287,164
2.39%, 10/31/2019 (f)		289,000		287,019
2.38%, 11/7/2019 (f)		289,000		286,864
2.38%, 11/14/2019 (f)		289,000		286,757
2.15%, 12/19/2019 (f)		520,000		514,958
2.05%, 12/26/2019 (f)		935,000		925,534
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,889,126)				5,891,932
TOTALSHORT-TERM INVESTMENTS (Cost $15,408,359)				15,414,434
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 109.0% (Cost $32,172,198)				32,336,376
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.0)% (g)				(2,677,596	)
NET ASSETS - 100.0%			$	29,658,780

(a) Inflation protected security.

(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 June 30, 2019, the value of these securities amounted to $4,397,948 or 14.83% of net assets.

(c) On 6/30/2019, securities valued at $4,820,702 were pledged as collateral for reverse repurchase agreements outstanding.

(d) Represents 7-day effective yield as of June 30, 2019.

(e) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(f) The rate shown was the effective yield at the date of purchase.

(g) Includes appreciation/(depreciation) on forward foreign currency exchange, futures contracts 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).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II HV FUND

Reverse repurchase agreements at June 30, 2019:

Over the Counter

COUNTERPARTY	TRADE DATE	RATE	DUE DATE	CURRENCY		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
CITI	6/13/2019	2.58%	7/11/2019		USD		$2,031,385
CITI	6/28/2019	2.58%	7/11/2019		USD		102,165
MPFS	6/13/2019	2.60%	7/11/2019		USD		2,529,191
MPFS	6/21/2019	2.65%	7/11/2019		USD		103,375
							$4,766,116

The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2019 was $6,614,046 at a net weighted average interest rate of 2.572%

Total return swap contracts outstanding as of June 30, 2019:

Over the Counter

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Hang Seng Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2019

HKD

1,425,250

$2,997

HSCEI July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/30/2019

HKD

7,584,500

10,281

H-Shares Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/30/2019

HKD

1,625,250

2,342

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/14/2019

BRL

1,015,700

7,057

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/11/2019

KRW

487,200,000

10,136

SGX NIFTY 50 Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/25/2019

USD

142,056

586

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/17/2019

TWD

2,115,400

1,583

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/17/2019

TWD

10,577,000

8,047

43,029

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

09/20/2019

CHF

886,770

(1,566

)

(1,566

)

$41,463

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

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Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		1		7/2019	EUR		$127,567		$(577	)
CAC 40 10 Euro Index		10		7/2019	EUR		629,157		4,673
Hang Seng Index		1		7/2019	HKD		182,451		2,188
HSCEI		2		7/2019	HKD		138,702		1,522
LME Aluminum Base Metal		1		7/2019	USD		44,514		(2,365	)
LME Lead Base Metal		1		7/2019	USD		48,024		(2,116	)
LME Zinc Base Metal		1		7/2019	USD		63,944		(8,222	)
MSCI Taiwan Index		2		7/2019	USD		77,300		494
Natural Gas		4		7/2019	USD		92,320		(13,551	)
RBOB Gasoline		2		7/2019	USD		159,314		19,511
SGX NIFTY 50 Index		5		7/2019	USD		118,380		(53	)
WTI Crude Oil		8		7/2019	USD		467,760		51,537
100 oz Gold		20		8/2019	USD		2,827,400		217,010
Brent Crude Oil		24		8/2019	USD		1,544,400		80,113
Lean Hogs		3		8/2019	USD		91,200		(7,705	)
Live Cattle		13		8/2019	USD		542,620		(26,092	)
LME Aluminum Base Metal		1		8/2019	USD		44,794		(284	)
LME Copper Base Metal		1		8/2019	USD		149,799		(5,454	)
Natural Gas		2		8/2019	USD		45,640		(172	)
NY Harbor ULSD		2		8/2019	USD		163,565		10,613
RBOB Gasoline		2		8/2019	USD		155,744		8,500
WTI Crude Oil		9		8/2019	USD		526,680		(7,713	)
Australia 10 Year Bond		13		9/2019	AUD		1,311,044		9,925
Canada 10 Year Bond		14		9/2019	CAD		1,528,021		16,154
Cocoa		4		9/2019	USD		97,000		(1,405	)
Coffee ’C’		6		9/2019	USD		246,263		14,788
Corn		29		9/2019	USD		615,888		16,617
DAX Index		1		9/2019	EUR		352,160		2,402
EURO STOXX 50 Index		42		9/2019	EUR		1,655,299		24,583
Euro-Bund		88		9/2019	EUR		17,285,192		218,094
Feeder Cattle		1		9/2019	USD		68,350		123
FTSE 100 Index		14		9/2019	GBP		1,310,157		5,693
FTSE/JSE Top 40 Index		6		9/2019	ZAR		223,353		(1,626	)
FTSE/MIB Index		4		9/2019	EUR		481,130		2,742
Japan 10 Year Bond Mini		89		9/2019	JPY		12,704,262		34,040
KC HRW Wheat		2		9/2019	USD		46,150		(2,643	)
KOSPI 200 Index		5		9/2019	KRW		301,390		6,867
LME Aluminum Base Metal		1		9/2019	USD		45,000		611
LME Aluminum Base Metal		1		9/2019	USD		44,969		(58	)
LME Aluminum Base Metal		1		9/2019	USD		44,987		537
LME Aluminum Base Metal		2		9/2019	USD		90,067		725
LME Aluminum Base Metal		9		9/2019	USD		405,056		(8,219	)
LME Copper Base Metal		1		9/2019	USD		149,833		1,330
LME Copper Base Metal		6		9/2019	USD		899,400		(69,931	)
LME Lead Base Metal		3		9/2019	USD		144,900		(3,452	)
LME Nickel Base Metal		1		9/2019	USD		76,151		3,428
LME Nickel Base Metal		1		9/2019	USD		76,197		5,274
LME Nickel Base Metal		4		9/2019	USD		304,920		(13,122	)
LME Zinc Base Metal		1		9/2019	USD		62,530		(351	)
LME Zinc Base Metal		5		9/2019	USD		312,625		(34,914	)
Low Sulphur Gasoil		6		9/2019	USD		360,300		2,618

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
Russell 2000E-Mini Index		11			9/2019	USD		$ 861,905			$ 18,536
S&P 500E-Mini Index		64			9/2019	USD		9,421,440			153,138
S&P Midcap 400E-Mini Index		5			9/2019	USD		975,000			19,470
S&P/TSX 60 Index		3			9/2019	CAD		447,955			1,160
Silver		13			9/2019	USD		997,165			14,938
SPI 200 Index		5			9/2019	AUD		575,593			4,159
Sugar No. 11		32			9/2019	USD		452,301			(3,091	)
TOPIX Index		6			9/2019	JPY		863,145			(962	)
U.S. Treasury 10 Year Note		215			9/2019	USD		27,513,280			561,182
Wheat		25			9/2019	USD		659,063			(1,198	)
Soybean		4			11/2019	USD		184,600			10,048
Soybean Oil		14			12/2019	USD		242,172			461
											1,330,528
Short Contracts
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,514	)		2,409
LME Lead Base Metal		(1	)		7/2019	USD		(48,024	)		2,273
LME Zinc Base Metal		(1	)		7/2019	USD		(63,944	)		7,678
LME Aluminum Base Metal		(1	)		8/2019	USD		(44,794	)		143
LME Copper Base Metal		(1	)		8/2019	USD		(149,799	)		4,900
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,969	)		78
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,000	)		(665	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,987	)		(664	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(45,006	)		316
LME Aluminum Base Metal		(2	)		9/2019	USD		(90,067	)		(772	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,833	)		(1,141	)
LME Copper Base Metal		(2	)		9/2019	USD		(299,800	)		4,163
LME Nickel Base Metal		(1	)		9/2019	USD		(76,151	)		(3,533	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,197	)		(5,101	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,460	)		(8,817	)
LME Zinc Base Metal		(1	)		9/2019	USD		(62,530	)		292
											1,559
											$1,332,087

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II HV FUND

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
BRL	4,992	USD	1,262	CITI**		9/18/2019		$28
BRL	5,008	USD	1,266	JPMC**		9/18/2019		28
EUR	2,284,576	USD	2,582,390	CITI		9/18/2019		31,747
EUR	2,284,587	USD	2,582,383	JPMC		9/18/2019		31,767
GBP	616,416	USD	783,755	CITI		9/18/2019		1,852
GBP	616,407	USD	783,745	JPMC		9/18/2019		1,851
HKD	420,994	USD	53,741	CITI		9/18/2019		171
HKD	421,006	USD	53,743	JPMC		9/18/2019		171
USD	1,225,956	GBP	959,344	CITI		9/18/2019		3,298
USD	1,225,775	GBP	959,338	JPMC		9/18/2019		3,124
Total unrealized appreciation								74,037
GBP	463,050	USD	591,507	CITI		9/18/2019		(1,363	)
GBP	463,044	USD	591,500	JPMC		9/18/2019		(1,364	)
USD	3,524	CHF	3,490	CITI		9/18/2019		(77	)
USD	3,544	CHF	3,510	JPMC		9/18/2019		(77	)
USD	4,984,097	EUR	4,410,454	CITI		9/18/2019		(62,587	)
USD	4,984,103	EUR	4,410,465	JPMC		9/18/2019		(62,593	)
USD	1,557,748	GBP	1,225,792	CITI		9/18/2019		(4,493	)
USD	1,557,730	GBP	1,225,779	JPMC		9/18/2019		(4,494	)
USD	67,667	HKD	530,000	CITI		9/18/2019		(204	)
USD	67,667	HKD	530,000	JPMC		9/18/2019		(204	)
Total unrealized depreciation								(137,456	)
Net unrealized depreciation							$	(63,419	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II HV FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$795,778			$795,778
CITI
Cash		(60,000	)		—			(60,000	)
Investment Companies		86,376			—			86,376
U.S. Treasury Inflation Linked Notes		2,154,369			—			2,154,369
GSCO
Cash		—			85,362			85,362
GSIN
Investment Companies		89,376			—			89,376
JPMS
Cash		—			37,569			37,569
JPMC
Investment Companies		252,518			—			252,518
MPFS
U.S. Treasury Inflation Linked Notes		2,666,333			—			2,666,333
MLIN
Cash		(100,000	)		—			(100,000	)
MSCL
Cash		—			(305,976	)		(305,976	)

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
GSCO
Cash		$—		$17,426		$17,426
JPPC
Cash		—		264,374		264,374
MSCL
Cash		—		41,606		41,606

The accompanying notes are an integral part of these financial statements.

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

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INVESTMENTS	PRINCIPAL AMOUNT		VALUE
FOREIGN GOVERNMENT SECURITIES - 16.8%
Deutsche Bundesrepublik Inflation Linked Bond
0.10%, 4/15/2023 (a)(b)	EUR	3,034,108	$	3,633,145
0.10%, 4/15/2026 (a)(b)	EUR	2,847,609		3,555,717
France Government Bond OAT
0.25%, 7/25/2024 (a)(b)	EUR	1,073,731		1,318,004
0.10%, 3/1/2025	EUR	1,038,950		1,261,495
1.85%, 7/25/2027 (a)(b)	EUR	671,238		954,856
0.10%, 3/1/2028 (a)(b)	EUR	518,610		643,135
0.70%, 7/25/2030 (a)(b)	EUR	419,776		563,380
United Kingdom Index Linked Treasury Gilt
0.13%, 3/22/2024	GBP	2,615,470		3,769,949
0.13%, 3/22/2026	GBP	1,785,616		2,706,831
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $18,524,282)				18,406,512
U.S. TREASURY OBLIGATIONS - 20.1%
U.S. Treasury Inflation Linked Notes
0.63%, 4/15/2023 (c)	$	6,178,600		6,431,467
0.50%, 4/15/2024 (c)		5,000,000		5,129,450
0.13%, 7/15/2026		1,145,000		1,212,357
0.38%, 1/15/2027		1,100,000		1,171,648
0.38%, 7/15/2027 (c)		1,550,000		1,634,182
0.50%, 1/15/2028 (c)		1,500,000		1,579,289
0.75%, 7/15/2028		2,370,000		2,513,757
0.88%, 1/15/2029		2,195,000		2,338,235
TOTAL U.S. TREASURY OBLIGATIONS (Cost $21,657,078)				22,010,385
		SHARES
SHORT-TERM INVESTMENTS - 59.1%
INVESTMENT COMPANIES - 37.4%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(d)(e)		1,105,873		1,105,873
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (1)(d)(e)		239,890		239,890
Limited Purpose Cash Investment Fund, 2.36% (1)(d)		39,621,709		39,629,634
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(d)		61,103		61,103
TOTAL INVESTMENT COMPANIES (Cost $41,023,563)				41,036,500
		PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 21.7%
U.S. Treasury Bills
2.45%, 7/11/2019 (f)	$	1,581,000		1,580,154
2.46%, 7/18/2019 (f)		2,570,000		2,567,511
2.48%, 7/25/2019 (f)(g)		3,342,000		3,337,655
2.48%, 8/1/2019 (f)		1,509,000		1,506,388
2.41%, 10/3/2019 (f)		4,875,000		4,848,364
2.36%, 11/7/2019 (f)		1,010,000		1,002,536

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 21.7% (continued)
2.36%, 11/14/2019 (f)	$	1,010,000	$	1,002,159
2.37%, 11/21/2019 (f)		1,010,000		1,001,735
2.35%, 11/29/2019 (f)		275,000		272,618
2.28%, 12/5/2019 (f)		594,000		588,787
2.16%, 12/12/2019 (f)		1,266,000		1,254,256
2.15%, 12/19/2019 (f)		2,256,000		2,234,126
2.05%, 12/26/2019 (f)		2,586,000		2,559,820
TOTAL U.S. TREASURY OBLIGATIONS (Cost $23,744,696)				23,756,109
TOTALSHORT-TERM INVESTMENTS (Cost $64,768,259)				64,792,609
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.0% (Cost $104,949,619)				105,209,506
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.0% (h)				4,338,253
NET ASSETS - 100.0%			$	109,547,759

(a) Inflation protected security.

(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 June 30, 2019, the value of these securities amounted to $10,668,237 or 9.74% of net assets.

(c) All or a portion of the security pledged as collateral for futures contracts.

(d) Represents 7-day effective yield as of June 30, 2019.

(e) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(f) The rate shown was the effective yield at the date of purchase.

(g) All or a portion of the security pledged as collateral for swap contracts.

(h) Includes appreciation/(depreciation) on forward foreign currency exchange, futures contracts 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).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

171

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

Total return swap contracts outstanding as of June 30, 2019:

Over the Counter

REFERENCE ENTITY	PAYMENTS MADE BY FUND	PAYMENTS RECEIVED BY FUND	PAYMENT FREQUENCY	COUNTERPARTY	MATURITY DATE		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Canada 10 Year Bond September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	BANA		09/19/2019	CAD	714,650			$5,772
Coffee ‘C’ September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/09/2019	USD	164,175			11,216
Coffee ‘C’ September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/09/2019	USD	41,044			3,170
Coffee ‘C’ September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	SOCG		08/09/2019	USD	41,044			3,210
Corn September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	CITI		08/23/2019	USD	233,613			31,835
Corn September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MACQ		08/23/2019	USD	42,475			5,829
Cotton No. 2 December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	CITI		11/08/2019	USD	(99,120	)		995
Cotton No. 2 December Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		11/08/2019	USD	(66,080	)		1,325
Hang Seng Index July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2019	HKD	4,275,750			8,191
HSCEI July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	GSIN		07/30/2019	HKD	8,668,000			10,321
HSCEI July Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		07/30/2019	HKD	9,209,750			11,911
iBovespa Index August Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		08/14/2019	BRL	3,047,100			21,817
KOSPI 200 Index September Futures	Decreases in total return of reference entity	Increases in total return of reference entity	At termination	MLIN		09/11/2019	KRW	1,392,000,000			29,152
Lean Hogs July Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	GSIN		07/15/2019	USD	(28,840	)		3,700
Lean Hogs July Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		07/15/2019	USD	(57,680	)		8,619
Lean Hogs July Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	SOCG		07/15/2019	USD	(173,040	)		28,161
Lean Hogs August Futures	Increases in total return of reference entity	Decreases in total return of reference entity	At termination	MACQ		08/14/2019	USD	(30,400	)		15

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

172

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

SGX NIFTY 50 Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/25/2019

USD

307,788

$ 1,349

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

184,600

13,559

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/25/2019

USD

276,900

20,465

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

10/25/2019

USD

369,200

25,500

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

10/25/2019

USD

276,900

19,200

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/22/2019

USD

64,580

3,391

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/22/2019

USD

(64,580

)

1,218

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/22/2019

USD

193,740

10,702

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/22/2019

USD

(193,740

)

2,580

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/17/2019

TWD

12,692,400

9,549

TAIEX Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/17/2019

TWD

6,346,200

4,787

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

289,988

928

298,467

Cocoa September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

24,250

(302

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

11/08/2019

USD

99,120

(2,280

)

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

11/08/2019

USD

66,080

(1,590

)

KC HRW Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

23,075

(775

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

07/15/2019

USD

57,680

(18,595

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

07/15/2019

USD

173,040

(52,919

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

173

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/15/2019

USD

28,840

$ (8,264

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/14/2019

USD

182,400

(16,240

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/14/2019

USD

30,400

(1,920

)

Lean Hogs August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/14/2019

USD

60,800

(4,941

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

41,740

(1,761

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

500,880

(28,673

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

10/25/2019

USD

(276,900

)

(1,766

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/25/2019

USD

(46,150

)

(391

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

10/25/2019

USD

(369,200

)

(11,950

)

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

380,556

(442

)

Sugar No. 11 September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

09/16/2019

USD

28,269

(233

)

Sugar No. 11 September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

09/16/2019

USD

14,134

(252

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

09/20/2019

CHF

1,970,600

(1,392

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/23/2019

USD

105,450

(1,310

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/23/2019

USD

105,450

(1,411

)

(157,407

)

$141,060

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

174

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		1	7/2019	EUR		$127,567		$378
CAC 40 10 Euro Index		20	7/2019	EUR		1,258,315		9,934
Hang Seng Index		2	7/2019	HKD		364,901		4,376
HSCEI		13	7/2019	HKD		901,564		8,011
LME Aluminum Base Metal		1	7/2019	USD		44,508		(2,542	)
LME Aluminum Base Metal		1	7/2019	USD		44,524		(2,119	)
LME Copper Base Metal		1	7/2019	USD		149,614		(11,709	)
LME Zinc Base Metal		1	7/2019	USD		64,050		(8,786	)
MSCI Taiwan Index		14	7/2019	USD		541,100		1,942
Natural Gas		8	7/2019	USD		184,640		(24,862	)
RBOB Gasoline		2	7/2019	USD		159,314		19,511
SGX NIFTY 50 Index		12	7/2019	USD		284,112		192
WTI Crude Oil		20	7/2019	USD		1,169,400		127,334
100 oz Gold		47	8/2019	USD		6,644,390		514,709
Brent Crude Oil		58	8/2019	USD		3,732,300		201,908
Live Cattle		19	8/2019	USD		793,060		(29,457	)
LME Aluminum Base Metal		1	8/2019	USD		44,919		166
LME Aluminum Base Metal		2	8/2019	USD		89,588		(568	)
LME Copper Base Metal		1	8/2019	USD		149,864		(989	)
LME Lead Base Metal		1	8/2019	USD		48,283		2,905
LME Nickel Base Metal		1	8/2019	USD		76,023		2,760
LME Zinc Base Metal		1	8/2019	USD		62,563		(940	)
Natural Gas		7	8/2019	USD		159,740		(272	)
NY Harbor ULSD		5	8/2019	USD		408,912		21,473
RBOB Gasoline		7	8/2019	USD		545,105		9,338
WTI Crude Oil		22	8/2019	USD		1,287,440		(18,875	)
Australia 10 Year Bond		33	9/2019	AUD		3,328,036		25,526
Canada 10 Year Bond		29	9/2019	CAD		3,165,187		36,197
Cocoa		9	9/2019	USD		218,250		(3,213	)
Coffee ’C’		7	9/2019	USD		287,306		15,761
Corn		56	9/2019	USD		1,189,300		3,000
DAX Index		2	9/2019	EUR		704,320		8,885
EURO STOXX 50 Index		101	9/2019	EUR		3,980,600		61,663
Euro-Bund		213	9/2019	EUR		41,838,022		532,740
Feeder Cattle		2	9/2019	USD		136,700		(118	)
FTSE 100 Index		32	9/2019	GBP		2,994,644		13,713
FTSE/JSE Top 40 Index		14	9/2019	ZAR		521,156		(3,901	)
FTSE/MIB Index		8	9/2019	EUR		962,259		9,015
Japan 10 Year Bond Mini		218	9/2019	JPY		31,118,305		83,215
KC HRW Wheat		4	9/2019	USD		92,300		(3,653	)
KOSPI 200 Index		10	9/2019	KRW		602,780		14,016
LME Aluminum Base Metal		2	9/2019	USD		89,973		1,073
LME Aluminum Base Metal		2	9/2019	USD		89,938		(116	)
LME Aluminum Base Metal		2	9/2019	USD		90,067		725
LME Aluminum Base Metal		3	9/2019	USD		135,000		1,832
LME Aluminum Base Metal		5	9/2019	USD		225,188		4,834
LME Aluminum Base Metal		23	9/2019	USD		1,035,144		(14,022	)
LME Copper Base Metal		1	9/2019	USD		149,825		47
LME Copper Base Metal		1	9/2019	USD		149,833		1,330
LME Copper Base Metal		1	9/2019	USD		149,956		4,003
LME Copper Base Metal		14	9/2019	USD		2,098,600		(164,416	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

175

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Lead Base Metal		1		9/2019	USD		$ 48,293			$ 1,602
LME Lead Base Metal		1		9/2019	USD		48,289			692
LME Lead Base Metal		1		9/2019	USD		48,295			931
LME Lead Base Metal		7		9/2019	USD		338,100			(1,951	)
LME Nickel Base Metal		1		9/2019	USD		76,158			2,235
LME Nickel Base Metal		1		9/2019	USD		76,197			5,274
LME Nickel Base Metal		1		9/2019	USD		76,164			5,631
LME Nickel Base Metal		10		9/2019	USD		762,300			(32,651	)
LME Zinc Base Metal		1		9/2019	USD		62,482			246
LME Zinc Base Metal		1		9/2019	USD		62,530			(351	)
LME Zinc Base Metal		1		9/2019	USD		62,375			148
LME Zinc Base Metal		2		9/2019	USD		125,090			(231	)
LME Zinc Base Metal		2		9/2019	USD		125,072			1,209
LME Zinc Base Metal		14		9/2019	USD		875,350			(69,739	)
Low Sulphur Gasoil		14		9/2019	USD		840,700			7,307
Russell 2000E-Mini Index		27		9/2019	USD		2,115,585			41,592
S&P 500E-Mini Index		155		9/2019	USD		22,817,550			375,116
S&P Midcap 400E-Mini Index		12		9/2019	USD		2,340,000			46,854
S&P/TSX 60 Index		9		9/2019	CAD		1,343,866			5,892
Silver		32		9/2019	USD		2,454,560			42,473
SPI 200 Index		13		9/2019	AUD		1,496,542			9,957
Sugar No. 11		74		9/2019	USD		1,045,946			(6,746	)
TOPIX Index		15		9/2019	JPY		2,157,863			(2,658	)
U.S. Treasury 10 Year Note		522		9/2019	USD		66,799,687			1,364,844
Wheat		41		9/2019	USD		1,080,863			(475	)
Soybean Oil		12		12/2019	USD		207,576			(185	)
										3,248,970
Short Contracts
LME Aluminum Base Metal		(1	)	7/2019	USD		(44,508	)		2,639
LME Aluminum Base Metal		(1	)	7/2019	USD		(44,524	)		2,148
LME Copper Base Metal		(1	)	7/2019	USD		(149,614	)		12,065
LME Zinc Base Metal		(1	)	7/2019	USD		(64,050	)		9,372
LME Aluminum Base Metal		(1	)	8/2019	USD		(44,919	)		(214	)
LME Aluminum Base Metal		(2	)	8/2019	USD		(89,588	)		285
LME Copper Base Metal		(1	)	8/2019	USD		(149,864	)		1,117
LME Lead Base Metal		(1	)	8/2019	USD		(48,283	)		(3,005	)
LME Nickel Base Metal		(1	)	8/2019	USD		(76,023	)		(2,890	)
LME Zinc Base Metal		(1	)	8/2019	USD		(62,563	)		1,220
LME Aluminum Base Metal		(2	)	9/2019	USD		(89,973	)		(1,329	)
LME Aluminum Base Metal		(2	)	9/2019	USD		(90,067	)		(772	)
LME Aluminum Base Metal		(2	)	9/2019	USD		(89,938	)		157
LME Aluminum Base Metal		(3	)	9/2019	USD		(135,000	)		(1,996	)
LME Aluminum Base Metal		(3	)	9/2019	USD		(135,019	)		547
LME Aluminum Base Metal		(5	)	9/2019	USD		(225,188	)		(5,577	)
LME Copper Base Metal		(1	)	9/2019	USD		(149,833	)		(1,141	)
LME Copper Base Metal		(1	)	9/2019	USD		(149,956	)		(4,415	)
LME Copper Base Metal		(1	)	9/2019	USD		(149,825	)		(300	)
LME Copper Base Metal		(4	)	9/2019	USD		(599,600	)		(4,409	)
LME Lead Base Metal		(1	)	9/2019	USD		(48,293	)		(1,896	)
LME Lead Base Metal		(1	)	9/2019	USD		(48,300	)		(2,858	)
LME Lead Base Metal		(1	)	9/2019	USD		(48,289	)		(542	)
LME Lead Base Metal		(1	)	9/2019	USD		(48,295	)		(748	)
LME Nickel Base Metal		(1	)	9/2019	USD		(76,158	)		(2,229	)
LME Nickel Base Metal		(1	)	9/2019	USD		(76,164	)		(5,763	)
LME Nickel Base Metal		(1	)	9/2019	USD		(76,197	)		(5,101	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

176

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(4	)	9/2019	USD		$ (304,920	)		$ (16,137	)
LME Zinc Base Metal		(1	)	9/2019	USD		(62,482	)		(60	)
LME Zinc Base Metal		(1	)	9/2019	USD		(62,375	)		(342	)
LME Zinc Base Metal		(1	)	9/2019	USD		(62,530	)		292
LME Zinc Base Metal		(2	)	9/2019	USD		(125,090	)		579
LME Zinc Base Metal		(2	)	9/2019	USD		(125,072	)		(1,127	)
LME Zinc Base Metal		(2	)	9/2019	USD		(125,050	)		545
										(31,885	)
										$3,217,085

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
EUR	187,950	USD	213,818	CITI		9/18/2019		$1,244
EUR	187,951	USD	213,820	JPMC		9/18/2019		1,244
GBP	134,592	USD	171,197	CITI		9/18/2019		336
GBP	134,590	USD	171,195	JPMC		9/18/2019		336
HKD	879,008	USD	112,208	CITI		9/18/2019		357
HKD	878,992	USD	112,206	JPMC		9/18/2019		357
USD	1,627,634	GBP	1,274,349	CITI		9/18/2019		3,510
USD	1,628,267	GBP	1,274,356	JPMC		9/18/2019		4,133
Total unrealized appreciation								11,517
GBP	134,547	USD	171,538	CITI		9/18/2019		(61	)
GBP	134,547	USD	171,538	JPMC		9/18/2019		(61	)
USD	6,327	BRL	24,994	CITI**		9/18/2019		(133	)
USD	6,330	BRL	25,006	JPMC**		9/18/2019		(133	)
USD	743	CAD	1,000	CITI		9/18/2019		(22	)
USD	743	CAD	1,000	JPMC		9/18/2019		(22	)
USD	7,573	CHF	7,500	CITI		9/18/2019		(165	)
USD	7,573	CHF	7,500	JPMC		9/18/2019		(165	)
USD	6,063,015	EUR	5,365,194	CITI		9/18/2019		(76,135	)
USD	6,063,019	EUR	5,365,205	JPMC		9/18/2019		(76,143	)
USD	1,981,353	GBP	1,559,127	CITI		9/18/2019		(5,713	)
USD	1,981,364	GBP	1,559,137	JPMC		9/18/2019		(5,715	)
USD	142,791	HKD	1,118,500	CITI		9/18/2019		(442	)
USD	142,791	HKD	1,118,500	JPMC		9/18/2019		(443	)
Total unrealized depreciation								(165,353	)
Net unrealized depreciation							$	(153,836	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

177

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$1,898,056			$1,898,056
CITI
Investment Companies		427,031			—			427,031
GSCO
Cash		—			(564,277	)		(564,277	)
U.S. Treasury Inflation Linked Notes		—			760,401			760,401
GSIN
Investment Companies		239,890			—			239,890
JPMC
Investment Companies		594,644			—			594,644
JPMS
Cash		—			89,319			89,319
MLIN
Cash		(120,000	)		—			(120,000	)
MSCL
Cash		—			(1,347,471	)		(1,347,471	)
U.S. Treasury Inflation Linked Notes		—			646,425			646,425

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$84,198		$—		$84,198
GSCO
Cash		—		29,502		29,502
GSIN
U.S. Treasury Bills		98,871		—		98,871
JPPC
Cash		—		606,947		606,947
MACQ
U.S. Treasury Bills		69,909		—		69,909
MSCL
Cash		—		35,601		35,601

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

178

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 132.3%
COMMON STOCKS - 56.0%
Argentina - 0.1%
MercadoLibre, Inc. *(a)		4,058	$	2,482,563
Canada - 5.4%
Air Canada *(b)		802,892		24,334,147
Alimentation Couche-Tard, Inc., Class B		49,164		3,093,891
Bank of Montreal		95,673		7,226,890
Bank of Nova Scotia (The)		40,180		2,158,193
BCE, Inc.		19,120		869,894
Brookfield Asset Management, Inc., Class A		28,691		1,372,602
Canadian Imperial Bank of Commerce (b)		105,387		8,287,391
Canadian National Railway Co.		6,359		588,531
Canadian Pacific Railway Ltd.		1,831		431,244
Canadian Tire Corp. Ltd., Class A		34,248		3,731,438
CGI, Inc. *(b)		141,984		10,915,925
CI Financial Corp.		143,315		2,335,415
Cronos Group, Inc. *		108,104		1,734,386
Emera, Inc.		72,864		2,977,322
Gildan Activewear, Inc.		29,716		1,150,019
Hydro One Ltd. (c)		109,060		1,902,127
iA Financial Corp., Inc.		22,702		924,688
IGM Financial, Inc.		31,512		899,724
Intact Financial Corp.		39,440		3,644,785
Kinross Gold Corp. *		617,186		2,384,759
Linamar Corp.		58,560		2,185,799
Loblaw Cos. Ltd.		11,308		578,979
Magna International, Inc.		94,355		4,694,874
Manulife Financial Corp. (b)		632,384		11,493,062
Methanex Corp.		34,066		1,546,504
National Bank of Canada		101,240		4,809,393
Open Text Corp.		19,440		802,213
Peyto Exploration & Development Corp.		333,615		998,641
Power Financial Corp.		61,641		1,417,759
Quebecor, Inc., Class B		144,670		3,445,655
Rogers Communications, Inc., Class B		93,854		5,023,989
Royal Bank of Canada (b)		113,499		9,019,771
Seven Generations Energy Ltd., Class A *		515,197		2,525,726
Shaw Communications, Inc., Class B		28,761		586,838
Sun Life Financial, Inc.		31,909		1,321,389
Teck Resources Ltd., Class B		90,682		2,092,635
Thomson Reuters Corp.		11,314		729,874
Toronto-Dominion Bank (The) (b)		216,501		12,650,647
Tourmaline Oil Corp.		314,404		4,004,627
West Fraser Timber Co. Ltd.		19,892		906,840
				151,798,586
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd. (2)		5,354,400		6,066,373
Italy - 6.3%
A2A SpA (2)		6,117,754		10,619,935
Assicurazioni Generali SpA (2)(b)		1,283,955		24,173,765
Autogrill SpA (2)		45,972		482,186

INVESTMENTS	SHARES		VALUE
Italy - 6.3% (continued)
BPER Banca (2)		534,658	$	2,179,338
Enel SpA (2)(b)		9,313,177		64,966,394
Eni SpA (2)(b)		1,486,699		24,719,828
Hera SpA (2)		1,169,926		4,474,992
Italgas SpA (2)		573,345		3,853,414
Poste Italiane SpA (2)(c)		2,254,549		23,757,752
Terna Rete Elettrica Nazionale SpA (2)(b)		1,939,745		12,359,316
Unipol Gruppo SpA (2)		374,765		1,826,133
UnipolSai Assicurazioni SpA (2)		2,909,091		7,474,751
				180,887,804
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		1,129,600		2,221,462
Venture Corp. Ltd. (2)(a)		276,400		3,337,167
Wilmar International Ltd. (2)(a)		166,700		456,332
				6,014,961
Spain - 1.2%
Repsol SA (2)(b)		2,111,918		33,142,003
Switzerland - 0.1%
Temenos AG (Registered) (2)*(a)		11,486		2,056,614
United Kingdom - 0.9%
Fiat Chrysler Automobiles NV (2)		1,778,274		24,679,657
United States - 41.6%
Aaron’s, Inc.		26,114		1,603,661
Abbott Laboratories (a)		48,508		4,079,523
Activision Blizzard, Inc. (a)		13,888		655,514
Acuity Brands, Inc. (a)		27,559		3,800,662
Adobe, Inc. *(b)		48,308		14,233,952
AGCO Corp.		25,215		1,955,928
Air Lease Corp. (a)		30,723		1,270,089
Akamai Technologies, Inc. *(b)		234,601		18,800,924
Allison Transmission Holdings, Inc.		22,142		1,026,282
Alphabet, Inc., Class A *(b)		14,430		15,624,804
Amazon.com, Inc. *		3,584		6,786,770
Amdocs Ltd. (b)		147,837		9,179,199
American Eagle Outfitters, Inc. (b)		545,252		9,214,759
ANSYS, Inc. *		17,532		3,590,904
Anthem, Inc. (a)(b)		73,942		20,867,172
Apergy Corp. *		33,849		1,135,295
Arconic, Inc.		26,179		675,942
AutoZone, Inc. *(a)		1,128		1,240,202
Bausch Health Cos., Inc. *		119,516		3,015,394
Baxter International, Inc. (a)(b)		151,565		12,413,174
Bed Bath & Beyond, Inc. (a)		237,183		2,756,066
Best Buy Co., Inc. (a)		77,460		5,401,286
Boeing Co. (The) (b)		17,044		6,204,186
Booking Holdings, Inc. *(a)(b)		11,950		22,402,784
Booz Allen Hamilton Holding Corp.		42,121		2,788,831
BRP, Inc. (b)		208,945		7,467,165
CACI International, Inc., Class A *(a)		6,784		1,387,939
Cadence Design Systems, Inc. *(b)		263,175		18,635,422
Callon Petroleum Co. *(a)		395,988		2,609,561
Carlisle Cos., Inc.		11,313		1,588,458
CDK Global, Inc. (a)		91,145		4,506,209

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

179

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
United States - 41.6% (continued)
Centene Corp. *(a)		32,382	$	1,698,112
Cerner Corp. (a)		394,095		28,887,163
Cigna Corp.		26,526		4,179,171
Cirrus Logic, Inc. *		370,233		16,179,182
Citrix Systems, Inc.		29,228		2,868,436
CNX Resources Corp. *(a)		489,494		3,578,201
Cognizant Technology Solutions Corp., Class A		14,228		901,913
ConocoPhillips (b)		209,766		12,795,726
Cooper Cos., Inc. (The) (a)		23,953		8,069,526
Crane Co.		11,284		941,537
Cummins, Inc. (a)		33,065		5,665,357
Curtiss-Wright Corp.		45,990		5,846,709
Danaher Corp. (a)(b)		145,848		20,844,596
Dick’s Sporting Goods, Inc. (a)		148,990		5,159,524
Dillard’s, Inc., Class A (a)		152,822		9,517,754
Dover Corp. (a)		6,417		642,983
DXC Technology Co. (b)		172,720		9,525,508
Eaton Corp. plc (b)		254,905		21,228,488
eBay, Inc. (a)		302,470		11,947,565
Edwards Lifesciences Corp. *(a)		40,324		7,449,456
Electronic Arts, Inc. *		57,619		5,834,500
EMCOR Group, Inc.		7,798		687,004
Encompass Health Corp. (a)		13,451		852,255
Expedia Group, Inc.		7,790		1,036,304
Extraction Oil & Gas, Inc. *(a)		313,947		1,359,391
Facebook, Inc., Class A *(b)		55,822		10,773,646
Fair Isaac Corp. *(a)		36,860		11,574,777
Foot Locker, Inc. (b)		290,032		12,158,141
Fortinet, Inc. *(b)		105,320		8,091,736
Gap, Inc. (The) (a)		197,195		3,543,594
Gardner Denver Holdings, Inc. *(a)		18,387		636,190
GATX Corp. (a)		17,513		1,388,606
General Dynamics Corp.		6,574		1,195,285
Genpact Ltd.		16,679		635,303
Globus Medical, Inc., Class A *(a)(b)		236,610		10,008,603
GrafTech International Ltd. (a)		123,947		1,425,391
Halliburton Co. (a)		74,144		1,686,035
Harris Corp. (a)		30,670		5,800,617
HCA Healthcare, Inc. (b)		162,289		21,936,603
HD Supply Holdings, Inc. *		10,757		433,292
HEICO Corp.		9,797		1,310,937
Helmerich & Payne, Inc. (a)		37,861		1,916,524
Henry Schein, Inc. *(a)		50,431		3,525,127
Hexcel Corp.		5,405		437,156
Hill-Rom Holdings, Inc.		6,228		651,573
HollyFrontier Corp. (b)		411,837		19,059,816
Honeywell International, Inc. (a)		2,415		421,635
Hubbell, Inc.		9,508		1,239,843
Humana, Inc. (b)		30,678		8,138,873
Huntington Ingalls Industries, Inc. (a)(b)		157,140		35,315,643
IAC/InterActiveCorp *(a)(b)		48,980		10,654,619
ICU Medical, Inc. *(a)		21,143		5,326,133
IDEX Corp.		2,542		437,580
Ingersoll-Rand plc		17,623		2,232,305
Inogen, Inc. *(a)		35,748		2,386,536
Intel Corp. (a)(b)		164,314		7,865,711
International Business Machines Corp. (a)(b)		135,969		18,750,125

INVESTMENTS	SHARES		VALUE
United States - 41.6% (continued)
Intuitive Surgical, Inc. *(a)		5,075	$	2,662,091
ITT, Inc. (a)		77,198		5,054,925
j2 Global, Inc. (a)		133,695		11,884,149
Johnson Controls International plc		39,082		1,614,477
Kennametal, Inc.		28,446		1,052,218
KLA-Tencor Corp.		17,473		2,065,309
Kohl’s Corp. (a)(b)		271,238		12,897,367
Laboratory Corp. of America Holdings *(b)		99,734		17,244,009
Lam Research Corp. (a)		59,244		11,128,393
Lincoln Electric Holdings, Inc.		6,421		528,577
Lockheed Martin Corp. (a)		6,280		2,283,031
LogMeIn, Inc.		32,926		2,425,988
Macy’s, Inc. (a)(b)		435,243		9,340,315
Manhattan Associates, Inc. *(a)(b)		146,820		10,179,031
Masco Corp.		59,676		2,341,686
Masimo Corp. *		10,007		1,489,242
MasTec, Inc. *(a)		27,725		1,428,669
Match Group, Inc. (a)(b)		138,356		9,307,208
McDermott International, Inc. *(a)		251,509		2,429,577
McKesson Corp. (a)(b)		68,924		9,262,696
MEDNAX, Inc. *(a)		178,667		4,507,768
Medtronic plc		101,372		9,872,619
Micron Technology, Inc. *(a)(b)		453,443		17,498,365
Microsoft Corp. (b)		123,699		16,570,718
MKS Instruments, Inc. (a)		54,332		4,231,919
Molina Healthcare, Inc. *(a)(b)		94,634		13,545,911
Murphy USA, Inc. *(b)		116,591		9,797,142
Nabors Industries Ltd.		379,142		1,099,512
Nordstrom, Inc.		17,066		543,723
Northrop Grumman Corp. (b)		34,069		11,008,035
Nuance Communications, Inc. *		26,004		415,284
NuVasive, Inc. *		36,481		2,135,598
nVent Electric plc		17,425		431,966
Okta, Inc. *(a)		4,904		605,693
ON Semiconductor Corp. *		280,596		5,670,845
Oracle Corp. (a)(b)		375,245		21,377,708
Oshkosh Corp. (b)		86,924		7,257,285
Parker-Hannifin Corp.		13,962		2,373,680
Patterson Cos., Inc. (a)		36,435		834,362
Patterson-UTI Energy, Inc. (a)		477,638		5,497,613
Paycom Software, Inc. *		9,448		2,142,051
PBF Energy, Inc., Class A (a)(b)		419,494		13,130,162
Penske Automotive Group, Inc. (a)		38,527		1,822,327
Phillips 66 (a)		43,831		4,099,952
Qorvo, Inc. *		17,803		1,185,858
Quanta Services, Inc. (b)		170,476		6,510,478
Quest Diagnostics, Inc. (a)		6,182		629,389
Qurate Retail, Inc. *(a)(b)		930,074		11,523,617
Raytheon Co. (a)(b)		61,470		10,688,404
Regal Beloit Corp. (a)		22,016		1,798,927
Resideo Technologies, Inc. *		43,578		955,230
ResMed, Inc. (a)		6,161		751,827
Roper Technologies, Inc. (a)		1,149		420,833
Ross Stores, Inc. (a)		17,069		1,691,879
RPC, Inc. (a)		605,400		4,364,934
Sally Beauty Holdings, Inc. *(a)		239,070		3,189,194
Science Applications International Corp. (a)		7,984		691,095

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

180

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES		VALUE
United States - 41.6% (continued)
Skyworks Solutions, Inc. (a)(b)		121,737	$	9,406,618
SM Energy Co.		107,539		1,346,388
Snap-on, Inc. (a)		62,987		10,433,167
Southwestern Energy Co. *(a)		4,106,500		12,976,540
Spirit AeroSystems Holdings, Inc., Class A (b)		337,862		27,491,830
Symantec Corp. (b)		452,471		9,845,769
SYNNEX Corp. (a)		5,774		568,162
Synopsys, Inc. *		39,096		5,031,264
Target Corp. (b)		98,303		8,514,023
Teledyne Technologies, Inc. *		20,157		5,520,398
Teradyne, Inc.		26,884		1,288,012
Textron, Inc. (a)(b)		261,426		13,866,035
Timken Co. (The)		34,906		1,792,074
TJX Cos., Inc. (The)		81,354		4,302,000
TripAdvisor, Inc. *(b)		283,950		13,144,046
Twitter, Inc. *(a)		115,667		4,036,778
United Technologies Corp.		3,241		421,978
UnitedHealth Group, Inc. (a)		3,963		967,012
Universal Health Services, Inc., Class B (a)		67,375		8,785,026
Urban Outfitters, Inc. *(a)(b)		277,798		6,319,905
Valero Energy Corp. (a)		131,656		11,271,070
Varian Medical Systems, Inc. *(a)		26,732		3,639,027
Veeva Systems, Inc., Class A *(b)		205,422		33,300,959
VeriSign, Inc. *(b)		63,285		13,236,691
VMware, Inc., Class A (b)		107,764		18,019,218
Wayfair, Inc., Class A *(a)		6,406		935,276
WESCO International, Inc. *		8,699		440,604
Whiting Petroleum Corp. *(a)		259,742		4,851,981
Williams-Sonoma, Inc. (a)		223,274		14,512,810
Woodward, Inc. (a)		83,934		9,497,971
Xilinx, Inc. (a)		23,992		2,829,137
				1,181,655,003
TOTAL COMMON STOCKS (Cost $1,513,344,382)				1,588,783,564
SHORT-TERM INVESTMENTS - 76.3%
INVESTMENT COMPANIES - 55.9%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (d)(e)		161,163,219		161,163,219
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (d)(e)		386,176,460		386,176,460
Limited Purpose Cash Investment Fund, 2.36% (d)(f)		945,960,719		946,149,911
UBS Select Treasury Preferred Fund, Class I, 2.23% (d)		90,591,127		90,591,127
TOTAL INVESTMENT COMPANIES (Cost $1,583,683,573)				1,584,080,717

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 20.4%
U.S. Treasury Bills
2.49%, 7/18/2019 (2)(g)	$	25,887,000		$	25,861,925
2.48%, 7/25/2019 (2)(g)(h)		38,314,000			38,264,192
2.48%, 8/1/2019 (2)(g)(h)		69,613,000			69,492,512
2.48%, 8/15/2019 (2)(g)(i)		57,367,000			57,216,949
2.49%, 8/22/2019 (2)(g)(i)		103,913,000			103,597,946
2.49%, 8/29/2019 (2)(g)(i)		52,157,000			51,977,493
2.49%, 9/12/2019 (2)(g)		2,194,000			2,184,824
2.48%, 9/19/2019 (2)(g)		1,382,000			1,375,619
2.44%, 9/26/2019 (2)(g)		8,380,000			8,337,978
2.41%, 10/3/2019 (2)(g)		7,739,000			7,696,716
2.42%, 10/17/2019 (2)(g)		15,841,000			15,743,697
2.41%, 10/24/2019 (2)(g)(i)		79,766,000			79,259,251
2.42%, 10/31/2019 (2)(g)(i)		79,766,000			79,219,281
2.38%, 11/14/2019 (2)(g)(j)		29,198,000			28,971,326
2.37%, 11/21/2019 (2)(g)(j)		8,755,000			8,683,360
2.35%, 11/29/2019 (2)(g)(j)		857,000			849,577
TOTAL U.S. TREASURY OBLIGATIONS (Cost $578,302,839)					578,732,646
TOTALSHORT-TERM INVESTMENTS (Cost $2,161,986,412)					2,162,813,363
TOTAL LONG POSITIONS (Cost $3,675,330,794)					3,751,596,927
		SHARES
SHORT POSITIONS - (37.8)%
COMMON STOCKS - (37.8)%
Canada - (5.3)%
Agnico Eagle Mines Ltd.		(86,770	)		(4,448,656	)
AltaGas Ltd.		(749,941	)		(11,344,608	)
Barrick Gold Corp.		(464,539	)		(7,332,306	)
BlackBerry Ltd. *		(293,991	)		(2,191,098	)
Bombardier, Inc., Class B *		(4,182,964	)		(7,027,239	)
Cameco Corp.		(507,340	)		(5,439,314	)
Canadian Natural Resources Ltd.		(24,719	)		(666,510	)
CCL Industries, Inc., Class B		(57,039	)		(2,797,178	)
Cenovus Energy, Inc.		(769,988	)		(6,791,158	)
Dollarama, Inc.		(273,769	)		(9,631,200	)
Element Fleet Management Corp.		(605,677	)		(4,421,574	)
Enbridge, Inc.		(429,827	)		(15,525,040	)
Fairfax Financial Holdings Ltd.		(1,471	)		(722,004	)
Finning International, Inc.		(136,506	)		(2,488,182	)
Franco-Nevada Corp.		(27,834	)		(2,362,452	)
George Weston Ltd.		(7,112	)		(539,666	)
Husky Energy, Inc.		(60,311	)		(571,539	)
Imperial Oil Ltd.		(28,644	)		(793,121	)
Inter Pipeline Ltd.		(161,474	)		(2,511,722	)
Keyera Corp.		(89,996	)		(2,315,960	)
Metro, Inc.		(22,634	)		(849,326	)
Nutrien Ltd.		(18,866	)		(1,009,174	)
Pembina Pipeline Corp.		(184,808	)		(6,879,760	)
Restaurant Brands International, Inc.		(13,734	)		(955,103	)
Saputo, Inc.		(16,828	)		(503,728	)
Shopify, Inc., Class A *		(39,957	)		(12,008,916	)
SNC-Lavalin Group, Inc.		(253,694	)		(5,129,867	)
Stars Group, Inc. (The) *		(151,223	)		(2,580,913	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

181

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
Canada - (5.3)% (continued)
Suncor Energy, Inc.		(124,038	)	$	(3,869,232	)
TC Energy Corp.		(176,976	)		(8,773,458	)
Vermilion Energy, Inc.		(138,033	)		(2,998,770	)
Wheaton Precious Metals Corp.		(512,257	)		(12,388,361	)
Whitecap Resources, Inc.		(374,693	)		(1,216,025	)
					(149,083,160	)
Chile - (0.1)%
Lundin Mining Corp.		(409,829	)		(2,256,399	)
Ghana - (0.4)%
Kosmos Energy Ltd.		(1,902,533	)		(11,928,882	)
Italy - (2.7)%
Atlantia SpA (2)		(138,240	)		(3,604,793	)
Banca Generali SpA (2)		(29,154	)		(839,477	)
Buzzi Unicem SpA (2)		(307,717	)		(6,247,840	)
Davide Campari-Milano SpA (2)		(213,694	)		(2,093,487	)
Ferrari NV (2)		(216,026	)		(35,026,371	)
FinecoBank Banca Fineco SpA (2)		(251,283	)		(2,803,183	)
Freni Brembo SpA (2)		(299,308	)		(3,444,552	)
Intesa Sanpaolo SpA (2)		(1,024,019	)		(2,192,221	)
Leonardo SpA (2)		(212,700	)		(2,698,426	)
Moncler SpA (2)		(27,515	)		(1,179,330	)
Pirelli & C SpA (2)(c)		(109,167	)		(644,398	)
Prysmian SpA (2)		(536,637	)		(11,087,846	)
Recordati SpA (2)		(14,110	)		(588,109	)
Saipem SpA (2)*		(334,528	)		(1,669,417	)
Telecom Italia SpA (2)*		(3,664,673	)		(2,000,749	)
Unione di Banche Italiane SpA (2)		(206,267	)		(563,160	)
					(76,683,359	)
Luxembourg - (0.4)%
Tenaris SA (2)		(846,455	)		(11,101,928	)
Netherlands - (0.2)%
Koninklijke Vopak NV (2)		(94,881	)		(4,369,334	)
Portugal - 0.0% (k)
Banco Espirito Santo SA (Registered) (3)*(l)		(216,618	)		(2	)
Singapore - (0.4)%
CapitaLand Ltd. (2)		(251,900	)		(657,769	)
City Developments Ltd. (2)		(186,800	)		(1,308,522	)
Keppel Corp. Ltd. (2)		(647,200	)		(3,189,010	)
Singapore Telecommunications Ltd. (2)		(2,444,800	)		(6,327,915	)
					(11,483,216	)
Switzerland - (0.4)%
STMicroelectronics NV (2)		(596,695	)		(10,567,456	)
United Kingdom - (0.3)%
CNH Industrial NV (2)		(776,480	)		(7,976,969	)
United States - (27.2)%
2U, Inc. *		(26,582	)		(1,000,546	)
Acadia Healthcare Co., Inc. *		(244,765	)		(8,554,537	)

INVESTMENTS	SHARES			VALUE
United States - (27.2)% (continued)
Advanced Micro Devices, Inc. *		(224,318	)	$	(6,812,538	)
Allscripts Healthcare Solutions, Inc. *		(65,968	)		(767,208	)
Antero Resources Corp. *		(80,270	)		(443,893	)
Apache Corp.		(466,905	)		(13,526,238	)
Atlassian Corp. plc, Class A *		(18,958	)		(2,480,465	)
Avanos Medical, Inc. *		(27,076	)		(1,180,784	)
Baker Hughes a GE Co.		(679,801	)		(16,743,499	)
BWX Technologies, Inc.		(130,919	)		(6,820,880	)
Cabot Oil & Gas Corp.		(338,621	)		(7,774,738	)
CarMax, Inc. *		(149,945	)		(13,019,724	)
Cheniere Energy, Inc. *		(424,922	)		(29,085,911	)
Chesapeake Energy Corp. *		(1,176,002	)		(2,293,204	)
CommVault Systems, Inc. *		(35,097	)		(1,741,513	)
Concho Resources, Inc.		(65,137	)		(6,720,836	)
Conduent, Inc. *		(263,600	)		(2,527,924	)
Core Laboratories NV		(58,103	)		(3,037,625	)
Cree, Inc. *		(276,112	)		(15,511,972	)
CVS Health Corp.		(46,691	)		(2,544,193	)
DaVita, Inc. *		(7,951	)		(447,323	)
DENTSPLY SIRONA, Inc.		(97,045	)		(5,663,546	)
Devon Energy Corp.		(368,259	)		(10,502,747	)
DexCom, Inc. *		(6,355	)		(952,233	)
DocuSign, Inc. *		(27,878	)		(1,385,815	)
Dollar Tree, Inc. *		(176,986	)		(19,006,527	)
Donaldson Co., Inc.		(69,633	)		(3,541,534	)
Dril-Quip, Inc. *		(52,890	)		(2,538,720	)
Ensco Rowan plc, Class A		(1,286,407	)		(10,973,052	)
EOG Resources, Inc.		(35,794	)		(3,334,569	)
EQT Corp.		(809,191	)		(12,793,310	)
Equitrans Midstream Corp.		(454,078	)		(8,949,877	)
Exxon Mobil Corp.		(86,167	)		(6,602,977	)
Fastenal Co.		(218,292	)		(7,114,136	)
FireEye, Inc. *		(818,053	)		(12,115,365	)
First Solar, Inc. *		(59,094	)		(3,881,294	)
Five Below, Inc. *		(31,480	)		(3,778,230	)
Floor & Decor Holdings, Inc., Class A *		(309,048	)		(12,949,111	)
Flowserve Corp.		(143,960	)		(7,585,252	)
Gartner, Inc. *		(91,641	)		(14,748,703	)
General Electric Co.		(1,729,795	)		(18,162,848	)
Global Payments, Inc.		(20,701	)		(3,314,851	)
Granite Construction, Inc.		(49,103	)		(2,365,783	)
Guidewire Software, Inc. *		(136,743	)		(13,863,005	)
HealthEquity, Inc. *		(84,220	)		(5,507,988	)
Hess Corp.		(328,064	)		(20,855,028	)
Insulet Corp. *		(117,051	)		(13,973,548	)
Kinder Morgan, Inc.		(223,430	)		(4,665,218	)
L Brands, Inc.		(143,048	)		(3,733,553	)
Lennox International, Inc.		(2,762	)		(759,550	)
LKQ Corp. *		(518,819	)		(13,805,774	)
Lowe’s Cos., Inc.		(5,520	)		(557,023	)
Marvell Technology Group Ltd.		(332,575	)		(7,938,565	)
Matador Resources Co. *		(43,343	)		(861,659	)
Maxim Integrated Products, Inc.		(7,268	)		(434,772	)
Microchip Technology, Inc.		(23,481	)		(2,035,803	)
Middleby Corp. (The) *		(26,880	)		(3,647,616	)
Monolithic Power Systems, Inc.		(40,531	)		(5,503,299	)
Murphy Oil Corp.		(73,681	)		(1,816,237	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

182

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

INVESTMENTS	SHARES			VALUE
United States - (27.2)% (continued)
National Oilwell Varco, Inc.		(393,349	)	$	(8,744,148	)
Netflix, Inc. *		(68,437	)		(25,138,279	)
Noble Energy, Inc.		(665,188	)		(14,900,211	)
NOW, Inc. *		(435,053	)		(6,421,382	)
Nutanix, Inc., Class A *		(34,022	)		(882,531	)
NVIDIA Corp.		(97,037	)		(15,936,387	)
Occidental Petroleum Corp.		(85,677	)		(4,307,840	)
Oceaneering International, Inc. *		(259,961	)		(5,300,605	)
Ollie’s Bargain Outlet Holdings, Inc. *		(27,080	)		(2,358,939	)
ONEOK, Inc.		(463,005	)		(31,859,373	)
Pluralsight, Inc., Class A *		(27,183	)		(824,189	)
Pool Corp.		(31,621	)		(6,039,611	)
Premier, Inc., Class A *		(384,874	)		(15,052,422	)
Proofpoint, Inc. *		(11,768	)		(1,415,102	)
QUALCOMM, Inc.		(41,750	)		(3,175,923	)
Range Resources Corp.		(765,910	)		(5,346,052	)
RingCentral, Inc., Class A *		(22,473	)		(2,582,597	)
Schlumberger Ltd.		(466,640	)		(18,544,274	)
Signet Jewelers Ltd.		(137,514	)		(2,458,750	)
Silicon Laboratories, Inc. *		(4,948	)		(511,623	)
Snap, Inc., Class A *		(502,656	)		(7,187,981	)
Square, Inc., Class A *		(27,740	)		(2,011,982	)
Switch, Inc., Class A		(208,882	)		(2,734,265	)
Targa Resources Corp.		(864,697	)		(33,948,003	)
Tenet Healthcare Corp. *		(386,036	)		(7,975,504	)
Teradata Corp. *		(37,086	)		(1,329,533	)
Tiffany & Co.		(14,597	)		(1,366,863	)
Transocean Ltd. *		(2,128,433	)		(13,643,256	)
Trex Co., Inc. *		(58,934	)		(4,225,568	)
Trinity Industries, Inc.		(62,443	)		(1,295,692	)
United Rentals, Inc. *		(30,475	)		(4,041,899	)
Univar, Inc. *		(623,323	)		(13,738,039	)
Universal Display Corp.		(70,415	)		(13,242,245	)
Wabtec Corp.		(165,088	)		(11,846,715	)
Watsco, Inc.		(40,883	)		(6,685,597	)
Welbilt, Inc. *		(730,973	)		(12,207,249	)
Williams Cos., Inc. (The)		(915,697	)		(25,676,144	)
World Fuel Services Corp.		(31,474	)		(1,131,805	)
WPX Energy, Inc. *		(881,243	)		(10,143,107	)
Zillow Group, Inc., Class C *		(292,761	)		(13,581,183	)
					(775,067,537	)

INVESTMENTS	SHARES			VALUE
Zambia - (0.4)%
First Quantum Minerals Ltd.		(1,108,688	)	$	(10,531,922	)
TOTAL COMMON STOCKS (Proceeds $(1,082,287,334))					(1,071,050,164	)
TOTAL SHORT POSITIONS (Proceeds $(1,082,287,334))					(1,071,050,164	)
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 94.5% (Cost $2,593,043,460)					2,680,546,763
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.5% (m)				154,676,058
NET ASSETS - 100.0%				$	2,835,222,821

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	25,721,384			0.9	%
Consumer Discretionary		92,495,714			3.2
Consumer Staples		142,995			0.0	(k)
Energy		(253,886,224	)		(9.0	)
Financials		115,431,828			4.1
Health Care		212,483,520			7.5
Industrials		109,730,145			3.9
Information Technology		170,214,988			6.0
Materials		(42,443,551	)		(1.5	)
Real Estate		(1,966,291	)		(0.1	)
Utilities		89,808,892			3.2
Short-Term Investments		2,162,813,363			76.3
Total Investments In Securities At Value		2,680,546,763			94.5
Other Assets in Excess of Liabilities (m)		154,676,058			5.5
Net Assets	$	2,835,222,821			100.0	%

* Non-income producing security.

(a) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $276,656,531.

(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $893,847,794.

(c) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $25,015,481, which represents approximately 0.88% of net assets of the fund.

(d) Represents 7-day effective yield as of June 30, 2019.

(e) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

183

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

(f) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE	SHARES HELD AT 12/31/18		SHARES PURCHASED		SHARES SOLD			SHARES HELD AT 06/30/19		VALUE AT 06/30/19		DIVIDEND INCOME		NET REALIZED GAIN (LOSS)		NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Other Affiliates:
SHORT-TERM INVESTMENTS - 33.4%
INVESTMENT COMPANIES - 33.4%
Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $945,752,767)		766,394,439		1,530,292,248		(1,350,725,968	)		945,960,719		$946,149,911		$11,083,328		$78,019		$189,410

(a) Represents 7-day effective yield as of June 30, 2019.

(g) The rate shown was the effective yield at the date of purchase.

(h) All or a portion of the security pledged as collateral for futures contracts.

(i) All or a portion of the security pledged as collateral for swap and futures contracts.

(j) All or a portion of the security pledged as collateral for swap contracts.

(k) Represents less than 0.05% of net assets.

(l) Security fair valued as of June 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2019 amounted to $(2), which represents approximately (0.00)% of net assets of the fund.

(m) 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).

