1
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.1%
Aerospace
&
Defense
-
1.6%
Curtiss-Wright
Corp.
7,365
1,229,881
General
Dynamics
Corp.
4,028
999,387
Howmet
Aerospace,
Inc.
40,076
1,579,395
Huntington
Ingalls
Industries,
Inc.
16,119
3,718,331
Lockheed
Martin
Corp.
1,247
606,653
Textron,
Inc.
97,141
6,877,583
15,011,230
Automobiles
-
0.9%
General
Motors
Co.
37,048
1,246,295
Tesla,
Inc.
*
53,124
6,543,814
7,790,109
Banks
-
2.7%
Bank
OZK
42,624
1,707,517
Citigroup,
Inc.
84,263
3,811,216
First
Citizens
BancShares,
Inc.,
Class
A
352
266,943
FNB
Corp.
30,369
396,315
JPMorgan
Chase
&
Co.
39,446
5,289,709
M&T
Bank
Corp.
6,620
960,297
Popular,
Inc.
107,169
7,107,448
Wells
Fargo
&
Co.
122,162
5,044,069
Wintrust
Financial
Corp.
5,321
449,731
25,033,245
Biotechnology
-
2.9%
AbbVie,
Inc.
3,580
578,564
Amgen,
Inc.
10,707
2,812,087
Biogen,
Inc.
*
3,104
859,560
Gilead
Sciences,
Inc.
58,694
5,038,880
Horizon
Therapeutics
plc
*
5,383
612,585
Moderna,
Inc.
*
32,715
5,876,268
Regeneron
Pharmaceuticals,
Inc.
*
4,149
2,993,462
United
Therapeutics
Corp.
*
29,190
8,117,447
26,888,853
Building
Products
-
0.7%
Builders
FirstSource,
Inc.
*
64,070
4,156,862
Owens
Corning
19,637
1,675,036
Trane
Technologies
plc
1,767
297,015
6,128,913
Capital
Markets
-
0.8%
Ameriprise
Financial,
Inc.
22,509
7,008,627
Morgan
Stanley
5,289
449,671
7,458,298
Chemicals
-
3.8%
CF
Industries
Holdings,
Inc.
118,996
10,138,459
Chemours
Co.
(The)
130,703
4,002,126
Eastman
Chemical
Co.
17,424
1,419,011
Huntsman
Corp.
228,919
6,290,694
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
3.8%
(continued)
LyondellBasell
Industries
NV,
Class
A
66,185
5,495,341
Mosaic
Co.
(The)
83,207
3,650,291
Olin
Corp.
76,179
4,032,916
35,028,838
Commercial
Services
&
Supplies
-
0.9%
Cintas
Corp.
1,315
593,880
Copart,
Inc.
*
10,142
617,547
Waste
Management,
Inc.
43,926
6,891,111
8,102,538
Communications
Equipment
-
0.8%
Cisco
Systems,
Inc.
158,269
7,539,935
Construction
&
Engineering
-
0.0%
(a)
Valmont
Industries,
Inc.
984
325,379
Consumer
Finance
-
0.4%
SLM
Corp.
80,562
1,337,329
Synchrony
Financial
68,435
2,248,774
3,586,103
Containers
&
Packaging
-
0.3%
Westrock
Co.
66,593
2,341,410
Distributors
-
0.0%
(a)
LKQ
Corp.
8,234
439,778
Diversified
Consumer
Services
-
0.4%
H&R
Block,
Inc.
93,712
3,421,425
Diversified
Financial
Services
-
1.5%
Berkshire
Hathaway,
Inc.,
Class
B
*
43,607
13,470,202
Diversified
Telecommunication
Services
-
1.0%
AT&T,
Inc.
494,460
9,103,009
Electric
Utilities
-
0.5%
NRG
Energy,
Inc.
132,958
4,230,724
Electrical
Equipment
-
0.8%
Acuity
Brands,
Inc.
41,644
6,896,663
Electronic
Equipment,
Instruments
&
Components
-
2.0%
Arrow
Electronics,
Inc.
*
105,255
11,006,515
CDW
Corp.
1,804
322,158
Jabil,
Inc.
98,238
6,699,832
18,028,505
Entertainment
-
0.5%
Activision
Blizzard,
Inc.
21,255
1,627,070
Playtika
Holding
Corp.
*
308,499
2,625,327
4,252,397
Food
&
Staples
Retailing
-
3.6%
Albertsons
Cos.,
Inc.,
Class
A
4,409
91,443
Costco
Wholesale
Corp.
5,737
2,618,940
Kroger
Co.
(The)
269,083
11,995,720
Walgreens
Boots
Alliance,
Inc.
268,091
10,015,880
2
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Food
&
Staples
Retailing
-
3.6%
(continued)
Walmart,
Inc.
56,207
7,969,591
32,691,574
Food
Products
-
1.3%
Archer-Daniels-Midland
Co.
74,090
6,879,257
Flowers
Foods,
Inc.
10,214
293,550
Pilgrim's
Pride
Corp.
*
22,078
523,911
Tyson
Foods,
Inc.,
Class
A
66,106
4,115,098
11,811,816
Health
Care
Equipment
&
Supplies
-
0.1%
Abbott
Laboratories
6,000
658,740
Health
Care
Providers
&
Services
-
5.4%
CVS
Health
Corp.
66,540
6,200,863
Elevance
Health,
Inc.
27,082
13,892,254
McKesson
Corp.
9,346
3,505,871
Molina
Healthcare,
Inc.
*
29,116
9,614,685
UnitedHealth
Group,
Inc.
19,334
10,250,500
Universal
Health
Services,
Inc.,
Class
B
41,817
5,891,597
49,355,770
Hotels,
Restaurants
&
Leisure
-
0.3%
Booking
Holdings,
Inc.
*
1,209
2,436,474
Household
Durables
-
0.7%
Lennar
Corp.,
Class
A
27,071
2,449,925
PulteGroup,
Inc.
77,305
3,519,697
5,969,622
Household
Products
-
1.4%
Procter
&
Gamble
Co.
(The)
81,758
12,391,242
Industrial
Conglomerates
-
0.9%
3M
Co.
70,846
8,495,852
Insurance
-
3.9%
Allstate
Corp.
(The)
86,235
11,693,466
American
International
Group,
Inc.
50,531
3,195,580
Assurant,
Inc.
2,455
307,022
Assured
Guaranty
Ltd.
8,238
512,898
Everest
Re
Group
Ltd.
33,647
11,146,242
First
American
Financial
Corp.
28,795
1,507,130
MetLife,
Inc.
10,090
730,213
Old
Republic
International
Corp.
40,505
978,196
Travelers
Cos.,
Inc.
(The)
1,930
361,856
Unum
Group
115,797
4,751,151
35,183,754
Interactive
Media
&
Services
-
3.8%
Alphabet,
Inc.,
Class
A
*
266,620
23,523,883
Alphabet,
Inc.,
Class
C
*
129,892
11,525,317
35,049,200
Internet
&
Direct
Marketing
Retail
-
1.2%
Amazon.com,
Inc.
*
135,705
11,399,220
INVESTMENTS
SHARES
VALUE
($)
IT
Services
-
2.8%
Accenture
plc,
Class
A
14,799
3,948,965
Akamai
Technologies,
Inc.
*
5,431
457,833
Cognizant
Technology
Solutions
Corp.,
Class
A
41,453
2,370,697
Concentrix
Corp.
25,395
3,381,598
DXC
Technology
Co.
*
201,784
5,347,276
EPAM
Systems,
Inc.
*
5,545
1,817,319
Kyndryl
Holdings,
Inc.
*
67,602
751,734
Mastercard,
Inc.,
Class
A
8,627
2,999,867
VeriSign,
Inc.
*
9,225
1,895,184
Visa,
Inc.,
Class
A
10,426
2,166,106
Western
Union
Co.
(The)
55,122
759,030
25,895,609
Life
Sciences
Tools
&
Services
-
1.0%
Danaher
Corp.
30,060
7,978,525
Syneos
Health,
Inc.
*
18,794
689,364
8,667,889
Machinery
-
2.8%
AGCO
Corp.
27,842
3,861,407
Allison
Transmission
Holdings,
Inc.
179,375
7,462,000
Crane
Holdings
Co.
3,299
331,384
Cummins,
Inc.
5,311
1,286,802
Oshkosh
Corp.
28,905
2,549,132
PACCAR,
Inc.
*
45,714
4,524,315
Snap-on,
Inc.
16,004
3,656,754
Timken
Co.
(The)
23,364
1,651,134
25,322,928
Metals
&
Mining
-
1.2%
Reliance
Steel
&
Aluminum
Co.
17,715
3,586,225
Steel
Dynamics,
Inc.
27,419
2,678,836
United
States
Steel
Corp.
192,548
4,823,327
11,088,388
Multiline
Retail
-
1.3%
Macy's,
Inc.
378,033
7,806,381
Target
Corp.
24,912
3,712,885
11,519,266
Oil,
Gas
&
Consumable
Fuels
-
9.4%
Chesapeake
Energy
Corp.
5,154
486,383
Chevron
Corp.
85,973
15,431,294
ConocoPhillips
95,841
11,309,238
Coterra
Energy,
Inc.
220,101
5,407,882
Devon
Energy
Corp.
75,056
4,616,695
EOG
Resources,
Inc.
76,215
9,871,367
Exxon
Mobil
Corp.
184,295
20,327,738
HF
Sinclair
Corp.
102,073
5,296,568
Marathon
Petroleum
Corp.
14,772
1,719,313
Occidental
Petroleum
Corp.
34,793
2,191,611
PDC
Energy,
Inc.
22,336
1,417,889
Pioneer
Natural
Resources
Co.
5,852
1,336,538
3
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
9.4%
(continued)
Valero
Energy
Corp.
52,747
6,691,484
86,104,000
Paper
&
Forest
Products
-
0.4%
Louisiana-Pacific
Corp.
66,584
3,941,773
Personal
Products
-
0.2%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
7,313
1,814,428
Pharmaceuticals
-
3.1%
Eli
Lilly
&
Co.
5,145
1,882,247
Johnson
&
Johnson
72,141
12,743,708
Pfizer,
Inc.
272,414
13,958,493
28,584,448
Professional
Services
-
1.2%
Booz
Allen
Hamilton
Holding
Corp.
39,385
4,116,520
ManpowerGroup,
Inc.
54,035
4,496,252
Robert
Half
International,
Inc.
34,886
2,575,634
11,188,406
Road
&
Rail
-
0.9%
Avis
Budget
Group,
Inc.
*
10,410
1,706,511
Knight-Swift
Transportation
Holdings,
Inc.
9,438
494,645
Landstar
System,
Inc.
2,004
326,452
Ryder
System,
Inc.
5,249
438,659
Schneider
National,
Inc.,
Class
B
126,122
2,951,255
U-Haul
Holding
Co.
1,585
95,401
XPO,
Inc.
*
70,517
2,347,511
8,360,434
Semiconductors
&
Semiconductor
Equipment
-
4.6%
Applied
Materials,
Inc.
79,128
7,705,485
Broadcom,
Inc.
12,487
6,981,856
Cirrus
Logic,
Inc.
*
17,696
1,317,998
Intel
Corp.
116,347
3,075,051
Lam
Research
Corp.
14,577
6,126,713
Microchip
Technology,
Inc.
*
9,095
638,924
Micron
Technology,
Inc.
108,486
5,422,130
ON
Semiconductor
Corp.
*
53,322
3,325,693
QUALCOMM,
Inc.
19,055
2,094,907
Skyworks
Solutions,
Inc.
7,300
665,249
Teradyne,
Inc.
12,312
1,075,453
Texas
Instruments,
Inc.
20,600
3,403,532
41,832,991
Software
-
8.7%
Adobe,
Inc.
*
22,171
7,461,207
AppLovin
Corp.,
Class
A
*
254,010
2,674,725
Cadence
Design
Systems,
Inc.
*
32,463
5,214,856
DocuSign,
Inc.
*
53,454
2,962,421
Fortinet,
Inc.
*
7,915
386,964
Intuit,
Inc.
672
261,556
Manhattan
Associates,
Inc.
*
4,944
600,202
INVESTMENTS
SHARES
VALUE
($)
Software
-
8.7%
(continued)
Microsoft
Corp.
225,611
54,106,030
NCR
Corp.
*
113,149
2,648,818
Teradata
Corp.
*
69,103
2,326,007
VMware,
Inc.,
Class
A
*
6,693
821,633
79,464,419
Specialty
Retail
-
3.8%
AutoNation,
Inc.
*
96,077
10,309,062
Bath
&
Body
Works,
Inc.
147,463
6,214,091
Best
Buy
Co.,
Inc.
47,644
3,821,525
Dick's
Sporting
Goods,
Inc.
5,679
683,127
Home
Depot,
Inc.
(The)
1,055
333,233
Penske
Automotive
Group,
Inc.
51,358
5,902,575
Williams-Sonoma,
Inc.
61,172
7,029,886
34,293,499
Technology
Hardware,
Storage
&
Peripherals
-
7.0%
Apple,
Inc.
447,920
58,198,246
HP,
Inc.
214,628
5,767,054
63,965,300
Tobacco
-
0.0%
(a)
Philip
Morris
International,
Inc.
3,642
368,607
Trading
Companies
&
Distributors
-
0.6%
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
7,290
595,593
United
Rentals,
Inc.
*
14,863
5,282,607
5,878,200
TOTAL
COMMON
STOCKS
(Cost
$507,169,587)
858,811,403
SHORT-TERM
INVESTMENTS
-
5.4%
INVESTMENT
COMPANIES
-
5.4%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(b)
(Cost
$49,747,218)
49,767,125
49,747,218
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.5%
(Cost
$556,916,805)
908,558,621
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.5%
(c)
4,214,027
NET
ASSETS
-
100.0%
912,772,648
4
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
48,404,605
5.3
%
Consumer
Discretionary
77,269,392
8.5
Consumer
Staples
59,077,668
6.5
Energy
86,104,000
9.4
Financials
84,731,603
9.3
Health
Care
114,155,700
12.5
Industrials
95,710,544
10.5
Information
Technology
236,726,759
25.9
Materials
52,400,409
5.7
Utilities
4,230,723
0.5
Investment
Companies
49,747,218
5.4
Total
Investments
In
Securities
At
Value
908,558,621
99.5
Other
Assets
in
Excess
of
Liabilities
(c
)
4,214,027
0.5
Net
Assets
$
912,772,648
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
240
3/2023
USD
$
46,332,000
$
(176,686)
$
(176,686)
5
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.0%
Aerospace
&
Defense
-
0.6%
AAR
Corp.
*
1,965
88,229
AerSale
Corp.
*
14,151
229,529
Ducommun,
Inc.
*
1,921
95,973
Maxar
Technologies,
Inc.
2,692
139,284
Moog,
Inc.,
Class
A
1,149
100,836
National
Presto
Industries,
Inc.
504
34,504
V2X,
Inc.
*
511
21,099
709,454
Air
Freight
&
Logistics
-
0.7%
Atlas
Air
Worldwide
Holdings,
Inc.
*
3,434
346,147
Hub
Group,
Inc.,
Class
A
*
6,511
517,560
863,707
Airlines
-
0.2%
Allegiant
Travel
Co.
*
806
54,800
SkyWest,
Inc.
*
7,964
131,486
Spirit
Airlines,
Inc.
4,469
87,056
273,342
Auto
Components
-
1.2%
Adient
plc
*
2,404
83,395
American
Axle
&
Manufacturing
Holdings,
Inc.
*
4,946
38,678
Dana,
Inc.
21,242
321,391
Goodyear
Tire
&
Rubber
Co.
(The)
*
34,839
353,616
LCI
Industries
1,718
158,829
Modine
Manufacturing
Co.
*
2,667
52,967
Patrick
Industries,
Inc.
5,106
309,423
XPEL,
Inc.
*(a)
738
44,324
1,362,623
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
1,911
100,710
Banks
-
8.4%
1st
Source
Corp.
4,426
234,976
Associated
Banc-Corp.
11,147
257,384
BancFirst
Corp.
1,011
89,150
Bancorp,
Inc.
(The)
*
12,340
350,209
Bank
of
Marin
Bancorp
2,327
76,512
BayCom
Corp.
3,194
60,622
BCB
Bancorp,
Inc.
4,925
88,601
Brookline
Bancorp,
Inc.
11,170
158,055
Cathay
General
Bancorp
9,546
389,381
Central
Pacific
Financial
Corp.
6,630
134,456
Columbia
Banking
System,
Inc.
4,804
144,745
Community
Trust
Bancorp,
Inc.
1,260
57,872
Customers
Bancorp,
Inc.
*
17,610
499,067
Dime
Community
Bancshares,
Inc.
3,240
103,129
Financial
Institutions,
Inc.
1,362
33,178
First
BanCorp
23,233
295,524
First
Busey
Corp.
1,415
34,979
INVESTMENTS
SHARES
VALUE
($)
Banks
-
8.4%
(continued)
First
Business
Financial
Services,
Inc.
147
5,373
First
Commonwealth
Financial
Corp.
5,760
80,467
First
Financial
Corp.
3,296
151,880
First
Internet
Bancorp
1,688
40,985
First
Interstate
BancSystem,
Inc.,
Class
A
4,570
176,631
First
Merchants
Corp.
4,786
196,752
First
of
Long
Island
Corp.
(The)
8,410
151,380
Flushing
Financial
Corp.
6,603
127,966
Fulton
Financial
Corp.
10,873
182,993
Glacier
Bancorp,
Inc.
3,253
160,763
Great
Southern
Bancorp,
Inc.
7,773
462,416
Hancock
Whitney
Corp.
4,008
193,947
Hanmi
Financial
Corp.
10,564
261,459
Heartland
Financial
USA,
Inc.
10,270
478,787
Hilltop
Holdings,
Inc.
6,476
194,345
Home
BancShares,
Inc.
16,091
366,714
HomeStreet,
Inc.
4,921
135,721
HomeTrust
Bancshares,
Inc.
1,409
34,056
Hope
Bancorp,
Inc.
15,385
197,082
Horizon
Bancorp,
Inc.
2,191
33,040
Independent
Bank
Corp.
6,074
145,290
International
Bancshares
Corp.
10,482
479,656
Lakeland
Bancorp,
Inc.
1,943
34,216
Mercantile
Bank
Corp.
3,887
130,137
Midland
States
Bancorp,
Inc.
12,798
340,683
NBT
Bancorp,
Inc.
4,174
181,235
Northeast
Bank
1,865
78,517
OceanFirst
Financial
Corp.
9,256
196,690
OFG
Bancorp
3,834
105,665
Old
National
Bancorp
12,058
216,803
PCB
Bancorp
5,321
94,128
Peapack-Gladstone
Financial
Corp.
1,522
56,649
Peoples
Bancorp,
Inc.
1,232
34,804
Preferred
Bank
614
45,817
QCR
Holdings,
Inc.
964
47,853
Renasant
Corp.
3,553
133,557
S&T
Bancorp,
Inc.
5,198
177,668
ServisFirst
Bancshares,
Inc.
4,239
292,109
South
Plains
Financial,
Inc.
1,134
31,219
SouthState
Corp.
1,300
99,268
Trustmark
Corp.
1,383
48,281
Washington
Federal,
Inc.
2,724
91,390
WesBanco,
Inc.
1,421
52,549
9,754,781
Beverages
-
1.1%
Celsius
Holdings,
Inc.
*
3,420
355,817
Coca-Cola
Consolidated,
Inc.
971
497,502
MGP
Ingredients,
Inc.
2,225
236,695
National
Beverage
Corp.
*
2,318
107,856
6
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Beverages
-
1.1%
(continued)
Vintage
Wine
Estates,
Inc.
*
28,754
93,738
1,291,608
Biotechnology
-
5.9%
ACADIA
Pharmaceuticals,
Inc.
*
4,832
76,926
Adicet
Bio,
Inc.
*
3,553
31,764
ADMA
Biologics,
Inc.
*
30,828
119,613
Agenus,
Inc.
*
12,441
29,858
Alector,
Inc.
*
7,439
68,662
Alkermes
plc
*
7,634
199,476
Amicus
Therapeutics,
Inc.
*
15,837
193,370
Anika
Therapeutics,
Inc.
*
3,350
99,160
Arcus
Biosciences,
Inc.
*
12,275
253,847
Arrowhead
Pharmaceuticals,
Inc.
*
2,886
117,056
Beam
Therapeutics,
Inc.
*
3,862
151,043
Biohaven
Ltd.
*
2,230
30,952
C4
Therapeutics,
Inc.
*
14,226
83,933
Catalyst
Pharmaceuticals,
Inc.
*
56,630
1,053,318
Chimerix,
Inc.
*
30,366
56,481
Cullinan
Oncology,
Inc.
*
12,908
136,179
Cytokinetics,
Inc.
*
3,638
166,693
Eagle
Pharmaceuticals,
Inc.
*
7,208
210,690
Emergent
BioSolutions,
Inc.
*
8,161
96,381
Foghorn
Therapeutics,
Inc.
*
23,679
151,072
Halozyme
Therapeutics,
Inc.
*
6,000
341,400
Insmed,
Inc.
*
6,637
132,607
Ironwood
Pharmaceuticals,
Inc.
*
35,096
434,840
iTeos
Therapeutics,
Inc.
*
20,795
406,126
Karuna
Therapeutics,
Inc.
*
628
123,402
Keros
Therapeutics,
Inc.
*
868
41,681
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
9,317
139,569
Mersana
Therapeutics,
Inc.
*
5,411
31,709
Organogenesis
Holdings,
Inc.
*
89,468
240,669
PDL
BioPharma,
Inc.
(3)*(b)
32,677
32,582
Precigen,
Inc.
*
54,522
82,873
REGENXBIO,
Inc.
*
12,177
276,174
Sutro
Biopharma,
Inc.
*
14,282
115,399
Syndax
Pharmaceuticals,
Inc.
*
2,080
52,936
Tango
Therapeutics,
Inc.
*
5,374
38,962
Veracyte,
Inc.
*
11,538
273,797
Vericel
Corp.
*
6,599
173,818
Vir
Biotechnology,
Inc.
*
20,939
529,966
Xencor,
Inc.
*
2,700
70,308
6,865,292
Building
Products
-
1.9%
Apogee
Enterprises,
Inc.
13,179
585,938
Griffon
Corp.
1,800
64,422
Insteel
Industries,
Inc.
9,184
252,744
JELD-WEN
Holding,
Inc.
*
3,587
34,614
PGT
Innovations,
Inc.
*
2,028
36,423
Quanex
Building
Products
Corp.
5,172
122,473
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
1.9%
(continued)
UFP
Industries,
Inc.
14,495
1,148,729
2,245,343
Capital
Markets
-
1.3%
Brightsphere
Investment
Group,
Inc.
4,835
99,504
Cohen
&
Steers,
Inc.
1,237
79,861
Cowen,
Inc.,
Class
A
1,085
41,903
Diamond
Hill
Investment
Group,
Inc.
625
115,637
Donnelley
Financial
Solutions,
Inc.
*
7,844
303,171
Federated
Hermes,
Inc.,
Class
B
7,470
271,236
Houlihan
Lokey,
Inc.
416
36,258
Oppenheimer
Holdings,
Inc.,
Class
A
7,017
297,030
StoneX
Group,
Inc.
*
1,990
189,647
Virtus
Investment
Partners,
Inc.
373
71,407
1,505,654
Chemicals
-
2.0%
AdvanSix,
Inc.
8,910
338,758
American
Vanguard
Corp.
8,142
176,763
FutureFuel
Corp.
38,997
317,046
Intrepid
Potash,
Inc.
*
9,004
259,945
Koppers
Holdings,
Inc.
2,557
72,107
Kronos
Worldwide,
Inc.
5,109
48,025
Livent
Corp.
*
4,502
89,455
LSB
Industries,
Inc.
*
12,713
169,083
Stepan
Co.
2,573
273,922
Trinseo
plc
4,106
93,247
Tronox
Holdings
plc
18,047
247,424
Valhi,
Inc.
8,998
197,956
2,283,731
Commercial
Services
&
Supplies
-
0.7%
ACCO
Brands
Corp.
44,525
248,895
Cimpress
plc
(Ireland)
*
1,607
44,369
Ennis,
Inc.
9,892
219,207
Heritage-Crystal
Clean,
Inc.
*
1,094
35,533
Interface,
Inc.
16,972
167,514
Quad/Graphics,
Inc.
*
28,182
114,982
830,500
Communications
Equipment
-
1.0%
Aviat
Networks,
Inc.
*
1,123
35,026
Calix,
Inc.
*
5,771
394,910
Casa
Systems,
Inc.
*
11,195
30,562
CommScope
Holding
Co.,
Inc.
*
8,562
62,931
Digi
International,
Inc.
*
3,152
115,206
Extreme
Networks,
Inc.
*
18,579
340,181
NetScout
Systems,
Inc.
*
4,666
151,692
1,130,508
7
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
2.5%
API
Group
Corp.
*
9,020
169,666
Arcosa,
Inc.
3,429
186,332
Comfort
Systems
USA,
Inc.
2,375
273,315
Dycom
Industries,
Inc.
*
1,050
98,280
EMCOR
Group,
Inc.
5,140
761,285
Fluor
Corp.
*
2,352
81,520
IES
Holdings,
Inc.
*
535
19,030
MYR
Group,
Inc.
*
9,543
878,624
NV5
Global,
Inc.
*
265
35,065
Primoris
Services
Corp.
5,206
114,220
Sterling
Infrastructure,
Inc.
*
7,551
247,673
2,865,010
Consumer
Finance
-
0.5%
Bread
Financial
Holdings,
Inc.
6,646
250,288
Encore
Capital
Group,
Inc.
*
3,690
176,899
Enova
International,
Inc.
*
2,470
94,774
Navient
Corp.
2,646
43,527
Oportun
Financial
Corp.
*
8,809
48,537
614,025
Containers
&
Packaging
-
0.1%
O-I
Glass,
Inc.
*
6,568
108,832
Diversified
Consumer
Services
-
0.6%
Adtalem
Global
Education,
Inc.
*
876
31,098
American
Public
Education,
Inc.
*
2,780
34,166
Perdoceo
Education
Corp.
*
35,925
499,358
Stride,
Inc.
*
3,397
106,258
WW
International,
Inc.
*
8,514
32,864
703,744
Diversified
Financial
Services
-
0.3%
Banco
Latinoamericano
de
Comercio
Exterior
SA,
Class
E
(Panama)
5,267
85,326
Jackson
Financial,
Inc.,
Class
A
8,104
281,938
367,264
Diversified
Telecommunication
Services
-
0.1%
EchoStar
Corp.,
Class
A
*
5,037
84,017
Globalstar,
Inc.
*
28,658
38,115
122,132
Electric
Utilities
-
0.3%
Otter
Tail
Corp.
1,459
85,658
PNM
Resources,
Inc.
4,384
213,895
299,553
Electrical
Equipment
-
1.5%
Array
Technologies,
Inc.
*
3,098
59,885
Atkore,
Inc.
*
7,548
856,094
Encore
Wire
Corp.
5,463
751,490
ESS
Tech,
Inc.
*
14,392
34,973
INVESTMENTS
SHARES
VALUE
($)
Electrical
Equipment
-
1.5%
(continued)
FuelCell
Energy,
Inc.
*
10,435
29,009
1,731,451
Electronic
Equipment,
Instruments
&
Components
-
2.9%
Belden,
Inc.
444
31,924
ePlus,
Inc.
*
6,394
283,126
Fabrinet
(Thailand)
*
5,468
701,107
Insight
Enterprises,
Inc.
*
8,746
876,962
Methode
Electronics,
Inc.
8,648
383,712
PC
Connection,
Inc.
5,566
261,045
Sanmina
Corp.
*
10,765
616,727
TTM
Technologies,
Inc.
*
2,252
33,960
Vishay
Intertechnology,
Inc.
8,911
192,210
3,380,773
Energy
Equipment
&
Services
-
3.3%
Archrock,
Inc.
13,939
125,172
Bristow
Group,
Inc.
*
3,468
94,087
Cactus,
Inc.,
Class
A
3,493
175,558
ChampionX
Corp.
8,810
255,402
Dril-Quip,
Inc.
*
4,030
109,495
Liberty
Energy,
Inc.,
Class
A
38,105
610,061
Nabors
Industries
Ltd.
*
998
154,560
National
Energy
Services
Reunited
Corp.
*
22,086
153,277
Newpark
Resources,
Inc.
*
23,308
96,728
NexTier
Oilfield
Solutions,
Inc.
*
46,038
425,391
Noble
Corp.
plc
*
3,332
125,650
Patterson-UTI
Energy,
Inc.
2,643
44,508
ProPetro
Holding
Corp.
*
62,318
646,238
RPC,
Inc.
22,528
200,274
Select
Energy
Services,
Inc.,
Class
A
15,976
147,618
Solaris
Oilfield
Infrastructure,
Inc.,
Class
A
14,484
143,826
TETRA
Technologies,
Inc.
*
20,864
72,190
US
Silica
Holdings,
Inc.
*
8,298
103,725
Weatherford
International
plc
*
1,633
83,152
3,766,912
Entertainment
-
0.1%
Playstudios,
Inc.
*
30,524
118,433
Equity
Real
Estate
Investment
Trusts
(REITs)
-
2.6%
American
Assets
Trust,
Inc.
3,781
100,197
Apartment
Investment
and
Management
Co.,
Class
A
6,316
44,970
Apple
Hospitality
REIT,
Inc.
14,507
228,920
Brandywine
Realty
Trust
25,803
158,688
BRT
Apartments
Corp.
2,609
51,241
Elme
Communities
2,136
38,021
Empire
State
Realty
Trust,
Inc.,
Class
A
8,995
60,626
Hersha
Hospitality
Trust,
Class
A
8,259
70,367
Independence
Realty
Trust,
Inc.
6,241
105,223
Kite
Realty
Group
Trust
3,416
71,907
8
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
2.6%
(continued)
LXP
Industrial
Trust
11,810
118,336
National
Health
Investors,
Inc.
2,687
140,315
Necessity
Retail
REIT,
Inc.
(The)
52,008
308,407
NexPoint
Residential
Trust,
Inc.
1,213
52,790
Office
Properties
Income
Trust
11,826
157,877
One
Liberty
Properties,
Inc.
1,959
43,529
Piedmont
Office
Realty
Trust,
Inc.,
Class
A
16,134
147,949
PotlatchDeltic
Corp.
3,124
137,425
RLJ
Lodging
Trust
4,991
52,855
Sabra
Health
Care
REIT,
Inc.
12,156
151,099
Service
Properties
Trust
13,360
97,394
Uniti
Group,
Inc.
12,744
70,474
Urban
Edge
Properties
12,023
169,404
Urstadt
Biddle
Properties,
Inc.,
Class
A
13,707
259,748
Whitestone
REIT
23,431
225,875
3,063,637
Food
&
Staples
Retailing
-
1.3%
Fresh
Market,
Inc.
(The)
Escrow
(3)*(b)
20
–
Ingles
Markets,
Inc.,
Class
A
7,717
744,382
SpartanNash
Co.
1,939
58,635
Sprouts
Farmers
Market,
Inc.
*
5,922
191,695
United
Natural
Foods,
Inc.
*
7,626
295,203
Weis
Markets,
Inc.
2,014
165,732
1,455,647
Food
Products
-
1.7%
Calavo
Growers,
Inc.
1,831
53,831
Cal-Maine
Foods,
Inc.
9,367
510,033
Fresh
Del
Monte
Produce,
Inc.
3,900
102,141
John
B
Sanfilippo
&
Son,
Inc.
6,589
535,818
Seneca
Foods
Corp.,
Class
A
*
5,235
319,073
SunOpta,
Inc.
(Canada)
*
6,001
50,648
Vital
Farms,
Inc.
*
9,955
148,529
Whole
Earth
Brands,
Inc.
*
53,135
216,260
1,936,333
Gas
Utilities
-
0.6%
New
Jersey
Resources
Corp.
3,253
161,414
Northwest
Natural
Holding
Co.
2,690
128,017
ONE
Gas,
Inc.
1,757
133,040
South
Jersey
Industries,
Inc.
4,495
159,708
Southwest
Gas
Holdings,
Inc.
907
56,125
638,304
Health
Care
Equipment
&
Supplies
-
2.1%
Atrion
Corp.
64
35,805
Avanos
Medical,
Inc.
*
5,091
137,763
Axonics,
Inc.
*
538
33,641
Bioventus,
Inc.,
Class
A
*
2,612
6,817
Cue
Health,
Inc.
*
13,965
28,908
Figs,
Inc.,
Class
A
*
17,561
118,186
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
2.1%
(continued)
Haemonetics
Corp.
*
1,334
104,919
Inspire
Medical
Systems,
Inc.
*
535
134,756
Integer
Holdings
Corp.
*
3,477
238,035
iRhythm
Technologies,
Inc.
*
335
31,379
Lantheus
Holdings,
Inc.
*
4,920
250,723
LeMaitre
Vascular,
Inc.
1,491
68,616
Meridian
Bioscience,
Inc.
*
1,809
60,077
Merit
Medical
Systems,
Inc.
*
5,491
387,774
Shockwave
Medical,
Inc.
*
1,741
357,967
STAAR
Surgical
Co.
*
631
30,629
Tactile
Systems
Technology,
Inc.
*
20,138
231,184
Zynex,
Inc.
14,540
202,251
2,459,430
Health
Care
Providers
&
Services
-
3.0%
1Life
Healthcare,
Inc.
*
7,533
125,876
AdaptHealth
Corp.
*
8,416
161,756
Addus
HomeCare
Corp.
*
875
87,054
AMN
Healthcare
Services,
Inc.
*
3,648
375,087
Community
Health
Systems,
Inc.
*
45,691
197,385
CorVel
Corp.
*
2,593
376,841
Cross
Country
Healthcare,
Inc.
*
7,966
211,657
Ensign
Group,
Inc.
(The)
4,930
466,427
Fulgent
Genetics,
Inc.
*
6,950
206,971
Joint
Corp.
(The)
*
4,251
59,429
LHC
Group,
Inc.
*
1,331
215,209
National
Research
Corp.
2,904
108,319
Owens
&
Minor,
Inc.
*
13,930
272,053
Patterson
Cos.,
Inc.
7,968
223,343
Pediatrix
Medical
Group,
Inc.
*
2,284
33,940
PetIQ,
Inc.
*
5,072
46,764
Select
Medical
Holdings
Corp.
10,100
250,783
3,418,894
Health
Care
Technology
-
0.6%
Allscripts
Healthcare
Solutions,
Inc.
*
19,146
337,735
Computer
Programs
and
Systems,
Inc.
*
1,210
32,936
Evolent
Health,
Inc.,
Class
A
*
2,415
67,813
Health
Catalyst,
Inc.
*
4,174
44,370
NextGen
Healthcare,
Inc.
*
3,124
58,669
OptimizeRx
Corp.
*
3,754
63,067
Simulations
Plus,
Inc.
1,686
61,657
666,247
Hotels,
Restaurants
&
Leisure
-
1.5%
Bloomin'
Brands,
Inc.
5,894
118,587
Brinker
International,
Inc.
*
2,169
69,213
Cheesecake
Factory,
Inc.
(The)
958
30,378
Golden
Entertainment,
Inc.
*
807
30,182
Hilton
Grand
Vacations,
Inc.
*
2,354
90,723
Light
&
Wonder,
Inc.
*
3,686
216,000
Monarch
Casino
&
Resort,
Inc.
*
1,873
144,015
RCI
Hospitality
Holdings,
Inc.
2,387
222,445
9
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
1.5%
(continued)
Red
Rock
Resorts,
Inc.,
Class
A
2,270
90,823
Ruth's
Hospitality
Group,
Inc.
