UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
One Greenwich Plaza, Suite 130
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
H.J. Willcox, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
One Greenwich Plaza, Suite 130
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: September 30
Date of reporting period: October 1, 2022 to March 31, 2023
Item 1. Reports to Shareholders.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1.)
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not applicable.
Semi-Annual
Report
March
31,
2023
(Unaudited)
AQR
Large
Cap
Multi-Style
Fund
AQR
Small
Cap
Multi-Style
Fund
AQR
International
Multi-Style
Fund
AQR
Emerging
Multi-Style
II
Fund
AQR
Large
Cap
Momentum
Style
Fund
AQR
Small
Cap
Momentum
Style
Fund
AQR
International
Momentum
Style
Fund
AQR
Large
Cap
Defensive
Style
Fund
AQR
International
Defensive
Style
Fund
AQR
Global
Equity
Fund
Table
of
Contents
Schedule
of
Investments
AQR
Large
Cap
Multi-Style
Fund
....................................................................
2
AQR
Small
Cap
Multi-Style
Fund
....................................................................
6
AQR
International
Multi-Style
Fund
..................................................................
14
AQR
Emerging
Multi-Style
II
Fund
...................................................................
18
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
23
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
29
AQR
International
Momentum
Style
Fund
..............................................................
38
AQR
Large
Cap
Defensive
Style
Fund
................................................................
43
AQR
International
Defensive
Style
Fund
...............................................................
48
AQR
Global
Equity
Fund
..........................................................................
53
Financial
Statements
and
Notes
........................................................................
62
Fund
Expense
Examples
(Unaudited)
....................................................................
108
2
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.3%
Aerospace
&
Defense
-
3.0%
Curtiss-Wright
Corp.
7,365
1,298,155
General
Dynamics
Corp.
31,816
7,260,729
Howmet
Aerospace,
Inc.
40,076
1,698,020
Huntington
Ingalls
Industries,
Inc.
16,119
3,336,955
Lockheed
Martin
Corp.
15,377
7,269,169
Textron,
Inc.
107,934
7,623,379
28,486,407
Automobile
Components
-
0.6%
BorgWarner,
Inc.
84,570
4,153,233
Lear
Corp.
7,986
1,113,967
5,267,200
Automobiles
-
1.2%
General
Motors
Co.
259,459
9,516,956
Tesla,
Inc.
11,058
2,294,093
11,811,049
Banks
-
1.6%
Citigroup,
Inc.
57,494
2,695,894
First
Citizens
BancShares,
Inc.,
Class
A
390
379,509
FNB
Corp.
30,369
352,280
JPMorgan
Chase
&
Co.
39,446
5,140,208
M&T
Bank
Corp.
6,219
743,606
Popular,
Inc.
107,169
6,152,572
15,464,069
Biotechnology
-
2.0%
AbbVie,
Inc.
3,580
570,544
Amgen,
Inc.
10,707
2,588,417
Biogen,
Inc.
*
11,621
3,230,987
Gilead
Sciences,
Inc.
13,578
1,126,567
Horizon
Therapeutics
plc
*
5,383
587,501
Moderna,
Inc.
*
23,263
3,572,731
Regeneron
Pharmaceuticals,
Inc.
*
895
735,395
United
Therapeutics
Corp.
*
29,190
6,537,392
18,949,534
Broadline
Retail
-
2.0%
Amazon.com,
Inc.
96,613
9,979,157
Macy's,
Inc.
499,340
8,733,456
18,712,613
Building
Products
-
1.6%
Builders
FirstSource,
Inc.
*
79,517
7,059,519
Masterbrand,
Inc.
*
71,736
576,757
Owens
Corning
77,276
7,403,041
Trane
Technologies
plc
1,767
325,093
15,364,410
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
0.8%
Ameriprise
Financial,
Inc.
22,509
6,899,009
Morgan
Stanley
5,289
464,374
7,363,383
Chemicals
-
3.4%
CF
Industries
Holdings,
Inc.
101,036
7,324,100
Chemours
Co.
(The)
89,329
2,674,510
Huntsman
Corp.
224,457
6,141,144
LyondellBasell
Industries
NV,
Class
A
77,709
7,296,098
Mosaic
Co.
(The)
94,087
4,316,712
Olin
Corp.
76,175
4,227,712
31,980,276
Commercial
Services
&
Supplies
-
0.9%
Cintas
Corp.
1,315
608,424
Copart,
Inc.
*
10,142
762,780
Waste
Management,
Inc.
43,926
7,167,405
8,538,609
Communications
Equipment
-
0.9%
Cisco
Systems,
Inc.
158,269
8,273,512
Construction
&
Engineering
-
0.0%
(a)
Valmont
Industries,
Inc.
1,443
460,721
Construction
Materials
-
0.1%
Eagle
Materials,
Inc.
6,584
966,202
Consumer
Finance
-
0.3%
SLM
Corp.
80,562
998,163
Synchrony
Financial
73,384
2,134,007
3,132,170
Consumer
Staples
Distribution
&
Retail
-
2.7%
Albertsons
Cos.,
Inc.,
Class
A
4,409
91,619
Costco
Wholesale
Corp.
5,737
2,850,543
Kroger
Co.
(The)
147,970
7,305,279
Target
Corp.
24,912
4,126,175
Walgreens
Boots
Alliance,
Inc.
90,998
3,146,711
Walmart,
Inc.
56,207
8,287,722
25,808,049
Containers
&
Packaging
-
0.8%
Berry
Global
Group,
Inc.
60,902
3,587,128
International
Paper
Co.
93,071
3,356,140
Westrock
Co.
33,640
1,025,011
7,968,279
Distributors
-
0.0%
(a)
LKQ
Corp.
8,234
467,362
Diversified
Consumer
Services
-
0.4%
H&R
Block,
Inc.
96,640
3,406,560
Diversified
Telecommunication
Services
-
1.0%
AT&T,
Inc.
494,460
9,518,355
3
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electric
Utilities
-
0.5%
NRG
Energy,
Inc.
132,958
4,559,130
Electrical
Equipment
-
1.1%
Acuity
Brands,
Inc.
41,644
7,609,608
Generac
Holdings,
Inc.
*
24,835
2,682,428
10,292,036
Electronic
Equipment,
Instruments
&
Components
-
2.2%
Arrow
Electronics,
Inc.
*
95,027
11,866,021
CDW
Corp.
1,804
351,582
Jabil,
Inc.
98,238
8,660,662
20,878,265
Entertainment
-
0.5%
Activision
Blizzard,
Inc.
21,255
1,819,215
Playtika
Holding
Corp.
*
253,569
2,855,187
4,674,402
Financial
Services
-
2.0%
Berkshire
Hathaway,
Inc.,
Class
B
*
43,607
13,464,533
Mastercard,
Inc.,
Class
A
8,627
3,135,138
Visa,
Inc.,
Class
A
10,426
2,350,646
18,950,317
Food
Products
-
0.8%
Archer-Daniels-Midland
Co.
35,067
2,793,437
Pilgrim's
Pride
Corp.
*
22,078
511,768
Tyson
Foods,
Inc.,
Class
A
65,174
3,866,122
7,171,327
Ground
Transportation
-
1.0%
Avis
Budget
Group,
Inc.
*
10,410
2,027,868
Knight-Swift
Transportation
Holdings,
Inc.
9,438
534,002
Landstar
System,
Inc.
2,004
359,237
Ryder
System,
Inc.
5,773
515,183
Schneider
National,
Inc.,
Class
B
126,122
3,373,763
U-Haul
Holding
Co.
1,585
94,545
XPO,
Inc.
*
91,582
2,921,466
9,826,064
Health
Care
Equipment
&
Supplies
-
0.1%
Abbott
Laboratories
6,000
607,560
Health
Care
Providers
&
Services
-
3.9%
CVS
Health
Corp.
66,540
4,944,587
Elevance
Health,
Inc.
24,456
11,245,113
McKesson
Corp.
9,346
3,327,643
Molina
Healthcare,
Inc.
*
25,826
6,908,197
UnitedHealth
Group,
Inc.
10,332
4,882,800
Universal
Health
Services,
Inc.,
Class
B
41,817
5,314,941
36,623,281
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
0.5%
Booking
Holdings,
Inc.
*
1,209
3,206,764
Expedia
Group,
Inc.
*
11,231
1,089,744
Travel
+
Leisure
Co.
14,175
555,660
4,852,168
Household
Durables
-
1.3%
Lennar
Corp.,
Class
A
27,071
2,845,433
PulteGroup,
Inc.
77,305
4,505,336
Toll
Brothers,
Inc.
88,810
5,331,264
12,682,033
Household
Products
-
1.3%
Procter
&
Gamble
Co.
(The)
81,758
12,156,597
Industrial
Conglomerates
-
0.6%
3M
Co.
55,807
5,865,874
Insurance
-
4.1%
Allstate
Corp.
(The)
86,235
9,555,700
American
International
Group,
Inc.
105,669
5,321,491
Assurant,
Inc.
2,455
294,772
Assured
Guaranty
Ltd.
8,238
414,124
Brighthouse
Financial,
Inc.
*
22,497
992,343
Everest
Re
Group
Ltd.
30,307
10,850,512
First
American
Financial
Corp.
28,795
1,602,730
MetLife,
Inc.
10,090
584,615
Old
Republic
International
Corp.
38,754
967,687
Principal
Financial
Group,
Inc.
7,629
566,987
Travelers
Cos.,
Inc.
(The)
1,930
330,821
Unum
Group
173,200
6,851,792
38,333,574
Interactive
Media
&
Services
-
2.6%
Alphabet,
Inc.,
Class
A
*
103,646
10,751,200
Alphabet,
Inc.,
Class
C
*
129,892
13,508,768
24,259,968
IT
Services
-
1.7%
Accenture
plc,
Class
A
14,799
4,229,702
Akamai
Technologies,
Inc.
*
5,431
425,247
Cognizant
Technology
Solutions
Corp.,
Class
A
41,453
2,525,731
DXC
Technology
Co.
*
153,080
3,912,725
EPAM
Systems,
Inc.
*
8,011
2,395,289
Kyndryl
Holdings,
Inc.
*
19,832
292,721
VeriSign,
Inc.
*
9,225
1,949,519
15,730,934
Life
Sciences
Tools
&
Services
-
1.2%
Danaher
Corp.
30,060
7,576,322
Syneos
Health,
Inc.
*
104,098
3,707,971
11,284,293
Machinery
-
3.9%
AGCO
Corp.
36,887
4,987,122
Allison
Transmission
Holdings,
Inc.
217,787
9,852,684
4
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
3.9%
(continued)
Caterpillar,
Inc.
1,663
380,561
Crane
Holdings
Co.
3,909
443,671
Cummins,
Inc.
5,311
1,268,692
Donaldson
Co.,
Inc.
11,100
725,274
Oshkosh
Corp.
28,905
2,404,318
PACCAR,
Inc.
131,863
9,652,372
Snap-on,
Inc.
16,004
3,951,227
Timken
Co.
(The)
36,576
2,988,991
36,654,912
Metals
&
Mining
-
2.4%
Nucor
Corp.
24,350
3,761,345
Reliance
Steel
&
Aluminum
Co.
27,179
6,977,936
Steel
Dynamics,
Inc.
51,208
5,789,577
United
States
Steel
Corp.
239,024
6,238,526
22,767,384
Oil,
Gas
&
Consumable
Fuels
-
7.7%
Chevron
Corp.
85,973
14,027,355
ConocoPhillips
93,975
9,323,260
Coterra
Energy,
Inc.
150,272
3,687,675
Devon
Energy
Corp.
15,743
796,753
EOG
Resources,
Inc.
55,181
6,325,398
Exxon
Mobil
Corp.
184,295
20,209,790
HF
Sinclair
Corp.
102,073
4,938,292
Marathon
Petroleum
Corp.
14,772
1,991,709
Occidental
Petroleum
Corp.
34,793
2,172,127
PDC
Energy,
Inc.
8,917
572,293
Pioneer
Natural
Resources
Co.
5,852
1,195,212
Valero
Energy
Corp.
52,747
7,363,481
72,603,345
Paper
&
Forest
Products
-
0.4%
Louisiana-Pacific
Corp.
66,584
3,609,519
Personal
Care
Products
-
0.2%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
7,313
1,802,362
Pharmaceuticals
-
2.0%
Johnson
&
Johnson
72,141
11,181,855
Pfizer,
Inc.
191,630
7,818,504
19,000,359
Professional
Services
-
1.5%
Booz
Allen
Hamilton
Holding
Corp.
39,385
3,650,596
Concentrix
Corp.
25,395
3,086,762
ManpowerGroup,
Inc.
54,035
4,459,508
Robert
Half
International,
Inc.
34,886
2,810,765
14,007,631
Semiconductors
&
Semiconductor
Equipment
-
5.9%
Applied
Materials,
Inc.
79,128
9,719,292
Broadcom,
Inc.
12,487
8,010,910
Cirrus
Logic,
Inc.
*
17,696
1,935,589
Intel
Corp.
115,174
3,762,735
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
5.9%
(continued)
Lam
Research
Corp.
14,577
7,727,559
Microchip
Technology,
Inc.
32,252
2,702,073
Micron
Technology,
Inc.
69,118
4,170,580
NVIDIA
Corp.
9,303
2,584,094
ON
Semiconductor
Corp.
*
87,091
7,169,331
QUALCOMM,
Inc.
19,055
2,431,037
Skyworks
Solutions,
Inc.
7,300
861,254
Teradyne,
Inc.
12,312
1,323,663
Texas
Instruments,
Inc.
20,600
3,831,806
56,229,923
Software
-
9.6%
Adobe,
Inc.
*
25,341
9,765,661
AppLovin
Corp.,
Class
A
*
77,757
1,224,673
Cadence
Design
Systems,
Inc.
*
32,463
6,820,152
DocuSign,
Inc.
*
27,581
1,607,972
Fortinet,
Inc.
*
7,915
526,031
Intuit,
Inc.
673
300,044
Manhattan
Associates,
Inc.
*
4,944
765,578
Microsoft
Corp.
225,157
64,912,763
NCR
Corp.
*
113,149
2,669,185
Teradata
Corp.
*
33,371
1,344,184
VMware,
Inc.,
Class
A
*
6,693
835,621
90,771,864
Specialty
Retail
-
3.9%
AutoNation,
Inc.
*
83,273
11,188,560
Bath
&
Body
Works,
Inc.
147,463
5,394,196
Best
Buy
Co.,
Inc.
50,422
3,946,530
Dick's
Sporting
Goods,
Inc.
5,679
805,793
Home
Depot,
Inc.
(The)
1,055
311,352
Penske
Automotive
Group,
Inc.
51,358
7,283,078
Williams-Sonoma,
Inc.
61,380
7,467,491
36,397,000
Technology
Hardware,
Storage
&
Peripherals
-
8.4%
Apple,
Inc.
442,936
73,040,146
HP,
Inc.
214,628
6,299,332
79,339,478
Tobacco
-
0.0%
(a)
Philip
Morris
International,
Inc.
3,642
354,185
Trading
Companies
&
Distributors
-
0.7%
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
7,290
612,360
United
Rentals,
Inc.
14,863
5,882,181
6,494,541
TOTAL
COMMON
STOCKS
(Cost
$535,062,473)
900,719,086
5
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.3%
INVESTMENT
COMPANIES
-
4.3%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(b)
(Cost
$40,895,390)
40,912,356
40,895,991
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.6%
(Cost
$575,957,863)
941,615,077
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.4%
(c)
3,759,503
NET
ASSETS
-
100.0%
945,374,580
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
38,452,725
4.1
%
Consumer
Discretionary
93,595,984
9.9
Consumer
Staples
47,292,519
5.0
Energy
72,603,344
7.7
Financials
83,243,514
8.8
Health
Care
86,465,028
9.1
Industrials
135,991,207
14.4
Information
Technology
271,223,976
28.7
Materials
67,291,659
7.1
Utilities
4,559,130
0.5
Investment
Companies
40,895,991
4.3
Total
Investments
In
Securities
At
Value
941,615,077
99.6
Other
Assets
in
Excess
of
Liabilities
(c
)
3,759,503
0.4
Net
Assets
$
945,374,580
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
March
31,
2023.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
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
172
6/2023
USD
$
35,584,650
$
1,569,418
$
1,569,418
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
1,046,653
$
1,046,653
6
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
98.4%
Aerospace
&
Defense
-
1.0%
AAR
Corp.
*
1,965
107,191
Aerojet
Rocketdyne
Holdings,
Inc.
*
3,839
215,637
AerSale
Corp.
*
15,247
262,553
Ducommun,
Inc.
*
1,921
105,098
Maxar
Technologies,
Inc.
2,692
137,453
Moog,
Inc.,
Class
A
1,353
136,315
National
Presto
Industries,
Inc.
479
34,531
Triumph
Group,
Inc.
*
2,871
33,275
V2X,
Inc.
*
511
20,297
1,052,350
Air
Freight
&
Logistics
-
0.5%
Hub
Group,
Inc.,
Class
A
*
6,511
546,533
Automobile
Components
-
1.3%
Adient
plc
*
2,404
98,468
American
Axle
&
Manufacturing
Holdings,
Inc.
*
4,946
38,628
Dana,
Inc.
19,917
299,751
Goodyear
Tire
&
Rubber
Co.
(The)
*
27,709
305,353
LCI
Industries
1,718
188,757
Modine
Manufacturing
Co.
*
3,702
85,331
Patrick
Industries,
Inc.
5,106
351,344
XPEL,
Inc.
*(a)
738
50,147
1,417,779
Automobiles
-
0.2%
Cenntro
Electric
Group
Ltd.
(Australia)
*
191,834
88,589
Winnebago
Industries,
Inc.
1,911
110,265
198,854
Banks
-
4.2%
1st
Source
Corp.
4,426
190,982
Bancorp,
Inc.
(The)
*
7,871
219,207
BCB
Bancorp,
Inc.
7,222
94,825
Cathay
General
Bancorp
9,115
314,650
Central
Pacific
Financial
Corp.
3,669
65,675
Community
Trust
Bancorp,
Inc.
1,260
47,817
Customers
Bancorp,
Inc.
*
17,043
315,636
First
Financial
Corp.
3,969
148,758
First
Internet
Bancorp
5,145
85,664
First
Merchants
Corp.
4,786
157,699
First
of
Long
Island
Corp.
(The)
5,174
69,849
Fulton
Financial
Corp.
5,753
79,507
Great
Southern
Bancorp,
Inc.
7,773
393,936
Hancock
Whitney
Corp.
1,620
58,968
Hanmi
Financial
Corp.
8,072
149,897
Heartland
Financial
USA,
Inc.
9,631
369,445
HomeTrust
Bancshares,
Inc.
1,409
34,647
Independent
Bank
Corp.
6,074
107,935
International
Bancshares
Corp.
10,172
435,565
Lakeland
Bancorp,
Inc.
1,943
30,389
Mercantile
Bank
Corp.
3,887
118,864
INVESTMENTS
SHARES
VALUE
($)
Banks
-
4.2%
(continued)
Midland
States
Bancorp,
Inc.
10,578
226,581
NBT
Bancorp,
Inc.
4,174
140,706
OceanFirst
Financial
Corp.
8,560
158,189
OFG
Bancorp
3,834
95,620
Peapack-Gladstone
Financial
Corp.
1,458
43,186
Preferred
Bank
614
33,653
QCR
Holdings,
Inc.
961
42,198
S&T
Bancorp,
Inc.
4,394
138,191
TrustCo
Bank
Corp.
3,610
115,303
4,483,542
Beverages
-
1.3%
Celsius
Holdings,
Inc.
*
3,267
303,635
Coca-Cola
Consolidated,
Inc.
971
519,562
MGP
Ingredients,
Inc.
2,225
215,202
National
Beverage
Corp.
*
2,361
124,472
Primo
Water
Corp.
2,211
33,939
Vintage
Wine
Estates,
Inc.
*
45,870
49,081
Vita
Coco
Co.,
Inc.
(The)
*
8,955
175,697
1,421,588
Biotechnology
-
6.0%
ACADIA
Pharmaceuticals,
Inc.
*
4,832
90,938
ADMA
Biologics,
Inc.
*
41,121
136,110
Alkermes
plc
*
8,049
226,901
Amicus
Therapeutics,
Inc.
*
15,837
175,632
Anika
Therapeutics,
Inc.
*
3,350
96,212
Arcus
Biosciences,
Inc.
*
12,557
229,040
Arrowhead
Pharmaceuticals,
Inc.
*
1,240
31,496
C4
Therapeutics,
Inc.
*
16,358
51,364
Catalyst
Pharmaceuticals,
Inc.
*
51,087
847,022
Chimerix,
Inc.
*
117,818
148,451
Cullinan
Oncology,
Inc.
*
13,486
137,962
Cytokinetics,
Inc.
*
3,638
128,021
Eagle
Pharmaceuticals,
Inc.
*
30,950
878,051
Eiger
BioPharmaceuticals,
Inc.
*
58,377
52,358
Foghorn
Therapeutics,
Inc.
*
2,853
17,689
Halozyme
Therapeutics,
Inc.
*
6,000
229,140
Insmed,
Inc.
*
6,637
113,161
Ironwood
Pharmaceuticals,
Inc.
*
52,444
551,711
iTeos
Therapeutics,
Inc.
*
18,962
258,073
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
27,564
296,589
Madrigal
Pharmaceuticals,
Inc.
*
595
144,145
Organogenesis
Holdings,
Inc.
*
175,068
372,895
PDL
BioPharma,
Inc.
(3)*(b)
32,677
32,582
Precigen,
Inc.
*
31,914
33,829
Sutro
Biopharma,
Inc.
*
17,850
82,467
Syndax
Pharmaceuticals,
Inc.
*
2,080
43,930
Veracyte,
Inc.
*
9,826
219,120
Vericel
Corp.
*
6,388
187,296
Vir
Biotechnology,
Inc.
*
24,716
575,141
7
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
6.0%
(continued)
Xencor,
Inc.
*
4,980
138,892
6,526,218
Broadline
Retail
-
0.2%
Dillard's,
Inc.,
Class
A
611
187,992
Building
Products
-
2.0%
Apogee
Enterprises,
Inc.
13,179
569,992
Insteel
Industries,
Inc.
8,249
229,487
JELD-WEN
Holding,
Inc.
*
3,030
38,360
PGT
Innovations,
Inc.
*
3,984
100,038
Quanex
Building
Products
Corp.
7,617
163,994
UFP
Industries,
Inc.
13,298
1,056,792
2,158,663
Capital
Markets
-
1.3%
Brightsphere
Investment
Group,
Inc.
4,263
100,522
Cohen
&
Steers,
Inc.
1,237
79,118
Diamond
Hill
Investment
Group,
Inc.
625
102,862
Donnelley
Financial
Solutions,
Inc.
*
5,640
230,450
Federated
Hermes,
Inc.,
Class
B
7,470
299,846
Houlihan
Lokey,
Inc.
363
31,759
Oppenheimer
Holdings,
Inc.,
Class
A
7,017
274,716
StoneX
Group,
Inc.
*
1,990
206,025
Virtus
Investment
Partners,
Inc.
373
71,015
1,396,313
Chemicals
-
2.0%
AdvanSix,
Inc.
8,910
340,986
American
Vanguard
Corp.
7,889
172,611
FutureFuel
Corp.
57,094
421,354
Intrepid
Potash,
Inc.
*
10,188
281,189
Koppers
Holdings,
Inc.
3,235
113,128
Kronos
Worldwide,
Inc.
5,109
47,054
Livent
Corp.
*
2,273
49,369
LSB
Industries,
Inc.
*
15,894
164,185
Rayonier
Advanced
Materials,
Inc.
*
16,673
104,540
Stepan
Co.
2,573
265,096
Tronox
Holdings
plc
14,764
212,306
Valhi,
Inc.
368
6,407
2,178,225
Commercial
Services
&
Supplies
-
0.6%
ACCO
Brands
Corp.
42,505
226,127
Deluxe
Corp.
2,566
41,056
Ennis,
Inc.
10,149
214,042
Interface,
Inc.
16,972
137,813
VSE
Corp.
1,057
47,459
666,497
INVESTMENTS
SHARES
VALUE
($)
Communications
Equipment
-
0.9%
Aviat
Networks,
Inc.
*
2,196
75,674
Calix,
Inc.
*
4,998
267,843
Clearfield,
Inc.
*
758
35,308
CommScope
Holding
Co.,
Inc.
*
8,874
56,527
Digi
International,
Inc.
*
3,152
106,159
Extreme
Networks,
Inc.
*
18,579
355,231
NetScout
Systems,
Inc.
*
3,078
88,185
984,927
Construction
&
Engineering
-
3.2%
API
Group
Corp.
*
7,968
179,121
Arcosa,
Inc.
3,429
216,404
Comfort
Systems
USA,
Inc.
2,375
346,655
EMCOR
Group,
Inc.
5,140
835,713
Fluor
Corp.
*
2,573
79,531
MYR
Group,
Inc.
*
8,678
1,093,515
Northwest
Pipe
Co.
*
5,417
169,173
Primoris
Services
Corp.
5,206
128,380
Sterling
Infrastructure,
Inc.
*
7,551
286,032
Tutor
Perini
Corp.
*
23,226
143,304
3,477,828
Consumer
Finance
-
0.6%
Bread
Financial
Holdings,
Inc.
5,097
154,541
Encore
Capital
Group,
Inc.
*
3,140
158,413
Enova
International,
Inc.
*
2,470
109,742
Navient
Corp.
2,646
42,310
Oportun
Financial
Corp.
*
44,508
171,801
636,807
Consumer
Staples
Distribution
&
Retail
-
1.3%
Fresh
Market,
Inc.
(The)
Escrow
(3)*(b)
199
–
Ingles
Markets,
Inc.,
Class
A
7,717
684,498
SpartanNash
Co.
1,939
48,087
Sprouts
Farmers
Market,
Inc.
*
7,762
271,903
United
Natural
Foods,
Inc.
*
10,349
272,696
Weis
Markets,
Inc.
2,014
170,526
1,447,710
Containers
&
Packaging
-
0.2%
Greif,
Inc.,
Class
A
609
38,593
O-I
Glass,
Inc.
*
6,568
149,159
187,752
Diversified
Consumer
Services
-
1.2%
2U,
Inc.
13,857
94,920
Adtalem
Global
Education,
Inc.
*
1,456
56,231
American
Public
Education,
Inc.
*
29,702
160,985
Chegg,
Inc.
3,309
53,937
Perdoceo
Education
Corp.
*
46,677
626,872
Stride,
Inc.
*
3,904
153,232
WW
International,
Inc.
*
29,211
120,349
1,266,526
8
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Diversified
REITs
-
0.0%
(c)
One
Liberty
Properties,
Inc.,
REIT
1,370
31,414
Diversified
Telecommunication
Services
-
0.1%
EchoStar
Corp.,
Class
A
*
5,117
93,590
IDT
Corp.,
Class
B
*
1,305
44,474
138,064
Electric
Utilities
-
0.2%
PNM
Resources,
Inc.
4,384
213,413
Electrical
Equipment
-
2.1%
Array
Technologies,
Inc.
*
2,442
53,431
Atkore,
Inc.
*
7,373
1,035,759
Encore
Wire
Corp.
5,463
1,012,458
FuelCell
Energy,
Inc.
*
10,711
30,526
GrafTech
International
Ltd.
18,051
87,728
Heliogen,
Inc.
*
164,772
39,578
2,259,480
Electronic
Equipment,
Instruments
&
Components
-
4.1%
908
Devices,
Inc.
*
6,849
58,901
Advanced
Energy
Industries,
Inc.
496
48,608
Belden,
Inc.
917
79,568
Benchmark
Electronics,
Inc.
5,152
122,051
ePlus,
Inc.
*
6,394
313,562
Fabrinet
(Thailand)
*
5,092
604,726
Insight
Enterprises,
Inc.
*
8,746
1,250,328
Kimball
Electronics,
Inc.
*
3,423
82,494
Methode
Electronics,
Inc.
8,648
379,474
Ouster,
Inc.
*
44,066
36,870
PC
Connection,
Inc.
6,684
300,513
Sanmina
Corp.
*
10,765
656,557
ScanSource,
Inc.
*
1,900
57,836
TTM
Technologies,
Inc.
*
10,954
147,770
Vishay
Intertechnology,
Inc.
13,050
295,191
4,434,449
Energy
Equipment
&
Services
-
3.1%
Archrock,
Inc.
13,939
136,184
Cactus,
Inc.,
Class
A
1,645
67,823
ChampionX
Corp.
6,746
183,019
Dril-Quip,
Inc.
*
4,030
115,621
Helmerich
&
Payne,
Inc.
5,567
199,020
Liberty
Energy,
Inc.,
Class
A
60,023
768,895
National
Energy
Services
Reunited
Corp.
*
19,977
105,079
Newpark
Resources,
Inc.
*
15,209
58,555
NexTier
Oilfield
Solutions,
Inc.
*
61,780
491,151
Noble
Corp.
plc
*
5,994
236,583
Patterson-UTI
Energy,
Inc.
6,592
77,126
ProPetro
Holding
Corp.
*
53,512
384,751
RPC,
Inc.
25,100
193,019
Select
Energy
Services,
Inc.,
Class
A
5,527
38,468
Solaris
Oilfield
Infrastructure,
Inc.,
Class
A
12,094
103,283
INVESTMENTS
SHARES
VALUE
($)
Energy
Equipment
&
Services
-
3.1%
(continued)
Tidewater,
Inc.
*
979
43,154
US
Silica
Holdings,
Inc.
*
4,310
51,462
Weatherford
International
plc
*
2,365
140,363
3,393,556
Entertainment
-
0.1%
Playstudios,
Inc.
*
24,831
91,626
Financial
Services
-
2.4%
Banco
Latinoamericano
de
Comercio
Exterior
SA,
Class
E
(Panama)
5,279
91,749
Cass
Information
Systems,
Inc.
990
42,877
EVERTEC,
Inc.
6,528
220,320
Jackson
Financial,
Inc.,
Class
A
8,104
303,171
Mr
Cooper
Group,
Inc.
*
17,221
705,544
PennyMac
Financial
Services,
Inc.
3,862
230,214
Radian
Group,
Inc.
17,777
392,872
Repay
Holdings
Corp.
7,315
48,059
StoneCo
Ltd.,
Class
A
(Brazil)
*
50,135
478,288
Walker
&
Dunlop,
Inc.
677
51,567
2,564,661
Food
Products
-
1.8%
Alico,
Inc.
1,540
37,268
Calavo
Growers,
Inc.
5,000
143,850
Cal-Maine
Foods,
Inc.
11,692
711,926
Fresh
Del
Monte
Produce,
Inc.
3,900
117,429
John
B
Sanfilippo
&
Son,
Inc.
6,589
638,606
Seneca
Foods
Corp.,
Class
A
*
2,997
156,653
Vital
Farms,
Inc.
*
2,268
34,700
Whole
Earth
Brands,
Inc.
*
59,874
153,278
1,993,710
Gas
Utilities
-
0.3%
New
Jersey
Resources
Corp.
3,253
173,059
ONE
Gas,
Inc.
1,308
103,633
276,692
Ground
Transportation
-
1.2%
ArcBest
Corp.
8,678
802,021
Covenant
Logistics
Group,
Inc.
8,766
310,491
PAM
Transportation
Services,
Inc.
*
171
4,896
Universal
Logistics
Holdings,
Inc.
5,905
172,131
1,289,539
Health
Care
Equipment
&
Supplies
-
2.3%
Atrion
Corp.
118
74,093
Avanos
Medical,
Inc.
*
5,091
151,406
Bioventus,
Inc.,
Class
A
*
7,028
7,520
Figs,
Inc.,
Class
A
*
17,561
108,703
Haemonetics
Corp.
*
1,231
101,865
Inspire
Medical
Systems,
Inc.
*
535
125,227
Integer
Holdings
Corp.
*
1,940
150,350
Lantheus
Holdings,
Inc.
*
4,655
384,317
LeMaitre
Vascular,
Inc.
1,491
76,742
9
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
2.3%
(continued)
Merit
Medical
Systems,
Inc.
*
5,491
406,059
Shockwave
Medical,
Inc.
*
942
204,254
STAAR
Surgical
Co.
*
1,187
75,909
Tactile
Systems
Technology,
Inc.
*
17,908
294,049
Zimvie,
Inc.
*
21,476
155,272
Zynex,
Inc.
*
14,072
168,864
2,484,630
Health
Care
Providers
&
Services
-
3.0%
AdaptHealth
Corp.
*
7,309
90,851
Addus
HomeCare
Corp.
*
875
93,415
AMN
Healthcare
Services,
Inc.
*
4,391
364,277
Community
Health
Systems,
Inc.
*
47,710
233,779
CorVel
Corp.
*
2,593
493,396
Cross
Country
Healthcare,
Inc.
*
11,753
262,327
Ensign
Group,
Inc.
(The)
4,930
471,012
Fulgent
Genetics,
Inc.
*
5,510
172,022
Joint
Corp.
(The)
*
2,408
40,527
National
Research
Corp.
2,904
126,353
Owens
&
Minor,
Inc.
*
18,023
262,235
Patterson
Cos.,
Inc.
6,920
185,248
Pediatrix
Medical
Group,
Inc.
*
6,690
99,748
PetIQ,
Inc.
*
5,072
58,024
Select
Medical
Holdings
Corp.
10,100
261,085
3,214,299
Health
Care
REITs
-
0.2%
Diversified
Healthcare
Trust,
REIT
71,474
96,490
National
Health
Investors,
Inc.,
REIT
1,907
98,363
Sabra
Health
Care
REIT,
Inc.,
REIT
5,696
65,504
260,357
Health
Care
Technology
-
0.4%
Computer
Programs
and
Systems,
Inc.
*
1,208
36,481
Multiplan
Corp.
*
28,594
30,310
NextGen
Healthcare,
Inc.
*
3,083
53,675
OptimizeRx
Corp.
*
2,398
35,083
Simulations
Plus,
Inc.
1,686
74,083
Veradigm,
Inc.
*
19,146
249,855
479,487
Hotel
&
Resort
REITs
-
0.2%
Apple
Hospitality
REIT,
Inc.,
REIT
2,295
35,618
Service
Properties
Trust,
REIT
13,352
132,986
168,604
Hotels,
Restaurants
&
Leisure
-
1.7%
Bloomin'
Brands,
Inc.
11,605
297,668
Brinker
International,
Inc.
*
2,169
82,422
Hilton
Grand
Vacations,
Inc.
*
2,439
108,365
Inspired
Entertainment,
Inc.
*
8,406
107,513
International
Game
Technology
plc
1,324
35,483
Monarch
Casino
&
Resort,
Inc.
2,244
166,393
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
1.7%
(continued)
RCI
Hospitality
Holdings,
Inc.
2,387
186,592
Red
Rock
Resorts,
Inc.,
Class
A
2,270
101,174
Target
Hospitality
Corp.
*
9,201
120,901
Texas
Roadhouse,
Inc.
4,893
528,737
Vacasa,
Inc.,
Class
A
*
87,709
84,394
1,819,642
Household
Durables
-
2.3%
Beazer
Homes
USA,
Inc.
*
17,973
285,411
Cavco
Industries,
Inc.
*
459
145,843
Century
Communities,
Inc.
659
42,123
Ethan
Allen
Interiors,
Inc.
3,671
100,806
Green
Brick
Partners,
Inc.
*
3,118
109,317
Hovnanian
Enterprises,
Inc.,
Class
A
*
1,407
95,451
KB
Home
7,991
321,078
M/I
Homes,
Inc.
*
3,649
230,215
MDC
Holdings,
Inc.
4,307
167,413
Meritage
Homes
Corp.
1,424
166,266
Taylor
Morrison
Home
Corp.,
Class
A
*
14,483
554,120
Tri
Pointe
Homes,
Inc.
*
6,166
156,123
Tupperware
Brands
Corp.
*
60,747
151,868
2,526,034
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Clearway
Energy,
Inc.,
Class
C
2,511
78,670
Montauk
Renewables,
Inc.
*
4,067
32,007
110,677
Insurance
-
2.5%
Ambac
Financial
Group,
Inc.
*
27,729
429,245
Argo
Group
International
Holdings
Ltd.
1,247
36,525
CNO
Financial
Group,
Inc.
5,575
123,709
eHealth,
Inc.
*
5,507
51,545
Employers
Holdings,
Inc.
13,872
578,324
Genworth
Financial,
Inc.,
Class
A
*
80,234
402,775
Horace
Mann
Educators
Corp.
7,721
258,499
Kinsale
Capital
Group,
Inc.
393
117,959
Selective
Insurance
Group,
Inc.
4,313
411,158
Stewart
Information
Services
Corp.
5,339
215,429
United
Fire
Group,
Inc.
3,899
103,518
2,728,686
Interactive
Media
&
Services
-
0.8%
Cargurus,
Inc.
*
11,002
205,517
EverQuote,
Inc.,
Class
A
*
10,783
149,884
Outbrain,
Inc.
*
20,482
84,590
Yelp,
Inc.
*
6,844
210,111
Ziff
Davis,
Inc.
*
1,874
146,266
ZipRecruiter,
Inc.,
Class
A
*
2,137
34,064
830,432
10
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
IT
Services
-
0.5%
Hackett
Group,
Inc.
(The)
10,077
186,223
Perficient,
Inc.
*
3,774
272,445
Squarespace,
Inc.,
Class
A
*
3,886
123,458
582,126
Leisure
Products
-
1.2%
Acushnet
Holdings
Corp.
2,580
131,425
Johnson
Outdoors,
Inc.,
Class
A
997
62,821
Malibu
Boats,
Inc.,
Class
A
*
4,386
247,590
MasterCraft
Boat
Holdings,
Inc.
*
12,730
387,374
Sturm
Ruger
&
Co.,
Inc.
648
37,221
Vista
Outdoor,
Inc.
*
14,324
396,918
1,263,349
Life
Sciences
Tools
&
Services
-
0.5%
Medpace
Holdings,
Inc.
*
2,445
459,782
PhenomeX,
Inc.
*
66,865
77,563
Singular
Genomics
Systems,
Inc.
*
7,564
9,153
546,498
Machinery
-
4.1%
CIRCOR
International,
Inc.
*
4,458
138,733
Evoqua
Water
Technologies
Corp.
*
5,553
276,095
Federal
Signal
Corp.
2,937
159,215
Hydrofarm
Holdings
Group,
Inc.
*
27,945
48,345
Kennametal,
Inc.
4,258
117,435
Manitowoc
Co.,
Inc.
(The)
*
31,390
536,455
Mueller
Industries,
Inc.
18,631
1,369,006
Proto
Labs,
Inc.
*
7,001
232,083
REV
Group,
Inc.
13,034
156,278
Shyft
Group,
Inc.
(The)
2,457
55,897
Standex
International
Corp.
367
44,935
Terex
Corp.
7,415
358,738
Titan
International,
Inc.
*
46,277
484,983
Wabash
National
Corp.
19,407
477,218
4,455,416
Marine
Transportation
-
0.3%
Eagle
Bulk
Shipping,
Inc.
1,930
87,815
Genco
Shipping
&
Trading
Ltd.
8,071
126,392
Safe
Bulkers,
Inc.
(Greece)
34,366
126,810
341,017
Media
-
0.6%
Advantage
Solutions,
Inc.
*
43,294
68,404
AMC
Networks,
Inc.,
Class
A
*
15,313
269,203
TEGNA,
Inc.
10,636
179,855
Thryv
Holdings,
Inc.
*
3,467
79,949
597,411
Metals
&
Mining
-
3.6%
Alpha
Metallurgical
Resources,
Inc.
2,861
446,316
Arconic
Corp.
*
8,857
232,319
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
3.6%
(continued)
Century
Aluminum
Co.
*
4,182
41,820
Commercial
Metals
Co.
18,692
914,039
Constellium
SE
*
12,341
188,571
Olympic
Steel,
Inc.
9,392
490,356
Ramaco
Resources,
Inc.
8,315
73,255
Ryerson
Holding
Corp.
10,496
381,845
Schnitzer
Steel
Industries,
Inc.,
Class
A
5,173
160,880
SunCoke
Energy,
Inc.
15,698
140,968
TimkenSteel
Corp.
*
20,203
370,523
Warrior
Met
Coal,
Inc.
10,185
373,891
Worthington
Industries,
Inc.
1,770
114,431
3,929,214
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.5%
Apollo
Commercial
Real
Estate
Finance,
Inc.
10,665
99,291
Arbor
Realty
Trust,
Inc.
6,322
72,640
Blackstone
Mortgage
Trust,
Inc.,
Class
A
9,163
163,560
Chimera
Investment
Corp.
12,242
69,045
Hannon
Armstrong
Sustainable
Infrastructure
Capital,
Inc.
4,604
131,674
536,210
Oil,
Gas
&
Consumable
Fuels
-
6.4%
Alto
Ingredients,
Inc.
*
18,947
28,421
Arch
Resources,
Inc.
3,351
440,523
Ardmore
Shipping
Corp.
(Ireland)
9,016
134,068
Berry
Corp.
18,267
143,396
California
Resources
Corp.
2,713
104,451
Callon
Petroleum
Co.
*
1,066
35,647
Centrus
Energy
Corp.,
Class
A
*
2,726
87,777
Chord
Energy
Corp.
3,275
440,815
Civitas
Resources,
Inc.
8,283
566,060
CONSOL
Energy,
Inc.
5,560
323,981
CVR
Energy,
Inc.
4,216
138,201
Delek
US
Holdings,
Inc.
1,372
31,487
Dorian
LPG
Ltd.
7,586
151,265
Golar
LNG
Ltd.
(Cameroon)
*
1,511
32,638
International
Seaways,
Inc.
5,677
236,617
Magnolia
Oil
&
Gas
Corp.,
Class
A
6,117
133,840
Matador
Resources
Co.
5,914
281,802
Murphy
Oil
Corp.
5,243
193,886
Par
Pacific
Holdings,
Inc.
*
1,522
44,442
PBF
Energy,
Inc.,
Class
A
19,650
852,024
Peabody
Energy
Corp.
*
17,827
456,371
Ranger
Oil
Corp.
1,280
52,275
REX
American
Resources
Corp.
*
12,799
365,923
Riley
Exploration
Permian,
Inc.
2,733
104,018
SandRidge
Energy,
Inc.
*
2,212
31,875
Scorpio
Tankers,
Inc.
(Monaco)
2,747
154,684
Sitio
Royalties
Corp.
3,114
70,376
SM
Energy
Co.
13,912
391,762
Talos
Energy,
Inc.
*
19,814
294,040
11
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
6.4%
(continued)
VAALCO
Energy,
Inc.
27,359
123,936
Vertex
Energy,
Inc.
*
26,233
259,182
Vital
Energy,
Inc.
*
1,586
72,226
W&T
Offshore,
Inc.
*
13,497
68,565
World
Fuel
Services
Corp.
4,744
121,209
6,967,783
Paper
&
Forest
Products
-
0.1%
Clearwater
Paper
Corp.
*
3,078
102,867
Passenger
Airlines
-
0.3%
Allegiant
Travel
Co.
*
806
74,136
SkyWest,
Inc.
*
5,262
116,658
Spirit
Airlines,
Inc.
4,469
76,733
267,527
Personal
Care
Products
-
1.9%
Beauty
Health
Co.
(The)
*
2,877
36,337
Edgewell
Personal
Care
Co.
2,995
127,048
elf
Beauty,
Inc.
*
4,500
370,575
Herbalife
Nutrition
Ltd.
*
4,065
65,446
Honest
Co.,
Inc.
(The)
*
17,964
32,335
Medifast,
Inc.
5,939
615,696
Nu
Skin
Enterprises,
Inc.,
Class
A
10,439
410,357
USANA
Health
Sciences,
Inc.
*
5,612
352,995
2,010,789
Pharmaceuticals
-
1.6%
Amneal
Pharmaceuticals,
Inc.
*
115,798
160,959
Amphastar
Pharmaceuticals,
Inc.
*
4,194
157,275
Corcept
Therapeutics,
Inc.
*
15,657
339,131
Harmony
Biosciences
Holdings,
Inc.
*
2,614
85,347
Innoviva,
Inc.
*
38,790
436,388
Ligand
Pharmaceuticals,
Inc.
*
712
52,375
Phibro
Animal
Health
Corp.,
Class
A
8,567
131,246
Prestige
Consumer
Healthcare,
Inc.
*
2,551
159,769
Supernus
Pharmaceuticals,
Inc.
*
5,371
194,591
Xeris
Biopharma
Holdings,
Inc.
*
30,638
49,940
1,767,021
Professional
Services
-
2.3%
Barrett
Business
Services,
Inc.
2,924
259,183
CSG
Systems
International,
Inc.
2,538
136,291
Heidrick
&
Struggles
International,
Inc.
5,806
176,270
HireRight
Holdings
Corp.
*
4,284
45,453
IBEX
Holdings
Ltd.
*
2,046
49,923
Insperity,
Inc.
1,137
138,202
Kelly
Services,
Inc.,
Class
A
6,301
104,534
Kforce,
Inc.
14,971
946,766
Resources
Connection,
Inc.
15,561
265,471
TrueBlue,
Inc.
*
13,673
243,379
INVESTMENTS
SHARES
VALUE
($)
Professional
Services
-
2.3%
(continued)
TTEC
Holdings,
Inc.
3,044
113,328
2,478,800
Real
Estate
Management
&
Development
-
0.2%
Forestar
Group,
Inc.
*
15,363
239,048
Residential
REITs
-
0.2%
Apartment
Investment
and
Management
Co.,
Class
A,
REIT
10,990
84,513
BRT
Apartments
Corp.,
REIT
3,812
75,173
159,686
Retail
REITs
-
0.8%
Kite
Realty
Group
Trust,
REIT
2,943
61,568
Necessity
Retail
REIT,
Inc.
(The),
REIT
38,450
241,466
Tanger
Factory
Outlet
Centers,
Inc.,
REIT
1,718
33,724
Urstadt
Biddle
Properties,
Inc.,
Class
A,
REIT
15,101
265,325
Whitestone,
REIT
23,431
215,565
817,648
Semiconductors
&
Semiconductor
Equipment
-
4.4%
Alpha
&
Omega
Semiconductor
Ltd.
*
4,796
129,252
Amkor
Technology,
Inc.
30,674
798,138
Axcelis
Technologies,
Inc.
*
2,645
352,446
Diodes,
Inc.
*
6,970
646,537
FormFactor,
Inc.
*
6,297
200,560
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
5,752
303,073
MaxLinear,
Inc.
*
5,896
207,598
Onto
Innovation,
Inc.
*
1,983
174,266
Photronics,
Inc.
*
24,427
405,000
Power
Integrations,
Inc.
6,955
588,671
Rambus,
Inc.
*
1,513
77,556
Semtech
Corp.
*
2,403
58,008
SMART
Global
Holdings,
Inc.
*
7,592
130,886
Synaptics,
Inc.
*
3,549
394,471
Ultra
Clean
Holdings,
Inc.
*
8,648
286,768
4,753,230
Software
-
2.9%
8x8,
Inc.
*
27,844
116,110
A10
Networks,
Inc.
4,667
72,292
Adeia,
Inc.
12,772
113,160
American
Software,
Inc.,
Class
A
3,632
45,800
Box,
Inc.,
Class
A
*
1,202
32,202
Cleanspark,
Inc.
*
74,707
207,685
Clear
Secure,
Inc.,
Class
A
1,804
47,211
CommVault
Systems,
Inc.
*
745
42,271
Consensus
Cloud
Solutions,
Inc.
*
1,802
61,430
Digital
Turbine,
Inc.
*
6,748
83,405
Ebix,
Inc.
21,875
288,531
EverCommerce,
Inc.
*
17,280
182,822
12
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Software
-
2.9%
(continued)
LiveRamp
Holdings,
Inc.
*
6,322
138,641
Mitek
Systems,
Inc.
*
6,033
57,856
Progress
Software
Corp.
5,680
326,316
Qualys,
Inc.
*
1,194
155,244
Rimini
Street,
Inc.
*
50,291
207,199
Sprout
Social,
Inc.,
Class
A
*
1,520
92,538
SPS
Commerce,
Inc.
*
3,897
593,513
Telos
Corp.
*
52,367
132,489
Veritone,
Inc.
6,400
37,312
WM
Technology,
Inc.
*
28,692
24,365
Zeta
Global
Holdings
Corp.,
Class
A
*
8,754
94,806
3,153,198
Specialty
Retail
-
4.5%
Academy
Sports
&
Outdoors,
Inc.
4,379
285,730
Asbury
Automotive
Group,
Inc.
*
2,406
505,260
Buckle,
Inc.
(The)
1,724
61,530
Caleres,
Inc.
5,005
108,258
Chico's
FAS,
Inc.
*
30,796
169,378
Citi
Trends,
Inc.
*
5,701
108,433
Conn's,
Inc.
*
5,138
31,136
Container
Store
Group,
Inc.
(The)
*
43,686
149,843
Designer
Brands,
Inc.,
Class
A
10,515
91,901
Destination
XL
Group,
Inc.
*
17,941
98,855
Express,
Inc.
*
37,069
29,221
Foot
Locker,
Inc.
1,160
46,040
Genesco,
Inc.
*
3,420
126,130
Group
1
Automotive,
Inc.
2,771
627,410
Haverty
Furniture
Cos.,
Inc.
2,403
76,680
Hibbett,
Inc.
2,973
175,347
Murphy
USA,
Inc.
1,573
405,913
ODP
Corp.
(The)
*
8,109
364,743
RumbleON,
Inc.,
Class
B
*
31,767
192,508
Sally
Beauty
Holdings,
Inc.
*
9,403
146,499
Signet
Jewelers
Ltd.
5,081
395,200
Sleep
Number
Corp.
*
1,699
51,667
Sonic
Automotive,
Inc.,
Class
A
4,105
223,066
Sportsman's
Warehouse
Holdings,
Inc.
*
18,725
158,788
Upbound
Group,
Inc.
5,914
144,952
Urban
Outfitters,
Inc.
*
3,195
88,565
Zumiez,
Inc.
*
1,676
30,905
4,893,958
Technology
Hardware,
Storage
&
Peripherals
-
0.8%
Avid
Technology,
Inc.
*
6,235
199,395
Diebold
Nixdorf,
Inc.
*
36,110
43,332
Super
Micro
Computer,
Inc.
*
6,208
661,463
904,190
Textiles,
Apparel
&
Luxury
Goods
-
0.4%
G-III
Apparel
Group
Ltd.
*
14,821
230,467
Movado
Group,
Inc.