Total return swap contracts outstanding as of June 30, 2019:

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)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(70,805,825

)

$1,469,192

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/23/2019

USD

(17,181,138

)

367,453

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/23/2019

USD

(21,810,913

)

412,610

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(43,133,363

)

809,556

DTOP Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

09/19/2019

ZAR

(70,541,380

)

17,791

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/11/2019

KRW

81,362,400,000

1,784,889

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

184

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

561,481

$ 27,355

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

375,867

12,234

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

563,967

5,497

MSCI Israel Daily Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.40%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

2,007,694

37,766

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread(-0.10%)

Monthly

CITI

09/18/2019

MXN

(3,068,540

)

—

MSCI Mexico Net Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the TIIE plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

MXN

(19,421,670

)

18,299

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the WIBOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

1,054,784

502

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

185

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the WIBOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

565,062

$ 2,429

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the WIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

1,021,609

3,392

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

ZAR

(374,957,928

)

476,384

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.20%)

Monthly

CITI

09/18/2019

ZAR

(7,788,971

)

—

MSCI Switzerland Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

CHF

58,992,927

429,789

MSCI United Kingdom Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

GBP

84,057

577

SGX NIFTY 50 Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/25/2019

USD

12,216,816

59,988

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

36,596,950

1,628,425

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/25/2019

USD

16,014,050

645,594

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

186

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

09/20/2019

PLN

15,395,520

$ 87,899

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

09/20/2019

PLN

4,536,180

12,925

8,310,546

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/29/2019

TRY

(8,158,150

)

(12,863

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/23/2019

USD

10,321,425

(334,004

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

361,038

(1,577

)

iBovespa Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/14/2019

BRL

(41,135,850

)

(244,911

)

MSCI Brazil Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the Brazilian Interbank Certificate of Deposit (“CDI”) plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

BRL

(4,037,394

)

(19,547

)

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the WIBOR plus or minus a specified spread (0.30%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

1,271,402

(873

)

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

EUR

32,172,921

(161,862

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

09/20/2019

CHF

267,213,360

(104,319

)

TAIEX Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/17/2019

TWD

(359,618,000

)

(286,170

)

Tel Aviv Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/24/2019

ILS

62,846,190

(12,382

)

(1,178,508

)

$7,132,038

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

187

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		1,083			7/2019	EUR		$138,154,727			$762,334
Brent Crude Oil		282			7/2019	USD		18,256,680			1,149,880
FTSE Bursa Malaysia KLCI Index		155			7/2019	MYR		3,146,884			349
Hang Seng Index		128			7/2019	HKD		23,353,687			287,351
IBEX 35 Index		1,948			7/2019	EUR		203,188,430			1,135,290
LME Copper Base Metal		28			7/2019	USD		4,189,185			(327,843	)
LME Copper Base Metal		51			7/2019	USD		7,637,531			(504,494	)
LME Copper Base Metal		52			7/2019	USD		7,787,000			(621,178	)
MSCI Singapore Index		4			7/2019	SGD		111,796			106
Natural Gas		6,793			7/2019	USD		156,782,440			(2,844,060	)
SGX NIFTY 50 Index		1,415			7/2019	USD		33,501,540			(16,832	)
LME Copper Base Metal		55			8/2019	USD		8,243,125			(165,792	)
LME Copper Base Metal		75			8/2019	USD		11,243,175			281,704
LME Copper Base Metal		101			8/2019	USD		15,129,699			(496,723	)
3 Month Eurodollar		566			9/2019	USD		138,662,925			142,907
ASX 90 Day Bank Accepted Bill		1,423			9/2019	AUD		996,314,778			1,158,964
Australia 10 Year Bond		3,977			9/2019	AUD		401,078,738			2,761,028
Australia 3 Year Bond		22,359			9/2019	AUD		1,805,133,201			1,910,932
EURO STOXX 50 Index		7,701			9/2019	EUR		303,510,913			4,189,838
Euro-Bobl		1,340			9/2019	EUR		204,848,096			914,412
Euro-Bund		10,771			9/2019	EUR		2,115,668,260			26,500,613
FTSE 100 Index		3,154			9/2019	GBP		295,159,560			1,185,498
Japan 10 Year Bond		1,146			9/2019	JPY		1,635,320,688			4,095,249
KOSPI 200 Index		10			9/2019	KRW		602,780			7,483
LME Copper Base Metal		38			9/2019	USD		5,693,350			11
LME Copper Base Metal		38			9/2019	USD		5,696,200			(6,667	)
LME Copper Base Metal		93			9/2019	USD		13,945,652			178,628
LME Copper Base Metal		95			9/2019	USD		14,244,751			397,434
LME Copper Base Metal		185			9/2019	USD		27,742,646			816,200
SET50 Index		2,073			9/2019	THB		15,522,743			106,868
Silver		3,234			9/2019	USD		248,063,970			989,731
SPI 200 Index		3,859			9/2019	AUD		444,242,847			3,248,434
U.S. Treasury 2 Year Note		16,210			9/2019	USD		3,488,062,735			17,889,102
U.S. Treasury 5 Year Note		1,283			9/2019	USD		151,594,469			2,079,313
Soybean		781			11/2019	USD		36,043,150			1,125,184
3 Month Canadian Bankers Acceptance		17			12/2019	CAD		3,183,403			2,242
3 Month Euro Euribor		562			12/2019	EUR		160,521,411			349,279
3 Month Eurodollar		3,008			12/2019	USD		737,636,800			362,203
ASX 90 Day Bank Accepted Bill		5,590			12/2019	AUD		3,914,710,119			7,033,182
3 Month Euro Euribor		760			3/2020	EUR		217,107,625			566,396
3 Month Eurodollar		3,235			3/2020	USD		794,920,375			469,559
ASX 90 Day Bank Accepted Bill		5,112			3/2020	AUD		3,580,668,456			5,091,785
3 Month Euro Euribor		398			6/2020	EUR		113,701,492			189,715
3 Month Eurodollar		2,364			6/2020	USD		581,425,800			467,359
ASX 90 Day Bank Accepted Bill		3,922			6/2020	AUD		2,747,275,559			1,970,446
											84,833,420
Short Contracts
CAC 40 10 Euro Index		(1,157	)		7/2019	EUR		(72,793,510	)		(666,973	)
HSCEI		(261	)		7/2019	HKD		(18,100,638	)		(125,970	)
LME Copper Base Metal		(28	)		7/2019	USD		(4,189,185	)		337,807

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

188

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(51	)		7/2019	USD		$ (7,637,531	)		$ 520,457
LME Copper Base Metal		(52	)		7/2019	USD		(7,787,000	)		603,047
MSCI Taiwan Index		(603	)		7/2019	USD		(23,305,950	)		(109,479	)
OMXS30 Index		(1,648	)		7/2019	SEK		(28,763,223	)		(583,960	)
WTI Crude Oil		(758	)		7/2019	USD		(44,320,260	)		(1,909,958	)
100 oz Gold		(1,065	)		8/2019	USD		(150,559,050	)		(13,300,760	)
LME Copper Base Metal		(55	)		8/2019	USD		(8,243,125	)		192,982
LME Copper Base Metal		(75	)		8/2019	USD		(11,243,175	)		(263,803	)
LME Copper Base Metal		(101	)		8/2019	USD		(15,129,699	)		537,547
3 Month Canadian Bankers Acceptance		(114	)		9/2019	CAD		(21,337,731	)		1,262
3 Month Euro Euribor		(39	)		9/2019	EUR		(11,134,951	)		(234	)
3 Month Sterling		(3,477	)		9/2019	GBP		(547,619,179	)		(771,009	)
Canada 10 Year Bond		(2,060	)		9/2019	CAD		(224,837,387	)		175,820
Copper		(3,079	)		9/2019	USD		(208,871,663	)		(939,090	)
Corn		(1	)		9/2019	USD		(21,238	)		548
DAX Index		(862	)		9/2019	EUR		(303,561,787	)		(3,699,814	)
Euro-Buxl		(520	)		9/2019	EUR		(119,973,139	)		(4,251,376	)
Euro-Schatz		(22,691	)		9/2019	EUR		(2,897,170,194	)		(4,392,603	)
FTSE/JSE Top 40 Index		(701	)		9/2019	ZAR		(26,095,017	)		153,116
FTSE/MIB Index		(321	)		9/2019	EUR		(38,610,660	)		(233,749	)
LME Copper Base Metal		(38	)		9/2019	USD		(5,693,350	)		6,538
LME Copper Base Metal		(93	)		9/2019	USD		(13,945,652	)		(165,663	)
LME Copper Base Metal		(95	)		9/2019	USD		(14,244,751	)		(380,361	)
LME Copper Base Metal		(185	)		9/2019	USD		(27,742,646	)		(855,125	)
LME Copper Base Metal		(1,120	)		9/2019	USD		(167,888,000	)		(3,820,139	)
Long Gilt		(9,790	)		9/2019	GBP		(1,619,995,159	)		(13,785,044	)
MEX BOLSA Index		(235	)		9/2019	MXN		(5,347,379	)		19,866
S&P 500E-Mini Index		(4,444	)		9/2019	USD		(654,201,240	)		(10,443,559	)
S&P/TSX 60 Index		(72	)		9/2019	CAD		(10,750,930	)		(51,031	)
TOPIX Index		(1,472	)		9/2019	JPY		(211,758,290	)		373,251
U.S. Treasury 10 Year Note		(12,782	)		9/2019	USD		(1,635,696,563	)		(29,534,076	)
U.S. Treasury Long Bond		(1,299	)		9/2019	USD		(202,116,281	)		(5,638,329	)
3 Month Sterling		(14,747	)		12/2019	GBP		(2,321,914,908	)		(1,921,302	)
3 Month Canadian Bankers Acceptance		(75	)		3/2020	CAD		(14,059,457	)		950
3 Month Sterling		(13,583	)		3/2020	GBP		(2,139,613,424	)		(2,009,516	)
3 Month Canadian Bankers Acceptance		(78	)		6/2020	CAD		(14,634,493	)		(69	)
3 Month Sterling		(9,757	)		6/2020	GBP		(1,537,246,251	)		(1,004,267	)
											(97,934,068	)
											$(13,100,648	)

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	96,869,499	USD	67,323,558	CITI		9/18/2019		$846,316
AUD	96,869,490	USD	67,323,636	JPMC		9/18/2019		846,229
BRL	157,822,804	USD	40,096,353	CITI**		9/18/2019		691,676
BRL	157,822,800	USD	40,096,402	JPMC**		9/18/2019		691,627
CAD	477,982,170	USD	356,928,709	CITI		9/18/2019		8,598,070
CAD	477,982,180	USD	356,928,539	JPMC		9/18/2019		8,598,249
CHF	67,374,500	USD	68,609,897	CITI		9/18/2019		904,784

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

189

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CHF	67,374,500	USD	68,609,983	JPMC		9/18/2019		$ 904,699
CNY	85,572,500	USD	12,355,656	CITI**		9/18/2019		93,028
CNY	85,572,500	USD	12,355,671	JPMC**		9/18/2019		93,013
EUR	30,041,500	USD	34,268,191	CITI		9/18/2019		106,943
EUR	30,041,500	USD	34,268,233	JPMC		9/18/2019		106,901
GBP	75,563,741	USD	96,077,111	CITI		9/18/2019		226,909
GBP	75,563,752	USD	96,077,245	JPMC		9/18/2019		226,789
HKD	62,509,500	USD	7,980,600	CITI		9/18/2019		24,274
HKD	62,509,500	USD	7,980,610	JPMC		9/18/2019		24,265
HUF	2,130,500,000	USD	7,382,813	CITI		9/18/2019		152,962
HUF	2,130,500,000	USD	7,382,822	JPMC		9/18/2019		152,952
ILS	324,500	USD	90,437	CITI		9/18/2019		936
ILS	324,500	USD	90,438	JPMC		9/18/2019		935
INR	2,855,124,334	USD	40,508,447	CITI**		9/18/2019		462,387
INR	2,855,124,356	USD	40,508,498	JPMC**		9/18/2019		462,338
JPY	2,923,432,562	USD	26,993,087	CITI		9/18/2019		280,813
JPY	2,923,432,550	USD	26,993,120	JPMC		9/18/2019		280,780
MXN	2,020,302,025	USD	102,089,713	CITI		9/18/2019		1,776,999
MXN	2,001,833,700	USD	101,141,302	JPMC		9/18/2019		1,775,926
NOK	2,302,754	USD	264,728	CITI		9/18/2019		5,809
NOK	2,302,763	USD	264,730	JPMC		9/18/2019		5,809
NZD	192,121,924	USD	126,309,664	CITI		9/18/2019		2,950,144
NZD	192,121,933	USD	126,309,828	JPMC		9/18/2019		2,949,989
PLN	148,000,000	USD	38,724,328	CITI		9/18/2019		986,197
PLN	148,000,000	USD	38,724,376	JPMC		9/18/2019		986,146
SEK	23,529,771	USD	2,482,900	CITI		9/18/2019		65,339
SEK	23,529,776	USD	2,482,904	JPMC		9/18/2019		65,333
SGD	21,867,249	USD	15,945,087	CITI		9/18/2019		236,455
SGD	21,867,252	USD	15,945,109	JPMC		9/18/2019		236,434
USD	58,819,976	CAD	76,828,000	CITI		9/18/2019		67,384
USD	58,819,903	CAD	76,828,000	JPMC		9/18/2019		67,311
USD	54,317,611	GBP	42,519,147	CITI		9/18/2019		128,065
USD	54,317,534	GBP	42,519,140	JPMC		9/18/2019		127,998
USD	4,436,125	HKD	34,609,000	CITI		9/18/2019		4,147
USD	4,436,119	HKD	34,609,000	JPMC		9/18/2019		4,142
USD	2,152,493	INR	150,000,000	CITI**		9/18/2019		4
USD	2,152,491	INR	150,000,000	JPMC**		9/18/2019		1
USD	13,659,610	JPY	1,462,578,128	CITI		9/18/2019		14,619
USD	13,659,593	JPY	1,462,578,130	JPMC		9/18/2019		14,601
USD	30,169,898	MXN	585,502,924	CITI		9/18/2019		68,327
USD	30,169,846	MXN	585,502,933	JPMC		9/18/2019		68,274
ZAR	48,500,000	USD	3,278,554	CITI		9/18/2019		130,652
ZAR	48,500,000	USD	3,278,558	JPMC		9/18/2019		130,648
Total unrealized appreciation								37,644,628
BRL	39,000,000	USD	10,116,966	CITI**		9/18/2019		(37,730	)
BRL	39,000,000	USD	10,116,978	JPMC**		9/18/2019		(37,743	)
CHF	99,137,000	USD	102,448,651	CITI		9/18/2019		(162,520	)
CHF	99,137,000	USD	102,448,779	JPMC		9/18/2019		(162,649	)
CNY	30,245,500	USD	4,403,589	CITI**		9/18/2019		(3,617	)
CNY	30,245,500	USD	4,403,595	JPMC**		9/18/2019		(3,622	)
EUR	84,930,500	USD	97,325,402	CITI		9/18/2019		(143,260	)
EUR	84,930,500	USD	97,325,524	JPMC		9/18/2019		(143,381	)
GBP	48,468,376	USD	61,934,862	CITI		9/18/2019		(163,179	)
GBP	48,468,380	USD	61,934,944	JPMC		9/18/2019		(163,257	)
HKD	1,151,000	USD	147,437	CITI		9/18/2019		(42	)
HKD	1,151,000	USD	147,437	JPMC		9/18/2019		(42	)
JPY	8,063,468,652	USD	75,667,887	CITI		9/18/2019		(440,482	)
JPY	8,063,468,650	USD	75,667,982	JPMC		9/18/2019		(440,577	)
KRW	3,600,000,000	USD	3,117,810	CITI**		9/18/2019		(279	)
KRW	3,600,000,000	USD	3,117,814	JPMC**		9/18/2019		(283	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

190

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
MXN	800,265,136	USD	41,258,942	CITI		9/18/2019		$ (116,128	)
MXN	818,733,480	USD	42,208,749	JPMC		9/18/2019		(116,451	)
NOK	19,831,500	USD	2,336,144	CITI		9/18/2019		(6,251	)
NOK	19,831,500	USD	2,336,147	JPMC		9/18/2019		(6,253	)
SEK	595,690,500	USD	64,710,768	CITI		9/18/2019		(198,419	)
SEK	595,690,500	USD	64,710,849	JPMC		9/18/2019		(198,500	)
USD	54,576,880	AUD	78,517,500	CITI		9/18/2019		(678,159	)
USD	54,576,812	AUD	78,517,500	JPMC		9/18/2019		(678,227	)
USD	64,123,168	BRL	253,327,520	CITI**		9/18/2019		(1,347,287	)
USD	64,123,087	BRL	253,327,514	JPMC**		9/18/2019		(1,347,367	)
USD	98,222,942	CAD	130,382,995	CITI		9/18/2019		(1,484,702	)
USD	98,222,861	CAD	130,383,005	JPMC		9/18/2019		(1,484,791	)
USD	419,089,257	CHF	415,036,640	CITI		9/18/2019		(9,131,207	)
USD	419,088,674	CHF	415,036,582	JPMC		9/18/2019		(9,131,729	)
USD	7,678,815	CNY	53,293,504	CITI**		9/18/2019		(74,072	)
USD	7,678,805	CNY	53,293,496	JPMC**		9/18/2019		(74,082	)
USD	811,455	DKK	5,386,212	CITI		9/18/2019		(14,658	)
USD	811,453	DKK	5,386,211	JPMC		9/18/2019		(14,659	)
USD	266,210,901	EUR	235,593,191	CITI		9/18/2019		(3,367,766	)
USD	266,210,557	EUR	235,593,181	JPMC		9/18/2019		(3,368,099	)
USD	42,341,197	GBP	33,335,862	CITI		9/18/2019		(144,491	)
USD	42,341,130	GBP	33,335,851	JPMC		9/18/2019		(144,544	)
USD	12,795,013	HKD	100,155,500	CITI		9/18/2019		(30,752	)
USD	12,794,997	HKD	100,155,500	JPMC		9/18/2019		(30,768	)
USD	39,576,563	ILS	141,758,547	CITI		9/18/2019		(339,599	)
USD	39,576,512	ILS	141,758,544	JPMC		9/18/2019		(339,648	)
USD	14,371,023	INR	1,010,000,000	CITI**		9/18/2019		(122,407	)
USD	14,370,670	INR	1,010,000,000	JPMC**		9/18/2019		(122,760	)
USD	94,356,787	JPY	10,238,046,896	CITI		9/18/2019		(1,158,151	)
USD	94,356,669	JPY	10,238,046,904	JPMC		9/18/2019		(1,158,268	)
USD	109,751,941	KRW	129,804,274,482	CITI**		9/18/2019		(2,656,095	)
USD	109,751,804	KRW	129,804,274,478	JPMC**		9/18/2019		(2,656,232	)
USD	16,769,736	MXN	335,768,564	CITI		9/18/2019		(492,621	)
USD	16,769,721	MXN	335,768,579	JPMC		9/18/2019		(492,636	)
USD	142,959,966	NOK	1,243,388,960	CITI		9/18/2019		(3,118,912	)
USD	142,959,787	NOK	1,243,388,955	JPMC		9/18/2019		(3,119,090	)
USD	39,907,778	NZD	59,848,500	CITI		9/18/2019		(358,348	)
USD	39,907,728	NZD	59,848,500	JPMC		9/18/2019		(358,398	)
USD	11,527	PLN	44,010	CITI		9/18/2019		(282	)
USD	11,522	PLN	43,990	JPMC		9/18/2019		(281	)
USD	78,070,563	SEK	740,086,909	CITI		9/18/2019		(2,079,691	)
USD	78,070,465	SEK	740,086,906	JPMC		9/18/2019		(2,079,788	)
USD	3,386,029	SGD	4,651,504	CITI		9/18/2019		(56,036	)
USD	3,386,019	SGD	4,651,496	JPMC		9/18/2019		(56,040	)
USD	761,181	THB	23,601,000	CITI		9/18/2019		(9,847	)
USD	761,180	THB	23,601,000	JPMC		9/18/2019		(9,848	)
USD	28,472,333	TWD	894,631,844	CITI**		9/18/2019		(522,579	)
USD	28,472,298	TWD	894,631,840	JPMC**		9/18/2019		(522,615	)
USD	13,384,179	ZAR	197,390,996	CITI		9/18/2019		(491,009	)
USD	13,384,163	ZAR	197,391,004	JPMC		9/18/2019		(491,026	)
Total unrealized depreciation								(57,904,232	)
Net unrealized depreciation							$	(20,259,604	)

** Non-deliverable forward.

The accompanying notes are an integral part of these financial statements. (Continued)

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191

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread(-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/19/2023 - 06/27/2024		$144,847,373		$7,836,873		$(219,932	)		$7,616,941

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
AGL Energy Ltd.		784,400	$	11,031,384	$	(412,403	)		(5.4	)%
Alumina Ltd.		781,610		1,282,970		(86,067	)		(1.1	)
Aurizon Holdings Ltd.		430,930		1,635,884		85,277			1.1
BlueScope Steel Ltd.		637,715		5,422,460		(44,318	)		(0.6	)
CIMIC Group Ltd.		23,163		728,371		(15,684	)		(0.2	)
Flight Centre Travel Group Ltd.		15,656		456,699		(295,683	)		(3.9	)
Fortescue Metals Group Ltd.		788,715		5,015,900		564,816			7.4
Harvey Norman Holdings Ltd.		1,243,014		3,556,982		283,553			3.7
Iluka Resources Ltd.		129,072		979,995		101,030			1.3
Newcrest Mining Ltd.		508,725		11,429,130		3,794,981			49.8
Santos Ltd.		177,392		885,637		51,477			0.7
South32 Ltd.		2,903,775		6,509,220		(804,098	)		(10.6	)
Telstra Corp. Ltd.		4,142,041		11,200,513		1,499,732			19.7
Wesfarmers Ltd.		92,325		2,346,920		7,415			0.1
Woodside Petroleum Ltd.		392,205		10,059,496		1,806,261			23.7

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Short Positions
Common Stock
Australia
AMP Ltd.		(7,035,344	)	$	(10,494,511	)	$	3,508,597			46.1	%
APA Group		(452,877	)		(3,434,306	)		(725,776	)		(9.5	)
Caltex Australia Ltd.		(34,025	)		(592,280	)		31,956			0.4
Challenger Ltd.		(1,163,828	)		(5,432,344	)		1,848,889			24.3
Commonwealth Bank of Australia		(9,776	)		(568,851	)		(3,914	)		(0.1	)
CSL Ltd.		(3,444	)		(521,504	)		(2,341	)		(0.0	)
Domino’s Pizza Enterprises Ltd.		(28,364	)		(749,600	)		53,797			0.7
Insurance Australia Group Ltd.		(125,418	)		(728,172	)		(6,699	)		(0.1	)
Lendlease Group		(449,157	)		(4,104,361	)		48,162			0.6
Medibank Pvt Ltd.		(2,008,058	)		(4,927,190	)		(954,938	)		(12.5	)
National Australia Bank Ltd.		(22,700	)		(426,399	)		911			0.0
Oil Search Ltd.		(200,559	)		(1,000,155	)		33,249			0.4
Origin Energy Ltd.		(1,072,634	)		(5,515,602	)		(80,146	)		(1.1	)
Qantas Airways Ltd.		(355,652	)		(1,349,659	)		11,326			0.1
QBE Insurance Group Ltd.		(913,530	)		(7,599,810	)		(1,082,177	)		(14.2	)
Ramsay Health Care Ltd.		(30,964	)		(1,571,997	)		(87,081	)		(1.1	)
REA Group Ltd.		(6,387	)		(431,461	)		(321	)		(0.0	)
SEEK Ltd.		(308,356	)		(4,589,662	)		(717,735	)		(9.4	)
Sydney Airport		(75,331	)		(425,582	)		13,509			0.2
Transurban Group		(40,100	)		(415,212	)		12,165			0.2
Treasury Wine Estates Ltd.		(341,434	)		(3,585,909	)		45,278			0.6
Westpac Banking Corp.		(46,128	)		(919,343	)		(3,318	)		(0.0	)
Woolworths Group Ltd.		(25,954	)		(606,057	)		(1,850	)		(0.0	)
WorleyParsons Ltd.		(42,166	)		(438,328	)		(30,580	)		(0.4	)
Ireland
James Hardie Industries plc		(902,260	)		(11,877,517	)		(610,379	)		(8.0	)

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread(-0.45% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.

61 months maturity ranging from 04/19/2023 - 06/13/2024

$155,734,083

$(7,361,065

)

$193,180

$(7,167,885

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)				PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Hong Kong
CK Asset Holdings Ltd.		386,000		$3,023,954		$(39,419	)	��		0.5	%
CK Hutchison Holdings Ltd.		1,113,000		10,978,353		(1,430,651	)			20.0

The accompanying notes are an integral part of these financial statements. (Continued)

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193

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
CLP Holdings Ltd.		1,322,500		$	14,573,684		$	535,435			(7.5	) %
Henderson Land Development Co. Ltd.		2,102,580			11,592,207			243,646			(3.4	)
Hong Kong & China Gas Co. Ltd.		2,547,600			5,647,788			906,899			(12.7	)
Li & Fung Ltd.		9,912,000			1,729,387			(1,985,522	)		27.7
Lifestyle International Holdings Ltd.		369,000			539,824			(177,065	)		2.5
Melco International Development Ltd.		659,000			1,458,219			(685,372	)		9.6
New World Development Co. Ltd.		4,520,000			7,070,047			(186,563	)		2.6
NWS Holdings Ltd.		482,000			991,363			21,708			(0.3	)
Sun Hung Kai Properties Ltd.		125,000			2,120,633			227,055			(3.2	)
Swire Properties Ltd.		229,400			927,399			(17,815	)		0.2
WH Group Ltd.		12,135,000			12,309,659			609,908			(8.5	)
Yue Yuen Industrial Holdings Ltd.		1,563,500			4,288,402			(354,181	)		4.9
Short Positions
Common Stock
China
Minth Group Ltd.		(1,424,000	)		(3,840,465	)		1,300,926			(18.1	)
Hong Kong
AIA Group Ltd.		(3,542,400	)		(38,254,033	)		(6,457,233	)		90.1
ASM Pacific Technology Ltd.		(717,400	)		(7,355,075	)		677,609			(9.5	)
Hang Lung Properties Ltd.		(343,000	)		(816,002	)		(21,157	)		0.3
HK Electric Investments & HK Electric Investments Ltd.		(1,671,500	)		(1,711,478	)		(48,883	)		0.7
HKT Trust & HKT Ltd.		(569,000	)		(903,239	)		(7,647	)		0.1
MTR Corp. Ltd.		(176,000	)		(1,185,509	)		(81,990	)		1.1
Power Assets Holdings Ltd.		(1,142,000	)		(8,215,603	)		(241,062	)		3.4
Techtronic Industries Co. Ltd.		(790,500	)		(6,055,888	)		(1,376,486	)		19.2
Vitasoy International Holdings Ltd.		(160,000	)		(769,436	)		85,449			(1.2	)
Wharf Holdings Ltd. (The)		(855,000	)		(2,266,046	)		130,078			(1.8	)
Wharf Real Estate Investment Co. Ltd.		(318,000	)		(2,241,080	)		13,976			(0.2	)
Macau
MGM China Holdings Ltd.		(1,747,200	)		(2,968,149	)		(16,809	)		0.2
United States
Samsonite International SA		(826,200	)		(1,901,161	)		1,014,101			(14.1	)

The accompanying notes are an integral part of these financial statements. (Continued)

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194

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Tokyo Overnight Average Rate (“TONAR”) or LIBOR plus or minus a specified spread(-0.71% to 0.03%), which is denominated in JPY based on the local currencies of the positions within the swap.

60-61 months maturity ranging from 04/20/2023 - 06/28/2024

$1,422,606,799

$(31,241,785

)

$257,095

$(30,984,690

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Japan
AGC, Inc.		302,100		$	10,465,310		$	(643,402	)		2.1	%
Central Japan Railway Co.		52,700			10,566,773			441,691			(1.4	)
Haseko Corp.		852,400			8,648,186			(3,896,424	)		12.6
Idemitsu Kosan Co. Ltd.		372,000			11,251,141			(1,870,851	)		6.0
Inpex Corp.		1,044,900			9,470,269			(3,946,631	)		12.7
ITOCHU Corp.		1,769,300			33,894,529			(283,389	)		0.9
JFE Holdings, Inc.		746,400			10,990,602			(3,181,584	)		10.3
JXTG Holdings, Inc.		5,072,600			25,281,340			(7,022,224	)		22.7
KDDI Corp.		580,900			14,781,981			87,675			(0.3	)
Marubeni Corp.		4,274,200			28,371,116			(2,909,342	)		9.4
Mazda Motor Corp.		1,109,800			11,487,989			(3,117,214	)		10.1
Mitsubishi Corp.		1,088,400			28,761,385			(1,017,894	)		3.3
Mitsui & Co. Ltd.		1,204,500			19,660,929			(1,147,192	)		3.7
Nippon Telegraph & Telephone Corp.		661,800			30,833,067			956,814			(3.1	)
Obayashi Corp.		1,076,500			10,634,426			(764,741	)		2.5
Resona Holdings, Inc.		2,941,600			12,271,148			(2,343,813	)		7.6
Showa Denko KK		583,600			17,270,587			(1,192,701	)		3.8
Sojitz Corp.		6,565,500			21,128,963			(1,116,973	)		3.6
Sumitomo Corp.		926,700			14,074,790			(1,525,827	)		4.9
Tokyo Electric Power Co. Holdings, Inc.		8,074,100			42,171,543			1,125,860			(3.6	)
Tokyo Gas Co. Ltd.		559,500			13,188,511			(1,166,987	)		3.8
Tosoh Corp.		646,200			9,114,610			(1,529,380	)		4.9
Short Positions
Common Stock
Japan
Aeon Co. Ltd.		(748,100	)		(12,874,388	)		1,246,414			(4.0	)
CyberAgent, Inc.		(472,800	)		(17,229,821	)		4,432,748			(14.3	)
Daifuku Co. Ltd.		(264,700	)		(14,951,109	)		(947,096	)		3.1
Daikin Industries Ltd.		(139,500	)		(18,265,981	)		(1,571,223	)		5.1
FamilyMart UNY Holdings Co. Ltd.		(464,300	)		(11,084,948	)		2,789,379			(9.0	)
Fast Retailing Co. Ltd.		(31,700	)		(19,187,965	)		(5,252,853	)		17.0
Isetan Mitsukoshi Holdings Ltd.		(1,125,500	)		(9,136,340	)		2,535,209			(8.2	)
JGC Corp.		(675,700	)		(9,244,250	)		2,806,453			(9.1	)

The accompanying notes are an integral part of these financial statements. (Continued)

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195

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Japan (continued)
Kansai Paint Co. Ltd.		(441,400	)	$	(9,276,502	)	$	469,375			(1.5	) %
Keyence Corp.		(19,600	)		(12,087,761	)		(517,306	)		1.7
Kikkoman Corp.		(281,500	)		(12,275,176	)		(793,573	)		2.6
LIXIL Group Corp.		(873,100	)		(13,850,001	)		(2,064,299	)		6.7
Marui Group Co. Ltd.		(537,400	)		(10,959,271	)		181,171			(0.6	)
MonotaRO Co. Ltd.		(517,200	)		(12,669,458	)		(729,142	)		2.4
Nidec Corp.		(292,200	)		(40,129,285	)		4,406,701			(14.2	)
Nintendo Co. Ltd.		(50,700	)		(18,601,766	)		(1,744,501	)		5.6
Nippon Paint Holdings Co. Ltd.		(379,600	)		(14,778,088	)		(85,498	)		0.3
Nomura Holdings, Inc.		(3,322,900	)		(11,763,658	)		(528,228	)		1.7
Persol Holdings Co. Ltd.		(559,300	)		(13,186,113	)		(2,078,183	)		6.7
Pigeon Corp.		(301,500	)		(12,158,251	)		1,706,265			(5.5	)
Shimano, Inc.		(59,500	)		(8,866,118	)		(863,721	)		2.8
Sony Financial Holdings, Inc.		(421,600	)		(10,145,891	)		(2,493,964	)		8.0
Takeda Pharmaceutical Co. Ltd.		(337,300	)		(11,998,717	)		385,788			(1.2	)
TOTO Ltd.		(459,500	)		(18,197,246	)		882,930			(2.8	)
Tsuruha Holdings, Inc.		(106,900	)		(9,914,268	)		247,037			(0.8	)
Yamato Holdings Co. Ltd.		(436,700	)		(8,901,487	)		2,505,748			(8.1	)
Yaskawa Electric Corp.		(704,200	)		(24,081,523	)		6,155,433			(19.9	)
ZOZO, Inc.		(878,100	)		(16,479,268	)		1,487,300			(4.8	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-0.12% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/19/2023 - 06/27/2024		$2,862,313,565		$(5,021,106	)		$7,414,166		$2,393,060

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Aflac, Inc.		459,658	$	25,193,855	$	4,345,409			181.6	%
Amgen, Inc.		101,778		18,755,650		(1,856,676	)		(77.6	)
Arrow Electronics, Inc.		305,546		21,776,263		(1,749,684	)		(73.1	)
Assured Guaranty Ltd.		511,295		21,515,294		2,430,022			101.5
Athene Holding Ltd.		491,279		21,154,474		(1,581,941	)		(66.1	)
Biogen, Inc.		87,881		20,552,729		(7,775,609	)		(324.9	)
Boston Beer Co., Inc. (The)		49,989		18,883,845		7,524,215			314.4
Charles River Laboratories International, Inc.		295,061		41,869,156		7,733,197			323.2
Cisco Systems, Inc.		576,257		31,538,546		837,581			35.0
Consolidated Edison, Inc.		229,460		20,119,053		2,759,151			115.3

The accompanying notes are an integral part of these financial statements. (Continued)

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196

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
Deckers Outdoor Corp.		102,514		$	18,039,389		$	6,886,065			287.8	%
Eli Lilly & Co.		146,457			16,225,971			(601,843	)		(25.1	)
Everest Re Group Ltd.		77,903			19,256,064			(19,476	)		(0.8	)
Exelixis, Inc.		834,539			17,834,098			283,277			11.8
Exelon Corp.		599,100			28,720,854			4,993,470			208.7
IQVIA Holdings, Inc.		170,493			27,432,324			7,870,226			328.9
Jabil, Inc.		547,687			17,306,909			1,193,958			49.9
Merck & Co., Inc.		242,739			20,353,665			1,959,768			81.9
Pfizer, Inc.		504,387			21,850,045			(520,330	)		(21.7	)
PRA Health Sciences, Inc.		185,043			18,347,013			(415,532	)		(17.4	)
PulteGroup, Inc.		816,723			25,824,781			2,303,403			96.3
Reinsurance Group of America, Inc.		119,131			18,588,010			352,628			14.7
Robert Half International, Inc.		277,532			15,822,099			(1,412,403	)		(59.0	)
Tech Data Corp.		245,453			25,674,384			5,420,758			226.5
Thermo Fisher Scientific, Inc.		67,891			19,938,229			2,624,096			109.7
Tyson Foods, Inc.		222,129			17,934,695			2,063,578			86.2
Verizon Communications, Inc.		550,641			31,458,120			808,178			33.8
Viacom, Inc.		1,029,760			30,758,931			22,914			1.0
Short Positions
Common Stock
Panama
Copa Holdings SA		(249,068	)		(24,301,565	)		(2,258,137	)		(94.4	)
United States
Alnylam Pharmaceuticals, Inc.		(261,208	)		(18,953,252	)		4,564,189			190.7
American Airlines Group, Inc.		(539,043	)		(17,578,192	)		(542,311	)		(22.7	)
American International Group, Inc.		(513,673	)		(27,368,497	)		(840,914	)		(35.1	)
Aptiv plc		(267,834	)		(21,649,022	)		755,986			31.6
Axalta Coating Systems Ltd.		(705,028	)		(20,988,684	)		1,889,475			79.0
Charter Communications, Inc.		(43,314	)		(17,116,827	)		(3,546,517	)		(148.2	)
Crown Holdings, Inc.		(436,928	)		(26,696,301	)		(7,291,476	)		(304.7	)
FedEx Corp.		(159,310	)		(26,157,109	)		1,242,287			51.9
FirstEnergy Corp.		(664,799	)		(28,460,045	)		(5,139,333	)		(214.8	)
Freeport-McMoRan, Inc.		(1,695,654	)		(19,686,543	)		1,733,480			72.4
Kraft Heinz Co. (The)		(647,811	)		(20,108,053	)		2,347,689			98.1
Liberty Broadband Corp.		(172,415	)		(17,969,091	)		(4,229,872	)		(176.8	)
Martin Marietta Materials, Inc.		(163,863	)		(37,706,515	)		(6,913,363	)		(288.9	)
Newell Brands, Inc.		(1,664,666	)		(25,669,150	)		1,150,383			48.1
Pure Storage, Inc.		(1,263,156	)		(19,288,392	)		3,731,626			155.9
Sealed Air Corp.		(935,808	)		(40,033,866	)		1,139,067			47.6
Tesla, Inc.		(157,347	)		(35,160,761	)		3,884,569			162.3
United Parcel Service, Inc.		(282,799	)		(29,204,653	)		(1,014,558	)		(42.4	)
Vulcan Materials Co.		(260,290	)		(35,740,420	)		(5,471,473	)		(228.6	)
XPO Logistics, Inc.		(334,207	)		(19,320,507	)		398,299			16.6
Zayo Group Holdings, Inc.		(978,546	)		(32,203,949	)		1,425,502			59.6

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

JPMC

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread(-3.05% to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swap.

19-39 months maturity 01/14/2021

$374,363,394

$(14,649,681

)

$2,531,220

$(12,118,461

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Russia
Evraz plc		1,042,043			$8,823,340			$1,531,009			(12.6	)%
South Africa
Investec plc		433,442			2,817,649			(14,867	)		0.1
United Kingdom
Auto Trader Group plc		411,513			2,866,094			(172,863	)		1.4
Babcock International Group plc		548,567			3,193,315			(113,218	)		0.9
Barratt Developments plc		2,038,169			14,831,745			(669,413	)		5.5
Bellway plc		279,711			9,893,080			(2,455,645	)		20.3
Berkeley Group Holdings plc		296,195			14,037,710			168,197			(1.4	)
Britvic plc		229,722			2,591,846			83,887			(0.7	)
BT Group plc		6,226,839			15,569,173			(2,487,164	)		20.5
Centrica plc		2,448,806			2,729,845			(1,496,669	)		12.4
Close Brothers Group plc		176,525			3,168,232			160,106			(1.3	)
Drax Group plc		750,154			2,477,764			(993,879	)		8.2
Greene King plc		654,491			5,133,496			750,313			(6.2	)
Hays plc		1,490,032			2,976,930			(254,195	)		2.1
Howden Joinery Group plc		416,530			2,680,680			254,903			(2.1	)
Inmarsat plc		503,662			3,488,635			5,488			(0.0	)
Marks & Spencer Group plc		1,122,355			3,000,863			(369,013	)		3.0
Micro Focus International plc		212,312			5,583,805			402,733			(3.3	)
National Grid plc		1,094,431			11,639,134			377,258			(3.1	)
Next plc		32,961			2,308,157			(47,040	)		0.4
Pennon Group plc		413,674			3,901,694			18,615			(0.2	)
Persimmon plc		399,860			10,158,427			(3,098,468	)		25.6
Royal Mail plc		1,990,107			5,361,918			(4,138,582	)		34.2
Taylor Wimpey plc		5,555,325			11,147,610			(1,771,156	)		14.6
United Utilities Group plc		1,131,802			11,265,833			(238,487	)		2.0
Short Positions
Common Stock
Australia
Rio Tinto plc		(90,131	)		(5,578,487	)		(480,121	)		4.0
Chile
Antofagasta plc		(528,752	)		(6,245,687	)		(844,269	)		7.0

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
South Africa
Old Mutual Ltd.		(4,176,524	)	$	(6,245,294	)	$	1,870,374			(15.4	) %
Switzerland
Glencore plc		(2,013,207	)		(6,967,563	)		61,595			(0.5	)
United Arab Emirates
NMC Health plc		(354,762	)		(10,854,202	)		913,568			(7.5	)
United Kingdom
B&M European Value Retail SA		(592,662	)		(2,510,272	)		242,095			(2.0	)
BP plc		(1,067,346	)		(7,435,952	)		(301,997	)		2.5
British American Tobacco plc		(194,118	)		(6,777,814	)		4,733,051			(39.1	)
Capita plc		(4,104,036	)		(5,503,100	)		1,053,498			(8.7	)
Cobham plc		(1,807,465	)		(2,446,346	)		582,326			(4.8	)
easyJet plc		(420,370	)		(5,089,620	)		(205,443	)		1.7
GVC Holdings plc		(336,753	)		(2,791,488	)		(225,719	)		1.9
Hargreaves Lansdown plc		(278,920	)		(6,814,915	)		112,487			(0.9	)
Hiscox Ltd.		(149,092	)		(3,203,264	)		(203,929	)		1.7
IMI plc		(177,118	)		(2,336,810	)		357,445			(2.9	)
Melrose Industries plc		(7,498,439	)		(17,237,125	)		(220,679	)		1.8
Mondi plc		(295,688	)		(6,729,906	)		(416,736	)		3.4
Prudential plc		(547,259	)		(11,947,201	)		421,933			(3.5	)
Rentokil Initial plc		(664,852	)		(3,356,630	)		(415,076	)		3.4
Rolls-Royce Holdings plc		(259,986	)		(2,777,415	)		200,316			(1.7	)
RSA Insurance Group plc		(784,038	)		(5,745,868	)		(64,694	)		0.5
Standard Chartered plc		(1,112,650	)		(10,093,812	)		36,180			(0.3	)
Standard Life Aberdeen plc		(1,693,800	)		(6,337,451	)		(176,684	)		1.5
Tesco plc		(1,541,807	)		(4,444,528	)		(97,330	)		0.8
Weir Group plc (The)		(176,045	)		(3,463,924	)		179,078			(1.5	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SARON plus or minus a specified spread(-1.88% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap.	11-27 months maturity 05/18/2020		$165,038,154		$15,136,202		$408,898		$15,545,100

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Switzerland
Adecco Group AG (Registered)		7,070		$424,889		$4,602		0.0	%
Georg Fischer AG (Registered)		455		435,255		12,099		0.1
Helvetia Holding AG (Registered)		22,205		2,787,386		265,067		1.7
Nestle SA (Registered)		69,571		7,202,146		247,937		1.6

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Switzerland (continued)
Novartis AG (Registered)		121,537		$	11,095,329		$	662,380			4.3	%
Roche Holding AG		118,316			33,269,023			2,850,580			18.3
Sonova Holding AG (Registered)		8,204			1,867,219			577,097			3.7
Swiss Life Holding AG (Registered)		55,386			27,459,615			7,302,639			47.0
Zurich Insurance Group AG		46,699			16,248,890			1,416,615			9.1
Short Positions
Common Stock
Austria
ams AG		(165,138	)		(6,465,526	)		(660,598	)		(4.2	)
Switzerland
ABB Ltd. (Registered)		(297,665	)		(5,967,638	)		(174,554	)		(1.1	)
Alcon, Inc.		(22,974	)		(1,418,636	)		(61,690	)		(0.4	)
Cie Financiere Richemont SA (Registered)		(5,167	)		(439,074	)		(4,270	)		(0.0	)
Credit Suisse Group AG (Registered)		(841,870	)		(10,076,488	)		3,182,947			20.5
dormakaba Holding AG		(720	)		(522,193	)		6,007			0.0
Dufry AG (Registered)		(35,249	)		(2,987,100	)		45,127			0.3
EMS-Chemie Holding AG (Registered)		(1,901	)		(1,234,032	)		(67,498	)		(0.4	)
Idorsia Ltd.		(239,111	)		(5,471,616	)		(368,843	)		(2.4	)
Julius Baer Group Ltd.		(130,168	)		(5,799,516	)		(148,425	)		(1.0	)
Kuehne + Nagel International AG (Registered)		(13,734	)		(2,040,007	)		(110,645	)		(0.7	)
LafargeHolcim Ltd. (Registered)		(14,060	)		(687,485	)		4,255			0.0
OC Oerlikon Corp. AG (Registered)		(329,097	)		(4,021,512	)		930,050			6.0
Partners Group Holding AG		(5,342	)		(4,201,054	)		(249,403	)		(1.6	)
Sika AG (Registered)		(9,941	)		(1,698,347	)		(136,362	)		(0.9	)
Sunrise Communications Group AG		(11,647	)		(869,894	)		(26,976	)		(0.2	)
Swatch Group AG (The)		(8,762	)		(2,511,741	)		(52,092	)		(0.3	)
Swiss Re AG		(16,239	)		(1,650,166	)		(4,147	)		(0.0	)
Vifor Pharma AG		(42,801	)		(6,186,377	)		(305,697	)		(2.0	)

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

MSIP

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread(-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap.

9-24 months maturity 02/18/2020

$85,893,536

$(3,775,740

)

$45,585

$(3,730,155

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Denmark
Carlsberg A/S		31,345	$	4,159,396	$	200,897			(5.4	)%
Coloplast A/S		17,695		2,000,222		327,388			(8.8	)
Demant A/S		39,114		1,217,428		(271,745	)		7.3

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Denmark (continued)
GN Store Nord A/S		79,105		$	3,697,962		$	945,292			(25.3	) %
H Lundbeck A/S		125,397			4,966,879			(747,398	)		20.0
ISS A/S		37,375			1,129,950			(26,500	)		0.7
Jyske Bank A/S (Registered)		13,752			477,040			(112,604	)		3.0
Novo Nordisk A/S		113,130			5,778,364			357,583			(9.6	)
Orsted A/S		80,045			6,924,613			1,986,286			(53.2	)
Pandora A/S		117,838			4,192,599			(2,371,989	)		63.6
Rockwool International A/S		21,134			5,406,810			(1,426,971	)		38.3
Vestas Wind Systems A/S		28,194			2,442,551			(33,671	)		0.9
Short Positions
Common Stock
Denmark
AP Moller - Maersk A/S		(16,697	)		(20,776,361	)		(1,135,194	)		30.4
Danske Bank A/S		(38,791	)		(614,578	)		20,462			(0.5	)
Drilling Co. of 1972 A/S (The)		(14,337	)		(1,113,910	)		86,788			(2.3	)
DSV A/S		(5,095	)		(501,705	)		(34,709	)		0.9
FLSmidth & Co. A/S		(67,413	)		(3,054,610	)		420,829			(11.3	)
Genmab A/S		(91,475	)		(16,835,114	)		(1,976,629	)		53.0
Novozymes A/S		(12,942	)		(603,444	)		16,145			(0.4	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread(-5.25% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap.	5-24 months maturity 11/12/2019		$1,047,927,045		$(16,752,230	)		$(381,982	)		$(17,134,212	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Belgium
Ageas		360,730		$18,772,513		$813,824			(4.7	)%
KBC Group NV		124,114		8,145,021		(1,677,161	)		9.8
Finland
Neste OYJ		717,146		24,381,136		8,509,688			(49.7	)
France
Air France-KLM		975,017		9,368,026		(435,857	)		2.5
AXA SA		753,955		19,800,154		1,460,638			(8.5	)
Electricite de France SA		847,324		10,682,941		(2,023,258	)		11.8
Engie SA		2,342,552		35,521,277		(1,277,300	)		7.5

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Peugeot SA		1,336,485		$	32,894,188		$	1,453,041			(8.5	) %
Renault SA		182,637			11,481,892			(6,545,491	)		38.2
TOTAL SA		439,610			24,659,386			77,399			(0.5	)
Germany
Allianz SE (Registered)		126,866			30,597,065			3,120,148			(18.2	)
Deutsche Lufthansa AG (Registered)		1,214,959			20,831,467			(16,023,818	)		93.5
E.ON SE		3,136,991			34,036,721			582,895			(3.4	)
Hannover Rueck SE		95,009			15,362,329			3,483,786			(20.3	)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		63,199			15,841,307			1,671,551			(9.8	)
Volkswagen AG (Preference)		111,738			18,820,890			(2,160,020	)		12.6
Netherlands
Aegon NV		2,188,474			10,871,131			(2,866,682	)		16.7
ASR Nederland NV		227,353			9,237,665			461,756			(2.7	)
Koninklijke Ahold Delhaize NV		1,189,286			26,699,106			(1,158,647	)		6.8
NN Group NV		537,895			21,622,787			(558,971	)		3.3
Spain
Endesa SA		821,181			21,121,240			4,222,625			(24.6	)
Iberdrola SA		1,810,884			18,029,484			1,201,533			(7.0	)
United Kingdom
Unilever NV		114,350			6,947,698			45,856			(0.3	)
Short Positions
Common Stock
Belgium
Anheuser-Busch InBev SA/NV		(128,651	)		(11,384,373	)		150,177			(0.9	)
Galapagos NV		(133,491	)		(17,240,822	)		(3,455,017	)		20.2
Telenet Group Holding NV		(131,116	)		(7,306,120	)		470,861			(2.7	)
Finland
Stora Enso OYJ		(725,758	)		(8,540,485	)		(142,359	)		0.8
France
Accor SA		(319,791	)		(13,726,220	)		704,563			(4.1	)
Airbus SE		(183,594	)		(25,982,506	)		(7,400,114	)		43.2
Edenred		(379,129	)		(19,322,118	)		(8,478,339	)		49.5
EssilorLuxottica SA		(74,027	)		(9,647,340	)		(675,179	)		3.9
Iliad SA		(124,982	)		(14,035,157	)		8,471,094			(49.4	)
Ingenico Group SA		(148,701	)		(13,160,241	)		(560,395	)		3.3
Remy Cointreau SA		(69,760	)		(10,055,444	)		(1,136,868	)		6.6
Valeo SA		(478,971	)		(15,593,352	)		322,239			(1.9	)
Vivendi SA		(377,108	)		(10,348,856	)		(791,721	)		4.6
Germany
Continental AG		(46,646	)		(6,792,544	)		801,014			(4.7	)
Delivery Hero SE		(191,150	)		(8,676,746	)		(938,427	)		5.5
Deutsche Bank AG (Registered)		(3,712,635	)		(28,628,368	)		23,516,229			(137.2	)
OSRAM Licht AG		(357,376	)		(11,805,265	)		2,837,707			(16.6	)
RWE AG		(430,351	)		(10,619,165	)		424,222			(2.5	)
thyssenkrupp AG		(1,018,923	)		(14,877,038	)		(255,154	)		1.5
United Internet AG (Registered)		(217,124	)		(7,153,392	)		1,238,110			(7.2	)
Zalando SE		(145,491	)		(6,441,855	)		(1,310,559	)		7.6
Netherlands
ASML Holding NV		(51,903	)		(10,800,489	)		(1,680,307	)		9.8
Koninklijke KPN NV		(4,270,620	)		(13,114,214	)		(1,382,774	)		8.1
OCI NV		(239,601	)		(6,578,921	)		(1,142,594	)		6.7

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Spain
Cellnex Telecom SA		(722,518	)	$	(26,728,447	)	$	(7,870,977	)		45.9	%
Ferrovial SA		(447,702	)		(11,460,552	)		(1,379,706	)		8.1
Industria de Diseno Textil SA		(1,071,369	)		(32,234,592	)		(891,660	)		5.2

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread(-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap.	8-24 months maturity 02/18/2020		$40,286,804		$2,501,565		$(240,973	)		$2,260,592

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Norway
DNB ASA		136,705		$	2,547,313		$	(38,169	)		(1.7	)%
Equinor ASA		174,913			3,469,816			(903,058	)		(39.9	)
Gjensidige Forsikring ASA		30,902			622,834			50,447			2.2
Mowi ASA		797,371			18,657,618			5,206,365			230.3
Salmar ASA		52,364			2,279,549			162,994			7.2
Short Positions
Common Stock
France
Adevinta ASA		(114,123	)		(1,268,264	)		(550,834	)		(24.4	)
Norway
Norsk Hydro ASA		(514,903	)		(1,844,250	)		119,026			5.3
Schibsted ASA		(191,286	)		(5,283,663	)		(1,506,544	)		(66.6	)
Telenor ASA		(60,440	)		(1,284,120	)		33,711			1.5
Yara International ASA		(24,421	)		(1,186,391	)		(111,075	)		(4.9	)
United Kingdom
Subsea 7 SA		(152,420	)		(1,842,986	)		38,702			1.7

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread(-1.50% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap.	8-24 months maturity 02/18/2020		$79,237,613		$(7,926,172	)		$(350,594	)		$(8,276,766	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Malta
Kindred Group plc		85,788		$	728,289		$	(358,976	)		4.3	%
Sweden
Atlas Copco AB		13,593			435,597			6,769			(0.1	)
Axfood AB		77,969			1,543,799			51,852			(0.6	)
Boliden AB		399,721			10,242,424			(2,005,172	)		24.2
Essity AB		35,039			1,077,919			12,517			(0.2	)
Getinge AB		26,973			425,347			(709	)		0.0
Hennes & Mauritz AB		151,245			2,687,039			190,445			(2.3	)
ICA Gruppen AB		18,335			788,407			59,272			(0.7	)
Sandvik AB		71,717			1,317,876			17,036			(0.2	)
Securitas AB		190,080			3,336,384			502,987			(6.1	)
Skanska AB		34,984			632,125			28,939			(0.3	)
SKF AB		149,555			2,753,209			122,181			(1.5	)
SSAB AB		837,116			2,922,912			(1,231,795	)		14.9
Swedbank AB		34,962			526,330			(221,514	)		2.7
Swedish Orphan Biovitrum AB		310,033			5,983,048			(1,349,049	)		16.3
Trelleborg AB		30,959			440,114			(1,514	)		0.0
Volvo AB		374,180			5,945,600			73,922			(0.9	)
Short Positions
Common Stock
Colombia
Millicom International Cellular SA		(81,137	)		(4,567,324	)		218,755			(2.6	)
Sweden
BillerudKorsnas AB		(64,272	)		(856,362	)		(53,749	)		0.6
Elekta AB		(65,765	)		(956,009	)		(81,465	)		1.0
Hexagon AB		(17,982	)		(999,865	)		(81,078	)		1.0
Hexpol AB		(133,703	)		(1,090,696	)		(35,520	)		0.4
Husqvarna AB		(230,252	)		(2,156,208	)		(62,035	)		0.7
Nibe Industrier AB		(30,527	)		(447,120	)		(27,901	)		0.3
Saab AB		(16,531	)		(538,398	)		(19,262	)		0.2
Svenska Cellulosa AB SCA		(1,433,523	)		(12,470,661	)		(648,816	)		7.8
Svenska Handelsbanken AB		(115,672	)		(1,141,532	)		11,479			(0.1	)
Swedish Match AB		(60,629	)		(2,563,289	)		315,651			(3.8	)
Tele2 AB		(117,826	)		(1,720,872	)		(29,460	)		0.4
Telefonaktiebolaget LM Ericsson		(836,819	)		(7,942,858	)		(3,329,962	)		40.2

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$88,788,777			$88,788,777
U.S. Treasury Bills		—			37,733,802			37,733,802
CITI
Investment Companies		47,787,463			—			47,787,463
GSCO
Cash		—			(4,962,848	)		(4,962,848	)
U.S. Treasury Bills		—			56,767,131			56,767,131
GSIN
Investment Companies		386,176,460			—			386,176,460
JPMC
Cash		(1,410,000	)		—			(1,410,000	)
Investment Companies		94,591,593			—			94,591,593
JPMS
Cash		—			18,172,242			18,172,242
MLIN
Cash		100,000			—			100,000
MSCL
Cash		—			29,261,030			29,261,030
MSIP
U.S. Treasury Bills		91,292,009			—			91,292,009

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$18,784,163		$—		$18,784,163
GSCO
Cash		—		9,097,103		9,097,103
GSIN
Cash		2,730,000		—		2,730,000
JPPC
Cash		—		16,268,602		16,268,602
MACQ
U.S. Treasury Bills		2,429,947		—		2,429,947
MSCL
Cash		—		41,798,799		41,798,799

The accompanying notes are an integral part of these financial statements.

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
LONG POSITIONS - 117.7%
COMMON STOCKS - 27.1%
Belgium - 0.6%
Ageas (a)(b)		17,888	$	930,897
bpost SA		9,917		94,105
Colruyt SA (a)		2,942		170,795
KBC Group NV		1,087		71,335
Proximus SADP (a)		7,188		212,440
Solvay SA		389		40,398
UCB SA (a)		4,474		371,296
				1,891,266
Canada - 2.8%
Air Canada (1)*(a)		39,940		1,210,507
Alimentation Couche-Tard, Inc., Class B (1)(a)		2,775		174,631
ARC Resources Ltd. (1)		10,476		51,278
Atco Ltd., Class I (1)		2,821		95,085
Bank of Montreal (1)(a)		4,666		352,458
Bank of Nova Scotia (The) (1)(a)		2,439		131,006
Brookfield Asset Management, Inc., Class A (1)		1,138		54,443
Canadian Imperial Bank of Commerce (1)(a)		6,933		545,195
Canadian National Railway Co. (1)		399		36,928
Canadian Pacific Railway Ltd. (1)		129		30,383
Canadian Tire Corp. Ltd., Class A (1)(a)		1,711		186,419
CGI, Inc. (1)*(a)		9,203		707,540
CI Financial Corp. (1)(a)		8,730		142,261
Cronos Group, Inc. (1)*		5,230		83,908
Emera, Inc. (1)(a)		4,232		172,925
Empire Co. Ltd., Class A (1)		2,989		75,276
Encana Corp. (1)		5,309		27,243
Gildan Activewear, Inc. (1)		1,785		69,080
Husky Energy, Inc. (1)		2,347		22,241
Hydro One Ltd. (1)(a)(c)		9,640		168,132
iA Financial Corp., Inc. (1)		1,514		61,668
IGM Financial, Inc. (1)		1,952		55,733
Intact Financial Corp. (1)		243		22,456
Kinross Gold Corp. (1)*		12,948		50,030
Linamar Corp. (1)(a)		3,045		113,657
Magna International, Inc. (1)(a)		7,620		379,153
Manulife Financial Corp. (1)(a)		31,170		566,489
Methanex Corp. (1)(a)		5,149		233,751
National Bank of Canada (1)(a)		6,140		291,680
Northland Power, Inc. (1)		2,533		49,323
Open Text Corp. (1)		543		22,407
Peyto Exploration & Development Corp. (1)(b)		38,548		115,389
Power Financial Corp. (1)		2,547		58,582
Quebecor, Inc., Class B (1)(a)		10,837		258,109
Rogers Communications, Inc., Class B (1)(a)		3,885		207,963
Royal Bank of Canada (1)(a)		5,176		411,337
Seven Generations Energy Ltd., Class A (1)*(a)		49,010		240,269
Teck Resources Ltd., Class B (1)		3,997		92,237
Thomson Reuters Corp. (1)		345		22,256

INVESTMENTS	SHARES		VALUE
Canada - 2.8% (continued)
Toronto-Dominion Bank (The) (1)(a)		11,623	$	679,159
Tourmaline Oil Corp. (1)(a)		28,104		357,966
West Fraser Timber Co. Ltd. (1)(a)		2,873		130,975
				8,757,528
China - 0.2%
Yangzijiang Shipbuilding Holdings Ltd.		527,700		597,868
Denmark - 0.7%
Carlsberg A/S, Class B (a)		1,100		145,967
Demant A/S *		3,002		93,438
GN Store Nord A/S (a)		4,358		203,726
H Lundbeck A/S (a)		5,687		225,258
ISS A/S		1,860		56,233
Novo Nordisk A/S, Class B (a)		3,189		162,885
Orsted A/S (a)(c)		1,765		152,688
Pandora A/S (a)		13,116		466,659
Rockwool International A/S, Class B (b)		1,657		423,918
Vestas Wind Systems A/S (a)		2,680		232,178
				2,162,950
Finland - 0.4%
Fortum OYJ		1,434		31,694
Kesko OYJ, Class B (a)		3,787		210,514
Kone OYJ, Class B		400		23,621
Metso OYJ		1,495		58,838
Neste OYJ (a)		21,131		718,399
Nokia OYJ		7,606		37,884
Orion OYJ, Class B (a)		2,942		107,886
Sampo OYJ, Class A (a)		3,824		180,510
				1,369,346
Germany - 0.4%
Aurubis AG (b)		2,751		134,361
Deutsche Lufthansa AG (Registered) (a)		70,591		1,210,341
				1,344,702
Italy - 3.1%
A2A SpA		391,175		679,049
Assicurazioni Generali SpA (a)		76,162		1,433,946
Autogrill SpA (b)		3,172		33,270
BPER Banca		12,147		49,513
Enel SpA (a)		452,172		3,154,238
Eni SpA (a)		52,294		869,509
Hera SpA		49,152		188,007
Italgas SpA		32,010		215,137
Leonardo SpA (a)		26,218		332,616
Poste Italiane SpA (c)		112,182		1,182,140
Terna Rete Elettrica Nazionale SpA (a)		48,164		306,883
Unipol Gruppo SpA		49,536		241,376
UnipolSai Assicurazioni SpA (a)		199,883		513,588
				9,199,272
Japan - 12.5%
Advantest Corp. (a)		7,900		217,494
AGC, Inc. (a)		22,600		782,906
Alfresa Holdings Corp. (a)		21,100		521,826
Alps Alpine Co. Ltd.		3,800		64,355

The accompanying notes are an integral part of these financial statements. (Continued)

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206

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Japan - 12.5% (continued)
Amada Holdings Co. Ltd. (a)		12,900	$	145,812
Aozora Bank Ltd. (a)		3,800		91,370
Astellas Pharma, Inc. (a)		16,700		237,988
Bandai Namco Holdings, Inc. (a)		10,800		524,066
Brother Industries Ltd. (a)		6,200		117,437
Central Japan Railway Co. (a)		2,500		501,270
Chubu Electric Power Co., Inc. (a)		28,400		398,944
Citizen Watch Co. Ltd.		13,100		67,408
Daicel Corp. (b)		8,200		73,078
Dai-ichi Life Holdings, Inc. (a)		22,500		340,419
DeNA Co. Ltd.		2,000		38,345
East Japan Railway Co.		200		18,729
Electric Power Development Co. Ltd. (a)		14,000		318,587
Fujitsu Ltd. (a)		5,100		356,420
Fukuoka Financial Group, Inc. (a)		6,900		126,362
GMO Payment Gateway, Inc.		1,200		82,929
GungHo Online Entertainment, Inc. (a)		14,280		396,567
Hakuhodo DY Holdings, Inc.		3,300		55,739
Haseko Corp. (a)		33,600		340,895
Hitachi Chemical Co. Ltd. (a)		4,200		114,474
Hitachi High-Technologies Corp.		1,200		61,691
Hitachi Ltd. (a)		17,400		640,193
Hoya Corp. (a)		2,000		153,709
Idemitsu Kosan Co. Ltd. (a)		14,100		426,455
Inpex Corp. (a)		41,000		371,596
Isuzu Motors Ltd.		3,400		38,832
ITOCHU Corp. (a)		81,900		1,568,961
Itochu Techno-Solutions Corp.		1,400		35,992
Japan Airlines Co. Ltd. (a)		8,500		271,284
Japan Post Holdings Co. Ltd. (a)		45,000		509,626
JFE Holdings, Inc. (a)		28,900		425,547
JTEKT Corp. (a)		13,200		160,502
JXTG Holdings, Inc. (a)		208,600		1,039,642
Kajima Corp. (a)		17,600		242,079
Kaken Pharmaceutical Co. Ltd.		700		32,831
Kamigumi Co. Ltd. (a)		13,500		320,135
KDDI Corp. (a)		40,000		1,017,867
Kobe Steel Ltd. (a)		26,900		176,563
Konica Minolta, Inc. (a)		28,700		279,641
Kyocera Corp. (a)		4,500		294,857
Kyushu Railway Co. (a)		12,400		361,742
Mabuchi Motor Co. Ltd.		2,600		89,200
Marubeni Corp. (a)		168,700		1,119,790
Mazda Motor Corp. (a)		56,600		585,890
Medipal Holdings Corp. (a)		27,800		614,895
MINEBEA MITSUMI, Inc. (a)		10,200		173,783
Mitsubishi Chemical Holdings Corp. (a)		49,200		344,465
Mitsubishi Corp. (a)		45,600		1,204,997
Mitsubishi Electric Corp. (a)		17,100		226,063
Mitsubishi Gas Chemical Co., Inc.		5,200		69,552
Mitsubishi Heavy Industries Ltd. (a)		3,400		148,281
Mitsubishi UFJ Financial Group, Inc. (a)		37,100		176,706
Mitsubishi UFJ Lease & Finance Co. Ltd.		8,100		43,043
Mitsui & Co. Ltd. (a)		61,700		1,007,123
Mitsui Chemicals, Inc. (a)		10,200		253,414
Mixi, Inc.		14,400		289,184

INVESTMENTS	SHARES		VALUE
Japan - 12.5% (continued)
MS&AD Insurance Group Holdings, Inc. (a)		10,400	$	330,579
Murata Manufacturing Co. Ltd. (a)		6,600		297,137
Nexon Co. Ltd. *(a)(b)		23,900		349,171
NH Foods Ltd.		700		30,012
NHK Spring Co. Ltd. (a)		27,000		208,725
Nippon Electric Glass Co. Ltd.		1,600		40,666
Nippon Express Co. Ltd. (b)		1,000		53,300
Nippon Shokubai Co. Ltd.		1,300		86,176
Nippon Steel Corp. (a)		18,900		325,270
Nippon Telegraph & Telephone Corp. (a)		48,200		2,245,625
NSK Ltd.		7,300		65,250
NTT Data Corp.		4,700		62,755
Obayashi Corp. (a)		41,200		407,003
Obic Co. Ltd.		600		68,187
ORIX Corp. (a)		36,600		546,983
Osaka Gas Co. Ltd. (a)		14,900		260,034
Otsuka Corp.		600		24,196
Resona Holdings, Inc. (a)		202,000		842,661
Rohm Co. Ltd. (b)		800		53,901
Sawai Pharmaceutical Co. Ltd. (a)		1,900		102,839
Shimamura Co. Ltd. (b)		700		52,406
Shin-Etsu Chemical Co. Ltd.		300		28,069
Shinsei Bank Ltd. (a)		13,700		213,204
Shionogi & Co. Ltd. (a)		4,400		254,245
Showa Denko KK (a)		28,000		828,609
Sojitz Corp. (a)		442,400		1,423,723
Sompo Holdings, Inc. (a)		5,100		197,276
Sosei Group Corp. *		1,200		26,525
SUMCO Corp. (a)		8,800		104,896
Sumitomo Chemical Co. Ltd. (a)		45,700		212,795
Sumitomo Corp. (a)		37,700		572,590
Sumitomo Heavy Industries Ltd. (a)		11,900		411,120
Sumitomo Mitsui Financial Group, Inc. (a)		10,200		361,546
Sumitomo Mitsui Trust Holdings, Inc. (a)		3,400		123,527
Suzuken Co. Ltd. (a)		9,570		562,367
Taiheiyo Cement Corp. (a)		12,000		364,328
Taisei Corp. (a)		3,800		138,421
TDK Corp. (a)		1,700		132,420
Teijin Ltd. (a)		15,800		269,936
THK Co. Ltd.		3,100		74,566
Toho Gas Co. Ltd. (a)		4,200		154,864
Tohoku Electric Power Co., Inc. (b)		3,300		33,392
Tokio Marine Holdings, Inc. (a)		8,800		441,543
Tokyo Broadcasting System Holdings, Inc.		4,800		82,127
Tokyo Electric Power Co. Holdings, Inc. *(a)		403,700		2,108,551
Tokyo Gas Co. Ltd. (a)		33,900		799,089
Toppan Printing Co. Ltd. (b)		5,600		85,155
Tosoh Corp. (a)		29,100		410,454
Toyo Seikan Group Holdings Ltd. (a)		21,000		417,539
Toyota Tsusho Corp.		1,500		45,565
Yamaguchi Financial Group, Inc. (a)		21,600		147,820
				38,188,689

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

207

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES		VALUE
Luxembourg - 0.1%
ArcelorMittal (a)		12,312	$	220,237
Malta - 0.0% (d)
Kindred Group plc, SDR		10,091		85,667
Netherlands - 1.4%
Aegon NV (a)		111,109		551,928
ASM International NV		480		31,153
ASR Nederland NV (a)		9,178		372,915
Koninklijke Ahold Delhaize NV (a)		80,875		1,815,619
NN Group NV (a)		26,062		1,047,664
Randstad NV (a)		4,156		228,093
Signify NV (a)(c)		7,071		208,631
Wolters Kluwer NV		307		22,335
				4,278,338
Norway - 0.5%
Equinor ASA (a)		28,201		559,434
Leroy Seafood Group ASA (a)		27,578		182,702
Mowi ASA (a)		24,816		580,667
Salmar ASA (a)		4,202		182,925
				1,505,728
Singapore - 0.2%
ComfortDelGro Corp. Ltd.		219,800		432,258
Genting Singapore Ltd.		34,400		23,404
Venture Corp. Ltd. (b)		19,900		240,266
Wilmar International Ltd. (b)		13,300		36,408
				732,336
Spain - 1.5%
Acciona SA (a)		1,070		114,835
ACS Actividades de Construccion y Servicios SA (a)		3,775		151,034
Banco Bilbao Vizcaya Argentaria SA		5,958		33,232
Cia de Distribucion Integral Logista Holdings SA		516		11,684
Ebro Foods SA		1,794		38,387
Endesa SA (a)		43,720		1,124,504
Iberdrola SA (a)		99,716		992,791
Mapfre SA (a)		113,313		331,364
Mediaset Espana Comunicacion SA		453		3,297
Naturgy Energy Group SA (a)		8,820		243,069
Red Electrica Corp. SA (a)		9,324		194,201
Repsol SA (a)		39,367		617,780
Telefonica SA (a)		82,773		680,667
				4,536,845
Sweden - 0.7%
Axfood AB		5,920		117,217
Boliden AB		9,334		239,174
Essity AB, Class B		727		22,365
Getinge AB, Class B		2,931		46,220
Hennes & Mauritz AB, Class B		8,077		143,497
ICA Gruppen AB		1,258		54,094
Sandvik AB		3,052		56,084
Securitas AB, Class B		9,278		162,852
Skanska AB, Class B (b)		3,464		62,591
SKF AB, Class B		8,326		153,276

INVESTMENTS	SHARES		VALUE
Sweden - 0.7% (continued)
SSAB AB, Class A (b)		83,131	$	290,264
Swedish Orphan Biovitrum AB *		23,712		457,597
Telefonaktiebolaget LM Ericsson, Class B		6,878		65,284
Volvo AB, Class B		19,009		302,047
				2,172,562
Switzerland - 1.4%
Adecco Group AG (Registered)		425		25,541
Helvetia Holding AG (Registered)		2,323		291,605
Novartis AG (Registered) (a)		5,246		478,917
Roche Holding AG (a)		5,485		1,542,315
Swiss Life Holding AG (Registered) (a)		2,574		1,276,154
Zurich Insurance Group AG (a)		2,142		745,308
				4,359,840
United Kingdom - 0.4%
Fiat Chrysler Automobiles NV		87,944		1,220,525
Unilever NV, CVA		608		36,941
				1,257,466
United States - 0.2%
Bausch Health Cos., Inc. (1)*		6,016		151,784
BRP, Inc. (1)(a)		12,603		450,399
				602,183
TOTAL COMMON STOCKS (Cost $78,085,391)				83,262,823
SHORT-TERM INVESTMENTS - 90.6%
INVESTMENT COMPANIES - 67.3%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(e)(f)		6,640,693		6,640,692
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 2.29% (1)(e)(f)		140,619		140,619
Limited Purpose Cash Investment Fund, 2.36% (1)(e)(g)		193,942,834		193,981,623
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(e)		6,585,391		6,585,391
TOTAL INVESTMENT COMPANIES (Cost $207,284,973)				207,348,325
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 23.3%
U.S. Treasury Bills
2.49%, 7/18/2019 (h)	$	1,372,000		1,370,671
2.48%, 7/25/2019 (h)		1,630,000		1,627,881
2.48%, 8/15/2019 (h)(i)		4,997,000		4,983,930
2.47%, 8/29/2019 (h)(i)		10,148,000		10,113,074
2.49%, 9/5/2019 (h)(i)		13,626,000		13,573,726
2.41%, 10/3/2019 (h)		2,338,000		2,325,226
2.41%, 11/7/2019 (h)		2,510,000		2,491,450
2.38%, 11/14/2019 (h)(i)		12,333,000		12,237,254
2.16%, 11/21/2019 (h)		4,931,000		4,890,651
2.16%, 11/29/2019 (h)		4,931,000		4,888,290
2.15%, 12/5/2019 (h)(i)		4,931,000		4,887,722

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

208

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	PRINCIPAL AMOUNT			VALUE
U.S. TREASURY OBLIGATIONS - 23.3% (continued)
2.16%, 12/12/2019 (h)(i)	$	4,931,000		$	4,885,259
2.15%, 12/19/2019 (h)(i)		1,827,000			1,809,286
2.05%, 12/26/2019 (h)		1,461,000			1,446,209
TOTAL U.S. TREASURY OBLIGATIONS (Cost $71,485,730)					71,530,629
TOTALSHORT-TERM INVESTMENTS (Cost $278,770,703)					278,878,954
TOTAL LONG POSITIONS (Cost $356,856,094)					362,141,777
		SHARES
SHORT POSITIONS - (22.3)%
COMMON STOCKS - (22.3)%
Austria - (0.1)%
ams AG *		(6,174	)		(241,726	)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(5,607	)		(496,165	)
Galapagos NV *		(6,450	)		(833,040	)
Telenet Group Holding NV		(8,773	)		(488,854	)
Umicore SA		(1,338	)		(42,939	)
					(1,860,998	)
Canada - (3.0)%
Agnico Eagle Mines Ltd. (1)		(2,660	)		(136,377	)
AltaGas Ltd. (1)		(56,590	)		(856,055	)
Barrick Gold Corp. (1)		(18,920	)		(298,634	)
BlackBerry Ltd. (1)*		(37,596	)		(280,201	)
Bombardier, Inc., Class B (1)*		(283,594	)		(476,428	)
Cameco Corp. (1)		(24,595	)		(263,689	)
Canadian Natural Resources Ltd. (1)		(2,064	)		(55,653	)
CCL Industries, Inc., Class B (1)		(5,395	)		(264,569	)
Cenovus Energy, Inc. (1)		(74,183	)		(654,281	)
Dollarama, Inc. (1)		(25,546	)		(898,708	)
Element Fleet Management Corp. (1)		(30,398	)		(221,912	)
Enbridge, Inc. (1)		(10,461	)		(377,844	)
Fairfax Financial Holdings Ltd. (1)		(97	)		(47,610	)
Finning International, Inc. (1)		(6,882	)		(125,443	)
Franco-Nevada Corp. (1)		(761	)		(64,591	)
George Weston Ltd. (1)		(698	)		(52,965	)
Inter Pipeline Ltd. (1)		(11,460	)		(178,260	)
Keyera Corp. (1)		(3,885	)		(99,977	)
Metro, Inc. (1)		(1,496	)		(56,136	)
Nutrien Ltd. (1)		(1,315	)		(70,342	)
Onex Corp. (1)		(970	)		(58,509	)
Pembina Pipeline Corp. (1)		(12,893	)		(479,962	)
PrairieSky Royalty Ltd. (1)		(16,820	)		(236,332	)
Restaurant Brands International, Inc. (1)		(1,592	)		(110,712	)
Saputo, Inc. (1)		(1,370	)		(41,010	)
Shopify, Inc., Class A (1)*		(1,647	)		(494,999	)
SNC-Lavalin Group, Inc. (1)		(13,757	)		(278,176	)
Stars Group, Inc. (The) (1)*		(15,149	)		(258,547	)
Suncor Energy, Inc. (1)		(3,821	)		(119,192	)
TC Energy Corp. (1)		(5,555	)		(275,385	)
Vermilion Energy, Inc. (1)		(5,964	)		(129,568	)

