1
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
157.4%
COMMON
STOCKS
-
76.9%
Australia
-
1.1%
Ampol
Ltd.
(2)(a)
1,919
35,495
Aristocrat
Leisure
Ltd.
(2)(a)
13,063
275,454
BHP
Group
Ltd.
(2)(a)
1,911
47,504
BlueScope
Steel
Ltd.
(2)(a)
24,357
236,547
Fortescue
Metals
Group
Ltd.
(2)(a)
15,871
170,381
Harvey
Norman
Holdings
Ltd.
(2)(a)
61,937
160,227
JB
Hi-Fi
Ltd.
(2)(a)
5,346
129,376
Qube
Holdings
Ltd.
(2)(a)
7,629
12,113
Rio
Tinto
plc
(2)(a)
534
28,893
Santos
Ltd.
(2)(a)
3,284
15,171
Sonic
Healthcare
Ltd.
(2)(a)
1,696
33,081
Tabcorp
Holdings
Ltd.
(2)(a)
29,182
17,500
Treasury
Wine
Estates
Ltd.
(2)(a)
14,332
115,320
Woodside
Energy
Group
Ltd.
(2)
6,462
132,028
Worley
Ltd.
(2)(a)
27,253
222,185
1,631,275
—
Belgium
-
0.3%
Ageas
SA/NV
(2)(a)
3,327
121,341
Elia
Group
SA/NV
(2)(a)
350
41,185
Etablissements
Franz
Colruyt
NV
(2)(a)
2,986
65,637
Solvay
SA
(2)(a)
2,927
226,615
Umicore
SA
(2)(a)
650
19,082
473,860
—
Brazil
-
0.2%
Yara
International
ASA
(2)
8,404
294,940
Canada
-
4.1%
ARC
Resources
Ltd.
(a)
3,846
46,190
Atco
Ltd.,
Class
I
(a)
2,069
63,582
Bank
of
Montreal
(a)
525
46,014
Canadian
Natural
Resources
Ltd.
(a)
8,814
410,280
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
2,752
292,961
Cenovus
Energy,
Inc.
(a)
2,019
31,015
CGI,
Inc.
*(a)
1,526
114,879
CI
Financial
Corp.
(a)
6,799
65,167
Cogeco
Communications,
Inc.
(a)
193
10,075
Empire
Co.
Ltd.,
Class
A
(a)
6,350
157,951
Fairfax
Financial
Holdings
Ltd.
(a)
131
59,830
Hydro
One
Ltd.
(a)(b)
4,360
106,621
iA
Financial
Corp.,
Inc.
(a)
2,412
122,560
IGM
Financial,
Inc.
(a)
1,918
47,792
Imperial
Oil
Ltd.
(a)
7,886
341,450
Intact
Financial
Corp.
(a)
291
41,183
Keyera
Corp.
(a)
2,274
46,818
Magna
International,
Inc.
(a)
4,423
209,823
Manulife
Financial
Corp.
(a)
21,828
342,586
MEG
Energy
Corp.
*
8,445
94,516
National
Bank
of
Canada
(a)
1,664
104,296
Northland
Power,
Inc.
(a)
3,357
98,303
Quebecor,
Inc.,
Class
B
(a)
8,435
155,529
Ritchie
Bros
Auctioneers,
Inc.
(a)
897
56,047
SSR
Mining,
Inc.
(a)
878
12,909
Stantec,
Inc.
(a)
2,643
115,910
INVESTMENTS
SHARES
VALUE
($)
Canada
-
4.1%
(continued)
Suncor
Energy,
Inc.
(a)
15,134
426,186
Teck
Resources
Ltd.,
Class
B
(a)
14,186
431,430
TFI
International,
Inc.
(a)
3,445
311,767
Thomson
Reuters
Corp.
(a)
1,651
169,480
TMX
Group
Ltd.
(a)
1,368
125,832
Toromont
Industries
Ltd.
(a)
476
33,136
Tourmaline
Oil
Corp.
(a)
14,446
750,773
West
Fraser
Timber
Co.
Ltd.
(a)
4,233
306,225
Whitecap
Resources,
Inc.
(a)
27,859
176,268
5,925,384
—
Chile
-
0.0%
(c)
Lundin
Mining
Corp.
2,279
11,516
China
-
0.6%
NXP
Semiconductors
NV
587
86,588
Wilmar
International
Ltd.
(2)
118,000
313,926
Yangzijiang
Shipbuilding
Holdings
Ltd.
(2)
691,300
493,528
894,042
—
Colombia
-
0.0%
(c)
Millicom
International
Cellular
SA,
SDR
(2)*
2,682
30,803
Denmark
-
0.9%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
309
561,523
Carlsberg
A/S,
Class
B
(2)(a)
1,926
225,220
Danske
Bank
A/S
(2)(a)
15,924
198,201
Genmab
A/S
(2)*(a)
88
28,310
H
Lundbeck
A/S
(2)(a)
3,015
9,663
ISS
A/S
(2)*(a)
7,826
120,647
Jyske
Bank
A/S
(Registered)
(2)*(a)
830
43,195
Pandora
A/S
(2)(a)
4,091
191,321
ROCKWOOL
A/S,
Class
B
(2)(a)
58
9,149
1,387,229
—
Finland
-
0.2%
Kesko
OYJ,
Class
B
(2)(a)
8,792
164,032
Nokian
Renkaat
OYJ
(2)(a)
1,137
10,945
Valmet
OYJ
(2)(a)
4,990
100,879
275,856
—
France
-
2.7%
Amundi
SA
(2)(a)(b)
420
17,485
Atos
SE
(2)*
8,764
69,283
AXA
SA
(2)(a)
15,317
334,415
BNP
Paribas
SA
(2)(a)
11,163
471,517
Carrefour
SA
(2)(a)
19,249
266,966
Cie
de
Saint-Gobain
(2)(a)
10,212
365,136
Eiffage
SA
(2)(a)
385
30,874
Electricite
de
France
SA
(2)(a)
42,592
493,959
Eutelsat
Communications
SA
(2)(a)
1,307
10,096
Publicis
Groupe
SA
(2)(a)
419
19,853
Renault
SA
(2)*(a)
9,991
270,317
Rexel
SA
(2)(a)
13,704
205,379
Rubis
SCA
(2)(a)
4,050
84,281
Societe
Generale
SA
(2)(a)
23,595
466,617
Sodexo
SA
(2)(a)
231
17,348
2
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
2.7%
(continued)
TotalEnergies
SE
(2)(a)
17,785
834,375
3,957,901
—
Germany
-
2.7%
Allianz
SE
(Registered)
(2)(a)
982
154,699
Aurubis
AG
(2)(a)
1,441
75,227
BASF
SE
(2)(a)
606
23,257
Bayerische
Motoren
Werke
AG
(2)
(a)
5,394
365,592
Brenntag
SE
(2)(a)
2,086
126,103
Commerzbank
AG
(2)*(a)
24,043
171,162
Covestro
AG
(2)(a)(b)
4,630
132,379
Deutsche
Bank
AG
(Registered)
(2)(a)
33,965
251,476
Deutsche
Post
AG
(Registered)
(2)
(a)
10,725
323,248
E.ON
SE
(2)(a)
33,953
260,853
Freenet
AG
(2)(a)
1,628
30,853
Hannover
Rueck
SE
(2)(a)
203
30,431
HeidelbergCement
AG
(2)(a)
11,259
444,777
HOCHTIEF
AG
(2)(a)
495
23,431
K+S
AG
(Registered)
(2)(a)
9,468
179,295
Mercedes-Benz
Group
AG
(2)(a)
6,876
347,699
METRO
AG
(2)(a)
661
4,608
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)(a)
2,982
717,830
ProSiebenSat.1
Media
SE
(2)(a)
4,624
32,761
Rheinmetall
AG
(2)(a)
982
151,196
TUI
AG
(2)*
28,015
33,337
Uniper
SE
(2)(a)
7,437
28,069
Volkswagen
AG
(Preference)
(2)(a)
103
12,586
3,920,869
—
Italy
-
1.1%
Assicurazioni
Generali
SpA
(2)(a)
22,095
301,692
Banco
BPM
SpA
(2)(a)
51,404
134,412
Hera
SpA
(2)(a)
10,818
22,987
Italgas
SpA
(2)(a)
5,586
25,940
Leonardo
SpA
(2)(a)
66,085
467,909
Poste
Italiane
SpA
(2)(a)(b)
19,741
149,143
UniCredit
SpA
(2)(a)
37,524
379,896
Unipol
Gruppo
SpA
(2)(a)
35,733
138,786
1,620,765
—
Japan
-
13.3%
AGC,
Inc.
(2)(a)
13,100
407,827
Air
Water,
Inc.
(2)(a)
5,500
64,964
Aisin
Corp.
(2)(a)
4,300
110,681
Alfresa
Holdings
Corp.
(2)(a)
1,000
11,655
Amada
Co.
Ltd.
(2)(a)
22,500
152,885
Asahi
Kasei
Corp.
(2)(a)
32,400
214,725
Astellas
Pharma,
Inc.
(2)(a)
2,000
26,495
Bridgestone
Corp.
(2)(a)
3,200
103,491
Brother
Industries
Ltd.
(2)(a)
10,800
186,587
Chiba
Bank
Ltd.
(The)
(2)(a)
19,800
107,224
Chubu
Electric
Power
Co.,
Inc.
(2)
(a)
7,300
65,653
Concordia
Financial
Group
Ltd.
(2)
(a)
7,000
21,724
INVESTMENTS
SHARES
VALUE
($)
Japan
-
13.3%
(continued)
Dai-ichi
Life
Holdings,
Inc.
(2)(a)
800
12,720
Daito
Trust
Construction
Co.
Ltd.
(2)(a)
3,000
280,627
Daiwa
Securities
Group,
Inc.
(2)(a)
21,500
84,385
ENEOS
Holdings,
Inc.
(2)(a)
244,900
789,839
Fuji
Electric
Co.
Ltd.
(2)(a)
1,500
54,976
Fujitsu
Ltd.
(2)(a)
1,300
142,548
Fukuoka
Financial
Group,
Inc.
(2)
(a)
10,100
179,873
Haseko
Corp.
(2)(a)
12,300
133,417
Hitachi
Ltd.
(2)(a)
4,800
204,269
Honda
Motor
Co.
Ltd.
(2)(a)
8,300
180,158
Ibiden
Co.
Ltd.
(2)(a)
4,500
123,024
Idemitsu
Kosan
Co.
Ltd.
(2)(a)
18,900
410,759
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
4,900
66,328
Inpex
Corp.
(2)(a)
47,600
443,969
Isuzu
Motors
Ltd.
(2)(a)
12,000
132,689
ITOCHU
Corp.
(2)(a)
16,600
400,690
Japan
Post
Holdings
Co.
Ltd.
(2)(a)
65,300
432,626
Japan
Post
Insurance
Co.
Ltd.
(2)
(a)
20,700
289,926
JFE
Holdings,
Inc.
(2)(a)
46,300
429,915
JTEKT
Corp.
(2)(a)
13,600
86,531
Kajima
Corp.
(2)(a)
15,200
144,073
Kawasaki
Kisen
Kaisha
Ltd.
(2)(a)
12,000
167,320
Komatsu
Ltd.
(2)(a)
1,300
23,671
Konami
Group
Corp.
(2)(a)
500
23,151
Kuraray
Co.
Ltd.
(2)(a)
17,600
123,045
Marubeni
Corp.
(2)(a)
64,400
561,922
Mazda
Motor
Corp.
(2)(a)
72,900
484,067
MINEBEA
MITSUMI,
Inc.
(2)(a)
2,600
38,464
MISUMI
Group,
Inc.
(2)(a)
700
15,073
Mitsubishi
Chemical
Group
Corp.
(2)(a)
8,600
39,395
Mitsubishi
Corp.
(2)(a)
2,000
54,700
Mitsubishi
Electric
Corp.
(2)(a)
12,900
116,720
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)(a)
25,300
332,665
Mitsubishi
HC
Capital,
Inc.
(2)(a)
37,600
161,613
Mitsubishi
Heavy
Industries
Ltd.
(2)(a)
5,300
176,274
Mitsui
&
Co.
Ltd.
(2)(a)
9,900
210,670
Mitsui
Chemicals,
Inc.
(2)(a)
20,500
399,582
Mizuho
Financial
Group,
Inc.
(2)(a)
68,080
736,940
MS&AD
Insurance
Group
Holdings,
Inc.
(2)(a)
17,300
458,151
Nabtesco
Corp.
(2)(a)
3,000
61,370
NGK
Insulators
Ltd.
(2)(a)
5,800
72,191
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)(a)
3,000
152,487
Nippon
Steel
Corp.
(2)(a)
44,700
620,358
Nippon
Telegraph
&
Telephone
Corp.
(2)(a)
23,200
625,758
Nippon
Yusen
KK
(2)(a)
18,000
305,530
Nissan
Motor
Co.
Ltd.
(2)(a)
67,300
216,883
Nomura
Holdings,
Inc.
(2)(a)
21,000
69,570
NSK
Ltd.
(2)(a)
9,100
44,629
Oji
Holdings
Corp.
(2)(a)
7,300
27,088
ORIX
Corp.
(2)(a)
3,800
53,234
Osaka
Gas
Co.
Ltd.
(2)(a)
15,700
236,693
3
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
13.3%
(continued)
Otsuka
Corp.
(2)(a)
1,200
37,425
Recruit
Holdings
Co.
Ltd.
(2)(a)
2,500
72,014
Resona
Holdings,
Inc.
(2)(a)
119,000
435,476
Rohto
Pharmaceutical
Co.
Ltd.
(2)
(a)
600
19,253
SCREEN
Holdings
Co.
Ltd.
(2)(a)
3,300
179,055
Sega
Sammy
Holdings,
Inc.
(2)(a)
3,200
43,583
Seiko
Epson
Corp.
(2)(a)
800
10,924
Sekisui
Chemical
Co.
Ltd.
(2)(a)
4,400
53,829
Shimamura
Co.
Ltd.
(2)(a)
700
59,240
Shin-Etsu
Chemical
Co.
Ltd.
(2)(a)
3,800
376,036
Shinsei
Bank
Ltd.
(2)(a)
9,700
139,315
Sojitz
Corp.
(2)(a)
27,320
400,286
Sompo
Holdings,
Inc.
(2)(a)
12,500
500,142
Stanley
Electric
Co.
Ltd.
(2)(a)
3,200
50,242
Sumitomo
Chemical
Co.
Ltd.
(2)(a)
93,500
321,602
Sumitomo
Corp.
(2)(a)
23,200
286,622
Sumitomo
Forestry
Co.
Ltd.
(2)(a)
2,700
41,101
Sumitomo
Heavy
Industries
Ltd.
(2)(a)
6,200
114,834
Sumitomo
Metal
Mining
Co.
Ltd.
(2)(a)
6,200
177,671
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(2)(a)
4,000
113,759
Sumitomo
Pharma
Co.
Ltd.
(2)(a)
16,600
118,069
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)(a)
5,200
118,259
Suntory
Beverage
&
Food
Ltd.
(2)
(a)
1,400
49,825
T&D
Holdings,
Inc.
(2)(a)
3,300
31,367
Taisei
Corp.
(2)(a)
2,600
72,107
TDK
Corp.
(2)(a)
8,100
250,050
Tokio
Marine
Holdings,
Inc.
(2)(a)
5,100
90,643
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*(a)
212,800
680,243
TOPPAN,
Inc.
(2)(a)
8,500
126,617
Toray
Industries,
Inc.
(2)(a)
49,700
244,615
Tosoh
Corp.
(2)(a)
27,200
303,154
Toyota
Boshoku
Corp.
(2)(a)
10,100
123,795
Toyota
Industries
Corp.
(2)(a)
1,000
47,771
Toyota
Tsusho
Corp.
(2)(a)
13,900
430,550
Yamada
Holdings
Co.
Ltd.
(2)(a)
18,200
59,889
Yamaha
Motor
Co.
Ltd.
(2)(a)
9,000
168,623
19,454,453
—
Luxembourg
-
0.6%
Aperam
SA
(2)
4,367
103,053
ArcelorMittal
SA
(2)
31,661
630,001
Eurofins
Scientific
SE
(2)
2,301
136,597
869,651
—
Netherlands
-
2.0%
ABN
AMRO
Bank
NV,
CVA
(2)(a)(b)
12,798
114,675
Aegon
NV
(2)(a)
145,484
578,299
ASR
Nederland
NV
(2)(a)
7,520
289,090
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
19,645
500,387
Koninklijke
Vopak
NV
(2)
3,659
66,574
NN
Group
NV
(2)(a)
4,257
165,572
OCI
NV
(2)(a)
1,892
69,269
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
2.0%
(continued)
Randstad
NV
(2)(a)
4,158
179,463
Shell
plc
(2)(a)
36,385
902,636
2,865,965
—
Norway
-
0.2%
Equinor
ASA
(2)(a)
6,125
201,996
Leroy
Seafood
Group
ASA
(2)(a)
2,865
11,300
Norsk
Hydro
ASA
(2)(a)
6,248
33,526
Salmar
ASA
(2)(a)
1,667
56,188
303,010
—
Singapore
-
0.1%
Genting
Singapore
Ltd.
(2)
93,800
50,974
SATS
Ltd.
(2)*
10,200
21,312
Venture
Corp.
Ltd.
(2)
12,600
143,174
215,460
—
Spain
-
1.6%
Acciona
SA
(2)(a)
777
136,562
Acerinox
SA
(2)(a)
7,511
59,730
Banco
Bilbao
Vizcaya
Argentaria
SA
(2)(a)
101,181
453,882
Banco
de
Sabadell
SA
(2)(a)
265,947
177,350
Banco
Santander
SA
(2)(a)
75,980
176,798
CaixaBank
SA
(2)(a)
28,760
92,632
Iberdrola
SA
(2)(a)
13,023
121,429
Mapfre
SA
(2)(a)
37,971
58,807
Repsol
SA
(2)(a)
71,110
817,073
Telefonica
SA
(2)(a)
52,421
173,300
2,267,563
—
Sweden
-
1.0%
Axfood
AB
(2)(a)
4,649
106,515
Boliden
AB
(2)(a)
2,109
65,160
Castellum
AB
(2)(a)
1,219
13,658
Fastighets
AB
Balder,
Class
B
(2)*(a)
36,479
145,613
Getinge
AB,
Class
B
(2)(a)
10,830
185,205
H
&
M
Hennes
&
Mauritz
AB,
Class
B
(2)(a)
7,553
69,828
Samhallsbyggnadsbolaget
i
Norden
AB
(2)
10,613
11,553
Skanska
AB,
Class
B
(2)(a)
13,426
167,097
SKF
AB,
Class
B
(2)(a)
786
10,530
SSAB
AB,
Class
B
(2)(a)
114,526
488,051
Swedbank
AB,
Class
A
(2)(a)
5,266
69,120
Trelleborg
AB,
Class
B
(2)(a)
2,490
46,714
Volvo
AB,
Class
B
(2)(a)
8,773
124,146
1,503,190
—
Switzerland
-
0.9%
Adecco
Group
AG
(Registered)
(2)
(a)
11,170
308,287
Baloise
Holding
AG
(Registered)
(2)(a)
196
25,044
BKW
AG
(2)(a)
157
18,709
Bucher
Industries
AG
(Registered)
(2)(a)
14
4,368
DKSH
Holding
AG
(2)(a)
887
64,358
Geberit
AG
(Registered)
(2)(a)
57
24,441
4
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
0.9%
(continued)
Novartis
AG
(Registered)
(2)(a)
1,338
102,005
Sulzer
AG
(Registered)
(2)(a)
593
34,114
Swiss
Life
Holding
AG
(Registered)
(2)(a)
433
191,304
Swisscom
AG
(Registered)
(2)(a)
745
348,839
UBS
Group
AG
(Registered)
(2)(a)
14,091
204,432
1,325,901
—
United
Kingdom
-
2.0%
abrdn
plc
(2)
26,720
40,874
Associated
British
Foods
plc
(2)(a)
674
9,418
Aviva
plc
(2)(a)
78,547
336,876
Barclays
plc
(2)
478,536
761,415
BP
plc
(2)(a)
76,844
367,191
Britvic
plc
(2)(a)
2,719
21,656
BT
Group
plc
(2)
162,438
218,366
Centrica
plc
(2)*
55,314
43,405
Direct
Line
Insurance
Group
plc
(2)(a)
6,154
12,697
DS
Smith
plc
(2)(a)
13,500
38,179
Howden
Joinery
Group
plc
(2)(a)
13,817
77,189
Imperial
Brands
plc
(2)(a)
3,317
68,207
InterContinental
Hotels
Group
plc
(2)(a)
1,329
64,007
Investec
plc
(2)(a)
17,694
71,735
Kingfisher
plc
(2)(a)
16,608
40,427
M&G
plc
(2)
101,689
187,323
Man
Group
plc
(2)(a)
16,121
39,917
Marks
&
Spencer
Group
plc
(2)*
127,827
139,435
National
Grid
plc
(2)(a)
12,232
125,918
Royal
Mail
plc
(2)(a)
99,084
201,687
Spectris
plc
(2)(a)
709
21,424
Subsea
7
SA
(2)
10,238
80,867
Travis
Perkins
plc
(2)(a)
1,175
10,086
2,978,299
—
United
States
-
41.3%
A
O
Smith
Corp.
(a)
244
11,854
Abbott
Laboratories
(a)
720
69,667
AbbVie,
Inc.
(a)
2,861
383,975
ABIOMED,
Inc.
*(a)
77
18,916
Accenture
plc,
Class
A
(a)
74
19,040
Acuity
Brands,
Inc.
(a)(d)
1,094
172,272
Adobe,
Inc.
*(a)
746
205,299
AGCO
Corp.
(a)
311
29,909
Agilent
Technologies,
Inc.
(a)
775
94,201
Air
Lease
Corp.
(a)
1,110
34,421
Akamai
Technologies,
Inc.
*(a)(d)
1,368
109,878
Alaska
Air
Group,
Inc.
*(a)(d)
1,806
70,705
Albertsons
Cos.,
Inc.,
Class
A
(a)
1,048
26,053
Align
Technology,
Inc.
*(a)
160
33,138
Allison
Transmission
Holdings,
Inc.
(a)
13,354
450,831
Allstate
Corp.
(The)
(a)
2,295
285,796
Alphabet,
Inc.,
Class
A
*(a)(d)
7,698
736,313
Amdocs
Ltd.
(a)
3,899
309,776
AMERCO
(a)
40
20,369
American
International
Group,
Inc.
(a)
1,116
52,988
Ameriprise
Financial,
Inc.
(a)
646
162,760
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Amgen,
Inc.
(a)
1,421
320,293
Amkor
Technology,
Inc.
(a)
9,811
167,278
ANSYS,
Inc.
*(a)
553
122,600
APA
Corp.
(a)
12,810
437,974
Applied
Materials,
Inc.
(a)
1,028
84,224
Aramark
(a)(d)
2,191
68,359
Archer-Daniels-Midland
Co.
(a)
835
67,176
Arrow
Electronics,
Inc.
*(a)
4,530
417,621
Associated
Banc-Corp.
(a)
7,113
142,829
Assured
Guaranty
Ltd.
(a)
722
34,981
AutoNation,
Inc.
*(a)(d)
7,141
727,453
AutoZone,
Inc.
*(a)
78
167,071
Avient
Corp.
(a)
3,212
97,324
Avnet,
Inc.
(a)
1,284
46,378
Bank
of
New
York
Mellon
Corp.
(The)
(a)
1,432
55,161
Bath
&
Body
Works,
Inc.
(a)(d)
5,333
173,856
Belden,
Inc.
(a)
822
49,336
Berry
Global
Group,
Inc.
*(a)(d)
3,537
164,577
Best
Buy
Co.,
Inc.
(a)(d)
2,687
170,195
Biogen,
Inc.
*(a)
246
65,682
Bio-Rad
Laboratories,
Inc.,
Class
A
*(a)
509
212,324
Bio-Techne
Corp.
(a)
442
125,528
Blackbaud,
Inc.
*(a)(d)
774
34,102
Booking
Holdings,
Inc.
*(a)
17
27,935
Booz
Allen
Hamilton
Holding
Corp.
(a)(d)
2,614
241,403
BorgWarner,
Inc.
(a)(d)
3,172
99,601
Bread
Financial
Holdings,
Inc.
(a)
(d)
4,839
152,187
Bristol-Myers
Squibb
Co.
(a)
3,690
262,322
Broadcom,
Inc.
(a)
147
65,269
BRP,
Inc.
(a)
2,970
182,950
Brunswick
Corp.
(a)(d)
6,349
415,542
Builders
FirstSource,
Inc.
*(a)(d)
12,792
753,704
CACI
International,
Inc.,
Class
A
*(a)
1,125
293,693
Cadence
Design
Systems,
Inc.
*(a)
(d)
1,605
262,305
Carlisle
Cos.,
Inc.
(a)
446
125,063
Carter's,
Inc.
(a)
178
11,664
Casey's
General
Stores,
Inc.
(a)
802
162,421
Cathay
General
Bancorp
(a)
1,339
51,498
CDW
Corp.
(a)
1,379
215,234
Certara,
Inc.
*(a)
2,781
36,932
CF
Industries
Holdings,
Inc.
(a)
1,202
115,693
ChampionX
Corp.
(a)(d)
15,077
295,057
Charles
River
Laboratories
International,
Inc.
*(a)
1,640
322,752
Chemed
Corp.
(a)
243
106,084
Chemours
Co.
(The)
(a)
4,914
121,130
Chipotle
Mexican
Grill,
Inc.
*(a)
30
45,083
Ciena
Corp.
*(a)(d)
2,162
87,410
Cigna
Corp.
(a)
322
89,345
Cirrus
Logic,
Inc.
*(a)(d)
3,272
225,114
Cisco
Systems,
Inc.
(a)(d)
20,046
801,839
Citigroup,
Inc.
(a)(d)
3,785
157,721
Citizens
Financial
Group,
Inc.
(a)
925
31,783
5
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
627
36,015
Colgate-Palmolive
Co.
(a)
170
11,943
Commercial
Metals
Co.
(a)(d)
11,408
404,756
Concentrix
Corp.
(a)
234
26,121
ConocoPhillips
(a)
3,173
324,725
Cooper
Cos.,
Inc.
(The)
(a)
236
62,280
Coterra
Energy,
Inc.
(a)
680
17,762
Cracker
Barrel
Old
Country
Store,
Inc.
(a)
455
42,124
Cummins,
Inc.
(a)
1,776
361,434
Curtiss-Wright
Corp.
(a)
1,120
155,859
CVS
Health
Corp.
(a)(d)
8,896
848,411
Dana,
Inc.
(a)(d)
5,821
66,534
Deckers
Outdoor
Corp.
*(a)(d)
1,527
477,355
Devon
Energy
Corp.
(a)
652
39,205
Dick's
Sporting
Goods,
Inc.
(a)(d)
4,985
521,630
Doximity,
Inc.,
Class
A
*(a)(d)
1,525
46,086
DXC
Technology
Co.
*(a)
475
11,628
Eagle
Materials,
Inc.
(a)
283
30,332
East
West
Bancorp,
Inc.
(a)
358
24,036
Eastman
Chemical
Co.
(a)
1,465
104,088
Eaton
Corp.
plc
(a)
1,489
198,573
eBay,
Inc.
(a)(d)
4,376
161,081
Electronic
Arts,
Inc.
(a)(d)
2,545
294,482
Elevance
Health,
Inc.
(a)
694
315,243
EMCOR
Group,
Inc.
(a)
1,373
158,554
Emerson
Electric
Co.
(a)
794
58,137
EnerSys
(a)
242
14,077
Enovis
Corp.
*(a)
1,345
61,964
EOG
Resources,
Inc.
(a)
5,646
630,828
EPAM
Systems,
Inc.
*(a)
690
249,911
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
(a)
723
156,096
Everest
Re
Group
Ltd.
(a)
446
117,048
Expedia
Group,
Inc.
*(a)
6,243
584,907
Expeditors
International
of
Washington,
Inc.
(a)
3,076
271,642
Exxon
Mobil
Corp.
(a)(d)
3,263
284,893
F5,
Inc.
*(a)
602
87,127
Fair
Isaac
Corp.
*(a)
541
222,897
Federated
Hermes,
Inc.,
Class
B
(a)
5,966
197,594
First
American
Financial
Corp.
(a)
325
14,983
First
Hawaiian,
Inc.
(a)
922
22,709
Flowers
Foods,
Inc.
(a)(d)
1,638
40,442
FNB
Corp.
(a)
10,949
127,008
Foot
Locker,
Inc.
(a)
7,543
234,814
Fortinet,
Inc.
*(a)(d)
4,095
201,187
Fortune
Brands
Home
&
Security,
Inc.
(a)
208
11,168
Fulton
Financial
Corp.
(a)
2,749
43,434
Gartner,
Inc.
*(a)
1,528
422,782
General
Dynamics
Corp.
(a)
595
126,241
General
Mills,
Inc.
(a)(d)
1,216
93,158
General
Motors
Co.
(a)
16,188
519,473
Gilead
Sciences,
Inc.
(a)(d)
14,267
880,130
Global
Payments,
Inc.
(a)
2,258
243,977
Globus
Medical,
Inc.,
Class
A
*(a)
(d)
2,412
143,683
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Goodyear
Tire
&
Rubber
Co.
(The)
*(a)
21,295
214,867
Graham
Holdings
Co.,
Class
B
(a)
262
140,951
Grand
Canyon
Education,
Inc.
*(a)
(d)
1,943
159,812
Greif,
Inc.,
Class
A
(a)
2,109
125,633
H&R
Block,
Inc.
(a)(d)
6,112
260,004
Halliburton
Co.
(a)(d)
5,763
141,885
Hartford
Financial
Services
Group,
Inc.
(The)
(a)
1,737
107,590
Hasbro,
Inc.
(a)
1,912
128,907
HCA
Healthcare,
Inc.
(a)
513
94,284
Henry
Schein,
Inc.
*(a)
207
13,614
Hewlett
Packard
Enterprise
Co.
(a)
(d)
31,186
373,608
Hexcel
Corp.
(a)(d)
2,416
124,956
HF
Sinclair
Corp.
(a)(d)
7,059
380,057
Hologic,
Inc.
*(a)
580
37,422
Horizon
Therapeutics
plc
*(a)
1,545
95,620
Howmet
Aerospace,
Inc.
(a)
7,692
237,914
HP,
Inc.
(a)(d)
14,984
373,401
Hubbell,
Inc.
(a)(d)
576
128,448
Humana,
Inc.
(a)
224
108,683
Huntsman
Corp.
(a)(d)
3,564
87,461
IAC,
Inc.
*(a)
649
35,942
Ingredion,
Inc.
(a)
1,330
107,092
Interpublic
Group
of
Cos.,
Inc.
(The)
(a)(d)
2,347
60,083
Intuit,
Inc.
(a)
63
24,401
Invesco
Ltd.
(a)
4,207
57,636
IQVIA
Holdings,
Inc.
*(a)(d)
1,121
203,058
ITT,
Inc.
(a)(d)
2,012
131,464
J
M
Smucker
Co.
(The)
(a)(d)
1,367
187,839
Jabil,
Inc.
(a)
6,559
378,520
Jefferies
Financial
Group,
Inc.
(a)
(d)
1,865
55,018
JetBlue
Airways
Corp.
*(a)(d)
1,509
10,005
Johnson
Controls
International
plc
(a)
682
33,568
Juniper
Networks,
Inc.
(a)
3,063
80,006
KB
Home
(a)(d)
11,790
305,597
Keysight
Technologies,
Inc.
*(a)
870
136,903
KLA
Corp.
(a)
481
145,565
Knight-Swift
Transportation
Holdings,
Inc.
(a)(d)
1,529
74,814
Kroger
Co.
(The)
(a)(d)
10,691
467,731
L3Harris
Technologies,
Inc.
(a)
100
20,783
Laboratory
Corp.
of
America
Holdings
(a)
652
133,536
Lear
Corp.
(a)
605
72,412
Lennar
Corp.,
Class
A
(a)
6,027
449,313
Lincoln
National
Corp.
(a)
4,086
179,416
Lithia
Motors,
Inc.,
Class
A
(a)
208
44,626
Louisiana-Pacific
Corp.
(a)(d)
1,698
86,921
Lowe's
Cos.,
Inc.
(a)
71
13,335
LyondellBasell
Industries
NV,
Class
A
(a)
3,824
287,871
Macy's,
Inc.
(a)(d)
1,667
26,122
Manhattan
Associates,
Inc.
*(a)
1,480
196,884
ManpowerGroup,
Inc.
(a)
4,162
269,240
6
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Marathon
Oil
Corp.
(a)(d)
13,149
296,904
Marriott
Vacations
Worldwide
Corp.
(a)(d)
1,747
212,889
Masimo
Corp.
*(a)
293
41,360
MasTec,
Inc.
*(a)
2,112
134,112
Matador
Resources
Co.
678
33,168
Match
Group,
Inc.
*(a)
919
43,882
Mattel,
Inc.
*(a)
31,234
591,572
Maximus,
Inc.
(a)(d)
1,980
114,583
McDonald's
Corp.
(a)
339
78,221
MDU
Resources
Group,
Inc.
(a)(d)
8,283
226,540
Medpace
Holdings,
Inc.
*(a)
133
20,904
Medtronic
plc
(a)
882
71,222
Merck
&
Co.,
Inc.
(a)
4,753
409,328
Meta
Platforms,
Inc.,
Class
A
*(a)
4,342
589,123
MGM
Resorts
International
(a)
6,512
193,537
Micron
Technology,
Inc.
(a)
14,022
702,501
Microsoft
Corp.
(a)
337
78,487
MillerKnoll,
Inc.
(a)(d)
5,123
79,919
Minerals
Technologies,
Inc.
(a)(d)
1,346
66,506
MKS
Instruments,
Inc.
(a)(d)
4,462
368,740
Moderna,
Inc.
*(a)
1,317
155,735
Mohawk
Industries,
Inc.
*(a)(d)
2,006
182,927
Molina
Healthcare,
Inc.
*(a)
761
251,008
Molson
Coors
Beverage
Co.,
Class
B
(a)(d)
3,510
168,445
Mosaic
Co.
(The)
(a)
591
28,563
MSA
Safety,
Inc.
(a)
154
16,829
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
(a)
588
42,812
Murphy
Oil
Corp.
(a)
4,270
150,176
Murphy
USA,
Inc.
(a)(d)
2,685
738,132
Navient
Corp.
(a)
4,433
65,121
NCR
Corp.
*(a)
9,142
173,789
Nielsen
Holdings
plc
(a)
1,136
31,490
NortonLifeLock,
Inc.
(a)(d)
3,279
66,039
NRG
Energy,
Inc.
(a)
11,513
440,603
Nu
Skin
Enterprises,
Inc.,
Class
A
(a)(d)
5,129
171,155
Occidental
Petroleum
Corp.
(a)
1,000
61,450
Old
Republic
International
Corp.
(a)
3,133
65,574
Olin
Corp.
(a)
1,832
78,556
Omnicom
Group,
Inc.
(a)
834
52,617
ON
Semiconductor
Corp.
*(a)
735
45,813
Oracle
Corp.
(a)
1,653
100,949
O'Reilly
Automotive,
Inc.
*(a)
79
55,565
Organon
&
Co.
(a)(d)
1,948
45,583
Oshkosh
Corp.
(a)(d)
1,130
79,428
Owens
Corning
(a)
3,758
295,416
PACCAR,
Inc.
(a)
534
44,690
Packaging
Corp.
of
America
(a)
1,964
220,538
Papa
John's
International,
Inc.
(a)
(d)
1,286
90,033
PDC
Energy,
Inc.
(a)(d)
5,681
328,305
Penske
Automotive
Group,
Inc.
(a)
(d)
5,107
502,682
PerkinElmer,
Inc.
(a)
152
18,290
Pfizer,
Inc.
(a)(d)
4,091
179,022
Playtika
Holding
Corp.
*(a)
5,577
52,368
Polaris,
Inc.
(a)(d)
7,565
723,591
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Popular,
Inc.
5,592
402,960
Procter
&
Gamble
Co.
(The)
(a)
204
25,755
PulteGroup,
Inc.
(a)(d)
22,791
854,662
PVH
Corp.
(a)
3,995
178,976
Qorvo,
Inc.
*(a)
5,892
467,884
QUALCOMM,
Inc.
(a)
5,974
674,943
Quanta
Services,
Inc.
(a)(d)
3,244
413,253
Quest
Diagnostics,
Inc.
(a)
368
45,150
QuidelOrtho
Corp.
*(a)
743
53,110
Qurate
Retail,
Inc.,
Series
A
121,977
245,174
Ralph
Lauren
Corp.
(a)
895
76,012
Regal
Rexnord
Corp.
(a)(d)
2,970
416,869
Regeneron
Pharmaceuticals,
Inc.
*(a)
687
473,254
Regions
Financial
Corp.
(a)
931
18,685
Reliance
Steel
&
Aluminum
Co.
(a)
(d)
1,225
213,652
Roche
Holding
AG
(2)(a)
597
194,343
Schneider
National,
Inc.,
Class
B
(a)
5,153
104,606
Science
Applications
International
Corp.
(a)
673
59,513
Seagate
Technology
Holdings
plc
(a)
197
10,486
Signify
NV
(2)(a)(b)
7,985
205,513
Silgan
Holdings,
Inc.
(a)(d)
5,212
219,112
Skechers
USA,
Inc.,
Class
A
*(a)(d)
4,402
139,631
Skyworks
Solutions,
Inc.
(a)
5,985
510,341
Snap-on,
Inc.
(a)(d)
1,153
232,157
Sonoco
Products
Co.
(a)
566
32,109
Sprouts
Farmers
Market,
Inc.
*(a)
(d)
11,095
307,886
SS&C
Technologies
Holdings,
Inc.
(a)
603
28,793
Steel
Dynamics,
Inc.
(a)(d)
9,015
639,614
Stellantis
NV
(2)(a)
65,847
777,813
STERIS
plc
(a)
1,192
198,206
Stifel
Financial
Corp.
(a)
2,087
108,336
Stryker
Corp.
(a)
159
32,204
Swiss
Re
AG
(2)(a)
8,434
622,041
Synaptics,
Inc.
*(a)
1,595
157,921
Synchrony
Financial
(a)
711
20,043
Syneos
Health,
Inc.
*(a)
974
45,924
Synopsys,
Inc.
*(a)
1,051
321,091
Synovus
Financial
Corp.
(a)
2,718
101,952
Tapestry,
Inc.
(a)
2,307
65,588
Taylor
Morrison
Home
Corp.,
Class
A
*(a)(d)
18,447
430,184
TD
SYNNEX
Corp.
(a)(d)
3,730
302,839
Tenaris
SA
(2)(a)
4,648
60,141
Tenet
Healthcare
Corp.
*(a)
3,912
201,781
Teradata
Corp.
*(a)(d)
3,029
94,081
Teradyne,
Inc.
(a)
1,698
127,605
Terex
Corp.
(a)(d)
9,856
293,117
Texas
Roadhouse,
Inc.
(a)
2,299
200,611
Textron,
Inc.
(a)
11,048
643,656
Thor
Industries,
Inc.
(a)(d)
1,064
74,459
Timken
Co.
(The)
(a)
2,191
129,357
Toll
Brothers,
Inc.
(a)
4,234
177,828
7
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
41.3%
(continued)
Topgolf
Callaway
Brands
Corp.
*(a)
(d)
7,050
135,783
Travel
+
Leisure
Co.
(a)
1,616
55,138
Tri
Pointe
Homes,
Inc.
*(a)
2,026
30,613
Tyson
Foods,
Inc.,
Class
A
(a)(d)
2,353
155,133
United
Rentals,
Inc.
*(a)
361
97,513
United
States
Steel
Corp.
(a)(d)
8,180
148,222
United
Therapeutics
Corp.
*(a)
3,280
686,766
Universal
Display
Corp.
(a)(d)
1,433
135,204
Universal
Health
Services,
Inc.,
Class
B
(a)(d)
3,520
310,394
Unum
Group
(a)
16,840
653,392
US
Foods
Holding
Corp.
*(a)
1,219
32,230
Valero
Energy
Corp.
(a)
1,260
134,631
Veeva
Systems,
Inc.,
Class
A
*(a)
4,600
758,447
VeriSign,
Inc.
*(a)
605
105,089
Vertex
Pharmaceuticals,
Inc.
*(a)
173
50,090
Viatris,
Inc.
(a)
24,381
207,726
Vishay
Intertechnology,
Inc.
(a)(d)
19,197
341,515
Vontier
Corp.
(a)
8,479
141,684
Werner
Enterprises,
Inc.
(a)(d)
2,812
105,731
Western
Digital
Corp.
*(a)
3,813
124,113
Westlake
Corp.
(a)
511
44,396
Westrock
Co.
(a)
4,326
133,630
Whirlpool
Corp.
(a)(d)
373
50,284
Williams-Sonoma,
Inc.
(a)(d)
4,027
474,582
Wintrust
Financial
Corp.
(a)
880
71,764
World
Wrestling
Entertainment,
Inc.,
Class
A
(a)
959
67,293
Xerox
Holdings
Corp.
6,654
87,034
XPO
Logistics,
Inc.
*(a)
7,237
322,191
Yelp,
Inc.
*(a)
3,573
121,160
YETI
Holdings,
Inc.
*(a)(d)
6,522
186,007
Zebra
Technologies
Corp.,
Class
A
*(a)
176
46,114
Ziff
Davis,
Inc.
*(a)(d)
2,502
171,337
Zimmer
Biomet
Holdings,
Inc.
(a)
125
13,069
Zoetis,
Inc.
(a)
759
112,552
60,241,442
—
TOTAL
COMMON
STOCKS
(Cost
$101,545,040)
112,449,374
PREFERRED
STOCKS
-
0.0%
(c)
United
States
-
0.0%
(c)
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$22,623)
396
18,034
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
80.5%
INVESTMENT
COMPANIES
-
54.1%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(e)(f)
3,080,078
3,080,078
J.P.
Morgan
U.S.
Treasury
Plus
Money
Market
Fund
-
IM
Shares,
2.63%
(e)
30,132
30,132
Limited
Purpose
Cash
Investment
Fund,
2.57%
(e)
76,043,755
76,005,733
TOTAL
INVESTMENT
COMPANIES
(Cost
$79,102,549)
79,115,943
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
26.4%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(2)(g)(h)
$
4,726,000
4,725,034
1.38%,
10/27/2022
(2)(g)
627,000
625,924
1.39%,
11/10/2022
(2)(g)
695,000
693,017
1.54%,
11/25/2022
(2)(g)
1,432,000
1,426,068
1.59%,
12/1/2022
(2)(g)
208,000
207,009
2.18%,
12/15/2022
(2)(g)
291,000
289,339
2.53%,
12/29/2022
(2)(g)
11,925,000
11,832,741
2.53%,
1/5/2023
(2)(g)
8,612,000
8,539,131
2.72%,
1/12/2023
(2)(g)
3,980,000
3,944,006
2.95%,
1/19/2023
(2)(g)(h)
306,000
302,911
2.96%,
1/26/2023
(2)(g)
93,200
92,190
2.89%,
2/2/2023
(2)(g)
495,000
489,128
3.16%,
2/23/2023
(2)(g)
808,000
796,653
3.29%,
3/2/2023
(2)(g)
1,296,000
1,276,083
3.38%,
3/9/2023
(2)(g)
643,000
632,557
3.53%,
3/16/2023
(2)(g)
991,000
974,335
3.85%,
3/23/2023
(2)(g)
1,762,000
1,731,347
3.92%,
3/30/2023
(2)(g)
103,000
101,053
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$38,728,337)
38,678,526
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$117,830,886)
117,794,469
TOTAL
LONG
POSITIONS
(Cost
$219,398,549)
230,261,877
SHARES
SHORT
POSITIONS
-
(71.1)%
COMMON
STOCKS
-
(71.1)%
Australia
-
(1.1)%
Alumina
Ltd.
(2)
(11,450)
(9,269)
APA
Group
(2)
(17,129)
(105,394)
Atlas
Arteria
Ltd.
(2)
(20,949)
(83,420)
Domino's
Pizza
Enterprises
Ltd.
(2)
(380)
(12,520)
Evolution
Mining
Ltd.
(2)
(17,486)
(22,812)
IDP
Education
Ltd.
(2)
(7,538)
(126,627)
Insurance
Australia
Group
Ltd.
(2)
(78,147)
(231,179)
Lynas
Rare
Earths
Ltd.
(2)
(15,189)
(73,248)
Mineral
Resources
Ltd.
(2)
(3,422)
(143,637)
Northern
Star
Resources
Ltd.
(2)
(49,341)
(247,064)
QBE
Insurance
Group
Ltd.
(2)
(37,612)
(279,067)
Seven
Group
Holdings
Ltd.
(2)
(4,733)
(51,345)
Suncorp
Group
Ltd.
(2)
(1,807)
(11,660)
Transurban
Group
(2)
(7,294)
(57,604)
8
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Australia
-
(1.1)%
(continued)
Woolworths
Group
Ltd.
(2)
(7,549)
(164,045)
(1,618,891)
—
Belgium
-
(0.2)%
Anheuser-Busch
InBev
SA/NV
(2)
(5,898)
(267,159)
Galapagos
NV
(2)
(1,757)
(75,028)
(342,187)
—
Brazil
-
(0.3)%
MercadoLibre,
Inc.
(362)
(299,656)
Wheaton
Precious
Metals
Corp.
(5,202)
(168,448)
(468,104)
—
Canada
-
(2.8)%
Agnico
Eagle
Mines
Ltd.
(8,427)
(356,028)
Air
Canada
(22,343)
(268,501)
Alamos
Gold,
Inc.,
Class
A
(11,187)
(82,930)
AltaGas
Ltd.
(2,517)
(48,195)
Ballard
Power
Systems,
Inc.
(36,453)
(223,254)
Barrick
Gold
Corp.
(11,823)
(183,249)
BlackBerry
Ltd.
(31,119)
(146,657)
Boralex,
Inc.,
Class
A
(1,643)
(52,180)
CAE,
Inc.
(4,862)
(74,583)
Canada
Goose
Holdings,
Inc.
(3,293)
(50,110)
Canadian
Pacific
Railway
Ltd.
(1,029)
(68,689)
Canopy
Growth
Corp.
(10,826)
(29,390)
Constellation
Software,
Inc.
(482)
(670,683)
Descartes
Systems
Group,
Inc.
(The)
(1,020)
(64,766)
Franco-Nevada
Corp.
(3,619)
(432,284)
GFL
Environmental,
Inc.
(2,355)
(59,516)
Innergex
Renewable
Energy,
Inc.
(6,965)
(87,683)
Kinaxis,
Inc.
(295)
(29,273)
Lightspeed
Commerce,
Inc.
(14,057)
(247,385)
Nuvei
Corp.
(b)
(1,126)
(30,429)
Pan
American
Silver
Corp.
(2,320)
(36,882)
Restaurant
Brands
International,
Inc.
(2,702)
(143,731)
Shopify,
Inc.,
Class
A
(19,811)
(533,370)
SNC-Lavalin
Group,
Inc.
(5,658)
(94,208)
WSP
Global,
Inc.
(619)
(68,167)
(4,082,143)
—
Chile
–
(0.0)%
(c)
Antofagasta
plc
(2)
(2,242)
(27,473)
China
-
(0.1)%
Prosus
NV
(2)
(4,143)
(215,546)
Denmark
-
(0.9)%
Ambu
A/S,
Class
B
(2)
(7,603)
(66,063)
Coloplast
A/S,
Class
B
(2)
(1,455)
(147,863)
Demant
A/S
(2)
(1,987)
(49,121)
GN
Store
Nord
A/S
(2)
(442)
(7,742)
Novo
Nordisk
A/S,
Class
B
(2)
(3,169)
(315,689)
Novozymes
A/S,
Class
B
(2)
(1,300)
(65,328)
Orsted
A/S
(2)(b)
(4,573)
(364,473)
Tryg
A/S
(2)
(656)
(13,542)
Vestas
Wind
Systems
A/S
(2)
(19,533)
(359,658)
(1,389,479)
—
INVESTMENTS
SHARES
VALUE
($)
Faroe
Islands
–
(0.0)%
(c)
Bakkafrost
P/F
(2)
(722)
(28,736)
Finland
-
(0.2)%
Neste
OYJ
(2)
(1,515)
(66,038)
Orion
OYJ,
Class
B
(2)
(4,904)
(206,495)
UPM-Kymmene
OYJ
(2)
(381)
(12,091)
(284,624)
—
France
-
(3.3)%
Accor
SA
(2)
(3,298)
(69,046)
Adevinta
ASA
(2)
(19,043)
(113,453)
Air
France-KLM
(2)
(40,545)
(51,061)
Air
Liquide
SA
(2)
(3,628)
(414,677)
Airbus
SE
(2)
(2,096)
(180,676)
BioMerieux
(2)
(1,029)
(81,394)
Bollore
SE
(2)
(24,375)
(111,834)
Cie
Plastic
Omnium
SA
(2)
(279)
(3,658)
Dassault
Systemes
SE
(2)
(23,121)
(798,253)
Edenred
(2)
(8,428)
(388,284)
EssilorLuxottica
SA
(2)
(1,221)
(165,962)
Getlink
SE
(2)
(3,586)
(55,609)
Hermes
International
(2)
(536)
(630,401)
L'Oreal
SA
(2)
(86)
(27,498)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(1,037)
(611,389)
Orpea
SA
(2)
(1,925)
(21,024)
Remy
Cointreau
SA
(2)
(64)
(10,621)
Safran
SA
(2)
(746)
(67,878)
Sartorius
Stedim
Biotech
(2)
(1,172)
(359,496)
SEB
SA
(2)
(233)
(14,656)
SOITEC
(2)
(896)
(102,309)
Teleperformance
(2)
(42)
(10,655)
Ubisoft
Entertainment
SA
(2)
(638)
(17,534)
Valeo
(2)
(7,408)
(111,934)
Worldline
SA
(2)(b)
(12,032)
(475,573)
(4,894,875)
—
Germany
-
(2.2)%
Carl
Zeiss
Meditec
AG
(2)
(2,302)
(239,118)
HelloFresh
SE
(2)
(1,721)
(36,024)
Merck
KGaA
(2)
(4,482)
(725,550)
MTU
Aero
Engines
AG
(2)
(374)
(55,896)
Nemetschek
SE
(2)
(2,918)
(138,508)
Puma
SE
(2)
(3,277)
(151,594)
Rational
AG
(2)
(47)
(22,763)
SAP
SE
(2)
(2,852)
(232,424)
Sartorius
AG
(Preference)
(2)
(2,052)
(709,796)
Siemens
Healthineers
AG
(2)(b)
(11,310)
(485,148)
TeamViewer
AG
(2)(b)
(5,705)
(44,028)
Telefonica
Deutschland
Holding
AG
(2)
(49,224)
(99,522)
United
Internet
AG
(Registered)
(2)
(2,660)
(49,726)
Zalando
SE
(2)(b)
(10,548)
(206,034)
(3,196,131)
—
Hong
Kong
-
(0.1)%
Prudential
plc
(2)
(10,473)
(102,506)
9
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Italy
-
(1.8)%
Amplifon
SpA
(2)
(6,675)
(173,912)
Brembo
SpA
(2)
(2,107)
(17,381)
Davide
Campari-Milano
NV
(2)
(6,439)
(56,969)
DiaSorin
SpA
(2)
(880)
(98,201)
Enel
SpA
(2)
(8,408)
(34,483)
Ferrari
NV
(2)
(4,336)
(802,967)
FinecoBank
Banca
Fineco
SpA
(2)
(3,135)
(38,719)
Interpump
Group
SpA
(2)
(1,713)
(55,402)
Moncler
SpA
(2)
(16,207)
(661,643)
Nexi
SpA
(2)(b)
(52,186)
(421,565)
Reply
SpA
(2)
(616)
(64,162)
Terna
-
Rete
Elettrica
Nazionale
(2)
(27,994)
(170,498)
(2,595,902)
—
Japan
-
(12.8)%
Advantest
Corp.
(2)
(4,700)
(217,049)
Aeon
Co.
Ltd.
(2)
(13,200)
(246,490)
Ajinomoto
Co.,
Inc.
(2)
(2,300)
(62,862)
ANA
Holdings,
Inc.
(2)
(6,000)
(112,873)
Asahi
Intecc
Co.
Ltd.
(2)
(13,400)
(213,707)
Asics
Corp.
(2)
(9,000)
(143,334)
Azbil
Corp.
(2)
(1,000)
(26,067)
BayCurrent
Consulting,
Inc.
(2)
(1,200)
(311,320)
Capcom
Co.
Ltd.
(2)
(3,200)
(80,568)
Chugai
Pharmaceutical
Co.
Ltd.
(2)
(4,200)
(104,929)
Cosmos
Pharmaceutical
Corp.
(2)
(1,500)
(148,318)
CyberAgent,
Inc.
(2)
(12,900)
(108,619)
Daifuku
Co.
Ltd.
(2)
(800)
(37,630)
Daiichi
Sankyo
Co.
Ltd.
(2)
(4,400)
(122,984)
Daikin
Industries
Ltd.
(2)
(800)
(123,095)
East
Japan
Railway
Co.
(2)
(5,800)
(297,450)
Eisai
Co.
Ltd.
(2)
(6,100)
(327,320)
FANUC
Corp.
(2)
(100)
(14,041)
Fast
Retailing
Co.
Ltd.
(2)
(1,100)
(582,939)
FUJIFILM
Holdings
Corp.
(2)
(400)
(18,270)
GMO
Payment
Gateway,
Inc.
(2)
(1,100)
(75,406)
Harmonic
Drive
Systems,
Inc.
(2)
(4,700)
(145,676)
Hoya
Corp.
(2)
(4,300)
(414,342)
Itochu
Techno-Solutions
Corp.
(2)
(1,000)
(23,441)
Japan
Airlines
Co.
Ltd.
(2)
(12,300)
(220,268)
Japan
Airport
Terminal
Co.
Ltd.
(2)
(5,500)
(229,855)
JSR
Corp.
(2)
(1,300)
(24,652)
Kadokawa
Corp.
(2)
(7,100)
(130,178)
Kakaku.com,
Inc.
(2)
(5,200)
(88,120)
Kansai
Paint
Co.
Ltd.
(2)
(1,000)
(14,178)
Kawasaki
Heavy
Industries
Ltd.
(2)
(4,300)
(65,223)
KDDI
Corp.
(2)
(26,700)
(780,610)
Keio
Corp.
(2)
(3,000)
(109,318)
Keisei
Electric
Railway
Co.
Ltd.
(2)
(3,800)
(103,520)
Keyence
Corp.
(2)
(500)
(165,280)
Kikkoman
Corp.
(2)
(3,400)
(192,750)
Kintetsu
Group
Holdings
Co.
Ltd.
(2)
(6,200)
(206,421)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(1,000)
(58,603)
Kobe
Bussan
Co.
Ltd.
(2)
(27,400)
(659,171)
Koei
Tecmo
Holdings
Co.
Ltd.
(2)
(5,500)
(90,535)
Koito
Manufacturing
Co.
Ltd.
(2)
(1,000)
(13,672)
Kose
Corp.
(2)
(2,500)
(257,761)
Lasertec
Corp.
(2)
(6,600)
(663,842)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(12.8)%
(continued)
M3,
Inc.
(2)
(21,700)
(605,903)
Marui
Group
Co.
Ltd.
(2)
(4,800)
(79,546)
MatsukiyoCocokara
&
Co.
(2)
(9,700)
(416,064)
McDonald's
Holdings
Co.
Japan
Ltd.
(2)
(1,200)
(41,812)
Mercari,
Inc.
(2)
(6,400)
(85,364)
Mitsubishi
Motors
Corp.
(2)
(14,000)
(50,260)
Mitsui
High-Tec,
Inc.
(2)
(7,600)
(357,671)
Miura
Co.
Ltd.
(2)
(600)
(12,224)
MonotaRO
Co.
Ltd.
(2)
(23,100)
(354,466)
Nagoya
Railroad
Co.
Ltd.
(2)
(1,000)
(15,384)
Nexon
Co.
Ltd.
(2)
(17,600)
(310,952)
Nidec
Corp.
(2)
(1,300)
(72,769)
Nihon
M&A
Center
Holdings,
Inc.
(2)
(6,900)
(78,916)
Nintendo
Co.
Ltd.
(2)
(10,000)
(403,343)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(29,800)
(201,296)
Nippon
Sanso
Holdings
Corp.
(2)
(2,200)
(34,775)
Nisshin
Seifun
Group,
Inc.
(2)
(1,400)
(14,141)
Nissin
Foods
Holdings
Co.
Ltd.
(2)
(1,400)
(97,314)
Nomura
Research
Institute
Ltd.
(2)
(8,700)
(212,482)
NTT
Data
Corp.
(2)
(3,300)
(42,626)
Obic
Co.
Ltd.
(2)
(1,100)
(147,503)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(9,400)
(121,120)
Olympus
Corp.
(2)
(27,900)
(536,733)
Omron
Corp.
(2)
(300)
(13,745)
Ono
Pharmaceutical
Co.
Ltd.
(2)
(5,100)
(119,130)
Oracle
Corp.
Japan
(2)
(200)
(10,601)
Oriental
Land
Co.
Ltd.
(2)
(1,000)
(135,629)
Pan
Pacific
International
Holdings
Corp.
(2)
(5,200)
(91,732)
Persol
Holdings
Co.
Ltd.
(2)
(1,400)
(25,898)
Pola
Orbis
Holdings,
Inc.
(2)
(7,900)
(89,229)
Rakus
Co.
Ltd.
(2)
(11,200)
(105,167)
Rakuten
Group,
Inc.
(2)
(36,300)
(155,345)
Renesas
Electronics
Corp.
(2)
(2,900)
(24,311)
Ryohin
Keikaku
Co.
Ltd.
(2)
(12,900)
(107,942)
Seven
&
i
Holdings
Co.
Ltd.
(2)
(6,900)
(277,173)
SG
Holdings
Co.
Ltd.
(2)
(5,100)
(69,853)
Sharp
Corp.
(2)
(12,300)
(73,343)
SHIFT,
Inc.
(2)
(400)
(52,212)
Shimadzu
Corp.
(2)
(500)
(13,118)
Shinko
Electric
Industries
Co.
Ltd.
(2)
(6,100)
(130,769)
Shiseido
Co.
Ltd.
(2)
(6,000)
(210,283)
Showa
Denko
KK
(2)
(10,800)
(153,512)
SoftBank
Corp.
(2)
(54,400)
(543,235)
SoftBank
Group
Corp.
(2)
(9,800)
(332,133)
Sony
Group
Corp.
(2)
(10,100)
(650,586)
SUMCO
Corp.
(2)
(9,100)
(106,025)
Sundrug
Co.
Ltd.
(2)
(1,000)
(24,333)
Sysmex
Corp.
(2)
(3,100)
(165,652)
Takeda
Pharmaceutical
Co.
Ltd.
(2)
(2,900)
(75,307)
Terumo
Corp.
(2)
(4,400)
(123,685)
THK
Co.
Ltd.
(2)
(3,700)
(63,880)
TIS,
Inc.
(2)
(1,400)
(37,170)
Tobu
Railway
Co.
Ltd.
(2)
(600)
(14,143)
Tokyo
Century
Corp.
(2)
(1,100)
(35,194)
Tokyo
Electron
Ltd.
(2)
(1,500)
(369,592)
10
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(12.8)%
(continued)
TOTO
Ltd.
(2)
(3,200)
(106,859)
Toyota
Motor
Corp.
(2)
(4,500)
(58,817)
Trend
Micro,
Inc.
(2)
(1,500)
(80,794)
Tsuruha
Holdings,
Inc.
(2)
(300)
(17,565)
Unicharm
Corp.
(2)
(11,000)
(360,854)
USS
Co.
Ltd.
(2)
(2,100)
(32,433)
Welcia
Holdings
Co.
Ltd.
(2)
(6,600)
(139,276)
West
Japan
Railway
Co.
(2)
(5,200)
(198,765)
Yakult
Honsha
Co.
Ltd.
(2)
(7,700)
(447,099)
Yamato
Holdings
Co.
Ltd.
(2)
(3,200)
(48,056)
Yaskawa
Electric
Corp.
(2)
(3,200)
(92,090)
Yokogawa
Electric
Corp.
(2)
(7,100)
(111,855)
Z
Holdings
Corp.
(2)
(63,300)
(167,787)
Zensho
Holdings
Co.
Ltd.
(2)
(600)
(14,834)
(18,602,362)
—
Mongolia
-
(0.2)%
Turquoise
Hill
Resources
Ltd.
(7,979)
(236,248)
Netherlands
-
(1.4)%
Adyen
NV
(2)(b)
(382)
(476,416)
Argenx
SE
(2)
(467)
(166,194)
ASM
International
NV
(2)
(675)
(151,137)
ASML
Holding
NV
(2)
(363)
(150,383)
Heineken
NV
(2)
(519)
(45,325)
IMCD
NV
(2)
(1,358)
(161,007)
Koninklijke
DSM
NV
(2)
(7,251)
(825,096)
(1,975,558)
—
Norway
-
(0.2)%
Kongsberg
Gruppen
ASA
(2)
(2,832)
(85,944)
Mowi
ASA
(2)
(8,628)
(109,744)
Schibsted
ASA,
Class
A
(2)
(2,176)
(29,363)
Telenor
ASA
(2)
(2,123)
(19,430)
TOMRA
Systems
ASA
(2)
(2,665)
(47,020)
(291,501)
—
Singapore
-
(0.7)%
City
Developments
Ltd.
(2)
(7,800)
(41,107)
Grab
Holdings
Ltd.,
Class
A
(57,921)
(152,332)
Sea
Ltd.,
ADR
(2,137)
(119,779)
Singapore
Telecommunications
Ltd.
(2)
(345,700)
(637,900)
(951,118)
—
South
Korea
-
(0.3)%
Delivery
Hero
SE
(2)(b)
(13,770)
(502,979)
Spain
-
(1.2)%
Aena
SME
SA
(2)(b)
(370)
(38,398)
Amadeus
IT
Group
SA
(2)
(11,953)
(554,173)
Cellnex
Telecom
SA
(2)(b)
(19,493)
(601,293)
Ferrovial
SA
(2)
(12,347)
(280,260)
Fluidra
SA
(2)
(6,690)
(100,317)
Grifols
SA
(2)
(9,756)
(84,285)
Industria
de
Diseno
Textil
SA
(2)
(5,460)
(112,676)
Naturgy
Energy
Group
SA
(2)
(630)
(14,574)
(1,785,976)
—
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
(1.1)%
Beijer
Ref
AB
(2)
(4,124)
(50,710)
Embracer
Group
AB
(2)
(54,172)
(321,087)
Epiroc
AB,
Class
A
(2)
(3,482)
(49,812)
EQT
AB
(2)
(18,233)
(352,302)
Evolution
AB
(2)(b)
(1,009)
(79,759)
Hexagon
AB,
Class
B
(2)
(11,940)
(111,509)
Holmen
AB,
Class
B
(2)
(4,572)
(173,492)
Lifco
AB,
Class
B
(2)
(3,035)
(42,105)
Nibe
Industrier
AB,
Class
B
(2)
(18,162)
(162,009)
Saab
AB,
Class
B
(2)
(3,139)
(97,801)
Sagax
AB,
Class
B
(2)
(1,646)
(27,098)
Svenska
Cellulosa
AB
SCA,
Class
B
(2)
(4,316)
(54,764)
Sweco
AB,
Class
B
(2)
(3,190)
(26,758)
(1,549,206)
—
Switzerland
-
(1.3)%
Bachem
Holding
AG,
Class
B
(2)
(1,669)
(104,967)
Clariant
AG
(Registered)
(2)
(7,593)
(121,289)
Dufry
AG
(Registered)
(2)
(7,856)
(238,504)
Idorsia
Ltd.
(2)
(13,948)
(180,523)
Lonza
Group
AG
(Registered)
(2)
(86)
(41,873)
OC
Oerlikon
Corp.
AG
(Registered)
(2)
(1,808)
(11,573)
Partners
Group
Holding
AG
(2)
(167)
(134,399)
SIG
Group
AG
(2)
(1,350)
(27,411)
Sika
AG
(Registered)
(2)
(2,042)
(410,424)
Sonova
Holding
AG
(Registered)
(2)
(561)
(123,454)
Straumann
Holding
AG
(Registered)
(2)
(3,450)
(315,538)
Temenos
AG
(Registered)
(2)
(2,551)
(171,981)
VAT
Group
AG
(2)(b)
(453)
(91,927)
(1,973,863)
—
United
Kingdom
-
(2.6)%
Ashtead
Group
plc
(2)
(686)
(30,808)
AstraZeneca
plc
(2)
(6,970)
(766,210)
AVEVA
Group
plc
(2)
(6,047)
(208,635)
Beazley
plc
(2)
(7,203)
(44,901)
Bellway
plc
(2)
(961)
(18,102)
Berkeley
Group
Holdings
plc
(2)
(2,061)
(75,300)
boohoo
Group
plc
(2)
(112,247)
(45,004)
British
American
Tobacco
plc
(2)
(5,627)
(201,770)
ConvaTec
Group
plc
(2)(b)
(47,997)
(109,077)
Croda
International
plc
(2)
(7,189)
(513,467)
Dechra
Pharmaceuticals
plc
(2)
(2,441)
(70,889)
easyJet
plc
(2)
(12,721)
(41,507)
Frasers
Group
plc
(2)
(2,642)
(19,802)
Halma
plc
(2)
(11,104)
(249,755)
Hargreaves
Lansdown
plc
(2)
(9,060)
(86,768)
Hiscox
Ltd.
(2)
(9,572)
(93,913)
JD
Sports
Fashion
plc
(2)
(47,867)
(52,734)
Legal
&
General
Group
plc
(2)
(10,769)
(25,705)
Ocado
Group
plc
(2)
(12,643)
(65,611)
Reckitt
Benckiser
Group
plc
(2)
(10,065)
(667,123)
Rolls-Royce
Holdings
plc
(2)
(464,551)
(355,777)
Standard
Chartered
plc
(2)
(9,193)
(57,498)
Weir
Group
plc
(The)
(2)
(2,130)
(32,975)
11
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
(2.6)%
(continued)
WH
Smith
plc
(2)
(2,620)
(34,544)
(3,867,875)
—
United
States
-
(36.1)%
10X
Genomics,
Inc.,
Class
A
(9,722)
(276,883)
Adaptive
Biotechnologies
Corp.
(7,922)
(56,405)
ADT,
Inc.
(2,783)
(20,845)
Advanced
Drainage
Systems,
Inc.
(826)
(102,730)
Advanced
Micro
Devices,
Inc.
(1,706)
(108,092)
AES
Corp.
(The)
(529)
(11,955)
agilon
health,
Inc.
(1,278)
(29,931)
Air
Products
and
Chemicals,
Inc.
(127)
(29,557)
Airbnb,
Inc.,
Class
A
(1,614)
(169,535)
Albemarle
Corp.
(931)
(246,194)
Alcoa
Corp.
(11,207)
(377,228)
Alnylam
Pharmaceuticals,
Inc.
(885)
(177,142)
Alteryx,
Inc.,
Class
A
(1,502)
(83,872)
Altria
Group,
Inc.
(1,373)
(55,442)
Amazon.com,
Inc.
(3,801)
(429,513)
AMC
Entertainment
Holdings,
Inc.,
Class
A
(11,763)
(81,988)
Amedisys,
Inc.
(176)
(17,035)
American
Airlines
Group,
Inc.
(35,978)
(433,175)
American
Express
Co.
(4,174)
(563,114)
American
Water
Works
Co.,
Inc.
(5,245)
(682,689)
Amphenol
Corp.,
Class
A
(1,688)
(113,028)
Antero
Resources
Corp.
(3,951)
(120,624)
Aon
plc,
Class
A
(3,299)
(883,702)
Aptiv
plc
(3,494)
(273,266)
Arrowhead
Pharmaceuticals,
Inc.
(4,913)
(162,375)
Arthur
J
Gallagher
&
Co.
(1,242)
(212,655)
Atmos
Energy
Corp.
(2,770)
(282,125)
Axalta
Coating
Systems
Ltd.
(479)
(10,088)
Axon
Enterprise,
Inc.
(560)
(64,820)
AZEK
Co.,
Inc.
(The)
(1,859)
(30,897)
Azenta,
Inc.
(261)
(11,186)
Baker
Hughes
Co.
(6,879)
(144,184)
Ball
Corp.
(9,658)
(466,675)
Bank
OZK
(606)
(23,973)
Bausch
Health
Cos.,
Inc.
(2,041)
(14,096)
Bill.com
Holdings,
Inc.
(3,212)
(425,172)
BioMarin
Pharmaceutical,
Inc.
(653)
(55,355)
BJ's
Wholesale
Club
Holdings,
Inc.
(1,386)
(100,915)
BlackRock,
Inc.
(157)
(86,394)
Block,
Inc.,
Class
A
(1,055)
(58,014)
Boeing
Co.
(The)
(5,754)
(696,693)
Boston
Beer
Co.,
Inc.
(The),
Class
A
(427)
(138,199)
Bright
Horizons
Family
Solutions,
Inc.
(2,168)
(124,985)
Brink's
Co.
(The)
(1,739)
(84,237)
Brown
&
Brown,
Inc.
(686)
(41,489)
Burlington
Stores,
Inc.
(640)
(71,610)
Cable
One,
Inc.
(50)
(42,653)
Cadence
Bank
(734)
(18,651)
Caesars
Entertainment,
Inc.
(3,381)
(109,071)
CarMax,
Inc.
(619)
(40,866)
Carnival
Corp.
(51,752)
(363,817)
Carvana
Co.
(10,497)
(213,089)
Catalent,
Inc.
(859)
(62,157)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(36.1)%
(continued)
Cboe
Global
Markets,
Inc.
(465)
(54,577)
CH
Robinson
Worldwide,
Inc.
(5,546)
(534,135)
ChargePoint
Holdings,
Inc.
(2,757)
(40,693)
Charles
Schwab
Corp.
(The)
(6,215)
(446,672)
Chart
Industries,
Inc.
(415)
(76,505)
Charter
Communications,
Inc.,
Class
A
(361)
(109,509)
Chevron
Corp.
(4,365)
(627,120)
Chewy,
Inc.,
Class
A
(4,056)
(124,600)
Clarivate
plc
(10,619)
(99,712)
Cloudflare,
Inc.,
Class
A
(2,342)
(129,536)
CME
Group,
Inc.
(4,349)
(770,337)
CNX
Resources
Corp.
(9,890)
(153,592)
Coinbase
Global,
Inc.,
Class
A
(1,877)
(121,048)
Commerce
Bancshares,
Inc.
(3,894)
(257,627)
Copart,
Inc.
(183)
(19,471)
Corning,
Inc.
(347)
(10,070)
CoStar
Group,
Inc.
(1,045)
(72,784)
Costco
Wholesale
Corp.
(1,766)
(834,028)
Coupa
Software,
Inc.
(1,735)
(102,018)
Crocs,
Inc.
(1,281)
(87,953)
Crowdstrike
Holdings,
Inc.,
Class
A
(2,055)
(338,685)
Crown
Holdings,
Inc.
(5,610)
(454,578)
Danaher
Corp.
(2,266)
(585,285)
Datadog,
Inc.,
Class
A
(1,200)
(106,536)
Delta
Air
Lines,
Inc.
(2,531)
(71,020)
Dexcom,
Inc.
(3,004)
(241,942)
DocuSign,
Inc.
(218)
(11,656)
Dollar
Tree,
Inc.
(6,796)
(924,935)
Dominion
Energy,
Inc.
(1,003)
(69,317)
Domino's
Pizza,
Inc.
(60)
(18,612)
DoorDash,
Inc.,
Class
A
(1,454)
(71,900)
DraftKings,
Inc.,
Class
A
(13,227)
(200,257)
DTE
Energy
Co.
(91)
(10,470)
Dun
&
Bradstreet
Holdings,
Inc.
(17,793)
(220,455)
Ecolab,
Inc.
(255)
(36,827)
Edison
International
(7,920)
(448,114)
Elanco
Animal
Health,
Inc.
(2,338)
(29,015)
Elastic
NV
(478)
(34,292)
Eli
Lilly
&
Co.
(1,916)
(619,539)
Energizer
Holdings,
Inc.
(951)
(23,908)
Entegris,
Inc.
(765)
(63,510)
Equifax,
Inc.
(564)
(96,687)
Erie
Indemnity
Co.,
Class
A
(398)
(88,479)
Essential
Utilities,
Inc.
(2,876)
(119,009)
Etsy,
Inc.
(887)
(88,815)
Eversource
Energy
(2,302)
(179,464)
Exact
Sciences
Corp.
(3,875)
(125,899)
Exelixis,
Inc.
(1,926)
(30,200)
Fastenal
Co.
(13,915)
(640,647)
First
Citizens
BancShares,
Inc.,
Class
A
(19)
(15,151)
First
Financial
Bankshares,
Inc.
(8,111)
(339,283)
First
Republic
Bank
(2,162)
(282,249)
FirstEnergy
Corp.
(4,240)
(156,880)
Five
Below,
Inc.
(384)
(52,865)
Five9,
Inc.
(1,588)
(119,068)
Floor
&
Decor
Holdings,
Inc.,
Class
A
(1,083)
(76,092)
Fluor
Corp.
(3,227)
(80,320)
12
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(36.1)%
(continued)
Fox
Factory
Holding
Corp.
(1,265)
(100,036)
Freeport-McMoRan,
Inc.
(4,037)
(110,331)
Freshpet,
Inc.
(2,886)
(144,560)
FTI
Consulting,
Inc.
(277)
(45,902)
Garmin
Ltd.
(1,851)
(148,654)
General
Electric
Co.
(4,227)
(261,694)
Glacier
Bancorp,
Inc.
(2,399)
(117,863)
Grocery
Outlet
Holding
Corp.
(9,920)
(330,237)
Guardant
Health,
Inc.
(7,385)
(397,535)
HealthEquity,
Inc.
(4,001)
(268,747)
Helen
of
Troy
Ltd.
(520)
(50,149)
Hershey
Co.
(The)
(2,095)
(461,885)
Hess
Corp.
(3,556)
(387,568)
Home
Depot,
Inc.
(The)
(63)
(17,384)
Honeywell
International,
Inc.
(2,058)
(343,624)
Hormel
Foods
Corp.
(5,577)
(253,419)
Howard
Hughes
Corp.
(The)
(2,042)
(113,106)
Illumina,
Inc.
(209)
(39,875)
Insulet
Corp.
(824)
(189,026)
Intercontinental
Exchange,
Inc.
(3,660)
(330,681)
International
Flavors
&
Fragrances,
Inc.
(1,631)
(148,144)
Intuitive
Surgical,
Inc.
(728)
(136,456)
Ionis
Pharmaceuticals,
Inc.
(5,956)
(263,434)
Iovance
Biotherapeutics,
Inc.
(11,555)
(110,697)
Iridium
Communications,
Inc.
(4,672)
(207,297)
Jazz
Pharmaceuticals
plc
(189)
(25,192)
KBR,
Inc.
(253)
(10,935)
Kinsale
Capital
Group,
Inc.
(967)
(246,991)
Kirby
Corp.
(1,713)
(104,099)
Kraft
Heinz
Co.
(The)
(399)
(13,307)
Lamb
Weston
Holdings,
Inc.
(780)
(60,356)
Las
Vegas
Sands
Corp.
(7,985)
(299,597)
Liberty
Broadband
Corp.,
Class
C
(1,358)
(100,220)
Lululemon
Athletica,
Inc.
(1,462)
(408,717)
Lyft,
Inc.,
Class
A
(24,089)
(317,252)
Madison
Square
Garden
Sports
Corp.,
Class
A
(1,175)
(160,576)
MarketAxess
Holdings,
Inc.
(1,398)
(311,041)
Marsh
&
McLennan
Cos.,
Inc.
(4,215)
(629,257)
Martin
Marietta
Materials,
Inc.
(78)
(25,123)
Marvell
Technology,
Inc.
(1,966)
(84,361)
McCormick
&
Co.,
Inc.
(Non-Voting)
(3,769)
(268,617)
Mercury
General
Corp.
(368)
(10,459)
Mercury
Systems,
Inc.
(509)
(20,665)
Mirati
Therapeutics,
Inc.
(2,891)
(201,907)
MongoDB,
Inc.
(553)
(109,804)
Moody's
Corp.
(530)
(128,848)
MP
Materials
Corp.
(14,868)
(405,896)
MSCI,
Inc.
(221)
(93,216)
Nasdaq,
Inc.
(11,286)
(639,690)
Natera,
Inc.
(8,250)
(361,515)
Nektar
Therapeutics
(73,336)
(234,675)
Netflix,
Inc.
(879)
(206,952)
New
Fortress
Energy,
Inc.
(3,816)
(166,797)
New
Relic,
Inc.
(496)
(28,460)
Newell
Brands,
Inc.
(9,447)
(131,219)
Newmont
Corp.
(21,004)
(882,797)
News
Corp.,
Class
A
(983)
(14,853)
NextEra
Energy,
Inc.
(3,433)
(269,182)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(36.1)%
(continued)
NIKE,
Inc.,
Class
B
(6,362)
(528,809)
Nordstrom,
Inc.
(4,972)
(83,182)
Norwegian
Cruise
Line
Holdings
Ltd.
(51,830)
(588,789)
NOV,
Inc.
(17,145)
(277,406)
Novocure
Ltd.
(2,669)
(202,791)
Nutanix,
Inc.,
Class
A
(6,212)
(129,396)
NVIDIA
Corp.
(1,543)
(187,305)
Oak
Street
Health,
Inc.
(2,857)
(70,054)
Okta,
Inc.
(1,052)
(59,827)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(12,482)
(644,071)
ONE
Gas,
Inc.
(2,305)
(162,249)
ONEOK,
Inc.
(2,381)
(122,002)
PacWest
Bancorp
(5,555)
(125,543)
Palantir
Technologies,
Inc.,
Class
A
(6,940)
(56,422)
Paramount
Global,
Class
B
(4,496)
(85,604)
Peloton
Interactive,
Inc.,
Class
A
(40,458)
(280,374)
Penumbra,
Inc.
(183)
(34,697)
PG&E
Corp.
(1,272)
(15,900)
Philip
Morris
International,
Inc.
(125)
(10,376)
Pinterest,
Inc.,
Class
A
(540)
(12,582)
Planet
Fitness,
Inc.,
Class
A
(946)
(54,546)
Plug
Power,
Inc.
(18,109)
(380,470)
PNC
Financial
Services
Group,
Inc.
(The)
(1,866)
(278,818)
Pool
Corp.
(390)
(124,102)
Primerica,
Inc.
(98)
(12,098)
Progyny,
Inc.
(4,273)
(158,357)
Public
Service
Enterprise
Group,
Inc.
(2,045)
(114,990)
QuantumScape
Corp.
(26,797)
(225,363)
Range
Resources
Corp.
(6,705)
(169,368)
Repligen
Corp.
(601)
(112,453)
RH
(67)
(16,487)
RingCentral,
Inc.,
Class
A
(611)
(24,416)
RLI
Corp.
(876)
(89,685)
ROBLOX
Corp.,
Class
A
(827)
(29,640)
Rocket
Cos.,
Inc.,
Class
A
(63,188)
(399,348)
Rockwell
Automation,
Inc.
(429)
(92,282)
Roku,
Inc.
(1,719)
(96,952)
Ross
Stores,
Inc.
(1,111)
(93,624)
Royal
Caribbean
Cruises
Ltd.
(6,169)
(233,805)
Royal
Gold,
Inc.
(2,249)
(211,001)
S&P
Global,
Inc.
(482)
(147,179)
Sabre
Corp.
(33,712)
(173,617)
Sage
Therapeutics,
Inc.
(6,918)
(270,909)
Schlumberger
NV
(16,225)
(582,478)
Scotts
Miracle-Gro
Co.
(The)
(714)
(30,524)
Seagen,
Inc.
(1,693)
(231,653)
Sherwin-Williams
Co.
(The)
(1,756)
(359,541)
Shift4
Payments,
Inc.,
Class
A
(448)
(19,985)
Signature
Bank
(1,669)
(252,019)
Sinch
AB
(2)(b)
(31,079)
(41,201)
SiteOne
Landscape
Supply,
Inc.
(350)
(36,449)
SiTime
Corp.
(126)
(9,920)
Six
Flags
Entertainment
Corp.
(5,295)
(93,722)
Smartsheet,
Inc.,
Class
A
(394)
(13,538)
Snap,
Inc.,
Class
A
(30,008)
(294,679)
Snowflake,
Inc.,
Class
A
(483)
(82,091)
SoFi
Technologies,
Inc.
(56,926)
(277,799)
13
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(36.1)%
(continued)
SolarEdge
Technologies,
Inc.
(792)
(183,316)
Southwest
Gas
Holdings,
Inc.
(5,984)
(417,384)
Southwestern
Energy
Co.
(23,781)
(145,540)
Spire,
Inc.
(627)
(39,081)
Splunk,
Inc.
(645)
(48,504)
STAAR
Surgical
Co.
(1,156)
(81,556)
Sunrun,
Inc.
(14,768)
(407,449)
SVB
Financial
Group
(439)
(147,407)
Switch,
Inc.,
Class
A
(10,114)
(340,741)
Sysco
Corp.
(2,333)
(164,966)
Tandem
Diabetes
Care,
Inc.
(407)
(19,475)
Targa
Resources
Corp.
(1,234)
(74,460)
Target
Corp.
(2,828)
(419,647)
Teladoc
Health,
Inc.
(881)
(22,333)
Tempur
Sealy
International,
Inc.
(1,006)
(24,285)
Tesla,
Inc.
(1,749)
(463,922)
Texas
Capital
Bancshares,
Inc.
(672)
(39,668)
Thermo
Fisher
Scientific,
Inc.
(122)
(61,877)
TJX
Cos.,
Inc.
(The)
(693)
(43,049)
T-Mobile
US,
Inc.
(3,303)
(443,164)
TopBuild
Corp.
(1,355)
(223,277)
Tractor
Supply
Co.
(474)
(88,107)
Trade
Desk,
Inc.
(The),
Class
A
(1,381)
(82,515)
Tradeweb
Markets,
Inc.,
Class
A
(2,947)
(166,270)
TransUnion
(442)
(26,295)
Trimble,
Inc.
(641)
(34,787)
TripAdvisor,
Inc.
(4,417)
(97,527)
Truist
Financial
Corp.
(4,814)
(209,602)
Twilio,
Inc.,
Class
A
(1,778)
(122,931)
Twitter,
Inc.
(16,064)
(704,245)
Uber
Technologies,
Inc.
(22,129)
(586,419)
Ultragenyx
Pharmaceutical,
Inc.
(7,962)
(329,706)
Under
Armour,
Inc.,
Class
A
(1,702)
(11,318)
Union
Pacific
Corp.
(3,354)
(653,426)
United
Airlines
Holdings,
Inc.
(7,152)
(232,655)
Unity
Software,
Inc.
(663)
(21,123)
Upstart
Holdings,
Inc.
(5,602)
(116,466)
Verisk
Analytics,
Inc.
(1,432)
(244,199)
VF
Corp.
(2,450)
(73,280)
Visteon
Corp.
(466)
(49,424)
Walmart,
Inc.
(1,306)
(169,388)
Walt
Disney
Co.
(The)
(557)
(52,542)
Waste
Management,
Inc.
(3,184)
(510,109)
Wayfair,
Inc.,
Class
A
(1,444)
(47,002)
West
Pharmaceutical
Services,
Inc.
(808)
(198,833)
Westinghouse
Air
Brake
Technologies
Corp.
(909)
(73,947)
White
Mountains
Insurance
Group
Ltd.
(205)
(267,119)
Williams
Cos.,
Inc.
(The)
(13,586)
(388,967)
Wingstop,
Inc.
(465)
(58,320)
Wolfspeed,
Inc.
(770)
(79,587)
Wynn
Resorts
Ltd.
(3,791)
(238,947)
Zillow
Group,
Inc.,
Class
C
(1,640)
(46,920)
ZoomInfo
Technologies,
Inc.,
Class
A
(1,670)
(69,572)
Zscaler,
Inc.
(855)
(140,536)
(52,710,887)
—
INVESTMENTS
SHARES
VALUE
($)
Zambia
-
(0.2)%
First
Quantum
Minerals
Ltd.
(15,085)
(256,085)
TOTAL
COMMON
STOCKS
(Proceeds
$(165,225,385))
(103,950,255)
PREFERRED
STOCKS
–
(0.0)%
(c)
United
States
–
(0.0)%
(c)
AMC
Entertainment
Holdings,
Inc.,
0.00%,
11/9/2022
(i)
(Proceeds
$(126,890))(i)
(11,763)
(31,878)
NO.
OF
RIGHTS
RIGHTS
–
(0.0)%
Australia
–
(0.0)%
Atlas
Arteria
Ltd.,
expiring
10/6/2022
(2)*
(Proceeds
$–)
(10,743)
–
NO.
OF
WARRANTS
WARRANTS
–
(0.0)%
(c)
Canada
–
(0.0)%
(c)
Cenovus
Energy,
Inc.,
expiring
1/1/2026
*
(Proceeds
$–)
(674)
(7,124)
TOTAL
SHORT
POSITIONS
(Proceeds
$(165,352,275))
(103,989,257)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
86.3%
(Cost
$54,046,274)
126,272,620
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
13.7%
(j)
20,015,088
NET
ASSETS
-
100.0%
146,287,708
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(4,095,445)
(2.8)
%
Consumer
Discretionary
1,690,242
1.2
Consumer
Staples
(3,953,113)
(2.7)
Energy
7,827,545
5.3
Financials
6,378,761
4.4
Health
Care
(4,670,203)
(3.2)
Industrials
3,701,704
2.5
Information
Technology
(118,354)
(0.1)
Materials
2,136,829
1.5
Real
Estate
341,478
0.2
Utilities
(761,293)
(0.5)
Investment
Companies
79,115,943
54.1
U.S.
Treasury
Obligations
38,678,526
26.4
Total
Investments
In
Securities
At
Value
126,272,620
86.3
Other
Assets
in
Excess
of
Liabilities
(j)
20,015,088
13.7
Net
Assets
$
146,287,708
100.0%
14
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
*
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
$107,595,847;
additional
securities
sold
but
not
yet
settled
totaling
$55,280
were
also
segregated.
In
addition,
$6,166,040
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$(3,242,484),
which
represents
(2.22)%
of
net
assets
of
the
fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(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
$20,310,657.
(e)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(f)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
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)
Perpetual
security.
The
rate
reflected
was
the
rate
in
effect
on
September
30,
2022.
The
maturity
date
reflects
the
next
call
date.
(j)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
15
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
11,000,000
$
164,516
$
302,894
$
467,410
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
21,400,000
315,467
(46,291)
269,176
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
39,700,000
486,608
571,719
1,058,327
Receive
1D
SONIA
Annual
2.25%
Annual
12/21/2032
GBP
700,000
24,545
109,764
134,309
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
400,000
92,869
9,804
102,673
Receive
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
1,100,000
98,476
130,822
229,298
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
5,900,000
555,144
169,826
724,970
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
629,800,000
(53,348)
62,617
9,269
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
3,221,500,000
24,858
73,791
98,649
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
58,500,000
812,752
547,436
1,360,188
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
24,500,000
35,856
(4,002)
31,854
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
85,100,000
925,221
52,358
977,579
Receive
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
2,400,000
5,392
12,820
18,212
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
12,600,000
(4,639)
30,313
25,674
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
500,000
30,453
58,253
88,706
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
5,800,000
207,155
348,347
555,502
3,721,325
2,430,471
6,151,796
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
32,300,000
(238,319)
(141,037)
(379,356)
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
2,400,000
(180,261)
(128,926)
(309,187)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
1,800,000
(82,471)
(70,025)
(152,496)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
4,000,000
(177,882)
2,877
(175,005)
Pay
1D
SONIA
Annual
2.75%
Annual
12/23/2024
GBP
3,600,000
(72,980)
(141,609)
(214,589)
Pay
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
1,900,000
(139,789)
(2,641)
(142,430)
Pay
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
20,700,000
(661,757)
(50,016)
(711,773)
Pay
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
2,100,000
(144,389)
8,491
(135,898)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
3,055,700,000
(30,752)
(23,732)
(54,484)
Pay
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
18,454,000,000
(344,938)
(59,251)
(404,189)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
13,600,000
(892,035)
(74,043)
(966,078)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
2,300,000
(16,405)
(4,780)
(21,185)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
3,200,000
(74,591)
(3,023)
(77,614)
Pay
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
17,400,000
(74,243)
(78,802)
(153,045)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
16,100,000
3,426
(61,819)
(58,393)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
3/13/2025
AUD
5,000,000
(34,844)
(5,654)
(40,498)
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
113,200,000
27
(9,461)
(9,434)
Pay
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
600,000
(20,570)
(9,019)
(29,589)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
4,100,000
(55,207)
(44,572)
(99,779)
Pay
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
52,200,000
(1,100,258)
(457,849)
(1,558,107)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
15,000,000
(3,848)
(5,174)
(9,022)
(4,342,086)
(1,360,065)
(5,702,151)
$
(620,761)
$
1,070,406
$
449,645
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
16
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
(a)
Floating
rate
indices
at
September
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
2.98%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
2.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.07%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.06%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.20%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
1.73%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.57%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
1.81%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.46%
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
11/04/2022
USD
(47,080)
$
105
Hang
Seng
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(860,500)
1,683
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(3,548,400)
14,203
iBovespa
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
10/13/2022
BRL
(2,210,040)
10,705
KOSPI
200
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
12/08/2022
KRW
(282,450,000)
21,549
Live
Cattle
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
(176,460)
4,297
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
12/16/2022
CHF
(718,130)
47,341
WIG20
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
12/16/2022
PLN
(1,699,460)
10,468
MSCI
China
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.60%)
Monthly
BANA
12/21/2022
HKD
(1,383,845)
17,930
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
(0.15%)
Monthly
BANA
12/21/2022
MXN
(2,157,304)
–
17
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Netherlands
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.25%)
Monthly
BANA
12/21/2022
EUR
(1,204,244)
$
88,049
MSCI
Singapore
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.20%)
Monthly
BANA
12/21/2022
SGD
(844,853)
24,343
MSCI
Sweden
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.61%)
Monthly
BANA
12/21/2022
SEK
(2,841,131)
13,360
254,033
DTOP
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/15/2022
ZAR
901,760
(3,869)
Live
Cattle
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
(171,930)
(2,956)
Live
Cattle
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
171,930
(2,188)
Live
Cattle
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
176,460
(4,405)
SGX
NIFTY
50
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/27/2022
USD
(34,176)
(371)
TAIEX
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
10/19/2022
TWD
37,503,200
(94,807)
Tel
Aviv
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/28/2022
ILS
1,102,338
(18,388)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.35%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
12/21/2022
EUR
2,465,113
(188,298)
18
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
South
Africa
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
JIBAR
plus
or
minus
a
specified
spread
(0.00%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
12/21/2022
ZAR
3,589,279
$
(11,022)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.35%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
12/21/2022
EUR
521,686
(44,293)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.12%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
12/21/2022
CHF
2,486,164
(112,383)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
12/21/2022
GBP
254,808
(14,421)
(497,401)
$
(243,368)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
63
10/2022
USD
$
5,363,820
$
(341,746)
FTSE
Bursa
Malaysia
KLCI
Index
6
10/2022
MYR
90,608
(483)
IBEX
35
Index
52
10/2022
EUR
3,752,580
(370,674)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,688
(6,815)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,996
(5,208)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,681
(7,212)
LME
Aluminum
Base
Metal
2
10/2022
USD
108,181
(10,637)
LME
Aluminum
Base
Metal
3
10/2022
USD
161,194
(20,991)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
6,419
LME
Copper
Base
Metal
2
10/2022
USD
383,963
17,530
LME
Copper
Base
Metal
2
10/2022
USD
384,300
(6,254)
LME
Copper
Base
Metal
3
10/2022
USD
576,600
(15,245)
19
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
3
10/2022
USD
$
576,150
$
20,102
LME
Copper
Base
Metal
3
10/2022
USD
575,025
(7,008)
LME
Copper
Base
Metal
3
10/2022
USD
576,600
592
LME
Copper
Base
Metal
4
10/2022
USD
766,900
7,289
LME
Copper
Base
Metal
4
10/2022
USD
768,800
47,668
LME
Copper
Base
Metal
7
10/2022
USD
1,344,875
20,601
LME
Zinc
Base
Metal
1
10/2022
USD
75,463
(265)
LME
Zinc
Base
Metal
1
10/2022
USD
75,428
924
NY
Harbor
ULSD
1
10/2022
USD
135,307
(5,923)
SGX
FTSE
Taiwan
Index
74
10/2022
USD
3,455,800
(83,740)
WTI
Crude
Oil
19
10/2022
USD
1,510,310
(106,701)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,863
(9,028)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,806
(6,322)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,756
(5,622)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,625
(15,647)
LME
Copper
Base
Metal
1
11/2022
USD
190,202
(4,867)
LME
Copper
Base
Metal
1
11/2022
USD
191,400
(2,789)
LME
Copper
Base
Metal
1
11/2022
USD
191,450
(3,517)
LME
Copper
Base
Metal
1
11/2022
USD
190,485
(9,794)
LME
Copper
Base
Metal
1
11/2022
USD
191,213
(6,415)
LME
Copper
Base
Metal
1
11/2022
USD
191,025
(12,590)
LME
Copper
Base
Metal
1
11/2022
USD
190,344
(15,749)
LME
Copper
Base
Metal
2
11/2022
USD
381,925
(16,080)
LME
Copper
Base
Metal
2
11/2022
USD
380,828
(23,963)
LME
Copper
Base
Metal
5
11/2022
USD
953,125
(50,211)
LME
Copper
Base
Metal
7
11/2022
USD
1,339,363
(19,076)
LME
Zinc
Base
Metal
1
11/2022
USD
75,319
(6,640)
LME
Zinc
Base
Metal
1
11/2022
USD
74,875
(12,588)
LME
Zinc
Base
Metal
1
11/2022
USD
75,225
(16,028)
LME
Zinc
Base
Metal
1
11/2022
USD
75,250
(13,821)
Low
Sulphur
Gasoil
1
11/2022
USD
94,175
(9,371)
Coffee
'C'
3
12/2022
USD
249,244
5,724
EURO
STOXX
50
Index
143
12/2022
EUR
4,645,878
(435,310)
Euro-Bund
181
12/2022
EUR
24,540,002
(1,062,353)
FTSE
100
Index
28
12/2022
GBP
2,161,708
(165,424)
FTSE/JSE
Top
40
Index
36
12/2022
ZAR
1,149,832
(105,649)
FTSE/MIB
Index
99
12/2022
EUR
9,959,126
(750,447)
Japan
10
Year
Bond
24
12/2022
JPY
24,625,165
32,615
KC
HRW
Wheat
1
12/2022
USD
49,575
3,523
LME
Aluminum
Base
Metal
1
12/2022
USD
54,025
(1,853)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,017
(2,548)
LME
Aluminum
Base
Metal
1
12/2022
USD
53,988
(1,065)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,010
(2,244)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,025
(3,640)
LME
Aluminum
Base
Metal
1
12/2022
USD
53,963
(1,065)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,050
(1,067)
LME
Copper
Base
Metal
1
12/2022
USD
190,155
(1,183)
LME
Copper
Base
Metal
1
12/2022
USD
189,776
(10,003)
LME
Copper
Base
Metal
1
12/2022
USD
189,023
4,758
LME
Copper
Base
Metal
2
12/2022
USD
378,000
(941)
LME
Copper
Base
Metal
20
12/2022
USD
3,789,500
(229,090)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(19,452)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(20,464)
LME
Zinc
Base
Metal
1
12/2022
USD
74,778
(3,101)
LME
Zinc
Base
Metal
2
12/2022
USD
149,150
(7,979)
Long
Gilt
6
12/2022
GBP
646,817
(326)
20
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
SET50
Index
197
12/2022
THB
$
994,192
$
(18,095)
Silver
17
12/2022
USD
1,618,315
(1,998)
Soybean
Meal
7
12/2022
USD
282,100
(10,425)
Soybean
Oil
1
12/2022
USD
36,936
(1,952)
SPI
200
Index
76
12/2022
AUD
7,858,356
(623,841)
TOPIX
Index
194
12/2022
JPY
24,610,241
(871,108)
(5,433,898)
Short
Contracts
Amsterdam
Exchange
Index
(55)
10/2022
EUR
(6,906,559)
511,563
CAC
40
10
Euro
Index
(10)
10/2022
EUR
(564,852)
35,467
Hang
Seng
Index
(21)
10/2022
HKD
(2,302,077)
62,897
HSCEI
(44)
10/2022
HKD
(1,657,501)
45,387
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,681)
7,566
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,688)
6,948
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,996)
5,349
LME
Aluminum
Base
Metal
(2)
10/2022
USD
(108,181)
11,708
LME
Aluminum
Base
Metal
(3)
10/2022
USD
(161,194)
21,207
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
(5,928)
LME
Copper
Base
Metal
(2)
10/2022
USD
(384,300)
(30)
LME
Copper
Base
Metal
(2)
10/2022
USD
(383,963)
(18,193)
LME
Copper
Base
Metal
(3)
10/2022
USD
(575,025)
7,730
LME
Copper
Base
Metal
(3)
10/2022
USD
(576,150)
(21,908)
LME
Copper
Base
Metal
(3)
10/2022
USD
(576,600)
(30,158)
LME
Copper
Base
Metal
(3)
10/2022
USD
(576,600)
(102)
LME
Copper
Base
Metal
(4)
10/2022
USD
(768,800)
2,939
LME
Copper
Base
Metal
(4)
10/2022
USD
(766,900)
(7,945)
LME
Copper
Base
Metal
(7)
10/2022
USD
(1,344,875)
(12,881)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,428)
(368)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,463)
485
MSCI
Singapore
Index
(122)
10/2022
SGD
(2,383,937)
5,272
Natural
Gas
(8)
10/2022
USD
(541,280)
75,199
OMXS30
Index
(33)
10/2022
SEK
(544,169)
24,236
RBOB
Gasoline
(1)
10/2022
USD
(99,532)
2,249
SGX
FTSE
China
A50
Index
(12)
10/2022
USD
(154,992)
251
SGX
NIFTY
50
Index
(32)
10/2022
USD
(1,093,632)
(8,739)
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,863)
8,776
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,756)
5,754
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,806)
6,573
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,625)
16,369
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,485)
9,763
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,025)
13,085
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,400)
3,060
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,202)
7,921
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,213)
6,139
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,344)
14,317
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,450)
3,397
LME
Copper
Base
Metal
(2)
11/2022
USD
(380,828)
23,167
LME
Copper
Base
Metal
(2)
11/2022
USD
(381,925)
13,990
LME
Copper
Base
Metal
(5)
11/2022
USD
(953,125)
45,987
LME
Copper
Base
Metal
(7)
11/2022
USD
(1,339,363)
25,574
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,875)
12,578
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,250)
13,122
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,319)
6,603
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,225)
14,731
Soybean
(30)
11/2022
USD
(2,047,125)
173,515
100
oz
Gold
(110)
12/2022
USD
(18,392,000)
686,619
21
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Australia
10
Year
Bond
(62)
12/2022
AUD
$
(4,646,433)
$
59,470
Australia
3
Year
Bond
(39)
12/2022
AUD
(2,661,260)
22,258
Canada
10
Year
Bond
(56)
12/2022
CAD
(5,005,480)
23,160
Cocoa
(1)
12/2022
USD
(23,540)
4
Copper
(3)
12/2022
USD
(255,938)
231
Corn
(120)
12/2022
USD
(4,065,000)
(352,401)
Cotton
No.
2
(1)
12/2022
USD
(42,670)
4,097
DAX
Index
(44)
12/2022
EUR
(13,081,119)
902,741
DJIA
CBOT
E-Mini
Index
(4)
12/2022
USD
(576,020)
52,007
Euro-Bobl
(12)
12/2022
EUR
(1,405,980)
23,208
Euro-BTP
(6)
12/2022
EUR
(660,358)
22,824
Euro-Buxl
(3)
12/2022
EUR
(430,497)
35,929
Euro-OAT
(7)
12/2022
EUR
(905,566)
35,302
Euro-Schatz
(35)
12/2022
EUR
(3,672,860)
20,426
KOSPI
200
Index
(17)
12/2022
KRW
(839,039)
70,176
Live
Cattle
(1)
12/2022
USD
(58,820)
638
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(53,988)
1,122
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(53,963)
522
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,010)
2,090
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,025)
3,236
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,050)
1,778
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,017)
2,687
LME
Aluminum
Base
Metal
(15)
12/2022
USD
(810,375)
48,063
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,023)
(2,444)
LME
Copper
Base
Metal
(1)
12/2022
USD
(190,155)
774
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,475)
(4,840)
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,776)
10,440
LME
Copper
Base
Metal
(2)
12/2022
USD
(378,000)
3,087
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
4,863
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
19,365
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,575)
3,122
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,778)
3,133
MEX
BOLSA
Index
(6)
12/2022
MXN
(133,722)
8,099
MSCI
EAFE
E-Mini
Index
(5)
12/2022
USD
(415,150)
46,890
MSCI
Emerging
Markets
E-Mini
Index
(9)
12/2022
USD
(392,175)
50,437
NASDAQ
100
E-Mini
Index
(2)
12/2022
USD
(441,420)
33,654
Russell
2000
E-Mini
Index
(5)
12/2022
USD
(417,450)
36,877
S&P
500
E-Mini
Index
(108)
12/2022
USD
(19,448,099)
2,086,750
S&P
Midcap
400
E-Mini
Index
(1)
12/2022
USD
(220,820)
22,881
S&P/TSX
60
Index
(17)
12/2022
CAD
(2,746,878)
172,814
U.S.
Treasury
10
Year
Note
(281)
12/2022
USD
(31,489,562)
1,437,607
U.S.
Treasury
2
Year
Note
(21)
12/2022
USD
(4,311,727)
70,523
U.S.
Treasury
5
Year
Note
(21)
12/2022
USD
(2,256,352)
70,932
U.S.
Treasury
Long
Bond
(7)
12/2022
USD
(885,719)
52,407
U.S.
Treasury
Ultra
Bond
(5)
12/2022
USD
(683,438)
51,517
Wheat
(4)
12/2022
USD
(184,300)
(23,016)
Platinum
(1)
1/2023
USD
(42,955)
(341)
Sugar
No.