5,139
147,849
INVESTMENTS
SHARES
VALUE
($)
Textiles,
Apparel
&
Luxury
Goods
-
0.4%
(continued)
Oxford
Industries,
Inc.
361
38,118
416,434
Tobacco
-
0.2%
Universal
Corp.
2,848
150,631
Vector
Group
Ltd.
6,859
82,376
233,007
Trading
Companies
&
Distributors
-
3.1%
BlueLinx
Holdings,
Inc.
*
4,333
294,471
Boise
Cascade
Co.
13,096
828,322
GMS,
Inc.
*
7,975
461,673
Hudson
Technologies,
Inc.
*
3,976
34,710
Rush
Enterprises,
Inc.,
Class
A
11,626
634,780
Textainer
Group
Holdings
Ltd.
(China)
7,363
236,426
Titan
Machinery,
Inc.
*
3,784
115,223
Triton
International
Ltd.
3,107
196,424
Veritiv
Corp.
4,357
588,805
3,390,834
Water
Utilities
-
0.1%
Artesian
Resources
Corp.,
Class
A
1,281
70,916
Wireless
Telecommunication
Services
-
0.0%
(c)
Telephone
and
Data
Systems,
Inc.
3,070
32,266
TOTAL
COMMON
STOCKS
(Cost
$73,794,347)
106,455,999
SHORT-TERM
INVESTMENTS
-
1.5%
INVESTMENT
COMPANIES
-
1.5%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(d)
(Cost
$1,590,088)
1,591,579
1,590,942
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.9%
(Cost
$75,384,435)
108,046,941
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.1%
(e)
104,695
NET
ASSETS
-
100.0%
108,151,636
13
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
1,689,799
1.6
%
Consumer
Discretionary
13,990,567
12.8
Consumer
Staples
7,106,804
6.6
Energy
10,361,339
9.6
Financials
12,346,218
11.4
Health
Care
15,018,154
13.9
Industrials
22,384,485
20.7
Information
Technology
14,812,120
13.7
Materials
6,398,057
5.9
Real
Estate
1,676,757
1.6
Utilities
671,699
0.6
Investment
Companies
1,590,942
1.5
Total
Investments
In
Securities
At
Value
108,046,941
99.9
Other
Assets
in
Excess
of
Liabilities
(e)
104,695
0.1
Net
Assets
$
108,151,636
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.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$50,147,
which
represents
0.05%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$32,582,
which
represents
0.03%
of
net
assets
of
the
Fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(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
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
7
6/2023
USD
$
634,725
$
9,624
$
9,624
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
44,796
$
44,796
14
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.4%
Australia
-
6.6%
Aurizon
Holdings
Ltd.
1,094,544
2,465,310
BHP
Group
Ltd.
302,166
9,552,655
BlueScope
Steel
Ltd.
134,477
1,820,196
Fortescue
Metals
Group
Ltd.
221,376
3,327,629
Lottery
Corp.
Ltd.
(The)
57,040
196,181
Origin
Energy
Ltd.
70,774
394,147
Rio
Tinto
Ltd.
8,995
722,746
Rio
Tinto
plc
40,811
2,770,169
Santos
Ltd.
210,305
967,908
South32
Ltd.
839,138
2,459,287
Tabcorp
Holdings
Ltd.
57,040
38,031
WiseTech
Global
Ltd.
82,047
3,614,472
Woodside
Energy
Group
Ltd.
90,656
2,025,269
30,354,000
—
Austria
-
0.2%
Mondi
plc
63,043
1,000,935
Belgium
-
0.3%
Ageas
SA/NV
24,366
1,054,032
Groupe
Bruxelles
Lambert
NV
1,467
125,194
1,179,226
—
Canada
-
9.3%
Alimentation
Couche-Tard,
Inc.
(1)
21,067
1,059,195
Bank
of
Montreal
(1)
12,049
1,073,221
Canadian
Apartment
Properties,
REIT
(1)
3,482
122,147
Canadian
Imperial
Bank
of
Commerce
(1)
2,994
126,960
Canadian
National
Railway
Co.
(1)
1,804
212,863
Canadian
Natural
Resources
Ltd.
(1)
23,966
1,326,243
Canadian
Pacific
Railway
Ltd.
(1)
10,275
791,209
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
8,795
1,147,743
CCL
Industries,
Inc.,
Class
B
(1)
4,615
229,265
CGI,
Inc.
(1)*
27,366
2,637,382
Empire
Co.
Ltd.,
Class
A
(1)
4,748
127,281
Fairfax
Financial
Holdings
Ltd.
(1)
6,663
4,431,302
George
Weston
Ltd.
(1)
4,982
660,212
Great-West
Lifeco,
Inc.
(1)
6,006
159,182
iA
Financial
Corp.,
Inc.
(1)
12,987
823,135
Imperial
Oil
Ltd.
(1)
87,452
4,447,336
Intact
Financial
Corp.
(1)
7,184
1,028,139
Loblaw
Cos.
Ltd.
(1)
10,805
984,722
Manulife
Financial
Corp.
(1)
28,526
523,452
National
Bank
of
Canada
(1)
4,864
347,912
Nutrien
Ltd.
(1)
28,822
2,128,541
Nuvei
Corp.
(1)*(a)
62,667
2,730,176
Open
Text
Corp.
(1)
10,900
420,434
Power
Corp.
of
Canada
(1)
5,259
134,403
Restaurant
Brands
International,
Inc.
(1)
30,493
2,047,081
Ritchie
Bros
Auctioneers,
Inc.
(1)
10,077
566,966
Royal
Bank
of
Canada
(1)
23,203
2,219,007
Suncor
Energy,
Inc.
(1)
79,332
2,463,019
Teck
Resources
Ltd.,
Class
B
(1)
81,454
2,974,291
Toronto-Dominion
Bank
(The)
(1)
9,710
581,594
INVESTMENTS
SHARES
VALUE
($)
Canada
-
9.3%
(continued)
Tourmaline
Oil
Corp.
(1)
10,923
455,186
West
Fraser
Timber
Co.
Ltd.
(1)
46,865
3,342,794
42,322,393
—
China
-
1.0%
BOC
Hong
Kong
Holdings
Ltd.
693,500
2,159,044
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
295,800
900,216
SITC
International
Holdings
Co.
Ltd.
733,000
1,575,334
4,634,594
—
Denmark
-
3.2%
AP
Moller
-
Maersk
A/S,
Class
B
708
1,286,938
Genmab
A/S
*
11,178
4,225,343
Novo
Nordisk
A/S,
Class
B
43,022
6,832,814
Pandora
A/S
25,173
2,416,312
14,761,407
—
Finland
-
0.5%
Neste
OYJ
13,398
661,914
Nokia
OYJ
124,892
613,081
Wartsila
OYJ
Abp
107,581
1,015,271
2,290,266
—
France
-
8.2%
Arkema
SA
1,275
125,889
AXA
SA
118,661
3,621,247
BNP
Paribas
SA
65,235
3,895,677
Carrefour
SA
139,187
2,814,026
Cie
de
Saint-Gobain
73,096
4,155,040
Dassault
Aviation
SA
12,478
2,468,526
Eiffage
SA
1,538
166,436
Ipsen
SA
19,499
2,147,074
L'Oreal
SA
2,880
1,286,907
LVMH
Moet
Hennessy
Louis
Vuitton
SE
811
744,424
Orange
SA
84,272
1,001,166
Publicis
Groupe
SA
45,751
3,571,314
Societe
Generale
SA
27,498
619,567
Sodexo
SA
11,463
1,119,598
Thales
SA
3,672
542,894
TotalEnergies
SE
148,957
8,783,060
Unibail-Rodamco-Westfield,
REIT
*
4,856
261,282
37,324,127
—
Germany
-
6.8%
Allianz
SE
(Registered)
3,857
890,335
BASF
SE
54,704
2,871,888
Brenntag
SE
43,731
3,291,030
Daimler
Truck
Holding
AG
*
4,104
138,506
Deutsche
Bank
AG
(Registered)
476,350
4,844,097
Deutsche
Boerse
AG
5,597
1,089,793
Deutsche
Lufthansa
AG
(Registered)
*
23,147
257,453
Deutsche
Post
AG
(Registered)
106,472
4,986,684
Fresenius
SE
&
Co.
KGaA
12,270
331,330
GEA
Group
AG
12,087
551,380
Hannover
Rueck
SE
2,264
442,794
HelloFresh
SE
*
97,312
2,320,630
15
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
6.8%
(continued)
Infineon
Technologies
AG
6,802
279,326
Knorr-Bremse
AG
11,293
752,238
MTU
Aero
Engines
AG
6,246
1,562,999
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
7,154
2,501,294
Rational
AG
938
630,510
Rheinmetall
AG
9,726
2,881,331
RWE
AG
16,289
700,889
Siemens
Energy
AG
*
3,772
83,178
31,407,685
—
Hong
Kong
-
1.7%
CK
Asset
Holdings
Ltd.
314,939
1,909,372
Hong
Kong
Exchanges
&
Clearing
Ltd.
32,300
1,431,689
Link,
REIT
39,000
250,779
Sun
Hung
Kai
Properties
Ltd.
9,500
133,091
Swire
Pacific
Ltd.,
Class
A
87,000
668,594
WH
Group
Ltd.
(a)
5,698,000
3,396,845
7,790,370
—
Italy
-
1.5%
Assicurazioni
Generali
SpA
126,315
2,516,777
Coca-Cola
HBC
AG
45,952
1,257,946
Eni
SpA
66,286
924,449
Prysmian
SpA
47,973
2,014,421
6,713,593
—
Japan
-
18.7%
Bandai
Namco
Holdings,
Inc.
16,500
355,726
Dai-ichi
Life
Holdings,
Inc.
109,000
2,003,800
Daito
Trust
Construction
Co.
Ltd.
9,500
946,483
Dentsu
Group,
Inc.
25,800
909,406
ENEOS
Holdings,
Inc.
760,100
2,666,819
Fuji
Electric
Co.
Ltd.
10,800
426,496
Fujitsu
Ltd.
12,400
1,675,615
Hakuhodo
DY
Holdings,
Inc.
114,300
1,295,869
Ibiden
Co.
Ltd.
45,600
1,828,713
Idemitsu
Kosan
Co.
Ltd.
68,200
1,493,087
Iida
Group
Holdings
Co.
Ltd.
59,600
973,069
Inpex
Corp.
12,000
126,990
ITOCHU
Corp.
105,100
3,422,734
Japan
Post
Holdings
Co.
Ltd.
499,900
4,057,176
Japan
Post
Insurance
Co.
Ltd.
243,900
3,801,389
Japan
Tobacco,
Inc.
35,000
739,324
KDDI
Corp.
11,100
342,299
Kobayashi
Pharmaceutical
Co.
Ltd.
3,000
183,478
Konami
Group
Corp.
22,500
1,032,697
M3,
Inc.
12,400
312,096
Marubeni
Corp.
171,700
2,335,072
Mazda
Motor
Corp.
105,100
969,442
MISUMI
Group,
Inc.
11,500
288,976
Mitsui
&
Co.
Ltd.
70,800
2,206,825
Mizuho
Financial
Group,
Inc.
93,520
1,324,951
MS&AD
Insurance
Group
Holdings,
Inc.
146,200
4,530,866
Nexon
Co.
Ltd.
173,600
4,145,356
NGK
Insulators
Ltd.
92,900
1,231,901
Nippon
Shinyaku
Co.
Ltd.
6,800
300,051
INVESTMENTS
SHARES
VALUE
($)
Japan
-
18.7%
(continued)
Nippon
Steel
Corp.
44,500
1,049,376
Nippon
Telegraph
&
Telephone
Corp.
5,400
161,367
Nitto
Denko
Corp.
5,800
375,384
Nomura
Real
Estate
Holdings,
Inc.
10,700
236,937
Ono
Pharmaceutical
Co.
Ltd.
59,100
1,231,537
ORIX
Corp.
15,900
262,159
Osaka
Gas
Co.
Ltd.
158,900
2,610,379
Otsuka
Corp.
13,400
475,898
Otsuka
Holdings
Co.
Ltd.
24,200
768,341
Resona
Holdings,
Inc.
146,900
708,666
Rohm
Co.
Ltd.
2,300
191,697
Shin-Etsu
Chemical
Co.
Ltd.
29,000
941,370
Sompo
Holdings,
Inc.
107,900
4,275,550
Square
Enix
Holdings
Co.
Ltd.
30,700
1,475,310
Subaru
Corp.
16,300
260,207
SUMCO
Corp.
151,300
2,276,148
Sumitomo
Corp.
52,500
930,056
Sumitomo
Mitsui
Financial
Group,
Inc.
54,900
2,196,965
Sumitomo
Mitsui
Trust
Holdings,
Inc.
52,900
1,817,432
Suntory
Beverage
&
Food
Ltd.
17,900
666,747
Taisei
Corp.
22,500
696,125
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
1,197,100
4,276,300
Tokyo
Gas
Co.
Ltd.
183,800
3,454,192
TOPPAN,
Inc.
104,300
2,101,889
Tosoh
Corp.
248,800
3,381,066
Toyota
Tsusho
Corp.
63,500
2,707,466
85,455,270
—
Luxembourg
-
1.0%
ArcelorMittal
SA
156,383
4,737,825
Netherlands
-
6.2%
Aegon
NV
35,028
150,381
ASM
International
NV
9,535
3,870,265
ASML
Holding
NV
3,453
2,353,040
Heineken
NV
9,117
979,629
ING
Groep
NV
109,319
1,298,201
Koninklijke
Ahold
Delhaize
NV
168,586
5,759,763
NN
Group
NV
17,591
638,728
OCI
NV
78,065
2,646,393
Randstad
NV
11,367
674,799
Shell
plc
191,540
5,458,622
Wolters
Kluwer
NV
35,973
4,541,108
28,370,929
—
Singapore
-
1.9%
CapitaLand
Integrated
Commercial
Trust,
REIT
156,096
232,806
STMicroelectronics
NV
130,963
6,978,193
Venture
Corp.
Ltd.
111,300
1,481,341
8,692,340
—
South
Africa
-
0.3%
Anglo
American
plc
45,763
1,522,147
16
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Spain
-
2.3%
Banco
Bilbao
Vizcaya
Argentaria
SA
500,247
3,576,447
Banco
Santander
SA
337,549
1,257,870
Red
Electrica
Corp.
SA
14,437
254,038
Repsol
SA
363,523
5,590,211
10,678,566
—
Sweden
-
3.7%
Alfa
Laval
AB
5,091
181,785
Atlas
Copco
AB,
Class
B
42,828
492,640
Boliden
AB
7,128
280,018
Evolution
AB
(a)
29,623
3,968,844
Fastighets
AB
Balder,
Class
B
*
281,064
1,154,775
Hexagon
AB,
Class
B
13,741
158,151
Investor
AB,
Class
B
44,280
882,084
Sandvik
AB
47,783
1,014,232
Securitas
AB,
Class
B
154,772
1,376,796
Skandinaviska
Enskilda
Banken
AB,
Class
A
*
17,456
192,684
Skanska
AB,
Class
B
16,419
251,485
SKF
AB,
Class
B
68,982
1,358,733
Svenska
Handelsbanken
AB,
Class
A
47,501
411,400
Swedish
Orphan
Biovitrum
AB
*
85,232
1,985,955
Telefonaktiebolaget
LM
Ericsson,
Class
B
67,988
398,534
Volvo
AB,
Class
B
128,723
2,652,550
Volvo
Car
AB,
Class
B
*
87,523
382,885
17,143,551
—
Switzerland
-
6.5%
Cie
Financiere
Richemont
SA
(Registered)
8,785
1,408,729
Geberit
AG
(Registered)
1,427
796,904
Lonza
Group
AG
(Registered)
1,739
1,046,877
Novartis
AG
(Registered)
111,657
10,252,183
Sonova
Holding
AG
(Registered)
15,801
4,661,118
Swatch
Group
AG
(The)
15,925
5,484,423
Temenos
AG
(Registered)
18,708
1,301,817
UBS
Group
AG
(Registered)
153,061
3,238,893
Zurich
Insurance
Group
AG
3,630
1,739,491
29,930,435
—
United
Kingdom
-
9.5%
3i
Group
plc
30,804
642,063
Associated
British
Foods
plc
159,101
3,818,092
AstraZeneca
plc
2,077
287,777
Auto
Trader
Group
plc
(a)
17,836
136,048
Aviva
plc
205,010
1,024,053
BAE
Systems
plc
492,300
5,954,930
Barclays
plc
2,868,946
5,163,832
Barratt
Developments
plc
66,145
380,650
BP
plc
515,230
3,256,524
British
American
Tobacco
plc
52,898
1,854,309
BT
Group
plc
2,848,245
5,130,629
Bunzl
plc
15,676
592,123
Burberry
Group
plc
104,038
3,331,279
Entain
plc
65,670
1,019,863
Imperial
Brands
plc
24,800
570,293
Kingfisher
plc
52,609
170,059
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
9.5%
(continued)
Legal
&
General
Group
plc
625,129
1,848,887
Lloyds
Banking
Group
plc
1,237,857
727,796
London
Stock
Exchange
Group
plc
9,002
874,362
M&G
plc
69,155
169,501
Next
plc
4,263
346,496
Reckitt
Benckiser
Group
plc
11,653
886,531
Standard
Chartered
plc
26,362
199,799
Tesco
plc
1,480,569
4,853,946
43,239,842
—
United
States
-
5.0%
CSL
Ltd.
13,789
2,670,521
GSK
plc
105,817
1,869,715
Haleon
plc
130,925
520,091
Holcim
AG
14,221
917,131
Nestle
SA
(Registered)
25,061
3,055,702
Roche
Holding
AG
27,669
7,906,213
Stellantis
NV
338,331
6,152,983
23,092,356
—
TOTAL
COMMON
STOCKS
(Cost
$344,380,875)
432,641,857
PREFERRED
STOCKS
-
0.1%
Germany
-
0.1%
Henkel
AG
&
Co.
KGaA
(Preference)
(Cost
$525,569)
8,101
633,774
SHORT-TERM
INVESTMENTS
-
4.4%
INVESTMENT
COMPANIES
-
4.4%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(1)(b)
(Cost
$20,176,169)
20,190,066
20,181,990
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.9%
(Cost
$365,082,613)
453,457,621
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.1%
(c)
5,118,699
NET
ASSETS
-
100.0%
458,576,320
17
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
19,201,460
4.2
%
Consumer
Discretionary
32,914,026
7.2
Consumer
Staples
39,329,659
8.6
Energy
40,646,639
8.9
Financials
88,385,449
19.3
Health
Care
46,828,946
10.2
Industrials
68,632,140
15.0
Information
Technology
30,554,105
6.6
Materials
49,176,995
10.7
Real
Estate
5,916,267
1.3
Utilities
11,689,945
2.5
Investment
Companies
20,181,990
4.4
Total
Investments
In
Securities
At
Value
453,457,621
98.9
Other
Assets
in
Excess
of
Liabilities
(c
)
5,118,699
1.1
Net
Assets
$
458,576,320
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$11,132,129,
which
represents
2.43%
of
net
assets
of
the
Fund.
(b)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
205
6/2023
USD
$
21,489,125
$
725,079
$
725,079
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
(53,294)
$
(53,294)
18
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.1%
Brazil
-
3.8%
Ambev
SA,
ADR
(1)
1,111,995
3,135,827
Banco
do
Brasil
SA
(1)
885,000
6,828,982
BB
Seguridade
Participacoes
SA
(1)
26,000
166,769
Gerdau
SA,
ADR
(1)
577,791
2,848,509
Hapvida
Participacoes
e
Investimentos
S/A
(1)*(a)
562,600
290,821
Lojas
Renner
SA
(1)*
101,300
331,174
Natura
&
Co.
Holding
SA
(1)
312,400
813,598
Petro
Rio
SA
(1)*
285,300
1,755,666
TIM
SA,
ADR
(1)
13,640
168,590
Ultrapar
Participacoes
SA
(1)
141,600
390,008
Vale
SA,
ADR
(1)
56,835
896,856
Vibra
Energia
SA
(1)
602,400
1,712,670
19,339,470
—
Chile
-
1.3%
Cencosud
SA
(1)
1,443,273
2,788,898
Empresas
Copec
SA
(1)
36,989
261,053
Enel
Chile
SA,
ADR
(1)
31,881
86,079
Sociedad
Quimica
y
Minera
de
Chile
SA,
ADR
(1)
43,162
3,498,712
6,634,742
—
China
-
31.8%
3SBio,
Inc.
(a)
2,026,500
2,016,823
Agricultural
Bank
of
China
Ltd.,
Class
A
614,500
278,197
Alibaba
Group
Holding
Ltd.
*
1,139,504
14,432,383
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
48,323
198,531
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
22,200
91,207
Baidu,
Inc.,
Class
A
*
163,750
3,085,259
Bank
of
Beijing
Co.
Ltd.,
Class
A
371,578
238,072
Bank
of
Beijing
Co.
Ltd.,
Class
A
197,800
126,731
Bank
of
China
Ltd.,
Class
A
609,800
299,823
Bank
of
China
Ltd.,
Class
H
3,714,000
1,423,825
Bank
of
Communications
Co.
Ltd.,
Class
A
389,700
289,838
Bank
of
Communications
Co.
Ltd.,
Class
H
1,568,000
986,123
Bank
of
Ningbo
Co.
Ltd.,
Class
A
59,400
235,902
Bank
of
Shanghai
Co.
Ltd.,
Class
A
227,711
198,561
Baoshan
Iron
&
Steel
Co.
Ltd.,
Class
A
742,222
673,831
Beijing
Enterprises
Holdings
Ltd.
181,500
653,322
BOE
Technology
Group
Co.
Ltd.,
Class
A
1,685,000
1,088,569
Bosideng
International
Holdings
Ltd.
336,000
187,492
BYD
Co.
Ltd.,
Class
A
32,300
1,203,152
China
CITIC
Bank
Corp.
Ltd.,
Class
H
4,697,000
2,362,884
China
Coal
Energy
Co.
Ltd.,
Class
H
817,000
620,008
China
Communications
Services
Corp.
Ltd.,
Class
H
1,198,000
589,497
INVESTMENTS
SHARES
VALUE
($)
China
-
31.8%
(continued)
China
Construction
Bank
Corp.,
Class
H
14,094,000
9,121,565
China
Everbright
Bank
Co.
Ltd.,
Class
A
538,100
235,662
China
Feihe
Ltd.
(a)
1,072,000
803,417
China
Hongqiao
Group
Ltd.
2,775,000
2,666,725
China
Lesso
Group
Holdings
Ltd.
535,000
478,031
China
Medical
System
Holdings
Ltd.
972,000
1,533,591
China
Merchants
Bank
Co.
Ltd.,
Class
A
1
109,658
546,019
China
Merchants
Port
Holdings
Co.
Ltd.
106,000
162,730
China
Merchants
Securities
Co.
Ltd.,
Class
A
240,200
482,006
China
Merchants
Shekou
Industrial
Zone
Holdings
Co.
Ltd.,
Class
A
71,100
140,502
China
Minsheng
Banking
Corp.
Ltd.,
Class
A
354,355
177,995
China
Minsheng
Banking
Corp.
Ltd.,
Class
H
651,500
223,235
China
National
Building
Material
Co.
Ltd.,
Class
H
2,462,000
2,023,576
China
Overseas
Land
&
Investment
Ltd.
305,500
737,012
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
A
63,000
237,682
China
Petroleum
&
Chemical
Corp.,
Class
A
474,800
387,999
China
Resources
Beer
Holdings
Co.
Ltd.
228,000
1,831,617
China
Resources
Land
Ltd.
592,000
2,695,870
China
Resources
Pharmaceutical
Group
Ltd.
(a)
810,000
640,912
China
Resources
Power
Holdings
Co.
Ltd.
378,000
806,499
China
State
Construction
Engineering
Corp.
Ltd.,
Class
A
1,145,200
965,395
China
Taiping
Insurance
Holdings
Co.
Ltd.
1,411,600
1,500,957
China
Tourism
Group
Duty
Free
Corp.
Ltd.,
Class
A
35,392
944,946
China
Traditional
Chinese
Medicine
Holdings
Co.
Ltd.
290,000
151,935
China
Vanke
Co.
Ltd.,
Class
A
71,400
157,744
China
Yangtze
Power
Co.
Ltd.,
Class
A
99,200
306,538
Chinasoft
International
Ltd.
794,000
503,015
CITIC
Ltd.
4,123,000
4,819,011
CITIC
Securities
Co.
Ltd.,
Class
A
153,065
456,743
COSCO
SHIPPING
Holdings
Co.
Ltd.,
Class
H
1,232,900
1,389,943
Country
Garden
Services
Holdings
Co.
Ltd.
511,000
881,010
CSPC
Pharmaceutical
Group
Ltd.
1,642,000
1,609,681
Dongfeng
Motor
Group
Co.
Ltd.,
Class
H
1,650,000
775,108
Dongyue
Group
Ltd.
2,601,000
2,688,373
East
Buy
Holding
Ltd.
*(a)
847,500
3,627,727
Far
East
Horizon
Ltd.
403,000
361,891
19
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
China
-
31.8%
(continued)
Foshan
Haitian
Flavouring
&
Food
Co.
Ltd.,
Class
A
47,473
528,609
GCL
Technology
Holdings
Ltd.
*
6,969,000
1,803,742
Geely
Automobile
Holdings
Ltd.
1,321,000
1,702,271
Great
Wall
Motor
Co.
Ltd.,
Class
H
345,000
426,886
Guotai
Junan
Securities
Co.
Ltd.,
Class
A
94,200
197,086
H
World
Group
Ltd.,
ADR
(1)*
15,565
762,374
Haidilao
International
Holding
Ltd.
*(a)
498,000
1,349,674
Haier
Smart
Home
Co.
Ltd.,
Class
A
225,900
744,878
Haitong
Securities
Co.
Ltd.,
Class
A
186,300
239,167
Hua
Hong
Semiconductor
Ltd.
*(a)
321,000
1,423,285
Huatai
Securities
Co.
Ltd.,
Class
A
136,300
253,517
Huaxia
Bank
Co.
Ltd.,
Class
A
291,300
228,260
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
A
350,800
227,735
Industrial
Bank
Co.
Ltd.,
Class
A
154,590
380,458
Inner
Mongolia
Yili
Industrial
Group
Co.
Ltd.,
Class
A
158,400
669,941
JD.com,
Inc.,
Class
A
172,938
3,776,308
Jiangsu
Hengrui
Pharmaceuticals
Co.
Ltd.,
Class
A
236,338
1,472,194
Jiangsu
Yanghe
Brewery
Joint-
Stock
Co.
Ltd.,
Class
A
28,800
691,203
Jiumaojiu
International
Holdings
Ltd.
(a)
525,000
1,248,089
KE
Holdings,
Inc.,
ADR
(1)*
59,358
1,118,305
Kingboard
Holdings
Ltd.
230,000
707,208
Kunlun
Energy
Co.
Ltd.
2,958,000
2,309,396
Kweichow
Moutai
Co.
Ltd.,
Class
A
1
6,700
1,769,560
Kweichow
Moutai
Co.
Ltd.,
Class
A
1,100
290,525
Li
Ning
Co.
Ltd.
33,500
263,441
Longfor
Group
Holdings
Ltd.
(a)
152,500
430,106
Luxshare
Precision
Industry
Co.
Ltd.,
Class
A
276,407
1,220,785
Luzhou
Laojiao
Co.
Ltd.,
Class
A
1
27,900
1,030,177
Luzhou
Laojiao
Co.
Ltd.,
Class
A
10,200
376,624
Meituan,
Class
B
*(a)
230,980
4,190,489
NARI
Technology
Co.
Ltd.,
Class
A
327,208
1,289,870
NetEase,
Inc.
58,450
1,031,811
New
China
Life
Insurance
Co.
Ltd.,
Class
A
38,600
171,104
New
China
Life
Insurance
Co.
Ltd.,
Class
H
203,300
482,842
New
Oriental
Education
&
Technology
Group,
Inc.
*
998,100
3,830,266
NIO,
Inc.,
ADR
(1)*
94,422
992,375
PDD
Holdings,
Inc.,
ADR
(1)*
42,641
3,236,452
People's
Insurance
Co.
Group
of
China
Ltd.
(The),
Class
H
547,000
182,524
PetroChina
Co.
Ltd.,
Class
A
448,500
386,108
PICC
Property
&
Casualty
Co.
Ltd.,
Class
H
2,674,000
2,727,770
Ping
An
Bank
Co.
Ltd.,
Class
A
1
160,985
293,303
Ping
An
Insurance
Group
Co.
of
China
Ltd.,
Class
A
1
51,900
343,759
Poly
Developments
and
Holdings
Group
Co.
Ltd.,
Class
A
78,100
160,315
INVESTMENTS
SHARES
VALUE
($)
China
-
31.8%
(continued)
SAIC
Motor
Corp.
Ltd.,
Class
A
167,800
351,105
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
238,100
591,549
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
76,600
190,309
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
141,963
148,549
Shenwan
Hongyuan
Group
Co.
Ltd.,
Class
A
376,800
228,797
Sinopharm
Group
Co.
Ltd.,
Class
H
738,400
2,231,275
Sinotruk
Hong
Kong
Ltd.
122,000
189,876
Sunac
China
Holdings
Ltd.
(3)*(b)
212,000
82,731
Tencent
Holdings
Ltd.
416,900
20,373,620
Tencent
Music
Entertainment
Group,
ADR
(1)*
53,386
442,036
Topsports
International
Holdings
Ltd.
(a)
981,000
894,232
Trip.com
Group
Ltd.,
ADR
(1)*
43,393
1,634,614
Wuliangye
Yibin
Co.
Ltd.,
Class
A
1
41,682
1,190,664
Wuxi
Biologics
Cayman,
Inc.
*(a)
101,000
622,358
Yankuang
Energy
Group
Co.
Ltd.,
Class
H
276,000
988,203
Yihai
International
Holding
Ltd.
*
450,000
1,322,159
Yum
China
Holdings,
Inc.
(1)
33,622
2,131,299
Zhongsheng
Group
Holdings
Ltd.
44,500
219,268
Zhuzhou
CRRC
Times
Electric
Co.
Ltd.,
Class
H
31,600
137,487
ZTO
Express
Cayman,
Inc.,
ADR
(1)
34,228
980,974
160,264,589
—
Hong
Kong
-
0.4%
Orient
Overseas
International
Ltd.
111,000
2,130,689
Hungary
-
0.0%
(c)
OTP
Bank
Nyrt.
7,944
226,797
India
-
11.4%
ABB
India
Ltd.
5,944
243,877
Aurobindo
Pharma
Ltd.
282,813
1,787,269
Axis
Bank
Ltd.,
GDR
(d)
14,131
732,401
Bharat
Electronics
Ltd.
1,244,693
1,481,413
Cipla
Ltd.
138,606
1,521,291
Coal
India
Ltd.
2,301,890
6,000,560
Dr
Reddy's
Laboratories
Ltd.,
ADR
(1)
28,276
1,609,753
GAIL
India
Ltd.
1,459,728
1,873,349
HCL
Technologies
Ltd.
36,257
481,333
Hindalco
Industries
Ltd.
363,772
1,803,627
Housing
Development
Finance
Corp.
Ltd.
132,676
4,254,663
Indian
Hotels
Co.
Ltd.
59,169
234,241
Indian
Oil
Corp.
Ltd.
1
–
ITC
Ltd.
1,308,502
6,122,332
Jindal
Steel
&
Power
Ltd.
207,772
1,386,505
Larsen
&
Toubro
Ltd.,
GDR
(d)
14,876
394,811
NTPC
Ltd.
2,728,344
5,824,861
Oil
&
Natural
Gas
Corp.
Ltd.
3,301,577
6,084,576
Petronet
LNG
Ltd.
54,359
151,645
Power
Grid
Corp.
of
India
Ltd.
489,155
1,346,684
Reliance
Industries
Ltd.,
GDR
(a)
21,585
1,217,799
20
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
India
-
11.4%
(continued)
Samvardhana
Motherson
International
Ltd.
173,789
142,371
State
Bank
of
India,
GDR
(d)
4,653
295,035
Tata
Consultancy
Services
Ltd.
90,339
3,541,094
Tata
Steel
Ltd.
2,282,307
2,915,582
United
Spirits
Ltd.
*
104,893
967,899
Varun
Beverages
Ltd.
17,477
295,709
Vedanta
Ltd.
1,407,994
4,716,638
57,427,318
—
Indonesia
-
2.8%
Adaro
Energy
Indonesia
Tbk.
PT
28,832,600
5,589,160
Aneka
Tambang
Tbk.
5,084,700
709,755
Astra
International
Tbk.
PT
1,368,300
548,266
Bank
Negara
Indonesia
Persero
Tbk.
PT
284,200
177,835
Indofood
Sukses
Makmur
Tbk.
PT
1,686,400
698,182
Sumber
Alfaria
Trijaya
Tbk.
PT
3,949,600
759,906
Unilever
Indonesia
Tbk.
PT
2,205,900
639,990
United
Tractors
Tbk.
PT
2,587,500
5,028,528
Vale
Indonesia
Tbk.
PT
*
520,500
231,280
14,382,902
—
Malaysia
-
0.5%
AMMB
Holdings
Bhd.
168,300
143,402
Genting
Bhd.
701,900
742,926
Malaysia
Airports
Holdings
Bhd.
*
107,500
165,652
Petronas
Chemicals
Group
Bhd.
88,500
142,219
RHB
Bank
Bhd.
214,200
271,017
Sime
Darby
Bhd.
290,800
141,776
Sime
Darby
Plantation
Bhd.
718,900
697,980
2,304,972
—
Mexico
-
1.7%
Alfa
SAB
de
CV,
Class
A
(1)
1,644,100
1,041,932
Arca
Continental
SAB
de
CV
(1)
188,900
1,715,405
Banco
del
Bajio
SA
(1)(a)
147,900
538,415
Coca-Cola
Femsa
SAB
de
CV,
ADR
(1)
2,087
167,941
Fibra
Uno
Administracion
SA
de
CV,
REIT
(1)
170,900
238,710
Fomento
Economico
Mexicano
SAB
de
CV,
ADR
(1)
12,825
1,220,812
Grupo
Aeroportuario
del
Sureste
SAB
de
CV,
ADR
(1)
4,241
1,299,739
Grupo
Bimbo
SAB
de
CV,
Series
A
(1)
343,600
1,729,060
Grupo
Mexico
SAB
de
CV,
Series
B
(1)
51,600
244,341
Promotora
y
Operadora
de
Infraestructura
SAB
de
CV
(1)
40,980
409,231
8,605,586
—
Philippines
-
0.3%
BDO
Unibank,
Inc.
106,248
251,986
International
Container
Terminal
Services,
Inc.
168,160
660,262
PLDT,
Inc.
9,420
246,691
INVESTMENTS
SHARES
VALUE
($)
Philippines
-
0.3%
(continued)
SM
Prime
Holdings,
Inc.
634,600
383,966
1,542,905
—
Poland
-
1.4%
Bank
Polska
Kasa
Opieki
SA
16,551
329,254
KGHM
Polska
Miedz
SA
8,826
250,685
LPP
SA
68
150,977
PGE
Polska
Grupa
Energetyczna
SA
*
1,407,873
2,050,313
Polski
Koncern
Naftowy
ORLEN
SA
309,353
4,175,644
6,956,873
—
Qatar
-
0.5%
Commercial
Bank
PSQC
(The)
117,149
187,667
Industries
Qatar
QSC
29,520
105,782
Masraf
Al
Rayan
QSC
395,209
322,538
Qatar
Islamic
Bank
SAQ
115,043
563,845
Qatar
National
Bank
QPSC
351,624
1,553,524
2,733,356
—
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
-
2.9%
Almarai
Co.
JSC
10,472
157,773
Arab
National
Bank
85,676
591,510
Bank
Al-Jazira
45,603
222,262
Banque
Saudi
Fransi
29,715
288,278
Dr
Sulaiman
Al
Habib
Medical
Services
Group
Co.
9,551
743,463
Etihad
Etisalat
Co.
227,665
2,510,167
Jarir
Marketing
Co.
8,403
365,995
Riyad
Bank
115,408
918,700
SABIC
Agri-Nutrients
Co.
77,020
2,625,705
Sahara
International
Petrochemical
Co.
122,449
1,242,480
Saudi
Arabian
Mining
Co.
*
83,758
1,437,502
Saudi
Basic
Industries
Corp.
55,241
1,333,052
Saudi
Electricity
Co.
259,907
1,621,881
Saudi
Research
&
Media
Group
*
10,873
572,617
14,631,385
—
21
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
South
Africa
-
3.1%
Absa
Group
Ltd.
100,900
1,031,328
African
Rainbow
Minerals
Ltd.
(1)
146,946
1,903,654
Anglo
American
Platinum
Ltd.
3,556
190,892
Exxaro
Resources
Ltd.
289,104
3,021,719
Foschini
Group
Ltd.
(The)
96,121
490,671
Impala
Platinum
Holdings
Ltd.
189,916
1,748,052
Mr
Price
Group
Ltd.
(1)
16,290
131,930
Nedbank
Group
Ltd.
(1)
28,538
347,569
Sanlam
Ltd.
(1)
149,472
473,223
Sasol
Ltd.
61,061
825,157
Sibanye
Stillwater
Ltd.
1,444,447
2,982,517
SPAR
Group
Ltd.
(The)
103,094
816,896
Standard
Bank
Group
Ltd.
67,234
651,890
Woolworths
Holdings
Ltd.
(1)
224,212
805,048
15,420,546
—
South
Korea
-
12.4%
CJ
Corp.
2,570
206,009
DB
Insurance
Co.
Ltd.
33,466
1,925,380
Doosan
Bobcat,
Inc.
39,736
1,336,456
E-MART,
Inc.
1,811
147,287
GS
Holdings
Corp.
27,105
840,794
Hana
Financial
Group,
Inc.
140,152
4,389,417
HD
Hyundai
Co.
Ltd.
5,799
259,103
HMM
Co.
Ltd.
232,379
3,654,052
Hyundai
Engineering
&
Construction
Co.
Ltd.
39,152
1,101,070
Hyundai
Glovis
Co.
Ltd.
5,422
662,162
Hyundai
Mobis
Co.
Ltd.
6,286
1,044,040
Hyundai
Steel
Co.
43,984
1,175,772
Industrial
Bank
of
Korea
282,346
2,195,836
KB
Financial
Group,
Inc.
33,645
1,228,789
Kia
Corp.
116,177
7,250,385
Korea
Investment
Holdings
Co.
Ltd.
9,250
392,634
Krafton,
Inc.
*
1,646
234,114
Kumho
Petrochemical
Co.
Ltd.
17,518
1,937,730
LG
Electronics,
Inc.
44,838
4,001,511
LG
Innotek
Co.
Ltd.
1,216
255,010
LG
Uplus
Corp.
12,221
101,816
Meritz
Securities
Co.
Ltd.
50,716
238,033
Pan
Ocean
Co.
Ltd.
34,530
154,789
POSCO
Holdings,
Inc.
20,262
5,732,551
Samsung
Electronics
Co.
Ltd.
285,611
14,123,740
SD
Biosensor,
Inc.
121,790
1,981,842
Seegene,
Inc.
12,331
236,039
Shinhan
Financial
Group
Co.
Ltd.
45,039
1,223,499
Woori
Financial
Group,
Inc.
539,326
4,744,278
62,774,138
—
Taiwan
-
15.0%
Accton
Technology
Corp.
102,000
1,072,033
ASE
Technology
Holding
Co.
Ltd.
463,000
1,718,222
Catcher
Technology
Co.
Ltd.
396,000
2,475,513
CTBC
Financial
Holding
Co.
Ltd.
938,480
675,828
Eva
Airways
Corp.
526,000
466,788
Evergreen
Marine
Corp.
Taiwan
Ltd.
835,000
4,373,204
Hon
Hai
Precision
Industry
Co.
Ltd.
1,748,000
5,983,394
Largan
Precision
Co.
Ltd.
6,000
430,165
MediaTek,
Inc.
49,000
1,270,380
INVESTMENTS
SHARES
VALUE
($)
Taiwan
-
15.0%
(continued)
Nan
Ya
Printed
Circuit
Board
Corp.
46,000
431,202
Nien
Made
Enterprise
Co.
Ltd.
77,000
829,283
Novatek
Microelectronics
Corp.
234,000
3,325,265
PharmaEssentia
Corp.
*
138,000
1,942,018
Pou
Chen
Corp.
1,929,000
1,982,628
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.,
ADR
(1)
312,641
29,081,867
Unimicron
Technology
Corp.
491,000
2,394,740
Uni-President
Enterprises
Corp.
687,000
1,624,060
United
Microelectronics
Corp.
2,507,000
4,387,081
Voltronic
Power
Technology
Corp.
12,000
683,324
Walsin
Lihwa
Corp.
2,371,000
3,818,720
Wan
Hai
Lines
Ltd.
211,000
477,540
Winbond
Electronics
Corp.
279,000
244,112
Wiwynn
Corp.
23,000
853,333
Yang
Ming
Marine
Transport
Corp.
1,286,000
2,730,092
Zhen
Ding
Technology
Holding
Ltd.
612,000
2,302,720
75,573,512
—
Thailand
-
2.7%
Bangkok
Dusit
Medical
Services
PCL,
NVDR
2,211,800
1,909,417
Bumrungrad
Hospital
PCL,
NVDR
252,600
1,671,499
Electricity
Generating
PCL,
NVDR
75,500
343,779
Indorama
Ventures
PCL,
NVDR
353,000
356,684
Kasikornbank
PCL,
NVDR
109,500
424,768
Krung
Thai
Bank
PCL,
NVDR
5,492,900
2,652,439
Minor
International
PCL,
NVDR
*
231,900
219,234
PTT
Exploration
&
Production
PCL,
NVDR
962,700
4,230,411
Ratch
Group
PCL,
NVDR
183,900
207,395
SCB
X
PCL,
NVDR
359,000
1,078,632
Thai
Oil
PCL,
NVDR
297,300
456,849
13,551,107
—
Turkey
-
0.5%
Akbank
TAS
1,141,107
1,009,698
Haci
Omer
Sabanci
Holding
A/S
63,629
131,598
Turk
Hava
Yollari
AO
*
70,430
436,134
Turkiye
Petrol
Rafinerileri
A/S
7,418
205,360
Yapi
ve
Kredi
Bankasi
A/S
1,876,714
939,992
2,722,782
—
United
Arab
Emirates
-
0.9%
Abu
Dhabi
Commercial
Bank
PJSC
101,494
229,690
Aldar
Properties
PJSC
169,128
214,482
Emaar
Properties
PJSC
264,055
403,477
Emirates
NBD
Bank
PJSC
198,616
710,749
Emirates
Telecommunications
Group
Co.
PJSC
285,825
1,717,365
First
Abu
Dhabi
Bank
PJSC
328,386
1,153,361
4,429,124
—
United
States
-
0.7%
JBS
SA
(1)
1,007,800
3,549,257
TOTAL
COMMON
STOCKS
(Cost
$419,305,322)
475,202,054
22
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
PREFERRED
STOCKS
-
1.1%
Brazil
-
1.1%
Petroleo
Brasileiro
SA
(Preference)
(1)
(Cost
$6,942,665)
1,206,100
5,580,216
SHORT-TERM
INVESTMENTS
-
3.7%
INVESTMENT
COMPANIES
-
3.7%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(1)(e)
(Cost
$18,756,067)
18,766,821
18,759,315
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.9%
(Cost
$445,004,054)
499,541,585
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.1%
(f)
5,609,046
NET
ASSETS
-
100.0%
505,150,631
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
30,484,092
6.0
%
Consumer
Discretionary
69,908,182
13.8
Consumer
Staples
38,553,304
7.6
Energy
46,790,618
9.3
Financials
72,602,093
14.4
Health
Care
23,972,180
4.7
Industrials
40,800,970
8.1
Information
Technology
81,117,806
16.1
Materials
51,478,699
10.2
Real
Estate
7,644,230
1.5
Utilities
17,430,096
3.5
Investment
Companies
18,759,315
3.7
Total
Investments
In
Securities
At
Value
499,541,585
98.9
Other
Assets
in
Excess
of
Liabilities
(f)
5,609,046
1.1
Net
Assets
$
505,150,631
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$19,294,147,
which
represents
3.82%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$82,735,
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.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$1,422,248,
which
represents
0.28%
of
net
assets
of
the
Fund.
(e)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(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
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
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
368
6/2023
USD
$
18,317,200
$
646,821
$
646,821
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
(93,516)
$
(93,516)
23
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.7%
Aerospace
&
Defense
-
3.5%
Axon
Enterprise,
Inc.
4,887
1,098,842
BWX
Technologies,
Inc.
26,612
1,677,620
Curtiss-Wright
Corp.
6,300
1,110,438
General
Dynamics
Corp.
885
201,966
Hexcel
Corp.
4,221
288,083
Howmet
Aerospace,
Inc.
17,600
745,712
Huntington
Ingalls
Industries,
Inc.
6,433
1,331,760
Lockheed
Martin
Corp.
16,083
7,602,917
Northrop
Grumman
Corp.
11,087
5,119,090
Raytheon
Technologies
Corp.
45,187
4,425,163
TransDigm
Group,
Inc.
887
653,763
24,255,354
Automobiles
-
0.2%
Harley-Davidson,
Inc.
10,978
416,835
Tesla,
Inc.
3,523
730,881
1,147,716
Banks
-
0.7%
Commerce
Bancshares,
Inc.
6,828
398,414
First
Republic
Bank
1,840
25,742
FNB
Corp.
26,499
307,388
JPMorgan
Chase
&
Co.
24,454
3,186,601
Wintrust
Financial
Corp.
7,954
580,244
4,498,389
Beverages
-
2.4%
Coca-Cola
Co.
(The)
85,794
5,321,802
Constellation
Brands,
Inc.,
Class
A
4,147
936,766
Molson
Coors
Beverage
Co.,
Class
B
17,732
916,390
Monster
Beverage
Corp.
23,264
1,256,488
PepsiCo,
Inc.
43,656
7,958,489
16,389,935
Biotechnology
-
4.0%
AbbVie,
Inc.
31,704
5,052,667
Alnylam
Pharmaceuticals,
Inc.
5,497
1,101,159
Amgen,
Inc.
19,958
4,824,847
Biogen,
Inc.
*
6,982
1,941,205
BioMarin
Pharmaceutical,
Inc.
8,108
788,422
Gilead
Sciences,
Inc.
57,290
4,753,351
Moderna,
Inc.
*
8,312
1,276,557
Neurocrine
Biosciences,
Inc.
4,432
448,607
Regeneron
Pharmaceuticals,
Inc.
*
3,211
2,638,382
Sarepta
Therapeutics,
Inc.
*
4,919
677,986
United
Therapeutics
Corp.
*
6,028
1,350,031
Vertex
Pharmaceuticals,
Inc.
*
7,202
2,269,134
27,122,348
Building
Products
-
0.5%
A
O
Smith
Corp.
4,045
279,712
Fortune
Brands
Innovations,
Inc.
5,250
308,333
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
0.5%
(continued)
Trane
Technologies
plc
16,727
3,077,433
3,665,478
Capital
Markets
-
3.0%
Ameriprise
Financial,
Inc.
7,144
2,189,636
BlackRock,
Inc.
365
244,229
CME
Group,
Inc.
4,233
810,704
FactSet
Research
Systems,
Inc.
1,562
648,371
Goldman
Sachs
Group,
Inc.
(The)
3,894
1,273,766
Intercontinental
Exchange,
Inc.
4,335
452,097
Jefferies
Financial
Group,
Inc.
24,961
792,262
LPL
Financial
Holdings,
Inc.
13,803
2,793,727
MarketAxess
Holdings,
Inc.
2,251
880,794
Moody's
Corp.
2,295
702,316
Morgan
Stanley
57,494
5,047,973
MSCI,
Inc.
5,391
3,017,289
Nasdaq,
Inc.
11,442
625,534
S&P
Global,
Inc.
3,044
1,049,480
20,528,178
Chemicals
-
2.0%
Air
Products
and
Chemicals,
Inc.
2,666
765,702
Albemarle
Corp.
13,119
2,899,824
CF
Industries
Holdings,
Inc.
5,927
429,648
Chemours
Co.
(The)
17,225
515,716
Corteva,
Inc.
39,888
2,405,645
Element
Solutions,
Inc.
38,953
752,182
FMC
Corp.
6,321
771,984
Mosaic
Co.
(The)
32,818
1,505,690
Olin
Corp.
28,898
1,603,839
Sherwin-Williams
Co.
(The)
7,860
1,766,692
Westlake
Corp.
2,018
234,048
13,650,970
Commercial
Services
&
Supplies
-
0.8%
Cintas
Corp.
5,774
2,671,514
Clean
Harbors,
Inc.
*
5,043
718,930
Copart,
Inc.
*
17,360
1,305,646
Rollins,
Inc.
20,084
753,752
Waste
Management,
Inc.
1,945
317,366
5,767,208
Communications
Equipment
-
0.7%
Arista
Networks,
Inc.
*
4,824
809,757
Cisco
Systems,
Inc.
18,696
977,333
Motorola
Solutions,
Inc.
4,204
1,202,890
Ubiquiti,
Inc.
5,924
1,609,492
4,599,472
Construction
&
Engineering
-
1.3%
AECOM
11,391
960,489
MasTec,
Inc.
3,090
291,820
MDU
Resources
Group,
Inc.
19,994
609,417
Quanta
Services,
Inc.
22,005
3,666,913
24
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
1.3%
(continued)
Valmont
Industries,
Inc.
8,292
2,647,470
WillScot
Mobile
Mini
Holdings
Corp.
*
14,824
694,949
8,871,058
Consumer
Finance
-
0.1%
Capital
One
Financial
Corp.
3,365
323,578
OneMain
Holdings,
Inc.
11,245
416,965
740,543
Consumer
Staples
Distribution
&
Retail
-
1.8%
BJ's
Wholesale
Club
Holdings,
Inc.
*
2,977
226,461
Casey's
General
Stores,
Inc.
6,332
1,370,625
Costco
Wholesale
Corp.
6,245
3,102,953
Dollar
General
Corp.
13,481
2,837,211
Kroger
Co.
(The)
10,238
505,450
Target
Corp.
8,184
1,355,516
Walmart,
Inc.
20,394
3,007,095
12,405,311
Containers
&
Packaging
-
0.3%
Avery
Dennison
Corp.
4,365
781,029
Graphic
Packaging
Holding
Co.