INVESTMENTS	SHARES			VALUE
Canada - (3.0)% (continued)
Wheaton Precious Metals Corp. (1)		(30,481	)	$	(737,149	)
Whitecap Resources, Inc. (1)		(18,447	)		(59,868	)
WSP Global, Inc. (1)		(464	)		(25,543	)
					(8,784,627	)
Chile - 0.0% (d)
Lundin Mining Corp. (1)		(20,778	)		(114,398	)
Colombia - 0.0% (d)
Millicom International Cellular SA, SDR		(2,594	)		(146,020	)
Denmark - (0.7)%
AP Moller - Maersk A/S, Class B		(928	)		(1,154,726	)
Drilling Co. of 1972 A/S (The) *		(1,050	)		(81,579	)
FLSmidth & Co. A/S		(4,331	)		(196,246	)
Genmab A/S *		(4,135	)		(761,008	)
					(2,193,559	)
Finland - (0.1)%
Huhtamaki OYJ		(621	)		(25,540	)
Nokian Renkaat OYJ		(740	)		(23,110	)
Stora Enso OYJ, Class R		(31,813	)		(374,365	)
					(423,015	)
France - 0.0% (d)
Adevinta ASA, Class A *		(4,811	)		(53,465	)
Germany - (0.3)%
OSRAM Licht AG		(25,317	)		(836,301	)
Italy - (1.6)%
Atlantia SpA		(23,986	)		(625,467	)
Banca Generali SpA		(6,647	)		(191,397	)
Buzzi Unicem SpA		(11,812	)		(239,829	)
Davide Campari-Milano SpA		(24,168	)		(236,766	)
Ferrari NV		(10,411	)		(1,688,035	)
FinecoBank Banca Fineco SpA		(19,914	)		(222,150	)
Freni Brembo SpA		(21,610	)		(248,696	)
Intesa Sanpaolo SpA		(53,187	)		(113,863	)
Moncler SpA		(2,794	)		(119,755	)
Pirelli & C SpA (c)		(13,552	)		(79,996	)
Prysmian SpA		(40,073	)		(827,977	)
Saipem SpA *		(18,299	)		(91,319	)
Telecom Italia SpA *		(209,125	)		(114,173	)
					(4,799,423	)
Japan - (12.0)%
Acom Co. Ltd.		(57,600	)		(207,864	)
Aeon Co. Ltd.		(36,800	)		(633,308	)
AEON Financial Service Co. Ltd.		(10,700	)		(172,696	)
Asahi Intecc Co. Ltd.		(6,800	)		(168,090	)
Asics Corp.		(44,500	)		(483,276	)
Bank of Kyoto Ltd. (The)		(6,200	)		(240,374	)
Benesse Holdings, Inc.		(7,500	)		(175,030	)
Calbee, Inc.		(6,800	)		(183,654	)
Canon, Inc.		(4,700	)		(137,630	)
Casio Computer Co. Ltd.		(6,600	)		(82,289	)
Chugoku Electric Power Co., Inc. (The)		(20,600	)		(259,782	)
Coca-Cola Bottlers Japan Holdings, Inc.		(11,900	)		(301,833	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

209

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Japan - (12.0)% (continued)
Cosmos Pharmaceutical Corp.		(3,400	)	$	(578,083	)
Credit Saison Co. Ltd.		(2,500	)		(29,341	)
CyberAgent, Inc.		(28,200	)		(1,027,667	)
Daifuku Co. Ltd.		(12,800	)		(722,985	)
Daikin Industries Ltd.		(6,200	)		(811,821	)
Daiwa Securities Group, Inc.		(23,700	)		(104,054	)
Denso Corp.		(5,300	)		(223,480	)
Disco Corp.		(2,600	)		(429,041	)
FamilyMart UNY Holdings Co. Ltd.		(22,200	)		(530,015	)
FANUC Corp.		(1,500	)		(278,719	)
Fast Retailing Co. Ltd.		(1,000	)		(605,299	)
Fuji Electric Co. Ltd.		(2,900	)		(100,505	)
Hachijuni Bank Ltd. (The)		(5,600	)		(22,869	)
Hikari Tsushin, Inc.		(1,200	)		(262,160	)
Hirose Electric Co. Ltd.		(900	)		(100,708	)
Hisamitsu Pharmaceutical Co., Inc.		(1,100	)		(43,594	)
Hokuriku Electric Power Co.		(31,400	)		(227,987	)
Hoshizaki Corp.		(800	)		(59,657	)
Isetan Mitsukoshi Holdings Ltd.		(47,600	)		(386,397	)
Iyo Bank Ltd. (The)		(10,900	)		(55,148	)
Izumi Co. Ltd.		(2,500	)		(101,235	)
J Front Retailing Co. Ltd.		(13,600	)		(156,241	)
Japan Airport Terminal Co. Ltd.		(9,200	)		(393,474	)
JGC Corp.		(39,800	)		(544,504	)
Kakaku.com, Inc.		(10,300	)		(199,207	)
Kansai Paint Co. Ltd.		(33,800	)		(710,344	)
Keikyu Corp.		(25,299	)		(436,226	)
Keio Corp.		(1,900	)		(125,216	)
Keisei Electric Railway Co. Ltd.		(1,300	)		(47,417	)
Keyence Corp.		(400	)		(246,689	)
Kikkoman Corp.		(13,600	)		(593,046	)
Kintetsu Group Holdings Co. Ltd.		(1,200	)		(57,531	)
Kobayashi Pharmaceutical Co. Ltd.		(600	)		(43,047	)
Koito Manufacturing Co. Ltd.		(5,300	)		(283,637	)
Kose Corp.		(600	)		(101,269	)
Lawson, Inc.		(3,900	)		(187,363	)
LINE Corp. *		(1,300	)		(36,563	)
LIXIL Group Corp.		(69,600	)		(1,104,065	)
M3, Inc.		(6,200	)		(113,775	)
Makita Corp.		(2,300	)		(78,528	)
Marui Group Co. Ltd.		(34,300	)		(699,485	)
McDonald’s Holdings Co. Japan Ltd.		(800	)		(35,296	)
Mercari, Inc. *		(2,500	)		(66,597	)
MISUMI Group, Inc.		(29,500	)		(743,602	)
Mitsubishi Logistics Corp.		(1,600	)		(44,065	)
Mitsubishi Motors Corp.		(11,800	)		(56,677	)
Mitsui OSK Lines Ltd.		(21,100	)		(506,674	)
Mizuho Financial Group, Inc.		(172,500	)		(250,837	)
MonotaRO Co. Ltd.		(18,000	)		(440,932	)
Nabtesco Corp.		(13,500	)		(377,149	)
Nankai Electric Railway Co. Ltd.		(1,600	)		(38,965	)
NGK Spark Plug Co. Ltd.		(2,700	)		(50,796	)
Nidec Corp.		(13,800	)		(1,895,222	)
Nifco, Inc.		(6,100	)		(151,458	)
Nintendo Co. Ltd.		(2,200	)		(807,177	)
Nippon Paint Holdings Co. Ltd.		(15,200	)		(591,746	)
Nippon Shinyaku Co. Ltd.		(7,300	)		(516,769	)

INVESTMENTS	SHARES			VALUE
Japan - (12.0)% (continued)
Nippon Yusen KK		(15,200	)	$	(244,633	)
Nissan Motor Co. Ltd.		(12,800	)		(91,680	)
Nissin Foods Holdings Co. Ltd.		(2,600	)		(167,705	)
Nitori Holdings Co. Ltd.		(2,700	)		(358,296	)
Nomura Holdings, Inc.		(176,300	)		(624,133	)
Odakyu Electric Railway Co. Ltd.		(12,700	)		(311,220	)
Oriental Land Co. Ltd.		(400	)		(49,623	)
Pan Pacific International Holdings Corp.		(4,000	)		(254,318	)
Panasonic Corp.		(15,000	)		(125,297	)
Park24 Co. Ltd.		(13,700	)		(319,862	)
PeptiDream, Inc. *		(7,600	)		(390,351	)
Persol Holdings Co. Ltd.		(40,700	)		(959,547	)
Pigeon Corp.		(12,800	)		(516,171	)
Pola Orbis Holdings, Inc.		(2,200	)		(61,649	)
Rakuten, Inc.		(24,600	)		(294,096	)
Recruit Holdings Co. Ltd.		(700	)		(23,437	)
Renesas Electronics Corp. *		(45,800	)		(227,844	)
Ricoh Co. Ltd.		(3,300	)		(33,014	)
Rinnai Corp.		(600	)		(38,221	)
Ryohin Keikaku Co. Ltd.		(2,900	)		(525,436	)
Sega Sammy Holdings, Inc.		(14,200	)		(172,881	)
Seven Bank Ltd.		(9,600	)		(25,159	)
Sharp Corp.		(10,400	)		(114,720	)
Shikoku Electric Power Co., Inc.		(9,000	)		(83,338	)
Shimadzu Corp.		(5,600	)		(137,861	)
Shimano, Inc.		(800	)		(119,208	)
Softbank Corp.		(1,700	)		(22,084	)
SoftBank Group Corp.		(1,000	)		(48,165	)
Sony Corp.		(6,200	)		(325,810	)
Sony Financial Holdings, Inc.		(9,700	)		(233,433	)
Square Enix Holdings Co. Ltd.		(3,400	)		(109,250	)
Subaru Corp.		(11,900	)		(289,731	)
Sumitomo Metal Mining Co. Ltd.		(5,700	)		(170,866	)
Sundrug Co. Ltd.		(1,100	)		(29,833	)
Suzuki Motor Corp.		(2,200	)		(103,502	)
Sysmex Corp.		(2,100	)		(137,382	)
Takeda Pharmaceutical Co. Ltd.		(20,700	)		(736,358	)
Terumo Corp.		(800	)		(23,899	)
Tobu Railway Co. Ltd.		(4,900	)		(143,004	)
Tokyu Corp.		(5,000	)		(88,774	)
TOTO Ltd.		(30,000	)		(1,188,067	)
Toyota Industries Corp.		(600	)		(33,092	)
Toyota Motor Corp.		(5,900	)		(366,177	)
Tsuruha Holdings, Inc.		(7,600	)		(704,850	)
Welcia Holdings Co. Ltd.		(10,300	)		(420,231	)
Yahoo Japan Corp.		(39,900	)		(117,368	)
Yakult Honsha Co. Ltd.		(7,600	)		(448,543	)
Yamato Holdings Co. Ltd.		(14,300	)		(291,484	)
Yaskawa Electric Corp.		(31,600	)		(1,080,625	)
ZOZO, Inc.		(38,600	)		(724,405	)
					(36,584,813	)
Luxembourg - (0.1)%
Tenaris SA		(21,132	)		(277,163	)
Netherlands - (0.7)%
Aalberts NV		(1,953	)		(76,660	)
Adyen NV *(c)		(161	)		(124,193	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

210

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

INVESTMENTS	SHARES			VALUE
Netherlands - (0.7)% (continued)
Akzo Nobel NV		(1,288	)	$	(121,034	)
Altice Europe NV *		(93,841	)		(336,106	)
ASML Holding NV		(2,290	)		(476,526	)
Koninklijke KPN NV		(194,521	)		(597,334	)
Koninklijke Vopak NV		(2,895	)		(133,317	)
OCI NV *		(8,236	)		(226,143	)
SBM Offshore NV		(8,095	)		(156,270	)
					(2,247,583	)
Norway - (0.1)%
Norsk Hydro ASA		(6,385	)		(22,869	)
Schibsted ASA, Class A		(8,500	)		(234,786	)
Telenor ASA		(2,179	)		(46,295	)
					(303,950	)
Singapore - (0.2)%
CapitaLand Ltd.		(22,000	)		(57,447	)
City Developments Ltd.		(10,100	)		(70,750	)
Jardine Cycle & Carriage Ltd.		(1,200	)		(32,157	)
Keppel Corp. Ltd.		(32,700	)		(161,126	)
Singapore Airlines Ltd.		(6,800	)		(46,596	)
Singapore Telecommunications Ltd.		(138,300	)		(357,964	)
					(726,040	)
Spain - (1.3)%
Amadeus IT Group SA		(3,671	)		(290,910	)
Bankia SA		(28,358	)		(66,982	)
Bankinter SA		(6,873	)		(47,376	)
CaixaBank SA		(8,184	)		(23,472	)
Cellnex Telecom SA *(c)		(34,433	)		(1,273,796	)
Ferrovial SA		(37,604	)		(962,610	)
Grifols SA		(7,297	)		(215,944	)
Industria de Diseno Textil SA		(34,584	)		(1,040,539	)
					(3,921,629	)
Sweden - (0.5)%
BillerudKorsnas AB		(4,314	)		(57,480	)
Elekta AB, Class B		(3,780	)		(54,949	)
Hexagon AB, Class B		(1,038	)		(57,717	)
Hexpol AB		(7,487	)		(61,076	)
Husqvarna AB, Class B		(17,184	)		(160,920	)
Svenska Cellulosa AB SCA, Class B		(124,274	)		(1,081,097	)
Swedish Match AB		(2,733	)		(115,547	)
Tele2 AB, Class B		(6,168	)		(90,085	)
					(1,678,871	)
Switzerland - (0.8)%
ABB Ltd. (Registered)		(6,784	)		(136,007	)
Alcon, Inc. *		(1,862	)		(114,978	)
Cie Financiere Richemont SA (Registered)		(269	)		(22,859	)
Credit Suisse Group AG (Registered) *		(39,015	)		(466,977	)
Dufry AG (Registered) *		(991	)		(83,980	)
Idorsia Ltd. *		(12,279	)		(280,982	)
Julius Baer Group Ltd. *		(5,951	)		(265,141	)
Kuehne + Nagel International AG (Registered)		(426	)		(63,277	)
LafargeHolcim Ltd. (Registered) *		(5,204	)		(254,458	)

INVESTMENTS	SHARES			VALUE
Switzerland - (0.8)% (continued)
OC Oerlikon Corp. AG (Registered)		(15,979	)	$	(195,261	)
Partners Group Holding AG		(49	)		(38,535	)
STMicroelectronics NV		(26,611	)		(471,279	)
Swatch Group AG (The)		(117	)		(33,540	)
Vifor Pharma AG		(1,157	)		(167,231	)
					(2,594,505	)
United Kingdom - (0.1)%
CNH Industrial NV		(22,139	)		(227,439	)
Subsea 7 SA		(4,837	)		(58,487	)
					(285,926	)
Zambia - (0.1)%
First Quantum Minerals Ltd. (1)		(45,744	)		(434,543	)
TOTAL COMMON STOCKS (Proceeds $(68,712,926))					(68,508,555	)
TOTAL SHORT POSITIONS (Proceeds $(68,712,926))					(68,508,555	)
TOTAL INVESTMENTS IN SECURITIES ATVALUE - 95.4% (Cost $288,143,168)					293,633,222
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% (j)				13,932,222
NET ASSETS - 100.0%				$	307,565,444

SECTOR	VALUE			% OF NET ASSETS
Communication Services	$	(269,260	)		(0.1	)%
Consumer Discretionary		(7,684,855	)		(2.5	)
Consumer Staples		(2,624,667	)		(0.9	)
Energy		1,689,061			0.5
Financials		13,388,778			4.4
Health Care		1,874,104			0.6
Industrials		(1,027,008	)		(0.3	)
Information Technology		(723,857	)		(0.2	)
Materials		(268,694	)		(0.1	)
Real Estate		(128,197	)		0.0	(d)
Utilities		10,528,863			3.4
Short-Term Investments		278,878,954			90.6
Total Investments In Securities At Value		293,633,222			95.4
Other Assets in Excess of Liabilities (j)		13,932,222			4.6
Net Assets	$	307,565,444			100.0	%

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

211

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

* Non-income producing security.

(a) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $73,197,971.

(b) All or a portion of this security has been rehypothecated in connection with the Fund’s Master Securities Loan Agreement with State Street Bank and Trust Company with a total value of $1,580,095.

(c) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $233,606, which represents approximately 0.08% of net assets of the fund.

(d) Represents less than 0.05% of net assets.

(e) Represents 7-day effective yield as of June 30, 2019.

(f) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(g) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE

SHARES HELD AT 12/31/18

SHARES PURCHASED

SHARES SOLD

SHARES HELD AT 06/30/19

VALUE AT 06/30/19

DIVIDEND INCOME

NET REALIZED GAIN (LOSS)

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)

Other Affiliates:

SHORT-TERM INVESTMENTS - 63.1%

INVESTMENT COMPANIES - 63.1%

Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $193,918,271)

213,737,105

166,224,000

(186,018,271)

193,942,834

$193,981,623

$1,958,868

$3,709

$33,364

(a) Represents 7-day effective yield as of June 30, 2019.

(h) The rate shown was the effective yield at the date of purchase.

(i) All or a portion of the security pledged as collateral for swap contracts.

(j) 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).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

Total return swap contracts outstanding as of June 30, 2019:

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)

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(3,440,475

)

$72,262

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/23/2019

USD

(828,263

)

18,181

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/23/2019

USD

(2,888,300

)

55,167

DTOP Index September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

09/19/2019

ZAR

(2,104,060

)

1,352

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

212

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

KOSPI 200 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/11/2019

KRW

4,245,600,000

$ 72,542

MSCI Emerging Markets Thailand Net Total Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread(-0.10%)

Increases in total return of reference entity

Monthly

JPMC

09/20/2019

USD

157,910

8,140

MSCI Poland Net Return Index

Decreases in total return of reference entity and pays the WIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

PLN

32,426

108

MSCI South Africa Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the JIBAR plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

ZAR

(21,362,267

)

27,141

MSCI Switzerland Net Return Index

Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

CHF

561,468

4,091

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

1,799,850

80,086

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

10/25/2019

USD

969,150

39,071

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

09/20/2019

PLN

733,120

4,182

WIG20 Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

09/20/2019

PLN

229,100

550

382,873

BIST 30 Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

08/29/2019

TRY

(650,650

)

(1,090

)

iBovespa Index August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MSCS

08/14/2019

BRL

(3,554,950

)

(22,162

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

213

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

MSCI Brazil Net Return Index

Increases in total return of reference entity

Decreases in total return of reference entity and receives the CDI plus or minus a specified spread (0.00%)

Monthly

CITI

09/18/2019

BRL

(525,656

)

$ (2,545

)

MSCI Spain Net Return Index

Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.00%)

Increases in total return of reference entity

Monthly

CITI

09/20/2019

EUR

572,554

(2,881

)

SGX NIFTY 50 Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

07/25/2019

USD

520,872

(286

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/20/2019

CHF

17,538,340

(19,343

)

TAIEX Index July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

07/17/2019

TWD

(19,038,600

)

(14,967

)

Tel Aviv Index July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

07/24/2019

ILS

4,421,340

(871

)

(64,145

)

$318,728

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		32	7/2019	EUR		$4,082,134		$22,477
Brent Crude Oil		15	7/2019	USD		971,100		60,942
FTSE Bursa Malaysia KLCI Index		3	7/2019	MYR		60,907		(24	)
Hang Seng Index		8	7/2019	HKD		1,459,605		17,851
IBEX 35 Index		153	7/2019	EUR		15,958,845		88,662
LME Copper Base Metal		2	7/2019	USD		299,500		(23,891	)
LME Copper Base Metal		2	7/2019	USD		299,511		(19,784	)
LME Copper Base Metal		3	7/2019	USD		448,841		(35,126	)
Natural Gas		363	7/2019	USD		8,378,040		(150,017	)
SGX NIFTY 50 Index		105	7/2019	USD		2,485,980		8,577
LME Copper Base Metal		4	8/2019	USD		599,636		15,024
LME Copper Base Metal		4	8/2019	USD		599,500		(12,058	)
LME Copper Base Metal		5	8/2019	USD		748,995		(24,590	)
3 Month Canadian Bankers Acceptance		1	9/2019	CAD		187,173		59
3 Month Euro Euribor		19	9/2019	EUR		5,424,720		8,279
3 Month Eurodollar		32	9/2019	USD		7,839,600		8,114

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

214

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
ASX 90 Day Bank Accepted Bill		60		9/2019	AUD		$ 42,009,056			$ 51,672
Australia 10 Year Bond		183		9/2019	AUD		18,455,471			138,620
Australia 3 Year Bond		1,347		9/2019	AUD		108,748,800			140,777
EURO STOXX 50 Index		500		9/2019	EUR		19,705,942			323,255
Euro-Bobl		61		9/2019	EUR		9,325,175			41,717
Euro-Bund		588		9/2019	EUR		115,496,513			1,488,334
FTSE 100 Index		192		9/2019	GBP		17,967,862			89,465
Japan 10 Year Bond		68		9/2019	JPY		97,034,735			243,817
KOSPI 200 Index		1		9/2019	KRW		60,278			748
LME Copper Base Metal		5		9/2019	USD		749,724			21,122
LME Copper Base Metal		5		9/2019	USD		749,766			9,627
LME Copper Base Metal		10		9/2019	USD		1,499,603			44,487
S&P/TSX 60 Index		3		9/2019	CAD		447,955			848
SET50 Index		37		9/2019	THB		277,058			1,814
Silver		173		9/2019	USD		13,269,965			52,064
SPI 200 Index		215		9/2019	AUD		24,750,508			202,655
U.S. Treasury 2 Year Note		929		9/2019	USD		199,901,931			986,290
U.S. Treasury 5 Year Note		25		9/2019	USD		2,953,906			40,241
Soybean		41		11/2019	USD		1,892,150			58,884
3 Month Euro Euribor		49		12/2019	EUR		13,995,639			31,886
3 Month Eurodollar		161		12/2019	USD		39,481,225			23,641
ASX 90 Day Bank Accepted Bill		299		12/2019	AUD		209,391,472			348,460
3 Month Euro Euribor		37		3/2020	EUR		10,569,713			27,784
3 Month Eurodollar		174		3/2020	USD		42,756,150			29,884
ASX 90 Day Bank Accepted Bill		276		3/2020	AUD		193,322,476			298,004
3 Month Euro Euribor		18		6/2020	EUR		5,142,279			8,682
3 Month Eurodollar		131		6/2020	USD		32,219,450			30,606
ASX 90 Day Bank Accepted Bill		211		6/2020	AUD		147,800,904			104,071
										4,803,950
Short Contracts
CAC 40 10 Euro Index		(51	)	7/2019	EUR		(3,208,703	)		(31,907	)
HSCEI		(6	)	7/2019	HKD		(416,107	)		(3,203	)
LME Copper Base Metal		(2	)	7/2019	USD		(299,511	)		20,421
LME Copper Base Metal		(2	)	7/2019	USD		(299,500	)		23,194
LME Copper Base Metal		(3	)	7/2019	USD		(448,841	)		36,194
MSCI Singapore Index		(12	)	7/2019	SGD		(335,388	)		(3,893	)
MSCI Taiwan Index		(33	)	7/2019	USD		(1,275,450	)		(6,024	)
OMXS30 Index		(65	)	7/2019	SEK		(1,134,472	)		(18,525	)
WTI Crude Oil		(42	)	7/2019	USD		(2,455,740	)		(103,539	)
100 oz Gold		(65	)	8/2019	USD		(9,189,050	)		(816,033	)
LME Copper Base Metal		(4	)	8/2019	USD		(599,636	)		(14,069	)
LME Copper Base Metal		(4	)	8/2019	USD		(599,500	)		14,039
LME Copper Base Metal		(5	)	8/2019	USD		(748,995	)		26,653
3 Month Sterling		(191	)	9/2019	GBP		(30,082,043	)		(43,875	)
Canada 10 Year Bond		(119	)	9/2019	CAD		(12,988,179	)		12,223
Copper		(158	)	9/2019	USD		(10,718,325	)		(47,699	)
Corn		(43	)	9/2019	USD		(913,213	)		14,987
DAX Index		(48	)	9/2019	EUR		(16,903,673	)		(210,614	)
Euro-Buxl		(35	)	9/2019	EUR		(8,075,115	)		(295,021	)
Euro-Schatz		(1,069	)	9/2019	EUR		(136,489,133	)		(233,546	)
FTSE/JSE Top 40 Index		(39	)	9/2019	ZAR		(1,451,791	)		9,265
FTSE/MIB Index		(27	)	9/2019	EUR		(3,247,626	)		(19,661	)
LME Copper Base Metal		(5	)	9/2019	USD		(749,766	)		(8,907	)
LME Copper Base Metal		(5	)	9/2019	USD		(749,724	)		(20,019	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

215

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE	TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(10	)	9/2019	USD		$ (1,499,603	)		$ (46,126	)
LME Copper Base Metal		(60	)	9/2019	USD		(8,994,000	)		(210,087	)
Long Gilt		(523	)	9/2019	GBP		(86,543,153	)		(727,593	)
MEX BOLSA Index		(15	)	9/2019	MXN		(341,322	)		1,255
S&P 500E-Mini Index		(282	)	9/2019	USD		(41,513,220	)		(654,941	)
TOPIX Index		(81	)	9/2019	JPY		(11,652,460	)		16,379
U.S. Treasury 10 Year Note		(688	)	9/2019	USD		(88,042,500	)		(1,523,989	)
U.S. Treasury Long Bond		(82	)	9/2019	USD		(12,758,688	)		(367,740	)
3 Month Canadian Bankers Acceptance		(27	)	12/2019	CAD		(5,055,993	)		1,049
3 Month Sterling		(795	)	12/2019	GBP		(125,172,737	)		(100,949	)
3 Month Canadian Bankers Acceptance		(25	)	3/2020	CAD		(4,686,486	)		1,262
3 Month Sterling		(732	)	3/2020	GBP		(115,305,678	)		(104,764	)
3 Month Canadian Bankers Acceptance		(14	)	6/2020	CAD		(2,626,704	)		656
3 Month Sterling		(526	)	6/2020	GBP		(82,872,966	)		(56,835	)
										(5,491,982	)
										$(688,032	)

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	5,119,007	USD	3,557,671	CITI		9/18/2019		$44,724
AUD	5,118,993	USD	3,557,665	JPMC		9/18/2019		44,718
BRL	7,854,992	USD	1,996,856	CITI**		9/18/2019		33,205
BRL	7,855,008	USD	1,996,862	JPMC**		9/18/2019		33,205
CAD	24,839,505	USD	18,548,717	CITI		9/18/2019		446,770
CAD	24,839,495	USD	18,548,733	JPMC		9/18/2019		446,748
CHF	3,026,000	USD	3,084,497	CITI		9/18/2019		37,625
CHF	3,026,000	USD	3,084,501	JPMC		9/18/2019		37,620
CNY	4,023,000	USD	580,635	CITI**		9/18/2019		4,611
CNY	4,023,000	USD	580,636	JPMC**		9/18/2019		4,610
EUR	1,452,500	USD	1,652,193	CITI		9/18/2019		9,837
EUR	1,452,500	USD	1,652,195	JPMC		9/18/2019		9,835
GBP	3,950,541	USD	5,022,999	CITI		9/18/2019		11,863
GBP	3,950,532	USD	5,022,993	JPMC		9/18/2019		11,857
HKD	3,121,682	USD	398,524	CITI		9/18/2019		1,233
HKD	3,121,675	USD	398,524	JPMC		9/18/2019		1,232
HUF	95,000,000	USD	329,203	CITI		9/18/2019		6,821
HUF	95,000,000	USD	329,204	JPMC		9/18/2019		6,821
INR	149,150,008	USD	2,116,137	CITI**		9/18/2019		24,155
INR	149,149,992	USD	2,116,140	JPMC**		9/18/2019		24,151
JPY	55,856,000	USD	516,794	CITI		9/18/2019		4,310
JPY	55,856,000	USD	516,794	JPMC		9/18/2019		4,309
MXN	105,360,720	USD	5,324,850	CITI		9/18/2019		91,901
MXN	105,360,712	USD	5,324,856	JPMC		9/18/2019		91,893
NOK	180,500	USD	20,704	CITI		9/18/2019		502
NOK	180,500	USD	20,704	JPMC		9/18/2019		502
NZD	10,467,007	USD	6,881,485	CITI		9/18/2019		160,728
NZD	10,466,993	USD	6,881,484	JPMC		9/18/2019		160,718
PLN	7,300,008	USD	1,909,950	CITI		9/18/2019		48,747

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
PLN	7,299,992	USD	1,909,948	JPMC		9/18/2019		$ 48,746
SEK	1,622,000	USD	172,121	CITI		9/18/2019		3,538
SEK	1,622,000	USD	172,121	JPMC		9/18/2019		3,538
SGD	2,353,496	USD	1,715,071	CITI		9/18/2019		26,492
SGD	2,353,504	USD	1,715,079	JPMC		9/18/2019		26,490
USD	1,548	CHF	1,500	CITI		9/18/2019		—
USD	1,548	CHF	1,500	JPMC		9/18/2019		—
USD	82,156	DKK	534,500	CITI		9/18/2019		177
USD	82,156	DKK	534,500	JPMC		9/18/2019		177
USD	3,002,979	GBP	2,351,000	CITI		9/18/2019		6,691
USD	3,002,975	GBP	2,351,000	JPMC		9/18/2019		6,687
USD	9,863	HKD	77,000	CITI		9/18/2019		2
USD	9,863	HKD	77,000	JPMC		9/18/2019		2
USD	839,367	JPY	89,873,750	CITI		9/18/2019		898
USD	839,366	JPY	89,873,750	JPMC		9/18/2019		897
USD	875,409	MXN	17,000,000	CITI		9/18/2019		1,413
USD	875,408	MXN	17,000,000	JPMC		9/18/2019		1,412
USD	413	NOK	3,500	CITI		9/18/2019		2
USD	413	NOK	3,500	JPMC		9/18/2019		2
USD	50,390	SEK	464,500	CITI		9/18/2019		85
USD	50,390	SEK	464,500	JPMC		9/18/2019		$85
ZAR	1,850,000	USD	125,653	CITI		9/18/2019		4,389
ZAR	1,850,000	USD	125,653	JPMC		9/18/2019		4,389
Total unrealized appreciation								1,941,363
BRL	2,050,000	USD	531,773	CITI**		9/18/2019		(1,966	)
BRL	2,050,000	USD	531,774	JPMC**		9/18/2019		(1,968	)
CHF	1,329,500	USD	1,373,822	CITI		9/18/2019		(2,090	)
CHF	1,329,500	USD	1,373,824	JPMC		9/18/2019		(2,092	)
EUR	1,700,000	USD	1,948,881	CITI		9/18/2019		(3,647	)
EUR	1,700,000	USD	1,948,883	JPMC		9/18/2019		(3,649	)
GBP	2,533,967	USD	3,238,006	CITI		9/18/2019		(8,532	)
GBP	2,533,960	USD	3,238,001	JPMC		9/18/2019		(8,535	)
JPY	458,746,500	USD	4,306,906	CITI		9/18/2019		(27,072	)
JPY	458,746,500	USD	4,306,912	JPMC		9/18/2019		(27,078	)
MXN	42,944,288	USD	2,213,766	CITI		9/18/2019		(5,938	)
MXN	42,944,280	USD	2,213,769	JPMC		9/18/2019		(5,940	)
NOK	337,500	USD	39,712	CITI		9/18/2019		(61	)
NOK	337,500	USD	39,712	JPMC		9/18/2019		(61	)
SEK	14,849,000	USD	1,615,050	CITI		9/18/2019		(6,927	)
SEK	14,849,000	USD	1,615,052	JPMC		9/18/2019		(6,929	)
USD	1,748,630	AUD	2,531,000	CITI		9/18/2019		(32,508	)
USD	1,748,628	AUD	2,531,000	JPMC		9/18/2019		(32,510	)
USD	3,329,843	BRL	13,155,008	CITI**		9/18/2019		(69,963	)
USD	3,329,834	BRL	13,154,992	JPMC**		9/18/2019		(69,967	)
USD	4,318,826	CAD	5,726,500	CITI		9/18/2019		(60,394	)
USD	4,318,820	CAD	5,726,500	JPMC		9/18/2019		(60,400	)
USD	22,978,905	CHF	22,757,493	CITI		9/18/2019		(501,489	)
USD	22,978,891	CHF	22,757,507	JPMC		9/18/2019		(501,519	)
USD	374,860	CNY	2,602,494	CITI**		9/18/2019		(3,739	)
USD	374,861	CNY	2,602,506	JPMC**		9/18/2019		(3,740	)
USD	190,445	DKK	1,264,000	CITI		9/18/2019		(3,421	)
USD	190,445	DKK	1,264,000	JPMC		9/18/2019		(3,422	)
USD	15,082,336	EUR	13,348,993	CITI		9/18/2019		(192,315	)
USD	15,082,333	EUR	13,349,007	JPMC		9/18/2019		(192,334	)
USD	1,122,936	GBP	885,500	CITI		9/18/2019		(5,611	)
USD	1,122,935	GBP	885,500	JPMC		9/18/2019		(5,612	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	594,723	HKD	4,656,178	CITI		9/18/2019		$ (1,540	)
USD	594,722	HKD	4,656,179	JPMC		9/18/2019		(1,541	)
USD	1,994,762	ILS	7,145,000	CITI		9/18/2019		(17,117	)
USD	1,994,759	ILS	7,145,000	JPMC		9/18/2019		(17,119	)
USD	718,371	INR	50,500,000	CITI**		9/18/2019		(6,301	)
USD	718,370	INR	50,500,000	JPMC**		9/18/2019		(6,302	)
USD	6,623,771	JPY	718,796,250	CITI		9/18/2019		(82,174	)
USD	6,623,763	JPY	718,796,250	JPMC		9/18/2019		(82,182	)
USD	6,145,027	KRW	7,267,760,016	CITI**		9/18/2019		(148,715	)
USD	6,145,019	KRW	7,267,759,984	JPMC**		9/18/2019		(148,723	)
USD	772,943	MXN	15,500,000	CITI		9/18/2019		(23,935	)
USD	772,942	MXN	15,500,000	JPMC		9/18/2019		(23,936	)
USD	9,209,474	NOK	80,098,995	CITI		9/18/2019		(200,913	)
USD	9,209,464	NOK	80,099,005	JPMC		9/18/2019		(200,924	)
USD	773,123	NZD	1,174,000	CITI		9/18/2019		(16,745	)
USD	773,122	NZD	1,174,000	JPMC		9/18/2019		(16,746	)
USD	396	PLN	1,512	CITI		9/18/2019		(10	)
USD	390	PLN	1,488	JPMC		9/18/2019		(9	)
USD	4,272,967	SEK	40,506,500	CITI		9/18/2019		(113,823	)
USD	4,272,962	SEK	40,506,500	JPMC		9/18/2019		(113,828	)
USD	497,195	SGD	682,504	CITI		9/18/2019		(7,851	)
USD	497,188	SGD	682,496	JPMC		9/18/2019		(7,852	)
USD	79,518	THB	2,535,500	CITI		9/18/2019		(3,315	)
USD	79,518	THB	2,535,500	JPMC		9/18/2019		(3,315	)
USD	1,591,288	TWD	50,000,008	CITI**		9/18/2019		(29,206	)
USD	1,591,285	TWD	49,999,992	JPMC**		9/18/2019		(29,208	)
USD	708,082	ZAR	10,442,992	CITI		9/18/2019		(25,987	)
USD	708,082	ZAR	10,443,008	JPMC		9/18/2019		(25,988	)
Total unrealized depreciation								(3,206,734	)
Net unrealized depreciation							$	(1,265,371	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps Outstanding at June 30, 2019

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)		NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
MSIP	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (0.33%), which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity 03/31/2020		$776,712		$205,033		$(1,804	)		$203,229
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread(-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap.	60-61 months maturity ranging from 04/13/2023 - 06/27/2024		$9,744,623		$424,110		$(17,119	)		$406,991

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Australia
AGL Energy Ltd.		84,971		$	1,194,987		$	(8,352	)		(2.1	)%
Alumina Ltd.		42,256			69,361			(3,020	)		(0.7	)
Aurizon Holdings Ltd.		23,404			88,846			2,997			0.7
BlueScope Steel Ltd.		70,034			595,496			2,202			0.5
CIMIC Group Ltd.		1,374			43,206			923			0.2
Coca-Cola Amatil Ltd.		3,220			23,116			(85	)		(0.0	)
Crown Resorts Ltd.		5,334			46,622			(4,519	)		(1.1	)
Flight Centre Travel Group Ltd.		2,192			63,943			(18,886	)		(4.6	)
Fortescue Metals Group Ltd.		41,598			264,546			21,879			5.4
Harvey Norman Holdings Ltd.		130,043			372,128			46,614			11.5
Iluka Resources Ltd.		12,640			95,971			22,085			5.4
Newcrest Mining Ltd.		16,357			367,480			88,257			21.7
Santos Ltd.		32,370			161,609			32,415			8.0
South32 Ltd.		223,867			501,829			(54,457	)		(13.4	)
Star Entertainment Grp Ltd. (The)		8,075			23,381			558			0.1
Telstra Corp. Ltd.		337,877			913,655			203,576			50.0
Wesfarmers Ltd.		1,183			30,072			(558	)		(0.1	)
Woodside Petroleum Ltd.		1,094			28,060			584			0.1
Short Positions
Common Stock
Australia
AMP Ltd.		(467,845	)		(697,877	)		231,046			56.8
APA Group		(7,280	)		(55,206	)		(3,605	)		(0.9	)
Challenger Ltd.		(96,078	)		(448,459	)		185,224			45.5

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Australia (continued)
Commonwealth Bank of Australia		(429	)	$	(24,963	)	$	(172	)		(0.0	) %
Domino’s Pizza Enterprises Ltd.		(1,832	)		(48,416	)		14,981			3.7
Insurance Australia Group Ltd.		(8,019	)		(46,558	)		(428	)		(0.1	)
Lendlease Group		(29,316	)		(267,887	)		(3,454	)		(0.8	)
Medibank Pvt Ltd.		(141,790	)		(347,911	)		(74,587	)		(18.3	)
National Australia Bank Ltd.		(1,640	)		(30,806	)		66			0.0
Oil Search Ltd.		(8,100	)		(40,393	)		1,474			0.4
Origin Energy Ltd.		(65,033	)		(334,407	)		(24,497	)		(6.0	)
Qantas Airways Ltd.		(20,978	)		(79,609	)		218			0.1
QBE Insurance Group Ltd.		(52,046	)		(432,979	)		(53,901	)		(13.2	)
Ramsay Health Care Ltd.		(803	)		(40,767	)		(93	)		(0.0	)
REA Group Ltd.		(399	)		(26,954	)		(20	)		(0.0	)
SEEK Ltd.		(32,642	)		(485,853	)		(59,534	)		(14.6	)
Sydney Airport		(5,789	)		(32,705	)		1,038			0.3
Treasury Wine Estates Ltd.		(29,876	)		(313,773	)		(5,561	)		(1.4	)
Westpac Banking Corp.		(3,179	)		(63,358	)		(229	)		(0.1	)
Woolworths Group Ltd.		(1,931	)		(45,091	)		(138	)		(0.0	)
WorleyParsons Ltd.		(3,918	)		(40,729	)		(2,097	)		(0.5	)
Ireland
James Hardie Industries plc		(72,592	)		(955,614	)		(113,834	)		(28.0	)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread(-0.35% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap.	1-61 months maturity ranging from 07/09/2019 - 06/27/2024		$34,117,689		$(234,454	)		$(44,505	)		$(278,959	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
France
Air France-KLM		54,625	$	524,841	$	(25,456	)		9.1	%
AXA SA		60,666		1,593,193		178,830			(64.1	)
CNP Assurances		14,152		321,227		(4,304	)		1.5
Electricite de France SA		75,553		952,562		(250,855	)		89.9
Engie SA		82,385		1,249,245		(12,199	)		4.4
Eutelsat Communications SA		11,976		223,665		(23,583	)		8.5
Peugeot SA		83,865		2,064,124		183,967			(65.9	)
Renault SA		8,349		524,879		(255,116	)		91.5
Sanofi		3,594		310,602		304			(0.1	)
Suez		31,047		447,990		25,962			(9.3	)
TOTAL SA		6,200		347,781		5,098			(1.8	)

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
France (continued)
Veolia Environnement SA		11,217		$	273,138		$	8,857			(3.2	) %
Germany
Allianz SE (Registered)		4,603			1,110,134			106,766			(38.3	)
Daimler AG (Registered)		3,041			169,602			(30,422	)		10.9
E.ON SE		212,407			2,304,641			96,949			(34.8	)
Hannover Rueck SE		4,533			732,956			135,052			(48.4	)
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		2,798			701,340			58,796			(21.1	)
Salzgitter AG		8,973			257,132			(79,965	)		28.7
Volkswagen AG (Preference)		6,340			1,067,895			(16,946	)		6.1
United Kingdom
Dialog Semiconductor plc		18,720			753,281			248,178			(89.0	)
Short Positions
Common Stock
France
Accor SA		(14,260	)		(612,074	)		34,337			(12.3	)
Airbus SE		(5,587	)		(790,681	)		(166,743	)		59.8
Altran Technologies SA		(14,436	)		(229,096	)		(100,861	)		36.2
Bollore SA		(59,810	)		(263,907	)		(1,505	)		0.5
Edenred		(19,089	)		(972,861	)		(371,055	)		133.0
EssilorLuxottica SA		(4,238	)		(552,304	)		(39,207	)		14.1
Iliad SA		(7,863	)		(882,995	)		296,447			(106.3	)
Imerys SA		(3,770	)		(199,790	)		(15,598	)		5.6
Ingenico Group SA		(8,619	)		(762,793	)		(126,012	)		45.2
JCDecaux SA		(5,879	)		(178,023	)		10,785			(3.9	)
LVMH Moet Hennessy Louis Vuitton SE		(476	)		(202,360	)		(8,365	)		3.0
Orpea		(3,191	)		(384,905	)		(36,431	)		13.1
Remy Cointreau SA		(3,488	)		(502,772	)		(99,761	)		35.8
SEB SA		(1,840	)		(331,020	)		(57,184	)		20.5
Ubisoft Entertainment SA		(3,867	)		(302,433	)		17,753			(6.4	)
Valeo SA		(21,529	)		(700,897	)		(70,179	)		25.2
Vivendi SA		(12,238	)		(335,844	)		8,341			(3.0	)
Worldline SA		(2,160	)		(156,934	)		(13,641	)		4.9
Germany
CECONOMY AG		(45,822	)		(280,130	)		(64,754	)		23.2
Continental AG		(1,543	)		(224,690	)		(5,435	)		1.9
Delivery Hero SE		(14,137	)		(641,712	)		(94,566	)		33.9
Deutsche Bank AG (Registered)		(196,133	)		(1,512,394	)		573,035			(205.4	)
Deutsche Telekom AG (Registered)		(9,180	)		(159,040	)		1,126			(0.4	)
GEA Group AG		(11,982	)		(340,057	)		24,678			(8.8	)
Infineon Technologies AG		(13,422	)		(238,505	)		17,323			(6.2	)
RWE AG		(22,336	)		(551,154	)		20,961			(7.5	)
Telefonica Deutschland Holding AG		(98,371	)		(275,128	)		118,343			(42.4	)
thyssenkrupp AG		(54,919	)		(801,859	)		(23,926	)		8.6
United Internet AG (Registered)		(18,781	)		(618,761	)		140,944			(50.5	)
Zalando SE		(23,204	)		(1,027,396	)		(321,310	)		115.2

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread(-0.03% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap.

61 months maturity ranging from 04/13/2023 - 06/27/2024

$22,679,220

$(616,825

)

$142,761

$(474,064

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Netherlands
Royal Dutch Shell plc		7,423		$	242,269		$	2,353			(0.5	)%
Russia
Evraz plc		72,878			617,083			154,356			(32.6	)
United Kingdom
Aggreko plc		29,649			297,660			10,287			(2.2	)
Babcock International Group plc		40,180			233,896			(19,441	)		4.1
Barratt Developments plc		100,119			728,565			81,204			(17.1	)
Bellway plc		12,627			446,604			(14,559	)		3.1
Berkeley Group Holdings plc		10,099			478,627			28,597			(6.0	)
BT Group plc		307,204			768,112			(129,570	)		27.3
Centrica plc		328,836			366,575			(207,250	)		43.7
Dixons Carphone plc		105,586			146,761			(55,357	)		11.7
Drax Group plc		70,986			234,467			(105,752	)		22.3
GlaxoSmithKline plc		11,529			231,097			204			(0.0	)
Greene King plc		29,365			230,324			51,924			(11.0	)
Howden Joinery Group plc		36,540			235,162			21,189			(4.5	)
Inmarsat plc		27,963			193,687			400			(0.1	)
Legal & General Group plc		45,593			156,202			1,371			(0.3	)
Lloyds Banking Group plc		209,768			150,660			(4,314	)		0.9
Marks & Spencer Group plc		81,589			218,146			(33,407	)		7.0
Micro Focus International plc		12,188			320,544			22,494			(4.7	)
Moneysupermarket.com Group plc		52,555			275,312			74,776			(15.8	)
National Grid plc		59,300			630,648			39,568			(8.3	)
Next plc		2,021			141,524			(1,887	)		0.4
Pennon Group plc		34,806			328,284			5,110			(1.1	)
Persimmon plc		11,888			302,014			6,673			(1.4	)
Royal Mail plc		136,539			367,875			(322,035	)		67.9
Taylor Wimpey plc		199,178			399,681			12,238			(2.6	)
United Utilities Group plc		72,828			724,922			(6,738	)		1.4
Short Positions
Common Stock
Australia
Rio Tinto plc		(5,136	)		(317,883	)		(23,308	)		4.9
Chile
Antofagasta plc		(36,108	)		(426,512	)		(48,804	)		10.3

The accompanying notes are an integral part of these financial statements. (Continued)

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Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
South Africa
Old Mutual Ltd.		(207,953	)	$	(310,959	)	$	77,860			(16.4	) %
Switzerland
Glencore plc		(78,894	)		(273,046	)		(8,472	)		1.8
United Arab Emirates
NMC Health plc		(32,671	)		(999,593	)		192,509			(40.6	)
United Kingdom
British American Tobacco plc		(9,432	)		(329,327	)		15,769			(3.3	)
Capita plc		(216,502	)		(290,307	)		75,663			(16.0	)
easyJet plc		(22,702	)		(274,864	)		(11,101	)		2.3
GVC Holdings plc		(18,576	)		(153,984	)		(10,947	)		2.3
Hargreaves Lansdown plc		(19,254	)		(470,437	)		2,458			(0.5	)
Hiscox Ltd.		(13,276	)		(285,237	)		(12,973	)		2.7
Informa plc		(28,573	)		(303,013	)		(54,840	)		11.6
Melrose Industries plc		(613,864	)		(1,411,127	)		28,175			(5.9	)
Mondi plc		(15,360	)		(349,596	)		(22,716	)		4.8
Prudential plc		(26,613	)		(580,988	)		(44,061	)		9.3
Rentokil Initial plc		(104,214	)		(526,144	)		(89,740	)		18.9
Rolls-Royce Holdings plc		(20,219	)		(215,998	)		16,961			(3.6	)
RSA Insurance Group plc		(61,323	)		(449,409	)		(20,479	)		4.3
St James’s Place plc		(15,618	)		(218,065	)		(13,318	)		2.8
Standard Chartered plc		(29,764	)		(270,015	)		(19,868	)		4.2
Standard Life Aberdeen plc		(100,161	)		(374,758	)		(28,609	)		6.0
Tesco plc		(90,023	)		(259,507	)		5,513			(1.2	)
Weir Group plc (The)		(10,076	)		(198,259	)		(2,334	)		0.5

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

ABSOLUTE NOTIONAL VALUE

NET UNREALIZED APPRECIATION (DEPRECIATION)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE (Note 5)

GSIN

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread(-0.45% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap.

61 months maturity ranging from 04/13/2023 - 06/13/2024

$9,037,027

$(180,510

)

$597

$(179,913

)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES		NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
Hong Kong
CK Asset Holdings Ltd.		16,000	$	125,345	$	1,162			(0.6	)%
CK Hutchison Holdings Ltd.		51,500		507,983		(47,499	)		26.4
CLP Holdings Ltd.		56,500		622,619		9,042			(5.0	)
Henderson Land Development Co. Ltd.		123,190		679,187		46,484			(25.8	)
Hong Kong & China Gas Co. Ltd.		77,930		172,763		23,741			(13.2	)
Kerry Properties Ltd.		34,000		142,818		16,267			(9.0	)

The accompanying notes are an integral part of these financial statements. (Continued)

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223

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Hong Kong (continued)
Li & Fung Ltd.		158,000		$	27,567		$	(7,795	)		4.3	%
Lifestyle International Holdings Ltd.		51,500			75,341			(24,433	)		13.6
Melco International Development Ltd.		12,000			26,553			(1,143	)		0.6
New World Development Co. Ltd.		306,000			478,636			11,224			(6.2	)
NWS Holdings Ltd.	��	48,000			98,725			268			(0.1	)
Sino Land Co. Ltd.		30,000			50,312			(4,184	)		2.3
Sun Hung Kai Properties Ltd.		7,500			127,238			17,944			(10.0	)
Swire Properties Ltd.		82,800			334,737			31,611			(17.6	)
WH Group Ltd.		603,500			612,186			32,914			(18.3	)
Yue Yuen Industrial Holdings Ltd.		79,500			218,054			(11,208	)		6.2
Macau
SJM Holdings Ltd.		152,000			172,844			27,071			(15.0	)
Short Positions
Common Stock
China
Minth Group Ltd.		(62,000	)		(167,211	)		58,293			(32.4	)
Hong Kong
AIA Group Ltd.		(185,400	)		(2,002,117	)		(396,533	)		220.4
ASM Pacific Technology Ltd.		(40,500	)		(415,222	)		17,273			(9.6	)
Hang Lung Properties Ltd.		(24,000	)		(57,096	)		(339	)		0.2
HK Electric Investments & HK Electric Investments Ltd.		(143,000	)		(146,420	)		(1,341	)		0.7
HKT Trust & HKT Ltd.		(62,000	)		(98,420	)		(1,359	)		0.8
MTR Corp. Ltd.		(11,000	)		(74,094	)		(5,169	)		2.9
Power Assets Holdings Ltd.		(78,000	)		(561,136	)		(19,991	)		11.1
Techtronic Industries Co. Ltd.		(40,500	)		(310,264	)		(67,545	)		37.5
Vitasoy International Holdings Ltd.		(14,000	)		(67,326	)		7,502			(4.2	)
Wharf Holdings Ltd. (The)		(55,000	)		(145,769	)		6,994			(3.9	)
Wharf Real Estate Investment Co. Ltd.		(20,000	)		(140,948	)		2,334			(1.3	)
Xinyi Glass Holdings Ltd.		(28,000	)		(29,413	)		109			(0.1	)
Macau
Galaxy Entertainment Group Ltd.		(4,000	)		(26,908	)		(1,702	)		0.9
MGM China Holdings Ltd.		(73,600	)		(125,032	)		(2,360	)		1.3
United States
Samsonite International SA		(85,500	)		(196,743	)		101,858			(56.6	)

The accompanying notes are an integral part of these financial statements. (Continued)

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224

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	ABSOLUTE NOTIONAL VALUE		NET UNREALIZED APPRECIATION (DEPRECIATION)			NET CASH AND OTHER RECEIVABLES (PAYABLES)			VALUE (Note 5)
GSIN	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-0.12% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap.	50-61 months maturity ranging from 04/12/2023 - 06/27/2024		$258,201,059		$(1,905,328	)		$(496,364	)		$(2,401,692	)

The following table represents required component disclosures associated with the total return basket swap as of period end.

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
Long Positions
Common Stock
United States
Amgen, Inc.		5,740		$	1,057,767		$	(76,098	)		3.2	%
Assured Guaranty Ltd.		27,739			1,167,257			120,635			(5.0	)
Athene Holding Ltd.		36,305			1,563,293			(77,032	)		3.2
Biogen, Inc.		5,048			1,180,576			(349,890	)		14.6
Booking Holdings, Inc.		571			1,070,459			5,549			(0.2	)
Boston Beer Co., Inc. (The)		2,689			1,015,797			417,711			(17.4	)
Cadence Design Systems, Inc.		14,351			1,016,194			469,978			(19.6	)
Cerner Corp.		26,181			1,919,067			211,376			(8.8	)
Charles River Laboratories International, Inc.		15,187			2,155,035			398,996			(16.6	)
Cisco Systems, Inc.		28,965			1,585,254			163,092			(6.8	)
Deckers Outdoor Corp.		7,585			1,334,732			465,263			(19.4	)
Everest Re Group Ltd.		4,222			1,043,594			114,526			(4.8	)
HCA Healthcare, Inc.		7,618			1,029,725			23,021			(1.0	)
Huntington Ingalls Industries, Inc.		7,309			1,642,625			(200,096	)		8.3
j2 Global, Inc.		12,798			1,137,614			160,897			(6.7	)
Merck & Co., Inc.		13,510			1,132,814			103,092			(4.3	)
Microsoft Corp.		7,982			1,069,269			159,963			(6.7	)
Pfizer, Inc.		25,810			1,118,089			12,911			(0.5	)
PulteGroup, Inc.		44,068			1,393,430			233,962			(9.7	)
Robert Half International, Inc.		22,213			1,266,363			(181,750	)		7.6
Spirit AeroSystems Holdings, Inc.		13,256			1,078,641			(36,364	)		1.5
Tech Data Corp.		13,157			1,376,222			338,584			(14.1	)
Thermo Fisher Scientific, Inc.		4,391			1,289,549			110,799			(4.6	)
Veeva Systems, Inc.		11,361			1,841,732			282,629			(11.8	)
Verizon Communications, Inc.		23,953			1,368,435			76			(0.0	)
Viacom, Inc.		51,549			1,539,769			64,067			(2.7	)
Short Positions
Common Stock
Panama
Copa Holdings SA		(13,039	)		(1,272,215	)		(192,354	)		8.0
United States
Aptiv plc		(13,011	)		(1,051,679	)		(173,383	)		7.2
Cheniere Energy, Inc.		(21,067	)		(1,442,036	)		(159,690	)		6.6
Crown Holdings, Inc.		(22,572	)		(1,379,149	)		(425,648	)		17.7

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

225

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL VALUE			NET UNREALIZED APPRECIATION (DEPRECIATION)			PERCENTAGE OF SWAP VALUE
United States (continued)
FedEx Corp.		(9,054	)	$	(1,486,576	)	$	60,511			(2.5	) %
Floor & Decor Holdings, Inc.		(27,596	)		(1,156,272	)		(324,653	)		13.5
Freeport-McMoRan, Inc.		(91,130	)		(1,058,019	)		24,376			(1.0	)
Kraft Heinz Co. (The)		(34,389	)		(1,067,435	)		88,048			(3.7	)
Martin Marietta Materials, Inc.		(7,661	)		(1,762,873	)		(321,882	)		13.4
Netflix, Inc.		(3,707	)		(1,361,655	)		(24,495	)		1.0
Newell Brands, Inc.		(84,392	)		(1,301,325	)		96,511			(4.0	)
News Corp.		(90,316	)		(1,218,363	)		(75,675	)		3.2
NiSource, Inc.		(47,606	)		(1,371,053	)		(106,641	)		4.4
ONEOK, Inc.		(21,358	)		(1,469,644	)		(172,298	)		7.2
Pure Storage, Inc.		(81,298	)		(1,241,420	)		217,179			(9.0	)
Schlumberger Ltd.		(26,584	)		(1,056,448	)		34,951			(1.5	)
Sealed Air Corp.		(47,098	)		(2,014,852	)		(283,083	)		11.8
Targa Resources Corp.		(43,465	)		(1,706,436	)		134,009			(5.6	)
Tesla, Inc.		(8,619	)		(1,926,002	)		186,333			(7.8	)
United Parcel Service, Inc.		(16,196	)		(1,672,561	)		(80,549	)		3.4
Vulcan Materials Co.		(11,326	)		(1,555,173	)		(309,613	)		12.9
Williams Cos., Inc. (The)		(48,878	)		(1,370,539	)		(204,826	)		8.5
XPO Logistics, Inc.		(18,506	)		(1,069,832	)		7,629			(0.3	)
Zayo Group Holdings, Inc.		(49,196	)		(1,619,040	)		3,915			(0.2	)

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
BARC
Cash		$—			$3,656,074		$3,656,074
CITI
Investment Companies		2,403,851			—		2,403,851
GSCO
Cash		—			2,752,645		2,752,645
GSIN
U.S. Treasury Bills		29,324,603			—		29,324,603
JPMC
Investment Companies		3,316,037			—		3,316,037
JPMS
Cash		—			4,190,920		4,190,920
MSCL
Cash		—			1,621,210		1,621,210
MSCS
Cash		(30,000	)		—		(30,000	)
U.S. Treasury Bills		3,565,987			—		3,565,987

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

226

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$920,804		$—		$920,804
GSCO
Cash		—		467,942		467,942
GSIN
Investment Companies		140,619		—		140,619
JPPC
Cash		—		875,378		875,378
MSCL
Cash		—		2,369,584		2,369,584

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

227

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
COMMON STOCKS - 48.5%
Australia - 1.5%
Aurizon Holdings Ltd. (2)		1,033	$	3,921
BHP Group Ltd. (2)		446		12,965
BHP Group plc (2)		2,024		51,763
CIMIC Group Ltd. (2)		518		16,289
Dexus, REIT (2)		458		4,178
Goodman Group, REIT (2)		1,206		12,747
Rio Tinto plc (2)		720		44,563
Santos Ltd. (2)		1,256		6,271
Scentre Group, REIT (2)		1,888		5,095
South32 Ltd. (2)		10,842		24,304
Wesfarmers Ltd. (2)		91		2,313
				184,409
Belgium - 0.1%
Ageas (2)		56		2,914
Telenet Group Holding NV (2)		139		7,746
				10,660
Canada - 1.1%
Alimentation Couche-Tard, Inc., Class B		362		22,781
Canadian National Railway Co.		140		12,957
Canopy Growth Corp. *		175		7,065
CGI, Inc. *		285		21,911
Constellation Software, Inc.		27		25,446
Cronos Group, Inc. *		499		8,006
Empire Co. Ltd., Class A		243		6,120
Magna International, Inc.		212		10,549
Manulife Financial Corp.		98		1,781
Open Text Corp.		307		12,669
RioCan REIT, REIT		122		2,421
Toronto-Dominion Bank (The)		50		2,922
				134,628
China - 0.4%
Yangzijiang Shipbuilding Holdings Ltd. (2)		37,800		42,826
Denmark - 0.5%
Novo Nordisk A/S, Class B (2)		814		41,576
Pandora A/S (2)		417		14,837
				56,413
Finland - 0.6%
Neste OYJ (2)		1,833		62,318
Orion OYJ, Class B (2)		190		6,967
				69,285
France - 1.4%
AXA SA (2)		1,391		36,530
BNP Paribas SA (2)		156		7,395
Cie de Saint-Gobain (2)		309		12,066
CNP Assurances (2)		469		10,646
Dassault Aviation SA (2)		4		5,751
Electricite de France SA (2)		397		5,005
Hermes International (2)		21		15,139
Kering SA (2)		51		30,101
Klepierre SA, REIT (2)		79		2,647
Peugeot SA (2)		460		11,322
Schneider Electric SE (2)		137		12,396

INVESTMENTS	SHARES		VALUE
France - 1.4% (continued)
Unibail-Rodamco-Westfield, REIT (2)		110	$	16,479
				165,477
Germany - 1.9%
adidas AG (2)		31		9,590
Allianz SE (Registered) (2)		247		59,571
E.ON SE (2)		3,762		40,818
HOCHTIEF AG (2)		53		6,454
KION Group AG (2)		325		20,553
SAP SE (2)		349		47,845
Siemens AG (Registered) (2)		172		20,478
Wirecard AG (2)		146		24,647
				229,956
Hong Kong - 1.0%
CK Asset Holdings Ltd. (2)		3,000		23,502
Henderson Land Development Co. Ltd. (2)		3,100		17,091
Hong Kong Exchanges & Clearing Ltd. (2)		200		7,068
Hysan Development Co. Ltd. (2)		1,000		5,167
Kerry Properties Ltd. (2)		1,500		6,301
Link REIT, REIT (2)		500		6,153
New World Development Co. Ltd. (2)		3,000		4,693
Sun Hung Kai Properties Ltd. (2)		500		8,483
Swire Properties Ltd. (2)		4,800		19,405
WH Group Ltd. (2)(a)		21,000		21,302
				119,165
Italy - 0.7%
Enel SpA (2)		6,497		45,321
Leonardo SpA (2)		2,241		28,431
Moncler SpA (2)		339		14,530
				88,282
Japan - 3.4%
Alfresa Holdings Corp. (2)		200		4,946
Amada Holdings Co. Ltd. (2)		200		2,261
Astellas Pharma, Inc. (2)		1,700		24,226
Bandai Namco Holdings, Inc. (2)		100		4,852
Hitachi High-Technologies Corp. (2)		200		10,282
Hitachi Ltd. (2)		700		25,755
IHI Corp. (2)		300		7,253
ITOCHU Corp. (2)		500		9,579
Japan Airlines Co. Ltd. (2)		400		12,766
Japan Retail Fund Investment Corp., REIT (2)		1		2,023
JTEKT Corp. (2)		500		6,080
Kamigumi Co. Ltd. (2)		500		11,857
Marubeni Corp. (2)		1,100		7,302
MINEBEA MITSUMI, Inc. (2)		200		3,408
Mitsubishi Corp. (2)		800		21,140
Mitsubishi Heavy Industries Ltd. (2)		100		4,361
Mitsubishi UFJ Financial Group, Inc. (2)		4,800		22,862
MS&AD Insurance Group Holdings, Inc. (2)		100		3,179
Nikon Corp. (2)		1,100		15,642
Nippon Telegraph & Telephone Corp. (2)		400		18,636
Nitto Denko Corp. (2)		100		4,950
Olympus Corp. (2)		1,700		18,919
SG Holdings Co. Ltd. (2)		100		2,843
Shinsei Bank Ltd. (2)		400		6,225
SoftBank Group Corp. (2)		200		9,633
Sony Corp. (2)		700		36,784

The accompanying notes are an integral part of these financial statements. (Continued)

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228

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
Japan - 3.4% (continued)
Sumitomo Corp. (2)		800	$	12,150
Sumitomo Heavy Industries Ltd. (2)		300		10,364
Sumitomo Mitsui Financial Group, Inc. (2)		600		21,267
Suzuken Co. Ltd. (2)		100		5,876
Taiheiyo Cement Corp. (2)		200		6,072
THK Co. Ltd. (2)		500		12,027
Tokio Marine Holdings, Inc. (2)		400		20,070
Tokyo Electric Power Co. Holdings, Inc. (2)*		1,900		9,924
Tosoh Corp. (2)		200		2,821
Toyo Seikan Group Holdings Ltd. (2)		500		9,941
Toyota Tsusho Corp. (2)		100		3,038
				411,314
Netherlands - 1.0%
Adyen NV (2)*(a)		18		13,885
ING Groep NV (2)		533		6,174
Koninklijke Ahold Delhaize NV (2)		3,090		69,370
Koninklijke Philips NV (2)		327		14,217
Royal Dutch Shell plc, Class B (2)		505		16,547
Wolters Kluwer NV (2)		64		4,656
				124,849
Russia - 0.1%
Evraz plc (2)		1,727		14,623
Singapore - 0.2%
ComfortDelGro Corp. Ltd. (2)		12,800		25,172
South Africa - 0.2%
Anglo American plc (2)		761		21,741
Spain - 0.4%
ACS Actividades de Construccion y Servicios SA (2)		66		2,641
Banco Bilbao Vizcaya Argentaria SA (2)		5,982		33,366
Endesa SA (2)		333		8,565
Iberdrola SA (2)		264		2,628
				47,200
Sweden - 0.8%
Sandvik AB (2)		1,355		24,900
Skanska AB, Class B (2)		263		4,752
Swedish Match AB (2)		333		14,079
Telefonaktiebolaget LM Ericsson, Class B (2)		4,834		45,882
Volvo AB, Class B (2)		421		6,690
				96,303
Switzerland - 2.1%
Adecco Group AG (Registered) (2)		482		28,967
Coca-Cola HBC AG (2)*		473		17,868
Novartis AG (Registered) (2)		110		10,042
Roche Holding AG (2)		335		94,198
Sonova Holding AG (Registered) (2)		151		34,367
Swiss Life Holding AG (Registered) (2)		60		29,747
Zurich Insurance Group AG (2)		121		42,102
				257,291
United Kingdom - 1.0%
Aviva plc (2)		3,823		20,248
Barclays plc (2)		4,901		9,322

INVESTMENTS	SHARES		VALUE
United Kingdom - 1.0% (continued)
Barratt Developments plc (2)		1,823	$	13,266
Berkeley Group Holdings plc (2)		183		8,673
Burberry Group plc (2)		78		1,849
CNH Industrial NV (2)		1,376		14,135
Direct Line Insurance Group plc (2)		3,292		13,877
GlaxoSmithKline plc (2)		662		13,270
International Consolidated Airlines Group SA (2)		66		400
Legal & General Group plc (2)		989		3,388
Meggitt plc (2)		265		1,766
Next plc (2)		56		3,922
Persimmon plc (2)		70		1,778
RELX plc (2)		269		6,524
Unilever plc (2)		171		10,615
				123,033
United States - 30.1%
3M Co.		16		2,773
AbbVie, Inc.		235		17,089
Adobe, Inc. *		272		80,145
AES Corp.		2,413		40,442
Aflac, Inc.		61		3,343
Akamai Technologies, Inc. *		204		16,349
Alexion Pharmaceuticals, Inc. *		149		19,516
Allstate Corp. (The)		404		41,083
Alphabet, Inc., Class A *		39		42,229
Alphabet, Inc., Class C *		42		45,398
Altria Group, Inc.		501		23,722
Amazon.com, Inc. *		60		113,618
American Electric Power Co., Inc.		76		6,689
American Tower Corp., REIT		48		9,814
Annaly Capital Management, Inc., REIT		1,264		11,540
Anthem, Inc.		103		29,068
Apple, Inc.		702		138,940
Applied Materials, Inc.		1,268		56,946
Arch Capital Group Ltd. *		48		1,780
Autodesk, Inc. *		99		16,127
AutoZone, Inc. *		15		16,492
AvalonBay Communities, Inc., REIT		11		2,235
Bausch Health Cos., Inc. *		292		7,367
Berkshire Hathaway, Inc., Class B *		174		37,092
Best Buy Co., Inc.		418		29,147
Biogen, Inc. *		306		71,564
Boeing Co. (The)		155		56,422
Boston Scientific Corp. *		112		4,814
Bristol-Myers Squibb Co.		769		34,874
Cadence Design Systems, Inc. *		462		32,714
Caterpillar, Inc.		93		12,675
CDW Corp.		156		17,316
Celgene Corp. *		100		9,244
Chipotle Mexican Grill, Inc. *		37		27,117
Cigna Corp.		11		1,733
Cisco Systems, Inc.		814		44,550
Citigroup, Inc.		192		13,446
Colgate-Palmolive Co.		182		13,044
Comcast Corp., Class A		1,251		52,892
CoStar Group, Inc. *		27		14,960
Crown Castle International Corp., REIT		37		4,823
CSX Corp.		25		1,934

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

229

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
United States - 30.1% (continued)
Cummins, Inc.		156	$	26,729
Darden Restaurants, Inc.		199		24,224
Delta Air Lines, Inc.		329		18,671
Digital Realty Trust, Inc., REIT		23		2,709
Discover Financial Services		326		25,294
DXC Technology Co.		33		1,820
Eaton Corp. plc		364		30,314
Edwards Lifesciences Corp. *		34		6,281
Electronic Arts, Inc. *		184		18,632
Eli Lilly & Co.		381		42,211
EPAM Systems, Inc. *		34		5,885
Equinix, Inc., REIT		4		2,017
Equity Residential, REIT		23		1,746
Exelon Corp.		1,475		70,712
F5 Networks, Inc. *		110		16,019
Facebook, Inc., Class A *		547		105,571
First Data Corp., Class A *		74		2,003
Fortinet, Inc. *		269		20,667
Gilead Sciences, Inc.		373		25,200
H&R Block, Inc.		372		10,900
HCA Healthcare, Inc.		22		2,974
HollyFrontier Corp.		55		2,545
Home Depot, Inc. (The)		274		56,984
Honeywell International, Inc.		75		13,094
HP, Inc.		1,656		34,428
Humana, Inc.		25		6,633
Huntington Ingalls Industries, Inc.		25		5,619
IAC/InterActiveCorp *		74		16,097
Incyte Corp. *		181		15,378
Ingersoll-Rand plc		43		5,447
Intel Corp.		679		32,504
International Business Machines Corp.		253		34,889
Intuit, Inc.		207		54,095
Johnson & Johnson		384		53,484
JPMorgan Chase & Co.		25		2,795
Keysight Technologies, Inc. *		121		10,867
Kimberly-Clark Corp.		68		9,063
Laboratory Corp. of America Holdings *		48		8,299
Lam Research Corp.		96		18,033
Las Vegas Sands Corp.		312		18,436
Lockheed Martin Corp.		27		9,816
Lowe’s Cos., Inc.		76		7,669
Lululemon Athletica, Inc. *		73		13,155
LyondellBasell Industries NV, Class A		112		9,647
ManpowerGroup, Inc.		499		48,203
Masco Corp.		268		10,516
Mastercard, Inc., Class A		226		59,784
McKesson Corp.		237		31,850
Medtronic plc		183		17,822
Merck & Co., Inc.		799		66,996
MetLife, Inc.		363		18,030
Micron Technology, Inc. *		452		17,443
Microsoft Corp.		1,667		223,310
Monster Beverage Corp. *		597		38,107
Mylan NV *		1,437		27,360
NetApp, Inc.		28		1,728
NIKE, Inc., Class B		770		64,642
Oracle Corp.		420		23,927
O’Reilly Automotive, Inc. *		24		8,864

INVESTMENTS	SHARES		VALUE
United States - 30.1% (continued)
PepsiCo, Inc.		105	$	13,769
Pfizer, Inc.		934		40,461
Philip Morris International, Inc.		458		35,967
Pinnacle West Capital Corp.		114		10,726
PNC Financial Services Group, Inc. (The)		50		6,864
Procter & Gamble Co. (The)		382		41,886
Progressive Corp. (The)		146		11,670
Prologis, Inc., REIT		140		11,214
Public Service Enterprise Group, Inc.		267		15,705
Public Storage, REIT		22		5,240
PVH Corp.		70		6,625
QUALCOMM, Inc.		25		1,902
Ralph Lauren Corp.		81		9,201
Raytheon Co.		40		6,955
Regeneron Pharmaceuticals, Inc. *		11		3,443
Ross Stores, Inc.		20		1,982
S&P Global, Inc.		34		7,745
SBA Communications Corp., REIT *		8		1,799
Seagate Technology plc		179		8,434
ServiceNow, Inc. *		68		18,671
Simon Property Group, Inc., REIT		80		12,781
Southwest Airlines Co.		1,084		55,046
Spirit AeroSystems Holdings, Inc., Class A		174		14,158
Starbucks Corp.		123		10,311
Symantec Corp.		848		18,452
Synchrony Financial		2,566		88,963
Texas Instruments, Inc.		241		27,657
Thermo Fisher Scientific, Inc.		70		20,558
TJX Cos., Inc. (The)		388		20,517
Tractor Supply Co.		104		11,315
TripAdvisor, Inc. *		38		1,759
Tyson Foods, Inc., Class A		392		31,650
Ulta Beauty, Inc. *		6		2,081
United Technologies Corp.		14		1,823
UnitedHealth Group, Inc.		71		17,325
Veeva Systems, Inc., Class A *		211		34,205
Ventas, Inc., REIT		45		3,076
VeriSign, Inc. *		83		17,360
Verizon Communications, Inc.		378		21,595
Walmart, Inc.		502		55,466
Walt Disney Co. (The)		48		6,703
Waste Management, Inc.		68		7,845
Wells Fargo & Co.		952		45,049
Welltower, Inc., REIT		23		1,875
Xerox Corp.		400		14,164
Xilinx, Inc.		84		9,905
				3,593,102
TOTAL COMMON STOCKS (Cost $5,271,475)				5,815,729
	NO. OF RIGHTS
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
ACS Actividades de Construccion y Servicios SA, expiring 7/8/2019 (2)* (Cost $110)		66		104

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

230

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 42.9%
INVESTMENT COMPANIES - 42.9%
Limited Purpose Cash Investment Fund, 2.36% (c)
(Cost $5,147,216)		5,147,714	$	5,148,743
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.4% (Cost $10,418,801)				10,964,576
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.6% (d)			1,028,543
NET ASSETS - 100.0%			$	11,993,119

SECTOR	VALUE		% OF NET ASSETS
Communication Services	$	346,891		2.9	%
Consumer Discretionary		648,427		5.4
Consumer Staples		424,807		3.6
Energy		87,681		0.7
Financials		675,348		5.6
Health Care		899,426		7.5
Industrials		772,256		6.5
Information Technology		1,305,361		10.9
Materials		203,388		1.7
Real Estate		195,713		1.6
Utilities		256,535		2.1
Short-Term Investments		5,148,743		42.9
Total Investments In Securities At Value		10,964,576		91.4
Other Assets in Excess of Liabilities (d)		1,028,543		8.6
Net Assets	$	11,993,119		100.0	%

* Non-income producing security.