11
(3)
2/2023
USD
(59,405)
1,183
3
Month
Canadian
Bankers
Acceptance
(18)
3/2023
CAD
(3,112,064)
7,195
3
Month
Euro
Euribor
(5)
3/2023
EUR
(1,190,271)
4,414
90-Day
New
Zealand
Bill
(4)
3/2023
NZD
(2,211,983)
1,773
ASX
90
Day
Bank
Accepted
Bill
(9)
3/2023
AUD
(5,698,259)
900
3
Month
Canadian
Bankers
Acceptance
(17)
6/2023
CAD
(2,940,864)
5,844
3
Month
Euro
Euribor
(4)
6/2023
EUR
(949,570)
4,046
3
Month
SOFR
(2)
6/2023
USD
(477,800)
4,333
3
Month
SONIA
(4)
6/2023
GBP
(1,052,460)
15,343
22
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
90-Day
Australian
Bank
Bill
(9)
6/2023
AUD
$
(5,696,730)
$
1,236
90-Day
New
Zealand
Bill
(4)
6/2023
NZD
(2,210,906)
4,369
3
Month
Canadian
Bankers
Acceptance
(17)
9/2023
CAD
(2,944,402)
7,314
3
Month
Euro
Euribor
(5)
9/2023
EUR
(1,186,412)
7,162
3
Month
SOFR
(2)
9/2023
USD
(477,950)
3,095
3
Month
SONIA
(4)
9/2023
GBP
(1,051,958)
15,179
90-Day
Australian
Bank
Bill
(8)
9/2023
AUD
(5,064,131)
405
90-Day
New
Zealand
Bill
(4)
9/2023
NZD
(2,211,014)
2,786
3
Month
Canadian
Bankers
Acceptance
(16)
12/2023
CAD
(2,775,546)
2,073
3
Month
Euro
Euribor
(5)
12/2023
EUR
(1,187,208)
9,154
3
Month
SOFR
(2)
12/2023
USD
(478,250)
2,487
3
Month
SONIA
(4)
12/2023
GBP
(1,052,516)
16,838
90-Day
Australian
Bank
Bill
(8)
12/2023
AUD
(5,064,378)
1,053
3
Month
Euro
Euribor
(5)
3/2024
EUR
(1,187,637)
8,446
3
Month
SOFR
(3)
3/2024
USD
(718,088)
6,275
3
Month
SONIA
(4)
3/2024
GBP
(1,053,186)
25,017
3
Month
Euro
Euribor
(6)
6/2024
EUR
(1,425,458)
14,311
3
Month
SOFR
(3)
6/2024
USD
(719,325)
6,690
3
Month
SONIA
(4)
6/2024
GBP
(1,053,800)
25,921
3
Month
Euro
Euribor
(6)
9/2024
EUR
(1,425,973)
7,191
3
Month
SOFR
(3)
9/2024
USD
(720,563)
6,546
3
Month
SONIA
(4)
9/2024
GBP
(1,054,526)
26,717
3
Month
SOFR
(3)
12/2024
USD
(721,500)
4,045
3
Month
SONIA
(4)
12/2024
GBP
(1,055,531)
19,429
7,235,110
$
1,801,212
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CNY
97,500
USD
13,545
CITI
**
12/21/2022
$
134
CNY
97,500
USD
13,545
JPMC
**
12/21/2022
134
EUR
1,906,500
USD
1,860,876
CITI
12/21/2022
19,432
EUR
1,906,500
USD
1,860,878
JPMC
12/21/2022
19,428
GBP
4,425,000
USD
4,799,233
CITI
12/21/2022
147,551
GBP
4,425,000
USD
4,799,239
JPMC
12/21/2022
147,545
JPY
58,053,000
USD
404,697
CITI
12/21/2022
110
JPY
58,053,000
USD
404,698
JPMC
12/21/2022
109
MXN
24,341,500
USD
1,188,545
CITI
12/21/2022
2,826
MXN
24,341,500
USD
1,188,546
JPMC
12/21/2022
2,825
USD
1,722,563
AUD
2,543,002
CITI
12/21/2022
93,615
USD
1,722,558
AUD
2,542,998
JPMC
12/21/2022
93,612
USD
578,388
BRL
3,066,002
CITI
**
12/21/2022
20,166
USD
578,386
BRL
3,065,998
JPMC
**
12/21/2022
20,165
USD
3,500,727
CAD
4,688,003
CITI
12/21/2022
105,637
USD
3,500,718
CAD
4,687,997
JPMC
12/21/2022
105,633
USD
10,555,707
CHF
10,163,003
CITI
12/21/2022
169,832
USD
10,555,687
CHF
10,162,997
JPMC
12/21/2022
169,819
USD
115,053
CLP
106,177,002
CITI
**
12/21/2022
6,991
USD
115,053
CLP
106,176,998
JPMC
**
12/21/2022
6,990
USD
1,771,358
CNY
12,250,000
CITI
**
12/21/2022
52,681
23
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,771,356
CNY
12,250,000
JPMC
**
12/21/2022
$
52,678
USD
20
COP
89,000
CITI
**
12/21/2022
1
USD
20
COP
89,000
JPMC
**
12/21/2022
1
USD
188,327
CZK
4,649,000
CITI
12/21/2022
4,243
USD
188,327
CZK
4,649,000
JPMC
12/21/2022
4,243
USD
65,443
DKK
482,000
CITI
12/21/2022
1,499
USD
65,443
DKK
482,000
JPMC
12/21/2022
1,499
USD
11,433,825
EUR
11,368,013
CITI
12/21/2022
221,996
USD
11,433,784
EUR
11,367,987
JPMC
12/21/2022
221,982
USD
12,951,165
GBP
11,124,001
CITI
12/21/2022
515,450
USD
12,951,372
GBP
11,123,999
JPMC
12/21/2022
515,660
USD
247,393
HUF
103,251,501
CITI
12/21/2022
13,493
USD
247,393
HUF
103,251,499
JPMC
12/21/2022
13,493
USD
1
IDR
11,000
CITI
**
12/21/2022
–
USD
1
IDR
11,000
JPMC
**
12/21/2022
–
USD
2,275,392
ILS
7,583,501
CITI
12/21/2022
133,618
USD
2,275,389
ILS
7,583,499
JPMC
12/21/2022
133,615
USD
1,027,607
INR
82,773,003
CITI
**
12/21/2022
20,632
USD
1,027,606
INR
82,772,997
JPMC
**
12/21/2022
20,631
USD
13,259,985
JPY
1,827,284,511
CITI
12/21/2022
518,216
USD
13,259,968
JPY
1,827,284,497
JPMC
12/21/2022
518,200
USD
5,130,104
KRW
6,948,460,002
CITI
**
12/21/2022
297,290
USD
5,130,097
KRW
6,948,459,998
JPMC
**
12/21/2022
297,283
USD
214,322
MXN
4,373,751
CITI
12/21/2022
253
USD
214,321
MXN
4,373,749
JPMC
12/21/2022
253
USD
974,851
NOK
10,018,502
CITI
12/21/2022
52,947
USD
974,849
NOK
10,018,498
JPMC
12/21/2022
52,945
USD
11,090,832
NZD
18,341,500
CITI
12/21/2022
821,276
USD
11,090,818
NZD
18,341,500
JPMC
12/21/2022
821,262
USD
320,095
PHP
18,176,502
CITI
**
12/21/2022
12,951
USD
320,094
PHP
18,176,498
JPMC
**
12/21/2022
12,951
USD
905,349
PLN
4,362,500
CITI
12/21/2022
37,166
USD
905,348
PLN
4,362,500
JPMC
12/21/2022
37,165
USD
1,168,885
SEK
12,553,500
CITI
12/21/2022
31,858
USD
1,168,884
SEK
12,553,500
JPMC
12/21/2022
31,857
USD
500,113
SGD
701,003
CITI
12/21/2022
11,500
USD
500,108
SGD
700,997
JPMC
12/21/2022
11,500
USD
669,299
TWD
20,455,500
CITI
**
12/21/2022
25,157
USD
669,298
TWD
20,455,500
JPMC
**
12/21/2022
25,156
USD
2,051,241
ZAR
35,722,503
CITI
12/21/2022
91,465
USD
2,051,238
ZAR
35,722,497
JPMC
12/21/2022
91,462
Total
unrealized
appreciation
6,860,082
AUD
24,530,006
USD
16,708,377
CITI
12/21/2022
(995,407)
AUD
24,529,994
USD
16,708,390
JPMC
12/21/2022
(995,429)
BRL
17,166,004
USD
3,254,421
CITI
**
12/21/2022
(129,038)
BRL
17,165,996
USD
3,254,424
JPMC
**
12/21/2022
(129,039)
CAD
14,776,009
USD
11,268,839
CITI
12/21/2022
(567,931)
CAD
14,775,991
USD
11,268,839
JPMC
12/21/2022
(567,947)
CHF
306,003
USD
317,249
CITI
12/21/2022
(4,535)
CHF
305,997
USD
317,243
JPMC
12/21/2022
(4,535)
CLP
1,500
USD
2
CITI
**
12/21/2022
–
CLP
1,500
USD
2
JPMC
**
12/21/2022
–
CNY
20,374,000
USD
2,947,220
CITI
**
12/21/2022
(88,743)
CNY
20,374,000
USD
2,947,224
JPMC
**
12/21/2022
(88,746)
COP
200,954,504
USD
44,686
CITI
**
12/21/2022
(1,735)
COP
200,954,496
USD
44,686
JPMC
**
12/21/2022
(1,735)
DKK
138,500
USD
18,727
CITI
12/21/2022
(354)
DKK
138,500
USD
18,727
JPMC
12/21/2022
(354)
24
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
**
Non-deliverable
forward.
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
3,254,000
USD
3,264,490
CITI
12/21/2022
$
(55,198)
EUR
3,254,000
USD
3,264,495
JPMC
12/21/2022
(55,201)
GBP
2,165,000
USD
2,522,952
CITI
12/21/2022
(102,662)
GBP
2,165,000
USD
2,522,955
JPMC
12/21/2022
(102,663)
HUF
282,348,002
USD
686,983
CITI
12/21/2022
(47,370)
HUF
282,347,998
USD
686,984
JPMC
12/21/2022
(47,371)
IDR
1,494,860,000
USD
100,202
CITI
**
12/21/2022
(2,926)
IDR
1,494,860,000
USD
100,203
JPMC
**
12/21/2022
(2,926)
ILS
4,797,003
USD
1,411,593
CITI
12/21/2022
(56,796)
ILS
4,796,997
USD
1,411,593
JPMC
12/21/2022
(56,798)
INR
85,625,501
USD
1,063,679
CITI
**
12/21/2022
(22,002)
INR
85,625,499
USD
1,063,681
JPMC
**
12/21/2022
(22,004)
JPY
831,724,001
USD
5,993,847
CITI
12/21/2022
(194,185)
JPY
831,723,999
USD
5,993,854
JPMC
12/21/2022
(194,191)
KRW
500,000,000
USD
351,451
CITI
**
12/21/2022
(3,689)
KRW
500,000,000
USD
351,451
JPMC
**
12/21/2022
(3,689)
MXN
12,911,502
USD
633,651
CITI
12/21/2022
(1,711)
MXN
12,911,498
USD
633,652
JPMC
12/21/2022
(1,712)
NOK
103,151,506
USD
10,395,314
CITI
12/21/2022
(903,298)
NOK
103,151,494
USD
10,395,326
JPMC
12/21/2022
(903,315)
NZD
4,471,500
USD
2,723,081
CITI
12/21/2022
(219,450)
NZD
4,471,500
USD
2,723,084
JPMC
12/21/2022
(219,453)
PLN
6,196,500
USD
1,293,519
CITI
12/21/2022
(60,353)
PLN
6,196,500
USD
1,293,521
JPMC
12/21/2022
(60,353)
SEK
30,633,500
USD
2,908,717
CITI
12/21/2022
(134,104)
SEK
30,633,500
USD
2,908,721
JPMC
12/21/2022
(134,106)
SGD
1,210,001
USD
862,262
CITI
12/21/2022
(18,866)
SGD
1,209,999
USD
862,261
JPMC
12/21/2022
(18,867)
USD
73,856
CNY
530,000
CITI
**
12/21/2022
(504)
USD
73,856
CNY
530,000
JPMC
**
12/21/2022
(504)
USD
38,921
CZK
1,000,000
CITI
12/21/2022
(675)
USD
38,921
CZK
1,000,000
JPMC
12/21/2022
(675)
USD
371,929
EUR
380,500
CITI
12/21/2022
(3,343)
USD
371,928
EUR
380,500
JPMC
12/21/2022
(3,344)
USD
22,508
HUF
10,000,000
CITI
12/21/2022
(145)
USD
22,508
HUF
10,000,000
JPMC
12/21/2022
(145)
USD
364,484
INR
30,000,000
CITI
**
12/21/2022
(481)
USD
364,483
INR
30,000,000
JPMC
**
12/21/2022
(482)
USD
213,361
MXN
4,373,752
CITI
12/21/2022
(708)
USD
213,361
MXN
4,373,748
JPMC
12/21/2022
(708)
USD
286,865
PLN
1,450,500
CITI
12/21/2022
(1,799)
USD
286,865
PLN
1,450,500
JPMC
12/21/2022
(1,799)
USD
806,056
SEK
9,000,000
CITI
12/21/2022
(9,114)
USD
806,055
SEK
9,000,000
JPMC
12/21/2022
(9,116)
USD
110,148
TWD
3,500,000
CITI
**
12/21/2022
(67)
USD
110,147
TWD
3,500,000
JPMC
**
12/21/2022
(67)
ZAR
33,634,003
USD
1,933,402
CITI
12/21/2022
(88,205)
ZAR
33,633,997
USD
1,933,404
JPMC
12/21/2022
(88,208)
Total
unrealized
depreciation
(7,430,876)
Net
unrealized
depreciation
$
(570,794)
25
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
111.6%
COMMON
STOCKS
-
29.7%
Airlines
-
0.0%
(a)
Gol
Linhas
Aereas
Inteligentes
SA,
ADR
(Brazil)
*(b)
26,358
86,718
Banks
-
0.1%
Patriot
National
Bancorp,
Inc.
*
120,629
1,269,017
Biotechnology
-
0.1%
Genmab
A/S,
ADR
(Denmark)
*
23,483
754,509
Precigen,
Inc.
*(b)
17,632
37,380
791,889
Capital
Markets
-
20.5%
7GC
&
Co.
Holdings,
Inc.,
Class
A
*(c)
8,188
81,389
Accelerate
Acquisition
Corp.,
Class
A
(2)*(c)
19,400
190,508
Accretion
Acquisition
Corp.
*(c)
202,180
2,009,669
Achari
Ventures
Holdings
Corp.
I
*(c)
42,909
431,235
Acri
Capital
Acquisition
Corp.
(2)*(c)
54,996
549,410
Acropolis
Infrastructure
Acquisition
Corp.,
Class
A
*(c)
20,312
197,128
Aesther
Healthcare
Acquisition
Corp.,
Class
A
*(c)
40,504
412,736
Aetherium
Acquisition
Corp.,
Class
A
(2)*(c)
175,712
1,746,577
AF
Acquisition
Corp.,
Class
A
(2)*(c)
110,068
1,077,566
Alpine
Acquisition
Corp.
*(c)
30,206
309,914
Alset
Capital
Acquisition
Corp.,
Class
A
*(c)
122,496
1,211,485
AltC
Acquisition
Corp.,
Class
A
*(b)
(c)
177,566
1,733,044
AltEnergy
Acquisition
Corp.,
Class
A
(2)*(c)
122,926
1,226,801
AMCI
Acquisition
Corp.
II,
Class
A
*(c)
139,000
1,360,810
American
Acquisition
Opportunity,
Inc.,
Class
A
(2)*(c)
74,925
761,987
Anzu
Special
Acquisition
Corp.
I,
Class
A
*(b)(c)
257,365
2,529,898
Apeiron
Capital
Investment
Corp.,
Class
A
(2)*(c)
108,048
1,085,882
Arbor
Rapha
Capital
Bioholdings
Corp.
I
(2)*(c)
143,034
1,446,074
Arena
Fortify
Acquisition
Corp.,
Class
A
(2)*(c)
54,024
541,861
Argus
Capital
Corp.,
Class
A
*(c)
194,467
1,955,366
Armada
Acquisition
Corp.
I
*(c)
128,332
1,273,053
Arogo
Capital
Acquisition
Corp.,
Class
A
(2)*(c)
96,774
961,934
Arrowroot
Acquisition
Corp.,
Class
A
*(c)
37,750
370,705
Artemis
Strategic
Investment
Corp.,
Class
A
(2)*(c)
204,800
2,037,760
Astrea
Acquisition
Corp.,
Class
A
*(c)
106,190
1,044,910
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Athena
Consumer
Acquisition
Corp.,
Class
A
(2)*(c)
128,926
1,295,706
Athlon
Acquisition
Corp.,
Class
A
*(b)(c)
151,114
1,493,006
Atlantic
Coastal
Acquisition
Corp.,
Class
A
*(c)
9,967
97,876
Atlas
Crest
Investment
Corp.
II,
Class
A
(2)*(b)(c)
145,464
1,432,820
Ault
Disruptive
Technologies
Corp.
(2)*(c)
73,140
737,251
Aurora
Acquisition
Corp.,
Class
A
(United
Kingdom)
*(c)
37,500
370,875
Austerlitz
Acquisition
Corp.
I,
Class
A
*(b)(c)
181,446
1,779,985
Avalon
Acquisition,
Inc.,
Class
A
*(b)(c)
229,849
2,300,788
AxonPrime
Infrastructure
Acquisition
Corp.,
Class
A
(2)*(c)
234,165
2,266,717
Banner
Acquisition
Corp.
(2)*(c)
40,407
400,029
Bannix
Acquisition
Corp.
(2)*(c)
26,277
262,770
Banyan
Acquisition
Corp.,
Class
A
*(c)
114,706
1,145,913
Beard
Energy
Transition
Acquisition
Corp.,
Class
A
(2)*(c)
149,518
1,499,666
Belong
Acquisition
Corp.,
Class
A
*(c)
128,000
1,262,080
Berenson
Acquisition
Corp.
I,
Class
A
*(c)
110,400
1,086,336
Better
World
Acquisition
Corp.
*(c)
35,583
368,640
Big
Sky
Growth
Partners,
Inc.,
Class
A
*(c)
9,105
89,047
Bite
Acquisition
Corp.
(2)*(c)
172,710
1,699,466
Blockchain
Moon
Acquisition
Corp.
*(c)
71,617
714,738
BOA
Acquisition
Corp.,
Class
A
*(c)
185,039
1,839,288
Broad
Capital
Acquisition
Corp.
*(c)
69,739
697,390
Build
Acquisition
Corp.,
Class
A
(2)*(c)
18,151
178,243
byNordic
Acquisition
Corp.
(Sweden)
*(c)
138,414
1,391,061
C5
Acquisition
Corp.,
Class
A
*(c)
309,299
3,102,269
Canna-Global
Acquisition
Corp.,
Class
A
*(c)
188,580
1,910,315
Cascadia
Acquisition
Corp.,
Class
A
(2)*(c)
120,606
1,185,557
CENAQ
Energy
Corp.,
Class
A
(2)*(c)
140,000
1,408,400
CF
Acquisition
Corp.
VII,
Class
A
(2)*(c)
146,292
1,462,920
Churchill
Capital
Corp.
V,
Class
A
*(c)
42,181
417,592
Churchill
Capital
Corp.
VI,
Class
A
*(c)
67,203
660,673
Churchill
Capital
Corp.
VII,
Class
A
*(c)
322,641
3,171,561
CIIG
Capital
Partners
II,
Inc.,
Class
A
(2)*(c)
161,558
1,604,271
Clarim
Acquisition
Corp.,
Class
A
*(c)
153,403
1,517,156
26
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Class
Acceleration
Corp.,
Class
A
*(c)
12,646
124,942
Clean
Earth
Acquisitions
Corp.,
Class
A
(2)*(c)
195,348
1,928,085
Climate
Real
Impact
Solutions
II
Acquisition
Corp.,
Class
A
(2)*(c)
45,279
446,451
Colicity,
Inc.,
Class
A
*(c)
131,143
1,290,447
Compute
Health
Acquisition
Corp.,
Class
A
*(c)
123,242
1,216,399
Concord
Acquisition
Corp.
II,
Class
A
(2)*(c)
76,866
744,832
Concord
Acquisition
Corp.
III,
Class
A
*(c)
27,000
270,810
Conyers
Park
III
Acquisition
Corp.,
Class
A
*(c)
484,500
4,709,340
Cowen,
Inc.,
Class
A
(c)
84,101
3,249,663
Crixus
BH3
Acquisition
Co.,
Class
A
*(c)
84,579
839,869
D
&
Z
Media
Acquisition
Corp.,
Class
A
*(c)
99,246
979,558
DA32
Life
Science
Tech
Acquisition
Corp.,
Class
A
(2)*(c)
133,050
1,289,254
Data
Knights
Acquisition
Corp.,
Class
A
(United
Kingdom)
*(c)
50,667
525,417
Deep
Medicine
Acquisition
Corp.,
Class
A
*(c)
152,927
1,541,504
DHB
Capital
Corp.,
Class
A
*(c)
214,054
2,106,291
DiamondHead
Holdings
Corp.,
Class
A
*(c)
57,078
563,360
Digital
Health
Acquisition
Corp.
*(c)
71,745
726,777
Digital
Transformation
Opportunities
Corp.,
Class
A
*(c)
115,119
1,130,469
DILA
Capital
Acquisition
Corp.,
Class
A
*(c)
61,667
613,587
Direct
Selling
Acquisition
Corp.,
Class
A
*(c)
102,582
1,039,156
dMY
Technology
Group,
Inc.
VI
*(c)
82,182
818,533
DTRT
Health
Acquisition
Corp.,
Class
A
*(c)
241,028
2,451,255
DUET
Acquisition
Corp.,
Class
A
(2)*(c)
73,788
730,501
Edify
Acquisition
Corp.,
Class
A
*(c)
247,201
2,444,818
Empowerment
&
Inclusion
Capital
I
Corp.,
Class
A
*(c)
166,328
1,643,321
Epiphany
Technology
Acquisition
Corp.,
Class
A
*(c)
88,153
870,952
EQ
Health
Acquisition
Corp.,
Class
A
*(c)
87,656
865,603
Everest
Consolidator
Acquisition
Corp.
*(c)
131,016
1,316,711
Evo
Acquisition
Corp.,
Class
A
*(c)
19,320
189,916
ExcelFin
Acquisition
Corp.,
Class
A
(2)*(c)
134,786
1,350,556
Feutune
Light
Acquisition
Corp.,
Class
A
(2)*(c)
94,079
936,086
FG
Merger
Corp.
*(c)
98,184
983,804
Financial
Strategies
Acquisition
Corp.
(2)*(c)
131,193
1,315,866
FinServ
Acquisition
Corp.
II,
Class
A
*(c)
9,858
97,003
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Fintech
Ecosystem
Development
Corp.,
Class
A
(2)*(c)
10,730
107,836
First
Light
Acquisition
Group,
Inc.,
Class
A
*(c)
40,464
398,570
First
Reserve
Sustainable
Growth
Corp.,
Class
A
*(c)
87,838
862,569
Flame
Acquisition
Corp.,
Class
A
*(c)
116,000
1,140,280
Focus
Impact
Acquisition
Corp.,
Class
A
*(c)
101,950
1,021,539
Forest
Road
Acquisition
Corp.
II,
Class
A
*(c)
104,302
1,025,289
Fortistar
Sustainable
Solutions
Corp.,
Class
A
*(c)
80,536
796,501
Fortress
Value
Acquisition
Corp.
IV,
Class
A
*(c)
387,013
3,808,208
Fortune
Rise
Acquisition
Corp.
(2)*(c)
98,648
1,002,264
Forum
Merger
IV
Corp.,
Class
A
(2)*(c)
51,042
501,232
FoxWayne
Enterprises
Acquisition
Corp.,
Class
A
(2)*(c)
34,500
346,380
FTAC
Emerald
Acquisition
Corp.,
Class
A
(2)*(c)
283,096
2,763,017
FTAC
Zeus
Acquisition
Corp.,
Class
A
*(c)
320,427
3,220,291
Fusion
Acquisition
Corp.
II,
Class
A
(2)*(c)
26,625
261,990
Future
Health
ESG
Corp.
(2)*(c)
91,822
918,220
FutureTech
II
Acquisition
Corp.,
Class
A
*(c)
38,964
391,588
Gaming
&
Hospitality
Acquisition
Corp.,
Class
A
(2)*(c)
57,714
568,483
Gardiner
Healthcare
Acquisitions
Corp.
*(c)
52,651
525,983
Genesis
Unicorn
Capital
Corp.,
Class
A
(2)*(c)
67,549
673,464
GigCapital5,
Inc.
*(c)
123,100
1,245,772
Gladstone
Acquisition
Corp.,
Class
A
(2)*(c)
179,996
1,828,759
Glass
Houses
Acquisition
Corp.
(2)*(c)
220,938
2,167,402
Glenfarne
Merger
Corp.,
Class
A
*(c)
21,000
206,010
Global
Blockchain
Acquisition
Corp.
*(c)
161,196
1,607,124
Globalink
Investment,
Inc.
*(c)
74,843
745,436
Goal
Acquisitions
Corp.
(2)*(c)
151,974
1,495,424
Goldenstone
Acquisition
Ltd.
(2)*(c)
32,200
320,068
Gores
Holdings
VII,
Inc.,
Class
A
*(c)
112,601
1,110,246
Gores
Technology
Partners
II,
Inc.,
Class
A
*(c)
87,955
863,718
Gores
Technology
Partners,
Inc.,
Class
A
*(c)
32,820
322,456
GSR
II
Meteora
Acquisition
Corp.
*(c)
15,261
18,313
GSR
II
Meteora
Acquisition
Corp.,
Class
A
(2)*(c)
244,186
2,419,883
27
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
GX
Acquisition
Corp.
II,
Class
A
*(c)
245,504
2,409,622
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
Class
A
*(c)
115,170
1,139,031
Hawks
Acquisition
Corp.,
Class
A
*(c)
91,460
899,966
Hennessy
Capital
Investment
Corp.
V,
Class
A
*(c)
18,151
179,150
HNR
Acquisition
Corp.
*(c)
49,014
491,120
Home
Plate
Acquisition
Corp.,
Class
A
(2)*(c)
41,016
403,597
Hudson
Executive
Investment
Corp.
II
(2)*(c)
198,838
1,958,554
Hudson
Executive
Investment
Corp.
III,
Class
A
(2)*(c)
251,422
2,471,478
HumanCo
Acquisition
Corp.,
Class
A
*(c)
122,048
1,215,598
Ignyte
Acquisition
Corp.
*(c)
35,000
349,650
Inception
Growth
Acquisition
Ltd.
(2)*(c)
112,518
1,113,928
Industrial
Human
Capital,
Inc.
*(c)
89,858
912,059
Industrial
Tech
Acquisitions
II,
Inc.,
Class
A
*(c)
126,008
1,260,080
Insight
Acquisition
Corp.,
Class
A
*(c)
50,340
496,352
INSU
Acquisition
Corp.
III,
Class
A
*(c)
50,107
499,066
Integral
Acquisition
Corp.
1,
Class
A
*(c)
107,616
1,067,551
Integrated
Rail
and
Resources
Acquisition
Corp.,
Class
A
(2)*(c)
108,438
1,089,802
Intelligent
Medicine
Acquisition
Corp.,
Class
A
*(c)
239,244
2,409,187
InterPrivate
II
Acquisition
Corp.,
Class
A
*(c)
82,500
811,858
InterPrivate
III
Financial
Partners,
Inc.,
Class
A
(2)*(c)
82,500
808,500
InterPrivate
IV
InfraTech
Partners,
Inc.,
Class
A
*(c)
99,015
975,298
Jaws
Hurricane
Acquisition
Corp.,
Class
A
*(c)
169,809
1,655,638
JOFF
Fintech
Acquisition
Corp.,
Class
A
*(c)
95,065
936,390
Juniper
II
Corp.,
Class
A
(2)*(c)
153,552
1,529,378
Jupiter
Acquisition
Corp.,
Class
A
*(c)
236,154
2,285,971
JUPITER
WELLNESS
ACQUISITION
Corp.,
Class
A
(2)*(c)
149,929
1,503,788
Khosla
Ventures
Acquisition
Co.
III,
Class
A
*(c)
184,081
1,800,312
KKR
Acquisition
Holdings
I
Corp.,
Class
A
*(c)
392,111
3,858,372
KL
Acquisition
Corp.,
Class
A
*(c)
20,111
199,099
Landcadia
Holdings
IV,
Inc.,
Class
A
(2)*(c)
203,823
2,001,542
Larkspur
Health
Acquisition
Corp.,
Class
A
(2)*(c)
52,524
524,715
LAVA
Medtech
Acquisition
Corp.,
Class
A
*(c)
63,464
638,448
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Learn
CW
Investment
Corp.,
Class
A
(2)*(c)
26,704
263,034
Legato
Merger
Corp.
II
(2)*(c)
154,414
1,533,331
Lerer
Hippeau
Acquisition
Corp.,
Class
A
*(c)
133,379
1,311,116
LF
Capital
Acquisition
Corp.
II
*(c)
130,138
1,307,887
Liberty
Media
Acquisition
Corp.,
Class
A
*(c)
35,865
356,498
Lionheart
III
Corp.,
Class
A
*(c)
89,680
904,871
Live
Oak
Crestview
Climate
Acquisition
Corp.,
Class
A
*(c)
164,130
1,592,061
Live
Oak
Mobility
Acquisition
Corp.,
Class
A
(2)*(c)
269,038
2,641,953
LMF
Acquisition
Opportunities,
Inc.,
Class
A
*(c)
27,333
280,710
Logistics
Innovation
Technologies
Corp.,
Class
A
(2)*(c)
48,818
476,952
Longview
Acquisition
Corp.
II,
Class
A
*(c)
203,826
2,001,571
Lux
Health
Tech
Acquisition
Corp.,
Class
A
*(c)
36,573
366,096
M3-Brigade
Acquisition
II
Corp.,
Class
A
*(c)
129,342
1,268,858
Mana
Capital
Acquisition
Corp.
(2)*(c)
39,048
391,651
Mason
Industrial
Technology,
Inc.,
Class
A
*(c)
185,225
1,815,205
Maxpro
Capital
Acquisition
Corp.,
Class
A
(Taiwan)
*(c)
9,347
94,685
McLaren
Technology
Acquisition
Corp.,
Class
A
*(c)
205,792
2,074,383
MDH
Acquisition
Corp.,
Class
A
(2)*(c)
176,721
1,738,935
MedTech
Acquisition
Corp.,
Class
A
*(c)
86,960
863,513
Mercato
Partners
Acquisition
Corp.,
Class
A
*(c)
143,490
1,434,900
Metal
Sky
Star
Acquisition
Corp.
(2)*(c)
103,342
1,028,253
Minority
Equality
Opportunities
Acquisition,
Inc.,
Class
A
*(c)
40,202
408,854
Mission
Advancement
Corp.,
Class
A
*(c)
22,016
216,197
Monterey
Bio
Acquisition
Corp.
(2)*(c)
8,700
88,392
Monterey
Capital
Acquisition
Corp.,
Class
A
(2)*(c)
71,394
705,373
Monument
Circle
Acquisition
Corp.,
Class
A
*(c)
95,475
944,248
Mount
Rainier
Acquisition
Corp.
*(c)
84,937
857,864
Murphy
Canyon
Acquisition
Corp.,
Class
A
*(c)
162,516
1,643,037
Music
Acquisition
Corp.
(The),
Class
A
(2)*(c)
46,650
459,502
New
Providence
Acquisition
Corp.
II,
Class
A
(2)*(c)
145,550
1,458,411
Newbury
Street
Acquisition
Corp.
*(c)
110,450
1,085,723
28
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
NewHold
Investment
Corp.
II,
Class
A
(2)*(c)
134,732
1,324,416
NightDragon
Acquisition
Corp.,
Class
A
*(c)
16,410
161,146
Northern
Star
Investment
Corp.
III,
Class
A
*(c)
170,970
1,683,200
Northern
Star
Investment
Corp.
IV,
Class
A
(2)*(c)
111,304
1,091,892
NorthView
Acquisition
Corp.
*(c)
154,598
1,536,704
Nubia
Brand
International
Corp.,
Class
A
(2)*(c)
284,300
2,840,157
OCA
Acquisition
Corp.,
Class
A
*(c)
122,375
1,232,316
OmniLit
Acquisition
Corp.,
Class
A
*(c)
138,059
1,391,635
One
Equity
Partners
Open
Water
I
Corp.,
Class
A
*(c)
94,154
929,300
OPY
Acquisition
Corp.
I,
Class
A
*(c)
82,572
819,940
Orion
Acquisition
Corp.,
Class
A
*(c)
144,896
1,425,777
Oyster
Enterprises
Acquisition
Corp.,
Class
A
(2)*(c)
83,000
818,380
Pacifico
Acquisition
Corp.
(2)*(c)
20,252
204,140
Panacea
Acquisition
Corp.
II,
Class
A
*(c)
100,000
980,000
Parabellum
Acquisition
Corp.,
Class
A
*(c)
32,371
320,149
Parsec
Capital
Acquisitions
Corp.,
Class
A
*(c)
12,741
128,812
Periphas
Capital
Partnering
Corp.,
Class
A
(2)*(c)
76,164
1,885,059
Phoenix
Biotech
Acquisition
Corp.,
Class
A
*(c)
212,345
2,144,684
PHP
Ventures
Acquisition
Corp.,
Class
A
(Malaysia)
*(c)
29,400
296,940
Pine
Technology
Acquisition
Corp.,
Class
A
*(c)
105,057
1,033,761
Pivotal
Investment
Corp.
III,
Class
A
*(c)
81,030
798,551
Pono
Capital
Corp.,
Class
A
*(c)
119,700
1,222,137
Post
Holdings
Partnering
Corp.,
Class
A
*(c)
93,000
901,170
Prime
Number
Acquisition
I
Corp.,
Class
A
(2)*(c)
35,700
354,858
Priveterra
Acquisition
Corp.,
Class
A
*(c)
134,555
1,325,367
PROOF
Acquisition
Corp.
I,
Class
A
(2)*(c)
150,864
1,504,114
Property
Solutions
Acquisition
Corp.
II,
Class
A
(2)*(c)
27,381
268,608
PWP
Forward
Acquisition
Corp.
I,
Class
A
(2)*(c)
161,665
1,587,550
Redwoods
Acquisition
Corp.
*(c)
74,885
743,608
Relativity
Acquisition
Corp.,
Class
A
(2)*(c)
89,748
900,172
Revolution
Healthcare
Acquisition
Corp.,
Class
A
*(c)
113,920
1,119,834
RF
Acquisition
Corp.,
Class
A
(Singapore)
*(c)
128,573
1,269,015
ROC
Energy
Acquisition
Corp.
*(c)
149,375
1,499,725
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Rosecliff
Acquisition
Corp.
I,
Class
A
(2)*(c)
82,665
813,424
Roth
Ch
Acquisition
IV
Co.
(2)*(c)
184,602
1,851,558
Roth
CH
Acquisition
V
Co.
(2)*(c)
28,286
282,011
RXR
Acquisition
Corp.,
Class
A
*(c)
33,000
324,720
Sagaliam
Acquisition
Corp.,
Class
A
*(c)
70,003
700,030
Sanaby
Health
Acquisition
Corp.
I,
Class
A
(2)*(c)
64,384
651,566
Sandbridge
X2
Corp.,
Class
A
(2)*(c)
246,884
2,426,870
Schultze
Special
Purpose
Acquisition
Corp.
II,
Class
A
*(c)
63,730
633,476
Science
Strategic
Acquisition
Corp.
Alpha,
Class
A
*(c)
134,234
1,327,574
SCP
&
CO
Healthcare
Acquisition
Co.,
Class
A
*(c)
98,764
974,801
Seaport
Calibre
Materials
Acquisition
Corp.
*(c)
58,801
589,774
Seaport
Global
Acquisition
II
Corp.,
Class
A
(2)*(c)
81,696
816,960
Senior
Connect
Acquisition
Corp.
I,
Class
A
*(c)
22,840
227,258
Shelter
Acquisition
Corp.
I,
Class
A
(2)*(c)
147,619
1,461,428
ShoulderUp
Technology
Acquisition
Corp.,
Class
A
(2)*(c)
299,987
3,008,870
Sierra
Lake
Acquisition
Corp.,
Class
A
*(c)
81,011
811,730
Signal
Hill
Acquisition
Corp.,
Class
A
(2)*(c)
89,860
894,107
Silver
Spike
Acquisition
Corp.
II,
Class
A
*(c)
80,000
793,600
Simon
Property
Group
Acquisition
Holdings,
Inc.,
Class
A
*(c)
212,857
2,096,641
Sizzle
Acquisition
Corp.
(2)*(c)
121,744
1,224,745
Social
Leverage
Acquisition
Corp.
I,
Class
A
*(c)
198,620
1,952,435
Spindletop
Health
Acquisition
Corp.,
Class
A
*(c)
150,569
1,516,230
SportsMap
Tech
Acquisition
Corp.
(2)*(c)
176,600
1,766,000
SportsTek
Acquisition
Corp.,
Class
A
(2)*(c)
186,369
1,833,871
Springwater
Special
Situations
Corp.
(2)*(c)
40,212
400,512
Stratim
Cloud
Acquisition
Corp.
(2)*(c)
12,530
122,794
Sustainable
Development
Acquisition
I
Corp.,
Class
A
*(c)
17,475
172,304
TCW
Special
Purpose
Acquisition
Corp.,
Class
A
*(c)
494,019
4,846,326
TG
Venture
Acquisition
Corp.
(2)*(c)
273,650
2,722,817
Thunder
Bridge
Capital
Partners
III,
Inc.,
Class
A
*(c)
86,946
856,418
TLG
Acquisition
One
Corp.,
Class
A
*(c)
412,909
4,071,283
Trajectory
Alpha
Acquisition
Corp.,
Class
A
*(c)
109,920
1,089,307
29
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
20.5%
(continued)
Twelve
Seas
Investment
Co.
II,
Class
A
*(c)
200,274
1,971,698
USHG
Acquisition
Corp.,
Class
A
*(c)
287,867
2,835,490
VectoIQ
Acquisition
Corp.
II,
Class
A
*(c)
21,458
211,790
Velocity
Acquisition
Corp.,
Class
A
*(c)
116,623
1,146,404
Viscogliosi
Brothers
Acquisition
Corp.
(2)*(c)
52,960
523,245
Vision
Sensing
Acquisition
Corp.,
Class
A
*(c)
51,216
519,330
VMG
Consumer
Acquisition
Corp.,
Class
A
*(c)
236,497
2,372,065
Welsbach
Technology
Metals
Acquisition
Corp.
(2)*(c)
9,289
92,704
Western
Acquisition
Ventures
Corp.
(2)*(c)
67,539
672,688
Yotta
Acquisition
Corp.
(2)*(c)
156,021
1,543,048
Z-Work
Acquisition
Corp.,
Class
A
(2)*(c)
141,080
1,389,638
307,225,379
Diversified
Telecommunication
Services
-
0.1%
TELUS
Corp.
(Canada)
(2)*
82,126
1,630,808
Health
Care
Providers
&
Services
-
0.0%
(a)
MSP
Recovery,
Inc.
*
113,423
136,107
Health
Care
Technology
-
5.0%
Change
Healthcare,
Inc.
*
2,703,638
74,323,009
Hotels,
Restaurants
&
Leisure
-
0.2%
Booking
Holdings,
Inc.
*(b)
2,071
3,403,088
Media
-
1.5%
Paramount
Global,
Class
B
107,063
2,038,479
Shaw
Communications,
Inc.,
Class
B
(Canada)
867,039
21,083,607
23,122,086
Metals
&
Mining
-
0.7%
Turquoise
Hill
Resources
Ltd.
(Mongolia)
*
331,416
9,812,802
Professional
Services
-
0.1%
Intertrust
NV
(Netherlands)
(2)*(d)
103,027
1,972,985
Software
-
0.2%
BTRS
Holdings,
Inc.
*
213,543
1,977,408
KnowBe4,
Inc.,
Class
A
*
71,832
1,494,824
3,472,232
Tobacco
-
1.2%
Swedish
Match
AB
(Sweden)
(2)
1,754,628
17,356,311
Wireless
Telecommunication
Services
-
0.0%
(a)
Cleveland
Unlimited
(acquired
3/18/2010,
Cost
$1,793,400)
(3)*(e)(f)
1
282,452
TOTAL
COMMON
STOCKS
(Cost
$454,294,941)
444,884,883
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.6%
abrdn
Global
Dynamic
Dividend
Fund
(b)
3,294
27,834
abrdn
Total
Dynamic
Dividend
Fund
(b)
12,563
89,700
Adams
Diversified
Equity
Fund,
Inc.
(b)
57,872
843,195
AllianceBernstein
National
Municipal
Income
Fund,
Inc.
(b)
26,352
273,007
Apollo
Senior
Floating
Rate
Fund,
Inc.
2,517
31,488
Apollo
Tactical
Income
Fund,
Inc.
1,544
18,188
Ares
Dynamic
Credit
Allocation
Fund,
Inc.
(b)
3,845
45,179
Bancroft
Fund
Ltd.
6,892
115,234
Barings
Global
Short
Duration
High
Yield
Fund
10,447
127,662
BlackRock
California
Municipal
Income
Trust
4,013
41,254
BlackRock
Core
Bond
Trust
17,858
178,580
BlackRock
Corporate
High
Yield
Fund,
Inc.
5,203
44,486
BlackRock
Credit
Allocation
Income
Trust
67,038
639,543
BlackRock
Debt
Strategies
Fund,
Inc.
36,076
321,798
BlackRock
Energy
and
Resources
Trust
44,185
476,314
BlackRock
Enhanced
Global
Dividend
Trust
18,763
165,302
BlackRock
Enhanced
International
Dividend
Trust
23,723
106,042
BlackRock
Floating
Rate
Income
Strategies
Fund,
Inc.
1,350
14,863
BlackRock
Floating
Rate
Income
Trust
2,633
28,594
BlackRock
Municipal
2030
Target
Term
Trust
713
14,631
BlackRock
Municipal
Income
Fund,
Inc.
35,526
385,812
BlackRock
Municipal
Income
Trust
45,289
431,604
BlackRock
Municipal
Income
Trust
II
62,264
622,640
BlackRock
MuniHoldings
California
Quality
Fund,
Inc.
12,612
135,453
BlackRock
MuniHoldings
Fund,
Inc.
22,194
249,682
BlackRock
MuniHoldings
New
York
Quality
Fund,
Inc.
26,645
261,121
BlackRock
MuniVest
Fund
II,
Inc.
13,734
138,576
BlackRock
MuniVest
Fund,
Inc.
27,620
183,397
BlackRock
MuniYield
Fund,
Inc.
67,283
668,793
BlackRock
MuniYield
New
York
Quality
Fund,
Inc.
30,886
291,255
BlackRock
MuniYield
Quality
Fund
III,
Inc.
11,023
114,970
BlackRock
MuniYield
Quality
Fund,
Inc.
36,173
399,712
BlackRock
New
York
Municipal
Income
Trust
31,854
311,532
30
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.6%
(continued)
BlackRock
Resources
&
Commodities
Strategy
Trust
13,159
114,352
Blackstone
Long-Short
Credit
Income
Fund
17,600
191,840
Blackstone
Senior
Floating
Rate
Term
Fund
4,298
53,983
Blackstone
Strategic
Credit
Fund
10,323
109,733
BNY
Mellon
Alcentra
Global
Credit
Income
2024
Target
Term
Fund,
Inc.
1,350
9,220
BNY
Mellon
Municipal
Income,
Inc.
47,876
287,735
BNY
Mellon
Strategic
Municipal
Bond
Fund,
Inc.
19,379
109,685
BNY
Mellon
Strategic
Municipals,
Inc.
71,861
436,915
Cohen
&
Steers
Ltd.
Duration
Preferred
and
Income
Fund,
Inc.
13,306
240,839
Cohen
&
Steers
Select
Preferred
and
Income
Fund,
Inc.
3,819
68,589
Delaware
Enhanced
Global
Dividend
&
Income
Fund
2,690
18,400
Delaware
Ivy
High
Income
Opportunities
Fund
9,804
98,922
DoubleLine
Income
Solutions
Fund
55,302
597,262
DWS
Municipal
Income
Trust
2,634
21,915
DWS
Strategic
Municipal
Income
Trust
98
775
Eaton
Vance
California
Municipal
Bond
Fund
55,230
470,007
Eaton
Vance
Floating-Rate
Income
Trust
5,391
61,242
Eaton
Vance
Municipal
Bond
Fund
63,811
617,690
Eaton
Vance
Municipal
Income
Trust
2,922
28,548
Eaton
Vance
National
Municipal
Opportunities
Trust
1,397
22,981
Eaton
Vance
New
York
Municipal
Bond
Fund
29,372
248,193
Eaton
Vance
Senior
Floating-Rate
Trust
8,574
95,257
Eaton
Vance
Senior
Income
Trust
6,517
34,345
Ellsworth
Growth
and
Income
Fund
Ltd.
33,064
264,843
Federated
Hermes
Premier
Municipal
Income
Fund
26,564
274,672
First
Trust
High
Income
Long
2,635
28,563
First
Trust
Senior
Floating
Rate
Income
Fund
II
3,494
34,905
Flaherty
&
Crumrine
Total
Return
Fund,
Inc.
165
2,579
Franklin
Ltd.
Duration
Income
Trust
78,725
486,520
Gabelli
Dividend
&
Income
Trust
(The)
1,121
20,985
GDL
Fund
(The)
1,185
9,385
General
American
Investors
Co.,
Inc.
87
2,945
Highland
Income
Fund
6,250
60,750
Insight
Select
Income
Fund
11,968
183,948
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.6%
(continued)
Invesco
Advantage
Municipal
Income
Trust
II
25,629
208,107
Invesco
Bond
Fund
1,139
16,413
Invesco
California
Value
Municipal
Income
Trust
40,376
362,980
Invesco
Municipal
Opportunity
Trust
55,398
504,676
Invesco
Municipal
Trust
53,140
485,700
Invesco
Pennsylvania
Value
Municipal
Income
Trust
12,833
123,864
Invesco
Quality
Municipal
Income
Trust
53,377
487,332
Invesco
Trust
for
Investment
Grade
Municipals
45,011
421,303
Invesco
Trust
for
Investment
Grade
New
York
Municipals
8,718
83,344
Invesco
Value
Municipal
Income
Trust
1,509
17,369
John
Hancock
Income
Securities
Trust
2,771
29,456
KKR
Income
Opportunities
Fund
32,060
366,766
Lazard
Global
Total
Return
and
Income
Fund,
Inc.
267
3,613
MFS
Multimarket
Income
Trust
4,589
19,411
MFS
Municipal
Income
Trust
46,865
226,827
Neuberger
Berman
High
Yield
Strategies
Fund,
Inc.
12,049
95,187
Neuberger
Berman
Municipal
Fund,
Inc.
23,456
237,375
Nuveen
AMT-Free
Municipal
Value
Fund
9,474
124,394
Nuveen
AMT-Free
Quality
Municipal
Income
Fund
35,813
379,618
Nuveen
California
Municipal
Value
Fund
18,632
153,807
Nuveen
Credit
Strategies
Income
Fund
110,967
567,041
Nuveen
Floating
Rate
Income
Opportunity
Fund
1,120
9,027
Nuveen
Georgia
Quality
Municipal
Income
Fund
242
2,311
Nuveen
Massachusetts
Quality
Municipal
Income
Fund
2,207
23,460
Nuveen
Municipal
Credit
Income
Fund
61,187
695,696
Nuveen
New
York
AMT-Free
Quality
Municipal
Income
Fund
7,710
75,712
Nuveen
New
York
Municipal
Value
Fund
237
1,934
Nuveen
New
York
Quality
Municipal
Income
Fund
21,321
223,231
Nuveen
Ohio
Quality
Municipal
Income
Fund
26,185
307,674
Nuveen
Pennsylvania
Quality
Municipal
Income
Fund
13,959
153,130
Nuveen
Preferred
&
Income
Opportunities
Fund
66,636
463,120
Nuveen
Preferred
&
Income
Securities
Fund
129,386
850,066
31
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.6%
(continued)
Nuveen
Quality
Municipal
Income
Fund
26,099
287,089
Nuveen
Real
Asset
Income
and
Growth
Fund
618
6,891
Nuveen
Select
Maturities
Municipal
Fund
1,306
11,571
Nuveen
Senior
Income
Fund
1,676
7,827
Nuveen
Short
Duration
Credit
Opportunities
Fund
4,894
57,896
PGIM
Global
High
Yield
Fund,
Inc.
849
8,982
PGIM
High
Yield
Bond
Fund,
Inc.
6,791
78,368
Pioneer
Diversified
High
Income
Fund,
Inc.
115
1,186
Pioneer
Floating
Rate
Fund,
Inc.
28,863
248,799
Pioneer
High
Income
Fund,
Inc.
38,045
245,771
Pioneer
Municipal
High
Income
Advantage
Fund,
Inc.
28,568
215,688
Pioneer
Municipal
High
Income
Fund
Trust
37,220
305,576
Royce
Global
Value
Trust,
Inc.
1,365
10,947
Saba
Capital
Income
&
Opportunities
Fund
9,931
78,554
Swiss
Helvetia
Fund,
Inc.
(The)
891
6,050
Tekla
Healthcare
Investors
1,113
19,233
Tekla
Healthcare
Opportunities
Fund
8,853
160,416
Tekla
Life
Sciences
Investors
5,176
70,704
Templeton
Emerging
Markets
Fund
6,367
66,026
Virtus
Dividend
Interest
&
Premium
Strategy
Fund
19,863
212,137
Virtus
Equity
&
Convertible
Income
Fund
27,180
552,026
Virtus
Total
Return
Fund,
Inc.
13,103
81,632
Voya
Emerging
Markets
High
Dividend
Equity
Fund
16,544
81,396
Voya
Global
Advantage
and
Premium
Opportunity
Fund
584
4,923
Voya
Infrastructure
Industrials
and
Materials
Fund
407
3,598
Western
Asset
Global
High
Income
Fund,
Inc.
27,701
181,719
Western
Asset
High
Income
Fund
II,
Inc.
3,767
16,424
Western
Asset
Intermediate
Muni
Fund,
Inc.
6,688
49,157
Western
Asset
Investment
Grade
Income
Fund,
Inc.
2,710
30,325
Western
Asset
Managed
Municipals
Fund,
Inc.
38,964
377,951
Western
Asset
Municipal
High
Income
Fund,
Inc.
16,863
104,551
Western
Asset
Municipal
Partners
Fund,
Inc.
1,024
11,469
Western
Asset
Premier
Bond
Fund
12,921
126,497
TOTAL
CLOSED
END
FUNDS
(Cost
$27,844,883)
24,547,287
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
CORPORATE
BONDS
-
0.3%
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.3%
iStar,
Inc.
4.75%,
10/1/2024
(2)
$
2,331,000
2,298,832
4.25%,
8/1/2025
(2)
2,364,000
2,293,193
4,592,025
Independent
Power
and
Renewable
Electricity
Producers
-
0.0%
(a)
Aegean
Marine
Petroleum
Network,
Inc.
Escrow
0.00%,
12/15/2022
(3)(e)(g)
2,375,000
71,250
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Black
Elk
Energy
Escrow
13.75%,
12/1/2015
(3)(e)(g)
2,833,436
146,039
TOTAL
CORPORATE
BONDS
(Cost
$5,591,862)
4,809,314
CONVERTIBLE
BONDS
-
18.2%
Aerospace
&
Defense
-
0.1%
Virgin
Galactic
Holdings,
Inc.
2.50%,
2/1/2027
(2)(b)(d)
4,067,000
2,249,051
Airlines
-
0.3%
GOL
Equity
Finance
SA
(Brazil)
3.75%,
7/15/2024
(2)(b)(d)
1,025,000
485,337
JetBlue
Airways
Corp.
0.50%,
4/1/2026
(2)(b)
5,000,000
3,550,000
4,035,337
Auto
Components
-
0.1%
Luminar
Technologies,
Inc.
1.25%,
12/15/2026
(2)(b)(d)
3,325,000
2,106,387
Automobiles
-
0.1%
Arrival
SA
(Luxembourg)
3.50%,
12/1/2026
(2)(b)(d)
4,567,000
1,376,951
Biotechnology
-
0.8%
Cytokinetics,
Inc.
3.50%,
7/1/2027
(2)(b)(d)
6,165,000
7,354,845
Inovio
Pharmaceuticals,
Inc.
6.50%,
3/1/2024
(2)(b)
2,075,000
2,023,125
Precigen,
Inc.
3.50%,
7/1/2023
(2)(b)
2,550,000
2,460,850
11,838,820
Communications
Equipment
-
1.4%
Infinera
Corp.
2.50%,
3/1/2027
(2)(b)
2,925,000
2,653,609
3.75%,
8/1/2028
(2)(b)(d)
7,575,000
7,487,887
Lumentum
Holdings,
Inc.
0.50%,
6/15/2028
(2)(b)(d)
13,131,000
10,465,407
20,606,903
Consumer
Finance
-
0.6%
EZCORP,
Inc.
2.88%,
7/1/2024
(2)(b)
2,250,000
2,314,125
2.38%,
5/1/2025
(2)(b)
1,025,000
875,863
LendingTree,
Inc.
0.50%,
7/15/2025
(2)(b)
7,500,000
5,346,750
8,536,738
32
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Diversified
Consumer
Services
-
0.2%
2U,
Inc.
2.25%,
5/1/2025
(2)(b)
$
3,425,000
2,333,362
Diversified
Telecommunication
Services
-
0.1%
Bandwidth,
Inc.
0.25%,
3/1/2026
(2)(b)
1,875,000
1,213,125
Electrical
Equipment
-
0.8%
Array
Technologies,
Inc.
1.00%,
12/1/2028
(2)(b)(d)
12,850,000
11,366,077
Energy
Equipment
&
Services
-
0.2%
Helix
Energy
Solutions
Group,
Inc.
6.75%,
2/15/2026
(2)(b)
3,250,000
3,274,375
Entertainment
-
0.4%
Sea
Ltd.
(Singapore)
0.25%,
9/15/2026
(2)(b)
8,250,000
5,713,125
Health
Care
Equipment
&
Supplies
-
1.0%
Cutera,
Inc.
2.25%,
6/1/2028
(2)(b)(d)
10,581,000
11,501,547
Varex
Imaging
Corp.
4.00%,
6/1/2025
(2)(b)
3,100,000
3,713,421
15,214,968
Health
Care
Providers
&
Services
-
0.2%
Guardant
Health,
Inc.
0.00%,
11/15/2027
(2)(b)
4,850,000
3,529,406
Hotels,
Restaurants
&
Leisure
-
1.7%
Airbnb,
Inc.
0.00%,
3/15/2026
(2)(b)
8,800,000
7,286,400
DraftKings
Holdings,
Inc.
0.00%,
3/15/2028
(2)(b)
9,575,000
6,180,063
MakeMyTrip
Ltd.
(India)
0.00%,
2/15/2028
(2)(b)
1,000,000
1,041,500
NCL
Corp.
Ltd.
1.13%,
2/15/2027
(2)(b)(d)
12,113,000
7,586,034
2.50%,
2/15/2027
(2)(b)(d)
1,585,000
1,038,175
Royal
Caribbean
Cruises
Ltd.
6.00%,
8/15/2025
(2)(b)(d)
2,058,000
2,168,103
25,300,275
Household
Durables
-
0.1%
GoPro,
Inc.
1.25%,
11/15/2025
(2)(b)
1,225,000
1,088,488
Independent
Power
and
Renewable
Electricity
Producers
-
0.7%
Sunnova
Energy
International,
Inc.
0.25%,
12/1/2026
(2)(b)
3,450,000
2,896,275
2.63%,
2/15/2028
(2)(b)(d)
8,137,000
7,233,793
10,130,068
Interactive
Media
&
Services
-
1.0%
Eventbrite,
Inc.
0.75%,
9/15/2026
(2)(b)
7,400,000
5,027,712
Snap,
Inc.
0.00%,
5/1/2027
(2)(b)
1,175,000
810,163
0.13%,
3/1/2028
(2)(b)(d)
12,872,000
8,624,240
14,462,115
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Internet
&
Direct
Marketing
Retail
-
1.9%
Etsy,
Inc.
0.25%,
6/15/2028
(2)(b)
$
12,100,000
9,329,100
Farfetch
Ltd.
(United
Kingdom)
3.75%,
5/1/2027
(2)(b)
5,525,000
5,041,563
Fiverr
International
Ltd.
0.00%,
11/1/2025
(2)(b)
5,276,000
4,095,759
Groupon,
Inc.
1.13%,
3/15/2026
(2)(b)
4,250,000
2,670,946
Porch
Group,
Inc.
0.75%,
9/15/2026
(2)(b)(d)
3,400,000
1,936,300
Wayfair,
Inc.
3.25%,
9/15/2027
(2)(b)(d)
6,483,000
5,111,845
28,185,513
IT
Services
-
1.6%
DigitalOcean
Holdings,
Inc.
0.00%,
12/1/2026
(2)(b)(d)
3,475,000
2,519,375
Fastly,
Inc.
0.00%,
3/15/2026
(2)(b)
2,975,000
2,150,925
Repay
Holdings
Corp.
0.00%,
2/1/2026
(2)(b)(d)
8,300,000
5,851,500
Shift4
Payments,
Inc.
0.50%,
8/1/2027
(2)(b)
8,575,000
6,543,797
Shopify,
Inc.
(Canada)
0.13%,
11/1/2025
(2)(b)
7,675,000
6,274,312
23,339,909
Leisure
Products
-
0.2%
Peloton
Interactive,
Inc.
0.00%,
2/15/2026
(2)(b)
4,875,000
3,266,637
Machinery
-
0.6%
Greenbrier
Cos.,
Inc.
(The)
2.88%,
4/15/2028
(2)(b)
11,535,000
9,049,208
Media
-
0.7%
Cable
One,
Inc.
1.13%,
3/15/2028
(2)(b)
3,271,000
2,355,120
TechTarget,
Inc.
0.00%,
12/15/2026
(2)(b)(d)
9,825,000
7,540,620
9,895,740
Metals
&
Mining
-
0.0%
(a)
Ivanhoe
Mines
Ltd.
(Canada)
2.50%,
4/15/2026
(2)(b)(d)
575,000
646,184
Pharmaceuticals
-
0.7%
Innoviva,
Inc.
2.13%,
3/15/2028
(2)(b)(d)
13,373,000
10,357,388
Real
Estate
Management
&
Development
-
0.3%
Realogy
Group
LLC
0.25%,
6/15/2026
(2)(b)
4,425,000
3,088,650
Redfin
Corp.
0.50%,
4/1/2027
(2)(b)
4,535,000
2,208,882
5,297,532
Road
&
Rail
-
0.5%
Lyft,
Inc.
1.50%,
5/15/2025
(2)(b)
9,150,000
7,800,375
33
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Software
-
1.5%
8x8,
Inc.
0.50%,
2/1/2024
(2)(b)
$
2,450,000
2,069,776
4.00%,
2/1/2028
(2)(b)(d)
5,050,000
3,661,250
Confluent,
Inc.
0.00%,
1/15/2027
(2)(b)(d)
5,825,000
4,164,875
Coupa
Software,
Inc.
0.13%,
6/15/2025
(2)(b)
2,700,000
2,277,450
0.38%,
6/15/2026
(2)(b)
4,125,000
3,170,063
Marathon
Digital
Holdings,
Inc.
1.00%,
12/1/2026
(2)(b)(d)
6,855,000
2,361,547
Unity
Software,
Inc.
0.00%,
11/15/2026
(2)(b)(d)
6,825,000
4,948,125
Veritone,
Inc.
1.75%,
11/15/2026
(2)(b)(d)
1,091,000
652,418
23,305,504
Technology
Hardware,
Storage
&
Peripherals
-
0.4%
3D
Systems
Corp.
0.00%,
11/15/2026
(2)(b)(d)
9,900,000
6,821,100
TOTAL
CONVERTIBLE
BONDS
(Cost
$333,713,357)
272,340,661
NO.
OF
RIGHTS
RIGHTS
-
0.0%
(a)
Biotechnology
-
0.0%
(a)
Ambit
Biosciences
Corp.,
CVR
(3)*(e)
146,272
135,698
Tobira
Therapeutics,
Inc.,
CVR
(3)*(e)
11,880
145,366
281,064
Capital
Markets
-
0.0%
(a)
Accretion
Acquisition
Corp.,
expiring
3/1/2028
*(c)
202,180
18,055
Alset
Capital
Acquisition
Corp.,
expiring
2/3/2025
*(c)
122,496
13,475
Bannix
Acquisition
Corp.,
expiring
8/30/2026
(2)*(c)
26,277
1,839
Benessere
Capital
Acquisition
Corp.,
expiring
12/23/2025
*(c)
55,000
7,441
Blockchain
Moon
Acquisition
Corp.,
expiring
10/21/2026
*(c)
44,844
2,596
Breeze
Holdings
Acquisition
Corp.
*(c)
55,000
1,650
Broad
Capital
Acquisition
Corp.,
expiring
1/13/2027
(3)*(c)(e)
69,739
6,974
Clean
Earth
Acquisitions
Corp.,
expiring
8/28/2028
*(c)
195,348
40,789
Deep
Medicine
Acquisition
Corp.,
expiring
9/30/2028
*(c)
152,927
5,888
Edoc
Acquisition
Corp.,
expiring
11/30/2027
(2)*(c)
55,000
3,850
Financial
Strategies
Acquisition
Corp.,
expiring
1/7/2023
(2)*(c)
131,193
6,560
Fintech
Ecosystem
Development
Corp.,
expiring
1/4/2026
(2)*(c)
10,730
1,427
Global
Blockchain
Acquisition
Corp.
(3)*(c)(e)
161,196
11,284
Globalink
Investment,
Inc.,
expiring
12/9/2026
(2)*(c)
74,843
12,731
INVESTMENTS
NO.
OF
RIGHTS
VALUE
($)
Capital
Markets
-
0.0%
(a)
(continued)
Goldenstone
Acquisition
Ltd.,
expiring
7/15/2026
*(c)
32,200
6,279
Inception
Growth
Acquisition
Ltd.
*(c)
112,518
8,439
JUPITER
WELLNESS
ACQUISITION
Corp.
*(c)
149,929
12,369
Mana
Capital
Acquisition
Corp.,
expiring
1/6/2024
(2)*(c)
39,048
10,933
Metal
Sky
Star
Acquisition
Corp.,
expiring
12/31/2023
(2)*(c)
103,342
6,717
Monterey
Capital
Acquisition
Corp.,
expiring
5/13/2027
*(c)
71,394
9,995
NorthView
Acquisition
Corp.,
expiring
8/2/2027
(2)*(c)
154,598
11,595
Pacifico
Acquisition
Corp.,
expiring
7/25/2026
(2)*(c)
20,252
5,063
PHP
Ventures
Acquisition
Corp.,
expiring
8/11/2026
(2)*(c)
29,400
1,323
Prime
Number
Acquisition
I
Corp.
(2)*(c)
35,700
3,213
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
(3)*(c)(e)
74,885
7,324
RF
Acquisition
Corp.,
expiring
3/29/2024
*(c)
114,573
9,177
ROC
Energy
Acquisition
Corp.,
expiring
11/30/2028
(2)*(c)
149,375
8,962
Sagaliam
Acquisition
Corp.,
expiring
5/31/2028
(2)*(c)
70,003
5,600
Welsbach
Technology
Metals
Acquisition
Corp.,
expiring
3/31/2023
*(c)
9,289
1,019
Yotta
Acquisition
Corp.,
expiring
12/31/2023
(2)*(c)
68,693
4,122
246,689
TOTAL
RIGHTS
(Cost
$–)
527,753
NO.
OF
WARRANTS
WARRANTS
-
0.3%
Aerospace
&
Defense
-
0.0%
(a)
Eve
Holding,
Inc.,
expiring
10/8/2025
*
87,745
42,986
Banks
-
0.0%
(a)
SHF
Holdings,
Inc.,
expiring
12/2/2022
*
42,586
5,536
Biotechnology
-
0.0%
(a)
180
Life
Sciences
Corp.,
expiring
11/7/2025
*
495,988
25,593
4d
pharma
plc,
expiring
3/22/2026
(United
Kingdom)
(2)*
25,533
25
Comera
Life
Sciences
Holdings,
Inc.,
expiring
5/19/2027
*
1,879
107
DermTech,
Inc.,
expiring
8/29/2024
(2)*
159,162
54,115
34
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Biotechnology
-
0.0%
(a)
(continued)
Ensysce
Biosciences,
Inc.,
expiring
2/1/2026
*
185,394
12,051
91,891
Capital
Markets
-
0.2%
26
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
74,200
23,002
7GC
&
Co.
Holdings,
Inc.,
expiring
12/31/2026
*(c)
67,750
1,362
Accelerate
Acquisition
Corp.,
expiring
12/31/2027
*(c)
156,666
10,967
Accretion
Acquisition
Corp.,
expiring
2/19/2023
*(c)
101,090
5,014
Achari
Ventures
Holdings
Corp.
I,
expiring
8/5/2026
(2)*(c)
42,909
2,120
Acri
Capital
Acquisition
Corp.,
expiring
6/10/2027
*(c)
27,498
1,378
Acropolis
Infrastructure
Acquisition
Corp.,
expiring
3/31/2026
*(b)(c)
140,333
14,047
Adit
EdTech
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
41,250
1,856
Advanced
Merger
Partners,
Inc.,
expiring
6/30/2026
*(b)
(c)
13,733
768
Aequi
Acquisition
Corp.,
expiring
11/30/2027
*(c)
107,000
4,280
Aesther
Healthcare
Acquisition
Corp.,
expiring
1/19/2023
(2)*(c)
20,252
3,747
Aetherium
Acquisition
Corp.,
expiring
1/21/2028
*(c)
175,712
20,207
AF
Acquisition
Corp.,
expiring
3/31/2028
(2)*(c)
126,194
5,439
Alpha
Healthcare
Acquisition
Corp.
III,
expiring
4/12/2027
(2)*(b)(c)
52,000
14,612
Alpine
Acquisition
Corp.,
expiring
1/21/2023
*(c)
15,103
2,631
Alset
Capital
Acquisition
Corp.,
expiring
2/2/2027
(2)*(c)
61,248
4,287
AltEnergy
Acquisition
Corp.,
expiring
2/6/2023
*(c)
61,463
9,834
Altitude
Acquisition
Corp.,
expiring
11/30/2027
*(b)(c)
96,300
6,019
AMCI
Acquisition
Corp.
II,
expiring
12/31/2028
*(c)
69,500
9,730
American
Acquisition
Opportunity,
Inc.,
expiring
5/28/2026
*(c)
58,500
8,687
Anzu
Special
Acquisition
Corp.
I,
expiring
12/31/2027
*(b)(c)
68,889
2,576
Apeiron
Capital
Investment
Corp.,
expiring
6/24/2023
(2)*(c)
54,024
3,782
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Arbor
Rapha
Capital
Bioholdings
Corp.
I,
expiring
3/14/2023
*(c)
47,678
3,814
Arena
Fortify
Acquisition
Corp.,
expiring
12/31/2028
(3)*(c)(e)
27,012
2,461
Argus
Capital
Corp.,
expiring
7/22/2023
*(c)
30,741
4,611
Armada
Acquisition
Corp.
I,
expiring
1/2/2023
(3)*(c)(e)
64,166
9,625
Arogo
Capital
Acquisition
Corp.,
expiring
3/23/2028
*(c)
96,774
5,081
Arrowroot
Acquisition
Corp.,
expiring
3/2/2026
(2)*(b)(c)
41,500
1,660
Artemis
Strategic
Investment
Corp.,
expiring
2/12/2023
(2)*(c)
102,400
10,240
Astrea
Acquisition
Corp.,
expiring
1/13/2026
(3)*(b)
(c)(e)
41,333
1,686
Athena
Consumer
Acquisition
Corp.,
expiring
7/31/2028
(2)*(c)
64,463
3,339
Athena
Technology
Acquisition
Corp.
II,
expiring
10/17/2028
(2)*(c)
319,116
38,294
Athlon
Acquisition
Corp.,
expiring
3/5/2026
*(b)(c)
41,333
1,732
Atlantic
Avenue
Acquisition
Corp.,
expiring
10/6/2027
(2)*(b)(c)
146,000
11,724
Atlantic
Coastal
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
228,472
8,019
Atlantic
Coastal
Acquisition
Corp.
II,
expiring
6/2/2028
(3)*(c)(e)
206,631
17,047
Atlas
Crest
Investment
Corp.
II,
expiring
2/28/2026
*(b)(c)
20,616
845
Ault
Disruptive
Technologies
Corp.,
expiring
6/20/2028
(2)*(c)
54,855
2,194
Aurora
Acquisition
Corp.,
expiring
12/31/2028
(United
Kingdom)
*(c)
9,375
1,153
Authentic
Equity
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
41,266
1,651
Avalon
Acquisition,
Inc.,
expiring
2/26/2023
*(c)
79,701
7,779
AxonPrime
Infrastructure
Acquisition
Corp.,
expiring
7/8/2023
(2)*(c)
78,055
7,806
B
Riley
Principal
250
Merger
Corp.,
expiring
12/31/2027
*(c)
117,289
12,902
Banner
Acquisition
Corp.,
expiring
1/15/2023
(2)*(c)
20,196
1,010
Bannix
Acquisition
Corp.,
expiring
2/19/2023
(2)*(c)
26,277
1,054
35
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Banyan
Acquisition
Corp.,
expiring
9/30/2028
(2)*(c)
167,229
11,706
Beard
Energy
Transition
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
74,755
7,483
Belong
Acquisition
Corp.,
expiring
12/31/2027
*(c)
64,000
3,840
Benessere
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,250
7,755
Berenson
Acquisition
Corp.
I,
expiring
8/1/2026
(2)*(c)
15,392
793
Better
World
Acquisition
Corp.,
expiring
11/15/2027
*(c)
49,500
4,193
Big
Sky
Growth
Partners,
Inc.,
expiring
2/26/2023
*(c)
83,121
6,749
Bilander
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
60,416
11,987
Bite
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,600
2,496
Black
Mountain
Acquisition
Corp.,
expiring
10/15/2027
*(c)
183,774
17,991
Blockchain
Moon
Acquisition
Corp.,
expiring
3/23/2024
*(c)
44,844
1,435
BOA
Acquisition
Corp.,
expiring
2/22/2028
*(c)
27,321
6,284
Breeze
Holdings
Acquisition
Corp.,
expiring
5/25/2027
*(c)
55,000
2,475
Bright
Lights
Acquisition
Corp.,
expiring
12/31/2027
(3)*(c)(e)
32,000
963
Broadscale
Acquisition
Corp.,
expiring
2/2/2026
(2)*(c)
20,666
1,240
Build
Acquisition
Corp.,
expiring
4/29/2023
(2)*(c)
135,000
9,585
BurTech
Acquisition
Corp.,
expiring
12/18/2026
*(c)
447,209
24,239
byNordic
Acquisition
Corp.,
expiring
2/9/2027
*(c)
69,207
5,537
C5
Acquisition
Corp.,
expiring
5/19/2028
*(c)
131,692
14,499
Canna-Global
Acquisition
Corp.,
expiring
2/9/2028
*(c)
188,580
4,733
Carney
Technology
Acquisition
Corp.
II,
expiring
11/30/2027
(2)*(c)
163,143
5,563
Cascadia
Acquisition
Corp.,
expiring
2/5/2023
*(c)
60,303
8,442
CENAQ
Energy
Corp.,
expiring
12/31/2027
*(c)
105,000
19,110
CF
Acquisition
Corp.
IV,
expiring
12/14/2025
*(c)
78,500
3,140
CF
Acquisition
Corp.
VII,
expiring
3/15/2026
(3)*(c)(e)
48,764
4,876
CF
Acquisition
Corp.
VIII,
expiring
12/31/2027
*(c)
48,500
5,820
Churchill
Capital
Corp.
V,
expiring
10/29/2027
*(c)
10,350
880
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Churchill
Capital
Corp.
VI,
expiring
12/31/2027
*(c)
16,600
2,324
Churchill
Capital
Corp.
VII,
expiring
2/29/2028
*(c)
16,600
2,241
CIIG
Capital
Partners
II,
Inc.,
expiring
2/28/2028
*(c)
70,884
7,797
Clarim
Acquisition
Corp.,
expiring
12/31/2027
*(c)
59,111
2,093
Class
Acceleration
Corp.,
expiring
3/31/2028
*(c)
41,666
504
Clean
Earth
Acquisitions
Corp.,
expiring
2/24/2028
*(c)
97,674
7,326
Climate
Real
Impact
Solutions
II
Acquisition
Corp.,
expiring
12/31/2027
*(c)
16,647
1,332
Colicity,
Inc.,
expiring
12/31/2027
*(c)
22,909
1,100
Colombier
Acquisition
Corp.,
expiring
12/31/2028
*(c)
78,300
8,691
Compute
Health
Acquisition
Corp.,
expiring
12/31/2027
*(c)
23,100
1,502
Concord
Acquisition
Corp.,
expiring
11/28/2025
*(c)
190,333
113,990
Concord
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*(c)
95,464
20,047
Concord
Acquisition
Corp.
III,
expiring
12/31/2028
(3)*(c)(e)
215,234
34,437
Conx
Corp.,
expiring
10/30/2027
*(c)
92,500
7,391
Conyers
Park
III
Acquisition
Corp.,
expiring
8/12/2028
(2)*(c)
161,500
32,300
Corner
Growth
Acquisition
Corp.,
expiring
12/31/2027
*(c)
110,400
1,104
Crixus
BH3
Acquisition
Co.,
expiring
11/23/2026
*(c)
42,289
6,343
Crucible
Acquisition
Corp.,
expiring
12/26/2025
*(c)
26,565
80
D
&
Z
Media
Acquisition
Corp.,
expiring
12/31/2027
*(c)
27,453
758
Data
Knights
Acquisition
Corp.,
expiring
12/31/2028
*(c)
50,667
2,285
DHB
Capital
Corp.,
expiring
3/15/2028
*(c)
49,333
2,620
DiamondHead
Holdings
Corp.,
expiring
1/28/2028
(2)*(c)
20,700
4,968
Digital
Health
Acquisition
Corp.,
expiring
10/14/2023
*(c)
71,745
11,472
Digital
Transformation
Opportunities
Corp.,
expiring
3/31/2028
*(c)
20,733
1,453
DILA
Capital
Acquisition
Corp.,
expiring
12/31/2028
(2)*(c)
61,667
3,083
36
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Direct
Selling
Acquisition
Corp.,
expiring
11/23/2023
*(c)
51,291
3,083
dMY
Technology
Group,
Inc.
VI,
expiring
6/25/2023
*(c)
41,091
19,518
DTRT
Health
Acquisition
Corp.,
expiring
11/12/2022
*(c)
60,408
12,082
DUET
Acquisition
Corp.,
expiring
7/19/2028
(2)*(c)
73,788
3,505
Dune
Acquisition
Corp.,
expiring
10/29/2027
*(c)
22,884
1,236
East
Resources
Acquisition
Co.,
expiring
7/1/2027
*(c)
219,000
32,828
Edify
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,550
4,155
Edoc
Acquisition
Corp.,
expiring
11/30/2027
*(c)
55,000
1,650
EdtechX
Holdings
Acquisition
Corp.
II,
expiring
6/15/2027
(2)*(c)
40,875
2,453
EG
Acquisition
Corp.,
expiring
5/28/2028
*(c)
155,666
19,458
Empowerment
&
Inclusion
Capital
I
Corp.,
expiring
12/31/2027
*(c)
58,119
3,353
Epiphany
Technology
Acquisition
Corp.,
expiring
12/31/2027
*(c)
65,416
3,277
EQ
Health
Acquisition
Corp.,
expiring
2/2/2028
(2)*(c)
43,828
3,506
Everest
Consolidator
Acquisition
Corp.,
expiring
7/19/2028
*(c)
65,508
3,930
Evo
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
9,660
364
ExcelFin
Acquisition
Corp.,
expiring
7/5/2023
(3)*(c)(e)
67,393
7,245
Executive
Network
Partnering
Corp.,
expiring
9/25/2028
*(c)
95,000
88,360
FAST
Acquisition
Corp.
II,
expiring
3/16/2026
(2)*(c)
24,250
12,489
Feutune
Light
Acquisition
Corp.,
expiring
6/1/2029
(2)*(c)
94,079
5,645
FG
Merger
Corp.,
expiring
6/17/2027
*(c)
73,638
11,046
Figure
Acquisition
Corp.
I,
expiring
12/31/2027
(2)*(c)
29,700
1,720
Financial
Strategies
Acquisition
Corp.,
expiring
3/31/2028
(2)*(c)
131,193
6,560
FinServ
Acquisition
Corp.
II,
expiring
2/17/2026
*(c)
20,791
559
Fintech
Acquisition
Corp.
V,
expiring
10/31/2025
*(c)
33,727
1,349
FinTech
Acquisition
Corp.
VI,
expiring
12/31/2027
*(c)
37,676
1,130
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Fintech
Ecosystem
Development
Corp.,
expiring
12/31/2028
(2)*(c)
5,365
537
First
Light
Acquisition
Group,
Inc.,
expiring
10/7/2023
*(c)
20,232
1,149
First
Reserve
Sustainable
Growth
Corp.,
expiring
12/31/2027
*(c)
20,625
1,440
Flame
Acquisition
Corp.,
expiring
12/31/2028
*(c)
65,866
9,221
Focus
Impact
Acquisition
Corp.,
expiring
4/23/2023
(2)*(c)
50,975
4,588
Forest
Road
Acquisition
Corp.
II,
expiring
1/15/2026
*(c)
16,622
1,130
Fortistar
Sustainable
Solutions
Corp.,
expiring
12/31/2027
(2)*(c)
22,283
2,759
Fortress
Value
Acquisition
Corp.
III,
expiring
12/31/2027
*(c)
15,939
1,594
Fortress
Value
Acquisition
Corp.
IV,
expiring
3/18/2028
*(c)
36,166
6,318
Fortune
Rise
Acquisition
Corp.,
expiring
11/26/2023
(2)*(c)
49,324
2,959
Forum
Merger
IV
Corp.,
expiring
12/31/2027
(2)*(c)
117,500
7,050
FoxWayne
Enterprises
Acquisition
Corp.,
expiring
12/31/2026
*(c)
34,500
3,450
FTAC
Emerald
Acquisition
Corp.,
expiring
8/22/2028
(3)*(c)(e)
118,863
19,030
FTAC
Parnassus
Acquisition
Corp.,
expiring
3/10/2026
(2)*(c)
44,034
5,284
FTAC
Zeus
Acquisition
Corp.,
expiring
12/31/2027
*(c)
127,515
12,752
Fusion
Acquisition
Corp.
II,
expiring
12/31/2027
(2)*(c)
27,666
1,383
Future
Health
ESG
Corp.,
expiring
2/19/2023
*(c)
45,911
15,141
FutureTech
II
Acquisition
Corp.,
expiring
2/16/2027
*(c)
38,964
2,533
G&P
Acquisition
Corp.,
expiring
3/5/2027
*(c)
161,666
4,850
Gaming
&
Hospitality
Acquisition
Corp.,
expiring
2/4/2028
(2)*(c)
8,207
206
Gardiner
Healthcare
Acquisitions
Corp.,
expiring
7/30/2028
*(c)
52,651
3,143
Genesis
Unicorn
Capital
Corp.,
expiring
6/30/2026
(2)*(c)
67,549
4,661
GigCapital5,
Inc.,
expiring
12/31/2028
*(c)
123,100
3,151
37
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
GigInternational1,
Inc.,
expiring
4/19/2026
(2)*(c)
149,500
11,960
Gladstone
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
69,500
4,191
Glass
Houses
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
68,833
5,507
Glenfarne
Merger
Corp.,
expiring
12/31/2027
(2)*(c)
54,888
3,842
Global
Blockchain
Acquisition
Corp.,
expiring
5/10/2027
(2)*(c)
161,196
6,738
Global
Consumer
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
106,500
13,845
Globalink
Investment,
Inc.,
expiring
12/3/2026
(2)*(c)
74,843
4,491
Goal
Acquisitions
Corp.,
expiring
2/11/2026
*(c)
84,630
3,495
Golden
Arrow
Merger
Corp.,
expiring
7/31/2026
*(c)
131,733
7,588
Golden
Falcon
Acquisition
Corp.,
expiring
11/4/2026
*(c)
64,925
3,857
Goldenstone
Acquisition
Ltd.,
expiring
7/15/2026
*(c)
32,200
644
Good
Works
II
Acquisition
Corp.,
expiring
2/1/2028
*(c)
126,000
27,707
Gores
Holdings
IX,
Inc.,
expiring
1/14/2029
*(c)
552,098
190,971
Gores
Holdings
VII,
Inc.,
expiring
12/31/2027
*(c)
10,416
1,249
Gores
Holdings
VIII,
Inc.,
expiring
12/31/2027
*(c)
10,416
9,792
Gores
Technology
Partners
II,
Inc.,
expiring
12/31/2027
*(c)
25,404
4,067
Gores
Technology
Partners,
Inc.,
expiring
12/31/2027
*(c)
16,560
4,943
Graf
Acquisition
Corp.
IV,
expiring
5/31/2028
*(c)
73,000
10,950
Group
Nine
Acquisition
Corp.,
expiring
1/14/2026
(2)*(c)
27,604
1,681
GSR
II
Meteora
Acquisition
Corp.,
expiring
7/22/2023
*(c)
244,186
39,070
GX
Acquisition
Corp.
II,
expiring
12/31/2028
*(c)
137,666
13,670
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
expiring
1/8/2026
*(c)
38,390
2,292
Hawks
Acquisition
Corp.,
expiring
1/29/2023
(2)*(c)
37,175
3,190
Health
Assurance
Acquisition
Corp.,
expiring
11/12/2025
*(c)
95,166
2,855
Healthcare
Services
Acquisition
Corp.,
expiring
12/31/2027
*(c)
55,650
1,670
Healthwell
Acquisition
Corp.
I,
expiring
8/5/2028
*(c)
139,600
20,954
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Heartland
Media
Acquisition
Corp.,
expiring
10/21/2027
*(c)
200,423
22,608
Hennessy
Capital
Investment
Corp.
V,
expiring
1/11/2026
*(c)
20,630
2,063
Hennessy
Capital
Investment
Corp.
VI,
expiring
12/31/2027
*(c)
232,490
34,874
HNR
Acquisition
Corp.,
expiring
7/29/2028
*(c)
49,014
9,313
Home
Plate
Acquisition
Corp.,
expiring
3/3/2023
(2)*(c)
20,508
820
Hudson
Executive
Investment
Corp.
II,
expiring
1/31/2027
(2)*(c)
20,775
1,315
Hudson
Executive
Investment
Corp.
III,
expiring
12/31/2028
(2)*(c)
41,333
6,196
HumanCo
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
64,425
7,074
IG
Acquisition
Corp.,
expiring
10/5/2027
*(c)
182,500
21,918
Ignyte
Acquisition
Corp.,
expiring
12/31/2027
(3)*(c)(e)
17,500
2,181
Inception
Growth
Acquisition
Ltd.,
expiring
10/15/2026
*(c)
56,259
3,882
Industrial
Human
Capital,
Inc.,
expiring
12/31/2028
*(c)
89,858
1,797
Industrial
Tech
Acquisitions
II,
Inc.,
expiring
12/31/2028
(3)*(c)(e)
63,004
6,300
Insight
Acquisition
Corp.,
expiring
2/11/2023
(2)*(c)
25,170
2,517
INSU
Acquisition
Corp.
III,
expiring
12/31/2026
(2)*(c)
24,733
992
Integral
Acquisition
Corp.
1,
expiring
12/14/2028
*(c)
53,808
5,322
Integrated
Rail
and
Resources
Acquisition
Corp.,
expiring
5/21/2023
*(c)
54,219
4,701
Intelligent
Medicine
Acquisition
Corp.,
expiring
1/13/2023
*(c)
62,785
5,651
InterPrivate
II
Acquisition
Corp.,
expiring
12/31/2028
*(c)
16,500
990
InterPrivate
III
Financial
Partners,
Inc.,
expiring
12/31/2027
(2)*(c)
16,500
797
InterPrivate
IV
InfraTech
Partners,
Inc.,
expiring
12/31/2027
*(c)
16,600
2,297
Iris
Acquisition
Corp.,
expiring
3/5/2026
(2)*(c)
63,888
3,418
Jackson
Acquisition
Co.,
expiring
12/31/2028
*(c)
183,961
22,075
Jaws
Hurricane
Acquisition
Corp.,
expiring
2/23/2023
*(c)
34,250
6,165
38
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
JOFF
Fintech
Acquisition
Corp.,
expiring
12/31/2027
*(c)
27,727
1,056
Juniper
II
Corp.,
expiring
12/31/2028
(2)*(c)
53,808
7,264
Jupiter
Acquisition
Corp.,
expiring
8/17/2028
*(c)
105,000
11,550
Kadem
Sustainable
Impact
Corp.,
expiring
3/16/2026
(2)*(c)
151,547
10,275
Kimbell
Tiger
Acquisition
Corp.,
expiring
9/15/2028
*(c)
185,772
26,008
Kingswood
Acquisition
Corp.,
expiring
5/1/2027
(3)*(c)(e)
112,062
2,252
KINS
Technology
Group,
Inc.,
expiring
12/31/2025
*(c)
78,500
1,978
KKR
Acquisition
Holdings
I
Corp.,
expiring
12/31/2027
*(c)
31,000
3,720
KL
Acquisition
Corp.,
expiring
1/12/2028
(2)*(c)
26,355
1,320
KludeIn
I
Acquisition
Corp.,
expiring
7/8/2027
(2)*(c)
28,833
3,575
KnightSwan
Acquisition
Corp.,
expiring
7/21/2028
(2)*(c)
167,019
16,702
Landcadia
Holdings
IV,
Inc.,
expiring
3/29/2028
(2)*(c)
84,500
12,683
Larkspur
Health
Acquisition
Corp.,
expiring
12/20/2026
*(c)
39,393
4,727
LAVA
Medtech
Acquisition
Corp.,
expiring
4/1/2023
(2)*(c)
31,732
2,539
Learn
CW
Investment
Corp.,
expiring
12/31/2028
(3)*(c)(e)
13,352
1,469
Lefteris
Acquisition
Corp.,
expiring
10/23/2025
*(c)
185,333
5,560
Legato
Merger
Corp.
II,
expiring
2/5/2023
*(c)
77,207
28,559
LF
Capital
Acquisition
Corp.
II,
expiring
1/7/2026
(2)*(c)
54,396
3,329
Liberty
Media
Acquisition
Corp.,
expiring
12/31/2027
*(c)
12,092
48
LightJump
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
27,000
1,620
Lionheart
III
Corp.,
expiring
3/19/2023
*(c)
44,840
2,690
Live
Oak
Crestview
Climate
Acquisition
Corp.,
expiring
3/12/2026
*(c)
54,710
18,596
Live
Oak
Mobility
Acquisition
Corp.,
expiring
3/4/2028
(2)*(c)
17,760
2,664
LMF
Acquisition
Opportunities,
Inc.,
expiring
1/26/2026
*(c)
27,333
1,919
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Logistics
Innovation
Technologies
Corp.,
expiring
6/15/2028
(2)*(c)
81,857
7,367
Longview
Acquisition
Corp.
II,
expiring
5/10/2026
*(c)
37,000
2,590
Lux
Health
Tech
Acquisition
Corp.,
expiring
11/30/2027
(2)*(c)
166,857
27,531
M3-Brigade
Acquisition
II
Corp.,
expiring
12/31/2027
(2)*(c)
413,333
26,619
M3-Brigade
Acquisition
III
Corp.,
expiring
5/11/2023
(2)*(c)
149,671
9,115
Mana
Capital
Acquisition
Corp.,
expiring
12/1/2026
(2)*(c)
19,524
2,364
Maquia
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
113,500
3,348
Marblegate
Acquisition
Corp.,
expiring
12/9/2022
(2)*(c)
573,387
12,385
Mason
Industrial
Technology,
Inc.,
expiring
12/31/2027
*(c)
50,518
1,849
Maxpro
Capital
Acquisition
Corp.,
expiring
1/22/2023
*(c)
9,347
1,098
McLaren
Technology
Acquisition
Corp.,
expiring
3/3/2023
*(c)
89,681
6,278
MDH
Acquisition
Corp.,
expiring
2/2/2028
(2)*(c)
42,000
1,659
MedTech
Acquisition
Corp.,
expiring
12/18/2025
*(c)
45,166
2,710
Mercato
Partners
Acquisition
Corp.,
expiring
12/28/2026
*(c)
71,745
839
Metal
Sky
Star
Acquisition
Corp.,
expiring
4/1/2027
(2)*(c)
103,342
4,144
Minority
Equality
Opportunities
Acquisition,
Inc.,
expiring
4/29/2023
*(c)
40,202
3,618
Mission
Advancement
Corp.,
expiring
12/31/2028
*(c)
37,000
1,106
Monterey
Bio
Acquisition
Corp.,
expiring
6/7/2023
*(c)
8,700
422
Monterey
Capital
Acquisition
Corp.,
expiring
5/11/2027
*(c)
71,394
4,069
Monument
Circle
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
41,375
2,483
Mount
Rainier
Acquisition
Corp.,
expiring
12/4/2022
*(c)
84,937
12,741
Murphy
Canyon
Acquisition
Corp.,
expiring
2/3/2027
(2)*(c)
97,859
4,893
Music
Acquisition
Corp.
(The),
expiring
2/5/2028
(2)*(c)
23,325
933
39
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Nabors
Energy
Transition
Corp.,
expiring
11/17/2026
*(c)
127,094
17,793
New
Providence
Acquisition
Corp.
II,
expiring
12/31/2027
(3)*(c)(e)
41,859
6,057
Newbury
Street
Acquisition
Corp.,
expiring
12/31/2027
*(c)
88,000
6,160
NewHold
Investment
Corp.
II,
expiring
10/21/2023
*(c)
67,366
5,928
NightDragon
Acquisition
Corp.,
expiring
12/31/2027
*(c)
16,666
1,750
North
Mountain
Merger
Corp.,
expiring
9/16/2025
*(c)
74,443
7
Northern
Genesis
Acquisition
Corp.
III,
expiring
12/31/2027
*(c)
57,500
1,581
Northern
Star
Investment
Corp.
II,
expiring
1/31/2028
*(c)
16,500
497
Northern
Star
Investment
Corp.
III,
expiring
2/25/2028
(2)*(c)
13,777
579
Northern
Star
Investment
Corp.
IV,
expiring
12/31/2027
(2)*(c)
13,777
827
NorthView
Acquisition
Corp.,
expiring
8/2/2027
*(c)
77,299
4,251
Nubia
Brand
International
Corp.,
expiring
11/16/2026
*(c)
142,150
11,372
OCA
Acquisition
Corp.,
expiring
12/31/2027
(3)*(c)(e)
55,769
2,794
OceanTech
Acquisitions
I
Corp.,
expiring
5/10/2026
*(c)
104,000
9,360
OmniLit
Acquisition
Corp.,
expiring
11/8/2026
(2)*(c)
40,496
2,835
One
Equity
Partners
Open
Water
I
Corp.,
expiring
12/31/2027
*(c)
27,441
1,375
OPY
Acquisition
Corp.
I,
expiring
4/8/2023
*(c)
41,286
4,541
Orion
Acquisition
Corp.,
expiring
2/19/2026
(2)*(c)
20,833
1,135
Osiris
Acquisition
Corp.,
expiring
5/1/2028
(3)*(c)(e)
254,000
33,020
Oyster
Enterprises
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,500
6,682
Papaya
Growth
Opportunity
Corp.
I,
expiring
12/31/2028
*(c)
206,644
18,598
Parabellum
Acquisition
Corp.,
expiring
3/26/2023
*(c)
24,278
874
Parsec
Capital
Acquisitions
Corp.,
expiring
1/8/2023
*(c)
12,741
382
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Periphas
Capital
Partnering
Corp.,
expiring
12/10/2028
*(c)
19,041
4,665
Phoenix
Biotech
Acquisition
Corp.,
expiring
9/1/2026
*(c)
106,172
15,692
PHP
Ventures
Acquisition
Corp.,
expiring
12/4/2023
(2)*(c)
14,700
585
Pine
Island
Acquisition
Corp.,
expiring
10/29/2027
*(c)
190,333
9,517
Pine
Technology
Acquisition
Corp.,
expiring
3/31/2028
(2)*(c)
213,333
19,093
Pivotal
Investment
Corp.
III,
expiring
12/31/2027
(2)*(c)
16,566
530
PMV
Consumer
Acquisition
Corp.,
expiring
8/31/2027
*(c)
146,000
6,322
Pono
Capital
Corp.,
expiring
12/16/2022
(2)*(c)
89,775
8,080
Population
Health
Investment
Co.,
Inc.,
expiring
10/1/2025
(2)*(c)
38,400
998
Post
Holdings
Partnering
Corp.,
expiring
2/9/2023
*(c)
64,630
6,773
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
expiring
12/14/2028
(2)*(c)
159,558
23,998
PowerUp
Acquisition
Corp.,
expiring
2/18/2027
*(c)
226,462
24,933
Prime
Number
Acquisition
I
Corp.,
expiring
7/1/2027
(2)*(c)
17,850
893
Priveterra
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
31,100
2,046
Progress
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,500
4,026
PROOF
Acquisition
Corp.
I,
expiring
12/3/2028
*(c)
75,432
5,465
Property
Solutions
Acquisition
Corp.
II,
expiring
3/1/2026
(3)*(c)(e)
74,100
4,528
PropTech
Investment
Corp.
II,
expiring
12/31/2027
*(c)
57,659
9,220
PWP
Forward
Acquisition
Corp.
I,
expiring
3/9/2026
*(c)
32,333
3,861
Recharge
Acquisition
Corp.,
expiring
10/5/2027
*(c)
136,832
27
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
(2)*(c)
74,885
2,995
Relativity
Acquisition
Corp.,
expiring
2/11/2027
*(c)
89,748
5,385
Revolution
Healthcare
Acquisition
Corp.,
expiring
12/31/2028
*(c)
16,506
660
RF
Acquisition
Corp.,
expiring
5/1/2028
(2)*(c)
114,573
4,377
Rosecliff
Acquisition
Corp.
I,
expiring
12/31/2027
(2)*(c)
27,555
1,590
Roth
Ch
Acquisition
IV
Co.,
expiring
1/9/2023
*(c)
49,182
9,792
40
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Roth
CH
Acquisition
V
Co.,
expiring
12/10/2026
*(c)
14,143
1,416
RXR
Acquisition
Corp.,
expiring
3/8/2026
*(c)
18,500
464
Sanaby
Health
Acquisition
Corp.
I,
expiring
7/30/2028
*(c)
32,192
1,610
Sandbridge
X2
Corp.,
expiring
12/31/2027
(2)*(c)
27,500
1,100
Schultze
Special
Purpose
Acquisition
Corp.
II,
expiring
3/25/2028
(2)*(c)
31,865
4,142
Science
Strategic
Acquisition
Corp.
Alpha,
expiring
12/31/2027
(2)*(c)
27,494
1,267
SCP
&
CO
Healthcare
Acquisition
Co.,
expiring
1/27/2028
(2)*(c)
41,562
2,012
Seaport
Calibre
Materials
Acquisition
Corp.,
expiring
1/19/2023
*(c)
22,683
2,268
Seaport
Global
Acquisition
II
Corp.,
expiring
11/17/2026
*(c)
40,848
6,127
Senior
Connect
Acquisition
Corp.
I,
expiring
12/31/2027
*(c)
78,500
793
Shelter
Acquisition
Corp.
I,
expiring
12/31/2027
(2)*(c)
98,333
8,162
ShoulderUp
Technology
Acquisition
Corp.,
expiring
7/26/2023
(2)*(c)
108,870
7,675
Sierra
Lake
Acquisition
Corp.,
expiring
3/31/2028
*(c)
40,505
1,620
Signal
Hill
Acquisition
Corp.,
expiring
2/11/2027
(2)*(c)
44,930
5,014
Silver
Spike
Acquisition
Corp.
II,
expiring
2/26/2026
*(c)
20,000
600
Simon
Property
Group
Acquisition
Holdings,
Inc.,
expiring
2/4/2026
*(c)
16,600
1,076
Sizzle
Acquisition
Corp.,
expiring
3/12/2026
(2)*(c)
35,872
3,580
Social
Leverage
Acquisition
Corp.
I,
expiring
12/31/2027
*(c)
20,666
4,749
Southport
Acquisition
Corp.,
expiring
5/24/2028
*(c)
182,986
18,299
Spindletop
Health
Acquisition
Corp.,
expiring
12/31/2028
(2)*(c)
62,776
5,173
SportsMap
Tech
Acquisition
Corp.,
expiring
9/1/2027
*(c)
64,363
14,977
SportsTek
Acquisition
Corp.,
expiring
12/31/2027
*(c)
68,700
2,672
Springwater
Special
Situations
Corp.,
expiring
4/12/2026
*(c)
20,106
2,011
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Stratim
Cloud
Acquisition
Corp.,
expiring
3/5/2026
(2)*(c)
148,000
11,470
Sustainable
Development
Acquisition
I
Corp.,
expiring
12/31/2028
(2)*(c)
41,836
1,644
Tailwind
Acquisition
Corp.,
expiring
9/7/2027
*(c)
313,280
25,062
Tastemaker
Acquisition
Corp.,
expiring
12/31/2025
*(c)
72,083
7,129
TCW
Special
Purpose
Acquisition
Corp.,
expiring
12/31/2028
*(c)
136,813
8,209
Tech
and
Energy
Transition
Corp.,
expiring
12/31/2027
*(c)
123,333
6,167
TG
Venture
Acquisition
Corp.,
expiring
8/13/2023
*(c)
215,235
12,914
Thunder
Bridge
Capital
Partners
III,
Inc.,
expiring
2/15/2028
*(c)
16,818
1,682
Thunder
Bridge
Capital
Partners
IV,
Inc.,
expiring
3/12/2023
(2)*(c)
64,400
5,094
Tishman
Speyer
Innovation
Corp.
II,
expiring
12/31/2027
(2)*(c)
16,633
1,663
TLG
Acquisition
One
Corp.,
expiring
1/25/2028
*(c)
27,727
1,386
Trajectory
Alpha
Acquisition
Corp.,
expiring
12/31/2027
*(c)
54,960
5,496
Tuscan
Holdings
Corp.
II,
expiring
7/16/2025
*(c)
95,000
6,679
Twelve
Seas
Investment
Co.
II,
expiring
3/2/2028
(2)*(c)
32,933
1,864
USHG
Acquisition
Corp.,
expiring
12/31/2028
*(c)
41,285
2,060
VectoIQ
Acquisition
Corp.
II,
expiring
12/31/2027
(2)*(c)
31,400
3,768
Velocity
Acquisition
Corp.,
expiring
2/26/2027
(2)*(c)
27,541
1,380
Viscogliosi
Brothers
Acquisition
Corp.,
expiring
3/18/2027
(3)*(c)(e)
26,480
2,383
Vision
Sensing
Acquisition
Corp.,
expiring
3/24/2023
(2)*(c)
38,412
1,924
VMG
Consumer
Acquisition
Corp.,
expiring
7/3/2023
*(c)
90,393
6,328
VPC
Impact
Acquisition
Holdings
II,
expiring
12/31/2027
(3)*(c)(e)
26,666
1,600
Warburg
Pincus
Capital
Corp.
I-B,
expiring
3/9/2026
*(c)
12,000
756
Western
Acquisition
Ventures
Corp.,
expiring
1/12/2027
(2)*(c)
67,539
3,377
41
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.2%
(continued)
Williams
Rowland
Acquisition
Corp.,
expiring
12/25/2022
*(c)
115,833
6,857
Yotta
Acquisition
Corp.,
expiring
3/15/2027
*(c)
68,693
2,727
Zimmer
Energy
Transition
Acquisition
Corp.,
expiring
5/14/2023
(2)*(c)
160,666
44,986
Z-Work
Acquisition
Corp.,
expiring
1/4/2026
*(c)
27,555
964
2,623,531
Consumer
Finance
-
0.0%
(a)
Moneylion,
Inc.,
expiring
9/22/2026
*
121,895
14,591
Electrical
Equipment
-
0.0%
(a)
Eos
Energy
Enterprises,
Inc.,
expiring
5/6/2026
*
96,444
40,506
Fusion
Fuel
Green
plc,
expiring
12/10/2025
(Ireland)
*
11,028
11,690
52,196
Electronic
Equipment,
Instruments
&
Components
-
0.1%
Innoviz
Technologies
Ltd.,
expiring
4/5/2026
(Israel)
*
74,766
164,485
Velodyne
Lidar,
Inc.,
expiring
9/29/2025
*
99,736
41,480
205,965
Energy
Equipment
&
Services
-
0.0%
(a)
National
Energy
Services
Reunited
Corp.,
expiring
6/6/2023
*
307,319
44,285
Food
Products
-
0.0%
(a)
Westrock
Coffee
Holdings
LLC,
expiring
8/29/2027
*
97,537
137,527
Health
Care
Equipment
&
Supplies
-
0.0%
(a)
FOXO
Technologies,
Inc.,
expiring
8/1/2027
*
43,711
4,371
Hotels,
Restaurants
&
Leisure
-
0.0%
(a)
Hall
of
Fame
Resort
&
Entertainment
Co.,
expiring
7/1/2025
*
113,602
7,384
Household
Durables
-
0.0%
(a)
Landsea
Homes
Corp.,
expiring
1/7/2026
*
180,410
28,306
Insurance
-
0.0%
(a)
International
General
Insurance
Holdings
Ltd.,
expiring
3/17/2025
(Jordan)
*
193,007
111,944
Sagicor
Financial
Co.
Ltd.,
expiring
12/5/2024
(Canada)
(3)*(e)
124,500
4,507
116,451
Interactive
Media
&
Services
-
0.0%
(a)
Leafly
Holdings,
Inc.,
expiring
11/7/2026
*
33,787
5,737
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Internet
&
Direct
Marketing
Retail
-
0.0%
(a)
BARK,
Inc.,
expiring
8/29/2025
*
146,666
39,600
IT
Services
-
0.0%
(a)
American
Virtual
Cloud
Technologies,
Inc.,
expiring
4/7/2025
*(b)
69,099
2,577
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.0%
(a)
Broadmark
Realty
Capital,
Inc.,
expiring
11/15/2024
(2)*
266,402
15,212
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Brooge
Energy
Ltd.,
expiring
12/20/2024
(United
Arab
Emirates)
(2)*
78,205
21,115
Sitio
Royalties
Corp.,
expiring
8/23/2023
*
325,846
55,427
76,542
Pharmaceuticals
-
0.0%
(a)
Biote
Corp.,
expiring
2/12/2027
*
3,000
1,025
Reviva
Pharmaceuticals
Holdings,
Inc.,
expiring
12/25/2025
*
32,704
6,246
7,271
Real
Estate
Management
&
Development
-
0.0%
(a)
Doma
Holdings,
Inc.,
expiring
7/28/2026
*
39,989
2,199
Offerpad
Solutions,
Inc.,
expiring
9/1/2026
*
21,024
3,520
5,719
Software
-
0.0%
(a)
NextNav,
Inc.,
expiring
10/28/2026
(2)*
51,071
27,568
Nogin,
Inc.,
expiring
8/26/2027
*
91,631
8,247
Otonomo
Technologies
Ltd.,
expiring
8/13/2026
(Israel)
*
253,429
10,137
Rimini
Street,
Inc.,
expiring
10/22/2022
(3)*(e)
268,367
2,684
SoundHound
AI,
Inc.,
expiring
12/31/2027
*
3,026
393
49,029
Specialty
Retail
-
0.0%
(a)
Kaixin
Auto
Holdings,
expiring
4/30/2024
(Hong
Kong)
(2)*
32,404
1,102
Technology
Hardware,
Storage
&
Peripherals
-
0.0%
(a)
CompoSecure,
Inc.,
expiring
10/31/2025
*
103,361
82,689
Transportation
Infrastructure
-
0.0%
(a)
Sky
Harbour
Group
Corp.,
expiring
10/21/2025
*
8,032
2,952
TOTAL
WARRANTS
(Cost
$1,343,651)
3,663,450
42
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
UNITS
VALUE
($)
SECURITIES
IN
LITIGATION
-
0.0%
Health
Care
Equipment
&
Supplies
-
0.0%
DEMC
Ltd.,
Class
A
(acquired
1/24/2014
-
10/29/2015,
Cost
$129,686)
(3)*(e)(f)
12,969
–
DEMC
Ltd.,
Class
A-2
(acquired
3/10/2016
-
12/18/2018,
Cost
$369,930)
(3)*(e)(f)
368,190,309
–
DEMC
Ltd.,
Class
A-3
(acquired
8/6/2019
-
7/16/2021,
Cost
$293,744)
(3)*(e)(f)
292,030,544,028
–
DEMC
Ltd.,
Class
A-4
(acquired
1/31/2022,
Cost
$4,032)
(3)*(e)(f)
40,321,771,424,070
–
DEMC
Ltd.,
Class
B
(acquired
1/27/2014,
Cost
$11)
(3)*(e)(f)
10,488
–
DEMC
Ltd.,
Class
B-2
(acquired
4/12/2017,
Cost
$–)
(3)*(e)(f)
513,897,326
–
DEMC
Ltd.,
Class
B-3
(acquired
9/5/2019,
Cost
$–)
(3)*(e)(f)
489,352,292,604
–
DEMC
Ltd.,
Class
B-4
(acquired
1/31/2022,
Cost
$–)
(3)*(e)(f)
40,321,771,424,070
–
TOTAL
SECURITIES
IN
LITIGATION
(Cost
$797,403)
–
UNITS
-
0.2%
Capital
Markets
-
0.2%
EF
Hutton
Acquisition
Corp.
I
*(c)
34,096
343,347
Feutune
Light
Acquisition
Corp.
*(c)
94,079
5,645
Global
Star
Acquisition,
Inc.
*(c)
50,064
501,641
Liberty
Media
Acquisition
Corp.
*(c)
3
30
Mobiv
Acquisition
Corp.
(2)*(c)
101,917
1,031,400
Pono
Capital
Two,
Inc.
*(c)
92,094
932,912
Qomolangma
Acquisition
Corp.
*(c)
23,684
236,603
TOTAL
UNITS
(Cost
$3,018,550)
3,051,578
SHARES
SHORT-TERM
INVESTMENTS
-
61.3%
INVESTMENT
COMPANIES
-
39.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(h)(i)
3,145,978
3,145,978
Limited
Purpose
Cash
Investment
Fund,
2.57%
(h)(j)
592,182,399
591,886,308
TOTAL
INVESTMENT
COMPANIES
(Cost
$594,913,740)
595,032,286
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
21.6%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(2)(k)(l)
$
65,284,000
65,270,657
1.23%,
10/13/2022
(2)(k)(l)
20,288,000
20,273,333
1.39%,
11/10/2022
(2)(k)(l)
12,487,000
12,451,363
1.54%,
11/25/2022
(2)(k)(l)
13,336,000
13,280,756
1.59%,
12/1/2022
(2)(k)(l)
14,168,000
14,100,488
1.72%,
12/8/2022
(2)(k)(l)
3,352,000
3,333,864
3.09%,
2/9/2023
(2)(k)(l)
33,488,000
33,061,845
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
21.6%
(continued)
3.07%,
2/16/2023
(2)(k)(l)
$
33,355,000
32,911,138
3.73%,
3/9/2023
(2)(k)
70,000,000
68,863,095
3.53%,
3/16/2023
(2)(k)(l)
12,707,000
12,493,318
3.85%,
3/23/2023
(2)(k)(l)
45,461,000
44,670,120
3.93%,
3/30/2023
(2)(k)(l)
3,029,000
2,971,749
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$323,871,917)
323,681,726
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$918,785,657)
918,714,012
TOTAL
LONG
POSITIONS
(Cost
$1,745,390,304)
1,672,538,938
SHARES
SHORT
POSITIONS
-
(4.5)%
COMMON
STOCKS
-
(4.0)%
Aerospace
&
Defense
–
(0.0)%
(a)
Virgin
Galactic
Holdings,
Inc.
(146,019)
(687,750)
Airlines
–
(0.0)%
(a)
JetBlue
Airways
Corp.
(31,944)
(211,789)
Auto
Components
–
(0.0)%
(a)
Luminar
Technologies,
Inc.
(61,258)
(446,265)
Automobiles
–
(0.0)%
(a)
Arrival
SA
(Luxembourg)
(4,779)
(3,858)
Biotechnology
-
(0.3)%
Cytokinetics,
Inc.
(88,977)
(4,310,936)
Inovio
Pharmaceuticals,
Inc.
(28,391)
(48,974)
(4,359,910)
Capital
Markets
–
(0.0)%
Penson
Worldwide,
Inc.
(3)(e)
(212,307)
–
Communications
Equipment
-
(0.5)%
Infinera
Corp.
(942,208)
(4,560,287)
Lumentum
Holdings,
Inc.
(47,945)
(3,287,588)
(7,847,875)
Consumer
Finance
-
(0.1)%
EZCORP,
Inc.,
Class
A
(118,193)
(911,268)
Diversified
Consumer
Services
–
(0.0)%
(a)
2U,
Inc.
(6,449)
(40,306)
Diversified
Telecommunication
Services
-
(0.1)%
Bandwidth,
Inc.,
Class
A
(758)
(9,020)
TELUS
Corp.
(Canada)
(82,126)
(1,630,808)
(1,639,828)
Electrical
Equipment
-
(0.4)%
Array
Technologies,
Inc.
(354,854)
(5,883,479)
Energy
Equipment
&
Services
-
(0.1)%
Helix
Energy
Solutions
Group,
Inc.
(198,197)
(765,040)
Entertainment
–
(0.0)%
(a)
Sea
Ltd.,
ADR
(Singapore)
(636)
(35,648)
43
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
(0.6)%
Cutera,
Inc.
(144,048)
(6,568,589)
Varex
Imaging
Corp.
(98,745)
(2,087,469)
(8,656,058)
Health
Care
Providers
&
Services
-
(0.1)%
Guardant
Health,
Inc.