8,030
204,685
Packaging
Corp.
of
America
3,115
432,456
Silgan
Holdings,
Inc.
8,002
429,467
1,847,637
Distributors
-
0.4%
Genuine
Parts
Co.
12,917
2,161,143
LKQ
Corp.
10,484
595,072
2,756,215
Diversified
Consumer
Services
-
0.4%
ADT,
Inc.
55,350
400,181
Grand
Canyon
Education,
Inc.
*
7,825
891,267
H&R
Block,
Inc.
31,911
1,124,863
2,416,311
Diversified
REITs
-
0.1%
WP
Carey,
Inc.,
REIT
6,977
540,369
Diversified
Telecommunication
Services
-
0.6%
AT&T,
Inc.
218,617
4,208,377
Electric
Utilities
-
2.4%
American
Electric
Power
Co.,
Inc.
8,098
736,837
Avangrid,
Inc.
11,777
469,667
Constellation
Energy
Corp.
16,274
1,277,509
FirstEnergy
Corp.
65,202
2,611,992
IDACORP,
Inc.
11,157
1,208,638
NextEra
Energy,
Inc.
57,089
4,400,420
OGE
Energy
Corp.
75,223
2,832,898
PG&E
Corp.
105,826
1,711,206
Pinnacle
West
Capital
Corp.
16,279
1,289,948
16,539,115
INVESTMENTS
SHARES
VALUE
($)
Electrical
Equipment
-
1.0%
AMETEK,
Inc.
5,400
784,782
Eaton
Corp.
plc
20,081
3,440,679
Emerson
Electric
Co.
6,730
586,452
Hubbell,
Inc.
5,747
1,398,303
nVent
Electric
plc
17,295
742,647
6,952,863
Electronic
Equipment,
Instruments
&
Components
-
0.7%
Amphenol
Corp.,
Class
A
13,224
1,080,665
Avnet,
Inc.
8,017
362,369
Corning,
Inc.
11,812
416,727
Jabil,
Inc.
8,553
754,033
Keysight
Technologies,
Inc.
*
1,638
264,504
TD
SYNNEX
Corp.
9,191
889,597
Zebra
Technologies
Corp.,
Class
A
*
3,165
1,006,470
4,774,365
Energy
Equipment
&
Services
-
0.9%
NOV,
Inc.
62,906
1,164,390
Schlumberger
NV
102,769
5,045,958
6,210,348
Entertainment
-
0.4%
Electronic
Arts,
Inc.
6,096
734,263
Madison
Square
Garden
Sports
Corp.,
Class
A
2,139
416,784
Netflix,
Inc.
*
1,751
604,936
World
Wrestling
Entertainment,
Inc.,
Class
A
8,454
771,512
2,527,495
Financial
Services
-
2.0%
Berkshire
Hathaway,
Inc.,
Class
B
*
4,305
1,329,255
Fiserv,
Inc.
*
6,637
750,180
Mastercard,
Inc.,
Class
A
11,061
4,019,678
Shift4
Payments,
Inc.,
Class
A
2,768
209,814
Visa,
Inc.,
Class
A
32,273
7,276,271
13,585,198
Food
Products
-
4.0%
Archer-Daniels-Midland
Co.
16,988
1,353,264
Bunge
Ltd.
9,436
901,327
Campbell
Soup
Co.
89,523
4,921,975
Conagra
Brands,
Inc.
11,834
444,485
Flowers
Foods,
Inc.
42,164
1,155,715
General
Mills,
Inc.
59,428
5,078,717
Hershey
Co.
(The)
14,732
3,747,968
J
M
Smucker
Co.
(The)
27,696
4,358,519
Kraft
Heinz
Co.
(The)
33,013
1,276,613
Lamb
Weston
Holdings,
Inc.
14,547
1,520,452
Post
Holdings,
Inc.
*
28,792
2,587,537
Tyson
Foods,
Inc.,
Class
A
5,543
328,811
27,675,383
25
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
7,681
863,037
Ground
Transportation
-
1.0%
CSX
Corp.
31,383
939,607
JB
Hunt
Transport
Services,
Inc.
2,681
470,408
Norfolk
Southern
Corp.
2,500
530,000
Old
Dominion
Freight
Line,
Inc.
11,852
4,039,636
Union
Pacific
Corp.
5,640
1,135,106
7,114,757
Health
Care
Equipment
&
Supplies
-
1.8%
Abbott
Laboratories
15,884
1,608,414
Boston
Scientific
Corp.
*
17,375
869,271
Dexcom,
Inc.
25,996
3,020,215
Edwards
Lifesciences
Corp.
*
9,810
811,582
Hologic,
Inc.
*
8,007
646,165
IDEXX
Laboratories,
Inc.
*
5,192
2,596,416
Insulet
Corp.
*
4,343
1,385,243
Intuitive
Surgical,
Inc.
*
3,924
1,002,464
Stryker
Corp.
1,647
470,169
12,409,939
Health
Care
Providers
&
Services
-
4.7%
Acadia
Healthcare
Co.,
Inc.
2,710
195,798
AmerisourceBergen
Corp.
14,181
2,270,520
Cardinal
Health,
Inc.
35,015
2,643,633
Cigna
Group
(The)
12,313
3,146,341
Elevance
Health,
Inc.
4,108
1,888,899
HCA
Healthcare,
Inc.
6,500
1,713,920
Humana,
Inc.
6,353
3,084,127
McKesson
Corp.
14,293
5,089,023
Molina
Healthcare,
Inc.
*
4,912
1,313,911
UnitedHealth
Group,
Inc.
22,699
10,727,320
32,073,492
Health
Care
REITs
-
0.0%
(a)
Omega
Healthcare
Investors,
Inc.,
REIT
9,126
250,144
Health
Care
Technology
-
0.3%
Veeva
Systems,
Inc.,
Class
A
*
10,531
1,935,492
Hotels,
Restaurants
&
Leisure
-
3.4%
Aramark
9,846
352,487
Chipotle
Mexican
Grill,
Inc.
*
2,068
3,532,744
Domino's
Pizza,
Inc.
1,642
541,647
Las
Vegas
Sands
Corp.
47,828
2,747,719
McDonald's
Corp.
35,240
9,853,456
Starbucks
Corp.
40,413
4,208,206
Wendy's
Co.
(The)
9,672
210,656
Wynn
Resorts
Ltd.
2,798
313,124
Yum!
Brands,
Inc.
10,781
1,423,954
23,183,993
Household
Durables
-
0.3%
Garmin
Ltd.
12,279
1,239,196
Tempur
Sealy
International,
Inc.
14,032
554,124
INVESTMENTS
SHARES
VALUE
($)
Household
Durables
-
0.3%
(continued)
Toll
Brothers,
Inc.
8,235
494,347
2,287,667
Household
Products
-
0.1%
Kimberly-Clark
Corp.
1,792
240,522
Reynolds
Consumer
Products,
Inc.
21,630
594,825
835,347
Industrial
Conglomerates
-
0.5%
General
Electric
Co.
9,113
871,203
Honeywell
International,
Inc.
11,968
2,287,324
3,158,527
Insurance
-
5.9%
American
Financial
Group,
Inc.
23,167
2,814,790
American
International
Group,
Inc.
17,227
867,552
Arch
Capital
Group
Ltd.
*
31,556
2,141,706
Arthur
J
Gallagher
&
Co.
7,060
1,350,649
Assured
Guaranty
Ltd.
38,258
1,923,230
Axis
Capital
Holdings
Ltd.
32,452
1,769,283
Chubb
Ltd.
16,196
3,144,939
Erie
Indemnity
Co.,
Class
A
7,165
1,659,844
Everest
Re
Group
Ltd.
7,777
2,784,322
Globe
Life,
Inc.
24,625
2,709,242
Hanover
Insurance
Group,
Inc.
(The)
12,921
1,660,348
Kemper
Corp.
3,462
189,233
Principal
Financial
Group,
Inc.
15,525
1,153,818
Progressive
Corp.
(The)
28,816
4,122,417
Reinsurance
Group
of
America,
Inc.
14,667
1,947,191
RenaissanceRe
Holdings
Ltd.
8,294
1,661,620
Travelers
Cos.,
Inc.
(The)
6,028
1,033,259
Unum
Group
83,044
3,285,221
W
R
Berkley
Corp.
25,782
1,605,187
White
Mountains
Insurance
Group
Ltd.
2,020
2,782,530
40,606,381
Interactive
Media
&
Services
-
0.5%
Alphabet,
Inc.,
Class
A
*
30,180
3,130,571
IT
Services
-
1.6%
Accenture
plc,
Class
A
16,959
4,847,052
Amdocs
Ltd.
10,568
1,014,845
EPAM
Systems,
Inc.
*
1,273
380,627
Gartner,
Inc.
*
1,255
408,841
International
Business
Machines
Corp.
34,150
4,476,724
11,128,089
Life
Sciences
Tools
&
Services
-
2.0%
Agilent
Technologies,
Inc.
4,263
589,743
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,173
1,040,911
26
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Life
Sciences
Tools
&
Services
-
2.0%
(continued)
Charles
River
Laboratories
International,
Inc.
*
994
200,609
Danaher
Corp.
10,875
2,740,935
IQVIA
Holdings,
Inc.
*
2,990
594,681
PerkinElmer,
Inc.
6,856
913,631
Thermo
Fisher
Scientific,
Inc.
13,828
7,970,044
14,050,554
Machinery
-
4.0%
AGCO
Corp.
5,995
810,524
Allison
Transmission
Holdings,
Inc.
42,745
1,933,784
Caterpillar,
Inc.
22,139
5,066,289
Crane
Holdings
Co.
1,806
204,981
Cummins,
Inc.
9,334
2,229,706
Deere
&
Co.
11,927
4,924,420
Donaldson
Co.,
Inc.
4,643
303,374
IDEX
Corp.
2,634
608,533
Illinois
Tool
Works,
Inc.
7,323
1,782,784
Lincoln
Electric
Holdings,
Inc.
9,912
1,676,119
PACCAR,
Inc.
33,987
2,487,848
Parker-Hannifin
Corp.
4,198
1,410,990
Snap-on,
Inc.
1,899
468,844
Timken
Co.
(The)
12,116
990,120
Toro
Co.
(The)
8,014
890,836
Westinghouse
Air
Brake
Technologies
Corp.
6,146
621,115
Xylem,
Inc.
6,645
695,731
27,105,998
Metals
&
Mining
-
1.0%
Freeport-McMoRan,
Inc.
36,034
1,474,151
Nucor
Corp.
15,627
2,413,903
Reliance
Steel
&
Aluminum
Co.
5,159
1,324,522
Steel
Dynamics,
Inc.
12,307
1,391,429
6,604,005
Multi-Utilities
-
1.8%
Consolidated
Edison,
Inc.
98,025
9,378,052
Sempra
Energy
19,178
2,898,946
12,276,998
Oil,
Gas
&
Consumable
Fuels
-
11.0%
APA
Corp.
5,487
197,861
Cheniere
Energy,
Inc.
17,065
2,689,444
Chesapeake
Energy
Corp.
9,248
703,218
Chevron
Corp.
58,444
9,535,723
ConocoPhillips
14,190
1,407,790
Devon
Energy
Corp.
88,380
4,472,912
Diamondback
Energy,
Inc.
26,384
3,566,325
EOG
Resources,
Inc.
14,719
1,687,239
EQT
Corp.
15,813
504,593
Exxon
Mobil
Corp.
238,302
26,132,197
Hess
Corp.
10,552
1,396,452
HF
Sinclair
Corp.
25,734
1,245,011
Marathon
Oil
Corp.
310,713
7,444,684
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
11.0%
(continued)
Marathon
Petroleum
Corp.
21,015
2,833,452
New
Fortress
Energy,
Inc.
13,626
401,013
Occidental
Petroleum
Corp.
63,784
3,982,035
Phillips
66
4,728
479,325
Targa
Resources
Corp.
59,267
4,323,528
Valero
Energy
Corp.
15,234
2,126,666
75,129,468
Passenger
Airlines
-
0.2%
Copa
Holdings
SA,
Class
A
(Panama)
*
13,445
1,241,646
United
Airlines
Holdings,
Inc.
*
8,622
381,523
1,623,169
Personal
Care
Products
-
0.4%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
11,067
2,727,573
Pharmaceuticals
-
4.5%
Bristol-Myers
Squibb
Co.
64,676
4,482,694
Eli
Lilly
&
Co.
37,893
13,013,214
Merck
&
Co.,
Inc.
114,019
12,130,481
Zoetis,
Inc.
6,713
1,117,312
30,743,701
Professional
Services
-
1.3%
Automatic
Data
Processing,
Inc.
3,597
800,800
Booz
Allen
Hamilton
Holding
Corp.
22,734
2,107,215
CACI
International,
Inc.,
Class
A
*
3,465
1,026,610
CoStar
Group,
Inc.
*
29,300
2,017,305
FTI
Consulting,
Inc.
*
4,645
916,691
Science
Applications
International
Corp.
10,507
1,129,082
Verisk
Analytics,
Inc.
4,134
793,149
8,790,852
Retail
REITs
-
0.2%
National
Retail
Properties,
Inc.,
REIT
31,523
1,391,740
Semiconductors
&
Semiconductor
Equipment
-
3.1%
Allegro
MicroSystems,
Inc.
(Japan)
*
11,695
561,243
Analog
Devices,
Inc.
5,763
1,136,579
Applied
Materials,
Inc.
3,864
474,615
Broadcom,
Inc.
5,392
3,459,184
Enphase
Energy,
Inc.
*
6,881
1,446,937
First
Solar,
Inc.
*
9,977
2,169,997
GLOBALFOUNDRIES,
Inc.
*
18,953
1,368,027
KLA
Corp.
9,827
3,922,644
Lam
Research
Corp.
1,419
752,240
NVIDIA
Corp.
7,293
2,025,777
Skyworks
Solutions,
Inc.
3,632
428,503
Teradyne,
Inc.
9,768
1,050,158
Texas
Instruments,
Inc.
12,751
2,371,813
21,167,717
27
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Software
-
4.7%
Adobe,
Inc.
*
6,121
2,358,850
Autodesk,
Inc.
*
3,076
640,300
Cadence
Design
Systems,
Inc.
*
15,781
3,315,430
Fair
Isaac
Corp.
*
570
400,533
Fortinet,
Inc.
*
14,380
955,695
Intuit,
Inc.
2,897
1,291,570
Microsoft
Corp.
27,120
7,818,696
Oracle
Corp.
71,080
6,604,754
Palo
Alto
Networks,
Inc.
*
3,219
642,963
Paycom
Software,
Inc.
*
4,696
1,427,631
Paylocity
Holding
Corp.
*
2,792
554,994
Salesforce,
Inc.
*
2,432
485,865
ServiceNow,
Inc.
*
4,353
2,022,926
Synopsys,
Inc.
*
9,326
3,602,167
32,122,374
Specialized
REITs
-
0.4%
American
Tower
Corp.,
REIT
4,094
836,568
Digital
Realty
Trust,
Inc.,
REIT
3,200
314,592
Gaming
and
Leisure
Properties,
Inc.,
REIT
20,589
1,071,863
Iron
Mountain,
Inc.,
REIT
5,659
299,418
VICI
Properties,
Inc.,
REIT
13,228
431,497
2,953,938
Specialty
Retail
-
2.8%
AutoNation,
Inc.
*
16,751
2,250,664
AutoZone,
Inc.
*
901
2,214,793
Best
Buy
Co.,
Inc.
3,192
249,838
Dick's
Sporting
Goods,
Inc.
13,709
1,945,170
Home
Depot,
Inc.
(The)
6,141
1,812,332
Lowe's
Cos.,
Inc.
8,816
1,762,936
O'Reilly
Automotive,
Inc.
*
1,456
1,236,115
Penske
Automotive
Group,
Inc.
6,522
924,885
Ross
Stores,
Inc.
6,515
691,437
TJX
Cos.,
Inc.
(The)
40,479
3,171,934
Tractor
Supply
Co.
7,711
1,812,394
Ulta
Beauty,
Inc.
*
1,881
1,026,405
Williams-Sonoma,
Inc.
2,811
341,986
19,440,889
Technology
Hardware,
Storage
&
Peripherals
-
0.9%
Apple,
Inc.
33,499
5,523,985
HP,
Inc.
17,380
510,103
6,034,088
Textiles,
Apparel
&
Luxury
Goods
-
0.3%
Lululemon
Athletica,
Inc.
*
4,260
1,551,449
NIKE,
Inc.,
Class
B
4,315
529,192
2,080,641
INVESTMENTS
SHARES
VALUE
($)
Tobacco
-
0.7%
Altria
Group,
Inc.
51,320
2,289,898
Philip
Morris
International,
Inc.
25,684
2,497,769
4,787,667
Trading
Companies
&
Distributors
-
1.0%
Fastenal
Co.
25,858
1,394,780
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
3,123
262,332
United
Rentals,
Inc.
6,146
2,432,341
Watsco,
Inc.
3,619
1,151,421
WW
Grainger,
Inc.
2,686
1,850,144
7,091,018
Wireless
Telecommunication
Services
-
1.0%
T-Mobile
US,
Inc.
*
48,292
6,994,613
TOTAL
COMMON
STOCKS
(Cost
$431,959,443)
655,770,075
SHORT-TERM
INVESTMENTS
-
4.1%
INVESTMENT
COMPANIES
-
4.1%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(b)
(Cost
$27,843,536)
27,858,531
27,847,387
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.8%
(Cost
$459,802,979)
683,617,462
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.2%
(c)
1,556,796
NET
ASSETS
-
100.0%
685,174,258
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
16,861,057
2.5
%
Consumer
Discretionary
53,313,432
7.8
Consumer
Staples
64,821,216
9.5
Energy
81,339,816
11.9
Financials
79,958,689
11.7
Health
Care
118,335,525
17.3
Industrials
104,396,281
15.2
Information
Technology
79,826,105
11.6
Materials
22,102,612
3.2
Real
Estate
5,136,191
0.7
Utilities
29,679,151
4.3
Investment
Companies
27,847,387
4.1
Total
Investments
In
Securities
At
Value
683,617,462
99.8
Other
Assets
in
Excess
of
Liabilities
(c
)
1,556,796
0.2
Net
Assets
$
685,174,258
100.0%
28
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(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
March
31,
2023.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
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
121
6/2023
USD
$
25,033,388
$
843,469
$
843,469
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
997,595
$
997,595
29
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.6%
Aerospace
&
Defense
-
0.7%
AeroVironment,
Inc.
*
2,557
234,375
AerSale
Corp.
*
7,266
125,121
Maxar
Technologies,
Inc.
10,586
540,521
Parsons
Corp.
*
10,345
462,835
1,362,852
Air
Freight
&
Logistics
-
0.5%
Air
Transport
Services
Group,
Inc.
*
6,407
133,458
Forward
Air
Corp.
2,143
230,929
Hub
Group,
Inc.,
Class
A
*
6,051
507,921
872,308
Automobile
Components
-
1.0%
Adient
plc
*
3,163
129,557
Dorman
Products,
Inc.
*
886
76,426
Fox
Factory
Holding
Corp.
*
1,281
155,475
Gentherm,
Inc.
*
6,484
391,763
LCI
Industries
631
69,328
Modine
Manufacturing
Co.
*
11,581
266,942
Patrick
Industries,
Inc.
994
68,397
Visteon
Corp.
*
3,565
559,099
XPEL,
Inc.
*(a)
2,997
203,646
1,920,633
Banks
-
4.7%
Amalgamated
Financial
Corp.
8,004
141,591
Amerant
Bancorp,
Inc.
7,111
154,735
BancFirst
Corp.
7,283
605,217
Bancorp,
Inc.
(The)
*
9,159
255,078
Bankwell
Financial
Group,
Inc.
1,489
37,017
Banner
Corp.
1,233
67,038
BayCom
Corp.
1,719
29,361
BCB
Bancorp,
Inc.
8,892
116,752
Berkshire
Hills
Bancorp,
Inc.
15,762
394,996
Byline
Bancorp,
Inc.
8,822
190,732
Capital
City
Bank
Group,
Inc.
2,288
67,061
City
Holding
Co.
3,590
326,259
Coastal
Financial
Corp.
*
5,205
187,432
Columbia
Financial,
Inc.
*
11,133
203,511
Community
Trust
Bancorp,
Inc.
1,369
51,954
CVB
Financial
Corp.
12,449
207,649
Enterprise
Financial
Services
Corp.
1,248
55,648
Equity
Bancshares,
Inc.,
Class
A
6,289
153,263
Esquire
Financial
Holdings,
Inc.
5,367
209,850
Farmers
&
Merchants
Bancorp,
Inc.
5,543
134,806
First
BanCorp
21,522
245,781
First
Business
Financial
Services,
Inc.
5,258
160,422
First
Financial
Corp.
1,370
51,348
First
Guaranty
Bancshares,
Inc.
611
9,574
First
Internet
Bancorp
5,634
93,806
Flushing
Financial
Corp.
5,306
79,006
Great
Southern
Bancorp,
Inc.
1,245
63,097
INVESTMENTS
SHARES
VALUE
($)
Banks
-
4.7%
(continued)
Greene
County
Bancorp,
Inc.
7,526
170,690
Hancock
Whitney
Corp.
7,076
257,566
Hanmi
Financial
Corp.
23,235
431,474
Heritage
Financial
Corp.
3,267
69,914
Home
BancShares,
Inc.
4,242
92,094
HomeTrust
Bancshares,
Inc.
3,979
97,844
Independent
Bank
Corp.
946
62,077
International
Bancshares
Corp.
4,167
178,431
Lakeland
Financial
Corp.
3,632
227,508
NBT
Bancorp,
Inc.
2,687
90,579
Northeast
Bank
3,896
131,139
Northfield
Bancorp,
Inc.
4,409
51,938
Northwest
Bancshares,
Inc.
4,932
59,332
OFG
Bancorp
2,485
61,976
Origin
Bancorp,
Inc.
2,153
69,219
Park
National
Corp.
906
107,424
PCB
Bancorp
3,727
54,004
Peapack-Gladstone
Financial
Corp.
4,762
141,050
Provident
Financial
Services,
Inc.
2,718
52,131
QCR
Holdings,
Inc.
1,517
66,611
S&T
Bancorp,
Inc.
2,512
79,002
ServisFirst
Bancshares,
Inc.
3,050
166,622
Shore
Bancshares,
Inc.
4,629
66,102
Southern
Missouri
Bancorp,
Inc.
2,150
80,432
Stock
Yards
Bancorp,
Inc.
6,385
352,069
TriCo
Bancshares
5,915
246,005
Triumph
Financial,
Inc.
*
2,989
173,541
United
Bankshares,
Inc.
14,134
497,517
Unity
Bancorp,
Inc.
675
15,397
Washington
Federal,
Inc.
2,995
90,209
WesBanco,
Inc.
1,684
51,699
8,584,580
Beverages
-
1.3%
Celsius
Holdings,
Inc.
*
10,664
991,112
Coca-Cola
Consolidated,
Inc.
765
409,336
MGP
Ingredients,
Inc.
4,822
466,384
National
Beverage
Corp.
*
9,775
515,338
2,382,170
Biotechnology
-
8.4%
4D
Molecular
Therapeutics,
Inc.
*
4,147
71,287
ACADIA
Pharmaceuticals,
Inc.
*
5,504
103,585
ADMA
Biologics,
Inc.
*
76,247
252,378
Aerovate
Therapeutics,
Inc.
*
3,851
77,675
Akero
Therapeutics,
Inc.
*
8,618
329,725
Alkermes
plc
*
20,066
565,661
Amicus
Therapeutics,
Inc.
*
31,417
348,415
AnaptysBio,
Inc.
*
4,746
103,273
Anavex
Life
Sciences
Corp.
*
8,290
71,045
Apellis
Pharmaceuticals,
Inc.
*
15,173
1,000,811
Arcellx,
Inc.
*
3,646
112,333
Arcus
Biosciences,
Inc.
*
3,303
60,247
Arcutis
Biotherapeutics,
Inc.
*
5,833
64,163
30
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
8.4%
(continued)
Arrowhead
Pharmaceuticals,
Inc.
*
2,624
66,650
Avid
Bioservices,
Inc.
*
9,751
182,929
Avidity
Biosciences,
Inc.
*
7,431
114,066
BioCryst
Pharmaceuticals,
Inc.
*
13,072
109,020
Bioxcel
Therapeutics,
Inc.
*
3,297
61,522
Bluebird
Bio,
Inc.
*
15,804
50,257
Bridgebio
Pharma,
Inc.
*
5,415
89,781
Catalyst
Pharmaceuticals,
Inc.
*
23,722
393,311
Celldex
Therapeutics,
Inc.
*
6,795
244,484
Cerevel
Therapeutics
Holdings,
Inc.
*
13,645
332,802
Chinook
Therapeutics,
Inc.
*
15,364
355,677
Cogent
Biosciences,
Inc.
*
13,077
141,101
Crinetics
Pharmaceuticals,
Inc.
*
5,399
86,708
CTI
BioPharma
Corp.
*
39,583
166,249
Cytokinetics,
Inc.
*
15,665
551,251
Day
One
Biopharmaceuticals,
Inc.
*
13,047
174,438
Deciphera
Pharmaceuticals,
Inc.
*
13,904
214,817
Dynavax
Technologies
Corp.
*
5,648
55,407
Enanta
Pharmaceuticals,
Inc.
*
1,454
58,800
Enochian
Biosciences,
Inc.
*
6,631
6,068
FibroGen,
Inc.
*
12,034
224,554
Geron
Corp.
*
111,442
241,829
Halozyme
Therapeutics,
Inc.
*
17,824
680,699
ImmunoGen,
Inc.
*
24,759
95,075
Immunovant,
Inc.
*
24,697
383,050
Insmed,
Inc.
*
5,694
97,083
Intellia
Therapeutics,
Inc.
*
1,590
59,259
Ironwood
Pharmaceuticals,
Inc.
*
11,870
124,872
IVERIC
bio,
Inc.
*
21,156
514,725
Karuna
Therapeutics,
Inc.
*
5,450
989,938
Keros
Therapeutics,
Inc.
*
2,169
92,616
Kiniksa
Pharmaceuticals
Ltd.,
Class
A
*
5,877
63,236
Krystal
Biotech,
Inc.
*
3,942
315,596
Madrigal
Pharmaceuticals,
Inc.
*
2,592
627,938
MannKind
Corp.
*
42,230
173,143
Mersana
Therapeutics,
Inc.
*
13,571
55,777
Mirum
Pharmaceuticals,
Inc.
*
11,211
269,288
Nuvalent,
Inc.,
Class
A
*
7,566
197,397
PDL
BioPharma,
Inc.
(3)*(b)
34,242
34,142
Point
Biopharma
Global,
Inc.
*
10,476
76,160
Prometheus
Biosciences,
Inc.
*
7,025
753,923
Prothena
Corp.
plc
(Ireland)
*
7,273
352,522
PTC
Therapeutics,
Inc.
*
9,698
469,771
RAPT
Therapeutics,
Inc.
*
2,953
54,188
Replimune
Group,
Inc.
*
4,010
70,817
REVOLUTION
Medicines,
Inc.
*
5,693
123,310
Rocket
Pharmaceuticals,
Inc.
*
6,115
104,750
Sage
Therapeutics,
Inc.
*
3,387
142,118
Syndax
Pharmaceuticals,
Inc.
*
11,385
240,451
TG
Therapeutics,
Inc.
*
13,918
209,327
Travere
Therapeutics,
Inc.
*
5,557
124,977
Vaxcyte,
Inc.
*
12,725
476,933
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
8.4%
(continued)
Vera
Therapeutics,
Inc.
*
7,149
55,476
Viridian
Therapeutics,
Inc.
*
8,742
222,396
15,333,272
Broadline
Retail
-
0.5%
Dillard's,
Inc.,
Class
A
2,870
883,042
Building
Products
-
1.5%
AAON,
Inc.
7,297
705,547
CSW
Industrials,
Inc.
2,595
360,523
Gibraltar
Industries,
Inc.
*
4,161
201,809
Griffon
Corp.
11,787
377,302
Simpson
Manufacturing
Co.,
Inc.
4,998
547,981
UFP
Industries,
Inc.
7,524
597,932
2,791,094
Capital
Markets
-
1.3%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
1,872
59,867
B
Riley
Financial,
Inc.
5,060
143,653
Brightsphere
Investment
Group,
Inc.
8,653
204,038
Diamond
Hill
Investment
Group,
Inc.
669
110,104
Donnelley
Financial
Solutions,
Inc.
*
11,153
455,712
Hamilton
Lane,
Inc.,
Class
A
1,664
123,103
Houlihan
Lokey,
Inc.
2,627
229,836
PJT
Partners,
Inc.,
Class
A
8,091
584,089
StoneX
Group,
Inc.
*
3,284
339,992
Virtus
Investment
Partners,
Inc.
748
142,412
2,392,806
Chemicals
-
1.7%
AdvanSix,
Inc.
6,860
262,532
American
Vanguard
Corp.
12,004
262,648
Balchem
Corp.
731
92,457
Cabot
Corp.
4,735
362,890
Hawkins,
Inc.
8,373
366,570
HB
Fuller
Co.
4,454
304,876
Innospec,
Inc.
3,153
323,719
Intrepid
Potash,
Inc.
*
2,808
77,501
Livent
Corp.
*
22,049
478,904
LSB
Industries,
Inc.
*
18,696
193,130
Quaker
Chemical
Corp.
301
59,583
Rayonier
Advanced
Materials,
Inc.
*
12,704
79,654
Sensient
Technologies
Corp.
2,270
173,791
Stepan
Co.
1,189
122,503
Valhi,
Inc.
1,318
22,946
3,183,704
Commercial
Services
&
Supplies
-
0.7%
Aris
Water
Solutions,
Inc.,
Class
A
6,757
52,637
Casella
Waste
Systems,
Inc.,
Class
A
*
7,637
631,275
31
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Commercial
Services
&
Supplies
-
0.7%
(continued)
CoreCivic,
Inc.,
REIT
*
13,938
128,230
Ennis,
Inc.
3,848
81,154
GEO
Group,
Inc.
(The)
*
22,490
177,446
Heritage-Crystal
Clean,
Inc.
*
3,322
118,296
1,189,038
Communications
Equipment
-
1.5%
ADTRAN
Holdings,
Inc.
8,948
141,915
Aviat
Networks,
Inc.
*
3,954
136,255
Calix,
Inc.
*
13,749
736,809
Clearfield,
Inc.
*
3,744
174,395
Digi
International,
Inc.
*
8,379
282,205
Extreme
Networks,
Inc.
*
38,967
745,049
Harmonic,
Inc.
*
17,824
260,052
NetScout
Systems,
Inc.
*
6,923
198,344
2,675,024
Construction
&
Engineering
-
2.3%
Ameresco,
Inc.,
Class
A
*
9,435
464,391
Arcosa,
Inc.
4,266
269,227
Comfort
Systems
USA,
Inc.
5,664
826,717
Construction
Partners,
Inc.,
Class
A
*
7,244
195,153
Dycom
Industries,
Inc.
*
3,550
332,458
EMCOR
Group,
Inc.
4,514
733,931
Fluor
Corp.
*
24,915
770,123
MYR
Group,
Inc.
*
3,261
410,919
Sterling
Infrastructure,
Inc.
*
5,513
208,832
4,211,751
Consumer
Finance
-
0.5%
Consumer
Portfolio
Services,
Inc.
*
7,936
84,836
Encore
Capital
Group,
Inc.
*
1,075
54,234
EZCORP,
Inc.,
Class
A
*
15,046
129,396
FirstCash
Holdings,
Inc.
2,382
227,171
Nelnet,
Inc.,
Class
A
4,656
427,840
NerdWallet,
Inc.,
Class
A
*
3,219
52,083
975,560
Consumer
Staples
Distribution
&
Retail
-
1.2%
Andersons,
Inc.
(The)
2,996
123,795
Chefs'
Warehouse,
Inc.
(The)
*
3,281
111,718
Ingles
Markets,
Inc.,
Class
A
5,317
471,618
Natural
Grocers
by
Vitamin
Cottage,
Inc.
6,193
72,768
SpartanNash
Co.
8,520
211,296
Sprouts
Farmers
Market,
Inc.
*
13,587
475,953
United
Natural
Foods,
Inc.
*
7,833
206,399
Weis
Markets,
Inc.
6,984
591,335
2,264,882
INVESTMENTS
SHARES
VALUE
($)
Containers
&
Packaging
-
0.4%
Greif,
Inc.,
Class
A
6,354
402,653
O-I
Glass,
Inc.
*
16,675
378,689
781,342
Diversified
Consumer
Services
-
0.9%
Adtalem
Global
Education,
Inc.
*
2,734
105,587
Carriage
Services,
Inc.
4,476
136,607
Chegg,
Inc.
3,249
52,959
Duolingo,
Inc.
*
1,983
282,756
Graham
Holdings
Co.,
Class
B
98
58,392
Laureate
Education,
Inc.,
Class
A
32,954
387,539
Strategic
Education,
Inc.
1,578
141,752
Stride,
Inc.
*
6,849
268,823
Universal
Technical
Institute,
Inc.
*
20,602
152,043
1,586,458
Diversified
REITs
-
0.2%
Alexander
&
Baldwin,
Inc.,
REIT
3,556
67,244
Armada
Hoffler
Properties,
Inc.,
REIT
10,076
118,998
CTO
Realty
Growth,
Inc.,
REIT
10,228
176,535
362,777
Diversified
Telecommunication
Services
-
1.0%
Globalstar,
Inc.
*
264,412
306,718
IDT
Corp.,
Class
B
*
4,808
163,857
Iridium
Communications,
Inc.
19,566
1,211,722
Ooma,
Inc.
*
4,785
59,860
1,742,157
Electric
Utilities
-
0.5%
MGE
Energy,
Inc.
6,032
468,505
Otter
Tail
Corp.
6,452
466,286
934,791
Electrical
Equipment
-
2.2%
Array
Technologies,
Inc.
*
24,362
533,041
Atkore,
Inc.
*
6,623
930,399
Babcock
&
Wilcox
Enterprises,
Inc.
*
25,888
156,881
Bloom
Energy
Corp.,
Class
A
*
25,788
513,955
Encore
Wire
Corp.
2,092
387,710
Fluence
Energy,
Inc.
*
17,977
364,034
NuScale
Power
Corp.
*
26,550
241,340
Shoals
Technologies
Group,
Inc.,
Class
A
*
25,568
582,695
SunPower
Corp.
*
16,966
234,809
3,944,864
Electronic
Equipment,
Instruments
&
Components
-
2.1%
Advanced
Energy
Industries,
Inc.
2,257
221,186
Arlo
Technologies,
Inc.
*
15,162
91,882
Badger
Meter,
Inc.
3,617
440,623
Belden,
Inc.
7,361
638,714
ePlus,
Inc.
*
2,844
139,470
32
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
2.1%
(continued)
Fabrinet
(Thailand)
*
3,201
380,151
Insight
Enterprises,
Inc.
*
2,223
317,800
Methode
Electronics,
Inc.
3,694
162,093
Napco
Security
Technologies,
Inc.
*
5,846
219,693
Novanta,
Inc.
*
1,737
276,339
PC
Connection,
Inc.
3,069
137,982
Plexus
Corp.
*
757
73,860
Rogers
Corp.
*
346
56,547
Sanmina
Corp.
*
8,733
532,625
ScanSource,
Inc.
*
2,804
85,354
3,774,319
Energy
Equipment
&
Services
-
3.8%
Archrock,
Inc.
17,745
173,369
Borr
Drilling
Ltd.
(Mexico)
*
45,935
348,187
Cactus,
Inc.,
Class
A
4,144
170,857
ChampionX
Corp.
15,578
422,631
Diamond
Offshore
Drilling,
Inc.
*
34,848
419,570
Helix
Energy
Solutions
Group,
Inc.
*
30,600
236,844
Helmerich
&
Payne,
Inc.
11,714
418,775
Liberty
Energy,
Inc.,
Class
A
18,870
241,725
Nabors
Industries
Ltd.
*
1,971
240,285
NexTier
Oilfield
Solutions,
Inc.
*
40,708
323,629
Noble
Corp.
plc
*
16,346
645,177
Oceaneering
International,
Inc.
*
3,180
56,063
Patterson-UTI
Energy,
Inc.
31,900
373,230
RPC,
Inc.
39,929
307,054
Select
Energy
Services,
Inc.,
Class
A
16,003
111,381
Solaris
Oilfield
Infrastructure,
Inc.,
Class
A
7,032
60,053
TETRA
Technologies,
Inc.
*
41,042
108,761
Tidewater,
Inc.
*
11,779
519,218
US
Silica
Holdings,
Inc.
*
13,173
157,286
Valaris
Ltd.
*
11,504
748,450
Weatherford
International
plc
*
14,823
879,745
6,962,290
Financial
Services
-
1.5%
A-Mark
Precious
Metals,
Inc.
6,811
236,001
Enact
Holdings,
Inc.
4,644
106,162
EVERTEC,
Inc.
3,192
107,730
International
Money
Express,
Inc.
*
9,919
255,712
Jackson
Financial,
Inc.,
Class
A
5,816
217,577
Merchants
Bancorp
7,086
184,519
Mr
Cooper
Group,
Inc.
*
14,766
604,963
Payoneer
Global,
Inc.
*
18,167
114,089
PennyMac
Financial
Services,
Inc.
9,017
537,503
Remitly
Global,
Inc.
*
5,172
87,665
Walker
&
Dunlop,
Inc.
2,922
222,569
Waterstone
Financial,
Inc.
6,106
92,384
2,766,874
INVESTMENTS
SHARES
VALUE
($)
Food
Products
-
1.6%
Alico,
Inc.
5,218
126,276
Cal-Maine
Foods,
Inc.
7,270
442,670
Hostess
Brands,
Inc.
*
32,120
799,146
Lancaster
Colony
Corp.
2,318
470,276
Seneca
Foods
Corp.,
Class
A
*
1,255
65,599
Simply
Good
Foods
Co.
(The)
*
7,102
282,446
SunOpta,
Inc.
(Canada)
*
18,069
139,131
Tootsie
Roll
Industries,
Inc.
7,118
319,669
TreeHouse
Foods,
Inc.
*
7,018
353,918
2,999,131
Gas
Utilities
-
0.8%
Chesapeake
Utilities
Corp.
415
53,116
New
Jersey
Resources
Corp.
14,273
759,324
Northwest
Natural
Holding
Co.
2,081
98,972
ONE
Gas,
Inc.
1,981
156,955
Spire,
Inc.
5,294
371,321
1,439,688
Ground
Transportation
-
0.7%
ArcBest
Corp.
1,563
144,453
Covenant
Logistics
Group,
Inc.
5,720
202,602
Daseke,
Inc.
*
11,915
92,103
Marten
Transport
Ltd.
13,081
274,047
PAM
Transportation
Services,
Inc.
*
5,095
145,870
Saia,
Inc.
*
979
266,366
Universal
Logistics
Holdings,
Inc.
3,223
93,950
1,219,391
Health
Care
Equipment
&
Supplies
-
3.4%
Alphatec
Holdings,
Inc.
*
19,838
309,473
AtriCure,
Inc.
*
3,525
146,111
Atrion
Corp.
227
142,536
Axonics,
Inc.
*
5,767
314,648
Cutera,
Inc.
*
2,244
53,003
Glaukos
Corp.
*
1,864
93,387
Haemonetics
Corp.
*
7,701
637,258
Heska
Corp.
*
790
77,120
Inari
Medical,
Inc.
*
1,145
70,692
Inspire
Medical
Systems,
Inc.
*
3,530
826,267
iRadimed
Corp.
2,123
83,540
iRhythm
Technologies,
Inc.
*
1,173
145,487
Lantheus
Holdings,
Inc.
*
11,455
945,725
LeMaitre
Vascular,
Inc.
1,424
73,293
Merit
Medical
Systems,
Inc.
*
2,885
213,346
PROCEPT
BioRobotics
Corp.
*
6,218
176,591
Shockwave
Medical,
Inc.
*
4,734
1,026,473
Silk
Road
Medical,
Inc.
*
2,878
112,616
STAAR
Surgical
Co.
*
1,353
86,524
TransMedics
Group,
Inc.
*
6,548
495,880
UFP
Technologies,
Inc.
*
2,205
286,297
6,316,267
33
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
2.6%
AdaptHealth
Corp.
*
7,272
90,391
Addus
HomeCare
Corp.
*
4,833
515,971
Agiliti,
Inc.
*
4,611
73,684
Alignment
Healthcare,
Inc.
*
9,377
59,638
AMN
Healthcare
Services,
Inc.
*
2,193
181,931
Apollo
Medical
Holdings,
Inc.
*
1,811
66,047
CorVel
Corp.
*
1,524
289,987
Cross
Country
Healthcare,
Inc.
*
12,438
277,616
Ensign
Group,
Inc.
(The)
6,555
626,265
Fulgent
Genetics,
Inc.
*
1,812
56,571
HealthEquity,
Inc.
*
8,907
522,930
Hims
&
Hers
Health,
Inc.
*
24,585
243,883
ModivCare,
Inc.
*
1,609
135,285
National
HealthCare
Corp.
1,435
83,330
Option
Care
Health,
Inc.
*
26,321
836,218
Owens
&
Minor,
Inc.
*
6,906
100,482
Patterson
Cos.,
Inc.
2,949
78,945
Privia
Health
Group,
Inc.
*
14,728
406,640
R1
RCM,
Inc.
*
4,214
63,210
Select
Medical
Holdings
Corp.
5,844
151,067
4,860,091
Health
Care
REITs
-
0.1%
LTC
Properties,
Inc.,
REIT
5,269
185,100
National
Health
Investors,
Inc.,
REIT
1,042
53,746
238,846
Health
Care
Technology
-
0.6%
Computer
Programs
and
Systems,
Inc.
*
2,396
72,359
Evolent
Health,
Inc.,
Class
A
*
22,841
741,190
NextGen
Healthcare,
Inc.
*
6,568
114,349
Phreesia,
Inc.
*
1,757
56,734
Veradigm,
Inc.
*
11,498
150,049
1,134,681
Hotel
&
Resort
REITs
-
0.4%
Apple
Hospitality
REIT,
Inc.,
REIT
12,221
189,670
Braemar
Hotels
&
Resorts,
Inc.,
REIT
15,679
60,521
Chatham
Lodging
Trust,
REIT
13,360
140,146
Ryman
Hospitality
Properties,
Inc.,
REIT
4,353
390,595
780,932
Hotels,
Restaurants
&
Leisure
-
3.2%
Bloomin'
Brands,
Inc.
3,767
96,624
Bowlero
Corp.
*
31,311
530,722
Dave
&
Buster's
Entertainment,
Inc.
*
3,406
125,307
Everi
Holdings,
Inc.
*
12,227
209,693
Golden
Entertainment,
Inc.
*
7,171
312,010
Hilton
Grand
Vacations,
Inc.
*
6,508
289,150
Inspired
Entertainment,
Inc.
*
8,746
111,861
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
3.2%
(continued)
International
Game
Technology
plc
5,990
160,532
Kura
Sushi
USA,
Inc.,
Class
A
*
4,325
284,758
Life
Time
Group
Holdings,
Inc.
*
4,566
72,873
Light
&
Wonder,
Inc.
*
5,842
350,812
Monarch
Casino
&
Resort,
Inc.
1,468
108,852
Papa
John's
International,
Inc.
1,834
137,422
Red
Rock
Resorts,
Inc.,
Class
A
9,007
401,442
SeaWorld
Entertainment,
Inc.
*
5,692
348,977
Target
Hospitality
Corp.
*
28,196
370,495
Texas
Roadhouse,
Inc.
8,668
936,664
Wingstop,
Inc.
4,336
796,003
Xponential
Fitness,
Inc.,
Class
A
*
7,595
230,812
5,875,009
Household
Durables
-
0.5%
Ethan
Allen
Interiors,
Inc.
5,340
146,636
Green
Brick
Partners,
Inc.
*
9,038
316,872
Installed
Building
Products,
Inc.
1,460
166,484
M/I
Homes,
Inc.
*
936
59,052
Meritage
Homes
Corp.
1,206
140,813
Taylor
Morrison
Home
Corp.,
Class
A
*
4,294
164,289
994,146
Household
Products
-
0.1%
Central
Garden
&
Pet
Co.,
Class
A
*
3,210
125,415
Independent
Power
and
Renewable
Electricity
Producers
-
0.8%
Altus
Power,
Inc.
*
9,807
53,742
Clearway
Energy,
Inc.,
Class
C
21,502
673,658
Montauk
Renewables,
Inc.
*
20,989
165,183
Ormat
Technologies,
Inc.
7,645
648,067
1,540,650
Industrial
REITs
-
0.1%
Indus
Realty
Trust,
Inc.,
REIT
794
52,634
Terreno
Realty
Corp.,
REIT
2,671
172,547
225,181
Insurance
-
2.8%
American
Equity
Investment
Life
Holding
Co.
7,844
286,228
CNO
Financial
Group,
Inc.
18,395
408,185
Donegal
Group,
Inc.,
Class
A
7,211
110,184
Employers
Holdings,
Inc.
1,463
60,993
Genworth
Financial,
Inc.,
Class
A
*
51,457
258,314
HCI
Group,
Inc.
1,322
70,859
Horace
Mann
Educators
Corp.
1,584
53,032
Kinsale
Capital
Group,
Inc.
4,023
1,207,503
MBIA,
Inc.
*
10,666
98,767
ProAssurance
Corp.
3,126
57,769
RLI
Corp.
9,594
1,275,139
Safety
Insurance
Group,
Inc.
5,918
441,009
Selective
Insurance
Group,
Inc.
6,429
612,877
34
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
2.8%
(continued)
United
Fire
Group,
Inc.
7,299
193,788
5,134,647
Interactive
Media
&
Services
-
0.1%
DHI
Group,
Inc.
*
37,050
143,754
IT
Services
-
0.2%
Hackett
Group,
Inc.
(The)
8,283
153,070
Information
Services
Group,
Inc.
12,869
65,503
Perficient,
Inc.
*
1,821
131,458
350,031
Leisure
Products
-
0.5%
Acushnet
Holdings
Corp.
11,141
567,522
Malibu
Boats,
Inc.,
Class
A
*
1,757
99,183
MasterCraft
Boat
Holdings,
Inc.
*
3,572
108,696
Vista
Outdoor,
Inc.
*
8,213
227,582
1,002,983
Life
Sciences
Tools
&
Services
-
0.6%
AbCellera
Biologics,
Inc.
(Canada)
*
7,371
55,577
CryoPort,
Inc.
*
3,165
75,960
Medpace
Holdings,
Inc.
*
3,764
707,820
Pacific
Biosciences
of
California,
Inc.
*
16,211
187,724
1,027,081
Machinery
-
3.0%
Alamo
Group,
Inc.
1,547
284,896
Chart
Industries,
Inc.
*
1,949
244,405
Columbus
McKinnon
Corp.
2,229
82,830
Energy
Recovery,
Inc.
*
14,786
340,817
EnPro
Industries,
Inc.
734
76,255
Federal
Signal
Corp.
2,494
135,200
Franklin
Electric
Co.,
Inc.
2,983
280,700
Greenbrier
Cos.,
Inc.
(The)
3,571
114,879
Kadant,
Inc.
1,754
365,744
Lindsay
Corp.
1,848
279,288
Mueller
Industries,
Inc.
10,649
782,489
Omega
Flex,
Inc.
827
92,161
RBC
Bearings,
Inc.
*
3,543
824,562
Shyft
Group,
Inc.
(The)
11,427
259,964
SPX
Technologies,
Inc.
*
3,998
282,179
Standex
International
Corp.
731
89,504
Terex
Corp.
5,535
267,783
Titan
International,
Inc.
*
24,655
258,385
Wabash
National
Corp.
5,158
126,835
Watts
Water
Technologies,
Inc.,
Class
A
1,423
239,519
5,428,395
INVESTMENTS
SHARES
VALUE
($)
Marine
Transportation
-
0.1%
Eagle
Bulk
Shipping,
Inc.
3,854
175,357
Genco
Shipping
&
Trading
Ltd.
3,381
52,946
228,303
Media
-
0.2%
Entravision
Communications
Corp.,
Class
A
16,919
102,360
John
Wiley
&
Sons,
Inc.,
Class
A
1,426
55,286
Scholastic
Corp.
3,042
104,097
TechTarget,
Inc.
*
4,033
145,672
407,415
Metals
&
Mining
-
2.4%
Alpha
Metallurgical
Resources,
Inc.
488,436
ATI,
Inc.
*
19,116
754,317
Carpenter
Technology
Corp.
1,377
61,635
Commercial
Metals
Co.
15,035
735,212
Haynes
International,
Inc.
6,100
305,549
Hecla
Mining
Co.
37,822
239,413
Materion
Corp.
1,684
195,344
Piedmont
Lithium,
Inc.
*
1,566
94,038
Ryerson
Holding
Corp.
15,339
558,033
SunCoke
Energy,
Inc.
12,855
115,438
TimkenSteel
Corp.
*
14,479
265,545
Warrior
Met
Coal,
Inc.
10,096
370,624
Worthington
Industries,
Inc.
3,857
249,355
4,432,939
Multi-Utilities
-
0.1%
Black
Hills
Corp.
1,282
80,894
Unitil
Corp.
2,475
141,174
222,068
Office
REITs
-
0.1%
Equity
Commonwealth,
REIT
7,068
146,378
Oil,
Gas
&
Consumable
Fuels
-
8.4%
Amplify
Energy
Corp.
*
27,821
191,130
Arch
Resources,
Inc.
2,582
339,430
Ardmore
Shipping
Corp.
(Ireland)
11,810
175,615
Berry
Corp.
8,288
65,061
California
Resources
Corp.
3,398
130,823
Centrus
Energy
Corp.,
Class
A
*
1,682
54,160
Chord
Energy
Corp.
3,924
528,170
Civitas
Resources,
Inc.
9,855
673,491
Comstock
Resources,
Inc.
31,010
334,598
CONSOL
Energy,
Inc.
8,748
509,746
CVR
Energy,
Inc.
18,028
590,958
Delek
US
Holdings,
Inc.
10,770
247,171
Denbury,
Inc.
*
5,689
498,527
DHT
Holdings,
Inc.
25,244
272,888
Dorian
LPG
Ltd.
18,982
378,501
Earthstone
Energy,
Inc.,
Class
A
*
12,554
163,327
Equitrans
Midstream
Corp.
9,958
57,557
FLEX
LNG
Ltd.