1,944
30,093
Target
Hospitality
Corp.
*
10,515
159,197
Texas
Roadhouse,
Inc.
4,893
445,018
Vacasa,
Inc.,
Class
A
*
23,398
29,481
Wingstop,
Inc.
228
31,377
1,707,532
Household
Durables
-
1.7%
Aterian,
Inc.
*
32,119
24,741
Beazer
Homes
USA,
Inc.
*
4,512
57,573
Cavco
Industries,
Inc.
*
459
103,849
Century
Communities,
Inc.
1,482
74,115
Ethan
Allen
Interiors,
Inc.
3,663
96,776
GoPro,
Inc.,
Class
A
*
9,732
48,465
Green
Brick
Partners,
Inc.
*
3,118
75,549
KB
Home
7,991
254,513
M/I
Homes,
Inc.
*
3,649
168,511
Meritage
Homes
Corp.
*
4,023
370,921
Taylor
Morrison
Home
Corp.,
Class
A
*
14,483
439,559
Tri
Pointe
Homes,
Inc.
*
9,845
183,019
Tupperware
Brands
Corp.
*
14,628
60,560
1,958,151
Independent
Power
and
Renewable
Electricity
Producers
-
0.4%
Clearway
Energy,
Inc.,
Class
C
5,241
167,031
Montauk
Renewables,
Inc.
*
17,498
193,003
Ormat
Technologies,
Inc.
1,695
146,583
506,617
Insurance
-
2.2%
Argo
Group
International
Holdings
Ltd.
2,147
55,500
CNO
Financial
Group,
Inc.
5,575
127,389
Employers
Holdings,
Inc.
13,872
598,299
Genworth
Financial,
Inc.,
Class
A
*
80,234
424,438
Horace
Mann
Educators
Corp.
10,240
382,669
Kinsale
Capital
Group,
Inc.
393
102,777
ProAssurance
Corp.
2,576
45,003
Root,
Inc.,
Class
A
*
4,699
21,098
Selective
Insurance
Group,
Inc.
4,313
382,175
Stewart
Information
Services
Corp.
7,472
319,279
United
Fire
Group,
Inc.
4,554
124,597
2,583,224
Interactive
Media
&
Services
-
0.7%
Cargurus,
Inc.
*
11,222
157,220
EverQuote,
Inc.,
Class
A
*
16,508
243,328
Outbrain,
Inc.
*
22,635
81,939
Yelp,
Inc.
*
3,064
83,770
Ziff
Davis,
Inc.
*
2,685
212,383
778,640
INVESTMENTS
SHARES
VALUE
($)
Internet
&
Direct
Marketing
Retail
-
0.2%
Lands'
End,
Inc.
*
5,636
42,777
RumbleON,
Inc.,
Class
B
*
24,622
159,305
Stitch
Fix,
Inc.,
Class
A
*
13,164
40,940
243,022
IT
Services
-
1.3%
Cass
Information
Systems,
Inc.
864
39,588
CSG
Systems
International,
Inc.
2,538
145,174
EVERTEC,
Inc.
6,528
211,377
Hackett
Group,
Inc.
(The)
9,556
194,656
Information
Services
Group,
Inc.
153
704
Perficient,
Inc.
*
3,774
263,538
Squarespace,
Inc.,
Class
A
*
6,353
140,846
StoneCo
Ltd.,
Class
A
(Brazil)
*
37,998
358,701
TTEC
Holdings,
Inc.
3,044
134,332
1,488,916
Leisure
Products
-
1.0%
Acushnet
Holdings
Corp.
2,804
119,058
Johnson
Outdoors,
Inc.,
Class
A
997
65,921
Malibu
Boats,
Inc.,
Class
A
*
4,386
233,774
MasterCraft
Boat
Holdings,
Inc.
*
11,845
306,430
Sturm
Ruger
&
Co.,
Inc.
648
32,802
Vista
Outdoor,
Inc.
*
14,614
356,143
1,114,128
Life
Sciences
Tools
&
Services
-
0.7%
AbCellera
Biologics,
Inc.
(Canada)
*
2,614
26,480
Berkeley
Lights,
Inc.
*
34,779
93,208
Codexis,
Inc.
*
15,627
72,822
Medpace
Holdings,
Inc.
*
2,607
553,753
Quanterix
Corp.
*
4,004
55,455
Singular
Genomics
Systems,
Inc.
*
7,564
15,203
816,921
Machinery
-
3.0%
Altra
Industrial
Motion
Corp.
3,179
189,945
CIRCOR
International,
Inc.
*
4,458
106,814
Federal
Signal
Corp.
2,937
136,482
Kennametal,
Inc.
4,258
102,448
Manitowoc
Co.,
Inc.
(The)
*
42,765
391,727
Mueller
Industries,
Inc.
18,631
1,099,229
Proto
Labs,
Inc.
*
13,607
347,387
REV
Group,
Inc.
10,741
135,551
Shyft
Group,
Inc.
(The)
2,730
67,868
Standex
International
Corp.
367
37,585
Terex
Corp.
4,626
197,623
Titan
International,
Inc.
*
21,931
335,983
Wabash
National
Corp.
15,144
342,254
3,490,896
10
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Marine
-
0.6%
Eagle
Bulk
Shipping,
Inc.
665
33,210
Genco
Shipping
&
Trading
Ltd.
15,671
240,707
Matson,
Inc.
4,512
282,045
Safe
Bulkers,
Inc.
(Greece)
60,929
177,303
733,265
Media
-
0.5%
AMC
Networks,
Inc.,
Class
A
*
11,188
175,316
Cumulus
Media,
Inc.,
Class
A
*
5,772
35,844
PubMatic,
Inc.,
Class
A
*
2,314
29,643
Sinclair
Broadcast
Group,
Inc.,
Class
A
5,279
81,877
TEGNA,
Inc.
10,636
225,377
Thryv
Holdings,
Inc.
*
3,467
65,873
613,930
Metals
&
Mining
-
3.0%
Alpha
Metallurgical
Resources,
Inc.
2,729
399,498
Arconic
Corp.
*
9,788
207,114
Century
Aluminum
Co.
*
4,182
34,209
Commercial
Metals
Co.
20,181
974,742
Constellium
SE
*
11,352
134,294
Olympic
Steel,
Inc.
9,392
315,383
Ryerson
Holding
Corp.
10,496
317,609
Schnitzer
Steel
Industries,
Inc.,
Class
A
5,370
164,591
SunCoke
Energy,
Inc.
15,698
135,474
TimkenSteel
Corp.
*
20,203
367,089
Warrior
Met
Coal,
Inc.
10,181
352,670
Worthington
Industries,
Inc.
778
38,674
3,441,347
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.6%
Apollo
Commercial
Real
Estate
Finance,
Inc.
10,665
114,755
Arbor
Realty
Trust,
Inc.
6,322
83,387
Blackstone
Mortgage
Trust,
Inc.,
Class
A
9,163
193,981
Chimera
Investment
Corp.
12,242
67,331
Hannon
Armstrong
Sustainable
Infrastructure
Capital,
Inc.
4,604
133,424
PennyMac
Mortgage
Investment
Trust
6,655
82,456
675,334
Multiline
Retail
-
0.2%
Dillard's,
Inc.,
Class
A
674
217,837
Multi-Utilities
-
0.4%
Avista
Corp.
1,868
82,827
Black
Hills
Corp.
3,256
229,027
NorthWestern
Corp.
2,627
155,886
467,740
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
7.4%
Alto
Ingredients,
Inc.
*
56,984
164,114
Arch
Resources,
Inc.
3,637
519,327
Ardmore
Shipping
Corp.
(Ireland)
*
2,325
33,503
Berry
Corp.
18,267
146,136
California
Resources
Corp.
3,139
136,578
Callon
Petroleum
Co.
*
3,352
124,326
Centrus
Energy
Corp.,
Class
A
*
3,713
120,598
Chord
Energy
Corp.
3,275
448,053
Civitas
Resources,
Inc.
8,283
479,834
Comstock
Resources,
Inc.
16,666
228,491
CONSOL
Energy,
Inc.
5,609
364,585
CVR
Energy,
Inc.
4,459
139,745
Delek
US
Holdings,
Inc.
6,623
178,821
Dorian
LPG
Ltd.
7,550
143,073
Earthstone
Energy,
Inc.,
Class
A
*
4,713
67,066
International
Seaways,
Inc.
806
29,838
Kosmos
Energy
Ltd.
(Ghana)
*
10,916
69,426
Laredo
Petroleum,
Inc.
*
2,155
110,810
Magnolia
Oil
&
Gas
Corp.,
Class
A
14,434
338,477
Matador
Resources
Co.
7,867
450,307
Murphy
Oil
Corp.
8,108
348,725
NACCO
Industries,
Inc.,
Class
A
3,397
129,086
NextDecade
Corp.
*
6,156
30,411
Northern
Oil
and
Gas,
Inc.
4,666
143,806
PBF
Energy,
Inc.,
Class
A
20,202
823,838
Peabody
Energy
Corp.
*
12,286
324,596
Ranger
Oil
Corp.
1,751
70,793
REX
American
Resources
Corp.
*
12,912
411,376
Riley
Exploration
Permian,
Inc.
3,536
104,065
SandRidge
Energy,
Inc.
*
5,449
92,796
Scorpio
Tankers,
Inc.
(Monaco)
2,747
147,706
Sitio
Royalties
Corp.
3,114
89,839
SM
Energy
Co.
14,641
509,946
Talos
Energy,
Inc.
*
22,525
425,272
VAALCO
Energy,
Inc.
44,958
205,008
Vertex
Energy,
Inc.
*
12,616
78,219
W&T
Offshore,
Inc.
*
26,323
146,882
World
Fuel
Services
Corp.
4,744
129,654
8,505,126
Paper
&
Forest
Products
-
0.1%
Clearwater
Paper
Corp.
*
1,096
41,440
Sylvamo
Corp.
2,025
98,395
139,835
Personal
Products
-
1.0%
Edgewell
Personal
Care
Co.
2,995
115,427
elf
Beauty,
Inc.
*
1,440
79,632
Herbalife
Nutrition
Ltd.
*
4,065
60,487
Honest
Co.,
Inc.
(The)
*
14,958
45,024
Medifast,
Inc.
2,761
318,481
Nu
Skin
Enterprises,
Inc.,
Class
A
8,737
368,352
USANA
Health
Sciences,
Inc.
*
2,414
128,425
1,115,828
11
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
1.4%
Aclaris
Therapeutics,
Inc.
*
2,016
31,752
Amneal
Pharmaceuticals,
Inc.
*
25,987
51,714
Amphastar
Pharmaceuticals,
Inc.
*
3,704
103,786
Arvinas,
Inc.
*
3,086
105,572
Atea
Pharmaceuticals,
Inc.
*
15,998
76,950
Athira
Pharma,
Inc.
*
6,108
19,362
Corcept
Therapeutics,
Inc.
*
15,134
307,372
Harmony
Biosciences
Holdings,
Inc.
*
2,503
137,915
Innoviva,
Inc.
*
20,829
275,984
Ocular
Therapeutix,
Inc.
*
11,699
32,874
Phibro
Animal
Health
Corp.,
Class
A
7,823
104,906
Prestige
Consumer
Healthcare,
Inc.
*
2,551
159,693
Supernus
Pharmaceuticals,
Inc.
*
5,371
191,584
Xeris
Biopharma
Holdings,
Inc.
*
49,423
65,733
1,665,197
Professional
Services
-
1.7%
Barrett
Business
Services,
Inc.
2,091
195,048
Franklin
Covey
Co.
*
951
44,478
Heidrick
&
Struggles
International,
Inc.
5,317
148,717
Insperity,
Inc.
1,137
129,163
Kelly
Services,
Inc.,
Class
A
5,194
87,779
Kforce,
Inc.
17,755
973,507
Resources
Connection,
Inc.
9,064
166,596
TrueBlue,
Inc.
*
8,777
171,854
1,917,142
Real
Estate
Management
&
Development
-
0.6%
Anywhere
Real
Estate,
Inc.
*
25,083
160,280
Cushman
&
Wakefield
plc
*
16,404
204,394
Forestar
Group,
Inc.
*
20,820
320,836
685,510
Road
&
Rail
-
1.0%
ArcBest
Corp.
9,789
685,621
Covenant
Logistics
Group,
Inc.
8,508
294,122
PAM
Transportation
Services,
Inc.
*
4,717
122,170
1,101,913
Semiconductors
&
Semiconductor
Equipment
-
3.7%
Alpha
&
Omega
Semiconductor
Ltd.
*
7,052
201,476
Amkor
Technology,
Inc.
30,884
740,598
Axcelis
Technologies,
Inc.
*
2,645
209,907
Diodes,
Inc.
*
6,970
530,696
FormFactor,
Inc.
*
8,568
190,467
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
5,752
254,583
MaxLinear,
Inc.
*
4,938
167,645
Onto
Innovation,
Inc.
*
1,983
135,022
Photronics,
Inc.
*
24,229
407,774
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
3.7%
(continued)
Power
Integrations,
Inc.
7,077
507,562
Rambus,
Inc.
*
1,513
54,196
Semtech
Corp.
*
4,198
120,441
SMART
Global
Holdings,
Inc.
*
7,802
116,094
Synaptics,
Inc.
*
4,000
380,640
Ultra
Clean
Holdings,
Inc.
*
8,648
286,681
4,303,782
Software
-
2.3%
8x8,
Inc.
*
20,985
90,655
Adeia,
Inc.
10,160
96,317
American
Software,
Inc.,
Class
A
6,281
92,205
Cleanspark,
Inc.
*
160,348
327,110
Clear
Secure,
Inc.,
Class
A
1,754
48,112
Consensus
Cloud
Solutions,
Inc.
*
2,456
132,034
Digital
Turbine,
Inc.
*
5,789
88,224
EverCommerce,
Inc.
*
10,020
74,549
LiveRamp
Holdings,
Inc.
*
5,640
132,201
Mitek
Systems,
Inc.
*
6,033
58,460
Progress
Software
Corp.
5,680
286,556
Qualys,
Inc.
*
2,214
248,477
Rimini
Street,
Inc.
*
39,544
150,663
Sprout
Social,
Inc.,
Class
A
*
1,717
96,942
SPS
Commerce,
Inc.
*
3,897
500,492
WM
Technology,
Inc.
*
88,398
89,282
Zeta
Global
Holdings
Corp.,
Class
A
*
18,286
149,397
2,661,676
Specialty
Retail
-
3.6%
Academy
Sports
&
Outdoors,
Inc.
4,415
231,964
Asbury
Automotive
Group,
Inc.
*
2,406
431,276
Buckle,
Inc.
(The)
1,724
78,183
Caleres,
Inc.
1,961
43,691
Citi
Trends,
Inc.
*
5,015
132,797
Conn's,
Inc.
*
9,940
68,387
Container
Store
Group,
Inc.
(The)
*
7,502
32,334
Destination
XL
Group,
Inc.
*
6,428
43,389
Express,
Inc.
*
51,031
52,052
Foot
Locker,
Inc.
1,335
50,450
Genesco,
Inc.
*
3,420
157,388
Group
1
Automotive,
Inc.
2,771
499,805
Haverty
Furniture
Cos.,
Inc.
1,847
55,225
Hibbett,
Inc.
2,973
202,818
MarineMax,
Inc.
*
10,086
314,885
Murphy
USA,
Inc.
1,573
439,717
ODP
Corp.
(The)
*
8,626
392,828
Rent-A-Center,
Inc.
5,978
134,804
Sally
Beauty
Holdings,
Inc.
*
9,403
117,726
Signet
Jewelers
Ltd.
5,648
384,064
Sleep
Number
Corp.
*
1,700
44,166
Sonic
Automotive,
Inc.,
Class
A
4,105
202,253
Zumiez,
Inc.
*
1,473
32,023
4,142,225
12
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Technology
Hardware,
Storage
&
Peripherals
-
0.7%
Avid
Technology,
Inc.
*
6,235
165,789
Diebold
Nixdorf,
Inc.
*
51,084
72,539
Super
Micro
Computer,
Inc.
*
6,508
534,307
772,635
Textiles,
Apparel
&
Luxury
Goods
-
0.2%
G-III
Apparel
Group
Ltd.
*
12,955
177,613
Movado
Group,
Inc.
2,248
72,498
Oxford
Industries,
Inc.
362
33,731
283,842
Thrifts
&
Mortgage
Finance
-
1.8%
Mr
Cooper
Group,
Inc.
*
17,221
691,079
New
York
Community
Bancorp,
Inc.
9,078
78,071
PennyMac
Financial
Services,
Inc.
5,768
326,815
Radian
Group,
Inc.
17,777
339,007
TrustCo
Bank
Corp.
3,610
135,700
Walker
&
Dunlop,
Inc.
6,560
514,829
Waterstone
Financial,
Inc.
2,110
36,376
2,121,877
Tobacco
-
0.1%
Universal
Corp.
790
41,720
Vector
Group
Ltd.
6,859
81,348
123,068
Trading
Companies
&
Distributors
-
3.0%
BlueLinx
Holdings,
Inc.
*
4,333
308,120
Boise
Cascade
Co.
13,096
899,302
GMS,
Inc.
*
7,975
397,155
Rush
Enterprises,
Inc.,
Class
A
13,403
700,709
Textainer
Group
Holdings
Ltd.
(China)
7,363
228,327
Titan
Machinery,
Inc.
*
3,784
150,338
Triton
International
Ltd.
3,107
213,699
Veritiv
Corp.
4,357
530,291
3,427,941
Water
Utilities
-
0.1%
Artesian
Resources
Corp.,
Class
A
1,281
75,041
Wireless
Telecommunication
Services
-
0.1%
Gogo,
Inc.
*
2,581
38,096
Telephone
and
Data
Systems,
Inc.
3,431
35,991
74,087
TOTAL
COMMON
STOCKS
(Cost
$79,122,982)
110,888,099
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
3.7%
INVESTMENT
COMPANIES
-
3.7%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(c)
(Cost
$4,326,965)
4,330,195
4,328,463
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.7%
(Cost
$83,449,947)
115,216,562
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.3%
(d)
315,858
NET
ASSETS
-
100.0%
115,532,420
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
1,707,222
1.5
%
Consumer
Discretionary
11,833,814
10.2
Consumer
Staples
5,922,484
5.1
Energy
12,272,039
10.6
Financials
17,622,158
15.3
Health
Care
15,891,984
13.8
Industrials
20,189,963
17.5
Information
Technology
13,738,289
11.9
Materials
5,973,744
5.2
Real
Estate
3,749,147
3.2
Utilities
1,987,255
1.7
Investment
Companies
4,328,463
3.7
Total
Investments
In
Securities
At
Value
115,216,562
99.7
Other
Assets
in
Excess
of
Liabilities
(d
)
315,858
0.3
Net
Assets
$
115,532,420
100.0%
13
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
December
31,
2022,
the
value
of
these
securities
amounted
to
$44,324
or
0.04%
of
net
assets.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$32,582,
which
represents
0.03%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
35
3/2023
USD
$
3,099,075
$
(110,430)
$
(110,430)
14
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
97.0%
Australia
-
7.8%
Aristocrat
Leisure
Ltd.
29,903
616,175
Aurizon
Holdings
Ltd.
1,153,392
2,922,049
BHP
Group
Ltd.
295,890
9,165,767
BlueScope
Steel
Ltd.
134,477
1,532,666
Fortescue
Metals
Group
Ltd.
221,376
3,094,207
Lottery
Corp.
Ltd.
(The)
*
57,040
173,863
Origin
Energy
Ltd.
70,774
370,426
Rio
Tinto
Ltd.
8,995
709,936
Rio
Tinto
plc
40,811
2,872,443
Santos
Ltd.
210,305
1,034,321
South32
Ltd.
839,138
2,300,605
Tabcorp
Holdings
Ltd.
57,040
41,534
WiseTech
Global
Ltd.
82,047
2,821,797
Woodside
Energy
Group
Ltd.
232,374
5,627,681
33,283,470
—
Austria
-
0.2%
Mondi
plc
63,043
1,066,114
Belgium
-
0.2%
Ageas
SA/NV
20,631
915,437
Groupe
Bruxelles
Lambert
NV
1,467
117,239
1,032,676
—
Canada
-
9.8%
Alimentation
Couche-Tard,
Inc.
(1)
21,067
925,766
ARC
Resources
Ltd.
(1)
9,402
126,726
Bank
of
Montreal
(1)
20,678
1,873,237
Bank
of
Nova
Scotia
(The)
(1)
5,464
267,712
Canadian
Apartment
Properties,
REIT
(1)
3,482
109,758
Canadian
Imperial
Bank
of
Commerce
(1)
26,872
1,086,986
Canadian
National
Railway
Co.
(1)
1,804
214,295
Canadian
Natural
Resources
Ltd.
(1)
85,837
4,766,678
Canadian
Pacific
Railway
Ltd.
(1)
10,275
766,072
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
13,667
1,428,272
CCL
Industries,
Inc.,
Class
B
(1)
4,615
197,143
CGI,
Inc.
(1)*
27,366
2,358,852
Empire
Co.
Ltd.,
Class
A
(1)
4,689
123,493
Fairfax
Financial
Holdings
Ltd.
(1)
6,663
3,946,966
Great-West
Lifeco,
Inc.
(1)
6,006
138,839
iA
Financial
Corp.,
Inc.
(1)
12,987
760,325
Imperial
Oil
Ltd.
(1)
87,452
4,259,571
Loblaw
Cos.
Ltd.
(1)
10,805
955,373
Manulife
Financial
Corp.
(1)
28,526
508,791
National
Bank
of
Canada
(1)
18,499
1,246,428
Nutrien
Ltd.
(1)
12,048
879,575
Nuvei
Corp.
(1)*(a)
60,341
1,533,481
Open
Text
Corp.
(1)
13,308
394,326
Power
Corp.
of
Canada
(1)
5,259
123,707
Royal
Bank
of
Canada
(1)
23,203
2,181,493
Suncor
Energy,
Inc.
(1)
79,332
2,516,477
Teck
Resources
Ltd.,
Class
B
(1)
79,695
3,011,812
TFI
International,
Inc.
(1)
1,592
159,447
Toronto-Dominion
Bank
(The)
(1)
9,710
628,712
Tourmaline
Oil
Corp.
(1)
15,786
796,528
INVESTMENTS
SHARES
VALUE
($)
Canada
-
9.8%
(continued)
West
Fraser
Timber
Co.
Ltd.
(1)
51,522
3,720,315
42,007,156
—
China
-
1.3%
BOC
Hong
Kong
Holdings
Ltd.
499,000
1,694,004
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
894,400
2,795,891
SITC
International
Holdings
Co.
Ltd.
480,000
1,063,891
5,553,786
—
Denmark
-
3.1%
AP
Moller
-
Maersk
A/S,
Class
B
1,522
3,407,157
Genmab
A/S
*
5,868
2,480,960
Novo
Nordisk
A/S,
Class
B
43,022
5,843,057
Pandora
A/S
21,657
1,530,749
13,261,923
—
Finland
-
0.5%
Neste
OYJ
13,398
617,875
Nokia
OYJ
124,892
580,211
Wartsila
OYJ
Abp
107,581
907,130
2,105,216
—
France
-
8.1%
Arkema
SA
1,472
132,399
AXA
SA
118,661
3,305,366
BNP
Paribas
SA
65,235
3,714,428
Carrefour
SA
139,187
2,328,035
Cie
de
Saint-Gobain
73,096
3,575,918
Dassault
Aviation
SA
13,305
2,256,437
Ipsen
SA
19,499
2,097,325
L'Oreal
SA
2,880
1,031,322
LVMH
Moet
Hennessy
Louis
Vuitton
SE
256
186,289
Orange
SA
84,272
836,157
Publicis
Groupe
SA
45,751
2,922,680
Societe
Generale
SA
49,133
1,232,436
Sodexo
SA
11,463
1,096,762
TotalEnergies
SE
150,621
9,454,963
Unibail-Rodamco-Westfield,
REIT
*
4,856
253,853
34,424,370
—
Germany
-
6.8%
Allianz
SE
(Registered)
3,857
823,693
BASF
SE
54,704
2,693,550
Bayerische
Motoren
Werke
AG
22,574
1,998,591
Brenntag
SE
34,262
2,185,055
Daimler
Truck
Holding
AG
*
4,073
125,211
Deutsche
Bank
AG
(Registered)
506,016
5,688,413
Deutsche
Boerse
AG
5,597
963,749
Deutsche
Lufthansa
AG
(Registered)
*
23,147
190,802
Deutsche
Post
AG
(Registered)
153,120
5,730,771
Fresenius
SE
&
Co.
KGaA
12,270
342,725
GEA
Group
AG
12,087
491,549
HelloFresh
SE
*
89,854
1,961,051
Henkel
AG
&
Co.
KGaA
(Preference)
8,401
582,296
Infineon
Technologies
AG
6,802
206,726
15
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Germany
-
6.8%
(continued)
Knorr-Bremse
AG
11,293
614,366
Mercedes-Benz
Group
AG
3,831
250,528
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
2,640
853,963
Rational
AG
653
387,769
Rheinmetall
AG
9,726
1,936,216
RWE
AG
16,289
720,100
Siemens
Energy
AG
3,772
70,824
28,817,948
—
Hong
Kong
-
2.1%
CK
Asset
Holdings
Ltd.
356,439
2,186,103
Hong
Kong
Exchanges
&
Clearing
Ltd.
32,300
1,387,939
Link,
REIT
39,000
285,376
Sino
Land
Co.
Ltd.
108,000
134,707
Sun
Hung
Kai
Properties
Ltd.
24,500
334,655
Swire
Pacific
Ltd.,
Class
A
87,000
762,632
WH
Group
Ltd.
(a)
6,323,500
3,688,107
8,779,519
—
Italy
-
1.4%
Assicurazioni
Generali
SpA
114,804
2,041,504
Coca-Cola
HBC
AG
45,952
1,086,250
Eni
SpA
66,286
942,552
Prysmian
SpA
47,973
1,782,462
5,852,768
—
Japan
-
20.3%
Bandai
Namco
Holdings,
Inc.
5,500
344,737
CyberAgent,
Inc.
65,000
578,681
Dai-ichi
Life
Holdings,
Inc.
109,000
2,461,588
Daito
Trust
Construction
Co.
Ltd.
9,500
972,637
Dentsu
Group,
Inc.
25,800
809,364
ENEOS
Holdings,
Inc.
760,100
2,588,457
Fuji
Electric
Co.
Ltd.
10,800
407,584
Fujitsu
Ltd.
12,400
1,653,139
Hakuhodo
DY
Holdings,
Inc.
114,300
1,147,122
Ibiden
Co.
Ltd.
63,000
2,271,937
Idemitsu
Kosan
Co.
Ltd.
39,200
917,734
Iida
Group
Holdings
Co.
Ltd.
59,600
904,910
Inpex
Corp.
103,100
1,107,853
ITOCHU
Corp.
105,100
3,297,276
Japan
Post
Holdings
Co.
Ltd.
499,900
4,206,137
Japan
Post
Insurance
Co.
Ltd.
262,400
4,614,862
Japan
Tobacco,
Inc.
35,000
705,608
KDDI
Corp.
14,000
424,577
Kobayashi
Pharmaceutical
Co.
Ltd.
3,000
205,628
Konami
Group
Corp.
22,500
1,020,662
M3,
Inc.
12,400
336,825
Marubeni
Corp.
171,700
1,966,986
Mazda
Motor
Corp.
105,100
787,835
MISUMI
Group,
Inc.
16,200
352,096
Mitsubishi
UFJ
Financial
Group,
Inc.
123,400
828,436
Mitsui
&
Co.
Ltd.
70,800
2,062,101
Mizuho
Financial
Group,
Inc.
93,520
1,317,537
MS&AD
Insurance
Group
Holdings,
Inc.
146,200
4,673,989
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.3%
(continued)
Nexon
Co.
Ltd.
173,600
3,897,444
NGK
Insulators
Ltd.
92,900
1,177,749
Nippon
Steel
Corp.
34,200
593,409
Nippon
Telegraph
&
Telephone
Corp.
56,100
1,599,888
Nitto
Denko
Corp.
30,700
1,768,157
Nomura
Real
Estate
Holdings,
Inc.
10,700
228,796
Ono
Pharmaceutical
Co.
Ltd.
5,000
116,868
ORIX
Corp.
15,900
254,506
Osaka
Gas
Co.
Ltd.
119,600
1,927,127
Otsuka
Corp.
13,400
422,373
Otsuka
Holdings
Co.
Ltd.
23,600
769,661
Resona
Holdings,
Inc.
523,100
2,873,084
Rohm
Co.
Ltd.
7,100
508,995
Shin-Etsu
Chemical
Co.
Ltd.
5,800
708,251
Sompo
Holdings,
Inc.
107,900
4,773,832
Square
Enix
Holdings
Co.
Ltd.
30,700
1,425,262
SUMCO
Corp.
158,900
2,105,202
Sumitomo
Corp.
52,500
872,712
Sumitomo
Mitsui
Financial
Group,
Inc.
54,900
2,208,761
Sumitomo
Mitsui
Trust
Holdings,
Inc.
52,900
1,845,974
Taisei
Corp.
22,500
725,517
TDK
Corp.
8,400
273,282
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
1,042,500
3,754,481
Tokyo
Gas
Co.
Ltd.
114,000
2,232,097
TOPPAN,
Inc.
66,000
974,655
Tosoh
Corp.
248,800
2,958,639
Toyota
Tsusho
Corp.
86,400
3,178,168
87,141,188
—
Luxembourg
-
0.5%
ArcelorMittal
SA
75,366
1,988,318
Netherlands
-
5.9%
Adyen
NV
*(a)
811
1,125,871
Aegon
NV
83,510
423,118
ASM
International
NV
9,535
2,419,360
ASML
Holding
NV
3,453
1,882,756
Heineken
NV
15,902
1,497,846
ING
Groep
NV
109,319
1,331,633
Koninklijke
Ahold
Delhaize
NV
168,586
4,847,064
NN
Group
NV
17,591
719,335
OCI
NV
30,858
1,103,250
Randstad
NV
11,367
694,551
Shell
plc
191,540
5,399,669
Wolters
Kluwer
NV
35,973
3,764,046
25,208,499
—
Singapore
-
1.5%
CapitaLand
Integrated
Commercial
Trust,
REIT
156,096
238,080
STMicroelectronics
NV
132,303
4,701,528
Venture
Corp.
Ltd.
127,300
1,622,589
6,562,197
—
South
Africa
-
0.3%
Anglo
American
plc
33,855
1,325,758
16
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
INVESTMENTS
SHARES
VALUE
($)
Spain
-
2.4%
Banco
Bilbao
Vizcaya
Argentaria
SA
500,247
3,013,122
Banco
Santander
SA
337,549
1,009,310
Red
Electrica
Corp.
SA
14,437
251,033
Repsol
SA
381,589
6,073,761
10,347,226
—
Sweden
-
3.5%
Alfa
Laval
AB
5,091
147,269
Atlas
Copco
AB,
Class
B
42,828
456,960
Boliden
AB
7,128
267,743
Evolution
AB
(a)
49,150
4,787,428
Fastighets
AB
Balder,
Class
B
*
258,923
1,208,467
H
&
M
Hennes
&
Mauritz
AB,
Class
B
29,553
318,476
Hexagon
AB,
Class
B
13,741
144,076
Investor
AB,
Class
B
44,280
801,510
Sandvik
AB
47,783
863,515
Securitas
AB,
Class
B
227,034
1,894,475
Skandinaviska
Enskilda
Banken
AB,
Class
A
17,456
200,969
Skanska
AB,
Class
B
10,952
173,616
SKF
AB,
Class
B
7,888
120,478
Swedish
Orphan
Biovitrum
AB
*
69,237
1,432,994
Telefonaktiebolaget
LM
Ericsson,
Class
B
67,988
398,370
Volvo
AB,
Class
B
52,888
955,348
Volvo
Car
AB,
Class
B
*
159,966
728,392
14,900,086
—
Switzerland
-
6.6%
Cie
Financiere
Richemont
SA
(Registered)
12,130
1,572,775
Geberit
AG
(Registered)
1,427
673,659
Kuehne
+
Nagel
International
AG
(Registered)
6,314
1,467,896
Lonza
Group
AG
(Registered)
1,739
853,632
Novartis
AG
(Registered)
111,657
10,104,675
SGS
SA
(Registered)
146
340,084
Sonova
Holding
AG
(Registered)
15,871
3,769,343
Swatch
Group
AG
(The)
15,925
4,526,215
Temenos
AG
(Registered)
31,994
1,760,096
UBS
Group
AG
(Registered)
158,262
2,941,493
28,009,868
—
United
Kingdom
-
9.5%
3i
Group
plc
30,804
496,787
Associated
British
Foods
plc
159,101
3,016,359
AstraZeneca
plc
2,077
281,058
Auto
Trader
Group
plc
(a)
114,779
714,769
Aviva
plc
205,010
1,087,505
BAE
Systems
plc
107,506
1,110,365
Barclays
plc
3,035,859
5,776,672
Barratt
Developments
plc
66,145
315,928
BP
plc
515,230
2,972,847
British
American
Tobacco
plc
64,615
2,556,050
BT
Group
plc
2,848,245
3,845,914
Bunzl
plc
15,676
521,543
Burberry
Group
plc
148,190
3,602,820
CK
Hutchison
Holdings
Ltd.
147,000
880,655
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
9.5%
(continued)
Entain
plc
65,670
1,045,799
Imperial
Brands
plc
24,800
617,796
Kingfisher
plc
248,191
705,167
Legal
&
General
Group
plc
625,129
1,874,221
Lloyds
Banking
Group
plc
1,237,857
675,515
London
Stock
Exchange
Group
plc
9,002
773,463
M&G
plc
69,160
156,389
Next
plc
4,263
298,712
Persimmon
plc
21,884
320,877
Reckitt
Benckiser
Group
plc
25,316
1,754,813
Standard
Chartered
plc
26,362
196,621
Tesco
plc
1,815,451
4,892,404
40,491,049
—
United
States
-
5.2%
Bausch
Health
Cos.,
Inc.
(1)*
63,091
396,066
CSL
Ltd.
10,547
2,056,603
GSK
plc
105,817
1,828,860
Haleon
plc
*
130,925
518,020
Holcim
AG
14,221
736,126
Nestle
SA
(Registered)
27,660
3,194,991
Roche
Holding
AG
27,669
8,694,638
Stellantis
NV
338,331
4,807,807
22,233,111
—
TOTAL
COMMON
STOCKS
(Cost
$356,405,945)
414,392,246
SHORT-TERM
INVESTMENTS
-
2.5%
INVESTMENT
COMPANIES
-
2.5%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(b)
(Cost
$10,530,548)
10,539,753
10,535,537
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.5%
(Cost
$366,936,493)
424,927,783
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.5%
(c)
1,972,189
NET
ASSETS
-
100.0%
426,899,972
17
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
December
31,
2022
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
19,222,520
4.5
%
Consumer
Discretionary
32,390,642
7.6
Consumer
Staples
39,284,162
9.2
Energy
49,203,695
11.5
Financials
87,037,735
20.4
Health
Care
41,405,291
9.7
Industrials
57,866,726
13.5
Information
Technology
29,184,965
6.8
Materials
42,826,184
10.0
Real
Estate
6,715,062
1.6
Utilities
9,255,264
2.2
Investment
Companies
10,535,537
2.5
Total
Investments
In
Securities
At
Value
424,927,783
99.5
Other
Assets
in
Excess
of
Liabilities
(c
)
1,972,189
0.5
Net
Assets
$
426,899,972
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$14,645,547,
which
represents
3.43%
of
net
assets
of
the
fund.