(17,061)
(918,394)
Hotels,
Restaurants
&
Leisure
-
(0.3)%
Airbnb,
Inc.,
Class
A
(7,572)
(795,363)
DraftKings,
Inc.,
Class
A
(20,644)
(312,550)
MakeMyTrip
Ltd.
(India)
(14,007)
(430,015)
Norwegian
Cruise
Line
Holdings
Ltd.
(171,619)
(1,949,592)
Royal
Caribbean
Cruises
Ltd.
(23,800)
(902,020)
(4,389,540)
Household
Durables
–
(0.0)%
(a)
GoPro,
Inc.,
Class
A
(54,200)
(267,206)
Independent
Power
and
Renewable
Electricity
Producers
-
(0.3)%
Sunnova
Energy
International,
Inc.
(210,103)
(4,639,074)
Interactive
Media
&
Services
–
(0.0)%
(a)
Eventbrite,
Inc.,
Class
A
(36,099)
(219,482)
Snap,
Inc.,
Class
A
(38,656)
(379,602)
(599,084)
Internet
&
Direct
Marketing
Retail
-
(0.3)%
Etsy,
Inc.
(21,646)
(2,167,414)
Farfetch
Ltd.,
Class
A
(United
Kingdom)
(148,145)
(1,103,680)
Fiverr
International
Ltd.
(1,137)
(34,781)
Groupon,
Inc.
(1,913)
(15,228)
Porch
Group,
Inc.
(2,504)
(5,634)
Wayfair,
Inc.,
Class
A
(38,633)
(1,257,504)
(4,584,241)
IT
Services
-
(0.1)%
DigitalOcean
Holdings,
Inc.
(3,580)
(129,489)
Fastly,
Inc.,
Class
A
(532)
(4,873)
Repay
Holdings
Corp.
(11,362)
(80,216)
Shift4
Payments,
Inc.,
Class
A
(27,015)
(1,205,139)
Shopify,
Inc.,
Class
A
(Canada)
(1,961)
(52,829)
(1,472,546)
Machinery
-
(0.1)%
Greenbrier
Cos.,
Inc.
(The)
(72,724)
(1,765,011)
Media
-
(0.3)%
Cable
One,
Inc.
(187)
(159,520)
Paramount
Global,
Class
A
(104,295)
(2,246,514)
TechTarget,
Inc.
(27,732)
(1,641,735)
(4,047,769)
Metals
&
Mining
–
(0.0)%
(a)
Ivanhoe
Mines
Ltd.,
Class
A
(Canada)
(45,928)
(295,580)
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
(0.2)%
Innoviva,
Inc.
(206,758)
(2,400,460)
Real
Estate
Management
&
Development
–
(0.0)%
(a)
Anywhere
Real
Estate,
Inc.
(43,986)
(356,727)
Redfin
Corp.
(892)
(5,209)
(361,936)
Road
&
Rail
–
(0.0)%
(a)
Lyft,
Inc.,
Class
A
(48,253)
(635,492)
Software
-
(0.2)%
8x8,
Inc.
(357,822)
(1,234,486)
Confluent,
Inc.,
Class
A
(11,856)
(281,817)
Coupa
Software,
Inc.
(5,771)
(339,335)
Marathon
Digital
Holdings,
Inc.
(4,139)
(44,329)
NortonLifeLock,
Inc.
(17,724)
(356,961)
Unity
Software,
Inc.
(610)
(19,434)
Veritone,
Inc.
(4,106)
(23,117)
(2,299,479)
Technology
Hardware,
Storage
&
Peripherals
–
(0.0)%
(a)
3D
Systems
Corp.
(48,182)
(384,492)
TOTAL
COMMON
STOCKS
(Proceeds
$(82,077,480))
(60,549,378)
PRINCIPAL
AMOUNT
CONVERTIBLE
BONDS
-
(0.5)%
Hotels,
Restaurants
&
Leisure
-
(0.5)%
Booking
Holdings,
Inc.
0.75%,
5/1/2025
(2)
(Proceeds
$(7,042,010))
$
(6,200,000)
(7,448,060)
TOTAL
SHORT
POSITIONS
(Proceeds
$(89,119,490))
(67,997,438)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
107.1%
(Cost
$1,656,270,814)
1,604,541,500
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(7.1)%
(m)
(106,507,898)
NET
ASSETS
-
100.0%
1,498,033,602
44
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$283,876,073.
In
addition,
$4,177,376
of
cash
collateral
was
pledged.
(c)
Special
Purpose
Acquisition
Company.
(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
September
30,
2022
amounted
to
$139,589,346,
which
represents
9.32%
of
net
assets
of
the
fund.
(e)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$973,532,
which
represents
0.06%
of
net
assets
of
the
fund.
(f)
Restricted
securities.
Securities
acquired
through
a
private
placement
transaction
exempt
from
registration
under
the
Securities
Act
of 1933
and/
or may
be
subject
to
legal
or
contractual
restrictions
on
resale
(excluding
144A
securities).
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$282,452
which
represents
0.02%
of
net
assets
of
the
fund.
(g)
Defaulted
security.
(h)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
For
the
period
ended
September
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(k)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(l)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(m)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
50,002,859
3.4
%
Consumer
Discretionary
49,957,618
3.3
Consumer
Staples
17,493,838
1.2
Energy
2,776,200
0.2
Financials
346,740,740
23.1
Health
Care
100,241,363
6.7
Industrials
27,474,364
1.8
Information
Technology
65,881,517
4.4
Materials
10,163,405
0.7
Real
Estate
9,533,340
0.6
Utilities
5,562,244
0.4
Investment
Companies
595,032,286
39.7
U.S.
Treasury
Obligations
323,681,726
21.6
Total
Investments
In
Securities
At
Value
1,604,541,500
107.1
Liabilities
in
Excess
of
Other
Assets
(m)
(106,507,898)
(7.1)
Net
Assets
$
1,498,033,602
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2022
Shares
Held
At
9/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
39.5%
INVESTMENT
COMPANIES
-
39.5%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(a)
(Cost
$591,767,762)
$382,197,517
$1,219,335,158
$(1,009,622,818)
$(142,062)
$118,513
$591,886,308
592,182,399
$2,930,078
$86
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
All
bonds
are
denominated
in
US
dollars,
unless
noted
otherwise.
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
45
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
(3)
Level
3
security.
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
September
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
%
Quarterly
12/20/2027
6.07
%
USD
107,375,000
$
5,199,719
$
(957,167)
$
4,242,552
$
5,199,719
$
(957,167)
$
4,242,552
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
U.S.
Treasury
2
Year
Note
6,534
12/2022
USD
$
1,341,562,919
$
(11,968,378)
(11,968,378)
Short
Contracts
S&P
500
E-Mini
Index
(1)
12/2022
USD
(180,075)
21,075
S&P
500
E-Mini
Index
(56)
12/2022
USD
(10,084,200)
846,864
S&P
500
E-Mini
Index
(57)
12/2022
USD
(10,264,275)
(4,120)
U.S.
Treasury
10
Year
Note
(156)
12/2022
USD
(17,481,750)
784,871
U.S.
Treasury
5
Year
Note
(1,230)
12/2022
USD
(132,157,734)
3,906,435
5,555,125
$
(6,413,253)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
24,869,430
CAD
32,516,363
CITI
12/21/2022
$
1,320,819
USD
15,268,253
CAD
19,922,208
JPMC
12/21/2022
840,430
USD
1,035,173
EUR
1,030,272
CITI
12/21/2022
19,056
USD
1,035,167
EUR
1,030,268
JPMC
12/21/2022
19,054
USD
8,835,612
SEK
92,995,286
CITI
12/21/2022
412,609
USD
8,835,601
SEK
92,995,282
JPMC
12/21/2022
412,598
Total
unrealized
appreciation
3,024,566
CAD
1,536,302
USD
1,163,150
CITI
12/21/2022
(50,547)
CAD
1,536,297
USD
1,163,147
JPMC
12/21/2022
(50,549)
Total
unrealized
depreciation
(101,096)
Net
unrealized
appreciation
$
2,923,470
46
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-32
months
maturity
ranging
from
01/25/2023
-
07/11/2024
$123,355
$1,500
$50,437
$51,937
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52
months
maturity
12/29/2026
$826,830
$(473,967)
$(828,315)
$(1,302,282)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.07%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
57-61
months
maturity
ranging
from
09/06/2024
-
10/15/2026
$13,225,612
$(3,379,664)
$665,096
$(2,714,568)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.03%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
10/06/2027
$356,961
$356,961
$–
$356,961
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Floating
Rate
plus
or
minus
a
specified
spread
(-1.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
40-61
months
maturity
07/03/2023
$231,033
$56,669
$(39,137)
$17,532
47
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
fixed
income
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.32%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
43
months
maturity
06/25/2025
$228,292,706
$(49,772,853)
$1,678,604
$(48,094,249)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Convertible
Bonds
Hong
Kong
Seaspan
Corp.,
3.75%,
12/15/2025
5,725,000
6,735,838
(262,328)
0.5
United
States
1Life
Healthcare,
Inc.,
3.00%,
6/15/2025
6,925,000
6,761,241
(789,369)
1.6
Alteryx,
Inc.,
1.00%,
8/1/2026
3,610,000
2,912,034
(865,817)
1.8
American
Airlines
Group,
Inc.,
6.50%,
7/1/2025
15,500,000
15,883,625
(5,978,672)
12.4
Artivion,
Inc.,
4.25%,
7/1/2025
1,950,000
1,847,582
(188,280)
0.4
Bandwidth,
Inc.,
0.50%,
4/1/2028
9,255,000
5,404,920
(2,774,899)
5.8
Cable
One,
Inc.,
0.00%,
3/15/2026
7,050,000
5,354,475
(1,875,300)
3.9
Ceridian
HCM
Holding,
Inc.,
0.25%,
3/15/2026
3,693,000
2,978,812
(647,201)
1.3
Chegg,
Inc.,
0.00%,
9/1/2026
12,745,000
9,609,525
(4,817,419)
10.0
Coherus
Biosciences,
Inc.,
1.50%,
4/15/2026
7,600,000
5,990,139
(2,833,712)
5.9
Dropbox,
Inc.,
0.00%,
3/1/2028
5,500,000
4,675,000
(1,465,750)
3.0
Dropbox,
Inc.,
0.00%,
3/1/2026
4,395,000
3,821,452
(722,976)
1.5
Exact
Sciences
Corp.,
0.38%,
3/1/2028
11,850,000
7,498,808
(3,777,149)
7.9
Exact
Sciences
Corp.,
0.38%,
3/15/2027
2,650,000
1,833,844
(1,024,911)
2.1
GEO
Corrections
Holdings,
Inc.,
6.50%,
2/23/2026
4,635,000
4,991,370
709,514
(1.5)
Granite
Point
Mortgage
Trust,
Inc.,
6.38%,
10/1/2023
(a)
1,900,000
1,912,112
438,845
(0.9)
Green
Plains,
Inc.,
2.25%,
3/15/2027
5,650,000
6,466,394
(1,236,602)
2.6
Inotiv,
Inc.,
3.25%,
10/15/2027
4,750,000
3,847,609
(1,672,689)
3.5
Invacare
Corp.,
4.25%,
3/15/2026
2,725,000
1,267,178
(1,573,956)
3.3
Ironwood
Pharmaceuticals,
Inc.,
1.50%,
6/15/2026
3,400,000
3,468,179
(634,856)
1.3
Liberty
TripAdvisor
Holdings,
Inc.,
0.50%,
6/30/2051
2,550,000
1,814,360
(678,974)
1.4
MACOM
Technology
Solutions
Holdings,
Inc.,
0.25%,
3/15/2026
3,725,000
3,497,255
(395,087)
0.8
Magnite,
Inc.,
0.25%,
3/15/2026
7,450,000
5,513,823
(967,319)
2.0
Oak
Street
Health,
Inc.,
0.00%,
3/15/2026
10,250,000
7,846,375
(2,136,408)
4.4
Okta,
Inc.,
0.38%,
6/15/2026
7,570,000
5,886,481
(614,400)
1.3
Opendoor
Technologies,
Inc.,
0.25%,
8/15/2026
11,725,000
6,517,608
(2,424,650)
5.0
PetIQ,
Inc.,
4.00%,
6/1/2026
2,975,000
2,452,392
(1,812,336)
3.8
Prospect
Capital
Corp.,
6.38%,
3/1/2025
(a)
2,443,000
2,495,728
25,346
(0.1)
Redfin
Corp.,
0.00%,
10/15/2025
8,050,000
4,684,295
(3,482,430)
7.2
RingCentral,
Inc.,
0.00%,
3/15/2026
4,475,000
3,441,275
(890,973)
1.9
Splunk,
Inc.,
1.13%,
6/15/2027
8,500,000
6,715,838
(1,894,846)
3.9
Spotify
USA,
Inc.,
0.00%,
3/15/2026
9,000,000
7,065,000
(1,215,000)
2.5
Stride,
Inc.,
1.13%,
9/1/2027
15,750,000
15,993,059
1,038,162
(2.2)
Wayfair,
Inc.,
0.63%,
10/1/2025
13,000,000
8,750,667
(5,065,503)
10.5
WisdomTree
Investments,
Inc.,
4.25%,
6/15/2023
4,400,000
4,391,930
45,355
(0.1)
48
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Canada
Atlas
Corp.
(291,487)
(4,051,669)
(51,105)
0.1
United
States
American
Airlines
Group,
Inc.
(528,148)
(6,358,902)
962,632
(2.0)
Artivion,
Inc.
(32,619)
(451,447)
185,429
(0.4)
Coherus
Biosciences,
Inc.
(163,521)
(1,571,437)
208,711
(0.4)
Dropbox,
Inc.
(114,377)
(2,369,891)
182,068
(0.4)
Exact
Sciences
Corp.
(36,974)
(1,201,285)
356,001
(0.7)
GEO
Group,
Inc.
(The)
(346,748)
(2,669,960)
(152,000)
0.3
Green
Plains,
Inc.
(126,792)
(3,685,843)
399,093
(0.8)
Inotiv,
Inc.
(45,952)
(774,291)
99,344
(0.2)
Ironwood
Pharmaceuticals,
Inc.
(142,353)
(1,474,777)
188,516
(0.4)
MACOM
Technology
Solutions
Holdings,
Inc.
(21,896)
(1,133,994)
151,992
(0.3)
Oak
Street
Health,
Inc.
(23,548)
(577,397)
63,717
(0.1)
Splunk,
Inc.
(6,431)
(483,611)
168,354
(0.4)
Stride,
Inc.
(191,912)
(8,066,061)
(636,339)
1.3
WisdomTree
Investments,
Inc.
(203,195)
(950,953)
115,022
(0.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.03%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
48-61
months
maturity
ranging
from
08/05/2026
-
09/29/2027
$21,937,171
$(156,749)
$4,905
$(151,844)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Mediclinic
International
plc
137,717
755,046
(3,047)
2.0
United
Kingdom
AVEVA
Group
plc
70,369
2,427,889
(16,510)
10.9
Biffa
plc
181,429
834,607
10,306
(6.8)
Countryside
Partnerships
plc
1,225,090
2,718,236
(399,691)
263.2
EMIS
Group
plc
65,672
1,379,074
(2,389)
1.6
Euromoney
Institutional
Investor
plc
128,129
2,048,661
(21,907)
14.4
HomeServe
plc
402,917
5,308,742
(44,794)
29.5
Micro
Focus
International
plc
764,871
4,410,437
(30,450)
20.1
49
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
Kingdom
Vistry
Group
plc
(312,398)
(2,054,479)
351,733
(231.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.41%
to
0.03%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/23/2025
-
09/29/2027
$813,442,008
$(20,788,731)
$4,438,884
$(16,349,847)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Sierra
Wireless,
Inc.
251,007
7,640,653
(66,619)
0.4
Yamana
Gold,
Inc.
3,241,509
14,684,036
(2,100,910)
12.8
Israel
ironSource
Ltd.
2,394,956
8,238,649
(413,456)
2.5
Tower
Semiconductor
Ltd.
312,084
13,712,971
(949,094)
5.8
Taiwan
Silicon
Motion
Technology
Corp.,
ADR
240,170
15,656,682
(5,910,616)
36.2
United
States
1Life
Healthcare,
Inc.
1,285,887
22,052,962
175,483
(1.1)
Activision
Blizzard,
Inc.
420,797
31,282,049
(2,341,968)
14.3
Aerie
Pharmaceuticals,
Inc.
615,985
9,319,853
20,081
(0.1)
Alleghany
Corp.
37,985
31,883,469
132,784
(0.8)
Atlas
Air
Worldwide
Holdings,
Inc.
192,834
18,429,145
(817,997)
5.0
Avalara,
Inc.
226,913
20,830,613
(21,864)
0.1
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
81,833
12,370,695
677,028
(4.1)
Black
Knight,
Inc.
297,801
19,276,659
(1,007,799)
6.2
ChannelAdvisor
Corp.
142,463
3,228,212
(19,740)
0.1
ChemoCentryx,
Inc.
371,265
19,179,550
367,916
(2.3)
Covetrus,
Inc.
777,243
16,228,834
119,474
(0.7)
Cowen,
Inc.
165,409
6,391,404
37,962
(0.2)
Duke
Realty
Corp.
562,205
27,098,281
(4,800,153)
29.4
Evo
Payments,
Inc.
193,827
6,454,439
(20,282)
0.1
First
Horizon
Corp.
1,272,130
29,131,777
(840,980)
5.1
Flagstar
Bancorp,
Inc.
336,516
11,239,634
(4,368,595)
26.7
Forma
Therapeutics
Holdings,
Inc.
191,538
3,821,183
(341)
0.0
Global
Blood
Therapeutics,
Inc.
410,726
27,970,441
546,503
(3.3)
iRobot
Corp.
316,446
17,825,403
(1,038,647)
6.4
LHC
Group,
Inc.
175,671
28,750,316
(489,769)
3.0
50
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Meridian
Bioscience,
Inc.
299,984
9,458,496
(417,686)
2.6
MoneyGram
International,
Inc.
1,214,200
12,627,680
(349,324)
2.1
Nielsen
Holdings
plc
624,370
17,307,536
476,846
(2.9)
Ping
Identity
Holding
Corp.
559,525
15,705,867
40,151
(0.2)
PNM
Resources,
Inc.
374,371
17,119,986
(956,629)
5.9
Resolute
Forest
Products,
Inc.
230,887
4,617,740
(3,983)
0.0
Rogers
Corp.
57,781
13,976,068
(1,629,859)
10.0
Signify
Health,
Inc.
986,499
28,756,446
8,974
(0.1)
South
Jersey
Industries,
Inc.
541,407
18,093,822
(354,066)
2.2
Spirit
Airlines,
Inc.
543,089
10,220,935
(3,535,187)
21.6
STORE
Capital
Corp.
667,488
20,912,399
(345,752)
2.1
Switch,
Inc.
1,060,070
35,713,758
111,011
(0.7)
TEGNA,
Inc.
801,463
16,574,255
(1,491,658)
9.1
Tenneco,
Inc.
509,434
8,859,057
(943,496)
5.8
Twitter,
Inc.
268,044
11,751,049
(1,508,487)
9.2
Umpqua
Holdings
Corp.
446,632
7,632,941
(1,073,151)
6.6
VMware,
Inc.
258,972
27,570,159
(3,653,312)
22.3
Zendesk,
Inc.
226,075
17,204,308
346,087
(2.1)
Short
Positions
Common
Stocks
South
Africa
Gold
Fields
Ltd.,
ADR
(1,945,137)
(15,736,158)
2,439,136
(14.9)
United
States
Broadcom,
Inc.
(29,078)
(12,910,923)
2,344,940
(14.3)
Columbia
Banking
System,
Inc.
(266,103)
(7,687,716)
1,159,429
(7.1)
Intercontinental
Exchange,
Inc.
(42,884)
(3,874,569)
271,954
(1.7)
New
York
Community
Bancorp,
Inc.
(1,351,145)
(11,525,267)
4,726,560
(28.9)
Prologis,
Inc.
(266,953)
(27,122,425)
5,128,926
(31.4)
Unity
Software,
Inc.
(260,811)
(8,309,438)
838,641
(5.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(0.10%
to
0.11%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/16/2025
-
07/30/2027
$288,944,820
$2,172,034
$(3,920,444)
$(1,748,410)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
51
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Acropolis
Infrastructure
Acquisition
Corp.
420,999
4,085,795
14,735
(0.8)
Aequi
Acquisition
Corp.
321,000
3,206,790
47,310
(2.7)
AF
Acquisition
Corp.
278,582
2,727,318
47,359
(2.7)
Alpha
Healthcare
Acquisition
Corp.
III
358,249
3,475,015
(3,583)
0.2
Athena
Technology
Acquisition
Corp.
II
638,232
6,286,585
12,765
(0.7)
Atlantic
Coastal
Acquisition
Corp.
404,654
3,973,702
76,884
(4.4)
Atlantic
Coastal
Acquisition
Corp.
II
413,262
4,140,885
8,265
(0.5)
Banyan
Acquisition
Corp.
334,458
3,341,235
–
0.0
Big
Sky
Growth
Partners,
Inc.
332,484
3,251,694
24,936
(1.4)
Build
Acquisition
Corp.
305,000
2,995,100
48,800
(2.8)
BurTech
Acquisition
Corp.
514,142
5,141,420
5,141
(0.3)
Churchill
Capital
Corp.
VI
1,073,397
10,552,566
(4,294)
0.2
Churchill
Capital
Corp.
VII
1,136,651
11,173,279
22,733
(1.3)
Concord
Acquisition
Corp.
II
286,392
2,775,138
14,320
(0.8)
Concord
Acquisition
Corp.
III
430,468
4,317,594
47,351
(2.7)
East
Resources
Acquisition
Co.
338,000
3,393,520
101,400
(5.8)
EG
Acquisition
Corp.
366,998
3,589,204
18,313
(1.0)
FTAC
Zeus
Acquisition
Corp.
255,030
2,563,052
68,858
(3.9)
Glenfarne
Merger
Corp.
346,661
3,400,744
(1,733)
0.1
Golden
Arrow
Merger
Corp.
382,886
3,763,769
30,631
(1.8)
Gores
Holdings
IX,
Inc.
1,656,294
16,032,926
91,096
(5.2)
Graf
Acquisition
Corp.
IV
365,000
3,558,750
(3,650)
0.2
Group
Nine
Acquisition
Corp.
336,668
3,329,647
13,467
(0.8)
GX
Acquisition
Corp.
II
412,998
4,053,575
64,015
(3.7)
Healthwell
Acquisition
Corp.
I
279,200
2,705,448
25,128
(1.4)
Heartland
Media
Acquisition
Corp.
400,846
3,992,426
–
0.0
Hennessy
Capital
Investment
Corp.
VI
697,470
6,814,282
118,570
(6.8)
IG
Acquisition
Corp.
265,000
2,652,650
45,050
(2.6)
IRON
SPARK
I,
Inc.
289,000
2,861,100
(8,670)
0.5
Jackson
Acquisition
Co.
449,953
4,481,532
22,498
(1.3)
Kadem
Sustainable
Impact
Corp.
303,094
2,979,414
63,650
(3.6)
Kimbell
Tiger
Acquisition
Corp.
371,544
3,763,741
18,577
(1.1)
KnightSwan
Acquisition
Corp.
334,038
3,330,359
(1,670)
0.1
Landcadia
Holdings
IV,
Inc.
329,046
3,231,232
39,486
(2.3)
M3-Brigade
Acquisition
II
Corp.
1,225,099
12,018,344
98,130
(5.6)
M3-Brigade
Acquisition
III
Corp.
449,013
4,521,561
71,842
(4.1)
Marblegate
Acquisition
Corp.
1,146,775
11,421,879
143,347
(8.2)
Nabors
Energy
Transition
Corp.
254,188
2,554,589
25,419
(1.5)
Osiris
Acquisition
Corp.
408,000
3,978,000
48,960
(2.8)
Papaya
Growth
Opportunity
Corp.
I
413,288
4,145,279
24,797
(1.4)
Pine
Technology
Acquisition
Corp.
639,999
6,297,590
118,400
(6.8)
Power
&
Digital
Infrastructure
Acquisition
II
Corp.
604,151
5,993,178
42,291
(2.4)
PowerUp
Acquisition
Corp.
452,924
4,592,649
58,880
(3.4)
Property
Solutions
Acquisition
Corp.
II
296,400
2,907,684
33,532
(1.9)
Research
Alliance
Corp.
II
325,366
3,195,094
3,254
(0.2)
Southport
Acquisition
Corp.
365,972
3,667,039
25,618
(1.5)
Stratim
Cloud
Acquisition
Corp.
444,000
4,351,200
71,040
(4.1)
Tech
and
Energy
Transition
Corp.
367,499
3,623,540
62,475
(3.6)
Thunder
Bridge
Capital
Partners
IV,
Inc.
322,000
3,133,060
3,220
(0.2)
Zimmer
Energy
Transition
Acquisition
Corp.
481,998
4,713,940
14,460
(0.8)
(a)
Security
fair
valued
using
significant
unobservable
inputs
as
of
September
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
52
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
(a)
For
the
period
ended
September
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(b)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(c)
Represents
less
than
0.05%
of
net
assets.
INVESTMENTS
SHARES
VALUE
($)
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
78.0%
AQR
Diversified
Arbitrage
Fund,
Class
R6
(a)
1,532,510
17,823,094
AQR
Equity
Market
Neutral
Fund,
Class
R6
(a)
3,194,103
26,734,642
AQR
Macro
Opportunities
Fund,
Class
R6
(a)
1,524,645
17,823,094
AQR
Managed
Futures
Strategy
HV
Fund,
Class
R6
(a)
1,807,616
17,823,095
AQR
Style
Premia
Alternative
Fund,
Class
R6
(a)
3,205,593
26,734,642
TOTAL
ALTERNATIVE
FUNDS
(Cost
$99,193,038)
106,938,567
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund,
Class
R6
(a)
(Cost
$29,486,364)
3,050,072
27,420,146
TOTAL
INVESTMENT
COMPANIES
(Cost
$128,679,402)
134,358,713
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
2.0%
INVESTMENT
COMPANIES
-
2.0%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(b)
(Cost
$2,759,339)
2,761,063
2,759,682
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$131,438,741)
137,118,395
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
0.0%
(c)
(7,203)
NET
ASSETS
-
100.0%
137,111,192
SECTOR
VALUE
%
OF
NET
ASSETS
Equity
Market
Neutral
$
26,734,642
19.5
%
Global
Flex
Allocation
27,420,146
20.0
Global
Macro
17,823,094
13.0
Multi-Strategy
26,734,642
19.5
Relative
Value
Arbitrage
17,823,094
13.0
Systematic
Trend
17,823,095
13.0
Investment
Companies
2,759,682
2.0
Total
Investments
In
Securities
At
Value
137,118,395
100.0
Liabilities
in
Excess
of
Other
Assets
(7,203)
0.0
(
c
)
Net
Assets
$
137,111,192
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2022
Shares
Held
At
9/30/2022
Dividend
Income
Capital
Gain
Distributions
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
78.0%
AQR
Diversified
Arbitrage
Fund
$
5,060,167
$
17,707,764
$
(4,547,015)
$
(136,546)
$
(261,276)
$
17,823,094
1,532,510
$
–
$
–
AQR
Equity
Market
Neutral
Fund
5,060,167
27,740,420
(5,732,387)
(594,347)
260,789
26,734,642
3,194,103
–
–
AQR
Macro
Opportunities
Fund
3,719,726
17,402,567
(6,136,290)
56,992
2,780,099
17,823,094
1,524,645
–
–
AQR
Managed
Futures
Strategy
HV
Fund
3,719,726
16,550,277
(6,451,511)
(87,328)
4,091,931
17,823,095
1,807,616
–
–
AQR
Style
Premia
Alternative
Fund
4,389,946
28,467,950
(6,104,910)
(751,938)
733,594
26,734,642
3,205,593
–
–
(1,513,167)
7,605,137
106,938,567
–
–
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund
10,891,089
28,737,979
(8,630,952)
(531,461)
(3,046,509)
27,420,146
3,050,072
–
–
TOTAL
$(2,044,628)
$4,558,628
$134,358,713
$–
$–
All
securities
are
Level
1
with
respect
to
ASC
820.
53
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
The
Schedule
of
Investments
of
the
affiliated
investment
funds
held
by
the
AQR
Diversifying
Strategies
Fund
can
be
found
within
the
annual/semi-annual
reports
for
the
AQR
Funds
as
well
as
on
Form
N-CSR
and
Form
N-PORT
(Part
F)
which
is
filed
with
the
Securities
and
Exchange
Commission.
54
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
99.2%
COMMON
STOCKS
-
3.9%
Italy
-
3.1%
A2A
SpA
(a)
214,514
208,391
Assicurazioni
Generali
SpA
(a)
22,890
312,548
Azimut
Holding
SpA
(a)
9,759
139,195
Buzzi
Unicem
SpA
(a)
25,328
358,292
Enel
SpA
(a)
72,973
299,279
Hera
SpA
(a)
15,204
32,307
Italgas
SpA
(a)
34,455
160,000
Leonardo
SpA
(a)
87,397
618,805
Pirelli
&
C
SpA
(a)(b)
45,692
148,826
Poste
Italiane
SpA
(a)(b)
16,934
127,937
Prysmian
SpA
(a)
10,506
300,933
Snam
SpA
(a)
56,695
229,157
UniCredit
SpA
(a)
74,978
759,083
Unipol
Gruppo
SpA
(a)
117,248
455,388
4,150,141
—
United
States
-
0.8%
Stellantis
NV
(a)
85,722
1,012,587
Tenaris
SA
(a)
3,135
40,564
1,053,151
—
TOTAL
COMMON
STOCKS
(Cost
$6,203,873)
5,203,292
SHORT-TERM
INVESTMENTS
-
95.3%
INVESTMENT
COMPANIES
-
52.0%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(c)(d)
3,310,945
3,310,945
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(c)
66,486,399
66,453,155
TOTAL
INVESTMENT
COMPANIES
(Cost
$69,744,236)
69,764,100
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
43.3%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(e)
$
3,603,000
3,602,264
1.23%,
10/13/2022
(e)
605,000
604,563
1.38%,
10/27/2022
(e)
1,664,000
1,661,145
1.42%,
11/3/2022
(e)
2,035,000
2,030,334
1.39%,
11/10/2022
(e)
218,000
217,378
1.50%,
11/17/2022
(e)(f)
13,072,000
13,025,430
1.54%,
11/25/2022
(e)(f)
3,091,000
3,078,196
2.53%,
12/29/2022
(e)(f)
10,335,000
10,255,041
2.72%,
1/12/2023
(e)(f)
338,000
334,943
2.95%,
1/19/2023
(e)(f)
1,601,000
1,584,840
3.16%,
2/23/2023
(e)
5,336,000
5,261,065
3.38%,
3/9/2023
(e)
3,782,000
3,720,575
3.53%,
3/16/2023
(e)(f)
6,197,000
6,092,790
3.85%,
3/23/2023
(e)(f)
2,601,000
2,555,751
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
43.3%
(continued)
3.93%,
3/30/2023
(e)
$
4,007,000
3,931,264
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$58,020,531)
57,955,579
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$127,764,767)
127,719,679
TOTAL
LONG
POSITIONS
(Cost
$133,968,640)
132,922,971
SHARES
SHORT
POSITIONS
-
(3.4)%
COMMON
STOCKS
-
(3.4)%
Italy
-
(3.1)%
Amplifon
SpA
(2,639)
(68,757)
Banca
Generali
SpA
(10,531)
(292,063)
Banco
BPM
SpA
(5,209)
(13,621)
Brembo
SpA
(7,780)
(64,180)
Davide
Campari-Milano
NV
(7,162)
(63,366)
DiaSorin
SpA
(2,738)
(305,540)
Ferrari
NV
(2,755)
(510,187)
FinecoBank
Banca
Fineco
SpA
(49,778)
(614,783)
Infrastrutture
Wireless
Italiane
SpA
(b)
(33,573)
(292,909)
Interpump
Group
SpA
(3,461)
(111,936)
Intesa
Sanpaolo
SpA
(210,303)
(347,634)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(36,192)
(283,192)
Moncler
SpA
(1,403)
(57,277)
Nexi
SpA
(b)
(54,621)
(441,235)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(6,285)
(230,022)
Reply
SpA
(102)
(10,624)
Salvatore
Ferragamo
SpA
(4,348)
(61,014)
Telecom
Italia
SpA
(233,422)
(43,175)
Terna
-
Rete
Elettrica
Nazionale
(45,683)
(278,234)
(4,089,749)
—
United
Kingdom
-
(0.3)%
CNH
Industrial
NV
(39,046)
(437,013)
TOTAL
COMMON
STOCKS
(Proceeds
$(6,208,206))
(4,526,762)
TOTAL
SHORT
POSITIONS
(Proceeds
$(6,208,206))
(4,526,762)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.8%
(Cost
$127,760,434)
128,396,209
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.2%
(g)
5,544,980
NET
ASSETS
-
100.0%
133,941,189
55
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(336,084)
(0.3)
%
Consumer
Discretionary
468,755
0.3
Consumer
Staples
(63,366)
0.0
(h)
Energy
40,564
0.0
(h)
Financials
242,858
0.2
Health
Care
(604,320)
(0.5)
Industrials
370,790
0.3
Information
Technology
(451,859)
(0.3)
Materials
358,292
0.3
Utilities
650,900
0.5
Investment
Companies
69,764,100
52.0
U.S.
Treasury
Obligations
57,955,579
43.3
Total
Investments
In
Securities
At
Value
128,396,209
95.8
Other
Assets
in
Excess
of
Liabilities
(g)
5,544,980
4.2
Net
Assets
$
133,941,189
100.0%
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$4,912,255.
In
addition,
$515,580
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$(457,381),
which
represents
(0.34)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(f)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(g)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange
and
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
56
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
114
CAD
149
CITI
12/21/2022
$
6
USD
111
CAD
145
JPMC
12/21/2022
6
USD
272
DKK
2,000
CITI
12/21/2022
6
USD
272
DKK
2,000
JPMC
12/21/2022
6
USD
543,751
EUR
541,502
CITI
12/21/2022
9,689
USD
543,746
EUR
541,498
JPMC
12/21/2022
9,689
USD
25,540
HKD
200,000
CITI
12/21/2022
26
USD
25,540
HKD
200,000
JPMC
12/21/2022
26
USD
153
NOK
1,504
CITI
12/21/2022
14
USD
152
NOK
1,496
JPMC
12/21/2022
14
Total
unrealized
appreciation
19,482
CHF
501
USD
522
CITI
12/21/2022
(10)
CHF
499
USD
520
JPMC
12/21/2022
(10)
EUR
55,500
USD
55,232
CITI
12/21/2022
(494)
EUR
55,500
USD
55,232
JPMC
12/21/2022
(494)
SEK
500
USD
47
CITI
12/21/2022
(1)
SEK
500
USD
47
JPMC
12/21/2022
(1)
SGD
193,504
USD
138,128
CITI
12/21/2022
(3,254)
SGD
193,496
USD
138,123
JPMC
12/21/2022
(3,254)
Total
unrealized
depreciation
(7,518)
Net
unrealized
appreciation
$
11,964
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%
to
0.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
59-61
months
maturity
08/09/2027
$789,231
$96,993
$1,296
$98,289
57
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-6.25%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
04/23/2025
-
09/23/2027
$11,544,594
$67,840
$(16,268)
$51,572
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
1,239
7,712
(711)
(1.4)
Switzerland
ABB
Ltd.
(Registered)
12,471
321,994
(9,909)
(19.2)
Baloise
Holding
AG
(Registered)
484
61,843
(7,174)
(13.9)
Barry
Callebaut
AG
(Registered)
224
422,243
(18,628)
(36.1)
Belimo
Holding
AG
(Registered)
71
26,114
1,468
2.8
Bucher
Industries
AG
(Registered)
603
188,120
(13,919)
(27.0)
Chocoladefabriken
Lindt
&
Spruengli
AG
1
9,664
(278)
(0.5)
DKSH
Holding
AG
4,804
348,562
3,611
7.0
dormakaba
Holding
AG
142
47,916
(1,735)
(3.4)
Galenica
AG
3,410
246,934
9,509
18.4
Georg
Fischer
AG
(Registered)
1,181
56,265
(4,538)
(8.8)
Helvetia
Holding
AG
(Registered)
1,950
182,726
(22,215)
(43.1)
Kuehne
+
Nagel
International
AG
(Registered)
727
148,040
(9,414)
(18.3)
Lonza
Group
AG
(Registered)
116
56,479
1,445
2.8
Novartis
AG
(Registered)
14,364
1,095,068
(35,768)
(69.4)
OC
Oerlikon
Corp.
AG
(Registered)
13,869
88,779
(5,396)
(10.5)
Sonova
Holding
AG
(Registered)
717
157,784
(6,477)
(12.6)
Stadler
Rail
AG
1,963
53,913
(5,970)
(11.6)
Sulzer
AG
(Registered)
410
23,586
(243)
(0.5)
Swatch
Group
AG
(The)
1,382
310,395
(6,987)
(13.5)
Swisscom
AG
(Registered)
209
97,862
(7,474)
(14.5)
Temenos
AG
(Registered)
7,372
496,998
(60,068)
(116.5)
UBS
Group
AG
(Registered)
42,031
609,784
(62,618)
(121.4)
United
States
Roche
Holding
AG
1,199
390,314
(847)
(1.6)
Short
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
(619)
(17,084)
1,711
3.3
Alcon,
Inc.
(3,495)
(203,009)
24,324
47.2
Bachem
Holding
AG
(6,559)
(412,510)
(75,487)
(146.4)
Cie
Financiere
Richemont
SA
(Registered)
(2,595)
(244,956)
21,855
42.4
Credit
Suisse
Group
AG
(Registered)
(98,412)
(389,277)
110,014
213.3
Dufry
AG
(Registered)
(3,837)
(116,489)
16,894
32.8
58
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
EMS-Chemie
Holding
AG
(Registered)
(330)
(208,314)
716
1.4
Flughafen
Zurich
AG
(Registered)
(715)
(105,681)
7,362
14.3
Geberit
AG
(Registered)
(429)
(183,950)
2,809
5.4
Givaudan
SA
(Registered)
(126)
(380,647)
(6,746)
(13.1)
Holcim
AG
(4,722)
(193,510)
18,254
35.4
Idorsia
Ltd.
(18,029)
(233,342)
18,995
36.8
Julius
Baer
Group
Ltd.
(972)
(42,417)
5,069
9.8
Logitech
International
SA
(Registered)
(7,822)
(357,603)
11,895
23.1
Partners
Group
Holding
AG
(233)
(187,515)
24,351
47.2
Schindler
Holding
AG
(440)
(68,288)
3,819
7.4
SGS
SA
(Registered)
(50)
(106,987)
4,592
8.9
SIG
Group
AG
(45,273)
(919,228)
84,698
164.2
Sika
AG
(Registered)
(2,073)
(416,656)
16,348
31.7
Straumann
Holding
AG
(Registered)
(2,548)
(233,041)
9,545
18.5
Swiss
Life
Holding
AG
(Registered)
(83)
(36,670)
5,339
10.4
Tecan
Group
AG
(Registered)
(1,123)
(385,239)
(7,149)
(13.9)
VAT
Group
AG
(674)
(136,774)
14,051
27.2
Zurich
Insurance
Group
AG
(35)
(13,953)
1,289
2.5
United
States
Nestle
SA
(Registered)
(3,499)
(378,442)
3,976
7.7
Swiss
Re
AG
(1,528)
(112,696)
13,170
25.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.90%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-62
months
maturity
ranging
from
04/24/2025
-
09/23/2027
$5,740,232
$(65,285)
$(66,647)
$(131,932)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
392
712,354
(60,426)
45.8
Carlsberg
A/S
4,257
497,799
(26,183)
19.8
DSV
A/S
2,048
239,918
(23,369)
17.7
Genmab
A/S
723
232,592
(14,740)
11.2
H
Lundbeck
A/S
33,726
108,093
(9,713)
7.4
H
Lundbeck
A/S
7,192
21,467
(2,436)
1.8
ISS
A/S
27,425
422,789
(58,364)
44.2
Novo
Nordisk
A/S
4,414
439,713
5,208
(3.9)
Pandora
A/S
14,062
657,627
(114,294)
86.6
59
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(10,766)
(93,546)
(964)
0.7
Chr
Hansen
Holding
A/S
(2,851)
(140,438)
3,869
(2.9)
Coloplast
A/S
(5,075)
(515,744)
48,363
(36.7)
Demant
A/S
(365)
(9,023)
900
(0.7)
GN
Store
Nord
A/S
(10,305)
(180,507)
70,104
(53.1)
Novozymes
A/S
(4,853)
(243,874)
6,090
(4.6)
Orsted
A/S
(1,430)
(113,972)
17,181
(13.0)
ROCKWOOL
A/S
(366)
(57,732)
3,151
(2.4)
Royal
Unibrew
A/S
(1,993)
(129,138)
7,888
(6.0)
SimCorp
A/S
(1,668)
(93,878)
7,611
(5.8)
Tryg
A/S
(13,731)
(283,461)
16,262
(12.3)
Vestas
Wind
Systems
A/S
(29,684)
(546,567)
58,577
(44.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
04/23/2025
-
09/23/2027
$21,666,970
$(5,881)
$48,275
$42,394
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Etablissements
Franz
Colruyt
NV
8,110
178,269
(61,846)
(145.9)
Proximus
SADP
25,298
262,291
(22,956)
(54.1)
Solvay
SA
1,871
144,857
(6,018)
(14.2)
Finland
Fortum
OYJ
35,851
481,732
93,482
220.5
Kesko
OYJ
13,874
258,847
(22,290)
(52.6)
Metso
Outotec
OYJ
46,737
309,940
(43,003)
(101.4)
Nokia
OYJ
113,031
485,249
(23,093)
(54.5)
Luxembourg
ArcelorMittal
SA
18,685
371,800
(34,322)
(81.0)
Netherlands
Aalberts
NV
9,244
301,475
(20,140)
(47.5)
Aegon
NV
133,145
529,251
(80,653)
(190.2)
ASR
Nederland
NV
12,639
485,880
(35,359)
(83.4)
Heineken
NV
4,556
397,880
(6,569)
(15.5)
NN
Group
NV
11,674
454,048
(23,504)
(55.4)
OCI
NV
14,998
549,100
(2,692)
(6.4)
60
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Netherlands
(continued)
Randstad
NV
6,420
277,093
(20,830)
(49.1)
Wolters
Kluwer
NV
2,914
283,747
(3,444)
(8.1)
Spain
Acerinox
SA
44,515
354,001
(25,959)
(61.2)
Banco
de
Sabadell
SA
851,141
567,595
(62,700)
(147.9)
Banco
Santander
SA
274,500
638,734
(70,429)
(166.1)
Enagas
SA
15,407
238,484
(21,531)
(50.8)
Endesa
SA
17,182
258,066
(36,620)
(86.4)
Industria
de
Diseno
Textil
SA
26,670
550,379
(37,463)
(88.4)
Mapfre
SA
223,690
346,434
(29,760)
(70.2)
Red
Electrica
Corp.
SA
36,841
565,347
(73,368)
(173.1)
Repsol
SA
107,713
1,237,649
(37,756)
(89.1)
Short
Positions
Common
Stocks
Belgium
D'ieteren
Group
(1,376)
(193,879)
11,775
27.8
Umicore
SA
(7,386)
(216,833)
7,276
17.2
China
Prosus
NV
(9,701)
(504,710)
38,166
90.0
Finland
Huhtamaki
OYJ
(7,404)
(235,469)
6,239
14.7
Neste
OYJ
(4,515)
(196,807)
(4,809)
(11.3)
Orion
OYJ
(3,587)
(151,039)
3,921
9.2
UPM-Kymmene
OYJ
(14,956)
(474,620)
35,172
83.0
Valmet
OYJ
(14,596)
(295,076)
31,940
75.3
Luxembourg
Aperam
SA
(6,304)
(148,763)
12,921
30.5
Netherlands
Adyen
NV
(441)
(549,998)
18,520
43.7
Akzo
Nobel
NV
(3,582)
(202,992)
11,994
28.3
Argenx
SE
(804)
(286,125)
(2,380)
(5.6)
ASML
Holding
NV
(1,076)
(445,764)
46,808
110.4
Koninklijke
DSM
NV
(5,580)
(634,951)
73
0.2
Koninklijke
KPN
NV
(86,676)
(234,577)
26,804
63.2
Koninklijke
Philips
NV
(14,307)
(220,278)
29,791
70.3
Spain
Acciona
SA
(3,013)
(529,553)
58,669
138.4
Amadeus
IT
Group
SA
(3,331)
(154,434)
13,103
30.9
Bankinter
SA
(58,368)
(327,729)
10,229
24.1
CaixaBank
SA
(271,750)
(875,273)
68,329
161.2
Cellnex
Telecom
SA
(31,317)
(966,023)
98,077
231.3
Ferrovial
SA
(30,727)
(697,461)
53,884
127.1
Fluidra
SA
(16,013)
(240,116)
1,251
3.0
Grifols
SA
(33,835)
(292,312)
95,162
224.5
Iberdrola
SA
(28,711)
(267,707)
28,167
66.4
61
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
04/24/2025
-
09/23/2027
$3,129,355
$74,388
$10,166
$84,554
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
11,749
412,333
(28,234)
(33.4)
Norway
Equinor
ASA
21,675
714,814
9,732
11.5
Leroy
Seafood
Group
ASA
36,479
143,882
(73,381)
(86.8)
Norsk
Hydro
ASA
84,288
452,283
(44,535)
(52.7)
Orkla
ASA
7,247
52,681
(2,015)
(2.4)
Telenor
ASA
15,677
143,478
(3,645)
(4.3)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(3,374)
(134,285)
33,198
39.3
France
Adevinta
ASA
(22,142)
(131,915)
18,362
21.7
Norway
Gjensidige
Forsikring
ASA
(472)
(8,099)
532
0.6
Kongsberg
Gruppen
ASA
(7,570)
(229,731)
(9,191)
(10.9)
Mowi
ASA
(2,436)
(30,985)
11,265
13.3
Salmar
ASA
(6,629)
(223,439)
150,368
177.8
Schibsted
ASA
(5,898)
(79,588)
7,296
8.6
TOMRA
Systems
ASA
(8,824)
(155,686)
(1,785)
(2.1)
United
Kingdom
Subsea
7
SA
(27,366)
(216,156)
6,421
7.6
62
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-6.00%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
04/23/2025
-
09/23/2027
$11,366,169
$(76,480)
$30,063
$(46,417)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
35,949
412,882
(18,367)
39.6
Finland
Nordea
Bank
Abp
27,593
236,147
(10,137)
21.8
Sweden
Assa
Abloy
AB
2,268
42,493
(355)
0.8
BillerudKorsnas
AB
14,352
168,496
(1,658)
3.6
Boliden
AB
15,122
467,208
(924)
2.0
Elekta
AB
56,699
287,975
(4,163)
9.0
Essity
AB
22,311
440,794
(24,019)
51.7
Evolution
AB
1,897
149,953
7,952
(17.1)
Getinge
AB
12,267
209,780
3,020
(6.5)
H
&
M
Hennes
&
Mauritz
AB
7,327
67,739
(4,834)
10.4
Husqvarna
AB
8,511
47,180
(3,053)
6.6
Saab
AB
9,282
289,198
3,904
(8.4)
Sandvik
AB
10,659
145,299
(3,337)
7.2
Skanska
AB
18,416
229,201
(30,420)
65.5
SSAB
AB
207,837
885,693
(50,708)
109.2
Svenska
Handelsbanken
AB
29,752
244,234
(2,036)
4.4
Swedbank
AB
30,870
405,192
(6,217)
13.4
Swedish
Orphan
Biovitrum
AB
5,117
98,896
(884)
1.9
Telefonaktiebolaget
LM
Ericsson
102,485
599,071
(67,777)
146.0
Telia
Co.
AB
104,553
301,121
(31,070)
66.9
Trelleborg
AB
2,542
47,690
(1,579)
3.4
United
States
Sinch
AB
59,102
78,352
(5,847)
12.6
Short
Positions
Common
Stocks
Sweden
AAK
AB
(12,131)
(160,394)
10,351
(22.3)
Alfa
Laval
AB
(10,275)
(254,789)
566
(1.2)
Atlas
Copco
AB
(30,545)
(283,896)
5,370
(11.6)
Axfood
AB
(1,775)
(40,668)
11,794
(25.4)
Beijer
Ref
AB
(21,581)
(265,365)
(6,763)
14.6
Electrolux
AB
(9,418)
(97,885)
4,055
(8.7)
Embracer
Group
AB
(99,984)
(592,624)
(46,019)
99.1
63
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Epiroc
AB
(13,378)
(191,379)
1,498
(3.2)
EQT
AB
(22,998)
(444,371)
60,034
(129.3)
Hexagon
AB
(76,703)
(716,340)
35,829
(77.2)
Hexpol
AB
(3,206)
(26,295)
1,092
(2.4)
Holmen
AB
(7,641)
(289,951)
14,480
(31.2)
Indutrade
AB
(18,745)
(304,043)
3,450
(7.4)
Lifco
AB
(13,989)
(194,070)
3,835
(8.3)
Nibe
Industrier
AB
(67,627)
(603,248)
42,716
(92.0)
Securitas
AB
(2,211)
(15,349)
(178)
0.4
Skandinaviska
Enskilda
Banken
AB
(18,483)
(176,157)
4,982
(10.7)
SKF
AB
(36,139)
(484,140)
3,351
(7.2)
Svenska
Cellulosa
AB
SCA
(3,535)
(44,854)
3,755
(8.1)
Sweco
AB
(9,688)
(81,265)
5,683
(12.2)
Tele2
AB
(25,936)
(223,817)
14,784
(31.8)
Volvo
AB
(1,461)
(20,675)
1,364
(2.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
10/25/2022
-
11/27/2023
$18,837,743
$100,375
$(337,157)
$(236,782)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
16,662
200,110
12,665
(5.3)
Atco
Ltd.
15,092
463,789
(17,809)
7.5
Bank
of
Montreal
2,670
234,015
(2,242)
0.9
Bank
of
Nova
Scotia
(The)
4,895
232,817
(5,670)
2.4
Barrick
Gold
Corp.
13,677
211,984
19,109
(8.1)
Canadian
Tire
Corp.
Ltd.
2,294
244,205
(531)
0.2
Capital
Power
Corp.
9,210
312,701
(18,269)
7.7
CI
Financial
Corp.
20,714
198,540
(3,299)
1.4
Empire
Co.
Ltd.
10,978
273,069
(7,788)
3.3
Fairfax
Financial
Holdings
Ltd.
661
301,892
(1,751)
0.7
Finning
International,
Inc.
17,232
302,887
5,489
(2.3)
George
Weston
Ltd.
2,297
240,500
(2,810)
1.2
iA
Financial
Corp.,
Inc.
4,563
231,858
4,426
(1.9)
Imperial
Oil
Ltd.
11,763
509,317
37,128
(15.7)
Loblaw
Cos.
Ltd.
3,132
248,002
(7,165)
3.0
Manulife
Financial
Corp.
24,361
382,341
1,940
(0.8)
MEG
Energy
Corp.
19,188
214,751
19,030
(8.0)
64
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Onex
Corp.
7,743
355,157
6,839
(2.9)
Open
Text
Corp.
9,734
257,276
(3,030)
1.3
Suncor
Energy,
Inc.
17,640
496,758
29,499
(12.5)
Teck
Resources
Ltd.
10,174
309,415
20,181
(8.5)
Toromont
Industries
Ltd.
3,148
219,142
(1,846)
0.8
West
Fraser
Timber
Co.
Ltd.
5,636
407,721
13,383
(5.7)
Whitecap
Resources,
Inc.
56,108
355,003
29,245
(12.4)
Chile
Lundin
Mining
Corp.
49,385
249,544
25,026
(10.6)
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(8,503)
(275,339)
(29,608)
12.5
Canada
Agnico
Eagle
Mines
Ltd.
(5,630)
(237,859)
(27,837)
11.8
Algonquin
Power
&
Utilities
Corp.
(18,600)
(203,188)
17,370
(7.3)
BCE,
Inc.
(8,305)
(348,229)
18,097
(7.6)
Brookfield
Asset
Management,
Inc.
(11,938)
(488,375)
18,408
(7.8)
CAE,
Inc.
(20,137)
(308,903)
1,749
(0.7)
Cameco
Corp.
(10,582)
(280,838)
(16,470)
7.0
Canadian
Pacific
Railway
Ltd.
(9,092)
(606,923)
13,427
(5.7)
Dollarama,
Inc.
(3,512)
(201,616)
(7,602)
3.2
Element
Fleet
Management
Corp.
(33,415)
(394,299)
(9,918)
4.2
Enbridge,
Inc.
(7,085)
(262,709)
(410)
0.2
Franco-Nevada
Corp.
(3,189)
(380,921)
(27,219)
11.5
GFL
Environmental,
Inc.
(9,231)
(233,289)
3,208
(1.4)
Innergex
Renewable
Energy,
Inc.
(17,371)
(218,686)
6,916
(2.9)
Intact
Financial
Corp.
(2,082)
(294,647)
196
(0.1)
Lightspeed
Commerce,
Inc.
(10,981)
(193,252)
(15,660)
6.6
Metro,
Inc.
(4,114)
(206,005)
1,906
(0.8)
Rogers
Communications,
Inc.
(5,336)
(205,544)
5,138
(2.2)
Royal
Bank
of
Canada
(2,753)
(247,867)
(957)
0.4
Saputo,
Inc.
(8,671)
(206,708)
(1,004)
0.4
Thomson
Reuters
Corp.
(2,066)
(212,082)
658
(0.3)
TMX
Group
Ltd.
(2,617)
(240,718)
(2,292)
1.0
Toronto-Dominion
Bank
(The)
(4,049)
(248,330)
645
(0.3)
United
States
Brookfield
Renewable
Corp.
(9,472)
(309,528)
16,663
(7.0)
BRP,
Inc.
(4,681)
(288,346)
(1,999)
0.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.50%
to
0.35%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
08/25/2023
-
09/23/2024
$2,505,721
$(52,957)
$(374)
$(53,331)
65
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
57,000
151,642
(1,548)
2.9
Yangzijiang
Shipbuilding
Holdings
Ltd.
877,016
626,113
(51,685)
96.9
Singapore
City
Developments
Ltd.
13,962
73,582
(2,730)
5.1
Genting
Singapore
Ltd.
338,919
184,180
119
(0.2)
Oversea-Chinese
Banking
Corp.
Ltd.
33,800
276,953
(4,037)
7.6
Singapore
Airlines
Ltd.
50,200
177,422
(3,280)
6.2
Singapore
Telecommunications
Ltd.
34,900
64,399
248
(0.5)
United
Overseas
Bank
Ltd.
2,600
47,093
(1,477)
2.8
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(27,035)
(625,411)
(664)
1.2
Keppel
Corp.
Ltd.
(28,200)
(135,695)
1,942
(3.6)
SATS
Ltd.
(14,100)
(29,461)
8,826
(16.5)
Singapore
Technologies
Engineering
Ltd.
(19,306)
(47,965)
695
(1.3)
UOL
Group
Ltd.
(6,400)
(29,444)
188
(0.4)
Venture
Corp.
Ltd.
(3,200)
(36,361)
446
(0.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
10-24
months
maturity
07/20/2023
$13,857,151
$51,794
$74,187
$125,981
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
10,159
214,219
(9,125)
(7.2)
Aurizon
Holdings
Ltd.
213,161
471,438
(22,143)
(17.6)
Australia
&
New
Zealand
Banking
Group
Ltd.
23,062
337,600
(9,948)
(7.9)
BHP
Group
Ltd.
33,058
821,760
22,247
17.7
BlueScope
Steel
Ltd.
60,176
584,408
(28,763)
(22.8)
Cochlear
Ltd.
1,829
227,194
(19,176)
(15.2)
66
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Coles
Group
Ltd.
16,864
177,787
(2,573)
(2.0)
Computershare
Ltd.
6,605
105,350
(187)
(0.1)
Harvey
Norman
Holdings
Ltd.
107,962
279,291
(12,823)
(10.2)
Incitec
Pivot
Ltd.
175,969
400,131
(24,215)
(19.2)
JB
Hi-Fi
Ltd.
22,247
538,389
(42,634)
(33.8)
Origin
Energy
Ltd.
79,611
264,147
(29,171)
(23.2)
Qantas
Airways
Ltd.
38,130
122,364
(5,683)
(4.5)
Qube
Holdings
Ltd.
104,547
165,993
(13,826)
(11.0)
Ramsay
Health
Care
Ltd.
2,678
98,303
(8,330)
(6.6)
Santos
Ltd.
74,846
345,754
(23,556)
(18.7)
Sonic
Healthcare
Ltd.
25,116
489,893
(2,489)
(2.0)
South32
Ltd.
201,924
479,349
(25,669)
(20.4)
Suncorp
Group
Ltd.
32,066
206,920
(6,658)
(5.3)
Telstra
Corp.
Ltd.
171,845
424,325
7,161
5.7
Westpac
Banking
Corp.
13,978
184,929
(7,750)
(6.2)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(12,364)
(109,341)
11,977
9.5
Alumina
Ltd.
(197,378)
(159,787)
17,190
13.6
APA
Group
(23,313)
(143,444)
11,494
9.1
carsales.com
Ltd.
(11,819)
(140,980)
13,789
10.9
Cleanaway
Waste
Management
Ltd.
(85,825)
(149,624)
1,348
1.1
Commonwealth
Bank
of
Australia
(9,275)
(539,573)
22,022
17.5
CSL
Ltd.
(3,061)
(556,695)
(2,629)
(2.1)
Domino's
Pizza
Enterprises
Ltd.
(7,438)
(245,056)
33,889
26.9
Endeavour
Group
Ltd.
(27,740)
(124,667)
1,305
1.0
Evolution
Mining
Ltd.
(67,401)
(87,930)
452
0.4
Fortescue
Metals
Group
Ltd.
(14,526)
(155,942)
3,217
2.6
IDP
Education
Ltd.
(26,060)
(437,768)
22,804
18.1
IGO
Ltd.
(22,059)
(194,042)
7,308
5.8
Insurance
Australia
Group
Ltd.
(65,160)
(192,760)
(5,619)
(4.5)
Lendlease
Corp.
Ltd.
(46,265)
(264,503)
24,032
19.1
Lynas
Rare
Earths
Ltd.
(46,276)
(223,163)
6,537
5.2
Macquarie
Group
Ltd.
(2,683)
(261,754)
34,988
27.8
Medibank
Pvt
Ltd.
(79,845)
(178,466)
1,736
1.4
Mineral
Resources
Ltd.
(6,807)
(285,720)
10,359
8.2
OZ
Minerals
Ltd.
(22,006)
(364,052)
3,758
3.0
Pilbara
Minerals
Ltd.
(33,355)
(96,237)
5,107
4.1
Pro
Medicus
Ltd.
(6,336)
(202,320)
16,978
13.5
REA
Group
Ltd.
(3,681)
(267,927)
21,424
17.0
Reece
Ltd.
(27,800)
(249,815)
7,317
5.8
Transurban
Group
(15,137)
(119,543)
7,795
6.2
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(11,318)
(194,578)
(12,358)
(9.8)
Wesfarmers
Ltd.
(11,349)
(310,265)
19,521
15.5
Woodside
Energy
Group
Ltd.
(4,536)
(92,677)
1,417
1.1
Worley
Ltd.
(21,941)
(178,878)
14,518
11.5
67
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.25%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
11-24
months
maturity
08/21/2023
$32,838,641
$(320,869)
$(10,533)
$(331,402)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Air
France-KLM
332,710
419,003
(32,280)
9.7
Atos
SE
37,414
295,771
(19,054)
5.7
Capgemini
SE
1,867
298,908
(8,582)
2.6
Cie
de
Saint-Gobain
30,000
1,072,668
(119,037)
35.9
Eiffage
SA
7,956
638,016
(55,474)
16.7
Engie
SA
31,886
367,004
(35,494)
10.7
Ipsen
SA
4,871
450,812
(23,706)
7.2
La
Francaise
des
Jeux
SAEM
9,377
278,159
(10,037)
3.0
Orange
SA
51,972
470,063
(41,530)
12.5
Publicis
Groupe
SA
6,880
325,993
(16,943)
5.1
Renault
SA
13,255
358,628
(43,953)
13.3
Rexel
SA
27,859
417,516
(37,628)
11.4
Rubis
SCA
13,143
273,508
(23,523)
7.1
Sanofi
7,852
597,902
(19,308)
5.8
Thales
SA
3,775
415,982
(8,757)
2.6
TotalEnergies
SE
6,518
305,789
(9,137)
2.8
Germany
Bayer
AG
(Registered)
10,179
468,993
(53,945)
16.3
Bayerische
Motoren
Werke
AG
6,480
439,199
(41,551)
12.5
Covestro
AG
12,243
350,048
(11,355)
3.4
Deutsche
Bank
AG
(Registered)
94,514
699,780
(142,677)
43.1
GEA
Group
AG
13,512
437,288
7,042
(2.1)
HUGO
BOSS
AG
9,189
427,848
(57,378)
17.3
ProSiebenSat.1
Media
SE
39,196
277,702
(12,862)
3.9
TeamViewer
AG
45,929
354,458
(67,323)
20.3
Luxembourg
SES
SA
49,945
273,558
(52,259)
15.8
Singapore
STMicroelectronics
NV
14,502
450,683
(58,792)
17.7
68
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
France
Aeroports
de
Paris
(3,960)
(457,620)
47,880
(14.4)
Air
Liquide
SA
(7,129)
(814,838)
32,518
(9.8)
Airbus
SE
(5,830)
(502,548)
31,339
(9.5)
Alstom
SA
(18,470)
(298,766)
49,598
(15.0)
Cie
Generale
des
Etablissements
Michelin
SCA
(25,147)
(563,436)
35,815
(10.8)
EssilorLuxottica
SA
(5,721)
(777,614)
34,607
(10.4)
Hermes
International
(259)
(304,615)
11,125
(3.4)
L'Oreal
SA
(2,168)
(693,201)
15,571
(4.7)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(809)
(476,966)
31,258
(9.4)
Pernod
Ricard
SA
(1,674)
(307,102)
2,726
(0.8)
Remy
Cointreau
SA
(1,782)
(295,720)
11,418
(3.4)
Sartorius
Stedim
Biotech
(1,154)
(353,974)
24,903
(7.5)
Worldline
SA
(10,302)
(407,194)
31,397
(9.5)
Germany
adidas
AG
(3,216)
(369,715)
61,141
(18.4)
Allianz
SE
(Registered)
(1,834)
(288,918)
24,011
(7.2)
Deutsche
Telekom
AG
(Registered)
(35,011)
(595,946)
55,512
(16.8)
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
(Registered)
(1,258)
(302,827)
13,058
(3.9)
SAP
SE
(3,587)
(292,323)
2,183
(0.7)
Sartorius
AG
(Preference)
(1,735)
(600,144)
38,868
(11.7)
Siemens
AG
(Registered)
(6,043)
(590,660)
7,506
(2.3)
Siemens
Healthineers
AG
(11,346)
(486,692)
7,093
(2.1)
Symrise
AG
(3,538)
(344,999)
(754)
0.2
South
Korea
Delivery
Hero
SE
(12,223)
(446,472)
59,767
(18.0)
United
States
Schneider
Electric
SE
(8,313)
(938,960)
25,359
(7.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-24
months
maturity
07/19/2023
$22,674,170
$(488,993)
$112,570
$(376,423)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
8,670
469,098
9,856
(2.6)
69
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Jordan
Hikma
Pharmaceuticals
plc
21,719
327,370
28,849
(7.7)
Netherlands
Shell
plc
40,889
1,014,372
(38,286)
10.2
Nigeria
Airtel
Africa
plc
237,811
341,092
(17,371)
4.6
South
Africa
Anglo
American
plc
7,981
239,636
(7,917)
2.1
United
Kingdom
abrdn
plc
169,521
259,318
(10,277)
2.7
Associated
British
Foods
plc
42,240
590,203
(32,730)
8.7
BAE
Systems
plc
33,206
291,762
5,608
(1.5)
Barclays
plc
273,917
435,839
(83,034)
22.1
Barratt
Developments
plc
134,327
507,678
(99,741)
26.5
BP
plc
90,146
430,753
(25,324)
6.7
British
American
Tobacco
plc
10,477
375,679
(31,454)
8.4
Burberry
Group
plc
9,755
194,861
7,231
(1.9)
Centrica
plc
574,757
451,014
(59,687)
15.9
DS
Smith
plc
87,091
246,298
(7,767)
2.1
Howden
Joinery
Group
plc
46,091
257,489
(29,571)
7.9
Imperial
Brands
plc
34,359
706,520
(27,614)
7.3
Inchcape
plc
34,841
263,816
(18,450)
4.9
InterContinental
Hotels
Group
plc
10,992
529,395
(40,691)
10.8
Intertek
Group
plc
5,549
227,670
(9,585)
2.5
JD
Sports
Fashion
plc
169,317
186,533
(45,811)
12.2
Man
Group
plc
116,666
288,874
(27,015)
7.2
Marks
&
Spencer
Group
plc
274,630
299,570
(43,098)
11.4
Pearson
plc
19,876
189,808
(6,939)
1.8
Royal
Mail
plc
166,250
338,404
(59,606)
15.8
Smiths
Group
plc
18,751
312,335
(246)
0.1
Vodafone
Group
plc
344,552
385,623
(23,631)
6.3
United
States
GSK
plc
30,937
446,814
(6,594)
1.8
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(37,458)
(459,002)
1,538
(0.4)
Hong
Kong
Prudential
plc
(25,949)
(253,979)
22,369
(5.9)
United
Kingdom
Admiral
Group
plc
(11,008)
(233,850)
30,683
(8.2)
Ashtead
Group
plc
(4,097)
(183,996)
3,147
(0.8)
AstraZeneca
plc
(5,962)
(655,400)
15,365
(4.1)
AVEVA
Group
plc
(20,720)
(714,887)
(9,735)
2.6
B&M
European
Value
Retail
SA
(89,156)
(303,241)
27,256
(7.2)
Berkeley
Group
Holdings
plc
(9,304)
(339,926)
24,395
(6.5)
Compass
Group
plc
(13,867)
(276,126)
10,468
(2.8)
ConvaTec
Group
plc
(121,538)
(276,204)
18,272
(4.9)
Croda
International
plc
(3,591)
(256,484)
3,494
(0.9)
Experian
plc
(10,587)
(309,909)
(1,974)
0.5
Halma
plc
(9,856)
(221,685)
2,261
(0.6)
Informa
plc
(39,692)
(226,876)
13,860
(3.7)
Ocado
Group
plc
(36,133)
(187,511)
57,137
(15.2)
Pennon
Group
plc
(42,090)
(367,245)
56,421
(15.0)
Rentokil
Initial
plc
(55,435)
(293,832)
22,828
(6.1)
Severn
Trent
plc
(8,190)
(214,100)
24,756
(6.6)
Tate
&
Lyle
plc
(27,673)
(208,650)
3,869
(1.0)
70
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
United
Utilities
Group
plc
(35,110)
(346,682)
47,495
(12.6)
Weir
Group
plc
(The)
(12,159)
(188,236)
13,301
(3.5)
Whitbread
plc
(8,094)
(205,171)
28,521
(7.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-0.30%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-24
months
maturity
07/20/2023
$8,447,608
$(231,508)
$(1,248)
$(232,756)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
38,500
128,040
(1,086)
0.5
SITC
International
Holdings
Co.
Ltd.
104,000
190,729
(23,697)
10.2
Xinyi
Glass
Holdings
Ltd.
78,000
112,802
(18,562)
8.0
Hong
Kong
ASMPT
Ltd.
43,600
264,301
(44,876)
19.3
CK
Asset
Holdings
Ltd.
44,228
265,518
(33,950)
14.6
CLP
Holdings
Ltd.
21,000
158,712
(17,321)
7.4
Hang
Lung
Properties
Ltd.
1,000
1,642
(85)
0.0
Henderson
Land
Development
Co.
Ltd.
72,000
201,615
(26,247)
11.3
HKT
Trust
&
HKT
Ltd.
55,000
64,417
(7,472)
3.2
Man
Wah
Holdings
Ltd.
568,400
359,919
(43,163)
18.5
New
World
Development
Co.
Ltd.
101,250
287,559
(49,741)
21.4
Sino
Land
Co.
Ltd.
154,000
202,560
(22,270)
9.6
Sun
Hung
Kai
Properties
Ltd.
56,500
623,549
(62,398)
26.8
Swire
Pacific
Ltd.
9,500
71,008
3,355
(1.4)
Swire
Properties
Ltd.
9,200
19,792
(2,078)
0.9
WH
Group
Ltd.
738,000
464,157
(33,193)
14.3
United
Kingdom
CK
Hutchison
Holdings
Ltd.
148,500
817,678
(94,141)
40.4
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(102,200)
(266,135)
26,808
(11.5)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(51,200)
(96,224)
4,448
(1.9)
ESR
Group
Ltd.
(120,800)
(303,857)
32,398
(13.9)
71
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
AIA
Group
Ltd.
(71,600)
(596,135)
53,305
(22.9)
Hang
Seng
Bank
Ltd.
(15,300)
(232,445)
4,374
(1.9)
Hong
Kong
&
China
Gas
Co.
Ltd.
(118,000)
(103,940)
6,196
(2.7)
MTR
Corp.
Ltd.
(33,504)
(153,678)
17,478
(7.5)
Power
Assets
Holdings
Ltd.
(23,500)
(117,800)
13,327
(5.7)
Techtronic
Industries
Co.
Ltd.
(70,000)
(667,949)
102,532
(44.1)
Wharf
Real
Estate
Investment
Co.
Ltd.
(155,000)
(702,675)
50,639
(21.8)
Macau
Galaxy
Entertainment
Group
Ltd.
(106,000)
(623,057)
(39,018)
16.8
Sands
China
Ltd.
(78,800)
(196,230)
(16,538)
7.1
Wynn
Macau
Ltd.
(240,800)
(153,485)
(10,532)
4.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-1.13%
to
0.28%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-24
months
maturity
07/20/2023
$105,037,517
$(506,771)
$213,489
$(293,282)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
20,100
625,750
(35,744)
12.2
Dai-ichi
Life
Holdings,
Inc.
70,100
1,114,613
(74,087)
25.3
Dentsu
Group,
Inc.
27,000
767,543
(27,075)
9.2
Fujitsu
Ltd.
6,100
668,877
(6,809)
2.3
Fukuoka
Financial
Group,
Inc.
35,800
637,569
(22,133)
7.5
Hino
Motors
Ltd.
187,100
773,545
(78,379)
26.7
Inpex
Corp.
67,300
627,713
(73,105)
24.9
Japan
Post
Holdings
Co.
Ltd.
105,600
699,622
(28,991)
9.9
Japan
Tobacco,
Inc.
62,000
1,018,831
(15,074)
5.1
Lawson,
Inc.
24,500
801,536
2,531
(0.9)
Mazda
Motor
Corp.
165,400
1,098,281
(279,958)
95.5
Mitsubishi
HC
Capital,
Inc.
156,600
673,102
(63,750)
21.7
Mizuho
Financial
Group,
Inc.
188,130
2,036,438
(134,344)
45.8
NH
Foods
Ltd.
27,500
724,860
(16,177)
5.5
NIPPON
EXPRESS
HOLDINGS,
Inc.
19,600
996,248
15,582
(5.3)
SCREEN
Holdings
Co.
Ltd.
17,700
960,383
(141,511)
48.3
Seiko
Epson
Corp.
58,100
793,324
(67,358)
23.0
Shimamura
Co.
Ltd.
9,300
787,040
(3,971)
1.4
Shin-Etsu
Chemical
Co.
Ltd.
6,500
643,219
(69,363)
23.7
Sohgo
Security
Services
Co.
Ltd.
24,300
611,452
1,979
(0.7)
Square
Enix
Holdings
Co.
Ltd.
15,500
668,069
885
(0.3)
72
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Tosoh
Corp.
59,000
657,577
(43,999)
15.0
Yamada
Holdings
Co.
Ltd.
312,000
1,026,669
(16,708)
5.7
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(45,900)
(857,114)
(2,257)
0.8
Asahi
Intecc
Co.
Ltd.
(42,500)
(677,803)
30,481
(10.4)
Chubu
Electric
Power
Co.,
Inc.
(74,700)
(671,821)
57,476
(19.6)
Daiichi
Sankyo
Co.
Ltd.
(25,300)
(707,157)
27,213
(9.3)
Daikin
Industries
Ltd.
(6,700)
(1,030,923)
84,509
(28.8)
Denso
Corp.
(18,900)
(864,168)
105,448
(36.0)
Hitachi
Ltd.
(17,300)
(736,221)
57,917
(19.7)
Isuzu
Motors
Ltd.
(56,000)
(619,217)
72,819
(24.8)
JSR
Corp.
(66,100)
(1,253,436)
123,552
(42.1)
Keyence
Corp.
(2,200)
(727,233)
50,892
(17.4)
Kikkoman
Corp.
(12,800)
(725,646)
5,758
(2.0)
Kobe
Bussan
Co.
Ltd.
(37,100)
(892,526)
22,606
(7.7)
Kose
Corp.
(7,000)
(721,731)
(19,457)
6.6
Kubota
Corp.
(56,100)
(779,616)
57,834
(19.7)
Kurita
Water
Industries
Ltd.
(17,400)
(617,756)
39,869
(13.6)
Kyowa
Kirin
Co.
Ltd.
(33,500)
(770,239)
(31,910)
10.9
Lasertec
Corp.
(6,300)
(633,666)
127,443
(43.5)
Mitsubishi
UFJ
Financial
Group,
Inc.
(183,900)
(833,090)
99,307
(33.9)
Nidec
Corp.
(16,900)
(945,997)
126,411
(43.1)
Nippon
Paint
Holdings
Co.
Ltd.
(110,500)
(746,418)
72,808
(24.8)
Nissan
Chemical
Corp.
(14,200)
(634,366)
30,511
(10.4)
Rakuten
Group,
Inc.
(145,300)
(621,810)
24,726
(8.4)
Sumitomo
Electric
Industries
Ltd.
(66,200)
(672,031)
69,914
(23.8)
Tokio
Marine
Holdings,
Inc.
(51,600)
(917,094)
21,639
(7.4)
Toyota
Motor
Corp.
(91,400)
(1,194,639)
94,479
(32.2)
Yamaha
Corp.
(18,400)
(653,833)
4,562
(1.6)
Yaskawa
Electric
Corp.
(30,600)
(880,610)
69,759
(23.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-10.83%
to
0.33%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-12
months
maturity
07/19/2023
$243,828,263
$(36,213)
$35,401
$(812)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
73
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
ACI
Worldwide,
Inc.
31,433
656,950
(32,164)
3961.1
American
International
Group,
Inc.
13,148
624,267
(93,482)
11512.6
Booking
Holdings,
Inc.
537
882,404
(138,361)
17039.4
Cisco
Systems,
Inc.
18,768
750,720
(61,934)
7627.4
Citigroup,
Inc.
25,713
1,071,461
(168,935)
20804.7
Citizens
Financial
Group,
Inc.
18,581
638,443
(54,070)
6658.9
CNO
Financial
Group,
Inc.
41,268
741,586
(67,267)
8284.1
Coca-Cola
Co.
(The)
13,209
739,968
(52,511)
6466.9
CVS
Health
Corp.
7,569
721,856
(51,015)
6282.6
EMCOR
Group,
Inc.
5,646
652,000
(23,657)
2913.4
Expedia
Group,
Inc.
11,410
1,069,003
(94,940)
11692.1
FirstEnergy
Corp.
16,804
621,748
(81,667)
10057.6
Kraft
Heinz
Co.
(The)
27,523
917,892
(34,679)
4270.8
LyondellBasell
Industries
NV
10,875
818,670
(29,906)
3683.0
ManpowerGroup,
Inc.
10,169
657,833
(69,861)
8603.6
Meta
Platforms,
Inc.
6,525
885,312
(80,519)
9916.1
Microsoft
Corp.
3,022
703,824
(33,967)
4183.1
Owens
Corning
9,303
731,309
(35,165)
4330.7
Southwest
Airlines
Co.
21,660
667,994
(97,799)
12044.2
Tyson
Foods,
Inc.
18,084
1,192,278
(114,557)
14108.1
Vail
Resorts,
Inc.
4,281
923,155
(30,050)
3700.8
Vishay
Intertechnology,
Inc.
51,171
910,332
(59,358)
7310.1
Walmart,
Inc.
5,405
701,028
(27,496)
3386.2
Wells
Fargo
&
Co.
18,286
735,463
(74,973)
9233.1
Westrock
Co.
29,220
902,606
(144,986)
17855.3
Wintrust
Financial
Corp.
7,907
644,816
(41,534)
5115.0
Short
Positions
Common
Stocks
United
States
Campbell
Soup
Co.
(14,428)
(679,847)
14,048
(1730.0)
Carter's,
Inc.
(10,289)
(674,238)
62,427
(7688.0)
Clorox
Co.
(The)
(5,017)
(644,133)
71,522
(8808.1)
Commerce
Bancshares,
Inc.
(10,356)
(685,153)
44,945
(5535.1)
Dollar
Tree,
Inc.
(4,814)
(655,185)
32,783
(4037.4)
Ecolab,
Inc.
(4,799)
(693,072)
73,278
(9024.4)
First
Financial
Bankshares,
Inc.
(15,596)
(652,381)
32,908
(4052.7)
Five
Below,
Inc.
(4,732)
(651,454)
13,045
(1606.6)
GameStop
Corp.
(34,765)
(873,644)
113,043
(13921.6)
Glacier
Bancorp,
Inc.
(13,091)
(643,161)
37,440
(4610.9)
Honeywell
International,
Inc.
(5,686)
(949,391)
66,299
(8164.9)
Hormel
Foods
Corp.
(19,201)
(872,493)
15,745
(1939.0)
Ingersoll
Rand,
Inc.
(17,985)
(778,031)
93,522
(11517.5)
International
Business
Machines
Corp.
(5,409)
(642,643)
47,038
(5792.9)
M&T
Bank
Corp.
(6,922)
(1,220,487)
75,934
(9351.5)
McCormick
&
Co.,
Inc.
(Non-Voting)
(18,707)
(1,333,248)
141,985
(17486.0)
NextEra
Energy,
Inc.
(10,526)
(825,344)
88,507
(10899.9)
NVIDIA
Corp.
(7,293)
(885,297)
90,652
(11164.0)
Quanta
Services,
Inc.
(5,009)
(638,097)
69,575
(8568.4)
Realty
Income
Corp.
(15,088)
(878,122)
87,058
(10721.4)
Teledyne
Technologies,
Inc.
(1,870)
(631,069)
64,683
(7965.9)
TJX
Cos.,
Inc.
(The)
(10,531)
(654,186)
36,016
(4435.5)
United
Parcel
Service,
Inc.
(4,385)
(708,353)
81,079
(9985.1)
74
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Welltower,
Inc.
(10,818)
(695,814)
74,861
(9219.3)
75
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
89.2%
INVESTMENT
COMPANIES
-
22.0%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(a)(b)
6,952,620
6,952,620
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)
96,587,303
96,539,009
TOTAL
INVESTMENT
COMPANIES
(Cost
$103,447,704)
103,491,629
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
67.2%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(c)
$
8,184,000
8,182,327
1.26%,
10/20/2022
(c)
407,000
406,509
1.38%,
10/27/2022
(c)
45,125,000
45,047,574
1.42%,
11/3/2022
(c)
11,014,000
10,988,745
1.39%,
11/10/2022
(c)
9,395,000
9,368,187
1.50%,
11/17/2022
(c)
34,777,000
34,653,107
1.54%,
11/25/2022
(c)
35,094,000
34,948,624
1.59%,
12/1/2022
(c)
44,794,000
44,580,553
1.72%,
12/8/2022
(c)(d)
21,209,000
21,094,246
2.42%,
12/22/2022
(c)(d)
8,483,000
8,422,714
2.53%,
12/29/2022
(c)(d)
29,764,000
29,533,726
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
67.2%
(continued)
2.95%,
1/19/2023
(c)(d)
$
27,869,000
27,587,690
2.89%,
2/2/2023
(c)(d)
33,881,000
33,479,105
3.53%,
3/16/2023
(c)(d)
8,448,000
8,305,938
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$317,085,494)
316,599,045
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$420,533,198)
420,090,674
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
89.2%
(Cost
$420,533,198)
420,090,674
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
10.8%
(e)
51,053,080
NET
ASSETS
-
100.0%
471,143,754
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
103,491,629
22.0
U.S.
Treasury
Obligations
316,599,045
67.2
Total
Investments
In
Securities
At
Value
$
420,090,674
89.2
Other
Assets
in
Excess
of
Liabilities
(e
)
51,053,080
10.8
Net
Assets
$
471,143,754
100.0%
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/28/2022
HKD
3,442,000
$
(10,825)
Hang
Seng
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
10/28/2022
HKD
3,442,000
(13,027)
Swiss
Market
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
12/16/2022
CHF
5,437,270
(422,427)
76
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.13%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
AUD
2,416,037
$
(69,184)
MSCI
Canada
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BA
plus
or
minus
a
specified
spread
(-1.40%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
CAD
1,313,394
(60,298)
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.27%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
EUR
746,701
(54,157)
MSCI
Germany
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
EUR
416,520
(31,117)
MSCI
Hong
Kong
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
HIBOR
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
HKD
1,966,354
(19,623)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
EUR
155,583
(11,894)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.00%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
JPY
1,000,986,797
(379,947)
77
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
EUR
1,478,084
$
(108,160)
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.30%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
SGD
176,457
(5,103)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
EUR
1,003,286
(85,242)
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
SEK
8,174,483
(38,541)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.12%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
CHF
1,182,279
(53,443)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
GBP
764,424
(43,269)
(1,406,257)
$
(1,406,257)
78
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
16
10/2022
EUR
$
2,009,181
$
(155,004)
CAC
40
10
Euro
Index
58
10/2022
EUR
3,276,141
(246,895)
Hang
Seng
Index
3
10/2022
HKD
328,868
(9,868)
IBEX
35
Index
22
10/2022
EUR
1,587,630
(156,824)
MSCI
Singapore
Index
14
10/2022
SGD
273,567
(181)
OMXS30
Index
97
10/2022
SEK
1,599,528
(92,635)
DAX
Index
6
12/2022
EUR
1,783,789
(175,262)
FTSE
100
Index
60
12/2022
GBP
4,632,231
(360,343)
FTSE/MIB
Index
7
12/2022
EUR
704,181
(65,007)
S&P
500
E-Mini
Index
577
12/2022
USD
103,903,274
(11,730,715)
S&P/TSX
60
Index
31
12/2022
CAD
5,009,012
(354,178)
SPI
200
Index
16
12/2022
AUD
1,654,391
(107,548)
TOPIX
Index
20
12/2022
JPY
2,537,138
(93,046)
$
(13,547,506)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
42,142
HKD
330,000
CITI
12/21/2022
$
43
USD
42,141
HKD
330,000
JPMC
12/21/2022
43
USD
17,066
SEK
179,621
CITI
12/21/2022
797
USD
17,066
SEK
179,618
JPMC
12/21/2022
797
Total
unrealized
appreciation
1,680
AUD
4,065,002
USD
2,785,004
CITI
12/21/2022
(181,122)
AUD
4,064,998
USD
2,785,005
JPMC
12/21/2022
(181,124)
CAD
6,078,214
USD
4,659,589
CITI
12/21/2022
(257,700)
CAD
6,078,196
USD
4,659,581
JPMC
12/21/2022
(257,704)
CHF
3,488,794
USD
3,636,026
CITI
12/21/2022
(70,723)
CHF
3,488,788
USD
3,636,024
JPMC
12/21/2022
(70,727)
DKK
7,312,722
USD
990,611
CITI
12/21/2022
(20,475)
DKK
7,312,721
USD
990,612
JPMC
12/21/2022
(20,477)
EUR
10,749,449
USD
10,799,655
CITI
12/21/2022
(197,893)
EUR
10,749,431
USD
10,799,651
JPMC
12/21/2022
(197,906)
GBP
4,563,503
USD
5,364,971
CITI
12/21/2022
(263,351)
GBP
4,563,498
USD
5,364,972
JPMC
12/21/2022
(263,357)
HKD
8,438,000
USD
1,077,599
CITI
12/21/2022
(1,159)
HKD
8,438,000
USD
1,077,600
JPMC
12/21/2022
(1,160)
ILS
969,501
USD
291,186
CITI
12/21/2022
(17,374)
ILS
969,499
USD
291,186
JPMC
12/21/2022
(17,374)
JPY
1,049,648,504
USD
7,657,532
CITI
12/21/2022
(338,267)
JPY
1,049,648,497
USD
7,657,542
JPMC
12/21/2022
(338,280)
NOK
2,882,265
USD
292,485
CITI
12/21/2022
(27,260)
NOK
2,882,250
USD
292,484
JPMC
12/21/2022
(27,260)
NZD
108,500
USD
66,068
CITI
12/21/2022
(5,317)
NZD
108,499
USD
66,067
JPMC
12/21/2022
(5,317)
SEK
12,758,001
USD
1,211,466
CITI
12/21/2022
(55,917)
SEK
12,758,000
USD
1,211,468
JPMC
12/21/2022
(55,919)
SGD
2,770,861
USD
1,977,916
CITI
12/21/2022
(46,571)
79
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
SGD
2,770,854
USD
1,977,913
JPMC
12/21/2022
$
(46,572)
Total
unrealized
depreciation
(2,966,306)
Net
unrealized
depreciation
$
(2,964,626)
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-6.59%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
10/25/2022
-
11/27/2023
$104,878,751
$1,030,402
$(2,357,579)
$(1,327,177)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Albertsons
Cos.,
Inc.
72,763
1,808,888
(11,642)
0.9
AT&T,
Inc.
142,909
2,192,224
(47,160)
3.6
BJ's
Wholesale
Club
Holdings,
Inc.
22,123
1,610,776
(58,405)
4.4
Celanese
Corp.
13,433
1,213,537
33,448
(2.5)
CF
Industries
Holdings,
Inc.
9,901
952,971
58,317
(4.4)
Chemours
Co.
(The)
47,189
1,163,209
33,504
(2.5)
Deckers
Outdoor
Corp.
2,943
920,011
(4,326)
0.3
Dow,
Inc.
39,220
1,722,935
21,179
(1.6)
Eagle
Materials,
Inc.
14,314
1,534,175
40,365
(3.0)
Huntsman
Corp.
88,849
2,180,354
47,978
(3.6)
International
Paper
Co.
32,185
1,020,264
(2,253)
0.2
Kroger
Co.
(The)
44,210
1,934,188
(55,263)
4.2
LyondellBasell
Industries
NV
42,964
3,234,330
132,329
(10.0)
Mattel,
Inc.
93,029
1,761,969
(71,632)
5.4
Mosaic
Co.
(The)
37,144
1,795,170
67,602
(5.1)
Packaging
Corp.
of
America
12,578
1,412,384
(7,924)
0.6
PulteGroup,
Inc.
28,848
1,081,800
(11,828)
0.9
PVH
Corp.
34,743
1,556,486
(44,471)
3.4
Skechers
USA,
Inc.
58,360
1,851,179
(71,783)
5.4
Taylor
Morrison
Home
Corp.
57,819
1,348,339
29,488
(2.2)
Toll
Brothers,
Inc.
41,647
1,749,174
36,649
(2.8)
Verizon
Communications,
Inc.
29,284
1,111,913
(28,113)
2.1
Walmart,
Inc.
21,156
2,743,933
(34,061)
2.6
Westlake
Corp.
12,434
1,080,266
63,786
(4.8)
Westrock
Co.
115,075
3,554,667
(78,251)
5.9
80
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
Kingdom
Linde
plc
(4,128)
(1,112,868)
(22,044)
1.7
United
States
Air
Products
and
Chemicals,
Inc.
(8,915)
(2,074,788)
(10,965)
0.8
Albemarle
Corp.
(3,408)
(901,212)
2,011
(0.2)
AptarGroup,
Inc.
(12,825)
(1,218,760)
30,524
(2.3)
Avery
Dennison
Corp.
(10,939)
(1,779,775)
10,611
(0.8)
Ball
Corp.
(24,301)
(1,174,224)
(243)
0.0
Capri
Holdings
Ltd.
(22,537)
(866,322)
4,958
(0.4)
Carter's,
Inc.
(37,349)
(2,447,480)
77,686
(5.9)
DR
Horton,
Inc.
(24,113)
(1,624,011)
21,461
(1.6)
Ecolab,
Inc.
(18,428)
(2,661,372)
35,382
(2.7)
Frontier
Communications
Parent,
Inc.
(39,545)
(926,539)
(83,835)
6.3
Ginkgo
Bioworks
Holdings,
Inc.
(325,740)
(1,016,309)
(104,237)
7.9
Graphic
Packaging
Holding
Co.
(99,884)
(1,971,710)
(3,995)
0.3
Grocery
Outlet
Holding
Corp.
(33,651)
(1,120,242)
32,641
(2.5)
Leggett
&
Platt,
Inc.
(37,318)
(1,239,704)
4,851
(0.4)
MP
Materials
Corp.
(47,311)
(1,291,590)
31,698
(2.4)
Polaris,
Inc.
(11,967)
(1,144,644)
33,986
(2.6)
RPM
International,
Inc.
(28,013)
(2,333,763)
42,580
(3.2)
Scotts
Miracle-Gro
Co.
(The)
(32,573)
(1,392,496)
216,610
(16.3)
Sysco
Corp.
(13,392)
(946,948)
38,971
(2.9)
TopBuild
Corp.
(6,984)
(1,150,824)
(67,465)
5.1
Topgolf
Callaway
Brands
Corp.
(71,199)
(1,371,293)
1,424
(0.1)
VF
Corp.
(47,412)
(1,418,093)
242,275
(18.3)
Vulcan
Materials
Co.
(9,319)
(1,469,699)
(35,039)
2.6
Worthington
Industries,
Inc.
(22,891)
(873,063)
213,573
(16.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.08%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$59,811,185
$346,937
$6,470
$353,407
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
41,646
878,172
(37,816)
(10.7)
Aurizon
Holdings
Ltd.
879,384
1,944,891
(91,352)
(25.8)
Australia
&
New
Zealand
Banking
Group
Ltd.
107,752
1,577,360
(46,507)
(13.2)
BHP
Group
Ltd.
134,677
3,347,819
90,633
25.6
81
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
BlueScope
Steel
Ltd.
245,876
2,387,860
(117,524)
(33.3)
Cochlear
Ltd.
6,427
798,346
(65,944)
(18.7)
Coles
Group
Ltd.
83,583
881,163
(12,753)
(3.6)
Computershare
Ltd.
34,526
550,692
(980)
(0.3)
Harvey
Norman
Holdings
Ltd.
499,219
1,291,451
(59,296)
(16.8)
Incitec
Pivot
Ltd.
714,657
1,625,040
(98,342)
(27.8)
JB
Hi-Fi
Ltd.
95,712
2,316,279
(183,423)
(51.9)
Origin
Energy
Ltd.
315,123
1,045,568
(115,466)
(32.7)
Qube
Holdings
Ltd.
236,174
374,983
(31,045)
(8.8)
Ramsay
Health
Care
Ltd.
12,261
450,071
(38,140)
(10.8)
Santos
Ltd.
302,920
1,399,353
(95,651)
(27.1)
Sonic
Healthcare
Ltd.
99,168
1,934,292
(9,454)
(2.7)
South32
Ltd.
800,178
1,899,551
(101,720)
(28.8)
Suncorp
Group
Ltd.
141,582
913,622
(30,043)
(8.5)
Telstra
Corp.
Ltd.
790,541
1,952,027
33,380
9.4
Westpac
Banking
Corp.
66,634
881,568
(36,946)
(10.5)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(53,903)
(476,692)
52,217
14.8
Alumina
Ltd.
(791,344)
(640,630)
69,046
19.5
APA
Group
(93,465)
(575,085)
46,080
13.0
carsales.com
Ltd.
(59,049)
(704,353)
69,001
19.5
Cleanaway
Waste
Management
Ltd.
(424,091)
(739,343)
6,676
1.9
Commonwealth
Bank
of
Australia
(41,906)
(2,437,880)
99,497
28.2
CSL
Ltd.
(13,744)
(2,499,582)
(12,679)
(3.6)
Domino's
Pizza
Enterprises
Ltd.
(32,818)
(1,081,238)
149,525
42.3
Endeavour
Group
Ltd.
(113,181)
(508,651)
4,895
1.4
Evolution
Mining
Ltd.
(291,361)
(380,103)
1,954
0.6
Fortescue
Metals
Group
Ltd.
(57,869)
(621,244)
17,015
4.8
IDP
Education
Ltd.
(113,868)
(1,912,810)
99,640
28.2
IGO
Ltd.
(90,762)
(798,389)
32,308
9.1
Insurance
Australia
Group
Ltd.
(297,874)
(881,189)
(25,687)
(7.3)
Lendlease
Corp.
Ltd.
(198,344)
(1,133,960)
103,030
29.2
Lynas
Rare
Earths
Ltd.
(208,837)
(1,007,101)
29,500
8.3
Macquarie
Group
Ltd.
(11,975)
(1,168,284)
153,886
43.5
Medibank
Pvt
Ltd.
(327,266)
(731,492)
7,162
2.0
Mineral
Resources
Ltd.
(26,203)
(1,099,856)
39,875
11.3
OZ
Minerals
Ltd.
(86,724)
(1,434,701)
14,809
4.2
Pilbara
Minerals
Ltd.
(143,283)
(413,406)
21,937
6.2
Pro
Medicus
Ltd.
(24,469)
(781,341)
65,567
18.6
REA
Group
Ltd.
(15,937)
(1,159,997)
91,782
26.0
Reece
Ltd.
(117,369)
(1,054,694)
30,892
8.7
Transurban
Group
(103,369)
(816,348)
53,521
15.1
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(30,495)
(524,266)
(33,297)
(9.4)
Wesfarmers
Ltd.
(60,039)
(1,641,378)
103,609
29.3
Woodside
Energy
Group
Ltd.
(21,752)
(444,426)
6,794
1.9
Woolworths
Group
Ltd.
(23,328)
(506,932)
10,405
2.9
Worley
Ltd.
(91,388)
(745,057)
60,471
17.1
82
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.02%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$90,796,342
$(1,728,751)
$(209,842)
$(1,938,593)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
35,982
1,946,838
40,903
(2.1)
Jordan
Hikma
Pharmaceuticals
plc
77,938
1,174,759
103,523
(5.3)
Netherlands
Shell
plc
163,194
4,048,506
(157,342)
8.1
Nigeria
Airtel
Africa
plc
874,152
1,253,795
(63,851)
3.3
South
Africa
Anglo
American
plc
32,639
980,013
(33,097)
1.7
United
Kingdom
abrdn
plc
663,106
1,014,361
(39,955)
2.1
Associated
British
Foods
plc
154,358
2,156,785
(119,615)
6.2
Auto
Trader
Group
plc
135,181
766,621
(142,922)
7.4
BAE
Systems
plc
157,281
1,381,938
26,563
(1.4)
Barclays
plc
1,086,880
1,729,373
(331,111)
17.1
Barratt
Developments
plc
477,175
1,803,445
(354,467)
18.3
BP
plc
354,606
1,694,446
(102,337)
5.3
British
American
Tobacco
plc
40,552
1,454,095
(121,061)
6.2
Centrica
plc
2,228,304
1,748,558
(231,402)
11.9
DS
Smith
plc
314,136
888,392
(27,844)
1.4
Howden
Joinery
Group
plc
188,719
1,054,287
(121,077)
6.2
Imperial
Brands
plc
153,811
3,162,796
(124,263)
6.4
Inchcape
plc
142,030
1,075,453
(74,865)
3.9
InterContinental
Hotels
Group
plc
41,004
1,974,829
(151,792)
7.8
Intertek
Group
plc
21,895
898,332
(37,449)
1.9
JD
Sports
Fashion
plc
803,503
885,202
(217,397)
11.2
Lloyds
Banking
Group
plc
2,034,674
919,648
(192,579)
9.9
Man
Group
plc
444,942
1,101,711
(103,029)
5.3
Marks
&
Spencer
Group
plc
1,077,680
1,175,547
(169,123)
8.7
Royal
Mail
plc
628,439
1,279,195
(225,553)
11.6
RS
GROUP
plc
68,992
736,482
(50,025)
2.6
Smiths
Group
plc
75,950
1,265,098
(995)
0.1
Vodafone
Group
plc
1,413,137
1,581,583
(96,921)
5.0
United
States
GSK
plc
130,036
1,878,072
(27,714)
1.4
83
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(147,084)
(1,802,335)
7,279
(0.4)
Hong
Kong
Prudential
plc
(116,767)
(1,142,873)
100,655
(5.2)
United
Kingdom
Admiral
Group
plc
(38,674)
(821,576)
107,814
(5.6)
Ashtead
Group
plc
(22,570)
(1,013,615)
18,452
(1.0)
AstraZeneca
plc
(26,140)
(2,873,557)
67,274
(3.5)
AVEVA
Group
plc
(76,031)
(2,623,241)
(35,720)
1.8
B&M
European
Value
Retail
SA
(363,051)
(1,234,822)
110,988
(5.7)
Berkeley
Group
Holdings
plc
(44,149)
(1,613,003)
115,758
(6.0)
Compass
Group
plc
(64,137)
(1,277,123)
48,418
(2.5)
ConvaTec
Group
plc
(499,928)
(1,136,122)
75,160
(3.9)
Croda
International
plc
(13,870)
(990,651)
13,497
(0.7)
Experian
plc
(38,392)
(1,123,834)
(6,682)
0.3
Halma
plc
(36,839)
(828,596)
8,452
(0.4)
Informa
plc
(175,391)
(1,002,518)
61,246
(3.2)
Ocado
Group
plc
(184,455)
(957,225)
291,676
(15.0)
Pennon
Group
plc
(155,513)
(1,356,886)
208,461
(10.8)
Rentokil
Initial
plc
(223,750)
(1,185,982)
92,139
(4.8)
Schroders
plc
(226,752)
(974,652)
108,832
(5.6)
Severn
Trent
plc
(38,166)
(997,720)
115,364
(6.0)
Tate
&
Lyle
plc
(117,799)
(888,184)
16,469
(0.8)
United
Utilities
Group
plc
(142,387)
(1,405,952)
193,131
(10.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.03%
to
0.04%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$31,006,448
$(703,249)
$(207,052)
$(910,301)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
188,500
626,898
(3,854)
0.4
SITC
International
Holdings
Co.
Ltd.
290,000
531,841
(66,431)
7.3
Xinyi
Glass
Holdings
Ltd.
261,000
377,454
(62,110)
6.8
84
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
ASMPT
Ltd.
135,100
818,970
(138,846)
15.3
CK
Asset
Holdings
Ltd.
177,997
1,068,585
(136,633)
15.0
CLP
Holdings
Ltd.
74,500
563,051
(61,448)
6.8
Hang
Lung
Properties
Ltd.
36,000
59,117
(3,156)
0.3
Henderson
Land
Development
Co.
Ltd.
240,000
672,051
(87,333)
9.6
HKT
Trust
&
HKT
Ltd.
242,000
283,434
(32,876)
3.6
Man
Wah
Holdings
Ltd.
2,028,000
1,284,159
(153,715)
16.9
New
World
Development
Co.
Ltd.
308,250
875,457
(151,542)
16.6
Sino
Land
Co.
Ltd.
630,000
828,656
(91,104)
10.0
Sun
Hung
Kai
Properties
Ltd.
201,500
2,223,809
(222,536)
24.4
Swire
Pacific
Ltd.
47,000
351,303
16,600
(1.8)
WH
Group
Ltd.
2,558,500
1,609,141
(115,072)
12.6
United
Kingdom
CK
Hutchison
Holdings
Ltd.
501,000
2,758,631
(317,685)
34.9
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(360,200)
(937,982)
94,485
(10.4)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(141,400)
(265,744)
13,031
(1.4)
ESR
Group
Ltd.
(554,000)
(1,393,515)
148,580
(16.3)
Hong
Kong
AIA
Group
Ltd.
(266,600)
(2,219,687)
198,367
(21.8)
Hang
Seng
Bank
Ltd.
(64,200)
(975,359)
18,354
(2.0)
Hong
Kong
&
China
Gas
Co.
Ltd.
(407,045)
(358,546)
21,329
(2.3)
MTR
Corp.
Ltd.
(98,139)
(450,149)
51,195
(5.6)
Power
Assets
Holdings
Ltd.
(115,500)
(578,975)
65,499
(7.2)
Swire
Properties
Ltd.
(38,200)
(82,179)
8,630
(0.9)
Techtronic
Industries
Co.
Ltd.
(255,000)
(2,433,242)
374,319
(41.1)
Wharf
Real
Estate
Investment
Co.
Ltd.
(568,000)
(2,574,965)
185,566
(20.4)
Macau
Galaxy
Entertainment
Group
Ltd.
(444,000)
(2,609,784)
(163,433)
18.0
Sands
China
Ltd.
(244,000)
(607,615)
(51,208)
5.6
Wynn
Macau
Ltd.
(919,600)
(586,149)
(40,222)
4.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-0.10%
to
0.03%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/10/2026
$420,790,828
$(1,967,113)
$7,626,993
$5,659,880
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
85
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Dai-ichi
Life
Holdings,
Inc.
272,400
4,331,248
(291,735)
(5.2)
Dentsu
Group,
Inc.
102,100
2,902,449
(102,165)
(1.8)
Fujitsu
Ltd.
22,800
2,500,066
(22,707)
(0.4)
Fukuoka
Financial
Group,
Inc.
146,900
2,616,170
(90,818)
(1.6)
Hino
Motors
Ltd.
737,200
3,047,873
(308,824)
(5.5)
Japan
Post
Holdings
Co.
Ltd.
391,000
2,590,458
(107,485)
(1.9)
Japan
Tobacco,
Inc.
238,700
3,922,499
(58,033)
(1.0)
Lawson,
Inc.
101,000
3,304,289
10,432
0.2
Mazda
Motor
Corp.
626,900
4,162,709
(1,060,198)
(18.7)
McDonald's
Holdings
Co.
Japan
Ltd.
70,900
2,470,367
25,935
0.5
Medipal
Holdings
Corp.
201,400
2,561,271
(40,940)
(0.7)
Mitsubishi
HC
Capital,
Inc.
669,000
2,875,511
(272,344)
(4.8)
Mizuho
Financial
Group,
Inc.
744,600
8,060,021
(531,717)
(9.4)
NH
Foods
Ltd.
105,100
2,770,282
(61,932)
(1.1)
NIPPON
EXPRESS
HOLDINGS,
Inc.
74,500
3,786,760
58,332
1.0
Pola
Orbis
Holdings,
Inc.
216,300
2,443,071
14,497
0.3
SCREEN
Holdings
Co.
Ltd.
67,900
3,684,183
(542,661)
(9.6)
Seiko
Epson
Corp.
223,800
3,055,866
(259,460)
(4.6)
Shimamura
Co.
Ltd.
36,500
3,088,919
(15,586)
(0.3)
Shin-Etsu
Chemical
Co.
Ltd.
25,100
2,483,816
(267,299)
(4.7)
Sohgo
Security
Services
Co.
Ltd.
97,100
2,443,292
7,909
0.1
Square
Enix
Holdings
Co.
Ltd.
60,300
2,599,004
3,485
0.1
Tosoh
Corp.
236,500
2,635,879
(176,368)
(3.1)
Yamada
Holdings
Co.
Ltd.
1,197,800
3,941,489
(64,028)
(1.1)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(187,900)
(3,508,752)
(9,240)
(0.2)
Asahi
Intecc
Co.
Ltd.
(172,300)
(2,747,895)
123,574
2.2
Chubu
Electric
Power
Co.,
Inc.
(298,600)
(2,685,484)
229,750
4.1
Daiichi
Sankyo
Co.
Ltd.
(102,900)
(2,876,144)
110,679
2.0
Daikin
Industries
Ltd.
(25,900)
(3,985,209)
326,686
5.8
Denso
Corp.
(75,900)
(3,470,389)
423,465
7.5
Hitachi
Ltd.
(69,100)
(2,940,627)
227,136
4.0
JSR
Corp.
(260,700)
(4,943,583)
487,291
8.6
Keyence
Corp.
(8,100)
(2,677,540)
187,374
3.3
Kikkoman
Corp.
(52,100)
(2,953,605)
23,435
0.4
Kobe
Bussan
Co.
Ltd.
(147,100)
(3,538,828)
89,632
1.6
Kose
Corp.
(26,800)
(2,763,197)
(74,494)
(1.3)
Kubota
Corp.
(213,100)
(2,961,428)
219,685
3.9
Kyowa
Kirin
Co.
Ltd.
(128,800)
(2,961,396)
(122,713)
(2.2)
Lasertec
Corp.
(25,000)
(2,514,548)
505,730
8.9
Mitsubishi
UFJ
Financial
Group,
Inc.
(744,700)
(3,373,586)
402,140
7.1
Nidec
Corp.
(64,700)
(3,621,657)
483,951
8.6
Nippon
Paint
Holdings
Co.
Ltd.
(433,600)
(2,928,930)
285,696
5.0
Nissan
Chemical
Corp.
(55,000)
(2,457,053)
117,591
2.1
Rakuten
Group,
Inc.
(566,800)
(2,425,615)
96,455
1.7
Sekisui
House
Ltd.
(153,300)
(2,539,000)
124,923
2.2
Sumitomo
Electric
Industries
Ltd.
(275,900)
(2,800,805)
291,803
5.2
Tokio
Marine
Holdings,
Inc.
(202,800)
(3,604,391)
85,598
1.5
Toyota
Motor
Corp.
(365,500)
(4,777,251)
370,418
6.5
Yamaha
Corp.
(75,100)
(2,668,632)
18,675
0.3
86
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Yaskawa
Electric
Corp.