(a) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at June 30, 2019 amounted to $35,187, which represents approximately 0.29% of net assets of the fund.

(b) Represents less than 0.05% of net assets.

(c) Represents 7-day effective yield as of June 30, 2019.

(d) Includes appreciation/(depreciation) on futures contracts and written options contracts.

All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.

(2) Level 2 security (See Note 5).

Abbreviations

OYJ - Public Traded Company

REIT - Real Estate Investment Trust

Written Call Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		2	EUR		(69,474	)	EUR		3,375.00		8/16/2019		$(2,895	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,400.00		7/19/2019		(1,028	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,450.00		7/19/2019		(611	)
FTSE 100 Index	JPMS		1	GBP		(74,256	)	GBP		7,325.00		7/19/2019		(1,848	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,865.00		8/16/2019		(10,774	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,895.00		8/16/2019		(17,689	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,920.00		8/16/2019		(6,977	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		126.00		7/26/2019		(4,094	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		126.50		7/26/2019		(3,218	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		126.50		8/23/2019		(1,781	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		127.00		7/26/2019		(1,219	)
U.S. Treasury 10 Year Note	JPMS		3	USD		(300,000	)	USD		127.00		8/23/2019		(4,266	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		127.50		7/26/2019		(891	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		128.00		7/26/2019		(2,438	)
U.S. Treasury 10 Year Note	JPMS		6	USD		(600,000	)	USD		128.00		8/23/2019		(5,157	)
U.S. Treasury 10 Year Note	JPMS		3	USD		(300,000	)	USD		128.50		7/26/2019		(1,219	)
U.S. Treasury 10 Year Note	JPMS		3	USD		(300,000	)	USD		128.50		8/23/2019		(1,969	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		129.00		7/26/2019		(531	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		129.00		8/23/2019		(1,938	)
														$(70,543	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

231

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

Written Put Option Contracts (Premium Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,175.00		8/16/2019		$(321	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,200.00		8/16/2019		(124	)
EURO STOXX 50 Index	JPMS		2	EUR		(69,474	)	EUR		3,225.00		8/16/2019		(289	)
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,275.00		8/16/2019		(594	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,300.00		7/19/2019		(71	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,300.00		8/16/2019		(234	)
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,325.00		7/19/2019		(273	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,325.00		8/16/2019		(276	)
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,350.00		7/19/2019		(355	)
EURO STOXX 50 Index	JPMS		1	EUR		(34,737	)	EUR		3,350.00		8/16/2019		(326	)
EURO STOXX 50 Index	JPMS		3	EUR		(104,211	)	EUR		3,375.00		7/19/2019		(467	)
EURO STOXX 50 Index	JPMS		2	EUR		(69,474	)	EUR		3,400.00		7/19/2019		(409	)
FTSE 100 Index	JPMS		1	GBP		(74,256	)	GBP		7,125.00		7/19/2019		(127	)
FTSE 100 Index	JPMS		2	GBP		(148,513	)	GBP		7,175.00		7/19/2019		(330	)
FTSE 100 Index	JPMS		3	GBP		(222,769	)	GBP		7,250.00		7/19/2019		(743	)
FTSE 100 Index	JPMS		1	GBP		(74,256	)	GBP		7,350.00		7/19/2019		(464	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,125.00		7/12/2019		(306	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,375.00		7/12/2019		(445	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		20,750.00		7/12/2019		(863	)
Nikkei 225 Index	JPMS		1	JPY		(21,275,920	)	JPY		21,125.00		7/12/2019		(1,809	)
Russell 2000 Index	JPMS		2	USD		(313,314	)	USD		1,450.00		7/19/2019		(542	)
Russell 2000 Index	JPMS		1	USD		(156,657	)	USD		1,510.00		7/19/2019		(842	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,725.00		8/16/2019		(1,345	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,765.00		8/16/2019		(3,720	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,770.00		7/19/2019		(615	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,775.00		7/19/2019		(595	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,775.00		8/16/2019		(1,730	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,800.00		7/19/2019		(700	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,810.00		7/19/2019		(1,055	)
S&P 500 Index	JPMS		2	USD		(588,352	)	USD		2,810.00		8/16/2019		(5,070	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,835.00		7/19/2019		(1,125	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,850.00		8/16/2019		(3,115	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,855.00		7/19/2019		(1,604	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,865.00		7/19/2019		(1,840	)
S&P 500 Index	JPMS		1	USD		(294,176	)	USD		2,880.00		7/19/2019		(1,835	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		125.50		8/23/2019		(281	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		126.00		8/23/2019		(875	)
U.S. Treasury 10 Year Note	JPMS		4	USD		(400,000	)	USD		126.50		7/26/2019		(563	)
U.S. Treasury 10 Year Note	JPMS		7	USD		(700,000	)	USD		126.50		8/23/2019		(2,188	)
U.S. Treasury 10 Year Note	JPMS		1	USD		(100,000	)	USD		127.00		7/26/2019		(250	)
U.S. Treasury 10 Year Note	JPMS		3	USD		(300,000	)	USD		127.00		8/23/2019		(1,359	)
U.S. Treasury 10 Year Note	JPMS		3	USD		(300,000	)	USD		127.50		7/26/2019		(1,265	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		128.00		7/26/2019		(1,281	)
U.S. Treasury 10 Year Note	JPMS		2	USD		(200,000	)	USD		128.00		8/23/2019		(1,781	)
														(44,402	)
Total Written Option Contracts (Premium Style) (Premiums Received ($137,380))														$(114,945	)

The accompanying notes are an integral part of these financial statements. (Continued)

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232

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

Written Call Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	JPMS		3	EUR		(300,000	)	EUR		170.00		7/26/2019		$(6,932	)
Euro-Bund July Futures	JPMS		5	EUR		(500,000	)	EUR		170.50		7/26/2019		(9,882	)
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		173.50		7/26/2019		(26	)
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		174.00		7/26/2019		(25	)
Euro-Bund August Futures	JPMS		1	EUR		(100,000	)	EUR		171.50		8/23/2019		(900	)
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		172.00		8/23/2019		(1,620	)
Euro-Bund August Futures	JPMS		1	EUR		(100,000	)	EUR		173.00		8/23/2019		(81	)
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		173.50		8/23/2019		(94	)
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		174.00		8/23/2019		(71	)
														$(19,631	)

Written Put Option Contracts (Futures Style) as of June 30, 2019:

Exchange Traded

DESCRIPTION	COUNTERPARTY	NUMBER OF CONTRACTS			NOTIONAL AMOUNT				EXERCISE PRICE		EXPIRATION DATE		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Euro-Bund July Futures	JPMS		2	EUR		(200,000	)	EUR		171.50		7/26/2019		$295
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		172.00		7/26/2019		137
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		172.50		7/26/2019		317
Euro-Bund July Futures	JPMS		1	EUR		(100,000	)	EUR		173.00		7/26/2019		172
Euro-Bund August Futures	JPMS		2	EUR		(200,000	)	EUR		170.00		8/23/2019		317
Euro-Bund August Futures	JPMS		4	EUR		(400,000	)	EUR		171.50		8/23/2019		935
Euro-Bund August Futures	JPMS		4	EUR		(400,000	)	EUR		172.00		8/23/2019		$322
Euro-Bund August Futures	JPMS		1	EUR		(100,000	)	EUR		172.50		8/23/2019		193
Euro-Bund August Futures	JPMS		1	EUR		(100,000	)	EUR		173.00		8/23/2019		126
														2,814
Total Written Option Contracts (Futures Style)														$(16,817	)

The accompanying notes are an integral part of these financial statements. (Continued)

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233

Schedule of Investments June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Euro-Bund		3			9/2019	EUR		$589,268			$9,237
MSCI EAFEE-Mini Index		2			9/2019	USD		192,330			5,317
U.S. Treasury 10 Year Note		6			9/2019	USD		767,813			22,568
											37,122
Short Contracts
EURO STOXX 50 Index		(2	)		9/2019	EUR		(78,824	)		(478	)
FTSE 100 Index		(1	)		9/2019	GBP		(93,583	)		(109	)
Nikkei 225 Index		(1	)		9/2019	JPY		(197,190	)		(2,306	)
Russell 2000E-Mini Index		(1	)		9/2019	USD		(78,355	)		(1,467	)
											(4,360	)
											$32,762

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
JPMS
Cash		$—		$94,235		$94,235

The accompanying notes are an integral part of these financial statements. (Continued)

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Schedule of Investments June 30, 2019 (Unaudited)

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITG - Citigroup Global Markets, Inc.

CITI - Citibank NA

CRSU - Credit Suisse Securities (USA) LLC

DTBK - Deutsche Bank AG

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

MSIP - Morgan Stanley & Co. International plc

SOCG - Societe Generale

The following reference rates, and their values as of period-end, are used for security descriptions:

Australian Bank-Bill Swap Reference Rate (“BBR”): 1.22%

Australian Overnight Indexed Swap Rate (“AOISR”): 1.20%

Bank of Japan Estimate Unsecured Overnight Call Rate: -0.08%

Brazilian Interbank Certificate of Deposit (“CDI”): 6.40%

Canadian Dollar Offered Rate (“CDOR”): 1.96%

Copenhagen Interbank Offered Rate (“CIBOR”): -0.43%

EUR/USD 1 Week Forward FX Swap Rate: -0.40%

Euro Interbank Offered Rate (“EURIBOR”): -0.39%

Euro Overnight Index Average (“EONIA”): -0.36%

Federal Funds Floating Rate: 2.40%

GBP/USD 1 Week Forward FX Swap Rate: 4.50%

HKD/USD 1 Month Forward FX Swap Rate: 2.53%

Hong Kong Interbank Offered Rate (“HIBOR”): 2.53%

Hong Kong Overnight Index Average (“HONIX”): 2.92%

Johannesburg Interbank Agreed Rate (“JIBAR”): 6.91%

JPY/USD 1 Week Forward Swap Rate: -0.12%

London Interbank Offered Rate (“LIBOR”): 2.40%

Mexico Equilibrium Interbank Interest Rate: 8.49%

Norway Interbank Offered Rate: 1.37%

Overnight Bank Funding Rate: 2.38%

Rand Overnight Deposit Rate: 6.59%

Reserve Bank of Australia Cash Rate (“RBACR”): 1.25%

Singapore Swap Offered Rate (“SOR”): 1.80%

Sterling Overnight Index Average (“SONIA”): 0.71%

Stockholm Interbank Offered Rate (“STIBOR”): -0.15%

Swiss Average Rate Overnight (“SARON”): -0.74%

Tokyo Overnight Average Rate (“TONAR”): -0.09%

Warsaw Interbank Offered Rate: 1.54%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

235

Statements of Assets and Liabilities June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	613,912,992		$	599,388,508		$	561,684,024		$	25,030,616
Investments in securities of affiliated issuers, at cost		—			—			99,827,395			—
Investments in securities of unaffiliated issuers, at value	$	640,555,117		$	595,503,408		$	590,151,675		$	25,048,524
Investments in securities of affiliated issuers, at value		—			—			99,879,110			—
Cash		946,408			3,454,979			14,776			—
Cash denominated in foreign currencies‡		1,855,717			502,282			1,249,910			223,626
Unrealized appreciation on forward foreign currency exchange contracts		4,168,009			100,824			466,910			556,535
Unrealized appreciation on OTC swaps		50,782			2,514,044			—			41,311
Deposits for securities sold short		—			58,317,559			—			—
Deposits for written options contracts (premium-style)		7,714,330			—			—			—
Due from broker		1,404,047			252,733			—			27,741
Deposits with brokers for centrally cleared swaps (unamortized upfront payments (receipts), $—, $(750,796), $— and $662,863, respectively)		—			422,159			—			671,642
Deposits with brokers for futures and futures-style options contracts		20,149,253			2,102,115			1,040			2,295,196
Variation margin on centrally cleared swaps		—			—			—			4,809
Variation margin on futures and futures-style options contracts		650,430			27,550			—			66,620
Receivables:
Securities sold		988,577			25,874,506			7,525,512			89,813
Foreign tax reclaims		163,874			44,777			1,361,204			—
Dividends and interest		722,144			2,240,984			561,208			24,284
Capital shares sold		413,495			504,328			102,165			379
Prepaid expenses		51,651			40,071			61,743			36,329
Total Assets		679,833,834			691,902,319			701,375,253			29,086,809
LIABILITIES:
Securities sold short, at value (proceeds $330,977,682, $150,533,794, $155,322,853 and $—, respectively)		313,720,345			167,999,923			141,383,442			—
Written option contracts (premium-style), at value (premiums $1,536,775, $—, $— and $—, respectively)		1,357,101			—			—			—
Due to broker		—			1,938,591			—			35,984
Unrealized depreciation on forward foreign currency exchange contracts		6,076,802			190,797			1,379,568			691,413
Unrealized depreciation on OTC swaps		111,430			6,144,194			61,075,929			46,161
Variation margin on centrally cleared swaps		—			17,512			—			—
Variation margin on futures and futures-style options contracts		89,943			218,013			—			11,523
Payables:
Securities purchased		975,201			27,210,896			7,449,249			89,838
Accrued investment advisory fees		330,543			355,890			448,693			10,865
Accrued distribution fees—Class N		2,362			12,454			4,355			293
Accrued Trustee fees		—			—			487			19
Capital shares redeemed		868,978			2,593,803			1,438,035			4,059
Dividends and interest payable on securities sold short		415,522			337,830			147,909			—
Other accrued expenses and liabilities		76,935			224,230			280,438			84,924
Total Liabilities		324,025,162			207,244,133			213,608,105			975,079
Commitments and contingent liabilities*
Net Assets	$	355,808,672		$	484,658,186		$	487,767,148		$	28,111,730
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	365,624,917		$	811,215,919		$	531,599,609		$	29,664,598
Total distributable earnings (loss)		(9,816,245	)		(326,557,733	)		(43,832,461	)		(1,552,868	)
Net Assets	$	355,808,672		$	484,658,186		$	487,767,148		$	28,111,730
NET ASSETS:
Class I	$	244,398,190		$	409,041,920		$	406,178,263		$	15,161,706
Class N		11,674,070			60,627,466			20,479,840			1,302,519
Class R6		99,736,412			14,988,800			61,109,045			11,647,505
SHARES OUTSTANDING:
Class I		26,300,752			44,272,750			41,237,645			1,615,837
Class N		1,260,636			6,563,626			2,094,483			140,639
Class R6		10,707,795			1,625,025			6,196,140			1,240,254
NET ASSET VALUE:
Class I	$	9.29		$	9.24		$	9.85		$	9.38
Class N	$	9.26		$	9.24		$	9.78		$	9.26
Class R6	$	9.31		$	9.22		$	9.86		$	9.39
‡  Cash denominated in foreign currencies at cost	$	1,850,624		$	542,901		$	1,248,351		$	221,508

* AQR Diversified Arbitrage Fund, see Note 4 in the Notes to Financial Statements for additional information.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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236

Statements of Assets and Liabilities June 30, 2019 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)**		AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQRRISK- BALANCED COMMODITIES STRATEGY FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	1,531,351,418		$	215,616,117	$	619,140,135		$	228,934,917
Investments in securities of affiliated issuers, at cost		353,137,864			—		166,355,670			—
Investments in securities of unaffiliated issuers, at value	$	1,607,324,318		$	219,523,965	$	678,571,336		$	229,048,942
Investments in securities of affiliated issuers, at value		353,280,437			—		166,427,618			—
Cash		972,626			16,624		6,111,124			144
Cash denominated in foreign currencies‡		6,245,081			1,034,755		2,567,867			—
Unrealized appreciation on forward foreign currency exchange contracts		4,128,314			2,104,851		16,447,286			—
Unrealized appreciation on OTC swaps		1,858,475			433,857		4,392,145			4,432,190
Deposits for securities sold short		—			—		14,408,064			—
Deposits for written options contracts (premium-style)		—			—		72,072			—
Due from broker		140,691,379			680,209		19,741,827			4,746,276
Deposits with brokers for centrally cleared swaps (unamortized upfront payments (receipts), $—, $—, $(2,970,548) and $—, respectively)		—			—		1,216,942			—
Deposits with brokers for futures and futures-style options contracts		12,913,080			4,821,225		19,532,251			18,282,246
Variation margin on futures and futures-style options contracts		4,470,833			374,941		2,200,069			54,639
Receivables:
Securities sold		42,932,885			651,422		7,296,277			—
Foreign tax reclaims		1,349,949			44,103		132,582			—
Dividends and interest		1,458,099			258,004		2,502,090			235,589
Capital shares sold		841,052			126,635		369,082			32,465
Prepaid expenses		64,851			32,069		63,630			31,437
Total Assets		2,178,531,379			230,102,660		942,052,262			256,863,928
LIABILITIES:
Securities sold short, at value (proceeds $584,732,590, $23,023,233, $195,441,619 and $—, respectively)		565,322,833			23,098,610		248,706,091			—
Written option contracts (premium-style), at value (premiums $—, $—, $756,425 and $—, respectively)		—			—		674,617			—
Reverse repurchase agreements, at value		—			20,463,679		—			—
Due to broker		1,220,000			247,081		1,315,954			—
Unrealized depreciation on forward foreign currency exchange contracts		1,576,268			2,176,291		18,616,649			—
Unrealized depreciation on OTC swaps		113,470,701			619,795		55,453,172			5,606,369
Deposits from brokers for futures and futures-style options contracts		—			35,397		—			—
Variation margin on centrally cleared swaps		—			—		47,611			—
Variation margin on futures and futures-style options contracts		—			256,166		81,437			1,845,842
Payables:
Securities purchased		42,933,016			652,968		5,221,010			—
Accrued investment advisory fees		1,394,627			91,545		941,167			137,159
Accrued distribution fees—Class N		13,514			2,592		4,053			2,849
Accrued Trustee fees		—			—		1,517			—
Capital shares redeemed		10,813,714			85,625		2,384,356			55,996
Dividends and interest payable on securities sold short		559,785			36,785		769,021			—
Other accrued expenses and liabilities		680,215			401,319		304,651			119,261
Total Liabilities		737,984,673			48,167,853		334,521,306			7,767,476
Net Assets	$	1,440,546,706		$	181,934,807	$	607,530,956		$	249,096,452
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,686,124,739		$	181,576,647	$	1,039,858,881		$	245,645,265
Total distributable earnings (loss)		(245,578,033	)		358,160		(432,327,925	)		3,451,187
Net Assets	$	1,440,546,706		$	181,934,807	$	607,530,956		$	249,096,452
NET ASSETS:
Class I	$	1,274,643,153		$	165,344,039	$	384,874,107		$	105,063,259
Class N		61,225,866			12,872,438		15,026,504			14,354,870
Class R6		104,677,687			3,718,330		207,630,345			129,678,323
SHARES OUTSTANDING:
Class I		118,086,215			17,050,209		52,468,243			17,536,130
Class N		5,733,280			1,332,743		2,068,055			2,429,189
Class R6		9,668,768			383,478		28,243,110			21,579,444
NET ASSET VALUE:
Class I	$	10.79		$	9.70	$	7.34		$	5.99
Class N	$	10.68		$	9.66	$	7.27		$	5.91
Class R6	$	10.83		$	9.70	$	7.35		$	6.01
‡  Cash denominated in foreign currencies at cost	$	6,242,353		$	1,032,371	$	2,548,822		$	—

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

237

Statements of Assets and Liabilities June 30, 2019 (Unaudited)

	AQR RISK PARITY II HV FUND**		AQR RISK PARITY II MV FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	32,172,198	$	104,949,619	$	2,729,578,027		$	162,937,823
Investments in securities of affiliated issuers, at cost		—		—		945,752,767			193,918,271
Investments in securities of unaffiliated issuers, at value	$	32,336,376	$	105,209,506	$	2,805,447,016		$	168,160,154
Investments in securities of affiliated issuers, at value		—		—		946,149,911			193,981,623
Cash		—		166,144		16,887,841			28,616
Cash denominated in foreign currencies‡		89,710		268,069		23,538,583			1,948,923
Unrealized appreciation on forward foreign currency exchange contracts		74,037		11,517		37,644,628			1,941,363
Unrealized appreciation on OTC swaps		43,029		298,467		36,126,239			993,093
Due from broker		5,509		19,537		3,111,889			20,813
Deposits with brokers for futures and futures-style options contracts		2,255,286		3,908,921		173,277,379			15,107,029
Variation margin on futures and futures-style options contracts		129,156		317,587		14,368,990			441,708
Receivables:
Securities sold		43,813		94,484		367,655			1,089,190
Foreign tax reclaims		—		—		2,145,415			155,401
Dividends and interest		43,926		140,338		3,374,737			473,076
Capital shares sold		2,629		—		1,627,423			5,821
Prepaid expenses		24,963		25,396		128,440			46,873
Total Assets		35,048,434		110,459,966		4,064,196,146			384,393,683
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $1,082,287,334 and $68,712,926, respectively)		—		—		1,071,050,164			68,508,555
Reverse repurchase agreements, at value		4,766,116		—		—			—
Due to custodian		14,363		—		—			—
Due to broker		117,533		86,912		2,123,711			81,905
Unrealized depreciation on forward foreign currency exchange contracts		137,456		165,353		57,904,232			3,206,734
Unrealized depreciation on OTC swaps		1,566		157,407		80,590,677			3,398,773
Deposits from brokers for futures and futures-style options contracts		—		19,890		—			—
Variation margin on futures and futures-style options contracts		116,216		241,856		2,323,312			303,016
Payables:
Securities purchased		43,843		94,550		—			902,400
Accrued investment advisory fees		4,446		50,771		3,160,443			148,589
Accrued distribution fees—Class N		892		510		14,789			2,047
Accrued Trustee fees		—		—		—			431
Capital shares redeemed		98,938		5,110		10,557,440			75,187
Dividends and interest payable on securities sold short		—		—		1,113,848			75,352
Interest payable for reverse repurchase agreements		6,007		—		—			—
Other accrued expenses and liabilities		82,278		89,848		134,709			125,250
Total Liabilities		5,389,654		912,207		1,228,973,325			76,828,239
Net Assets	$	29,658,780	$	109,547,759	$	2,835,222,821		$	307,565,444
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	27,158,287	$	101,678,103	$	3,446,562,341		$	325,145,048
Total distributable earnings (loss)		2,500,493		7,869,656		(611,339,520	)		(17,579,604	)
Net Assets	$	29,658,780	$	109,547,759	$	2,835,222,821		$	307,565,444
NET ASSETS:
Class I	$	24,302,330	$	106,263,708	$	1,486,437,398		$	250,690,025
Class N		4,468,308		2,538,490		68,184,665			9,701,559
Class R6		888,142		745,561		1,280,600,758			47,173,860
SHARES OUTSTANDING:
Class I		2,701,812		10,906,922		173,965,608			25,558,469
Class N		497,151		262,485		8,001,776			995,698
Class R6		98,746		76,505		149,580,450			4,801,006
NET ASSET VALUE:
Class I	$	8.99	$	9.74	$	8.54		$	9.81
Class N	$	8.99	$	9.67	$	8.52		$	9.74
Class R6	$	8.99	$	9.75	$	8.56		$	9.83
‡  Cash denominated in foreign currencies at cost	$	89,807	$	267,606	$	23,500,026		$	1,940,529

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

238

Statements of Assets and Liabilities June 30, 2019 (Unaudited)

	AQR VOLATILITY RISK PREMIUM FUND
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	10,418,801
Investments in securities of unaffiliated issuers, at value	$	10,964,576
Cash		972,827
Cash denominated in foreign currencies‡		55,801
Deposits with brokers for futures and futures-style options contracts		111,746
Receivables:
Securities sold		30,038
Foreign tax reclaims		4,085
Dividends and interest		15,849
Due from Investment Adviser		13,670
Prepaid expenses		42,393
Total Assets		12,210,985
LIABILITIES:
Written option contracts (premium-style), at value (premiums $137,380)		114,945
Variation margin on futures and futures-style options contracts		1,566
Payables:
Securities purchased		30,059
Accrued distribution fees—Class N		208
Accrued Trustee fees		802
Other accrued expenses and liabilities		70,286
Total Liabilities		217,866
Net Assets	$	11,993,119
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	11,681,180
Total distributable earnings (loss)		311,939
Net Assets	$	11,993,119
NET ASSETS:
Class I	$	1,572,405
Class N		1,024,689
Class R6		9,396,025
SHARES OUTSTANDING:
Class I		153,366
Class N		100,126
Class R6		916,760
NET ASSET VALUE:
Class I	$	10.25
Class N	$	10.23
Class R6	$	10.25
‡  Cash denominated in foreign currencies at cost	$	55,544

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

239

Statements of Operations June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$7,414,043			$2,477,892			$7,095,734			$155,250
Affiliated issuers		—			—			5,898,884			—
Interest income:
Unaffiliated issuers		1,066,351			4,126,699			4,153,790			239,164
Total Income		8,480,394			6,604,591			17,148,408			394,414
EXPENSES:
Investment advisory fees		2,190,637			2,196,597			4,948,252			222,927
Custody fees		16,522			43,274			13,607			11,782
Administration & accounting fees		70,766			87,121			186,222			14,659
Legal fees		3,376			7,397			18,448			117
Audit & tax fees		52,842			67,040			60,666			50,814
Shareholder reporting fees		30,171			37,204			81,481			3,700
Transfer agent fees		135,143			219,596			298,171			20,691
Trustee fees		11,573			13,187			26,585			3,846
Distribution fees—Class N		14,436			76,836			182,218			5,969
Dividends and interest on securities sold short (Note 4)		4,104,549			1,448,978			4,748,431			—
Interest expense		2,137			47,921			—			48
Registration fees		53,783			31,982			61,575			28,224
Pricing fee		1,859			80,445			11,679			—
Other expenses		10,568			12,701			29,034			4,191
Total Expenses		6,698,362			4,370,279			10,666,369			366,968
Less fee waivers and/or reimbursements		(72,865	)		(165,994	)		(54,466	)		(107,551	)
Net Expenses		6,625,497			4,204,285			10,611,903			259,417
Net Investment Income (Loss)		1,854,897			2,400,306			6,536,505			134,997
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(14,266,047	)		14,159,316			18,960,979			(12,680	)
Transactions in investment securities of affiliated issuers		—			—			79,431			—
Settlement of foreign currency and foreign currency transactions		(47,398	)		636,107			(64,698	)		(15,916	)
Settlement of forward foreign currency contracts		(57,814	)		142,757			2,997,547			(303,254	)
Expiration or closing of futures and futures-style options contracts		14,755,891			(6,415,770	)		2,004,948			543,840
Closed short positions in securities		(20,706,372	)		(4,343,172	)		15,231,818			—
Expiration or closing of swap contracts		2,263,771			(509,747	)		(34,244,235	)		(357,100	)
Expiration or closing of written option contracts(premium-style)		1,691,099			—			—			—
Net realized gain (loss)		(16,366,870	)		3,669,491			4,965,790			(145,110	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		43,564,595			38,810,844			15,802,976			11,440
Investment securities of affiliated issuers		—			(1,257,110	)		(75,281	)		—
Foreign currency and foreign currency transactions		23,747			8,247			(410,157	)		(13,525	)
Forward foreign currency exchange contracts		2,985,348			(175,269	)		(577,491	)		795,455
Futures and futures-style options contracts		992,300			(1,891,651	)		—			98,628
Short positions in securities		(33,471,347	)		(24,092,036	)		(59,400,028	)		—
Swap contracts		813,230			6,141,880			(46,540,119	)		237,196
Written option contracts		687,716			—			—			—
Net change in unrealized appreciation (depreciation)		15,595,589			17,544,905			(91,200,100	)		1,129,194
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(771,281	)		21,214,396			(86,234,310	)		984,084
Net increase (decrease) in net assets resulting from operations		$1,083,616			$23,614,702			$(79,697,805	)		$1,119,081
†  Net of foreign taxes withheld of		$425,034			$3,481			$1,199,698			$1,008

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

240

Statements of Operations June 30, 2019 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)**			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$11,762,164			$2,182,487			$6,826,820			$1,458,945
Affiliated issuers		5,494,323			—			4,398,805			—
Interest income:
Unaffiliated issuers		11,769,301			1,016,458			4,950,202			1,324,426
Interfund lending income		164			—			—			—
Total Income		29,025,952			3,198,945			16,175,827			2,783,371
EXPENSES:
Investment advisory fees		10,132,975			795,268			9,748,473			1,008,352
Custody fees		52,675			21,247			34,418			13,158
Administration & accounting fees		382,599			49,920			228,319			54,438
Legal fees		45,656			10,146			31,781			2,282
Audit & tax fees		48,513			54,789			52,258			66,250
Shareholder reporting fees		143,441			20,442			107,989			21,773
Transfer agent fees		642,815			92,686			366,424			60,316
Trustee fees		49,158			8,303			31,656			9,023
Distribution fees—Class N		115,049			15,686			243,530			19,354
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		6,899,780			580,214			3,013,963			—
Interest expense		—			3,078			38,634			80
Registration fees		70,842			42,978			54,779			45,558
Pricing fee		13,539			1,993			23,347			—
Other expenses		57,224			8,794			36,720			9,093
Total Expenses		18,654,266			1,705,544			14,012,291			1,309,677
Less fee waivers and/or reimbursements		(15,081	)		(117,713	)		(139,765	)		(100,663	)
Net Expenses		18,639,185			1,587,831			13,872,526			1,209,014
Net Investment Income (Loss)		10,386,767			1,611,114			2,303,301			1,574,357
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		5,941,472			101,257			63,944,684			2,915
Transactions in investment securities of affiliated issuers		38,346			—			115,949			—
Settlement of foreign currency and foreign currency transactions		228,114			(680	)		33,069			—
Settlement of forward foreign currency contracts		(4,357,923	)		2,801,093			11,994,923			—
Expiration or closing of futures and futures-style options contracts		94,890,602			13,685,507			(18,833,008	)		894,271
Closed short positions in securities		3,264,799			(1,856,913	)		(60,726,504	)		—
Expiration or closing of swap contracts		(127,863,890	)		1,028,758			(59,144,077	)		(4,281,315	)
Expiration or closing of written option contracts(premium-style)		—			—			1,448,707			—
Net realized gain (loss)		(27,858,480	)		15,759,022			(61,166,257	)		(3,384,129	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		120,133,840			6,993,046			34,749,763			84,618
Investment securities of affiliated issuers		81,731			—			(65,396	)		—
Foreign currency and foreign currency transactions		(773,608	)		(302,149	)		172,163			—
Forward foreign currency exchange contracts		1,465,437			(421,935	)		13,116,200			—
Futures and futures-style options contracts		51,133,617			3,353,960			423,558			17,841,851
Short positions in securities		(146,911,175	)		(75,377	)		(26,426,760	)		—
Swap contracts		(25,830,994	)		2,264,425			(22,629,208	)		(629,732	)
Written option contracts		—			—			404,197			—
Net change in unrealized appreciation (depreciation)		(701,152	)		11,811,970			(255,483	)		17,296,737
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(28,559,632	)		27,570,992			(61,421,740	)		13,912,608
Net increase (decrease) in net assets resulting from operations		$(18,172,865	)		$29,182,106			$(59,118,439	)		$15,486,965
†  Net of foreign taxes withheld of		$725,541			$151,889			$129,021			$6,051

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

241

Statements of Operations June 30, 2019 (Unaudited)

	AQR RISK PARITY II HV FUND**			AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**			AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$116,180			$398,200			$27,780,508			$2,131,706
Affiliated issuers		—			—			11,083,328			1,958,868
Interest income:
Unaffiliated issuers		250,578			671,084			8,126,123			1,203,827
Total Income		366,758			1,069,284			46,989,959			5,294,401
EXPENSES:
Investment advisory fees		134,523			328,161			21,525,379			1,125,570
Custody fees		11,254			10,626			39,250			10,609
Administration & accounting fees		12,206			22,124			612,587			72,516
Legal fees		125			233			49,917			4,576
Audit & tax fees		55,647			49,810			64,263			57,636
Shareholder reporting fees		2,034			5,790			261,846			32,139
Transfer agent fees		17,333			51,873			791,354			119,573
Trustee fees		3,625			4,892			79,697			11,720
Distribution fees—Class N		5,291			2,996			99,516			19,901
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		85,537			—			13,459,567			819,881
Interest expense		269			102			1,357,706			4,832
Registration fees		26,634			26,449			93,518			42,098
Pricing fee		—			—			13,365			12,061
Other expenses		3,861			4,917			80,503			12,520
Total Expenses		358,339			507,973			38,528,468			2,345,632
Less fee waivers and/or reimbursements		(109,216	)		(88,226	)		(462,078	)		(85,858	)
Net Expenses		249,123			419,747			38,066,390			2,259,774
Net Investment Income (Loss)		117,635			649,537			8,923,569			3,034,627
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(21,774	)		16,899			(89,317,577	)		(981,691	)
Transactions in investment securities of affiliated issuers		—			—			78,019			3,709
Settlement of foreign currency and foreign currency transactions		(2,257	)		(14,469	)		(1,118,125	)		16,160
Settlement of forward foreign currency contracts		197,096			471,235			36,637,406			2,182,453
Expiration or closing of futures and futures-style options contracts		3,536,986			6,356,955			62,643,669			3,032,841
Closed short positions in securities		—			—			(38,598,994	)		(168,451	)
Expiration or closing of swap contracts		268,384			185,896			(4,224,907	)		(5,194,288	)
Net realized gain (loss)		3,978,435			7,016,516			(33,900,509	)		(1,109,267	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		484,916			930,447			272,623,721			6,302,669
Investment securities of affiliated issuers		—			—			189,410			33,364
Foreign currency and foreign currency transactions		4,854			11,857			621,208			45,067
Forward foreign currency exchange contracts		(60,700	)		(141,289	)		25,837,496			1,805,478
Futures and futures-style options contracts		1,364,904			3,213,989			(8,241,462	)		219,674
Short positions in securities		—			—			(259,833,232	)		(10,001,072	)
Swap contracts		25,052			202,351			(166,000,095	)		(6,499,206	)
Net change in unrealized appreciation (depreciation)		1,819,026			4,217,355			(134,802,954	)		(8,094,026	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		5,797,461			11,233,871			(168,703,463	)		(9,203,293	)
Net increase (decrease) in net assets resulting from operations		$5,915,096			$11,883,408			$(159,779,894	)		$(6,168,666	)
†  Net of foreign taxes withheld of		$1,006			$2,817			$1,484,425			$237,489

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

242

Statements of Operations June 30, 2019 (Unaudited)

	AQR VOLATILITY RISK PREMIUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2019
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$140,685
Total Income		140,685
EXPENSES:
Investment advisory fees		31,696
Custody fees		1,827
Administration & accounting fees		6,640
Legal fees		3,000
Audit & tax fees		42,197
Shareholder reporting fees		1,392
Transfer agent fees		8,439
Trustee fees		3,242
Offering costs		26,952
Distribution fees—Class N		1,250
Registration fees		27,823
Other expenses		3,621
Total Expenses		158,079
Less fee waivers and/or reimbursements		(118,811	)
Net Expenses		39,268
Net Investment Income (Loss)		101,417
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		(321,318	)
Settlement of foreign currency and foreign currency transactions		1,733
Expiration or closing of futures and futures-style options contracts		(134,996	)
Expiration or closing of written option contracts (premium-style)		231,531
Net realized gain (loss)		(223,050	)
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		925,682
Foreign currency and foreign currency transactions		428
Futures and futures-style options contracts		(52,874	)
Written option contracts		56,409
Net change in unrealized appreciation (depreciation)		929,645
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		706,595
Net increase (decrease) in net assets resulting from operations		$808,012
†  Net of foreign taxes withheld of		$6,201

The accompanying notes are an integral part of these financial statements.

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243

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$1,854,897			$27,287			$2,400,306			$2,872,418
Net realized gain (loss)		(16,366,870	)		(43,584,880	)		3,669,491			42,193,673
Net change in unrealized appreciation (depreciation)		15,595,589			30,038,179			17,544,905			(35,092,047	)
Net increase (decrease) in net assets resulting from operations		1,083,616			(13,519,414	)		23,614,702			9,974,044
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(197,523	)		—			(21,292,398	)
Class N		—			(7,379	)		—			(4,193,660	)
Class R6		—			(86,658	)		—			(871,174	)
Total distributions		—			(291,560	)		—			(26,357,232	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		106,577,392			469,503,958			135,480,882			133,439,029
Reinvestment of distributions		—			197,507			—			13,354,400
Cost of shares redeemed		(123,760,198	)		(226,403,359	)		(65,132,928	)		(201,260,502	)
Net increase (decrease) from capital transactions		(17,182,806	)		243,298,106			70,347,954			(54,467,073	)
CLASS N
Proceeds from shares sold		4,052,219			13,543,561			4,760,436			20,304,675
Reinvestment of distributions		—			7,379			—			4,179,442
Cost of shares redeemed		(3,877,660	)		(3,304,248	)		(13,687,933	)		(32,515,274	)
Net increase (decrease) from capital transactions		174,559			10,246,692			(8,927,497	)		(8,031,157	)
CLASS R6
Proceeds from shares sold		39,096,962			143,810,607			3,925,648			11,477,232
Reinvestment of distributions		—			71,249			—			489,696
Cost of shares redeemed		(38,787,562	)		(90,399,580	)		(3,359,236	)		(6,190,750	)
Net increase (decrease) from capital transactions		309,400			53,482,276			566,412			5,776,178
Net increase (decrease) in net assets resulting from capital transactions		(16,698,847	)		307,027,074			61,986,869			(56,722,052	)
Total increase (decrease) in net assets		(15,615,231	)		293,216,100			85,601,571			(73,105,240	)
NET ASSETS:
Beginning of period		371,423,903			78,207,803			399,056,615			472,161,855
End of period		$355,808,672			$371,423,903			$484,658,186			$399,056,615

The accompanying notes are an integral part of these financial statements. (continued on p. 245)

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244

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND						AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		28,218,036			2,682,282			36,459,796			42,440,083
Shares sold		11,408,809			49,682,754			15,050,506			14,381,039
Shares issued on reinvestment of distributions		—			21,237			—			1,522,737
Shares redeemed		(13,326,093	)		(24,168,237	)		(7,237,552	)		(21,884,063	)
Shares outstanding, end of period		26,300,752			28,218,036			44,272,750			36,459,796
CLASS N
Shares outstanding, beginning of period		1,242,488			153,729			7,561,487			8,415,812
Shares sold		432,996			1,436,820			528,857			2,195,480
Shares issued on reinvestment of distributions		—			795			—			476,018
Shares redeemed		(414,848	)		(348,856	)		(1,526,718	)		(3,525,823	)
Shares outstanding, end of period		1,260,636			1,242,488			6,563,626			7,561,487
CLASS R6
Shares outstanding, beginning of period		10,679,328			4,972,362			1,563,194			924,895
Shares sold		4,196,415			15,254,295			436,348			1,255,278
Shares issued on reinvestment of distributions		—			7,645			—			55,965
Shares redeemed		(4,167,948	)		(9,554,974	)		(374,517	)		(672,944	)
Shares outstanding, end of period		10,707,795			10,679,328			1,625,025			1,563,194

The accompanying notes are an integral part of these financial statements.

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245

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$6,536,505			$5,603,109			$134,997			$103,508
Net realized gain (loss)		4,965,790			(191,517,375	)		(145,110	)		2,613,397
Net change in unrealized appreciation (depreciation)		(91,200,100	)		(85,648,629	)		1,129,194			(1,680,724	)
Net increase (decrease) in net assets resulting from operations		(79,697,805	)		(271,562,895	)		1,119,081			1,036,181
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(3,514,719	)		—			(938,655	)
Class N		—			(1,041,810	)		—			(986,322	)
Class R6		—			(1,017,912	)		—			(460,233	)
Total distributions		—			(5,574,441	)		—			(2,385,210	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		160,815,679			683,095,837			9,855,298			29,356,686
Reinvestment of distributions		—			2,641,777			—			936,110
Cost of shares redeemed		(407,806,557	)		(1,335,331,827	)		(15,546,789	)		(18,886,754	)
Net increase (decrease) from capital transactions		(246,990,878	)		(649,594,213	)		(5,691,491	)		11,406,042
CLASS N
Proceeds from shares sold		22,608,161			106,888,936			626,368			29,248,233
Reinvestment of distributions		—			1,041,355			—			986,322
Cost of shares redeemed		(198,352,271	)		(216,570,707	)		(16,508,710	)		(14,299,996	)
Net increase (decrease) from capital transactions		(175,744,110	)		(108,640,416	)		(15,882,342	)		15,934,559
CLASS R6
Proceeds from shares sold		9,859,034			135,403,341			—			49,551
Reinvestment of distributions		—			919,463			—			459,833
Cost of shares redeemed		(143,584,893	)		(214,060,186	)		(810,728	)		(3,185,048	)
Net increase (decrease) from capital transactions		(133,725,859	)		(77,737,382	)		(810,728	)		(2,675,664	)
Net increase (decrease) in net assets resulting from capital transactions		(556,460,847	)		(835,972,011	)		(22,384,561	)		24,664,937
Total increase (decrease) in net assets		(636,158,652	)		(1,113,109,347	)		(21,265,480	)		23,315,908
NET ASSETS:
Beginning of period		1,123,925,800			2,237,035,147			49,377,210			26,061,302
End of period		$487,767,148			$1,123,925,800			$28,111,730			$49,377,210

The accompanying notes are an integral part of these financial statements. (continued on p. 247)

AQR Funds Semi-Annual Report June 2019

246

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR EQUITY MARKET NEUTRAL FUND						AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		65,873,312			126,740,391			2,227,724			1,051,631
Shares sold		15,207,208			58,626,776			1,074,214			3,084,850
Shares issued on reinvestment of distributions		—			247,821			—			102,084
Shares redeemed		(39,842,875	)		(119,741,676	)		(1,686,101	)		(2,010,841	)
Shares outstanding, end of period		41,237,645			65,873,312			1,615,837			2,227,724
CLASS N
Shares outstanding, beginning of period		19,566,477			29,297,507			1,903,036			334,118
Shares sold		2,155,928			9,239,426			69,575			3,017,567
Shares issued on reinvestment of distributions		—			98,241			—			108,866
Shares redeemed		(19,627,922	)		(19,068,697	)		(1,831,972	)		(1,557,515	)
Shares outstanding, end of period		2,094,483			19,566,477			140,639			1,903,036
CLASS R6
Shares outstanding, beginning of period		19,134,890			26,681,122			1,329,111			1,597,192
Shares sold		943,103			11,197,870			—			5,248
Shares issued on reinvestment of distributions		—			86,173			—			50,145
Shares redeemed		(13,881,853	)		(18,830,275	)		(88,857	)		(323,474	)
Shares outstanding, end of period		6,196,140			19,134,890			1,240,254			1,329,111

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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247

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$10,386,767			$13,156,459			$1,611,114			$3,831,386
Net realized gain (loss)		(27,858,480	)		(459,823,744	)		15,759,022			(16,828,064	)
Net change in unrealized appreciation (depreciation)		(701,152	)		(428,306,953	)		11,811,970			(15,343,053	)
Net increase (decrease) in net assets resulting from operations		(18,172,865	)		(874,974,238	)		29,182,106			(28,339,731	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(110,914,912	)		—			(15,136,783	)
Class N		—			(7,317,725	)		—			(848,775	)
Class R6		—			(13,197,027	)		—			(1,726,240	)
Total distributions		—			(131,429,664	)		—			(17,711,798	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		451,965,180			1,661,241,345			14,379,698			83,151,316
Reinvestment of distributions		—			79,782,800			—			14,317,789
Cost of shares redeemed		(857,359,386	)		(3,387,400,801	)		(92,700,309	)		(255,486,888	)
Net increase (decrease) from capital transactions		(405,394,206	)		(1,646,376,656	)		(78,320,611	)		(158,017,783	)
CLASS N
Proceeds from shares sold		14,879,205			123,395,387			409,945			5,543,736
Reinvestment of distributions		—			7,230,423			—			848,775
Cost of shares redeemed		(70,537,351	)		(344,172,803	)		(1,471,887	)		(8,771,264	)
Net increase (decrease) from capital transactions		(55,658,146	)		(213,546,993	)		(1,061,942	)		(2,378,753	)
CLASS R6
Proceeds from shares sold		7,046,297			308,186,315			309,220			420,039
Reinvestment of distributions		—			8,033,877			—			1,726,240
Cost of shares redeemed		(108,364,562	)		(924,512,139	)		(22,808,433	)		(13,791,557	)
Net increase (decrease) from capital transactions		(101,318,265	)		(608,291,947	)		(22,499,213	)		(11,645,278	)
Net increase (decrease) in net assets resulting from capital transactions		(562,370,617	)		(2,468,215,596	)		(101,881,766	)		(172,041,814	)
Total increase (decrease) in net assets		(580,543,482	)		(3,474,619,498	)		(72,699,660	)		(218,093,343	)
NET ASSETS:
Beginning of period		2,021,090,188			5,495,709,686			254,634,467			472,727,810
End of period		$1,440,546,706			$2,021,090,188			$181,934,807			$254,634,467

The accompanying notes are an integral part of these financial statements. (continued on p. 249)

AQR Funds Semi-Annual Report June 2019

248

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR LONG-SHORT EQUITY FUND						AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		155,099,515			298,568,829			25,535,240			42,326,766
Shares sold		40,545,416			124,006,619			1,577,857			8,664,776
Shares issued on reinvestment of distributions		—			7,332,952			—			1,684,446
Shares redeemed		(77,558,716	)		(274,808,885	)		(10,062,888	)		(27,140,748	)
Shares outstanding, end of period		118,086,215			155,099,515			17,050,209			25,535,240
CLASS N
Shares outstanding, beginning of period		10,817,989			27,927,412			1,449,019			1,701,531
Shares sold		1,355,799			9,163,590			44,772			585,761
Shares issued on reinvestment of distributions		—			670,726			—			100,091
Shares redeemed		(6,440,508	)		(26,943,739	)		(161,048	)		(938,364	)
Shares outstanding, end of period		5,733,280			10,817,989			1,332,743			1,449,019
CLASS R6
Shares outstanding, beginning of period		18,792,779			69,452,664			2,928,896			4,096,425
Shares sold		632,467			22,146,443			33,632			46,099
Shares issued on reinvestment of distributions		—			736,377			—			203,087
Shares redeemed		(9,756,478	)		(73,542,705	)		(2,579,050	)		(1,416,715	)
Shares outstanding, end of period		9,668,768			18,792,779			383,478			2,928,896

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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249

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$2,303,301			$(11,984,962	)		$1,574,357			$2,120,073
Net realized gain (loss)		(61,166,257	)		(140,927,580	)		(3,384,129	)		(48,707,894	)
Net change in unrealized appreciation (depreciation)		(255,483	)		(230,334,766	)		17,296,737			(19,020,518	)
Net increase (decrease) in net assets resulting from operations		(59,118,439	)		(383,247,308	)		15,486,965			(65,608,339	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			—			—			(679,036	)
Class N		—			—			—			(53,834	)
Class R6		—			—			—			(1,167,121	)
Total distributions		—			—			—			(1,899,991	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		69,836,015			527,868,704			20,619,056			162,258,558
Reinvestment of distributions		—			—			—			590,639
Cost of shares redeemed		(425,558,001	)		(1,505,699,183	)		(17,406,548	)		(126,629,068	)
Net increase (decrease) from capital transactions		(355,721,986	)		(977,830,479	)		3,212,508			36,220,129
CLASS N
Proceeds from shares sold		14,566,887			118,995,277			3,128,131			36,762,086
Reinvestment of distributions		—			—			—			53,834
Cost of shares redeemed		(362,650,122	)		(117,174,916	)		(7,303,033	)		(21,013,348	)
Net increase (decrease) from capital transactions		(348,083,235	)		1,820,361			(4,174,902	)		15,802,572
CLASS R6
Proceeds from shares sold		57,321,776			128,136,646			7,339,555			89,268,198
Reinvestment of distributions		—			—			—			875,880
Cost of shares redeemed		(158,423,401	)		(328,757,340	)		(43,050,644	)		(10,264,672	)
Net increase (decrease) from capital transactions		(101,101,625	)		(200,620,694	)		(35,711,089	)		79,879,406
Net increase (decrease) in net assets resulting from capital transactions		(804,906,846	)		(1,176,630,812	)		(36,673,483	)		131,902,107
Total increase (decrease) in net assets		(864,025,285	)		(1,559,878,120	)		(21,186,518	)		64,393,777
NET ASSETS:
Beginning of period		1,471,556,241			3,031,434,361			270,282,970			205,889,193
End of period		$607,530,956			$1,471,556,241			$249,096,452			$270,282,970

The accompanying notes are an integral part of these financial statements. (continued on p. 251)

AQR Funds Semi-Annual Report June 2019

250

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		99,406,698			219,604,853			17,068,772			12,725,339
Shares sold		9,045,297			62,383,598			3,438,810			24,119,599
Shares issued on reinvestment of distributions		—			—			—			103,803
Shares redeemed		(55,983,752	)		(182,581,753	)		(2,971,452	)		(19,879,969	)
Shares outstanding, end of period		52,468,243			99,406,698			17,536,130			17,068,772
CLASS N
Shares outstanding, beginning of period		47,853,329			48,119,919			3,130,810			1,109,579
Shares sold		1,894,034			13,941,914			531,822			5,502,638
Shares issued on reinvestment of distributions		—			—			—			9,596
Shares redeemed		(47,679,308	)		(14,208,504	)		(1,233,443	)		(3,491,003	)
Shares outstanding, end of period		2,068,055			47,853,329			2,429,189			3,130,810
CLASS R6
Shares outstanding, beginning of period		41,536,191			67,398,448			27,627,748			15,954,715
Shares sold		7,399,505			15,159,212			1,234,058			13,160,776
Shares issued on reinvestment of distributions		—			—			—			153,663
Shares redeemed		(20,692,586	)		(41,021,469	)		(7,282,362	)		(1,641,406	)
Shares outstanding, end of period		28,243,110			41,536,191			21,579,444			27,627,748

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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251

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$117,635			$337,356			$649,537			$752,156
Net realized gain (loss)		3,978,435			(2,376,244	)		7,016,516			(3,522,303	)
Net change in unrealized appreciation (depreciation)		1,819,026			(1,951,750	)		4,217,355			(2,176,001	)
Net increase (decrease) in net assets resulting from operations		5,915,096			(3,990,638	)		11,883,408			(4,946,148	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(1,723,903	)		—			(1,595,156	)
Class N		—			(307,214	)		—			(48,815	)
Class R6		—			(61,357	)		—			(18,019	)
Total distributions		—			(2,092,474	)		—			(1,661,990	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		3,507,455			6,786,842			33,504,637			10,645,365
Reinvestment of distributions		—			1,193,325			—			1,415,709
Cost of shares redeemed		(4,528,559	)		(21,362,946	)		(2,660,892	)		(19,758,283	)
Net increase (decrease) from capital transactions		(1,021,104	)		(13,382,779	)		30,843,745			(7,697,209	)
CLASS N
Proceeds from shares sold		49,155			4,158,546			148,289			595,649
Reinvestment of distributions		—			307,214			—			48,816
Cost of shares redeemed		(577,928	)		(17,727,816	)		(166,107	)		(993,794	)
Net increase (decrease) from capital transactions		(528,773	)		(13,262,056	)		(17,818	)		(349,329	)
CLASS R6
Proceeds from shares sold		2,790			133,573			—			66,000
Reinvestment of distributions		—			57,045			—			18,018
Cost of shares redeemed		(61,943	)		(35,963	)		(48,885	)		(4,602	)
Net increase (decrease) from capital transactions		(59,153	)		154,655			(48,885	)		79,416
Net increase (decrease) in net assets resulting from capital transactions		(1,609,030	)		(26,490,180	)		30,777,042			(7,967,122	)
Total increase (decrease) in net assets		4,306,066			(32,573,292	)		42,660,450			(14,575,260	)
NET ASSETS:
Beginning of period		25,352,714			57,926,006			66,887,309			81,462,569
End of period		$29,658,780			$25,352,714			$109,547,759			$66,887,309

The accompanying notes are an integral part of these financial statements. (continued on p. 253)

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252

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR RISK PARITY II HV FUND**						AQR RISK PARITY II MV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,796,989			4,358,862			7,567,807			8,422,139
Shares sold		448,246			789,267			3,630,700			1,184,037
Shares issued on reinvestment of distributions		—			162,578			—			166,947
Shares redeemed		(543,423	)		(2,513,718	)		(291,585	)		(2,205,316	)
Shares outstanding, end of period		2,701,812			2,796,989			10,906,922			7,567,807
CLASS N
Shares outstanding, beginning of period		563,726			2,086,431			264,351			302,522
Shares sold		6,104			487,124			16,406			65,208
Shares issued on reinvestment of distributions		—			41,855			—			5,790
Shares redeemed		(72,679	)		(2,051,684	)		(18,272	)		(109,169	)
Shares outstanding, end of period		497,151			563,726			262,485			264,351
CLASS R6
Shares outstanding, beginning of period		105,366			86,209			82,163			73,253
Shares sold		321			15,739			—			7,330
Shares issued on reinvestment of distributions		—			7,782			—			2,125
Shares redeemed		(6,941	)		(4,364	)		(5,658	)		(545	)
Shares outstanding, end of period		98,746			105,366			76,505			82,163

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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253

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$8,923,569			$5,803,338			$3,034,627			$4,514,019
Net realized gain (loss)		(33,900,509	)		(327,176,831	)		(1,109,267	)		(13,454,694	)
Net change in unrealized appreciation (depreciation)		(134,802,954	)		(307,305,309	)		(8,094,026	)		(15,031,045	)
Net increase (decrease) in net assets resulting from operations		(159,779,894	)		(628,678,802	)		(6,168,666	)		(23,971,720	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(18,380,634	)		—			(382,170	)
Class N		—			(440,477	)		—			—
Class R6		—			(15,833,509	)		—			(77,879	)
Total distributions		—			(34,654,620	)		—			(460,049	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		485,037,122			1,353,376,419			37,098,526			421,189,135
Reinvestment of distributions		—			15,448,117			—			323,831
Cost of shares redeemed		(669,505,893	)		(2,160,681,716	)		(188,742,011	)		(331,296,543	)
Net increase (decrease) from capital transactions		(184,468,771	)		(791,857,180	)		(151,643,485	)		90,216,423
CLASS N
Proceeds from shares sold		14,408,951			51,415,274			1,338,584			12,719,467
Reinvestment of distributions		—			433,236			—			—
Cost of shares redeemed		(24,894,274	)		(126,110,000	)		(13,312,056	)		(24,841,098	)
Net increase (decrease) from capital transactions		(10,485,323	)		(74,261,490	)		(11,973,472	)		(12,121,631	)
CLASS R6
Proceeds from shares sold		227,372,711			555,928,288			1,396,957			17,844,154
Reinvestment of distributions		—			13,877,968			—			77,879
Cost of shares redeemed		(338,763,199	)		(486,434,136	)		(5,252,900	)		(55,944,746	)
Net increase (decrease) from capital transactions		(111,390,488	)		83,372,120			(3,855,943	)		(38,022,713	)
Net increase (decrease) in net assets resulting from capital transactions		(306,344,582	)		(782,746,550	)		(167,472,900	)		40,072,079
Total increase (decrease) in net assets		(466,124,476	)		(1,446,079,972	)		(173,641,566	)		15,640,310
NET ASSETS:
Beginning of period		3,301,347,297			4,747,427,269			481,207,010			465,566,700
End of period		$2,835,222,821			$3,301,347,297			$307,565,444			$481,207,010

The accompanying notes are an integral part of these financial statements. (continued on p. 255)

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254

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE FUND**						AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		195,099,458			284,753,468			40,707,426			31,798,558
Shares sold		53,728,784			135,388,138			3,695,135			41,258,381
Shares issued on reinvestment of distributions		—			1,710,755			—			32,286
Shares redeemed		(74,862,634	)		(226,752,903	)		(18,844,092	)		(32,381,799	)
Shares outstanding, end of period		173,965,608			195,099,458			25,558,469			40,707,426
CLASS N
Shares outstanding, beginning of period		9,202,006			17,131,773			2,197,135			3,367,115
Shares sold		1,596,814			5,095,016			134,074			1,223,931
Shares issued on reinvestment of distributions		—			48,031			—			—
Shares redeemed		(2,797,044	)		(13,072,814	)		(1,335,511	)		(2,393,911	)
Shares outstanding, end of period		8,001,776			9,202,006			995,698			2,197,135
CLASS R6
Shares outstanding, beginning of period		161,609,679			155,015,501			5,182,314			8,884,892
Shares sold		25,463,370			55,361,426			138,605			1,705,485
Shares issued on reinvestment of distributions		—			1,535,173			—			7,749
Shares redeemed		(37,492,599	)		(50,302,421	)		(519,913	)		(5,415,812	)
Shares outstanding, end of period		149,580,450			161,609,679			4,801,006			5,182,314

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

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255

Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR VOLATILITY RISK PREMIUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE PERIOD 11/01/18*- 12/31/18
OPERATIONS:
Net investment income (loss)		$101,417			$21,407
Net realized gain (loss)		(223,050	)		(154,913	)
Net change in unrealized appreciation (depreciation)		929,645			(345,291	)
Net increase (decrease) in net assets resulting from operations		808,012			(478,797	)
DISTRIBUTIONS TO SHAREHOLDERS:
Class I		—			(2,866	)
Class N		—			(2,213	)
Class R6		—			(24,930	)
Total distributions		—			(30,009	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		420,351			1,112,219
Reinvestment of distributions		—			1,667
Net increase (decrease) from capital transactions		420,351			1,113,886
CLASS N
Proceeds from shares sold		1,128			1,000,000
Reinvestment of distributions		—			1,200
Cost of shares redeemed		(1,169	)		—
Net increase (decrease) from capital transactions		(41	)		1,001,200
CLASS R6
Proceeds from shares sold		—			9,145,000
Reinvestment of distributions		—			13,517
Net increase (decrease) from capital transactions		—			9,158,517
Net increase (decrease) in net assets resulting from capital transactions		420,310			11,273,603
Total increase (decrease) in net assets		1,228,322			10,764,797
NET ASSETS:
Beginning of period		10,764,797			—
End of period		$11,993,119			$10,764,797
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		111,628			—
Shares sold		41,738			111,453
Shares issued on reinvestment of distributions		—			175
Shares outstanding, end of period		153,366			111,628
CLASS N
Shares outstanding, beginning of period		100,126			—
Shares sold		114			100,001
Shares issued on reinvestment of distributions		—			125
Shares redeemed		(114	)		—
Shares outstanding, end of period		100,126			100,126
CLASS R6
Shares outstanding, beginning of period		916,760			—
Shares sold		—			915,343
Shares issued on reinvestment of distributions		—			1,417
Shares outstanding, end of period		916,760			916,760

* Commencement of operations.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

256

Statements of Cash Flows June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND			AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	1,083,616		$	23,614,702		$	(79,697,805	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(128,660,258	)		(526,879,868	)		(117,859,783	)
Payments to cover short positions in securities		(146,939,391	)		(204,773,132	)		(246,923,736	)
Proceeds from sale of securities		120,922,647			483,082,567			310,693,632
Proceeds from short positions in securities		126,950,427			240,185,837			83,803,992
Proceeds from option contracts written		7,976,891			—			—
Payments to close option contracts written		(6,001,791	)		—			—
(Purchases) sales of short-term investments, net		2,702,868			(3,170,597	)		549,024,970
Realized (gain) loss on investments in securities		14,266,047			(14,159,316	)		(19,040,410	)
Realized (gain) loss on short positions in securities		20,706,372			4,343,172			(15,231,818	)
Realized (gain) loss on option contracts written		(1,691,099	)		—			—
Realized (gain) loss on paydowns		—			(2,607	)		—
Change in unrealized (appreciation) depreciation on investments in securities		(43,564,595	)		(37,553,734	)		(15,727,695	)
Change in unrealized (appreciation) depreciation on short positions in securities		33,471,347			24,092,036			59,400,028
Change in unrealized (appreciation) depreciation on option contracts written		(687,716	)		—			—
Amortization (accretion) of bond premium (discount)		(1,067,771	)		(797,044	)		(4,153,790	)
(Increases) decreases in operating assets:
Due from brokers		4,288,868			4,352,426			1,137,029
Deposits with brokers for futures and futures-style options contracts		(4,029,612	)		434,922			(86	)
Unrealized appreciation on forward foreign currency exchange contracts		(2,409,784	)		38,118			(14,643	)
Unrealized appreciation on OTC swaps		114,603			(1,133,822	)		10,508,778
Deposits for securities sold short		3,448,308			(46,417,734	)		—
Deposits for written options		5,081,096			—			—
Deposits with brokers for centrally cleared swaps		—			256,555			—
Variation margin on futures and futures-style options contracts		(650,430	)		(27,546	)		—
Foreign tax reclaim		(110,494	)		6,480			(344,247	)
Dividends and interest		(128,882	)		(109,310	)		1,370,307
Prepaid expenses		21,721			(1,502	)		28,893
Increases (decreases) in operating liabilities
Due to broker		(2,914	)		782,387			—
Unrealized depreciation on forward foreign currency exchange contracts		(575,564	)		137,151			592,134
Unrealized depreciation on OTC swaps		(927,833	)		(5,804,553	)		36,031,341
Deposits from brokers for futures and futures-style options contracts		—			—			(2	)
Variation margin on centrally cleared swaps		—			(6,368	)		—
Variation margin on futures and futures-style options contracts		(805,574	)		(276,303	)		—
Accrued investment advisory fees		29,094			(14,712	)		(644,795	)
Accrued distribution fees—Class N		272			(2,700	)		(40,390	)
Accrued Trustees fees		—			—			487
Dividends and Interest payable on securities sold short and reverse repurchase agreements		37,434			87,522			(165,550	)
Other accrued expenses and liabilities		(79,598	)		(92,935	)		(262,258	)
Net cash provided by (used in) operating activities	$	2,768,305		$	(59,809,908	)	$	552,484,583
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		151,281,809			144,039,630			199,399,468
Payments on shares redeemed		(166,678,722	)		(81,304,174	)		(753,487,944	)
Due to custodian		—			(63,476	)		—
Net cash provided by (used in) financing activities	$	(15,396,913	)	$	62,671,980		$	(554,088,476	)
Net change in cash and cash denominated in foreign currencies		(12,628,608	)		2,862,072			(1,603,893	)
Cash, beginning of period		15,430,733			1,095,189			2,868,579
Cash, end of period**	$	2,802,125		$	3,957,261		$	1,264,686

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $908,551, $474,635 and $938,188.

The accompanying notes are an integral part of these financial statements.

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257

Statements of Cash Flows June 30, 2019 (Unaudited)

	AQR LONG-SHORT EQUITY FUND			AQR MULTI- ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)***			AQR MULTI- STRATEGY ALTERNATIVE FUND***
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(18,172,865	)	$	29,182,106		$	(59,118,439	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(517,848,799	)		(215,968,838	)		(392,261,256	)
Payments to cover short positions in securities		(656,544,969	)		(20,974,939	)		(257,377,828	)
Proceeds from sale of securities		1,191,356,735			196,506,372			564,776,521
Proceeds from short positions in securities		419,869,241			42,141,259			124,322,552
Proceeds from option contracts written		—			—			5,528,650
Payments to close option contracts written		—			—			(4,146,216	)
(Purchases) sales of short-term investments, net		160,710,521			48,316,793			733,165,205
Realized (gain) loss on investments in securities		(5,979,818	)		(101,257	)		(64,060,633	)
Realized (gain) loss on short positions in securities		(3,264,799	)		1,856,913			60,726,504
Realized (gain) loss on option contracts written		—			—			(1,448,707	)
Change in unrealized (appreciation) depreciation on investments in securities		(120,215,571	)		(6,993,046	)		(34,684,367	)
Change in unrealized (appreciation) depreciation on short positions in securities		146,911,175			75,377			26,426,760
Change in unrealized (appreciation) depreciation on option contracts written		—			—			(404,197	)
Amortization (accretion) of bond premium (discount)		(11,838,006	)		(706,392	)		(956,235	)
(Increases) decreases in operating assets:
Repurchase agreements		—			(2,362,450	)		—
Due from brokers		(26,882,007	)		1,243,060			31,306,504
Deposits with brokers for futures and futures-style options contracts		6,084,148			(248,383	)		32,454,517
Unrealized appreciation on forward foreign currency exchange contracts		3,083,064			42,596			1,723,512
Unrealized appreciation on OTC swaps		42,251,015			(155,473	)		24,909,128
Deposits for securities sold short		—			—			40,541,927
Deposits for written options		—			—			194,097
Deposits with brokers for centrally cleared swaps		—			8,886,258			2,392,474
Variation margin on centrally cleared swaps		—			366,530			—
Variation margin on futures and futures-style options contracts		1,606,292			422,111			305,012
Foreign tax reclaim		(1,559	)		(44,103	)		168,328
Dividends and interest		906,342			17,537			2,060,083
Prepaid expenses		52,894			19,784			17,773
Increases (decreases) in operating liabilities
Due to broker		(784,143	)		198,499			349,481
Unrealized depreciation on forward foreign currency exchange contracts		(4,548,501	)		379,339			(14,839,712	)
Unrealized depreciation on OTC swaps		(16,420,021	)		169,654			(5,810,101	)
Deposits from brokers for futures and futures-style options contracts		—			(14,195	)		(32,494	)
Variation margin on centrally cleared swaps		—			—			(187,985	)
Variation margin on futures and futures-style options contracts		—			145,866			(815,148	)
Accrued investment advisory fees		(895,626	)		(72,705	)		(1,531,781	)
Accrued distribution fees—Class N		(13,877	)		(296	)		(75,862	)
Accrued Trustees fees		—			—			1,517
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(218,181	)		36,785			63,826
Other accrued expenses and liabilities		(700,139	)		180,540			(307,350	)
Net cash provided by (used in) operating activities	$	588,502,546		$	82,545,302		$	813,376,060
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		481,554,754			15,384,972			143,491,918
Net change in reverse repurchase agreements		—			21,080,637			—
Payments on shares redeemed		(1,069,848,892	)		(118,283,101	)		(958,069,198	)
Due to custodian		—			—			(1,821,806	)
Net cash provided by (used in) financing activities	$	(588,294,138	)	$	(81,817,492	)	$	(816,399,086	)
Net change in cash and cash denominated in foreign currencies		208,408			727,810			(3,023,026	)
Cash, beginning of period		7,009,299			323,569			11,702,017
Cash, end of period**	$	7,217,707		$	1,051,379		$	8,678,991

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $1,989,499, $352,126 and $1,132,251.

*** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

258

Statements of Cash Flows June 30, 2019 (Unaudited)

	AQR RISK PARITY II HV FUND***			AQR STYLE PREMIA ALTERNATIVE FUND***			AQR STYLE PREMIA ALTERNATIVE LV FUND***
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	5,915,096		$	(159,779,894	)	$	(6,168,666	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(15,739,468	)		(785,142,462	)		(37,620,995	)
Payments to cover short positions in securities		—			(899,640,350	)		(42,329,311	)
Proceeds from sale of securities		12,437,861			1,112,932,959			51,315,524
Proceeds from short positions in securities		—			442,072,823			24,548,833
(Purchases) sales of short-term investments, net		(211,643	)		413,603,689			161,533,567
Realized (gain) loss on investments in securities		21,774			89,239,558			977,982
Realized (gain) loss on short positions in securities		—			38,598,994			168,451
Change in unrealized (appreciation) depreciation on investments in securities		(484,916	)		(272,813,131	)		(6,336,033	)
Change in unrealized (appreciation) depreciation on short positions in securities		—			259,833,232			10,001,072
Amortization (accretion) of bond premium (discount)		(150,064	)		(8,189,489	)		(1,215,424	)
(Increases) decreases in operating assets:
Due from brokers		44,107			57,056,856			3,295,736
Deposits with brokers for futures and futures-style options contracts		(677,010	)		38,584,111			5,820,283
Repurchase Agreements		5,939,568			—			—
Unrealized appreciation on forward foreign currency exchange contracts		(8,890	)		(6,809,014	)		(576,004	)
Unrealized appreciation on OTC swaps		78,634			126,769,900			4,676,976
Variation margin on futures and futures-style options contracts		21,553			(7,918,112	)		(67,917	)
Foreign tax reclaim		—			172,922			(48,297	)
Dividends and interest		(9,426	)		980,040			162,647
Due from Investment Adviser		2,661			—			—
Prepaid expenses		9,274			49,179			4,471
Increases (decreases) in operating liabilities
Due to broker		86,089			(125,369,198	)		(4,433,144	)
Unrealized depreciation on forward foreign currency exchange contracts		69,590			(19,028,482	)		(1,229,474	)
Unrealized depreciation on OTC swaps		(103,686	)		39,230,195			1,822,230
Deposits from brokers for futures and futures-style options contracts		—			(299,610	)		—
Variation margin on futures and futures-style options contracts		87,981			(15,480,221	)		(873,721	)
Accrued investment advisory fees		4,446			(864,334	)		(110,437	)
Accrued distribution fees—Class N		(20	)		(4,072	)		(2,445	)
Accrued Trustees fees		—			—			431
Dividends and Interest payable on securities sold short and reverse repurchase agreements		—			(1,142,254	)		(24,553	)
Interest payable for reverse repurchase agreements		(31,594	)		—			—
Other accrued expenses and liabilities		(46,428	)		(595,303	)		(120,949	)
Net cash provided by (used in) operating activities	$	7,255,489		$	316,048,532		$	163,170,833
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES
Proceeds from shares sold		3,556,791			735,536,966			42,497,155
Net change in reverse repurchase agreements		(5,391,774	)		—			—
Payments on shares redeemed		(5,369,737	)		(1,049,141,438	)		(213,276,732	)
Due to custodian		14,363			—			—
Net cash provided by (used in) financing activities	$	(7,190,357	)	$	(313,604,472	)	$	(170,779,577	)
Net change in cash and cash denominated in foreign currencies		65,132			2,444,060			(7,608,744	)
Cash, beginning of period		24,578			37,982,364			9,586,283
Cash, end of period**	$	89,710		$	40,426,424		$	1,977,539

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $85,537, $3,008,866 and $202,309.

*** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

259

Statements of Cash Flows June 30, 2019 (Unaudited)

** The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statements of Cash Flows:

FUND	CASH		CASH DENOMINATED IN FOREIGN CURRENCIES		TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES
AQR Alternative Risk Premia Fund	$	946,408	$	1,855,717	$	2,802,125
AQR Diversified Arbitrage Fund		3,454,979		502,282		3,957,261
AQR Equity Market Neutral Fund		14,776		1,249,910		1,264,686
AQR Long-Short Equity Fund		972,626		6,245,081		7,217,707
AQR Multi-Asset Fund		16,624		1,034,755		1,051,379
AQR Multi-Strategy Alternative Fund		6,111,124		2,567,867		8,678,991
AQR Risk Parity II HV Fund		—		89,710		89,710
AQR Style Premia Alternative Fund		16,887,841		23,538,583		40,426,424
AQR Style Premia Alternative LV Fund		28,616		1,948,923		1,977,539

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

260

[Intentionally Left Blank]

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR ALTERNATIVE RISK PREMIA FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$9.25		0.05			(0.01	)		0.04			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.01		(0.00	)6		(0.75	)		(0.75	)		(0.01	)		—		—		(0.01	)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01	)		0.02	9		0.01			—			—		—		—
AQR ALTERNATIVE RISK PREMIA FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$9.23		0.03			(0.00	)		0.03			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.01		(0.03	)		(0.74	)		(0.77	)		(0.01	)		—		—		(0.01	)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01	)		0.02	9		0.01			—			—		—		—
AQR ALTERNATIVE RISK PREMIA FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$9.27		0.05			(0.01	)		0.04			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.02		0.01			(0.75	)		(0.74	)		(0.01	)		—		—		(0.01	)
FOR THE PERIOD 9/19/178—12/31/17		$10.00		(0.01	)		0.03	9		0.02			—			—		—		—
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$8.75		0.05			0.44			0.49			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.12		0.06			0.14			0.20			(0.57	)		—		—		(0.57	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		0.02			0.52			0.54			(0.65	)		—		—		(0.65	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.07			0.61			0.68			(0.66	)		—		—		(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		0.07			(0.55	)		(0.48	)		(0.45	)		—		—		(0.45	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80	)		(0.57	)		(0.20	)		—		—		(0.20	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$8.76		0.04			0.44			0.48			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.12		0.04			0.14			0.18			(0.54	)		—		—		(0.54	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		0.00	6		0.51			0.51			(0.62	)		—		—		(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.21		0.05			0.60			0.65			(0.63	)		—		—		(0.63	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.10		0.03			(0.51	)		(0.48	)		(0.41	)		—		—		(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81	)		(0.60	)		(0.17	)		—		—		(0.17	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$8.73		0.05			0.44			0.49			—			—		—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.10		0.08			0.13			0.21			(0.58	)		—		—		(0.58	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.21		0.03			0.52			0.55			(0.66	)		—		—		(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.20		0.12			0.56			0.68			(0.67	)		—		—		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.13		0.09			(0.55	)		(0.46	)		(0.47	)		—		—		(0.47	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.00		0.16			(0.82	)		(0.66	)		(0.21	)		—		—		(0.21	)

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

262

Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.29		0.43	%		$244,398		3.69	%		3.65	%		1.40	%		1.01	%		69	%
	$9.25		(7.51	)%		$260,990		3.40	%7		3.32	%		1.40	%		(0.00	)%		253	%
	$10.01		0.10	%		$26,852		3.06	%7		2.65	%		1.40	%		(0.25	)%		293	%
	$9.26		0.33	%		$11,674		3.94	%		3.90	%		1.65	%		0.74	%		69	%
	$9.23		(7.72	)%		$11,467		3.64	%7		3.55	%		1.63	%		(0.27	)%		253	%
	$10.01		0.10	%		$1,538		3.70	%7		2.90	%		1.65	%		(0.44	)%		293	%
	$9.31		0.43	%		$99,737		3.59	%		3.55	%		1.30	%		1.07	%		69	%
	$9.27		(7.41	)%		$98,967		3.31	%7		3.23	%		1.30	%		0.06	%		253	%
	$10.02		0.20	%		$49,818		3.14	%7		2.55	%		1.30	%		(0.22	)%		293	%
	$9.24		5.60	%		$409,042		1.96	%		1.88	%		1.20	%		1.12	%		188	%
	$8.75		2.19	%		$319,152		1.96	%		1.92	%		1.20	%		0.66	%		390	%
	$9.12		5.92	%		$386,972		2.08	%		2.02	%		1.19	%		0.25	%		205	%
	$9.23		7.51	%		$359,989		2.36	%		2.27	%		1.20	%		0.78	%		277	%
	$9.21		(4.67	)%		$772,394		2.44	%		2.42	%		1.19	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.88	%		1.20	%		2.07	%		380	%
	$9.24		5.48	%		$60,627		2.20	%		2.12	%		1.44	%		0.89	%		188	%
	$8.76		2.01	%		$66,251		2.21	%		2.17	%		1.45	%		0.44	%		390	%
	$9.12		5.58	%		$76,774		2.34	%		2.28	%		1.44	%		0.01	%		205	%
	$9.23		7.15	%		$100,869		2.61	%		2.52	%		1.44	%		0.53	%		277	%
	$9.21		(4.75	)%		$183,029		2.69	%		2.67	%		1.45	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		2.12	%		1.44	%		1.99	%		380	%
	$9.22		5.61	%		$14,989		1.86	%		1.78	%		1.10	%		1.23	%		188	%
	$8.73		2.41	%		$13,654		1.87	%		1.82	%		1.10	%		0.79	%		390	%
	$9.10		6.02	%		$8,416		1.98	%		1.93	%		1.10	%		0.36	%		205	%
	$9.21		7.52	%		$5,159		2.27	%		2.18	%		1.10	%		1.26	%		277	%
	$9.20		(4.55	)%		$866		2.36	%		2.33	%		1.10	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.94	%		1.10	%		4.69	%		380	%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

263

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR EQUITY MARKET NEUTRAL FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$10.76		0.08			(0.99	)		(0.91	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.25		0.04			(1.48	)		(1.44	)		(0.05	)		—			—			(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.97		(0.08	)		0.79			0.71			(0.43	)		—			—			(0.43	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.48		(0.13	)		0.80			0.67			(0.18	)		(0.00	)6		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15	)		1.91			1.76			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/148—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)6		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$10.70		0.05			(0.97	)		(0.92	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.21		0.00	6		(1.46	)		(1.46	)		(0.05	)		—			—			(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.95		(0.11	)		0.78			0.67			(0.41	)		—			—			(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.47		(0.15	)		0.77			0.62			(0.14	)		(0.00	)6		—			(0.14	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19	)		1.94			1.75			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/148—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)6		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$10.77		0.06			(0.97	)		(0.91	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$12.25		0.05			(1.48	)		(1.43	)		(0.05	)		—			—			(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$11.97		(0.08	)		0.79			0.71			(0.43	)		—			—			(0.43	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$11.49		(0.14	)		0.81			0.67			(0.19	)		(0.00	)6		—			(0.19	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13	)		1.90			1.77			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/148—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)6		(0.59	)
AQR GLOBAL MACRO FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$9.08		0.04			0.26			0.30			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.75		0.03			0.65			0.68			(0.15	)		(0.20	)		—			(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.06		(0.06	)		(0.25	)		(0.31	)		(0.00	)6		—			—			(0.00	)6
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.11	)		0.12	9		0.01			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15	)		0.32			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/148—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$8.97		0.02			0.27			0.29			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.66		(0.00	)6		0.66			0.66			(0.15	)		(0.20	)		—			(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.99		(0.08	)		(0.25	)		(0.33	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.55		(0.13	)		0.12	9		(0.01	)		—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16	)		0.30			0.14			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/148—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$9.08		0.04			0.27			0.31			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.75		0.04			0.65			0.69			(0.16	)		(0.20	)		—			(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.07		(0.03	)		(0.28	)		(0.31	)		(0.01	)		—			—			(0.01	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.60		(0.10	)		0.12	9		0.02			—			(0.55	)		—			(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.14	)		0.31			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 9/02/1410—12/31/14		$9.72		(0.04	)		0.28			0.24			—			(0.02	)		—			(0.02	)

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

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Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.85		(8.46	)%		$406,178		2.34	%		2.33	%		1.27	%		1.62	%		118	%
	$10.76		(11.73	)%		$708,592		1.99	%		1.99	%		1.24	%		0.32	%		175	%
	$12.25		5.84	%		$1,552,269		2.07	%		2.07	%		1.27	%		(0.66	)%		237	%
	$11.97		5.85	%		$790,179		2.13	%		2.13	%		1.28	%		(1.15	)%		227	%
	$11.48		17.60	%		$179,312		2.17	%7		1.90	%		1.25	%		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		4.57	%7		1.63	%		1.30	%		(1.04	)%		152	%
	$9.78		(8.60	)%		$20,480		2.62	%		2.61	%		1.55	%		1.06	%		118	%
	$10.70		(11.94	)%		$209,290		2.27	%		2.27	%		1.53	%		0.02	%		175	%
	$12.21		5.56	%		$357,839		2.35	%		2.35	%		1.55	%		(0.92	)%		237	%
	$11.95		5.43	%		$154,189		2.40	%		2.40	%		1.55	%		(1.27	)%		227	%
	$11.47		17.43	%		$89,755		2.41	%7		2.16	%		1.51	%		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		4.83	%7		1.88	%		1.55	%		(1.29	)%		152	%
	$9.86		(8.45	)%		$61,109		2.27	%		2.26	%		1.20	%		1.11	%		118	%
	$10.77		(11.65	)%		$206,044		1.93	%		1.93	%		1.18	%		0.44	%		175	%
	$12.25		5.91	%		$326,927		2.00	%		2.00	%		1.20	%		(0.61	)%		237	%
	$11.97		5.82	%		$177,683		2.05	%		2.05	%		1.20	%		(1.22	)%		227	%
	$11.49		17.72	%		$148		3.05	%7		1.85	%		1.20	%		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		4.49	%7		1.53	%		1.20	%		(0.95	)%		152	%
	$9.38		3.30	%		$15,162		2.07	%		1.46	%		1.46	%		0.77	%		0	%
	$9.08		7.80	%		$20,230		1.93	%		1.42	%		1.42	%		0.29	%		0	%
	$8.75		(3.38	)%		$9,199		2.30	%		1.40	%		1.40	%		(0.65	)%		0	%
	$9.06		0.02	%		$18,972		1.98	%		1.41	%		1.41	%		(1.12	)%		0	%
	$9.60		1.71	%		$31,453		1.78	%7		1.38	%		1.38	%		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		2.24	%7		1.45	%		1.45	%		(1.44	)%		0	%
	$9.26		3.23	%		$1,303		2.16	%		1.70	%		1.70	%		0.41	%		0	%
	$8.97		7.57	%		$17,074		2.11	%		1.68	%		1.68	%		(0.04	)%		0	%
	$8.66		(3.67	)%		$2,892		2.63	%		1.70	%		1.70	%		(0.89	)%		0	%
	$8.99		(0.19	)%		$3,217		2.17	%		1.65	%		1.65	%		(1.35	)%		0	%
	$9.55		1.41	%		$20,838		1.88	%7		1.70	%		1.70	%		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		2.49	%7		1.70	%		1.70	%		(1.69	)%		0	%
	$9.39		3.41	%		$11,647		2.00	%		1.36	%		1.36	%		0.88	%		0	%
	$9.08		7.84	%		$12,073		1.91	%		1.35	%		1.35	%		0.41	%		0	%
	$8.75		(3.41	)%		$13,970		2.32	%		1.35	%		1.35	%		(0.34	)%		0	%
	$9.07		0.14	%		$4,374		1.95	%		1.35	%		1.35	%		(1.09	)%		0	%
	$9.60		1.71	%		$104		1.72	%7		1.35	%		1.35	%		(1.41	)%		0	%
	$9.94		2.45	%		$102		2.02	%7		1.35	%		1.35	%		(1.37	)%		0	%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

265

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital			Total Distributions
AQR LONG-SHORT EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$10.94		0.06			(0.21	)		(0.15	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.88		0.04			(2.32	)		(2.28	)		(0.04	)		(0.62	)		—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.07		(0.08	)		2.15			2.07			(0.56	)		(0.70	)		—			(1.26	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.12		(0.14	)		1.48			1.34			(0.24	)		(0.15	)		—			(0.39	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.00			1.85			(0.58	)		(0.02	)		—			(0.60	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.14	)		1.67			1.53			(0.74	)		(0.10	)		(0.03	)		(0.87	)
AQR LONG-SHORT EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$10.84		0.03			(0.19	)		(0.16	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.80		(0.01	)		(2.29	)		(2.30	)		(0.04	)		(0.62	)		—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.00		(0.11	)		2.13			2.02			(0.52	)		(0.70	)		—			(1.22	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.07		(0.17	)		1.47			1.30			(0.22	)		(0.15	)		—			(0.37	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.84		(0.19	)		2.01			1.82			(0.57	)		(0.02	)		—			(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20	)		1.70			1.50			(0.74	)		(0.10	)		(0.03	)		(0.87	)
AQR LONG-SHORT EQUITY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$10.97		0.05			(0.19	)		(0.14	)		—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$13.91		0.04			(2.32	)		(2.28	)		(0.04	)		(0.62	)		—			(0.66	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$13.08		(0.07	)		2.17			2.10			(0.57	)		(0.70	)		—			(1.27	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$12.13		(0.14	)		1.49			1.35			(0.25	)		(0.15	)		—			(0.40	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.02			1.87			(0.59	)		(0.02	)		—			(0.61	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.05		(0.08	)		0.78			0.70			(0.75	)		(0.10	)		(0.03	)		(0.88	)
AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND) CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$8.51		0.07			1.12			1.19			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.82		0.09			(0.78	)		(0.69	)		(0.28	)		(0.34	)		—			(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.34		0.02			1.49			1.51			(0.19	)		(0.84	)		—			(1.03	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.09		(0.02	)		0.94			0.92			(0.24	)		(0.43	)		—			(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.07	)		(0.75	)		(0.82	)		—			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04	)		0.81			0.77			(0.30	)		(1.10	)		—			(1.40	)
AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND) CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$8.49		0.07			1.10			1.17			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.80		0.06			(0.77	)		(0.71	)		(0.26	)		(0.34	)		—			(0.60	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.01	)		1.50			1.49			(0.17	)		(0.84	)		—			(1.01	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.08		(0.04	)		0.92			0.88			(0.21	)		(0.43	)		—			(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.10	)		(0.73	)		(0.83	)		—			(0.23	)		—			(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07	)		0.80			0.73			(0.25	)		(1.10	)		—			(1.35	)
AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND) CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$8.51		0.00	6		1.19			1.19			—			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.83		0.09			(0.78	)		(0.69	)		(0.29	)		(0.34	)		—			(0.63	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.34		0.02			1.51			1.53			(0.20	)		(0.84	)		—			(1.04	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.10		(0.04	)		0.95			0.91			(0.24	)		(0.43	)		—			(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.04	)		(0.77	)		(0.81	)		—			(0.23	)		—			(0.23	)
FOR THE PERIOD 9/02/1410—12/31/14		$12.01		(0.04	)		(0.43	)9		(0.47	)		(0.30	)		(1.10	)		—			(1.40	)

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

266

Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
								Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)			Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.79		(1.37	)%		$1,274,643			2.02	%		2.02	%		1.27	%		1.17	%		122	%
	$10.94		(16.40	)%		$1,697,554			1.73	%		1.73	%		1.24	%		0.28	%		462	%
	$13.88		15.73	%		$4,144,436			2.01	%		2.01	%		1.27	%		(0.60	)%		249	%
	$13.07		11.09	%		$1,799,994			1.99	%		1.99	%		1.28	%		(1.12	)%		247	%
	$12.12		17.04	%		$452,667			1.86	%		1.81	%		1.27	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667			2.34	%		1.30	%		1.30	%		(1.26	)%		0	%
	$10.68		(1.48	)%		$61,226			2.28	%		2.28	%		1.53	%		0.62	%		122	%
	$10.84		(16.64	)%		$117,289			2.01	%		2.01	%		1.51	%		(0.04	)%		462	%
	$13.80		15.47	%		$385,302			2.27	%		2.27	%		1.53	%		(0.80	)%		249	%
	$13.00		10.80	%		$287,362			2.25	%		2.25	%		1.54	%		(1.39	)%		247	%
	$12.07		16.79	%		$90,141			2.12	%		2.07	%		1.53	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688			2.46	%		1.55	%		1.55	%		(1.81	)%		0	%
	$10.83		(1.28	)%		$104,678			1.95	%		1.95	%		1.20	%		0.96	%		122	%
	$10.97		(16.36	)%		$206,247			1.66	%		1.66	%		1.16	%		0.32	%		462	%
	$13.91		15.95	%		$965,972			1.92	%		1.92	%		1.17	%		(0.46	)%		249	%
	$13.08		11.13	%		$452,452			1.90	%		1.90	%		1.19	%		(1.07	)%		247	%
	$12.13		17.16	%		$16,200			1.77	%		1.74	%		1.20	%		(1.21	)%		303	%
	$10.87		6.19	%		$427			1.99	%		1.20	%		1.20	%		(2.21	)%		0	%
	$9.70		13.98	%		$165,344			1.59	%		1.48	%		0.93	%		1.57	%		164	%
	$8.51		(6.96	)%		$217,406			0.93	%		0.92	%		0.92	%		0.96	%		21	%
	$9.82		16.36	%		$415,799			0.94	%		0.93	%		0.93	%		0.19	%		48	%
	$9.34		10.10	%		$349,335			0.94	%		0.92	%		0.92	%		(0.22	)%		72	%
	$9.09		(8.10	)%		$492,977			0.94	%		0.93	%		0.93	%		(0.71	)%		157	%
	$10.14		7.04	%		$583,927			0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
	$9.66		13.78	%		$12,873	��		1.86	%		1.75	%		1.20	%		1.56	%		164	%
	$8.49		(7.23	)%		$12,303			1.20	%		1.18	%		1.18	%		0.68	%		21	%
	$9.80		16.13	%		$16,673			1.21	%		1.20	%		1.20	%		(0.06	)%		48	%
	$9.32		9.66	%		$17,027			1.21	%		1.19	%		1.19	%		(0.46	)%		72	%
	$9.08		(8.20	)%		$22,005			1.19	%		1.18	%		1.18	%		(0.96	)%		157	%
	$10.14		6.69	%		$36,232			1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
	$9.70		13.98	%		$3,718			1.49	%		1.40	%		0.85	%		0.05	%		164	%
	$8.51		(6.94	)%		$24,925			0.86	%		0.85	%		0.85	%		0.98	%		21	%
	$9.83		16.56	%		$40,256			0.87	%		0.85	%		0.85	%		0.24	%		48	%
	$9.34		10.06	%		$33,987			0.88	%		0.85	%		0.85	%		(0.42	)%		72	%
	$9.10		(8.00	)%		$2,796			0.86	%		0.85	%		0.85	%		(0.37	)%		157	%
	$10.14		(3.96	)%		$96			0.86	%		0.85	%		0.85	%		(0.99	)%		94	%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

267

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital		Total Distributions
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$7.81		0.02			(0.49	)		(0.47	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.05		(0.04	)		(1.20	)		(1.24	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.50		(0.07	)		0.37			0.30			(0.60	)		(0.15	)		—		(0.75	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.11	)		0.09			(0.02	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.76		(0.15	)		1.05			0.90			(0.74	)		(0.16	)		—		(0.90	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14	)		0.85			0.71			(0.73	)		—			—		(0.73	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$7.74		(0.01	)		(0.46	)		(0.47	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.00		(0.06	)		(1.20	)		(1.26	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.45		(0.09	)		0.37			0.28			(0.58	)		(0.15	)		—		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.74		(0.13	)		0.08			(0.05	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.74		(0.17	)		1.05			0.88			(0.72	)		(0.16	)		—		(0.88	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17	)		0.85			0.68			(0.70	)		—			—		(0.70	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$7.82		0.03			(0.50	)		(0.47	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.06		(0.03	)		(1.21	)		(1.24	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.51		(0.06	)		0.37			0.31			(0.61	)		(0.15	)		—		(0.76	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$9.76		(0.09	)		0.08			(0.01	)		(0.08	)		(0.16	)		—		(0.24	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.75		(0.13	)		1.05			0.92			(0.75	)		(0.16	)		—		(0.91	)
FOR THE PERIOD 9/02/1410—12/31/14		$9.88		(0.11	)		0.71			0.60			(0.73	)		—			—		(0.73	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$5.65		0.04			0.30			0.34			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.90		0.05			(1.26	)		(1.21	)		(0.04	)		—			—		(0.04	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.25		(0.02	)		0.67			0.65			(0.00	)6		—			—		(0.00	)6
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.62		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.98		(0.05	)		(1.31	)		(1.36	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.29		(0.08	)		(1.23	)		(1.31	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$5.58		0.03			0.30			0.33			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.81		0.03			(1.24	)		(1.21	)		(0.02	)		—			—		(0.02	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.18		(0.03	)		0.66			0.63			(0.00	)6		—			—		(0.00	)6
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.57		(0.06	)		0.96			0.90			(0.29	)		—			—		(0.29	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.94		(0.08	)		(1.29	)		(1.37	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11	)		(1.22	)		(1.33	)		—			—			—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$5.66		0.04			0.31			0.35			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$6.92		0.05			(1.27	)		(1.22	)		(0.04	)		—			—		(0.04	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$6.26		(0.01	)		0.67			0.66			(0.00	)6		—			—		(0.00	)6
FOR THE YEAR ENDED DECEMBER 31, 2016		$5.63		(0.04	)		0.97			0.93			(0.30	)		—			—		(0.30	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.99		(0.05	)		(1.31	)		(1.36	)		—			—			—		—
FOR THE PERIOD 9/02/1410—12/31/14		$8.60		(0.02	)		(1.59	)		(1.61	)		—			—			—		—

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

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Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$7.34		(6.02	)%		$384,874		2.55	%		2.52	%		1.96	%		0.55	%		78	%
	$7.81		(13.70	)%		$776,088		2.37	%		2.37	%		1.95	%		(0.45	)%		136	%
	$9.05		3.10	%		$1,987,557		2.30	%		2.30	%		1.97	%		(0.75	)%		110	%
	$9.50		(0.20	)%		$2,405,511		2.47	%		2.47	%		1.97	%		(1.10	)%		261	%
	$9.76		9.25	%		$2,284,285		2.41	%		2.41	%		1.97	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.67	%		3.65	%		1.98	%		(1.46	)%		204	%
	$7.27		(6.07	)%		$15,027		2.79	%		2.78	%		2.23	%		(0.34	)%		78	%
	$7.74		(14.00	)%		$370,597		2.64	%		2.64	%		2.22	%		(0.74	)%		136	%
	$9.00		2.84	%		$433,225		2.56	%		2.56	%		2.23	%		(0.96	)%		110	%
	$9.45		(0.51	)%		$469,478		2.73	%		2.73	%		2.23	%		(1.31	)%		261	%
	$9.74		9.02	%		$103,504		2.68	%		2.67	%		2.23	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.96	%		3.91	%		2.23	%		(1.75	)%		204	%
	$7.35		(6.01	)%		$207,630		2.46	%		2.43	%		1.87	%		0.71	%		78	%
	$7.82		(13.69	)%		$324,871		2.29	%		2.29	%		1.87	%		(0.37	)%		136	%
	$9.06		3.19	%		$610,652		2.20	%		2.20	%		1.87	%		(0.61	)%		110	%
	$9.51		(0.10	)%		$622,862		2.38	%		2.38	%		1.88	%		(0.94	)%		261	%
	$9.76		9.44	%		$100,959		2.33	%		2.32	%		1.88	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.21	%		3.14	%		1.88	%		(3.41	)%		204	%
	$5.99		6.02	%		$105,063		1.07	%		0.99	%		0.99	%		1.22	%		0	%
	$5.65		(17.58	)%		$96,393		0.99	%		0.97	%		0.97	%		0.71	%		0	%
	$6.90		10.41	%		$87,863		1.05	%		0.99	%		0.99	%		(0.27	)%		0	%
	$6.25		16.58	%		$93,849		1.04	%		0.96	%		0.96	%		(0.65	)%		0	%
	$5.62		(19.48	)%		$71,321		1.14	%		0.94	%		0.94	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.34	%		1.01	%		1.01	%		(1.00	)%		0	%
	$5.91		5.91	%		$14,355		1.32	%		1.24	%		1.24	%		0.97	%		0	%
	$5.58		(17.82	)%		$17,457		1.27	%		1.25	%		1.25	%		0.45	%		0	%
	$6.81		10.20	%		$7,559		1.31	%		1.25	%		1.25	%		(0.50	)%		0	%
	$6.18		16.16	%		$7,214		1.33	%		1.25	%		1.25	%		(0.97	)%		0	%
	$5.57		(19.74	)%		$2,083		1.48	%		1.25	%		1.25	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.59	%		1.26	%		1.26	%		(1.25	)%		0	%
	$6.01		6.18	%		$129,678		0.98	%		0.90	%		0.90	%		1.31	%		0	%
	$5.66		(17.60	)%		$156,433		0.93	%		0.90	%		0.90	%		0.80	%		0	%
	$6.92		10.55	%		$110,467		0.96	%		0.90	%		0.90	%		(0.16	)%		0	%
	$6.26		16.61	%		$102,156		0.98	%		0.90	%		0.90	%		(0.63	)%		0	%
	$5.63		(19.46	)%		$29,122		1.11	%		0.90	%		0.90	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		1.31	%		0.90	%		0.90	%		(0.89	)%		0	%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

269

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital		Total Distributions
AQR RISK PARITY II HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$7.31		0.03			1.65			1.68			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.88		0.07			(1.02	)		(0.95	)		(0.34	)		(0.28	)		—		(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.42		(0.02	)		1.59			1.57			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.79		(0.02	)		1.01			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.08	)		(1.19	)		(1.27	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.87		(0.03	)		0.95			0.92			(0.06	)		(1.18	)		—		(1.24	)
AQR RISK PARITY II HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$7.32		0.03			1.64			1.67			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.85		0.04			(1.00	)		(0.96	)		(0.29	)		(0.28	)		—		(0.57	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.43		0.21			1.32			1.53			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.80		(0.04	)		1.00			0.96			(0.09	)		(0.24	)		—		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.56		(0.10	)		(1.20	)		(1.30	)		—			(0.46	)		—		(0.46	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04	)		0.93			0.89			(0.01	)		(1.18	)		—		(1.19	)
AQR RISK PARITY II HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$7.31		0.04			1.64			1.68			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$8.88		0.08			(1.02	)		(0.94	)		(0.35	)		(0.28	)		—		(0.63	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.41		(0.13	)		1.71			1.58			(0.04	)		(1.07	)		—		(1.11	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$7.78		(0.00	)6		0.99			0.99			(0.12	)		(0.24	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.03	)		(1.25	)		(1.28	)		(0.03	)		(0.46	)		—		(0.49	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.37		(0.05	)		(0.53	)9		(0.58	)		(0.06	)		(1.18	)		—		(1.24	)
AQR RISK PARITY II MV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$8.45		0.07			1.22			1.29			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.26		0.09			(0.69	)		(0.60	)		(0.10	)		(0.11	)		—		(0.21	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.98		0.02			1.08			1.10			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.02	)		0.84			0.82			(0.09	)		(0.26	)		—		(0.35	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.90		(0.08	)		(0.79	)		(0.87	)		(0.02	)		(0.50	)		—		(0.52	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04	)		0.65			0.61			(0.02	)		(0.71	)		—		(0.73	)
AQR RISK PARITY II MV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$8.40		0.04			1.23			1.27			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.20		0.07			(0.68	)		(0.61	)		(0.08	)		(0.11	)		—		(0.19	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.95		(0.05	)		1.12			1.07			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.49		(0.04	)		0.82			0.78			(0.06	)		(0.26	)		—		(0.32	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.10	)		(0.78	)		(0.88	)		—			(0.50	)		—		(0.50	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06	)		0.65			0.59			—			(0.71	)		—		(0.71	)
AQR RISK PARITY II MV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$8.45		0.06			1.24			1.30			—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.26		0.10			(0.69	)		(0.59	)		(0.11	)		(0.11	)		—		(0.22	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$8.97		0.04			1.07			1.11			(0.02	)		(0.80	)		—		(0.82	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$8.51		(0.01	)		0.83			0.82			(0.10	)		(0.26	)		—		(0.36	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.89		(0.07	)		(0.78	)		(0.85	)		(0.03	)		(0.50	)		—		(0.53	)
FOR THE PERIOD 9/02/1410—12/31/14		$11.00		(0.04	)		(0.33	)9		(0.37	)		(0.03	)		(0.71	)		—		(0.74	)

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

270

Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$8.99		22.98	%		$24,303		2.49	%		1.72	%		1.11	%		0.86	%		73	%
	$7.31		(10.76	)%		$20,457		2.06	%		1.63	%		1.10	%		0.85	%		19	%
	$8.88		19.03	%		$38,689		1.66	%		1.34	%		1.11	%		(0.21	)%		45	%
	$8.42		12.77	%		$46,127		1.61	%		1.23	%		1.11	%		(0.26	)%		68	%
	$7.79		(13.33	)%		$40,890		1.43	%		1.13	%		1.08	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.54	%		1.20	%		1.15	%		(0.28	)%		108	%
	$8.99		22.81	%		$4,468		2.78	%		2.01	%		1.40	%		0.62	%		73	%
	$7.32		(10.92	)%		$4,126		2.32	%		1.92	%		1.40	%		0.47	%		19	%
	$8.85		18.52	%		$18,472		1.92	%		1.63	%		1.39	%		2.36	%		45	%
	$8.43		12.47	%		$6,583		1.89	%		1.52	%		1.39	%		(0.51	)%		68	%
	$7.80		(13.64	)%		$5,493		1.77	%		1.45	%		1.40	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.86	%		1.45	%		1.40	%		(0.37	)%		108	%
	$8.99		22.98	%		$888		2.42	%		1.65	%		1.05	%		1.03	%		73	%
	$7.31		(10.68	)%		$770		2.04	%		1.58	%		1.05	%		0.94	%		19	%
	$8.88		19.17	%		$765		1.62	%		1.28	%		1.05	%		(1.47	)%		45	%
	$8.41		12.85	%		$2,836		1.55	%		1.17	%		1.05	%		(0.06	)%		68	%
	$7.78		(13.42	)%		$2,413		1.43	%		1.11	%		1.05	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.47	%		1.10	%		1.05	%		(1.49	)%		108	%
	$9.74		15.27	%		$106,264		1.15	%		0.95	%		0.95	%		1.50	%		85	%
	$8.45		(6.44	)%		$63,972		1.15	%		0.94	%		0.94	%		1.01	%		20	%
	$9.26		12.36	%		$78,000		1.15	%		0.93	%		0.93	%		0.26	%		39	%
	$8.98		9.66	%		$78,873		1.15	%		0.94	%		0.94	%		(0.24	)%		58	%
	$8.51		(8.77	)%		$85,918		1.10	%		0.93	%		0.93	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		1.12	%		0.95	%		0.95	%		(0.34	)%		128	%
	$9.67		15.12	%		$2,538		1.41	%		1.20	%		1.20	%		0.98	%		85	%
	$8.40		(6.66	)%		$2,221		1.41	%		1.20	%		1.20	%		0.78	%		20	%
	$9.20		12.07	%		$2,784		1.43	%		1.20	%		1.20	%		(0.55	)%		39	%
	$8.95		9.25	%		$5,659		1.41	%		1.20	%		1.20	%		(0.41	)%		58	%
	$8.49		(8.94	)%		$4,242		1.38	%		1.20	%		1.20	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.44	%		1.20	%		1.20	%		(0.54	)%		128	%
	$9.75		15.38	%		$746		1.06	%		0.85	%		0.85	%		1.31	%		85	%
	$8.45		(6.34	)%		$694		1.06	%		0.85	%		0.85	%		1.10	%		20	%
	$9.26		12.49	%		$679		1.07	%		0.85	%		0.85	%		0.42	%		39	%
	$8.97		9.64	%		$608		1.07	%		0.85	%		0.85	%		(0.06	)%		58	%
	$8.51		(8.59	)%		$99		1.03	%		0.85	%		0.85	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		1.03	%		0.85	%		0.85	%		(1.13	)%		128	%

The accompanying notes are an integral part of these financial statements.

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Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Return of Capital		Total Distributions
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$9.02		0.02			(0.50	)		(0.48	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.38		0.01			(1.28	)		(1.27	)		(0.09	)		—			—		(0.09	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.92		(0.07	)		1.27			1.20			(0.74	)		—			—		(0.74	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.12	)		0.07			(0.05	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.86		(0.14	)		1.01			0.87			(0.56	)		(0.03	)		—		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10	)		1.24			1.14			(1.16	)		(0.30	)		—		(1.46	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$9.00		0.01			(0.49	)		(0.48	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.35		(0.02	)		(1.28	)		(1.30	)		(0.05	)		—			—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.89		(0.13	)		1.30			1.17			(0.71	)		—			—		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.14		(0.15	)		0.07			(0.08	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.17	)		1.02			0.85			(0.55	)		(0.03	)		—		(0.58	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16	)		1.28			1.12			(1.13	)		(0.30	)		—		(1.43	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$9.03		0.03			(0.50	)		(0.47	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.41		0.02			(1.30	)		(1.28	)		(0.10	)		—			—		(0.10	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.94		(0.07	)		1.28			1.21			(0.74	)		—			—		(0.74	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.15		(0.11	)		0.07			(0.04	)		(0.17	)		—			—		(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.14	)		1.02			0.88			(0.57	)		(0.03	)		—		(0.60	)
FOR THE PERIOD 9/02/1410—12/31/14		$10.35		(0.07	)		0.86			0.79			(1.16	)		(0.11	)		—		(1.27	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$10.01		0.09			(0.29	)		(0.20	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.57		0.10			(0.65	)		(0.55	)		(0.01	)		—			—		(0.01	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.41		(0.00	)6		0.71			0.71			(0.55	)		—			—		(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.06	)		0.13			0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08	)		0.49			0.41			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/148—12/31/14		$10.00		(0.02	)		0.32			0.30			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$9.95		0.07			(0.28	)		(0.21	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.53		0.07			(0.65	)		(0.58	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.37		(0.05	)		0.72			0.67			(0.51	)		—			—		(0.51	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.39		(0.08	)		0.11			0.03			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09	)		0.48			0.39			(0.14	)		(0.03	)		—		(0.17	)
FOR THE PERIOD 9/17/148—12/31/14		$10.00		(0.03	)		0.32			0.29			(0.09	)		(0.03	)		—		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$10.02		0.09			(0.28	)		(0.19	)		—			—			—		—
FOR THE YEAR ENDED DECEMBER 31, 2018		$10.59		0.10			(0.65	)		(0.55	)		(0.02	)		—			—		(0.02	)
FOR THE YEAR ENDED DECEMBER 31, 2017		$10.42		(0.00	)6		0.72			0.72			(0.55	)		—			—		(0.55	)
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.40		(0.05	)		0.12			0.07			(0.03	)		(0.02	)		—		(0.05	)
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05	)		0.48			0.43			(0.17	)		(0.03	)		—		(0.20	)
FOR THE PERIOD 9/17/1410—12/31/14		$10.00		(0.01	)		0.31			0.30			(0.10	)		(0.03	)		—		(0.13	)

The accompanying notes are an integral part of these financial statements.

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Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$8.54		(5.32	)%		$1,486,437		2.44	%		2.41	%		1.48	%		0.53	%		84	%
	$9.02		(12.26	)%		$1,759,075		2.25	%		2.24	%		1.47	%		0.09	%		345	%
	$10.38		11.94	%		$2,956,926		2.22	%		2.21	%		1.49	%		(0.70	)%		140	%
	$9.92		(0.47	)%		$2,263,101		2.26	%		2.24	%		1.49	%		(1.20	)%		114	%
	$10.14		8.76	%		$1,341,232		2.29	%		2.25	%		1.48	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		2.56	%		1.50	%		(0.95	)%		145	%
	$8.52		(5.33	)%		$68,185		2.71	%		2.68	%		1.75	%		0.28	%		84	%
	$9.00		(12.60	)%		$82,850		2.51	%		2.50	%		1.74	%		(0.22	)%		345	%
	$10.35		11.67	%		$177,319		2.49	%		2.47	%		1.75	%		(1.23	)%		140	%
	$9.89		(0.76	)%		$188,647		2.53	%		2.50	%		1.75	%		(1.46	)%		114	%
	$10.14		8.50	%		$92,947		2.56	%		2.52	%		1.75	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.92	%		2.81	%		1.75	%		(1.50	)%		145	%
	$8.56		(5.20	)%		$1,280,601		2.36	%		2.33	%		1.40	%		0.62	%		84	%
	$9.03		(12.32	)%		$1,459,422		2.18	%		2.17	%		1.40	%		0.21	%		345	%
	$10.41		12.10	%		$1,613,182		2.14	%		2.12	%		1.40	%		(0.65	)%		140	%
	$9.94		(0.37	)%		$1,349,866		2.18	%		2.15	%		1.40	%		(1.08	)%		114	%
	$10.15		8.80	%		$394,568		2.21	%		2.17	%		1.40	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.57	%		2.46	%		1.40	%		(1.94	)%		145	%
	$9.81		(2.00	)%		$250,690		1.35	%		1.30	%		0.82	%		1.75	%		87	%
	$10.01		(5.21	)%		$407,402		1.17	%		1.17	%		0.83	%		0.99	%		191	%
	$10.57		6.74	%		$336,047		1.23	%		1.22	%		0.83	%		(0.00	)%		136	%
	$10.41		0.65	%		$251,496		1.22	%		1.19	%		0.83	%		(0.54	)%		106	%
	$10.39		4.02	%		$152,172		1.46	%		1.11	%		0.79	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.49	%7		1.01	%		0.85	%		(0.68	)%		191	%
	$9.74		(2.11	)%		$9,701		1.63	%		1.58	%		1.10	%		1.35	%		87	%
	$9.95		(5.51	)%		$21,871		1.44	%		1.44	%		1.10	%		0.63	%		191	%
	$10.53		6.46	%		$35,465		1.50	%		1.49	%		1.10	%		(0.48	)%		136	%
	$10.37		0.26	%		$42,514		1.48	%		1.45	%		1.10	%		(0.78	)%		106	%
	$10.39		3.85	%		$13,444		1.90	%		1.41	%		1.09	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.92	%7		1.32	%		1.10	%		(0.91	)%		191	%
	$9.83		(1.90	)%		$47,174		1.28	%		1.23	%		0.75	%		1.90	%		87	%
	$10.02		(5.23	)%		$51,934		1.10	%		1.10	%		0.75	%		0.98	%		191	%
	$10.59		6.90	%		$94,055		1.15	%		1.14	%		0.75	%		(0.01	)%		136	%
	$10.42		0.65	%		$90,570		1.14	%		1.11	%		0.75	%		(0.45	)%		106	%
	$10.40		4.23	%		$22,176		1.57	%		1.08	%		0.75	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.75	%7		1.00	%		0.75	%		(0.32	)%		191	%

The accompanying notes are an integral part of these financial statements.

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273

Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1								Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR VOLATILITY RISK PREMIUM FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$9.54		0.09		0.62			0.71			—			—		—		—
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.02		(0.45	)		(0.43	)		(0.03	)		—		—		(0.03	)
AQR VOLATILITY RISK PREMIUM FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$9.54		0.07		0.62			0.69			—			—		—		—
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.01		(0.45	)		(0.44	)		(0.02	)		—		—		(0.02	)
AQR VOLATILITY RISK PREMIUM FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$9.54		0.09		0.62			0.71			—			—		—		—
FOR THE PERIOD 11/01/188—12/31/18		$10.00		0.02		(0.45	)		(0.43	)		(0.03	)		—		—		(0.03	)

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

274

Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.25		7.44	%		$1,572		2.97	%7		0.68	%		0.68	%		1.78	%		60	%
	$9.54		(4.34	)%		$1,065		2.63	%7		0.76	%		0.75	%		1.14	%		18	%
	$10.23		7.23	%		$1,025		3.24	%7		0.95	%		0.95	%		1.49	%		60	%
	$9.54		(4.38	)%		$955		2.88	%7		1.00	%		1.00	%		0.89	%		18	%
	$10.25		7.44	%		$9,396		2.94	%7		0.65	%		0.65	%		1.79	%		60	%
	$9.54		(4.32	)%		$8,745		2.53	%7		0.65	%		0.65	%		1.24	%		18	%

The accompanying notes are an integral part of these financial statements.

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Financial Highlights June 30, 2019 (Unaudited)

  * 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 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.

  ³ 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.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ Amount is less than $.005 per share

  ⁷ Certain expenses incurred by the Fund were not annualized for the period.

  ⁸ Commencement of operations.

  ⁹ 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.

¹⁰  Commencement of offering of shares.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

276

Notes to Financial Statements June 30, 2019 (Unaudited)

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2019, the Trust consists of thirty-nine active series, thirteen of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Asset Fund (formerly known as AQR Risk Parity Fund), AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund and AQR Volatility Risk Premium Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investmentsub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Multi-Asset Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund and AQR Volatility Risk Premium Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.

2. Consolidation of Subsidiaries

The Consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows and the Financial Highlights of the AQR Global Macro Fund, AQR Multi-Asset Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Asset Offshore Fund Ltd. (formerly known as AQR Risk Parity Offshore Fund Ltd.), AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd. and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, which arewholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each Consolidated Fund may invest up to 25% of its total assets (on a tax basis) in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	SUBSIDIARY NET ASSETS AT JUNE 30, 2019		% OF TOTAL ASSETS AT JUNE 30, 2019
AQR Global Macro Offshore Fund Ltd	$	6,511,344		20.3	%
AQR Multi-Asset Offshore Fund Ltd.		18,633,634		6.8	%
AQR Multi-Strategy Alternative Offshore Fund Ltd.		99,718,410		9.7	%
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		55,998,830		22.5	%
AQR Risk Parity II HV Offshore Fund Ltd.		6,812,177		17.0	%
AQR Risk Parity II MV Offshore Fund Ltd.		15,860,121		14.3	%
AQR Style Premia Alternative Offshore Fund Ltd.		673,747,138		8.8	%
AQR Style Premia Alternative LV Offshore Fund Ltd.		71,239,387		13.9	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services—Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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.

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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. The Funds’ assets and liabilities in foreign currencies 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 isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Certain fixed-income investments may pay interestin-kind, which represents contractual interest accrued and increases the principal balance. 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. 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. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear differentsub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. The Funds are charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” 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” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not

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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 concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2019, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment ofshort-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. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company.

Additionally, certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. The LPCI Fund may be considered an affiliated person 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 person is included in the Schedules of Investments, if applicable.

Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.

High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

Inflation-Indexed Bonds: Certain Funds may invest in inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

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Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.

The Funds may also enter into unfunded commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using apro-rata allocation, based on its par value relative to the par value of the entire investment. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

As of June 30, 2019, AQR Diversified Arbitrage Fund’s unfunded commitments were as follows:

BORROWER	COMMITMENT AMOUNT
DEMC, LtdClass A-2	$489,352
Nexstar	5,000,000
Project Monarch	10,000,000

The Fund has no unrealized gain or loss on the unfunded commitment.

Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Funds may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.

Securities Sold Short: Certain Funds may engage in short sales, which is when a Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.

The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.

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Notes to Financial Statements June 30, 2019 (Unaudited)

The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

Fund
AQR Alternative Risk Premia Fund	$	908,551
AQR Diversified Arbitrage Fund		474,635
AQR Equity Market Neutral Fund		938,188
AQR Long-Short Equity Fund		1,989,499
AQR Multi-Asset Fund		54,883
AQR Multi-Strategy Alternative Fund		1,132,251
AQR Style Premia Alternative Fund		3,008,866
AQR Style Premia Alternative LV Fund		202,309

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 theover-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an upfront payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

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.

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Total Return Basket Swaps: Certain Funds may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and/or short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.

Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Schedule of Investments. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at anagreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designatedsub-custodians under tri-party repurchase agreements. Investments in repurchase agreements are reflected as assets on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income

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on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end are included within each Fund’s Schedule of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at anagreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.

The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities and Foreign Government Securities with a maturity greater than 90 days in the amount of $29,517,519 and $4,820,702 for AQR Multi-Asset Fund and AQR Risk Parity II HV Fund, respectively.

Options: Certain Funds may write and purchase put and call options. When a Fund writes a premium-style option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When a premium-style option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

The maximum financial exposure for premium-style written put options is limited to the number of contracts written and the related strike prices. The number contracts, strike price, and expiration date for each written put option contract is disclosed in each respective Fund’s Schedule of Investments, as applicable.

Certain Funds may write options on futures contracts. Written options on a futures contract may be traditional premium-style option contracts or a futures-style option contracts. Futures-style option contracts are accounted for similar to futures contracts due to similar characteristics, including but not limited to the requirement to post initial margin, daily variation margin, and the lack of an upfront premium. 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 and futures-style options 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.

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.

As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.

Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include

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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 Statement 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’slong-term andshort-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 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.

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 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

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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. These inputs are summarized in the three broad levels as follows:

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1. Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in theover-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 are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certainshort-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are generally based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices.Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other

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unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market. For option contracts, if no sales occurred on such date, the contracts will be valued at the mid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR ALTERNATIVE RISK PREMIA FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	239,741,596		$	126,920,030		$	—	$	366,661,626
Short-Term Investments		181,414,669			92,478,822			—		273,893,491
Witten Options (Futures Style)*		47,483			—			—		47,483
Futures Contracts*		7,009,159			—			—		7,009,159
Forward Foreign Currency Exchange Contracts*		—			4,168,009			—		4,168,009
Total Return Swaps Contracts*		—			50,782			—		50,782
Total Assets	$	428,212,907		$	223,617,643		$	—	$	651,830,550
LIABILITIES
Common Stocks (Sold Short)†	$	(210,335,721	)	$	(103,384,624	)	$	—	$	(313,720,345	)
Written Options (Premium Style)*		(1,357,101	)		—			—		(1,357,101	)
Written Options (Future Style)*		(206,764	)		—			—		(206,764	)
Futures Contracts*		(3,041,215	)		—			—		(3,041,215	)
Forward Foreign Currency Exchange Contracts*		—			(6,076,802	)		—		(6,076,802	)
Total Return Swaps Contracts*		—			(111,430	)		—		(111,430	)
Total Liabilities	$	(214,940,801	)	$	(109,572,856	)	$	—	$	(324,513,657	)

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AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	168,081,600		$	41,802,227		$	6,597,213		$	216,481,040
Convertible Preferred Stocks		—			15,122,638			—			15,122,638
Corporate Bonds		—			30,308,667			1,870,450			32,179,117
Convertible Bonds		—			143,878,520			100,813			143,979,333
Closed End Funds		10,799,324			—			—			10,799,324
Loan Participations		—			3,230,016			—			3,230,016
Preferred Stocks		3,316,254			1,390,293			—	(a)		4,706,547
Rights		999,600			415,000			240,461			1,655,061
Securities in Litigation		—			—			445,255			445,255
Warrants		10,806,449			1,602,276			990,755			13,399,480
Short-Term Investments		127,256,026			26,249,571			—			153,505,597
Forward Foreign Currency Exchange Contracts*		—			100,824			—			100,824
Total Return Basket Swaps Contracts*		—			2,514,044			—			2,514,044
Total Assets	$	321,259,253		$	266,614,076		$	10,244,947		$	598,118,276
LIABILITIES
Common Stocks (Sold Short)	$	(152,532,052	)	$	(1,387,935	)	$	—	(a)	$	(153,919,987	)
Convertible Bonds (Sold Short)		—			(14,079,936	)		—			(14,079,936	)
Futures Contracts*		(1,304,387	)		—			—			(1,304,387	)
Forward Foreign Currency Exchange Contracts*		—			(190,797	)		—			(190,797	)
Credit Default Swap Contracts*		—			(978,406	)		—			(978,406	)
Total Return Basket Swaps Contracts*		—			(6,144,194	)		—			(6,144,194	)
Total Liabilities	$	(153,836,439	)	$	(22,781,268	)	$	—	(a)	$	(176,617,707	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	23,723,646		$	165,029,107		$	—		$	188,752,753
Short-Term Investments		110,616,050			390,661,982			—			501,278,032
Forward Foreign Currency Exchange Contracts*		—			466,910			—			466,910
Total Assets	$	134,339,696		$	556,157,999		$	—		$	690,497,695
LIABILITIES
Common Stocks (Sold Short)†	$	(23,684,112	)	$	(117,699,330	)	$	—		$	(141,383,442	)
Forward Foreign Currency Exchange Contracts*		—			(1,379,568	)		—			(1,379,568	)
Total Return Basket Swaps Contracts*		—			(61,075,929	)		—			(61,075,929	)
Total Liabilities	$	(23,684,112	)	$	(180,154,827	)	$	—		$	(203,838,939	)
AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Short-Term Investments	$	11,316,650		$	13,731,874		$	—		$	25,048,524
Futures Contracts*		557,483			—			—			557,483
Forward Foreign Currency Exchange Contracts*		—			556,535			—			556,535
Interest Rate Swap Contracts*		—			1,921,096			—			1,921,096
Total Return Swaps Contracts*		—			41,311			—			41,311
Total Assets	$	11,874,133		$	16,250,816		$	—		$	28,124,949
LIABILITIES
Futures Contracts*	$	(342,155	)	$	—		$	—		$	(342,155	)
Forward Foreign Currency Exchange Contracts*		—			(691,413	)		—			(691,413	)
Interest Rate Swap Contracts*		—			(1,278,938	)		—			(1,278,938	)
Total Return Swaps Contracts*		—			(46,161	)		—			(46,161	)
Total Liabilities	$	(342,155	)	$	(2,016,512	)	$	—		$	(2,358,667	)

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AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	646,846,648		$	121,286,614		$	—	$	768,133,262
Short-Term Investments		381,401,777			811,069,716			—		1,192,471,493
Futures Contracts*		11,588,521			—			—		11,588,521
Forward Foreign Currency Exchange Contracts*		—			4,128,314			—		4,128,314
Total Return Basket Swaps Contracts*		—			1,526,312			—		1,526,312
Total Return Swaps Contracts*		—			332,163			—		332,163
Total Assets	$	1,039,836,946		$	938,343,119		$	—	$	1,978,180,065
LIABILITIES
Common Stocks (Sold Short)†	$	(494,371,021	)	$	(70,951,812	)	$	—	$	(565,322,833	)
Forward Foreign Currency Exchange Contracts*		—			(1,576,268	)		—		(1,576,268	)
Total Return Basket Swaps Contracts*		—			(113,197,830	)		—		(113,197,830	)
Total Return Swaps Contracts*		—			(272,871	)		—		(272,871	)
Total Liabilities	$	(494,371,021	)	$	(185,998,781	)	$	—	$	(680,369,802	)
AQR MULTI-ASSET FUND (FORMERLY KNOWN AS AQR RISK PARITY FUND)	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	65,001,239		$	32,016,515		$	—	$	97,017,754
Foreign Government Securities		—			18,709,544			—		18,709,544
U.S. Treasury Obligations		—			25,489,680			—		25,489,680
Short-Term Investments		39,863,266			38,443,721			—		78,306,987
Futures Contracts*		5,326,524			—			—		5,326,524
Forward Foreign Currency Exchange Contracts*		—			2,104,851			—		2,104,851
Total Return Swaps Contracts*		—			433,857			—		433,857
Total Assets	$	110,191,029		$	117,198,168		$	—	$	227,389,197
LIABILITIES
Common Stocks (Sold Short)†	$	(16,426,952	)	$	(6,671,658	)	$	—	$	(23,098,610	)
Reverse Repurchase Agreements		—			(20,463,679	)		—		(20,463,679	)
Futures Contracts*		(1,591,607	)		—			—		(1,591,607	)
Forward Foreign Currency Exchange Contracts*		—			(2,176,291	)		—		(2,176,291	)
Total Return Swaps Contracts*		—			(619,795	)		—		(619,795	)
Total Liabilities	$	(18,018,559	)	$	(29,931,423	)	$	—	$	(47,949,982	)

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AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	21,906,997		$	—		$	4,044,368	$	25,951,365
Convertible Preferred Stocks†		—			55,661,307			—		55,661,307
Corporate Bonds†		—			—			253,076		253,076
Convertible Bonds†		—			282,960,569			193,734		283,154,303
Preferred Stocks†		—			1,540,455			—		1,540,455
Short-Term Investments		438,132,668			40,305,780			—		478,438,448
Witten Options (Futures Style)*		12,729			—			—		12,729
Futures Contracts*		7,700,514			—			—		7,700,514
Forward Foreign Currency Exchange Contracts*		—			16,447,286			—		16,447,286
Credit Default Swap Contracts*		—			655,387			—		655,387
Total Return Basket Swaps Contracts*		—			3,506,131			—		3,506,131
Total Return Swaps Contracts*		—			886,014			—		886,014
Total Assets	$	467,752,908		$	401,962,929		$	4,491,178	$	874,207,015
LIABILITIES
Common Stocks (Sold Short)†	$	(229,391,611	)	$	—		$	—	$	(229,391,611	)
Convertible Bonds (Sold Short)†		—			(19,314,480	)		—		(19,314,480	)
Written Options (Premium Style)*		(674,617	)		—			—		(674,617	)
Written Options (Future Style)*		(61,746	)		—			—		(61,746	)
Futures Contracts*		(5,354,609	)		—			—		(5,354,609	)
Forward Foreign Currency Exchange Contracts*		—			(18,616,649	)		—		(18,616,649	)
Credit Default Swap Contracts*		—			(3,857,031	)		—		(3,857,031	)
Total Return Basket Swaps Contracts*		—			(53,989,816	)		—		(53,989,816	)
Total Return Swaps Contracts*		—			(1,463,356	)		—		(1,463,356	)
Total Liabilities	$	(235,482,583	)	$	(97,241,332	)	$	—	$	(332,723,915	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	127,890,273		$	101,158,669		$	—	$	229,048,942
Futures Contracts*		17,207,490			—			—		17,207,490
Total Return Swaps Contracts*		—			4,432,190			—		4,432,190
Total Assets	$	145,097,763		$	105,590,859		$	—	$	250,688,622
LIABILITIES
Futures Contracts*	$	(10,380,013	)	$	—		$	—	$	(10,380,013	)
Total Return Swaps Contracts*		—			(5,606,369	)		—		(5,606,369	)
Total Liabilities	$	(10,380,013	)	$	(5,606,369	)	$	—	$	(15,986,382	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Foreign Government Securities	$	—		$	7,697,581		$	—	$	7,697,581
U.S. Treasury Obligations		—			9,224,361			—		9,224,361
Short-Term Investments		9,522,502			5,891,932			—		15,414,434
Futures Contracts*		1,568,056			—			—		1,568,056
Forward Foreign Currency Exchange Contracts*		—			74,037			—		74,037
Total Return Swaps Contracts*		—			43,029			—		43,029
Total Assets	$	11,090,558		$	22,930,940		$	—	$	34,021,498
LIABILITIES
Reverse Repurchase Agreements	$	—		$	(4,766,116	)	$	—	$	(4,766,116	)
Futures Contracts*		(235,969	)		—			—		(235,969	)
Forward Foreign Currency Exchange Contracts*		—			(137,456	)		—		(137,456	)
Total Return Swaps Contracts*		—			(1,566	)		—		(1,566	)
Total Liabilities	$	(235,969	)	$	(4,905,138	)	$	—	$	(5,141,107	)

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Notes to Financial Statements June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2				LEVEL 3			TOTALS
ASSETS
Foreign Government Securities	$	—		$	18,406,512		��	$	—		$	18,406,512
U.S. Treasury Obligations		—			22,010,385				—			22,010,385
Short-Term Investments		41,036,500			23,756,109				—			64,792,609
Futures Contracts*		3,685,481			—				—			3,685,481
Forward Foreign Currency Exchange Contracts*		—			11,517				—			11,517
Total Return Swaps Contracts*		—			298,467				—			298,467
Total Assets	$	44,721,981		$	64,482,990			$	—		$	109,204,971
LIABILITIES
Futures Contracts*	$	(468,396	)	$	—			$	—		$	(468,396	)
Forward Foreign Currency Exchange Contracts*		—			(165,353	)			—			(165,353	)
Total Return Swaps Contracts*		—			(157,407	)			—			(157,407	)
Total Liabilities	$	(468,396	)	$	(322,760	)		$	—		$	(791,156	)
AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2				LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	1,335,936,152		$	252,847,412			$	—		$	1,588,783,564
Short-Term Investments		1,584,080,717			578,732,646				—			2,162,813,363
Futures Contracts*		92,740,200			—				—			92,740,200
Forward Foreign Currency Exchange Contracts*		—			37,644,628				—			37,644,628
Total Return Basket Swaps Contracts*		—			27,815,693				—			27,815,693
Total Return Swaps Contracts*		—			8,310,546				—			8,310,546
Total Assets	$	3,012,757,069		$	905,350,925			$	—		$	3,918,107,994
LIABILITIES
Common Stocks (Sold Short)†	$	(948,867,900	)	$	(122,182,262	)		$	(2	)	$	(1,071,050,164	)
Futures Contracts*		(105,840,848	)		—				—			(105,840,848	)
Forward Foreign Currency Exchange Contracts*		—			(57,904,232	)			—			(57,904,232	)
Total Return Basket Swaps Contracts*		—			(79,412,169	)			—			(79,412,169	)
Total Return Swaps Contracts*		—			(1,178,508	)			—			(1,178,508	)
Total Liabilities	$	(1,054,708,748	)	$	(260,677,171	)		$	(2	)	$	(1,315,385,921	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2				LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	9,359,711		$	73,903,112			$	—		$	83,262,823
Short-Term Investments		207,348,325			71,530,629				—			278,878,954
Futures Contracts*		5,247,017			—				—			5,247,017
Forward Foreign Currency Exchange Contracts*		—			1,941,363				—			1,941,363
Total Return Basket Swaps Contracts*		—			610,220				—			610,220
Total Return Swaps Contracts*		—			382,873				—			382,873
Total Assets	$	221,955,053		$	148,368,197			$	—		$	370,323,250
LIABILITIES
Common Stocks (Sold Short)†	$	(9,333,568	)	$	(59,174,987	)		$	—		$	(68,508,555	)
Futures Contracts*		(5,935,049	)		—				—			(5,935,049	)
Forward Foreign Currency Exchange Contracts*		—			(3,206,734	)			—			(3,206,734	)
Total Return Basket Swaps Contracts*		—			(3,334,628	)			—			(3,334,628	)
Total Return Swaps Contracts*		—			(64,145	)			—			(64,145	)
Total Liabilities	$	(15,268,617	)	$	(65,780,494	)		$	—		$	(81,049,111	)

AQR Funds Semi-Annual Report June 2019

290

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR VOLATILITY RISK PREMIUM FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	3,727,730		$	2,087,999	$	—	$	5,815,729
Rights†		—			104		—		104
Short-Term Investments		5,148,743			—		—		5,148,743
Witten Options (Futures Style)*		2,814			—		—		2,814
Futures Contracts*		37,122			—		—		37,122
Total Assets	$	8,916,409		$	2,088,103	$	—	$	11,004,512
LIABILITIES
Written Options (Premium Style)*	$	(114,945	)	$	—	$	—	$	(114,945	)
Written Options (Future Style)*		(19,631	)		—		—		(19,631	)
Futures Contracts*		(4,360	)		—		—		(4,360	)
Total Liabilities	$	(138,936	)	$	—	$	—	$	(138,936	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and purchased options and written options are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

† Please refer to the Schedule of Investments to view securities segregated by country.

(a) Security has zero value.

Transfers to Level 3 or from Level 3 are generally due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCKS		LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BONDS			PREFERRED STOCKS			RIGHTS			WARRANTS			SECURITIES IN LITIGATION		SHORT COMMON STOCKS
Balance as of December 31, 2018	$	1,793,755	$	1,295,689		$	98,239		$	737,083		$	168,578		$	930,053		$	434,209	$	—	(a)
Accrued discounts/(premiums)		—		243,409			3,025			—			—			—			—		—
Realized gain/(loss)		—		28,506			—			2,286,657			—			275,125			—		—
Change in unrealized appreciation/(depreciation)		110,390		(500,866	)		(5,666	)		123,217			(40,892	)		234,887			11,046		—
Purchases1		63,243		939,070			5,215			—			—			—			—		—
Sales2		—		(28,507	)		—			(3,146,957	)		—			(275,125	)		—		—
Transfers in to Level 3		4,629,825		—			—			—			112,775			658,826			—		—
Transfers out of Level 3		—		(106,851	)		—			—			—			(833,011	)		—		—
Balance as of June 30, 2019	$	6,597,213	$	1,870,450		$	100,813		$	—	(a)	$	240,461		$	990,755		$	445,255	$	—	(a)
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2019	$	110,260	$	(208,342	)	$	(1,989	)	$	—		$	(40,892	)	$	302,310		$	11,046	$	—

 ¹  Purchases include all purchases of securities and securities received in corporate actions.

 ² Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

(a) Security has zero value.

AQR Funds Semi-Annual Report June 2019

291

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCKS		CORPORATE BONDS		CONVERTIBLE BONDS
Balance as of December 31, 2018	$	428,775	$	242,059	$	185,300
Accrued discounts/(premiums)		—		—		—
Realized gain/(loss)		—		—		—
Change in unrealized appreciation/(depreciation)		203,934		11,017		8,434
Purchases1		3,411,659		—		—
Sales2		—		—		—
Transfers in to Level 3		—		—		—
Transfers out of Level 3		—		—		—
Balance as of June 30, 2019	$	4,044,368	$	253,076	$	193,734
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2019	$	203,934	$	11,017	$	8,434

¹   Purchases include all purchases of securities and securities received in corporate actions.

²  Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

The fair values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

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292

Notes to Financial Statements June 30, 2019 (Unaudited)

The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2019 for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund :

Quantitative Information about Level 3 Fair Value Measurements*

AQR DIVERSIFIED ARBITRAGE FUND

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE***
Common Stock		$1,445,423	Enterprise Value Waterfall Analysis	Discount for Lack of Marketability**	20.97%—38.41%	23.15%
				EBITDA Multiple	5.75x to 6.75x	N/A
		$1,233,848	Probability Weighted Expected Return	Discount for Lack of Marketability**	9.10%—35.00%	17.08%
				Discount Rate	6.00%	6.00%
				Equity Cost of Capital	47.50%	N/A
				Legal Fees (% of potential proceeds)	-9.15%	N/A
				Scenario Probability	5.00%—90.00%	33.33%
				Term	0.47 to 3.00 years	N/A
Convertible Bonds		$13,381	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	2.51 years	N/A
Corporate Bonds		$870,346	Liquidation Analysis	Discount for Lack of Marketability**	10.00%	N/A
				Discount Rate	9.50%—17.20%	12.93%
				Term	1.51 to 2.51 years	N/A
Rights		$184,641	Probability Weighted Expected Return	Discount for Lack of Marketability**	19.09%—30.82%	23.50%
				Equity Cost of Capital	20.00%	N/A
				Scenario Probability	0.00%—70.00%	44.48%
				Weighted Average Cost of Capital	27.50%	N/A
Securities in Litigation		$444,741	Liquidation Analysis	Discount for Lack of Marketability**	30.00%	N/A
				Discount Rate	6.00%	N/A
				Future Fundings as % of Expected Proceeds	48.54%	N/A
				Recovery Probability	50.00%	N/A
				Term	3.75 years	N/A

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293

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

INVESTMENT TYPE	TOTAL FAIR VALUE		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE***
Common Stock		$4,044,368	Probability Weighted Expected Return	Discount for Lack of Marketability	9.10%—35.00%	12.78%
				Discount Rate	6.00%	N/A
				Term	0.47 to 1.63 years	N/A
Convertible Bonds		$193,734	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	2.51 years	N/A
Corporate Bonds		$253,076	Liquidation Analysis	Discount Rate	9.50%	N/A
				Term	2.51 years	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2019, the value of these securities for the AQR Diversified Arbitrage Fund was $6,052,567. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

*** The weighted averages disclosed in the table above were weighted by relative fair value.

There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments of AQR Style Premia Alternative Fund which are considered quantitatively insignificant for additional disclosure.