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
84
3/2023
USD
$
8,187,480
$
(110,237)
$
(110,237)
18
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
97.3%
Brazil
-
5.2%
Ambev
SA,
ADR
(1)*
265,669
722,620
Americanas
SA
*
210,800
384,474
Banco
do
Brasil
SA
746,900
4,832,014
BB
Seguridade
Participacoes
SA
26,000
165,535
Braskem
SA
(Preference),
Class
A
75,400
342,170
BRF
SA
*
178,300
277,466
Gerdau
SA,
ADR
(1)
421,969
2,337,708
Itau
Unibanco
Holding
SA,
ADR
(1)*
141,584
666,861
Natura
&
Co.
Holding
SA
72,400
157,336
Petro
Rio
SA
*
86,400
608,581
Petroleo
Brasileiro
SA
(Preference)
1,497,700
6,948,846
TIM
SA,
ADR
(1)
71,578
833,884
Ultrapar
Participacoes
SA
132,800
315,304
Vale
SA,
ADR
(1)
341,485
5,795,000
Vibra
Energia
SA
229,500
672,896
25,060,695
—
Chile
-
1.0%
Cencosud
SA
(1)
1,457,387
2,396,764
Empresas
Copec
SA
(1)
36,989
275,984
Enel
Chile
SA,
ADR
(1)
84,429
189,965
Sociedad
Quimica
y
Minera
de
Chile
SA,
ADR
(1)
25,850
2,063,864
4,926,577
—
China
-
31.4%
3SBio,
Inc.
(a)
1,418,000
1,501,401
Agricultural
Bank
of
China
Ltd.,
Class
A
614,500
258,277
Agricultural
Bank
of
China
Ltd.,
Class
H
3,054,000
1,044,763
Alibaba
Group
Holding
Ltd.
*
1,234,104
13,541,717
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
22,200
87,585
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
48,323
190,666
ANTA
Sports
Products
Ltd.
12,400
161,284
Baidu,
Inc.,
Class
A
*
158,850
2,265,318
Bank
of
Beijing
Co.
Ltd.,
Class
A
569,378
354,410
Bank
of
China
Ltd.,
Class
A
609,800
278,294
Bank
of
China
Ltd.,
Class
H
10,714,000
3,877,712
Bank
of
Communications
Co.
Ltd.,
Class
A
389,700
266,735
Bank
of
Communications
Co.
Ltd.,
Class
H
2,222,000
1,275,200
Bank
of
Ningbo
Co.
Ltd.,
Class
A
59,400
277,727
Bank
of
Shanghai
Co.
Ltd.,
Class
A
227,711
194,336
Baoshan
Iron
&
Steel
Co.
Ltd.,
Class
A
742,222
598,624
BeiGene
Ltd.,
ADR
(1)*
3,623
796,843
Beijing
Enterprises
Holdings
Ltd.
189,500
605,035
BOE
Technology
Group
Co.
Ltd.,
Class
A
1,508,900
735,089
BOE
Technology
Group
Co.
Ltd.,
Class
A
176,100
85,791
Bosideng
International
Holdings
Ltd.
306,000
145,005
BYD
Co.
Ltd.,
Class
A
40,800
1,506,201
INVESTMENTS
SHARES
VALUE
($)
China
-
31.4%
(continued)
China
Cinda
Asset
Management
Co.
Ltd.,
Class
H
2,921,000
403,089
China
CITIC
Bank
Corp.
Ltd.,
Class
H
4,740,000
2,097,556
China
Coal
Energy
Co.
Ltd.,
Class
H
818,000
664,172
China
Construction
Bank
Corp.,
Class
H
15,324,000
9,583,471
China
Everbright
Bank
Co.
Ltd.,
Class
A
538,100
238,481
China
Feihe
Ltd.
(a)
1,072,000
907,618
China
Hongqiao
Group
Ltd.
4,477,000
4,222,502
China
Lesso
Group
Holdings
Ltd.
497,000
515,515
China
Medical
System
Holdings
Ltd.
972,000
1,520,975
China
Merchants
Bank
Co.
Ltd.,
Class
A
109,658
587,323
China
Merchants
Port
Holdings
Co.
Ltd.
110,000
160,599
China
Merchants
Securities
Co.
Ltd.,
Class
A
240,200
460,528
China
Merchants
Shekou
Industrial
Zone
Holdings
Co.
Ltd.,
Class
A
67,000
121,807
China
Minsheng
Banking
Corp.
Ltd.,
Class
A
354,355
176,581
China
Minsheng
Banking
Corp.
Ltd.,
Class
H
1,767,000
610,596
China
National
Building
Material
Co.
Ltd.,
Class
H
4,290,000
3,505,236
China
Oilfield
Services
Ltd.,
Class
H
440,000
534,798
China
Overseas
Land
&
Investment
Ltd.
305,500
799,455
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
A
63,000
222,792
China
Petroleum
&
Chemical
Corp.,
Class
A
474,800
298,805
China
Petroleum
&
Chemical
Corp.,
Class
H
1,110,000
534,811
China
Power
International
Development
Ltd.
373,000
157,065
China
Resources
Beer
Holdings
Co.
Ltd.
22,000
153,023
China
Resources
Land
Ltd.
592,000
2,693,226
China
Resources
Power
Holdings
Co.
Ltd.
320,000
652,062
China
State
Construction
Engineering
Corp.
Ltd.,
Class
A
1,145,200
896,289
China
Taiping
Insurance
Holdings
Co.
Ltd.
853,200
1,058,615
China
Tourism
Group
Duty
Free
Corp.
Ltd.,
Class
A
35,392
1,100,419
China
Traditional
Chinese
Medicine
Holdings
Co.
Ltd.
528,000
239,446
China
Vanke
Co.
Ltd.,
Class
A
71,400
186,780
China
Vanke
Co.
Ltd.,
Class
H
80,900
162,750
China
Yangtze
Power
Co.
Ltd.,
Class
A
99,200
300,598
Chinasoft
International
Ltd.
1,116,000
966,130
CITIC
Ltd.
4,123,000
4,335,053
19
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
China
-
31.4%
(continued)
CITIC
Securities
Co.
Ltd.,
Class
A
153,065
439,329
COSCO
SHIPPING
Holdings
Co.
Ltd.,
Class
H
1,606,400
1,632,972
Country
Garden
Services
Holdings
Co.
Ltd.
511,000
1,253,554
CSPC
Pharmaceutical
Group
Ltd.
520,000
541,358
Dongfeng
Motor
Group
Co.
Ltd.,
Class
H
1,650,000
942,777
Dongyue
Group
Ltd.
3,216,000
3,522,329
Far
East
Horizon
Ltd.
57,000
44,398
Foshan
Haitian
Flavouring
&
Food
Co.
Ltd.,
Class
A
47,473
544,768
Geely
Automobile
Holdings
Ltd.
1,612,000
2,328,585
Guotai
Junan
Securities
Co.
Ltd.,
Class
A
94,200
184,658
H
World
Group
Ltd.,
ADR
(1)
15,565
660,267
Haier
Smart
Home
Co.
Ltd.,
Class
A
225,900
795,265
Haitong
Securities
Co.
Ltd.,
Class
A
186,300
233,671
Hua
Hong
Semiconductor
Ltd.
*(a)
506,000
1,753,395
Huatai
Securities
Co.
Ltd.,
Class
A
136,300
250,430
Huaxia
Bank
Co.
Ltd.,
Class
A
291,300
218,329
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
A
350,800
219,864
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
H
1,466,000
751,896
Industrial
Bank
Co.
Ltd.,
Class
A
154,590
392,160
Inner
Mongolia
Yili
Industrial
Group
Co.
Ltd.,
Class
A
158,400
707,502
JD.com,
Inc.,
Class
A
145,438
4,060,140
Jiangsu
Hengrui
Pharmaceuticals
Co.
Ltd.,
Class
A
256,838
1,426,605
Jiangsu
Yanghe
Brewery
Joint-
Stock
Co.
Ltd.,
Class
A
28,800
665,237
Jiangxi
Copper
Co.
Ltd.,
Class
H
179,000
262,801
KE
Holdings,
Inc.,
ADR
(1)*
59,358
828,638
Kingboard
Holdings
Ltd.
253,000
802,296
Kunlun
Energy
Co.
Ltd.
3,282,000
2,333,348
Kweichow
Moutai
Co.
Ltd.,
Class
A
6,700
1,664,844
Kweichow
Moutai
Co.
Ltd.,
Class
A
1,100
273,333
Li
Auto,
Inc.,
ADR
(1)*
34,548
704,779
Li
Ning
Co.
Ltd.
66,000
567,534
Longfor
Group
Holdings
Ltd.
(a)
152,500
469,268
Luxshare
Precision
Industry
Co.
Ltd.,
Class
A
276,407
1,265,034
Luzhou
Laojiao
Co.
Ltd.,
Class
A
10,200
329,239
Luzhou
Laojiao
Co.
Ltd.,
Class
A
27,900
900,548
Meituan,
Class
B
*(a)
160,100
3,547,149
MMG
Ltd.
*
556,000
141,612
NARI
Technology
Co.
Ltd.,
Class
A
344,808
1,210,429
NetEase,
Inc.
120,350
1,745,558
New
China
Life
Insurance
Co.
Ltd.,
Class
A
38,600
167,214
New
China
Life
Insurance
Co.
Ltd.,
Class
H
113,100
275,362
New
Oriental
Education
&
Technology
Group,
Inc.
*
404,900
1,427,296
NIO,
Inc.,
ADR
(1)*
94,422
920,615
People's
Insurance
Co.
Group
of
China
Ltd.
(The),
Class
H
623,000
206,098
PetroChina
Co.
Ltd.,
Class
A
448,500
322,155
INVESTMENTS
SHARES
VALUE
($)
China
-
31.4%
(continued)
PetroChina
Co.
Ltd.,
Class
H
1,256,000
573,733
PICC
Property
&
Casualty
Co.
Ltd.,
Class
H
2,108,000
1,993,105
Pinduoduo,
Inc.,
ADR
(1)*
36,169
2,949,582
Ping
An
Bank
Co.
Ltd.,
Class
A
160,985
305,234
Ping
An
Insurance
Group
Co.
of
China
Ltd.,
Class
A
51,900
350,924
Poly
Developments
and
Holdings
Group
Co.
Ltd.,
Class
A
78,100
170,028
SAIC
Motor
Corp.
Ltd.,
Class
A
167,800
348,745
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
238,100
541,479
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
76,600
174,201
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
1,000
1,051
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
140,963
148,082
Shenwan
Hongyuan
Group
Co.
Ltd.,
Class
A
376,800
216,442
Sinopharm
Group
Co.
Ltd.,
Class
H
538,400
1,362,751
Sinotruk
Hong
Kong
Ltd.
962,000
1,336,384
Sunac
China
Holdings
Ltd.
(3)*(b)
212,000
83,202
Sunny
Optical
Technology
Group
Co.
Ltd.
18,400
217,008
Tencent
Holdings
Ltd.
404,800
17,163,668
Topsports
International
Holdings
Ltd.
(a)
594,000
468,000
Trip.com
Group
Ltd.,
ADR
(1)*
43,393
1,492,719
Wuliangye
Yibin
Co.
Ltd.,
Class
A
30,100
782,750
Wuliangye
Yibin
Co.
Ltd.,
Class
A
11,582
301,190
Wuxi
Biologics
Cayman,
Inc.
*(a)
215,500
1,632,178
XPeng,
Inc.,
ADR
(1)*
30,187
300,059
Yankuang
Energy
Group
Co.
Ltd.,
Class
H
56,000
170,332
Yum
China
Holdings,
Inc.
(1)
33,622
1,837,442
Zhongsheng
Group
Holdings
Ltd.
29,000
148,541
Zhuzhou
CRRC
Times
Electric
Co.
Ltd.,
Class
H
38,100
188,181
ZTO
Express
Cayman,
Inc.,
ADR
(1)
34,228
919,706
151,227,535
—
Hong
Kong
-
0.6%
Huabao
International
Holdings
Ltd.
204,000
104,666
Orient
Overseas
International
Ltd.
149,500
2,694,505
2,799,171
—
Hungary
-
0.0%
(c)
OTP
Bank
Nyrt.
7,944
215,847
India
-
13.3%
Adani
Enterprises
Ltd.
29,699
1,382,995
Adani
Green
Energy
Ltd.
*
11,660
271,657
Adani
Power
Ltd.
*
726,498
2,619,927
Adani
Total
Gas
Ltd.
28,304
1,262,128
Adani
Transmission
Ltd.
*
40,092
1,251,939
Aurobindo
Pharma
Ltd.
208,180
1,102,381
Axis
Bank
Ltd.,
GDR
(d)
14,131
799,422
Bharat
Electronics
Ltd.
1,542,001
1,860,588
Cipla
Ltd.
138,606
1,800,803
20
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
India
-
13.3%
(continued)
Coal
India
Ltd.
1,982,134
5,392,297
Dr
Reddy's
Laboratories
Ltd.,
ADR
(1)
16,001
828,052
GAIL
India
Ltd.
2,002,370
2,325,243
HCL
Technologies
Ltd.
11,839
148,472
Hindalco
Industries
Ltd.
297,804
1,702,523
Housing
Development
Finance
Corp.
Ltd.
132,676
4,217,898
ICICI
Bank
Ltd.,
ADR
(1)
31,992
700,305
Indian
Oil
Corp.
Ltd.
156,549
144,600
Infosys
Ltd.,
ADR
(1)
109,426
1,970,762
ITC
Ltd.
1,259,325
5,040,766
Jindal
Steel
&
Power
Ltd.
90,359
633,767
Larsen
&
Toubro
Ltd.,
GDR
(d)
14,876
373,913
NTPC
Ltd.
2,128,140
4,279,866
Oil
&
Natural
Gas
Corp.
Ltd.
3,414,959
6,078,888
Page
Industries
Ltd.
459
237,270
Power
Grid
Corp.
of
India
Ltd.
489,155
1,261,142
Reliance
Industries
Ltd.,
GDR
(a)
32,737
2,008,213
Samvardhana
Motherson
International
Ltd.
156,168
139,835
State
Bank
of
India,
GDR
(d)
4,653
343,806
Sun
Pharmaceutical
Industries
Ltd.
100,966
1,220,982
Tata
Consultancy
Services
Ltd.
90,339
3,552,773
Tata
Steel
Ltd.
2,351,862
3,203,255
United
Spirits
Ltd.
*
90,596
959,757
Vedanta
Ltd.
1,371,745
5,105,517
64,221,742
—
Indonesia
-
2.8%
Adaro
Energy
Indonesia
Tbk.
PT
20,109,100
4,981,284
Astra
International
Tbk.
PT
4,338,200
1,587,563
Bank
Negara
Indonesia
Persero
Tbk.
PT
1,847,100
1,094,347
Indah
Kiat
Pulp
&
Paper
Tbk.
PT
225,100
126,127
Indofood
Sukses
Makmur
Tbk.
PT
1,836,200
793,749
Sumber
Alfaria
Trijaya
Tbk.
PT
2,490,600
424,468
Unilever
Indonesia
Tbk.
PT
2,320,000
700,812
United
Tractors
Tbk.
PT
2,086,600
3,497,716
Vale
Indonesia
Tbk.
PT
*
809,200
368,097
13,574,163
—
Malaysia
-
0.6%
Genting
Bhd.
227,900
231,752
Petronas
Chemicals
Group
Bhd.
506,100
988,662
RHB
Bank
Bhd.
196,500
258,176
Sime
Darby
Bhd.
560,600
292,616
Sime
Darby
Plantation
Bhd.
867,800
917,019
2,688,225
—
Mexico
-
1.5%
Alfa
SAB
de
CV,
Class
A
(1)
1,352,900
861,596
Arca
Continental
SAB
de
CV
(1)
184,000
1,494,172
Coca-Cola
Femsa
SAB
de
CV,
ADR
(1)
2,089
141,801
Fibra
Uno
Administracion
SA
de
CV,
REIT
(1)
170,900
201,363
Fomento
Economico
Mexicano
SAB
de
CV,
ADR
(1)
10,207
797,371
Gruma
SAB
de
CV,
Class
B
(1)
11,575
154,880
INVESTMENTS
SHARES
VALUE
($)
Mexico
-
1.5%
(continued)
Grupo
Aeroportuario
del
Sureste
SAB
de
CV,
ADR
(1)
4,497
1,047,756
Grupo
Bimbo
SAB
de
CV,
Series
A
(1)
343,700
1,452,653
Grupo
Mexico
SAB
de
CV,
Series
B
(1)
162,800
571,531
Orbia
Advance
Corp.
SAB
de
CV
(1)
74,400
131,722
Promotora
y
Operadora
de
Infraestructura
SAB
de
CV
(1)
45,685
374,079
7,228,924
—
Philippines
-
0.3%
BDO
Unibank,
Inc.
106,248
202,050
International
Container
Terminal
Services,
Inc.
168,160
603,524
PLDT,
Inc.
9,420
222,241
SM
Prime
Holdings,
Inc.
634,600
404,881
1,432,696
—
Poland
-
1.4%
Bank
Polska
Kasa
Opieki
SA
35,821
712,606
LPP
SA
139
338,994
PGE
Polska
Grupa
Energetyczna
SA
*
1,407,873
2,221,384
Polski
Koncern
Naftowy
ORLEN
SA
229,059
3,365,181
6,638,165
—
Qatar
-
0.6%
Commercial
Bank
PSQC
(The)
117,149
160,968
Industries
Qatar
QSC
29,520
104,198
Masraf
Al
Rayan
QSC
395,209
344,549
Qatar
Islamic
Bank
SAQ
(1)
115,043
586,311
Qatar
National
Bank
QPSC
351,624
1,742,942
2,938,968
—
Russia
-
0.0%
(c)
Gazprom
PJSC
(3)(b)
863,552
—
LUKOIL
PJSC
(3)(b)
29,987
—
Magnit
PJSC
(3)*(b)
6,681
—
Magnit
PJSC,
GDR
(3)*(b)(d)
1
—
MMC
Norilsk
Nickel
PJSC
(3)(b)
6,790
—
MMC
Norilsk
Nickel
PJSC,
ADR
(3)(b)
2
—
Mobile
TeleSystems
PJSC
(3)(b)
306,032
3
Novatek
PJSC
(3)(b)
71,760
—
Novolipetsk
Steel
PJSC
(3)*(b)
326,680
—
PhosAgro
PJSC,
GDR
(3)*(b)(d)
72
—
PhosAgro
PJSC
(3)(b)
3,717
—
Polyus
PJSC
(3)*(b)
1,291
—
Rosneft
Oil
Co.
PJSC
(3)(b)
106,000
—
Severstal
PAO,
GDR
(3)*(b)(d)
54,062
1
Surgutneftegas
PJSC
(3)(b)
1,249,260
—
Tatneft
PJSC
(3)(b)
134,766
—
4
—
Saudi
Arabia
-
4.3%
ACWA
Power
Co.
3,832
155,081
Al
Rajhi
Bank
*
16,858
337,130
Alinma
Bank
89,903
778,477
21
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Saudi
Arabia
-
4.3%
(continued)
Almarai
Co.
JSC
16,017
228,156
Arab
National
Bank
114,780
975,396
Bank
Al-Jazira
165,536
837,441
Banque
Saudi
Fransi
44,117
475,687
Etihad
Etisalat
Co.
256,270
2,368,901
Jarir
Marketing
Co.
5,056
201,781
Riyad
Bank
136,516
1,160,846
SABIC
Agri-Nutrients
Co.
74,312
2,900,627
Sahara
International
Petrochemical
Co.
85,467
781,681
Saudi
Arabian
Mining
Co.
*
88,422
1,518,031
Saudi
Arabian
Oil
Co.
(a)
16,036
137,652
Saudi
Basic
Industries
Corp.
136,317
3,260,882
Saudi
Electricity
Co.
286,367
1,770,226
Saudi
National
Bank
(The)
149,012
2,005,633
Saudi
Research
&
Media
Group
*
14,292
693,182
20,586,810
—
South
Africa
-
3.6%
Absa
Group
Ltd.
102,779
1,167,119
African
Rainbow
Minerals
Ltd.
138,884
2,346,788
Anglo
American
Platinum
Ltd.
3,517
293,517
Exxaro
Resources
Ltd.
249,778
3,202,278
Foschini
Group
Ltd.
(The)
129,655
763,321
Impala
Platinum
Holdings
Ltd.
74,783
939,788
Kumba
Iron
Ore
Ltd.
15,124
436,832
Mr
Price
Group
Ltd.
16,950
157,173
MultiChoice
Group
(1)
51,222
353,433
Nedbank
Group
Ltd.
(1)
28,538
357,043
Old
Mutual
Ltd.
256,169
157,155
Sanlam
Ltd.
(1)
149,472
428,590
Sasol
Ltd.
58,310
930,548
Shoprite
Holdings
Ltd.
50,003
662,865
Sibanye
Stillwater
Ltd.
1,444,447
3,829,563
SPAR
Group
Ltd.
(The)
(1)
38,957
260,229
Standard
Bank
Group
Ltd.
67,234
663,375
Woolworths
Holdings
Ltd.
72,788
283,509
17,233,126
—
South
Korea
-
12.1%
CJ
Corp.
*
2,570
171,675
DB
Insurance
Co.
Ltd.
*
33,466
1,734,709
Doosan
Bobcat,
Inc.
25,831
706,769
E-MART,
Inc.
*
2,160
167,942
GS
Engineering
&
Construction
Corp.
*
19,576
329,374
GS
Holdings
Corp.
*
16,514
573,082
Hana
Financial
Group,
Inc.
152,774
5,087,239
HMM
Co.
Ltd.
*
233,522
3,639,771
Hyundai
Engineering
&
Construction
Co.
Ltd.
*
29,214
807,667
Hyundai
Glovis
Co.
Ltd.
*
5,422
703,946
Hyundai
Mobis
Co.
Ltd.
1,182
187,487
Hyundai
Steel
Co.
*
27,244
664,041
Industrial
Bank
of
Korea
*
255,596
1,986,495
KB
Financial
Group,
Inc.
24,682
945,633
Kia
Corp.
*
117,512
5,529,000
Korea
Investment
Holdings
Co.
Ltd.
*
9,250
392,554
Kumho
Petrochemical
Co.
Ltd.
*
17,518
1,745,707
INVESTMENTS
SHARES
VALUE
($)
South
Korea
-
12.1%
(continued)
LG
Electronics,
Inc.
*
47,481
3,264,308
LG
Energy
Solution
Ltd.
*
1,664
573,509
LG
Innotek
Co.
Ltd.
*
1,652
333,173
LG
Uplus
Corp.
12,221
107,023
Meritz
Financial
Group,
Inc.
*
9,196
313,914
Meritz
Securities
Co.
Ltd.
*
50,716
252,577
POSCO
Holdings,
Inc.
26,234
5,741,361
Samsung
Electronics
Co.
Ltd.
283,189
12,430,084
SD
Biosensor,
Inc.
73,575
1,761,905
Seegene,
Inc.
62,458
1,351,375
Shinhan
Financial
Group
Co.
Ltd.
62,840
1,749,434
Woori
Financial
Group,
Inc.
524,021
4,787,105
58,038,859
—
Taiwan
-
13.3%
Accton
Technology
Corp.
17,000
129,095
ASE
Technology
Holding
Co.
Ltd.
432,000
1,312,580
AUO
Corp.
1,258,400
611,325
Catcher
Technology
Co.
Ltd.
396,000
2,174,791
Cathay
Financial
Holding
Co.
Ltd.
444,545
577,218
CTBC
Financial
Holding
Co.
Ltd.
938,480
673,438
Eva
Airways
Corp.
275,000
250,783
Evergreen
Marine
Corp.
Taiwan
Ltd.
692,000
3,657,370
First
Financial
Holding
Co.
Ltd.
334,830
288,395
Fubon
Financial
Holding
Co.
Ltd.
287,473
525,797
Hon
Hai
Precision
Industry
Co.
Ltd.
1,039,000
3,367,640
Innolux
Corp.
1,823,935
655,594
Largan
Precision
Co.
Ltd.
4,000
264,398
MediaTek,
Inc.
25,000
505,473
Nanya
Technology
Corp.
891,000
1,479,646
Nien
Made
Enterprise
Co.
Ltd.
38,000
363,110
Novatek
Microelectronics
Corp.
375,000
3,833,524
Pou
Chen
Corp.
869,000
965,890
Realtek
Semiconductor
Corp.
39,000
354,666
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.,
ADR
(1)
369,676
27,537,165
Unimicron
Technology
Corp.
440,000
1,708,162
Uni-President
Enterprises
Corp.
542,000
1,173,168
United
Microelectronics
Corp.
2,911,000
3,824,719
Voltronic
Power
Technology
Corp.
3,000
150,515
Walsin
Lihwa
Corp.
1,335,000
2,048,402
Wan
Hai
Lines
Ltd.
114,000
296,293
Winbond
Electronics
Corp.
279,000
177,174
Wiwynn
Corp.
12,000
310,385
Yang
Ming
Marine
Transport
Corp.
1,687,000
3,583,589
Zhen
Ding
Technology
Holding
Ltd.
320,000
1,088,520
63,888,825
—
Thailand
-
3.1%
Advanced
Info
Service
PCL,
NVDR
37,700
212,022
Bangkok
Dusit
Medical
Services
PCL,
NVDR
1,275,400
1,066,567
Bumrungrad
Hospital
PCL,
NVDR
231,100
1,413,785
Delta
Electronics
Thailand
PCL,
NVDR
43,400
1,038,425
Electricity
Generating
PCL,
NVDR
80,700
401,721
Indorama
Ventures
PCL,
NVDR
902,000
1,059,040
Kasikornbank
PCL,
NVDR
109,500
465,512
Krung
Thai
Bank
PCL,
NVDR
4,101,500
2,093,094
22
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Thailand
-
3.1%
(continued)
PTT
Exploration
&
Production
PCL,
NVDR
962,700
4,902,662
Ratch
Group
PCL,
NVDR
489,500
604,734
SCB
X
PCL,
NVDR
508,800
1,569,550
14,827,112
—
Turkey
-
0.5%
Akbank
TAS
(1)
1,141,107
1,192,832
Haci
Omer
Sabanci
Holding
A/S
210,032
506,994
Turk
Hava
Yollari
AO
*
70,430
530,542
2,230,368
—
United
Arab
Emirates
-
1.0%
Abu
Dhabi
Commercial
Bank
PJSC
96,468
236,088
Aldar
Properties
PJSC
169,128
203,221
Emaar
Properties
PJSC
264,055
420,093
Emirates
NBD
Bank
PJSC
198,616
699,553
Emirates
Telecommunications
Group
Co.
PJSC
285,825
1,774,065
First
Abu
Dhabi
Bank
PJSC
328,386
1,525,794
4,858,814
—
United
States
-
0.7%
JBS
SA
788,500
3,294,556
TOTAL
COMMON
STOCKS
(Cost
$431,999,703)
467,911,182
NO.
OF
UNITS
UNITS
-
0.0%
(c)
Brazil
-
0.0%
(c)
Klabin
SA
(2)
(Cost
$170,713)
43,200
163,196
SHARES
SHORT-TERM
INVESTMENTS
-
1.5%
INVESTMENT
COMPANIES
-
1.5%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(e)
(Cost
$7,282,968)
7,288,363
7,285,447
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.8%
(Cost
$439,453,384)
475,359,825
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.2%
(f)
5,847,225
NET
ASSETS
-
100.0%
481,207,050
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
27,739,299
5.8
%
Consumer
Discretionary
55,262,485
11.5
Consumer
Staples
29,448,600
6.1
Energy
44,958,291
9.3
Financials
83,656,185
17.4
Health
Care
19,567,408
4.1
Industrials
39,529,867
8.2
Information
Technology
74,633,287
15.5
Materials
62,617,567
13.0
Real
Estate
7,998,265
1.7
Utilities
22,663,124
4.7
Investment
Companies
7,285,447
1.5
Total
Investments
In
Securities
At
Value
475,359,825
98.8
Other
Assets
in
Excess
of
Liabilities
(f)
5,847,225
1.2
Net
Assets
$
481,207,050
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$12,424,874,
which
represents
2.58%
of
net
assets
of
the
fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$83,206,
which
represents
0.02%
of
net
assets
of
the
fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
December
31,
2022,
the
value
of
these
securities
amounted
to
$1,517,142
or
0.32%
of
net
assets.
23
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(e)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(f)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
(3)
Level
3
security.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
Emerging
Markets
E-Mini
Index
140
3/2023
USD
$
6,715,800
$
(72,415)
$
(72,415)
24
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
98.6%
Aerospace
&
Defense
-
2.6%
Howmet
Aerospace,
Inc.
15,217
599,702
Huntington
Ingalls
Industries,
Inc.
13,502
3,114,641
Lockheed
Martin
Corp.
15,754
7,664,163
Northrop
Grumman
Corp.
13,114
7,155,130
18,533,636
Automobiles
-
0.7%
Tesla,
Inc.
*
40,348
4,970,067
Banks
-
0.5%
Bank
of
Hawaii
Corp.
5,290
410,292
Commerce
Bancshares,
Inc.
12,973
883,055
Cullen/Frost
Bankers,
Inc.
3,291
440,007
First
Republic
Bank
4,040
492,436
FNB
Corp.
15,623
203,880
M&T
Bank
Corp.
2,664
386,440
Wintrust
Financial
Corp.
7,954
672,272
3,488,382
Beverages
-
3.5%
Coca-Cola
Co.
(The)
191,036
12,151,800
Constellation
Brands,
Inc.,
Class
A
8,783
2,035,460
Molson
Coors
Beverage
Co.,
Class
B
24,961
1,285,991
Monster
Beverage
Corp.
*
11,632
1,180,997
PepsiCo,
Inc.
43,656
7,886,893
24,541,141
Biotechnology
-
3.2%
AbbVie,
Inc.
63,772
10,306,193
Amgen,
Inc.
24,720
6,492,461
Horizon
Therapeutics
plc
*
29,570
3,365,066
Seagen,
Inc.
*
7,385
949,046
United
Therapeutics
Corp.
*
4,772
1,327,046
22,439,812
Building
Products
-
0.6%
A
O
Smith
Corp.
4,045
231,536
Builders
FirstSource,
Inc.
*
8,120
526,826
Fortune
Brands
Innovations,
Inc.
5,250
299,828
Masterbrand,
Inc.
*
5,250
39,637
Trane
Technologies
plc
16,727
2,811,641
3,909,468
Capital
Markets
-
2.7%
Ameriprise
Financial,
Inc.
7,144
2,224,427
BlackRock,
Inc.
365
258,650
CME
Group,
Inc.
4,233
711,821
FactSet
Research
Systems,
Inc.
1,562
626,690
Goldman
Sachs
Group,
Inc.
(The)
1,046
359,176
Intercontinental
Exchange,
Inc.
4,335
444,728
Jefferies
Financial
Group,
Inc.
24,961
855,663
LPL
Financial
Holdings,
Inc.
13,803
2,983,795
MarketAxess
Holdings,
Inc.
2,251
627,781
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
2.7%
(continued)
Moody's
Corp.
2,295
639,433
Morgan
Stanley
63,842
5,427,847
MSCI,
Inc.
5,391
2,507,731
Nasdaq,
Inc.
11,442
701,967
S&P
Global,
Inc.
3,044
1,019,557
19,389,266
Chemicals
-
2.1%
Air
Products
and
Chemicals,
Inc.
1,700
524,042
Albemarle
Corp.
13,119
2,844,986
CF
Industries
Holdings,
Inc.
17,173
1,463,140
Chemours
Co.
(The)
24,214
741,433
Corteva,
Inc.
40,183
2,361,957
Ecolab,
Inc.
1,707
248,471
Element
Solutions,
Inc.
38,953
708,555
FMC
Corp.
6,321
788,861
Mosaic
Co.
(The)
37,682
1,653,109
Olin
Corp.
28,898
1,529,860
Sherwin-Williams
Co.
(The)
7,860
1,865,414
Westlake
Corp.
2,206
226,203
14,956,031
Commercial
Services
&
Supplies
-
0.6%
Cintas
Corp.
5,774
2,607,654
Copart,
Inc.
*
17,360
1,057,050
Rollins,
Inc.
14,763
539,440
4,204,144
Communications
Equipment
-
0.4%
Arista
Networks,
Inc.
*
4,824
585,392
Cisco
Systems,
Inc.
18,696
890,678
Ubiquiti,
Inc.
5,924
1,620,392
3,096,462
Construction
&
Engineering
-
0.7%
AECOM
8,308
705,598
Quanta
Services,
Inc.
22,005
3,135,713
Valmont
Industries,
Inc.
2,618
865,694
4,707,005
Consumer
Finance
-
0.1%
Capital
One
Financial
Corp.
3,365
312,810
OneMain
Holdings,
Inc.
11,245
374,571
687,381
Containers
&
Packaging
-
0.2%
Avery
Dennison
Corp.
4,365
790,065
Crown
Holdings,
Inc.
4,346
357,285
Packaging
Corp.
of
America
3,115
398,439
1,545,789
25
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Distributors
-
0.1%
LKQ
Corp.
10,484
559,950
Pool
Corp.
759
229,469
789,419
Diversified
Consumer
Services
-
0.1%
H&R
Block,
Inc.
17,949
655,318
Diversified
Financial
Services
-
2.7%
Berkshire
Hathaway,
Inc.,
Class
B
*
62,977
19,453,595
Electric
Utilities
-
3.0%
American
Electric
Power
Co.,
Inc.
59,552
5,654,462
Avangrid,
Inc.
24,375
1,047,638
Edison
International
3,598
228,905
Entergy
Corp.
2,001
225,113
FirstEnergy
Corp.
68,203
2,860,434
IDACORP,
Inc.
11,157
1,203,282
NextEra
Energy,
Inc.
57,089
4,772,640
NRG
Energy,
Inc.
10,418
331,501
OGE
Energy
Corp.
94,351
3,731,582
Pinnacle
West
Capital
Corp.
16,279
1,237,855
21,293,412
Electrical
Equipment
-
0.6%
AMETEK,
Inc.
5,400
754,488
Eaton
Corp.
plc
20,081
3,151,713
Emerson
Electric
Co.
6,730
646,484
4,552,685
Electronic
Equipment,
Instruments
&
Components
-
0.6%
Amphenol
Corp.,
Class
A
13,224
1,006,875
Corning,
Inc.
11,812
377,275
Jabil,
Inc.
8,553
583,315
Keysight
Technologies,
Inc.
*
1,638
280,213
TD
SYNNEX
Corp.
9,191
870,480
Zebra
Technologies
Corp.,
Class
A
*
3,861
989,999
4,108,157
Energy
Equipment
&
Services
-
0.3%
Baker
Hughes
Co.
17,088
504,608
NOV,
Inc.
25,084
524,005
Schlumberger
Ltd.
*
20,195
1,079,625
2,108,238
Entertainment
-
0.2%
Electronic
Arts,
Inc.
6,096
744,809
Netflix,
Inc.
*
1,751
516,335
Take-Two
Interactive
Software,
Inc.
*
3,311
344,775
1,605,919
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.5%
American
Tower
Corp.
4,094
867,355
Digital
Realty
Trust,
Inc.
3,200
320,864
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.5%
(continued)
Mid-America
Apartment
Communities,
Inc.
10,260
1,610,717
Omega
Healthcare
Investors,
Inc.
37,449
1,046,700
3,845,636
Food
&
Staples
Retailing
-
0.8%
BJ's
Wholesale
Club
Holdings,
Inc.
*
8,288
548,334
Casey's
General
Stores,
Inc.
3,064
687,408
Costco
Wholesale
Corp.
6,245
2,850,842
Kroger
Co.