(118,100)
(3,398,695)
268,941
4.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.03%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
29-61
months
maturity
ranging
from
01/13/2025
-
09/23/2027
$78,307,721
$(139,283)
$(27,410)
$(166,693)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Air
France-KLM
1,270,004
1,599,399
(230,988)
138.6
Arkema
SA
7,077
515,764
(72,885)
43.7
Atos
SE
143,421
1,133,795
(153,098)
91.8
BioMerieux
10,443
826,040
(116,163)
69.7
Bouygues
SA
43,419
1,135,777
(129,743)
77.8
Capgemini
SE
9,086
1,454,674
(142,836)
85.7
Cie
de
Saint-Gobain
113,664
4,064,126
(548,875)
329.3
Dassault
Aviation
SA
8,253
938,951
(132,756)
79.6
Edenred
12,944
596,340
(40,855)
24.5
Eiffage
SA
28,733
2,304,187
(207,102)
124.2
Electricite
de
France
SA
276,570
3,207,507
(42,412)
25.4
Engie
SA
116,682
1,342,997
(117,916)
70.7
Ipsen
SA
21,534
1,992,974
(130,128)
78.1
Korian
SA
46,368
472,584
(99,997)
60.0
La
Francaise
des
Jeux
SAEM
37,970
1,126,339
(97,952)
58.8
Orange
SA
197,559
1,786,830
(167,032)
100.2
Publicis
Groupe
SA
27,332
1,295,064
(86,060)
51.6
Renault
SA
51,049
1,381,183
(105,684)
63.4
Rexel
SA
104,112
1,560,302
(183,986)
110.4
Rubis
SCA
53,942
1,122,543
(193,816)
116.3
Sanofi
26,610
2,026,259
(81,409)
48.8
Sodexo
SA
8,094
607,862
(34,640)
20.8
Thales
SA
14,696
1,619,411
(60,607)
36.4
TotalEnergies
SE
24,211
1,135,849
(44,366)
26.6
Luxembourg
SES
SA
214,078
1,172,547
(230,392)
138.2
Singapore
STMicroelectronics
NV
55,277
1,717,858
(279,560)
167.7
87
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
France
Accor
SA
(47,609)
(996,724)
121,697
(73.0)
Aeroports
de
Paris
(16,363)
(1,890,916)
256,379
(153.8)
Air
Liquide
SA
(31,127)
(3,557,788)
189,571
(113.7)
Airbus
SE
(21,780)
(1,877,444)
171,723
(103.0)
Alstom
SA
(65,394)
(1,057,798)
301,538
(180.9)
AXA
SA
(26,960)
(588,615)
67,389
(40.4)
Bollore
SE
(144,551)
(663,208)
15,214
(9.1)
Bureau
Veritas
SA
(50,782)
(1,136,376)
109,339
(65.6)
Cie
Generale
des
Etablissements
Michelin
SCA
(99,001)
(2,218,186)
140,514
(84.3)
EssilorLuxottica
SA
(22,725)
(3,088,846)
311,413
(186.8)
Faurecia
SE
(75,619)
(818,562)
257,521
(154.5)
Hermes
International
(881)
(1,036,162)
84,908
(50.9)
Kering
SA
(1,665)
(738,509)
104,366
(62.6)
L'Oreal
SA
(8,517)
(2,723,243)
142,402
(85.4)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(3,139)
(1,850,675)
156,045
(93.6)
Pernod
Ricard
SA
(5,502)
(1,009,365)
8,420
(5.1)
Remy
Cointreau
SA
(5,800)
(962,501)
66,140
(39.7)
Sartorius
Stedim
Biotech
(4,682)
(1,436,142)
323,816
(194.3)
SOITEC
(8,254)
(942,475)
240,994
(144.6)
Valeo
(56,837)
(858,799)
204,852
(122.9)
Veolia
Environnement
SA
(46,017)
(879,485)
143,810
(86.3)
Worldline
SA
(36,673)
(1,449,527)
228,795
(137.3)
Luxembourg
Eurofins
Scientific
SE
(8,104)
(481,089)
50,532
(30.3)
United
States
Schneider
Electric
SE
(34,291)
(3,873,195)
320,092
(192.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.74%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
29-61
months
maturity
ranging
from
01/13/2025
-
09/29/2027
$591,579,868
$(1,786,349)
$683,757
$(1,102,592)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
ACI
Worldwide,
Inc.
117,345
2,452,510
(199,642)
18.1
American
International
Group,
Inc.
51,590
2,449,493
(390,020)
35.4
Booking
Holdings,
Inc.
2,222
3,651,213
(730,015)
66.2
88
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Camden
Property
Trust
18,774
2,242,554
(288,932)
26.2
Citigroup,
Inc.
104,435
4,351,806
(921,175)
83.5
Citizens
Financial
Group,
Inc.
75,133
2,581,570
(290,271)
26.3
CNO
Financial
Group,
Inc.
172,082
3,092,314
(185,849)
16.9
Coca-Cola
Co.
(The)
58,029
3,250,785
(356,158)
32.3
Douglas
Emmett,
Inc.
134,879
2,418,380
(449,147)
40.7
Expedia
Group,
Inc.
42,874
4,016,865
(626,610)
56.8
FirstEnergy
Corp.
68,102
2,519,774
(307,140)
27.9
Intel
Corp.
87,060
2,243,536
(495,372)
44.9
Kraft
Heinz
Co.
(The)
105,878
3,531,031
(329,281)
29.9
Lincoln
National
Corp.
54,878
2,409,693
(378,658)
34.3
ManpowerGroup,
Inc.
41,985
2,716,010
(410,193)
37.2
Meta
Platforms,
Inc.
26,676
3,619,400
(892,847)
81.0
Microsoft
Corp.
10,956
2,551,652
(289,689)
26.3
Southwest
Airlines
Co.
75,320
2,322,869
(456,054)
41.4
Tyson
Foods,
Inc.
64,091
4,225,520
(607,391)
55.1
Vail
Resorts,
Inc.
14,867
3,205,920
(180,736)
16.4
Wells
Fargo
&
Co.
67,276
2,705,841
(343,780)
31.2
Wintrust
Financial
Corp.
29,377
2,395,694
(180,045)
16.3
Yum!
Brands,
Inc.
21,406
2,276,314
(208,709)
18.9
Short
Positions
Common
Stocks
United
States
Clorox
Co.
(The)
(18,604)
(2,388,568)
367,801
(33.4)
Commerce
Bancshares,
Inc.
(42,421)
(2,806,573)
194,712
(17.7)
Dollar
Tree,
Inc.
(19,152)
(2,606,587)
159,085
(14.4)
Dominion
Energy,
Inc.
(34,536)
(2,386,783)
485,230
(44.0)
First
Financial
Bankshares,
Inc.
(69,013)
(2,886,814)
73,844
(6.7)
Five
Below,
Inc.
(17,461)
(2,403,856)
87,130
(7.9)
Freshpet,
Inc.
(46,063)
(2,307,296)
(477,146)
43.3
GameStop
Corp.
(125,287)
(3,148,462)
418,886
(38.0)
Glacier
Bancorp,
Inc.
(50,669)
(2,489,368)
119,579
(10.8)
Home
BancShares,
Inc.
(106,865)
(2,405,531)
112,208
(10.2)
Hormel
Foods
Corp.
(71,414)
(3,245,052)
101,408
(9.2)
International
Business
Machines
Corp.
(22,730)
(2,700,551)
232,954
(21.1)
M&T
Bank
Corp.
(29,068)
(5,125,270)
328,178
(29.8)
McCormick
&
Co.,
Inc.
(Non-Voting)
(69,547)
(4,956,615)
599,494
(54.4)
Morgan
Stanley
(38,410)
(3,034,774)
394,055
(35.7)
NextEra
Energy,
Inc.
(39,150)
(3,069,752)
441,293
(40.0)
NVIDIA
Corp.
(29,139)
(3,537,183)
655,044
(59.4)
Principal
Financial
Group,
Inc.
(34,807)
(2,511,325)
213,715
(19.4)
Progressive
Corp.
(The)
(19,128)
(2,222,865)
238,526
(21.6)
Realty
Income
Corp.
(59,647)
(3,471,455)
512,367
(46.5)
Selective
Insurance
Group,
Inc.
(27,239)
(2,217,255)
24,787
(2.2)
SVB
Financial
Group
(6,910)
(2,320,240)
602,482
(54.6)
TJX
Cos.,
Inc.
(The)
(37,959)
(2,358,013)
170,816
(15.5)
United
Bankshares,
Inc.
(64,230)
(2,296,222)
60,376
(5.5)
United
Parcel
Service,
Inc.
(16,992)
(2,744,888)
616,306
(55.9)
Verisk
Analytics,
Inc.
(13,384)
(2,282,374)
287,890
(26.1)
Welltower,
Inc.
(42,210)
(2,714,947)
560,126
(50.8)
89
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-0.95%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-63
months
maturity
ranging
from
01/21/2025
-
09/23/2027
$72,711,658
$(442,560)
$19,525
$(423,035)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
66,959
804,177
(106,491)
25.2
Atco
Ltd.
57,148
1,756,204
(189,480)
44.8
Bank
of
Montreal
8,172
716,244
(38,335)
9.1
Barrick
Gold
Corp.
51,663
800,742
32,164
(7.6)
Canadian
Tire
Corp.
Ltd.
10,144
1,079,868
(83,276)
19.7
Capital
Power
Corp.
31,861
1,081,754
(98,257)
23.2
CGI,
Inc.
9,318
701,472
1,214
(0.3)
CI
Financial
Corp.
83,955
804,694
(120,947)
28.6
Empire
Co.
Ltd.
48,541
1,207,419
(70,632)
16.7
Fairfax
Financial
Holdings
Ltd.
2,690
1,228,576
(43,855)
10.4
Finning
International,
Inc.
60,238
1,058,804
(105,095)
24.8
George
Weston
Ltd.
11,757
1,230,980
(48,089)
11.4
iA
Financial
Corp.,
Inc.
20,314
1,032,207
(45,441)
10.7
Imperial
Oil
Ltd.
44,430
1,923,740
(65,401)
15.5
Loblaw
Cos.
Ltd.
12,341
977,202
(42,258)
10.0
Manulife
Financial
Corp.
96,381
1,512,680
(94,281)
22.3
MEG
Energy
Corp.
74,823
837,415
(153,291)
36.2
Onex
Corp.
30,953
1,419,758
(82,685)
19.5
Open
Text
Corp.
30,835
814,990
(45,538)
10.8
Suncor
Energy,
Inc.
68,321
1,923,978
(122,393)
28.9
Teck
Resources
Ltd.
40,122
1,220,201
(62,157)
14.7
Toromont
Industries
Ltd.
12,880
896,616
(58,090)
13.7
West
Fraser
Timber
Co.
Ltd.
21,780
1,575,615
(143,913)
34.0
Whitecap
Resources,
Inc.
217,183
1,374,148
(99,052)
23.4
Chile
Lundin
Mining
Corp.
208,056
1,051,313
(42,173)
10.0
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(31,437)
(1,017,973)
(39,599)
9.4
Canada
Agnico
Eagle
Mines
Ltd.
(22,862)
(965,886)
(47,003)
11.1
Algonquin
Power
&
Utilities
Corp.
(92,618)
(1,011,768)
160,695
(38.0)
BCE,
Inc.
(32,907)
(1,379,790)
110,536
(26.1)
Boralex,
Inc.
(24,579)
(780,599)
54,448
(12.9)
90
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Brookfield
Asset
Management,
Inc.
(44,132)
(1,805,407)
242,808
(57.4)
CAE,
Inc.
(76,043)
(1,166,505)
115,605
(27.3)
Cameco
Corp.
(42,118)
(1,117,780)
25,917
(6.1)
Canadian
Pacific
Railway
Ltd.
(32,040)
(2,138,783)
142,184
(33.6)
Dollarama,
Inc.
(15,571)
(893,894)
(7,665)
1.8
Element
Fleet
Management
Corp.
(109,334)
(1,290,147)
46,699
(11.0)
Enbridge,
Inc.
(28,753)
(1,066,152)
73,894
(17.5)
Franco-Nevada
Corp.
(12,344)
(1,474,471)
(46,289)
10.9
GFL
Environmental,
Inc.
(32,927)
(832,144)
63,168
(14.9)
Innergex
Renewable
Energy,
Inc.
(66,011)
(831,021)
137,150
(32.4)
Intact
Financial
Corp.
(8,824)
(1,248,781)
47,718
(11.3)
Lightspeed
Commerce,
Inc.
(42,301)
(744,444)
(16,536)
3.9
Metro,
Inc.
(17,986)
(900,635)
26,171
(6.2)
Rogers
Communications,
Inc.
(21,641)
(833,618)
38,696
(9.1)
Royal
Bank
of
Canada
(11,028)
(992,907)
25,867
(6.1)
Saputo,
Inc.
(31,356)
(747,496)
34,730
(8.2)
TMX
Group
Ltd.
(9,133)
(840,076)
29,885
(7.1)
Toronto-Dominion
Bank
(The)
(15,309)
(938,921)
40,341
(9.5)
United
States
Brookfield
Renewable
Corp.
(38,236)
(1,249,483)
219,781
(52.0)
BRP,
Inc.
(15,224)
(937,786)
85,193
(20.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-61
months
maturity
ranging
from
01/21/2025
-
09/23/2027
$36,302,424
$(1,074,229)
$(12,915)
$(1,087,144)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Italy
A2A
SpA
929,430
902,900
(72,661)
6.7
Assicurazioni
Generali
SpA
73,421
1,002,515
(89,062)
8.2
Azimut
Holding
SpA
37,434
533,932
(69,022)
6.3
Banco
BPM
SpA
5,241
13,704
(981)
0.1
Buzzi
Unicem
SpA
96,648
1,367,190
(90,545)
8.3
Enel
SpA
240,220
985,196
(174,605)
16.1
Italgas
SpA
141,561
657,374
(59,202)
5.4
Leonardo
SpA
341,987
2,421,405
(172,097)
15.8
Pirelli
&
C
SpA
215,888
703,181
(92,730)
8.5
Poste
Italiane
SpA
41,406
312,823
(24,316)
2.2
Prysmian
SpA
38,455
1,101,501
(91,972)
8.5
91
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
(continued)
Snam
SpA
271,633
1,097,923
(155,146)
14.3
UniCredit
SpA
300,172
3,038,967
(98,206)
9.0
Unipol
Gruppo
SpA
544,028
2,112,989
(218,051)
20.1
United
States
Stellantis
NV
340,004
4,016,279
(479,592)
44.1
Tenaris
SA
15,731
203,545
(7,756)
0.7
Short
Positions
Common
Stocks
Italy
Amplifon
SpA
(15,100)
(393,420)
(20,343)
1.9
Banca
Generali
SpA
(23,043)
(639,066)
(32,930)
3.0
Brembo
SpA
(30,125)
(248,510)
18,682
(1.7)
Davide
Campari-Milano
NV
(13,682)
(121,052)
2,981
(0.3)
DiaSorin
SpA
(8,816)
(983,800)
102,263
(9.4)
Ferrari
NV
(10,584)
(1,960,007)
78,257
(7.2)
FinecoBank
Banca
Fineco
SpA
(178,831)
(2,208,652)
(30,697)
2.8
Hera
SpA
(8,743)
(18,578)
1,474
(0.1)
Infrastrutture
Wireless
Italiane
SpA
(83,877)
(731,787)
47,530
(4.4)
Interpump
Group
SpA
(11,105)
(359,158)
11,750
(1.1)
Intesa
Sanpaolo
SpA
(794,557)
(1,313,416)
178,117
(16.4)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(145,872)
(1,141,408)
73,481
(6.8)
Moncler
SpA
(3,840)
(156,766)
9,263
(0.9)
Nexi
SpA
(225,303)
(1,820,024)
105,424
(9.7)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(21,141)
(773,729)
46,338
(4.3)
Reply
SpA
(284)
(29,581)
924
(0.1)
Salvatore
Ferragamo
SpA
(10,498)
(147,315)
4,441
(0.4)
Telecom
Italia
SpA
(1,680,691)
(310,873)
(1,700)
0.2
Terna
-
Rete
Elettrica
Nazionale
(154,528)
(941,157)
133,195
(12.3)
United
Kingdom
CNH
Industrial
NV
(136,943)
(1,532,701)
93,265
(8.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.75%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-61
months
maturity
ranging
from
01/21/2025
-
09/23/2027
$10,061,612
$193,143
$(2,405)
$190,738
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
92
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
263,600
701,278
(25,508)
(13.4)
Yangzijiang
Shipbuilding
Holdings
Ltd.
4,183,000
2,986,298
44,728
23.5
Singapore
City
Developments
Ltd.
13,300
70,093
(5,915)
(3.1)
Genting
Singapore
Ltd.
1,212,500
658,913
(16,590)
(8.7)
Keppel
Corp.
Ltd.
14,500
69,772
(2,836)
(1.5)
Oversea-Chinese
Banking
Corp.
Ltd.
136,200
1,116,007
(50,405)
(26.4)
Singapore
Airlines
Ltd.
128,500
454,159
(20,944)
(11.0)
Singapore
Technologies
Engineering
Ltd.
107,600
267,327
(8,368)
(4.4)
Singapore
Telecommunications
Ltd.
130,300
240,435
(3,608)
(1.9)
United
Overseas
Bank
Ltd.
12,100
219,162
(10,327)
(5.4)
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(70,700)
(1,635,529)
8,600
4.5
SATS
Ltd.
(311,400)
(650,654)
229,613
120.4
Venture
Corp.
Ltd.
(87,300)
(991,985)
54,703
28.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-2.20%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-62
months
maturity
ranging
from
01/22/2025
-
09/23/2027
$268,783,678
$1,391,541
$110,223
$1,501,764
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Allison
Transmission
Holdings,
Inc.
75,038
2,533,283
(171,837)
(11.4)
APA
Corp.
49,885
1,705,568
(310,605)
(20.7)
Arrow
Electronics,
Inc.
22,419
2,066,808
(116,803)
(7.8)
Builders
FirstSource,
Inc.
34,900
2,056,308
61,773
4.1
Cisco
Systems,
Inc.
77,309
3,092,360
(255,120)
(17.0)
Crane
Holdings
Co.
19,621
1,717,622
(79,701)
(5.3)
CVS
Health
Corp.
29,830
2,844,887
(201,054)
(13.4)
Dell
Technologies,
Inc.
49,204
1,681,301
(179,595)
(12.0)
EMCOR
Group,
Inc.
24,175
2,791,729
(101,293)
(6.7)
Exxon
Mobil
Corp.
26,643
2,326,200
(156,927)
(10.4)
93
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
General
Dynamics
Corp.
9,259
1,964,482
(156,107)
(10.4)
General
Electric
Co.
25,865
1,601,302
(132,500)
(8.8)
Gilead
Sciences,
Inc.
27,401
1,690,368
(113,166)
(7.5)
Halliburton
Co.
87,643
2,157,771
(316,611)
(21.1)
Huntington
Ingalls
Industries,
Inc.
8,866
1,963,819
(118,673)
(7.9)
Kennametal,
Inc.
85,096
1,751,276
(151,471)
(10.1)
Lockheed
Martin
Corp.
4,205
1,624,349
(127,117)
(8.5)
Marathon
Petroleum
Corp.
17,806
1,768,670
53,952
3.6
Medtronic
plc
30,830
2,489,522
(275,312)
(18.3)
MSC
Industrial
Direct
Co.,
Inc.
33,490
2,438,407
(124,248)
(8.3)
Owens
Corning
37,385
2,938,835
(141,315)
(9.4)
PDC
Energy,
Inc.
28,108
1,624,361
(136,043)
(9.1)
Pfizer,
Inc.
54,691
2,393,278
(91,881)
(6.1)
Phillips
66
21,223
1,713,121
(26,375)
(1.8)
Sensata
Technologies
Holding
plc
43,303
1,614,336
(156,757)
(10.4)
Syneos
Health,
Inc.
40,102
1,890,809
(157,881)
(10.5)
Textron,
Inc.
29,774
1,734,633
(173,582)
(11.6)
Univar
Solutions,
Inc.
92,749
2,109,112
(147,407)
(9.8)
Valero
Energy
Corp.
19,894
2,125,674
40,559
2.7
Vishay
Intertechnology,
Inc.
208,413
3,707,667
(241,759)
(16.1)
Short
Positions
Common
Stocks
United
States
agilon
health,
Inc.
(80,742)
(1,890,978)
25,837
1.7
Apple,
Inc.
(13,090)
(1,809,038)
213,105
14.2
Axon
Enterprise,
Inc.
(17,942)
(2,076,786)
39,777
2.6
Catalent,
Inc.
(24,948)
(1,805,237)
406,656
27.1
Chart
Industries,
Inc.
(13,105)
(2,415,907)
279,137
18.6
Eli
Lilly
&
Co.
(5,371)
(1,736,713)
(99,477)
(6.6)
HEICO
Corp.
(13,001)
(1,871,884)
134,430
9.0
Honeywell
International,
Inc.
(22,965)
(3,834,466)
267,772
17.8
Ingersoll
Rand,
Inc.
(69,493)
(3,006,267)
361,364
24.1
Insulet
Corp.
(10,086)
(2,313,728)
254,571
17.0
Motorola
Solutions,
Inc.
(7,327)
(1,641,028)
121,599
8.1
Northrop
Grumman
Corp.
(3,507)
(1,649,412)
63,511
4.2
Novocure
Ltd.
(22,185)
(1,685,616)
138,978
9.3
PerkinElmer,
Inc.
(15,631)
(1,880,878)
155,997
10.4
Quanta
Services,
Inc.
(20,179)
(2,570,603)
280,286
18.7
R1
RCM,
Inc.
(87,560)
(1,622,487)
143,716
9.6
Repligen
Corp.
(8,863)
(1,658,356)
337,592
22.5
Teledyne
Technologies,
Inc.
(7,106)
(2,398,062)
245,797
16.4
Thermo
Fisher
Scientific,
Inc.
(4,008)
(2,032,818)
130,180
8.7
UnitedHealth
Group,
Inc.
(3,440)
(1,737,338)
63,674
4.2
94
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-7.50%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-64
months
maturity
05/12/2023
$42,334,233
$316,309
$(49,713)
$266,596
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
39,020
1,007,474
(31,003)
(11.6)
Baloise
Holding
AG
(Registered)
248
31,688
(3,676)
(1.4)
Barry
Callebaut
AG
(Registered)
930
1,753,064
(77,340)
(29.0)
Belimo
Holding
AG
(Registered)
512
188,312
10,588
4.0
Bucher
Industries
AG
(Registered)
2,393
746,552
(55,237)
(20.7)
Chocoladefabriken
Lindt
&
Spruengli
AG
34
328,587
(9,449)
(3.5)
DKSH
Holding
AG
17,442
1,265,534
13,111
4.9
dormakaba
Holding
AG
792
267,248
(9,675)
(3.6)
Galenica
AG
9,472
685,911
26,414
9.9
Georg
Fischer
AG
(Registered)
3,333
158,791
(12,808)
(4.8)
Helvetia
Holding
AG
(Registered)
6,506
609,648
(74,118)
(27.8)
Kuehne
+
Nagel
International
AG
(Registered)
2,533
515,800
(32,799)
(12.3)
Lonza
Group
AG
(Registered)
298
145,094
3,065
1.1
Novartis
AG
(Registered)
49,352
3,762,448
(116,377)
(43.7)
OC
Oerlikon
Corp.
AG
(Registered)
74,806
478,850
(29,106)
(10.9)
Sonova
Holding
AG
(Registered)
2,047
450,465
(17,602)
(6.6)
Stadler
Rail
AG
5,916
162,481
(17,991)
(6.7)
Sulzer
AG
(Registered)
3,856
221,825
(2,228)
(0.8)
Swatch
Group
AG
(The)
5,042
1,132,426
(25,492)
(9.6)
Swisscom
AG
(Registered)
930
435,464
(33,259)
(12.5)
Temenos
AG
(Registered)
27,418
1,848,438
(223,404)
(83.8)
UBS
Group
AG
(Registered)
154,098
2,235,648
(229,576)
(86.1)
United
States
Roche
Holding
AG
3,817
1,242,559
(2,696)
(1.0)
Short
Positions
Common
Stocks
Switzerland
Adecco
Group
AG
(Registered)
(1,069)
(29,504)
2,955
1.1
Alcon,
Inc.
(10,650)
(618,610)
74,120
27.8
Bachem
Holding
AG
(25,137)
(1,580,923)
(289,298)
(108.5)
Cie
Financiere
Richemont
SA
(Registered)
(8,939)
(843,801)
75,285
28.2
Clariant
AG
(Registered)
(3,216)
(51,372)
2,375
0.9
Credit
Suisse
Group
AG
(Registered)
(384,827)
(1,522,216)
430,195
161.4
Dufry
AG
(Registered)
(22,005)
(668,061)
96,884
36.3
EMS-Chemie
Holding
AG
(Registered)
(1,103)
(696,274)
2,394
0.9
95
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Flughafen
Zurich
AG
(Registered)
(2,272)
(335,815)
23,395
8.8
Geberit
AG
(Registered)
(1,411)
(605,020)
8,869
3.3
Givaudan
SA
(Registered)
(443)
(1,338,305)
(23,717)
(8.9)
Holcim
AG
(15,542)
(636,920)
61,536
23.1
Idorsia
Ltd.
(74,752)
(967,485)
78,755
29.5
Julius
Baer
Group
Ltd.
(2,290)
(99,933)
11,383
4.3
Logitech
International
SA
(Registered)
(29,048)
(1,328,004)
44,173
16.6
Partners
Group
Holding
AG
(819)
(659,119)
85,593
32.1
Schindler
Holding
AG
(1,708)
(265,081)
14,825
5.6
SGS
SA
(Registered)
(214)
(457,905)
20,745
7.8
SIG
Group
AG
(175,098)
(3,555,207)
327,578
122.9
Sika
AG
(Registered)
(7,232)
(1,453,572)
57,034
21.4
Straumann
Holding
AG
(Registered)
(9,221)
(843,354)
34,542
13.0
Swiss
Life
Holding
AG
(Registered)
(573)
(253,158)
37,144
13.9
Tecan
Group
AG
(Registered)
(4,024)
(1,380,410)
(25,601)
(9.6)
VAT
Group
AG
(2,792)
(566,579)
58,205
21.8
Zurich
Insurance
Group
AG
(490)
(195,339)
17,064
6.4
United
States
Nestle
SA
(Registered)
(13,739)
(1,485,973)
15,611
5.9
Swiss
Re
AG
(2,762)
(203,709)
24,261
9.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.88%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
17-25
months
maturity
02/21/2024
$21,474,305
$(284,125)
$(12,147)
$(296,272)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,493
2,713,122
(227,276)
76.7
Carlsberg
A/S
13,643
1,595,365
(83,912)
28.3
DSV
A/S
8,440
988,725
(95,273)
32.2
Genmab
A/S
2,984
959,964
(60,889)
20.6
H
Lundbeck
A/S
123,963
397,306
(35,703)
12.1
H
Lundbeck
A/S
31,370
93,637
(10,627)
3.6
ISS
A/S
113,329
1,747,103
(241,178)
81.4
Novo
Nordisk
A/S
15,033
1,497,554
17,736
(6.0)
Pandora
A/S
51,031
2,386,530
(411,818)
139.0
96
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(55,173)
(479,401)
(4,941)
1.7
Chr
Hansen
Holding
A/S
(7,693)
(378,951)
10,439
(3.5)
Coloplast
A/S
(17,685)
(1,797,226)
162,974
(55.0)
Demant
A/S
(3,767)
(93,126)
9,357
(3.2)
GN
Store
Nord
A/S
(33,298)
(583,262)
226,026
(76.3)
Novozymes
A/S
(17,309)
(869,814)
22,402
(7.6)
Orsted
A/S
(5,577)
(444,491)
67,006
(22.6)
ROCKWOOL
A/S
(1,480)
(233,452)
12,743
(4.3)
Royal
Unibrew
A/S
(10,711)
(694,029)
42,392
(14.3)
SimCorp
A/S
(6,745)
(379,621)
30,778
(10.4)
Tryg
A/S
(49,661)
(1,025,197)
58,816
(19.9)
Vestas
Wind
Systems
A/S
(114,943)
(2,116,429)
226,823
(76.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-10.50%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
3-61
months
maturity
12/16/2022
$132,876,705
$(762,380)
$185,384
$(576,996)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Fortum
OYJ
116,303
1,562,770
303,261
(52.6)
Metso
Outotec
OYJ
169,900
1,126,704
(155,700)
27.0
Nokia
OYJ
436,110
1,872,247
(89,136)
15.4
Germany
Bayer
AG
(Registered)
36,121
1,664,259
(191,181)
33.1
Bayerische
Motoren
Werke
AG
25,076
1,699,590
(160,793)
27.9
Covestro
AG
51,745
1,479,476
(47,865)
8.3
Deutsche
Bank
AG
(Registered)
376,335
2,786,378
(568,106)
98.5
GEA
Group
AG
53,689
1,737,535
27,980
(4.8)
HUGO
BOSS
AG
34,300
1,597,037
(214,177)
37.1
ProSiebenSat.1
Media
SE
178,156
1,262,228
(58,460)
10.1
TeamViewer
AG
162,833
1,256,666
(237,376)
41.1
Luxembourg
ArcelorMittal
SA
74,466
1,481,748
(133,959)
23.2
97
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Netherlands
Aegon
NV
503,716
2,002,271
(305,128)
52.9
ASR
Nederland
NV
43,296
1,664,423
(121,126)
21.0
Heineken
NV
12,179
1,063,605
(17,560)
3.0
NN
Group
NV
38,663
1,503,757
(77,842)
13.5
OCI
NV
57,860
2,118,346
(10,386)
1.8
Randstad
NV
24,449
1,055,240
(79,325)
13.7
Spain
Acerinox
SA
147,358
1,171,848
(85,514)
14.8
Banco
de
Sabadell
SA
3,370,409
2,247,603
(248,320)
43.0
Banco
Santander
SA
999,302
2,325,277
(251,794)
43.6
Industria
de
Diseno
Textil
SA
105,514
2,177,454
(148,214)
25.7
Mapfre
SA
980,062
1,517,847
(130,388)
22.6
Red
Electrica
Corp.
SA
125,579
1,927,085
(250,089)
43.3
Repsol
SA
416,948
4,790,837
(145,744)
25.3
Short
Positions
Common
Stocks
China
Prosus
NV
(37,554)
(1,953,808)
147,746
(25.6)
Finland
UPM-Kymmene
OYJ
(51,414)
(1,631,595)
120,910
(21.0)
Valmet
OYJ
(50,556)
(1,022,051)
110,095
(19.1)
Germany
adidas
AG
(11,618)
(1,335,620)
220,877
(38.3)
Allianz
SE
(Registered)
(7,481)
(1,178,515)
97,944
(17.0)
Deutsche
Telekom
AG
(Registered)
(131,883)
(2,244,869)
209,108
(36.2)
LANXESS
AG
(34,834)
(1,013,734)
134,704
(23.3)
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
(Registered)
(5,374)
(1,293,633)
58,983
(10.2)
SAP
SE
(14,607)
(1,190,400)
7,645
(1.3)
Sartorius
AG
(Preference)
(6,770)
(2,341,772)
150,781
(26.1)
Siemens
AG
(Registered)
(22,937)
(2,241,928)
26,324
(4.6)
Siemens
Healthineers
AG
(38,537)
(1,653,064)
19,957
(3.5)
Symrise
AG
(13,035)
(1,271,074)
(2,777)
0.5
Zalando
SE
(54,542)
(1,065,366)
71,711
(12.4)
Netherlands
Adyen
NV
(1,666)
(2,077,772)
69,965
(12.1)
Argenx
SE
(3,217)
(1,144,855)
(9,524)
1.7
ASML
Holding
NV
(4,106)
(1,701,030)
178,634
(31.0)
Koninklijke
DSM
NV
(20,244)
(2,303,576)
5,601
(1.0)
South
Korea
Delivery
Hero
SE
(43,174)
(1,577,024)
211,110
(36.6)
Spain
Acciona
SA
(11,683)
(2,053,358)
228,545
(39.6)
Bankinter
SA
(198,930)
(1,116,968)
34,864
(6.0)
CaixaBank
SA
(1,024,111)
(3,298,534)
257,504
(44.6)
Cellnex
Telecom
SA
(112,416)
(3,467,650)
352,058
(61.0)
Ferrovial
SA
(116,013)
(2,633,335)
203,443
(35.3)
Grifols
SA
(138,256)
(1,194,442)
388,850
(67.4)
98
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
20-25
months
maturity
02/21/2024
$11,216,430
$462,722
$31,104
$493,826
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
35,174
1,234,437
(84,172)
(17.0)
Norway
Equinor
ASA
77,898
2,568,977
34,342
7.0
Leroy
Seafood
Group
ASA
127,449
502,688
(256,376)
(51.9)
Norsk
Hydro
ASA
301,762
1,619,232
(159,441)
(32.3)
Orkla
ASA
17,941
130,419
(4,989)
(1.0)
Telenor
ASA
28,316
259,151
(9,012)
(1.8)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(13,475)
(536,306)
132,587
26.8
France
Adevinta
ASA
(92,006)
(548,144)
76,298
15.5
Norway
Gjensidige
Forsikring
ASA
(10,479)
(179,812)
11,478
2.3
Kongsberg
Gruppen
ASA
(29,888)
(907,027)
(39,231)
(7.9)
Mowi
ASA
(19,876)
(252,814)
91,916
18.6
Salmar
ASA
(27,619)
(930,934)
626,494
126.9
Schibsted
ASA
(19,613)
(264,659)
24,263
4.9
TOMRA
Systems
ASA
(27,167)
(479,320)
(5,274)
(1.1)
United
Kingdom
Subsea
7
SA
(101,600)
(802,510)
23,839
4.8
99
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-6.50%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
17-25
months
maturity
02/21/2024
$40,203,005
$(192,209)
$43,680
$(148,529)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
121,948
1,400,598
(63,246)
42.6
Finland
Nordea
Bank
Abp
114,377
978,865
(40,016)
26.9
Sweden
Assa
Abloy
AB
4,150
77,755
(599)
0.4
BillerudKorsnas
AB
28,057
329,397
(1,042)
0.7
Boliden
AB
57,979
1,791,315
(3,541)
2.4
Elekta
AB
199,159
1,011,531
(14,624)
9.8
Essity
AB
60,262
1,190,584
(61,613)
41.5
Evolution
AB
7,243
572,541
30,048
(20.2)
Getinge
AB
38,472
657,915
9,809
(6.6)
H
&
M
Hennes
&
Mauritz
AB
18,352
169,666
(11,267)
7.6
Husqvarna
AB
19,586
108,573
(7,027)
4.7
Saab
AB
40,076
1,248,642
16,856
(11.3)
Sandvik
AB
35,457
483,334
(11,844)
8.0
Securitas
AB
17,316
120,208
4,806
(3.2)
Skanska
AB
58,162
723,870
(96,073)
64.7
SSAB
AB
798,973
3,404,807
(194,933)
131.2
Svenska
Handelsbanken
AB
75,354
618,581
(5,157)
3.5
Swedbank
AB
121,715
1,597,602
(24,512)
16.5
Swedish
Orphan
Biovitrum
AB
16,510
319,088
(2,851)
1.9
Telefonaktiebolaget
LM
Ericsson
388,107
2,268,661
(256,667)
172.8
Telia
Co.
AB
330,354
951,447
(98,170)
66.1
Trelleborg
AB
7,890
148,023
(5,046)
3.4
United
States
Sinch
AB
181,387
240,465
(17,028)
11.5
Short
Positions
Common
Stocks
Sweden
AAK
AB
(41,960)
(554,787)
35,803
(24.1)
Alfa
Laval
AB
(33,004)
(818,401)
1,818
(1.2)
Atlas
Copco
AB
(97,448)
(905,717)
17,990
(12.1)
Axfood
AB
(7,687)
(176,120)
51,076
(34.4)
Beijer
Ref
AB
(77,592)
(954,088)
(23,438)
15.8
Electrolux
AB
(47,322)
(491,837)
20,373
(13.7)
100
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Embracer
Group
AB
(321,276)
(1,904,262)
(147,871)
99.6
Epiroc
AB
(46,731)
(668,510)
5,232
(3.5)
EQT
AB
(86,394)
(1,669,318)
223,761
(150.7)
Hexagon
AB
(280,129)
(2,616,162)
129,389
(87.1)
Hexpol
AB
(19,576)
(160,560)
6,665
(4.5)
Holmen
AB
(27,683)
(1,050,479)
51,229
(34.5)
Indutrade
AB
(66,086)
(1,071,912)
12,376
(8.3)
Lifco
AB
(49,303)
(683,982)
13,515
(9.1)
Nibe
Industrier
AB
(259,195)
(2,312,078)
162,780
(109.6)
Skandinaviska
Enskilda
Banken
AB
(78,927)
(752,234)
19,779
(13.3)
SKF
AB
(148,578)
(1,990,442)
13,778
(9.3)
Svenska
Cellulosa
AB
SCA
(3,546)
(44,993)
2,689
(1.8)
Sweco
AB
(34,618)
(290,384)
20,308
(13.7)
Tele2
AB
(78,019)
(673,271)
44,276
(29.8)
101
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
103.3%
COMMON
STOCKS
-
7.0%
Auto
Components
-
0.6%
Aisin
Corp.
(Japan)
3,900
100,385
Bridgestone
Corp.
(Japan)
5,800
187,577
Denso
Corp.
(Japan)
3,700
169,176
Koito
Manufacturing
Co.
Ltd.
(Japan)
5,400
73,829
Stanley
Electric
Co.
Ltd.
(Japan)
5,400
84,783
Sumitomo
Electric
Industries
Ltd.
(Japan)
12,700
128,925
744,675
Automobiles
-
1.3%
Honda
Motor
Co.
Ltd.
(Japan)
12,500
271,323
Isuzu
Motors
Ltd.
(Japan)
12,800
141,535
Mazda
Motor
Corp.
(Japan)
18,200
120,851
Nissan
Motor
Co.
Ltd.
(Japan)
36,800
118,593
Subaru
Corp.
(Japan)
9,900
149,612
Suzuki
Motor
Corp.
(Japan)
4,800
149,425
Toyota
Motor
Corp.
(Japan)
57,400
750,244
Yamaha
Motor
Co.
Ltd.
(Japan)
6,600
123,657
1,825,240
Banks
-
1.7%
Chiba
Bank
Ltd.
(The)
(Japan)
31,400
170,042
Concordia
Financial
Group
Ltd.
(Japan)
50,700
157,342
Japan
Post
Bank
Co.
Ltd.
(Japan)
22,200
155,182
Mitsubishi
UFJ
Financial
Group,
Inc.
(Japan)
132,400
599,789
Mizuho
Financial
Group,
Inc.
(Japan)
33,300
360,460
Resona
Holdings,
Inc.
(Japan)
57,700
211,151
Shizuoka
Bank
Ltd.
(The)
(Japan)
25,800
158,423
Sumitomo
Mitsui
Financial
Group,
Inc.
(Japan)
15,600
432,455
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(Japan)
7,400
210,454
2,455,298
Household
Durables
-
1.4%
DR
Horton,
Inc.
(1)
4,419
297,620
Garmin
Ltd.
(1)
2,267
182,063
Leggett
&
Platt,
Inc.
(1)
3,981
132,249
Lennar
Corp.,
Class
A
(1)
3,608
268,976
Mohawk
Industries,
Inc.
(1)*
1,259
114,808
Newell
Brands,
Inc.
(1)
7,978
110,814
NVR,
Inc.
(1)*
48
191,380
PulteGroup,
Inc.
(1)
4,567
171,263
Tempur
Sealy
International,
Inc.
(1)
5,032
121,472
Toll
Brothers,
Inc.
(1)
3,054
128,268
TopBuild
Corp.
(1)*
802
132,154
Whirlpool
Corp.
(1)
1,094
147,482
1,998,549
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
2.0%
Antero
Resources
Corp.
(1)*
1,791
54,679
APA
Corp.
(1)
1,641
56,106
Cheniere
Energy,
Inc.
(1)
598
99,214
Chesapeake
Energy
Corp.
(1)
647
60,954
Chevron
Corp.
(1)
2,212
317,798
ConocoPhillips
(1)
1,697
173,671
Continental
Resources,
Inc.
(1)
683
45,631
Coterra
Energy,
Inc.
(1)
2,358
61,591
Devon
Energy
Corp.
(1)
1,433
86,166
Diamondback
Energy,
Inc.
(1)
573
69,024
DT
Midstream,
Inc.
(1)
1,053
54,640
EOG
Resources,
Inc.
(1)
961
107,373
EQT
Corp.
(1)
1,721
70,131
Exxon
Mobil
Corp.
(1)
4,580
399,880
Hess
Corp.
(1)
705
76,838
HF
Sinclair
Corp.
(1)
1,139
61,324
Kinder
Morgan,
Inc.
(1)
4,835
80,454
Marathon
Oil
Corp.
(1)
2,790
62,998
Marathon
Petroleum
Corp.
(1)
1,109
110,157
New
Fortress
Energy,
Inc.
(1)
1,199
52,408
Occidental
Petroleum
Corp.
(1)
1,537
94,449
ONEOK,
Inc.
(1)
1,328
68,047
Ovintiv,
Inc.
(1)
1,366
62,836
PDC
Energy,
Inc.
(1)
866
50,046
Phillips
66
(1)
1,053
84,998
Pioneer
Natural
Resources
Co.
(1)
419
90,726
Range
Resources
Corp.
(1)
2,086
52,692
Southwestern
Energy
Co.
(1)*
8,658
52,987
Targa
Resources
Corp.
(1)
1,076
64,926
Valero
Energy
Corp.
(1)
830
88,685
Williams
Cos.,
Inc.
(The)
(1)
2,665
76,299
2,887,728
TOTAL
COMMON
STOCKS
(Cost
$11,753,386)
9,911,490
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
7.6%
U.S.
Treasury
Inflation
Linked
Notes
0.13%,
7/15/2031
(a)
(Cost
$11,338,756)
$
11,300,000
10,891,171
102
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
SHORT-TERM
INVESTMENTS
-
88.7%
REPURCHASE
AGREEMENTS
-
8.3%
JPMS,
2.67%,
dated
9/1/2022,
due
10/13/2022,
repurchase
price
$4,577,214,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
$
4,563,000
4,563,000
JPMS,
2.94%,
dated
9/30/2022,
due
10/13/2022,
repurchase
price
$4,480,377,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
4,475,625
4,475,625
JPMS,
2.96%,
dated
9/28/2022,
due
10/13/2022,
repurchase
price
$2,847,257,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
2,843,750
2,843,750
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$11,882,375)
11,882,375
SHARES
INVESTMENT
COMPANIES
-
50.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(b)(c)
3,321,776
3,321,776
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(b)
69,131,024
69,096,458
TOTAL
INVESTMENT
COMPANIES
(Cost
$72,407,636)
72,418,234
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
29.7%
U.S.
Treasury
Bills
1.38%,
10/27/2022
(d)(e)
$
2,086,000
2,082,421
1.42%,
11/3/2022
(d)
1,140,000
1,137,386
1.39%,
11/10/2022
(d)
4,623,000
4,609,806
1.50%,
11/17/2022
(d)
1,225,000
1,220,636
1.54%,
11/25/2022
(d)
2,293,000
2,283,501
2.18%,
12/15/2022
(d)
1,125,000
1,118,580
2.42%,
12/22/2022
(d)(e)
2,298,000
2,281,669
2.53%,
1/5/2023
(d)(e)
4,107,000
4,072,249
3.16%,
2/23/2023
(d)
899,000
886,375
3.29%,
3/2/2023
(d)
586,000
576,994
3.38%,
3/9/2023
(d)
1,659,000
1,632,055
3.53%,
3/16/2023
(d)
3,004,000
2,953,485
3.85%,
3/23/2023
(d)
2,631,000
2,585,229
3.93%,
3/30/2023
(d)(e)
15,324,000
15,034,362
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$42,502,285)
42,474,748
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$126,792,296)
126,775,357
TOTAL
LONG
POSITIONS
(Cost
$149,884,438)
147,578,018
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
SHORT
POSITIONS
-
(8.1)%
U.S.
TREASURY
OBLIGATIONS
-
(8.1)%
U.S.
Treasury
Notes
1.25%,
8/15/2031
(f)
(Proceeds
$(12,056,646))
$
(14,400,000)
(11,637,562)
TOTAL
SHORT
POSITIONS
(Proceeds
$(12,056,646))
(11,637,562)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
95.2%
(Cost
$137,827,792)
135,940,456
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
4.8%
(g)
6,929,974
NET
ASSETS
-
100.0%
142,870,430
SECTOR
VALUE
%
OF
NET
ASSETS
Consumer
Discretionary
$
4,568,464
3.3
%
Energy
2,887,728
2.0
Financials
2,455,298
1.7
Investment
Companies
72,418,234
50.7
Repurchase
Agreements
11,882,375
8.3
U.S.
Treasury
Obligations
41,728,357
29.2
Total
Investments
In
Securities
At
Value
135,940,456
95.2
Other
Assets
in
Excess
of
Liabilities
(g)
6,929,974
4.8
Net
Assets
$
142,870,430
100.0%
103
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
On
September
30,
2022,
securities
valued
at
$10,891,171
were
pledged
as
collateral
for
reverse
repurchase
agreements
outstanding.
(b)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(c)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(d)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(f)
On
September
30,
2022,
securities
valued
at
$(11,637,562)
were
pledged
as
collateral
for
repurchase
agreements
outstanding.
(g)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts,
and
value
of
reverse
repurchase
agreements.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Reverse
repurchase
agreements
at
September
30,
2022:
Over
the
Counter
COUNTERPARTY
TRADE
DATE
RATE
DUE
DATE
CURRENCY
PRINCIPAL
AMOUNT
AND
VALUE
OF
REVERSE
REPURCHASE
AGREEMENT
JPMS
9/1/2022
2.76%
10/13/2022
USD
$
4,264,000
JPMS
9/30/2022
3.03%
10/13/2022
USD
4,165,625
JPMS
9/28/2022
3.05%
10/13/2022
USD
2,646,000
JPMS
9/28/2022
3.05%
10/13/2022
USD
196,000
$
11,271,625
The
weighted
average
daily
balance
of
the
reverse
repurchase
agreements
during
the
period
ended
September
30,
2022
was
$9,557,755
at
a
net
weighted
average
interest
rate
of
1.448%.
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
September
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
%
Quarterly
12/20/2027
6.07
%
USD
4,851,000
$
217,634
$
(26,473)
$
191,161
$
217,634
$
(26,473)
$
191,161
Credit
default
swap
contracts
outstanding
-
sell
protection
as
of
September
30,
2022
:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
RECEIVED
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
iTraxx
Europe
Crossover
Index
Series
38.V1
5.00
%
Quarterly
12/20/2027
6.39
%
EUR
352,000
$
(22,442)
$
4,686
$
(17,756)
$
(22,442)
$
4,686
$
(17,756)
104
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SARON
Annual
2.00%
Annual
3/15/2028
CHF
5,400,000
$
(30,773)
$
82,031
$
51,258
Pay
1M
TIIE
Monthly
10.00%
Monthly
3/12/2025
MXN
46,000,000
9,442
395
9,837
Pay
3M
CD_KSDA
Qtrly
4.50%
Qtrly
3/19/2025
KRW
1,700,000,000
(3,582)
5,557
1,975
Pay
3M
HIBOR
Qtrly
4.50%
Qtrly
3/19/2025
HKD
6,700,000
(1,436)
3,464
2,028
Pay
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
700,000
(3,274)
4,262
988
Receive
1D
SARON
Annual
1.00%
Annual
12/23/2024
CHF
8,100,000
50,097
37,213
87,310
Receive
1D
SARON
Annual
0.50%
Annual
12/23/2024
CHF
600,000
13,422
(912)
12,510
Receive
1D
SARON
Annual
1.50%
Annual
3/15/2033
CHF
500,000
24,383
3,395
27,778
Receive
1D
SOFR
Annual
3.25%
Annual
12/23/2024
USD
4,100,000
17,662
59,456
77,118
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
16,600,000
479,078
226,286
705,364
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
31,900,000
386,997
463,397
850,394
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
99,200,000
1,286,520
(38,753)
1,247,767
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
4,300,000
52,655
269,687
322,342
Receive
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
900,000
34,451
23,791
58,242
Receive
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
700,000
83,859
62,058
145,917
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
4,100,000
497,126
6,667
503,793
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
1,463,400,000
55,784
(10,971)
44,813
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
86,100,000
1,168,980
832,937
2,001,917
Receive
3M
BA
Qtrly
3.25%
Semi
12/19/2024
CAD
22,000,000
183,863
101,659
285,522
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
48,400,000
558,014
(2,023)
555,991
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
66,000,000
122,200
(36,389)
85,811
Receive
3M
BA
Qtrly
3.25%
Semi
12/20/2027
CAD
2,900,000
(21)
41,430
41,409
Receive
3M
BA
Qtrly
3.50%
Semi
3/13/2028
CAD
11,300,000
81,600
(30,793)
50,807
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2028
CAD
6,600,000
70,340
12,877
83,217
Receive
3M
BBR
Qtrly
4.00%
Qtrly
12/12/2024
AUD
100,000
396
(249)
147
Receive
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
3,100,000
12,224
11,300
23,524
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
2,800,000
8,424
16,204
24,628
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
29,200,000
53,496
6,001
59,497
Receive
3M
BBR
Qtrly
4.00%
Semi
12/15/2032
NZD
3,000,000
(13,204)
83,510
70,306
Receive
3M
BBR
Qtrly
3.50%
Semi
12/15/2032
NZD
3,400,000
28,296
127,318
155,614
Receive
3M
BBR
Qtrly
4.00%
Semi
3/16/2033
NZD
3,500,000
88,559
(7,108)
81,451
Receive
3M
BBR
Qtrly
4.50%
Semi
3/16/2033
NZD
2,000,000
(598)
2,945
2,347
Receive
3M
JIBAR
Qtrly
7.00%
Qtrly
12/18/2024
ZAR
100,000
143
(6)
137
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
14,800,000
(19,172)
39,895
20,723
Receive
3M
STIBOR
Qtrly
2.50%
Annual
12/15/2032
SEK
11,200,000
(13,055)
71,342
58,287
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
75,200,000
(67,104)
174,539
107,435
Receive
3M
STIBOR
Qtrly
2.50%
Annual
3/16/2033
SEK
14,400,000
2,794
72,267
75,061
Receive
6M
BUBOR
Semi
8.00%
Annual
12/18/2024
HUF
494,200,000
1,759
89,224
90,983
Receive
6M
BUBOR
Semi
10.00%
Annual
12/18/2024
HUF
254,800,000
25,648
2,158
27,806
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
26,000,000
719,069
57,000
776,069
Receive
6M
EURIBOR
Semi
2.00%
Annual
12/21/2032
EUR
2,900,000
(28,923)
299,505
270,582
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
1,000,000
75,390
102,022
177,412
Receive
6M
NIBOR
Semi
3.50%
Annual
3/19/2025
NOK
35,000,000
22,502
(13,181)
9,321
Receive
6M
NIBOR
Semi
3.50%
Annual
12/15/2027
NOK
2,600,000
(5,621)
5,649
28
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2027
NOK
34,900,000
10,420
62,124
72,544
Receive
6M
PRIBOR
Semi
5.50%
Annual
12/18/2024
CZK
30,600,000
11,622
8,506
20,128
Receive
6M
PRIBOR
Semi
5.50%
Annual
3/19/2025
CZK
40,800,000
17,783
(1,021)
16,762
Receive
6M
PRIBOR
Semi
6.00%
Annual
3/19/2025
CZK
15,200,000
(1,531)
2,217
686
Receive
6M
WIBOR
Semi
6.50%
Annual
12/18/2024
PLN
9,000,000
(4,087)
38,126
34,039
Receive
6M
WIBOR
Semi
7.00%
Annual
12/18/2024
PLN
8,700,000
(7,064)
24,899
17,835
Receive
6M
WIBOR
Semi
6.50%
Annual
3/19/2025
PLN
4,300,000
(2,428)
17,048
14,620
Receive
6M
WIBOR
Semi
7.00%
Annual
3/19/2025
PLN
11,000,000
14,296
7,948
22,244
6,067,421
3,416,903
9,484,324
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
23,700,000
(161,134)
(117,217)
(278,351)
105
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
3,400,000
$
(18,787)
$
12,970
$
(5,817)
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
3,900,000
(42,547)
(15,347)
(57,894)
Pay
1D
SARON
Annual
1.50%
Annual
12/21/2032
CHF
1,000,000
(23,725)
(29,360)
(53,085)
Pay
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
800,000
46,926
(52,345)
(5,419)
Pay
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
2,000,000
(80,268)
61,321
(18,947)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2028
USD
21,000,000
(789,062)
72,352
(716,710)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2028
USD
6,800,000
(239,452)
(143,610)
(383,062)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
5,400,000
(202,339)
(33,917)
(236,256)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
700,000
(55,521)
(3,783)
(59,304)
Pay
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
17,700,000
(684,065)
75,448
(608,617)
Pay
1D
SONIA
Annual
3.50%
Annual
3/15/2028
GBP
400,000
(28,393)
(975)
(29,368)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
842,100,000
(17,956)
2,941
(15,015)
Pay
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
11,109,800,000
(278,886)
35,554
(243,332)
Pay
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
1,600,000
(77)
(69)
(146)
Pay
1D
TONAR
Annual
0.00%
Annual
3/15/2028
JPY
300,000
(29)
(1)
(30)
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
306,200,000
(9,113)
4,606
(4,507)
Pay
1M
TIIE
Monthly
9.50%
Monthly
12/18/2024
MXN
200,000
(21)
(72)
(93)
Pay
1M
TIIE
Monthly
8.50%
Monthly
12/18/2024
MXN
10,200,000
(744)
(13,004)
(13,748)
Pay
1M
TIIE
Monthly
9.00%
Monthly
12/18/2024
MXN
12,100,000
(1,968)
(9,008)
(10,976)
Pay
1M
TIIE
Monthly
8.50%
Monthly
3/12/2025
MXN
21,900,000
(8,783)
(15,055)
(23,838)
Pay
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
55,200,000
(9,608)
(26,694)
(36,302)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
17,000,000
(1,090,105)
(117,492)
(1,207,597)
Pay
3M
BA
Qtrly
3.25%
Semi
12/20/2032
CAD
4,500,000
(8,300)
(106,746)
(115,046)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
8,400,000
(105,121)
27,749
(77,372)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
2,200,000
(51,242)
(2,117)
(53,359)
Pay
3M
BBR
Qtrly
4.00%
Semi
12/11/2024
NZD
33,700,000
(71,053)
(222,276)
(293,329)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
49,100,000
(79,813)
(98,269)
(178,082)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/15/2028
NZD
5,800,000
(14,463)
3,640
(10,823)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
12/18/2024
KRW
1,956,500,000
8,254
(31,242)
(22,988)
Pay
3M
CD_KSDA
Qtrly
4.00%
Qtrly
12/18/2024
KRW
342,600,000
767
(2,497)
(1,730)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
3/19/2025
KRW
707,100,000
552
(9,222)
(8,670)
Pay
3M
CD_KSDA
Qtrly
4.00%
Qtrly
3/19/2025
KRW
2,992,200,000
3,096
(19,701)
(16,605)
Pay
3M
HIBOR
Qtrly
3.50%
Qtrly
12/18/2024
HKD
9,400,000
1,874
(23,201)
(21,327)
Pay
3M
HIBOR
Qtrly
3.00%
Qtrly
12/18/2024
HKD
4,300,000
(8,918)
(6,020)
(14,938)
Pay
3M
HIBOR
Qtrly
3.50%
Qtrly
3/19/2025
HKD
4,700,000
(6,148)
(3,759)
(9,907)
Pay
3M
JIBAR
Qtrly
8.00%
Qtrly
12/18/2024
ZAR
400,000
179
(332)
(153)
Pay
3M
JIBAR
Qtrly
8.50%
Qtrly
3/19/2025
ZAR
22,000,000
(1,684)
–
(1,684)
Pay
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
6,900,000
1,608
(5,408)
(3,800)
Pay
3M
STIBOR
Qtrly
2.50%
Annual
12/18/2024
SEK
9,700,000
(16,239)
368
(15,871)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
76,800,000
(53,640)
(6,387)
(60,027)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
69,100,000
22,329
(87,253)
(64,924)
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
261,300,000
(30,434)
8,657
(21,777)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
3/15/2028
SEK
100,000
(17)
(136)
(153)
Pay
6M
BBR
Semi
4.00%
Semi
3/09/2028
AUD
2,200,000
(31,173)
10,692
(20,481)
Pay
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
2,400,000
(28,869)
(89,484)
(118,353)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
5,500,000
(75,020)
(58,831)
(133,851)
Pay
6M
EURIBOR
Semi
1.50%
Annual
12/23/2024
EUR
18,200,000
(63,754)
(435,440)
(499,194)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
23,200,000
(598,224)
(365,540)
(963,764)
Pay
6M
EURIBOR
Semi
1.75%
Annual
3/15/2028
EUR
11,600,000
(628,472)
(66,772)
(695,244)
Pay
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
5,100,000
(542,071)
53,612
(488,459)
Pay
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
16,700,000
(15,330)
10,904
(4,426)
Pay
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
9,300,000
(1,838)
(34,915)
(36,753)
Pay
6M
NIBOR
Semi
3.50%
Annual
12/15/2032
NOK
700,000
2,558
(2,634)
(76)
Pay
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
48,700,000
(53,090)
48,434
(4,656)
Receive
1D
SARON
Annual
2.00%
Annual
3/17/2025
CHF
16,700,000
(43,368)
(95,626)
(138,994)
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
2,200,000,000
(102,432)
(55,190)
(157,622)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/15/2028
SEK
2,000,000
(501)
(510)
(1,011)
106
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
502,200,000
$
(132,720)
$
(169,318)
$
(302,038)
Receive
6M
NIBOR
Semi
3.50%
Annual
3/15/2028
NOK
81,000,000
40,657
(42,491)
(1,834)
Receive
6M
PRIBOR
Semi
6.50%
Annual
12/18/2024
CZK
10,200,000
(4,520)
3,765
(755)
Receive
6M
WIBOR
Semi
8.00%
Annual
12/18/2024
PLN
2,700,000
1,809
(5,627)
(3,818)
(6,380,428)
(2,191,880)
(8,572,308)
$
(313,007)
$
1,225,023
$
912,016
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
September
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
2.98%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
2.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.07%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
9.54%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.06%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.20%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
3.33%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
6.47%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.24%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
1.73%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.57%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
13.70%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
1.81%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.46%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.33%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.31%
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(295,700)
$
789
Soybean
November
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
(2,456,550)
201,273
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
12/16/2022
CHF
(820,720)
27,717
107
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
WIG20
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
12/16/2022
PLN
(111,440)
$
500
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.10%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
12/21/2022
AUD
171,432
123
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
(-0.65%)
Monthly
GSIN
12/21/2022
BRL
(629,370)
429
MSCI
Mexico
Net
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
TIIE
plus
or
minus
a
specified
spread
(-0.05%)
Monthly
GSIN
12/21/2022
MXN
(2,088,181)
–
MSCI
Spain
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.95%)
Monthly
GSIN
12/21/2022
EUR
(281,729)
23,869
MSCI
Sweden
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.87%)
Monthly
GSIN
12/21/2022
SEK
(5,205,147)
17,753
272,453
DTOP
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/15/2022
ZAR
901,760
(3,378)
iBovespa
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/13/2022
BRL
(5,525,100)
(14,696)
SGX
NIFTY
50
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/27/2022
USD
(478,464)
(5,192)
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
2,498,600
(23,147)
108
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
TAIEX
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
10/19/2022
TWD
77,685,200
$
(127,915)
Tel
Aviv
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/28/2022
ILS
2,020,953
(32,139)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.13%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
12/21/2022
EUR
1,061,832
(53,228)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(-0.01%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
12/21/2022
JPY
171,519,207
(123)
(259,818)
$
12,635
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
148
10/2022
USD
$
12,600,720
$
(477,223)
CAC
40
10
Euro
Index
54
10/2022
EUR
3,050,200
(214,571)
FTSE
Bursa
Malaysia
KLCI
Index
9
10/2022
MYR
135,912
(681)
HSCEI
30
10/2022
HKD
1,130,114
(26,177)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,901
(5,777)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,996
(5,207)
LME
Aluminum
Base
Metal
2
10/2022
USD
107,463
(14,144)
LME
Aluminum
Base
Metal
8
10/2022
USD
432,724
(42,547)
LME
Copper
Base
Metal
1
10/2022
USD
192,150
(3,127)
LME
Copper
Base
Metal
1
10/2022
USD
191,981
6,930
LME
Copper
Base
Metal
1
10/2022
USD
191,675
(1,944)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
(12,178)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
126
LME
Copper
Base
Metal
1
10/2022
USD
192,200
11,917
LME
Copper
Base
Metal
2
10/2022
USD
384,250
4,632
LME
Lead
Base
Metal
1
10/2022
USD
47,827
(2,026)
LME
Lead
Base
Metal
1
10/2022
USD
47,773
(2,479)
LME
Lead
Base
Metal
1
10/2022
USD
47,791
(2,297)
LME
Lead
Base
Metal
1
10/2022
USD
47,854
(524)
LME
Lead
Base
Metal
2
10/2022
USD
95,651
(1,555)
LME
Lead
Base
Metal
2
10/2022
USD
95,736
(1,687)
109
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
1
10/2022
USD
$
126,083
$
(2,113)
LME
Nickel
Base
Metal
1
10/2022
USD
126,072
(8,091)
LME
Zinc
Base
Metal
1
10/2022
USD
75,428
925
LME
Zinc
Base
Metal
1
10/2022
USD
75,458
3,285
LME
Zinc
Base
Metal
1
10/2022
USD
75,453
873
LME
Zinc
Base
Metal
1
10/2022
USD
75,360
1,107
LME
Zinc
Base
Metal
1
10/2022
USD
75,463
(265)
LME
Zinc
Base
Metal
3
10/2022
USD
225,994
(13,103)
LME
Zinc
Base
Metal
4
10/2022
USD
301,575
(457)
RBOB
Gasoline
8
10/2022
USD
796,253
(1,484)
SGX
FTSE
China
A50
Index
9
10/2022
USD
116,244
(799)
SGX
FTSE
Taiwan
Index
47
10/2022
USD
2,194,900
(41,693)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,863
(9,015)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,900
(6,916)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,728
(7,336)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,865
(5,767)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,813
(7,823)
LME
Aluminum
Base
Metal
4
11/2022
USD
215,272
(23,580)
LME
Aluminum
Base
Metal
4
11/2022
USD
215,325
(25,187)
LME
Aluminum
Base
Metal
4
11/2022
USD
214,950
(28,148)
LME
Aluminum
Base
Metal
5
11/2022
USD
269,016
(41,337)
LME
Aluminum
Base
Metal
5
11/2022
USD
268,781
(29,584)
LME
Aluminum
Base
Metal
5
11/2022
USD
269,383
(31,882)
LME
Aluminum
Base
Metal
8
11/2022
USD
431,576
(50,548)
LME
Aluminum
Base
Metal
13
11/2022
USD
699,481
(82,182)
LME
Copper
Base
Metal
1
11/2022
USD
191,338
(536)
LME
Copper
Base
Metal
1
11/2022
USD
191,025
(12,590)
LME
Copper
Base
Metal
1
11/2022
USD
191,400
(2,789)
LME
Copper
Base
Metal
1
11/2022
USD
190,900
(7,678)
LME
Copper
Base
Metal
2
11/2022
USD
380,688
(25,548)
LME
Copper
Base
Metal
2
11/2022
USD
380,969
(19,588)
LME
Copper
Base
Metal
2
11/2022
USD
381,250
(21,034)
LME
Copper
Base
Metal
4
11/2022
USD
763,050
(31,835)
LME
Copper
Base
Metal
4
11/2022
USD
761,656
(47,926)
LME
Lead
Base
Metal
1
11/2022
USD
47,794
(1,222)
LME
Lead
Base
Metal
1
11/2022
USD
47,770
(3,233)
LME
Lead
Base
Metal
1
11/2022
USD
47,788
(5,229)
LME
Lead
Base
Metal
1
11/2022
USD
47,750
(2,753)
LME
Lead
Base
Metal
1
11/2022
USD
47,821
(6,182)
LME
Lead
Base
Metal
1
11/2022
USD
47,793
(6,491)
LME
Lead
Base
Metal
2
11/2022
USD
95,610
(11,631)
LME
Lead
Base
Metal
2
11/2022
USD
95,531
(5,775)
LME
Nickel
Base
Metal
1
11/2022
USD
126,450
(3,753)
LME
Nickel
Base
Metal
1
11/2022
USD
126,381
(7,422)
LME
Nickel
Base
Metal
1
11/2022
USD
126,339
(6,712)
LME
Nickel
Base
Metal
1
11/2022
USD
126,304
(3,179)
LME
Nickel
Base
Metal
1
11/2022
USD
126,220
(18,727)
LME
Nickel
Base
Metal
1
11/2022
USD
126,323
(14,268)
LME
Zinc
Base
Metal
1
11/2022
USD
74,875
(12,588)
LME
Zinc
Base
Metal
1
11/2022
USD
75,300
(11,015)
LME
Zinc
Base
Metal
1
11/2022
USD
75,316
(11,037)
LME
Zinc
Base
Metal
1
11/2022
USD
75,225
(15,253)
LME
Zinc
Base
Metal
2
11/2022
USD
149,975
(30,531)
LME
Zinc
Base
Metal
2
11/2022
USD
150,644
(16,762)
LME
Zinc
Base
Metal
3
11/2022
USD
225,975
(20,034)
Low
Sulphur
Gasoil
10
11/2022
USD
941,750
(68,542)
110
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Soybean
33
11/2022
USD
$
2,251,838
$
(130,057)
Australia
10
Year
Bond
118
12/2022
AUD
8,843,212
53,438
Cotton
No.
2
2
12/2022
USD
85,340
(6,906)
EURO
STOXX
50
Index
77
12/2022
EUR
2,501,627
(214,464)
Euro-Bund
164
12/2022
EUR
22,235,139
(212,845)
FTSE
100
Index
46
12/2022
GBP
3,551,377
(225,054)
FTSE/JSE
Top
40
Index
5
12/2022
ZAR
159,699
1,000
FTSE/MIB
Index
96
12/2022
EUR
9,657,334
(452,955)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,063
(2,090)
LME
Aluminum
Base
Metal
2
12/2022
USD
108,091
(6,665)
LME
Aluminum
Base
Metal
2
12/2022
USD
108,075
(3,281)
LME
Aluminum
Base
Metal
2
12/2022
USD
108,050
(7,143)
LME
Aluminum
Base
Metal
5
12/2022
USD
270,210
(16,367)
LME
Aluminum
Base
Metal
6
12/2022
USD
323,738
(22,443)
LME
Aluminum
Base
Metal
7
12/2022
USD
378,121
(18,362)
LME
Aluminum
Base
Metal
8
12/2022
USD
432,076
(17,948)
LME
Aluminum
Base
Metal
14
12/2022
USD
756,494
(50,698)
LME
Aluminum
Base
Metal
37
12/2022
USD
1,999,388
47,653
LME
Copper
Base
Metal
1
12/2022
USD
189,776
(10,477)
LME
Copper
Base
Metal
1
12/2022
USD
189,729
(5,689)
LME
Copper
Base
Metal
1
12/2022
USD
189,871
(9,407)
LME
Copper
Base
Metal
1
12/2022
USD
189,253
(1,919)
LME
Copper
Base
Metal
2
12/2022
USD
379,647
(18,082)
LME
Copper
Base
Metal
2
12/2022
USD
379,836
(6,799)
LME
Copper
Base
Metal
3
12/2022
USD
567,069
13,542
LME
Copper
Base
Metal
3
12/2022
USD
570,464
(3,549)
LME
Copper
Base
Metal
3
12/2022
USD
567,114
15,849
LME
Copper
Base
Metal
5
12/2022
USD
949,826
(4,753)
LME
Copper
Base
Metal
26
12/2022
USD
4,926,350
(194,006)
LME
Lead
Base
Metal
1
12/2022
USD
47,675
1,582
LME
Lead
Base
Metal
1
12/2022
USD
47,806
(1,018)
LME
Lead
Base
Metal
1
12/2022
USD
47,756
554
LME
Lead
Base
Metal
1
12/2022
USD
47,806
(830)
LME
Lead
Base
Metal
1
12/2022
USD
47,731
862
LME
Lead
Base
Metal
2
12/2022
USD
95,425
4,038
LME
Lead
Base
Metal
3
12/2022
USD
143,419
(3,470)
LME
Lead
Base
Metal
7
12/2022
USD
333,856
24,336
LME
Lead
Base
Metal
18
12/2022
USD
859,500
23,620
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(17,081)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(20,464)
LME
Nickel
Base
Metal
1
12/2022
USD
126,642
(7,898)
LME
Nickel
Base
Metal
1
12/2022
USD
126,624
(5,439)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(16,101)
LME
Nickel
Base
Metal
4
12/2022
USD
506,208
(58,911)
LME
Zinc
Base
Metal
1
12/2022
USD
74,713
(5,801)
LME
Zinc
Base
Metal
1
12/2022
USD
74,763
(5,353)
LME
Zinc
Base
Metal
1
12/2022
USD
74,644
(2,997)
LME
Zinc
Base
Metal
2
12/2022
USD
149,540
(7,466)
LME
Zinc
Base
Metal
3
12/2022
USD
224,333
(9,651)
LME
Zinc
Base
Metal
9
12/2022
USD
668,250
26,366
LME
Zinc
Base
Metal
28
12/2022
USD
2,088,100
(129,161)
Nikkei
225
Index
8
12/2022
JPY
1,433,842
(72,254)
S&P
Midcap
400
E-Mini
Index
73
12/2022
USD
16,119,860
(1,659,465)
S&P/TSX
60
Index
5
12/2022
CAD
807,905
(4,378)
SET50
Index
128
12/2022
THB
645,972
(9,491)
Silver
4
12/2022
USD
380,780
11,989
111
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Soybean
Meal
95
12/2022
USD
$
3,828,500
$
(78,490)
SPI
200
Index
135
12/2022
AUD
13,958,922
(675,050)
TOPIX
Index
103
12/2022
JPY
13,066,261
(332,070)
Natural
Gas
27
3/2023
USD
1,319,490
(119,553)
Platinum
12
8/2023
JPY
162,551
(932)
(6,313,976)
Short
Contracts
Amsterdam
Exchange
Index
(28)
10/2022
EUR
(3,516,067)
250,318
Hang
Seng
Index
(28)
10/2022
HKD
(3,069,436)
87,012
IBEX
35
Index
(21)
10/2022
EUR
(1,515,465)
148,318
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,901)
5,781
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,996)
5,349
LME
Aluminum
Base
Metal
(2)
10/2022
USD
(107,463)
14,425
LME
Aluminum
Base
Metal
(8)
10/2022
USD
(432,724)
46,831
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
12,172
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
35
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,981)
(8,059)
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
(10,778)
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,675)
1,697
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,150)
(15)
LME
Copper
Base
Metal
(2)
10/2022
USD
(384,250)
(5,969)
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,773)
2,623
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,854)
517
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,827)
2,243
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,791)
2,456
LME
Lead
Base
Metal
(2)
10/2022
USD
(95,651)
1,119
LME
Lead
Base
Metal
(2)
10/2022
USD
(95,736)
1,859
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,083)
934
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,072)
7,858
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,360)
(1,137)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,453)
(505)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,458)
(2,535)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,463)
485
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,428)
(368)
LME
Zinc
Base
Metal
(3)
10/2022
USD
(225,994)
16,234
LME
Zinc
Base
Metal
(4)
10/2022
USD
(301,575)
(587)
MSCI
Singapore
Index
(58)
10/2022
SGD
(1,133,347)
2,543
Natural
Gas
(31)
10/2022
USD
(2,097,460)
163,104
NY
Harbor
ULSD
(36)
10/2022
USD
(4,871,059)
131,302
OMXS30
Index
(242)
10/2022
SEK
(3,990,575)
32,313
SGX
NIFTY
50
Index
(55)
10/2022
USD
(1,879,680)
(17,398)
WTI
Crude
Oil
(77)
10/2022
USD
(6,120,730)
203,465
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,728)
7,419
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,865)
5,882
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,900)
7,135
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,863)
8,050
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,813)
8,185
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(214,950)
28,588
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(215,272)
25,216
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(215,325)
27,644
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(269,383)
32,958
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(268,781)
30,037
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(269,016)
40,469
LME
Aluminum
Base
Metal
(8)
11/2022
USD
(431,576)
42,791
LME
Aluminum
Base
Metal
(13)
11/2022
USD
(699,481)
85,443
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,900)
8,880
112
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(1)
11/2022
USD
$
(191,338)
$
(153)
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,025)
13,085
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,400)
3,060
LME
Copper
Base
Metal
(2)
11/2022
USD
(381,250)
20,895
LME
Copper
Base
Metal
(2)
11/2022
USD
(380,688)
27,611
LME
Copper
Base
Metal
(2)
11/2022
USD
(380,969)
19,526
LME
Copper
Base
Metal
(4)
11/2022
USD
(763,050)
33,439
LME
Copper
Base
Metal
(4)
11/2022
USD
(761,656)
47,333
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,821)
6,293
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,770)
3,490
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,750)
2,279
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,788)
4,584
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,794)
1,479
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,793)
6,455
LME
Lead
Base
Metal
(2)
11/2022
USD
(95,610)
12,085
LME
Lead
Base
Metal
(2)
11/2022
USD
(95,531)
5,909
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,339)
6,259
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,220)
19,679
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,323)
17,075
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,304)
3,227
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,381)
6,501
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,450)
3,074
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,875)
12,578
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,225)
15,696
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,300)
10,386
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,316)
10,960
LME
Zinc
Base
Metal
(2)
11/2022
USD
(149,975)
27,840
LME
Zinc
Base
Metal
(2)
11/2022
USD
(150,644)
15,835
LME
Zinc
Base
Metal
(3)
11/2022
USD
(225,975)
21,765
100
oz
Gold
(24)
12/2022
USD
(4,012,800)
145,551
Australia
3
Year
Bond
(615)
12/2022
AUD
(41,966,025)
196,560
Canada
10
Year
Bond
(288)
12/2022
CAD
(25,742,469)
(37,042)
Cocoa
(33)
12/2022
USD
(776,820)
(7,781)
Coffee
'C'
(4)
12/2022
USD
(332,325)
(2,071)
Corn
(55)
12/2022
USD
(1,863,125)
(37,624)
DAX
Index
(39)
12/2022
EUR
(11,594,629)
505,947
DJIA
CBOT
E-Mini
Index
(16)
12/2022
USD
(2,304,080)
162,085
Euro-Bobl
(10)
12/2022
EUR
(1,171,650)
14,960
Euro-BTP
(8)
12/2022
EUR
(880,477)
8,795
Euro-Buxl
(26)
12/2022
EUR
(3,730,972)
213,579
Euro-OAT
(5)
12/2022
EUR
(646,833)
19,321
Euro-Schatz
(19)
12/2022
EUR
(1,993,838)
(6,384)
Japan
10
Year
Bond
(12)
12/2022
JPY
(12,312,582)
(11,352)
KOSPI
200
Index
(87)
12/2022
KRW
(4,293,903)
213,629
Lean
Hogs
(14)
12/2022
USD
(426,860)
23,495
Live
Cattle
(40)
12/2022
USD
(2,352,800)
41,829
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,063)
2,194
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(108,050)
6,471
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(108,091)
6,753
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(108,075)
1,866
LME
Aluminum
Base
Metal
(5)
12/2022
USD
(270,210)
13,444
LME
Aluminum
Base
Metal
(6)
12/2022
USD
(323,738)
21,697
LME
Aluminum
Base
Metal
(7)
12/2022
USD
(378,121)
18,809
LME
Aluminum
Base
Metal
(8)
12/2022
USD
(432,076)
16,723
LME
Aluminum
Base
Metal
(14)
12/2022
USD
(756,494)
47,896
LME
Aluminum
Base
Metal
(37)
12/2022
USD
(1,999,388)
(47,145)
113
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(146)
12/2022
USD
$
(7,887,650)
$
408,168
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,871)
8,425
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,253)
3,735
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,776)
9,982
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,729)
6,525
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,647)
18,623
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,836)
5,159
LME
Copper
Base
Metal
(3)
12/2022
USD
(567,114)
(14,885)
LME
Copper
Base
Metal
(3)
12/2022
USD
(570,464)
3,510
LME
Copper
Base
Metal
(3)
12/2022
USD
(567,069)
(7,333)
LME
Copper
Base
Metal
(5)
12/2022
USD
(949,826)
4,998
LME
Copper
Base
Metal
(8)
12/2022
USD
(1,515,800)
14,260
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,806)
829
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,675)
(1,928)
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,731)
(1,121)
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,806)
1,029
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,756)
(514)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,425)
(3,580)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,500)
(1,715)
LME
Lead
Base
Metal
(3)
12/2022
USD
(143,419)
3,723
LME
Lead
Base
Metal
(7)
12/2022
USD
(333,856)
(25,700)
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,624)
6,599
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,642)
9,303
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
18,075
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
19,365
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
11,925
LME
Nickel
Base
Metal
(6)
12/2022
USD
(759,312)
28,620
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,763)
4,820
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,644)
3,359
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,713)
6,285
LME
Zinc
Base
Metal
(2)
12/2022
USD
(149,540)
7,496
LME
Zinc
Base
Metal
(3)
12/2022
USD
(224,333)
9,398
LME
Zinc
Base
Metal
(7)
12/2022
USD
(522,025)
25,754
LME
Zinc
Base
Metal
(9)
12/2022
USD
(668,250)
(29,966)
Long
Gilt
(21)
12/2022
GBP
(2,263,861)
(6,953)
MEX
BOLSA
Index
(5)
12/2022
MXN
(111,435)
5,250
MSCI
EAFE
E-Mini
Index
(1)
12/2022
USD
(83,030)
9,378
MSCI
Emerging
Markets
E-Mini
Index
(15)
12/2022
USD
(653,625)
63,384
NASDAQ
100
E-Mini
Index
(1)
12/2022
USD
(220,710)
6,384
Russell
2000
E-Mini
Index
(62)
12/2022
USD
(5,176,380)
547,691
S&P
500
E-Mini
Index
(282)
12/2022
USD
(50,781,149)
4,591,288
Soybean
Oil
(1)
12/2022
USD
(36,936)
2,566
U.S.
Treasury
10
Year
Note
(75)
12/2022
USD
(8,404,688)
169,398
U.S.
Treasury
2
Year
Note
(10)
12/2022
USD
(2,053,203)
27,117
U.S.
Treasury
5
Year
Note
(38)
12/2022
USD
(4,082,922)
93,290
U.S.
Treasury
Long
Bond
(14)
12/2022
USD
(1,771,438)
101,696
U.S.
Treasury
Ultra
Bond
(10)
12/2022
USD
(1,366,875)
73,965
Wheat
(91)
12/2022
USD
(4,192,825)
(498,733)
Sugar
No.
11
(4)
2/2023
USD
(79,206)
(702)
9,101,031
$
2,787,055
114
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
BRL
1,269,500
USD
230,888
CITI
**
12/21/2022
$
247
BRL
1,269,500
USD
230,889
JPMC
**
12/21/2022
247
CLP
600,000,000
USD
600,405
CITI
**
12/21/2022
10,251
CLP
600,000,000
USD
600,405
JPMC
**
12/21/2022
10,250
CNY
28,240,004
USD
3,934,544
CITI
**
12/21/2022
27,536
CNY
28,239,996
USD
3,934,548
JPMC
**
12/21/2022
27,531
EUR
3,802,000
USD
3,704,577
CITI
12/21/2022
45,188
EUR
3,802,000
USD
3,704,582
JPMC
12/21/2022
45,183
GBP
1,288,500
USD
1,414,362
CITI
12/21/2022
26,075
GBP
1,288,500
USD
1,414,363
JPMC
12/21/2022
26,073
HUF
2,014,317,273
USD
4,556,275
CITI
12/21/2022
6,836
HUF
2,014,317,272
USD
4,556,281
JPMC
12/21/2022
6,830
MXN
75,429,885
USD
3,679,719
CITI
12/21/2022
12,122
MXN
75,429,873
USD
3,679,723
JPMC
12/21/2022
12,117
NOK
25,000,000
USD
2,282,237
CITI
12/21/2022
18,266
NOK
25,000,000
USD
2,282,240
JPMC
12/21/2022
18,263
PHP
1
USD
–
(a)
CITI
**
12/21/2022
–
PHP
1
USD
–
(a)
JPMC
**
12/21/2022
–
SEK
34,887,081
USD
3,123,973
CITI
12/21/2022
35,908
SEK
34,887,081
USD
3,123,977
JPMC
12/21/2022
35,904
USD
1,073,585
AUD
1,604,294
CITI
12/21/2022
45,937
USD
1,073,578
AUD
1,604,285
JPMC
12/21/2022
45,936
USD
1,473,151
BRL
7,810,500
CITI
**
12/21/2022
51,106
USD
1,473,149
BRL
7,810,500
JPMC
**
12/21/2022
51,104
USD
12,027,450
CAD
15,947,849
CITI
12/21/2022
477,889
USD
12,027,432
CAD
15,947,845
JPMC
12/21/2022
477,874
USD
11,797,457
CHF
11,348,494
CITI
12/21/2022
200,094
USD
11,797,433
CHF
11,348,485
JPMC
12/21/2022
200,080
USD
6,127,402
CNY
42,420,005
CITI
**
12/21/2022
175,864
USD
6,127,393
CNY
42,419,995
JPMC
**
12/21/2022
175,857
USD
–
(a)
COP
2,000
CITI
**
12/21/2022
–
USD
–
(a)
COP
2,000
JPMC
**
12/21/2022
–
USD
7,154,632
CZK
178,383,418
CITI
12/21/2022
91,279
USD
7,154,623
CZK
178,383,410
JPMC
12/21/2022
91,272
USD
15,452,263
EUR
15,367,341
CITI
12/21/2022
296,054
USD
15,452,225
EUR
15,367,323
JPMC
12/21/2022
296,034
USD
2,999,653
GBP
2,610,511
CITI
12/21/2022
81,319
USD
2,999,653
GBP
2,610,504
JPMC
12/21/2022
81,325
USD
568,308
HUF
237,561,001
CITI
12/21/2022
30,152
USD
568,307
HUF
237,560,999
JPMC
12/21/2022
30,151
USD
5,338,709
ILS
18,383,801
CITI
12/21/2022
146,654
USD
5,338,699
ILS
18,383,793
JPMC
12/21/2022
146,647
USD
2,835,169
INR
227,690,003
CITI
**
12/21/2022
65,206
USD
2,835,165
INR
227,689,997
JPMC
**
12/21/2022
65,203
USD
8,683,340
JPY
1,197,101,008
CITI
12/21/2022
335,880
USD
8,683,329
JPY
1,197,100,992
JPMC
12/21/2022
335,869
USD
6,675,041
KRW
9,036,782,505
CITI
**
12/21/2022
389,751
USD
6,675,033
KRW
9,036,782,495
JPMC
**
12/21/2022
389,743
USD
3,744,700
MXN
76,300,396
CITI
12/21/2022
10,254
USD
3,744,695
MXN
76,300,394
JPMC
12/21/2022
10,248
USD
7,911,928
NOK
80,764,328
CITI
12/21/2022
479,983
USD
7,911,916
NOK
80,764,315
JPMC
12/21/2022
479,973
USD
8,291,420
NZD
13,900,893
CITI
12/21/2022
508,196
USD
8,291,408
NZD
13,900,890
JPMC
12/21/2022
508,186
USD
4,359,379
PLN
21,333,000
CITI
12/21/2022
113,890
115
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
4,359,374
PLN
21,333,000
JPMC
12/21/2022
$
113,884
USD
3,001,068
SEK
31,762,000
CITI
12/21/2022
124,240
USD
3,001,064
SEK
31,762,000
JPMC
12/21/2022
124,236
USD
437,673
SGD
627,000
CITI
12/21/2022
641
USD
437,672
SGD
627,000
JPMC
12/21/2022
641
USD
3,535,657
TWD
106,992,499
CITI
**
12/21/2022
166,472
USD
3,535,653
TWD
106,992,501
JPMC
**
12/21/2022
166,467
USD
937,784
ZAR
16,239,000
CITI
12/21/2022
46,894
USD
937,782
ZAR
16,239,000
JPMC
12/21/2022
46,893
Total
unrealized
appreciation
8,040,205
AUD
25,480,606
USD
17,190,815
CITI
12/21/2022
(868,932)
AUD
25,480,593
USD
17,190,827
JPMC
12/21/2022
(868,953)
BRL
25,878,714
USD
4,868,515
CITI
**
12/21/2022
(156,821)
BRL
25,878,697
USD
4,868,517
JPMC
**
12/21/2022
(156,827)
CAD
6,841,872
USD
5,244,384
CITI
12/21/2022
(289,445)
CAD
6,841,857
USD
5,244,379
JPMC
12/21/2022
(289,451)
CHF
6,832,500
USD
7,148,810
CITI
12/21/2022
(166,476)
CHF
6,832,500
USD
7,148,819
JPMC
12/21/2022
(166,485)
CLP
5,359,539,162
USD
5,705,339
CITI
**
12/21/2022
(250,614)
CLP
5,359,539,153
USD
5,705,347
JPMC
**
12/21/2022
(250,621)
CNY
23,336,501
USD
3,381,950
CITI
**
12/21/2022
(107,833)
CNY
23,336,499
USD
3,381,954
JPMC
**
12/21/2022
(107,837)
COP
12,576,712,343
USD
2,775,285
CITI
**
12/21/2022
(87,151)
COP
12,576,712,337
USD
2,775,289
JPMC
**
12/21/2022
(87,155)
EUR
10,034,383
USD
10,071,720
CITI
12/21/2022
(175,200)
EUR
10,034,375
USD
10,071,725
JPMC
12/21/2022
(175,212)
GBP
3,176,399
USD
3,660,933
CITI
12/21/2022
(109,982)
GBP
3,176,387
USD
3,660,924
JPMC
12/21/2022
(109,985)
HUF
2,518,798,978
USD
6,080,708
CITI
12/21/2022
(374,774)
HUF
2,518,798,976
USD
6,080,715
JPMC
12/21/2022
(374,781)
IDR
14,091,938,000
USD
925,050
CITI
**
12/21/2022
(8,031)
IDR
14,091,938,000
USD
925,051
JPMC
**
12/21/2022
(8,033)
ILS
1,245,002
USD
375,455
CITI
12/21/2022
(23,835)
ILS
1,244,998
USD
375,454
JPMC
12/21/2022
(23,835)
INR
380,069,879
USD
4,722,406
CITI
**
12/21/2022
(98,665)
INR
380,069,857
USD
4,722,411
JPMC
**
12/21/2022
(98,671)
JPY
1,497,728,693
USD
10,766,307
CITI
12/21/2022
(322,552)
JPY
1,497,728,680
USD
10,766,320
JPMC
12/21/2022
(322,565)
KRW
3,004,913,047
USD
2,172,679
CITI
**
12/21/2022
(82,693)
KRW
3,004,913,031
USD
2,172,657
JPMC
**
12/21/2022
(82,671)
MXN
22,582,628
USD
1,109,237
CITI
12/21/2022
(3,953)
MXN
22,582,624
USD
1,109,238
JPMC
12/21/2022
(3,954)
NOK
84,622,375
USD
8,456,522
CITI
12/21/2022
(669,559)
NOK
84,622,360
USD
8,456,531
JPMC
12/21/2022
(669,569)
NZD
1,944,601
USD
1,139,372
CITI
12/21/2022
(50,574)
NZD
1,944,600
USD
1,139,373
JPMC
12/21/2022
(50,575)
PHP
55,408,500
USD
967,020
CITI
**
12/21/2022
(30,735)
PHP
55,408,498
USD
967,009
JPMC
**
12/21/2022
(30,724)
PLN
13,640,500
USD
2,843,110
CITI
12/21/2022
(128,508)
PLN
13,640,500
USD
2,843,113
JPMC
12/21/2022
(128,512)
SEK
42,592,412
USD
4,034,987
CITI
12/21/2022
(177,200)
SEK
42,592,409
USD
4,034,992
JPMC
12/21/2022
(177,205)
SGD
3,141,130
USD
2,242,224
CITI
12/21/2022
(52,794)
SGD
3,141,124
USD
2,242,222
JPMC
12/21/2022
(52,797)
TWD
1,326,528
USD
43,885
CITI
**
12/21/2022
(2,113)
TWD
1,326,528
USD
43,875
JPMC
**
12/21/2022
(2,103)
USD
1,723,584
CHF
1,695,500
CITI
12/21/2022
(9,097)
USD
1,723,582
CHF
1,695,500
JPMC
12/21/2022
(9,100)
116
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,182,170
CNY
8,488,500
CITI
**
12/21/2022
$
(8,768)
USD
1,182,169
CNY
8,488,500
JPMC
**
12/21/2022
(8,770)
USD
5,289,202
CZK
135,375,786
CITI
12/21/2022
(71,200)
USD
5,289,195
CZK
135,375,785
JPMC
12/21/2022
(71,208)
USD
1,582,288
EUR
1,626,483
CITI
12/21/2022
(21,849)
USD
1,582,286
EUR
1,626,483
JPMC
12/21/2022
(21,850)
USD
3,835,406
GBP
3,572,807
CITI
12/21/2022
(158,698)
USD
3,835,401
GBP
3,572,807
JPMC
12/21/2022
(158,702)
USD
182,478
INR
15,000,000
CITI
**
12/21/2022
(5)
USD
182,478
INR
15,000,000
JPMC
**
12/21/2022
(5)
USD
356,050
JPY
51,090,000
CITI
12/21/2022
(204)
USD
356,050
JPY
51,090,000
JPMC
12/21/2022
(204)
USD
3,908,657
MXN
80,209,559
CITI
12/21/2022
(17,121)
USD
3,908,652
MXN
80,209,558
JPMC
12/21/2022
(17,125)
USD
1,482,688
PLN
7,548,500
CITI
12/21/2022
(19,542)
USD
1,482,686
PLN
7,548,500
JPMC
12/21/2022
(19,544)
USD
3,296,733
SEK
37,000,000
CITI
12/21/2022
(54,524)
USD
3,296,728
SEK
37,000,000
JPMC
12/21/2022
(54,528)
USD
1,967,249
TWD
62,500,000
CITI
**
12/21/2022
(871)
USD
1,967,247
TWD
62,500,000
JPMC
**
12/21/2022
(873)
ZAR
54,682,247
USD
3,114,662
CITI
12/21/2022
(114,734)
ZAR
54,682,235
USD
3,114,665
JPMC
12/21/2022
(114,737)
Total
unrealized
depreciation
(9,430,220)
Net
unrealized
depreciation
$
(1,390,015)
**
Non-deliverable
forward.
(a)
Represents
less
than
$0.05.
117
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
For
the
period
ended
September
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(d)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
94.1%
INVESTMENT
COMPANIES
-
40.8%
BlackRock
Liquidity
Funds
Treasury
Trust
Fund
Portfolio,
Institutional
Shares,
2.47%
(1)(a)
19,850,000
19,850,000
BlackRock
Sustainable
Emerging
Markets
Flexible
Bond
Fund
(1)(a)
16,790,000
16,790,000
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(a)(b)
15,364,176
15,364,176
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)(c)
631,133,751
630,818,184
TOTAL
INVESTMENT
COMPANIES
(Cost
$682,699,913)
682,822,360
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
53.3%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(d)
$
3,772,000
3,771,229
1.23%,
10/13/2022
(d)
16,853,000
16,840,817
1.26%,
10/20/2022
(d)
20,822,000
20,796,890
1.38%,
10/27/2022
(d)
52,369,000
52,279,144
1.42%,
11/3/2022
(d)(e)
36,328,000
36,244,700
1.39%,
11/10/2022
(d)(e)
39,082,000
38,970,461
1.50%,
11/17/2022
(d)(e)
16,278,000
16,220,010
2.18%,
12/15/2022
(d)(e)
24,722,000
24,580,920
2.42%,
12/22/2022
(d)(e)
59,237,000
58,816,022
2.95%,
1/19/2023
(d)(e)
36,218,000
35,852,415
2.96%,
1/26/2023
(d)
12,144,700
12,013,113
2.89%,
2/2/2023
(d)(e)
120,493,000
119,063,717
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
53.3%
(continued)
3.07%,
2/16/2023
(d)
$
3,808,000
3,757,326
3.16%,
2/23/2023
(d)
2,742,000
2,703,493
3.29%,
3/2/2023
(d)
12,952,000
12,752,951
3.38%,
3/9/2023
(d)
87,876,000
86,448,762
3.53%,
3/16/2023
(d)(e)
107,271,000
105,467,123
3.85%,
3/23/2023
(d)
128,838,000
126,596,621
3.93%,
3/30/2023
(d)
121,432,000
119,136,819
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$893,036,352)
892,312,533
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$1,575,736,265)
1,575,134,893
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.1%
(Cost
$1,575,736,265)
1,575,134,893
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
5.9%
(f)
99,247,853
NET
ASSETS
-
100.0%
1,674,382,746
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
682,822,360
40.8
U.S.
Treasury
Obligations
892,312,533
53.3
Total
Investments
In
Securities
At
Value
$
1,575,134,893
94.1
Other
Assets
in
Excess
of
Liabilities
(f)
99,247,853
5.9
Net
Assets
$
1,674,382,746
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2022
Shares
Held
At
9/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
37.7%
INVESTMENT
COMPANIES
-
37.7%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)
(Cost
$630,695,737)
$176,421,846
$3,534,647,614
$(3,080,268,756)
$(105,423)
$122,903
$630,818,184
631,133,751
$1,874,216
$–
(1)
Level
1
security.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
118
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
September
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
iTraxx
Europe
Crossover
Index
Series
38.V1
5.00
%
Quarterly
12/20/2027
6.39
%
EUR
1,545,000
$
66,499
$
11,434
$
77,933
iTraxx
Europe
Main
Index
Series
38.V1
1.00
Quarterly
12/20/2027
1.34
EUR
6,844,000
69,105
34,601
103,706
Markit
CDX
North
America
Emerging
Markets
Index
Series
38.V1
1.00
Quarterly
12/20/2027
3.34
USD
2,412,000
196,854
42,469
239,323
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
Quarterly
12/20/2027
6.07
USD
1,164,000
53,049
(7,058)
45,991
Markit
CDX
North
America
Investment
Grade
Index
Series
39.V1
1.00
Quarterly
12/20/2027
1.08
USD
5,312,000
(4,331)
20,941
16,610
$
381,176
$
102,387
$
483,563
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2027
AUD
27,000,000
$
196,944
$
(32,776)
$
164,168
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2032
AUD
17,400,000
356,170
(309,029)
47,141
Receive
1D
SARON
Annual
1.00%
Annual
12/23/2024
CHF
4,200,000
(13,798)
59,070
45,272
Receive
1D
SARON
Annual
1.50%
Annual
12/23/2024
CHF
45,700,000
(176,513)
208,866
32,353
Receive
1D
SARON
Annual
1.50%
Annual
3/17/2025
CHF
10,400,000
73,193
(55,400)
17,793
Receive
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
10,600,000
(56,187)
127,994
71,807
Receive
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
2,500,000
8,712
14,972
23,684
Receive
1D
SARON
Annual
1.50%
Annual
3/15/2033
CHF
300,000
9,440
7,227
16,667
Receive
1D
SOFR
Annual
3.25%
Annual
12/23/2024
USD
115,500,000
147,848
2,024,620
2,172,468
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
437,500,000
8,676,996
9,913,176
18,590,172
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
110,900,000
1,291,368
1,665,013
2,956,381
Receive
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
60,600,000
2,604,962
5,202,026
7,806,988
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
699,400,000
13,258,282
39,171,057
52,429,339
Receive
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
1,100,000
8,859
28,965
37,824
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
60,800,000
6,979,098
8,627,142
15,606,240
Receive
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
3,700,000
386,497
384,776
771,273
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
4,800,000
543,149
46,658
589,807
Receive
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
5,390,000,000
123,921
(3,332)
120,589
Receive
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
13,685,900,000
1,318,562
(69,343)
1,249,219
Receive
1M
TIIE
Monthly
9.50%
Monthly
12/18/2024
MXN
207,400,000
(18,829)
115,548
96,719
Receive
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
376,200,000
(18,974)
266,382
247,408
Receive
1M
TIIE
Monthly
9.50%
Monthly
3/12/2025
MXN
830,000,000
155,535
32,716
188,251
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
444,700,000
5,854,008
4,485,741
10,339,749
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
4,500,000
4,182
1,668
5,850
Receive
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
600,000
15,143
(590)
14,553
Receive
3M
BBR
Qtrly
4.00%
Semi
12/11/2024
NZD
9,400,000
(11,991)
93,809
81,818
Receive
3M
BBR
Qtrly
4.50%
Semi
12/11/2024
NZD
148,400,000
201,910
313,841
515,751
Receive
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
145,600,000
(55,905)
1,160,775
1,104,870
Receive
3M
BBR
Qtrly
4.00%
Qtrly
12/12/2024
AUD
9,500,000
(44,092)
58,016
13,924
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
1,400,000
4,985
7,329
12,314
Receive
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
500,000
(531)
2,344
1,813
119
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
1,500,000
$
(2,010)
$
5,066
$
3,056
Receive
3M
BBR
Qtrly
4.50%
Semi
12/15/2032
NZD
34,400,000
(101,442)
139,330
37,888
Receive
3M
BBR
Qtrly
4.00%
Semi
12/15/2032
NZD
1,600,000
(13,649)
51,145
37,496
Receive
3M
BBR
Qtrly
4.50%
Semi
3/16/2033
NZD
600,000
(220)
924
704
Receive
3M
BBR
Qtrly
4.00%
Semi
3/16/2033
NZD
300,000
2,253
4,728
6,981
Receive
3M
CD_KSDA
Qtrly
4.00%
Qtrly
12/18/2024
KRW
23,360,800,000
(205,212)
323,166
117,954
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
12/18/2024
ZAR
578,900,000
(78,809)
299,877
221,068
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
325,000,000
132,209
46,753
178,962
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
681,100,000
158,008
374,336
532,344
Receive
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
2,000,000
(532)
699
167
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
12,500,000
4,450
7,294
11,744
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
289,400,000
196,418
208,801
405,219
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
5,200,000
5,618
1,811
7,429
Receive
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
500,000
8,194
3,975
12,169
Receive
6M
EURIBOR
Semi
1.50%
Annual
12/23/2024
EUR
51,900,000
218,199
1,205,329
1,423,528
Receive
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
488,100,000
6,296,006
13,980,441
20,276,447
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
149,500,000
2,861,618
1,600,778
4,462,396
Receive
6M
EURIBOR
Semi
2.00%
Annual
12/21/2032
EUR
10,900,000
(49,334)
1,066,343
1,017,009
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
30,700,000
1,637,723
1,302,608
2,940,331
Receive
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
1,123,600,000
(31,835)
329,635
297,800
Receive
6M
NIBOR
Semi
3.50%
Annual
12/15/2032
NOK
125,700,000
(2,381)
16,026
13,645
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
110,300,000
257,204
178,699
435,903
Receive
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
4,700,000
2,717
(2,268)
449
Receive
6M
WIBOR
Semi
7.50%
Annual
12/18/2024
PLN
4,900,000
(19,092)
20,651
1,559
53,099,045
94,715,408
147,814,453
Pay
1D
SARON
Annual
1.50%
Annual
12/21/2027
CHF
38,500,000
(642,865)
162,569
(480,296)
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
8,700,000
(142,125)
12,977
(129,148)
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2027
USD
292,000,000
(14,495,498)
(9,237,496)
(23,732,994)
Pay
1D
SOFR
Annual
2.50%
Annual
12/21/2032
USD
29,100,000
(381,230)
(2,165,905)
(2,547,135)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
24,800,000
(899,814)
(1,201,240)
(2,101,054)
Pay
1D
SONIA
Annual
1.75%
Annual
12/21/2027
GBP
430,500,000
(21,955,862)
(46,743,499)
(68,699,361)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
16,476,200,000
(340,124)
46,348
(293,776)
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
3,396,900,000
(86,697)
36,701
(49,996)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
704,900,000
(36,737)
15,152
(21,585)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2027
CAD
131,300,000
(2,513,684)
(2,580,781)
(5,094,465)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
25,500,000
(1,324,325)
(487,071)
(1,811,396)
Pay
3M
BBR
Qtrly
4.50%
Semi
12/15/2027
NZD
127,100,000
149,359
(395,538)
(246,179)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2027
SEK
1,071,700,000
(367,235)
(1,194,361)
(1,561,596)
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2027
AUD
39,400,000
(735,002)
410,088
(324,914)
Pay
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
11,500,000
(34,667)
(532,442)
(567,109)
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2032
AUD
21,400,000
(45,203)
(453,465)
(498,668)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/21/2027
EUR
148,500,000
(6,204,938)
(9,013,221)
(15,218,159)
Pay
6M
EURIBOR
Semi
1.50%
Annual
12/21/2027
EUR
42,500,000
(550,253)
(2,368,788)
(2,919,041)
Pay
6M
EURIBOR
Semi
1.75%
Annual
3/15/2028
EUR
116,500,000
(3,827,824)
(3,154,584)
(6,982,408)
Pay
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
34,600,000
(2,768,350)
(3,370,126)
(6,138,476)
Pay
6M
NIBOR
Semi
3.50%
Annual
12/15/2027
NOK
805,900,000
264,035
(272,829)
(8,794)
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
240,000,000
(12,934)
1
(12,933)
Receive
3M
BBR
Qtrly
4.50%
Qtrly
12/12/2024
AUD
220,500,000
(1,459,740)
432,868
(1,026,872)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
12/18/2024
SEK
639,000,000
(532,062)
485,414
(46,648)
Receive
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
300,000
(547)
123
(424)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
700,000
134
(555)
(421)
Receive
6M
PRIBOR
Semi
6.50%
Annual
12/18/2024
CZK
35,000,000
(14,236)
11,645
(2,591)
(58,958,424)
(81,558,015)
(140,516,439)
$
(5,859,379)
$
13,157,393
$
7,298,014
120
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
September
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
2.98%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
2.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.07%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
9.54%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.06%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.20%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
6.47%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.24%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
1.73%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.57%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
1.81%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.46%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.33%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.31%
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
11/04/2022
USD
(188,320)
$
1,540
Hang
Seng
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(49,909,000)
198,427
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
10/28/2022
HKD
(15,080,700)
56,551
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(2,069,900)
7,612
iBovespa
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
10/13/2022
BRL
(74,588,850)
550,758
KOSPI
200
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
12/08/2022
KRW
(70,612,500)
5,387
Lean
Hogs
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
10/14/2022
USD
(214,140)
10,585
121
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Live
Cattle
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
(7,823,060)
$
185,420
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
12/16/2022
CHF
(30,469,230)
2,304,500
TAIEX
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/19/2022
TWD
(69,648,800)
173,634
3,494,414
Lean
Hogs
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
10/14/2022
USD
214,140
(13,158)
Live
Cattle
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
(7,622,230)
(155,542)
Live
Cattle
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
7,622,230
(92,545)
Live
Cattle
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
6,646,660
(163,973)
(425,218)
$
3,069,196
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
EURO
STOXX
50
Volatility
Index
12
10/2022
EUR
$
36,634
$
3,659
LME
Aluminum
Base
Metal
4
10/2022
USD
214,725
(28,846)
LME
Aluminum
Base
Metal
7
10/2022
USD
377,304
(40,634)
LME
Aluminum
Base
Metal
11
10/2022
USD
593,079
(64,754)
LME
Aluminum
Base
Metal
13
10/2022
USD
698,100
(99,488)
LME
Aluminum
Base
Metal
25
10/2022
USD
1,342,188
(170,374)
LME
Aluminum
Base
Metal
29
10/2022
USD
1,565,870
(151,016)
LME
Aluminum
Base
Metal
52
10/2022
USD
2,794,025
(358,309)
LME
Aluminum
Base
Metal
64
10/2022
USD
3,461,792
(340,381)
LME
Copper
Base
Metal
3
10/2022
USD
575,531
14,523
LME
Copper
Base
Metal
3
10/2022
USD
576,600
24,967
LME
Copper
Base
Metal
5
10/2022
USD
958,875
5,757
LME
Copper
Base
Metal
5
10/2022
USD
959,906
49,327
LME
Copper
Base
Metal
6
10/2022
USD
1,150,050
(15,739)
LME
Copper
Base
Metal
7
10/2022
USD
1,345,050
(3,436)
LME
Copper
Base
Metal
8
10/2022
USD
1,536,400
59,179
LME
Copper
Base
Metal
10
10/2022
USD
1,922,000
119,170
LME
Copper
Base
Metal
11
10/2022
USD
2,113,375
20,927
LME
Copper
Base
Metal
12
10/2022
USD
2,306,400
(22,084)
122
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
1
10/2022
USD
$
47,791
$
(2,297)
LME
Lead
Base
Metal
5
10/2022
USD
239,134
(12,332)
LME
Lead
Base
Metal
8
10/2022
USD
382,934
(12,968)
LME
Lead
Base
Metal
9
10/2022
USD
429,638
(24,436)
LME
Lead
Base
Metal
19
10/2022
USD
909,354
(6,113)
LME
Lead
Base
Metal
22
10/2022
USD
1,052,585
(52,430)
LME
Lead
Base
Metal
32
10/2022
USD
1,530,408
(57,528)
LME
Lead
Base
Metal
33
10/2022
USD
1,579,644
(27,844)
LME
Lead
Base
Metal
37
10/2022
USD
1,770,589
(19,383)
LME
Lead
Base
Metal
39
10/2022
USD
1,864,902
(58,073)
LME
Nickel
Base
Metal
2
10/2022
USD
252,144
(7,062)
LME
Nickel
Base
Metal
8
10/2022
USD
1,008,576
(227)
LME
Nickel
Base
Metal
11
10/2022
USD
1,386,792
82,600
LME
Nickel
Base
Metal
13
10/2022
USD
1,639,232
(25,495)
LME
Zinc
Base
Metal
7
10/2022
USD
527,520
7,749
LME
Zinc
Base
Metal
7
10/2022
USD
527,835
5,614
LME
Zinc
Base
Metal
9
10/2022
USD
679,118
29,561
LME
Zinc
Base
Metal
12
10/2022
USD
905,430
5,035
LME
Zinc
Base
Metal
15
10/2022
USD
1,131,413
13,868
LME
Zinc
Base
Metal
17
10/2022
USD
1,282,013
(29,785)
LME
Zinc
Base
Metal
36
10/2022
USD
2,716,650
(9,554)
Natural
Gas
37
10/2022
USD
2,503,420
(367,670)
NY
Harbor
ULSD
48
10/2022
USD
6,494,746
(535,352)
Ethanol
15
11/2022
USD
1,445,850
(8,108)
EURO
STOXX
50
Volatility
Index
116
11/2022
EUR
350,152
17,151
FCOJ-A
56
11/2022
USD
1,607,760
73,917
LME
Aluminum
Base
Metal
1
11/2022
USD
53,747
(6,631)
LME
Aluminum
Base
Metal
3
11/2022
USD
161,594
(17,300)
LME
Aluminum
Base
Metal
3
11/2022
USD
161,381
(21,242)
LME
Aluminum
Base
Metal
5
11/2022
USD
269,383
(31,882)
LME
Aluminum
Base
Metal
12
11/2022
USD
647,364
(75,821)
LME
Aluminum
Base
Metal
13
11/2022
USD
699,634
(76,104)
LME
Aluminum
Base
Metal
14
11/2022
USD
753,288
(88,504)
LME
Aluminum
Base
Metal
14
11/2022
USD
752,196
(102,706)
LME
Aluminum
Base
Metal
28
11/2022
USD
1,508,150
(252,783)
LME
Aluminum
Base
Metal
30
11/2022
USD
1,614,938
(188,901)
LME
Aluminum
Base
Metal
48
11/2022
USD
2,580,300
(318,517)
LME
Aluminum
Base
Metal
95
11/2022
USD
5,112,188
(743,552)
LME
Copper
Base
Metal
1
11/2022
USD
190,900
(7,678)
LME
Copper
Base
Metal
3
11/2022
USD
573,075
(38,721)
LME
Copper
Base
Metal
5
11/2022
USD
957,875
(29,022)
LME
Copper
Base
Metal
6
11/2022
USD
1,142,907
(58,764)
LME
Copper
Base
Metal
7
11/2022
USD
1,332,898
(83,871)
LME
Copper
Base
Metal
8
11/2022
USD
1,531,200
(22,310)
LME
Copper
Base
Metal
14
11/2022
USD
2,662,825
(95,262)
LME
Copper
Base
Metal
15
11/2022
USD
2,859,375
(157,758)
LME
Copper
Base
Metal
16
11/2022
USD
3,057,400
(147,144)
LME
Lead
Base
Metal
1
11/2022
USD
47,785
(3,568)
LME
Lead
Base
Metal
3
11/2022
USD
143,414
(18,433)
LME
Lead
Base
Metal
3
11/2022
USD
143,475
(19,750)
LME
Lead
Base
Metal
8
11/2022
USD
381,950
(28,071)
LME
Lead
Base
Metal
8
11/2022
USD
382,564
(50,705)
LME
Lead
Base
Metal
13
11/2022
USD
620,750
(35,784)
LME
Lead
Base
Metal
19
11/2022
USD
907,540
(54,860)
LME
Lead
Base
Metal
23
11/2022
USD
1,099,256
(33,267)
LME
Lead
Base
Metal
23
11/2022
USD
1,098,538
(26,648)
123
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
23
11/2022
USD
$
1,098,704
$
(74,356)
LME
Lead
Base
Metal
26
11/2022
USD
1,243,210
(179,752)
LME
Lead
Base
Metal
32
11/2022
USD
1,529,224
(167,320)
LME
Lead
Base
Metal
32
11/2022
USD
1,529,512
(205,466)
LME
Lead
Base
Metal
33
11/2022
USD
1,575,948
(98,139)
LME
Nickel
Base
Metal
3
11/2022
USD
378,979
(17,395)
LME
Nickel
Base
Metal
3
11/2022
USD
379,349
(11,260)
LME
Nickel
Base
Metal
5
11/2022
USD
631,101
(93,634)
LME
Nickel
Base
Metal
5
11/2022
USD
631,693
(33,559)
LME
Nickel
Base
Metal
10
11/2022
USD
1,263,225
(140,788)
LME
Zinc
Base
Metal
1
11/2022
USD
75,025
(14,853)
LME
Zinc
Base
Metal
2
11/2022
USD
150,250
(26,556)
LME
Zinc
Base
Metal
4
11/2022
USD
301,200
(44,062)
LME
Zinc
Base
Metal
8
11/2022
USD
602,600
(58,461)
LME
Zinc
Base
Metal
8
11/2022
USD
599,150
(100,474)
LME
Zinc
Base
Metal
9
11/2022
USD
674,888
(137,389)
LME
Zinc
Base
Metal
10
11/2022
USD
748,750
(125,880)
LME
Zinc
Base
Metal
13
11/2022
USD
974,350
(149,863)
LME
Zinc
Base
Metal
17
11/2022
USD
1,278,825
(272,475)
LME
Zinc
Base
Metal
20
11/2022
USD
1,506,375
(132,798)
LME
Zinc
Base
Metal
25
11/2022
USD
1,882,894
(239,064)
LME
Zinc
Base
Metal
32
11/2022
USD
2,408,000
(442,312)
Low
Sulphur
Gasoil
68
11/2022
USD
6,403,900
(564,374)
White
Sugar
380
11/2022
USD
10,045,300
(11,246)
Coffee
'C'
107
12/2022
USD
8,889,694
204,129
EURO
STOXX
50
Volatility
Index
93
12/2022
EUR
272,978
4,655
Italian
Base
Electricity
1
12/2022
EUR
3,325,320
1,569,595
KC
HRW
Wheat
21
12/2022
USD
1,041,075
59,201
Lean
Hogs
29
12/2022
USD
884,210
(78,341)
LME
Aluminum
Base
Metal
5
12/2022
USD
270,228
(16,857)
LME
Aluminum
Base
Metal
7
12/2022
USD
378,294
(18,904)
LME
Aluminum
Base
Metal
9
12/2022
USD
486,349
(33,203)
LME
Aluminum
Base
Metal
10
12/2022
USD
539,563
(37,405)
LME
Aluminum
Base
Metal
21
12/2022
USD
1,135,050
(22,416)
LME
Aluminum
Base
Metal
27
12/2022
USD
1,458,952
(97,703)
LME
Aluminum
Base
Metal
27
12/2022
USD
1,458,675
(96,642)
LME
Aluminum
Base
Metal
31
12/2022
USD
1,674,295
(69,547)
LME
Aluminum
Base
Metal
32
12/2022
USD
1,728,552
(84,167)
LME
Aluminum
Base
Metal
33
12/2022
USD
1,782,825
(79,241)
LME
Aluminum
Base
Metal
112
12/2022
USD
6,043,800
(116,530)
LME
Aluminum
Base
Metal
115
12/2022
USD
6,214,313
84,473
LME
Copper
Base
Metal
2
12/2022
USD
378,105
3,974
LME
Copper
Base
Metal
2
12/2022
USD
379,552
(20,953)
LME
Copper
Base
Metal
2
12/2022
USD
379,647
(18,634)
LME
Copper
Base
Metal
3
12/2022
USD
569,896
(862)
LME
Copper
Base
Metal
3
12/2022
USD
569,753
(8,880)
LME
Copper
Base
Metal
3
12/2022
USD
569,612
(28,221)
LME
Copper
Base
Metal
4
12/2022
USD
756,152
14,141
LME
Copper
Base
Metal
7
12/2022
USD
1,327,069
(28,425)
LME
Copper
Base
Metal
30
12/2022
USD
5,670,690
120,192
LME
Copper
Base
Metal
33
12/2022
USD
6,252,675
(425,809)
LME
Lead
Base
Metal
2
12/2022
USD
95,513
1,107
LME
Lead
Base
Metal
3
12/2022
USD
143,381
(2,908)
LME
Lead
Base
Metal
8
12/2022
USD
382,450
2,429
LME
Lead
Base
Metal
10
12/2022
USD
476,750
15,817
LME
Lead
Base
Metal
12
12/2022
USD
572,550
22,018
124
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
12
12/2022
USD
$
572,400
$
5,364
LME
Lead
Base
Metal
16
12/2022
USD
764,500
(5,542)
LME
Lead
Base
Metal
19
12/2022
USD
908,319
14,794
LME
Lead
Base
Metal
19
12/2022
USD
908,319
4,344
LME
Lead
Base
Metal
25
12/2022
USD
1,193,750
18,959
LME
Lead
Base
Metal
31
12/2022
USD
1,478,506
106,675
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(14,741)
LME
Nickel
Base
Metal
1
12/2022
USD
126,633
(8,640)
LME
Nickel
Base
Metal
6
12/2022
USD
759,312
(121,973)
LME
Nickel
Base
Metal
7
12/2022
USD
885,864
(111,226)
LME
Nickel
Base
Metal
9
12/2022
USD
1,138,968
(184,175)
LME
Nickel
Base
Metal
10
12/2022
USD
1,265,520
(170,805)
LME
Nickel
Base
Metal
18
12/2022
USD
2,278,306
(267,131)
LME
Nickel
Base
Metal
51
12/2022
USD
6,454,152
(918,183)
LME
Zinc
Base
Metal
5
12/2022
USD
374,063
(35,952)
LME
Zinc
Base
Metal
8
12/2022
USD
597,700
(46,410)
LME
Zinc
Base
Metal
19
12/2022
USD
1,420,488
(101,706)
LME
Zinc
Base
Metal
29
12/2022
USD
2,168,330
(108,131)
LME
Zinc
Base
Metal
31
12/2022
USD
2,318,103
(98,739)
LME
Zinc
Base
Metal
34
12/2022
USD
2,524,500
(49,372)
LME
Zinc
Base
Metal
109
12/2022
USD
8,128,675
(724,866)
Milling
Wheat
No.