(Norway)
4,918
165,146
35
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
8.4%
(continued)
Frontline
plc
(Norway)
23,304
385,914
Golar
LNG
Ltd.
(Cameroon)
*
16,142
348,667
Green
Plains,
Inc.
*
7,657
237,290
Gulfport
Energy
Corp.
*
3,453
276,240
HighPeak
Energy,
Inc.
18,237
419,451
International
Seaways,
Inc.
11,523
480,279
Kinetik
Holdings,
Inc.
14,942
467,685
Kosmos
Energy
Ltd.
(Ghana)
*
72,295
537,875
Magnolia
Oil
&
Gas
Corp.,
Class
A
15,055
329,403
Matador
Resources
Co.
16,262
774,884
Murphy
Oil
Corp.
16,617
614,497
NACCO
Industries,
Inc.,
Class
A
5,470
197,303
NextDecade
Corp.
*
46,140
229,316
Nordic
American
Tankers
Ltd.
57,454
227,518
Northern
Oil
and
Gas,
Inc.
9,654
292,999
Par
Pacific
Holdings,
Inc.
*
3,793
110,756
PBF
Energy,
Inc.,
Class
A
18,991
823,450
Peabody
Energy
Corp.
*
21,673
554,829
Permian
Resources
Corp.
65,419
686,899
SandRidge
Energy,
Inc.
*
10,395
149,792
Scorpio
Tankers,
Inc.
(Monaco)
10,199
574,306
SFL
Corp.
Ltd.
(Norway)
5,576
52,972
SilverBow
Resources,
Inc.
*
2,469
56,417
SM
Energy
Co.
6,869
193,431
Talos
Energy,
Inc.
*
9,346
138,695
Teekay
Corp.
*
15,946
98,546
Teekay
Tankers
Ltd.,
Class
A
(Canada)
*
8,497
364,776
Uranium
Energy
Corp.
*
59,784
172,178
VAALCO
Energy,
Inc.
13,839
62,691
Vertex
Energy,
Inc.
*
14,848
146,698
W&T
Offshore,
Inc.
*
18,400
93,472
15,475,528
Paper
&
Forest
Products
-
0.2%
Clearwater
Paper
Corp.
*
4,786
159,948
Sylvamo
Corp.
6,362
294,306
454,254
Passenger
Airlines
-
0.0%
(c)
Frontier
Group
Holdings,
Inc.
*
8,679
85,401
Personal
Care
Products
-
1.0%
BellRing
Brands,
Inc.
1,837
62,458
Edgewell
Personal
Care
Co.
5,955
252,611
elf
Beauty,
Inc.
*
12,289
1,011,999
Inter
Parfums,
Inc.
2,981
424,018
1,751,086
Pharmaceuticals
-
2.8%
Aclaris
Therapeutics,
Inc.
*
11,821
95,632
Amphastar
Pharmaceuticals,
Inc.
*
11,815
443,062
Amylyx
Pharmaceuticals,
Inc.
*
7,842
230,084
Axsome
Therapeutics,
Inc.
*
7,633
470,803
Cassava
Sciences,
Inc.
*
2,209
53,281
Corcept
Therapeutics,
Inc.
*
12,489
270,512
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
2.8%
(continued)
DICE
Therapeutics,
Inc.
*
7,361
210,893
Evolus,
Inc.
*
8,656
73,230
Harmony
Biosciences
Holdings,
Inc.
*
8,661
282,782
Intra-Cellular
Therapies,
Inc.
*
9,323
504,840
Liquidia
Corp.
*
34,330
237,220
Prestige
Consumer
Healthcare,
Inc.
*
11,074
693,565
Reata
Pharmaceuticals,
Inc.,
Class
A
*
5,979
543,611
Revance
Therapeutics,
Inc.
*
14,075
453,356
SIGA
Technologies,
Inc.
14,646
84,214
Supernus
Pharmaceuticals,
Inc.
*
3,773
136,696
Ventyx
Biosciences,
Inc.
*
10,726
359,321
5,143,102
Professional
Services
-
2.9%
ASGN,
Inc.
*
5,078
419,798
Barrett
Business
Services,
Inc.
1,086
96,263
CBIZ,
Inc.
*
11,004
544,588
CRA
International,
Inc.
2,615
281,949
CSG
Systems
International,
Inc.
4,659
250,188
ExlService
Holdings,
Inc.
*
5,261
851,388
Exponent,
Inc.
2,524
251,618
Franklin
Covey
Co.
*
6,376
245,285
Huron
Consulting
Group,
Inc.
*
5,824
468,075
ICF
International,
Inc.
3,314
363,546
Insperity,
Inc.
4,904
596,081
Kforce,
Inc.
1,508
95,366
NV5
Global,
Inc.
*
3,159
328,441
Resources
Connection,
Inc.
10,077
171,914
TriNet
Group,
Inc.
*
974
78,514
TTEC
Holdings,
Inc.
4,111
153,052
Verra
Mobility
Corp.,
Class
A
*
7,464
126,291
5,322,357
Real
Estate
Management
&
Development
-
0.2%
St
Joe
Co.
(The)
10,523
437,862
Residential
REITs
-
0.2%
Apartment
Investment
and
Management
Co.,
Class
A,
REIT
14,887
114,481
BRT
Apartments
Corp.,
REIT
8,833
174,187
Centerspace,
REIT
994
54,302
342,970
Retail
REITs
-
1.2%
Agree
Realty
Corp.,
REIT
7,672
526,376
Kite
Realty
Group
Trust,
REIT
10,558
220,873
Phillips
Edison
&
Co.,
Inc.,
REIT
7,096
231,472
Retail
Opportunity
Investments
Corp.,
REIT
3,939
54,989
Saul
Centers,
Inc.,
REIT
3,345
130,455
SITE
Centers
Corp.,
REIT
11,942
146,648
Tanger
Factory
Outlet
Centers,
Inc.,
REIT
19,764
387,967
36
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Retail
REITs
-
1.2%
(continued)
Urstadt
Biddle
Properties,
Inc.,
Class
A,
REIT
14,141
248,457
Whitestone,
REIT
29,332
269,854
2,217,091
Semiconductors
&
Semiconductor
Equipment
-
3.2%
Alpha
&
Omega
Semiconductor
Ltd.
*
5,612
151,243
Amkor
Technology,
Inc.
26,295
684,196
Axcelis
Technologies,
Inc.
*
5,819
775,382
Cohu,
Inc.
*
3,568
136,976
Diodes,
Inc.
*
3,066
284,402
FormFactor,
Inc.
*
3,422
108,991
Impinj,
Inc.
*
4,298
582,465
indie
Semiconductor,
Inc.,
Class
A
(China)
*
5,416
57,139
MACOM
Technology
Solutions
Holdings,
Inc.
*
13,053
924,675
Onto
Innovation,
Inc.
*
858
75,401
PDF
Solutions,
Inc.
*
10,306
436,974
Photronics,
Inc.
*
10,022
166,165
Power
Integrations,
Inc.
973
82,355
Rambus,
Inc.
*
19,832
1,016,588
Silicon
Laboratories,
Inc.
*
496
86,845
Transphorm,
Inc.
*
7,552
30,132
Ultra
Clean
Holdings,
Inc.
*
3,328
110,356
Veeco
Instruments,
Inc.
*
8,355
176,541
5,886,826
Software
-
2.5%
A10
Networks,
Inc.
24,742
383,254
Agilysys,
Inc.
*
3,962
326,905
Altair
Engineering,
Inc.,
Class
A
*
2,085
150,349
Appfolio,
Inc.,
Class
A
*
5,314
661,487
Blackline,
Inc.
*
2,194
147,327
Box,
Inc.,
Class
A
*
19,236
515,332
Clear
Secure,
Inc.,
Class
A
16,071
420,578
CommVault
Systems,
Inc.
*
1,051
59,634
Instructure
Holdings,
Inc.
*
5,655
146,465
Intapp,
Inc.
*
2,600
116,584
Model
N,
Inc.
*
3,301
110,484
PowerSchool
Holdings,
Inc.,
Class
A
*
14,248
282,395
Qualys,
Inc.
*
1,888
245,478
SPS
Commerce,
Inc.
*
3,644
554,981
Tenable
Holdings,
Inc.
*
2,534
120,390
Varonis
Systems,
Inc.
*
2,171
56,468
Verint
Systems,
Inc.
*
1,508
56,158
Zeta
Global
Holdings
Corp.,
Class
A
*
14,048
152,140
4,506,409
Specialized
REITs
-
0.2%
Farmland
Partners,
Inc.,
REIT
13,601
145,531
Four
Corners
Property
Trust,
Inc.,
REIT
4,794
128,767
INVESTMENTS
SHARES
VALUE
($)
Specialized
REITs
-
0.2%
(continued)
PotlatchDeltic
Corp.,
REIT
2,454
121,473
395,771
Specialty
Retail
-
2.4%
Academy
Sports
&
Outdoors,
Inc.
11,188
730,017
Asbury
Automotive
Group,
Inc.
*
1,690
354,900
Buckle,
Inc.
(The)
5,074
181,091
Build-A-Bear
Workshop,
Inc.
6,434
149,526
Caleres,
Inc.
7,502
162,268
Destination
XL
Group,
Inc.
*
26,644
146,809
Foot
Locker,
Inc.
5,212
206,864
Genesco,
Inc.
*
2,999
110,603
Group
1
Automotive,
Inc.
674
152,607
Hibbett,
Inc.
895
52,787
Murphy
USA,
Inc.
4,327
1,116,582
ODP
Corp.
(The)
*
8,720
392,226
Shoe
Carnival,
Inc.
5,985
153,515
Signet
Jewelers
Ltd.
1,657
128,882
Sonic
Automotive,
Inc.,
Class
A
5,550
301,587
4,340,264
Technology
Hardware,
Storage
&
Peripherals
-
0.6%
Avid
Technology,
Inc.
*
9,014
288,268
Super
Micro
Computer,
Inc.
*
7,733
823,951
1,112,219
Textiles,
Apparel
&
Luxury
Goods
-
0.8%
Crocs,
Inc.
5,986
756,870
Ermenegildo
Zegna
NV
(Italy)
4,318
58,897
Kontoor
Brands,
Inc.
1,125
54,439
Movado
Group,
Inc.
8,811
253,492
Oxford
Industries,
Inc.
2,986
315,292
1,438,990
Tobacco
-
0.5%
Universal
Corp.
8,684
459,297
Vector
Group
Ltd.
30,826
370,220
829,517
Trading
Companies
&
Distributors
-
3.4%
Applied
Industrial
Technologies,
Inc.
5,103
725,289
Beacon
Roofing
Supply,
Inc.
*
4,115
242,168
BlueLinx
Holdings,
Inc.
*
3,525
239,559
Boise
Cascade
Co.
7,564
478,423
Custom
Truck
One
Source,
Inc.
*
11,401
77,413
GATX
Corp.
5,426
596,969
Global
Industrial
Co.
7,478
200,709
GMS,
Inc.
*
1,590
92,045
Herc
Holdings,
Inc.
2,629
299,443
Hudson
Technologies,
Inc.
*
25,552
223,069
McGrath
RentCorp
2,883
269,013
MRC
Global,
Inc.
*
10,949
106,424
NOW,
Inc.
*
16,359
182,403
Rush
Enterprises,
Inc.,
Class
A
10,266
560,524
37
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Trading
Companies
&
Distributors
-
3.4%
(continued)
Textainer
Group
Holdings
Ltd.
(China)
12,295
394,792
Titan
Machinery,
Inc.
*
3,515
107,032
Transcat,
Inc.
*
1,499
133,996
Triton
International
Ltd.
10,478
662,419
Veritiv
Corp.
5,046
681,916
6,273,606
Water
Utilities
-
0.6%
American
States
Water
Co.
5,893
523,829
Artesian
Resources
Corp.,
Class
A
2,870
158,883
Cadiz,
Inc.
*
10,859
43,871
California
Water
Service
Group
4,921
286,402
1,012,985
Wireless
Telecommunication
Services
-
0.1%
Gogo,
Inc.
*
18,221
264,205
TOTAL
COMMON
STOCKS
(Cost
$136,769,179)
177,442,453
SHORT-TERM
INVESTMENTS
-
0.2%
INVESTMENT
COMPANIES
-
0.2%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(d)
(Cost
$297,130)
297,249
297,130
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
96.8%
(Cost
$137,066,309)
177,739,583
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.2%
(e)
5,931,377
NET
ASSETS
-
100.0%
183,670,960
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
2,557,531
1.4
%
Consumer
Discretionary
18,041,526
9.9
Consumer
Staples
10,352,200
5.7
Energy
22,437,818
12.2
Financials
19,854,466
10.8
Health
Care
33,814,495
18.4
Industrials
32,929,360
17.9
Information
Technology
18,304,828
10.0
Materials
8,852,239
4.8
Real
Estate
5,147,808
2.7
Utilities
5,150,182
2.8
Investment
Companies
297,130
0.2
Total
Investments
In
Securities
At
Value
177,739,583
96.8
Other
Assets
in
Excess
of
Liabilities
(e
)
5,931,377
3.2
Net
Assets
$
183,670,960
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.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$203,646,
which
represents
0.11%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$34,142,
which
represents
0.02%
of
net
assets
of
the
Fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(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
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
33
6/2023
USD
$
2,992,275
$
36,318
$
36,318
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
548,094
$
548,094
38
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.0%
Australia
-
7.1%
BHP
Group
Ltd.
166,665
5,268,935
Brambles
Ltd.
74,521
671,900
Commonwealth
Bank
of
Australia
5,389
355,811
Fortescue
Metals
Group
Ltd.
186,854
2,808,709
Glencore
plc
503,427
2,896,829
Goodman
Group,
REIT
98,729
1,252,855
Macquarie
Group
Ltd.
7,787
921,978
Mineral
Resources
Ltd.
10,039
542,678
National
Australia
Bank
Ltd.
86,422
1,610,333
Origin
Energy
Ltd.
61,075
340,132
Pilbara
Minerals
Ltd.
90,777
241,503
Qantas
Airways
Ltd.
*
52,706
235,251
REA
Group
Ltd.
5,952
554,985
Rio
Tinto
plc
30,779
2,089,217
Santos
Ltd.
26,764
123,179
South32
Ltd.
90,362
264,827
Suncorp
Group
Ltd.
65,290
530,490
Treasury
Wine
Estates
Ltd.
64,048
562,264
Wesfarmers
Ltd.
39,229
1,325,882
Westpac
Banking
Corp.
7,010
102,063
WiseTech
Global
Ltd.
7,466
328,905
Woodside
Energy
Group
Ltd.
110,012
2,457,685
25,486,411
—
Belgium
-
0.1%
Anheuser-Busch
InBev
SA/NV
1,973
131,520
KBC
Group
NV
4,579
314,627
446,147
—
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
9,333
449,489
Canada
-
10.1%
Agnico
Eagle
Mines
Ltd.
(1)
7,471
380,875
Alimentation
Couche-Tard,
Inc.
(1)
21,781
1,095,094
AltaGas
Ltd.
(1)
8,068
134,497
Bank
of
Montreal
(1)
13,285
1,183,314
Cameco
Corp.
(1)
39,070
1,023,076
Canadian
National
Railway
Co.
(1)
3,249
383,365
Canadian
Natural
Resources
Ltd.
(1)
72,055
3,987,416
Canadian
Pacific
Railway
Ltd.
(1)
40,714
3,135,114
Canadian
Utilities
Ltd.,
Class
A
(1)
3,848
107,226
Cenovus
Energy,
Inc.
(1)
166,991
2,913,539
Constellation
Software,
Inc.
(1)
892
1,677,019
Dollarama,
Inc.
(1)
9,861
589,325
Empire
Co.
Ltd.,
Class
A
(1)
4,033
108,114
Fairfax
Financial
Holdings
Ltd.
(1)
564
375,094
Franco-Nevada
Corp.
(1)
3,781
551,497
George
Weston
Ltd.
(1)
10,840
1,436,511
Hydro
One
Ltd.
(1)(a)
32,356
921,242
Imperial
Oil
Ltd.
(1)
46,898
2,384,979
Intact
Financial
Corp.
(1)
13,298
1,903,144
Loblaw
Cos.
Ltd.
(1)
2,652
241,692
Lumine
Group,
Inc.
(1)(b)
2,676
29,126
Manulife
Financial
Corp.
(1)
13,396
245,816
National
Bank
of
Canada
(1)
32,202
2,303,342
Nutrien
Ltd.
(1)
15,664
1,156,806
INVESTMENTS
SHARES
VALUE
($)
Canada
-
10.1%
(continued)
Restaurant
Brands
International,
Inc.
(1)
12,429
834,394
Royal
Bank
of
Canada
(1)
9,876
944,486
Saputo,
Inc.
(1)
8,348
216,004
Suncor
Energy,
Inc.
(1)
6,598
204,848
Teck
Resources
Ltd.,
Class
B
(1)
21,752
794,274
Thomson
Reuters
Corp.
(1)
22,200
2,888,382
Tourmaline
Oil
Corp.
(1)
15,478
645,003
WSP
Global,
Inc.
(1)
12,849
1,683,062
36,477,676
—
China
-
1.0%
BOC
Hong
Kong
Holdings
Ltd.
289,000
899,731
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
249,800
760,223
Prosus
NV
18,336
1,435,784
Wilmar
International
Ltd.
110,000
348,492
3,444,230
—
Denmark
-
3.8%
AP
Moller
-
Maersk
A/S,
Class
B
175
318,099
Danske
Bank
A/S
*
31,691
637,585
DSV
A/S
10,852
2,104,177
Genmab
A/S
*
3,217
1,216,043
Novo
Nordisk
A/S,
Class
B
48,707
7,735,713
Orsted
A/S
(a)
12,539
1,069,175
Tryg
A/S
9,825
214,829
Vestas
Wind
Systems
A/S
14,720
429,006
13,724,627
—
Finland
-
1.7%
Elisa
OYJ
9,092
548,351
Neste
OYJ
22,459
1,109,562
Nordea
Bank
Abp
130,277
1,391,137
Orion
OYJ,
Class
B
10,328
461,640
Sampo
OYJ,
Class
A
39,362
1,857,303
UPM-Kymmene
OYJ
20,621
692,618
6,060,611
—
France
-
9.5%
Air
Liquide
SA
6,233
1,043,334
Airbus
SE
5,316
710,045
AXA
SA
17,806
543,396
BNP
Paribas
SA
9,061
541,101
Capgemini
SE
1,863
346,212
Carrefour
SA
7,007
141,665
Dassault
Aviation
SA
2,688
531,768
Dassault
Systemes
SE
10,725
442,417
Hermes
International
3,055
6,187,159
Legrand
SA
2,988
273,021
L'Oreal
SA
6,501
2,904,925
LVMH
Moet
Hennessy
Louis
Vuitton
SE
10,438
9,581,129
Orange
SA
239,124
2,840,835
Renault
SA
*
10,720
436,906
Safran
SA
3,116
461,282
Sartorius
Stedim
Biotech
1,282
393,312
Sodexo
SA
2,271
221,810
Teleperformance
646
156,096
Thales
SA
9,741
1,440,176
39
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
9.5%
(continued)
TotalEnergies
SE
77,791
4,586,847
Vivendi
SE
46,477
469,955
34,253,391
—
Germany
-
7.9%
Allianz
SE
(Registered)
10,340
2,386,845
Bayer
AG
(Registered)
23,535
1,503,454
Bayerische
Motoren
Werke
AG
7,399
810,921
Commerzbank
AG
*
170,244
1,792,370
Daimler
Truck
Holding
AG
*
4,891
165,067
Deutsche
Boerse
AG
3,660
712,639
Deutsche
Lufthansa
AG
(Registered)
*
81,673
908,408
Deutsche
Telekom
AG
(Registered)
95,722
2,319,564
Hannover
Rueck
SE
3,192
624,293
Infineon
Technologies
AG
54,858
2,252,755
Mercedes-Benz
Group
AG
28,007
2,153,816
Merck
KGaA
10,258
1,912,449
MTU
Aero
Engines
AG
931
232,973
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
8,805
3,078,543
Rheinmetall
AG
4,126
1,222,329
RWE
AG
38,843
1,671,352
SAP
SE
1,813
228,928
Siemens
AG
(Registered)
21,750
3,523,586
Siemens
Energy
AG
*
23,876
526,501
Symrise
AG
3,807
414,293
28,441,086
—
Hong
Kong
-
0.7%
AIA
Group
Ltd.
71,000
744,602
CK
Asset
Holdings
Ltd.
29,000
175,818
Hong
Kong
Exchanges
&
Clearing
Ltd.
3,400
150,704
Sino
Land
Co.
Ltd.
132,000
178,506
Swire
Pacific
Ltd.,
Class
A
37,500
288,187
Techtronic
Industries
Co.
Ltd.
100,000
1,083,512
2,621,329
—
Italy
-
1.9%
Ferrari
NV
10,210
2,766,745
Intesa
Sanpaolo
SpA
383,059
983,099
Prysmian
SpA
9,142
383,879
UniCredit
SpA
138,107
2,603,022
6,736,745
—
Japan
-
18.6%
Ajinomoto
Co.,
Inc.
16,600
577,479
ANA
Holdings,
Inc.
*
9,100
197,788
Bandai
Namco
Holdings,
Inc.
31,200
672,645
Capcom
Co.
Ltd.
15,000
536,859
Chiba
Bank
Ltd.
(The)
65,900
425,336
Chugai
Pharmaceutical
Co.
Ltd.
62,300
1,538,351
Daiichi
Sankyo
Co.
Ltd.
103,000
3,757,198
Daikin
Industries
Ltd.
4,800
861,151
Dentsu
Group,
Inc.
6,400
225,589
Eisai
Co.
Ltd.
1,900
107,919
Fast
Retailing
Co.
Ltd.
6,900
1,510,496
Fujitsu
Ltd.
5,900
797,269
INVESTMENTS
SHARES
VALUE
($)
Japan
-
18.6%
(continued)
Hamamatsu
Photonics
KK
2,500
134,854
Hankyu
Hanshin
Holdings,
Inc.
32,600
966,656
Hitachi
Ltd.
11,900
654,032
Honda
Motor
Co.
Ltd.
23,300
616,312
Hoya
Corp.
13,300
1,469,814
Inpex
Corp.
112,900
1,194,767
Isuzu
Motors
Ltd.
31,600
377,651
ITOCHU
Corp.
90,300
2,940,750
Japan
Airlines
Co.
Ltd.
20,600
401,661
Japan
Post
Bank
Co.
Ltd.
131,200
1,071,571
Japan
Post
Holdings
Co.
Ltd.
265,600
2,155,603
Japan
Post
Insurance
Co.
Ltd.
99,500
1,550,792
Japan
Tobacco,
Inc.
134,100
2,832,668
Keyence
Corp.
1,660
813,581
Kikkoman
Corp.
4,000
204,214
Kintetsu
Group
Holdings
Co.
Ltd.
23,200
747,363
Konami
Group
Corp.
2,600
119,334
Kyowa
Kirin
Co.
Ltd.
5,500
120,073
Marubeni
Corp.
95,500
1,298,773
Mazda
Motor
Corp.
57,300
528,535
Mitsubishi
Corp.
52,500
1,886,664
Mitsubishi
HC
Capital,
Inc.
446,200
2,304,064
Mitsubishi
Heavy
Industries
Ltd.
20,600
758,925
Mitsui
&
Co.
Ltd.
38,800
1,209,390
Mitsui
OSK
Lines
Ltd.
4,900
122,880
Mizuho
Financial
Group,
Inc.
46,500
658,792
MonotaRO
Co.
Ltd.
15,800
199,011
Nexon
Co.
Ltd.
12,400
296,097
NIPPON
EXPRESS
HOLDINGS,
Inc.
1,800
108,613
Nippon
Paint
Holdings
Co.
Ltd.
11,100
104,374
Nippon
Steel
Corp.
44,000
1,037,586
Nippon
Telegraph
&
Telephone
Corp.
65,600
1,960,308
Nippon
Yusen
KK
110,300
2,576,426
Nissan
Chemical
Corp.
5,700
258,877
Nissin
Foods
Holdings
Co.
Ltd.
18,400
1,682,492
Nitori
Holdings
Co.
Ltd.
2,600
313,981
Nomura
Real
Estate
Holdings,
Inc.
4,700
104,075
Nomura
Research
Institute
Ltd.
29,250
684,091
NTT
Data
Corp.
12,500
164,332
Obic
Co.
Ltd.
9,100
1,441,381
Olympus
Corp.
40,500
711,292
Oriental
Land
Co.
Ltd.
14,000
479,349
Pan
Pacific
International
Holdings
Corp.
15,000
290,194
Panasonic
Holdings
Corp.
23,000
205,784
Recruit
Holdings
Co.
Ltd.
16,400
451,148
Renesas
Electronics
Corp.
*
64,400
932,564
Resona
Holdings,
Inc.
114,600
552,847
Seven
&
i
Holdings
Co.
Ltd.
2,900
131,005
Shimadzu
Corp.
12,500
392,407
Shimano,
Inc.
1,100
190,724
Shionogi
&
Co.
Ltd.
3,900
175,912
Shiseido
Co.
Ltd.
3,600
168,780
Sony
Group
Corp.
6,400
582,934
Square
Enix
Holdings
Co.
Ltd.
4,100
197,028
Sumitomo
Corp.
10,900
193,097
Sumitomo
Electric
Industries
Ltd.
22,500
289,056
40
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
18.6%
(continued)
Sumitomo
Mitsui
Financial
Group,
Inc.
134,100
5,366,356
Suzuki
Motor
Corp.
3,600
131,103
Taisei
Corp.
30,900
956,011
Takeda
Pharmaceutical
Co.
Ltd.
49,600
1,629,041
Terumo
Corp.
10,200
275,862
Tobu
Railway
Co.
Ltd.
30,100
720,617
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
87,100
311,140
Tokyo
Electron
Ltd.
5,100
623,047
Tokyo
Gas
Co.
Ltd.
27,100
509,296
Toyota
Motor
Corp.
7,500
106,766
Unicharm
Corp.
4,000
164,423
USS
Co.
Ltd.
6,400
111,037
West
Japan
Railway
Co.
2,600
107,098
Yakult
Honsha
Co.
Ltd.
7,900
574,017
Yamaha
Corp.
5,000
193,120
67,002,498
—
Luxembourg
-
0.1%
Eurofins
Scientific
SE
4,910
328,772
Macau
-
0.2%
Galaxy
Entertainment
Group
Ltd.
*
34,000
227,432
Sands
China
Ltd.
*
118,400
411,320
638,752
—
Netherlands
-
6.9%
ABN
AMRO
Bank
NV,
CVA
(a)
40,533
642,750
Aegon
NV
124,954
536,447
Argenx
SE
2,973
1,104,040
ASM
International
NV
1,329
539,442
ASML
Holding
NV
8,993
6,128,263
ING
Groep
NV
214,115
2,542,690
JDE
Peet's
NV
(1)
10,628
309,129
NN
Group
NV
17,397
631,684
OCI
NV
19,815
671,726
Shell
plc
302,478
8,620,201
Wolters
Kluwer
NV
26,026
3,285,433
25,011,805
—
Norway
-
0.6%
DNB
Bank
ASA
49,315
882,529
Equinor
ASA
4,370
124,232
Kongsberg
Gruppen
ASA
9,112
368,332
Norsk
Hydro
ASA
122,769
916,277
2,291,370
—
Singapore
-
1.3%
City
Developments
Ltd.
18,600
103,211
DBS
Group
Holdings
Ltd.
56,100
1,394,744
Keppel
Corp.
Ltd.
24,700
104,795
Oversea-Chinese
Banking
Corp.
Ltd.
78,700
733,625
Sembcorp
Marine
Ltd.
*
2,433,424
218,400
Singapore
Exchange
Ltd.
105,800
749,223
Singapore
Telecommunications
Ltd.
151,600
280,895
STMicroelectronics
NV
10,182
542,535
United
Overseas
Bank
Ltd.
25,400
569,698
INVESTMENTS
SHARES
VALUE
($)
Singapore
-
1.3%
(continued)
UOL
Group
Ltd.
22,700
118,523
4,815,649
—
South
Africa
-
0.5%
Anglo
American
plc
49,941
1,661,113
South
Korea
-
0.0%
(c)
Delivery
Hero
SE
(a)
4,791
163,445
Spain
-
2.3%
Acciona
SA
2,895
580,851
Banco
Bilbao
Vizcaya
Argentaria
SA
47,371
338,672
CaixaBank
SA
337,377
1,316,430
Enagas
SA
38,676
743,187
Ferrovial
SA
6,756
198,947
Iberdrola
SA
199,210
2,481,720
Naturgy
Energy
Group
SA
18,604
560,046
Repsol
SA
126,503
1,945,347
8,165,200
—
Sweden
-
1.7%
Atlas
Copco
AB,
Class
A
11,660
147,713
Epiroc
AB,
Class
A
6,823
135,437
Evolution
AB
(a)
3,726
499,204
Hexagon
AB,
Class
B
113,687
1,308,470
Investor
AB,
Class
B
67,778
1,350,178
Nibe
Industrier
AB,
Class
B
58,186
663,269
Sandvik
AB
11,786
250,167
Skandinaviska
Enskilda
Banken
AB,
Class
A
*
64,383
710,677
Svenska
Handelsbanken
AB,
Class
A
76,806
665,206
Swedbank
AB,
Class
A
28,845
474,345
6,204,666
—
Switzerland
-
4.0%
ABB
Ltd.
(Registered)
23,978
824,880
Baloise
Holding
AG
(Registered)
705
109,780
Chocoladefabriken
Lindt
&
Spruengli
AG
16
188,970
Cie
Financiere
Richemont
SA
(Registered)
9,404
1,507,990
EMS-Chemie
Holding
AG
(Registered)
821
678,663
Geberit
AG
(Registered)
295
164,742
Givaudan
SA
(Registered)
118
384,065
Julius
Baer
Group
Ltd.
3,112
212,576
Kuehne
+
Nagel
International
AG
(Registered)
2,235
665,662
Lonza
Group
AG
(Registered)
2,409
1,450,217
Novartis
AG
(Registered)
11,340
1,041,222
Partners
Group
Holding
AG
1,556
1,465,320
Sika
AG
(Registered)
4,942
1,386,208
Swatch
Group
AG
(The)
292
100,562
UBS
Group
AG
(Registered)
125,239
2,650,158
Zurich
Insurance
Group
AG
3,143
1,506,122
14,337,137
—
41
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
11.8%
Ashtead
Group
plc
34,318
2,107,295
AstraZeneca
plc
51,931
7,195,265
Aviva
plc
129,147
645,107
BAE
Systems
plc
142,213
1,720,228
BP
plc
843,622
5,332,133
British
American
Tobacco
plc
102,713
3,600,545
Bunzl
plc
17,175
648,745
CNH
Industrial
NV
7,153
109,449
Compass
Group
plc
60,757
1,526,918
Croda
International
plc
4,518
363,128
Diageo
plc
44,818
2,000,213
HSBC
Holdings
plc
730,181
4,962,678
Imperial
Brands
plc
170,644
3,924,075
JD
Sports
Fashion
plc
202,530
446,017
London
Stock
Exchange
Group
plc
10,939
1,062,502
NatWest
Group
plc
413,850
1,350,405
Pearson
plc
57,370
600,373
Phoenix
Group
Holdings
plc
33,620
227,151
Reckitt
Benckiser
Group
plc
18,355
1,396,403
SSE
plc
23,902
533,346
Standard
Chartered
plc
132,450
1,003,848
Unilever
plc
37,184
1,926,839
42,682,663
—
United
States
-
3.1%
Computershare
Ltd.
42,620
619,064
CSL
Ltd.
15,636
3,028,232
Experian
plc
5,258
173,134
Ferguson
plc
7,344
970,963
Holcim
AG
7,097
457,695
Jackson
Financial,
Inc.,
Class
A
(1)
223
8,342
Sanofi
14,049
1,524,018
Schneider
Electric
SE
10,401
1,738,256
Stellantis
NV
13,899
252,771
Swiss
Re
AG
3,640
373,950
Tenaris
SA
137,343
1,946,040
11,092,465
—
TOTAL
COMMON
STOCKS
(Cost
$247,126,271)
342,537,277
SHORT-TERM
INVESTMENTS
-
4.2%
INVESTMENT
COMPANIES
-
4.2%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(1)(d)
(Cost
$15,306,863)
15,316,737
15,310,610
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.2%
(Cost
$262,433,134)
357,847,887
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.8%
(e)
2,789,119
NET
ASSETS
-
100.0%
360,637,006
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
10,349,800
2.9
%
Consumer
Discretionary
38,679,589
10.7
Consumer
Staples
27,627,755
7.7
Energy
38,598,856
10.7
Financials
73,153,896
20.3
Health
Care
38,679,838
10.7
Industrials
55,939,963
15.5
Information
Technology
19,807,599
5.5
Materials
27,515,597
7.6
Real
Estate
2,221,175
0.6
Utilities
9,963,209
2.8
Investment
Companies
15,310,610
4.2
Total
Investments
In
Securities
At
Value
357,847,887
99.2
Other
Assets
in
Excess
of
Liabilities
(e
)
2,789,119
0.8
Net
Assets
$
360,637,006
100.0%
42
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$4,056,039,
which
represents
1.12%
of
net
assets
of
the
Fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$29,126,
which
represents
0.01%
of
net
assets
of
the
Fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(e)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
142
6/2023
USD
$
14,885,150
$
552,932
$
552,932
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
74,653
$
74,653
43
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
97.7%
Aerospace
&
Defense
-
0.4%
L3Harris
Technologies,
Inc.
6,080
1,193,139
Lockheed
Martin
Corp.
33,923
16,036,420
17,229,559
Air
Freight
&
Logistics
-
2.0%
CH
Robinson
Worldwide,
Inc.
328,540
32,647,020
Expeditors
International
of
Washington,
Inc.
407,544
44,878,745
77,525,765
Banks
-
1.1%
Bank
of
Hawaii
Corp.
24,291
1,265,075
Citigroup,
Inc.
269,191
12,622,366
Commerce
Bancshares,
Inc.
40,712
2,375,545
Cullen/Frost
Bankers,
Inc.
14,776
1,556,504
East
West
Bancorp,
Inc.
210,098
11,660,439
First
Citizens
BancShares,
Inc.,
Class
A
3,251
3,163,548
First
Hawaiian,
Inc.
56,882
1,173,476
FNB
Corp.
78,158
906,633
JPMorgan
Chase
&
Co.
22,144
2,885,584
Popular,
Inc.
23,392
1,342,935
Prosperity
Bancshares,
Inc.
82,773
5,092,195
44,044,300
Beverages
-
4.3%
Brown-Forman
Corp.,
Class
B
28,757
1,848,213
Coca-Cola
Co.
(The)
923,998
57,315,596
Molson
Coors
Beverage
Co.,
Class
B
150,885
7,797,737
Monster
Beverage
Corp.
721,734
38,980,853
PepsiCo,
Inc.
322,841
58,853,914
164,796,313
Biotechnology
-
4.8%
AbbVie,
Inc.
29,913
4,767,235
Amgen,
Inc.
41,330
9,991,527
Gilead
Sciences,
Inc.
672,448
55,793,010
Incyte
Corp.
*
51,143
3,696,105
Regeneron
Pharmaceuticals,
Inc.
*
61,471
50,508,877
United
Therapeutics
Corp.
*
47,934
10,735,299
Vertex
Pharmaceuticals,
Inc.
*
161,826
50,986,518
186,478,571
Capital
Markets
-
2.1%
Bank
of
New
York
Mellon
Corp.
(The)
71,471
3,247,642
BlackRock,
Inc.
1,653
1,106,055
CME
Group,
Inc.
231,063
44,253,186
Intercontinental
Exchange,
Inc.
287,999
30,035,416
S&P
Global,
Inc.
5,457
1,881,410
SEI
Investments
Co.
18,262
1,050,978
81,574,687
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
1.5%
Air
Products
and
Chemicals,
Inc.
90,281
25,929,606
CF
Industries
Holdings,
Inc.
100,318
7,272,052
Corteva,
Inc.
233,910
14,107,112
NewMarket
Corp.
3,321
1,212,099
Sherwin-Williams
Co.
(The)
42,556
9,565,312
58,086,181
Commercial
Services
&
Supplies
-
1.9%
Cintas
Corp.
43,038
19,912,822
Copart,
Inc.
*
54,508
4,099,547
Republic
Services,
Inc.
142,026
19,204,756
Rollins,
Inc.
100,865
3,785,463
Waste
Management,
Inc.
169,149
27,600,042
74,602,630
Communications
Equipment
-
0.8%
Cisco
Systems,
Inc.
564,166
29,491,778
Ubiquiti,
Inc.
10,244
2,783,192
32,274,970
Construction
&
Engineering
-
0.1%
MDU
Resources
Group,
Inc.
74,560
2,272,589
Consumer
Staples
Distribution
&
Retail
-
4.6%
Casey's
General
Stores,
Inc.
60,666
13,131,762
Costco
Wholesale
Corp.
112,158
55,727,945
Dollar
General
Corp.
36,221
7,623,072
Kroger
Co.
(The)
725,151
35,800,705
Target
Corp.
37,857
6,270,255
Walmart,
Inc.
391,242
57,688,633
176,242,372
Diversified
Consumer
Services
-
0.0%
(a)
Grand
Canyon
Education,
Inc.
*
13,335
1,518,856
Diversified
Telecommunication
Services
-
2.9%
AT&T,
Inc.
2,973,722
57,244,148
Lumen
Technologies,
Inc.
289,221
766,436
Verizon
Communications,
Inc.
1,413,459
54,969,421
112,980,005
Electric
Utilities
-
3.6%
Alliant
Energy
Corp.
64,249
3,430,897
American
Electric
Power
Co.,
Inc.
58,682
5,339,475
Avangrid,
Inc.
228,106
9,096,867
Duke
Energy
Corp.
353,786
34,129,735
Evergy,
Inc.
39,221
2,397,188
Eversource
Energy
20,643
1,615,521
Exelon
Corp.
40,444
1,694,199
IDACORP,
Inc.
46,618
5,050,128
NextEra
Energy,
Inc.
468,043
36,076,755
Pinnacle
West
Capital
Corp.
93,921
7,442,300
PPL
Corp.
470,979
13,088,506
Xcel
Energy,
Inc.
318,018
21,447,134
140,808,705
44
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Electrical
Equipment
-
0.2%
Eaton
Corp.
plc
30,731
5,265,450
Emerson
Electric
Co.
13,103
1,141,795
Hubbell,
Inc.
10,449
2,542,346
8,949,591
Electronic
Equipment,
Instruments
&
Components
-
0.4%
Amphenol
Corp.,
Class
A
145,780
11,913,142
Littelfuse,
Inc.
9,392
2,517,901
Teledyne
Technologies,
Inc.
*
2,575
1,151,952
15,582,995
Entertainment
-
0.6%
Electronic
Arts,
Inc.
122,220
14,721,399
World
Wrestling
Entertainment,
Inc.,
Class
A
89,211
8,141,396
22,862,795
Financial
Services
-
2.7%
Jack
Henry
&
Associates,
Inc.
28,136
4,240,658
Mastercard,
Inc.,
Class
A
125,596
45,642,843
MGIC
Investment
Corp.
195,810
2,627,770
Visa,
Inc.,
Class
A
233,470
52,638,146
105,149,417
Food
Products
-
6.1%
Archer-Daniels-Midland
Co.
49,290
3,926,441
Flowers
Foods,
Inc.
450,270
12,341,901
General
Mills,
Inc.
256,146
21,890,237
Hershey
Co.
(The)
240,113
61,087,148
Hormel
Foods
Corp.
611,324
24,379,601
Ingredion,
Inc.
31,009
3,154,546
J
M
Smucker
Co.
(The)
211,127
33,225,056
Kraft
Heinz
Co.
(The)
870,503
33,662,351
McCormick
&
Co.,
Inc.
(Non-Voting)
135,928
11,310,569
Mondelez
International,
Inc.,
Class
A
432,067
30,123,711
Tyson
Foods,
Inc.,
Class
A
18,678
1,107,979
236,209,540
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
38,449
4,320,130
Ground
Transportation
-
2.5%
JB
Hunt
Transport
Services,
Inc.
91,560
16,065,118
Knight-Swift
Transportation
Holdings,
Inc.
28,781
1,628,429
Landstar
System,
Inc.
113,538
20,352,822
Old
Dominion
Freight
Line,
Inc.
146,142
49,811,039
U-Haul
Holding
Co.
2,125
126,756
Union
Pacific
Corp.
36,013
7,247,976
95,232,140
Health
Care
Equipment
&
Supplies
-
3.4%
Abbott
Laboratories
216,198
21,892,209
Becton
Dickinson
&
Co.
92,507
22,899,183
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
3.4%
(continued)
Edwards
Lifesciences
Corp.
*
248,760
20,579,915
Hologic,
Inc.
*
102,165
8,244,715
Intuitive
Surgical,
Inc.
*
49,329
12,602,080
Medtronic
plc
259,093
20,888,078
ResMed,
Inc.
43,011
9,418,979
Stryker
Corp.
46,469
13,265,505
129,790,664
Health
Care
Providers
&
Services
-
5.5%
Centene
Corp.
*
226,224
14,299,619
Chemed
Corp.
18,519
9,958,592
Cigna
Group
(The)
139,549
35,658,956
CVS
Health
Corp.
285,949
21,248,870
Elevance
Health,
Inc.
10,042
4,617,412
Henry
Schein,
Inc.
*
107,016
8,726,085
Humana,
Inc.
114,411
55,541,964
McKesson
Corp.
4,387
1,561,991
Molina
Healthcare,
Inc.
*
3,860
1,032,511
Premier,
Inc.,
Class
A
92,504
2,994,355
Quest
Diagnostics,
Inc.
23,710
3,354,491
UnitedHealth
Group,
Inc.
110,590
52,263,728
211,258,574
Health
Care
Technology
-
0.1%
Veeva
Systems,
Inc.,
Class
A
*
18,763
3,448,452
Hotels,
Restaurants
&
Leisure
-
0.1%
Booking
Holdings,
Inc.
*
594
1,575,532
McDonald's
Corp.
6,214
1,737,496
3,313,028
Household
Durables
-
0.2%
Garmin
Ltd.
75,680
7,637,626
Household
Products
-
3.0%
Church
&
Dwight
Co.,
Inc.
211,339
18,684,481
Clorox
Co.
(The)
37,109
5,872,128
Colgate-Palmolive
Co.
404,614
30,406,742
Kimberly-Clark
Corp.
18,581
2,493,942
Procter
&
Gamble
Co.
(The)
387,801
57,662,131
115,119,424
Industrial
Conglomerates
-
0.6%
Honeywell
International,
Inc.
127,725
24,410,802
Insurance
-
7.3%
Aflac,
Inc.
111,529
7,195,851
Allstate
Corp.
(The)
217,397
24,089,762
Aon
plc,
Class
A
95,543
30,123,752
Arch
Capital
Group
Ltd.
*
72,482
4,919,353
Arthur
J
Gallagher
&
Co.
96,160
18,396,370
Assurant,
Inc.
58,831
7,063,838
Brown
&
Brown,
Inc.
75,367
4,327,573
Chubb
Ltd.
69,000
13,398,420
CNA
Financial
Corp.
35,589
1,389,039
Erie
Indemnity
Co.,
Class
A
20,859
4,832,196
Everest
Re
Group
Ltd.
55,003
19,692,174
45
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
7.3%
(continued)
Hanover
Insurance
Group,
Inc.
(The)
8,161
1,048,688
Loews
Corp.
24,436
1,417,777
Markel
Corp.
*
2,100
2,682,561
Marsh
&
McLennan
Cos.,
Inc.
189,064
31,488,609
Progressive
Corp.
(The)
402,832
57,629,146
Reinsurance
Group
of
America,
Inc.
50,451
6,697,875
RenaissanceRe
Holdings
Ltd.
33,348
6,680,938
Travelers
Cos.,
Inc.
(The)
155,356
26,629,572
Unum
Group
191,287
7,567,314
W
R
Berkley
Corp.
59,131
3,681,496
280,952,304
Interactive
Media
&
Services
-
1.5%
Alphabet,
Inc.,
Class
A
*
531,380
55,120,047
Meta
Platforms,
Inc.,
Class
A
*
23,135
4,903,232
60,023,279
IT
Services
-
1.1%
Accenture
plc,
Class
A
87,310
24,954,071
Akamai
Technologies,
Inc.
*
60,052
4,702,072
Amdocs
Ltd.
76,081
7,306,058
EPAM
Systems,
Inc.
*
15,859
4,741,841
VeriSign,
Inc.
*
11,716
2,475,942
44,179,984
Life
Sciences
Tools
&
Services
-
4.7%
Agilent
Technologies,
Inc.
138,944
19,221,513
Bio-Techne
Corp.
38,740
2,874,121
Charles
River
Laboratories
International,
Inc.
*
12,576
2,538,088
Danaher
Corp.
181,447
45,731,902
Mettler-Toledo
International,
Inc.
*
24,772
37,906,362
QIAGEN
NV
*
30,762
1,412,899
Thermo
Fisher
Scientific,
Inc.
97,578
56,241,032
Waters
Corp.
*
18,651
5,774,909
West
Pharmaceutical
Services,
Inc.
34,960
12,112,591
183,813,417
Machinery
-
2.2%
Caterpillar,
Inc.
92,711
21,215,985
Cummins,
Inc.
80,173
19,151,726
Donaldson
Co.,
Inc.
17,781
1,161,811
Dover
Corp.
16,880
2,564,747
IDEX
Corp.
29,273
6,762,941
Illinois
Tool
Works,
Inc.
118,175
28,769,704
Lincoln
Electric
Holdings,
Inc.
19,883
3,362,215
Toro
Co.
(The)
19,944
2,216,975
85,206,104
Media
-
0.1%
Fox
Corp.,
Class
A
70,264
2,392,489
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
0.7%
Newmont
Corp.
486,510
23,848,720
Royal
Gold,
Inc.
16,946
2,198,066
26,046,786
Multi-Utilities
-
2.0%
Ameren
Corp.
173,516
14,990,047
CMS
Energy
Corp.
44,983
2,761,057
Consolidated
Edison,
Inc.
244,269
23,369,215
DTE
Energy
Co.
84,134
9,216,038
Public
Service
Enterprise
Group,
Inc.
177,939
11,112,291
WEC
Energy
Group,
Inc.
173,662
16,461,421
77,910,069
Oil,
Gas
&
Consumable
Fuels
-
2.6%
Chevron
Corp.
107,327
17,511,473
ConocoPhillips
172,215
17,085,450
EOG
Resources,
Inc.
214,692
24,610,144
Exxon
Mobil
Corp.
359,559
39,429,240
Marathon
Petroleum
Corp.
21,924
2,956,013
101,592,320
Personal
Care
Products
-
0.4%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
68,244
16,819,416
Pharmaceuticals
-
4.5%
Bristol-Myers
Squibb
Co.
151,807
10,521,743
Eli
Lilly
&
Co.
159,929
54,922,817
Johnson
&
Johnson
331,913
51,446,515
Merck
&
Co.,
Inc.
228,248
24,283,305
Pfizer,
Inc.
312,131
12,734,945
Zoetis,
Inc.
115,357
19,200,019
173,109,344
Professional
Services
-
2.2%
Automatic
Data
Processing,
Inc.
99,408
22,131,203
CACI
International,
Inc.,
Class
A
*
24,129
7,148,940
CoStar
Group,
Inc.
*
132,914
9,151,129
FTI
Consulting,
Inc.
*
97,076
19,157,948
Leidos
Holdings,
Inc.
18,136
1,669,600
Paychex,
Inc.
143,944
16,494,543
Robert
Half
International,
Inc.
40,535
3,265,905
Verisk
Analytics,
Inc.
32,852
6,302,985
85,322,253
Semiconductors
&
Semiconductor
Equipment
-
2.2%
Analog
Devices,
Inc.
25,044
4,939,178
Broadcom,
Inc.
32,808
21,047,644
Texas
Instruments,
Inc.
320,651
59,644,293
85,631,115
Software
-
4.1%
Adobe,
Inc.
*
78,077
30,088,533
ANSYS,
Inc.
*
11,289
3,756,979
46
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Software
-
4.1%
(continued)
Cadence
Design
Systems,
Inc.
*
142,727
29,985,515
Dolby
Laboratories,
Inc.,
Class
A
109,731
9,373,222
Intuit,
Inc.
25,013
11,151,546
Manhattan
Associates,
Inc.
*
33,515
5,189,798
Microsoft
Corp.
124,646
35,935,442
Oracle
Corp.
61,492
5,713,837
Roper
Technologies,
Inc.
45,897
20,226,349
Synopsys,
Inc.
*
16,359
6,318,664
157,739,885
Specialized
REITs
-
0.6%
Public
Storage,
REIT
75,821
22,908,557
Specialty
Retail
-
1.1%
AutoZone,
Inc.
*
3,226
7,929,992
Home
Depot,
Inc.
(The)
56,867
16,782,589
Lowe's
Cos.,
Inc.
82,490
16,495,525
41,208,106
Technology
Hardware,
Storage
&
Peripherals
-
1.7%
Apple,
Inc.
357,680
58,981,432
Hewlett
Packard
Enterprise
Co.
517,491
8,243,632
67,225,064
Textiles,
Apparel
&
Luxury
Goods
-
0.3%
Lululemon
Athletica,
Inc.
*
27,866
10,148,519
NIKE,
Inc.,
Class
B
10,093
1,237,805
11,386,324
Tobacco
-
1.0%
Altria
Group,
Inc.
253,168
11,296,356
Philip
Morris
International,
Inc.
274,627
26,707,476
38,003,832
Trading
Companies
&
Distributors
-
0.4%
Fastenal
Co.
80,827
4,359,809
WW
Grainger,
Inc.
17,520
12,067,951
16,427,760
Water
Utilities
-
0.3%
American
Water
Works
Co.,
Inc.
58,709
8,600,281
Essential
Utilities,
Inc.
59,677
2,604,901
11,205,182
Wireless
Telecommunication
Services
-
1.1%
T-Mobile
US,
Inc.