(The)
29,294
1,305,927
Walmart,
Inc.
3,001
425,512
5,818,023
Food
Products
-
5.4%
Archer-Daniels-Midland
Co.
19,439
1,804,911
Bunge
Ltd.
11,017
1,099,166
Campbell
Soup
Co.
119,864
6,802,282
Flowers
Foods,
Inc.
73,110
2,101,181
General
Mills,
Inc.
97,637
8,186,863
Hershey
Co.
(The)
19,481
4,511,215
J
M
Smucker
Co.
(The)
34,314
5,437,397
Kellogg
Co.
51,154
3,644,211
Kraft
Heinz
Co.
(The)
54,765
2,229,483
Lamb
Weston
Holdings,
Inc.
6,873
614,171
Post
Holdings,
Inc.
*
15,988
1,443,077
Tyson
Foods,
Inc.,
Class
A
5,543
345,052
38,219,009
Gas
Utilities
-
0.4%
Atmos
Energy
Corp.
9,639
1,080,243
National
Fuel
Gas
Co.
27,297
1,727,900
2,808,143
Health
Care
Equipment
&
Supplies
-
1.7%
Abbott
Laboratories
15,884
1,743,904
Align
Technology,
Inc.
*
1,400
295,260
Boston
Scientific
Corp.
*
17,375
803,941
Dexcom,
Inc.
*
27,010
3,058,612
Edwards
Lifesciences
Corp.
*
9,810
731,924
Hologic,
Inc.
*
8,007
599,004
IDEXX
Laboratories,
Inc.
*
5,587
2,279,273
Insulet
Corp.
*
4,343
1,278,536
Intuitive
Surgical,
Inc.
*
3,924
1,041,233
Stryker
Corp.
1,647
402,675
12,234,362
Health
Care
Providers
&
Services
-
6.2%
AmerisourceBergen
Corp.
14,181
2,349,933
Cardinal
Health,
Inc.
4,232
325,314
Cigna
Corp.
12,313
4,079,789
CVS
Health
Corp.
22,698
2,115,227
Elevance
Health,
Inc.
4,484
2,300,157
HCA
Healthcare,
Inc.
6,500
1,559,740
Humana,
Inc.
1,102
564,433
26
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
6.2%
(continued)
McKesson
Corp.
20,655
7,748,104
Molina
Healthcare,
Inc.
*
4,912
1,622,041
UnitedHealth
Group,
Inc.
40,321
21,377,388
44,042,126
Health
Care
Technology
-
0.2%
Veeva
Systems,
Inc.,
Class
A
*
10,531
1,699,493
Hotels,
Restaurants
&
Leisure
-
1.4%
Chipotle
Mexican
Grill,
Inc.
*
2,068
2,869,329
Domino's
Pizza,
Inc.
1,642
568,789
McDonald's
Corp.
21,662
5,708,587
Starbucks
Corp.
9,912
983,270
10,129,975
Household
Durables
-
0.2%
Garmin
Ltd.
12,279
1,133,229
Tempur
Sealy
International,
Inc.
14,032
481,718
1,614,947
Household
Products
-
1.7%
Colgate-Palmolive
Co.
33,837
2,666,017
Kimberly-Clark
Corp.
3,592
487,614
Procter
&
Gamble
Co.
(The)
50,365
7,633,320
Reynolds
Consumer
Products,
Inc.
46,588
1,396,708
12,183,659
Industrial
Conglomerates
-
0.2%
Honeywell
International,
Inc.
5,345
1,145,433
Insurance
-
4.0%
American
Financial
Group,
Inc.
24,987
3,430,215
Arthur
J
Gallagher
&
Co.
7,060
1,331,092
Assured
Guaranty
Ltd.
38,258
2,381,943
Axis
Capital
Holdings
Ltd.
32,452
1,757,925
Chubb
Ltd.
16,196
3,572,838
Erie
Indemnity
Co.,
Class
A
4,412
1,097,353
Everest
Re
Group
Ltd.
5,939
1,967,412
Hanover
Insurance
Group,
Inc.
(The)
17,866
2,414,232
Progressive
Corp.
(The)
21,600
2,801,736
Reinsurance
Group
of
America,
Inc.
6,288
893,462
Travelers
Cos.,
Inc.
(The)
6,028
1,130,190
Unum
Group
5,278
216,556
W
R
Berkley
Corp.
47,745
3,464,855
White
Mountains
Insurance
Group
Ltd.
1,357
1,919,246
28,379,055
Interactive
Media
&
Services
-
0.4%
Alphabet,
Inc.,
Class
A
*
30,180
2,662,781
Meta
Platforms,
Inc.,
Class
A
*
1,967
236,709
2,899,490
Internet
&
Direct
Marketing
Retail
-
0.3%
Amazon.com,
Inc.
*
20,560
1,727,040
INVESTMENTS
SHARES
VALUE
($)
IT
Services
-
2.1%
Accenture
plc,
Class
A
16,959
4,525,340
Automatic
Data
Processing,
Inc.
3,597
859,179
EPAM
Systems,
Inc.
*
2,662
872,444
Fiserv,
Inc.
*
6,637
670,802
International
Business
Machines
Corp.
1,660
233,877
Mastercard,
Inc.,
Class
A
11,061
3,846,242
Visa,
Inc.,
Class
A
19,736
4,100,351
15,108,235
Life
Sciences
Tools
&
Services
-
3.2%
Agilent
Technologies,
Inc.
4,263
637,958
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,173
913,725
Charles
River
Laboratories
International,
Inc.
*
4,581
998,200
Danaher
Corp.
30,504
8,096,371
IQVIA
Holdings,
Inc.
*
3,319
680,030
PerkinElmer,
Inc.
6,856
961,348
Thermo
Fisher
Scientific,
Inc.
19,433
10,701,559
22,989,191
Machinery
-
1.4%
Caterpillar,
Inc.
4,750
1,137,910
Cummins,
Inc.
1,241
300,682
Deere
&
Co.
9,793
4,198,847
Illinois
Tool
Works,
Inc.
7,323
1,613,257
PACCAR,
Inc.
4,266
422,206
Parker-Hannifin
Corp.
4,198
1,221,618
Xylem,
Inc.
6,645
734,737
9,629,257
Metals
&
Mining
-
0.8%
Freeport-McMoRan,
Inc.
36,034
1,369,292
Nucor
Corp.
15,627
2,059,795
Reliance
Steel
&
Aluminum
Co.
3,454
699,228
Steel
Dynamics,
Inc.
12,307
1,202,394
5,330,709
Multiline
Retail
-
0.8%
Dollar
General
Corp.
13,481
3,319,696
Target
Corp.
14,466
2,156,013
5,475,709
Multi-Utilities
-
2.1%
Consolidated
Edison,
Inc.
98,025
9,342,763
Sempra
Energy
37,411
5,781,496
15,124,259
Oil,
Gas
&
Consumable
Fuels
-
11.5%
Cheniere
Energy,
Inc.
18,827
2,823,297
Chesapeake
Energy
Corp.
33,084
3,122,137
Chevron
Corp.
58,444
10,490,114
ConocoPhillips
18,475
2,180,050
Devon
Energy
Corp.
175,847
10,816,349
27
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
11.5%
(continued)
Diamondback
Energy,
Inc.
26,384
3,608,803
EOG
Resources,
Inc.
14,719
1,906,405
EQT
Corp.
5,091
172,229
Exxon
Mobil
Corp.
238,302
26,284,711
HF
Sinclair
Corp.
7,759
402,614
Marathon
Oil
Corp.
329,886
8,930,014
Marathon
Petroleum
Corp.
10,789
1,255,732
Occidental
Petroleum
Corp.
63,784
4,017,754
Targa
Resources
Corp.
68,249
5,016,301
Valero
Energy
Corp.
3,245
411,661
81,438,171
Personal
Products
-
0.5%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
14,828
3,678,975
Pharmaceuticals
-
5.7%
Bristol-Myers
Squibb
Co.
48,480
3,488,136
Eli
Lilly
&
Co.
30,177
11,039,954
Johnson
&
Johnson
45,269
7,996,769
Merck
&
Co.,
Inc.
114,019
12,650,408
Pfizer,
Inc.
74,461
3,815,381
Zoetis,
Inc.
7,738
1,134,004
40,124,652
Professional
Services
-
0.7%
Booz
Allen
Hamilton
Holding
Corp.
8,867
926,779
CoStar
Group,
Inc.
*
29,300
2,264,304
FTI
Consulting,
Inc.
*
8,376
1,330,109
Verisk
Analytics,
Inc.
4,134
729,320
5,250,512
Road
&
Rail
-
1.0%
CSX
Corp.
31,383
972,245
JB
Hunt
Transport
Services,
Inc.
4,187
730,045
Norfolk
Southern
Corp.
2,500
616,050
Old
Dominion
Freight
Line,
Inc.
11,852
3,363,361
Union
Pacific
Corp.
5,640
1,167,875
6,849,576
Semiconductors
&
Semiconductor
Equipment
-
2.8%
Advanced
Micro
Devices,
Inc.
*
18,062
1,169,876
Analog
Devices,
Inc.
3,373
553,273
Applied
Materials,
Inc.
6,626
645,240
Broadcom,
Inc.
3,826
2,139,231
Enphase
Energy,
Inc.
*
2,626
695,785
First
Solar,
Inc.
*
1,708
255,841
KLA
Corp.
9,827
3,705,074
Lam
Research
Corp.
1,419
596,406
Monolithic
Power
Systems,
Inc.
3,941
1,393,577
NVIDIA
Corp.
15,468
2,260,494
QUALCOMM,
Inc.
28,277
3,108,773
Skyworks
Solutions,
Inc.
3,632
330,984
Teradyne,
Inc.
9,768
853,235
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
2.8%
(continued)
Texas
Instruments,
Inc.
12,751
2,106,720
19,814,509
Software
-
5.1%
Adobe,
Inc.
*
8,721
2,934,878
Autodesk,
Inc.
*
5,260
982,936
Cadence
Design
Systems,
Inc.
*
15,781
2,535,060
Fortinet,
Inc.
*
14,380
703,038
Gen
Digital,
Inc.
25,570
547,965
Intuit,
Inc.
3,380
1,315,564
Microsoft
Corp.
63,807
15,302,195
Oracle
Corp.
3,442
281,349
Palo
Alto
Networks,
Inc.
*
3,219
449,179
Paycom
Software,
Inc.
*
5,862
1,819,037
Paylocity
Holding
Corp.
*
4,231
821,914
Salesforce,
Inc.
*
3,329
441,392
ServiceNow,
Inc.
*
11,738
4,557,513
Synopsys,
Inc.
*
9,326
2,977,699
Zscaler,
Inc.
*
2,599
290,828
35,960,547
Specialty
Retail
-
2.3%
AutoNation,
Inc.
*
16,751
1,797,382
AutoZone,
Inc.
*
572
1,410,655
Best
Buy
Co.,
Inc.
3,192
256,030
Dick's
Sporting
Goods,
Inc.
13,709
1,649,056
Home
Depot,
Inc.
(The)
6,141
1,939,696
Lowe's
Cos.,
Inc.
18,011
3,588,512
O'Reilly
Automotive,
Inc.
*
1,264
1,066,854
Penske
Automotive
Group,
Inc.
5,891
677,053
Ross
Stores,
Inc.
2,920
338,924
TJX
Cos.,
Inc.
(The)
5,956
474,097
Tractor
Supply
Co.
7,711
1,734,744
Ulta
Beauty,
Inc.
*
1,053
493,931
Williams-Sonoma,
Inc.
5,353
615,167
16,042,101
Technology
Hardware,
Storage
&
Peripherals
-
6.9%
Apple,
Inc.
369,746
48,041,098
Dell
Technologies,
Inc.,
Class
C
9,398
377,987
HP,
Inc.
17,380
467,001
48,886,086
Textiles,
Apparel
&
Luxury
Goods
-
0.3%
Lululemon
Athletica,
Inc.
*
4,803
1,538,785
NIKE,
Inc.,
Class
B
4,315
504,898
2,043,683
Tobacco
-
1.1%
Altria
Group,
Inc.
83,287
3,807,049
Philip
Morris
International,
Inc.
38,302
3,876,545
7,683,594
28
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Trading
Companies
&
Distributors
-
0.9%
Fastenal
Co.
31,130
1,473,072
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
3,123
255,149
United
Rentals,
Inc.
*
6,146
2,184,411
Watsco,
Inc.
3,619
902,579
WW
Grainger,
Inc.
2,686
1,494,087
6,309,298
Wireless
Telecommunication
Services
-
0.5%
T-Mobile
US,
Inc.
*
26,655
3,731,700
TOTAL
COMMON
STOCKS
(Cost
$443,896,488)
699,252,482
SHORT-TERM
INVESTMENTS
-
1.5%
INVESTMENT
COMPANIES
-
1.5%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(a)
(Cost
$10,993,680)
11,003,208
10,998,807
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.1%
(Cost
$454,890,168)
710,251,289
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.1)%
(b)
(716,060)
NET
ASSETS
-
100.0%
709,535,229
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
8,237,109
1.2
%
Consumer
Discretionary
43,448,259
6.1
Consumer
Staples
92,124,401
13.0
Energy
83,546,409
11.8
Financials
71,397,680
10.1
Health
Care
143,529,637
20.2
Industrials
65,091,015
9.2
Information
Technology
126,973,995
17.9
Materials
21,832,528
3.1
Real
Estate
3,845,636
0.5
Utilities
39,225,813
5.5
Investment
Companies
10,998,807
1.5
Total
Investments
In
Securities
At
Value
710,251,289
100.1
Liabilities
in
Excess
of
Other
Assets
(b
)
(716,060)
(0.1)
Net
Assets
$
709,535,229
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(b)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
31
3/2023
USD
$
5,984,550
$
(212,013)
$
(212,013)
29
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.6%
Aerospace
&
Defense
-
0.4%
Aerojet
Rocketdyne
Holdings,
Inc.
*
1,272
71,143
AeroVironment,
Inc.
*
1,047
89,686
AerSale
Corp.
*
7,162
116,168
Maxar
Technologies,
Inc.
4,188
216,687
Parsons
Corp.
*
5,885
272,181
765,865
Air
Freight
&
Logistics
-
0.6%
Air
Transport
Services
Group,
Inc.
*
10,981
285,287
Atlas
Air
Worldwide
Holdings,
Inc.
*
3,760
379,008
Forward
Air
Corp.
2,143
224,779
Hub
Group,
Inc.,
Class
A
*
6,051
480,994
1,370,068
Auto
Components
-
0.6%
Dorman
Products,
Inc.
*
886
71,651
Fox
Factory
Holding
Corp.
*
1,230
112,213
Gentherm,
Inc.
*
6,563
428,498
LCI
Industries
790
73,036
Modine
Manufacturing
Co.
*
3,048
60,533
Patrick
Industries,
Inc.
1,244
75,386
Visteon
Corp.
*
2,318
303,264
XPEL,
Inc.
*(a)
2,609
156,697
1,281,278
Automobiles
-
0.0%
(b)
Winnebago
Industries,
Inc.
1,098
57,865
Banks
-
10.4%
ACNB
Corp.
2,161
86,029
Amalgamated
Financial
Corp.
7,704
177,500
Amerant
Bancorp,
Inc.
8,046
215,955
Associated
Banc-Corp.
3,081
71,140
BancFirst
Corp.
12,314
1,085,849
Bancorp,
Inc.
(The)
*
9,159
259,932
Bankwell
Financial
Group,
Inc.
4,185
123,165
Banner
Corp.
2,759
174,369
BayCom
Corp.
5,640
107,047
BCB
Bancorp,
Inc.
10,795
194,202
Berkshire
Hills
Bancorp,
Inc.
21,102
630,950
Byline
Bancorp,
Inc.
11,015
253,015
Cadence
Bank
2,631
64,880
Capital
City
Bank
Group,
Inc.
2,090
67,925
Cathay
General
Bancorp
1,410
57,514
City
Holding
Co.
4,978
463,402
Coastal
Financial
Corp.
*
5,727
272,147
Community
Bank
System,
Inc.
1,624
102,231
Community
Trust
Bancorp,
Inc.
2,376
109,130
ConnectOne
Bancorp,
Inc.
2,742
66,384
CrossFirst
Bankshares,
Inc.
*
5,152
63,936
Customers
Bancorp,
Inc.
*
3,559
100,862
CVB
Financial
Corp.
48,785
1,256,214
Dime
Community
Bancshares,
Inc.
2,260
71,936
Eastern
Bankshares,
Inc.
15,677
270,428
INVESTMENTS
SHARES
VALUE
($)
Banks
-
10.4%
(continued)
Enterprise
Financial
Services
Corp.
1,410
69,034
Equity
Bancshares,
Inc.,
Class
A
7,849
256,427
Esquire
Financial
Holdings,
Inc.
5,510
238,363
Farmers
&
Merchants
Bancorp,
Inc.
8,496
230,921
First
BanCorp
34,564
439,654
First
Business
Financial
Services,
Inc.
5,550
202,853
First
Commonwealth
Financial
Corp.
5,869
81,990
First
Financial
Bankshares,
Inc.
4,501
154,834
First
Financial
Corp.
3,510
161,741
First
Foundation,
Inc.
10,448
149,720
First
Guaranty
Bancshares,
Inc.
3,434
80,527
First
Internet
Bancorp
8,042
195,260
First
Interstate
BancSystem,
Inc.,
Class
A
7,549
291,769
First
Merchants
Corp.
1,655
68,037
First
Western
Financial,
Inc.
*
1,825
51,374
Flushing
Financial
Corp.
17,949
347,852
Fulton
Financial
Corp.
9,705
163,335
FVCBankcorp,
Inc.
*
4,274
81,505
Great
Southern
Bancorp,
Inc.
2,451
145,810
Hancock
Whitney
Corp.
23,139
1,119,696
Hanmi
Financial
Corp.
33,930
839,767
Heritage
Financial
Corp.
3,925
120,262
Home
BancShares,
Inc.
11,922
271,702
HomeStreet,
Inc.
5,133
141,568
HomeTrust
Bancshares,
Inc.
7,178
173,492
Hope
Bancorp,
Inc.
11,025
141,230
Independent
Bank
Corp.
8,806
743,491
Independent
Bank
Group,
Inc.
981
58,938
International
Bancshares
Corp.
4,965
227,198
Lakeland
Financial
Corp.
6,746
492,256
Metropolitan
Bank
Holding
Corp.
*
1,731
101,558
MVB
Financial
Corp.
3,402
74,912
NBT
Bancorp,
Inc.
7,240
314,361
Nicolet
Bankshares,
Inc.
*
945
75,402
Northeast
Bank
4,010
168,821
Northwest
Bancshares,
Inc.
17,415
243,462
OFG
Bancorp
3,208
88,412
Old
National
Bancorp
25,883
465,376
Origin
Bancorp,
Inc.
6,543
240,128
Park
National
Corp.
2,088
293,886
Parke
Bancorp,
Inc.
1,434
29,741
PCB
Bancorp
5,598
99,029
Peapack-Gladstone
Financial
Corp.
5,456
203,072
Preferred
Bank
2,485
185,431
QCR
Holdings,
Inc.
3,913
194,241
S&T
Bancorp,
Inc.
2,397
81,929
ServisFirst
Bancshares,
Inc.
15,347
1,057,562
Shore
Bancshares,
Inc.
6,968
121,452
Southside
Bancshares,
Inc.
2,996
107,826
SouthState
Corp.
7,547
576,289
Stock
Yards
Bancorp,
Inc.
7,567
491,704
30
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Banks
-
10.4%
(continued)
TriCo
Bancshares
6,351
323,837
Triumph
Financial,
Inc.
*
4,985
243,617
Trustmark
Corp.
3,865
134,927
UMB
Financial
Corp.
4,284
357,800
United
Bankshares,
Inc.
14,160
573,338
United
Community
Banks,
Inc.
4,257
143,887
Unity
Bancorp,
Inc.
5,484
149,878
Washington
Federal,
Inc.
8,502
285,242
WesBanco,
Inc.
2,649
97,960
Westamerica
Bancorp
6,534
385,571
21,997,399
Beverages
-
1.3%
Celsius
Holdings,
Inc.
*
9,290
966,531
Coca-Cola
Consolidated,
Inc.
1,363
698,347
MGP
Ingredients,
Inc.
4,923
523,709
National
Beverage
Corp.
*
11,468
533,606
2,722,193
Biotechnology
-
7.3%
ACADIA
Pharmaceuticals,
Inc.
*
10,800
171,936
Adicet
Bio,
Inc.
*
10,734
95,962
ADMA
Biologics,
Inc.
*
73,150
283,822
Akero
Therapeutics,
Inc.
*
5,615
307,702
Alkermes
plc
*
20,822
544,079
Amicus
Therapeutics,
Inc.
*
27,633
337,399
AnaptysBio,
Inc.
*
5,714
177,077
Anavex
Life
Sciences
Corp.
*
20,655
191,265
Apellis
Pharmaceuticals,
Inc.
*
17,190
888,895
Arcus
Biosciences,
Inc.
*
5,273
109,046
Arcutis
Biotherapeutics,
Inc.
*
6,849
101,365
Arrowhead
Pharmaceuticals,
Inc.
*
3,075
124,722
Avid
Bioservices,
Inc.
*
16,132
222,138
BioCryst
Pharmaceuticals,
Inc.
*
19,140
219,727
Catalyst
Pharmaceuticals,
Inc.
*
24,058
447,479
Celldex
Therapeutics,
Inc.
*
6,718
299,421
Cerevel
Therapeutics
Holdings,
Inc.
*
16,405
517,414
Chinook
Therapeutics,
Inc.
*
15,152
396,982
Cogent
Biosciences,
Inc.
*
11,738
135,691
Crinetics
Pharmaceuticals,
Inc.
*
6,109
111,795
CTI
BioPharma
Corp.
*
36,065
216,751
Cytokinetics,
Inc.
*
17,592
806,065
Day
One
Biopharmaceuticals,
Inc.
*
9,474
203,881
Deciphera
Pharmaceuticals,
Inc.
*
4,070
66,707
Design
Therapeutics,
Inc.
*
4,402
45,165
Dynavax
Technologies
Corp.
*
5,254
55,903
Enanta
Pharmaceuticals,
Inc.
*
2,457
114,300
Enochian
Biosciences,
Inc.
*
20,646
21,265
Fate
Therapeutics,
Inc.
*
3,831
38,655
FibroGen,
Inc.
*
9,302
149,018
Foghorn
Therapeutics,
Inc.
*
4,926
31,428
Geron
Corp.
*
85,424
206,726
Gossamer
Bio,
Inc.
*
14,043
30,473
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
7.3%
(continued)
Halozyme
Therapeutics,
Inc.
*
18,798
1,069,606
ImmunoGen,
Inc.
*
26,176
129,833
Immunovant,
Inc.
*
4,905
87,064
Insmed,
Inc.
*
6,482
129,510
Intellia
Therapeutics,
Inc.
*
2,744
95,738
Ironwood
Pharmaceuticals,
Inc.
*
16,278
201,684
IVERIC
bio,
Inc.
*
17,908
383,410
Karuna
Therapeutics,
Inc.
*
5,214
1,024,551
Keros
Therapeutics,
Inc.
*
2,123
101,947
Kezar
Life
Sciences,
Inc.
*
14,691
103,425
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
4,114
61,628
Krystal
Biotech,
Inc.
*
3,707
293,669
Madrigal
Pharmaceuticals,
Inc.
*
1,873
543,638
MannKind
Corp.
*
38,474
202,758
Mirum
Pharmaceuticals,
Inc.
*
11,388
222,066
PDL
BioPharma,
Inc.
(3)*(c)
34,242
34,142
Point
Biopharma
Global,
Inc.
*
10,604
77,303
Prometheus
Biosciences,
Inc.
*
9,748
1,072,280
Prothena
Corp.
plc
(Ireland)
*
2,153
129,718
PTC
Therapeutics,
Inc.
*
10,011
382,120
Sage
Therapeutics,
Inc.
*
2,760
105,266
Syndax
Pharmaceuticals,
Inc.
*
9,592
244,116
Travere
Therapeutics,
Inc.
*
13,015
273,705
Vaxcyte,
Inc.
*
11,409
547,062
Vera
Therapeutics,
Inc.
*
6,187
119,718
Viridian
Therapeutics,
Inc.
*
7,399
216,125
15,522,336
Building
Products
-
1.1%
AAON,
Inc.
6,349
478,207
CSW
Industrials,
Inc.
2,595
300,838
Gibraltar
Industries,
Inc.
*
4,161
190,907
Griffon
Corp.
4,140
148,171
Simpson
Manufacturing
Co.,
Inc.
5,349
474,242
UFP
Industries,
Inc.
7,524
596,277
Zurn
Elkay
Water
Solutions
Corp.
5,457
115,415
2,304,057
Capital
Markets
-
1.5%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
2,856
84,823
B
Riley
Financial,
Inc.
7,873
269,257
Brightsphere
Investment
Group,
Inc.
9,045
186,146
Diamond
Hill
Investment
Group,
Inc.
689
127,479
Donnelley
Financial
Solutions,
Inc.
*
13,374
516,905
Focus
Financial
Partners,
Inc.,
Class
A
*
4,686
174,647
Hamilton
Lane,
Inc.,
Class
A
1,998
127,632
Houlihan
Lokey,
Inc.
3,031
264,182
Moelis
&
Co.,
Class
A
3,390
130,074
PJT
Partners,
Inc.,
Class
A
8,225
606,100
31
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
1.5%
(continued)
Silvercrest
Asset
Management
Group,
Inc.,
Class
A
5,450
102,297
StoneX
Group,
Inc.
*
3,131
298,384
Virtus
Investment
Partners,
Inc.
1,122
214,796
3,102,722
Chemicals
-
1.7%
AdvanSix,
Inc.
8,544
324,843
American
Vanguard
Corp.
12,042
261,432
Balchem
Corp.
923
112,707
Cabot
Corp.
4,735
316,487
Hawkins,
Inc.
8,503
328,216
HB
Fuller
Co.
4,454
318,995
Innospec,
Inc.
3,153
324,318
Intrepid
Potash,
Inc.
*
5,938
171,430
Kronos
Worldwide,
Inc.
12,114
113,872
Livent
Corp.
*
25,562
507,917
LSB
Industries,
Inc.
*
21,106
280,710
Sensient
Technologies
Corp.
2,996
218,468
Stepan
Co.
1,189
126,581
Valhi,
Inc.
6,379
140,338
3,546,314
Commercial
Services
&
Supplies
-
0.6%
Casella
Waste
Systems,
Inc.,
Class
A
*
8,498
673,976
CoreCivic,
Inc.,
REIT
*
13,733
158,754
Ennis,
Inc.
3,807
84,363
GEO
Group,
Inc.
(The)
*
14,036
153,694
Heritage-Crystal
Clean,
Inc.
*
3,322
107,899
Quad/Graphics,
Inc.
*
429
1,750
1,180,436
Communications
Equipment
-
1.5%
ADTRAN
Holdings,
Inc.
10,230
192,222
Aviat
Networks,
Inc.
*
3,954
123,325
Calix,
Inc.
*
14,194
971,296
Clearfield,
Inc.
*
3,758
353,778
Digi
International,
Inc.
*
8,206
299,929
Extreme
Networks,
Inc.
*
39,556
724,270
Harmonic,
Inc.
*
17,810
233,311
NetScout
Systems,
Inc.
*
7,715
250,815
3,148,946
Construction
&
Engineering
-
2.2%
Ameresco,
Inc.,
Class
A
*
11,281
644,596
Arcosa,
Inc.
3,741
203,286
Comfort
Systems
USA,
Inc.
5,627
647,555
Concrete
Pumping
Holdings,
Inc.
*
9,702
56,757
Construction
Partners,
Inc.,
Class
A
*
7,283
194,383
Dycom
Industries,
Inc.
*
4,642
434,491
EMCOR
Group,
Inc.
4,406
652,573
Fluor
Corp.
*
25,094
869,758
MYR
Group,
Inc.
*
3,903
359,349
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
2.2%
(continued)
NV5
Global,
Inc.
*
3,272
432,951
Sterling
Infrastructure,
Inc.
*
5,513
180,827
4,676,526
Consumer
Finance
-
0.4%
Consumer
Portfolio
Services,
Inc.
*
12,647
111,926
Encore
Capital
Group,
Inc.
*
3,469
166,304
EZCORP,
Inc.,
Class
A
*
15,046
122,625
Nelnet,
Inc.,
Class
A
4,627
419,900
820,755
Containers
&
Packaging
-
0.3%
Greif,
Inc.,
Class
A
6,359
426,435
O-I
Glass,
Inc.
*
6,220
103,065
529,500
Distributors
-
0.1%
Funko,
Inc.,
Class
A
*
7,032
76,719
Weyco
Group,
Inc.
2,079
43,992
120,711
Diversified
Consumer
Services
-
0.4%
Carriage
Services,
Inc.
4,824
132,853
Laureate
Education,
Inc.,
Class
A
39,196
377,066
Stride,
Inc.
*
8,723
272,855
Universal
Technical
Institute,
Inc.
*
20,707
139,151
921,925
Diversified
Financial
Services
-
0.2%
A-Mark
Precious
Metals,
Inc.
7,222
250,820
Jackson
Financial,
Inc.,
Class
A
5,715
198,825
449,645
Diversified
Telecommunication
Services
-
0.7%
Globalstar,
Inc.
*
258,270
343,499
IDT
Corp.,
Class
B
*
5,434
153,076
Iridium
Communications,
Inc.
*
18,639
958,045
Ooma,
Inc.
*
5,015
68,304
1,522,924
Electric
Utilities
-
1.0%
MGE
Energy,
Inc.
8,387
590,445
Otter
Tail
Corp.
14,307
839,964
Portland
General
Electric
Co.
15,179
743,771
2,174,180
Electrical
Equipment
-
1.5%
Array
Technologies,
Inc.
*
17,785
343,784
Atkore,
Inc.
*
6,701
760,027
Babcock
&
Wilcox
Enterprises,
Inc.
*
30,705
177,168
Bloom
Energy
Corp.,
Class
A
*
18,591
355,460
Encore
Wire
Corp.
1,892
260,264
Enovix
Corp.
*
12,448
154,853
32
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electrical
Equipment
-
1.5%
(continued)
NuScale
Power
Corp.
*
31,645
324,678
Shoals
Technologies
Group,
Inc.,
Class
A
*
16,902
416,972
SunPower
Corp.
*
12,310
221,949
Vicor
Corp.
*
1,200
64,500
3,079,655
Electronic
Equipment,
Instruments
&
Components
-
1.3%
Advanced
Energy
Industries,
Inc.
2,167
185,885
Arlo
Technologies,
Inc.
*
16,710
58,652
Badger
Meter,
Inc.
3,605
393,053
Belden,
Inc.
7,135
513,006
ePlus,
Inc.
*
2,935
129,962
Fabrinet
(Thailand)
*
1,990
255,158
Insight
Enterprises,
Inc.
*
2,223
222,900
Methode
Electronics,
Inc.
3,694
163,903
Napco
Security
Technologies,
Inc.
*
4,475
122,973
Novanta,
Inc.
*
1,513
205,571
PC
Connection,
Inc.
3,074
144,171
Rogers
Corp.
*
1,006
120,056
Sanmina
Corp.
*
4,288
245,660
ScanSource,
Inc.
*
2,805
81,962
2,842,912
Energy
Equipment
&
Services
-
4.2%
Archrock,
Inc.
19,684
176,762
Borr
Drilling
Ltd.
(United
Arab
Emirates)
*
33,522
166,604
Cactus,
Inc.,
Class
A
7,674
385,695
ChampionX
Corp.
13,468
390,437
Diamond
Offshore
Drilling,
Inc.
*
36,874
383,490
Helix
Energy
Solutions
Group,
Inc.
*
17,513
129,246
Helmerich
&
Payne,
Inc.
18,262
905,247
Liberty
Energy,
Inc.,
Class
A
21,189
339,236
Nabors
Industries
Ltd.
*
2,105
326,001
NexTier
Oilfield
Solutions,
Inc.
*
54,511
503,682
Noble
Corp.
plc
*
14,852
560,069
Patterson-UTI
Energy,
Inc.
45,611
768,089
RPC,
Inc.
48,795
433,788
Select
Energy
Services,
Inc.,
Class
A
20,973
193,791
Solaris
Oilfield
Infrastructure,
Inc.,
Class
A
8,663
86,024
TETRA
Technologies,
Inc.
*
41,860
144,836
Tidewater,
Inc.
*
18,591
685,078
US
Silica
Holdings,
Inc.
*
16,722
209,025
Valaris
Ltd.
*
17,293
1,169,353
Weatherford
International
plc
*
18,882
961,471
8,917,924
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.4%
Agree
Realty
Corp.
10,516
745,900
Alexander
&
Baldwin,
Inc.
4,147
77,673
Apartment
Investment
and
Management
Co.,
Class
A
14,888
106,003
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.4%
(continued)
Apple
Hospitality
REIT,
Inc.
12,682
200,122
Armada
Hoffler
Properties,
Inc.
11,066
127,259
Braemar
Hotels
&
Resorts,
Inc.
17,910
73,610
Broadstone
Net
Lease,
Inc.
3,731
60,479
BRT
Apartments
Corp.
9,004
176,839
Centerspace
1,816
106,545
Chatham
Lodging
Trust
13,588
166,725
CTO
Realty
Growth,
Inc.
12,921
236,196
Elme
Communities
3,702
65,896
Equity
Commonwealth
24,835
620,130
Farmland
Partners,
Inc.
15,156
188,844
Four
Corners
Property
Trust,
Inc.
5,926
153,661
Gladstone
Land
Corp.
3,128
57,399
Independence
Realty
Trust,
Inc.
16,620
280,213
Indus
Realty
Trust,
Inc.
1,511
95,933
Kite
Realty
Group
Trust
10,111
212,836
LTC
Properties,
Inc.
6,428
228,387
National
Health
Investors,
Inc.
1,611
84,126
NexPoint
Residential
Trust,
Inc.
2,673
116,329
Phillips
Edison
&
Co.,
Inc.
7,104
226,191
Physicians
Realty
Trust
22,555
326,371
PotlatchDeltic
Corp.
3,535
155,505
Retail
Opportunity
Investments
Corp.
7,401
111,237
RPT
Realty
6,152
61,766
Ryman
Hospitality
Properties,
Inc.
5,030
411,353
Saul
Centers,
Inc.
3,820
155,398
SITE
Centers
Corp.
17,438
238,203
Tanger
Factory
Outlet
Centers,
Inc.
19,832
355,786
Terreno
Realty
Corp.
5,393
306,700
Urstadt
Biddle
Properties,
Inc.,
Class
A
14,369
272,292
Whitestone
REIT
31,937
307,873
7,109,780
Food
&
Staples
Retailing
-
1.3%
Andersons,
Inc.
(The)
4,427
154,901
Chefs'
Warehouse,
Inc.
(The)
*
3,281
109,192
Ingles
Markets,
Inc.,
Class
A
5,760
555,610
Natural
Grocers
by
Vitamin
Cottage,
Inc.
6,937
63,404
SpartanNash
Co.
10,252
310,020
Sprouts
Farmers
Market,
Inc.
*
14,131
457,420
United
Natural
Foods,
Inc.
*
10,937
423,371
Weis
Markets,
Inc.
7,341
604,091
2,678,009
Food
Products
-
1.4%
Alico,
Inc.
6,296
150,285
BRC,
Inc.,
Class
A
*
18,007
110,023
Cal-Maine
Foods,
Inc.
12,149
661,513
Hostess
Brands,
Inc.
*
34,659
777,748
Lancaster
Colony
Corp.