2
20
12/2022
EUR
349,633
2,870
Soybean
Meal
306
12/2022
USD
12,331,800
(414,201)
Soybean
Oil
61
12/2022
USD
2,253,096
(144,090)
White
Maize
50
12/2022
ZAR
1,361,326
17,396
Yellow
Maize
6
12/2022
ZAR
162,033
430
CBOE
Volatility
Index
1
1/2023
USD
30,702
410
CBOE
Volatility
Index
9
2/2023
USD
272,790
1,457
WTI
Crude
Oil
115
2/2023
JPY
2,777,465
(122,368)
3
Month
SARON
3
6/2023
CHF
748,632
(35)
(10,855,253)
Short
Contracts
Amsterdam
Exchange
Index
(135)
10/2022
EUR
(16,952,464)
1,057,551
Brent
Crude
Oil
(19)
10/2022
USD
(1,617,660)
101,544
CAC
40
10
Euro
Index
(247)
10/2022
EUR
(13,951,840)
662,074
CBOE
Volatility
Index
(4)
10/2022
USD
(126,064)
(18,631)
Hang
Seng
Index
(141)
10/2022
HKD
(15,456,804)
455,526
HSCEI
(74)
10/2022
HKD
(2,787,615)
60,387
IBEX
35
Index
(173)
10/2022
EUR
(12,484,545)
1,308,298
LME
Aluminum
Base
Metal
(4)
10/2022
USD
(214,725)
30,263
LME
Aluminum
Base
Metal
(7)
10/2022
USD
(377,304)
40,926
LME
Aluminum
Base
Metal
(11)
10/2022
USD
(593,079)
76,943
LME
Aluminum
Base
Metal
(13)
10/2022
USD
(698,100)
99,390
LME
Aluminum
Base
Metal
(25)
10/2022
USD
(1,342,188)
173,699
LME
Aluminum
Base
Metal
(29)
10/2022
USD
(1,565,870)
155,116
LME
Aluminum
Base
Metal
(52)
10/2022
USD
(2,794,025)
356,971
LME
Aluminum
Base
Metal
(64)
10/2022
USD
(3,461,792)
374,645
LME
Copper
Base
Metal
(3)
10/2022
USD
(576,600)
(25,003)
LME
Copper
Base
Metal
(3)
10/2022
USD
(575,531)
(17,155)
LME
Copper
Base
Metal
(5)
10/2022
USD
(958,875)
(2,638)
LME
Copper
Base
Metal
(5)
10/2022
USD
(959,906)
(48,594)
LME
Copper
Base
Metal
(6)
10/2022
USD
(1,150,050)
15,184
LME
Copper
Base
Metal
(7)
10/2022
USD
(1,345,050)
4,492
LME
Copper
Base
Metal
(8)
10/2022
USD
(1,536,400)
(53,849)
LME
Copper
Base
Metal
(10)
10/2022
USD
(1,922,000)
30,221
LME
Copper
Base
Metal
(11)
10/2022
USD
(2,113,375)
(32,828)
125
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(12)
10/2022
USD
$
(2,306,400)
$
(120,542)
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,791)
2,456
LME
Lead
Base
Metal
(5)
10/2022
USD
(239,134)
11,728
LME
Lead
Base
Metal
(8)
10/2022
USD
(382,934)
13,405
LME
Lead
Base
Metal
(9)
10/2022
USD
(429,638)
24,750
LME
Lead
Base
Metal
(19)
10/2022
USD
(909,354)
5,446
LME
Lead
Base
Metal
(22)
10/2022
USD
(1,052,585)
44,607
LME
Lead
Base
Metal
(32)
10/2022
USD
(1,530,408)
53,170
LME
Lead
Base
Metal
(33)
10/2022
USD
(1,579,644)
30,669
LME
Lead
Base
Metal
(37)
10/2022
USD
(1,770,589)
19,140
LME
Lead
Base
Metal
(39)
10/2022
USD
(1,864,902)
58,670
LME
Nickel
Base
Metal
(2)
10/2022
USD
(252,144)
6,660
LME
Nickel
Base
Metal
(8)
10/2022
USD
(1,008,576)
19,986
LME
Nickel
Base
Metal
(11)
10/2022
USD
(1,386,792)
(54,775)
LME
Nickel
Base
Metal
(13)
10/2022
USD
(1,639,232)
(3,071)
LME
Zinc
Base
Metal
(7)
10/2022
USD
(527,835)
(6,843)
LME
Zinc
Base
Metal
(7)
10/2022
USD
(527,520)
(7,960)
LME
Zinc
Base
Metal
(9)
10/2022
USD
(679,118)
(22,819)
LME
Zinc
Base
Metal
(12)
10/2022
USD
(905,430)
(8,656)
LME
Zinc
Base
Metal
(15)
10/2022
USD
(1,131,413)
(5,514)
LME
Zinc
Base
Metal
(17)
10/2022
USD
(1,282,013)
15,737
LME
Zinc
Base
Metal
(36)
10/2022
USD
(2,716,650)
17,444
MSCI
Singapore
Index
(372)
10/2022
SGD
(7,269,055)
31,063
Natural
Gas
(5)
10/2022
GBP
(591,029)
134,734
OMXS30
Index
(595)
10/2022
SEK
(9,811,537)
492,604
Rapeseed
(35)
10/2022
EUR
(1,085,650)
(61,108)
RBOB
Gasoline
(73)
10/2022
USD
(7,265,807)
129,509
SGX
FTSE
China
A50
Index
(580)
10/2022
USD
(7,491,280)
54,078
SGX
FTSE
Taiwan
Index
(198)
10/2022
USD
(9,246,600)
213,362
SGX
NIFTY
50
Index
(85)
10/2022
USD
(2,904,960)
(26,006)
WTI
Crude
Oil
(145)
10/2022
USD
(11,526,050)
800,550
Canola
(485)
11/2022
CAD
(5,982,843)
(189,817)
CBOE
Volatility
Index
(4)
11/2022
USD
(124,287)
(14,603)
Feeder
Cattle
(89)
11/2022
USD
(7,770,813)
405,913
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,747)
6,474
LME
Aluminum
Base
Metal
(3)
11/2022
USD
(161,381)
20,860
LME
Aluminum
Base
Metal
(3)
11/2022
USD
(161,594)
17,647
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(269,383)
32,958
LME
Aluminum
Base
Metal
(12)
11/2022
USD
(647,364)
64,186
LME
Aluminum
Base
Metal
(13)
11/2022
USD
(699,634)
81,896
LME
Aluminum
Base
Metal
(14)
11/2022
USD
(752,196)
103,863
LME
Aluminum
Base
Metal
(14)
11/2022
USD
(753,288)
92,015
LME
Aluminum
Base
Metal
(28)
11/2022
USD
(1,508,150)
245,647
LME
Aluminum
Base
Metal
(30)
11/2022
USD
(1,614,938)
207,333
LME
Aluminum
Base
Metal
(48)
11/2022
USD
(2,580,300)
318,055
LME
Aluminum
Base
Metal
(95)
11/2022
USD
(5,112,188)
777,532
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,900)
8,880
LME
Copper
Base
Metal
(3)
11/2022
USD
(573,075)
40,117
LME
Copper
Base
Metal
(5)
11/2022
USD
(957,875)
28,112
LME
Copper
Base
Metal
(6)
11/2022
USD
(1,142,907)
58,577
LME
Copper
Base
Metal
(7)
11/2022
USD
(1,332,898)
81,584
LME
Copper
Base
Metal
(8)
11/2022
USD
(1,531,200)
24,479
LME
Copper
Base
Metal
(14)
11/2022
USD
(2,662,825)
67,514
LME
Copper
Base
Metal
(15)
11/2022
USD
(2,859,375)
155,736
LME
Copper
Base
Metal
(16)
11/2022
USD
(3,057,400)
135,758
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,785)
3,691
126
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(3)
11/2022
USD
$
(143,475)
$
20,167
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,414)
18,128
LME
Lead
Base
Metal
(8)
11/2022
USD
(382,564)
47,715
LME
Lead
Base
Metal
(8)
11/2022
USD
(381,950)
25,669
LME
Lead
Base
Metal
(13)
11/2022
USD
(620,750)
29,629
LME
Lead
Base
Metal
(19)
11/2022
USD
(907,540)
56,134
LME
Lead
Base
Metal
(23)
11/2022
USD
(1,098,538)
26,954
LME
Lead
Base
Metal
(23)
11/2022
USD
(1,098,704)
80,274
LME
Lead
Base
Metal
(23)
11/2022
USD
(1,099,256)
27,290
LME
Lead
Base
Metal
(26)
11/2022
USD
(1,243,210)
171,772
LME
Lead
Base
Metal
(32)
11/2022
USD
(1,529,512)
200,004
LME
Lead
Base
Metal
(32)
11/2022
USD
(1,529,224)
146,692
LME
Lead
Base
Metal
(33)
11/2022
USD
(1,575,948)
108,385
LME
Nickel
Base
Metal
(3)
11/2022
USD
(379,349)
9,221
LME
Nickel
Base
Metal
(3)
11/2022
USD
(378,979)
30,872
LME
Nickel
Base
Metal
(5)
11/2022
USD
(631,101)
98,394
LME
Nickel
Base
Metal
(5)
11/2022
USD
(631,693)
31,293
LME
Nickel
Base
Metal
(10)
11/2022
USD
(1,263,225)
150,946
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,025)
17,862
LME
Zinc
Base
Metal
(2)
11/2022
USD
(150,250)
26,738
LME
Zinc
Base
Metal
(4)
11/2022
USD
(301,200)
41,543
LME
Zinc
Base
Metal
(8)
11/2022
USD
(599,150)
96,543
LME
Zinc
Base
Metal
(8)
11/2022
USD
(602,600)
53,776
LME
Zinc
Base
Metal
(9)
11/2022
USD
(674,888)
125,278
LME
Zinc
Base
Metal
(10)
11/2022
USD
(748,750)
125,783
LME
Zinc
Base
Metal
(13)
11/2022
USD
(974,350)
157,530
LME
Zinc
Base
Metal
(17)
11/2022
USD
(1,278,825)
250,423
LME
Zinc
Base
Metal
(20)
11/2022
USD
(1,506,375)
132,066
LME
Zinc
Base
Metal
(25)
11/2022
USD
(1,882,894)
217,683
LME
Zinc
Base
Metal
(32)
11/2022
USD
(2,408,000)
419,906
Milk
(2)
11/2022
USD
(82,520)
370
Milk
(4)
11/2022
USD
(174,000)
(15,330)
Mont
Belvieu
(120)
11/2022
USD
(4,378,500)
636,406
Natural
Gas
(90)
11/2022
USD
(3,694,950)
397,389
Robusta
Coffee
(89)
11/2022
USD
(1,916,170)
59,994
Rough
Rice
(10)
11/2022
USD
(343,400)
2,575
SGX
Iron
Ore
(442)
11/2022
USD
(4,165,408)
84,803
Soybean
(200)
11/2022
USD
(13,647,500)
546,708
100
oz
Gold
(229)
12/2022
USD
(38,288,800)
1,637,418
Australia
10
Year
Bond
(582)
12/2022
AUD
(43,616,520)
914,762
Australia
3
Year
Bond
(1,812)
12/2022
AUD
(123,646,241)
899,238
Canada
10
Year
Bond
(630)
12/2022
CAD
(56,311,652)
848,750
CBOE
Volatility
Index
(3)
12/2022
USD
(90,143)
(9,616)
Cocoa
(14)
12/2022
GBP
(303,255)
(26,305)
Cocoa
(150)
12/2022
USD
(3,531,000)
(1,732)
Copper
(133)
12/2022
USD
(11,346,563)
171,809
Corn
(479)
12/2022
USD
(16,226,125)
(374,388)
Cotton
No.
2
(52)
12/2022
USD
(2,218,840)
252,453
Crude
Palm
Oil
(133)
12/2022
MYR
(2,449,472)
239,443
DAX
Index
(64)
12/2022
EUR
(19,027,083)
1,434,959
DJIA
CBOT
E-Mini
Index
(195)
12/2022
USD
(28,080,975)
2,507,830
ECX
Emission
(43)
12/2022
EUR
(2,812,146)
223,003
EURO
STOXX
50
Index
(536)
12/2022
EUR
(17,413,920)
868,220
Euro-Bobl
(575)
12/2022
EUR
(67,369,862)
1,071,405
Euro-BTP
(257)
12/2022
EUR
(28,285,321)
1,043,203
Euro-Bund
(368)
12/2022
EUR
(49,893,483)
1,567,226
127
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Euro-Buxl
(140)
12/2022
EUR
$
(20,089,849)
$
1,592,342
Euro-OAT
(333)
12/2022
EUR
(43,079,078)
1,859,569
Euro-Schatz
(1,597)
12/2022
EUR
(167,587,349)
919,985
FTSE
100
Index
(210)
12/2022
GBP
(16,212,808)
1,137,918
FTSE/JSE
Top
40
Index
(104)
12/2022
ZAR
(3,321,737)
141,637
FTSE/MIB
Index
(133)
12/2022
EUR
(13,379,432)
1,210,770
Japan
10
Year
Bond
(12)
12/2022
JPY
(12,312,582)
(17,678)
KOSPI
200
Index
(401)
12/2022
KRW
(19,791,440)
1,769,331
Live
Cattle
(21)
12/2022
USD
(1,235,220)
13,393
LME
Aluminum
Base
Metal
(5)
12/2022
USD
(270,228)
17,008
LME
Aluminum
Base
Metal
(7)
12/2022
USD
(378,294)
23,135
LME
Aluminum
Base
Metal
(9)
12/2022
USD
(486,349)
35,229
LME
Aluminum
Base
Metal
(10)
12/2022
USD
(539,563)
36,161
LME
Aluminum
Base
Metal
(21)
12/2022
USD
(1,135,050)
37,344
LME
Aluminum
Base
Metal
(27)
12/2022
USD
(1,458,675)
87,359
LME
Aluminum
Base
Metal
(27)
12/2022
USD
(1,458,952)
92,372
LME
Aluminum
Base
Metal
(31)
12/2022
USD
(1,674,295)
64,802
LME
Aluminum
Base
Metal
(32)
12/2022
USD
(1,728,552)
85,986
LME
Aluminum
Base
Metal
(112)
12/2022
USD
(6,043,800)
58,505
LME
Aluminum
Base
Metal
(115)
12/2022
USD
(6,214,313)
(86,308)
LME
Aluminum
Base
Metal
(682)
12/2022
USD
(36,845,050)
2,033,832
LME
Copper
Base
Metal
(2)
12/2022
USD
(378,105)
(360)
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,552)
19,963
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,647)
18,026
LME
Copper
Base
Metal
(3)
12/2022
USD
(569,896)
2,738
LME
Copper
Base
Metal
(3)
12/2022
USD
(569,612)
25,274
LME
Copper
Base
Metal
(3)
12/2022
USD
(569,753)
10,129
LME
Copper
Base
Metal
(4)
12/2022
USD
(756,152)
(15,831)
LME
Copper
Base
Metal
(7)
12/2022
USD
(1,327,069)
25,642
LME
Copper
Base
Metal
(30)
12/2022
USD
(5,670,690)
(73,327)
LME
Copper
Base
Metal
(68)
12/2022
USD
(12,884,300)
72,565
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,513)
(1,029)
LME
Lead
Base
Metal
(3)
12/2022
USD
(143,381)
3,611
LME
Lead
Base
Metal
(8)
12/2022
USD
(382,450)
(1,322)
LME
Lead
Base
Metal
(10)
12/2022
USD
(476,750)
(19,276)
LME
Lead
Base
Metal
(12)
12/2022
USD
(572,550)
(24,633)
LME
Lead
Base
Metal
(12)
12/2022
USD
(572,400)
(3,632)
LME
Lead
Base
Metal
(16)
12/2022
USD
(764,500)
4,926
LME
Lead
Base
Metal
(19)
12/2022
USD
(908,319)
(13,314)
LME
Lead
Base
Metal
(19)
12/2022
USD
(908,319)
(10,881)
LME
Lead
Base
Metal
(31)
12/2022
USD
(1,478,506)
(113,558)
LME
Lead
Base
Metal
(233)
12/2022
USD
(11,125,750)
96,071
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,633)
8,488
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
11,865
LME
Nickel
Base
Metal
(6)
12/2022
USD
(759,312)
102,870
LME
Nickel
Base
Metal
(7)
12/2022
USD
(885,864)
138,075
LME
Nickel
Base
Metal
(9)
12/2022
USD
(1,138,968)
174,285
LME
Nickel
Base
Metal
(10)
12/2022
USD
(1,265,520)
180,751
LME
Nickel
Base
Metal
(18)
12/2022
USD
(2,278,306)
307,700
LME
Nickel
Base
Metal
(32)
12/2022
USD
(4,049,664)
156,140
LME
Zinc
Base
Metal
(5)
12/2022
USD
(374,063)
33,144
LME
Zinc
Base
Metal
(8)
12/2022
USD
(597,700)
50,276
LME
Zinc
Base
Metal
(19)
12/2022
USD
(1,420,488)
91,579
LME
Zinc
Base
Metal
(29)
12/2022
USD
(2,168,330)
108,689
LME
Zinc
Base
Metal
(31)
12/2022
USD
(2,318,103)
97,112
LME
Zinc
Base
Metal
(34)
12/2022
USD
(2,524,500)
75,125
128
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(84)
12/2022
USD
$
(6,264,300)
$
347,340
Long
Gilt
(262)
12/2022
GBP
(28,244,360)
3,312,532
MSCI
EAFE
E-Mini
Index
(228)
12/2022
USD
(18,930,840)
2,138,606
MSCI
Emerging
Markets
E-Mini
Index
(429)
12/2022
USD
(18,693,675)
2,404,168
NASDAQ
100
E-Mini
Index
(74)
12/2022
USD
(16,332,540)
1,505,643
Nikkei
225
Index
(13)
12/2022
JPY
(2,329,994)
30,514
Palladium
(6)
12/2022
USD
(1,309,320)
(92,738)
Russell
2000
E-Mini
Index
(216)
12/2022
USD
(18,033,840)
1,525,834
S&P
500
E-Mini
Index
(109)
12/2022
USD
(19,628,175)
1,717,012
S&P
Midcap
400
E-Mini
Index
(64)
12/2022
USD
(14,132,480)
1,751,267
S&P/TSX
60
Index
(71)
12/2022
CAD
(11,472,255)
500,560
Silver
(103)
12/2022
USD
(9,805,085)
(165,946)
SPI
200
Index
(159)
12/2022
AUD
(16,440,508)
1,032,092
TOPIX
Index
(26)
12/2022
JPY
(3,298,280)
149,422
U.S.
Treasury
10
Year
Note
(623)
12/2022
USD
(69,814,938)
2,871,067
U.S.
Treasury
2
Year
Note
(1,012)
12/2022
USD
(207,784,155)
3,398,467
U.S.
Treasury
5
Year
Note
(1,025)
12/2022
USD
(110,131,445)
3,622,161
U.S.
Treasury
Long
Bond
(329)
12/2022
USD
(41,628,781)
2,573,533
U.S.
Treasury
Ultra
Bond
(221)
12/2022
USD
(30,207,938)
2,316,501
Wheat
(48)
12/2022
ZAR
(943,425)
(20,485)
Wheat
(172)
12/2022
USD
(7,924,900)
(998,212)
Platinum
(70)
1/2023
USD
(3,006,850)
109,803
Rapeseed
(52)
1/2023
EUR
(1,622,522)
(34,809)
Robusta
Coffee
(7)
1/2023
USD
(150,220)
658
Rubber
(21)
2/2023
JPY
(164,251)
(5,819)
Sugar
No.
11
(225)
2/2023
USD
(4,455,360)
88,702
3
Month
Canadian
Bankers
Acceptance
(845)
3/2023
CAD
(146,094,129)
696,101
3
Month
Euro
Euribor
(91)
3/2023
EUR
(21,662,927)
733,521
3
Month
Euro
Euribor
(143)
3/2023
EUR
(34,041,743)
56,481
90-Day
New
Zealand
Bill
(184)
3/2023
NZD
(101,751,240)
91,301
ASX
90
Day
Bank
Accepted
Bill
(416)
3/2023
AUD
(263,386,213)
71,540
Rubber
(41)
3/2023
JPY
(323,371)
(429)
3
Month
Canadian
Bankers
Acceptance
(817)
6/2023
CAD
(141,334,464)
756,487
3
Month
Euro
Euribor
(91)
6/2023
EUR
(21,602,728)
788,106
3
Month
Euro
Euribor
(100)
6/2023
EUR
(23,739,261)
58,150
3
Month
SOFR
(89)
6/2023
USD
(21,262,100)
174,228
3
Month
SONIA
(181)
6/2023
GBP
(47,623,816)
762,333
90-Day
Australian
Bank
Bill
(427)
6/2023
AUD
(270,278,189)
128,049
90-Day
New
Zealand
Bill
(177)
6/2023
NZD
(97,832,596)
161,891
3
Month
Canadian
Bankers
Acceptance
(805)
9/2023
CAD
(139,426,105)
721,053
3
Month
Euro
Euribor
(90)
9/2023
EUR
(21,355,412)
785,099
3
Month
Euro
Euribor
(126)
9/2023
EUR
(29,897,577)
95,745
3
Month
SARON
(6)
9/2023
CHF
(1,495,895)
1,591
3
Month
SOFR
(115)
9/2023
USD
(27,482,125)
203,443
3
Month
SONIA
(195)
9/2023
GBP
(51,282,932)
1,051,217
90-Day
Australian
Bank
Bill
(381)
9/2023
AUD
(241,179,223)
74,224
90-Day
New
Zealand
Bill
(177)
9/2023
NZD
(97,837,362)
89,562
3
Month
Canadian
Bankers
Acceptance
(774)
12/2023
CAD
(134,267,021)
105,826
3
Month
Euro
Euribor
(241)
12/2023
EUR
(57,223,429)
490,879
3
Month
SARON
(13)
12/2023
CHF
(3,242,095)
2,597
3
Month
SOFR
(119)
12/2023
USD
(28,455,875)
243,745
3
Month
SONIA
(3)
12/2023
GBP
(789,387)
38,813
3
Month
SONIA
(197)
12/2023
GBP
(51,836,406)
1,081,718
90-Day
Australian
Bank
Bill
(379)
12/2023
AUD
(239,924,900)
54,655
3
Month
Euro
Euribor
(250)
3/2024
EUR
(59,381,842)
459,000
3
Month
SARON
(2)
3/2024
CHF
(498,936)
(1,260)
129
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(126)
3/2024
USD
$
(30,159,675)
$
289,714
3
Month
SONIA
(32)
3/2024
GBP
(8,425,486)
409,094
3
Month
SONIA
(168)
3/2024
GBP
(44,233,803)
882,164
3
Month
Euro
Euribor
(266)
6/2024
EUR
(63,195,315)
524,537
3
Month
SOFR
(129)
6/2024
USD
(30,930,975)
292,571
3
Month
SONIA
(197)
6/2024
GBP
(51,899,645)
1,185,730
3
Month
Euro
Euribor
(286)
9/2024
EUR
(67,971,368)
367,324
3
Month
SOFR
(125)
9/2024
USD
(30,023,438)
243,472
3
Month
SONIA
(195)
9/2024
GBP
(51,408,125)
1,195,532
3
Month
SOFR
(126)
12/2024
USD
(30,303,000)
165,757
3
Month
SONIA
(204)
12/2024
GBP
(53,832,058)
964,380
86,591,063
$
75,735,810
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
67,269,000
USD
65,490,482
CITI
12/21/2022
$
854,309
EUR
67,269,000
USD
65,490,563
JPMC
12/21/2022
854,227
GBP
2,519,500
USD
2,738,782
CITI
12/21/2022
77,811
GBP
2,519,500
USD
2,738,785
JPMC
12/21/2022
77,808
JPY
520,000,000
USD
3,624,831
CITI
12/21/2022
1,162
JPY
520,000,000
USD
3,624,835
JPMC
12/21/2022
1,157
MXN
72,792,095
USD
3,550,797
CITI
12/21/2022
11,940
MXN
72,792,091
USD
3,550,801
JPMC
12/21/2022
11,935
USD
2,463,385
AUD
3,786,500
CITI
12/21/2022
37,901
USD
2,463,382
AUD
3,786,500
JPMC
12/21/2022
37,898
USD
6,238,525
BRL
32,936,497
CITI
**
12/21/2022
241,833
USD
6,238,517
BRL
32,936,495
JPMC
**
12/21/2022
241,825
USD
41,527,349
CAD
55,239,000
CITI
12/21/2022
1,522,821
USD
41,527,298
CAD
55,239,000
JPMC
12/21/2022
1,522,770
USD
1,801,542
CHF
1,717,500
CITI
12/21/2022
46,378
USD
1,801,540
CHF
1,717,500
JPMC
12/21/2022
46,376
USD
5,463,794
CLP
5,042,268,831
CITI
**
12/21/2022
331,974
USD
5,463,787
CLP
5,042,268,825
JPMC
**
12/21/2022
331,967
USD
8,466,642
CZK
209,066,500
CITI
12/21/2022
188,348
USD
8,466,631
CZK
209,066,500
JPMC
12/21/2022
188,338
USD
285,524,714
EUR
284,018,961
CITI
12/21/2022
5,407,890
USD
285,524,351
EUR
284,018,955
JPMC
12/21/2022
5,407,533
USD
21,288,989
GBP
18,534,500
CITI
12/21/2022
568,950
USD
21,288,963
GBP
18,534,500
JPMC
12/21/2022
568,923
USD
7,463,011
HUF
3,074,584,862
CITI
12/21/2022
498,034
USD
7,463,002
HUF
3,074,584,856
JPMC
12/21/2022
498,025
USD
25,773,515
INR
2,074,408,854
CITI
**
12/21/2022
537,290
USD
25,773,483
INR
2,074,408,850
JPMC
**
12/21/2022
537,257
USD
366,599,345
JPY
50,524,482,225
CITI
12/21/2022
14,288,998
USD
366,598,887
JPY
50,524,482,215
JPMC
12/21/2022
14,288,540
USD
17,962,897
KRW
24,164,419,583
CITI
**
12/21/2022
1,155,987
USD
17,962,874
KRW
24,164,419,577
JPMC
**
12/21/2022
1,155,964
USD
44,734,411
NOK
459,286,000
CITI
12/21/2022
2,470,851
USD
44,734,355
NOK
459,286,000
JPMC
12/21/2022
2,470,796
130
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
105,653,443
NZD
176,554,532
CITI
12/21/2022
$
6,799,113
USD
105,653,309
NZD
176,554,530
JPMC
12/21/2022
6,798,980
USD
14,869,106
PHP
845,753,097
CITI
**
12/21/2022
577,686
USD
14,869,087
PHP
845,753,095
JPMC
**
12/21/2022
577,667
USD
34,045,816
PLN
164,428,492
CITI
12/21/2022
1,322,834
USD
34,045,774
PLN
164,428,492
JPMC
12/21/2022
1,322,791
USD
49,475,836
SEK
531,928,000
CITI
12/21/2022
1,296,714
USD
49,475,774
SEK
531,928,000
JPMC
12/21/2022
1,296,652
USD
929,952
SGD
1,303,503
CITI
12/21/2022
21,385
USD
929,947
SGD
1,303,497
JPMC
12/21/2022
21,384
USD
8,035,396
TWD
242,972,029
CITI
**
12/21/2022
384,226
USD
8,035,386
TWD
242,972,020
JPMC
**
12/21/2022
384,216
USD
21,888,401
ZAR
378,726,500
CITI
12/21/2022
1,111,046
USD
21,888,373
ZAR
378,726,500
JPMC
12/21/2022
1,111,019
ZAR
40,000,000
USD
2,182,202
CITI
12/21/2022
12,242
ZAR
40,000,000
USD
2,182,205
JPMC
12/21/2022
12,239
Total
unrealized
appreciation
79,534,010
AUD
277,742,546
USD
189,813,245
CITI
12/21/2022
(11,902,202)
AUD
277,742,542
USD
189,813,479
JPMC
12/21/2022
(11,902,439)
BRL
3,708,000
USD
700,290
CITI
**
12/21/2022
(25,181)
BRL
3,708,000
USD
700,291
JPMC
**
12/21/2022
(25,181)
CAD
150,465,484
USD
115,353,401
CITI
12/21/2022
(6,385,087)
CAD
150,465,475
USD
115,353,538
JPMC
12/21/2022
(6,385,231)
CHF
6,570,000
USD
6,847,263
CITI
12/21/2022
(133,185)
CHF
6,570,000
USD
6,847,271
JPMC
12/21/2022
(133,193)
COP
9,108,711,188
USD
2,025,509
CITI
**
12/21/2022
(78,622)
COP
9,108,711,188
USD
2,025,511
JPMC
**
12/21/2022
(78,624)
EUR
142,286,500
USD
143,255,717
CITI
12/21/2022
(2,924,090)
EUR
142,286,500
USD
143,255,896
JPMC
12/21/2022
(2,924,269)
GBP
55,215,493
USD
65,034,421
CITI
12/21/2022
(3,308,061)
GBP
55,215,491
USD
65,034,500
JPMC
12/21/2022
(3,308,142)
IDR
60,499,548,356
USD
4,055,363
CITI
**
12/21/2022
(118,416)
IDR
60,499,548,356
USD
4,055,368
JPMC
**
12/21/2022
(118,421)
ILS
12,513,000
USD
3,758,231
CITI
12/21/2022
(224,240)
ILS
12,513,000
USD
3,758,236
JPMC
12/21/2022
(224,245)
JPY
9,001,242,500
USD
63,640,909
CITI
12/21/2022
(874,687)
JPY
9,001,242,500
USD
63,640,988
JPMC
12/21/2022
(874,766)
KRW
2,550,000,000
USD
1,833,919
CITI
**
12/21/2022
(60,335)
KRW
2,550,000,000
USD
1,833,921
JPMC
**
12/21/2022
(60,338)
MXN
24,264,031
USD
1,191,683
CITI
12/21/2022
(4,105)
MXN
24,264,031
USD
1,191,685
JPMC
12/21/2022
(4,106)
NOK
918,496,505
USD
93,206,687
CITI
12/21/2022
(8,686,515)
NOK
918,496,499
USD
93,206,803
JPMC
12/21/2022
(8,686,632)
PLN
68,043,000
USD
14,415,199
CITI
12/21/2022
(873,933)
PLN
68,043,000
USD
14,415,217
JPMC
12/21/2022
(873,951)
SEK
532,052,625
USD
50,522,326
CITI
12/21/2022
(2,331,917)
SEK
532,052,624
USD
50,522,389
JPMC
12/21/2022
(2,331,980)
SGD
48,895,501
USD
34,799,149
CITI
12/21/2022
(718,016)
SGD
48,895,499
USD
34,799,191
JPMC
12/21/2022
(718,059)
USD
1,655,180
CZK
42,500,000
CITI
12/21/2022
(27,670)
USD
1,655,178
CZK
42,500,000
JPMC
12/21/2022
(27,672)
USD
12,862,139
GBP
11,968,000
CITI
12/21/2022
(517,097)
USD
12,862,123
GBP
11,968,000
JPMC
12/21/2022
(517,113)
USD
9,484,188
INR
780,000,000
CITI
**
12/21/2022
(4,904)
USD
9,484,176
INR
780,000,000
JPMC
**
12/21/2022
(4,915)
USD
11,733,565
PLN
59,305,500
CITI
12/21/2022
(68,848)
USD
11,733,550
PLN
59,305,500
JPMC
12/21/2022
(68,862)
USD
263,431
SEK
3,000,001
CITI
12/21/2022
(8,293)
131
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
263,430
SEK
2,999,999
JPMC
12/21/2022
$
(8,293)
ZAR
159,874,056
USD
9,134,702
CITI
12/21/2022
(363,834)
ZAR
159,874,048
USD
9,134,713
JPMC
12/21/2022
(363,846)
Total
unrealized
depreciation
(79,279,516)
Net
unrealized
appreciation
$
254,494
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.23%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
09/30/2024
$14,415,283
$262,857
$(159,497)
$103,360
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$11,170,958
$411,494
$(55,209)
$356,285
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.55%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
09/30/2024
$5,334,410
$(65,350)
$135,929
$70,579
132
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.08%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/24/2026
-
10/01/2027
$187,865,096
$(656,211)
$(417,344)
$(1,073,555)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Bandai
Namco
Holdings,
Inc.
19,700
1,283,815
(66,199)
6.2
Hoya
Corp.
15,800
1,522,466
(99,236)
9.2
IHI
Corp.
53,500
1,144,275
(152,644)
14.2
Inpex
Corp.
299,500
2,793,462
(246,266)
22.9
Japan
Post
Holdings
Co.
Ltd.
167,600
1,110,386
(25,862)
2.4
Japan
Tobacco,
Inc.
142,500
2,341,668
(8,178)
0.8
Marubeni
Corp.
169,800
1,481,589
(173,823)
16.2
MISUMI
Group,
Inc.
53,600
1,154,138
(116,145)
10.8
Mitsubishi
Heavy
Industries
Ltd.
45,400
1,509,971
(148,594)
13.8
Mitsubishi
Motors
Corp.
401,300
1,440,675
(248,287)
23.1
NGK
Spark
Plug
Co.
Ltd.
63,100
1,119,114
(175,323)
16.3
Nissin
Foods
Holdings
Co.
Ltd.
17,200
1,195,570
26,806
(2.5)
Olympus
Corp.
100,200
1,927,621
(120,563)
11.2
Osaka
Gas
Co.
Ltd.
75,800
1,142,760
(72,426)
6.7
Recruit
Holdings
Co.
Ltd.
59,300
1,708,175
(62,724)
5.8
Shin-Etsu
Chemical
Co.
Ltd.
17,900
1,771,327
(229,360)
21.4
Sompo
Holdings,
Inc.
31,200
1,248,354
(63,413)
5.9
Square
Enix
Holdings
Co.
Ltd.
32,000
1,379,239
(11,488)
1.1
Sumitomo
Corp.
89,100
1,100,775
(98,470)
9.2
Yakult
Honsha
Co.
Ltd.
26,200
1,521,298
58,668
(5.5)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(98,900)
(1,846,810)
(22,972)
2.1
ANA
Holdings,
Inc.
(117,400)
(2,208,543)
(71,122)
6.6
Asahi
Kasei
Corp.
(187,100)
(1,239,971)
66,741
(6.2)
Central
Japan
Railway
Co.
(16,900)
(1,983,908)
(97,503)
9.1
Daikin
Industries
Ltd.
(10,500)
(1,615,625)
181,773
(16.9)
Daiwa
Securities
Group,
Inc.
(350,300)
(1,374,893)
84,486
(7.9)
East
Japan
Railway
Co.
(25,000)
(1,282,112)
(71,064)
6.6
Hitachi
Ltd.
(41,200)
(1,753,311)
134,245
(12.5)
Isuzu
Motors
Ltd.
(97,400)
(1,076,995)
98,456
(9.2)
ITOCHU
Corp.
(46,100)
(1,112,758)
102,731
(9.6)
JFE
Holdings,
Inc.
(141,800)
(1,316,672)
135,325
(12.6)
JSR
Corp.
(70,700)
(1,340,665)
163,723
(15.3)
133
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Kao
Corp.
(46,400)
(1,888,033)
34,908
(3.3)
KDDI
Corp.
(37,300)
(1,090,513)
38,545
(3.6)
Kose
Corp.
(11,200)
(1,154,769)
(86,849)
8.1
Kubota
Corp.
(108,500)
(1,507,813)
123,541
(11.5)
Mizuho
Financial
Group,
Inc.
(207,500)
(2,246,111)
50,922
(4.7)
Nippon
Steel
Corp.
(103,700)
(1,439,176)
193,026
(18.0)
Nomura
Holdings,
Inc.
(730,100)
(2,418,733)
96,412
(9.0)
Rakuten
Group,
Inc.
(468,300)
(2,004,085)
124,993
(11.6)
Sekisui
House
Ltd.
(112,200)
(1,858,289)
103,447
(9.6)
Seven
&
i
Holdings
Co.
Ltd.
(37,300)
(1,498,342)
14,482
(1.3)
Skylark
Holdings
Co.
Ltd.
(116,600)
(1,242,517)
(32,449)
3.0
SoftBank
Corp.
(176,000)
(1,757,524)
92,223
(8.6)
SoftBank
Group
Corp.
(37,000)
(1,253,971)
152,095
(14.2)
Sony
Group
Corp.
(16,800)
(1,082,163)
159,293
(14.8)
Sumitomo
Electric
Industries
Ltd.
(105,800)
(1,074,031)
78,960
(7.4)
Sumitomo
Mitsui
Financial
Group,
Inc.
(89,700)
(2,486,617)
126,087
(11.7)
Takeda
Pharmaceutical
Co.
Ltd.
(63,200)
(1,641,165)
56,768
(5.3)
West
Japan
Railway
Co.
(34,400)
(1,314,909)
(44,013)
4.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.69%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
10/01/2027
$825,139,053
$5,217,501
$(845,921)
$4,371,580
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
NXP
Semiconductors
NV
14,503
2,139,338
(129,970)
(3.0)
United
States
Accenture
plc
9,654
2,483,974
(320,995)
(7.3)
Alphabet,
Inc.
30,610
2,927,846
(209,826)
(4.8)
Apple,
Inc.
31,548
4,359,934
(315,059)
(7.2)
Automatic
Data
Processing,
Inc.
8,915
2,016,484
(161,451)
(3.7)
Booking
Holdings,
Inc.
1,648
2,708,010
(297,649)
(6.8)
Broadcom,
Inc.
4,946
2,196,073
(74,992)
(1.7)
Cheniere
Energy,
Inc.
14,324
2,376,495
66,750
1.5
Chubb
Ltd.
13,116
2,385,538
(172,082)
(3.9)
Cisco
Systems,
Inc.
78,495
3,139,800
(194,704)
(4.5)
Coca-Cola
Co.
(The)
51,422
2,880,660
(288,842)
(6.6)
CVS
Health
Corp.
21,741
2,073,439
(147,404)
(3.4)
Emerson
Electric
Co.
29,250
2,141,685
(336,083)
(7.7)
134
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Exxon
Mobil
Corp.
41,057
3,584,687
(231,798)
(5.3)
Gartner,
Inc.
7,627
2,110,315
(183,971)
(4.2)
Home
Depot,
Inc.
(The)
9,579
2,643,229
(139,797)
(3.2)
Keysight
Technologies,
Inc.
15,303
2,408,080
(206,735)
(4.7)
Mastercard,
Inc.
11,048
3,141,388
(233,754)
(5.3)
McKesson
Corp.
7,005
2,380,789
(123,713)
(2.8)
Microsoft
Corp.
17,256
4,018,922
(336,872)
(7.7)
Philip
Morris
International,
Inc.
24,266
2,014,321
(226,410)
(5.2)
Tesla,
Inc.
10,176
2,699,184
(332,870)
(7.6)
Ulta
Beauty,
Inc.
5,468
2,193,707
(199,829)
(4.6)
Union
Pacific
Corp.
15,526
3,024,775
(400,616)
(9.2)
Wells
Fargo
&
Co.
50,831
2,044,423
(159,041)
(3.6)
Short
Positions
Common
Stocks
United
States
3M
Co.
(21,373)
(2,361,716)
120,138
2.7
Allstate
Corp.
(The)
(20,304)
(2,528,457)
34,090
0.8
Atmos
Energy
Corp.
(23,891)
(2,433,298)
348,965
8.0
Becton
Dickinson
and
Co.
(9,759)
(2,174,598)
352,402
8.1
DR
Horton,
Inc.
(36,045)
(2,427,631)
168,088
3.8
Honeywell
International,
Inc.
(13,979)
(2,334,074)
345,561
7.9
Hormel
Foods
Corp.
(45,500)
(2,067,520)
57,959
1.3
Huntington
Bancshares,
Inc.
(167,511)
(2,207,795)
160,811
3.7
Illinois
Tool
Works,
Inc.
(16,252)
(2,935,924)
420,277
9.6
International
Business
Machines
Corp.
(27,181)
(3,229,375)
264,235
6.0
Kinder
Morgan,
Inc.
(127,773)
(2,126,143)
213,381
4.9
M&T
Bank
Corp.
(13,767)
(2,427,397)
58,293
1.3
McCormick
&
Co.,
Inc.
(Non-Voting)
(34,704)
(2,473,354)
246,157
5.6
Monster
Beverage
Corp.
(24,133)
(2,098,606)
81,292
1.9
New
York
Community
Bancorp,
Inc.
(240,029)
(2,047,447)
250,640
5.7
Northrop
Grumman
Corp.
(4,357)
(2,049,184)
26,950
0.6
Paramount
Global
(112,143)
(2,135,203)
497,878
11.4
PepsiCo,
Inc.
(16,268)
(2,655,914)
79,083
1.8
PerkinElmer,
Inc.
(18,988)
(2,284,826)
298,527
6.8
Principal
Financial
Group,
Inc.
(36,670)
(2,645,740)
225,154
5.2
Stanley
Black
&
Decker,
Inc.
(32,078)
(2,412,586)
263,924
6.0
Texas
Instruments,
Inc.
(13,212)
(2,044,953)
183,759
4.2
T-Mobile
US,
Inc.
(17,843)
(2,393,995)
117,780
2.7
United
Parcel
Service,
Inc.
(17,896)
(2,890,920)
634,739
14.5
Visa,
Inc.
(17,177)
(3,051,494)
407,656
9.3
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.55%
to
0.35%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
09/30/2024
$71,030,040
$615,763
$84,684
$700,447
135
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
152,531
1,348,909
(3,362)
(0.5)
ALS
Ltd.
98,330
637,076
(12,648)
(1.8)
Aristocrat
Leisure
Ltd.
73,269
1,544,994
(7,694)
(1.1)
Atlas
Arteria
Ltd.
130,651
520,260
(6,237)
(0.9)
Aurizon
Holdings
Ltd.
547,417
1,210,696
(11,346)
(1.6)
BHP
Group
Ltd.
123,100
3,060,036
122,024
17.4
BlueScope
Steel
Ltd.
75,857
736,696
17,601
2.5
Brambles
Ltd.
69,891
511,284
(6,409)
(0.9)
Computershare
Ltd.
47,192
752,716
4,610
0.7
IGO
Ltd.
88,395
777,567
5,746
0.8
Incitec
Pivot
Ltd.
849,960
1,932,702
103,812
14.8
JB
Hi-Fi
Ltd.
58,669
1,419,819
(38,504)
(5.5)
Origin
Energy
Ltd.
574,327
1,905,599
(4,716)
(0.7)
Pilbara
Minerals
Ltd.
643,792
1,857,493
41,448
5.9
Qantas
Airways
Ltd.
341,751
1,096,721
(14,993)
(2.1)
Qube
Holdings
Ltd.
336,634
534,487
(5,986)
(0.9)
Ramsay
Health
Care
Ltd.
22,418
822,909
(24,279)
(3.5)
Santos
Ltd.
230,978
1,067,013
50,527
7.2
Sonic
Healthcare
Ltd.
70,386
1,372,893
24,472
3.5
South32
Ltd.
649,239
1,541,235
50,359
7.2
Suncorp
Group
Ltd.
107,028
690,647
8,781
1.3
Telstra
Corp.
Ltd.
1,120,990
2,767,982
66,899
9.6
United
States
James
Hardie
Industries
plc
57,973
1,138,738
(14,526)
(2.1)
Short
Positions
Common
Stocks
Australia
APA
Group
(118,904)
(731,610)
19,072
2.7
carsales.com
Ltd.
(85,756)
(1,022,922)
74,155
10.6
Commonwealth
Bank
of
Australia
(47,816)
(2,781,694)
81,415
11.6
CSL
Ltd.
(30,505)
(5,547,858)
18,997
2.7
Domino's
Pizza
Enterprises
Ltd.
(42,536)
(1,401,412)
66,250
9.5
Endeavour
Group
Ltd.
(187,446)
(842,408)
(8,987)
(1.3)
Evolution
Mining
Ltd.
(1,084,194)
(1,414,414)
(118,532)
(16.9)
Fortescue
Metals
Group
Ltd.
(120,356)
(1,292,064)
(64,912)
(9.3)
IDP
Education
Ltd.
(96,513)
(1,621,272)
34,877
5.0
Insurance
Australia
Group
Ltd.
(303,655)
(898,291)
(47,551)
(6.8)
Lendlease
Corp.
Ltd.
(207,286)
(1,185,083)
10,852
1.5
Macquarie
Group
Ltd.
(14,676)
(1,431,794)
103,251
14.7
National
Australia
Bank
Ltd.
(35,317)
(653,918)
9,113
1.3
Newcrest
Mining
Ltd.
(96,786)
(1,062,632)
(64,479)
(9.2)
NEXTDC
Ltd.
(117,858)
(659,418)
28,427
4.1
Northern
Star
Resources
Ltd.
(194,987)
(976,357)
(108,282)
(15.5)
OZ
Minerals
Ltd.
(31,553)
(521,991)
(6,282)
(0.9)
Pro
Medicus
Ltd.
(24,487)
(781,916)
41,024
5.9
QBE
Insurance
Group
Ltd.
(70,233)
(521,104)
(1,458)
(0.2)
REA
Group
Ltd.
(15,938)
(1,160,070)
53,341
7.6
Reece
Ltd.
(103,995)
(934,514)
12,346
1.8
Seven
Group
Holdings
Ltd.
(77,416)
(839,825)
(1,512)
(0.2)
Wesfarmers
Ltd.
(127,925)
(3,497,281)
108,027
15.4
136
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Westpac
Banking
Corp.
(99,007)
(1,309,862)
31,463
4.5
Woodside
Energy
Group
Ltd.
(65,297)
(1,334,117)
(48,071)
(6.9)
Woolworths
Group
Ltd.
(63,426)
(1,378,288)
29,506
4.2
Worley
Ltd.
(72,649)
(592,284)
(15,127)
(2.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-2.32%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-25
months
maturity
ranging
from
11/25/2022
-
10/25/2024
$85,708,589
$1,127,369
$(830,651)
$296,718
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Alimentation
Couche-Tard,
Inc.
34,515
1,389,495
9,276
3.1
ARC
Resources
Ltd.
125,355
1,505,512
78,322
26.4
Atco
Ltd.
28,610
879,208
(31,578)
(10.6)
Bank
of
Nova
Scotia
(The)
17,468
830,816
(20,233)
(6.8)
Canadian
Natural
Resources
Ltd.
24,858
1,157,107
27,835
9.4
Canadian
Tire
Corp.
Ltd.
6,886
733,041
(1,595)
(0.5)
Cenovus
Energy,
Inc.
137,607
2,113,889
103,008
34.7
Dollarama,
Inc.
21,146
1,213,941
41,682
14.0
Empire
Co.
Ltd.
29,761
740,282
(21,114)
(7.1)
Fairfax
Financial
Holdings
Ltd.
3,316
1,514,483
(8,786)
(3.0)
Finning
International,
Inc.
59,598
1,047,555
18,984
6.4
Gildan
Activewear,
Inc.
23,131
653,901
6,698
2.3
iA
Financial
Corp.,
Inc.
13,090
665,137
12,698
4.3
Imperial
Oil
Ltd.
48,396
2,095,461
121,327
40.9
Loblaw
Cos.
Ltd.
22,668
1,794,929
(51,239)
(17.3)
MEG
Energy
Corp.
165,126
1,848,082
132,305
44.6
National
Bank
of
Canada
20,487
1,284,080
9,344
3.1
Nutrien
Ltd.
21,245
1,771,762
44,602
15.0
Onex
Corp.
17,208
789,300
15,198
5.1
Pembina
Pipeline
Corp.
27,185
825,774
5,904
2.0
Stantec,
Inc.
14,614
640,906
4,126
1.4
Suncor
Energy,
Inc.
48,791
1,373,996
81,592
27.5
Teck
Resources
Ltd.
22,306
678,376
35,818
12.1
Tourmaline
Oil
Corp.
35,682
1,854,426
93,837
31.6
Whitecap
Resources,
Inc.
199,276
1,260,848
94,984
32.0
Mongolia
Turquoise
Hill
Resources
Ltd.
27,144
803,699
1,866
0.6
137
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Zambia
First
Quantum
Minerals
Ltd.
40,456
686,787
49,182
16.6
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(36,940)
(1,560,661)
(139,400)
(47.0)
Algonquin
Power
&
Utilities
Corp.
(207,412)
(2,265,789)
167,609
56.5
Bank
of
Montreal
(20,268)
(1,776,412)
17,020
5.7
Barrick
Gold
Corp.
(83,034)
(1,286,971)
(116,014)
(39.1)
BCE,
Inc.
(95,871)
(4,019,871)
183,293
61.8
BlackBerry
Ltd.
(190,277)
(896,734)
46,834
15.8
Brookfield
Asset
Management,
Inc.
(17,358)
(710,103)
11,285
3.8
CAE,
Inc.
(112,523)
(1,726,110)
10,897
3.7
Canadian
Imperial
Bank
of
Commerce
(46,274)
(2,025,356)
7,962
2.7
Canadian
Pacific
Railway
Ltd.
(34,941)
(2,332,435)
47,513
16.0
Canadian
Utilities
Ltd.
(33,544)
(872,506)
64,594
21.8
Emera,
Inc.
(30,216)
(1,222,552)
61,029
20.6
Enbridge,
Inc.
(44,390)
(1,645,966)
(2,571)
(0.9)
Fortis,
Inc.
(37,211)
(1,413,714)
81,892
27.6
GFL
Environmental,
Inc.
(26,461)
(668,732)
8,952
3.0
Intact
Financial
Corp.
(5,417)
(766,619)
510
0.2
Kinross
Gold
Corp.
(227,736)
(857,297)
(109,897)
(37.0)
Manulife
Financial
Corp.
(96,540)
(1,515,175)
(7,688)
(2.6)
Rogers
Communications,
Inc.
(48,203)
(1,856,793)
46,411
15.6
Royal
Bank
of
Canada
(38,929)
(3,504,977)
(13,527)
(4.6)
Toronto-Dominion
Bank
(The)
(27,708)
(1,699,368)
4,413
1.5
United
States
Bausch
Health
Cos.,
Inc.
(113,481)
(783,732)
40,501
13.6
BRP,
Inc.
(19,326)
(1,190,465)
(2,720)
(0.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.50%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$46,936,042
$(12,105)
$506,236
$494,131
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Baloise
Holding
AG
(Registered)
4,131
527,838
(8,058)
(1.6)
Barry
Callebaut
AG
(Registered)
533
1,004,713
4,832
1.0
138
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Belimo
Holding
AG
(Registered)
978
359,705
12,791
2.6
BKW
AG
4,409
525,402
(16,172)
(3.3)
Bucher
Industries
AG
(Registered)
632
197,167
272
0.1
Chocoladefabriken
Lindt
&
Spruengli
AG
134
1,295,018
41,927
8.5
DKSH
Holding
AG
8,220
596,416
10,344
2.1
Galenica
AG
1,245
90,156
3,030
0.6
Georg
Fischer
AG
(Registered)
3,820
181,993
(1,051)
(0.2)
Helvetia
Holding
AG
(Registered)
6,509
609,930
(11,101)
(2.2)
Julius
Baer
Group
Ltd.
5,243
228,800
(9,625)
(1.9)
Kuehne
+
Nagel
International
AG
(Registered)
6,623
1,348,654
(25,348)
(5.1)
Lonza
Group
AG
(Registered)
1,782
867,640
72,630
14.7
Novartis
AG
(Registered)
32,730
2,495,237
30,378
6.1
Partners
Group
Holding
AG
1,210
973,789
2,552
0.5
SGS
SA
(Registered)
277
592,709
(8,061)
(1.6)
Sika
AG
(Registered)
3,123
627,697
10,029
2.0
Swiss
Life
Holding
AG
(Registered)
4,267
1,885,211
(21,975)
(4.4)
Swisscom
AG
(Registered)
4,064
1,902,932
(41,132)
(8.3)
Temenos
AG
(Registered)
22,290
1,502,724
6,332
1.3
UBS
Group
AG
(Registered)
117,881
1,710,213
(29,781)
(6.0)
United
States
Nestle
SA
(Registered)
13,741
1,486,190
2,769
0.6
Roche
Holding
AG
4,001
1,302,457
2,218
0.4
Swiss
Re
AG
9,832
725,149
(13,222)
(2.7)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(154,645)
(962,620)
(7,884)
(1.6)
Switzerland
ABB
Ltd.
(Registered)
(22,640)
(584,552)
(5,645)
(1.1)
Adecco
Group
AG
(Registered)
(48,414)
(1,336,206)
7,934
1.6
Alcon,
Inc.
(19,076)
(1,108,038)
(3,979)
(0.8)
Bachem
Holding
AG
(16,776)
(1,055,081)
(62,481)
(12.6)
Banque
Cantonale
Vaudoise
(Registered)
(3,356)
(317,504)
3,232
0.7
Cie
Financiere
Richemont
SA
(Registered)
(1,060)
(100,059)
3,674
0.7
Clariant
AG
(Registered)
(23,396)
(373,721)
(10,701)
(2.2)
Credit
Suisse
Group
AG
(Registered)
(443,002)
(1,752,332)
25,842
5.2
Dufry
AG
(Registered)
(34,931)
(1,060,488)
65,645
13.3
Flughafen
Zurich
AG
(Registered)
(3,863)
(570,974)
11,197
2.3
Geberit
AG
(Registered)
(6,004)
(2,574,444)
(44,757)
(9.1)
Givaudan
SA
(Registered)
(902)
(2,724,946)
(26,350)
(5.3)
Holcim
AG
(22,242)
(911,489)
11,372
2.3
Idorsia
Ltd.
(41,562)
(537,920)
(862)
(0.2)
Logitech
International
SA
(Registered)
(48,969)
(2,238,743)
(31,494)
(6.4)
Schindler
Holding
AG
(5,868)
(910,711)
(16,268)
(3.3)
SIG
Group
AG
(124,211)
(2,521,993)
135,028
27.3
Sonova
Holding
AG
(Registered)
(1,378)
(303,244)
(4,377)
(0.9)
Straumann
Holding
AG
(Registered)
(5,684)
(519,860)
(10,386)
(2.1)
Sulzer
AG
(Registered)
(3,628)
(208,709)
(2,434)
(0.5)
Tecan
Group
AG
(Registered)
(3,570)
(1,224,668)
(62,989)
(12.7)
139
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.50%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$22,626,160
$62,912
$(806,318)
$(743,406)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,873
3,403,669
(39,690)
5.3
Carlsberg
A/S
6,201
725,123
(32,581)
4.4
DSV
A/S
17,051
1,997,482
9,423
(1.3)
Genmab
A/S
2,354
757,291
(3,846)
0.5
ISS
A/S
69,421
1,070,208
(49,076)
6.6
Jyske
Bank
A/S
(Registered)
8,052
419,046
(13,821)
1.9
Novo
Nordisk
A/S
38,212
3,806,596
71,274
(9.6)
Orsted
A/S
4,059
323,505
(25,387)
3.4
Pandora
A/S
23,917
1,118,509
(66,757)
9.0
Royal
Unibrew
A/S
1,586
102,766
(4,605)
0.6
Tryg
A/S
14,407
297,417
(4,747)
0.6
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(52,313)
(454,550)
(9,512)
1.3
Chr
Hansen
Holding
A/S
(10,146)
(499,784)
10,296
(1.4)
Coloplast
A/S
(15,426)
(1,567,657)
(25,447)
3.4
Danske
Bank
A/S
(17,968)
(223,642)
7,525
(1.0)
Demant
A/S
(36,782)
(909,303)
32,535
(4.4)
GN
Store
Nord
A/S
(14,692)
(257,351)
44,370
(6.0)
H
Lundbeck
A/S
(49,058)
(157,233)
4,299
(0.6)
Novozymes
A/S
(6,114)
(307,241)
1,581
(0.2)
ROCKWOOL
A/S
(7,355)
(1,160,162)
(26,766)
3.6
SimCorp
A/S
(9,783)
(550,605)
31,931
(4.3)
Vestas
Wind
Systems
A/S
(136,699)
(2,517,020)
151,913
(20.4)
140
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.50%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$220,303,427
$(815,584)
$3,061,471
$2,245,887
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nokia
OYJ
329,362
1,413,971
468
0.0
France
Cie
de
Saint-Gobain
38,276
1,368,582
(25,262)
(1.1)
Hermes
International
1,818
2,138,187
46,435
2.1
LVMH
Moet
Hennessy
Louis
Vuitton
SE
3,093
1,823,555
(14,773)
(0.7)
Orange
SA
228,504
2,066,713
(77,339)
(3.4)
Renault
SA
57,894
1,566,382
(24,580)
(1.1)
TotalEnergies
SE
33,330
1,563,663
27,522
1.2
Germany
Bayerische
Motoren
Werke
AG
34,522
2,339,817
(85,876)
(3.8)
Commerzbank
AG
321,216
2,286,740
(154,279)
(6.9)
Deutsche
Bank
AG
(Registered)
303,149
2,244,510
(250,026)
(11.1)
Merck
KGaA
10,485
1,697,320
68,088
3.0
RWE
AG
68,771
2,527,747
(87,335)
(3.9)
Volkswagen
AG
(Preference)
12,361
1,510,415
(164,037)
(7.3)
Italy
Ferrari
NV
8,289
1,535,006
(42,345)
(1.9)
Leonardo
SpA
333,766
2,363,197
(196,189)
(8.7)
Netherlands
ASR
Nederland
NV
48,809
1,876,359
(80,104)
(3.6)
Heineken
NV
16,712
1,459,477
(3,459)
(0.2)
OCI
NV
47,730
1,747,471
74,840
3.3
Wolters
Kluwer
NV
31,587
3,075,740
39,131
1.7
Spain
Industria
de
Diseno
Textil
SA
101,845
2,101,738
5,661
0.3
Repsol
SA
300,953
3,458,025
116,253
5.2
United
States
Tenaris
SA
167,033
2,161,253
61,898
2.8
Short
Positions
Common
Stocks
China
Prosus
NV
(33,380)
(1,736,649)
63,170
2.8
Finland
Kone
OYJ
(73,094)
(2,816,204)
(38,168)
(1.7)
141
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
Cie
Generale
des
Etablissements
Michelin
SCA
(68,115)
(1,526,164)
(4,671)
(0.2)
Danone
SA
(38,342)
(1,813,014)
6,069
0.3
EssilorLuxottica
SA
(13,643)
(1,854,395)
18,046
0.8
L'Oreal
SA
(6,555)
(2,095,909)
16,377
0.7
Germany
adidas
AG
(15,380)
(1,768,104)
181,338
8.1
Allianz
SE
(Registered)
(9,562)
(1,506,344)
46,845
2.1
BASF
SE
(47,167)
(1,810,194)
30,064
1.3
Deutsche
Telekom
AG
(Registered)
(144,419)
(2,458,253)
65,933
2.9
Fresenius
Medical
Care
AG
&
Co.
KGaA
(70,015)
(1,972,534)
46,213
2.1
Henkel
AG
&
Co.
KGaA
(Preference)
(31,264)
(1,856,676)
(2,770)
(0.1)
Infineon
Technologies
AG
(64,100)
(1,402,767)
41,807
1.9
SAP
SE
(52,815)
(4,304,167)
(24,761)
(1.1)
Siemens
AG
(Registered)
(35,397)
(3,459,805)
(51,431)
(2.3)
Zalando
SE
(105,996)
(2,070,414)
(22,233)
(1.0)
Italy
Enel
SpA
(424,758)
(1,742,028)
103,969
4.6
Intesa
Sanpaolo
SpA
(825,606)
(1,364,740)
38,721
1.7
Nexi
SpA
(291,402)
(2,353,979)
32,215
1.4
Netherlands
Adyen
NV
(2,076)
(2,589,109)
(19,836)
(0.9)
ASML
Holding
NV
(4,577)
(1,896,155)
109,845
4.9
Koninklijke
Philips
NV
(324,284)
(4,992,839)
119,805
5.3
Portugal
EDP
-
Energias
de
Portugal
SA
(493,850)
(2,143,316)
86,946
3.9
South
Korea
Delivery
Hero
SE
(37,335)
(1,363,742)
3,998
0.2
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(75,292)
(1,691,762)
(64,695)
(2.9)
Grifols
SA
(218,232)
(1,885,382)
218,904
9.7
United
Kingdom
CNH
Industrial
NV
(140,045)
(1,567,419)
13,949
0.6
United
States
Schneider
Electric
SE
(30,346)
(3,427,604)
(31,823)
(1.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.30%
to
0.30%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$66,404,038
$(364,124)
$(121,055)
$(485,179)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
142
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
149,330
784,732
7,060
(1.5)
Rio
Tinto
plc
24,298
1,314,665
40,101
(8.3)
Netherlands
Shell
plc
176,448
4,377,310
(8,830)
1.8
Nigeria
Airtel
Africa
plc
508,126
728,805
(53,159)
11.0
United
Kingdom
Auto
Trader
Group
plc
126,941
719,891
(97,358)
20.1
Aviva
plc
128,974
553,149
(26,740)
5.5
BAE
Systems
plc
188,095
1,652,682
(55,180)
11.4
Barclays
plc
350,632
557,903
(71,704)
14.8
BP
plc
308,766
1,475,405
(7,986)
1.6
British
American
Tobacco
plc
62,395
2,237,331
(113,025)
23.3
Centrica
plc
1,001,261
785,693
(70,663)
14.6
Diageo
plc
71,392
3,005,141
(49,687)
10.2
Harbour
Energy
plc
121,174
601,594
4,543
(0.9)
HSBC
Holdings
plc
335,180
1,735,515
(141,699)
29.2
InterContinental
Hotels
Group
plc
27,521
1,325,463
(18,219)
3.8
Lloyds
Banking
Group
plc
2,190,161
989,926
(45,633)
9.4
M&G
plc
247,066
455,126
(59,770)
12.3
Man
Group
plc
369,438
914,757
(56,259)
11.6
National
Grid
plc
89,217
918,410
(65,988)
13.6
NatWest
Group
plc
486,631
1,212,063
(57,741)
11.9
Reckitt
Benckiser
Group
plc
20,526
1,360,494
(50,091)
10.3
RELX
plc
68,307
1,669,133
(10,293)
2.1
Rightmove
plc
93,248
497,469
(74,336)
15.3
Spectris
plc
18,492
558,789
(24,290)
5.0
SSE
plc
35,627
601,598
(63,115)
13.0
Standard
Chartered
plc
124,049
775,871
(20,163)
4.2
United
States
GSK
plc
44,078
636,606
(15,497)
3.2
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(128,505)
(1,574,672)
(68,108)
14.0
Italy
Coca-Cola
HBC
AG
(32,806)
(685,477)
28,066
(5.8)
Jordan
Hikma
Pharmaceuticals
plc
(35,398)
(533,554)
(19,040)
3.9
United
Kingdom
abrdn
plc
(559,061)
(855,202)
(8,979)
1.9
AVEVA
Group
plc
(71,228)
(2,457,527)
51,388
(10.6)
B&M
European
Value
Retail
SA
(164,374)
(559,075)
(5,115)
1.1
BT
Group
plc
(592,140)
(796,015)
48,279
(10.0)
Compass
Group
plc
(24,783)
(493,490)
8,332
(1.7)
ConvaTec
Group
plc
(234,578)
(533,095)
20,599
(4.2)
Informa
plc
(94,438)
(539,798)
20,535
(4.2)
ITV
plc
(1,088,119)
(686,667)
41,811
(8.6)
JD
Sports
Fashion
plc
(692,221)
(762,605)
29,259
(6.0)
Kingfisher
plc
(726,200)
(1,767,729)
85,138
(17.5)
Ocado
Group
plc
(143,588)
(745,146)
146,571
(30.2)
Pennon
Group
plc
(96,089)
(838,398)
65,505
(13.5)
Persimmon
plc
(84,703)
(1,158,421)
(6,296)
1.3
143
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Rolls-Royce
Holdings
plc
(1,133,539)
(868,124)
51,627
(10.6)
Severn
Trent
plc
(39,227)
(1,025,457)
44,989
(9.3)
Smith
&
Nephew
plc
(78,041)
(900,811)
(17,395)
3.6
Taylor
Wimpey
plc
(1,049,398)
(1,021,839)
75,791
(15.6)
Travis
Perkins
plc
(75,538)
(648,421)
(2,039)
0.4
Weir
Group
plc
(The)
(48,269)
(747,263)
53,074
(10.9)
Whitbread
plc
(20,278)
(514,016)
40,698
(8.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
10/25/2024
$33,561,274
$(299,810)
$180,161
$(119,649)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
200,249
1,713,777
(82,350)
68.8
Sweden
Axfood
AB
53,620
1,228,510
(26,240)
21.9
BillerudKorsnas
AB
35,297
414,396
11,205
(9.4)
Boliden
AB
56,782
1,754,332
87,599
(73.2)
Evolution
AB
10,245
809,842
23,395
(19.6)
Getinge
AB
16,744
286,341
7,668
(6.4)
Hexpol
AB
20,701
169,787
5,077
(4.2)
Indutrade
AB
22,175
359,678
4,902
(4.1)
Saab
AB
52,198
1,626,325
30,231
(25.3)
Sandvik
AB
19,957
272,045
5,100
(4.3)
Skandinaviska
Enskilda
Banken
AB
85,510
814,975
(1,780)
1.5
Skanska
AB
29,200
363,416
181
(0.2)
SSAB
AB
517,898
2,207,012
(24,909)
20.8
Svenska
Cellulosa
AB
SCA
22,486
285,313
2,938
(2.5)
Svenska
Handelsbanken
AB
109,823
901,537
(19,786)
16.5
Swedbank
AB
88,002
1,155,093
(21,687)
18.1
Tele2
AB
20,040
172,937
(3,850)
3.2
Telefonaktiebolaget
LM
Ericsson
59,444
347,477
(10,548)
8.8
Telia
Co.
AB
501,033
1,443,017
(64,915)
54.3
Trelleborg
AB
29,920
561,324
2,853
(2.4)
Volvo
AB
108,899
1,541,027
(11,036)
9.2
144
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(42,735)
(490,820)
15,755
(13.2)
Sweden
AAK
AB
(16,010)
(211,681)
3,634
(3.0)
Alfa
Laval
AB
(47,945)
(1,188,893)
(59,571)
49.8
Assa
Abloy
AB
(16,286)
(305,135)
(1,946)
1.6
Atlas
Copco
AB
(70,253)
(652,956)
(35)
0.0
Beijer
Ref
AB
(47,422)
(583,111)
(39,138)
32.7
Electrolux
AB
(39,795)
(413,605)
14,048
(11.7)
Elekta
AB
(55,089)
(279,798)
(2,904)
2.4
Embracer
Group
AB
(96,408)
(571,428)
(61,052)
51.0
Epiroc
AB
(25,993)
(371,843)
(23,088)
19.3
EQT
AB
(8,703)
(168,161)
(1,749)
1.5
Essity
AB
(20,112)
(397,349)
(1,729)
1.4
H
&
M
Hennes
&
Mauritz
AB
(232,658)
(2,150,947)
36,501
(30.5)
Hexagon
AB
(312,519)
(2,918,657)
(50,761)
42.4
Holmen
AB
(7,357)
(279,174)
(4,388)
3.7
Husqvarna
AB
(54,584)
(302,580)
(833)
0.7
Lifco
AB
(8,466)
(117,449)
(3,354)
2.8
Nibe
Industrier
AB
(50,655)
(451,854)
(1,888)
1.6
Securitas
AB
(125,844)
(873,614)
6,490
(5.4)
SKF
AB
(159,301)
(2,134,094)
(31,162)
26.0
Swedish
Orphan
Biovitrum
AB
(6,129)
(118,455)
(6,563)
5.5
United
States
Sinch
AB
(114,286)
(151,509)
(125)
0.1
145
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
91.0%
INVESTMENT
COMPANIES
-
26.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(a)(b)
13,584,103
13,584,103
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)
30,673,143
30,657,806
TOTAL
INVESTMENT
COMPANIES
(Cost
$44,231,451)
44,241,909
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
64.6%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(c)
$
1,308,000
1,307,733
1.23%,
10/13/2022
(c)
618,000
617,553
1.26%,
10/20/2022
(c)
2,267,000
2,264,266
1.38%,
10/27/2022
(c)
4,979,000
4,970,457
1.42%,
11/3/2022
(c)
7,327,000
7,310,199
1.39%,
11/10/2022
(c)
6,871,000
6,851,390
1.50%,
11/17/2022
(c)
1,121,000
1,117,006
1.72%,
12/8/2022
(c)
4,229,000
4,206,118
2.18%,
12/15/2022
(c)
6,038,000
6,003,543
2.42%,
12/22/2022
(c)(d)
15,331,000
15,222,049
2.72%,
1/12/2023
(c)
1,640,000
1,625,168
2.95%,
1/19/2023
(c)
130,000
128,688
3.07%,
2/16/2023
(c)
1,127,000
1,112,003
3.16%,
2/23/2023
(c)
1,695,000
1,671,197
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
64.6%
(continued)
3.29%,
3/2/2023
(c)(d)
$
15,204,000
14,970,342
3.38%,
3/9/2023
(c)
11,291,000
11,107,617
3.53%,
3/16/2023
(c)(d)
4,583,000
4,505,932
3.85%,
3/23/2023
(c)
12,197,000
11,984,810
3.93%,
3/30/2023
(c)(d)
11,713,000
11,491,613
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$108,574,081)
108,467,684
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$152,805,532)
152,709,593
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
91.0%
(Cost
$152,805,532)
152,709,593
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
9.0%
(e)
15,178,515
NET
ASSETS
-
100.0%
167,888,108
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
44,241,909
26.4
U.S.
Treasury
Obligations
108,467,684
64.6
Total
Investments
In
Securities
At
Value
$
152,709,593
91.0
Other
Assets
in
Excess
of
Liabilities
(e)
15,178,515
9.0
Net
Assets
$
167,888,108
100.0%
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
September
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
iTraxx
Europe
Crossover
Index
Series
38.V1
5.00
%
Quarterly
12/20/2027
6.39
%
EUR
281,000
$
13,854
$
320
$
14,174
iTraxx
Europe
Main
Index
Series
38.V1
1.00
Quarterly
12/20/2027
1.34
EUR
953,000
9,623
4,818
14,441
Markit
CDX
North
America
Emerging
Markets
Index
Series
38.V1
1.00
Quarterly
12/20/2027
3.34
USD
402,000
32,809
7,078
39,887
Markit
CDX
North
America
High
Yield
Index
Series
39.V1
5.00
Quarterly
12/20/2027
6.07
USD
177,000
8,103
(1,109)
6,994
Markit
CDX
North
America
Investment
Grade
Index
Series
39.V1
1.00
Quarterly
12/20/2027
1.08
USD
759,000
(619)
2,992
2,373
$
63,770
$
14,099
$
77,869
146
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
1D
SARON
Annual
2.00%
Annual
3/15/2028
CHF
5,600,000
$
(19,996)
$
73,153
$
53,157
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2027
AUD
5,900,000
43,036
(7,162)
35,874
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2032
AUD
2,400,000
43,789
(37,287)
6,502
Receive
1D
SARON
Annual
1.00%
Annual
12/23/2024
CHF
2,400,000
(5,775)
31,644
25,869
Receive
1D
SARON
Annual
1.50%
Annual
12/23/2024
CHF
4,500,000
(19,590)
22,776
3,186
Receive
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
2,400,000
18,593
9,594
28,187
Receive
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
1,100,000
(8,603)
16,055
7,452
Receive
1D
SARON
Annual
1.50%
Annual
12/21/2032
CHF
300,000
(4,204)
20,130
15,926
Receive
1D
SARON
Annual
2.00%
Annual
3/15/2033
CHF
1,600,000
33,006
(17,848)
15,158
Receive
1D
SARON
Annual
1.50%
Annual
3/15/2033
CHF
600,000
21,049
12,285
33,334
Receive
1D
SOFR
Annual
3.25%
Annual
12/23/2024
USD
16,400,000
20,994
287,478
308,472
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
64,700,000
1,254,172
1,495,049
2,749,221
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
17,500,000
212,571
253,946
466,517
Receive
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
9,500,000
411,995
811,872
1,223,867
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
101,600,000
1,981,568
5,634,705
7,616,273
Receive
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
200,000
1,611
5,266
6,877
Receive
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
2,500,000
86,771
75,013
161,784
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
9,700,000
1,045,174
1,444,638
2,489,812
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
700,000
81,171
4,842
86,013
Receive
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
1,040,300,000
23,744
(591)
23,153
Receive
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
2,016,200,000
194,233
(10,199)
184,034
Receive
1M
TIIE
Monthly
9.00%
Monthly
12/18/2024
MXN
2,000,000
(845)
2,659
1,814
Receive
1M
TIIE
Monthly
9.50%
Monthly
12/18/2024
MXN
34,400,000
(3,123)
19,165
16,042
Receive
1M
TIIE
Monthly
9.00%
Monthly
3/12/2025
MXN
51,400,000
(2,592)
36,396
33,804
Receive
1M
TIIE
Monthly
9.50%
Monthly
3/12/2025
MXN
119,000,000
22,521
4,469
26,990
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
63,200,000
820,964
648,503
1,469,467
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
2,900,000
7,827
(4,056)
3,771
Receive
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
100,000
2,720
(295)
2,425
Receive
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
500,000
7,817
(3,212)
4,605
Receive
3M
BBR
Qtrly
4.00%
Semi
12/11/2024
NZD
1,400,000
(1,786)
13,972
12,186
Receive
3M
BBR
Qtrly
4.50%
Semi
12/11/2024
NZD
21,800,000
28,593
47,171
75,764
Receive
3M
BBR
Qtrly
4.00%
Qtrly
12/12/2024
AUD
1,400,000
(6,498)
8,550
2,052
Receive
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
19,700,000
(9,517)
159,008
149,491
Receive
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
100,000
(106)
469
363
Receive
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
300,000
1,068
1,570
2,638
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
300,000
(405)
1,016
611
Receive
3M
BBR
Qtrly
4.00%
Semi
12/15/2032
NZD
200,000
(1,706)
6,393
4,687
Receive
3M
BBR
Qtrly
4.50%
Semi
12/15/2032
NZD
5,000,000
(16,988)
22,495
5,507
Receive
3M
BBR
Qtrly
4.00%
Semi
3/16/2033
NZD
200,000
3,110
1,544
4,654
Receive
3M
CD_KSDA
Qtrly
4.00%
Qtrly
12/18/2024
KRW
215,800,000
(1,896)
2,985
1,089
Receive
3M
CD_KSDA
Qtrly
4.00%
Qtrly
3/19/2025
KRW
3,500,000,000
408
19,015
19,423
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
12/18/2024
ZAR
89,500,000
(11,195)
45,373
34,178
Receive
3M
JIBAR
Qtrly
8.00%
Qtrly
3/19/2025
ZAR
47,000,000
19,120
6,761
25,881
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
99,500,000
22,729
55,040
77,769
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/19/2025
SEK
1,800,000
641
1,050
1,691
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
43,200,000
28,910
31,579
60,489
Receive
3M
STIBOR
Qtrly
3.00%
Annual
3/16/2033
SEK
400,000
(282)
854
572
Receive
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
100,000
1,639
795
2,434
Receive
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
40,500,000
465,957
1,216,477
1,682,434
Receive
6M
EURIBOR
Semi
1.50%
Annual
12/23/2024
EUR
33,400,000
166,216
749,888
916,104
Receive
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
39,200,000
914,406
255,667
1,170,073
Receive
6M
EURIBOR
Semi
2.00%
Annual
12/21/2032
EUR
7,200,000
(2,745)
674,530
671,785
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
6,100,000
443,479
140,756
584,235
Receive
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
114,900,000
(23,519)
53,972
30,453
147
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
NIBOR
Semi
3.50%
Annual
12/15/2032
NOK
6,700,000
$
(5,480)
$
6,208
$
728
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
16,100,000
37,542
26,085
63,627
Receive
6M
NIBOR
Semi
3.50%
Annual
3/16/2033
NOK
500,000
11
37
48
Receive
6M
WIBOR
Semi
7.50%
Annual
12/18/2024
PLN
1,300,000
(5,065)
5,479
414
8,317,239
14,383,727
22,700,966
Pay
1D
SARON
Annual
1.50%
Annual
12/21/2027
CHF
3,800,000
(63,452)
16,046
(47,406)
Pay
1D
SARON
Annual
1.00%
Annual
12/21/2027
CHF
1,500,000
(2,431)
(52,925)
(55,356)
Pay
1D
SARON
Annual
1.50%
Annual
3/15/2028
CHF
1,900,000
(1,877)
(26,328)
(28,205)
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2027
USD
44,300,000
(2,191,782)
(1,408,806)
(3,600,588)
Pay
1D
SOFR
Annual
2.50%
Annual
12/21/2032
USD
4,000,000
(52,403)
(297,719)
(350,122)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
4,000,000
(158,291)
(180,589)
(338,880)
Pay
1D
SONIA
Annual
1.75%
Annual
12/21/2027
GBP
64,000,000
(3,263,338)
(6,949,806)
(10,213,144)
Pay
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
200,000
(22,661)
(19,029)
(41,690)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
2,471,400,000
(51,018)
6,952
(44,066)
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
493,800,000
(11,843)
4,575
(7,268)
Pay
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
133,700,000
(7,011)
3,827
(3,184)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2027
CAD
19,900,000
(383,664)
(388,459)
(772,123)
Pay
3M
BA
Qtrly
3.50%
Semi
3/13/2028
CAD
1,800,000
(12,388)
4,294
(8,094)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
3,100,000
(162,041)
(58,168)
(220,209)
Pay
3M
BBR
Qtrly
4.50%
Semi
12/15/2027
NZD
18,800,000
23,950
(60,364)
(36,414)
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2027
SEK
159,400,000
(53,881)
(178,384)
(232,265)
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2027
AUD
4,500,000
(83,947)
46,838
(37,109)
Pay
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
1,600,000
(4,823)
(74,079)
(78,902)
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2032
AUD
2,700,000
(4,813)
(58,103)
(62,916)
Pay
6M
EURIBOR
Semi
1.50%
Annual
12/21/2027
EUR
28,000,000
(419,379)
(1,503,753)
(1,923,132)
Pay
6M
EURIBOR
Semi
1.75%
Annual
3/15/2028
EUR
27,200,000
(1,191,832)
(438,396)
(1,630,228)
Pay
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
9,600,000
(723,980)
(979,180)
(1,703,160)
Pay
6M
NIBOR
Semi
3.50%
Annual
12/15/2027
NOK
75,000,000
(9,377)
8,559
(818)
Receive
1D
SARON
Annual
2.00%
Annual
3/17/2025
CHF
6,600,000
(6,366)
(48,566)
(54,932)
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2028
JPY
40,000,000
(2,156)
–
(2,156)
Receive
3M
BBR
Qtrly
4.50%
Qtrly
12/12/2024
AUD
32,400,000
(215,564)
64,677
(150,887)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
12/18/2024
SEK
97,400,000
(81,100)
73,990
(7,110)
Receive
6M
BBR
Semi
4.50%
Semi
3/10/2033
AUD
100,000
379
(521)
(142)
Receive
6M
PRIBOR
Semi
6.50%
Annual
12/18/2024
CZK
7,400,000
(3,010)
2,462
(548)
(9,160,099)
(12,490,955)
(21,651,054)
$
(842,860)
$
1,892,772
$
1,049,912
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
September
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
2.98%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
2.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.07%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
9.54%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.06%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.20%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
6.47%
148
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
3.24%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
1.73%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.57%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
1.81%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.46%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.33%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.31%
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
11/04/2022
USD
(23,540)
$
175
Hang
Seng
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(5,163,000)
18,835
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(1,478,500)
5,651
iBovespa
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/13/2022
BRL
(11,050,200)
88,539
Lean
Hogs
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
10/14/2022
USD
(35,690)
1,671
Live
Cattle
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
(823,480)
19,776
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
12/16/2022
CHF
(4,616,550)
333,801
TAIEX
Index
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/19/2022
TWD
(8,036,400)
19,990
488,438
Lean
Hogs
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
10/14/2022
USD
35,690
(2,193)
Live
Cattle
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
(802,340)
(16,056)
Live
Cattle
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
10/07/2022
USD
802,340
(10,050)
Live
Cattle
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
12/02/2022
USD
647,020
(16,519)
(44,818)
$
443,620
149
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
EURO
STOXX
50
Volatility
Index
2
10/2022
EUR
$
6,106
$
610
LME
Aluminum
Base
Metal
1
10/2022
USD
53,681
(7,212)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,901
(5,805)
LME
Aluminum
Base
Metal
2
10/2022
USD
107,400
(15,306)
LME
Aluminum
Base
Metal
4
10/2022
USD
214,750
(27,260)
LME
Aluminum
Base
Metal
4
10/2022
USD
215,982
(20,830)
LME
Aluminum
Base
Metal
9
10/2022
USD
483,581
(62,076)
LME
Aluminum
Base
Metal
9
10/2022
USD
486,815
(48,023)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
11,917
LME
Copper
Base
Metal
1
10/2022
USD
191,775
1,151
LME
Copper
Base
Metal
1
10/2022
USD
192,150
(2,009)
LME
Copper
Base
Metal
1
10/2022
USD
191,844
4,841
LME
Copper
Base
Metal
1
10/2022
USD
191,675
(3,981)
LME
Copper
Base
Metal
1
10/2022
USD
192,050
7,397
LME
Copper
Base
Metal
1
10/2022
USD
191,981
6,930
LME
Copper
Base
Metal
2
10/2022
USD
384,400
(3,681)
LME
Copper
Base
Metal
2
10/2022
USD
384,250
3,813
LME
Lead
Base
Metal
1
10/2022
USD
47,827
(2,466)
LME
Lead
Base
Metal
1
10/2022
USD
47,791
(2,297)
LME
Lead
Base
Metal
2
10/2022
USD
95,734
(3,242)
LME
Lead
Base
Metal
2
10/2022
USD
95,475
(5,430)
LME
Lead
Base
Metal
3
10/2022
USD
143,582
(965)
LME
Lead
Base
Metal
3
10/2022
USD
143,534
(7,150)
LME
Lead
Base
Metal
5
10/2022
USD
239,340
(4,219)
LME
Lead
Base
Metal
5
10/2022
USD
239,126
(8,100)
LME
Lead
Base
Metal
6
10/2022
USD
287,123
(3,143)
LME
Lead
Base
Metal
7
10/2022
USD
334,726
(10,423)
LME
Nickel
Base
Metal
1
10/2022
USD
126,072
699
LME
Nickel
Base
Metal
2
10/2022
USD
252,190
(458)
LME
Nickel
Base
Metal
2
10/2022
USD
252,144
15,018
LME
Zinc
Base
Metal
1
10/2022
USD
75,405
802
LME
Zinc
Base
Metal
1
10/2022
USD
75,360
1,107
LME
Zinc
Base
Metal
2
10/2022
USD
150,915
6,569
LME
Zinc
Base
Metal
2
10/2022
USD
150,905
839
LME
Zinc
Base
Metal
3
10/2022
USD
226,283
2,774
LME
Zinc
Base
Metal
3
10/2022
USD
226,238
(5,007)
LME
Zinc
Base
Metal
5
10/2022
USD
377,313
(1,327)
Natural
Gas
5
10/2022
USD
338,300
(40,609)
NY
Harbor
ULSD
7
10/2022
USD
947,150
(79,588)
EURO
STOXX
50
Volatility
Index
17
11/2022
EUR
51,315
2,666
FCOJ-A
8
11/2022
USD
229,680
12,356
LME
Aluminum
Base
Metal
1
11/2022
USD
53,865
(5,767)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,877
(6,376)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,894
(12,637)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,636
(11,695)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,494
(13,262)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,613
(12,643)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,475
(14,255)
LME
Aluminum
Base
Metal
3
11/2022
USD
161,588
(27,084)
LME
Aluminum
Base
Metal
4
11/2022
USD
215,325
(25,187)
LME
Aluminum
Base
Metal
4
11/2022
USD
214,913
(29,344)
LME
Aluminum
Base
Metal
5
11/2022
USD
268,781
(31,059)
LME
Aluminum
Base
Metal
13
11/2022
USD
699,563
(101,749)
150
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
11/2022
USD
$
191,025
$
(12,907)
LME
Copper
Base
Metal
1
11/2022
USD
190,414
(11,982)
LME
Copper
Base
Metal
1
11/2022
USD
190,485
(9,794)
LME
Copper
Base
Metal
1
11/2022
USD
191,450
(3,517)
LME
Copper
Base
Metal
1
11/2022
USD
191,575
(5,804)
LME
Copper
Base
Metal
1
11/2022
USD
190,900
(7,678)
LME
Copper
Base
Metal
2
11/2022
USD
381,250
(21,034)
LME
Copper
Base
Metal
2
11/2022
USD
380,404
(13,502)
LME
Copper
Base
Metal
2
11/2022
USD
382,175
(18,393)
LME
Lead
Base
Metal
1
11/2022
USD
47,744
(3,509)
LME
Lead
Base
Metal
1
11/2022
USD
47,821
(6,338)
LME
Lead
Base
Metal
1
11/2022
USD
47,825
(6,583)
LME
Lead
Base
Metal
2
11/2022
USD
95,500
(5,505)
LME
Lead
Base
Metal
2
11/2022
USD
95,531
(5,775)
LME
Lead
Base
Metal
3
11/2022
USD
143,381
(4,339)
LME
Lead
Base
Metal
3
11/2022
USD
143,447
(20,726)
LME
Lead
Base
Metal
3
11/2022
USD
143,309
(9,699)
LME
Lead
Base
Metal
4
11/2022
USD
191,050
(4,961)
LME
Lead
Base
Metal
5
11/2022
USD
238,780
(14,883)
LME
Lead
Base
Metal
5
11/2022
USD
238,986
(32,104)
LME
Lead
Base
Metal
5
11/2022
USD
238,941
(26,144)
LME
Nickel
Base
Metal
1
11/2022
USD
126,220
(18,727)
LME
Nickel
Base
Metal
1
11/2022
USD
126,339
(6,712)
LME
Nickel
Base
Metal
1
11/2022
USD
126,323
(14,268)
LME
Nickel
Base
Metal
1
11/2022
USD
126,232
(11,346)
LME
Zinc
Base
Metal
1
11/2022
USD
74,875
(12,588)
LME
Zinc
Base
Metal
1
11/2022
USD
75,300
(11,015)
LME
Zinc
Base
Metal
1
11/2022
USD
75,322
(7,921)
LME
Zinc
Base
Metal
1
11/2022
USD
75,325
(7,308)
LME
Zinc
Base
Metal
1
11/2022
USD
74,950
(11,528)
LME
Zinc
Base
Metal
2
11/2022
USD
149,975
(30,531)
LME
Zinc
Base
Metal
2
11/2022
USD
149,788
(25,118)
LME
Zinc
Base
Metal
2
11/2022
USD
150,638
(13,280)
LME
Zinc
Base
Metal
3
11/2022
USD
225,675
(48,084)
LME
Zinc
Base
Metal
3
11/2022
USD
225,947
(26,729)
LME
Zinc
Base
Metal
5
11/2022
USD
376,250
(69,111)
Low
Sulphur
Gasoil
9
11/2022
USD
847,575
(78,406)
White
Sugar
57
11/2022
USD
1,506,795
(1,775)
Coffee
'C'
15
12/2022
USD
1,246,219
28,616
EURO
STOXX
50
Volatility
Index
14
12/2022
EUR
41,094
780
KC
HRW
Wheat
4
12/2022
USD
198,300
10,270
Lean
Hogs
4
12/2022
USD
121,960
(10,806)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,039
(3,689)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,042
(2,701)
LME
Aluminum
Base
Metal
1
12/2022
USD
54,046
(3,371)
LME
Aluminum
Base
Metal
2
12/2022
USD
107,913
(7,481)
LME
Aluminum
Base
Metal
3
12/2022
USD
162,150
(3,202)
LME
Aluminum
Base
Metal
4
12/2022
USD
216,100
(14,286)
LME
Aluminum
Base
Metal
4
12/2022
USD
216,141
(14,471)
LME
Aluminum
Base
Metal
5
12/2022
USD
270,125
(12,296)
LME
Aluminum
Base
Metal
5
12/2022
USD
270,086
(13,091)
LME
Aluminum
Base
Metal
6
12/2022
USD
324,057
(13,460)
LME
Aluminum
Base
Metal
18
12/2022
USD
971,325
(18,728)
LME
Aluminum
Base
Metal
19
12/2022
USD
1,026,713
13,956
LME
Copper
Base
Metal
1
12/2022
USD
189,581
(4,046)
LME
Copper
Base
Metal
1
12/2022
USD
189,038
3,536
151
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
12/2022
USD
$
189,871
$
(9,407)
LME
Copper
Base
Metal
4
12/2022
USD
756,092
14,813
LME
Copper
Base
Metal
4
12/2022
USD
757,900
(58,910)
LME
Lead
Base
Metal
1
12/2022
USD
47,806
304
LME
Lead
Base
Metal
2
12/2022
USD
95,563
(692)
LME
Lead
Base
Metal
2
12/2022
USD
95,350
3,163
LME
Lead
Base
Metal
2
12/2022
USD
95,613
457
LME
Lead
Base
Metal
2
12/2022
USD
95,400
894
LME
Lead
Base
Metal
3
12/2022
USD
143,138
5,505
LME
Lead
Base
Metal
4
12/2022
USD
191,000
4,427
LME
Lead
Base
Metal
4
12/2022
USD
191,225
3,115
LME
Lead
Base
Metal
5
12/2022
USD
238,469
17,206
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(20,464)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(20,329)
LME
Nickel
Base
Metal
2
12/2022
USD
253,104
(34,161)
LME
Nickel
Base
Metal
3
12/2022
USD
379,718
(46,471)
LME
Nickel
Base
Metal
7
12/2022
USD
885,864
(124,278)
LME
Zinc
Base
Metal
1
12/2022
USD
74,713
(5,801)
LME
Zinc
Base
Metal
2
12/2022
USD
149,525
(10,706)
LME
Zinc
Base
Metal
4
12/2022
USD
299,080
(14,932)
LME
Zinc
Base
Metal
5
12/2022
USD
371,250
(10,727)
LME
Zinc
Base
Metal
5
12/2022
USD
373,888
(16,027)
LME
Zinc
Base
Metal
15
12/2022
USD
1,118,625
(93,554)
Milling
Wheat
No.
2
3
12/2022
EUR
52,445
468
Soybean
Meal
43
12/2022
USD
1,732,900
(64,064)
Soybean
Oil
9
12/2022
USD
332,424
(20,580)
White
Maize
8
12/2022
ZAR
217,812
2,763
Yellow
Maize
1
12/2022
ZAR
27,006
72
CBOE
Volatility
Index
1
2/2023
USD
30,310
47
WTI
Crude
Oil
15
2/2023
JPY
362,278
(16,713)
(1,800,852)
Short
Contracts
Amsterdam
Exchange
Index
(20)
10/2022
EUR
(2,511,476)
151,133
Brent
Crude
Oil
(4)
10/2022
USD
(340,560)
20,257
CAC
40
10
Euro
Index
(37)
10/2022
EUR
(2,089,952)
100,019
CBOE
Volatility
Index
(1)
10/2022
USD
(31,516)
(4,658)
Hang
Seng
Index
(24)
10/2022
HKD
(2,630,945)
78,637
HSCEI
(14)
10/2022
HKD
(527,387)
11,839
IBEX
35
Index
(26)
10/2022
EUR
(1,876,290)
185,170
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,681)
7,566
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,901)
5,846
LME
Aluminum
Base
Metal
(2)
10/2022
USD
(107,400)
15,291
LME
Aluminum
Base
Metal
(4)
10/2022
USD
(214,750)
27,792
LME
Aluminum
Base
Metal
(4)
10/2022
USD
(215,982)
21,395
LME
Aluminum
Base
Metal
(9)
10/2022
USD
(486,815)
52,684
LME
Aluminum
Base
Metal
(9)
10/2022
USD
(483,581)
61,899
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,775)
(528)
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,675)
4,197
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
12,172
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,981)
(8,059)
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,844)
(5,718)
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,050)
(6,731)
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,150)
(903)
LME
Copper
Base
Metal
(2)
10/2022
USD
(384,250)
(5,969)
LME
Copper
Base
Metal
(2)
10/2022
USD
(384,400)
(20,090)
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,827)
2,345
152
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(1)
10/2022
USD
$
(47,791)
$
2,456
LME
Lead
Base
Metal
(2)
10/2022
USD
(95,475)
5,500
LME
Lead
Base
Metal
(2)
10/2022
USD
(95,734)
3,351
LME
Lead
Base
Metal
(3)
10/2022
USD
(143,534)
6,083
LME
Lead
Base
Metal
(3)
10/2022
USD
(143,582)
860
LME
Lead
Base
Metal
(5)
10/2022
USD
(239,340)
4,647
LME
Lead
Base
Metal
(5)
10/2022
USD
(239,126)
7,348
LME
Lead
Base
Metal
(6)
10/2022
USD
(287,123)
3,104
LME
Lead
Base
Metal
(7)
10/2022
USD
(334,726)
10,530
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,072)
1,547
LME
Nickel
Base
Metal
(2)
10/2022
USD
(252,144)
(9,959)
LME
Nickel
Base
Metal
(2)
10/2022
USD
(252,190)
(4,996)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,360)
(1,137)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,405)
(978)
LME
Zinc
Base
Metal
(2)
10/2022
USD
(150,915)
(5,071)
LME
Zinc
Base
Metal
(2)
10/2022
USD
(150,905)
(1,443)
LME
Zinc
Base
Metal
(3)
10/2022
USD
(226,238)
2,954
LME
Zinc
Base
Metal
(3)
10/2022
USD
(226,283)
(1,103)
LME
Zinc
Base
Metal
(5)
10/2022
USD
(377,313)
2,423
MSCI
Singapore
Index
(54)
10/2022
SGD
(1,055,185)
4,338
OMXS30
Index
(90)
10/2022
SEK
(1,484,098)
71,776
Rapeseed
(6)
10/2022
EUR
(186,111)
(9,189)
RBOB
Gasoline
(11)
10/2022
USD
(1,094,848)
20,406
SGX
FTSE
China
A50
Index
(86)
10/2022
USD
(1,110,776)
1,309
SGX
FTSE
Taiwan
Index
(31)
10/2022
USD
(1,447,700)
33,511
SGX
NIFTY
50
Index
(13)
10/2022
USD
(444,288)
(4,046)
WTI
Crude
Oil
(21)
10/2022
USD
(1,669,290)
110,543
Canola
(73)
11/2022
CAD
(900,510)
(23,166)
CBOE
Volatility
Index
(1)
11/2022
USD
(31,072)
(3,604)
Feeder
Cattle
(14)
11/2022
USD
(1,222,375)
57,977
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,877)
6,592
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,865)
5,882
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,894)
10,698
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,636)
12,599
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,494)
12,948
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,613)
13,145
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,475)
14,294
LME
Aluminum
Base
Metal
(3)
11/2022
USD
(161,588)
26,319
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(215,325)
27,644
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(214,913)
29,675
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(268,781)
31,306
LME
Aluminum
Base
Metal
(13)
11/2022
USD
(699,563)
106,399
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,485)
9,763
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,414)
12,083
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,575)
5,622
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,900)
8,880
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,025)
13,372
LME
Copper
Base
Metal
(1)
11/2022
USD
(191,450)
3,397
LME
Copper
Base
Metal
(2)
11/2022
USD
(382,175)
16,970
LME
Copper
Base
Metal
(2)
11/2022
USD
(380,404)
9,645
LME
Copper
Base
Metal
(2)
11/2022
USD
(381,250)
20,645
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,744)
3,209
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,825)
6,722
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,821)
5,964
LME
Lead
Base
Metal
(2)
11/2022
USD
(95,500)
4,558
LME
Lead
Base
Metal
(2)
11/2022
USD
(95,531)
5,909
153
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(3)
11/2022
USD
$
(143,309)
$
10,471
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,447)
19,820
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,381)
3,559
LME
Lead
Base
Metal
(4)
11/2022
USD
(191,050)
5,278
LME
Lead
Base
Metal
(5)
11/2022
USD
(238,986)
31,251
LME
Lead
Base
Metal
(5)
11/2022
USD
(238,941)
22,921
LME
Lead
Base
Metal
(5)
11/2022
USD
(238,780)
16,422
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,220)
19,679
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,339)
6,259
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,323)
17,074
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,232)
13,097
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,322)
8,050
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,325)
6,722
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,300)
10,386
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,875)
12,578
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,950)
12,118
LME
Zinc
Base
Metal
(2)
11/2022
USD
(149,788)
24,136
LME
Zinc
Base
Metal
(2)
11/2022
USD
(149,975)
27,840
LME
Zinc
Base
Metal
(2)
11/2022
USD
(150,638)
13,207
LME
Zinc
Base
Metal
(3)
11/2022
USD
(225,675)
44,192
LME
Zinc
Base
Metal
(3)
11/2022
USD
(225,947)
22,894
LME
Zinc
Base
Metal
(5)
11/2022
USD
(376,250)
65,610
Milk
(1)
11/2022
USD
(43,500)
(3,833)
Mont
Belvieu
(20)
11/2022
USD
(729,750)
62,801
Natural
Gas
(20)
11/2022
USD
(821,100)
35,417
Robusta
Coffee
(13)
11/2022
USD
(279,890)
9,485
Rough
Rice
(2)
11/2022
USD
(68,680)
722
SGX
Iron
Ore
(68)
11/2022
USD
(640,832)
12,885
Soybean
(30)
11/2022
USD
(2,047,125)
82,579
100
oz
Gold
(34)
12/2022
USD
(5,684,800)
233,703
Australia
10
Year
Bond
(88)
12/2022
AUD
(6,594,938)
124,459
Australia
3
Year
Bond
(275)
12/2022
AUD
(18,765,296)
119,211
Canada
10
Year
Bond
(90)
12/2022
CAD
(8,044,522)
121,342
CBOE
Volatility
Index
(1)
12/2022
USD
(30,048)
(3,774)
Cocoa
(2)
12/2022
GBP
(43,322)
(3,928)
Cocoa
(22)
12/2022
USD
(517,880)
33
Copper
(20)
12/2022
USD
(1,706,250)
23,396
Corn
(74)
12/2022
USD
(2,506,750)
(53,849)
Cotton
No.