6. Federal Income Tax Matters

At June 30, 2019, 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:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Alternative Risk Premia Fund	$	281,403,470	$	84,117,514	$	(38,204,091	)	$	45,913,423
AQR Diversified Arbitrage Fund		454,756,966		55,379,939		(88,636,336	)		(33,256,397	)
AQR Equity Market Neutral Fund		511,823,401		56,359,694		(81,524,339	)		(25,164,645	)
AQR Global Macro Fund		25,693,479		2,047,427		(1,974,624	)		72,803
AQR Long-Short Equity Fund		1,317,020,380		171,318,132		(190,528,249	)		(19,210,117	)
AQR Multi-Asset Fund		172,771,697		17,595,374		(10,927,856	)		6,667,518
AQR Multi-Strategy Alternative Fund		613,820,054		114,769,000		(187,105,954	)		(72,336,954	)
AQR Risk-Balanced Commodities Strategy Fund		228,934,917		21,753,970		(15,986,647	)		5,767,323
AQR Risk Parity II HV Fund		27,469,163		1,974,857		(563,629	)		1,411,228
AQR Risk Parity II MV Fund		104,987,087		4,604,753		(1,178,025	)		3,426,728
AQR Style Premia Alternative Fund		2,618,540,128		431,142,609		(446,960,664	)		(15,818,055	)
AQR Style Premia Alternative LV Fund		289,062,901		20,340,277		(20,129,039	)		211,238
AQR Volatility Risk Premium Fund		10,284,914		662,905		(82,243	)		580,662

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals. The Funds’ tax basis capital gains and losses are determined only at the end of the year.

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294

Notes to Financial Statements June 30, 2019 (Unaudited)

As of December 31, 2018, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG TERM
AQR Alternative Risk Premia Fund	$	26,776,669	$	—
AQR Diversified Arbitrage Fund		57,429,966		239,641,463
AQR Equity Market Neutral Fund		35,310,741		—
AQR Long-Short Equity Fund		129,047,560		—
AQR Multi-Asset Fund		9,346,571		12,247,177
AQR Multi-Strategy Alternative Fund		52,486,468		176,341,618
AQR Risk-Balanced Commodities Strategy Fund		22,066		—
AQR Risk Parity II HV Fund		1,539,268		938,138
AQR Risk Parity II MV Fund		1,656,137		959,189
AQR Style Premia Alternative Fund		231,150,903		—
AQR Style Premia Alternative LV Fund		9,195,162		—
AQR Volatility Risk Premium Fund		116,296		—

7. Investment Transactions

During the period ended June 30, 2019, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts andshort-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Alternative Risk Premia Fund	$	126,585,789	$	121,464,375	$	126,950,427	$	146,868,177
AQR Diversified Arbitrage Fund		544,989,190		491,761,953		240,185,837		204,101,106
AQR Equity Market Neutral Fund		125,068,527		317,591,968		83,803,992		246,500,181
AQR Long-Short Equity Fund		546,982,607		916,423,395		419,869,241		656,544,969
AQR Multi-Asset Fund		216,194,019		196,779,076		42,141,259		20,949,144
AQR Multi-Strategy Alternative Fund		120,822,935		291,466,790		124,322,552		257,366,807
AQR Risk Parity II HV Fund		13,244,566		12,379,168		—		—
AQR Risk Parity II MV Fund		41,863,713		30,705,864		—		—
AQR Style Premia Alternative Fund		679,815,086		930,158,584		442,072,823		899,640,350
AQR Style Premia Alternative LV Fund		26,648,165		41,632,748		24,548,833		42,266,412
AQR Volatility Risk Premium Fund		3,193,064		2,891,201		—		—

During the period ended June 30, 2019, the Funds had purchases and sales oflong-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Diversified Arbitrage Fund	$	6,884,133	$	5,952,476	$	122,009,957	$	121,078,206
AQR Multi-Asset Fund		44,458,242		93,174,583		—		—
AQR Risk Parity II HV Fund		11,622,194		12,207,282		—		—
AQR Risk Parity II MV Fund		32,382,242		29,447,074		—		—

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.

AQR Funds Semi-Annual Report June 2019

295

Notes to Financial Statements June 30, 2019 (Unaudited)

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at June 30, 2019.

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES AND FUTURES- STYLE OPTIONS CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES AND FUTURES- STYLE OPTIONS CONTRACTS*		SWAPS AT VALUE**		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Alternative Risk Premia Fund	$	1,466,027	$	50,782	$	—	$	1,198,239	$	111,430	$	—	$	901,960
AQR Diversified Arbitrage Fund		—		6,265,715		—		584,072		4,202,694		—		—
AQR Equity Market Neutral Fund		—		—		—		—		61,075,929		—		—
AQR Global Macro Fund		232,331		37,655		—		86,500		18,387		—		—
AQR Long-Short Equity Fund		11,588,521		1,858,475		—		—		113,470,701		—		—
AQR Multi-Asset Fund		466,557		5,194		—		18,969		4,699		—		—
AQR Multi-Strategy Alternative Fund		2,220,663		3,982,547		—		1,833,797		54,287,704		—		523,164
AQR Risk Parity II HV Fund		247,627		43,029		—		3,218		1,566		—		—
AQR Risk Parity II MV Fund		611,536		97,077		—		6,559		1,392		—		—
AQR Style Premia Alternative Fund		11,469,784		30,793,409		—		15,931,367		80,255,096		—		—
AQR Style Premia Alternative LV Fund		783,251		728,326		—		948,792		3,398,773		—		—
AQR Volitality Risk Premium Fund		5,317		—		—		4,360		—		—		76,381
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund		—		—		4,168,009		—		—		6,076,802		—
AQR Diversified Arbitrage Fund		—		—		100,824		—		—		190,797		—
AQR Equity Market Neutral Fund		—		—		466,910		—		—		1,379,568		—
AQR Global Macro Fund		—		—		556,535		—		—		691,413		—
AQR Long-Short Equity Fund		—		—		4,128,314		—		—		1,576,268		—
AQR Multi-Asset Fund		—		—		2,104,851		—		—		2,176,291		—
AQR Multi-Strategy Alternative Fund		—		—		16,447,286		—		—		18,616,649		—
AQR Risk Parity II HV Fund		—		—		74,037		—		—		137,456		—
AQR Risk Parity II MV Fund		—		—		11,517		—		—		165,353		—
AQR Style Premia Alternative Fund		—		—		37,644,628		—		—		57,904,232		—
AQR Style Premia Alternative LV Fund		—		—		1,941,363		—		—		3,206,734		—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		5,590,615		—		—		2,049,740		—		—		455,141
AQR Diversified Arbitrage Fund		—		—		—		720,315		5,693,171		—		—
AQR Global Macro Fund		200,754		1,921,096		—		108,735		1,293,835		—		—
AQR Multi-Asset Fund		3,110,100		—		—		—		—		—		—
AQR Multi-Strategy Alternative Fund		4,304,798		—		—		1,521,294		53,156		—		151,453
AQR Risk Parity II HV Fund		839,395		—		—		—		—		—		—
AQR Risk Parity II MV Fund		2,042,522		5,772		—		—		—		—		—
AQR Style Premia Alternative Fund		74,132,718		—		—		63,307,825		—		—		—
AQR Style Premia Alternative LV Fund		4,066,128		—		—		3,454,312		—		—		—
AQR Volitality Risk Premium Fund		34,619		—		—		19,631		—		—		38,564
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		978,406		—		—
AQR Multi-Strategy Alternative Fund		—		655,387		—		—		3,857,031		—		—

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296

Notes to Financial Statements June 30, 2019 (Unaudited)

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES AND FUTURES- STYLE OPTIONS CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES AND FUTURES- STYLE OPTIONS CONTRACTS*		SWAPS AT VALUE**		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Commodity Risk Exposure:
AQR Global Macro Fund	$	124,398	$	3,656	$	—	$	146,920	$	12,877	$	—	$	—
AQR Multi-Asset Fund		1,749,867		428,663		—		1,572,638		615,096		—		—
AQR Multi-Strategy Alternative Fund		1,187,782		409,598		—		2,061,264		1,112,312		—		—
AQR Risk-Balanced Commodities Strategy Fund		17,207,490		4,432,190		—		10,380,013		5,606,369		—		—
AQR Risk Parity II HV Fund		481,034		—		—		232,751		—		—		—
AQR Risk Parity II MV Fund		1,031,423		195,618		—		461,837		156,015		—		—
AQR Style Premia Alternative Fund		7,137,698		5,332,830		—		26,601,656		335,581		—		—
AQR Style Premia Alternative LV Fund		397,638		264,767		—		1,531,945		—		—		—
Net Fair Value of Derivative Contracts:
AQR Alternative Risk Premia Fund		3,808,663		—		—		—		60,648		1,908,793		1,357,101
AQR Diversified Arbitrage Fund		—		—		—		1,304,387		4,608,556		89,973		—
AQR Equity Market Neutral Fund		—		—		—		—		61,075,929		912,658		—
AQR Global Macro Fund		215,328		637,308		—		—		—		134,878		—
AQR Long-Short Equity Fund		11,588,521		—		2,552,046		—		111,612,226		—		—
AQR Multi-Asset Fund		3,734,917		—		—		—		185,938		71,440		—
AQR Multi-Strategy Alternative Fund		2,296,888		—		—		—		54,262,671		2,169,363		674,617
AQR Risk-Balanced Commodities Strategy Fund		6,827,477		—		—		—		1,174,179		—		—
AQR Risk Parity II HV Fund		1,332,087		41,463		—		—		—		63,419		—
AQR Risk Parity II MV Fund		3,217,085		141,060		—		—		—		153,836		—
AQR Style Premia Alternative Fund		—		—		—		13,100,648		44,464,438		20,259,604		—
AQR Style Premia Alternative LV Fund		—		—		—		688,032		2,405,680		1,265,371		—
AQR Volitality Risk Premium Fund		15,945		—		—		—		—		—		114,945

* Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

** Includes the fair value of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

AQR Funds Semi-Annual Report June 2019

297

Notes to Financial Statements June 30, 2019 (Unaudited)

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2019:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS															NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES AND FUTURES-STYLE OPTIONS CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS			OPTIONS PURCHASED			FUTURES AND FUTURES-STYLE OPTIONS CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Equity Risk Exposure:
AQR Alternative Risk Premia Fund	$	3,027,652		$	2,263,771		$	—		$	1,392,612		$	—		$	(2,503,416	)	$	813,230		$	—		$	568,885
AQR Diversified Arbitrage Fund		(4,344,264	)		774,242			—			—			(10,762	)		(2,503,690	)		5,200,749			—			—
AQR Equity Market Neutral Fund		2,004,948			(34,244,235	)		—			—			—			—			(46,540,119	)		—			—
AQR Global Macro Fund		432,847			118,443			—			—			—			(19,022	)		(26,277	)		—			—
AQR Long-Short Equity Fund		94,890,602			(127,863,890	)		—			—			—			51,133,617			(25,830,994	)		—			—
AQR Multi-Asset Fund		2,536,206			1,091,794			—			—			—			2,044,296			(529	)		—			—
AQR Multi-Strategy Alternative Fund		(21,494,051	)		(52,764,976	)		—			1,352,176			—			(4,583,070	)		(23,924,033	)		—			309,802
AQR Risk Parity II HV Fund		1,323,093			251,297			—			—			—			589,121			42,138			—			—
AQR Risk Parity II MV Fund		2,379,934			394,825			—			—			—			1,270,068			94,747			—			—
AQR Style Premia Alternative Fund		49,958,697			13,889,016			—			—			—			(26,116,531	)		(171,846,352	)		—			—
AQR Style Premia Alternative LV Fund		1,700,542			(4,377,528	)		—			—			—			(1,118,982	)		(6,805,464	)		—			—
AQR Volatility Risk Premium Fund		(132,648	)		—			—			263,834			—			(32,647	)		—			—			33,870
Foreign Exchange Rate Risk Exposure:
AQR Alternative Risk Premia Fund		—			—			(57,814	)		—			—			—			—			2,985,348			—
AQR Diversified Arbitrage Fund		—			—			142,757			—			—			—			—			(175,269	)		—
AQR Equity Market Neutral Fund		—			—			2,997,547			—			—			—			—			(577,491	)		—
AQR Global Macro Fund		—			—			(303,254	)		—			—			—			—			795,455			—
AQR Long-Short Equity Fund		—			—			(4,357,923	)		—			—			—			—			1,465,437			—
AQR Multi-Asset Fund		—			—			2,801,093			—			—			—			—			(421,935	)		—
AQR Multi-Strategy Alternative Fund		—			—			11,994,923			—			—			—			—			13,116,200			—
AQR Risk Parity II HV Fund		—			—			197,096			—			—			—			—			(60,700	)		—
AQR Risk Parity II MV Fund		—			—			471,235			—			—			—			—			(141,289	)		—
AQR Style Premia Alternative Fund		—			—			36,637,406			—			—			—			—			25,837,496			—
AQR Style Premia Alternative LV Fund		—			—			2,182,453			—			—			—			—			1,805,478			—
Interest Rate Risk Exposure:
AQR Alternative Risk Premia Fund		11,728,239			—			—			298,487			—			3,495,716			—			—			118,831
AQR Diversified Arbitrage Fund		(2,071,506	)		(719,826	)		—			—			—			612,039			1,737,626			—			—
AQR Global Macro Fund		(72,504	)		(511,618	)		—			—			—			416,145			304,205			—			—
AQR Multi-Asset Fund		11,611,820			1,829,138			—			—			—			(1,175,069	)		(1,831,105	)		—			—
AQR Multi-Strategy Alternative Fund		5,360,658			(2,218,738	)		—			96,531			—			10,016,636			6,121,520			—			94,395
AQR Risk Parity II HV Fund		2,308,020			—			—			—			—			55,837			—			—			—
AQR Risk Parity II MV Fund		4,284,283			(1,868	)		—			—			—			653,711			5,772			—			—
AQR Style Premia Alternative Fund		68,680,997			—			—			—			—			22,806,332			—			—			—
AQR Style Premia Alternative LV Fund		4,383,756			—			—			—			—			1,383,577			—			—			—
AQR Volatility Risk Premium Fund		(2,348	)		—			—			(32,303	)		—			(20,227	)		—			—			22,539

AQR Funds Semi-Annual Report June 2019

298

Notes to Financial Statements June 30, 2019 (Unaudited)

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS												NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES AND FUTURES-STYLE OPTIONS CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		OPTIONS PURCHASED		FUTURES AND FUTURES-STYLE OPTIONS CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Credit Risk Exposure:
AQR Diversified Arbitrage Fund	$	—		$	(564,163	)	$	—	$	—	$	—	$	—		$	(796,495	)	$	—	$	—
AQR Multi-Asset Fund		—			(1,553,333	)		—		—		—		—			4,109,711			—		—
AQR Multi-Strategy Alternative Fund		—			(2,646,856	)		—		—		—		—			(3,530,181	)		—		—
Commodity Risk Exposure:
AQR Global Macro Fund		183,497			36,075			—		—		—		(298,495	)		(40,732	)		—		—
AQR Multi-Asset Fund		(462,519	)		(338,841	)		—		—		—		2,484,733			(13,652	)		—		—
AQR Multi-Strategy Alternative Fund		(2,699,615	)		(1,513,507	)		—		—		—		(5,010,008	)		(1,296,514	)		—		—
AQR Risk-Balanced Commodities Strategy Fund		894,271			(4,281,315	)		—		—		—		17,841,851			(629,732	)		—		—
AQR Risk Parity II HV Fund		(94,127	)		17,087			—		—		—		719,946			(17,086	)		—		—
AQR Risk Parity II MV Fund		(307,262	)		(207,061	)		—		—		—		1,290,210			101,832			—		—
AQR Style Premia Alternative Fund		(55,996,025	)		(18,113,923	)		—		—		—		(4,931,263	)		5,846,257			—		—
AQR Style Premia Alternative LV Fund		(3,051,457	)		(816,760	)		—		—		—		(44,921	)		306,258			—		—

The following tables present the Funds’ gross OTC derivative, repurchase agreements and reverse repurchase agreements 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 June 30, 2019:

AQR ALTERNATIVE RISK PREMIA FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
BANA	Total Return Swap Contracts	$	42,591	$	(42,591	)	$	—	$	—	$	—	$	—
CITI	Forward Foreign Currency Exchange Contracts		2,083,998		(2,083,998	)		—		—		—		—
JPMC	Forward Foreign Currency Exchange Contracts		2,084,011		(2,084,011	)		—		—		—		—
MLIN	Total Return Swap Contracts		8,191		—			8,191		—		—		8,191
Total financial instruments subject to a master netting arrangement or similar arrangement			4,218,791		(4,210,600	)		8,191		—		—		8,191

AQR Funds Semi-Annual Report June 2019

299

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR ALTERNATIVE RISK PREMIA FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	85,369	$	(42,591	)	$	42,778	$	—		$	(42,778	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		3,038,395		(2,083,998	)		954,397		—			(954,397	)		—
JPMC	Forward Foreign Currency Exchange Contracts		3,038,407		(2,084,011	)		954,396		—			(954,396	)		—
MSCS	Total Return Swap Contracts		26,061		—			26,061		(26,061	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,188,232		(4,210,600	)		1,977,632		(26,061	)		(1,951,571	)		—

(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 $ 12,353,306.

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	92,441	$	(92,441	)	$	—	$	—	$	—		$	—
DTBK	Total Return Basket Swap Contracts		28,149		—			28,149		—		—			28,149
GSIN	Total Return Basket Swap Contracts		2,485,895		(235,306	)		2,250,589		—		(1,568,591	)		681,998
JPMC	Forward Foreign Currency Exchange Contracts		8,383		(8,383	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,614,868		(336,130	)		2,278,738		—		(1,568,591	)		710,147
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Basket Swap Contracts	$	2,100,333	$	—		$	2,100,333	$	—	$	(2,100,333	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		100,857		(92,441	)		8,416		—		—			8,416
GSIN	Total Return Basket Swap Contracts		235,306		(235,306	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		89,940		(8,383	)		81,557
	Total Return Basket Swap Contracts		3,808,555		—			3,808,555
	Total JPMC		3,898,495		(8,383	)		3,890,112		—		(3,890,112	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,334,991		(336,130	)		5,998,861		—		(5,990,445	)		8,416

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 370,000 and total additional collateral pledged was $ 33,272,542.

AQR Funds Semi-Annual Report June 2019

300

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	233,467	$	(233,467	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		233,443		(233,443	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			466,910		(466,910	)		—		—		—		—

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	689,759	$	(233,467	)	$	456,292	$	—		$	(456,292	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		689,809		(233,443	)		456,366		—			(456,366	)		—
MSIP	Total Return Basket Swap Contracts		61,075,929		—			61,075,929		(61,075,929	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			62,455,497		(466,910	)		61,988,587		(61,075,929	)		(912,658	)		—

(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 $ 86,193,674.

AQR GLOBAL MACRO FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	278,290	$	(278,290	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		28,041		—			28,041		—		—		28,041
JPMC	Forward Foreign Currency Exchange Contracts		278,245		(278,245	)		—		—		—		—
MLIN	Total Return Swap Contracts		9,614		(9,614	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			594,190		(566,149	)		28,041		—		—		28,041

AQR Funds Semi-Annual Report June 2019

301

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR GLOBAL MACRO FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	14,897	$	—		$	14,897	$	—	$	—		$	14,897
CITI	Forward Foreign Currency Exchange Contracts		345,698		(278,290	)		67,408		—		(67,408	)		—
JPMC	Forward Foreign Currency Exchange Contracts		345,715		(278,245	)		67,470
	Total Return Swap Contracts		1,036		—			1,036
	Total JPMC		346,751		(278,245	)		68,506		—		(68,506	)		—
MLIN	Total Return Swap Contracts		17,351		(9,614	)		7,737		—		—			7,737
Total financial instruments subject to a master netting arrangement or similar arrangement			724,697		(566,149	)		158,548		—		(135,914	)		22,634

(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 $ 660,587.

AQR GLOBAL MACRO OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET 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
GSIN	Total Return Swap Contracts	$	1,083	$	(470	)	$	613	$	—	$	—		$	613
MACQ	Total Return Swap Contracts		1,010		—			1,010		—		—			1,010
SOCG	Total Return Swap Contracts		1,563		(1,563	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,656		(2,033	)		1,623		—		—			1,623
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,568	$	—		$	2,568	$	—	$	(1,877	)	$	691
GSIN	Total Return Swap Contracts		470		(470	)		—		—		—			—
SOCG	Total Return Swap Contracts		9,839		(1,563	)		8,276		—		—			8,276
Total financial instruments subject to a master netting arrangement or similar arrangement			12,877		(2,033	)		10,844		—		(1,877	)		8,967

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 30,000.

AQR Funds Semi-Annual Report June 2019

302

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR LONG-SHORT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	2,064,030	$	(788,098	)	$	1,275,932	$	—	$	(1,220,000	)	$	55,932
DTBK	Total Return Basket Swap Contracts		250,917		(250,917	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		2,064,284		(788,170	)		1,276,114
	Total Return Swap Contracts		332,163		(272,871	)		59,292
	Total JPMC		2,396,447		(1,061,041	)		1,335,406		—		—			1,335,406
MSIP	Total Return Basket Swap Contracts		1,275,395		(1,275,395	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,986,789		(3,375,451	)		2,611,338		—		(1,220,000	)		1,391,338

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	788,098	$	(788,098	)	$	—	$	—		$	—		$	—
DTBK	Total Return Basket Swap Contracts		67,999,038		(250,917	)		67,748,121		—			(67,748,121	)		—
GSIN	Total Return Basket Swap Contracts		30,219,001		—			30,219,001		(30,219,001	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		788,170		(788,170	)		—
	Total Return Swap Contracts		272,871		(272,871	)		—
	Total JPMC		1,061,041		(1,061,041	)		—		—			—			—
MSIP	Total Return Basket Swap Contracts		14,979,791		(1,275,395	)		13,704,396		(13,704,396	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			115,046,969		(3,375,451	)		111,671,518		(43,923,397	)		(67,748,121	)		—

(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 $ 287,324,615.

AQR Funds Semi-Annual Report June 2019

303

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-ASSET FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,050,977	$	(1,050,977	)	$	—	$	—	$	—	$	—
JPMC	Forward Foreign Currency Exchange Contracts		1,053,874		(1,053,874	)		—		—		—		—
JPMS	Repurchase Agreements		1,381,713		(1,381,713	)		—		—		—		—
MLIN	Total Return Swap Contracts		5,194		—			5,194		—		—		5,194
MPFS	Repurchase Agreements		1,020,320		(1,020,320	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,512,078		(4,506,884	)		5,194		—		—		5,194

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,088,092	$	(1,050,977	)	$	37,115	$	—		$	(37,115	)	$	—
GSCO	Reverse Repurchase Agreements		8,804,551		—			8,804,551		(8,804,551	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		1,088,199		(1,053,874	)		34,325		—			(34,325	)		—
JPMS	Reverse Repurchase Agreements		5,365,434		(1,381,713	)		3,983,721		(3,875,182	)		—			108,539
MPFS	Reverse Repurchase Agreements		6,293,694		(1,020,320	)		5,273,374		(5,273,374	)		—			—
MSCS	Total Return Swap Contracts		4,699		—			4,699		(4,699	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			22,644,669		(4,506,884	)		18,137,785		(17,957,806	)		(71,440	)		108,539

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged the counterparty. Total additional collateral received was $ 100,000 and total additional collateral pledged was $ 6,961,732.

AQR Funds Semi-Annual Report June 2019

304

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-ASSET OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	54,361	$	(54,361	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		88,562		(84,793	)		3,769		—		(3,769	)		—
MACQ	Total Return Swap Contracts		8,195		(8,195	)		—		—		—			—
MLIN	Total Return Swap Contracts		57,400		(57,400	)		—		—		—			—
SOCG	Total Return Swap Contracts		220,145		(200,088	)		20,057		—		—			20,057
Total financial instruments subject to a master netting arrangement or similar arrangement			428,663		(404,837	)		23,826		—		(3,769	)		20,057
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	116,080	$	(54,361	)	$	61,719	$	—	$	(58,573	)	$	3,146
GSIN	Total Return Swap Contracts		84,793		(84,793	)		—		—		—			—
MACQ	Total Return Swap Contracts		13,124		(8,195	)		4,929		—		—			4,929
MLIN	Total Return Swap Contracts		201,011		(57,400	)		143,611		—		(143,611	)		—
SOCG	Total Return Swap Contracts		200,088		(200,088	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			615,096		(404,837	)		210,259		—		(202,184	)		8,075

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged the counterparty. Total additional collateral received was $ 96,231 and total additional collateral pledged was $ 532,288.

AQR Funds Semi-Annual Report June 2019

305

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
BANA	Total Return Basket Swap Contracts	$	1,399,220	$	(163,203	)	$	1,236,017	$	—	$	(180,000	)	$	1,056,017
CITI	Forward Foreign Currency Exchange Contracts		8,233,299		(8,233,299	)		—
	Total Return Swap Contracts		90,364		(90,364	)		—
	Total CITI		8,323,663		(8,323,663	)		—		—		—			—
GSIN	Total Return Basket Swap Contracts		169,188		(169,188	)		—		—		—			—
JPMC	Forward Foreign Currency Exchange Contracts		8,213,987		(8,213,987	)		—
	Total Return Swap Contracts		20,317		(20,317	)		—
	Total Return Basket Swap Contracts		1,936,429		(1,936,429	)		—
	Total JPMC		10,170,733		(10,170,733	)		—		—		—			—
MLIN	Total Return Swap Contracts		133,819		(964	)		132,855		—		(132,855	)		—
MSCS	Total Return Swap Contracts		231,916		(11,946	)		219,970		—		—			219,970
MSIP	Total Return Basket Swap Contracts		1,294		—			1,294		—		—			1,294
Total financial instruments subject to a master netting arrangement or similar arrangement			20,429,833		(18,839,697	)		1,590,136		—		(312,855	)		1,277,281
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	53,156	$	—		$	53,156
	Total Return Basket Swap Contracts		163,203		(163,203	)		—
	Total BANA		216,359		(163,203	)		53,156	$	—	$	(53,156	)	$	—
CITI	Forward Foreign Currency Exchange Contracts		9,308,108		(8,233,299	)		1,074,809
	Total Return Swap Contracts		96,916		(90,364	)		6,552
	Total CITI		9,405,024		(8,323,663	)		1,081,361		—		(1,081,361	)		—
DTBK	Total Return Basket Swap Contracts		4,591,796		—			4,591,796		—		(4,591,796	)		—
GSIN	Total Return Basket Swap Contracts		14,759,123		(169,188	)		14,589,935		—		(14,589,935	)		—
JPMC	Forward Foreign Currency Exchange Contracts		9,308,541		(8,213,987	)		1,094,554
	Total Return Swap Contracts		188,062		(20,317	)		167,745
	Total Return Basket Swap Contracts		34,475,694		(1,936,429	)		32,539,265
	Total JPMC		43,972,297		(10,170,733	)		33,801,564		—		(33,801,564	)		—
MLIN	Total Return Swap Contracts		964		(964	)		—		—		—			—
MSCS	Total Return Swap Contracts		11,946		(11,946	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			72,957,509		(18,839,697	)		54,117,812		—		(54,117,812	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged the counterparty. Total additional collateral received was $ 947,145 and total additional collateral pledged was $ 204,150,417.

AQR Funds Semi-Annual Report June 2019

306

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	95,028	$	(95,028	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		1,015		(1,015	)		—		—		—		—
MLIN	Total Return Swap Contracts		146,063		(146,063	)		—		—		—		—
SOCG	Total Return Swap Contracts		167,492		(167,492	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			409,598		(409,598	)		—		—		—		—

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	314,663	$	(95,028	)	$	219,635	$	—		$	(219,635	)	$	—
GSIN	Total Return Swap Contracts		192,017		(1,015	)		191,002		(191,002	)		—			—
MLIN	Total Return Swap Contracts		409,131		(146,063	)		263,068		—			(263,068	)		—
SOCG	Total Return Swap Contracts		196,501		(167,492	)		29,009		—			(29,009	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,112,312		(409,598	)		702,714		(191,002	)		(511,712	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 5,549,556.

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	1,148,669	$	(1,148,669	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		290,969		(290,969	)		—		—		—		—
MACQ	Total Return Swap Contracts		312,423		(312,423	)		—		—		—		—
SOCG	Total Return Swap Contracts		2,680,129		(1,459,553	)		1,220,576		—		—		1,220,576
Total financial instruments subject to a master netting arrangement or similar arrangement			4,432,190		(3,211,614	)		1,220,576		—		—		1,220,576

AQR Funds Semi-Annual Report June 2019

307

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	2,924,297	$	(1,148,669	)	$	1,775,628	$	—		$	(1,775,628	)	$	—
GSIN	Total Return Swap Contracts		612,845		(290,969	)		321,876		—			(321,876	)		—
MACQ	Total Return Swap Contracts		609,674		(312,423	)		297,251		(297,251	)		—			—
SOCG	Total Return Swap Contracts		1,459,553		(1,459,553	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,606,369		(3,211,614	)		2,394,755		(297,251	)		(2,097,504	)		—

(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 $ 7,175,275.

AQR RISK PARITY II HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	37,096	$	(37,096	)	$	—	$	—	$	—		$	—
GSIN	Total Return Swap Contracts		3,925		—			3,925		—		—			3,925
JPMC	Forward Foreign Currency Exchange Contracts		36,941		(36,941	)		—		—		—			—
MLIN	Total Return Swap Contracts		39,104		(1,566	)		37,538		—		(37,538	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			117,066		(75,603	)		41,463		—		(37,538	)		3,925

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	68,724	$	(37,096	)	$	31,628
	Reverse Repurchase Agreements		2,133,550		—			2,133,550
	Total CITI		2,202,274		(37,096	)		2,165,178	$	(2,154,369	)	$	(10,809	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		68,732		(36,941	)		31,791		—			(31,791	)		—
MLIN	Total Return Swap Contracts		1,566		(1,566	)		—		—			—			—
MPFS	Reverse Repurchase Agreements		2,632,566		—			2,632,566		(2,632,566	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,905,138		(75,603	)		4,829,535		(4,786,935	)		(42,600	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $122,462 and total additional collateral pledged was $ 419,437.

AQR Funds Semi-Annual Report June 2019

308

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR RISK PARITY II MV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
BANA	Total Return Swap Contracts	$	5,772	$	—		$	5,772	$	—	$	—		$	5,772
CITI	Forward Foreign Currency Exchange Contracts		5,447		(5,447	)		—		—		—			—
GSIN	Total Return Swap Contracts		19,870		—			19,870		—		—			19,870
JPMC	Forward Foreign Currency Exchange Contracts		6,070		(6,070	)		—		—		—			—
MLIN	Total Return Swap Contracts		77,207		(1,392	)		75,815		—		(75,815	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			114,366		(12,909	)		101,457		—		(75,815	)		25,642
				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	82,671	$	(5,447	)	$	77,224	$	—	$	(77,224	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		82,682		(6,070	)		76,612		—		(76,612	)		—
MLIN	Total Return Swap Contracts		1,392		(1,392	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			166,745		(12,909	)		153,836		—		(153,836	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 44,185 and total additional collateral pledged was $ 1,107,729.

AQR RISK PARITY II MV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	63,142	$	(2,923	)	$	60,219	$	—	$	—	$	60,219
GSIN	Total Return Swap Contracts		38,772		(13,185	)		25,587		—		—		25,587
MACQ	Total Return Swap Contracts		43,133		(43,133	)		—		—		—		—
SOCG	Total Return Swap Contracts		50,571		(50,571	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			195,618		(109,812	)		85,806		—		—		85,806

AQR Funds Semi-Annual Report June 2019

309

Notes to Financial Statements June 30, 2019 (Unaudited)

AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	2,923	$	(2,923	)	$	—	$	—		$	—	$	—
GSIN	Total Return Swap Contracts		13,185		(13,185	)		—		—			—		—
MACQ	Total Return Swap Contracts		65,702		(43,133	)		22,569		(22,569	)		—		—
SOCG	Total Return Swap Contracts		74,205		(50,571	)		23,634		—			—		23,634
Total financial instruments subject to a master netting arrangement or similar arrangement			156,015		(109,812	)		46,203		(22,569	)		—		23,634

(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 $230,409.

AQR STYLE PREMIA ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	18,823,239	$	(18,823,239	)	$	—
	Total Return Swap Contracts		931,372		(182,282	)		749,090
	Total CITI		19,754,611		(19,005,521	)		749,090	$	—	$	—		$	749,090
GSIN	Total Return Swap Contracts		87,899		—			87,899
	Total Return Basket Swap Contracts		10,010,001		(10,010,001	)		—
	Total GSIN		10,097,900		(10,010,001	)		87,899		—		—			87,899
JPMC	Forward Foreign Currency Exchange Contracts		18,821,389		(18,821,389	)		—
	Total Return Swap Contracts		82,852		—			82,852
	Total JPMC		18,904,241		(18,821,389	)		82,852		—		(82,852	)		—
MLIN	Total Return Swap Contracts		1,875,593		(660,645	)		1,214,948		—		—			1,214,948
MSIP	Total Return Basket Swap Contracts		17,805,692		(17,805,692	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			68,438,037		(66,303,248	)		2,134,789		—		(82,852	)		2,051,937

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Notes to Financial Statements June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	28,950,578	$	(18,823,239	)	$	10,127,339
	Total Return Swap Contracts		182,282		(182,282	)		—
	Total CITI		29,132,860		(19,005,521	)		10,127,339	$	—		$	(10,127,339	)	$	—
GSIN	Total Return Basket Swap Contracts		38,152,575		(10,010,001	)		28,142,574		—			(28,142,574	)		—
JPMC	Forward Foreign Currency Exchange Contracts		28,953,654		(18,821,389	)		10,132,265
	Total Return Basket Swap Contracts		12,118,461		—			12,118,461
	Total JPMC		41,072,115		(18,821,389	)		22,250,726		—			(22,250,726	)		—
MLIN	Total Return Swap Contracts		660,645		(660,645	)		—		—			—			—
MSIP	Total Return Basket Swap Contracts		29,141,133		(17,805,692	)		11,335,441		(11,335,441	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			138,159,328		(66,303,248	)		71,856,080		(11,335,441	)		(60,520,639	)		—

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 1,327,148 and total additional collateral pledged was $548,091,445.

AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	3,097,617	$	(1,577	)	$	3,096,040	$	—	$	—	$	3,096,040
GSIN	Total Return Swap Contracts		1,013,047		—			1,013,047		—		—		1,013,047
MACQ	Total Return Swap Contracts		412,610		(334,004	)		78,606		—		—		78,606
SOCG	Total Return Swap Contracts		809,556		—			809,556		—		—		809,556
Total financial instruments subject to a master netting arrangement or similar arrangement			5,332,830		(335,581	)		4,997,249		—		—		4,997,249

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	1,577	$	(1,577	)	$	—	$	—	$	—	$	—
MACQ	Total Return Swap Contracts		334,004		(334,004	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			335,581		(335,581	)		—		—		—		—

(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 $ 23,944,110.

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Notes to Financial Statements June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	970,719	$	(970,719	)	$	—
	Total Return Swap Contracts		31,340		(5,426	)		25,914
	Total CITI		1,002,059		(976,145	)		25,914	$	—	$	—		$	25,914
GSIN	Total Return Swap Contracts		4,182		—			4,182
	Total Return Basket Swap Contracts		406,991		(406,991	)		—
	Total GSIN		411,173		(406,991	)		4,182		—		—			4,182
JPMC	Forward Foreign Currency Exchange Contracts		970,644		(970,644	)		—		—		—			—
	Total Return Swap Contracts		8,140		—			8,140
	Total JPMC		978,784		(970,644	)		8,140		—		—			8,140
MLIN	Total Return Swap Contracts		1,352		(1,352	)		—		—		—			—
MSCS	Total Return Swap Contracts		73,092		(42,881	)		30,211		—		(30,000	)		211
MSIP	Total Return Basket Swap Contracts		203,229		—			203,229		—		—			203,229
Total financial instruments subject to a master netting arrangement or similar arrangement			2,669,689		(2,398,013	)		271,676		—		(30,000	)		241,676

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	1,603,305	$	(970,719	)	$	632,586
	Total Return Swap Contracts		5,426		(5,426	)		—
	Total CITI		1,608,731		(976,145	)		632,586	$	—		$	(632,586	)	$	—
GSIN	Total Return Basket Swap Contracts		3,334,628		(406,991	)		2,927,637		(2,927,637	)		—			—
JPMC	Forward Foreign Currency Exchange Contracts		1,603,429		(970,644	)		632,785					(632,785	)		—
MLIN	Total Return Swap Contracts		15,838		(1,352	)		14,486		—			—			14,486
MSCS	Total Return Swap Contracts		42,881		(42,881	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,605,507		(2,398,013	)		4,207,494		(2,927,637	)		(1,265,371	)		14,486

(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 $ 34,417,470.

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Notes to Financial Statements June 30, 2019 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET		NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	152,348	$	—	$	152,348	$	—	$	—	$	152,348
GSIN	Total Return Swap Contracts		57,252		—		57,252		—		—		57,252
MACQ	Total Return Swap Contracts		55,167		—		55,167		—		—		55,167
Total financial instruments subject to a master netting arrangement or similar arrangement			264,767		—		264,767		—		—		264,767

(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 $ 1,061,423.

For the period ended June 30, 2019, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR ALTERNATIVE RISK PREMIA FUND		AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG-SHORT EQUITY FUND
Futures Contracts:
Average Notional Balance—Long	$	798,351,348	$	—	$	—	$	60,490,041	$	881,096,654
Average Notional Balance—Short		385,319,533		133,780,011		—		61,843,861		1,576,554
Ending Notional Balance—Long		885,397,491		—		—		48,694,131		825,952,634
Ending Notional Balance—Short		380,445,214		125,522,454		—		46,724,821		—
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		263,746,576		2,119,282		29,656,395		61,249,715		486,838,398
Average Settlement Value—Sold		357,401,766		8,077,214		107,627,803		62,795,978		181,957,764
Ending Value—Purchased		286,329,019		4,111,678		39,812,018		43,933,924		336,815,262
Ending Value—Sold		350,805,258		8,806,039		89,121,284		42,680,576		122,363,566
Exchange—Traded Options:
Average Number of Contracts—Written		1,218		—		—		—		—
Ending Number of Contracts—Written		1,084		—		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		16,866,667		—		—		—
Average Notional Balance—Sell Protection		—		—		—		—		—
Ending Notional Balance—Buy Protection		—		12,900,000		—		—		—
Ending Notional Balance—Sell Protection		—		—		—		—		—
Total Return Swaps:
Average Notional Balance—Long		26,019,621		—		—		3,900,892		112,799,071
Average Notional Balance—Short		4,271,606		—		—		3,915,638		—
Ending Notional Balance—Long		27,680,173		—		—		4,360,531		98,980,506
Ending Notional Balance—Short		4,325,941		—		—		2,900,282		—
Interest Rate—Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		—		162,862,984		—
Average Notional Balance—Receives Fixed rate		—		—		—		246,847,455		—
Ending Notional Balance—Pays Fixed Rate		—		—		—		158,350,874		—
Ending Notional Balance—Receives Fixed Rate		—		—		—		194,896,730		—

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Notes to Financial Statements June 30, 2019 (Unaudited)

	AQR ALTERNATIVE RISK PREMIA FUND		AQR DIVERSIFIED ARBITRAGE FUND		AQR EQUITY MARKET NEUTRAL FUND		AQR GLOBAL MACRO FUND		AQR LONG-SHORT EQUITY FUND
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long	$	—	$	169,538,827	$	1,150,336,326	$	—	$	2,184,820,054
Average Notional of Underlying Positions—Short		—		48,703,869		1,095,775,216		—		2,214,010,485
Ending Notional Balance—Long		—		158,274,739		716,176,758		—		1,978,855,002
Ending Notional Balance—Short		—		46,170,244		685,179,533		—		1,955,425,228

	AQR MULTI- ASSET FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND		AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND
Futures Contracts:
Average Notional Balance—Long	$	414,951,406	$	3,755,519,401	$	509,948,856	$	85,696,972	$	182,924,652
Average Notional Balance—Short		22,585,617		1,403,160,356		163,269,350		1,732,437		3,095,288
Ending Notional Balance—Long		380,921,964		1,767,773,780		481,069,913		92,677,486		222,175,915
Ending Notional Balance—Short		28,186,852		762,546,972		150,651,243		1,438,073		3,877,546
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		174,011,536		1,265,964,774		—		8,983,146		3,480,576
Average Settlement Value—Sold		191,191,963		1,517,405,164		—		15,969,003		19,301,932
Ending Value—Purchased		163,243,497		1,068,330,341		—		8,025,292		1,337,523
Ending Value—Sold		176,753,724		1,078,075,513		—		15,677,811		19,659,520
Exchange—Traded Options:
Average Number of Contracts—Written		—		700		—		—		—
Ending Number of Contracts—Written		—		449		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		137,469,993		—		—		—
Average Notional Balance—Sell Protection		200,780,016		20,889,258		—		—		—
Ending Notional Balance—Buy Protection		—		42,700,474		—		—		—
Ending Notional Balance — Sell Protection		—		29,608,956		—		—		—
Total Return Swaps:
Average Notional Balance—Long		21,436,219		50,484,275		132,884,123		4,090,017		11,943,568
Average Notional Balance—Short		8,290,451		75,185,103		64,279,399		3,230,915		2,059,747
Ending Notional Balance—Long		14,079,054		41,726,952		103,089,368		3,506,968		12,420,572
Ending Notional Balance—Short		5,194,646		21,431,377		36,997,240		—		1,405,730
Interest Rate—Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		117,782,530		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		2,175,606,043		—		—		—
Average Notional of Underlying Positions—Short		—		1,747,758,710		—		—		—
Ending Notional Balance—Long		—		1,444,378,256		—		—		—
Ending Notional Balance—Short		—		1,200,801,279		—		—		—

	AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND		AQR VOLATILITY RISK PREMIUM FUND
Futures Contracts:
Average Notional Balance—Long	$	26,301,350,049	$	1,615,913,866	$	2,238,941
Average Notional Balance—Short		15,627,334,980		895,804,821		1,459,512
Ending Notional Balance—Long		25,829,029,391		1,419,819,791		1,549,410
Ending Notional Balance—Short		15,388,154,066		830,444,989		496,721

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Notes to Financial Statements June 30, 2019 (Unaudited)

	AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND		AQR VOLATILITY RISK PREMIUM FUND
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased	$	2,811,105,732	$	142,227,275	$	—
Average Settlement Value—Sold		3,486,475,180		189,602,080		—
Ending Value—Purchased		3,022,359,093		138,443,995		—
Ending Value—Sold		3,422,367,347		175,980,998		—
Exchange—Traded Options:
Average Number of Contracts—Written		—		—		122
Ending Number of Contracts—Written		—		—		122
Total Return Swaps:
Average Notional Balance—Long		483,441,010		29,018,739		—
Average Notional Balance—Short		100,658,047		4,585,999		—
Ending Notional Balance—Long		544,330,415		27,822,164		—
Ending Notional Balance—Short		152,242,100		7,303,978		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		3,047,819,200		198,294,814		—
Average Notional of Underlying Positions—Short		2,854,373,243		170,835,142		—
Ending Notional Balance—Long		3,192,040,127		174,600,113		—
Ending Notional Balance—Short		3,186,208,230		159,956,232		—

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds, pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017, as amended (the “Investment Management Agreement”), or the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”), each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makesday-to-day investment decisions for each Fund, and manages each Fund’s investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Alternative Risk Premia Fund		1.20	%
AQR Diversified Arbitrage Fund		1.00
AQR Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Multi-Asset Fund		0.75	(a)
AQR Multi-Strategy Alternative Fund		1.75	(d)
AQR Risk-Balanced Commodities Strategy Fund		0.80
AQR Risk Parity II HV Fund		0.95	(b)
AQR Risk Parity II MV Fund		0.75	(c)
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65
AQR Volatility Risk Premium Fund		0.55

(a) The AQR Multi-Asset Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

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Notes to Financial Statements June 30, 2019 (Unaudited)

(c) The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

(d) Effective May 1, 2019, the AQR Multi-Strategy Alternative Fund Advisory Fee was reduced from 1.80% to 1.75%.

The Trust and the Adviser have entered into an agreement (the “Expense Limitation Agreement”) whereby the Adviser has agreed to reimburse operating expenses of each Fund at least through April 30, 2020 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Expense Limitation Agreement, the Adviser has agreed to reimburse each Fund in an amount sufficient to limit all Fund operating expenses other than management fees and 12b-1 fees, 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:

FUND	CLASS I			CLASS N			CLASS R6
AQR Alternative Risk Premia Fund		0.20	%		0.20	%		0.10	%
AQR Diversified Arbitrage Fund		0.20			0.20			0.10
AQR Equity Market Neutral		0.20			0.20			0.10
AQR Global Macro Fund		0.20			0.20			0.10
AQR Long-Short Equity Fund		0.20			0.20			0.10
AQR Multi-Asset Fund		0.20			0.20			0.10
AQR Multi-Strategy Alternative Fund		0.20			0.20			0.10
AQR Risk-Balanced Commodities Strategy Fund		0.20			0.20			0.10
AQR Risk Parity II HV Fund		0.20			0.20			0.10
AQR Risk Parity II MV Fund		0.20			0.20			0.10
AQR Style Premia Alternative Fund		0.20			0.20			0.10
AQR Style Premia Alternative LV Fund		0.20			0.20			0.10
AQR Volatility Risk Premium Fund		0.20			0.20			0.10

Prior to May 1, 2019, pursuant to the Expense Limitation Agreement, the Adviser agreed to waive fees and/or reimburse expenses of each Fund to the extent that the total annual fund operating expense ratios, 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, exceeded the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Alternative Risk Premia Fund		1.40	%		1.65	%		1.30	%
AQR Diversified Arbitrage Fund		1.20			1.45			1.10
AQR Equity Market Neutral Fund		1.30			1.55			1.20
AQR Global Macro Fund		1.45			1.70			1.35
AQR Long-Short Equity Fund		1.30			1.55			1.20
AQR Multi-Asset Fund		0.95			1.20			0.85
AQR Multi-Strategy Alternatives Fund		1.98			2.23			1.88
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25			0.90
AQR Risk Parity II HV Fund		1.15			1.40			1.05
AQR Risk Parity II MV Fund		0.95			1.20			0.85
AQR Style Premia Alternative Fund		1.50			1.75			1.40
AQR Style Premia Alternative LV Fund		0.85			1.10			0.75
AQR Volatility Risk Premium Fund		0.75			1.00			0.65

For the period ended June 30, 2019 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Alternative Risk Premia Fund	$	35,162	$	37,703	$	72,865
AQR Diversified Arbitrage Fund		100,260		65,734		165,994
AQR Equity Market Neutral Fund		—		54,466		54,466
AQR Global Macro Fund		69,001		38,550		107,551
AQR Long-Short Equity Fund		—		15,081		15,081
AQR Multi-Asset Fund		75,712		42,001		117,713
AQR Multi-Strategy Alternative Fund		68,904		70,861		139,765
AQR Risk-Balanced Commodities Strategy Fund		58,661		42,002		100,663
AQR Risk Parity II HV Fund		71,679		37,537		109,216
AQR Risk Parity II MV Fund		57,975		30,251		88,226
AQR Style Premia Alternative Fund		242,684		219,394		462,078
AQR Style Premia Alternative LV Fund		44,274		41,584		85,858
AQR Volatility Risk Premium Fund		20,791		98,020		118,811

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Notes to Financial Statements June 30, 2019 (Unaudited)

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Expense Limitation Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and/or expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the total annual operating expenses or the other operating expenses, as applicable, attributable to a share class of the Fund during a year in which such repayment is made to exceed either of (i) the applicable limits in effect at the time of the waiver and/or reimbursement and (ii) the applicable limits in effect at the time of recapture.

For the period ended June 30, 2019, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2019 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2019		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2019		POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30
					2019		2020		2021		2022
AQR ALTERNATIVE RISK PREMIA FUND
Class I	$	50,815	$	170,639	$	—	$	20,548	$	99,276	$	50,815
Class N		2,315		12,974		—		6,655		4,004		2,315
Class R6		19,735		145,282		—		65,173		60,374		19,735
Totals	$	72,865	$	328,895	$	—	$	92,376	$	163,654	$	72,865
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	137,470	$	655,144	$	138,324	$	213,571	$	165,779	$	137,470
Class N		23,213		151,955		37,828		54,260		36,654		23,213
Class R6		5,311		16,481		1,413		3,781		5,976		5,311
Totals	$	165,994	$	823,580	$	177,565	$	271,612	$	208,409	$	165,994
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	42,632	$	42,632	$	—	$	—	$	—	$	42,632
Class N		5,733		5,733		—		—		—		5,733
Class R6		6,101		6,101		—		—		—		6,101
Totals	$	54,466	$	54,466	$	—	$	—	$	—	$	54,466
AQR GLOBAL MACRO FUND
Class I	$	59,607	$	365,610	$	79,729	$	144,297	$	81,977	$	59,607
Class N		10,954		85,626		12,911		26,003		35,758		10,954
Class R6		36,990		210,571		15,884		76,279		81,418		36,990
Totals	$	107,551	$	661,807	$	108,524	$	246,579	$	199,153	$	107,551
AQR LONG-SHORT EQUITY FUND
Class I	$	13,353	$	13,353	$	—	$	—	$	—	$	13,353
Class N		683		683		—		—		—		683
Class R6		1,045		1,045		—		—		—		1,045
Totals	$	15,081	$	15,081	$	—	$	—	$	—	$	15,081
AQR MULTI-ASSET FUND
Class I	$	107,487	$	238,061	$	37,888	$	54,202	$	38,484	$	107,487
Class N		7,187		13,281		1,870		2,300		1,924		7,187
Class R6		3,039		11,016		—		4,061		3,916		3,039
Totals	$	117,713	$	262,358	$	39,758	$	60,563	$	44,324	$	117,713
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	86,702	$	86,702	$	—	$	—	$	—	$	86,702
Class N		12,740		12,740		—		—		—		12,740
Class R6		40,323		40,323		—		—		—		40,323
Totals	$	139,765	$	139,765	$	—	$	—	$	—	$	139,765

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317

Notes to Financial Statements June 30, 2019 (Unaudited)

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2019		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2019		POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30
					2019		2020		2021		2022
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	42,797	$	152,031	$	30,804	$	52,799	$	25,631	$	42,797
Class N		6,069		16,770		1,871		4,376		4,454		6,069
Class R6		51,797		190,916		35,255		66,920		36,944		51,797
Totals	$	100,663	$	359,717	$	67,930	$	124,095	$	67,029	$	100,663
AQR RISK PARITY II HV FUND
Class I	$	89,584	$	482,884	$	97,632	$	150,621	$	145,047	$	89,584
Class N		16,334		89,087		11,587		25,119		36,047		16,334
Class R6		3,298		21,517		5,110		9,242		3,867		3,298
Totals	$	109,216	$	593,488	$	114,329	$	184,982	$	184,961	$	109,216
AQR RISK PARITY II MV FUND
Class I	$	84,996	$	504,163	$	100,242	$	168,303	$	150,622	$	84,996
Class N		2,501		24,400		7,401		9,047		5,451		2,501
Class R6		729		4,276		738		1,371		1,438		729
Totals	$	88,226	$	532,839	$	108,381	$	178,721	$	157,511	$	88,226
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	253,901	$	1,269,422	$	430,822	$	356,732	$	227,967	$	253,901
Class N		11,520		86,327		38,219		26,199		10,389		11,520
Class R6		196,657		785,630		237,324		205,149		146,500		196,657
Totals	$	462,078	$	2,141,379	$	706,365	$	588,080	$	384,856	$	462,078
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	69,799	$	177,114	$	50,250	$	49,831	$	7,234	$	69,799
Class N		3,640		18,323		7,638		6,665		380		3,640
Class R6		12,419		44,707		15,061		16,768		459		12,419
Totals	$	85,858	$	240,144	$	72,949	$	73,264	$	8,073	$	85,858
AQR VOLATILITY RISK PREMIUM FUND
Class I	$	14,036	$	24,148	$	—	$	—	$	10,112	$	14,036
Class N		10,315		20,032		—		—		9,717		10,315
Class R6		94,460		182,039		—		—		87,579		94,460
Totals	$	118,811	$	226,219	$	—	$	—	$	107,408	$	118,811

Pursuant to theSub-Advisory Agreements between theSub-Adviser, the Adviser and the Trust, the Adviser will pay theSub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.

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

With the exception of AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, and AQR Long- Short Equity Fund, the Funds are non-diversified. Because the Funds may invest in securities of a smaller number of issuers, the Funds may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Funds’ performance.

AQR Funds Semi-Annual Report June 2019

318

Notes to Financial Statements June 30, 2019 (Unaudited)

The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

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. 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.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Funds may lose money ifshort-term orlong-term interest rates rise sharply or otherwise change in a manner not anticipated. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Funds portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the Fund’s assets, the Fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

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 andnon-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 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 investmentslong-term orshort-term are subject to risk of loss.

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio 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

AQR Funds Semi-Annual Report June 2019

319

Notes to Financial Statements June 30, 2019 (Unaudited)

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.

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.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Funds to potential risks. Such models may produce unexpected results, which can result in losses for the Funds.

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.

Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the Funds.

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 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.

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Notes to Financial Statements June 30, 2019 (Unaudited)

During the reporting period, average loans made to another Fund under the Interfund Lending Program were as follows:

FUND	AVERAGE LOANS		NUMBER OF DAYS OUTSTANDING		INTEREST RECEIVED
AQR Long-Short Equity Fund	$	780,000		3	$	162

Interest expense earned, if any, as a result of lending under this agreement is included in Interfund lending income in the Statements of Operations.

13. Line of Credit

Effective March 22, 2019 and terminating on March 20, 2020, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full.

There were no open borrowings as of June 30, 2019 by any of the Funds in the Trust. The Funds did not have any borrowings for the period ended June 30, 2019.

14. Principal Ownership

As of June 30, 2019, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Alternative Risk Premia Fund		3		83.04	%
AQR Diversified Arbitrage Fund		5		85.51	%
AQR Equity Market Neutral Fund		7		76.16	%
AQR Global Macro Fund*		9		96.89	%
AQR Multi-Asset Fund		4		82.59	%
AQR Multi-Strategy Alternative Fund		4		78.21	%
AQR Risk-Balanced Commodities Strategy Fund		5		95.50	%
AQR Risk Parity II HV Fund		5		90.09	%
AQR Risk Parity II MV Fund		2		81.71	%
AQR Style Premia Alternative Fund		3		70.35	%
AQR Style Premia Alternative LV Fund		6		95.53	%
AQR Volatility Risk Premium Fund*		3		94.14	%

* The percentage held by the Adviser and/or affiliates is 40.49% and 94.14% respectively.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

15. New Accounting Pronouncements and Regulations

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update No.2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management has determined that the adoption of ASU2017-08 did not have a material impact on the financial statements.

16. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events.

AQR Funds Semi-Annual Report June 2019

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Fund Expense Examples

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/19” to estimate the expenses you paid on your account during this period. 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.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/19		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/19
AQR Alternative Risk Premia Fund
Class I
Actual Expenses		$1,000.00		$1,004.30		3.65	%		$18.14
Hypothetical Return		$1,000.00		$1,006.69		3.65	%		$18.16
Class N
Actual Return		$1,000.00		$1,003.30		3.90	%		$19.37
Hypothetical Return		$1,000.00		$1,005.45		3.90	%		$19.39
Class R6
Actual Return		$1,000.00		$1,004.30		3.55	%		$17.64
Hypothetical Return		$1,000.00		$1,007.19		3.55	%		$17.67
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,056.00		1.88	%		$9.58
Hypothetical Return		$1,000.00		$1,015.47		1.88	%		$9.39
Class N
Actual Return		$1,000.00		$1,054.80		2.12	%		$10.80
Hypothetical Return		$1,000.00		$1,014.28		2.12	%		$10.59
Class R6
Actual Return		$1,000.00		$1,056.10		1.78	%		$9.07
Hypothetical Return		$1,000.00		$1,015.97		1.78	%		$8.90

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Fund Expense Examples

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/19		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/19
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$915.40		2.33	%		$11.07
Hypothetical Return		$1,000.00		$1,013.24		2.33	%		$11.63
Class N
Actual Return		$1,000.00		$914.00		2.61	%		$12.39
Hypothetical Return		$1,000.00		$1,011.85		2.61	%		$13.02
Class R6
Actual Return		$1,000.00		$915.50		2.26	%		$10.73
Hypothetical Return		$1,000.00		$1,013.59		2.26	%		$11.28
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$1,033.00		1.46	%		$7.36
Hypothetical Return		$1,000.00		$1,017.55		1.46	%		$7.30
Class N
Actual Return		$1,000.00		$1,032.30		1.70	%		$8.57
Hypothetical Return		$1,000.00		$1,016.36		1.70	%		$8.50
Class R6
Actual Return		$1,000.00		$1,034.10		1.36	%		$6.86
Hypothetical Return		$1,000.00		$1,018.05		1.36	%		$6.81
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$986.30		2.02	%		$9.95
Hypothetical Return		$1,000.00		$1,014.78		2.02	%		$10.09
Class N
Actual Return		$1,000.00		$985.20		2.28	%		$11.22
Hypothetical Return		$1,000.00		$1,013.49		2.28	%		$11.38
Class R6
Actual Return		$1,000.00		$987.20		1.95	%		$9.61
Hypothetical Return		$1,000.00		$1,015.12		1.95	%		$9.74
AQR Multi-Asset Fund
Class I
Actual Return		$1,000.00		$1,139.80		1.48	%		$7.85
Hypothetical Return		$1,000.00		$1,017.46		1.48	%		$7.40
Class N
Actual Return		$1,000.00		$1,137.80		1.75	%		$9.28
Hypothetical Return		$1,000.00		$1,016.12		1.75	%		$8.75
Class R6
Actual Return		$1,000.00		$1,139.80		1.40	%		$7.43
Hypothetical Return		$1,000.00		$1,017.85		1.40	%		$7.00
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$939.80		2.52	%		$12.12
Hypothetical Return		$1,000.00		$1,012.30		2.52	%		$12.57
Class N
Actual Return		$1,000.00		$939.30		2.78	%		$13.37
Hypothetical Return		$1,000.00		$1,011.01		2.78	%		$13.86
Class R6
Actual Return		$1,000.00		$939.90		2.43	%		$11.69
Hypothetical Return		$1,000.00		$1,012.74		2.43	%		$12.13

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Fund Expense Examples

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/19		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/19
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$1,060.20		0.99	%		$5.06
Hypothetical Return		$1,000.00		$1,019.89		0.99	%		$4.96
Class N
Actual Return		$1,000.00		$1,059.10		1.24	%		$6.33
Hypothetical Return		$1,000.00		$1,018.65		1.24	%		$6.21
Class R6
Actual Return		$1,000.00		$1,061.80		0.90	%		$4.60
Hypothetical Return		$1,000.00		$1,020.33		0.90	%		$4.51
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$1,229.80		1.72	%		$9.51
Hypothetical Return		$1,000.00		$1,016.27		1.72	%		$8.60
Class N
Actual Return		$1,000.00		$1,228.10		2.01	%		$11.10
Hypothetical Return		$1,000.00		$1,014.83		2.01	%		$10.04
Class R6
Actual Return		$1,000.00		$1,229.80		1.65	%		$9.12
Hypothetical Return		$1,000.00		$1,016.61		1.65	%		$8.25
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$1,152.70		0.95	%		$5.07
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class N
Actual Return		$1,000.00		$1,151.20		1.20	%		$6.40
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class R6
Actual Return		$1,000.00		$1,153.80		0.85	%		$4.54
Hypothetical Return		$1,000.00		$1,020.58		0.85	%		$4.26
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$946.80		2.41	%		$11.63
Hypothetical Return		$1,000.00		$1,012.84		2.41	%		$12.03
Class N
Actual Return		$1,000.00		$946.70		2.68	%		$12.94
Hypothetical Return		$1,000.00		$1,011.50		2.68	%		$13.37
Class R6
Actual Return		$1,000.00		$948.00		2.33	%		$11.25
Hypothetical Return		$1,000.00		$1,013.24		2.33	%		$11.63
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$980.00		1.30	%		$6.38
Hypothetical Return		$1,000.00		$1,018.35		1.30	%		$6.51
Class N
Actual Return		$1,000.00		$978.90		1.58	%		$7.75
Hypothetical Return		$1,000.00		$1,016.96		1.58	%		$7.90
Class R6
Actual Return		$1,000.00		$981.00		1.23	%		$6.04
Hypothetical Return		$1,000.00		$1,018.70		1.23	%		$6.16

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Fund Expense Examples

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/19		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/19
AQR Volatility Risk Premium Fund
Class I
Actual Return		$1,000.00		$1,074.40		0.68	%		$3.50
Hypothetical Return		$1,000.00		$1,021.42		0.68	%		$3.41
Class N
Actual Return		$1,000.00		$1,072.30		0.95	%		$4.88
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class R6
Actual Return		$1,000.00		$1,074.40		0.65	%		$3.34
Hypothetical Return		$1,000.00		$1,021.57		0.65	%		$3.26

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

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Board Approval of Investment Advisory Agreements

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on May 9, 2019 to consider the continuation of the: (i) Third Amended and Restated Investment Management Agreement, as amended, between AQR Capital Management, LLC (“AQR”) and the AQR Funds on behalf of the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Multi-Asset Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund and certain other AQR Funds; (ii) Investment Management Agreement II, as amended, between AQR and the AQR Funds on behalf of the AQR Alternative Risk Premia Fund and certain other AQR Funds; and (iii) the Second Amended and Restated InvestmentSub-Advisory Agreement between AQR and CNH Partners, LLC (“CNH” or the“Sub-Adviser”) on behalf of the AQR Diversified Arbitrage Fund and the InvestmentSub-Advisory Agreement between AQR and theSub-Adviser for the AQR Multi-Strategy Alternative Fund (collectively, the“Sub-Advisory Agreements”).

Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” The Investment Management Agreement (including the Amendment), the Investment Management Agreement II and theSub-Advisory Agreements are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on April 29, 2019 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with thein-person meeting held on May 9, 2019, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Management Agreement; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Funds’ fees and expenses and performance relative to peers; (v) financial information for AQR and a profitability analysis showing the profitability of AQR and CNH from providing services to the Funds; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable.

At thein-person meeting held on May 9, 2019, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additionalone-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided and profits realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale;(e) fall-out benefits; and (f) other factors.

The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provided to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides risk management, provides compliance oversight, oversees third party service providers and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board recognized that AQR’s oversight of CNH was extensive, including portfolio risk monitoring, compliance testing, trade monitoring and execution, liquidity risk management, and negotiation of agreements with derivative counterparties. The Board Members recognized the enterprise risk of AQR and CNH involved in providing services to the Funds over time.

Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at

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Board Approval of Investment Advisory Agreements

the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Funds by AQR and, as applicable, CNH pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that in some cases Fund performance was challenged over certain measurement periods in comparison to Morningstar peers or benchmarks. The Board considered that Morningstar comparisons may be of limited use in some cases due to the differences between the way in which a Fund is managed from other funds in the Morningstar category and peer group. In other cases, underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, model limits on exposure to a particular country, and the Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers or benchmark. The Board noted the underperformance of several Funds as compared to their benchmark and Morningstar category during theone-year, and in some cases, longer time periods, which had been discussed with AQR at regular Board meetings during the year. AQR’s presentations to the Board at such regular Board meetings, which addressed in detail the drivers of underperformance, supported a conclusion that the Funds were being managed consistent with their stated policies and strategies. The Board also noted significant redemptions from certain Funds over the prior year due to underperformance. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is consistent with its stated objectives and strategies and the Adviser’s investment process.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors.

To assist in this analysis, the Board received a report independently prepared by Broadridge (the “Broadridge Report”). The Broadridge Report showed comparative fee information for each Fund’s respective Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Board reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, includingsub-advised mutual funds, with similar investment strategies to certain of the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when itsub-advises third party mutual funds or advises separate accounts or hedge funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities and the profitability of CNH with respect to itssub-advisory services for two of the Funds. The Adviser provided the Board Members with a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s and CNH’s profitability were not excessive.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for each Fund at higher asset levels compared to its peers, some of which have breakpoints. At the request of the Independent Trustees, additional information was provided highlighting a Fund’s management fee relative to its category and peer group for the AQR Multi-Strategy Alternative Fund as of December 31, 2018. The Board considered this information in determining the reasonableness of continuing to operate each Fund (other than the AQR Multi-Asset Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund) without management fee breakpoints at the Fund’s current AUM level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, none of the Funds, except for the AQR Multi-Asset Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Funds in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods. AQR also discussed that it currently intends to rely on Rule30e-3 under the 1940 Act to potentially reduce charges related to printing and mailing costs for shareholder reports.

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Board Approval of Investment Advisory Agreements

Other Factors. The Board also took into account other ancillary or“fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, including thesub-advisory fees paid to CNH, noting that no payments are received by the Adviser from the Funds beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such as unregistered fund investments, separately managed account opportunities orsub-advisory mandates. The Adviser may also obtain reputational benefits. The Adviser may also obtain economic benefit from its sponsorship/management of both the Funds and other funds or accounts with respect to the potential economic leverage of its service provider relationships. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

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328

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling1-866-290-2688 or visiting the funds websitehttps://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 calling1-800-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

Semi-Annual Report

June 30, 2019 (Unaudited)

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling(866) 290-2688.

You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.

Table of Contents

Consolidated Schedule of Investments
AQR Managed Futures Strategy Fund	2
AQR Managed Futures Strategy HV Fund	18
Consolidated Financial Statements and Notes	32
Fund Expense Examples	55
Board Approval of Investment Advisory Agreements	56

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 95.8%
INVESTMENT COMPANIES - 14.0%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(a)(b)		163,852,459	$	163,852,459
Limited Purpose Cash Investment Fund, 2.36% (1)(a)(c)		546,338,264		546,447,532
UBS Select Treasury Preferred Fund, Class I, 2.23% (1)(a)		69,763,661		69,763,661
TOTAL INVESTMENT COMPANIES (Cost $779,898,605)				780,063,652
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 81.8%
U.S. Treasury Bills
2.46%, 7/5/2019 (d)(e)	$	500,000,000		499,891,655
2.42%, 7/18/2019 (e)		75,000,000		74,927,351
2.42%, 7/25/2019 (e)		75,000,000		74,902,500
2.48%, 8/1/2019 (d)(e)		195,709,000		195,370,261
2.47%, 8/8/2019 (e)		155,000,000		154,662,757
2.45%, 8/15/2019 (e)		125,000,000		124,673,046
2.49%, 8/22/2019 (d)(e)		212,274,000		211,630,409
2.49%, 8/29/2019 (d)(e)		399,980,000		398,603,401
2.49%, 9/5/2019 (d)(e)		422,009,000		420,390,068
2.48%, 9/12/2019 (d)(e)		453,945,000		452,046,470
2.48%, 9/19/2019 (d)(e)		381,904,000		380,140,734

	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 81.8% (continued)
2.44%, 9/26/2019 (e)(f)	$	252,852,000	$	251,584,053
2.41%, 10/3/2019 (e)(f)		384,546,000		382,444,937
2.42%, 10/10/2019 (e)(f)		139,028,000		138,210,843
2.42%, 10/17/2019 (d)(e)		31,609,000		31,414,842
2.43%, 10/24/2019 (d)(e)		258,345,000		256,703,747
2.42%, 10/31/2019 (e)(f)		57,591,000		57,196,270
2.37%, 11/21/2019 (e)(f)		44,557,000		44,192,400
2.14%, 11/29/2019 (d)(e)		76,151,000		75,491,416
2.28%, 12/5/2019 (d)(e)		2,387,000		2,366,050
2.16%, 12/12/2019 (e)(f)		236,174,000		233,983,191
2.15%, 12/19/2019 (e)(f)		86,379,000		85,541,474
TOTAL U.S. TREASURY OBLIGATIONS(Cost $4,543,597,591)				4,546,367,875
TOTALSHORT-TERM INVESTMENTS(Cost $5,323,496,196)				5,326,431,527
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.8%(Cost $5,323,496,196)				5,326,431,527
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2% (g)				235,164,377
NET ASSETS - 100.0%			$	5,561,595,904

(a) Represents 7-day effective yield as of June 30, 2019.