688
135,742
Seneca
Foods
Corp.,
Class
A
*
1,254
76,431
Simply
Good
Foods
Co.
(The)
*
7,266
276,326
33
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Food
Products
-
1.4%
(continued)
SunOpta,
Inc.
(Canada)
*
9,949
83,970
Tootsie
Roll
Industries,
Inc.
6,684
284,538
TreeHouse
Foods,
Inc.
*
6,334
312,773
2,869,349
Gas
Utilities
-
2.1%
Brookfield
Infrastructure
Corp.,
Class
A
(Canada)
1,406
54,693
Chesapeake
Utilities
Corp.
5,322
628,954
New
Jersey
Resources
Corp.
17,007
843,887
Northwest
Natural
Holding
Co.
6,054
288,110
ONE
Gas,
Inc.
13,440
1,017,677
Southwest
Gas
Holdings,
Inc.
15,265
944,598
Spire,
Inc.
8,893
612,372
4,390,291
Health
Care
Equipment
&
Supplies
-
2.8%
Alphatec
Holdings,
Inc.
*
20,249
250,075
AngioDynamics,
Inc.
*
4,736
65,215
AtriCure,
Inc.
*
4,543
201,618
Atrion
Corp.
257
143,779
Axonics,
Inc.
*
4,271
267,066
Cutera,
Inc.
*
1,599
70,708
Glaukos
Corp.
*
2,261
98,760
Haemonetics
Corp.
*
5,921
465,687
Heska
Corp.
*
1,044
64,895
Inari
Medical,
Inc.
*
3,961
251,761
Inspire
Medical
Systems,
Inc.
*
3,461
871,757
iRadimed
Corp.
2,274
64,331
iRhythm
Technologies,
Inc.
*
5,184
485,585
Lantheus
Holdings,
Inc.
*
11,974
610,195
LeMaitre
Vascular,
Inc.
1,447
66,591
Merit
Medical
Systems,
Inc.
*
2,719
192,016
PROCEPT
BioRobotics
Corp.
*
2,419
100,485
Shockwave
Medical,
Inc.
*
5,058
1,039,975
STAAR
Surgical
Co.
*
1,687
81,887
TransMedics
Group,
Inc.
*
5,362
330,943
UFP
Technologies,
Inc.
*
1,945
229,296
5,952,625
Health
Care
Providers
&
Services
-
2.2%
Addus
HomeCare
Corp.
*
4,847
482,228
Agiliti,
Inc.
*
5,634
91,891
AMN
Healthcare
Services,
Inc.
*
6,105
627,716
Apollo
Medical
Holdings,
Inc.
*
2,203
65,187
CorVel
Corp.
*
1,613
234,417
Cross
Country
Healthcare,
Inc.
*
15,230
404,661
Ensign
Group,
Inc.
(The)
6,328
598,692
Fulgent
Genetics,
Inc.
*
2,113
62,925
HealthEquity,
Inc.
*
3,024
186,399
ModivCare,
Inc.
*
1,915
171,833
National
HealthCare
Corp.
1,803
107,278
Option
Care
Health,
Inc.
*
26,841
807,646
Owens
&
Minor,
Inc.
*
11,767
229,810
Patterson
Cos.,
Inc.
2,954
82,801
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
2.2%
(continued)
Privia
Health
Group,
Inc.
*
14,845
337,130
R1
RCM,
Inc.
*
9,951
108,963
Select
Medical
Holdings
Corp.
5,752
142,822
4,742,399
Health
Care
Technology
-
0.6%
Allscripts
Healthcare
Solutions,
Inc.
*
16,019
282,575
Computer
Programs
and
Systems,
Inc.
*
2,552
69,465
Evolent
Health,
Inc.,
Class
A
*
26,133
733,815
NextGen
Healthcare,
Inc.
*
6,882
129,244
1,215,099
Hotels,
Restaurants
&
Leisure
-
1.9%
Bowlero
Corp.
*
27,336
368,489
Dave
&
Buster's
Entertainment,
Inc.
*
2,160
76,550
Everi
Holdings,
Inc.
*
12,410
178,083
Golden
Entertainment,
Inc.
*
7,326
273,992
Hilton
Grand
Vacations,
Inc.
*
6,992
269,472
Inspired
Entertainment,
Inc.
*
8,746
110,812
Kura
Sushi
USA,
Inc.,
Class
A
*
4,410
210,269
Light
&
Wonder,
Inc.
*
4,186
245,300
Monarch
Casino
&
Resort,
Inc.
*
1,222
93,960
Papa
John's
International,
Inc.
1,986
163,468
Red
Rock
Resorts,
Inc.,
Class
A
9,104
364,251
SeaWorld
Entertainment,
Inc.
*
6,250
334,437
Target
Hospitality
Corp.
*
30,792
466,191
Texas
Roadhouse,
Inc.
5,823
529,602
Wingstop,
Inc.
2,347
322,994
Xponential
Fitness,
Inc.,
Class
A
*
4,263
97,751
4,105,621
Household
Durables
-
0.2%
Cavco
Industries,
Inc.
*
295
66,744
Ethan
Allen
Interiors,
Inc.
5,340
141,083
Green
Brick
Partners,
Inc.
*
9,202
222,964
Installed
Building
Products,
Inc.
795
68,052
498,843
Household
Products
-
0.1%
Central
Garden
&
Pet
Co.,
Class
A
*
3,326
119,071
Independent
Power
and
Renewable
Electricity
Producers
-
1.0%
Altus
Power,
Inc.
*
15,678
102,221
Clearway
Energy,
Inc.,
Class
C
29,443
938,348
Montauk
Renewables,
Inc.
*
24,727
272,739
Ormat
Technologies,
Inc.
8,262
714,498
2,027,806
Insurance
-
2.6%
American
Equity
Investment
Life
Holding
Co.
8,399
383,162
CNO
Financial
Group,
Inc.
19,847
453,504
34
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
2.6%
(continued)
Donegal
Group,
Inc.,
Class
A
12,407
176,179
Genworth
Financial,
Inc.,
Class
A
*
44,714
236,537
HCI
Group,
Inc.
1,734
68,649
Horace
Mann
Educators
Corp.
2,139
79,934
Kinsale
Capital
Group,
Inc.
4,439
1,160,887
MBIA,
Inc.
*
10,912
140,219
Palomar
Holdings,
Inc.
*
1,067
48,186
ProAssurance
Corp.
4,101
71,645
RLI
Corp.
10,607
1,392,381
Safety
Insurance
Group,
Inc.
7,206
607,178
Selective
Insurance
Group,
Inc.
5,243
464,582
Stewart
Information
Services
Corp.
2,176
92,981
United
Fire
Group,
Inc.
7,667
209,769
5,585,793
Interactive
Media
&
Services
-
0.1%
DHI
Group,
Inc.
*
37,963
200,824
IT
Services
-
1.1%
CSG
Systems
International,
Inc.
4,867
278,392
Edgio,
Inc.
*
44,711
50,523
EVERTEC,
Inc.
3,230
104,587
ExlService
Holdings,
Inc.
*
5,263
891,710
Hackett
Group,
Inc.
(The)
8,568
174,530
Information
Services
Group,
Inc.
14,691
67,579
International
Money
Express,
Inc.
*
9,898
241,214
Perficient,
Inc.
*
1,968
137,426
PFSweb,
Inc.
11,023
67,792
TTEC
Holdings,
Inc.
4,738
209,088
Verra
Mobility
Corp.,
Class
A
*
7,465
103,241
2,326,082
Leisure
Products
-
0.5%
Acushnet
Holdings
Corp.
11,396
483,874
Malibu
Boats,
Inc.,
Class
A
*
1,859
99,085
MasterCraft
Boat
Holdings,
Inc.
*
3,895
100,764
Vista
Outdoor,
Inc.
*
13,087
318,930
1,002,653
Life
Sciences
Tools
&
Services
-
0.2%
CryoPort,
Inc.
*
4,724
81,961
Medpace
Holdings,
Inc.
*
1,799
382,126
464,087
Machinery
-
2.5%
Alamo
Group,
Inc.
1,547
219,055
Chart
Industries,
Inc.
*
5,106
588,364
Columbus
McKinnon
Corp.
2,322
75,395
Energy
Recovery,
Inc.
*
15,172
310,874
EnPro
Industries,
Inc.
733
79,670
Evoqua
Water
Technologies
Corp.
*
15,658
620,057
Franklin
Electric
Co.,
Inc.
2,983
237,894
Greenbrier
Cos.,
Inc.
(The)
3,586
120,239
Kadant,
Inc.
1,781
316,359
Lindsay
Corp.
1,848
300,947
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
2.5%
(continued)
Mueller
Industries,
Inc.
10,649
628,291
Omega
Flex,
Inc.
851
79,415
RBC
Bearings,
Inc.
*
2,522
527,981
Shyft
Group,
Inc.
(The)
12,746
316,866
SPX
Technologies,
Inc.
*
2,896
190,122
Standex
International
Corp.
731
74,862
Titan
International,
Inc.
*
24,655
377,715
Watts
Water
Technologies,
Inc.,
Class
A
1,376
201,212
5,265,318
Marine
-
0.3%
Eagle
Bulk
Shipping,
Inc.
6,131
306,182
Genco
Shipping
&
Trading
Ltd.
5,306
81,500
Matson,
Inc.
3,091
193,219
580,901
Media
-
0.4%
Entravision
Communications
Corp.,
Class
A
17,942
86,122
John
Wiley
&
Sons,
Inc.,
Class
A
3,231
129,434
Scholastic
Corp.
4,251
167,744
TechTarget,
Inc.
*
8,191
360,895
744,195
Metals
&
Mining
-
2.1%
Alpha
Metallurgical
Resources,
Inc.
3,934
575,898
ATI,
Inc.
*
18,163
542,347
Commercial
Metals
Co.
15,907
768,308
Haynes
International,
Inc.
6,297
287,710
Hecla
Mining
Co.
19,446
108,120
Materion
Corp.
1,995
174,583
Piedmont
Lithium,
Inc.
*
1,170
51,503
Ramaco
Resources,
Inc.
9,204
80,903
Ryerson
Holding
Corp.
21,328
645,385
SunCoke
Energy,
Inc.
12,892
111,258
TimkenSteel
Corp.
*
15,007
272,677
Warrior
Met
Coal,
Inc.
14,081
487,766
Worthington
Industries,
Inc.
4,697
233,488
4,339,946
Multiline
Retail
-
0.5%
Dillard's,
Inc.,
Class
A
3,236
1,045,875
Franchise
Group,
Inc.
4,771
113,645
1,159,520
Multi-Utilities
-
0.4%
Avista
Corp.
1,582
70,146
Black
Hills
Corp.
8,714
612,943
Unitil
Corp.
2,570
131,995
815,084
Oil,
Gas
&
Consumable
Fuels
-
10.7%
Amplify
Energy
Corp.
*
28,146
247,403
Arch
Resources,
Inc.
4,013
573,016
35
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
10.7%
(continued)
Ardmore
Shipping
Corp.
(Ireland)
*
9,751
140,512
Berry
Corp.
11,289
90,312
California
Resources
Corp.
14,383
625,804
Callon
Petroleum
Co.
*
3,979
147,581
Centrus
Energy
Corp.,
Class
A
*
3,116
101,208
Chord
Energy
Corp.
6,947
950,419
Civitas
Resources,
Inc.
12,849
744,343
CNX
Resources
Corp.
*
30,619
515,624
Comstock
Resources,
Inc.
41,149
564,153
CONSOL
Energy,
Inc.
12,663
823,095
CVR
Energy,
Inc.
20,907
655,225
Delek
US
Holdings,
Inc.
12,553
338,931
Denbury,
Inc.
*
8,159
709,996
DHT
Holdings,
Inc.
21,206
188,309
Dorian
LPG
Ltd.
21,208
401,892
Earthstone
Energy,
Inc.,
Class
A
*
21,229
302,089
Equitrans
Midstream
Corp.
9,621
64,461
FLEX
LNG
Ltd.
(Norway)
4,211
137,658
Frontline
Ltd.
(Norway)
18,761
227,759
Golar
LNG
Ltd.
(Cameroon)
*
15,761
359,193
Green
Plains,
Inc.
*
10,765
328,332
Gulfport
Energy
Corp.
*
7,198
530,061
HighPeak
Energy,
Inc.
18,668
426,937
International
Seaways,
Inc.
13,356
494,439
Kinetik
Holdings,
Inc.
18,228
602,982
Kosmos
Energy
Ltd.
(Ghana)
*
85,190
541,808
Laredo
Petroleum,
Inc.
*
1,021
52,500
Magnolia
Oil
&
Gas
Corp.,
Class
A
42,426
994,890
Matador
Resources
Co.
25,497
1,459,448
Murphy
Oil
Corp.
24,495
1,053,530
NACCO
Industries,
Inc.,
Class
A
5,612
213,256
NextDecade
Corp.
*
46,246
228,455
Nordic
American
Tankers
Ltd.
45,008
137,724
Northern
Oil
and
Gas,
Inc.
12,701
391,445
Par
Pacific
Holdings,
Inc.
*
2,981
69,308
PBF
Energy,
Inc.,
Class
A
21,815
889,616
Peabody
Energy
Corp.
*
28,263
746,708
Permian
Resources
Corp.
70,238
660,237
Ranger
Oil
Corp.
12,113
489,729
Ring
Energy,
Inc.
*
25,943
63,820
SandRidge
Energy,
Inc.
*
12,279
209,111
Scorpio
Tankers,
Inc.
(Monaco)
13,905
747,672
SFL
Corp.
Ltd.
(Norway)
6,497
59,902
SilverBow
Resources,
Inc.
*
5,665
160,206
SM
Energy
Co.
25,744
896,664
Talos
Energy,
Inc.
*
10,001
188,819
Teekay
Corp.
*
14,537
65,998
Teekay
Tankers
Ltd.,
Class
A
(Canada)
*
6,112
188,311
Tellurian,
Inc.
*
75,251
126,422
Uranium
Energy
Corp.
*
60,116
233,250
VAALCO
Energy,
Inc.
37,345
170,293
Vertex
Energy,
Inc.
*
14,806
91,797
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
10.7%
(continued)
W&T
Offshore,
Inc.
*
19,010
106,076
22,528,729
Paper
&
Forest
Products
-
0.2%
Clearwater
Paper
Corp.
*
4,845
183,190
Sylvamo
Corp.
4,548
220,987
404,177
Personal
Products
-
0.7%
Edgewell
Personal
Care
Co.
6,548
252,360
elf
Beauty,
Inc.
*
13,598
751,969
Inter
Parfums,
Inc.
3,336
321,991
Veru,
Inc.
*
15,799
83,419
1,409,739
Pharmaceuticals
-
2.4%
Aclaris
Therapeutics,
Inc.
*
9,411
148,223
Amphastar
Pharmaceuticals,
Inc.
*
17,113
479,506
Axsome
Therapeutics,
Inc.
*
7,036
542,687
Cassava
Sciences,
Inc.
*
3,712
109,653
Corcept
Therapeutics,
Inc.
*
15,406
312,896
DICE
Therapeutics,
Inc.
*
1,992
62,151
Evolus,
Inc.
*
8,508
63,895
Harmony
Biosciences
Holdings,
Inc.
*
11,929
657,288
Innoviva,
Inc.
*
6,780
89,835
Intra-Cellular
Therapies,
Inc.
*
16,221
858,415
Liquidia
Corp.
*
37,041
235,951
Pacira
BioSciences,
Inc.
*
3,294
127,181
Prestige
Consumer
Healthcare,
Inc.
*
14,026
878,028
Revance
Therapeutics,
Inc.
*
7,296
134,684
SIGA
Technologies,
Inc.
15,759
115,986
Supernus
Pharmaceuticals,
Inc.
*
3,747
133,656
Ventyx
Biosciences,
Inc.
*
5,289
173,426
5,123,461
Professional
Services
-
1.9%
ASGN,
Inc.
*
6,739
549,094
Barrett
Business
Services,
Inc.
1,084
101,116
CBIZ,
Inc.
*
11,030
516,756
CRA
International,
Inc.
2,632
322,236
Exponent,
Inc.
2,525
250,202
Franklin
Covey
Co.
*
6,416
300,076
Huron
Consulting
Group,
Inc.
*
5,722
415,417
ICF
International,
Inc.
3,372
333,997
Insperity,
Inc.
4,904
557,094
Kforce,
Inc.
1,699
93,156
Korn
Ferry
1,155
58,466
Red
Violet,
Inc.
*
802
18,462
Resources
Connection,
Inc.
10,942
201,114
TriNet
Group,
Inc.
*
2,850
193,230
3,910,416
36
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Real
Estate
Management
&
Development
-
0.2%
St
Joe
Co.
(The)
12,871
497,464
Stratus
Properties,
Inc.
558
10,764
508,228
Road
&
Rail
-
0.7%
ArcBest
Corp.
2,349
164,524
Covenant
Logistics
Group,
Inc.
5,720
197,741
Daseke,
Inc.
*
14,775
84,070
Marten
Transport
Ltd.
13,081
258,742
PAM
Transportation
Services,
Inc.
*
5,587
144,703
Saia,
Inc.
*
2,913
610,798
Universal
Logistics
Holdings,
Inc.
2,937
98,213
1,558,791
Semiconductors
&
Semiconductor
Equipment
-
2.4%
Alpha
&
Omega
Semiconductor
Ltd.
*
8,947
255,616
Amkor
Technology,
Inc.
25,756
617,629
Axcelis
Technologies,
Inc.
*
5,666
449,654
Cohu,
Inc.
*
3,568
114,354
Diodes,
Inc.
*
3,546
269,992
FormFactor,
Inc.
*
8,834
196,380
Impinj,
Inc.
*
3,272
357,237
MACOM
Technology
Solutions
Holdings,
Inc.
*
14,251
897,528
Onto
Innovation,
Inc.
*
1,916
130,460
PDF
Solutions,
Inc.
*
10,521
300,059
Photronics,
Inc.
*
10,387
174,813
Power
Integrations,
Inc.
1,637
117,406
Rambus,
Inc.
*
20,045
718,012
Silicon
Laboratories,
Inc.
*
684
92,798
Transphorm,
Inc.
*
13,141
71,487
Ultra
Clean
Holdings,
Inc.
*
4,617
153,054
Veeco
Instruments,
Inc.
*
10,345
192,210
5,108,689
Software
-
1.8%
A10
Networks,
Inc.
25,073
416,964
Alarm.com
Holdings,
Inc.
*
2,136
105,689
Altair
Engineering,
Inc.,
Class
A
*
2,797
127,180
Appfolio,
Inc.,
Class
A
*
6,147
647,771
Blackline,
Inc.
*
3,156
212,304
Box,
Inc.,
Class
A
*
19,251
599,284
CommVault
Systems,
Inc.
*
1,205
75,722
Instructure
Holdings,
Inc.
*
3,548
83,165
Q2
Holdings,
Inc.
*
2,491
66,933
Qualys,
Inc.
*
5,350
600,430
SPS
Commerce,
Inc.
*
3,625
465,559
Tenable
Holdings,
Inc.
*
4,040
154,126
Varonis
Systems,
Inc.
*
3,057
73,185
Verint
Systems,
Inc.
*
3,491
126,653
Zeta
Global
Holdings
Corp.,
Class
A
*
13,375
109,274
3,864,239
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
1.9%
Academy
Sports
&
Outdoors,
Inc.
5,059
265,800
Asbury
Automotive
Group,
Inc.
*
1,031
184,807
Buckle,
Inc.
(The)
5,074
230,106
Build-A-Bear
Workshop,
Inc.
*
6,434
153,386
Caleres,
Inc.
7,502
167,144
Destination
XL
Group,
Inc.
*
26,625
179,719
EVgo,
Inc.
*
13,696
61,221
Genesco,
Inc.
*
4,199
193,238
Group
1
Automotive,
Inc.
618
111,469
MarineMax,
Inc.
*
2,817
87,947
Murphy
USA,
Inc.
4,803
1,342,631
National
Vision
Holdings,
Inc.
*
1,621
62,830
ODP
Corp.
(The)
*
8,720
397,109
Shoe
Carnival,
Inc.
6,964
166,509
Signet
Jewelers
Ltd.
2,892
196,656
Sonic
Automotive,
Inc.,
Class
A
5,550
273,448
4,074,020
Technology
Hardware,
Storage
&
Peripherals
-
0.4%
Avid
Technology,
Inc.
*
11,403
303,206
Super
Micro
Computer,
Inc.
*
7,735
635,043
938,249
Textiles,
Apparel
&
Luxury
Goods
-
0.3%
Movado
Group,
Inc.
9,939
320,533
Oxford
Industries,
Inc.
3,027
282,056
602,589
Thrifts
&
Mortgage
Finance
-
1.7%
Axos
Financial,
Inc.
*
1,612
61,611
Columbia
Financial,
Inc.
*
16,667
360,341
Enact
Holdings,
Inc.
2,645
63,797
Greene
County
Bancorp,
Inc.
3,664
210,387
Hingham
Institution
For
Savings
The
319
88,031
Kearny
Financial
Corp.
10,442
105,986
Merchants
Bancorp
7,762
188,772
Mr
Cooper
Group,
Inc.
*
25,130
1,008,467
Northfield
Bancorp,
Inc.
5,976
94,002
PennyMac
Financial
Services,
Inc.
10,469
593,174
Provident
Financial
Services,
Inc.
7,545
161,161
Southern
Missouri
Bancorp,
Inc.
2,890
132,449
Walker
&
Dunlop,
Inc.
4,938
387,534
Waterstone
Financial,
Inc.
7,804
134,541
WSFS
Financial
Corp.
1,366
61,934
3,652,187
Tobacco
-
0.4%
Universal
Corp.
9,679
511,148
Vector
Group
Ltd.
31,228
370,364
881,512
37
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Trading
Companies
&
Distributors
-
3.1%
Applied
Industrial
Technologies,
Inc.
4,862
612,758
Beacon
Roofing
Supply,
Inc.
*
4,115
217,231
BlueLinx
Holdings,
Inc.
*
3,628
257,987
Boise
Cascade
Co.
10,240
703,181
Custom
Truck
One
Source,
Inc.
*
11,451
72,370
GATX
Corp.
5,629
598,588
Global
Industrial
Co.
8,387
197,346
GMS,
Inc.
*
2,004
99,799
Herc
Holdings,
Inc.
3,263
429,313
Hudson
Technologies,
Inc.
*
25,425
257,301
McGrath
RentCorp
2,693
265,907
MRC
Global,
Inc.
*
9,353
108,308
NOW,
Inc.
*
15,832
201,066
Rush
Enterprises,
Inc.,
Class
A
10,302
538,588
Textainer
Group
Holdings
Ltd.
(China)
13,278
411,751
Titan
Machinery,
Inc.
*
3,211
127,573
Transcat,
Inc.
*
1,511
107,085
Triton
International
Ltd.
10,499
722,121
Veritiv
Corp.
5,834
710,056
6,638,329
Water
Utilities
-
0.7%
American
States
Water
Co.
8,203
759,188
Artesian
Resources
Corp.,
Class
A
2,932
171,757
Cadiz,
Inc.
*
10,859
27,147
California
Water
Service
Group
6,613
401,012
Middlesex
Water
Co.
1,343
105,654
1,464,758
Wireless
Telecommunication
Services
-
0.1%
Gogo,
Inc.
*
19,856
293,075
TOTAL
COMMON
STOCKS
(Cost
$164,158,847)
204,210,620
SHORT-TERM
INVESTMENTS
-
3.2%
INVESTMENT
COMPANIES
-
3.2%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(d)
(Cost
$6,678,994)
6,684,540
6,681,866
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.8%
(Cost
$170,837,841)
210,892,486
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.2%
(e)
478,914
NET
ASSETS
-
100.0%
211,371,400
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,761,018
1.3
%
Consumer
Discretionary
13,825,023
6.5
Consumer
Staples
10,679,873
5.1
Energy
31,446,653
14.9
Financials
35,608,502
16.9
Health
Care
33,020,007
15.6
Industrials
31,330,362
14.8
Information
Technology
18,229,118
8.6
Materials
8,819,937
4.2
Real
Estate
7,618,008
3.6
Utilities
10,872,119
5.1
Investment
Companies
6,681,866
3.2
Total
Investments
In
Securities
At
Value
210,892,486
99.8
Other
Assets
in
Excess
of
Liabilities
(e
)
478,914
0.2
Net
Assets
$
211,371,400
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
December
31,
2022,
the
value
of
these
securities
amounted
to
$156,697
or
0.07%
of
net
assets.
(b)
Represents
less
than
0.05%
of
net
assets.
38
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$34,142,
which
represents
0.02%
of
net
assets
of
the
fund.
(d)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(e)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
57
3/2023
USD
$
5,047,065
$
(179,841)
$
(179,841)
39
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
97.2%
Australia
-
8.4%
BHP
Group
Ltd.
183,384
5,680,677
Brambles
Ltd.
74,521
611,117
Coles
Group
Ltd.
79,102
896,671
Commonwealth
Bank
of
Australia
35,005
2,431,267
Fortescue
Metals
Group
Ltd.
186,854
2,611,687
Glencore
plc
503,427
3,357,178
Goodman
Group,
REIT
99,438
1,169,426
Macquarie
Group
Ltd.
8,640
975,356
Mineral
Resources
Ltd.
10,393
545,180
National
Australia
Bank
Ltd.
150,335
3,052,342
REA
Group
Ltd.
7,903
594,357
Rio
Tinto
plc
2,167
152,522
Santos
Ltd.
37,616
185,003
South32
Ltd.
91,767
251,591
Suncorp
Group
Ltd.
65,290
532,036
Treasury
Wine
Estates
Ltd.
72,656
671,226
Wesfarmers
Ltd.
51,726
1,613,194
WiseTech
Global
Ltd.
7,466
256,774
Woodside
Energy
Group
Ltd.
123,025
2,979,445
Woolworths
Group
Ltd.
44,412
1,014,167
29,581,216
—
Belgium
-
0.1%
Anheuser-Busch
InBev
SA/NV
3,202
192,860
Elia
Group
SA/NV
1,138
161,781
354,641
—
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
9,333
364,635
Canada
-
14.8%
Alimentation
Couche-Tard,
Inc.
(1)
10,596
465,629
AltaGas
Ltd.
(1)
14,355
247,873
ARC
Resources
Ltd.
(1)
7,110
95,833
Bank
of
Montreal
(1)
28,183
2,553,122
Cameco
Corp.
(1)
39,996
906,556
Canadian
National
Railway
Co.
(1)
10,461
1,242,649
Canadian
Natural
Resources
Ltd.
(1)
83,217
4,621,186
Canadian
Pacific
Railway
Ltd.
(1)
41,788
3,115,582
Canadian
Utilities
Ltd.,
Class
A
(1)
74,110
2,006,006
Cenovus
Energy,
Inc.
(1)
166,991
3,239,921
Constellation
Software,
Inc.
(1)
892
1,392,653
Dollarama,
Inc.
(1)
9,861
576,730
Emera,
Inc.
(1)
5,997
229,206
Empire
Co.
Ltd.,
Class
A
(1)
8,679
228,577
Enbridge,
Inc.
(1)
16,412
641,450
Fairfax
Financial
Holdings
Ltd.
(1)
409
242,280
Fortis,
Inc.
(1)
48,908
1,957,042
Franco-Nevada
Corp.
(1)
3,781
515,406
George
Weston
Ltd.
(1)
14,219
1,764,143
Hydro
One
Ltd.
(1)(a)
46,147
1,236,153
Imperial
Oil
Ltd.
(1)
46,898
2,284,286
Intact
Financial
Corp.
(1)
13,298
1,914,264
Loblaw
Cos.
Ltd.
(1)
17,212
1,521,876
Manulife
Financial
Corp.
(1)
13,396
238,932
Metro,
Inc.
(1)
4,358
241,299
National
Bank
of
Canada
(1)
35,864
2,416,450
Northland
Power,
Inc.
(1)
3,741
102,587
INVESTMENTS
SHARES
VALUE
($)
Canada
-
14.8%
(continued)
Nutrien
Ltd.
(1)
25,261
1,844,202
Restaurant
Brands
International,
Inc.
(1)
1,578
102,057
Ritchie
Bros
Auctioneers,
Inc.
(1)
2,252
130,080
Royal
Bank
of
Canada
(1)
44,768
4,208,986
Saputo,
Inc.
(1)
4,234
104,818
Suncor
Energy,
Inc.
(1)
30,534
968,564
Teck
Resources
Ltd.,
Class
B
(1)
21,752
822,046
Thomson
Reuters
Corp.
(1)
22,200
2,532,505
Toronto-Dominion
Bank
(The)
(1)
48,287
3,126,530
Tourmaline
Oil
Corp.
(1)
15,478
780,987
WSP
Global,
Inc.
(1)
12,849
1,490,731
52,109,197
—
China
-
0.6%
BOC
Hong
Kong
Holdings
Ltd.
374,500
1,271,352
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
201,000
628,325
Wilmar
International
Ltd.
37,800
117,761
2,017,438
—
Denmark
-
3.4%
AP
Moller
-
Maersk
A/S,
Class
B
514
1,150,643
DSV
A/S
10,852
1,716,105
Genmab
A/S
*
3,217
1,360,131
Novo
Nordisk
A/S,
Class
B
46,510
6,316,781
Orsted
A/S
(a)
12,740
1,151,768
Tryg
A/S
9,825
233,497
11,928,925
—
Finland
-
1.7%
Elisa
OYJ
24,684
1,308,379
Neste
OYJ
22,459
1,035,741
Nordea
Bank
Abp
62,777
672,464
Orion
OYJ,
Class
B
11,884
651,518
Sampo
OYJ,
Class
A
32,460
1,695,370
UPM-Kymmene
OYJ
21,381
800,107
6,163,579
—
France
-
8.1%
Air
Liquide
SA
6,233
884,684
Capgemini
SE
1,863
311,449
Carrefour
SA
17,185
287,436
Dassault
Systemes
SE
10,725
385,667
Hermes
International
3,055
4,728,690
Legrand
SA
2,988
239,583
L'Oreal
SA
6,501
2,327,994
LVMH
Moet
Hennessy
Louis
Vuitton
SE
10,438
7,595,662
Orange
SA
513,324
5,093,263
Safran
SA
1,824
228,463
Sanofi
14,049
1,354,697
Sartorius
Stedim
Biotech
1,282
416,609
Teleperformance
1,125
268,949
Thales
SA
2,844
363,375
TotalEnergies
SE
58,805
3,691,378
Vivendi
SE
46,477
443,992
28,621,891
—
40
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
3.7%
Bayer
AG
(Registered)
32,976
1,697,278
Commerzbank
AG
*
82,401
770,418
Deutsche
Boerse
AG
3,986
686,350
Deutsche
Lufthansa
AG
(Registered)
*
26,164
215,672
Deutsche
Telekom
AG
(Registered)
85,796
1,707,048
Hannover
Rueck
SE
3,192
629,806
Merck
KGaA
10,258
1,979,183
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
6,804
2,200,896
Rheinmetall
AG
3,009
599,020
RWE
AG
38,843
1,717,161
Siemens
Energy
AG
23,876
448,299
Symrise
AG
4,418
479,817
13,130,948
—
Hong
Kong
-
0.6%
AIA
Group
Ltd.
32,600
360,015
CK
Asset
Holdings
Ltd.
29,000
177,862
Hong
Kong
Exchanges
&
Clearing
Ltd.
3,400
146,099
Sino
Land
Co.
Ltd.
132,000
164,642
Swire
Pacific
Ltd.,
Class
A
14,500
127,105
Techtronic
Industries
Co.
Ltd.
100,000
1,110,684
2,086,407
—
Italy
-
0.9%
Ferrari
NV
10,210
2,189,418
Prysmian
SpA
9,142
339,676
UniCredit
SpA
38,998
553,365
3,082,459
—
Japan
-
21.3%
Ajinomoto
Co.,
Inc.
16,600
507,351
ANA
Holdings,
Inc.
*
5,000
105,890
Bandai
Namco
Holdings,
Inc.
10,400
651,866
Canon,
Inc.
23,900
517,293
Central
Japan
Railway
Co.
4,400
540,230
Chiba
Bank
Ltd.
(The)
65,900
480,816
Chugai
Pharmaceutical
Co.
Ltd.
62,300
1,589,072
Daiichi
Sankyo
Co.
Ltd.
103,000
3,315,230
Daikin
Industries
Ltd.
6,000
910,282
Denso
Corp.
2,000
98,080
East
Japan
Railway
Co.
7,600
432,880
ENEOS
Holdings,
Inc.
331,900
1,130,258
Fast
Retailing
Co.
Ltd.
2,500
1,521,334
Fujitsu
Ltd.
5,900
786,574
Hamamatsu
Photonics
KK
2,500
119,319
Hankyu
Hanshin
Holdings,
Inc.
39,400
1,167,328
Hitachi
Ltd.
2,400
120,759
Honda
Motor
Co.
Ltd.
23,300
531,450
Hoya
Corp.
13,800
1,321,744
Idemitsu
Kosan
Co.
Ltd.
4,600
107,693
Inpex
Corp.
112,900
1,213,158
Isuzu
Motors
Ltd.
8,500
98,539
ITOCHU
Corp.
90,300
2,832,961
Japan
Post
Bank
Co.
Ltd.
151,500
1,298,802
Japan
Post
Holdings
Co.
Ltd.
265,600
2,234,747
Japan
Post
Insurance
Co.
Ltd.
99,500
1,749,919
INVESTMENTS
SHARES
VALUE
($)
Japan
-
21.3%
(continued)
Japan
Tobacco,
Inc.
176,400
3,556,266
Kansai
Electric
Power
Co.,
Inc.
(The)
32,500
315,603
KDDI
Corp.
14,900
451,871
Keyence
Corp.
1,860
722,135
Kikkoman
Corp.
7,600
400,038
Kintetsu
Group
Holdings
Co.
Ltd.
32,500
1,073,029
Kirin
Holdings
Co.
Ltd.
23,100
352,077
Konami
Group
Corp.
2,600
117,943
Kyowa
Kirin
Co.
Ltd.
5,800
132,843
Marubeni
Corp.
95,500
1,094,043
Mazda
Motor
Corp.
14,500
108,693
Mitsubishi
Corp.
51,800
1,681,676
Mitsubishi
Estate
Co.
Ltd.
62,600
810,894
Mitsubishi
HC
Capital,
Inc.
429,200
2,111,042
Mitsubishi
Heavy
Industries
Ltd.
6,600
260,809
Mitsui
&
Co.
Ltd.
37,100
1,080,564
Mitsui
Fudosan
Co.
Ltd.
57,300
1,047,271
Mitsui
OSK
Lines
Ltd.
8,300
207,399
Mizuho
Financial
Group,
Inc.
46,500
655,106
MonotaRO
Co.
Ltd.
15,800
222,557
Murata
Manufacturing
Co.
Ltd.
2,000
98,630
Nexon
Co.
Ltd.
10,900
244,713
Nintendo
Co.
Ltd.
34,200
1,437,993
Nippon
Prologis
REIT,
Inc.,
REIT
55
128,952
Nippon
Steel
Corp.
37,800
655,873
Nippon
Telegraph
&
Telephone
Corp.
71,600
2,041,925
Nippon
Yusen
KK
112,600
2,655,181
Nissan
Chemical
Corp.
6,200
270,365
Nissin
Foods
Holdings
Co.
Ltd.
19,500
1,544,292
Nitori
Holdings
Co.
Ltd.
2,600
339,723
Nomura
Real
Estate
Holdings,
Inc.
36,600
782,610
Nomura
Research
Institute
Ltd.
36,250
861,805
NTT
Data
Corp.
12,500
182,159
Obic
Co.
Ltd.