2
(8)
12/2022
USD
(341,360)
36,099
Crude
Palm
Oil
(20)
12/2022
MYR
(368,342)
35,329
DAX
Index
(10)
12/2022
EUR
(2,972,982)
213,775
DJIA
CBOT
E-Mini
Index
(29)
12/2022
USD
(4,176,145)
367,379
ECX
Emission
(7)
12/2022
EUR
(457,791)
40,171
EURO
STOXX
50
Index
(81)
12/2022
EUR
(2,631,581)
128,925
Euro-Bobl
(87)
12/2022
EUR
(10,193,353)
150,913
Euro-BTP
(39)
12/2022
EUR
(4,292,325)
152,623
Euro-Bund
(55)
12/2022
EUR
(7,456,906)
228,936
Euro-Buxl
(21)
12/2022
EUR
(3,013,477)
236,255
Euro-OAT
(50)
12/2022
EUR
(6,468,330)
276,977
Euro-Schatz
(238)
12/2022
EUR
(24,975,447)
139,191
FTSE
100
Index
(32)
12/2022
GBP
(2,470,523)
167,266
FTSE/JSE
Top
40
Index
(16)
12/2022
ZAR
(511,036)
17,598
FTSE/MIB
Index
(19)
12/2022
EUR
(1,911,347)
172,554
Japan
10
Year
Bond
(2)
12/2022
JPY
(2,052,097)
(2,946)
KOSPI
200
Index
(61)
12/2022
KRW
(3,010,668)
267,368
Live
Cattle
(4)
12/2022
USD
(235,280)
3,021
154
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(1)
12/2022
USD
$
(54,046)
$
3,402
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,042)
3,305
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(54,039)
3,914
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(107,913)
7,232
LME
Aluminum
Base
Metal
(3)
12/2022
USD
(162,150)
5,335
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,100)
12,942
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,141)
13,685
LME
Aluminum
Base
Metal
(5)
12/2022
USD
(270,086)
13,435
LME
Aluminum
Base
Metal
(6)
12/2022
USD
(324,057)
12,542
LME
Aluminum
Base
Metal
(18)
12/2022
USD
(971,325)
9,476
LME
Aluminum
Base
Metal
(19)
12/2022
USD
(1,026,713)
(14,260)
LME
Aluminum
Base
Metal
(103)
12/2022
USD
(5,564,575)
287,199
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,871)
8,425
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,038)
(3,958)
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,581)
3,663
LME
Copper
Base
Metal
(4)
12/2022
USD
(756,092)
(9,777)
LME
Copper
Base
Metal
(9)
12/2022
USD
(1,705,275)
9,251
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,806)
(165)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,350)
(3,855)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,613)
(1,145)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,563)
616
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,400)
(605)
LME
Lead
Base
Metal
(3)
12/2022
USD
(143,138)
(6,158)
LME
Lead
Base
Metal
(4)
12/2022
USD
(191,225)
(2,803)
LME
Lead
Base
Metal
(5)
12/2022
USD
(238,469)
(18,316)
LME
Lead
Base
Metal
(35)
12/2022
USD
(1,671,250)
8,913
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
17,145
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
19,365
LME
Nickel
Base
Metal
(2)
12/2022
USD
(253,104)
36,150
LME
Nickel
Base
Metal
(3)
12/2022
USD
(379,718)
51,283
LME
Nickel
Base
Metal
(4)
12/2022
USD
(506,208)
19,452
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,713)
6,285
LME
Zinc
Base
Metal
(2)
12/2022
USD
(149,525)
9,640
LME
Zinc
Base
Metal
(4)
12/2022
USD
(299,080)
14,992
LME
Zinc
Base
Metal
(5)
12/2022
USD
(373,888)
15,663
LME
Zinc
Base
Metal
(5)
12/2022
USD
(371,250)
11,048
LME
Zinc
Base
Metal
(11)
12/2022
USD
(820,325)
42,130
Long
Gilt
(39)
12/2022
GBP
(4,204,313)
478,810
MSCI
EAFE
E-Mini
Index
(33)
12/2022
USD
(2,739,990)
309,610
MSCI
Emerging
Markets
E-Mini
Index
(64)
12/2022
USD
(2,788,800)
358,664
NASDAQ
100
E-Mini
Index
(11)
12/2022
USD
(2,427,810)
219,697
Nikkei
225
Index
(2)
12/2022
JPY
(358,461)
4,638
Palladium
(1)
12/2022
USD
(218,220)
(15,456)
Russell
2000
E-Mini
Index
(33)
12/2022
USD
(2,755,170)
214,627
S&P
500
E-Mini
Index
(16)
12/2022
USD
(2,881,200)
255,712
S&P
Midcap
400
E-Mini
Index
(10)
12/2022
USD
(2,208,200)
251,440
S&P/TSX
60
Index
(11)
12/2022
CAD
(1,777,392)
70,776
Silver
(16)
12/2022
USD
(1,523,120)
(31,763)
SPI
200
Index
(24)
12/2022
AUD
(2,481,586)
151,731
TOPIX
Index
(4)
12/2022
JPY
(507,428)
23,188
U.S.
Treasury
10
Year
Note
(94)
12/2022
USD
(10,533,875)
426,687
U.S.
Treasury
2
Year
Note
(152)
12/2022
USD
(31,208,687)
510,443
U.S.
Treasury
5
Year
Note
(153)
12/2022
USD
(16,439,133)
539,481
U.S.
Treasury
Long
Bond
(50)
12/2022
USD
(6,326,563)
385,726
U.S.
Treasury
Ultra
Bond
(33)
12/2022
USD
(4,510,688)
346,335
Wheat
(7)
12/2022
ZAR
(137,583)
(3,026)
155
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Wheat
(25)
12/2022
USD
$
(1,151,875)
$
(145,013)
Platinum
(10)
1/2023
USD
(429,550)
16,154
Rapeseed
(7)
1/2023
EUR
(218,416)
(4,386)
Robusta
Coffee
(2)
1/2023
USD
(42,920)
188
Rubber
(3)
2/2023
JPY
(23,464)
(638)
Sugar
No.
11
(33)
2/2023
USD
(653,453)
13,010
3
Month
Canadian
Bankers
Acceptance
(131)
3/2023
CAD
(22,648,912)
97,233
3
Month
Euro
Euribor
(35)
3/2023
EUR
(8,331,895)
50,073
90-Day
New
Zealand
Bill
(28)
3/2023
NZD
(15,483,884)
12,398
ASX
90
Day
Bank
Accepted
Bill
(63)
3/2023
AUD
(39,887,816)
8,558
Rubber
(6)
3/2023
JPY
(47,323)
(57)
3
Month
Canadian
Bankers
Acceptance
(123)
6/2023
CAD
(21,278,016)
106,312
3
Month
Euro
Euribor
(29)
6/2023
EUR
(6,884,386)
57,297
3
Month
SOFR
(13)
6/2023
USD
(3,105,700)
23,985
3
Month
SONIA
(27)
6/2023
GBP
(7,104,105)
110,876
90-Day
Australian
Bank
Bill
(64)
6/2023
AUD
(40,510,080)
14,809
90-Day
New
Zealand
Bill
(27)
6/2023
NZD
(14,923,616)
22,958
3
Month
Canadian
Bankers
Acceptance
(121)
9/2023
CAD
(20,957,216)
105,842
3
Month
Euro
Euribor
(33)
9/2023
EUR
(7,830,318)
62,393
3
Month
SARON
(1)
9/2023
CHF
(249,316)
321
3
Month
SOFR
(17)
9/2023
USD
(4,062,575)
29,857
3
Month
SONIA
(29)
9/2023
GBP
(7,626,693)
150,964
90-Day
Australian
Bank
Bill
(57)
9/2023
AUD
(36,081,931)
8,467
90-Day
New
Zealand
Bill
(27)
9/2023
NZD
(14,924,343)
14,514
3
Month
Canadian
Bankers
Acceptance
(116)
12/2023
CAD
(20,122,706)
14,926
3
Month
Euro
Euribor
(36)
12/2023
EUR
(8,547,898)
69,612
3
Month
SARON
(2)
12/2023
CHF
(498,784)
800
3
Month
SOFR
(18)
12/2023
USD
(4,304,250)
37,097
3
Month
SONIA
(30)
12/2023
GBP
(7,893,869)
164,009
90-Day
Australian
Bank
Bill
(57)
12/2023
AUD
(36,083,692)
7,321
3
Month
Euro
Euribor
(38)
3/2024
EUR
(9,026,040)
64,973
3
Month
SOFR
(19)
3/2024
USD
(4,547,888)
41,667
3
Month
SONIA
(30)
3/2024
GBP
(7,898,893)
168,952
3
Month
Euro
Euribor
(40)
6/2024
EUR
(9,503,055)
74,475
3
Month
SOFR
(19)
6/2024
USD
(4,555,725)
41,166
3
Month
SONIA
(30)
6/2024
GBP
(7,903,499)
182,640
3
Month
Euro
Euribor
(43)
9/2024
EUR
(10,219,471)
53,111
3
Month
SOFR
(19)
9/2024
USD
(4,563,563)
36,509
3
Month
SONIA
(29)
9/2024
GBP
(7,645,311)
173,002
3
Month
SOFR
(19)
12/2024
USD
(4,569,500)
24,538
3
Month
SONIA
(31)
12/2024
GBP
(8,180,362)
146,165
12,361,288
$
10,560,436
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
9,773,000
USD
9,536,579
CITI
12/21/2022
$
102,150
EUR
9,773,000
USD
9,536,591
JPMC
12/21/2022
102,137
GBP
391,500
USD
425,292
CITI
12/21/2022
12,372
GBP
391,500
USD
425,293
JPMC
12/21/2022
12,372
156
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
JPY
40,000,000
USD
278,888
CITI
12/21/2022
$
35
JPY
40,000,000
USD
278,888
JPMC
12/21/2022
34
MXN
10,737,755
USD
523,787
CITI
12/21/2022
1,761
MXN
10,737,752
USD
523,788
JPMC
12/21/2022
1,760
USD
806,511
BRL
4,258,001
CITI
**
12/21/2022
31,264
USD
806,510
BRL
4,257,999
JPMC
**
12/21/2022
31,263
USD
5,136,204
CAD
6,822,500
CITI
12/21/2022
195,295
USD
5,136,198
CAD
6,822,500
JPMC
12/21/2022
195,288
USD
56,634
CHF
54,000
CITI
12/21/2022
1,449
USD
56,634
CHF
54,000
JPMC
12/21/2022
1,449
USD
727,933
CLP
671,774,033
CITI
**
12/21/2022
44,228
USD
727,932
CLP
671,774,031
JPMC
**
12/21/2022
44,228
USD
32,520
COP
147,316,000
CITI
**
12/21/2022
1,033
USD
32,520
COP
147,316,000
JPMC
**
12/21/2022
1,032
USD
1,308,230
CZK
32,321,000
CITI
12/21/2022
28,433
USD
1,308,229
CZK
32,321,000
JPMC
12/21/2022
28,432
USD
39,356,513
EUR
39,147,005
CITI
12/21/2022
747,349
USD
39,356,457
EUR
39,146,998
JPMC
12/21/2022
747,300
USD
2,499,881
GBP
2,179,500
CITI
12/21/2022
63,380
USD
2,499,878
GBP
2,179,500
JPMC
12/21/2022
63,377
USD
1,099,948
HUF
453,152,518
CITI
12/21/2022
73,404
USD
1,099,946
HUF
453,152,514
JPMC
12/21/2022
73,402
USD
3,764,479
INR
302,908,988
CITI
**
12/21/2022
79,440
USD
3,764,475
INR
302,908,980
JPMC
**
12/21/2022
79,435
USD
52,899,721
JPY
7,295,844,574
CITI
12/21/2022
2,025,344
USD
52,899,655
JPY
7,295,844,574
JPMC
12/21/2022
2,025,278
USD
2,471,653
KRW
3,324,968,125
CITI
**
12/21/2022
159,061
USD
2,471,650
KRW
3,324,968,122
JPMC
**
12/21/2022
159,058
USD
100,763
MXN
2,056,000
CITI
12/21/2022
134
USD
100,762
MXN
2,056,000
JPMC
12/21/2022
134
USD
5,409,491
NOK
55,641,500
CITI
12/21/2022
289,353
USD
5,409,485
NOK
55,641,500
JPMC
12/21/2022
289,346
USD
15,957,555
NZD
26,680,500
CITI
12/21/2022
1,018,924
USD
15,957,535
NZD
26,680,500
JPMC
12/21/2022
1,018,904
USD
2,206,767
PHP
125,633,000
CITI
**
12/21/2022
83,837
USD
2,206,764
PHP
125,633,000
JPMC
**
12/21/2022
83,835
USD
4,754,616
PLN
22,978,000
CITI
12/21/2022
181,755
USD
4,754,610
PLN
22,977,999
JPMC
12/21/2022
181,749
USD
6,816,340
SEK
73,333,500
CITI
12/21/2022
174,194
USD
6,816,332
SEK
73,333,500
JPMC
12/21/2022
174,185
USD
1,075,495
TWD
32,520,503
CITI
**
12/21/2022
51,427
USD
1,075,493
TWD
32,520,497
JPMC
**
12/21/2022
51,425
USD
3,132,889
ZAR
54,207,000
CITI
12/21/2022
159,033
USD
3,132,885
ZAR
54,207,000
JPMC
12/21/2022
159,029
Total
unrealized
appreciation
11,049,107
AUD
40,894,002
USD
27,920,839
CITI
12/21/2022
(1,725,736)
AUD
40,893,998
USD
27,920,871
JPMC
12/21/2022
(1,725,771)
CAD
21,158,006
USD
16,219,776
CITI
12/21/2022
(896,978)
CAD
21,157,994
USD
16,219,787
JPMC
12/21/2022
(896,997)
CHF
699,001
USD
728,500
CITI
12/21/2022
(14,170)
CHF
698,999
USD
728,499
JPMC
12/21/2022
(14,171)
COP
1,362,518,999
USD
302,984
CITI
**
12/21/2022
(11,761)
COP
1,362,518,993
USD
302,984
JPMC
**
12/21/2022
(11,761)
EUR
18,170,000
USD
18,305,925
CITI
12/21/2022
(385,563)
EUR
18,170,000
USD
18,305,948
JPMC
12/21/2022
(385,585)
GBP
7,584,500
USD
8,933,537
CITI
12/21/2022
(454,692)
GBP
7,584,498
USD
8,933,546
JPMC
12/21/2022
(454,704)
IDR
8,314,350,156
USD
557,322
CITI
**
12/21/2022
(16,274)
157
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
IDR
8,314,350,156
USD
557,322
JPMC
**
12/21/2022
$
(16,274)
ILS
1,722,503
USD
517,347
CITI
12/21/2022
(30,868)
ILS
1,722,497
USD
517,346
JPMC
12/21/2022
(30,869)
JPY
1,084,488,000
USD
7,674,580
CITI
12/21/2022
(112,378)
JPY
1,084,488,000
USD
7,674,589
JPMC
12/21/2022
(112,387)
KRW
200,000,000
USD
143,865
CITI
**
12/21/2022
(4,760)
KRW
200,000,000
USD
143,865
JPMC
**
12/21/2022
(4,760)
MXN
3,579,251
USD
175,788
CITI
12/21/2022
(605)
MXN
3,579,250
USD
175,789
JPMC
12/21/2022
(605)
NOK
125,515,004
USD
12,736,943
CITI
12/21/2022
(1,187,036)
NOK
125,514,996
USD
12,736,958
JPMC
12/21/2022
(1,187,051)
PLN
8,667,500
USD
1,836,402
CITI
12/21/2022
(111,479)
PLN
8,667,500
USD
1,836,404
JPMC
12/21/2022
(111,481)
SEK
72,739,000
USD
6,907,105
CITI
12/21/2022
(318,805)
SEK
72,739,000
USD
6,907,114
JPMC
12/21/2022
(318,814)
SGD
7,459,503
USD
5,306,471
CITI
12/21/2022
(107,050)
SGD
7,459,497
USD
5,306,474
JPMC
12/21/2022
(107,057)
USD
213,652
CZK
5,500,000
CITI
12/21/2022
(4,128)
USD
213,652
CZK
5,500,000
JPMC
12/21/2022
(4,129)
USD
1,869,681
GBP
1,740,000
CITI
12/21/2022
(75,495)
USD
1,869,679
GBP
1,740,000
JPMC
12/21/2022
(75,497)
USD
1,580,754
INR
130,000,000
CITI
**
12/21/2022
(762)
USD
1,580,752
INR
130,000,000
JPMC
**
12/21/2022
(764)
USD
1,837,525
PLN
9,278,000
CITI
12/21/2022
(8,893)
USD
1,837,523
PLN
9,278,000
JPMC
12/21/2022
(8,896)
ZAR
23,377,006
USD
1,332,376
CITI
12/21/2022
(49,887)
ZAR
23,376,994
USD
1,332,377
JPMC
12/21/2022
(49,889)
Total
unrealized
depreciation
(11,034,782)
Net
unrealized
appreciation
$
14,325
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-0.04%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
09/22/2027
$1,662,737
$36,338
$8,752
$45,090
158
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.13%
to
0.04%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
09/03/2027
$796,264
$27,761
$(2,154)
$25,607
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.04%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
10/01/2027
$9,277,038
$15,709
$13,550
$29,259
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
21,739
192,249
(28,739)
(98.2)
ALS
Ltd.
10,697
69,305
(12,118)
(41.4)
Aristocrat
Leisure
Ltd.
9,462
199,521
(10,133)
(34.6)
Atlas
Arteria
Ltd.
20,416
81,298
(14,228)
(48.6)
Aurizon
Holdings
Ltd.
62,144
137,441
(10,431)
(35.6)
BHP
Group
Ltd.
15,549
386,519
6,723
23.0
BlueScope
Steel
Ltd.
10,208
99,136
(8,797)
(30.1)
Computershare
Ltd.
4,969
79,256
981
3.4
IGO
Ltd.
11,049
97,193
(5,979)
(20.4)
Incitec
Pivot
Ltd.
112,182
255,088
(14,583)
(49.8)
JB
Hi-Fi
Ltd.
7,273
176,010
(14,402)
(49.2)
Lynas
Rare
Earths
Ltd.
13,657
65,860
(7,214)
(24.7)
Origin
Energy
Ltd.
80,843
268,235
(34,878)
(119.2)
Pilbara
Minerals
Ltd.
91,389
263,679
(3,748)
(12.8)
Qantas
Airways
Ltd.
44,794
143,749
(6,904)
(23.6)
Ramsay
Health
Care
Ltd.
2,488
91,328
(16,769)
(57.3)
Santos
Ltd.
32,893
151,951
(13,161)
(45.0)
Sonic
Healthcare
Ltd.
6,924
135,054
(9,108)
(31.1)
South32
Ltd.
90,317
214,404
(31,123)
(106.4)
Telstra
Corp.
Ltd.
122,590
302,703
(4,616)
(15.8)
Transurban
Group
7,764
61,316
(6,607)
(22.6)
159
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
WiseTech
Global
Ltd.
1,986
64,888
(11,917)
(40.7)
United
States
James
Hardie
Industries
plc
7,621
149,696
(16,290)
(55.7)
Short
Positions
Common
Stocks
Australia
carsales.com
Ltd.
(11,309)
(134,897)
22,459
76.8
Coles
Group
Ltd.
(6,559)
(69,147)
1,108
3.8
Commonwealth
Bank
of
Australia
(6,148)
(357,660)
19,070
65.2
CSL
Ltd.
(4,614)
(839,135)
18,511
63.3
Domino's
Pizza
Enterprises
Ltd.
(6,419)
(211,484)
27,838
95.1
Endeavour
Group
Ltd.
(25,188)
(113,198)
2,551
8.7
Evolution
Mining
Ltd.
(158,515)
(206,795)
18,321
62.6
Fortescue
Metals
Group
Ltd.
(16,128)
(173,140)
10,137
34.6
IDP
Education
Ltd.
(13,612)
(228,661)
16,279
55.6
Insurance
Australia
Group
Ltd.
(41,375)
(122,398)
667
2.3
Lendlease
Corp.
Ltd.
(29,972)
(171,354)
20,619
70.5
Macquarie
Group
Ltd.
(2,094)
(204,291)
29,219
99.9
Newcrest
Mining
Ltd.
(14,070)
(154,477)
(1,097)
(3.7)
NEXTDC
Ltd.
(12,283)
(68,724)
6,036
20.6
Northern
Star
Resources
Ltd.
(24,042)
(120,385)
(1,664)
(5.7)
OZ
Minerals
Ltd.
(5,658)
(93,602)
640
2.2
Pro
Medicus
Ltd.
(3,373)
(107,706)
10,656
36.4
QBE
Insurance
Group
Ltd.
(18,208)
(135,097)
(220)
(0.8)
REA
Group
Ltd.
(2,253)
(163,988)
13,428
45.9
Reece
Ltd.
(15,461)
(138,935)
10,578
36.2
Seven
Group
Holdings
Ltd.
(11,236)
(121,890)
11,913
40.7
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(7,024)
(120,756)
(4,246)
(14.5)
Wesfarmers
Ltd.
(16,615)
(454,230)
45,003
153.8
Westpac
Banking
Corp.
(16,309)
(215,768)
5,913
20.2
Woodside
Energy
Group
Ltd.
(9,172)
(187,398)
746
2.6
Woolworths
Group
Ltd.
(5,981)
(129,971)
5,202
17.8
Worley
Ltd.
(8,789)
(71,654)
6,715
23.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CORRA
plus
or
minus
a
specified
spread
(-0.13%
to
0.02%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
10/04/2027
$12,682,625
$24,999
$16,683
$41,682
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
160
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Alimentation
Couche-Tard,
Inc.
5,261
211,796
(11,019)
(26.4)
ARC
Resources
Ltd.
19,565
234,975
(16,772)
(40.2)
Atco
Ltd.
4,327
132,972
(14,729)
(35.3)
Bank
of
Nova
Scotia
(The)
4,161
197,906
(22,984)
(55.1)
Canadian
Natural
Resources
Ltd.
4,203
195,644
(11,053)
(26.5)
Canadian
Tire
Corp.
Ltd.
1,178
125,403
(11,479)
(27.5)
Cenovus
Energy,
Inc.
21,721
333,673
(35,452)
(85.1)
Dollarama,
Inc.
3,337
191,569
(815)
(2.0)
Fairfax
Financial
Holdings
Ltd.
488
222,879
(8,056)
(19.3)
Finning
International,
Inc.
8,329
146,399
(20,090)
(48.2)
Gildan
Activewear,
Inc.
3,328
94,081
(5,927)
(14.2)
Imperial
Oil
Ltd.
7,461
323,048
(12,473)
(29.9)
Loblaw
Cos.
Ltd.
3,225
255,366
(17,376)
(41.7)
MEG
Energy
Corp.
25,615
286,682
(27,823)
(66.8)
National
Bank
of
Canada
2,945
184,586
(7,064)
(16.9)
Nutrien
Ltd.
3,103
258,780
(19,319)
(46.3)
Onex
Corp.
2,274
104,304
(8,527)
(20.5)
Pembina
Pipeline
Corp.
3,575
108,594
(12,474)
(29.9)
Suncor
Energy,
Inc.
8,805
247,956
(8,816)
(21.2)
Teck
Resources
Ltd.
3,539
107,629
(5,223)
(12.5)
Tourmaline
Oil
Corp.
5,663
294,311
(19,731)
(47.3)
Whitecap
Resources,
Inc.
30,950
195,825
(10,449)
(25.1)
Mongolia
Turquoise
Hill
Resources
Ltd.
4,114
121,810
135
0.3
Zambia
First
Quantum
Minerals
Ltd.
6,491
110,192
1,140
2.7
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(6,087)
(257,167)
(8,451)
(20.3)
Algonquin
Power
&
Utilities
Corp.
(27,494)
(300,347)
40,834
98.0
Bank
of
Montreal
(2,708)
(237,346)
12,488
30.0
Barrick
Gold
Corp.
(12,161)
(188,487)
(10,703)
(25.7)
BCE,
Inc.
(13,570)
(568,990)
38,345
92.0
BlackBerry
Ltd.
(26,112)
(123,060)
25,519
61.2
Brookfield
Asset
Management,
Inc.
(2,834)
(115,937)
5,188
12.4
CAE,
Inc.
(16,137)
(247,543)
34,253
82.2
Canadian
Imperial
Bank
of
Commerce
(7,989)
(349,669)
5,303
12.7
Canadian
Pacific
Railway
Ltd.
(5,655)
(377,491)
29,385
70.5
Constellation
Software,
Inc.
(63)
(87,662)
5,070
12.2
Emera,
Inc.
(3,111)
(125,872)
14,842
35.6
Enbridge,
Inc.
(6,953)
(257,815)
16,291
39.1
Fortis,
Inc.
(6,994)
(265,715)
26,275
63.0
Franco-Nevada
Corp.
(953)
(113,834)
(4,089)
(9.8)
GFL
Environmental,
Inc.
(4,240)
(107,155)
12,789
30.7
Kinross
Gold
Corp.
(37,278)
(140,331)
(13,792)
(33.1)
Magna
International,
Inc.
(1,946)
(92,316)
5,819
14.0
Manulife
Financial
Corp.
(13,512)
(212,068)
14,379
34.5
Pan
American
Silver
Corp.
(8,089)
(128,595)
(5,885)
(14.1)
Rogers
Communications,
Inc.
(6,493)
(250,112)
7,227
17.3
Royal
Bank
of
Canada
(5,566)
(501,135)
12,163
29.2
Saputo,
Inc.
(3,723)
(88,753)
4,770
11.4
Toronto-Dominion
Bank
(The)
(4,365)
(267,711)
9,880
23.7
161
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Bausch
Health
Cos.,
Inc.
(17,394)
(120,128)
985
2.4
BRP,
Inc.
(2,987)
(183,997)
13,303
31.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.75%
to
0.03%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
10/01/2027
$7,566,203
$42,256
$(819)
$41,437
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
Baloise
Holding
AG
(Registered)
456
58,265
(6,019)
(14.5)
Banque
Cantonale
Vaudoise
(Registered)
247
23,368
235
0.6
Barry
Callebaut
AG
(Registered)
73
137,606
(8,660)
(20.9)
Belimo
Holding
AG
(Registered)
101
37,147
(163)
(0.4)
BKW
AG
625
74,479
(2,741)
(6.6)
Bucher
Industries
AG
(Registered)
77
24,022
(2,995)
(7.2)
Chocoladefabriken
Lindt
&
Spruengli
AG
19
183,622
(13,097)
(31.6)
DKSH
Holding
AG
1,082
78,506
(612)
(1.5)
EMS-Chemie
Holding
AG
(Registered)
31
19,569
(1,732)
(4.2)
Galenica
AG
263
19,045
534
1.3
Georg
Fischer
AG
(Registered)
380
18,104
(2,500)
(6.0)
Helvetia
Holding
AG
(Registered)
620
58,097
(5,567)
(13.4)
Julius
Baer
Group
Ltd.
1,071
46,737
(6,112)
(14.8)
Kuehne
+
Nagel
International
AG
(Registered)
901
183,472
(16,506)
(39.8)
Lonza
Group
AG
(Registered)
244
118,801
(12,311)
(29.7)
Novartis
AG
(Registered)
4,555
347,259
(6,946)
(16.8)
Partners
Group
Holding
AG
207
166,590
(34,095)
(82.3)
SGS
SA
(Registered)
54
115,546
(7,099)
(17.1)
Sika
AG
(Registered)
280
56,278
(7,515)
(18.1)
Swatch
Group
AG
(The)
78
17,519
(252)
(0.6)
Swiss
Life
Holding
AG
(Registered)
539
238,136
(33,184)
(80.1)
Swisscom
AG
(Registered)
640
299,674
(21,007)
(50.7)
Temenos
AG
(Registered)
3,409
229,824
(48,299)
(116.6)
UBS
Group
AG
(Registered)
18,034
261,637
(20,704)
(50.0)
Zurich
Insurance
Group
AG
1,324
527,814
(35,116)
(84.7)
United
States
Nestle
SA
(Registered)
1,306
141,253
(6,487)
(15.7)
Roche
Holding
AG
538
175,137
(144)
(0.3)
Swiss
Re
AG
1,009
74,418
(8,801)
(21.2)
162
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(23,829)
(148,328)
21,727
52.4
Switzerland
Adecco
Group
AG
(Registered)
(7,970)
(219,969)
22,481
54.3
Alcon,
Inc.
(3,749)
(217,762)
26,330
63.5
Bachem
Holding
AG
(2,541)
(159,809)
(6,310)
(15.2)
Cie
Financiere
Richemont
SA
(Registered)
(644)
(60,791)
9,079
21.9
Clariant
AG
(Registered)
(3,923)
(62,665)
9,457
22.8
Credit
Suisse
Group
AG
(Registered)
(77,679)
(307,266)
61,873
149.3
Dufry
AG
(Registered)
(5,206)
(158,052)
24,187
58.4
Flughafen
Zurich
AG
(Registered)
(395)
(58,383)
5,308
12.8
Geberit
AG
(Registered)
(1,045)
(448,084)
10,402
25.1
Givaudan
SA
(Registered)
(144)
(435,025)
17,247
41.6
Holcim
AG
(2,869)
(117,573)
14,522
35.0
Idorsia
Ltd.
(5,738)
(74,265)
9,767
23.6
Logitech
International
SA
(Registered)
(7,964)
(364,095)
22,045
53.2
Schindler
Holding
AG
(1,080)
(167,616)
10,150
24.5
SIG
Group
AG
(19,716)
(400,316)
46,464
112.1
Sonova
Holding
AG
(Registered)
(353)
(77,682)
11,329
27.3
Straumann
Holding
AG
(Registered)
(1,227)
(112,222)
18,337
44.3
Sulzer
AG
(Registered)
(422)
(24,276)
572
1.4
Tecan
Group
AG
(Registered)
(586)
(201,024)
11,281
27.2
VAT
Group
AG
(94)
(19,075)
3,903
9.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Denmark
Tomorrow/Next
plus
or
minus
a
specified
spread
(-0.13%
to
0.03%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
09/22/2027
$3,563,741
$(26,443)
$9,234
$(17,209)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
281
510,641
(77,053)
447.7
Carlsberg
A/S
992
116,001
(7,932)
46.1
DSV
A/S
2,708
317,235
(50,262)
292.1
Genmab
A/S
298
95,868
(12,422)
72.2
ISS
A/S
10,449
161,084
(20,109)
116.9
Jyske
Bank
A/S
(Registered)
1,294
67,343
(4,422)
25.7
Novo
Nordisk
A/S
5,745
572,304
(33,357)
193.8
163
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Denmark
(continued)
Orsted
A/S
918
73,165
(12,843)
74.6
Pandora
A/S
3,992
186,691
(32,215)
187.2
Royal
Unibrew
A/S
224
14,514
(1,536)
8.9
Tryg
A/S
6,499
134,165
(8,712)
50.6
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(7,096)
(61,657)
10,084
(58.6)
Chr
Hansen
Holding
A/S
(1,646)
(81,081)
6,349
(36.9)
Coloplast
A/S
(2,777)
(282,211)
19,141
(111.2)
Danske
Bank
A/S
(1,423)
(17,712)
1,430
(8.3)
Demant
A/S
(6,039)
(149,293)
24,194
(140.6)
GN
Store
Nord
A/S
(1,997)
(34,980)
23,062
(134.0)
H
Lundbeck
A/S
(10,852)
(34,781)
2,323
(13.5)
Novozymes
A/S
(266)
(13,367)
1,366
(7.9)
ROCKWOOL
A/S
(1,172)
(184,869)
17,518
(101.8)
SimCorp
A/S
(1,482)
(83,410)
16,149
(93.8)
Vestas
Wind
Systems
A/S
(20,169)
(371,369)
112,804
(655.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
10/01/2027
$33,406,359
$205,417
$(10,757)
$194,660
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nokia
OYJ
48,501
208,218
(28,054)
(14.4)
France
Cie
de
Saint-Gobain
6,485
231,875
(19,972)
(10.3)
Engie
SA
19,662
226,307
(19,883)
(10.2)
Hermes
International
289
339,899
(28,284)
(14.5)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
531
313,064
(12,533)
(6.4)
Orange
SA
26,909
243,379
(23,032)
(11.8)
Renault
SA
8,599
232,655
(25,406)
(13.1)
Thales
SA
1,976
217,743
(5,413)
(2.8)
TotalEnergies
SE
5,471
256,670
(4,944)
(2.5)
Germany
Bayer
AG
(Registered)
4,871
224,429
(23,882)
(12.3)
164
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Germany
(continued)
Bayerische
Motoren
Werke
AG
5,127
347,496
(16,961)
(8.7)
Commerzbank
AG
47,205
336,053
(14,339)
(7.4)
Deutsche
Bank
AG
(Registered)
46,998
347,972
(54,151)
(27.8)
Merck
KGaA
1,472
238,288
(13,307)
(6.8)
RWE
AG
10,985
403,765
(39,495)
(20.3)
Volkswagen
AG
(Preference)
1,862
227,521
(40,695)
(20.9)
Italy
Ferrari
NV
1,127
208,704
(7,086)
(3.6)
Leonardo
SpA
49,363
349,510
(20,304)
(10.4)
Netherlands
ASR
Nederland
NV
6,925
266,217
(18,272)
(9.4)
OCI
NV
6,764
247,641
(4,260)
(2.2)
Wolters
Kluwer
NV
4,386
427,081
(8,798)
(4.5)
Spain
Industria
de
Diseno
Textil
SA
16,015
330,496
(6,487)
(3.3)
Repsol
SA
48,117
552,876
(59,603)
(30.6)
United
States
Tenaris
SA
25,790
333,699
(16,217)
(8.3)
Short
Positions
Common
Stocks
China
Prosus
NV
(5,306)
(276,053)
25,501
13.1
Finland
Kone
OYJ
(10,690)
(411,870)
6,683
3.4
France
Air
Liquide
SA
(2,256)
(257,859)
13,740
7.1
Cie
Generale
des
Etablissements
Michelin
SCA
(12,174)
(272,767)
5,616
2.9
Danone
SA
(6,641)
(314,022)
8,166
4.2
EssilorLuxottica
SA
(2,375)
(322,817)
29,982
15.4
L'Oreal
SA
(1,004)
(321,021)
11,559
5.9
Germany
adidas
AG
(2,548)
(292,921)
59,266
30.4
BASF
SE
(7,030)
(269,800)
29,801
15.3
Deutsche
Telekom
AG
(Registered)
(27,745)
(472,266)
59,327
30.5
Fresenius
Medical
Care
AG
&
Co.
KGaA
(10,526)
(296,549)
47,902
24.6
Henkel
AG
&
Co.
KGaA
(Preference)
(5,206)
(309,169)
5,091
2.6
SAP
SE
(8,718)
(710,475)
13,991
7.2
Siemens
AG
(Registered)
(5,408)
(528,593)
22,748
11.7
Zalando
SE
(16,708)
(326,356)
29,093
14.9
Italy
Enel
SpA
(66,999)
(274,778)
30,072
15.4
Intesa
Sanpaolo
SpA
(134,873)
(222,947)
12,698
6.5
Nexi
SpA
(35,035)
(283,017)
4,898
2.5
Netherlands
Adyen
NV
(320)
(399,092)
55,247
28.4
ASML
Holding
NV
(671)
(277,981)
49,445
25.4
Koninklijke
Philips
NV
(50,478)
(777,185)
87,219
44.8
Portugal
EDP
-
Energias
de
Portugal
SA
(88,314)
(383,284)
43,851
22.5
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(11,172)
(251,028)
565
0.3
Grifols
SA
(32,889)
(284,139)
87,882
45.1
United
Kingdom
CNH
Industrial
NV
(21,083)
(235,966)
16,932
8.7
165
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Schneider
Electric
SE
(4,701)
(530,982)
49,804
25.6
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
49-61
months
maturity
ranging
from
09/21/2026
-
10/01/2027
$10,340,466
$(58,608)
$48,260
$(10,348)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
26,613
139,852
(4,386)
42.4
Rio
Tinto
plc
4,058
219,562
(643)
6.2
Netherlands
Shell
plc
28,933
717,768
(17,518)
169.3
Nigeria
Airtel
Africa
plc
75,114
107,736
(8,008)
77.4
United
Kingdom
Auto
Trader
Group
plc
19,391
109,968
(32,583)
314.9
Aviva
plc
20,261
86,896
(7,168)
69.3
BAE
Systems
plc
20,828
183,004
587
(5.7)
Barclays
plc
47,534
75,633
(15,582)
150.6
BP
plc
48,539
231,938
(9,978)
96.4
British
American
Tobacco
plc
10,197
365,639
(26,974)
260.7
Centrica
plc
158,300
124,219
(29,377)
283.9
Diageo
plc
11,681
491,694
(3,172)
30.7
Harbour
Energy
plc
20,366
101,111
(643)
6.2
Howden
Joinery
Group
plc
14,728
82,279
(13,889)
134.2
HSBC
Holdings
plc
52,382
271,227
(34,130)
329.8
Imperial
Brands
plc
5,804
119,347
(5,215)
50.4
InterContinental
Hotels
Group
plc
4,834
232,814
(22,719)
219.6
Intertek
Group
plc
1,792
73,524
(6,510)
62.9
Lloyds
Banking
Group
plc
386,419
174,657
(10,977)
106.1
Man
Group
plc
38,058
94,235
(14,762)
142.7
National
Grid
plc
15,557
160,145
(25,889)
250.2
NatWest
Group
plc
63,566
158,325
(26,777)
258.8
Reckitt
Benckiser
Group
plc
3,112
206,268
(15,584)
150.6
RELX
plc
11,511
281,280
(13,173)
127.3
SSE
plc
4,778
80,681
(14,813)
143.1
Standard
Chartered
plc
20,325
127,124
(7,249)
70.1
United
States
GSK
plc
9,005
130,057
(5,539)
53.5
166
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(19,755)
(242,073)
15,291
(147.8)
Italy
Coca-Cola
HBC
AG
(5,297)
(110,680)
3,198
(30.9)
Jordan
Hikma
Pharmaceuticals
plc
(5,647)
(85,117)
(597)
5.8
United
Kingdom
abrdn
plc
(99,257)
(151,835)
10,135
(97.9)
AVEVA
Group
plc
(11,168)
(385,321)
(8,937)
86.4
B&M
European
Value
Retail
SA
(30,797)
(104,748)
4,284
(41.4)
BT
Group
plc
(93,713)
(125,979)
20,615
(199.2)
ConvaTec
Group
plc
(37,404)
(85,003)
10,301
(99.5)
ITV
plc
(144,434)
(91,146)
13,097
(126.6)
JD
Sports
Fashion
plc
(107,592)
(118,532)
27,868
(269.3)
Kingfisher
plc
(120,817)
(294,095)
19,784
(191.2)
Ocado
Group
plc
(15,073)
(78,221)
49,147
(474.9)
Pennon
Group
plc
(13,969)
(121,883)
26,134
(252.5)
Persimmon
plc
(14,384)
(196,720)
8,366
(80.8)
Rolls-Royce
Holdings
plc
(153,751)
(117,751)
16,908
(163.4)
Royal
Mail
plc
(43,192)
(87,918)
11,117
(107.4)
Schroders
plc
(19,235)
(82,678)
10,128
(97.9)
Severn
Trent
plc
(3,362)
(87,888)
15,831
(153.0)
Smith
&
Nephew
plc
(13,505)
(155,885)
1,170
(11.3)
Taylor
Wimpey
plc
(164,414)
(160,096)
29,106
(281.3)
Travis
Perkins
plc
(13,422)
(115,215)
4,998
(48.3)
Unilever
plc
(2,320)
(101,940)
458
(4.4)
Weir
Group
plc
(The)
(5,543)
(85,812)
7,921
(76.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NOWA
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-59
months
maturity
ranging
from
09/21/2026
-
07/05/2027
$1,750,321
$65,794
$8,220
$74,014
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
2,268
79,596
(5,878)
(7.9)
167
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Equinor
ASA
14,773
487,195
5,905
8.0
Gjensidige
Forsikring
ASA
2,073
35,571
(3,191)
(4.3)
Norsk
Hydro
ASA
25,542
137,056
(21,096)
(28.5)
TOMRA
Systems
ASA
859
15,156
(3,261)
(4.4)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(357)
(14,209)
3,431
4.6
France
Adevinta
ASA
(9,614)
(57,277)
15,743
21.3
Norway
DNB
Bank
ASA
(4,713)
(74,786)
3,234
4.4
Kongsberg
Gruppen
ASA
(3,744)
(113,621)
(1,436)
(1.9)
Mowi
ASA
(10,597)
(134,789)
14,492
19.6
Orkla
ASA
(24,032)
(174,696)
4,293
5.8
Salmar
ASA
(1,243)
(41,897)
29,965
40.5
Schibsted
ASA
(2,560)
(34,545)
8,880
12.0
Telenor
ASA
(30,152)
(275,955)
13,113
17.7
United
Kingdom
Subsea
7
SA
(9,365)
(73,972)
1,600
2.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.03%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
49-61
months
maturity
ranging
from
09/21/2026
-
09/22/2027
$4,726,649
$(35,637)
$2,249
$(33,388)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
31,666
271,005
(18,557)
55.6
Sweden
Axfood
AB
8,319
190,600
(35,676)
106.9
BillerudKorsnas
AB
4,627
54,322
(42)
0.1
Boliden
AB
8,593
265,489
(4,283)
12.8
Evolution
AB
1,482
117,148
(703)
2.1
Hexpol
AB
3,795
31,126
(2,250)
6.7
Indutrade
AB
3,168
51,385
(7,021)
21.0
Saab
AB
7,649
238,319
(5,380)
16.1
Skandinaviska
Enskilda
Banken
AB
14,133
134,698
(1,440)
4.3
168
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Skanska
AB
6,120
76,168
(10,881)
32.6
SSAB
AB
73,681
313,990
(19,095)
57.2
Svenska
Cellulosa
AB
SCA
4,347
55,157
(3,197)
9.6
Svenska
Handelsbanken
AB
16,474
135,235
4,870
(14.6)
Swedbank
AB
13,984
183,551
2,287
(6.9)
Telefonaktiebolaget
LM
Ericsson
5,577
32,600
(7,327)
21.9
Telia
Co.
AB
75,529
217,530
(25,643)
76.8
Trelleborg
AB
5,533
103,804
(5,938)
17.8
Volvo
AB
16,601
234,920
(14,458)
43.3
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(1,546)
(17,756)
1,105
(3.3)
Sweden
AAK
AB
(1,946)
(25,730)
2,134
(6.4)
Alfa
Laval
AB
(8,288)
(205,518)
12,480
(37.4)
Assa
Abloy
AB
(2,919)
(54,691)
3,202
(9.6)
Atlas
Copco
AB
(14,128)
(131,311)
3,011
(9.0)
Beijer
Ref
AB
(7,182)
(88,311)
2,570
(7.7)
Electrolux
AB
(5,762)
(59,887)
7,351
(22.0)
Elekta
AB
(9,061)
(46,021)
2,570
(7.7)
Epiroc
AB
(3,346)
(47,866)
2,500
(7.5)
EQT
AB
(1,674)
(32,345)
6,512
(19.5)
H
&
M
Hennes
&
Mauritz
AB
(15,037)
(139,019)
2,379
(7.1)
Hexagon
AB
(50,929)
(475,633)
30,161
(90.3)
Holmen
AB
(1,084)
(41,134)
2,040
(6.1)
Husqvarna
AB
(11,006)
(61,011)
5,978
(17.9)
Nibe
Industrier
AB
(7,667)
(68,391)
8,019
(24.0)
Sandvik
AB
(2,644)
(36,042)
3,388
(10.1)
Securitas
AB
(10,116)
(70,226)
(162)
0.5
SKF
AB
(24,026)
(321,867)
19,567
(58.6)
Swedish
Match
AB
(2,167)
(21,435)
(249)
0.7
Swedish
Orphan
Biovitrum
AB
(1,098)
(21,221)
(101)
0.3
Tele2
AB
(4,783)
(41,275)
1,893
(5.7)
United
States
Sinch
AB
(9,740)
(12,912)
2,749
(8.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-2.75%
to
0.30%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
1-13
months
maturity
ranging
from
10/19/2022
-
11/01/2023
$29,605,827
$(14,488)
$(64,666)
$(79,154)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
169
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Bandai
Namco
Holdings,
Inc.
2,600
169,438
(5,663)
7.2
Dai-ichi
Life
Holdings,
Inc.
11,900
189,214
(10,215)
12.9
Hoya
Corp.
2,300
221,625
(8,566)
10.8
IHI
Corp.
8,300
177,523
(17,026)
21.5
Inpex
Corp.
49,300
459,825
(37,337)
47.2
Japan
Post
Holdings
Co.
Ltd.
27,400
181,531
(6,919)
8.7
Japan
Tobacco,
Inc.
21,200
348,374
(5,087)
6.4
Keyence
Corp.
500
165,280
(5,703)
7.2
Marubeni
Corp.
25,000
218,137
(26,197)
33.1
MISUMI
Group,
Inc.
8,100
174,413
(14,194)
17.9
Mitsubishi
Heavy
Industries
Ltd.
7,100
236,141
(18,513)
23.4
Mitsubishi
Motors
Corp.
63,600
228,325
(37,536)
47.4
NGK
Spark
Plug
Co.
Ltd.
9,700
172,035
(25,209)
31.8
Nissin
Foods
Holdings
Co.
Ltd.
2,500
173,775
3,381
(4.3)
Olympus
Corp.
15,100
290,490
(13,513)
17.1
Osaka
Gas
Co.
Ltd.
11,500
173,374
(9,136)
11.5
Recruit
Holdings
Co.
Ltd.
10,300
296,698
(6,753)
8.5
Shin-Etsu
Chemical
Co.
Ltd.
2,800
277,079
(23,724)
30.0
Sompo
Holdings,
Inc.
4,800
192,054
(10,585)
13.4
Square
Enix
Holdings
Co.
Ltd.
4,800
206,886
267
(0.3)
Yakult
Honsha
Co.
Ltd.
3,600
209,033
4,299
(5.4)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(15,100)
(281,970)
(743)
0.9
Asahi
Kasei
Corp.
(30,800)
(204,121)
7,784
(9.8)
Canon,
Inc.
(8,200)
(179,109)
9,106
(11.5)
Central
Japan
Railway
Co.
(3,200)
(375,651)
2,432
(3.1)
Daikin
Industries
Ltd.
(1,800)
(276,964)
22,704
(28.7)
Daiwa
Securities
Group,
Inc.
(61,200)
(240,204)
12,617
(15.9)
East
Japan
Railway
Co.
(4,900)
(251,294)
6,825
(8.6)
Hitachi
Ltd.
(6,500)
(276,615)
19,432
(24.5)
ITOCHU
Corp.
(9,300)
(224,483)
19,953
(25.2)
JFE
Holdings,
Inc.
(20,100)
(186,637)
17,516
(22.1)
JSR
Corp.
(11,900)
(225,656)
19,511
(24.6)
Kao
Corp.
(6,900)
(280,764)
8,957
(11.3)
KDDI
Corp.
(6,700)
(195,883)
6,510
(8.2)
Kirin
Holdings
Co.
Ltd.
(11,300)
(174,085)
3,968
(5.0)
Kubota
Corp.
(16,700)
(232,078)
16,407
(20.7)
Mitsubishi
UFJ
Financial
Group,
Inc.
(55,700)
(252,328)
4,815
(6.1)
Mizuho
Financial
Group,
Inc.
(37,400)
(404,841)
12,259
(15.5)
Nippon
Steel
Corp.
(15,900)
(220,664)
26,630
(33.6)
Nomura
Holdings,
Inc.
(120,900)
(400,527)
14,947
(18.9)
Rakuten
Group,
Inc.
(68,900)
(294,857)
11,725
(14.8)
Sekisui
House
Ltd.
(13,900)
(230,216)
3,237
(4.1)
Seven
&
i
Holdings
Co.
Ltd.
(4,700)
(188,799)
5,722
(7.2)
SoftBank
Corp.
(27,000)
(269,620)
10,771
(13.6)
SoftBank
Group
Corp.
(5,500)
(186,401)
23,255
(29.4)
Sumitomo
Electric
Industries
Ltd.
(17,600)
(178,667)
12,112
(15.3)
Sumitomo
Mitsui
Financial
Group,
Inc.
(15,300)
(424,139)
23,668
(29.9)
Takeda
Pharmaceutical
Co.
Ltd.
(9,900)
(257,081)
5,724
(7.2)
Toshiba
Corp.
(5,000)
(178,126)
(1,902)
2.4
170
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
West
Japan
Railway
Co.
(6,300)
(240,812)
7,958
(10.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-7.57%
to
0.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
1-13
months
maturity
ranging
from
10/19/2022
-
11/01/2023
$123,689,038
$456,823
$(94,054)
$362,769
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
NXP
Semiconductors
NV
2,212
326,292
(16,994)
(4.7)
United
States
Accenture
plc
1,328
341,694
(23,479)
(6.5)
Adobe,
Inc.
1,115
306,848
(2,516)
(0.7)
Alphabet,
Inc.
4,688
448,407
(17,902)
(4.9)
AMETEK,
Inc.
2,808
318,455
(19,993)
(5.5)
Apple,
Inc.
4,852
670,546
(44,797)
(12.3)
Booking
Holdings,
Inc.
249
409,159
(35,428)
(9.8)
Broadcom,
Inc.
754
334,784
(12,792)
(3.5)
Cheniere
Energy,
Inc.
1,897
314,731
(4,913)
(1.4)
Chubb
Ltd.
2,046
372,126
(20,460)
(5.6)
Cisco
Systems,
Inc.
11,761
470,440
(16,466)
(4.5)
Coca-Cola
Co.
(The)
7,753
434,323
(30,062)
(8.3)
CVS
Health
Corp.
3,551
338,659
(21,607)
(6.0)
DTE
Energy
Co.
2,872
330,424
(45,521)
(12.5)
Emerson
Electric
Co.
4,202
307,670
(26,809)
(7.4)
Exxon
Mobil
Corp.
6,160
537,830
(25,609)
(7.1)
Gartner,
Inc.
1,110
307,126
(20,930)
(5.8)
Home
Depot,
Inc.
(The)
1,479
408,115
(4,271)
(1.2)
Keysight
Technologies,
Inc.
2,315
364,288
(19,113)
(5.3)
Mastercard,
Inc.
1,736
493,614
(26,135)
(7.2)
McKesson
Corp.
1,084
368,419
(7,052)
(1.9)
Microsoft
Corp.
2,682
624,638
(21,476)
(5.9)
Tesla,
Inc.
1,548
410,607
(56,669)
(15.6)
Ulta
Beauty,
Inc.
837
335,796
(14,866)
(4.1)
Union
Pacific
Corp.
2,273
442,826
(38,640)
(10.7)
Wells
Fargo
&
Co.
7,951
319,789
(22,765)
(6.3)
171
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
3M
Co.
(3,367)
(372,054)
19,196
5.3
Allstate
Corp.
(The)
(2,933)
(365,246)
16,452
4.5
Atmos
Energy
Corp.
(3,366)
(342,827)
40,183
11.1
Becton
Dickinson
and
Co.
(1,387)
(309,065)
36,470
10.1
DR
Horton,
Inc.
(5,133)
(345,708)
23,464
6.5
General
Mills,
Inc.
(4,131)
(316,476)
(3,222)
(0.9)
Honeywell
International,
Inc.
(2,073)
(346,129)
24,171
6.7
Huntington
Bancshares,
Inc.
(24,536)
(323,384)
20,856
5.7
Illinois
Tool
Works,
Inc.
(2,499)
(451,444)
41,983
11.6
International
Business
Machines
Corp.
(4,590)
(545,338)
39,511
10.9
Johnson
&
Johnson
(2,184)
(356,778)
4,297
1.2
Kimberly-Clark
Corp.
(2,967)
(333,906)
24,256
6.7
Kinder
Morgan,
Inc.
(18,756)
(312,100)
26,446
7.3
M&T
Bank
Corp.
(1,971)
(347,527)
7,006
1.9
McCormick
&
Co.,
Inc.
(Non-Voting)
(5,647)
(402,462)
34,500
9.5
Monster
Beverage
Corp.
(3,617)
(314,534)
3,108
0.9
PepsiCo,
Inc.
(2,548)
(415,986)
12,645
3.5
PerkinElmer,
Inc.
(2,824)
(339,812)
22,442
6.2
Principal
Financial
Group,
Inc.
(5,279)
(380,880)
27,873
7.7
Stanley
Black
&
Decker,
Inc.
(4,940)
(371,537)
32,738
9.0
T-Mobile
US,
Inc.
(2,832)
(379,969)
7,825
2.2
United
Parcel
Service,
Inc.
(2,653)
(428,566)
47,746
13.2
Visa,
Inc.
(2,540)
(451,231)
38,079
10.5
Walt
Disney
Co.
(The)
(3,726)
(351,474)
42,861
11.8
172
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
103.2%
COMMON
STOCKS
-
52.0%
Australia
-
1.5%
Aristocrat
Leisure
Ltd.
(2)(a)
3,670
77,388
Aurizon
Holdings
Ltd.
(2)
75,327
166,597
Australia
&
New
Zealand
Banking
Group
Ltd.
(2)
2,347
34,357
BHP
Group
Ltd.
(2)(a)
24,067
598,260
BlueScope
Steel
Ltd.
(2)
32,717
317,736
Harvey
Norman
Holdings
Ltd.
(2)
40,889
105,777
Incitec
Pivot
Ltd.
(2)
60,089
136,635
JB
Hi-Fi
Ltd.
(2)
10,509
254,323
Origin
Energy
Ltd.
(2)
1,598
5,302
QBE
Insurance
Group
Ltd.
(2)
5,132
38,078
Rio
Tinto
plc
(2)(a)
2,435
131,748
Sonic
Healthcare
Ltd.
(2)
3,762
73,379
South32
Ltd.
(2)
78,965
187,456
Suncorp
Group
Ltd.
(2)
7,145
46,106
2,173,142
—
Austria
-
0.0%
(b)
Mondi
plc
(2)
390
5,991
Belgium
-
0.1%
Ageas
SA/NV
(2)
1,598
58,282
Anheuser-Busch
InBev
SA/NV
(2)
(a)
1,243
56,304
Etablissements
Franz
Colruyt
NV
(2)
708
15,563
Proximus
SADP
(2)
6,952
72,078
202,227
—
Brazil
-
0.1%
Yara
International
ASA
(2)
3,912
137,292
Canada
-
2.6%
Alimentation
Couche-Tard,
Inc.
(a)
510
20,531
AltaGas
Ltd.
395
7,563
ARC
Resources
Ltd.
2,236
26,854
Bank
of
Montreal
69
6,048
Bank
of
Nova
Scotia
(The)
489
23,258
Barrick
Gold
Corp.
(a)
5,936
92,004
Canadian
National
Railway
Co.
(a)
534
57,670
Canadian
Natural
Resources
Ltd.
960
44,687
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
823
87,612
Empire
Co.
Ltd.,
Class
A
(a)
357
8,880
Fairfax
Financial
Holdings
Ltd.
507
231,557
Gildan
Activewear,
Inc.
(a)
465
13,145
iA
Financial
Corp.,
Inc.
178
9,045
Imperial
Oil
Ltd.
9,423
407,999
Loblaw
Cos.
Ltd.
(a)
855
67,702
Manulife
Financial
Corp.
21,882
343,433
National
Bank
of
Canada
149
9,339
Nutrien
Ltd.
(a)
80
6,672
Onex
Corp.
5,835
267,641
Ritchie
Bros
Auctioneers,
Inc.
(a)
1,217
76,041
Shaw
Communications,
Inc.,
Class
B
964
23,441
Suncor
Energy,
Inc.
29,771
838,376
Teck
Resources
Ltd.,
Class
B
8,543
259,812
INVESTMENTS
SHARES
VALUE
($)
Canada
-
2.6%
(continued)
TFI
International,
Inc.
937
84,797
Toromont
Industries
Ltd.
1,601
111,451
West
Fraser
Timber
Co.
Ltd.
7,911
572,300
3,697,858
—
Chile
-
0.1%
Lundin
Mining
Corp.
20,196
102,051
China
-
0.3%
BOC
Hong
Kong
Holdings
Ltd.
(2)
2,000
6,651
NXP
Semiconductors
NV
398
58,709
SITC
International
Holdings
Co.
Ltd.
(2)
119,000
218,239
Wilmar
International
Ltd.
(2)
23,500
62,519
Xinyi
Glass
Holdings
Ltd.
(2)
32,000
46,278
392,396
—
Colombia
-
0.1%
Millicom
International
Cellular
SA,
SDR
(2)*
8,577
98,509
Denmark
-
0.6%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
363
659,654
Genmab
A/S
(2)*
218
70,131
H
Lundbeck
A/S
(2)
2,637
8,452
ISS
A/S
(2)*
3,714
57,256
Pandora
A/S
(2)
243
11,364
806,857
—
Finland
-
0.0%
(b)
Nokia
OYJ
(2)
14,460
62,077
Nordea
Bank
Abp
(2)
1,162
9,945
72,022
—
France
-
1.1%
AXA
SA
(2)
2,898
63,272
BNP
Paribas
SA
(2)
836
35,312
Bouygues
SA
(2)(a)
1,573
41,147
Carrefour
SA
(2)(a)
6,225
86,335
Cie
de
Saint-Gobain
(2)(a)
8,652
309,359
Dassault
Aviation
SA
(2)
756
86,011
Eiffage
SA
(2)
152
12,189
Electricite
de
France
SA
(2)(a)
4,658
54,021
Ipsen
SA
(2)
1,127
104,304
La
Francaise
des
Jeux
SAEM
(2)(c)
523
15,514
Orange
SA
(2)(a)
12,469
112,776
Publicis
Groupe
SA
(2)
790
37,432
Renault
SA
(2)*
817
22,105
Rexel
SA
(2)
6,810
102,060
Rubis
SCA
(2)
3,512
73,085
Sanofi
(2)(a)
836
63,658
Sodexo
SA
(2)(a)
322
24,182
TotalEnergies
SE
(2)(a)
7,313
343,087
1,585,849
—
Germany
-
1.4%
Allianz
SE
(Registered)
(2)
239
37,651
Aurubis
AG
(2)
837
43,695
BASF
SE
(2)(a)
5,869
225,243
Bayer
AG
(Registered)
(2)
4,367
201,208
173
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
1.4%
(continued)
Bayerische
Motoren
Werke
AG
(2)
7,721
523,310
Covestro
AG
(2)(c)
1,515
43,316
Deutsche
Bank
AG
(Registered)
(2)
34,563
255,904
Deutsche
Post
AG
(Registered)
(2)
(a)
4,412
132,976
Freenet
AG
(2)
926
17,549
GEA
Group
AG
(2)
1,433
46,376
HeidelbergCement
AG
(2)
145
5,728
Mercedes-Benz
Group
AG
(2)
115
5,815
METRO
AG
(2)(a)
6,608
46,064
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)
324
77,994
ProSiebenSat.1
Media
SE
(2)
17,893
126,771
SAP
SE
(2)(a)
1,645
134,060
TeamViewer
AG
(2)*(c)
3,223
24,874
thyssenkrupp
AG
(2)*
5,881
24,918
Volkswagen
AG
(Preference)
(2)
481
58,774
2,032,226
—
Hong
Kong
-
0.3%
CK
Asset
Holdings
Ltd.
(2)
1,915
11,496
CLP
Holdings
Ltd.
(2)
2,500
18,894
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
800
27,346
Sun
Hung
Kai
Properties
Ltd.
(2)
15,500
171,063
Swire
Pacific
Ltd.,
Class
A
(2)
12,500
93,432
WH
Group
Ltd.
(2)(c)
74,500
46,856
369,087
—
Italy
-
0.6%
Buzzi
Unicem
SpA
(2)
7,283
103,026
Eni
SpA
(2)
3,058
32,503
Leonardo
SpA
(2)
21,860
154,778
Mediobanca
Banca
di
Credito
Finanziario
SpA
(2)
6,720
52,582
Poste
Italiane
SpA
(2)(c)
793
5,991
UniCredit
SpA
(2)
25,097
254,083
Unipol
Gruppo
SpA
(2)
56,960
221,231
824,194
—
Japan
-
3.7%
AGC,
Inc.
(2)(a)
1,900
59,151
Aisin
Corp.
(2)
800
20,592
Alfresa
Holdings
Corp.
(2)
600
6,993
Amada
Co.
Ltd.
(2)
2,400
16,308
Dai-ichi
Life
Holdings,
Inc.
(2)
23,800
378,427
Fukuoka
Financial
Group,
Inc.
(2)
700
12,466
Haseko
Corp.
(2)(a)
2,100
22,779
Hino
Motors
Ltd.
(2)
33,900
140,156
Hitachi
Transport
System
Ltd.
(2)
200
11,956
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
5,800
78,511
Inpex
Corp.
(2)
1,900
17,721
Japan
Post
Holdings
Co.
Ltd.
(2)
35,900
237,845
Japan
Post
Insurance
Co.
Ltd.
(2)
19,500
273,119
Japan
Tobacco,
Inc.
(2)
2,300
37,795
JFE
Holdings,
Inc.
(2)
28,400
263,706
JTEKT
Corp.
(2)
16,000
101,801
Kajima
Corp.
(2)
8,400
79,620
Kawasaki
Kisen
Kaisha
Ltd.
(2)
7,200
100,392
INVESTMENTS
SHARES
VALUE
($)
Japan
-
3.7%
(continued)
Koito
Manufacturing
Co.
Ltd.
(2)
3,400
46,485
Kuraray
Co.
Ltd.
(2)
8,100
56,629
Kyushu
Electric
Power
Co.,
Inc.
(2)
3,900
20,792
Marubeni
Corp.
(2)(a)
5,800
50,608
Mazda
Motor
Corp.
(2)
37,100
246,350
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)
1,100
14,464
Mitsubishi
HC
Capital,
Inc.
(2)
4,700
20,202
Mitsubishi
Motors
Corp.
(2)*
3,300
11,847
Mitsui
Chemicals,
Inc.
(2)
2,800
54,577
Mitsui
OSK
Lines
Ltd.
(2)
5,100
91,252
Mizuho
Financial
Group,
Inc.
(2)
29,700
321,492
Nabtesco
Corp.
(2)
500
10,228
NGK
Insulators
Ltd.
(2)
800
9,957
NGK
Spark
Plug
Co.
Ltd.
(2)
3,300
58,527
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)
1,500
76,243
Nippon
Steel
Corp.
(2)(a)
34,400
477,411
Nippon
Yusen
KK
(2)
10,500
178,226
Nissan
Motor
Co.
Ltd.
(2)
51,600
166,288
Nitto
Denko
Corp.
(2)
1,100
59,560
Obayashi
Corp.
(2)
20,000
128,359
Osaka
Gas
Co.
Ltd.
(2)
1,700
25,629
Resona
Holdings,
Inc.
(2)
4,200
15,370
Ryohin
Keikaku
Co.
Ltd.
(2)
15,300
128,024
Santen
Pharmaceutical
Co.
Ltd.
(2)
10,000
67,214
SCREEN
Holdings
Co.
Ltd.
(2)
2,000
108,518
Shimamura
Co.
Ltd.
(2)(a)
1,300
110,016
Shimizu
Corp.
(2)
5,500
26,890
Sojitz
Corp.
(2)
6,580
96,409
Subaru
Corp.
(2)
1,600
24,180
Sumitomo
Forestry
Co.
Ltd.
(2)(a)
800
12,178
Sumitomo
Heavy
Industries
Ltd.
(2)
900
16,669
Sumitomo
Metal
Mining
Co.
Ltd.
(2)
600
17,194
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
600
16,633
Sumitomo
Pharma
Co.
Ltd.
(2)
7,200
51,211
Taisei
Corp.
(2)
4,900
135,895
THK
Co.
Ltd.
(2)
1,200
20,718
Tokyo
Century
Corp.
(2)
200
6,399
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
53,700
171,659
Tosoh
Corp.
(2)
8,100
90,277
Toyota
Boshoku
Corp.
(2)
3,800
46,576
Toyota
Tsusho
Corp.
(2)(a)
600
18,585
Yamada
Holdings
Co.
Ltd.
(2)(a)
35,800
117,804
Yamaha
Motor
Co.
Ltd.
(2)
1,100
20,610
Yamato
Holdings
Co.
Ltd.
(2)
800
12,014
5,315,507
—
Luxembourg
-
0.3%
ArcelorMittal
SA
(2)
21,583
429,465
SES
SA,
ADR
(2)
4,843
26,526
455,991
—
Macau
-
0.0%
(b)
Sands
China
Ltd.
(2)*
10,400
25,898
174
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
1.4%
Aegon
NV
(2)
48,242
191,762
ASR
Nederland
NV
(2)
2,447
94,070
ING
Groep
NV
(2)
5,135
43,999
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
4,271
108,789
NN
Group
NV
(2)
3,489
135,701
OCI
NV
(2)
5,580
204,292
Shell
plc
(2)
48,531
1,203,953
1,982,566
—
New
Zealand
-
0.0%
(b)
Xero
Ltd.
(2)*
120
5,553
Nigeria
-
0.0%
(b)
Airtel
Africa
plc
(2)(c)
4,109
5,894
Norway
-
0.1%
Equinor
ASA
(2)(a)
3,541
116,778
Norsk
Hydro
ASA
(2)(a)
5,081
27,264
144,042
—
Panama
-
0.0%
(b)
Copa
Holdings
SA,
Class
A
*
444
29,752
Russia
-
0.0%
Evraz
plc
(3)(d)
27,473
–
Singapore
-
0.1%
STMicroelectronics
NV
(2)
4,556
141,588
South
Africa
-
0.0%
(b)
Anglo
American
plc
(2)
1,972
59,211
Spain
-
0.9%
Acerinox
SA
(2)
17,270
137,338
Banco
de
Sabadell
SA
(2)
101,714
67,829
Banco
Santander
SA
(2)
141,925
330,245
Endesa
SA
(2)
1,602
24,061
Industria
de
Diseno
Textil
SA
(2)(a)
1,745
36,011
Mapfre
SA
(2)
53,625
83,050
Repsol
SA
(2)
54,853
630,276
Siemens
Gamesa
Renewable
Energy
SA
(2)*(a)
188
3,278
1,312,088
—
Sweden
-
0.8%
Husqvarna
AB,
Class
B
(2)
1,066
5,909
Saab
AB,
Class
B
(2)
604
18,819
Skanska
AB,
Class
B
(2)
652
8,115
SSAB
AB,
Class
B
(2)
151,934
647,463
Svenska
Handelsbanken
AB,
Class
A
(2)
22,159
181,903
Swedbank
AB,
Class
A
(2)
8,032
105,426
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
28,530
166,771
Telia
Co.
AB
(2)(a)
9,124
26,278
1,160,684
—
Switzerland
-
0.9%
Barry
Callebaut
AG
(Registered)
(2)
4
7,540
DKSH
Holding
AG
(2)(a)
839
60,875
Holcim
AG
(2)*(a)
645
26,432
Novartis
AG
(Registered)
(2)(a)
13,228
1,008,463
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
0.9%
(continued)
Swiss
Life
Holding
AG
(Registered)
(2)
71
31,369
Temenos
AG
(Registered)
(2)
1,679
113,193
UBS
Group
AG
(Registered)
(2)
5,878
85,278
Zurich
Insurance
Group
AG
(2)
75
29,899
1,363,049
—
United
Kingdom
-
1.3%
abrdn
plc
(2)
9,167
14,023
Associated
British
Foods
plc
(2)
2,420
33,814
Aviva
plc
(2)
34,633
148,535
BAE
Systems
plc
(2)(a)
9,527
83,708
Barclays
plc
(2)
138,223
219,933
BP
plc
(2)(a)
66,090
315,805
British
American
Tobacco
plc
(2)(a)
1,625
58,268
Bunzl
plc
(2)(a)
572
17,476
CK
Hutchison
Holdings
Ltd.
(2)(a)
37,500
206,484
DCC
plc
(2)
2,233
115,966
Direct
Line
Insurance
Group
plc
(2)
4,135
8,531
HSBC
Holdings
plc
(2)(a)
5,324
27,567
IMI
plc
(2)
973
12,032
Imperial
Brands
plc
(2)
3,081
63,354
Inchcape
plc
(2)
12,432
94,135
InterContinental
Hotels
Group
plc
(2)
695
33,472
Kingfisher
plc
(2)
10,181
24,783
Liberty
Global
plc,
Class
C
*
346
5,709
Lloyds
Banking
Group
plc
(2)
87,680
39,630
Man
Group
plc
(2)
30,187
74,745
Marks
&
Spencer
Group
plc
(2)*
35,490
38,713
Royal
Mail
plc
(2)
37,790
76,922
Standard
Chartered
plc
(2)
1,906
11,921
Vodafone
Group
plc
(2)(a)
72,216
80,824
1,806,350
—
United
States
-
33.7%
Abbott
Laboratories
(a)
2,370
229,321
Accenture
plc,
Class
A
(a)
439
112,955
ACI
Worldwide,
Inc.
*
14,415
301,274
Activision
Blizzard,
Inc.
705
52,410
Adient
plc
*
3,381
93,823
Adobe,
Inc.
*(a)
1,291
355,283
Advanced
Micro
Devices,
Inc.
*
2,098
132,929
AES
Corp.
(The)
2,366
53,472
AGCO
Corp.
208
20,003
Alaska
Air
Group,
Inc.
*
3,441
134,715
Albertsons
Cos.,
Inc.,
Class
A
(a)
4,728
117,538
Align
Technology,
Inc.
*(a)
334
69,175
Alleghany
Corp.
*
48
40,290
Allison
Transmission
Holdings,
Inc.
9,370
316,331
Ally
Financial,
Inc.
3,078
85,661
Alphabet,
Inc.,
Class
A
*(a)
8,048
769,791
Alphabet,
Inc.,
Class
C
*(a)
7,228
694,972
Altice
USA,
Inc.,
Class
A
*
4,750
27,693
Altria
Group,
Inc.
475
19,181
Amazon.com,
Inc.
*(a)
10,931
1,235,202
Amdocs
Ltd.
1,430
113,614
American
Express
Co.
434
58,551
American
International
Group,
Inc.
9,312
442,134
American
Tower
Corp.,
REIT
(a)
324
69,563
175
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
Amkor
Technology,
Inc.
8,273
141,055
Antero
Resources
Corp.
*
2,604
79,500
APA
Corp.
10,283
351,576
Apple,
Inc.
17,445
2,410,898
Applied
Materials,
Inc.
1,660
136,004
Arch
Capital
Group
Ltd.
*
1,142
52,007
Archer-Daniels-Midland
Co.
198
15,929
Arrow
Electronics,
Inc.
*
2,059
189,819
Associated
Banc-Corp.
5,613
112,709
AT&T,
Inc.
(a)
7,959
122,091
Autodesk,
Inc.
*(a)
665
124,222
AutoNation,
Inc.
*
3,481
354,609
Avis
Budget
Group,
Inc.
*
699
103,774
Axis
Capital
Holdings
Ltd.
1,096
53,868
Baker
Hughes
Co.
1,283
26,892
Bank
of
America
Corp.
(a)
5,253
158,641
Bank
of
New
York
Mellon
Corp.
(The)
1,382
53,235
Bath
&
Body
Works,
Inc.
(a)
1,075
35,045
Berkshire
Hathaway,
Inc.,
Class
B
*(a)
1,592
425,096
Biogen,
Inc.
*
641
171,147
BJ's
Wholesale
Club
Holdings,
Inc.
*(a)
383
27,886
Booking
Holdings,
Inc.
*(a)
319
524,184
Bread
Financial
Holdings,
Inc.
3,633
114,258
Bright
Horizons
Family
Solutions,
Inc.
*
1,577
90,914
Bristol-Myers
Squibb
Co.
(a)
2,808
199,621
Broadcom,
Inc.
(a)
366
162,508
Brunswick
Corp.
(a)
1,310
85,740
Builders
FirstSource,
Inc.
*
2,569
151,365
BWX
Technologies,
Inc.
3,144
158,363
CACI
International,
Inc.,
Class
A
*(a)
71
18,535
Capital
One
Financial
Corp.
1,683
155,122
Cardinal
Health,
Inc.
(a)
1,104
73,615
Cathay
General
Bancorp
1,416
54,459
Celanese
Corp.
474
42,821
CF
Industries
Holdings,
Inc.
1,612
155,155
ChampionX
Corp.
1,084
21,214
Change
Healthcare,
Inc.
*
326
8,962
Chemours
Co.
(The)
4,688
115,559
Cheniere
Energy,
Inc.
178
29,532
Chesapeake
Energy
Corp.
854
80,455
Chevron
Corp.
(a)
1,048
150,566
Chubb
Ltd.
(a)
858
156,053
Churchill
Downs,
Inc.
33
6,077
Cigna
Corp.
(a)
791
219,479
Cisco
Systems,
Inc.
(a)
9,957
398,280
Citigroup,
Inc.
15,623
651,010
Citizens
Financial
Group,
Inc.
4,309
148,057
Clean
Harbors,
Inc.
*(a)
404
44,432
Cleveland-Cliffs,
Inc.
*
6,780
91,327
CMS
Energy
Corp.
784
45,660
CNO
Financial
Group,
Inc.
15,835
284,555
Coca-Cola
Co.
(The)
(a)
4,731
265,031
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
2,733
156,984
Comcast
Corp.,
Class
A
(a)
6,171
180,995
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
Comerica,
Inc.
1,019
72,451
CommVault
Systems,
Inc.
*
411
21,799
ConocoPhillips
1,258
128,744
Corning,
Inc.
308
8,938
Crane
Holdings
Co.
75
6,566
Crown
Castle,
Inc.,
REIT
311
44,955
CVS
Health
Corp.
(a)
10,001
953,794
Darling
Ingredients,
Inc.
*
1,174
77,660
Datadog,
Inc.,
Class
A
*(a)
2,050
181,999
Dell
Technologies,
Inc.,
Class
C
3,066
104,765
Delta
Air
Lines,
Inc.
*
3,683
103,345
Digital
Realty
Trust,
Inc.,
REIT
191
18,943
Discover
Financial
Services
1,799
163,565
DocuSign,
Inc.
*
638
34,114
Donaldson
Co.,
Inc.
1,860
91,159
Dow,
Inc.
(a)
2,428
106,662
Dropbox,
Inc.,
Class
A
*
2,322
48,112
DuPont
de
Nemours,
Inc.
(a)
1,026
51,710
DXC
Technology
Co.
*
6,973
170,699
Dynatrace,
Inc.
*
1,052
36,620
Eagle
Materials,
Inc.
161
17,256
Elevance
Health,
Inc.
(a)
454
206,225
EMCOR
Group,
Inc.
714
82,453
Emerson
Electric
Co.
(a)
190
13,912
Encompass
Health
Corp.
308
13,931
Enphase
Energy,
Inc.
*
69
19,145
EOG
Resources,
Inc.
2,491
278,319
EQT
Corp.
2,233
90,995
Equinix,
Inc.,
REIT
61
34,699
Evercore,
Inc.,
Class
A
409
33,640
Everest
Re
Group
Ltd.
128
33,592
Expedia
Group,
Inc.
*(a)
5,901
552,865
Exxon
Mobil
Corp.
(a)
7,044
615,012
Fidelity
National
Financial,
Inc.
503
18,209
Fidelity
National
Information
Services,
Inc.
(a)
521
39,372
First
American
Financial
Corp.
1,907
87,913
FirstEnergy
Corp.
7,165
265,105
FleetCor
Technologies,
Inc.
*(a)
139
24,488
FNB
Corp.
4,104
47,606
Ford
Motor
Co.
16,254
182,045
Fortinet,
Inc.
*(a)
222
10,907
Fulton
Financial
Corp.
8,824
139,419
Gartner,
Inc.
*(a)
989
273,646
Gates
Industrial
Corp.
plc
*
5,766
56,276
General
Dynamics
Corp.
(a)
375
79,564
General
Motors
Co.
14,073
451,603
Gilead
Sciences,
Inc.
(a)
11,020
679,824
Global
Payments,
Inc.
(a)
1,589
171,691
GoDaddy,
Inc.,
Class
A
*(a)
1,269
89,947
Goldman
Sachs
Group,
Inc.
(The)
504
147,697
Goodyear
Tire
&
Rubber
Co.
(The)
*
8,663
87,410
Grand
Canyon
Education,
Inc.
*
478
39,316
GSK
plc
(2)
1,808
26,112
H&R
Block,
Inc.
1,211
51,516
Halliburton
Co.
10,295
253,463
Hancock
Whitney
Corp.
423
19,378
Hartford
Financial
Services
Group,
Inc.
(The)
760
47,074
176
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
HCA
Healthcare,
Inc.
(a)
710
130,491
Henry
Schein,
Inc.
*
129
8,484
Hewlett
Packard
Enterprise
Co.
3,573
42,805
HF
Sinclair
Corp.
856
46,087
Home
Depot,
Inc.
(The)
(a)
592
163,356
Horizon
Therapeutics
plc
*
155
9,593
HubSpot,
Inc.
*
597
161,262
Humana,
Inc.
(a)
15
7,278
Huntington
Ingalls
Industries,
Inc.
1,569
347,534
Huntsman
Corp.
7,156
175,608
Hyatt
Hotels
Corp.,
Class
A
*
82
6,639
IAA,
Inc.
*(a)
1,021
32,519
Incyte
Corp.
*
1,997
133,080
Intel
Corp.
(a)
11,836
305,014
International
Bancshares
Corp.
696
29,580
International
Paper
Co.
(a)
1,242
39,371
Intuit,
Inc.
(a)
131
50,739
Invesco
Ltd.
3,573
48,950
IPG
Photonics
Corp.
*
947
79,879
Jabil,
Inc.
895
51,650
Janus
Henderson
Group
plc
1,570
31,887
Jefferies
Financial
Group,
Inc.
1,861
54,900
Johnson
&
Johnson
(a)
91
14,866
JPMorgan
Chase
&
Co.
(a)
6,065
633,793
KB
Home
4,164
107,931
Kennametal,
Inc.
2,587
53,240
Keurig
Dr
Pepper,
Inc.
415
14,865
Knight-Swift
Transportation
Holdings,
Inc.
1,227
60,037
Kraft
Heinz
Co.
(The)
9,693
323,262
Kroger
Co.
(The)
(a)
136
5,950
Laboratory
Corp.
of
America
Holdings
(a)
290
59,395
Lam
Research
Corp.
128
46,848
Lattice
Semiconductor
Corp.
*
206
10,137
Lennar
Corp.,
Class
A
(a)
1,342
100,046
Lennox
International,
Inc.
505
112,448
Light
&
Wonder,
Inc.
*
3,114
133,528
Lincoln
National
Corp.
7,751
340,346
Lithia
Motors,
Inc.,
Class
A
97
20,811
Lockheed
Martin
Corp.
(a)
790
305,169
Louisiana-Pacific
Corp.
1,479
75,710
Lumen
Technologies,
Inc.
907
6,603
LyondellBasell
Industries
NV,
Class
A
6,850
515,668
Macy's,
Inc.
536
8,399
Manhattan
Associates,
Inc.
*
46
6,119
ManpowerGroup,
Inc.
(a)
3,796
245,563
Marathon
Oil
Corp.
11,207
253,054
Marathon
Petroleum
Corp.
1,596
158,531
Markel
Corp.
*
51
55,295
Marriott
Vacations
Worldwide
Corp.
182
22,179
Mastercard,
Inc.,
Class
A
(a)
500
142,170
Mattel,
Inc.
*
10,572
200,234
Maximus,
Inc.
176
10,185
Medtronic
plc
(a)
2,798
225,939
Merck
&
Co.,
Inc.
(a)
3,765
324,242
Meta
Platforms,
Inc.,
Class
A
*
6,371
864,416
MetLife,
Inc.
1,048
63,697
Microchip
Technology,
Inc.
1,787
109,061
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
Micron
Technology,
Inc.
1,928
96,593
Microsoft
Corp.
(a)
9,860
2,296,393
MKS
Instruments,
Inc.
147
12,148
Moderna,
Inc.
*
446
52,740
Mohawk
Industries,
Inc.
*(a)
436
39,759
Molina
Healthcare,
Inc.
*(a)
357
117,753
Mondelez
International,
Inc.,
Class
A
(a)
486
26,647
MongoDB,
Inc.
*
113
22,437
Mosaic
Co.
(The)
6,710
324,294
Murphy
Oil
Corp.
4,150
145,956
Navient
Corp.
10,297
151,263
NCR
Corp.
*
1,814
34,484
Netflix,
Inc.
*(a)
615
144,796
Nielsen
Holdings
plc
(a)
2,707
75,038
NRG
Energy,
Inc.
7,204
275,697
Occidental
Petroleum
Corp.
1,578
96,968
Old
Republic
International
Corp.
5,308
111,096
Olin
Corp.
729
31,260
OneMain
Holdings,
Inc.
1,182
34,893
Option
Care
Health,
Inc.
*
201
6,325
Oracle
Corp.
(a)
1,711
104,491
Ovintiv,
Inc.
3,650
167,900
Owens
Corning
3,327
261,535
PACCAR,
Inc.
(a)
1,000
83,690
PacWest
Bancorp
2,860
64,636
Paycom
Software,
Inc.
*(a)
108
35,639
PDC
Energy,
Inc.
3,934
227,346
Pegasystems,
Inc.
532
17,098
Penske
Automotive
Group,
Inc.
(a)
661
65,062
PepsiCo,
Inc.
(a)
515
84,079
Pfizer,
Inc.
(a)
12,102
529,584
Philip
Morris
International,
Inc.
(a)
989
82,097
Phillips
66
2,108
170,158
Pilgrim's
Pride
Corp.
*
1,300
29,926
Pioneer
Natural
Resources
Co.
246
53,266
Playtika
Holding
Corp.
*
11,347
106,548
Popular,
Inc.
2,229
160,622
Prologis,
Inc.,
REIT
514
52,222
Prudential
Financial,
Inc.
711
60,990
Public
Storage,
REIT
111
32,502
PulteGroup,
Inc.
(a)
4,516
169,350
Pure
Storage,
Inc.,
Class
A
*
2,308
63,170
PVH
Corp.
3,974
178,035
Qorvo,
Inc.
*
838
66,546
QUALCOMM,
Inc.
(a)
2,423
273,751
QuidelOrtho
Corp.
*
84
6,004
Range
Resources
Corp.
2,412
60,927
Raytheon
Technologies
Corp.
(a)
980
80,223
Reinsurance
Group
of
America,
Inc.
105
13,210
RingCentral,
Inc.,
Class
A
*
7,223
288,631
Roche
Holding
AG
(2)(a)
576
187,507
Salesforce,
Inc.
*(a)
2,346
337,449
Schlumberger
NV
6,463
232,022
Schneider
National,
Inc.,
Class
B
5,719
116,096
Science
Applications
International
Corp.
(a)
504
44,569
Sealed
Air
Corp.
199
8,857
Sempra
Energy
903
135,396
Semtech
Corp.
*
5,740
168,813
177
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
Sensata
Technologies
Holding
plc
2,577
96,071
ServiceNow,
Inc.
*(a)
227
85,717
Signature
Bank
174
26,274
Signify
NV
(2)(c)
322
8,287
Simon
Property
Group,
Inc.,
REIT
376
33,746
SiTime
Corp.
*
673
52,985
Southwest
Airlines
Co.
*
3,109
95,882
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
839
18,391
SS&C
Technologies
Holdings,
Inc.
(a)
4,409
210,530
Starbucks
Corp.
(a)
1,240
104,482
State
Street
Corp.
853
51,871
Steel
Dynamics,
Inc.
3,062
217,249
Stellantis
NV
(2)
39,707
469,037
Stifel
Financial
Corp.
962
49,937
Swiss
Re
AG
(2)
1,091
80,466
Synchrony
Financial
2,197
61,933
Syneos
Health,
Inc.
*
925
43,614
Taylor
Morrison
Home
Corp.,
Class
A
*
7,562
176,346
Tenet
Healthcare
Corp.
*
4,350
224,373
Teradata
Corp.
*
570
17,704
Terex
Corp.
2,120
63,049
Tesla,
Inc.
*(a)
4,038
1,071,079
Texas
Roadhouse,
Inc.
519
45,288
Textron,
Inc.
(a)
8,034
468,061
Toll
Brothers,
Inc.
(a)
6,039
253,638
TransDigm
Group,
Inc.
(a)
12
6,298
Travel
+
Leisure
Co.
6,176
210,725
Tyson
Foods,
Inc.,
Class
A
5,909
389,580
Ulta
Beauty,
Inc.
*(a)
459
184,146
UMB
Financial
Corp.
234
19,724
Umpqua
Holdings
Corp.
5,212
89,073
United
Airlines
Holdings,
Inc.
*
1,660
54,000
United
States
Steel
Corp.
5,718
103,610
United
Therapeutics
Corp.
*
59
12,353
Univar
Solutions,
Inc.
*
3,923
89,209
Universal
Display
Corp.
980
92,463
Universal
Health
Services,
Inc.,
Class
B
303
26,719
Unum
Group
2,987
115,896
US
Foods
Holding
Corp.
*(a)
732
19,354
Vail
Resorts,
Inc.
1,087
234,401
Valero
Energy
Corp.
1,766
188,697
Veeva
Systems,
Inc.,
Class
A
*(a)
42
6,925
VeriSign,
Inc.
*(a)
393
68,264
Verizon
Communications,
Inc.
(a)
1,666
63,258
Vertiv
Holdings
Co.
4,028
39,152
Viatris,
Inc.
28,929
246,475
Vicor
Corp.
*
1,220
72,151
Virtu
Financial,
Inc.,
Class
A
9,773
202,985
Vishay
Intertechnology,
Inc.
7,562
134,528
VMware,
Inc.,
Class
A
(a)
248
26,402
Vontier
Corp.
1,800
30,078
Walgreens
Boots
Alliance,
Inc.
(a)
862
27,067
Warner
Bros
Discovery,
Inc.
*
4,664
53,636
Washington
Federal,
Inc.
466
13,971
Wells
Fargo
&
Co.
(a)
13,608
547,314
Western
Digital
Corp.
*
4,305
140,128
INVESTMENTS
SHARES
VALUE
($)
United
States
-
33.7%
(continued)
Western
Union
Co.
(The)
2,772
37,422
Westlake
Corp.
852
74,022
Westrock
Co.
7,294
225,312
WEX,
Inc.
*
421
53,442
Whirlpool
Corp.
(a)
43
5,797
Williams-Sonoma,
Inc.
(a)
729
85,913
Wintrust
Financial
Corp.
2,339
190,745
Workday,
Inc.,
Class
A
*(a)
1,588
241,725
Wyndham
Hotels
&
Resorts,
Inc.
126
7,730
XPO
Logistics,
Inc.
*
977
43,496
YETI
Holdings,
Inc.
*
287
8,185
Yum!
Brands,
Inc.
(a)
952
101,236
Zendesk,
Inc.
*
622
47,334
Zions
Bancorp
NA
1,942
98,770
Zoom
Video
Communications,
Inc.,
Class
A
*(a)
649
47,760
48,747,408
—
TOTAL
COMMON
STOCKS
(Cost
$81,513,462)
75,055,282
PRINCIPAL
AMOUNT
FOREIGN
GOVERNMENT
SECURITIES
-
6.9%
Federal
Republic
of
Germany
0.50%,
4/15/2030
(2)(e)(f)
EUR
1,700,000
2,045,749
0.10%,
4/15/2033
(2)(e)(f)
700,000
767,902
French
Republic
1.85%,
7/25/2027
(2)(e)(f)
6,452
8,600
0.70%,
7/25/2030
(2)(e)(f)
2,200,000
2,617,699
0.10%,
7/25/2031
(2)(e)(f)
1,500,000
1,602,713
United
Kingdom
Gilt
Inflation
Linked
0.13%,
8/10/2028
(2)(e)(f)
GBP
400,000
547,118
0.13%,
8/10/2031
(2)(e)(f)
300,000
397,135
1.25%,
11/22/2032
(2)(e)(f)
500,000
982,881
0.75%,
3/22/2034
(2)(e)(f)
600,000
1,055,290
Cost:
$12,075,532
$–
TOTAL
FOREIGN
GOVERNMENT
SECURITIES
(Cost
$12,075,532)
10,025,087
U.S.
TREASURY
OBLIGATIONS
-
5.0%
U.S.
Treasury
Inflation
Linked
Notes
0.13%,
7/15/2030
(2)
$
1,600,000
1,627,805
0.13%,
1/15/2031
(2)
1,700,000
1,690,243
0.13%,
7/15/2031
(2)
1,900,000
1,831,259
0.13%,
1/15/2032
(2)
2,200,000
2,032,752
Cost:
$8,038,930
$–
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$8,038,930)
7,182,059
SHARES
SHORT-TERM
INVESTMENTS
-
39.3%
INVESTMENT
COMPANIES
-
20.8%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(g)(h)
2,531,354
2,531,354
Limited
Purpose
Cash
Investment
Fund,
2.57%
(g)
27,622,632
27,608,821
TOTAL
INVESTMENT
COMPANIES
(Cost
$30,130,852)
30,140,175
—
—
178
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
18.5%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(2)(i)
$
1,178,000
1,177,759
1.26%,
10/20/2022
(2)(i)
756,000
755,088
1.38%,
10/27/2022
(2)(i)
713,000
711,777
1.39%,
11/10/2022
(2)(i)
6,069,000
6,051,679
1.50%,
11/17/2022
(2)(i)
6,856,000
6,831,577
2.53%,
12/29/2022
(2)(i)
1,045,000
1,036,915
2.53%,
1/5/2023
(2)(i)
394,000
390,666
3.09%,
2/9/2023
(2)(i)
1,131,000
1,116,607
3.07%,
2/16/2023
(2)(i)
1,050,000
1,036,027
3.16%,
2/23/2023
(2)(i)
166,000
163,669
3.29%,
3/2/2023
(2)(i)
1,382,000
1,360,761
3.38%,
3/9/2023
(2)(i)
6,126,000
6,026,505
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$26,697,402)
26,659,030
—
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$56,828,254)
56,799,205
TOTAL
LONG
POSITIONS
(Cost
$158,456,178)
149,061,633
SHARES
SHORT
POSITIONS
-
(12.1)%
COMMON
STOCKS
-
(12.1)%
Australia
-
(0.5)%
Cleanaway
Waste
Management
Ltd.
(2)
(3,463)
(6,037)
Domino's
Pizza
Enterprises
Ltd.
(2)
(864)
(28,466)
Evolution
Mining
Ltd.
(2)
(38,008)
(49,584)
IDP
Education
Ltd.
(2)
(5,786)
(97,196)
Lendlease
Corp.
Ltd.
(2)
(1,798)
(10,279)
Lynas
Rare
Earths
Ltd.
(2)
(47,086)
(227,070)
Mineral
Resources
Ltd.
(2)
(1,043)
(43,779)
OZ
Minerals
Ltd.
(2)
(5,431)
(89,847)
Pro
Medicus
Ltd.
(2)
(1,037)
(33,113)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(2)
(1,474)
(25,341)
Worley
Ltd.
(2)
(5,123)
(41,766)
(652,478)
—
Austria
–
(0.0)%
(b)
ams-OSRAM
AG
(2)
(4,636)
(28,858)
Canada
-
(1.0)%
BlackBerry
Ltd.
(50,688)
(238,881)
Brookfield
Asset
Management,
Inc.,
Class
A
(186)
(7,609)
CAE,
Inc.
(585)
(8,974)
Cameco
Corp.
(22,737)
(603,424)
Canadian
Pacific
Railway
Ltd.
(903)
(60,278)
Constellation
Software,
Inc.
(171)
(237,939)
Dollarama,
Inc.
(2,010)
(115,389)
Franco-Nevada
Corp.
(202)
(24,129)
GFL
Environmental,
Inc.
(243)
(6,141)
Lightspeed
Commerce,
Inc.
(6,936)
(122,065)
Pan
American
Silver
Corp.
(4,107)
(65,291)
Shopify,
Inc.,
Class
A
(200)
(5,385)
(1,495,505)
—
INVESTMENTS
SHARES
VALUE
($)
Chile
–
(0.0)%
(b)
Antofagasta
plc
(2)
(3,169)
(38,832)
China
-
(0.1)%
Prosus
NV
(2)
(1,523)
(79,237)
Denmark
-
(0.2)%
Coloplast
A/S,
Class
B
(2)
(939)
(95,425)
SimCorp
A/S
(2)
(917)
(51,610)
Vestas
Wind
Systems
A/S
(2)
(10,894)
(200,590)
(347,625)
—
Faroe
Islands
–
(0.0)%
(b)
Bakkafrost
P/F
(2)
(980)
(39,004)
France
-
(0.7)%
Adevinta
ASA
(2)
(16,784)
(99,994)
Aeroports
de
Paris
(2)
(996)
(115,098)
Alstom
SA
(2)
(5,583)
(90,309)
EssilorLuxottica
SA
(2)
(250)
(33,981)
Gaztransport
Et
Technigaz
SA
(2)
(178)
(19,627)
Hermes
International
(2)
(192)
(225,816)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(251)
(147,983)
SOITEC
(2)
(557)
(63,601)
Valeo
(2)
(4,592)
(69,384)
Worldline
SA
(2)(c)
(5,072)
(200,474)
(1,066,267)
—
Germany
-
(0.2)%
Carl
Zeiss
Meditec
AG
(2)
(342)
(35,525)
Evotec
SE
(2)
(2,441)
(42,439)
Puma
SE
(2)
(154)
(7,124)
Rheinmetall
AG
(2)
(84)
(12,933)
Sartorius
AG
(Preference)
(2)
(204)
(70,564)
Zalando
SE
(2)(c)
(2,711)
(52,954)
(221,539)
—
Italy
-
(0.4)%
DiaSorin
SpA
(2)
(983)
(109,696)
Ferrari
NV
(2)
(1,418)
(262,593)
Nexi
SpA
(2)(c)
(22,842)
(184,520)
Reply
SpA
(2)
(94)
(9,791)
Telecom
Italia
SpA
(2)
(429,739)
(79,488)
(646,088)
—
Japan
-
(1.2)%
Aeon
Co.
Ltd.
(2)
(3,300)
(61,623)
Asahi
Intecc
Co.
Ltd.
(2)
(500)
(7,974)
Azbil
Corp.
(2)
(400)
(10,427)
BayCurrent
Consulting,
Inc.
(2)
(500)
(129,717)
Capcom
Co.
Ltd.
(2)
(1,800)
(45,319)
Daiichi
Sankyo
Co.
Ltd.
(2)
(1,000)
(27,951)
East
Japan
Railway
Co.
(2)
(600)
(30,771)
Fast
Retailing
Co.
Ltd.
(2)
(100)
(52,994)
Japan
Airlines
Co.
Ltd.
(2)
(500)
(8,954)
Japan
Airport
Terminal
Co.
Ltd.
(2)
(300)
(12,538)
JSR
Corp.
(2)
(3,000)
(56,888)
Kobe
Bussan
Co.
Ltd.
(2)
(11,100)
(267,036)
Lasertec
Corp.
(2)
(1,300)
(130,757)
MonotaRO
Co.
Ltd.
(2)
(11,700)
(179,535)
Nexon
Co.
Ltd.
(2)
(4,900)
(86,572)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(8,300)
(56,066)
179
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(1.2)%
(continued)
Obic
Co.
Ltd.
(2)
(1,000)
(134,094)
Olympus
Corp.
(2)
(2,500)
(48,094)
Pan
Pacific
International
Holdings
Corp.
(2)
(4,100)
(72,327)
Rakuten
Group,
Inc.
(2)
(4,000)
(17,118)
Terumo
Corp.
(2)
(2,000)
(56,220)
TIS,
Inc.
(2)
(3,000)
(79,649)
Tokyo
Electron
Ltd.
(2)
(500)
(123,197)
Trend
Micro,
Inc.
(2)
(800)
(43,090)
Yaskawa
Electric
Corp.
(2)
(1,500)
(43,167)
Z
Holdings
Corp.
(2)
(5,700)
(15,109)
(1,797,187)
—
Netherlands
-
(0.2)%
Adyen
NV
(2)(c)
(7)
(8,730)
Argenx
SE
(2)
(632)
(224,915)
ASM
International
NV
(2)
(124)
(27,764)
Koninklijke
DSM
NV
(2)
(819)
(93,194)
(354,603)
—
Norway
-
(0.1)%
Kongsberg
Gruppen
ASA
(2)
(1,839)
(55,809)
Salmar
ASA
(2)
(416)
(14,022)
Schibsted
ASA,
Class
A
(2)
(870)
(11,740)
(81,571)
—
South
Korea
-
(0.1)%
Delivery
Hero
SE
(2)(c)
(4,814)
(175,842)
Spain
-
(0.4)%
Acciona
SA
(2)
(33)
(5,800)
ACS
Actividades
de
Construccion
y
Servicios
SA
(2)
(899)
(20,200)
Amadeus
IT
Group
SA
(2)
(2,685)
(124,484)
CaixaBank
SA
(2)
(23,598)
(76,006)
Cellnex
Telecom
SA
(2)(c)
(9,853)
(303,931)
(530,421)
—
Sweden
-
(0.3)%
Beijer
Ref
AB
(2)
(2,902)
(35,684)
EQT
AB
(2)
(4,731)
(91,413)
Hexagon
AB,
Class
B
(2)
(14,778)
(138,014)
Nibe
Industrier
AB,
Class
B
(2)
(14,560)
(129,878)
(394,989)
—
Switzerland
-
(0.4)%
Bachem
Holding
AG,
Class
B
(2)
(3,132)
(196,979)
Givaudan
SA
(Registered)
(2)
(11)
(33,231)
SIG
Group
AG
(2)
(8,691)
(176,463)
Sika
AG
(Registered)
(2)
(87)
(17,486)
Tecan
Group
AG
(Registered)
(2)
(323)
(110,803)
(534,962)
—
United
Kingdom
-
(0.4)%
AVEVA
Group
plc
(2)
(3,712)
(128,072)
B&M
European
Value
Retail
SA
(2)
(6,448)
(21,931)
ConvaTec
Group
plc
(2)(c)
(19,418)
(44,129)
Informa
plc
(2)
(5,413)
(30,940)
Ocado
Group
plc
(2)
(17,969)
(93,250)
Rolls-Royce
Holdings
plc
(2)
(163,283)
(125,051)
St
James's
Place
plc
(2)
(2,357)
(26,842)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
(0.4)%
(continued)
Subsea
7
SA
(2)
(2,209)
(17,448)
WH
Smith
plc
(2)
(2,299)
(30,311)
(517,974)
—
United
States
-
(5.8)%
Advanced
Drainage
Systems,
Inc.
(294)
(36,565)
Affirm
Holdings,
Inc.
(8,483)
(159,141)
agilon
health,
Inc.
(10,939)
(256,190)
AppLovin
Corp.,
Class
A
(332)
(6,471)
Aspen
Technology,
Inc.
(103)
(24,535)
Azenta,
Inc.
(2,125)
(91,078)
Bentley
Systems,
Inc.,
Class
B
(5,424)
(165,920)
Bill.com
Holdings,
Inc.
(839)
(111,058)
Brookfield
Renewable
Corp.
(1,172)
(38,299)
BRP,
Inc.
(538)
(33,140)
Cable
One,
Inc.
(72)
(61,420)
CarMax,
Inc.
(494)
(32,614)
Chart
Industries,
Inc.
(1,806)
(332,935)
Chewy,
Inc.,
Class
A
(247)
(7,588)
Clarivate
plc
(6,068)
(56,979)
Commerce
Bancshares,
Inc.
(496)
(32,815)
Confluent,
Inc.,
Class
A
(4,385)
(104,231)
Crocs,
Inc.
(551)
(37,832)
DoorDash,
Inc.,
Class
A
(140)
(6,923)
DoubleVerify
Holdings,
Inc.
(237)
(6,482)
DraftKings,
Inc.,
Class
A
(15,198)
(230,097)
Dun
&
Bradstreet
Holdings,
Inc.
(2,288)
(28,348)
EPAM
Systems,
Inc.
(100)
(36,219)
Etsy,
Inc.
(1,603)
(160,508)
First
Financial
Bankshares,
Inc.
(4,327)
(180,998)
First
Solar,
Inc.
(675)
(89,282)
Five
Below,
Inc.
(45)
(6,195)
Five9,
Inc.
(1,478)
(110,820)
Floor
&
Decor
Holdings,
Inc.,
Class
A
(380)
(26,699)
Fox
Factory
Holding
Corp.
(174)
(13,760)
Freshpet,
Inc.
(1,630)
(81,647)
FTI
Consulting,
Inc.
(438)
(72,581)
GameStop
Corp.,
Class
A
(4,931)
(123,916)
Glacier
Bancorp,
Inc.
(448)
(22,010)
Graphic
Packaging
Holding
Co.
(1,959)
(38,671)
Grocery
Outlet
Holding
Corp.
(3,477)
(115,749)
Haemonetics
Corp.
(297)
(21,987)
Hanesbrands,
Inc.
(2,414)
(16,801)
HealthEquity,
Inc.
(1,688)
(113,383)
Hormel
Foods
Corp.
(344)
(15,631)
IAC,
Inc.
(1,080)
(59,810)
ICU
Medical,
Inc.
(41)
(6,175)
Illumina,
Inc.
(286)
(54,566)
Inari
Medical,
Inc.
(3,020)
(219,373)
Ingersoll
Rand,
Inc.
(1,604)
(69,389)
Insulet
Corp.
(909)
(208,525)
Ionis
Pharmaceuticals,
Inc.
(992)
(43,876)
Jamf
Holding
Corp.
(3,224)
(71,444)
Kinsale
Capital
Group,
Inc.
(30)
(7,663)
Kohl's
Corp.
(559)
(14,059)
Las
Vegas
Sands
Corp.
(824)
(30,916)
Leslie's,
Inc.
(452)
(6,649)
M&T
Bank
Corp.
(243)
(42,846)
McCormick
&
Co.,
Inc.
(Non-Voting)
(443)
(31,573)
180
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(5.8)%
(continued)
MillerKnoll,
Inc.
(3,865)
(60,294)
Mirati
Therapeutics,
Inc.
(2,218)
(154,905)
Mister
Car
Wash,
Inc.
(9,245)
(79,322)
MP
Materials
Corp.
(7,127)
(194,567)
Natera,
Inc.
(612)
(26,818)
nCino,
Inc.
(6,447)
(219,907)
Norwegian
Cruise
Line
Holdings
Ltd.
(1,511)
(17,165)
Novocure
Ltd.
(2,797)
(212,516)
Oak
Street
Health,
Inc.
(3,583)
(87,855)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(2,415)
(124,614)
Palantir
Technologies,
Inc.,
Class
A
(10,432)
(84,812)
Palo
Alto
Networks,
Inc.
(324)
(53,068)
Papa
John's
International,
Inc.
(1,256)
(87,933)
Paramount
Global,
Class
B
(1,544)
(29,398)
Peloton
Interactive,
Inc.,
Class
A
(14,839)
(102,834)
Penn
Entertainment,
Inc.
(525)
(14,443)
PerkinElmer,
Inc.
(798)
(96,023)
Petco
Health
&
Wellness
Co.,
Inc.
(3,594)
(40,109)
Pinterest,
Inc.,
Class
A
(3,406)
(79,360)
Plug
Power,
Inc.
(5,867)
(123,266)
Pool
Corp.
(147)
(46,777)
Quanta
Services,
Inc.
(771)
(98,218)
QuantumScape
Corp.
(658)
(5,534)
Regal
Rexnord
Corp.
(626)
(87,865)
Repligen
Corp.
(958)
(179,251)
ROBLOX
Corp.,
Class
A
(7,027)
(251,847)
RPM
International,
Inc.
(488)
(40,655)
Schneider
Electric
SE
(2)
(187)
(21,122)
Scotts
Miracle-Gro
Co.
(The)
(324)
(13,851)
Shift4
Payments,
Inc.,
Class
A
(2,298)
(102,514)
Sinch
AB
(2)(c)
(19,638)
(26,034)
SiteOne
Landscape
Supply,
Inc.
(202)
(21,036)
Six
Flags
Entertainment
Corp.
(1,694)
(29,984)
Snowflake,
Inc.,
Class
A
(176)
(29,913)
SolarEdge
Technologies,
Inc.
(211)
(48,838)
Sotera
Health
Co.
(1,608)
(10,967)
STERIS
plc
(389)
(64,683)
SVB
Financial
Group
(547)
(183,672)
Switch,
Inc.,
Class
A
(3,958)
(133,345)
Take-Two
Interactive
Software,
Inc.
(118)
(12,862)
Teladoc
Health,
Inc.
(3,725)
(94,429)
Teledyne
Technologies,
Inc.
(25)
(8,437)
TopBuild
Corp.
(140)
(23,069)
Topgolf
Callaway
Brands
Corp.
(4,588)
(88,365)
Trex
Co.,
Inc.
(170)
(7,470)
Twitter,
Inc.
(1,220)
(53,485)
UiPath,
Inc.,
Class
A
(9,926)
(125,167)
Unity
Software,
Inc.
(6,630)
(211,232)
Viasat,
Inc.
(774)
(23,398)
Wayfair,
Inc.,
Class
A
(508)
(16,535)
Wingstop,
Inc.
(180)
(22,576)
Wolfspeed,
Inc.
(894)
(92,404)
World
Wrestling
Entertainment,
Inc.,
Class
A
(627)
(43,997)
Wynn
Resorts
Ltd.
(1,017)
(64,102)
ZoomInfo
Technologies,
Inc.,
Class
A
(3,189)
(132,854)
(8,280,079)
—
INVESTMENTS
SHARES
VALUE
($)
Zambia
-
(0.1)%
First
Quantum
Minerals
Ltd.