*
287,252
41,605,580
TOTAL
COMMON
STOCKS
(Cost
$2,367,184,445)
3,784,429,851
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
2.3%
INVESTMENT
COMPANIES
-
2.3%
Limited
Purpose
Cash
Investment
Fund,
4.73%
(b)
(Cost
$88,852,754)
88,888,361
88,852,806
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$2,456,037,199)
3,873,282,657
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
0.0%
(a)(c)
(1,521,739)
NET
ASSETS
-
100.0%
3,871,760,918
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
239,864,148
6.2
%
Consumer
Discretionary
65,063,941
1.7
Consumer
Staples
747,190,897
19.3
Energy
101,592,320
2.6
Financials
511,720,708
13.2
Health
Care
887,899,021
22.9
Industrials
487,179,194
12.6
Information
Technology
402,634,012
10.4
Materials
84,132,967
2.2
Real
Estate
22,908,557
0.6
Utilities
234,244,086
6.0
Investment
Companies
88,852,806
2.3
Total
Investments
In
Securities
At
Value
3,873,282,657
100.0
Liabilities
in
Excess
of
Other
Assets
(c
)
(1,521,739)
0.0(a)
Net
Assets
$
3,871,760,918
100.0%
47
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(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
March
31,
2023.
(c)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
4).
Futures
contracts
outstanding
as
of
March
31,
2023:
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
361
6/2023
USD
$
74,686,388
$
3,293,953
$
3,293,953
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
2,196,592
$
2,196,592
48
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
92.9%
Australia
-
7.9%
Aurizon
Holdings
Ltd.
318,655
717,727
BHP
Group
Ltd.
99,943
3,159,591
Cochlear
Ltd.
7,214
1,148,472
Coles
Group
Ltd.
64,049
773,883
Fortescue
Metals
Group
Ltd.
29,644
445,596
Glencore
plc
153,921
885,695
Medibank
Pvt
Ltd.
77,630
175,185
Newcrest
Mining
Ltd.
36,231
646,738
Northern
Star
Resources
Ltd.
113,662
932,046
QBE
Insurance
Group
Ltd.
31,119
304,671
REA
Group
Ltd.
11,269
1,050,760
Rio
Tinto
plc
7,399
502,229
Sonic
Healthcare
Ltd.
62,675
1,469,288
South32
Ltd.
139,396
408,532
Telstra
Group
Ltd.
1,371,473
3,883,192
Treasury
Wine
Estates
Ltd.
180,326
1,583,045
Vicinity
Ltd.,
REIT
105,078
137,426
Washington
H
Soul
Pattinson
&
Co.
Ltd.
28,864
584,980
Wesfarmers
Ltd.
34,458
1,164,629
WiseTech
Global
Ltd.
17,122
754,287
Woolworths
Group
Ltd.
85,537
2,174,582
22,902,554
—
Austria
-
0.1%
Mondi
plc
24,674
391,750
Belgium
-
0.8%
Ageas
SA/NV
13,886
600,685
Elia
Group
SA/NV
3,102
409,639
Groupe
Bruxelles
Lambert
NV
5,535
472,357
KBC
Group
NV
3,293
226,265
Proximus
SADP
34,375
332,415
UCB
SA
2,856
255,258
2,296,619
—
Brazil
-
0.9%
Wheaton
Precious
Metals
Corp.
(1)
37,759
1,818,523
Yara
International
ASA
15,382
668,511
2,487,034
—
Canada
-
11.5%
Agnico
Eagle
Mines
Ltd.
(1)
2,765
140,961
Alimentation
Couche-Tard,
Inc.
(1)
19,956
1,003,337
Bank
of
Montreal
(1)
1,972
175,649
Bank
of
Nova
Scotia
(The)
(1)
13,052
657,380
BCE,
Inc.
(1)
42,753
1,915,107
Canadian
Imperial
Bank
of
Commerce
(1)
32,804
1,391,045
Canadian
National
Railway
Co.
(1)
8,138
960,242
Canadian
Pacific
Railway
Ltd.
(1)
12,615
971,397
Canadian
Utilities
Ltd.,
Class
A
(1)
38,965
1,085,773
CGI,
Inc.
(1)*
18,980
1,829,186
Constellation
Software,
Inc.
(1)
965
1,814,264
Emera,
Inc.
(1)
14,915
612,712
Fortis,
Inc.
(1)
43,359
1,843,118
Franco-Nevada
Corp.
(1)
17,747
2,588,580
George
Weston
Ltd.
(1)
1,315
174,263
Hydro
One
Ltd.
(1)(a)
107,653
3,065,104
INVESTMENTS
SHARES
VALUE
($)
Canada
-
11.5%
(continued)
Imperial
Oil
Ltd.
(1)
18,089
919,909
Intact
Financial
Corp.
(1)
11,764
1,683,606
Loblaw
Cos.
Ltd.
(1)
37,753
3,440,649
Lumine
Group,
Inc.
(1)(b)
2,895
31,510
Manulife
Financial
Corp.
(1)
6,431
118,009
Metro,
Inc.
(1)
43,531
2,394,447
Rogers
Communications,
Inc.,
Class
B
(1)
9,625
446,104
Royal
Bank
of
Canada
(1)
12,411
1,186,920
Saputo,
Inc.
(1)
3,087
79,876
Sun
Life
Financial,
Inc.
(1)
4,802
224,342
Teck
Resources
Ltd.,
Class
B
(1)
10,519
384,101
Thomson
Reuters
Corp.
(1)
1,104
143,638
Toromont
Industries
Ltd.
(1)
3,497
287,031
Toronto-Dominion
Bank
(The)
(1)
14,183
849,511
West
Fraser
Timber
Co.
Ltd.
(1)
9,436
673,052
33,090,823
—
Chile
-
0.1%
Antofagasta
plc
11,963
234,325
China
-
1.2%
BOC
Hong
Kong
Holdings
Ltd.
346,500
1,078,743
Budweiser
Brewing
Co.
APAC
Ltd.
(a)
548,300
1,668,657
Chow
Tai
Fook
Jewellery
Group
Ltd.
127,200
252,759
SITC
International
Holdings
Co.
Ltd.
40,000
85,966
Wilmar
International
Ltd.
155,300
492,008
3,578,133
—
Denmark
-
3.0%
AP
Moller
-
Maersk
A/S,
Class
B
113
205,401
Carlsberg
A/S,
Class
B
10,858
1,684,803
Coloplast
A/S,
Class
B
7,105
935,496
Genmab
A/S
*
4,591
1,735,422
Novo
Nordisk
A/S,
Class
B
24,533
3,896,365
ROCKWOOL
A/S,
Class
B
629
154,242
8,611,729
—
Finland
-
1.0%
Elisa
OYJ
11,296
681,278
Kone
OYJ,
Class
B
4,637
241,838
Neste
OYJ
6,625
327,301
Nokia
OYJ
79,412
389,824
Orion
OYJ,
Class
B
22,876
1,022,510
UPM-Kymmene
OYJ
10,003
335,981
2,998,732
—
France
-
8.4%
Air
Liquide
SA
8,312
1,391,335
AXA
SA
8,126
247,986
BioMerieux
2,933
309,186
Bouygues
SA
25,369
855,597
Capgemini
SE
1,687
313,505
Carrefour
SA
37,290
753,914
Danone
SA
16,364
1,018,227
Dassault
Aviation
SA
10,864
2,149,228
Dassault
Systemes
SE
20,125
830,177
Engie
SA
76,996
1,218,439
49
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
8.4%
(continued)
Hermes
International
1,373
2,780,677
Ipsen
SA
8,896
979,557
La
Francaise
des
Jeux
SAEM
(a)
2,348
97,859
L'Oreal
SA
9,056
4,046,607
Orange
SA
84,827
1,007,760
Pernod
Ricard
SA
3,684
834,172
Remy
Cointreau
SA
3,386
616,534
Societe
Generale
SA
28,921
651,630
Thales
SA
3,228
477,250
TotalEnergies
SE
42,453
2,503,187
Ubisoft
Entertainment
SA
*
15,193
404,942
Vivendi
SE
38,148
385,735
Worldline
SA
*(a)
7,255
308,327
24,181,831
—
Germany
-
3.9%
Allianz
SE
(Registered)
1,648
380,418
Beiersdorf
AG
27,556
3,584,689
Carl
Zeiss
Meditec
AG
604
84,132
Deutsche
Boerse
AG
1,426
277,657
Evonik
Industries
AG
12,632
265,766
Fresenius
Medical
Care
AG
&
Co.
KGaA
12,412
526,818
Hannover
Rueck
SE
2,193
428,908
MTU
Aero
Engines
AG
454
113,609
Rational
AG
525
352,897
RWE
AG
22,192
954,886
SAP
SE
13,317
1,681,545
Scout24
SE
(a)
5,721
340,279
Siemens
Healthineers
AG
(a)
18,017
1,038,716
Telefonica
Deutschland
Holding
AG
412,272
1,269,076
11,299,396
—
Hong
Kong
-
3.1%
AIA
Group
Ltd.
52,000
545,343
CK
Asset
Holdings
Ltd.
47,500
287,977
CLP
Holdings
Ltd.
318,500
2,301,524
Hang
Seng
Bank
Ltd.
15,900
226,024
HKT
Trust
&
HKT
Ltd.
74,000
98,233
Hong
Kong
&
China
Gas
Co.
Ltd.
681,487
599,990
MTR
Corp.
Ltd.
190,500
919,408
Power
Assets
Holdings
Ltd.
511,500
2,744,106
Sino
Land
Co.
Ltd.
124,000
167,688
Sun
Hung
Kai
Properties
Ltd.
52,000
728,500
Swire
Properties
Ltd.
125,800
323,772
8,942,565
—
Italy
-
0.4%
Assicurazioni
Generali
SpA
13,836
275,677
Coca-Cola
HBC
AG
28,120
769,791
Enel
SpA
30,046
183,249
1,228,717
—
Japan
-
20.4%
Astellas
Pharma,
Inc.
83,500
1,186,311
Bandai
Namco
Holdings,
Inc.
14,700
316,919
Brother
Industries
Ltd.
50,800
765,349
Canon,
Inc.
82,200
1,830,583
Capcom
Co.
Ltd.
53,100
1,900,481
Chugai
Pharmaceutical
Co.
Ltd.
23,400
577,808
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.4%
(continued)
Concordia
Financial
Group
Ltd.
31,400
115,739
Dai
Nippon
Printing
Co.
Ltd.
4,100
114,794
Daito
Trust
Construction
Co.
Ltd.
5,400
538,001
Disco
Corp.
6,300
732,890
FUJIFILM
Holdings
Corp.
20,000
1,015,260
Fujitsu
Ltd.
9,200
1,243,198
Hamamatsu
Photonics
KK
10,300
555,600
Hoshizaki
Corp.
2,800
103,444
Hoya
Corp.
26,200
2,895,423
Ito
En
Ltd.
2,500
81,806
Japan
Post
Bank
Co.
Ltd.
120,000
980,095
Japan
Post
Holdings
Co.
Ltd.
68,600
556,756
Japan
Tobacco,
Inc.
137,300
2,900,263
Kajima
Corp.
20,800
251,003
Kakaku.com,
Inc.
7,400
101,582
Kao
Corp.
4,100
159,594
KDDI
Corp.
122,200
3,768,376
Keyence
Corp.
2,200
1,078,239
Kikkoman
Corp.
12,500
638,169
Kirin
Holdings
Co.
Ltd.
46,400
734,084
Kobayashi
Pharmaceutical
Co.
Ltd.
30,600
1,871,475
Koei
Tecmo
Holdings
Co.
Ltd.
31,400
567,506
Koito
Manufacturing
Co.
Ltd.
26,800
508,028
Komatsu
Ltd.
13,500
335,139
Konami
Group
Corp.
1,800
82,616
Kyocera
Corp.
11,800
615,558
Kyowa
Kirin
Co.
Ltd.
17,700
386,418
McDonald's
Holdings
Co.
Japan
Ltd.
(1)
4,400
182,926
MEIJI
Holdings
Co.
Ltd.
24,400
580,312
Mitsubishi
Electric
Corp.
10,200
121,891
Mitsui
&
Co.
Ltd.
7,900
246,242
Murata
Manufacturing
Co.
Ltd.
1,500
91,418
Nexon
Co.
Ltd.
57,100
1,363,478
Nintendo
Co.
Ltd.
41,400
1,608,042
Nippon
Telegraph
&
Telephone
Corp.
71,400
2,133,628
Nissan
Chemical
Corp.
2,400
109,001
Nisshin
Seifun
Group,
Inc.
41,800
489,181
Nissin
Foods
Holdings
Co.
Ltd.
9,900
905,254
Nitto
Denko
Corp.
7,000
453,049
Nomura
Research
Institute
Ltd.
7,461
174,496
Obayashi
Corp.
10,700
81,881
Obic
Co.
Ltd.
1,700
269,269
Oji
Holdings
Corp.
156,200
618,452
Ono
Pharmaceutical
Co.
Ltd.
9,000
187,544
Oracle
Corp.
Japan
11,300
816,096
Osaka
Gas
Co.
Ltd.
78,500
1,289,583
Otsuka
Corp.
24,700
877,215
Otsuka
Holdings
Co.
Ltd.
19,600
622,293
Recruit
Holdings
Co.
Ltd.
2,500
68,773
Renesas
Electronics
Corp.
*
26,000
376,501
Rohm
Co.
Ltd.
1,200
100,016
SCSK
Corp.
32,600
477,326
Secom
Co.
Ltd.
17,700
1,090,810
Seiko
Epson
Corp.
29,100
415,782
Sekisui
Chemical
Co.
Ltd.
20,900
296,831
Seven
&
i
Holdings
Co.
Ltd.
17,300
781,513
Shin-Etsu
Chemical
Co.
Ltd.
3,500
113,614
Shizuoka
Financial
Group,
Inc.
98,100
704,448
50
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.4%
(continued)
SoftBank
Corp.
55,700
642,990
Square
Enix
Holdings
Co.
Ltd.
5,500
264,306
Suntory
Beverage
&
Food
Ltd.
66,100
2,462,123
Sysmex
Corp.
10,200
669,442
TIS,
Inc.
28,600
756,345
Tokyo
Gas
Co.
Ltd.
52,800
992,282
TOPPAN,
Inc.
14,900
300,270
Tosoh
Corp.
62,300
846,625
Trend
Micro,
Inc.
14,900
731,001
Unicharm
Corp.
14,500
596,033
USS
Co.
Ltd.
24,000
416,390
Yakult
Honsha
Co.
Ltd.
36,000
2,615,774
ZOZO,
Inc.
3,300
75,477
58,524,430
—
Luxembourg
-
0.1%
ArcelorMittal
SA
3,269
99,039
Eurofins
Scientific
SE
2,841
190,232
289,271
—
Netherlands
-
3.0%
Adyen
NV
(a)
342
544,953
Argenx
SE
2,612
969,981
Heineken
NV
7,100
762,901
JDE
Peet's
NV
(1)
11,060
321,694
Koninklijke
Ahold
Delhaize
NV
85,044
2,905,539
Koninklijke
KPN
NV
77,116
272,495
NN
Group
NV
5,295
192,261
OCI
NV
4,124
139,803
Randstad
NV
9,566
567,883
Shell
plc
64,890
1,849,274
Wolters
Kluwer
NV
1,717
216,748
8,743,532
—
Norway
-
2.1%
Equinor
ASA
76,151
2,164,853
Gjensidige
Forsikring
ASA
57,466
939,700
Mowi
ASA
16,983
314,117
Norsk
Hydro
ASA
79,628
594,297
Orkla
ASA
242,946
1,723,098
Salmar
ASA
2,355
102,583
Telenor
ASA
9,420
110,451
5,949,099
—
Portugal
-
0.3%
Jeronimo
Martins
SGPS
SA
31,651
742,939
Singapore
-
2.9%
DBS
Group
Holdings
Ltd.
56,200
1,397,230
Oversea-Chinese
Banking
Corp.
Ltd.
325,400
3,033,310
Singapore
Telecommunications
Ltd.
942,400
1,746,146
United
Overseas
Bank
Ltd.
70,900
1,590,219
Venture
Corp.
Ltd.
47,200
628,206
8,395,111
—
South
Africa
-
0.3%
Anglo
American
plc
24,404
811,714
INVESTMENTS
SHARES
VALUE
($)
Spain
-
1.5%
Banco
Bilbao
Vizcaya
Argentaria
SA
166,504
1,190,397
Endesa
SA
8,628
187,399
Iberdrola
SA
72,838
907,402
Industria
de
Diseno
Textil
SA
37,696
1,266,405
Red
Electrica
Corp.
SA
36,434
641,104
4,192,707
—
Sweden
-
2.1%
Boliden
AB
13,304
522,637
Essity
AB,
Class
B
30,372
867,543
Evolution
AB
(a)
3,488
467,317
Industrivarden
AB,
Class
A
9,177
248,032
L
E
Lundbergforetagen
AB,
Class
B
10,068
455,954
Svenska
Cellulosa
AB
SCA,
Class
B
9,174
120,827
Swedish
Orphan
Biovitrum
AB
*
74,350
1,732,397
Tele2
AB,
Class
B
139,048
1,383,955
Volvo
AB,
Class
B
17,019
350,705
6,149,367
—
Switzerland
-
4.9%
Alcon,
Inc.
4,045
287,145
Baloise
Holding
AG
(Registered)
7,909
1,231,561
Barry
Callebaut
AG
(Registered)
263
557,236
Chocoladefabriken
Lindt
&
Spruengli
AG
93
1,098,390
EMS-Chemie
Holding
AG
(Registered)
596
492,671
Geberit
AG
(Registered)
569
317,756
Kuehne
+
Nagel
International
AG
(Registered)
4,123
1,227,975
Lonza
Group
AG
(Registered)
644
387,688
Novartis
AG
(Registered)
29,656
2,722,971
Schindler
Holding
AG
1,336
296,028
Sonova
Holding
AG
(Registered)
3,148
928,625
Swisscom
AG
(Registered)
5,381
3,434,003
Zurich
Insurance
Group
AG
2,611
1,251,188
14,233,237
—
United
Kingdom
-
8.9%
Admiral
Group
plc
10,301
258,668
Associated
British
Foods
plc
55,315
1,327,444
AstraZeneca
plc
12,430
1,722,231
Auto
Trader
Group
plc
(a)
271,631
2,071,919
Aviva
plc
79,813
398,677
BAE
Systems
plc
8,069
97,604
BP
plc
398,866
2,521,043
British
American
Tobacco
plc
91,104
3,193,597
CK
Hutchison
Holdings
Ltd.
47,000
290,772
Diageo
plc
61,975
2,765,924
Imperial
Brands
plc
74,268
1,707,843
Intertek
Group
plc
1,716
85,945
J
Sainsbury
plc
214,882
739,449
Johnson
Matthey
plc
5,364
131,506
Kingfisher
plc
52,858
170,864
National
Grid
plc
71,175
962,785
Next
plc
1,011
82,174
Persimmon
plc
19,795
307,371
Reckitt
Benckiser
Group
plc
20,976
1,595,802
51
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
(Continued)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
8.9%
(continued)
Sage
Group
plc
(The)
125,322
1,202,645
Schroders
plc
20,076
114,483
Smith
&
Nephew
plc
27,031
375,746
Tesco
plc
356,617
1,169,145
Unilever
plc
26,769
1,387,144
Vodafone
Group
plc
980,970
1,082,106
25,762,887
—
United
States
-
4.1%
Computershare
Ltd.
44,637
648,361
CSL
Ltd.
11,635
2,253,355
Ferguson
plc
3,146
415,938
GSK
plc
20,352
359,606
Holcim
AG
1,641
105,830
Nestle
SA
(Registered)
29,022
3,538,670
QIAGEN
NV
*
22,507
1,025,115
Roche
Holding
AG
6,779
1,937,049
Sanofi
9,982
1,082,835
Swiss
Re
AG
4,603
472,882
11,839,641
—
TOTAL
COMMON
STOCKS
(Cost
$232,597,577)
267,878,143
PREFERRED
STOCKS
-
1.3%
Germany
-
1.3%
Henkel
AG
&
Co.
KGaA
(Preference)
(Cost
$3,488,076)
46,595
3,645,313
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.7%
INVESTMENT
COMPANIES
-
4.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
4.50%
(1)(c)
121
121
Limited
Purpose
Cash
Investment
Fund,
4.73%
(1)(c)
13,590,544
13,585,108
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$13,582,962)
13,585,229
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.9%
(Cost
$249,668,615)
285,108,685
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.1%
(d)
3,278,378
NET
ASSETS
-
100.0%
288,387,063
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
34,348,961
11.9
%
Consumer
Discretionary
8,386,628
2.9
Consumer
Staples
72,375,437
25.1
Energy
10,870,547
3.8
Financials
28,162,887
9.8
Health
Care
35,901,435
12.4
Industrials
15,865,435
5.5
Information
Technology
22,397,292
7.8
Materials
21,032,377
7.3
Real
Estate
2,183,363
0.8
Utilities
19,999,094
6.9
Investment
Companies
13,585,229
4.7
Total
Investments
In
Securities
At
Value
285,108,685
98.9
Other
Assets
in
Excess
of
Liabilities
(d
)
3,278,378
1.1
Net
Assets
$
288,387,063
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$9,603,131,
which
represents
3.33%
of
net
assets
of
the
Fund.
(b)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$31,510,
which
represents
0.01%
of
net
assets
of
the
Fund.
(c)
Represents
7-day
effective
yield
as
of
March
31,
2023.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
4).
52
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
131
6/2023
USD
$
13,732,075
$
313,469
$
313,469
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
217,492
$
217,492
53
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
86.2%
Australia
-
2.8%
ANZ
Group
Holdings
Ltd.
(2)
7,337
113,064
ASX
Ltd.
(2)
891
38,911
Aurizon
Holdings
Ltd.
(2)
79,850
179,851
BHP
Group
Ltd.
(2)
77,131
2,438,414
BlueScope
Steel
Ltd.
(2)
187,729
2,540,981
Dexus,
REIT
(2)
15,954
80,661
Glencore
plc
(2)
19,842
114,175
Goodman
Group,
REIT
(2)
25,367
321,903
GPT
Group
(The),
REIT
(2)
42,925
122,669
Lendlease
Corp.
Ltd.
(2)
2,927
14,245
Mirvac
Group,
REIT
(2)
95,677
134,007
Pilbara
Minerals
Ltd.
(2)
97,757
260,073
Scentre
Group,
REIT
(2)
90,560
167,634
Sonic
Healthcare
Ltd.
(2)
15,491
363,155
South32
Ltd.
(2)
516,288
1,513,101
Stockland,
REIT
(2)
49,658
132,974
Vicinity
Ltd.,
REIT
(2)
97,628
127,683
8,663,501
—
Belgium
-
0.2%
Ageas
SA/NV
(2)
12,358
534,586
Solvay
SA
(2)
1,042
119,170
653,756
—
Canada
-
3.2%
Air
Canada
21,354
302,574
ARC
Resources
Ltd.
100,049
1,134,851
Bank
of
Montreal
2,870
255,635
Bank
of
Nova
Scotia
(The)
14,390
724,770
Empire
Co.
Ltd.,
Class
A
9,385
251,586
Fairfax
Financial
Holdings
Ltd.
440
292,627
Great-West
Lifeco,
Inc.
1,345
35,648
Imperial
Oil
Ltd.
17,988
914,773
Manulife
Financial
Corp.
48,329
886,836
Nutrien
Ltd.
17,223
1,271,940
Onex
Corp.
5,414
253,094
Parkland
Corp.
4,158
99,681
Power
Corp.
of
Canada
7,139
182,450
RioCan,
REIT
11,451
172,761
Ritchie
Bros
Auctioneers,
Inc.
9,970
560,946
Suncor
Energy,
Inc.
29,831
926,163
Tourmaline
Oil
Corp.
9,319
388,343
West
Fraser
Timber
Co.
Ltd.
16,973
1,210,653
9,865,331
—
China
-
0.5%
BOC
Hong
Kong
Holdings
Ltd.
(2)
68,500
213,258
NXP
Semiconductors
NV
3,094
576,954
SITC
International
Holdings
Co.
Ltd.
(2)
346,000
743,609
1,533,821
—
Denmark
-
0.8%
AP
Moller
-
Maersk
A/S,
Class
B
(2)
1,262
2,293,949
Danske
Bank
A/S
(2)*
5,712
114,919
2,408,868
—
INVESTMENTS
SHARES
VALUE
($)
Finland
-
0.1%
Stora
Enso
OYJ,
Class
R
(2)
28,252
367,555
France
-
1.9%
BNP
Paribas
SA
(2)
9,012
538,175
Cie
de
Saint-Gobain
(2)
38,827
2,207,067
Dassault
Aviation
SA
(2)
3,054
604,174
Renault
SA
(2)*
6,460
263,285
Societe
Generale
SA
(2)
5,908
133,115
TotalEnergies
SE
(2)
34,123
2,012,019
Unibail-Rodamco-Westfield,
REIT
(2)*
3,473
186,868
5,944,703
—
Germany
-
2.4%
BASF
SE
(2)
11,595
608,722
Bayer
AG
(Registered)
(2)
17,507
1,118,375
Bayerische
Motoren
Werke
AG
(2)
13,553
1,485,392
Brenntag
SE
(2)
3,565
268,288
Commerzbank
AG
(2)*
19,998
210,544
Deutsche
Bank
AG
(Registered)
(2)
246,969
2,511,478
Deutsche
Post
AG
(Registered)
(2)
2,082
97,512
E.ON
SE
(2)
30,582
381,502
Fresenius
SE
&
Co.
KGaA
(2)
1,365
36,859
HeidelbergCement
AG
(2)
2,742
200,213
HelloFresh
SE
(2)*
11,498
274,196
Infineon
Technologies
AG
(2)
2,145
88,085
Mercedes-Benz
Group
AG
(2)
3,225
248,011
7,529,177
—
Hong
Kong
-
0.3%
CK
Infrastructure
Holdings
Ltd.
(2)
2,749
14,957
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
5,269
233,547
Link,
REIT
(2)
18,329
117,860
New
World
Development
Co.
Ltd.
(2)
95,000
254,657
WH
Group
Ltd.
(2)(a)
432,000
257,535
878,556
—
Italy
-
0.6%
Eni
SpA
(2)
12,904
179,964
UniCredit
SpA
(2)
88,566
1,669,280
1,849,244
—
Japan
-
6.1%
AGC,
Inc.
(2)
8,100
301,976
Dai-ichi
Life
Holdings,
Inc.
(2)
52,800
970,648
Daito
Trust
Construction
Co.
Ltd.
(2)
486
48,420
Daiwa
House
Industry
Co.
Ltd.
(2)
2,451
57,749
ENEOS
Holdings,
Inc.
(2)
113,700
398,918
Hulic
Co.
Ltd.
(2)
1,500
12,338
Idemitsu
Kosan
Co.
Ltd.
(2)
32,700
715,894
Iida
Group
Holdings
Co.
Ltd.
(2)
25,800
421,228
Inpex
Corp.
(2)
108,100
1,143,971
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
(2)
214
156,274
Japan
Post
Holdings
Co.
Ltd.
(2)
75,900
616,002
Japan
Post
Insurance
Co.
Ltd.
(2)
85,300
1,329,473
Japan
Real
Estate
Investment
Corp.,
REIT
(2)
30
119,557
54
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
6.1%
(continued)
JFE
Holdings,
Inc.
(2)
147,000
1,865,788
Kajima
Corp.
(2)
11,400
137,569
Mazda
Motor
Corp.
(2)
162,500
1,498,899
Mitsubishi
Corp.
(2)
20,900
751,072
Mitsubishi
Estate
Co.
Ltd.
(2)
5,764
68,561
Mitsui
Chemicals,
Inc.
(2)
4,900
126,521
Mitsui
Fudosan
Co.
Ltd.
(2)
4,598
86,371
Mizuho
Financial
Group,
Inc.
(2)
140,100
1,984,877
MS&AD
Insurance
Group
Holdings,
Inc.
(2)
10,700
331,602
Nippon
Building
Fund,
Inc.,
REIT
(2)
21
87,413
Nippon
Steel
Corp.
(2)
106,500
2,511,428
Nippon
Yusen
KK
(2)
24,100
562,936
Nomura
Real
Estate
Holdings,
Inc.
(2)
1,000
22,144
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
(2)
117
131,109
Obayashi
Corp.
(2)
27,700
211,973
Osaka
Gas
Co.
Ltd.
(2)
38,900
639,042
Subaru
Corp.
(2)
8,300
132,498
Sumitomo
Metal
Mining
Co.
Ltd.
(2)
6,500
248,715
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
2,300
92,040
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(2)
12,100
415,707
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)
2,624
59,254
Tosoh
Corp.
(2)
51,900
705,295
18,963,262
—
Luxembourg
-
0.7%
ArcelorMittal
SA
(2)
69,742
2,112,924
Netherlands
-
1.2%
ING
Groep
NV
(2)
19,668
233,564
NN
Group
NV
(2)
50,349
1,828,169
OCI
NV
(2)
19,960
676,641
Shell
plc
(2)
38,971
1,110,619
3,848,993
—
Russia
-
0.0%
Evraz
plc
(3)*(b)
77,212
–
Singapore
-
0.1%
Singapore
Exchange
Ltd.
(2)
4,067
28,800
STMicroelectronics
NV
(2)
4,221
224,911
253,711
—
South
Africa
-
0.0%
(c)
Anglo
American
plc
(2)
3,143
104,541
Spain
-
1.2%
Banco
Santander
SA
(2)
97,211
362,255
Repsol
SA
(2)
214,733
3,302,137
3,664,392
—
Sweden
-
0.4%
Assa
Abloy
AB,
Class
B
(2)
11,772
281,969
Investor
AB,
Class
B
(2)
8,816
175,620
Skanska
AB,
Class
B
(2)
26,682
408,679
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
0.4%
(continued)
Svenska
Handelsbanken
AB,
Class
A
(2)
35,694
309,141
Swedbank
AB,
Class
A
(2)
5,411
88,982
1,264,391
—
Switzerland
-
1.4%
Baloise
Holding
AG
(Registered)
(2)
2,765
430,556
Clariant
AG
(Registered)
(2)
18,719
310,536
Novartis
AG
(Registered)
(2)
29,192
2,680,367
Swatch
Group
AG
(The)
(2)
314
108,139
Swiss
Life
Holding
AG
(Registered)
(2)
500
308,553
Temenos
AG
(Registered)
(2)
7,332
510,205
4,348,356
—
United
Kingdom
-
3.1%
3i
Group
plc
(2)
9,545
198,951
Aviva
plc
(2)
35,930
179,475
Barclays
plc
(2)
990,051
1,781,998
Barratt
Developments
plc
(2)
75,435
434,112
BP
plc
(2)
283,861
1,794,152
British
American
Tobacco
plc
(2)
9,359
328,074
CK
Hutchison
Holdings
Ltd.
(2)
235,500
1,456,956
DCC
plc
(2)
1,637
95,423
HSBC
Holdings
plc
(2)
91,535
622,118
Imperial
Brands
plc
(2)
17,146
394,284
Just
Eat
Takeaway.com
NV
(2)*(a)
19,825
378,320
Legal
&
General
Group
plc
(2)
238,187
704,464
Liberty
Global
plc,
Class
C
*
14,864
302,928
Pearson
plc
(2)
28,508
298,334
Tesco
plc
(2)
32,827
107,621
Whitbread
plc
(2)
11,293
417,178
9,494,388
—
United
States
-
59.2%
3M
Co.
30,679
3,224,670
Activision
Blizzard,
Inc.
3,912
334,828
Adobe,
Inc.
*
7,463
2,876,016
Advance
Auto
Parts,
Inc.
19,619
2,385,867
Advanced
Micro
Devices,
Inc.
*
1,942
190,335
Akamai
Technologies,
Inc.
*
8,542
668,839
Ally
Financial,
Inc.
24,635
627,946
Alphabet,
Inc.,
Class
A
*
55,105
5,716,041
Alphabet,
Inc.,
Class
C
*
29,320
3,049,280
Altria
Group,
Inc.
80,099
3,574,017
Amazon.com,
Inc.
39,921
4,123,439
American
Express
Co.
4,364
719,842
American
International
Group,
Inc.
46,147
2,323,963
American
Tower
Corp.,
REIT
4,396
898,279
APA
Corp.
15,047
542,595
Apple,
Inc.
81,112
13,375,368
Applied
Materials,
Inc.
3,273
402,023
Archer-Daniels-Midland
Co.
3,270
260,488
Arrow
Electronics,
Inc.
*
8,314
1,038,169
Assurant,
Inc.
5,550
666,389
AutoZone,
Inc.
*
72
176,987
AvalonBay
Communities,
Inc.,
REIT
811
136,297
Bank
of
New
York
Mellon
Corp.
(The)
6,687
303,857
Berkshire
Hathaway,
Inc.,
Class
B
*
6,896
2,129,278
55
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
59.2%
(continued)
Best
Buy
Co.,
Inc.
8,890
695,820
Biogen,
Inc.
*
2,105
585,253
Booking
Holdings,
Inc.
*
971
2,575,490
Bristol-Myers
Squibb
Co.
16,364
1,134,189
Broadcom,
Inc.
1,116
715,959
Capital
One
Financial
Corp.
7,426
714,084
Cardinal
Health,
Inc.
5,867
442,959
Carlisle
Cos.,
Inc.
493
111,453
Carrier
Global
Corp.
10,176
465,552
Centene
Corp.
*
5,270
333,117
CF
Industries
Holdings,
Inc.
45,901
3,327,363
Chevron
Corp.
7,290
1,189,436
Cigna
Group
(The)
9,793
2,502,405
Cisco
Systems,
Inc.
53,279
2,785,160
Citigroup,
Inc.
64,570
3,027,687
CME
Group,
Inc.
6,352
1,216,535
Coca-Cola
Co.
(The)
24,520
1,520,976
Cognizant
Technology
Solutions
Corp.,
Class
A
13,818
841,931
Colgate-Palmolive
Co.
4,222
317,283
Comcast
Corp.,
Class
A
12,217
463,146
Coterra
Energy,
Inc.
45,311
1,111,932
Crown
Castle,
Inc.,
REIT
1,970
263,665
CVS
Health
Corp.
45,123
3,353,090
DaVita,
Inc.
*
3,462
280,803
Dell
Technologies,
Inc.,
Class
C
20,916
841,032
Delta
Air
Lines,
Inc.
*
81,005
2,828,695
Digital
Realty
Trust,
Inc.,
REIT
849
83,465
Discover
Financial
Services
7,712
762,254
DocuSign,
Inc.
*
5,365
312,780
Domino's
Pizza,
Inc.
809
266,865
Dropbox,
Inc.,
Class
A
*
32,728
707,579
Eastman
Chemical
Co.
8,049
678,853
eBay,
Inc.
4,770
211,645
EOG
Resources,
Inc.
6,508
746,012
Equinix,
Inc.,
REIT
222
160,071
Equity
Residential,
REIT
2,048
122,880
Everest
Re
Group
Ltd.
1,159
414,945
Evergy,
Inc.
1,379
84,284
Expedia
Group,
Inc.
*
16,099
1,562,086
Exxon
Mobil
Corp.
25,795
2,828,680
FedEx
Corp.
6,552
1,497,066
FleetCor
Technologies,
Inc.
*
1,988
419,170
Ford
Motor
Co.
48,760
614,376
General
Dynamics
Corp.
5,407
1,233,931
General
Motors
Co.
93,629
3,434,312
Gilead
Sciences,
Inc.
9,056
751,376
Goldman
Sachs
Group,
Inc.
(The)
910
297,670
Hartford
Financial
Services
Group,
Inc.
(The)
8,410
586,093
Hasbro,
Inc.
38,260
2,054,179
Hewlett
Packard
Enterprise
Co.
93,827
1,494,664
Horizon
Therapeutics
plc
*
799
87,203
HP,
Inc.
11,611
340,783
Humana,
Inc.
1,359
659,740
Huntington
Ingalls
Industries,
Inc.
6,326
1,309,609
Incyte
Corp.
*
2,360
170,557
Intel
Corp.
88,565
2,893,419
International
Paper
Co.
4,270
153,976
Johnson
&
Johnson
4,024
623,720
INVESTMENTS
SHARES
VALUE
($)
United
States
-
59.2%
(continued)
KLA
Corp.
243
96,998
Kroger
Co.
(The)
37,919
1,872,061
Laboratory
Corp.
of
America
Holdings
1,430
328,071
Lam
Research
Corp.
1,016
538,602
Leidos
Holdings,
Inc.
4,162
383,154
Lennar
Corp.,
Class
A
7,967
837,411
Lockheed
Martin
Corp.
2,211
1,045,206
LyondellBasell
Industries
NV,
Class
A
11,244
1,055,699
Marathon
Oil
Corp.
47,174
1,130,289
Marathon
Petroleum
Corp.
11,280
1,520,882
Marriott
International,
Inc.,
Class
A
1,738
288,578
Marvell
Technology,
Inc.
2,585
111,931
Mastercard,
Inc.,
Class
A
486
176,617
McDonald's
Corp.
390
109,048
Meta
Platforms,
Inc.,
Class
A
*
26,437
5,603,057
Microchip
Technology,
Inc.
11,313
947,803
Microsoft
Corp.
37,058
10,683,820
Mohawk
Industries,
Inc.
*
2,646
265,182
Molson
Coors
Beverage
Co.,
Class
B
3,595
185,790
Mosaic
Co.
(The)
37,345
1,713,389
NetApp,
Inc.
26,022
1,661,505
Netflix,
Inc.
*
262
90,516
NiSource,
Inc.
7,460
208,582
NRG
Energy,
Inc.
80,103
2,746,732
NVR,
Inc.
*
200
1,114,438
Occidental
Petroleum
Corp.
1,314
82,033
Ovintiv,
Inc.
9,560
344,925
Owens
Corning
28,652
2,744,862
PACCAR,
Inc.
9,352
684,566
PayPal
Holdings,
Inc.
3,858
292,977
Pfizer,
Inc.
92,320
3,766,656
Phillips
66
6,202
628,759
Pioneer
Natural
Resources
Co.
1,196
244,271
Prologis,
Inc.,
REIT
2,980
371,815
Public
Storage,
REIT
2,484
750,516
PulteGroup,
Inc.
44,942
2,619,220
Qorvo,
Inc.
*
2,796
283,990
QUALCOMM,
Inc.
14,452
1,843,786
Regeneron
Pharmaceuticals,
Inc.
*
113
92,849
Salesforce,
Inc.
*
7,568
1,511,935
Simon
Property
Group,
Inc.,
REIT
1,723
192,924
Skyworks
Solutions,
Inc.
3,689
435,228
Southwest
Airlines
Co.
20,614
670,780
SS&C
Technologies
Holdings,
Inc.
1,971
111,302
Stellantis
NV
(2)
142,126
2,584,743
Stellantis
NV
(2)
10,244
186,161
Swiss
Re
AG
(2)
7,662
787,144
Synchrony
Financial
65,121
1,893,719
Tesla,
Inc.
17,489
3,628,268
Travelers
Cos.,
Inc.
(The)
575
98,561
Tyson
Foods,
Inc.,
Class
A
37,405
2,218,865
Ulta
Beauty,
Inc.
*
906
494,377
Valero
Energy
Corp.
15,428
2,153,749
Veeva
Systems,
Inc.,
Class
A
*
8,114
1,491,272
VeriSign,
Inc.
*
439
92,774
Verizon
Communications,
Inc.
43,728
1,700,582
Viatris,
Inc.
128,931
1,240,316
56
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
59.2%
(continued)
VMware,
Inc.,
Class
A
*
1,113
138,958
Walmart,
Inc.
1,652
243,587
Welltower,
Inc.,
REIT
3,001
215,142
Whirlpool
Corp.
1,666
219,945
Zoom
Video
Communications,
Inc.,
Class
A
*
2,693
198,851
182,929,840
—
TOTAL
COMMON
STOCKS
(Cost
$230,522,417)
266,679,310
PREFERRED
STOCKS
-
0.2%
Germany
-
0.2%
Porsche
Automobil
Holding
SE
(Preference)
(2)
865
49,657
Volkswagen
AG
(Preference)
(2)
3,975
542,478
TOTAL
PREFERRED
STOCKS
(Cost
$620,572)
592,135
SHORT-TERM
INVESTMENTS
-
10.7%
INVESTMENT
COMPANIES
-
10.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
4.50%
(d)(e)
6,528,870
6,528,870
Limited
Purpose
Cash
Investment
Fund,
4.73%
(d)
26,594,306
26,583,669
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$33,108,261)
33,112,539
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
97.1%
(Cost
$264,251,250)
300,383,984
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
2.9%
(f)
9,061,196
NET
ASSETS
-
100.0%
309,445,180
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
17,260,380
5.6
%
Consumer
Discretionary
36,725,968
11.9
Consumer
Staples
11,806,364
3.8
Energy
26,645,046
8.6
Financials
39,393,664
12.7
Health
Care
22,042,332
7.1
Industrials
27,777,368
9.0
Information
Technology
49,430,393
16.0
Materials
26,236,668
8.5
Real
Estate
5,878,163
1.9
Utilities
4,075,099
1.3
Investment
Companies
33,112,539
10.7
Total
Investments
In
Securities
At
Value
300,383,984
97.1
Other
Assets
in
Excess
of
Liabilities
(f)
9,061,196
2.9
Net
Assets
$
309,445,180
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
March
31,
2023
amounted
to
$635,855,
which
represents
0.21%
of
net
assets
of
the
Fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
March
31,
2023
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
March
31,
2023
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
March
31,
2023.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
4).
(3)
Level
3
security
(See
Note
4).
57
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
March
31,
2023
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.10%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/21/2023
SGD
11,032
$
140
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
(-0.96%)
Monthly
JPMC
06/21/2023
EUR
(1,769,453)
38,916
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
(-3.36%)
Monthly
JPMC
06/21/2023
SEK
(10,777,398)
14,303
53,359
Amsterdam
Exchange
Index
April
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
04/21/2023
EUR
(9,986,460)
(517,125)
Swiss
Market
Index
June
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
06/16/2023
CHF
(29,139,400)
(1,605,883)
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
06/21/2023
ILS
2,145,792
(17,572)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.80%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/21/2023
EUR
5,073,824
(182,351)
58
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(-0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/21/2023
JPY
545,932,560
$
(54,199)
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
(-1.51%)
Monthly
JPMC
06/21/2023
CHF
(1,434,875)
(33,072)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
06/21/2023
GBP
221,741
(9,944)
(2,420,146)
$
(2,366,787)
Futures
contracts
outstanding
as
of
March
31,
2023:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
CAC
40
10
Euro
Index
111
4/2023
EUR
$
8,828,633
$
152,595
Hang
Seng
Index
29
4/2023
HKD
3,783,163
73,390
MSCI
Singapore
Index
57
4/2023
SGD
1,311,711
14,970
FTSE
100
Index
185
6/2023
GBP
17,433,420
163,881
FTSE/MIB
Index
127
6/2023
EUR
18,356,854
475,732
S&P
500
E-Mini
Index
109
6/2023
USD
22,550,738
913,974
TOPIX
Index
206
6/2023
JPY
31,084,240
(185,893)
1,608,649
Short
Contracts
IBEX
35
Index
(22)
4/2023
EUR
(2,193,406)
(64,071)
OMXS30
Index
(57)
4/2023
SEK
(1,217,408)
(55,207)
DAX
Index
(30)
6/2023
EUR
(12,848,885)
(407,385)
S&P/TSX
60
Index
(36)
6/2023
CAD
(6,441,909)
(99,636)
SPI
200
Index
(29)
6/2023
AUD
(3,484,947)
(61,595)
(687,894)
$
920,755
59
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
Forward
foreign
currency
exchange
contracts
outstanding
as
of
March
31,
2023:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
2,010,500
USD
1,341,127
CITG
6/21/2023
$
6,711
AUD
2,010,500
USD
1,341,120
JPMC
6/21/2023
6,718
CAD
4,454,200
USD
3,273,248
CITG
6/21/2023
26,788
CAD
4,454,198
USD
3,273,230
JPMC
6/21/2023
26,803
CHF
1,900,500
USD
2,080,601
CITG
6/21/2023
14,477
CHF
1,900,500
USD
2,080,591
JPMC
6/21/2023
14,488
DKK
4,271,000
USD
621,957
CITG
6/21/2023
3,103
DKK
4,271,000
USD
621,954
JPMC
6/21/2023
3,105
EUR
41,262,698
USD
44,253,904
CITG
6/21/2023
697,026
EUR
41,262,694
USD
44,253,678
JPMC
6/21/2023
697,247
GBP
17,558,002
USD
21,280,596
CITG
6/21/2023
412,833
GBP
17,557,998
USD
21,280,485
JPMC
6/21/2023
412,942
HKD
160,500
USD
20,519
CITG
6/21/2023
2
HKD
160,500
USD
20,519
JPMC
6/21/2023
2
ILS
888,750
USD
243,659
CITG
6/21/2023
4,270
ILS
888,750
USD
243,658
JPMC
6/21/2023
4,271
JPY
1,520,000,000
USD
11,399,219
CITG
6/21/2023
183,261
JPY
1,520,000,000
USD
11,399,162
JPMC
6/21/2023
183,319
NZD
2,059,000
USD
1,277,137
CITG
6/21/2023
10,320
NZD
2,059,000
USD
1,277,130
JPMC
6/21/2023
10,326
SEK
138,500,001
USD
13,218,842
CITG
6/21/2023
180,792
SEK
138,499,999
USD
13,218,776
JPMC
6/21/2023
180,857
SGD
954,001
USD
712,142
CITG
6/21/2023
6,564
SGD
953,999
USD
712,137
JPMC
6/21/2023
6,568
USD
3,194,195
AUD
4,732,000
CITG
6/21/2023
21,867
USD
3,194,211
AUD
4,732,000
JPMC
6/21/2023
21,882
USD
557,922
CHF
505,500
CITG
6/21/2023
667
USD
557,924
CHF
505,500
JPMC
6/21/2023
670
USD
26,398
DKK
179,500
CITG
6/21/2023
128
USD
26,398
DKK
179,500
JPMC
6/21/2023
128
USD
552,565
HKD
4,318,500
CITG
6/21/2023
408
USD
552,568
HKD
4,318,500
JPMC
6/21/2023
411
USD
11,373
ILS
40,500
CITG
6/21/2023
76
USD
11,373
ILS
40,500
JPMC
6/21/2023
76
USD
2,058,545
JPY
270,000,000
CITG
6/21/2023
1,131
USD
2,058,555
JPY
270,000,000
JPMC
6/21/2023
1,141
USD
2,740,798
NOK
28,500,000
CITG
6/21/2023
8,881
USD
2,740,811
NOK
28,500,000
JPMC
6/21/2023
8,894
USD
3,920,988
SEK
40,428,250
CITG
6/21/2023
9,625
USD
3,921,007
SEK
40,428,250
JPMC
6/21/2023
9,646
USD
3,396
SGD
4,500
CITG
6/21/2023
6
USD
3,396
SGD
4,500
JPMC
6/21/2023
6
Total
unrealized
appreciation
3,178,436
AUD
34,859,035
USD
23,915,507
CITG
6/21/2023
(546,038)
AUD
34,859,028
USD
23,915,383
JPMC
6/21/2023
(545,916)
CHF
4,569,000
USD
5,047,555
CITG
6/21/2023
(10,768)
CHF
4,569,000
USD
5,047,530
JPMC
6/21/2023
(10,742)
HKD
951,000
USD
121,675
CITG
6/21/2023
(80)
HKD
951,000
USD
121,674
JPMC
6/21/2023
(80)
ILS
310,249
USD
87,489
CITG
6/21/2023
(941)
ILS
310,250
USD
87,489
JPMC
6/21/2023
(941)
JPY
1,085,000,003
USD
8,325,464
CITG
6/21/2023
(57,708)
JPY
1,084,999,997
USD
8,325,422
JPMC
6/21/2023
(57,666)
NOK
157,635,002
USD
15,292,276
CITG
6/21/2023
(181,899)
NOK
157,634,999
USD
15,292,199
JPMC
6/21/2023
(181,824)
60
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
March
31,
2023
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
NZD
1,195,000
USD
748,347
CITG
6/21/2023
$
(1,134)
NZD
1,195,000
USD
748,343
JPMC
6/21/2023
(1,130)
SEK
48,000,000
USD
4,659,659
CITG
6/21/2023
(15,743)
SEK
48,000,000
USD
4,659,636
JPMC
6/21/2023
(15,720)
SGD
21,500
USD
16,226
CITG
6/21/2023
(28)
SGD
21,500
USD
16,226
JPMC
6/21/2023
(28)
USD
2,404,747
AUD
3,624,500
CITG
6/21/2023
(25,116)
USD
2,404,759
AUD
3,624,500
JPMC
6/21/2023
(25,103)
USD
14,459,425
CAD
19,650,501
CITG
6/21/2023
(99,270)
USD
14,459,496
CAD
19,650,499
JPMC
6/21/2023
(99,198)
USD
30,927,961
CHF
28,476,502
CITG
6/21/2023
(464,048)
USD
30,928,111
CHF
28,476,498
JPMC
6/21/2023
(463,894)
USD
386,639
DKK
2,687,000
CITG
6/21/2023
(6,603)
USD
386,641
DKK
2,687,000
JPMC
6/21/2023
(6,601)
USD
15,687,327
EUR
14,636,500
CITG
6/21/2023
(257,445)
USD
15,687,406
EUR
14,636,500
JPMC
6/21/2023
(257,366)
USD
16,908,354
GBP
13,969,504
CITG
6/21/2023
(351,382)
USD
16,908,432
GBP
13,969,499
JPMC
6/21/2023
(351,297)
USD
13,038
HKD
102,000
CITG
6/21/2023
(3)
USD
13,038
HKD
102,000
JPMC
6/21/2023
(3)
USD
24,080
ILS
87,000
CITG
6/21/2023
(191)
USD
24,080
ILS
87,000
JPMC
6/21/2023
(191)
USD
16,242,245
JPY
2,159,435,503
CITG
6/21/2023
(212,766)
USD
16,242,326
JPY
2,159,435,497
JPMC
6/21/2023
(212,684)
USD
7,268,748
NOK
76,500,000
CITG
6/21/2023
(64,292)
USD
7,268,785
NOK
76,500,000
JPMC
6/21/2023
(64,255)
USD
18,235,431
NZD
29,488,000
CITG
6/21/2023
(202,902)
USD
18,235,522
NZD
29,487,999
JPMC
6/21/2023
(202,811)
USD
3,907,120
SEK
40,428,251
CITG
6/21/2023
(4,242)
USD
3,907,139
SEK
40,428,250
JPMC
6/21/2023
(4,224)
USD
72,787
SGD
97,500
CITG
6/21/2023
(666)
USD
72,788
SGD
97,500
JPMC
6/21/2023
(665)
Total
unrealized
depreciation
(5,005,604)
Net
unrealized
depreciation
$
(1,827,168)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
March
31,
2023
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
5,439,141
$
5,439,141
CITG
Investment
Companies
1,943,948
–
1,943,948
GSCO
Cash
–
2,682,139
2,682,139
GSIN
Cash
1,890,115
–
1,890,115
JPMC
Investment
Companies
4,584,922
–
4,584,922
61
Schedule
of
Investments
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
Abbreviations
ADR
-
American
Depositary
Receipt
CVA
-
Dutch
Certification
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
d
ollar
The
following
abbreviations
are
used
for
counterparty
descriptions:
BARC
-
Barclays
Capital,
Inc.