(b) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(c) For the period ended June 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows:

AFFILIATE

SHARES HELD AT 12/31/18

SHARES PURCHASED

SHARES SOLD

SHARES HELD AT 06/30/19

VALUE AT 06/30/19

DIVIDEND INCOME

NET REALIZED GAIN (LOSS)

NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)

Other Affiliates:

SHORT-TERM INVESTMENTS - 9.8%

INVESTMENT COMPANIES - 9.8%

Limited Purpose Cash Investment Fund, 2.36% (a) (Cost $546,282,485)

548,985,680

4,964,017,243

(4,966,664,659)

546,338,264

$546,447,532

$6,050,457

$44,414

$99,508

(a) Represents 7-day effective yield as of June 30, 2019.

(d) All or a portion of the security pledged as collateral for futures contracts.

(e) The rate shown was the effective yield at the date of purchase.

(f) All or a portion of the security pledged as collateral for swap and futures contracts.

(g) Includes appreciation/(depreciation) on forward foreign currency exchange, futures contracts 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).

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

2

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Total return swap contracts outstanding as of June 30, 2019:

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)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/09/2019

USD

15,309,319

$547,744

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/09/2019

USD

25,406,081

1,681,914

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/09/2019

USD

41,044

989

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(57,107,638

)

1,071,309

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/08/2019

USD

1,420,720

13,525

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MSCS

08/14/2019

BRL

121,376,150

542,084

KC HRW Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/23/2019

USD

(46,150

)

1,508

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/02/2019

USD

(4,591,400

)

123,650

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/02/2019

USD

(1,961,780

)

67,180

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/02/2019

USD

(46,414,880

)

1,630,658

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

35,904,700

386,231

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(107,880,890

)

554,005

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

4,324,500

86,985

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

3

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

18,532,838

$ 618,370

7,326,152

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MLIN

08/09/2019

USD

(9,111,713

)

(624,791

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/09/2019

USD

(11,410,163

)

(751,434

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/09/2019

USD

(15,309,319

)

(1,044,705

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/09/2019

USD

(18,674,906

)

(1,293,176

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/09/2019

USD

(25,406,081

)

(1,673,445

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

57,107,638

(1,294,594

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/08/2019

USD

(4,691,680

)

(34,757

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/08/2019

USD

(2,345,840

)

(18,646

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/08/2019

USD

(7,235,760

)

(69,960

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/02/2019

USD

1,961,780

(65,672

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

46,414,880

(1,641,803

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

4,591,400

(161,594

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

4

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/25/2019

USD

(88,192,650

)

$(3,870,730

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/25/2019

USD

(80,254,850

)

(3,571,037

)

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/22/2019

USD

(936,410

)

(7,627

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

60,672,910

(469,793

)

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(26,483,238

)

(659,353

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MSCS

09/20/2019

CHF

72,222,490

(264,062

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

33,032,213

(173,591

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(18,532,838

)

(280,167

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(33,032,213

)

(275,179

)

(18,246,116

)

$(10,919,964

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		205		7/2019	EUR		$26,151,172		$83,333
CAC 40 10 Euro Index		4,962		7/2019	EUR		312,187,895		2,267,842
IBEX 35 Index		131		7/2019	EUR		13,664,109		34,409
LME Aluminum Base Metal		2		7/2019	USD		89,048		(4,058	)
LME Aluminum Base Metal		11		7/2019	USD		489,825		(24,177	)
LME Aluminum Base Metal		11		7/2019	USD		490,001		(23,457	)
LME Aluminum Base Metal		14		7/2019	USD		623,189		(32,945	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

5

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		15		7/2019	USD		$ 668,265		$ (31,811	)
LME Aluminum Base Metal		19		7/2019	USD		845,856		(44,857	)
LME Aluminum Base Metal		24		7/2019	USD		1,067,550		(66,928	)
LME Aluminum Base Metal		29		7/2019	USD		1,290,732		(73,665	)
LME Aluminum Base Metal		30		7/2019	USD		1,339,583		(50,444	)
LME Aluminum Base Metal		30		7/2019	USD		1,339,223		(62,804	)
LME Aluminum Base Metal		32		7/2019	USD		1,428,112		(70,742	)
LME Aluminum Base Metal		34		7/2019	USD		1,519,418		(38,733	)
LME Aluminum Base Metal		37		7/2019	USD		1,650,811		(90,149	)
LME Aluminum Base Metal		43		7/2019	USD		1,922,143		(30,829	)
LME Aluminum Base Metal		52		7/2019	USD		2,316,925		(85,953	)
LME Aluminum Base Metal		52		7/2019	USD		2,316,925		(112,928	)
LME Aluminum Base Metal		71		7/2019	USD		3,158,932		(201,909	)
LME Copper Base Metal		1		7/2019	USD		149,741		(11,268	)
LME Copper Base Metal		2		7/2019	USD		299,440		(23,741	)
LME Copper Base Metal		3		7/2019	USD		449,348		(32,524	)
LME Copper Base Metal		4		7/2019	USD		599,050		(47,162	)
LME Copper Base Metal		4		7/2019	USD		598,710		(47,527	)
LME Copper Base Metal		6		7/2019	USD		897,683		(70,023	)
LME Copper Base Metal		8		7/2019	USD		1,196,570		(100,004	)
LME Copper Base Metal		12		7/2019	USD		1,797,510		(149,860	)
LME Copper Base Metal		12		7/2019	USD		1,797,129		(120,440	)
LME Copper Base Metal		15		7/2019	USD		2,246,775		(180,738	)
LME Copper Base Metal		15		7/2019	USD		2,246,659		(145,047	)
LME Copper Base Metal		24		7/2019	USD		3,594,000		(267,467	)
LME Copper Base Metal		25		7/2019	USD		3,743,688		(265,987	)
LME Copper Base Metal		28		7/2019	USD		4,193,154		(276,752	)
LME Copper Base Metal		30		7/2019	USD		4,494,000		(421,691	)
LME Copper Base Metal		37		7/2019	USD		5,540,750		(442,053	)
LME Nickel Base Metal		1		7/2019	USD		75,776		(3,349	)
LME Nickel Base Metal		1		7/2019	USD		75,785		(2,443	)
LME Nickel Base Metal		3		7/2019	USD		227,299		(12,029	)
LME Nickel Base Metal		3		7/2019	USD		227,465		(6,733	)
LME Nickel Base Metal		4		7/2019	USD		303,323		(10,741	)
LME Nickel Base Metal		5		7/2019	USD		378,786		(18,189	)
LME Nickel Base Metal		7		7/2019	USD		530,558		(14,665	)
LME Nickel Base Metal		7		7/2019	USD		529,978		(30,112	)
LME Nickel Base Metal		9		7/2019	USD		681,566		(31,635	)
LME Nickel Base Metal		18		7/2019	USD		1,365,120		(47,348	)
LME Nickel Base Metal		18		7/2019	USD		1,365,012		(2,267	)
LME Nickel Base Metal		21		7/2019	USD		1,593,199		5,537
LME Nickel Base Metal		21		7/2019	USD		1,594,160		31,572
LME Nickel Base Metal		22		7/2019	USD		1,669,498		34,613
LME Nickel Base Metal		22		7/2019	USD		1,669,354		41,069
LME Nickel Base Metal		22		7/2019	USD		1,669,928		31,743
LME Nickel Base Metal		23		7/2019	USD		1,745,083		26,881
LME Zinc Base Metal		1		7/2019	USD		63,785		(8,889	)
LME Zinc Base Metal		2		7/2019	USD		126,236		(12,920	)
LME Zinc Base Metal		2		7/2019	USD		127,675		(16,471	)
LME Zinc Base Metal		2		7/2019	USD		127,782		(15,754	)
LME Zinc Base Metal		3		7/2019	USD		190,875		(21,046	)
LME Zinc Base Metal		4		7/2019	USD		255,775		(31,219	)
LME Zinc Base Metal		4		7/2019	USD		252,279		(28,783	)
LME Zinc Base Metal		5		7/2019	USD		319,985		(43,400	)
LME Zinc Base Metal		6		7/2019	USD		381,150		(32,568	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

6

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		6		7/2019	USD		$ 384,525		$ (52,040	)
LME Zinc Base Metal		6		7/2019	USD		382,070		(42,048	)
LME Zinc Base Metal		9		7/2019	USD		573,581		(79,151	)
LME Zinc Base Metal		10		7/2019	USD		640,500		(88,393	)
LME Zinc Base Metal		13		7/2019	USD		823,267		(79,784	)
LME Zinc Base Metal		20		7/2019	USD		1,263,320		(127,239	)
LME Zinc Base Metal		23		7/2019	USD		1,455,038		(131,455	)
LME Zinc Base Metal		23		7/2019	USD		1,453,928		(119,915	)
MSCI Singapore Index		232		7/2019	SGD		6,484,169		65,937
MSCI Taiwan Index		638		7/2019	USD		24,658,700		53,028
OMXS30 Index		3,245		7/2019	SEK		56,636,321		828,424
SGX FTSE China A50 Index		2,946		7/2019	USD		39,785,730		517,453
100 oz Gold		1,029		8/2019	USD		145,469,730		(293,471	)
LME Aluminum Base Metal		10		8/2019	USD		449,063		(467	)
LME Aluminum Base Metal		15		8/2019	USD		671,779		(10,934	)
LME Aluminum Base Metal		18		8/2019	USD		806,594		(20,785	)
LME Aluminum Base Metal		20		8/2019	USD		896,275		(30,234	)
LME Aluminum Base Metal		28		8/2019	USD		1,254,540		(12,543	)
LME Aluminum Base Metal		31		8/2019	USD		1,389,575		(27,991	)
LME Aluminum Base Metal		35		8/2019	USD		1,568,656		(6,430	)
LME Aluminum Base Metal		43		8/2019	USD		1,927,475		7,946
LME Aluminum Base Metal		43		8/2019	USD		1,926,744		(28,270	)
LME Aluminum Base Metal		45		8/2019	USD		2,015,719		(17,053	)
LME Aluminum Base Metal		48		8/2019	USD		2,136,384		(18,358	)
LME Aluminum Base Metal		58		8/2019	USD		2,594,050		(21,921	)
LME Aluminum Base Metal		79		8/2019	USD		3,541,669		4,034
LME Aluminum Base Metal		139		8/2019	USD		6,243,706		23,055
LME Copper Base Metal		5		8/2019	USD		748,968		(44,052	)
LME Copper Base Metal		6		8/2019	USD		899,400		12,132
LME Copper Base Metal		19		8/2019	USD		2,847,084		31,340
LME Copper Base Metal		24		8/2019	USD		3,596,100		12,229
LME Copper Base Metal		25		8/2019	USD		3,746,456		(16,118	)
LME Copper Base Metal		25		8/2019	USD		3,746,250		(23,824	)
LME Copper Base Metal		27		8/2019	USD		4,046,335		(27,032	)
LME Copper Base Metal		27		8/2019	USD		4,046,477		(45,453	)
LME Copper Base Metal		27		8/2019	USD		4,045,302		(125,265	)
LME Copper Base Metal		28		8/2019	USD		4,195,282		(120,301	)
LME Copper Base Metal		28		8/2019	USD		4,196,045		(64,238	)
LME Copper Base Metal		50		8/2019	USD		7,493,750		(116,804	)
LME Copper Base Metal		56		8/2019	USD		8,390,872		(213,168	)
LME Nickel Base Metal		1		8/2019	USD		76,117		3,544
LME Nickel Base Metal		4		8/2019	USD		304,440		14,270
LME Nickel Base Metal		6		8/2019	USD		456,336		22,878
LME Nickel Base Metal		6		8/2019	USD		456,377		25,079
LME Nickel Base Metal		7		8/2019	USD		532,346		30,846
LME Nickel Base Metal		10		8/2019	USD		760,234		31,654
LME Nickel Base Metal		11		8/2019	USD		836,185		44,153
LME Nickel Base Metal		12		8/2019	USD		912,834		47,209
LME Nickel Base Metal		13		8/2019	USD		988,134		70,776
LME Nickel Base Metal		15		8/2019	USD		1,140,056		74,869
LME Nickel Base Metal		16		8/2019	USD		1,215,538		62,530
LME Nickel Base Metal		16		8/2019	USD		1,215,433		53,786
LME Nickel Base Metal		22		8/2019	USD		1,670,360		57,255
LME Nickel Base Metal		32		8/2019	USD		2,431,284		148,227
LME Zinc Base Metal		1		8/2019	USD		62,858		(5,645	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

7

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Zinc Base Metal		3		8/2019	USD		$ 188,505		$ (10,629	)
LME Zinc Base Metal		4		8/2019	USD		251,183		(9,729	)
LME Zinc Base Metal		6		8/2019	USD		377,840		(42,311	)
LME Zinc Base Metal		9		8/2019	USD		565,313		(27,139	)
LME Zinc Base Metal		9		8/2019	USD		563,108		(7,294	)
LME Zinc Base Metal		13		8/2019	USD		816,238		(24,901	)
LME Zinc Base Metal		25		8/2019	USD		1,569,125		(67,199	)
LME Zinc Base Metal		30		8/2019	USD		1,880,250		(52,589	)
LME Zinc Base Metal		30		8/2019	USD		1,880,925		(50,414	)
LME Zinc Base Metal		30		8/2019	USD		1,878,750		(43,589	)
LME Zinc Base Metal		36		8/2019	USD		2,252,268		(34,558	)
LME Zinc Base Metal		41		8/2019	USD		2,565,831		(18,822	)
LME Zinc Base Metal		49		8/2019	USD		3,074,383		(137,387	)
3 Month Canadian Bankers Acceptance		23		9/2019	CAD		4,304,981		211
Australia 10 Year Bond		3,819		9/2019	AUD		385,144,506		1,870,658
Australia 3 Year Bond		22,369		9/2019	AUD		1,805,940,541		870,434
Canada 10 Year Bond		554		9/2019	CAD		60,465,977		560,667
Cocoa		290		9/2019	USD		7,032,500		(212,465	)
Cocoa		551		9/2019	GBP		12,630,351		(211,334	)
Corn		1,128		9/2019	USD		23,955,900		(1,520,201	)
DAX Index		76		9/2019	EUR		26,764,148		201,291
DJIA CBOTE-Mini Index		2,710		9/2019	USD		360,335,150		2,013,742
EURO STOXX 50 Index		5,607		9/2019	EUR		220,982,430		2,227,710
Euro-Bobl		5,948		9/2019	EUR		909,280,952		3,654,784
Euro-BTP		3,061		9/2019	EUR		467,453,022		18,546,468
Euro-Bund		1,790		9/2019	EUR		351,596,526		4,447,929
Euro-Buxl		109		9/2019	EUR		25,148,216		895,943
Euro-OAT		1,634		9/2019	EUR		306,331,967		4,715,478
Euro-Schatz		11,423		9/2019	EUR		1,458,480,240		2,382,102
FTSE 100 Index		2,897		9/2019	GBP		271,108,829		1,160,055
FTSE/JSE Top 40 Index		498		9/2019	ZAR		18,538,258		(176,465	)
FTSE/MIB Index		34		9/2019	EUR		4,089,603		(1,946	)
Japan 10 Year Bond		600		9/2019	JPY		856,188,842		2,002,206
LME Aluminum Base Metal		4		9/2019	USD		179,982		(2,475	)
LME Aluminum Base Metal		10		9/2019	USD		449,865		6,086
LME Aluminum Base Metal		13		9/2019	USD		584,883		(1,228	)
LME Aluminum Base Metal		15		9/2019	USD		675,563		17,018
LME Aluminum Base Metal		15		9/2019	USD		675,533		4,988
LME Aluminum Base Metal		17		9/2019	USD		764,469		7,927
LME Aluminum Base Metal		17		9/2019	USD		765,565		7,315
LME Aluminum Base Metal		22		9/2019	USD		989,313		1,723
LME Aluminum Base Metal		34		9/2019	USD		1,531,063		17,112
LME Aluminum Base Metal		92		9/2019	USD		4,139,149		14,220
LME Aluminum Base Metal		92		9/2019	USD		4,138,275		48,088
LME Aluminum Base Metal		93		9/2019	USD		4,182,094		25,392
LME Aluminum Base Metal		176		9/2019	USD		7,920,000		125,374
LME Aluminum Base Metal		656		9/2019	USD		29,524,100		141,651
LME Copper Base Metal		1		9/2019	USD		149,953		1,825
LME Copper Base Metal		1		9/2019	USD		149,945		3,932
LME Copper Base Metal		1		9/2019	USD		149,963		3,547
LME Copper Base Metal		1		9/2019	USD		149,960		4,549
LME Copper Base Metal		1		9/2019	USD		149,954		3,660
LME Copper Base Metal		2		9/2019	USD		299,911		8,005
LME Copper Base Metal		3		9/2019	USD		449,852		10,043
LME Copper Base Metal		4		9/2019	USD		599,600		14,279

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

8

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		11		9/2019	USD		$ 1,649,434		$ 44,126
LME Copper Base Metal		16		9/2019	USD		2,397,240		(8,807	)
LME Copper Base Metal		16		9/2019	USD		2,397,200		753
LME Copper Base Metal		20		9/2019	USD		2,996,600		(12,209	)
LME Copper Base Metal		23		9/2019	USD		3,446,148		30,580
LME Copper Base Metal		39		9/2019	USD		5,844,150		58,385
LME Copper Base Metal		62		9/2019	USD		9,289,925		18,874
LME Nickel Base Metal		1		9/2019	USD		76,157		5,362
LME Nickel Base Metal		1		9/2019	USD		76,186		6,151
LME Nickel Base Metal		1		9/2019	USD		76,197		5,154
LME Nickel Base Metal		1		9/2019	USD		76,191		5,209
LME Nickel Base Metal		1		9/2019	USD		76,151		5,102
LME Nickel Base Metal		1		9/2019	USD		76,144		4,651
LME Nickel Base Metal		2		9/2019	USD		152,405		8,730
LME Nickel Base Metal		4		9/2019	USD		304,920		18,387
LME Nickel Base Metal		9		9/2019	USD		685,260		513
LME Nickel Base Metal		14		9/2019	USD		1,066,010		26,469
LME Nickel Base Metal		17		9/2019	USD		1,294,502		49,032
LME Nickel Base Metal		21		9/2019	USD		1,599,167		71,985
LME Nickel Base Metal		29		9/2019	USD		2,209,452		133,546
LME Nickel Base Metal		48		9/2019	USD		3,655,584		119,832
LME Zinc Base Metal		3		9/2019	USD		187,190		(2,266	)
LME Zinc Base Metal		3		9/2019	USD		187,253		(1,804	)
LME Zinc Base Metal		10		9/2019	USD		623,750		1,476
LME Zinc Base Metal		16		9/2019	USD		999,028		10,581
LME Zinc Base Metal		18		9/2019	USD		1,125,891		13,490
LME Zinc Base Metal		18		9/2019	USD		1,126,053		10,708
LME Zinc Base Metal		19		9/2019	USD		1,188,526		9,368
LME Zinc Base Metal		20		9/2019	USD		1,250,070		7,011
LME Zinc Base Metal		20		9/2019	USD		1,250,625		(3,559	)
LME Zinc Base Metal		20		9/2019	USD		1,250,600		(5,959	)
LME Zinc Base Metal		20		9/2019	USD		1,250,715		10,656
LME Zinc Base Metal		31		9/2019	USD		1,938,895		1,234
LME Zinc Base Metal		34		9/2019	USD		2,124,397		21,106
LME Zinc Base Metal		40		9/2019	USD		2,501,150		20,282
LME Zinc Base Metal		133		9/2019	USD		8,315,825		26,066
Long Gilt		3,057		9/2019	GBP		505,855,485		2,915,050
MSCI EAFEE-Mini Index		13		9/2019	USD		1,250,145		5,335
NASDAQ 100E-Mini Index		3,198		9/2019	USD		492,092,250		3,348,331
Palladium		64		9/2019	USD		9,840,640		342,286
S&P 500E-Mini Index		2,583		9/2019	USD		380,243,430		3,390,415
S&P/TSX 60 Index		3,005		9/2019	CAD		448,701,997		(277,730	)
SPI 200 Index		5,279		9/2019	AUD		607,711,322		3,576,465
U.S. Treasury 10 Year Note		4,726		9/2019	USD		604,780,313		9,973,739
U.S. Treasury 2 Year Note		4,456		9/2019	USD		958,840,688		4,969,900
U.S. Treasury 5 Year Note		5,758		9/2019	USD		680,343,688		8,334,859
U.S. Treasury Long Bond		2,608		9/2019	USD		405,788,500		10,193,721
U.S. Treasury Ultra Bond		1,514		9/2019	USD		268,829,625		8,952,230
Wheat		15		9/2019	USD		395,438		(8,912	)
3 Month Canadian Bankers Acceptance		516		12/2019	CAD		96,625,635		(43,952	)
3 Month Euro Euribor		2,710		12/2019	EUR		774,044,527		838,812
3 Month Eurodollar		6,480		12/2019	USD		1,589,057,999		8,925,237
3 Month Euroswiss		132		12/2019	CHF		34,095,267		19,726
3 Month Sterling		1,204		12/2019	GBP		189,569,780		140,654
ASX 90 Day Bank Accepted Bill		1,232		12/2019	AUD		862,776,899		502,799

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

9

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
3 Month Canadian Bankers Acceptance		523			3/2020	CAD		$ 98,041,283			$ (104,105	)
3 Month Euro Euribor		3,098			3/2020	EUR		884,999,240			1,208,233
3 Month Eurodollar		4,113			3/2020	USD		1,010,666,925			6,846,102
3 Month Euroswiss		190			3/2020	CHF		49,091,119			59,654
3 Month Sterling		1,048			3/2020	GBP		165,082,446			71,703
ASX 90 Day Bank Accepted Bill		1,226			3/2020	AUD		858,744,039			116,744
3 Month Euro Euribor		4,025			6/2020	EUR		1,149,870,620			1,714,415
3 Month Eurodollar		2,643			6/2020	USD		650,045,850			4,777,696
3 Month Euroswiss		190			6/2020	CHF		49,095,984			24,139
3 Month Sterling		1,391			6/2020	GBP		219,156,455			123,783
3 Month Euro Euribor		3,987			9/2020	EUR		1,138,958,028			1,938,239
3 Month Eurodollar		2,106			9/2020	USD		518,312,925			4,121,959
3 Month Sterling		2,531			9/2020	GBP		398,787,155			344,249
3 Month Euro Euribor		3,762			12/2020	EUR		1,074,522,328			1,996,994
3 Month Eurodollar		2,450			12/2020	USD		602,975,625			4,848,530
3 Month Sterling		3,174			12/2020	GBP		499,972,982			439,934
3 Month Euro Euribor		3,585			3/2021	EUR		1,023,762,827			1,420,970
3 Month Eurodollar		2,894			3/2021	USD		712,430,450			4,950,892
3 Month Sterling		2,990			3/2021	GBP		471,036,505			445,621
3 Month Euro Euribor		1,757			6/2021	EUR		501,618,866			329,909
3 Month Eurodollar		3,350			6/2021	USD		824,435,000			1,033,524
3 Month Sterling		3,026			6/2021	GBP		476,635,794			(19,379	)
											145,612,760
Short Contracts
Brent Crude Oil		(1,600	)		7/2019	USD		(103,584,000	)		(3,801,222	)
Hang Seng Index		(526	)		7/2019	HKD		(95,969,059	)		(1,127,002	)
HSCEI		(1,267	)		7/2019	HKD		(87,867,846	)		(771,044	)
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,048	)		4,346
LME Aluminum Base Metal		(11	)		7/2019	USD		(490,001	)		21,128
LME Aluminum Base Metal		(11	)		7/2019	USD		(489,825	)		21,524
LME Aluminum Base Metal		(14	)		7/2019	USD		(623,189	)		33,545
LME Aluminum Base Metal		(15	)		7/2019	USD		(668,265	)		28,567
LME Aluminum Base Metal		(19	)		7/2019	USD		(845,856	)		48,513
LME Aluminum Base Metal		(24	)		7/2019	USD		(1,067,550	)		70,591
LME Aluminum Base Metal		(29	)		7/2019	USD		(1,290,732	)		75,626
LME Aluminum Base Metal		(30	)		7/2019	USD		(1,339,583	)		45,517
LME Aluminum Base Metal		(30	)		7/2019	USD		(1,339,223	)		58,049
LME Aluminum Base Metal		(32	)		7/2019	USD		(1,428,112	)		68,906
LME Aluminum Base Metal		(34	)		7/2019	USD		(1,519,418	)		38,449
LME Aluminum Base Metal		(37	)		7/2019	USD		(1,650,811	)		82,704
LME Aluminum Base Metal		(43	)		7/2019	USD		(1,922,143	)		28,294
LME Aluminum Base Metal		(52	)		7/2019	USD		(2,316,925	)		93,415
LME Aluminum Base Metal		(52	)		7/2019	USD		(2,316,925	)		101,739
LME Aluminum Base Metal		(71	)		7/2019	USD		(3,158,932	)		219,450
LME Copper Base Metal		(1	)		7/2019	USD		(149,741	)		11,406
LME Copper Base Metal		(2	)		7/2019	USD		(299,440	)		24,654
LME Copper Base Metal		(3	)		7/2019	USD		(449,348	)		33,269
LME Copper Base Metal		(4	)		7/2019	USD		(598,710	)		48,345
LME Copper Base Metal		(4	)		7/2019	USD		(599,050	)		50,747
LME Copper Base Metal		(6	)		7/2019	USD		(897,683	)		67,854
LME Copper Base Metal		(8	)		7/2019	USD		(1,196,570	)		98,943
LME Copper Base Metal		(12	)		7/2019	USD		(1,797,129	)		122,011
LME Copper Base Metal		(12	)		7/2019	USD		(1,797,510	)		150,235
LME Copper Base Metal		(15	)		7/2019	USD		(2,246,659	)		140,735

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

10

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal		(15	)		7/2019	USD		$ (2,246,775	)		$ 186,275
LME Copper Base Metal		(24	)		7/2019	USD		(3,594,000	)		269,629
LME Copper Base Metal		(25	)		7/2019	USD		(3,743,688	)		281,864
LME Copper Base Metal		(28	)		7/2019	USD		(4,193,154	)		269,263
LME Copper Base Metal		(30	)		7/2019	USD		(4,494,000	)		407,162
LME Copper Base Metal		(37	)		7/2019	USD		(5,540,750	)		434,641
LME Nickel Base Metal		(1	)		7/2019	USD		(75,776	)		3,631
LME Nickel Base Metal		(1	)		7/2019	USD		(75,785	)		2,815
LME Nickel Base Metal		(3	)		7/2019	USD		(227,465	)		5,406
LME Nickel Base Metal		(3	)		7/2019	USD		(227,299	)		11,282
LME Nickel Base Metal		(4	)		7/2019	USD		(303,323	)		9,865
LME Nickel Base Metal		(5	)		7/2019	USD		(378,786	)		18,721
LME Nickel Base Metal		(7	)		7/2019	USD		(529,978	)		29,651
LME Nickel Base Metal		(7	)		7/2019	USD		(530,558	)		15,379
LME Nickel Base Metal		(9	)		7/2019	USD		(681,566	)		29,884
LME Nickel Base Metal		(18	)		7/2019	USD		(1,365,012	)		3,882
LME Nickel Base Metal		(18	)		7/2019	USD		(1,365,120	)		42,319
LME Nickel Base Metal		(21	)		7/2019	USD		(1,594,160	)		(35,917	)
LME Nickel Base Metal		(21	)		7/2019	USD		(1,593,199	)		(16,126	)
LME Nickel Base Metal		(22	)		7/2019	USD		(1,669,928	)		(31,451	)
LME Nickel Base Metal		(22	)		7/2019	USD		(1,669,498	)		(37,846	)
LME Nickel Base Metal		(22	)		7/2019	USD		(1,669,354	)		(40,050	)
LME Nickel Base Metal		(23	)		7/2019	USD		(1,745,083	)		(28,017	)
LME Zinc Base Metal		(1	)		7/2019	USD		(63,785	)		8,663
LME Zinc Base Metal		(2	)		7/2019	USD		(126,236	)		12,159
LME Zinc Base Metal		(2	)		7/2019	USD		(127,782	)		15,013
LME Zinc Base Metal		(2	)		7/2019	USD		(127,675	)		17,094
LME Zinc Base Metal		(3	)		7/2019	USD		(190,875	)		20,777
LME Zinc Base Metal		(4	)		7/2019	USD		(252,279	)		27,711
LME Zinc Base Metal		(4	)		7/2019	USD		(255,775	)		30,363
LME Zinc Base Metal		(5	)		7/2019	USD		(319,985	)		41,969
LME Zinc Base Metal		(6	)		7/2019	USD		(384,525	)		50,007
LME Zinc Base Metal		(6	)		7/2019	USD		(381,150	)		33,017
LME Zinc Base Metal		(6	)		7/2019	USD		(382,070	)		43,163
LME Zinc Base Metal		(9	)		7/2019	USD		(573,581	)		83,842
LME Zinc Base Metal		(10	)		7/2019	USD		(640,500	)		91,189
LME Zinc Base Metal		(13	)		7/2019	USD		(823,267	)		74,939
LME Zinc Base Metal		(20	)		7/2019	USD		(1,263,320	)		124,366
LME Zinc Base Metal		(23	)		7/2019	USD		(1,455,038	)		125,429
LME Zinc Base Metal		(23	)		7/2019	USD		(1,453,928	)		123,329
Natural Gas		(12,261	)		7/2019	USD		(282,983,880	)		2,329,303
NY Harbor ULSD		(642	)		7/2019	USD		(52,293,982	)		(1,685,445	)
RBOB Gasoline		(82	)		7/2019	USD		(6,531,890	)		(613,394	)
WTI Crude Oil		(3,880	)		7/2019	USD		(226,863,600	)		(10,556,576	)
Lean Hogs		(297	)		8/2019	USD		(9,028,800	)		637,061
Live Cattle		(951	)		8/2019	USD		(39,694,740	)		142,742
LME Aluminum Base Metal		(10	)		8/2019	USD		(449,063	)		897
LME Aluminum Base Metal		(15	)		8/2019	USD		(671,779	)		6,822
LME Aluminum Base Metal		(18	)		8/2019	USD		(806,594	)		20,057
LME Aluminum Base Metal		(20	)		8/2019	USD		(896,275	)		28,052
LME Aluminum Base Metal		(28	)		8/2019	USD		(1,254,540	)		8,998
LME Aluminum Base Metal		(31	)		8/2019	USD		(1,389,575	)		22,478
LME Aluminum Base Metal		(35	)		8/2019	USD		(1,568,656	)		3,824
LME Aluminum Base Metal		(43	)		8/2019	USD		(1,927,475	)		(11,172	)
LME Aluminum Base Metal		(43	)		8/2019	USD		(1,926,744	)		38,423

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

11

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(45	)		8/2019	USD		$ (2,015,719	)		$ 9,963
LME Aluminum Base Metal		(48	)		8/2019	USD		(2,136,384	)		23,637
LME Aluminum Base Metal		(58	)		8/2019	USD		(2,594,050	)		7,138
LME Aluminum Base Metal		(79	)		8/2019	USD		(3,541,669	)		(3,348	)
LME Aluminum Base Metal		(139	)		8/2019	USD		(6,243,706	)		(27,366	)
LME Copper Base Metal		(5	)		8/2019	USD		(748,968	)		55,424
LME Copper Base Metal		(6	)		8/2019	USD		(899,400	)		(14,411	)
LME Copper Base Metal		(19	)		8/2019	USD		(2,847,084	)		(31,915	)
LME Copper Base Metal		(24	)		8/2019	USD		(3,596,100	)		(30,248	)
LME Copper Base Metal		(25	)		8/2019	USD		(3,746,250	)		23,553
LME Copper Base Metal		(25	)		8/2019	USD		(3,746,456	)		21,744
LME Copper Base Metal		(27	)		8/2019	USD		(4,046,477	)		36,218
LME Copper Base Metal		(27	)		8/2019	USD		(4,046,335	)		29,793
LME Copper Base Metal		(27	)		8/2019	USD		(4,045,302	)		129,579
LME Copper Base Metal		(28	)		8/2019	USD		(4,196,045	)		40,427
LME Copper Base Metal		(28	)		8/2019	USD		(4,195,282	)		112,998
LME Copper Base Metal		(50	)		8/2019	USD		(7,493,750	)		110,991
LME Copper Base Metal		(56	)		8/2019	USD		(8,390,872	)		179,177
LME Nickel Base Metal		(1	)		8/2019	USD		(76,117	)		(3,322	)
LME Nickel Base Metal		(4	)		8/2019	USD		(304,440	)		(14,492	)
LME Nickel Base Metal		(6	)		8/2019	USD		(456,336	)		(23,334	)
LME Nickel Base Metal		(6	)		8/2019	USD		(456,377	)		(25,779	)
LME Nickel Base Metal		(7	)		8/2019	USD		(532,346	)		(30,852	)
LME Nickel Base Metal		(10	)		8/2019	USD		(760,234	)		(32,550	)
LME Nickel Base Metal		(11	)		8/2019	USD		(836,185	)		(44,547	)
LME Nickel Base Metal		(12	)		8/2019	USD		(912,834	)		(45,110	)
LME Nickel Base Metal		(13	)		8/2019	USD		(988,134	)		(65,608	)
LME Nickel Base Metal		(15	)		8/2019	USD		(1,140,056	)		(75,305	)
LME Nickel Base Metal		(16	)		8/2019	USD		(1,215,538	)		(62,311	)
LME Nickel Base Metal		(16	)		8/2019	USD		(1,215,433	)		(57,847	)
LME Nickel Base Metal		(22	)		8/2019	USD		(1,670,360	)		(57,179	)
LME Nickel Base Metal		(32	)		8/2019	USD		(2,431,284	)		(152,678	)
LME Zinc Base Metal		(1	)		8/2019	USD		(62,858	)		4,927
LME Zinc Base Metal		(3	)		8/2019	USD		(188,505	)		10,812
LME Zinc Base Metal		(4	)		8/2019	USD		(251,183	)		8,889
LME Zinc Base Metal		(6	)		8/2019	USD		(377,840	)		46,380
LME Zinc Base Metal		(9	)		8/2019	USD		(563,108	)		7,813
LME Zinc Base Metal		(9	)		8/2019	USD		(565,313	)		24,469
LME Zinc Base Metal		(13	)		8/2019	USD		(816,238	)		24,743
LME Zinc Base Metal		(25	)		8/2019	USD		(1,569,125	)		64,912
LME Zinc Base Metal		(30	)		8/2019	USD		(1,878,750	)		39,261
LME Zinc Base Metal		(30	)		8/2019	USD		(1,880,250	)		50,879
LME Zinc Base Metal		(30	)		8/2019	USD		(1,880,925	)		43,782
LME Zinc Base Metal		(36	)		8/2019	USD		(2,252,268	)		31,394
LME Zinc Base Metal		(41	)		8/2019	USD		(2,565,831	)		17,707
LME Zinc Base Metal		(49	)		8/2019	USD		(3,074,383	)		136,940
Low Sulphur Gasoil		(2,597	)		8/2019	USD		(155,170,750	)		(6,090,390	)
Copper		(1,077	)		9/2019	USD		(73,060,988	)		(334,058	)
KC HRW Wheat		(353	)		9/2019	USD		(8,145,475	)		168,896
KOSPI 200 Index		(675	)		9/2019	KRW		(40,687,654	)		(884,888	)
LME Aluminum Base Metal		(4	)		9/2019	USD		(179,982	)		2,106
LME Aluminum Base Metal		(10	)		9/2019	USD		(449,865	)		(5,496	)
LME Aluminum Base Metal		(13	)		9/2019	USD		(584,883	)		1,622
LME Aluminum Base Metal		(15	)		9/2019	USD		(675,533	)		(5,996	)
LME Aluminum Base Metal		(15	)		9/2019	USD		(675,563	)		(14,631	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

12

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Aluminum Base Metal		(17	)		9/2019	USD		$ (764,469	)		$ (7,479	)
LME Aluminum Base Metal		(17	)		9/2019	USD		(765,565	)		(6,377	)
LME Aluminum Base Metal		(22	)		9/2019	USD		(989,313	)		(2,788	)
LME Aluminum Base Metal		(34	)		9/2019	USD		(1,531,063	)		(19,309	)
LME Aluminum Base Metal		(92	)		9/2019	USD		(4,138,275	)		(42,371	)
LME Aluminum Base Metal		(92	)		9/2019	USD		(4,139,149	)		580
LME Aluminum Base Metal		(93	)		9/2019	USD		(4,182,094	)		(20,572	)
LME Aluminum Base Metal		(176	)		9/2019	USD		(7,920,000	)		(123,374	)
LME Aluminum Base Metal		(1,440	)		9/2019	USD		(64,809,000	)		(221,688	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,953	)		(1,944	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,960	)		(4,038	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,963	)		(2,765	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,954	)		(3,906	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,945	)		(4,023	)
LME Copper Base Metal		(2	)		9/2019	USD		(299,911	)		(8,252	)
LME Copper Base Metal		(3	)		9/2019	USD		(449,852	)		(10,715	)
LME Copper Base Metal		(11	)		9/2019	USD		(1,649,434	)		(44,788	)
LME Copper Base Metal		(16	)		9/2019	USD		(2,397,200	)		(4,895	)
LME Copper Base Metal		(16	)		9/2019	USD		(2,397,240	)		8,536
LME Copper Base Metal		(20	)		9/2019	USD		(2,996,600	)		12,383
LME Copper Base Metal		(23	)		9/2019	USD		(3,446,148	)		(26,261	)
LME Copper Base Metal		(39	)		9/2019	USD		(5,844,150	)		(60,591	)
LME Copper Base Metal		(62	)		9/2019	USD		(9,289,925	)		(25,883	)
LME Copper Base Metal		(338	)		9/2019	USD		(50,666,200	)		(561,502	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,157	)		(5,330	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,151	)		(5,053	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,191	)		(4,764	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,186	)		(5,959	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,197	)		(5,010	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,144	)		(4,687	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,405	)		(9,341	)
LME Nickel Base Metal		(9	)		9/2019	USD		(685,260	)		(914	)
LME Nickel Base Metal		(14	)		9/2019	USD		(1,066,010	)		(22,410	)
LME Nickel Base Metal		(17	)		9/2019	USD		(1,294,502	)		(40,944	)
LME Nickel Base Metal		(21	)		9/2019	USD		(1,599,167	)		(74,290	)
LME Nickel Base Metal		(29	)		9/2019	USD		(2,209,452	)		(116,355	)
LME Nickel Base Metal		(48	)		9/2019	USD		(3,655,584	)		(123,679	)
LME Nickel Base Metal		(258	)		9/2019	USD		(19,667,340	)		(905,063	)
LME Zinc Base Metal		(3	)		9/2019	USD		(187,190	)		2,467
LME Zinc Base Metal		(3	)		9/2019	USD		(187,253	)		2,334
LME Zinc Base Metal		(10	)		9/2019	USD		(623,750	)		(3,272	)
LME Zinc Base Metal		(16	)		9/2019	USD		(999,028	)		(13,293	)
LME Zinc Base Metal		(18	)		9/2019	USD		(1,125,891	)		(10,394	)
LME Zinc Base Metal		(18	)		9/2019	USD		(1,126,053	)		(12,581	)
LME Zinc Base Metal		(19	)		9/2019	USD		(1,188,526	)		(7,495	)
LME Zinc Base Metal		(20	)		9/2019	USD		(1,250,600	)		6,711
LME Zinc Base Metal		(20	)		9/2019	USD		(1,250,625	)		9,239
LME Zinc Base Metal		(20	)		9/2019	USD		(1,250,070	)		(8,307	)
LME Zinc Base Metal		(20	)		9/2019	USD		(1,250,715	)		(12,565	)
LME Zinc Base Metal		(31	)		9/2019	USD		(1,938,895	)		3,289
LME Zinc Base Metal		(34	)		9/2019	USD		(2,124,397	)		(28,846	)
LME Zinc Base Metal		(40	)		9/2019	USD		(2,501,150	)		(23,432	)
LME Zinc Base Metal		(511	)		9/2019	USD		(31,950,275	)		81,874
MSCI Emerging MarketsE-Mini Index		(116	)		9/2019	USD		(6,109,720	)		(277,450	)
Nikkei 225 Index		(519	)		9/2019	JPY		(102,341,418	)		(729,452	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

13

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
Russell 2000E-Mini Index		(672	)		9/2019	USD		$ (52,654,560	)		$ (1,127,711	)
S&P Midcap 400E-Mini Index		(7	)		9/2019	USD		(1,365,000	)		(21,307	)
Silver		(531	)		9/2019	USD		(40,730,355	)		212,260
Sugar No. 11		(289	)		9/2019	USD		(4,084,842	)		46,375
TOPIX Index		(1,437	)		9/2019	JPY		(206,723,276	)		(172,625	)
Platinum		(481	)		10/2019	USD		(20,228,455	)		(691,791	)
Soybean		(109	)		11/2019	USD		(5,030,350	)		315
Cotton No. 2		(468	)		12/2019	USD		(15,462,720	)		29,025
Soybean Meal		(197	)		12/2019	USD		(6,361,130	)		17,466
Soybean Oil		(189	)		12/2019	USD		(3,269,322	)		(52,565	)
											(22,738,383	)
											$122,874,377

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	68,860,500	USD	48,048,961	CITI		9/18/2019		$410,167
AUD	68,860,500	USD	48,049,021	JPMC		9/18/2019		410,107
BRL	363,427,500	USD	92,428,093	CITI**		9/18/2019		1,496,813
BRL	363,427,500	USD	92,428,208	JPMC**		9/18/2019		1,496,699
CAD	869,088,500	USD	657,093,216	CITI		9/18/2019		7,523,877
CAD	869,088,500	USD	657,104,137	JPMC		9/18/2019		7,512,956
CHF	263,918,500	USD	267,889,890	CITI		9/18/2019		4,412,098
CHF	263,918,500	USD	267,890,640	JPMC		9/18/2019		4,411,349
COP	11,372,316,000	USD	3,414,414	CITI**		9/18/2019		107,467
COP	11,372,316,000	USD	3,414,418	JPMC**		9/18/2019		107,463
EUR	199,266,000	USD	225,394,823	CITI		9/18/2019		2,616,277
EUR	199,266,000	USD	225,395,105	JPMC		9/18/2019		2,615,995
GBP	91,563,797	USD	116,420,720	CITI		9/18/2019		274,954
GBP	91,563,805	USD	116,420,875	JPMC		9/18/2019		274,809
HKD	38,313,501	USD	4,889,565	CITI		9/18/2019		16,805
HKD	38,313,499	USD	4,889,571	JPMC		9/18/2019		16,799
HUF	7,190,751,000	USD	25,164,155	CITI		9/18/2019		270,192
HUF	7,190,751,000	USD	25,164,187	JPMC		9/18/2019		270,161
IDR	925,224,279,356	USD	63,815,344	CITI**		9/18/2019		1,020,673
IDR	925,224,279,356	USD	63,815,424	JPMC**		9/18/2019		1,020,593
ILS	4,334,000	USD	1,214,153	CITI		9/18/2019		6,208
ILS	4,334,000	USD	1,214,155	JPMC		9/18/2019		6,206
INR	4,718,996,156	USD	66,995,280	CITI**		9/18/2019		721,985
INR	4,718,996,140	USD	66,995,420	JPMC**		9/18/2019		721,844
JPY	35,659,799,804	USD	330,091,090	CITI		9/18/2019		2,593,802
JPY	35,659,799,810	USD	330,091,174	JPMC		9/18/2019		2,593,719
KRW	178,302,455,000	USD	150,757,974	CITI**		9/18/2019		3,648,564
KRW	178,302,455,000	USD	150,757,856	JPMC**		9/18/2019		3,648,682
MXN	1,865,017,957	USD	94,405,916	CITI		9/18/2019		1,477,412
MXN	1,849,424,020	USD	93,605,125	JPMC		9/18/2019		1,476,494
NOK	199,856,500	USD	23,074,386	CITI		9/18/2019		405,646
NOK	199,856,500	USD	23,074,415	JPMC		9/18/2019		405,618
NZD	88,804,000	USD	59,259,892	CITI		9/18/2019		487,522

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

14

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED			CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
NZD		88,804,000	USD	59,259,966	JPMC		9/18/2019		$ 487,448
PHP		2,420,938,400	USD	46,191,724	CITI**		9/18/2019		874,386
PHP		2,420,938,408	USD	46,191,850	JPMC**		9/18/2019		874,260
PLN		1,312,277,498	USD	344,032,089	CITI		9/18/2019		8,070,793
PLN		1,312,277,518	USD	344,032,524	JPMC		9/18/2019		8,070,364
SEK		308,023,000	USD	32,694,431	CITI		9/18/2019		663,978
SEK		308,023,000	USD	32,694,472	JPMC		9/18/2019		663,938
SGD		10,161,000	USD	7,496,619	CITI		9/18/2019		22,418
SGD		10,161,000	USD	7,496,628	JPMC		9/18/2019		22,408
TWD		67,583,000	USD	2,153,441	CITI**		9/18/2019		36,916
TWD		67,583,000	USD	2,153,444	JPMC**		9/18/2019		36,913
USD		1,838,059	COP	5,904,348,000	CITI**		9/18/2019		9,548
USD		1,838,057	COP	5,904,348,000	JPMC**		9/18/2019		9,546
USD		276,725,209	GBP	216,630,000	CITI		9/18/2019		635,915
USD		276,724,863	GBP	216,630,000	JPMC		9/18/2019		635,571
USD		39,990,436	KRW	46,104,879,000	CITI**		9/18/2019		64,487
USD		39,990,386	KRW	46,104,879,000	JPMC**		9/18/2019		64,437
USD		1,513,482	MXN	29,404,500	CITI		9/18/2019		1,753
USD		1,513,481	MXN	29,404,500	JPMC		9/18/2019		1,751
USD		19,167,230	PLN	71,413,500	CITI		9/18/2019		5,963
USD		19,167,206	PLN	71,413,500	JPMC		9/18/2019		5,939
USD		2,928,986	TWD	90,300,000	CITI**		9/18/2019		2,373
USD		2,929,471	TWD	90,300,000	JPMC**		9/18/2019		2,859
ZAR		1,484,058,500	USD	101,479,665	CITI		9/18/2019		2,839,130
ZAR		1,484,058,500	USD	101,479,792	JPMC		9/18/2019		2,839,004
CLP		7,597,419,500	USD	10,853,781	CITI**		9/23/2019		362,935
CLP		7,597,419,500	USD	10,853,795	JPMC**		9/23/2019		362,922
Total unrealized appreciation									82,147,911
BRL		82,829,500	USD	21,471,445	CITI**		9/18/2019		(64,828	)
BRL		82,829,500	USD	21,471,472	JPMC**		9/18/2019		(64,856	)
CHF		55,448,000	USD	57,306,150	CITI		9/18/2019		(96,820	)
CHF		55,448,000	USD	57,306,222	JPMC		9/18/2019		(96,892	)
COP		254,824,500	USD	79,864	CITI**		9/18/2019		(948	)
COP		254,824,500	USD	79,864	JPMC**		9/18/2019		(948	)
EUR		50,671,500	USD	58,104,772	CITI		9/18/2019		(123,658	)
EUR		50,671,500	USD	58,104,844	JPMC		9/18/2019		(123,731	)
GBP		62,399,188	USD	79,745,376	CITI		9/18/2019		(219,236	)
GBP		62,399,194	USD	79,745,483	JPMC		9/18/2019		(219,336	)
HUF		3,048,278,500	USD	10,813,164	CITI		9/18/2019		(31,122	)
HUF		3,048,278,500	USD	10,813,177	JPMC		9/18/2019		(31,136	)
IDR		191,127,466,500	USD	13,414,975	CITI**		9/18/2019		(21,527	)
IDR		191,127,466,500	USD	13,414,992	JPMC**		9/18/2019		(21,544	)
JPY		10,292,143,472	USD	96,420,219	CITI		9/18/2019		(400,592	)
JPY		10,292,143,474	USD	96,416,842	JPMC		9/18/2019		(397,216	)
MXN		1,071,802,663	USD	55,282,006	CITI		9/18/2019		(179,048	)
MXN		1,087,396,608	USD	56,084,012	JPMC		9/18/2019		(179,345	)
NOK		204,610,500	USD	24,121,977	CITI		9/18/2019		(83,423	)
NOK		204,610,500	USD	24,122,007	JPMC		9/18/2019		(83,454	)
SEK		92,758,500	USD	10,065,721	CITI		9/18/2019		(20,120	)
SEK		92,758,500	USD	10,065,733	JPMC		9/18/2019		(20,133	)
SGD		2,625,000	USD	1,943,126	CITI		9/18/2019		(653	)
SGD		2,625,000	USD	1,943,128	JPMC		9/18/2019		(655	)
USD		550,619,609	AUD	793,414,956	CITI		9/18/2019		(7,729,477	)
USD		550,626,446	AUD	793,414,956	JPMC		9/18/2019		(7,722,640	)
USD	��	122,188,826	BRL	482,724,000	CITI**		9/18/2019		(2,567,300	)
USD		122,188,671	BRL	482,723,992	JPMC**		9/18/2019		(2,567,452	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

15

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	65,825,867	CAD	88,293,516	CITI		9/18/2019		$ (1,694,736	)
USD	65,826,241	CAD	88,293,525	JPMC		9/18/2019		(1,694,369	)
USD	54,655,371	CHF	53,993,993	CITI		9/18/2019		(1,053,765	)
USD	54,655,317	CHF	53,994,007	JPMC		9/18/2019		(1,053,834	)
USD	10,928,926	COP	36,250,555,312	CITI**		9/18/2019		(297,472	)
USD	10,928,912	COP	36,250,555,312	JPMC**		9/18/2019		(297,486	)
USD	838,132,231	EUR	741,513,450	CITI		9/18/2019		(10,348,180	)
USD	838,131,202	EUR	741,513,466	JPMC		9/18/2019		(10,349,228	)
USD	429,941,814	GBP	338,588,500	CITI		9/18/2019		(1,580,407	)
USD	429,941,277	GBP	338,588,500	JPMC		9/18/2019		(1,580,947	)
USD	4,890,659	HKD	38,313,508	CITI		9/18/2019		(15,712	)
USD	4,890,651	HKD	38,313,492	JPMC		9/18/2019		(15,718	)
USD	38,706,208	HUF	11,159,918,356	CITI		9/18/2019		(767,449	)
USD	38,706,160	HUF	11,159,918,362	JPMC		9/18/2019		(767,498	)
USD	15,276,742	IDR	227,044,184,000	CITI**		9/18/2019		(633,606	)
USD	15,276,723	IDR	227,044,184,000	JPMC**		9/18/2019		(633,626	)
USD	5,903,133	ILS	21,169,998	CITI		9/18/2019		(57,884	)
USD	5,903,127	ILS	21,170,002	JPMC		9/18/2019		(57,891	)
USD	9,333,820	INR	657,038,000	CITI**		9/18/2019		(94,629	)
USD	9,334,412	INR	657,038,000	JPMC**		9/18/2019		(94,037	)
USD	2,566,099	JPY	275,802,000	CITI		9/18/2019		(6,971	)
USD	2,566,096	JPY	275,802,000	JPMC		9/18/2019		(6,974	)
USD	526,483,155	KRW	620,418,968,578	CITI**		9/18/2019		(10,787,884	)
USD	526,482,497	KRW	620,418,968,582	JPMC**		9/18/2019		(10,788,543	)
USD	51,245,410	MXN	1,020,823,500	CITI		9/18/2019		(1,236,634	)
USD	51,245,346	MXN	1,020,823,500	JPMC		9/18/2019		(1,236,698	)
USD	40,237,134	NOK	349,669,500	CITI		9/18/2019		(843,597	)
USD	40,237,084	NOK	349,669,496	JPMC		9/18/2019		(843,648	)
USD	194,265,562	NZD	296,377,534	CITI		9/18/2019		(5,137,519	)
USD	194,265,315	NZD	296,377,528	JPMC		9/18/2019		(5,137,761	)
USD	15,552,146	PHP	823,353,500	CITI**		9/18/2019		(454,890	)
USD	15,552,126	PHP	823,353,500	JPMC**		9/18/2019		(454,909	)
USD	6,211,957	PLN	23,286,500	CITI		9/18/2019		(36,145	)
USD	6,211,949	PLN	23,286,500	JPMC		9/18/2019		(36,153	)
USD	96,572,575	SEK	913,520,868	CITI		9/18/2019		(2,360,305	)
USD	96,572,456	SEK	913,520,883	JPMC		9/18/2019		(2,360,426	)
USD	37,899,552	SGD	51,926,000	CITI		9/18/2019		(525,159	)
USD	37,899,505	SGD	51,926,000	JPMC		9/18/2019		(525,206	)
USD	73,549,456	TWD	2,307,381,521	CITI**		9/18/2019		(1,232,506	)
USD	73,549,365	TWD	2,307,381,528	JPMC**		9/18/2019		(1,232,598	)
USD	116,827,790	ZAR	1,725,762,952	CITI		9/18/2019		(4,481,115	)
USD	116,827,643	ZAR	1,725,762,944	JPMC		9/18/2019		(4,481,261	)
USD	33,522,032	CLP	23,338,298,332	CITI**		9/23/2019		(934,282	)
USD	33,521,990	CLP	23,338,298,324	JPMC**		9/23/2019		(934,324	)
Total unrealized depreciation								(112,232,072	)
Net unrealized depreciation								$(30,084,161	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

16

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$172,650,232			$172,650,232
CITI
Investment Companies		56,531,687			—			56,531,687
GSCO
Cash		—			(37,487,333	)		(37,487,333	)
U.S. Treasury Bills		—			34,501,062			34,501,062
JPMC
Investment Companies		92,630,660			—			92,630,660
JPMS
Cash		—			(1,703,067	)		(1,703,067	)
MSCL
Cash		—			(43,054,246	)		(43,054,246	)
U.S. Treasury Bills		—			24,968,513			24,968,513
MSCS
Cash		(201,125	)		—			(201,125	)
U.S. Treasury Bills		15,879,699			—			15,879,699

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$14,690,112		$—		$14,690,112
GSCO
Cash		—		11,221,838		11,221,838
U.S. Treasury Bills		—		16,324,886		16,324,886
GSIN
U.S. Treasury Bills		17,710,243		—		17,710,243
JPPC
Cash		—		11,289,807		11,289,807
MACQ
Cash		1,148		—		1,148
U.S. Treasury Bills		108,933		—		108,933
MLIN
Cash		3,381,257		—		3,381,257
MSCL
Cash		—		17,463,577		17,463,577
U.S. Treasury Bills		—		49,534,460		49,534,460
SOCG
Cash		22,028,568		—		22,028,568

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

17

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

INVESTMENTS	SHARES		VALUE
SHORT-TERM INVESTMENTS - 91.7%
INVESTMENT COMPANIES - 14.8%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 2.08% (1)(a)(b)		16,614,320	$	16,614,320
Limited Purpose Cash Investment Fund, 2.36% (1)(a)		39,064,869		39,072,682
TOTAL INVESTMENT COMPANIES(Cost $55,673,762)				55,687,002
	PRINCIPAL AMOUNT
U.S. TREASURY OBLIGATIONS - 76.9%
U.S. Treasury Bills
2.54%, 7/5/2019 (c)	$	23,584,000		23,578,890
2.50%, 7/11/2019 (c)		40,693,000		40,671,212
2.46%, 7/18/2019 (c)		27,500,000		27,473,362
2.43%, 7/25/2019 (c)		50,000,000		49,935,001
2.44%, 8/1/2019 (c)		26,446,000		26,400,226
2.47%, 8/8/2019 (c)		38,384,000		38,300,486
2.48%, 8/15/2019 (c)		14,880,000		14,841,079
2.49%, 8/22/2019 (c)(d)		1,593,000		1,588,170
2.49%, 8/29/2019 (c)		14,858,000		14,806,864
2.40%, 9/26/2019 (c)(e)		7,258,000		7,221,604
2.41%, 10/3/2019 (c)(e)		4,863,000		4,836,430
2.42%, 10/10/2019 (c)(f)		22,421,000		22,289,217
2.43%, 10/24/2019 (c)		10,891,000		10,821,810
2.42%, 10/31/2019 (c)(e)		3,205,000		3,183,033

INVESTMENTS	PRINCIPAL AMOUNT		VALUE
U.S. TREASURY OBLIGATIONS - 76.9% (continued)
2.41%, 11/7/2019 (c)(f)	$	1,607,000	$	1,595,123
2.05%, 12/26/2019 (c)(e)		535,000		529,584
TOTAL U.S. TREASURY OBLIGATIONS(Cost $287,954,257)				288,072,091
TOTALSHORT-TERM INVESTMENTS(Cost $343,628,019)				343,759,093
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.7%(Cost $343,628,019)				343,759,093
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.3% (g)				31,298,221
NET ASSETS - 100.0%			$	375,057,314

(a) Represents 7-day effective yield as of June 30, 2019.

(b) All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts.

(c) The rate shown was the effective yield at the date of purchase.

(d) All or a portion of the security pledged as collateral for swap contracts.

(e) All or a portion of the security pledged as collateral for futures contracts.

(f) All or a portion of the security pledged as collateral for swap and futures contracts.

(g) Includes appreciation/(depreciation) on forward foreign currency exchange, futures contracts 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).

Total return swap contracts outstanding as of June 30, 2019:

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)

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

08/09/2019

USD

369,394

$8,606

Coffee ‘C’ September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/09/2019

USD

3,693,938

217,305

Corn September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(5,649,175

)

106,594

Cotton No. 2 December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

11/08/2019

USD

66,080

565

iBovespa Index August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MLIN

08/14/2019

BRL

12,188,400

54,914

Lean Hogs July Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

07/15/2019

USD

(28,840

)

6,352

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

18

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Lean Hogs August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/14/2019

USD

(30,400

)

$ 2,612

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/02/2019

USD

(375,660

)

10,169

Live Cattle August Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/02/2019

USD

(4,758,360

)

166,755

Soybean November Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

10/25/2019

USD

3,461,250

34,151

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(10,687,990

)

55,399

Soybean Oil December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

415,152

8,588

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

1,792,650

57,906

729,916

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

08/09/2019

USD

(3,693,938

)

(243,172

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

08/09/2019

USD

(656,700

)

(44,955

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/09/2019

USD

(1,888,013

)

(130,796

)

Coffee ‘C’ September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/09/2019

USD

(1,764,881

)

(117,274

)

Corn September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/23/2019

USD

5,627,938

(127,203

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

11/08/2019

USD

(462,560

)

(3,381

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

11/08/2019

USD

(660,800

)

(6,420

)

Cotton No. 2 December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/08/2019

USD

(330,400

)

(2,678

)

Lean Hogs July Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

GSIN

07/15/2019

USD

28,840

(4,512

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

08/02/2019

USD

4,758,360

(167,886

)

Live Cattle August Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

MACQ

08/02/2019

USD

375,660

(12,760

)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

19

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

REFERENCE ENTITY

PAYMENTS MADE BY FUND

PAYMENTS RECEIVED BY FUND

PAYMENT FREQUENCY

COUNTERPARTY

MATURITY DATE

NOTIONAL AMOUNT

VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

10/25/2019

USD

(6,507,150

)

$ (289,545

)

Soybean November Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

GSIN

10/25/2019

USD

(10,199,150

)

(447,637

)

Soybean Meal December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

MACQ

11/22/2019

USD

(96,870

)

(789

)

Soybean Meal December Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

SOCG

11/22/2019

USD

5,941,360

(45,710

)

Soybean Oil December Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

11/22/2019

USD

(2,629,296

)

(65,288

)

Swiss Market Index September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

Monthly

MLIN

09/20/2019

CHF

7,291,220

(23,158

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

SOCG

08/23/2019

USD

(1,792,650

)

(25,149

)

Wheat September Futures

Decreases in total return of reference entity

Increases in total return of reference entity

At termination

CITI

08/23/2019

USD

3,084,413

(23,749

)

Wheat September Futures

Increases in total return of reference entity

Decreases in total return of reference entity

At termination

CITI

08/23/2019

USD

(3,084,413

)

(24,609

)

(1,806,671

)

$(1,076,755

)

Futures contracts outstanding as of June 30, 2019:

Exchange Traded

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts
Amsterdam Exchange Index		21		7/2019	EUR		$2,678,901		$8,523
CAC 40 10 Euro Index		500		7/2019	EUR		31,457,869		228,076
IBEX 35 Index		13		7/2019	EUR		1,355,980		3,968
LME Aluminum Base Metal		1		7/2019	USD		44,514		(2,353	)
LME Aluminum Base Metal		1		7/2019	USD		44,546		(2,132	)
LME Aluminum Base Metal		1		7/2019	USD		44,530		(2,198	)
LME Aluminum Base Metal		2		7/2019	USD		89,102		(4,241	)
LME Aluminum Base Metal		2		7/2019	USD		88,963		(5,577	)
LME Aluminum Base Metal		2		7/2019	USD		89,038		(4,722	)
LME Aluminum Base Metal		3		7/2019	USD		133,958		(5,044	)
LME Aluminum Base Metal		3		7/2019	USD		133,922		(6,280	)
LME Aluminum Base Metal		3		7/2019	USD		133,524		(7,621	)
LME Aluminum Base Metal		3		7/2019	USD		133,886		(6,632	)
LME Aluminum Base Metal		4		7/2019	USD		178,466		(9,746	)
LME Aluminum Base Metal		4		7/2019	USD		178,755		(4,557	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

20

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY		NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		5		7/2019	USD			$ 222,781		$ (10,859	)
LME Aluminum Base Metal		5		7/2019	USD			222,781		(8,265	)
LME Aluminum Base Metal		5		7/2019	USD			223,505		(3,585	)
LME Aluminum Base Metal		7		7/2019	USD			311,444		(19,901	)
LME Copper Base Metal		1		7/2019	USD			149,777		(9,670	)
LME Copper Base Metal		1		7/2019	USD			149,571		(12,500	)
LME Copper Base Metal		1		7/2019	USD			149,785		(12,049	)
LME Copper Base Metal		1		7/2019	USD			149,761		(10,037	)
LME Copper Base Metal		1		7/2019	USD			149,793		(12,488	)
LME Copper Base Metal		2		7/2019	USD			299,495		(21,279	)
LME Copper Base Metal		2		7/2019	USD			299,500		(22,289	)
LME Copper Base Metal		3		7/2019	USD			449,267		(29,652	)
LME Copper Base Metal		3		7/2019	USD			449,400		(42,169	)
LME Copper Base Metal		4		7/2019	USD			599,000		(47,790	)
LME Nickel Base Metal		1		7/2019	USD			75,794		(2,095	)
LME Nickel Base Metal		1		7/2019	USD	��		75,711		(4,302	)
LME Nickel Base Metal		1		7/2019	USD			75,730		(3,536	)
LME Nickel Base Metal		2		7/2019	USD			151,825		3,007
LME Nickel Base Metal		2		7/2019	USD			151,733		527
LME Nickel Base Metal		2		7/2019	USD			151,746		2,337
LME Nickel Base Metal		2		7/2019	USD			151,773		3,147
LME Nickel Base Metal		2		7/2019	USD			151,668		(252	)
LME Nickel Base Metal		2		7/2019	USD			151,680		(5,261	)
LME Nickel Base Metal		2		7/2019	USD			151,759		3,734
LME Nickel Base Metal		2		7/2019	USD			151,812		2,886
LME Zinc Base Metal		1		7/2019	USD			63,731		(8,795	)
LME Zinc Base Metal		1		7/2019	USD			63,678		(7,008	)
LME Zinc Base Metal		1		7/2019	USD			64,050		(8,792	)
LME Zinc Base Metal		1		7/2019	USD			63,525		(5,428	)
LME Zinc Base Metal		1		7/2019	USD			63,997		(8,680	)
LME Zinc Base Metal		1		7/2019	USD			63,328		(6,137	)
LME Zinc Base Metal		2		7/2019	USD			126,429		(10,427	)
LME Zinc Base Metal		2		7/2019	USD			126,332		(12,724	)
LME Zinc Base Metal		2		7/2019	USD			126,525		(11,431	)
MSCI Singapore Index		23		7/2019	SGD			642,827		6,608
MSCI Taiwan Index		64		7/2019	USD			2,473,600		5,703
OMXS30 Index		328		7/2019	SEK			5,724,719		83,502
SGX FTSE China A50 Index		298		7/2019	USD			4,024,490		52,282
100 oz Gold		103		8/2019	USD			14,561,110		(30,531	)
LME Aluminum Base Metal		1		8/2019	USD			44,906		(47	)
LME Aluminum Base Metal		1		8/2019	USD			44,814		(1,339	)
LME Aluminum Base Metal		2		8/2019	USD			89,622		(2,309	)
LME Aluminum Base Metal		2		8/2019	USD			89,571		(1,458	)
LME Aluminum Base Metal		3		8/2019	USD			134,415		(1,344	)
LME Aluminum Base Metal		3		8/2019	USD			134,456		(551	)
LME Aluminum Base Metal		3		8/2019	USD			134,475		(2,709	)
LME Aluminum Base Metal		4		8/2019	USD			179,232		(2,630	)
LME Aluminum Base Metal		4		8/2019	USD			179,300		739
LME Aluminum Base Metal		5		8/2019	USD			223,969		(1,895	)
LME Aluminum Base Metal		5		8/2019	USD			222,540		(1,912	)
LME Aluminum Base Metal		6		8/2019	USD			268,350		(2,268	)
LME Aluminum Base Metal		8		8/2019	USD			358,650		266
LME Aluminum Base Metal		13		8/2019	USD			583,944		2,139
LME Copper Base Metal		1		8/2019	USD			149,794		(8,810	)
LME Copper Base Metal		1		8/2019	USD			149,900		2,022

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

21

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Copper Base Metal		2		8/2019	USD		$ 299,693		$ 3,100
LME Copper Base Metal		2		8/2019	USD		299,675		1,019
LME Copper Base Metal		2		8/2019	USD		299,717		(1,289	)
LME Copper Base Metal		2		8/2019	USD		299,700		(1,906	)
LME Copper Base Metal		3		8/2019	USD		449,495		(12,889	)
LME Copper Base Metal		3		8/2019	USD		449,576		(6,883	)
LME Copper Base Metal		3		8/2019	USD		449,593		(3,004	)
LME Copper Base Metal		3		8/2019	USD		449,609		(5,050	)
LME Copper Base Metal		3		8/2019	USD		449,478		(13,918	)
LME Copper Base Metal		4		8/2019	USD		599,500		(9,344	)
LME Copper Base Metal		6		8/2019	USD		899,022		(22,839	)
LME Nickel Base Metal		1		8/2019	USD		76,063		4,180
LME Nickel Base Metal		1		8/2019	USD		76,056		3,813
LME Nickel Base Metal		1		8/2019	USD		76,049		4,407
LME Nickel Base Metal		1		8/2019	USD		76,017		4,014
LME Nickel Base Metal		1		8/2019	USD		76,010		5,444
LME Nickel Base Metal		1		8/2019	USD		76,004		4,991
LME Nickel Base Metal		1		8/2019	USD		76,070		4,697
LME Nickel Base Metal		2		8/2019	USD		151,929		6,723
LME Nickel Base Metal		2		8/2019	USD		151,942		7,816
LME Nickel Base Metal		2		8/2019	USD		151,851		5,205
LME Nickel Base Metal		4		8/2019	USD		303,911		18,528
LME Zinc Base Metal		1		8/2019	USD		62,568		(810	)
LME Zinc Base Metal		1		8/2019	USD		62,973		(7,052	)
LME Zinc Base Metal		1		8/2019	USD		62,813		(3,115	)
LME Zinc Base Metal		1		8/2019	USD		62,796		(2,432	)
LME Zinc Base Metal		1		8/2019	USD		62,788		(1,915	)
LME Zinc Base Metal		2		8/2019	USD		125,530		(5,376	)
LME Zinc Base Metal		3		8/2019	USD		187,875		(4,359	)
LME Zinc Base Metal		3		8/2019	USD		188,025		(5,259	)
LME Zinc Base Metal		3		8/2019	USD		188,093		(5,041	)
LME Zinc Base Metal		4		8/2019	USD		250,252		(3,840	)
LME Zinc Base Metal		4		8/2019	USD		250,325		(1,758	)
LME Zinc Base Metal		5		8/2019	USD		313,713		(13,802	)
3 Month Canadian Bankers Acceptance		2		9/2019	CAD		374,346		27
Australia 10 Year Bond		385		9/2019	AUD		38,827,084		187,366
Australia 3 Year Bond		2,259		9/2019	AUD		182,378,276		86,621
Canada 10 Year Bond		57		9/2019	CAD		6,221,229		57,047
Cocoa		29		9/2019	USD		703,250		(21,059	)
Cocoa		56		9/2019	GBP		1,283,665		(21,806	)
Corn		112		9/2019	USD		2,378,600		(151,006	)
DAX Index		8		9/2019	EUR		2,817,279		24,508
DJIA CBOTE-Mini Index		274		9/2019	USD		36,432,410		200,146
EURO STOXX 50 Index		566		9/2019	EUR		22,307,126		223,895
Euro-Bobl		600		9/2019	EUR		91,723,028		368,342
Euro-BTP		308		9/2019	EUR		47,035,456		1,860,052
Euro-Bund		180		9/2019	EUR		35,356,075		445,719
Euro-Buxl		12		9/2019	EUR		2,768,611		100,690
Euro-OAT		165		9/2019	EUR		30,933,155		474,423
Euro-Schatz		1,153		9/2019	EUR		147,214,192		239,133
FTSE 100 Index		293		9/2019	GBP		27,419,706		116,482
FTSE/JSE Top 40 Index		50		9/2019	ZAR		1,861,271		(17,871	)
FTSE/MIB Index		3		9/2019	EUR		360,847		454
Japan 10 Year Bond		61		9/2019	JPY		87,045,866		201,852
LME Aluminum Base Metal		1		9/2019	USD		44,996		(619	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