(12,377)
(210,114)
TOTAL
COMMON
STOCKS
(Proceeds
$(21,809,743))
(17,493,175)
TOTAL
SHORT
POSITIONS
(Proceeds
$(21,809,743))
(17,493,175)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
91.1%
(Cost
$136,646,435)
131,568,458
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
8.9%
(j)
12,834,933
NET
ASSETS
-
100.0%
144,403,391
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,322,873
1.6
%
Consumer
Discretionary
7,588,152
5.3
Consumer
Staples
1,565,546
1.1
Energy
7,177,611
5.0
Financials
11,910,966
8.2
Foreign
Government
Securities
10,025,087
6.9
Health
Care
3,833,530
2.6
Industrials
6,246,615
4.3
Information
Technology
8,771,330
6.1
Materials
6,460,904
4.5
Real
Estate
552,342
0.4
Utilities
1,132,238
0.8
Investment
Companies
30,140,175
20.8
U.S.
Treasury
Obligations
33,841,089
23.5
Total
Investments
In
Securities
At
Value
131,568,458
91.1
Other
Assets
in
Excess
of
Liabilities
(j)
12,834,933
8.9
Net
Assets
$
144,403,391
100.0%
181
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$19,123,630.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$(845,882),
which
represents
(0.59)%
of
net
assets
of
the
fund.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
fund.
(e)
Inflation
protected
security.
(f)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
September
30,
2022,
the
value
of
these
securities
amounted
to
$10,025,087
or
6.94%
of
net
assets.
(g)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(h)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(i)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(j)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security.
(3)
Level
3
security.
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cotton
No.
2
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
11/11/2022
USD
(42,670)
$
9,495
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
11/25/2022
USD
40,300
90
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
80,600
153
Swiss
Market
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
12/16/2022
CHF
(2,564,750)
181,889
191,627
Cotton
No.
2
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
11/11/2022
USD
42,670
(23,320)
Soybean
Meal
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
(80,600)
(1,860)
Soybean
Meal
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
11/25/2022
USD
(40,300)
(860)
(26,040)
$
165,587
182
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
1
10/2022
USD
$
53,894
$
(6,572)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,731
(7,322)
LME
Aluminum
Base
Metal
1
10/2022
USD
53,694
(6,959)
LME
Aluminum
Base
Metal
4
10/2022
USD
216,362
(21,850)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
7,851
LME
Copper
Base
Metal
1
10/2022
USD
191,981
6,931
LME
Zinc
Base
Metal
1
10/2022
USD
75,460
944
LME
Zinc
Base
Metal
1
10/2022
USD
75,413
(1,951)
LME
Zinc
Base
Metal
1
10/2022
USD
75,394
(114)
RBOB
Gasoline
3
10/2022
USD
298,595
(3,092)
Brent
Crude
Oil
74
11/2022
USD
6,180,480
(58,546)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,877
(6,201)
LME
Aluminum
Base
Metal
1
11/2022
USD
53,813
(7,827)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,613
(13,143)
LME
Aluminum
Base
Metal
2
11/2022
USD
107,636
(12,382)
LME
Aluminum
Base
Metal
5
11/2022
USD
269,735
(31,580)
LME
Copper
Base
Metal
1
11/2022
USD
190,202
(4,867)
LME
Copper
Base
Metal
1
11/2022
USD
190,414
(11,982)
LME
Copper
Base
Metal
1
11/2022
USD
190,625
(9,330)
LME
Copper
Base
Metal
2
11/2022
USD
380,688
(26,964)
LME
Nickel
Base
Metal
1
11/2022
USD
126,254
(9,304)
LME
Zinc
Base
Metal
1
11/2022
USD
74,913
(12,628)
LME
Zinc
Base
Metal
1
11/2022
USD
75,325
(7,053)
LME
Zinc
Base
Metal
1
11/2022
USD
74,894
(11,659)
LME
Zinc
Base
Metal
1
11/2022
USD
75,300
(10,953)
LME
Zinc
Base
Metal
1
11/2022
USD
74,988
(14,765)
LME
Zinc
Base
Metal
2
11/2022
USD
150,450
(30,068)
Low
Sulphur
Gasoil
6
11/2022
USD
565,050
(43,439)
Natural
Gas
4
11/2022
USD
282,600
(54,348)
RBOB
Gasoline
6
11/2022
USD
574,283
(2,071)
Soybean
38
11/2022
USD
2,593,025
(203,333)
Australia
10
Year
Bond
51
12/2022
AUD
3,822,066
(89,872)
Australia
3
Year
Bond
31
12/2022
AUD
2,115,361
(19,417)
Coffee
'C'
10
12/2022
USD
830,813
43,711
Corn
45
12/2022
USD
1,524,375
138,224
Cotton
No.
2
13
12/2022
USD
554,710
(113,640)
Euro-Bobl
194
12/2022
EUR
22,730,005
(570,073)
Euro-BTP
31
12/2022
EUR
3,411,848
(168,820)
Euro-Bund
159
12/2022
EUR
21,557,238
(894,402)
Euro-Buxl
4
12/2022
EUR
573,996
(65,278)
Euro-OAT
36
12/2022
EUR
4,657,198
(243,121)
Euro-Schatz
76
12/2022
EUR
7,975,353
(73,963)
FTSE/MIB
Index
33
12/2022
EUR
3,319,709
(249,743)
Japan
10
Year
Bond
27
12/2022
JPY
27,703,309
(5,038)
KC
HRW
Wheat
3
12/2022
USD
148,725
15,245
Lean
Hogs
5
12/2022
USD
152,450
(14,662)
Live
Cattle
31
12/2022
USD
1,823,420
(46,449)
LME
Aluminum
Base
Metal
2
12/2022
USD
108,078
(7,378)
LME
Aluminum
Base
Metal
3
12/2022
USD
162,029
(6,730)
LME
Aluminum
Base
Metal
4
12/2022
USD
216,141
(14,471)
LME
Aluminum
Base
Metal
4
12/2022
USD
215,825
(14,962)
LME
Aluminum
Base
Metal
4
12/2022
USD
216,100
(14,287)
LME
Aluminum
Base
Metal
4
12/2022
USD
216,069
(10,543)
183
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
8
12/2022
USD
$
432,200
$
(44,336)
LME
Copper
Base
Metal
1
12/2022
USD
189,871
(8,467)
LME
Copper
Base
Metal
1
12/2022
USD
189,053
550
LME
Copper
Base
Metal
1
12/2022
USD
189,000
(1,584)
LME
Copper
Base
Metal
1
12/2022
USD
189,581
(4,046)
LME
Copper
Base
Metal
1
12/2022
USD
190,155
(1,183)
LME
Copper
Base
Metal
2
12/2022
USD
378,046
6,028
LME
Copper
Base
Metal
2
12/2022
USD
379,931
(1,901)
LME
Copper
Base
Metal
16
12/2022
USD
3,031,600
(38,111)
LME
Lead
Base
Metal
3
12/2022
USD
143,250
(1,258)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(15,889)
LME
Nickel
Base
Metal
2
12/2022
USD
253,104
(32,757)
LME
Zinc
Base
Metal
1
12/2022
USD
74,813
(7,190)
LME
Zinc
Base
Metal
1
12/2022
USD
74,644
(2,997)
LME
Zinc
Base
Metal
1
12/2022
USD
74,763
(5,353)
LME
Zinc
Base
Metal
3
12/2022
USD
224,333
(9,476)
LME
Zinc
Base
Metal
27
12/2022
USD
2,013,525
11,845
Low
Sulphur
Gasoil
6
12/2022
USD
541,350
(7,796)
Silver
8
12/2022
USD
761,560
209
Soybean
Meal
46
12/2022
USD
1,853,800
4,232
Soybean
Oil
17
12/2022
USD
627,912
(106,553)
SPI
200
Index
21
12/2022
AUD
2,171,388
(128,151)
TOPIX
Index
43
12/2022
JPY
5,454,847
(219,707)
U.S.
Treasury
10
Year
Note
6
12/2022
USD
672,375
711
U.S.
Treasury
2
Year
Note
84
12/2022
USD
17,246,906
(280,628)
U.S.
Treasury
Long
Bond
41
12/2022
USD
5,187,781
(350,248)
U.S.
Treasury
Ultra
Bond
13
12/2022
USD
1,776,938
(161,326)
Feeder
Cattle
1
1/2023
USD
87,838
(4,200)
Sugar
No.
11
49
2/2023
USD
970,278
(7,532)
(4,457,360)
Short
Contracts
Amsterdam
Exchange
Index
(21)
10/2022
EUR
(2,637,050)
187,154
CAC
40
10
Euro
Index
(3)
10/2022
EUR
(169,456)
13,081
Hang
Seng
Index
(10)
10/2022
HKD
(1,096,227)
29,625
IBEX
35
Index
(14)
10/2022
EUR
(1,010,310)
116,070
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,731)
7,643
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,894)
7,072
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,694)
6,666
LME
Aluminum
Base
Metal
(4)
10/2022
USD
(216,362)
23,415
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
(8,327)
LME
Copper
Base
Metal
(1)
10/2022
USD
(191,981)
(8,309)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,394)
(147)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,460)
(438)
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,413)
785
MSCI
Singapore
Index
(1)
10/2022
SGD
(19,540)
(173)
NY
Harbor
ULSD
(2)
10/2022
USD
(270,614)
22,353
WTI
Crude
Oil
(15)
10/2022
USD
(1,192,350)
205,774
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,813)
7,985
LME
Aluminum
Base
Metal
(1)
11/2022
USD
(53,877)
6,592
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,636)
12,429
LME
Aluminum
Base
Metal
(2)
11/2022
USD
(107,613)
13,145
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(269,735)
26,744
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,625)
7,422
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,202)
7,921
LME
Copper
Base
Metal
(1)
11/2022
USD
(190,414)
11,583
LME
Copper
Base
Metal
(2)
11/2022
USD
(380,688)
26,071
184
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Nickel
Base
Metal
(1)
11/2022
USD
$
(126,254)
$
12,943
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,894)
12,068
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,325)
7,255
LME
Zinc
Base
Metal
(1)
11/2022
USD
(75,300)
10,386
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,913)
12,258
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,988)
13,920
LME
Zinc
Base
Metal
(2)
11/2022
USD
(150,450)
29,959
NY
Harbor
ULSD
(1)
11/2022
USD
(131,334)
1,015
WTI
Crude
Oil
(21)
11/2022
USD
(1,653,120)
30,797
Canada
10
Year
Bond
(133)
12/2022
CAD
(11,888,015)
94,216
Cocoa
(20)
12/2022
USD
(470,800)
3,267
DAX
Index
(16)
12/2022
EUR
(4,756,771)
324,621
EURO
STOXX
50
Index
(4)
12/2022
EUR
(129,955)
(286)
FTSE
100
Index
(2)
12/2022
GBP
(154,408)
13,005
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(108,078)
7,829
LME
Aluminum
Base
Metal
(3)
12/2022
USD
(162,029)
6,271
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(215,825)
14,464
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,069)
10,748
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,141)
13,685
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,100)
12,942
LME
Aluminum
Base
Metal
(38)
12/2022
USD
(2,052,950)
171,900
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,000)
439
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,581)
3,663
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,871)
10,377
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,053)
(2,752)
LME
Copper
Base
Metal
(1)
12/2022
USD
(190,155)
774
LME
Copper
Base
Metal
(2)
12/2022
USD
(378,046)
(4,888)
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,931)
2,014
LME
Copper
Base
Metal
(5)
12/2022
USD
(947,375)
(1,457)
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
(5,739)
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
19,725
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,763)
4,820
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,644)
3,359
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,813)
6,629
LME
Zinc
Base
Metal
(3)
12/2022
USD
(224,333)
9,398
LME
Zinc
Base
Metal
(14)
12/2022
USD
(1,044,050)
113,622
Long
Gilt
(22)
12/2022
GBP
(2,371,664)
183,864
S&P
500
E-Mini
Index
(80)
12/2022
USD
(14,406,000)
1,493,971
S&P
Midcap
400
E-Mini
Index
(2)
12/2022
USD
(441,640)
52,609
S&P/TSX
60
Index
(12)
12/2022
CAD
(1,938,973)
120,247
U.S.
Treasury
5
Year
Note
(128)
12/2022
USD
(13,753,000)
271,440
Wheat
(21)
12/2022
USD
(967,575)
(113,509)
Soybean
(1)
1/2023
USD
(68,775)
5,752
3,699,757
$
(757,603)
185
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CLP
50,000,000
USD
49,833
CITI
**
12/21/2022
$
1,055
CLP
50,000,000
USD
49,833
JPMC
**
12/21/2022
1,055
DKK
5,500
USD
723
CITI
12/21/2022
7
DKK
5,500
USD
723
JPMC
12/21/2022
7
EUR
3,698,000
USD
3,618,780
CITI
12/21/2022
28,413
EUR
1,371,000
USD
1,336,438
JPMC
12/21/2022
15,725
GBP
1,377,500
USD
1,483,358
CITI
12/21/2022
56,574
GBP
1,377,500
USD
1,483,359
JPMC
12/21/2022
56,572
MXN
62,984,628
USD
3,072,389
CITI
12/21/2022
10,331
MXN
62,984,623
USD
3,072,392
JPMC
12/21/2022
10,328
USD
2,136,888
AUD
3,143,004
CITI
12/21/2022
123,602
USD
2,136,880
AUD
3,142,996
JPMC
12/21/2022
123,599
USD
197,794
BRL
1,062,006
CITI
**
12/21/2022
4,436
USD
197,791
BRL
1,061,994
JPMC
**
12/21/2022
4,436
USD
4,814,689
CAD
6,373,005
CITI
12/21/2022
199,308
USD
4,814,675
CAD
6,372,995
JPMC
12/21/2022
199,301
USD
6,429,731
CHF
6,167,504
CITI
12/21/2022
126,975
USD
6,429,714
CHF
6,167,496
JPMC
12/21/2022
126,967
USD
51,339
CLP
50,000,000
CITI
**
12/21/2022
451
USD
51,339
CLP
50,000,000
JPMC
**
12/21/2022
451
USD
29,338
CNY
208,000
CITI
**
12/21/2022
155
USD
29,338
CNY
208,000
JPMC
**
12/21/2022
156
USD
104,549
CZK
2,598,500
CITI
12/21/2022
1,658
USD
104,549
CZK
2,598,500
JPMC
12/21/2022
1,658
USD
103,786
DKK
766,500
CITI
12/21/2022
2,099
USD
103,785
DKK
766,500
JPMC
12/21/2022
2,098
USD
25,977,957
EUR
25,834,397
CITI
12/21/2022
498,498
USD
25,302,179
EUR
25,161,361
JPMC
12/21/2022
486,510
USD
9,892,833
GBP
8,468,807
CITI
12/21/2022
425,407
USD
8,940,179
GBP
7,652,802
JPMC
12/21/2022
384,979
USD
754,365
HKD
5,907,500
CITI
12/21/2022
742
USD
754,364
HKD
5,907,500
JPMC
12/21/2022
741
USD
121,857
INR
10,000,000
CITI
**
12/21/2022
202
USD
121,857
INR
10,000,000
JPMC
**
12/21/2022
202
USD
4,851,618
JPY
673,411,008
CITI
12/21/2022
155,881
USD
4,851,612
JPY
673,410,992
JPMC
12/21/2022
155,875
USD
207,758
KRW
284,381,000
CITI
**
12/21/2022
9,965
USD
207,758
KRW
284,381,000
JPMC
**
12/21/2022
9,965
USD
271,611
MXN
5,534,000
CITI
12/21/2022
755
USD
271,611
MXN
5,534,000
JPMC
12/21/2022
754
USD
8,609
NOK
89,500
CITI
12/21/2022
374
USD
8,609
NOK
89,500
JPMC
12/21/2022
374
USD
5,768,216
NZD
9,493,000
CITI
12/21/2022
453,007
USD
5,768,209
NZD
9,493,000
JPMC
12/21/2022
453,000
USD
576,919
PLN
2,832,500
CITI
12/21/2022
13,221
USD
576,919
PLN
2,832,500
JPMC
12/21/2022
13,221
USD
761,706
SEK
8,116,001
CITI
12/21/2022
26,602
USD
761,705
SEK
8,115,999
JPMC
12/21/2022
26,601
USD
213,843
SGD
300,002
CITI
12/21/2022
4,735
USD
213,839
SGD
299,998
JPMC
12/21/2022
4,735
USD
347,894
ZAR
6,105,000
CITI
12/21/2022
12,967
USD
347,894
ZAR
6,105,000
JPMC
12/21/2022
12,966
Total
unrealized
appreciation
4,249,696
AUD
14,074,504
USD
9,615,946
CITI
12/21/2022
(600,367)
AUD
14,074,496
USD
9,615,952
JPMC
12/21/2022
(600,379)
186
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
BRL
12,315,504
USD
2,335,813
CITI
**
12/21/2022
$
(93,550)
BRL
12,315,496
USD
2,335,814
JPMC
**
12/21/2022
(93,553)
CAD
6,417,500
USD
4,917,965
CITI
12/21/2022
(270,360)
CAD
6,417,500
USD
4,917,971
JPMC
12/21/2022
(270,366)
CHF
1,150,000
USD
1,217,116
CITI
12/21/2022
(41,897)
CHF
1,150,000
USD
1,217,118
JPMC
12/21/2022
(41,899)
CLP
866,481,504
USD
940,906
CITI
**
12/21/2022
(59,035)
CLP
866,481,496
USD
940,907
JPMC
**
12/21/2022
(59,037)
CNY
12,748,001
USD
1,850,868
CITI
**
12/21/2022
(62,320)
CNY
12,747,999
USD
1,850,870
JPMC
**
12/21/2022
(62,322)
CZK
11,383,503
USD
456,579
CITI
12/21/2022
(5,833)
CZK
11,383,497
USD
456,580
JPMC
12/21/2022
(5,833)
EUR
6,976,000
USD
6,978,473
CITI
12/21/2022
(98,316)
EUR
4,816,000
USD
4,809,429
JPMC
12/21/2022
(59,595)
GBP
2,343,000
USD
2,700,787
CITI
12/21/2022
(81,507)
GBP
1,320,000
USD
1,518,436
JPMC
12/21/2022
(42,785)
HKD
70,000
USD
8,932
CITI
12/21/2022
(2)
HKD
70,000
USD
8,932
JPMC
12/21/2022
(2)
HUF
313,009,001
USD
760,844
CITI
12/21/2022
(51,773)
HUF
313,008,999
USD
760,845
JPMC
12/21/2022
(51,774)
INR
229,923,502
USD
2,855,735
CITI
**
12/21/2022
(58,600)
INR
229,923,498
USD
2,855,738
JPMC
**
12/21/2022
(58,603)
JPY
181,121,500
USD
1,294,661
CITI
12/21/2022
(31,690)
JPY
181,121,500
USD
1,294,663
JPMC
12/21/2022
(31,691)
KRW
2,191,663,502
USD
1,628,078
CITI
**
12/21/2022
(103,726)
KRW
2,191,663,496
USD
1,628,181
JPMC
**
12/21/2022
(103,829)
MXN
27,890,375
USD
1,370,913
CITI
12/21/2022
(5,847)
MXN
27,890,374
USD
1,370,915
JPMC
12/21/2022
(5,849)
NOK
55,948,510
USD
5,663,412
CITI
12/21/2022
(515,023)
NOK
55,948,490
USD
5,663,417
JPMC
12/21/2022
(515,030)
NZD
562,000
USD
318,859
CITI
12/21/2022
(4,191)
NZD
562,000
USD
318,859
JPMC
12/21/2022
(4,191)
PLN
10,165,500
USD
2,119,468
CITI
12/21/2022
(96,427)
PLN
10,165,500
USD
2,119,470
JPMC
12/21/2022
(96,430)
SEK
45,000
USD
4,203
CITI
12/21/2022
(127)
SEK
45,000
USD
4,203
JPMC
12/21/2022
(127)
SGD
5,500
USD
3,910
CITI
12/21/2022
(77)
SGD
5,500
USD
3,910
JPMC
12/21/2022
(77)
USD
23,739
BRL
130,500
CITI
**
12/21/2022
(21)
USD
23,739
BRL
130,500
JPMC
**
12/21/2022
(21)
USD
96,254
CNY
690,000
CITI
**
12/21/2022
(553)
USD
96,254
CNY
690,000
JPMC
**
12/21/2022
(554)
USD
19,423
CZK
500,000
CITI
12/21/2022
(375)
USD
19,423
CZK
500,000
JPMC
12/21/2022
(375)
USD
977
EUR
1,000
CITI
12/21/2022
(9)
USD
977
EUR
1,000
JPMC
12/21/2022
(9)
USD
616,207
GBP
563,000
CITI
12/21/2022
(13,180)
USD
182,413
INR
15,000,000
CITI
**
12/21/2022
(70)
USD
182,412
INR
15,000,000
JPMC
**
12/21/2022
(70)
USD
546,668
MXN
11,284,500
CITI
12/21/2022
(5,641)
USD
546,667
MXN
11,284,500
JPMC
12/21/2022
(5,641)
USD
465,340
PLN
2,357,500
CITI
12/21/2022
(3,826)
USD
465,340
PLN
2,357,500
JPMC
12/21/2022
(3,827)
USD
628,224
SEK
7,028,500
CITI
12/21/2022
(8,378)
USD
628,223
SEK
7,028,500
JPMC
12/21/2022
(8,379)
USD
27,298
ZAR
500,000
CITI
12/21/2022
(132)
USD
27,298
ZAR
500,000
JPMC
12/21/2022
(132)
ZAR
42,970,503
USD
2,499,803
CITI
12/21/2022
(142,393)
187
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
ZAR
42,970,499
USD
2,499,806
JPMC
12/21/2022
$
(142,396)
Total
unrealized
depreciation
(4,620,022)
Net
unrealized
depreciation
$
(370,326)
**
Non-deliverable
forward.
188
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2022
Shares
Held
At
9/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
49.3%
INVESTMENT
COMPANIES
-
49.3%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)^(a)
(Cost
$223,127,198)
$116,359,401
$1,394,807,929
$(1,287,944,653)
$(95,486)
$52,787
$223,179,978
223,291,623
$1,543,928
$–
^ No
longer
affiliated
as
of
September
30,
2022.
(1)
Level
1
security
.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
90.1%
INVESTMENT
COMPANIES
-
49.3%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)(b)
(Cost
$223,127,198)
223,291,623
223,179,978
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
40.8%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(c)
$
1,784,000
1,783,635
1.23%,
10/13/2022
(c)
3,197,000
3,194,689
1.26%,
10/20/2022
(c)
19,996,000
19,971,886
1.38%,
10/27/2022
(c)
3,486,000
3,480,019
1.42%,
11/3/2022
(c)
11,037,000
11,011,692
1.39%,
11/10/2022
(c)
2,502,000
2,494,859
1.54%,
11/25/2022
(c)
19,228,000
19,148,349
1.59%,
12/1/2022
(c)
11,716,000
11,660,172
1.72%,
12/8/2022
(c)
13,686,000
13,611,950
2.18%,
12/15/2022
(c)
8,681,000
8,631,460
2.53%,
12/29/2022
(c)
3,803,000
3,773,578
3.07%,
2/16/2023
(c)
9,615,000
9,487,051
3.16%,
2/23/2023
(c)
133,000
131,132
3.29%,
3/2/2023
(c)
17,642,000
17,370,874
3.38%,
3/9/2023
(c)
20,062,000
19,736,163
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
40.8%
(continued)
3.53%,
3/16/2023
(c)
$
34,725,000
34,141,062
3.85%,
3/23/2023
(c)
457,000
449,050
3.93%,
3/30/2023
(c)
5,124,000
5,027,151
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$185,344,703)
185,104,772
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$408,471,901)
408,284,750
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
90.1%
(Cost
$408,471,901)
408,284,750
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
9.9%
(d)
44,701,917
NET
ASSETS
-
100.0%
452,986,667
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
223,179,978
49.3
U.S.
Treasury
Obligations
185,104,772
40.8
Total
Investments
In
Securities
At
Value
$
408,284,750
90.1
Other
Assets
in
Excess
of
Liabilities
(d)
44,701,917
9.9
Net
Assets
$
452,986,667
100.0%
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(b)
For
the
period
ended
September
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
Includes
appreciation/(depreciation)
on
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
189
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Soybean
November
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
(136,475)
$
15,381
15,381
Soybean
November
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
136,475
(15,432)
(15,432)
$
(51)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
1
10/2022
USD
$
53,980
$
(6,581)
LME
Aluminum
Base
Metal
3
10/2022
USD
161,100
(23,809)
LME
Aluminum
Base
Metal
5
10/2022
USD
268,469
(34,158)
LME
Aluminum
Base
Metal
7
10/2022
USD
375,769
(53,702)
LME
Aluminum
Base
Metal
7
10/2022
USD
377,256
(46,002)
LME
Aluminum
Base
Metal
7
10/2022
USD
378,079
(34,067)
LME
Aluminum
Base
Metal
8
10/2022
USD
431,964
(43,220)
LME
Aluminum
Base
Metal
12
10/2022
USD
644,250
(84,208)
LME
Aluminum
Base
Metal
16
10/2022
USD
864,432
(73,784)
LME
Aluminum
Base
Metal
25
10/2022
USD
1,347,906
(147,167)
LME
Aluminum
Base
Metal
25
10/2022
USD
1,343,281
(175,842)
LME
Aluminum
Base
Metal
47
10/2022
USD
2,533,324
(271,540)
LME
Aluminum
Base
Metal
63
10/2022
USD
3,407,702
(344,134)
LME
Copper
Base
Metal
1
10/2022
USD
192,200
9,111
LME
Copper
Base
Metal
2
10/2022
USD
384,400
251
LME
Copper
Base
Metal
3
10/2022
USD
575,325
3,454
LME
Copper
Base
Metal
3
10/2022
USD
575,175
5,903
LME
Copper
Base
Metal
3
10/2022
USD
575,531
14,073
LME
Copper
Base
Metal
4
10/2022
USD
768,800
31,405
LME
Copper
Base
Metal
5
10/2022
USD
960,750
(3,562)
LME
Copper
Base
Metal
7
10/2022
USD
1,341,725
(26,426)
LME
Copper
Base
Metal
8
10/2022
USD
1,536,400
58,379
LME
Copper
Base
Metal
10
10/2022
USD
1,922,000
64,187
LME
Copper
Base
Metal
18
10/2022
USD
3,455,663
134,342
LME
Copper
Base
Metal
19
10/2022
USD
3,651,800
226,422
LME
Copper
Base
Metal
32
10/2022
USD
6,148,000
61,285
LME
Lead
Base
Metal
1
10/2022
USD
47,875
(128)
LME
Lead
Base
Metal
1
10/2022
USD
47,861
(279)
LME
Lead
Base
Metal
1
10/2022
USD
47,868
(935)
LME
Lead
Base
Metal
2
10/2022
USD
95,690
(4,066)
LME
Lead
Base
Metal
5
10/2022
USD
238,776
(13,674)
LME
Lead
Base
Metal
5
10/2022
USD
238,688
(14,028)
LME
Lead
Base
Metal
9
10/2022
USD
430,684
(5,098)
190
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
11
10/2022
USD
$
525,701
$
(25,271)
LME
Lead
Base
Metal
16
10/2022
USD
765,088
(24,954)
LME
Lead
Base
Metal
25
10/2022
USD
1,196,669
(42,147)
LME
Lead
Base
Metal
31
10/2022
USD
1,482,629
(69,990)
LME
Lead
Base
Metal
33
10/2022
USD
1,578,233
(28,754)
LME
Nickel
Base
Metal
1
10/2022
USD
126,140
(6,373)
LME
Nickel
Base
Metal
1
10/2022
USD
126,072
(2,271)
LME
Nickel
Base
Metal
1
10/2022
USD
126,095
2,372
LME
Nickel
Base
Metal
1
10/2022
USD
126,072
699
LME
Nickel
Base
Metal
7
10/2022
USD
883,142
(26,050)
LME
Nickel
Base
Metal
7
10/2022
USD
882,504
32,718
LME
Nickel
Base
Metal
7
10/2022
USD
882,584
(14,788)
LME
Nickel
Base
Metal
7
10/2022
USD
883,222
(46,334)
LME
Nickel
Base
Metal
13
10/2022
USD
1,638,936
(105,182)
LME
Zinc
Base
Metal
1
10/2022
USD
75,453
500
LME
Zinc
Base
Metal
2
10/2022
USD
150,920
1,414
LME
Zinc
Base
Metal
3
10/2022
USD
226,013
(1,134)
LME
Zinc
Base
Metal
5
10/2022
USD
376,800
4,410
LME
Zinc
Base
Metal
6
10/2022
USD
452,745
19,707
LME
Zinc
Base
Metal
7
10/2022
USD
527,835
8,489
LME
Zinc
Base
Metal
8
10/2022
USD
603,420
7,896
LME
Zinc
Base
Metal
13
10/2022
USD
980,363
(11,401)
LME
Zinc
Base
Metal
18
10/2022
USD
1,358,325
(4,777)
LME
Zinc
Base
Metal
25
10/2022
USD
1,883,363
(26,086)
LME
Zinc
Base
Metal
25
10/2022
USD
1,884,844
(2,859)
LME
Zinc
Base
Metal
44
10/2022
USD
3,314,575
(261,255)
RBOB
Gasoline
52
10/2022
USD
5,175,643
(68,566)
Brent
Crude
Oil
751
11/2022
USD
62,723,520
(555,294)
LME
Aluminum
Base
Metal
4
11/2022
USD
215,600
(27,665)
LME
Aluminum
Base
Metal
4
11/2022
USD
215,175
(28,137)
LME
Aluminum
Base
Metal
4
11/2022
USD
214,988
(26,461)
LME
Aluminum
Base
Metal
5
11/2022
USD
269,063
(40,952)
LME
Aluminum
Base
Metal
9
11/2022
USD
483,554
(66,025)
LME
Aluminum
Base
Metal
14
11/2022
USD
754,075
(125,741)
LME
Aluminum
Base
Metal
17
11/2022
USD
915,399
(102,824)
LME
Aluminum
Base
Metal
20
11/2022
USD
1,077,295
(115,331)
LME
Aluminum
Base
Metal
41
11/2022
USD
2,206,056
(269,440)
LME
Aluminum
Base
Metal
41
11/2022
USD
2,207,081
(283,790)
LME
Aluminum
Base
Metal
50
11/2022
USD
2,693,825
(310,073)
LME
Aluminum
Base
Metal
63
11/2022
USD
3,386,644
(365,867)
LME
Aluminum
Base
Metal
66
11/2022
USD
3,551,015
(545,653)
LME
Aluminum
Base
Metal
70
11/2022
USD
3,761,625
(492,591)
LME
Aluminum
Base
Metal
72
11/2022
USD
3,884,184
(454,928)
LME
Aluminum
Base
Metal
73
11/2022
USD
3,928,714
(441,609)
LME
Copper
Base
Metal
3
11/2022
USD
573,450
(25,808)
LME
Copper
Base
Metal
3
11/2022
USD
574,725
(17,413)
LME
Copper
Base
Metal
4
11/2022
USD
764,350
(36,768)
LME
Copper
Base
Metal
5
11/2022
USD
957,250
(17,546)
LME
Copper
Base
Metal
5
11/2022
USD
954,813
(34,571)
LME
Copper
Base
Metal
7
11/2022
USD
1,336,300
(60,218)
LME
Copper
Base
Metal
8
11/2022
USD
1,526,100
(63,669)
LME
Copper
Base
Metal
9
11/2022
USD
1,714,361
(88,146)
LME
Copper
Base
Metal
10
11/2022
USD
1,912,125
(62,901)
LME
Copper
Base
Metal
12
11/2022
USD
2,284,125
(134,574)
LME
Copper
Base
Metal
13
11/2022
USD
2,483,325
(177,159)
LME
Copper
Base
Metal
15
11/2022
USD
2,871,000
(37,539)
191
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
18
11/2022
USD
$
3,444,075
$
(13,319)
LME
Copper
Base
Metal
32
11/2022
USD
6,100,000
(311,611)
LME
Copper
Base
Metal
50
11/2022
USD
9,520,700
(599,076)
LME
Lead
Base
Metal
1
11/2022
USD
47,744
(3,484)
LME
Lead
Base
Metal
1
11/2022
USD
47,825
(6,728)
LME
Lead
Base
Metal
1
11/2022
USD
47,805
(5,816)
LME
Lead
Base
Metal
1
11/2022
USD
47,788
(4,689)
LME
Lead
Base
Metal
2
11/2022
USD
95,512
(6,648)
LME
Lead
Base
Metal
3
11/2022
USD
143,447
(20,741)
LME
Lead
Base
Metal
3
11/2022
USD
143,378
(19,380)
LME
Lead
Base
Metal
3
11/2022
USD
143,462
(17,909)
LME
Lead
Base
Metal
4
11/2022
USD
191,138
(16,269)
LME
Lead
Base
Metal
5
11/2022
USD
238,813
(5,279)
LME
Lead
Base
Metal
5
11/2022
USD
238,750
(11,888)
LME
Lead
Base
Metal
6
11/2022
USD
286,763
(7,333)
LME
Lead
Base
Metal
15
11/2022
USD
716,479
(48,561)
LME
Lead
Base
Metal
16
11/2022
USD
764,316
(48,751)
LME
Nickel
Base
Metal
1
11/2022
USD
126,308
(1,795)
LME
Nickel
Base
Metal
2
11/2022
USD
252,653
(11,597)
LME
Nickel
Base
Metal
2
11/2022
USD
252,762
(14,843)
LME
Nickel
Base
Metal
2
11/2022
USD
252,463
(24,918)
LME
Nickel
Base
Metal
3
11/2022
USD
379,169
(16,840)
LME
Nickel
Base
Metal
4
11/2022
USD
505,290
(54,778)
LME
Nickel
Base
Metal
4
11/2022
USD
505,627
(19,234)
LME
Nickel
Base
Metal
5
11/2022
USD
631,101
(93,634)
LME
Nickel
Base
Metal
6
11/2022
USD
758,031
(40,270)
LME
Nickel
Base
Metal
7
11/2022
USD
884,310
(56,999)
LME
Nickel
Base
Metal
7
11/2022
USD
884,126
(27,924)
LME
Nickel
Base
Metal
7
11/2022
USD
883,781
(54,751)
LME
Zinc
Base
Metal
1
11/2022
USD
74,913
(12,628)
LME
Zinc
Base
Metal
2
11/2022
USD
150,550
(23,166)
LME
Zinc
Base
Metal
3
11/2022
USD
224,475
(37,659)
LME
Zinc
Base
Metal
4
11/2022
USD
301,000
(52,512)
LME
Zinc
Base
Metal
5
11/2022
USD
375,125
(79,515)
LME
Zinc
Base
Metal
7
11/2022
USD
524,650
(86,253)
LME
Zinc
Base
Metal
7
11/2022
USD
527,100
(76,671)
LME
Zinc
Base
Metal
9
11/2022
USD
673,875
(131,652)
LME
Zinc
Base
Metal
9
11/2022
USD
674,044
(104,933)
LME
Zinc
Base
Metal
12
11/2022
USD
903,825
(80,810)
LME
Zinc
Base
Metal
17
11/2022
USD
1,278,825
(259,363)
LME
Zinc
Base
Metal
30
11/2022
USD
2,259,750
(211,589)
LME
Zinc
Base
Metal
31
11/2022
USD
2,334,788
(346,788)
LME
Zinc
Base
Metal
33
11/2022
USD
2,474,588
(487,260)
LME
Zinc
Base
Metal
43
11/2022
USD
3,238,846
(370,056)
Low
Sulphur
Gasoil
70
11/2022
USD
6,592,250
(461,299)
Natural
Gas
86
11/2022
USD
6,075,900
(881,277)
RBOB
Gasoline
116
11/2022
USD
11,102,801
(107,286)
Soybean
914
11/2022
USD
62,369,075
(6,374,123)
100
oz
Gold
485
12/2022
USD
81,092,000
(4,572,780)
Coffee
'C'
241
12/2022
USD
20,022,581
1,027,040
Corn
687
12/2022
USD
23,272,125
1,564,143
Cotton
No.
2
175
12/2022
USD
7,467,250
(1,009,628)
Lean
Hogs
145
12/2022
USD
4,421,050
(433,289)
Live
Cattle
614
12/2022
USD
36,115,480
(907,757)
LME
Aluminum
Base
Metal
1
12/2022
USD
53,988
(1,203)
LME
Aluminum
Base
Metal
2
12/2022
USD
108,098
(5,708)
192
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
4
12/2022
USD
$
216,250
$
(8,749)
LME
Aluminum
Base
Metal
5
12/2022
USD
269,813
(5,177)
LME
Aluminum
Base
Metal
6
12/2022
USD
324,273
(20,228)
LME
Aluminum
Base
Metal
7
12/2022
USD
378,263
5,142
LME
Aluminum
Base
Metal
12
12/2022
USD
648,600
(12,809)
LME
Aluminum
Base
Metal
13
12/2022
USD
702,767
(31,771)
LME
Aluminum
Base
Metal
14
12/2022
USD
756,543
(51,649)
LME
Aluminum
Base
Metal
21
12/2022
USD
1,134,882
(68,742)
LME
Aluminum
Base
Metal
45
12/2022
USD
2,430,428
(100,955)
LME
Aluminum
Base
Metal
48
12/2022
USD
2,593,800
(45,493)
LME
Aluminum
Base
Metal
50
12/2022
USD
2,700,863
(131,260)
LME
Aluminum
Base
Metal
51
12/2022
USD
2,751,769
(190,763)
LME
Aluminum
Base
Metal
68
12/2022
USD
3,673,700
(243,426)
LME
Aluminum
Base
Metal
83
12/2022
USD
4,484,926
(300,344)
LME
Aluminum
Base
Metal
488
12/2022
USD
26,364,200
(2,723,412)
LME
Copper
Base
Metal
1
12/2022
USD
189,053
550
LME
Copper
Base
Metal
1
12/2022
USD
189,729
(5,689)
LME
Copper
Base
Metal
1
12/2022
USD
189,528
(4,974)
LME
Copper
Base
Metal
2
12/2022
USD
379,288
(4,618)
LME
Copper
Base
Metal
3
12/2022
USD
569,328
(31,430)
LME
Copper
Base
Metal
5
12/2022
USD
946,263
(9,594)
LME
Copper
Base
Metal
7
12/2022
USD
1,327,769
(39,000)
LME
Copper
Base
Metal
9
12/2022
USD
1,701,342
31,818
LME
Copper
Base
Metal
11
12/2022
USD
2,085,394
(44,660)
LME
Copper
Base
Metal
16
12/2022
USD
3,037,172
(144,656)
LME
Copper
Base
Metal
20
12/2022
USD
3,780,000
(31,678)
LME
Copper
Base
Metal
24
12/2022
USD
4,558,026
(81,592)
LME
Copper
Base
Metal
30
12/2022
USD
5,698,958
(28,515)
LME
Copper
Base
Metal
35
12/2022
USD
6,655,408
(41,405)
LME
Copper
Base
Metal
53
12/2022
USD
10,018,219
205,055
LME
Copper
Base
Metal
628
12/2022
USD
118,990,301
(391,453)
LME
Lead
Base
Metal
1
12/2022
USD
47,731
862
LME
Lead
Base
Metal
1
12/2022
USD
47,700
447
LME
Lead
Base
Metal
1
12/2022
USD
47,806
229
LME
Lead
Base
Metal
1
12/2022
USD
47,806
178
LME
Lead
Base
Metal
1
12/2022
USD
47,781
(346)
LME
Lead
Base
Metal
2
12/2022
USD
95,588
(2,493)
LME
Lead
Base
Metal
3
12/2022
USD
143,306
1,290
LME
Lead
Base
Metal
4
12/2022
USD
190,700
6,327
LME
Lead
Base
Metal
7
12/2022
USD
334,644
(7,129)
LME
Lead
Base
Metal
8
12/2022
USD
381,550
29,196
LME
Lead
Base
Metal
9
12/2022
USD
430,256
(10,409)
LME
Lead
Base
Metal
25
12/2022
USD
1,195,156
(20,750)
LME
Lead
Base
Metal
29
12/2022
USD
1,383,663
58,546
LME
Lead
Base
Metal
373
12/2022
USD
17,810,750
(140,846)
LME
Nickel
Base
Metal
1
12/2022
USD
126,633
(5,580)
LME
Nickel
Base
Metal
1
12/2022
USD
126,509
(1,594)
LME
Nickel
Base
Metal
1
12/2022
USD
126,562
(21,875)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(22,131)
LME
Nickel
Base
Metal
1
12/2022
USD
126,552
(20,464)
LME
Nickel
Base
Metal
2
12/2022
USD
252,916
4,270
LME
Nickel
Base
Metal
4
12/2022
USD
506,208
(68,322)
LME
Nickel
Base
Metal
5
12/2022
USD
632,760
(79,447)
LME
Nickel
Base
Metal
6
12/2022
USD
759,852
(47,389)
LME
Nickel
Base
Metal
8
12/2022
USD
1,012,416
(128,808)
LME
Nickel
Base
Metal
9
12/2022
USD
1,138,737
(78,664)
193
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Nickel
Base
Metal
92
12/2022
USD
$
11,642,784
$
(795,673)
LME
Zinc
Base
Metal
1
12/2022
USD
74,725
(6,353)
LME
Zinc
Base
Metal
2
12/2022
USD
149,425
(12,531)
LME
Zinc
Base
Metal
3
12/2022
USD
222,750
4,079
LME
Zinc
Base
Metal
3
12/2022
USD
223,800
(12,721)
LME
Zinc
Base
Metal
3
12/2022
USD
224,063
(10,284)
LME
Zinc
Base
Metal
4
12/2022
USD
297,650
(13,162)
LME
Zinc
Base
Metal
4
12/2022
USD
298,800
(23,323)
LME
Zinc
Base
Metal
5
12/2022
USD
371,000
(7,515)
LME
Zinc
Base
Metal
6
12/2022
USD
447,863
(17,980)
LME
Zinc
Base
Metal
16
12/2022
USD
1,196,200
(85,647)
LME
Zinc
Base
Metal
18
12/2022
USD
1,346,625
(129,428)
LME
Zinc
Base
Metal
21
12/2022
USD
1,558,725
21,028
LME
Zinc
Base
Metal
24
12/2022
USD
1,794,660
(76,511)
LME
Zinc
Base
Metal
25
12/2022
USD
1,869,250
(93,199)
LME
Zinc
Base
Metal
725
12/2022
USD
54,066,875
167,251
Low
Sulphur
Gasoil
74
12/2022
USD
6,676,650
(91,689)
Silver
319
12/2022
USD
30,367,205
(116,485)
Soybean
Meal
739
12/2022
USD
29,781,700
132,111
Soybean
Oil
318
12/2022
USD
11,745,648
(1,546,705)
Sugar
No.
11
1,594
2/2023
USD
31,563,750
(259,647)
Platinum
131
8/2023
JPY
1,774,515
41,845
(30,624,283)
Short
Contracts
LME
Aluminum
Base
Metal
(1)
10/2022
USD
(53,980)
6,568
LME
Aluminum
Base
Metal
(3)
10/2022
USD
(161,100)
23,466
LME
Aluminum
Base
Metal
(5)
10/2022
USD
(268,469)
34,641
LME
Aluminum
Base
Metal
(7)
10/2022
USD
(377,256)
49,502
LME
Aluminum
Base
Metal
(7)
10/2022
USD
(378,079)
34,326
LME
Aluminum
Base
Metal
(7)
10/2022
USD
(375,769)
50,461
LME
Aluminum
Base
Metal
(8)
10/2022
USD
(431,964)
41,612
LME
Aluminum
Base
Metal
(12)
10/2022
USD
(644,250)
82,914
LME
Aluminum
Base
Metal
(16)
10/2022
USD
(864,432)
76,321
LME
Aluminum
Base
Metal
(25)
10/2022
USD
(1,343,281)
182,915
LME
Aluminum
Base
Metal
(25)
10/2022
USD
(1,347,906)
174,870
LME
Aluminum
Base
Metal
(47)
10/2022
USD
(2,533,324)
271,712
LME
Aluminum
Base
Metal
(63)
10/2022
USD
(3,407,702)
368,791
LME
Copper
Base
Metal
(1)
10/2022
USD
(192,200)
(8,503)
LME
Copper
Base
Metal
(2)
10/2022
USD
(384,400)
245
LME
Copper
Base
Metal
(3)
10/2022
USD
(575,531)
(17,155)
LME
Copper
Base
Metal
(3)
10/2022
USD
(575,175)
(3,683)
LME
Copper
Base
Metal
(3)
10/2022
USD
(575,325)
(4,208)
LME
Copper
Base
Metal
(4)
10/2022
USD
(768,800)
(33,311)
LME
Copper
Base
Metal
(5)
10/2022
USD
(960,750)
185
LME
Copper
Base
Metal
(7)
10/2022
USD
(1,341,725)
24,537
LME
Copper
Base
Metal
(8)
10/2022
USD
(1,536,400)
(53,849)
LME
Copper
Base
Metal
(10)
10/2022
USD
(1,922,000)
(57,026)
LME
Copper
Base
Metal
(18)
10/2022
USD
(3,455,663)
(154,261)
LME
Copper
Base
Metal
(19)
10/2022
USD
(3,651,800)
(203,350)
LME
Copper
Base
Metal
(32)
10/2022
USD
(6,148,000)
(95,498)
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,875)
22
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,868)
616
LME
Lead
Base
Metal
(1)
10/2022
USD
(47,861)
544
LME
Lead
Base
Metal
(2)
10/2022
USD
(95,690)
4,071
LME
Lead
Base
Metal
(5)
10/2022
USD
(238,688)
13,149
LME
Lead
Base
Metal
(5)
10/2022
USD
(238,776)
13,212
194
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(9)
10/2022
USD
$
(430,684)
$
4,667
LME
Lead
Base
Metal
(11)
10/2022
USD
(525,701)
27,845
LME
Lead
Base
Metal
(16)
10/2022
USD
(765,088)
22,998
LME
Lead
Base
Metal
(25)
10/2022
USD
(1,196,669)
39,355
LME
Lead
Base
Metal
(31)
10/2022
USD
(1,482,629)
70,144
LME
Lead
Base
Metal
(33)
10/2022
USD
(1,578,233)
27,498
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,095)
(413)
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,072)
1,547
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,072)
2,615
LME
Nickel
Base
Metal
(1)
10/2022
USD
(126,140)
3,847
LME
Nickel
Base
Metal
(7)
10/2022
USD
(883,142)
25,717
LME
Nickel
Base
Metal
(7)
10/2022
USD
(882,504)
(52,605)
LME
Nickel
Base
Metal
(7)
10/2022
USD
(882,584)
9,896
LME
Nickel
Base
Metal
(7)
10/2022
USD
(883,222)
40,847
LME
Nickel
Base
Metal
(13)
10/2022
USD
(1,638,936)
102,157
LME
Zinc
Base
Metal
(1)
10/2022
USD
(75,453)
(721)
LME
Zinc
Base
Metal
(2)
10/2022
USD
(150,920)
(1,888)
LME
Zinc
Base
Metal
(3)
10/2022
USD
(226,013)
2,729
LME
Zinc
Base
Metal
(5)
10/2022
USD
(376,800)
(5,685)
LME
Zinc
Base
Metal
(6)
10/2022
USD
(452,745)
(16,263)
LME
Zinc
Base
Metal
(7)
10/2022
USD
(527,835)
(10,204)
LME
Zinc
Base
Metal
(8)
10/2022
USD
(603,420)
(2,941)
LME
Zinc
Base
Metal
(13)
10/2022
USD
(980,363)
15,885
LME
Zinc
Base
Metal
(18)
10/2022
USD
(1,358,325)
5,572
LME
Zinc
Base
Metal
(25)
10/2022
USD
(1,883,363)
9,052
LME
Zinc
Base
Metal
(25)
10/2022
USD
(1,884,844)
(3,667)
LME
Zinc
Base
Metal
(44)
10/2022
USD
(3,314,575)
259,592
NY
Harbor
ULSD
(9)
10/2022
USD
(1,217,765)
100,590
WTI
Crude
Oil
(152)
10/2022
USD
(12,082,480)
1,954,532
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(214,988)
26,800
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(215,600)
28,388
LME
Aluminum
Base
Metal
(4)
11/2022
USD
(215,175)
28,384
LME
Aluminum
Base
Metal
(5)
11/2022
USD
(269,063)
40,273
LME
Aluminum
Base
Metal
(9)
11/2022
USD
(483,554)
68,794
LME
Aluminum
Base
Metal
(14)
11/2022
USD
(754,075)
114,642
LME
Aluminum
Base
Metal
(17)
11/2022
USD
(915,399)
104,976
LME
Aluminum
Base
Metal
(20)
11/2022
USD
(1,077,295)
120,146
LME
Aluminum
Base
Metal
(41)
11/2022
USD
(2,206,056)
269,473
LME
Aluminum
Base
Metal
(41)
11/2022
USD
(2,207,081)
283,355
LME
Aluminum
Base
Metal
(50)
11/2022
USD
(2,693,825)
329,584
LME
Aluminum
Base
Metal
(63)
11/2022
USD
(3,386,644)
365,012
LME
Aluminum
Base
Metal
(66)
11/2022
USD
(3,551,015)
542,441
LME
Aluminum
Base
Metal
(70)
11/2022
USD
(3,761,625)
497,668
LME
Aluminum
Base
Metal
(72)
11/2022
USD
(3,884,184)
385,115
LME
Aluminum
Base
Metal
(73)
11/2022
USD
(3,928,714)
457,808
LME
Copper
Base
Metal
(3)
11/2022
USD
(574,725)
19,080
LME
Copper
Base
Metal
(3)
11/2022
USD
(573,450)
25,042
LME
Copper
Base
Metal
(4)
11/2022
USD
(764,350)
29,139
LME
Copper
Base
Metal
(5)
11/2022
USD
(954,813)
40,174
LME
Copper
Base
Metal
(5)
11/2022
USD
(957,250)
18,737
LME
Copper
Base
Metal
(7)
11/2022
USD
(1,336,300)
62,162
LME
Copper
Base
Metal
(8)
11/2022
USD
(1,526,100)
61,879
LME
Copper
Base
Metal
(9)
11/2022
USD
(1,714,361)
90,116
LME
Copper
Base
Metal
(10)
11/2022
USD
(1,912,125)
61,389
LME
Copper
Base
Metal
(12)
11/2022
USD
(2,284,125)
141,043
LME
Copper
Base
Metal
(13)
11/2022
USD
(2,483,325)
160,758
195
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(15)
11/2022
USD
$
(2,871,000)
$
44,314
LME
Copper
Base
Metal
(18)
11/2022
USD
(3,444,075)
6,156
LME
Copper
Base
Metal
(32)
11/2022
USD
(6,100,000)
262,541
LME
Copper
Base
Metal
(50)
11/2022
USD
(9,520,700)
579,169
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,788)
4,621
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,825)
6,472
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,805)
5,893
LME
Lead
Base
Metal
(1)
11/2022
USD
(47,744)
3,504
LME
Lead
Base
Metal
(2)
11/2022
USD
(95,512)
6,208
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,447)
21,545
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,378)
18,837
LME
Lead
Base
Metal
(3)
11/2022
USD
(143,462)
18,879
LME
Lead
Base
Metal
(4)
11/2022
USD
(191,138)
15,389
LME
Lead
Base
Metal
(5)
11/2022
USD
(238,750)
11,396
LME
Lead
Base
Metal
(5)
11/2022
USD
(238,813)
5,549
LME
Lead
Base
Metal
(6)
11/2022
USD
(286,763)
8,872
LME
Lead
Base
Metal
(15)
11/2022
USD
(716,479)
44,316
LME
Lead
Base
Metal
(16)
11/2022
USD
(764,316)
50,116
LME
Nickel
Base
Metal
(1)
11/2022
USD
(126,308)
4,267
LME
Nickel
Base
Metal
(2)
11/2022
USD
(252,653)
20,582
LME
Nickel
Base
Metal
(2)
11/2022
USD
(252,762)
13,002
LME
Nickel
Base
Metal
(2)
11/2022
USD
(252,463)
22,998
LME
Nickel
Base
Metal
(3)
11/2022
USD
(379,169)
15,955
LME
Nickel
Base
Metal
(4)
11/2022
USD
(505,627)
13,474
LME
Nickel
Base
Metal
(4)
11/2022
USD
(505,290)
57,858
LME
Nickel
Base
Metal
(5)
11/2022
USD
(631,101)
109,734
LME
Nickel
Base
Metal
(6)
11/2022
USD
(758,031)
47,811
LME
Nickel
Base
Metal
(7)
11/2022
USD
(883,781)
58,889
LME
Nickel
Base
Metal
(7)
11/2022
USD
(884,310)
49,119
LME
Nickel
Base
Metal
(7)
11/2022
USD
(884,126)
22,588
LME
Zinc
Base
Metal
(1)
11/2022
USD
(74,913)
12,258
LME
Zinc
Base
Metal
(2)
11/2022
USD
(150,550)
22,944
LME
Zinc
Base
Metal
(3)
11/2022
USD
(224,475)
35,517
LME
Zinc
Base
Metal
(4)
11/2022
USD
(301,000)
53,702
LME
Zinc
Base
Metal
(5)
11/2022
USD
(375,125)
89,310
LME
Zinc
Base
Metal
(7)
11/2022
USD
(527,100)
72,700
LME
Zinc
Base
Metal
(7)
11/2022
USD
(524,650)
82,804
LME
Zinc
Base
Metal
(9)
11/2022
USD
(674,044)
108,611
LME
Zinc
Base
Metal
(9)
11/2022
USD
(673,875)
133,600
LME
Zinc
Base
Metal
(12)
11/2022
USD
(903,825)
80,052
LME
Zinc
Base
Metal
(17)
11/2022
USD
(1,278,825)
253,408
LME
Zinc
Base
Metal
(30)
11/2022
USD
(2,259,750)
217,645
LME
Zinc
Base
Metal
(31)
11/2022
USD
(2,334,788)
339,752
LME
Zinc
Base
Metal
(33)
11/2022
USD
(2,474,588)
459,352
LME
Zinc
Base
Metal
(43)
11/2022
USD
(3,238,846)
340,462
NY
Harbor
ULSD
(37)
11/2022
USD
(4,859,358)
61,949
WTI
Crude
Oil
(186)
11/2022
USD
(14,641,920)
297,729
Cocoa
(187)
12/2022
USD
(4,401,980)
23,306
LME
Aluminum
Base
Metal
(1)
12/2022
USD
(53,988)
1,085
LME
Aluminum
Base
Metal
(2)
12/2022
USD
(108,098)
5,197
LME
Aluminum
Base
Metal
(4)
12/2022
USD
(216,250)
8,338
LME
Aluminum
Base
Metal
(5)
12/2022
USD
(269,813)
2,612
LME
Aluminum
Base
Metal
(6)
12/2022
USD
(324,273)
20,409
LME
Aluminum
Base
Metal
(7)
12/2022
USD
(378,263)
(5,254)
LME
Aluminum
Base
Metal
(12)
12/2022
USD
(648,600)
21,340
LME
Aluminum
Base
Metal
(13)
12/2022
USD
(702,767)
30,382
196
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(14)
12/2022
USD
$
(756,543)
$
54,801
LME
Aluminum
Base
Metal
(21)
12/2022
USD
(1,134,882)
56,464
LME
Aluminum
Base
Metal
(45)
12/2022
USD
(2,430,428)
94,067
LME
Aluminum
Base
Metal
(48)
12/2022
USD
(2,593,800)
72,458
LME
Aluminum
Base
Metal
(50)
12/2022
USD
(2,700,863)
134,353
LME
Aluminum
Base
Metal
(51)
12/2022
USD
(2,751,769)
184,422
LME
Aluminum
Base
Metal
(68)
12/2022
USD
(3,673,700)
220,016
LME
Aluminum
Base
Metal
(83)
12/2022
USD
(4,484,926)
283,959
LME
Aluminum
Base
Metal
(820)
12/2022
USD
(44,300,500)
3,962,143
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,053)
(2,752)
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,729)
6,525
LME
Copper
Base
Metal
(1)
12/2022
USD
(189,528)
4,263
LME
Copper
Base
Metal
(2)
12/2022
USD
(379,288)
3,456
LME
Copper
Base
Metal
(3)
12/2022
USD
(569,328)
29,945
LME
Copper
Base
Metal
(5)
12/2022
USD
(946,263)
18,675
LME
Copper
Base
Metal
(7)
12/2022
USD
(1,327,769)
37,685
LME
Copper
Base
Metal
(9)
12/2022
USD
(1,701,342)
(35,620)
LME
Copper
Base
Metal
(11)
12/2022
USD
(2,085,394)
40,298
LME
Copper
Base
Metal
(16)
12/2022
USD
(3,037,172)
148,986
LME
Copper
Base
Metal
(20)
12/2022
USD
(3,780,000)
8,770
LME
Copper
Base
Metal
(24)
12/2022
USD
(4,558,026)
61,911
LME
Copper
Base
Metal
(30)
12/2022
USD
(5,698,958)
27,814
LME
Copper
Base
Metal
(35)
12/2022
USD
(6,655,408)
34,182
LME
Copper
Base
Metal
(53)
12/2022
USD
(10,018,219)
(129,545)
LME
Copper
Base
Metal
(176)
12/2022
USD
(33,347,600)
279,606
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,806)
(284)
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,731)
(1,121)
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,806)
(573)
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,781)
308
LME
Lead
Base
Metal
(1)
12/2022
USD
(47,700)
(303)
LME
Lead
Base
Metal
(2)
12/2022
USD
(95,588)
2,444
LME
Lead
Base
Metal
(3)
12/2022
USD
(143,306)
(1,864)
LME
Lead
Base
Metal
(4)
12/2022
USD
(190,700)
(7,711)
LME
Lead
Base
Metal
(7)
12/2022
USD
(334,644)
7,200
LME
Lead
Base
Metal
(8)
12/2022
USD
(381,550)
(28,571)
LME
Lead
Base
Metal
(9)
12/2022
USD
(430,256)
11,170
LME
Lead
Base
Metal
(25)
12/2022
USD
(1,195,156)
20,716
LME
Lead
Base
Metal
(29)
12/2022
USD
(1,383,663)
(51,914)
LME
Lead
Base
Metal
(140)
12/2022
USD
(6,685,000)
296,558
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,633)
9,894
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
19,365
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,552)
21,405
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,562)
24,065
LME
Nickel
Base
Metal
(1)
12/2022
USD
(126,509)
2,023
LME
Nickel
Base
Metal
(2)
12/2022
USD
(252,916)
(4,920)
LME
Nickel
Base
Metal
(4)
12/2022
USD
(506,208)
72,300
LME
Nickel
Base
Metal
(5)
12/2022
USD
(632,760)
98,625
LME
Nickel
Base
Metal
(6)
12/2022
USD
(759,852)
55,818
LME
Nickel
Base
Metal
(8)
12/2022
USD
(1,012,416)
95,400
LME
Nickel
Base
Metal
(9)
12/2022
USD
(1,138,737)
88,386
LME
Nickel
Base
Metal
(63)
12/2022
USD
(7,972,776)
189,919
LME
Zinc
Base
Metal
(1)
12/2022
USD
(74,725)
6,222
LME
Zinc
Base
Metal
(2)
12/2022
USD
(149,425)
12,032
LME
Zinc
Base
Metal
(3)
12/2022
USD
(223,800)
13,739
LME
Zinc
Base
Metal
(3)
12/2022
USD
(222,750)
(4,682)
LME
Zinc
Base
Metal
(3)
12/2022
USD
(224,063)
7,816
197
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(4)
12/2022
USD
$
(297,650)
$
14,141
LME
Zinc
Base
Metal
(4)
12/2022
USD
(298,800)
25,388
LME
Zinc
Base
Metal
(5)
12/2022
USD
(371,000)
213
LME
Zinc
Base
Metal
(6)
12/2022
USD
(447,863)
20,155
LME
Zinc
Base
Metal
(16)
12/2022
USD
(1,196,200)
77,119
LME
Zinc
Base
Metal
(18)
12/2022
USD
(1,346,625)
119,317
LME
Zinc
Base
Metal
(21)
12/2022
USD
(1,558,725)
(51,512)
LME
Zinc
Base
Metal
(24)
12/2022
USD
(1,794,660)
75,183
LME
Zinc
Base
Metal
(25)
12/2022
USD
(1,869,250)
93,697
LME
Zinc
Base
Metal
(414)
12/2022
USD
(30,874,050)
2,876,909
Wheat
(189)
12/2022
USD
(8,708,175)
(1,056,278)
Feeder
Cattle
(73)
1/2023
USD
(6,412,138)
314,510
Soybean
(150)
1/2023
USD
(10,316,250)
661,871
21,869,233
$
(8,755,050)
198
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
90.4%
COMMON
STOCKS
-
3.8%
Italy
-
3.0%
A2A
SpA
(a)
2,716,297
2,638,761
Assicurazioni
Generali
SpA
(a)
232,797
3,178,687
Azimut
Holding
SpA
(a)
62,431
890,472
Banco
BPM
SpA
(a)
240,763
629,552
Buzzi
Unicem
SpA
(a)
159,440
2,255,450
Enel
SpA
(a)
30,359
124,509
Hera
SpA
(a)
818,822
1,739,898
Intesa
Sanpaolo
SpA
(a)
71,289
117,842
Italgas
SpA
(a)
41,633
193,333
Leonardo
SpA
(a)
671,956
4,757,718
Mediobanca
Banca
di
Credito
Finanziario
SpA
(a)
19,063
149,163
Pirelli
&
C
SpA
(a)(b)
138,265
450,351
Poste
Italiane
SpA
(a)(b)
152,549
1,152,509
Prysmian
SpA
(a)
56,861
1,628,720
Telecom
Italia
SpA
*(a)
3,050,402
564,224
UniCredit
SpA
(a)
41,596
421,121
Unipol
Gruppo
SpA
(a)
751,844
2,920,140
23,812,450
—
United
States
-
0.8%
Stellantis
NV
(a)
323,659
3,823,205
Tenaris
SA
(a)
178,982
2,315,862
6,139,067
—
TOTAL
COMMON
STOCKS
(Cost
$37,855,698)
29,951,517
SHORT-TERM
INVESTMENTS
-
86.6%
INVESTMENT
COMPANIES
-
37.5%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(c)(d)
16,846,703
16,846,703
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(c)(e)
278,773,576
278,634,189
TOTAL
INVESTMENT
COMPANIES
(Cost
$295,402,813)
295,480,892
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
49.1%
U.S.
Treasury
Bills
1.12%,
10/6/2022
(f)
$
23,169,000
23,164,265
1.23%,
10/13/2022
(f)
13,862,000
13,851,979
1.38%,
10/27/2022
(f)
46,468,000
46,388,268
1.42%,
11/3/2022
(f)
7,809,000
7,791,094
1.39%,
11/10/2022
(f)(g)
30,207,000
30,120,790
1.50%,
11/17/2022
(f)(g)
3,490,000
3,477,567
1.59%,
12/1/2022
(f)(g)
9,850,000
9,803,064
1.72%,
12/8/2022
(f)(g)
39,538,000
39,324,075
2.18%,
12/15/2022
(f)
125,000
124,287
2.53%,
12/29/2022
(f)(g)
36,077,000
35,797,885
2.53%,
1/5/2023
(f)(g)
21,815,000
21,630,417
2.72%,
1/12/2023
(f)(g)
40,543,000
40,176,340
2.95%,
1/19/2023
(f)(g)
5,238,000
5,185,128
3.09%,
2/9/2023
(f)(g)
22,248,000
21,964,881
3.07%,
2/16/2023
(f)(g)
632,000
623,590
3.38%,
3/9/2023
(f)
19,863,000
19,540,395
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
49.1%
(continued)
3.53%,
3/16/2023
(f)(g)
$
44,568,000
43,818,540
3.85%,
3/23/2023
(f)(g)
21,354,000
20,982,507
3.93%,
3/30/2023
(f)
2,265,000
2,222,189
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$386,433,095)
385,987,261
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$681,835,908)
681,468,153
TOTAL
LONG
POSITIONS
(Cost
$719,691,606)
711,419,670
SHARES
SHORT
POSITIONS
-
(3.5)%
COMMON
STOCKS
-
(3.5)%
Canada
-
(0.1)%
SNC-Lavalin
Group,
Inc.
(1)
(26,506)
(441,335)
Italy
-
(3.3)%
Amplifon
SpA
(55,731)
(1,452,032)
Banca
Generali
SpA
(29,313)
(812,956)
Brembo
SpA
(60,081)
(495,627)
Davide
Campari-Milano
NV
(431,176)
(3,814,856)
DiaSorin
SpA
(10,843)
(1,209,998)
Ferrari
NV
(16,771)
(3,105,753)
FinecoBank
Banca
Fineco
SpA
(47,953)
(592,243)
Infrastrutture
Wireless
Italiane
SpA
(b)
(219,922)
(1,918,716)
Interpump
Group
SpA
(29,282)
(947,039)
Moncler
SpA
(60,281)
(2,460,943)
Nexi
SpA
(b)
(258,858)
(2,091,085)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(48,665)
(1,781,067)
Reply
SpA
(6,515)
(678,595)
Salvatore
Ferragamo
SpA
(50,116)
(703,263)
Snam
SpA
(461,120)
(1,863,816)
Terna
-
Rete
Elettrica
Nazionale
(441,797)
(2,690,778)
(26,618,767)
—
Portugal
–
(0.0)%
(h)
Banco
Espirito
Santo
SA
(Registered)
(3)(i)
(216,618)
(2)
United
Kingdom
-
(0.1)%
CNH
Industrial
NV
(75,847)
(848,899)
TOTAL
COMMON
STOCKS
(Proceeds
$(39,684,625))
(27,909,003)
TOTAL
SHORT
POSITIONS
(Proceeds
$(39,684,625))
(27,909,003)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
86.9%
(Cost
$680,006,981)
683,510,667
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
13.1%
(j)
103,407,953
NET
ASSETS
-
100.0%
786,918,620
199
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
*
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
$30,127,061.
In
addition,
$598,308
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$(2,406,941),
which
represents
(0.31)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
For
the
period
ended
September
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2022
amounted
to
$(2),
which
represents
(0.00)%
of
net
assets
of
the
fund.
(j)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(1,354,492)
(0.2)
%
Consumer
Discretionary
(2,492,030)
(0.3)
Consumer
Staples
(3,814,855)
(0.5)
Energy
2,315,862
0.3
Financials
8,054,284
1.0
Health
Care
(4,443,097)
(0.5)
Industrials
4,149,166
0.5
Information
Technology
(2,769,681)
(0.3)
Materials
2,255,450
0.3
Utilities
141,907
0.0
(
h
)
Investment
Companies
295,480,892
37.5
U.S.
Treasury
Obligations
385,987,261
49.1
Total
Investments
In
Securities
At
Value
683,510,667
86.9
Other
Assets
in
Excess
of
Liabilities
(j)
103,407,953
13.1
Net
Assets
$
786,918,620
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2022
Shares
Held
At
9/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
35.4%
INVESTMENT
COMPANIES
-
35.4%
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)
(Cost
$278,556,110)
$255,575,499
$1,530,686,800
$(1,507,564,357)
$(141,818)
$78,065
$278,634,189
278,773,576
$1,541,729
$–
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
(3)
Level
3
security.
200
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
92,100,000
$
1,352,217
$
2,561,280
$
3,913,497
Receive
1D
SOFR
Annual
2.75%
Annual
3/17/2025
USD
320,400,000
3,630,790
4,910,458
8,541,248
Receive
1D
SOFR
Annual
3.50%
Annual
3/17/2025
USD
123,400,000
1,929,380
(377,217)
1,552,163
Receive
1D
SONIA
Annual
2.25%
Annual
12/21/2032
GBP
6,200,000
217,399
972,195
1,189,594
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
4,600,000
1,052,573
128,162
1,180,735
Receive
1D
SONIA
Annual
3.00%
Annual
3/15/2033
GBP
43,000,000
3,593,074
1,690,607
5,283,681
Receive
1D
SONIA
Annual
2.00%
Annual
3/15/2033
GBP
7,400,000
625,074
917,473
1,542,547
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
2,891,300,000
(338,110)
380,664
42,554
Receive
1D
TONAR
Annual
0.50%
Annual
3/15/2033
JPY
22,222,900,000
(279,681)
960,194
680,513
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
518,800,000
6,837,054
5,225,599
12,062,653
Receive
3M
BA
Qtrly
4.00%
Semi
3/13/2025
CAD
162,400,000
235,758
(24,610)
211,148
Receive
3M
BA
Qtrly
3.25%
Semi
3/13/2025
CAD
654,000,000
7,121,902
390,873
7,512,775
Receive
3M
BBR
Qtrly
4.00%
Qtrly
3/13/2025
AUD
160,600,000
200,485
126,749
327,234
Receive
3M
BBR
Qtrly
3.50%
Qtrly
3/13/2025
AUD
3,800,000
42,871
(12,093)
30,778
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
31,600,000
2,666,799
2,939,439
5,606,238
Receive
6M
EURIBOR
Semi
2.00%
Annual
3/15/2033
EUR
43,200,000
1,868,351
2,269,183
4,137,534
30,755,936
23,058,956
53,814,892
Pay
1D
SARON
Annual
1.00%
Annual
3/17/2025
CHF
269,700,000
(1,989,930)
(1,177,630)
(3,167,560)
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
19,800,000
(1,600,520)
(950,278)
(2,550,798)
Pay
1D
SOFR
Annual
3.00%
Annual
3/15/2033
USD
22,500,000
(1,060,446)
76,045
(984,401)
Pay
1D
SOFR
Annual
2.50%
Annual
3/15/2033
USD
13,900,000
(608,277)
(569,330)
(1,177,607)
Pay
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
20,900,000
(1,528,456)
(38,277)
(1,566,733)
Pay
1D
SONIA
Annual
2.75%
Annual
12/23/2024
GBP
27,200,000
(551,403)
(1,069,936)
(1,621,339)
Pay
1D
SONIA
Annual
4.00%
Annual
3/17/2025
GBP
158,100,000
(4,956,768)
(479,525)
(5,436,293)
Pay
1D
SONIA
Annual
2.50%
Annual
3/17/2025
GBP
9,300,000
(639,438)
37,601
(601,837)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
14,279,000,000
(87,791)
(166,807)
(254,598)
Pay
1D
TONAR
Annual
0.00%
Annual
3/17/2025
JPY
131,296,600,000
(2,360,271)
(515,455)
(2,875,726)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
121,900,000
(7,084,645)
(1,574,534)
(8,659,179)
Pay
3M
BA
Qtrly
3.50%
Semi
3/14/2033
CAD
12,200,000
(86,033)
(26,341)
(112,374)
Pay
3M
BA
Qtrly
3.25%
Semi
3/14/2033
CAD
14,500,000
(327,119)
(24,569)
(351,688)
Pay
3M
BBR
Qtrly
4.50%
Semi
3/12/2025
NZD
125,400,000
24,169
(478,986)
(454,817)
Pay
3M
BBR
Qtrly
4.00%
Semi
3/12/2025
NZD
145,000,000
(644,060)
(631,311)
(1,275,371)
Pay
3M
STIBOR
Qtrly
3.50%
Annual
3/19/2025
SEK
926,100,000
8,268
(85,448)
(77,180)
Pay
6M
BBR
Semi
4.00%
Semi
3/10/2033
AUD
48,500,000
(724,474)
(455,845)
(1,180,319)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
88,400,000
(2,313,207)
(1,359,069)
(3,672,276)
Pay
6M
EURIBOR
Semi
1.50%
Annual
3/17/2025
EUR
441,300,000
(9,673,034)
(3,499,240)
(13,172,274)
Receive
6M
NIBOR
Semi
4.00%
Annual
3/19/2025
NOK
110,100,000
(28,242)
(37,975)
(66,217)
(36,231,677)
(13,026,910)
(49,258,587)
$
(5,475,741)
$
10,032,046
$
4,556,305
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
201
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
(a)
Floating
rate
indices
at
September
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
2.98%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
2.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.07%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.06%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
4.20%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
1.73%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
3.57%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
1.81%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
3.46%
Total
return
swap
contracts
outstanding
as
of
September
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
HSCEI
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/28/2022
HKD
(31,639,900)
$
122,130
WIG20
Index
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
12/16/2022
PLN
(13,734,980)
103,959
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
(0.15%)
Monthly
CITI
12/21/2022
MXN
(128,270,038)
265,946
MSCI
Netherlands
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.30%)
Monthly
CITI
12/21/2022
EUR
(9,730,448)
711,305
MSCI
Poland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
WIBOR
plus
or
minus
a
specified
spread
(-0.50%)
Monthly
CITI
12/21/2022
PLN
(1,188,089)
5,102
MSCI
Singapore
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.15%)
Monthly
CITI
12/21/2022
SGD
(5,967,442)
172,042
1,380,484
DTOP
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/15/2022
ZAR
338,160
(1,479)
202
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
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
October
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
10/27/2022
USD
(1,811,328)
$
(19,656)
TAIEX
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
10/19/2022
TWD
417,892,800
(1,060,972)
Tel
Aviv
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
12/28/2022
ILS
7,165,197
(119,524)
MSCI
Emerging
Markets
Taiwan
Net
Total
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/21/2022
USD
1,618,878
(180,595)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.38%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
12/21/2022
EUR
11,655,204
(871,487)
MSCI
South
Africa
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
JIBAR
plus
or
minus
a
specified
spread
(0.55%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
12/21/2022
ZAR
33,694,522
(103,753)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
12/21/2022
EUR
6,204,600
(527,161)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
12/21/2022
CHF
17,065,353
(773,103)
203
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
12/21/2022
GBP
3,124,751
$
(176,843)
(3,834,573)
$
(2,454,089)
Futures
contracts
outstanding
as
of
September
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
526
10/2022
USD
$
44,783,640
$
(2,875,863)
FTSE
Bursa
Malaysia
KLCI
Index
58
10/2022
MYR
875,879
(5,113)
IBEX
35
Index
415
10/2022
EUR
29,948,476
(2,958,262)
LME
Copper
Base
Metal
3
10/2022
USD
576,600
592
LME
Copper
Base
Metal
13
10/2022
USD
2,497,950
(40,650)
LME
Copper
Base
Metal
16
10/2022
USD
3,072,800
107,210
LME
Copper
Base
Metal
22
10/2022
USD
4,217,950
40,092
LME
Copper
Base
Metal
23
10/2022
USD
4,415,569
188,749
LME
Copper
Base
Metal
24
10/2022
USD
4,612,800
(249,696)
LME
Copper
Base
Metal
32
10/2022
USD
6,133,600
(84,834)
LME
Copper
Base
Metal
36
10/2022
USD
6,919,200
429,011
LME
Copper
Base
Metal
46
10/2022
USD
8,837,750
135,379
SGX
FTSE
Taiwan
Index
527
10/2022
USD
24,610,900
(596,969)
WTI
Crude
Oil
184
10/2022
USD
14,626,160
(847,438)
LME
Copper
Base
Metal
2
11/2022
USD
382,175
(14,580)
LME
Copper
Base
Metal
4
11/2022
USD
761,375
(58,462)
LME
Copper
Base
Metal
7
11/2022
USD
1,337,175
(88,131)
LME
Copper
Base
Metal
8
11/2022
USD
1,531,200
(22,310)
LME
Copper
Base
Metal
9
11/2022
USD
1,720,913
(57,736)
LME
Copper
Base
Metal
9
11/2022
USD
1,714,361
(88,146)
LME
Copper
Base
Metal
10
11/2022
USD
1,902,018
(48,665)
LME
Copper
Base
Metal
18
11/2022
USD
3,427,452
(215,667)
LME
Copper
Base
Metal
22
11/2022
USD
4,201,175
(176,883)
LME
Copper
Base
Metal
33
11/2022
USD
6,290,625
(341,129)
LME
Copper
Base
Metal
41
11/2022
USD
7,844,838
(121,586)
EURO
STOXX
50
Index
1,175
12/2022
EUR
38,174,173
(3,148,270)
Euro-Bund
1,509
12/2022
EUR
204,590,397
(9,022,335)
FTSE
100
Index
208
12/2022
GBP
16,058,401
(1,312,843)
FTSE/JSE
Top
40
Index
284
12/2022
ZAR
9,070,897
(841,431)
FTSE/MIB
Index
818
12/2022
EUR
82,288,536
(6,463,392)
Japan
10
Year
Bond
186
12/2022
JPY
190,845,022
(110,573)
LME
Copper
Base
Metal
2
12/2022
USD
378,076
14,227
LME
Copper
Base
Metal
12
12/2022
USD
2,277,312
(120,037)
LME
Copper
Base
Metal
13
12/2022
USD
2,466,471
(73,951)
LME
Copper
Base
Metal
15
12/2022
USD
2,852,318
(17,745)
LME
Copper
Base
Metal
20
12/2022
USD
3,780,000
(9,407)
204
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
163
12/2022
USD
$
30,884,425
$
(1,592,523)
Long
Gilt
88
12/2022
GBP
9,486,655
(7,472)
SET50
Index
1,648
12/2022
THB
8,316,895
(146,962)
Silver
164
12/2022
USD
15,611,980
(17,336)
SPI
200
Index
595
12/2022
AUD
61,522,656
(4,877,617)
TOPIX
Index
1,469
12/2022
JPY
186,352,795
(6,508,066)
(42,246,820)
Short
Contracts
Amsterdam
Exchange
Index
(381)
10/2022
EUR
(47,843,620)
3,486,591
CAC
40
10
Euro
Index
(26)
10/2022
EUR
(1,468,615)
117,032
Hang
Seng
Index
(135)
10/2022
HKD
(14,799,067)
447,109
HSCEI
(335)
10/2022
HKD
(12,619,607)
369,611
LME
Copper
Base
Metal
(3)
10/2022
USD
(576,600)
(102)
LME
Copper
Base
Metal
(13)
10/2022
USD
(2,497,950)
(197)
LME
Copper
Base
Metal
(16)
10/2022
USD
(3,072,800)
(116,842)
LME
Copper
Base
Metal
(22)
10/2022
USD
(4,217,950)
(43,698)
LME
Copper
Base
Metal
(23)
10/2022
USD
(4,415,569)
(201,954)
LME
Copper
Base
Metal
(24)
10/2022
USD
(4,612,800)
(254,313)
LME
Copper
Base
Metal
(32)
10/2022
USD
(6,133,600)
89,190
LME
Copper
Base
Metal
(36)
10/2022
USD
(6,919,200)
117,946
LME
Copper
Base
Metal
(46)
10/2022
USD
(8,837,750)
(86,477)
MSCI
Singapore
Index
(847)
10/2022
SGD
(16,550,778)
70,869
Natural
Gas
(79)
10/2022
USD
(5,345,140)
636,415
OMXS30
Index
(236)
10/2022
SEK
(3,891,635)
186,431
SGX
NIFTY
50
Index
(177)
10/2022
USD
(6,049,152)
(55,953)
LME
Copper
Base
Metal
(2)
11/2022
USD
(382,175)
15,909
LME
Copper
Base
Metal
(4)
11/2022
USD
(761,375)
55,256
LME
Copper
Base
Metal
(7)
11/2022
USD
(1,337,175)
91,595
LME
Copper
Base
Metal
(8)
11/2022
USD
(1,531,200)
24,479
LME
Copper
Base
Metal
(9)
11/2022
USD
(1,714,361)
87,866
LME
Copper
Base
Metal
(9)
11/2022
USD
(1,720,913)
55,250
LME
Copper
Base
Metal
(10)
11/2022
USD
(1,902,018)
79,206
LME
Copper
Base
Metal
(18)
11/2022
USD
(3,427,452)
210,501
LME
Copper
Base
Metal
(22)
11/2022
USD
(4,201,175)
153,893
LME
Copper
Base
Metal
(33)
11/2022
USD
(6,290,625)
327,138
LME
Copper
Base
Metal
(41)
11/2022
USD
(7,844,838)
166,918
Soybean
(183)
11/2022
USD
(12,487,463)
1,843,035
100
oz
Gold
(887)
12/2022
USD
(148,306,400)
5,435,836
Australia
10
Year
Bond
(389)
12/2022
AUD
(29,152,623)
66,670
Canada
10
Year
Bond
(358)
12/2022
CAD
(31,999,320)
36,301
Corn
(868)
12/2022
USD
(29,403,500)
(2,815,107)
DAX
Index
(321)
12/2022
EUR
(95,432,712)
6,504,299
KOSPI
200
Index
(95)
12/2022
KRW
(4,688,745)
392,590
LME
Copper
Base
Metal
(2)
12/2022
USD
(378,076)
(16,831)
LME
Copper
Base
Metal
(12)
12/2022
USD
(2,277,312)
125,281
LME
Copper
Base
Metal
(13)
12/2022
USD
(2,466,471)
84,827
LME
Copper
Base
Metal
(15)
12/2022
USD
(2,852,318)
15,287
LME
Copper
Base
Metal
(20)
12/2022
USD
(3,780,000)
30,872
MEX
BOLSA
Index
(38)
12/2022
MXN
(846,908)
46,126
S&P
500
E-Mini
Index
(800)
12/2022
USD
(144,060,000)
15,308,930
S&P/TSX
60
Index
(117)
12/2022
CAD
(18,904,984)
1,220,539
U.S.
Treasury
10
Year
Note
(2,110)
12/2022
USD
(236,451,875)
10,821,946
45,130,270
$
2,883,450
205
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CLP
32,016,000
USD
31,727
CITI
**
12/21/2022
$
858
CLP
32,016,000
USD
31,727
JPMC
**
12/21/2022
858
CNY
730,500
USD
101,482
CITI
**
12/21/2022
1,007
CNY
730,500
USD
101,482
JPMC
**
12/21/2022
1,007
EUR
4,073,500
USD
3,989,784
CITI
12/21/2022
27,750
EUR
4,073,500
USD
3,989,789
JPMC
12/21/2022
27,745
GBP
39,970,500
USD
43,383,760
CITI
12/21/2022
1,299,958
GBP
39,970,500
USD
43,383,814
JPMC
12/21/2022
1,299,904
MXN
119,413,008
USD
5,830,331
CITI
12/21/2022
14,218
MXN
119,413,000
USD
5,830,338
JPMC
12/21/2022
14,211
TWD
1,692,500
USD
53,258
CITI
**
12/21/2022
39
TWD
1,692,500
USD
53,258
JPMC
**
12/21/2022
39
USD
8,709,385
AUD
12,760,500
CITI
12/21/2022
535,507
USD
8,709,375
AUD
12,760,500
JPMC
12/21/2022
535,496
USD
5,516,610
BRL
29,230,505
CITI
**
12/21/2022
194,662
USD
5,516,602
BRL
29,230,495
JPMC
**
12/21/2022
194,655
USD
11,700,707
CAD
15,974,000
CITI
12/21/2022
132,207
USD
11,700,692
CAD
15,974,000
JPMC
12/21/2022
132,193
USD
88,004,226
CHF
84,860,167
CITI
12/21/2022
1,283,105
USD
88,004,113
CHF
84,860,164
JPMC
12/21/2022
1,282,995
USD
1,245,027
CLP
1,148,825,502
CITI
**
12/21/2022
75,799
USD
1,245,026
CLP
1,148,825,498
JPMC
**
12/21/2022
75,797
USD
13,108,102
CNY
90,590,500
CITI
**
12/21/2022
398,232
USD
13,108,085
CNY
90,590,500
JPMC
**
12/21/2022
398,214
USD
731,306
DKK
5,386,212
CITI
12/21/2022
16,749
USD
731,305
DKK
5,386,211
JPMC
12/21/2022
16,749
USD
58,495,414
EUR
58,142,193
CITI
12/21/2022
1,152,037
USD
58,495,327
EUR
58,142,179
JPMC
12/21/2022
1,151,964
USD
109,445,969
GBP
93,823,377
CITI
12/21/2022
4,559,183
USD
109,447,585
GBP
93,823,374
JPMC
12/21/2022
4,560,802
USD
677,432
HUF
287,122,000
CITI
12/21/2022
27,003
USD
677,431
HUF
287,122,000
JPMC
12/21/2022
27,002
USD
85,672
IDR
1,295,674,500
CITI
**
12/21/2022
1,357
USD
85,673
IDR
1,295,674,500
JPMC
**
12/21/2022
1,359
USD
16,648,616
ILS
55,488,547
CITI
12/21/2022
977,233
USD
16,648,594
ILS
55,488,544
JPMC
12/21/2022
977,212
USD
3,426,271
INR
276,271,000
CITI
**
12/21/2022
65,296
USD
3,426,267
INR
276,271,000
JPMC
**
12/21/2022
65,292
USD
21,213,214
JPY
2,949,210,004
CITI
12/21/2022
648,190
USD
21,213,188
JPY
2,949,209,996
JPMC
12/21/2022
648,163
USD
43,807,227
KRW
59,263,032,485
CITI
**
12/21/2022
2,588,424
USD
43,807,172
KRW
59,263,032,475
JPMC
**
12/21/2022
2,588,370
USD
75,988,891
NZD
125,484,000
CITI
12/21/2022
5,729,370
USD
75,988,796
NZD
125,484,000
JPMC
12/21/2022
5,729,275
USD
1,732,589
PLN
8,365,998
CITI
12/21/2022
67,668
USD
1,732,587
PLN
8,365,998
JPMC
12/21/2022
67,666
USD
6,214,946
SEK
65,412,635
CITI
12/21/2022
290,228
USD
6,214,938
SEK
65,412,633
JPMC
12/21/2022
290,220
USD
1,901,102
SGD
2,664,752
CITI
12/21/2022
43,717
USD
1,901,096
SGD
2,664,747
JPMC
12/21/2022
43,715
USD
7,549,931
TWD
231,929,860
CITI
**
12/21/2022
246,478
USD
7,549,921
TWD
231,929,824
JPMC
**
12/21/2022
246,467
USD
12,496,345
ZAR
219,001,504
CITI
12/21/2022
481,681
USD
12,496,329
ZAR
219,001,496
JPMC
12/21/2022
481,665
Total
unrealized
appreciation
41,716,991
206
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
153,324,497
USD
104,348,663
CITI
12/21/2022
$
(6,134,972)
AUD
153,324,492
USD
104,348,790
JPMC
12/21/2022
(6,135,099)
BRL
148,838,987
USD
28,221,387
CITI
**
12/21/2022
(1,122,525)
BRL
148,838,979
USD
28,221,421
JPMC
**
12/21/2022
(1,122,559)
CAD
96,411,679
USD
73,492,572
CITI
12/21/2022
(3,670,461)
CAD
96,411,671
USD
73,492,658
JPMC
12/21/2022
(3,670,551)
CLP
20,330,500
USD
21,679
CITI
**
12/21/2022
(988)
CLP
20,330,500
USD
21,679
JPMC
**
12/21/2022
(988)
CNY
153,821,000
USD
22,254,028
CITI
**
12/21/2022
(672,901)
CNY
153,821,000
USD
22,254,055
JPMC
**
12/21/2022
(672,929)
EUR
17,744,500
USD
17,674,148
CITI
12/21/2022
(173,438)
EUR
17,744,500
USD
17,674,170
JPMC
12/21/2022
(173,462)
GBP
14,122,500
USD
16,291,665
CITI
12/21/2022
(503,877)
GBP
14,122,500
USD
16,291,686
JPMC
12/21/2022
(503,897)
HUF
2,433,046,501
USD
5,912,664
CITI
12/21/2022
(400,990)
HUF
2,433,046,499
USD
5,912,671
JPMC
12/21/2022
(400,997)
ILS
28,805,000
USD
8,461,016
CITI
12/21/2022
(325,749)
ILS
28,805,000
USD
8,461,027
JPMC
12/21/2022
(325,759)
INR
693,515,848
USD
8,615,173
CITI
**
12/21/2022
(178,204)
INR
693,515,842
USD
8,615,184
JPMC
**
12/21/2022
(178,215)
JPY
2,813,387,686
USD
20,208,825
CITI
12/21/2022
(590,897)
JPY
2,813,387,670
USD
20,208,850
JPMC
12/21/2022
(590,922)
KRW
4,827,404,500
USD
3,399,729
CITI
**
12/21/2022
(42,158)
KRW
4,827,404,500
USD
3,399,733
JPMC
**
12/21/2022
(42,162)
MXN
112,305,167
USD
5,520,460
CITI
12/21/2022
(23,795)
MXN
112,305,166
USD
5,520,467
JPMC
12/21/2022
(23,804)
NOK
733,051,310
USD
73,644,824
CITI
12/21/2022
(6,189,342)
NOK
733,051,292
USD
73,644,914
JPMC
12/21/2022
(6,189,438)
NZD
38,838,428
USD
23,649,390
CITI
12/21/2022
(1,903,438)
NZD
38,838,429
USD
23,649,420
JPMC
12/21/2022
(1,903,465)
PLN
39,969,000
USD
8,316,768
CITI
12/21/2022
(362,518)
PLN
39,969,000
USD
8,316,778
JPMC
12/21/2022
(362,531)
SEK
224,502,001
USD
21,164,334
CITI
12/21/2022
(830,174)
SEK
224,501,999
USD
21,164,360
JPMC
12/21/2022
(830,201)
SGD
4,577,503
USD
3,267,546
CITI
12/21/2022
(76,936)
SGD
4,577,497
USD
3,267,545
JPMC
12/21/2022
(76,940)
TWD
26,255,500
USD
855,749
CITI
**
12/21/2022
(28,963)
TWD
26,255,500
USD
855,750
JPMC
**
12/21/2022
(28,964)
USD
1,064
CLP
1,067,500
CITI
**
12/21/2022
(23)
USD
1,064
CLP
1,067,500
JPMC
**
12/21/2022
(23)
USD
679,395
CNY
4,875,500
CITI
**
12/21/2022
(4,639)
USD
679,395
CNY
4,875,500
JPMC
**
12/21/2022
(4,639)
USD
4,648,627
EUR
4,767,000
CITI
12/21/2022
(52,879)
USD
4,648,622
EUR
4,767,000
JPMC
12/21/2022
(52,885)
USD
4,126,914
GBP
3,694,000
CITI
12/21/2022
(2,673)
USD
4,126,909
GBP
3,694,000
JPMC
12/21/2022
(2,678)
USD
302,987
HUF
135,000,000
CITI
12/21/2022
(2,834)
USD
302,987
HUF
135,000,000
JPMC
12/21/2022
(2,834)
USD
1,397,437
INR
115,000,000
CITI
**
12/21/2022
(1,595)
USD
1,397,436
INR
115,000,000
JPMC
**
12/21/2022
(1,597)
USD
25,564
MXN
527,500
CITI
12/21/2022
(254)
USD
25,564
MXN
527,500
JPMC
12/21/2022
(254)
USD
6,940,603
SEK
77,500,000
CITI
12/21/2022
(78,922)
USD
6,940,594
SEK
77,500,000
JPMC
12/21/2022
(78,931)
USD
635,531
TWD
20,185,500
CITI
**
12/21/2022
(108)
USD
635,531
TWD
20,185,500
JPMC
**
12/21/2022
(108)
ZAR
233,481,004
USD
13,440,811
CITI
12/21/2022
(631,785)
207
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
ZAR
233,480,996
USD
13,440,828
JPMC
12/21/2022
$
(631,801)
Total
unrealized
depreciation
(48,016,671)
Net
unrealized
depreciation
$
(6,299,680)
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TIIE
plus
or
minus
a
specified
spread
(-0.50%
to
0.50%),
which
is
denominated
in
MXN
based
on
the
local
currencies
of
the
positions
within
the
swap.
43-52
months
maturity
ranging
from
04/17/2026
-
12/18/2026
$3,747,228
$(69,649)
$(5,638)
$(75,287)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
WIBOR
plus
or
minus
a
specified
spread
(-1.80%
to
0.70%),
which
is
denominated
in
PLN
based
on
the
local
currencies
of
the
positions
within
the
swap.
43-61
months
maturity
ranging
from
04/17/2026
-
09/10/2027
$7,657,508
$43,102
$78,593
$121,695
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-7.00%
to
0.75%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
43-61
months
maturity
ranging
from
04/17/2026
-
09/29/2027
$6,521,719
$14,268
$(21,828)
$(7,560)
208
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-9.03%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
10/25/2022
-
11/27/2023
$491,017,819
$193,030
$(1,420,885)
$(1,227,855)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Acuity
Brands,
Inc.
19,521
3,073,972
1,757
(0.1)
Alphabet,
Inc.
44,913
4,295,928
(113,181)
9.2
Amdocs
Ltd.
28,637
2,275,210
12,314
(1.0)
Amkor
Technology,
Inc.
157,475
2,684,949
47,243
(3.8)
APA
Corp.
75,378
2,577,174
177,138
(14.4)
AutoNation,
Inc.
30,200
3,076,474
(105,398)
8.6
Builders
FirstSource,
Inc.
108,124
6,370,666
651,988
(53.1)
Cognizant
Technology
Solutions
Corp.
47,038
2,701,863
(58,798)
4.8
Curtiss-Wright
Corp.
16,732
2,328,425
22,756
(1.9)
CVS
Health
Corp.
30,593
2,917,654
(72,505)
5.9
EMCOR
Group,
Inc.
24,527
2,832,378
14,226
(1.2)
Exxon
Mobil
Corp.
27,935
2,439,005
93,024
(7.6)
General
Dynamics
Corp.
14,690
3,116,777
(121,339)
9.9
Genuine
Parts
Co.
14,955
2,233,081
2,841
(0.2)
Hologic,
Inc.
35,148
2,267,749
30,227
(2.5)
Huntington
Ingalls
Industries,
Inc.
14,070
3,116,505
(75,415)
6.1
LKQ
Corp.
67,070
3,162,350
13,414
(1.1)
Macy's,
Inc.
217,206
3,403,618
99,915
(8.1)
Marathon
Oil
Corp.
114,841
2,593,110
171,113
(13.9)
Meta
Platforms,
Inc.
38,145
5,175,514
(26,320)
2.1
Micron
Technology,
Inc.
60,508
3,031,451
73,820
(6.0)
Microsoft
Corp.
12,773
2,974,832
(58,117)
4.7
Molina
Healthcare,
Inc.
7,696
2,538,449
23,242
(1.9)
Owens
Corning
53,503
4,205,871
189,936
(15.5)
PDC
Energy,
Inc.
44,839
2,591,246
251,098
(20.5)
Penske
Automotive
Group,
Inc.
23,615
2,324,424
44,632
(3.6)
Playtika
Holding
Corp.
306,962
2,882,373
(70,601)
5.7
Teradata
Corp.
83,293
2,587,081
66,634
(5.4)
Textron,
Inc.
86,576
5,043,918
(8,658)
0.7
Valero
Energy
Corp.
25,867
2,763,889
231,768
(18.9)
Ziff
Davis,
Inc.
46,515
3,185,347
(40,933)
3.3
209
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Singapore
Sea
Ltd.,
ADR
(50,347)
(2,821,949)
(104,722)
8.5
United
States
Advanced
Drainage
Systems,
Inc.
(19,458)
(2,419,991)
(92,231)
7.5
Amazon.com,
Inc.
(21,739)
(2,456,507)
46,739
(3.8)
Boeing
Co.
(The)
(39,462)
(4,778,059)
247,032
(20.1)
Cheniere
Energy,
Inc.
(15,037)
(2,494,789)
(255,028)
20.8
EQT
Corp.
(65,808)
(2,681,676)
(90,157)
7.3
First
Solar,
Inc.
(17,883)
(2,365,384)
(72,605)
5.9
Guardant
Health,
Inc.
(41,438)
(2,230,608)
(239,512)
19.5
HealthEquity,
Inc.
(42,437)
(2,850,493)
148,105
(12.1)
Hess
Corp.
(39,140)
(4,265,869)
(322,905)
26.3
Honeywell
International,
Inc.
(30,046)
(5,016,781)
93,143
(7.6)
Insulet
Corp.
(12,002)
(2,753,259)
26,284
(2.1)
Oak
Street
Health,
Inc.
(110,325)
(2,705,169)
76,124
(6.2)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(51,929)
(2,679,536)
333,384
(27.2)
Quanta
Services,
Inc.
(19,630)
(2,500,666)
(32,390)
2.6
R1
RCM,
Inc.
(120,978)
(2,241,722)
(14,517)
1.2
Snap,
Inc.
(230,867)
(2,267,114)
83,112
(6.8)
Twitter,
Inc.
(93,600)
(4,103,424)
(217,152)
17.7
Valmont
Industries,
Inc.
(8,923)
(2,396,896)
(94,048)
7.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
29-61
months
maturity
ranging
from
01/13/2025
-
09/20/2027
$65,154,964
$441,660
$167,192
$608,852
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
90,066
1,899,185
(96,450)
(15.8)
Atlas
Arteria
Ltd.
248,580
989,860
(278,994)
(45.8)
Aurizon
Holdings
Ltd.
1,307,712
2,892,203
(219,495)
(36.1)
BHP
Group
Ltd.
97,336
2,419,591
48,224
7.9
BlueScope
Steel
Ltd.
172,884
1,678,988
(148,986)
(24.5)
Brambles
Ltd.
207,939
1,521,167
(53,650)
(8.8)
Cleanaway
Waste
Management
Ltd.
315,178
549,469
(23,086)
(3.8)
Coles
Group
Ltd.
38,874
409,824
(18,862)
(3.1)
Computershare
Ltd.
36,590
583,613
7,387
1.2
210
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Fortescue
Metals
Group
Ltd.
36,306
389,758
(23,846)
(3.9)
Goodman
Group
49,901
504,340
(80,961)
(13.3)
Harvey
Norman
Holdings
Ltd.
452,022
1,169,355
(71,038)
(11.7)
Incitec
Pivot
Ltd.
618,724
1,406,900
(89,098)
(14.6)
JB
Hi-Fi
Ltd.
164,483
3,980,572
(333,102)
(54.7)
Origin
Energy
Ltd.
298,320
989,816
(127,120)
(20.9)
Qube
Holdings
Ltd.
1,196,037
1,898,996
(281,382)
(46.2)
Seven
Group
Holdings
Ltd.
35,829
388,680
(41,440)
(6.8)
Sonic
Healthcare
Ltd.
29,261
570,742
(38,490)
(6.3)
South32
Ltd.
575,408
1,365,967
(196,122)
(32.2)
Tabcorp
Holdings
Ltd.
734,251
440,318
1,183
0.2
Telstra
Corp.
Ltd.
424,575
1,048,373
(16,218)
(2.7)
WiseTech
Global
Ltd.
14,255
465,747
(85,540)
(14.0)
Worley
Ltd.
95,760
780,701
(73,165)
(12.0)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(98,079)
(867,362)
133,280
21.9
Alumina
Ltd.
(944,781)
(764,845)
108,411
17.8
APA
Group
(427,322)
(2,629,289)
289,945
47.6
Cochlear
Ltd.
(7,975)
(990,635)
106,125
17.4
Commonwealth
Bank
of
Australia
(9,972)
(580,121)
22,525
3.7
CSL
Ltd.
(8,210)
(1,493,129)
58,085
9.5
Evolution
Mining
Ltd.
(480,762)
(627,191)
59,959
9.8
IDP
Education
Ltd.
(186,884)
(3,139,368)
226,888
37.3
IGO
Ltd.
(96,675)
(850,403)
31,098
5.1
Insurance
Australia
Group
Ltd.
(630,139)
(1,864,117)
10,152
1.7
Lendlease
Corp.
Ltd.
(266,279)
(1,522,354)
206,024
33.8
Lynas
Rare
Earths
Ltd.
(228,881)
(1,103,762)
188,983
31.0
Medibank
Pvt
Ltd.
(1,166,625)
(2,607,595)
34,065
5.6
NEXTDC
Ltd.
(106,814)
(597,627)
58,279
9.6
OZ
Minerals
Ltd.
(57,990)
(959,346)
(8,289)
(1.4)
Pilbara
Minerals
Ltd.
(509,106)
(1,468,892)
(3,468)
(0.6)
Qantas
Airways
Ltd.
(610,565)
(1,959,378)
87,093
14.3
QBE
Insurance
Group
Ltd.
(141,193)
(1,047,602)
63,261
10.4
Ramsay
Health
Care
Ltd.
(28,132)
(1,032,656)
201,162
33.0
REA
Group
Ltd.
(12,452)
(906,337)
81,603
13.4
Reece
Ltd.
(135,883)
(1,221,064)
113,990
18.7
Scentre
Group
(343,863)
(561,831)
59,488
9.8
Westpac
Banking
Corp.
(32,672)
(432,250)
11,846
1.9
Woodside
Energy
Group
Ltd.
(30,931)
(631,967)
11,441
1.9
Woolworths
Group
Ltd.
(35,203)
(764,984)
44,974
7.4
New
Zealand
Xero
Ltd.
(25,043)
(1,158,905)
257,313
42.3
United
States
James
Hardie
Industries
plc
(48,334)
(949,403)
103,315
17.0
211
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-1.38%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
29-61
months
maturity
ranging
from
01/13/2025
-
09/29/2027
$163,502,763
$15,312
$646,445
$661,757
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
561,000
1,865,727
(38,899)
(5.9)
China
CITIC
Bank
Corp.
Ltd.
5,181,000
2,056,054
(168,245)
(25.4)
China
Coal
Energy
Co.
Ltd.
1,411,000
1,271,155
(89,577)
(13.5)
China
Construction
Bank
Corp.
2,562,000
1,478,791
(77,149)
(11.7)
China
Hongqiao
Group
Ltd.
2,677,000
2,191,428
(449,202)
(67.9)
China
Minsheng
Banking
Corp.
Ltd.
4,923,500
1,407,870
(135,105)
(20.4)
China
National
Building
Material
Co.
Ltd.
1,746,000
1,329,448
(308,099)
(46.6)
CITIC
Ltd.
1,683,000
1,585,656
(152,751)
(23.1)
COSCO
SHIPPING
Holdings
Co.
Ltd.
985,500
1,146,302
(37,458)
(5.7)
CSPC
Pharmaceutical
Group
Ltd.
1,254,000
1,242,934
(16,834)
(2.5)
Dongyue
Group
Ltd.
1,097,000
1,087,071
(149,579)
(22.6)
Kunlun
Energy
Co.
Ltd.
2,438,000
1,754,691
(298,290)
(45.1)
New
China
Life
Insurance
Co.
Ltd.
779,700
1,484,914
(229,610)
(34.7)
Sinopharm
Group
Co.
Ltd.
639,600
1,276,505
(64,789)
(9.8)
SITC
International
Holdings
Co.
Ltd.
673,000
1,234,238
(247,966)
(37.5)
Topsports
International
Holdings
Ltd.
1,802,000
1,259,663
(209,549)
(31.7)
Xinyi
Glass
Holdings
Ltd.
1,362,000
1,969,701
(498,654)
(75.4)
Zhongsheng
Group
Holdings
Ltd.
276,000
1,094,432
(145,514)
(22.0)
Hong
Kong
ASMPT
Ltd.
262,600
1,591,870
(413,681)
(62.5)
CK
Asset
Holdings
Ltd.
545,372
3,274,080
(429,057)
(64.8)
Orient
Overseas
International
Ltd.
116,000
2,018,756
(99,354)
(15.0)
Sino
Land
Co.
Ltd.
910,000
1,196,948
(152,462)
(23.0)
Sun
Hung
Kai
Properties
Ltd.
218,000
2,405,907
(246,313)
(37.2)
Swire
Pacific
Ltd.
208,000
1,554,704
90,689
13.7
WH
Group
Ltd.
5,608,500
3,527,405
(187,946)
(28.4)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
961,000
5,291,505
(572,634)
(86.5)
212
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(636,900)
(1,658,525)
77,815
11.8
China
Mengniu
Dairy
Co.
Ltd.
(284,000)
(1,122,682)
68,371
10.3
China
Merchants
Bank
Co.
Ltd.
(580,500)
(2,686,474)
226,981
34.3
China
Southern
Airlines
Co.
Ltd.
(2,518,000)
(1,325,178)
(229)
(0.0)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(674,600)
(1,267,828)
648
0.1
CITIC
Securities
Co.
Ltd.
(829,500)
(1,404,113)
250,621
37.9
ESR
Group
Ltd.
(788,000)
(1,982,111)
281,608
42.6
Flat
Glass
Group
Co.
Ltd.
(593,000)
(1,434,916)
361,969
54.7
Ganfeng
Lithium
Co.
Ltd.
(206,600)
(1,364,802)
369,663
55.9
Innovent
Biologics,
Inc.
(385,000)
(1,183,227)
220,115
33.3
Meituan
(71,000)
(1,492,169)
125,062
18.9
Nongfu
Spring
Co.
Ltd.
(271,600)
(1,570,732)
(34,010)
(5.1)
Postal
Savings
Bank
of
China
Co.
Ltd.
(3,353,000)
(1,970,776)
72,684
11.0
Xiaomi
Corp.
(1,578,800)
(1,787,789)
354,504
53.6
Xinyi
Solar
Holdings
Ltd.
(1,154,155)
(1,212,020)
247,999
37.5
ZhongAn
Online
P&C
Insurance
Co.
Ltd.
(726,100)
(1,618,284)
530,784
80.2
Zijin
Mining
Group
Co.
Ltd.
(1,208,000)
(1,169,244)
238,420
36.0
Hong
Kong
AIA
Group
Ltd.
(574,400)
(4,782,401)
657,997
99.4
Hong
Kong
&
China
Gas
Co.
Ltd.
(4,103,716)
(3,614,761)
232,971
35.2
Power
Assets
Holdings
Ltd.
(281,500)
(1,411,096)
165,016
24.9
Techtronic
Industries
Co.
Ltd.
(229,000)
(2,185,146)
628,616
95.0
Wharf
Real
Estate
Investment
Co.
Ltd.
(768,000)
(3,481,643)
172,635
26.1
Macau
Galaxy
Entertainment
Group
Ltd.
(283,000)
(1,663,444)
(136,618)
(20.6)
Sands
China
Ltd.
(1,034,400)
(2,575,891)
(297,406)
(44.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.13%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
29-61
months
maturity
ranging
from
01/14/2025
-
09/21/2027
$447,266,755
$(6,271,851)
$1,550,708
$(4,721,143)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
133,100
4,143,651
(321,218)
6.8
Dai
Nippon
Printing
Co.
Ltd.
142,400
2,852,874
(108,668)
2.3
Dai-ichi
Life
Holdings,
Inc.
172,900
2,749,166
(129,502)
2.7
213
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
ENEOS
Holdings,
Inc.
812,200
2,619,470
(266,592)
5.6
Japan
Post
Insurance
Co.