CITG
-
Citigroup
Global
Markets,
Inc.
GSCO
-
Goldman
Sachs
&
Co.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
3.02%
Euro
Short-Term
Rate
("ESTR"):
2.88%
Singapore
Overnight
Rate
Average
(“SORA”):
3.58%
Sterling
Overnight
Index
Average
(“SONIA”):
4.18%
Swiss
Average
Rate
Overnight
(“SARON”):
1.42%
Tel
Aviv
Interbank
Offer
Rate
("TELBOR"):
4.48%
Tokyo
Overnight
Average
Rate
(“TONAR”): -0.03%
Statements
of
Assets
and
Liabilities
62
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
12
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
575,957,863
$
75,384,435
$
365,082,613
$
445,004,054
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
941,615,077
$
108,046,941
$
453,457,621
$
499,541,585
Cash
.................................................
—
305
4,092
—
Cash
denominated
in
foreign
currencies
‡
......................
—
—
1,623,978
2,888,666
Deposits
with
brokers
for
futures
contracts
.....................
2,118,987
42,537
740,093
590,427
Variation
margin
on
futures
contracts
.........................
497,084
11,883
—
—
Receivables:
Foreign
tax
reclaims
...................................
—
—
1,102,293
—
Dividends
...........................................
724,928
77,086
2,083,543
2,664,844
Capital
shares
sold
....................................
953,062
39,575
271,216
58,671
Prepaid
expenses
.......................................
63,798
35,560
46,776
49,069
Total
Assets
945,972,936
108,253,887
459,329,612
505,793,262
LIABILITIES:
Variation
margin
on
futures
contracts
.........................
—
—
68,308
37,122
Payables:
–
–
–
–
Accrued
investment
advisory
fees
.........................
182,967
27,034
135,476
187,460
Accrued
distribution
fees—Class
N
........................
1,092
981
248
174
Capital
shares
redeemed
...............................
293,826
17,790
460,438
93,323
Deferred
foreign
capital
gains
tax
.........................
—
—
—
171,254
Other
accrued
expenses
and
liabilities
........................
120,471
56,446
88,822
153,298
Total
Liabilities
598,356
102,251
753,292
642,631
Net
Assets
$
945,374,580
$
108,151,636
$
458,576,320
$
505,150,631
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
531,453,611
$
75,925,816
$
383,161,720
$
489,429,628
Total
distributable
earnings
(loss)
...........................
413,920,969
32,225,820
75,414,600
15,721,003
Net
Assets
$
945,374,580
$
108,151,636
$
458,576,320
$
505,150,631
NET
ASSETS:
Class
I
...............................................
$
189,474,852
$
64,964,236
$
72,352,339
$
49,879,764
Class
N
...............................................
5,265,649
4,568,806
1,205,725
836,226
Class
R6
..............................................
750,634,079
38,618,594
385,018,256
454,434,641
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
11,650,918
4,290,752
5,967,547
5,333,543
Class
N
...............................................
320,461
301,925
99,192
88,713
Class
R6
..............................................
46,227,726
2,547,552
31,823,363
48,610,879
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
16.26
$
15.14
$
12.12
$
9.35
Class
N
...............................................
$
16.43
$
15.13
$
12.16
$
9.43
Class
R6
..............................................
$
16.24
$
15.16
$
12.10
$
9.35
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
—
$
—
$
1,622,064
$
2,807,378
Statements
of
Assets
and
Liabilities
63
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
459,802,979
$
137,066,309
$
262,433,134
$
2,456,037,199
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
683,617,462
$
177,739,583
$
357,847,887
$
3,873,282,657
Cash
.................................................
—
577
3,501
—
Cash
denominated
in
foreign
currencies
‡
......................
369
—
43,736
—
Due
from
broker
........................................
—
20,821
—
—
Deposits
with
brokers
for
futures
contracts
.....................
1,491,013
205,084
564,076
4,447,435
Variation
margin
on
futures
contracts
.........................
350,051
379,328
63,509
1,043,110
Receivables:
Securities
sold
.......................................
—
12,244,988
—
—
Foreign
tax
reclaims
...................................
—
—
1,038,940
—
Dividends
...........................................
624,595
115,749
1,986,729
4,223,786
Capital
shares
sold
....................................
1,315,380
326,402
96,402
2,008,609
Prepaid
expenses
.......................................
42,764
29,805
31,913
142,640
Total
Assets
687,441,634
191,062,337
361,676,693
3,885,148,237
LIABILITIES:
Payables:
–
–
–
–
Securities
purchased
...................................
—
169,302
—
—
Interfund
loan
........................................
—
6,600,000
—
—
Accrued
investment
advisory
fees
.........................
129,137
61,694
103,008
817,342
Accrued
distribution
fees—Class
N
........................
12,227
884
8,452
55,293
Capital
shares
redeemed
...............................
1,987,450
492,179
822,881
11,524,209
Other
accrued
expenses
and
liabilities
........................
138,562
67,318
105,346
990,475
Total
Liabilities
2,267,376
7,391,377
1,039,687
13,387,319
Net
Assets
$
685,174,258
$
183,670,960
$
360,637,006
$
3,871,760,918
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
411,386,033
$
145,591,783
$
272,393,501
$
2,262,605,950
Total
distributable
earnings
(loss)
...........................
273,788,225
38,079,177
88,243,505
1,609,154,968
Net
Assets
$
685,174,258
$
183,670,960
$
360,637,006
$
3,871,760,918
NET
ASSETS:
Class
I
...............................................
$
392,604,503
$
148,760,637
$
175,200,794
$
2,591,206,120
Class
N
...............................................
59,763,255
4,040,954
40,960,676
268,878,007
Class
R6
..............................................
232,806,500
30,869,369
144,475,536
1,011,676,791
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
20,869,560
8,658,030
10,763,548
101,818,831
Class
N
...............................................
3,173,193
235,000
2,519,009
10,582,220
Class
R6
..............................................
12,444,210
1,805,356
8,894,375
39,805,152
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
18.81
$
17.18
$
16.28
$
25.45
Class
N
...............................................
$
18.83
$
17.20
$
16.26
$
25.41
Class
R6
..............................................
$
18.71
$
17.10
$
16.24
$
25.42
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
413
$
—
$
43,080
$
—
Statements
of
Assets
and
Liabilities
64
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
..........................................
$
249,668,615
$
264,251,250
Investments
in
securities
of
unaffiliated
issuers,
at
value
.........................................
$
285,108,685
$
300,383,984
Cash
................................................................................
132,245
75,374
Cash
denominated
in
foreign
currencies
‡
.....................................................
1,412,759
1,593,785
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
.............................
—
3,178,436
Unrealized
appreciation
on
OTC
swaps
......................................................
—
53,359
Due
from
broker
.......................................................................
—
1,926,877
Deposits
with
brokers
for
futures
contracts
....................................................
472,901
8,791,757
Variation
margin
on
futures
contracts
........................................................
58,060
675,728
Receivables:
Securities
sold
......................................................................
417
7,596
Foreign
tax
reclaims
..................................................................
487,082
385,437
Dividends
..........................................................................
1,005,913
806,249
Capital
shares
sold
...................................................................
70,800
41,300
Prepaid
expenses
......................................................................
35,176
42,170
Total
Assets
288,784,038
317,962,052
LIABILITIES:
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
.............................
—
5,005,604
Unrealized
depreciation
on
OTC
swaps
......................................................
—
2,420,146
Variation
margin
on
futures
contracts
........................................................
—
425,450
Payables:
–
–
Securities
purchased
..................................................................
—
42,584
Accrued
investment
advisory
fees
........................................................
74,756
148,954
Accrued
distribution
fees—Class
N
.......................................................
1,437
1,361
Capital
shares
redeemed
..............................................................
243,778
400,915
Other
accrued
expenses
and
liabilities
.......................................................
77,004
71,858
Total
Liabilities
396,975
8,516,872
Net
Assets
$
288,387,063
$
309,445,180
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
.........................
$
262,807,221
$
277,883,422
Total
distributable
earnings
(loss)
..........................................................
25,579,842
31,561,758
Net
Assets
$
288,387,063
$
309,445,180
NET
ASSETS:
Class
I
..............................................................................
$
115,550,238
$
7,949,238
Class
N
..............................................................................
7,014,493
6,495,426
Class
R6
.............................................................................
165,822,332
295,000,516
SHARES
OUTSTANDING:
–
–
Class
I
..............................................................................
8,485,449
910,675
Class
N
..............................................................................
496,404
755,127
Class
R6
.............................................................................
12,187,019
33,574,703
NET
ASSET
VALUE:
–
–
Class
I
..............................................................................
$
13.62
$
8.73
Class
N
..............................................................................
$
14.13
$
8.60
Class
R6
.............................................................................
$
13.61
$
8.79
‡
Cash
denominated
in
foreign
currencies,
at
cost
..............................................
$
1,419,773
$
1,589,096
Statements
of
Operations
65
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
10,684,543
$
1,109,481
$
6,197,100
$
8,768,172
Total
Income
10,684,543
1,109,481
6,197,100
8,768,172
EXPENSES:
Investment
advisory
fees
..................................
1,201,527
263,936
862,911
1,219,360
Custody
fees
...........................................
17,782
22,514
32,309
149,516
Administration
&
accounting
fees
............................
103,820
12,674
46,616
52,701
Legal
fees
.............................................
45,282
3,018
11,172
12,552
Audit
&
tax
fees
.........................................
27,249
27,537
32,758
52,862
Shareholder
reporting
fees
................................
34,815
11,005
21,768
24,725
Transfer
agent
fees
......................................
122,842
47,935
48,687
38,368
Trustee
fees
...........................................
33,434
4,270
14,216
16,242
Distribution
fees—Cl
ass
N
.................................
6,743
6,256
1,453
1,061
Interest
expense
........................................
44,032
3,425
12,747
14,835
Registration
fees
........................................
36,527
26,487
31,759
29,580
Tax
expense
(Note
2)
....................................
—
—
6,868
45,485
Other
expenses
........................................
19,177
2,049
9,907
20,742
Total
Expenses
1,693,230
431,106
1,133,171
1,678,029
Less
expense
reimbursements
.............................
(76,550)
(89,810)
(105,731)
(128,312)
Net
Expenses
1,616,680
341,296
1,027,440
1,549,717
Net
Investment
Income
(Loss)
9,067,863
768,185
5,169,660
7,218,455
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
(net
of
capital
gain
country
tax
of
$—,
$—,
$—
and
$(237,303))
......
41,221,730
182,422
2,942,358
(3,110,090)
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
73,154
(235,044)
Expiration
or
closing
of
futures
contracts
....................
482,425
(169,817)
810,831
(1,295,620)
Net
realized
gain
(loss)
41,704,155
12,605
3,826,343
(4,640,754)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
(net
changes
in
deferred
capital
gain
country
tax
accruals
of
$—,
$—,
$—
and
$116,981)
.
60,532,894
10,286,575
94,106,278
61,569,402
Foreign
currency
and
foreign
currency
transactions
............
—
—
130,849
209,842
Futures
contracts
.....................................
5,373,979
457,426
2,418,179
2,891,772
Net
change
in
unrealized
appreciation
(depreciation)
65,906,873
10,744,001
96,655,306
64,671,016
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
107,611,028
10,756,606
100,481,649
60,030,262
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
116,678,891
$
11,524,791
$
105,651,309
$
67,248,717
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
11,788
$
814
$
626,441
$
1,248,179
Statements
of
Operations
66
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
6,962,360
$
2,151,871
$
5,358,451
$
39,938,285
Total
Income
6,962,360
2,151,871
5,358,451
39,938,285
EXPENSES:
Investment
advisory
fees
..................................
895,763
482,948
707,006
5,098,102
Custody
fees
...........................................
14,337
17,980
29,909
54,755
Administration
&
accounting
fees
............................
77,415
23,188
38,193
440,650
Legal
fees
.............................................
22,623
10,805
9,052
120,613
Audit
&
tax
fees
.........................................
26,263
26,305
32,760
27,927
Shareholder
reporting
fees
................................
32,994
18,831
23,859
123,061
Transfer
agent
fees
......................................
254,061
95,460
118,531
1,523,438
Trustee
fees
...........................................
25,089
7,673
12,180
139,609
Distribution
fees—Class
N
.................................
71,405
5,622
48,489
368,243
Interest
expense
........................................
23,842
6,779
11,550
126,404
Interfund
lending
expense
.................................
—
2,527
—
—
Registration
fees
........................................
30,671
27,958
27,916
56,920
Other
expenses
........................................
16,843
4,027
11,348
82,370
Total
Expenses
1,491,306
730,103
1,070,793
8,162,092
Less
expense
reimbursements
.............................
(78,135)
(89,043)
(109,057)
(18,243)
Net
Expenses
1,413,171
641,060
961,736
8,143,849
Net
Investment
Income
(Loss)
5,549,189
1,510,811
4,396,715
31,794,436
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
45,519,409
(417,212)
8,083,546
168,429,230
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
107,835
—
Expiration
or
closing
of
futures
contracts
....................
(956,467)
(303,295)
761,702
(2,944,834)
Net
realized
gain
(loss)
44,562,942
(720,507)
8,953,083
165,484,396
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
10,843,255
15,765,710
55,315,265
264,758,837
Foreign
currency
and
foreign
currency
transactions
............
35
—
117,843
—
Futures
contracts
.....................................
4,259,803
930,090
1,987,691
17,022,652
Net
change
in
unrealized
appreciation
(depreciation)
15,103,093
16,695,800
57,420,799
281,781,489
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
59,666,035
15,975,293
66,373,882
447,265,885
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
65,215,224
$
17,486,104
$
70,770,597
$
479,060,321
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
—
$
1,239
$
461,028
$
2,573
Statements
of
Operations
67
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
INVESTMENT
INCOME:
Dividend
income
†
......................................................................
$
3,397,470
$
4,607,374
Total
Income
3,397,470
4,607,374
EXPENSES:
Investment
advisory
fees
.................................................................
535,447
898,114
Custody
fees
..........................................................................
25,835
25,757
Administration
&
accounting
fees
...........................................................
28,927
32,338
Legal
fees
............................................................................
6,818
8,072
Audit
&
tax
fees
........................................................................
30,112
40,844
Shareholder
reporting
fees
...............................................................
15,164
13,539
Transfer
agent
fees
.....................................................................
69,130
18,684
Trustee
fees
..........................................................................
8,962
10,321
Distribution
fees—Class
N
................................................................
8,256
7,971
Interest
expense
.......................................................................
7,662
10,966
Registration
fees
.......................................................................
38,569
27,012
Tax
expense
(Note
2)
...................................................................
7,294
—
Other
expenses
.......................................................................
7,943
8,103
Total
Expenses
790,119
1,101,721
Less
expense
reimbursements
............................................................
(106,842)
(28,061)
Net
Expenses
683,277
1,073,660
Net
Investment
Income
(Loss)
2,714,193
3,533,714
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
.....................................
111,305
(2,674,723)
Settlement
of
foreign
currency
and
foreign
currency
transactions
.................................
55,358
146,125
Settlement
of
forward
foreign
currency
exchange
contracts
.....................................
—
(4,750,185)
Expiration
or
closing
of
futures
contracts
...................................................
944,315
2,248,850
Expiration
or
closing
of
swap
contracts
....................................................
—
1,897,863
Net
realized
gain
(loss)
1,110,978
(3,132,070)
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
.................................................
46,316,070
44,954,512
Foreign
currency
and
foreign
currency
transactions
...........................................
41,674
(44,446)
Forward
foreign
currency
exchange
contracts
...............................................
—
628,632
Futures
contracts
....................................................................
1,273,833
3,631,826
Swap
contracts
......................................................................
—
(3,084,509)
Net
change
in
unrealized
appreciation
(depreciation)
47,631,577
46,086,015
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
48,742,555
42,953,945
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
51,456,748
$
46,487,659
________________
†
Net
of
foreign
taxes
withheld
of
...........................................................
$
320,399
$
262,993
Statements
of
Changes
in
Net
Assets
(Continued)
68
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
9,067,863
$
16,263,325
$
768,185
$
996,152
Net
realized
gain
(loss)
.............................
41,704,155
98,007,912
12,605
225,154
Net
change
in
unrealized
appreciation
(depreciation)
.......
65,906,873
(
251,261,633
)
10,744,001
(
26,542,185
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
116,678,891
(
136,990,396
)
11,524,791
(
25,320,879
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
21,320,561
)
(
33,351,169
)
(
611,222
)
(
4,130,148
)
Class
N
.........................................
(
513,480
)
(
998,917
)
(
23,046
)
(
472,066
)
Class
R6
........................................
(
73,686,731
)
(
117,130,299
)
(
379,583
)
(
3,339,479
)
Total
distributions
(
95,520,772
)
(
151,480,385
)
(
1,013,851
)
(
7,941,693
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
9,395,438
38,810,073
13,582,603
19,274,870
Reinvestment
of
distributions
.........................
19,925,876
31,067,108
476,317
4,130,148
Cost
of
shares
redeemed
...........................
(
49,334,248
)
(
83,944,878
)
(
15,289,654
)
(
12,980,847
)
Net
increase
(decrease)
from
capital
transactions
(
20,012,934
)
(
14,067,697
)
(
1,230,734
)
10,424,171
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
190,337
1,461,580
152,440
1,350,549
Reinvestment
of
distributions
.........................
504,148
971,730
22,424
470,995
Cost
of
shares
redeemed
...........................
(
910,268
)
(
3,933,079
)
(
1,127,597
)
(
3,018,937
)
Net
increase
(decrease)
from
capital
transactions
(
215,783
)
(
1,499,769
)
(
952,733
)
(
1,197,393
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
69,736,459
110,278,746
1,296,587
2,930,308
Reinvestment
of
distributions
.........................
72,035,186
115,036,522
374,627
3,296,524
Cost
of
shares
redeemed
...........................
(
129,610,572
)
(
289,268,970
)
(
3,953,880
)
(
10,643,727
)
Net
increase
(decrease)
from
capital
transactions
12,161,073
(
63,953,702
)
(
2,282,666
)
(
4,416,895
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
8,067,644
)
(
79,521,168
)
(
4,466,133
)
4,809,883
Total
increase
(decrease)
in
net
assets
13,090,475
(
367,991,949
)
6,044,807
(
28,452,689
)
NET
ASSETS:
Beginning
of
period
................................
932,284,105
1,300,276,054
102,106,829
130,559,518
End
of
period
...................................
$
945,374,580
$
932,284,105
$
108,151,636
$
102,106,829
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
69
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
12,877,494
13,594,164
4,363,260
3,689,600
Shares
sold
.....................................
581,371
2,093,616
896,922
1,225,107
Shares
issued
on
reinvestment
of
distributions
...........
1,299,796
1,547,938
32,315
226,310
Shares
redeemed
.................................
(
3,107,743
)
(
4,358,224
)
(
1,001,745
)
(
777,757
)
Shares
outstanding,
end
of
period
11,650,918
12,877,494
4,290,752
4,363,260
CLASS
N
Shares
outstanding,
beginning
of
period
................
331,906
416,504
363,208
443,339
Shares
sold
.....................................
11,629
72,439
10,040
78,135
Shares
issued
on
reinvestment
of
distributions
...........
32,526
47,987
1,521
25,836
Shares
redeemed
.................................
(
55,600
)
(
205,024
)
(
72,844
)
(
184,102
)
Shares
outstanding,
end
of
period
320,461
331,906
301,925
363,208
CLASS
R6
Shares
outstanding,
beginning
of
period
................
45,085,069
48,411,191
2,695,000
2,966,042
Shares
sold
.....................................
4,353,561
5,818,565
84,847
182,106
Shares
issued
on
reinvestment
of
distributions
...........
4,708,182
5,740,345
25,398
180,434
Shares
redeemed
.................................
(
7,919,086
)
(
14,885,032
)
(
257,693
)
(
633,582
)
Shares
outstanding,
end
of
period
46,227,726
45,085,069
2,547,552
2,695,000
Statements
of
Changes
in
Net
Assets
(Continued)
70
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
5,169,660
$
15,137,460
$
7,218,455
$
21,473,476
Net
realized
gain
(loss)
.............................
3,826,343
(
4,705,914
)
(
4,640,754
)
(
18,235,690
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
96,655,306
(
125,571,633
)
64,671,016
(
180,509,900
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
105,651,309
(
115,140,087
)
67,248,717
(
177,272,114
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,036,519
)
(
2,258,789
)
(
1,929,495
)
(
1,303,522
)
Class
N
.........................................
(
29,800
)
(
107,632
)
(
32,365
)
(
79,037
)
Class
R6
........................................
(
11,786,662
)
(
12,740,223
)
(
20,032,402
)
(
14,256,350
)
Total
distributions
(
13,852,981
)
(
15,106,644
)
(
21,994,262
)
(
15,638,909
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
9,407,668
23,571,005
13,502,374
26,911,610
Reinvestment
of
distributions
.........................
2,035,042
2,257,515
1,929,495
1,303,522
Cost
of
shares
redeemed
...........................
(
16,695,656
)
(
23,327,130
)
(
15,123,360
)
(
30,542,211
)
Net
increase
(decrease)
from
capital
transactions
(
5,252,946
)
2,501,390
308,509
(
2,327,079
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
63,966
502,788
12,858
1,568,170
Reinvestment
of
distributions
.........................
28,173
106,459
32,365
79,037
Cost
of
shares
redeemed
...........................
(
216,159
)
(
3,055,237
)
(
142,554
)
(
3,976,785
)
Net
increase
(decrease)
from
capital
transactions
(
124,020
)
(
2,445,990
)
(
97,331
)
(
2,329,578
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
22,518,031
53,599,434
31,112,179
78,703,320
Reinvestment
of
distributions
.........................
11,435,804
12,370,783
19,761,907
14,070,492
Cost
of
shares
redeemed
...........................
(
36,488,807
)
(
65,112,784
)
(
35,837,219
)
(
93,836,652
)
Net
increase
(decrease)
from
capital
transactions
(
2,534,972
)
857,433
15,036,867
(
1,062,840
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
7,911,938
)
912,833
15,248,045
(
5,719,497
)
Total
increase
(decrease)
in
net
assets
83,886,390
(
129,333,898
)
60,502,500
(
198,630,520
)
NET
ASSETS:
Beginning
of
period
................................
374,689,930
504,023,828
444,648,131
643,278,651
End
of
period
...................................
$
458,576,320
$
374,689,930
$
505,150,631
$
444,648,131
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
71
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
6,411,784
6,225,267
5,275,790
5,460,518
Shares
sold
.....................................
844,155
1,918,101
1,516,075
2,444,363
Shares
issued
on
reinvestment
of
distributions
...........
185,679
173,388
215,827
109,264
Shares
redeemed
.................................
(
1,474,071
)
(
1,904,972
)
(
1,674,149
)
(
2,738,355
)
Shares
outstanding,
end
of
period
5,967,547
6,411,784
5,333,543
5,275,790
CLASS
N
Shares
outstanding,
beginning
of
period
................
110,628
319,890
99,457
317,900
Shares
sold
.....................................
5,649
38,750
1,430
156,717
Shares
issued
on
reinvestment
of
distributions
...........
2,563
8,183
3,588
6,603
Shares
redeemed
.................................
(
19,648
)
(
256,195
)
(
15,762
)
(
381,763
)
Shares
outstanding,
end
of
period
99,192
110,628
88,713
99,457
CLASS
R6
Shares
outstanding,
beginning
of
period
................
32,028,676
31,912,193
46,979,760
46,939,594
Shares
sold
.....................................
2,005,451
4,538,537
3,371,843
7,575,358
Shares
issued
on
reinvestment
of
distributions
...........
1,046,277
952,331
2,212,980
1,180,410
Shares
redeemed
.................................
(
3,257,041
)
(
5,374,385
)
(
3,953,704
)
(
8,715,602
)
Shares
outstanding,
end
of
period
31,823,363
32,028,676
48,610,879
46,979,760
Statements
of
Changes
in
Net
Assets
(Continued)
72
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
5,549,189
$
8,765,047
$
1,510,811
$
1,529,787
Net
realized
gain
(loss)
.............................
44,562,942
77,101,924
(
720,507
)
(
2,893,240
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
15,103,093
(
214,584,921
)
16,695,800
(
59,544,195
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
65,215,224
(
128,717,950
)
17,486,104
(
60,907,648
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
42,896,531
)
(
120,461,315
)
(
932,882
)
(
41,786,280
)
Class
N
.........................................
(
5,487,520
)
(
9,150,793
)
(
11,897
)
(
1,374,605
)
Class
R6
........................................
(
24,389,801
)
(
48,116,565
)
(
313,180
)
(
11,928,673
)
Total
distributions
(
72,773,852
)
(
177,728,673
)
(
1,257,959
)
(
55,089,558
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
35,001,573
80,278,404
11,298,469
38,358,439
Reinvestment
of
distributions
.........................
42,126,060
120,338,699
920,971
41,484,288
Cost
of
shares
redeemed
...........................
(
92,817,087
)
(
387,079,891
)
(
28,628,836
)
(
49,068,968
)
Net
increase
(decrease)
from
capital
transactions
(
15,689,454
)
(
186,462,788
)
(
16,409,396
)
30,773,759
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
8,242,601
14,526,890
194,189
1,906,659
Reinvestment
of
distributions
.........................
5,487,518
9,150,791
11,897
1,374,605
Cost
of
shares
redeemed
...........................
(
6,343,232
)
(
9,936,426
)
(
1,053,553
)
(
1,952,231
)
Net
increase
(decrease)
from
capital
transactions
7,386,887
13,741,255
(
847,467
)
1,329,033
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
21,734,696
30,267,233
3,086,721
10,515,174
Reinvestment
of
distributions
.........................
24,052,140
47,940,969
313,180
11,928,521
Cost
of
shares
redeemed
...........................
(
37,039,889
)
(
67,444,112
)
(
19,305,999
)
(
15,556,592
)
Net
increase
(decrease)
from
capital
transactions
8,746,947
10,764,090
(
15,906,098
)
6,887,103
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
444,380
(
161,957,443
)
(
33,162,961
)
38,989,895
Total
increase
(decrease)
in
net
assets
(
7,114,248
)
(
468,404,066
)
(
16,934,816
)
(
77,007,311
)
NET
ASSETS:
Beginning
of
period
................................
692,288,506
1,160,692,572
200,605,776
277,613,087
End
of
period
...................................
$
685,174,258
$
692,288,506
$
183,670,960
$
200,605,776
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
73
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
21,627,910
29,516,085
9,607,947
8,105,017
Shares
sold
.....................................
1,800,809
3,501,464
658,225
2,017,054
Shares
issued
on
reinvestment
of
distributions
...........
2,280,783
4,819,331
54,885
1,954,962
Shares
redeemed
.................................
(
4,839,942
)
(
16,208,970
)
(
1,663,027
)
(
2,469,086
)
Shares
outstanding,
end
of
period
20,869,560
21,627,910
8,658,030
9,607,947
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,771,259
2,168,791
282,926
228,039
Shares
sold
.....................................
431,219
649,853
11,121
85,420
Shares
issued
on
reinvestment
of
distributions
...........
296,462
365,885
708
64,718
Shares
redeemed
.................................
(
325,747
)
(
413,270
)
(
59,755
)
(
95,251
)
Shares
outstanding,
end
of
period
3,173,193
2,771,259
235,000
282,926
CLASS
R6
Shares
outstanding,
beginning
of
period
................
11,942,542
11,466,385
2,754,503
2,380,310
Shares
sold
.....................................
1,103,924
1,336,170
177,615
539,481
Shares
issued
on
reinvestment
of
distributions
...........
1,310,029
1,929,991
18,765
564,797
Shares
redeemed
.................................
(
1,912,285
)
(
2,790,004
)
(
1,145,527
)
(
730,085
)
Shares
outstanding,
end
of
period
12,444,210
11,942,542
1,805,356
2,754,503
Statements
of
Changes
in
Net
Assets
(Continued)
74
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
4,396,715
$
10,844,528
$
31,794,436
$
64,053,590
Net
realized
gain
(loss)
.............................
8,953,083
460,547
165,484,396
391,357,018
Net
change
in
unrealized
appreciation
(depreciation)
.......
57,420,799
(
134,031,975
)
281,781,489
(
1,041,433,977
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
70,770,597
(
122,726,900
)
479,060,321
(
586,023,369
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
4,633,520
)
(
7,146,673
)
(
267,895,560
)
(
100,392,574
)
Class
N
.........................................
(
990,942
)
(
722,658
)
(
28,766,703
)
(
9,987,482
)
Class
R6
........................................
(
4,034,945
)
(
4,644,731
)
(
96,298,507
)
(
36,529,186
)
Total
distributions
(
9,659,407
)
(
12,514,062
)
(
392,960,770
)
(
146,909,242
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
13,513,838
35,705,614
158,338,725
527,992,987
Reinvestment
of
distributions
.........................
4,524,192
7,110,033
262,708,832
98,434,127
Cost
of
shares
redeemed
...........................
(
31,121,930
)
(
145,425,924
)
(
627,509,457
)
(
1,279,179,728
)
Net
increase
(decrease)
from
capital
transactions
(
13,083,900
)
(
102,610,277
)
(
206,461,900
)
(
652,752,614
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
4,234,711
11,569,146
34,337,966
78,384,275
Reinvestment
of
distributions
.........................
990,942
719,000
28,671,262
9,949,249
Cost
of
shares
redeemed
...........................
(
4,897,386
)
(
35,262,344
)
(
98,190,903
)
(
168,863,953
)
Net
increase
(decrease)
from
capital
transactions
328,267
(
22,974,198
)
(
35,181,675
)
(
80,530,429
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
7,184,418
19,981,308
137,800,362
234,569,987
Reinvestment
of
distributions
.........................
4,024,462
4,624,597
93,694,428
35,611,441
Cost
of
shares
redeemed
...........................
(
18,552,895
)
(
45,359,953
)
(
148,195,583
)
(
539,892,552
)
Net
increase
(decrease)
from
capital
transactions
(
7,344,015
)
(
20,754,048
)
83,299,207
(
269,711,124
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
20,099,648
)
(
146,338,523
)
(
158,344,368
)
(
1,002,994,167
)
Total
increase
(decrease)
in
net
assets
41,011,542
(
281,579,485
)
(
72,244,817
)
(
1,735,926,778
)
NET
ASSETS:
Beginning
of
period
................................
319,625,464
601,204,949
3,944,005,735
5,679,932,513
End
of
period
...................................
$
360,637,006
$
319,625,464
$
3,871,760,918
$
3,944,005,735
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
75
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
11,583,846
17,386,714
109,433,399
131,882,887
Shares
sold
.....................................
889,592
1,992,297
6,100,354
18,146,906
Shares
issued
on
reinvestment
of
distributions
...........
297,253
364,244
10,610,211
3,123,901
Shares
redeemed
.................................
(
2,007,143
)
(
8,159,409
)
(
24,325,133
)
(
43,720,295
)
Shares
outstanding,
end
of
period
10,763,548
11,583,846
101,818,831
109,433,399
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,495,431
3,584,618
11,904,275
14,651,144
Shares
sold
.....................................
273,342
694,548
1,355,502
2,846,256
Shares
issued
on
reinvestment
of
distributions
...........
65,108
36,815
1,158,903
316,150
Shares
redeemed
.................................
(
314,872
)
(
1,820,550
)
(
3,836,460
)
(
5,909,275
)
Shares
outstanding,
end
of
period
2,519,009
2,495,431
10,582,220
11,904,275
CLASS
R6
Shares
outstanding,
beginning
of
period
................
9,368,955
10,513,011
36,571,253
45,467,132
Shares
sold
.....................................
459,446
1,166,085
5,217,759
8,050,342
Shares
issued
on
reinvestment
of
distributions
...........
264,942
237,402
3,790,228
1,131,600
Shares
redeemed
.................................
(
1,198,968
)
(
2,547,543
)
(
5,774,088
)
(
18,077,821
)
Shares
outstanding,
end
of
period
8,894,375
9,368,955
39,805,152
36,571,253
Statements
of
Changes
in
Net
Assets
(Continued)
76
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
OPERATIONS:
Net
investment
income
(loss)
........................
$
2,714,193
$
6,260,544
$
3,533,714
$
5,485,882
Net
realized
gain
(loss)
.............................
1,110,978
(
6,520,237
)
(
3,132,070
)
10,588,930
Net
change
in
unrealized
appreciation
(depreciation)
.......
47,631,577
(
64,139,038
)
46,086,015
(
70,473,926
)
Net increase
(decrease)
in
net
assets
resulting
from
operations
51,456,748
(
64,398,731
)
46,487,659
(
54,399,114
)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,187,535
)
(
2,998,211
)
(
310,435
)
(
1,831,658
)
Class
N
.........................................
(
109,199
)
(
173,359
)
(
259,557
)
(
899,735
)
Class
R6
........................................
(
3,177,917
)
(
3,977,204
)
(
12,318,896
)
(
36,526,098
)
Total
distributions
(
5,474,651
)
(
7,148,774
)
(
12,888,888
)
(
39,257,491
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
16,083,691
48,125,580
593,046
757,839
Reinvestment
of
distributions
.........................
2,173,256
2,991,989
310,105
1,830,546
Cost
of
shares
redeemed
...........................
(
21,143,390
)
(
39,614,555
)
(
622,703
)
(
8,028,707
)
Net
increase
(decrease)
from
capital
transactions
(
2,886,443
)
11,503,014
280,448
(
5,440,322
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
252,289
455,082
439,246
1,158,887
Reinvestment
of
distributions
.........................
109,181
173,332
259,185
899,735
Cost
of
shares
redeemed
...........................
(
521,329
)
(
1,851,287
)
(
738,356
)
(
1,896,797
)
Net
increase
(decrease)
from
capital
transactions
(
159,859
)
(
1,222,873
)
(
39,925
)
161,825
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
26,926,217
81,671,083
22,564,587
54,513,048
Reinvestment
of
distributions
.........................
2,833,021
3,459,795
12,302,894
36,502,590
Cost
of
shares
redeemed
...........................
(
19,390,592
)
(
59,830,077
)
(
32,020,623
)
(
49,615,927
)
Net
increase
(decrease)
from
capital
transactions
10,368,646
25,300,801
2,846,858
41,399,711
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
7,322,344
35,580,942
3,087,381
36,121,214
Total
increase
(decrease)
in
net
assets
53,304,441
(
35,966,563
)
36,686,152
(
57,535,391
)
NET
ASSETS:
Beginning
of
period
................................
235,082,622
271,049,185
272,759,028
330,294,419
End
of
period
...................................
$
288,387,063
$
235,082,622
$
309,445,180
$
272,759,028
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
77
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
FOR
THE
SIX
MONTHS
ENDED
MARCH
31,
2023
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
8,699,248
7,810,200
874,571
1,555,962
Shares
sold
.....................................
1,262,790
3,579,297
69,776
84,701
Shares
issued
on
reinvestment
of
distributions
...........
172,481
198,408
38,050
185,091
Shares
redeemed
.................................
(
1,649,070
)
(
2,888,657
)
(
71,722
)
(
951,183
)
Shares
outstanding,
end
of
period
8,485,449
8,699,248
910,675
874,571
CLASS
N
Shares
outstanding,
beginning
of
period
................
508,905
585,280
758,506
746,740
Shares
sold
.....................................
18,718
32,108
52,232
126,229
Shares
issued
on
reinvestment
of
distributions
...........
8,347
11,076
32,277
92,092
Shares
redeemed
.................................
(
39,566
)
(
119,559
)
(
87,888
)
(
206,555
)
Shares
outstanding,
end
of
period
496,404
508,905
755,127
758,506
CLASS
R6
Shares
outstanding,
beginning
of
period
................
11,334,719
9,556,811
33,234,891
29,121,791
Shares
sold
.....................................
2,197,574
6,121,321
2,665,496
5,621,568
Shares
issued
on
reinvestment
of
distributions
...........
225,200
229,582
1,500,353
3,664,919
Shares
redeemed
.................................