22

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT		VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
LME Aluminum Base Metal		1		9/2019	USD		$ 44,991		$ (94	)
LME Aluminum Base Metal		1		9/2019	USD		44,987		609
LME Aluminum Base Metal		2		9/2019	USD		90,071		665
LME Aluminum Base Metal		2		9/2019	USD		90,067		861
LME Aluminum Base Metal		2		9/2019	USD		89,938		(218	)
LME Aluminum Base Metal		2		9/2019	USD		90,075		2,269
LME Aluminum Base Metal		2		9/2019	USD		89,938		933
LME Aluminum Base Metal		4		9/2019	USD		180,125		2,013
LME Aluminum Base Metal		9		9/2019	USD		404,917		1,391
LME Aluminum Base Metal		9		9/2019	USD		404,831		4,704
LME Aluminum Base Metal		9		9/2019	USD		404,719		2,457
LME Aluminum Base Metal		18		9/2019	USD		810,000		12,865
LME Aluminum Base Metal		65		9/2019	USD		2,925,406		13,935
LME Copper Base Metal		1		9/2019	USD		149,949		3,821
LME Copper Base Metal		2		9/2019	USD		299,650		94
LME Copper Base Metal		2		9/2019	USD		299,655		(1,101	)
LME Copper Base Metal		3		9/2019	USD		449,490		(1,831	)
LME Copper Base Metal		3		9/2019	USD		449,498		3,989
LME Copper Base Metal		4		9/2019	USD		599,400		5,988
LME Copper Base Metal		7		9/2019	USD		1,048,863		2,503
LME Nickel Base Metal		1		9/2019	USD		76,144		1,891
LME Nickel Base Metal		1		9/2019	USD		76,140		57
LME Nickel Base Metal		2		9/2019	USD		152,302		6,856
LME Nickel Base Metal		2		9/2019	USD		152,294		5,769
LME Nickel Base Metal		3		9/2019	USD		228,564		13,815
LME Nickel Base Metal		5		9/2019	USD		380,790		12,496
LME Zinc Base Metal		1		9/2019	USD		62,375		148
LME Zinc Base Metal		2		9/2019	USD		125,060		(596	)
LME Zinc Base Metal		2		9/2019	USD		125,063		(356	)
LME Zinc Base Metal		2		9/2019	USD		125,108		986
LME Zinc Base Metal		2		9/2019	USD		124,879		1,323
LME Zinc Base Metal		2		9/2019	USD		125,007		701
LME Zinc Base Metal		2		9/2019	USD		125,072		1,066
LME Zinc Base Metal		2		9/2019	USD		125,117		1,190
LME Zinc Base Metal		2		9/2019	USD		125,099		1,499
LME Zinc Base Metal		3		9/2019	USD		187,635		27
LME Zinc Base Metal		4		9/2019	USD		250,115		2,028
LME Zinc Base Metal		4		9/2019	USD		249,929		2,968
LME Zinc Base Metal		14		9/2019	USD		875,350		2,760
Long Gilt		309		9/2019	GBP		51,131,614		286,962
MSCI EAFEE-Mini Index		1		9/2019	USD		96,165		281
NASDAQ 100E-Mini Index		322		9/2019	USD		49,547,750		332,526
Palladium		7		9/2019	USD		1,076,320		35,755
S&P 500E-Mini Index		260		9/2019	USD		38,274,600		341,335
S&P/TSX 60 Index		304		9/2019	CAD		45,392,814		(32,900	)
SPI 200 Index		533		9/2019	AUD		61,358,237		360,559
U.S. Treasury 10 Year Note		478		9/2019	USD		61,169,063		996,633
U.S. Treasury 2 Year Note		450		9/2019	USD		96,830,859		498,612
U.S. Treasury 5 Year Note		581		9/2019	USD		68,648,781		833,462
U.S. Treasury Long Bond		262		9/2019	USD		40,765,563		1,008,285
U.S. Treasury Ultra Bond		153		9/2019	USD		27,167,063		889,457
Wheat		1		9/2019	USD		26,363		(601	)
3 Month Canadian Bankers Acceptance		52		12/2019	CAD		9,737,467		(4,912	)
3 Month Euro Euribor		274		12/2019	EUR		78,261,329		83,809
3 Month Eurodollar		654		12/2019	USD		160,377,149		881,033

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

23

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts (continued)
3 Month Euroswiss		13			12/2019	CHF		$ 3,357,867			$ 2,001
3 Month Sterling		121			12/2019	GBP		19,051,448			13,449
ASX 90 Day Bank Accepted Bill		124			12/2019	AUD		86,837,935			51,389
3 Month Canadian Bankers Acceptance		53			3/2020	CAD		9,935,350			(10,687	)
3 Month Euro Euribor		314			3/2020	EUR		89,699,729			119,344
3 Month Eurodollar		414			3/2020	USD		101,730,150			675,429
3 Month Euroswiss		20			3/2020	CHF		5,167,486			7,038
3 Month Sterling		106			3/2020	GBP		16,697,270			6,682
ASX 90 Day Bank Accepted Bill		123			3/2020	AUD		86,154,581			11,795
3 Month Euro Euribor		407			6/2020	EUR		116,272,632			169,234
3 Month Eurodollar		267			6/2020	USD		65,668,650			481,026
3 Month Euroswiss		20			6/2020	CHF		5,167,998			2,623
3 Month Sterling		140			6/2020	GBP		22,057,443			11,170
3 Month Euro Euribor		404			9/2020	EUR		115,409,843			191,581
3 Month Eurodollar		213			9/2020	USD		52,421,963			413,632
3 Month Sterling		255			9/2020	GBP		40,178,082			33,462
3 Month Euro Euribor		381			12/2020	EUR		108,823,234			197,721
3 Month Eurodollar		247			12/2020	USD		60,789,788			482,638
3 Month Sterling		322			12/2020	GBP		50,721,897			43,214
3 Month Euro Euribor		364			3/2021	EUR		103,946,909			142,717
3 Month Eurodollar		292			3/2021	USD		71,883,100			484,371
3 Month Sterling		303			3/2021	GBP		47,733,800			44,381
3 Month Euro Euribor		178			6/2021	EUR		50,818,531			33,431
3 Month Eurodollar		338			6/2021	USD		83,181,800			103,810
3 Month Sterling		305			6/2021	GBP		48,041,612			(1,735	)
											14,580,104
Short Contracts
Brent Crude Oil		(161	)		7/2019	USD		(10,423,140	)		(384,962	)
Hang Seng Index		(53	)		7/2019	HKD		(9,669,886	)		(114,460	)
HSCEI		(128	)		7/2019	HKD		(8,876,941	)		(79,890	)
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,530	)		1,957
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,546	)		1,921
LME Aluminum Base Metal		(1	)		7/2019	USD		(44,514	)		2,396
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,102	)		3,809
LME Aluminum Base Metal		(2	)		7/2019	USD		(88,963	)		5,883
LME Aluminum Base Metal		(2	)		7/2019	USD		(89,038	)		5,107
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,886	)		6,460
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,922	)		5,805
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,958	)		4,552
LME Aluminum Base Metal		(3	)		7/2019	USD		(133,524	)		7,823
LME Aluminum Base Metal		(4	)		7/2019	USD		(178,755	)		4,523
LME Aluminum Base Metal		(4	)		7/2019	USD		(178,466	)		8,941
LME Aluminum Base Metal		(5	)		7/2019	USD		(222,781	)		9,783
LME Aluminum Base Metal		(5	)		7/2019	USD		(222,781	)		8,982
LME Aluminum Base Metal		(5	)		7/2019	USD		(223,505	)		3,290
LME Aluminum Base Metal		(7	)		7/2019	USD		(311,444	)		21,695
LME Copper Base Metal		(1	)		7/2019	USD		(149,785	)		12,418
LME Copper Base Metal		(1	)		7/2019	USD		(149,571	)		12,368
LME Copper Base Metal		(1	)		7/2019	USD		(149,793	)		12,520
LME Copper Base Metal		(1	)		7/2019	USD		(149,777	)		9,382
LME Copper Base Metal		(1	)		7/2019	USD		(149,761	)		10,168
LME Copper Base Metal		(2	)		7/2019	USD		(299,500	)		22,469
LME Copper Base Metal		(2	)		7/2019	USD		(299,495	)		22,549
LME Copper Base Metal		(3	)		7/2019	USD		(449,267	)		28,850

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

24

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION		NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Copper Base Metal			(3	)		7/2019	USD		$ (449,400	)		$ 40,716
LME Copper Base Metal			(4	)		7/2019	USD		(599,000	)		46,988
LME Nickel Base Metal			(1	)		7/2019	USD		(75,794	)		2,197
LME Nickel Base Metal			(1	)		7/2019	USD		(75,730	)		3,325
LME Nickel Base Metal			(1	)		7/2019	USD		(75,711	)		4,236
LME Nickel Base Metal			(2	)		7/2019	USD		(151,668	)		431
LME Nickel Base Metal			(2	)		7/2019	USD		(151,746	)		(2,436	)
LME Nickel Base Metal			(2	)		7/2019	USD		(151,759	)		(3,641	)
LME Nickel Base Metal			(2	)		7/2019	USD		(151,773	)		(3,441	)
LME Nickel Base Metal			(2	)		7/2019	USD		(151,825	)		(3,421	)
LME Nickel Base Metal			(2	)		7/2019	USD		(151,680	)		4,702
LME Nickel Base Metal			(2	)		7/2019	USD		(151,812	)		(2,859	)
LME Nickel Base Metal			(2	)		7/2019	USD		(151,733	)		(1,536	)
LME Zinc Base Metal			(1	)		7/2019	USD		(63,678	)		7,194
LME Zinc Base Metal			(1	)		7/2019	USD		(63,525	)		5,503
LME Zinc Base Metal			(1	)		7/2019	USD		(63,997	)		8,394
LME Zinc Base Metal			(1	)		7/2019	USD		(63,328	)		5,765
LME Zinc Base Metal			(1	)		7/2019	USD		(64,050	)		9,372
LME Zinc Base Metal			(1	)		7/2019	USD		(63,731	)		9,316
LME Zinc Base Metal			(2	)		7/2019	USD		(126,429	)		10,724
LME Zinc Base Metal			(2	)		7/2019	USD		(126,525	)		10,907
LME Zinc Base Metal			(2	)		7/2019	USD		(126,332	)		12,437
Natural Gas			(1,234	)		7/2019	USD		(28,480,720	)		231,831
NY Harbor ULSD			(66	)		7/2019	USD		(5,376,017	)		(172,649	)
RBOB Gasoline			(8	)		7/2019	USD		(637,258	)		(63,635	)
WTI Crude Oil			(392	)		7/2019	USD		(22,920,240	)		(1,074,716	)
Lean Hogs			(28	)		8/2019	USD		(851,200	)		61,154
Live Cattle			(97	)		8/2019	USD		(4,048,780	)		13,489
LME Aluminum Base Metal			(1	)		8/2019	USD		(44,814	)		1,158
LME Aluminum Base Metal			(1	)		8/2019	USD		(44,906	)		90
LME Aluminum Base Metal			(2	)		8/2019	USD		(89,622	)		2,229
LME Aluminum Base Metal			(2	)		8/2019	USD		(89,571	)		910
LME Aluminum Base Metal			(3	)		8/2019	USD		(134,415	)		964
LME Aluminum Base Metal			(3	)		8/2019	USD		(134,456	)		328
LME Aluminum Base Metal			(3	)		8/2019	USD		(134,475	)		2,175
LME Aluminum Base Metal			(4	)		8/2019	USD		(179,300	)		(1,039	)
LME Aluminum Base Metal			(4	)		8/2019	USD		(179,232	)		3,574
LME Aluminum Base Metal			(5	)		8/2019	USD		(223,969	)		1,107
LME Aluminum Base Metal			(5	)		8/2019	USD		(222,540	)		2,462
LME Aluminum Base Metal			(6	)		8/2019	USD		(268,350	)		738
LME Aluminum Base Metal			(8	)		8/2019	USD		(358,650	)		(201	)
LME Aluminum Base Metal			(13	)		8/2019	USD		(583,944	)		(2,582	)
LME Copper Base Metal			(1	)		8/2019	USD		(149,794	)		11,085
LME Copper Base Metal			(1	)		8/2019	USD		(149,900	)		(2,402	)
LME Copper Base Metal			(2	)		8/2019	USD		(299,693	)		(3,099	)
LME Copper Base Metal			(2	)		8/2019	USD		(299,700	)		1,884
LME Copper Base Metal			(2	)		8/2019	USD		(299,717	)		1,740
LME Copper Base Metal	��		(2	)		8/2019	USD		(299,675	)		(2,521	)
LME Copper Base Metal			(3	)		8/2019	USD		(449,609	)		4,024
LME Copper Base Metal			(3	)		8/2019	USD		(449,593	)		3,310
LME Copper Base Metal			(3	)		8/2019	USD		(449,576	)		4,331
LME Copper Base Metal			(3	)		8/2019	USD		(449,495	)		12,107
LME Copper Base Metal			(3	)		8/2019	USD		(449,478	)		14,398
LME Copper Base Metal			(4	)		8/2019	USD		(599,500	)		8,879
LME Copper Base Metal			(6	)		8/2019	USD		(899,022	)		19,198

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

25

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(1	)		8/2019	USD		$ (76,017	)		$ (4,050	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,010	)		(5,047	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,063	)		(4,297	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,056	)		(3,889	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,070	)		(4,907	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,049	)		(4,407	)
LME Nickel Base Metal		(1	)		8/2019	USD		(76,004	)		(5,020	)
LME Nickel Base Metal		(2	)		8/2019	USD		(151,942	)		(7,789	)
LME Nickel Base Metal		(2	)		8/2019	USD		(151,929	)		(7,231	)
LME Nickel Base Metal		(2	)		8/2019	USD		(151,851	)		(5,198	)
LME Nickel Base Metal		(4	)		8/2019	USD		(303,911	)		(19,085	)
LME Zinc Base Metal		(1	)		8/2019	USD		(62,813	)		2,783
LME Zinc Base Metal		(1	)		8/2019	USD		(62,568	)		868
LME Zinc Base Metal		(1	)		8/2019	USD		(62,796	)		2,222
LME Zinc Base Metal		(1	)		8/2019	USD		(62,973	)		7,730
LME Zinc Base Metal		(1	)		8/2019	USD		(62,788	)		1,903
LME Zinc Base Metal		(2	)		8/2019	USD		(125,530	)		5,193
LME Zinc Base Metal		(3	)		8/2019	USD		(188,025	)		5,088
LME Zinc Base Metal		(3	)		8/2019	USD		(188,093	)		4,378
LME Zinc Base Metal		(3	)		8/2019	USD		(187,875	)		3,926
LME Zinc Base Metal		(4	)		8/2019	USD		(250,325	)		1,692
LME Zinc Base Metal		(4	)		8/2019	USD		(250,252	)		3,488
LME Zinc Base Metal		(5	)		8/2019	USD		(313,713	)		13,768
Low Sulphur Gasoil		(262	)		8/2019	USD		(15,654,500	)		(615,507	)
Copper		(109	)		9/2019	USD		(7,394,288	)		(33,500	)
KC HRW Wheat		(36	)		9/2019	USD		(830,700	)		17,155
KOSPI 200 Index		(68	)		9/2019	KRW		(4,098,904	)		(89,144	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,987	)		(550	)
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,991	)		125
LME Aluminum Base Metal		(1	)		9/2019	USD		(44,996	)		527
LME Aluminum Base Metal		(2	)		9/2019	USD		(90,071	)		(799	)
LME Aluminum Base Metal		(2	)		9/2019	USD		(89,938	)		76
LME Aluminum Base Metal		(2	)		9/2019	USD		(89,938	)		(880	)
LME Aluminum Base Metal		(2	)		9/2019	USD		(90,067	)		(750	)
LME Aluminum Base Metal		(2	)		9/2019	USD		(90,075	)		(1,951	)
LME Aluminum Base Metal		(4	)		9/2019	USD		(180,125	)		(2,272	)
LME Aluminum Base Metal		(9	)		9/2019	USD		(404,831	)		(4,158	)
LME Aluminum Base Metal		(9	)		9/2019	USD		(404,917	)		57
LME Aluminum Base Metal		(9	)		9/2019	USD		(404,719	)		(1,991	)
LME Aluminum Base Metal		(18	)		9/2019	USD		(810,000	)		(12,649	)
LME Aluminum Base Metal		(144	)		9/2019	USD		(6,480,900	)		(23,735	)
LME Copper Base Metal		(1	)		9/2019	USD		(149,949	)		(4,184	)
LME Copper Base Metal		(2	)		9/2019	USD		(299,655	)		1,067
LME Copper Base Metal		(2	)		9/2019	USD		(299,650	)		(612	)
LME Copper Base Metal		(3	)		9/2019	USD		(449,498	)		(3,425	)
LME Copper Base Metal		(3	)		9/2019	USD		(449,490	)		1,858
LME Copper Base Metal		(4	)		9/2019	USD		(599,400	)		(6,214	)
LME Copper Base Metal		(7	)		9/2019	USD		(1,048,863	)		(3,185	)
LME Copper Base Metal		(37	)		9/2019	USD		(5,546,300	)		(57,668	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,140	)		(102	)
LME Nickel Base Metal		(1	)		9/2019	USD		(76,144	)		(1,601	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,302	)		(7,075	)
LME Nickel Base Metal		(2	)		9/2019	USD		(152,294	)		(4,817	)
LME Nickel Base Metal		(3	)		9/2019	USD		(228,564	)		(12,037	)
LME Nickel Base Metal		(5	)		9/2019	USD		(380,790	)		(12,902	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

26

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

DESCRIPTION	NUMBER OF CONTRACTS			EXPIRATION DATE		TRADING CURRENCY	NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts (continued)
LME Nickel Base Metal		(26	)		9/2019	USD		$ (1,981,980	)		$ (91,814	)
LME Zinc Base Metal		(1	)		9/2019	USD		(62,375	)		(327	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,007	)		(831	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,060	)		671
LME Zinc Base Metal		(2	)		9/2019	USD		(125,063	)		924
LME Zinc Base Metal		(2	)		9/2019	USD		(125,099	)		(1,155	)
LME Zinc Base Metal		(2	)		9/2019	USD		(124,879	)		(1,662	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,072	)		(1,256	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,117	)		(1,398	)
LME Zinc Base Metal		(2	)		9/2019	USD		(125,108	)		(789	)
LME Zinc Base Metal		(3	)		9/2019	USD		(187,635	)		431
LME Zinc Base Metal		(4	)		9/2019	USD		(250,115	)		(2,343	)
LME Zinc Base Metal		(4	)		9/2019	USD		(249,929	)		(3,899	)
LME Zinc Base Metal		(51	)		9/2019	USD		(3,188,775	)		6,192
MSCI Emerging MarketsE-Mini Index		(12	)		9/2019	USD		(632,040	)		(28,675	)
Nikkei 225 Index		(53	)		9/2019	JPY		(10,451,050	)		(72,869	)
Russell 2000E-Mini Index		(68	)		9/2019	USD		(5,328,140	)		(113,152	)
S&P Midcap 400E-Mini Index		(1	)		9/2019	USD		(195,000	)		(3,044	)
Silver		(54	)		9/2019	USD		(4,142,070	)		22,009
Sugar No. 11		(29	)		9/2019	USD		(409,898	)		4,526
TOPIX Index		(145	)		9/2019	JPY		(20,859,342	)		(16,439	)
Platinum		(48	)		10/2019	USD		(2,018,640	)		(68,972	)
Soybean		(13	)		11/2019	USD		(599,950	)		250
Cotton No. 2		(46	)		12/2019	USD		(1,519,840	)		1,972
Soybean Meal		(20	)		12/2019	USD		(645,800	)		1,970
Soybean Oil		(20	)		12/2019	USD		(345,960	)		(5,340	)
											(2,374,211	)
											$12,205,893

Forward foreign currency contracts outstanding as of June 30, 2019:

Over the Counter

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
AUD	6,782,000	USD	4,731,296	CITI		9/18/2019		$41,394
AUD	6,782,000	USD	4,731,302	JPMC		9/18/2019		41,388
BRL	36,132,500	USD	9,181,478	CITI**		9/18/2019		156,676
BRL	36,132,500	USD	9,181,489	JPMC**		9/18/2019		156,664
CAD	87,956,000	USD	66,501,437	CITI		9/18/2019		761,058
CAD	87,956,000	USD	66,502,549	JPMC		9/18/2019		759,946
CHF	26,318,500	USD	26,716,739	CITI		9/18/2019		437,780
CHF	26,318,500	USD	26,716,725	JPMC		9/18/2019		437,794
COP	1,154,349,500	USD	345,934	CITI**		9/18/2019		11,555
COP	1,154,349,500	USD	345,934	JPMC**		9/18/2019		11,555
EUR	21,372,000	USD	24,161,751	CITI		9/18/2019		293,264
EUR	21,372,000	USD	24,161,782	JPMC		9/18/2019		293,234
GBP	9,113,738	USD	11,587,854	CITI		9/18/2019		27,367
GBP	9,113,731	USD	11,587,860	JPMC		9/18/2019		27,353
HKD	3,281,500	USD	418,783	CITI		9/18/2019		1,442
HKD	3,281,500	USD	418,783	JPMC		9/18/2019		1,441
HUF	798,344,000	USD	2,796,230	CITI		9/18/2019		27,587

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

27

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
HUF	798,344,000	USD	2,796,234	JPMC		9/18/2019		$ 27,582
IDR	92,979,552,656	USD	6,412,415	CITI**		9/18/2019		103,221
IDR	92,979,552,656	USD	6,412,423	JPMC**		9/18/2019		103,212
ILS	448,500	USD	125,650	CITI		9/18/2019		638
ILS	448,500	USD	125,650	JPMC		9/18/2019		638
INR	474,639,512	USD	6,738,139	CITI**		9/18/2019		72,905
INR	474,639,520	USD	6,738,154	JPMC**		9/18/2019		72,890
JPY	3,629,513,868	USD	33,584,476	CITI		9/18/2019		276,746
JPY	3,629,513,877	USD	33,584,488	JPMC		9/18/2019		276,735
KRW	17,431,145,500	USD	14,732,194	CITI**		9/18/2019		362,847
KRW	17,431,145,500	USD	14,732,212	JPMC**		9/18/2019		362,828
MXN	172,225,474	USD	8,709,294	CITI		9/18/2019		145,072
MXN	171,455,436	USD	8,669,756	JPMC		9/18/2019		145,022
NOK	20,767,500	USD	2,396,723	CITI		9/18/2019		43,135
NOK	20,767,500	USD	2,396,726	JPMC		9/18/2019		43,132
NZD	9,194,500	USD	6,135,090	CITI		9/18/2019		50,979
NZD	9,194,500	USD	6,135,097	JPMC		9/18/2019		50,971
PHP	243,371,504	USD	4,644,032	CITI**		9/18/2019		87,418
PHP	243,371,496	USD	4,644,045	JPMC**		9/18/2019		87,405
PLN	133,316,010	USD	34,933,920	CITI		9/18/2019		836,679
PLN	133,315,991	USD	34,933,958	JPMC		9/18/2019		836,635
SEK	30,372,500	USD	3,222,892	CITI		9/18/2019		66,402
SEK	30,372,500	USD	3,222,896	JPMC		9/18/2019		66,399
SGD	1,019,500	USD	752,282	CITI		9/18/2019		2,137
SGD	1,019,500	USD	752,283	JPMC		9/18/2019		2,137
TWD	7,037,500	USD	224,321	CITI**		9/18/2019		3,763
TWD	7,037,500	USD	224,322	JPMC**		9/18/2019		3,763
USD	185,746	COP	596,673,500	CITI**		9/18/2019		962
USD	185,745	COP	596,673,500	JPMC**		9/18/2019		962
USD	25,983,661	GBP	20,341,500	CITI		9/18/2019		58,949
USD	25,983,629	GBP	20,341,500	JPMC		9/18/2019		58,918
USD	3,877,653	KRW	4,470,431,500	CITI**		9/18/2019		6,344
USD	3,877,648	KRW	4,470,431,500	JPMC**		9/18/2019		6,340
USD	140,171	MXN	2,722,000	CITI		9/18/2019		229
USD	140,171	MXN	2,722,000	JPMC		9/18/2019		229
USD	2,015,487	PLN	7,510,500	CITI		9/18/2019		312
USD	2,015,484	PLN	7,510,500	JPMC		9/18/2019		309
USD	300,882	TWD	9,276,000	CITI**		9/18/2019		247
USD	300,932	TWD	9,276,000	JPMC**		9/18/2019		298
ZAR	147,817,500	USD	10,103,640	CITI		9/18/2019		286,883
ZAR	147,817,500	USD	10,103,653	JPMC		9/18/2019		286,870
CLP	755,204,500	USD	1,077,831	CITI**		9/23/2019		37,142
CLP	755,204,500	USD	1,077,832	JPMC**		9/23/2019		37,140
Total unrealized appreciation								8,400,923
BRL	8,248,000	USD	2,138,074	CITI**		9/18/2019		(6,446	)
BRL	8,248,000	USD	2,138,077	JPMC**		9/18/2019		(6,448	)
CHF	5,625,000	USD	5,813,499	CITI		9/18/2019		(9,819	)
CHF	5,625,000	USD	5,813,507	JPMC		9/18/2019		(9,826	)
COP	26,625,500	USD	8,345	CITI**		9/18/2019		(99	)
COP	26,625,500	USD	8,345	JPMC**		9/18/2019		(99	)
EUR	5,010,000	USD	5,744,939	CITI		9/18/2019		(12,221	)
EUR	5,010,000	USD	5,744,946	JPMC		9/18/2019		(12,228	)
GBP	6,208,766	USD	7,934,588	CITI		9/18/2019		(21,677	)
GBP	6,208,763	USD	7,934,594	JPMC		9/18/2019		(21,687	)
HUF	224,517,000	USD	796,503	CITI		9/18/2019		(2,366	)
HUF	224,517,000	USD	796,504	JPMC		9/18/2019		(2,366	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

28

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
IDR	19,249,648,500	USD	1,351,108	CITI**		9/18/2019		$ (2,170	)
IDR	19,249,648,500	USD	1,351,110	JPMC**		9/18/2019		(2,171	)
JPY	1,025,020,553	USD	9,603,485	CITI		9/18/2019		(40,648	)
JPY	1,025,020,554	USD	9,603,140	JPMC		9/18/2019		(40,303	)
MXN	121,518,026	USD	6,265,927	CITI		9/18/2019		(18,506	)
MXN	122,288,072	USD	6,305,536	JPMC		9/18/2019		(18,525	)
NOK	20,462,500	USD	2,413,140	CITI		9/18/2019		(9,114	)
NOK	20,462,500	USD	2,413,143	JPMC		9/18/2019		(9,117	)
SEK	9,348,000	USD	1,014,085	CITI		9/18/2019		(1,711	)
SEK	9,348,000	USD	1,014,086	JPMC		9/18/2019		(1,713	)
SGD	266,500	USD	197,287	CITI		9/18/2019		(79	)
SGD	266,500	USD	197,287	JPMC		9/18/2019		(80	)
USD	55,428,372	AUD	79,870,004	CITI		9/18/2019		(778,463	)
USD	55,428,298	AUD	79,869,996	JPMC		9/18/2019		(778,532	)
USD	12,114,114	BRL	47,858,496	CITI**		9/18/2019		(254,529	)
USD	12,114,101	BRL	47,858,504	JPMC**		9/18/2019		(254,544	)
USD	6,648,443	CAD	8,918,504	CITI		9/18/2019		(171,795	)
USD	6,648,845	CAD	8,918,496	JPMC		9/18/2019		(171,387	)
USD	5,314,272	CHF	5,251,000	CITI		9/18/2019		(103,529	)
USD	5,314,265	CHF	5,251,000	JPMC		9/18/2019		(103,535	)
USD	1,105,704	COP	3,667,510,504	CITI**		9/18/2019		(30,083	)
USD	1,105,703	COP	3,667,510,504	JPMC**		9/18/2019		(30,085	)
USD	85,549,712	EUR	75,682,991	CITI		9/18/2019		(1,050,923	)
USD	85,549,628	EUR	75,683,012	JPMC		9/18/2019		(1,051,030	)
USD	44,988,288	GBP	35,427,500	CITI		9/18/2019		(163,137	)
USD	44,988,232	GBP	35,427,500	JPMC		9/18/2019		(163,195	)
USD	418,877	HKD	3,281,504	CITI		9/18/2019		(1,347	)
USD	418,876	HKD	3,281,496	JPMC		9/18/2019		(1,348	)
USD	3,850,112	HUF	1,110,015,015	CITI		9/18/2019		(76,113	)
USD	3,850,107	HUF	1,110,015,017	JPMC		9/18/2019		(76,118	)
USD	1,500,050	IDR	22,294,063,500	CITI**		9/18/2019		(62,228	)
USD	1,500,049	IDR	22,294,063,500	JPMC**		9/18/2019		(62,230	)
USD	601,156	ILS	2,156,000	CITI		9/18/2019		(5,928	)
USD	601,155	ILS	2,156,000	JPMC		9/18/2019		(5,928	)
USD	919,097	INR	64,694,000	CITI**		9/18/2019		(9,257	)
USD	919,098	INR	64,694,000	JPMC**		9/18/2019		(9,257	)
USD	291,186	JPY	31,292,000	CITI		9/18/2019		(750	)
USD	291,186	JPY	31,292,000	JPMC		9/18/2019		(750	)
USD	52,567,818	KRW	61,942,818,127	CITI**		9/18/2019		(1,073,486	)
USD	52,567,752	KRW	61,942,818,120	JPMC**		9/18/2019		(1,073,552	)
USD	5,088,922	MXN	101,218,500	CITI		9/18/2019		(114,871	)
USD	5,088,916	MXN	101,218,500	JPMC		9/18/2019		(114,877	)
USD	4,075,839	NOK	35,429,001	CITI		9/18/2019		(86,518	)
USD	4,075,834	NOK	35,428,999	JPMC		9/18/2019		(86,523	)
USD	19,842,212	NZD	30,272,996	CITI		9/18/2019		(525,487	)
USD	19,842,193	NZD	30,273,004	JPMC		9/18/2019		(525,512	)
USD	1,562,097	PHP	82,715,000	CITI**		9/18/2019		(45,988	)
USD	1,562,095	PHP	82,715,000	JPMC**		9/18/2019		(45,990	)
USD	758,930	PLN	2,846,000	CITI		9/18/2019		(4,693	)
USD	758,929	PLN	2,846,000	JPMC		9/18/2019		(4,693	)
USD	9,652,483	SEK	91,309,004	CITI		9/18/2019		(236,139	)
USD	9,652,470	SEK	91,308,996	JPMC		9/18/2019		(236,151	)
USD	3,825,144	SGD	5,241,500	CITI		9/18/2019		(53,513	)
USD	3,825,139	SGD	5,241,500	JPMC		9/18/2019		(53,517	)
USD	7,429,013	TWD	233,067,000	CITI**		9/18/2019		(124,660	)
USD	7,429,004	TWD	233,067,000	JPMC**		9/18/2019		(124,670	)
USD	11,628,492	ZAR	171,823,496	CITI		9/18/2019		(449,482	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

29

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

CURRENCY PURCHASED		CURRENCY SOLD		COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	11,628,478	ZAR	171,823,504	JPMC		9/18/2019		$ (449,497	)
USD	3,369,060	CLP	2,345,418,040	CITI**		9/23/2019		(93,680	)
USD	3,369,056	CLP	2,345,418,024	JPMC**		9/23/2019		(93,684	)
Total unrealized depreciation								(11,282,623	)
Net unrealized depreciation								$(2,881,700	)

** Non-deliverable forward.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED			TOTAL
BARC
Cash		$—			$17,430,426			$17,430,426
CITI
Investment Companies		5,713,413			—			5,713,413
GSCO
Cash		—			(497,197	)		(497,197	)
JPMC
Investment Companies		9,264,089			—			9,264,089
JPMS
Cash		—			(77,221	)		(77,221	)
MLIN
Cash		(10,000	)		—			(10,000	)
MSCL
Cash		—			(1,796,468	)		(1,796,468	)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2019

30

Consolidated Schedule of Investments June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2019 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ EXCHANGE CLEARED		TOTAL
CITI
Investment Companies		$1,636,817			$—		$1,636,817
GSCO
Cash		—			2,780,218		2,780,218
GSIN
Cash		(42,819	)		—		(42,819	)
U.S. Treasury Bills		2,032,735			—		2,032,735
JPPC
Cash		—			1,181,744		1,181,744
MSCL
Cash		—			1,792,566		1,792,566
U.S. Treasury Bills		—			4,994,482		4,994,482
SOCG
Cash		2,123,230			—		2,123,230

The following abbreviations are used for counterparty descriptions:

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

GSCO - Goldman Sachs & Co.

GSIN - Goldman Sachs International

JPMC - J.P. Morgan Chase Bank, NA

JPMS - J.P. Morgan Securities LLC

JPPC - J.P. Morgan Securities plc

MACQ - Macquarie Bank Ltd.

MLIN - Merrill Lynch International

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

31

Consolidated Statements of Assets and Liabilities     June 30, 2019 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
ASSETS:
Investments in securities of unaffiliated issuers, at cost	$	4,777,213,711		$	343,628,019
Investments in securities of affiliated issuers, at cost	$	546,282,485		$	—
Investments in securities of unaffiliated issuers, at value	$	4,779,983,995		$	343,759,093
Investments in securities of affiliated issuers, at value		546,447,532			—
Cash		37,874			—
Cash denominated in foreign currencies‡		4,746,454			435,599
Unrealized appreciation on forward foreign currency exchange contracts		82,147,911			8,400,923
Unrealized appreciation on OTC swaps		7,326,152			729,916
Due from broker		25,593,524			2,238,901
Deposits with brokers for futures contracts		239,898,320			31,601,108
Variation margin on futures contracts		14,678,163			1,494,385
Receivables:
Securities sold		519,638,412			39,612,681
Interfund Loan due from Affiliate		3,000,000			—
Dividends and interest		1,822,213			117,101
Capital shares sold		2,386,105			277,079
Prepaid expenses		182,781			59,544
Total Assets		6,227,889,436			428,726,330
LIABILITIES:
Due to custodian		—			3,491
Due to broker		50,081			52,542
Unrealized depreciation on forward foreign currency exchange contracts		112,232,072			11,282,623
Unrealized depreciation on OTC swaps		18,246,116			1,806,671
Deposits from brokers for futures contracts		569,351			—
Variation margin on futures contracts		751,947			75,532
Payables:
Securities purchased		519,675,158			39,618,570
Accrued investment advisory fees		4,848,962			436,078
Accrued distribution fees—Class N		325,775			10,650
Accrued Trustee fees		696			228
Capital shares redeemed		8,798,693			293,090
Other accrued expenses and liabilities		794,681			89,541
Total Liabilities		666,293,532			53,669,016
Net Assets	$	5,561,595,904		$	375,057,314
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	6,586,318,403		$	474,291,915
Total distributable earnings (loss)		(1,024,722,499	)		(99,234,601	)
Net Assets	$	5,561,595,904		$	375,057,314
NET ASSETS:
Class I	$	3,331,934,097		$	195,648,332
Class N		1,577,981,985			51,424,074
Class R6		651,679,822			127,984,908
SHARES OUTSTANDING:
Class I		387,348,412			24,286,780
Class N		186,796,930			6,464,977
Class R6		75,612,147			15,838,834
NET ASSET VALUE:
Class I	$	8.60		$	8.06
Class N	$	8.45		$	7.95
Class R6	$	8.62		$	8.08
‡  Cash denominated in foreign currencies at cost	$	4,706,344		$	433,871

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

32

Consolidated Statements of Operations June 30, 2019 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE SIX MONTHS ENDED JUNE 30, 2019
INVESTMENT INCOME:
Dividend income:
Unaffiliated issuers†		$4,682,623			$876,420
Affiliated issuers		6,050,457			—
Interest income:
Unaffiliated issuers		60,922,228			3,732,933
Interfund lending income		650			—
Total Income		71,655,958			4,609,353
EXPENSES:
Investment advisory fees		32,226,462			2,922,699
Custody fees		234,837			41,114
Administration & accounting fees		1,172,554			85,286
Legal fees		101,727			7,004
Audit & tax fees		58,883		��	46,422
Shareholder reporting fees		390,947			25,934
Transfer agent fees		2,195,390			137,593
Trustee fees		152,579			12,757
Distribution fees—Class N		2,077,091			74,849
Interest expense		88,922			5,142
Registration fees		108,334			52,358
Pricing fee		235			23
Other expenses		161,860			13,774
Total Expenses		38,969,821			3,424,955
Less fee waivers and/or reimbursements		—			(87,889	)
Net Expenses		38,969,821			3,337,066
Net Investment Income (Loss)		32,686,137			1,272,287
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Transactions in investment securities of unaffiliated issuers		5,798			(1,235	)
Transactions in investment securities of affiliated issuers		44,414			—
Settlement of foreign currency and foreign currency transactions		(8,680,461	)		(693,388	)
Settlement of forward foreign currency contracts		(81,203,373	)		(8,776,580	)
Expiration or closing of futures contracts		152,774,859			13,935,298
Expiration or closing of swap contracts		(28,047,004	)		(2,862,690	)
Net realized gain (loss)		34,894,233			1,601,405
Net change in unrealized appreciation (depreciation) on:
Investment securities of unaffiliated issuers		4,079,204			142,886
Investment securities of affiliated issuers		99,508			—
Foreign currency and foreign currency transactions		41,365			(4,158	)
Forward foreign currency exchange contracts		44,925,834			5,081,889
Futures contracts		21,293,636			1,542,150
Swap contracts		(16,804,164	)		(1,712,232	)
Net change in unrealized appreciation (depreciation)		53,635,383			5,050,535
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		88,529,616			6,651,940
Net increase (decrease) in net assets resulting from operations		$121,215,753			$7,924,227
†  Net of foreign taxes withheld of		$70,345			$5,185

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

33

Consolidated Statements of Changes in Net Assets June 30, 2019 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018			FOR THE SIX MONTHS ENDED JUNE 30, 2019			FOR THE YEAR ENDED DECEMBER 31, 2018
OPERATIONS:
Net investment income (loss)		$32,686,137			$51,227,733			$1,272,287			$87,395
Net realized gain (loss)		34,894,233			(840,523,198	)		1,601,405			(92,615,582	)
Net change in unrealized appreciation (depreciation)		53,635,383			(114,196,271	)		5,050,535			(10,779,667	)
Net increase (decrease) in net assets resulting from operations		121,215,753			(903,491,736	)		7,924,227			(103,307,854	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		671,131,991			2,614,472,764			39,975,517			179,261,874
Cost of shares redeemed		(1,664,983,039	)		(3,801,315,537	)		(93,515,417	)		(348,055,614	)
Net increase (decrease) from capital transactions		(993,851,048	)		(1,186,842,773	)		(53,539,900	)		(168,793,740	)
CLASS N
Proceeds from shares sold		143,570,967			678,584,221			26,311,560			59,101,705
Cost of shares redeemed		(411,981,085	)		(1,931,685,708	)		(35,845,881	)		(87,274,290	)
Net increase (decrease) from capital transactions		(268,410,118	)		(1,253,101,487	)		(9,534,321	)		(28,172,585	)
CLASS R6
Proceeds from shares sold		98,933,926			444,551,835			33,720,355			101,293,925
Cost of shares redeemed		(434,594,399	)		(1,186,157,737	)		(88,716,554	)		(138,016,109	)
Net increase (decrease) from capital transactions		(335,660,473	)		(741,605,902	)		(54,996,199	)		(36,722,184	)
Net increase (decrease) in net assets resulting from capital transactions		(1,597,921,639	)		(3,181,550,162	)		(118,070,420	)		(233,688,509	)
Total increase (decrease) in net assets		(1,476,705,886	)		(4,085,041,898	)		(110,146,193	)		(336,996,363	)
NET ASSETS:
Beginning of period		7,038,301,790			11,123,343,688			485,203,507			822,199,870
End of period		$5,561,595,904			$7,038,301,790			$375,057,314			$485,203,507
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		505,883,440			645,147,269			31,271,904			50,683,732
Shares sold		80,666,003			294,436,420			5,163,700			21,493,989
Shares redeemed		(199,201,031	)		(433,700,249	)		(12,148,824	)		(40,905,817	)
Shares outstanding, end of period		387,348,412			505,883,440			24,286,780			31,271,904
CLASS N
Shares outstanding, beginning of period		219,062,904			365,313,253			7,661,123			10,760,367
Shares sold		17,316,212			76,718,388			3,486,672			7,085,031
Shares redeemed		(49,582,186	)		(222,968,737	)		(4,682,818	)		(10,184,275	)
Shares outstanding, end of period		186,796,930			219,062,904			6,464,977			7,661,123
CLASS R6
Shares outstanding, beginning of period		115,388,592			199,171,371			23,133,614			28,585,910
Shares sold		11,863,609			49,367,498			4,342,153			11,373,363
Shares redeemed		(51,640,054	)		(133,150,277	)		(11,636,933	)		(16,825,659	)
Shares outstanding, end of period		75,612,147			115,388,592			15,838,834			23,133,614

** See Note 2 in the Notes to Consolidated Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

34

[Intentionally Left Blank]

Consolidated Financial Highlights June 30, 2019 (Unaudited)

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)			Net Realized and Unrealized Gain (Loss)			Net Increase (Decrease) in Net Asset Value from Operations			Distributions from Net Investment Income			Distributions from Net Realized Gains			Total Distributions
AQR MANAGED FUTURES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$8.41		0.05			0.14			0.19			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.23		0.06			(0.88	)		(0.82	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.03	)		(0.06	)		(0.09	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.08	)		(0.78	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.63		(0.12	)		0.34			0.22			(0.46	)		(0.21	)		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		(0.97	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$8.27		0.04			0.14			0.18			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.10		0.03			(0.86	)		(0.83	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.21		(0.06	)		(0.05	)		(0.11	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.09		(0.11	)		(0.77	)		(0.88	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.54		(0.15	)		0.34			0.19			(0.43	)		(0.21	)		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		(0.93	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$8.42		0.05			0.15			0.20			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.24		0.06			(0.88	)		(0.82	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.32		(0.02	)		(0.06	)		(0.08	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.18		(0.07	)		(0.79	)		(0.86	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.62		(0.11	)		0.34			0.23			(0.46	)		(0.21	)		(0.67	)
FOR THE PERIOD 9/02/146—12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		(0.98	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2019		$7.82		0.02			0.22			0.24			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.14		0.00	5		(1.32	)		(1.32	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.29		(0.08	)		(0.07	)		(0.15	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.28	)		(1.41	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.18	)		0.46			0.28			(0.51	)		(0.30	)		(0.81	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2019		$7.73		0.01			0.21			0.22			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.06		(0.02	)		(1.31	)		(1.33	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.23		(0.10	)		(0.07	)		(0.17	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.66		(0.16	)		(1.27	)		(1.43	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.21		(0.21	)		0.46			0.25			(0.50	)		(0.30	)		(0.80	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
SIX MONTHS ENDED JUNE 30, 2019		$7.84		0.03			0.21			0.24			—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2018		$9.15		0.01			(1.32	)		(1.31	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2017		$9.30		(0.07	)		(0.08	)		(0.15	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2016		$10.70		(0.13	)		(1.27	)		(1.40	)		(0.00	)5		—			(0.00	)5
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.17	)		0.46			0.29			(0.52	)		(0.30	)		(0.82	)
FOR THE PERIOD 9/02/146—12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)

* 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  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.

³  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.

⁴  Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

⁵  Amount is less than $.005 per share.

⁶  Commencement of offering of shares.

⁷  Certain expenses incurred by the Fund were not annualized for the period.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

36

Consolidated Financial Highlights June 30, 2019 (Unaudited)

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Before Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Net Investment Income (Loss)			Portfolio Turnover Rate
	$8.60		2.26	%		$3,331,934		1.20	%		1.20	%		1.20	%		1.13	%		0	%
	$8.41		(8.88	)%		$4,254,642		1.16	%		1.16	%		1.16	%		0.62	%		0	%
	$9.23		(0.97	)%		$5,956,726		1.19	%		1.19	%		1.19	%		(0.38	)%		0	%
	$9.32		(8.43	)%		$7,654,491		1.20	%		1.20	%		1.20	%		(0.81	)%		0	%
	$10.18		2.00	%		$7,778,072		1.21	%		1.21	%		1.21	%		(1.11	)%		0	%
	$10.63		9.69	%		$5,633,607		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$8.45		2.18	%		$1,577,982		1.47	%		1.47	%		1.47	%		0.86	%		0	%
	$8.27		(9.12	)%		$1,811,668		1.45	%		1.45	%		1.45	%		0.30	%		0	%
	$9.10		(1.19	)%		$3,325,717		1.46	%		1.46	%		1.46	%		(0.63	)%		0	%
	$9.21		(8.71	)%		$3,334,207		1.48	%		1.48	%		1.47	%		(1.08	)%		0	%
	$10.09		1.75	%		$1,588,011		1.47	%		1.47	%		1.47	%		(1.38	)%		0	%
	$10.54		9.34	%		$1,310,969		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$8.62		2.38	%		$651,680		1.13	%		1.13	%		1.13	%		1.21	%		0	%
	$8.42		(8.87	)%		$971,992		1.11	%		1.11	%		1.11	%		0.66	%		0	%
	$9.24		(0.86	)%		$1,840,901		1.11	%		1.11	%		1.11	%		(0.27	)%		0	%
	$9.32		(8.43	)%		$1,169,464		1.13	%		1.13	%		1.13	%		(0.73	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.16	%		1.15	%		1.15	%		(1.11	)%		0	%
	$8.06		3.07	%		$195,648		1.69	%		1.65	%		1.65	%		0.64	%		0	%
	$7.82		(14.44	)%		$244,569		1.65	%		1.64	%		1.64	%		0.00	%		0	%
	$9.14		(1.61	)%		$463,124		1.64	%		1.64	%		1.64	%		(0.85	)%		0	%
	$9.29		(13.17	)%		$411,599		1.66	%		1.64	%		1.64	%		(1.29	)%		0	%
	$10.70		2.48	%		$258,691		1.65	%		1.61	%		1.61	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.76	%7		1.65	%		1.65	%		(1.62	)%		0	%
	$7.95		2.85	%		$51,424		1.95	%		1.91	%		1.91	%		0.38	%		0	%
	$7.73		(14.68	)%		$59,231		1.91	%		1.90	%		1.90	%		(0.24	)%		0	%
	$9.06		(1.84	)%		$97,440		1.90	%		1.90	%		1.90	%		(1.13	)%		0	%
	$9.23		(13.40	)%		$116,422		1.91	%		1.90	%		1.90	%		(1.55	)%		0	%
	$10.66		2.19	%		$137,115		1.92	%		1.89	%		1.89	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		2.12	%7		1.90	%		1.90	%		(1.88	)%		0	%
	$8.08		3.06	%		$127,985		1.60	%		1.56	%		1.56	%		0.73	%		0	%
	$7.84		(14.32	)%		$181,404		1.56	%		1.55	%		1.55	%		0.12	%		0	%
	$9.15		(1.61	)%		$261,636		1.55	%		1.55	%		1.55	%		(0.75	)%		0	%
	$9.30		(13.07	)%		$203,463		1.57	%		1.55	%		1.55	%		(1.20	)%		0	%
	$10.70		2.54	%		$133,722		1.59	%		1.55	%		1.55	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.68	%7		1.55	%		1.55	%		(1.52	)%		0	%

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2019

37

Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2019, the Trust consists of thirty-nine active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.

The investment objective of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.

2. Consolidation of Subsidiaries

The Consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, which arewholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each Consolidated Fund may invest up to 25% of its total assets (on a tax basis) in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	SUBSIDIARY NET ASSETS AT JUNE 30, 2019		% OF TOTAL ASSETS AT JUNE 30, 2019
AQR Managed Futures Strategy Offshore Fund Ltd.	$	1,281,241,256		20.1	%
AQR Managed Futures Strategy HV Offshore Fund Ltd.		85,466,848		19.2	%

3. Significant Accounting Policies

The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services—Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to reflect current period presentation.

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. The Funds’ assets and liabilities in foreign currencies 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 isolate 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.

AQR Funds Semi-Annual Report June 2019

38

Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Certain fixed-income investments may pay interestin-kind, which represents contractual interest accrued and increases the principal balance. 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. 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. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear differentsub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. The Funds are charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.

The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained 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 concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2019, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment ofshort-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.

AQR Funds Semi-Annual Report June 2019

39

Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

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. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company.

Additionally, the 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. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. The LPCI Fund may be considered an affiliated person 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 person is included in the Schedules of Investments, if applicable.

Futures Contracts: The 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: The 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: The 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 theover-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 up-front payment received by a Fund is recorded as a liability and an up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. If there is no up-front payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.

Total Return Swap Contracts: The 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

AQR Funds Semi-Annual Report June 2019

40

Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

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.

Master Agreements: The 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 the 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 Statement 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 the 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’slong-term andshort-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 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.

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.

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

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 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. These inputs are summarized in the three broad levels as follows:

Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1. Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in theover-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 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

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.

Fixed income securities (other than certainshort-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are generally based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices.Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.

The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market. For option contracts, if no sales occurred on such date, the contracts will be valued at the mid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.

The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	780,063,652		$	4,546,367,875		$	—	$	5,326,431,527
Futures Contracts*		164,674,679			—			—		164,674,679
Forward Foreign Currency Exchange Contracts*		—			82,147,911			—		82,147,911
Total Return Swaps Contracts*		—			7,326,152			—		7,326,152
Total Assets	$	944,738,331		$	4,635,841,938		$	—	$	5,580,580,269
LIABILITIES
Futures Contracts*	$	(41,800,302	)	$	—		$	—	$	(41,800,302	)
Forward Foreign Currency Exchange Contracts*		—			(112,232,072	)		—		(112,232,072	)
Total Return Swaps Contracts*		—			(18,246,116	)		—		(18,246,116	)
Total Liabilities	$	(41,800,302	)	$	(130,478,188	)	$	—	$	(172,278,490	)
AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Short-Term Investments	$	55,687,002		$	288,072,091		$	—	$	343,759,093
Futures Contracts*		16,387,556			—			—		16,387,556
Forward Foreign Currency Exchange Contracts*		—			8,400,923			—		8,400,923
Total Return Swaps Contracts*		—			729,916			—		729,916
Total Assets	$	72,074,558		$	297,202,930		$	—	$	369,277,488
LIABILITIES
Futures Contracts*	$	(4,181,663	)	$	—		$	—	$	(4,181,663	)
Forward Foreign Currency Exchange Contracts*		—			(11,282,623	)		—		(11,282,623	)
Total Return Swaps Contracts*		—			(1,806,671	)		—		(1,806,671	)
Total Liabilities	$	(4,181,663	)	$	(13,089,294	)	$	—	$	(17,270,957	)

* Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation swaps margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

During the period ended June 30, 2019, there were no transfers to or from Level 3 for either of the Funds. There were no Level 3 securities held at period end.

6. Federal Income Tax Matters

At June 30, 2019, 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:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Managed Futures Strategy Fund	$	5,323,496,196	$	257,084,073	$	(172,278,490	)	$	84,805,583
AQR Managed Futures Strategy HV Fund		343,628,019		25,649,515		(17,271,003	)		8,378,512

There are no differences between book basis and tax basis appreciation (depreciation) on investments. The Funds’ tax basis capital gains and losses are determined only at the end of the year.

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

As of December 31, 2018, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG TERM
AQR Managed Futures Strategy Fund	$	468,771,673	$	535,853,454
AQR Managed Futures Strategy HV Fund		44,549,685		47,188,972

7. Investment Transactions

During the period ended June 30, 2019, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts andshort-term investments).

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 derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at June 30, 2019.

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS*		SWAPS AT VALUE**		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Managed Futures Strategy Fund	$	19,773,770	$	542,084	$	—	$	5,567,620	$	264,062	$	—
AQR Managed Futures Strategy HV Fund		1,988,848		54,914		—		568,444		23,158		—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—		—		82,147,911		—		—		112,232,072
AQR Managed Futures Strategy HV Fund		—		—		8,400,923		—		—		11,282,623
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		132,526,897		—		—		167,436		—		—
AQR Managed Futures Strategy HV Fund		13,221,663		—		—		17,334		—		—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		12,374,012		6,784,068		—		36,065,246		17,982,054		—
AQR Managed Futures Strategy HV Fund		1,177,045		675,002		—		3,595,885		1,783,513		—
Net Fair Value of Derivative Contracts:
AQR Managed Futures Strategy Fund		122,874,377		—		—		—		10,919,964		30,084,161
AQR Managed Futures Strategy HV Fund		12,205,893		—		—		—		1,076,755		2,881,700

* Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

** Includes the fair value of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

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45

Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2019:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS									NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS
FUND	FUTURES CONTRACTS			SWAPS CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			FUTURES CONTRACTS*			SWAPS CONTRACTS**			FORWARD CURRENCY EXCHANGE CONTRACTS
Equity Risk Exposure:
AQR Managed Futures Strategy Fund	$	(34,440,857	)	$	(27,578,491	)	$	—		$	(37,985,764	)	$	1,131,557		$	—
AQR Managed Futures Strategy HV Fund		(4,249,746	)		(2,869,361	)		—			(4,093,242	)		80,187			—
Foreign Exchange Rate Risk Exposure:
AQR Managed Futures Strategy Fund		—			—			(81,203,373	)		—			—			44,925,834
AQR Managed Futures Strategy HV Fund		—			—			(8,776,580	)		—			—			5,081,889
Interest Rate Risk Exposure:
AQR Managed Futures Strategy Fund		315,509,664			—			—			110,236,491			—			—
AQR Managed Futures Strategy HV Fund		31,178,214			—			—			10,882,609			—			—
Commodity Risk Exposure:
AQR Managed Futures Strategy Fund		(128,293,948	)		(468,513	)		—			(50,957,091	)		(17,935,721	)		—
AQR Managed Futures Strategy HV Fund		(12,993,170	)		6,671			—			(5,247,217	)		(1,792,419	)		—

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 June 30, 2019:

AQR MANAGED FUTURES STRATEGY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	41,081,057	$	(41,081,057	)	$	—	$	—	$	—		$	—
JPMC	Forward Foreign Currency Exchange Contracts		41,066,854		(41,066,854	)		—		—		—			—
MSCS	Total Return Swap Contracts		542,084		(264,062	)		278,022		—		(201,125	)		76,897
Total financial instruments subject to a master netting arrangement or similar arrangement			82,689,995		(82,411,973	)		278,022		—		(201,125	)		76,897

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	56,119,599	$	(41,081,057	)	$	15,038,542	$	—	$	(15,038,542	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		56,112,473		(41,066,854	)		15,045,619		—		(15,045,619	)		—
MSCS	Total Return Swap Contracts		264,062		(264,062	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			112,496,134		(82,411,973	)		30,084,161		—		(30,084,161	)		—

(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 $ 134,957,885.

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	386,231	$	(386,231	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		547,744		(547,744	)		—		—		—		—
MACQ	Total Return Swap Contracts		1,820,597		(1,820,597	)		—		—		—		—
MLIN	Total Return Swap Contracts		67,180		(67,180	)		—		—		—		—
SOCG	Total Return Swap Contracts		3,962,316		(3,962,316	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,784,068		(6,784,068	)		—		—		—		—

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	5,347,740	$	(386,231	)	$	4,961,509	$	—		$	(4,961,509	)	$	—
GSIN	Total Return Swap Contracts		4,985,395		(547,744	)		4,437,651		(4,437,651	)		—			—
MACQ	Total Return Swap Contracts		1,861,312		(1,820,597	)		40,715		(40,715	)		—			—
MLIN	Total Return Swap Contracts		690,463		(67,180	)		623,283		—			(623,283	)		—
SOCG	Total Return Swap Contracts		5,097,144		(3,962,316	)		1,134,828		—			(1,134,828	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			17,982,054		(6,784,068	)		11,197,986		(4,478,366	)		(6,719,620	)		—

(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 $ 46,722,275.

AQR MANAGED FUTURES STRATEGY HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	4,201,133	$	(4,201,133	)	$	—	$	—	$	—		$	—
JPMC	Forward Foreign Currency Exchange Contracts		4,199,790		(4,199,790	)		—		—		—			—
MLIN	Total Return Swap Contracts		54,914		(23,158	)		31,756		—		(10,000	)		21,756
Total financial instruments subject to a master netting arrangement or similar arrangement			8,455,837		(8,424,081	)		31,756		—		(10,000	)		21,756

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Forward Foreign Currency Exchange Contracts	$	5,641,455	$	(4,201,133	)	$	1,440,322	$	—	$	(1,440,322	)	$	—
JPMC	Forward Foreign Currency Exchange Contracts		5,641,168		(4,199,790	)		1,441,378		—		(1,441,378	)		—
MLIN	Total Return Swap Contracts		23,158		(23,158	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			11,305,781		(8,424,081	)		2,881,700		—		(2,881,700	)		—

(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 $ 12,095,802.

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		CASH COLLATERAL (RECEIVED)/ PLEDGED (a)		NET AMOUNT
CITI	Total Return Swap Contracts	$	34,151	$	(34,151	)	$	—	$	—	$	—	$	—
GSIN	Total Return Swap Contracts		17,570		(17,570	)		—		—		—		—
MACQ	Total Return Swap Contracts		228,039		(228,039	)		—		—		—		—
SOCG	Total Return Swap Contracts		395,242		(395,242	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			675,002		(675,002	)		—		—		—		—

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS ELIGIBLE TO OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED/ (PLEDGED) (a)			NET AMOUNT
CITI	Total Return Swap Contracts	$	472,080	$	(34,151	)	$	437,929	$	—		$	(437,929	)	$	—
GSIN	Total Return Swap Contracts		503,524		(17,570	)		485,954		(485,954	)		—			—
MACQ	Total Return Swap Contracts		259,399		(228,039	)		31,360		—			—			31,360
SOCG	Total Return Swap Contracts		548,510		(395,242	)		153,268		—			(153,268	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			1,783,513		(675,002	)		1,108,511		(485,954	)		(591,197	)		31,360

(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 42,819 and total additional collateral pledged was $ 4,715,631.

For the period ended June 30, 2019, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND
Futures Contracts:
Average Notional Balance—Long	$	28,573,178,968	$	2,835,489,719
Average Notional Balance—Short		2,401,438,801		247,565,212
Ending Notional Balance—Long		30,804,548,012		3,111,039,336
Ending Notional Balance—Short		2,089,243,354		210,875,636
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		8,034,156,154		809,844,222
Average Settlement Value—Sold		10,655,547,337		1,072,929,166
Ending Value— Purchased		6,408,068,395		647,031,809
Ending Value—Sold		7,367,003,451		742,066,011
Total Return Swaps:
Average Notional Balance—Long		410,491,136		38,769,690
Average Notional Balance—Short		704,450,809		67,671,431
Ending Notional Balance—Long		410,312,098		40,258,119
Ending Notional Balance—Short		559,620,397		55,297,245

* Notional values as of each quarter end are used to calculate the average represented.

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017, as amended, entered into by the Trust, on behalf of the Funds (the “Investment Management Agreement”). Under the Investment Management Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makesday-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.

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

Pursuant to the Investment Management Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Managed Futures Strategy Fund		1.05	%
AQR Managed Futures Strategy HV Fund		1.45

The Trust and the Adviser have entered into an agreement (the “Expense Limitation Agreement”) whereby the Adviser has agreed to reimburse operating expenses of each Fund at least through April 30, 2020 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Expense Limitation Agreement, the Adviser has agreed to reimburse each Fund in an amount sufficient to limit all Fund operating expenses other than management fees and 12b-1 fees, 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:

FUND	CLASS I			CLASS N			CLASS R6
AQR Managed Futures Fund		0.20	%		0.20	%		0.10	%
AQR Managed Futures HV Fund		0.20			0.20			0.10

Prior to May 1, 2019, pursuant to the Expense Limitation Agreement, the Adviser agreed to waive fees and/or reimburse expenses of each Fund to the extent that the total annual fund operating expense ratios, 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, exceeded the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Managed Futures Strategy Fund		1.25	%		1.50	%		1.15	%
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55

For the period ended June 30, 2019 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

FUND	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Managed Futures Strategy HV Fund	$	49,018	$	38,871	$	87,889

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Expense Limitation Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and/or expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the total annual operating expenses or the other operating expenses, as applicable, attributable to a share class of the Fund during a year in which such repayment is made to exceed either of (i) the applicable limits in effect at the time of the waiver and/or reimbursement and (ii) the applicable limits in effect at the time of recapture.

For the period ended June 30, 2019, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2019 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2019		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2019		POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30
					2019		2020		2021		2022
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	46,313	$	149,865	$	54,688	$	20,301	$	28,563	$	46,313
Class N		12,840		44,119		17,968		6,289		7,022		12,840
Class R6		28,736		88,898		26,227		10,916		23,019		28,736
Totals	$	87,889	$	282,882	$	98,883	$	37,506	$	58,604	$	87,889

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

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 Funds are non-diversified. Because the Funds may invest in securities of a smaller number of issuers, the Funds may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may, therefore, have a greater impact on the Funds’ performance.

The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Funds may lose money ifshort-term orlong-term interest rates rise sharply or otherwise change in a manner not anticipated.

Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the Fund’s assets, the Fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.

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 andnon-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. 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.

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 investmentslong-term orshort-term are subject to risk of loss.

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio 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. The 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.

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.

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Funds to potential risks. Such models may produce unexpected results, which can result in losses for the Funds.

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.

Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the Funds.

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 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 33¹/₃% 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.

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Notes to Consolidated Financial Statements June 30, 2019 (Unaudited)

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.

During the reporting period, average loans made to another Fund under the Interfund Lending Program were as follows:

FUND	AVERAGE LOANS		NUMBER OF DAYS OUTSTANDING		OUTSTANDING LOAN AMOUNT		INTEREST RECEIVED
AQR Managed Futures Strategy Fund	$	2,040,000		6	$	3,000,000	$	846

Interest expense earned, if any, as a result of lending under this agreement is included in Interfund lending income in the Statements of Operations. The outstanding loan amount on the Interfund Lending Program for the AQR Managed Futures Strategy Fund was repaid on July 2, 2019.

13. Line of Credit

Effective March 22, 2019 and terminating on March 20, 2020, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full.

There were no open borrowings as of June 30, 2019 by any of the Funds in the Trust. The Funds did not have any borrowings for the period ended June 30, 2019.

14. Principal Ownership

As of June 30, 2019, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Managed Futures Strategy Fund		6		76.73	%
AQR Managed Futures Strategy HV Fund		4		90.99	%

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

15. 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.

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Fund Expense Examples

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 06/30/19” to estimate the expenses you paid on your account during this period. 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.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/19		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/19
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$1,022.60		1.20	%		$6.02
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class N
Actual Return		$1,000.00		$1,021.80		1.47	%		$7.37
Hypothetical Return		$1,000.00		$1,017.50		1.47	%		$7.35
Class R6
Actual Return		$1,000.00		$1,023.80		1.13	%		$5.67
Hypothetical Return		$1,000.00		$1,019.19		1.13	%		$5.66
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$1,030.70		1.65	%		$8.31
Hypothetical Return		$1,000.00		$1,016.61		1.65	%		$8.25
Class N
Actual Return		$1,000.00		$1,028.50		1.91	%		$9.61
Hypothetical Return		$1,000.00		$1,015.32		1.91	%		$9.54
Class R6
Actual Return		$1,000.00		$1,030.60		1.56	%		$7.85
Hypothetical Return		$1,000.00		$1,017.06		1.56	%		$7.80

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by181/365 (to reflect the one-half year period unless stated otherwise).

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Board Approval of Investment Advisory Agreements

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on May 9, 2019 to consider the continuation of the Third Amended and Restated Investment Management Agreement, as amended, between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund and certain other AQR Funds (the “Management Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.”

In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on April 29, 2019 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with the in-person meeting held on May 9, 2019, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Funds’ fees and expenses and performance relative to peers; (iv) financial information for AQR and a profitability analysis showing AQR’s profitability from providing services to the Funds; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.

At the in-person meeting held on May 9, 2019, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided and profits realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale; (e) fall-out benefits; and (f) other factors.

The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.

In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creatingthird-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provided to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides risk management, provides compliance oversight, oversees third party service providers and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.

Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that Fund performance was challenged over the one-year, three- and five-year periods ended March 31, 2019 in comparison to Morningstar peers, which had been discussed with the Board during a portfolio overview presentation during the year. The presentation, which addressed in detail the drivers of underperformance, supported a conclusion that the Funds were being managed consistent with their stated policies and strategies. The Board also noted significant redemptions from the Funds over the prior year due to underperformance. The Board considered that Morningstar comparisons may be of limited use due to the differences between the way the Funds are managed from other funds in the Morningstar managed futures category and peer group, noting that underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, and each Fund’s investment universe. In addition, the use of drawdown control and internal risk protections may affect a Fund’s

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Board Approval of Investment Advisory Agreements

performance in relation to its peers. The Adviser also informed the Board that many peer funds use strategies in addition to trend-following. Finally, because the AQR Managed Futures Strategy HV Fund is managed with a higher volatility level, its performance was more adversely impacted. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is consistent with its stated objectives and strategies and AQR’s investment process.

The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors.

To assist in this analysis, the Board received a report independently prepared by Broadridge (the “Broadridge Report”). The Broadridge Report showed comparative fee information for each Fund’s respective Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Board considered that (i) the AQR Managed Futures Strategy Fund’s management fee and net expense ratio were below the Broadridge category and peer group medians; and (ii) the management fee for the AQR Managed Futures Strategy HV Fund, which is managed with a higher volatility target, was in line with the Broadridge category and peer group medians and its net expense ratio was in line with the Broadridge peer group median and slightly above the category median. The Board was aware that the AQR Managed Futures Strategy HV Fund has a higher expense ratio and management fee in light of its higher volatility approach. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises third party mutual funds or advises separate accounts or hedge funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Adviser provided the Board Members with a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.

The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for each Fund at higher asset levels compared to its peers, some of which have breakpoints. The Board considered this information in determining the reasonableness of continuing to operate each Fund without management fee breakpoints at the Fund’s current AUM level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, neither of the Funds have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Funds in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods. AQR also discussed that it currently intends to rely on Rule 30e-3 under the 1940 Act to potentially reduce charges related to printing and mailing costs for shareholder reports.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, noting that no payments are received by the Adviser from the Funds beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such as unregistered fund investments, separately managed account opportunities or sub-advisory mandates. The Adviser may also obtain reputational benefits. The Adviser may also obtain economic benefit from its sponsorship/management of both the Funds and other funds or accounts with respect to the potential economic leverage of its service provider relationships. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.

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Board Approval of Investment Advisory Agreements

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

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Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling1-866-290-2688 or visiting the funds websitehttps://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 calling1-800-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 FormN-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual FormN-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual FormN-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual FormN-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 forClosed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers ofClosed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities byClosed-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 Rule30a-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 forClosed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not required for this filing.

(a)(2) Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule23c-1 under the 1940 Act – Not Applicable.

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

(b) Certification required by Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Marco Hanig

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

Marco Hanig,

Principal Executive Officer

August 30, 2019

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/ Marco Hanig

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

Marco Hanig,

Principal Executive Officer

August 30, 2019

By: /s/ Heather Bonner

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

Heather Bonner,

Principal Financial Officer

August 30, 2019