Ltd.
224,500
3,144,366
(294,228)
6.2
Kajima
Corp.
311,000
2,947,818
(265,526)
5.6
Lion
Corp.
291,800
3,297,460
(9,056)
0.2
Mazda
Motor
Corp.
407,800
2,707,853
(709,157)
15.0
Mitsubishi
Electric
Corp.
421,700
3,815,562
(249,561)
5.3
Mitsubishi
HC
Capital,
Inc.
682,300
2,932,677
(277,758)
5.9
MS&AD
Insurance
Group
Holdings,
Inc.
97,500
2,582,066
(218,245)
4.6
NIPPON
EXPRESS
HOLDINGS,
Inc.
58,900
2,993,828
(86,895)
1.8
Obayashi
Corp.
471,900
3,028,639
(140,619)
3.0
Osaka
Gas
Co.
Ltd.
297,100
4,479,075
(296,122)
6.3
Shimamura
Co.
Ltd.
32,600
2,758,870
(56,717)
1.2
Sohgo
Security
Services
Co.
Ltd.
109,400
2,752,793
42,926
(0.9)
Sojitz
Corp.
227,700
3,336,203
(362,565)
7.7
Sumitomo
Heavy
Industries
Ltd.
141,900
2,628,219
(253,313)
5.4
Suntory
Beverage
&
Food
Ltd.
101,300
3,605,184
21,574
(0.5)
Taisei
Corp.
130,600
3,622,011
(239,580)
5.1
Tokyo
Electric
Power
Co.
Holdings,
Inc.
913,200
2,919,163
(259,456)
5.5
Tokyo
Gas
Co.
Ltd.
204,400
3,450,490
(247,480)
5.2
TOPPAN,
Inc.
238,000
3,545,264
(192,551)
4.1
Tosoh
Corp.
262,600
2,926,773
(467,994)
9.9
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(185,000)
(3,454,599)
(42,971)
0.9
ANA
Holdings,
Inc.
(279,100)
(5,250,463)
(125,222)
2.7
Daiichi
Sankyo
Co.
Ltd.
(100,100)
(2,797,882)
168,531
(3.6)
Daikin
Industries
Ltd.
(27,600)
(4,246,786)
477,804
(10.1)
Denso
Corp.
(56,800)
(2,597,076)
301,596
(6.4)
East
Japan
Railway
Co.
(54,300)
(2,784,748)
(154,351)
3.3
Fast
Retailing
Co.
Ltd.
(5,300)
(2,808,705)
236,098
(5.0)
Japan
Airlines
Co.
Ltd.
(214,900)
(3,848,429)
(41,659)
0.9
Japan
Airport
Terminal
Co.
Ltd.
(92,700)
(3,874,101)
(171,994)
3.6
Kakaku.com,
Inc.
(158,000)
(2,677,497)
118,557
(2.5)
Keio
Corp.
(80,700)
(2,940,663)
14,564
(0.3)
Keyence
Corp.
(9,200)
(3,041,157)
387,628
(8.2)
Kikkoman
Corp.
(55,900)
(3,169,031)
187,364
(4.0)
Kobe
Bussan
Co.
Ltd.
(149,500)
(3,596,565)
(43,190)
0.9
Lasertec
Corp.
(28,200)
(2,836,410)
843,539
(17.9)
M3,
Inc.
(143,400)
(4,003,983)
387,110
(8.2)
Marui
Group
Co.
Ltd.
(205,800)
(3,410,554)
123,012
(2.6)
MatsukiyoCocokara
&
Co.
(61,400)
(2,633,641)
(299,613)
6.3
MonotaRO
Co.
Ltd.
(226,800)
(3,480,212)
290,020
(6.1)
Nidec
Corp.
(74,200)
(4,153,431)
616,533
(13.1)
Odakyu
Electric
Railway
Co.
Ltd.
(210,900)
(2,717,461)
(46,420)
1.0
Oriental
Land
Co.
Ltd.
(35,700)
(4,841,950)
50,764
(1.1)
Pan
Pacific
International
Holdings
Corp.
(157,700)
(2,781,954)
36,880
(0.8)
Sony
Group
Corp.
(63,700)
(4,103,202)
603,988
(12.8)
Unicharm
Corp.
(186,100)
(6,104,989)
11,097
(0.2)
West
Japan
Railway
Co.
(82,500)
(3,153,488)
(105,554)
2.2
214
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.74%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
29-61
months
maturity
ranging
from
01/13/2025
-
09/29/2027
$782,905,621
$143,029
$633,611
$776,640
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Alaska
Air
Group,
Inc.
74,437
2,914,209
(551,578)
(71.0)
Archer-Daniels-Midland
Co.
46,559
3,745,672
(513,080)
(66.1)
AT&T,
Inc.
226,375
3,472,592
(371,496)
(47.8)
Brighthouse
Financial,
Inc.
78,492
3,408,123
(572,992)
(73.8)
Brunswick
Corp.
48,276
3,159,664
(432,553)
(55.7)
Expedia
Group,
Inc.
34,017
3,187,053
(526,583)
(67.8)
Gilead
Sciences,
Inc.
56,327
3,474,813
(202,214)
(26.0)
Greif,
Inc.
64,543
3,844,827
(540,013)
(69.5)
H&R
Block,
Inc.
73,312
3,118,692
(179,281)
(23.1)
HP,
Inc.
131,578
3,278,924
(410,216)
(52.8)
International
Paper
Co.
103,892
3,293,376
(1,017,924)
(131.1)
Jabil,
Inc.
67,179
3,876,900
(202,881)
(26.1)
Knight-Swift
Transportation
Holdings,
Inc.
71,749
3,510,679
(141,346)
(18.2)
Landstar
System,
Inc.
22,838
3,297,122
(52,984)
(6.8)
LyondellBasell
Industries
NV
40,073
3,016,695
(284,279)
(36.6)
ManpowerGroup,
Inc.
64,339
4,162,090
(625,071)
(80.5)
Molson
Coors
Beverage
Co.
124,902
5,994,047
(505,979)
(65.1)
National
Fuel
Gas
Co.
53,455
3,290,155
(509,429)
(65.6)
NRG
Energy,
Inc.
125,093
4,787,309
(636,567)
(82.0)
Nu
Skin
Enterprises,
Inc.
103,045
3,438,612
(712,883)
(91.8)
PepsiCo,
Inc.
19,464
3,177,693
(193,861)
(25.0)
Pfizer,
Inc.
120,212
5,260,477
(473,618)
(61.0)
PulteGroup,
Inc.
86,158
3,230,925
(336,303)
(43.3)
PVH
Corp.
67,250
3,012,800
(1,019,675)
(131.3)
Regeneron
Pharmaceuticals,
Inc.
6,541
4,505,899
(231,878)
(29.9)
Robert
Half
International,
Inc.
50,228
3,842,442
(199,405)
(25.7)
Schneider
National,
Inc.
182,814
3,711,124
(393,050)
(50.6)
Syneos
Health,
Inc.
66,863
3,152,590
(880,361)
(113.4)
Taylor
Morrison
Home
Corp.
156,728
3,654,897
(256,830)
(33.1)
Toll
Brothers,
Inc.
76,007
3,192,294
(253,863)
(32.7)
Tyson
Foods,
Inc.
63,050
4,156,886
(581,220)
(74.8)
UGI
Corp.
127,231
4,113,378
(918,907)
(118.3)
Vishay
Intertechnology,
Inc.
201,153
3,578,512
(345,210)
(44.4)
Werner
Enterprises,
Inc.
105,601
3,970,598
(271,395)
(34.9)
Westrock
Co.
144,016
4,448,654
(1,353,507)
(174.3)
215
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
American
Airlines
Group,
Inc.
(283,400)
(3,412,136)
609,310
78.5
Ball
Corp.
(72,254)
(3,491,313)
782,368
100.7
Dominion
Energy,
Inc.
(73,693)
(5,092,923)
1,023,507
131.8
Freshpet,
Inc.
(58,318)
(2,921,149)
(612,464)
(78.9)
Globe
Life,
Inc.
(32,047)
(3,195,086)
97,743
12.6
Las
Vegas
Sands
Corp.
(83,254)
(3,123,690)
54,115
7.0
Liberty
Broadband
Corp.
(42,674)
(3,149,341)
1,068,524
137.6
NextEra
Energy,
Inc.
(48,920)
(3,835,817)
562,091
72.4
Primerica,
Inc.
(24,716)
(3,051,190)
119,625
15.4
Progressive
Corp.
(The)
(26,127)
(3,036,219)
323,039
41.6
Public
Service
Enterprise
Group,
Inc.
(88,000)
(4,948,240)
1,023,701
131.8
Tesla,
Inc.
(10,984)
(2,913,506)
378,179
48.7
Uber
Technologies,
Inc.
(120,980)
(3,205,970)
638,774
82.2
Vulcan
Materials
Co.
(19,405)
(3,060,363)
273,611
35.2
White
Mountains
Insurance
Group
Ltd.
(2,439)
(3,178,066)
162,633
20.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Rand
Overnight
Deposit
Rate
plus
or
minus
a
specified
spread
(-0.08%
to
0.06%),
which
is
denominated
in
ZAR
based
on
the
local
currencies
of
the
positions
within
the
swap.
44-60
months
maturity
ranging
from
04/20/2026
-
08/26/2027
$16,725,442
$105,632
$304,130
$409,762
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Luxembourg
Reinet
Investments
SCA
7,881
116,225
(13,071)
(3.2)
South
Africa
Absa
Group
Ltd.
57,119
554,853
(36,881)
(9.0)
African
Rainbow
Minerals
Ltd.
77,582
1,048,086
(80,968)
(19.8)
Anglo
American
Platinum
Ltd.
1,599
113,408
4,297
1.0
Aspen
Pharmacare
Holdings
Ltd.
91,872
678,995
(105,775)
(25.8)
Exxaro
Resources
Ltd.
86,750
963,448
(141,218)
(34.5)
Foschini
Group
Ltd.
(The)
72,258
469,637
(72,643)
(17.7)
Impala
Platinum
Holdings
Ltd.
49,964
464,546
(50,056)
(12.2)
Mr
Price
Group
Ltd.
9,355
89,126
(6,739)
(1.6)
MTN
Group
Ltd.
56,195
370,774
(41,306)
(10.1)
MultiChoice
Group
129,210
825,516
27,134
6.6
Nedbank
Group
Ltd.
61,734
681,257
(35,777)
(8.7)
Old
Mutual
Ltd.
418,604
224,951
(22,281)
(5.4)
216
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Africa
(continued)
Pepkor
Holdings
Ltd.
211,679
242,905
(8,537)
(2.1)
Sasol
Ltd.
8,749
136,849
(12,161)
(3.0)
Shoprite
Holdings
Ltd.
18,096
216,043
(8,307)
(2.0)
Sibanye
Stillwater
Ltd.
507,639
1,165,297
4,999
1.2
SPAR
Group
Ltd.
(The)
68,021
538,756
(36,044)
(8.8)
Standard
Bank
Group
Ltd.
60,039
474,292
(41,877)
(10.2)
Woolworths
Holdings
Ltd.
131,110
440,558
(22,884)
(5.6)
Short
Positions
Common
Stocks
South
Africa
Bidvest
Group
Ltd.
(The)
(65,994)
(716,600)
85,529
20.9
Capitec
Bank
Holdings
Ltd.
(23,794)
(2,038,538)
413,194
100.8
Clicks
Group
Ltd.
(38,771)
(611,468)
41,063
10.0
Discovery
Ltd.
(136,246)
(786,558)
41,456
10.1
FirstRand
Ltd.
(124,915)
(416,998)
32,972
8.0
Kumba
Iron
Ore
Ltd.
(9,998)
(212,089)
(2,595)
(0.6)
Naspers
Ltd.
(14,088)
(1,747,244)
170,996
41.7
Northam
Platinum
Holdings
Ltd.
(41,738)
(361,645)
21,745
5.3
Vodacom
Group
Ltd.
(2,795)
(18,780)
1,367
0.3
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.33%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
30-61
months
maturity
ranging
from
02/25/2025
-
09/20/2027
$139,576,370
$(1,005,979)
$32,693
$(973,286)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
153,036
1,837,961
(251,487)
25.8
Atco
Ltd.
70,039
2,152,355
(232,221)
23.9
Bank
of
Montreal
15,701
1,376,132
(73,654)
7.6
Bank
of
Nova
Scotia
(The)
37,879
1,801,607
(161,514)
16.6
Canadian
Natural
Resources
Ltd.
56,924
2,649,736
(296,292)
30.4
Canadian
Tire
Corp.
Ltd.
13,579
1,445,537
(111,475)
11.5
Capital
Power
Corp.
78,646
2,670,212
(242,540)
24.9
Cenovus
Energy,
Inc.
100,934
1,550,526
(263,779)
27.1
CI
Financial
Corp.
171,874
1,647,382
(247,605)
25.4
Empire
Co.
Ltd.
56,391
1,402,682
(82,054)
8.4
Fairfax
Financial
Holdings
Ltd.
5,193
2,371,746
(84,661)
8.7
217
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
iA
Financial
Corp.,
Inc.
34,414
1,748,665
(76,982)
7.9
Imperial
Oil
Ltd.
67,198
2,909,554
(99,239)
10.2
Loblaw
Cos.
Ltd.
23,003
1,821,456
(78,767)
8.1
Manulife
Financial
Corp.
145,023
2,276,106
(149,081)
15.3
MEG
Energy
Corp.
282,236
3,158,771
(578,223)
59.4
National
Bank
of
Canada
22,630
1,418,399
(71,428)
7.3
Northland
Power,
Inc.
66,395
1,944,241
(227,830)
23.4
Nutrien
Ltd.
23,713
1,977,585
(64,203)
6.6
Onex
Corp.
35,997
1,651,117
(96,159)
9.9
Open
Text
Corp.
51,013
1,348,308
(75,337)
7.7
Suncor
Energy,
Inc.
106,357
2,995,104
(190,178)
19.5
Teck
Resources
Ltd.
70,840
2,154,406
(109,746)
11.3
TFI
International,
Inc.
18,227
1,649,515
(75,212)
7.7
West
Fraser
Timber
Co.
Ltd.
70,147
5,074,593
(507,815)
52.2
Whitecap
Resources,
Inc.
536,958
3,397,410
(244,893)
25.2
Chile
Lundin
Mining
Corp.
306,465
1,548,576
(62,121)
6.4
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(57,651)
(2,435,670)
(118,528)
12.2
Air
Canada
(152,534)
(1,833,036)
279,372
(28.7)
Algonquin
Power
&
Utilities
Corp.
(279,707)
(3,055,546)
492,046
(50.6)
Ballard
Power
Systems,
Inc.
(235,740)
(1,443,776)
208,204
(21.4)
Boralex,
Inc.
(68,352)
(2,170,777)
151,415
(15.6)
Brookfield
Infrastructure
Corp.
(37,880)
(1,541,964)
242,414
(24.9)
CAE,
Inc.
(90,895)
(1,394,335)
138,183
(14.2)
Cameco
Corp.
(96,263)
(2,554,748)
59,234
(6.1)
CCL
Industries,
Inc.
(28,599)
(1,386,317)
16,149
(1.7)
Element
Fleet
Management
Corp.
(188,046)
(2,218,952)
80,318
(8.3)
Emera,
Inc.
(38,997)
(1,577,835)
154,706
(15.9)
Enbridge,
Inc.
(57,252)
(2,122,885)
147,135
(15.1)
GFL
Environmental,
Inc.
(87,934)
(2,222,301)
168,694
(17.3)
Innergex
Renewable
Energy,
Inc.
(122,246)
(1,538,971)
253,988
(26.1)
Restaurant
Brands
International,
Inc.
(32,414)
(1,724,241)
124,836
(12.8)
Ritchie
Bros
Auctioneers,
Inc.
(42,067)
(2,628,445)
21,927
(2.3)
Rogers
Communications,
Inc.
(48,174)
(1,855,676)
86,140
(8.9)
Shopify,
Inc.
(81,179)
(2,185,577)
377,877
(38.8)
SNC-Lavalin
Group,
Inc.
(82,457)
(1,372,940)
139,085
(14.3)
TC
Energy
Corp.
(33,472)
(1,348,233)
179,554
(18.4)
Thomson
Reuters
Corp.
(23,966)
(2,460,187)
102,363
(10.5)
WSP
Global,
Inc.
(29,364)
(3,233,686)
191,742
(19.7)
United
States
Brookfield
Renewable
Corp.
(74,098)
(2,421,388)
425,915
(43.8)
218
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-2.20%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
28-61
months
maturity
ranging
from
01/21/2025
-
09/20/2027
$152,643,068
$(2,650,629)
$(1,809,609)
$(4,460,238)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
40,677
2,200,865
46,240
(1.0)
Germany
TUI
AG
1,215,684
1,446,630
(438,081)
9.8
Italy
Coca-Cola
HBC
AG
206,323
4,311,094
(79,757)
1.8
Jordan
Hikma
Pharmaceuticals
plc
94,635
1,426,433
125,701
(2.8)
Netherlands
Shell
plc
244,283
6,060,156
(220,009)
4.9
Nigeria
Airtel
Africa
plc
1,098,974
1,576,257
(80,273)
1.8
South
Africa
Anglo
American
plc
52,268
1,569,390
(51,847)
1.2
United
Kingdom
abrdn
plc
984,604
1,506,161
(59,327)
1.3
Associated
British
Foods
plc
212,847
2,974,030
(165,384)
3.7
BAE
Systems
plc
252,566
2,219,152
42,656
(1.0)
Barclays
plc
900,238
1,432,401
(285,620)
6.4
Barratt
Developments
plc
489,147
1,848,692
(362,152)
8.1
BP
plc
506,891
2,422,123
(138,887)
3.1
British
American
Tobacco
plc
53,566
1,920,745
(161,510)
3.6
Britvic
plc
191,814
1,527,770
(88,142)
2.0
BT
Group
plc
2,390,185
3,213,130
(441,739)
9.9
Centrica
plc
1,619,770
1,271,040
(168,208)
3.8
DCC
plc
60,199
3,126,292
785
(0.0)
DS
Smith
plc
1,215,191
3,436,619
(106,042)
2.4
Imperial
Brands
plc
237,384
4,881,297
(191,781)
4.3
Inchcape
plc
213,795
1,618,858
(110,616)
2.5
J
Sainsbury
plc
654,530
1,267,552
(151,692)
3.4
Kingfisher
plc
678,630
1,651,933
(148,420)
3.3
Man
Group
plc
543,040
1,344,609
(125,744)
2.8
Marks
&
Spencer
Group
plc
1,649,025
1,798,777
(258,785)
5.8
Royal
Mail
plc
1,118,838
2,277,408
(400,959)
9.0
Tesco
plc
764,903
1,755,508
(158,424)
3.6
Travis
Perkins
plc
215,482
1,849,705
(107,306)
2.4
Vodafone
Group
plc
1,528,418
1,710,605
(104,828)
2.4
219
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(491,645)
(4,812,042)
423,807
(9.5)
United
Kingdom
Ashtead
Group
plc
(42,178)
(1,894,207)
32,403
(0.7)
AstraZeneca
plc
(26,282)
(2,889,167)
67,652
(1.5)
AVEVA
Group
plc
(37,369)
(1,289,315)
(17,556)
0.4
Croda
International
plc
(24,621)
(1,758,531)
23,958
(0.5)
Diageo
plc
(60,625)
(2,551,920)
(11,144)
0.2
Experian
plc
(58,200)
(1,703,665)
(10,853)
0.2
Halma
plc
(120,440)
(2,708,980)
27,632
(0.6)
Hargreaves
Lansdown
plc
(191,407)
(1,833,114)
(30,210)
0.7
Informa
plc
(536,340)
(3,065,666)
187,289
(4.2)
InterContinental
Hotels
Group
plc
(27,090)
(1,304,705)
100,284
(2.2)
National
Grid
plc
(255,267)
(2,627,747)
276,590
(6.2)
Pearson
plc
(195,365)
(1,865,658)
69,198
(1.6)
Reckitt
Benckiser
Group
plc
(72,665)
(4,816,345)
275,631
(6.2)
RELX
plc
(53,836)
(1,315,523)
7,511
(0.2)
Rentokil
Initial
plc
(554,267)
(2,937,880)
228,243
(5.1)
Rolls-Royce
Holdings
plc
(2,932,506)
(2,245,867)
236,700
(5.3)
Spirax-Sarco
Engineering
plc
(11,869)
(1,364,379)
(30,532)
0.7
Weir
Group
plc
(The)
(91,801)
(1,421,192)
100,426
(2.3)
WPP
plc
(180,971)
(1,493,951)
72,847
(1.6)
United
States
Ferguson
plc
(12,476)
(1,294,126)
56,813
(1.3)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
30-61
months
maturity
ranging
from
02/25/2025
-
09/20/2027
$22,430,927
$340,166
$(2,857)
$337,309
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
470,200
1,250,915
(45,511)
(13.5)
Yangzijiang
Shipbuilding
Holdings
Ltd.
8,945,200
6,386,095
95,650
28.4
Singapore
Genting
Singapore
Ltd.
2,652,300
1,441,348
(35,999)
(10.7)
Oversea-Chinese
Banking
Corp.
Ltd.
145,900
1,195,488
(53,995)
(16.0)
Singapore
Airlines
Ltd.
316,700
1,119,315
(51,565)
(15.3)
220
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Singapore
(continued)
United
Overseas
Bank
Ltd.
57,900
1,048,718
(49,416)
(14.7)
UOL
Group
Ltd.
35,200
161,944
(10,349)
(3.1)
Venture
Corp.
Ltd.
4,600
52,270
(2,882)
(0.9)
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(449,100)
(2,366,814)
200,365
59.4
DBS
Group
Holdings
Ltd.
(3,300)
(76,340)
401
0.1
Keppel
Corp.
Ltd.
(473,800)
(2,279,874)
92,012
27.3
Mapletree
Logistics
Trust
(46,900)
(50,675)
5,164
1.5
SATS
Ltd.
(148,100)
(309,447)
109,203
32.4
Singapore
Technologies
Engineering
Ltd.
(411,900)
(1,023,347)
32,035
9.5
Singapore
Telecommunications
Ltd.
(1,988,000)
(3,668,337)
55,053
16.3
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-7.50%
to
0.45%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
17-24
months
maturity
ranging
from
08/25/2023
-
09/26/2024
$65,628,410
$390,238
$652,228
$1,042,466
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
South
Korea
CJ
Corp.
10,701
515,961
(23,837)
(2.3)
CJ
ENM
Co.
Ltd.
16,628
875,162
(32,158)
(3.1)
DB
Insurance
Co.
Ltd.
18,521
709,559
(62,958)
(6.0)
Doosan
Bobcat,
Inc.
45,075
887,000
(26,278)
(2.5)
E-MART,
Inc.
15,772
916,857
(15,380)
(1.5)
GS
Holdings
Corp.
32,511
941,203
(10,527)
(1.0)
Hana
Financial
Group,
Inc.
56,127
1,378,198
(92,327)
(8.9)
Hankook
Tire
&
Technology
Co.
Ltd.
34,643
845,582
(26,967)
(2.6)
HMM
Co.
Ltd.
129,868
1,658,167
11,340
1.1
Hyundai
Glovis
Co.
Ltd.
6,268
705,453
(36,828)
(3.5)
Hyundai
Mobis
Co.
Ltd.
5,154
680,346
(39,838)
(3.8)
Industrial
Bank
of
Korea
191,438
1,265,993
(20,692)
(2.0)
Kia
Corp.
58,569
2,915,096
(145,730)
(14.0)
Korea
Investment
Holdings
Co.
Ltd.
35,150
1,154,961
(77,856)
(7.5)
Kumho
Petrochemical
Co.
Ltd.
20,978
1,679,557
(27,938)
(2.7)
LG
Corp.
12,593
645,954
(24,476)
(2.3)
LG
Electronics,
Inc.
15,892
862,386
(45,855)
(4.4)
221
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Korea
(continued)
Lotte
Chemical
Corp.
5,034
501,718
(62,774)
(6.0)
Lotte
Shopping
Co.
Ltd.
10,353
620,927
(3,306)
(0.3)
Mirae
Asset
Securities
Co.
Ltd.
136,211
563,868
(15,692)
(1.5)
NH
Investment
&
Securities
Co.
Ltd.
123,630
771,723
(24,664)
(2.4)
POSCO
Holdings,
Inc.
12,137
1,770,397
(133,297)
(12.8)
Samsung
Electronics
Co.
Ltd.
18,883
693,370
(17,728)
(1.7)
Samsung
SDS
Co.
Ltd.
8,295
660,604
(2,973)
(0.3)
Samsung
Securities
Co.
Ltd.
34,995
744,962
(21,540)
(2.1)
Seegene,
Inc.
59,820
1,109,516
41,675
4.0
SK
Hynix,
Inc.
18,529
1,059,863
(8,147)
(0.8)
Woori
Financial
Group,
Inc.
463,828
3,442,155
(235,934)
(22.6)
Short
Positions
Common
Stocks
South
Korea
Alteogen,
Inc.
(16,996)
(531,996)
24,919
2.4
Celltrion
Healthcare
Co.
Ltd.
(39,112)
(1,832,667)
(108,384)
(10.4)
Hanon
Systems
(110,201)
(635,046)
117,182
11.2
Hyundai
Motor
Co.
(11,226)
(1,370,005)
61,383
5.9
Iljin
Materials
Co.
Ltd.
(26,611)
(930,344)
112,677
10.8
Kakao
Corp.
(39,814)
(1,566,659)
93,996
9.0
KakaoBank
Corp.
(48,685)
(674,420)
67,096
6.4
KB
Financial
Group,
Inc.
(18,646)
(563,082)
42,037
4.0
Korea
Aerospace
Industries
Ltd.
(18,727)
(631,142)
811
0.1
L&F
Co.
Ltd.
(11,219)
(1,364,270)
102,281
9.8
LG
Chem
Ltd.
(3,065)
(1,131,706)
91,039
8.7
LG
H&H
Co.
Ltd.
(1,540)
(675,011)
16,821
1.6
NAVER
Corp.
(10,098)
(1,345,218)
97,555
9.4
POSCO
Chemical
Co.
Ltd.
(23,306)
(2,411,064)
291,931
28.0
Samsung
Biologics
Co.
Ltd.
(3,704)
(2,073,388)
(111,793)
(10.7)
Samsung
C&T
Corp.
(12,885)
(923,312)
26,431
2.5
Samsung
Heavy
Industries
Co.
Ltd.
(282,553)
(1,041,024)
66,447
6.4
Samsung
SDI
Co.
Ltd.
(4,763)
(1,791,572)
195,091
18.7
SK
Biopharmaceuticals
Co.
Ltd.
(12,054)
(474,909)
19,445
1.9
SK
IE
Technology
Co.
Ltd.
(27,845)
(1,005,845)
175,033
16.8
SK
Innovation
Co.
Ltd.
(12,097)
(1,198,785)
140,819
13.5
SKC
Co.
Ltd.
(17,546)
(1,013,602)
133,820
12.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-7.50%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
11-64
months
maturity
05/19/2023
$57,687,580
$(275,811)
$(35,161)
$(310,972)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
222
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
246,421
1,533,898
(141,375)
45.5
Switzerland
Adecco
Group
AG
(Registered)
121,579
3,355,528
(336,077)
108.1
Baloise
Holding
AG
(Registered)
7,716
985,910
(114,365)
36.8
BKW
AG
8,450
1,006,951
(40,414)
13.0
Bucher
Industries
AG
(Registered)
2,738
854,183
(63,201)
20.3
Cie
Financiere
Richemont
SA
(Registered)
3,804
359,080
(32,037)
10.3
DKSH
Holding
AG
21,361
1,549,883
16,057
(5.2)
dormakaba
Holding
AG
1,260
425,167
(15,392)
4.9
Flughafen
Zurich
AG
(Registered)
7,348
1,086,077
(75,662)
24.3
Georg
Fischer
AG
(Registered)
17,789
847,505
(68,357)
22.0
Helvetia
Holding
AG
(Registered)
10,358
970,602
(118,001)
37.9
Julius
Baer
Group
Ltd.
9,954
434,383
(55,297)
17.8
Kuehne
+
Nagel
International
AG
(Registered)
4,989
1,015,920
(64,600)
20.8
Novartis
AG
(Registered)
19,340
1,474,423
(48,158)
15.5
OC
Oerlikon
Corp.
AG
(Registered)
40,379
258,475
(15,711)
5.1
SGS
SA
(Registered)
300
641,923
(43,695)
14.1
Sonova
Holding
AG
(Registered)
2,624
577,440
(32,885)
10.6
Sulzer
AG
(Registered)
6,854
394,291
(3,389)
1.1
Swatch
Group
AG
(The)
11,637
2,613,653
(58,836)
18.9
Swiss
Life
Holding
AG
(Registered)
1,599
706,457
(121,646)
39.1
Swisscom
AG
(Registered)
2,369
1,109,263
(84,720)
27.2
Tecan
Group
AG
(Registered)
3,317
1,137,878
21,117
(6.8)
UBS
Group
AG
(Registered)
121,809
1,767,201
(181,472)
58.4
Zurich
Insurance
Group
AG
2,483
989,850
(91,477)
29.4
United
States
Roche
Holding
AG
1,827
594,748
(1,290)
0.4
Short
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
(19,972)
(515,666)
15,869
(5.1)
Alcon,
Inc.
(8,925)
(518,413)
62,115
(20.0)
Bachem
Holding
AG
(16,433)
(1,033,509)
(189,125)
60.8
Banque
Cantonale
Vaudoise
(Registered)
(12,216)
(1,155,731)
25,384
(8.2)
Barry
Callebaut
AG
(Registered)
(282)
(531,574)
23,452
(7.5)
Belimo
Holding
AG
(Registered)
(2,326)
(855,494)
(48,100)
15.5
Chocoladefabriken
Lindt
&
Spruengli
AG
(153)
(1,478,640)
42,521
(13.7)
Clariant
AG
(Registered)
(70,252)
(1,122,187)
51,884
(16.7)
Credit
Suisse
Group
AG
(Registered)
(231,812)
(916,952)
259,141
(83.3)
Dufry
AG
(Registered)
(46,938)
(1,425,014)
206,660
(66.5)
EMS-Chemie
Holding
AG
(Registered)
(1,944)
(1,227,158)
4,219
(1.4)
Geberit
AG
(Registered)
(2,800)
(1,200,607)
23,879
(7.7)
Givaudan
SA
(Registered)
(684)
(2,066,367)
(36,619)
11.8
Holcim
AG
(3,877)
(158,882)
15,578
(5.0)
Idorsia
Ltd.
(111,135)
(1,438,375)
117,087
(37.7)
Logitech
International
SA
(Registered)
(46,415)
(2,121,981)
70,584
(22.7)
Lonza
Group
AG
(Registered)
(1,057)
(514,644)
(8,372)
2.7
Partners
Group
Holding
AG
(1,243)
(1,000,347)
129,905
(41.8)
Schindler
Holding
AG
(5,585)
(866,790)
48,478
(15.6)
SIG
Group
AG
(258,040)
(5,239,270)
482,748
(155.2)
Sika
AG
(Registered)
(6,645)
(1,335,590)
52,405
(16.9)
Straumann
Holding
AG
(Registered)
(5,486)
(501,751)
20,551
(6.6)
VAT
Group
AG
(4,658)
(945,245)
97,105
(31.2)
223
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Nestle
SA
(Registered)
(22,825)
(2,468,691)
25,936
(8.3)
Swiss
Re
AG
(2,426)
(178,927)
21,309
(6.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.88%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
20-24
months
maturity
02/21/2024
$34,987,164
$391,936
$(2,638)
$389,298
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
2,609
4,741,149
(403,600)
(103.7)
Carlsberg
A/S
27,580
3,225,109
(169,632)
(43.6)
Danske
Bank
A/S
19,651
244,589
(22,207)
(5.7)
Demant
A/S
7,698
190,306
(24,201)
(6.2)
GN
Store
Nord
A/S
2,850
49,922
(19,558)
(5.0)
H
Lundbeck
A/S
331,836
1,063,546
(95,573)
(24.5)
H
Lundbeck
A/S
53,908
160,910
(18,262)
(4.7)
ISS
A/S
142,458
2,196,161
(303,168)
(77.9)
Novo
Nordisk
A/S
3,432
341,888
4,049
1.0
Pandora
A/S
27,794
1,299,822
(234,866)
(60.3)
ROCKWOOL
A/S
6,894
1,087,444
(59,359)
(15.2)
Royal
Unibrew
A/S
19,015
1,232,095
(75,257)
(19.3)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(24,480)
(212,708)
(2,192)
(0.6)
Chr
Hansen
Holding
A/S
(23,784)
(1,171,582)
32,274
8.3
Coloplast
A/S
(14,383)
(1,461,663)
166,887
42.9
DSV
A/S
(19,332)
(2,264,696)
235,099
60.4
Genmab
A/S
(2,393)
(769,837)
48,701
12.5
Jyske
Bank
A/S
(Registered)
(6,764)
(352,015)
28,602
7.3
Novozymes
A/S
(27,507)
(1,382,285)
39,022
10.0
Orsted
A/S
(55,065)
(4,388,723)
661,594
169.9
SimCorp
A/S
(9,547)
(537,323)
43,564
11.2
Tryg
A/S
(144,687)
(2,986,904)
171,359
44.0
Vestas
Wind
Systems
A/S
(196,954)
(3,626,487)
388,660
99.8
224
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.25%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
2-61
months
maturity
11/11/2022
$302,483,561
$(2,909,283)
$297,829
$(2,611,454)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Ageas
SA/NV
57,233
2,087,386
(155,702)
6.0
Proximus
SADP
226,080
2,344,013
(205,146)
7.9
Finland
Fortum
OYJ
262,790
3,531,125
685,227
(26.2)
France
AXA
SA
118,364
2,584,231
(321,635)
12.3
BNP
Paribas
SA
50,762
2,144,149
(311,227)
11.9
Bouygues
SA
149,520
3,911,221
(275,343)
10.5
Cie
de
Saint-Gobain
133,006
4,755,711
(528,780)
20.2
Eiffage
SA
33,595
2,694,085
(234,245)
9.0
Electricite
de
France
SA
248,999
2,887,754
(19,881)
0.8
Engie
SA
272,164
3,132,578
(302,961)
11.6
Orange
SA
320,992
2,903,225
(256,499)
9.8
Rexel
SA
213,205
3,195,252
(287,970)
11.0
Societe
Generale
SA
107,635
2,128,601
(397,829)
15.2
TotalEnergies
SE
114,122
5,353,986
(159,986)
6.1
Germany
Deutsche
Bank
AG
(Registered)
435,318
3,223,087
(657,144)
25.2
HeidelbergCement
AG
55,978
2,211,364
(283,725)
10.9
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
(Registered)
9,165
2,206,205
(102,210)
3.9
ProSiebenSat.1
Media
SE
302,706
2,144,660
(99,330)
3.8
Luxembourg
ArcelorMittal
SA
103,534
2,060,152
(197,522)
7.6
Netherlands
Aegon
NV
650,699
2,586,529
(394,163)
15.1
ASR
Nederland
NV
105,976
4,074,023
(296,481)
11.4
Koninklijke
Ahold
Delhaize
NV
172,927
4,404,701
(270,325)
10.4
NN
Group
NV
85,606
3,329,555
(172,354)
6.6
Randstad
NV
70,702
3,051,559
(229,393)
8.8
Spain
Acerinox
SA
331,088
2,632,940
(195,252)
7.5
Mapfre
SA
1,394,352
2,159,468
(185,505)
7.1
Repsol
SA
576,445
6,623,498
(203,862)
7.8
United
States
Signify
NV
117,482
3,023,680
(276,182)
10.6
225
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
(48,992)
(2,219,173)
172,915
(6.6)
China
Prosus
NV
(49,828)
(2,592,382)
196,035
(7.5)
France
Airbus
SE
(31,365)
(2,703,675)
168,602
(6.5)
Dassault
Systemes
SE
(66,692)
(2,302,546)
73,344
(2.8)
Edenred
(55,259)
(2,545,824)
159,298
(6.1)
Getlink
SE
(176,518)
(2,737,325)
346,337
(13.3)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(3,945)
(2,325,873)
152,424
(5.8)
Pernod
Ricard
SA
(16,553)
(3,036,716)
26,954
(1.0)
Remy
Cointreau
SA
(14,055)
(2,332,406)
91,924
(3.5)
Safran
SA
(34,773)
(3,163,987)
213,951
(8.2)
Sartorius
Stedim
Biotech
(15,764)
(4,835,399)
340,187
(13.0)
Germany
RWE
AG
(88,477)
(3,252,061)
297,056
(11.4)
Sartorius
AG
(Preference)
(9,553)
(3,304,424)
217,718
(8.3)
Siemens
AG
(Registered)
(28,800)
(2,814,995)
35,775
(1.4)
Netherlands
Argenx
SE
(11,567)
(4,116,423)
(34,244)
1.3
ASML
Holding
NV
(5,143)
(2,130,637)
223,732
(8.6)
IMCD
NV
(27,156)
(3,219,658)
143,051
(5.5)
Spain
Amadeus
IT
Group
SA
(74,550)
(3,456,335)
293,244
(11.2)
Cellnex
Telecom
SA
(191,442)
(5,905,333)
599,547
(23.0)
Ferrovial
SA
(249,902)
(5,672,431)
438,235
(16.8)
Naturgy
Energy
Group
SA
(90,503)
(2,093,659)
247,067
(9.5)
United
States
Schneider
Electric
SE
(22,585)
(2,550,993)
71,936
(2.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
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.
19-24
months
maturity
02/21/2024
$16,556,518
$440,798
$35,794
$476,592
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
64,680
2,269,955
(155,434)
(32.6)
226
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Equinor
ASA
131,013
4,320,643
58,825
12.3
Leroy
Seafood
Group
ASA
25,445
100,361
(51,185)
(10.7)
Norsk
Hydro
ASA
329,793
1,769,645
(174,252)
(36.6)
Orkla
ASA
14,874
108,124
(4,136)
(0.9)
United
Kingdom
Subsea
7
SA
186,643
1,474,240
(43,793)
(9.2)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(12,488)
(497,023)
122,875
25.8
France
Adevinta
ASA
(28,266)
(168,400)
23,440
4.9
Norway
DNB
Bank
ASA
(1,616)
(25,643)
1,368
0.3
Gjensidige
Forsikring
ASA
(48,641)
(834,644)
52,093
10.9
Kongsberg
Gruppen
ASA
(8,735)
(265,086)
(11,744)
(2.5)
Mowi
ASA
(45,606)
(580,087)
210,903
44.3
Salmar
ASA
(13,334)
(449,440)
302,462
63.5
Schibsted
ASA
(90,130)
(1,216,220)
111,498
23.4
Telenor
ASA
(86,958)
(795,850)
16,349
3.4
TOMRA
Systems
ASA
(95,285)
(1,681,157)
(18,471)
(3.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
17-24
months
maturity
02/21/2024
$50,108,532
$363,949
$(1,023,635)
$(659,686)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
117,676
1,351,533
(58,757)
8.9
Finland
Nordea
Bank
Abp
7,436
63,639
(2,395)
0.4
Sweden
BillerudKorsnas
AB
163,890
1,924,114
(34,122)
5.2
Boliden
AB
41,609
1,285,549
(2,541)
0.4
Elekta
AB
106,399
540,402
(7,813)
1.2
Embracer
Group
AB
22,517
133,462
10,364
(1.6)
Essity
AB
96,558
1,907,677
(111,770)
16.9
227
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Getinge
AB
70,694
1,208,947
17,406
(2.6)
H
&
M
Hennes
&
Mauritz
AB
142,318
1,315,744
(93,887)
14.2
Hexpol
AB
13,926
114,219
(4,741)
0.7
Husqvarna
AB
2,508
13,903
(900)
0.1
Saab
AB
49,020
1,527,309
20,618
(3.1)
Securitas
AB
401,412
2,786,617
111,418
(16.9)
Skandinaviska
Enskilda
Banken
AB
32,654
311,217
(8,183)
1.2
Skanska
AB
88,857
1,105,893
(146,776)
22.2
SKF
AB
50,150
671,840
(4,650)
0.7
SSAB
AB
725,884
3,093,340
(177,101)
26.8
Swedbank
AB
30,721
403,236
(6,187)
0.9
Swedish
Orphan
Biovitrum
AB
11,509
222,434
(1,987)
0.3
Telefonaktiebolaget
LM
Ericsson
396,888
2,319,990
(262,474)
39.8
Telia
Co.
AB
73,752
212,412
(21,917)
3.3
Trelleborg
AB
37,268
699,178
(31,899)
4.8
Volvo
AB
33,863
479,194
(31,604)
4.8
Volvo
Car
AB
185,685
805,743
(149,984)
22.7
United
States
Sinch
AB
1,164,958
1,544,386
(115,244)
17.5
Short
Positions
Common
Stocks
Sweden
AAK
AB
(46,069)
(609,115)
39,309
(6.0)
Alfa
Laval
AB
(38,089)
(944,494)
2,098
(0.3)
Assa
Abloy
AB
(89,045)
(1,668,352)
51,142
(7.8)
Atlas
Copco
AB
(112,354)
(1,044,258)
24,849
(3.8)
Axfood
AB
(30,144)
(690,641)
200,289
(30.4)
Beijer
Ref
AB
(90,620)
(1,114,283)
(27,429)
4.2
Electrolux
AB
(8,119)
(84,384)
3,495
(0.5)
Epiroc
AB
(103,352)
(1,478,502)
11,572
(1.8)
EQT
AB
(168,505)
(3,255,879)
439,868
(66.7)
Evolution
AB
(6,265)
(495,233)
(28,363)
4.3
Hexagon
AB
(200,564)
(1,873,094)
95,922
(14.5)
Holmen
AB
(44,208)
(1,677,549)
105,885
(16.1)
Indutrade
AB
(46,248)
(750,141)
11,237
(1.7)
Lifco
AB
(93,590)
(1,298,377)
25,654
(3.9)
Nibe
Industrier
AB
(452,352)
(4,035,082)
287,629
(43.6)
Sandvik
AB
(14,010)
(190,978)
7,223
(1.1)
Svenska
Cellulosa
AB
SCA
(146,394)
(1,857,519)
155,495
(23.6)
Sweco
AB
(66,872)
(560,938)
39,230
(5.9)
Tele2
AB
(50,725)
(437,735)
33,970
(5.1)
228
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-14.88%
to
0.40%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
7-24
months
maturity
ranging
from
04/19/2023
-
04/20/2023
$61,932,378
$(379,592)
$829,537
$449,945
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Banco
do
Brasil
SA
359,600
2,567,833
(194,534)
(43.2)
Klabin
SA
171,100
575,688
(25,732)
(5.7)
Petro
Rio
SA
119,600
610,377
(37,827)
(8.4)
Petroleo
Brasileiro
SA
(Preference)
551,500
3,046,651
(252,981)
(56.2)
TIM
SA/Brazil
633,800
1,419,319
(76,766)
(17.1)
Vibra
Energia
SA
354,900
1,134,896
(130,287)
(29.0)
Taiwan
ASE
Technology
Holding
Co.
Ltd.
222,000
551,914
(41,033)
(9.1)
AUO
Corp.
2,636,000
1,206,342
(298,551)
(66.4)
Catcher
Technology
Co.
Ltd.
302,000
1,635,366
(30,398)
(6.8)
Cathay
Financial
Holding
Co.
Ltd.
550,000
689,334
(49,810)
(11.1)
CTBC
Financial
Holding
Co.
Ltd.
1,059,000
658,807
(73,408)
(16.3)
Evergreen
Marine
Corp.
Taiwan
Ltd.
326,000
1,486,373
(195,447)
(43.4)
Formosa
Plastics
Corp.
180,000
489,955
2,255
0.5
Innolux
Corp.
4,423,000
1,440,745
(233,360)
(51.9)
Nanya
Technology
Corp.
1,177,000
1,803,711
1,117
0.2
Novatek
Microelectronics
Corp.
168,000
1,149,813
(183,351)
(40.7)
Pegatron
Corp.
451,000
827,769
(77,343)
(17.2)
Pou
Chen
Corp.
705,000
630,180
(34,635)
(7.7)
Powerchip
Semiconductor
Manufacturing
Corp.
441,000
394,123
(49,683)
(11.0)
Unimicron
Technology
Corp.
160,000
585,713
(20,378)
(4.5)
United
Microelectronics
Corp.
588,000
658,029
(81,538)
(18.1)
Winbond
Electronics
Corp.
1,490,000
920,046
(48,396)
(10.8)
Yang
Ming
Marine
Transport
Corp.
657,000
1,262,236
(117,909)
(26.2)
United
States
JBS
SA
420,500
1,958,153
(244,907)
(54.4)
Short
Positions
Common
Stocks
Brazil
B3
SA
-
Brasil
Bolsa
Balcao
(380,800)
(921,231)
50,344
11.2
Banco
BTG
Pactual
SA
(326,300)
(1,500,737)
168,890
37.5
Cosan
SA
(417,800)
(1,346,105)
109,540
24.3
Equatorial
Energia
SA
(97,906)
(488,228)
(20,903)
(4.6)
Localiza
Rent
a
Car
SA
(166,600)
(1,886,714)
151,104
33.6
Natura
&
Co.
Holding
SA
(224,000)
(611,662)
36,027
8.0
229
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Brazil
(continued)
Raia
Drogasil
SA
(102,400)
(431,480)
12,964
2.9
Rede
D'Or
Sao
Luiz
SA
(78,000)
(429,739)
70,897
15.8
Rumo
SA
(502,500)
(1,721,468)
201,047
44.7
Suzano
SA
(95,100)
(784,515)
27,011
6.0
TOTVS
SA
(137,600)
(748,665)
23,218
5.2
WEG
SA
(214,900)
(1,280,393)
(22,203)
(4.9)
China
Silergy
Corp.
(33,000)
(430,384)
89,674
19.9
Taiwan
Accton
Technology
Corp.
(45,000)
(383,827)
13,665
3.0
Advantech
Co.
Ltd.
(76,000)
(700,072)
75,857
16.9
ASMedia
Technology,
Inc.
(31,000)
(641,476)
142,375
31.6
Chailease
Holding
Co.
Ltd.
(221,130)
(1,263,120)
118,843
26.4
China
Steel
Corp.
(1,749,000)
(1,466,236)
153,489
34.1
Chunghwa
Telecom
Co.
Ltd.
(359,000)
(1,284,910)
51,903
11.5
Delta
Electronics,
Inc.
(172,000)
(1,366,218)
103,809
23.1
E
Ink
Holdings,
Inc.
(118,000)
(779,028)
99,187
22.0
E.Sun
Financial
Holding
Co.
Ltd.
(2,670,955)
(2,161,158)
166,579
37.0
Formosa
Petrochemical
Corp.
(275,000)
(714,754)
(4,716)
(1.0)
Mega
Financial
Holding
Co.
Ltd.
(822,125)
(804,358)
94,487
21.0
Taiwan
Cooperative
Financial
Holding
Co.
Ltd.
(920,270)
(757,688)
31,868
7.1
Win
Semiconductors
Corp.
(213,000)
(818,454)
240,082
53.4
230
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
62.2%
INVESTMENT
COMPANIES
-
18.3%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
2.49%
(1)(a)(b)
100,006
100,006
Limited
Purpose
Cash
Investment
Fund,
2.57%
(1)(a)
3,983,065
3,981,074
TOTAL
INVESTMENT
COMPANIES
(Cost
$4,079,662)
4,081,080
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
43.9%
U.S.
Treasury
Bills
1.39%,
11/10/2022
(c)
$
235,000
234,329
1.50%,
11/17/2022
(c)
3,119,000
3,107,889
1.54%,
11/25/2022
(c)
406,000
404,318
1.59%,
12/1/2022
(c)
1,506,000
1,498,824
2.53%,
12/29/2022
(c)
2,464,000
2,444,937
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
43.9%
(continued)
2.53%,
1/5/2023
(c)
$
2,145,000
2,126,850
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$9,834,061)
9,817,147
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$13,913,723)
13,898,227
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
62.2%
(Cost
$13,913,723)
13,898,227
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
37.8%
(d)
8,440,156
NET
ASSETS
-
100.0%
22,338,383
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
4,081,080
18.3
U.S.
Treasury
Obligations
9,817,147
43.9
Total
Investments
In
Securities
At
Value
$
13,898,227
62.2
Other
Assets
in
Excess
of
Liabilities
(d
)
8,440,156
37.8
Net
Assets
$
22,338,383
100.0%
(a)
Represents
7-day
effective
yield
as
of
September
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
September
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,343
AUD
2,000
CITI
12/21/2022
$
62
USD
1,343
AUD
2,000
JPMC
12/21/2022
62
USD
3,662
CHF
3,500
CITI
12/21/2022
85
USD
3,662
CHF
3,500
JPMC
12/21/2022
85
USD
1,487
DKK
11,000
CITI
12/21/2022
28
USD
1,487
DKK
11,000
JPMC
12/21/2022
28
USD
8,544
EUR
8,500
CITI
12/21/2022
161
USD
8,544
EUR
8,500
JPMC
12/21/2022
161
USD
6,861
GBP
6,000
CITI
12/21/2022
153
USD
6,861
GBP
6,000
JPMC
12/21/2022
153
USD
7,210
HKD
56,500
CITI
12/21/2022
2
USD
7,210
HKD
56,500
JPMC
12/21/2022
2
USD
342
NOK
3,500
CITI
12/21/2022
20
USD
342
NOK
3,500
JPMC
12/21/2022
20
Total
unrealized
appreciation
1,022
AUD
188,504
USD
129,147
CITI
12/21/2022
(8,399)
AUD
188,496
USD
129,142
JPMC
12/21/2022
(8,399)
CAD
276,003
USD
211,571
CITI
12/21/2022
(11,687)
231
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
275,997
USD
211,567
JPMC
12/21/2022
$
(11,687)
CHF
162,000
USD
168,837
CITI
12/21/2022
(3,284)
CHF
162,000
USD
168,837
JPMC
12/21/2022
(3,284)
DKK
317,000
USD
42,942
CITI
12/21/2022
(888)
DKK
317,000
USD
42,942
JPMC
12/21/2022
(888)
EUR
488,003
USD
490,282
CITI
12/21/2022
(8,984)
EUR
487,997
USD
490,277
JPMC
12/21/2022
(8,984)
GBP
216,002
USD
253,937
CITI
12/21/2022
(12,465)
GBP
215,998
USD
253,933
JPMC
12/21/2022
(12,465)
HKD
425,500
USD
54,340
CITI
12/21/2022
(58)
HKD
425,500
USD
54,340
JPMC
12/21/2022
(59)
ILS
43,000
USD
12,915
CITI
12/21/2022
(771)
ILS
43,000
USD
12,915
JPMC
12/21/2022
(771)
JPY
50,099,504
USD
365,383
CITI
12/21/2022
(16,036)
JPY
50,099,496
USD
365,384
JPMC
12/21/2022
(16,037)
NOK
137,004
USD
13,903
CITI
12/21/2022
(1,296)
NOK
136,996
USD
13,902
JPMC
12/21/2022
(1,296)
NZD
5,000
USD
3,039
CITI
12/21/2022
(239)
NZD
5,000
USD
3,039
JPMC
12/21/2022
(239)
SEK
570,000
USD
54,126
CITI
12/21/2022
(2,498)
SEK
570,000
USD
54,126
JPMC
12/21/2022
(2,498)
SGD
129,003
USD
92,084
CITI
12/21/2022
(2,167)
SGD
128,997
USD
92,080
JPMC
12/21/2022
(2,167)
Total
unrealized
depreciation
(137,546)
Net
unrealized
depreciation
$
(136,524)
Total
Return
Basket
Swaps
Outstanding
at
September
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.13%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
51-61
months
maturity
ranging
from
12/18/2026
-
09/24/2027
$18,169,091
$(108,914)
$64,874
$(44,040)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Dai-ichi
Life
Holdings,
Inc.
14,300
227,375
(11,262)
25.6
Dentsu
Group,
Inc.
4,600
130,767
(6,113)
13.9
Fujitsu
Ltd.
1,100
120,617
(4,306)
9.8
Fukuoka
Financial
Group,
Inc.
7,200
128,226
3,459
(7.9)
232
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Hino
Motors
Ltd.
33,100
136,848
(9,521)
21.6
Japan
Post
Holdings
Co.
Ltd.
24,000
159,005
(3,903)
8.9
Kyushu
Railway
Co.
5,000
107,920
6,870
(15.6)
Mazda
Motor
Corp.
31,900
211,821
(55,338)
125.7
Mitsubishi
Electric
Corp.
12,900
116,720
(7,594)
17.2
Mitsubishi
HC
Capital,
Inc.
26,700
114,763
(10,869)
24.7
Mitsubishi
Heavy
Industries
Ltd.
3,700
123,059
(12,424)
28.2
Mizuho
Financial
Group,
Inc.
35,300
382,109
(18,012)
40.9
NGK
Spark
Plug
Co.
Ltd.
7,400
131,243
(20,561)
46.7
NH
Foods
Ltd.
5,000
131,793
(4,005)
9.1
NIPPON
EXPRESS
HOLDINGS,
Inc.
3,700
188,067
(4,702)
10.7
Nippon
Telegraph
&
Telephone
Corp.
5,000
134,862
(1,788)
4.1
Resona
Holdings,
Inc.
31,500
115,273
(1,299)
2.9
Ricoh
Co.
Ltd.
15,300
112,030
(3,939)
8.9
SCREEN
Holdings
Co.
Ltd.
3,000
162,777
(27,758)
63.0
Seiko
Epson
Corp.
10,900
148,834
(13,253)
30.1
Shimamura
Co.
Ltd.
1,700
143,867
(2,958)
6.7
Shin-Etsu
Chemical
Co.
Ltd.
1,300
128,644
(18,648)
42.3
Sohgo
Security
Services
Co.
Ltd.
4,300
108,199
1,687
(3.8)
Square
Enix
Holdings
Co.
Ltd.
2,800
120,683
(964)
2.2
Taisei
Corp.
4,400
122,028
(8,090)
18.4
Tosoh
Corp.
9,900
110,339
(17,643)
40.1
Yamada
Holdings
Co.
Ltd.
58,600
192,830
(1,953)
4.4
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(8,000)
(149,388)
(1,858)
4.2
ANA
Holdings,
Inc.
(8,400)
(158,022)
(5,089)
11.6
Asahi
Intecc
Co.
Ltd.
(8,500)
(135,561)
9,326
(21.2)
Daiichi
Sankyo
Co.
Ltd.
(4,400)
(122,984)
7,408
(16.8)
Daikin
Industries
Ltd.
(1,000)
(153,869)
16,329
(37.1)
Denso
Corp.
(3,200)
(146,314)
16,991
(38.6)
JSR
Corp.
(10,300)
(195,316)
28,860
(65.5)
Keyence
Corp.
(500)
(165,280)
18,528
(42.1)
Kikkoman
Corp.
(2,400)
(136,059)
8,044
(18.3)
Kobe
Bussan
Co.
Ltd.
(6,600)
(158,778)
(1,907)
4.3
Kose
Corp.
(1,400)
(144,346)
(10,856)
24.7
Kubota
Corp.
(7,900)
(109,785)
9,481
(21.5)
Kyowa
Kirin
Co.
Ltd.
(5,000)
(114,961)
(2,600)
5.9
Lasertec
Corp.
(1,400)
(140,815)
41,348
(93.9)
Mitsubishi
UFJ
Financial
Group,
Inc.
(32,300)
(146,323)
16,103
(36.6)
Nidec
Corp.
(3,400)
(190,319)
27,607
(62.7)
Nippon
Paint
Holdings
Co.
Ltd.
(18,500)
(124,966)
15,513
(35.2)
Obic
Co.
Ltd.
(1,100)
(147,503)
10,148
(23.0)
Rakuten
Group,
Inc.
(27,900)
(119,398)
7,447
(16.9)
Sumitomo
Electric
Industries
Ltd.
(12,200)
(123,849)
13,548
(30.8)
Tokio
Marine
Holdings,
Inc.
(6,600)
(117,303)
625
(1.4)
Toyota
Motor
Corp.
(12,200)
(159,460)
14,261
(32.4)
Yaskawa
Electric
Corp.
(4,800)
(138,135)
16,912
(38.4)
233
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.01%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
12/18/2026
-
09/29/2027
$48,268,954
$(965,260)
$16,524
$(948,736)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Adobe,
Inc.
625
172,000
(50,046)
5.3
Alphabet,
Inc.
1,939
185,465
(29,085)
3.1
Amazon.com,
Inc.
2,358
266,454
(47,797)
5.0
American
International
Group,
Inc.
3,197
151,794
(24,169)
2.5
Apple,
Inc.
3,129
432,428
(59,783)
6.3
Arrow
Electronics,
Inc.
1,408
129,804
(16,980)
1.8
Booking
Holdings,
Inc.
122
200,472
(39,709)
4.2
Chubb
Ltd.
731
132,954
(8,599)
0.9
Cisco
Systems,
Inc.
4,811
192,440
(27,759)
2.9
Citigroup,
Inc.
5,528
230,352
(48,084)
5.1
Citizens
Financial
Group,
Inc.
4,044
138,952
(15,523)
1.6
CNO
Financial
Group,
Inc.
8,908
160,077
(9,621)
1.0
Coca-Cola
Co.
(The)
4,417
247,440
(27,827)
2.9
Comcast
Corp.
4,438
130,167
(26,016)
2.7
CVS
Health
Corp.
1,914
182,538
(12,977)
1.4
EMCOR
Group,
Inc.
1,288
148,738
(8,488)
0.9
Expedia
Group,
Inc.
2,186
204,806
(31,527)
3.3
Gilead
Sciences,
Inc.
2,398
147,933
(8,609)
0.9
Halliburton
Co.
6,898
169,829
(31,885)
3.4
Huntington
Ingalls
Industries,
Inc.
633
140,210
(8,838)
0.9
Intel
Corp.
6,158
158,692
(34,320)
3.6
JPMorgan
Chase
&
Co.
1,604
167,618
(23,531)
2.5
Kraft
Heinz
Co.
(The)
5,905
196,932
(18,217)
1.9
LyondellBasell
Industries
NV
2,228
167,724
(19,718)
2.1
ManpowerGroup,
Inc.
2,065
133,585
(20,175)
2.1
Marathon
Petroleum
Corp.
1,785
177,304
(1,214)
0.1
Medtronic
plc
1,588
128,231
(14,260)
1.5
Merck
&
Co.,
Inc.
1,563
134,606
(1,907)
0.2
Microsoft
Corp.
2,314
538,931
(70,796)
7.5
Owens
Corning
1,865
146,608
(16,636)
1.8
PepsiCo,
Inc.
874
142,689
(8,424)
0.9
Pfizer,
Inc.
4,590
200,858
(17,713)
1.9
Phillips
66
1,984
160,148
(13,423)
1.4
Robert
Half
International,
Inc.
1,678
128,367
(6,662)
0.7
Tesla,
Inc.
658
174,534
(22,983)
2.4
Tyson
Foods,
Inc.
3,203
211,174
(28,749)
3.0
Vail
Resorts,
Inc.
861
185,666
(11,855)
1.2
234
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Valero
Energy
Corp.
1,659
177,264
(9,254)
1.0
Verizon
Communications,
Inc.
3,792
143,982
(13,634)
1.4
Vishay
Intertechnology,
Inc.
9,073
161,409
(15,696)
1.7
Walmart,
Inc.
1,022
132,553
(7,204)
0.8
Wells
Fargo
&
Co.
3,953
158,990
(20,200)
2.1
Westrock
Co.
5,364
165,694
(47,429)
5.0
Short
Positions
Common
Stocks
United
States
First
Financial
Bankshares,
Inc.
(3,100)
(129,673)
3,317
(0.3)
GameStop
Corp.
(5,680)
(142,738)
18,715
(2.0)
Home
BancShares,
Inc.
(6,397)
(143,996)
6,717
(0.7)
Honeywell
International,
Inc.
(814)
(135,914)
20,122
(2.1)
M&T
Bank
Corp.
(1,481)
(261,130)
16,721
(1.8)
McCormick
&
Co.,
Inc.
(Non-Voting)
(2,334)
(166,344)
20,119
(2.1)
Realty
Income
Corp.
(2,840)
(165,288)
24,396
(2.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-1.00%
to
0.30%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
09/30/2024
$2,423,581
$13,932
$3,663
$17,595
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Ampol
Ltd.
1,912
35,366
645
3.7
APA
Group
2,641
16,250
(424)
(2.4)
Aristocrat
Leisure
Ltd.
3,034
63,977
(319)
(1.8)
Atlas
Arteria
Ltd.
6,577
26,190
(314)
(1.8)
Aurizon
Holdings
Ltd.
47,626
105,332
(987)
(5.6)
Australia
&
New
Zealand
Banking
Group
Ltd.
8,502
124,459
(839)
(4.8)
BlueScope
Steel
Ltd.
10,528
102,244
2,443
13.9
Boral
Ltd.
9,716
16,562
403
2.3
Brambles
Ltd.
6,108
44,683
(560)
(3.2)
Cochlear
Ltd.
412
51,178
(2,146)
(12.2)
Coles
Group
Ltd.
7,695
81,124
(879)
(5.0)
Computershare
Ltd.
3,703
59,063
345
2.0
Harvey
Norman
Holdings
Ltd.
26,335
68,127
(1,612)
(9.2)
Incitec
Pivot
Ltd.
40,148
91,291
5,518
31.4
JB
Hi-Fi
Ltd.
4,854
117,469
(3,186)
(18.1)
235
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
National
Australia
Bank
Ltd.
624
11,554
(161)
(0.9)
Newcrest
Mining
Ltd.
2,527
27,744
2,270
12.9
Northern
Star
Resources
Ltd.
1,851
9,268
1,028
5.8
Orica
Ltd.
1,380
11,749
(133)
(0.8)
QBE
Insurance
Group
Ltd.
2,702
20,048
(53)
(0.3)
Qube
Holdings
Ltd.
17,103
27,155
(304)
(1.7)
Ramsay
Health
Care
Ltd.
993
36,451
(1,075)
(6.1)
Sonic
Healthcare
Ltd.
6,224
121,400
2,164
12.3
Suncorp
Group
Ltd.
9,992
64,478
820
4.7
Telstra
Corp.
Ltd.
40,244
99,372
2,581
14.7
Transurban
Group
4,750
37,513
(2,077)
(11.8)
Westpac
Banking
Corp.
3,953
52,298
(1,256)
(7.1)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(1,129)
(9,984)
25
0.1
Alumina
Ltd.
(17,545)
(14,204)
105
0.6
carsales.com
Ltd.
(1,415)
(16,879)
1,224
7.0
Cleanaway
Waste
Management
Ltd.
(30,647)
(53,429)
(1,088)
(6.2)
Commonwealth
Bank
of
Australia
(1,187)
(69,054)
2,021
11.5
CSL
Ltd.
(398)
(72,383)
124
0.7
Domino's
Pizza
Enterprises
Ltd.
(1,872)
(61,676)
2,841
16.1
IDP
Education
Ltd.
(4,043)
(67,916)
1,417
8.1
IGO
Ltd.
(1,547)
(13,608)
(160)
(0.9)
Insurance
Australia
Group
Ltd.
(5,494)
(16,253)
(860)
(4.9)
Lendlease
Corp.
Ltd.
(7,596)
(43,427)
350
2.0
Lynas
Rare
Earths
Ltd.
(6,693)
(32,276)
(639)
(3.6)
Macquarie
Group
Ltd.
(350)
(34,146)
2,462
14.0
Medibank
Pvt
Ltd.
(16,206)
(36,223)
(667)
(3.8)
Mineral
Resources
Ltd.
(615)
(25,814)
(1,322)
(7.5)
OZ
Minerals
Ltd.
(2,994)
(49,531)
(772)
(4.4)
Pro
Medicus
Ltd.
(1,308)
(41,767)
2,191
12.5
Qantas
Airways
Ltd.
(5,256)
(16,867)
145
0.8
REA
Group
Ltd.
(591)
(43,017)
2,026
11.5
Reece
Ltd.
(4,974)
(44,697)
482
2.7
Seven
Group
Holdings
Ltd.
(1,238)
(13,430)
(39)
(0.2)
Wesfarmers
Ltd.
(949)
(25,944)
801
4.6
Woolworths
Group
Ltd.
(1,418)
(30,814)
660
3.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.21%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
01/25/2023
-
10/25/2023
$3,140,967
$9,144
$(89,082)
$(79,938)
236
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
2,266
69,636
(2,674)
3.3
Bank
of
Montreal
1,197
104,912
(1,005)
1.3
Bank
of
Nova
Scotia
(The)
1,821
86,611
(2,109)
2.6
Barrick
Gold
Corp.
2,677
41,492
3,740
(4.7)
Canadian
Imperial
Bank
of
Commerce
1,005
43,988
(589)
0.7
Canadian
National
Railway
Co.
546
58,966
(435)
0.5
Canadian
Tire
Corp.
Ltd.
512
54,504
(119)
0.1
CGI,
Inc.
389
29,284
327
(0.4)
CI
Financial
Corp.
3,600
34,505
(573)
0.7
Cogeco
Communications,
Inc.
607
31,687
(18)
0.0
Empire
Co.
Ltd.
1,522
37,859
(1,080)
1.4
Enbridge,
Inc.
1,461
54,173
85
(0.1)
Finning
International,
Inc.
3,345
58,795
1,065
(1.3)
George
Weston
Ltd.
842
88,159
(1,030)
1.3
iA
Financial
Corp.,
Inc.
983
49,949
954
(1.2)
Loblaw
Cos.
Ltd.
910
72,057
(2,082)
2.6
Magna
International,
Inc.
644
30,551
(2,084)
2.6
National
Bank
of
Canada
1,050
65,812
479
(0.6)
Nutrien
Ltd.
815
67,968
1,711
(2.1)
Onex
Corp.
1,485
68,114
1,312
(1.6)
Open
Text
Corp.
1,720
45,461
(535)
0.7
Parkland
Corp.
1,831
39,235
1,047
(1.3)
Pembina
Pipeline
Corp.
2,718
82,562
590
(0.7)
Ritchie
Bros
Auctioneers,
Inc.
480
29,992
70
(0.1)
SSR
Mining,
Inc.
2,472
36,346
4,116
(5.1)
Sun
Life
Financial,
Inc.
2,169
86,251
(377)
0.5
TC
Energy
Corp.
890
35,849
(1,559)
2.0
Toromont
Industries
Ltd.
840
58,475
(493)
0.6
West
Fraser
Timber
Co.
Ltd.
1,316
95,202
3,125
(3.9)
Chile
Lundin
Mining
Corp.
11,907
60,166
6,034
(7.5)
Short
Positions
Common
Stocks
Canada
BCE,
Inc.
(1,167)
(48,932)
2,543
(3.2)
BlackBerry
Ltd.
(6,123)
(28,856)
1,507
(1.9)
Brookfield
Asset
Management,
Inc.
(1,219)
(49,868)
1,880
(2.4)
CAE,
Inc.
(2,007)
(30,788)
174
(0.2)
Canadian
Pacific
Railway
Ltd.
(1,031)
(68,823)
1,523
(1.9)
Capital
Power
Corp.
(954)
(32,390)
1,892
(2.4)
Constellation
Software,
Inc.
(35)
(48,701)
(802)
1.0
Dollarama,
Inc.
(1,142)
(65,559)
(2,472)
3.1
Element
Fleet
Management
Corp.
(3,854)
(45,477)
(1,144)
1.4
Emera,
Inc.
(1,003)
(40,582)
2,026
(2.5)
Franco-Nevada
Corp.
(479)
(57,216)
(4,088)
5.1
GFL
Environmental,
Inc.
(2,107)
(53,249)
732
(0.9)
Intact
Financial
Corp.
(335)
(47,410)
32
(0.0)
Lightspeed
Commerce,
Inc.
(1,676)
(29,495)
(2,390)
3.0
Restaurant
Brands
International,
Inc.
(1,108)
(58,939)
1,612
(2.0)
Royal
Bank
of
Canada
(700)
(63,025)
(243)
0.3
237
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Thomson
Reuters
Corp.
(347)
(35,621)
111
(0.1)
TMX
Group
Ltd.
(381)
(35,045)
(334)
0.4
United
States
Brookfield
Renewable
Corp.
(1,648)
(53,854)
2,899
(3.6)
BRP,
Inc.
(901)
(55,501)
(385)
0.5
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-3.25%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$2,375,616
$16,775
$(1,018)
$15,757
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
3,685
95,145
919
5.8
Adecco
Group
AG
(Registered)
152
4,195
(44)
(0.3)
Baloise
Holding
AG
(Registered)
123
15,716
(240)
(1.5)
Barry
Callebaut
AG
(Registered)
39
73,516
354
2.2
Belimo
Holding
AG
(Registered)
34
12,505
445
2.8
Bucher
Industries
AG
(Registered)
89
27,766
38
0.2
Chocoladefabriken
Lindt
&
Spruengli
AG
1
9,664
320
2.0
Clariant
AG
(Registered)
501
8,003
229
1.5
DKSH
Holding
AG
642
46,581
808
5.1
dormakaba
Holding
AG
23
7,761
(60)
(0.4)
Galenica
AG
275
19,914
669
4.2
Georg
Fischer
AG
(Registered)
141
6,718
(39)
(0.2)
Helvetia
Holding
AG
(Registered)
366
34,296
(720)
(4.6)
Julius
Baer
Group
Ltd.
279
12,175
(512)
(3.3)
Kuehne
+
Nagel
International
AG
(Registered)
259
52,741
(991)
(6.3)
Lonza
Group
AG
(Registered)
53
25,805
2,160
13.7
Novartis
AG
(Registered)
4,116
313,791
5,185
32.9
OC
Oerlikon
Corp.
AG
(Registered)
2,440
15,619
(368)
(2.3)
SGS
SA
(Registered)
14
29,956
(407)
(2.6)
Sonova
Holding
AG
(Registered)
29
6,382
92
0.6
Sulzer
AG
(Registered)
124
7,133
83
0.5
Swiss
Life
Holding
AG
(Registered)
31
13,696
(231)
(1.5)
Swisscom
AG
(Registered)
137
64,149
(1,387)
(8.8)
Temenos
AG
(Registered)
1,197
80,698
340
2.2
UBS
Group
AG
(Registered)
9,029
130,992
(2,974)
(18.9)
238
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Roche
Holding
AG
385
125,330
5,971
37.9
Swiss
Re
AG
328
24,191
(441)
(2.8)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(1,540)
(9,586)
(72)
(0.5)
Switzerland
Alcon,
Inc.
(554)
(32,179)
60
0.4
Bachem
Holding
AG
(1,086)
(68,301)
(4,134)
(26.2)
BKW
AG
(126)
(15,015)
462
2.9
Cie
Financiere
Richemont
SA
(Registered)
(305)
(28,791)
1,057
6.7
Credit
Suisse
Group
AG
(Registered)
(16,582)
(65,592)
2,471
15.7
Dufry
AG
(Registered)
(1,474)
(44,750)
2,770
17.6
EMS-Chemie
Holding
AG
(Registered)
(89)
(56,182)
(1,385)
(8.8)
Flughafen
Zurich
AG
(Registered)
(120)
(17,737)
348
2.2
Geberit
AG
(Registered)
(40)
(17,152)
(279)
(1.8)
Givaudan
SA
(Registered)
(13)
(39,273)
(380)
(2.4)
Holcim
AG
(2,703)
(110,770)
1,382
8.8
Idorsia
Ltd.
(3,005)
(38,892)
(62)
(0.4)
Logitech
International
SA
(Registered)
(1,326)
(60,621)
(913)
(5.8)
Partners
Group
Holding
AG
(58)
(46,678)
(122)
(0.8)
Schindler
Holding
AG
(223)
(34,610)
(618)
(3.9)
SIG
Group
AG
(7,759)
(157,540)
10,899
69.2
Sika
AG
(Registered)
(389)
(78,186)
(1,249)
(7.9)
Straumann
Holding
AG
(Registered)
(518)
(47,376)
(653)
(4.1)
Tecan
Group
AG
(Registered)
(201)
(68,952)
(3,520)
(22.3)
VAT
Group
AG
(122)
(24,757)
1,604
10.2
United
States
Nestle
SA
(Registered)
(446)
(48,238)
(90)
(0.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$1,099,552
$(4,500)
$(75)
$(4,575)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
239
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
88
159,916
(2,014)
44.0
Carlsberg
A/S
839
98,110
(4,408)
96.4
DSV
A/S
390
45,688
192
(4.2)
Genmab
A/S
239
76,887
(390)
8.5
H
Lundbeck
A/S
6,158
19,737
(613)
13.4
H
Lundbeck
A/S
1,316
3,928
(88)
1.9
ISS
A/S
4,949
76,295
(4,270)
93.3
Novo
Nordisk
A/S
1,280
127,511
2,387
(52.2)
Orsted
A/S
2
159
(13)
0.3
Pandora
A/S
2,297
107,422
(7,239)
158.2
Short
Positions
Common
Stocks
Denmark
Chr
Hansen
Holding
A/S
(283)
(13,940)
362
(7.9)
Coloplast
A/S
(1,017)
(103,352)
(1,471)
32.2
Demant
A/S
(502)
(12,410)
592
(12.9)
GN
Store
Nord
A/S
(1,361)
(23,840)
4,110
(89.8)
Novozymes
A/S
(740)
(37,187)
191
(4.2)
ROCKWOOL
A/S
(73)
(11,515)
(242)
5.3
Royal
Unibrew
A/S
(444)
(28,769)
1,289
(28.2)
SimCorp
A/S
(323)
(18,179)
1,189
(26.0)
Tryg
A/S
(2,459)
(50,763)
870
(19.0)
Vestas
Wind
Systems
A/S
(4,559)
(83,944)
5,066
(110.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-5.00%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$11,028,733
$(106,104)
$153,404
$47,300
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Kesko
OYJ
4,094
76,382
(956)
(2.0)
Nokia
OYJ
26,479
113,676
38
0.1
240
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
Cie
de
Saint-Gobain
5,230
187,002
(5,134)
(10.9)
Eiffage
SA
1,830
146,753
1,158
2.4
Ipsen
SA
920
85,146
1,293
2.7
Orange
SA
18,166
164,303
(6,148)
(13.0)
Rexel
SA
5,534
82,937
(3,027)
(6.4)
Sanofi
1,668
127,012
419
0.9
Thales
SA
717
79,009
167
0.4
Germany
Bayer
AG
(Registered)
2,613
120,393
(3,477)
(7.3)
Bayerische
Motoren
Werke
AG
1,886
127,828
(5,550)
(11.7)
Deutsche
Bank
AG
(Registered)
19,333
143,141
(17,740)
(37.5)
GEA
Group
AG
2,997
96,992
3,442
7.3
Italy
Assicurazioni
Generali
SpA
5,583
76,232
(3,489)
(7.4)
Leonardo
SpA
16,037
113,548
(9,705)
(20.5)
UniCredit
SpA
14,777
149,604
(7,905)
(16.7)
Unipol
Gruppo
SpA
20,684
80,336
(3,810)
(8.1)
Netherlands
Aegon
NV
28,997
115,263
(6,738)
(14.2)
ASR
Nederland
NV
2,583
99,298
(4,239)
(9.0)
Koninklijke
Ahold
Delhaize
NV
2,939
74,861
(1,858)
(3.9)
NN
Group
NV
2,399
93,307
(292)
(0.6)
OCI
NV
3,016
110,421
4,838
10.2
Singapore
STMicroelectronics
NV
2,686
83,474
(6,292)
(13.3)
Spain
Banco
de
Sabadell
SA
155,881
103,951
(13,102)
(27.7)
Banco
Santander
SA
53,459
124,394
(6,404)
(13.5)
Industria
de
Diseno
Textil
SA
5,455
112,573
303
0.6
Red
Electrica
Corp.
SA
9,396
144,187
(9,918)
(21.0)
United
States
Stellantis
NV
16,995
200,753
(11,111)
(23.5)
Short
Positions
Common
Stocks
China
Prosus
NV
(1,681)
(87,457)
3,846
8.1
France
Aeroports
de
Paris
(638)
(73,728)
2,337
4.9
Air
Liquide
SA
(1,153)
(131,787)
287
0.6
Cie
Generale
des
Etablissements
Michelin
SCA
(3,562)
(79,809)
936
2.0
EssilorLuxottica
SA
(1,066)
(144,894)
1,264
2.7
L'Oreal
SA
(254)
(81,214)
635
1.3
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(197)
(116,146)
1,009
2.1
Sartorius
Stedim
Biotech
(245)
(75,151)
1,085
2.3
Veolia
Environnement
SA
(4,384)
(83,788)
2,272
4.8
Worldline
SA
(1,933)
(76,403)
3,428
7.2
Germany
Deutsche
Telekom
AG
(Registered)
(5,458)
(92,904)
2,492
5.3
RWE
AG
(3,013)
(110,746)
3,826
8.1
Sartorius
AG
(Preference)
(344)
(118,991)
2,277
4.8
Siemens
Healthineers
AG
(2,659)
(114,059)
(5,130)
(10.8)
Italy
Ferrari
NV
(822)
(152,223)
4,467
9.4
241
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Netherlands
Adyen
NV
(83)
(103,514)
(793)
(1.7)
Koninklijke
DSM
NV
(773)
(87,960)
(2,164)
(4.6)
Koninklijke
Philips
NV
(6,268)
(96,505)
2,863
6.1
Spain
CaixaBank
SA
(41,834)
(134,742)
5,722
12.1
Cellnex
Telecom
SA
(5,203)
(160,495)
130
0.3
Ferrovial
SA
(4,765)
(108,159)
(377)
(0.8)
United
States
Schneider
Electric
SE
(1,155)
(130,458)
(1,211)
(2.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$3,649,519
$(66,827)
$9,576
$(57,251)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
2,665
144,192
4,398
(7.7)
Jordan
Hikma
Pharmaceuticals
plc
3,511
52,921
5,506
(9.6)
Nigeria
Airtel
Africa
plc
39,687
56,923
(4,538)
7.9
United
Kingdom
abrdn
plc
46,345
70,895
468
(0.8)
Associated
British
Foods
plc
6,907
96,509
(2,745)
4.8
Aviva
plc
7,401
31,742
(2,544)
4.4
BAE
Systems
plc
8,747
76,855
(2,566)
4.5
Barclays
plc
67,552
107,484
(13,814)
24.1
Barratt
Developments
plc
19,179
72,486
(10,002)
17.5
Burberry
Group
plc
1,658
33,119
2,444
(4.3)
DCC
plc
788
40,923
1
(0.0)
Diageo
plc
887
37,337
(793)
1.4
Howden
Joinery
Group
plc
9,730
54,357
(3,114)
5.4
HSBC
Holdings
plc
11,819
61,197
(4,997)
8.7
Inchcape
plc
5,126
38,814
(1,965)
3.4
InterContinental
Hotels
Group
plc
2,283
109,954
(1,441)
2.5
Intertek
Group
plc
1,406
57,687
(1,905)
3.3
Johnson
Matthey
plc
1,589
32,081
(831)
1.5
Kingfisher
plc
15,299
37,241
(2,731)
4.8
Legal
&
General
Group
plc
18,291
43,660
(5,824)
10.2
242
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Lloyds
Banking
Group
plc
150,219
67,897
(7,094)
12.4
Man
Group
plc
19,543
48,390
(2,976)
5.2
Marks
&
Spencer
Group
plc
55,142
60,150
(3,266)
5.7
National
Grid
plc
4,807
49,484
(3,555)
6.2
Pearson
plc
3,692
35,257
(327)
0.6
Reckitt
Benckiser
Group
plc
544
36,057
(1,432)
2.5
Royal
Mail
plc
28,649
58,315
(4,333)
7.6
Smiths
Group
plc
4,571
76,139
(2,229)
3.9
Unilever
plc
1,269
55,760
(2,333)
4.1
Vodafone
Group
plc
89,323
99,970
(6,406)
11.2
WPP
plc
3,808
31,436
(929)
1.6
United
States
GSK
plc
8,487
122,575
(2,984)
5.2
Short
Positions
Common
Stocks
Chile
Antofagasta
plc
(6,153)
(75,398)
(3,261)
5.7
Hong
Kong
Prudential
plc
(3,794)
(37,134)
2,694
(4.7)
United
Kingdom
Admiral
Group
plc
(1,767)
(37,538)
2,513
(4.4)
Ashtead
Group
plc
(991)
(44,506)
(965)
1.7
AstraZeneca
plc
(684)
(75,192)
669
(1.2)
AVEVA
Group
plc
(3,162)
(109,096)
2,327
(4.1)
B&M
European
Value
Retail
SA
(19,886)
(67,637)
1,461
(2.6)
Berkeley
Group
Holdings
plc
(1,426)
(52,100)
682
(1.2)
Compass
Group
plc
(2,225)
(44,305)
748
(1.3)
ConvaTec
Group
plc
(22,141)
(50,317)
1,944
(3.4)
Croda
International
plc
(440)
(31,427)
939
(1.6)
Experian
plc
(2,304)
(67,444)
1,397
(2.4)
Halma
plc
(2,486)
(55,916)
2,486
(4.3)
Hargreaves
Lansdown
plc
(3,753)
(35,943)
497
(0.9)
Pennon
Group
plc
(5,485)
(47,858)
3,739
(6.5)
St
James's
Place
plc
(2,735)
(31,147)
1,391
(2.4)
Tate
&
Lyle
plc
(4,356)
(32,843)
74
(0.1)
United
Utilities
Group
plc
(4,311)
(42,568)
2,785
(4.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.75%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
09/23/2024
$1,132,212
$(9,423)
$2,598
$(6,825)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
243
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
29,500
98,109
(6,743)
98.8
Hong
Kong
ASMPT
Ltd.
5,300
32,128
(2,948)
43.2
CK
Asset
Holdings
Ltd.
8,500
51,029
(1,165)
17.1
Hang
Lung
Properties
Ltd.
10,000
16,421
(216)
3.2
Hang
Seng
Bank
Ltd.
1,400
21,270
(793)
11.6
Henderson
Land
Development
Co.
Ltd.
7,000
19,601
(1,043)
15.3
HKT
Trust
&
HKT
Ltd.
5,000
5,856
(539)
7.9
Hong
Kong
Exchanges
&
Clearing
Ltd.
100
3,418
(144)
2.1
Man
Wah
Holdings
Ltd.
82,400
52,177
(2,829)
41.4
MTR
Corp.
Ltd.
8,500
38,988
(2,593)
38.0
New
World
Development
Co.
Ltd.
11,000
31,241
(1,971)
28.9
Power
Assets
Holdings
Ltd.
4,000
20,051
(994)
14.6
Sino
Land
Co.
Ltd.
24,000
31,568
(46)
0.7
Sun
Hung
Kai
Properties
Ltd.
13,000
143,472
(8,395)
123.0
Swire
Properties
Ltd.
11,800
25,385
(1,012)
14.8
WH
Group
Ltd.
124,000
77,988
(3,050)
44.7
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(2,200)
(5,729)
367
(5.4)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(10,000)
(18,794)
901
(13.2)
ESR
Group
Ltd.
(17,400)
(43,767)
1,009
(14.8)
Hong
Kong
AIA
Group
Ltd.
(4,600)
(38,299)
1,755
(25.7)
Techtronic
Industries
Co.
Ltd.
(11,500)
(109,734)
14,793
(216.8)
Wharf
Real
Estate
Investment
Co.
Ltd.
(17,000)
(77,068)
2,305
(33.8)
Macau
Galaxy
Entertainment
Group
Ltd.
(22,000)
(129,314)
2,552
(37.4)
Sands
China
Ltd.
(8,400)
(20,918)
912
(13.4)
Wynn
Macau
Ltd.
(31,200)
(19,887)
464
(6.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$454,850
$12,527
$2,085
$14,612
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
244
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
2,246
78,824
(2,118)
(14.5)
Norway
Gjensidige
Forsikring
ASA
442
7,584
(315)
(2.2)
Leroy
Seafood
Group
ASA
5,913
23,322
(8,718)
(59.7)
Mowi
ASA
811
10,316
(2,603)
(17.8)
Norsk
Hydro
ASA
17,470
93,743
1,712
11.7
Orkla
ASA
5,314
38,629
(931)
(6.4)
Telenor
ASA
5,606
51,307
(1,955)
(13.4)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(145)
(5,771)
994
6.8
France
Adevinta
ASA
(3,538)
(21,078)
(7)
(0.0)
Norway
Kongsberg
Gruppen
ASA
(1,009)
(30,621)
(1,783)
(12.2)
Salmar
ASA
(1,588)
(53,526)
29,167
199.6
Schibsted
ASA
(795)
(10,728)
56
0.4
TOMRA
Systems
ASA
(1,246)
(21,984)
(901)
(6.2)
United
Kingdom
Subsea
7
SA
(939)
(7,417)
(71)
(0.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-5.25%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
09/25/2024
$2,125,761
$(30,473)
$(24,193)
$(54,666)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
5,731
65,822
(2,113)
3.9
Finland
Nordea
Bank
Abp
6,059
51,854
(2,492)
4.6
245
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
Assa
Abloy
AB
669
12,534
80
(0.1)
Axfood
AB
935
21,422
(795)
1.5
BillerudKorsnas
AB
3,571
41,925
1,461
(2.7)
Boliden
AB
3,614
111,658
6,944
(12.7)
Elekta
AB
5,827
29,595
307
(0.6)
Essity
AB
2,710
53,541
233
(0.4)
Evolution
AB
230
18,181
525
(1.0)
Getinge
AB
1,614
27,601
739
(1.4)
H
&
M
Hennes
&
Mauritz
AB
1,782
16,475
(280)
0.5
Husqvarna
AB
2,244
12,439
12
(0.0)
Saab
AB
1,798
56,020
1,064
(1.9)
Sandvik
AB
1,917
26,132
454
(0.8)
Skanska
AB
3,122
38,856
19
(0.0)
SSAB
AB
41,346
176,195
(2,115)
3.9
Svenska
Cellulosa
AB
SCA
2,197
27,877
161
(0.3)
Svenska
Handelsbanken
AB
5,672
46,561
(1,022)
1.9
Swedbank
AB
6,940
91,093
(1,710)
3.1
Swedish
Orphan
Biovitrum
AB
692
13,374
741
(1.4)
Telefonaktiebolaget
LM
Ericsson
21,169
123,742
(3,756)
6.9
Telia
Co.
AB
40,099
115,488
(5,195)
9.5
Trelleborg
AB
383
7,185
17
(0.0)
Volvo
AB
1,483
20,986
(213)
0.4
United
States
Sinch
AB
10,973
14,547
12
(0.0)
Short
Positions
Common
Stocks
Sweden
AAK
AB
(1,462)
(19,330)
332
(0.6)
Alfa
Laval
AB
(1,502)
(37,245)
(1,866)
3.4
Atlas
Copco
AB
(3,389)
(31,499)
(2)
0.0
Beijer
Ref
AB
(3,141)
(38,622)
(2,734)
5.0
Electrolux
AB
(890)
(9,250)
314
(0.6)
Embracer
Group
AB
(18,241)
(108,118)
(11,551)
21.1
Epiroc
AB
(2,434)
(34,820)
(2,162)
4.0
EQT
AB
(4,040)
(78,062)
(812)
1.5
Hexagon
AB
(17,709)
(165,387)
(2,541)
4.6
Hexpol
AB
(1,416)
(11,614)
(347)
0.6
Holmen
AB
(1,026)
(38,933)
(612)
1.1
Indutrade
AB
(3,513)
(56,981)
(777)
1.4
Lifco
AB
(2,693)
(37,360)
(1,082)
2.0
Nibe
Industrier
AB
(11,359)
(101,325)
(423)
0.8
Securitas
AB
(1,571)
(10,906)
481
(0.9)
Skandinaviska
Enskilda
Banken
AB
(1,491)
(14,210)
31
(0.1)
SKF
AB
(5,843)
(78,276)
(1,143)
2.1
Sweco
AB
(1,203)
(10,091)
(313)
0.6
Volvo
Car
AB
(5,215)
(22,629)
1,656
(3.0)
246
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
September
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.30%
to
0.35%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
09/23/2024
$524,514
$(15,695)
$(180)
$(15,875)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
19,000
50,547
(516)
3.3
Yangzijiang
Shipbuilding
Holdings
Ltd.
183,700
131,146
(10,826)
68.2
Singapore
City
Developments
Ltd.
6,600
34,783
(1,290)
8.1
Genting
Singapore
Ltd.
25,500
13,858
9
(0.1)
Oversea-Chinese
Banking
Corp.
Ltd.
13,500
110,617
(1,612)
10.2
Singapore
Technologies
Engineering
Ltd.
6,100
15,155
(220)
1.4
Singapore
Telecommunications
Ltd.
36,000
66,429
256
(1.6)
United
Overseas
Bank
Ltd.
2,800
50,715
(1,590)
10.0
Short
Positions
Common
Stocks
Singapore
DBS
Group
Holdings
Ltd.
(1,800)
(41,640)
(44)
0.3
Keppel
Corp.
Ltd.
(2,000)
(9,624)
138
(0.9)
247
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
September
30,
2022
(Unaudited)
Abbreviations
ADR
-
American
Depositary
Receipt
CVA
-
Dutch
Certification
CVR
-
Contingent
Value
Rights
OYJ
-
Public
Traded
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference. Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
SDR
-
Swedish
Depositary
Receipt
Currencies
AUD
-
Australian
Dollar
BRL
-
Brazilian
Real
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
CLP
-
Chilean
Peso
CNY
-
Chinese
Renminbi
COP
-
Colombian
Peso
CZK
-
Czech
Republic
Koruna
DKK
-
Danish
Krone
EUR
-
Euro
GBP
-
British
Pound
HKD
-
Hong
Kong
Dollar
HUF
-
Hungarian
Forint
IDR
-
Indonesian
Rupiah
ILS
-
Israeli
Shekel
INR
-
Indian
Rupee
JPY
-
Japanese
Yen
KRW
-
Korean
Won
MXN
-
Mexican
Peso
MYR
-
Malaysian
Ringgit
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
PHP
-
Philippine
Peso
PLN
-
Poland
Zloty
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
THB
-
Thai
Baht
TWD
-
New
Taiwan
Dollar
USD
-
United
States
Dollar
ZAR
-
South
African
Rand
The
following
abbreviations
are
used
for
counterparty
descriptions:
BANA
-
Bank
of
America,
NA
BNPP
-
BNP
Paribas
SA
CITI
-
Citibank
NA
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
MACQ
-
Macquarie
Bank
Ltd.
MLIN
-
Merrill
Lynch
International
MSCS
-
Morgan
Stanley
Capital
Services
LLC
MSIP
-
Morgan
Stanley
&
Co.
International
plc
248
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
See
notes
to
Schedule
of
Investments.
September
30,
2022
(Unaudited)
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
1.68%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
2.71%
Australian
Overnight
Indexed
Swap
Rate
(“AOISR”):
2.31%
Bank
of
Japan
Estimate
Unsecured
Overnight
Call
Rate
(“MUTSC”):
-0.07%
Brazilian
Interbank
Certificate
of
Deposit
(“CDI”):
13.65%
Canadian
Bankers’
Acceptance
Rate
("BA"):
3.76%
Canadian
Dollar
Offered
Rate
(“CDOR”):
3.76%
Canadian
Overnight
Repo
Rate
Average
("CORRA"):
3.26%
Copenhagen
Interbank
Offered
Rate(“CIBOR”):
1.02%
Denmark
Tomorrow/Next
:
0.77%
Euro
Short-Term
Rate
("ESTR"):
0.64%
Federal
Funds
Floating
Rate:
3.08%
Hong
Kong
Interbank
Offered
Rate
(“HIBOR”):
2.62%
Hong
Kong
Overnight
Index
Average
(“HONIX”):
2.19%
Johannesburg
Interbank
Agreed
Rate
(“JIBAR”):
6.31%
Mexico
Equilibrium
Interbank
Interest
Rate
("TIIE"):
9.54%
Norway
Interbank
Offered
Rate
("NIBOR"):
2.70%
Norwegian
Overnight
Weighted
Average
("NOWA"):
2.27%
Overnight
Bank
Funding
Rate
("OBFR"):
3.07%
Rand
Overnight
Deposit
Rate:
6.08%
Reserve
Bank
of
Australia
Cash
Rate (“RBACR”): 2.31%
Singapore
Overnight
Rate
Average
(“SORA”):
4.39%
Sterling
Overnight
Index
Average
(“SONIA”):
2.19%
Swiss
Average
Rate
Overnight
(“SARON”):
0.44
%
Tokyo
Overnight
Average
Rate
(“TONAR”): -0.07%
Warsaw
Interbank
Offered
Rate(“WIBOR”):
7.01%
249
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
The
Consolidated
Schedules
of
Investments
of AQR
Alternative
Risk
Premia
Fund,
AQR
Macro
Opportunities
Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund
and
AQR
Style
Premia
Alternative
Fund
(“Consolidated
Funds”)
include
the
accounts
of
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.,
AQR
Macro
Opportunities
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.,
AQR
Multi-Asset
Offshore
Fund
Ltd.,
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
and
AQR
Style
Premia
Alternative
Offshore
Fund
Ltd.,
respectively,
which
are
wholly-owned
and
controlled
subsidiaries
(the
“Subsidiaries”).
Subsequent
references
to
the
Funds
collectively
refer
to
the
Consolidated
Funds
and
their
Subsidiaries.
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities. Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
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.
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.
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments.
250
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
64,405,079
$
48,044,295
$
–
$
112,449,374
Preferred
Stocks
†
................................
18,034
–
–
18,034
Short-Term
Investments
...........................
79,115,943
38,678,526
–
117,794,469
Futures
Contracts*
...............................
7,892,149
–
–
7,892,149
Forward
Foreign
Currency
Exchange
Contracts*
........
–
6,860,082
–
6,860,082
Interest
Rate
Swap
Contracts*
......................
–
6,151,796
–
6,151,796
Total
Return
Swaps
Contracts*
......................
–
254,033
–
254,033
Total
Assets
$
151,431,205
$
99,988,732
$
–
$
251,419,937
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(57,984,377)
$
(45,965,878)
$
–
$
(103,950,255)
Preferred
Stocks
(Sold
Short)
†
......................
(31,878)
–
–
(31,878)
Warrants
(Sold
Short)
†
............................
(7,124)
–
–
(7,124)
Futures
Contracts*
...............................
(6,090,937)
–
–
(6,090,937)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(7,430,876)
–
(7,430,876)
Interest
Rate
Swap
Contracts*
......................
–
(5,702,151)
–
(5,702,151)
Total
Return
Swaps
Contracts*
......................
–
(497,401)
–
(497,401)
Total
Liabilities
$
(64,114,316)
$
(59,596,306)
$
–
$
(123,710,622)
AQR
DIVERSIFIED
ARBITRAGE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
310,996,827
$
133,605,604
$
282,452
$
444,884,883
Corporate
Bonds
................................
–
4,592,025
217,289
4,809,314
Convertible
Bonds
...............................
–
272,340,661
–
272,340,661
Closed
End
Funds
...............................
24,547,287
–
–
24,547,287
Rights
........................................
137,172
83,935
306,646
527,753
Warrants
......................................
2,665,542
830,763
167,145
3,663,450
Units
.........................................
2,020,178
1,031,400
–
3,051,578
Short-Term
Investments
...........................
595,032,286
323,681,726
–
918,714,012
Futures
Contracts*
...............................
5,559,245
–
–
5,559,245
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,024,566
–
3,024,566
Credit
Default
Swap
Contracts*
.....................
–
4,242,552
–
4,242,552
Total
Return
Basket
Swaps
Contracts*
................
–
426,430
–
426,430
Total
Assets
$
940,958,537
$
743,859,662
$
973,532
$
1,685,791,731
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(60,549,378)
$
–
$
–
(a)
$
(60,549,378)
Convertible
Bonds
(Sold
Short)
.....................
–
(7,448,060)
–
(7,448,060)
Futures
Contracts*
...............................
(11,972,498)
–
–
(11,972,498)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(101,096)
–
(101,096)
Total
Return
Basket
Swaps
Contracts*
................
–
(70,361,200)
–
(70,361,200)
Total
Liabilities
$
(72,521,876)
$
(77,910,356)
$
–
(a)
$
(150,432,232)
AQR
DIVERSIFYING
STRATEGIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Investment
Companies
...........................
$
134,358,713
$
–
$
–
$
134,358,713
Short-Term
Investments
...........................
2,759,682
–
–
2,759,682
Total
Assets
$
137,118,395
$
–
$
–
$
137,118,395
251
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
AQR
EQUITY
MARKET
NEUTRAL
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
5,203,292
$
–
$
5,203,292
Short-Term
Investments
...........................
69,764,100
57,955,579
–
127,719,679
Forward
Foreign
Currency
Exchange
Contracts*
........
–
19,482
–
19,482
Total
Return
Basket
Swaps
Contracts*
................
–
402,790
–
402,790
Total
Assets
$
69,764,100
$
63,581,143
$
–
$
133,345,243
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
–
$
(4,526,762)
$
–
$
(4,526,762)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(7,518)
–
(7,518)
Total
Return
Basket
Swaps
Contracts*
................
–
(1,703,137)
–
(1,703,137)
Total
Liabilities
$
–
$
(6,237,417)
$
–
$
(6,237,417)
AQR
LONG-SHORT
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
103,491,629
$
316,599,045
$
–
$
420,090,674
Forward
Foreign
Currency
Exchange
Contracts*
........
–
1,680
–
1,680
Total
Return
Basket
Swaps
Contracts*
................
–
8,466,211
–
8,466,211
Total
Assets
$
103,491,629
$
325,066,936
$
–
$
428,558,565
LIABILITIES
Futures
Contracts*
...............................
$
(13,547,506)
$
–
$
–
$
(13,547,506)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,966,306)
–
(2,966,306)
Total
Return
Basket
Swaps
Contracts*
................
–
(7,977,332)
–
(7,977,332)
Total
Return
Swaps
Contracts*
......................
–
(1,406,257)
–
(1,406,257)
Total
Liabilities
$
(13,547,506)
$
(12,349,895)
$
–
$
(25,897,401)
AQR
MACRO
OPPORTUNITIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
4,886,277
$
5,025,213
$
–
$
9,911,490
U.S.
Treasury
Obligations
.........................
–
10,891,171
–
10,891,171
Short-Term
Investments
...........................
72,418,234
54,357,123
–
126,775,357
Futures
Contracts*
...............................
10,145,688
–
–
10,145,688
Forward
Foreign
Currency
Exchange
Contracts*
........
–
8,040,205
–
8,040,205
Interest
Rate
Swap
Contracts*
......................
–
9,484,324
–
9,484,324
Credit
Default
Swap
Contracts*
.....................
–
191,161
–
191,161
Total
Return
Swaps
Contracts*
......................
–
272,453
–
272,453
Total
Assets
$
87,450,199
$
88,261,650
$
–
$
175,711,849
LIABILITIES
U.S.
Treasury
Obligations
(Sold
Short)
...............
$
–
$
(11,637,562)
$
–
$
(11,637,562)
Reverse
Repurchase
Agreements
...................
–
(11,271,625)
–
(11,271,625)
Futures
Contracts*
...............................
(7,358,633)
–
–
(7,358,633)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(9,430,220)
–
(9,430,220)
Interest
Rate
Swap
Contracts*
......................
–
(8,572,308)
–
(8,572,308)
Credit
Default
Swap
Contracts*
.....................
–
(17,756)
–
(17,756)
Total
Return
Swaps
Contracts*
......................
–
(259,818)
–
(259,818)
Total
Liabilities
$
(7,358,633)
$
(41,189,289)
$
–
$
(48,547,922)
252
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
682,822,360
$
892,312,533
$
–
$
1,575,134,893
Futures
Contracts*
...............................
92,247,127
–
–
92,247,127
Forward
Foreign
Currency
Exchange
Contracts*
........
–
79,534,010
–
79,534,010
Interest
Rate
Swap
Contracts*
......................
–
147,814,453
–
147,814,453
Credit
Default
Swap
Contracts*
.....................
–
483,563
–
483,563
Total
Return
Basket
Swaps
Contracts*
................
–
8,638,987
–
8,638,987
Total
Return
Swaps
Contracts*
......................
–
3,494,414
–
3,494,414
Total
Assets
$
775,069,487
$
1,132,277,960
$
–
$
1,907,347,447
LIABILITIES
Futures
Contracts*
...............................
$
(16,511,317)
$
–
$
–
$
(16,511,317)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(79,279,516)
–
(79,279,516)
Interest
Rate
Swap
Contracts*
......................
–
(140,516,439)
–
(140,516,439)
Total
Return
Basket
Swaps
Contracts*
................
–
(2,421,789)
–
(2,421,789)
Total
Return
Swaps
Contracts*
......................
–
(425,218)
–
(425,218)
Total
Liabilities
$
(16,511,317)
$
(222,642,962)
$
–
$
(239,154,279)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
44,241,909
$
108,467,684
$
–
$
152,709,593
Futures
Contracts*
...............................
12,998,228
–
–
12,998,228
Forward
Foreign
Currency
Exchange
Contracts*
........
–
11,049,107
–
11,049,107
Interest
Rate
Swap
Contracts*
......................
–
22,700,966
–
22,700,966
Credit
Default
Swap
Contracts*
.....................
–
77,869
–
77,869
Total
Return
Basket
Swaps
Contracts*
................
–
814,518
–
814,518
Total
Return
Swaps
Contracts*
......................
–
488,438
–
488,438
Total
Assets
$
57,240,137
$
143,598,582
$
–
$
200,838,719
LIABILITIES
Futures
Contracts*
...............................
$
(2,437,792)
$
–
$
–
$
(2,437,792)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(11,034,782)
–
(11,034,782)
Interest
Rate
Swap
Contracts*
......................
–
(21,651,054)
–
(21,651,054)
Total
Return
Basket
Swaps
Contracts*
................
–
(140,099)
–
(140,099)
Total
Return
Swaps
Contracts*
......................
–
(44,818)
–
(44,818)
Total
Liabilities
$
(2,437,792)
$
(32,870,753)
$
–
$
(35,308,545)
AQR
MULTI-ASSET
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
51,870,078
$
23,185,204
$
–
(a)
$
75,055,282
Foreign
Government
Securities
.....................
–
10,025,087
–
10,025,087
U.S.
Treasury
Obligations
.........................
–
7,182,059
–
7,182,059
Short-Term
Investments
...........................
30,140,175
26,659,030
–
56,799,205
Futures
Contracts*
...............................
4,082,263
–
–
4,082,263
Forward
Foreign
Currency
Exchange
Contracts*
........
–
4,249,696
–
4,249,696
Total
Return
Swaps
Contracts*
......................
–
191,627
–
191,627
Total
Assets
$
86,092,516
$
71,492,703
$
–
(a)
$
157,585,219
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(9,938,542)
$
(7,554,633)
$
–
$
(17,493,175)
Futures
Contracts*
...............................
(4,839,866)
–
–
(4,839,866)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(4,620,022)
–
(4,620,022)
Total
Return
Swaps
Contracts*
......................
–
(26,040)
–
(26,040)
Total
Liabilities
$
(14,778,408)
$
(12,200,695)
$
–
$
(26,979,103)
253
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price.
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
223,179,978
$
185,104,772
$
–
$
408,284,750
Futures
Contracts*
...............................
27,965,792
–
–
27,965,792
Total
Return
Swaps
Contracts*
......................
–
15,381
–
15,381
Total
Assets
$
251,145,770
$
185,120,153
$
–
$
436,265,923
LIABILITIES
Futures
Contracts*
...............................
$
(36,720,842)
$
–
$
–
$
(36,720,842)
Total
Return
Swaps
Contracts*
......................
–
(15,432)
–
(15,432)
Total
Liabilities
$
(36,720,842)
$
(15,432)
$
–
$
(36,736,274)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
29,951,517
$
–
$
29,951,517
Short-Term
Investments
...........................
295,480,892
385,987,261
–
681,468,153
Futures
Contracts*
...............................
49,637,004
–
–
49,637,004
Forward
Foreign
Currency
Exchange
Contracts*
........
–
41,716,991
–
41,716,991
Interest
Rate
Swap
Contracts*
......................
–
53,814,892
–
53,814,892
Total
Return
Basket
Swaps
Contracts*
................
–
5,274,316
–
5,274,316
Total
Return
Swaps
Contracts*
......................
–
1,380,484
–
1,380,484
Total
Assets
$
345,117,896
$
518,125,461
$
–
$
863,243,357
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(441,335)
$
(27,467,666)
$
(2)
$
(27,909,003)
Futures
Contracts*
...............................
(46,753,554)
–
–
(46,753,554)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(48,016,671)
–
(48,016,671)
Interest
Rate
Swap
Contracts*
......................
–
(49,258,587)
–
(49,258,587)
Total
Return
Basket
Swaps
Contracts*
................
–
(15,047,481)
–
(15,047,481)
Total
Return
Swaps
Contracts*
......................
–
(3,834,573)
–
(3,834,573)
Total
Liabilities
$
(47,194,889)
$
(143,624,978)
$
(2)
$
(190,819,869)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
4,081,080
$
9,817,147
$
–
$
13,898,227
Forward
Foreign
Currency
Exchange
Contracts*
........
–
1,022
–
1,022
Total
Return
Basket
Swaps
Contracts*
................
–
95,264
–
95,264
Total
Assets
$
4,081,080
$
9,913,433
$
–
$
13,994,513
LIABILITIES
Forward
Foreign
Currency
Exchange
Contracts*
........
$
–
$
(137,546)
$
–
$
(137,546)
Total
Return
Basket
Swaps
Contracts*
................
–
(1,211,906)
–
(1,211,906)
Total
Liabilities
$
–
$
(1,349,452)
$
–
$
(1,349,452)
*
Derivative
instruments,
including
futures,
total
return
swap,
total
return
basket
swap,
forward
foreign
currency
exchange
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Credit
default
swaps
and
interest
rate
swaps
are
reported
at
market
value.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
254
Notes
to
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
September
2022
September
30,
2022
(Unaudited)
Securities
classified
as
Level
3
in
the
Schedules
of
Investments of
AQR
Diversified
Arbitrage
Fund,
AQR
Multi-Asset
Fund and
AQR
Style
Premia
Alternative
Fund
are
considered
quantitatively
insignificant
for
additional
disclosure.
For
more
information
on
the
Funds’
policy
regarding
the
valuation
of
investments
and
other
significant
accounting
policies,
please
refer
to
the
notes
to
the
financial
statements
as
disclosed
in
the
most
recent
semi-annual
and
annual
report.
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.