(
1,570,474
)
(
4,572,995
)
(
3,826,037
)
(
5,173,387
)
Shares
outstanding,
end
of
period
12,187,019
11,334,719
33,574,703
33,234,891
78
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
16.00
0.15
6
1.82
1.97
(0.27)
(1.44)
(1.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.84
0.25
(2.57)
(2.32)
(0.26)
(2.26)
(2.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.63
0.22
4.78
5.00
(0.23)
(1.56)
(1.79)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.84
0.23
1.48
1.71
(0.21)
(0.71)
(0.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.21
8
(1.06)
(0.85)
(0.27)
(0.87)
(1.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.23
2.13
2.36
(0.22)
(0.18)
(0.40)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
16.11
0.13
6
1.84
1.97
(0.21)
(1.44)
(1.65)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.95
0.20
(2.59)
(2.39)
(0.19)
(2.26)
(2.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.72
0.17
4.81
4.98
(0.19)
(1.56)
(1.75)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.76
0.20
1.47
1.67
—
(0.71)
(0.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.74
0.17
8
(1.06)
(0.89)
(0.22)
(0.87)
(1.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.79
0.18
2.13
2.31
(0.18)
(0.18)
(0.36)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
15.99
0.16
6
1.82
1.98
(0.29)
(1.44)
(1.73)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
20.83
0.27
(2.57)
(2.30)
(0.28)
(2.26)
(2.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.62
0.24
4.78
5.02
(0.25)
(1.56)
(1.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.83
0.25
1.48
1.73
(0.23)
(0.71)
(0.94)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.23
8
(1.07)
(0.84)
(0.29)
(0.87)
(1.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.25
2.13
2.38
(0.24)
(0.18)
(0.42)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.75
0.10
1.42
1.52
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.38
0.14
9
(3.64)
(3.50)
(0.08)
(1.05)
(1.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.35
0.07
10,11
6.24
6.31
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.33
0.08
0.07
13
0.15
(0.12)
(0.01)
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.88
0.11
8
(2.14)
(2.03)
(0.08)
(1.44)
(1.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.09
0.10
1.27
1.37
(0.12)
(1.46)
(1.58)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.71
0.08
1.41
1.49
(0.07)
—
(0.07)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.32
0.09
9
(3.62)
(3.53)
(0.03)
(1.05)
(1.08)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.32
0.03
10,11
6.22
6.25
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.29
0.04
0.08
13
0.12
(0.08)
(0.01)
(0.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.08
8
(2.12)
(2.04)
(0.05)
(1.44)
(1.49)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.01
0.06
1.28
1.34
(0.07)
(1.46)
(1.53)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.77
0.11
1.42
1.53
(0.14)
—
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
18.41
0.15
9
(3.64)
(3.49)
(0.10)
(1.05)
(1.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.37
0.10
10,11
6.23
6.33
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.35
0.08
0.08
13
0.16
(0.13)
(0.01)
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.91
0.13
8
(2.15)
(2.02)
(0.10)
(1.44)
(1.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.11
0.11
1.29
1.40
(0.14)
(1.46)
(1.60)
79
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
16.26
12.92%
$
189,475
0.43%
0.41%
0.40%
1.83%
6
25%
$
16.00
(13.59)%
$
206,052
0.42%
0.41%
0.40%
1.30%
56%
$
20.84
30.10%
$
283,306
0.41%
0.41%
0.40%
1.13%
59%
7
$
17.63
10.30%
$
218,609
0.45%
0.44%
0.44%
1.38%
48%
$
16.84
(3.55)%
$
361,920
0.44%
0.44%
0.44%
1.29%
8
55%
$
18.83
14.11%
$
507,109
0.44%
0.44%
0.44%
1.28%
64%
$
16.43
12.81%
$
5,266
0.68%
0.66%
0.65%
1.57%
6
25%
$
16.11
(13.82)%
$
5,348
0.67%
0.66%
0.65%
1.04%
56%
$
20.95
29.73%
$
8,726
0.66%
0.66%
0.65%
0.87%
59%
7
$
17.72
10.07%
$
10,681
0.71%
0.69%
0.69%
1.17%
48%
$
16.76
(3.84)%
$
57,421
0.70%
0.70%
0.70%
1.02%
8
55%
$
18.74
13.83%
$
71,104
0.70%
0.70%
0.70%
1.02%
64%
$
16.24
13.00%
$
750,634
0.33%
0.31%
0.30%
1.91%
6
25%
$
15.99
(13.51)%
$
720,884
0.32%
0.31%
0.30%
1.40%
56%
$
20.83
30.26%
$
1,008,244
0.31%
0.31%
0.30%
1.23%
59%
7
$
17.62
10.43%
$
863,892
0.35%
0.34%
0.34%
1.51%
48%
$
16.83
(3.50)%
$
1,027,712
0.35%
0.35%
0.35%
1.38%
8
55%
$
18.83
14.20%
$
1,366,762
0.35%
0.35%
0.35%
1.37%
64%
$
15.14
11.08%
$
64,964
0.76%
0.61%
0.60%
1.29%
35%
$
13.75
(20.56)%
$
60,005
0.75%
0.61%
0.60%
0.81%
9
65%
$
18.38
51.47%
$
67,830
0.83%
12
0.72%
12
0.71%
12
0.43%
10,11
60%
7
$
12.35
1.13%
$
39,049
0.70%
0.65%
0.64%
0.63%
51%
$
12.33
(11.74)%
$
42,197
0.66%
0.64%
0.64%
0.92%
8
70%
$
15.88
9.18%
$
61,690
0.66%
0.65%
0.64%
0.63%
64%
$
15.13
10.90%
$
4,569
1.01%
0.86%
0.85%
1.03%
35%
$
13.71
(20.75)%
$
4,979
1.00%
0.86%
0.85%
0.55%
9
65%
$
18.32
51.05%
$
8,123
1.08%
12
0.97%
12
0.96%
12
0.16%
10,11
60%
7
$
12.32
0.87%
$
5,421
0.95%
0.90%
0.89%
0.36%
51%
$
12.29
(11.94)%
$
8,304
0.92%
0.90%
0.90%
0.66%
8
70%
$
15.82
8.94%
$
7,795
0.92%
0.90%
0.90%
0.38%
64%
$
15.16
11.16%
$
38,619
0.66%
0.51%
0.50%
1.38%
35%
$
13.77
(20.51)%
$
37,123
0.65%
0.51%
0.50%
0.91%
9
65%
$
18.41
51.60%
$
54,607
0.74%
12
0.63%
12
0.62%
12
0.64%
10,11
60%
7
$
12.37
1.22%
$
213,517
0.60%
0.55%
0.54%
0.70%
51%
$
12.35
(11.66)%
$
501,656
0.57%
0.55%
0.55%
1.02%
8
70%
$
15.91
9.34%
$
675,945
0.57%
0.55%
0.55%
0.73%
64%
80
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
9.73
0.13
2.62
2.75
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.12
0.39
(3.39)
(3.00)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.69
0.34
2.31
2.65
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.06
0.22
(0.25)
(0.03)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.76
0.28
(0.60)
(0.32)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.95
0.28
(0.18)
0.10
(0.29)
—
(0.29)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
9.71
0.11
2.63
2.74
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.08
0.32
(3.34)
(3.02)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.66
0.28
2.33
2.61
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.03
0.19
(0.25)
(0.06)
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.73
0.24
(0.59)
(0.35)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.92
0.24
(0.17)
0.07
(0.26)
—
(0.26)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
9.72
0.14
2.61
2.75
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
13.10
0.39
(3.37)
(2.98)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.67
0.37
2.29
2.66
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.05
0.23
(0.26)
(0.03)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.75
0.28
(0.59)
(0.31)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.94
0.29
(0.18)
0.11
(0.30)
—
(0.30)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
8.49
0.13
1.14
1.27
(0.41)
—
(0.41)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.20
0.41
(3.83)
(3.42)
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.57
0.34
11
1.48
1.82
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.14
0.92
1.06
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.58
0.25
8
(0.86)
(0.61)
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.23
14
(0.59)
(0.36)
(0.18)
—
(0.18)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
8.51
0.12
1.15
1.27
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.22
0.33
(3.78)
(3.45)
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.60
0.33
11
1.46
1.79
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.77
0.14
0.90
1.04
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.57
0.16
8
(0.79)
(0.63)
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.19
14
(0.59)
(0.40)
(0.15)
—
(0.15)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
8.49
0.14
1.14
1.28
(0.42)
—
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
12.20
0.41
(3.82)
(3.41)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.58
0.31
11
1.51
1.82
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.76
0.18
0.89
1.07
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.59
0.23
8
(0.83)
(0.60)
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.13
0.24
14
(0.59)
(0.35)
(0.19)
—
(0.19)
81
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
12.12
28.65%
$
72,352
0.61%
0.56%
0.55%
2.28%
28%
$
9.73
(23.62)%
$
62,389
0.63%
0.56%
0.56%
3.17%
73%
$
13.12
24.97%
$
81,680
0.61%
0.56%
0.56%
2.61%
62%
7
$
10.69
(0.51)%
$
49,672
0.67%
0.60%
0.59%
2.04%
74%
$
11.06
(2.37)%
$
50,189
0.67%
0.60%
0.60%
2.56%
57%
$
11.76
0.81%
$
82,661
0.64%
0.60%
0.60%
2.36%
61%
$
12.16
28.51%
$
1,206
0.86%
0.81%
0.80%
2.03%
28%
$
9.71
(23.79)%
$
1,074
0.88%
0.81%
0.81%
2.61%
73%
$
13.08
24.67%
$
4,184
0.86%
0.81%
0.81%
2.17%
62%
7
$
10.66
(0.75)%
$
4,147
0.92%
0.85%
0.84%
1.82%
74%
$
11.03
(2.62)%
$
4,261
0.92%
0.85%
0.85%
2.25%
57%
$
11.73
0.51%
$
6,892
0.89%
0.85%
0.85%
2.04%
61%
$
12.10
28.73%
$
385,018
0.51%
0.46%
0.45%
2.42%
28%
$
9.72
(23.50)%
$
311,227
0.53%
0.46%
0.46%
3.23%
73%
$
13.10
25.13%
$
418,160
0.51%
0.46%
0.46%
2.89%
62%
7
$
10.67
(0.47)%
$
191,955
0.57%
0.50%
0.49%
2.16%
74%
$
11.05
(2.27)%
$
217,891
0.57%
0.50%
0.50%
2.54%
57%
$
11.75
0.90%
$
329,854
0.54%
0.50%
0.50%
2.44%
61%
$
9.35
15.22%
$
49,880
0.77%
0.72%
0.71%
2.89%
35%
$
8.49
(28.72)%
$
44,791
0.79%
0.71%
0.70%
3.69%
61%
$
12.20
17.26%
$
66,601
0.80%
0.72%
0.72%
2.68%
11
61%
7
$
10.57
10.94%
$
19,271
0.86%
0.75%
0.75%
1.48%
58%
$
9.75
(5.68)%
$
36,722
0.84%
0.75%
0.75%
2.51%
8
62%
$
10.58
(3.35)%
$
17,266
0.85%
0.74%
0.74%
2.01%
14
54%
$
9.43
15.09%
$
836
1.02%
0.97%
0.96%
2.69%
35%
$
8.51
(28.85)%
$
846
1.04%
0.96%
0.95%
2.87%
61%
$
12.22
16.96%
$
3,885
1.05%
0.96%
0.96%
2.56%
11
61%
7
$
10.60
10.65%
$
867
1.12%
1.00%
1.00%
1.47%
58%
$
9.77
(5.92)%
$
677
1.09%
1.00%
1.00%
1.64%
8
62%
$
10.57
(3.70)%
$
1,675
1.11%
1.00%
1.00%
1.63%
14
54%
$
9.35
15.37%
$
454,435
0.67%
0.62%
0.61%
2.98%
35%
$
8.49
(28.65)%
$
399,011
0.69%
0.61%
0.60%
3.74%
61%
$
12.20
17.32%
$
572,793
0.71%
0.63%
0.63%
2.44%
11
61%
7
$
10.58
11.03%
$
321,431
0.77%
0.65%
0.65%
1.82%
58%
$
9.76
(5.59)%
$
305,195
0.74%
0.65%
0.65%
2.32%
8
62%
$
10.59
(3.27)%
$
313,070
0.76%
0.65%
0.65%
2.07%
14
54%
82
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
19.08
0.15
1.62
1.77
(0.24)
(1.80)
(2.04)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.92
0.21
(3.67)
(3.46)
(0.13)
(4.25)
(4.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.47
0.10
6.30
6.40
(0.17)
(3.78)
(3.95)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.57
0.20
3.92
4.12
(0.25)
(1.97)
(2.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.99
0.26
8
(0.44)
(0.18)
(0.22)
(2.02)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
22.00
0.19
4.77
4.96
(0.21)
(1.76)
(1.97)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
19.07
0.13
1.62
1.75
(0.19)
(1.80)
(1.99)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.92
0.16
(3.70)
(3.54)
(0.06)
(4.25)
(4.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.46
0.04
6.31
6.35
(0.11)
(3.78)
(3.89)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.56
0.15
3.90
4.05
(0.18)
(1.97)
(2.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.96
0.21
8
(0.43)
(0.22)
(0.16)
(2.02)
(2.18)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.98
0.13
4.77
4.90
(0.16)
(1.76)
(1.92)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
19.00
0.16
1.61
1.77
(0.26)
(1.80)
(2.06)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
26.83
0.24
(3.67)
(3.43)
(0.15)
(4.25)
(4.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.40
0.13
6.28
6.41
(0.20)
(3.78)
(3.98)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.51
0.23
3.90
4.13
(0.27)
(1.97)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.94
0.29
8
(0.45)
(0.16)
(0.25)
(2.02)
(2.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.96
0.22
4.75
4.97
(0.23)
(1.76)
(1.99)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
15.88
0.12
6
1.28
1.40
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.93
0.12
9
(4.92)
(4.80)
(0.07)
(5.18)
(5.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.47
(0.00)
15
7.92
7.92
(0.15)
(1.31)
(1.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.09
1.56
1.65
(0.10)
(0.74)
(0.84)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.09
8
(3.83)
(3.74)
(0.04)
(4.70)
(4.74)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.83
0.05
14
4.58
4.63
(0.06)
(2.26)
(2.32)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
15.86
0.10
6
1.29
1.39
(0.05)
—
(0.05)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.91
0.07
9
(4.93)
(4.86)
(0.01)
(5.18)
(5.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.45
(0.07)
7.93
7.86
(0.09)
(1.31)
(1.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.04
1.56
1.60
(0.07)
(0.74)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.05
8
(3.83)
(3.78)
(0.00)
15
(4.70)
(4.70)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.82
(0.00)
14,15
4.58
4.58
—
(2.26)
(2.26)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
15.81
0.13
6
1.28
1.41
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
25.85
0.14
9
(4.91)
(4.77)
(0.09)
(5.18)
(5.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.41
0.03
7.89
7.92
(0.17)
(1.31)
(1.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.61
0.11
1.56
1.67
(0.13)
(0.74)
(0.87)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.10
0.13
8
(3.85)
(3.72)
(0.07)
(4.70)
(4.77)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.79
0.08
14
4.58
4.66
(0.09)
(2.26)
(2.35)
83
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
18.81
9.45%
$
392,605
0.43%
0.41%
0.40%
1.53%
45%
$
19.08
(16.71)%
$
412,574
0.42%
0.41%
0.40%
0.87%
84%
$
26.92
28.54%
$
794,698
0.42%
0.41%
0.40%
0.41%
102%
7
$
24.47
19.52%
$
616,263
0.42%
0.40%
0.40%
0.91%
75%
$
22.57
1.38%
$
678,252
0.41%
0.40%
0.40%
1.21%
8
61%
$
24.99
23.94%
$
986,458
0.40%
0.39%
0.39%
0.84%
66%
$
18.83
9.35%
$
59,763
0.68%
0.66%
0.65%
1.29%
45%
$
19.07
(16.97)%
$
52,860
0.67%
0.66%
0.65%
0.70%
84%
$
26.92
28.27%
$
58,376
0.67%
0.66%
0.65%
0.15%
102%
7
$
24.46
19.20%
$
46,797
0.67%
0.65%
0.65%
0.69%
75%
$
22.56
1.14%
$
67,654
0.66%
0.65%
0.65%
0.97%
8
61%
$
24.96
23.61%
$
77,381
0.65%
0.65%
0.65%
0.58%
66%
$
18.71
9.53%
$
232,806
0.33%
0.31%
0.30%
1.64%
45%
$
19.00
(16.64)%
$
226,855
0.32%
0.31%
0.30%
1.03%
84%
$
26.83
28.68%
$
307,619
0.31%
0.31%
0.30%
0.51%
102%
7
$
24.40
19.66%
$
116,264
0.32%
0.30%
0.30%
1.05%
75%
$
22.51
1.48%
$
202,063
0.31%
0.30%
0.30%
1.33%
8
61%
$
24.94
24.06%
$
101,971
0.30%
0.30%
0.30%
0.93%
66%
$
17.18
8.82%
$
148,761
0.70%
0.61%
0.60%
1.39%
6
21%
$
15.88
(23.61)%
$
152,563
0.68%
0.61%
0.60%
0.61%
9
74%
$
25.93
41.25%
$
210,181
0.67%
0.61%
0.60%
0.00%
103%
7
$
19.47
8.89%
$
160,586
0.67%
0.60%
0.60%
0.48%
86%
$
18.66
(10.90)%
$
201,555
0.66%
0.60%
0.60%
0.46%
8
79%
$
27.14
20.11%
$
346,665
0.63%
0.60%
0.60%
0.21%
14
73%
$
17.20
8.75%
$
4,041
0.95%
0.86%
0.85%
1.13%
6
21%
$
15.86
(23.83)%
$
4,488
0.93%
0.86%
0.85%
0.36%
9
74%
$
25.91
40.98%
$
5,908
0.92%
0.86%
0.85%
(0.28)%
103%
7
$
19.45
8.59%
$
3,761
0.92%
0.85%
0.85%
0.23%
86%
$
18.66
(11.09)%
$
4,395
0.91%
0.85%
0.85%
0.28%
8
79%
$
27.14
19.84%
$
2,835
0.85%
0.83%
0.83%
(0.02)%
14
73%
$
17.10
8.91%
$
30,869
0.60%
0.51%
0.50%
1.50%
6
21%
$
15.81
(23.56)%
$
43,555
0.58%
0.51%
0.50%
0.72%
9
74%
$
25.85
41.41%
$
61,524
0.57%
0.51%
0.50%
0.11%
103%
7
$
19.41
8.99%
$
42,453
0.57%
0.50%
0.50%
0.60%
86%
$
18.61
(10.80)%
$
54,417
0.56%
0.50%
0.50%
0.67%
8
79%
$
27.10
20.26%
$
21,162
0.53%
0.50%
0.50%
0.31%
14
73%
84
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.64
0.19
2.88
3.07
(0.43)
—
(0.43)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.11
0.40
(5.43)
(5.03)
(0.44)
—
(0.44)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.19
0.29
2.83
3.12
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.98
0.21
1.37
1.58
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.31
(0.87)
(0.56)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.50
0.29
0.37
0.66
(0.34)
—
(0.34)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.62
0.18
2.86
3.04
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.05
0.37
(5.45)
(5.08)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.14
0.23
2.85
3.08
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.94
0.18
1.35
1.53
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.77
0.27
(0.86)
(0.59)
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.46
0.26
0.36
0.62
(0.31)
—
(0.31)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
13.62
0.20
2.86
3.06
(0.44)
—
(0.44)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
19.08
0.42
(5.42)
(5.00)
(0.46)
—
(0.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.16
0.31
2.83
3.14
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.96
0.23
1.35
1.58
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.80
0.33
(0.87)
(0.54)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.49
0.32
0.35
0.67
(0.36)
—
(0.36)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
24.99
0.20
2.83
3.03
(0.35)
(2.22)
(2.57)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.60
0.38
(4.18)
(3.80)
(0.34)
(0.47)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.88
0.31
4.75
5.06
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.83
0.33
1.99
2.32
(0.26)
(0.01)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.18
0.34
1.62
1.96
(0.23)
(0.08)
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.23
0.30
3.10
3.40
(0.27)
(0.18)
(0.45)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
24.90
0.17
2.82
2.99
(0.26)
(2.22)
(2.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.50
0.29
(4.17)
(3.88)
(0.25)
(0.47)
(0.72)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.81
0.24
4.73
4.97
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.76
0.27
1.99
2.26
(0.20)
(0.01)
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.11
0.28
1.62
1.90
(0.17)
(0.08)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.18
0.25
3.09
3.34
(0.23)
(0.18)
(0.41)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
24.97
0.21
2.83
3.04
(0.37)
(2.22)
(2.59)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
29.57
0.40
(4.17)
(3.77)
(0.36)
(0.47)
(0.83)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.87
0.33
4.73
5.06
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.81
0.36
1.99
2.35
(0.28)
(0.01)
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.15
0.35
1.63
1.98
(0.24)
(0.08)
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.21
0.32
3.09
3.41
(0.29)
(0.18)
(0.47)
85
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
16.28
22.71%
$
175,201
0.62%
0.56%
0.55%
2.46%
34%
$
13.64
(27.03)%
$
158,014
0.63%
0.58%
0.57%
2.23%
77%
$
19.11
19.40%
$
332,293
0.60%
0.56%
0.55%
1.54%
84%
7
$
16.19
10.62%
$
256,067
0.60%
0.55%
0.55%
1.41%
72%
$
14.98
(3.26)%
$
270,031
0.61%
0.55%
0.55%
2.12%
70%
$
15.82
4.31%
$
348,643
0.60%
0.55%
0.55%
1.84%
65%
$
16.26
22.55%
$
40,961
0.87%
0.81%
0.80%
2.27%
34%
$
13.62
(27.23)%
$
33,996
0.89%
0.83%
0.82%
2.11%
77%
$
19.05
19.18%
$
68,275
0.85%
0.81%
0.80%
1.24%
84%
7
$
16.14
10.33%
$
60,332
0.86%
0.80%
0.80%
1.18%
72%
$
14.94
(3.51)%
$
36,694
0.86%
0.80%
0.80%
1.86%
70%
$
15.77
4.02%
$
40,452
0.85%
0.80%
0.80%
1.61%
65%
$
16.24
22.72%
$
144,475
0.52%
0.46%
0.45%
2.58%
34%
$
13.62
(26.95)%
$
127,615
0.54%
0.48%
0.47%
2.42%
77%
$
19.08
19.55%
$
200,637
0.50%
0.46%
0.45%
1.69%
84%
7
$
16.16
10.68%
$
114,949
0.50%
0.45%
0.45%
1.50%
72%
$
14.96
(3.15)%
$
129,267
0.51%
0.45%
0.45%
2.25%
70%
$
15.80
4.34%
$
63,978
0.50%
0.45%
0.45%
1.99%
65%
$
25.45
12.39%
$
2,591,206
0.41%
0.41%
0.40%
1.55%
15%
$
24.99
(13.40)%
$
2,734,495
0.38%
0.38%
0.37%
1.29%
28%
$
29.60
20.53%
$
3,903,177
0.37%
0.37%
0.37%
1.13%
17%
$
24.88
10.21%
$
4,248,841
0.40%
0.40%
0.40%
1.44%
35%
$
22.83
9.59%
$
3,262,596
0.39%
0.38%
0.38%
1.60%
20%
$
21.18
18.92%
$
1,502,430
0.39%
0.39%
0.39%
1.52%
18%
$
25.41
12.28%
$
268,878
0.66%
0.66%
0.65%
1.30%
15%
$
24.90
(13.66)%
$
296,466
0.66%
0.66%
0.65%
1.01%
28%
$
29.50
20.17%
$
432,165
0.66%
0.65%
0.65%
0.85%
17%
$
24.81
9.95%
$
463,060
0.66%
0.65%
0.65%
1.18%
35%
$
22.76
9.30%
$
389,897
0.66%
0.65%
0.65%
1.33%
20%
$
21.11
18.58%
$
309,274
0.65%
0.64%
0.64%
1.27%
18%
$
25.42
12.46%
$
1,011,677
0.31%
0.31%
0.30%
1.66%
15%
$
24.97
(13.31)%
$
913,045
0.31%
0.31%
0.30%
1.37%
28%
$
29.57
20.55%
$
1,344,591
0.31%
0.30%
0.30%
1.20%
17%
$
24.87
10.32%
$
1,377,116
0.31%
0.30%
0.30%
1.55%
35%
$
22.81
9.72%
$
1,275,970
0.31%
0.30%
0.30%
1.61%
20%
$
21.15
18.99%
$
309,211
0.30%
0.30%
0.30%
1.61%
18%
86
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
11.44
0.12
2.31
2.43
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.08
0.31
(3.57)
(3.26)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.29
1.86
2.15
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.23
0.20
13
0.43
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.34
(0.35)
(0.01)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.27
0.32
14
0.10
0.42
(0.29)
(0.02)
(0.31)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
11.84
0.11
2.40
2.51
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.60
0.28
(3.70)
(3.42)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.63
0.26
1.92
2.18
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.52
0.24
0.18
13
0.42
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.71
0.33
(0.36)
(0.03)
(0.16)
—
(0.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.58
0.26
14
0.14
0.40
(0.25)
(0.02)
(0.27)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
11.43
0.13
2.32
2.45
(0.27)
—
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
15.08
0.34
(3.59)
(3.25)
(0.40)
—
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.33
1.83
2.16
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.28
0.16
13
0.44
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.33
(0.33)
0.00
15
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.26
0.34
14
0.10
0.44
(0.30)
(0.02)
(0.32)
AQR
GLOBAL
EQUITY
FUND
CLASS
I
SIX
MONTHS
ENDED
MARCH
31,
2023
$
7.77
0.10
6
1.22
1.32
(0.11)
(0.25)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.45
0.15
(1.61)
(1.46)
(0.20)
(1.02)
(1.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.61
0.13
1.82
1.95
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.20
0.06
0.47
0.53
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.11
0.15
(0.72)
(0.57)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.89
0.13
0.54
0.67
(0.08)
(0.37)
(0.45)
AQR
GLOBAL
EQUITY
FUND
CLASS
N
SIX
MONTHS
ENDED
MARCH
31,
2023
$
7.66
0.08
6
1.21
1.29
(0.10)
(0.25)
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.32
0.12
(1.58)
(1.46)
(0.18)
(1.02)
(1.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.52
0.11
1.79
1.90
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.12
0.08
0.43
0.51
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.06
0.13
(0.73)
(0.60)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.84
0.09
0.55
0.64
(0.05)
(0.37)
(0.42)
AQR
GLOBAL
EQUITY
FUND
CLASS
R6
SIX
MONTHS
ENDED
MARCH
31,
2023
$
7.83
0.10
6
1.24
1.34
(0.13)
(0.25)
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2022
$
10.52
0.16
(1.62)
(1.46)
(0.21)
(1.02)
(1.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.67
0.14
1.84
1.98
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.27
0.12
0.41
0.53
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.19
0.14
(0.70)
(0.56)
(0.15)
(0.21)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.96
0.13
0.55
0.68
(0.08)
(0.37)
(0.45)
87
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
March
31,
2023
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
13.62
21.46%
$
115,550
0.64%
0.56%
0.55%
1.96%
10%
$
11.44
(22.21)%
$
99,478
0.65%
0.56%
0.55%
2.26%
34%
$
15.08
16.44%
$
117,803
0.63%
0.55%
0.55%
1.94%
30%
$
13.18
3.21%
$
131,283
0.64%
0.55%
0.55%
1.79%
27%
$
13.09
0.18%
$
202,228
0.64%
0.55%
0.55%
2.64%
24%
$
13.38
3.15%
$
173,932
0.63%
0.55%
0.55%
2.41%
14
21%
$
14.13
21.35%
$
7,015
0.89%
0.81%
0.80%
1.72%
10%
$
11.84
(22.47)%
$
6,027
0.89%
0.81%
0.80%
1.95%
34%
$
15.60
16.13%
$
9,129
0.88%
0.80%
0.80%
1.69%
30%
$
13.63
3.04%
$
9,541
0.90%
0.80%
0.80%
1.79%
27%
$
13.52
(0.10)%
$
7,221
0.89%
0.80%
0.80%
2.51%
24%
$
13.71
2.90%
$
4,266
0.88%
0.80%
0.80%
1.84%
14
21%
$
13.61
21.60%
$
165,822
0.54%
0.46%
0.45%
2.10%
10%
$
11.43
(22.19)%
$
129,578
0.55%
0.46%
0.45%
2.43%
34%
$
15.08
16.54%
$
144,117
0.54%
0.45%
0.45%
2.21%
30%
$
13.18
3.32%
$
65,720
0.55%
0.45%
0.45%
2.20%
27%
$
13.09
0.26%
$
31,493
0.54%
0.45%
0.45%
2.58%
24%
$
13.38
3.32%
$
28,741
0.53%
0.45%
0.45%
2.54%
14
21%
$
8.73
17.34%
$
7,949
0.83%
0.81%
0.80%
2.29%
6
55%
$
7.77
(16.48)%
$
6,796
0.82%
0.81%
0.80%
1.54%
123%
$
10.45
22.81%
$
16,256
0.82%
0.80%
0.80%
1.28%
95%
$
8.61
6.48%
$
15,876
0.82%
0.80%
0.80%
0.76%
94%
$
8.20
(5.78)%
$
187,408
0.81%
0.80%
0.80%
1.82%
122%
$
9.11
7.65%
$
198,954
0.82%
0.80%
0.80%
1.42%
87%
$
8.60
17.16%
$
6,495
1.08%
1.06%
1.05%
2.01%
6
55%
$
7.66
(16.70)%
$
5,811
1.07%
1.06%
1.05%
1.29%
123%
$
10.32
22.46%
$
7,706
1.07%
1.05%
1.05%
1.10%
95%
$
8.52
6.24%
$
5,126
1.07%
1.05%
1.05%
0.94%
94%
$
8.12
(6.17)%
$
4,573
1.06%
1.05%
1.05%
1.59%
122%
$
9.06
7.36%
$
2,120
1.07%
1.05%
1.05%
1.02%
87%
$
8.79
17.38%
$
295,001
0.73%
0.71%
0.70%
2.37%
6
55%
$
7.83
(16.38)%
$
260,152
0.72%
0.71%
0.70%
1.68%
123%
$
10.52
23.00%
$
306,332
0.72%
0.70%
0.70%
1.39%
95%
$
8.67
6.40%
$
290,082
0.72%
0.70%
0.70%
1.47%
94%
$
8.27
(5.67)%
$
106,872
0.72%
0.70%
0.70%
1.72%
122%
$
9.19
7.74%
$
173,425
0.72%
0.70%
0.70%
1.39%
87%
88
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
..............................................
$
0.02
0.14%
AQR
Small
Cap
Momentum
Style
Fund
..........................................
0.02
0.13
AQR
Global
Equity
Fund
.....................................................
0.01
0.14
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
-
Class
I
and R6
..................................
$
0.02
0.11%
AQR
Large
Cap
Multi-Style
Fund
-
Class
N
.......................................
0.02
0.12
AQR
Small
Cap
Multi-Style
Fund
-
Class
I,
N
and
R6
................................
0.02
0.15
AQR
Emerging
Multi-Style
II
Fund
-
Class
I,
N
and
R6
...............................
0.02
0.23
AQR
Large
Cap
Momentum
Style
Fund
-
Class
I,
N
and
R6
...........................
0.03
0.12
AQR
Small
Cap
Momentum
Style
Fund
-
Class
I,
N
and
R6
...........................
0.02
0.12
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
...............................................
$
0.02
0
.14%
AQR
Small
Cap
Momentum
Style
Fund
..........................................
0.05
0
.23
FUND
NET
INVESTMENT
INCOME
(LOSS)
PER
SHARE
NET
INVESTMENT
INCOME
(LOSS)
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
and
N
..................................
$
0
.01
0
.07%
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.01
0
.08
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
...............................................
$
0.03
0.16%
AQR
Emerging
Multi-Style
II
Fund
..............................................
0.03
0.25
*
Annualized
for
periods
less
than
one
year.
1
Per
share
net
investment
income
(loss)
and
net
realized
and
unrealized
gain
(loss)
are
based
on
average
shares
outstanding.
2
Includes
adjustments
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
and
as
such,
the
net
asset
value
for
financial
reporting
purposes
and
the
returns
based
upon
those
net
asset
values
may
differ
from
the
net
asset
value
and
returns
for
shareholder
transactions.
3
Total
investment
return
is
calculated
assuming
an
initial
investment
made
at
the
net
asset
value
at
the
beginning
of
the
period,
reinvestment
of
all
dividends
and
distributions
at
net
asset
value
during
the
period
and
redemption
on
the
last
day
of
the
period
and
is
not
annualized.
4
Ratios
do
not
include
the
impact
of
the
expenses
of
the
underlying
funds
in
which
the
Funds
invest.
5
Portfolio
turnover
rate
excludes
derivatives,
if
any,
and
is
not
annualized.
6
For
the
period
ended
March
31,
2023,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
7
Excludes
activity
related
to
Funds’
reorganizations.
8
For
the
period
ended
September
30,
2019,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
9
For
the
period
ended
September
30,
2022,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
10
For
the
period
ended
September
30,
2021,
the
AQR
Small
Cap
Multi-Style
Fund
incurred
expenses
related
to
the
Fund's
closing
agreement
with
the
U.S.
Internal
Revenue
Service
(“IRS”)
and
reimbursement
related
to
such
closing
agreement.
Without
these
costs
and
reimbursement,
the
Net
Investment
Income
(Loss)
Per
Share
and
Net
Investment
Income
(Loss)
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
11
For
the
period
ended
September
30,
2021,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
89
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
March
2023
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
March
31,
2023
(Unaudited)
FUND
Expenses,
Before
Reimbursements
and/or
Waivers
Expenses,
Net
of
Reimbursements
and/or
Waivers
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
and
N
..................................
0.11%
0.11%
AQR
Small
Cap
Multi-Style
Fund
– Class
R6
.....................................
0.12
0.12
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Emerging
Multi-Style
II
Fund
..............................................
$
0.01
0.11%
AQR
Small
Cap
Momentum
Style
Fund
..........................................
0.02
0.09
AQR
International
Defensive
Style
Fund
.........................................
0.04
0.27
12
For
the
period
ended
September
30,
2021,
the
AQR
Small
Cap
Multi-Style
Fund
incurred
expenses
related
to
the
Fund's
closing
agreement
with
the
IRS.
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
and
Expenses,
Net
of
Reimbursements
and/or
Waivers
of
each
class
would
have
been
reduced
by
the
percentages
shown
below:
13
The
amount
shown
for
a
share
outstanding
throughout
the
period
is
not
indicative
of
the
aggregate
net
realized
and
unrealized
gain
(loss)
for
that
period
because
of
the
timing
of
sales
and
repurchases
of
the
Fund
shares
in
relation
to
fluctuating
market
value
of
the
investments
in
the
Fund.
14
For
the
period
ended
September
30,
2018,
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received,
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
of
each
class
would
have
been
reduced
by
the
amounts
and
percentages
shown
below:
15
Amount
is
less
than
$.005
per
share.
90
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
1.
Organization
AQR
Funds
(the
“Trust”),
was
organized
as
a
Delaware
statutory
trust
on
September
4,
2008.
The
Trust
is
an
open-end
management
investment
company,
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”).
As
of
March
31,
2023,
the
Trust
consists
of
twenty-two
active
series, ten
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund
and
AQR
Global
Equity
Fund.
The
remaining
active
series
are
reported
in
a
separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
investment
objective
of
the
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Global
Equity
Fund
and AQR
Emerging
Multi-Style
II
Fund is
to
seek
long-term
capital
appreciation.
The
investment
objective
of
the
AQR
Large
Cap
Defensive
Style
Fund
and
AQR
International
Defensive
Style
Fund
is
to
seek
total
return.
Each
Fund
offers
Class
I,
Class
N
and
Class
R6
shares.
2.
Significant
Accounting
Policies
Basis
of
Preparation:
The
Funds
are
investment
companies
and
apply
specialized
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standard
Codification
Topic
946
Financial
Services—Investment
Companies
.
The
accounting
policies
are
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(“GAAP”).
Use
of
Estimates:
The
preparation
of
the
financial
statements
in
conformity
with
GAAP
requires
the
Adviser
to
make
estimates
and
assumptions
that
affect
the
fair
value
of
investments,
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities,
if
any,
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
increases
and
decreases
in
net
assets
from
operations
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates
and
such
differences
could
be
material.
Valuation
of
Investments:
All
securities
and
other
investments
are
recorded
at
their
estimated
fair
value,
as
described
in
Note
4.
Cash:
Cash
comprises
U.S.
dollar
and
foreign
currency
deposits
held
at
a
custodian
bank(s)
which
may
exceed
insured
limits.
The
Funds
are
subject
to
risk
to
the
extent
that
the
institutions
may
be
unable
to
fulfill
their
obligations.
Due
to/from
Brokers:
Due
to/from
brokers
represents
cash
balances
on
deposit
with,
or
cash
balances
owed
to,
the
Funds’
prime
brokers
and
counterparties.
The
Funds
are
subject
to
credit
risk
should
the
prime
brokers
and
counterparties
be
unable
to
meet
their
obligations
to
the
Funds.
Foreign
Currency
Translation:
The
books
and
records
of
the
Funds
are
maintained
in
U.S.
dollars.
Foreign
denominated
assets
and
liabilities
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
at
the
valuation
date.
Transactions
denominated
in
foreign
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
the
transaction.
The
Funds’
income
earned
and
expense
incurred
in
foreign
denominated
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
such
activity.
The
Funds
do
not
separately
disclose
that
portion
of
the
results
of
operations
arising
from
changes
in
the
foreign
exchange
rates
on
investments
and
derivatives
from
the
fluctuations
that
result
from
changes
in
the
market
prices
of
investments
and
derivatives
held
or
sold
during
the
period.
Accordingly,
such
foreign
currency
gains
(losses)
are
included
in
the
reported
net
realized
gain
(loss)
from
transactions
in
investment
securities
and
derivatives
and
net
change
in
unrealized
appreciation
(depreciation)
on
investment
securities
and
derivatives
on
the
Statements
of
Operations.
Realized
gains
(losses)
from
settlement
of
foreign
currency
and
foreign
currency
transactions
reported
on
the
Statements
of
Operations
arise
from
the
disposition
of
foreign
currency
and
a
change
between
the
amounts
of
dividends,
interest
and
foreign
withholding
taxes
recorded
on
the
Funds’
books
on
the
transaction
date
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Changes
in
unrealized
appreciation
(depreciation)
on
foreign
currency
and
foreign
currency
translations
reported
on
the
Statements
of
Operations
arise
from
changes
(due
to
the
changes
in
the
exchange
rate)
in
the
value
of
foreign
currency
and
assets
and
liabilities
(other
than
investments)
denominated
in
foreign
currencies,
which
are
held
at
period
end.
Investment
Transactions
and
Related
Income:
Investment
transactions
are
accounted
for
on
trade
date
(the
date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
investment
transactions
are
calculated
on
a
specifically
identified
cost
basis.
Interest
income
is
recorded
on
an
accrual
basis
using
the
effective
interest
method,
which
results
in
coupon
interest
being
adjusted
for
amortization
of
premiums
and
accretion
of
discounts,
when
applicable.
Non-cash
dividends
included
in
dividend
income,
if
any,
are
recorded
at
the
fair
value
of
the
securities
received.
The
Funds
record
distributions
received
in
excess
of
income
from
underlying
investments,
such
as
real
estate
investment
trusts,
as
a
reduction
of
cost
of
investments
and/or
realized
gain.
Such
amounts
are
based
on
estimates
(if
actual
amounts
are
not
available)
and
actual
amounts
of
income,
realized
gain
and
return
of
capital
may
differ
from
the
estimated
amounts.
The
Funds
adjust
the
estimated
amounts
of
components
of
distributions
(and
consequently
net
investment
income)
as
necessary
once
the
issuers
provide
information
about
the
actual
composition
of
the
distributions.
91
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
Funds
may
be
subject
to
foreign
taxes
on
income,
capital
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
Dividend
income
(expense)
net
of
foreign
taxes
withheld,
if
any,
is
recorded
on
the
ex-dividend
date
or
when
the
Fund
first
learns
of
the
ex-dividend
date
dividend
notification.
The
Funds
may
file
withholding
tax
reclaims
in
certain
jurisdictions
to
recover
a
portion
of
amounts
withheld.
Income
recognized,
if
any,
for
these
reclaims
is
reflected
as
dividend
income
in
the
Statements
of
Operations.
Additionally,
there
may
be
reclaims
that
include amounts
withheld
in
prior
years,
which
may
be
reclaimable
based
upon
certain
provisions
in
the
Treaty
on
the
Functioning
of
the
European
Union
(“EU”)
and
subsequent
rulings
by
the
European
Court
of
Justice
(“ECJ”).
Income
recognized
related
to
EU
reclaims
pursuant
to
the
ECJ
rulings
are
reflected
as
European
Union
tax
reclaims
on
the
Statements
of
Operations,
if
material.
These
reclaims
are
recorded
when
the
amount
is
known
and
there
are
no
significant
uncertainties
on
collectability.
Expenses
incurred
related
to
EU
reclaims
that
are
contingent
upon
successful
receipt
of
EU
reclaims
are
reflected
in
European
Union
tax
reclaim
fees
in
the
Statements
of
Operations,
if
material.
Multi-class
Operations:
Each
class
of
shares
offered
by
the
Trust
has
equal
rights
as
to
earnings,
assets
and
voting
privileges,
except
that
each
class
may
bear
different
sub-transfer
agency
and
distribution
fees,
and
shareholders
of
a
class
have
exclusive
voting
rights
regarding
any
matter
relating
solely
to
that
class
of
shares.
Income,
non-class
specific
expenses,
and
realized
gain
(loss)
and
change
in
unrealized
appreciation
(depreciation)
are
allocated
daily
to
each
class
of
shares
based
upon
the
proportion
of
relative
net
assets
at
the
beginning
of
each
day.
The
Funds
are
charged
for
those
expenses
that
are
directly
attributable
to
each
Fund.
Trust
level
expenses
are
allocated
among
the
Funds
based
on
the
ratio
of
average
net
assets
or
other
reasonable
methodology.
Certain
Funds
may
invest
in
other
investment
companies,
including
affiliated
funds,
and,
as
a
result,
indirectly
bear
a
portion
of
the
advisory
and
operating
expenses
incurred
by
these
entities.
Such
expenses
are
not
reflected
in
the
expenses
shown
on
the
Statements
of
Operations
and
are
not
included
in
the
ratios
to
average
net
assets
shown
on
the
Financial
Highlights.
Federal
Income
Taxes:
Each
Fund
is
treated
as
a
separate
taxable
entity
for
federal
income
tax
purposes.
Each
Fund
intends
to
qualify
as
a
“Regulated
Investment
Company”
("RIC")
under
Subchapter
M
of
the
Internal
Revenue
Code
of
1986,
as
amended
(the
“Code”).
If
so
qualified,
each
Fund
will
not
be
subject
to
federal
income
tax
to
the
extent
it
distributes
substantially
all
of
its
net
investment
income
and
capital
gains
to
shareholders.
Accordingly,
no
provision
for
Federal
income
tax
is
necessary.
The
Adviser
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
Funds’
tax
returns
to
determine
whether
the
tax
positions
are
“more-likely-than-not”
to
be
sustained
if
challenged
by
the
applicable
tax
authority.
Tax
positions
deemed
to
meet
the more-likely-than-
not
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
The
Funds
are
required
to
analyze
all
open
tax
years.
Open
tax
years
are
those
years
that
are
open
for
examination
by
the
relevant
income
taxing
authority.
The
Funds
have
determined
that
there
is
no
tax
liability/benefit
resulting
from
uncertain
income
tax
positions
taken
or
expected
to
be
taken
for
any
of
the
Funds'
open
tax
years.
The
Funds
are
not
aware
of
any
tax
positions
for
which
it
is
reasonably
possible
that
the
total
amounts
of
unrecognized
tax
expense/benefit
will
materially
change
in
the
next
twelve
months.
The
returns
of
the
Funds
for
the
prior
three
fiscal
years
as
well
as
current
year,
or
since
inception
if
shorter,
are
open
for
examination. As
of
March
31,
2023,
the
Funds
had
no
examinations
in
progress.
In
2023,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
and
AQR
International
Defensive
Style
Fund
incurred
an
excise
tax
liability
of
$6,868,
$45,485
and
$7,294,
respectively,
relating
to
the
tax
year
2022.
Distributions
to
Shareholders:
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
The
Funds
intend
to
declare
and
distribute
substantially
all
of
their
net
investment
income
and
net
realized
capital
gains,
if
any,
at
least
annually.
Income
and
capital
gain
distributions
will
be
determined
in
accordance
with
federal
income
tax
regulations
which
may
differ
from
GAAP.
Differences
may
be
permanent
or
temporary.
Permanent
differences
are
reclassified
among
capital
accounts
in
the
financial
statements
to
reflect
their
tax
character.
Temporary
differences
arise
when
certain
items
of
income,
expense,
gain,
or
loss
are
recognized
in
different
periods
for
financial
statement
and
tax
purposes.
These
differences
will
reverse
at
some
time
in
the
future.
Differences
in
classification
may
also
result
from
the
treatment
of
short-term
gains
as
ordinary
income
for
tax
purposes.
As
a
result,
income,
dividends
and
capital
gain
distributions
declared
during
a
fiscal
period
may
differ
significantly
from
the
net
investment
income
(loss)
and
realized
gain
(loss)
reported
on
the
Funds’
financial
statements
presented
under
GAAP.
The
Funds
utilize
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
Fund
shares
as
part
of
the
dividends
paid
deduction. Distributions
classified
as
a
tax
basis
return
of
capital,
if
any,
are
reflected
on
the
Statements
of
Changes
in
Net
Assets
and
have
been
recorded
to
paid
in
capital.
Indemnification:
In
the
normal
course
of
business,
the
Funds
may
enter
into
various
agreements
that
provide
for
general
indemnifications.
The
Funds’
maximum
exposure
under
these
arrangements
is
unknown
as
any
potential
exposure
involves
future
claims
that
may
be
made
against
the
Funds.
However,
based
on
experience,
the
Funds
expect
the
risk
of
loss
to
be
remote.
3.
Securities
and
Other
Investments
Affiliate
Investments:
Certain
investments
may
be
classified
as
an
affiliate
or
a
controlled
affiliate
of
the
Funds
on
the
Schedule
of
Investments.
Section
2a-3
of
the
1940
Act
defines
an
affiliate
as,
among
other
things,
a
company
in
which
a
Fund
owns
at
least
5%
of
the
outstanding
voting
securities or
an
issuer
which
is
under
common
control
with
another
fund
or
Trust.
Further,
pursuant
to
the
1940
Act,
control
is
presumed
to
exist
when,
among
other
things,
a
Fund
owns
more
than
25%
of
the
outstanding
voting
securities
of
a
portfolio
company.
92
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
Additionally,
certain
Funds
may
invest
in
the
Limited
Purpose
Cash
Investment
Fund
(the
“LPCI
Fund”),
which
is
managed
by
UBS
Asset
Management
(Americas)
Inc.
The
LPCI
Fund
is
a
registered
investment
company
under
the
1940
Act
and
is
subject
to
the
money
market
regulations
as
prescribed
in
Rule
2a-7
of
the
1940
Act.
Pursuant
to
the
LPCI
Fund’s
eligibility
requirements,
shares
of
the
LPCI
Fund
are
only
available
for
sale
to
the
Adviser
and
funds
advised
by
the
Adviser.
The
LPCI
Fund
may
be
considered
an
affiliated issuer
of
some
of
the
Funds
in
the
Trust
based
upon
ownership
of
the
outstanding
voting
securities.
However,
the
Funds
do
not
invest
in
the
LPCI
Fund
for
the
purpose
of
exercising
significant
influence
over
its
management,
board
or
policies.
A
summary
of
transactions
with
each
affiliated issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
Futures
Contracts:
Certain
Funds
invest
in
futures
contracts
as
part
of
their
primary
investment
strategy
and
to
equitize
its
cash
flows.
Investments
in
futures
may
increase
or
decrease
exposure
to
a
particular
market.
In
the
event
of
a
bankruptcy
or
insolvency
of
a
futures
commission
merchant
that
holds
margin
on
behalf
of
the
Funds,
the
Funds
may
not
receive
the
return
of
the
entire
margin
owed
to
the
Funds,
potentially
resulting
in
a
loss.
A
change
in
market
value
of
an
open
futures
contract
is
recorded
in
the
Statements
of
Operations
as
net
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts.
A
realized
gain
(loss)
represents
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed
or
expired,
and
is
reported
in
the
Statements
of
Operations.
The
use
of
long
futures
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
variation
margin
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
futures
contracts
subjects
the
Funds
to
unlimited
risk
of
loss.
Futures
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Forward
Foreign
Currency
Exchange
Contracts:
Certain
Funds
buy
and
sell
forward
foreign
currency
exchange
contracts,
which
are
agreements
between
two
parties
to
buy
and
sell
currencies
at
a
set
price
on
a
future
date.
These
contracts
are
used
to
protect
against
a
decline
in
value
relative
to
the
U.S.
dollar
of
the
currencies
in
which
portfolio
securities
are
denominated
or
quoted
(or
an
increase
in
the
value
of
a
currency
in
which
securities
that
a
Fund
intends
to
buy
are
denominated,
when
a
Fund
holds
cash
reserves
and
short
term
investments),
or
for
other
investment
purposes.
The
market
value
of
the
contract
will
fluctuate
with
changes
in
currency
exchange
rates.
The
contract
is
marked
to
market
daily
and
the
change
in
market
value
is
recorded
as
net
change
in
unrealized
appreciation
(depreciation)
on
forward
foreign
currency
exchange
contracts.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
(loss)
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
Funds
could
be
exposed
to
risk
if
the
value
of
the
currency
changes
unfavorably,
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
Funds
are
unable
to
enter
into
a
closing
position.
Risks
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
Non-deliverable
forward
foreign
currency
exchange
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Forward
foreign
currency
exchange
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Swap
Contracts:
Certain
Funds
engage
in
various
swap
transactions
to
manage
risks
within
their
portfolios
or
as
alternatives
to
direct
investments.
Swap
transactions
may
be
privately
negotiated
in
the
over-the-counter
(“OTC”)
market
where
payments
are
settled
through
direct
payments
between
a
Fund
and
the
counterparty.
By
contrast,
certain
swap
transactions
are
subject
to
mandatory
central
clearing
(“centrally
cleared
swaps”).
These
swaps
are
executed
through
a
derivatives
clearing
member
(“DCM”),
acting
in
an
agency
capacity,
and
submitted
to
a
central
counterparty
(“CCP”),
in
which
case
all
payments
are
settled
with
the
CCP
through
the
DCM.
For
centrally
cleared
swaps,
the
Schedules
of
Investments
include
the
cumulative
appreciation
(depreciation),
while
only
the
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
For
credit
default
and
interest
rate
swap contracts,
an
upfront
payment
received
by
a
Fund
is
recorded
as
a
liability
and
an
upfront
payment
made
by
a
Fund
is
recorded
as
an
asset
on
the
Fund’s
Statement
of
Assets
and
Liabilities.
Upfront
payments
are
amortized
over
the
term
of
the
contract.
If
there
is
no
upfront
payment
or
receipt,
market
value
will
equal
unrealized
appreciation
(depreciation).
Payments
received
(paid)
by
a
Fund
are
recorded
as
realized
gains
(losses)
from
the
expiration
at
a
periodic
reset
date
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
use
of
swap
contracts
creates
additional
risks
beyond
those
that
would
exist
if
the
Funds
invested
in
the
underlying
positions
directly.
Total
Return
Swap
Contracts:
Certain
Funds
invest
in
total
return
swaps
to
obtain
exposure
to
the
underlying
referenced
instruments,
obtain
leverage
or
attain
the
returns
from
ownership
without
actually
owning
the
underlying
position.
Total
return
swaps
are
two-party
contracts
that
generally
obligate
one
party
to
pay
the
positive
return
and
the
other
party
to
pay
the
negative
return
on
a
specified
reference
security,
security
index
or
index
component
during
the
period
of
the
swap.
Total
return
swap
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
recorded
as
net
change
in
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Total
return
swaps
normally
do
not
involve
the
delivery
of
securities
or
other
underlying
assets.
If
the
counterparty
to
a
total
return
swap
contract
defaults,
a
Fund’s
risk
of
loss
consists
of
the
net
amount
of
payments
the
Fund
is
contractually
entitled
to
receive,
if
any.
The
use
of
long
total
return
swap
contracts
subject
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
total
return
swaps
subject
the
Funds
to
potential
unlimited
loss.
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
from
the
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
(i)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
(ii)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
93
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
options
or
short
sales
of
securities
between
certain
Funds
and
selected
counterparties.
These
arrangements
provide
financing
terms
for
such
transactions
and
include
guidelines
surrounding
the
rights,
obligations,
and
other
events,
including,
but
not
limited
to,
margin,
execution,
and
settlement.
These
agreements
maintain
provisions
for
payments,
maintenance
of
collateral,
events
of
default,
and
termination.
Margin
and
other
assets
delivered
as
collateral
are
typically
held
by
the
prime
broker
and
offset
any
obligations
due
to
the
prime
broker.
Customer
Account
Agreements
govern
cleared
derivatives
transactions
and
exchange-traded
futures
and
options
transactions.
Upon
entering
into
an
exchange-traded
or
centrally
cleared
derivative
contract,
the
Funds
are
required
to
deposit
with
the
relevant
clearing
organization
cash
or
securities,
which
are
referred
to
as
the
initial
margin.
Securities
deposited
as
initial
margin
are
designated
on
the
Schedules
of
Investments
and
cash
deposited
is
recorded
as
deposits
with
brokers
for
centrally
cleared
swaps
and
deposits
with
brokers
for
futures
contracts
on
the
Statements
of
Assets
and
Liabilities.
For
exchange-traded
futures
or
centrally
cleared
swaps,
initial
margin
is
posted,
and
daily
changes
in
fair
value
are
recorded
as
a
payable
or
receivable
on
the
Statements
of
Assets
and
Liabilities
as
variation
margin
on
centrally
cleared
swaps
and
variation
margin
on
futures
contracts.
Variation
margin
is
determined
separately
for
exchange-traded
futures
and
centrally
cleared
swaps
and
cannot
be
netted.
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
and
Credit
Support
Annexes
(“ISDA
Master
Agreements”)
govern
OTC
derivative
transactions
entered
into
between
certain
Funds
and
a
counterparty.
ISDA
Master
Agreements
maintain
provisions
for
general
obligations,
representations,
netting
of
settlement
payments,
agreements
to
deliver
supporting
documents,
collateral
transfer
and
events
of
default
or
termination.
Events
of
termination
include
a
decline
in
the
Fund’s
net
assets
below
a
specified
threshold
over
a
certain
period
of
time
or
a
decline
in
the
counterparty’s
long-term
and
short-term
credit
ratings
below
a
specified
level.
In
each
case,
upon
occurrence,
the
other
party
may
elect
to
terminate
early
and
cause
settlement
of
all
OTC
contracts
outstanding,
including
the
payment
of
any
losses
and
costs
resulting
from
such
early
termination,
as
reasonably
determined
by
the
terminating
party.
Any
decision
by
a
party
to
elect
early
termination
could
be
material
to
the
financial
statements
and
impact
a
Fund’s
future
derivative
activity.
Collateral
pledged
by
a
Fund
for
OTC
derivatives
pursuant
to
a
Master
Agreement
is
segregated
by
the
Fund’s
custodian
and
identified
as
an
asset
in
the
Statements
of
Assets
and
Liabilities
either
as
a
component
of
investments
in
securities,
at
value
(securities)
or
in
due
from
brokers
(cash).
Collateral
and
margin
requirements
differ
according
to
the
terms
of
each
type
of
Master
Agreement.
Collateral
is
routinely
transferred
if
the
total
net
exposure
net
of
existing
collateral
already
in
place
governed
under
the
relevant
Master
Agreement
with
a
counterparty
in
a
given
account
exceeds
a
specified
threshold.
Collateral
can
be
in
the
form
of
cash,
debt
securities
issued
by
the
U.S.
government,
money
market
funds
and
other
securities
as
agreed
to
by
the
Fund
and
the
applicable
counterparty,
or
as
permitted
by
the
clearing
house
or
exchange.
Collateral
posted
for
the
benefit
of
a
Fund
pursuant
to
a
Master
Agreement
is
held
by
a
custodian
of
the
Fund.
Amounts
which
can
be
invested
or
repledged,
are
presented
in
the
Fund’s
Schedule
of
Investments.
Segregation
of
a
Fund’s
collateral
in
the
custodian
account
helps
mitigate
counterparty
risk.
Collateral
received
is
reflected
as
a
liability
within
due
to
brokers
in
the
Statements
of
Assets
and
Liabilities.
As
governed
by
the
relevant
Master
Agreements,
interest
expense
may
be
incurred
if
a
counterparty
charges
the
Fund
interest
on
collateral
posted
directly
to
a
Fund’s
custodian
account.
For
financial
reporting
purposes,
the
Funds
do
not
offset
derivative
assets
and
derivative
liabilities
subject
to
master
netting
agreements
on
the
Statements
of
Assets
and
Liabilities.
4.
Investment
Valuation
and
Fair
Value
Measurements
Investment
Valuation
Policies:
The
Net
Asset
Value
(“NAV”)
of
the
Funds’
shares
are
valued
as
of
the
close
of
regular
trading
on
the
New
York
Stock
Exchange
(“NYSE”)
(normally
4:00
p.m.
Eastern
time)
on
each
day
that
the
NYSE
is
open
(each
a
“Business
Day”).
The
NAV
per
share
of
each
class
within
each
Fund
is
computed
by
dividing
the
total
current
value
of
the
assets
of
such
Fund
attributable
to
a
class,
less
class
liabilities,
by
the
total
number
of
shares
of
that
class
of
the
Fund
outstanding
at
the
time
the
computation
is
made.
GAAP
defines
fair
value
as
the
price
the
Funds
would
receive
to
sell
an
asset
or
pay
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
For
purposes
of
calculating
the
NAV,
portfolio
securities
and
other
financial
derivative
instruments
are
valued
on
each
Business
Day
using
valuation
methods
as
adopted
by
the
Funds’
Board
of
Trustees
(the
“Board”).
In accordance
with
Rule
2a-5
under
the
1940
Act,
the
Board
has
designated
the
Adviser
as
the
Valuation
Designee
for
the
Funds
to
perform
fair
value
determinations.
The
Valuation
Designee
has
established
a
Valuation
Committee
to
assist
with
oversight
and
monitoring
of
the
valuation
of
the
Funds’
investments.
This
includes
administering,
implementing
and
overseeing
the
continual
appropriateness
of
valuation
approaches
applied
and
the
determination
of
adjustments
to
the
fair
valuation
of
portfolio
securities
and
other
financial
derivative
instruments
in
good
faith
after
consideration
of
market
factor
changes
and
events
affecting
issuers.
Where
market
quotes
are
readily
available,
fair
market
value
is
generally
determined
on
the
basis
of
official
closing
prices
or
the
last
reported
sales
prices,
or
if
no
sales
are
reported,
based
on
quotes
obtained
from
pricing
services
or
established
market
makers.
Where
market
quotations
are
not
readily
available,
or
if
an
available
market
quotation
is
determined
not
to
reflect
fair
value,
securities
or
financial
derivatives
are
valued
at
fair
value,
as
determined
in
good
faith
by
the Valuation
Committee
in
accordance
with
the
valuation
procedures
approved
by
the
Funds’
Board.
Using
fair
value
to
price
a
security
may
require
subjective
determinations
about
the
value
of
a
security
that
could
result
in
a
value
that
is
different
from
a
security’s
most
recent
closing
price
and
from
the
prices
used
by
other
mutual
funds
to
calculate
their
net
assets.
It
is
possible
the
estimated
values
may
differ
significantly
from
the
values
which
would
have
been
used
had
an
active
ready
market
for
the
investments
existed.
These
differences
could
be
material.
94
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
Fair
Value
Hierarchy:
Various
inputs
are
utilized
in
determining
the
value
of
each
Fund’s
investments.
GAAP
establishes
a
hierarchy
for
inputs
used
in
measuring
fair
value
that
maximizes
the
use
of
observable
inputs
and
minimizes
the
use
of
unobservable
inputs
by
requiring
the
most
observable
inputs
be
used
when
available.
These
inputs
are
summarized
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
Valuation
Techniques:
The
following
inputs
and
techniques
may
be
used
by
the
Funds
to
evaluate
how
to
classify
each
major
category
of
assets
and
liabilities
into
the
appropriate
fair
value
hierarchy
in
accordance
with
GAAP.
Equity
securities,
including
securities
sold
short,
rights,
exchange
options,
warrants,
Exchange-Traded
Funds
(“ETFs”)
and
closed-end
investment
companies,
are
valued
at
the
last
quoted
sales
prices
or
official
closing
prices
taken
from
the
primary
market,
or
composite
in
which
each
security
trades
and
are
therefore
classified
Level
1.
Investments
in
mutual
funds
are
valued
daily
at
their
NAVs
which
are
also
classified
as
Level
1.
An
equity
for
which
no
sales
are
reported,
as
in
the
case
of
a
security
that
is
traded
in
the
over-the-counter
market
or
a
less
liquid
listed
equity,
is
valued
at
its
last
bid
price
(in
the
case
of
short
sales,
at
the
ask
price)
and
is
therefore
classified
Level
2.
In
addition,
equities
traded
outside
of
the
Western
Hemisphere,
or
in
foreign
markets
that
close
at
4:00
p.m.
Eastern
time
where
the
market
is
closed
due
to
a
holiday,
are
classified
Level
2
because
they
are
fair
valued
daily
based
on
the
application
of
a
fair
value
factor
(unless
the
Adviser
determines
that
use
of
another
valuation
methodology
is
appropriate).
The
Funds
apply
daily
fair
value
factors,
furnished
by
an
independent
pricing
service,
to
account
for
the
market
movement
between
the
close
of
the
foreign
market
and
the
close
of
the
NYSE.
The
pricing
service
uses
statistical
analysis
and
quantitative
models
to
adjust
local
market
prices
using
factors
such
as
subsequent
movement
and
changes
in
the
prices
of
indices,
American
Depositary
Receipts,
futures
contracts
and
exchange
rates
in
other
markets
in
determining
fair
value
as
of
the
time
a
Fund
calculates
its
net
asset
value.
Investments
classified
within
Level
3
have
significant
unobservable
inputs,
as
they
trade
infrequently
or
not
at
all.
Level
3
instruments
include
illiquid
securities.
When
observable
prices
are
not
available
for
these
securities,
the
Funds
may
use
one
or
more
valuation
approaches
(e.g.,
the
market
approach,
the
income
approach,
or
the
cost
approach),
including
proprietary
models
for
which
sufficient
and
reliable
data
is
available.
Within
Level
3,
the
market
approach
generally
is
based
on
the
technique
of
using
comparable
market
transactions,
while
the
use
of
the
income
approach
includes
the
estimation
of
future
cash
flows
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
durations
of
any
restrictions
on
the
disposition
of
the
investment
or
adjusted
as
appropriate
for
credit,
market,
and/or
other
risk
factors.
The
inputs
used
by
the
Funds
in
estimating
the
value
of
Level
3
investments
include
the
original
transaction
price,
recent
transactions
in
the
same
or
similar
instruments,
completed
or
pending
third-party
transactions
in
the
underlying
investment
or
comparable
issuers,
subsequent
rounds
of
financing,
recapitalizations
and
other
transactions
across
the
capital
structure,
offerings
in
the
equity
or
debt
capital
markets,
changes
in
financial
ratios
or
cash
flows,
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
underlying
collateral,
and
other
unique
security
features.
Level
3
investments
may
also
be
adjusted
to
reflect
illiquidity
and/or
non-transferability,
with
the
amount
of
such
discount
estimated
by
the
Adviser
in
the
absence
of
market
information.
Assumptions
used
by
the
Funds
due
to
the
lack
of
observable
inputs
may
significantly
impact
the
fair
value
of
the
investment.
Exchange-traded
derivatives,
such
as
futures
contracts
and
exchange-traded
option
contracts,
are
typically
classified
within
Level
1
or
Level
2
of
the
fair
value
hierarchy
depending
on
whether
or
not
they
are
deemed
to
be
actively
traded.