9,100
1,335,963
Olympus
Corp.
67,800
1,195,829
Oriental
Land
Co.
Ltd.
4,900
713,068
Osaka
Gas
Co.
Ltd.
8,100
130,516
Pan
Pacific
International
Holdings
Corp.
10,500
195,028
Panasonic
Holdings
Corp.
23,000
192,487
Recruit
Holdings
Co.
Ltd.
16,400
513,352
Renesas
Electronics
Corp.
*
64,400
569,184
Resona
Holdings,
Inc.
114,600
629,431
Seven
&
i
Holdings
Co.
Ltd.
2,900
124,283
Shimadzu
Corp.
12,500
353,874
Shimano,
Inc.
1,100
173,821
Shionogi
&
Co.
Ltd.
3,900
194,583
Shiseido
Co.
Ltd.
3,600
176,449
SMC
Corp.
300
125,266
SoftBank
Group
Corp.
9,100
384,866
Sony
Group
Corp.
6,400
487,818
Subaru
Corp.
48,700
737,322
Sumitomo
Mitsui
Financial
Group,
Inc.
134,100
5,395,171
Suntory
Beverage
&
Food
Ltd.
19,300
657,207
Taisei
Corp.
30,900
996,377
Takeda
Pharmaceutical
Co.
Ltd.
26,000
812,414
TDK
Corp.
3,000
97,601
41
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
21.3%
(continued)
Terumo
Corp.
10,200
289,176
Tobu
Railway
Co.
Ltd.
28,400
662,430
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
115,000
414,163
Tokyo
Electron
Ltd.
1,700
499,509
Tokyo
Gas
Co.
Ltd.
59,400
1,163,040
Toshiba
Corp.
6,300
218,921
Toyota
Motor
Corp.
107,500
1,466,574
Unicharm
Corp.
4,000
153,145
USS
Co.
Ltd.
20,000
317,342
West
Japan
Railway
Co.
10,000
434,193
Yakult
Honsha
Co.
Ltd.
7,900
514,271
Yamaha
Corp.
5,000
185,539
75,539,868
—
Luxembourg
-
0.1%
Eurofins
Scientific
SE
6,661
478,248
Netherlands
-
4.8%
Adyen
NV
*(a)
102
141,601
Aegon
NV
107,848
546,431
Argenx
SE
*
2,793
1,048,509
ASML
Holding
NV
2,072
1,129,762
JDE
Peet's
NV
14,771
427,249
Koninklijke
DSM
NV
7,062
867,176
Koninklijke
KPN
NV
35,339
109,383
NN
Group
NV
22,469
918,807
OCI
NV
8,606
307,686
Shell
plc
302,478
8,527,102
Wolters
Kluwer
NV
26,026
2,723,239
16,746,945
—
Norway
-
1.7%
Aker
BP
ASA
6,839
212,576
DNB
Bank
ASA
66,648
1,316,306
Equinor
ASA
80,202
2,882,483
Norsk
Hydro
ASA
122,769
917,375
Orkla
ASA
72,039
519,929
Salmar
ASA
2,959
116,041
5,964,710
—
Portugal
-
0.1%
EDP
-
Energias
de
Portugal
SA
63,197
315,025
Singapore
-
1.8%
DBS
Group
Holdings
Ltd.
63,400
1,604,755
Keppel
Corp.
Ltd.
98,600
534,726
Oversea-Chinese
Banking
Corp.
Ltd.
78,700
715,858
Singapore
Exchange
Ltd.
186,700
1,248,442
Singapore
Telecommunications
Ltd.
603,800
1,157,662
STMicroelectronics
NV
10,182
361,828
United
Overseas
Bank
Ltd.
26,000
595,552
UOL
Group
Ltd.
22,700
114,131
6,332,954
—
South
Africa
-
0.6%
Anglo
American
plc
49,941
1,955,684
INVESTMENTS
SHARES
VALUE
($)
Spain
-
2.2%
Acciona
SA
3,211
590,926
Enagas
SA
78,214
1,300,583
Ferrovial
SA
6,756
176,891
Iberdrola
SA
199,210
2,325,478
Naturgy
Energy
Group
SA
38,507
1,000,760
Red
Electrica
Corp.
SA
14,221
247,277
Repsol
SA
126,503
2,013,551
7,655,466
—
Sweden
-
1.3%
Atlas
Copco
AB,
Class
A
11,660
138,152
Epiroc
AB,
Class
A
6,823
124,241
Hexagon
AB,
Class
B
113,687
1,192,019
Investor
AB,
Class
B
67,778
1,226,846
Nibe
Industrier
AB,
Class
B
55,516
518,174
Sandvik
AB
11,786
212,992
Skandinaviska
Enskilda
Banken
AB,
Class
A
64,383
741,233
Svenska
Cellulosa
AB
SCA,
Class
B
7,603
96,290
Svenska
Handelsbanken
AB,
Class
A
28,497
286,908
4,536,855
—
Switzerland
-
3.6%
ABB
Ltd.
(Registered)
15,847
482,977
Baloise
Holding
AG
(Registered)
705
108,716
Chocoladefabriken
Lindt
&
Spruengli
AG
16
163,041
Cie
Financiere
Richemont
SA
(Registered)
803
104,117
EMS-Chemie
Holding
AG
(Registered)
821
556,064
Geberit
AG
(Registered)
408
192,609
Givaudan
SA
(Registered)
370
1,133,276
Kuehne
+
Nagel
International
AG
(Registered)
3,519
818,107
Lonza
Group
AG
(Registered)
2,409
1,182,519
Novartis
AG
(Registered)
35,716
3,232,206
Partners
Group
Holding
AG
1,556
1,377,813
Sika
AG
(Registered)
4,942
1,188,073
UBS
Group
AG
(Registered)
71,751
1,333,580
Zurich
Insurance
Group
AG
1,902
909,303
12,782,401
—
United
Kingdom
-
12.8%
Ashtead
Group
plc
34,318
1,949,427
AstraZeneca
plc
51,931
7,027,270
Auto
Trader
Group
plc
(a)
29,518
183,819
Aviva
plc
129,147
685,079
BAE
Systems
plc
140,247
1,448,528
BP
plc
843,622
4,867,649
British
American
Tobacco
plc
201,166
7,957,755
Bunzl
plc
17,175
571,415
Compass
Group
plc
19,750
456,068
Croda
International
plc
4,518
359,536
Diageo
plc
45,696
2,000,200
Experian
plc
5,258
178,080
HSBC
Holdings
plc
730,181
4,525,325
Imperial
Brands
plc
170,644
4,250,936
42
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
12.8%
(continued)
JD
Sports
Fashion
plc
202,530
307,770
London
Stock
Exchange
Group
plc
10,939
939,892
NatWest
Group
plc
413,850
1,319,863
Pearson
plc
48,547
548,184
Phoenix
Group
Holdings
plc
33,620
246,283
Reckitt
Benckiser
Group
plc
25,562
1,771,865
SSE
plc
23,902
491,591
Standard
Chartered
plc
132,450
987,881
Unilever
plc
37,184
1,877,340
Vodafone
Group
plc
93,973
95,168
45,046,924
—
United
States
-
4.5%
Computershare
Ltd.
67,359
1,186,599
CSL
Ltd.
15,636
3,048,928
Ferguson
plc
7,344
921,994
Holcim
AG
*
5,191
268,703
Jackson
Financial,
Inc.,
Class
A
(1)
223
7,758
Nestle
SA
(Registered)
57,061
6,591,084
Schneider
Electric
SE
10,401
1,460,661
Tenaris
SA
137,343
2,408,682
15,894,409
—
TOTAL
COMMON
STOCKS
(Cost
$261,791,375)
342,690,825
SHORT-TERM
INVESTMENTS
-
2.2%
INVESTMENT
COMPANIES
-
2.2%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(b)
(Cost
$7,632,263)
7,638,818
7,635,763
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.4%
(Cost
$269,423,638)
350,326,588
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.6%
(c)
2,095,916
NET
ASSETS
-
100.0%
352,422,504
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
15,920,567
4.5
%
Consumer
Discretionary
25,492,391
7.2
Consumer
Staples
44,123,603
12.5
Energy
44,793,503
12.7
Financials
67,108,858
19.0
Health
Care
38,644,769
11.0
Industrials
45,591,473
12.9
Information
Technology
12,502,400
3.6
Materials
26,885,829
7.6
Real
Estate
4,522,892
1.3
Utilities
17,104,540
4.9
Investment
Companies
7,635,763
2.2
Total
Investments
In
Securities
At
Value
350,326,588
99.4
Other
Assets
in
Excess
of
Liabilities
(c
)
2,095,916
0.6
Net
Assets
$
352,422,504
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$3,341,666,
which
represents
0.95%
of
net
assets
of
the
fund.
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
43
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
85
3/2023
USD
$
8,284,950
$
(136,807)
$
(136,807)
44
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.9%
Aerospace
&
Defense
-
0.3%
Lockheed
Martin
Corp.
22,933
11,156,675
Air
Freight
&
Logistics
-
1.8%
CH
Robinson
Worldwide,
Inc.
328,540
30,081,122
Expeditors
International
of
Washington,
Inc.
407,544
42,351,973
72,433,095
Banks
-
1.2%
Bank
of
Hawaii
Corp.
24,291
1,884,010
Citigroup,
Inc.
269,191
12,175,509
Commerce
Bancshares,
Inc.
40,713
2,771,314
Cullen/Frost
Bankers,
Inc.
14,776
1,975,551
East
West
Bancorp,
Inc.
212,767
14,021,345
First
Citizens
BancShares,
Inc.,
Class
A
3,251
2,465,428
First
Hawaiian,
Inc.
57,549
1,498,576
FNB
Corp.
144,044
1,879,774
JPMorgan
Chase
&
Co.
22,144
2,969,510
Popular,
Inc.
23,392
1,551,358
Prosperity
Bancshares,
Inc.
82,773
6,015,942
49,208,317
Beverages
-
4.0%
Brown-Forman
Corp.,
Class
B
28,757
1,888,760
Coca-Cola
Co.
(The)
923,998
58,775,513
Molson
Coors
Beverage
Co.,
Class
B
174,452
8,987,767
Monster
Beverage
Corp.
*
360,867
36,638,826
PepsiCo,
Inc.
322,841
58,324,455
164,615,321
Biotechnology
-
4.6%
AbbVie,
Inc.
40,736
6,583,345
Amgen,
Inc.
41,330
10,854,911
Gilead
Sciences,
Inc.
692,835
59,479,885
Incyte
Corp.
*
43,373
3,483,719
Regeneron
Pharmaceuticals,
Inc.
*
73,702
53,175,256
United
Therapeutics
Corp.
*
26,239
7,296,804
Vertex
Pharmaceuticals,
Inc.
*
161,826
46,732,112
187,606,032
Capital
Markets
-
1.9%
Bank
of
New
York
Mellon
Corp.
(The)
71,471
3,253,360
BlackRock,
Inc.
1,653
1,171,365
CME
Group,
Inc.
229,143
38,532,687
Intercontinental
Exchange,
Inc.
287,999
29,545,817
S&P
Global,
Inc.
5,457
1,827,768
SEI
Investments
Co.
28,634
1,669,362
76,000,359
Chemicals
-
1.5%
Air
Products
and
Chemicals,
Inc.
106,436
32,809,961
CF
Industries
Holdings,
Inc.
62,992
5,366,918
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
1.5%
(continued)
Corteva,
Inc.
233,910
13,749,230
NewMarket
Corp.
3,808
1,184,707
Sherwin-Williams
Co.
(The)
42,556
10,099,816
63,210,632
Commercial
Services
&
Supplies
-
1.9%
Cintas
Corp.
43,038
19,436,821
Copart,
Inc.
*
54,508
3,318,992
Republic
Services,
Inc.
142,026
18,319,934
Rollins,
Inc.
100,866
3,685,644
Waste
Management,
Inc.
220,693
34,622,318
79,383,709
Communications
Equipment
-
0.7%
Cisco
Systems,
Inc.
564,166
26,876,868
Ubiquiti,
Inc.
10,244
2,802,042
29,678,910
Construction
&
Engineering
-
0.1%
MDU
Resources
Group,
Inc.
74,560
2,262,150
Diversified
Consumer
Services
-
0.0%
(a)
Grand
Canyon
Education,
Inc.
*
12,098
1,278,275
Diversified
Telecommunication
Services
-
3.0%
AT&T,
Inc.
3,242,652
59,697,223
Lumen
Technologies,
Inc.
559,459
2,920,376
Verizon
Communications,
Inc.
1,563,159
61,588,465
124,206,064
Electric
Utilities
-
4.0%
Alliant
Energy
Corp.
64,297
3,549,837
American
Electric
Power
Co.,
Inc.
58,682
5,571,856
Avangrid,
Inc.
257,405
11,063,267
Duke
Energy
Corp.
353,786
36,436,420
Evergy,
Inc.
75,756
4,767,325
Eversource
Energy
20,643
1,730,709
Exelon
Corp.
40,444
1,748,394
IDACORP,
Inc.
58,912
6,353,659
NextEra
Energy,
Inc.
468,043
39,128,395
Pinnacle
West
Capital
Corp.
136,846
10,405,770
PPL
Corp.
676,093
19,755,438
Xcel
Energy,
Inc.
318,018
22,296,242
162,807,312
Electrical
Equipment
-
0.2%
Eaton
Corp.
plc
30,731
4,823,231
Emerson
Electric
Co.
14,173
1,361,458
Hubbell,
Inc.
10,449
2,452,171
8,636,860
Electronic
Equipment,
Instruments
&
Components
-
0.3%
Amphenol
Corp.,
Class
A
145,780
11,099,689
Littelfuse,
Inc.
9,392
2,068,119
45
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
0.3%
(continued)
Teledyne
Technologies,
Inc.
*
3,020
1,207,728
14,375,536
Entertainment
-
0.9%
Electronic
Arts,
Inc.
261,290
31,924,412
World
Wrestling
Entertainment,
Inc.,
Class
A
58,637
4,017,807
35,942,219
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.5%
Public
Storage
75,821
21,244,286
Food
&
Staples
Retailing
-
3.9%
Casey's
General
Stores,
Inc.
69,649
15,625,753
Costco
Wholesale
Corp.
120,576
55,042,944
Kroger
Co.
(The)
660,102
29,427,347
Walmart,
Inc.
405,276
57,464,084
157,560,128
Food
Products
-
5.7%
Archer-Daniels-Midland
Co.
49,290
4,576,577
Flowers
Foods,
Inc.
450,270
12,940,760
General
Mills,
Inc.
262,082
21,975,576
Hershey
Co.
(The)
250,614
58,034,684
Hormel
Foods
Corp.
638,062
29,063,724
Ingredion,
Inc.
31,009
3,036,711
J
M
Smucker
Co.
(The)
165,813
26,274,728
Kellogg
Co.
94,226
6,712,660
Kraft
Heinz
Co.
(The)
517,987
21,087,251
McCormick
&
Co.,
Inc.
(Non-Voting)
147,224
12,203,397
Mondelez
International,
Inc.,
Class
A
432,067
28,797,266
Tyson
Foods,
Inc.,
Class
A
164,090
10,214,602
234,917,936
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
38,449
4,308,979
Health
Care
Equipment
&
Supplies
-
3.4%
Abbott
Laboratories
248,253
27,255,697
Becton
Dickinson
and
Co.
114,935
29,227,970
Edwards
Lifesciences
Corp.
*
248,760
18,559,984
Hologic,
Inc.
*
102,165
7,642,964
Intuitive
Surgical,
Inc.
*
49,329
13,089,450
Medtronic
plc
252,374
19,614,507
ResMed,
Inc.
60,036
12,495,293
Stryker
Corp.
46,469
11,361,206
139,247,071
Health
Care
Providers
&
Services
-
5.8%
Centene
Corp.
*
20,154
1,652,830
Chemed
Corp.
18,519
9,452,653
Cigna
Corp.
57,063
18,907,254
CVS
Health
Corp.
625,364
58,277,671
Elevance
Health,
Inc.
37,549
19,261,511
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
5.8%
(continued)
Henry
Schein,
Inc.
*
107,016
8,547,368
Humana,
Inc.
*
70,722
36,223,101
McKesson
Corp.
15,122
5,672,565
Molina
Healthcare,
Inc.
*
33,606
11,097,373
Premier,
Inc.,
Class
A
103,858
3,632,953
Quest
Diagnostics,
Inc.
23,710
3,709,192
UnitedHealth
Group,
Inc.
110,590
58,632,606
235,067,077
Health
Care
Technology
-
0.0%
(a)
Veeva
Systems,
Inc.,
Class
A
*
7,243
1,168,875
Hotels,
Restaurants
&
Leisure
-
0.1%
Booking
Holdings,
Inc.
*
594
1,197,076
McDonald's
Corp.
*
4,756
1,253,349
2,450,425
Household
Durables
-
0.2%
Garmin
Ltd.
75,680
6,984,507
Household
Products
-
3.5%
Church
&
Dwight
Co.,
Inc.
289,882
23,367,388
Clorox
Co.
(The)
60,637
8,509,190
Colgate-Palmolive
Co.
622,361
49,035,823
Kimberly-Clark
Corp.
18,581
2,522,371
Procter
&
Gamble
Co.
(The)
387,801
58,775,120
142,209,892
Industrial
Conglomerates
-
0.7%
3M
Co.
10,446
1,252,684
Honeywell
International,
Inc.
127,725
27,371,468
28,624,152
Insurance
-
7.5%
Aflac,
Inc.
168,976
12,156,133
Allstate
Corp.
(The)
224,360
30,423,216
American
International
Group,
Inc.
58,027
3,669,628
Aon
plc,
Class
A
95,543
28,676,276
Arch
Capital
Group
Ltd.
*
72,482
4,550,420
Arthur
J
Gallagher
&
Co.
96,160
18,130,006
Assurant,
Inc.
58,831
7,357,405
Brown
&
Brown,
Inc.
75,396
4,295,310
Chubb
Ltd.
69,000
15,221,400
CNA
Financial
Corp.
46,273
1,956,422
Erie
Indemnity
Co.,
Class
A
20,859
5,188,050
Everest
Re
Group
Ltd.
55,003
18,220,844
Hanover
Insurance
Group,
Inc.
(The)
13,755
1,858,713
Hartford
Financial
Services
Group,
Inc.
(The)
18,996
1,440,467
Loews
Corp.
68,157
3,975,598
Markel
Corp.
*
2,100
2,766,729
Marsh
&
McLennan
Cos.,
Inc.
189,064
31,286,311
Progressive
Corp.
(The)
403,005
52,273,779
Reinsurance
Group
of
America,
Inc.
72,747
10,336,621
RenaissanceRe
Holdings
Ltd.
33,348
6,143,702
46
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
7.5%
(continued)
Travelers
Cos.,
Inc.
(The)
187,792
35,209,122
Unum
Group
157,765
6,473,098
W
R
Berkley
Corp.
59,131
4,291,137
305,900,387
Interactive
Media
&
Services
-
1.2%
Alphabet,
Inc.,
Class
A
*
531,380
46,883,657
Meta
Platforms,
Inc.,
Class
A
*
23,135
2,784,066
49,667,723
IT
Services
-
5.1%
Accenture
plc,
Class
A
87,310
23,297,800
Akamai
Technologies,
Inc.
*
60,052
5,062,384
Amdocs
Ltd.
76,081
6,915,763
Automatic
Data
Processing,
Inc.
99,408
23,744,595
EPAM
Systems,
Inc.
*
15,859
5,197,629
International
Business
Machines
Corp.
171,070
24,102,052
Jack
Henry
&
Associates,
Inc.
52,427
9,204,084
Mastercard,
Inc.,
Class
A
125,596
43,673,497
Paychex,
Inc.
143,944
16,634,169
VeriSign,
Inc.
*
11,716
2,406,935
Visa,
Inc.,
Class
A
233,470
48,505,727
208,744,635
Life
Sciences
Tools
&
Services
-
4.6%
Agilent
Technologies,
Inc.
138,944
20,792,970
Bio-Techne
Corp.
98,336
8,150,088
Charles
River
Laboratories
International,
Inc.
*
12,576
2,740,310
Danaher
Corp.
181,447
48,159,663
Mettler-Toledo
International,
Inc.
*
24,856
35,928,105
QIAGEN
NV
*
46,808
2,334,315
Thermo
Fisher
Scientific,
Inc.
97,578
53,735,229
Waters
Corp.
*
18,651
6,389,459
West
Pharmaceutical
Services,
Inc.
34,960
8,227,836
186,457,975
Machinery
-
2.3%
Caterpillar,
Inc.
92,711
22,209,847
Cummins,
Inc.
80,173
19,425,116
Donaldson
Co.,
Inc.
20,886
1,229,559
Dover
Corp.
16,880
2,285,721
IDEX
Corp.
29,273
6,683,904
Illinois
Tool
Works,
Inc.
163,374
35,991,292
Lincoln
Electric
Holdings,
Inc.
19,883
2,872,895
Toro
Co.
(The)
19,944
2,257,661
92,955,995
Media
-
0.1%
Fox
Corp.,
Class
A
70,264
2,133,918
Liberty
Media
Corp-Liberty
SiriusXM,
Class
C
*
31,028
1,214,125
3,348,043
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
0.8%
Newmont
Corp.
570,909
26,946,905
Royal
Gold,
Inc.
38,842
4,378,270
31,325,175
Multiline
Retail
-
0.4%
Dollar
General
Corp.
36,221
8,919,421
Target
Corp.
37,857
5,642,208
14,561,629
Multi-Utilities
-
2.1%
Ameren
Corp.
191,005
16,984,165
CMS
Energy
Corp.
44,983
2,848,773
Consolidated
Edison,
Inc.
244,269
23,281,278
DTE
Energy
Co.
85,702
10,072,556
Public
Service
Enterprise
Group,
Inc.
177,939
10,902,323
WEC
Energy
Group,
Inc.
218,954
20,529,127
84,618,222
Oil,
Gas
&
Consumable
Fuels
-
2.9%
Chevron
Corp.
122,282
21,948,396
ConocoPhillips
172,215
20,321,370
EOG
Resources,
Inc.
249,533
32,319,514
Exxon
Mobil
Corp.
359,559
39,659,358
Marathon
Petroleum
Corp.
21,924
2,551,734
116,800,372
Personal
Products
-
0.4%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
68,244
16,932,019
Pharmaceuticals
-
4.5%
Bristol-Myers
Squibb
Co.
176,955
12,731,912
Eli
Lilly
&
Co.
159,929
58,508,425
Johnson
&
Johnson
331,913
58,632,432
Merck
&
Co.,
Inc.
171,894
19,071,639
Pfizer,
Inc.
312,131
15,993,593
Zoetis,
Inc.
115,357
16,905,568
181,843,569
Professional
Services
-
1.1%
Booz
Allen
Hamilton
Holding
Corp.
18,066
1,888,258
CACI
International,
Inc.,
Class
A
*
15,949
4,794,110
CoStar
Group,
Inc.
*
132,914
10,271,594
FTI
Consulting,
Inc.
*
91,482
14,527,342
Leidos
Holdings,
Inc.
45,771
4,814,651
Robert
Half
International,
Inc.
40,535
2,992,699
Verisk
Analytics,
Inc.
32,852
5,795,750
45,084,404
Road
&
Rail
-
2.1%
JB
Hunt
Transport
Services,
Inc.
91,560
15,964,402
Knight-Swift
Transportation
Holdings,
Inc.
28,781
1,508,412
Landstar
System,
Inc.
113,538
18,495,340
47
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Road
&
Rail
-
2.1%
(continued)
Old
Dominion
Freight
Line,
Inc.
146,142
41,472,177
U-Haul
Holding
Co.
2,125
127,904
Union
Pacific
Corp.
36,731
7,605,888
85,174,123
Semiconductors
&
Semiconductor
Equipment
-
1.9%
Analog
Devices,
Inc.
25,044
4,107,967
Broadcom,
Inc.
32,808
18,343,937
Intel
Corp.
43,971
1,162,154
Texas
Instruments,
Inc.
324,575
53,626,281
77,240,339
Software
-
3.5%
Adobe,
Inc.
*
78,077
26,275,253
ANSYS,
Inc.
*
11,289
2,727,309
Cadence
Design
Systems,
Inc.
*
142,727
22,927,665
Dolby
Laboratories,
Inc.,
Class
A
109,731
7,740,425
Intuit,
Inc.
25,013
9,735,560
Manhattan
Associates,
Inc.
*
33,515
4,068,721
Microsoft
Corp.
124,646
29,892,604
Oracle
Corp.
61,492
5,026,356
Roper
Technologies,
Inc.
66,132
28,574,976
Synopsys,
Inc.
*
16,359
5,223,265
142,192,134
Specialty
Retail
-
1.0%
AutoZone,
Inc.
*
3,226
7,955,897
Home
Depot,
Inc.
(The)
56,867
17,962,011
Lowe's
Cos.,
Inc.
82,490
16,435,307
42,353,215
Technology
Hardware,
Storage
&
Peripherals
-
1.3%
Apple,
Inc.
357,680
46,473,363
Hewlett
Packard
Enterprise
Co.
517,491
8,259,156
54,732,519
Textiles,
Apparel
&
Luxury
Goods
-
0.2%
Lululemon
Athletica,
Inc.
*
27,866
8,927,709
NIKE,
Inc.,
Class
B
10,093
1,180,982
10,108,691
Thrifts
&
Mortgage
Finance
-
0.0%
(a)
MGIC
Investment
Corp.
132,533
1,722,929
Tobacco
-
1.0%
Altria
Group,
Inc.
253,168
11,572,309
Philip
Morris
International,
Inc.
274,627
27,794,999
39,367,308
Trading
Companies
&
Distributors
-
0.3%
Fastenal
Co.
80,827
3,824,734
WW
Grainger,
Inc.
17,520
9,745,500
13,570,234
INVESTMENTS
SHARES
VALUE
($)
Water
Utilities
-
0.3%
American
Water
Works
Co.,
Inc.
58,709
8,948,426
Essential
Utilities,
Inc.
59,677
2,848,383
11,796,809
Wireless
Telecommunication
Services
-
1.0%
T-Mobile
US,
Inc.
*
287,252
40,215,280
TOTAL
COMMON
STOCKS
(Cost
$2,547,040,053)
3,913,298,523
SHORT-TERM
INVESTMENTS
-
3.9%
INVESTMENT
COMPANIES
-
3.9%
Limited
Purpose
Cash
Investment
Fund,
4.08%
(b)
(Cost
$160,286,488)
160,350,629
160,286,489
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.8%
(Cost
$2,707,326,541)
4,073,585,012
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.2%
(c)
9,989,830
NET
ASSETS
-
100.0%
4,083,574,842
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
253,379,330
6.2
%
Consumer
Discretionary
77,736,741
1.9
Consumer
Staples
755,602,604
18.5
Energy
116,800,373
2.9
Financials
432,831,992
10.6
Health
Care
931,390,599
22.8
Industrials
439,281,397
10.8
Information
Technology
526,964,072
12.9
Materials
94,535,807
2.3
Real
Estate
21,244,286
0.5
Utilities
263,531,322
6.5
Investment
Companies
160,286,489
3.9
Total
Investments
In
Securities
At
Value
4,073,585,012
99.8
Other
Assets
in
Excess
of
Liabilities
(c)
9,989
,830
0.2
Net
Assets
$
4,083,574,842
100.0%
48
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
731
3/2023
USD
$
141,119,550
$
1,123,896
$
1,123,896
49
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.2%
Australia
-
8.6%
Aurizon
Holdings
Ltd.
318,648
807,275
BHP
Group
Ltd.
81,929
2,537,910
Cochlear
Ltd.
6,115
844,527
Coles
Group
Ltd.
64,049
726,036
Fortescue
Metals
Group
Ltd.
29,644
414,339
Glencore
plc
254,022
1,693,983
Medibank
Pvt
Ltd.
77,630
154,875
Newcrest
Mining
Ltd.
103,998
1,458,293
Northern
Star
Resources
Ltd.
113,662
850,569
QBE
Insurance
Group
Ltd.
31,119
282,302
REA
Group
Ltd.
11,792
886,836
Rio
Tinto
plc
7,399
520,772
Sonic
Healthcare
Ltd.
62,675
1,275,500
South32
Ltd.
186,621
511,646
Telstra
Group
Ltd.
1,371,473
3,709,069
Treasury
Wine
Estates
Ltd.
180,326
1,665,926
Vicinity
Ltd.,
REIT
105,078
141,887
Washington
H
Soul
Pattinson
&
Co.
Ltd.
26,419
495,655
Wesfarmers
Ltd.
47,316
1,475,658
WiseTech
Global
Ltd.
17,122
588,867
Woolworths
Group
Ltd.
95,521
2,181,263
23,223,188
—
Austria
-
0.2%
Mondi
plc
24,674
417,260
Belgium
-
1.1%
Ageas
SA/NV
13,886
616,148
Elia
Group
SA/NV
3,102
440,989
Groupe
Bruxelles
Lambert
NV
6,816
544,719
KBC
Group
NV
12,221
786,854
Proximus
SADP
34,375
331,886
UCB
SA
1,727
136,076
2,856,672
—
Brazil
-
0.8%
Wheaton
Precious
Metals
Corp.
(1)
37,759
1,475,222
Yara
International
ASA
15,382
675,531
2,150,753
—
Canada
-
12.2%
Agnico
Eagle
Mines
Ltd.
(1)
24,222
1,258,685
Algonquin
Power
&
Utilities
Corp.
(1)
27,779
180,953
Alimentation
Couche-Tard,
Inc.
(1)
19,691
865,299
Bank
of
Montreal
(1)
1,972
178,645
Bank
of
Nova
Scotia
(The)
(1)
13,052
639,490
BCE,
Inc.
(1)
42,753
1,878,417
Canadian
Imperial
Bank
of
Commerce
(1)
38,230
1,546,423
Canadian
National
Railway
Co.
(1)
8,138
966,703
Canadian
Pacific
Railway
Ltd.
(1)
12,615
940,535
Canadian
Utilities
Ltd.,
Class
A
(1)
38,965
1,054,703
CGI,
Inc.
(1)*
13,989
1,205,802
Constellation
Software,
Inc.
(1)
965
1,506,626
Emera,
Inc.
(1)
14,915
570,053
Fortis,
Inc.
(1)
43,359
1,735,000
Franco-Nevada
Corp.
(1)
17,747
2,419,176
INVESTMENTS
SHARES
VALUE
($)
Canada
-
12.2%
(continued)
George
Weston
Ltd.
(1)
1,315
163,151
Hydro
One
Ltd.
(1)(a)
107,653
2,883,732
Imperial
Oil
Ltd.
(1)
18,089
881,071
Intact
Financial
Corp.
(1)
11,764
1,693,443
Kinross
Gold
Corp.
(1)
62,270
253,863
Loblaw
Cos.
Ltd.
(1)
37,753
3,338,100
Manulife
Financial
Corp.
(1)
6,431
114,704
Metro,
Inc.
(1)
43,531
2,410,280
Pan
American
Silver
Corp.
(1)
9,337
152,399
Rogers
Communications,
Inc.,
Class
B
(1)
9,625
450,470
Royal
Bank
of
Canada
(1)
12,411
1,166,854
Sun
Life
Financial,
Inc.
(1)
4,802
222,899
Teck
Resources
Ltd.,
Class
B
(1)
10,519
397,531
Thomson
Reuters
Corp.
(1)
1,104
125,941
Toromont
Industries
Ltd.
(1)
3,550
256,182
Toronto-Dominion
Bank
(The)
(1)
14,183
918,334
West
Fraser
Timber
Co.
Ltd.
(1)
9,436
681,357
33,056,821
—
Chile
-
0.1%
Antofagasta
plc
11,963
223,321
China
-
1.4%
BOC
Hong
Kong
Holdings
Ltd.
346,500
1,176,297
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
548,300
1,713,983
Chow
Tai
Fook
Jewellery
Group
Ltd.
127,200
258,491
SITC
International
Holdings
Co.
Ltd.
40,000
88,658
Wilmar
International
Ltd.
155,300
483,818
3,721,247
—
Denmark
-
2.8%
AP
Moller
-
Maersk
A/S,
Class
B
113
252,962
Carlsberg
A/S,
Class
B
5,364
711,518
Coloplast
A/S,
Class
B
16,045
1,879,716
Genmab
A/S
*
2,332
985,957
Novo
Nordisk
A/S,
Class
B
25,856
3,511,648
ROCKWOOL
A/S,
Class
B
758
177,450
7,519,251
—
Finland
-
1.2%
Elisa
OYJ
11,296
598,746
Kone
OYJ,
Class
B
4,637
240,066
Neste
OYJ
6,625
305,525
Nokia
OYJ
79,412
368,924
Orion
OYJ,
Class
B
22,876
1,254,134
UPM-Kymmene
OYJ
10,003
374,326
3,141,721
—
France
-
8.1%
Air
Liquide
SA
8,312
1,179,767
AXA
SA
8,126
226,354
BioMerieux
2,933
308,152
Bouygues
SA
25,369
760,861
Capgemini
SE
2,765
462,242
Carrefour
SA
37,290
623,711
Cie
Generale
des
Etablissements
Michelin
SCA
3,027
84,324
50
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
8.1%
(continued)
Danone
SA
16,364
862,477
Dassault
Aviation
SA
8,632
1,463,928
Dassault
Systemes
SE
20,125
723,688
Engie
SA
76,996
1,101,512
Hermes
International
1,373
2,125,202
Ipsen
SA
8,896
956,859
La
Francaise
des
Jeux
SAEM
(a)
2,348
94,480
L'Oreal
SA
9,056
3,242,932
Orange
SA
84,827
841,664
Pernod
Ricard
SA
3,684
724,726
Remy
Cointreau
SA
3,386
570,926
Sanofi
9,982
962,530
Societe
Generale
SA
28,921
725,445
Thales
SA
2,441
311,884
TotalEnergies
SE
42,453
2,664,910
Ubisoft
Entertainment
SA
*
7,786
219,961
Vivendi
SE
38,148
364,426
Worldline
SA
*(a)
7,255
284,124
21,887,085
—
Germany
-
4.7%
Allianz
SE
(Registered)
1,648
351,943
Bechtle
AG
2,099
74,196
Beiersdorf
AG
27,467
3,138,706
Carl
Zeiss
Meditec
AG
604
75,919
Deutsche
Bank
AG
(Registered)
42,146
473,787
Deutsche
Boerse
AG
1,414
243,477
Evonik
Industries
AG
12,632
240,941
Fresenius
Medical
Care
AG
&
Co.
KGaA
12,412
405,408
Hannover
Rueck
SE
1,051
207,370
Henkel
AG
&
Co.
KGaA
(Preference)
38,158
2,644,836
MTU
Aero
Engines
AG
454
97,671
Rational
AG
525
311,759
RWE
AG
22,192
981,058
SAP
SE
13,317
1,374,857
Scout24
SE
(a)
1,606
80,836
Siemens
Healthineers
AG
(a)
18,124
904,055
Telefonica
Deutschland
Holding
AG
409,591
1,005,961
12,612,780
—
Hong
Kong
-
3.4%
AIA
Group
Ltd.
52,000
574,256
CK
Asset
Holdings
Ltd.
47,500
291,326
CLP
Holdings
Ltd.
318,500
2,320,456
Hang
Seng
Bank
Ltd.
15,900
263,724
HKT
Trust
&
HKT
Ltd.
74,000
90,585
Hong
Kong
&
China
Gas
Co.
Ltd.
681,487
646,328
MTR
Corp.
Ltd.
190,500
1,007,526
Power
Assets
Holdings
Ltd.
511,500
2,795,589
Sino
Land
Co.
Ltd.
124,000
154,663
Sun
Hung
Kai
Properties
Ltd.