Futures
and
option
contracts
that
are
listed
on
national
exchanges
and
are
freely
transferable
are
valued
at
fair
value
based
on
their
last
sales
price
on
the
date
of
determination
on
the
exchange
that
constitutes
the
principal
market.
For
option
contracts,
if
no
sales
occurred
on
such
date,
the
contracts
will
be
valued
at
the
mid
price
on
such
exchange
at
the
close
of
business
on
such
date.
Centrally
cleared
swaps
listed
or
traded
on
a
multilateral
trade
facility
platform,
such
as
a
registered
exchange,
are
valued
on
a daily
basis
using
quotations
provided
by
an
independent
pricing
service.
OTC
derivatives,
including
forward
contracts
and
swap
contracts,
are
valued
by
the
Funds
on
a
daily
basis
using
observable
inputs,
such
as
quotations
provided
by
an
independent
pricing
service,
the
counterparty,
dealers
or
brokers,
whenever
available
and
considered
reliable.
95
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
value
of
each
total
return
swap
contract
and
total
return
basket
swap
contract
is
derived
from
a
combination
of
(i)
the
net
value
of
the
underlying
positions,
which
are
valued
daily
using
the
last
sale
or
closing
price
on
the
principal
exchange
on
which
the
securities
are
traded;
(ii)
financing
costs;
(iii)
the
value
of
dividends
or
accrued
interest;
(iv)
cash
balances
within
the
swap;
and
(v)
other
factors,
as
applicable.
The
U.S.
dollar
value
of
forward
foreign
currency
exchange
contracts
is
determined
using
current
forward
currency
exchange
rates
supplied
by
an
independent
pricing
service.
Generally,
a
valuation
model
is
used
consistently
for
similar
derivative
types.
In
instances
where
models
are
used,
the
value
of
an
OTC
derivative
depends
upon
the
contractual
terms
of,
and
specific
risks
inherent
in,
the
instrument
as
well
as
the
availability
and
reliability
of
observable
inputs.
Such
inputs
typically
may
include
market
prices
for
reference
securities,
yield
curves,
credit
spreads,
measures
of
volatility,
prepayment
rates
and
implied
correlations
of
such
inputs
which
are
obtained
from
outside
brokers
and/or
pricing
services
when
available.
Certain
OTC
derivatives,
such
as
generic
forwards,
swaps
and
options,
have
inputs
which
can
generally
be
corroborated
by
market
data
and
are
therefore
classified
within
Level
2.
Those
OTC
derivatives
that
have
less
liquidity
or
for
which
inputs
are
unobservable
are
classified
within
Level
3.
While
the
valuations
of
less
liquid
OTC
derivatives
may
utilize
some
Level
1
and/or
Level
2
inputs,
they
also
may
include
other
unobservable
inputs
which
may
be
considered
significant
to
the
fair
value
determination.
Quantitative
Information
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments:
AQR
LARGE
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
900,719,086
$
–
$
–
$
900,719,086
Short-Term
Investments
...........................
40,895,991
–
–
40,895,991
Futures
Contracts*
...............................
1,569,418
–
–
1,569,418
Total
Assets
$
943,184,495
$
–
$
–
$
943,184,495
AQR
SMALL
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
106,423,417
$
–
$
32,582
$
106,455,999
Short-Term
Investments
...........................
1,590,942
–
–
1,590,942
Futures
Contracts*
...............................
9,624
–
–
9,624
Total
Assets
$
108,023,983
$
–
$
32,582
$
108,056,565
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
42,322,393
$
390,319,464
$
–
$
432,641,857
Preferred
Stocks
†
................................
–
633,774
–
633,774
Short-Term
Investments
...........................
20,181,990
–
–
20,181,990
Futures
Contracts*
...............................
725,079
–
–
725,079
Total
Assets
$
63,229,462
$
390,953,238
$
–
$
454,182,700
AQR
EMERGING
MULTI-STYLE
II
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
83,780,528
$
391,338,791
$
82,735
$
475,202,054
Preferred
Stocks
†
................................
5,580,216
–
–
5,580,216
Short-Term
Investments
...........................
18,759,315
–
–
18,759,315
Futures
Contracts*
...............................
646,821
–
–
646,821
Total
Assets
$
108,766,880
$
391,338,791
$
82,735
$
500,188,406
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
655,770,075
$
–
$
–
$
655,770,075
Short-Term
Investments
...........................
27,847,387
–
–
27,847,387
Futures
Contracts*
...............................
843,469
–
–
843,469
Total
Assets
$
684,460,931
$
–
$
–
$
684,460,931
96
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price.
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
177,408,311
$
–
$
34,142
$
177,442,453
Short-Term
Investments
...........................
297,130
–
–
297,130
Futures
Contracts*
...............................
36,318
–
–
36,318
Total
Assets
$
177,741,759
$
–
$
34,142
$
177,775,901
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
37,244,636
$
305,292,641
$
–
$
342,537,277
Short-Term
Investments
...........................
15,310,610
–
–
15,310,610
Futures
Contracts*
...............................
552,932
–
–
552,932
Total
Assets
$
53,108,178
$
305,292,641
$
–
$
358,400,819
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
3,784,429,851
$
–
$
–
$
3,784,429,851
Short-Term
Investments
...........................
88,852,806
–
–
88,852,806
Futures
Contracts*
...............................
3,293,953
–
–
3,293,953
Total
Assets
$
3,876,576,610
$
–
$
–
$
3,876,576,610
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
35,413,966
$
232,464,177
$
–
$
267,878,143
Preferred
Stocks
†
................................
–
3,645,313
–
3,645,313
Short-Term
Investments
...........................
13,585,229
–
–
13,585,229
Futures
Contracts*
...............................
313,469
–
–
313,469
Total
Assets
$
49,312,664
$
236,109,490
$
–
$
285,422,154
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
190,117,005
$
76,562,305
$
–
(a)
$
266,679,310
Preferred
Stocks
†
................................
–
592,135
–
592,135
Short-Term
Investments
...........................
33,112,539
–
–
33,112,539
Futures
Contracts*
...............................
1,794,542
–
–
1,794,542
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,178,436
–
3,178,436
Total
Return
Swaps
Contracts*
......................
–
53,359
–
53,359
Total
Assets
$
225,024,086
$
80,386,235
$
–
(a)
$
305,410,321
LIABILITIES
Futures
Contracts*
...............................
$
(873,787)
$
–
$
–
$
(873,787)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(5,005,604)
–
(5,005,604)
Total
Return
Swaps
Contracts*
......................
–
(2,420,146)
–
(2,420,146)
Total
Liabilities
$
(873,787)
$
(7,425,750)
$
–
$
(8,299,537)
*
Derivative
instruments,
including
futures,
forward
foreign
currency
exchange
and
total
return
swap
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/
(depreciation)
of
the
instrument
within
the
Funds
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statement
of
Assets
and
Liabilities
for
exchange-traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
97
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
5.
Federal
Income
Tax
Matters
At
March
31,
2023,
the
cost
and
aggregate
gross
unrealized
appreciation
(depreciation)
of
long
security
positions,
short
security
positions
and
derivative
instruments
for
federal
income
tax
purposes
were
as
follows:
The
differences
between
book-basis
and
tax-basis
cost
of
investments
was
due
primarily
to
timing
differences
in
recognizing
certain
gains
and
losses
on
security
transactions
(e.g.
wash
sale
loss
deferrals
and
passive
foreign
investment
company
("PFIC")
transactions).
As
of
September
30,
2022,
for
federal
income
tax
purposes,
the
following
Funds
have
capital
loss
carryforwards,
with
no
expiration,
available
to
offset
future
capital
gains,
if
any,
to
the
extent
provided
by
the
U.S.
Treasury
regulations.
The
ability
to
utilize
capital
loss
carryforwards
in
the
future
may
be
limited
under
the
Internal
Revenue
Code
and
related
regulations
based
on
the
results
of
future
transactions.
6.
Investment
Transactions
During
the period
ended
March
31,
2023,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
7.
Derivative
Instruments
and
Activities
The
Funds
use
derivative
instruments
as
part
of
their
principal
investment
strategy
to
achieve
their
investment
objectives.
The
Funds’
derivative
contracts
are
not
accounted
for
as
hedging
instruments
under
GAAP.
For
financial
reporting
purposes,
the
Funds
do
not
offset
financial
assets
and
financial
liabilities
that
are
subject
to
master
netting
arrangements
or
similar
agreements
on
the
Statements
of
Assets
and
Liabilities.
All
derivative
instruments
held
by
the
Funds
were
subject
to
a
master
netting
agreement
or
similar
arrangement.
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Large
Cap
Multi-Style
Fund
...........................
$
576,195,158
$
375,462,972
$
(8,473,635)
$
366,989,337
AQR
Small
Cap
Multi-Style
Fund
............................
75,877,676
35,871,369
(3,692,480)
32,178,889
AQR
International
Multi-Style
Fund
..........................
365,185,072
97,674,142
(8,676,514)
88,997,628
AQR
Emerging
Multi-Style
II
Fund
...........................
445,184,229
91,204,006
(36,199,829)
55,004,177
AQR
Large
Cap
Momentum
Style
Fund
.......................
459,950,990
227,822,720
(3,312,779)
224,509,941
AQR
Small
Cap
Momentum
Style
Fund
.......................
137,089,254
46,317,869
(5,631,222)
40,686,647
AQR
International
Momentum
Style
Fund
.....................
262,467,140
97,699,518
(1,765,839)
95,933,679
AQR
Large
Cap
Defensive
Style
Fund
........................
2,456,739,111
1,447,060,478
(27,222,979)
1,419,837,499
AQR
International
Defensive
Style
Fund
......................
249,912,586
46,025,691
(10,516,123)
35,509,568
AQR
Global
Equity
Fund
..................................
269,513,568
46,883,224
(19,286,008)
27,597,216
FUND
SHORT-TERM
LONG
TERM
AQR
International
Multi-Style
Fund
*
.................................................
$
22,780,255
$
—
AQR
Emerging
Multi-Style
II
Fund
..................................................
39,731,769
—
AQR
Small
Cap
Momentum
Style
Fund
..............................................
3,777,000
—
AQR
International
Momentum
Style
Fund
*
............................................
21,959,175
—
AQR
International
Defensive
Style
Fund
.............................................
6,406,548
7,429,335
*
Capital
loss
carryforwards
are
reduced
for
limitations
to
the
extent
required
by
the
Internal
Revenue
Code
and
may
be
further
limited
depending
upon
a
variety
of
factors,
including
the
realization
of
net
unrealized
gains
or
losses
as
of
the
date
of
any
reorganization.
FUND
PURCHASES
SALES
AQR
Large
Cap
Multi-Style
Fund
..........................................................
$
233,882,508
$
324,987,191
AQR
Small
Cap
Multi-Style
Fund
...........................................................
39,157,484
38,993,098
AQR
International
Multi-Style
Fund
.........................................................
113,569,325
132,386,717
AQR
Emerging
Multi-Style
II
Fund
..........................................................
164,344,012
160,749,988
AQR
Large
Cap
Momentum
Style
Fund
......................................................
311,096,298
367,156,592
AQR
Small
Cap
Momentum
Style
Fund
......................................................
42,490,832
71,126,806
AQR
International
Momentum
Style
Fund
....................................................
116,700,044
140,800,116
AQR
Large
Cap
Defensive
Style
Fund
.......................................................
606,147,892
1,042,626,412
AQR
International
Defensive
Style
Fund
.....................................................
25,997,099
24,930,865
AQR
Global
Equity
Fund
.................................................................
146,202,785
164,401,981
98
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
following
table
lists
the
fair
value
of
derivative
instruments
held
by
the
Funds,
by
primary
underlying
risk
and
contract
type,
as
included
in
the
Statements
of
Assets
and
Liabilities
at
March
31,
2023:
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Equity
Risk
Exposure:
1,569,418
9,624
725,079
646,821
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
1,569,418
$
9,624
$
725,079
$
646,821
1,569,418
9,624
725,079
646,821
Net
Fair
Value
of
Derivative
Contracts:
1,569,418
9,624
725,079
646,821
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
1,569,418
9,624
725,079
646,821
1,569,418
9,624
725,079
646,821
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Equity
Risk
Exposure:
843,469
36,318
552,932
3,293,953
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
843,469
$
36,318
$
552,932
$
3,293,953
843,469
36,318
552,932
3,293,953
Net
Fair
Value
of
Derivative
Contracts:
843,469
36,318
552,932
3,293,953
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
843,469
36,318
552,932
3,293,953
843,469
36,318
552,932
3,293,953
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Equity
Risk
Exposure:
313,469
5,141,833
Unrealized
Appreciation
on
Futures
Contracts
*
.................................................
$
313,469
$
1,794,542
Swaps
at
Value
(Assets)
.................................................................
–
53,359
Unrealized
Depreciation
on
Futures
Contracts
*
................................................
–
(873,787)
Swaps
at
Value
(Liabilities)
...............................................................
–
(2,420,146)
313,469
5,141,833
Foreign
Exchange
Rate
Risk
Exposure:
–
8,184,040
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
...........................
–
3,178,436
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
..........................
–
(5,005,604)
–
8,184,040
Net
Fair
Value
of
Derivative
Contracts:
313,469
(7,467,157)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
.....................................
313,469
920,755
Swaps
at
Value
........................................................................
–
(2,366,787)
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
...............
–
(1,827,168)
313,469
7,467,157
*
Includes
cumulative
appreciation/(depreciation)
on
futures
contracts,
if
any,
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
99
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
following
table
indicates
the
effect
of
derivative
instruments,
by
primary
underlying
risk
exposure
and
contract
type,
on
the
Statements
of
Operations
for
the period
ended
March
31,
2023:
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
482,425
(169,817)
810,831
(1,295,620)
Futures
Contracts
.......................................
$
482,425
$
(169,817)
$
810,831
$
(1,295,620)
482,424.99
(169,816.56)
810,830.79
(1,295,619.76)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
5,373,979
457,426
2,418,179
2,891,772
Futures
Contracts
.......................................
5,373,979
457,426
2,418,179
2,891,772
5,373,979
457,426
2,418,179
2,891,772
*
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
(956,467)
(303,295)
761,702
(2,944,834)
Futures
Contracts
.......................................
$
(956,467)
$
(303,295)
$
761,702
$
(2,944,834)
(956,466.5)
(303,294.93)
761,701.62
(2,944,834.21)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
4,259,803
930,090
1,987,691
17,022,652
Futures
Contracts
.......................................
4,259,803
930,090
1,987,691
17,022,652
4,259,803
930,090
1,987,691
17,022,652
*
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Realized
Gain
(Loss)
on
Derivatives
Equity
Risk
Exposure:
944,315
4,146,713
Futures
Contracts
......................................................................
$
944,315
$
2,248,850
Swap
Contracts
.......................................................................
–
1,897,863
944,315.27
4,146,712.88
Foreign
Exchange
Rate
Risk
Exposure:
–
(4,750,185)
Forward
Foreign
Currency
Exchange
Contracts
................................................
–
(4,750,185)
–
(4,750,185)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Equity
Risk
Exposure:
1,273,833
547,316
Futures
Contracts
......................................................................
1,273,833
3,631,826
Swap
Contracts
.......................................................................
–
(3,084,509)
1,273,833
547,316
Foreign
Exchange
Rate
Risk
Exposure:
–
628,632
Forward
Foreign
Currency
Exchange
Contracts
................................................
–
628,632
–
628,632
100
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
following
tables
present
the
AQR
Global
Equity
Fund's
gross
OTC
derivative
assets
and
liabilities
by
counterparty
and
contract
type
net
of
amounts
available
for
offset
under
netting
arrangements
and
any
related
collateral
received
or pledged
by
the
Fund
as
of
March
31,
2023:
AQR
Global
Equity
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$4,475,495.
GROSS
AMO
UNTS
NOT
OFF
SET
IN THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
1,588,936
$
(1,588,936)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,589,500
(1,589,500)
–
JPMC
..........
Total
Return
Swap
Contracts
53,359
(53,359)
–
Total
JPMC
1,642,859
(1,642,859)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,231,795
(3,231,795)
–
–
–
–
GROSS
AMO
UNTS
NOT
OFFSET
IN THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
2,503,265
$
(1,588,936)
$
914,329
$
–
$
(914,329)
$
–
GSIN
..........
Total
Return
Swap
Contracts
2,140,580
–
2,140,580
–
(1,890,115)
250,465
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
2,502,339
(1,589,500)
912,839
JPMC
..........
Total
Return
Swap
Contracts
279,566
(53,359)
226,207
Total
JPMC
2,781,905
(1,642,859)
1,139,046
–
(1,139,046)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
7,425,750
(3,231,795)
4,193,955
–
(3,943,490)
250,465
101
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
For
the period
ended
March
31,
2023,
the
average
and
ending
notional/settlement
balances/values
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
8.
Investment
Advisory
and
Other
Agreements
The
Adviser
serves
as
the
investment
adviser
to
each
of
the
Funds,
pursuant
to
certain
investment
management
agreements
entered
into
between
the
Trust,
on
behalf
of
the
applicable
Funds,
and
the
Adviser
(collectively,
the
“Advisory
Agreement”).
Under
the
Advisory
Agreement,
the
Adviser
furnishes
a
continuous
investment
program
for
each
Fund’s
portfolio,
makes
day-to-day
investment
decisions
for
each
Fund,
and
manages
each
Fund’s
investments
in
accordance
with
the
stated
policies
of
each
Fund.
The
Adviser
is
also
responsible
for
selecting
brokers
and
dealers
to
execute
purchase
and
sale
orders
for
the
portfolio
transactions
of
each
Fund,
subject
to
its
obligation
to
seek
best
execution,
and
also
provides
certain
other
administrative
services
to
each
Fund.
The
Adviser
provides
persons
satisfactory
to
the
Funds’
Board
to
serve
as
officers
of
the
Funds.
Pursuant
to
the
Advisory
Agreement,
the
Funds
calculate
and
accrue
daily
based
on
the
average
daily
net
assets
for
each
Fund
and
pay
monthly
the
Investment
Advisory
fee
in
the
annual
ratios
below:
*
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
38,470,200
$
2,830,910
$
15,289,152
$
15,025,833
$
20,063,363
Average
Notional
Balance
-
Short
–
–
–
–
–
Ending
Notional
Balance
-
Long
35,584,650
634,725
21,489,125
18,317,200
25,033,388
Ending
Notional
Balance
-
Short
–
–
–
–
–
*
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
5,407,120
$
12,096,280
$
111,011,588
$
10,104,268
$
90,545,167
Average
Notional
Balance
-
Short
–
–
–
–
40,533,467
Ending
Notional
Balance
-
Long
2,992,275
14,885,150
74,686,388
13,732,075
103,348,759
Ending
Notional
Balance
-
Short
–
–
–
–
26,186,555
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
–
–
–
–
261,075,039
Average
Settlement
Value
-
Sold
–
–
–
–
243,258,608
Ending
Value
-
Purchased
–
–
–
–
315,873,491
Ending
Value
-
Sold
–
–
–
–
279,208,848
Total
Return
Swaps:
Average
Notional
Balance
-
Long
–
–
–
–
8,980,326
Average
Notional
Balance
-
Short
–
–
–
–
25,921,296
Ending
Notional
Balance
-
Long
–
–
–
–
10,492,803
Ending
Notional
Balance
-
Short
–
–
–
–
47,204,007
*
Average
notional/settlement
balance/value
is
based
on
the
average
of
the
notional/settlement
balances/values
that
were
outstanding
at
the
end
of
each
quarter
during
the
year.
FUND
RATIO
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
0.25%
AQR
Small
Cap
Multi-Style
Fund
.........................................................................
0.45
AQR
International
Multi-Style
Fund
........................................................................
0.40
AQR
Emerging
Multi-Style
II
Fund
........................................................................
0.50
AQR
Large
Cap
Momentum
Style
Fund
....................................................................
0.25
AQR
Small
Cap
Momentum
Style
Fund
....................................................................
0.45
AQR
International
Momentum
Style
Fund
...................................................................
0.40
AQR
Large
Cap
Defensive
Style
Fund
.....................................................................
0.25
AQR
International
Defensive
Style
Fund
....................................................................
0.40
AQR
Global
Equity
Fund
...............................................................................
0.60
102
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
January
28,
2024
for
Class
I,
N,
and
R6
shares.
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
each
Fund's
operating
expenses
other
than
management
fees
and
12b-1
fees,
and
exclusive
of
interest,
taxes,
borrowing
costs,
acquired
fund
fees
and
expenses,
dividend
and
interest
expense
related
to
short
sales,
expenses
related
to
class
action
claims,
contingent
expenses
related
to
tax
reclaim
receipts
and
extraordinary
expenses,
at
no
more
than
the
following
ratios:
The
Trust,
in
turn,
agreed
that
the
Funds
will
repay
the
expense
reimbursement
to
the
Adviser
only
to
the
extent
it
can
be
made
during
the
thirty-six
months
following
the
applicable
month
during
which
the
Adviser
reimbursed
the
applicable
Fund
for
its
operating
expenses
under
the
Expense
Limitation
Agreement.
Such
repayment
shall
be
made
only
out
of
the
class
of
the
Fund
for
which
the
applicable
expense
reimbursement
was
made.
Repayments
with
respect
to
a
Fund
must
be
limited
to
amounts
that
do
not
cause
the
total
annual
operating
expenses
or
the
other
operating
expenses,
as
applicable,
attributable
to
a
share
class
of
the
Fund
during
a
year
in
which
such
repayment
is
made
to
exceed
either
of
(i)
the
applicable
limits
in
effect
at
the
time
of
the
reimbursement
and
(ii)
the
applicable
limits
in
effect
at
the
time
of
recapture.
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
.....................................................
0.15
%
0.15
%
0.05
%
AQR
Small
Cap
Multi-Style
Fund
.....................................................
0.15
0.15
0.05
AQR
International
Multi-Style
Fund
....................................................
0.15
0.15
0.05
AQR
Emerging
Multi-Style
II
Fund
....................................................
0.20
0.20
0.10
AQR
Large
Cap
Momentum
Style
Fund
................................................
0.15
0.15
0.05
AQR
Small
Cap
Momentum
Style
Fund
................................................
0.15
0.15
0.05
AQR
International
Momentum
Style
Fund
...............................................
0.15
0.15
0.05
AQR
Large
Cap
Defensive
Style
Fund
.................................................
0.15
0.15
0.05
AQR
International
Defensive
Style
Fund
................................................
0.15
0.15
0.05
AQR
Global
Equity
Fund
...........................................................
0.20
0.20
0.10
103
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
The
amounts
reimbursed
by
the
Adviser
for
the
period
ended
March
31,
2023,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at
March
31,
2023
are
as
follows:
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
POTENTIAL
AMOUNTS
EXP
RECOUPMENT
IRING
MARCH
31
,
MARCH
31,
2023
MARCH
31,
2023
20
23
20
24
20
25
20
26
AQR
LARGE
CAP
MULTI-STYLE
FUND
Class
I
................
$
16,452
$
57,755
$
5,791
$
12,221
$
23,291
$
16,452
Class
N
................
429
1,992
263
607
693
429
Class
R6
...............
59,669
216,031
21,588
50,987
83,787
59,669
Totals
$
76,550
$
275,778
$
27,642
$
63,815
$
107,771
$
76,550
AQR
SMALL
CAP
MULTI-STYLE
FUND
Class
I
................
$
54,322
$
224,365
$
13,987
$
66,045
$
90,011
$
54,322
Class
N
................
3,868
25,572
1,936
9,708
10,060
3,868
Class
R6
...............
31,620
263,033
85,989
78,045
67,379
31,620
Totals
$
89,810
$
512,970
$
101,912
$
153,798
$
167,450
$
89,810
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Class
I
................
$
17,208
$
119,550
$
16,441
$
36,313
$
49,588
$
17,208
Class
N
................
286
6,673
1,548
2,758
2,081
286
Class
R6
...............
88,237
585,982
71,569
181,220
244,956
88,237
Totals
$
105,731
$
712,205
$
89,558
$
220,291
$
296,625
$
105,731
AQR
EMERGING
MULTI-STYLE
II
FUND
Class
I
................
$
12,912
$
110,509
$
13,505
$
38,023
$
46,069
$
12,912
Class
N
................
224
5,133
438
2,289
2,182
224
Class
R6
...............
115,176
1,117,923
191,768
404,749
406,230
115,176
Totals
$
128,312
$
1,233,565
$
205,711
$
445,061
$
454,481
$
128,312
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Class
I
................
$
45,916
$
213,429
$
41,959
$
50,356
$
75,198
$
45,916
Class
N
................
6,246
21,493
3,256
4,053
7,938
6,246
Class
R6
...............
25,973
85,709
10,181
12,805
36,750
25,973
Totals
$
78,135
$
320,631
$
55,396
$
67,214
$
119,886
$
78,135
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Class
I
................
$
67,945
$
379,803
$
62,637
$
116,031
$
133,190
$
67,945
Class
N
................
1,865
10,971
1,577
3,634
3,895
1,865
Class
R6
...............
19,233
111,247
15,793
38,381
37,840
19,233
Totals
$
89,043
$
502,021
$
80,007
$
158,046
$
174,925
$
89,043
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Class
I
................
$
53,647
$
382,623
$
66,833
$
128,506
$
133,637
$
53,647
Class
N
................
11,945
77,089
14,348
28,868
21,928
11,945
Class
R6
...............
43,465
236,879
29,833
70,444
93,137
43,465
Totals
$
109,057
$
696,591
$
111,014
$
227,818
$
248,702
$
109,057
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Class
I
................
$
–
$
–
$
–
$
–
$
–
$
–
Class
N
................
4,164
32,200
15,895
3,185
8,956
4,164
Class
R6
...............
14,079
106,889
53,705
11,516
27,589
14,079
Totals
$
18,243
$
139,089
$
69,600
$
14,701
$
36,545
$
18,243
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Class
I
................
$
43,477
$
316,581
$
59,946
$
105,567
$
107,591
$
43,477
Class
N
................
2,606
21,790
5,031
7,842
6,311
2,606
Class
R6
...............
60,759
328,843
37,255
86,682
144,147
60,759
Totals
$
106,842
$
667,214
$
102,232
$
200,091
$
258,049
$
106,842
AQR
GLOBAL
EQUITY
FUND
Class
I
................
$
700
$
8,481
$
1,986
$
3,168
$
2,627
$
700
Class
N
................
598
3,705
511
1,304
1,292
598
Class
R6
...............
26,763
175,300
31,428
60,854
56,255
26,763
Totals
$
28,061
$
187,486
$
33,925
$
65,326
$
60,174
$
28,061
104
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
9.
Distribution
Plan
The
Trust
has
adopted
a
Plan
of
Distribution
(the
“Plan”)
pursuant
to
Rule
12b-1
under
the
1940
Act
with
respect
to
the
Class
N
shares
of
the
Funds.
The
Plan
allows
for
the
payment
of
services
related
to
the
distribution
and
servicing
of
these
shares
at
a
rate
of
up
to
0.25%
per
annum
of
the
average
daily
net
asset
value
of
the
Class
N
shares
of
the
Funds.
10.
Principal
Risks
and
Concentrations
The
investment
techniques
and
strategies
utilized
by
the
Funds,
including
investments
made
on
a
shorter-term
basis
or
in
derivative
instruments
or
instruments
with
a
maturity
of
one
year
or
less
at
the
time
of
acquisition,
may
result
in
frequent
portfolio
trading
and
high
portfolio
turnover.
High
portfolio
turnover
will
cause
the
Funds
to
incur
higher
levels
of
brokerage
fees
and
commissions,
which
may
reduce
performance,
and
may
cause
higher
levels
of
current
tax
liability
to
shareholders
in
the
Funds.
In
the
normal
course
of
business,
the
Funds
trade
financial
instruments
and
enter
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk).
A
Fund’s
investments
in
financial
derivatives
and
other
financial
instruments
may
expose
the
Fund
to
various
elements
of
market
risks
which
include
interest
rate,
foreign
currency,
equity,
and
commodity
risks.
Investment
in
securities
of
foreign
issuers
may
involve
certain
risks
that
are
greater
than
those
associated
with
investments
in
securities
of
U.S.
issuers.
These
include
risks
of
adverse
changes
in
foreign
economic,
political,
regulatory
and
other
conditions;
changes
in
currency
exchange
rates
or
exchange
control
regulations
(including
limitations
on
currency
movements
and
exchanges);
the
imposition
of
economic
sanctions,
embargos or
other
government
actions
and/or restrictions;
differing
accounting,
auditing,
financial
reporting
and
legal
standards
and
practices;
differing
securities
market
structures;
and
higher
transaction
costs.
To
the
extent
a
Fund’s
investments
in
a
single
country
or
a
limited
number
of
countries
represent
a
higher
percentage
of
the
Fund’s
assets,
the
Fund
assumes
the
risk
that
economic,
political
and
social
conditions
in
those
countries may
have
a
significant
impact
on
investment
performance,
may
subject
the
Fund
to
increased
price
volatility
and
may
impair
or
otherwise
limit
the
Fund's
ability
to
invest
in,
receive,
hold
or
sell
securities
issued
by
the
impacted
countries.
Emerging
markets
are
riskier
than
more
developed
markets
because
they
tend
to
develop
unevenly
and
may
never
fully
develop.
Investments
in
emerging
markets
may
be
considered
speculative.
Emerging
markets
are
more
likely
to
experience
hyperinflation
and
currency
devaluations,
which
adversely
affect
returns
to
U.S.
investors.
In
addition,
many
emerging
securities
markets
have
far
lower
trading
volumes
and
less
liquidity
than
developed
markets.
Foreign
currency
risk
arises
from
the
possibility
that
fluctuations
in
foreign
exchange
rates
will
affect
the
value
of
cash
balances
held
in
foreign
currencies
and
non-U.S.
denominated
financial
instruments.
The
liquidity
and
trading
value
of
foreign
currencies
could
be
affected
by
global
economic
factors,
such
as
inflation,
interest
rate
levels,
and
trade
balances
among
countries,
as
well
as
the
actions
of
sovereign
governments
and
central
banks.
Currency
rates
in
foreign
countries
may
fluctuate
significantly
over
short
periods
of
time
for
a
number
of
reasons.
The
market
values
of
equities,
such
as
common
stocks
and
preferred
securities
or
equity
related
investments
such
as
futures
and
options,
may
decline
due
to
general
market
conditions
which
are
not
specifically
related
to
a
particular
company.
They
may
also
decline
due
to
factors
which
affect
a
particular
industry
or
industries.
The
Funds
may
invest
in
illiquid
investments
and
may
experience
difficulty
in
selling
those
investments
in
a
timely
manner
at
the
price
that
it
believes
the
investments
are
worth.
Prices
may
fluctuate
widely
over
short
or
extended
periods
in
response
to
company,
market
or
economic
news.
Geopolitical
and
other
events,
including
war,
terrorism,
natural
disasters,
economic
uncertainty,
trade
disputes,
extreme
weather
and
climate-related
events,
public
health
crises
including
pandemics and
related
geopolitical
events
have
led,
and
in
the
future
may
lead,
to
increased
market
volatility,
which
may
disrupt
the
U.S.
and
world
economies
and
markets
and
may
have
significant
adverse
direct
or
indirect
effects
on
the
Funds
and
their
investments.
Although
multiple
asset
classes
may
be
affected
by
a
market
disruption,
the
duration
and
effects
may
not
be
the
same
for
all
types
of
assets.
Markets
also
tend
to
move
in
cycles,
with
periods
of
rising
and
falling
prices.
This
volatility
may
cause
the
Funds'
net
asset
value
to
experience
significant
increases
or
decreases
over
short
periods
of
time.
If
there
is
a
general
decline
in
the
securities
and
other
markets,
the
net
asset
value
of the
Funds
may
lose
value,
regardless
of
the
individual
results
of
the
securities
and
other
instruments
in
which
the
Funds
invest.
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
net
asset
value
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
105
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
In
the
normal
course
of
business,
the
Funds
may
enter
into
agreements
with
certain
counterparties
for
derivative
transactions.
A
number
of
each
Fund's
Master
Agreements
contain
provisions
that
require
each
Fund
to
maintain
a
predetermined
level
of
net
assets,
and/or
provide
limits
regarding
the
decline
of
a
Fund’s
net
asset
value
over
specified
time
periods.
If
a
Fund
was
to
violate
such
provisions,
the
counterparties
to
the
derivative
instruments
could
request
immediate
payment
or
demand
immediate
collateralization
on
derivative
instruments
in
net
liability
positions.
If
such
events
are
not
cured
by
the
Fund
or
waived
by
the
counterparties,
they
may
decide
to
curtail
or
limit
extension
of
credit,
and
the
Fund
may
be
forced
to
unwind
its
derivative
positions
which
may
result
in
material
losses.
Similar
to
credit
risk, the
Funds
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Funds
have
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose the
Funds
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements,
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
invest
in
securities
with
positive
momentum. This
entails
investing
in
securities
that
have
had
above-average
recent
returns.
These
securities
may
be
more
volatile
than
a
broad
cross-section
of
securities.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Funds
while
using
a
momentum
strategy
may
suffer.
Investing
in
or
having
exposure
to
"value"
securities
presents
the
risk
that
the
securities
may
never
reach
what
the
Adviser
believes
are
their
full
market
values,
either
because
the
market
fails
to
recognize
what
the
Adviser
considers
to
be
the
security's
true
value
or
because
the
Adviser
misjudged
that
value.
In
addition,
there
may
be
periods
during
which
the
investment
performance
of
the
Funds
while
using
a
value
strategy
may
suffer.
The
Funds
may
have
investments
that
appreciate
or
decrease
significantly
in
value
over
short
periods
of
time.
This
may
cause
the
Funds’
net
asset
value
per
share
to
experience
significant
increases
or
declines
in
value
over
short
periods
of
time,
however,
all
investments
long-term
or
short-term
are
subject
to
risk
of
loss.
The
Funds
may
invest
in
restricted
securities.
Restricted
securities
are
subject
to
legal
or
contractual
restrictions
on
resale
and
may
generally
be
sold
privately
but
may
be
required
to
be
registered
or
exempted
from
such
registration
before
being
sold
to
the
public.
Private
placement
securities
are
generally
considered
to
be
restricted
except
for
those
securities
traded
between
qualified
institutional
investors
under
the
provisions
of
Rule
144A
of
the
Securities
Act
of
1933.
Disposal
of
restricted
investments
may
involve
time-consuming
negotiations
and
expenses,
and
prompt
sale
at
an
acceptable
price
may
be
difficult
to
achieve.
Restricted
investments
held
by
the
Fund,
if
any,
are
disclosed
in
the
Schedule
of
Investments.
The
Funds,
at
times,
may
utilize
substantial
leverage
in
their
investment
program.
Such
leverage
may
take
the
form
of
trading
on
margin,
investing
in
derivative
instruments
that
are
inherently
leveraged,
entering
into
other
forms
of
direct
and
indirect
borrowings.
There
is
no
guarantee
that
the
Funds’
borrowing
arrangement
or
other
arrangements
for
obtaining
leverage
will
continue
to
be
available,
or
if
available,
will
be
available
on
terms
and
conditions
acceptable
to
the
Funds.
Unfavorable
economic
conditions
could
also
increase
funding
costs,
limit
access
to
the
capital
markets
or
result
in
a
decision
by
lenders
not
to
extend
credit
to
the
Funds.
In
addition,
a
decline
in
market
value
of
the
Funds’
assets
may
have
particular
adverse
consequences
in
instances
where
they
have
borrowed
money
based
on
the
market
value
of
those
assets.
A
decrease
in
market
value
of
those
assets
may
result
in
the
lender
(including
derivative
counterparties)
requiring
the
Funds
to
post
additional
collateral
or
otherwise
sell
assets
at
a
time
when
it
may
not
be
in
the
Funds’
best
interest
to
do
so.
Given
the
complexity
of
the
investments
and
strategies
of
the
Funds,
the
Adviser
relies
heavily
on
quantitative
models
and
information
and
traditional
and
non-traditional
data
supplied
or
made
available
by
third
parties
(“Models
and
Data”).
Models
and
Data
are
used
to
construct
sets
of
transactions
and
investments,
to
provide
risk
management
insights,
and
to
assist
in
hedging
the
Funds'
investments.
When
Models
and
Data
prove
to
be
incorrect
or
incomplete,
including
because
data
is
stale,
missing
or
unavailable,
any
decisions
made
in
reliance
thereon
expose
the
Funds
to
potential
risks.
Similarly,
any
hedging
based
on
faulty
Models
and
Data
may
prove
to
be
unsuccessful.
Some
of
the
models
used
by
the
Adviser
for
the
Funds
are
predictive
in
nature.
The
use
of
predictive
models
has
inherent
risks.
Because
predictive
models
are
usually
constructed
based
on
historical
data
supplied
by
third
parties
or
otherwise,
the
success
of
relying
on
such
models
may
depend
heavily
on
the
accuracy
and
reliability
of
the
supplied
historical
data.
The
Funds
bear
the
risk
that
the
quantitative
models
used
by
the
Adviser
will
not
be
successful
in
selecting
investments
or
in
determining
the
weighting
of
investment
positions
that
will
enable
the
Funds
to
achieve their
investment
objective.
Periodically,
the
Funds
may
be
a
party
to
legal
actions
arising
in
the
ordinary
course
of
business.
The
Funds
are
currently
not
subject
to
any
actions
that
either
individually
or
in
the
aggregate
are
expected
to
have
a
material
impact
on
their
results
of
operations,
cash
flows
or
financial
condition.
106
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
11.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies.
This
Interfund
Lending
Program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
No
Fund
may
borrow
or
lend
money
through
the
program
unless
it
receives
a
more
favorable
rate
than
is
typically
available
for
comparable
borrowings
from
a
bank
or
investments
in
U.S.
Treasury
bills,
respectively.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program. Interest
expense
paid,
as
a
result
of
borrowing
under
this
agreement,
is
included
in
interfund
lending
expense
in
the
Statements
of
Operations.
During
the
reporting
period,
average
borrowings
from
another
series
of
the
Trust
(not
presented
in
this
book)
under
the
Interfund
Lending
Program
were
as
follows:
The
outstanding
balance
of
interfund borrowings
of
AQR
Small
Cap
Momentum
Style
Fund
amounting
to
$6,600,000
was
repaid
on
April
3,
2023.
12.
Line
of
Credit
Each
series
of
the
Trust
other
than
the
AQR
Diversifying
Strategies
Fund
(collectively,
the
“Participating
Funds”)
renewed
a
364-day
syndicated
line
of
credit
with
$345,000,000
in
committed
loans
(the
“Agreement”)
with
Bank
of
America,
N.A.,
as
the
administrative
agent,
effective
March
17,
2023.
Borrowing,
if
any,
under
this
arrangement
bears,
as
incurred,
interest
at
the
sum
of
(a)
1.00%
per
annum
plus
(b)
the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
Term
SOFR
(including
a
0.10%
adjustment).
The
maximum
loan
amount
available
to
a
Participating
Fund
is
the
lesser
of
an
amount
that
will
not
exceed
the
borrowing
limits
set
forth
in
the
Participating
Fund’s
Prospectus
and/or
Statement
of
Additional
Information
and
will
not
cause
the
asset
coverage
ratio
for
any
borrowings
by
the
Participating
Fund
to
drop
below
the
required
amount
under
the
Agreement
(between
300-500%
per
Participating
Fund).
The
Agreement
is
subject
to
an
annual
commitment
fee
allocated
to
each
Participating
Fund,
which
is
payable
in
arrears
on
a
quarterly
basis.
In
the
event
of
a
draw
upon
the
line
of
credit,
liquid
assets
of
the
borrowing
Participating
Fund
may
be
earmarked
for
asset
coverage
purposes
until
its
loan
is
repaid
in
full.
Interest
expense
paid
as
a
result
of
borrowing
under
the
Agreement,
and
each
Participating
Fund's
allocated
commitment
fee,
is
included
in
interest
expense
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of March
31,
2023
by
any
of
the
Funds.
During
the
reporting
period,
average
borrowings
under
the
line
of
credit
were
as
follows:
FUND
AVERAGE
LOANS
WEIGHTED
AVERAGE
INTEREST
RATE
OUTSTANDING
LOAN
AMOUNT
INTEREST
PAID
AQR
Small
Cap
Momentum
Style
Fund
....................
$
2,196,250
5.25%
$
6,600,000
$
2,527
FUND
AVERAGE
BORROWINGS
AVERAGE
INTEREST
RATE
NUMBER
OF
DAYS
OUTSTANDING
INTEREST
PAID
AQR
Large
Cap
Multi-Style
Fund
......................................
$31,740,000
5.33
%
3
$14,098
AQR
Small
Cap
Momentum
Style
Fund
..................................
1,800,000
5.76
1
288
107
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
March
2023
March
31,
2023
(Unaudited)
13.
Principal
Ownership
As
of
March
31,
2023,
the
Funds
had
individual
shareholders
and/or
omnibus
accounts
owning
more
than
5%
of
the
total
shares
outstanding
of
the
Fund
as
follows:
Significant
shareholder
transactions
by
these
shareholders,
if
any,
may
impact
the
Funds’
performance.
14.
New
Accounting
Pronouncements
and
Regulations
On
October
26,
2022,
the
SEC
adopted
rule
and
form
amendments
which
require
open-end
mutual
funds
to
transmit
streamlined
annual
and
semi-
annual
reports
to
shareholders
that
highlight
key
information
to
investors.
In
connection
with
these
amendments,
certain
information
that
was
previously
disclosed
in
fund
shareholder
reports
will
instead
be
made
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semi-annual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
In
June
2022,
FASB
issued
Accounting
Standards
Update
No.
2022-03,
“Fair
Value
Measurement
of
Equity
Securities
Subject
to
Contractual
Sale
Restrictions”
(“ASU
2022-03”).
ASU
2022-03
clarifies
the
guidance
in
ASC
820,
related
to
the
measurement
of
the
fair
value
of
an
equity
security
subject
to
contractual
sale
restrictions,
where
it
eliminates
the
ability
to
apply
a
discount
to
fair
value
of
these
securities,
and
introduces
disclosure
requirements
related
to
such
equity
securities.
The
guidance
is
effective
for
fiscal
years,
and
interim
periods
within
those
fiscal
years,
beginning
after
December
15,
2023,
and
allows
for
early
adoption.
For
Registered
Investment
Companies,
such
as
the
Funds,
ASU
2022-03
will
be
applicable
to
equity
securities
with
contractual
sale
restrictions
executed,
or
modified,
after
the
date
of
adoption.
Management
has
reviewed
the
requirements
and
believes
the
adoption
of
this
ASU
will
not
have
a
material
impact
on
the
financial
statements.
15.
Subsequent
Events
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events,
requiring
adjustment
to,
or
disclosure
in,
these
financial
statements.
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Large
Cap
Multi-Style
Fund
...........................................
4
91.35
%
AQR
Small
Cap
Multi-Style
Fund
............................................
4
90.66
AQR
International
Multi-Style
Fund
..........................................
4
94.02
AQR
Emerging
Multi-Style
II
Fund
...........................................
4
95.63
AQR
Large
Cap
Momentum
Style
Fund
.......................................
3
89.89
AQR
Small
Cap
Momentum
Style
Fund
.......................................
3
90.10
AQR
International
Momentum
Style
Fund
.....................................
3
95.52
AQR
Large
Cap
Defensive
Style
Fund
........................................
5
73.97
AQR
International
Defensive
Style
Fund
......................................
5
92.05
AQR
Global
Equity
Fund
..................................................
3
97.44
108
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2023
As
a
shareholder
of
the
Trust,
you
incur
two
types
of
costs:
(1)
transaction
costs
and
(2)
ongoing
costs,
including
management
fees;
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
as
indicated
below.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
for
the
Period
Ended
3/31/2023”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Each
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Hypothetical
Example
for
Comparison
Purposes
The
table
below
also
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
Fund’s
actual
expense
ratio
and
an
assumed
annual
rate
of
return
of
5%
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
a
Fund
and
other
funds
by
comparing
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
other
funds.
The
Fund
will
indirectly
bear
its
pro
rata
share
of
the
expenses
incurred
by
the
underlying
investments
in
which
the
Fund
invests.
These
expenses
are
not
included
in
the
table.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs.
Therefore,
the
hypothetical
example
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
3/31/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
3/31/23
AQR
Large
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,129.20
0.41%
$2.18
Hypothetical
Return
$1,000.00
$1,022.89
0.41%
$2.07
Class
N
Actual
Return
$1,000.00
$1,128.10
0.66%
$3.50
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,130.00
0.31%
$1.65
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
AQR
Small
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,110.80
0.61%
$3.21
Hypothetical
Return
$1,000.00
$1,021.89
0.61%
$3.07
Class
N
Actual
Return
$1,000.00
$1,109.00
0.86%
$4.52
Hypothetical
Return
$1,000.00
$1,020.64
0.86%
$4.33
Class
R6
Actual
Return
$1,000.00
$1,111.60
0.51%
$2.68
Hypothetical
Return
$1,000.00
$1,022.39
0.51%
$2.57
AQR
International
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,286.50
0.56%
$3.19
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$1,285.10
0.81%
$4.61
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$1,287.30
0.46%
$2.62
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
109
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2023
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
3/31/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
3/31/23
AQR
Emerging
Multi-Style
II
Fund
Class
I
Actual
Return
$1,000.00
$1,152.20
0.72%
$3.86
Hypothetical
Return
$1,000.00
$1,021.34
0.72%
$3.63
Class
N
Actual
Return
$1,000.00
$1,150.90
0.97%
$5.20
Hypothetical
Return
$1,000.00
$1,020.09
0.97%
$4.89
Class
R6
Actual
Return
$1,000.00
$1,153.70
0.62%
$3.33
Hypothetical
Return
$1,000.00
$1,021.84
0.62%
$3.13
AQR
Large
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,094.50
0.41%
$2.14
Hypothetical
Return
$1,000.00
$1,022.89
0.41%
$2.07
Class
N
Actual
Return
$1,000.00
$1,093.50
0.66%
$3.44
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,095.30
0.31%
$1.62
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
AQR
Small
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,088.20
0.61%
$3.18
Hypothetical
Return
$1,000.00
$1,021.89
0.61%
$3.07
Class
N
Actual
Return
$1,000.00
$1,087.50
0.86%
$4.48
Hypothetical
Return
$1,000.00
$1,020.64
0.86%
$4.33
Class
R6
Actual
Return
$1,000.00
$1,089.10
0.51%
$2.66
Hypothetical
Return
$1,000.00
$1,022.39
0.51%
$2.57
AQR
International
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,227.10
0.56%
$3.11
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$1,225.50
0.81%
$4.49
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$1,227.20
0.46%
$2.55
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
AQR
Large
Cap
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,123.90
0.41%
$2.17
Hypothetical
Return
$1,000.00
$1,022.89
0.41%
$2.07
Class
N
Actual
Return
$1,000.00
$1,122.80
0.66%
$3.49
Hypothetical
Return
$1,000.00
$1,021.64
0.66%
$3.33
Class
R6
Actual
Return
$1,000.00
$1,124.60
0.31%
$1.64
Hypothetical
Return
$1,000.00
$1,023.39
0.31%
$1.56
110
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Semi-Annual
Report
|
March
2023
Expenses
are
calculated
using
each
Class’
annualized
expense
ratio,
multiplied
by
average
account
value
for
the
period,
multiplied
by
182/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
3/31/23
ANNUALIZED
EXPENSE
RATIO
FOR
THE
PERIOD
EXPENSES
PAID
FOR
THE
PERIOD
ENDED
3/31/23
AQR
International
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,214.60
0.56%
$3.09
Hypothetical
Return
$1,000.00
$1,022.14
0.56%
$2.82
Class
N
Actual
Return
$1,000.00
$1,213.50
0.81%
$4.47
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
R6
Actual
Return
$1,000.00
$1,216.00
0.46%
$2.54
Hypothetical
Return
$1,000.00
$1,022.64
0.46%
$2.32
AQR
Global
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,173.40
0.81%
$4.39
Hypothetical
Return
$1,000.00
$1,020.89
0.81%
$4.08
Class
N
Actual
Return
$1,000.00
$1,171.60
1.06%
$5.74
Hypothetical
Return
$1,000.00
$1,019.65
1.06%
$5.34
Class
R6
Actual
Return
$1,000.00
$1,173.80
0.71%
$3.85
Hypothetical
Return
$1,000.00
$1,021.39
0.71%
$3.58
Investment
Adviser
AQR
Capital
Management,
LLC
One
Greenwich
Plaza,
Suite
130
Greenwich,
CT
06830
Transfer
Agent
ALPS
Fund
Services,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Custodian
JPMorgan
Chase
Bank,
N.A.
4
Metro
Tech
Center
Brooklyn,
NY
11245
Distributor
ALPS
Distributors,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Administrator
JPMorgan
Chase
Bank,
N.A.
70
Fargo
Street
Boston,
MA
02210
Independent
Registered
Public
Accounting
Firm
PricewaterhouseCoopers,
LLP
300
Madison
Avenue
New
York,
NY
10017
You
may
obtain
a
description
of
the
AQR
Funds
proxy
voting,
policies,
procedures
and
information
regarding
how
each
Fund
voted
proxies
relating
to
portfolio
securities
during
the
12-month
period
ending
June
30th
of
each
year
(available
by
August
31st
of
that
year)
without
charge,
upon
request,
by
calling
1-866-290-2688
or
visiting
the
funds
website
https://funds.aqr.com,
or
by
accessing
the
SEC’s
website
at
www.SEC.gov.
Such
reports
may
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
202-551-8090.
The
Fund
files
complete
schedules
of
the
portfolio
holdings
with
the
SEC
for
the
first
and
third
quarters
on
Form
N-PORT
Part
F.
The
Form
N-PORT
Part
F
is
available
without
charge,
upon
request,
by
calling
1-800-SEC-0330,
or
by
accessing
the
SEC’s
website,
at
www.SEC.gov.
It
may
also
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
DC.
This
report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
an
effective
prospectus,
which
includes
information
regarding
the
Funds’
objectives
and
policies,
experienced
of
its
management,
marketability
of
shares
and
other
information.
AQR
Funds
P.O.
Box
2248,
Denver,
CO
80201-2248
|
p:
+1.866.290.2688
|
w:
https://funds.aqr.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Not required for this filing.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(b) Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds
By: /s/ Ted Pyne
-----------------------------------
Ted Pyne,
Principal Executive Officer
May 26, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Ted Pyne
----------------------------------
Ted Pyne,
Principal Executive Officer
May 26, 2023
By: /s/ Matthew Plastina
---------------------------------
Matthew Plastina
Principal Financial Officer
May 26, 2023