52,000
710,287
Swire
Properties
Ltd.
125,800
318,638
9,173,378
—
INVESTMENTS
SHARES
VALUE
($)
Italy
-
0.5%
Assicurazioni
Generali
SpA
13,836
246,039
Coca-Cola
HBC
AG
28,120
664,723
Enel
SpA
84,666
455,346
1,366,108
—
Japan
-
20.7%
Astellas
Pharma,
Inc.
99,600
1,514,481
Bandai
Namco
Holdings,
Inc.
4,900
307,129
Brother
Industries
Ltd.
50,800
767,775
Canon,
Inc.
59,500
1,287,822
Capcom
Co.
Ltd.
53,100
1,694,978
Chugai
Pharmaceutical
Co.
Ltd.
23,400
596,858
Concordia
Financial
Group
Ltd.
31,400
131,108
CyberAgent,
Inc.
44,500
396,174
Dai
Nippon
Printing
Co.
Ltd.
3,800
76,340
Daito
Trust
Construction
Co.
Ltd.
5,000
511,914
Dentsu
Group,
Inc.
19,300
605,454
Disco
Corp.
3,300
940,570
FUJIFILM
Holdings
Corp.
20,000
1,000,029
Fujitsu
Ltd.
9,200
1,226,522
Hakuhodo
DY
Holdings,
Inc.
16,400
164,591
Hamamatsu
Photonics
KK
10,300
491,596
Hoshizaki
Corp.
2,800
98,454
Hoya
Corp.
26,200
2,509,400
Iida
Group
Holdings
Co.
Ltd.
5,000
75,915
Ito
En
Ltd.
2,300
83,706
Japan
Post
Bank
Co.
Ltd.
120,000
1,028,754
Japan
Post
Holdings
Co.
Ltd.
68,600
577,197
Japan
Tobacco,
Inc.
137,300
2,768,001
Kajima
Corp.
20,800
242,056
Kakaku.com,
Inc.
7,400
118,738
Kao
Corp.
4,100
162,772
KDDI
Corp.
120,400
3,651,359
Keyence
Corp.
2,200
854,139
Kikkoman
Corp.
12,500
657,958
Kirin
Holdings
Co.
Ltd.
28,200
429,809
Kobayashi
Pharmaceutical
Co.
Ltd.
30,600
2,097,405
Koei
Tecmo
Holdings
Co.
Ltd.
31,400
567,916
Koito
Manufacturing
Co.
Ltd.
57,600
858,710
Komatsu
Ltd.
14,300
309,082
Konami
Group
Corp.
1,700
77,117
Kyocera
Corp.
11,800
585,713
Kyowa
Kirin
Co.
Ltd.
17,700
405,401
McDonald's
Holdings
Co.
Japan
Ltd.
2,300
87,415
MEIJI
Holdings
Co.
Ltd.
12,200
625,350
Mitsubishi
Electric
Corp.
10,200
101,071
Mitsui
&
Co.
Ltd.
7,900
230,093
Murata
Manufacturing
Co.
Ltd.
1,500
73,973
Nexon
Co.
Ltd.
57,100
1,281,936
Nintendo
Co.
Ltd.
23,000
967,071
Nippon
Telegraph
&
Telephone
Corp.
71,400
2,036,222
Nissan
Chemical
Corp.
2,400
104,657
Nisshin
Seifun
Group,
Inc.
41,800
525,342
Nissin
Foods
Holdings
Co.
Ltd.
9,900
784,025
Nitto
Denko
Corp.
7,000
403,163
Nomura
Research
Institute
Ltd.
7,461
177,377
Obic
Co.
Ltd.
1,400
205,533
Oji
Holdings
Corp.
125,500
506,893
51
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.7%
(continued)
Ono
Pharmaceutical
Co.
Ltd.
7,600
177,639
Oracle
Corp.
Japan
10,200
663,219
Osaka
Gas
Co.
Ltd.
78,500
1,264,878
Otsuka
Corp.
24,700
778,553
Otsuka
Holdings
Co.
Ltd.
19,600
639,210
Recruit
Holdings
Co.
Ltd.
2,500
78,255
Renesas
Electronics
Corp.
*
57,300
506,433
Rohm
Co.
Ltd.
1,200
86,027
SCSK
Corp.
30,900
467,725
Secom
Co.
Ltd.
7,800
445,051
Seiko
Epson
Corp.
29,100
423,377
Sekisui
Chemical
Co.
Ltd.
20,900
291,310
Seven
&
i
Holdings
Co.
Ltd.
17,300
741,415
Shin-Etsu
Chemical
Co.
Ltd.
700
85,479
Shizuoka
Financial
Group,
Inc.
98,100
786,124
SMC
Corp.
500
208,777
SoftBank
Corp.
55,700
630,172
Square
Enix
Holdings
Co.
Ltd.
5,500
255,340
Suntory
Beverage
&
Food
Ltd.
49,600
1,688,989
Sysmex
Corp.
10,700
645,965
T&D
Holdings,
Inc.
58,300
834,550
TIS,
Inc.
28,600
751,659
Tokyo
Electron
Ltd.
500
146,914
Tokyo
Gas
Co.
Ltd.
52,800
1,033,814
Tosoh
Corp.
62,300
740,849
Trend
Micro,
Inc.
*
14,900
696,833
Unicharm
Corp.
14,500
555,150
USS
Co.
Ltd.
24,000
380,810
Yakult
Honsha
Co.
Ltd.
36,000
2,343,514
56,331,095
—
Luxembourg
-
0.1%
ArcelorMittal
SA
3,269
86,243
Eurofins
Scientific
SE
3,566
256,033
342,276
—
Netherlands
-
2.8%
Adyen
NV
*(a)
342
474,781
Argenx
SE
*
2,612
980,561
ASML
Holding
NV
1,316
717,552
JDE
Peet's
NV
10,614
307,008
Koninklijke
Ahold
Delhaize
NV
68,185
1,960,407
Koninklijke
KPN
NV
77,116
238,694
NN
Group
NV
5,295
216,524
OCI
NV
4,124
147,443
Randstad
NV
9,566
584,506
Shell
plc
64,890
1,829,302
Wolters
Kluwer
NV
1,717
179,659
7,636,437
—
Norway
-
2.3%
Equinor
ASA
28,082
1,009,275
Gjensidige
Forsikring
ASA
57,466
1,127,139
Mowi
ASA
55,386
943,794
Norsk
Hydro
ASA
105,317
786,967
Orkla
ASA
242,946
1,753,421
Salmar
ASA
2,355
92,355
Telenor
ASA
52,265
488,311
6,201,262
—
INVESTMENTS
SHARES
VALUE
($)
Portugal
-
0.3%
Jeronimo
Martins
SGPS
SA
31,651
684,785
Singapore
-
3.1%
DBS
Group
Holdings
Ltd.
56,200
1,422,512
Oversea-Chinese
Banking
Corp.
Ltd.
325,400
2,959,851
Singapore
Telecommunications
Ltd.
942,400
1,806,857
STMicroelectronics
NV
2,442
86,779
United
Overseas
Bank
Ltd.
70,900
1,624,024
Venture
Corp.
Ltd.
47,200
601,620
8,501,643
—
South
Africa
-
0.4%
Anglo
American
plc
30,199
1,182,589
Spain
-
1.4%
Banco
Bilbao
Vizcaya
Argentaria
SA
166,504
1,002,898
CaixaBank
SA
31,123
122,027
Endesa
SA
8,628
162,608
Iberdrola
SA
72,838
850,275
Industria
de
Diseno
Textil
SA
37,696
1,001,245
Red
Electrica
Corp.
SA
36,434
633,521
3,772,574
—
Sweden
-
2.3%
Boliden
AB
13,553
509,080
Essity
AB,
Class
B
24,951
653,397
Evolution
AB
(a)
3,488
339,747
Industrivarden
AB,
Class
A
19,314
469,776
Investor
AB,
Class
B
5,863
106,126
L
E
Lundbergforetagen
AB,
Class
B
10,068
429,232
Sandvik
AB
5,184
93,683
Securitas
AB,
Class
B
28,881
240,996
SKF
AB,
Class
B
14,446
220,641
Svenska
Cellulosa
AB
SCA,
Class
B
9,174
116,186
Swedish
Orphan
Biovitrum
AB
*
65,946
1,364,883
Tele2
AB,
Class
B
139,048
1,134,331
Volvo
AB,
Class
B
23,056
416,474
6,094,552
—
Switzerland
-
4.9%
Alcon,
Inc.
4,045
277,564
Baloise
Holding
AG
(Registered)
7,909
1,219,621
Barry
Callebaut
AG
(Registered)
263
519,360
Chocoladefabriken
Lindt
&
Spruengli
AG
93
947,674
EMS-Chemie
Holding
AG
(Registered)
677
458,533
Geberit
AG
(Registered)
569
268,614
Kuehne
+
Nagel
International
AG
(Registered)
4,123
958,526
Lonza
Group
AG
(Registered)
644
316,124
Novartis
AG
(Registered)
29,656
2,683,792
Schindler
Holding
AG
2,206
414,910
SGS
SA
(Registered)
50
116,467
Sonova
Holding
AG
(Registered)
3,148
747,646
Straumann
Holding
AG
(Registered)
1,366
156,641
Swisscom
AG
(Registered)
5,381
2,947,771
52
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
4.9%
(continued)
Zurich
Insurance
Group
AG
2,611
1,248,260
13,281,503
—
United
Kingdom
-
8.9%
Admiral
Group
plc
43,322
1,112,115
Associated
British
Foods
plc
55,315
1,048,704
AstraZeneca
plc
12,430
1,682,020
Auto
Trader
Group
plc
(a)
271,631
1,691,542
Aviva
plc
79,813
423,380
BAE
Systems
plc
8,069
83,340
BP
plc
488,010
2,815,789
British
American
Tobacco
plc
70,461
2,787,307
CK
Hutchison
Holdings
Ltd.
47,000
281,570
Diageo
plc
61,975
2,712,762
Imperial
Brands
plc
62,773
1,563,747
Intertek
Group
plc
1,716
83,487
J
Sainsbury
plc
214,882
563,596
Johnson
Matthey
plc
5,364
137,089
Kingfisher
plc
52,924
150,369
National
Grid
plc
71,175
852,631
Next
plc
5,272
369,413
Persimmon
plc
19,831
290,775
Reckitt
Benckiser
Group
plc
15,797
1,094,991
Sage
Group
plc
(The)
125,322
1,128,487
Schroders
plc
20,076
105,489
Smith
&
Nephew
plc
27,031
360,994
Tesco
plc
356,617
961,036
Unilever
plc
16,294
822,649
Vodafone
Group
plc
980,970
993,446
24,116,728
—
United
States
-
3.9%
Computershare
Ltd.
44,637
786,327
CSL
Ltd.
11,635
2,268,756
Ferguson
plc
3,146
394,961
GSK
plc
14,212
245,629
Holcim
AG
*
1,641
84,944
Nestle
SA
(Registered)
29,022
3,352,315
QIAGEN
NV
*
18,909
950,566
Roche
Holding
AG
6,529
2,051,657
Swiss
Re
AG
4,603
430,387
10,565,542
—
TOTAL
COMMON
STOCKS
(Cost
$240,441,181)
260,060,571
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
3.4%
INVESTMENT
COMPANIES
-
3.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
3.94%
(1)(b)
120
120
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(b)
9,234,568
9,230,874
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$9,226,743)
9,230,994
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.6%
(Cost
$249,667,924)
269,291,565
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.4%
(c)
1,160,058
NET
ASSETS
-
100.0%
270,451,623
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
32,206,878
11.9
%
Consumer
Discretionary
8,190,994
3.0
Consumer
Staples
62,965,154
23.3
Energy
10,001,528
3.7
Financials
30,731,478
11.4
Health
Care
34,332,297
12.7
Industrials
13,936,416
5.2
Information
Technology
22,516,663
8.3
Materials
23,087,004
8.5
Real
Estate
2,128,716
0.8
Utilities
19,963,443
7.4
Investment
Companies
9,230,994
3.4
Total
Investments
In
Securities
At
Value
269,291,565
99.6
Other
Assets
in
Excess
of
Liabilities
(c
)
1,160,058
0.4
Net
Assets
$
270,451,623
100.0%
53
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$8,467,280,
which
represents
3.13%
of
net
assets
of
the
fund.
(b)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
73
3/2023
USD
$
7,115,310
$
(117,498)
$
(117,498)
54
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
90.2%
Australia
-
3.1%
ANZ
Group
Holdings
Ltd.
*
9,777
157,497
Aristocrat
Leisure
Ltd.
(2)
9,986
205,770
ASX
Ltd.
(2)
891
41,036
Aurizon
Holdings
Ltd.
(2)
320,653
812,355
BHP
Group
Ltd.
(2)
72,995
2,261,161
BlueScope
Steel
Ltd.
(2)
161,435
1,839,911
Dexus,
REIT
(2)
15,954
83,760
Glencore
plc
(2)
19,842
132,319
Goodman
Group,
REIT
(2)
25,367
298,325
GPT
Group
(The),
REIT
(2)
42,925
122,423
Lendlease
Corp.
Ltd.
(2)
2,927
15,537
Mirvac
Group,
REIT
(2)
95,677
138,418
Rio
Tinto
plc
(2)
12,126
853,477
Scentre
Group,
REIT
(2)
90,560
176,281
Sonic
Healthcare
Ltd.
(2)
4,943
100,595
South32
Ltd.
(2)
531,591
1,457,425
Stockland,
REIT
(2)
49,658
122,301
Vicinity
Ltd.,
REIT
(2)
97,628
131,827
8,950,418
—
Belgium
-
0.2%
Ageas
SA/NV
(2)
13,504
599,198
Canada
-
4.0%
ARC
Resources
Ltd.
37,760
508,951
Bank
of
Montreal
2,870
259,996
Bank
of
Nova
Scotia
(The)
14,390
705,046
Canadian
Natural
Resources
Ltd.
7,766
431,260
Empire
Co.
Ltd.,
Class
A
9,385
247,171
Fairfax
Financial
Holdings
Ltd.
2,269
1,344,089
Great-West
Lifeco,
Inc.
1,345
31,092
Imperial
Oil
Ltd.
24,334
1,185,249
Manulife
Financial
Corp.
80,933
1,443,524
Nutrien
Ltd.
13,263
968,277
Onex
Corp.
11,712
564,754
Power
Corp.
of
Canada
7,139
167,930
RioCan,
REIT
11,451
178,700
Ritchie
Bros
Auctioneers,
Inc.
8,740
504,842
Suncor
Energy,
Inc.
54,197
1,719,173
Tourmaline
Oil
Corp.
3,554
179,327
West
Fraser
Timber
Co.
Ltd.
17,351
1,252,886
11,692,267
—
China
-
0.6%
NXP
Semiconductors
NV
6,280
992,428
SITC
International
Holdings
Co.
Ltd.
(2)
357,000
791,269
1,783,697
—
Denmark
-
1.0%
AP
Moller
-
Maersk
A/S,
Class
B
(2)
1,304
2,919,141
Danske
Bank
A/S
(2)
5,712
112,658
3,031,799
—
INVESTMENTS
SHARES
VALUE
($)
Finland
-
0.3%
Nokia
OYJ
(2)
53,767
249,785
Nordea
Bank
Abp
(2)
25,356
271,613
Stora
Enso
OYJ,
Class
R
(2)
16,845
237,506
758,904
—
France
-
2.3%
BNP
Paribas
SA
(2)
9,012
513,136
Carrefour
SA
(2)
16,153
270,174
Cie
de
Saint-Gobain
(2)
43,881
2,146,696
Dassault
Aviation
SA
(2)
2,806
475,878
Ipsen
SA
(2)
763
82,069
Orange
SA
(2)
41,705
413,802
Societe
Generale
SA
(2)
5,908
148,194
TotalEnergies
SE
(2)
39,641
2,488,393
Unibail-Rodamco-Westfield,
REIT
(2)*
3,473
181,555
6,719,897
—
Germany
-
2.1%
BASF
SE
(2)
6,954
342,405
Bayer
AG
(Registered)
(2)
9,955
512,385
Bayerische
Motoren
Werke
AG
(2)
18,539
1,641,351
Brenntag
SE
(2)
2,307
147,129
Commerzbank
AG
(2)*
19,998
186,974
Deutsche
Bank
AG
(Registered)
(2)
187,052
2,102,757
Deutsche
Post
AG
(Registered)
(2)
9,682
362,365
E.ON
SE
(2)
30,582
304,047
Fresenius
SE
&
Co.
KGaA
(2)
1,365
38,127
HelloFresh
SE
(2)*
18,042
393,764
Mercedes-Benz
Group
AG
(2)
1,194
78,082
Porsche
Automobil
Holding
SE
(Preference)
(2)
865
47,174
6,156,560
—
Hong
Kong
-
0.3%
CK
Infrastructure
Holdings
Ltd.
(2)
2,749
14,344
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
5,269
226,411
Link,
REIT
(2)
18,329
134,120
New
World
Development
Co.
Ltd.
(2)
63,000
176,726
WH
Group
Ltd.
(2)(a)
371,000
216,381
767,982
—
Italy
-
0.6%
Eni
SpA
(2)
12,904
183,488
UniCredit
SpA
(2)
118,845
1,686,359
1,869,847
—
Japan
-
7.0%
AGC,
Inc.
(2)
8,100
268,804
Chugai
Pharmaceutical
Co.
Ltd.
(2)
3,700
94,375
Dai-ichi
Life
Holdings,
Inc.
(2)
96,600
2,181,554
Daito
Trust
Construction
Co.
Ltd.
(2)
486
49,758
Daiwa
House
Industry
Co.
Ltd.
(2)
2,451
56,462
ENEOS
Holdings,
Inc.
(2)
79,000
269,028
Hulic
Co.
Ltd.
(2)
1,500
11,779
Idemitsu
Kosan
Co.
Ltd.
(2)
27,200
636,795
Iida
Group
Holdings
Co.
Ltd.
(2)
22,800
346,174
55
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
7.0%
(continued)
Inpex
Corp.
(2)
48,000
515,780
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
(2)
214
170,240
Japan
Post
Holdings
Co.
Ltd.
(2)
115,200
969,288
Japan
Post
Insurance
Co.
Ltd.
(2)
78,000
1,371,796
Japan
Real
Estate
Investment
Corp.,
REIT
(2)
30
131,769
JFE
Holdings,
Inc.
(2)
86,600
1,004,863
Kajima
Corp.
(2)
11,400
132,665
Mazda
Motor
Corp.
(2)
163,500
1,225,605
Mitsubishi
Corp.
(2)
20,900
678,514
Mitsubishi
Estate
Co.
Ltd.
(2)
5,764
74,664
Mitsui
Chemicals,
Inc.
(2)
4,900
110,058
Mitsui
Fudosan
Co.
Ltd.
(2)
4,598
84,038
Mitsui
OSK
Lines
Ltd.
(2)
9,900
247,380
Mizuho
Financial
Group,
Inc.
(2)
184,900
2,604,926
Nippon
Building
Fund,
Inc.,
REIT
(2)
21
93,908
Nippon
Steel
Corp.
(2)
121,900
2,115,104
Nippon
Yusen
KK
(2)
33,200
782,877
Nissan
Motor
Co.
Ltd.
(2)
56,900
178,064
Nomura
Real
Estate
Holdings,
Inc.
(2)
1,000
21,383
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
(2)
117
144,950
Obayashi
Corp.
(2)
27,700
209,234
Osaka
Gas
Co.
Ltd.
(2)
52,600
847,549
Shin-Etsu
Chemical
Co.
Ltd.
(2)
4,400
537,294
Subaru
Corp.
(2)
8,300
125,663
Sumitomo
Metal
Mining
Co.
Ltd.
(2)
10,000
351,389
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
4,500
181,046
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)
2,624
61,842
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
113,800
409,842
Tosoh
Corp.
(2)
51,900
617,176
19,913,636
—
Luxembourg
-
0.7%
ArcelorMittal
SA
(2)
74,067
1,954,047
Netherlands
-
1.3%
Aegon
NV
(2)
148,168
750,719
ING
Groep
NV
(2)
19,668
239,579
NN
Group
NV
(2)
27,936
1,142,366
OCI
NV
(2)
16,746
598,711
Shell
plc
(2)
38,971
1,098,624
3,829,999
—
Russia
-
0.0%
Evraz
plc
(3)*(b)
77,212
–
Singapore
-
0.1%
Singapore
Exchange
Ltd.
(2)
4,067
27,196
STMicroelectronics
NV
(2)
6,833
242,817
270,013
—
South
Africa
-
0.0%
(c)
Anglo
American
plc
(2)
3,143
123,080
INVESTMENTS
SHARES
VALUE
($)
Spain
-
1.3%
Banco
Santander
SA
(2)
97,211
290,672
Repsol
SA
(2)
224,563
3,574,374
3,865,046
—
Sweden
-
0.6%
Boliden
AB
(2)
6,050
227,251
Evolution
AB
(2)(a)
1,029
100,229
Investor
AB,
Class
B
(2)
8,816
159,578
Skanska
AB,
Class
B
(2)
15,994
253,545
Svenska
Handelsbanken
AB,
Class
A
(2)
35,694
359,367
Swedbank
AB,
Class
A
(2)
33,462
569,158
1,669,128
—
Switzerland
-
1.5%
Baloise
Holding
AG
(Registered)
(2)
1,403
216,352
Clariant
AG
(Registered)
(2)*
7,126
113,171
Novartis
AG
(Registered)
(2)
33,195
3,004,062
Swiss
Life
Holding
AG
(Registered)
(2)
461
237,627
Temenos
AG
(Registered)
(2)
9,365
515,200
UBS
Group
AG
(Registered)
(2)
6,850
127,316
4,213,728
—
United
Kingdom
-
2.9%
3i
Group
plc
(2)
9,545
153,935
Aviva
plc
(2)
35,930
190,596
Barclays
plc
(2)
948,622
1,805,050
Barratt
Developments
plc
(2)
28,473
135,996
BP
plc
(2)
336,836
1,943,524
British
American
Tobacco
plc
(2)
9,359
370,225
CK
Hutchison
Holdings
Ltd.
(2)
248,500
1,488,727
HSBC
Holdings
plc
(2)
87,342
541,305
Imperial
Brands
plc
(2)
20,806
518,301
Legal
&
General
Group
plc
(2)
177,914
533,410
Liberty
Global
plc,
Class
C
*
15,649
304,060
Tesco
plc
(2)
32,827
88,464
Vodafone
Group
plc
(2)
146,896
148,764
Whitbread
plc
(2)
3,590
110,998
8,333,355
—
United
States
-
60.3%
3M
Co.
23,468
2,814,283
Abbott
Laboratories
1,945
213,542
Activision
Blizzard,
Inc.
3,912
299,464
Adobe,
Inc.
*
7,273
2,447,583
Advance
Auto
Parts,
Inc.
7,820
1,149,775
Advanced
Micro
Devices,
Inc.
*
6,043
391,405
Align
Technology,
Inc.
*
1,539
324,575
Ally
Financial,
Inc.
63,439
1,551,084
Alphabet,
Inc.,
Class
A
*
41,039
3,620,870
Alphabet,
Inc.,
Class
C
*
29,320
2,601,564
Altria
Group,
Inc.
53,167
2,430,264
Amazon.com,
Inc.
*
40,573
3,408,132
American
Express
Co.
4,265
630,154
American
International
Group,
Inc.
32,751
2,071,173
American
Tower
Corp.,
REIT
4,396
931,337
APA
Corp.
28,974
1,352,506
Apple,
Inc.
77,604
10,083,087
Applied
Materials,
Inc.
2,698
262,731
56
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.3%
(continued)
Arrow
Electronics,
Inc.
*
16,781
1,754,789
Assurant,
Inc.
5,245
655,940
AT&T,
Inc.
94,749
1,744,329
AutoZone,
Inc.
*
440
1,085,119
AvalonBay
Communities,
Inc.,
REIT
811
130,993
Bank
of
America
Corp.
11,032
365,380
Bank
of
New
York
Mellon
Corp.
(The)
7,249
329,974
Bath
&
Body
Works,
Inc.
7,431
313,142
Berkshire
Hathaway,
Inc.,
Class
B
*
6,896
2,130,174
Best
Buy
Co.,
Inc.
10,956
878,781
Booking
Holdings,
Inc.
*
897
1,807,706
Bristol-Myers
Squibb
Co.
13,986
1,006,293
Broadcom,
Inc.
2,474
1,383,288
Capital
One
Financial
Corp.
5,640
524,294
Cardinal
Health,
Inc.
6,422
493,659
Carrier
Global
Corp.
11,685
482,006
Celanese
Corp.
770
78,725
Centene
Corp.
*
5,157
422,926
CF
Industries
Holdings,
Inc.
17,717
1,509,488
Chevron
Corp.
7,290
1,308,482
Chubb
Ltd.
2,198
484,879
Cigna
Corp.
4,919
1,629,861
Cisco
Systems,
Inc.
50,856
2,422,780
Citigroup,
Inc.
75,854
3,430,876
Coca-Cola
Co.
(The)
26,741
1,700,995
Cognizant
Technology
Solutions
Corp.,
Class
A
13,105
749,475
Colgate-Palmolive
Co.
4,222
332,651
Comcast
Corp.,
Class
A
58,208
2,035,534
ConocoPhillips
2,042
240,956
Coterra
Energy,
Inc.
14,983
368,132
Crown
Castle,
Inc.,
REIT
1,970
267,211
CVS
Health
Corp.
33,822
3,151,872
DaVita,
Inc.
*
5,290
395,004
Dell
Technologies,
Inc.,
Class
C
24,559
987,763
Delta
Air
Lines,
Inc.
*
18,775
616,947
Digital
Realty
Trust,
Inc.,
REIT
849
85,129
Discover
Financial
Services
10,918
1,068,108
DocuSign,
Inc.
*
7,261
402,405
Dow,
Inc.
17,371
875,325
Eastman
Chemical
Co.
8,382
682,630
eBay,
Inc.
3,959
164,180
Elanco
Animal
Health,
Inc.
*
35,863
438,246
EOG
Resources,
Inc.
5,840
756,397
EQT
Corp.
20,993
710,193
Equinix,
Inc.,
REIT
222
145,417
Equitable
Holdings,
Inc.
5,360
153,832
Equity
Residential,
REIT
2,048
120,832
Everest
Re
Group
Ltd.
1,229
407,131
Expedia
Group,
Inc.
*
26,676
2,336,818
Exxon
Mobil
Corp.
31,231
3,444,779
FedEx
Corp.
5,597
969,400
Fidelity
National
Financial,
Inc.
9,870
371,309
Fidelity
National
Information
Services,
Inc.
9,865
669,340
FirstEnergy
Corp.
26,906
1,128,438
FleetCor
Technologies,
Inc.
*
1,988
365,156
Ford
Motor
Co.
68,020
791,073
Fortune
Brands
Innovations,
Inc.
8,355
477,154
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.3%
(continued)
Gartner,
Inc.
*
309
103,867
General
Dynamics
Corp.
3,972
985,493
General
Electric
Co.
2,737
229,333
General
Motors
Co.
59,432
1,999,292
Gilead
Sciences,
Inc.
9,056
777,458
Global
Payments,
Inc.
2,578
256,047
GoDaddy,
Inc.,
Class
A
*
1,773
132,656
Hartford
Financial
Services
Group,
Inc.
(The)
12,065
914,889
Hasbro,
Inc.
6,672
407,059
Hewlett
Packard
Enterprise
Co.
88,839
1,417,870
Home
Depot,
Inc.
(The)
3,289
1,038,864
Horizon
Therapeutics
plc
*
799
90,926
HP,
Inc.
19,710
529,608
Humana,
Inc.
506
259,168
Huntington
Ingalls
Industries,
Inc.
3,268
753,862
Intel
Corp.
59,337
1,568,277
International
Paper
Co.
4,270
147,870
JPMorgan
Chase
&
Co.
598
80,192
KeyCorp
9,544
166,256
KLA
Corp.
371
139,878
Kraft
Heinz
Co.
(The)
30,568
1,244,423
Kroger
Co.
(The)
29,514
1,315,734
Laboratory
Corp.
of
America
Holdings
1,506
354,633
Lam
Research
Corp.
322
135,337
Leidos
Holdings,
Inc.
5,796
609,681
Lennar
Corp.,
Class
A
9,606
869,343
Lincoln
National
Corp.
12,596
386,949
Lockheed
Martin
Corp.
3,403
1,655,525
Lowe's
Cos.,
Inc.
417
83,083
Lumen
Technologies,
Inc.
49,269
257,184
LyondellBasell
Industries
NV,
Class
A
23,167
1,923,556
Marathon
Oil
Corp.
35,083
949,697
Marathon
Petroleum
Corp.
10,826
1,260,038
Marriott
International,
Inc.,
Class
A
949
141,297
Marvell
Technology,
Inc.
4,747
175,829
Masterbrand,
Inc.
*
8,355
63,080
Mastercard,
Inc.,
Class
A
2,231
775,786
Medtronic
plc
9,094
706,786
Merck
&
Co.,
Inc.
11,802
1,309,432
Meta
Platforms,
Inc.,
Class
A
*
33,160
3,990,473
Microchip
Technology,
Inc.
10,153
713,248
Microsoft
Corp.
36,835
8,833,769
Mohawk
Industries,
Inc.
*
8,098
827,778
Molina
Healthcare,
Inc.
*
314
103,689
Molson
Coors
Beverage
Co.,
Class
B
4,359
224,576
Mosaic
Co.
(The)
32,840
1,440,691
Netflix,
Inc.
*
641
189,018
NiSource,
Inc.
19,062
522,680
NRG
Energy,
Inc.
14,998
477,236
NVR,
Inc.
*
115
530,447
Occidental
Petroleum
Corp.
4,746
298,951
O'Reilly
Automotive,
Inc.
*
100
84,403
Owens
Corning
27,906
2,380,382
PACCAR,
Inc.
6,235
617,078
Pfizer,
Inc.
81,732
4,187,947
Phillips
66
3,884
404,247
57
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
60.3%
(continued)
Pioneer
Natural
Resources
Co.
1,196
273,154
PPL
Corp.
2,950
86,199
Prologis,
Inc.,
REIT
2,980
335,935
Public
Storage,
REIT
2,484
695,992
PulteGroup,
Inc.
27,034
1,230,858
Qorvo,
Inc.
*
4,104
371,987
QUALCOMM,
Inc.
6,736
740,556
Robert
Half
International,
Inc.
5,089
375,721
Salesforce,
Inc.
*
5,069
672,099
Sempra
Energy
2,865
442,757
Signature
Bank
2,127
245,073
Simon
Property
Group,
Inc.,
REIT
1,723
202,418
Skyworks
Solutions,
Inc.
2,804
255,529
Snap-on,
Inc.
355
81,114
Southwest
Airlines
Co.
*
43,132
1,452,254
SS&C
Technologies
Holdings,
Inc.
23,462
1,221,432
Stellantis
NV
(2)
10,244
145,541
Stellantis
NV
(2)
136,039
1,933,164
Swiss
Re
AG
(2)
7,662
716,408
Synchrony
Financial
29,794
979,031
Tesla,
Inc.
*
15,145
1,865,561
Textron,
Inc.
8,360
591,888
Travelers
Cos.,
Inc.
(The)
4,857
910,639
Tyson
Foods,
Inc.,
Class
A
34,968
2,176,758
Ulta
Beauty,
Inc.
*
1,807
847,609
Universal
Health
Services,
Inc.,
Class
B
2,735
385,334
US
Bancorp
17,225
751,182
Vail
Resorts,
Inc.
1,864
444,284
Valero
Energy
Corp.
6,731
853,895
VeriSign,
Inc.
*
439
90,188
Verizon
Communications,
Inc.
36,448
1,436,051
Viatris,
Inc.
141,583
1,575,819
Visa,
Inc.,
Class
A
3,096
643,225
VMware,
Inc.,
Class
A
*
1,113
136,632
Wells
Fargo
&
Co.
55,502
2,291,678
Welltower,
Inc.,
REIT
3,001
196,716
Western
Union
Co.
(The)
129,116
1,777,927
Westrock
Co.
35,210
1,237,984
Whirlpool
Corp.
4,132
584,513
Yum!
Brands,
Inc.
4,057
519,621
174,184,842
—
TOTAL
COMMON
STOCKS
(Cost
$239,689,058)
260,687,443
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
6.3%
INVESTMENT
COMPANIES
-
6.3%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
3.94%
(d)(e)
5,224,759
5,224,759
Limited
Purpose
Cash
Investment
Fund,
4.08%
(d)
13,035,238
13,030,023
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$18,251,802)
18,254,782
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
96.5%
(Cost
$257,940,860)
278,942,225
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.5%
(f)
10,182,284
NET
ASSETS
-
100.0%
289,124,509
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
17,041,115
5.9
%
Consumer
Discretionary
29,682,544
10.3
Consumer
Staples
11,529,882
4.0
Energy
26,955,395
9.3
Financials
46,831,703
16.2
Health
Care
21,658,784
7.5
Industrials
27,376,623
9.5
Information
Technology
44,611,779
15.4
Materials
24,993,783
8.6
Real
Estate
5,772,743
2.0
Utilities
4,233,092
1.5
Investment
Companies
18,254,782
6.3
Total
Investments
In
Securities
At
Value
278,942,225
96.5
Other
Assets
in
Excess
of
Liabilities
(f)
10,182,284
3.5
Net
Assets
$
289,124,509
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$316,610,
which
represents
0.11%
of
net
assets
of
the
fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
58
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
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.
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
03/17/2023
CHF
(5,860,800)
$
181,421
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
(-0.70%)
Monthly
JPMC
03/15/2023
EUR
(3,823,131)
37,502
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
(-1.00%)
Monthly
JPMC
03/15/2023
SEK
(10,070,721)
31,654
MSCI
Switzerland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.00%)
Monthly
JPMC
03/15/2023
CHF
(1,437,070)
50,605
301,182
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
ILS
2,221,692
(19,757)
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.12%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
344,558
(11,745)
59
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.28%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
3,773,463
$
(74,677)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
JPY
521,919,520
(144,659)
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
03/15/2023
SGD
145,555
(2,092)
(252,930)
$
48,252
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
CAC
40
10
Euro
Index
179
1/2023
EUR
$
12,398,161
$
(431,392)
MSCI
Singapore
Index
51
1/2023
SGD
1,106,320
(914)
FTSE
100
Index
16
3/2023
GBP
1,444,163
1,859
FTSE/MIB
Index
193
3/2023
EUR
24,489,991
(776,998)
S&P
500
E-Mini
Index
31
3/2023
USD
5,984,550
(70,556)
SPI
200
Index
39
3/2023
AUD
4,641,491
3,617
TOPIX
Index
208
3/2023
JPY
29,978,054
(806,831)
(2,081,215)
Short
Contracts
Amsterdam
Exchange
Index
(66)
1/2023
EUR
(9,744,713)
596,124
Hang
Seng
Index
(51)
1/2023
HKD
(6,506,127)
(22,670)
IBEX
35
Index
(36)
1/2023
EUR
(3,157,772)
33,804
OMXS30
Index
(57)
1/2023
SEK
(1,115,435)
45,889
DAX
Index
(60)
3/2023
EUR
(22,460,182)
550,160
S&P/TSX
60
Index
(50)
3/2023
CAD
(8,640,325)
297,273
1,500,580
$
(580,635)
60
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
27,525,881
USD
18,545,440
CITG
3/15/2023
$
249,002
AUD
27,525,877
USD
18,543,218
JPMC
3/15/2023
251,222
CAD
5,666,500
USD
4,178,425
CITG
3/15/2023
8,856
CAD
5,666,500
USD
4,178,404
JPMC
3/15/2023
8,877
CHF
4,004,500
USD
4,332,396
CITG
3/15/2023
31,850
CHF
4,004,500
USD
4,332,377
JPMC
3/15/2023
31,870
DKK
1,783,000
USD
253,450
CITG
3/15/2023
4,610
DKK
1,783,000
USD
253,449
JPMC
3/15/2023
4,610
EUR
28,980,696
USD
30,436,100
CITG
3/15/2023
736,618
EUR
28,980,696
USD
30,436,031
JPMC
3/15/2023
736,691
GBP
2,883,499
USD
3,449,769
CITG
3/15/2023
42,358
GBP
2,883,499
USD
3,449,773
JPMC
3/15/2023
42,354
HKD
444,500
USD
56,936
CITG
3/15/2023
88
HKD
444,500
USD
56,936
JPMC
3/15/2023
88
ILS
4,000
USD
1,139
CITG
3/15/2023
4
ILS
4,000
USD
1,139
JPMC
3/15/2023
4
JPY
603,644,000
USD
4,542,439
CITG
3/15/2023
100,909
JPY
603,644,000
USD
4,542,419
JPMC
3/15/2023
100,928
NOK
143,267,004
USD
14,421,174
CITG
3/15/2023
247,229
NOK
143,266,996
USD
14,421,145
JPMC
3/15/2023
247,256
NZD
7,828,000
USD
4,921,774
CITG
3/15/2023
52,181
NZD
7,828,000
USD
4,921,755
JPMC
3/15/2023
52,200
SEK
9,484,000
USD
900,581
CITG
3/15/2023
11,963
SEK
9,484,000
USD
900,582
JPMC
3/15/2023
11,962
SGD
926,002
USD
673,974
CITG
3/15/2023
18,164
SGD
925,998
USD
673,972
JPMC
3/15/2023
18,163
USD
2,686,191
AUD
3,924,500
CITG
3/15/2023
6,576
USD
2,686,205
AUD
3,924,500
JPMC
3/15/2023
6,589
USD
8,974,816
CAD
12,049,501
CITG
3/15/2023
70,794
USD
8,974,831
CAD
12,049,499
JPMC
3/15/2023
70,811
USD
1,652,771
CHF
1,513,500
CITG
3/15/2023
3,304
USD
1,652,779
CHF
1,513,500
JPMC
3/15/2023
3,312
USD
5,304,049
GBP
4,315,000
CITG
3/15/2023
78,271
USD
5,304,076
GBP
4,315,000
JPMC
3/15/2023
78,297
USD
336,683
HKD
2,621,000
CITG
3/15/2023
444
USD
336,685
HKD
2,621,000
JPMC
3/15/2023
445
USD
50,383
ILS
172,500
CITG
3/15/2023
1,119
USD
50,384
ILS
172,500
JPMC
3/15/2023
1,119
USD
2,311,854
NZD
3,623,126
CITG
3/15/2023
9,699
USD
2,311,864
NZD
3,623,124
JPMC
3/15/2023
9,710
USD
4,239,175
SEK
43,554,500
CITG
3/15/2023
48,392
USD
4,239,196
SEK
43,554,500
JPMC
3/15/2023
48,412
Total
unrealized
appreciation
3,447,351
AUD
8,841,653
USD
6,042,159
CITG
3/15/2023
(5,152)
AUD
8,841,652
USD
6,042,128
JPMC
3/15/2023
(5,122)
CAD
4,629,200
USD
3,463,354
CITG
3/15/2023
(42,590)
CAD
4,629,198
USD
3,463,357
JPMC
3/15/2023
(42,594)
CHF
551,000
USD
601,426
CITG
3/15/2023
(927)
CHF
551,000
USD
601,423
JPMC
3/15/2023
(924)
GBP
5,468,000
USD
6,668,909
CITG
3/15/2023
(46,762)
GBP
5,467,999
USD
6,668,875
JPMC
3/15/2023
(46,732)
HKD
1,922,500
USD
247,035
CITG
3/15/2023
(405)
HKD
1,922,500
USD
247,034
JPMC
3/15/2023
(403)
ILS
1,188,500
USD
347,672
CITG
3/15/2023
(8,250)
ILS
1,188,499
USD
347,672
JPMC
3/15/2023
(8,250)
61
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
NOK
23,294,501
USD
2,397,246
CITG
3/15/2023
$
(12,236)
NOK
23,294,500
USD
2,397,234
JPMC
3/15/2023
(12,225)
SEK
949,500
USD
92,370
CITG
3/15/2023
(1,010)
SEK
949,500
USD
92,369
JPMC
3/15/2023
(1,009)
USD
2,595,329
AUD
3,843,500
CITG
3/15/2023
(28,981)
USD
2,595,341
AUD
3,843,500
JPMC
3/15/2023
(28,969)
USD
6,064,785
CAD
8,241,500
CITG
3/15/2023
(25,301)
USD
6,064,815
CAD
8,241,500
JPMC
3/15/2023
(25,271)
USD
27,681,082
CHF
25,846,505
CITG
3/15/2023
(487,359)
USD
27,681,121
CHF
25,846,495
JPMC
3/15/2023
(487,309)
USD
567,711
DKK
3,987,500
CITG
3/15/2023
(9,414)
USD
567,713
DKK
3,987,500
JPMC
3/15/2023
(9,412)
USD
3,592,544
EUR
3,366,000
CITG
3/15/2023
(28,051)
USD
3,592,562
EUR
3,366,000
JPMC
3/15/2023
(28,034)
USD
444,694
GBP
368,500
CITG
3/15/2023
(1,586)
USD
444,697
GBP
368,500
JPMC
3/15/2023
(1,584)
USD
251,712
HKD
1,965,500
CITG
3/15/2023
(437)
USD
251,711
HKD
1,965,500
JPMC
3/15/2023
(436)
USD
15,361,590
JPY
2,083,079,507
CITG
3/15/2023
(661,863)
USD
15,361,628
JPY
2,083,079,493
JPMC
3/15/2023
(661,825)
USD
4,612,987
NOK
46,426,501
CITG
3/15/2023
(140,393)
USD
4,612,985
NOK
46,426,499
JPMC
3/15/2023
(140,395)
USD
6,815,219
NZD
10,869,377
CITG
3/15/2023
(91,245)
USD
6,810,251
NZD
10,869,372
JPMC
3/15/2023
(96,209)
USD
7,468,967
SEK
78,235,501
CITG
3/15/2023
(58,799)
USD
7,468,979
SEK
78,235,500
JPMC
3/15/2023
(58,786)
USD
82,994
SGD
112,500
CITG
3/15/2023
(1,094)
USD
82,994
SGD
112,500
JPMC
3/15/2023
(1,094)
Total
unrealized
depreciation
(3,308,438)
Net
unrealized
appreciation
$
138,913
62
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
76.0%
Australia
-
7.4%
ANZ
Group
Holdings
Ltd.
(1)*
674
10,857
Aristocrat
Leisure
Ltd.
3,148
64,867
ASX
Ltd.
254
11,698
Aurizon
Holdings
Ltd.
51,087
129,426
BHP
Group
Ltd.
5,581
172,882
BlueScope
Steel
Ltd.
11,159
127,182
Cochlear
Ltd.
60
8,286
Dexus,
REIT
4,206
22,082
Glencore
plc
1,923
12,824
Goodman
Group,
REIT
517
6,080
GPT
Group
(The),
REIT
4,238
12,087
Lendlease
Corp.
Ltd.
890
4,724
Mirvac
Group,
REIT
4,149
6,002
Rio
Tinto
Ltd.
340
26,835
Rio
Tinto
plc
1,228
86,432
Sonic
Healthcare
Ltd.
6,004
122,188
South32
Ltd.
92,605
253,889
Tabcorp
Holdings
Ltd.
9,973
7,262
1,085,603
—
Belgium
-
1.1%
Ageas
SA/NV
1,357
60,213
Groupe
Bruxelles
Lambert
NV
139
11,109
KBC
Group
NV
320
20,603
Proximus
SADP
6,478
62,544
Solvay
SA
87
8,796
163,265
—
China
-
1.4%
SITC
International
Holdings
Co.
Ltd.
53,000
117,472
Wilmar
International
Ltd.
20,736
64,600
Xinyi
Glass
Holdings
Ltd.
11,000
20,323
202,395
—
Denmark
-
2.5%
AP
Moller
-
Maersk
A/S,
Class
B
34
76,113
Carlsberg
A/S,
Class
B
751
99,617
Chr
Hansen
Holding
A/S
739
53,158
Danske
Bank
A/S
875
17,258
Genmab
A/S
*
228
96,397
Novo
Nordisk
A/S,
Class
B
176
23,904
366,447
—
Finland
-
2.0%
Elisa
OYJ
168
8,905
Kesko
OYJ,
Class
B
1,506
33,277
Kone
OYJ,
Class
B
97
5,022
Nokia
OYJ
38,250
177,697
Nordea
Bank
Abp
3,833
41,059
Orion
OYJ,
Class
B
223
12,226
Stora
Enso
OYJ,
Class
R
840
11,844
290,030
—
France
-
8.8%
BNP
Paribas
SA
825
46,975
Carrefour
SA
1,656
27,698
Cie
de
Saint-Gobain
6,359
311,087
Credit
Agricole
SA
939
9,878
INVESTMENTS
SHARES
VALUE
($)
France
-
8.8%
(continued)
Dassault
Aviation
SA
828
140,423
Eiffage
SA
462
45,444
Ipsen
SA
413
44,423
La
Francaise
des
Jeux
SAEM
(a)
1,263
50,821
LVMH
Moet
Hennessy
Louis
Vuitton
SE
30
21,831
Orange
SA
14,649
145,349
Publicis
Groupe
SA
230
14,693
Renault
SA
*
728
24,292
Sanofi
557
53,710
Societe
Generale
SA
592
14,850
Sodexo
SA
122
11,673
Teleperformance
104
24,863
TotalEnergies
SE
3,957
248,393
Ubisoft
Entertainment
SA
*
673
19,013
Unibail-Rodamco-Westfield,
REIT
*
80
4,182
Vivendi
SE
1,850
17,673
1,277,271
—
Germany
-
5.4%
BASF
SE
537
26,441
Bayer
AG
(Registered)
3,056
157,293
Bayerische
Motoren
Werke
AG
1,733
153,431
Brenntag
SE
274
17,474
Deutsche
Bank
AG
(Registered)
13,971
157,056
Deutsche
Boerse
AG
168
28,928
Deutsche
Post
AG
(Registered)
1,499
56,103
E.ON
SE
3,622
36,010
Fresenius
SE
&
Co.
KGaA
391
10,921
HelloFresh
SE
*
2,090
45,614
Infineon
Technologies
AG
293
8,905
Knorr-Bremse
AG
72
3,917
Mercedes-Benz
Group
AG
659
43,095
MTU
Aero
Engines
AG
28
6,024
Porsche
Automobil
Holding
SE
(Preference)
240
13,089
United
Internet
AG
(Registered)
341
6,876
Vonovia
SE
528
12,438
783,615
—
Hong
Kong
-
1.0%
CK
Infrastructure
Holdings
Ltd.
1,047
5,463
Hong
Kong
Exchanges
&
Clearing
Ltd.
922
39,619
Link,
REIT
4,197
30,711
New
World
Development
Co.
Ltd.
10,000
28,052
Swire
Pacific
Ltd.,
Class
A
1,896
16,620
WH
Group
Ltd.
(a)
37,301
21,755
142,220
—
Italy
-
1.0%
Eni
SpA
2,361
33,572
UniCredit
SpA
8,186
116,156
149,728
—
Japan
-
17.5%
AGC,
Inc.
1,900
63,053
Aisin
Corp.
891
23,625
Chugai
Pharmaceutical
Co.
Ltd.
2,000
51,014
Dai-ichi
Life
Holdings,
Inc.
7,784
175,789
63
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
17.5%
(continued)
Daito
Trust
Construction
Co.
Ltd.
165
16,893
Daiwa
House
Industry
Co.
Ltd.
574
13,223
Dentsu
Group,
Inc.
700
21,959
ENEOS
Holdings,
Inc.
1,450
4,938
Fuji
Electric
Co.
Ltd.
300
11,322
Hikari
Tsushin,
Inc.
100
14,075
Hitachi
Construction
Machinery
Co.
Ltd.
1,500
33,430
Hulic
Co.
Ltd.
432
3,392
Idemitsu
Kosan
Co.
Ltd.
500
11,706
Iida
Group
Holdings
Co.
Ltd.
8,500
129,056
Inpex
Corp.
1,300
13,969
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
8
6,364
Japan
Post
Holdings
Co.
Ltd.
2,649
22,289
Japan
Post
Insurance
Co.
Ltd.
6,553
115,248
Japan
Real
Estate
Investment
Corp.,
REIT
5
21,961
JFE
Holdings,
Inc.
10,800
125,318
Kajima
Corp.
5,479
63,761
Marubeni
Corp.
4,000
45,824
Mazda
Motor
Corp.
16,743
125,506
Mitsubishi
Corp.
2,100
68,176
Mitsubishi
Estate
Co.
Ltd.
1,606
20,803
Mitsui
&
Co.
Ltd.
1,131
32,941
Mitsui
Chemicals,
Inc.
2,300
51,660
Mitsui
Fudosan
Co.
Ltd.
883
16,139
Mitsui
OSK
Lines
Ltd.
1,500
37,482
Mizuho
Financial
Group,
Inc.
12,588
177,343
NGK
Insulators
Ltd.
952
12,069
Nippon
Building
Fund,
Inc.,
REIT
4
17,887
NIPPON
EXPRESS
HOLDINGS,
Inc.
1,500
85,664
Nippon
Steel
Corp.
8,600
149,220
Nippon
Yusen
KK
3,900
91,965
Nissan
Motor
Co.
Ltd.
7,900
24,722
Nomura
Real
Estate
Holdings,
Inc.
208
4,448
Obayashi
Corp.
4,591
34,679
Osaka
Gas
Co.
Ltd.
2,300
37,060
Recruit
Holdings
Co.
Ltd.
700
21,911
Ricoh
Co.
Ltd.
5,800
44,145
Seiko
Epson
Corp.
2,900
42,192
Shin-Etsu
Chemical
Co.
Ltd.
600
73,267
Square
Enix
Holdings
Co.
Ltd.
119
5,525
Subaru
Corp.
500
7,570
Sumitomo
Chemical
Co.
Ltd.
1,000
3,586
Sumitomo
Corp.
4,322
71,845
Sumitomo
Metal
Mining
Co.
Ltd.
1,500
52,708
Sumitomo
Mitsui
Financial
Group,
Inc.
466
18,748
Sumitomo
Realty
&
Development
Co.
Ltd.
693
16,333
Taisei
Corp.
1,660
53,527
Takeda
Pharmaceutical
Co.
Ltd.
600
18,748
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
1,800
6,483
TOPPAN,
Inc.
1,000
14,767
Tosoh
Corp.
7,000
83,241
INVESTMENTS
SHARES
VALUE
($)
Japan
-
17.5%
(continued)
Toyota
Tsusho
Corp.
1,159
42,633
2,553,202
—
Luxembourg
-
0.9%
ArcelorMittal
SA
5,255
138,638
Macau
-
0.0%
(b)
Sands
China
Ltd.
*
1,200
3,936
Netherlands
-
4.1%
Aegon
NV
7,368
37,331
ASML
Holding
NV
160
87,240
Heineken
NV
384
36,170
ING
Groep
NV
2,758
33,596
NN
Group
NV
3,276
133,963
OCI
NV
2,677
95,709
Shell
plc
5,559
156,713
Universal
Music
Group
NV
683
16,517
597,239
—
Russia
-
0.0%
Evraz
plc
(3)*(c)
80,070
–
Singapore
-
1.5%
CapitaLand
Ascendas,
REIT
20,447
41,877
CapitaLand
Integrated
Commercial
Trust,
REIT
11,891
18,136
City
Developments
Ltd.
4,992
30,687
Singapore
Exchange
Ltd.
1,027
6,867
STMicroelectronics
NV
3,354
119,189
216,756
—
Spain
-
2.3%
Banco
Bilbao
Vizcaya
Argentaria
SA
5,830
35,116
Banco
Santander
SA
14,943
44,681
CaixaBank
SA
3,719
14,581
Industria
de
Diseno
Textil
SA
3,108
82,552
Repsol
SA
9,952
158,406
335,336
—
Sweden
-
1.6%
Assa
Abloy
AB,
Class
B
597
12,841
Atlas
Copco
AB,
Class
B
1,986
21,190
Evolution
AB
(a)
773
75,294
Investor
AB,
Class
B
1,533
27,749
Skanska
AB,
Class
B
2,566
40,677
Svenska
Handelsbanken
AB,
Class
A
1,932
19,451
Swedbank
AB,
Class
A
204
3,470
Telefonaktiebolaget
LM
Ericsson,
Class
B
2,638
15,457
Volvo
AB,
Class
B
685
12,374
228,503
—
Switzerland
-
5.2%
ABB
Ltd.
(Registered)
1,798
54,799
Baloise
Holding
AG
(Registered)
495
76,332
Barry
Callebaut
AG
(Registered)
50
98,738
Kuehne
+
Nagel
International
AG
(Registered)
75
17,436
Novartis
AG
(Registered)
3,063
277,193
64
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
5.2%
(continued)
Sonova
Holding
AG
(Registered)
171
40,612
Swatch
Group
AG
(The)
261
74,182
Temenos
AG
(Registered)
1,103
60,680
UBS
Group
AG
(Registered)
3,179
59,086
759,058
—
United
Kingdom
-
9.6%
3i
Group
plc
766
12,354
Associated
British
Foods
plc
3,285
62,280
AstraZeneca
plc
185
25,034
Auto
Trader
Group
plc
(a)
2,376
14,796
Barclays
plc
79,019
150,357
Barratt
Developments
plc
8,211
39,218
BP
plc
22,692
130,932
British
American
Tobacco
plc
4,256
168,359
BT
Group
plc
8,342
11,264
Burberry
Group
plc
914
22,221
CK
Hutchison
Holdings
Ltd.
24,826
148,728
DCC
plc
570
28,028
HSBC
Holdings
plc
17,855
110,657
Imperial
Brands
plc
1,325
33,007
InterContinental
Hotels
Group
plc
2,316
132,889
Intertek
Group
plc
771
37,511
JD
Sports
Fashion
plc
6,075
9,232
Just
Eat
Takeaway.com
NV
*(a)
982
20,901
Lloyds
Banking
Group
plc
127,350
69,497
London
Stock
Exchange
Group
plc
285
24,488
Reckitt
Benckiser
Group
plc
242
16,775
Tesco
plc
42,683
115,025
Whitbread
plc
657
20,314
1,403,867
—
United
States
-
2.7%
Computershare
Ltd.
1,509
26,583
Haleon
plc
*
2,983
11,803
Nestle
SA
(Registered)
901
104,074
Roche
Holding
AG
116
36,452
Stellantis
NV
10,588
150,458
Swiss
Re
AG
748
69,939
399,309
—
TOTAL
COMMON
STOCKS
(Cost
$10,360,477)
11,096,418
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
18.4%
INVESTMENT
COMPANIES
-
18.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
3.94%
(1)(d)(e)
650,879
650,879
Limited
Purpose
Cash
Investment
Fund,
4.08%
(1)(d)
2,032,785
2,031,973
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$2,682,852)
2,682,852
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.4%
(Cost
$13,043,329)
13,779,270
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
5.6%
(f)
815,674
NET
ASSETS
-
100.0%
14,594,944
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
345,114
2.4
%
Consumer
Discr
etionary
1,346,114
9.2
Consumer
Staples
938,793
6.4
Energy
758,629
5.2
Financials
2,025,191
13.9
Health
Care
978,400
6.7
Industrials
2,112,323
14.5
Information
Technology
582,087
4.0
Materials
1,553,630
10.6
Real
Estate
371,122
2.5
Utilities
85,015
0.6
Investment
Companies
2,682,852
18.4
Total
Investments
In
Securities
At
Value
13,779,270
94.4
Other
Assets
in
Excess
of
Liabilities
(f)
815,674
5.6
Net
Assets
$
14,594,944
100.0%
65
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$183,567,
which
represents
1.26%
of
net
assets
of
the
fund.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
December
31,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
December
31,
2022
amounted
to
$0,
which
represents
0.00%
of
net
assets
of
the
fund.
(d)
Represents
7-day
effective
yield
as
of
December
31,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security.
(3)
Level
3
security.
Total
return
swap
contracts
outstanding
as
of
December
31,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
03/17/2023
CHF
(426,240)
$
14,047
Swiss
Market
Index
March
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
JPMC
03/17/2023
CHF
(213,120)
4,273
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
(-0.70%)
Monthly
JPMC
03/15/2023
EUR
(89,761)
880
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
(-1.00%)
Monthly
JPMC
03/15/2023
SEK
(1,082,873)
3,404
MSCI
Switzerland
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.00%)
Monthly
JPMC
03/15/2023
CHF
(100,422)
3,536
26,140
Tel
Aviv
Stock
Exchange
35
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TELBOR
plus
or
minus
a
specified
spread
(-0.30%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
03/15/2023
ILS
388,796
(3,457)
66
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.28%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
03/15/2023
EUR
1,701,797
$
(38,010)
(41,467)
$
(15,327)
Futures
contracts
outstanding
as
of
December
31,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
Singapore
Index
3
1/2023
SGD
$
65,078
$
7
FTSE
100
Index
3
3/2023
GBP
270,781
349
SPI
200
Index
1
3/2023
AUD
119,013
451
TOPIX
Index
21
3/2023
JPY
3,026,630
(77,712)
(76,905)
Short
Contracts
Amsterdam
Exchange
Index
(2)
1/2023
EUR
(295,295)
17,156
Hang
Seng
Index
(2)
1/2023
HKD
(255,142)
(515)
IBEX
35
Index
(1)
1/2023
EUR
(87,716)
939
OMXS30
Index
(4)
1/2023
SEK
(78,276)
3,390
DAX
Index
(1)
3/2023
EUR
(374,337)
14,422
35,392
$
(41,513)
Forward
Foreign
Currency
Exchange
Contracts
outstanding
as
of
December
31,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
2,136,547
USD
1,438,210
CITG
3/15/2023
$
20,606
AUD
2,136,540
USD
1,438,011
JPMC
3/15/2023
20,801
CHF
523,500
USD
567,268
CITG
3/15/2023
3,262
CHF
523,500
USD
567,265
JPMC
3/15/2023
3,264
DKK
556,000
USD
79,524
CITG
3/15/2023
948
DKK
556,000
USD
79,524
JPMC
3/15/2023
948
EUR
2,132,308
USD
2,238,723
CITG
3/15/2023
54,867
EUR
2,132,304
USD
2,238,713
JPMC
3/15/2023
54,872
GBP
267,500
USD
320,045
CITG
3/15/2023
3,918
GBP
267,500
USD
320,045
JPMC
3/15/2023
3,918
HKD
84,500
USD
10,819
CITG
3/15/2023
21
HKD
84,500
USD
10,819
JPMC
3/15/2023
21
JPY
210,142,500
USD
1,567,430
CITG
3/15/2023
49,026
JPY
210,142,500
USD
1,567,422
JPMC
3/15/2023
49,035
67
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
NOK
13,322,442
USD
1,340,745
CITG
3/15/2023
$
23,274
NOK
13,322,436
USD
1,340,742
JPMC
3/15/2023
23,276
NZD
33,382
USD
20,918
CITG
3/15/2023
293
NZD
33,376
USD
20,914
JPMC
3/15/2023
293
SEK
19,000
USD
1,825
CITG
3/15/2023
3
SEK
19,000
USD
1,825
JPMC
3/15/2023
3
SGD
74,446
USD
54,459
CITG
3/15/2023
1,185
SGD
74,444
USD
54,458
JPMC
3/15/2023
1,185
USD
159,608
AUD
233,000
CITG
3/15/2023
518
USD
159,609
AUD
233,000
JPMC
3/15/2023
518
USD
3,273
CHF
3,000
CITG
3/15/2023
3
USD
3,273
CHF
3,000
JPMC
3/15/2023
3
USD
556,879
GBP
453,809
CITG
3/15/2023
7,283
USD
556,880
GBP
453,808
JPMC
3/15/2023
7,286
USD
42,592
HKD
331,500
CITG
3/15/2023
63
USD
42,592
HKD
331,500
JPMC
3/15/2023
63
USD
54,067
ILS
185,500
CITG
3/15/2023
1,090
USD
54,067
ILS
185,500
JPMC
3/15/2023
1,090
USD
136,027
NOK
1,321,000
CITG
3/15/2023
777
USD
136,028
NOK
1,321,000
JPMC
3/15/2023
778
USD
12,160
NZD
19,000
CITG
3/15/2023
87
USD
12,160
NZD
19,000
JPMC
3/15/2023
87
USD
17,768
SEK
182,000
CITG
3/15/2023
255
USD
17,768
SEK
182,000
JPMC
3/15/2023
255
Total
unrealized
appreciation
335,175
AUD
825,619
USD
564,485
CITG
3/15/2023
(759)
AUD
825,617
USD
564,481
JPMC
3/15/2023
(757)
GBP
434,000
USD
530,189
CITG
3/15/2023
(4,584)
GBP
434,000
USD
530,186
JPMC
3/15/2023
(4,579)
HKD
932,500
USD
119,797
CITG
3/15/2023
(169)
HKD
932,500
USD
119,797
JPMC
3/15/2023
(168)
ILS
372,263
USD
108,880
CITG
3/15/2023
(2,565)
ILS
372,261
USD
108,880
JPMC
3/15/2023
(2,565)
NOK
2,220,407
USD
228,503
CITG
3/15/2023
(1,166)
NOK
2,220,406
USD
228,502
JPMC
3/15/2023
(1,166)
NZD
11,794
USD
7,560
CITG
3/15/2023
(67)
NZD
11,793
USD
7,560
JPMC
3/15/2023
(67)
SEK
1,895,500
USD
184,083
CITG
3/15/2023
(1,700)
SEK
1,895,500
USD
184,083
JPMC
3/15/2023
(1,699)
USD
1,014,639
AUD
1,507,000
CITG
3/15/2023
(14,329)
USD
1,014,644
AUD
1,507,000
JPMC
3/15/2023
(14,323)
USD
929,042
CHF
868,302
CITG
3/15/2023
(17,264)
USD
929,032
CHF
868,291
JPMC
3/15/2023
(17,262)
USD
43,507
DKK
304,500
CITG
3/15/2023
(565)
USD
43,507
DKK
304,500
JPMC
3/15/2023
(564)
USD
1,027,689
EUR
961,000
CITG
3/15/2023
(5,999)
USD
1,027,694
EUR
961,000
JPMC
3/15/2023
(5,994)
USD
105,440
GBP
87,808
CITG
3/15/2023
(902)
USD
105,440
GBP
87,808
JPMC
3/15/2023
(902)
USD
81,223
HKD
634,334
CITG
3/15/2023
(152)
USD
81,223
HKD
634,335
JPMC
3/15/2023
(152)
USD
2,191,455
JPY
296,797,874
CITG
3/15/2023
(91,572)
USD
2,191,460
JPY
296,797,863
JPMC
3/15/2023
(91,567)
USD
924,346
NOK
9,236,500
CITG
3/15/2023
(21,334)
USD
924,347
NOK
9,236,500
JPMC
3/15/2023
(21,333)
USD
1,893
NZD
3,000
CITG
3/15/2023
(13)
USD
1,893
NZD
3,000
JPMC
3/15/2023
(13)
USD
245,255
SEK
2,579,350
CITG
3/15/2023
(2,927)
68
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
December
31,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
245,255
SEK
2,579,348
JPMC
3/15/2023
$
(2,927)
USD
23,954
SGD
32,500
CITG
3/15/2023
(338)
USD
23,954
SGD
32,500
JPMC
3/15/2023
(338)
Total
unrealized
depreciation
(332,781)
Net
unrealized
appreciation
$
2,394
69
Schedule
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
December
2022
See
notes
to
Schedule
of
Investments.
December
31,
2022
(Unaudited)
Abbreviations
ADR
-
American
Depositary
Receipt
GDR
-
Global
Depositary
Receipt
NVDR
-
Non-Voting
Depositary
Receipt
OYJ
-
Public
Traded
Company
PJSC
-
Public
Joint
Stock
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference. Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
Currencies
AUD
-
Australian
Dollar
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
DKK
-
Danish
Krone
EUR
-
Euro
GBP
-
British
Pound
HKD
-
Hong
Kong
Dollar
ILS
-
Israeli
Shekel
JPY
-
Japanese
Yen
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
USD
-
United
States
Dollar
The
following
abbreviations
are
used
for
counterparty
descriptions:
CITG
-
Citigroup
Global
Markets,
Inc.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
2.41%
Euro
Short-Term
Rate
("ESTR"):
1.89%
Singapore
Overnight
Rate
Average
(“SORA”):
2.53%
Swiss
Average
Rate
Overnight
(“SARON”
):
0.94%
Tel
Aviv
Interbank
Offer
Rate
("TELBOR"):
3.58%
Tokyo
Overnight
Average
Rate
(“TONAR”): -0.02%
70
Notes
to
Schedules
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
December
2022
December
31,
2022
(Unaudited)
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
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.
AQR
LARGE
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
858,811,403
$
–
$
–
$
858,811,403
Short-Term
Investments
...........................
49,747,218
–
–
49,747,218
Total
Assets
$
908,558,621
$
–
$
–
$
908,558,621
LIABILITIES
Futures
Contracts*
...............................
$
(176,686)
$
–
$
–
$
(176,686)
Total
Liabilities
$
(176,686)
$
–
$
–
$
(176,686)
AQR
SMALL
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
110,855,517
$
–
$
32,582
$
110,888,099
Short-Term
Investments
...........................
4,328,463
–
–
4,328,463
Total
Assets
$
115,183,980
$
–
$
32,582
$
115,216,562
LIABILITIES
Futures
Contracts*
...............................
$
(110,430)
$
–
$
–
$
(110,430)
Total
Liabilities
$
(110,430)
$
–
$
–
$
(110,430)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
42,403,222
$
371,989,024
$
–
$
414,392,246
Short-Term
Investments
...........................
10,535,537
–
–
10,535,537
Total
Assets
$
52,938,759
$
371,989,024
$
–
$
424,927,783
71
Notes
to
Schedules
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
December
2022
December
31,
2022
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
LIABILITIES
Futures
Contracts*
...............................
$
(110,237)
$
–
$
–
$
(110,237)
Total
Liabilities
$
(110,237)
$
–
$
–
$
(110,237)
AQR
EMERGING
MULTI-STYLE
II
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
68,136,946
$
399,691,030
$
83,206
$
467,911,182
Short-Term
Investments
...........................
7,285,447
–
–
7,285,447
Units
.........................................
–
163,196
–
163,196
Total
Assets
$
75,422,393
$
399,854,226
$
83,206
$
475,359,825
LIABILITIES
Futures
Contracts*
...............................
$
(72,415)
$
–
$
–
$
(72,415)
Total
Liabilities
$
(72,415)
$
–
$
–
$
(72,415)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
699,252,482
$
–
$
–
$
699,252,482
Short-Term
Investments
...........................
10,998,807
–
–
10,998,807
Total
Assets
$
710,251,289
$
–
$
–
$
710,251,289
LIABILITIES
Futures
Contracts*
...............................
$
(212,013)
$
–
$
–
$
(212,013)
Total
Liabilities
$
(212,013)
$
–
$
–
$
(212,013)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
204,176,478
$
–
$
34,142
$
204,210,620
Short-Term
Investments
...........................
6,681,866
–
–
6,681,866
Total
Assets
$
210,858,344
$
–
$
34,142
$
210,892,486
LIABILITIES
Futures
Contracts*
...............................
$
(179,841)
$
–
$
–
$
(179,841)
Total
Liabilities
$
(179,841)
$
–
$
–
$
(179,841)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
52,481,590
$
290,209,235
$
–
$
342,690,825
Short-Term
Investments
...........................
7,635,763
–
–
7,635,763
Total
Assets
$
60,117,353
$
290,209,235
$
–
$
350,326,588
LIABILITIES
Futures
Contracts*
...............................
$
(136,807)
$
–
$
–
$
(136,807)
Total
Liabilities
$
(136,807)
$
–
$
–
$
(136,807)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
3,913,298,523
$
–
$
–
$
3,913,298,523
Short-Term
Investments
...........................
160,286,489
–
–
160,286,489
Futures
Contracts*
...............................
1,123,896
–
–
1,123,896
Total
Assets
$
4,074,708,908
$
–
$
–
$
4,074,708,908
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
34,532,043
$
225,528,528
$
–
$
260,060,571
Short-Term
Investments
...........................
9,230,994
–
–
9,230,994
Total
Assets
$
43,763,037
$
225,528,528
$
–
$
269,291,565
LIABILITIES
Futures
Contracts*
...............................
$
(117,498)
$
–
$
–
$
(117,498)
Total
Liabilities
$
(117,498)
$
–
$
–
$
(117,498)
72
Notes
to
Schedules
of
Investments
AQR
Funds
|
N-PORT
Part
F
|
December
2022
December
31,
2022
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price.
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
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
At
a
meeting
held
on
December
6,
2022,
the
Board
of
Trustees
of
the
AQR
Funds
approved
a
proposal
to
liquidate
the
AQR
International
Equity
Fund.
In
addition
to
the
Fund's
scheduled
December
2022
annual
income
and
capital
gains
distribution,
the
Fund
declared
additional
dividends
to
all
holders
of
record
as
of
January
20,
2023,
consisting
of
undistributed
income
of
the
Fund.
On
January
27,
2023
(the
"Liquidation
Date"),
the
Fund
made
a
liquidating
distribution
of
its
remaining
assets
proportionately
to
any
shareholders
holding
shares
on
the
Liquidation
Date.
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events
other
than
that
disclosed
above.
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
184,535,981
$
76,151,462
$
–
(a)
$
260,687,443
Short-Term
Investments
...........................
18,254,782
–
–
18,254,782
Futures
Contracts*
...............................
1,528,726
–
–
1,528,726
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,447,351
–
3,447,351
Total
Return
Swaps
Contracts*
......................
–
301,182
–
301,182
Total
Assets
$
204,319,489
$
79,899,995
$
–
(a)
$
284,219,484
LIABILITIES
Futures
Contracts*
...............................
$
(2,109,361)
$
–
$
–
$
(2,109,361)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(3,308,438)
–
(3,308,438)
Total
Return
Swaps
Contracts*
......................
–
(252,930)
–
(252,930)
Total
Liabilities
$
(2,109,361)
$
(3,561,368)
$
–
$
(5,670,729)
AQR
INTERNATIONAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
10,857
$
11,085,561
$
–
(a)
$
11,096,418
Short-Term
Investments
...........................
2,682,852
–
–
2,682,852
Futures
Contracts*
...............................
36,714
–
–
36,714
Forward
Foreign
Currency
Exchange
Contracts*
........
–
335,175
–
335,175
Total
Return
Swaps
Contracts*
......................
–
26,140
–
26,140
Total
Assets
$
2,730,423
$
11,446,876
$
–
(a)
$
14,177,299
LIABILITIES
Futures
Contracts*
...............................
$
(78,227)
$
–
$
–
$
(78,227)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(332,781)
–
(332,781)
Total
Return
Swaps
Contracts*
......................
–
(41,467)
–
(41,467)
Total
Liabilities
$
(78,227)
$
(374,248)
$
–
$
(452,475)
*
Derivative
instruments,
including
futures,
forward
foreign
currency
exchange
and
total
return
swap
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Credit
default
swaps
and
interest
rate
swaps
contracts
are
reported
at
market
value.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.